JPMorgan Institutional Trust
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: 811-21638
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JPMorgan Institutional Trust |
(Exact name of registrant as specified in charter)
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270 Park Avenue New York, NY 10017 |
(Address of principal executive
offices) (Zip code)
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Frank J. Nasta 270 Park Avenue New York, NY 10017 |
(Name and Address of Agent for Service)
Registrants telephone number, including area code: (800) 343-1113
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2010 through February 28, 2011
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the
transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information
specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and
Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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).
Annual Report
JPMorgan Institutional Trust Funds
February 28, 2011
JPMorgan Core Bond Trust
JPMorgan Equity Index Trust
JPMorgan Intermediate Bond Trust
CONTENTS
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 Funds 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 conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. 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.
This report is intended for distribution only to accredited
investors. Distribution of this document to anyone other than the intended user is expressly prohibited. This document may not be copied, faxed or otherwise distributed to the general public.
CEOS LETTER
MARCH 21, 2011 (Unaudited)
Dear Shareholder:
For many investors, the old adage Whats old is new again, may be the best way to describe the current economic recovery. While we are encouraged by recent economic growth, we continue to be
reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.
In the U.S., economic momentum and
growth appear to be accelerating, helped by pent-up consumer demand, improved balance sheets, and an extension of the Bush-era tax cuts. Additionally, this recovery has seen a sharp rebound in corporate profits. Investors responded enthusiastically
to these developments, sending stock markets on an impressive rally, and leading to double-digit gains in 2010.
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While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our
economy can be to geopolitical risks and other global crises. |
On the other hand, heightened tensions in the Middle
East and renewed concerns about European debt resulted in an increase in market volatility, while the devastating earthquake and tsunami in Japan and the uncertain aftermath is likely to have lingering macroeconomic and market implications.
While positive tailwinds may continue to fuel economic growth, we remain concerned about the scope and potential impact of political unrest and
other crises on global markets and economies.
U.S. Treasuries experience broad gains
Investors have continued to focus their investments on fixed income securities, particularly mortgage, investment grade corporate and high yield areas of the
market. However, the heightened publicity surrounding the fiscal woes of state and local governments, and the expiration of the Build America Bond Program led many investors away from municipal bonds, which contributed to an increase in market
volatility.
The Barclays Capital High Yield Index returned 17.5%, while the Barclays Capital U.S. Aggregate Bond Index returned 4.9%, and the
Barclays Capital Emerging Markets Index returned 11.3% for the 12-month period ended February 28, 2011. The Barclays Capital Municipal Index returned 1.7% for the same period.
A late year U.S. stock market rally did little to reverse broad gains experienced by U.S. Treasuries in 2010. Stock market
volatility, rising oil prices, and concerns about unrest in the Middle East generally led to higher prices and lower yields for U.S. Treasuries and other safe haven investments. As of the end of
the 12-month period ended February 28, 2011, the yield on the 10-year U.S. Treasury bond declined from 3.6% to 3.4%. Yields on the 30-year U.S. Treasury bond dropped slightly, from 4.6% to 4.5%, while yields on the 2-year U.S. Treasury bond
dipped from 0.8% to 0.7% as of the end of the annual reporting period.
Improved economic outlook fuels equity rally
Stocks were supported by improved economic expectations and job growth, as well as the combination of the Federal Reserves launch of quantitative
easing (QE2) and Congress extension of the Bush-era tax cuts. As of the 12-month reporting period ended February 28, 2011, the S&P 500 Index had reached a level of 1,327, an increase of 22.6% from 12 months prior.
Recently, however, risky assets have become more volatile as investors grew concerned about how the disaster in Japan, rising oil prices, and Middle East
turmoil will impact the global recovery.
Rely on diversification to prepare for geopolitical risks
While the global economic recovery has demonstrated resiliency, the world is witnessing ongoing turmoil in the Middle East and uncertainty surrounding the
fallout from the tragedy in Japan. Additionally, we continue to experience concerns about European sovereign debt.
This environment reminds us of
the importance of preparing portfolios for shocks that could not only potentially derail the economic recovery, but also our investment goals. As uncertainty is often the only certainty, it makes sense for investors to prepare by
maintaining a diversified approach to investing within the context of a balanced portfolio.
On behalf of everyone at J.P. Morgan Asset
Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come.
Sincerely yours,
George C.W. Gatch
CEO-Investment Management Americas
J.P. Morgan Asset
Management
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FEBRUARY 28, 2011 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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1 |
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JPMorgan Institutional Trust Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED FEBRUARY 28, 2011
Fears about systemic fallout from the European debt crisis weighed on
investors confidence early in the reporting period, as the market seemed skeptical about the unity of European leaders and concerned about the impact that austerity measures would have on growth in the region. Investors appetite for risk
started to recover in August 2010 and was supported for the remainder of the reporting period by strong corporate earnings, better-than-expected economic data, returning merger and acquisition activity and accommodative policies from the U.S.
Federal Reserve. Investors were also encouraged by the U.S. governments two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. In the end, U.S. equities gained for the reporting period, with the
S&P 500 Index advancing 22.57%.
Overall, U.S. Treasury yields finished the reporting period lower, sending the prices for U.S. Treasuries
higher (bond prices generally increase when their yields decrease). However, the reporting period was defined by two separate interest rate environments. Rates steadily declined during the first half of the reporting period and then reversed course
in the fourth quarter of 2010, continuing this upward momentum through the end of the reporting period. Meanwhile, the breakeven inflation rate, which measures investors expectations for inflation, followed a path similar to interest rates.
Breakeven inflation rates decreased until September 2010 when surging commodities prices and the declining U.S. dollar led to concerns that rising input and import costs would be passed through to consumers and potentially stoke inflation.
Spread sectors (non U.S. Treasuries) outperformed U.S. Treasuries during the reporting period. Supply/demand continued to be favorable in the
non-agency mortgage-backed security market, outweighing concerns about the fundamentals of the housing market. Supply for non-agency mortgage-backed securities continued to decline, while demand was strong due to the sectors high yield
relative to other areas of the fixed income market. This favorable environment helped support the non-agency mortgage market. The high yield market (also known as junk bonds) was supported by strong corporate balance sheets, improving corporate
revenue and a robust primary issuance market, which provided companies with access to liquidity and the ability to roll over debt at attractive levels.
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2 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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FEBRUARY 28, 2011 |
JPMorgan Core Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
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REPORTING PERIOD RETURN: |
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JPMorgan Core Bond Trust* |
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7.71% |
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Barclays Capital U.S. Aggregate Index |
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4.93% |
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Net Assets as of 2/28/2011 (In Thousands) |
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$ |
3,022,640 |
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Duration as of 2/28/2011 |
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4.4 years |
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INVESTMENT OBJECTIVE**
The JPMorgan Core Bond Trust (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 FUNDS PERFORMANCE?
The Funds overweight of mortgage securities drove its relative outperformance versus the Barclays Capital U.S. Aggregate Index (Benchmark). The Funds non-agency residential
mortgage-backed securities, which are not represented in the Benchmark, were particularly strong, supported by a favorable supply and demand environment. The Funds underweight in the credit sector (corporate and non-corporate debt) hurt
relative performance, as this sector performed well during the reporting period. The Funds underweight in the commercial mortgage-backed securities (CMBS) sector also hurt relative performance, as this sector was supported by a
favorable supply/demand environment.
Meanwhile, the Funds underweight of U.S. Treasuries benefited the Funds relative performance
during the reporting period as these securities underperformed other areas of the fixed income market. The Funds positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar
bonds, usually U.S. Treasuries, at a given point in time) also helped the Funds relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Funds portfolio managers used
bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector.
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PORTFOLIO COMPOSITION*** |
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Collateralized Mortgage Obligations |
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42.2 |
% |
U.S. Treasury Obligations |
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24.9 |
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Corporate Bonds |
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17.2 |
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Mortgage Pass-Through Securities |
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6.9 |
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Asset-Backed Securities |
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2.7 |
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Commercial Mortgage-Backed Securities |
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1.8 |
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Others (each less than 1%) |
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1.1 |
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Short-Term Investment |
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3.2 |
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* |
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The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** |
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The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
*** |
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Percentages indicated are based on total investments as of February 28, 2011. The Funds composition is subject to change.
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FEBRUARY 28, 2011 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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3 |
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JPMorgan Core Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28,
2011 |
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INCEPTION DATE OF CLASS |
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1 YEAR |
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3 YEAR |
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5 YEAR |
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SINCE INCEPTION |
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2/07/05 |
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7.71 |
% |
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7.28 |
% |
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7.24 |
% |
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6.31 |
% |
LIFE OF FUND PERFORMANCE (2/7/05 TO
2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future
results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investors 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.
The Fund commenced operations on February 7, 2005.
The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust, the Barclays Capital U.S. Aggregate Index and the
Lipper Intermediate U.S. Government Funds Index from February 7, 2005 to February 28, 2011. The performance of the Lipper Intermediate U.S. Government Funds Index reflects an initial investment at the end of the month closest to the
Funds inception. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of
expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes
expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a
broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities,
mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate U.S. Government Funds Index is an
index based on total returns of certain mutual funds within the Funds designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
The Funds shares have a $10,000,000 minimum investment and carry no sales charge.
Performance may
reflect the waiver of the Funds fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on
net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the
United States of America.
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4 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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FEBRUARY 28, 2011 |
JPMorgan Equity Index Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
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REPORTING PERIOD RETURN: |
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JPMorgan Equity Index Trust* |
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22.38% |
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S&P 500 Index** |
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22.57% |
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Net Assets as of 2/28/2011 (In Thousands) |
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$ |
341,196 |
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INVESTMENT OBJECTIVE***
The JPMorgan Equity Index Trust (the Fund) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poors 500
Composite Stock Price Index (S&P 500 Index).
WHAT WERE THE MAIN DRIVERS OF THE FUNDS PERFORMANCE?
The Fund slightly underperformed the S&P 500 Index (the Benchmark) for the twelve months ended February 28, 2011. This was consistent
with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.
The
Benchmark gained 22.57% for the twelve months ended February 28, 2011, as strong corporate earnings, better-than-expected economic data, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve buoyed
investor sentiment. Investors were also encouraged by the U.S. governments two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut.
All sectors represented in the Benchmark and the Fund posted positive absolute returns. The health care and consumer staples sectors generated the lowest absolute returns, while the energy and materials
sectors produced the strongest returns.
HOW WAS THE FUND POSITIONED?
The Fund was managed in strict conformity with a full replication index strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark. The Fund was generally 100%
invested and used index futures contracts to manage daily cash flows and maintain market exposure in line with the Benchmark. The transaction costs associated with implementing the strategy were minimized to lessen their impact on performance.
Regardless of the market outlook, the Funds strategy did not change, as it continued to follow the full-replication index strategy.
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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** |
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1. |
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Exxon Mobil Corp. |
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3.5 |
% |
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2. |
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Apple, Inc. |
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2.6 |
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3. |
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General Electric Co. |
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1.8 |
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4. |
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Chevron Corp. |
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1.7 |
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5. |
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International Business Machines Corp. |
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1.6 |
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6. |
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Microsoft Corp. |
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1.6 |
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7. |
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JPMorgan Chase & Co. |
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1.5 |
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8. |
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Procter & Gamble Co. (The) |
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1.4 |
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9. |
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Wells Fargo & Co. |
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1.4 |
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10. |
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Johnson & Johnson |
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1.4 |
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PORTFOLIO COMPOSITION BY SECTOR**** |
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Information Technology |
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18.4 |
% |
Financials |
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15.8 |
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Energy |
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13.0 |
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Industrials |
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11.0 |
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Health Care |
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10.7 |
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Consumer Discretionary |
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10.4 |
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Consumer Staples |
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10.0 |
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Materials |
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3.6 |
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Utilities |
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3.1 |
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Telecommunication Services |
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2.9 |
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Government |
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0.1 |
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Investment Company |
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0.1 |
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Short-Term Investment |
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0.9 |
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* |
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The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** |
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S&P 500 Index is a registered service mark of Standard & Poors Corporation, which does not sponsor, and is in no way affiliated with the Fund.
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The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
**** |
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Percentages indicated are based on total investments as of February 28, 2011. The Funds composition is subject to change.
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FEBRUARY 28, 2011 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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5 |
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JPMorgan Equity Index Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28,
2011 |
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INCEPTION DATE OF CLASS |
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1 YEAR |
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3 YEAR |
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5 YEAR |
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SINCE INCEPTION |
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2/07/05 |
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22.38 |
% |
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2.06 |
% |
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2.75 |
% |
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3.65 |
% |
LIFE OF FUND PERFORMANCE (2/7/05 TO
2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future
results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investors 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.
The Fund commenced operations on February 7, 2005.
The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Equity Index Trust, the S&P 500 Index and the Lipper S&P 500
Objective Funds Index from February 7, 2005 to February 28, 2011. The performance of the Lipper S&P 500 Objective Funds Index reflects an initial investment at the end of the month closest to the Funds inception. The performance of
the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to
reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper S&P 500 Objective Funds Index includes expenses associated with a mutual fund, such as investment management fees.
These expenses are not identical to the
expenses charged by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. Stock Market. The Lipper S&P 500 Objective
Funds Index is an index based on total returns of certain mutual funds within the Funds designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
The Funds shares have a $10,000,000 minimum investment and carry no sales charge.
Performance may
reflect the waiver of the Funds fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on
net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the
United States of America.
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6 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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FEBRUARY 28, 2011 |
JPMorgan Intermediate Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY
28, 2011 (Unaudited)
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REPORTING PERIOD RETURN: |
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JPMorgan Intermediate Bond Trust* |
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5.72% |
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Barclays Capital Intermediate U.S. Government/Credit Index |
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4.36% |
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Net Assets as of 2/28/2011 (In Thousands) |
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$ |
366,920 |
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Duration as of 2/28/2011 |
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4.1 years |
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INVESTMENT OBJECTIVE**
The JPMorgan Intermediate Bond Trust (the Fund) seeks current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate
maturities.
WHAT WERE THE MAIN DRIVERS OF THE FUNDS PERFORMANCE?
The Funds overweight of mortgage securities drove its relative outperformance versus the Barclays Capital Intermediate U.S. Government/Credit Index (Benchmark). The Funds non-agency
residential mortgage-backed securities, which are not represented in the Benchmark, were particularly strong, supported by a favorable supply and demand environment. The Funds underweight in the credit sector (corporate and non-corporate debt)
hurt relative performance, as this sector performed well during the reporting period.
Meanwhile, the Funds underweight of U.S. Treasuries
benefited the Funds relative performance during the reporting period as these securities underperformed other areas of the fixed income market. The Funds positioning on the yield curve (the yield curve shows the relationship between
yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also helped the Funds relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed
well during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between
individual securities or market sectors. The Funds portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As
of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector.
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PORTFOLIO COMPOSITION*** |
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U.S. Treasury Obligations |
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33.1 |
% |
Collateralized Mortgage Obligations |
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30.0 |
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Corporate Bonds |
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18.1 |
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Mortgage Pass-Through Securities |
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9.5 |
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U.S. Government Agency Securities |
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2.4 |
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Asset-Backed Securities |
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2.1 |
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Commercial Mortgage-Backed Securities |
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1.4 |
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Others (each less than 1.0%) |
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0.2 |
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Short-Term Investment |
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3.2 |
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* |
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The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** |
|
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
*** |
|
Percentages indicated are based on total investments as of February 28, 2011. The Funds composition is subject to change.
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FEBRUARY 28, 2011 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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7 |
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JPMorgan Intermediate Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28,
2011 |
|
|
|
|
|
|
|
|
|
INCEPTION DATE OF CLASS |
|
|
1 YEAR |
|
|
3 YEAR |
|
|
5 YEAR |
|
|
SINCE INCEPTION |
|
|
|
|
2/07/05 |
|
|
|
5.72 |
% |
|
|
6.16 |
% |
|
|
6.53 |
% |
|
|
5.69 |
% |
LIFE OF FUND PERFORMANCE (2/7/05 TO
2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future
results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investors 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.
The Fund commenced operations on February 7, 2005.
The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust, the Barclays Capital Intermediate U.S.
Government/Credit Index and the Lipper Short-Intermediate U.S. Government Funds Index from February 7, 2005 to February 28, 2011. The performance of the Lipper Short-Intermediate U.S. Government Funds Index reflects an initial investment at the
end of the month closest to the Funds inception. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Intermediate U.S.
Government/Credit Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the
Lipper Short-Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund,
such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Intermediate U.S. Government/Credit Index is an unmanaged index
comprised of intermediate maturity U.S. Treasury and agency securities and investment grade corporate securities. The Lipper Short-Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the
Funds designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
The Funds shares have a
$5,000,000 minimum investment and carry no sales charge.
Performance may reflect the waiver of the Funds fees and reimbursement of expenses
for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund
distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may
differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
|
|
|
|
|
|
|
|
|
|
|
8 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities 2.7% |
|
|
|
|
|
AH Mortgage Advance Trust, |
|
|
|
|
|
1,925 |
|
|
Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) |
|
|
1,930 |
|
|
1,700 |
|
|
Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) |
|
|
1,706 |
|
|
|
|
|
Ally Auto Receivables Trust, |
|
|
|
|
|
635 |
|
|
Series 2010-1, Class A3, 1.450%, 05/15/14 |
|
|
640 |
|
|
1,385 |
|
|
Series 2010-3, Class A3, 1.110%, 10/15/14 |
|
|
1,383 |
|
|
670 |
|
|
Series 2010-3, Class A4, 1.550%, 08/17/15 |
|
|
664 |
|
|
392 |
|
|
Series 2010-4, Class A3, 0.910%, 11/17/14 |
|
|
391 |
|
|
1,650 |
|
|
Series 2011-1, Class A2, 0.810%, 10/15/13 |
|
|
1,650 |
|
|
720 |
|
|
Series 2011-1, Class A3, 1.380%, 01/15/15 |
|
|
720 |
|
|
|
|
|
AmeriCredit Automobile Receivables Trust, |
|
|
|
|
|
2,172 |
|
|
Series 2006-BG, Class A4, 5.210%, 09/06/13 |
|
|
2,196 |
|
|
570 |
|
|
Series 2008-AF, Class A4, 6.960%, 10/14/14 |
|
|
608 |
|
|
151 |
|
|
Series 2010-1, Class A2, 0.970%, 01/15/13 |
|
|
151 |
|
|
235 |
|
|
Series 2010-1, Class A3, 1.660%, 03/17/14 |
|
|
237 |
|
|
890 |
|
|
Series 2010-3, Class A3, 1.140%, 04/08/15 |
|
|
888 |
|
|
1,500 |
|
|
Series 2010-4, Class A2, 0.960%, 05/08/14 |
|
|
1,501 |
|
|
375 |
|
|
Series 2010-4, Class A3, 1.270%, 04/08/15 |
|
|
375 |
|
|
815 |
|
|
Series 2011-1, Class A2, 0.840%, 06/09/14 |
|
|
815 |
|
|
375 |
|
|
Series 2011-1, Class A3, 1.390%, 09/08/15 |
|
|
375 |
|
|
843 |
|
|
Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e) |
|
|
841 |
|
|
|
|
|
Bank of America Auto Trust, |
|
|
|
|
|
1,761 |
|
|
Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) |
|
|
1,779 |
|
|
998 |
|
|
Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) |
|
|
1,005 |
|
|
645 |
|
|
Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
|
|
649 |
|
|
475 |
|
|
Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
|
|
483 |
|
|
887 |
|
|
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 |
|
|
676 |
|
|
685 |
|
|
CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 |
|
|
690 |
|
|
600 |
|
|
Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 |
|
|
594 |
|
|
2,131 |
|
|
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 |
|
|
2,043 |
|
|
1,500 |
|
|
Chrysler Financial Auto Securitization Trust, Series 2010-A, Class A3, 0.910%, 08/08/13 |
|
|
1,500 |
|
|
|
|
|
Citibank Credit Card Issuance Trust, |
|
|
|
|
|
3,380 |
|
|
Series 2002-C2, Class C2, 6.950%, 02/18/14 |
|
|
3,557 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
800 |
|
|
Series 2007-A3, Class A3, 6.150%, 06/15/39 |
|
|
939 |
|
|
633 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.641%, 12/25/33 |
|
|
577 |
|
|
|
|
|
CNH Equipment Trust, |
|
|
|
|
|
510 |
|
|
Series 2008-B, Class A4A, 5.600%, 11/17/14 |
|
|
525 |
|
|
350 |
|
|
Series 2009-C, Class A3, 1.850%, 12/16/13 |
|
|
352 |
|
|
1,102 |
|
|
Series 2010-A, Class A3, 1.540%, 07/15/14 |
|
|
1,110 |
|
|
1,500 |
|
|
Series 2010-C, Class A3, 1.170%, 05/15/15 |
|
|
1,499 |
|
|
811 |
|
|
Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 |
|
|
614 |
|
|
389 |
|
|
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 |
|
|
278 |
|
|
1,015 |
|
|
Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 |
|
|
1,115 |
|
|
300 |
|
|
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.362%, 12/25/36 |
|
|
278 |
|
|
|
|
|
Ford Credit Auto Owner Trust, |
|
|
|
|
|
450 |
|
|
Series 2009-B, Class A3, 2.790%, 08/15/13 |
|
|
456 |
|
|
500 |
|
|
Series 2009-B, Class A4, 4.500%, 07/15/14 |
|
|
530 |
|
|
466 |
|
|
GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 |
|
|
427 |
|
|
|
|
|
Harley-Davidson Motorcycle Trust, |
|
|
|
|
|
525 |
|
|
Series 2010-1, Class A2, 0.830%, 11/15/13 |
|
|
525 |
|
|
540 |
|
|
Series 2010-1, Class A3, 1.160%, 02/15/15 |
|
|
540 |
|
|
|
|
|
Honda Auto Receivables Owner Trust, |
|
|
|
|
|
448 |
|
|
Series 2009-2, Class A3, 2.790%, 01/15/13 |
|
|
452 |
|
|
550 |
|
|
Series 2011-1, Class A4, 1.800%, 04/17/17 |
|
|
550 |
|
|
|
|
|
HSBC Home Equity Loan Trust, |
|
|
|
|
|
1,430 |
|
|
Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 |
|
|
1,325 |
|
|
1,000 |
|
|
Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 |
|
|
1,023 |
|
|
2,763 |
|
|
Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 |
|
|
2,555 |
|
|
|
|
|
Hyundai Auto Receivables Trust, |
|
|
|
|
|
640 |
|
|
Series 2010-B, Class A3, 0.970%, 04/15/15 |
|
|
639 |
|
|
710 |
|
|
Series 2010-B, Class A4, 1.630%, 03/15/17 |
|
|
700 |
|
|
515 |
|
|
Series 2011-A, Class A3, 1.160%, 04/15/15 |
|
|
515 |
|
|
520 |
|
|
Series 2011-A, Class A4, 1.780%, 12/15/15 |
|
|
520 |
|
|
300 |
|
|
Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.461%, 03/25/36 |
|
|
191 |
|
|
168 |
|
|
John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/13 |
|
|
169 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
9 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities Continued |
|
|
797 |
|
|
LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) |
|
|
795 |
|
|
1,923 |
|
|
Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.611%, 07/25/34 (e) |
|
|
1,862 |
|
|
|
|
|
Long Beach Mortgage Loan Trust, |
|
|
|
|
|
504 |
|
|
Series 2006-8, Class 2A2, VAR, 0.352%, 09/25/36 |
|
|
192 |
|
|
862 |
|
|
Series 2006-WL2, Class 2A3, VAR, 0.461%, 01/25/36 |
|
|
707 |
|
|
1,874 |
|
|
MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 |
|
|
1,969 |
|
|
550 |
|
|
Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 |
|
|
555 |
|
|
10,000 |
|
|
Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.261%, 12/26/22 (e) |
|
|
10,041 |
|
|
1,594 |
|
|
NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.614%, 12/07/20 |
|
|
1,595 |
|
|
1,000 |
|
|
New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 |
|
|
979 |
|
|
|
|
|
Nissan Auto Receivables Owner Trust, |
|
|
|
|
|
750 |
|
|
Series 2010-A, Class A3, 0.870%, 07/15/14 |
|
|
749 |
|
|
450 |
|
|
Series 2010-A, Class A4, 1.310%, 09/15/16 |
|
|
447 |
|
|
617 |
|
|
PennyMac Loan Trust, Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) |
|
|
615 |
|
|
2,490 |
|
|
Real Estate Asset Trust, Series 2011-1A, Class A1, 5.500%, 11/25/48 (e) (f) (i) |
|
|
2,496 |
|
|
300 |
|
|
Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 |
|
|
170 |
|
|
|
|
|
Santander Drive Auto Receivables Trust, |
|
|
|
|
|
720 |
|
|
Series 2010-3, Class A2, 0.930%, 06/17/13 |
|
|
720 |
|
|
580 |
|
|
Series 2010-3, Class A3, 1.200%, 06/16/14 |
|
|
581 |
|
|
350 |
|
|
Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 |
|
|
327 |
|
|
448 |
|
|
Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 |
|
|
451 |
|
|
|
|
|
Toyota Auto Receivables Owner Trust, |
|
|
|
|
|
1,540 |
|
|
Series 2010-C, Class A3, 0.770%, 04/15/14 |
|
|
1,538 |
|
|
1,435 |
|
|
Series 2011-A, Class A3, 0.980%, 10/15/14 |
|
|
1,427 |
|
|
1,540 |
|
|
Series 2011-A, Class A4, 1.560%, 05/15/15 |
|
|
1,540 |
|
|
1,060 |
|
|
USAA Auto Owner Trust, Series 2009-2, Class A3, 1.540%, 02/18/14 |
|
|
1,067 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,370 |
|
|
World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15 |
|
|
1,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities (Cost $80,167) |
|
|
80,670 |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 42.1% |
|
|
|
|
|
Agency CMO 28.6% |
|
|
|
|
|
|
|
|
Federal Home Loan Banks, |
|
|
|
|
|
1,485 |
|
|
Series 2000-0606, Class Y, 5.270%, 12/28/12 |
|
|
1,565 |
|
|
3,029 |
|
|
Series 2000-1067, Class 1, 5.300%, 06/15/12 |
|
|
3,177 |
|
|
2,227 |
|
|
Series TQ-2015, Class A, 5.065%, 10/20/15 |
|
|
2,389 |
|
|
397 |
|
|
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23 |
|
|
438 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS, |
|
|
|
|
|
47 |
|
|
Series 11, Class D, 9.500%, 07/15/19 |
|
|
51 |
|
|
18 |
|
|
Series 22, Class C, 9.500%, 04/15/20 |
|
|
20 |
|
|
28 |
|
|
Series 23, Class F, 9.600%, 04/15/20 |
|
|
31 |
|
|
|
(h) |
|
Series 41, Class I, HB, 84.000%, 05/15/20 |
|
|
1 |
|
|
2 |
|
|
Series 47, Class F, 10.000%, 06/15/20 |
|
|
3 |
|
|
10 |
|
|
Series 99, Class Z, 9.500%, 01/15/21 |
|
|
11 |
|
|
|
(h) |
|
Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 |
|
|
|
(h) |
|
|
(h) |
|
Series 1045, Class G, HB, 1,066.208%, 02/15/21 |
|
|
1 |
|
|
11 |
|
|
Series 1065, Class J, 9.000%, 04/15/21 |
|
|
12 |
|
|
3 |
|
|
Series 1079, Class S, HB, IF, 32.937%, 05/15/21 |
|
|
6 |
|
|
16 |
|
|
Series 1084, Class F, VAR, 1.262%, 05/15/21 |
|
|
15 |
|
|
11 |
|
|
Series 1084, Class S, HB, IF, 43.819%, 05/15/21 |
|
|
21 |
|
|
25 |
|
|
Series 1116, Class I, 5.500%, 08/15/21 |
|
|
27 |
|
|
20 |
|
|
Series 1144, Class KB, 8.500%, 09/15/21 |
|
|
23 |
|
|
|
(h) |
|
Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 |
|
|
1 |
|
|
1 |
|
|
Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 |
|
|
14 |
|
|
27 |
|
|
Series 1250, Class J, 7.000%, 05/15/22 |
|
|
31 |
|
|
42 |
|
|
Series 1343, Class LA, 8.000%, 08/15/22 |
|
|
49 |
|
|
53 |
|
|
Series 1343, Class LB, 7.500%, 08/15/22 |
|
|
64 |
|
|
84 |
|
|
Series 1370, Class JA, VAR, 1.463%, 09/15/22 |
|
|
84 |
|
|
83 |
|
|
Series 1455, Class WB, IF, 4.519%, 12/15/22 |
|
|
78 |
|
|
413 |
|
|
Series 1466, Class PZ, 7.500%, 02/15/23 |
|
|
464 |
|
|
7 |
|
|
Series 1470, Class F, VAR, 2.508%, 02/15/23 |
|
|
7 |
|
|
462 |
|
|
Series 1498, Class I, VAR, 1.463%, 04/15/23 |
|
|
462 |
|
|
592 |
|
|
Series 1502, Class PX, 7.000%, 04/15/23 |
|
|
597 |
|
|
77 |
|
|
Series 1505, Class Q, 7.000%, 05/15/23 |
|
|
85 |
|
|
185 |
|
|
Series 1518, Class G, IF, 8.748%, 05/15/23 |
|
|
228 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
10 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
61 |
|
|
Series 1541, Class M, HB, IF, 21.553%, 07/15/23 |
|
|
89 |
|
|
166 |
|
|
Series 1541, Class O, VAR, 2.840%, 07/15/23 |
|
|
172 |
|
|
16 |
|
|
Series 1570, Class F, VAR, 3.008%, 08/15/23 |
|
|
17 |
|
|
620 |
|
|
Series 1573, Class PZ, 7.000%, 09/15/23 |
|
|
688 |
|
|
391 |
|
|
Series 1591, Class PV, 6.250%, 10/15/23 |
|
|
417 |
|
|
24 |
|
|
Series 1595, Class D, 7.000%, 10/15/13 |
|
|
25 |
|
|
75 |
|
|
Series 1596, Class D, 6.500%, 10/15/13 |
|
|
75 |
|
|
27 |
|
|
Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 |
|
|
42 |
|
|
17 |
|
|
Series 1607, Class SA, IF, 19.312%, 10/15/13 |
|
|
19 |
|
|
1,664 |
|
|
Series 1608, Class L, 6.500%, 09/15/23 |
|
|
1,881 |
|
|
463 |
|
|
Series 1609, Class LG, IF, 16.656%, 11/15/23 |
|
|
569 |
|
|
856 |
|
|
Series 1638, Class H, 6.500%, 12/15/23 |
|
|
989 |
|
|
724 |
|
|
Series 1642, Class PJ, 6.000%, 11/15/23 |
|
|
760 |
|
|
14 |
|
|
Series 1671, Class QC, IF, 10.000%, 02/15/24 |
|
|
18 |
|
|
18 |
|
|
Series 1686, Class SH, IF, 18.534%, 02/15/24 |
|
|
30 |
|
|
255 |
|
|
Series 1695, Class EB, 7.000%, 03/15/24 |
|
|
283 |
|
|
48 |
|
|
Series 1699, Class FC, VAR, 0.912%, 03/15/24 |
|
|
48 |
|
|
251 |
|
|
Series 1700, Class GA, PO, 02/15/24 |
|
|
218 |
|
|
689 |
|
|
Series 1706, Class K, 7.000%, 03/15/24 |
|
|
794 |
|
|
23 |
|
|
Series 1709, Class FA, VAR, 2.570%, 03/15/24 |
|
|
24 |
|
|
58 |
|
|
Series 1745, Class D, 7.500%, 08/15/24 |
|
|
67 |
|
|
1,793 |
|
|
Series 1760, Class ZD, VAR, 2.920%, 02/15/24 |
|
|
1,872 |
|
|
581 |
|
|
Series 1798, Class F, 5.000%, 05/15/23 |
|
|
621 |
|
|
9 |
|
|
Series 1807, Class G, 9.000%, 10/15/20 |
|
|
10 |
|
|
167 |
|
|
Series 1829, Class ZB, 6.500%, 03/15/26 |
|
|
186 |
|
|
17 |
|
|
Series 1844, Class E, 6.500%, 10/15/13 |
|
|
19 |
|
|
172 |
|
|
Series 1863, Class Z, 6.500%, 07/15/26 |
|
|
190 |
|
|
39 |
|
|
Series 1865, Class D, PO, 02/15/24 |
|
|
27 |
|
|
104 |
|
|
Series 1890, Class H, 7.500%, 09/15/26 |
|
|
118 |
|
|
334 |
|
|
Series 1899, Class ZE, 8.000%, 09/15/26 |
|
|
379 |
|
|
17 |
|
|
Series 1935, Class FL, VAR, 1.012%, 02/15/27 |
|
|
17 |
|
|
227 |
|
|
Series 1963, Class Z, 7.500%, 01/15/27 |
|
|
255 |
|
|
34 |
|
|
Series 1970, Class PG, 7.250%, 07/15/27 |
|
|
38 |
|
|
363 |
|
|
Series 1981, Class Z, 6.000%, 05/15/27 |
|
|
401 |
|
|
167 |
|
|
Series 1987, Class PE, 7.500%, 09/15/27 |
|
|
193 |
|
|
389 |
|
|
Series 2019, Class Z, 6.500%, 12/15/27 |
|
|
450 |
|
|
68 |
|
|
Series 2025, Class PE, 6.300%, 01/15/13 |
|
|
68 |
|
|
122 |
|
|
Series 2033, Class SN, HB, IF, 24.659%, 03/15/24 |
|
|
59 |
|
|
332 |
|
|
Series 2038, Class PN, IO, 7.000%, 03/15/28 |
|
|
69 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
632 |
|
|
Series 2040, Class PE, 7.500%, 03/15/28 |
|
|
726 |
|
|
116 |
|
|
Series 2043, Class CJ, 6.500%, 04/15/28 |
|
|
131 |
|
|
493 |
|
|
Series 2054, Class PV, 7.500%, 05/15/28 |
|
|
515 |
|
|
140 |
|
|
Series 2055, Class OE, 6.500%, 05/15/13 |
|
|
140 |
|
|
997 |
|
|
Series 2075, Class PH, 6.500%, 08/15/28 |
|
|
1,152 |
|
|
1,120 |
|
|
Series 2075, Class PM, 6.250%, 08/15/28 |
|
|
1,191 |
|
|
394 |
|
|
Series 2086, Class GB, 6.000%, 09/15/28 |
|
|
417 |
|
|
428 |
|
|
Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
|
|
91 |
|
|
1,656 |
|
|
Series 2095, Class PE, 6.000%, 11/15/28 |
|
|
1,819 |
|
|
337 |
|
|
Series 2102, Class TC, 6.000%, 12/15/13 |
|
|
354 |
|
|
220 |
|
|
Series 2102, Class TU, 6.000%, 12/15/13 |
|
|
231 |
|
|
903 |
|
|
Series 2115, Class PE, 6.000%, 01/15/14 |
|
|
938 |
|
|
520 |
|
|
Series 2125, Class JZ, 6.000%, 02/15/29 |
|
|
556 |
|
|
105 |
|
|
Series 2132, Class SB, HB, IF, 29.423%, 03/15/29 |
|
|
158 |
|
|
76 |
|
|
Series 2134, Class PI, IO, 6.500%, 03/15/19 |
|
|
12 |
|
|
25 |
|
|
Series 2135, Class UK, IO, 6.500%, 03/15/14 |
|
|
2 |
|
|
512 |
|
|
Series 2136, Class PG, 6.000%, 03/15/29 |
|
|
562 |
|
|
57 |
|
|
Series 2141, Class IO, IO, 7.000%, 04/15/29 |
|
|
12 |
|
|
128 |
|
|
Series 2163, Class PC, IO, 7.500%, 06/15/29 |
|
|
28 |
|
|
1,507 |
|
|
Series 2169, Class TB, 7.000%, 06/15/29 |
|
|
1,780 |
|
|
715 |
|
|
Series 2172, Class QC, 7.000%, 07/15/29 |
|
|
794 |
|
|
712 |
|
|
Series 2176, Class OJ, 7.000%, 08/15/29 |
|
|
806 |
|
|
368 |
|
|
Series 2201, Class C, 8.000%, 11/15/29 |
|
|
446 |
|
|
284 |
|
|
Series 2209, Class TC, 8.000%, 01/15/30 |
|
|
323 |
|
|
460 |
|
|
Series 2210, Class Z, 8.000%, 01/15/30 |
|
|
528 |
|
|
126 |
|
|
Series 2224, Class CB, 8.000%, 03/15/30 |
|
|
153 |
|
|
292 |
|
|
Series 2230, Class Z, 8.000%, 04/15/30 |
|
|
331 |
|
|
241 |
|
|
Series 2234, Class PZ, 7.500%, 05/15/30 |
|
|
271 |
|
|
206 |
|
|
Series 2247, Class Z, 7.500%, 08/15/30 |
|
|
234 |
|
|
296 |
|
|
Series 2256, Class MC, 7.250%, 09/15/30 |
|
|
350 |
|
|
621 |
|
|
Series 2259, Class ZM, 7.000%, 10/15/30 |
|
|
692 |
|
|
24 |
|
|
Series 2261, Class ZY, 7.500%, 10/15/30 |
|
|
27 |
|
|
71 |
|
|
Series 2262, Class Z, 7.500%, 10/15/30 |
|
|
80 |
|
|
615 |
|
|
Series 2271, Class PC, 7.250%, 12/15/30 |
|
|
727 |
|
|
1,341 |
|
|
Series 2283, Class K, 6.500%, 12/15/23 |
|
|
1,444 |
|
|
344 |
|
|
Series 2296, Class PD, 7.000%, 03/15/31 |
|
|
388 |
|
|
110 |
|
|
Series 2306, Class K, PO, 05/15/24 |
|
|
97 |
|
|
259 |
|
|
Series 2306, Class SE, IF, IO, 7.180%, 05/15/24 |
|
|
48 |
|
|
337 |
|
|
Series 2313, Class LA, 6.500%, 05/15/31 |
|
|
365 |
|
|
745 |
|
|
Series 2325, Class PM, 7.000%, 06/15/31 |
|
|
822 |
|
|
1,350 |
|
|
Series 2344, Class QG, 6.000%, 08/15/16 |
|
|
1,450 |
|
|
3,985 |
|
|
Series 2344, Class ZD, 6.500%, 08/15/31 |
|
|
4,355 |
|
|
356 |
|
|
Series 2344, Class ZJ, 6.500%, 08/15/31 |
|
|
389 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
11 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
333 |
|
|
Series 2345, Class NE, 6.500%, 08/15/31 |
|
|
354 |
|
|
401 |
|
|
Series 2345, Class PQ, 6.500%, 08/15/16 |
|
|
427 |
|
|
454 |
|
|
Series 2351, Class PZ, 6.500%, 08/15/31 |
|
|
490 |
|
|
3,760 |
|
|
Series 2353, Class AZ, 6.000%, 09/15/31 |
|
|
4,037 |
|
|
522 |
|
|
Series 2353, Class TD, 6.000%, 09/15/16 |
|
|
557 |
|
|
426 |
|
|
Series 2355, Class BP, 6.000%, 09/15/16 |
|
|
457 |
|
|
271 |
|
|
Series 2359, Class PM, 6.000%, 09/15/16 |
|
|
288 |
|
|
1,613 |
|
|
Series 2359, Class ZB, 8.500%, 06/15/31 |
|
|
1,841 |
|
|
803 |
|
|
Series 2360, Class PG, 6.000%, 09/15/16 |
|
|
865 |
|
|
183 |
|
|
Series 2363, Class PF, 6.000%, 09/15/16 |
|
|
197 |
|
|
340 |
|
|
Series 2366, Class MD, 6.000%, 10/15/16 |
|
|
366 |
|
|
593 |
|
|
Series 2367, Class ME, 6.500%, 10/15/31 |
|
|
648 |
|
|
1,268 |
|
|
Series 2391, Class QR, 5.500%, 12/15/16 |
|
|
1,372 |
|
|
490 |
|
|
Series 2394, Class MC, 6.000%, 12/15/16 |
|
|
528 |
|
|
1,180 |
|
|
Series 2396, Class FM, VAR, 0.716%, 12/15/31 |
|
|
1,183 |
|
|
752 |
|
|
Series 2399, Class OH, 6.500%, 01/15/32 |
|
|
823 |
|
|
1,243 |
|
|
Series 2399, Class TH, 6.500%, 01/15/32 |
|
|
1,359 |
|
|
1,104 |
|
|
Series 2410, Class NG, 6.500%, 02/15/32 |
