UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-21638
JPMorgan Institutional Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, New York 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, New York 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: May 31, 2012
ITEM 1. SCHEDULE OF INVESTMENTS.
JPMorgan Institutional Trust
Schedule of Portfolio Investments as of May 31, 2012
(Unaudited)
THE UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS LIST (the List) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the funds fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.
J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
JPMorgan Distribution Services, Inc.
© JPMorgan Chase & Co., 2012.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Asset-Backed Securities 4.0% |
|||||||
AH Mortgage Advance Trust, | ||||||||
2,152 | Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 2,153 | ||||||
6,667 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 6,680 | ||||||
3,628 | Series SART-2, Class A1, 3.270%, 09/15/43 (e) | 3,653 | ||||||
880 | Series SART-2, Class B1, 6.900%, 09/15/43 (e) | 902 | ||||||
2,588 | Series SART-3, Class 1A1, 2.980%, 03/13/43 (e) | 2,593 | ||||||
4,725 | Series SART-3, Class 1A2, 3.720%, 03/13/44 (e) | 4,737 | ||||||
Ally Auto Receivables Trust, | ||||||||
1,385 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 1,390 | ||||||
670 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 678 | ||||||
324 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 325 | ||||||
281 | Series 2011-1, Class A2, 0.810%, 10/15/13 | 281 | ||||||
720 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 724 | ||||||
1,418 | Series 2012-1, Class A3, 0.930%, 02/16/16 | 1,424 | ||||||
980 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 979 | ||||||
1,250 | Series 2012-3, Class A2, 0.700%, 01/15/15 | 1,250 | ||||||
1,109 | Series 2012-3, Class A3, 0.850%, 08/15/16 | 1,110 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
699 | Series 2012-1, Class A1, 1.960%, 01/15/14 (e) | 699 | ||||||
1,120 | Series 2012-1, Class A2, 3.040%, 10/15/15 (e) | 1,119 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
303 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 308 | ||||||
36 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 36 | ||||||
890 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 892 | ||||||
388 | Series 2010-4, Class A2, 0.960%, 05/08/14 | 388 | ||||||
375 | Series 2010-4, Class A3, 1.270%, 04/08/15 | 376 | ||||||
267 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 267 | ||||||
375 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 377 | ||||||
1,504 | Series 2011-3, Class A2, 0.840%, 11/10/14 | 1,506 | ||||||
385 | Series 2011-4, Class A2, 0.920%, 03/09/15 | 386 | ||||||
1,414 | Series 2011-4, Class A3, 1.170%, 05/09/16 | 1,420 | ||||||
1,195 | Series 2011-5, Class A3, 1.550%, 07/08/16 | 1,208 | ||||||
1,187 | Series 2012-1, Class A2, 0.910%, 10/08/15 | 1,189 | ||||||
235 | Series 2012-1, Class A3, 1.230%, 09/08/16 | 236 | ||||||
123 | Series 2012-2, Class A3, 1.050%, 10/11/16 | 123 | ||||||
78 | Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e) | 78 | ||||||
Bank of America Auto Trust, | ||||||||
126 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 126 | ||||||
475 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 481 | ||||||
589 | Series 2012-1, Class A3, 0.780%, 06/15/16 | 589 | ||||||
727 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.609%, 04/25/36 | 595 | ||||||
622 | BMW Vehicle Lease Trust, Series 2012-1, Class A3, 0.750%, 02/20/15 | 621 | ||||||
700 | Cabelas Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) | 706 | ||||||
CarMax Auto Owner Trust, | ||||||||
295 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 296 | ||||||
1,260 | Series 2011-1, Class A3, 1.290%, 09/15/15 | 1,267 | ||||||
885 | Series 2011-1, Class A4, 2.160%, 09/15/16 | 910 | ||||||
1,350 | Series 2011-3, Class A3, 1.070%, 06/15/16 | 1,357 | ||||||
605 | CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e) | 605 | ||||||
562 | Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 573 | ||||||
1,761 | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,651 | ||||||
1,153 | Chrysler Financial Auto Securitization Trust, Series 2010-A, Class A3, 0.910%, 08/08/13 | 1,154 | ||||||
800 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,099 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
518 | Series 2003-HE3, Class A, VAR, 0.619%, 12/25/33 | 458 | ||||||
1,706 | Series 2011-5, Class 1A1, VAR, 0.429%, 02/25/46 (e) (f) (i) | 1,565 | ||||||
CNH Equipment Trust, | ||||||||
92 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 92 | ||||||
1,096 | Series 2010-C, Class A3, 1.170%, 05/15/15 | 1,100 | ||||||
950 | Series 2011-A, Class A3, 1.200%, 05/16/16 | 954 | ||||||
747 | Series 2011-A, Class A4, 2.040%, 10/17/16 | 767 | ||||||
1,188 | Series 2012-A, Class A2, 0.650%, 07/15/15 | 1,188 | ||||||
920 | Series 2012-A, Class A3, 0.940%, 05/15/17 | 921 | ||||||
811 | Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.839%, 10/25/34 | 440 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Asset-Backed Securities Continued |
|||||||
CPS Auto Trust, | ||||||||
1,519 | Series 2011-C, Class A, 4.210%, 03/15/19 (e) | 1,561 | ||||||
903 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 903 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
1,300 | Series 2011-1, Class A, 2.610%, 03/15/19 (e) | 1,317 | ||||||
565 | Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 566 | ||||||
337 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.569%, 01/25/36 Discover Card Master Trust, | 182 | ||||||
1,015 | Series 2008-A4, Class A4, 5.650%, 12/15/15 | 1,068 | ||||||
813 | Series 2012-A1, Class A1, 0.810%, 08/15/17 | 813 | ||||||
228 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.339%, 12/25/36 | 215 | ||||||
943 | Ford Credit Auto Lease Trust, Series 2011- A, Class A2, 0.740%, 09/15/13 | 943 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
20 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 20 | ||||||
500 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 511 | ||||||
1,754 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 1,757 | ||||||
600 | Series 2012-B, Class A3, 0.720%, 12/15/16 | 599 | ||||||
3,490 | Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) | 3,507 | ||||||
Freedom Trust, | ||||||||
828 | Series 2011-1, Class A13, VAR, 0.398%, 11/30/37 (e) (f) (i) | 795 | ||||||
952 | Series 2011-2, Class A11, VAR, 3.966%, 08/01/46 (e) | 944 | ||||||
403 | GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 363 | ||||||
535 | Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15 | 536 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
550 | Series 2011-1, Class A4, 1.800%, 04/17/17 | 559 | ||||||
809 | Series 2012-1, Class A3, 0.770%, 01/15/16 | 809 | ||||||
337 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 338 | ||||||
413 | Series 2012-2, Class A3, 0.700%, 02/16/16 | 412 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1,167 | Series 2006-1, Class A1, VAR, 0.400%, 01/20/36 | 1,072 | ||||||
562 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 567 | ||||||
2,210 | Series 2007-3, Class APT, VAR, 1.440%, 11/20/36 | 2,072 | ||||||
Huntington Auto Trust, | ||||||||
781 | Series 2011-1A, Class A2, 0.760%, 04/15/14 (e) | 782 | ||||||
1,000 | Series 2011-1A, Class A3, 1.010%, 01/15/16 (e) | 1,003 | ||||||
1,000 | Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 1,011 | ||||||
692 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 692 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
537 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 539 | ||||||
710 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 723 | ||||||
515 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 518 | ||||||
520 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 529 | ||||||
734 | Series 2011-B, Class A3, 1.040%, 09/15/15 | 737 | ||||||
824 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 838 | ||||||
865 | Series 2012-A, Class A3, 0.720%, 03/15/16 | 864 | ||||||
250 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.439%, 03/25/36 | 140 | ||||||
John Deere Owner Trust, | ||||||||
490 | Series 2011-A, Class A3, 1.290%, 01/15/16 | 493 | ||||||
355 | Series 2011-A, Class A4, 1.960%, 04/16/18 | 362 | ||||||
301 | LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i) | 301 | ||||||
1,274 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.589%, 07/25/34 (e) | 1,225 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
452 | Series 2006-8, Class 2A2, VAR, 0.329%, 09/25/36 | 131 | ||||||
687 | Series 2006-WL2, Class 2A3, VAR, 0.439%, 01/25/36 | 555 | ||||||
1,328 | Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.489%, 03/25/32 | 1,221 | ||||||
285 | Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 | 286 | ||||||
3,000 | MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) | 3,046 | ||||||
1,279 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.589%, 12/07/20 | 1,283 | ||||||
1,000 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.273%, 11/25/33 | 1,031 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Asset-Backed Securities Continued |
|||||||
579 | Newcastle Investment Trust, Series 2011- MH1, Class A, 2.450%, 12/10/33 (e) | 584 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
655 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 657 | ||||||
450 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 454 | ||||||
672 | Series 2012-A, Class A3, 0.730%, 05/16/16 | 671 | ||||||
333 | Series 2012-A, Class A4, 1.000%, 07/16/18 | 333 | ||||||
1,475 | Park Place Securities, Inc., Series 2004- MCW1, Class M1, VAR, 0.864%, 10/25/34 | 1,400 | ||||||
1,018 | PennyMac Loan Trust, Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i) | 1,020 | ||||||
Real Estate Asset Trust, | ||||||||
451 | Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i) | 451 | ||||||
411 | Series 2012-1A, Class A1, VAR, 4.950%, 02/25/32 (e) (f) (i) | 411 | ||||||
300 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 123 | ||||||
3,000 | Residential Asset Mortgage Products, Inc., Series 2006-RZ1, Class A3, VAR, 0.539%, 03/25/36 | 2,576 | ||||||
2,219 | Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) | 2,219 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
37 | Series 2010-3, Class A2, 0.930%, 06/17/13 | 37 | ||||||
580 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 581 | ||||||
700 | Series 2010-A, Class A4, 2.390%, 06/15/17 (e) | 716 | ||||||
410 | Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 411 | ||||||
866 | Series 2011-S2A, Class D, 3.350%, 06/15/17 (e) | 866 | ||||||
1,955 | Series 2012-1, Class A2, 1.250%, 04/15/15 | 1,962 | ||||||
411 | Series 2012-1, Class A3, 1.490%, 10/15/15 | 412 | ||||||
786 | Series 2012-2, Class A2, 0.910%, 05/15/15 | 787 | ||||||
427 | Series 2012-2, Class A3, 1.220%, 12/15/15 | 429 | ||||||
248 | Series 2012-3, Class A3, 1.080%, 04/15/16 | 248 | ||||||
723 | Saxon Asset Securities Trust, Series 2003- 1, Class AF6, SUB, 4.795%, 06/25/33 | 723 | ||||||
339 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.509%, 06/25/35 | 324 | ||||||
344 | Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 349 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
1,203 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 1,205 | ||||||
1,435 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 1,438 | ||||||
1,540 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 1,561 | ||||||
3,844 | Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.653%, 10/15/15 (e) |
3,849 | ||||||
93 | USAA Auto Owner Trust, Series 2009-2, Class A3, 1.540%, 02/18/14 | 93 | ||||||
2,127 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 2,131 | ||||||
7,915 | VOLT LLC, Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) | 7,915 | ||||||
2,845 | Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) | 2,850 | ||||||
Westlake Automobile Receivables Trust, | ||||||||
120 | Series 2011-1A, Class A2, 1.080%, 07/15/13 (e) | 120 | ||||||
607 | Series 2011-1A, Class A3, 1.490%, 06/16/14 (e) | 608 | ||||||
1,370 | World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15 | 1,389 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $141,215) |
141,644 | |||||||
|
|
|||||||
|
Collateralized Mortgage Obligations 33.8% |
|||||||
Agency CMO 22.3% | ||||||||
Federal Home Loan Bank, | ||||||||
994 | Series 2000-0606, Class Y, 5.270%, 12/28/12 | 1,016 | ||||||
2,439 | Series 2000-1067, Class 1, 5.300%,06/15/12 | 2,442 | ||||||
4,206 | Series 9M-2012, Class A, 4.720%, 09/20/12 | 4,252 | ||||||
1,509 | Series TQ-2015, Class A, 5.065%, 10/20/15 | 1,633 | ||||||
319 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23 | 362 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
30 | Series 11, Class D, 9.500%, 07/15/19 | 32 | ||||||
15 | Series 22, Class C, 9.500%, 04/15/20 | 16 | ||||||
23 | Series 23, Class F, 9.600%, 04/15/20 | 25 | ||||||
| (h) | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | |||||
2 | Series 47, Class F, 10.000%, 06/15/20 | 2 | ||||||
8 | Series 99, Class Z, 9.500%, 01/15/21 | 9 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
| (h) | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 | 1 | |||||
| (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 | 1 | |||||
9 | Series 1065, Class J, 9.000%, 04/15/21 | 11 | ||||||
2 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 | 4 | ||||||
8 | Series 1084, Class F, VAR, 1.200%, 05/15/21 | 8 | ||||||
6 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 | 11 | ||||||
20 | Series 1116, Class I, 5.500%, 08/15/21 | 22 | ||||||
17 | Series 1144, Class KB, 8.500%, 09/15/21 | 19 | ||||||
| (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 1 | |||||
| (h) | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 | 13 | |||||
21 | Series 1250, Class J, 7.000%, 05/15/22 | 25 | ||||||
31 | Series 1343, Class LA, 8.000%, 08/15/22 | 37 | ||||||
39 | Series 1343, Class LB, 7.500%, 08/15/22 | 47 | ||||||
67 | Series 1370, Class JA, VAR, 1.400%, 09/15/22 | 67 | ||||||
65 | Series 1455, Class WB, IF, 4.550%, 12/15/22 | 69 | ||||||
312 | Series 1466, Class PZ, 7.500%, 02/15/23 | 359 | ||||||
5 | Series 1470, Class F, VAR, 2.163%, 02/15/23 | 5 | ||||||
344 | Series 1498, Class I, VAR, 1.400%, 04/15/23 | 344 | ||||||
462 | Series 1502, Class PX, 7.000%, 04/15/23 | 530 | ||||||
60 | Series 1505, Class Q, 7.000%, 05/15/23 | 69 | ||||||
139 | Series 1518, Class G, IF, 8.809%, 05/15/23 | 159 | ||||||
47 | Series 1541, Class M, HB, IF, 22.907%, 07/15/23 | 78 | ||||||
127 | Series 1541, Class O, VAR, 1.250%, 07/15/23 | 128 | ||||||
13 | Series 1570, Class F, VAR, 2.663%, 08/15/23 | 13 | ||||||
446 | Series 1573, Class PZ, 7.000%, 09/15/23 | 511 | ||||||
299 | Series 1591, Class PV, 6.250%, 10/15/23 | 311 | ||||||
8 | Series 1595, Class D, 7.000%, 10/15/13 | 9 | ||||||
30 | Series 1596, Class D, 6.500%, 10/15/13 | 31 | ||||||
27 | Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 | 50 | ||||||
7 | Series 1607, Class SA, HB, IF, 20.525%, 10/15/13 | 8 | ||||||
1,277 | Series 1608, Class L, 6.500%, 09/15/23 | 1,439 | ||||||
276 | Series 1609, Class LG, IF, 16.792%, 11/15/23 | 321 | ||||||
700 | Series 1638, Class H, 6.500%, 12/15/23 | 791 | ||||||
561 | Series 1642, Class PJ, 6.000%, 11/15/23 | 643 | ||||||
14 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 19 | ||||||
18 | Series 1686, Class SH, IF, 18.675%, 02/15/24 | 30 | ||||||
194 | Series 1695, Class EB, 7.000%, 03/15/24 | 224 | ||||||
38 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 | 39 | ||||||
207 | Series 1700, Class GA, PO, 02/15/24 | 197 | ||||||
536 | Series 1706, Class K, 7.000%, 03/15/24 | 619 | ||||||
18 | Series 1709, Class FA, VAR, 1.150%, 03/15/24 | 18 | ||||||
54 | Series 1745, Class D, 7.500%, 08/15/24 | 63 | ||||||
1,254 | Series 1760, Class ZD, VAR, 1.500%, 02/15/24 | 1,289 | ||||||
436 | Series 1798, Class F, 5.000%, 05/15/23 | 478 | ||||||
7 | Series 1807, Class G, 9.000%, 10/15/20 | 8 | ||||||
124 | Series 1829, Class ZB, 6.500%, 03/15/26 | 140 | ||||||
7 | Series 1844, Class E, 6.500%, 10/15/13 | 8 | ||||||
125 | Series 1863, Class Z, 6.500%, 07/15/26 | 140 | ||||||
39 | Series 1865, Class D, PO, 02/15/24 | 25 | ||||||
82 | Series 1890, Class H, 7.500%, 09/15/26 | 96 | ||||||
250 | Series 1899, Class ZE, 8.000%, 09/15/26 | 293 | ||||||
13 | Series 1935, Class FL, VAR, 0.950%, 02/15/27 | 13 | ||||||
182 | Series 1963, Class Z, 7.500%, 01/15/27 | 214 | ||||||
27 | Series 1970, Class PG, 7.250%, 07/15/27 | 31 | ||||||
281 | Series 1981, Class Z, 6.000%, 05/15/27 | 308 | ||||||
122 | Series 1987, Class PE, 7.500%, 09/15/27 | 143 | ||||||
310 | Series 2019, Class Z, 6.500%, 12/15/27 | 350 | ||||||
12 | Series 2025, Class PE, 6.300%, 01/15/13 | 12 | ||||||
93 | Series 2033, Class SN, HB, IF, 26.208%, 03/15/24 | 61 | ||||||
249 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 41 | ||||||
492 | Series 2040, Class PE, 7.500%, 03/15/28 | 578 | ||||||
86 | Series 2043, Class CJ, 6.500%, 04/15/28 | 98 | ||||||
390 | Series 2054, Class PV, 7.500%, 05/15/28 | 457 | ||||||
42 | Series 2055, Class OE, 6.500%, 05/15/13 | 42 | ||||||
770 | Series 2075, Class PH, 6.500%, 08/15/28 | 882 | ||||||
866 | Series 2075, Class PM, 6.250%, 08/15/28 | 895 | ||||||
271 | Series 2086, Class GB, 6.000%, 09/15/28 | 275 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
335 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 58 | ||||||
1,170 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,310 | ||||||
133 | Series 2102, Class TC, 6.000%, 12/15/13 | 137 | ||||||
92 | Series 2102, Class TU, 6.000%, 12/15/13 | 95 | ||||||
365 | Series 2115, Class PE, 6.000%, 01/15/14 | 376 | ||||||
366 | Series 2125, Class JZ, 6.000%, 02/15/29 | 382 | ||||||
83 | Series 2132, Class SB, HB, IF, 29.515%, 03/15/29 | 150 | ||||||
54 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 7 | ||||||
10 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | | (h) | |||||
363 | Series 2136, Class PG, 6.000%, 03/15/29 | 405 | ||||||
44 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 7 | ||||||
104 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 23 | ||||||
1,276 | Series 2169, Class TB, 7.000%, 06/15/29 | 1,491 | ||||||
555 | Series 2172, Class QC, 7.000%, 07/15/29 | 649 | ||||||
515 | Series 2176, Class OJ, 7.000%, 08/15/29 | 592 | ||||||
282 | Series 2201, Class C, 8.000%, 11/15/29 | 335 | ||||||
237 | Series 2209, Class TC, 8.000%, 01/15/30 | 294 | ||||||
416 | Series 2210, Class Z, 8.000%, 01/15/30 | 498 | ||||||
105 | Series 2224, Class CB, 8.000%, 03/15/30 | 126 | ||||||
253 | Series 2230, Class Z, 8.000%, 04/15/30 | 299 | ||||||
199 | Series 2234, Class PZ, 7.500%, 05/15/30 | 235 | ||||||
173 | Series 2247, Class Z, 7.500%, 08/15/30 | 205 | ||||||
253 | Series 2256, Class MC, 7.250%, 09/15/30 | 297 | ||||||
512 | Series 2259, Class ZM, 7.000%, 10/15/30 | 600 | ||||||
10 | Series 2261, Class ZY, 7.500%, 10/15/30 | 12 | ||||||
57 | Series 2262, Class Z, 7.500%, 10/15/30 | 68 | ||||||
533 | Series 2271, Class PC, 7.250%, 12/15/30 | 625 | ||||||
891 | Series 2283, Class K, 6.500%, 12/15/23 | 998 | ||||||
257 | Series 2296, Class PD, 7.000%, 03/15/31 | 300 | ||||||
83 | Series 2306, Class K, PO, 05/15/24 | 77 | ||||||
196 | Series 2306, Class SE, IF, IO, 8.600%, 05/15/24 | 42 | ||||||
258 | Series 2313, Class LA, 6.500%, 05/15/31 | 295 | ||||||
502 | Series 2325, Class PM, 7.000%, 06/15/31 | 547 | ||||||
823 | Series 2344, Class QG, 6.000%, 08/15/16 | 879 | ||||||
3,086 | Series 2344, Class ZD, 6.500%, 08/15/31 | 3,387 | ||||||
292 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 321 | ||||||
253 | Series 2345, Class NE, 6.500%, 08/15/31 | 262 | ||||||
249 | Series 2345, Class PQ, 6.500%, 08/15/16 | 257 | ||||||
311 | Series 2351, Class PZ, 6.500%, 08/15/31 | 348 | ||||||
2,856 | Series 2353, Class AZ, 6.000%, 09/15/31 | 3,001 | ||||||
319 | Series 2353, Class TD, 6.000%, 09/15/16 | 334 | ||||||
283 | Series 2355, Class BP, 6.000%, 09/15/16 | 302 | ||||||
172 | Series 2359, Class PM, 6.000%, 09/15/16 | 178 | ||||||
1,153 | Series 2359, Class ZB, 8.500%, 06/15/31 | 1,347 | ||||||
489 | Series 2360, Class PG, 6.000%, 09/15/16 | 524 | ||||||
114 | Series 2363, Class PF, 6.000%, 09/15/16 | 122 | ||||||
212 | Series 2366, Class MD, 6.000%, 10/15/16 | 227 | ||||||
479 | Series 2367, Class ME, 6.500%, 10/15/31 | 520 | ||||||
779 | Series 2391, Class QR, 5.500%, 12/15/16 | 833 | ||||||
306 | Series 2394, Class MC, 6.000%, 12/15/16 | 327 | ||||||
946 | Series 2396, Class FM, VAR, 0.689%, 12/15/31 | 951 | ||||||
563 | Series 2399, Class OH, 6.500%, 01/15/32 | 619 | ||||||
967 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,064 | ||||||
828 | Series 2410, Class NG, 6.500%, 02/15/32 | 916 | ||||||
302 | Series 2410, Class OE, 6.375%, 02/15/32 | 332 | ||||||
634 | Series 2410, Class QS, IF, 18.879%, 02/15/32 | 964 | ||||||
278 | Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 | 73 | ||||||
694 | Series 2412, Class SP, IF, 15.623%, 02/15/32 | 933 | ||||||
1,129 | Series 2420, Class XK, 6.500%, 02/15/32 | 1,236 | ||||||
629 | Series 2423, Class MC, 7.000%, 03/15/32 | 738 | ||||||
643 | Series 2423, Class MT, 7.000%, 03/15/32 | 717 | ||||||
301 | Series 2425, Class OB, 6.000%, 03/15/17 | 324 | ||||||
1,545 | Series 2430, Class WF, 6.500%, 03/15/32 | 1,780 | ||||||
822 | Series 2434, Class TC, 7.000%, 04/15/32 | 939 | ||||||
565 | Series 2435, Class CJ, 6.500%, 04/15/32 | 652 | ||||||
668 | Series 2436, Class MC, 7.000%, 04/15/32 | 779 | ||||||
538 | Series 2444, Class ES, IF, IO, 7.711%, 03/15/32 | 110 | ||||||
342 | Series 2450, Class GZ, 7.000%, 05/15/32 | 402 | ||||||
430 | Series 2450, Class SW, IF, IO, 7.761%, 03/15/32 | 89 | ||||||
2,171 | Series 2455, Class GK, 6.500%, 05/15/32 | 2,500 | ||||||
193 | Series 2458, Class QE, 5.500%, 06/15/17 | 206 | ||||||
700 | Series 2462, Class JG, 6.500%, 06/15/32 | 807 | ||||||
1,835 | Series 2464, Class SI, IF, IO, 7.761%, 02/15/32 | 312 | ||||||
373 | Series 2466, Class PG, 6.500%, 04/15/32 | 387 | ||||||
942 | Series 2466, Class PH, 6.500%, 06/15/32 | 1,074 | ||||||
720 | Series 2474, Class NR, 6.500%, 07/15/32 | 808 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
969 | Series 2484, Class LZ, 6.500%, 07/15/32 | 1,117 | ||||||
1,626 | Series 2500, Class MC, 6.000%, 09/15/32 | 1,778 | ||||||
101 | Series 2503, Class BH, 5.500%, 09/15/17 | 109 | ||||||
528 | Series 2508, Class AQ, 5.500%, 10/15/17 | 572 | ||||||
1,130 | Series 2512, Class PG, 5.500%, 10/15/22 | 1,255 | ||||||
355 | Series 2515, Class DE, 4.000%, 03/15/32 | 362 | ||||||
346 | Series 2518, Class PX, 5.500%, 09/15/13 | 348 | ||||||
575 | Series 2535, Class BK, 5.500%, 12/15/22 | 640 | ||||||
1,115 | Series 2537, Class TE, 5.500%, 12/15/17 | 1,207 | ||||||
2,024 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,279 | ||||||
1,768 | Series 2544, Class HC, 6.000%, 12/15/32 | 1,985 | ||||||
2,278 | Series 2552, Class ME, 6.000%, 01/15/33 | 2,555 | ||||||
1,481 | Series 2567, Class QD, 6.000%, 02/15/33 | 1,671 | ||||||
1,626 | Series 2568, Class KG, 5.500%, 02/15/23 | 1,785 | ||||||
191 | Series 2571, Class SK, HB, IF, 33.470%, 09/15/23 | 340 | ||||||
3,767 | Series 2575, Class ME, 6.000%, 02/15/33 | 4,313 | ||||||
601 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 109 | ||||||
1,758 | Series 2587, Class WX, 5.000%, 03/15/18 | 1,924 | ||||||
1,380 | Series 2596, Class QG, 6.000%, 03/15/33 | 1,542 | ||||||
105 | Series 2597, Class DS, IF, IO, 7.311%, 02/15/33 | 4 | ||||||
110 | Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 | 3 | ||||||
135 | Series 2610, Class DS, IF, IO, 6.861%, 03/15/33 | 3 | ||||||
732 | Series 2611, Class UH, 4.500%, 05/15/18 | 774 | ||||||
1,210 | Series 2617, Class GR, 4.500%, 05/15/18 | 1,289 | ||||||
49 | Series 2619, Class HR, 3.500%, 11/15/31 | 50 | ||||||
2,049 | Series 2626, Class NS, IF, IO, 6.311%, 06/15/23 | 146 | ||||||
1,503 | Series 2631, Class LC, 4.500%, 06/15/18 | 1,608 | ||||||
667 | Series 2636, Class Z, 4.500%, 06/15/18 | 711 | ||||||
825 | Series 2637, Class SA, IF, IO, 5.861%, 06/15/18 | 84 | ||||||
110 | Series 2638, Class DS, IF, 8.361%, 07/15/23 | 121 | ||||||
515 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 18 | ||||||
1,134 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 43 | ||||||
5 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | | (h) | |||||
2,489 | Series 2645, Class BI, IO, 4.500%, 02/15/18 | 88 | ||||||
670 | Series 2650, Class PO, PO, 12/15/32 | 659 | ||||||
2,307 | Series 2650, Class SO, PO, 12/15/32 | 2,270 | ||||||
1,044 | Series 2651, Class VZ, 4.500%, 07/15/18 | 1,115 | ||||||
1,884 | Series 2672, Class ME, 5.000%, 11/15/22 | 2,001 | ||||||
4,664 | Series 2675, Class CK, 4.000%, 09/15/18 | 4,923 | ||||||
530 | Series 2682, Class YS, IF, 8.642%, 10/15/33 | 541 | ||||||
13,475 | Series 2684, Class PO, PO, 01/15/33 | 13,312 | ||||||
21 | Series 2686, Class NS, IF, IO, 7.361%, 10/15/21 | | (h) | |||||
245 | Series 2690, Class SJ, IF, 8.792%, 10/15/33 | 254 | ||||||
1,538 | Series 2691, Class ME, 4.500%, 04/15/32 | 1,595 | ||||||
110 | Series 2691, Class WS, IF, 8.642%, 10/15/33 | 111 | ||||||
515 | Series 2692, Class SC, IF, 12.809%, 07/15/33 | 591 | ||||||
337 | Series 2695, Class DE, 4.000%, 01/15/17 | 339 | ||||||
1,199 | Series 2695, Class DG, 4.000%, 10/15/18 | 1,275 | ||||||
143 | Series 2695, Class OB, PO, 10/15/33 | 139 | ||||||
201 | Series 2696, Class CO, PO, 10/15/18 | 199 | ||||||
99 | Series 2700, Class S, IF, 8.642%, 11/15/33 | 102 | ||||||
1,007 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,068 | ||||||
192 | Series 2705, Class SC, IF, 8.642%, 11/15/33 | 195 | ||||||
362 | Series 2705, Class SD, IF, 8.693%, 11/15/33 | 368 | ||||||
2,000 | Series 2710, Class HB, 5.500%, 11/15/23 | 2,302 | ||||||
1,712 | Series 2715, Class OG, 5.000%, 01/15/23 | 1,819 | ||||||
2,321 | Series 2716, Class UN, 4.500%, 12/15/23 | 2,553 | ||||||
1,123 | Series 2720, Class PC, 5.000%, 12/15/23 | 1,236 | ||||||
2,005 | Series 2727, Class BS, IF, 8.717%, 01/15/34 | 2,043 | ||||||
1,454 | Series 2744, Class PE, 5.500%, 02/15/34 | 1,568 | ||||||
2,063 | Series 2744, Class TU, 5.500%, 05/15/32 | 2,176 | ||||||
263 | Series 2751, Class BA, 4.000%, 10/15/18 | 266 | ||||||
606 | Series 2755, Class PA, PO, 02/15/29 | 601 | ||||||
782 | Series 2755, Class SA, IF, 13.722%, 05/15/30 | 840 | ||||||
888 | Series 2764, Class TE, 5.000%, 10/15/32 | 926 | ||||||
1,068 | Series 2777, Class OM, PO, 12/15/32 | 1,062 | ||||||
296 | Series 2778, Class US, IF, IO, 6.961%, 06/15/33 | 2 | ||||||
136 | Series 2780, Class JG, 4.500%, 04/15/19 | 141 | ||||||
1,284 | Series 2783, Class AT, 4.000%, 04/15/19 | 1,392 | ||||||
144 | Series 2809, Class UB, 4.000%, 09/15/17 | 144 | ||||||
5,515 | Series 2809, Class UC, 4.000%, 06/15/19 | 5,849 | ||||||
326 | Series 2812, Class NO, PO, 10/15/33 | 319 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
| ||||||
Agency CMO Continued | ||||||||
745 | Series 2827, Class XO, PO, 01/15/23 | 733 | ||||||
185 | Series 2835, Class QO, PO, 12/15/32 | 177 | ||||||
659 | Series 2840, Class JO, PO, 06/15/23 | 637 | ||||||
554 | Series 2850, Class SN, IF, IO, 6.911%, 09/15/18 | 25 | ||||||
111 | Series 2870, Class KC, 4.250%, 05/15/18 | 112 | ||||||
1,106 | Series 2872, Class JE, 4.500%, 02/15/18 | 1,125 | ||||||
1,178 | Series 2922, Class JN, 4.500%, 02/15/20 | 1,238 | ||||||
1,361 | Series 2934, Class EC, PO, 02/15/20 | 1,312 | ||||||
106 | Series 2934, Class EN, PO, 02/15/18 | 104 | ||||||
1,134 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 117 | ||||||
1,105 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 110 | ||||||
856 | Series 2958, Class QD, 4.500%, 04/15/20 | 933 | ||||||
1,500 | Series 2962, Class BE, 4.500%, 04/15/20 | 1,663 | ||||||
3,425 | Series 2965, Class GD, 4.500%, 04/15/20 | 3,793 | ||||||
268 | Series 2971, Class GB, 5.000%, 11/15/16 | 268 | ||||||
856 | Series 2971, Class GC, 5.000%, 07/15/18 | 888 | ||||||
311 | Series 2989, Class PO, PO, 06/15/23 | 300 | ||||||
4,281 | Series 3004, Class EK, 5.500%, 07/15/35 | 4,502 | ||||||
148 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | 7 | ||||||
175 | Series 3014, Class OD, PO, 08/15/35 | 166 | ||||||
1,727 | Series 3047, Class OB, 5.500%, 12/15/33 | 1,796 | ||||||
944 | Series 3047, Class OD, 5.500%, 10/15/35 | 1,189 | ||||||
1,122 | Series 3049, Class XF, VAR, 0.589%, 05/15/33 | 1,122 | ||||||
3,095 | Series 3064, Class MC, 5.500%, 11/15/35 | 3,823 | ||||||
559 | Series 3064, Class OB, 5.500%, 07/15/29 | 565 | ||||||
400 | Series 3068, Class AO, PO, 01/15/35 | 394 | ||||||
943 | Series 3068, Class QB, 4.500%, 06/15/20 | 997 | ||||||
2,141 | Series 3074, Class BH, 5.000%, 11/15/35 | 2,486 | ||||||
1,437 | Series 3085, Class WF, VAR, 1.039%, 08/15/35 | 1,449 | ||||||
192 | Series 3100, Class MA, VAR, 3.223%, 12/15/35 | 188 | ||||||
1,785 | Series 3102, Class FB, VAR, 0.539%, 01/15/36 | 1,787 | ||||||
408 | Series 3102, Class HS, HB, IF, 23.691%, 01/15/36 | 638 | ||||||
1,840 | Series 3117, Class EO, PO, 02/15/36 | 1,769 | ||||||
1,159 | Series 3117, Class OK, PO, 02/15/36 | 1,117 | ||||||
131 | Series 3122, Class ZB, 6.000%, 03/15/36 | 158 | ||||||
2,750 | Series 3131, Class BK, 5.500%, 03/15/26 | 3,156 | ||||||
435 | Series 3134, Class PO, PO, 03/15/36 | 419 | ||||||
1,981 | Series 3138, Class PO, PO, 04/15/36 | 1,915 | ||||||
100 | Series 3149, Class SO, PO, 05/15/36 | 95 | ||||||
2,055 | Series 3151, Class UC, 5.500%, 08/15/35 | 2,238 | ||||||
1,045 | Series 3152, Class MO, PO, 03/15/36 | 968 | ||||||
233 | Series 3171, Class MO, PO, 06/15/36 | 224 | ||||||
2,321 | Series 3179, Class OA, PO, 07/15/36 | 2,240 | ||||||
977 | Series 3194, Class SA, IF, IO, 6.861%, 07/15/36 | 139 | ||||||
1,280 | Series 3211, Class SO, PO, 09/15/36 | 1,235 | ||||||
658 | Series 3218, Class AO, PO, 09/15/36 | 635 | ||||||
2,232 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 290 | ||||||
1,500 | Series 3229, Class HE, 5.000%, 10/15/26 | 1,718 | ||||||
1,654 | Series 3232, Class ST, IF, IO, 6.461%, 10/15/36 | 273 | ||||||
843 | Series 3233, Class OP, PO, 05/15/36 | 818 | ||||||
1,500 | Series 3242, Class NE, 5.750%, 02/15/34 | 1,571 | ||||||
769 | Series 3256, Class PO, PO, 12/15/36 | 742 | ||||||
1,740 | Series 3260, Class CS, IF, IO, 5.901%, 01/15/37 | 258 | ||||||
881 | Series 3261, Class OA, PO, 01/15/37 | 849 | ||||||
1,111 | Series 3274, Class JO, PO, 02/15/37 | 1,055 | ||||||
555 | Series 3275, Class FL, VAR, 0.679%, 02/15/37 | 555 | ||||||
2,482 | Series 3290, Class SB, IF, IO, 6.211%, 03/15/37 | 397 | ||||||
2,698 | Series 3315, Class HZ, 6.000%, 05/15/37 | 3,168 | ||||||
2,000 | Series 3316, Class GD, 5.500%, 06/15/35 | 2,115 | ||||||
244 | Series 3318, Class AO, PO, 05/15/37 | 225 | ||||||
487 | Series 3326, Class JO, PO, 06/15/37 | 451 | ||||||
1,379 | Series 3331, Class PO, PO, 06/15/37 | 1,318 | ||||||
1,824 | Series 3385, Class SN, IF, IO, 5.761%, 11/15/37 | 225 | ||||||
1,704 | Series 3387, Class SA, IF, IO, 6.181%, 11/15/37 | 248 | ||||||
2,475 | Series 3404, Class SC, IF, IO, 5.761%, 01/15/38 | 356 | ||||||
7,147 | Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38 | 50 | ||||||
2,002 | Series 3424, Class PI, IF, IO, 6.561%, 04/15/38 | 315 | ||||||
4,976 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 11 | ||||||
2,441 | Series 3481, Class SJ, IF, IO, 5.611%, 08/15/38 | 355 | ||||||
2,646 | Series 3505, Class SA, IF, IO, 5.761%, 01/15/39 | 353 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
| ||||||
Agency CMO Continued | ||||||||
3,016 | Series 3511, Class SA, IF, IO, 5.761%, 02/15/39 | 405 | ||||||
1,433 | Series 3549, Class FA, VAR, 1.439%, 07/15/39 | 1,442 | ||||||
1,000 | Series 3607, Class BO, PO, 04/15/36 | 947 | ||||||
1,645 | Series 3607, Class OP, PO, 07/15/37 | 1,580 | ||||||
1,163 | Series 3607, Class PO, PO, 05/15/37 | 1,116 | ||||||
467 | Series 3611, Class PO, PO, 07/15/34 | 446 | ||||||
1,110 | Series 3621, Class BO, PO, 01/15/40 | 1,071 | ||||||
3,435 | Series 3739, Class LI, IO, 4.000%, 03/15/34 | 294 | ||||||
8,644 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 1,036 | ||||||
1,000 | Series 3747, Class PY, 4.000%, 10/15/40 | 1,079 | ||||||
4,488 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 472 | ||||||
5,360 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 466 | ||||||
600 | Series 3798, Class BF, VAR, 0.539%, 06/15/24 | 600 | ||||||
2,196 | Series 3804, Class FN, VAR, 0.689%, 03/15/39 | 2,201 | ||||||
5,362 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 6,237 | ||||||
960 | Series 3852, Class QN, IF, 5.500%, 05/15/41 | 1,051 | ||||||
2,722 | Series 3852, Class TP, IF, 5.500%, 05/15/41 | 3,160 | ||||||
3,000 | Series 3920, Class LP, 5.000%, 01/15/34 | 3,421 | ||||||
1,627 | Series 3957, Class B, 4.000%, 11/15/41 | 1,758 | ||||||
1,937 | Series 3966, Class NA, 4.000%, 12/15/41 | 2,086 | ||||||
1,638 | Series 3997, Class PF, VAR, 0.689%, 11/15/39 | 1,639 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
4 | Series 134, Class B, IO, 9.000%, 04/01/22 | 1 | ||||||
3,477 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 484 | ||||||
4,895 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 664 | ||||||
869 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 72 | ||||||
1,935 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 163 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
683 | Series T-41, Class 3A, VAR, 6.957%, 07/25/32 | 791 | ||||||
411 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 490 | ||||||
2,073 | Series T-54, Class 2A, 6.500%, 02/25/43 | 2,309 | ||||||
707 | Series T-54, Class 3A, 7.000%, 02/25/43 | 845 | ||||||
301 | Series T-58, Class APO, PO, 09/25/43 | 284 | ||||||
680 | Series T-59, Class 1AP, PO, 10/25/43 | 540 | ||||||
2,507 | Series T-76, Class 2A, VAR, 4.727%, 10/25/37 | 2,544 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
3,000 | Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 | 3,394 | ||||||
1,299 | Series 2011-M2, Class A2, 3.645%, 07/25/21 | 1,422 | ||||||
8,500 | Series 2011-M2, Class A3, 3.764%, 07/25/21 | 9,365 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
1,061 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 1,204 | ||||||
995 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 1,160 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
9 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 9 | ||||||
20 | Series 1989-70, Class G, 8.000%, 10/25/19 | 23 | ||||||
7 | Series 1989-78, Class H, 9.400%, 11/25/19 | 8 | ||||||
12 | Series 1989-83, Class H, 8.500%, 11/25/19 | 14 | ||||||
12 | Series 1989-89, Class H, 9.000%, 11/25/19 | 14 | ||||||
11 | Series 1990-1, Class D, 8.800%, 01/25/20 | 13 | ||||||
2 | Series 1990-60, Class K, 5.500%, 06/25/20 | 2 | ||||||
5 | Series 1990-63, Class H, 9.500%, 06/25/20 | 5 | ||||||
3 | Series 1990-93, Class G, 5.500%, 08/25/20 | 4 | ||||||
| (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 | 2 | |||||
25 | Series 1990-102, Class J, 6.500%, 08/25/20 | 27 | ||||||
31 | Series 1990-120, Class H, 9.000%, 10/25/20 | 36 | ||||||
3 | Series 1990-134, Class SC, HB, IF, 21.225%, 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 | |||||
13 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 14 | ||||||
1 | Series 1992-101, Class J, 7.500%, 06/25/22 | 2 | ||||||
62 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 68 | ||||||
54 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 59 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
150 | Series 1992-163, Class M, 7.750%, 09/25/22 | 173 | ||||||
241 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 277 | ||||||
100 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 116 | ||||||
150 | Series 1993-25, Class J, 7.500%, 03/25/23 | 174 | ||||||
39 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 54 | ||||||
60 | Series 1993-62, Class SA, IF, 17.820%, 04/25/23 | 92 | ||||||
31 | Series 1993-165, Class SD, IF, 12.389%, 09/25/23 | 40 | ||||||
68 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 89 | ||||||
46 | Series 1993-179, Class SB, HB, IF, 24.662%, 10/25/23 | 73 | ||||||
30 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 38 | ||||||
120 | Series 1993-199, Class FA, VAR, 0.800%, 10/25/23 | 120 | ||||||
87 | Series 1993-205, Class H, PO, 09/25/23 | 82 | ||||||
53 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 | 58 | ||||||
136 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 148 | ||||||
45 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 | 45 | ||||||
127 | Series 1993-247, Class FE, VAR, 1.250%, 12/25/23 | 129 | ||||||
59 | Series 1993-247, Class SU, IF, 11.787%, 12/25/23 | 73 | ||||||
180 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 189 | ||||||
229 | Series 1993-257, Class C, PO, 06/25/23 | 226 | ||||||
513 | Series 1994-37, Class L, 6.500%, 03/25/24 | 592 | ||||||
2,434 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 2,721 | ||||||
97 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 113 | ||||||
269 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 322 | ||||||
526 | Series 1996-14, Class SE, IF, IO, 8.750%, 08/25/23 | 111 | ||||||
18 | Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 | 18 | ||||||
51 | Series 1996-59, Class J, 6.500%, 08/25/22 | 57 | ||||||
536 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 30 | ||||||
39 | Series 1997-27, Class J, 7.500%, 04/18/27 | 43 | ||||||
67 | Series 1997-29, Class J, 7.500%, 04/20/27 | 76 | ||||||
429 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 500 | ||||||
91 | Series 1997-42, Class EN, 7.250%, 07/18/27 | 93 | ||||||
52 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 59 | ||||||
888 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 1,009 | ||||||
162 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 27 | ||||||
17 | Series 1998-4, Class C, PO, 04/25/23 | 15 | ||||||
445 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 491 | ||||||
178 | Series 1998-43, Class SA, IF, IO, 19.080%, 04/25/23 | 87 | ||||||
283 | Series 1998-66, Class SB, IF, IO, 7.911%, 12/25/28 | 59 | ||||||
171 | Series 1999-17, Class C, 6.350%, 04/25/29 | 195 | ||||||
1,007 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 1,114 | ||||||
283 | Series 1999-38, Class SK, IF, IO, 7.811%, 08/25/23 | 41 | ||||||
85 | Series 1999-52, Class NS, HB, IF, 22.712%, 10/25/23 | 141 | ||||||
227 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 266 | ||||||
724 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 849 | ||||||
343 | Series 2000-20, Class SA, IF, IO, 8.861%, 07/25/30 | 85 | ||||||
54 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 11 | ||||||
245 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 270 | ||||||
52 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 54 | ||||||
178 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 209 | ||||||
373 | Series 2001-7, Class PR, 6.000%, 03/25/16 | 386 | ||||||
363 | Series 2001-10, Class PR, 6.000%, 04/25/16 | 374 | ||||||
515 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 603 | ||||||
721 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 148 | ||||||
512 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 600 | ||||||
1,194 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 1,399 | ||||||
223 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 261 | ||||||
230 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 270 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued |
||||||||
2,046 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 2,303 | ||||||
195 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 224 | ||||||
153 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 176 | ||||||
346 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 368 | ||||||
1,780 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 2,087 | ||||||
182 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 195 | ||||||
430 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 459 | ||||||
106 | Series 2001-72, Class SX, IF, 16.910%, 12/25/31 | 157 | ||||||
565 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 605 | ||||||
174 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 188 | ||||||
184 | Series 2002-1, Class SA, HB, IF, 24.412%, 02/25/32 | 313 | ||||||
127 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 | 211 | ||||||
536 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 576 | ||||||
1,390 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 1,484 | ||||||
297 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 317 | ||||||
992 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 1,058 | ||||||
317 | Series 2002-10, Class SB, IF, 18.627%, 03/25/17 | 408 | ||||||
402 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 428 | ||||||
1,662 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 88 | ||||||
27 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 32 | ||||||
1,081 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 1,113 | ||||||
326 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 348 | ||||||
67 | Series 2002-21, Class LO, PO, 04/25/32 | 64 | ||||||
622 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 693 | ||||||
697 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 756 | ||||||
214 | Series 2002-25, Class SG, IF, 18.747%, 05/25/17 | 283 | ||||||
1,504 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 1,729 | ||||||
416 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 458 | ||||||
509 | Series 2002-42, Class C, 6.000%, 07/25/17 | 549 | ||||||
2,081 | Series 2002-48, Class GH, 6.500%, 08/25/32 | 2,323 | ||||||
272 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 292 | ||||||
3,224 | Series 2002-56, Class UC, 5.500%, 09/25/17 | 3,476 | ||||||
996 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 1,076 | ||||||
310 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 332 | ||||||
426 | Series 2002-77, Class S, IF, 14.046%, 12/25/32 | 525 | ||||||
631 | Series 2002-81, Class JO, PO, 04/25/32 | 621 | ||||||
1,031 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 1,176 | ||||||
38 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 1 | ||||||
2,384 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 2,564 | ||||||
1,180 | Series 2003-3, Class HJ, 5.000%, 02/25/18 | 1,269 | ||||||
2,524 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 2,780 | ||||||
894 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 911 | ||||||
152 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 153 | ||||||
2,158 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 375 | ||||||
1,444 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 1,622 | ||||||
1,516 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 1,869 | ||||||
93 | Series 2003-35, Class UC, 3.750%, 05/25/33 | 98 | ||||||
278 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 42 | ||||||
1,319 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 1,517 | ||||||
1,884 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 2,102 | ||||||
606 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 654 | ||||||
247 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 10 | ||||||
828 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 951 | ||||||
434 | Series 2003-52, Class SX, HB, IF, 22.234%, 10/25/31 | 730 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued |
||||||||
1,812 | Series 2003-56, Class AZ, 5.500%, 08/25/31 | 1,854 | ||||||
344 | Series 2003-64, Class SX, IF, 13.153%, 07/25/33 | 405 | ||||||
48 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 48 | ||||||
1,276 | Series 2003-71, Class DS, IF, 7.148%, 08/25/33 | 1,341 | ||||||
1,056 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 72 | ||||||
2,392 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 356 | ||||||
729 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 738 | ||||||
211 | Series 2003-74, Class SH, IF, 9.740%, 08/25/33 | 236 | ||||||
860 | Series 2003-76, Class GQ, 4.500%, 08/25/18 | 920 | ||||||
2,053 | Series 2003-80, Class SY, IF, IO, 7.411%, 06/25/23 | 233 | ||||||
1,256 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,350 | ||||||
3,655 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 3,961 | ||||||
545 | Series 2003-91, Class SD, IF, 12.102%, 09/25/33 | 641 | ||||||
2,682 | Series 2003-116, Class SB, IF, IO, 7.361%, 11/25/33 | 518 | ||||||
3,144 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 3,262 | ||||||
1,507 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 1,605 | ||||||
248 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 253 | ||||||
856 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 909 | ||||||
358 | Series 2003-130, Class SX, IF, 11.162%, 01/25/34 | 414 | ||||||
295 | Series 2003-132, Class OA, PO, 08/25/33 | 286 | ||||||
2,438 | Series 2004-4, Class QI, IF, IO, 6.861%, 06/25/33 | 360 | ||||||
231 | Series 2004-4, Class QM, IF, 13.722%, 06/25/33 | 280 | ||||||
1,192 | Series 2004-10, Class SC, HB, IF, 27.645%, 02/25/34 | 1,829 | ||||||
128 | Series 2004-14, Class SD, IF, 8.717%, 03/25/34 | 129 | ||||||
445 | Series 2004-21, Class CO, PO, 04/25/34 | 429 | ||||||
147 | Series 2004-22, Class A, 4.000%, 04/25/19 | 149 | ||||||
1,130 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 1,252 | ||||||
1,923 | Series 2004-25, Class SA, IF, 18.868%, 04/25/34 | 2,881 | ||||||
7,708 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 8,269 | ||||||
753 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 836 | ||||||
2,101 | Series 2004-36, Class SA, IF, 18.868%, 05/25/34 | 3,151 | ||||||
942 | Series 2004-36, Class SN, IF, 13.722%, 07/25/33 | 1,108 | ||||||
4,281 | Series 2004-37, Class AG, 4.500%, 11/25/32 | 4,532 | ||||||
1,146 | Series 2004-46, Class HS, IF, IO, 5.761%, 05/25/30 | 26 | ||||||
919 | Series 2004-46, Class QB, HB, IF, 23.045%, 05/25/34 | 1,419 | ||||||
3,164 | Series 2004-46, Class SK, IF, 15.843%, 05/25/34 | 4,245 | ||||||
597 | Series 2004-51, Class SY, IF, 13.763%, 07/25/34 | 728 | ||||||
669 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 740 | ||||||
965 | Series 2004-59, Class BG, PO, 12/25/32 | 926 | ||||||
1,455 | Series 2004-61, Class FH, VAR, 1.039%, 11/25/32 | 1,473 | ||||||
192 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 225 | ||||||
385 | Series 2004-70, Class JA, 4.500%, 10/25/19 | 393 | ||||||
663 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 700 | ||||||
988 | Series 2004-79, Class SP, IF, 19.143%, 11/25/34 | 1,426 | ||||||
306 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 323 | ||||||
45 | Series 2004-92, Class JO, PO, 12/25/34 | 44 | ||||||
368 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 400 | ||||||
2,763 | Series 2005-56, Class S, IF, IO, 6.471%, 07/25/35 | 477 | ||||||
1,618 | Series 2005-59, Class PC, 5.500%, 03/25/31 | 1,653 | ||||||
536 | Series 2005-66, Class SG, IF, 16.778%, 07/25/35 | 751 | ||||||
1,215 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,334 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued |
||||||||
2,519 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 2,846 | ||||||
1,768 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 1,933 | ||||||
1,117 | Series 2005-74, Class CS, IF, 19.363%, 05/25/35 | 1,654 | ||||||
10,556 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 11,855 | ||||||
4,899 | Series 2005-97, Class HC, 5.000%, 02/25/32 | 5,072 | ||||||
3,425 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 3,984 | ||||||
6,673 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 6,842 | ||||||
14,556 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 15,951 | ||||||
4,326 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 5,252 | ||||||
2,997 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 3,363 | ||||||
1,462 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,570 | ||||||
3,720 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 3,851 | ||||||
527 | Series 2006-15, Class OT, PO, 01/25/36 | 499 | ||||||
883 | Series 2006-16, Class OA, PO, 03/25/36 | 849 | ||||||
1,022 | Series 2006-22, Class AO, PO, 04/25/36 | 971 | ||||||
393 | Series 2006-23, Class KO, PO, 04/25/36 | 370 | ||||||
3,149 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 3,534 | ||||||
285 | Series 2006-42, Class CF, VAR, 0.689%, 06/25/36 | 286 | ||||||
2,508 | Series 2006-44, Class GO, PO, 06/25/36 | 2,403 | ||||||
6,263 | Series 2006-44, Class P, PO, 12/25/33 | 6,030 | ||||||
2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 2,247 | ||||||
4,042 | Series 2006-53, Class US, IF, IO, 6.341%, 06/25/36 | 575 | ||||||
2,859 | Series 2006-56, Class FC, VAR, 0.529%, 07/25/36 | 2,860 | ||||||
918 | Series 2006-56, Class OA, PO, 10/25/24 | 904 | ||||||
2,972 | Series 2006-56, Class PF, VAR, 0.589%, 07/25/36 | 2,978 | ||||||
1,545 | Series 2006-56, Class PO, PO, 07/25/36 | 1,481 | ||||||
2,618 | Series 2006-58, Class AP, PO, 07/25/36 | 2,534 | ||||||
273 | Series 2006-58, Class FL, VAR, 0.699%, 07/25/36 | 274 | ||||||
1,096 | Series 2006-58, Class PO, PO, 07/25/36 | 1,005 | ||||||
2,215 | Series 2006-59, Class QO, PO, 01/25/33 | 2,178 | ||||||
2,935 | Series 2006-60, Class DZ, 6.500%, 07/25/36 | 3,935 | ||||||
1,735 | Series 2006-65, Class QO, PO, 07/25/36 | 1,662 | ||||||
1,398 | Series 2006-71, Class IC, IO, 6.000%, 04/25/17 | 18 | ||||||
472 | Series 2006-72, Class TO, PO, 08/25/36 | 454 | ||||||
5,436 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 6,229 | ||||||
1,385 | Series 2006-79, Class DO, PO, 08/25/36 | 1,328 | ||||||
862 | Series 2006-90, Class AO, PO, 09/25/36 | 839 | ||||||
396 | Series 2006-109, Class PO, PO, 11/25/36 | 382 | ||||||
4,076 | Series 2006-110, Class PO, PO, 11/25/36 | 3,920 | ||||||
334 | Series 2006-111, Class EO, PO, 11/25/36 | 323 | ||||||
1,259 | Series 2006-118, Class A2, VAR, 0.299%, 12/25/36 | 1,199 | ||||||
642 | Series 2006-119, Class PO, PO, 12/25/36 | 619 | ||||||
9,542 | Series 2006-124, Class HB, VAR, 5.966%, 11/25/36 | 10,461 | ||||||
1,000 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,195 | ||||||
1,728 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 255 | ||||||
4,371 | Series 2007-7, Class SG, IF, IO, 6.261%, 08/25/36 | 529 | ||||||
6,770 | Series 2007-14, Class ES, IF, IO, 6.201%, 03/25/37 | 995 | ||||||
459 | Series 2007-15, Class NO, PO, 03/25/22 | 437 | ||||||
2,846 | Series 2007-16, Class FC, VAR, 0.989%, 03/25/37 | 2,876 | ||||||
663 | Series 2007-42, Class AO, PO, 05/25/37 | 631 | ||||||
1,500 | Series 2007-46, Class VK, 5.500%, 03/25/22 | 1,644 | ||||||
754 | Series 2007-48, Class PO, PO, 05/25/37 | 726 | ||||||
2,873 | Series 2007-54, Class FA, VAR, 0.639%, 06/25/37 | 2,877 | ||||||
10,787 | Series 2007-60, Class AX, IF, IO, 6.911%, 07/25/37 | 1,827 | ||||||
699 | Series 2007-77, Class FG, VAR, 0.739%, 03/25/37 | 700 | ||||||
1,280 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 1,298 | ||||||
1,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 1,199 | ||||||
705 | Series 2007-84, Class PD, 6.000%, 08/25/32 | 711 | ||||||
5,000 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 5,588 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
5,858 | Series 2007-88, Class VI, IF, IO, 6.301%, 09/25/37 | 944 | ||||||
4,001 | Series 2007-91, Class ES, IF, IO, 6.221%, 10/25/37 | 688 | ||||||
2,874 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 745 | ||||||
5,393 | Series 2007-101, Class A2, VAR, 0.489%, 06/27/36 | 5,367 | ||||||
1,223 | Series 2007-106, Class A7, VAR, 5.953%, 10/25/37 | 1,361 | ||||||
3,000 | Series 2007-114, Class A6, VAR, 0.439%, 10/27/37 | 2,983 | ||||||
2,904 | Series 2007-116, Class HI, IO, VAR, 5.837%, 01/25/38 | 144 | ||||||
196 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 19 | ||||||
3,733 | Series 2008-1, Class BI, IF, IO, 5.671%, 02/25/38 | 488 | ||||||
2,376 | Series 2008-10, Class XI, IF, IO, 5.991%, 03/25/38 | 368 | ||||||
2,004 | Series 2008-16, Class IS, IF, IO, 5.961%, 03/25/38 | 298 | ||||||
1,756 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 147 | ||||||
1,000 | Series 2008-24, Class DY, 5.000%, 04/25/23 | 1,119 | ||||||
1,482 | Series 2008-27, Class SN, IF, IO, 6.661%, 04/25/38 | 257 | ||||||
957 | Series 2008-39, Class CI, IO, 4.500%, 05/25/18 | 60 | ||||||
910 | Series 2008-42, Class AO, PO, 09/25/36 | 882 | ||||||
191 | Series 2008-44, Class PO, PO, 05/25/38 | 184 | ||||||
1,795 | Series 2008-47, Class SI, IF, IO, 6.261%, 06/25/23 | 208 | ||||||
2,122 | Series 2008-53, Class CI, IF, IO, 6.961%, 07/25/38 | 347 | ||||||
277 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 5 | ||||||
983 | Series 2008-76, Class GF, VAR, 0.889%, 09/25/23 | 993 | ||||||
4,525 | Series 2008-80, Class SA, IF, IO, 5.611%, 09/25/38 | 598 | ||||||
2,810 | Series 2008-81, Class SB, IF, IO, 5.611%, 09/25/38 | 391 | ||||||
3,870 | Series 2009-6, Class GS, IF, IO, 6.311%, 02/25/39 | 750 | ||||||
1,734 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 175 | ||||||
1,556 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 146 | ||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 677 | ||||||
2,631 | Series 2009-60, Class HT, 6.000%, 08/25/39 | 2,957 | ||||||
2,094 | Series 2009-62, Class HJ, 6.000%, 05/25/39 | 2,304 | ||||||
2,687 | Series 2009-70, Class CO, PO, 01/25/37 | 2,598 | ||||||
3,233 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 161 | ||||||
2,388 | Series 2009-99, Class SC, IF, IO, 5.941%, 12/25/39 | 289 | ||||||
1,557 | Series 2009-103, Class MB, VAR, 4.027%, 12/25/39 | 1,665 | ||||||
2,000 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,146 | ||||||
2,340 | Series 2010-49, Class SC, IF, 12.183%, 03/25/40 | 2,811 | ||||||
1,614 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 1,745 | ||||||
1,923 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 2,122 | ||||||
3,778 | Series 2010-133, Class A, 5.500%, 05/25/38 | 4,059 | ||||||
3,525 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 3,736 | ||||||
3,608 | Series 2011-2, Class WA, VAR, 5.751%, 02/25/51 | 3,927 | ||||||
2,584 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 2,963 | ||||||
8,297 | Series 2011-30, Class LS, IO, VAR, 4.669%, 04/25/41 | 573 | ||||||
1,512 | Series 2011-75, Class FA, VAR, 0.789%, 08/25/41 | 1,520 | ||||||
2,656 | Series 2011-118, Class MT, 7.000%, 11/25/41 | 3,271 | ||||||
4,286 | Series 2011-130, Class CA, 6.000%, 12/25/41 | 4,772 | ||||||
1,967 | Series 2012-14, Class FB, VAR, 0.689%, 08/25/37 | 1,969 | ||||||
11,874 | Series 2012-47, Class HF, VAR, 0.639%, 05/25/27 | 11,899 | ||||||
1 | Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21 | 14 | ||||||
41 | Series G-28, Class S, IF, 14.850%, 09/25/21 | 53 | ||||||
39 | Series G-35, Class M, 8.750%, 10/25/21 | 45 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued |
||||||||
14 | Series G-51, Class SA, HB, IF, 26.181%, 12/25/21 | 25 | ||||||
| (h) | Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22 | 2 | |||||
198 | Series G92-35, Class E, 7.500%, 07/25/22 | 222 | ||||||
| (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 4 | |||||
25 | Series G92-42, Class Z, 7.000%, 07/25/22 | 28 | ||||||
762 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 858 | ||||||
31 | Series G92-52, Class FD, VAR, 0.271%, 09/25/22 | 31 | ||||||
254 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 287 | ||||||
31 | Series G92-59, Class F, VAR, 1.863%, 10/25/22 | 32 | ||||||
61 | Series G92-61, Class Z, 7.000%, 10/25/22 | 72 | ||||||
46 | Series G92-62, Class B, PO, 10/25/22 | 43 | ||||||
213 | Series G93-1, Class KA, 7.900%, 01/25/23 | 245 | ||||||
48 | Series G93-5, Class Z, 6.500%, 02/25/23 | 56 | ||||||
60 | Series G93-14, Class J, 6.500%, 03/25/23 | 66 | ||||||
145 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 166 | ||||||
135 | Series G93-27, Class FD, VAR, 1.130%, 08/25/23 | 136 | ||||||
34 | Series G93-37, Class H, PO, 09/25/23 | 31 | ||||||
58 | Series G95-1, Class C, 8.800%, 01/25/25 | 68 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
4 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 1 | ||||||
1 | Series 50, Class 2, IO, 10.500%, 03/01/19 | | (h) | |||||
21 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 4 | ||||||
19 | Series 265, Class 2, 9.000%, 03/01/24 | 23 | ||||||
354 | Series 329, Class 1, PO, 01/01/33 | 339 | ||||||
1,089 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 81 | ||||||
1,540 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 113 | ||||||
722 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 66 | ||||||
557 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 67 | ||||||
1,528 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 | 201 | ||||||
1,051 | Series 355, Class 11, IO, 6.000%, 07/01/34 | 196 | ||||||
592 | Series 355, Class 31, IO, VAR, 4.500%, 12/01/18 | 55 | ||||||
2,685 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 352 | ||||||
334 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 29 | ||||||
1,404 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 181 | ||||||
865 | Series 383, Class 32, IO, 6.000%, 01/01/38 | 118 | ||||||
2,265 | Series 383, Class 33, IO, 6.000%, 01/01/38 | 311 | ||||||
382 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 47 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
1,203 | Series 2003-W1, Class 1A1, VAR, 6.254%,12/25/42 | 1,382 | ||||||
448 | Series 2003-W1, Class 2A, VAR, 7.051%, 12/25/42 | 527 | ||||||
205 | Series 2003-W4, Class 2A, VAR, 6.489%, 10/25/42 | 231 | ||||||
335 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 405 | ||||||
1,624 | Series 2004-W15, Class 2AF, VAR, 0.489%, 08/25/44 | 1,615 | ||||||
1,146 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 1,324 | ||||||
4,127 | Series 2005-W3, Class 2AF, VAR, 0.459%, 03/25/45 | 4,104 | ||||||
1,444 | Series 2006-W2, Class 1AF1, VAR, 0.459%, 02/25/36 | 1,435 | ||||||
179 | Series 2007-W7, Class 1A4, HB, IF, 37.747%, 07/25/37 | 319 | ||||||
3,589 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 4,122 | ||||||
Government National Mortgage Association, | ||||||||
778 | Series 1994-3, Class PQ, 7.488%, 07/16/24 | 943 | ||||||
431 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 501 | ||||||
2,261 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 2,656 | ||||||
368 | Series 1996-16, Class E, 7.500%, 08/16/26 | 424 | ||||||
574 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 659 | ||||||
286 | Series 1998-26, Class K, 7.500%, 09/17/25 | 330 | ||||||
1,537 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 1,755 | ||||||
1,453 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 1,699 | ||||||
212 | Series 1999-30, Class S, IF, IO, 8.361%, 08/16/29 | 39 | ||||||
19 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 | 24 | ||||||
286 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 339 | ||||||
426 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 499 | ||||||
145 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 168 | ||||||
2,834 | Series 1999-44, Class ZC, 8.500%, 12/16/29 | 3,490 | ||||||
466 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 545 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
347 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 404 | ||||||
185 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 227 | ||||||
1,841 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 2,233 | ||||||
324 | Series 2000-12, Class ST, HB, IF, 38.306%, 02/16/30 | 720 | ||||||
386 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 456 | ||||||
105 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 111 | ||||||
2,622 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 3,359 | ||||||
449 | Series 2000-26, Class TZ, 8.500%, 09/20/30 | 527 | ||||||
115 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 135 | ||||||
22 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 27 | ||||||
356 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 422 | ||||||
216 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 238 | ||||||
33 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 16 | ||||||
149 | Series 2000-37, Class B, 8.000%, 12/20/30 | 175 | ||||||
184 | Series 2001-4, Class SJ, IF, IO, 7.910%, 01/19/30 | 48 | ||||||
162 | Series 2001-6, Class SD, IF, IO, 8.311%, 03/16/31 | 48 | ||||||
338 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 362 | ||||||
955 | Series 2001-8, Class Z, 6.500%, 03/20/31 | 1,119 | ||||||
17 | Series 2001-32, Class WA, IF, 19.526%, 07/20/31 | 29 | ||||||
275 | Series 2001-35, Class SA, IF, IO, 8.011%, 08/16/31 | 68 | ||||||
217 | Series 2001-36, Class S, IF, IO, 7.811%, 08/16/31 | 53 | ||||||
1,167 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 1,237 | ||||||
281 | Series 2002-3, Class SP, IF, IO, 7.151%, 01/16/32 | 64 | ||||||
397 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 467 | ||||||
1,152 | Series 2002-24, Class AG, IF, IO, 7.711%, 04/16/32 | 253 | ||||||
102 | Series 2002-24, Class SB, IF, 11.567%, 04/16/32 | 139 | ||||||
2,624 | Series 2002-31, Class SE, IF, IO, 7.261%, 04/16/30 | 490 | ||||||
790 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 930 | ||||||
43 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 52 | ||||||
3,019 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 3,493 | ||||||
1,020 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 1,201 | ||||||
1,933 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 2,278 | ||||||
56 | Series 2002-51, Class SG, HB, IF, 31.461%, 04/20/31 | 111 | ||||||
1,653 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 1,897 | ||||||
477 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 547 | ||||||
1,192 | Series 2002-70, Class PS, IF, IO, 7.460%, 08/20/32 | 125 | ||||||
949 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,198 | ||||||
279 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 7 | ||||||
271 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 280 | ||||||
1,326 | Series 2003-11, Class SK, IF, IO, 7.461%, 02/16/33 | 267 | ||||||
549 | Series 2003-12, Class SP, IF, IO, 7.460%, 02/20/33 | 112 | ||||||
123 | Series 2003-24, Class PO, PO, 03/16/33 | 107 | ||||||
698 | Series 2003-40, Class TC, 7.500%, 03/20/33 | 719 | ||||||
1,319 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 1,656 | ||||||
753 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 950 | ||||||
1,394 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 1,646 | ||||||
490 | Series 2003-52, Class AP, PO, 06/16/33 | 437 | ||||||
2,150 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 2,587 | ||||||
677 | Series 2003-76, Class LS, IF, IO, 6.960%, 09/20/31 | 35 | ||||||
148 | Series 2003-90, Class PO, PO, 10/20/33 | 133 | ||||||
1,820 | Series 2003-112, Class SA, IF, IO, 6.311%, 12/16/33 | 303 | ||||||
3,000 | Series 2003-112, Class TS, IF, IO, 6.710%, 10/20/32 | 279 | ||||||
5,638 | Series 2004-11, Class SW, IF, IO, 5.260%, 02/20/34 | 759 | ||||||
522 | Series 2004-15, Class SA, IF, 19.003%, 12/20/32 | 639 | ||||||
605 | Series 2004-28, Class S, IF, 19.006%, 04/16/34 | 941 | ||||||
411 | Series 2004-68, Class PO, PO, 05/20/31 | 405 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
251 | Series 2004-73, Class AE, IF, 14.363%, 08/17/34 | 313 | ||||||
3,088 | Series 2004-90, Class SI, IF, IO, 5.860%, 10/20/34 | 484 | ||||||
2,351 | Series 2005-3, Class SB, IF, IO, 5.860%, 01/20/35 | 367 | ||||||
5,801 | Series 2005-17, Class SL, IF, IO, 6.460%, 07/20/34 | 991 | ||||||
497 | Series 2005-35, Class FL, VAR, 0.590%, 03/20/32 | 496 | ||||||
278 | Series 2005-39, Class KI, IO, 5.500%, 03/20/34 | 22 | ||||||
3,196 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 847 | ||||||
567 | Series 2005-68, Class DP, IF, 15.858%, 06/17/35 | 832 | ||||||
8,586 | Series 2005-68, Class KI, IF, IO, 6.060%, 09/20/35 | 1,394 | ||||||
1,262 | Series 2005-69, Class SY, IF, IO, 6.510%, 11/20/33 | 201 | ||||||
1,106 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 181 | ||||||
586 | Series 2006-16, Class OP, PO, 03/20/36 | 526 | ||||||
430 | Series 2006-28, Class GO, PO, 03/20/35 | 424 | ||||||
1,955 | Series 2006-38, Class SW, IF, IO, 6.260%, 06/20/36 | 246 | ||||||
1,747 | Series 2006-59, Class SD, IF, IO, 6.460%, 10/20/36 | 266 | ||||||
3,512 | Series 2006-65, Class SA, IF, IO, 6.560%, 11/20/36 | 545 | ||||||
1,957 | Series 2007-9, Class DI, IF, IO, 6.270%, 03/20/37 | 325 | ||||||
4,417 | Series 2007-17, Class JI, IF, IO, 6.571%, 04/16/37 | 750 | ||||||
474 | Series 2007-17, Class JO, PO, 04/16/37 | 421 | ||||||
3,069 | Series 2007-19, Class SD, IF, IO, 5.960%, 04/20/37 | 433 | ||||||
3,108 | Series 2007-26, Class SC, IF, IO, 5.960%, 05/20/37 | 444 | ||||||
1,849 | Series 2007-27, Class SA, IF, IO, 5.960%, 05/20/37 | 288 | ||||||
762 | Series 2007-28, Class BO, PO, 05/20/37 | 722 | ||||||
146 | Series 2007-35, Class TO, PO, 04/20/35 | 144 | ||||||
1,736 | Series 2007-36, Class SE, IF, IO, 6.231%, 06/16/37 | 294 | ||||||
4,943 | Series 2007-40, Class SB, IF, IO, 6.510%, 07/20/37 | 809 | ||||||
2,957 | Series 2007-42, Class SB, IF, IO, 6.510%, 07/20/37 | 470 | ||||||
2,500 | Series 2007-47, Class PH, 6.000%, 07/16/37 | 3,190 | ||||||
747 | Series 2007-49, Class NO, PO, 12/20/35 | 741 | ||||||
2,570 | Series 2007-50, Class AI, IF, IO, 6.535%, 08/20/37 | 405 | ||||||
368 | Series 2007-53, Class SW, IF, 19.486%, 09/20/37 | 542 | ||||||
1,438 | Series 2007-57, Class PO, PO, 03/20/37 | 1,397 | ||||||
1,830 | Series 2007-57, Class QA, IF, IO, 6.260%, 10/20/37 | 276 | ||||||
2,479 | Series 2007-71, Class SB, IF, IO, 6.460%, 07/20/36 | 292 | ||||||
1,778 | Series 2007-72, Class US, IF, IO, 6.310%, 11/20/37 | 279 | ||||||
1,805 | Series 2007-73, Class MI, IF, IO, 5.760%, 11/20/37 | 248 | ||||||
3,548 | Series 2007-76, Class SA, IF, IO, 6.290%, 11/20/37 | 543 | ||||||
1,793 | Series 2007-79, Class SY, IF, IO, 6.310%, 12/20/37 | 289 | ||||||
1,106 | Series 2007-81, Class SP, IF, IO, 6.410%, 12/20/37 | 179 | ||||||
1,988 | Series 2007-82, Class SA, IF, IO, 6.290%, 12/20/37 | 320 | ||||||
792 | Series 2008-2, Class MS, IF, IO, 6.921%, 01/16/38 | 125 | ||||||
3,167 | Series 2008-2, Class NS, IF, IO, 6.301%, 01/16/38 | 486 | ||||||
1,877 | Series 2008-10, Class S, IF, IO, 5.590%, 02/20/38 | 274 | ||||||
674 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 49 | ||||||
1,352 | Series 2008-25, Class SB, IF, IO, 6.660%, 03/20/38 | 202 | ||||||
1,354 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 161 | ||||||
2,551 | Series 2008-36, Class SH, IF, IO, 6.060%, 04/20/38 | 414 | ||||||
9,863 | Series 2008-40, Class SA, IF, IO, 6.161%, 05/16/38 | 1,992 | ||||||
2,737 | Series 2008-41, Class SA, IF, IO, 6.100%, 05/20/38 | 421 | ||||||
1,789 | Series 2008-55, Class SA, IF, IO, 5.960%, 06/20/38 | 267 | ||||||
692 | Series 2008-60, Class PO, PO, 01/20/38 | 670 | ||||||
2,000 | Series 2008-65, Class ME, 5.750%, 09/20/37 | 2,207 | ||||||
1,072 | Series 2008-71, Class SC, IF, IO, 5.760%, 08/20/38 | 143 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
1,759 | Series 2008-93, Class AS, IF, IO, 5.460%, 12/20/38 | 232 | ||||||
2,881 | Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 | 362 | ||||||
2,008 | Series 2009-10, Class SL, IF, IO, 6.261%, 03/16/34 | 225 | ||||||
3,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 844 | ||||||
1,934 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 360 | ||||||
1,718 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 313 | ||||||
4,849 | Series 2009-22, Class SA, IF, IO, 6.030%, 04/20/39 | 705 | ||||||
1,494 | Series 2009-25, Class SE, IF, IO, 7.360%, 09/20/38 | 212 | ||||||
1,655 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 241 | ||||||
1,273 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 187 | ||||||
1,396 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 | 86 | ||||||
2,418 | Series 2009-43, Class SA, IF, IO, 5.710%, 06/20/39 | 301 | ||||||
1,901 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 252 | ||||||
4,525 | Series 2009-72, Class SM, IF, IO, 6.011%, 08/16/39 | 563 | ||||||
881 | Series 2009-79, Class OK, PO, 11/16/37 | 796 | ||||||
700 | Series 2010-14, Class CO, PO, 08/20/35 | 618 | ||||||
1,062 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 1,249 | ||||||
4,811 | Series 2010-157, Class OP, PO, 12/20/40 | 4,242 | ||||||
1,709 | Series 2011-22, Class WA, VAR, 5.947%, 02/20/37 | 1,927 | ||||||
6,425 | Series 2011-75, Class SM, IF, IO, 6.360%, 05/20/41 | 1,064 | ||||||
4,000 | Series 2012-61, Class FM, VAR, 0.695%, 05/16/42 | 3,996 | ||||||
5,078 | Series 2012-H10, Class FA, VAR, 0.790%, 12/20/61 | 5,072 | ||||||
NCUA Guaranteed Notes, | ||||||||
17,000 | Series 2010-C1, Class A2, 2.900%, 10/29/20 | 18,020 | ||||||
10,699 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 11,191 | ||||||
Vendee Mortgage Trust, | ||||||||
617 | Series 1994-1, Class 1, VAR, 5.628%, 02/15/24 | 701 | ||||||
1,115 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 1,264 | ||||||
934 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 1,091 | ||||||
688 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 816 | ||||||
1,322 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 1,567 | ||||||
1,607 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 1,936 | ||||||
3,078 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 3,684 | ||||||
|
|
|||||||
799,726 | ||||||||
|
|
|||||||
Non-Agency CMO 11.5% | ||||||||
703 | AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e) | 667 | ||||||
921 | ABN AMRO Mortgage Corp., Series 2003-8, Class A3, 4.500%, 06/25/33 | 933 | ||||||
American General Mortgage Loan Trust, | ||||||||
4,200 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 4,236 | ||||||
2,775 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 2,822 | ||||||
4,500 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 4,610 | ||||||
1,106 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 1,131 | ||||||
718 | Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e) | 757 | ||||||
1,140 | Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e) | 1,195 | ||||||
473 | Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e) | 487 | ||||||
7,278 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.361%, 09/25/35 | 2,588 | ||||||
ASG Resecuritization Trust, | ||||||||
1,271 | Series 2009-1, Class A60, VAR, 3.671%, 06/26/37 (e) | 1,265 | ||||||
2,151 | Series 2009-2, Class A55, VAR, 5.191%, 05/24/36 (e) | 2,130 | ||||||
1,000 | Series 2009-2, Class G60, VAR, 5.191%, 05/24/36 (e) | 971 | ||||||
5,354 | Series 2009-3, Class A65, VAR, 2.674%, 03/26/37 (e) | 5,270 | ||||||
5,771 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 5,973 | ||||||
1,420 | Series 2010-2, Class A60, VAR, 2.173%, 01/28/37 (e) | 1,398 | ||||||
1,060 | Series 2010-3, Class 2A22, VAR, 0.434%, 10/28/36 (e) | 1,034 | ||||||
959 | Series 2011-1, Class 3A50, VAR, 2.713%, 11/28/35 (e) (f) (i) | 926 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
Banc of America Alternative Loan Trust, | ||||||||
264 | Series 2003-2, Class PO, PO, 04/25/33 | 189 | ||||||
669 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 688 | ||||||
440 | Series 2003-11, Class PO, PO, 01/25/34 | 312 | ||||||
280 | Series 2004-6, Class 15PO, PO, 07/25/19 | 229 | ||||||
1,965 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,714 | ||||||
5,847 | Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35 | 881 | ||||||
1,930 | Series 2006-4, Class 1A4, 6.000%, 05/25/46 | 1,166 | ||||||
Banc of America Funding Corp., | ||||||||
628 | Series 2004-1, Class PO, PO, 03/25/34 | 487 | ||||||
1,048 | Series 2004-2, Class 30PO, PO, 09/20/34 | 993 | ||||||
578 | Series 2004-C, Class 1A1, VAR, 5.040%, 12/20/34 | 570 | ||||||
1,461 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,477 | ||||||
987 | Series 2005-7, Class 30PO, PO, 11/25/35 | 759 | ||||||
653 | Series 2005-8, Class 30PO, PO, 01/25/36 | 477 | ||||||
2,102 | Series 2005-E, Class 4A1, VAR, 2.658%, 03/20/35 | 1,931 | ||||||
783 | Series 2006-A, Class 3A2, VAR, 2.897%, 02/20/36 | 420 | ||||||
1,804 | Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e) | 1,869 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
240 | Series 2003-3, Class 2A1, VAR, 0.789%, 05/25/18 | 230 | ||||||
338 | Series 2003-6, Class 2A1, VAR, 0.689%, 08/25/18 | 324 | ||||||
112 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 116 | ||||||
300 | Series 2003-8, Class APO, PO, 11/25/33 | 282 | ||||||
2,891 | Series 2004-3, Class 15IO, IO, VAR, 0.251%, 04/25/19 | 12 | ||||||
146 | Series 2004-4, Class APO, PO, 05/25/34 | 138 | ||||||
3,718 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 3,842 | ||||||
742 | Series 2004-6, Class 2A5, PO, 07/25/34 | 518 | ||||||
611 | Series 2004-6, Class APO, PO, 07/25/34 | 574 | ||||||
55 | Series 2004-8, Class 5PO, PO, 05/25/32 | 53 | ||||||
68 | Series 2004-8, Class XPO, PO, 10/25/34 | 65 | ||||||
408 | Series 2004-A, Class 2A2, VAR, 2.966%, 02/25/34 | 373 | ||||||
1,466 | Series 2004-J, Class 3A1, VAR, 2.913%, 11/25/34 | 1,324 | ||||||
1,923 | Series 2005-10, Class 1A6, 5.500%, 11/25/35 | 1,874 | ||||||
399 | Series 2005-A, Class 2A1, VAR, 3.001%, 02/25/35 | 341 | ||||||
BCAP LLC Trust, | ||||||||
131 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 131 | ||||||
857 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 836 | ||||||
1,088 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 1,110 | ||||||
1,160 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 1,176 | ||||||
866 | Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i) | 856 | ||||||
250 | Series 2010-RR4, Class 2A1, VAR, 0.989%, 06/26/37 (e) | 233 | ||||||
1,277 | Series 2010-RR6, Class 22A3, VAR, 5.023%, 06/26/36 (e) | 1,266 | ||||||
532 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 530 | ||||||