|
|
1,213 |
|
|
384 |
|
|
Series 2410, Class OE, 6.375%, 02/15/32 |
|
|
419 |
|
|
865 |
|
|
Series 2410, Class QS, IF, 18.809%, 02/15/32 |
|
|
1,080 |
|
|
348 |
|
|
Series 2410, Class QX, IF, IO, 8.384%, 02/15/32 |
|
|
63 |
|
|
948 |
|
|
Series 2412, Class SP, IF, 15.568%, 02/15/32 |
|
|
1,139 |
|
|
1,535 |
|
|
Series 2420, Class XK, 6.500%, 02/15/32 |
|
|
1,679 |
|
|
775 |
|
|
Series 2423, Class MC, 7.000%, 03/15/32 |
|
|
853 |
|
|
771 |
|
|
Series 2423, Class MT, 7.000%, 03/15/32 |
|
|
849 |
|
|
473 |
|
|
Series 2425, Class OB, 6.000%, 03/15/17 |
|
|
500 |
|
|
2,045 |
|
|
Series 2430, Class WF, 6.500%, 03/15/32 |
|
|
2,262 |
|
|
1,072 |
|
|
Series 2434, Class TC, 7.000%, 04/15/32 |
|
|
1,188 |
|
|
565 |
|
|
Series 2435, Class CJ, 6.500%, 04/15/32 |
|
|
631 |
|
|
1,255 |
|
|
Series 2435, Class VH, 6.000%, 07/15/19 |
|
|
1,279 |
|
|
963 |
|
|
Series 2436, Class MC, 7.000%, 04/15/32 |
|
|
1,065 |
|
|
669 |
|
|
Series 2444, Class ES, IF, IO, 7.684%, 03/15/32 |
|
|
131 |
|
|
432 |
|
|
Series 2450, Class GZ, 7.000%, 05/15/32 |
|
|
480 |
|
|
535 |
|
|
Series 2450, Class SW, IF, IO, 7.734%, 03/15/32 |
|
|
105 |
|
|
2,933 |
|
|
Series 2455, Class GK, 6.500%, 05/15/32 |
|
|
3,246 |
|
|
320 |
|
|
Series 2458, Class QE, 5.500%, 06/15/17 |
|
|
346 |
|
|
904 |
|
|
Series 2462, Class JG, 6.500%, 06/15/32 |
|
|
1,045 |
|
|
2,579 |
|
|
Series 2464, Class SI, IF, IO, 7.734%, 02/15/32 |
|
|
465 |
|
|
762 |
|
|
Series 2466, Class PG, 6.500%, 04/15/32 |
|
|
807 |
|
|
942 |
|
|
Series 2466, Class PH, 6.500%, 06/15/32 |
|
|
1,052 |
|
|
919 |
|
|
Series 2474, Class NR, 6.500%, 07/15/32 |
|
|
1,014 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
59 |
|
|
Series 2480, Class PV, 6.000%, 07/15/11 |
|
|
60 |
|
|
1,318 |
|
|
Series 2484, Class LZ, 6.500%, 07/15/32 |
|
|
1,524 |
|
|
2,260 |
|
|
Series 2500, Class MC, 6.000%, 09/15/32 |
|
|
2,468 |
|
|
164 |
|
|
Series 2503, Class BH, 5.500%, 09/15/17 |
|
|
179 |
|
|
823 |
|
|
Series 2508, Class AQ, 5.500%, 10/15/17 |
|
|
897 |
|
|
1,130 |
|
|
Series 2512, Class PG, 5.500%, 10/15/22 |
|
|
1,241 |
|
|
143 |
|
|
Series 2513, Class TG, 6.000%, 02/15/32 |
|
|
146 |
|
|
217 |
|
|
Series 2513, Class YO, PO, 02/15/32 |
|
|
217 |
|
|
908 |
|
|
Series 2515, Class DE, 4.000%, 03/15/32 |
|
|
943 |
|
|
656 |
|
|
Series 2518, Class PX, 5.500%, 09/15/13 |
|
|
687 |
|
|
24 |
|
|
Series 2519, Class BT, 8.500%, 09/15/31 |
|
|
25 |
|
|
824 |
|
|
Series 2535, Class BK, 5.500%, 12/15/22 |
|
|
901 |
|
|
1,783 |
|
|
Series 2537, Class TE, 5.500%, 12/15/17 |
|
|
1,938 |
|
|
2,024 |
|
|
Series 2543, Class YX, 6.000%, 12/15/32 |
|
|
2,218 |
|
|
2,449 |
|
|
Series 2544, Class HC, 6.000%, 12/15/32 |
|
|
2,672 |
|
|
2,532 |
|
|
Series 2552, Class ME, 6.000%, 01/15/33 |
|
|
2,778 |
|
|
25 |
|
|
Series 2565, Class MB, 6.000%, 05/15/30 |
|
|
25 |
|
|
1,481 |
|
|
Series 2567, Class QD, 6.000%, 02/15/33 |
|
|
1,623 |
|
|
1,690 |
|
|
Series 2568, Class KG, 5.500%, 02/15/23 |
|
|
1,834 |
|
|
253 |
|
|
Series 2571, Class SK, HB, IF, 33.354%, 09/15/23 |
|
|
423 |
|
|
3,767 |
|
|
Series 2575, Class ME, 6.000%, 02/15/33 |
|
|
4,132 |
|
|
821 |
|
|
Series 2586, Class WI, IO, 6.500%, 03/15/33 |
|
|
171 |
|
|
1,911 |
|
|
Series 2587, Class WX, 5.000%, 03/15/18 |
|
|
2,061 |
|
|
343 |
|
|
Series 2591, Class WI, IO, 5.500%, 02/15/30 |
|
|
2 |
|
|
1,609 |
|
|
Series 2594, Class VQ, 6.000%, 08/15/20 |
|
|
1,652 |
|
|
1,380 |
|
|
Series 2596, Class QG, 6.000%, 03/15/33 |
|
|
1,523 |
|
|
308 |
|
|
Series 2597, Class DS, IF, IO, 7.284%, 02/15/33 |
|
|
20 |
|
|
491 |
|
|
Series 2599, Class DS, IF, IO, 6.734%, 02/15/33 |
|
|
21 |
|
|
1,612 |
|
|
Series 2610, Class DS, IF, IO, 6.834%, 03/15/33 |
|
|
80 |
|
|
1,417 |
|
|
Series 2611, Class SH, IF, IO, 7.384%, 10/15/21 |
|
|
58 |
|
|
1,130 |
|
|
Series 2611, Class UH, 4.500%, 05/15/18 |
|
|
1,170 |
|
|
939 |
|
|
Series 2617, Class AK, 4.500%, 05/15/18 |
|
|
952 |
|
|
1,697 |
|
|
Series 2617, Class GR, 4.500%, 05/15/18 |
|
|
1,802 |
|
|
112 |
|
|
Series 2619, Class HR, 3.500%, 11/15/31 |
|
|
115 |
|
|
226 |
|
|
Series 2619, Class IM, IO, 5.000%, 10/15/21 |
|
|
6 |
|
|
4,101 |
|
|
Series 2626, Class NS, IF, IO, 6.284%, 06/15/23 |
|
|
386 |
|
|
470 |
|
|
Series 2628, Class WA, 4.000%, 07/15/28 |
|
|
476 |
|
|
2,260 |
|
|
Series 2631, Class LC, 4.500%, 06/15/18 |
|
|
2,399 |
|
|
1,060 |
|
|
Series 2636, Class Z, 4.500%, 06/15/18 |
|
|
1,123 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
12 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
1,184 |
|
|
Series 2637, Class SA, IF, IO, 5.834%, 06/15/18 |
|
|
119 |
|
|
169 |
|
|
Series 2638, Class DS, IF, 8.334%, 07/15/23 |
|
|
173 |
|
|
394 |
|
|
Series 2638, Class SA, IF, IO, 6.834%, 11/15/16 |
|
|
9 |
|
|
829 |
|
|
Series 2640, Class UG, IO, 5.000%, 01/15/32 |
|
|
95 |
|
|
2,421 |
|
|
Series 2640, Class UP, IO, 5.000%, 01/15/32 |
|
|
201 |
|
|
83 |
|
|
Series 2640, Class UR, IO, 4.500%, 08/15/17 |
|
|
2 |
|
|
42 |
|
|
Series 2643, Class HI, IO, 4.500%, 12/15/16 |
|
|
|
(h) |
|
4,957 |
|
|
Series 2645, Class BI, IO, 4.500%, 02/15/18 |
|
|
336 |
|
|
968 |
|
|
Series 2650, Class PO, PO, 12/15/32 |
|
|
902 |
|
|
3,332 |
|
|
Series 2650, Class SO, PO, 12/15/32 |
|
|
3,097 |
|
|
1,768 |
|
|
Series 2651, Class VZ, 4.500%, 07/15/18 |
|
|
1,873 |
|
|
1,449 |
|
|
Series 2668, Class SB, IF, 6.964%, 10/15/15 |
|
|
1,472 |
|
|
1,884 |
|
|
Series 2672, Class ME, 5.000%, 11/15/22 |
|
|
2,020 |
|
|
333 |
|
|
Series 2672, Class SJ, IF, 6.919%, 09/15/16 |
|
|
341 |
|
|
5,760 |
|
|
Series 2675, Class CK, 4.000%, 09/15/18 |
|
|
6,070 |
|
|
1,487 |
|
|
Series 2682, Class YS, IF, 8.610%, 10/15/33 |
|
|
1,414 |
|
|
7 |
|
|
Series 2683, Class VA, 5.500%, 02/15/21 |
|
|
7 |
|
|
16,600 |
|
|
Series 2684, Class PO, PO, 01/15/33 |
|
|
14,675 |
|
|
934 |
|
|
Series 2684, Class TO, PO, 10/15/33 |
|
|
855 |
|
|
282 |
|
|
Series 2686, Class GB, 5.000%, 05/15/20 |
|
|
286 |
|
|
780 |
|
|
Series 2686, Class NS, IF, IO, 7.334%, 10/15/21 |
|
|
38 |
|
|
501 |
|
|
Series 2690, Class SJ, IF, 8.751%, 10/15/33 |
|
|
473 |
|
|
1,538 |
|
|
Series 2691, Class ME, 4.500%, 04/15/32 |
|
|
1,622 |
|
|
844 |
|
|
Series 2691, Class WS, IF, 8.601%, 10/15/33 |
|
|
800 |
|
|
795 |
|
|
Series 2692, Class SC, IF, 12.755%, 07/15/33 |
|
|
837 |
|
|
1,646 |
|
|
Series 2695, Class DE, 4.000%, 01/15/17 |
|
|
1,687 |
|
|
1,199 |
|
|
Series 2695, Class DG, 4.000%, 10/15/18 |
|
|
1,266 |
|
|
392 |
|
|
Series 2695, Class OB, PO, 10/15/33 |
|
|
344 |
|
|
354 |
|
|
Series 2696, Class CO, PO, 10/15/18 |
|
|
292 |
|
|
34 |
|
|
Series 2696, Class SM, IF, 13.669%, 12/15/26 |
|
|
34 |
|
|
228 |
|
|
Series 2700, Class S, IF, 8.601%, 11/15/33 |
|
|
222 |
|
|
1,205 |
|
|
Series 2702, Class PC, 5.000%, 01/15/23 |
|
|
1,289 |
|
|
616 |
|
|
Series 2705, Class SC, IF, 8.601%, 11/15/33 |
|
|
580 |
|
|
1,164 |
|
|
Series 2705, Class SD, IF, 8.658%, 11/15/33 |
|
|
1,078 |
|
|
1,712 |
|
|
Series 2715, Class OG, 5.000%, 01/15/23 |
|
|
1,846 |
|
|
3,014 |
|
|
Series 2716, Class UN, 4.500%, 12/15/23 |
|
|
3,172 |
|
|
1,609 |
|
|
Series 2720, Class PC, 5.000%, 12/15/23 |
|
|
1,656 |
|
|
7,722 |
|
|
Series 2727, Class BS, IF, 8.676%, 01/15/34 |
|
|
7,384 |
|
|
29 |
|
|
Series 2727, Class PO, PO, 01/15/34 |
|
|
29 |
|
|
271 |
|
|
Series 2744, Class FE, VAR, 02/15/34 |
|
|
264 |
|
|
1,705 |
|
|
Series 2744, Class PE, 5.500%, 02/15/34 |
|
|
1,866 |
|
|
3,171 |
|
|
Series 2744, Class TU, 5.500%, 05/15/32 |
|
|
3,419 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
1,126 |
|
|
Series 2751, Class BA, 4.000%, 10/15/18 |
|
|
1,170 |
|
|
1,546 |
|
|
Series 2755, Class PA, PO, 02/15/29 |
|
|
1,527 |
|
|
1,321 |
|
|
Series 2755, Class SA, IF, 13.669%, 05/15/30 |
|
|
1,481 |
|
|
150 |
|
|
Series 2762, Class LO, PO, 03/15/34 |
|
|
148 |
|
|
1,000 |
|
|
Series 2764, Class TE, 5.000%, 10/15/32 |
|
|
1,062 |
|
|
80 |
|
|
Series 2766, Class SX, IF, 15.720%, 03/15/34 |
|
|
81 |
|
|
272 |
|
|
Series 2771, Class FG, VAR, 0.000%, 03/15/34 |
|
|
234 |
|
|
459 |
|
|
Series 2776, Class SK, IF, 8.676%, 04/15/34 |
|
|
438 |
|
|
1,506 |
|
|
Series 2777, Class OM, PO, 12/15/32 |
|
|
1,367 |
|
|
2,153 |
|
|
Series 2778, Class US, IF, IO, 6.934%, 06/15/33 |
|
|
124 |
|
|
368 |
|
|
Series 2780, Class JG, 4.500%, 04/15/19 |
|
|
388 |
|
|
1,284 |
|
|
Series 2783, Class AT, 4.000%, 04/15/19 |
|
|
1,334 |
|
|
963 |
|
|
Series 2809, Class UB, 4.000%, 09/15/17 |
|
|
989 |
|
|
5,515 |
|
|
Series 2809, Class UC, 4.000%, 06/15/19 |
|
|
5,790 |
|
|
913 |
|
|
Series 2812, Class NO, PO, 10/15/33 |
|
|
724 |
|
|
99 |
|
|
Series 2827, Class SQ, IF, 7.500%, 01/15/19 |
|
|
101 |
|
|
1,389 |
|
|
Series 2827, Class XO, PO, 01/15/23 |
|
|
1,323 |
|
|
262 |
|
|
Series 2835, Class QO, PO, 12/15/32 |
|
|
228 |
|
|
1,319 |
|
|
Series 2840, Class JO, PO, 06/15/23 |
|
|
1,265 |
|
|
1,160 |
|
|
Series 2850, Class SN, IF, IO, 6.884%, 09/15/18 |
|
|
93 |
|
|
489 |
|
|
Series 2870, Class KC, 4.250%, 05/15/18 |
|
|
504 |
|
|
2,731 |
|
|
Series 2872, Class JE, 4.500%, 02/15/18 |
|
|
2,832 |
|
|
68 |
|
|
Series 2890, Class DO, PO, 11/15/34 |
|
|
67 |
|
|
156 |
|
|
Series 2925, Class MW, VAR, 01/15/35 |
|
|
155 |
|
|
2,002 |
|
|
Series 2934, Class EC, PO, 02/15/20 |
|
|
1,867 |
|
|
262 |
|
|
Series 2934, Class EN, PO, 02/15/18 |
|
|
257 |
|
|
1,668 |
|
|
Series 2934, Class HI, IO, 5.000%, 02/15/20 |
|
|
199 |
|
|
1,642 |
|
|
Series 2934, Class KI, IO, 5.000%, 02/15/20 |
|
|
192 |
|
|
856 |
|
|
Series 2958, Class QD, 4.500%, 04/15/20 |
|
|
915 |
|
|
1,500 |
|
|
Series 2962, Class BE, 4.500%, 04/15/20 |
|
|
1,592 |
|
|
3,425 |
|
|
Series 2965, Class GD, 4.500%, 04/15/20 |
|
|
3,650 |
|
|
5,191 |
|
|
Series 2971, Class GB, 5.000%, 11/15/16 |
|
|
5,318 |
|
|
856 |
|
|
Series 2971, Class GC, 5.000%, 07/15/18 |
|
|
914 |
|
|
622 |
|
|
Series 2989, Class PO, PO, 06/15/23 |
|
|
596 |
|
|
4,281 |
|
|
Series 3004, Class EK, 5.500%, 07/15/35 |
|
|
4,396 |
|
|
261 |
|
|
Series 3007, Class AI, IO, 5.500%, 07/15/24 |
|
|
25 |
|
|
243 |
|
|
Series 3014, Class OD, PO, 08/15/35 |
|
|
212 |
|
|
165 |
|
|
Series 3044, Class VO, PO, 10/15/35 |
|
|
148 |
|
|
3,232 |
|
|
Series 3047, Class OB, 5.500%, 12/15/33 |
|
|
3,421 |
|
|
944 |
|
|
Series 3047, Class OD, 5.500%, 10/15/35 |
|
|
1,019 |
|
|
1,415 |
|
|
Series 3049, Class XF, VAR, 0.616%, 05/15/33 |
|
|
1,411 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
13 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
3,095 |
|
|
Series 3064, Class MC, 5.500%, 11/15/35 |
|
|
3,309 |
|
|
1,531 |
|
|
Series 3064, Class OB, 5.500%, 07/15/29 |
|
|
1,589 |
|
|
618 |
|
|
Series 3068, Class AO, PO, 01/15/35 |
|
|
592 |
|
|
87 |
|
|
Series 3068, Class MO, PO, 01/15/23 |
|
|
86 |
|
|
1,580 |
|
|
Series 3068, Class QB, 4.500%, 06/15/20 |
|
|
1,669 |
|
|
2,141 |
|
|
Series 3074, Class BH, 5.000%, 11/15/35 |
|
|
2,282 |
|
|
1,029 |
|
|
Series 3100, Class MA, VAR, 2.514%, 12/15/35 |
|
|
928 |
|
|
2,367 |
|
|
Series 3102, Class FB, VAR, 0.566%, 01/15/36 |
|
|
2,363 |
|
|
536 |
|
|
Series 3102, Class HS, HB, IF, 23.592%, 01/15/36 |
|
|
727 |
|
|
2,380 |
|
|
Series 3117, Class EO, PO, 02/15/36 |
|
|
2,052 |
|
|
1,544 |
|
|
Series 3117, Class OK, PO, 02/15/36 |
|
|
1,336 |
|
|
122 |
|
|
Series 3122, Class ZB, 6.000%, 03/15/36 |
|
|
114 |
|
|
584 |
|
|
Series 3134, Class PO, PO, 03/15/36 |
|
|
508 |
|
|
2,759 |
|
|
Series 3138, Class PO, PO, 04/15/36 |
|
|
2,460 |
|
|
152 |
|
|
Series 3149, Class SO, PO, 05/15/36 |
|
|
116 |
|
|
2,055 |
|
|
Series 3151, Class UC, 5.500%, 08/15/35 |
|
|
2,236 |
|
|
1,241 |
|
|
Series 3152, Class MO, PO, 03/15/36 |
|
|
1,095 |
|
|
292 |
|
|
Series 3171, Class MO, PO, 06/15/36 |
|
|
251 |
|
|
3,201 |
|
|
Series 3179, Class OA, PO, 07/15/36 |
|
|
2,771 |
|
|
1,570 |
|
|
Series 3194, Class SA, IF, IO, 6.834%, 07/15/36 |
|
|
215 |
|
|
1,703 |
|
|
Series 3211, Class SO, PO, 09/15/36 |
|
|
1,467 |
|
|
850 |
|
|
Series 3218, Class AO, PO, 09/15/36 |
|
|
771 |
|
|
3,356 |
|
|
Series 3219, Class DI, IO, 6.000%, 04/15/36 |
|
|
650 |
|
|
1,500 |
|
|
Series 3229, Class HE, 5.000%, 10/15/26 |
|
|
1,584 |
|
|
2,396 |
|
|
Series 3232, Class ST, IF, IO, 6.434%, 10/15/36 |
|
|
340 |
|
|
1,100 |
|
|
Series 3233, Class OP, PO, 05/15/36 |
|
|
949 |
|
|
1,500 |
|
|
Series 3242, Class NE, 5.750%, 02/15/34 |
|
|
1,617 |
|
|
1,028 |
|
|
Series 3256, Class PO, PO, 12/15/36 |
|
|
901 |
|
|
2,488 |
|
|
Series 3260, Class CS, IF, IO, 5.874%, 01/15/37 |
|
|
317 |
|
|
1,144 |
|
|
Series 3261, Class OA, PO, 01/15/37 |
|
|
1,007 |
|
|
1,696 |
|
|
Series 3274, Class JO, PO, 02/15/37 |
|
|
1,482 |
|
|
795 |
|
|
Series 3275, Class FL, VAR, 0.706%, 02/15/37 |
|
|
789 |
|
|
3,206 |
|
|
Series 3290, Class SB, IF, IO, 6.184%, 03/15/37 |
|
|
411 |
|
|
2,503 |
|
|
Series 3315, Class HZ, 6.000%, 05/15/37 |
|
|
2,697 |
|
|
365 |
|
|
Series 3318, Class AO, PO, 05/15/37 |
|
|
323 |
|
|
1,944 |
|
|
Series 3331, Class PO, PO, 06/15/37 |
|
|
1,696 |
|
|
2,200 |
|
|
Series 3334, Class MC, 5.000%, 04/15/33 |
|
|
2,272 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
2,884 |
|
|
Series 3385, Class SN, IF, IO, 5.734%, 11/15/37 |
|
|
317 |
|
|
2,195 |
|
|
Series 3387, Class SA, IF, IO, 6.154%, 11/15/37 |
|
|
282 |
|
|
3,130 |
|
|
Series 3404, Class SC, IF, IO, 5.734%, 01/15/38 |
|
|
350 |
|
|
10,767 |
|
|
Series 3422, Class AI, SUB, 1.860%, 01/15/38 |
|
|
115 |
|
|
2,663 |
|
|
Series 3424, Class PI, IF, IO, 6.534%, 04/15/38 |
|
|
390 |
|
|
7,160 |
|
|
Series 3430, Class AI, IO, 1.417%, 09/15/12 |
|
|
110 |
|
|
4,521 |
|
|
Series 3437, Class AI, IO, 1.335%, 09/15/11 |
|
|
23 |
|
|
3,082 |
|
|
Series 3481, Class SJ, IF, IO, 5.584%, 08/15/38 |
|
|
378 |
|
|
4,039 |
|
|
Series 3505, Class SA, IF, IO, 5.734%, 01/15/39 |
|
|
422 |
|
|
4,606 |
|
|
Series 3511, Class SA, IF, IO, 5.734%, 02/15/39 |
|
|
499 |
|
|
2,192 |
|
|
Series 3549, Class FA, VAR, 1.466%, 07/15/39 |
|
|
2,178 |
|
|
1,000 |
|
|
Series 3607, Class BO, PO, 04/15/36 |
|
|
749 |
|
|
1,987 |
|
|
Series 3607, Class OP, PO, 07/15/37 |
|
|
1,606 |
|
|
681 |
|
|
Series 3611, Class PO, PO, 07/15/34 |
|
|
596 |
|
|
3,928 |
|
|
Series 3739, Class LI, IO, 4.000%, 03/15/34 |
|
|
554 |
|
|
1,000 |
|
|
Series 3747, Class PY, 4.000%, 10/15/40 |
|
|
859 |
|
|
4,952 |
|
|
Series 3759, Class HI, IO, 4.000%, 08/15/37 |
|
|
803 |
|
|
5,937 |
|
|
Series 3760, Class GI, IO, 4.000%, 10/15/37 |
|
|
1,016 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. STRIPS, |
|
|
|
|
|
5 |
|
|
Series 134, Class B, IO, 9.000%, 04/01/22 |
|
|
1 |
|
|
4,569 |
|
|
Series 233, Class 11, IO, 5.000%, 09/15/35 |
|
|
878 |
|
|
6,509 |
|
|
Series 233, Class 13, IO, 5.000%, 09/15/35 |
|
|
1,241 |
|
|
1,263 |
|
|
Series 243, Class 16, IO, 4.500%, 11/15/20 |
|
|
123 |
|
|
2,788 |
|
|
Series 243, Class 17, IO, 4.500%, 12/15/20 |
|
|
280 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
|
|
728 |
|
|
Series T-41, Class 3A, VAR, 7.500%, 07/25/32 |
|
|
853 |
|
|
452 |
|
|
Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
|
|
521 |
|
|
2,338 |
|
|
Series T-54, Class 2A, 6.500%, 02/25/43 |
|
|
2,702 |
|
|
791 |
|
|
Series T-54, Class 3A, 7.000%, 02/25/43 |
|
|
885 |
|
|
340 |
|
|
Series T-58, Class APO, PO, 09/25/43 |
|
|
284 |
|
|
781 |
|
|
Series T-59, Class 1AP, PO, 10/25/43 |
|
|
616 |
|
|
2,846 |
|
|
Series T-76, Class 2A, VAR, 4.785%, 10/25/37 |
|
|
2,858 |
|
|
|
|
|
Federal National Mortgage Association Grantor Trust, |
|
|
|
|
|
1,225 |
|
|
Series 2002-T19, Class A2, 7.000%, 07/25/42 |
|
|
1,455 |
|
|
1,174 |
|
|
Series 2004-T3, Class 1A3, 7.000%, 02/25/44 |
|
|
1,363 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
14 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
|
|
|
Federal National Mortgage Association REMICS, |
|
|
|
|
|
12 |
|
|
Series 1988-7, Class Z, 9.250%, 04/25/18 |
|
|
13 |
|
|
25 |
|
|
Series 1989-70, Class G, 8.000%, 10/25/19 |
|
|
29 |
|
|
11 |
|
|
Series 1989-78, Class H, 9.400%, 11/25/19 |
|
|
12 |
|
|
15 |
|
|
Series 1989-83, Class H, 8.500%, 11/25/19 |
|
|
18 |
|
|
17 |
|
|
Series 1989-89, Class H, 9.000%, 11/25/19 |
|
|
20 |
|
|
14 |
|
|
Series 1990-1, Class D, 8.800%, 01/25/20 |
|
|
16 |
|
|
3 |
|
|
Series 1990-60, Class K, 5.500%, 06/25/20 |
|
|
3 |
|
|
6 |
|
|
Series 1990-63, Class H, 9.500%, 06/25/20 |
|
|
7 |
|
|
4 |
|
|
Series 1990-93, Class G, 5.500%, 08/25/20 |
|
|
5 |
|
|
|
(h) |
|
Series 1990-94, Class H, HB, 505.000%, 08/25/20 |
|
|
1 |
|
|
|
(h) |
|
Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 |
|
|
3 |
|
|
30 |
|
|
Series 1990-102, Class J, 6.500%, 08/25/20 |
|
|
32 |
|
|
42 |
|
|
Series 1990-120, Class H, 9.000%, 10/25/20 |
|
|
47 |
|
|
4 |
|
|
Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 |
|
|
6 |
|
|
|
(h) |
|
Series 1990-140, Class K, HB, 652.145%, 12/25/20 |
|
|
4 |
|
|
|
(h) |
|
Series 1991-7, Class K, HB, 908.500%, 02/25/21 |
|
|
1 |
|
|
17 |
|
|
Series 1991-24, Class Z, 5.000%, 03/25/21 |
|
|
18 |
|
|
3 |
|
|
Series 1992-101, Class J, 7.500%, 06/25/22 |
|
|
3 |
|
|
81 |
|
|
Series 1992-136, Class PK, 6.000%, 08/25/22 |
|
|
88 |
|
|
71 |
|
|
Series 1992-143, Class MA, 5.500%, 09/25/22 |
|
|
76 |
|
|
189 |
|
|
Series 1992-163, Class M, 7.750%, 09/25/22 |
|
|
212 |
|
|
323 |
|
|
Series 1992-188, Class PZ, 7.500%, 10/25/22 |
|
|
361 |
|
|
133 |
|
|
Series 1993-21, Class KA, 7.700%, 03/25/23 |
|
|
149 |
|
|
199 |
|
|
Series 1993-25, Class J, 7.500%, 03/25/23 |
|
|
223 |
|
|
52 |
|
|
Series 1993-27, Class SA, IF, 15.500%, 02/25/23 |
|
|
62 |
|
|
79 |
|
|
Series 1993-62, Class SA, IF, 17.015%, 04/25/23 |
|
|
106 |
|
|
41 |
|
|
Series 1993-165, Class SD, IF, 11.657%, 09/25/23 |
|
|
51 |
|
|
89 |
|
|
Series 1993-165, Class SK, IF, 12.500%, 09/25/23 |
|
|
100 |
|
|
77 |
|
|
Series 1993-167, Class GA, 7.000%, 09/25/23 |
|
|
78 |
|
|
60 |
|
|
Series 1993-179, Class SB, HB, IF, 23.152%, 10/25/23 |
|
|
77 |
|
|
40 |
|
|
Series 1993-179, Class SC, IF, 10.500%, 10/25/23 |
|
|
51 |
|
|
182 |
|
|
Series 1993-199, Class FA, VAR, 0.831%, 10/25/23 |
|
|
183 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
115 |
|
|
Series 1993-205, Class H, PO, 09/25/23 |
|
|
99 |
|
|
136 |
|
|
Series 1993-220, Class SG, IF, 15.437%, 11/25/13 |
|
|
158 |
|
|
171 |
|
|
Series 1993-225, Class UB, 6.500%, 12/25/23 |
|
|
183 |
|
|
54 |
|
|
Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 |
|
|
55 |
|
|
170 |
|
|
Series 1993-247, Class FE, VAR, 1.281%, 12/25/23 |
|
|
172 |
|
|
79 |
|
|
Series 1993-247, Class SU, IF, 11.442%, 12/25/23 |
|
|
100 |
|
|
275 |
|
|
Series 1993-250, Class Z, 7.000%, 12/25/23 |
|
|
293 |
|
|
629 |
|
|
Series 1993-257, Class C, PO, 06/25/23 |
|
|
624 |
|
|
685 |
|
|
Series 1994-37, Class L, 6.500%, 03/25/24 |
|
|
773 |
|
|
3,268 |
|
|
Series 1994-40, Class Z, 6.500%, 03/25/24 |
|
|
3,588 |
|
|
116 |
|
|
Series 1995-2, Class Z, 8.500%, 01/25/25 |
|
|
132 |
|
|
269 |
|
|
Series 1995-19, Class Z, 6.500%, 11/25/23 |
|
|
303 |
|
|
695 |
|
|
Series 1996-14, Class SE, IF, IO, 7.330%, 08/25/23 |
|
|
128 |
|
|
25 |
|
|
Series 1996-27, Class FC, VAR, 0.781%, 03/25/17 |
|
|
25 |
|
|
67 |
|
|
Series 1996-59, Class J, 6.500%, 08/25/22 |
|
|
74 |
|
|
687 |
|
|
Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
|
|
33 |
|
|
48 |
|
|
Series 1997-27, Class J, 7.500%, 04/18/27 |
|
|
52 |
|
|
78 |
|
|
Series 1997-29, Class J, 7.500%, 04/20/27 |
|
|
87 |
|
|
525 |
|
|
Series 1997-39, Class PD, 7.500%, 05/20/27 |
|
|
583 |
|
|
183 |
|
|
Series 1997-42, Class EN, 7.250%, 07/18/27 |
|
|
190 |
|
|
72 |
|
|
Series 1997-42, Class ZC, 6.500%, 07/18/27 |
|
|
80 |
|
|
1,083 |
|
|
Series 1997-61, Class ZC, 7.000%, 02/25/23 |
|
|
1,197 |
|
|
207 |
|
|
Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
|
|
44 |
|
|
31 |
|
|
Series 1998-4, Class C, PO, 04/25/23 |
|
|
28 |
|
|
669 |
|
|
Series 1998-36, Class ZB, 6.000%, 07/18/28 |
|
|
735 |
|
|
238 |
|
|
Series 1998-43, Class SA, IF, IO, 15.907%, 04/25/23 |
|
|
87 |
|
|
361 |
|
|
Series 1998-66, Class SB, IF, IO, 7.889%, 12/25/28 |
|
|
77 |
|
|
216 |
|
|
Series 1999-17, Class C, 6.350%, 04/25/29 |
|
|
239 |
|
|
1,537 |
|
|
Series 1999-18, Class Z, 5.500%, 04/18/29 |
|
|
1,678 |
|
|
400 |
|
|
Series 1999-38, Class SK, IF, IO, 7.788%, 08/25/23 |
|
|
66 |
|
|
111 |
|
|
Series 1999-52, Class NS, HB, IF, 22.648%, 10/25/23 |
|
|
150 |
|
|
289 |
|
|
Series 1999-62, Class PB, 7.500%, 12/18/29 |
|
|
325 |
|
|
907 |
|
|
Series 2000-2, Class ZE, 7.500%, 02/25/30 |
|
|
1,019 |
|
|
464 |
|
|
Series 2000-20, Class SA, IF, IO, 8.840%, 07/25/30 |
|
|
115 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
15 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
69 |
|
|
Series 2000-52, Class IO, IO, 8.500%, 01/25/31 |
|
|
15 |
|
|
359 |
|
|
Series 2001-4, Class PC, 7.000%, 03/25/21 |
|
|
388 |
|
|
160 |
|
|
Series 2001-5, Class OW, 6.000%, 03/25/16 |
|
|
167 |
|
|
240 |
|
|
Series 2001-7, Class PF, 7.000%, 03/25/31 |
|
|
267 |
|
|
882 |
|
|
Series 2001-7, Class PR, 6.000%, 03/25/16 |
|
|
927 |
|
|
899 |
|
|
Series 2001-10, Class PR, 6.000%, 04/25/16 |
|
|
943 |
|
|
710 |
|
|
Series 2001-30, Class PM, 7.000%, 07/25/31 |
|
|
790 |
|
|
93 |
|
|
Series 2001-31, Class VD, 6.000%, 05/25/31 |
|
|
93 |
|
|
1,096 |
|
|
Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
|
|
211 |
|
|
651 |
|
|
Series 2001-36, Class DE, 7.000%, 08/25/31 |
|
|
724 |
|
|
1,509 |
|
|
Series 2001-44, Class MY, 7.000%, 09/25/31 |
|
|
1,678 |
|
|
295 |
|
|
Series 2001-44, Class PD, 7.000%, 09/25/31 |
|
|
329 |
|
|
318 |
|
|
Series 2001-44, Class PU, 7.000%, 09/25/31 |
|
|
354 |
|
|
2,765 |
|
|
Series 2001-48, Class Z, 6.500%, 09/25/21 |
|
|
3,064 |
|
|
276 |
|
|
Series 2001-49, Class Z, 6.500%, 09/25/31 |
|
|
305 |
|
|
204 |
|
|
Series 2001-52, Class KB, 6.500%, 10/25/31 |
|
|
226 |
|
|
671 |
|
|
Series 2001-52, Class XN, 6.500%, 11/25/15 |
|
|
721 |
|
|
2,369 |
|
|
Series 2001-61, Class Z, 7.000%, 11/25/31 |
|
|
2,634 |
|
|
298 |
|
|
Series 2001-71, Class MB, 6.000%, 12/25/16 |
|
|
321 |
|
|
684 |
|
|
Series 2001-71, Class QE, 6.000%, 12/25/16 |
|
|
735 |
|
|
165 |
|
|
Series 2001-72, Class SX, IF, 16.857%, 12/25/31 |
|
|
204 |
|
|
896 |
|
|
Series 2001-74, Class MB, 6.000%, 12/25/16 |
|
|
964 |
|
|
333 |
|
|
Series 2001-80, Class PE, 6.000%, 07/25/29 |
|
|
341 |
|
|
244 |
|
|
Series 2002-1, Class HC, 6.500%, 02/25/22 |
|
|
258 |
|
|
256 |
|
|
Series 2002-1, Class SA, HB, IF, 24.338%, 02/25/32 |
|
|
364 |
|
|
170 |
|
|
Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 |
|
|
238 |
|
|
834 |
|
|
Series 2002-2, Class UC, 6.000%, 02/25/17 |
|
|
893 |
|
|
2,263 |
|
|
Series 2002-3, Class OG, 6.000%, 02/25/17 |
|
|
2,432 |
|
|
491 |
|
|
Series 2002-7, Class OG, 6.000%, 03/25/17 |
|
|
528 |
|
|
1,600 |
|
|
Series 2002-7, Class TG, 6.000%, 03/25/17 |
|
|
1,718 |
|
|
491 |
|
|
Series 2002-10, Class SB, IF, 18.572%, 03/25/17 |
|
|
608 |
|
|
710 |
|
|
Series 2002-11, Class QG, 5.500%, 03/25/17 |
|
|
767 |
|
|
2,200 |
|
|
Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 |
|
|
107 |
|
|
36 |
|
|
Series 2002-13, Class ST, IF, 10.000%, 03/25/32 |
|
|
44 |
|
|
2,743 |
|
|
Series 2002-18, Class PC, 5.500%, 04/25/17 |
|
|
2,892 |
|
|
524 |
|
|
Series 2002-19, Class PE, 6.000%, 04/25/17 |
|
|
563 |
|
|
99 |
|
|
Series 2002-21, Class LO, PO, 04/25/32 |
|
|
85 |
|
|
880 |
|
|
Series 2002-21, Class PE, 6.500%, 04/25/32 |
|
|
967 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
1,059 |
|
|
Series 2002-24, Class AJ, 6.000%, 04/25/17 |
|
|
1,150 |
|
|
357 |
|
|
Series 2002-25, Class SG, IF, 18.692%, 05/25/17 |
|
|
447 |
|
|
2,028 |
|
|
Series 2002-28, Class PK, 6.500%, 05/25/32 |
|
|
2,241 |
|
|
622 |
|
|
Series 2002-37, Class Z, 6.500%, 06/25/32 |
|
|
688 |
|
|
799 |
|
|
Series 2002-42, Class C, 6.000%, 07/25/17 |
|
|
863 |
|
|
3,010 |
|
|
Series 2002-48, Class GH, 6.500%, 08/25/32 |
|
|
3,310 |
|
|
464 |
|
|
Series 2002-55, Class QE, 5.500%, 09/25/17 |
|
|
505 |
|
|
5,229 |
|
|
Series 2002-56, Class UC, 5.500%, 09/25/17 |
|
|
5,683 |
|
|
1,471 |
|
|
Series 2002-62, Class ZE, 5.500%, 11/25/17 |
|
|
1,601 |
|
|
522 |
|
|
Series 2002-63, Class KC, 5.000%, 10/25/17 |
|
|
557 |
|
|
702 |
|
|
Series 2002-77, Class S, IF, 14.004%, 12/25/32 |
|
|
805 |
|
|
1,495 |
|
|
Series 2002-81, Class JO, PO, 04/25/32 |
|
|
1,428 |
|
|
1,361 |
|
|
Series 2002-83, Class CS, 6.881%, 08/25/23 |
|
|
1,506 |
|
|
111 |
|
|
Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
|
|
7 |
|
|
3,107 |
|
|
Series 2002-94, Class BK, 5.500%, 01/25/18 |
|
|
3,396 |
|
|
1,934 |
|
|
Series 2003-3, Class HJ, 5.000%, 02/25/18 |
|
|
2,033 |
|
|
2,524 |
|
|
Series 2003-22, Class UD, 4.000%, 04/25/33 |
|
|
2,495 |
|
|
2,367 |
|
|
Series 2003-23, Class PG, 5.500%, 01/25/32 |
|
|
2,472 |
|
|
534 |
|
|
Series 2003-27, Class DW, 4.500%, 04/25/17 |
|
|
549 |
|
|
2,901 |
|
|
Series 2003-33, Class IA, IO, 6.500%, 05/25/33 |
|
|
607 |
|
|
1,758 |
|
|
Series 2003-34, Class AX, 6.000%, 05/25/33 |
|
|
1,924 |
|
|
1,516 |
|
|
Series 2003-34, Class ED, 6.000%, 05/25/33 |
|
|
1,667 |
|
|
131 |
|
|
Series 2003-35, Class UC, 3.750%, 05/25/33 |
|
|
136 |
|
|
397 |
|
|
Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
|
|
74 |
|
|
1,319 |
|
|
Series 2003-39, Class LW, 5.500%, 05/25/23 |
|
|
1,437 |
|
|
1,884 |
|
|
Series 2003-41, Class PE, 5.500%, 05/25/23 |
|
|
2,086 |
|
|
735 |
|
|
Series 2003-42, Class GB, 4.000%, 05/25/33 |
|
|
756 |
|
|
905 |
|
|
Series 2003-45, Class AI, IO, 5.500%, 05/25/33 |
|
|
39 |
|
|
828 |
|
|
Series 2003-47, Class PE, 5.750%, 06/25/33 |
|
|
894 |
|
|
651 |
|
|
Series 2003-52, Class SX, HB, IF, 22.165%, 10/25/31 |
|
|
910 |
|
|
2,754 |
|
|
Series 2003-56, Class AZ, 5.500%, 08/25/31 |
|
|
2,924 |
|
|
47 |
|
|
Series 2003-60, Class NJ, 5.000%, 07/25/21 |
|
|
48 |
|
|
656 |
|
|
Series 2003-64, Class SX, IF, 13.100%, 07/25/33 |
|
|
713 |
|
|
98 |
|
|
Series 2003-67, Class VQ, 7.000%, 01/25/19 |
|
|
101 |
|
|
128 |
|
|
Series 2003-68, Class QP, 3.000%, 07/25/22 |
|
|
131 |
|
|
1,653 |
|
|
Series 2003-71, Class DS, IF, 7.120%, 08/25/33 |
|
|
1,555 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
16 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
1,538 |
|
|
Series 2003-71, Class IM, IO, 5.500%, 12/25/31 |
|
|
174 |
|
|
3,319 |
|
|
Series 2003-72, Class IE, IO, 5.500%, 08/25/33 |
|
|
658 |
|
|
2,046 |
|
|
Series 2003-73, Class GA, 3.500%, 05/25/31 |
|
|
2,120 |
|
|
381 |
|
|
Series 2003-74, Class SH, IF, 9.699%, 08/25/33 |
|
|
376 |
|
|
1,294 |
|
|
Series 2003-76, Class GQ, 4.500%, 08/25/18 |
|
|
1,369 |
|
|
3,867 |
|
|
Series 2003-80, Class SY, IF, IO, 7.388%, 06/25/23 |
|
|
417 |
|
|
1,350 |
|
|
Series 2003-81, Class LC, 4.500%, 09/25/18 |
|
|
1,439 |
|
|
5,207 |
|
|
Series 2003-83, Class PG, 5.000%, 06/25/23 |
|
|
5,552 |
|
|
1,457 |
|
|
Series 2003-86, Class KR, 4.500%, 09/25/16 |
|
|
1,482 |
|
|
758 |
|
|
Series 2003-91, Class SD, IF, 12.064%, 09/25/33 |
|
|
830 |
|
|
154 |
|
|
Series 2003-92, Class SH, IF, 9.178%, 09/25/18 |
|
|
159 |
|
|
1,360 |
|
|
Series 2003-106, Class US, IF, 8.683%, 11/25/23 |
|
|
1,347 |
|
|
3,506 |
|
|
Series 2003-116, Class SB, IF, IO, 7.338%, 11/25/33 |
|
|
673 |
|
|
4,457 |
|
|
Series 2003-117, Class JB, 3.500%, 06/25/33 |
|
|
4,590 |
|
|
1,507 |
|
|
Series 2003-122, Class TE, 5.000%, 12/25/22 |
|
|
1,621 |
|
|
672 |
|
|
Series 2003-128, Class KE, 4.500%, 01/25/14 |
|
|
697 |
|
|
856 |
|
|
Series 2003-128, Class NG, 4.000%, 01/25/19 |
|
|
904 |
|
|
536 |
|
|
Series 2003-130, Class SX, IF, 11.128%, 01/25/34 |
|
|
592 |
|
|
431 |
|
|
Series 2003-132, Class OA, PO, 08/25/33 |
|
|
376 |
|
|
3,008 |
|
|
Series 2004-4, Class QI, IF, IO, 6.838%, 06/25/33 |
|
|
448 |
|
|
285 |
|
|
Series 2004-4, Class QM, IF, 13.677%, 06/25/33 |
|
|
326 |
|
|
1,553 |
|
|
Series 2004-10, Class SC, HB, IF, 27.554%, 02/25/34 |
|
|
2,196 |
|
|
1,111 |
|
|
Series 2004-14, Class SD, IF, 8.683%, 03/25/34 |
|
|
1,050 |
|
|
1,207 |
|
|
Series 2004-21, Class CO, PO, 04/25/34 |
|
|
1,061 |
|
|
341 |
|
|
Series 2004-22, Class A, 4.000%, 04/25/19 |
|
|
354 |
|
|
1,130 |
|
|
Series 2004-25, Class PC, 5.500%, 01/25/34 |
|
|
1,247 |
|
|
2,652 |
|
|
Series 2004-25, Class SA, IF, 18.806%, 04/25/34 |
|
|
3,301 |
|
|
7,708 |
|
|
Series 2004-27, Class HB, 4.000%, 05/25/19 |
|
|
8,023 |
|
|
753 |
|
|
Series 2004-36, Class PC, 5.500%, 02/25/34 |
|
|
831 |
|
|
2,602 |
|
|
Series 2004-36, Class SA, IF, 18.806%, 05/25/34 |
|
|
3,250 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
1,170 |
|
|
Series 2004-36, Class SN, IF, 13.677%, 07/25/33 |
|
|
1,343 |
|
|
4,281 |
|
|
Series 2004-37, Class AG, 4.500%, 11/25/32 |
|
|
4,492 |
|
|
3,055 |
|
|
Series 2004-46, Class HS, IF, IO, 5.739%, 05/25/30 |
|
|
193 |
|
|
1,104 |
|
|
Series 2004-46, Class QB, HB, IF, 22.954%, 05/25/34 |
|
|
1,535 |
|
|
3,942 |
|
|
Series 2004-46, Class SK, IF, 15.781%, 05/25/34 |
|
|
4,719 |
|
|
859 |
|
|
Series 2004-51, Class SY, IF, 13.717%, 07/25/34 |
|
|
982 |
|
|
942 |
|
|
Series 2004-53, Class NC, 5.500%, 07/25/24 |
|
|
993 |
|
|
1,589 |
|
|
Series 2004-59, Class BG, PO, 12/25/32 |
|
|
1,388 |
|
|
238 |
|
|
Series 2004-61, Class SK, IF, 8.500%, 11/25/32 |
|
|
265 |
|
|
1,030 |
|
|
Series 2004-70, Class JA, 4.500%, 10/25/19 |
|
|
1,056 |
|
|
793 |
|
|
Series 2004-76, Class CL, 4.000%, 10/25/19 |
|
|
835 |
|
|
1,246 |
|
|
Series 2004-79, Class SP, IF, 19.081%, 11/25/34 |
|
|
1,532 |
|
|
377 |
|
|
Series 2004-81, Class AC, 4.000%, 11/25/19 |
|
|
396 |
|
|
272 |
|
|
Series 2004-92, Class JO, PO, 12/25/34 |
|
|
270 |
|
|
275 |
|
|
Series 2005-28, Class JA, 5.000%, 04/25/35 |
|
|
276 |
|
|
91 |
|
|
Series 2005-47, Class AN, 5.000%, 12/25/16 |
|
|
91 |
|
|
680 |
|
|
Series 2005-52, Class PA, 6.500%, 06/25/35 |
|
|
735 |
|
|
3,704 |
|
|
Series 2005-56, Class S, IF, IO, 6.449%, 07/25/35 |
|
|
629 |
|
|
1,755 |
|
|
Series 2005-59, Class PC, 5.500%, 03/25/31 |
|
|
1,852 |
|
|
652 |
|
|
Series 2005-66, Class SG, IF, 16.721%, 07/25/35 |
|
|
798 |
|
|
1,324 |
|
|
Series 2005-68, Class BC, 5.250%, 06/25/35 |
|
|
1,430 |
|
|
3,219 |
|
|
Series 2005-68, Class PG, 5.500%, 08/25/35 |
|
|
3,520 |
|
|
1,927 |
|
|
Series 2005-68, Class UC, 5.000%, 06/25/35 |
|
|
2,055 |
|
|
1,409 |
|
|
Series 2005-74, Class CS, IF, 19.301%, 05/25/35 |
|
|
1,757 |
|
|
14,452 |
|
|
Series 2005-84, Class XM, 5.750%, 10/25/35 |
|
|
15,751 |
|
|
4,899 |
|
|
Series 2005-97, Class HC, 5.000%, 02/25/32 |
|
|
5,210 |
|
|
54 |
|
|
Series 2005-98, Class GO, PO, 11/25/35 |
|
|
53 |
|
|
3,425 |
|
|
Series 2005-109, Class PC, 6.000%, 12/25/35 |
|
|
3,817 |
|
|
11,366 |
|
|
Series 2005-110, Class GJ, 5.500%, 11/25/30 |
|
|
11,944 |
|
|
14,556 |
|
|
Series 2005-110, Class GK, 5.500%, 08/25/34 |
|
|
15,828 |
|
|
4,326 |
|
|
Series 2005-110, Class GL, 5.500%, 12/25/35 |
|
|
4,597 |
|
|
2,997 |
|
|
Series 2005-110, Class MN, 5.500%, 06/25/35 |
|
|
3,291 |
|
|
2,159 |
|
|
Series 2005-116, Class PB, 6.000%, 04/25/34 |
|
|
2,334 |
|
|
4,500 |
|
|
Series 2005-118, Class PN, 6.000%, 01/25/32 |
|
|
4,894 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
17 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
895 |
|
|
Series 2006-15, Class OT, PO, 01/25/36 |
|
|
854 |
|
|
1,146 |
|
|
Series 2006-16, Class OA, PO, 03/25/36 |
|
|
997 |
|
|
1,227 |
|
|
Series 2006-22, Class AO, PO, 04/25/36 |
|
|
1,050 |
|
|
515 |
|
|
Series 2006-23, Class KO, PO, 04/25/36 |
|
|
448 |
|
|
3,149 |
|
|
Series 2006-39, Class WC, 5.500%, 01/25/36 |
|
|
3,428 |
|
|
415 |
|
|
Series 2006-42, Class CF, VAR, 0.712%, 06/25/36 |
|
|
415 |
|
|
3,135 |
|
|
Series 2006-44, Class GO, PO, 06/25/36 |
|
|
2,695 |
|
|
8,962 |
|
|
Series 2006-44, Class P, PO, 12/25/33 |
|
|
7,903 |
|
|
2,000 |
|
|
Series 2006-46, Class UC, 5.500%, 12/25/35 |
|
|
2,177 |
|
|
6,182 |
|
|
Series 2006-53, Class US, IF, IO, 6.319%, 06/25/36 |
|
|
863 |
|
|
3,865 |
|
|
Series 2006-56, Class PF, VAR, 0.611%, 07/25/36 |
|
|
3,859 |
|
|
2,010 |
|
|
Series 2006-56, Class PO, PO, 07/25/36 |
|
|
1,834 |
|
|
3,482 |
|
|
Series 2006-58, Class AP, PO, 07/25/36 |
|
|
3,033 |
|
|
373 |
|
|
Series 2006-58, Class FL, VAR, 0.721%, 07/25/36 |
|
|
374 |
|
|
1,411 |
|
|
Series 2006-58, Class PO, PO, 07/25/36 |
|
|
1,222 |
|
|
3,425 |
|
|
Series 2006-59, Class QO, PO, 01/25/33 |
|
|
3,080 |
|
|
2,707 |
|
|
Series 2006-60, Class DZ, 6.500%, 07/25/36 |
|
|
3,148 |
|
|
2,169 |
|
|
Series 2006-65, Class QO, PO, 07/25/36 |
|
|
1,879 |
|
|
1,702 |
|
|
Series 2006-71, Class IC, IO, 6.000%, 04/25/17 |
|
|
167 |
|
|
617 |
|
|
Series 2006-72, Class TO, PO, 08/25/36 |
|
|
541 |
|
|
6,305 |
|
|
Series 2006-77, Class PC, 6.500%, 08/25/36 |
|
|
7,037 |
|
|
1,763 |
|
|
Series 2006-79, Class DO, PO, 08/25/36 |
|
|
1,525 |
|
|
1,077 |
|
|
Series 2006-90, Class AO, PO, 09/25/36 |
|
|
949 |
|
|
491 |
|
|
Series 2006-109, Class PO, PO, 11/25/36 |
|
|
429 |
|
|
5,911 |
|
|
Series 2006-110, Class PO, PO, 11/25/36 |
|
|
5,160 |
|
|
464 |
|
|
Series 2006-111, Class EO, PO, 11/25/36 |
|
|
404 |
|
|
1,654 |
|
|
Series 2006-118, Class A2, VAR, 0.322%, 12/25/36 |
|
|
1,622 |
|
|
1,174 |
|
|
Series 2006-119, Class PO, PO, 12/25/36 |
|
|
1,037 |
|
|
10,000 |
|
|
Series 2006-124, Class HB, VAR, 5.969%, 11/25/36 |
|
|
10,888 |
|
|
1,000 |
|
|
Series 2006-128, Class BP, 5.500%, 01/25/37 |
|
|
1,083 |
|
|
2,435 |
|
|
Series 2006-130, Class GI, IO, 6.500%, 07/25/32 |
|
|
374 |
|
|
7,697 |
|
|
Series 2007-7, Class SG, IF, IO, 6.239%, 08/25/36 |
|
|
1,481 |
|
|
9,231 |
|
|
Series 2007-14, Class ES, IF, IO, 6.179%, 03/25/37 |
|
|
1,319 |
|
|
602 |
|
|
Series 2007-15, Class NO, PO, 03/25/22 |
|
|
553 |
|
|
3,971 |
|
|
Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 |
|
|
3,955 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
990 |
|
|
Series 2007-42, Class AO, PO, 05/25/37 |
|
|
910 |
|
|
1,094 |
|
|
Series 2007-48, Class PO, PO, 05/25/37 |
|
|
933 |
|
|
3,844 |
|
|
Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 |
|
|
3,848 |
|
|
13,414 |
|
|
Series 2007-60, Class AX, IF, IO, 6.888%, 07/25/37 |
|
|
2,217 |
|
|
952 |
|
|
Series 2007-77, Class FG, VAR, 0.762%, 03/25/37 |
|
|
955 |
|
|
2,000 |
|
|
Series 2007-79, Class PB, 5.000%, 04/25/29 |
|
|
2,071 |
|
|
2,100 |
|
|
Series 2007-79, Class PC, 5.000%, 01/25/32 |
|
|
2,219 |
|
|
1,000 |
|
|
Series 2007-81, Class GE, 6.000%, 08/25/37 |
|
|
1,087 |
|
|
2,000 |
|
|
Series 2007-84, Class PD, 6.000%, 08/25/32 |
|
|
2,095 |
|
|
5,000 |
|
|
Series 2007-84, Class PG, 6.000%, 12/25/36 |
|
|
5,451 |
|
|
6,907 |
|
|
Series 2007-88, Class VI, IF, IO, 6.279%, 09/25/37 |
|
|
1,013 |
|
|
4,945 |
|
|
Series 2007-91, Class ES, IF, IO, 6.199%, 10/25/37 |
|
|
697 |
|
|
3,687 |
|
|
Series 2007-97, Class KI, IO, 7.000%, 05/25/33 |
|
|
748 |
|
|
360 |
|
|
Series 2007-97, Class MS, IF, 14.187%, 12/25/31 |
|
|
390 |
|
|
7,306 |
|
|
Series 2007-101, Class A2, VAR, 0.510%, 06/27/36 |
|
|
7,256 |
|
|
1,731 |
|
|
Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 |
|
|
1,805 |
|
|
3,000 |
|
|
Series 2007-114, Class A6, VAR, 0.460%, 10/27/37 |
|
|
2,995 |
|
|
4,172 |
|
|
Series 2007-116, Class HI, IO, VAR, 6.323%, 01/25/38 |
|
|
366 |
|
|
310 |
|
|
Series 2007-118, Class IO, IO, 6.000%, 06/25/36 |
|
|
31 |
|
|
5,052 |
|
|
Series 2008-1, Class BI, IF, IO, 5.649%, 02/25/38 |
|
|
575 |
|
|
3,044 |
|
|
Series 2008-10, Class XI, IF, IO, 5.969%, 03/25/38 |
|
|
395 |
|
|
2,972 |
|
|
Series 2008-16, Class IS, IF, IO, 5.938%, 03/25/38 |
|
|
398 |
|
|
2,726 |
|
|
Series 2008-19, Class IC, IO, 5.000%, 03/25/23 |
|
|
308 |
|
|
1,000 |
|
|
Series 2008-24, Class DY, 5.000%, 04/25/23 |
|
|
1,076 |
|
|
1,864 |
|
|
Series 2008-27, Class SN, IF, IO, 6.639%, 04/25/38 |
|
|
301 |
|
|
8,814 |
|
|
Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 |
|
|
55 |
|
|
1,786 |
|
|
Series 2008-39, Class CI, IO, 4.500%, 05/25/18 |
|
|
157 |
|
|
1,201 |
|
|
Series 2008-42, Class AO, PO, 09/25/36 |
|
|
1,057 |
|
|
258 |
|
|
Series 2008-44, Class PO, PO, 05/25/38 |
|
|
229 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
18 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
2,954 |
|
|
Series 2008-47, Class SI, IF, IO, 6.239%, 06/25/23 |
|
|
331 |
|
|
2,942 |
|
|
Series 2008-53, Class CI, IF, IO, 6.938%, 07/25/38 |
|
|
436 |
|
|
649 |
|
|
Series 2008-59, Class IG, IO, 5.500%, 11/25/34 |
|
|
51 |
|
|
1,527 |
|
|
Series 2008-76, Class GF, VAR, 0.912%, 09/25/23 |
|
|
1,548 |
|
|
6,258 |
|
|
Series 2008-80, Class SA, IF, IO, 5.588%, 09/25/38 |
|
|
724 |
|
|
3,759 |
|
|
Series 2008-81, Class SB, IF, IO, 5.588%, 09/25/38 |
|
|
445 |
|
|
5,556 |
|
|
Series 2009-6, Class GS, IF, IO, 6.289%, 02/25/39 |
|
|
629 |
|
|
2,656 |
|
|
Series 2009-9, Class IO, IO, 5.000%, 02/25/24 |
|
|
297 |
|
|
2,324 |
|
|
Series 2009-18, Class IO, IO, 5.000%, 03/25/24 |
|
|
268 |
|
|
2,500 |
|
|
Series 2009-19, Class IP, IO, 5.500%, 10/25/36 |
|
|
784 |
|
|
3,256 |
|
|
Series 2009-70, Class CO, PO, 01/25/37 |
|
|
2,787 |
|
|
4,591 |
|
|
Series 2009-86, Class UI, IO, 4.000%, 10/25/14 |
|
|
395 |
|
|
3,629 |
|
|
Series 2009-99, Class SC, IF, IO, 5.919%, 12/25/39 |
|
|
487 |
|
|
2,397 |
|
|
Series 2009-103, Class MB, 4.000%, 12/25/39 |
|
|
2,524 |
|
|
2,000 |
|
|
Series 2010-45, Class BD, 4.500%, 11/25/38 |
|
|
2,017 |
|
|
2,811 |
|
|
Series 2010-49, Class SC, IF, 12.137%, 03/25/40 |
|
|
3,062 |
|
|
2,059 |
|
|
Series 2010-64, Class DM, 5.000%, 06/25/40 |
|
|
2,159 |
|
|
4,388 |
|
|
Series 2010-133, Class A, 5.500%, 05/25/38 |
|
|
4,706 |
|
|
3,968 |
|
|
Series 2010-148, Class MA, 4.000%, 02/25/39 |
|
|
4,095 |
|
|
5,862 |
|
|
Series 2011-2, Class WA, VAR, 5.716%, 02/25/51 |
|
|
6,287 |
|
|
2,985 |
|
|
Series 2011-22, Class MA, 6.500%, 04/25/38 |
|
|
3,373 |
|
|
1 |
|
|
Series G-17, Class S, HB, VAR, 1,051.957%, 06/25/21 |
|
|
16 |
|
|
55 |
|
|
Series G-28, Class S, IF, 14.819%, 09/25/21 |
|
|
75 |
|
|
48 |
|
|
Series G-35, Class M, 8.750%, 10/25/21 |
|
|
55 |
|
|
18 |
|
|
Series G-51, Class SA, HB, IF, 22.348%, 12/25/21 |
|
|
26 |
|
|
17 |
|
|
Series G92-15, Class Z, 7.000%, 01/25/22 |
|
|
17 |
|
|
|
(h) |
|
Series G92-27, Class SQ, HB, IF, 11,698.030%, 05/25/22 |
|
|
3 |
|
|
246 |
|
|
Series G92-35, Class E, 7.500%, 07/25/22 |
|
|
272 |
|
|
|
(h) |
|
Series G92-35, Class G, HB, 1,184.775%, 07/25/22 |
|
|
6 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
30 |
|
|
Series G92-42, Class Z, 7.000%, 07/25/22 |
|
|
33 |
|
|
1,098 |
|
|
Series G92-44, Class ZQ, 8.000%, 07/25/22 |
|
|
1,339 |
|
|
38 |
|
|
Series G92-52, Class FD, VAR, 0.302%, 09/25/22 |
|
|
38 |
|
|
323 |
|
|
Series G92-54, Class ZQ, 7.500%, 09/25/22 |
|
|
360 |
|
|
39 |
|
|
Series G92-59, Class F, VAR, 2.208%, 10/25/22 |
|
|
40 |
|
|
78 |
|
|
Series G92-61, Class Z, 7.000%, 10/25/22 |
|
|
85 |
|
|
59 |
|
|
Series G92-62, Class B, PO, 10/25/22 |
|
|
54 |
|
|
266 |
|
|
Series G93-1, Class KA, 7.900%, 01/25/23 |
|
|
300 |
|
|
59 |
|
|
Series G93-5, Class Z, 6.500%, 02/25/23 |
|
|
64 |
|
|
79 |
|
|
Series G93-14, Class J, 6.500%, 03/25/23 |
|
|
85 |
|
|
181 |
|
|
Series G93-17, Class SI, IF, 6.000%, 04/25/23 |
|
|
180 |
|
|
173 |
|
|
Series G93-27, Class FD, VAR, 1.161%, 08/25/23 |
|
|
175 |
|
|
43 |
|
|
Series G93-37, Class H, PO, 09/25/23 |
|
|
36 |
|
|
63 |
|
|
Series G95-1, Class C, 8.800%, 01/25/25 |
|
|
72 |
|
|
|
|
|
Federal National Mortgage Association STRIPS, |
|
|
|
|
|
6 |
|
|
Series 23, Class 2, IO, 10.000%, 09/01/17 |
|
|
1 |
|
|
1 |
|
|
Series 50, Class 2, IO, 10.500%, 03/01/19 |
|
|
|
(h) |
|
27 |
|
|
Series 218, Class 2, IO, 7.500%, 04/01/23 |
|
|
6 |
|
|
24 |
|
|
Series 265, Class 2, 9.000%, 03/01/24 |
|
|
27 |
|
|
538 |
|
|
Series 329, Class 1, PO, 01/01/33 |
|
|
465 |
|
|
1,663 |
|
|
Series 339, Class 18, IO, 4.500%, 07/01/18 |
|
|
152 |
|
|
2,404 |
|
|
Series 339, Class 21, IO, 4.500%, 07/01/18 |
|
|
223 |
|
|
1,053 |
|
|
Series 339, Class 28, IO, 5.500%, 07/01/18 |
|
|
115 |
|
|
928 |
|
|
Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 |
|
|
166 |
|
|
2,065 |
|
|
Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 |
|
|
362 |
|
|
1,320 |
|
|
Series 355, Class 11, IO, 6.000%, 07/01/34 |
|
|
243 |
|
|
862 |
|
|
Series 355, Class 31, IO, VAR, 4.500%, 12/01/18 |
|
|
84 |
|
|
3,571 |
|
|
Series 365, Class 8, IO, 5.500%, 05/01/36 |
|
|
698 |
|
|
516 |
|
|
Series 368, Class 3, IO, 4.500%, 11/01/20 |
|
|
51 |
|
|
1,940 |
|
|
Series 374, Class 5, IO, 5.500%, 08/01/36 |
|
|
378 |
|
|
1,215 |
|
|
Series 383, Class 32, IO, 6.000%, 01/01/38 |
|
|
207 |
|
|
3,189 |
|
|
Series 383, Class 33, IO, 6.000%, 01/01/38 |
|
|
622 |
|
|
648 |
|
|
Series 393, Class 6, IO, 5.500%, 04/25/37 |
|
|
111 |
|
|
|
|
|
Federal National Mortgage Association Whole Loan, |
|
|
|
|
|
1,345 |
|
|
Series 2003-W1, Class 1A1, 6.500%, 12/25/42 |
|
|
1,552 |
|
|
492 |
|
|
Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 |
|
|
561 |
|
|
231 |
|
|
Series 2003-W4, Class 2A, 6.500%, 10/25/42 |
|
|
267 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
19 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
423 |
|
|
Series 2004-W1, Class 2A2, 7.000%, 12/25/33 |
|
|
489 |
|
|
2,003 |
|
|
Series 2004-W15, Class 2AF, VAR, 0.511%, 08/25/44 |
|
|
1,970 |
|
|
1,405 |
|
|
Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
|
|
1,669 |
|
|
1,931 |
|
|
Series 2005-W3, Class 2AF, VAR, 0.482%, 03/25/45 |
|
|
1,918 |
|
|
1,832 |
|
|
Series 2006-W2, Class 1AF1, VAR, 0.482%, 02/25/36 |
|
|
1,819 |
|
|
224 |
|
|
Series 2007-W7, Class 1A4, HB, IF, 37.611%, 07/25/37 |
|
|
337 |
|
|
4,573 |
|
|
Series 2009-W1, Class A, 6.000%, 12/25/49 |
|
|
5,038 |
|
|
|
|
|
Government National Mortgage Association, |
|
|
|
|
|
933 |
|
|
Series 1994-3, Class PQ, 7.488%, 07/16/24 |
|
|
984 |
|
|
535 |
|
|
Series 1994-4, Class KQ, 7.988%, 07/16/24 |
|
|
605 |
|
|
2,872 |
|
|
Series 1994-7, Class PQ, 6.500%, 10/16/24 |
|
|
3,324 |
|
|
455 |
|
|
Series 1996-16, Class E, 7.500%, 08/16/26 |
|
|
511 |
|
|
697 |
|
|
Series 1997-8, Class PN, 7.500%, 05/16/27 |
|
|
779 |
|
|
159 |
|
|
Series 1997-11, Class D, 7.500%, 07/20/27 |
|
|
179 |
|
|
348 |
|
|
Series 1998-26, Class K, 7.500%, 09/17/25 |
|
|
394 |
|
|
1,922 |
|
|
Series 1999-4, Class ZB, 6.000%, 02/20/29 |
|
|
2,108 |
|
|
1,750 |
|
|
Series 1999-10, Class ZC, 6.500%, 04/20/29 |
|
|
1,947 |
|
|
276 |
|
|
Series 1999-30, Class S, IF, IO, 8.335%, 08/16/29 |
|
|
43 |
|
|
22 |
|
|
Series 1999-33, Class SM, IF, 9.200%, 09/16/29 |
|
|
26 |
|
|
363 |
|
|
Series 1999-40, Class ZW, 7.500%, 11/20/29 |
|
|
396 |
|
|
506 |
|
|
Series 1999-41, Class Z, 8.000%, 11/16/29 |
|
|
576 |
|
|
167 |
|
|
Series 1999-44, Class PC, 7.500%, 12/20/29 |
|
|
188 |
|
|
3,424 |
|
|
Series 1999-44, Class ZC, 8.500%, 12/16/29 |
|
|
4,103 |
|
|
559 |
|
|
Series 1999-44, Class ZG, 8.000%, 12/20/29 |
|
|
635 |
|
|
419 |
|
|
Series 2000-6, Class Z, 7.500%, 02/20/30 |
|
|
463 |
|
|
215 |
|
|
Series 2000-9, Class Z, 8.000%, 06/20/30 |
|
|
245 |
|
|
2,250 |
|
|
Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
|
|
2,550 |
|
|
388 |
|
|
Series 2000-12, Class ST, HB, IF, 38.200%, 02/16/30 |
|
|
716 |
|
|
480 |
|
|
Series 2000-14, Class PD, 7.000%, 02/16/30 |
|
|
522 |
|
|
134 |
|
|
Series 2000-16, Class ZN, 7.500%, 02/16/30 |
|
|
143 |
|
|
3,068 |
|
|
Series 2000-21, Class Z, 9.000%, 03/16/30 |
|
|
3,507 |
|
|
532 |
|
|
Series 2000-26, Class TZ, 8.500%, 09/20/30 |
|
|
604 |
|
|
144 |
|
|
Series 2000-26, Class Z, 7.750%, 09/20/30 |
|
|
163 |
|
|
28 |
|
|
Series 2000-30, Class ST, IF, 11.050%, 12/16/22 |
|
|
35 |
|
|
434 |
|
|
Series 2000-31, Class Z, 9.000%, 10/20/30 |
|
|
497 |
|
|
124 |
|
|
Series 2000-34, Class SG, IF, IO, 8.267%, 10/20/30 |
|
|
25 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
245 |
|
|
Series 2000-35, Class ZA, 9.000%, 11/20/30 |
|
|
270 |
|
|
37 |
|
|
Series 2000-36, Class IK, IO, 9.000%, 11/16/30 |
|
|
8 |
|
|
180 |
|
|
Series 2000-37, Class B, 8.000%, 12/20/30 |
|
|
205 |
|
|
96 |
|
|
Series 2000-38, Class AH, 7.150%, 12/20/30 |
|
|
110 |
|
|
236 |
|
|
Series 2001-4, Class SJ, IF, IO, 7.887%, 01/19/30 |
|
|
50 |
|
|
202 |
|
|
Series 2001-6, Class SD, IF, IO, 8.285%, 03/16/31 |
|
|
39 |
|
|
421 |
|
|
Series 2001-7, Class PK, 6.500%, 03/20/31 |
|
|
456 |
|
|
1,201 |
|
|
Series 2001-8, Class Z, 6.500%, 03/20/31 |
|
|
1,336 |
|
|
21 |
|
|
Series 2001-32, Class WA, IF, 19.468%, 07/20/31 |
|
|
30 |
|
|
330 |
|
|
Series 2001-35, Class SA, IF, IO, 7.985%, 08/16/31 |
|
|
70 |
|
|
260 |
|
|
Series 2001-36, Class S, IF, IO, 7.785%, 08/16/31 |
|
|
58 |
|
|
1,407 |
|
|
Series 2001-64, Class MQ, 6.500%, 12/20/31 |
|
|
1,493 |
|
|
311 |
|
|
Series 2002-3, Class SP, IF, IO, 7.125%, 01/16/32 |
|
|
61 |
|
|
493 |
|
|
Series 2002-7, Class PG, 6.500%, 01/20/32 |
|
|
567 |
|
|
1,388 |
|
|
Series 2002-24, Class AG, IF, IO, 7.685%, 04/16/32 |
|
|
274 |
|
|
127 |
|
|
Series 2002-24, Class SB, IF, 11.528%, 04/16/32 |
|
|
152 |
|
|
3,309 |
|
|
Series 2002-31, Class SE, IF, IO, 7.235%, 04/16/30 |
|
|
554 |
|
|
992 |
|
|
Series 2002-40, Class UK, 6.500%, 06/20/32 |
|
|
1,102 |
|
|
53 |
|
|
Series 2002-41, Class SV, IF, 9.000%, 06/16/32 |
|
|
62 |
|
|
3,790 |
|
|
Series 2002-45, Class QE, 6.500%, 06/20/32 |
|
|
4,320 |
|
|
1,316 |
|
|
Series 2002-47, Class PG, 6.500%, 07/16/32 |
|
|
1,523 |
|
|
2,411 |
|
|
Series 2002-47, Class ZA, 6.500%, 07/20/32 |
|
|
2,673 |
|
|
70 |
|
|
Series 2002-51, Class SG, HB, IF, 31.360%, 04/20/31 |
|
|
113 |
|
|
2,059 |
|
|
Series 2002-52, Class GH, 6.500%, 07/20/32 |
|
|
2,285 |
|
|
596 |
|
|
Series 2002-54, Class GB, 6.500%, 08/20/32 |
|
|
661 |
|
|
420 |
|
|
Series 2002-70, Class AV, 6.000%, 03/20/12 |
|
|
428 |
|
|
1,706 |
|
|
Series 2002-70, Class PS, IF, IO, 7.437%, 08/20/32 |
|
|
210 |
|
|
949 |
|
|
Series 2002-75, Class PB, 6.000%, 11/20/32 |
|
|
1,052 |
|
|
365 |
|
|
Series 2002-80, Class EZ, 7.000%, 01/20/32 |
|
|
370 |
|
|
36 |
|
|
Series 2002-88, Class VA, 6.000%, 12/20/17 |
|
|
36 |
|
|
542 |
|
|
Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
|
|
36 |
|
|
475 |
|
|
Series 2003-4, Class NY, 5.500%, 12/20/13 |
|
|
502 |
|
|
1,622 |
|
|
Series 2003-11, Class SK, IF, IO, 7.435%, 02/16/33 |
|
|
282 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
20 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
682 |
|
|
Series 2003-12, Class SP, IF, IO, 7.437%, 02/20/33 |
|
|
124 |
|
|
161 |
|
|
Series 2003-24, Class PO, PO, 03/16/33 |
|
|
140 |
|
|
1,319 |
|
|
Series 2003-40, Class TC, 7.500%, 03/20/33 |
|
|
1,413 |
|
|
1,319 |
|
|
Series 2003-40, Class TJ, 6.500%, 03/20/33 |
|
|
1,491 |
|
|
753 |
|
|
Series 2003-46, Class MG, 6.500%, 05/20/33 |
|
|
846 |
|
|
1,394 |
|
|
Series 2003-46, Class TC, 6.500%, 03/20/33 |
|
|
1,550 |
|
|
583 |
|
|
Series 2003-52, Class AP, PO, 06/16/33 |
|
|
519 |
|
|
2,150 |
|
|
Series 2003-58, Class BE, 6.500%, 01/20/33 |
|
|
2,489 |
|
|
1,182 |
|
|
Series 2003-76, Class LS, IF, IO, 6.937%, 09/20/31 |
|
|
109 |
|
|
185 |
|
|
Series 2003-90, Class PO, PO, 10/20/33 |
|
|
158 |
|
|
17 |
|
|
Series 2003-98, Class PC, 5.000%, 02/20/29 |
|
|
17 |
|
|
2,344 |
|
|
Series 2003-112, Class SA, IF, IO, 6.285%, 12/16/33 |
|
|
380 |
|
|
3,000 |
|
|
Series 2003-112, Class TS, IF, IO, 6.687%, 10/20/32 |
|
|
468 |
|
|
7,199 |
|
|
Series 2004-11, Class SW, IF, IO, 5.237%, 02/20/34 |
|
|
808 |
|
|
860 |
|
|
Series 2004-15, Class SA, IF, 18.939%, 12/20/32 |
|
|
1,025 |
|
|
708 |
|
|
Series 2004-28, Class S, IF, 18.934%, 04/16/34 |
|
|
906 |
|
|
642 |
|
|
Series 2004-68, Class PO, PO, 05/20/31 |
|
|
629 |
|
|
312 |
|
|
Series 2004-73, Class AE, IF, 14.311%, 08/17/34 |