820 | Series 2010-RR7, Class 15A1, VAR, 1.039%, 01/26/36 (e) | 775 | ||||||
1,208 | Series 2010-RR7, Class 16A1, VAR, 0.852%, 02/26/47 (e) | 1,124 | ||||||
914 | Series 2010-RR7, Class 1A5, VAR, 5.019%, 04/26/35 (e) | 891 | ||||||
2,638 | Series 2010-RR7, Class 2A1, VAR, 3.890%, 07/26/45 (e) | 2,474 | ||||||
824 | Series 2010-RR8, Class 3A3, VAR, 5.078%, 05/26/35 (e) | 827 | ||||||
1,500 | Series 2010-RR8, Class 3A4, VAR, 5.078%, 05/26/35 (e) | 1,340 | ||||||
2,164 | Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e) | 2,177 | ||||||
3,062 | Series 2011-RR10, Class 2A1, VAR, 0.000%, 09/26/37 (e) | 2,684 | ||||||
2,310 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 2,203 | ||||||
3,425 | Series 2011-RR5, Class 11A3, VAR, 0.389%, 05/28/36 (e) | 3,028 | ||||||
2,558 | Series 2011-RR5, Class 14A3, VAR, 2.796%, 07/26/36 (e) (f) (i) | 2,427 | ||||||
3,288 | Series 2012-RR2, Class 1A1, VAR, 0.409%, 08/26/36 (e) (f) (i) | 3,113 | ||||||
2,410 | Series 2012-RR3, Class 2A5, 4.929%, 05/26/37 (e) | 2,374 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
269 | Series 2003-7, Class 3A, VAR, 2.679%, 10/25/33 | 264 | ||||||
1,026 | Series 2004-1, Class 12A1, VAR, 3.031%, 04/25/34 | 883 | ||||||
482 | Series 2004-2, Class 14A, VAR, 5.083%, 05/25/34 | 479 | ||||||
2,697 | Series 2005-5, Class A1, VAR, 2.220%, 08/25/35 | 2,600 | ||||||
5,449 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 4,804 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
85 | Series 1993-14, Class A3, VAR, 1.439%, 11/25/23 | 80 | ||||||
1,314 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,335 | ||||||
872 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 906 | ||||||
313 | Series 2005-5, Class APO, PO, 08/25/35 | 292 | ||||||
364 | Series 2005-8, Class APO, PO, 11/25/35 | 275 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
637 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 651 | ||||||
374 | Series 2003-1, Class 2A6, PO, 10/25/33 | 354 | ||||||
277 | Series 2003-1, Class PO2, PO, 10/25/33 | 260 | ||||||
223 | Series 2003-1, Class PO3, PO, 09/25/33 | 211 | ||||||
126 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 131 | ||||||
810 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 848 | ||||||
189 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 187 | ||||||
94 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 93 | ||||||
342 | Series 2004-UST1, Class A6, VAR, 5.070%, 08/25/34 | 346 | ||||||
505 | Series 2005-1, Class 2A1A, VAR, 2.788%, 04/25/35 | 317 | ||||||
803 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 785 | ||||||
612 | Series 2005-5, Class 1A2, VAR, 3.032%, 08/25/35 | 349 | ||||||
2,002 | Series 2008-AR4, Class 1A1A, VAR, 3.029%, 11/25/38 (e) | 1,989 | ||||||
965 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 1,014 | ||||||
11,234 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 11,528 | ||||||
12,030 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 12,406 | ||||||
984 | Series 2011-3, Class 1A1, VAR, 0.319%, 02/25/47 (e) | 970 | ||||||
814 | Series 2011-10, Class 4A1, VAR, 0.432%, 02/25/46 (e) (f) (i) | 728 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
512 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 538 | ||||||
12,015 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 11,589 | ||||||
2,119 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 2,174 | ||||||
502 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 507 | ||||||
3,616 | Series 2005-1CB, Class 1A6, IF, IO, 6.861%, 03/25/35 | 636 | ||||||
6,732 | Series 2005-20CB, Class 3A8, IF, IO, 4.511%, 07/25/35 | 778 | ||||||
12,675 | Series 2005-22T1, Class A2, IF, IO, 4.831%, 06/25/35 | 1,522 | ||||||
6,406 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 5,362 | ||||||
261 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 216 | ||||||
9,102 | Series 2005-37T1, Class A2, IF, IO, 4.811%, 09/25/35 | 1,421 | ||||||
5,819 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 5,019 | ||||||
15,231 | Series 2005-54CB, Class 1A2, IF, IO, 4.611%, 11/25/35 | 2,221 | ||||||
3,724 | Series 2005-57CB, Class 3A2, IF, IO, 4.861%, 12/25/35 | 410 | ||||||
2,334 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 1,678 | ||||||
10,457 | Series 2005-J1, Class 1A4, IF, IO, 4.861%, 02/25/35 | 1,297 | ||||||
3,455 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 2,229 | ||||||
Countrywide Home Loan Mortgage Pass- Through Trust, | ||||||||
1,653 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 1,652 | ||||||
667 | Series 2003-44, Class A9, PO, 10/25/33 | 663 | ||||||
677 | Series 2003-J7, Class 4A3, IF, 9.464%, 08/25/18 | 741 | ||||||
740 | Series 2004-7, Class 2A1, VAR, 2.989%, 06/25/34 | 686 | ||||||
840 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 856 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
291 | Series 2004-HYB1, Class 2A, VAR, 2.842%, 05/20/34 | 260 | ||||||
1,102 | Series 2004-HYB3, Class 2A, VAR, 2.789%, 06/20/34 | 913 | ||||||
928 | Series 2004-HYB6, Class A3, VAR, 2.642%, 11/20/34 | 750 | ||||||
649 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 668 | ||||||
3,853 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 3,755 | ||||||
4,685 | Series 2005-22, Class 2A1, VAR, 2.705%, 11/25/35 | 3,301 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
248 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 248 | ||||||
627 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 573 | ||||||
810 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 811 | ||||||
691 | Series 2010-11R, Class A1, VAR, 1.239%, 06/28/47 (e) | 670 | ||||||
741 | Series 2010-12R, Class 14A1, VAR, 2.729%, 09/26/46 (e) | 735 | ||||||
262 | Series 2010-15R, Class 7A1, VAR, 4.428%, 10/26/37 (e) | 257 | ||||||
250 | Series 2010-15R, Class 7A2, VAR, 4.428%, 10/26/37 (e) | 235 | ||||||
4,676 | Series 2011-1R, Class A1, VAR, 1.239%, 02/27/47 (e) | 4,620 | ||||||
1,516 | Series 2011-6R, Class 3A1, VAR, 2.829%, 07/28/36 (e) | 1,391 | ||||||
5,962 | Series 2011-7R, Class A1, VAR, 1.489%, 08/28/47 (e) | 5,858 | ||||||
2,745 | Series 2011-9R, Class A1, VAR, 2.239%, 03/27/46 (e) | 2,727 | ||||||
4,195 | Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) | 4,196 | ||||||
1,914 | Series 2012-3R, Class 1A1, VAR, 3.250%, 07/27/37 (e) | 1,920 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
780 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 814 | ||||||
287 | Series 2003-17, Class 2A1, 5.000%, 07/25/18 | 299 | ||||||
708 | Series 2003-21, Class 1A4, 5.250%, 09/25/33 | 720 | ||||||
1,009 | Series 2003-25, Class 1P, PO, 10/25/33 | 955 | ||||||
110 | Series 2004-5, Class 5P, PO, 08/25/19 | 109 | ||||||
1,894 | Series 2005-4, Class 3A18, 5.500%, 06/25/35 | 1,742 | ||||||
1,962 | Series 2005-4, Class 3A22, 5.500%, 06/25/35 | 1,665 | ||||||
2,107 | Series 2005-4, Class 3A23, 5.500%, 06/25/35 | 1,895 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
684 | Series 2009-RS2, Class 4A1, VAR, 0.372%, 04/26/37 (e) | 661 | ||||||
346 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 347 | ||||||
752 | Series 2010-RS2, Class A1, VAR, 1.489%, 06/28/47 (e) | 752 | ||||||
81 | FDIC Trust, Series 2011-N1, Class A1, 4.500%, 12/25/16 (e) (f) (i) | 81 | ||||||
13 | First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17 | 13 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
1,369 | Series 2004-AA4, Class A1, VAR, 2.604%, 10/25/34 | 1,126 | ||||||
2,468 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 1,860 | ||||||
3,716 | Series 2007-FA4, Class 1A2, IF, IO, 5.411%, 08/25/37 | 642 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
3,218 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 3,269 | ||||||
1,199 | Series 2004-AR2, Class 2A1, VAR, 2.626%, 05/25/34 | 1,151 | ||||||
289 | Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 | 281 | ||||||
1,959 | Series 2005-AR1, Class 2A2, VAR, 2.625%, 04/25/35 | 1,881 | ||||||
1,647 | Freedom Trust, Series 2011-4, Class A18, VAR, 3.517%, 03/25/37 (e) | 1,635 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
1,132 | Series 2003-AR1, Class A4, VAR, 3.039%, 10/19/33 | 1,130 | ||||||
576 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 590 | ||||||
292 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 301 | ||||||
606 | Series 2005-AR3, Class 3A3, VAR, 3.283%, 06/19/35 | 599 | ||||||
5,565 | Series 2005-AR3, Class 3A4, VAR, 3.283%, 06/19/35 | 4,794 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
GSMPS Mortgage Loan Trust, | ||||||||
1,179 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 1,193 | ||||||
1,745 | Series 2005-RP3, Class 1AF, VAR, 0.589%, 09/25/35 (e) | 1,367 | ||||||
1,318 | Series 2005-RP3, Class 1AS, IO, VAR, 5.079%, 09/25/35 (e) | 201 | ||||||
5,680 | Series 2006-RP2, Class 1AS2, IF, IO, 5.830%, 04/25/36 (e) | 785 | ||||||
GSR Mortgage Loan Trust, | ||||||||
1,206 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 1,287 | ||||||
1,147 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 1,204 | ||||||
37 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 38 | ||||||
573 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 565 | ||||||
471 | Series 2005-4F, Class AP, PO, 05/25/35 | 445 | ||||||
5,714 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 5,656 | ||||||
4,886 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 4,319 | ||||||
4,899 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 4,736 | ||||||
507 | Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.539%, 05/25/35 | 476 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
1,001 | Series 2006-1, Class 2A1, VAR, 0.589%, 05/25/36 | 925 | ||||||
1,476 | Series 2006-2, Class 2A1, VAR, 0.589%, 08/25/36 | 1,326 | ||||||
21,123 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.033%, 08/25/35 | 106 | ||||||
JP Morgan Mortgage Trust, | ||||||||
2,563 | Series 2006-A2, Class 4A1, VAR, 2.797%, 08/25/34 | 2,481 | ||||||
3,197 | Series 2006-A2, Class 5A3, VAR, 2.653%, 11/25/33 | 3,164 | ||||||
678 | Series 2006-A3, Class 6A1, VAR, 2.792%, 08/25/34 | 633 | ||||||
986 | JP Morgan Reremic, Series 2009-6, Class 4A1, VAR, 5.620%, 09/26/36 (e) | 1,029 | ||||||
Lehman Mortgage Trust, | ||||||||
1,146 | Series 2006-2, Class 1A1, VAR, 6.458%, 04/25/36 | 1,103 | ||||||
1,955 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,414 | ||||||
LVII Resecuritization Trust, | ||||||||
2,239 | Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e) | 2,238 | ||||||
1,000 | Series 2009-3, Class M3, VAR, 5.601%, 11/27/37 (e) | 1,058 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
96 | Series 2004-4, Class 2A1, VAR, 2.000%, 05/25/34 | 61 | ||||||
1,476 | Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 1,451 | ||||||
2,585 | Series 2004-13, Class 3A6, VAR, 2.697%, 11/21/34 | 2,590 | ||||||
2,800 | Series 2004-13, Class 3A7, VAR, 2.697%, 11/21/34 | 2,706 | ||||||
423 | Series 2004-15, Class 3A1, VAR, 3.097%, 12/25/34 | 346 | ||||||
MASTR Alternative Loans Trust, | ||||||||
267 | Series 2003-3, Class 1A1, 6.500%, 05/25/33 | 279 | ||||||
888 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 943 | ||||||
994 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 1,015 | ||||||
1,881 | Series 2004-4, Class 10A1, 5.000%, 05/25/24 | 1,951 | ||||||
694 | Series 2004-6, Class 30PO, PO, 07/25/34 | 617 | ||||||
979 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 978 | ||||||
489 | Series 2004-7, Class 30PO, PO, 08/25/34 | 367 | ||||||
2,197 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 2,240 | ||||||
403 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 413 | ||||||
MASTR Asset Securitization Trust, | ||||||||
171 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 175 | ||||||
47 | Series 2003-3, Class 4A1, 5.000%, 04/25/18 | 48 | ||||||
279 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 288 | ||||||
300 | Series 2003-12, Class 30PO, PO, 12/25/33 | 280 | ||||||
182 | Series 2004-1, Class 30PO, PO, 02/25/34 | 142 | ||||||
113 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 116 | ||||||
139 | Series 2004-6, Class 15PO, PO, 05/25/19 | 138 | ||||||
259 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 268 | ||||||
102 | Series 2004-8, Class PO, PO, 08/25/19 | 101 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 844 | ||||||
3,517 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.589%, 05/25/35 (e) | 2,738 | ||||||
2,628 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 2,050 | ||||||
73 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 81 | ||||||
1,239 | MLCC Mortgage Investors, Inc., Series 2004-1, Class 2A1, VAR, 2.330%, 12/25/34 | 1,238 | ||||||
823 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.559%, 02/25/35 | 680 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
496 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 518 | ||||||
130 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 137 | ||||||
64 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 68 | ||||||
20 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 20 | ||||||
649 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 638 | ||||||
Paine Webber CMO Trust, | ||||||||
3 | Series H, Class 4, 8.750%, 04/01/18 | 3 | ||||||
17 | Series P, Class 4, 8.500%, 08/01/19 | 19 | ||||||
599 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.813%, 05/25/35 | 587 | ||||||
RBSSP Resecuritization Trust, | ||||||||
776 | Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) | 819 | ||||||
1,060 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 1,070 | ||||||
1,176 | Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e) | 1,179 | ||||||
743 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 761 | ||||||
1,776 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 1,877 | ||||||
1,553 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 1,543 | ||||||
869 | Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) | 876 | ||||||
Residential Accredit Loans, Inc., | ||||||||
214 | Series 2002-QS16, Class A3, IF, 16.124%, 10/25/17 | 241 | ||||||
745 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 765 | ||||||
5,577 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 5,506 | ||||||
1,380 | Series 2003-QS12, Class A2A, IF, IO, 7.361%, 06/25/18 | 195 | ||||||
420 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 39 | ||||||
2,722 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 2,784 | ||||||
878 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 908 | ||||||
2,098 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 2,182 | ||||||
559 | Series 2003-QS3, Class A2, IF, 15.975%, 02/25/18 | 618 | ||||||
469 | Series 2003-QS3, Class A8, IF, IO, 7.361%, 02/25/18 | 46 | ||||||
1,471 | Series 2003-QS9, Class A3, IF, IO, 7.311%, 05/25/18 | 208 | ||||||
2,803 | Series 2004-QA6, Class NB2, VAR, 2.712%, 12/26/34 | 1,970 | ||||||
85 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 86 | ||||||
Residential Asset Securitization Trust, | ||||||||
741 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 745 | ||||||
68 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 69 | ||||||
3,968 | Series 2005-A2, Class A4, IF, IO, 4.811%, 03/25/35 | 384 | ||||||
1,250 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 830 | ||||||
Residential Funding Mortgage Securities I, Inc., | ||||||||
1,130 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,163 | ||||||
295 | Series 2003-S14, Class A4, PO, 07/25/18 | 293 | ||||||
507 | Series 2004-S3, Class A1, 4.750%, 03/25/19 | 520 | ||||||
1,179 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 1,107 | ||||||
247 | Series 2004-S9, Class 2A1, 4.750%, 12/25/19 | 253 | ||||||
1,072 | Series 2005-SA4, Class 1A1, VAR, 2.913%, 09/25/35 | 772 | ||||||
50 | Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 39 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
562 | Series 2003-HYB1, Class A, VAR, 2.736%, 09/25/33 | 547 | ||||||
88 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 79 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2,690 | Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) | 2,728 | ||||||
2,100 | Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e) | 2,099 | ||||||
1,105 | Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e) | 1,104 | ||||||
1,600 | Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e) | 1,452 | ||||||
2,826 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.916%, 06/25/34 | 2,785 | ||||||
981 | Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.900%, 10/19/34 | 862 | ||||||
Structured Asset Securities Corp., | ||||||||
73 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 58 | ||||||
150 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 154 | ||||||
499 | Series 2003-31A, Class B1, VAR, 2.794%, 10/25/33 | 204 | ||||||
1,497 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 1,515 | ||||||
147 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 | 147 | ||||||
2,606 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 2,543 | ||||||
431 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 427 | ||||||
763 | Series 2005-10, Class 5A9, 5.250%, 12/25/34 | 748 | ||||||
856 | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.879%, 09/25/43 | 821 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
455 | Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i) | 455 | ||||||
1,400 | Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i) | 1,408 | ||||||
954 | Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) | 955 | ||||||
558 | Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e) | 560 | ||||||
1,184 | Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) | 1,192 | ||||||
308 | Series 2012-NL1A, Class A2, VAR, 8.112%, 03/25/49 (e) (f) (i) | 310 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
196 | Series 2003-AR8, Class A, VAR, 2.484%, 08/25/33 | 195 | ||||||
4,425 | Series 2003-AR9, Class 1A6, VAR, 2.457%, 09/25/33 | 4,446 | ||||||
678 | Series 2003-AR9, Class 2A, VAR, 2.545%, 09/25/33 | 681 | ||||||
213 | Series 2003-S11, Class 2A5, IF, 16.393%, 11/25/33 | 219 | ||||||
700 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 727 | ||||||
3,143 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 3,296 | ||||||
296 | Series 2003-S9, Class P, PO, 10/25/33 | 278 | ||||||
374 | Series 2004-AR3, Class A1, VAR, 2.588%, 06/25/34 | 372 | ||||||
214 | Series 2004-AR3, Class A2, VAR, 2.588%, 06/25/34 | 211 | ||||||
2,562 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 2,560 | ||||||
523 | Series 2006-AR10, Class 2P, VAR, 09/25/36 | 291 | ||||||
323 | Series 2006-AR12, Class 2P, VAR, 10/25/36 | 167 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
13,277 | Series 2005-2, Class 1A4, IF, IO, 4.811%, 04/25/35 | 2,001 | ||||||
3,104 | Series 2005-2, Class 2A3, IF, IO, 4.761%, 04/25/35 | 384 | ||||||
3,407 | Series 2005-3, Class CX, IO, 5.500%, 05/25/35 | 578 | ||||||
3,846 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 3,361 | ||||||
3,348 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 437 | ||||||
1,091 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 862 | ||||||
5,711 | Series 2005-6, Class 2A9, 5.500%, 08/25/35 | 4,157 | ||||||
2,553 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 2,566 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
212 | Series 2003-11, Class 1APO, PO, 10/25/18 | 210 | ||||||
735 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 750 | ||||||
761 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 789 | ||||||
145 | Series 2003-15, Class APO, PO, 12/25/18 | 134 | ||||||
689 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 706 | ||||||
523 | Series 2003-K, Class 1A1, VAR, 4.438%, 11/25/33 | 526 | ||||||
988 | Series 2003-K, Class 1A2, VAR, 4.438%, 11/25/33 | 1,004 | ||||||
258 | Series 2004-2, Class APO, PO, 01/25/19 | 256 | ||||||
367 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 376 | ||||||
357 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 370 | ||||||
1,042 | Series 2004-BB, Class A4, VAR, 2.618%, 01/25/35 | 1,038 | ||||||
962 | Series 2004-EE, Class 2A1, VAR, 2.669%, 12/25/34 | 961 | ||||||
1,029 | Series 2004-EE, Class 3A1, VAR, 2.839%, 12/25/34 | 1,043 | ||||||
4,846 | Series 2004-P, Class 2A1, VAR, 2.674%, 09/25/34 | 4,833 | ||||||
997 | Series 2004-V, Class 1A1, VAR, 2.688%, 10/25/34 | 984 | ||||||
691 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 708 | ||||||
188 | Series 2005-13, Class APO, PO, 11/25/20 | 173 | ||||||
590 | Series 2005-16, Class APO, PO, 01/25/36 | 475 | ||||||
584 | Series 2005-AR16, Class 2A1, VAR, 2.652%, 02/25/34 | 543 | ||||||
914 | Series 2005-AR8, Class 2A1, VAR, 2.694%, 06/25/35 | 877 | ||||||
1,193 | Series 2006-2, Class APO, PO, 03/25/36 | 654 | ||||||
738 | Series 2006-4, Class 1APO, PO, 04/25/36 | 543 | ||||||
2,500 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 2,331 | ||||||
693 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 660 | ||||||
|
|
|||||||
411,293 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $1,122,980) |
1,211,019 | |||||||
|
|
|||||||
|
Commercial Mortgage-Backed Securities 2.4% |
|||||||
3,000 | A10 Securitization LLC, Series 2012-1, Class A, 3.492%, 04/15/24 (e) | 3,004 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
400 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 435 | ||||||
1,610 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 1,651 | ||||||
3,256 | Series 2005-6, Class ASB, VAR, 5.193%, 09/10/47 | 3,382 | ||||||
265 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 294 | ||||||
2,250 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,520 | ||||||
890 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 979 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
44,524 | Series 2005-PWR8, Class X1, IO, VAR, 0.231%, 06/11/41 (e) | 642 | ||||||
1,201 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 1,248 | ||||||
3,148 | Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 3,516 | ||||||
1,200 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 1,250 | ||||||
102,643 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.150%, 12/11/49 (e) | 805 | ||||||
1,100 | Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 1,201 | ||||||
700 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.662%, 03/15/39 | 765 | ||||||
CW Capital Cobalt Ltd., | ||||||||
580 | Series 2006-C1, Class A4, 5.223%, 08/15/48 | 629 | ||||||
26,278 | Series 2006-C1, Class IO, IO, VAR, 0.749%, 08/15/48 | 692 | ||||||
2,706 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 2,793 | ||||||
2,293 | Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) | 2,326 | ||||||
1,856 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 1,894 | ||||||
4,025 | GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 4,356 | ||||||
500 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 507 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Commercial Mortgage-Backed Securities Continued |
|||||||
GS Mortgage Securities Corp. II, | ||||||||
1,825 | Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 1,956 | ||||||
770 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 850 | ||||||
1,000 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 994 | ||||||
1,000 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB11, Class AJ, VAR, 5.365%, 08/12/37 |
996 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
1,000 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 1,108 | ||||||
44,972 | Series 2006-C7, Class XW, IO, VAR, 0.649%, 11/15/38 (e) | 1,070 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
3,105 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 3,435 | ||||||
1,980 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 1,984 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
3,207 | Series 2006-1, Class A4, VAR, 5.432%, 02/12/39 | 3,552 | ||||||
31,041 | Series 2006-4, Class XC, IO, VAR, 0.203%, 12/12/49 (e) | 383 | ||||||
Morgan Stanley Capital I, Inc., | ||||||||
41,590 | Series 2006-IQ12, Class X1, IO, VAR, 0.134%, 12/15/43 (e) | 583 | ||||||
87,085 | Series 2007-HQ11, Class X, IO, VAR, 0.227%, 02/12/44 (e) | 612 | ||||||
764 | Series 2011-C3, Class A3, 4.054%, 07/15/49 | 825 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
395 | Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) | 396 | ||||||
3,500 | Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) | 3,583 | ||||||
365 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 365 | ||||||
3,000 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 3,150 | ||||||
5,521 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 5,543 | ||||||
8,082 | Series 2012-XA, Class A, 2.000%, 07/27/49 | 8,066 | ||||||
1,500 | Series 2012-XA, Class B, 0.250%, 07/28/49 | 997 | ||||||
5,545 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.620%, 08/15/39 | 5,957 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
1,700 | Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 1,871 | ||||||
800 | Series 2012-C6, Class A4, 3.440%, 04/15/45 | 840 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities (Cost $79,442) |
84,005 | |||||||
|
|
|||||||
|
Corporate Bonds 19.6% |
|||||||
Consumer Discretionary 1.4% | ||||||||
Auto Components 0.1% | ||||||||
Johnson Controls, Inc., | ||||||||
591 | 3.750%, 12/01/21 | 621 | ||||||
665 | 4.250%, 03/01/21 | 723 | ||||||
1,000 | 5.250%, 12/01/41 | 1,126 | ||||||
|
|
|||||||
2,470 | ||||||||
|
|
|||||||
Automobiles 0.1% | ||||||||
Daimler Finance North America LLC, | ||||||||
421 | 1.650%, 04/10/15 (e) | 421 | ||||||
739 | 2.625%, 09/15/16 (e) | 762 | ||||||
1,425 | 2.950%, 01/11/17 (e) | 1,475 | ||||||
1,000 | 6.500%, 11/15/13 | 1,077 | ||||||
|
|
|||||||
3,735 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.0% (g) | ||||||||
400 | McDonalds Corp., 4.300%, 03/01/13 | 411 | ||||||
|
|
|||||||
Household Durables 0.0% (g) | ||||||||
500 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 543 | ||||||
|
|
|||||||
Media 1.0% | ||||||||
CBS Corp., | ||||||||
140 | 5.500%, 05/15/33 | 152 | ||||||
252 | 5.750%, 04/15/20 | 294 | ||||||
1,000 | 7.875%, 07/30/30 | 1,332 | ||||||
190 | 8.875%, 05/15/19 | 254 | ||||||
250 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 365 | ||||||
624 | Comcast Cable Communications LLC, 7.125%, 06/15/13 | 663 | ||||||
Comcast Corp., | ||||||||
2,845 | 5.900%, 03/15/16 | 3,286 | ||||||
400 | 6.450%, 03/15/37 | 492 | ||||||
955 | 6.500%, 11/15/35 | 1,179 | ||||||
740 | Comcast Holdings Corp., 10.625%, 07/15/12 | 748 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Media Continued | ||||||||
Cox Communications, Inc., | ||||||||
505 | 5.450%, 12/15/14 | 556 | ||||||
125 | 8.375%, 03/01/39 (e) | 181 | ||||||
450 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 553 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
400 | 3.800%, 03/15/22 | 401 | ||||||
1,000 | 4.600%, 02/15/21 | 1,069 | ||||||
772 | 5.000%, 03/01/21 | 847 | ||||||
2,000 | 6.000%, 08/15/40 | 2,192 | ||||||
Discovery Communications LLC, | ||||||||
1,016 | 4.375%, 06/15/21 | 1,101 | ||||||
319 | 4.950%, 05/15/42 | 333 | ||||||
1,177 | Historic TW, Inc., 9.150%, 02/01/23 | 1,622 | ||||||
NBCUniversal Media LLC, | ||||||||
300 | 4.375%, 04/01/21 | 331 | ||||||
800 | 5.950%, 04/01/41 | 953 | ||||||
News America, Inc., | ||||||||
100 | 6.200%, 12/15/34 | 112 | ||||||
400 | 6.650%, 11/15/37 | 461 | ||||||
250 | 6.900%, 08/15/39 | 300 | ||||||
1,075 | 7.300%, 04/30/28 | 1,232 | ||||||
500 | 8.000%, 10/17/16 | 616 | ||||||
355 | 8.875%, 04/26/23 | 452 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
1,278 | 3.950%, 09/30/21 | 1,389 | ||||||
315 | 4.700%, 10/15/19 | 360 | ||||||
493 | 5.950%, 07/15/13 | 519 | ||||||
Time Warner Cable, Inc., | ||||||||
359 | 5.500%, 09/01/41 | 386 | ||||||
2,127 | 5.850%, 05/01/17 | 2,473 | ||||||
400 | 6.550%, 05/01/37 | 468 | ||||||
800 | 8.250%, 04/01/19 | 1,044 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
120 | 8.375%, 03/15/23 | 161 | ||||||
1,250 | 8.375%, 07/15/33 | 1,726 | ||||||
Time Warner, Inc., | ||||||||
525 | 4.750%, 03/29/21 | 589 | ||||||
313 | 5.375%, 10/15/41 | 339 | ||||||
150 | 6.200%, 03/15/40 | 175 | ||||||
437 | 6.250%, 03/29/41 | 518 | ||||||
200 | 7.625%, 04/15/31 | 260 | ||||||
171 | 7.700%, 05/01/32 | 226 | ||||||
Viacom, Inc., | ||||||||
208 | 1.250%, 02/27/15 | 208 | ||||||
808 | 3.875%, 12/15/21 | 862 | ||||||
100 | 4.500%, 03/01/21 | 111 | ||||||
250 | 4.500%, 02/27/42 | 249 | ||||||
|
|
|||||||
34,140 | ||||||||
|
|
|||||||
Multiline Retail 0.1% | ||||||||
Kohls Corp., | ||||||||
400 | 4.000%, 11/01/21 | 414 | ||||||
275 | 6.250%, 12/15/17 | 334 | ||||||
Macys Retail Holdings, Inc., | ||||||||
191 | 3.875%, 01/15/22 | 199 | ||||||
157 | 5.125%, 01/15/42 | 164 | ||||||
190 | 7.450%, 07/15/17 | 232 | ||||||
455 | Nordstrom, Inc., 4.000%, 10/15/21 | 504 | ||||||
Target Corp., | ||||||||
200 | 6.000%, 01/15/18 | 245 | ||||||
800 | 7.000%, 01/15/38 | 1,146 | ||||||
|
|
|||||||
3,238 | ||||||||
|
|
|||||||
Specialty Retail 0.1% | ||||||||
533 | Gap, Inc. (The), 5.950%, 04/12/21 | 550 | ||||||
1,625 | Home Depot, Inc. (The), 5.400%, 03/01/16 | 1,873 | ||||||
Lowes Cos., Inc., | ||||||||
739 | 4.650%, 04/15/42 | 776 | ||||||
326 | 5.125%, 11/15/41 | 363 | ||||||
750 | 7.110%, 05/15/37 | 1,009 | ||||||
590 | Staples, Inc., 9.750%, 01/15/14 | 665 | ||||||
|
|
|||||||
5,236 | ||||||||
|
|
|||||||
Total Consumer Discretionary | 49,773 | |||||||
|
|
|||||||
Consumer Staples 1.0% | ||||||||
Beverages 0.3% | ||||||||
Anheuser-Busch Cos. LLC, | ||||||||
600 | 5.500%, 01/15/18 | 710 | ||||||
905 | 5.750%, 04/01/36 | 1,146 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
114 | 1.500%, 07/14/14 | 116 | ||||||
515 | 7.750%, 01/15/19 | 681 | ||||||
Coca-Cola Co. (The), | ||||||||
500 | 3.625%, 03/15/14 | 527 | ||||||
410 | 4.875%, 03/15/19 | 488 | ||||||
Diageo Capital plc, (United Kingdom), | ||||||||
264 | 1.500%, 05/11/17 | 264 | ||||||
510 | 4.828%, 07/15/20 | 599 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Beverages Continued | ||||||||
Diageo Finance B.V., (Netherlands), | ||||||||
800 | 5.300%, 10/28/15 | 907 | ||||||
500 | 5.500%, 04/01/13 | 520 | ||||||
890 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 980 | ||||||
PepsiCo, Inc., | ||||||||
150 | 0.800%, 08/25/14 | 150 | ||||||
359 | 3.000%, 08/25/21 | 369 | ||||||
54 | 7.900%, 11/01/18 | 72 | ||||||
SABMiller Holdings, Inc., | ||||||||
574 | 1.850%, 01/15/15 (e) | 582 | ||||||
698 | 3.750%, 01/15/22 (e) | 740 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
700 | 5.700%, 01/15/14 (e) | 750 | ||||||
250 | 6.500%, 07/01/16 (e) | 292 | ||||||
|
|
|||||||
9,893 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.3% | ||||||||
CVS Caremark Corp., | ||||||||
979 | 5.750%, 05/15/41 | 1,162 | ||||||
250 | 6.125%, 09/15/39 | 308 | ||||||
1,103 | CVS Pass-Through Trust, 5.926%, 01/10/34 (e) | 1,251 | ||||||
Kroger Co. (The), | ||||||||
1,100 | 5.000%, 04/15/42 | 1,114 | ||||||
850 | 7.500%, 01/15/14 | 938 | ||||||
2,460 | 7.500%, 04/01/31 | 3,198 | ||||||
Wal-Mart Stores, Inc., | ||||||||
420 | 4.550%, 05/01/13 | 435 | ||||||
752 | 5.250%, 09/01/35 | 891 | ||||||
215 | 6.200%, 04/15/38 | 286 | ||||||
350 | 7.550%, 02/15/30 | 523 | ||||||
|
|
|||||||
10,106 | ||||||||
|
|
|||||||
Food Products 0.4% | ||||||||
Bunge Ltd. Finance Corp., | ||||||||
165 | 5.875%, 05/15/13 | 172 | ||||||
1,295 | 8.500%, 06/15/19 | 1,648 | ||||||
191 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 215 | ||||||
Cargill, Inc., | ||||||||
600 | 3.300%, 03/01/22 (e) | 618 | ||||||
535 | 4.307%, 05/14/21 (e) | 594 | ||||||
850 | 7.350%, 03/06/19 (e) | 1,083 | ||||||
225 | H.J. Heinz Co., 6.375%, 07/15/28 | 275 | ||||||
Kellogg Co., | ||||||||
365 | 1.750%, 05/17/17 | 364 | ||||||
608 | 3.125%, 05/17/22 | 612 | ||||||
462 | 4.250%, 03/06/13 | 475 | ||||||
1,200 | 5.125%, 12/03/12 | 1,228 | ||||||
Kraft Foods Group, Inc., | ||||||||
814 | 3.500%, 06/06/22 (e) | 832 | ||||||
694 | 5.000%, 06/04/42 (e) | 721 | ||||||
Kraft Foods, Inc., | ||||||||
1,450 | 6.125%, 02/01/18 | 1,728 | ||||||
1,480 | 6.500%, 08/11/17 | 1,792 | ||||||
350 | 6.500%, 11/01/31 | 434 | ||||||
600 | 6.875%, 02/01/38 | 789 | ||||||
500 | 6.875%, 01/26/39 | 658 | ||||||
350 | 7.000%, 08/11/37 | 452 | ||||||
|
|
|||||||
14,690 | ||||||||
|
|
|||||||
Household Products 0.0% (g) | ||||||||
Kimberly-Clark Corp., | ||||||||
220 | 2.400%, 03/01/22 | 220 | ||||||
66 | 7.500%, 11/01/18 | 89 | ||||||
908 | Procter & Gamble - ESOP, 9.360%, | |||||||
01/01/21 | 1,219 | |||||||
110 | Procter & Gamble Co. (The), 5.500%, | |||||||
02/01/34 | 142 | |||||||
|
|
|||||||
1,670 | ||||||||
|
|
|||||||
Total Consumer Staples | 36,359 | |||||||
|
|
|||||||
Energy 1.1% | ||||||||
Energy Equipment & Services 0.2% | ||||||||
225 | Cameron International Corp., 1.600%, 04/30/15 | 225 | ||||||
1,555 | Halliburton Co., 7.450%, 09/15/39 | 2,250 | ||||||
Noble Holding International Ltd., (Cayman Islands), | ||||||||
113 | 3.950%, 03/15/22 | 115 | ||||||
83 | 5.250%, 03/15/42 | 84 | ||||||
441 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) Transocean, Inc., (Cayman Islands), |
464 | ||||||
256 | 6.375%, 12/15/21 | 294 | ||||||
900 | 6.500%, 11/15/20 | 1,042 | ||||||
198 | 7.350%, 12/15/41 | 244 | ||||||
100 | 7.500%, 04/15/31 | 120 | ||||||
Weatherford International Ltd., (Bermuda), | ||||||||
311 | 4.500%, 04/15/22 | 322 | ||||||
113 | 5.950%, 04/15/42 | 119 | ||||||
|
|
|||||||
5,279 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Oil, Gas & Consumable Fuels 0.9% | ||||||||
150 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 179 | ||||||
Anadarko Petroleum Corp., | ||||||||
125 | 5.750%, 06/15/14 | 135 | ||||||
2,000 | 7.625%, 03/15/14 | 2,201 | ||||||
265 | 8.700%, 03/15/19 | 352 | ||||||
Apache Corp., | ||||||||
190 | 3.250%, 04/15/22 | 198 | ||||||
556 | 4.750%, 04/15/43 | 609 | ||||||
500 | 6.900%, 09/15/18 | 630 | ||||||
1,000 | Canadian Natural Resources Ltd., (Canada), 6.750%, 02/01/39 | 1,306 | ||||||
1,000 | Chevron Corp., 4.950%, 03/03/19 | 1,213 | ||||||
405 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 586 | ||||||
ConocoPhillips, | ||||||||
200 | 5.200%, 05/15/18 | 238 | ||||||
450 | 5.750%, 02/01/19 | 553 | ||||||
150 | 6.000%, 01/15/20 | 191 | ||||||
200 | 6.500%, 02/01/39 | 275 | ||||||
Devon Energy Corp., | ||||||||
750 | 3.250%, 05/15/22 | 761 | ||||||
522 | 4.750%, 05/15/42 | 546 | ||||||
200 | 6.300%, 01/15/19 | 246 | ||||||
Encana Corp., (Canada), | ||||||||
545 | 6.500%, 05/15/19 | 659 | ||||||
150 | 6.500%, 08/15/34 | 165 | ||||||
925 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 963 | ||||||
600 | EOG Resources, Inc., 4.100%, 02/01/21 | 663 | ||||||
200 | Kerr-McGee Corp., 6.950%, 07/01/24 | 248 | ||||||
Marathon Oil Corp., | ||||||||
819 | 5.900%, 03/15/18 | 963 | ||||||
1,535 | 6.000%, 10/01/17 | 1,810 | ||||||
402 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 410 | ||||||
1,020 | Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21 | 1,088 | ||||||
Petro-Canada, (Canada), | ||||||||
324 | 6.050%, 05/15/18 | 383 | ||||||
1,045 | 6.800%, 05/15/38 | 1,314 | ||||||
Phillips 66, | ||||||||
314 | 2.950%, 05/01/17 (e) | 320 | ||||||
182 | 4.300%, 04/01/22 (e) | 190 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
270 | 1.875%, 03/25/13 | 273 | ||||||
275 | 4.000%, 03/21/14 | 292 | ||||||
1,000 | 4.300%, 09/22/19 | 1,163 | ||||||
1,005 | 4.375%, 03/25/20 | 1,176 | ||||||
1,230 | 6.375%, 12/15/38 | 1,701 | ||||||
Statoil ASA, (Norway), | ||||||||
467 | 3.125%, 08/17/17 | 503 | ||||||
300 | 3.150%, 01/23/22 | 313 | ||||||
253 | 4.250%, 11/23/41 | 265 | ||||||
Suncor Energy, Inc., (Canada), | ||||||||
180 | 5.950%, 12/01/34 | 207 | ||||||
250 | 6.850%, 06/01/39 | 318 | ||||||
Talisman Energy, Inc., (Canada), | ||||||||
1,500 | 5.500%, 05/15/42 | 1,539 | ||||||
850 | 7.750%, 06/01/19 | 1,061 | ||||||
400 | Tosco Corp., 8.125%, 02/15/30 | 597 | ||||||
Total Capital International S.A., (France), | ||||||||
262 | 1.500%, 02/17/17 | 263 | ||||||
216 | 2.875%, 02/17/22 | 219 | ||||||
Total Capital S.A., (France), | ||||||||
1,400 | 2.300%, 03/15/16 | 1,451 | ||||||
370 | 4.125%, 01/28/21 | 415 | ||||||
2,000 | XTO Energy, Inc., 5.750%, 12/15/13 | 2,148 | ||||||
|
|
|||||||
33,299 | ||||||||
|
|
|||||||
Total Energy | 38,578 | |||||||
|
|
|||||||
Financials 10.1% | ||||||||
Capital Markets 1.9% | ||||||||
Bank of New York Mellon Corp. (The), | ||||||||
357 | 1.200%, 02/20/15 | 358 | ||||||
1,789 | 2.400%, 01/17/17 | 1,840 | ||||||
900 | 2.950%, 06/18/15 | 944 | ||||||
413 | 3.550%, 09/23/21 | 441 | ||||||
750 | 4.600%, 01/15/20 | 850 | ||||||
310 | 5.125%, 08/27/13 | 327 | ||||||
BlackRock, Inc., | ||||||||
1,200 | 3.375%, 06/01/22 | 1,215 | ||||||
540 | 3.500%, 12/10/14 | 573 | ||||||
652 | 5.000%, 12/10/19 | 750 | ||||||
350 | 6.250%, 09/15/17 | 422 | ||||||
1,900 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 1,991 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Capital Markets Continued | ||||||||
250 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 269 | ||||||
720 | Credit Suisse USA, Inc., 5.125%, 08/15/15 | 787 | ||||||
500 | FMR LLC, 6.450%, 11/15/39 (e) | 580 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
400 | 3.300%, 05/03/15 | 394 | ||||||
3,060 | 3.625%, 02/07/16 | 3,014 | ||||||
492 | 3.700%, 08/01/15 | 488 | ||||||
1,041 | 4.750%, 07/15/13 | 1,070 | ||||||
2,638 | 5.150%, 01/15/14 | 2,730 | ||||||
848 | 5.250%, 07/27/21 | 839 | ||||||
1,366 | 5.375%, 03/15/20 | 1,390 | ||||||
750 | 5.500%, 11/15/14 | 788 | ||||||
800 | 5.750%, 01/24/22 | 821 | ||||||
4,100 | 5.950%, 01/18/18 | 4,282 | ||||||
949 | 6.000%, 06/15/20 | 996 | ||||||
125 | 6.150%, 04/01/18 | 131 | ||||||
305 | 6.250%, 09/01/17 | 324 | ||||||
485 | 6.750%, 10/01/37 | 477 | ||||||
2,570 | 7.500%, 02/15/19 | 2,919 | ||||||
Jefferies Group, Inc., | ||||||||
450 | 3.875%, 11/09/15 | 435 | ||||||
1,005 | 5.125%, 04/13/18 | 955 | ||||||
1,000 | 6.450%, 06/08/27 | 925 | ||||||
770 | 8.500%, 07/15/19 | 816 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
1,200 | 6.000%, 01/14/20 (e) | 1,202 | ||||||
1,400 | 6.250%, 01/14/21 (e) | 1,420 | ||||||
750 | 7.300%, 08/01/14 (e) | 796 | ||||||
250 | 7.625%, 08/13/19 (e) | 271 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
2,215 | 5.450%, 07/15/14 | 2,320 | ||||||
1,702 | 6.150%, 04/25/13 | 1,750 | ||||||
2,996 | 6.400%, 08/28/17 | 3,184 | ||||||
1,249 | 6.875%, 04/25/18 | 1,372 | ||||||
Morgan Stanley, | ||||||||
625 | 4.000%, 07/24/15 | 604 | ||||||
893 | 4.200%, 11/20/14 | 878 | ||||||
2,029 | 4.750%, 04/01/14 | 2,002 | ||||||
4,225 | 5.300%, 03/01/13 | 4,309 | ||||||
1,000 | 5.450%, 01/09/17 | 977 | ||||||
1,021 | 5.500%, 07/24/20 | 957 | ||||||
350 | 5.500%, 07/28/21 | 328 | ||||||
1,265 | 5.625%, 09/23/19 | 1,207 | ||||||
900 | 5.750%, 08/31/12 | 908 | ||||||
360 | 5.750%, 01/25/21 | 339 | ||||||
1,200 | 6.000%, 05/13/14 | 1,221 | ||||||
400 | 6.625%, 04/01/18 | 406 | ||||||
370 | 6.750%, 10/15/13 | 392 | ||||||
970 | 7.300%, 05/13/19 | 1,006 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
1,050 | 4.125%, 01/19/16 | 1,066 | ||||||
150 | 5.000%, 03/04/15 | 157 | ||||||
1,150 | 6.700%, 03/04/20 | 1,272 | ||||||
226 | Northern Trust Corp., 5.500%, 08/15/13 UBS AG, (Switzerland), | 239 | ||||||
414 | 2.250%, 08/12/13 | 416 | ||||||
2,300 | 3.875%, 01/15/15 | 2,375 | ||||||
365 | 4.875%, 08/04/20 | 384 | ||||||
500 | 5.750%, 04/25/18 | 548 | ||||||
425 | 5.875%, 12/20/17 | 467 | ||||||
|
|
|||||||
69,914 | ||||||||
|
|
|||||||
Commercial Banks 3.1% | ||||||||
550 | ANZ National International Ltd., (New Zealand), 3.125%, 08/10/15 (e) | 566 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
1,268 | 2.400%, 11/23/16 (e) | 1,305 | ||||||
900 | 3.250%, 03/01/16 (e) | 938 | ||||||
228 | 4.875%, 01/12/21 (e) | 255 | ||||||
741 | Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) | 751 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
1,034 | 1.650%, 10/29/15 (e) | 1,058 | ||||||
2,000 | 2.550%, 01/12/17 | 2,080 | ||||||
737 | 3.400%, 01/22/15 | 776 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), | ||||||||
1,275 | 2.350%, 02/23/17 (e) | 1,302 | ||||||
679 | 3.850%, 01/22/15 (e) | 720 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
276 | 2.250%, 05/10/17 (e) | 276 | ||||||
2,650 | 2.500%, 01/23/13 | 2,670 | ||||||
800 | 2.500%, 09/21/15 (e) | 794 | ||||||
800 | 2.750%, 02/23/15 | 800 | ||||||
935 | 3.900%, 04/07/15 | 964 | ||||||
175 | 5.000%, 09/22/16 | 189 | ||||||
700 | 5.200%, 07/10/14 | 737 | ||||||
1,000 | 6.050%, 12/04/17 (e) | 1,003 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Commercial Banks Continued | ||||||||
BB&T Corp., | ||||||||
655 | 3.375%, 09/25/13 | 676 | ||||||
795 | 3.850%, 07/27/12 | 799 | ||||||
750 | 3.950%, 04/29/16 | 815 | ||||||
740 | 4.900%, 06/30/17 | 808 | ||||||
1,885 | 5.700%, 04/30/14 | 2,052 | ||||||
245 | 6.850%, 04/30/19 | 309 | ||||||
695 | Branch Banking & Trust Co., 5.625%, 09/15/16 | 789 | ||||||
5,000 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 5,259 | ||||||
260 | Comerica, Inc., 3.000%, 09/16/15 | 268 | ||||||
1,080 | Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e) | 1,103 | ||||||
Credit Suisse, (Switzerland), | ||||||||
801 | 4.375%, 08/05/20 | 849 | ||||||
500 | 5.000%, 05/15/13 | 517 | ||||||
160 | 5.300%, 08/13/19 | 179 | ||||||
675 | 5.400%, 01/14/20 | 685 | ||||||
942 | 5.500%, 05/01/14 | 1,001 | ||||||
850 | 6.000%, 02/15/18 | 904 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
650 | 3.250%, 01/11/16 | 664 | ||||||
970 | 3.875%, 08/18/14 | 1,010 | ||||||
325 | 6.000%, 09/01/17 | 369 | ||||||
2,011 | DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 2,045 | ||||||
720 | Fifth Third Bancorp, 5.450%, 01/15/17 | 785 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
1,745 | 1.625%, 07/07/14 (e) | 1,746 | ||||||
1,438 | 3.100%, 05/24/16 (e) | 1,483 | ||||||
666 | 4.125%, 08/12/20 (e) | 694 | ||||||
575 | 4.750%, 01/19/21 (e) | 626 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
500 | 4.000%, 03/30/22 | 509 | ||||||
500 | 4.875%, 01/14/22 | 548 | ||||||
556 | 5.100%, 04/05/21 | 615 | ||||||
600 | 6.100%, 01/14/42 | 726 | ||||||
1,500 | HSBC USA, Inc., 2.375%, 02/13/15 | 1,505 | ||||||
1,445 | ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e) | 1,421 | ||||||
2,400 | KeyBank N.A., 5.500%, 09/17/12 | 2,430 | ||||||
480 | KeyCorp, 6.500%, 05/14/13 | 504 | ||||||
1,725 | Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) | 1,758 | ||||||
2,100 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 2,467 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
3,000 | 2.500%, 01/08/13 (e) | 3,030 | ||||||
750 | 2.750%, 09/28/15 (e) | 769 | ||||||
1,000 | 3.000%, 07/27/16 (e) | 1,030 | ||||||
795 | 3.750%, 03/02/15 (e) | 833 | ||||||
1,353 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 1,377 | ||||||
250 | National City Bank, 5.800%, 06/07/17 | 286 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
600 | 1.750%, 10/04/13 (e) | 600 | ||||||
1,800 | 3.125%, 03/20/17 (e) | 1,812 | ||||||
945 | 4.875%, 05/13/21 (e) | 921 | ||||||
837 | Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e) | 838 | ||||||
400 | PNC Bank N.A., 6.875%, 04/01/18 | 480 | ||||||
PNC Funding Corp., | ||||||||
659 | 3.300%, 03/08/22 | 674 | ||||||
567 | 4.375%, 08/11/20 | 629 | ||||||
940 | 5.250%, 11/15/15 | 1,046 | ||||||
950 | 5.625%, 02/01/17 | 1,063 | ||||||
565 | 6.700%, 06/10/19 | 704 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
140 | 2.125%, 10/13/15 | 141 | ||||||
2,400 | 3.200%, 03/11/15 (e) | 2,477 | ||||||
455 | 3.375%, 01/19/17 | 466 | ||||||
789 | 3.875%, 02/08/22 | 787 | ||||||
500 | 5.800%, 09/30/10 (e) | 515 | ||||||
SunTrust Banks, Inc., | ||||||||
2,010 | 5.250%, 11/05/12 | 2,046 | ||||||
820 | 6.000%, 09/11/17 | 913 | ||||||
1,411 | Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16 | 1,458 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
2,350 | 1.500%, 03/13/17 (e) | 2,371 | ||||||
1,140 | 2.200%, 07/29/15 (e) | 1,186 | ||||||
U.S. Bancorp, | ||||||||
538 | 1.650%, 05/15/17 | 537 | ||||||
645 | 2.450%, 07/27/15 | 669 | ||||||
517 | 3.000%, 03/15/22 | 531 | ||||||
566 | 4.125%, 05/24/21 | 635 | ||||||
1,107 | 7.500%, 06/01/26 | 1,411 | ||||||
Wachovia Bank N.A., | ||||||||
1,000 | 5.600%, 03/15/16 | 1,105 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Commercial Banks Continued | ||||||||
250 | 6.000%, 11/15/17 | 288 | ||||||
1,125 | 6.600%, 01/15/38 | 1,409 | ||||||
Wachovia Corp., | ||||||||
685 | 4.875%, 02/15/14 | 719 | ||||||
2,000 | 5.500%, 05/01/13 | 2,085 | ||||||
4,780 | 5.750%, 02/01/18 | 5,537 | ||||||
Wells Fargo & Co., | ||||||||
1,826 | 2.625%, 12/15/16 | 1,862 | ||||||
850 | 3.500%, 03/08/22 | 862 | ||||||
500 | 4.600%, 04/01/21 | 550 | ||||||
2,135 | 5.625%, 12/11/17 | 2,477 | ||||||
1,000 | SUB, 3.676%, 06/15/16 | 1,060 | ||||||
Wells Fargo Bank N.A., | ||||||||
1,515 | 4.750%, 02/09/15 | 1,613 | ||||||
250 | 5.750%, 05/16/16 | 284 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
900 | 4.200%, 02/27/15 | 962 | ||||||
2,105 | 4.875%, 11/19/19 | 2,304 | ||||||
|
|
|||||||
111,454 | ||||||||
|
|
|||||||
Consumer Finance 0.9% | ||||||||
700 | American Express Co., 7.000%, 03/19/18 | 862 | ||||||
American Express Credit Corp., | ||||||||
361 | 2.375%, 03/24/17 | 366 | ||||||
1,000 | 2.800%, 09/19/16 | 1,030 | ||||||
2,140 | 5.875%, 05/02/13 | 2,234 | ||||||
400 | 7.300%, 08/20/13 | 429 | ||||||
American Honda Finance Corp., | ||||||||
667 | 1.450%, 02/27/15 (e) | 671 | ||||||
565 | 2.125%, 02/28/17 (e) | 574 | ||||||
405 | 2.375%, 03/18/13 (e) | 410 | ||||||
1,599 | 2.600%, 09/20/16 (e) | 1,658 | ||||||
150 | 7.625%, 10/01/18 (e) | 192 | ||||||
1,375 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 1,746 | ||||||
Capital One Financial Corp., | ||||||||
1,165 | 6.750%, 09/15/17 | 1,392 | ||||||
2,140 | 7.375%, 05/23/14 | 2,355 | ||||||
HSBC Finance Corp., | ||||||||
1,000 | 4.750%, 07/15/13 | 1,030 | ||||||
3,413 | 5.000%, 06/30/15 | 3,642 | ||||||
2,200 | 5.250%, 01/15/14 | 2,315 | ||||||
188 | 6.375%, 11/27/12 | 193 | ||||||
207 | 7.350%, 11/27/32 | 224 | ||||||
John Deere Capital Corp., | ||||||||
400 | 2.250%, 04/17/19 | 409 | ||||||
233 | 3.150%, 10/15/21 | 246 | ||||||
265 | 4.500%, 04/03/13 | 274 | ||||||
1,000 | 5.250%, 10/01/12 | 1,015 | ||||||
637 | PACCAR Financial Corp., 1.600%, 03/15/17 | 639 | ||||||
1,023 | SLM Corp., 5.375%, 01/15/13 | 1,040 | ||||||
1,083 | Springleaf Finance Corp., 5.375%, 10/01/12 | 1,067 | ||||||
Toyota Motor Credit Corp., | ||||||||
1,120 | 1.000%, 02/17/15 | 1,121 | ||||||
2,400 | 2.000%, 09/15/16 | 2,444 | ||||||
962 | 3.200%, 06/17/15 | 1,022 | ||||||
|
|
|||||||
30,600 | ||||||||
|
|
|||||||
Diversified Financial Services 2.4% | ||||||||
1,900 | Associates Corp. of North America, 6.950%, 11/01/18 | 2,125 | ||||||
2,200 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 2,204 | ||||||
Bank of America Corp., | ||||||||
520 | 3.625%, 03/17/16 | 515 | ||||||
300 | 4.900%, 05/01/13 | 307 | ||||||
470 | 5.000%, 05/13/21 | 472 | ||||||
2,720 | 5.625%, 10/14/16 | 2,858 | ||||||
740 | 5.625%, 07/01/20 | 766 | ||||||
600 | 5.650%, 05/01/18 | 625 | ||||||
1,405 | 5.700%, 01/24/22 | 1,493 | ||||||
420 | 5.750%, 12/01/17 | 437 | ||||||
400 | 5.875%, 01/05/21 | 418 | ||||||
600 | 7.625%, 06/01/19 | 686 | ||||||
1,510 | 7.800%, 09/15/16 | 1,642 | ||||||
1,455 | Bank of America N.A., 5.300%, 03/15/17 | 1,481 | ||||||
235 | BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e) | 266 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
929 | 1.846%, 05/05/17 | 930 | ||||||
900 | 4.742%, 03/11/21 | 1,024 | ||||||
2,122 | 5.250%, 11/07/13 | 2,250 | ||||||
725 | Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e) | 763 | ||||||
Caterpillar Financial Services Corp., | ||||||||
387 | 2.850%, 06/01/22 | 392 | ||||||
665 | 4.900%, 08/15/13 | 698 | ||||||
560 | 5.500%, 03/15/16 | 647 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Diversified Financial Services Continued | ||||||||
1,300 | 6.200%, 09/30/13 | 1,394 | ||||||
305 | 7.050%, 10/01/18 | 395 | ||||||
510 | 7.150%, 02/15/19 | 670 | ||||||
Citigroup, Inc., | ||||||||
450 | 2.650%, 03/02/15 | 446 | ||||||
500 | 4.450%, 01/10/17 | 516 | ||||||
832 | 4.587%, 12/15/15 | 866 | ||||||
856 | 4.700%, 05/29/15 | 889 | ||||||
527 | 4.750%, 05/19/15 | 549 | ||||||
3,127 | 5.000%, 09/15/14 | 3,197 | ||||||
2,025 | 5.125%, 05/05/14 | 2,122 | ||||||
1,225 | 5.375%, 08/09/20 | 1,317 | ||||||
321 | 5.875%, 01/30/42 | 342 | ||||||
150 | 6.000%, 12/13/13 | 157 | ||||||
2,150 | 6.000%, 08/15/17 | 2,331 | ||||||
755 | 6.010%, 01/15/15 | 809 | ||||||
350 | 6.125%, 11/21/17 | 379 | ||||||
510 | 6.375%, 08/12/14 | 547 | ||||||
600 | 6.500%, 08/19/13 | 630 | ||||||
400 | 8.125%, 07/15/39 | 530 | ||||||
1,400 | 8.500%, 05/22/19 | 1,715 | ||||||
CME Group, Inc., | ||||||||
1,786 | 5.400%, 08/01/13 | 1,881 | ||||||
1,490 | 5.750%, 02/15/14 | 1,609 | ||||||
1,045 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,233 | ||||||
ERAC USA Finance LLC, | ||||||||
154 | 2.250%, 01/10/14 (e) | 155 | ||||||
355 | 2.750%, 03/15/17 (e) | 360 | ||||||
559 | 4.500%, 08/16/21 (e) | 598 | ||||||
316 | 5.625%, 03/15/42 (e) | 323 | ||||||
350 | 6.375%, 10/15/17 (e) | 409 | ||||||
746 | 6.700%, 06/01/34 (e) | 864 | ||||||
FUEL Trust, | ||||||||
1,917 | 3.984%, 06/15/16 (e) | 1,991 | ||||||
561 | 4.207%, 04/15/16 (e) | 587 | ||||||
General Electric Capital Corp., | ||||||||
750 | 2.300%, 04/27/17 | 747 | ||||||
650 | 4.625%, 01/07/21 | 710 | ||||||
2,100 | 4.650%, 10/17/21 | 2,307 | ||||||
5,825 | 5.250%, 10/19/12 | 5,929 | ||||||
191 | 5.300%, 02/11/21 | 213 | ||||||
2,500 | 5.400%, 02/15/17 | 2,831 | ||||||
5,755 | 5.625%, 05/01/18 | 6,540 | ||||||
1,000 | 5.650%, 06/09/14 | 1,084 | ||||||
310 | 5.875%, 01/14/38 | 353 | ||||||
6,912 | 6.000%, 06/15/12 | 6,927 | ||||||
2,544 | 6.750%, 03/15/32 | 3,129 | ||||||
1,742 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 1,825 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
225 | 2.625%, 09/16/12 | 226 | ||||||
635 | 4.750%, 03/01/14 | 677 | ||||||
200 | 10.375%, 11/01/18 | 292 | ||||||
640 | Textron Financial Corp., 5.400%, 04/28/13 | 659 | ||||||
331 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 333 | ||||||
|
|
|||||||
87,592 | ||||||||
|
|
|||||||
Insurance 1.4% | ||||||||
ACE INA Holdings, Inc., | ||||||||
455 | 2.600%, 11/23/15 | 472 | ||||||
350 | 5.600%, 05/15/15 | 392 | ||||||
Aflac, Inc., | ||||||||
228 | 2.650%, 02/15/17 | 233 | ||||||
260 | 4.000%, 02/15/22 | 271 | ||||||
317 | 6.450%, 08/15/40 | 370 | ||||||
200 | 8.500%, 05/15/19 | 265 | ||||||
520 | AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e) | 636 | ||||||
1,012 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 1,056 | ||||||
American International Group, Inc., | ||||||||
1,499 | 4.250%, 05/15/13 | 1,528 | ||||||
2,960 | 5.450%, 05/18/17 | 3,183 | ||||||
Aon Corp., | ||||||||
402 | 3.125%, 05/27/16 | 418 | ||||||
336 | 3.500%, 09/30/15 | 351 | ||||||
306 | 6.250%, 09/30/40 | 389 | ||||||
2,185 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 2,210 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
233 | 2.450%, 12/15/15 | 243 | ||||||
233 | 3.000%, 05/15/22 | 233 | ||||||
494 | 4.400%, 05/15/42 | 497 | ||||||
1,000 | 4.600%, 05/15/13 | 1,039 | ||||||
605 | 5.000%, 08/15/13 | 635 | ||||||
1,505 | 5.400%, 05/15/18 | 1,777 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Insurance Continued | ||||||||
Berkshire Hathaway, Inc., | ||||||||
1,387 | 3.400%, 01/31/22 | 1,438 | ||||||
781 | 3.750%, 08/15/21 | 830 | ||||||
100 | Chubb Corp., 5.750%, 05/15/18 | 123 | ||||||
CNA Financial Corp., | ||||||||
750 | 5.850%, 12/15/14 | 807 | ||||||
781 | 5.875%, 08/15/20 | 855 | ||||||
820 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 849 | ||||||
Lincoln National Corp., | ||||||||
345 | 4.200%, 03/15/22 | 345 | ||||||
251 | 4.850%, 06/24/21 | 263 | ||||||
280 | Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e) | 312 | ||||||
MassMutual Global Funding II, | ||||||||
1,500 | 2.000%, 04/05/17 (e) | 1,517 | ||||||
540 | 2.300%, 09/28/15 (e) | 557 | ||||||
338 | 2.875%, 04/21/14 (e) | 349 | ||||||
500 | 3.625%, 07/16/12 (e) | 502 | ||||||
920 | MetLife Institutional Funding II, VAR, 1.368%, 04/04/14 (e) | 923 | ||||||
430 | MetLife, Inc., 6.817%, 08/15/18 | 522 | ||||||
Metropolitan Life Global Funding I, | ||||||||
1,150 | 2.000%, 01/10/14 (e) | 1,165 | ||||||
700 | 2.000%, 01/09/15 (e) | 711 | ||||||
1,250 | 2.500%, 01/11/13 (e) | 1,263 | ||||||
400 | 3.125%, 01/11/16 (e) | 422 | ||||||
1,900 | 3.650%, 06/14/18 (e) | 2,014 | ||||||
1,277 | 3.875%, 04/11/22 (e) | 1,329 | ||||||
300 | 5.125%, 04/10/13 (e) | 311 | ||||||
1,093 | 5.200%, 09/18/13 (e) | 1,149 | ||||||
250 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 259 | ||||||
1,750 | Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) | 2,300 | ||||||
New York Life Global Funding, | ||||||||
350 | 1.300%, 01/12/15 (e) | 352 | ||||||
725 | 4.650%, 05/09/13 (e) | 750 | ||||||
2,637 | 5.375%, 09/15/13 (e) | 2,787 | ||||||
Pacific Life Global Funding, | ||||||||
650 | 5.000%, 05/15/17 (e) | 688 | ||||||
410 | 5.150%, 04/15/13 (e) | 424 | ||||||
530 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 688 | ||||||
2,100 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 2,251 | ||||||
500 | Principal Life Global Funding I, 5.050%, 03/15/15 (e) | 537 | ||||||
215 | Principal Life Income Funding Trusts, 5.300%, 12/14/12 | 220 | ||||||
1,750 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 2,333 | ||||||
210 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 254 | ||||||
1,120 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 1,213 | ||||||
300 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 310 | ||||||
|
|
|||||||
50,120 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.3% | ||||||||
CommonWealth REIT, | ||||||||
600 | 5.875%, 09/15/20 | 626 | ||||||
320 | 6.250%, 08/15/16 | 339 | ||||||
1,325 | 6.650%, 01/15/18 | 1,437 | ||||||
454 | ERP Operating LP, 4.625%, 12/15/21 | 495 | ||||||
HCP, Inc., | ||||||||
159 | 3.750%, 02/01/19 | 160 | ||||||
895 | 5.375%, 02/01/21 | 999 | ||||||
Simon Property Group LP, | ||||||||
917 | 2.150%, 09/15/17 | 914 | ||||||
579 | 4.125%, 12/01/21 | 628 | ||||||
32 | 4.200%, 02/01/15 | 34 | ||||||
200 | 4.375%, 03/01/21 | 219 | ||||||
705 | 5.625%, 08/15/14 | 766 | ||||||
665 | 6.100%, 05/01/16 | 767 | ||||||
320 | 6.125%, 05/30/18 | 381 | ||||||
330 | 6.750%, 05/15/14 | 360 | ||||||
440 | WEA Finance LLC, 7.125%, 04/15/18 (e) | 524 | ||||||
1,376 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 1,637 | ||||||
|
|
|||||||
10,286 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% | ||||||||
400 | Countrywide Financial Corp., 6.250%, 05/15/16 | 412 | ||||||
1,463 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 1,475 | ||||||
|
|
|||||||
1,887 | ||||||||
|
|
|||||||
Total Financials | 361,853 | |||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Health Care 0.4% | ||||||||
Biotechnology 0.2% | ||||||||
Amgen, Inc., | ||||||||
1,000 | 3.875%, 11/15/21 | 1,047 | ||||||
237 | 4.500%, 03/15/20 | 259 | ||||||
500 | 4.950%, 10/01/41 | 502 | ||||||
2,000 | 5.150%, 11/15/41 | 2,063 | ||||||
252 | 5.650%, 06/15/42 | 279 | ||||||
570 | 5.700%, 02/01/19 | 670 | ||||||
720 | 5.750%, 03/15/40 | 804 | ||||||
|
|
|||||||
5,624 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.0% (g) | ||||||||
Baxter International, Inc., | ||||||||
380 | 4.000%, 03/01/14 | 402 | ||||||
215 | 4.625%, 03/15/15 | 238 | ||||||
100 | Becton Dickinson and Co., 5.000%, 05/15/19 | 118 | ||||||
|
|
|||||||
758 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.1% | ||||||||
265 | Aetna, Inc., 4.500%, 05/15/42 | 264 | ||||||
370 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 382 | ||||||
975 | UnitedHealth Group, Inc., 3.375%, 11/15/21 | 1,028 | ||||||
WellPoint, Inc., | ||||||||
615 | 3.125%, 05/15/22 | 613 | ||||||
500 | 4.625%, 05/15/42 | 504 | ||||||
168 | 5.875%, 06/15/17 | 199 | ||||||
113 | 7.000%, 02/15/19 | 142 | ||||||
|
|
|||||||
3,132 | ||||||||
|
|
|||||||
Pharmaceuticals 0.1% | ||||||||
250 | Abbott Laboratories, 6.150%, 11/30/37 | 332 | ||||||
645 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 704 | ||||||
GlaxoSmithKline Capital, Inc., | ||||||||
450 | 4.375%, 04/15/14 | 481 | ||||||
750 | 5.650%, 05/15/18 | 901 | ||||||
530 | 6.375%, 05/15/38 | 725 | ||||||
650 | Merck & Co., Inc., 6.000%, 09/15/17 | 799 | ||||||
|
|
|||||||
3,942 | ||||||||
|
|
|||||||
Total Health Care | 13,456 | |||||||
|
|
|||||||
Industrials 0.9% | ||||||||
Aerospace & Defense 0.2% | ||||||||
400 | BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e) | 472 | ||||||
676 | BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e) | 776 | ||||||
300 | Honeywell International, Inc., 5.300%, 03/01/18 | 358 | ||||||
Lockheed Martin Corp., | ||||||||
387 | 2.125%, 09/15/16 | 397 | ||||||
292 | 4.850%, 09/15/41 | 317 | ||||||
1,144 | 5.720%, 06/01/40 | 1,372 | ||||||
United Technologies Corp., | ||||||||
214 | 1.800%, 06/01/17 | 217 | ||||||
681 | 3.100%, 06/01/22 | 707 | ||||||
914 | 4.500%, 06/01/42 | 979 | ||||||
1,261 | 6.125%, 02/01/19 | 1,564 | ||||||
|
|
|||||||
7,159 | ||||||||
|
|
|||||||
Airlines 0.1% | ||||||||
254 | American Airlines, 2011-1 Class A Pass- Through Trust, 5.250%, 01/31/21 | 263 | ||||||
677 | American Airlines, 2011-2 Class A Pass- Through Trust, 8.625%, 10/15/21 | 711 | ||||||
267 | Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20 | 291 | ||||||
456 | Continental Airlines, 2007-1 Class A Pass- Through Trust, 5.983%, 04/19/22 | 495 | ||||||
600 | Delta Air Lines, 2010-2 Class A Pass- Through Trust, 4.950%, 05/23/19 | 633 | ||||||
226 | Delta Air Lines, 2011-1 Class A Pass- Through Trust, 5.300%, 04/15/19 | 240 | ||||||
|
|
|||||||
2,633 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.1% | ||||||||
725 | Allied Waste North America, Inc., 6.875%, 06/01/17 | 750 | ||||||
Pitney Bowes, Inc., | ||||||||
565 | 4.875%, 08/15/14 | 590 | ||||||
1,020 | 5.000%, 03/15/15 | 1,066 | ||||||
200 | 5.600%, 03/15/18 | 203 | ||||||
614 | Republic Services, Inc., 3.550%, 06/01/22 | 622 | ||||||
Waste Management, Inc., | ||||||||
214 | 4.750%, 06/30/20 | 241 | ||||||
455 | 7.375%, 03/11/19 | 578 | ||||||
|
|
|||||||
4,050 | ||||||||
|
|
|||||||
Construction & Engineering 0.0% (g) | ||||||||
ABB Finance USA, Inc., | ||||||||
226 | 1.625%, 05/08/17 | 226 | ||||||
292 | 2.875%, 05/08/22 | 291 | ||||||
145 | 4.375%, 05/08/42 | 150 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Construction & Engineering Continued | ||||||||
789 | Fluor Corp., 3.375%, 09/15/21 | 823 | ||||||
|
|
|||||||
1,490 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% | ||||||||
588 | Danaher Corp., 3.900%, 06/23/21 | 662 | ||||||
Koninklijke Philips Electronics N.V., (Netherlands), | ||||||||
970 | 3.750%, 03/15/22 | 1,011 | ||||||
260 | 5.750%, 03/11/18 | 307 | ||||||
130 | 7.200%, 06/01/26 | 176 | ||||||
300 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 351 | ||||||
500 | Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 | 661 | ||||||
375 | Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19 | 474 | ||||||
|
|
|||||||
3,642 | ||||||||
|
|
|||||||
Machinery 0.0% (g) | ||||||||
Eaton Corp., | ||||||||
500 | 5.600%, 05/15/18 | 593 | ||||||
300 | 7.625%, 04/01/24 | 416 | ||||||
290 | Ingersoll-Rand Co., 6.391%, 11/15/27 | 353 | ||||||
135 | Parker Hannifin Corp., 5.500%, 05/15/18 | 162 | ||||||
|
|
|||||||
1,524 | ||||||||
|
|
|||||||
Road & Rail 0.4% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
522 | 3.050%, 03/15/22 | 529 | ||||||
300 | 3.450%, 09/15/21 | 315 | ||||||
125 | 3.600%, 09/01/20 | 133 | ||||||
1,000 | 5.400%, 06/01/41 | 1,151 | ||||||
500 | 5.650%, 05/01/17 | 587 | ||||||
250 | 5.750%, 03/15/18 | 300 | ||||||
425 | 5.750%, 05/01/40 | 509 | ||||||
250 | 6.700%, 08/01/28 | 313 | ||||||
450 | 7.000%, 02/01/14 | 494 | ||||||
CSX Corp., | ||||||||
300 | 4.250%, 06/01/21 | 330 | ||||||
575 | 5.500%, 04/15/41 | 651 | ||||||
145 | 6.250%, 04/01/15 | 166 | ||||||
205 | 7.375%, 02/01/19 | 262 | ||||||
500 | 7.900%, 05/01/17 | 625 | ||||||
Norfolk Southern Corp., | ||||||||
746 | 3.250%, 12/01/21 | 780 | ||||||
100 | 6.000%, 03/15/05 | 124 | ||||||
1,768 | 6.000%, 05/23/11 | 2,154 | ||||||
355 | 7.700%, 05/15/17 | 451 | ||||||
Ryder System, Inc., | ||||||||
484 | 2.500%, 03/01/17 | 488 | ||||||
420 | 3.600%, 03/01/16 | 444 | ||||||
Union Pacific Corp., | ||||||||
693 | 4.163%, 07/15/22 | 778 | ||||||
235 | 4.875%, 01/15/15 | 257 | ||||||
907 | 5.650%, 05/01/17 | 1,060 | ||||||
United Parcel Service of America, Inc., | ||||||||
340 | 8.375%, 04/01/20 | 479 | ||||||
60 | SUB, 8.375%, 04/01/30 | 89 | ||||||
|
|
|||||||
13,469 | ||||||||
|
|
|||||||
Total Industrials | 33,967 | |||||||
|
|
|||||||
Information Technology 0.9% | ||||||||
Communications Equipment 0.1% | ||||||||
Cisco Systems, Inc., | ||||||||
878 | 5.500%, 02/22/16 | 1,019 | ||||||
350 | 5.500%, 01/15/40 | 431 | ||||||
755 | 5.900%, 02/15/39 | 956 | ||||||
|
|
|||||||
2,406 | ||||||||
|
|
|||||||
Computers & Peripherals 0.3% | ||||||||
Dell, Inc., | ||||||||
1,280 | 3.100%, 04/01/16 | 1,359 | ||||||
250 | 4.625%, 04/01/21 | 278 | ||||||
300 | 7.100%, 04/15/28 | 381 | ||||||
Hewlett-Packard Co., | ||||||||
583 | 2.600%, 09/15/17 | 575 | ||||||
275 | 2.950%, 08/15/12 | 276 | ||||||
387 | 4.050%, 09/15/22 | 383 | ||||||
600 | 4.300%, 06/01/21 | 610 | ||||||
781 | 4.375%, 09/15/21 | 792 | ||||||
600 | 4.750%, 06/02/14 | 635 | ||||||
1,345 | 5.400%, 03/01/17 | 1,490 | ||||||
2,500 | 6.000%, 09/15/41 | 2,720 | ||||||
1,230 | 6.125%, 03/01/14 | 1,322 | ||||||
|
|
|||||||
10,821 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% | ||||||||
Arrow Electronics, Inc., | ||||||||
575 | 3.375%, 11/01/15 | 600 | ||||||
165 | 6.000%, 04/01/20 | 184 | ||||||
875 | 6.875%, 07/01/13 | 927 | ||||||
725 | 7.500%, 01/15/27 | 841 | ||||||
|
|
|||||||
2,552 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
IT Services 0.2% | ||||||||
1,020 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 1,075 | ||||||
International Business Machines Corp., | ||||||||
409 | 1.250%, 02/06/17 | 408 | ||||||
2,600 | 5.700%, 09/14/17 | 3,127 | ||||||
690 | 6.220%, 08/01/27 | 910 | ||||||
1,075 | 7.625%, 10/15/18 | 1,432 | ||||||
|
|
|||||||
6,952 | ||||||||
|
|
|||||||
Office Electronics 0.0% (g) | ||||||||
Xerox Corp., | ||||||||
196 | 2.950%, 03/15/17 | 198 | ||||||
270 | 4.500%, 05/15/21 | 278 | ||||||
600 | 5.625%, 12/15/19 | 682 | ||||||
550 | 6.750%, 02/01/17 | 644 | ||||||
100 | 8.250%, 05/15/14 | 112 | ||||||
|
|
|||||||
1,914 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.1% | ||||||||
697 | Intel Corp., 3.300%, 10/01/21 | 741 | ||||||
1,350 | National Semiconductor Corp., 6.600%, 06/15/17 | 1,678 | ||||||
750 | Texas Instruments, Inc., 1.375%, 05/15/14 | 760 | ||||||
|
|
|||||||
3,179 | ||||||||
|
|
|||||||
Software 0.1% | ||||||||
260 | Intuit, Inc., 5.750%, 03/15/17 | 300 | ||||||
Microsoft Corp., | ||||||||
720 | 1.625%, 09/25/15 | 744 | ||||||
117 | 4.500%, 10/01/40 | 134 | ||||||
Oracle Corp., | ||||||||
500 | 5.000%, 07/08/19 | 598 | ||||||
1,412 | 5.250%, 01/15/16 | 1,629 | ||||||
698 | 5.750%, 04/15/18 | 846 | ||||||
465 | 6.500%, 04/15/38 | 633 | ||||||
|
|
|||||||
4,884 | ||||||||
|
|
|||||||
Total Information Technology | 32,708 | |||||||
|
|
|||||||
Materials 0.6% | ||||||||
Chemicals 0.4% | ||||||||
249 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 255 | ||||||
Dow Chemical Co. (The), | ||||||||
385 | 4.125%, 11/15/21 | 404 | ||||||
203 | 4.250%, 11/15/20 | 216 | ||||||
200 | 5.250%, 11/15/41 | 215 | ||||||
1,250 | 6.000%, 10/01/12 | 1,270 | ||||||
370 | 7.375%, 11/01/29 | 490 | ||||||
250 | 7.600%, 05/15/14 | 279 | ||||||
158 | 8.550%, 05/15/19 | 209 | ||||||
E.I. du Pont de Nemours & Co., | ||||||||
635 | 1.950%, 01/15/16 | 658 | ||||||
350 | 4.900%, 01/15/41 | 406 | ||||||
1,610 | 6.000%, 07/15/18 | 1,994 | ||||||
150 | Ecolab, Inc., 5.500%, 12/08/41 | 175 | ||||||
1,430 | Monsanto Co., 7.375%, 08/15/12 | 1,448 | ||||||
Mosaic Co. (The), | ||||||||
280 | 3.750%, 11/15/21 | 293 | ||||||
79 | 4.875%, 11/15/41 | 84 | ||||||
875 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 | 900 | ||||||
PPG Industries, Inc., | ||||||||
114 | 5.500%, 11/15/40 | 138 | ||||||
415 | 5.750%, 03/15/13 | 431 | ||||||
700 | 6.650%, 03/15/18 | 868 | ||||||
350 | 9.000%, 05/01/21 | 480 | ||||||
Praxair, Inc., | ||||||||
662 | 4.625%, 03/30/15 | 732 | ||||||
885 | 5.250%, 11/15/14 | 980 | ||||||
Union Carbide Corp., | ||||||||
1,000 | 7.500%, 06/01/25 | 1,207 | ||||||
850 | 7.750%, 10/01/96 | 982 | ||||||
|
|
|||||||
15,114 | ||||||||
|
|
|||||||
Metals & Mining 0.2% | ||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
667 | 1.625%, 02/24/17 | 671 | ||||||
410 | 5.400%, 03/29/17 | 479 | ||||||
400 | 5.500%, 04/01/14 | 434 | ||||||
550 | 6.500%, 04/01/19 | 702 | ||||||
1,320 | Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17 | 1,301 | ||||||
295 | Placer Dome, Inc., (Canada), 6.450%, 10/15/35 | 344 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
115 | 3.500%, 11/02/20 | 121 | ||||||
550 | 3.750%, 09/20/21 | 588 | ||||||
650 | 9.000%, 05/01/19 | 893 | ||||||
|
|
|||||||
5,533 | ||||||||
|
|
|||||||
Total Materials | 20,647 | |||||||
|
|
|||||||
Telecommunication Services 1.2% | ||||||||
Diversified Telecommunication Services 1.1% | ||||||||
6 | AT&T Corp., 8.000%, 11/15/31 | 9 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Diversified Telecommunication Services Continued | ||||||||
AT&T, Inc., | ||||||||
850 | 4.450%, 05/15/21 | 970 | ||||||
3,417 | 4.950%, 01/15/13 | 3,511 | ||||||
386 | 5.100%, 09/15/14 | 422 | ||||||
170 | 5.350%, 09/01/40 | 192 | ||||||
250 | 5.500%, 02/01/18 | 295 | ||||||
2,700 | 6.300%, 01/15/38 | 3,341 | ||||||
350 | Bellsouth Capital Funding Corp., 7.120%, 07/15/97 | 433 | ||||||
BellSouth Corp., | ||||||||
1,373 | 5.200%, 09/15/14 | 1,495 | ||||||
450 | 6.875%, 10/15/31 | 556 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
884 | 6.300%, 12/15/15 | 935 | ||||||
300 | 7.000%, 10/01/25 | 379 | ||||||
2,500 | British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13 | 2,564 | ||||||
600 | Centel Capital Corp., 9.000%, 10/15/19 | 699 | ||||||
CenturyLink, Inc., | ||||||||
1,380 | 6.450%, 06/15/21 | 1,429 | ||||||
920 | 7.600%, 09/15/39 | 876 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
336 | 2.250%, 03/06/17 (e) | 333 | ||||||
1,150 | 4.875%, 07/08/14 | 1,225 | ||||||
232 | 4.875%, 03/06/42 (e) | 222 | ||||||
400 | 6.000%, 07/08/19 | 477 | ||||||
255 | 8.750%, 06/15/30 | 352 | ||||||
France Telecom S.A., (France), | ||||||||
560 | 2.750%, 09/14/16 | 568 | ||||||
1,250 | 8.500%, 03/01/31 | 1,718 | ||||||
2,100 | GTE Corp., 6.840%, 04/15/18 | 2,581 | ||||||
741 | Qwest Corp., 6.750%, 12/01/21 | 827 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
1,000 | 4.950%, 09/30/14 | 975 | ||||||
1,616 | 5.250%, 11/15/13 | 1,608 | ||||||
750 | 6.999%, 06/04/18 | 747 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
316 | 5.462%, 02/16/21 | 282 | ||||||
880 | 5.855%, 02/04/13 | 884 | ||||||
515 | 5.877%, 07/15/19 | 481 | ||||||
300 | 6.421%, 06/20/16 | 295 | ||||||
Verizon Communications, Inc., | ||||||||
650 | 5.500%, 04/01/17 | 764 | ||||||
443 | 5.550%, 02/15/16 | 511 | ||||||
100 | 5.850%, 09/15/35 | 122 | ||||||
175 | 6.400%, 02/15/38 | 225 | ||||||
1,250 | 7.350%, 04/01/39 | 1,782 | ||||||
1,475 | Verizon Global Funding Corp., 7.750%, 12/01/30 | 2,080 | ||||||
1,444 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 1,917 | ||||||
962 | Verizon Virginia, Inc., 4.625%, 03/15/13 | 991 | ||||||
|
|
|||||||
40,073 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% | ||||||||
640 | America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16 | 646 | ||||||
500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 537 | ||||||
475 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 484 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
1,200 | 1.625%, 03/20/17 | 1,194 | ||||||
1,130 | 5.000%, 09/15/15 | 1,266 | ||||||
|
|
|||||||
4,127 | ||||||||
|
|
|||||||
Total Telecommunication Services | 44,200 | |||||||
|
|
|||||||
Utilities 2.0% | ||||||||
Electric Utilities 1.4% | ||||||||
222 | Alabama Power Co., 6.125%, 05/15/38 | 295 | ||||||
Arizona Public Service Co., | ||||||||
296 | 4.500%, 04/01/42 | 318 | ||||||
467 | 5.050%, 09/01/41 | 556 | ||||||
Carolina Power & Light Co., | ||||||||
509 | 2.800%, 05/15/22 | 519 | ||||||
273 | 4.100%, 05/15/42 | 284 | ||||||
888 | 5.125%, 09/15/13 | 938 | ||||||
305 | 5.300%, 01/15/19 | 368 | ||||||
1,421 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 1,526 | ||||||
1,005 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 1,255 | ||||||
831 | Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e) | 870 | ||||||
185 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 221 | ||||||
596 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 770 | ||||||
210 | Consumers Energy Co., 2.850%, 05/15/22 | 214 | ||||||
Duke Energy Carolinas LLC, | ||||||||
129 | 4.250%, 12/15/41 | 138 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Electric Utilities Continued | ||||||||
650 | 5.100%, 04/15/18 | 770 | ||||||
745 | 5.625%, 11/30/12 | 763 | ||||||
1,310 | Duke Energy Indiana, Inc., 6.350%, 08/15/38 | 1,816 | ||||||
950 | Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) | 898 | ||||||
Exelon Generation Co. LLC, | ||||||||
1,020 | 4.000%, 10/01/20 | 1,058 | ||||||
229 | 5.750%, 10/01/41 | 266 | ||||||
Florida Power & Light Co., | ||||||||
410 | 5.950%, 10/01/33 | 537 | ||||||
335 | 5.950%, 02/01/38 | 448 | ||||||
Florida Power Corp., | ||||||||
280 | 5.650%, 06/15/18 | 339 | ||||||
220 | 6.400%, 06/15/38 | 302 | ||||||
Georgia Power Co., | ||||||||
200 | 5.950%, 02/01/39 | 261 | ||||||
225 | 6.000%, 11/01/13 | 242 | ||||||
229 | Great Plains Energy, Inc., 4.850%, 06/01/21 | 248 | ||||||
100 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 126 | ||||||
100 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 129 | ||||||
755 | John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42 | 852 | ||||||
1,400 | Kansas City Power & Light Co., 5.300%, 10/01/41 | 1,565 | ||||||
62 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 62 | ||||||
105 | MidAmerican Energy Co., 5.300%, 03/15/18 | 124 | ||||||
Nevada Power Co., | ||||||||
55 | 5.375%, 09/15/40 | 65 | ||||||
300 | 5.450%, 05/15/41 | 367 | ||||||
720 | 6.500%, 08/01/18 | 892 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
255 | 5.350%, 06/15/13 | 266 | ||||||
670 | 6.000%, 03/01/19 | 789 | ||||||
265 | 7.875%, 12/15/15 | 320 | ||||||
300 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 341 | ||||||
Nisource Finance Corp., | ||||||||
360 | 4.450%, 12/01/21 | 380 | ||||||
1,256 | 5.800%, 02/01/42 | 1,427 | ||||||
500 | Northern States Power Co., 6.250%, 06/01/36 | 690 | ||||||
Ohio Power Co., | ||||||||
320 | 5.750%, 09/01/13 | 339 | ||||||
310 | 6.050%, 05/01/18 | 371 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
200 | 5.950%, 09/01/13 | 212 | ||||||
840 | 6.800%, 09/01/18 | 1,001 | ||||||
100 | 7.000%, 09/01/22 | 123 | ||||||
Pacific Gas & Electric Co., | ||||||||
71 | 3.250%, 09/15/21 | 75 | ||||||
217 | 4.450%, 04/15/42 | 231 | ||||||
390 | 4.500%, 12/15/41 | 419 | ||||||
780 | 5.625%, 11/30/17 | 940 | ||||||
160 | 8.250%, 10/15/18 | 217 | ||||||
PacifiCorp, | ||||||||
175 | 5.500%, 01/15/19 | 210 | ||||||
150 | 5.650%, 07/15/18 | 181 | ||||||
100 | Peco Energy Co., 5.350%, 03/01/18 | 119 | ||||||
1,050 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,463 | ||||||
Progress Energy, Inc., | ||||||||
673 | 3.150%, 04/01/22 | 680 | ||||||
300 | 6.050%, 03/15/14 | 326 | ||||||
772 | PSEG Power LLC, 5.125%, 04/15/20 | 870 | ||||||
Public Service Co. of Colorado, | ||||||||
90 | 3.200%, 11/15/20 | 97 | ||||||
125 | 5.800%, 08/01/18 | 149 | ||||||
2,450 | Public Service Co. of Oklahoma, 6.625%, 11/15/37 | 3,204 | ||||||
Public Service Electric & Gas Co., | ||||||||
205 | 5.300%, 05/01/18 | 246 | ||||||
277 | 5.375%, 11/01/39 | 353 | ||||||
2,000 | 6.330%, 11/01/13 | 2,151 | ||||||
379 | San Diego Gas & Electric Co., 3.950%, 11/15/41 | 398 | ||||||
Southern California Edison Co., | ||||||||
160 | 4.150%, 09/15/14 | 172 | ||||||
765 | 5.500%, 08/15/18 | 929 | ||||||
391 | 5.750%, 03/15/14 | 426 | ||||||
200 | 5.950%, 02/01/38 | 266 | ||||||
1,140 | 6.050%, 03/15/39 | 1,541 | ||||||
Southern Co. (The), | ||||||||
363 | 1.950%, 09/01/16 | 371 | ||||||
250 | 4.150%, 05/15/14 | 265 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Electric Utilities Continued | ||||||||
202 | Southern Power Co., 5.150%, 09/15/41 | 223 | ||||||
570 | Southwestern Public Service Co., 8.750%, 12/01/18 | 774 | ||||||
Spectra Energy Capital LLC, | ||||||||
1,605 | 5.500%, 03/01/14 | 1,696 | ||||||
500 | 6.200%, 04/15/18 | 588 | ||||||
400 | 8.000%, 10/01/19 | 520 | ||||||
Virginia Electric and Power Co., | ||||||||
1,005 | 5.100%, 11/30/12 | 1,027 | ||||||
1,320 | 5.400%, 04/30/18 | 1,588 | ||||||
615 | 5.950%, 09/15/17 | 752 | ||||||
|
|
|||||||
50,128 | ||||||||
|
|
|||||||
Gas Utilities 0.3% | ||||||||
AGL Capital Corp., | ||||||||
563 | 3.500%, 09/15/21 | 588 | ||||||
345 | 4.450%, 04/15/13 | 355 | ||||||
1,441 | 5.875%, 03/15/41 | 1,803 | ||||||
1,243 | 6.375%, 07/15/16 | 1,444 | ||||||
Atmos Energy Corp., | ||||||||
105 | 5.125%, 01/15/13 | 108 | ||||||
250 | 8.500%, 03/15/19 | 336 | ||||||
298 | Boston Gas Co., 4.487%, 02/15/42 (e) | 322 | ||||||
325 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 381 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
975 | 4.000%, 06/15/13 | 1,008 | ||||||