|
|
367 |
|
|
3,988 |
|
|
Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 |
|
|
517 |
|
|
3,073 |
|
|
Series 2005-3, Class SB, IF, IO, 5.837%, 01/20/35 |
|
|
395 |
|
|
7,479 |
|
|
Series 2005-17, Class SL, IF, IO, 6.437%, 07/20/34 |
|
|
1,153 |
|
|
615 |
|
|
Series 2005-35, Class FL, VAR, 0.613%, 03/20/32 |
|
|
607 |
|
|
412 |
|
|
Series 2005-39, Class KI, IO, 5.500%, 03/20/34 |
|
|
58 |
|
|
3,196 |
|
|
Series 2005-58, Class NI, IO, 5.500%, 08/20/35 |
|
|
725 |
|
|
735 |
|
|
Series 2005-68, Class DP, IF, 15.798%, 06/17/35 |
|
|
897 |
|
|
10,733 |
|
|
Series 2005-68, Class KI, IF, IO, 6.037%, 09/20/35 |
|
|
1,383 |
|
|
1,345 |
|
|
Series 2005-69, Class SY, IF, IO, 6.487%, 11/20/33 |
|
|
219 |
|
|
1,506 |
|
|
Series 2005-91, Class PI, IO, 6.000%, 12/20/35 |
|
|
234 |
|
|
797 |
|
|
Series 2006-16, Class OP, PO, 03/20/36 |
|
|
708 |
|
|
779 |
|
|
Series 2006-28, Class GO, PO, 03/20/35 |
|
|
744 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
2,798 |
|
|
Series 2006-38, Class SW, IF, IO, 6.237%, 06/20/36 |
|
|
364 |
|
|
2,323 |
|
|
Series 2006-59, Class SD, IF, IO, 6.437%, 10/20/36 |
|
|
319 |
|
|
5,036 |
|
|
Series 2006-65, Class SA, IF, IO, 6.537%, 11/20/36 |
|
|
657 |
|
|
2,667 |
|
|
Series 2007-9, Class DI, IF, IO, 6.247%, 03/20/37 |
|
|
345 |
|
|
5,745 |
|
|
Series 2007-17, Class JI, IF, IO, 6.545%, 04/16/37 |
|
|
833 |
|
|
616 |
|
|
Series 2007-17, Class JO, PO, 04/16/37 |
|
|
547 |
|
|
4,299 |
|
|
Series 2007-19, Class SD, IF, IO, 5.937%, 04/20/37 |
|
|
506 |
|
|
4,362 |
|
|
Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 |
|
|
509 |
|
|
2,487 |
|
|
Series 2007-27, Class SA, IF, IO, 5.937%, 05/20/37 |
|
|
285 |
|
|
1,067 |
|
|
Series 2007-28, Class BO, PO, 05/20/37 |
|
|
938 |
|
|
358 |
|
|
Series 2007-35, Class TO, PO, 04/20/35 |
|
|
351 |
|
|
2,400 |
|
|
Series 2007-36, Class SE, IF, IO, 6.205%, 06/16/37 |
|
|
304 |
|
|
6,654 |
|
|
Series 2007-40, Class SB, IF, IO, 6.487%, 07/20/37 |
|
|
946 |
|
|
3,952 |
|
|
Series 2007-42, Class SB, IF, IO, 6.487%, 07/20/37 |
|
|
559 |
|
|
2,500 |
|
|
Series 2007-47, Class PH, 6.000%, 07/16/37 |
|
|
2,774 |
|
|
1,513 |
|
|
Series 2007-49, Class NO, PO, 12/20/35 |
|
|
1,462 |
|
|
3,661 |
|
|
Series 2007-50, Class AI, IF, IO, 6.512%, 08/20/37 |
|
|
491 |
|
|
524 |
|
|
Series 2007-53, Class SW, IF, 19.416%, 09/20/37 |
|
|
649 |
|
|
1,754 |
|
|
Series 2007-57, Class PO, PO, 03/20/37 |
|
|
1,545 |
|
|
2,588 |
|
|
Series 2007-57, Class QA, IF, IO, 6.237%, 10/20/37 |
|
|
333 |
|
|
3,674 |
|
|
Series 2007-71, Class SB, IF, IO, 6.437%, 07/20/36 |
|
|
459 |
|
|
2,514 |
|
|
Series 2007-72, Class US, IF, IO, 6.287%, 11/20/37 |
|
|
346 |
|
|
2,549 |
|
|
Series 2007-73, Class MI, IF, IO, 5.737%, 11/20/37 |
|
|
299 |
|
|
5,029 |
|
|
Series 2007-76, Class SA, IF, IO, 6.267%, 11/20/37 |
|
|
675 |
|
|
2,517 |
|
|
Series 2007-79, Class SY, IF, IO, 6.287%, 12/20/37 |
|
|
348 |
|
|
1,551 |
|
|
Series 2007-81, Class SP, IF, IO, 6.387%, 12/20/37 |
|
|
213 |
|
|
2,784 |
|
|
Series 2007-82, Class SA, IF, IO, 6.267%, 12/20/37 |
|
|
371 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
21 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
1,154 |
|
|
Series 2008-2, Class MS, IF, IO, 6.895%, 01/16/38 |
|
|
172 |
|
|
4,615 |
|
|
Series 2008-2, Class NS, IF, IO, 6.275%, 01/16/38 |
|
|
699 |
|
|
2,597 |
|
|
Series 2008-10, Class S, IF, IO, 5.567%, 02/20/38 |
|
|
288 |
|
|
1,095 |
|
|
Series 2008-23, Class IO, IO, 6.000%, 02/20/37 |
|
|
132 |
|
|
1,844 |
|
|
Series 2008-25, Class SB, IF, IO, 6.637%, 03/20/38 |
|
|
245 |
|
|
1,725 |
|
|
Series 2008-32, Class PI, IO, 5.500%, 10/16/37 |
|
|
230 |
|
|
3,473 |
|
|
Series 2008-36, Class SH, IF, IO, 6.037%, 04/20/38 |
|
|
403 |
|
|
12,527 |
|
|
Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 |
|
|
2,062 |
|
|
3,799 |
|
|
Series 2008-41, Class SA, IF, IO, 6.077%, 05/20/38 |
|
|
467 |
|
|
2,497 |
|
|
Series 2008-55, Class SA, IF, IO, 5.937%, 06/20/38 |
|
|
293 |
|
|
1,005 |
|
|
Series 2008-60, Class PO, PO, 01/20/38 |
|
|
933 |
|
|
1,535 |
|
|
Series 2008-71, Class SC, IF, IO, 5.737%, 08/20/38 |
|
|
181 |
|
|
2,483 |
|
|
Series 2008-93, Class AS, IF, IO, 5.437%, 12/20/38 |
|
|
271 |
|
|
4,210 |
|
|
Series 2009-6, Class SA, IF, IO, 5.835%, 02/16/39 |
|
|
480 |
|
|
2,714 |
|
|
Series 2009-10, Class SL, IF, IO, 6.235%, 03/16/34 |
|
|
324 |
|
|
3,000 |
|
|
Series 2009-12, Class IE, IO, 5.500%, 03/20/39 |
|
|
904 |
|
|
2,742 |
|
|
Series 2009-14, Class KI, IO, 6.500%, 03/20/39 |
|
|
408 |
|
|
2,395 |
|
|
Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
|
|
364 |
|
|
6,816 |
|
|
Series 2009-22, Class SA, IF, IO, 6.007%, 04/20/39 |
|
|
761 |
|
|
2,101 |
|
|
Series 2009-25, Class SE, IF, IO, 7.337%, 09/20/38 |
|
|
304 |
|
|
2,294 |
|
|
Series 2009-33, Class CI, IO, 5.500%, 05/20/39 |
|
|
459 |
|
|
1,800 |
|
|
Series 2009-33, Class TI, IO, 6.000%, 05/20/39 |
|
|
288 |
|
|
2,132 |
|
|
Series 2009-38, Class IO, IO, 5.000%, 09/16/31 |
|
|
196 |
|
|
3,460 |
|
|
Series 2009-43, Class SA, IF, IO, 5.687%, 06/20/39 |
|
|
387 |
|
|
2,681 |
|
|
Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 |
|
|
391 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
6,518 |
|
|
Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 |
|
|
786 |
|
|
1,157 |
|
|
Series 2009-79, Class OK, PO, 11/16/37 |
|
|
1,014 |
|
|
700 |
|
|
Series 2010-14, Class CO, PO, 08/20/35 |
|
|
507 |
|
|
1,385 |
|
|
Series 2010-130, Class CP, 7.000%, 10/16/40 |
|
|
1,546 |
|
|
5,172 |
|
|
Series 2010-157, Class OP, PO, 12/20/40 |
|
|
3,930 |
|
|
1,977 |
|
|
Series 2011-22, Class WA, 5.947%, 02/20/37 |
|
|
2,189 |
|
|
12,144 |
|
|
NCUA Guaranteed Notes, Series 2010-C1, Class APT, 2.650%, 10/29/20 |
|
|
11,810 |
|
|
|
|
|
Vendee Mortgage Trust, |
|
|
|
|
|
731 |
|
|
Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 |
|
|
783 |
|
|
1,295 |
|
|
Series 1994-1, Class 2ZB, 6.500%, 02/15/24 |
|
|
1,434 |
|
|
1,073 |
|
|
Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
|
|
1,208 |
|
|
772 |
|
|
Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
|
|
869 |
|
|
1,478 |
|
|
Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
|
|
1,699 |
|
|
1,831 |
|
|
Series 1998-1, Class 2E, 7.000%, 03/15/28 |
|
|
2,103 |
|
|
3,448 |
|
|
Series 1999-1, Class 2Z, 6.500%, 01/15/29 |
|
|
3,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
864,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO 13.5% |
|
|
1,000 |
|
|
AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e) |
|
|
941 |
|
|
1,922 |
|
|
ABN AMRO Mortgage Corp., Series 2003-8, Class A3, 4.500%, 06/25/33 |
|
|
1,951 |
|
|
|
|
|
American General Mortgage Loan Trust, |
|
|
|
|
|
107 |
|
|
Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e) |
|
|
107 |
|
|
4,200 |
|
|
Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) |
|
|
4,400 |
|
|
2,775 |
|
|
Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) |
|
|
2,937 |
|
|
4,500 |
|
|
Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) |
|
|
4,608 |
|
|
1,728 |
|
|
Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) |
|
|
1,795 |
|
|
7,278 |
|
|
American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 |
|
|
3,414 |
|
|
|
|
|
ASG Resecuritization Trust, |
|
|
|
|
|
1,876 |
|
|
Series 2009-1, Class A60, VAR, 5.348%, 06/26/37 (e) |
|
|
1,899 |
|
|
3,442 |
|
|
Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) |
|
|
3,526 |
|
|
7,224 |
|
|
Series 2009-3, Class A65, VAR, 5.374%, 03/26/37 (e) |
|
|
7,336 |
|
|
8,620 |
|
|
Series 2009-4, Class A60, 6.000%, 06/28/37 (e) |
|
|
8,749 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
22 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,039 |
|
|
Series 2010-2, Class A60, VAR, 5.134%, 01/28/37 (e) |
|
|
2,039 |
|
|
2,400 |
|
|
Series 2010-3, Class 2A22, VAR, 0.440%, 10/28/36 (e) |
|
|
2,364 |
|
|
|
|
|
Banc of America Alternative Loan Trust, |
|
|
|
|
|
360 |
|
|
Series 2003-2, Class PO, PO, 04/25/33 |
|
|
314 |
|
|
978 |
|
|
Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
|
|
994 |
|
|
520 |
|
|
Series 2003-11, Class PO, PO, 01/25/34 |
|
|
367 |
|
|
368 |
|
|
Series 2004-6, Class 15PO, PO, 07/25/19 |
|
|
265 |
|
|
2,095 |
|
|
Series 2005-5, Class 1CB1, 5.500%, 06/25/35 |
|
|
1,925 |
|
|
6,904 |
|
|
Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35 |
|
|
1,264 |
|
|
1,791 |
|
|
Series 2006-4, Class 1A4, 6.000%, 05/25/46 |
|
|
1,205 |
|
|
|
|
|
Banc of America Funding Corp., |
|
|
|
|
|
779 |
|
|
Series 2004-1, Class PO, PO, 03/25/34 |
|
|
623 |
|
|
1,679 |
|
|
Series 2004-2, Class 30PO, PO, 09/20/34 |
|
|
1,017 |
|
|
521 |
|
|
Series 2004-3, Class 1A7, 5.500%, 10/25/34 |
|
|
529 |
|
|
918 |
|
|
Series 2004-C, Class 1A1, VAR, 5.012%, 12/20/34 |
|
|
939 |
|
|
1,872 |
|
|
Series 2005-6, Class 2A7, 5.500%, 10/25/35 |
|
|
1,828 |
|
|
1,370 |
|
|
Series 2005-7, Class 30PO, PO, 11/25/35 |
|
|
793 |
|
|
982 |
|
|
Series 2005-8, Class 30PO, PO, 01/25/36 |
|
|
547 |
|
|
2,537 |
|
|
Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 |
|
|
2,507 |
|
|
1,021 |
|
|
Series 2006-A, Class 3A2, VAR, 2.914%, 02/20/36 |
|
|
630 |
|
|
|
|
|
Banc of America Mortgage Securities, Inc., |
|
|
|
|
|
415 |
|
|
Series 2003-3, Class 2A1, VAR, 0.812%, 05/25/18 |
|
|
400 |
|
|
576 |
|
|
Series 2003-6, Class 2A1, VAR, 0.712%, 08/25/18 |
|
|
556 |
|
|
198 |
|
|
Series 2003-7, Class A2, 4.750%, 09/25/18 |
|
|
204 |
|
|
409 |
|
|
Series 2003-8, Class APO, PO, 11/25/33 |
|
|
298 |
|
|
4,695 |
|
|
Series 2004-3, Class 15IO, IO, VAR, 0.235%, 04/25/19 |
|
|
23 |
|
|
204 |
|
|
Series 2004-4, Class APO, PO, 05/25/34 |
|
|
154 |
|
|
3,472 |
|
|
Series 2004-5, Class 2A2, 5.500%, 06/25/34 |
|
|
3,427 |
|
|
856 |
|
|
Series 2004-6, Class 2A5, PO, 07/25/34 |
|
|
613 |
|
|
952 |
|
|
Series 2004-6, Class APO, PO, 07/25/34 |
|
|
684 |
|
|
77 |
|
|
Series 2004-8, Class 5PO, PO, 05/25/32 |
|
|
58 |
|
|
107 |
|
|
Series 2004-8, Class XPO, PO, 10/25/34 |
|
|
81 |
|
|
517 |
|
|
Series 2004-A, Class 2A2, VAR, 2.788%, 02/25/34 |
|
|
476 |
|
|
1,800 |
|
|
Series 2004-J, Class 3A1, VAR, 5.095%, 11/25/34 |
|
|
1,703 |
|
|
1,975 |
|
|
Series 2005-10, Class 1A6, 5.500%, 11/25/35 |
|
|
1,852 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO Continued |
|
|
473 |
|
|
Series 2005-A, Class 2A1, VAR, 2.885%, 02/25/35 |
|
|
416 |
|
|
|
|
|
BCAP LLC Trust, |
|
|
|
|
|
912 |
|
|
Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) |
|
|
908 |
|
|
1,451 |
|
|
Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) |
|
|
1,514 |
|
|
1,585 |
|
|
Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) |
|
|
1,608 |
|
|
1,468 |
|
|
Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) |
|
|
1,474 |
|
|
712 |
|
|
Series 2010-RR4, Class 2A1, VAR, 1.011%, 06/26/37 (e) |
|
|
684 |
|
|
1,860 |
|
|
Series 2010-RR6, Class 22A3, VAR, 5.640%, 06/26/36 (e) |
|
|
1,860 |
|
|
1,280 |
|
|
Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) |
|
|
1,272 |
|
|
1,693 |
|
|
Series 2010-RR7, Class 15A1, VAR, 1.061%, 01/26/36 (e) |
|
|
1,583 |
|
|
1,699 |
|
|
Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) |
|
|
1,605 |
|
|
1,720 |
|
|
Series 2010-RR7, Class 1A5, VAR, 3.051%, 04/26/35 (e) |
|
|
1,738 |
|
|
5,327 |
|
|
Series 2010-RR7, Class 2A1, VAR, 5.452%, 07/26/45 (e) |
|
|
5,314 |
|
|
1,229 |
|
|
Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) |
|
|
1,256 |
|
|
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust, |
|
|
|
|
|
347 |
|
|
Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 |
|
|
341 |
|
|
1,150 |
|
|
Series 2004-1, Class 12A1, VAR, 2.864%, 04/25/34 |
|
|
1,059 |
|
|
707 |
|
|
Series 2004-2, Class 14A, VAR, 5.138%, 05/25/34 |
|
|
735 |
|
|
3,351 |
|
|
Series 2005-5, Class A1, VAR, 2.290%, 08/25/35 |
|
|
3,226 |
|
|
6,422 |
|
|
Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 |
|
|
5,942 |
|
|
|
|
|
Citicorp Mortgage Securities, Inc., |
|
|
|
|
|
151 |
|
|
Series 1993-14, Class A3, VAR, 1.461%, 11/25/23 |
|
|
148 |
|
|
2,513 |
|
|
Series 2004-1, Class 3A1, 4.750%, 01/25/34 |
|
|
2,567 |
|
|
1,681 |
|
|
Series 2004-5, Class 2A5, 4.500%, 08/25/34 |
|
|
1,701 |
|
|
529 |
|
|
Series 2005-5, Class APO, PO, 08/25/35 |
|
|
375 |
|
|
595 |
|
|
Series 2005-8, Class APO, PO, 11/25/35 |
|
|
369 |
|
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
|
1,103 |
|
|
Series 2003-1, Class 2A5, 5.250%, 10/25/33 |
|
|
1,152 |
|
|
471 |
|
|
Series 2003-1, Class 2A6, PO, 10/25/33 |
|
|
304 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
23 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
441 |
|
|
Series 2003-1, Class PO2, PO, 10/25/33 |
|
|
311 |
|
|
358 |
|
|
Series 2003-1, Class PO3, PO, 09/25/33 |
|
|
255 |
|
|
267 |
|
|
Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
|
|
270 |
|
|
1,320 |
|
|
Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
|
|
1,364 |
|
|
328 |
|
|
Series 2003-UST1, Class PO1, PO, 12/25/18 |
|
|
270 |
|
|
210 |
|
|
Series 2003-UST1, Class PO3, PO, 12/25/18 |
|
|
178 |
|
|
758 |
|
|
Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 |
|
|
782 |
|
|
567 |
|
|
Series 2005-1, Class 2A1A, VAR, 2.751%, 04/25/35 |
|
|
387 |
|
|
1,043 |
|
|
Series 2005-2, Class 2A11, 5.500%, 05/25/35 |
|
|
1,043 |
|
|
724 |
|
|
Series 2005-5, Class 1A2, VAR, 2.714%, 08/25/35 |
|
|
479 |
|
|
2,750 |
|
|
Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 |
|
|
2,695 |
|
|
1,251 |
|
|
Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) |
|
|
1,254 |
|
|
|
|
|
Countrywide Alternative Loan Trust, |
|
|
|
|
|
675 |
|
|
Series 2002-8, Class A4, 6.500%, 07/25/32 |
|
|
668 |
|
|
11,183 |
|
|
Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
|
|
11,230 |
|
|
3,076 |
|
|
Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
|
|
3,100 |
|
|
837 |
|
|
Series 2005-5R, Class A1, 5.250%, 12/25/18 |
|
|
851 |
|
|
4,710 |
|
|
Series 2005-1CB, Class 1A6, IF, IO, 6.838%, 03/25/35 |
|
|
600 |
|
|
7,174 |
|
|
Series 2005-20CB, Class 3A8, IF, IO, 4.489%, 07/25/35 |
|
|
793 |
|
|
15,666 |
|
|
Series 2005-22T1, Class A2, IF, IO, 4.808%, 06/25/35 |
|
|
1,640 |
|
|
664 |
|
|
Series 2005-26CB, Class A10, IF, 12.576%, 07/25/35 |
|
|
664 |
|
|
6,714 |
|
|
Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 |
|
|
5,436 |
|
|
327 |
|
|
Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 |
|
|
298 |
|
|
11,181 |
|
|
Series 2005-37T1, Class A2, IF, IO, 4.789%, 09/25/35 |
|
|
1,360 |
|
|
6,084 |
|
|
Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
|
|
5,211 |
|
|
16,380 |
|
|
Series 2005-54CB, Class 1A2, IF, IO, 4.588%, 11/25/35 |
|
|
1,441 |
|
|
4,046 |
|
|
Series 2005-57CB, Class 3A2, IF, IO, 4.839%, 12/25/35 |
|
|
510 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,294 |
|
|
Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 |
|
|
1,902 |
|
|
13,162 |
|
|
Series 2005-J1, Class 1A4, IF, IO, 4.839%, 02/25/35 |
|
|
1,351 |
|
|
5,704 |
|
|
Series 2006-26CB, Class A9, 6.500%, 09/25/36 |
|
|
4,240 |
|
|
3,000 |
|
|
Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) |
|
|
1,260 |
|
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, |
|
|
|
|
|
153 |
|
|
Series 2003-8, Class A4, 4.500%, 05/25/18 |
|
|
153 |
|
|
2,365 |
|
|
Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
|
|
2,259 |
|
|
219 |
|
|
Series 2003-34, Class A11, 5.250%, 09/25/33 |
|
|
219 |
|
|
753 |
|
|
Series 2003-44, Class A9, PO, 10/25/33 |
|
|
594 |
|
|
1,204 |
|
|
Series 2003-J7, Class 4A3, IF, 9.435%, 08/25/18 |
|
|
1,139 |
|
|
860 |
|
|
Series 2004-7, Class 2A1, VAR, 2.392%, 06/25/34 |
|
|
807 |
|
|
1,354 |
|
|
Series 2004-8, Class 2A1, 4.500%, 06/25/19 |
|
|
1,381 |
|
|
343 |
|
|
Series 2004-HYB1, Class 2A, VAR, 2.889%, 05/20/34 |
|
|
311 |
|
|
1,220 |
|
|
Series 2004-HYB3, Class 2A, VAR, 2.649%, 06/20/34 |
|
|
1,039 |
|
|
1,066 |
|
|
Series 2004-HYB6, Class A3, VAR, 3.089%, 11/20/34 |
|
|
933 |
|
|
1,019 |
|
|
Series 2004-J8, Class 1A2, 4.750%, 11/25/19 |
|
|
1,051 |
|
|
3,853 |
|
|
Series 2005-16, Class A23, 5.500%, 09/25/35 |
|
|
3,776 |
|
|
5,176 |
|
|
Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 |
|
|
4,161 |
|
|
|
|
|
Credit Suisse Mortgage Capital Certificates, |
|
|
|
|
|
1,242 |
|
|
Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) |
|
|
1,250 |
|
|
627 |
|
|
Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) |
|
|
577 |
|
|
2,006 |
|
|
Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) |
|
|
2,036 |
|
|
3,749 |
|
|
Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) |
|
|
3,725 |
|
|
1,210 |
|
|
Series 2010-12R, Class 14A1, VAR, 4.500%, 09/26/46 (e) |
|
|
1,217 |
|
|
809 |
|
|
Series 2010-15R, Class 7A1, VAR, 5.340%, 10/26/37 (e) |
|
|
819 |
|
|
250 |
|
|
Series 2010-15R, Class 7A2, VAR, 5.340%, 10/26/37 (e) |
|
|
230 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
24 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
6,400 |
|
|
Series 2011-1R, Class A1, VAR, 1.260%, 02/27/47 (e) |
|
|
6,400 |
|
|
|
|
|
CS First Boston Mortgage Securities Corp., |
|
|
|
|
|
886 |
|
|
Series 2003-1, Class DB1, 6.564%, 02/25/33 |
|
|
771 |
|
|
519 |
|
|
Series 2003-17, Class 2A1, 5.000%, 07/25/18 |
|
|
543 |
|
|
1,736 |
|
|
Series 2003-25, Class 1P, PO, 10/25/33 |
|
|
1,324 |
|
|
211 |
|
|
Series 2004-5, Class 5P, PO, 08/25/19 |
|
|
177 |
|
|
1,768 |
|
|
Series 2005-4, Class 3A18, 5.500%, 06/25/35 |
|
|
1,620 |
|
|
1,832 |
|
|
Series 2005-4, Class 3A22, 5.500%, 06/25/35 |
|
|
1,843 |
|
|
1,968 |
|
|
Series 2005-4, Class 3A23, 5.500%, 06/25/35 |
|
|
1,773 |
|
|
|
|
|
Deutsche Mortgage Securities, Inc., |
|
|
|
|
|
1,082 |
|
|
Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) |
|
|
1,085 |
|
|
1,868 |
|
|
Series 2010-RS2, Class A1, VAR, 1.510%, 06/28/47 (e) |
|
|
1,869 |
|
|
20 |
|
|
First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17 |
|
|
20 |
|
|
|
|
|
First Horizon Alternative Mortgage Securities, |
|
|
|
|
|
1,447 |
|
|
Series 2004-AA4, Class A1, VAR, 2.544%, 10/25/34 |
|
|
1,306 |
|
|
2,305 |
|
|
Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 |
|
|
1,777 |
|
|
4,160 |
|
|
Series 2007-FA4, Class 1A2, IF, IO, 5.389%, 08/25/37 |
|
|
610 |
|
|
|
|
|
First Horizon Asset Securities, Inc., |
|
|
|
|
|
214 |
|
|
Series 2003-3, Class 1A4, 3.900%, 05/25/33 |
|
|
215 |
|
|
3,005 |
|
|
Series 2003-9, Class 1A6, 5.500%, 11/25/33 |
|
|
2,789 |
|
|
1,413 |
|
|
Series 2004-AR2, Class 2A1, VAR, 2.880%, 05/25/34 |
|
|
1,367 |
|
|
969 |
|
|
Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 |
|
|
960 |
|
|
2,477 |
|
|
Series 2005-AR1, Class 2A2, VAR, 2.801%, 04/25/35 |
|
|
2,435 |
|
|
|
|
|
GMAC Mortgage Corp. Loan Trust, |
|
|
|
|
|
1,334 |
|
|
Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 |
|
|
1,343 |
|
|
738 |
|
|
Series 2004-J5, Class A7, 6.500%, 01/25/35 |
|
|
765 |
|
|
460 |
|
|
Series 2004-J6, Class 1A1, 5.000%, 01/25/20 |
|
|
467 |
|
|
1,024 |
|
|
Series 2005-AR3, Class 3A3, VAR, 3.225%, 06/19/35 |
|
|
999 |
|
|
5,565 |
|
|
Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 |
|
|
4,509 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,160 |
|
|
Series 2010-1, Class A, 4.250%, 07/25/40 (e) |
|
|
2,189 |
|
|
|
|
|
GSMPS Mortgage Loan Trust, |
|
|
|
|
|
1,327 |
|
|
Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) |
|
|
1,164 |
|
|
6,337 |
|
|
Series 2006-RP2, Class 1AS2, IF, IO, 5.782%, 04/25/36 (e) |
|
|
924 |
|
|
|
|
|
GSR Mortgage Loan Trust, |
|
|
|
|
|
1,523 |
|
|
Series 2004-6F, Class 3A4, 6.500%, 05/25/34 |
|
|
1,613 |
|
|
117 |
|
|
Series 2004-10F, Class 2A1, 5.000%, 08/25/19 |
|
|
120 |
|
|
532 |
|
|
Series 2004-13F, Class 3A3, 6.000%, 11/25/34 |
|
|
523 |
|
|
912 |
|
|
Series 2005-4F, Class AP, PO, 05/25/35 |
|
|
753 |
|
|
5,509 |
|
|
Series 2005-7F, Class 3A9, 6.000%, 09/25/35 |
|
|
5,054 |
|
|
4,534 |
|
|
Series 2006-1F, Class 2A4, 6.000%, 02/25/36 |
|
|
4,099 |
|
|
5,000 |
|
|
Series 2007-1F, Class 2A4, 5.500%, 01/25/37 |
|
|
4,750 |
|
|
24,962 |
|
|
Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.279%, 08/25/35 |
|
|
218 |
|
|
|
|
|
JP Morgan Mortgage Trust, |
|
|
|
|
|
3,253 |
|
|
Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 |
|
|
3,240 |
|
|
869 |
|
|
Series 2006-A3, Class 6A1, VAR, 2.994%, 08/25/34 |
|
|
824 |
|
|
1,329 |
|
|
JP Morgan Reremic, Series 2009-6, Class 4A1, VAR, 6.000%, 09/26/36 (e) |
|
|
1,387 |
|
|
|
|
|
Lehman Mortgage Trust, |
|
|
|
|
|
1,539 |
|
|
Series 2006-2, Class 1A1, VAR, 6.448%, 04/25/36 |
|
|
1,531 |
|
|
2,000 |
|
|
Series 2008-2, Class 1A6, 6.000%, 03/25/38 |
|
|
1,520 |
|
|
1,254 |
|
|
LVII Resecuritization Trust, Series 2009-2, Class A3, VAR, 2.898%, 09/27/37 (e) |
|
|
1,226 |
|
|
|
|
|
MASTR Adjustable Rate Mortgages Trust, |
|
|
|
|
|
110 |
|
|
Series 2004-4, Class 2A1, VAR, 2.426%, 05/25/34 |
|
|
66 |
|
|
1,837 |
|
|
Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 |
|
|
1,796 |
|
|
6,212 |
|
|
Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 |
|
|
6,251 |
|
|
2,800 |
|
|
Series 2004-13, Class 3A7, VAR, 2.899%, 11/21/34 |
|
|
2,729 |
|
|
467 |
|
|
Series 2004-15, Class 3A1, VAR, 3.278%, 12/25/34 |
|
|
396 |
|
|
|
|
|
MASTR Alternative Loans Trust, |
|
|
|
|
|
382 |
|
|
Series 2003-3, Class 1A1, 6.500%, 05/25/33 |
|
|
393 |
|
|
1,303 |
|
|
Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
|
|
1,290 |
|
|
1,172 |
|
|
Series 2004-3, Class 2A1, 6.250%, 04/25/34 |
|
|
1,223 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
25 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,632 |
|
|
Series 2004-4, Class 10A1, 5.000%, 05/25/24 |
|
|
2,682 |
|
|
852 |
|
|
Series 2004-6, Class 30PO, PO, 07/25/34 |
|
|
584 |
|
|
1,183 |
|
|
Series 2004-6, Class 7A1, 6.000%, 07/25/34 |
|
|
1,209 |
|
|
596 |
|
|
Series 2004-7, Class 30PO, PO, 08/25/34 |
|
|
427 |
|
|
2,854 |
|
|
Series 2004-8, Class 6A1, 5.500%, 09/25/19 |
|
|
2,910 |
|
|
592 |
|
|
Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
|
|
603 |
|
|
|
|
|
MASTR Asset Securitization Trust, |
|
|
|
|
|
297 |
|
|
Series 2003-2, Class 2A1, 4.500%, 03/25/18 |
|
|
300 |
|
|
105 |
|
|
Series 2003-3, Class 4A1, 5.000%, 04/25/18 |
|
|
108 |
|
|
421 |
|
|
Series 2003-4, Class 3A2, 5.000%, 05/25/18 |
|
|
437 |
|
|
430 |
|
|
Series 2003-12, Class 30PO, PO, 12/25/33 |
|
|
258 |
|
|
268 |
|
|
Series 2004-1, Class 30PO, PO, 02/25/34 |
|
|
183 |
|
|
243 |
|
|
Series 2004-4, Class 3A1, 4.500%, 04/25/19 |
|
|
251 |
|
|
227 |
|
|
Series 2004-6, Class 15PO, PO, 05/25/19 |
|
|
184 |
|
|
481 |
|
|
Series 2004-8, Class 1A1, 4.750%, 08/25/19 |
|
|
492 |
|
|
190 |
|
|
Series 2004-8, Class PO, PO, 08/25/19 |
|
|
158 |
|
|
33 |
|
|
Series 2004-10, Class 5A1, VAR, 0.662%, 11/25/34 |
|
|
33 |
|
|
1,000 |
|
|
Series 2006-2, Class 1A30, 6.000%, 06/25/36 |
|
|
915 |
|
|
4,410 |
|
|
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.611%, 05/25/35 (e) |
|
|
3,654 |
|
|
4,178 |
|
|
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
|
|
2,841 |
|
|
104 |
|
|
Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 |
|
|
116 |
|
|
907 |
|
|
MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.581%, 02/25/35 |
|
|
705 |
|
|
|
|
|
Nomura Asset Acceptance Corp., |
|
|
|
|
|
682 |
|
|
Series 2003-A1, Class A1, 5.500%, 05/25/33 |
|
|
702 |
|
|
213 |
|
|
Series 2003-A1, Class A2, 6.000%, 05/25/33 |
|
|
225 |
|
|
66 |
|
|
Series 2003-A1, Class A5, 7.000%, 04/25/33 |
|
|
69 |
|
|
45 |
|
|
Series 2003-A1, Class A7, 5.000%, 04/25/18 |
|
|
46 |
|
|
754 |
|
|
Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
|
|
763 |
|
|
|
|
|
Paine Webber CMO Trust, |
|
|
|
|
|
5 |
|
|
Series H, Class 4, 8.750%, 04/01/18 |
|
|
5 |
|
|
21 |
|
|
Series P, Class 4, 8.500%, 08/01/19 |
|
|
24 |
|
|
|
|
|
RBSSP Resecuritization Trust, |
|
|
|
|
|
1,929 |
|
|
Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) |
|
|
1,948 |
|
|
1,508 |
|
|
Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) |
|
|
1,561 |
|
|
1,044 |
|
|
Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) |
|
|
1,076 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,424 |
|
|
Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) |
|
|
2,555 |
|
|
1,585 |
|
|
Series 2010-9, Class 1A1, VAR, 0.446%, 07/26/37 (e) (f) (i) |
|
|
1,428 |
|
|
1,800 |
|
|
Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) |
|
|
1,786 |
|
|
1,420 |
|
|
Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) |
|
|
1,438 |
|
|
|
|
|
Residential Accredit Loans, Inc., |
|
|
|
|
|
351 |
|
|
Series 2002-QS16, Class A3, IF, 16.076%, 10/25/17 |
|
|
382 |
|
|
1,133 |
|
|
Series 2002-QS8, Class A5, 6.250%, 06/25/17 |
|
|
1,152 |
|
|
5,191 |
|
|
Series 2003-QR19, Class CB4, 5.750%, 10/25/33 |
|
|
5,114 |
|
|
1,934 |
|
|
Series 2003-QS12, Class A2A, IF, IO, 7.338%, 06/25/18 |
|
|
265 |
|
|
589 |
|
|
Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 |
|
|
63 |
|
|
3,996 |
|
|
Series 2003-QS14, Class A1, 5.000%, 07/25/18 |
|
|
4,063 |
|
|
1,203 |
|
|
Series 2003-QS18, Class A1, 5.000%, 09/25/18 |
|
|
1,242 |
|
|
2,584 |
|
|
Series 2003-QS19, Class A1, 5.750%, 10/25/33 |
|
|
2,700 |
|
|
777 |
|
|
Series 2003-QS3, Class A2, IF, 15.925%, 02/25/18 |
|
|
838 |
|
|
729 |
|
|
Series 2003-QS3, Class A8, IF, IO, 7.338%, 02/25/18 |
|
|
85 |
|
|
2,037 |
|
|
Series 2003-QS9, Class A3, IF, IO, 7.288%, 05/25/18 |
|
|
291 |
|
|
3,153 |
|
|
Series 2004-QA6, Class NB2, VAR, 3.159%, 12/26/34 |
|
|
2,532 |
|
|
398 |
|
|
Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
|
|
398 |
|
|
|
|
|
Residential Asset Securitization Trust, |
|
|
|
|
|
1,261 |
|
|
Series 2003-A13, Class A3, 5.500%, 01/25/34 |
|
|
1,080 |
|
|
118 |
|
|
Series 2003-A14, Class A1, 4.750%, 02/25/19 |
|
|
122 |
|
|
4,442 |
|
|
Series 2005-A2, Class A4, IF, IO, 4.789%, 03/25/35 |
|
|
534 |
|
|
1,550 |
|
|
Series 2006-A4, Class 2A5, 6.000%, 05/25/36 |
|
|
1,004 |
|
|
|
|
|
Residential Funding Mortgage Securities I, |
|
|
|
|
|
1,130 |
|
|
Series 2003-S13, Class A3, 5.500%, 06/25/33 |
|
|
1,154 |
|
|
511 |
|
|
Series 2003-S14, Class A4, PO, 07/25/18 |
|
|
489 |
|
|
927 |
|
|
Series 2004-S3, Class A1, 4.750%, 03/25/19 |
|
|
953 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
26 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
1,704 |
|
|
Series 2004-S6, Class 2A6, PO, 06/25/34 |
|
|
1,411 |
|
|
388 |
|
|
Series 2004-S9, Class 2A1, 4.750%, 12/25/19 |
|
|
393 |
|
|
1,165 |
|
|
Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 |
|
|
897 |
|
|
54 |
|
|
Series 2007-S2, Class A11, 5.750%, 02/25/37 |
|
|
54 |
|
|
85 |
|
|
Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 |
|
|
61 |
|
|
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
|
|
|
|
742 |
|
|
Series 2003-HYB1, Class A, VAR, 3.199%, 09/25/33 |
|
|
755 |
|
|
166 |
|
|
Series 2003-UP2, Class PO1, PO, 12/25/18 |
|
|
123 |
|
|
3,500 |
|
|
Station Place Securitization Trust, Series 2010-1, Class A, VAR, 1.263%, 12/20/42 |
|
|
3,500 |
|
|
2,826 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 |
|
|
2,755 |
|
|
|
|
|
Structured Asset Securities Corp., |
|
|
|
|
|
88 |
|
|
Series 2002-10H, Class 1AP, PO, 05/25/32 |
|
|
65 |
|
|
280 |
|
|
Series 2003-8, Class 1A2, 5.000%, 04/25/18 |
|
|
289 |
|
|
504 |
|
|
Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 |
|
|
209 |
|
|
1,876 |
|
|
Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
|
|
1,909 |
|
|
1,352 |
|
|
Series 2004-20, Class 1A3, 5.250%, 11/25/34 |
|
|
1,367 |
|
|
3,000 |
|
|
Series 2004-5H, Class A4, 5.540%, 12/25/33 |
|
|
2,988 |
|
|
611 |
|
|
Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
|
|
601 |
|
|
1,000 |
|
|
Series 2005-10, Class 5A9, 5.250%, 12/25/34 |
|
|
984 |
|
|
|
|
|
WaMu Mortgage Pass-Through Certificates, |
|
|
|
|
|
241 |
|
|
Series 2003-AR8, Class A, VAR, 2.717%, 08/25/33 |
|
|
245 |
|
|
5,606 |
|
|
Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 |
|
|
5,561 |
|
|
741 |
|
|
Series 2003-AR9, Class 2A, VAR, 2.780%, 09/25/33 |
|
|
751 |
|
|
2,121 |
|
|
Series 2003-S10, Class A5, 5.000%, 10/25/18 |
|
|
2,129 |
|
|
233 |
|
|
Series 2003-S10, Class A6, PO, 10/25/18 |
|
|
231 |
|
|
615 |
|
|
Series 2003-S11, Class 2A5, IF, 16.331%, 11/25/33 |
|
|
646 |
|
|
1,090 |
|
|
Series 2003-S8, Class A6, 4.500%, 09/25/18 |
|
|
1,123 |
|
|
3,318 |
|
|
Series 2003-S9, Class A8, 5.250%, 10/25/33 |
|
|
3,322 |
|
|
465 |
|
|
Series 2003-S9, Class P, PO, 10/25/33 |
|
|
332 |
|
|
449 |
|
|
Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 |
|
|
442 |
|
|
256 |
|
|
Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 |
|
|
252 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,407 |
|
|
Series 2004-RS2, Class A4, 5.000%, 11/25/33 |
|
|
2,502 |
|
|
664 |
|
|
Series 2006-AR10, Class 2P, VAR, 09/25/36 |
|
|
385 |
|
|
412 |
|
|
Series 2006-AR12, Class 2P, VAR, 10/25/36 |
|
|
239 |
|
|
|
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|
|
|
|
|
14,780 |
|
|
Series 2005-2, Class 1A4, IF, IO, 4.789%, 04/25/35 |
|
|
1,210 |
|
|
3,569 |
|
|
Series 2005-2, Class 2A3, IF, IO, 4.739%, 04/25/35 |
|
|
477 |
|
|
3,885 |
|
|
Series 2005-3, Class CX, IO, 5.500%, 05/25/35 |
|
|
604 |
|
|
4,106 |
|
|
Series 2005-4, Class CB7, 5.500%, 06/25/35 |
|
|
3,598 |
|
|
3,785 |
|
|
Series 2005-4, Class CX, IO, 5.500%, 06/25/35 |
|
|
615 |
|
|
1,282 |
|
|
Series 2005-6, Class 2A4, 5.500%, 08/25/35 |
|
|
1,133 |
|
|
5,332 |
|
|
Series 2005-6, Class 2A9, 5.500%, 08/25/35 |
|
|
3,959 |
|
|
79 |
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS12, Class A, 6.500%, 05/25/32 |
|
|
83 |
|
|
|
|
|
Wells Fargo Mortgage-Backed Securities Trust, |
|
|
|
|
|
177 |
|
|
Series 2002-18, Class 2A5, 6.000%, 12/25/32 |
|
|
179 |
|
|
647 |
|
|
Series 2003-8, Class A9, 4.500%, 08/25/18 |
|
|
668 |
|
|
1,725 |
|
|
Series 2003-11, Class 1A4, 4.750%, 10/25/18 |
|
|
1,725 |
|
|
388 |
|
|
Series 2003-11, Class 1APO, PO, 10/25/18 |
|
|
326 |
|
|
1,177 |
|
|
Series 2003-13, Class A7, 4.500%, 11/25/18 |
|
|
1,195 |
|
|
1,417 |
|
|
Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
|
|
1,459 |
|
|
287 |
|
|
Series 2003-15, Class APO, PO, 12/25/18 |
|
|
235 |
|
|
1,216 |
|
|
Series 2003-16, Class 2A1, 4.500%, 12/25/18 |
|
|
1,244 |
|
|
479 |
|
|
Series 2003-16, Class 2A3, 4.500%, 12/25/18 |
|
|
487 |
|
|
870 |
|
|
Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 |
|
|
877 |
|
|
1,645 |
|
|
Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 |
|
|
1,692 |
|
|
443 |
|
|
Series 2004-2, Class APO, PO, 01/25/19 |
|
|
368 |
|
|
722 |
|
|
Series 2004-7, Class 2A1, 4.500%, 07/25/19 |
|
|
733 |
|
|
703 |
|
|
Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
|
|
736 |
|
|
1,729 |
|
|
Series 2004-BB, Class A4, VAR, 2.746%, 01/25/35 |
|
|
1,736 |
|
|
1,233 |
|
|
Series 2004-EE, Class 2A1, VAR, 2.853%, 12/25/34 |
|
|
1,207 |
|
|
1,281 |
|
|
Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 |
|
|
1,279 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
27 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
2,554 |
|
|
Series 2004-P, Class 2A1, VAR, 2.910%, 09/25/34 |
|
|
2,588 |
|
|
1,277 |
|
|
Series 2004-V, Class 1A1, VAR, 2.862%, 10/25/34 |
|
|
1,272 |
|
|
1,079 |
|
|
Series 2005-1, Class 2A1, 5.000%, 01/25/20 |
|
|
1,112 |
|
|
328 |
|
|
Series 2005-13, Class APO, PO, 11/25/20 |
|
|
263 |
|
|
928 |
|
|
Series 2005-16, Class APO, PO, 01/25/36 |
|
|
557 |
|
|
704 |
|
|
Series 2005-AR16, Class 2A1, VAR, 2.764%, 10/25/35 |
|
|
669 |
|
|
675 |
|
|
Series 2005-AR8, Class 2A1, VAR, 2.849%, 06/25/35 |
|
|
672 |
|
|
1,418 |
|
|
Series 2006-2, Class APO, PO, 03/25/36 |
|
|
966 |
|
|
1,091 |
|
|
Series 2006-4, Class 1APO, PO, 04/25/36 |
|
|
762 |
|
|
2,500 |
|
|
Series 2007-7, Class A7, 6.000%, 06/25/37 |
|
|
2,379 |
|
|
781 |
|
|
Series 2007-11, Class A14, 6.000%, 08/25/37 |
|
|
745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
406,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations (Cost $1,189,621) |
|
|
1,271,282 |
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 1.8% |
|
|
|
|
|
|
|
|
Banc of America Commercial Mortgage, Inc., |
|
|
|
|
|
400 |
|
|
Series 2005-3, Class A4, 4.668%, 07/10/43 |
|
|
420 |
|
|
1,610 |
|
|
Series 2005-3, Class AM, 4.727%, 07/10/43 |
|
|
1,664 |
|
|
4,296 |
|
|
Series 2005-6, Class ASB, VAR, 5.195%, 09/10/47 |
|
|
4,547 |
|
|
265 |
|
|
Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
|
|
284 |
|
|
2,250 |
|
|
Series 2006-4, Class A4, 5.634%, 07/10/46 |
|
|
2,443 |
|
|
250 |
|
|
Series 2006-5, Class A4, 5.414%, 09/10/47 |
|
|
267 |
|
|
|
|
|
Bear Stearns Commercial Mortgage Securities, |
|
|
|
|
|
53 |
|
|
Series 2002-PBW1, Class A1, VAR, 3.970%, 11/11/35 |
|
|
53 |
|
|
1,944 |
|
|
Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 |
|
|
2,024 |
|
|
3,148 |
|
|
Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 |
|
|
3,434 |
|
|
997 |
|
|
Series 2006-PW14, Class A1, 5.044%, 12/11/38 |
|
|
1,009 |
|
|
|
|
|
Citigroup Commercial Mortgage Trust, |
|
|
|
|
|
1,200 |
|
|
Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 |
|
|
1,257 |
|
|
479 |
|
|
Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 |
|
|
480 |
|
|
1,100 |
|
|
Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 |
|
|
1,175 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,361 |
|
|
FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) |
|
|
3,360 |
|
|
4,025 |
|
|
GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 |
|
|
4,284 |
|
|
500 |
|
|
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 |
|
|
523 |
|
|
|
|
|
GS Mortgage Securities Corp. II, |
|
|
|
|
|
770 |
|
|
Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 |
|
|
831 |
|
|
1,000 |
|
|
Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) |
|
|
1,028 |
|
|
1,000 |
|
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 |
|
|
1,074 |
|
|
|
|
|
Merrill Lynch Mortgage Trust, |
|
|
|
|
|
3,105 |
|
|
Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 |
|
|
3,350 |
|
|
2,878 |
|
|
Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 |
|
|
3,008 |
|
|
3,207 |
|
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, VAR, 5.431%, 02/12/39 |
|
|
3,471 |
|
|
1,169 |
|
|
Morgan Stanley, 3.000%, 07/17/56 |
|
|
1,172 |
|
|
134 |
|
|
Morgan Stanley Capital I, Series 2006-T23, Class A1, 5.682%, 08/12/41 |
|
|
134 |
|
|
3,000 |
|
|
Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) |
|
|
3,188 |
|
|
5,545 |
|
|
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 |
|
|
6,031 |
|
|
3,275 |
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 |
|
|
3,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities (Cost $49,079) |
|
|
53,795 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds 17.1% |
|
|
|
|
|
Consumer Discretionary 1.2% |
|
|
|
|
|
Auto Components 0.0% (g) |
|
|
|
|
|
665 |
|
|
Johnson Controls Inc, 4.250%, 03/01/21 |
|
|
662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles 0.0% (g) |
|
|
|
|
|
1,000 |
|
|
Daimler Finance North America LLC, 6.500%, 11/15/13 |
|
|
1,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 0.0% (g) |
|
|
|
|
|
400 |
|
|
McDonald's Corp., 4.300%, 03/01/13 |
|
|
424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables 0.0% (g) |
|
|
|
|
|
500 |
|
|
Newell Rubbermaid, Inc., 4.700%, 08/15/20 |
|
|
496 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
28 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Media 1.0% |
|
|
|
|
|
|
|
|
CBS Corp., |
|
|
|
|
|
140 |
|
|
5.500%, 05/15/33 |
|
|
127 |
|
|
252 |
|
|
5.750%, 04/15/20 |
|
|
268 |
|
|
700 |
|
|
7.875%, 07/30/30 |
|
|
816 |
|
|
190 |
|
|
8.875%, 05/15/19 |
|
|
240 |
|
|
250 |
|
|
Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 |
|
|
341 |
|
|
624 |
|
|
Comcast Cable Communications LLC, 7.125%, 06/15/13 |
|
|
699 |
|
|
2,790 |
|
|
Comcast Cable Holdings LLC, 9.800%, 02/01/12 |
|
|
3,012 |
|
|
|
|
|
Comcast Corp., |
|
|
|
|
|
1,000 |
|
|
5.300%, 01/15/14 |
|
|
1,091 |
|
|
1,484 |
|
|
5.500%, 03/15/11 |
|
|
1,487 |
|
|
1,845 |
|
|
5.900%, 03/15/16 |
|
|
2,051 |
|
|
400 |
|
|
6.500%, 11/15/35 |
|
|
422 |
|
|
740 |
|
|
Comcast Holdings Corp., 10.625%, 07/15/12 |
|
|
831 |
|
|
|
|
|
Cox Communications, Inc., |
|
|
|
|
|
505 |
|
|
5.450%, 12/15/14 |
|
|
558 |
|
|
125 |
|
|
8.375%, 03/01/39 (e) |
|
|
160 |
|
|
450 |
|
|
Cox Enterprises, Inc., 7.375%, 07/15/27 (e) |
|
|
502 |
|
|
1,000 |
|
|
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 4.600%, 02/15/21 |
|
|
979 |
|
|
2,000 |
|
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.000%, 08/15/40 |
|
|
1,957 |
|
|
1,177 |
|
|
Historic TW, Inc., 9.150%, 02/01/23 |
|
|
1,532 |
|
|
800 |
|
|
NBC Universal, Inc., 5.950%, 04/01/41 (e) |
|
|
788 |
|
|
|
|
|
News America Holdings, Inc., |
|
|
|
|
|
500 |
|
|
8.000%, 10/17/16 |
|
|
610 |
|
|
355 |
|
|
8.875%, 04/26/23 |
|
|
457 |
|
|
|
|
|
News America, Inc., |
|
|
|
|
|
100 |
|
|
6.200%, 12/15/34 |
|
|
103 |
|
|
250 |
|
|
6.900%, 08/15/39 |
|
|
280 |
|
|
1,075 |
|
|
7.300%, 04/30/28 |
|
|
1,195 |
|
|
|
|
|
Thomson Reuters Corp., (Canada), |
|
|
|
|
|
315 |
|
|
4.700%, 10/15/19 |
|
|
331 |
|
|
493 |
|
|
5.950%, 07/15/13 |
|
|
545 |
|
|
|
|
|
Time Warner Cable, Inc., |
|
|
|
|
|
2,127 |
|
|
5.850%, 05/01/17 |
|
|
2,342 |
|
|
800 |
|
|
8.250%, 04/01/19 |
|
|
985 |
|
|
|
|
|
Time Warner Entertainment Co. LP, |
|
|
|
|
|
120 |
|
|
8.375%, 03/15/23 |
|
|
151 |
|
|
1,100 |
|
|
8.375%, 07/15/33 |
|
|
1,365 |
|
|
872 |
|
|
10.150%, 05/01/12 |
|
|
959 |
|
|
|
|
|
Time Warner, Inc., |
|
|
|
|
|
150 |
|
|
6.200%, 03/15/40 |
|
|
153 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media Continued |
|
|
200 |
|
|
7.625%, 04/15/31 |
|
|
236 |
|
|
171 |
|
|
7.700%, 05/01/32 |
|
|
204 |
|
|
995 |
|
|
Viacom, Inc., 6.250%, 04/30/16 |
|
|
1,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail 0.1% |
|
|
275 |
|
|
Kohl's Corp., 6.250%, 12/15/17 |
|
|
316 |
|
|
|
|
|
Target Corp., |
|
|
|
|
|
200 |
|
|
6.000%, 01/15/18 |
|
|
230 |
|
|
800 |
|
|
7.000%, 01/15/38 |
|
|
970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.1% |
|
|
1,625 |
|
|
Home Depot, Inc., 5.400%, 03/01/16 |
|
|
1,808 |
|
|
750 |
|
|
Lowe's Cos., Inc., 7.110%, 05/15/37 |
|
|
891 |
|
|
590 |
|
|
Staples, Inc., 9.750%, 01/15/14 |
|
|
713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary |
|
|
36,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples 0.8% |
|
|
|
|
|
Beverages 0.2% |
|
|
|
|
|
Anheuser-Busch Cos., Inc., |
|
|
|
|
|
600 |
|
|
5.500%, 01/15/18 |
|
|
660 |
|
|
905 |
|
|
5.750%, 04/01/36 |
|
|
931 |
|
|
515 |
|
|
Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 (e) |
|
|
638 |
|
|
|
|
|
Coca-Cola Co. (The), |
|
|
|
|
|
500 |
|
|
3.625%, 03/15/14 |
|
|
531 |
|
|
410 |
|
|
4.875%, 03/15/19 |
|
|
444 |
|
|
300 |
|
|
Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 |
|
|
322 |
|
|
510 |
|
|
Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 |
|
|
533 |
|
|
|
|
|
Diageo Finance B.V., (Netherlands), |
|
|
|
|
|
800 |
|
|
5.300%, 10/28/15 |
|
|
889 |
|
|
500 |
|
|
5.500%, 04/01/13 |
|
|
542 |
|
|
890 |
|
|
FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) |
|
|
946 |
|
|
54 |
|
|
PepsiCo, Inc., 7.900%, 11/01/18 |
|
|
69 |
|
|
250 |
|
|
SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) |
|
|
287 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 0.2% |
|
|
|
|
|
250 |
|
|
CVS Caremark Corp., 6.125%, 09/15/39 |
|
|
260 |
|
|
|
|
|
Kroger Co. (The), |
|
|
|
|
|
850 |
|
|
7.500%, 01/15/14 |
|
|
974 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
29 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Food & Staples Retailing Continued |
|
|
|
|
|
1,460 |
|
|
7.500%, 04/01/31 |
|
|
1,738 |
|
|
|
|
|
Wal-Mart Stores, Inc., |
|
|
|
|
|
420 |
|
|
4.550%, 05/01/13 |
|
|
451 |
|
|
752 |
|
|
5.250%, 09/01/35 |
|
|
747 |
|
|
215 |
|
|
6.200%, 04/15/38 |
|
|
240 |
|
|
350 |
|
|
7.550%, 02/15/30 |
|
|
447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 0.3% |
|
|
|
|
|
|
|
|
Bunge Ltd. Finance Corp., |
|
|
|
|
|
165 |
|
|
5.875%, 05/15/13 |
|
|
176 |
|
|
875 |
|
|
8.500%, 06/15/19 |
|
|
1,039 |
|
|
191 |
|
|
Bunge N.A. Finance LP, 5.900%, 04/01/17 |
|
|
197 |
|
|
|
|
|
Cargill, Inc., |
|
|
|
|
|
400 |
|
|
5.200%, 01/22/13 (e) |
|
|
429 |
|
|
100 |
|
|
6.375%, 06/01/12 (e) |
|
|
106 |
|
|
850 |
|
|
7.350%, 03/06/19 (e) |
|
|
1,026 |
|
|
232 |
|
|
General Mills, Inc., 6.000%, 02/15/12 |
|
|
244 |
|
|
|
|
|
Kellogg Co., |
|
|
|
|
|
462 |
|
|
4.250%, 03/06/13 |
|
|
489 |
|
|
1,200 |
|
|
5.125%, 12/03/12 |
|
|
1,282 |
|
|
|
|
|
Kraft Foods, Inc., |
|
|
|
|
|
1,450 |
|
|
6.125%, 02/01/18 |
|
|
1,629 |
|
|
1,135 |
|
|
6.500%, 08/11/17 |
|
|
1,304 |
|
|
345 |
|
|
6.750%, 02/19/14 |
|
|
392 |
|
|
600 |
|
|
6.875%, 02/01/38 |
|
|
673 |
|
|
500 |
|
|
6.875%, 01/26/39 |
|
|
561 |
|
|
350 |
|
|
7.000%, 08/11/37 |
|
|
398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.1% |
|
|
|
|
|
66 |
|
|
Kimberly-Clark Corp., 7.500%, 11/01/18 |
|
|
83 |
|
|
969 |
|
|
Procter & Gamble - ESOP, 9.360%, 01/01/21 |
|
|
1,235 |
|
|
110 |
|
|
Procter & Gamble Co., 5.500%, 02/01/34 |
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples |
|
|
23,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy 0.8% |
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.1% |
|
|
|
|
|
1,555 |
|
|
Halliburton Co., 7.450%, 09/15/39 |
|
|
1,970 |
|
|
900 |
|
|
Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 |
|
|
991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 0.7% |
|
|
|
|
|
150 |
|
|
Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 |
|
|
179 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels Continued |
|
|
|
|
|
Anadarko Petroleum Corp., |
|
|
|
|
|
125 |
|
|
5.750%, 06/15/14 |
|
|
138 |
|
|
2,000 |
|
|
7.625%, 03/15/14 |
|
|
2,290 |
|
|
265 |
|
|
8.700%, 03/15/19 |
|
|
327 |
|
|
1,000 |
|
|
Canadian Natural Resources Ltd., (Canada), 6.750%, 02/01/39 |
|
|
1,146 |
|
|
1,000 |
|
|
Chevron Corp., 4.950%, 03/03/19 |
|
|
1,116 |
|
|
405 |
|
|
Conoco Funding Co., (Canada), 7.250%, 10/15/31 |
|
|
499 |
|
|
|
|
|
ConocoPhillips, |
|
|
|
|
|
200 |
|
|
5.200%, 05/15/18 |
|
|
221 |
|
|
450 |
|
|
5.750%, 02/01/19 |
|
|
510 |
|
|
150 |
|
|
6.000%, 01/15/20 |
|
|
172 |
|
|
200 |
|
|
6.500%, 02/01/39 |
|
|
232 |
|
|
105 |
|
|
Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 |
|
|
109 |
|
|
645 |
|
|
EnCana Corp., (Canada), 6.500%, 05/15/19 |
|
|
757 |
|
|
600 |
|
|
EOG Resources, Inc., 4.100%, 02/01/21 |
|
|
580 |
|
|
200 |
|
|
Kerr-McGee Corp., 6.950%, 07/01/24 |
|
|
224 |
|
|
|
|
|
Marathon Oil Corp., |
|
|
|
|
|
819 |
|
|
5.900%, 03/15/18 |
|
|
928 |
|
|
1,535 |
|
|
6.000%, 10/01/17 |
|
|
1,752 |
|
|
|
|
|
Petro-Canada, (Canada), |
|
|
|
|
|
324 |
|
|
6.050%, 05/15/18 |
|
|
368 |
|
|
1,045 |
|
|
6.800%, 05/15/38 |
|
|
1,173 |
|
|
|
|
|
Shell International Finance B.V., (Netherlands), |
|
|
|
|
|
270 |
|
|
1.875%, 03/25/13 |
|
|
276 |
|
|
275 |
|
|
4.000%, 03/21/14 |
|
|
294 |
|
|
1,000 |
|
|
4.300%, 09/22/19 |
|
|
1,034 |
|
|
1,005 |
|
|
4.375%, 03/25/20 |
|
|
1,042 |
|
|
1,230 |
|
|
6.375%, 12/15/38 |
|
|
1,403 |
|
|
467 |
|
|
Statoil ASA, (Norway), 3.125%, 08/17/17 |
|
|
464 |
|
|
250 |
|
|
Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 |
|
|
284 |
|
|
125 |
|
|
Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 |
|
|
153 |
|
|
400 |
|
|
Tosco Corp., 8.125%, 02/15/30 |
|
|
514 |
|
|
|
|
|
Total Capital S.A., (France), |
|
|
|
|
|
1,400 |
|
|
2.300%, 03/15/16 |
|
|
1,362 |
|
|
370 |
|
|
4.125%, 01/28/21 |
|
|
367 |
|
|
2,000 |
|
|
XTO Energy, Inc., 5.750%, 12/15/13 |
|
|
2,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy |
|
|
25,125 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
30 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Financials 9.7% |
|
|
|
|
|
|
|
|
Capital Markets 2.3% |
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp. (The), |
|
|
|
|
|
900 |
|
|
2.950%, 06/18/15 |
|
|
918 |
|
|
750 |
|
|
4.600%, 01/15/20 |
|
|
782 |
|
|
310 |
|
|
5.125%, 08/27/13 |
|
|
339 |
|
|
|
|
|
BlackRock, Inc., |
|
|
|
|
|
540 |
|
|
3.500%, 12/10/14 |
|
|
567 |
|
|
652 |
|
|
5.000%, 12/10/19 |
|
|
686 |
|
|
350 |
|
|
6.250%, 09/15/17 |
|
|
400 |
|
|
1,500 |
|
|
Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) |
|
|
1,474 |
|
|
250 |
|
|
Charles Schwab Corp. (The), 4.950%, 06/01/14 |
|
|
273 |
|
|
|
|
|
Credit Suisse USA, Inc., |
|
|
|
|
|
500 |
|
|
5.125%, 08/15/15 |
|
|
547 |
|
|
5,022 |
|
|
6.125%, 11/15/11 |
|
|
5,217 |
|
|
500 |
|
|
FMR LLC, 6.450%, 11/15/39 (e) |
|
|
494 |
|
|
|
|
|
Goldman Sachs Group, Inc. (The), |
|
|
|
|
|
892 |
|
|
3.700%, 08/01/15 |
|
|
904 |
|
|
1,041 |
|
|
4.750%, 07/15/13 |
|
|
1,108 |
|
|
2,660 |
|
|
5.150%, 01/15/14 |
|
|
2,873 |
|
|
1,032 |
|
|
5.250%, 10/15/13 |
|
|
1,118 |
|
|
840 |
|
|
5.375%, 03/15/20 |
|
|
863 |
|
|
750 |
|
|
5.500%, 11/15/14 |
|
|
823 |
|
|
4,100 |
|
|
5.950%, 01/18/18 |
|
|
4,451 |
|
|
94 |
|
|
6.000%, 06/15/20 |
|
|
101 |
|
|
305 |
|
|
6.250%, 09/01/17 |
|
|
339 |
|
|
1,606 |
|
|
6.600%, 01/15/12 |
|
|
1,688 |
|
|
485 |
|
|
6.750%, 10/01/37 |
|
|
497 |
|
|
2,025 |
|
|
7.500%, 02/15/19 |
|
|
2,387 |
|
|
|
|
|
Jefferies Group, Inc., |
|
|
|
|
|
450 |
|
|
3.875%, 11/09/15 |
|
|
448 |
|
|
1,005 |
|
|
5.500%, 03/15/16 |
|
|
1,053 |
|
|
1,000 |
|
|
6.450%, 06/08/27 |
|
|
1,001 |
|
|
550 |
|
|
8.500%, 07/15/19 |
|
|
651 |
|
|
|
|
|
Lehman Brothers Holdings, Inc., |
|
|
|
|
|
105 |
|
|
3.950%, 11/10/09 (d) |
|
|
27 |
|
|
1,246 |
|
|
4.800%, 03/13/14 (d) |
|
|
316 |
|
|
1,000 |
|
|
5.500%, 04/04/16 (d) |
|
|
254 |
|
|
1,200 |
|
|
5.750%, 05/17/13 (d) |
|
|
304 |
|
|
1,850 |
|
|
6.000%, 07/19/12 (d) |
|
|
469 |
|
|
1,670 |
|
|
6.625%, 01/18/12 (d) |
|
|
424 |
|
|
152 |
|
|
7.875%, 11/01/09 (d) |
|
|
39 |
|
|
|
|
|
Macquarie Group Ltd., (Australia), |
|
|
|
|
|
1,400 |
|
|
6.250%, 01/14/21 (e) |
|
|
1,431 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets Continued |
|
|
750 |
|
|
7.300%, 08/01/14 (e) |
|
|
837 |
|
|
|
|
|
Merrill Lynch & Co., Inc., |
|
|
|
|
|
2,215 |
|
|
5.450%, 07/15/14 |
|
|
2,386 |
|
|
920 |
|
|
5.700%, 05/02/17 |
|
|
957 |
|
|
1,702 |
|
|
6.150%, 04/25/13 |
|
|
1,839 |
|
|
2,496 |
|
|
6.400%, 08/28/17 |
|
|
2,742 |
|
|
1,249 |
|
|
6.875%, 04/25/18 |
|
|
1,405 |
|
|
|
|
|
Morgan Stanley, |
|
|
|
|
|
625 |
|
|
4.000%, 07/24/15 |
|
|
640 |
|
|
893 |
|
|
4.200%, 11/20/14 |
|
|
927 |
|
|
2,029 |
|
|
4.750%, 04/01/14 |
|
|
2,121 |
|
|
4,225 |
|
|
5.300%, 03/01/13 |
|
|
4,505 |
|
|
1,000 |
|
|
5.450%, 01/09/17 |
|
|
1,054 |
|
|
1,021 |
|
|
5.500%, 07/24/20 |
|
|
1,032 |
|
|
665 |
|
|
5.625%, 09/23/19 |
|
|
683 |
|
|
900 |
|
|
5.750%, 08/31/12 |
|
|
958 |
|
|
1,200 |
|
|
6.000%, 05/13/14 |
|
|
1,313 |
|
|
400 |
|
|
6.625%, 04/01/18 |
|
|
442 |
|
|
1,330 |
|
|
6.750%, 04/15/11 |
|
|
1,340 |
|
|
370 |
|
|
6.750%, 10/15/13 |
|
|
410 |
|
|
|
|
|
Nomura Holdings, Inc., (Japan), |
|
|
|
|
|
1,250 |
|
|
4.125%, 01/19/16 |
|
|
1,244 |
|
|
150 |
|
|
5.000%, 03/04/15 |
|
|
157 |
|
|
1,150 |
|
|
6.700%, 03/04/20 |
|
|
1,239 |
|
|
226 |
|
|
Northern Trust Corp., 5.500%, 08/15/13 |
|
|
249 |
|
|
|
|
|
UBS AG, (Switzerland), |
|
|
|
|
|
414 |
|
|
2.250%, 08/12/13 |
|
|
419 |
|
|
2,300 |
|
|
3.875%, 01/15/15 |
|
|
2,362 |
|
|
365 |
|
|
4.875%, 08/04/20 |
|
|
368 |
|
|
500 |
|
|
5.750%, 04/25/18 |
|
|
543 |
|
|
425 |
|
|
5.875%, 12/20/17 |
|
|
465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 2.5% |
|
|
|
|
|
550 |