550 | 6.200%, 10/15/37 | 709 | ||||||
250 | 6.500%, 08/15/18 | 314 | ||||||
1,100 | 7.250%, 08/15/38 | 1,579 | ||||||
|
|
|||||||
8,947 | ||||||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.1% | ||||||||
1,500 | PPL Energy Supply LLC, 4.600%, 12/15/21 | 1,567 | ||||||
|
|
|||||||
Multi-Utilities 0.2% | ||||||||
Dominion Resources, Inc., | ||||||||
900 | 5.250%, 08/01/33 | 1,071 | ||||||
782 | 6.250%, 06/30/12 | 786 | ||||||
300 | 7.000%, 06/15/38 | 423 | ||||||
600 | 8.875%, 01/15/19 | 827 | ||||||
1,005 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 | 1,014 | ||||||
375 | PG&E Corp., 5.750%, 04/01/14 | 406 | ||||||
Sempra Energy, | ||||||||
1,145 | 6.150%, 06/15/18 | 1,383 | ||||||
150 | 6.500%, 06/01/16 | 179 | ||||||
850 | 8.900%, 11/15/13 | 943 | ||||||
395 | 9.800%, 02/15/19 | 554 | ||||||
Wisconsin Electric Power Co., | ||||||||
21 | 2.950%, 09/15/21 | 22 | ||||||
450 | 6.000%, 04/01/14 | 493 | ||||||
265 | 6.250%, 12/01/15 | 309 | ||||||
92 | Xcel Energy, Inc., 4.800%, 09/15/41 | 103 | ||||||
|
|
|||||||
8,513 | ||||||||
|
|
|||||||
Water Utilities 0.0% (g) | ||||||||
1,100 | American Water Capital Corp., 6.085%, 10/15/17 | 1,295 | ||||||
|
|
|||||||
Total Utilities | 70,450 | |||||||
|
|
|||||||
Total Corporate Bonds (Cost $651,441) |
701,991 | |||||||
|
|
|||||||
|
Foreign Government Securities 1.2% |
|||||||
Israel Government AID Bond, (Israel), | ||||||||
6,000 | Zero Coupon, 08/15/17 | 5,648 | ||||||
20,000 | Zero Coupon, 03/15/18 | 18,599 | ||||||
5,651 | Zero Coupon, 08/15/18 | 5,203 | ||||||
1,500 | Zero Coupon, 11/01/23 | 1,118 | ||||||
1,500 | Zero Coupon, 11/01/24 | 1,067 | ||||||
600 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 609 | ||||||
Province of Ontario, (Canada), | ||||||||
700 | 2.700%, 06/16/15 | 737 | ||||||
2,200 | 2.950%, 02/05/15 | 2,324 | ||||||
377 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 | 560 | ||||||
United Mexican States, (Mexico), | ||||||||
120 | 4.750%, 03/08/44 | 121 | ||||||
1,432 | 6.375%, 01/16/13 | 1,475 | ||||||
856 | 6.625%, 03/03/15 | 969 | ||||||
3,328 | 7.500%, 04/08/33 | 4,643 | ||||||
|
|
|||||||
Total Foreign Government Securities (Cost $40,408) |
43,073 | |||||||
|
|
|||||||
|
Mortgage Pass-Through Securities 10.9% |
|||||||
Federal Home Loan Mortgage Corp., | ||||||||
54 | ARM, 2.082%, 07/01/19 | 57 | ||||||
188 | ARM, 2.345%, 10/01/36 | 201 | ||||||
49 | ARM, 2.352%, 04/01/30 | 52 | ||||||
806 | ARM, 2.355%, 12/01/33 | 853 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Mortgage Pass-Through Securities Continued |
|||||||
423 | ARM, 2.470%, 12/01/36 | 453 | ||||||
586 | ARM, 2.473%, 11/01/36 | 624 | ||||||
564 | ARM, 2.498%, 10/01/36 | 603 | ||||||
450 | ARM, 2.598%, 02/01/36 | 479 | ||||||
1,282 | ARM, 2.676%, 03/01/37 | 1,382 | ||||||
602 | ARM, 2.693%, 12/01/34 | 641 | ||||||
1,365 | ARM, 2.857%, 04/01/34 | 1,456 | ||||||
280 | ARM, 2.859%, 02/01/37 | 301 | ||||||
830 | ARM, 2.882%, 10/01/36 | 887 | ||||||
1,167 | ARM, 4.908%, 02/01/36 | 1,252 | ||||||
1,441 | ARM, 5.001%, 01/01/35 | 1,544 | ||||||
1,023 | ARM, 5.068%, 07/01/36 | 1,097 | ||||||
329 | ARM, 5.587%, 05/01/36 | 353 | ||||||
1,499 | ARM, 6.024%, 11/01/36 | 1,596 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
1,320 | 4.000%, 08/01/18 - 05/01/19 | 1,397 | ||||||
244 | 4.500%, 08/01/18 | 266 | ||||||
696 | 5.000%, 12/01/18 | 750 | ||||||
5,707 | 5.500%, 06/01/17 - 01/01/24 | 6,207 | ||||||
80 | 6.000%, 04/01/18 | 87 | ||||||
862 | 6.500%, 08/01/16 - 02/01/19 | 926 | ||||||
78 | 7.000%, 01/01/17 - 04/01/17 | 81 | ||||||
1 | 7.500%, 10/01/14 - 11/01/15 | | (h) | |||||
4 | 8.500%, 11/01/15 | 4 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
200 | 6.000%, 12/01/22 | 220 | ||||||
555 | 6.500%, 11/01/22 | 624 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
4,070 | 4.000%, 10/01/33 - 09/01/35 | 4,335 | ||||||
8,279 | 4.500%, 05/01/41 | 8,854 | ||||||
8,613 | 5.000%, 09/01/34 - 08/01/40 | 9,336 | ||||||
3,681 | 5.500%, 10/01/33 - 07/01/35 | 4,056 | ||||||
645 | 6.000%, 12/01/33 - 01/01/34 | 727 | ||||||
3,883 | 6.500%, 11/01/34 - 11/01/36 | 4,410 | ||||||
874 | 7.000%, 07/01/32 - 10/01/36 | 1,029 | ||||||
1,128 | Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 | 1,343 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
629 | 5.500%, 10/01/33 - 01/01/34 | 683 | ||||||
1,722 | 6.000%, 02/01/33 | 1,906 | ||||||
168 | 7.000%, 07/01/29 | 184 | ||||||
7 | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 12.000%, 08/01/15 - 07/01/19 | 8 | ||||||
Federal National Mortgage Association, | ||||||||
20 | ARM, 1.888%, 03/01/19 | 20 | ||||||
1,115 | ARM, 2.055%, 01/01/33 | 1,161 | ||||||
223 | ARM, 2.063%, 09/01/34 | 234 | ||||||
472 | ARM, 2.126%, 01/01/36 | 494 | ||||||
341 | ARM, 2.182%, 07/01/34 | 360 | ||||||
820 | ARM, 2.190%, 07/01/36 | 863 | ||||||
2,064 | ARM, 2.235%, 01/01/35 | 2,182 | ||||||
980 | ARM, 2.277%, 11/01/33 - 11/01/34 | 1,034 | ||||||
865 | ARM, 2.284%, 08/01/34 | 915 | ||||||
1,927 | ARM, 2.285%, 09/01/35 | 2,047 | ||||||
1,079 | ARM, 2.302%, 11/01/34 | 1,141 | ||||||
1,127 | ARM, 2.315%, 10/01/34 | 1,197 | ||||||
767 | ARM, 2.320%, 10/01/34 | 814 | ||||||
832 | ARM, 2.335%, 05/01/34 | 878 | ||||||
284 | ARM, 2.339%, 09/01/35 | 302 | ||||||
163 | ARM, 2.358%, 07/01/33 | 169 | ||||||
641 | ARM, 2.364%, 04/01/35 | 681 | ||||||
2,529 | ARM, 2.369%, 04/01/35 | 2,674 | ||||||
2,081 | ARM, 2.377%, 07/01/33 - 05/01/35 | 2,194 | ||||||
418 | ARM, 2.383%, 09/01/34 | 444 | ||||||
502 | ARM, 2.385%, 08/01/34 | 534 | ||||||
958 | ARM, 2.400%, 01/01/35 | 1,012 | ||||||
1,410 | ARM, 2.405%, 06/01/35 | 1,497 | ||||||
9 | ARM, 2.505%, 01/01/19 | 10 | ||||||
409 | ARM, 2.537%, 04/01/34 | 432 | ||||||
442 | ARM, 2.539%, 10/01/34 | 468 | ||||||
707 | ARM, 2.560%, 09/01/33 | 754 | ||||||
258 | ARM, 2.565%, 01/01/34 | 274 | ||||||
263 | ARM, 2.593%, 02/01/35 | 281 | ||||||
92 | ARM, 2.637%, 04/01/34 | 98 | ||||||
233 | ARM, 2.720%, 05/01/35 | 247 | ||||||
467 | ARM, 2.753%, 06/01/36 | 500 | ||||||
770 | ARM, 2.825%, 10/01/36 | 824 | ||||||
105 | ARM, 3.059%, 09/01/27 | 110 | ||||||
208 | ARM, 3.112%, 02/01/34 | 220 | ||||||
146 | ARM, 3.199%, 01/01/36 | 155 | ||||||
99 | ARM, 3.888%, 03/01/29 | 106 | ||||||
1,206 | ARM, 4.937%, 07/01/33 | 1,296 | ||||||
628 | ARM, 5.230%, 01/01/38 | 675 | ||||||
1,282 | ARM, 5.611%, 01/01/23 | 1,400 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Mortgage Pass-Through Securities Continued |
|||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
1,324 | 3.500%, 09/01/18 - 07/01/19 | 1,396 | ||||||
13,544 | 4.000%, 07/01/18 - 12/01/18 | 14,488 | ||||||
7,676 | 4.500%, 06/01/18 - 12/01/19 | 8,308 | ||||||
1,928 | 5.000%, 12/01/16 - 08/01/24 | 2,087 | ||||||
1,788 | 5.500%, 03/01/20 - 07/01/20 | 1,946 | ||||||
9,867 | 6.000%, 06/01/16 - 01/01/24 | 10,849 | ||||||
347 | 6.500%, 03/01/17 - 08/01/20 | 382 | ||||||
424 | 7.000%, 03/01/17 - 09/01/17 | 458 | ||||||
12 | 7.500%, 03/01/17 | 13 | ||||||
6 | 8.000%, 11/01/12 - 11/01/15 | 6 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
327 | 4.500%, 04/01/24 | 357 | ||||||
1,960 | 6.500%, 05/01/22 - 04/01/25 | 2,207 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
122 | 6.000%, 09/01/33 | 138 | ||||||
1,948 | 6.500%, 03/01/29 - 08/01/39 | 2,249 | ||||||
48 | 7.000%, 02/01/33 | 57 | ||||||
70 | 8.000%, 06/01/28 | 85 | ||||||
43 | 9.000%, 05/01/18 - 12/01/25 | 47 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
1,047 | 4.500%, 11/01/33 - 02/01/35 | 1,126 | ||||||
2,757 | 5.000%, 07/01/33 - 09/01/35 | 3,053 | ||||||
4,334 | 5.500%, 09/01/31 - 02/01/38 | 4,792 | ||||||
5,291 | 6.000%, 12/01/28 - 09/01/37 | 5,929 | ||||||
2,007 | 6.500%, 11/01/29 - 08/01/31 | 2,308 | ||||||
2,078 | 7.000%, 01/01/24 - 01/01/39 | 2,422 | ||||||
982 | 7.500%, 08/01/36 - 11/01/37 | 1,213 | ||||||
801 | 8.000%, 03/01/27 - 11/01/28 | 984 | ||||||
1 | 9.000%, 04/01/26 | 1 | ||||||
16 | 9.500%, 07/01/28 | 19 | ||||||
8 | 12.500%, 01/01/16 | 9 | ||||||
Federal National Mortgage Association, Other, | ||||||||
1,493 | VAR, 0.981%, 01/01/19 | 1,500 | ||||||
997 | VAR, 1.041%, 03/01/22 | 1,009 | ||||||
2,467 | VAR, 6.070%, 11/01/18 | 2,682 | ||||||
2,000 | 2.140%, 04/01/19 | 2,049 | ||||||
5,864 | 2.490%, 10/01/17 | 6,137 | ||||||
7,000 | 2.690%, 10/01/17 | 7,383 | ||||||
3,241 | 2.750%, 03/01/22 | 3,322 | ||||||
1,4980 | 2.940%, 05/01/22 | 1,551 | ||||||
3,901 | 2.970%, 11/01/18 | 4,148 | ||||||
4,500 | 3.000%, 02/01/22 | 4,745 | ||||||
7,273 | 3.070%, 01/01/22 | 7,753 | ||||||
3,898 | 3.120%, 01/01/22 - 05/01/22 | 4,141 | ||||||
1,536 | 3.150%, 12/01/21 | 1,638 | ||||||
2,834 | 3.160%, 02/01/22 | 3,020 | ||||||
3,990 | 3.200%, 02/01/22 | 4,258 | ||||||
10,000 | 3.230%, 11/01/20 | 10,724 | ||||||
2,288 | 3.260%, 01/01/22 | 2,454 | ||||||
2,000 | 3.290%, 10/01/20 | 2,163 | ||||||
2,000 | 3.350%, 11/01/20 | 2,159 | ||||||
2,000 | 3.390%, 08/01/17 | 2,159 | ||||||
1,497 | 3.430%, 09/01/20 | 1,623 | ||||||
7,695 | 3.505%, 09/01/20 | 8,380 | ||||||
1,991 | 3.520%, 01/01/18 | 2,164 | ||||||
4,953 | 3.540%, 10/01/20 | 5,405 | ||||||
2,936 | 3.600%, 09/01/20 | 3,212 | ||||||
996 | 3.640%, 01/01/25 | 1,086 | ||||||
3,000 | 3.680%, 09/01/20 | 3,295 | ||||||
1,950 | 3.740%, 07/01/20 | 2,148 | ||||||
2,971 | 3.780%, 09/01/21 | 3,290 | ||||||
6,930 | 3.790%, 09/01/21 | 7,676 | ||||||
4,855 | 3.820%, 06/01/17 | 5,306 | ||||||
1,540 | 3.870%, 01/01/21 | 1,710 | ||||||
5,000 | 3.890%, 09/01/21 | 5,565 | ||||||
4,000 | 3.930%, 07/01/20 - 01/01/21 | 4,452 | ||||||
7,956 | 3.950%, 07/01/20 - 07/01/21 | 8,870 | ||||||
4,750 | 3.980%, 11/01/16 | 5,041 | ||||||
1,367 | 4.000%, 11/01/33 | 1,411 | ||||||
1,708 | 4.120%, 04/01/20 | 1,913 | ||||||
5,950 | 4.130%, 11/01/19 - 08/01/21 | 6,686 | ||||||
1,934 | 4.240%, 11/01/19 | 2,175 | ||||||
4,380 | 4.250%, 04/01/21 | 4,980 | ||||||
2,000 | 4.260%, 07/01/21 | 2,272 | ||||||
2,096 | 4.290%, 06/01/20 | 2,372 | ||||||
2,464 | 4.300%, 08/01/20 - 04/01/21 | 2,757 | ||||||
1,478 | 4.301%, 01/01/21 | 1,686 | ||||||
1,976 | 4.330%, 04/01/21 | 2,250 | ||||||
5,000 | 4.340%, 06/01/21 | 5,719 | ||||||
1,498 | 4.350%, 04/01/20 | 1,701 | ||||||
963 | 4.355%, 03/01/20 | 1,089 | ||||||
2,930 | 4.369%, 02/01/20 - 04/01/20 | 3,335 | ||||||
1,475 | 4.380%, 01/01/21 | 1,683 | ||||||
2,000 | 4.390%, 05/01/21 | 2,287 | ||||||
2,000 | 4.400%, 02/01/20 | 2,278 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Mortgage Pass-Through Securities Continued |
|||||||
2,959 | 4.480%, 02/01/21 | 3,392 | ||||||
7,816 | 4.530%, 12/01/19 | 8,934 | ||||||
4,369 | 4.540%, 01/01/20 | 4,992 | ||||||
3,946 | 4.640%, 01/01/21 | 4,551 | ||||||
730 | 5.500%, 03/01/17 - 09/01/33 | 788 | ||||||
3,490 | 6.000%, 09/01/37 - 06/01/39 | 3,737 | ||||||
1,074 | 6.500%, 01/01/36 - 07/01/36 | 1,207 | ||||||
110 | 7.000%, 10/01/46 | 124 | ||||||
108 | 10.890%, 04/15/19 | 119 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
534 | 4.500%, 08/20/33 | 593 | ||||||
8,930 | 6.000%, 09/20/38 | 10,033 | ||||||
84 | 7.500%, 02/20/28 - 09/20/28 | 102 | ||||||
133 | 8.000%, 12/20/25 - 09/20/28 | 163 | ||||||
43 | 8.500%, 05/20/25 | 52 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
111 | 6.500%, 06/15/17 | 119 | ||||||
123 | 8.000%, 01/15/16 | 129 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
431 | 6.500%, 03/15/28 - 04/15/33 | 504 | ||||||
305 | 7.000%, 02/15/33 - 06/15/33 | 363 | ||||||
91 | 7.500%, 11/15/22 - 11/15/31 | 103 | ||||||
21 | 8.000%, 09/15/22 - 08/15/28 | 24 | ||||||
5 | 9.000%, 12/15/16 | 5 | ||||||
1,171 | 9.500%, 10/15/24 | 1,362 | ||||||
|
|
|||||||
Total Mortgage Pass-Through Securities (Cost $366,774) |
391,098 | |||||||
|
|
|||||||
|
Municipal Bonds 0.2% |
|||||||
Illinois 0.0% (g) | ||||||||
140 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 132 | ||||||
|
|
|||||||
New York 0.1% | ||||||||
350 | New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 |
437 | ||||||
1,815 | Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40 | 2,305 | ||||||
|
|
|||||||
2,742 | ||||||||
|
|
|||||||
Ohio 0.1% | ||||||||
1,300 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 1,815 | ||||||
1,563 | Ohio State University (The), Series A, Rev., 4.800%, 06/01/11 | 1,762 | ||||||
|
|
|||||||
3,577 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $5,147) |
6,451 | |||||||
|
|
|||||||
|
Supranational 0.1% |
|||||||
3,000 | African Development Bank, 8.800%, 09/01/19 | 4,094 | ||||||
Corp. Andina de Fomento, | ||||||||
641 | 3.750%, 01/15/16 | 668 | ||||||
397 | 5.200%, 05/21/13 | 412 | ||||||
|
|
|||||||
Total Supranational (Cost $5,155) |
5,174 | |||||||
|
|
|||||||
|
U.S. Government Agency Securities 1.4% |
|||||||
1,000 | Federal Farm Credit Banks Funding Corp., 5.125%, 11/15/18 | 1,226 | ||||||
1,500 | Federal Home Loan Bank, 5.500%, 07/15/36 | 2,064 | ||||||
Federal National Mortgage Association, | ||||||||
6,000 | Zero Coupon, 06/01/17 | 5,685 | ||||||
1,000 | 5.000%, 05/11/17 | 1,194 | ||||||
Financing Corp. Fico, | ||||||||
2,000 | Zero Coupon, 04/05/19 | 1,795 | ||||||
1,000 | Zero Coupon, 09/26/19 | 883 | ||||||
Government Trust Certificate, | ||||||||
4,000 | Zero Coupon, 10/01/15 | 3,826 | ||||||
5,000 | Zero Coupon, 04/01/16 | 4,731 | ||||||
13,319 | Zero Coupon, 10/01/19 | 11,450 | ||||||
Residual Funding Corp., STRIPS, | ||||||||
9,900 | Zero Coupon, 07/15/20 | 8,656 | ||||||
4,800 | Zero Coupon, 10/15/20 | 4,154 | ||||||
Tennessee Valley Authority, | ||||||||
300 | 4.625%, 09/15/60 | 370 | ||||||
700 | 5.880%, 04/01/36 | 985 | ||||||
2,000 | Tennessee Valley Authority Generic STRIPS, Zero Coupon, 05/01/19 | 1,773 | ||||||
|
|
|||||||
Total U.S. Government Agency Securities (Cost $45,764) |
48,792 | |||||||
|
|
|||||||
|
U.S. Treasury Obligations 23.8% |
|||||||
U.S. Treasury Bonds, | ||||||||
6,175 | 4.500%, 02/15/36 | 8,425 | ||||||
300 | 4.500%, 08/15/39 | 414 | ||||||
1,100 | 4.750%, 02/15/37 | 1,558 | ||||||
1,250 | 5.375%, 02/15/31 | 1,850 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
U.S. Treasury Obligations Continued |
|||||||
750 | 6.125%, 11/15/27 | 1,151 | ||||||
300 | 6.125%, 08/15/29 | 471 | ||||||
1,046 | 6.250%, 08/15/23 | 1,533 | ||||||
900 | 6.250%, 05/15/30 | 1,443 | ||||||
400 | 6.625%, 02/15/27 | 634 | ||||||
4,000 | 7.500%, 11/15/16 | 5,211 | ||||||
1,881 | 7.875%, 02/15/21 | 2,902 | ||||||
864 | 8.125%, 05/15/21 | 1,359 | ||||||
2,125 | 8.500%, 02/15/20 | 3,286 | ||||||
1,500 | 8.750%, 05/15/20 | 2,366 | ||||||
6,675 | 8.750%, 08/15/20 | 10,617 | ||||||
21,585 | 8.875%, 08/15/17 | 30,644 | ||||||
U.S. Treasury Inflation Indexed Bonds, | ||||||||
300 | 2.500%, 01/15/29 | 451 | ||||||
799 | 3.625%, 04/15/28 (m) | 1,771 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
1,000 | 0.500%, 04/15/15 | 1,105 | ||||||
1,000 | 1.125%, 01/15/21 | 1,217 | ||||||
630 | 1.375%, 07/15/18 | 773 | ||||||
1,000 | 2.000%, 01/15/14 | 1,299 | ||||||
U.S. Treasury Notes, | ||||||||
11,445 | 1.375%, 11/30/18 | 11,766 | ||||||
2,150 | 1.500%, 08/31/18 | 2,229 | ||||||
31,000 | 1.750%, 10/31/18 (m) | 32,601 | ||||||
12,245 | 2.125%, 12/31/15 | 12,966 | ||||||
21,200 | 2.625%, 12/31/14 | 22,451 | ||||||
1,000 | 2.625%, 02/29/16 | 1,078 | ||||||
4,575 | 2.625%, 04/30/16 | 4,944 | ||||||
9,300 | 2.625%, 01/31/18 | 10,241 | ||||||
700 | 2.625%, 08/15/20 | 775 | ||||||
19,485 | 2.750%, 05/31/17 | 21,456 | ||||||
7,500 | 2.750%, 12/31/17 | 8,303 | ||||||
8,000 | 3.125%, 10/31/16 | 8,874 | ||||||
6,015 | 3.125%, 04/30/17 | 6,722 | ||||||
10,933 | 3.125%, 05/15/19 | 12,510 | ||||||
14,950 | 3.250%, 12/31/16 | 16,711 | ||||||
12,300 | 3.250%, 03/31/17 | 13,803 | ||||||
5,000 | 4.000%, 11/15/12 | 5,087 | ||||||
10,000 | 4.000%, 02/15/15 | 10,978 | ||||||
3,725 | 4.500%, 11/15/15 | 4,241 | ||||||
10,000 | 4.750%, 08/15/17 | 12,065 | ||||||
U.S. Treasury STRIPS, | ||||||||
14,400 | 02/15/14 (m) | 14,336 | ||||||
7,265 | 08/15/14 (m) | 7,217 | ||||||
23,253 | 11/15/14 (m) | 23,066 | ||||||
16,930 | 02/15/15 (m) | 16,753 | ||||||
20,680 | 02/15/15 | 20,465 | ||||||
3,626 | 05/15/15 | 3,584 | ||||||
3,253 | 08/15/15 | 3,209 | ||||||
28,397 | 11/15/15 | 27,956 | ||||||
5,445 | 11/15/15 | 5,380 | ||||||
51,751 | 02/15/16 | 50,779 | ||||||
13,325 | 05/15/16 | 13,023 | ||||||
1,000 | 05/15/16 | 978 | ||||||
5,181 | 08/15/16 | 5,048 | ||||||
15,857 | 11/15/16 | 15,392 | ||||||
20,229 | 02/15/17 | 19,575 | ||||||
21,411 | 08/15/17 | 20,582 | ||||||
19,389 | 11/15/17 | 18,563 | ||||||
2,000 | 02/15/18 | 1,907 | ||||||
3,400 | 05/15/18 | 3,230 | ||||||
16,241 | 08/15/18 | 15,351 | ||||||
6,982 | 02/15/19 | 6,521 | ||||||
9,595 | 05/15/19 | 8,900 | ||||||
22,210 | 08/15/19 | 20,465 | ||||||
1,250 | 02/15/20 | 1,133 | ||||||
66,702 | 05/15/20 (m) | 60,009 | ||||||
250 | 05/15/20 | 226 | ||||||
36,775 | 08/15/20 (m) | 32,857 | ||||||
1,000 | 11/15/20 | 886 | ||||||
9,400 | 05/15/21 | 8,188 | ||||||
3,750 | 08/15/21 | 3,241 | ||||||
4,925 | 11/15/21 | 4,221 | ||||||
1,278 | 02/15/22 | 1,086 | ||||||
5,487 | 02/15/23 | 4,494 | ||||||
1,500 | 05/15/23 | 1,218 | ||||||
200 | 05/15/24 | 157 | ||||||
600 | 08/15/24 | 466 | ||||||
1,400 | 11/15/24 | 1,076 | ||||||
1,000 | 02/15/26 | 733 | ||||||
1,500 | 05/15/26 | 1,091 | ||||||
3,400 | 08/15/26 | 2,451 | ||||||
28,150 | 11/15/26 | 20,119 | ||||||
28,150 | 02/15/27 | 19,949 | ||||||
3,550 | 05/15/27 | 2,494 | ||||||
5,000 | 08/15/27 | 3,482 | ||||||
800 | 11/15/27 | 553 | ||||||
7,050 | 02/15/28 | 4,830 | ||||||
1,600 | 05/15/28 | 1,087 | ||||||
3,000 | 08/15/28 | 2,022 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
U.S. Treasury Obligations Continued |
|||||||
2,500 | 11/15/28 | 1,671 | ||||||
925 | 02/15/29 | 613 | ||||||
1,600 | 08/15/29 | 1,044 | ||||||
1,650 | 11/15/29 | 1,067 | ||||||
21,300 | 02/15/30 | 13,661 | ||||||
2,000 | 05/15/30 | 1,272 | ||||||
8,200 | 08/15/30 | 5,173 | ||||||
7,425 | 11/15/30 | 4,645 | ||||||
600 | 02/15/31 | 372 | ||||||
1,550 | 05/15/31 | 951 | ||||||
1,500 | 08/15/31 | 912 | ||||||
3,000 | 11/15/31 | 1,808 | ||||||
350 | 02/15/32 | 209 | ||||||
1,000 | 05/15/32 | 591 | ||||||
350 | 08/15/32 | 205 | ||||||
6,140 | 11/15/32 | 3,569 | ||||||
10,150 | 05/15/33 | 5,790 | ||||||
3,050 | 08/15/33 | 1,725 | ||||||
3,500 | 11/15/33 | 1,961 | ||||||
4,000 | 02/15/34 | 2,219 | ||||||
2,800 | 05/15/34 | 1,539 | ||||||
1,650 | 08/15/34 | 898 | ||||||
2,350 | 02/15/35 | 1,256 | ||||||
100 | 08/15/35 | 53 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $753,413) |
853,834 | |||||||
|
|
|||||||
SHARES |
||||||||
|
Short-Term Investment 2.4% |
|||||||
Investment Company 2.4% | ||||||||
86,845 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $86,845) |
86,845 | ||||||
|
|
|||||||
Total Investments 99.8% (Cost $3,298,584) |
3,573,926 | |||||||
Other Assets in Excess of Liabilities 0.2% | 7,288 | |||||||
|
|
|||||||
NET ASSETS 100.0% | $ | 3,581,214 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ARM |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2012. | ||
CMO |
| Collateralized Mortgage Obligation | ||
ESOP |
| Employee Stock Ownership Program | ||
FHA |
| Federal Housing Administration | ||
GO |
| General Obligation | ||
HB |
| High Coupon Bonds (a.k.a. IOettes) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike 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 May 31, 2012. The rate may be subject to a cap and floor. | ||
IO |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | ||
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 | ||
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 May 31, 2012. | ||
VA |
| Veterans Administration | ||
VAR |
| Variable Rate Security. The interest rate shown is the rate in effect as of May 31, 2012. |
(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. |
(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 Fund owns fair valued securities with a value of approximately $28,376,000 which amounts to 0.8% of total investments. |
(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. |
(l) | The rate shown is the current yield as of May 31, 2012. |
(m) | All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and forward foreign currency exchange contracts. |
As of May 31, 2012, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 307,048 | ||
Aggregate gross unrealized depreciation |
(31,706 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | 275,342 | ||
|
|
|||
Federal income tax cost of investments |
$ | 3,298,584 | ||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
A. SECURITY VALUATIONSFixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Directors or (the Board) third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealer or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Fund 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 Fund to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board. 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 net asset value per share as of the report date. 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 Fund are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board. The Board has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds securities. The Funds Administrator (JPMFM) has established a Valuation Committee (VC) that is comprised of senior representatives from JPMFM, the Funds Investment Advisor (JPMIM), Legal and Compliance, Risk Management and the Funds Chief Compliance Office. The VCs responsibilities include making determinations regarding Level 3 fair value measurements (Fair Values) and/or providing recommendations for approval to the Boards Audit and Valuation Committee, in accordance with the Funds valuation policies.
The VC or Board, as applicable primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact fair values and discuss and assess fair values on an ongoing and at least a quarterly basis with the VC and Board, as applicable. The appropriateness of fair values are assessed based on results of unchanged price review, consideration of macro or security specific events, back testing and broker and vendor due diligence.
See the table on Quantitative Information about Fair Value measurements for information on the valuation techniques and inputs used to value Level 3 securities at May 31, 2012.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds investments are summarized into the three broad levels listed below.
| 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.
The following table represents each valuation input by sector as presented on the Schedule of Portfolio Investments (SOI) (amounts in thousands):
Level
1 Quoted prices |
Level
2 Other significant observable inputs |
Level
3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Debt Securities |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 113,906 | $ | 27,738 | $ | 141,644 | ||||||||
Collateralized Mortgage Obligations |
||||||||||||||||
Agency CMO |
| 770,515 | 29,211 | 799,726 | ||||||||||||
Non-Agency CMO |
| 386,067 | 25,226 | 411,293 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Collateralized Mortgage Obligations |
| 1,156,582 | 54,437 | 1,211,019 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Mortgage-Backed Securities |
| 65,420 | 18,585 | 84,005 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Consumer Discretionary |
| 49,773 | | 49,773 | ||||||||||||
Consumer Staples |
| 36,359 | | 36,359 | ||||||||||||
Energy |
| 38,578 | | 38,578 | ||||||||||||
Financials |
| 361,853 | | 361,853 | ||||||||||||
Health Care |
| 13,456 | | 13,456 | ||||||||||||
Industrials |
| 31,334 | 2,633 | 33,967 | ||||||||||||
Information Technology |
| 32,708 | | 32,708 | ||||||||||||
Materials |
| 20,647 | | 20,647 | ||||||||||||
Telecommunication Services |
| 44,200 | | 44,200 | ||||||||||||
Utilities |
| 70,450 | | 70,450 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 699,358 | 2,633 | 701,991 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 43,073 | | 43,073 | ||||||||||||
Mortgage Pass-Through Securities |
| 391,098 | | 391,098 | ||||||||||||
Municipal Bonds |
| 6,451 | | 6,451 | ||||||||||||
Supranational |
| 5,174 | | 5,174 | ||||||||||||
U.S. Government Agency Securities |
| 48,792 | | 48,792 | ||||||||||||
U.S. Treasury Obligations |
| 853,834 | | 853,834 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
86,845 | | | 86,845 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 86,845 | $ | 3,383,688 | $ | 103,393 | $ | 3,573,926 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Levels 1 and 2 during the period ended May 31, 2012.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
Core Bond Trust |
Balance as of 2/29/12 |
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 5/31/12 |
|||||||||||||||||||||||||||
Investments in Securities |
||||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 9,683 | $ | | $ | 62 | $ | 1 | $ | 11,424 | $ | (4,128 | ) | $ | 10,696 | $ | | $ | 27,738 | |||||||||||||||||
Collateralized Mortgage Obligations |
||||||||||||||||||||||||||||||||||||
Agency CMO |
| | (116 | ) | (4 | ) | 18,156 | (127 | ) | 11,302 | | 29,211 | ||||||||||||||||||||||||
Non-Agency CMO |
13,819 | | 155 | 5 | 4,032 | (2,883 | ) | 10,098 | | 25,226 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
| | (42 | ) | 2 | 9,522 | (1,271 | ) | 10,374 | | 18,585 | |||||||||||||||||||||||||
Corporate Bonds - Industrials |
| | (8 | ) | (1 | ) | | (70 | ) | 2,712 | | 2,633 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 23,502 | $ | | $ | 51 | $ | 3 | $ | 43,134 | $ | (8,479 | ) | $ | 45,182 | $ | | $ | 103,393 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, or out of Level 3, are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or an increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at May 31, 2012, which were valued using significant unobservable inputs (Level 3), amounted to approximately $51,000.
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks 98.0% |
|||||||
|
Consumer Discretionary 11.0% |
|||||||
Auto Components 0.3% | ||||||||
3 | BorgWarner, Inc. (a) | 187 | ||||||
6 | Goodyear Tire & Rubber Co. (The) (a) | 61 | ||||||
16 | Johnson Controls, Inc. | 489 | ||||||
|
|
|||||||
737 | ||||||||
|
|
|||||||
Automobiles 0.4% | ||||||||
91 | Ford Motor Co. | 957 | ||||||
5 | Harley-Davidson, Inc. | 263 | ||||||
|
|
|||||||
1,220 | ||||||||
|
|
|||||||
Distributors 0.1% | ||||||||
4 | Genuine Parts Co. | 234 | ||||||
|
|
|||||||
Diversified Consumer Services 0.1% | ||||||||
3 | Apollo Group, Inc., Class A (a) | 85 | ||||||
1 | DeVry, Inc. | 39 | ||||||
7 | H&R Block, Inc. | 107 | ||||||
|
|
|||||||
231 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 2.0% | ||||||||
11 | Carnival Corp. | 347 | ||||||
1 | Chipotle Mexican Grill, Inc. (a) | 308 | ||||||
3 | Darden Restaurants, Inc. | 158 | ||||||
7 | International Game Technology | 102 | ||||||
6 | Marriott International, Inc., Class A | 247 | ||||||
24 | McDonalds Corp. | 2,171 | ||||||
18 | Starbucks Corp. | 987 | ||||||
5 | Starwood Hotels & Resorts Worldwide, Inc. | 247 | ||||||
3 | Wyndham Worldwide Corp. | 173 | ||||||
2 | Wynn Resorts Ltd. | 195 | ||||||
11 | Yum! Brands, Inc. | 773 | ||||||
|
|
|||||||
5,708 | ||||||||
|
|
|||||||
Household Durables 0.2% | ||||||||
7 | D.R. Horton, Inc. | 110 | ||||||
2 | Harman International Industries, Inc. | 66 | ||||||
3 | Leggett & Platt, Inc. | 69 | ||||||
4 | Lennar Corp., Class A | 106 | ||||||
7 | Newell Rubbermaid, Inc. | 127 | ||||||
8 | PulteGroup, Inc. (a) | 75 | ||||||
2 | Whirlpool Corp. | 113 | ||||||
|
|
|||||||
666 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.0% | ||||||||
9 | Amazon.com, Inc. (a) | 1,849 | ||||||
2 | Expedia, Inc. | 104 | ||||||
1 | NetFlix, Inc. (a) | 84 | ||||||
1 | priceline.com, Inc. (a) | 743 | ||||||
2 | TripAdvisor, Inc. (a) | 97 | ||||||
|
|
|||||||
2,877 | ||||||||
|
|
|||||||
Leisure Equipment & Products 0.1% | ||||||||
3 | Hasbro, Inc. | 98 | ||||||
8 | Mattel, Inc. | 252 | ||||||
|
|
|||||||
350 | ||||||||
|
|
|||||||
Media 3.2% | ||||||||
5 | Cablevision Systems Corp., Class A | 59 | ||||||
15 | CBS Corp. (Non-Voting), Class B | 494 | ||||||
64 | Comcast Corp., Class A | 1,860 | ||||||
16 | DIRECTV, Class A (a) | 717 | ||||||
6 | Discovery Communications, Inc., Class A (a) | 309 | ||||||
6 | Gannett Co., Inc. | 74 | ||||||
11 | Interpublic Group of Cos., Inc. (The) | 111 | ||||||
7 | McGraw-Hill Cos., Inc. (The) | 288 | ||||||
51 | News Corp., Class A | 986 | ||||||
7 | Omnicom Group, Inc. | 310 | ||||||
2 | Scripps Networks Interactive, Inc., Class A | 125 | ||||||
7 | Time Warner Cable, Inc. | 565 | ||||||
23 | Time Warner, Inc. | 797 | ||||||
13 | Viacom, Inc., Class B | 615 | ||||||
43 | Walt Disney Co. (The) | 1,955 | ||||||
| (h) | Washington Post Co. (The), Class B | 40 | |||||
|
|
|||||||
9,305 | ||||||||
|
|
|||||||
Multiline Retail 0.8% | ||||||||
2 | Big Lots, Inc. (a) | 57 | ||||||
3 | Dollar Tree, Inc. (a) | 293 | ||||||
3 | Family Dollar Stores, Inc. | 190 | ||||||
3 | J.C. Penney Co., Inc. | 91 | ||||||
6 | Kohls Corp. | 277 | ||||||
10 | Macys, Inc. | 376 | ||||||
4 | Nordstrom, Inc. | 181 | ||||||
1 | Sears Holdings Corp. (a) | 45 | ||||||
16 | Target Corp. | 928 | ||||||
|
|
|||||||
2,438 | ||||||||
|
|
|||||||
Specialty Retail 2.1% | ||||||||
2 | Abercrombie & Fitch Co., Class A | 68 | ||||||
1 | AutoNation, Inc. (a) | 39 | ||||||
1 | AutoZone, Inc. (a) | 248 | ||||||
6 | Bed Bath & Beyond, Inc. (a) | 408 | ||||||
7 | Best Buy Co., Inc. | 127 | ||||||
5 | CarMax, Inc. (a) | 152 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Specialty Retail Continued | ||||||||
3 | GameStop Corp., Class A | 62 | ||||||
8 | Gap, Inc. (The) | 210 | ||||||
37 | Home Depot, Inc. (The) | 1,815 | ||||||
6 | Limited Brands, Inc. | 260 | ||||||
30 | Lowes Cos., Inc. | 791 | ||||||
3 | OReilly Automotive, Inc. (a) | 291 | ||||||
5 | Ross Stores, Inc. | 345 | ||||||
17 | Staples, Inc. | 218 | ||||||
3 | Tiffany & Co. | 168 | ||||||
18 | TJX Cos., Inc. | 764 | ||||||
3 | Urban Outfitters, Inc. (a) | 74 | ||||||
|
|
|||||||
6,040 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.7% | ||||||||
7 | Coach, Inc. | 463 | ||||||
1 | Fossil, Inc. (a) | 91 | ||||||
9 | NIKE, Inc., Class B | 948 | ||||||
2 | Ralph Lauren Corp. | 229 | ||||||
2 | V.F. Corp. | 294 | ||||||
|
|
|||||||
2,025 | ||||||||
|
|
|||||||
Total Consumer Discretionary | 31,831 | |||||||
|
|
|||||||
|
Consumer Staples 11.2% |
|||||||
Beverages 2.6% | ||||||||
4 | Beam, Inc. | 226 | ||||||
2 | Brown-Forman Corp., Class B | 207 | ||||||
54 | Coca-Cola Co. (The) | 4,035 | ||||||
7 | Coca-Cola Enterprises, Inc. | 196 | ||||||
4 | Constellation Brands, Inc., Class A (a) | 79 | ||||||
5 | Dr. Pepper Snapple Group, Inc. | 209 | ||||||
4 | Molson Coors Brewing Co., Class B | 144 | ||||||
37 | PepsiCo, Inc. | 2,542 | ||||||
|
|
|||||||
7,638 | ||||||||
|
|
|||||||
Food & Staples Retailing 2.4% | ||||||||
10 | Costco Wholesale Corp. | 896 | ||||||
31 | CVS Caremark Corp. | 1,396 | ||||||
14 | Kroger Co. (The) | 302 | ||||||
6 | Safeway, Inc. | 122 | ||||||
14 | Sysco Corp. | 389 | ||||||
21 | Walgreen Co. | 636 | ||||||
42 | Wal-Mart Stores, Inc. | 2,743 | ||||||
4 | Whole Foods Market, Inc. | 343 | ||||||
|
|
|||||||
6,827 | ||||||||
|
|
|||||||
Food Products 1.9% | ||||||||
16 | Archer-Daniels-Midland Co. | 503 | ||||||
4 | Campbell Soup Co. | 135 | ||||||
10 | ConAgra Foods, Inc. | 247 | ||||||
4 | Dean Foods Co. (a) | 69 | ||||||
15 | General Mills, Inc. | 589 | ||||||
8 | H.J. Heinz Co. | 405 | ||||||
4 | Hershey Co. (The) | 245 | ||||||
3 | Hormel Foods Corp. | 98 | ||||||
3 | JM Smucker Co. (The) | 207 | ||||||
6 | Kellogg Co. | 287 | ||||||
42 | Kraft Foods, Inc., Class A | 1,614 | ||||||
3 | McCormick & Co., Inc. (Non-Voting) | 179 | ||||||
5 | Mead Johnson Nutrition Co. | 392 | ||||||
14 | Sara Lee Corp. | 295 | ||||||
7 | Tyson Foods, Inc., Class A | 135 | ||||||
|
|
|||||||
5,400 | ||||||||
|
|
|||||||
Household Products 2.1% | ||||||||
3 | Clorox Co. (The) | 213 | ||||||
11 | Colgate-Palmolive Co. | 1,125 | ||||||
9 | Kimberly-Clark Corp. | 745 | ||||||
66 | Procter & Gamble Co. (The) | 4,093 | ||||||
|
|
|||||||
6,176 | ||||||||
|
|
|||||||
Personal Products 0.2% | ||||||||
10 | Avon Products, Inc. | 170 | ||||||
5 | Estee Lauder Cos., Inc. (The), Class A | 291 | ||||||
|
|
|||||||
461 | ||||||||
|
|
|||||||
Tobacco 2.0% | ||||||||
49 | Altria Group, Inc. | 1,571 | ||||||
3 | Lorillard, Inc. | 389 | ||||||
41 | Philip Morris International, Inc. | 3,472 | ||||||
8 | Reynolds American, Inc. | 334 | ||||||
|
|
|||||||
5,766 | ||||||||
|
|
|||||||
Total Consumer Staples | 32,268 | |||||||
|
|
|||||||
Energy 10.4% | ||||||||
Energy Equipment & Services 1.7% | ||||||||
10 | Baker Hughes, Inc. | 436 | ||||||
6 | Cameron International Corp. (a) | 268 | ||||||
2 | Diamond Offshore Drilling, Inc. | 96 | ||||||
6 | FMC Technologies, Inc. (a) | 230 | ||||||
22 | Halliburton Co. | 662 | ||||||
3 | Helmerich & Payne, Inc. | 116 | ||||||
7 | Nabors Industries Ltd., (Bermuda) (a) | 93 | ||||||
10 | National Oilwell Varco, Inc. | 676 | ||||||
6 | Noble Corp., (Switzerland) (a) | 188 | ||||||
3 | Rowan Cos. plc (a) | 88 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Energy Equipment & Services Continued | ||||||||
32 | Schlumberger Ltd. | 2,013 | ||||||
|
|
|||||||
4,866 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 8.7% | ||||||||
5 | Alpha Natural Resources, Inc. (a) | 55 | ||||||
12 | Anadarko Petroleum Corp. | 725 | ||||||
9 | Apache Corp. | 746 | ||||||
5 | Cabot Oil & Gas Corp. | 163 | ||||||
16 | Chesapeake Energy Corp. | 267 | ||||||
47 | Chevron Corp. | 4,637 | ||||||
31 | ConocoPhillips | 1,592 | ||||||
5 | CONSOL Energy, Inc. | 152 | ||||||
9 | Denbury Resources, Inc. (a) | 141 | ||||||
10 | Devon Energy Corp. | 574 | ||||||
6 | EOG Resources, Inc. | 638 | ||||||
4 | EQT Corp. | 165 | ||||||
112 | Exxon Mobil Corp. | 8,842 | ||||||
7 | Hess Corp. | 316 | ||||||
11 | Kinder Morgan, Inc. | 361 | ||||||
17 | Marathon Oil Corp. | 418 | ||||||
8 | Marathon Petroleum Corp. | 299 | ||||||
5 | Murphy Oil Corp. | 216 | ||||||
3 | Newfield Exploration Co. (a) | 95 | ||||||
4 | Noble Energy, Inc. | 357 | ||||||
19 | Occidental Petroleum Corp. | 1,534 | ||||||
6 | Peabody Energy Corp. | 152 | ||||||
15 | Phillips 66 (a) | 458 | ||||||
3 | Pioneer Natural Resources Co. | 284 | ||||||
4 | QEP Resources, Inc. | 112 | ||||||
4 | Range Resources Corp. | 216 | ||||||
8 | Southwestern Energy Co. (a) | 233 | ||||||
16 | Spectra Energy Corp. | 446 | ||||||
3 | Sunoco, Inc. | 118 | ||||||
3 | Tesoro Corp. (a) | 73 | ||||||
13 | Valero Energy Corp. | 279 | ||||||
15 | Williams Cos., Inc. (The) | 456 | ||||||
5 | WPX Energy, Inc. (a) | 70 | ||||||
|
|
|||||||
25,190 | ||||||||
|
|
|||||||
Total Energy | 30,056 | |||||||
|
|
|||||||
Financials 14.0% | ||||||||
Capital Markets 1.8% | ||||||||
5 | Ameriprise Financial, Inc. | 254 | ||||||
29 | Bank of New York Mellon Corp. (The) | 585 | ||||||
3 | BlackRock, Inc. | 521 | ||||||
26 | Charles Schwab Corp. (The) | 321 | ||||||
6 | E*TRADE Financial Corp. (a) | 51 | ||||||
2 | Federated Investors, Inc., Class B | 44 | ||||||
3 | Franklin Resources, Inc. | 363 | ||||||
12 | Goldman Sachs Group, Inc. (The) | 1,130 | ||||||
11 | Invesco Ltd. | 232 | ||||||
3 | Legg Mason, Inc. | 76 | ||||||
36 | Morgan Stanley | 486 | ||||||
6 | Northern Trust Corp. | 248 | ||||||
12 | State Street Corp. | 480 | ||||||
6 | T. Rowe Price Group, Inc. | 348 | ||||||
|
|
|||||||
5,139 | ||||||||
|
|
|||||||
Commercial Banks 2.9% | ||||||||
17 | BB&T Corp. | 503 | ||||||
5 | Comerica, Inc. | 143 | ||||||
22 | Fifth Third Bancorp | 293 | ||||||
6 | First Horizon National Corp. | 52 | ||||||
21 | Huntington Bancshares, Inc. | 135 | ||||||
23 | KeyCorp | 171 | ||||||
3 | M&T Bank Corp. | 245 | ||||||
13 | PNC Financial Services Group, Inc. | 773 | ||||||
34 | Regions Financial Corp. | 212 | ||||||
13 | SunTrust Banks, Inc. | 291 | ||||||
46 | U.S. Bancorp | 1,418 | ||||||
126 | Wells Fargo & Co. | 4,032 | ||||||
4 | Zions Bancorp | 84 | ||||||
|
|
|||||||
8,352 | ||||||||
|
|
|||||||
Consumer Finance 0.9% | ||||||||
24 | American Express Co. | 1,352 | ||||||
13 | Capital One Financial Corp. | 678 | ||||||
13 | Discover Financial Services | 418 | ||||||
12 | SLM Corp. | 170 | ||||||
|
|
|||||||
2,618 | ||||||||
|
|
|||||||
Diversified Financial Services 2.7% | ||||||||
256 | Bank of America Corp. | 1,882 | ||||||
70 | Citigroup, Inc. | 1,852 | ||||||
2 | CME Group, Inc. | 408 | ||||||
2 | IntercontinentalExchange, Inc. (a) | 212 | ||||||
91 | JPMorgan Chase & Co. (q) | 3,019 | ||||||
5 | Leucadia National Corp. | 96 | ||||||
5 | Moodys Corp. | 171 | ||||||
3 | NASDAQ OMX Group, Inc. (The) (a) | 65 | ||||||
6 | NYSE Euronext | 150 | ||||||
|
|
|||||||
7,855 | ||||||||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Insurance 3.5% | ||||||||
8 | ACE Ltd., (Switzerland) | 582 | ||||||
11 | Aflac, Inc. | 447 | ||||||
12 | Allstate Corp. (The) | 403 | ||||||
15 | American International Group, Inc. (a) | 446 | ||||||
8 | Aon plc, (United Kingdom) | 361 | ||||||
2 | Assurant, Inc. | 70 | ||||||
42 | Berkshire Hathaway, Inc., Class B (a) | 3,329 | ||||||
6 | Chubb Corp. (The) | 466 | ||||||
4 | Cincinnati Financial Corp. | 140 | ||||||
12 | Genworth Financial, Inc., Class A (a) | 61 | ||||||
11 | Hartford Financial Services Group, Inc. | 177 | ||||||
7 | Lincoln National Corp. | 144 | ||||||
7 | Loews Corp. | 283 | ||||||
13 | Marsh & McLennan Cos., Inc. | 414 | ||||||
25 | MetLife, Inc. | 739 | ||||||
7 | Principal Financial Group, Inc. | 177 | ||||||
15 | Progressive Corp. (The) | 317 | ||||||
11 | Prudential Financial, Inc. | 521 | ||||||
2 | Torchmark Corp. | 111 | ||||||
9 | Travelers Cos., Inc. (The) | 586 | ||||||
7 | Unum Group | 138 | ||||||
8 | XL Group plc, (Ireland) | 154 | ||||||
|
|
|||||||
10,066 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 2.1% | ||||||||
9 | American Tower Corp. | 609 | ||||||
3 | Apartment Investment & Management Co., Class A | 78 | ||||||
2 | AvalonBay Communities, Inc. | 317 | ||||||
4 | Boston Properties, Inc. | 364 | ||||||
7 | Equity Residential | 438 | ||||||
10 | HCP, Inc. | 399 | ||||||
5 | Health Care REIT, Inc. | 278 | ||||||
17 | Host Hotels & Resorts, Inc. | 258 | ||||||
10 | Kimco Realty Corp. | 174 | ||||||
4 | Plum Creek Timber Co., Inc. | 141 | ||||||
11 | Prologis, Inc. | 350 | ||||||
3 | Public Storage | 453 | ||||||
7 | Simon Property Group, Inc. | 1,078 | ||||||
7 | Ventas, Inc. | 405 | ||||||
4 | Vornado Realty Trust | 362 | ||||||
13 | Weyerhaeuser Co. | 255 | ||||||
|
|
|||||||
5,959 | ||||||||
|
|
|||||||
Real Estate Management & Development 0.0% (g) | ||||||||
8 | CBRE Group, Inc., Class A (a) | 129 | ||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% | ||||||||
13 | Hudson City Bancorp, Inc. | 78 | ||||||
9 | Peoples United Financial, Inc. | 100 | ||||||
|
|
|||||||
178 | ||||||||
|
|
|||||||
Total Financials | 40,296 | |||||||
|
|
|||||||
Health Care 11.6% | ||||||||
Biotechnology 1.4% | ||||||||
4 | Alexion Pharmaceuticals, Inc. (a) | 402 | ||||||
19 | Amgen, Inc. | 1,313 | ||||||
6 | Biogen Idec, Inc. (a) | 745 | ||||||
10 | Celgene Corp. (a) | 715 | ||||||
18 | Gilead Sciences, Inc. (a) | 902 | ||||||
|
|
|||||||
4,077 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 1.8% | ||||||||
13 | Baxter International, Inc. | 677 | ||||||
5 | Becton, Dickinson & Co. | 367 | ||||||
35 | Boston Scientific Corp. (a) | 199 | ||||||
2 | C.R. Bard, Inc. | 195 | ||||||
5 | CareFusion Corp. (a) | 130 | ||||||
12 | Covidien plc, (Ireland) | 597 | ||||||
3 | DENTSPLY International, Inc. | 125 | ||||||
3 | Edwards Lifesciences Corp. (a) | 234 | ||||||
1 | Intuitive Surgical, Inc. (a) | 491 | ||||||
25 | Medtronic, Inc. | 914 | ||||||
8 | St. Jude Medical, Inc. | 294 | ||||||
8 | Stryker Corp. | 397 | ||||||
3 | Varian Medical Systems, Inc. (a) | 158 | ||||||
4 | Zimmer Holdings, Inc. | 258 | ||||||
|
|
|||||||
5,036 | ||||||||
|
|
|||||||
Health Care Providers & Services 2.0% | ||||||||
8 | Aetna, Inc. | 342 | ||||||
6 | AmerisourceBergen Corp. | 228 | ||||||
8 | Cardinal Health, Inc. | 341 | ||||||
7 | Cigna Corp. | 300 | ||||||
3 | Coventry Health Care, Inc. | 102 | ||||||
2 | DaVita, Inc. (a) | 182 | ||||||
19 | Express Scripts Holding Co. (a) | 995 | ||||||
4 | Humana, Inc. | 299 | ||||||
2 | Laboratory Corp. of America Holdings (a) | 193 | ||||||
6 | McKesson Corp. | 512 | ||||||
2 | Patterson Cos., Inc. | 70 | ||||||
4 | Quest Diagnostics, Inc. | 215 | ||||||
10 | Tenet Healthcare Corp. (a) | 46 | ||||||
25 | UnitedHealth Group, Inc. | 1,390 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Health Care Providers & Services Continued | ||||||||
8 | WellPoint, Inc. | 538 | ||||||
|
|
|||||||
5,753 | ||||||||
|
|
|||||||
Health Care Technology 0.1% | ||||||||
3 | Cerner Corp. (a) | 271 | ||||||
|
|
|||||||
Life Sciences Tools & Services 0.4% | ||||||||
8 | Agilent Technologies, Inc. | 337 | ||||||
4 | Life Technologies Corp. (a) | 174 | ||||||
3 | PerkinElmer, Inc. | 72 | ||||||
9 | Thermo Fisher Scientific, Inc. | 441 | ||||||
2 | Waters Corp. (a) | 169 | ||||||
1,193 | ||||||||
Pharmaceuticals 5.9% | ||||||||
38 | Abbott Laboratories | 2,318 | ||||||
7 | Allergan, Inc. | 655 | ||||||
40 | Bristol-Myers Squibb Co. | 1,343 | ||||||
24 | Eli Lilly & Co. | 998 | ||||||
6 | Forest Laboratories, Inc. (a) | 222 | ||||||
4 | Hospira, Inc. (a) | 123 | ||||||
65 | Johnson & Johnson | 4,089 | ||||||
73 | Merck & Co., Inc. | 2,729 | ||||||
10 | Mylan, Inc. (a) | 221 | ||||||
2 | Perrigo Co. | 231 | ||||||
180 | Pfizer, Inc. | 3,933 | ||||||
3 | Watson Pharmaceuticals, Inc. (a) | 216 | ||||||
|
|
|||||||
17,078 | ||||||||
|
|
|||||||
Total Health Care | 33,408 | |||||||
|
|
|||||||
Industrials 10.3% | ||||||||
Aerospace & Defense 2.5% | ||||||||
18 | Boeing Co. (The) | 1,238 | ||||||
9 | General Dynamics Corp. | 545 | ||||||
3 | Goodrich Corp. | 377 | ||||||
18 | Honeywell International, Inc. | 1,030 | ||||||
2 | L-3 Communications Holdings, Inc. | 161 | ||||||
6 | Lockheed Martin Corp. | 527 | ||||||
6 | Northrop Grumman Corp. | 354 | ||||||
3 | Precision Castparts Corp. | 575 | ||||||
8 | Raytheon Co. | 408 | ||||||
4 | Rockwell Collins, Inc. | 179 | ||||||
7 | Textron, Inc. | 158 | ||||||
22 | United Technologies Corp. | 1,609 | ||||||
|
|
|||||||
7,161 | ||||||||
|
|
|||||||
Air Freight & Logistics 1.0% | ||||||||
4 | C.H. Robinson Worldwide, Inc. | 227 | ||||||
5 | Expeditors International of Washington, Inc. | 194 | ||||||
8 | FedEx Corp. | 669 | ||||||
23 | United Parcel Service, Inc., Class B | 1,714 | ||||||
|
|
|||||||
2,804 | ||||||||
|
|
|||||||
Airlines 0.1% | ||||||||
18 | Southwest Airlines Co. | 167 | ||||||
|
|
|||||||
Building Products 0.0% (g) | ||||||||
9 | Masco Corp. | 108 | ||||||
|
|
|||||||
Commercial Services & Supplies 0.4% | ||||||||
3 | Avery Dennison Corp. | 74 | ||||||
3 | Cintas Corp. | 97 | ||||||
4 | Iron Mountain, Inc. | 116 | ||||||
5 | Pitney Bowes, Inc. | 65 | ||||||
4 | R.R. Donnelley & Sons Co. | 46 | ||||||
8 | Republic Services, Inc. | 198 | ||||||
2 | Stericycle, Inc. (a) | 176 | ||||||
11 | Waste Management, Inc. | 357 | ||||||
|
|
|||||||
1,129 | ||||||||
|
|
|||||||
Construction & Engineering 0.1% | ||||||||
4 | Fluor Corp. | 189 | ||||||
3 | Jacobs Engineering Group, Inc. (a) | 109 | ||||||
5 | Quanta Services, Inc. (a) | 114 | ||||||
|
|
|||||||
412 | ||||||||
|
|
|||||||
Electrical Equipment 0.6% | ||||||||
4 | Cooper Industries plc | 267 | ||||||
18 | Emerson Electric Co. | 820 | ||||||
3 | Rockwell Automation, Inc. | 246 | ||||||
2 | Roper Industries, Inc. | 234 | ||||||
|
|
|||||||
1,567 | ||||||||
|
|
|||||||
Industrial Conglomerates 2.6% | ||||||||
17 | 3M Co. | 1,399 | ||||||
14 | Danaher Corp. | 709 | ||||||
252 | General Electric Co. | 4,819 | ||||||
11 | Tyco International Ltd., (Switzerland) | 585 | ||||||
|
|
|||||||
7,512 | ||||||||
|
|
|||||||
Machinery 1.9% | ||||||||
15 | Caterpillar, Inc. | 1,354 | ||||||
5 | Cummins, Inc. | 444 | ||||||
10 | Deere & Co. | 708 | ||||||
4 | Dover Corp. | 248 | ||||||
8 | Eaton Corp. | 341 | ||||||
1 | Flowserve Corp. | 133 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Machinery Continued | ||||||||
12 | Illinois Tool Works, Inc. | 648 | ||||||
7 | Ingersoll-Rand plc, (Ireland) | 293 | ||||||
3 | Joy Global, Inc. | 141 | ||||||
9 | PACCAR, Inc. | 320 | ||||||
3 | Pall Corp. | 153 | ||||||
4 | Parker Hannifin Corp. | 294 | ||||||
1 | Snap-on, Inc. | 84 | ||||||
4 | Stanley Black & Decker, Inc. | 268 | ||||||
4 | Xylem, Inc. | 112 | ||||||
|
|
|||||||
5,541 | ||||||||
|
|
|||||||
Professional Services 0.1% | ||||||||
1 | Dun & Bradstreet Corp. (The) | 77 | ||||||
3 | Equifax, Inc. | 129 | ||||||
3 | Robert Half International, Inc. | 96 | ||||||
|
|
|||||||
302 | ||||||||
|
|
|||||||
Road & Rail 0.8% | ||||||||
25 | CSX Corp. | 524 | ||||||
8 | Norfolk Southern Corp. | 516 | ||||||
1 | Ryder System, Inc. | 53 | ||||||
11 | Union Pacific Corp. | 1,276 | ||||||
|
|
|||||||
2,369 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.2% | ||||||||
7 | Fastenal Co. | 311 | ||||||
1 | W.W. Grainger, Inc. | 282 | ||||||
|
|
|||||||
593 | ||||||||
|
|
|||||||
Total Industrials | 29,665 | |||||||
|
|
|||||||
Information Technology 19.5% | ||||||||
Communications Equipment 1.9% | ||||||||
128 | Cisco Systems, Inc. | 2,098 | ||||||
2 | F5 Networks, Inc. (a) | 195 | ||||||
3 | Harris Corp. | 108 | ||||||
5 | JDS Uniphase Corp. (a) | 56 | ||||||
13 | Juniper Networks, Inc. (a) | 216 | ||||||
7 | Motorola Solutions, Inc. | 338 | ||||||
40 | QUALCOMM, Inc. | 2,313 | ||||||
|
|
|||||||
5,324 | ||||||||
|
|
|||||||
Computers & Peripherals 5.6% | ||||||||
22 | Apple, Inc. (a) | 12,851 | ||||||
36 | Dell, Inc. (a) | 449 | ||||||
49 | EMC Corp. (a) | 1,168 | ||||||
47 | Hewlett-Packard Co. | 1,070 | ||||||
2 | Lexmark International, Inc., Class A | 42 | ||||||
9 | NetApp, Inc. (a) | 258 | ||||||
6 | SanDisk Corp. (a) | 189 | ||||||
6 | Western Digital Corp. (a) | 175 | ||||||
|
|
|||||||
16,202 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.4% | ||||||||
4 | Amphenol Corp., Class A | 207 | ||||||
36 | Corning, Inc. | 472 | ||||||
4 | FLIR Systems, Inc. | 78 | ||||||
4 | Jabil Circuit, Inc. | 84 | ||||||
3 | Molex, Inc. | 76 | ||||||
10 | TE Connectivity Ltd., (Switzerland) | 320 | ||||||
|
|
|||||||
1,237 | ||||||||
|
|
|||||||
Internet Software & Services 1.9% | ||||||||
4 | Akamai Technologies, Inc. (a) | 124 | ||||||
27 | eBay, Inc. (a) | 1,071 | ||||||
6 | Google, Inc., Class A (a) | 3,514 | ||||||
4 | VeriSign, Inc. (a) | 146 | ||||||
29 | Yahoo!, Inc. (a) | 441 | ||||||
|
|
|||||||
5,296 | ||||||||
|
|
|||||||
IT Services 3.8% | ||||||||
15 | Accenture plc, (Ireland), Class A | 882 | ||||||
12 | Automatic Data Processing, Inc. | 610 | ||||||
7 | Cognizant Technology Solutions Corp., Class A (a) | 422 | ||||||
4 | Computer Sciences Corp. | 99 | ||||||
6 | Fidelity National Information Services, Inc. | 183 | ||||||
3 | Fiserv, Inc. (a) | 223 | ||||||
28 | International Business Machines Corp. | 5,332 | ||||||
3 | MasterCard, Inc., Class A | 1,030 | ||||||
8 | Paychex, Inc. | 231 | ||||||
7 | SAIC, Inc. | 73 | ||||||
4 | Teradata Corp. (a) | 266 | ||||||
4 | Total System Services, Inc. | 89 | ||||||
12 | Visa, Inc., Class A | 1,367 | ||||||
15 | Western Union Co. (The) | 243 | ||||||
|
|
|||||||
11,050 | ||||||||
|
|
|||||||
Office Electronics 0.1% | ||||||||
32 | Xerox Corp. | 229 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 2.2% | ||||||||
14 | Advanced Micro Devices, Inc. (a) | 85 | ||||||
8 | Altera Corp. | 257 | ||||||
7 | Analog Devices, Inc. | 258 | ||||||
31 | Applied Materials, Inc. | 318 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Semiconductors & Semiconductor Equipment Continued | ||||||||
12 | Broadcom Corp., Class A (a) | 379 | ||||||
1 | First Solar, Inc. (a) | 18 | ||||||
119 | Intel Corp. | 3,080 | ||||||
4 | KLA-Tencor Corp. | 182 | ||||||
5 | Linear Technology Corp. | 159 | ||||||
14 | LSI Corp. (a) | 90 | ||||||
5 | Microchip Technology, Inc. | 142 | ||||||
24 | Micron Technology, Inc. (a) | 138 | ||||||
2 | Novellus Systems, Inc. (a) | 70 | ||||||
15 | NVIDIA Corp. (a) | 181 | ||||||
4 | Teradyne, Inc. (a) (c) | 64 | ||||||
27 | Texas Instruments, Inc. | 778 | ||||||
6 | Xilinx, Inc. | 200 | ||||||
|
|
|||||||
6,399 | ||||||||
|
|
|||||||
Software 3.6% | ||||||||
12 | Adobe Systems, Inc. (a) | 366 | ||||||
5 | Autodesk, Inc. (a) | 172 | ||||||
4 | BMC Software, Inc. (a) | 166 | ||||||
9 | CA, Inc. | 216 | ||||||
4 | Citrix Systems, Inc. (a) | 323 | ||||||
8 | Electronic Arts, Inc. (a) | 108 | ||||||
7 | Intuit, Inc. | 396 | ||||||
178 | Microsoft Corp. | 5,200 | ||||||
94 | Oracle Corp. | 2,476 | ||||||
5 | Red Hat, Inc. (a) | 237 | ||||||
3 | Salesforce.com, Inc. (a) | 450 | ||||||
17 | Symantec Corp. (a) | 258 | ||||||
|
|
|||||||
10,368 | ||||||||
|
|
|||||||
Total Information Technology | 56,105 | |||||||
|
|
|||||||
Materials 3.3% | ||||||||
Chemicals 2.3% | ||||||||
5 | Air Products & Chemicals, Inc. | 397 | ||||||
2 | Airgas, Inc. | 142 | ||||||
2 | CF Industries Holdings, Inc. | 267 | ||||||
28 | Dow Chemical Co. (The) | 879 | ||||||
22 | E.I. du Pont de Nemours & Co. | 1,073 | ||||||
3 | Eastman Chemical Co. | 152 | ||||||
7 | Ecolab, Inc. | 439 | ||||||
3 | FMC Corp. | 170 | ||||||
2 | International Flavors & Fragrances, Inc. | 109 | ||||||
13 | Monsanto Co. | 986 | ||||||
7 | Mosaic Co. (The) | 339 | ||||||
4 | PPG Industries, Inc. | 375 | ||||||
7 | Praxair, Inc. | 756 | ||||||
2 | Sherwin-Williams Co. (The) | 268 | ||||||
3 | Sigma-Aldrich Corp. | 200 | ||||||
|
|
|||||||
6,552 | ||||||||
|
|
|||||||
Construction Materials 0.0% (g) | ||||||||
3 | Vulcan Materials Co. | 107 | ||||||
|
|
|||||||
Containers & Packaging 0.1% | ||||||||
4 | Ball Corp. | 149 | ||||||
2 | Bemis Co., Inc. | 74 | ||||||
4 | Owens-Illinois, Inc. (a) | 77 | ||||||
5 | Sealed Air Corp. | 72 | ||||||
|
|
|||||||
372 | ||||||||
|
|
|||||||
Metals & Mining 0.7% | ||||||||
25 | Alcoa, Inc. | 217 | ||||||
3 | Allegheny Technologies, Inc. | 82 | ||||||
3 | Cliffs Natural Resources, Inc. | 162 | ||||||
23 | Freeport-McMoRan Copper & Gold, Inc. | 725 | ||||||
12 | Newmont Mining Corp. | 557 | ||||||
8 | Nucor Corp. | 270 | ||||||
2 | Titanium Metals Corp. | 22 | ||||||
3 | United States Steel Corp. | 70 | ||||||
|
|
|||||||
2,105 | ||||||||
|
|
|||||||
Paper & Forest Products 0.2% | ||||||||
10 | International Paper Co. | 305 | ||||||
4 | MeadWestvaco Corp. | 112 | ||||||
|
|
|||||||
417 | ||||||||
|
|
|||||||
Total Materials | 9,553 | |||||||
|
|
|||||||
Telecommunication Services 3.1% | ||||||||
Diversified Telecommunication Services 2.9% | ||||||||
141 | AT&T, Inc. | 4,833 | ||||||
15 | CenturyLink, Inc. | 579 | ||||||
24 | Frontier Communications Corp. | 89 | ||||||
68 | Verizon Communications, Inc. | 2,817 | ||||||
14 | Windstream Corp. | 131 | ||||||
|
|
|||||||
8,449 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.2% | ||||||||
6 | Crown Castle International Corp. (a) | 326 | ||||||
7 | MetroPCS Communications, Inc. (a) | 45 | ||||||
72 | Sprint Nextel Corp. (a) | 184 | ||||||
|
|
|||||||
555 | ||||||||
|
|
|||||||
Total Telecommunication Services | 9,004 | |||||||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks Continued |
|||||||
Utilities 3.6% | ||||||||
Electric Utilities 2.1% | ||||||||
12 | American Electric Power Co., Inc. | 444 | ||||||
32 | Duke Energy Corp. | 701 | ||||||
8 | Edison International | 349 | ||||||
4 | Entergy Corp. | 272 | ||||||
20 | Exelon Corp. | 751 | ||||||
10 | FirstEnergy Corp. | 467 | ||||||
10 | NextEra Energy, Inc. | 649 | ||||||
7 | Northeast Utilities | 268 | ||||||
5 | Pepco Holdings, Inc. | 104 | ||||||
3 | Pinnacle West Capital Corp. | 129 | ||||||
14 | PPL Corp. | 378 | ||||||
7 | Progress Energy, Inc. | 386 | ||||||
21 | Southern Co. (The) | 949 | ||||||
12 | Xcel Energy, Inc. | 325 | ||||||
|
|
|||||||
6,172 | ||||||||
|
|
|||||||
Gas Utilities 0.1% | ||||||||
3 | AGL Resources, Inc. | 104 | ||||||
2 | ONEOK, Inc. | 206 | ||||||
|
|
|||||||
310 | ||||||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.1% | ||||||||
15 | AES Corp. (The) (a) | 186 | ||||||
5 | NRG Energy, Inc. (a) | 83 | ||||||
|
|
|||||||
269 | ||||||||
|
|
|||||||
Multi-Utilities 1.3% | ||||||||
6 | Ameren Corp. | 187 | ||||||
10 | CenterPoint Energy, Inc. | 206 | ||||||
6 | CMS Energy Corp. | 143 | ||||||
7 | Consolidated Edison, Inc. | 422 | ||||||
14 | Dominion Resources, Inc. | 708 | ||||||
4 | DTE Energy Co. | 230 | ||||||
2 | Integrys Energy Group, Inc. | 101 | ||||||
7 | NiSource, Inc. | 169 | ||||||
10 | PG&E Corp. | 430 | ||||||
12 | Public Service Enterprise Group, Inc. | 376 | ||||||
3 | SCANA Corp. | 130 | ||||||
6 | Sempra Energy | 373 | ||||||
5 | TECO Energy, Inc. | 89 | ||||||
5 | Wisconsin Energy Corp. | 208 | ||||||
|
|
|||||||
3,772 | ||||||||
|
|
|||||||
Total Utilities | 10,523 | |||||||
|
|
|||||||
Total Common Stocks (Cost $209,264) |
282,709 | |||||||
|
|
|||||||
|
Investment Company 0.1% |
|||||||
2 | SPDR S&P 500 ETF Trust (Cost $229) |
263 | ||||||
|
|
|||||||
PRINCIPAL |
||||||||
|
U.S. Treasury Obligation 0.1% |
|||||||
275 | U.S. Treasury Bills, 0.081%, 06/07/12 (k) (n) (Cost $275) |
275 | ||||||
|
|
|||||||
SHARES |
||||||||
|
Short-Term Investment 1.5% |
|||||||
Investment Company 1.5% | ||||||||
4,381 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (m) (Cost $4,381) |
4,381 | ||||||
|
|
|||||||
|
Investments of Cash Collateral for Securities on Loan 0.0% (g) |
|||||||
Investment Company 0.0% (g) | ||||||||
29 | JPMorgan Prime Money Market Fund, Capital Shares, 0.180% (b) (l) (Cost $29) |
29 | ||||||
|
|
|||||||
Total Investments 99.7% | ||||||||
(Cost $214,178) | 287,657 | |||||||
Other Assets in Excess of Liabilities 0.3% | 725 | |||||||
|
|
|||||||
NET ASSETS 100.0% | $ | 288,382 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
Futures Contracts |
||||||||||||||
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
NOTIONAL VALUE AT 05/31/12 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
Long Futures Outstanding | ||||||||||||||
71 |
E-mini S&P 500 | 06/15/12 | $ | 4,648 | $ | (228 | ) | |||||||
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ETF |
| Exchange Traded Fund | ||||
SPDR |
| Standard & Poors Depository Receipts |
(a) |
| Non-income producing security. | ||||
(b) |
| Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | ||||
(c) |
| Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | ||||
(g) |
| Amount rounds to less than 0.1%. | ||||
(h) |
| Amount rounds to less than one thousand (shares or dollars). | ||||
(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 May 31, 2012. | ||||
(m) |
| All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments, and/or forward foreign currency exchange contracts. | ||||
(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. |
As of May 31, 2012, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 87,327 | ||
Aggregate gross unrealized depreciation |
(13,848 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | 73,479 | ||
|
|
|||
Federal income tax cost of investments |
$ | 214,178 | ||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
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. The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOI) (amounts in thousands): |
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Total Investments in Securities (a) |
$ | 287,382 | $ | 275 | $ | | $ | 287,657 | ||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | (228 | ) | $ | | $ | | $ | (228 | ) |
(a) | 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 portfolio holdings. |
There were no transfers between Levels 1 and 2 during the period ended May 31, 2012.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Asset-Backed Securities 3.0% |
|||||||
AH Mortgage Advance Trust, (Cayman Islands), | ||||||||
250 | Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 250 | ||||||
750 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 751 | ||||||
267 | Series SART-2, Class A1, 3.270%, 09/15/43 (e) | 269 | ||||||
100 | Series SART-2, Class B1, 6.900%, 09/15/43 (e) | 103 | ||||||
Ally Auto Receivables Trust, | ||||||||
24 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 24 | ||||||
145 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 146 | ||||||
124 | Series 2012-1, Class A3, 0.930%, 02/16/16 | 124 | ||||||
377 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 377 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
79 | Series 2012-1, Class A1, 1.960%, 01/15/14 (e) | 79 | ||||||
112 | Series 2012-1, Class A2, 3.040%, 10/15/15 (e) | 112 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
19 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 19 | ||||||
4 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 4 | ||||||
130 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 130 | ||||||
39 | Series 2010-4, Class A2, 0.960%, 05/08/14 | 39 | ||||||
75 | Series 2010-4, Class A3, 1.270%, 04/08/15 | 75 | ||||||
104 | Series 2011-3, Class A2, 0.840%, 11/10/14 | 104 | ||||||
219 | Series 2011-5, Class A3, 1.550%, 07/08/16 | 221 | ||||||
198 | Series 2012-1, Class A2, 0.910%, 10/08/15 | 198 | ||||||
94 | Series 2012-1, Class A3, 1.230%, 09/08/16 | 95 | ||||||
Bank of America Auto Trust, | ||||||||
109 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 110 | ||||||
25 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 25 | ||||||
100 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 101 | ||||||
32 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 32 | ||||||
125 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 127 | ||||||
66 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.609%, 04/25/36 | 54 | ||||||
100 | Cabelas Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) | 101 | ||||||
26 | CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 | 26 | ||||||
165 | CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e) | 165 | ||||||
187 | Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 191 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
16 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 16 | ||||||
192 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 192 | ||||||
CNH Equipment Trust, | ||||||||
11 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 11 | ||||||
219 | Series 2010-C, Class A3, 1.170%, 05/15/15 | 220 | ||||||
101 | Series 2012-A, Class A2, 0.650%, 07/15/15 | 101 | ||||||
99 | Series 2012-A, Class A3, 0.940%, 05/15/17 | 99 | ||||||
CPS Auto Trust, | ||||||||
86 | Series 2011-C, Class A, 4.210%, 03/15/19 (e) | 88 | ||||||
90 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 90 | ||||||
46 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.569%, 01/25/36 | 25 | ||||||
204 | Discover Card Master Trust, Series 2012- A1, Class A1, 0.810%, 08/15/17 | 204 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
8 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 8 | ||||||
200 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 205 | ||||||
176 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 176 | ||||||
271 | Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) | 273 | ||||||
200 | GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15 | 201 | ||||||
93 | GE Mortgage Services LLC, Series 1999- HE1, Class M, VAR, 6.705%, 04/25/29 | 84 | ||||||
143 | Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15 | 143 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
71 | Series 2009-2, Class A4, 4.430%, 07/15/15 | 71 | ||||||
6 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 6 | ||||||
150 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 152 | ||||||
108 | Series 2012-1, Class A3, 0.770%, 01/15/16 | 108 | ||||||
56 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 56 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
79 | Series 2005-2, Class A1, VAR, 0.510%, 01/20/35 | 74 | ||||||
58 | Series 2006-1, Class A1, VAR, 0.400%, 01/20/36 | 53 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Asset-Backed Securities Continued |
|||||||
66 | Series 2007-3, Class APT, VAR, 1.440%, 11/20/36 | 62 | ||||||
Huntington Auto Trust, | ||||||||
234 | Series 2011-1A, Class A2, 0.760%, 04/15/14 (e) | 234 | ||||||
150 | Series 2011-1A, Class A3, 1.010%, 01/15/16 (e) | 151 | ||||||
100 | Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 101 | ||||||
116 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 116 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
105 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 105 | ||||||
104 | Series 2012-A, Class A3, 0.720%, 03/15/16 | 104 | ||||||
91 | LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i) | 91 | ||||||
54 | Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 | 55 | ||||||
325 | MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) | 330 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
100 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 101 | ||||||
75 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 75 | ||||||
91 | Series 2012-A, Class A3, 0.730%, 05/16/16 | 91 | ||||||
117 | Series 2012-A, Class A4, 1.000%, 07/16/18 | 117 | ||||||
233 | Park Place Securities, Inc., Series 2004- MCW1, Class M1, VAR, 0.864%, 10/25/34 | 221 | ||||||
150 | Residential Asset Mortgage Products, Inc., Series 2006-RZ1, Class A3, VAR, 0.539%, 03/25/36 | 129 | ||||||
190 | Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) | 190 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
110 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 110 | ||||||
100 | Series 2010-A, Class A4, 2.390%, 06/15/17 (e) | 102 | ||||||
30 | Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 30 | ||||||
157 | Series 2012-1, Class A2, 1.250%, 04/15/15 | 158 | ||||||
71 | Series 2012-2, Class A2, 0.910%, 05/15/15 | 71 | ||||||
53 | Series 2012-2, Class A3, 1.220%, 12/15/15 | 53 | ||||||
176 | Toyota Auto Receivables Owner Trust, Series 2010-C, Class A3, 0.770%, 04/15/14 | 176 | ||||||
321 | Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.653%, 10/15/15 (e) | 321 | ||||||
213 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 213 | ||||||
474 | VOLT LLC, Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) | 474 | ||||||
325 | Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) | 326 | ||||||
135 | World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15 | 137 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $11,128) | 11,152 | |||||||
|
|
|||||||
|
Collateralized Mortgage Obligations 27.7% |
|||||||
Agency CMO 22.1% | ||||||||
74 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23 | 83 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
6 | Series 11, Class D, 9.500%, 07/15/19 | 6 | ||||||
| (h) | Series 41, Class I, HB, 84.000%, 05/15/20 | | (h) | ||||
3 | Series 46, Class B, 7.800%, 09/15/20 | 4 | ||||||
1 | Series 47, Class F, 10.000%, 06/15/20 | 1 | ||||||
| (h) | Series 85, Class C, 8.600%, 01/15/21 | | (h) | ||||
3 | Series 99, Class Z, 9.500%, 01/15/21 | 4 | ||||||
17 | Series 114, Class H, 6.950%, 01/15/21 | 19 | ||||||
1 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 | 2 | ||||||
1 | Series 1084, Class F, VAR, 1.200%, 05/15/21 | 1 | ||||||
1 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 | 1 | ||||||
10 | Series 1144, Class KB, 8.500%, 09/15/21 | 12 | ||||||
| (h) | Series 1172, Class L, HB, VAR, | ||||||
1,181.250%, 11/15/21 | | (h) | ||||||
| (h) | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 | 2 | |||||
11 | Series 1206, Class IA, 7.000%, 03/15/22 | 13 | ||||||
8 | Series 1250, Class J, 7.000%, 05/15/22 | 9 | ||||||
25 | Series 1343, Class LA, 8.000%, 08/15/22 | 30 | ||||||
109 | Series 1466, Class PZ, 7.500%, 02/15/23 | 125 | ||||||
1 | Series 1470, Class F, VAR, 2.163%, 02/15/23 | 1 | ||||||
40 | Series 1491, Class I, 7.500%, 04/15/23 | 46 | ||||||
40 | Series 1518, Class G, IF, 8.809%, 05/15/23 | 46 | ||||||
36 | Series 1541, Class O, VAR, 1.250%, 07/15/23 | 36 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
3 | Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 | 5 | ||||||
132 | Series 1608, Class L, 6.500%, 09/15/23 | 148 | ||||||
80 | Series 1609, Class LG, IF, 16.792%, 11/15/23 | 93 | ||||||
4 | Series 1671, Class L, 7.000%, 02/15/24 | 5 | ||||||
21 | Series 1700, Class GA, PO, 02/15/24 | 20 | ||||||
213 | Series 1706, Class K, 7.000%, 03/15/24 | 246 | ||||||
686 | Series 1720, Class PL, 7.500%, 04/15/24 | 800 | ||||||
19 | Series 1745, Class D, 7.500%, 08/15/24 | 22 | ||||||
44 | Series 1798, Class F, 5.000%, 05/15/23 | 48 | ||||||
2 | Series 1807, Class G, 9.000%, 10/15/20 | 2 | ||||||
196 | Series 1927, Class PH, 7.500%, 01/15/27 | 230 | ||||||
92 | Series 1981, Class Z, 6.000%, 05/15/27 | 101 | ||||||
27 | Series 1987, Class PE, 7.500%, 09/15/27 | 32 | ||||||
5 | Series 2025, Class PE, 6.300%, 01/15/13 | 5 | ||||||
13 | Series 2033, Class SN, HB, IF, 26.208%, 03/15/24 | 9 | ||||||
36 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 6 | ||||||
173 | Series 2040, Class PE, 7.500%, 03/15/28 | 203 | ||||||
46 | Series 2056, Class TD, 6.500%, 05/15/18 | 51 | ||||||
218 | Series 2063, Class PG, 6.500%, 06/15/28 | 250 | ||||||
35 | Series 2064, Class TE, 7.000%, 06/15/28 | 41 | ||||||
152 | Series 2075, Class PH, 6.500%, 08/15/28 | 174 | ||||||
147 | Series 2075, Class PM, 6.250%, 08/15/28 | 152 | ||||||
43 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 7 | ||||||
8 | Series 2102, Class TC, 6.000%, 12/15/13 | 8 | ||||||
48 | Series 2115, Class PE, 6.000%, 01/15/14 | 50 | ||||||
98 | Series 2125, Class JZ, 6.000%, 02/15/29 | 103 | ||||||
18 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 4 | ||||||
428 | Series 2169, Class TB, 7.000%, 06/15/29 | 501 | ||||||
119 | Series 2172, Class QC, 7.000%, 07/15/29 | 139 | ||||||
1 | Series 2196, Class TL, 7.500%, 11/15/29 | 1 | ||||||
61 | Series 2201, Class C, 8.000%, 11/15/29 | 72 | ||||||
140 | Series 2210, Class Z, 8.000%, 01/15/30 | 167 | ||||||
53 | Series 2224, Class CB, 8.000%, 03/15/30 | 63 | ||||||
77 | Series 2256, Class MC, 7.250%, 09/15/30 | 90 | ||||||
110 | Series 2259, Class ZM, 7.000%, 10/15/30 | 129 | ||||||
89 | Series 2271, Class PC, 7.250%, 12/15/30 | 104 | ||||||
116 | Series 2283, Class K, 6.500%, 12/15/23 | 130 | ||||||
41 | Series 2296, Class PD, 7.000%, 03/15/31 | 48 | ||||||
23 | Series 2306, Class K, PO, 05/15/24 | 21 | ||||||
56 | Series 2306, Class SE, IF, IO, 8.600%, 05/15/24 | 12 | ||||||
69 | Series 2333, Class HC, 6.000%, 07/15/31 | 69 | ||||||
38 | Series 2344, Class QG, 6.000%, 08/15/16 | 41 | ||||||
937 | Series 2344, Class ZD, 6.500%, 08/15/31 | 1,029 | ||||||
129 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 142 | ||||||
82 | Series 2345, Class NE, 6.500%, 08/15/31 | 85 | ||||||
70 | Series 2345, Class PQ, 6.500%, 08/15/16 | 72 | ||||||
76 | Series 2347, Class VP, 6.500%, 03/15/20 | 76 | ||||||
119 | Series 2351, Class PZ, 6.500%, 08/15/31 | 133 | ||||||
51 | Series 2355, Class BP, 6.000%, 09/15/16 | 54 | ||||||
53 | Series 2360, Class PG, 6.000%, 09/15/16 | 56 | ||||||
46 | Series 2366, Class MD, 6.000%, 10/15/16 | 49 | ||||||
78 | Series 2391, Class QR, 5.500%, 12/15/16 | 83 | ||||||
76 | Series 2410, Class NG, 6.500%, 02/15/32 | 84 | ||||||
112 | Series 2410, Class OE, 6.375%, 02/15/32 | 123 | ||||||
44 | Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 | 12 | ||||||
206 | Series 2412, Class SP, IF, 15.623%, 02/15/32 | 277 | ||||||
48 | Series 2423, Class MC, 7.000%, 03/15/32 | 57 | ||||||
104 | Series 2423, Class MT, 7.000%, 03/15/32 | 116 | ||||||
243 | Series 2435, Class CJ, 6.500%, 04/15/32 | 281 | ||||||
138 | Series 2441, Class GF, 6.500%, 04/15/32 | 159 | ||||||
119 | Series 2444, Class ES, IF, IO, 7.711%, 03/15/32 | 24 | ||||||
136 | Series 2450, Class GZ, 7.000%, 05/15/32 | 160 | ||||||
48 | Series 2450, Class SW, IF, IO, 7.761%, 03/15/32 | 10 | ||||||
223 | Series 2455, Class GK, 6.500%, 05/15/32 | 257 | ||||||
327 | Series 2466, Class DH, 6.500%, 06/15/32 | 363 | ||||||
196 | Series 2466, Class PG, 6.500%, 04/15/32 | 204 | ||||||
155 | Series 2474, Class NR, 6.500%, 07/15/32 | 174 | ||||||
290 | Series 2484, Class LZ, 6.500%, 07/15/32 | 334 | ||||||
437 | Series 2500, Class MC, 6.000%, 09/15/32 | 478 | ||||||
607 | Series 2512, Class PG, 5.500%, 10/15/22 | 674 | ||||||
103 | Series 2535, Class BK, 5.500%, 12/15/22 | 115 | ||||||
210 | Series 2537, Class TE, 5.500%, 12/15/17 | 227 | ||||||
675 | Series 2543, Class YX, 6.000%, 12/15/32 | 760 | ||||||
962 | Series 2568, Class KG, 5.500%, 02/15/23 | 1,056 | ||||||
810 | Series 2575, Class ME, 6.000%, 02/15/33 | 927 | ||||||
85 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 15 | ||||||
75 | Series 2587, Class CO, PO, 03/15/32 | 74 | ||||||
116 | Series 2597, Class AD, 6.500%, 03/15/32 | 117 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
13 | Series 2597, Class DS, IF, IO, 7.311%, 02/15/33 | | (h) | |||||
22 | Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 | 1 | ||||||
23 | Series 2610, Class DS, IF, IO, 6.861%, 03/15/33 | 1 | ||||||
289 | Series 2617, Class GR, 4.500%, 05/15/18 | 308 | ||||||
241 | Series 2622, Class PE, 4.500%, 05/15/18 | 257 | ||||||
134 | Series 2631, Class LC, 4.500%, 06/15/18 | 144 | ||||||
159 | Series 2640, Class VE, 3.250%, 07/15/22 | 161 | ||||||
207 | Series 2651, Class VZ, 4.500%, 07/15/18 | 221 | ||||||
69 | Series 2657, Class MD, 5.000%, 12/15/20 | 69 | ||||||
202 | Series 2672, Class ME, 5.000%, 11/15/22 | 215 | ||||||
410 | Series 2675, Class CK, 4.000%, 09/15/18 | 433 | ||||||
79 | Series 2682, Class YS, IF, 8.642%, 10/15/33 | 80 | ||||||
812 | Series 2684, Class PO, PO, 01/15/33 | 802 | ||||||
9 | Series 2691, Class WS, IF, 8.642%, 10/15/33 | 9 | ||||||
178 | Series 2695, Class DE, 4.000%, 01/15/17 | 179 | ||||||
34 | Series 2705, Class SC, IF, 8.642%, 11/15/33 | 35 | ||||||
34 | Series 2705, Class SD, IF, 8.693%, 11/15/33 | 35 | ||||||
251 | Series 2744, Class TU, 5.500%, 05/15/32 | 264 | ||||||
30 | Series 2755, Class PA, PO, 02/15/29 | 30 | ||||||
31 | Series 2755, Class SA, IF, 13.722%, 05/15/30 | 34 | ||||||
498 | Series 2777, Class KO, PO, 02/15/33 | 495 | ||||||
258 | Series 2802, Class MB, 5.500%, 11/15/31 | 262 | ||||||
51 | Series 2815, Class YS, IF, 9.561%, 01/15/34 | 51 | ||||||
763 | Series 2907, Class VC, 4.500%, 05/15/34 | 833 | ||||||
227 | Series 2934, Class EC, PO, 02/15/20 | 219 | ||||||
223 | Series 2990, Class SL, HB, IF, 23.618%, 06/15/34 | 337 | ||||||
500 | Series 2999, Class ND, 4.500%, 07/15/20 | 550 | ||||||
218 | Series 3068, Class AO, PO, 01/15/35 | 214 | ||||||
294 | Series 3117, Class EO, PO, 02/15/36 | 283 | ||||||
35 | Series 3117, Class OK, PO, 02/15/36 | 33 | ||||||
468 | Series 3122, Class OH, PO, 03/15/36 | 435 | ||||||
410 | Series 3137, Class XP, 6.000%, 04/15/36 | 463 | ||||||
20 | Series 3149, Class SO, PO, 05/15/36 | 19 | ||||||
522 | Series 3152, Class MO, PO, 03/15/36 | 484 | ||||||
233 | Series 3171, Class MO, PO, 06/15/36 | 224 | ||||||
211 | Series 3179, Class OA, PO, 07/15/36 | 204 | ||||||
878 | Series 3202, Class HI, IF, IO, 6.411%, 08/15/36 | 157 | ||||||
207 | Series 3232, Class ST, IF, IO, 6.461%, 10/15/36 | 34 | ||||||
250 | Series 3253, Class PO, PO, 12/15/21 | 237 | ||||||
170 | Series 3316, Class JO, PO, 05/15/37 | 157 | ||||||
488 | Series 3481, Class SJ, IF, IO, 5.611%, 08/15/38 | 71 | ||||||
288 | Series 3607, Class AO, PO, 04/15/36 | 273 | ||||||
204 | Series 3607, Class EO, PO, 02/15/33 | 202 | ||||||
187 | Series 3611, Class PO, PO, 07/15/34 | 178 | ||||||
883 | Series 3666, Class VA, 5.500%, 12/15/22 | 965 | ||||||
880 | Series 3680, Class MA, 4.500%, 07/15/39 | 964 | ||||||
784 | Series 3804, Class FN, VAR, 0.689%, 03/15/39 | 786 | ||||||
1,072 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 1,247 | ||||||
491 | Series 3997, Class PF, VAR, 0.689%, 11/15/39 | 492 | ||||||
101 | Federal Home Loan Mortgage Corp. STRIPS, Series 243, Class 16, IO, 4.500%, 11/15/20 | 8 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
53 | Series T-41, Class 3A, VAR, 6.957%, 07/25/32 | 61 | ||||||
44 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 53 | ||||||
434 | Series T-54, Class 2A, 6.500%, 02/25/43 | 484 | ||||||
152 | Series T-54, Class 3A, 7.000%, 02/25/43 | 182 | ||||||
1,157 | Series T-56, Class A5, 5.231%, 05/25/43 | 1,296 | ||||||
40 | Series T-58, Class APO, PO, 09/25/43 | 38 | ||||||
313 | Series T-76, Class 2A, VAR, 4.727%, 10/25/37 | 318 | ||||||
500 | Federal National Mortgage Association, Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 | 566 | ||||||
149 | Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41 | 176 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
2 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 3 | ||||||
11 | Series 1989-70, Class G, 8.000%, 10/25/19 | 12 | ||||||
4 | Series 1989-78, Class H, 9.400%, 11/25/19 | 5 | ||||||
3 | Series 1989-83, Class H, 8.500%, 11/25/19 | 4 | ||||||
3 | Series 1989-89, Class H, 9.000%, 11/25/19 | 4 | ||||||
1 | Series 1990-1, Class D, 8.800%, 01/25/20 | 1 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
2 | Series 1990-7, Class B, 8.500%, 01/25/20 | 2 | ||||||
2 | Series 1990-60, Class K, 5.500%, 06/25/20 | 2 | ||||||
2 | Series 1990-63, Class H, 9.500%, 06/25/20 | 2 | ||||||
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 | |||||
13 | Series 1990-102, Class J, 6.500%, 08/25/20 | 14 | ||||||
4 | Series 1990-120, Class H, 9.000%, 10/25/20 | 5 | ||||||
1 | Series 1990-134, Class SC, HB, IF, 21.225%, 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) | ||||
5 | Series 1991-42, Class S, IF, 17.238%, 05/25/21 | 7 | ||||||
75 | Series 1992-107, Class SB, HB, IF, 29.329%, 06/25/22 | 136 | ||||||
6 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 6 | ||||||
40 | Series 1993-25, Class J, 7.500%, 03/25/23 | 47 | ||||||