|
|
ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) |
|
|
558 |
|
|
|
|
|
Australia & New Zealand Banking Group Ltd., (Australia), |
|
|
|
|
|
900 |
|
|
3.250%, 03/01/16 (e) |
|
|
896 |
|
|
228 |
|
|
4.875%, 01/12/21 (e) |
|
|
232 |
|
|
|
|
|
Bank of Nova Scotia, (Canada), |
|
|
|
|
|
1,034 |
|
|
1.650%, 10/29/15 (e) |
|
|
988 |
|
|
737 |
|
|
3.400%, 01/22/15 |
|
|
763 |
|
|
679 |
|
|
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) |
|
|
707 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
31 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Commercial Banks Continued |
|
|
|
|
|
|
|
|
Barclays Bank plc, (United Kingdom), |
|
|
|
|
|
2,650 |
|
|
2.500%, 01/23/13 |
|
|
2,694 |
|
|
800 |
|
|
2.500%, 09/21/15 (e) |
|
|
785 |
|
|
935 |
|
|
3.900%, 04/07/15 |
|
|
965 |
|
|
175 |
|
|
5.000%, 09/22/16 |
|
|
186 |
|
|
700 |
|
|
5.200%, 07/10/14 |
|
|
757 |
|
|
1,000 |
|
|
6.050%, 12/04/17 (e) |
|
|
1,035 |
|
|
|
|
|
BB&T Corp., |
|
|
|
|
|
865 |
|
|
3.375%, 09/25/13 |
|
|
904 |
|
|
1,450 |
|
|
3.850%, 07/27/12 |
|
|
1,505 |
|
|
750 |
|
|
3.950%, 04/29/16 |
|
|
777 |
|
|
740 |
|
|
4.900%, 06/30/17 |
|
|
769 |
|
|
245 |
|
|
6.850%, 04/30/19 |
|
|
284 |
|
|
695 |
|
|
Branch Banking & Trust Co., 5.625%, 09/15/16 |
|
|
766 |
|
|
5,000 |
|
|
Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) |
|
|
5,021 |
|
|
260 |
|
|
Comerica, Inc., 3.000%, 09/16/15 |
|
|
259 |
|
|
|
|
|
Credit Suisse, (Switzerland), |
|
|
|
|
|
500 |
|
|
3.450%, 07/02/12 |
|
|
516 |
|
|
451 |
|
|
4.375%, 08/05/20 |
|
|
439 |
|
|
942 |
|
|
5.000%, 05/15/13 |
|
|
1,010 |
|
|
160 |
|
|
5.300%, 08/13/19 |
|
|
169 |
|
|
675 |
|
|
Credit Suisse AG, (Switzerland), 5.400%, 01/14/20 |
|
|
684 |
|
|
|
|
|
Deutsche Bank AG, (Germany), |
|
|
|
|
|
650 |
|
|
3.250%, 01/11/16 |
|
|
652 |
|
|
970 |
|
|
3.875%, 08/18/14 |
|
|
1,015 |
|
|
1,211 |
|
|
DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) |
|
|
1,163 |
|
|
720 |
|
|
Fifth Third Bancorp, 5.450%, 01/15/17 |
|
|
754 |
|
|
|
|
|
HSBC Bank plc, (United Kingdom), |
|
|
|
|
|
666 |
|
|
4.125%, 08/12/20 (e) |
|
|
640 |
|
|
575 |
|
|
4.750%, 01/19/21 (e) |
|
|
576 |
|
|
2,400 |
|
|
KeyBank N.A., 5.500%, 09/17/12 |
|
|
2,548 |
|
|
480 |
|
|
KeyCorp, 6.500%, 05/14/13 |
|
|
526 |
|
|
2,100 |
|
|
Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
|
|
2,375 |
|
|
1,845 |
|
|
Marshall & Ilsley Corp., 5.350%, 04/01/11 |
|
|
1,850 |
|
|
|
|
|
National Australia Bank Ltd., (Australia), |
|
|
|
|
|
3,000 |
|
|
2.500%, 01/08/13 (e) |
|
|
3,060 |
|
|
750 |
|
|
2.750%, 09/28/15 (e) |
|
|
743 |
|
|
795 |
|
|
3.750%, 03/02/15 (e) |
|
|
824 |
|
|
1,353 |
|
|
National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) |
|
|
1,354 |
|
|
250 |
|
|
National City Bank, 5.800%, 06/07/17 |
|
|
275 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks Continued |
|
|
600 |
|
|
Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) |
|
|
597 |
|
|
400 |
|
|
PNC Bank N.A., 6.875%, 04/01/18 |
|
|
456 |
|
|
|
|
|
PNC Funding Corp., |
|
|
|
|
|
567 |
|
|
4.375%, 08/11/20 |
|
|
568 |
|
|
940 |
|
|
5.250%, 11/15/15 |
|
|
1,013 |
|
|
950 |
|
|
5.625%, 02/01/17 |
|
|
1,023 |
|
|
565 |
|
|
6.700%, 06/10/19 |
|
|
658 |
|
|
|
|
|
Rabobank Nederland N.V., (Netherlands), |
|
|
|
|
|
140 |
|
|
2.125%, 10/13/15 |
|
|
135 |
|
|
2,400 |
|
|
3.200%, 03/11/15 (e) |
|
|
2,440 |
|
|
|
|
|
SunTrust Banks, Inc., |
|
|
|
|
|
2,010 |
|
|
5.250%, 11/05/12 |
|
|
2,119 |
|
|
820 |
|
|
6.000%, 09/11/17 |
|
|
882 |
|
|
880 |
|
|
6.375%, 04/01/11 |
|
|
884 |
|
|
1,140 |
|
|
Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) |
|
|
1,124 |
|
|
|
|
|
U.S. Bancorp, |
|
|
|
|
|
645 |
|
|
2.000%, 06/14/13 |
|
|
656 |
|
|
1,107 |
|
|
7.500%, 06/01/26 |
|
|
1,226 |
|
|
|
|
|
Wachovia Bank N.A., |
|
|
|
|
|
1,000 |
|
|
5.600%, 03/15/16 |
|
|
1,093 |
|
|
250 |
|
|
6.000%, 11/15/17 |
|
|
280 |
|
|
1,125 |
|
|
6.600%, 01/15/38 |
|
|
1,270 |
|
|
|
|
|
Wachovia Corp., |
|
|
|
|
|
685 |
|
|
4.875%, 02/15/14 |
|
|
727 |
|
|
2,000 |
|
|
5.500%, 05/01/13 |
|
|
2,169 |
|
|
4,480 |
|
|
5.750%, 02/01/18 |
|
|
4,981 |
|
|
|
|
|
Wells Fargo & Co., |
|
|
|
|
|
1,000 |
|
|
3.750%, 10/01/14 |
|
|
1,053 |
|
|
2,135 |
|
|
5.625%, 12/11/17 |
|
|
2,366 |
|
|
|
|
|
Wells Fargo Bank N.A., |
|
|
|
|
|
915 |
|
|
4.750%, 02/09/15 |
|
|
968 |
|
|
250 |
|
|
5.750%, 05/16/16 |
|
|
276 |
|
|
|
|
|
Westpac Banking Corp., (Australia), |
|
|
|
|
|
900 |
|
|
4.200%, 02/27/15 |
|
|
947 |
|
|
2,105 |
|
|
4.875%, 11/19/19 |
|
|
2,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.7% |
|
|
|
|
|
|
|
|
American Express Credit Corp., |
|
|
|
|
|
2,140 |
|
|
5.875%, 05/02/13 |
|
|
2,321 |
|
|
400 |
|
|
7.300%, 08/20/13 |
|
|
450 |
|
|
1,083 |
|
|
American General Finance Corp., 5.375%, 10/01/12 |
|
|
1,065 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
32 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Consumer Finance Continued |
|
|
|
|
|
405 |
|
|
American Honda Finance Corp., 2.375%, 03/18/13 (e) |
|
|
411 |
|
|
500 |
|
|
Capital One Bank USA N.A., 8.800%, 07/15/19 |
|
|
631 |
|
|
|
|
|
Capital One Financial Corp., |
|
|
|
|
|
850 |
|
|
5.700%, 09/15/11 |
|
|
872 |
|
|
1,900 |
|
|
6.250%, 11/15/13 |
|
|
2,106 |
|
|
665 |
|
|
6.750%, 09/15/17 |
|
|
768 |
|
|
240 |
|
|
7.375%, 05/23/14 |
|
|
277 |
|
|
|
|
|
HSBC Finance Corp., |
|
|
|
|
|
1,000 |
|
|
4.750%, 07/15/13 |
|
|
1,064 |
|
|
1,748 |
|
|
5.000%, 06/30/15 |
|
|
1,872 |
|
|
2,200 |
|
|
5.250%, 01/15/14 |
|
|
2,352 |
|
|
512 |
|
|
6.375%, 10/15/11 |
|
|
530 |
|
|
188 |
|
|
6.375%, 11/27/12 |
|
|
203 |
|
|
1,665 |
|
|
7.000%, 05/15/12 |
|
|
1,773 |
|
|
207 |
|
|
7.350%, 11/27/32 |
|
|
211 |
|
|
|
|
|
John Deere Capital Corp., |
|
|
|
|
|
265 |
|
|
4.500%, 04/03/13 |
|
|
283 |
|
|
1,000 |
|
|
5.250%, 10/01/12 |
|
|
1,069 |
|
|
1,023 |
|
|
SLM Corp., 5.375%, 01/15/13 |
|
|
1,062 |
|
|
962 |
|
|
Toyota Motor Credit Corp., 3.200%, 06/17/15 |
|
|
991 |
|
|
331 |
|
|
Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) |
|
|
333 |
|
|
1,845 |
|
|
Washington Mutual Finance Corp., 6.875%, 05/15/11 |
|
|
1,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 2.4% |
|
|
|
|
|
1,400 |
|
|
Associates Corp. of North America, 6.950%, 11/01/18 |
|
|
1,577 |
|
|
2,200 |
|
|
BA Covered Bond Issuer, 5.500%, 06/14/12 (e) |
|
|
2,305 |
|
|
|
|
|
Bank of America Corp., |
|
|
|
|
|
300 |
|
|
4.900%, 05/01/13 |
|
|
318 |
|
|
2,720 |
|
|
5.625%, 10/14/16 |
|
|
2,930 |
|
|
145 |
|
|
5.650%, 05/01/18 |
|
|
153 |
|
|
1,510 |
|
|
5.750%, 08/15/16 |
|
|
1,604 |
|
|
420 |
|
|
5.750%, 12/01/17 |
|
|
449 |
|
|
1,455 |
|
|
Bank of America N.A., 5.300%, 03/15/17 |
|
|
1,516 |
|
|
|
|
|
BP Capital Markets plc, (United Kingdom), |
|
|
|
|
|
700 |
|
|
3.125%, 03/10/12 |
|
|
716 |
|
|
2,122 |
|
|
5.250%, 11/07/13 |
|
|
2,304 |
|
|
|
|
|
Caterpillar Financial Services Corp., |
|
|
|
|
|
665 |
|
|
4.900%, 08/15/13 |
|
|
721 |
|
|
560 |
|
|
5.500%, 03/15/16 |
|
|
627 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services Continued |
|
|
1,300 |
|
|
6.200%, 09/30/13 |
|
|
1,458 |
|
|
305 |
|
|
7.050%, 10/01/18 |
|
|
372 |
|
|
510 |
|
|
7.150%, 02/15/19 |
|
|
625 |
|
|
|
|
|
Citigroup, Inc., |
|
|
|
|
|
200 |
|
|
4.587%, 12/15/15 |
|
|
209 |
|
|
856 |
|
|
4.700%, 05/29/15 |
|
|
899 |
|
|
222 |
|
|
4.750%, 05/19/15 |
|
|
234 |
|
|
1,015 |
|
|
5.000%, 09/15/14 |
|
|
1,067 |
|
|
2,025 |
|
|
5.125%, 05/05/14 |
|
|
2,177 |
|
|
536 |
|
|
5.375%, 08/09/20 |
|
|
556 |
|
|
600 |
|
|
5.500%, 04/11/13 |
|
|
643 |
|
|
2,112 |
|
|
5.625%, 08/27/12 |
|
|
2,222 |
|
|
150 |
|
|
6.000%, 12/13/13 |
|
|
164 |
|
|
2,150 |
|
|
6.000%, 08/15/17 |
|
|
2,356 |
|
|
755 |
|
|
6.010%, 01/15/15 |
|
|
828 |
|
|
350 |
|
|
6.125%, 11/21/17 |
|
|
386 |
|
|
510 |
|
|
6.375%, 08/12/14 |
|
|
569 |
|
|
400 |
|
|
8.125%, 07/15/39 |
|
|
507 |
|
|
530 |
|
|
8.500%, 05/22/19 |
|
|
658 |
|
|
|
|
|
CME Group, Inc., |
|
|
|
|
|
3,176 |
|
|
5.400%, 08/01/13 |
|
|
3,485 |
|
|
100 |
|
|
5.750%, 02/15/14 |
|
|
111 |
|
|
1,045 |
|
|
ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 |
|
|
1,179 |
|
|
200 |
|
|
Diageo Investment Corp., 9.000%, 08/15/11 |
|
|
208 |
|
|
154 |
|
|
ERAC USA Finance LLC, 2.250%, 01/10/14 (e) |
|
|
154 |
|
|
|
|
|
General Electric Capital Corp., |
|
|
|
|
|
5,825 |
|
|
5.250%, 10/19/12 |
|
|
6,197 |
|
|
191 |
|
|
5.300%, 02/11/21 |
|
|
196 |
|
|
2,500 |
|
|
5.400%, 02/15/17 |
|
|
2,721 |
|
|
5,055 |
|
|
5.625%, 05/01/18 |
|
|
5,498 |
|
|
1,000 |
|
|
5.650%, 06/09/14 |
|
|
1,094 |
|
|
9,450 |
|
|
5.875%, 02/15/12 |
|
|
9,921 |
|
|
310 |
|
|
5.875%, 01/14/38 |
|
|
311 |
|
|
6,912 |
|
|
6.000%, 06/15/12 |
|
|
7,351 |
|
|
2,094 |
|
|
6.750%, 03/15/32 |
|
|
2,334 |
|
|
|
|
|
National Rural Utilities Cooperative Finance Corp., |
|
|
|
|
|
225 |
|
|
2.625%, 09/16/12 |
|
|
231 |
|
|
635 |
|
|
4.750%, 03/01/14 |
|
|
686 |
|
|
200 |
|
|
10.375%, 11/01/18 |
|
|
274 |
|
|
640 |
|
|
Textron Financial Corp., 5.400%, 04/28/13 |
|
|
675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,776 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
33 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Insurance 1.4% |
|
|
|
|
|
|
|
|
ACE INA Holdings, Inc., |
|
|
|
|
|
455 |
|
|
2.600%, 11/23/15 |
|
|
448 |
|
|
350 |
|
|
5.600%, 05/15/15 |
|
|
387 |
|
|
317 |
|
|
Aflac, Inc., 6.450%, 08/15/40 |
|
|
327 |
|
|
1,012 |
|
|
Allstate Life Global Funding Trusts, 5.375%, 04/30/13 |
|
|
1,096 |
|
|
|
|
|
American International Group, Inc., |
|
|
|
|
|
1,499 |
|
|
4.250%, 05/15/13 |
|
|
1,553 |
|
|
2,960 |
|
|
5.450%, 05/18/17 |
|
|
3,082 |
|
|
|
|
|
AON Corp., |
|
|
|
|
|
336 |
|
|
3.500%, 09/30/15 |
|
|
337 |
|
|
306 |
|
|
6.250%, 09/30/40 |
|
|
317 |
|
|
2,185 |
|
|
ASIF Global Financing XIX, 4.900%, 01/17/13 (e) |
|
|
2,294 |
|
|
|
|
|
Berkshire Hathaway Finance Corp., |
|
|
|
|
|
233 |
|
|
2.450%, 12/15/15 |
|
|
232 |
|
|
1,250 |
|
|
4.000%, 04/15/12 |
|
|
1,295 |
|
|
1,000 |
|
|
4.600%, 05/15/13 |
|
|
1,070 |
|
|
605 |
|
|
5.000%, 08/15/13 |
|
|
660 |
|
|
1,505 |
|
|
5.400%, 05/15/18 |
|
|
1,666 |
|
|
100 |
|
|
Chubb Corp. (The), 5.750%, 05/15/18 |
|
|
112 |
|
|
|
|
|
CNA Financial Corp., |
|
|
|
|
|
750 |
|
|
5.850%, 12/15/14 |
|
|
810 |
|
|
781 |
|
|
5.875%, 08/15/20 |
|
|
813 |
|
|
|
|
|
Jackson National Life Global Funding, |
|
|
|
|
|
820 |
|
|
5.375%, 05/08/13 (e) |
|
|
887 |
|
|
1,695 |
|
|
6.125%, 05/30/12 (e) |
|
|
1,791 |
|
|
|
|
|
MassMutual Global Funding II, |
|
|
|
|
|
540 |
|
|
2.300%, 09/28/15 (e) |
|
|
524 |
|
|
338 |
|
|
2.875%, 04/21/14 (e) |
|
|
350 |
|
|
500 |
|
|
3.625%, 07/16/12 (e) |
|
|
517 |
|
|
430 |
|
|
MetLife, Inc., 6.817%, 08/15/18 |
|
|
505 |
|
|
|
|
|
Metropolitan Life Global Funding I, |
|
|
|
|
|
1,250 |
|
|
2.875%, 09/17/12 (e) |
|
|
1,279 |
|
|
400 |
|
|
3.125%, 01/11/16 (e) |
|
|
397 |
|
|
300 |
|
|
5.125%, 04/10/13 (e) |
|
|
321 |
|
|
1,093 |
|
|
5.200%, 09/18/13 (e) |
|
|
1,184 |
|
|
250 |
|
|
Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
|
|
266 |
|
|
467 |
|
|
Nationwide Financial Services, 6.250%, 11/15/11 |
|
|
484 |
|
|
650 |
|
|
Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) |
|
|
775 |
|
|
|
|
|
New York Life Global Funding, |
|
|
|
|
|
725 |
|
|
4.650%, 05/09/13 (e) |
|
|
775 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance Continued |
|
|
2,637 |
|
|
5.375%, 09/15/13 (e) |
|
|
2,894 |
|
|
|
|
|
Pacific Life Global Funding, |
|
|
|
|
|
650 |
|
|
5.000%, 05/15/17 (e) |
|
|
663 |
|
|
410 |
|
|
5.150%, 04/15/13 (e) |
|
|
436 |
|
|
200 |
|
|
Pacific Life Insurance Co., 9.250%, 06/15/39 (e) |
|
|
263 |
|
|
2,100 |
|
|
Pricoa Global Funding I, 5.450%, 06/11/14 (e) |
|
|
2,288 |
|
|
|
|
|
Principal Life Global Funding I, |
|
|
|
|
|
500 |
|
|
5.050%, 03/15/15 (e) |
|
|
526 |
|
|
4,549 |
|
|
6.250%, 02/15/12 (e) |
|
|
4,716 |
|
|
|
|
|
Principal Life Income Funding Trusts, |
|
|
|
|
|
290 |
|
|
5.150%, 06/17/11 |
|
|
294 |
|
|
215 |
|
|
5.300%, 12/14/12 |
|
|
230 |
|
|
2,365 |
|
|
Protective Life Secured Trusts, 4.000%, 04/01/11 |
|
|
2,372 |
|
|
210 |
|
|
Travelers Cos, Inc. (The), 5.800%, 05/15/18 |
|
|
233 |
|
|
1,120 |
|
|
Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) |
|
|
1,232 |
|
|
300 |
|
|
Travelers Property Casualty Corp., 5.000%, 03/15/13 |
|
|
322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 0.2% |
|
|
|
|
|
|
|
|
CommonWealth REIT, |
|
|
|
|
|
600 |
|
|
5.875%, 09/15/20 |
|
|
612 |
|
|
1,325 |
|
|
6.650%, 01/15/18 |
|
|
1,413 |
|
|
895 |
|
|
HCP, Inc., 5.375%, 02/01/21 |
|
|
915 |
|
|
|
|
|
Simon Property Group LP, |
|
|
|
|
|
32 |
|
|
4.200%, 02/01/15 |
|
|
34 |
|
|
200 |
|
|
4.375%, 03/01/21 |
|
|
198 |
|
|
705 |
|
|
5.625%, 08/15/14 |
|
|
776 |
|
|
665 |
|
|
6.100%, 05/01/16 |
|
|
755 |
|
|
320 |
|
|
6.125%, 05/30/18 |
|
|
360 |
|
|
330 |
|
|
6.750%, 05/15/14 |
|
|
371 |
|
|
1,236 |
|
|
WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
|
|
1,413 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.2% |
|
|
|
|
|
400 |
|
|
Countrywide Financial Corp., 6.250%, 05/15/16 |
|
|
428 |
|
|
2,865 |
|
|
Countrywide Home Loans, Inc., 4.000%, 03/22/11 |
|
|
2,871 |
|
|
1,463 |
|
|
Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) |
|
|
1,472 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials |
|
|
292,961 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
34 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Health Care 0.2% |
|
|
|
|
|
|
|
|
Biotechnology 0.1% |
|
|
|
|
|
|
|
|
Amgen, Inc., |
|
|
|
|
|
237 |
|
|
4.500%, 03/15/20 |
|
|
243 |
|
|
500 |
|
|
4.950%, 10/01/41 |
|
|
461 |
|
|
570 |
|
|
5.700%, 02/01/19 |
|
|
640 |
|
|
720 |
|
|
5.750%, 03/15/40 |
|
|
748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 0.0% (g) |
|
|
|
|
|
Baxter International, Inc., |
|
|
|
|
|
380 |
|
|
4.000%, 03/01/14 |
|
|
404 |
|
|
215 |
|
|
4.625%, 03/15/15 |
|
|
234 |
|
|
100 |
|
|
Becton Dickinson and Co., 5.000%, 05/15/19 |
|
|
108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.0% (g) |
|
|
|
|
|
370 |
|
|
Medco Health Solutions, Inc., 2.750%, 09/15/15 |
|
|
367 |
|
|
|
|
|
WellPoint, Inc., |
|
|
|
|
|
168 |
|
|
5.875%, 06/15/17 |
|
|
190 |
|
|
113 |
|
|
7.000%, 02/15/19 |
|
|
134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.1% |
|
|
|
|
|
250 |
|
|
Abbott Laboratories, 6.150%, 11/30/37 |
|
|
278 |
|
|
645 |
|
|
AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 |
|
|
722 |
|
|
450 |
|
|
Eli Lilly & Co., 3.550%, 03/06/12 |
|
|
462 |
|
|
|
|
|
GlaxoSmithKline Capital, Inc., |
|
|
|
|
|
450 |
|
|
4.375%, 04/15/14 |
|
|
484 |
|
|
750 |
|
|
4.850%, 05/15/13 |
|
|
811 |
|
|
530 |
|
|
6.375%, 05/15/38 |
|
|
604 |
|
|
650 |
|
|
Merck & Co., Inc., 6.000%, 09/15/17 |
|
|
752 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care |
|
|
7,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials 0.5% |
|
|
|
|
|
|
|
|
Aerospace & Defense 0.1% |
|
|
|
|
|
300 |
|
|
Honeywell International, Inc., 5.300%, 03/01/18 |
|
|
333 |
|
|
1,144 |
|
|
Lockheed Martin Corp., 5.720%, 06/01/40 (e) |
|
|
1,169 |
|
|
146 |
|
|
Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) |
|
|
149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,651 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.1% |
|
|
|
|
|
262 |
|
|
American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 |
|
|
261 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines Continued |
|
|
482 |
|
|
Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 |
|
|
503 |
|
|
282 |
|
|
Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 |
|
|
307 |
|
|
655 |
|
|
Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 |
|
|
666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 0.0% (g) |
|
|
|
|
|
205 |
|
|
Masco Corp., 5.850%, 03/15/17 |
|
|
208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.1% |
|
|
|
|
|
725 |
|
|
Allied Waste North America, Inc., 6.875%, 06/01/17 |
|
|
788 |
|
|
|
|
|
Pitney Bowes, Inc., |
|
|
|
|
|
565 |
|
|
4.875%, 08/15/14 |
|
|
594 |
|
|
1,020 |
|
|
5.000%, 03/15/15 |
|
|
1,076 |
|
|
200 |
|
|
5.600%, 03/15/18 |
|
|
208 |
|
|
|
|
|
Waste Management, Inc., |
|
|
|
|
|
214 |
|
|
4.750%, 06/30/20 |
|
|
220 |
|
|
455 |
|
|
7.375%, 03/11/19 |
|
|
549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 0.0% (g) |
|
|
|
|
|
130 |
|
|
Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 |
|
|
152 |
|
|
300 |
|
|
Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
|
|
338 |
|
|
500 |
|
|
Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 |
|
|
647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 0.0% (g) |
|
|
500 |
|
|
Eaton Corp., 5.600%, 05/15/18 |
|
|
555 |
|
|
290 |
|
|
Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 |
|
|
311 |
|
|
125 |
|
|
PACCAR, Inc., 6.375%, 02/15/12 |
|
|
131 |
|
|
135 |
|
|
Parker Hannifin Corp., 5.500%, 05/15/18 |
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 0.2% |
|
|
|
|
|
Burlington Northern Santa Fe LLC, |
|
|
|
|
|
125 |
|
|
3.600%, 09/01/20 |
|
|
119 |
|
|
500 |
|
|
5.650%, 05/01/17 |
|
|
560 |
|
|
250 |
|
|
5.750%, 03/15/18 |
|
|
280 |
|
|
250 |
|
|
6.700%, 08/01/28 |
|
|
277 |
|
|
200 |
|
|
6.750%, 07/15/11 |
|
|
205 |
|
|
450 |
|
|
7.000%, 02/01/14 |
|
|
513 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
35 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Road & Rail Continued |
|
|
|
|
|
CSX Corp., |
|
|
|
|
|
145 |
|
|
6.250%, 04/01/15 |
|
|
165 |
|
|
250 |
|
|
6.300%, 03/15/12 |
|
|
263 |
|
|
205 |
|
|
7.375%, 02/01/19 |
|
|
248 |
|
|
350 |
|
|
Erac USA Finance Co., 6.375%, 10/15/17 (e) |
|
|
393 |
|
|
355 |
|
|
Norfolk Southern Corp., 7.700%, 05/15/17 |
|
|
435 |
|
|
420 |
|
|
Ryder System, Inc., 3.600%, 03/01/16 |
|
|
417 |
|
|
|
|
|
Union Pacific Corp., |
|
|
|
|
|
235 |
|
|
4.875%, 01/15/15 |
|
|
255 |
|
|
1,100 |
|
|
5.650%, 05/01/17 |
|
|
1,234 |
|
|
600 |
|
|
5.700%, 08/15/18 |
|
|
675 |
|
|
|
|
|
United Parcel Service of America, Inc., |
|
|
|
|
|
340 |
|
|
8.375%, 04/01/20 |
|
|
446 |
|
|
60 |
|
|
SUB, 8.375%, 04/01/30 |
|
|
76 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials |
|
|
15,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology 0.7% |
|
|
|
|
|
Communications Equipment 0.1% |
|
|
|
|
|
Cisco Systems, Inc., |
|
|
|
|
|
878 |
|
|
5.500%, 02/22/16 |
|
|
991 |
|
|
350 |
|
|
5.500%, 01/15/40 |
|
|
349 |
|
|
755 |
|
|
5.900%, 02/15/39 |
|
|
794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 0.4% |
|
|
|
|
|
Dell, Inc., |
|
|
|
|
|
1,280 |
|
|
2.300%, 09/10/15 |
|
|
1,257 |
|
|
300 |
|
|
7.100%, 04/15/28 |
|
|
340 |
|
|
|
|
|
Hewlett-Packard Co., |
|
|
|
|
|
275 |
|
|
2.950%, 08/15/12 |
|
|
283 |
|
|
600 |
|
|
4.750%, 06/02/14 |
|
|
653 |
|
|
1,345 |
|
|
5.400%, 03/01/17 |
|
|
1,504 |
|
|
1,230 |
|
|
6.125%, 03/01/14 |
|
|
1,380 |
|
|
|
|
|
International Business Machines Corp., |
|
|
|
|
|
2,600 |
|
|
5.700%, 09/14/17 |
|
|
2,969 |
|
|
690 |
|
|
6.220%, 08/01/27 |
|
|
804 |
|
|
1,075 |
|
|
7.625%, 10/15/18 |
|
|
1,359 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 0.1% |
|
|
|
|
|
Arrow Electronics, Inc., |
|
|
|
|
|
170 |
|
|
3.375%, 11/01/15 |
|
|
168 |
|
|
165 |
|
|
6.000%, 04/01/20 |
|
|
170 |
|
|
1,080 |
|
|
6.875%, 07/01/13 |
|
|
1,179 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components Continued |
|
|
500 |
|
|
7.500%, 01/15/27 |
|
|
528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,045 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services 0.0% (g) |
|
|
1,020 |
|
|
HP Enterprise Services LLC, 6.000%, 08/01/13 |
|
|
1,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics 0.0% (g) |
|
|
|
|
|
|
|
|
Xerox Corp., |
|
|
|
|
|
550 |
|
|
6.750%, 02/01/17 |
|
|
634 |
|
|
100 |
|
|
8.250%, 05/15/14 |
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 0.1% |
|
|
160 |
|
|
Intuit, Inc., 5.750%, 03/15/17 |
|
|
176 |
|
|
|
|
|
Microsoft Corp., |
|
|
|
|
|
720 |
|
|
1.625%, 09/25/15 |
|
|
699 |
|
|
117 |
|
|
4.500%, 10/01/40 |
|
|
105 |
|
|
|
|
|
Oracle Corp., |
|
|
|
|
|
500 |
|
|
5.000%, 07/08/19 |
|
|
538 |
|
|
1,412 |
|
|
5.250%, 01/15/16 |
|
|
1,576 |
|
|
698 |
|
|
5.750%, 04/15/18 |
|
|
785 |
|
|
465 |
|
|
6.500%, 04/15/38 |
|
|
525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology |
|
|
21,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials 0.4% |
|
|
|
|
|
Chemicals 0.4% |
|
|
249 |
|
|
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
|
|
260 |
|
|
|
|
|
Dow Chemical Co. (The), |
|
|
|
|
|
203 |
|
|
4.250%, 11/15/20 |
|
|
196 |
|
|
1,250 |
|
|
6.000%, 10/01/12 |
|
|
1,344 |
|
|
370 |
|
|
7.375%, 11/01/29 |
|
|
448 |
|
|
200 |
|
|
8.550%, 05/15/19 |
|
|
253 |
|
|
|
|
|
EI Du Pont de Nemours & Co., |
|
|
|
|
|
635 |
|
|
1.950%, 01/15/16 |
|
|
613 |
|
|
350 |
|
|
4.900%, 01/15/41 |
|
|
329 |
|
|
1,610 |
|
|
6.000%, 07/15/18 |
|
|
1,841 |
|
|
1,430 |
|
|
Monsanto Co., 7.375%, 08/15/12 |
|
|
1,561 |
|
|
875 |
|
|
Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 |
|
|
936 |
|
|
|
|
|
PPG Industries, Inc., |
|
|
|
|
|
114 |
|
|
5.500%, 11/15/40 |
|
|
113 |
|
|
415 |
|
|
5.750%, 03/15/13 |
|
|
449 |
|
|
350 |
|
|
9.000%, 05/01/21 |
|
|
454 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
36 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Chemicals Continued |
|
|
|
|
|
Praxair, Inc., |
|
|
|
|
|
662 |
|
|
4.625%, 03/30/15 |
|
|
714 |
|
|
885 |
|
|
5.250%, 11/15/14 |
|
|
991 |
|
|
350 |
|
|
Union Carbide Corp., 7.750%, 10/01/96 |
|
|
364 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.0% (g) |
|
|
|
|
|
BHP Billiton Finance USA Ltd., (Australia), |
|
|
|
|
|
410 |
|
|
5.400%, 03/29/17 |
|
|
460 |
|
|
400 |
|
|
5.500%, 04/01/14 |
|
|
445 |
|
|
550 |
|
|
6.500%, 04/01/19 |
|
|
652 |
|
|
115 |
|
|
Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20 |
|
|
108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials |
|
|
12,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services 1.1% |
|
|
|
|
|
Diversified Telecommunication Services 1.0% |
|
|
6 |
|
|
AT&T Corp., 8.000%, 11/15/31 |
|
|
8 |
|
|
|
|
|
AT&T, Inc., |
|
|
|
|
|
3,417 |
|
|
4.950%, 01/15/13 |
|
|
3,657 |
|
|
386 |
|
|
5.100%, 09/15/14 |
|
|
425 |
|
|
170 |
|
|
5.350%, 09/01/40 (e) |
|
|
156 |
|
|
250 |
|
|
5.500%, 02/01/18 |
|
|
275 |
|
|
2,700 |
|
|
6.300%, 01/15/38 |
|
|
2,803 |
|
|
478 |
|
|
BellSouth Corp., 5.200%, 09/15/14 |
|
|
526 |
|
|
|
|
|
BellSouth Telecommunications, Inc., |
|
|
|
|
|
1,073 |
|
|
6.300%, 12/15/15 |
|
|
1,156 |
|
|
300 |
|
|
7.000%, 10/01/25 |
|
|
333 |
|
|
2,500 |
|
|
British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13 |
|
|
2,668 |
|
|
|
|
|
Deutsche Telekom International Finance B.V., (Netherlands), |
|
|
|
|
|
1,150 |
|
|
4.875%, 07/08/14 |
|
|
1,240 |
|
|
400 |
|
|
6.000%, 07/08/19 |
|
|
452 |
|
|
105 |
|
|
8.750%, 06/15/30 |
|
|
138 |
|
|
2,100 |
|
|
GTE Corp., 6.840%, 04/15/18 |
|
|
2,453 |
|
|
|
|
|
Telecom Italia Capital S.A., (Luxembourg), |
|
|
|
|
|
1,400 |
|
|
4.950%, 09/30/14 |
|
|
1,438 |
|
|
1,616 |
|
|
5.250%, 11/15/13 |
|
|
1,689 |
|
|
750 |
|
|
6.999%, 06/04/18 |
|
|
805 |
|
|
|
|
|
Telefonica Emisiones S.A.U., (Spain), |
|
|
|
|
|
316 |
|
|
5.462%, 02/16/21 |
|
|
321 |
|
|
880 |
|
|
5.855%, 02/04/13 |
|
|
940 |
|
|
515 |
|
|
5.877%, 07/15/19 |
|
|
541 |
|
|
404 |
|
|
TELUS Corp., (Canada), 8.000%, 06/01/11 |
|
|
412 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services Continued |
|
|
|
|
|
Verizon Communications, Inc., |
|
|
|
|
|
650 |
|
|
5.500%, 04/01/17 |
|
|
715 |
|
|
443 |
|
|
5.550%, 02/15/16 |
|
|
494 |
|
|
100 |
|
|
5.850%, 09/15/35 |
|
|
101 |
|
|
1,250 |
|
|
7.350%, 04/01/39 |
|
|
1,483 |
|
|
1,312 |
|
|
Verizon Florida LLC, 6.125%, 01/15/13 |
|
|
1,408 |
|
|
350 |
|
|
Verizon Global Funding Corp., 7.750%, 12/01/30 |
|
|
430 |
|
|
554 |
|
|
Verizon Maryland, Inc., 6.125%, 03/01/12 |
|
|
582 |
|
|
1,444 |
|
|
Verizon Pennsylvania, Inc., 8.350%, 12/15/30 |
|
|
1,677 |
|
|
962 |
|
|
Verizon Virginia, Inc., 4.625%, 03/15/13 |
|
|
1,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.1% |
|
|
500 |
|
|
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
|
|
553 |
|
|
895 |
|
|
New Cingular Wireless Services, Inc., 8.125%, 05/01/12 |
|
|
970 |
|
|
1,130 |
|
|
Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 |
|
|
1,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services |
|
|
33,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 1.7% |
|
|
|
|
|
Electric Utilities 1.2% |
|
|
110 |
|
|
Alabama Power Co., 6.125%, 05/15/38 |
|
|
121 |
|
|
|
|
|
Carolina Power & Light Co., |
|
|
|
|
|
888 |
|
|
5.125%, 09/15/13 |
|
|
969 |
|
|
305 |
|
|
5.300%, 01/15/19 |
|
|
337 |
|
|
1,421 |
|
|
CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 |
|
|
1,562 |
|
|
1,005 |
|
|
Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 |
|
|
1,206 |
|
|
310 |
|
|
Columbus Southern Power Co., 6.050%, 05/01/18 |
|
|
351 |
|
|
185 |
|
|
Connecticut Light & Power Co. (The), 5.650%, 05/01/18 |
|
|
206 |
|
|
596 |
|
|
Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 |
|
|
627 |
|
|
|
|
|
Duke Energy Carolinas LLC, |
|
|
|
|
|
650 |
|
|
5.100%, 04/15/18 |
|
|
710 |
|
|
745 |
|
|
5.625%, 11/30/12 |
|
|
803 |
|
|
728 |
|
|
6.250%, 01/15/12 |
|
|
764 |
|
|
1,310 |
|
|
Duke Energy Indiana, Inc., 6.350%, 08/15/38 |
|
|
1,467 |
|
|
950 |
|
|
Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) |
|
|
954 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
37 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Electric Utilities Continued |
|
|
|
|
|
Exelon Generation Co. LLC, |
|
|
|
|
|
1,020 |
|
|
4.000%, 10/01/20 |
|
|
949 |
|
|
229 |
|
|
5.750%, 10/01/41 |
|
|
215 |
|
|
|
|
|
Florida Power & Light Co., |
|
|
|
|
|
410 |
|
|
5.950%, 10/01/33 |
|
|
448 |
|
|
335 |
|
|
5.950%, 02/01/38 |
|
|
366 |
|
|
|
|
|
Florida Power Corp., |
|
|
|
|
|
280 |
|
|
5.650%, 06/15/18 |
|
|
317 |
|
|
220 |
|
|
6.400%, 06/15/38 |
|
|
250 |
|
|
|
|
|
FPL Group Capital, Inc., |
|
|
|
|
|
255 |
|
|
5.350%, 06/15/13 |
|
|
275 |
|
|
670 |
|
|
6.000%, 03/01/19 |
|
|
743 |
|
|
265 |
|
|
7.875%, 12/15/15 |
|
|
317 |
|
|
|
|
|
Georgia Power Co., |
|
|
|
|
|
112 |
|
|
4.750%, 09/01/40 |
|
|
102 |
|
|
200 |
|
|
5.950%, 02/01/39 |
|
|
214 |
|
|
225 |
|
|
6.000%, 11/01/13 |
|
|
252 |
|
|
100 |
|
|
Indiana Michigan Power Co., 7.000%, 03/15/19 |
|
|
118 |
|
|
100 |
|
|
Jersey Central Power & Light Co., 7.350%, 02/01/19 |
|
|
120 |
|
|
105 |
|
|
Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) |
|
|
108 |
|
|
105 |
|
|
MidAmerican Energy Co., 5.300%, 03/15/18 |
|
|
116 |
|
|
|
|
|
Nevada Power Co., |
|
|
|
|
|
55 |
|
|
5.375%, 09/15/40 |
|
|
53 |
|
|
510 |
|
|
6.500%, 08/01/18 |
|
|
587 |
|
|
300 |
|
|
Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) |
|
|
316 |
|
|
500 |
|
|
Northern States Power Co., 6.250%, 06/01/36 |
|
|
569 |
|
|
320 |
|
|
Ohio Power Co., 5.750%, 09/01/13 |
|
|
350 |
|
|
|
|
|
Oncor Electric Delivery Co. LLC, |
|
|
|
|
|
200 |
|
|
5.950%, 09/01/13 |
|
|
220 |
|
|
540 |
|
|
6.800%, 09/01/18 |
|
|
627 |
|
|
|
|
|
Pacific Gas & Electric Co., |
|
|
|
|
|
780 |
|
|
5.625%, 11/30/17 |
|
|
873 |
|
|
160 |
|
|
8.250%, 10/15/18 |
|
|
207 |
|
|
|
|
|
PacifiCorp, |
|
|
|
|
|
175 |
|
|
5.500%, 01/15/19 |
|
|
195 |
|
|
150 |
|
|
5.650%, 07/15/18 |
|
|
169 |
|
|
100 |
|
|
Peco Energy Co., 5.350%, 03/01/18 |
|
|
111 |
|
|
1,050 |
|
|
Potomac Electric Power Co., 6.500%, 11/15/37 |
|
|
1,212 |
|
|
300 |
|
|
Progress Energy, Inc., 6.050%, 03/15/14 |
|
|
334 |
|
|
772 |
|
|
PSEG Power LLC, 5.125%, 04/15/20 |
|
|
795 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities Continued |
|
|
|
|
|
Public Service Co. of Colorado, |
|
|
|
|
|
90 |
|
|
3.200%, 11/15/20 |
|
|
84 |
|
|
125 |
|
|
5.800%, 08/01/18 |
|
|
142 |
|
|
2,450 |
|
|
Public Service Co. of Oklahoma, 6.625%, 11/15/37 |
|
|
2,723 |
|
|
|
|
|
Public Service Electric & Gas Co., |
|
|
|
|
|
205 |
|
|
5.300%, 05/01/18 |
|
|
227 |
|
|
277 |
|
|
5.375%, 11/01/39 |
|
|
278 |
|
|
2,000 |
|
|
6.330%, 11/01/13 |
|
|
2,249 |
|
|
|
|
|
Southern California Edison Co., |
|
|
|
|
|
160 |
|
|
4.150%, 09/15/14 |
|
|
172 |
|
|
765 |
|
|
5.500%, 08/15/18 |
|
|
861 |
|
|
391 |
|
|
5.750%, 03/15/14 |
|
|
437 |
|
|
200 |
|
|
5.950%, 02/01/38 |
|
|
219 |
|
|
1,140 |
|
|
6.050%, 03/15/39 |
|
|
1,264 |
|
|
250 |
|
|
Southern Co., 4.150%, 05/15/14 |
|
|
265 |
|
|
200 |
|
|
Southwestern Public Service Co., 8.750%, 12/01/18 |
|
|
251 |
|
|
|
|
|
Spectra Energy Capital LLC, |
|
|
|
|
|
1,605 |
|
|
5.500%, 03/01/14 |
|
|
1,745 |
|
|
500 |
|
|
6.200%, 04/15/18 |
|
|
557 |
|
|
400 |
|
|
8.000%, 10/01/19 |
|
|
484 |
|
|
|
|
|
Virginia Electric and Power Co., |
|
|
|
|
|
1,005 |
|
|
5.100%, 11/30/12 |
|
|
1,074 |
|
|
1,320 |
|
|
5.400%, 04/30/18 |
|
|
1,463 |
|
|
615 |
|
|
5.950%, 09/15/17 |
|
|
706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities 0.2% |
|
|
345 |
|
|
AGL Capital Corp., 4.450%, 04/15/13 |
|
|
362 |
|
|
|
|
|
Atmos Energy Corp., |
|
|
|
|
|
105 |
|
|
5.125%, 01/15/13 |
|
|
110 |
|
|
250 |
|
|
8.500%, 03/15/19 |
|
|
314 |
|
|
325 |
|
|
CenterPoint Energy Resources Corp., 6.125%, 11/01/17 |
|
|
365 |
|
|
925 |
|
|
ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) |
|
|
863 |
|
|
|
|
|
TransCanada PipeLines Ltd., (Canada), |
|
|
|
|
|
550 |
|
|
6.200%, 10/15/37 |
|
|
588 |
|
|
1,100 |
|
|
7.250%, 08/15/38 |
|
|
1,309 |
|
|
975 |
|
|
4.000%, 06/15/13 |
|
|
1,033 |
|
|
250 |
|
|
6.500%, 08/15/18 |
|
|
292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 0.3% |
|
|
|
|
|
Dominion Resources, Inc., |
|
|
|
|
|
782 |
|
|
6.250%, 06/30/12 |
|
|
831 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
38 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Multi-Utilities Continued |
|
|
300 |
|
|
7.000%, 06/15/38 |
|
|
354 |
|
|
600 |
|
|
8.875%, 01/15/19 |
|
|
771 |
|
|
1,005 |
|
|
KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 |
|
|
1,127 |
|
|
375 |
|
|
PG&E Corp., 5.750%, 04/01/14 |
|
|
412 |
|
|
|
|
|
Sempra Energy, |
|
|
|
|
|
1,145 |
|
|
6.150%, 06/15/18 |
|
|
1,298 |
|
|
150 |
|
|
6.500%, 06/01/16 |
|
|
172 |
|
|
850 |
|
|
8.900%, 11/15/13 |
|
|
993 |
|
|
395 |
|
|
9.800%, 02/15/19 |
|
|
525 |
|
|
|
|
|
Wisconsin Electric Power Co., |
|
|
|
|
|
450 |
|
|
6.000%, 04/01/14 |
|
|
505 |
|
|
265 |
|
|
6.250%, 12/01/15 |
|
|
306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Utilities 0.0% (g) |
|
|
1,100 |
|
|
American Water Capital Corp., 6.085%, 10/15/17 |
|
|
1,239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities |
|
|
50,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds (Cost $492,271) |
|
|
518,401 |
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities 0.3% |
|
|
600 |
|
|
Province of Manitoba, (Canada), 2.125%, 04/22/13 |
|
|
612 |
|
|
|
|
|
Province of Ontario, (Canada), |
|
|
|
|
|
700 |
|
|
2.700%, 06/16/15 |
|
|
715 |
|
|
2,200 |
|
|
2.950%, 02/05/15 |
|
|
2,276 |
|
|
377 |
|
|
Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 |
|
|
486 |
|
|
|
|
|
United Mexican States, (Mexico), |
|
|
|
|
|
1,432 |
|
|
6.375%, 01/16/13 |
|
|
1,568 |
|
|
856 |
|
|
6.625%, 03/03/15 |
|
|
978 |
|
|
3,328 |
|
|
7.500%, 04/08/33 |
|
|
4,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities (Cost $10,022) |
|
|
10,712 |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Through Securities 6.9% |
|
|
|
|
|
Federal Home Loan Mortgage Corp., |
|
|
|
|
|
2,541 |
|
|
VAR, 6.005%, 11/01/36 |
|
|
2,712 |
|
|
71 |
|
|
ARM, 2.256%, 07/01/19 |
|
|
73 |
|
|
932 |
|
|
ARM, 2.480%, 12/01/33 |
|
|
976 |
|
|
62 |
|
|
ARM, 2.528%, 04/01/30 |
|
|
66 |
|
|
1,613 |
|
|
ARM, 2.629%, 04/01/34 |
|
|
1,678 |
|
|
596 |
|
|
ARM, 2.667%, 02/01/36 |
|
|
625 |
|
|
791 |
|
|
ARM, 2.818%, 12/01/34 |
|
|
831 |
|
|
766 |
|
|
ARM, 3.779%, 11/01/36 |
|
|
806 |
|
|
546 |
|
|
ARM, 5.523%, 05/01/36 |
|
|
581 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,026 |
|
|
ARM, 5.804%, 10/01/36 |
|
|
1,080 |
|
|
280 |
|
|
ARM, 5.865%, 02/01/37 |
|
|
297 |
|
|
562 |
|
|
ARM, 6.152%, 12/01/36 |
|
|
593 |
|
|
1,763 |
|
|
ARM, 6.230%, 03/01/37 |
|
|
1,853 |
|
|
347 |
|
|
ARM, 6.373%, 10/01/36 |
|
|
364 |
|
|
717 |
|
|
ARM, 6.674%, 10/01/36 |
|
|
751 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|
|
|
|
|
4,128 |
|
|
4.000%, 06/01/13 - 05/01/19 |
|
|
4,281 |
|
|
347 |
|
|
4.500%, 08/01/18 |
|
|
367 |
|
|
1,166 |
|
|
5.000%, 12/01/18 |
|
|
1,249 |
|
|
84 |
|
|
5.500%, 06/01/17 |
|
|
91 |
|
|
133 |
|
|
6.000%, 04/01/18 |
|
|
146 |
|
|
1,229 |
|
|
6.500%, 08/01/16 - 02/01/19 |
|
|
1,341 |
|
|
241 |
|
|
7.000%, 01/01/17 - 04/01/17 |
|
|
254 |
|
|
30 |
|
|
7.500%, 10/01/14 - 11/01/15 |
|
|
31 |
|
|
27 |
|
|
8.500%, 11/01/15 |
|
|
30 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|
|
|
|
|
283 |
|
|
6.000%, 12/01/22 |
|
|
312 |
|
|
755 |
|
|
6.500%, 11/01/22 |
|
|
837 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|
|
|
|
|
5,371 |
|
|
4.000%, 10/01/33 - 09/01/35 |
|
|
5,333 |
|
|
5,830 |
|
|
5.000%, 09/01/34 - 08/01/40 |
|
|
6,128 |
|
|
4,691 |
|
|
5.500%, 10/01/33 - 07/01/35 |
|
|
5,058 |
|
|
806 |
|
|
6.000%, 12/01/33 - 01/01/34 |
|
|
891 |
|
|
5,238 |
|
|
6.500%, 11/01/34 - 11/01/36 |
|
|
5,901 |
|
|
1,035 |
|
|
7.000%, 07/01/32 - 10/01/36 |
|
|
1,181 |
|
|
1,474 |
|
|
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 |
|
|
1,740 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, Other, |
|
|
|
|
|
908 |
|
|
5.500%, 10/01/33 - 01/01/34 |
|
|
963 |
|
|
174 |
|
|
7.000%, 07/01/29 |
|
|
192 |
|
|
|
|
|
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|
|
|
|
|
11 |
|
|
12.000%, 08/01/15 - 07/01/19 |
|
|
13 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
|
233 |
|
|
ARM, 1.813%, 09/01/34 |
|
|
235 |
|
|
1,522 |
|
|
ARM, 1.909%, 01/01/33 |
|
|
1,562 |
|
|
2,243 |
|
|
ARM, 2.034%, 01/01/35 |
|
|
2,333 |
|
|
685 |
|
|
ARM, 2.038%, 11/01/34 |
|
|
712 |
|
|
25 |
|
|
ARM, 2.079%, 03/01/19 |
|
|
26 |
|
|
2,323 |
|
|
ARM, 2.093%, 09/01/35 |
|
|
2,424 |
|
|
1,337 |
|
|
ARM, 2.244%, 05/01/35 |
|
|
1,384 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
39 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Through Securities Continued |
|
|
1,147 |
|
|
ARM, 2.245%, 01/01/35 |
|
|
1,193 |
|
|
683 |
|
|
ARM, 2.270%, 01/01/36 |
|
|
705 |
|
|
386 |
|
|
ARM, 2.322%, 02/01/35 |
|
|
403 |
|
|
405 |
|
|
ARM, 2.390%, 07/01/34 |
|
|
423 |
|
|
398 |
|
|
ARM, 2.402%, 11/01/33 |
|
|
416 |
|
|
95 |
|
|
ARM, 2.413%, 04/01/34 |
|
|
100 |
|
|
1,736 |
|
|
ARM, 2.416%, 06/01/35 |
|
|
1,823 |
|
|
324 |
|
|
ARM, 2.438%, 01/01/34 |
|
|
339 |
|
|
285 |
|
|
ARM, 2.477%, 05/01/35 |
|
|
299 |
|
|
1,251 |
|
|
ARM, 2.553%, 11/01/34 |
|
|
1,312 |
|
|
3,150 |
|
|
ARM, 2.556%, 04/01/35 |
|
|
3,308 |
|
|
892 |
|
|
ARM, 2.577%, 05/01/34 |
|
|
934 |
|
|
174 |
|
|
ARM, 2.609%, 07/01/33 |
|
|
182 |
|
|
1,313 |
|
|
ARM, 2.620%, 07/01/33 |
|
|
1,380 |
|
|
562 |
|
|
ARM, 2.628%, 06/01/36 |
|
|
590 |
|
|
327 |
|
|
ARM, 2.637%, 09/01/35 |
|
|
344 |
|
|
1,211 |
|
|
ARM, 2.657%, 10/01/34 |
|
|
1,275 |
|
|
828 |
|
|
ARM, 2.670%, 10/01/34 |
|
|
872 |
|
|
615 |
|
|
ARM, 2.746%, 08/01/34 |
|
|
647 |
|
|
466 |
|
|
ARM, 2.780%, 09/01/34 |
|
|
490 |
|
|
11 |
|
|
ARM, 2.951%, 01/01/19 |
|
|
12 |
|
|
935 |
|
|
ARM, 3.060%, 09/01/33 |
|
|
981 |
|
|
840 |
|
|
ARM, 3.158%, 04/01/35 |
|
|
879 |
|
|
151 |
|
|
ARM, 3.194%, 01/01/36 |
|
|
157 |
|
|
136 |
|
|
ARM, 3.328%, 09/01/27 |
|
|
138 |
|
|
217 |
|
|
ARM, 3.331%, 02/01/34 |
|
|
225 |
|
|
1,154 |
|
|
ARM, 3.694%, 08/01/34 |
|
|
1,209 |
|
|
132 |
|
|
ARM, 3.983%, 03/01/29 |
|
|
136 |
|
|
540 |
|
|
ARM, 4.186%, 04/01/34 |
|
|
555 |
|
|
1,587 |
|
|
ARM, 4.936%, 07/01/33 |
|
|
1,680 |
|
|
624 |
|
|
ARM, 5.149%, 10/01/34 |
|
|
655 |
|
|
1,086 |
|
|
ARM, 5.282%, 01/01/38 |
|
|
1,154 |
|
|
1,877 |
|
|
ARM, 5.696%, 01/01/23 |
|
|
2,016 |
|
|
945 |
|
|
ARM, 5.855%, 10/01/36 |
|
|
994 |
|
|
1,087 |
|
|
ARM, 5.989%, 07/01/36 |
|
|
1,155 |
|
|
|
|
|
Federal National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
|
1,868 |
|
|
3.500%, 09/01/18 - 07/01/19 |
|
|
1,927 |
|
|
21,019 |
|
|
4.000%, 07/01/18 - 12/01/18 |
|
|
22,001 |
|
|
11,492 |
|
|
4.500%, 06/01/18 - 12/01/19 |
|
|
12,158 |
|
|
1,399 |
|
|
5.000%, 12/01/16 - 10/01/19 |
|
|
1,500 |
|
|
2,764 |
|
|
5.500%, 03/01/20 - 07/01/20 |
|
|
2,991 |
|
|
4,270 |
|
|
6.000%, 06/01/16 - 01/01/24 |
|
|
4,680 |
|
|
494 |
|
|
6.500%, 03/01/17 - 08/01/20 |
|
|
542 |
|
|
591 |
|
|
7.000%, 03/01/17 - 09/01/17 |
|
|
651 |
|
|
42 |
|
|
7.500%, 03/01/17 |
|
|
46 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34 |
|
|
8.000%, 11/01/12 - 11/01/15 |
|
|
37 |
|
|
|
|
|
Federal National Mortgage Association, 20 Year, Single Family, |
|
|
|
|
|
519 |
|
|
4.500%, 04/01/24 |
|
|
547 |
|
|
48 |
|
|
6.000%, 02/01/14 |
|
|
52 |
|
|
2,721 |
|
|
6.500%, 05/01/22 - 04/01/25 |
|
|
3,009 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year FHA/VA, |
|
|
|
|
|
136 |
|
|
6.000%, 09/01/33 |
|
|
150 |
|
|
252 |
|
|
6.500%, 03/01/29 |
|
|
286 |
|
|
25 |
|
|
9.000%, 12/01/25 |
|
|
30 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, FHA/VA, |
|
|
|
|
|
55 |
|
|
7.000%, 02/01/33 |
|
|
63 |
|
|
81 |
|
|
8.000%, 06/01/28 |
|
|
94 |
|
|
42 |
|
|
9.000%, 05/01/18 |
|
|
48 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
|
1,610 |
|
|
4.500%, 11/01/33 - 02/01/35 |
|
|
1,658 |
|
|
3,913 |
|
|
5.000%, 07/01/33 - 09/01/35 |
|
|
4,138 |
|
|
2,304 |
|
|
5.500%, 12/01/33 - 03/01/34 |
|
|
2,512 |
|
|
2,322 |
|
|
6.000%, 12/01/28 - 09/01/33 |
|
|
2,561 |
|
|
2,779 |
|
|
6.500%, 11/01/29 - 08/01/31 |
|
|
3,134 |
|
|
2,662 |
|
|
7.000%, 04/01/17 - 01/01/39 |
|
|
3,048 |
|
|
1,354 |
|
|
7.500%, 08/01/36 - 11/01/37 |
|
|
1,552 |
|
|
1,000 |
|
|
8.000%, 03/01/27 - 11/01/28 |
|
|
1,164 |
|
|
2 |
|
|
9.000%, 04/01/26 |
|
|
2 |
|
|
30 |
|
|
9.500%, 07/01/28 |
|
|
35 |
|
|
15 |
|
|
12.500%, 01/01/16 |
|
|
16 |
|
|
|
|
|
Federal National Mortgage Association, Other, |
|
|
|
|
|
2,000 |
|
|
3.350%, 11/01/20 |
|
|
1,901 |
|
|
2,988 |
|
|
3.600%, 09/01/20 |
|
|
2,896 |
|
|
7,851 |
|
|
3.621%, 09/01/20 |
|
|
7,566 |
|
|
1,991 |
|
|
3.658%, 10/01/20 |
|
|
1,920 |
|
|
3,000 |
|
|
3.680%, 09/01/20 |
|
|
2,927 |
|
|
4,750 |
|
|
3.980%, 11/01/16 |
|
|
4,903 |
|
|
2,676 |
|
|
4.000%, 09/01/13 - 11/01/33 |
|
|
2,669 |
|
|
2,000 |
|
|
4.061%, 01/01/21 |
|
|
1,975 |
|
|
3,000 |
|
|
4.130%, 11/01/19 |
|
|
3,021 |
|
|
1,735 |
|
|
4.257%, 04/01/20 |
|
|
1,751 |
|
|
1,490 |
|
|
4.443%, 08/01/20 |
|
|
1,532 |
|
|
821 |
|
|
4.500%, 11/01/14 |
|
|
871 |
|
|
1,982 |
|
|
4.515%, 02/01/20 |
|
|
2,039 |
|
|
4,000 |
|
|
4.640%, 01/01/21 |
|
|
4,135 |
|
|
1,983 |
|
|
4.681%, 12/01/19 |
|
|
2,058 |
|
|
892 |
|
|
5.500%, 03/01/17 - 09/01/33 |
|
|
964 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
40 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Through Securities Continued |
|
|
1,190 |
|
|
6.500%, 01/01/36 - 07/01/36 |
|
|
1,329 |
|
|
180 |
|
|
7.000%, 10/01/46 |
|
|
202 |
|
|
152 |
|
|
10.890%, 04/15/19 |
|
|
171 |
|
|
|
|
|
Government National Mortgage Association II, 30 Year, Single Family, |
|
|
|
|
|
695 |
|
|
4.500%, 08/20/33 |
|
|
728 |
|
|
98 |
|
|
7.500%, 02/20/28 - 09/20/28 |
|
|
114 |
|
|
147 |
|
|
8.000%, 12/20/25 - 09/20/28 |
|
|
172 |
|
|
49 |
|
|
8.500%, 05/20/25 |
|
|
58 |
|
|
|
|
|
Government National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
|
161 |
|
|
6.500%, 06/15/17 - 12/15/17 |
|
|
177 |
|
|
217 |
|
|
8.000%, 01/15/16 |
|
|
236 |
|
|
|
|
|
Government National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
|
510 |
|
|
6.500%, 03/15/28 - 04/15/33 |
|
|
579 |
|
|
349 |
|
|
7.000%, 02/15/33 - 06/15/33 |
|
|
404 |
|
|
96 |
|
|
7.500%, 11/15/22 - 11/15/31 |
|
|
112 |
|
|
29 |
|
|
8.000%, 09/15/22 - 08/15/28 |
|
|
33 |
|
|
6 |
|
|
9.000%, 12/15/16 |
|
|
6 |
|
|
1,575 |
|
|
9.500%, 10/15/24 |
|
|
1,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Through Securities (Cost $197,173) |
|
|
207,218 |
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds 0.1% |
|
|
|
|
|
Illinois 0.0% (g) |
|
|
140 |
|
|
State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 |
|
|
112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New York 0.1% |
|
|
350 |
|
|
New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 |
|
|
331 |
|
|
1,815 |
|
|
Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40 |
|
|
1,743 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio 0.0% (g) |
|
|
|
|
|
1,000 |
|
|
American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 |
|
|
1,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds (Cost $3,284) |
|
|
3,228 |
|
|
|
|
|
|
|
|
|
|
|
Supranational 0.0% (g) |
|
|
397 |
|
|
Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $400) |
|
|
429 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities 0.6% |
|
|
1,000 |
|
|
Federal Farm Credit Bank, 5.125%, 11/15/18 |
|
|
1,116 |
|
|
6,157 |
|
|
Federal Home Loan Banks, 4.720%, 09/20/12 |
|
|
6,441 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
|
6,000 |
|
|
Zero Coupon, 06/01/17 |
|
|
4,878 |
|
|
1,000 |
|
|
5.000%, 05/11/17 |
|
|
1,122 |
|
|
|
|
|
Financing Corp. Fico, |
|
|
|
|
|
2,000 |
|
|
Zero Coupon, 04/05/19 |
|
|
1,500 |
|
|
1,000 |
|
|
Zero Coupon, 09/26/19 |
|
|
729 |
|
|
300 |
|
|
Tennessee Valley Authority, 4.625%, 09/15/60 |
|
|
278 |
|
|
2,000 |
|
|
Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19 |
|
|
1,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Securities (Cost $17,302) |
|
|
17,514 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 24.8% |
|
|
|
|
|
U.S. Treasury Bonds, |
|
|
|
|
|
500 |
|
|
5.375%, 02/15/31 |
|
|
575 |
|
|
400 |
|
|
5.500%, 08/15/28 |
|
|
466 |
|
|
750 |
|
|
6.125%, 11/15/27 |
|
|
932 |
|
|
1,046 |
|
|
6.250%, 08/15/23 |
|
|
1,305 |
|
|
400 |
|
|
6.625%, 02/15/27 |
|
|
521 |
|
|
500 |
|
|
7.125%, 02/15/23 |
|
|
667 |
|
|
14,400 |
|
|
7.500%, 11/15/16 |
|
|
18,351 |
|
|
1,881 |
|
|
7.875%, 02/15/21 |
|
|
2,604 |
|
|
8,325 |
|
|
8.125%, 08/15/19 |
|
|
11,486 |
|
|
864 |
|
|
8.125%, 05/15/21 |
|
|
1,217 |
|
|
2,125 |
|
|
8.500%, 02/15/20 |
|
|
3,015 |
|
|
4,145 |
|
|
8.750%, 05/15/17 |
|
|
5,636 |
|
|
1,000 |
|
|
8.750%, 05/15/20 |
|
|
1,443 |
|
|
3,675 |
|
|
8.750%, 08/15/20 |
|
|
5,324 |
|
|
29,585 |
|
|
8.875%, 08/15/17 |
|
|
40,707 |
|
|
7,060 |
|
|
8.875%, 02/15/19 |
|
|
10,053 |
|
|
1,000 |
|
|
9.000%, 11/15/18 |
|
|
1,427 |
|
|
3,169 |
|
|
9.875%, 11/15/15 |
|
|
4,304 |
|
|
6,799 |
|
|
U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 (m) |
|
|
11,789 |
|
|
|
|
|
U.S. Treasury Inflation Indexed Notes, |
|
|
|
|
|
630 |
|
|
1.375%, 07/15/18 |
|
|
681 |
|
|
1,000 |
|
|
2.000%, 01/15/14 |
|
|
1,289 |
|
|
19,050 |
|
|
2.375%, 04/15/11 |
|
|
21,169 |
|
|
|
|
|
U.S. Treasury Notes, |
|
|
|
|
|
280 |
|
|
1.375%, 10/15/12 |
|
|
284 |
|
|
220 |
|
|
1.375%, 11/15/12 |
|
|
223 |
|
|
1,200 |
|
|
1.750%, 03/31/14 |
|
|
1,220 |
|
|
1,500 |
|
|
1.875%, 02/28/14 |
|
|
1,532 |
|
|
12,245 |
|
|
2.125%, 12/31/15 |
|
|
12,278 |
|
|
1,500 |
|
|
2.375%, 10/31/14 |
|
|
1,547 |
|
|
1,500 |
|
|
2.375%, 02/28/15 |
|
|
1,541 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
41 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations Continued |
|
|
15,500 |
|
|
2.625%, 07/31/14 |
|
|
16,150 |
|
|
26,700 |
|
|
2.625%, 12/31/14 |
|
|
27,737 |
|
|
4,575 |
|
|
2.625%, 04/30/16 |
|
|
4,669 |
|
|
9,300 |
|
|
2.625%, 01/31/18 |
|
|
9,196 |
|
|
14,570 |
|
|
2.750%, 05/31/17 |
|
|
14,702 |
|
|
7,500 |
|
|
2.750%, 12/31/17 |
|
|
7,489 |
|
|
8,000 |
|
|
3.125%, 10/31/16 |
|
|
8,310 |
|
|
6,015 |
|
|
3.125%, 04/30/17 |
|
|
6,209 |
|
|
25,933 |
|
|
3.125%, 05/15/19 |
|
|
26,016 |
|
|
12,850 |
|
|
3.250%, 12/31/16 |
|
|
13,403 |
|
|
9,800 |
|
|
3.250%, 03/31/17 |
|
|
10,198 |
|
|
1,000 |
|
|
3.500%, 02/15/18 |
|
|
1,045 |
|
|
9,600 |
|
|
4.250%, 11/15/17 |
|
|
10,509 |
|
|
2,290 |
|
|
4.500%, 05/15/17 |
|
|
2,546 |
|
|
17,005 |
|
|
4.750%, 08/15/17 |
|
|
19,157 |
|
|
|
|
|
U.S. Treasury STRIPS, |
|
|
|
|
|
11,155 |
|
|
02/15/13 |
|
|
10,993 |
|
|
1,000 |
|
|
11/15/13 |
|
|
972 |
|
|
35,278 |
|
|
02/15/14 (m) |
|
|
34,045 |
|
|
15,390 |
|
|
05/15/14 (m) |
|
|
14,741 |
|
|
24,565 |
|
|
08/15/14 (m) |
|
|
23,362 |
|
|
23,253 |
|
|
11/15/14 (m) |
|
|
21,922 |
|
|
8,500 |
|
|
02/15/15 |
|
|
7,959 |
|
|
16,930 |
|
|
02/15/15 (m) |
|
|
15,828 |
|
|
3,626 |
|
|
05/15/15 |
|
|
3,358 |
|
|
10,350 |
|
|
08/15/15 |
|
|
9,507 |
|
|
3,253 |
|
|
08/15/15 |
|
|
2,983 |
|
|
5,445 |
|
|
11/15/15 |
|
|
4,951 |
|
|
28,397 |
|
|
11/15/15 |
|
|
25,780 |
|
|
51,751 |
|
|
02/15/16 |
|
|
46,442 |
|
|
1,000 |
|
|
05/15/16 |
|
|
889 |
|
|
13,325 |
|
|
05/15/16 |
|
|
11,820 |
|
|
5,181 |
|
|
08/15/16 |
|
|
4,536 |
|
|
2,000 |
|
|
11/15/16 |
|
|
1,736 |
|
|
15,857 |
|
|
11/15/16 |
|
|
13,730 |
|
|
18,284 |
|
|
02/15/17 |
|
|
15,629 |
|
|
10,789 |
|
|
05/15/17 |
|
|
9,146 |
|
|
16,122 |
|
|
08/15/17 |
|
|
13,477 |
|
|
19,389 |
|
|
11/15/17 |
|
|
16,007 |
|
|
500 |
|
|
02/15/18 |
|
|
408 |
|
|
3,400 |
|
|
05/15/18 |
|
|
2,741 |
|
|
16,241 |
|
|
08/15/18 |
|
|
12,940 |
|
|
6,745 |
|
|
02/15/19 |
|
|
5,258 |
|
|
6,982 |
|
|
02/15/19 |
|
|
5,423 |
|
|
9,595 |
|
|
05/15/19 |
|
|
7,353 |
|
|
22,210 |
|
|
08/15/19 |
|
|
16,789 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,250 |
|
|
02/15/20 |
|
|
918 |
|
|
250 |
|
|
05/15/20 |
|
|
182 |
|
|
12,345 |
|
|
05/15/20 |
|
|
8,930 |
|
|
8,950 |
|
|
08/15/20 |
|
|
6,382 |
|
|
1,750 |
|
|
08/15/21 |
|
|
1,178 |
|
|
4,925 |
|
|
11/15/21 |
|
|
3,263 |
|
|
1,278 |
|
|
02/15/22 |
|
|
835 |
|
|
5,487 |
|
|
02/15/23 |
|
|
3,376 |
|
|
200 |
|
|
05/15/24 |
|
|
115 |
|
|
1,400 |
|
|
11/15/24 |
|
|
777 |
|
|
500 |
|
|
08/15/25 |
|
|
265 |
|
|
1,000 |
|
|
02/15/26 |
|
|
515 |
|
|
1,500 |
|
|
05/15/26 |
|
|
761 |
|
|
3,400 |
|
|
11/15/26 |
|
|
1,672 |
|
|
5,450 |
|
|
02/15/27 |
|
|
2,644 |
|
|
4,850 |
|
|
05/15/27 |
|
|
2,319 |
|
|
5,000 |
|
|
08/15/27 |
|
|
2,358 |
|
|
800 |
|
|
11/15/27 |
|
|
372 |
|
|
5,850 |
|
|
02/15/28 |
|
|
2,680 |
|
|
1,600 |
|
|
05/15/28 |
|
|
722 |
|
|
3,000 |
|
|
08/15/28 |
|
|
1,337 |
|
|
500 |
|
|
11/15/28 |
|
|
220 |
|
|
550 |
|
|
02/15/29 |
|
|
239 |
|
|
300 |
|
|
08/15/29 |
|
|
127 |
|
|
200 |
|
|
11/15/29 |
|
|
83 |
|
|
8,175 |
|
|
02/15/30 |
|
|
3,363 |
|
|
1,000 |
|
|
05/15/30 |
|
|
406 |
|
|
1,000 |
|
|
08/15/30 |
|
|
400 |
|
|
600 |
|
|
02/15/31 |
|
|
234 |
|
|
250 |
|
|
05/15/31 |
|
|
96 |
|
|
1,500 |
|
|
08/15/31 |
|
|
570 |
|
|
1,000 |
|
|
11/15/31 |
|
|
375 |
|
|
350 |
|
|
02/15/32 |
|
|
130 |
|
|
350 |
|
|
08/15/32 |
|
|
126 |
|
|
1,000 |
|
|
11/15/32 |
|
|
355 |
|
|
350 |
|
|
08/15/33 |
|
|
120 |
|
|
1,600 |
|
|
02/15/35 |
|
|
506 |
|
|
100 |
|
|
08/15/35 |
|
|
31 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations (Cost $716,575) |
|
|
750,629 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
42 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investment 3.2% |
|
|
|
|
|
Investment Company 3.2% |
|
|
|
|
|
95,644 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) (Cost $95,644) |
|
|
95,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 99.6% (Cost $2,851,538) |
|
|
3,009,522 |
|
|
|
|
|
Other Assets in Excess of Liabilities 0.4% |
|
|
13,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS 100.0% |
|
$ |
3,022,640 |
|
|
|
|
|
|
|
|
|
|
Percentages
indicated are based on net assets.
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
43 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks 99.0% |
|
|
|
|
|
|
|
|
Consumer Discretionary 10.4% |
|
|
|
|
|
|
|
|
Auto Components 0.3% |
|
|
|
|
|
7 |
|
|
Goodyear Tire & Rubber Co. (The) (a) |
|
|
96 |
|
|
19 |
|
|
Johnson Controls, Inc. |
|
|
768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles 0.5% |
|
|
|
|
|
105 |
|
|
Ford Motor Co. (a) |
|
|
1,574 |
|
|
7 |
|
|
Harley-Davidson, Inc. |
|
|
268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributors 0.1% |
|
|
|
|
|
4 |
|
|
Genuine Parts Co. |
|
|
232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services 0.1% |
|
|
|
|
|
4 |
|
|
Apollo Group, Inc., Class A (a) |
|
|
161 |
|
|
2 |
|
|
DeVry, Inc. |
|
|
94 |
|
|
9 |
|
|
H&R Block, Inc. |
|
|
131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
386 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 1.6% |
|
|
|
|
|
12 |
|
|
Carnival Corp. |
|
|
513 |
|
|
4 |
|
|
Darden Restaurants, Inc. |
|
|
182 |
|
|
8 |
|
|
International Game Technology |
|
|
137 |
|
|
8 |
|
|
Marriott International, Inc., Class A |
|
|
315 |
|
|
29 |
|
|
McDonald's Corp. |
|
|
2,232 |
|
|
21 |
|
|
Starbucks Corp. |
|
|
682 |
|
|
5 |
|
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
|
325 |
|
|
5 |
|
|
Wyndham Worldwide Corp. |
|
|
153 |
|
|
2 |
|
|
Wynn Resorts Ltd. |
|
|
259 |
|
|
13 |
|
|
Yum! Brands, Inc. |
|
|
658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables 0.4% |
|
|
|
|
|
8 |
|
|
D.R. Horton, Inc. |
|
|
93 |
|
|
4 |
|
|
Fortune Brands, Inc. |
|
|
263 |
|
|
2 |
|
|
Harman International Industries, Inc. |
|
|
94 |
|
|
4 |
|
|
Leggett & Platt, Inc. |
|
|
94 |
|
|
4 |
|
|
Lennar Corp., Class A |
|
|
90 |
|
|
8 |
|
|
Newell Rubbermaid, Inc. |
|
|
157 |
|
|
9 |
|
|
Pulte Group, Inc. (a) |
|
|
65 |
|
|
5 |
|
|
Stanley Black & Decker, Inc. |
|
|
351 |
|
|
2 |
|
|
Whirlpool Corp. |
|
|
175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail 0.8% |
|
|
|
|
|
10 |
|
|
Amazon.com, Inc. (a) |
|
|
1,715 |
|
|
6 |
|
|
Expedia, Inc. |
|
|
112 |
|
|
1 |
|
|
NetFlix, Inc. (a) |
|
|
250 |
|
|
1 |
|
|
priceline.com, Inc. (a) |
|
|
622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products 0.1% |
|
|
|
|
|
4 |
|
|
Hasbro, Inc. |
|
|
171 |
|
|
10 |
|
|
Mattel, Inc. |
|
|
251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 3.4% |
|
|
|
|
|
7 |
|
|
Cablevision Systems Corp., Class A |
|
|
247 |
|
|
19 |
|
|
CBS Corp. (Non Voting), Class B |
|
|
453 |
|
|
78 |
|
|
Comcast Corp., Class A |
|
|
2,006 |
|
|
23 |
|
|
DIRECTV, Class A (a) |
|
|
1,070 |
|
|
8 |
|
|
Discovery Communications, Inc., Class A (a) |
|
|
342 |
|
|
6 |
|
|
Gannett Co., Inc. |
|
|
105 |
|
|
14 |
|
|
Interpublic Group of Cos., Inc. (The) (a) |
|
|
180 |
|
|
9 |
|
|
McGraw-Hill Cos., Inc. (The) |
|
|
331 |
|
|
64 |
|
|
News Corp., Class A |
|
|
1,107 |
|
|
8 |
|
|
Omnicom Group, Inc. |
|
|
428 |
|
|
3 |
|
|
Scripps Networks Interactive, Inc., Class A |
|
|
131 |
|
|
10 |
|
|
Time Warner Cable, Inc. |
|
|
717 |
|
|
31 |
|
|
Time Warner, Inc. |
|
|
1,183 |
|
|
17 |
|
|
Viacom, Inc., Class B |
|
|
753 |
|
|
53 |
|
|
Walt Disney Co. (The) |
|
|
2,312 |
|
|
|
(h) |
|
Washington Post Co. (The), Class B |
|
|
66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail 0.8% |
|
|
|
|
|
2 |
|
|
Big Lots, Inc. (a) |
|
|
86 |
|
|
4 |
|
|
Family Dollar Stores, Inc. |
|
|
176 |
|
|
7 |
|
|
J.C. Penney Co., Inc. |
|
|
231 |
|
|
8 |
|
|
Kohl's Corp. (a) |
|
|
444 |
|
|
12 |
|
|
Macy's, Inc. |
|
|
282 |
|
|
5 |
|
|
Nordstrom, Inc. |
|
|
213 |
|
|
1 |
|
|
Sears Holdings Corp. (a) |
|
|
102 |
|
|
20 |
|
|
Target Corp. |
|
|
1,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 1.9% |
|
|
|
|
|
2 |
|
|
Abercrombie & Fitch Co., Class A |
|
|
141 |
|
|
2 |
|
|
AutoNation, Inc. (a) |
|
|
60 |
|
|
1 |
|
|
AutoZone, Inc. (a) |
|
|
196 |
|
|
7 |
|
|
Bed Bath & Beyond, Inc. (a) |
|
|
348 |
|
|
9 |
|
|
Best Buy Co., Inc. |
|
|
297 |
|
|
6 |
|
|
CarMax, Inc. (a) |
|
|
222 |
|
|
4 |
|
|
GameStop Corp., Class A (a) |
|
|
84 |
|
|
12 |
|
|
Gap, Inc. (The) |
|
|
276 |
|
|
46 |
|
|
Home Depot, Inc. |
|
|
1,714 |
|
|
7 |
|
|
Limited Brands, Inc. |
|
|
236 |
|
|
39 |
|
|
Lowe's Cos., Inc. |
|
|
1,008 |
|
|
4 |
|
|
O'Reilly Automotive, Inc. (a) |
|
|
217 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
44 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Specialty Retail Continued |
|
|
|
|
|
3 |
|
|
RadioShack Corp. |
|
|
47 |
|
|
3 |
|
|
Ross Stores, Inc. |
|
|
242 |
|
|
20 |
|
|
Staples, Inc. |
|
|
430 |
|
|
4 |
|
|
Tiffany & Co. |
|
|
217 |
|
|
11 |
|
|
TJX Cos., Inc. |
|
|
551 |
|
|
4 |
|
|
Urban Outfitters, Inc. (a) |
|
|
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods 0.6% |
|
|
|
|
|
8 |
|
|
Coach, Inc. |
|
|
454 |
|
|
11 |
|
|
NIKE, Inc., Class B |
|
|
950 |
|
|
2 |
|
|
Polo Ralph Lauren Corp. |
|
|
229 |
|
|
2 |
|
|
V.F. Corp. |
|
|
232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary |
|
|
35,576 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples 10.0% |
|
|
|
|
|
|
|
|
Beverages 2.3% |
|
|
|
|
|
3 |
|
|
Brown-Forman Corp., Class B |
|
|
200 |
|
|
65 |
|
|
Coca-Cola Co. (The) |
|
|
4,143 |
|
|
9 |
|
|
Coca-Cola Enterprises, Inc. |
|
|
249 |
|
|
5 |
|
|
Constellation Brands, Inc., Class A (a) |
|
|
101 |
|
|
6 |
|
|
Dr. Pepper Snapple Group, Inc. |
|
|
228 |
|
|
4 |
|
|
Molson Coors Brewing Co., Class B |
|
|
202 |
|
|
44 |
|
|
PepsiCo, Inc. |
|
|
2,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 2.2% |
|
|
|
|
|
12 |
|
|
Costco Wholesale Corp. |
|
|
902 |
|
|
38 |
|
|
CVS Caremark Corp. |
|
|
1,254 |
|
|
18 |
|
|
Kroger Co. (The) |
|
|
408 |
|
|
10 |
|
|
Safeway, Inc. |
|
|
227 |
|
|
6 |
|
|
SUPERVALU, Inc. |
|
|
51 |
|
|
16 |
|
|
Sysco Corp. |
|
|
454 |
|
|
26 |
|
|
Walgreen Co. |
|
|
1,120 |
|
|
55 |
|
|
Wal-Mart Stores, Inc. |
|
|
2,842 |
|
|
4 |
|
|
Whole Foods Market, Inc. |
|
|
240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 1.7% |
|
|
|
|
|
18 |
|
|
Archer-Daniels-Midland Co. |
|
|
663 |
|
|
5 |
|
|
Campbell Soup Co. |
|
|
180 |
|
|
12 |
|
|
ConAgra Foods, Inc. |
|
|
284 |
|
|
5 |
|
|
Dean Foods Co. (a) |
|
|
54 |
|
|
18 |
|
|
General Mills, Inc. |
|
|
664 |
|
|
9 |
|
|
H.J. Heinz Co. |
|
|
449 |
|
|
4 |
|
|
Hershey Co. (The) |
|
|
226 |
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products Continued |
|
|
|
|
|
4 |
|
|
Hormel Foods Corp. |
|
|
106 |
|
|
3 |
|
|
JM Smucker Co. (The) |
|
|
230 |
|
|
7 |
|
|
Kellogg Co. |
|
|
380 |
|
|
49 |
|
|
Kraft Foods, Inc., Class A |
|
|
1,552 |
|
|
4 |
|
|
McCormick & Co., Inc. (Non-Voting) |
|
|
177 |
|
|
6 |
|
|
Mead Johnson Nutrition Co. |
|
|
342 |
|
|
18 |
|
|
Sara Lee Corp. |
|
|
305 |
|
|
8 |
|
|
Tyson Foods, Inc., Class A |
|
|
155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 2.1% |
|
|
|
|
|
4 |
|
|
Clorox Co. |
|
|
264 |
|
|
13 |
|
|
Colgate-Palmolive Co. |
|
|
1,058 |
|
|
11 |
|
|
Kimberly-Clark Corp. |
|
|
750 |
|
|
78 |
|
|
Procter & Gamble Co. (The) |
|
|
4,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products 0.2% |
|
|
|
|
|
12 |
|
|
Avon Products, Inc. |
|
|
333 |
|
|
3 |
|
|
Estee Lauder Cos., Inc. (The), Class A |
|
|
299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
632 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 1.6% |
|
|
|
|
|
58 |
|
|
Altria Group, Inc. |
|
|
1,478 |
|
|
4 |
|
|
Lorillard, Inc. |
|
|
321 |
|
|
51 |
|
|
Philip Morris International, Inc. |
|
|
3,179 |
|
|
9 |
|
|
Reynolds American, Inc. |
|
|
324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples |
|
|
34,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy 13.0% |
|
|
|
|
|
|
|
|
Energy Equipment & Services 2.4% |
|
|
|
|
|
12 |
|
|
Baker Hughes, Inc. |
|
|
855 |
|
|
7 |
|
|
Cameron International Corp. (a) |
|
|
400 |
|
|
2 |
|
|
Diamond Offshore Drilling, Inc. |
|
|
152 |
|
|
3 |
|
|
FMC Technologies, Inc. (a) |
|
|
314 |
|
|
25 |
|
|
Halliburton Co. |
|
|
1,192 |
|
|
3 |
|
|
Helmerich & Payne, Inc. |
|
|
192 |
|
|
8 |
|
|
Nabors Industries Ltd., (Bermuda) (a) |
|
|
227 |
|
|
12 |
|
|
National Oilwell Varco, Inc. |
|
|
932 |
|
|
7 |
|
|
Noble Corp., (Switzerland) |
|
|
319 |
|
|
4 |
|
|
Rowan Cos., Inc. (a) |
|
|
150 |
|
|
38 |
|
|
Schlumberger Ltd. |
|
|
3,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 10.6% |
|
|
|
|
|
14 |
|
|
Anadarko Petroleum Corp. |
|
|
1,132 |
|
|
11 |
|
|
Apache Corp. |
|
|
1,329 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
45 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels Continued |
|
|
|
|
|
3 |
|
|
Cabot Oil & Gas Corp. |
|
|
132 |
|
|
18 |
|
|
Chesapeake Energy Corp. |
|
|
650 |
|
|
56 |
|
|
Chevron Corp. |
|
|
5,827 |
|
|
41 |
|
|
ConocoPhillips |
|
|
3,193 |
|
|
6 |
|
|
Consol Energy, Inc. |
|
|
320 |
|
|
11 |
|
|
Denbury Resources, Inc. (a) |
|
|
270 |
|
|
12 |
|
|
Devon Energy Corp. |
|
|
1,102 |
|
|
20 |
|
|
El Paso Corp. |
|
|
366 |
|
|
7 |
|
|
EOG Resources, Inc. |
|
|
796 |
|
|
4 |
|
|
EQT Corp. |
|
|
205 |
|
|
141 |
|
|
Exxon Mobil Corp. |
|
|
12,037 |
|
|
8 |
|
|
Hess Corp. |
|
|
729 |
|
|
20 |
|
|
Marathon Oil Corp. |
|
|
983 |
|
|
3 |
|
|
Massey Energy Co. |
|
|
180 |
|
|
5 |
|
|
Murphy Oil Corp. |
|
|
395 |
|
|
4 |
|
|
Newfield Exploration Co. (a) |
|
|
272 |
|
|
5 |
|
|
Noble Energy, Inc. |
|
|
453 |
|
|
23 |
|
|
Occidental Petroleum Corp. |
|
|
2,313 |
|
|
8 |
|
|
Peabody Energy Corp. |
|
|
493 |
|
|
3 |
|
|
Pioneer Natural Resources Co. |
|
|
332 |
|
|
5 |
|
|
QEP Resources, Inc. |
|
|
194 |
|
|
4 |
|
|
Range Resources Corp. |
|
|
243 |
|
|
10 |
|
|
Southwestern Energy Co. (a) |
|
|
382 |
|
|
18 |
|
|
Spectra Energy Corp. |
|
|
484 |
|
|
3 |
|
|
Sunoco, Inc. |
|
|
141 |
|
|
4 |
|
|
Tesoro Corp. (a) |
|
|
95 |
|
|
16 |
|
|
Valero Energy Corp. |
|
|
445 |
|
|
16 |
|
|
Williams Cos., Inc. (The) |
|
|
496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,989 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy |
|
|
44,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials 15.9% |
|
|
|
|
|
|
|
|
Capital Markets 2.4% |
|
|
|
|
|
7 |
|
|
Ameriprise Financial, Inc. |
|
|
438 |
|
|
35 |
|
|
Bank of New York Mellon Corp. (The) |
|
|
1,052 |
|
|
28 |
|
|
Charles Schwab Corp. (The) |
|
|
525 |
|
|
6 |
|
|
E*Trade Financial Corp. (a) |
|
|
89 |
|
|
3 |
|
|
Federated Investors, Inc., Class B |
|
|
70 |
|
|
4 |
|
|
Franklin Resources, Inc. |
|
|
511 |
|
|
14 |
|
|
Goldman Sachs Group, Inc. (The) |
|
|
2,337 |
|
|
13 |
|
|
Invesco Ltd. |
|
|
346 |
|
|
5 |
|
|
Janus Capital Group, Inc. |
|
|
69 |
|
|
4 |
|
|
Legg Mason, Inc. |
|
|
155 |
|
|
42 |
|
|
Morgan Stanley |
|
|
1,253 |
|
|
7 |
|
|
Northern Trust Corp. |
|
|
349 |
|
|
14 |
|
|
State Street Corp. |
|
|
627 |
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets Continued |
|
|
|
|
|
7 |
|
|
T. Rowe Price Group, Inc. |
|
|
479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 2.9% |
|
|
|
|
|
19 |
|
|
BB&T Corp. |
|
|
534 |
|
|
5 |
|
|
Comerica, Inc. |
|
|
192 |
|
|
26 |
|
|
Fifth Third Bancorp |
|
|
374 |
|
|
7 |
|
|
First Horizon National Corp. (a) |
|
|
76 |
|
|
24 |
|
|
Huntington Bancshares, Inc. |
|
|
165 |
|
|
25 |
|
|
KeyCorp |
|
|
225 |
|
|
3 |
|
|
M&T Bank Corp. |
|
|
293 |
|
|
15 |
|
|
Marshall & Ilsley Corp. |
|
|
114 |
|
|
15 |
|
|
PNC Financial Services Group, Inc. |
|
|
905 |
|
|
35 |
|
|
Regions Financial Corp. |
|
|
268 |
|
|
14 |
|
|
SunTrust Banks, Inc. |
|
|
421 |
|
|
54 |
|
|
U.S. Bancorp |
|
|
1,485 |
|
|
146 |
|
|
Wells Fargo & Co. |
|
|
4,726 |
|
|
5 |
|
|
Zions Bancorp |
|
|
116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.7% |
|
|
|
|
|
29 |
|
|
American Express Co. |
|
|
1,273 |
|
|
13 |
|
|
Capital One Financial Corp. |
|
|
635 |
|
|
15 |
|
|
Discover Financial Services |
|
|
331 |
|
|
14 |
|
|
SLM Corp. (a) |
|
|
201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 4.3% |
|
|
|
|
|
281 |
|
|
Bank of America Corp. |
|
|
4,022 |
|
|
811 |
|
|
Citigroup, Inc. (a) |
|
|
3,795 |
|
|
2 |
|
|
CME Group, Inc. |
|
|
582 |
|
|
2 |
|
|
IntercontinentalExchange, Inc. (a) |
|
|
262 |
|
|
109 |
|
|
JPMorgan Chase & Co. (q) |
|
|
5,094 |
|
|
6 |
|
|
Leucadia National Corp. |
|
|
182 |
|
|
6 |
|
|
Moody's Corp. |
|
|
181 |
|
|
4 |
|
|
NASDAQ OMX Group, Inc. (The) (a) |
|
|
120 |
|
|
7 |
|
|
NYSE Euronext |
|
|
270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 3.9% |
|
|
|
|
|
9 |
|
|
ACE Ltd., (Switzerland) |
|
|
599 |
|
|
13 |
|
|
Aflac, Inc. |
|
|
774 |
|
|
15 |
|
|
Allstate Corp. (The) |
|
|
477 |
|
|
4 |
|
|
American International Group, Inc. (a) |
|
|
145 |
|
|
9 |
|
|
AON Corp. |
|
|
485 |
|
|
3 |
|
|
Assurant, Inc. |
|
|
121 |
|
|
48 |
|
|
Berkshire Hathaway, Inc., Class B (a) |
|
|
4,215 |
|
|
9 |
|
|
Chubb Corp. |
|
|
516 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
46 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Insurance Continued |
|
|
|
|
|
5 |
|
|
Cincinnati Financial Corp. |
|
|
154 |
|
|
14 |
|
|
Genworth Financial, Inc., Class A (a) |
|
|
181 |
|
|
12 |
|
|
Hartford Financial Services Group, Inc. |
|
|
367 |
|
|
9 |
|
|
Lincoln National Corp. |
|
|
280 |
|
|
9 |
|
|
Loews Corp. |
|
|
382 |
|
|
15 |
|
|
Marsh & McLennan Cos., Inc. |
|
|
462 |
|
|
25 |
|
|
MetLife, Inc. |
|
|
1,198 |
|
|
9 |
|
|
Principal Financial Group, Inc. |
|
|
306 |
|
|
19 |
|
|
Progressive Corp. (The) |
|
|
386 |
|
|
14 |
|
|
Prudential Financial, Inc. |
|
|
892 |
|
|
2 |
|
|
Torchmark Corp. |
|
|
146 |
|
|
12 |
|
|
Travelers Cos., Inc. (The) |
|
|
727 |
|
|
9 |
|
|
Unum Group |
|
|
235 |
|
|
9 |
|
|
XL Group plc, (Ireland) |
|
|
211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 1.5% |
|
|
|
|
|
3 |
|
|
Apartment Investment & Management Co., Class A |
|
|
84 |
|
|
2 |
|
|
AvalonBay Communities, Inc. |
|
|
288 |
|
|
4 |
|
|
Boston Properties, Inc. |
|
|
375 |
|
|
8 |
|
|
Equity Residential |
|
|
437 |
|
|
10 |
|
|
HCP, Inc. |
|
|
386 |
|
|
4 |
|
|
Health Care REIT, Inc. |
|
|
212 |
|
|
19 |
|
|
Host Hotels & Resorts, Inc. |
|
|
342 |
|
|
11 |
|
|
Kimco Realty Corp. |
|
|
220 |
|
|
5 |
|
|
Plum Creek Timber Co., Inc. |
|
|
189 |
|
|
16 |
|
|
ProLogis |
|
|
258 |
|
|
4 |
|
|
Public Storage |
|
|
438 |
|
|
8 |
|
|
Simon Property Group, Inc. |
|
|
900 |
|
|
4 |
|
|
Ventas, Inc. |
|
|
243 |
|
|
5 |
|
|
Vornado Realty Trust |
|
|
423 |
|
|
15 |
|
|
Weyerhaeuser Co. |
|
|
365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.1% |
|
|
8 |
|
|
CB Richard Ellis Group, Inc., Class A (a) |
|
|
203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
15 |
|
|
Hudson City Bancorp, Inc. |
|
|
169 |
|
|
10 |
|
|
People's United Financial, Inc. |
|
|
136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials |
|
|
54,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care 10.7% |
|
|
|
|
|
|
|
|
Biotechnology 1.2% |
|
|
|
|
|
26 |
|
|
Amgen, Inc. (a) |
|
|
1,354 |
|
|
7 |
|
|
Biogen Idec, Inc. (a) |
|
|
455 |
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology Continued |
|
|
|
|
|
13 |
|
|
Celgene Corp. (a) |
|
|
698 |
|
|
2 |
|
|
Cephalon, Inc. (a) |
|
|
118 |
|
|
7 |
|
|
Genzyme Corp. (a) |
|
|
545 |
|
|
23 |
|
|
Gilead Sciences, Inc. (a) |
|
|
883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 1.8% |
|
|
|
|
|
16 |
|
|
Baxter International, Inc. |
|
|
864 |
|
|
6 |
|
|
Becton, Dickinson & Co. |
|
|
514 |
|
|
42 |
|
|
Boston Scientific Corp. (a) |
|
|
304 |
|
|
3 |
|
|
C.R. Bard, Inc. |
|
|
253 |
|
|
6 |
|
|
CareFusion Corp. (a) |
|
|
170 |
|
|
14 |
|
|
Covidien plc, (Ireland) |
|
|
721 |
|
|
4 |
|
|
DENTSPLY International, Inc. |
|
|
148 |
|
|
1 |
|
|
Intuitive Surgical, Inc. (a) |
|
|
360 |
|
|
30 |
|
|
Medtronic, Inc. |
|
|
1,203 |
|
|
10 |
|
|
St. Jude Medical, Inc. (a) |
|
|
458 |
|
|
10 |
|
|
Stryker Corp. |
|
|
603 |
|
|
3 |
|
|
Varian Medical Systems, Inc. (a) |
|
|
230 |
|
|
6 |
|
|
Zimmer Holdings, Inc. (a) |
|
|
344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 2.0% |
|
|
|
|
|
11 |
|
|
Aetna, Inc. |
|
|
417 |
|
|
8 |
|
|
AmerisourceBergen Corp. |
|
|
293 |
|
|
10 |
|
|
Cardinal Health, Inc. |
|
|
406 |
|
|
8 |
|
|
CIGNA Corp. |
|
|
318 |
|
|
4 |
|
|
Coventry Health Care, Inc. (a) |
|
|
125 |
|
|
3 |
|
|
DaVita, Inc. (a) |
|
|
215 |
|
|
15 |
|
|
Express Scripts, Inc. (a) |
|
|
827 |
|
|
5 |
|
|
Humana, Inc. (a) |
|
|
305 |
|
|
3 |
|
|
Laboratory Corp. of America Holdings (a) |
|
|
256 |
|
|
7 |
|
|
McKesson Corp. |
|
|
560 |
|
|
12 |
|
|
Medco Health Solutions, Inc. (a) |
|
|
730 |
|
|
3 |
|
|
Patterson Cos., Inc. |
|
|
90 |
|
|
4 |
|
|
Quest Diagnostics, Inc. |
|
|
246 |
|
|
14 |
|
|
Tenet Healthcare Corp. (a) |
|
|
97 |
|
|
31 |
|
|
UnitedHealth Group, Inc. |
|
|
1,307 |
|
|
11 |
|
|
WellPoint, Inc. (a) |
|
|
730 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 0.1% |
|
|
|
|
|
2 |
|
|
Cerner Corp. (a) |
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 0.5% |
|
|
|
|
|
10 |
|
|
Agilent Technologies, Inc. (a) |
|
|
407 |
|
|
5 |
|
|
Life Technologies Corp. (a) |
|
|
278 |
|
|
3 |
|
|
PerkinElmer, Inc. |
|
|
87 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
47 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Life Sciences Tools & Services Continued |
|
|
|
|
|
11 |
|
|
Thermo Fisher Scientific, Inc. (a) |
|
|
619 |
|
|
3 |
|
|
Waters Corp. (a) |
|
|
212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 5.2% |
|
|
|
|
|
43 |
|
|
Abbott Laboratories |
|
|
2,075 |
|
|
9 |
|
|
Allergan, Inc. |
|
|
637 |
|
|
48 |
|
|
Bristol-Myers Squibb Co. |
|
|
1,233 |
|
|
28 |
|
|
Eli Lilly & Co. |
|
|
979 |
|
|
8 |
|
|
Forest Laboratories, Inc. (a) |
|
|
258 |
|
|
5 |
|
|
Hospira, Inc. (a) |
|
|
246 |
|
|
77 |
|
|
Johnson & Johnson |
|
|
4,709 |
|
|
86 |
|
|
Merck & Co., Inc. |
|
|
2,801 |
|
|
12 |
|
|
Mylan, Inc. (a) |
|
|
278 |
|
|
224 |
|
|
Pfizer, Inc. |
|
|
4,301 |
|
|
3 |
|
|
Watson Pharmaceuticals, Inc. (a) |
|
|
196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care |
|
|
36,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials 11.0% |
|
|
|
|
|
|
|
|
Aerospace & Defense 2.7% |
|
|
|
|
|
20 |
|
|
Boeing Co. (The) |
|
|
1,474 |
|
|
11 |
|
|
General Dynamics Corp. |
|
|
803 |
|
|
3 |
|
|
Goodrich Corp. |
|
|
302 |
|
|
22 |
|
|
Honeywell International, Inc. |
|
|
1,261 |
|
|
5 |
|
|
ITT Corp. |
|
|
297 |
|
|
3 |
|
|
L-3 Communications Holdings, Inc. |
|
|
251 |
|
|
8 |
|
|
Lockheed Martin Corp. |
|
|
652 |
|
|
8 |
|
|
Northrop Grumman Corp. |
|
|
543 |
|
|
4 |
|
|
Precision Castparts Corp. |
|
|
564 |
|
|
10 |
|
|
Raytheon Co. |
|
|
521 |
|
|
4 |
|
|
Rockwell Collins, Inc. |
|
|
282 |
|
|
26 |
|
|
United Technologies Corp. |
|
|
2,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 1.0% |
|
|
|
|
|
5 |
|
|
C.H. Robinson Worldwide, Inc. |
|
|
335 |
|
|
6 |
|
|
Expeditors International of Washington, Inc. |
|
|
283 |
|
|
9 |
|
|
FedEx Corp. |
|
|
791 |
|
|
28 |
|
|
United Parcel Service, Inc., Class B |
|
|
2,037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.1% |
|
|
|
|
|
21 |
|
|
Southwest Airlines Co. |
|
|
247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 0.0% (g) |
|
|
|
|
|
10 |
|
|
Masco Corp. |
|
|
136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.5% |
|
|
|
|
|
3 |
|
|
Avery Dennison Corp. |
|
|
120 |
|
|
4 |
|
|
Cintas Corp. |
|
|
99 |
|
|
6 |
|
|
Iron Mountain, Inc. |
|
|
145 |
|
|
6 |
|
|
Pitney Bowes, Inc. |
|
|
143 |
|
|
6 |
|
|
R.R. Donnelley & Sons Co. |
|
|
107 |
|
|
9 |
|
|
Republic Services, Inc. |
|
|
254 |
|
|
2 |
|
|
Stericycle, Inc. (a) |
|
|
207 |
|
|
13 |
|
|
Waste Management, Inc. |
|
|
492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 0.2% |
|
|
|
|
|
5 |
|
|
Fluor Corp. |
|
|
353 |
|
|
4 |
|
|
Jacobs Engineering Group, Inc. (a) |
|
|
176 |
|
|
6 |
|
|
Quanta Services, Inc. (a) |
|
|
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 0.5% |
|
|
|
|
|
21 |
|
|
Emerson Electric Co. |
|
|
1,253 |
|
|
4 |
|
|
Rockwell Automation, Inc. |
|
|
347 |
|
|
3 |
|
|
Roper Industries, Inc. |
|
|
223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 2.6% |
|
|
|
|
|
20 |
|
|
3M Co. |
|
|
1,840 |
|
|
297 |
|
|
General Electric Co. |
|
|
6,221 |
|
|
8 |
|
|
Textron, Inc. |
|
|
208 |
|
|
14 |
|
|
Tyco International Ltd., (Switzerland) |
|
|
620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 2.3% |
|
|
|
|
|
18 |
|
|
Caterpillar, Inc. |
|
|
1,823 |
|
|
6 |
|
|
Cummins, Inc. |
|
|
558 |
|
|
15 |
|
|
Danaher Corp. |
|
|
757 |
|
|
12 |
|
|
Deere & Co. |
|
|
1,066 |
|
|
5 |
|
|
Dover Corp. |
|
|
335 |
|
|
5 |
|
|
Eaton Corp. |
|
|
520 |
|
|
2 |
|
|
Flowserve Corp. |
|
|
195 |
|
|
14 |
|
|
Illinois Tool Works, Inc. |
|
|
749 |
|
|
9 |
|
|
Ingersoll-Rand plc, (Ireland) |
|
|
410 |
|
|
3 |
|
|
Joy Global, Inc. |
|
|
281 |
|
|
10 |
|
|
PACCAR, Inc. |
|
|
510 |
|
|
3 |
|
|
Pall Corp. |
|
|
175 |
|
|
5 |
|
|
Parker Hannifin Corp. |
|
|
402 |
|
|
2 |
|
|
Snap-On, Inc. |
|
|
93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,874 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
48 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Professional Services 0.1% |
|
|
|
|
|
1 |
|
|
Dun & Bradstreet Corp. |
|
|
112 |
|
|
3 |
|
|
Equifax, Inc. |
|
|
123 |
|
|
4 |
|
|
Robert Half International, Inc. |
|
|
131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 0.8% |
|
|
|
|
|
10 |
|
|
CSX Corp. |
|
|
780 |
|
|
10 |
|
|
Norfolk Southern Corp. |
|
|
665 |
|
|
1 |
|
|
Ryder System, Inc. |
|
|
69 |
|
|
14 |
|
|
Union Pacific Corp. |
|
|
1,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 0.1% |
|
|
|
|
|
4 |
|
|
Fastenal Co. |
|
|
255 |
|
|
2 |
|
|
W.W. Grainger, Inc. |
|
|
216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials |
|
|
37,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology 18.5% |
|
|
|
|
|
|
|
|
Communications Equipment 2.2% |
|
|
|
|
|
155 |
|
|
Cisco Systems, Inc. (a) |
|
|
2,871 |
|
|
2 |
|
|
F5 Networks, Inc. (a) |
|
|
266 |
|
|
4 |
|
|
Harris Corp. |
|
|
167 |
|
|
6 |
|
|
JDS Uniphase Corp. (a) |
|
|
153 |
|
|
15 |
|
|
Juniper Networks, Inc. (a) |
|
|
643 |
|
|
8 |
|
|
Motorola Mobility Holdings, Inc. (a) |
|
|
248 |
|
|
9 |
|
|
Motorola Solutions, Inc. (a) |
|
|
362 |
|
|
45 |
|
|
QUALCOMM, Inc. |
|
|
2,690 |
|
|
10 |
|
|
Tellabs, Inc. |
|
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals 4.5% |
|
|
|
|
|
26 |
|
|
Apple, Inc. (a) |
|
|
9,043 |
|
|
47 |
|
|
Dell, Inc. (a) |
|
|
742 |
|
|
58 |
|
|
EMC Corp. (a) |
|
|
1,565 |
|
|
63 |
|
|
Hewlett-Packard Co. |
|
|
2,761 |
|
|
2 |
|
|
Lexmark International, Inc., Class A (a) |
|
|
82 |
|
|
10 |
|
|
NetApp, Inc. (a) |
|
|
521 |
|
|
7 |
|
|
SanDisk Corp. (a) |
|
|
325 |
|
|
6 |
|
|
Western Digital Corp. (a) |
|
|
196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 0.5% |
|
|
5 |
|
|
Amphenol Corp., Class A |
|
|
280 |
|
|
44 |
|
|
Corning, Inc. |
|
|
1,006 |
|
|
4 |
|
|
FLIR Systems, Inc. (a) |
|
|
143 |
|
|
5 |
|
|
Jabil Circuit, Inc. |
|
|
117 |
|
|
4 |
|
|
Molex, Inc. |
|
|
108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 1.9% |
|
|
|
|
|
5 |
|
|
Akamai Technologies, Inc. (a) |
|
|
191 |
|
|
32 |
|
|
eBay, Inc. (a) |
|
|
1,073 |
|
|
7 |
|
|
Google, Inc., Class A (a) |
|
|
4,271 |
|
|
4 |
|
|
Monster Worldwide, Inc. (a) |
|
|
62 |
|
|
5 |
|
|
VeriSign, Inc. |
|
|
169 |
|
|
36 |
|
|
Yahoo!, Inc. (a) |
|
|
597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services 3.1% |
|
|
|
|
|
14 |
|
|
Automatic Data Processing, Inc. |
|
|
688 |
|
|
8 |
|
|
Cognizant Technology Solutions Corp., Class A (a) |
|
|
651 |
|
|
4 |
|
|
Computer Sciences Corp. |
|
|
207 |
|
|
7 |
|
|
Fidelity National Information Services, Inc. |
|
|
239 |
|
|
4 |
|
|
Fiserv, Inc. (a) |
|
|
263 |
|
|
35 |
|
|
International Business Machines Corp. |
|
|
5,613 |
|
|
3 |
|
|
MasterCard, Inc., Class A |
|
|
650 |
|
|
9 |
|
|
Paychex, Inc. |
|
|
302 |
|
|
8 |
|
|
SAIC, Inc. (a) |
|
|
134 |
|
|
5 |
|
|
Teradata Corp. (a) |
|
|
224 |
|
|
5 |
|
|
Total System Services, Inc. |
|
|
81 |
|
|
14 |
|
|
Visa, Inc., Class A |
|
|
994 |
|
|
18 |
|
|
Western Union Co. (The) |
|
|
403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics 0.1% |
|
|
|
|
|
39 |
|
|
Xerox Corp. |
|
|
416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 2.6% |
|
|
16 |
|
|
Advanced Micro Devices, Inc. (a) |
|
|
147 |
|
|
9 |
|
|
Altera Corp. |
|
|
365 |
|
|
8 |
|
|
Analog Devices, Inc. |
|
|
332 |
|
|
37 |
|
|
Applied Materials, Inc. |
|
|
613 |
|
|
13 |
|
|
Broadcom Corp., Class A |
|
|
524 |
|
|
2 |
|
|
First Solar, Inc. (a) |
|
|
222 |
|
|
156 |
|
|
Intel Corp. |
|
|
3,343 |
|
|
5 |
|
|
KLA-Tencor Corp. |
|
|
228 |
|
|
6 |
|
|
Linear Technology Corp. |
|
|
217 |
|
|
17 |
|
|
LSI Corp. (a) |
|
|
108 |
|
|
6 |
|
|
MEMC Electronic Materials, Inc. (a) |
|
|
86 |
|
|
5 |
|
|
Microchip Technology, Inc. |
|
|
192 |
|
|
24 |
|
|
Micron Technology, Inc. (a) |
|
|
266 |
|
|
7 |
|
|
National Semiconductor Corp. |
|
|
104 |
|
|
3 |
|
|
Novellus Systems, Inc. (a) |
|
|
101 |
|
|
16 |
|
|
NVIDIA Corp. (a) |
|
|
368 |
|
|
5 |
|
|
Teradyne, Inc. (a) |
|
|
94 |
|
|
33 |
|
|
Texas Instruments, Inc. |
|
|
1,167 |
|
|
7 |
|
|
Xilinx, Inc. |
|
|
241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,718 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
49 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except number of contracts)
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Software 3.7% |
|
|
|
|
|
14 |
|
|
Adobe Systems, Inc. (a) |
|
|
490 |
|
|
6 |
|
|
Autodesk, Inc. (a) |
|
|
267 |
|
|
5 |
|
|
BMC Software, Inc. (a) |
|
|
245 |
|
|
11 |
|
|
CA, Inc. |
|
|
265 |
|
|
5 |
|
|
Citrix Systems, Inc. (a) |
|
|
368 |
|
|
6 |
|
|
Compuware Corp. (a) |
|
|
69 |
|
|
9 |
|
|
Electronic Arts, Inc. (a) |
|
|
174 |
|
|
8 |
|
|
Intuit, Inc. (a) |
|
|
410 |
|
|
4 |
|
|
McAfee, Inc. (a) |
|
|
206 |
|
|
210 |
|
|
Microsoft Corp. |
|
|
5,585 |
|
|
10 |
|
|
Novell, Inc. (a) |
|
|
58 |
|
|
108 |
|
|
Oracle Corp. |
|
|
3,554 |
|
|
5 |
|
|
Red Hat, Inc. (a) |
|
|
220 |
|
|
3 |
|
|
Salesforce.com, Inc. (a) |
|
|
437 |
|
|
22 |
|
|
Symantec Corp. (a) |
|
|
391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology |
|
|
63,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials 3.6% |
|
|
|
|
|
|
|
|
Chemicals 2.1% |
|
|
|
|
|
6 |
|
|
Air Products & Chemicals, Inc. |
|
|
550 |
|
|
2 |
|
|
Airgas, Inc. |
|
|
131 |
|
|
2 |
|
|
CF Industries Holdings, Inc. |
|
|
281 |
|
|
32 |
|
|
Dow Chemical Co. (The) |
|
|
1,204 |
|
|
25 |
|
|
E.l. du Pont de Nemours & Co. |
|
|
1,398 |
|
|
2 |
|
|
Eastman Chemical Co. |
|
|
188 |
|
|
6 |
|
|
Ecolab, Inc. |
|
|
315 |
|
|
2 |
|
|
FMC Corp. |
|
|
157 |
|
|
2 |
|
|
International Flavors & Fragrances, Inc. |
|
|
127 |
|
|
15 |
|
|
Monsanto Co. |
|
|
1,076 |
|
|
5 |
|
|
PPG Industries, Inc. |
|
|
402 |
|
|
9 |
|
|
Praxair, Inc. |
|
|
850 |
|
|
3 |
|
|
Sherwin-Williams Co. (The) |
|
|
205 |
|
|
3 |
|
|
Sigma-Aldrich Corp. |
|
|
216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction Materials 0.1% |
|
|
|
|
|
4 |
|
|
Vulcan Materials Co. |
|
|
165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 0.2% |
|
|
|
|
|
5 |
|
|
Ball Corp. |
|
|
178 |
|
|
3 |
|
|
Bemis Co., Inc. |
|
|
99 |
|
|
5 |
|
|
Owens-Illinois, Inc. (a) |
|
|
139 |
|
|
4 |
|
|
Sealed Air Corp. |
|
|
123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 1.2% |
|
|
|
|
|
3 |
|
|
AK Steel Holding Corp. |
|
|
49 |
|
|
29 |
|
|
Alcoa, Inc. |
|
|
480 |
|
|
3 |
|
|
Allegheny Technologies, Inc. |
|
|
184 |
|
|
4 |
|
|
Cliffs Natural Resources, Inc. |
|
|
367 |
|
|
26 |
|
|
Freeport-McMoRan Copper & Gold, Inc. |
|
|
1,392 |
|
|
14 |
|
|
Newmont Mining Corp. |
|
|
761 |
|
|
9 |
|
|
Nucor Corp. |
|
|
423 |
|
|
3 |
|
|
Titanium Metals Corp. (a) |
|
|
48 |
|
|
4 |
|
|
United States Steel Corp. |
|
|
230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,934 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 0.1% |
|
|
|
|
|
12 |
|
|
International Paper Co. |
|
|
339 |
|
|
5 |
|
|
MeadWestvaco Corp. |
|
|
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials |
|
|
12,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services 2.9% |
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 2.5% |
|
|
165 |
|
|
AT&T, Inc. |
|
|
4,681 |
|
|
8 |
|
|
CenturyLink, Inc. |
|
|
348 |
|
|
28 |
|
|
Frontier Communications Corp. |
|
|
236 |
|
|
49 |
|
|
Qwest Communications International, Inc. |
|
|
332 |
|
|
79 |
|
|
Verizon Communications, Inc. |
|
|
2,913 |
|
|
14 |
|
|
Windstream Corp. |
|
|
169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.3% |
|
|
|
|
|
11 |
|
|
American Tower Corp., Class A (a) |
|
|
601 |
|
|
7 |
|
|
MetroPCS Communications, Inc. (a) |
|
|
106 |
|
|
83 |
|
|
Sprint Nextel Corp. (a) |
|
|
364 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services |
|
|
9,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 3.1% |
|
|
|
|
|
|
|
|
Electric Utilities 1.7% |
|
|
|
|
|
13 |
|
|
American Electric Power Co., Inc. |
|
|
480 |
|
|
37 |
|
|
Duke Energy Corp. |
|
|
665 |
|
|
9 |
|
|
Edison International |
|
|
338 |
|
|
5 |
|
|
Entergy Corp. |
|
|
359 |
|
|
18 |
|
|
Exelon Corp. |
|
|
771 |
|
|
12 |
|
|
FirstEnergy Corp. |
|
|
447 |
|
|
12 |
|
|
NextEra Energy, Inc. |
|
|
644 |
|
|
5 |
|
|
Northeast Utilities |
|
|
167 |
|
|
6 |
|
|
Pepco Holdings, Inc. |
|
|
117 |
|
|
3 |
|
|
Pinnacle West Capital Corp. |
|
|
128 |
|
|
13 |
|
|
PPL Corp. |
|
|
343 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
50 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks Continued |
|
|
|
|
|
|
|
|
Electric Utilities Continued |
|
|
|
|
|
8 |
|
|
Progress Energy, Inc. |
|
|
374 |
|
|
23 |
|
|
Southern Co. |
|
|
892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities 0.1% |
|
|
|
|
|
1 |
|
|
Nicor, Inc. |
|
|
67 |
|
|
3 |
|
|
Oneok, Inc. |
|
|
192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 0.2% |
|
|
18 |
|
|
AES Corp. (The) (a) |
|
|
229 |
|
|
6 |
|
|
Constellation Energy Group, Inc. |
|
|
173 |
|
|
7 |
|
|
NRG Energy, Inc. (a) |
|
|
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 1.2% |
|
|
|
|
|
7 |
|
|
Ameren Corp. |
|
|
187 |
|
|
12 |
|
|
CenterPoint Energy, Inc. |
|
|
187 |
|
|
7 |
|
|
CMS Energy Corp. |
|
|
132 |
|
|
8 |
|
|
Consolidated Edison, Inc. |
|
|
405 |
|
|
16 |
|
|
Dominion Resources, Inc. |
|
|
739 |
|
|
5 |
|
|
DTE Energy Co. |
|
|
222 |
|
|
2 |
|
|
Integrys Energy Group, Inc. |
|
|
106 |
|
|
8 |
|
|
NiSource, Inc. |
|
|
149 |
|
|
11 |
|
|
PG&E Corp. |
|
|
504 |
|
|
14 |
|
|
Public Service Enterprise Group, Inc. |
|
|
462 |
|
|
3 |
|
|
SCANA Corp. |
|
|
128 |
|
|
7 |
|
|
Sempra Energy |
|
|
357 |
|
|
6 |
|
|
TECO Energy, Inc. |
|
|
109 |
|
|
3 |
|
|
Wisconsin Energy Corp. |
|
|
193 |
|
|
13 |
|
|
Xcel Energy, Inc. |
|
|
307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities |
|
|
10,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks (Cost $263,279) |
|
|
337,834 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NO. OF WARRANTS |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Warrant 0.0% (g) |
|
|
|
|
|
|
|
|
Financials 0.0% (g) |
|
|
|
|
|
|
|
|
Insurance 0.0% (g) |
|
|
|
|
|
2 |
|
|
American International Group, Inc., expiring 01/19/21 (a) (Cost $) |
|
|
23 |
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
|
|
Investment Company 0.1% |
|
|
|
|
|
2 |
|
|
SPDR Trust, Series 1 (Cost $193) |
|
|
226 |
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 1.0% |
|
|
|
|
|
|
|
|
Investment Company 0.9% |
|
|
|
|
|
3,077 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) (m) (Cost $3,077) |
|
|
3,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
|
|
|
|
|
U.S. Treasury Obligation 0.1% |
|
|
|
|
|
425 |
|
|
U.S. Treasury Bill, 0.140%, 05/05/11 (k) (n) (Cost $425) |
|
|
425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short- Term Investments (Cost $3,502) |
|
|
3,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.1% (Cost $266,974) |
|
|
341,585 |
|
|
|
|
|
Liabilities in Excess of Other Assets (0.1)% |
|
|
(389 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS 100.0% |
|
$ |
341,196 |
|
|
|
|
|
|
|
|
|
|
Percentages
indicated are based on net assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
NUMBER OF CONTRACTS |
|
|
DESCRIPTION |
|
EXPIRATION DATE |
|
|
NOTIONAL VALUE AT 02/28/11 |
|
|
UNREALIZED APPRECIATION (DEPRECIATION) |
|
|
|
|
|
Long Futures Outstanding |
|
|
|
|
|
|
|
|
|
|
|
|
|
36 |
|
|
E-mini S&P 500 |
|
|
03/18/11 |
|
|
$ |
2,387 |
|
|
$ |
192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL
STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
51 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities 2.1% |
|
|
|
|
|
AH Mortgage Advance Trust, |
|
|
|
|
|
295 |
|
|
Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) |
|
|
296 |
|
|
336 |
|
|
Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) |
|
|
337 |
|
|
|
|
|
Ally Auto Receivables Trust, |
|
|
|
|
|
65 |
|
|
Series 2010-1, Class A3, 1.450%, 05/15/14 |
|
|
66 |
|
|
176 |
|
|
Series 2010-4, Class A3, 0.910%, 11/17/14 |
|
|
175 |
|
|
|
|
|
AmeriCredit Automobile Receivables Trust, |
|
|
|
|
|
340 |
|
|
Series 2006-BG, Class A4, 5.210%, 09/06/13 |
|
|
344 |
|
|
175 |
|
|
Series 2009-1, Class A3, 3.040%, 10/15/13 |
|
|
178 |
|
|
14 |
|
|
Series 2010-1, Class A2, 0.970%, 01/15/13 |
|
|
14 |
|
|
25 |
|
|
Series 2010-1, Class A3, 1.660%, 03/17/14 |
|
|
25 |
|
|
130 |
|
|
Series 2010-3, Class A3, 1.140%, 04/08/15 |
|
|
130 |
|
|
150 |
|
|
Series 2010-4, Class A2, 0.960%, 05/08/14 |
|
|
150 |
|
|
75 |
|
|
Series 2010-4, Class A3, 1.270%, 04/08/15 |
|
|
75 |
|
|
|
|
|
Bank of America Auto Trust, |
|
|
|
|
|
405 |
|
|
Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) |
|
|
409 |
|
|
150 |
|
|
Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) |
|
|
155 |
|
|
130 |
|
|
Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
|
|
131 |
|
|
100 |
|
|
Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
|
|
102 |
|
|
75 |
|
|
Series 2010-2, Class A3, 1.310%, 07/15/14 |
|
|
76 |
|
|
125 |
|
|
Series 2010-2, Class A4, 1.940%, 06/15/17 |
|
|
126 |
|
|
81 |
|
|
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 |
|
|
61 |
|
|
60 |
|
|
CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 |
|
|
60 |
|
|
200 |
|
|
Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 |
|
|
198 |
|
|
|
|
|
Chrysler Financial Auto Securitization Trust, |
|
|
|
|
|
117 |
|
|
Series 2009-A, Class A3, 2.820%, 01/15/16 |
|
|
119 |
|
|
250 |
|
|
Series 2010-A, Class A3, 0.910%, 08/08/13 |
|
|
250 |
|
|
500 |
|
|
Citibank Credit Card Issuance Trust, Series 2002-C2, Class C2, 6.950%, 02/18/14 |
|
|
526 |
|
|
|
|
|
CNH Equipment Trust, |
|
|
|
|
|
133 |
|
|
Series 2010-A, Class A3, 1.540%, 07/15/14 |
|
|
134 |
|
|
300 |
|
|
Series 2010-C, Class A3, 1.170%, 05/15/15 |
|
|
300 |
|
|
53 |
|
|
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 |
|
|
38 |
|
|
|
|
|
Ford Credit Auto Owner Trust, |
|
|
|
|
|
188 |
|
|
Series 2009-B, Class A3, 2.790%, 08/15/13 |
|
|
190 |
|
|
200 |
|
|
Series 2009-B, Class A4, 4.500%, 07/15/14 |
|
|
212 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
|
|
GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15 |
|
|
208 |
|
|
107 |
|
|
GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 |
|
|
98 |
|
|
144 |
|
|
Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15 |
|
|
144 |
|
|
|
|
|
Honda Auto Receivables Owner Trust, |
|
|
|
|
|
224 |
|
|
Series 2009-2, Class A3, 2.790%, 01/15/13 |
|
|
226 |
|
|
100 |
|
|
Series 2009-2, Class A4, 4.430%, 07/15/15 |
|
|
105 |
|
|
122 |
|
|
Series 2009-3, Class A3, 2.310%, 05/15/13 |
|
|
124 |
|
|
150 |
|
|
Series 2009-3, Class A4, 3.300%, 09/15/15 |
|
|
155 |
|
|
|
|
|
HSBC Home Equity Loan Trust, |
|
|
|
|
|
98 |
|
|
Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 |
|
|
90 |
|
|
72 |
|
|
Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 |
|
|
66 |
|
|
83 |
|
|
Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 |
|
|
77 |
|
|
125 |
|
|
Hyundai Auto Receivables Trust, Series 2010-B, Class A3, 0.970%, 04/15/15 |
|
|
125 |
|
|
63 |
|
|
John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/13 |
|
|
63 |
|
|
241 |
|
|
LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) |
|
|
240 |
|
|
407 |
|
|
MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 |
|
|
428 |
|
|
105 |
|
|
Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 |
|
|
106 |
|
|
|
|
|
Nissan Auto Receivables Owner Trust, |
|
|
|
|
|
115 |
|
|
Series 2010-A, Class A3, 0.870%, 07/15/14 |
|
|
115 |
|
|
75 |
|
|
Series 2010-A, Class A4, 1.310%, 09/15/16 |
|
|
74 |
|
|
110 |
|
|
Santander Drive Auto Receivables Trust, Series 2010-3, Class A3, 1.200%, 06/16/14 |
|
|
110 |
|
|
225 |
|
|
Toyota Auto Receivables Owner Trust, Series 2010-C, Class A3, 0.770%, 04/15/14 |
|
|
225 |
|
|
135 |
|
|
World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15 |
|
|
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities (Cost $7,734) |
|
|
7,794 |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 29.9% |
|
|
|
|
|
Agency CMO 24.7% |
|
|
|
|
|
93 |
|
|
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%,
11/25/23 |
|
|
104 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS, |
|
|
|
|
|
9 |
|
|
Series 11, Class D, 9.500%, 07/15/19 |
|
|
10 |
|
|
|
(h) |
|
Series 41, Class I, HB, 84.000%, 05/15/20 |
|
|
|
(h) |
|
4 |
|
|
Series 46, Class B, 7.800%, 09/15/20 |
|
|
5 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
52 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
1 |
|
|
Series 47, Class F, 10.000%, 06/15/20 |
|
|
1 |
|
|
|
(h) |
|
Series 85, Class C, 8.600%, 01/15/21 |
|
|
|
(h) |
|
4 |
|
|
Series 99, Class Z, 9.500%, 01/15/21 |
|
|
5 |
|
|
23 |
|
|
Series 114, Class H, 6.950%, 01/15/21 |
|
|
25 |
|
|
1 |
|
|
Series 1079, Class S, HB, IF, 32.937%, 05/15/21 |
|
|
2 |
|
|
1 |
|
|
Series 1084, Class F, VAR, 1.262%, 05/15/21 |
|
|
1 |
|
|
1 |
|
|
Series 1084, Class S, HB, IF, 43.819%, 05/15/21 |
|
|
2 |
|
|
12 |
|
|
Series 1144, Class KB, 8.500%, 09/15/21 |
|
|
14 |
|
|
|
(h) |
|
Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 |
|
|
|
(h) |
|
|
(h) |
|
Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 |
|
|
2 |
|
|
16 |
|
|
Series 1206, Class IA, 7.000%, 03/15/22 |
|
|
17 |
|
|
10 |
|
|
Series 1250, Class J, 7.000%, 05/15/22 |
|
|
12 |
|
|
34 |
|
|
Series 1343, Class LA, 8.000%, 08/15/22 |
|
|
40 |
|
|
144 |
|
|
Series 1466, Class PZ, 7.500%, 02/15/23 |
|
|
162 |
|
|
2 |
|
|
Series 1470, Class F, VAR, 2.508%, 02/15/23 |
|
|
2 |
|
|
54 |
|
|
Series 1491, Class I, 7.500%, 04/15/23 |
|