236 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 269 | ||||||
84 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 96 | ||||||
18 | Series 1993-62, Class SA, IF, 17.820%, 04/25/23 | 27 | ||||||
22 | Series 1993-122, Class M, 6.500%, 07/25/23 | 25 | ||||||
9 | Series 1993-165, Class SD, IF, 12.389%, 09/25/23 | 11 | ||||||
37 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 41 | ||||||
673 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 756 | ||||||
276 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 310 | ||||||
14 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 | 17 | ||||||
59 | Series 1993-247, Class SA, HB, IF, 25.860%, 12/25/23 | 96 | ||||||
97 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 102 | ||||||
60 | Series 1993-257, Class C, PO, 06/25/23 | 59 | ||||||
4 | Series 1994-9, Class E, PO, 11/25/23 | 3 | ||||||
155 | Series 1996-14, Class SE, IF, IO, 8.750%, 08/25/23 | 33 | ||||||
7 | Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 | 7 | ||||||
19 | Series 1996-59, Class J, 6.500%, 08/25/22 | 21 | ||||||
15 | Series 1996-59, Class K, 6.500%, 07/25/23 | 15 | ||||||
80 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 4 | ||||||
79 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 4 | ||||||
42 | Series 1997-27, Class J, 7.500%, 04/18/27 | 47 | ||||||
39 | Series 1997-29, Class J, 7.500%, 04/20/27 | 45 | ||||||
83 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 97 | ||||||
32 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 5 | ||||||
3 | Series 1998-4, Class C, PO, 04/25/23 | 3 | ||||||
45 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 50 | ||||||
354 | Series 1998-43, Class EA, PO, 04/25/23 | 325 | ||||||
194 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 228 | ||||||
69 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 75 | ||||||
25 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 25 | ||||||
180 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 37 | ||||||
169 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 199 | ||||||
45 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 53 | ||||||
291 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 327 | ||||||
45 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 52 | ||||||
98 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 105 | ||||||
129 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 137 | ||||||
714 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 764 | ||||||
33 | Series 2001-81, Class LO, PO, 01/25/32 | 32 | ||||||
94 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 101 | ||||||
37 | Series 2002-1, Class SA, HB, IF, 24.412%, 02/25/32 | 64 | ||||||
59 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 64 | ||||||
121 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 129 | ||||||
119 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 133 | ||||||
218 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 236 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
115 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 133 | ||||||
149 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 164 | ||||||
442 | Series 2002-84, Class VB, 5.500%, 04/25/15 | 454 | ||||||
7 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | | (h) | |||||
311 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 334 | ||||||
202 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 223 | ||||||
162 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 189 | ||||||
304 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 376 | ||||||
28 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 4 | ||||||
405 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 465 | ||||||
68 | Series 2003-52, Class SX, HB, IF, 22.234%, 10/25/31 | 115 | ||||||
74 | Series 2003-64, Class SX, IF, 13.153%, 07/25/33 | 87 | ||||||
286 | Series 2003-71, Class DS, IF, 7.148%, 08/25/33 | 300 | ||||||
148 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 150 | ||||||
261 | Series 2003-80, Class SY, IF, IO, 7.411%, 06/25/23 | 30 | ||||||
284 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 308 | ||||||
49 | Series 2003-91, Class SD, IF, 12.102%, 09/25/33 | 57 | ||||||
360 | Series 2003-116, Class SB, IF, IO, 7.361%, 11/25/33 | 70 | ||||||
35 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 36 | ||||||
500 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 531 | ||||||
84 | Series 2003-130, Class SX, IF, 11.162%, 01/25/34 | 98 | ||||||
19 | Series 2004-14, Class SD, IF, 8.717%, 03/25/34 | 20 | ||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,067 | ||||||
17 | Series 2004-21, Class CO, PO, 04/25/34 | 16 | ||||||
405 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 449 | ||||||
256 | Series 2004-25, Class SA, IF, 18.868%, 04/25/34 | 384 | ||||||
263 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 292 | ||||||
206 | Series 2004-36, Class SA, IF, 18.868%, 05/25/34 | 309 | ||||||
158 | Series 2004-46, Class SK, IF, 15.843%, 05/25/34 | 212 | ||||||
772 | Series 2004-50, Class VZ, 5.500%, 07/25/34 | 915 | ||||||
12 | Series 2004-61, Class CO, PO, 10/25/31 | 12 | ||||||
121 | Series 2004-61, Class SH, HB, IF, 23.033%, 11/25/32 | 206 | ||||||
136 | Series 2004-74, Class SW, IF, 15.021%, 11/25/31 | 186 | ||||||
240 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 253 | ||||||
1,750 | Series 2004-86, Class AE, 4.500%, 02/25/32 | 1,797 | ||||||
34 | Series 2005-40, Class YA, 5.000%, 09/25/20 | 35 | ||||||
197 | Series 2005-45, Class DC, HB, IF, 23.435%, 06/25/35 | 319 | ||||||
97 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 105 | ||||||
184 | Series 2005-56, Class S, IF, IO, 6.471%, 07/25/35 | 32 | ||||||
333 | Series 2005-56, Class TP, IF, 17.434%, 08/25/33 | 492 | ||||||
1,043 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 1,179 | ||||||
400 | Series 2005-73, Class PS, IF, 16.103%, 08/25/35 | 548 | ||||||
186 | Series 2005-74, Class CS, IF, 19.363%, 05/25/35 | 276 | ||||||
368 | Series 2005-106, Class US, HB, IF, 23.691%, 11/25/35 | 598 | ||||||
1,000 | Series 2005-121, Class DX, 5.500%, 01/25/26 | 1,141 | ||||||
460 | Series 2006-27, Class OH, PO, 04/25/36 | 431 | ||||||
317 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 321 | ||||||
179 | Series 2006-44, Class P, PO, 12/25/33 | 173 | ||||||
858 | Series 2006-56, Class FC, VAR, 0.529%, 07/25/36 | 858 | ||||||
369 | Series 2006-59, Class QO, PO, 01/25/33 | 363 | ||||||
169 | Series 2006-65, Class QO, PO, 07/25/36 | 162 | ||||||
240 | Series 2006-72, Class GO, PO, 08/25/36 | 229 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
431 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 494 | ||||||
197 | Series 2006-79, Class DO, PO, 08/25/36 | 189 | ||||||
404 | Series 2006-110, Class PO, PO, 11/25/36 | 388 | ||||||
954 | Series 2006-124, Class HB, VAR, 5.966%, 11/25/36 | 1,046 | ||||||
338 | Series 2007-14, Class ES, IF, IO, 6.201%, 03/25/37 | 50 | ||||||
206 | Series 2007-79, Class SB, HB, IF, 23.141%, 08/25/37 | 311 | ||||||
500 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 600 | ||||||
537 | Series 2007-84, Class PD, 6.000%, 08/25/32 | 542 | ||||||
391 | Series 2007-88, Class VI, IF, IO, 6.301%, 09/25/37 | 63 | ||||||
1,000 | Series 2007-91, Class ES, IF, IO, 6.221%, 10/25/37 | 172 | ||||||
245 | Series 2007-106, Class A7, VAR, 5.953%, 10/25/37 | 272 | ||||||
218 | Series 2007-116, Class HI, IO, VAR, 5.837%, 01/25/38 | 11 | ||||||
170 | Series 2008-10, Class XI, IF, IO, 5.991%, 03/25/38 | 26 | ||||||
200 | Series 2008-16, Class IS, IF, IO, 5.961%, 03/25/38 | 30 | ||||||
224 | Series 2008-28, Class QS, IF, 19.984%, 04/25/38 | 337 | ||||||
224 | Series 2008-46, Class HI, IO, VAR, 6.576%, 06/25/38 | 12 | ||||||
54 | Series 2008-66, Class GD, 6.000%, 06/25/30 | 55 | ||||||
258 | Series 2009-69, Class PO, PO, 09/25/39 | 249 | ||||||
758 | Series 2009-71, Class BC, 4.500%, 09/25/24 | 890 | ||||||
389 | Series 2009-103, Class MB, VAR, 4.027%, 12/25/39 | 416 | ||||||
769 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 849 | ||||||
1,265 | Series 2010-133, Class A, 5.500%, 05/25/38 | 1,359 | ||||||
886 | Series 2011-118, Class MT, 7.000%, 11/25/41 | 1,091 | ||||||
876 | Series 2011-118, Class NT, 7.000%, 11/25/41 | 1,026 | ||||||
976 | Series 2011-149, Class EF, VAR, 0.739%, 07/25/41 | 977 | ||||||
495 | Series 2012-47, Class HF, VAR, 0.639%, 05/25/27 | 496 | ||||||
4 | Series G-14, Class L, 8.500%, 06/25/21 | 4 | ||||||
18 | Series G-18, Class Z, 8.750%, 06/25/21 | 21 | ||||||
4 | Series G-22, Class G, 6.000%, 12/25/16 | 4 | ||||||
14 | Series G-35, Class M, 8.750%, 10/25/21 | 16 | ||||||
56 | Series G92-35, Class E, 7.500%, 07/25/22 | 63 | ||||||
3 | Series G92-42, Class Z, 7.000%, 07/25/22 | 4 | ||||||
58 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 66 | ||||||
58 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 66 | ||||||
13 | Series G93-5, Class Z, 6.500%, 02/25/23 | 15 | ||||||
18 | Series G95-1, Class C, 8.800%, 01/25/25 | 20 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
1 | Series 50, Class 2, IO, 10.500%, 03/01/19 | | (h) | |||||
4 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 1 | ||||||
171 | Series 300, Class 1, PO, 09/01/24 | 160 | ||||||
38 | Series 329, Class 1, PO, 01/01/33 | 37 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
205 | Series 2003-W1, Class 1A1, VAR, 6.254%, 12/25/42 | 236 | ||||||
58 | Series 2003-W4, Class 2A, VAR, 6.489%, 10/25/42 | 65 | ||||||
137 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 158 | ||||||
426 | Series 2005-W3, Class 2AF, VAR, 0.459%, 03/25/45 | 424 | ||||||
108 | Series 2007-W7, Class 1A4, HB, IF, 37.747%, 07/25/37 | 191 | ||||||
Government National Mortgage Association, | ||||||||
50 | Series 1994-3, Class PQ, 7.488%, 07/16/24 | 60 | ||||||
161 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 187 | ||||||
304 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 357 | ||||||
75 | Series 1995-3, Class DQ, 8.050%, 06/16/25 | 88 | ||||||
18 | Series 1995-7, Class CQ, 7.500%, 09/16/25 | 21 | ||||||
141 | Series 1996-16, Class E, 7.500%, 08/16/26 | 162 | ||||||
28 | Series 1998-26, Class K, 7.500%, 09/17/25 | 33 | ||||||
417 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 488 | ||||||
46 | Series 1999-30, Class S, IF, IO, 8.361%, 08/16/29 | 8 | ||||||
46 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 54 | ||||||
39 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 45 | ||||||
86 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 100 | ||||||
16 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 20 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
362 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 440 | ||||||
138 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 163 | ||||||
38 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 40 | ||||||
213 | Series 2000-37, Class B, 8.000%, 12/20/30 | 250 | ||||||
116 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 124 | ||||||
7 | Series 2001-32, Class WA, IF, 19.526%, 07/20/31 | 12 | ||||||
251 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 266 | ||||||
43 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 50 | ||||||
61 | Series 2002-31, Class S, IF, IO, 8.461%, 01/16/31 | 17 | ||||||
163 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 192 | ||||||
154 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 182 | ||||||
203 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 233 | ||||||
196 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 231 | ||||||
16 | Series 2002-51, Class SG, HB, IF, 31.461%, 04/20/31 | 32 | ||||||
92 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 106 | ||||||
50 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 1 | ||||||
73 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 75 | ||||||
33 | Series 2003-24, Class PO, PO, 03/16/33 | 29 | ||||||
304 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 382 | ||||||
162 | Series 2003-52, Class AP, PO, 06/16/33 | 145 | ||||||
36 | Series 2004-28, Class S, IF, 19.006%, 04/16/34 | 55 | ||||||
51 | Series 2004-68, Class PO, PO, 05/20/31 | 51 | ||||||
127 | Series 2004-71, Class SB, HB, IF, 28.287%, 09/20/34 | 207 | ||||||
67 | Series 2004-73, Class AE, IF, 14.363%, 08/17/34 | 84 | ||||||
636 | Series 2004-90, Class SI, IF, IO, 5.860%, 10/20/34 | 100 | ||||||
189 | Series 2005-68, Class DP, IF, 15.858%, 06/17/35 | 277 | ||||||
1,342 | Series 2005-68, Class KI, IF, IO, 6.060%, 09/20/35 | 218 | ||||||
148 | Series 2006-59, Class SD, IF, IO, 6.460%, 10/20/36 | 23 | ||||||
510 | Series 2007-17, Class JI, IF, IO, 6.571%, 04/16/37 | 86 | ||||||
616 | Series 2007-27, Class SA, IF, IO, 5.960%, 05/20/37 | 96 | ||||||
989 | Series 2007-40, Class SB, IF, IO, 6.510%, 07/20/37 | 162 | ||||||
625 | Series 2007-45, Class QA, IF, IO, 6.400%, 07/20/37 | 100 | ||||||
187 | Series 2007-49, Class NO, PO, 12/20/35 | 185 | ||||||
734 | Series 2007-50, Class AI, IF, IO, 6.535%, 08/20/37 | 116 | ||||||
150 | Series 2007-53, Class ES, IF, IO, 6.310%, 09/20/37 | 25 | ||||||
184 | Series 2007-53, Class SW, IF, 19.486%, 09/20/37 | 271 | ||||||
366 | Series 2007-57, Class QA, IF, IO, 6.260%, 10/20/37 | 55 | ||||||
248 | Series 2007-71, Class SB, IF, IO, 6.460%, 07/20/36 | 29 | ||||||
356 | Series 2007-72, Class US, IF, IO, 6.310%, 11/20/37 | 56 | ||||||
355 | Series 2007-76, Class SA, IF, IO, 6.290%, 11/20/37 | 54 | ||||||
97 | Series 2008-25, Class SB, IF, IO, 6.660%, 03/20/38 | 14 | ||||||
208 | Series 2008-33, Class XS, IF, IO, 7.461%, 04/16/38 | 32 | ||||||
429 | Series 2008-40, Class SA, IF, IO, 6.161%, 05/16/38 | 87 | ||||||
500 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 582 | ||||||
511 | Series 2008-55, Class SA, IF, IO, 5.960%, 06/20/38 | 76 | ||||||
440 | Series 2008-93, Class AS, IF, IO, 5.460%, 12/20/38 | 58 | ||||||
192 | Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 | 24 | ||||||
206 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 37 | ||||||
776 | Series 2009-22, Class SA, IF, IO, 6.030%, 04/20/39 | 113 | ||||||
771 | Series 2009-31, Class ST, IF, IO, 6.110%, 03/20/39 | 99 | ||||||
771 | Series 2009-31, Class TS, IF, IO, 6.060%, 03/20/39 | 103 | ||||||
499 | Series 2009-79, Class OK, PO, 11/16/37 | 451 | ||||||
1,029 | Series 2009-106, Class ST, IF, IO, 5.760%, 02/20/38 | 152 | ||||||
306 | Series 2010-14, Class AO, PO, 12/20/32 | 297 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Agency CMO Continued | ||||||||
354 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 416 | ||||||
929 | Series 2011-137, Class WA, VAR, 5.543%, 07/20/40 | 1,050 | ||||||
NCUA Guaranteed Notes, | ||||||||
762 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 797 | ||||||
189 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 194 | ||||||
Vendee Mortgage Trust, | ||||||||
795 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 922 | ||||||
318 | Series 1994-1, Class 1, VAR, 5.628%, 02/15/24 | 362 | ||||||
466 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 545 | ||||||
161 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 190 | ||||||
632 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 749 | ||||||
157 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 189 | ||||||
|
|
|||||||
81,902 | ||||||||
|
|
|||||||
Non-Agency CMO 5.6% | ||||||||
American General Mortgage Loan Trust, | ||||||||
350 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 353 | ||||||
200 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 203 | ||||||
400 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 410 | ||||||
ASG Resecuritization Trust, | ||||||||
208 | Series 2009-1, Class A60, VAR, 3.671%, 06/26/37 (e) | 208 | ||||||
226 | Series 2009-2, Class A55, VAR, 5.191%, 05/24/36 (e) | 224 | ||||||
505 | Series 2009-3, Class A65, VAR, 2.674%, 03/26/37 (e) | 497 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
176 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 181 | ||||||
134 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 138 | ||||||
54 | Series 2003-11, Class PO, PO, 01/25/34 | 38 | ||||||
61 | Banc of America Funding Corp., Series 2004-1, Class PO, PO, 03/25/34 | 48 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
35 | Series 2003-8, Class APO, PO, 11/25/33 | 33 | ||||||
68 | Series 2004-1, Class APO, PO, 02/25/34 | 65 | ||||||
200 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 205 | ||||||
55 | Series 2004-6, Class APO, PO, 07/25/34 | 51 | ||||||
BCAP LLC Trust, | ||||||||
445 | Series 2010-RR7, Class 2A1, VAR, 3.890%, 07/26/45 (e) | 417 | ||||||
160 | Series 2011-RR5, Class 14A3, VAR, 2.796%, 07/26/36 (e) (f) (i) | 152 | ||||||
468 | Series 2011-RR10, Class 2A1, 0.000%, VAR, 09/26/37 (e) | 410 | ||||||
466 | Series 2012-RR2, Class 1A1, VAR, 0.409%, 08/26/36 (e) (f) (i) | 441 | ||||||
180 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A1, VAR, 2.220%, 08/25/35 | 173 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
34 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 35 | ||||||
109 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 114 | ||||||
15 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 15 | ||||||
11 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 11 | ||||||
238 | Series 2008-AR4, Class 1A1A, VAR, 3.029%, 11/25/38 (e) | 237 | ||||||
1,123 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 1,153 | ||||||
601 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 620 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
275 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 289 | ||||||
1,613 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,556 | ||||||
212 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 217 | ||||||
478 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 413 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
261 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 261 | ||||||
73 | Series 2003-J7, Class 4A3, IF, 9.464%, 08/25/18 | 80 | ||||||
50 | Series 2003-J13, Class PO, PO, 01/25/34 | 47 | ||||||
146 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 152 | ||||||
46 | Series 2004-HYB3, Class 2A, VAR, 2.789%, 06/20/34 | 38 | ||||||
456 | Series 2005-22, Class 2A1, VAR, 2.705%, 11/25/35 | 321 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
230 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 163 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
52 | Series 2010-15R, Class 7A1, VAR, 4.428%, 10/26/37 (e) | 51 | ||||||
1,122 | Series 2011-7R, Class A1, VAR, 1.489%, 08/28/47 (e) | 1,103 | ||||||
404 | Series 2011-9R, Class A1, VAR, 2.239%, 03/27/46 (e) | 401 | ||||||
252 | Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) | 252 | ||||||
128 | CS First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 132 | ||||||
330 | Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2005-3, Class 1A1, VAR, 5.300%, 06/25/20 | 323 | ||||||
42 | Deutsche Mortgage Securities, Inc., Series 2004-1, Class 2APO, PO, 10/25/18 | 35 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
39 | Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 | 38 | ||||||
202 | Series 2004-AR7, Class 2A2, VAR, 2.616%, 02/25/35 | 187 | ||||||
218 | Series 2005-AR1, Class 2A2, VAR, 2.625%, 04/25/35 | 209 | ||||||
500 | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 446 | ||||||
59 | Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33 | 44 | ||||||
364 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.033%, 08/25/35 | 2 | ||||||
JP Morgan Mortgage Trust, | ||||||||
128 | Series 2006-A2, Class 4A1, VAR, 2.797%, 08/25/34 | 124 | ||||||
426 | Series 2006-A2, Class 5A3, VAR, 2.653%, 11/25/33 | 422 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
52 | Series 2004-3, Class 4A2, VAR, 2.577%, 04/25/34 | 49 | ||||||
390 | Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 383 | ||||||
75 | Series 2004-13, Class 3A6, VAR, 2.697%, 11/21/34 | 76 | ||||||
MASTR Alternative Loans Trust, | ||||||||
253 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 269 | ||||||
799 | Series 2004-4, Class 10A1, 5.000%, 05/25/24 | 829 | ||||||
41 | Series 2004-7, Class 30PO, PO, 08/25/34 | 31 | ||||||
65 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 66 | ||||||
289 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 275 | ||||||
MASTR Asset Securitization Trust, | ||||||||
170 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 175 | ||||||
26 | Series 2004-8, Class PO, PO, 08/25/19 | 26 | ||||||
182 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 142 | ||||||
65 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.559%, 02/25/35 | 54 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
90 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 94 | ||||||
26 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 27 | ||||||
13 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 14 | ||||||
87 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 86 | ||||||
(h) | Paine Webber CMO Trust, Series H, Class 4, 8.750%, 04/01/18 | | (h) | |||||
Residential Accredit Loans, Inc., | ||||||||
337 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 347 | ||||||
61 | Series 2002-QS16, Class A3, IF, 16.124%, 10/25/17 | 69 | ||||||
89 | Series 2003-QS3, Class A2, IF, 15.975%, 02/25/18 | 99 | ||||||
361 | Series 2003-QS9, Class A3, IF, IO, 7.311%, 05/25/18 | 51 | ||||||
329 | Series 2004-QS3, Class CB, 5.000%, 03/25/19 | 337 | ||||||
15 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 15 | ||||||
34 | Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19 | 35 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
135 | Series 2003-HYB1, Class A, VAR, 2.736%, 09/25/33 | 132 | ||||||
14 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 12 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Collateralized Mortgage Obligations Continued |
|||||||
Non-Agency CMO Continued | ||||||||
269 | Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) | 272 | ||||||
Structured Asset Securities Corp., | ||||||||
183 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 185 | ||||||
162 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 160 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
141 | Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) | 141 | ||||||
99 | Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) | 100 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
108 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 111 | ||||||
230 | Series 2003-AR5, Class A7, VAR, 2.455%, 06/25/33 | 231 | ||||||
21 | Series 2003-S11, Class 2A5, IF, 16.393%, 11/25/33 | 22 | ||||||
125 | Series 2004-AR3, Class A2, VAR, 2.588%, 06/25/34 | 123 | ||||||
359 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005- 4, Class CB7, 5.500%, 06/25/35 |
314 | ||||||
Washington Mutual MSC Mortgage Pass- Through Certificates, | ||||||||
69 | Series 2003-MS2, Class 1A1, 5.750%, 02/25/33 | 72 | ||||||
18 | Series 2003-MS7, Class P, PO, 03/25/33 | 17 | ||||||
237 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 238 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
34 | Series 2003-11, Class 1APO, PO, 10/25/18 | 34 | ||||||
158 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 161 | ||||||
136 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 141 | ||||||
128 | Series 2003-K, Class 1A1, VAR, 4.438%, 11/25/33 | 129 | ||||||
53 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 55 | ||||||
157 | Series 2004-BB, Class A4, VAR, 2.618%, 01/25/35 | 156 | ||||||
160 | Series 2004-EE, Class 3A1, VAR, 2.839%, 12/25/34 | 162 | ||||||
507 | Series 2004-P, Class 2A1, VAR, 2.674%, 09/25/34 | 506 | ||||||
|
|
|||||||
20,761 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $97,517) |
102,663 | |||||||
|
|
|||||||
|
Commercial Mortgage-Backed Securities 1.3% |
| ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
150 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 154 | ||||||
368 | Series 2005-6, Class ASB, VAR, 5.193%, 09/10/47 | 383 | ||||||
50 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 55 | ||||||
300 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 336 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
165 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 171 | ||||||
360 | Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 402 | ||||||
16,555 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.150%, 12/11/49 (e) |
130 | ||||||
229 | Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) | 233 | ||||||
300 | GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 325 | ||||||
50 | LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 | 55 | ||||||
296 | Merrill Lynch Mortgage Trust, Series 2005- MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 297 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
61 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 61 | ||||||
400 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 420 | ||||||
195 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 196 | ||||||
666 | Series 2012-XA, Class A, 2.000%, 07/27/49 | 664 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Commercial Mortgage-Backed Securities Continued |
|||||||
1,000 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.620%, 08/15/39 | 1,074 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities (Cost $4,709) |
4,956 | |||||||
|
|
|||||||
|
Corporate Bonds 18.9% |
| ||||||
Consumer Discretionary 1.1% | ||||||||
Auto Components 0.0% (g) | ||||||||
99 | Johnson Controls, Inc., 3.750%, 12/01/21 | 104 | ||||||
|
|
|||||||
Automobiles 0.1% | ||||||||
Daimler Finance North America LLC, | ||||||||
150 | 1.650%, 04/10/15 (e) | 150 | ||||||
150 | 2.625%, 09/15/16 (e) | 155 | ||||||
|
|
|||||||
305 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.1% | ||||||||
150 | McDonalds Corp., 4.300%, 03/01/13 | 154 | ||||||
|
|
|||||||
Household Durables 0.0% (g) | ||||||||
50 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 54 | ||||||
|
|
|||||||
Media 0.6% | ||||||||
CBS Corp., | ||||||||
25 | 5.750%, 04/15/20 | 29 | ||||||
135 | 8.875%, 05/15/19 | 180 | ||||||
200 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 | 211 | ||||||
100 | Comcast Corp., 5.900%, 03/15/16 | 115 | ||||||
50 | Cox Communications, Inc., 5.450%, 12/15/14 | 55 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
150 | 4.600%, 02/15/21 | 161 | ||||||
353 | 5.000%, 03/01/21 | 387 | ||||||
78 | Discovery Communications LLC, 4.375%, 06/15/21 | 84 | ||||||
News America, Inc., | ||||||||
100 | 7.250%, 05/18/18 | 121 | ||||||
100 | 7.700%, 10/30/25 | 126 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
105 | 3.950%, 09/30/21 | 114 | ||||||
60 | 4.700%, 10/15/19 | 69 | ||||||
Time Warner Cable, Inc., | ||||||||
100 | 5.850%, 05/01/17 | 116 | ||||||
50 | 6.750%, 07/01/18 | 61 | ||||||
100 | 8.250%, 02/14/14 | 112 | ||||||
150 | 8.250%, 04/01/19 | 196 | ||||||
35 | 8.750%, 02/14/19 | 46 | ||||||
Viacom, Inc., | ||||||||
33 | 1.250%, 02/27/15 | 33 | ||||||
43 | 3.875%, 12/15/21 | 46 | ||||||
50 | 4.500%, 03/01/21 | 56 | ||||||
|
|
|||||||
2,318 | ||||||||
|
|
|||||||
Multiline Retail 0.2% | ||||||||
Kohls Corp., | ||||||||
40 | 4.000%, 11/01/21 | 41 | ||||||
40 | 6.250%, 12/15/17 | 49 | ||||||
Macys Retail Holdings, Inc., | ||||||||
22 | 3.875%, 01/15/22 | 23 | ||||||
25 | 7.450%, 07/15/17 | 30 | ||||||
35 | Nordstrom, Inc., 4.000%, 10/15/21 | 39 | ||||||
400 | Target Corp., 6.000%, 01/15/18 | 490 | ||||||
|
|
|||||||
672 | ||||||||
|
|
|||||||
Specialty Retail 0.1% | ||||||||
59 | Gap, Inc. (The), 5.950%, 04/12/21 | 61 | ||||||
130 | Home Depot, Inc. (The), 5.400%, 03/01/16 | 150 | ||||||
95 | Staples, Inc., 9.750%, 01/15/14 | 107 | ||||||
|
|
|||||||
318 | ||||||||
|
|
|||||||
Total Consumer Discretionary | 3,925 | |||||||
|
|
|||||||
Consumer Staples 0.7% | ||||||||
Beverages 0.2% | ||||||||
75 | Anheuser-Busch Cos. LLC, 5.500%, 01/15/18 | 89 | ||||||
200 | Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 | 265 | ||||||
Coca-Cola Co. (The), | ||||||||
100 | 3.625%, 03/15/14 | 105 | ||||||
50 | 4.875%, 03/15/19 | 60 | ||||||
70 | Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 | 82 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
30 | 5.300%, 10/28/15 | 34 | ||||||
100 | 5.500%, 04/01/13 | 104 | ||||||
85 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 93 | ||||||
PepsiCo, Inc., | ||||||||
33 | 0.800%, 08/25/14 | 33 | ||||||
31 | 3.000%, 08/25/21 | 32 | ||||||
6 | 7.900%, 11/01/18 | 8 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Beverages Continued | ||||||||
30 | SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) | 35 | ||||||
|
|
|||||||
940 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.1% | ||||||||
56 | CVS Pass-Through Trust, 5.926%, 01/10/34 (e) | 63 | ||||||
Kroger Co. (The), | ||||||||
50 | 2.200%, 01/15/17 | 51 | ||||||
30 | 6.150%, 01/15/20 | 36 | ||||||
75 | 6.400%, 08/15/17 | 91 | ||||||
50 | 7.500%, 01/15/14 | 55 | ||||||
|
|
|||||||
296 | ||||||||
|
|
|||||||
Food Products 0.4% | ||||||||
Bunge Ltd. Finance Corp., | ||||||||
50 | 5.875%, 05/15/13 | 52 | ||||||
135 | 8.500%, 06/15/19 | 172 | ||||||
14 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 16 | ||||||
Cargill, Inc., | ||||||||
100 | 3.300%, 03/01/22 (e) | 103 | ||||||
106 | 4.307%, 05/14/21 (e) | 118 | ||||||
Kellogg Co., | ||||||||
100 | 4.250%, 03/06/13 | 103 | ||||||
200 | 5.125%, 12/03/12 | 204 | ||||||
Kraft Foods, Inc., | ||||||||
100 | 5.375%, 02/10/20 | 118 | ||||||
450 | 6.125%, 02/01/18 | 536 | ||||||
|
|
|||||||
1,422 | ||||||||
|
|
|||||||
Household Products 0.0% (g) | ||||||||
20 | Kimberly-Clark Corp., 2.400%, 03/01/22 | 20 | ||||||
76 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 102 | ||||||
|
|
|||||||
122 | ||||||||
|
|
|||||||
Total Consumer Staples | 2,780 | |||||||
|
|
|||||||
Energy 0.8% | ||||||||
Energy Equipment & Services 0.1% | ||||||||
12 | Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22 | 12 | ||||||
47 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) | 50 | ||||||
Transocean, Inc., (Cayman Islands), | ||||||||
35 | 6.375%, 12/15/21 | 40 | ||||||
100 | 6.500%, 11/15/20 | 116 | ||||||
33 | Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22 | 34 | ||||||
|
|
|||||||
252 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.7% | ||||||||
Apache Corp., | ||||||||
57 | 3.250%, 04/15/22 | 59 | ||||||
25 | 6.900%, 09/15/18 | 32 | ||||||
150 | Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18 | 178 | ||||||
150 | ConocoPhillips, 5.750%, 02/01/19 | 184 | ||||||
150 | Devon Energy Corp., 1.875%, 05/15/17 | 150 | ||||||
80 | Encana Corp., (Canada), 6.500%, 05/15/19 | 97 | ||||||
200 | ENI S.p.A., (Italy), 4.150%, 10/01/20 (e) | 200 | ||||||
100 | EOG Resources, Inc., 4.100%, 02/01/21 | 111 | ||||||
Marathon Oil Corp., | ||||||||
228 | 5.900%, 03/15/18 | 268 | ||||||
175 | 6.000%, 10/01/17 | 206 | ||||||
35 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 36 | ||||||
40 | PC Financial Partnership, 5.000%, 11/15/14 | 43 | ||||||
90 | Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21 | 96 | ||||||
97 | Petro-Canada, (Canada), 6.050%, 05/15/18 | 115 | ||||||
43 | Phillips 66, 2.950%, 05/01/17 (e) | 44 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
55 | 1.875%, 03/25/13 | 56 | ||||||
184 | 3.100%, 06/28/15 | 196 | ||||||
55 | 4.000%, 03/21/14 | 58 | ||||||
195 | 4.375%, 03/25/20 | 228 | ||||||
Statoil ASA, (Norway), | ||||||||
67 | 3.125%, 08/17/17 | 72 | ||||||
83 | 3.150%, 01/23/22 | 87 | ||||||
50 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 62 | ||||||
44 | Total Capital International S.A., (France), 1.500%, 02/17/17 | 44 | ||||||
175 | Total Capital S.A., (France), 2.300%, 03/15/16 | 181 | ||||||
|
|
|||||||
2,803 | ||||||||
|
|
|||||||
Total Energy | 3,055 | |||||||
|
|
|||||||
Financials 11.2% | ||||||||
Capital Markets 2.6% | ||||||||
Bank of New York Mellon Corp. (The), | ||||||||
250 | 2.950%, 06/18/15 | 263 | ||||||
75 | 3.100%, 01/15/15 | 79 | ||||||
75 | 4.600%, 01/15/20 | 85 | ||||||
BlackRock, Inc., | ||||||||
325 | 3.500%, 12/10/14 | 345 | ||||||
326 | 5.000%, 12/10/19 | 375 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Capital Markets Continued | ||||||||
150 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 157 | ||||||
40 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 43 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
100 | 3.300%, 05/03/15 | 99 | ||||||
255 | 3.625%, 02/07/16 | 251 | ||||||
66 | 3.700%, 08/01/15 | 66 | ||||||
68 | 5.375%, 03/15/20 | 69 | ||||||
300 | 5.500%, 11/15/14 | 315 | ||||||
80 | 5.750%, 01/24/22 | 82 | ||||||
1,100 | 5.950%, 01/18/18 | 1,149 | ||||||
250 | 7.500%, 02/15/19 | 284 | ||||||
Jefferies Group, Inc., | ||||||||
111 | 3.875%, 11/09/15 | 107 | ||||||
150 | 5.125%, 04/13/18 | 142 | ||||||
125 | 8.500%, 07/15/19 | 133 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
150 | 6.000%, 01/14/20 (e) | 150 | ||||||
100 | 7.300%, 08/01/14 (e) | 106 | ||||||
40 | 7.625%, 08/13/19 (e) | 44 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
200 | 5.000%, 01/15/15 | 205 | ||||||
157 | 5.450%, 07/15/14 | 165 | ||||||
50 | 6.150%, 04/25/13 | 52 | ||||||
814 | 6.400%, 08/28/17 | 865 | ||||||
266 | 6.875%, 04/25/18 | 292 | ||||||
Morgan Stanley, | ||||||||
104 | 4.000%, 07/24/15 | 101 | ||||||
195 | 4.200%, 11/20/14 | 192 | ||||||
147 | 4.750%, 04/01/14 | 145 | ||||||
800 | 5.300%, 03/01/13 | 816 | ||||||
166 | 5.500%, 07/24/20 | 155 | ||||||
100 | 5.500%, 07/28/21 | 94 | ||||||
450 | 5.625%, 09/23/19 | 429 | ||||||
175 | 5.750%, 08/31/12 | 177 | ||||||
100 | 5.750%, 01/25/21 | 94 | ||||||
250 | 6.000%, 05/13/14 | 254 | ||||||
100 | 6.625%, 04/01/18 | 101 | ||||||
100 | 7.300%, 05/13/19 | 104 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
85 | 4.125%, 01/19/16 | 86 | ||||||
178 | 6.700%, 03/04/20 | 197 | ||||||
45 | Northern Trust Corp., 5.500%, 08/15/13 | 47 | ||||||
UBS AG, (Switzerland), | ||||||||
500 | 3.875%, 01/15/15 | 516 | ||||||
100 | 5.750%, 04/25/18 | 110 | ||||||
100 | 5.875%, 12/20/17 | 110 | ||||||
|
|
|||||||
9,651 | ||||||||
|
|
|||||||
Commercial Banks 3.6% | ||||||||
100 | ANZ National (International) Ltd., (New Zealand), 3.125%, 08/10/15 (e) | 103 | ||||||
250 | Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e) | 257 | ||||||
250 | Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) | 253 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
121 | 1.650%, 10/29/15 (e) | 124 | ||||||
175 | 2.550%, 01/12/17 | 182 | ||||||
123 | 3.400%, 01/22/15 | 129 | ||||||
136 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 144 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
410 | 2.500%, 01/23/13 | 413 | ||||||
200 | 2.500%, 09/21/15 (e) | 199 | ||||||
100 | 3.900%, 04/07/15 | 103 | ||||||
200 | 5.200%, 07/10/14 | 210 | ||||||
250 | 6.050%, 12/04/17 (e) | 251 | ||||||
BB&T Corp., | ||||||||
70 | 3.375%, 09/25/13 | 72 | ||||||
80 | 3.850%, 07/27/12 | 81 | ||||||
125 | 3.950%, 04/29/16 | 136 | ||||||
100 | 4.900%, 06/30/17 | 109 | ||||||
150 | 5.700%, 04/30/14 | 163 | ||||||
152 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 155 | ||||||
1,000 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 1,052 | ||||||
55 | Comerica, Inc., 3.000%, 09/16/15 | 57 | ||||||
250 | Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e) | 255 | ||||||
Credit Suisse, (Switzerland), | ||||||||
100 | 5.400%, 01/14/20 | 102 | ||||||
350 | 6.000%, 02/15/18 | 372 | ||||||
350 | Fifth Third Bancorp, 5.450%, 01/15/17 | 382 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
196 | 4.000%, 03/30/22 | 199 | ||||||
300 | 4.875%, 01/14/22 | 329 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Commercial Banks Continued | ||||||||
250 | HSBC USA, Inc., 2.375%, 02/13/15 | 251 | ||||||
200 | ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e) | 197 | ||||||
100 | KeyCorp, 6.500%, 05/14/13 | 105 | ||||||
163 | Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) | 166 | ||||||
300 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 353 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
200 | 2.500%, 01/08/13 (e) | 202 | ||||||
300 | 2.750%, 09/28/15 (e) | 307 | ||||||
100 | 3.750%, 03/02/15 (e) | 105 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
100 | 1.750%, 10/04/13 (e) | 100 | ||||||
300 | 3.125%, 03/20/17 (e) | 302 | ||||||
PNC Funding Corp., | ||||||||
133 | 4.375%, 08/11/20 | 147 | ||||||
265 | 5.125%, 02/08/20 | 306 | ||||||
110 | 5.250%, 11/15/15 | 122 | ||||||
115 | 5.625%, 02/01/17 | 129 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
250 | 3.200%, 03/11/15 (e) | 258 | ||||||
34 | 3.375%, 01/19/17 | 35 | ||||||
118 | 3.875%, 02/08/22 | 118 | ||||||
200 | Royal Bank of Canada, (Canada), 1.150%, 03/13/15 | 200 | ||||||
170 | SunTrust Banks, Inc., 5.250%, 11/05/12 | 173 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
200 | 1.500%, 03/13/17 (e) | 202 | ||||||
235 | 2.200%, 07/29/15 (e) | 244 | ||||||
U.S. Bancorp, | ||||||||
150 | 2.450%, 07/27/15 | 155 | ||||||
208 | 2.875%, 11/20/14 | 218 | ||||||
250 | Wachovia Bank N.A., 6.000%, 11/15/17 | 289 | ||||||
Wachovia Corp., | ||||||||
235 | 4.875%, 02/15/14 | 246 | ||||||
850 | 5.750%, 02/01/18 | 985 | ||||||
Wells Fargo & Co., | ||||||||
415 | 5.625%, 12/11/17 | 482 | ||||||
500 | SUB, 3.676%, 06/15/16 | 530 | ||||||
315 | Wells Fargo Bank N.A., 4.750%, 02/09/15 | 335 | ||||||
285 | Westpac Banking Corp., (Australia), | |||||||
4.875%, 11/19/19 | 312 | |||||||
|
|
|||||||
13,406 | ||||||||
|
|
|||||||
Consumer Finance 0.9% | ||||||||
American Express Credit Corp., | ||||||||
139 | 2.800%, 09/19/16 | 143 | ||||||
200 | 7.300%, 08/20/13 | 215 | ||||||
American Honda Finance Corp., | ||||||||
333 | 1.450%, 02/27/15 (e) | 335 | ||||||
200 | 2.125%, 02/28/17 (e) | 203 | ||||||
250 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 317 | ||||||
Capital One Financial Corp., | ||||||||
100 | 6.750%, 09/15/17 | 119 | ||||||
245 | 7.375%, 05/23/14 | 270 | ||||||
HSBC Finance Corp., | ||||||||
200 | 5.250%, 01/15/14 | 210 | ||||||
202 | 6.375%, 11/27/12 | 207 | ||||||
John Deere Capital Corp., | ||||||||
50 | 2.250%, 04/17/19 | 51 | ||||||
33 | 3.150%, 10/15/21 | 35 | ||||||
66 | PACCAR Financial Corp., 1.600%, 03/15/17 | 66 | ||||||
100 | SLM Corp., 5.375%, 01/15/13 | 102 | ||||||
91 | Springleaf Finance Corp., 5.375%, 10/01/12 | 90 | ||||||
Toyota Motor Credit Corp., | ||||||||
120 | 1.000%, 02/17/15 | 120 | ||||||
225 | 1.750%, 05/22/17 | 226 | ||||||
200 | 2.000%, 09/15/16 | 204 | ||||||
100 | 2.050%, 01/12/17 | 102 | ||||||
154 | 3.200%, 06/17/15 | 163 | ||||||
100 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 101 | ||||||
|
|
|||||||
3,279 | ||||||||
|
|
|||||||
Diversified Financial Services 2.3% | ||||||||
250 | Associates Corp. of North America, 6.950%, 11/01/18 | 280 | ||||||
300 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 300 | ||||||
Bank of America Corp., | ||||||||
130 | 5.625%, 07/01/20 | 135 | ||||||
300 | 5.650%, 05/01/18 | 312 | ||||||
90 | 5.700%, 01/24/22 | 96 | ||||||
170 | 5.750%, 12/01/17 | 177 | ||||||
50 | 5.875%, 01/05/21 | 52 | ||||||
100 | 6.500%, 08/01/16 | 108 | ||||||
125 | 7.375%, 05/15/14 | 135 | ||||||
425 | Bank of America N.A., 5.300%, 03/15/17 | 433 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Diversified Financial Services Continued | ||||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
100 | 4.742%, 03/11/21 | 114 | ||||||
300 | 5.250%, 11/07/13 | 318 | ||||||
Caterpillar Financial Services Corp., | ||||||||
58 | 2.850%, 06/01/22 | 59 | ||||||
100 | 5.500%, 03/15/16 | 116 | ||||||
150 | 6.200%, 09/30/13 | 161 | ||||||
65 | 7.050%, 10/01/18 | 84 | ||||||
100 | 7.150%, 02/15/19 | 131 | ||||||
Citigroup, Inc., | ||||||||
43 | 4.587%, 12/15/15 | 45 | ||||||
125 | 4.750%, 05/19/15 | 130 | ||||||
506 | 5.000%, 09/15/14 | 517 | ||||||
54 | 5.375%, 08/09/20 | 58 | ||||||
700 | 6.000%, 08/15/17 | 759 | ||||||
285 | 6.010%, 01/15/15 | 305 | ||||||
300 | 6.125%, 11/21/17 | 325 | ||||||
CME Group, Inc., | ||||||||
110 | 5.400%, 08/01/13 | 116 | ||||||
190 | 5.750%, 02/15/14 | 205 | ||||||
190 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 224 | ||||||
ERAC USA Finance LLC, | ||||||||
48 | 2.750%, 03/15/17 (e) | 49 | ||||||
27 | 4.500%, 08/16/21 (e) | 29 | ||||||
General Electric Capital Corp., | ||||||||
220 | 4.375%, 09/16/20 | 237 | ||||||
800 | 4.650%, 10/17/21 | 879 | ||||||
500 | 5.400%, 02/15/17 | 566 | ||||||
475 | 5.625%, 05/01/18 | 540 | ||||||
500 | 5.650%, 06/09/14 | 542 | ||||||
100 | Textron Financial Corp., 5.400%, 04/28/13 | 103 | ||||||
|
|
|||||||
8,640 | ||||||||
|
|
|||||||
Insurance 1.3% | ||||||||
ACE INA Holdings, Inc., | ||||||||
45 | 2.600%, 11/23/15 | 47 | ||||||
50 | 5.600%, 05/15/15 | 56 | ||||||
Aflac, Inc., | ||||||||
28 | 2.650%, 02/15/17 | 29 | ||||||
32 | 4.000%, 02/15/22 | 33 | ||||||
25 | 8.500%, 05/15/19 | 33 | ||||||
American International Group, Inc., | ||||||||
385 | 4.250%, 05/15/13 | 393 | ||||||
350 | 5.450%, 05/18/17 | 376 | ||||||
200 | 5.600%, 10/18/16 | 217 | ||||||
45 | Aon Corp., 3.500%, 09/30/15 | 47 | ||||||
607 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 614 | ||||||
150 | Berkshire Hathaway Finance Corp., 5.400%, 05/15/18 | 177 | ||||||
Berkshire Hathaway, Inc., | ||||||||
202 | 3.400%, 01/31/22 | 210 | ||||||
98 | 3.750%, 08/15/21 | 104 | ||||||
90 | CNA Financial Corp., 5.875%, 08/15/20 | 98 | ||||||
80 | Jackson National Life Global Funding, 4.700%, 06/01/18 (e) | 88 | ||||||
35 | Lincoln National Corp., 4.200%, 03/15/22 | 35 | ||||||
MassMutual Global Funding II, | ||||||||
300 | 2.000%, 04/05/17 (e) | 303 | ||||||
100 | 2.300%, 09/28/15 (e) | 103 | ||||||
Metropolitan Life Global Funding I, | ||||||||
200 | 2.000%, 01/09/15 (e) | 203 | ||||||
175 | 3.650%, 06/14/18 (e) | 186 | ||||||
100 | 3.875%, 04/11/22 (e) | 104 | ||||||
222 | 5.200%, 09/18/13 (e) | 233 | ||||||
50 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 52 | ||||||
New York Life Global Funding, | ||||||||
170 | 1.300%, 01/12/15 (e) | 171 | ||||||
125 | 3.000%, 05/04/15 (e) | 131 | ||||||
150 | Pacific Life Global Funding, 5.000%, 05/15/17 (e) | 159 | ||||||
200 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 214 | ||||||
100 | Principal Life Income Funding Trusts, 5.300%, 04/24/13 | 104 | ||||||
150 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 200 | ||||||
200 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 217 | ||||||
50 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 52 | ||||||
|
|
|||||||
4,989 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.3% |
||||||||
CommonWealth REIT, | ||||||||
125 | 5.875%, 09/15/20 | 130 | ||||||
150 | 6.650%, 01/15/18 | 163 | ||||||
27 | ERP Operating LP, 4.625%, 12/15/21 | 29 | ||||||
HCP, Inc., | ||||||||
8 | 3.750%, 02/01/19 | 8 | ||||||
92 | 5.375%, 02/01/21 | 103 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Real Estate Investment Trusts (REITs) Continued |
||||||||
Simon Property Group LP, | ||||||||
81 | 4.125%, 12/01/21 | 88 | ||||||
17 | 4.200%, 02/01/15 | 18 | ||||||
40 | 4.375%, 03/01/21 | 44 | ||||||
100 | 5.625%, 08/15/14 | 109 | ||||||
50 | 5.650%, 02/01/20 | 59 | ||||||
40 | 6.100%, 05/01/16 | 46 | ||||||
50 | 6.125%, 05/30/18 | 59 | ||||||
159 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 189 | ||||||
|
|
|||||||
1,045 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.2% |
||||||||
25 | Countrywide Financial Corp., 6.250%, 05/15/16 | 26 | ||||||
523 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 527 | ||||||
|
|
|||||||
553 | ||||||||
|
|
|||||||
Total Financials | 41,563 | |||||||
|
|
|||||||
Health Care 0.4% |
||||||||
Biotechnology 0.1% |
||||||||
Amgen, Inc., | ||||||||
400 | 3.875%, 11/15/21 | 419 | ||||||
44 | 4.500%, 03/15/20 | 48 | ||||||
40 | 5.700%, 02/01/19 | 47 | ||||||
|
|
|||||||
514 | ||||||||
|
|
|||||||
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 | 47 | ||||||
|
|
|||||||
155 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.1% |
||||||||
50 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 52 | ||||||
112 | UnitedHealth Group, Inc., 3.375%, 11/15/21 | 118 | ||||||
WellPoint, Inc., | ||||||||
115 | 3.125%, 05/15/22 | 114 | ||||||
27 | 5.875%, 06/15/17 | 32 | ||||||
18 | 7.000%, 02/15/19 | 23 | ||||||
|
|
|||||||
339 | ||||||||
|
|
|||||||
Pharmaceuticals 0.1% | ||||||||
100 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 109 | ||||||
150 | GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18 | 181 | ||||||
75 | Merck & Co., Inc., 6.000%, 09/15/17 | 92 | ||||||
|
|
|||||||
382 | ||||||||
|
|
|||||||
Total Health Care | 1,390 | |||||||
|
|
|||||||
Industrials 1.0% | ||||||||
Aerospace & Defense 0.1% | ||||||||
70 | BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e) | 83 | ||||||
100 | Honeywell International, Inc., 5.300%, 03/01/18 | 119 | ||||||
47 | Lockheed Martin Corp., 2.125%, 09/15/16 | 48 | ||||||
50 | United Technologies Corp., 6.125%, 02/01/19 | 62 | ||||||
|
|
|||||||
312 | ||||||||
|
|
|||||||
Airlines 0.1% |
||||||||
84 | American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21 | 89 | ||||||
37 | Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20 | 41 | ||||||
73 | Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 77 | ||||||
|
|
|||||||
207 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.1% |
||||||||
100 | Allied Waste North America, Inc., 6.875%, 06/01/17 | 103 | ||||||
Pitney Bowes, Inc., | ||||||||
125 | 4.875%, 08/15/14 | 130 | ||||||
100 | 5.000%, 03/15/15 | 105 | ||||||
50 | 5.600%, 03/15/18 | 51 | ||||||
60 | Waste Management, Inc., 7.375%, 03/11/19 | 76 | ||||||
|
|
|||||||
465 | ||||||||
|
|
|||||||
Construction & Engineering 0.0% (g) |
||||||||
ABB Finance USA, Inc., | ||||||||
32 | 1.625%, 05/08/17 | 32 | ||||||
41 | 2.875%, 05/08/22 | 41 | ||||||
70 | Fluor Corp., 3.375%, 09/15/21 | 73 | ||||||
|
|
|||||||
146 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% | ||||||||
152 | Koninklijke Philips Electronics N.V., (Netherlands), 3.750%, 03/15/22 | 159 | ||||||
100 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 117 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Industrial Conglomerates Continued | ||||||||
50 | Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 | 66 | ||||||
|
|
|||||||
342 | ||||||||
|
|
|||||||
Machinery 0.0% (g) | ||||||||
50 | Eaton Corp., 5.600%, 05/15/18 | 59 | ||||||
25 | Parker Hannifin Corp., 5.500%, 05/15/18 | 30 | ||||||
|
|
|||||||
89 | ||||||||
|
|
|||||||
Road & Rail 0.6% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
43 | 3.050%, 03/15/22 | 44 | ||||||
32 | 3.450%, 09/15/21 | 34 | ||||||
19 | 3.600%, 09/01/20 | 20 | ||||||
100 | 5.650%, 05/01/17 | 117 | ||||||
100 | 7.000%, 02/01/14 | 110 | ||||||
CSX Corp., | ||||||||
30 | 6.250%, 04/01/15 | 34 | ||||||
30 | 7.375%, 02/01/19 | 38 | ||||||
50 | 7.900%, 05/01/17 | 63 | ||||||
615 | Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22 | 728 | ||||||
Norfolk Southern Corp., | ||||||||
138 | 3.250%, 12/01/21 | 144 | ||||||
50 | 7.700%, 05/15/17 | 64 | ||||||
Ryder System, Inc., | ||||||||
48 | 2.500%, 03/01/17 | 48 | ||||||
55 | 3.600%, 03/01/16 | 58 | ||||||
Union Pacific Corp., | ||||||||
233 | 4.163%, 07/15/22 | 262 | ||||||
100 | 4.875%, 01/15/15 | 109 | ||||||
82 | 5.650%, 05/01/17 | 96 | ||||||
115 | United Parcel Service of America, Inc., 8.375%, 04/01/20 | 162 | ||||||
|
|
|||||||
2,131 | ||||||||
|
|
|||||||
Total Industrials | 3,692 | |||||||
|
|
|||||||
Information Technology 0.8% | ||||||||
Computers & Peripherals 0.4% | ||||||||
256 | Dell, Inc., 3.100%, 04/01/16 | 272 | ||||||
Hewlett-Packard Co., | ||||||||
208 | 2.600%, 09/15/17 | 205 | ||||||
87 | 4.050%, 09/15/22 | 86 | ||||||
195 | 4.375%, 09/15/21 | 198 | ||||||
325 | 5.400%, 03/01/17 | 360 | ||||||
200 | 6.125%, 03/01/14 | 215 | ||||||
|
|
|||||||
1,336 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% | ||||||||
Arrow Electronics, Inc., | ||||||||
55 | 3.375%, 11/01/15 | 58 | ||||||
120 | 6.875%, 07/01/13 | 127 | ||||||
|
|
|||||||
185 | ||||||||
|
|
|||||||
IT Services 0.2% | ||||||||
International Business Machines Corp., | ||||||||
126 | 1.250%, 02/06/17 | 126 | ||||||
100 | 1.875%, 05/15/19 | 101 | ||||||
150 | 5.700%, 09/14/17 | 180 | ||||||
200 | 7.625%, 10/15/18 | 266 | ||||||
|
|
|||||||
673 | ||||||||
|
|
|||||||
Office Electronics 0.0% (g) | ||||||||
Xerox Corp., | ||||||||
39 | 2.950%, 03/15/17 | 39 | ||||||
50 | 5.625%, 12/15/19 | 57 | ||||||
40 | 6.750%, 02/01/17 | 47 | ||||||
|
|
|||||||
143 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.0% (g) | ||||||||
30 | National Semiconductor Corp., 6.600%, 06/15/17 | 37 | ||||||
|
|
|||||||
Software 0.1% | ||||||||
25 | Intuit, Inc., 5.750%, 03/15/17 | 29 | ||||||
120 | Microsoft Corp., 1.625%, 09/25/15 | 124 | ||||||
Oracle Corp., | ||||||||
200 | 5.250%, 01/15/16 | 231 | ||||||
100 | 5.750%, 04/15/18 | 121 | ||||||
|
|
|||||||
505 | ||||||||
|
|
|||||||
Total Information Technology | 2,879 | |||||||
|
|
|||||||
Materials 0.5% | ||||||||
Chemicals 0.3% | ||||||||
100 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 102 | ||||||
Dow Chemical Co. (The), | ||||||||
61 | 4.125%, 11/15/21 | 64 | ||||||
38 | 4.250%, 11/15/20 | 40 | ||||||
60 | 7.600%, 05/15/14 | 67 | ||||||
40 | 8.550%, 05/15/19 | 53 | ||||||
El du Pont de Nemours & Co., | ||||||||
101 | 1.950%, 01/15/16 | 105 | ||||||
50 | 4.125%, 03/06/13 | 51 | ||||||
100 | 6.000%, 07/15/18 | 124 | ||||||
34 | Mosaic Co. (The), 3.750%, 11/15/21 | 36 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Chemicals Continued | ||||||||
100 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 | 103 | ||||||
230 | Praxair, Inc., 4.625%, 03/30/15 | 254 | ||||||
150 | Union Carbide Corp., 7.500%, 06/01/25 | 181 | ||||||
|
|
|||||||
1,180 | ||||||||
|
|
|||||||
Metals & Mining 0.2% |
||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
37 | 1.000%, 02/24/15 | 37 | ||||||
83 | 1.625%, 02/24/17 | 83 | ||||||
100 | 5.400%, 03/29/17 | 117 | ||||||
100 | 6.500%, 04/01/19 | 128 | ||||||
128 | Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17 | 126 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
27 | 3.500%, 11/02/20 | 29 | ||||||
50 | 8.950%, 05/01/14 | 57 | ||||||
|
|
|||||||
577 | ||||||||
|
|
|||||||
Total Materials | 1,757 | |||||||
|
|
|||||||
Telecommunication Services 0.9% | ||||||||
Diversified Telecommunication Services 0.8% | ||||||||
AT&T, Inc., | ||||||||
100 | 4.450%, 05/15/21 | 114 | ||||||
135 | 5.100%, 09/15/14 | 148 | ||||||
150 | 5.500%, 02/01/18 | 177 | ||||||
15 | BellSouth Corp., 5.200%, 09/15/14 | 16 | ||||||
100 | BellSouth Telecommunications, Inc., 6.300%, 12/15/15 | 106 | ||||||
100 | British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18 | 116 | ||||||
61 | France Telecom S.A., (France), 2.750%, 09/14/16 | 62 | ||||||
500 | GTE Corp., 6.840%, 04/15/18 | 615 | ||||||
148 | Qwest Corp., 6.750%, 12/01/21 | 165 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
280 | 4.950%, 09/30/14 | 273 | ||||||
225 | 5.250%, 11/15/13 | 224 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
275 | 5.855%, 02/04/13 | 276 | ||||||
30 | 5.877%, 07/15/19 | 28 | ||||||
100 | Verizon Communications, Inc., 5.500%, 02/15/18 | 118 | ||||||
250 | Verizon Maryland, Inc., 7.150%, 05/01/23 | 261 | ||||||
100 | Verizon New England, Inc., 4.750%, 10/01/13 | 105 | ||||||
|
|
|||||||
2,804 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% | ||||||||
150 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 161 | ||||||
40 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 41 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
100 | 1.625%, 03/20/17 | 100 | ||||||
125 | 5.000%, 09/15/15 | 140 | ||||||
|
|
|||||||
442 | ||||||||
|
|
|||||||
Total Telecommunication Services | 3,246 | |||||||
|
|
|||||||
Utilities 1.5% | ||||||||
Electric Utilities 1.0% | ||||||||
Carolina Power & Light Co., | ||||||||
40 | 2.800%, 05/15/22 | 41 | ||||||
233 | 5.125%, 09/15/13 | 246 | ||||||
150 | 5.300%, 01/15/19 | 181 | ||||||
100 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 107 | ||||||
50 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 62 | ||||||
30 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 36 | ||||||
200 | Duke Energy Carolinas LLC, 5.625%, 11/30/12 | 205 | ||||||
60 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 66 | ||||||
100 | Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) | 94 | ||||||
72 | Exelon Generation Co. LLC, 4.000%, 10/01/20 | 75 | ||||||
40 | Georgia Power Co., 6.000%, 11/01/13 | 43 | ||||||
135 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 170 | ||||||
25 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 32 | ||||||
14 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 14 | ||||||
60 | Nevada Power Co., 7.125%, 03/15/19 | 77 | ||||||
150 | NextEra Energy Capital Holdings, Inc., 7.875%, 12/15/15 | 181 | ||||||
40 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 46 | ||||||
180 | Nisource Finance Corp., 4.450%, 12/01/21 | 190 | ||||||
25 | Ohio Power Co., 6.050%, 05/01/18 | 30 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Corporate Bonds Continued |
|||||||
Electric Utilities Continued | ||||||||
Oncor Electric Delivery Co. LLC, | ||||||||
25 | 5.950%, 09/01/13 | 27 | ||||||
50 | 6.800%, 09/01/18 | 59 | ||||||
125 | Pacific Gas & Electric Co., 5.625%, 11/30/17 | 151 | ||||||
PacifiCorp, | ||||||||
100 | 3.850%, 06/15/21 | 111 | ||||||
60 | 5.650%, 07/15/18 | 72 | ||||||
75 | Peco Energy Co., 5.350%, 03/01/18 | 90 | ||||||
51 | Public Service Co. of Colorado, 3.200%, 11/15/20 | 55 | ||||||
74 | Public Service Co. of Oklahoma, 4.400%, 02/01/21 | 82 | ||||||
200 | Public Service Electric & Gas Co., 6.330%, 11/01/13 | 215 | ||||||
Southern Co., | ||||||||
45 | 1.950%, 09/01/16 | 46 | ||||||
40 | 4.150%, 05/15/14 | 42 | ||||||
30 | Southwestern Public Service Co., 8.750%, 12/01/18 | 41 | ||||||
Spectra Energy Capital LLC, | ||||||||
100 | 5.500%, 03/01/14 | 106 | ||||||
30 | 5.668%, 08/15/14 | 32 | ||||||
140 | 6.200%, 04/15/18 | 165 | ||||||
50 | 8.000%, 10/01/19 | 65 | ||||||
Virginia Electric and Power Co., | ||||||||
210 | 5.100%, 11/30/12 | 215 | ||||||
100 | 5.400%, 04/30/18 | 120 | ||||||
|
|
|||||||
3,590 | ||||||||
|
|
|||||||
Gas Utilities 0.2% | ||||||||
AGL Capital Corp., | ||||||||
94 | 3.500%, 09/15/21 | 98 | ||||||
50 | 4.450%, 04/15/13 | 52 | ||||||
100 | 6.375%, 07/15/16 | 116 | ||||||
Atmos Energy Corp., | ||||||||
100 | 5.125%, 01/15/13 | 103 | ||||||
30 | 8.500%, 03/15/19 | 40 | ||||||
50 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 58 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
100 | 4.000%, 06/15/13 | 103 | ||||||
100 | 6.500%, 08/15/18 | 126 | ||||||
30 | 7.125%, 01/15/19 | 39 | ||||||
|
|
|||||||
735 | ||||||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.0% (g) | ||||||||
150 | PPL Energy Supply LLC, 4.600%, 12/15/21 | 157 | ||||||
|
|
|||||||
Multi-Utilities 0.3% | ||||||||
Dominion Resources, Inc., | ||||||||
195 | 6.250%, 06/30/12 | 196 | ||||||
150 | 8.875%, 01/15/19 | 207 | ||||||
100 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 | 101 | ||||||
50 | PG&E Corp., 5.750%, 04/01/14 | 54 | ||||||
Sempra Energy, | ||||||||
80 | 8.900%, 11/15/13 | 89 | ||||||
150 | 9.800%, 02/15/19 | 210 | ||||||
Wisconsin Electric Power Co., | ||||||||
30 | 6.000%, 04/01/14 | 33 | ||||||
100 | 6.250%, 12/01/15 | 116 | ||||||
|
|
|||||||
1,006 | ||||||||
|
|
|||||||
Water Utilities 0.0% (g) | ||||||||
200 | American Water Capital Corp., 6.085%, 10/15/17 | 236 | ||||||
|
|
|||||||
Total Utilities | 5,724 | |||||||
|
|
|||||||
Total Corporate Bonds | ||||||||
(Cost $65,642) | 70,011 | |||||||
|
|
|||||||
|
Foreign Government Securities 1.2% |
|||||||
Israel Government AID Bond, (Israel), | ||||||||
1,000 | Zero Coupon, 08/15/17 | 941 | ||||||
1,000 | Zero Coupon, 08/15/18 | 921 | ||||||
1,557 | Zero Coupon, 08/15/20 | 1,340 | ||||||
100 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 101 | ||||||
Province of Ontario, (Canada), | ||||||||
400 | 0.950%, 05/26/15 | 401 | ||||||
250 | 2.700%, 06/16/15 | 263 | ||||||
300 | 2.950%, 02/05/15 | 317 | ||||||
|
|
|||||||
Total Foreign Government Securities (Cost $4,079) |
4,284 | |||||||
|
|
|||||||
|
Mortgage Pass-Through Securities 11.5% |
|||||||
Federal Home Loan Mortgage Corp., | ||||||||
47 | ARM, 2.175%, 01/01/27 | 50 | ||||||
15 | ARM, 2.375%, 07/01/26 | 15 | ||||||
150 | ARM, 2.415%, 01/01/37 | 159 | ||||||
318 | ARM, 2.476%, 08/01/36 | 339 | ||||||
142 | ARM, 2.567%, 09/01/36 | 151 | ||||||
517 | ARM, 2.621%, 12/01/34 | 551 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Mortgage Pass-Through Securities Continued |
|||||||
256 | ARM, 2.676%, 03/01/37 | 277 | ||||||
236 | ARM, 2.807%, 09/01/36 | 253 | ||||||
147 | ARM, 3.266%, 02/01/37 | 157 | ||||||
223 | ARM, 3.838%, 04/01/38 | 237 | ||||||
410 | ARM, 6.029%, 06/01/36 | 440 | ||||||
179 | ARM, 6.601%, 11/01/36 | 194 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
248 | 4.000%, 06/01/19 | 263 | ||||||
60 | 4.500%, 10/01/18 | 66 | ||||||
435 | 5.500%, 06/01/17 - 01/01/24 | 473 | ||||||
238 | 6.000%, 10/01/17 - 04/01/18 | 252 | ||||||
626 | 6.500%, 01/01/17 - 03/01/22 | 670 | ||||||
28 | 7.000%, 09/01/12 - 01/01/17 | 29 | ||||||
| (h) | 7.500%, 10/01/14 | | (h) | ||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
18 | 6.000%, 12/01/22 | 20 | ||||||
95 | 6.500%, 12/01/13 - 08/01/26 | 106 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
114 | 6.000%, 01/01/34 | 128 | ||||||
177 | 7.000%, 04/01/22 - 02/01/37 | 208 | ||||||
8 | 7.500%, 08/01/25 | 10 | ||||||
11 | 8.000%, 07/01/20 - 11/01/24 | 13 | ||||||
30 | 8.500%, 07/01/28 | 37 | ||||||
564 | Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 | 672 | ||||||
492 | Federal Home Loan Mortgage Corp. Gold Pools, Other, 6.000%, 02/01/33 | 544 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
2 | 12.000%, 08/01/15 - 07/01/19 | 3 | ||||||
Federal National Mortgage Association, | ||||||||
7 | ARM, 1.888%, 03/01/19 | 7 | ||||||
144 | ARM, 2.159%, 08/01/35 | 152 | ||||||
82 | ARM, 2.214%, 02/01/37 | 86 | ||||||
222 | ARM, 2.235%, 01/01/35 | 235 | ||||||
536 | ARM, 2.284%, 08/01/34 - 02/01/35 | 567 | ||||||
241 | ARM, 2.285%, 09/01/35 | 256 | ||||||
153 | ARM, 2.295%, 11/01/33 | 163 | ||||||
260 | ARM, 2.330%, 01/01/35 | 273 | ||||||
284 | ARM, 2.339%, 09/01/35 | 302 | ||||||
375 | ARM, 2.352%, 09/01/34 | 399 | ||||||
214 | ARM, 2.364%, 04/01/35 | 227 | ||||||
173 | ARM, 2.410%, 04/01/33 | 184 | ||||||
221 | ARM, 2.539%, 10/01/34 | 234 | ||||||
283 | ARM, 2.560%, 09/01/33 | 302 | ||||||
100 | ARM, 2.592%, 08/01/36 | 107 | ||||||
175 | ARM, 2.593%, 02/01/35 | 187 | ||||||
243 | ARM, 2.675%, 02/01/37 | 259 | ||||||
1 | ARM, 2.750%, 08/01/19 | 1 | ||||||
179 | ARM, 2.791%, 07/01/46 | 192 | ||||||
20 | ARM, 3.059%, 09/01/27 | 20 | ||||||
351 | ARM, 3.144%, 02/01/36 | 372 | ||||||
19 | ARM, 3.888%, 03/01/29 | 20 | ||||||
172 | ARM, 6.197%, 09/01/36 | 186 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
388 | 4.000%, 09/01/18 - 05/01/19 | 415 | ||||||
1,216 | 4.500%, 05/01/18 - 05/01/19 | 1,315 | ||||||
711 | 5.000%, 12/01/16 - 04/01/19 | 776 | ||||||
469 | 5.500%, 01/01/20 - 06/01/20 | 511 | ||||||
632 | 6.000%, 03/01/21 - 01/01/24 | 695 | ||||||
126 | 6.500%, 05/01/13 - 08/01/20 | 138 | ||||||
1 | 7.500%, 10/01/12 | 1 | ||||||
| (h) | 8.000%, 11/01/12 | | (h) | ||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
147 | 6.000%, 04/01/24 | 162 | ||||||
197 | 6.500%, 05/01/22 | 222 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
20 | 6.000%, 09/01/33 | 23 | ||||||
37 | 6.500%, 03/01/29 | 44 | ||||||
21 | 8.500%, 08/01/27 - 02/01/30 | 23 | ||||||
15 | 9.000%, 09/01/19 - 12/01/30 | 15 | ||||||
9 | 9.500%, 12/01/18 | 10 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
170 | 4.500%, 08/01/33 | 183 | ||||||
1,962 | 5.000%, 07/01/33 - 08/01/40 | 2,151 | ||||||
2,379 | 5.500%, 09/01/33 - 02/01/38 | 2,616 | ||||||
1,105 | 6.000%, 12/01/32 - 09/01/37 | 1,234 | ||||||
64 | 6.500%, 08/01/31 | 74 | ||||||
16 | 7.000%, 07/01/25 - 08/01/32 | 19 | ||||||
20 | 7.500%, 11/01/22 - 05/01/25 | 23 | ||||||
644 | 8.000%, 03/01/21 - 11/01/32 | 799 | ||||||
11 | 8.500%, 07/01/24 - 06/01/25 | 13 | ||||||
| (h) | 9.000%, 04/01/26 | (h | ) | ||||
5 | 10.000%, 02/01/24 | 5 | ||||||
2 | 12.500%, 01/01/16 | 3 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Mortgage Pass-Through Securities Continued |
|||||||
Federal National Mortgage Association, Other, | ||||||||
993 | 1.940%, 01/01/17 | 1,017 | ||||||
1,000 | 1.990%, 01/01/17 | 999 | ||||||
2,926 | 2.970%, 11/01/18 | 3,111 | ||||||
1,000 | 3.540%, 10/01/20 | 1,091 | ||||||
2,446 | 3.590%, 12/01/20 | 2,676 | ||||||
1,082 | 4.160%, 03/01/21 | 1,221 | ||||||
477 | 4.291%, 06/01/21 | 545 | ||||||
800 | 4.300%, 04/01/21 | 910 | ||||||
963 | 4.355%, 03/01/20 | 1,089 | ||||||
1,983 | 4.380%, 01/01/21 - 04/01/21 | 2,264 | ||||||
500 | 4.390%, 05/01/21 | 572 | ||||||
407 | 5.500%, 04/01/38 | 439 | ||||||
464 | 6.000%, 03/01/37 | 507 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
1,082 | 6.000%, 03/20/28 - 09/20/38 | 1,216 | ||||||
16 | 7.500%, 02/20/28 - 09/20/28 | 20 | ||||||
44 | 8.000%, 12/20/25 - 08/20/28 | 53 | ||||||
27 | 8.500%, 03/20/25 - 05/20/25 | 33 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
39 | 6.000%, 10/15/17 | 42 | ||||||
19 | 8.000%, 01/15/16 | 20 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
684 | 6.000%, 11/15/28 - 12/15/38 | 779 | ||||||
446 | 6.500%, 01/15/24 - 12/15/35 | 517 | ||||||
412 | 7.000%, 08/15/23 - 06/15/35 | 474 | ||||||
32 | 7.500%, 11/15/22 - 09/15/28 | 38 | ||||||
7 | 8.000%, 05/15/22 - 08/15/28 | 8 | ||||||
7 | 8.500%, 11/15/17 | 8 | ||||||
14 | 9.000%, 08/15/16 - 11/15/24 | 15 | ||||||
258 | 9.500%, 09/15/18 - 12/15/25 | 299 | ||||||
5 | 12.000%, 11/15/19 | 5 | ||||||
|
|
|||||||
Total Mortgage Pass-Through Securities (Cost $40,129) |
42,486 | |||||||
|
|
|||||||
|
Supranational 0.1% |
|||||||
150 | African Development Bank, 8.800%, 09/01/19 | 205 | ||||||
40 | Corp. Andina de Fomento, 5.200%, 05/21/13 | 41 | ||||||
|
|
|||||||
Total Supranational (Cost $246) |
246 | |||||||
|
|
|||||||
|
U.S. Government Agency Securities 2.1% |
|||||||
500 | Federal Farm Credit Banks Funding Corp., 5.125%, 11/15/18 | 613 | ||||||
Federal National Mortgage Association, | ||||||||
1,300 | Zero Coupon, 07/05/14 | 1,277 | ||||||
1,000 | Zero Coupon, 06/01/17 | 948 | ||||||
800 | 5.000%, 05/11/17 | 955 | ||||||
500 | Federal National Mortgage Association STRIPS, 11/15/21 | 405 | ||||||
Financing Corp. Fico, | ||||||||
500 | Zero Coupon, 04/05/19 | 449 | ||||||
300 | Zero Coupon, 09/26/19 | 265 | ||||||
1,000 | Government Trust Certificate, Zero Coupon, 10/01/15 | 957 | ||||||
450 | Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20 | 393 | ||||||
1,000 | Tennessee Valley Authority, 5.500%, 07/18/17 | 1,221 | ||||||
333 | Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19 | 295 | ||||||
|
|
|||||||
Total U.S. Government Agency Securities (Cost $7,213) |
7,778 | |||||||
|
|
|||||||
|
U.S. Treasury Obligations 30.6% |
|||||||
U.S. Treasury Bonds, | ||||||||
1,225 | 7.500%, 11/15/16 | 1,596 | ||||||
320 | 8.500%, 02/15/20 | 495 | ||||||
250 | 8.750%, 05/15/20 | 394 | ||||||
250 | 8.750%, 08/15/20 | 398 | ||||||
3,000 | 8.875%, 08/15/17 | 4,259 | ||||||
835 | 11.250%, 02/15/15 | 1,079 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
1,000 | 0.500%, 04/15/15 | 1,105 | ||||||
700 | 1.125%, 01/15/21 | 852 | ||||||
U.S. Treasury Notes, | ||||||||
400 | 1.375%, 12/31/18 | 411 | ||||||
4,900 | 1.500%, 08/31/18 | 5,079 | ||||||
1,500 | 1.750%, 10/31/18 | 1,577 | ||||||
1,500 | 2.125%, 12/31/15 | 1,588 | ||||||
1,500 | 2.250%, 07/31/18 | 1,623 | ||||||
1,500 | 2.750%, 11/30/16 | 1,642 | ||||||
1,755 | 2.750%, 05/31/17 | 1,933 | ||||||
3,000 | 2.750%, 12/31/17 | 3,321 | ||||||
1,000 | 3.125%, 04/30/17 | 1,118 | ||||||
7,900 | 3.250%, 12/31/16 | 8,831 | ||||||
1,000 | 3.250%, 03/31/17 | 1,122 | ||||||
1,500 | 4.000%, 11/15/12 | 1,526 | ||||||
700 | 4.000%, 02/15/15 | 768 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
U.S. Treasury Obligations Continued |
|||||||
200 | 4.500%, 02/15/16 | 229 | ||||||
1,000 | 4.750%, 08/15/17 | 1,207 | ||||||
U.S. Treasury STRIPS, | ||||||||
202 | 11/15/13 | 201 | ||||||
800 | 02/15/14 (m) | 796 | ||||||
4,566 | 05/15/14 (m) | 4,540 | ||||||
1,500 | 08/15/14 (m) | 1,490 | ||||||
3,518 | 11/15/14 (m) | 3,490 | ||||||
3,325 | 02/15/15 | 3,290 | ||||||
32 | 08/15/15 | 32 | ||||||
4,952 | 11/15/15 (m) | 4,875 | ||||||
5,766 | 02/15/16 (m) | 5,658 | ||||||
1,072 | 05/15/16 | 1,048 | ||||||
2,505 | 08/15/16 | 2,441 | ||||||
700 | 11/15/16 | 680 | ||||||
1,224 | 02/15/17 | 1,184 | ||||||
4,446 | 08/15/17 | 4,274 | ||||||
1,960 | 11/15/17 | 1,876 | ||||||
2,200 | 02/15/18 | 2,098 | ||||||
495 | 05/15/19 | 459 | ||||||
4,350 | 08/15/19 | 4,008 | ||||||
2,000 | 02/15/20 | 1,814 | ||||||
13,948 | 05/15/20 | 12,549 | ||||||
150 | 05/15/20 | 136 | ||||||
12,550 | 08/15/20 | 11,213 | ||||||
1,550 | 05/15/21 | 1,350 | ||||||
100 | 08/15/21 | 86 | ||||||
1,350 | 11/15/21 | 1,157 | ||||||
100 | 08/15/26 | 72 | ||||||
300 | 11/15/26 | 214 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $104,051) |
113,184 | |||||||
|
|
|||||||
|
Short-Term Investment 3.3% |
|||||||
Investment Company 3.3% | ||||||||
12,207 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $12,207) |
12,207 | ||||||
|
|
|||||||
Total Investments 99.7% (Cost $346,921) |
368,967 | |||||||
Other Assets in Excess of Liabilities 0.3% | 1,151 | |||||||
|
|
|||||||
NET ASSETS 100.0% | $ | 370,118 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
ARM |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2012. | ||
CMO |
| Collateralized Mortgage Obligation | ||
ESOP |
| Employee Stock Ownership Program | ||
FHA |
| Federal Housing Administration | ||
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 May 31, 2012. The rate may be subject to a cap and floor. | ||
IO |
| Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | ||
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 | ||
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 May 31, 2012. | ||
VA |
| Veterans Administration | ||
VAR |
| Variable Rate Security. The interest rate shown is the rate in effect as of May 31, 2012. |
(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. | |
(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 Fund owns fair valued securities with a value of approximately $1,448,000 which amounts to 0.4% of total investments. | |
(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. | |
(l) |
The rate shown is the current yield as of May 31, 2012. | |
(m) |
All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign exchange currency contracts. |
As of May 31, 2012, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 26,109 | ||
Aggregate gross unrealized depreciation |
(4,063 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | 22,046 | ||
|
|
|||
Federal income tax cost of investments |
$ | 346,921 | ||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
A. SECURITY VALUATIONSFixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Directors or (the Board) third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealer or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Fund 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 Fund to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board. 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 net asset value per share as of the report date. 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 Fund are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board. The Board has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds securities. The Funds Administrator (JPMFM) has established a Valuation Committee (VC) that is comprised of senior representatives from JPMFM, the Funds Investment Advisor (JPMIM), Legal and Compliance, Risk Management and the Funds Chief Compliance Office. The VCs responsibilities include making determinations regarding Level 3 fair value measurements (Fair Values) and/or providing recommendations for approval to the Boards Audit and Valuation Committee, in accordance with the Funds valuation policies.
The VC or Board, as applicable primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact fair values and discuss and assess fair values on an ongoing and at least a quarterly basis with the VC and Board, as applicable. The appropriateness of fair values are assessed based on results of unchanged price review, consideration of macro or security specific events, back testing and broker and vendor due diligence.
See the table on Quantitative Information about Fair Value measurements for information on the valuation techniques and inputs used to value Level 3 securities at May 31, 2012.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds investments are summarized into the three broad levels listed below.
| 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.
The following table represents each valuation input by sector as presented on the Schedule of Portfolio Investments (SOI) (amounts in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Debt Securities |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 9,426 | $ | 1,726 | $ | 11,152 | ||||||||
Collateralized Mortgage Obligations |
||||||||||||||||
Agency CMO |
| 80,911 | 991 | 81,902 | ||||||||||||
Non-Agency CMO |
| 19,686 | 1,075 | 20,761 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Collateralized Mortgage Obligations |
| 100,597 | 2,066 | 102,663 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Mortgage-Backed Securities |
| 4,096 | 860 | 4,956 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Consumer Discretionary |
| 3,925 | | 3,925 | ||||||||||||
Consumer Staples |
| 2,780 | | 2,780 | ||||||||||||
Energy |
| 3,055 | | 3,055 | ||||||||||||
Financials |
| 41,563 | | 41,563 | ||||||||||||
Health Care |
| 1,390 | | 1,390 | ||||||||||||
Industrials |
| 2,757 | 935 | 3,692 | ||||||||||||
Information Technology |
| 2,879 | | 2,879 | ||||||||||||
Materials |
| 1,757 | | 1,757 | ||||||||||||
Telecommunication Services |
| 3,246 | | 3,246 | ||||||||||||
Utilities |
| 5,724 | | 5,724 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 69,076 | 935 | 70,011 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 4,284 | | 4,284 | ||||||||||||
Mortgage Pass-Through Securities |
| 42,486 | | 42,486 | ||||||||||||
Supranational |
| 246 | | 246 | ||||||||||||
U.S. Government Agency Securities |
| 7,778 | | 7,778 | ||||||||||||
U.S. Treasury Obligations |
| 113,184 | | 113,184 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
12,207 | | | 12,207 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 12,207 | $ | 351,173 | $ | 5,587 | $ | 368,967 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Levels 1 and 2 during the period ended May 31, 2012.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
Intermediate Bond Trust |
Balance as
of 02/29/12 |
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 05/31/12 |
|||||||||||||||||||||||||||
Investments in Securities |
||||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 334 | $ | | $ | 5 | $ | | $ | 852 | $ | (132 | ) | $ | 667 | $ | | $ | 1,726 | |||||||||||||||||
Collateralized Mortgage Obligations |
||||||||||||||||||||||||||||||||||||
Agency CMO |
| | 1 | | | (19 | ) | 1,009 | | 991 | ||||||||||||||||||||||||||
Non-Agency CMO |
632 | | 15 | | 108 | (100 | ) | 420 | | 1,075 | ||||||||||||||||||||||||||
Commerical Mortgage-Backed Securities |
| | (3 | ) | 702 | (60 | ) | 221 | | 860 | ||||||||||||||||||||||||||
Corporate Bonds - Industrials |
| | (6 | ) | (1 | ) | | (6 | ) | 948 | | 935 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 966 | $ | | $ | 12 | $ | (1 | ) | $ | 1,662 | $ | (317 | ) | $ | 3,265 | $ | | $ | 5,587 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in a corporate action. |
(a) | Amount rounds to less than $1,000. |
Transfers into, or out of Level 3, are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or an increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at May 31, 2012, which were valued using significant unobservable inputs (Level 3), amounted to approximately $12,000.
ITEM 2. CONTROLS AND PROCEDURES.
(a) | 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-Q 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-Q 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) | There were no changes in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal controls over financial reporting. |
ITEM 3. EXHIBITS.
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) 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.
JPMorgan Institutional Trust
By: | /s/ Patricia A. Maleski | |
Patricia A. Maleski | ||
President and Principal Executive Officer | ||
July 30, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Patricia A. Maleski | |
Patricia A. Maleski | ||
President and Principal Executive Officer | ||
July 30, 2012 | ||
By: | /s/ Joy C. Dowd | |
Joy C. Dowd | ||
Treasurer and Principal Financial Officer | ||
July 30, 2012 |
EXHIBIT 99.302CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Patricia A. Maleski, certify that:
1. | I have reviewed this report on Form N-Q of the JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting. |
Date: July 30, 2012 | By: | /s/ Patricia A. Maleski | ||||
Patricia A. Maleski | ||||||
President and Principal Executive Officer |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Joy C. Dowd, certify that:
1. | I have reviewed this report on Form N-Q of the JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting. |
Date: July 30, 2012 | By: | /s/ Joy C. Dowd | ||||
Joy C. Dowd | ||||||
Treasurer and Principal Financial Officer |