|
62 |
|
|
53 |
|
|
Series 1518, Class G, IF, 8.748%, 05/15/23 |
|
|
65 |
|
|
47 |
|
|
Series 1541, Class O, VAR, 2.840%, 07/15/23 |
|
|
49 |
|
|
3 |
|
|
Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 |
|
|
5 |
|
|
171 |
|
|
Series 1608, Class L, 6.500%, 09/15/23 |
|
|
194 |
|
|
134 |
|
|
Series 1609, Class LG, IF, 16.656%, 11/15/23 |
|
|
165 |
|
|
4 |
|
|
Series 1671, Class L, 7.000%, 02/15/24 |
|
|
5 |
|
|
26 |
|
|
Series 1700, Class GA, PO, 02/15/24 |
|
|
22 |
|
|
274 |
|
|
Series 1706, Class K, 7.000%, 03/15/24 |
|
|
316 |
|
|
849 |
|
|
Series 1720, Class PL, 7.500%, 04/15/24 |
|
|
972 |
|
|
20 |
|
|
Series 1745, Class D, 7.500%, 08/15/24 |
|
|
24 |
|
|
59 |
|
|
Series 1798, Class F, 5.000%, 05/15/23 |
|
|
63 |
|
|
2 |
|
|
Series 1807, Class G, 9.000%, 10/15/20 |
|
|
3 |
|
|
246 |
|
|
Series 1927, Class PH, 7.500%, 01/15/27 |
|
|
277 |
|
|
119 |
|
|
Series 1981, Class Z, 6.000%, 05/15/27 |
|
|
131 |
|
|
38 |
|
|
Series 1987, Class PE, 7.500%, 09/15/27 |
|
|
43 |
|
|
28 |
|
|
Series 2025, Class PE, 6.300%, 01/15/13 |
|
|
28 |
|
|
17 |
|
|
Series 2033, Class SN, HB, IF, 24.659%, 03/15/24 |
|
|
8 |
|
|
48 |
|
|
Series 2038, Class PN, IO, 7.000%, 03/15/28 |
|
|
10 |
|
|
222 |
|
|
Series 2040, Class PE, 7.500%, 03/15/28 |
|
|
255 |
|
|
63 |
|
|
Series 2056, Class TD, 6.500%, 05/15/18 |
|
|
69 |
|
|
279 |
|
|
Series 2063, Class PG, 6.500%, 06/15/28 |
|
|
287 |
|
|
47 |
|
|
Series 2064, Class TE, 7.000%, 06/15/28 |
|
|
53 |
|
|
196 |
|
|
Series 2075, Class PH, 6.500%, 08/15/28 |
|
|
227 |
|
|
190 |
|
|
Series 2075, Class PM, 6.250%, 08/15/28 |
|
|
202 |
|
|
55 |
|
|
Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
|
|
12 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
21 |
|
|
Series 2102, Class TC, 6.000%, 12/15/13 |
|
|
22 |
|
|
119 |
|
|
Series 2115, Class PE, 6.000%, 01/15/14 |
|
|
124 |
|
|
140 |
|
|
Series 2125, Class JZ, 6.000%, 02/15/29 |
|
|
149 |
|
|
22 |
|
|
Series 2163, Class PC, IO, 7.500%, 06/15/29 |
|
|
5 |
|
|
506 |
|
|
Series 2169, Class TB, 7.000%, 06/15/29 |
|
|
598 |
|
|
153 |
|
|
Series 2172, Class QC, 7.000%, 07/15/29 |
|
|
170 |
|
|
1 |
|
|
Series 2196, Class TL, 7.500%, 11/15/29 |
|
|
1 |
|
|
79 |
|
|
Series 2201, Class C, 8.000%, 11/15/29 |
|
|
96 |
|
|
154 |
|
|
Series 2210, Class Z, 8.000%, 01/15/30 |
|
|
177 |
|
|
64 |
|
|
Series 2224, Class CB, 8.000%, 03/15/30 |
|
|
77 |
|
|
90 |
|
|
Series 2256, Class MC, 7.250%, 09/15/30 |
|
|
106 |
|
|
134 |
|
|
Series 2259, Class ZM, 7.000%, 10/15/30 |
|
|
149 |
|
|
103 |
|
|
Series 2271, Class PC, 7.250%, 12/15/30 |
|
|
121 |
|
|
174 |
|
|
Series 2283, Class K, 6.500%, 12/15/23 |
|
|
188 |
|
|
55 |
|
|
Series 2296, Class PD, 7.000%, 03/15/31 |
|
|
63 |
|
|
30 |
|
|
Series 2306, Class K, PO, 05/15/24 |
|
|
26 |
|
|
73 |
|
|
Series 2306, Class SE, IF, IO, 7.180%, 05/15/24 |
|
|
14 |
|
|
71 |
|
|
Series 2333, Class HC, 6.000%, 07/15/31 |
|
|
71 |
|
|
62 |
|
|
Series 2344, Class QG, 6.000%, 08/15/16 |
|
|
67 |
|
|
1,210 |
|
|
Series 2344, Class ZD, 6.500%, 08/15/31 |
|
|
1,323 |
|
|
158 |
|
|
Series 2344, Class ZJ, 6.500%, 08/15/31 |
|
|
173 |
|
|
108 |
|
|
Series 2345, Class NE, 6.500%, 08/15/31 |
|
|
115 |
|
|
113 |
|
|
Series 2345, Class PQ, 6.500%, 08/15/16 |
|
|
120 |
|
|
101 |
|
|
Series 2347, Class VP, 6.500%, 03/15/20 |
|
|
105 |
|
|
174 |
|
|
Series 2351, Class PZ, 6.500%, 08/15/31 |
|
|
188 |
|
|
76 |
|
|
Series 2355, Class BP, 6.000%, 09/15/16 |
|
|
82 |
|
|
86 |
|
|
Series 2360, Class PG, 6.000%, 09/15/16 |
|
|
93 |
|
|
73 |
|
|
Series 2366, Class MD, 6.000%, 10/15/16 |
|
|
79 |
|
|
126 |
|
|
Series 2391, Class QR, 5.500%, 12/15/16 |
|
|
137 |
|
|
101 |
|
|
Series 2410, Class NG, 6.500%, 02/15/32 |
|
|
111 |
|
|
142 |
|
|
Series 2410, Class OE, 6.375%, 02/15/32 |
|
|
155 |
|
|
56 |
|
|
Series 2410, Class QX, IF, IO, 8.384%, 02/15/32 |
|
|
10 |
|
|
281 |
|
|
Series 2412, Class SP, IF, 15.568%, 02/15/32 |
|
|
338 |
|
|
60 |
|
|
Series 2423, Class MC, 7.000%, 03/15/32 |
|
|
66 |
|
|
124 |
|
|
Series 2423, Class MT, 7.000%, 03/15/32 |
|
|
137 |
|
|
243 |
|
|
Series 2435, Class CJ, 6.500%, 04/15/32 |
|
|
271 |
|
|
247 |
|
|
Series 2435, Class VH, 6.000%, 07/15/19 |
|
|
252 |
|
|
188 |
|
|
Series 2441, Class GF, 6.500%, 04/15/32 |
|
|
208 |
|
|
148 |
|
|
Series 2444, Class ES, IF, IO, 7.684%, 03/15/32 |
|
|
29 |
|
|
172 |
|
|
Series 2450, Class GZ, 7.000%, 05/15/32 |
|
|
191 |
|
|
59 |
|
|
Series 2450, Class SW, IF, IO, 7.734%, 03/15/32 |
|
|
11 |
|
|
301 |
|
|
Series 2455, Class GK, 6.500%, 05/15/32 |
|
|
334 |
|
|
452 |
|
|
Series 2466, Class DH, 6.500%, 06/15/32 |
|
|
497 |
|
|
402 |
|
|
Series 2466, Class PG, 6.500%, 04/15/32 |
|
|
425 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
53 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
198 |
|
|
Series 2474, Class NR, 6.500%, 07/15/32 |
|
|
218 |
|
|
394 |
|
|
Series 2484, Class LZ, 6.500%, 07/15/32 |
|
|
455 |
|
|
607 |
|
|
Series 2500, Class MC, 6.000%, 09/15/32 |
|
|
663 |
|
|
607 |
|
|
Series 2512, Class PG, 5.500%, 10/15/22 |
|
|
667 |
|
|
3 |
|
|
Series 2519, Class BT, 8.500%, 09/15/31 |
|
|
3 |
|
|
148 |
|
|
Series 2535, Class BK, 5.500%, 12/15/22 |
|
|
162 |
|
|
335 |
|
|
Series 2537, Class TE, 5.500%, 12/15/17 |
|
|
364 |
|
|
675 |
|
|
Series 2543, Class YX, 6.000%, 12/15/32 |
|
|
740 |
|
|
7 |
|
|
Series 2565, Class MB, 6.000%, 05/15/30 |
|
|
7 |
|
|
1,000 |
|
|
Series 2568, Class KG, 5.500%, 02/15/23 |
|
|
1,085 |
|
|
810 |
|
|
Series 2575, Class ME, 6.000%, 02/15/33 |
|
|
888 |
|
|
116 |
|
|
Series 2586, Class WI, IO, 6.500%, 03/15/33 |
|
|
24 |
|
|
246 |
|
|
Series 2587, Class CO, PO, 03/15/32 |
|
|
239 |
|
|
184 |
|
|
Series 2594, Class VQ, 6.000%, 08/15/20 |
|
|
189 |
|
|
396 |
|
|
Series 2597, Class AD, 6.500%, 03/15/32 |
|
|
416 |
|
|
38 |
|
|
Series 2597, Class DS, IF, IO, 7.284%, 02/15/33 |
|
|
3 |
|
|
98 |
|
|
Series 2599, Class DS, IF, IO, 6.734%, 02/15/33 |
|
|
4 |
|
|
278 |
|
|
Series 2610, Class DS, IF, IO, 6.834%, 03/15/33 |
|
|
14 |
|
|
144 |
|
|
Series 2611, Class SH, IF, IO, 7.384%, 10/15/21 |
|
|
6 |
|
|
405 |
|
|
Series 2617, Class GR, 4.500%, 05/15/18 |
|
|
430 |
|
|
45 |
|
|
Series 2619, Class IM, IO, 5.000%, 10/15/21 |
|
|
1 |
|
|
300 |
|
|
Series 2622, Class PE, 4.500%, 05/15/18 |
|
|
319 |
|
|
549 |
|
|
Series 2628, Class WA, 4.000%, 07/15/28 |
|
|
556 |
|
|
202 |
|
|
Series 2631, Class LC, 4.500%, 06/15/18 |
|
|
214 |
|
|
202 |
|
|
Series 2640, Class VE, 3.250%, 07/15/22 |
|
|
208 |
|
|
4 |
|
|
Series 2643, Class HI, IO, 4.500%, 12/15/16 |
|
|
|
(h) |
|
351 |
|
|
Series 2651, Class VZ, 4.500%, 07/15/18 |
|
|
372 |
|
|
710 |
|
|
Series 2657, Class MD, 5.000%, 12/15/20 |
|
|
731 |
|
|
129 |
|
|
Series 2668, Class SB, IF, 6.964%, 10/15/15 |
|
|
131 |
|
|
202 |
|
|
Series 2672, Class ME, 5.000%, 11/15/22 |
|
|
217 |
|
|
506 |
|
|
Series 2675, Class CK, 4.000%, 09/15/18 |
|
|
533 |
|
|
221 |
|
|
Series 2682, Class YS, IF, 8.610%, 10/15/33 |
|
|
210 |
|
|
1,000 |
|
|
Series 2684, Class PO, PO, 01/15/33 |
|
|
884 |
|
|
75 |
|
|
Series 2684, Class TO, PO, 10/15/33 |
|
|
69 |
|
|
36 |
|
|
Series 2686, Class GB, 5.000%, 05/15/20 |
|
|
37 |
|
|
70 |
|
|
Series 2691, Class WS, IF, 8.601%, 10/15/33 |
|
|
66 |
|
|
870 |
|
|
Series 2695, Class DE, 4.000%, 01/15/17 |
|
|
892 |
|
|
111 |
|
|
Series 2705, Class SC, IF, 8.601%, 11/15/33 |
|
|
104 |
|
|
111 |
|
|
Series 2705, Class SD, IF, 8.658%, 11/15/33 |
|
|
102 |
|
|
40 |
|
|
Series 2744, Class FE, VAR, 02/15/34 |
|
|
39 |
|
|
385 |
|
|
Series 2744, Class TU, 5.500%, 05/15/32 |
|
|
415 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
77 |
|
|
Series 2755, Class PA, PO, 02/15/29 |
|
|
76 |
|
|
53 |
|
|
Series 2755, Class SA, IF, 13.669%, 05/15/30 |
|
|
60 |
|
|
81 |
|
|
Series 2776, Class SK, IF, 8.676%, 04/15/34 |
|
|
77 |
|
|
762 |
|
|
Series 2777, Class KO, PO, 02/15/33 |
|
|
693 |
|
|
300 |
|
|
Series 2802, Class MB, 5.500%, 11/15/31 |
|
|
316 |
|
|
114 |
|
|
Series 2815, Class YS, IF, 9.540%, 01/15/34 |
|
|
114 |
|
|
809 |
|
|
Series 2907, Class VC, 4.500%, 05/15/34 |
|
|
829 |
|
|
334 |
|
|
Series 2934, Class EC, PO, 02/15/20 |
|
|
311 |
|
|
271 |
|
|
Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 |
|
|
368 |
|
|
500 |
|
|
Series 2999, Class ND, 4.500%, 07/15/20 |
|
|
527 |
|
|
336 |
|
|
Series 3068, Class AO, PO, 01/15/35 |
|
|
322 |
|
|
381 |
|
|
Series 3117, Class EO, PO, 02/15/36 |
|
|
328 |
|
|
46 |
|
|
Series 3117, Class OK, PO, 02/15/36 |
|
|
40 |
|
|
614 |
|
|
Series 3122, Class OH, PO, 03/15/36 |
|
|
540 |
|
|
530 |
|
|
Series 3137, Class XP, 6.000%, 04/15/36 |
|
|
582 |
|
|
30 |
|
|
Series 3149, Class SO, PO, 05/15/36 |
|
|
23 |
|
|
621 |
|
|
Series 3152, Class MO, PO, 0.000%, 03/15/36 |
|
|
547 |
|
|
1,000 |
|
|
Series 3162, Class OB, 6.000%, 11/15/30 |
|
|
1,033 |
|
|
292 |
|
|
Series 3171, Class MO, PO, 06/15/36 |
|
|
251 |
|
|
291 |
|
|
Series 3179, Class OA, PO, 07/15/36 |
|
|
252 |
|
|
1,089 |
|
|
Series 3202, Class HI, IF, IO, 6.384%, 08/15/36 |
|
|
167 |
|
|
299 |
|
|
Series 3232, Class ST, IF, IO, 6.434%, 10/15/36 |
|
|
42 |
|
|
405 |
|
|
Series 3253, Class PO, PO, 12/15/21 |
|
|
385 |
|
|
616 |
|
|
Series 3481, Class SJ, IF, IO, 5.584%, 08/15/38 |
|
|
75 |
|
|
288 |
|
|
Series 3607, Class AO, PO, 04/15/36 |
|
|
216 |
|
|
306 |
|
|
Series 3607, Class EO, PO, 02/15/33 |
|
|
278 |
|
|
272 |
|
|
Series 3611, Class PO, PO, 07/15/34 |
|
|
238 |
|
|
958 |
|
|
Series 3666, Class VA, 5.500%, 12/15/22 |
|
|
1,048 |
|
|
972 |
|
|
Series 3680, Class MA, 4.500%, 07/15/39 |
|
|
1,011 |
|
|
147 |
|
|
Federal Home Loan Mortgage Corp. STRIPS, Series 243, Class 16, IO, 4.500%, 11/15/20 |
|
|
14 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
|
|
57 |
|
|
Series T-41, Class 3A, VAR, 7.500%, 07/25/32 |
|
|
66 |
|
|
49 |
|
|
Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
|
|
56 |
|
|
490 |
|
|
Series T-54, Class 2A, 6.500%, 02/25/43 |
|
|
567 |
|
|
170 |
|
|
Series T-54, Class 3A, 7.000%, 02/25/43 |
|
|
190 |
|
|
1,302 |
|
|
Series T-56, Class A5, 5.231%, 05/25/43 (f) (i) |
|
|
1,378 |
|
|
46 |
|
|
Series T-58, Class APO, PO, 09/25/43 |
|
|
38 |
|
|
356 |
|
|
Series T-76, Class 2A, VAR, 4.785%, 10/25/37 |
|
|
357 |
|
|
190 |
|
|
Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41 |
|
|
222 |
|
|
|
|
|
Federal National Mortgage Association REMICS, |
|
|
|
|
|
3 |
|
|
Series 1988-7, Class Z, 9.250%, 04/25/18 |
|
|
4 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
54 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
14 |
|
|
Series 1989-70, Class G, 8.000%, 10/25/19 |
|
|
16 |
|
|
7 |
|
|
Series 1989-78, Class H, 9.400%, 11/25/19 |
|
|
8 |
|
|
4 |
|
|
Series 1989-83, Class H, 8.500%, 11/25/19 |
|
|
5 |
|
|
5 |
|
|
Series 1989-89, Class H, 9.000%, 11/25/19 |
|
|
5 |
|
|
2 |
|
|
Series 1990-1, Class D, 8.800%, 01/25/20 |
|
|
2 |
|
|
3 |
|
|
Series 1990-7, Class B, 8.500%, 01/25/20 |
|
|
3 |
|
|
2 |
|
|
Series 1990-60, Class K, 5.500%, 06/25/20 |
|
|
2 |
|
|
3 |
|
|
Series 1990-63, Class H, 9.500%, 06/25/20 |
|
|
3 |
|
|
2 |
|
|
Series 1990-93, Class G, 5.500%, 08/25/20 |
|
|
2 |
|
|
|
(h) |
|
Series 1990-94, Class H, HB, 505.000%, 08/25/20 |
|
|
|
(h) |
|
|
(h) |
|
Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 |
|
|
1 |
|
|
15 |
|
|
Series 1990-102, Class J, 6.500%, 08/25/20 |
|
|
17 |
|
|
6 |
|
|
Series 1990-120, Class H, 9.000%, 10/25/20 |
|
|
6 |
|
|
1 |
|
|
Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 |
|
|
2 |
|
|
|
(h) |
|
Series 1990-140, Class K, HB, 652.145%, 12/25/20 |
|
|
1 |
|
|
|
(h) |
|
Series 1991-7, Class K, HB, 908.500%, 02/25/21 |
|
|
|
(h) |
|
7 |
|
|
Series 1991-42, Class S, IF, 17.183%, 05/25/21 |
|
|
9 |
|
|
114 |
|
|
Series 1992-107, Class SB, HB, IF, 29.236%, 06/25/22 |
|
|
187 |
|
|
8 |
|
|
Series 1992-143, Class MA, 5.500%, 09/25/22 |
|
|
8 |
|
|
53 |
|
|
Series 1993-25, Class J, 7.500%, 03/25/23 |
|
|
60 |
|
|
313 |
|
|
Series 1993-37, Class PX, 7.000%, 03/25/23 |
|
|
346 |
|
|
109 |
|
|
Series 1993-54, Class Z, 7.000%, 04/25/23 |
|
|
121 |
|
|
23 |
|
|
Series 1993-62, Class SA, IF, 17.015%, 04/25/23 |
|
|
31 |
|
|
30 |
|
|
Series 1993-122, Class M, 6.500%, 07/25/23 |
|
|
33 |
|
|
11 |
|
|
Series 1993-165, Class SD, IF, 11.657%, 09/25/23 |
|
|
14 |
|
|
48 |
|
|
Series 1993-178, Class PK, 6.500%, 09/25/23 |
|
|
53 |
|
|
921 |
|
|
Series 1993-183, Class KA, 6.500%, 10/25/23 |
|
|
1,015 |
|
|
372 |
|
|
Series 1993-189, Class PL, 6.500%, 10/25/23 |
|
|
411 |
|
|
32 |
|
|
Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 |
|
|
40 |
|
|
78 |
|
|
Series 1993-247, Class SA, HB, IF, 24.332%, 12/25/23 |
|
|
103 |
|
|
148 |
|
|
Series 1993-250, Class Z, 7.000%, 12/25/23 |
|
|
157 |
|
|
165 |
|
|
Series 1993-257, Class C, PO, 06/25/23 |
|
|
163 |
|
|
5 |
|
|
Series 1994-9, Class E, PO, 11/25/23 |
|
|
4 |
|
|
205 |
|
|
Series 1996-14, Class SE, IF, IO, 7.330%, 08/25/23 |
|
|
38 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
10 |
|
|
Series 1996-27, Class FC, VAR, 0.781%, 03/25/17 |
|
|
10 |
|
|
25 |
|
|
Series 1996-59, Class J, 6.500%, 08/25/22 |
|
|
28 |
|
|
62 |
|
|
Series 1996-59, Class K, 6.500%, 07/25/23 |
|
|
64 |
|
|
98 |
|
|
Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 |
|
|
4 |
|
|
101 |
|
|
Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
|
|
5 |
|
|
51 |
|
|
Series 1997-27, Class J, 7.500%, 04/18/27 |
|
|
56 |
|
|
46 |
|
|
Series 1997-29, Class J, 7.500%, 04/20/27 |
|
|
51 |
|
|
102 |
|
|
Series 1997-39, Class PD, 7.500%, 05/20/27 |
|
|
113 |
|
|
41 |
|
|
Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
|
|
9 |
|
|
6 |
|
|
Series 1998-4, Class C, PO, 04/25/23 |
|
|
5 |
|
|
68 |
|
|
Series 1998-36, Class ZB, 6.000%, 07/18/28 |
|
|
75 |
|
|
474 |
|
|
Series 1998-43, Class EA, PO, 04/25/23 |
|
|
424 |
|
|
244 |
|
|
Series 2000-2, Class ZE, 7.500%, 02/25/30 |
|
|
274 |
|
|
100 |
|
|
Series 2001-4, Class PC, 7.000%, 03/25/21 |
|
|
108 |
|
|
75 |
|
|
Series 2001-5, Class OW, 6.000%, 03/25/16 |
|
|
79 |
|
|
273 |
|
|
Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
|
|
53 |
|
|
215 |
|
|
Series 2001-36, Class DE, 7.000%, 08/25/31 |
|
|
240 |
|
|
60 |
|
|
Series 2001-44, Class PD, 7.000%, 09/25/31 |
|
|
67 |
|
|
393 |
|
|
Series 2001-48, Class Z, 6.500%, 09/25/21 |
|
|
436 |
|
|
64 |
|
|
Series 2001-49, Class Z, 6.500%, 09/25/31 |
|
|
70 |
|
|
160 |
|
|
Series 2001-71, Class MB, 6.000%, 12/25/16 |
|
|
173 |
|
|
205 |
|
|
Series 2001-71, Class QE, 6.000%, 12/25/16 |
|
|
220 |
|
|
1,131 |
|
|
Series 2001-74, Class MB, 6.000%, 12/25/16 |
|
|
1,218 |
|
|
51 |
|
|
Series 2001-80, Class PE, 6.000%, 07/25/29 |
|
|
52 |
|
|
48 |
|
|
Series 2001-81, Class LO, PO, 01/25/32 |
|
|
44 |
|
|
131 |
|
|
Series 2002-1, Class HC, 6.500%, 02/25/22 |
|
|
139 |
|
|
52 |
|
|
Series 2002-1, Class SA, HB, IF, 24.338%, 02/25/32 |
|
|
74 |
|
|
92 |
|
|
Series 2002-2, Class UC, 6.000%, 02/25/17 |
|
|
99 |
|
|
197 |
|
|
Series 2002-3, Class OG, 6.000%, 02/25/17 |
|
|
212 |
|
|
467 |
|
|
Series 2002-18, Class PC, 5.500%, 04/25/17 |
|
|
492 |
|
|
169 |
|
|
Series 2002-21, Class PE, 6.500%, 04/25/32 |
|
|
186 |
|
|
331 |
|
|
Series 2002-24, Class AJ, 6.000%, 04/25/17 |
|
|
360 |
|
|
156 |
|
|
Series 2002-28, Class PK, 6.500%, 05/25/32 |
|
|
172 |
|
|
223 |
|
|
Series 2002-37, Class Z, 6.500%, 06/25/32 |
|
|
246 |
|
|
442 |
|
|
Series 2002-84, Class VB, 5.500%, 04/25/15 |
|
|
476 |
|
|
20 |
|
|
Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
|
|
1 |
|
|
405 |
|
|
Series 2002-94, Class BK, 5.500%, 01/25/18 |
|
|
443 |
|
|
202 |
|
|
Series 2003-22, Class UD, 4.000%, 04/25/33 |
|
|
200 |
|
|
162 |
|
|
Series 2003-34, Class GB, 6.000%, 03/25/33 |
|
|
176 |
|
|
304 |
|
|
Series 2003-34, Class GE, 6.000%, 05/25/33 |
|
|
335 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
55 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
41 |
|
|
Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
|
|
8 |
|
|
405 |
|
|
Series 2003-47, Class PE, 5.750%, 06/25/33 |
|
|
437 |
|
|
103 |
|
|
Series 2003-52, Class SX, HB, IF, 22.165%, 10/25/31 |
|
|
144 |
|
|
141 |
|
|
Series 2003-64, Class SX, IF, 13.100%, 07/25/33 |
|
|
153 |
|
|
370 |
|
|
Series 2003-71, Class DS, IF, 7.120%, 08/25/33 |
|
|
348 |
|
|
416 |
|
|
Series 2003-73, Class GA, 3.500%, 05/25/31 |
|
|
431 |
|
|
491 |
|
|
Series 2003-80, Class SY, IF, IO, 7.388%, 06/25/23 |
|
|
53 |
|
|
405 |
|
|
Series 2003-83, Class PG, 5.000%, 06/25/23 |
|
|
432 |
|
|
68 |
|
|
Series 2003-91, Class SD, IF, 12.064%, 09/25/33 |
|
|
74 |
|
|
183 |
|
|
Series 2003-106, Class US, IF, 8.683%, 11/25/23 |
|
|
181 |
|
|
471 |
|
|
Series 2003-116, Class SB, IF, IO, 7.338%, 11/25/33 |
|
|
90 |
|
|
96 |
|
|
Series 2003-128, Class KE, 4.500%, 01/25/14 |
|
|
100 |
|
|
500 |
|
|
Series 2003-128, Class NG, 4.000%, 01/25/19 |
|
|
528 |
|
|
126 |
|
|
Series 2003-130, Class SX, IF, 11.128%, 01/25/34 |
|
|
139 |
|
|
169 |
|
|
Series 2004-14, Class SD, IF, 8.683%, 03/25/34 |
|
|
160 |
|
|
1,000 |
|
|
Series 2004-21, Class AE, 4.000%, 04/25/19 |
|
|
1,047 |
|
|
46 |
|
|
Series 2004-21, Class CO, PO, 04/25/34 |
|
|
41 |
|
|
405 |
|
|
Series 2004-25, Class PC, 5.500%, 01/25/34 |
|
|
447 |
|
|
354 |
|
|
Series 2004-25, Class SA, IF, 18.806%, 04/25/34 |
|
|
440 |
|
|
263 |
|
|
Series 2004-36, Class PC, 5.500%, 02/25/34 |
|
|
290 |
|
|
256 |
|
|
Series 2004-36, Class SA, IF, 18.806%, 05/25/34 |
|
|
319 |
|
|
197 |
|
|
Series 2004-46, Class SK, IF, 15.781%, 05/25/34 |
|
|
236 |
|
|
109 |
|
|
Series 2004-61, Class CO, PO, 10/25/31 |
|
|
108 |
|
|
150 |
|
|
Series 2004-61, Class SH, HB, IF, 22.942%, 11/25/32 |
|
|
217 |
|
|
191 |
|
|
Series 2004-74, Class SW, IF, 14.974%, 11/25/31 |
|
|
230 |
|
|
287 |
|
|
Series 2004-76, Class CL, 4.000%, 10/25/19 |
|
|
302 |
|
|
1,750 |
|
|
Series 2004-86, Class AE, 4.500%, 02/25/32 |
|
|
1,836 |
|
|
117 |
|
|
Series 2005-40, Class YA, 5.000%, 09/25/20 |
|
|
121 |
|
|
243 |
|
|
Series 2005-45, Class DC, HB, IF, 23.351%, 06/25/35 |
|
|
332 |
|
|
179 |
|
|
Series 2005-52, Class PA, 6.500%, 06/25/35 |
|
|
194 |
|
|
247 |
|
|
Series 2005-56, Class S, IF, IO, 6.449%, 07/25/35 |
|
|
42 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
434 |
|
|
Series 2005-56, Class TP, IF, 17.366%, 08/25/33 |
|
|
529 |
|
|
1,333 |
|
|
Series 2005-68, Class PG, 5.500%, 08/25/35 |
|
|
1,458 |
|
|
504 |
|
|
Series 2005-73, Class PS, IF, 16.046%, 08/25/35 |
|
|
611 |
|
|
235 |
|
|
Series 2005-74, Class CS, IF, 19.301%, 05/25/35 |
|
|
293 |
|
|
470 |
|
|
Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 |
|
|
651 |
|
|
608 |
|
|
Series 2006-27, Class OH, PO, 04/25/36 |
|
|
547 |
|
|
667 |
|
|
Series 2006-43, Class VB, 6.500%, 10/25/17 |
|
|
718 |
|
|
256 |
|
|
Series 2006-44, Class P, PO, 12/25/33 |
|
|
226 |
|
|
571 |
|
|
Series 2006-59, Class QO, PO, 01/25/33 |
|
|
513 |
|
|
212 |
|
|
Series 2006-65, Class QO, PO, 07/25/36 |
|
|
183 |
|
|
317 |
|
|
Series 2006-72, Class GO, PO, 08/25/36 |
|
|
280 |
|
|
500 |
|
|
Series 2006-77, Class PC, 6.500%, 08/25/36 |
|
|
558 |
|
|
251 |
|
|
Series 2006-79, Class DO, PO, 08/25/36 |
|
|
217 |
|
|
585 |
|
|
Series 2006-110, Class PO, PO, 11/25/36 |
|
|
511 |
|
|
1,000 |
|
|
Series 2006-124, Class HB, VAR, 5.969%, 11/25/36 |
|
|
1,089 |
|
|
462 |
|
|
Series 2007-14, Class ES, IF, IO, 6.179%, 03/25/37 |
|
|
66 |
|
|
269 |
|
|
Series 2007-79, Class SB, HB, IF, 23.058%, 08/25/37 |
|
|
337 |
|
|
500 |
|
|
Series 2007-81, Class GE, 6.000%, 08/25/37 |
|
|
543 |
|
|
135 |
|
|
Series 2007-83, Class PA, 6.000%, 03/25/29 |
|
|
135 |
|
|
1,525 |
|
|
Series 2007-84, Class PD, 6.000%, 08/25/32 |
|
|
1,598 |
|
|
460 |
|
|
Series 2007-88, Class VI, IF, IO, 6.279%, 09/25/37 |
|
|
68 |
|
|
1,236 |
|
|
Series 2007-91, Class ES, IF, IO, 6.199%, 10/25/37 |
|
|
174 |
|
|
129 |
|
|
Series 2007-97, Class MS, IF, 14.187%, 12/25/31 |
|
|
139 |
|
|
346 |
|
|
Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 |
|
|
361 |
|
|
313 |
|
|
Series 2007-116, Class HI, IO, VAR, 6.323%, 01/25/38 |
|
|
27 |
|
|
217 |
|
|
Series 2008-10, Class XI, IF, IO, 5.969%, 03/25/38 |
|
|
28 |
|
|
297 |
|
|
Series 2008-16, Class IS, IF, IO, 5.938%, 03/25/38 |
|
|
40 |
|
|
273 |
|
|
Series 2008-28, Class QS, IF, 19.915%, 04/25/38 |
|
|
350 |
|
|
372 |
|
|
Series 2008-46, Class HI, IO, VAR, 6.659%, 06/25/38 |
|
|
35 |
|
|
141 |
|
|
Series 2008-66, Class GD, 6.000%, 06/25/30 |
|
|
147 |
|
|
332 |
|
|
Series 2009-69, Class PO, PO, 09/25/39 |
|
|
288 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
56 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
758 |
|
|
Series 2009-71, Class BC, 4.500%, 09/25/24 |
|
|
778 |
|
|
599 |
|
|
Series 2009-103, Class MB, 4.000%, 12/25/39 |
|
|
631 |
|
|
1,469 |
|
|
Series 2010-133, Class A, 5.500%, 05/25/38 |
|
|
1,575 |
|
|
5 |
|
|
Series G-14, Class L, 8.500%, 06/25/21 |
|
|
6 |
|
|
23 |
|
|
Series G-18, Class Z, 8.750%, 06/25/21 |
|
|
28 |
|
|
6 |
|
|
Series G-22, Class G, 6.000%, 12/25/16 |
|
|
7 |
|
|
17 |
|
|
Series G-35, Class M, 8.750%, 10/25/21 |
|
|
20 |
|
|
70 |
|
|
Series G92-35, Class E, 7.500%, 07/25/22 |
|
|
77 |
|
|
4 |
|
|
Series G92-42, Class Z, 7.000%, 07/25/22 |
|
|
5 |
|
|
84 |
|
|
Series G92-44, Class ZQ, 8.000%, 07/25/22 |
|
|
103 |
|
|
74 |
|
|
Series G92-54, Class ZQ, 7.500%, 09/25/22 |
|
|
83 |
|
|
16 |
|
|
Series G93-5, Class Z, 6.500%, 02/25/23 |
|
|
17 |
|
|
19 |
|
|
Series G95-1, Class C, 8.800%, 01/25/25 |
|
|
22 |
|
|
|
|
|
Federal National Mortgage Association STRIPS, |
|
|
|
|
|
1 |
|
|
Series 50, Class 2, IO, 10.500%, 03/01/19 |
|
|
|
(h) |
|
5 |
|
|
Series 218, Class 2, IO, 7.500%, 04/01/23 |
|
|
1 |
|
|
58 |
|
|
Series 329, Class 1, PO, 01/01/33 |
|
|
50 |
|
|
|
|
|
Federal National Mortgage Association Whole Loan, |
|
|
|
|
|
229 |
|
|
Series 2003-W1, Class 1A1, 6.500%, 12/25/42 |
|
|
265 |
|
|
65 |
|
|
Series 2003-W4, Class 2A, 6.500%, 10/25/42 |
|
|
75 |
|
|
168 |
|
|
Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
|
|
200 |
|
|
135 |
|
|
Series 2007-W7, Class 1A4, HB, IF, 37.611%, 07/25/37 |
|
|
202 |
|
|
|
|
|
Government National Mortgage Association, |
|
|
|
|
|
59 |
|
|
Series 1994-3, Class PQ, 7.488%, 07/16/24 |
|
|
63 |
|
|
199 |
|
|
Series 1994-4, Class KQ, 7.988%, 07/16/24 |
|
|
226 |
|
|
386 |
|
|
Series 1994-7, Class PQ, 6.500%, 10/16/24 |
|
|
446 |
|
|
87 |
|
|
Series 1995-3, Class DQ, 8.050%, 06/16/25 |
|
|
99 |
|
|
22 |
|
|
Series 1995-7, Class CQ, 7.500%, 09/16/25 |
|
|
24 |
|
|
174 |
|
|
Series 1996-16, Class E, 7.500%, 08/16/26 |
|
|
195 |
|
|
35 |
|
|
Series 1998-26, Class K, 7.500%, 09/17/25 |
|
|
39 |
|
|
503 |
|
|
Series 1999-10, Class ZC, 6.500%, 04/20/29 |
|
|
559 |
|
|
60 |
|
|
Series 1999-30, Class S, IF, IO, 8.335%, 08/16/29 |
|
|
9 |
|
|
54 |
|
|
Series 1999-41, Class Z, 8.000%, 11/16/29 |
|
|
62 |
|
|
45 |
|
|
Series 1999-44, Class PC, 7.500%, 12/20/29 |
|
|
51 |
|
|
103 |
|
|
Series 2000-6, Class Z, 7.500%, 02/20/30 |
|
|
114 |
|
|
19 |
|
|
Series 2000-9, Class Z, 8.000%, 06/20/30 |
|
|
22 |
|
|
443 |
|
|
Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
|
|
502 |
|
|
172 |
|
|
Series 2000-14, Class PD, 7.000%, 02/16/30 |
|
|
187 |
|
|
48 |
|
|
Series 2000-16, Class ZN, 7.500%, 02/16/30 |
|
|
51 |
|
|
257 |
|
|
Series 2000-37, Class B, 8.000%, 12/20/30 |
|
|
294 |
|
|
21 |
|
|
Series 2000-38, Class AH, 7.150%, 12/20/30 |
|
|
24 |
|
|
144 |
|
|
Series 2001-7, Class PK, 6.500%, 03/20/31 |
|
|
156 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
8 |
|
|
Series 2001-32, Class WA, IF, 19.468%, 07/20/31 |
|
|
12 |
|
|
302 |
|
|
Series 2001-64, Class MQ, 6.500%, 12/20/31 |
|
|
321 |
|
|
53 |
|
|
Series 2002-7, Class PG, 6.500%, 01/20/32 |
|
|
61 |
|
|
68 |
|
|
Series 2002-31, Class S, IF, IO, 8.435%, 01/16/31 |
|
|
16 |
|
|
205 |
|
|
Series 2002-40, Class UK, 6.500%, 06/20/32 |
|
|
228 |
|
|
199 |
|
|
Series 2002-47, Class PG, 6.500%, 07/16/32 |
|
|
231 |
|
|
257 |
|
|
Series 2002-47, Class PY, 6.000%, 07/20/32 |
|
|
282 |
|
|
244 |
|
|
Series 2002-47, Class ZA, 6.500%, 07/20/32 |
|
|
271 |
|
|
20 |
|
|
Series 2002-51, Class SG, HB, IF, 31.360%, 04/20/31 |
|
|
32 |
|
|
115 |
|
|
Series 2002-54, Class GB, 6.500%, 08/20/32 |
|
|
128 |
|
|
97 |
|
|
Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
|
|
7 |
|
|
128 |
|
|
Series 2003-4, Class NY, 5.500%, 12/20/13 |
|
|
135 |
|
|
43 |
|
|
Series 2003-24, Class PO, PO, 03/16/33 |
|
|
38 |
|
|
304 |
|
|
Series 2003-40, Class TJ, 6.500%, 03/20/33 |
|
|
344 |
|
|
193 |
|
|
Series 2003-52, Class AP, PO, 06/16/33 |
|
|
172 |
|
|
42 |
|
|
Series 2004-28, Class S, IF, 18.934%, 04/16/34 |
|
|
53 |
|
|
80 |
|
|
Series 2004-68, Class PO, PO, 05/20/31 |
|
|
79 |
|
|
169 |
|
|
Series 2004-71, Class SB, HB, IF, 28.173%, 09/20/34 |
|
|
248 |
|
|
84 |
|
|
Series 2004-73, Class AE, IF, 14.311%, 08/17/34 |
|
|
99 |
|
|
821 |
|
|
Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 |
|
|
106 |
|
|
245 |
|
|
Series 2005-68, Class DP, IF, 15.798%, 06/17/35 |
|
|
299 |
|
|
1,677 |
|
|
Series 2005-68, Class KI, IF, IO, 6.037%, 09/20/35 |
|
|
216 |
|
|
197 |
|
|
Series 2006-59, Class SD, IF, IO, 6.437%, 10/20/36 |
|
|
27 |
|
|
663 |
|
|
Series 2007-17, Class JI, IF, IO, 6.545%, 04/16/37 |
|
|
96 |
|
|
829 |
|
|
Series 2007-27, Class SA, IF, IO, 5.937%, 05/20/37 |
|
|
95 |
|
|
1,331 |
|
|
Series 2007-40, Class SB, IF, IO, 6.487%, 07/20/37 |
|
|
189 |
|
|
860 |
|
|
Series 2007-45, Class QA, IF, IO, 6.377%, 07/20/37 |
|
|
121 |
|
|
378 |
|
|
Series 2007-49, Class NO, PO, 12/20/35 |
|
|
365 |
|
|
1,046 |
|
|
Series 2007-50, Class AI, IF, IO, 6.512%, 08/20/37 |
|
|
140 |
|
|
195 |
|
|
Series 2007-53, Class ES, IF, IO, 6.287%, 09/20/37 |
|
|
28 |
|
|
262 |
|
|
Series 2007-53, Class SW, IF, 19.416%, 09/20/37 |
|
|
325 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
57 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Agency CMO Continued |
|
|
|
|
|
518 |
|
|
Series 2007-57, Class QA, IF, IO, 6.237%, 10/20/37 |
|
|
67 |
|
|
367 |
|
|
Series 2007-71, Class SB, IF, IO, 6.437%, 07/20/36 |
|
|
46 |
|
|
503 |
|
|
Series 2007-72, Class US, IF, IO, 6.287%, 11/20/37 |
|
|
69 |
|
|
503 |
|
|
Series 2007-76, Class SA, IF, IO, 6.267%, 11/20/37 |
|
|
68 |
|
|
132 |
|
|
Series 2008-25, Class SB, IF, IO, 6.637%, 03/20/38 |
|
|
17 |
|
|
281 |
|
|
Series 2008-33, Class XS, IF, IO, 7.435%, 04/16/38 |
|
|
39 |
|
|
545 |
|
|
Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 |
|
|
90 |
|
|
500 |
|
|
Series 2008-50, Class KB, 6.000%, 06/20/38 |
|
|
552 |
|
|
713 |
|
|
Series 2008-55, Class SA, IF, IO, 5.937%, 06/20/38 |
|
|
84 |
|
|
621 |
|
|
Series 2008-93, Class AS, IF, IO, 5.437%, 12/20/38 |
|
|
68 |
|
|
281 |
|
|
Series 2009-6, Class SA, IF, IO, 5.835%, 02/16/39 |
|
|
32 |
|
|
287 |
|
|
Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
|
|
44 |
|
|
1,090 |
|
|
Series 2009-22, Class SA, IF, IO, 6.007%, 04/20/39 |
|
|
122 |
|
|
1,101 |
|
|
Series 2009-31, Class ST, IF, IO, 6.087%, 03/20/39 |
|
|
126 |
|
|
1,101 |
|
|
Series 2009-31, Class TS, IF, IO, 6.037%, 03/20/39 |
|
|
123 |
|
|
656 |
|
|
Series 2009-79, Class OK, PO, 11/16/37 |
|
|
574 |
|
|
1,388 |
|
|
Series 2009-106, Class ST, IF, IO, 5.737%, 02/20/38 |
|
|
147 |
|
|
408 |
|
|
Series 2010-14, Class AO, PO, 12/20/32 |
|
|
361 |
|
|
462 |
|
|
Series 2010-130, Class CP, 7.000%, 10/16/40 |
|
|
515 |
|
|
|
|
|
NCUA Guaranteed Notes, |
|
|
|
|
|
1,162 |
|
|
Series 2010-C1, Class APT, 2.650%, 10/29/20 |
|
|
1,130 |
|
|
259 |
|
|
Series 2010-R3, Class 3A, 2.400%, 12/08/20 |
|
|
253 |
|
|
|
|
|
Vendee Mortgage Trust, |
|
|
|
|
|
944 |
|
|
Series 1993-1, Class ZB, 7.250%, 02/15/23 |
|
|
1,074 |
|
|
377 |
|
|
Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 |
|
|
404 |
|
|
536 |
|
|
Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
|
|
603 |
|
|
180 |
|
|
Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
|
|
203 |
|
|
706 |
|
|
Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
|
|
812 |
|
|
179 |
|
|
Series 1998-1, Class 2E, 7.000%, 03/15/28 |
|
|
206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
90,359 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO 5.2% |
|
|
53 |
|
|
ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 |
|
|
54 |
|
|
|
|
|
American General Mortgage Loan Trust, |
|
|
|
|
|
350 |
|
|
Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) |
|
|
367 |
|
|
200 |
|
|
Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) |
|
|
212 |
|
|
400 |
|
|
Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) |
|
|
409 |
|
|
|
|
|
ASG Resecuritization Trust, |
|
|
|
|
|
308 |
|
|
Series 2009-1, Class A60, VAR, 5.348%, 06/26/37 (e) |
|
|
312 |
|
|
362 |
|
|
Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) |
|
|
371 |
|
|
681 |
|
|
Series 2009-3, Class A65, VAR, 5.374%, 03/26/37 (e) |
|
|
692 |
|
|
|
|
|
Banc of America Alternative Loan Trust, |
|
|
|
|
|
260 |
|
|
Series 2003-7, Class 2A4, 5.000%, 09/25/18 |
|
|
263 |
|
|
196 |
|
|
Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
|
|
199 |
|
|
64 |
|
|
Series 2003-11, Class PO, PO, 01/25/34 |
|
|
45 |
|
|
|
|
|
Banc of America Funding Corp., |
|
|
|
|
|
76 |
|
|
Series 2004-1, Class PO, PO, 03/25/34 |
|
|
61 |
|
|
70 |
|
|
Series 2004-3, Class 1A7, 5.500%, 10/25/34 |
|
|
70 |
|
|
|
|
|
Banc of America Mortgage Securities, Inc., |
|
|
|
|
|
48 |
|
|
Series 2003-8, Class APO, PO, 11/25/33 |
|
|
35 |
|
|
124 |
|
|
Series 2004-1, Class APO, PO, 02/25/34 |
|
|
91 |
|
|
200 |
|
|
Series 2004-3, Class 1A26, 5.500%, 04/25/34 |
|
|
205 |
|
|
85 |
|
|
Series 2004-6, Class APO, PO, 07/25/34 |
|
|
61 |
|
|
898 |
|
|
BCAP LLC Trust, Series 2010-RR7, Class 2A1, VAR, 5.452%, 07/26/45 (e) |
|
|
896 |
|
|
223 |
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A1, VAR, 2.290%, 08/25/35 |
|
|
215 |
|
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
|
72 |
|
|
Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
|
|
72 |
|
|
177 |
|
|
Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
|
|
183 |
|
|
26 |
|
|
Series 2003-UST1, Class PO1, PO, 12/25/18 |
|
|
22 |
|
|
24 |
|
|
Series 2003-UST1, Class PO3, PO, 12/25/18 |
|
|
21 |
|
|
327 |
|
|
Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 |
|
|
321 |
|
|
|
|
|
Countrywide Alternative Loan Trust, |
|
|
|
|
|
363 |
|
|
Series 2002-8, Class A4, 6.500%, 07/25/32 |
|
|
359 |
|
|
1,501 |
|
|
Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
|
|
1,508 |
|
|
308 |
|
|
Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
|
|
310 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
58 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
55 |
|
|
Series 2005-26CB, Class A10, IF, 12.576%, 07/25/35 |
|
|
55 |
|
|
500 |
|
|
Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
|
|
428 |
|
|
300 |
|
|
Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) |
|
|
126 |
|
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, |
|
|
|
|
|
373 |
|
|
Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
|
|
357 |
|
|
72 |
|
|
Series 2003-J13, Class PO, PO, 01/25/34 |
|
|
44 |
|
|
129 |
|
|
Series 2003-J7, Class 4A3, IF, 9.435%, 08/25/18 |
|
|
122 |
|
|
172 |
|
|
Series 2004-5, Class 1A4, 5.500%, 06/25/34 |
|
|
179 |
|
|
50 |
|
|
Series 2004-HYB3, Class 2A, VAR, 2.649%, 06/20/34 |
|
|
43 |
|
|
504 |
|
|
Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 |
|
|
405 |
|
|
249 |
|
|
Series 2005-R1, Class 2APO, PO, 03/25/35 (e) |
|
|
179 |
|
|
162 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2010-15R, Class 7A1, VAR, 5.340%, 10/26/37 (e) |
|
|
164 |
|
|
227 |
|
|
CS First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18 |
|
|
233 |
|
|
398 |
|
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 1A1, VAR, 5.295%, 06/25/20 |
|
|
377 |
|
|
71 |
|
|
Deutsche Mortgage Securities, Inc., Series 2004-1, Class 2APO, PO, 10/25/18 |
|
|
60 |
|
|
|
|
|
First Horizon Asset Securities, Inc., |
|
|
|
|
|
132 |
|
|
Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 |
|
|
131 |
|
|
202 |
|
|
Series 2004-AR7, Class 2A2, VAR, 2.742%, 02/25/35 |
|
|
186 |
|
|
276 |
|
|
Series 2005-AR1, Class 2A2, VAR, 2.801%, 04/25/35 |
|
|
271 |
|
|
500 |
|
|
GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36 |
|
|
454 |
|
|
62 |
|
|
Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33 |
|
|
45 |
|
|
430 |
|
|
Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.279%, 08/25/35 |
|
|
4 |
|
|
163 |
|
|
JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 |
|
|
162 |
|
|
|
|
|
MASTR Adjustable Rate Mortgages Trust, |
|
|
|
|
|
71 |
|
|
Series 2004-3, Class 4A2, VAR, 2.287%, 04/25/34 |
|
|
64 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO Continued |
|
|
193 |
|
|
Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 |
|
|
188 |
|
|
181 |
|
|
Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 |
|
|
183 |
|
|
|
|
|
MASTR Alternative Loans Trust, |
|
|
|
|
|
371 |
|
|
Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
|
|
368 |
|
|
1,118 |
|
|
Series 2004-4, Class 10A1, 5.000%, 05/25/24 |
|
|
1,139 |
|
|
50 |
|
|
Series 2004-7, Class 30PO, PO, 08/25/34 |
|
|
36 |
|
|
96 |
|
|
Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
|
|
97 |
|
|
397 |
|
|
Series 2005-6, Class 3A1, 5.500%, 11/25/20 |
|
|
385 |
|
|
|
|
|
MASTR Asset Securitization Trust, |
|
|
|
|
|
300 |
|
|
Series 2003-2, Class 1A1, 5.000%, 03/25/18 |
|
|
306 |
|
|
49 |
|
|
Series 2004-8, Class PO, PO, 08/25/19 |
|
|
40 |
|
|
290 |
|
|
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
|
|
197 |
|
|
72 |
|
|
MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.581%, 02/25/35 |
|
|
56 |
|
|
|
|
|
Nomura Asset Acceptance Corp., |
|
|
|
|
|
124 |
|
|
Series 2003-A1, Class A1, 5.500%, 05/25/33 |
|
|
128 |
|
|
43 |
|
|
Series 2003-A1, Class A2, 6.000%, 05/25/33 |
|
|
45 |
|
|
13 |
|
|
Series 2003-A1, Class A5, 7.000%, 04/25/33 |
|
|
14 |
|
|
101 |
|
|
Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
|
|
103 |
|
|
|
(h) |
|
Paine Webber CMO Trust, Series H, Class 4, 8.750%, 04/01/18 |
|
|
|
(h) |
|
|
|
|
Residential Accredit Loans, Inc., |
|
|
|
|
|
101 |
|
|
Series 2002-QS16, Class A3, IF, 16.076%, 10/25/17 |
|
|
110 |
|
|
513 |
|
|
Series 2002-QS8, Class A5, 6.250%, 06/25/17 |
|
|
522 |
|
|
124 |
|
|
Series 2003-QS3, Class A2, IF, 15.925%, 02/25/18 |
|
|
134 |
|
|
500 |
|
|
Series 2003-QS9, Class A3, IF, IO, 7.288%, 05/25/18 |
|
|
71 |
|
|
445 |
|
|
Series 2004-QS3, Class CB, 5.000%, 03/25/19 |
|
|
466 |
|
|
71 |
|
|
Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
|
|
71 |
|
|
59 |
|
|
Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19 |
|
|
61 |
|
|
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
|
|
|
|
178 |
|
|
Series 2003-HYB1, Class A, VAR, 3.199%, 09/25/33 |
|
|
181 |
|
|
26 |
|
|
Series 2003-UP2, Class PO1, PO, 12/25/18 |
|
|
19 |
|
|
|
|
|
Structured Asset Securities Corp., |
|
|
|
|
|
229 |
|
|
Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
|
|
233 |
|
|
229 |
|
|
Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
|
|
225 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
59 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations Continued |
|
|
|
|
|
Non-Agency CMO Continued |
|
|
|
|
|
WaMu Mortgage Pass-Through Certificates, |
|
|
|
|
|
191 |
|
|
Series 2002-S8, Class 2A7, 5.250%, 01/25/18 |
|
|
196 |
|
|
50 |
|
|
Series 2003-S10, Class A6, PO, 10/25/18 |
|
|
50 |
|
|
62 |
|
|
Series 2003-S11, Class 2A5, IF, 16.331%, 11/25/33 |
|
|
65 |
|
|
150 |
|
|
Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 |
|
|
147 |
|
|
384 |
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 |
|
|
336 |
|
|
|
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, |
|
|
|
|
|
131 |
|
|
Series 2003-MS2, Class 1A1, 5.750%, 02/25/33 |
|
|
133 |
|
|
34 |
|
|
Series 2003-MS7, Class P, PO, 03/25/33 |
|
|
26 |
|
|
|
|
|
Wells Fargo Mortgage-Backed Securities Trust, |
|
|
|
|
|
62 |
|
|
Series 2003-11, Class 1APO, PO, 10/25/18 |
|
|
52 |
|
|
253 |
|
|
Series 2003-13, Class A7, 4.500%, 11/25/18 |
|
|
257 |
|
|
253 |
|
|
Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
|
|
261 |
|
|
214 |
|
|
Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 |
|
|
215 |
|
|
104 |
|
|
Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
|
|
109 |
|
|
260 |
|
|
Series 2004-BB, Class A4, VAR, 2.746%, 01/25/35 |
|
|
261 |
|
|
199 |
|
|
Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 |
|
|
199 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations (Cost $104,319) |
|
|
109,487 |
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 1.3% |
|
|
|
|
|
Banc of America Commercial Mortgage, Inc., |
|
|
|
|
|
150 |
|
|
Series 2005-3, Class AM, 4.727%, 07/10/43 |
|
|
155 |
|
|
486 |
|
|
Series 2005-6, Class ASB, VAR, 5.195%, 09/10/47 |
|
|
514 |
|
|
50 |
|
|
Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
|
|
54 |
|
|
300 |
|
|
Series 2006-4, Class A4, 5.634%, 07/10/46 |
|
|
326 |
|
|
|
|
|
Bear Stearns Commercial Mortgage Securities, |
|
|
|
|
|
267 |
|
|
Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 |
|
|
278 |
|
|
360 |
|
|
Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 |
|
|
393 |
|
|
143 |
|
|
Series 2006-PW14, Class A1, 5.044%, 12/11/38 |
|
|
144 |
|
|
70 |
|
|
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 |
|
|
70 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
300 |
|
|
GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 |
|
|
319 |
|
|
50 |
|
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 |
|
|
54 |
|
|
431 |
|
|
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 |
|
|
450 |
|
|
13 |
|
|
Morgan Stanley Capital I, Series 2006-T23, Class A1, 5.682%, 08/12/41 |
|
|
13 |
|
|
400 |
|
|
Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) |
|
|
425 |
|
|
1,000 |
|
|
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 |
|
|
1,088 |
|
|
612 |
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 |
|
|
614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities (Cost $4,589) |
|
|
4,897 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds 18.0% |
|
|
|
|
|
Consumer Discretionary 1.1% |
|
|
|
|
|
Automobiles 0.0% (g) |
|
|
100 |
|
|
Daimler Finance North America LLC, 7.300%, 01/15/12 |
|
|
105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 0.1% |
|
|
150 |
|
|
McDonald's Corp., 4.300%, 03/01/13 |
|
|
159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables 0.0% (g) |
|
|
50 |
|
|
Newell Rubbermaid, Inc., 4.700%, 08/15/20 |
|
|
50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 0.8% |
|
|
|
|
|
CBS Corp., |
|
|
|
|
|
25 |
|
|
5.750%, 04/15/20 |
|
|
27 |
|
|
135 |
|
|
8.875%, 05/15/19 |
|
|
170 |
|
|
200 |
|
|
Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 |
|
|
227 |
|
|
749 |
|
|
Comcast Cable Holdings LLC, 9.800%, 02/01/12 |
|
|
809 |
|
|
|
|
|
Comcast Corp., |
|
|
|
|
|
121 |
|
|
5.500%, 03/15/11 |
|
|
121 |
|
|
100 |
|
|
5.900%, 03/15/16 |
|
|
111 |
|
|
50 |
|
|
Cox Communications, Inc., 5.450%, 12/15/14 |
|
|
55 |
|
|
150 |
|
|
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 4.600%, 02/15/21 |
|
|
147 |
|
|
100 |
|
|
News America Holdings, Inc., 7.700%, 10/30/25 |
|
|
119 |
|
|
100 |
|
|
News America, Inc., 7.250%, 05/18/18 |
|
|
120 |
|
|
60 |
|
|
Thomson Reuters Corp., (Canada), 4.700%, 10/15/19 |
|
|
63 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
60 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Media Continued |
|
|
|
|
|
Time Warner Cable, Inc., |
|
|
|
|
|
100 |
|
|
5.850%, 05/01/17 |
|
|
110 |
|
|
50 |
|
|
6.750%, 07/01/18 |
|
|
57 |
|
|
100 |
|
|
8.250%, 02/14/14 |
|
|
117 |
|
|
150 |
|
|
8.250%, 04/01/19 |
|
|
185 |
|
|
35 |
|
|
8.750%, 02/14/19 |
|
|
44 |
|
|
223 |
|
|
Time Warner Entertainment Co. LP, 10.150%, 05/01/12 |
|
|
245 |
|
|
80 |
|
|
Viacom, Inc., 6.250%, 04/30/16 |
|
|
92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail 0.1% |
|
|
40 |
|
|
Kohl's Corp., 6.250%, 12/15/17 |
|
|
46 |
|
|
400 |
|
|
Target Corp., 6.000%, 01/15/18 |
|
|
460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.1% |
|
|
130 |
|
|
Home Depot, Inc., 5.400%, 03/01/16 |
|
|
144 |
|
|
95 |
|
|
Staples, Inc., 9.750%, 01/15/14 |
|
|
115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary |
|
|
3,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples 0.7% |
|
|
|
|
|
Beverages 0.3% |
|
|
75 |
|
|
Anheuser-Busch Cos., Inc., 5.500%, 01/15/18 |
|
|
83 |
|
|
200 |
|
|
Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 (e) |
|
|
248 |
|
|
|
|
|
Coca-Cola Co. (The), |
|
|
|
|
|
100 |
|
|
3.625%, 03/15/14 |
|
|
106 |
|
|
50 |
|
|
4.875%, 03/15/19 |
|
|
54 |
|
|
70 |
|
|
Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 |
|
|
73 |
|
|
|
|
|
Diageo Finance B.V., (Netherlands), |
|
|
|
|
|
30 |
|
|
5.300%, 10/28/15 |
|
|
33 |
|
|
100 |
|
|
5.500%, 04/01/13 |
|
|
109 |
|
|
85 |
|
|
FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) |
|
|
90 |
|
|
6 |
|
|
PepsiCo, Inc., 7.900%, 11/01/18 |
|
|
8 |
|
|
30 |
|
|
SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) |
|
|
34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 0.0% (g) |
|
|
50 |
|
|
Kroger Co. (The), 7.500%, 01/15/14 |
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 0.4% |
|
|
|
|
|
Bunge Ltd. Finance Corp., |
|
|
|
|
|
50 |
|
|
5.875%, 05/15/13 |
|
|
53 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products Continued |
|
|
135 |
|
|
8.500%, 06/15/19 |
|
|
161 |
|
|
14 |
|
|
Bunge N.A. Finance LP, 5.900%, 04/01/17 |
|
|
14 |
|
|
100 |
|
|
Cargill, Inc., 6.375%, 06/01/12 (e) |
|
|
106 |
|
|
|
|
|
Kellogg Co., |
|
|
|
|
|
100 |
|
|
4.250%, 03/06/13 |
|
|
106 |
|
|
200 |
|
|
5.125%, 12/03/12 |
|
|
214 |
|
|
|
|
|
Kraft Foods, Inc., |
|
|
|
|
|
100 |
|
|
5.375%, 02/10/20 |
|
|
106 |
|
|
450 |
|
|
6.125%, 02/01/18 |
|
|
506 |
|
|
100 |
|
|
6.500%, 08/11/17 |
|
|
115 |
|
|
150 |
|
|
6.750%, 02/19/14 |
|
|
170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.0% (g) |
|
|
81 |
|
|
Procter & Gamble - ESOP, 9.360%, 01/01/21 |
|
|
103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples |
|
|
2,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy 0.8% |
|
|
|
|
|
Energy Equipment & Services 0.0% (g) |
|
|
100 |
|
|
Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 |
|
|
110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
400 |
|
|
Anadarko Petroleum Corp., 7.625%, 03/15/14 |
|
|
458 |
|
|
150 |
|
|
Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18 |
|
|
170 |
|
|
150 |
|
|
ConocoPhillips, 5.750%, 02/01/19 |
|
|
170 |
|
|
100 |
|
|
EnCana Corp., (Canada), 6.500%, 05/15/19 |
|
|
117 |
|
|
200 |
|
|
ENI S.p.A., (Italy), 4.150%, 10/01/20 (e) |
|
|
192 |
|
|
100 |
|
|
EOG Resources, Inc., 4.100%, 02/01/21 |
|
|
97 |
|
|
|
|
|
Marathon Oil Corp., |
|
|
|
|
|
228 |
|
|
5.900%, 03/15/18 |
|
|
258 |
|
|
175 |
|
|
6.000%, 10/01/17 |
|
|
200 |
|
|
40 |
|
|
PC Financial Partnership, 5.000%, 11/15/14 |
|
|
44 |
|
|
97 |
|
|
Petro-Canada, (Canada), 6.050%, 05/15/18 |
|
|
110 |
|
|
|
|
|
Shell International Finance B.V., (Netherlands), |
|
|
|
|
|
55 |
|
|
1.875%, 03/25/13 |
|
|
56 |
|
|
184 |
|
|
3.100%, 06/28/15 |
|
|
189 |
|
|
55 |
|
|
4.000%, 03/21/14 |
|
|
59 |
|
|
195 |
|
|
4.375%, 03/25/20 |
|
|
202 |
|
|
67 |
|
|
Statoil ASA, (Norway), 3.125%, 08/17/17 |
|
|
67 |
|
|
175 |
|
|
Total Capital S.A., (France), 2.300%, 03/15/16 |
|
|
170 |
|
|
250 |
|
|
XTO Energy, Inc., 5.750%, 12/15/13 |
|
|
281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy |
|
|
2,950 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
61 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Financials 11.0% |
|
|
|
|
|
Capital Markets 2.6% |
|
|
|
|
|
Bank of New York Mellon Corp. (The), |
|
|
|
|
|
250 |
|
|
2.950%, 06/18/15 |
|
|
255 |
|
|
75 |
|
|
3.100%, 01/15/15 |
|
|
77 |
|
|
75 |
|
|
4.600%, 01/15/20 |
|
|
78 |
|
|
|
|
|
BlackRock, Inc., |
|
|
|
|
|
325 |
|
|
3.500%, 12/10/14 |
|
|
341 |
|
|
326 |
|
|
5.000%, 12/10/19 |
|
|
343 |
|
|
100 |
|
|
Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) |
|
|
98 |
|
|
40 |
|
|
Charles Schwab Corp. (The), 4.950%, 06/01/14 |
|
|
44 |
|
|
|
|
|
Goldman Sachs Group, Inc. (The), |
|
|
|
|
|
121 |
|
|
3.700%, 08/01/15 |
|
|
123 |
|
|
202 |
|
|
4.750%, 07/15/13 |
|
|
215 |
|
|
200 |
|
|
5.150%, 01/15/14 |
|
|
216 |
|
|
300 |
|
|
5.500%, 11/15/14 |
|
|
329 |
|
|
1,100 |
|
|
5.950%, 01/18/18 |
|
|
1,194 |
|
|
150 |
|
|
7.500%, 02/15/19 |
|
|
177 |
|
|
|
|
|
Jefferies Group, Inc., |
|
|
|
|
|
111 |
|
|
3.875%, 11/09/15 |
|
|
111 |
|
|
150 |
|
|
5.500%, 03/15/16 |
|
|
157 |
|
|
125 |
|
|
8.500%, 07/15/19 |
|
|
148 |
|
|
|
|
|
Lehman Brothers Holdings, Inc., |
|
|
|
|
|
300 |
|
|
4.800%, 03/13/14 (d) |
|
|
76 |
|
|
350 |
|
|
6.000%, 07/19/12 (d) |
|
|
89 |
|
|
455 |
|
|
6.625%, 01/18/12 (d) |
|
|
115 |
|
|
75 |
|
|
6.750%, 12/28/17 (d) |
|
|
|
(h) |
|
100 |
|
|
Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e) |
|
|
112 |
|
|
|
|
|
Merrill Lynch & Co., Inc., |
|
|
|
|
|
200 |
|
|
5.000%, 01/15/15 |
|
|
213 |
|
|
157 |
|
|
5.450%, 07/15/14 |
|
|
169 |
|
|
50 |
|
|
6.150%, 04/25/13 |
|
|
54 |
|
|
814 |
|
|
6.400%, 08/28/17 |
|
|
895 |
|
|
266 |
|
|
6.875%, 04/25/18 |
|
|
299 |
|
|
|
|
|
Morgan Stanley, |
|
|
|
|
|
104 |
|
|
4.000%, 07/24/15 |
|
|
106 |
|
|
195 |
|
|
4.200%, 11/20/14 |
|
|
202 |
|
|
147 |
|
|
4.750%, 04/01/14 |
|
|
154 |
|
|
1,000 |
|
|
5.300%, 03/01/13 |
|
|
1,066 |
|
|
166 |
|
|
5.500%, 07/24/20 |
|
|
168 |
|
|
350 |
|
|
5.625%, 09/23/19 |
|
|
359 |
|
|
175 |
|
|
5.750%, 08/31/12 |
|
|
186 |
|
|
250 |
|
|
6.000%, 05/13/14 |
|
|
274 |
|
|
100 |
|
|
6.625%, 04/01/18 |
|
|
111 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets Continued |
|
|
|
|
|
Nomura Holdings, Inc., (Japan), |
|
|
|
|
|
130 |
|
|
4.125%, 01/19/16 |
|
|
129 |
|
|
178 |
|
|
6.700%, 03/04/20 |
|
|
192 |
|
|
45 |
|
|
Northern Trust Corp., 5.500%, 08/15/13 |
|
|
50 |
|
|
|
|
|
UBS AG, (Switzerland), |
|
|
|
|
|
500 |
|
|
3.875%, 01/15/15 |
|
|
513 |
|
|
100 |
|
|
5.750%, 04/25/18 |
|
|
109 |
|
|
100 |
|
|
5.875%, 12/20/17 |
|
|
109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks 3.0% |
|
|
100 |
|
|
ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) |
|
|
102 |
|
|
|
|
|
Bank of Nova Scotia, (Canada), |
|
|
|
|
|
121 |
|
|
1.650%, 10/29/15 (e) |
|
|
116 |
|
|
123 |
|
|
3.400%, 01/22/15 |
|
|
127 |
|
|
136 |
|
|
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) |
|
|
142 |
|
|
|
|
|
Barclays Bank plc, (United Kingdom), |
|
|
|
|
|
410 |
|
|
2.500%, 01/23/13 |
|
|
417 |
|
|
200 |
|
|
2.500%, 09/21/15 (e) |
|
|
196 |
|
|
100 |
|
|
3.900%, 04/07/15 |
|
|
103 |
|
|
200 |
|
|
5.200%, 07/10/14 |
|
|
216 |
|
|
250 |
|
|
6.050%, 12/04/17 (e) |
|
|
259 |
|
|
|
|
|
BB&T Corp., |
|
|
|
|
|
150 |
|
|
3.375%, 09/25/13 |
|
|
157 |
|
|
150 |
|
|
3.850%, 07/27/12 |
|
|
156 |
|
|
125 |
|
|
3.950%, 04/29/16 |
|
|
129 |
|
|
100 |
|
|
4.900%, 06/30/17 |
|
|
104 |
|
|
152 |
|
|
Branch Banking & Trust Co., 4.875%, 01/15/13 |
|
|
161 |
|
|
1,000 |
|
|
Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) |
|
|
1,004 |
|
|
55 |
|
|
Comerica, Inc., 3.000%, 09/16/15 |
|
|
55 |
|
|
405 |
|
|
Credit Suisse, (Switzerland), 5.000%, 05/15/13 |
|
|
434 |
|
|
100 |
|
|
Credit Suisse AG, (Switzerland), 5.400%, 01/14/20 |
|
|
101 |
|
|
350 |
|
|
Fifth Third Bancorp, 5.450%, 01/15/17 |
|
|
366 |
|
|
75 |
|
|
KeyCorp, 6.500%, 05/14/13 |
|
|
82 |
|
|
300 |
|
|
Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
|
|
339 |
|
|
200 |
|
|
Marshall & Ilsley Corp., 5.350%, 04/01/11 |
|
|
201 |
|
|
|
|
|
National Australia Bank Ltd., (Australia), |
|
|
|
|
|
200 |
|
|
2.500%, 01/08/13 (e) |
|
|
204 |
|
|
300 |
|
|
2.750%, 09/28/15 (e) |
|
|
297 |
|
|
100 |
|
|
3.750%, 03/02/15 (e) |
|
|
104 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
62 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Commercial Banks Continued |
|
|
100 |
|
|
Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) |
|
|
99 |
|
|
|
|
|
PNC Funding Corp., |
|
|
|
|
|
133 |
|
|
4.375%, 08/11/20 |
|
|
133 |
|
|
265 |
|
|
5.125%, 02/08/20 |
|
|
281 |
|
|
110 |
|
|
5.250%, 11/15/15 |
|
|
118 |
|
|
115 |
|
|
5.625%, 02/01/17 |
|
|
124 |
|
|
250 |
|
|
Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) |
|
|
254 |
|
|
|
|
|
SunTrust Banks, Inc., |
|
|
|
|
|
270 |
|
|
5.250%, 11/05/12 |
|
|
285 |
|
|
229 |
|
|
6.375%, 04/01/11 |
|
|
230 |
|
|
235 |
|
|
Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) |
|
|
232 |
|
|
|
|
|
U.S. Bancorp, |
|
|
|
|
|
150 |
|
|
2.000%, 06/14/13 |
|
|
153 |
|
|
208 |
|
|
2.875%, 11/20/14 |
|
|
213 |
|
|
250 |
|
|
Wachovia Bank N.A., 6.000%, 11/15/17 |
|
|
280 |
|
|
|
|
|
Wachovia Corp., |
|
|
|
|
|
235 |
|
|
4.875%, 02/15/14 |
|
|
249 |
|
|
850 |
|
|
5.750%, 02/01/18 |
|
|
945 |
|
|
|
|
|
Wells Fargo & Co., |
|
|
|
|
|
500 |
|
|
3.750%, 10/01/14 |
|
|
527 |
|
|
415 |
|
|
5.625%, 12/11/17 |
|
|
460 |
|
|
315 |
|
|
Wells Fargo Bank N.A., 4.750%, 02/09/15 |
|
|
333 |
|
|
285 |
|
|
Westpac Banking Corp., (Australia), 4.875%, 11/19/19 |
|
|
297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.9% |
|
|
200 |
|
|
American Express Credit Corp., 7.300%, 08/20/13 |
|
|
225 |
|
|
91 |
|
|
American General Finance Corp., 5.375%, 10/01/12 |
|
|
89 |
|
|
250 |
|
|
Capital One Bank USA N.A., 8.800%, 07/15/19 |
|
|
316 |
|
|
|
|
|
Capital One Financial Corp., |
|
|
|
|
|
100 |
|
|
5.700%, 09/15/11 |
|
|
103 |
|
|
245 |
|
|
6.250%, 11/15/13 |
|
|
272 |
|
|
100 |
|
|
6.750%, 09/15/17 |
|
|
115 |
|
|
|
|
|
HSBC Finance Corp., |
|
|
|
|
|
200 |
|
|
5.250%, 01/15/14 |
|
|
214 |
|
|
202 |
|
|
6.375%, 11/27/12 |
|
|
218 |
|
|
835 |
|
|
7.000%, 05/15/12 |
|
|
889 |
|
|
233 |
|
|
SLM Corp., 5.375%, 01/15/13 |
|
|
242 |
|
|
154 |
|
|
Toyota Motor Credit Corp., 3.200%, 06/17/15 |
|
|
159 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
Consumer Finance Continued |
|
|
100 |
|
|
Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) |
|
|
101 |
|
|
202 |
|
|
Washington Mutual Finance Corp., 6.875%, 05/15/11 |
|
|
204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 2.4% |
|
|
250 |
|
|
Associates Corp. of North America, 6.950%, 11/01/18 |
|
|
282 |
|
|
300 |
|
|
BA Covered Bond Issuer, 5.500%, 06/14/12 (e) |
|
|
314 |
|
|
|
|
|
Bank of America Corp., |
|
|
|
|
|
80 |
|
|
5.625%, 07/01/20 |
|
|
83 |
|
|
300 |
|
|
5.650%, 05/01/18 |
|
|
317 |
|
|
170 |
|
|
5.750%, 12/01/17 |
|
|
182 |
|
|
100 |
|
|
6.500%, 08/01/16 |
|
|
112 |
|
|
125 |
|
|
7.375%, 05/15/14 |
|
|
143 |
|
|
425 |
|
|
Bank of America N.A., 5.300%, 03/15/17 |
|
|
443 |
|
|
|
|
|
BP Capital Markets plc, (United Kingdom), |
|
|
|
|
|
100 |
|
|
3.125%, 03/10/12 |
|
|
102 |
|
|
300 |
|
|
5.250%, 11/07/13 |
|
|
326 |
|
|
|
|
|
Caterpillar Financial Services Corp., |
|
|
|
|
|
100 |
|
|
5.500%, 03/15/16 |
|
|
112 |
|
|
150 |
|
|
6.200%, 09/30/13 |
|
|
168 |
|
|
65 |
|
|
7.050%, 10/01/18 |
|
|
79 |
|
|
100 |
|
|
7.150%, 02/15/19 |
|
|
123 |
|
|
|
|
|
Citigroup, Inc., |
|
|
|
|
|
43 |
|
|
4.587%, 12/15/15 |
|
|
45 |
|
|
125 |
|
|
4.750%, 05/19/15 |
|
|
132 |
|
|
54 |
|
|
5.375%, 08/09/20 |
|
|
56 |
|
|
506 |
|
|
5.625%, 08/27/12 |
|
|
532 |
|
|
700 |
|
|
6.000%, 08/15/17 |
|
|
767 |
|
|
285 |
|
|
6.010%, 01/15/15 |
|
|
313 |
|
|
300 |
|
|
6.125%, 11/21/17 |
|
|
331 |
|
|
|
|
|
CME Group, Inc., |
|
|
|
|
|
200 |
|
|
5.400%, 08/01/13 |
|
|
220 |
|
|
100 |
|
|
5.750%, 02/15/14 |
|
|
111 |
|
|
190 |
|
|
ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 |
|
|
214 |
|
|
|
|
|
General Electric Capital Corp., |
|
|
|
|
|
95 |
|
|
4.375%, 09/16/20 |
|
|
92 |
|
|
1,600 |
|
|
5.250%, 10/19/12 |
|
|
1,703 |
|
|
500 |
|
|
5.400%, 02/15/17 |
|
|
544 |
|
|
300 |
|
|
5.625%, 05/01/18 |
|
|
326 |
|
|
500 |
|
|
5.650%, 06/09/14 |
|
|
547 |
|
|
100 |
|
|
Textron Financial Corp., 5.400%, 04/28/13 |
|
|
105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,824 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
63 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Insurance 1.6% |
|
|
|
|
|
ACE INA Holdings, Inc., |
|
|
|
|
|
45 |
|
|
2.600%, 11/23/15 |
|
|
45 |
|
|
50 |
|
|
5.600%, 05/15/15 |
|
|
55 |
|
|
|
|
|
American International Group, Inc., |
|
|
|
|
|
385 |
|
|
4.250%, 05/15/13 |
|
|
399 |
|
|
350 |
|
|
5.450%, 05/18/17 |
|
|
365 |
|
|
200 |
|
|
5.600%, 10/18/16 |
|
|
211 |
|
|
45 |
|
|
AON Corp., 3.500%, 09/30/15 |
|
|
45 |
|
|
607 |
|
|
ASIF Global Financing XIX, 4.900%, 01/17/13 (e) |
|
|
637 |
|
|
150 |
|
|
Berkshire Hathaway Finance Corp., 5.400%, 05/15/18 |
|
|
166 |
|
|
90 |
|
|
CNA Financial Corp., 5.875%, 08/15/20 |
|
|
94 |
|
|
405 |
|
|
Jackson National Life Global Funding, 6.125%, 05/30/12 (e) |
|
|
428 |
|
|
|
|
|
MassMutual Global Funding II, |
|
|
|
|
|
100 |
|
|
2.300%, 09/28/15 (e) |
|
|
97 |
|
|
250 |
|
|
3.625%, 07/16/12 (e) |
|
|
258 |
|
|
|
|
|
Metropolitan Life Global Funding I, |
|
|
|
|
|
150 |
|
|
2.875%, 09/17/12 (e) |
|
|
153 |
|
|
222 |
|
|
5.200%, 09/18/13 (e) |
|
|
241 |
|
|
100 |
|
|
5.750%, 07/25/11 (e) |
|
|
102 |
|
|
50 |
|
|
Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
|
|
53 |
|
|
121 |
|
|
Nationwide Financial Services, 6.250%, 11/15/11 |
|
|
125 |
|
|
506 |
|
|
New York Life Global Funding, 5.375%, 09/15/13 (e) |
|
|
555 |
|
|
150 |
|
|
Pacific Life Global Funding, 5.000%, 05/15/17 (e) |
|
|
153 |
|
|
200 |
|
|
Pricoa Global Funding I, 5.450%, 06/11/14 (e) |
|
|
218 |
|
|
765 |
|
|
Principal Life Global Funding I, 6.250%, 02/15/12 (e) |
|
|
793 |
|
|
100 |
|
|
Principal Life Income Funding Trusts, 5.300%, 04/24/13 |
|
|
108 |
|
|
405 |
|
|
Protective Life Secured Trusts, 4.000%, 04/01/11 |
|
|
406 |
|
|
200 |
|
|
Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) |
|
|
220 |
|
|
50 |
|
|
Travelers Property Casualty Corp., 5.000%, 03/15/13 |
|
|
54 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 0.2% |
|
|
|
|
|
CommonWealth REIT, |
|
|
|
|
|
125 |
|
|
5.875%, 09/15/20 |
|
|
127 |
|
|
150 |
|
|
6.650%, 01/15/18 |
|
|
160 |
|
|
92 |
|
|
HCP, Inc., 5.375%, 02/01/21 |
|
|
94 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) Continued |
|
|
|
|
|
Simon Property Group LP, |
|
|
|
|
|
17 |
|
|
4.200%, 02/01/15 |
|
|
18 |
|
|
40 |
|
|
4.375%, 03/01/21 |
|
|
40 |
|
|
100 |
|
|
5.625%, 08/15/14 |
|
|
110 |
|
|
50 |
|
|
5.650%, 02/01/20 |
|
|
55 |
|
|
40 |
|
|
6.100%, 05/01/16 |
|
|
45 |
|
|
50 |
|
|
6.125%, 05/30/18 |
|
|
56 |
|
|
114 |
|
|
WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
|
|
130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.3% |
|
|
25 |
|
|
Countrywide Financial Corp., 6.250%, 05/15/16 |
|
|
27 |
|
|
650 |
|
|
Countrywide Home Loans, Inc., 4.000%, 03/22/11 |
|
|
651 |
|
|
523 |
|
|
Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) |
|
|
526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials |
|
|
40,432 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care 0.2% |
|
|
|
|
|
Biotechnology 0.0% (g) |
|
|
|
|
|
Amgen, Inc., |
|
|
|
|
|
44 |
|
|
4.500%, 03/15/20 |
|
|
45 |
|
|
40 |
|
|
5.700%, 02/01/19 |
|
|
45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
90 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 0.1% |
|
|
|
|
|
Baxter International, Inc., |
|
|
|
|
|
50 |
|
|
4.000%, 03/01/14 |
|
|
53 |
|
|
50 |
|
|
4.625%, 03/15/15 |
|
|
55 |
|
|
40 |
|
|
Becton Dickinson and Co., 5.000%, 05/15/19 |
|
|
43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.0% (g) |
|
|
50 |
|
|
Medco Health Solutions, Inc., 2.750%, 09/15/15 |
|
|
49 |
|
|
|
|
|
WellPoint, Inc., |
|
|
|
|
|
27 |
|
|
5.875%, 06/15/17 |
|
|
31 |
|
|
18 |
|
|
7.000%, 02/15/19 |
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.1% |
|
|
100 |
|
|
AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 |
|
|
112 |
|
|
75 |
|
|
Eli Lilly & Co., 3.550%, 03/06/12 |
|
|
77 |
|
|
150 |
|
|
GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 |
|
|
162 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
64 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Pharmaceuticals Continued |
|
|
75 |
|
|
Merck & Co., Inc., 6.000%, 09/15/17 |
|
|
87 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care |
|
|
780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials 0.8% |
|
|
|
|
|
Aerospace & Defense 0.1% |
|
|
100 |
|
|
Honeywell International, Inc., 5.300%, 03/01/18 |
|
|
111 |
|
|
48 |
|
|
Systems 2001 AT LLC, (Cayman Islands), MBIA, 7.156%, 12/15/11 (e) |
|
|
49 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.0% (g) |
|
|
39 |
|
|
Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 |
|
|
43 |
|
|
80 |
|
|
Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 |
|
|
81 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 0.0% (g) |
|
|
45 |
|
|
Masco Corp., 5.850%, 03/15/17 |
|
|
46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.1% |
|
|
100 |
|
|
Allied Waste North America, Inc., 6.875%, 06/01/17 |
|
|
109 |
|
|
|
|
|
Pitney Bowes, Inc., |
|
|
|
|
|
125 |
|
|
4.875%, 08/15/14 |
|
|
132 |
|
|
100 |
|
|
5.000%, 03/15/15 |
|
|
105 |
|
|
50 |
|
|
5.600%, 03/15/18 |
|
|
52 |
|
|
60 |
|
|
Waste Management, Inc., 7.375%, 03/11/19 |
|
|
72 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 0.1% |
|
|
100 |
|
|
Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
|
|
113 |
|
|
50 |
|
|
Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 |
|
|
65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 0.0% (g) |
|
|
50 |
|
|
Eaton Corp., 5.600%, 05/15/18 |
|
|
56 |
|
|
25 |
|
|
PACCAR, Inc., 6.375%, 02/15/12 |
|
|
26 |
|
|
25 |
|
|
Parker Hannifin Corp., 5.500%, 05/15/18 |
|
|
28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 0.5% |
|
|
|
|
|
Burlington Northern Santa Fe LLC, |
|
|
|
|
|
19 |
|
|
3.600%, 09/01/20 |
|
|
18 |
|
|
100 |
|
|
5.650%, 05/01/17 |
|
|
112 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail Continued |
|
|
100 |
|
|
7.000%, 02/01/14 |
|
|
114 |
|
|
|
|
|
CSX Corp., |
|
|
|
|
|
30 |
|
|
6.250%, 04/01/15 |
|
|
34 |
|
|
30 |
|
|
7.375%, 02/01/19 |
|
|
36 |
|
|
655 |
|
|
Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 |
|
|
716 |
|
|
50 |
|
|
Norfolk Southern Corp., 7.700%, 05/15/17 |
|
|
61 |
|
|
55 |
|
|
Ryder System, Inc., 3.600%, 03/01/16 |
|
|
55 |
|
|
|
|
|
Union Pacific Corp., |
|
|
|
|
|
100 |
|
|
4.875%, 01/15/15 |
|
|
109 |
|
|
100 |
|
|
5.650%, 05/01/17 |
|
|
112 |
|
|
250 |
|
|
5.700%, 08/15/18 |
|
|
281 |
|
|
115 |
|
|
United Parcel Service of America, Inc., 8.375%, 04/01/20 |
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials |
|
|
2,887 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology 0.5% |
|
|
|
|
|
Computers & Peripherals 0.3% |
|
|
256 |
|
|
Dell, Inc., 2.300%, 09/10/15 |
|
|
251 |
|
|
|
|
|
Hewlett-Packard Co., |
|
|
|
|
|
325 |
|
|
5.400%, 03/01/17 |
|
|
364 |
|
|
200 |
|
|
6.125%, 03/01/14 |
|
|
224 |
|
|
|
|
|
International Business Machines Corp., |
|
|
|
|
|
150 |
|
|
5.700%, 09/14/17 |
|
|
171 |
|
|
200 |
|
|
7.625%, 10/15/18 |
|
|
253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 0.1% |
|
|
|
|
|
Arrow Electronics, Inc., |
|
|
|
|
|
25 |
|
|
3.375%, 11/01/15 |
|
|
24 |
|
|
150 |
|
|
6.875%, 07/01/13 |
|
|
164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics 0.0% (g) |
|
|
40 |
|
|
Xerox Corp., 6.750%, 02/01/17 |
|
|
46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 0.1% |
|
|
25 |
|
|
Intuit, Inc., 5.750%, 03/15/17 |
|
|
28 |
|
|
120 |
|
|
Microsoft Corp., 1.625%, 09/25/15 |
|
|
116 |
|
|
|
|
|
Oracle Corp., |
|
|
|
|
|
200 |
|
|
5.250%, 01/15/16 |
|
|
223 |
|
|
100 |
|
|
5.750%, 04/15/18 |
|
|
113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology |
|
|
1,977 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
65 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Materials 0.3% |
|
|
|
|
|
Chemicals 0.2% |
|
|
100 |
|
|
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
|
|
104 |
|
|
|
|
|
Dow Chemical Co. (The), |
|
|
|
|
|
38 |
|
|
4.250%, 11/15/20 |
|
|
37 |
|
|
100 |
|
|
6.000%, 10/01/12 |
|
|
108 |
|
|
50 |
|
|
8.550%, 05/15/19 |
|
|
63 |
|
|
|
|
|
EI Du Pont de Nemours & Co., |
|
|
|
|
|
101 |
|
|
1.950%, 01/15/16 |
|
|
98 |
|
|
50 |
|
|
4.125%, 03/06/13 |
|
|
53 |
|
|
100 |
|
|
6.000%, 07/15/18 |
|
|
114 |
|
|
100 |
|
|
Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 |
|
|
107 |
|
|
230 |
|
|
Praxair, Inc., 4.625%, 03/30/15 |
|
|
248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.1% |
|
|
|
|
|
BHP Billiton Finance USA Ltd., (Australia), |
|
|
|
|
|
100 |
|
|
5.400%, 03/29/17 |
|
|
112 |
|
|
100 |
|
|
6.500%, 04/01/19 |
|
|
118 |
|
|
|
|
|
Rio Tinto Finance USA Ltd., (Australia), |
|
|
|
|
|
27 |
|
|
3.500%, 11/02/20 |
|
|
25 |
|
|
50 |
|
|
8.950%, 05/01/14 |
|
|
61 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials |
|
|
1,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services 1.3% |
|
|
|
|
|
Diversified Telecommunication Services 1.2% |
|
|
|
|
|
AT&T, Inc., |
|
|
|
|
|
1,020 |
|
|
4.950%, 01/15/13 |
|
|
1,092 |
|
|
135 |
|
|
5.100%, 09/15/14 |
|
|
148 |
|
|
150 |
|
|
5.500%, 02/01/18 |
|
|
165 |
|
|
15 |
|
|
BellSouth Corp., 5.200%, 09/15/14 |
|
|
16 |
|
|
122 |
|
|
BellSouth Telecommunications, Inc., 6.300%, 12/15/15 |
|
|
131 |
|
|
100 |
|
|
British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18 |
|
|
111 |
|
|
500 |
|
|
GTE Corp., 6.840%, 04/15/18 |
|
|
584 |
|
|
|
|
|
Telecom Italia Capital S.A., (Luxembourg), |
|
|
|
|
|
420 |
|
|
4.950%, 09/30/14 |
|
|
432 |
|
|
225 |
|
|
5.250%, 11/15/13 |
|
|
235 |
|
|
|
|
|
Telefonica Emisiones S.A.U., (Spain), |
|
|
|
|
|
275 |
|
|
5.855%, 02/04/13 |
|
|
294 |
|
|
30 |
|
|
5.877%, 07/15/19 |
|
|
31 |
|
|
109 |
|
|
TELUS Corp., (Canada), 8.000%, 06/01/11 |
|
|
111 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services Continued |
|
|
100 |
|
|
Verizon Communications, Inc., 5.500%, 02/15/18 |
|
|
109 |
|
|
202 |
|
|
Verizon Florida LLC, 6.125%, 01/15/13 |
|
|
217 |
|
|
250 |
|
|
Verizon Maryland, Inc., 7.150%, 05/01/23 |
|
|
268 |
|
|
100 |
|
|
Verizon New England, Inc., 4.750%, 10/01/13 |
|
|
106 |
|
|
200 |
|
|
Verizon Virginia, Inc., 4.625%, 03/15/13 |
|
|
212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.1% |
|
|
150 |
|
|
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
|
|
166 |
|
|
125 |
|
|
Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 |
|
|
136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services |
|
|
4,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 1.3% |
|
|
|
|
|
Electric Utilities 0.9% |
|
|
|
|
|
Carolina Power & Light Co., |
|
|
|
|
|
233 |
|
|
5.125%, 09/15/13 |
|
|
254 |
|
|
150 |
|
|
5.300%, 01/15/19 |
|
|
166 |
|
|
100 |
|
|
CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 |
|
|
110 |
|
|
50 |
|
|
Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 |
|
|
60 |
|
|
25 |
|
|
Columbus Southern Power Co., 6.050%, 05/01/18 |
|
|
28 |
|
|
30 |
|
|
Connecticut Light & Power Co. (The), 5.650%, 05/01/18 |
|
|
33 |
|
|
|
|
|
Duke Energy Carolinas LLC, |
|
|
|
|
|
200 |
|
|
5.625%, 11/30/12 |
|
|
216 |
|
|
205 |
|
|
6.250%, 01/15/12 |
|
|
215 |
|
|
60 |
|
|
Duke Energy Indiana, Inc., 3.750%, 07/15/20 |
|
|
58 |
|
|
100 |
|
|
Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) |
|
|
100 |
|
|
72 |
|
|
Exelon Generation Co. LLC, 4.000%, 10/01/20 |
|
|
67 |
|
|
150 |
|
|
FPL Group Capital, Inc., 7.875%, 12/15/15 |
|
|
179 |
|
|
40 |
|
|
Georgia Power Co., 6.000%, 11/01/13 |
|
|
45 |
|
|
135 |
|
|
Indiana Michigan Power Co., 7.000%, 03/15/19 |
|
|
160 |
|
|
25 |
|
|
Jersey Central Power & Light Co., 7.350%, 02/01/19 |
|
|
30 |
|
|
24 |
|
|
Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) |
|
|
25 |
|
|
60 |
|
|
Nevada Power Co., 7.125%, 03/15/19 |
|
|
71 |
|
|
40 |
|
|
Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) |
|
|
42 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
66 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds Continued |
|
|
|
|
|
Electric Utilities Continued |
|
|
|
|
|
Oncor Electric Delivery Co. LLC, |
|
|
|
|
|
25 |
|
|
5.950%, 09/01/13 |
|
|
28 |
|
|
50 |
|
|
6.800%, 09/01/18 |
|
|
58 |
|
|
125 |
|
|
Pacific Gas & Electric Co., 5.625%, 11/30/17 |
|
|
140 |
|
|
60 |
|
|
PacifiCorp, 5.650%, 07/15/18 |
|
|
67 |
|
|
75 |
|
|
Peco Energy Co., 5.350%, 03/01/18 |
|
|
83 |
|
|
51 |
|
|
Public Service Co. of Colorado, 3.200%, 11/15/20 |
|
|
48 |
|
|
74 |
|
|
Public Service Co. of Oklahoma, 4.400%, 02/01/21 |
|
|
74 |
|
|
200 |
|
|
Public Service Electric & Gas Co., 6.330%, 11/01/13 |
|
|
225 |
|
|
40 |
|
|
Southern Co., 4.150%, 05/15/14 |
|
|
42 |
|
|
30 |
|
|
Southwestern Public Service Co., 8.750%, 12/01/18 |
|
|
38 |
|
|
|
|
|
Spectra Energy Capital LLC, |
|
|
|
|
|
100 |
|
|
5.500%, 03/01/14 |
|
|
109 |
|
|
30 |
|
|
5.668%, 08/15/14 |
|
|
33 |
|
|
140 |
|
|
6.200%, 04/15/18 |
|
|
156 |
|
|
50 |
|
|
8.000%, 10/01/19 |
|
|
60 |
|
|
|
|
|
Virginia Electric and Power Co., |
|
|
|
|
|
210 |
|
|
5.100%, 11/30/12 |
|
|
224 |
|
|
100 |
|
|
5.400%, 04/30/18 |
|
|
111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities 0.1% |
|
|
50 |
|
|
AGL Capital Corp., 4.450%, 04/15/13 |
|
|
53 |
|
|
|
|
|
Atmos Energy Corp., |
|
|
|
|
|
100 |
|
|
5.125%, 01/15/13 |
|
|
105 |
|
|
30 |
|
|
8.500%, 03/15/19 |
|
|
38 |
|
|
50 |
|
|
CenterPoint Energy Resources Corp., 6.125%, 11/01/17 |
|
|
56 |
|
|
|
|
|
TransCanada PipeLines Ltd., (Canada), |
|
|
|
|
|
100 |
|
|
4.000%, 06/15/13 |
|
|
106 |
|
|
100 |
|
|
6.500%, 08/15/18 |
|
|
117 |
|
|
30 |
|
|
7.125%, 01/15/19 |
|
|
36 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 0.2% |
|
|
|
|
|
Dominion Resources, Inc., |
|
|
|
|
|
195 |
|
|
6.250%, 06/30/12 |
|
|
207 |
|
|
150 |
|
|
8.875%, 01/15/19 |
|
|
193 |
|
|
100 |
|
|
KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 |
|
|
112 |
|
|
50 |
|
|
PG&E Corp., 5.750%, 04/01/14 |
|
|
55 |
|
|
80 |
|
|
Sempra Energy, 8.900%, 11/15/13 |
|
|
94 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities Continued |
|
|
|
|
|
Wisconsin Electric Power Co., |
|
|
|
|
|
30 |
|
|
6.000%, 04/01/14 |
|
|
34 |
|
|
100 |
|
|
6.250%, 12/01/15 |
|
|
115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Utilities 0.1% |
|
|
200 |
|
|
American Water Capital Corp., 6.085%, 10/15/17 |
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities |
|
|
4,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds (Cost $63,366) |
|
|
66,187 |
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities 0.2% |
|
|
100 |
|
|
Province of Manitoba, (Canada), 2.125%, 04/22/13 |
|
|
102 |
|
|
|
|
|
Province of Ontario, (Canada), |
|
|
|
|
|
250 |
|
|
2.700%, 06/16/15 |
|
|
256 |
|
|
300 |
|
|
2.950%, 02/05/15 |
|
|
310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities (Cost $649) |
|
|
668 |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Through Securities 9.5% |
|
|
|
|
|
Federal Home Loan Mortgage Corp., |
|
|
|
|
|
59 |
|
|
ARM, 2.360%, 01/01/27 |
|
|
61 |
|
|
689 |
|
|
ARM, 2.612%, 12/01/34 |
|
|
722 |
|
|
16 |
|
|
ARM, 2.625%, 07/01/26 |
|
|
17 |
|
|
219 |
|
|
ARM, 3.621%, 01/01/37 |
|
|
229 |
|
|
310 |
|
|
ARM, 5.078%, 09/01/36 |
|
|
326 |
|
|
304 |
|
|
ARM, 5.621%, 04/01/38 |
|
|
322 |
|
|
517 |
|
|
ARM, 6.018%, 06/01/36 |
|
|
554 |
|
|
232 |
|
|
ARM, 6.024%, 02/01/37 |
|
|
246 |
|
|
528 |
|
|
ARM, 6.230%, 09/01/36 - 03/01/37 |
|
|
554 |
|
|
339 |
|
|
ARM, 6.680%, 11/01/36 |
|
|
364 |
|
|
427 |
|
|
ARM, 6.743%, 08/01/36 |
|
|
448 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|
|
|
|
|
864 |
|
|
4.000%, 05/01/14 - 06/01/19 |
|
|
899 |
|
|
92 |
|
|
4.500%, 10/01/18 |
|
|
97 |
|
|
23 |
|
|
5.500%, 06/01/17 |
|
|
24 |
|
|
495 |
|
|
6.000%, 10/01/17 - 04/01/18 |
|
|
540 |
|
|
988 |
|
|
6.500%, 01/01/17 - 03/01/22 |
|
|
1,078 |
|
|
110 |
|
|
7.000%, 09/01/12 - 01/01/17 |
|
|
115 |
|
|
1 |
|
|
7.500%, 07/01/11 - 10/01/14 |
|
|
1 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|
|
|
|
|
26 |
|
|
6.000%, 12/01/22 |
|
|
29 |
|
|
139 |
|
|
6.500%, 12/01/13 - 08/01/26 |
|
|
154 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
67 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Through Securities Continued |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|
|
|
|
|
153 |
|
|
6.000%, 01/01/34 |
|
|
169 |
|
|
245 |
|
|
7.000%, 04/01/22 - 02/01/37 |
|
|
279 |
|
|
12 |
|
|
7.500%, 08/01/25 |
|
|
13 |
|
|
13 |
|
|
8.000%, 07/01/20 - 11/01/24 |
|
|
16 |
|
|
38 |
|
|
8.500%, 07/01/28 |
|
|
45 |
|
|
737 |
|
|
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 |
|
|
870 |
|
|
|
|
|
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|
|
|
|
|
4 |
|
|
12.000%, 08/01/15 - 07/01/19 |
|
|
5 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
|
241 |
|
|
ARM, 2.034%, 01/01/35 |
|
|
251 |
|
|
9 |
|
|
ARM, 2.079%, 03/01/19 |
|
|
9 |
|
|
290 |
|
|
ARM, 2.093%, 09/01/35 |
|
|
303 |
|
|
342 |
|
|
ARM, 2.041%, 02/01/35 |
|
|
356 |
|
|
372 |
|
|
ARM, 2.195%, 01/01/35 |
|
|
384 |
|
|
257 |
|
|
ARM, 2.322%, 02/01/35 |
|
|
268 |
|
|
210 |
|
|
ARM, 2.445%, 08/01/35 |
|
|
219 |
|
|
183 |
|
|
ARM, 2.460%, 11/01/33 |
|
|
192 |
|
|
209 |
|
|
ARM, 2.554%, 04/01/33 |
|
|
219 |
|
|
327 |
|
|
ARM, 2.637%, 09/01/35 |
|
|
344 |
|
|
390 |
|
|
ARM, 2.787%, 09/01/34 |
|
|
410 |
|
|
369 |
|
|
ARM, 3.043%, 02/01/36 |
|
|
386 |
|
|
374 |
|
|
ARM, 3.060%, 09/01/33 |
|
|
392 |
|
|
4 |
|
|
ARM, 3.098%, 06/01/26 |
|
|
4 |
|
|
280 |
|
|
ARM, 3.158%, 04/01/35 |
|
|
293 |
|
|
25 |
|
|
ARM, 3.328%, 09/01/27 |
|
|
25 |
|
|
3 |
|
|
ARM, 3.538%, 08/01/19 |
|
|
3 |
|
|
285 |
|
|
ARM, 3.694%, 08/01/34 |
|
|
299 |
|
|
25 |
|
|
ARM, 3.983%, 03/01/29 |
|
|
26 |
|
|
312 |
|
|
ARM, 5.149%, 10/01/34 |
|
|
328 |
|
|
300 |
|
|
ARM, 5.739%, 02/01/37 |
|
|
317 |
|
|
240 |
|
|
ARM, 5.800%, 07/01/46 |
|
|
252 |
|
|
131 |
|
|
ARM, 6.032%, 08/01/36 |
|
|
139 |
|
|
210 |
|
|
ARM, 6.180%, 09/01/36 |
|
|
225 |
|
|
124 |
|
|
ARM, 6.279%, 02/01/37 |
|
|
132 |
|
|
|
|
|
Federal National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
|
3,318 |
|
|
4.000%, 07/01/18 - 05/01/19 |
|
|
3,474 |
|
|
2,360 |
|
|
4.500%, 05/01/18 - 05/01/19 |
|
|
2,498 |
|
|
1,521 |
|
|
5.000%, 12/01/16 - 04/01/19 |
|
|
1,634 |
|
|
703 |
|
|
5.500%, 01/01/20 - 06/01/20 |
|
|
760 |
|
|
1,757 |
|
|
6.000%, 02/01/19 - 01/01/24 |
|
|
1,923 |
|
|
208 |
|
|
6.500%, 04/01/11 - 08/01/20 |
|
|
228 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18 |
|
|
7.500%, 10/01/12 |
|
|
19 |
|
|
6 |
|
|
8.000%, 11/01/12 |
|
|
7 |
|
|
|
|
|
Federal National Mortgage Association, 20 Year, Single Family, |
|
|
|
|
|
205 |
|
|
6.000%, 04/01/24 |
|
|
226 |
|
|
269 |
|
|
6.500%, 05/01/22 |
|
|
299 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year FHA/VA, |
|
|
|
|
|
23 |
|
|
6.000%, 09/01/33 |
|
|
25 |
|
|
45 |
|
|
6.500%, 03/01/29 |
|
|
51 |
|
|
29 |
|
|
8.500%, 08/01/27 - 02/01/30 |
|
|
33 |
|
|
21 |
|
|
9.000%, 09/01/19 - 12/01/30 |
|
|
24 |
|
|
11 |
|
|
9.500%, 12/01/18 |
|
|
13 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
|
236 |
|
|
4.500%, 08/01/33 |
|
|
243 |
|
|
1,467 |
|
|
5.000%, 07/01/33 - 11/01/33 |
|
|
1,551 |
|
|
1,109 |
|
|
5.500%, 09/01/33 - 12/01/33 |
|
|
1,196 |
|
|
1,047 |
|
|
6.000%, 12/01/32 - 09/01/36 |
|
|
1,151 |
|
|
82 |
|
|
6.500%, 08/01/31 |
|
|
94 |
|
|
31 |
|
|
7.000%, 07/01/25 - 08/01/32 |
|
|
36 |
|
|
25 |
|
|
7.500%, 11/01/22 - 05/01/25 |
|
|
29 |
|
|
785 |
|
|
8.000%, 03/01/21 - 11/01/32 |
|
|
902 |
|
|
14 |
|
|
8.500%, 07/01/24 - 06/01/25 |
|
|
16 |
|
|
1 |
|
|
9.000%, 04/01/26 |
|
|
1 |
|
|
5 |
|
|
10.000%, 02/01/24 |
|
|
6 |
|
|
4 |
|
|
12.500%, 01/01/16 |
|
|
5 |
|
|
|
|
|
Federal National Mortgage Association, Other, |
|
|
|
|
|
115 |
|
|
4.000%, 09/01/13 |
|
|
117 |
|
|
561 |
|
|
5.500%, 04/01/38 |
|
|
595 |
|
|
625 |
|
|
6.000%, 03/01/37 |
|
|
674 |
|
|
|
|
|
Government National Mortgage Association II, 30 Year, Single Family, |
|
|
|
|
|
82 |
|
|
6.000%, 03/20/28 |
|
|
90 |
|
|
19 |
|
|
7.500%, 02/20/28 - 09/20/28 |
|
|
22 |
|
|
53 |
|
|
8.000%, 12/20/25 - 10/20/28 |
|
|
62 |
|
|
32 |
|
|
8.500%, 03/20/25 - 05/20/25 |
|
|
38 |
|
|
|
|
|
Government National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
|
48 |
|
|
6.000%, 10/15/17 |
|
|
53 |
|
|
2 |
|
|
7.500%, 02/15/12 - 03/15/12 |
|
|
2 |
|
|
34 |
|
|
8.000%, 01/15/16 |
|
|
36 |
|
|
|
|
|
Government National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
|
868 |
|
|
6.000%, 11/15/28 - 12/15/38 |
|
|
971 |
|
|
547 |
|
|
6.500%, 01/15/24 - 12/15/35 |
|
|
615 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
68 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Pass-Through Securities Continued |
|
|
541 |
|
|
7.000%, 08/15/23 - 06/15/35 |
|
|
616 |
|
|
35 |
|
|
7.500%, 11/15/22 - 09/15/28 |
|
|
41 |
|
|
14 |
|
|
8.000%, 05/15/22 - 08/15/28 |
|
|
17 |
|
|
10 |
|
|
8.500%, 11/15/17 |
|
|
11 |
|
|
17 |
|
|
9.000%, 08/15/16 - 11/15/24 |
|
|
20 |
|
|
344 |
|
|
9.500%, 01/15/17 - 12/15/25 |
|
|
405 |
|
|
10 |
|
|
12.000%, 11/15/19 |
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Through Securities (Cost $33,004) |
|
|
34,793 |
|
|
|
|
|
|
|
|
|
|
|
Supranational 0.0% (g) |
|
|
40 |
|
|
Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $40) |
|
|
43 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities 2.4% |
|
|
500 |
|
|
Federal Farm Credit Bank, 5.125%, 11/15/18 |
|
|
558 |
|
|
1,233 |
|
|
Federal Home Loan Bank System, 4.720%, 09/20/12 |
|
|
1,290 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
|
1,300 |
|
|
07/05/14 |
|
|
1,216 |
|
|
1,000 |
|
|
Zero Coupon, 06/01/17 |
|
|
813 |
|
|
1,800 |
|
|
5.000%, 05/11/17 |
|
|
2,020 |
|
|
500 |
|
|
5.375%, 06/12/17 |
|
|
571 |
|
|
500 |
|
|
Federal National Mortgage Association Interest Strip11/15/21 |
|
|
313 |
|
|
500 |
|
|
Financing Corp. Fico, Zero Coupon, 04/05/19 |
|
|
375 |
|
|
300 |
|
|
Financing Corp. Fico, Zero Coupon, 09/26/19 |
|
|
219 |
|
|
1,000 |
|
|
Tennessee Valley Authority, 5.500%, 07/18/17 |
|
|
1,145 |
|
|
333 |
|
|
Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19 |
|
|
241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Securities (Cost $8,760) |
|
|
8,761 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 32.9% |
|
|
|
|
|
U.S. Treasury Bonds, |
|
|
|
|
|
5,675 |
|
|
7.500%, 11/15/16 |
|
|
7,232 |
|
|
300 |
|
|
8.000%, 11/15/21 |
|
|
421 |
|
|
3,801 |
|
|
8.125%, 08/15/19 |
|
|
5,244 |
|
|
320 |
|
|
8.500%, 02/15/20 |
|
|
454 |
|
|
1,070 |
|
|
8.750%, 05/15/17 |
|
|
1,455 |
|
|
5,090 |
|
|
8.875%, 08/15/17 |
|
|
7,003 |
|
|
879 |
|
|
8.875%, 02/15/19 |
|
|
1,252 |
|
|
2,355 |
|
|
9.875%, 11/15/15 (m) |
|
|
3,199 |
|
|
|
|
|
U.S. Treasury Notes, |
|
|
|
|
|
250 |
|
|
1.250%, 02/15/14 |
|
|
251 |
|
|
500 |
|
|
1.875%, 02/28/14 |
|
|
510 |
|
|
5,035 |
|
|
2.125%, 12/31/15 |
|
|
5,049 |
|
|
85 |
|
|
2.250%, 11/30/17 |
|
|
82 |
|
|
100 |
|
|
2.375%, 10/31/14 |
|
|
103 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,250 |
|
|
2.625%, 12/31/14 |
|
|
8,570 |
|
|
300 |
|
|
2.625%, 02/29/16 |
|
|
307 |
|
|
310 |
|
|
2.625%, 04/30/16 |
|
|
317 |
|
|
3,755 |
|
|
2.750%, 05/31/17 |
|
|
3,789 |
|
|
3,000 |
|
|
2.750%, 12/31/17 |
|
|
2,996 |
|
|
300 |
|
|
3.125%, 10/31/16 |
|
|
312 |
|
|
1,625 |
|
|
3.125%, 04/30/17 |
|
|
1,677 |
|
|
3,730 |
|
|
3.125%, 05/15/19 |
|
|
3,742 |
|
|
1,250 |
|
|
3.250%, 12/31/16 |
|
|
1,304 |
|
|
2,150 |
|
|
3.250%, 03/31/17 |
|
|
2,237 |
|
|
1,950 |
|
|
4.750%, 08/15/17 |
|
|
2,197 |
|
|
|
|
|
U.S. Treasury Principal STRIPS, |
|
|
|
|
|
61 |
|
|
02/15/12 |
|
|
61 |
|
|
202 |
|
|
11/15/13 |
|
|
196 |
|
|
4,950 |
|
|
02/15/14 (m) |
|
|
4,777 |
|
|
12,666 |
|
|
05/15/14 (m) |
|
|
12,132 |
|
|
4,500 |
|
|
08/15/14 (m) |
|
|
4,280 |
|
|
3,518 |
|
|
11/15/14 (m) |
|
|
3,317 |
|
|
3,500 |
|
|
02/15/15 |
|
|
3,277 |
|
|
3,325 |
|
|
02/15/15 |
|
|
3,109 |
|
|
95 |
|
|
08/15/15 |
|
|
87 |
|
|
32 |
|
|
08/15/15 |
|
|
30 |
|
|
7,452 |
|
|
11/15/15 (m) |
|
|
6,765 |
|
|
5,766 |
|
|
02/15/16 (m) |
|
|
5,175 |
|
|
1,072 |
|
|
05/15/16 |
|
|
951 |
|
|
2,005 |
|
|
08/15/16 |
|
|
1,755 |
|
|
300 |
|
|
11/15/16 |
|
|
260 |
|
|
700 |
|
|
11/15/16 |
|
|
606 |
|
|
932 |
|
|
02/15/17 |
|
|
797 |
|
|
257 |
|
|
05/15/17 |
|
|
218 |
|
|
946 |
|
|
08/15/17 |
|
|
791 |
|
|
1,960 |
|
|
11/15/17 |
|
|
1,618 |
|
|
200 |
|
|
02/15/18 |
|
|
163 |
|
|
495 |
|
|
05/15/19 |
|
|
379 |
|
|
4,350 |
|
|
08/15/19 |
|
|
3,288 |
|
|
2,000 |
|
|
02/15/20 |
|
|
1,469 |
|
|
150 |
|
|
05/15/20 |
|
|
109 |
|
|
4,920 |
|
|
05/15/20 |
|
|
3,559 |
|
|
1,200 |
|
|
08/15/20 |
|
|
856 |
|
|
100 |
|
|
08/15/21 |
|
|
67 |
|
|
1,350 |
|
|
11/15/21 |
|
|
894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations (Cost $117,454) |
|
|
120,689 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
69 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investment 3.2% |
|
|
|
|
|
Investment Company 3.2% |
|
|
11,727 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) (Cost $11,727) |
|
|
11,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 99.5% (Cost $351,642) |
|
|
365,046 |
|
|
|
|
|
Other Assets in Excess of Liabilities 0.5% |
|
|
1,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS 100.0% |
|
$ |
366,920 |
|
|
|
|
|
|
|
|
|
|
Percentages
indicated are based on net assets.
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
70 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
|
|
|
ARM |
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28,
2011. |
CMO |
|
Collateralized Mortgage Obligation |
ESOP |
|
Employee Stock Ownership Program |
FHA |
|
Federal Housing Administration |
GMAC |
|
General Motors Acceptance Corp. |
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 IOs the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from
other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
IF |
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline
(incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2011. The rate may be subject to a cap and floor. |
IO |
|
Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage
loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments.
As a result, interest income may be reduced considerably. |
MBIA |
|
Insured by Municipal Bond Insurance Corp. |
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. |
REMICS |
|
Real Estate Mortgage Investment Conduits |
Rev. |
|
Revenue |
SPDR |
|
Standard & Poors Depository Receipts |
STRIPS |
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and
trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB |
|
Step-Up Bond. The interest rate shown is the rate in effect as of February 28, 2011. |
VA |
|
Veterans Administration |
VAR |
|
Variable Rate Security. The interest rate shown is the rate in effect as of February 28,
2011. |
|
|
|
(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 (excluding cash collateral for securities on loan) (amounts in thousands): |
|
|
|
|
|
|
|
|
|
|
Fund |
|
Value |
|
Percentage |
|
Core Bond Trust |
|
$5,184 |
|
|
0.2 |
% |
Intermediate Bond Trust |
|
1,504 |
|
|
0.4 |
|
|
|
|
|
|
(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 a portion of this security is deposited with the broker as collateral for futures or with brokers as
initial margin for futures contracts. |
(l) |
|
The rate shown is the current yield as of February 28, 2011. |
(m) |
|
All or a portion of this security is reserved and/or pledged with the custodian for current or potential
holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
(n) |
|
The rate shown is the effective yield at the date of purchase. |
(q) |
|
Investment in affiliate. This security is included in an index in which the Fund, as an index fund,
invests. |
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
71 |
|
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011
(Amounts in thousands, except
per share amounts)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core Bond Trust |
|
|
Equity Index Trust |
|
|
Intermediate Bond Trust |
|
ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in non-affiliates, at value |
|
$ |
2,913,878 |
|
|
$ |
333,414 |
|
|
$ |
353,319 |
|
Investments in affiliates, at value |
|
|
95,644 |
|
|
|
8,171 |
|
|
|
11,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment securities, at value |
|
|
3,009,522 |
|
|
|
341,585 |
|
|
|
365,046 |
|
Cash |
|
|
708 |
|
|
|
|
|
|
|
11 |
|
Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
Investment securities sold |
|
|
571 |
|
|
|
|
|
|
|
133 |
|
Fund shares sold |
|
|
1,733 |
|
|
|
|
|
|
|
|
|
Interest and dividends |
|
|
15,895 |
|
|
|
687 |
|
|
|
1,970 |
|
Securities lending income |
|
|
|
|
|
|
|
(a) |
|
|
|
|
Variation margin on futures contracts |
|
|
|
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets |
|
|
3,028,429 |
|
|
|
342,288 |
|
|
|
367,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
|
292 |
|
|
|
|
|
|
|
30 |
|
Investment securities purchased |
|
|
3,819 |
|
|
|
992 |
|
|
|
1 |
|
Fund shares redeemed |
|
|
1,154 |
|
|
|
|
|
|
|
105 |
|
Accrued liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory fees |
|
|
283 |
|
|
|
11 |
|
|
|
28 |
|
Custodian and accounting fees |
|
|
135 |
|
|
|
50 |
|
|
|
46 |
|
Trustees and Chief Compliance Officers fees |
|
|
2 |
|
|
|
4 |
|
|
|
2 |
|
Audit fees |
|
|
26 |
|
|
|
24 |
|
|
|
22 |
|
Other |
|
|
78 |
|
|
|
11 |
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities |
|
|
5,789 |
|
|
|
1,092 |
|
|
|
240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
$ |
3,022,640 |
|
|
$ |
341,196 |
|
|
$ |
366,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
Paid in capital |
|
$ |
2,869,564 |
|
|
$ |
318,484 |
|
|
$ |
354,697 |
|
Accumulated undistributed (distributions in excess of) net investment income |
|
|
492 |
|
|
|
1,969 |
|
|
|
1 |
|
Accumulated net realized gains (losses) |
|
|
(5,400 |
) |
|
|
(54,060 |
) |
|
|
(1,182 |
) |
Net unrealized appreciation (depreciation) |
|
|
157,984 |
|
|
|
74,803 |
|
|
|
13,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Net Assets |
|
$ |
3,022,640 |
|
|
$ |
341,196 |
|
|
$ |
366,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding units of beneficial interest (shares) |
|
|
|
|
|
|
|
|
|
|
|
|
($0.0001 par value; unlimited number of shares authorized): |
|
|
288,007 |
|
|
|
21,193 |
|
|
|
35,333 |
|
|
|
|
|
Net asset value, offering and redemption price per share |
|
$ |
10.50 |
|
|
$ |
16.10 |
|
|
$ |
10.38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost of investments in non-affiliates |
|
$ |
2,755,894 |
|
|
$ |
259,895 |
|
|
$ |
339,915 |
|
Cost of investments in affiliates |
|
|
95,644 |
|
|
|
7,079 |
|
|
|
11,727 |
|
(a) |
Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
72 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core Bond Trust |
|
|
Equity Index Trust |
|
|
Intermediate Bond Trust |
|
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
Interest income from non-affiliates |
|
$ |
157,920 |
|
|
$ |
1 |
|
|
$ |
17,624 |
|
Dividend income from non-affiliates |
|
|
|
|
|
|
6,151 |
|
|
|
|
|
Interest income from affiliates |
|
|
5 |
|
|
|
|
|
|
|
1 |
|
Dividend income from affiliates |
|
|
164 |
|
|
|
28 |
|
|
|
15 |
|
Income from securities lending (net) |
|
|
31 |
|
|
|
19 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment income |
|
|
158,120 |
|
|
|
6,199 |
|
|
|
17,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory fees |
|
|
8,829 |
|
|
|
756 |
|
|
|
1,116 |
|
Administration fees |
|
|
2,943 |
|
|
|
302 |
|
|
|
372 |
|
Custodian and accounting fees |
|
|
333 |
|
|
|
96 |
|
|
|
133 |
|
Interest expense to affiliates |
|
|
|
|
|
|
1 |
|
|
|
|
|
Professional fees |
|
|
58 |
|
|
|
42 |
|
|
|
44 |
|
Trustees and Chief Compliance Officers fees |
|
|
24 |
|
|
|
1 |
|
|
|
3 |
|
Printing and mailing costs |
|
|
37 |
|
|
|
4 |
|
|
|
4 |
|
Transfer agent fees |
|
|
42 |
|
|
|
|
|
|
|
1 |
|
Other |
|
|
121 |
|
|
|
21 |
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
12,387 |
|
|
|
1,223 |
|
|
|
1,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less amounts waived |
|
|
(8,200 |
) |
|
|
(926 |
) |
|
|
(1,156 |
) |
Less earnings credits |
|
|
|
(a) |
|
|
|
(a) |
|
|
|
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses |
|
|
4,187 |
|
|
|
297 |
|
|
|
538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
|
153,933 |
|
|
|
5,902 |
|
|
|
17,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on transactions from: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in non-affiliates |
|
|
7,940 |
|
|
|
(6,458 |
) |
|
|
1,888 |
|
Investment in affiliates |
|
|
125 |
|
|
|
(5 |
) |
|
|
26 |
|
Futures |
|
|
|
|
|
|
698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) |
|
|
8,065 |
|
|
|
(5,765 |
) |
|
|
1,914 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in non-affiliates |
|
|
55,113 |
|
|
|
62,179 |
|
|
|
1,450 |
|
Investments in affiliates |
|
|
(124 |
) |
|
|
470 |
|
|
|
(25 |
) |
Futures |
|
|
|
|
|
|
219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) |
|
|
54,989 |
|
|
|
62,868 |
|
|
|
1,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized/unrealized gains (losses) |
|
|
63,054 |
|
|
|
57,103 |
|
|
|
3,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net assets resulting from operations |
|
$ |
216,987 |
|
|
$ |
63,005 |
|
|
$ |
20,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
73 |
|
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core Bond Trust |
|
|
Equity Index Trust |
|
|
Intermediate Bond Trust |
|
|
|
Year Ended 2/28/2011 |
|
|
Year Ended 2/28/2010 |
|
|
Year Ended 2/28/2011 |
|
|
Year Ended 2/28/2010 |
|
|
Year Ended 2/28/2011 |
|
|
Year Ended 2/28/2010 |
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
153,933 |
|
|
$ |
161,374 |
|
|
$ |
5,902 |
|
|
$ |
6,871 |
|
|
$ |
17,106 |
|
|
$ |
17,479 |
|
Net realized gain (loss) |
|
|
8,065 |
|
|
|
1,634 |
|
|
|
(5,765 |
) |
|
|
(31,503 |
) |
|
|
1,914 |
|
|
|
(126 |
) |
Change in net unrealized appreciation (depreciation) |
|
|
54,989 |
|
|
|
187,060 |
|
|
|
62,868 |
|
|
|
144,036 |
|
|
|
1,425 |
|
|
|
18,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net assets resulting from operations |
|
|
216,987 |
|
|
|
350,068 |
|
|
|
63,005 |
|
|
|
119,404 |
|
|
|
20,445 |
|
|
|
35,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income |
|
|
(153,857 |
) |
|
|
(161,358 |
) |
|
|
(5,840 |
) |
|
|
(7,266 |
) |
|
|
(17,137 |
) |
|
|
(17,467 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions to shareholders |
|
|
(153,857 |
) |
|
|
(161,358 |
) |
|
|
(5,840 |
) |
|
|
(7,266 |
) |
|
|
(17,137 |
) |
|
|
(17,467 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares issued |
|
|
689,605 |
|
|
|
736,693 |
|
|
|
58,936 |
|
|
|
58,857 |
|
|
|
65,143 |
|
|
|
116,674 |
|
Subscriptions in-kind (see Note 7) |
|
|
4,376 |
|
|
|
6,405 |
|
|
|
|
|
|
|
10,444 |
|
|
|
|
|
|
|
|
|
Dividends and distributions reinvested |
|
|
124,882 |
|
|
|
72,935 |
|
|
|
2,401 |
|
|
|
1,101 |
|
|
|
15,597 |
|
|
|
12,019 |
|
Cost of shares redeemed |
|
|
(668,047 |
) |
|
|
(563,557 |
) |
|
|
(82,128 |
) |
|
|
(121,637 |
) |
|
|
(76,325 |
) |
|
|
(75,185 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net assets from capital transactions |
|
$ |
150,816 |
|
|
$ |
252,476 |
|
|
$ |
(20,791 |
) |
|
$ |
(51,235 |
) |
|
$ |
4,415 |
|
|
$ |
53,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net assets |
|
|
213,946 |
|
|
|
441,186 |
|
|
|
36,374 |
|
|
|
60,903 |
|
|
|
7,723 |
|
|
|
71,668 |
|
Beginning of period |
|
|
2,808,694 |
|
|
|
2,367,508 |
|
|
|
304,822 |
|
|
|
243,919 |
|
|
|
359,197 |
|
|
|
287,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
End of period |
|
$ |
3,022,640 |
|
|
$ |
2,808,694 |
|
|
$ |
341,196 |
|
|
$ |
304,822 |
|
|
$ |
366,920 |
|
|
$ |
359,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accumulated undistributed (distributions in excess of) net investment income |
|
$ |
492 |
|
|
$ |
343 |
|
|
$ |
1,969 |
|
|
$ |
1,978 |
|
|
$ |
1 |
|
|
$ |
32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARE TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issued |
|
|
65,779 |
|
|
|
73,267 |
|
|
|
4,008 |
|
|
|
5,009 |
|
|
|
6,221 |
|
|
|
11,538 |
|
Subscriptions in-kind (see Note 7) |
|
|
426 |
|
|
|
658 |
|
|
|
|
|
|
|
749 |
|
|
|
|
|
|
|
|
|
Reinvested |
|
|
11,847 |
|
|
|
7,271 |
|
|
|
172 |
|
|
|
104 |
|
|
|
1,490 |
|
|
|
1,189 |
|
Redeemed |
|
|
(63,504 |
) |
|
|
(56,041 |
) |
|
|
(5,706 |
) |
|
|
(10,314 |
) |
|
|
(7,326 |
) |
|
|
(7,408 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in Shares |
|
|
14,548 |
|
|
|
25,155 |
|
|
|
(1,526 |
) |
|
|
(4,452 |
) |
|
|
385 |
|
|
|
5,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL
STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
74 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
THIS PAGE IS
INTENTIONALLY LEFT BLANK
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
75 |
|
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 |
|
|
Net realized gain |
|
|
Total distributions |
|
Core Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended February 28, 2011 |
|
$ |
10.27 |
|
|
$ |
0.55 |
|
|
$ |
0.23 |
|
|
$ |
0.78 |
|
|
$ |
(0.55 |
) |
|
$ |
|
|
|
$ |
(0.55 |
) |
Year Ended February 28, 2010 |
|
|
9.53 |
|
|
|
0.63 |
|
|
|
0.74 |
|
|
|
1.37 |
|
|
|
(0.63 |
) |
|
|
|
|
|
|
(0.63 |
) |
Year Ended February 28, 2009 |
|
|
10.09 |
|
|
|
0.55 |
|
|
|
(0.56 |
) |
|
|
(0.01 |
) |
|
|
(0.55 |
) |
|
|
|
|
|
|
(0.55 |
) |
Year Ended February 29, 2008 |
|
|
9.78 |
|
|
|
0.49 |
|
|
|
0.31 |
|
|
|
0.80 |
|
|
|
(0.49 |
) |
|
|
|
|
|
|
(0.49 |
) |
Year Ended February 28, 2007 |
|
|
9.70 |
|
|
|
0.47 |
|
|
|
0.08 |
|
|
|
0.55 |
|
|
|
(0.47 |
) |
|
|
|
|
|
|
(0.47 |
) |
|
|
|
|
|
|
|
|
Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended February 28, 2011 |
|
|
13.42 |
|
|
|
0.28 |
|
|
|
2.67 |
|
|
|
2.95 |
|
|
|
(0.27 |
) |
|
|
|
|
|
|
(0.27 |
) |
Year Ended February 28, 2010 |
|
|
8.98 |
|
|
|
0.30 |
|
|
|
4.44 |
|
|
|
4.74 |
|
|
|
(0.30 |
) |
|
|
|
|
|
|
(0.30 |
) |
Year Ended February 28, 2009 |
|
|
16.27 |
|
|
|
0.33 |
|
|
|
(7.28 |
) |
|
|
(6.95 |
) |
|
|
(0.30 |
) |
|
|
(0.04 |
) |
|
|
(0.34 |
) |
Year Ended February 29, 2008 |
|
|
17.53 |
|
|
|
0.35 |
|
|
|
(0.94 |
) |
|
|
(0.59 |
) |
|
|
(0.33 |
) |
|
|
(0.34 |
) |
|
|
(0.67 |
) |
Year Ended February 28, 2007 |
|
|
16.01 |
|
|
|
0.31 |
|
|
|
1.57 |
|
|
|
1.88 |
|
|
|
(0.30 |
) |
|
|
(0.06 |
) |
|
|
(0.36 |
) |
|
|
|
|
|
|
|
|
Intermediate Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended February 28, 2011 |
|
|
10.28 |
|
|
|
0.48 |
|
|
|
0.10 |
|
|
|
0.58 |
|
|
|
(0.48 |
) |
|
|
|
|
|
|
(0.48 |
) |
Year Ended February 28, 2010 |
|
|
9.70 |
|
|
|
0.53 |
|
|
|
0.58 |
|
|
|
1.11 |
|
|
|
(0.53 |
) |
|
|
|
|
|
|
(0.53 |
) |
Year Ended February 28, 2009 |
|
|
10.08 |
|
|
|
0.50 |
|
|
|
(0.38 |
) |
|
|
0.12 |
|
|
|
(0.50 |
) |
|
|
|
|
|
|
(0.50 |
) |
Year Ended February 29, 2008 |
|
|
9.76 |
|
|
|
0.48 |
|
|
|
0.32 |
|
|
|
0.80 |
|
|
|
(0.48 |
) |
|
|
|
|
|
|
(0.48 |
) |
Year Ended February 28, 2007 |
|
|
9.68 |
|
|
|
0.47 |
|
|
|
0.08 |
|
|
|
0.55 |
|
|
|
(0.47 |
) |
|
|
|
|
|
|
(0.47 |
) |
(a) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting
purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
76 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental data |
|
|
|
|
|
|
|
|
|
|
Ratios to average net assets |
|
|
|
|
Net asset value, end of period |
|
|
Total return (a) |
|
|
Net assets, end of period (000s) |
|
|
Net expenses (b) |
|
|
Net investment income (loss) |
|
|
Expenses without waivers, reimbursements and earnings credits |
|
|
Portfolio turnover rate |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
10.50 |
|
|
|
7.71 |
% |
|
$ |
3,022,640 |
|
|
|
0.14 |
% |
|
|
5.23 |
% |
|
|
0.42 |
% |
|
|
20 |
% |
|
10.27 |
|
|
|
14.70 |
|
|
|
2,808,694 |
|
|
|
0.14 |
|
|
|
6.24 |
|
|
|
0.42 |
|
|
|
19 |
|
|
9.53 |
|
|
|
(0.06 |
) |
|
|
2,367,508 |
|
|
|
0.15 |
|
|
|
5.60 |
|
|
|
0.44 |
|
|
|
13 |
|
|
10.09 |
|
|
|
8.49 |
|
|
|
2,626,150 |
|
|
|
0.15 |
|
|
|
5.00 |
|
|
|
0.42 |
|
|
|
16 |
|
|
9.78 |
|
|
|
5.86 |
|
|
|
2,800,516 |
|
|
|
0.15 |
|
|
|
4.82 |
|
|
|
0.43 |
|
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16.10 |
|
|
|
22.38 |
|
|
|
341,196 |
|
|
|
0.10 |
|
|
|
1.95 |
|
|
|
0.40 |
|
|
|
13 |
|
|
13.42 |
|
|
|
53.50 |
|
|
|
304,822 |
|
|
|
0.10 |
|
|
|
2.37 |
|
|
|
0.42 |
|
|
|
18 |
|
|
8.98 |
|
|
|
(43.42 |
) |
|
|
243,919 |
|
|
|
0.10 |
|
|
|
2.43 |
|
|
|
0.41 |
|
|
|
14 |
|
|
16.27 |
|
|
|
(3.70 |
) |
|
|
398,720 |
|
|
|
0.10 |
|
|
|
1.90 |
|
|
|
0.40 |
|
|
|
15 |
|
|
17.53 |
|
|
|
11.87 |
|
|
|
420,518 |
|
|
|
0.10 |
|
|
|
1.85 |
|
|
|
0.40 |
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10.38 |
|
|
|
5.72 |
|
|
|
366,920 |
|
|
|
0.14 |
|
|
|
4.60 |
|
|
|
0.46 |
|
|
|
28 |
|
|
10.28 |
|
|
|
11.72 |
|
|
|
359,197 |
|
|
|
0.15 |
|
|
|
5.33 |
|
|
|
0.47 |
|
|
|
23 |
|
|
9.70 |
|
|
|
1.29 |
|
|
|
287,529 |
|
|
|
0.15 |
|
|
|
5.07 |
|
|
|
0.49 |
|
|
|
11 |
|
|
10.08 |
|
|
|
8.41 |
|
|
|
349,739 |
|
|
|
0.15 |
|
|
|
4.85 |
|
|
|
0.45 |
|
|
|
17 |
|
|
9.76 |
|
|
|
5.81 |
|
|
|
327,319 |
|
|
|
0.15 |
|
|
|
4.82 |
|
|
|
0.46 |
|
|
|
14 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
77 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011
1. Organization
JPMorgan Institutional Trust (the Trust) was organized on
September 14, 2004 as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. Three separate diversified series of the Trust
(collectively, the Funds) covered by this report, commenced operations on February 7, 2005: Core Bond Trust, Equity Index Trust and Intermediate Bond Trust.
2. Significant Accounting Policies
The following is a summary of significant accounting policies
followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments 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. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received
from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term
investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in
markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material.
Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are
not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such
investment companys current day closing net asset value per share.
Securities or other assets for which market quotations are not readily
available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board
of Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used
had a ready market for the investments existed, and such differences could have been material.
Valuations reflected in this report are as of the
report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds investments are summarized into the three broad levels listed below:
|
|
Level 1 quoted prices in active markets for identical securities |
|
|
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
|
|
|
Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
|
A financial instruments level within the fair value hierarchy is based on the lowest level of any input both individually
and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
|
|
|
|
|
|
|
|
|
|
78 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
The following tables represent each valuation input by sector as presented on the Schedules of Portfolio
Investments (SOIs) (amounts in thousands):
Core Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 Quoted prices |
|
|
Level 2 Other significant observable inputs |
|
|
Level 3 Significant unobservable inputs |
|
|
Total |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
|
|
|
$ |
78,174 |
|
|
$ |
2,496 |
|
|
$ |
80,670 |
|
Collateralized Mortgage Obligations |
|
|
|
|
|
|
1,268,594 |
|
|
|
2,688 |
|
|
|
1,271,282 |
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
53,795 |
|
|
|
|
|
|
|
53,795 |
|
Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary |
|
|
|
|
|
|
36,555 |
|
|
|
|
|
|
|
36,555 |
|
Consumer Staples |
|
|
|
|
|
|
23,029 |
|
|
|
|
|
|
|
23,029 |
|
Energy |
|
|
|
|
|
|
25,125 |
|
|
|
|
|
|
|
25,125 |
|
Financials |
|
|
|
|
|
|
292,961 |
|
|
|
|
|
|
|
292,961 |
|
Health Care |
|
|
|
|
|
|
7,642 |
|
|
|
|
|
|
|
7,642 |
|
Industrials |
|
|
|
|
|
|
15,877 |
|
|
|
|
|
|
|
15,877 |
|
Information Technology |
|
|
|
|
|
|
21,011 |
|
|
|
|
|
|
|
21,011 |
|
Materials |
|
|
|
|
|
|
12,531 |
|
|
|
|
|
|
|
12,531 |
|
Telecommunication Services |
|
|
|
|
|
|
33,095 |
|
|
|
|
|
|
|
33,095 |
|
Utilities |
|
|
|
|
|
|
50,575 |
|
|
|
|
|
|
|
50,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds |
|
|
|
|
|
|
518,401 |
|
|
|
|
|
|
|
518,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities |
|
|
|
|
|
|
10,712 |
|
|
|
|
|
|
|
10,712 |
|
Mortgage Pass-Through Securities |
|
|
|
|
|
|
207,218 |
|
|
|
|
|
|
|
207,218 |
|
Municipal Bonds |
|
|
|
|
|
|
3,228 |
|
|
|
|
|
|
|
3,228 |
|
Supranational |
|
|
|
|
|
|
429 |
|
|
|
|
|
|
|
429 |
|
U.S. Government Agency Securities |
|
|
|
|
|
|
17,514 |
|
|
|
|
|
|
|
17,514 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
750,629 |
|
|
|
|
|
|
|
750,629 |
|
Short-Term Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Company |
|
|
95,644 |
|
|
|
|
|
|
|
|
|
|
|
95,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
95,644 |
|
|
$ |
2,908,694 |
|
|
$ |
5,184 |
|
|
$ |
3,009,522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Index Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 Quoted prices |
|
|
Level 2 Other significant observable inputs |
|
|
Level 3 Significant unobservable inputs |
|
|
Total |
|
Total Investments in Securities# |
|
$ |
341,160 |
|
|
$ |
425 |
|
|
$ |
|
|
|
$ |
341,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Appreciation in Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
$ |
192 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# |
Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of a U.S. Treasury Bill held as collateral for futures
contracts. Please refer to the SOI for industry specifics of the portfolio holdings. |
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
79 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Intermediate Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 Quoted prices |
|
|
Level 2 Other significant observable inputs |
|
|
Level 3 Significant unobservable inputs |
|
|
Total |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
|
|
|
$ |
7,794 |
|
|
$ |
|
|
|
$ |
7,794 |
|
Collateralized Mortgage Obligations |
|
|
|
|
|
|
107,983 |
|
|
|
1,504 |
|
|
|
109,487 |
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
4,897 |
|
|
|
|
|
|
|
4,897 |
|
Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary |
|
|
|
|
|
|
3,898 |
|
|
|
|
|
|
|
3,898 |
|
Consumer Staples |
|
|
|
|
|
|
2,550 |
|
|
|
|
|
|
|
2,550 |
|
Energy |
|
|
|
|
|
|
2,950 |
|
|
|
|
|
|
|
2,950 |
|
Financials |
|
|
|
|
|
|
40,432 |
|
|
|
|
|
|
|
40,432 |
|
Health Care |
|
|
|
|
|
|
780 |
|
|
|
|
|
|
|
780 |
|
Industrials |
|
|
|
|
|
|
2,887 |
|
|
|
|
|
|
|
2,887 |
|
Information Technology |
|
|
|
|
|
|
1,977 |
|
|
|
|
|
|
|
1,977 |
|
Materials |
|
|
|
|
|
|
1,248 |
|
|
|
|
|
|
|
1,248 |
|
Telecommunication Services |
|
|
|
|
|
|
4,564 |
|
|
|
|
|
|
|
4,564 |
|
Utilities |
|
|
|
|
|
|
4,901 |
|
|
|
|
|
|
|
4,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds |
|
|
|
|
|
|
66,187 |
|
|
|
|
|
|
|
66,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Securities |
|
|
|
|
|
|
668 |
|
|
|
|
|
|
|
668 |
|
Mortgage Pass-Through Securities |
|
|
|
|
|
|
34,793 |
|
|
|
|
|
|
|
34,793 |
|
Supranational |
|
|
|
|
|
|
43 |
|
|
|
|
|
|
|
43 |
|
U.S. Government Agency Securities |
|
|
|
|
|
|
8,761 |
|
|
|
|
|
|
|
8,761 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
120,689 |
|
|
|
|
|
|
|
120,689 |
|
Short-Term Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Company |
|
|
11,727 |
|
|
|
|
|
|
|
|
|
|
|
11,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
11,727 |
|
|
$ |
351,815 |
|
|
$ |
1,504 |
|
|
$ |
365,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For each of the Funds, there were no transfers between Levels 1 and 2 during the year ended February 28, 2011.
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 Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core Bond Trust Fund |
|
Balance as of 02/28/10 |
|
|
Realized gain (loss) |
|
|
Change in unrealized appreciation (depreciation) |
|
|
Net amortization (accretion) |
|
|
Purchases1 |
|
|
Sales2 |
|
|
Transfers into Level 3 |
|
|
Transfers out of Level 3 |
|
|
Balance as of 02/28/11 |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
1,100 |
|
|
$ |
|
|
|
$ |
6 |
|
|
$ |
|
|
|
$ |
2,975 |
|
|
$ |
(485 |
) |
|
$ |
|
|
|
$ |
(1,100 |
) |
|
$ |
2,496 |
|
Collateralized Mortgage Obligations |
|
|
4,134 |
|
|
|
|
|
|
|
581 |
|
|
|
8 |
|
|
|
1,368 |
|
|
|
(14 |
) |
|
|
|
|
|
|
(3,389 |
) |
|
|
2,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
5,234 |
|
|
$ |
|
|
|
$ |
587 |
|
|
$ |
8 |
|
|
$ |
4,343 |
|
|
$ |
(499 |
) |
|
$ |
|
|
|
$ |
(4,489 |
) |
|
$ |
5,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
Intermediate Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Intermediate Bond Trust Fund |
|
Balance as of 02/28/10 |
|
|
Realized gain (loss) |
|
|
Change in unrealized appreciation (depreciation) |
|
|
Net amortization (accretion) |
|
|
Purchases1 |
|
|
Sales2 |
|
|
Transfers into Level 3 |
|
|
Transfers out of Level 3 |
|
|
Balance as of 02/28/11 |
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
63 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
(63 |
) |
|
$ |
|
|
Collateralized Mortgage Obligations |
|
|
75 |
|
|
|
(4 |
) |
|
|
12 |
|
|
|
|
|
|
|
1,461 |
|
|
|
(40 |
) |
|
|
|
|
|
|
|
|
|
|
1,504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
138 |
|
|
$ |
(4 |
) |
|
$ |
12 |
|
|
$ |
|
|
|
$ |
1,461 |
|
|
$ |
(40 |
) |
|
$ |
|
|
|
$ |
(63 |
) |
|
$ |
1,504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market
inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at February 28, 2011, which
were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):
|
|
|
|
|
|
|
Value |
|
Core Bond Trust |
|
$ |
511 |
|
Intermediate Bond Trust |
|
|
51 |
|
These amounts are included in Change in net
unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.
B. Restricted and Illiquid
Securities Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is
a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a
withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the value and percentage of net assets of illiquid securities as of February 28, 2011 (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
Percentage |
|
Core Bond Trust |
|
$ |
5,184 |
|
|
|
0.2 |
% |
Intermediate Bond Trust |
|
|
1,504 |
|
|
|
0.4 |
|
C. Futures Contracts
Equity Index Trust uses index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Fund buys futures contracts to immediately invest incoming cash in the market or sell futures in
response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the
underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to
as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures
contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was
closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A
receivable from and/or a payable to brokers for the daily variation margin are also recorded on the Statements of Assets and Liabilities.
The
Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the
Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The
exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds 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 days settlement price, which could effectively prevent liquidation of unfavorable positions.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
81 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
The table below discloses the volume of the Funds derivatives activities during the year ended February 28, 2011
(amounts in thousands):
|
|
|
|
|
|
|
Equity Index Trust |
|
Futures Contracts: |
|
|
|
|
Average Notional Balance Long |
|
$ |
3,837 |
|
Ending Notional Balance Long |
|
|
2,387 |
|
D. Transactions with Affiliates
An issuer which is under common control with the Funds may be considered to be an affiliate. For the purposes of the report, the Funds assume the following to be affiliated issuers (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Value at February 28, 2010 |
|
|
Purchase Cost |
|
|
Sales Proceeds |
|
|
Realized Gain/Loss |
|
|
Dividend/ Interest Income |
|
|
Shares/Principal Amount ($) at February 28, 2011 |
|
|
Value at February 28, 2011 |
|
Core Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bear Stearns Cos., Inc. (The), 5.700%, 11/15/14* |
|
$ |
1,099 |
|
|
$ |
|
|
|
$ |
1,097 |
|
|
$ |
88 |
|
|
$ |
4 |
|
|
|
|
|
|
$ |
|
|
Bear Stearns Cos., Inc. (The), 7.250%, 02/01/18* |
|
|
243 |
|
|
|
|
|
|
|
246 |
|
|
|
37 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% |
|
|
161,993 |
|
|
|
811,673 |
|
|
|
878,022 |
|
|
|
|
|
|
|
164 |
|
|
|
95,644 |
|
|
|
95,644 |
|
JPMorgan Prime Money Market Fund, Capital Shares** |
|
|
40,018 |
|
|
|
193,187 |
|
|
|
233,205 |
|
|
|
|
|
|
|
53 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
203,353 |
|
|
$ |
1,004,860 |
|
|
$ |
1,112,570 |
|
|
$ |
125 |
|
|
$ |
222 |
|
|
|
95,644 |
|
|
$ |
95,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Chase & Co. (common stock)*** |
|
$ |
4,999 |
|
|
$ |
437 |
|
|
$ |
807 |
|
|
$ |
(5 |
) |
|
$ |
22 |
|
|
|
109 |
|
|
$ |
5,094 |
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% |
|
|
2,266 |
|
|
|
53,431 |
|
|
|
52,620 |
|
|
|
|
|
|
|
6 |
|
|
|
3,077 |
|
|
|
3,077 |
|
JPMorgan Prime Money Market Fund, Capital Shares** |
|
|
1,131 |
|
|
|
16,600 |
|
|
|
17,731 |
|
|
|
|
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
8,396 |
|
|
$ |
70,468 |
|
|
$ |
71,158 |
|
|
$ |
(5 |
) |
|
$ |
32 |
|
|
|
3,186 |
|
|
$ |
8,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Intermediate Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bear Stearns Cos., Inc. (The), 5.700%, 11/15/14* |
|
$ |
110 |
|
|
$ |
|
|
|
$ |
110 |
|
|
$ |
9 |
|
|
$ |
|
(a) |
|
|
|
|
|
$ |
|
|
Bear Stearns Cos., Inc. (The), 7.250%, 02/01/18* |
|
|
116 |
|
|
|
|
|
|
|
117 |
|
|
|
17 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% |
|
|
11,880 |
|
|
|
112,943 |
|
|
|
113,096 |
|
|
|
|
|
|
|
15 |
|
|
|
11,727 |
|
|
|
11,727 |
|
JPMorgan Prime Money Market Fund, Capital Shares** |
|
|
537 |
|
|
|
44,330 |
|
|
|
44,867 |
|
|
|
|
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
12,643 |
|
|
$ |
157,273 |
|
|
$ |
158,190 |
|
|
$ |
26 |
|
|
$ |
20 |
|
|
|
11,727 |
|
|
$ |
11,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Amount rounds to less than $1,000. |
* |
Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
** |
Represents investment of cash collateral related to securities on loan, as described in Note 2.E. Dividend income earned from this investment is included in, and
represents a significant portion of, Income from securities lending (net) in the Statements of Operations. |
*** |
Security is included in an index in which the Fund, as an index fund, invests. |
E. Securities Lending The Funds may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (the Advisor), in order to generate additional income.
JPMorgan Chase Bank N.A. (JPMCB), an affiliate of the Funds, serves as lending agent for the Funds pursuant to an Amended and Restated Securities Lending Agreement effective February 9, 2010 (Securities Lending
Agreement). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral.
Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash
collateral investments (Collateral Investments), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of
Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of
Operations.
|
|
|
|
|
|
|
|
|
|
|
82 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
For the year ended February 28, 2011, the Funds earned the following amounts from the investment of cash
collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
|
|
|
|
|
|
|
Value |
|
Core Bond Trust |
|
$ |
34 |
|
Equity Index Trust |
|
|
2 |
|
Intermediate Bond Trust |
|
|
2 |
|
At the inception of a loan, securities are
exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities plus accrued interest and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The Securities Lending
Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% and 105% of the value of loaned U.S.
dollar-denominated and non-dollar-denominated securities, respectively, subject to certain de minimis guidelines.
As of February 28,
2011, there were no securities on loan.
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to
additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the
security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this
liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely
manner or at all. Subject to certain conditions, JPMCB has agreed to indemnify the Funds from losses resulting from a borrowers failure to return a loaned security.
The Advisor of the Funds waived fees associated with the Funds investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
|
|
|
|
|
|
|
Value |
|
Core Bond Trust |
|
$ |
20 |
|
Equity Index Trust |
|
|
1 |
|
Intermediate Bond Trust |
|
|
1 |
|
These amounts offset the administration fees
and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds investment in such fund. A portion of the waiver is voluntary.
Under the Securities Lending Agreement, JPMCB is entitled to a fee, paid monthly in arrears equal to (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding
during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the year ended February 28, 2011 (amounts in thousands):
|
|
|
|
|
|
|
Lending Agent Fees Incurred |
|
Core Bond Trust |
|
$ |
6 |
|
Equity Index Trust |
|
|
|
(a) |
Intermediate Bond Trust |
|
|
1 |
|
(a) |
Amount rounds to less than $1,000. |
F. Security Transactions and Investment Income Investment transactions are accounted for on the trade date (the date the order to buy or
sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums
and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
G. Allocation of Expenses Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trust are allocated among
the respective funds.
H. Federal Income Taxes Each Fund is treated as a separate taxable entity for Federal income tax purposes.
Each Funds policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment
income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or
losses will significantly change in the next twelve months. However, the Funds conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the
Funds Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
83 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
I. Dividends and Distributions to Shareholders Dividends from net investment income are declared and paid
monthly for Core Bond Trust and Intermediate Bond Trust, and declared and paid quarterly for Equity Index Trust. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net
investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these
book/tax differences are permanent in nature (i.e., that they result from other than timing of recognition temporary differences), such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in-Capital |
|
|
Accumulated Undistributed/ (Overdistributed) Net Investment Income |
|
|
Accumulated Net Realized Gain (Loss) on Investments |
|
Core Bond Trust |
|
$ |
(73 |
) |
|
$ |
73 |
|
|
$ |
|
|
Equity Index Trust |
|
|
|
(a) |
|
|
(71 |
) |
|
|
71 |
|
Intermediate Bond Trust |
|
|
|
(a) |
|
|
|
(a) |
|
|
|
|
(a) |
Amount rounds to less than $1,000. |
The
reclassifications for the Core Bond Trust and the Intermediate Bond Trust relate primarily to closing entry reversals and distributions from investments in real estate investment trusts for the Equity Index Trust.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee Pursuant to the Investment Advisory Agreement, the Advisor acts as the investment advisor to the Funds. The
Advisor is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (JPMorgan). The Advisor 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 Funds respective average daily net assets. The annual fee rate for each Fund is as follows:
|
|
|
|
|
Core Bond Trust |
|
|
0.30 |
% |
Equity Index Trust |
|
|
0.25 |
|
Intermediate Bond Trust |
|
|
0.30 |
|
The Advisor waived Investment Advisory fees
and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee Pursuant to an Administration Agreement, JPMorgan
Funds Management, Inc. (the Administrator), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and
paid monthly at the annualized rate of 0.10% of the Funds average daily net assets.
The Administrator waived Administration fees as
outlined in Note 3.E.
J.P. Morgan Investor Services, Co. (JPMIS), an indirect, wholly-owned subsidiary of JPMorgan, serves as the
Funds Sub-administrator (the Sub-administrator). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Custodian and Accounting Fees JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services
are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately
in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to
affiliates in the Statements of Operations.
D. Placement Agent J.P. Morgan Institutional Investments, Inc. (the
Placement Agent), a registered broker-dealer affiliated with the Advisor, serves as the Funds Placement Agent. The Placement Agent processes subscriptions for shares and provides various sales support activities in connection with
the Funds private placement of its shares.
E. Waivers and Reimbursements The Advisor and Administrator have
contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expense related to short sales, interest, taxes, extraordinary expenses and
expenses related to the Board of Trustees deferred compensation plan) exceed the percentages of the Funds respective average daily net assets as shown in the table below:
|
|
|
|
|
Core Bond Trust |
|
|
0.15 |
% |
Equity Index Trust |
|
|
0.10 |
|
Intermediate Bond Trust |
|
|
0.15 |
|
|
|
|
|
|
|
|
|
|
|
|
84 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
The contractual expense limitation agreements were in effect for the year ended February 28, 2011. The
expense limitation percentages in the table above are in place until at least June 30, 2011.
For the year ended February 28, 2011, the
Funds service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contractual Waivers |
|
|
|
Investment Advisory |
|
|
Administration |
|
|
Total |
|
Core Bond Trust |
|
$ |
5,029 |
|
|
$ |
2,943 |
|
|
$ |
7,972 |
|
Equity Index Trust |
|
|
618 |
|
|
|
302 |
|
|
|
920 |
|
Intermediate Bond Trust |
|
|
764 |
|
|
|
372 |
|
|
|
1,136 |
|
Additionally, the Funds may invest in one or
more money market funds advised by the Advisor or its affiliates. The Advisor and Administrator 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 waivers resulting from investments in the money market funds
for the year ended February 28, 2011 were as follows (excluding the reimbursement disclosed in Note 2.E. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):
|
|
|
|
|
Core Bond Trust |
|
$ |
228 |
|
Equity Index Trust |
|
|
6 |
|
Intermediate Bond Trust |
|
|
20 |
|
F. Other Certain officers
of the Trust are affiliated with the Advisor and Administrator. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other
affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees and Chief Compliance
Officers fees in the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the Plan) which allows
the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal
underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended
February 28, 2011, the Funds did not incur any 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.
4. Investment Transactions
During
the year ended February 28, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases (excluding U.S. Government) |
|
|
Sales (excluding U.S. Government) |
|
|
Purchases of U.S. Government |
|
|
Sales of U.S. Government |
|
Core Bond Trust |
|
$ |
423,911 |
|
|
$ |
438,148 |
|
|
$ |
308,257 |
|
|
$ |
108,206 |
|
Equity Index Trust |
|
|
37,561 |
|
|
|
57,226 |
|
|
|
|
|
|
|
|
|
Intermediate Bond Trust |
|
|
50,225 |
|
|
|
70,325 |
|
|
|
53,166 |
|
|
|
28,785 |
|
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at
February 28, 2011, were as follows (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate Cost |
|
|
Gross Unrealized Appreciation |
|
|
Gross Unrealized Depreciation |
|
|
Net Unrealized Appreciation (Depreciation) |
|
Core Bond Trust |
|
$ |
2,851,572 |
|
|
$ |
194,147 |
|
|
$ |
36,197 |
|
|
$ |
157,950 |
|
Equity Index Trust |
|
|
289,166 |
|
|
|
71,971 |
|
|
|
19,552 |
|
|
|
52,419 |
|
Intermediate Bond Trust |
|
|
351,642 |
|
|
|
17,887 |
|
|
|
4,483 |
|
|
|
13,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
85 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributable to
wash sale loss deferrals (Core Bond Trust and Equity Index Trust).
The tax character of distributions paid during the fiscal year ended
February 28, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
Total Distributions Paid From: |
|
|
|
|
|
|
Ordinary Income |
|
|
Total Distributions Paid |
|
Core Bond Trust |
|
$ |
153,857 |
|
|
$ |
153,857 |
|
Equity Index Trust |
|
|
5,840 |
|
|
|
5,840 |
|
Intermediate Bond Trust |
|
|
17,137 |
|
|
|
17,137 |
|
The tax character of distributions paid
during the fiscal year ended February 28, 2010 was as follows:
|
|
|
|
|
|
|
|
|
|
|
Total Distributions Paid From: |
|
|
|
|
|
|
Ordinary Income |
|
|
Total Distributions Paid |
|
Core Bond Trust |
|
$ |
161,358 |
|
|
$ |
161,358 |
|
Equity Index Trust |
|
|
7,266 |
|
|
|
7,266 |
|
Intermediate Bond Trust |
|
|
17,467 |
|
|
|
17,467 |
|
At February 28, 2011, the components of
net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Distributable Ordinary Income |
|
|
Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss
Carryover) |
|
|
Unrealized Appreciation (Depreciation) |
|
Core Bond Trust |
|
$ |
791 |
|
|
$ |
(5,367 |
) |
|
$ |
157,950 |
|
Equity Index Trust |
|
|
1,970 |
|
|
|
(30,903 |
) |
|
|
52,419 |
|
Intermediate Bond Trust |
|
|
31 |
|
|
|
(1,181 |
) |
|
|
13,404 |
|
For the Funds, the cumulative timing
differences primarily consist of wash sale loss deferrals (Core Bond Trust and Equity Index Trust), deferred trustees compensation (Equity Index Trust) and distributions payable (Core Bond Trust and Intermediate Bond Trust).
As of February 28, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset
future realized gains (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2015 |
|
|
2016 |
|
|
2017 |
|
|
2018 |
|
|
2019 |
|
|
Total |
|
Core Bond Trust |
|
$ |
|
|
|
$ |
|
|
|
$ |
5,367 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
5,367 |
|
Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
9,624 |
|
|
|
14,261 |
|
|
|
7,018 |
|
|
|
30,903 |
|
Intermediate Bond Trust |
|
|
209 |
|
|
|
134 |
|
|
|
713 |
|
|
|
125 |
|
|
|
|
|
|
|
1,181 |
|
During the year ended February 28,
2011, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
|
|
|
|
|
Core Bond Trust |
|
$ |
8,065 |
|
Intermediate Bond Trust |
|
|
1,914 |
|
Net capital losses incurred after
October 31 and within the taxable year are deemed to arise on the first business day of the Funds next taxable year. For the year ended February 28, 2011, Equity Index Trust deferred to March 1, 2011 post-October capital losses
of approximately $ 774,000.
6. 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 Funds 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.
Shares of the Funds are offered only to certain clients of the Funds investment advisor or its affiliates who maintain one or more separately managed private accounts. Significant shareholder
transactions, if any, may impact the Funds performance.
Risks applicable only to Core Bond Trust and Intermediate Bond Trust:
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.
|
|
|
|
|
|
|
|
|
|
|
86 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
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 markets perception of the issuers and changes in
interest rates.
A significant portion of the Funds investments is 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 representative of its value, the value of the Funds net assets could be adversely affected.
7. Transfers-In-Kind
For the years ended February 28, 2011 and February 28, 2010,
certain shareholders of the Core Bond Trust purchased shares and the Core Bond Trust received portfolio securities primarily by means of a subscription in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of
the close of business on the dates and at the market values listed below (amounts in thousands):
Year Ended February 28, 2011
|
|
|
|
|
|
|
|
|
Date |
|
Market Value |
|
|
Type |
|
March 30, 2010 |
|
$ |
4,376 |
|
|
|
Subscription-in-kind |
|
Year Ended February 28, 2010
|
|
|
|
|
|
|
|
|
Date |
|
Market Value |
|
|
Type |
|
March 30, 2009 |
|
$ |
6,405 |
|
|
|
Subscription-in-kind |
|
For the year ended February 28, 2010,
certain shareholders of the Equity Index Trust purchased shares and the Equity Index Trust received portfolio securities primarily by means of a subscription-in-kind in exchange for shares of the Fund. Portfolio securities were transferred as of the
close of business on the date and at the market value listed below (amounts in thousands):
Year Ended February 28, 2010
|
|
|
|
|
|
|
|
|
Date |
|
Market Value |
|
|
Type |
|
January 20, 2010 |
|
$ |
10,444 |
|
|
|
Subscription-in-kind |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
87 |
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Institutional Trust and Shareholders of
JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust:
In our opinion, the accompanying statements of
assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan
Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (hereafter referred to as the Funds) at February 28, 2011, the results of their operations for the year then ended, the changes in their net assets
for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant
estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2011 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
April 29, 2011
|
|
|
|
|
|
|
|
|
|
|
88 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
TRUSTEES
(Unaudited)
The
Funds Statement of Additional Information includes additional information about the Funds Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds website at
www.jpmorganfunds.com.
|
|
|
|
|
|
|
Name (Year of Birth); Positions With the Funds (1) |
|
Principal Occupations During Past 5 Years |
|
Number of Portfolios in Fund Complex Overseen by Trustee (2) |
|
Other Directorships Held Outside Fund Complex |
Independent Trustees |
|
|
|
|
|
|
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987. |
|
Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial
equipment) (1972-2000). |
|
148 |
|
None. |
|
|
|
|
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. |
|
Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). |
|
148 |
|
Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). |
|
|
|
|
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. |
|
Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). |
|
148 |
|
Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City
(2002-present). |
|
|
|
|
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. |
|
Retired; Director of Administration of the State of Rhode Island (2003-2004); President Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). |
|
148 |
|
None. |
|
|
|
|
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. |
|
Self-employed business consultant (2002-present). |
|
148 |
|
Director, Center for Communication, Hearing, and Deafness (1990-present). |
|
|
|
|
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. |
|
Vice President of Administration and Planning, Northwestern University (1985-present). |
|
148 |
|
Trustee, Carleton College (2003-present). |
|
|
|
|
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. |
|
Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). |
|
148 |
|
Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). |
|
|
|
|
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. |
|
Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). |
|
148 |
|
Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). |
|
|
|
|
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. |
|
Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation
(1985-2002). |
|
148 |
|
Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). |
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
89 |
|
TRUSTEES
(Unaudited) (continued)
|
|
|
|
|
|
|
|
|
Name (Year of Birth); Positions With the Fund (1) |
|
Principal Occupations During Past 5 Years |
|
Number of Portfolios in Fund
Complex Overseen by Trustee
(2) |
|
|
Other Directorships Held Outside Fund Complex |
Independent Trustees (continued) |
|
|
|
|
|
|
|
Frederick W. Ruebeck (1939); Trustee of Trust since 2009; Trustee of heritage One Group Mutual Funds since 1994. |
|
Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments,
Eli Lilly and Company (pharmaceuticals) (1988-1999). |
|
|
148 |
|
|
Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). |
|
|
|
|
James J. Schonbachler (1943); Trustee of Trust since 2009; Trustee of heritage J.P. Morgan Funds since 2001. |
|
Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). |
|
|
148 |
|
|
None. |
Interested Trustees |
|
|
|
|
|
|
|
|
|
|
|
|
Frankie D. Hughes** (1952), Trustee of Trust since 2009. |
|
Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). |
|
|
148 |
|
|
Trustee, The Victory Portfolios (2000-2008). |
|
|
|
|
Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2009; Trustee of heritage J.P. Morgan Funds since 1998. |
|
Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management)
(1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). |
|
|
148 |
|
|
Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington
County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). |
(1) |
Each Trustee serves for an indefinite term, subject to the Trusts current retirement policy, which is age 75 for all Trustees, except that the Board has determined
Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
(2) |
A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor
services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees
serves currently includes ten registered investment companies (148 funds). |
* |
Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate
Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds investment advisor, is a wholly-owned subsidiary of
JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to
certain J.P. Morgan Funds. |
** |
Ms. Hughes is treated as an interested person based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
*** |
Mr. Spalding is treated as an interested person due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
|
|
|
|
|
|
|
|
|
|
|
90 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
FEBRUARY 28, 2011 |
OFFICERS
(Unaudited)
|
|
|
Name (Year of Birth), Positions Held with the Trust (Since) |
|
Principal Occupations During Past 5 Years |
|
|
Patricia A. Maleski (1960), President and Principal Executive Officer (2010) |
|
Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and
Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. |
|
|
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) |
|
Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from
December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLifes investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. |
|
|
Frank J. Nasta (1964), Secretary (2008) |
|
Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman &
Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. |
|
|
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) |
|
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co.
since 2000. |
|
|
Paul L. Gulinello (1950), AML Compliance Officer (2005) |
|
Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance
since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. |
|
|
Michael J. Tansley (1964), Controller (2008) |
|
Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from
2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. |
|
|
Elizabeth A. Davin (1964), Assistant
Secretary (2005)* |
|
Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and
Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. |
|
|
Jessica K. Ditullio (1962), Assistant Secretary (2005)* |
|
Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One
Corporation) since 1990. |
|
|
John T. Fitzgerald (1975), Assistant Secretary (2008) |
|
Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February
2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. |
|
|
Gregory S. Samuels (1980) Assistant Secretary (2010) |
|
Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005
to 2008. |
|
|
Brian L. Duncan (1965), Assistant Treasurer (2008)* |
|
Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and
Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. |
|
|
Jeffrey D. House (1972), Assistant Treasurer (2006)* |
|
Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July
2006. |
|
|
Laura S. Melman (1966), Assistant Treasurer (2006) |
|
Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation;
Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The
Bank of New York Co., Inc. from 2001 until 2006. |
|
|
Francesco Tango (1971), Assistant Treasurer (2007) |
|
Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
The contact address for each of the
officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* |
The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
|
|
|
|
|
|
|
|
|
|
|
|
|
FEBRUARY 28, 2011 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
91 |
|
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur ongoing costs, including investment advisory, administration fees,
and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that
you had a $1,000 investment in the Funds at the beginning of the reporting period, September 1, 2010, and continued to hold your shares at the end of the reporting period, February 28, 2011.
Actual Expenses
For each 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 Fund under the heading entitled Expenses Paid During to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per
year before expenses, which is not the Funds 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 Funds 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 or the costs associated with the investment advisory accounts through which the Fund is held. Therefore, the second line 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.
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Beginning Account Value, September 1, 2010 |
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Ending
Account Value, February 28, 2011 |
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Expenses
Paid During
September 1, 2010 to February 28, 2011* |
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Annualized Expense Ratio |
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Core Bond Trust |
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Class A |
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Actual |
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$ |
1,000.00 |
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$ |
1,010.40 |
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$ |
0.70 |
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0.14 |
% |
Hypothetical |
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1,000.00 |
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1,024.10 |
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0.70 |
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0.14 |
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Equity Index Trust |
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Class A |
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Actual |
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1,000.00 |
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1,275.90 |
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0.56 |
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0.10 |
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Hypothetical |
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1,000.00 |
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1,024.30 |
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0.50 |
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0.10 |
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Intermediate Bond Trust |
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Class A |
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Actual |
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1,000.00 |
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1,000.90 |
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0.74 |
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0.15 |
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Hypothetical |
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1,000.00 |
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1,024.05 |
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0.75 |
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0.15 |
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* |
Expenses are equal to the Funds annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half
year period). |
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92 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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FEBRUARY 28, 2011 |
TAX LETTER
(Unaudited)
Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the
Funds income and distributions for the taxable year ended February 28, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar
year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income
distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended February 28, 2011:
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Dividends Received Deduction |
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Equity Index Trust |
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100.00 |
%
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Qualified Dividend Income (QDI)
For the fiscal year ended February 28, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated
as qualified dividends (amounts in thousands):
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Qualified Dividend Income |
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Equity Index Trust |
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$ |
5,840 |
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Treasury Income
The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2011:
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Income from U.S. Treasury Obligations |
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Core Bond Trust |
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19.92 |
% |
Intermediate Bond Trust |
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23.50 |
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FEBRUARY 28, 2011 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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93 |
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FOR MORE INFORMATION:
INVESTMENT ADVISOR
J.P. Morgan Investment Management Inc.
270 Park Avenue
New York, New York 10017
PLACEMENT AGENT
JPMorgan Institutional Investments, Inc.
270 Park Avenue
New York, New York 10017
This report is open and authorized for distribution only to qualified and accredited investors who have received a copy of the Funds Confidential
Offering Memorandum. This document may not be copied, faxed or otherwise distributed to the general public.
Investors may obtain information
about the Securities Investor Protection Corporation (SIPC), including SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each
Funds Forms N-Q are available on the SECs website at http://www.sec.gov and may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information on the operation of the SECs Public Reference Room may be
obtained by calling 1-800-SEC-0330.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-343-1113
and a description of such policies and procedures is on the Commissions 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
is available on the SECs website at www.sec.gov. The Funds proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example,
for or against the proposal.
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.
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© JPMorgan Chase &
Co., 2011 All rights reserved. February 2011. |
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AN-INSTT-211 |
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 registrants 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 registrants 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 registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of
the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics
that applies to the Registrants principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrants board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The
Registrants Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a
person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a
member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the
registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is independent. In order to be considered independent
for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an interested person of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C.
80a-2(a)(19)).
The audit committee financial expert is William Armstrong. He is not an interested person of the Registrant and
is also independent as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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 registrants annual financial statements or services that are normally provided by
the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT
FEES
2011 $100,800
2010 $88,500
(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 registrants financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2011 $35,400
2010 $35,400
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the
Registrant that were reasonably related to the performance of the annual audit of the Registrants financial statements.
(c)
Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the
nature of the services comprising the fees disclosed under this category.
TAX FEES
2011 $23,370
2010 $23,520
The tax fees consist of fees billed in connection with preparing
the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2011 and 2010, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation
S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services
reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2011 Not applicable
2010 Not applicable
(e) (1) Disclose the audit committees pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrants Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services
(the Pre-approval Policy), the Audit Committee pre-approves all audit and non-audit services performed by the Registrants independent public registered accounting firm for the Registrant. In addition, the Audit Committee
pre-approves the auditors engagement for non-audit services with the Registrants investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment
adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either
1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the
Audit Committee, or which were not subject to pre-approval under the transition provisions of
Sarbanes-Oxley Act of 2002 (the Pre-approval List). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the
independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to
time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committees delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate
will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committees responsibilities to pre-approve services performed by the independent public registered accounting firm are not
delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through
(d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2011 0.0%
2010 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountants engagement to audit the registrants
financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountants full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrants
accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment
adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two
calendar year ends were:
2010 $31.9 million
2009 $25.9 million
These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (JPMC) and certain
related entities.
(h) Disclose whether the registrants audit committee of the board of directors has considered whether the provision
of non-audit services that were rendered to the registrants 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 accountants independence.
The Registrants Audit Committee has considered whether the provision of
the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firms independence. All services provided by
the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as
defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C.
78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrants 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.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
File
Schedule I Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed
under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it
uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the companys
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 companys investment adviser, or any other third party, that the company uses, or that are used on the companys 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 registrants 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 registrants 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 registrants principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrants
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)).
The Registrants principal executive and principal financial officers have concluded, based on their
evaluation of the Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrants 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 Registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrants 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 registrants second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial
reporting.
There were no changes in the Registrants 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 Registrants internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number
the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure
required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002
attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of
the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the
Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule
23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each
principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications
pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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.
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JPMorgan Institutional Trust |
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By: |
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/s/ |
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Patricia A. Maleski |
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President and Principal Executive Officer |
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May 9, 2011 |
Pursuant to the requirements of the
Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By: |
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/s/ |
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Patricia A. Maleski |
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|
President and Principal Executive Officer |
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|
May 9, 2011 |
|
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By: |
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/s/ |
|
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Joy C. Dowd |
|
|
Treasurer and Principal Financial Officer |
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May 9, 2011 |