JPMorgan Institutional Trust
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21638
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| JPMorgan Institutional Trust |
(Exact name of registrant as specified in charter)
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| 270 Park Avenue New York, NY 10017 |
(Address of principal executive offices) (Zip code)
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| Frank J. Nasta 270 Park Avenue New York, NY 10017 |
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 343-1113
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2012 through August 31, 2012
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be
transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A
registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the
accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Semi-Annual Report
JPMorgan Institutional Trust Funds
August 31, 2012 (Unaudited)
JPMorgan Core Bond Trust
JPMorgan Equity Index Trust
JPMorgan Intermediate Bond Trust
CONTENTS
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured
or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are
subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be,
and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
This report is intended for distribution only to accredited investors. Distribution of this document to anyone other than the intended user is expressly
prohibited. This document may not be copied, faxed or otherwise distributed to the general public.
CEO’S LETTER
SEPTEMBER 19, 2012
Dear Shareholder:
Sources of uncertainty are prevalent in the market: social and political unrest in the Middle East, Europe’s ongoing debt crisis, upcoming elections in the United States and the potential for an
economic “hard landing” in China. Equities have seesawed against this backdrop and many investors seem content to forego the market fluctuations — overall industry net flows for equity mutual funds are negative for 2012. Despite these
sharp swings in market momentum, U.S. stocks have soared year to date. The S&P 500 Index recently reached levels not seen since 2008 and has returned more than 100% since bottoming in March 2009.
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“As the low interest rate environment persists, an increasing amount of fixed income investors are turning to asset
classes like high yield bonds and emerging markets debt in search of higher yielding securities.” |
Accommodative monetary policy has been a significant catalyst for the recent rally in stocks. Central banks continue to take
unprecedented actions in an effort to stoke economic growth. In September, the European Central Bank announced its plans to implement Outright Monetary Transactions (OMTs), planning to purchase 1-3 year bonds issued by the governments of troubled
European countries. The U.S. Federal Reserve also recently announced another asset purchase plan, indicating that it would buy $40 billion of agency mortgage-backed securities per month on an open-ended basis.
U.S. Treasury yields remain at historically low levels
Accommodative monetary policy from the Fed continues to keep yields at historically low levels. Real yields are negative on many parts of the yield curve, meaning that the payment that investors will receive
from these bonds is less than the expected rate of inflation. Holders of these securities are willing to see the purchasing power of their money decline in order to access the perceived safety of U.S. Treasury securities, likely a reflection of the
elevated level of uncertainty among investors.
The yield for 10-year U.S. Treasury securities ended August 2012 at 1.6%, while the yields for 2- and 30-year
U.S. Treasury securities finished the reporting period at 0.2% and 2.7%, respectively. As the low interest rate environment persists, an increasing amount of fixed income investors are turning to asset classes like high yield bonds and emerging
markets debt in search of higher yielding securities.
Some positive signs for the U.S. economy
While the Federal Reserve can set short-term rates, it does not have complete control of long-term rates, and stronger economic growth could push rates
higher. U.S. GDP growth has, until this point in the recovery, been muted. However, existing home sales spiked in August, while sentiment among homebuilders increased. Housing, a long-time drag on economic growth, may make a significant contribution
to GDP in 2012. Meanwhile, second-quarter earnings for the S&P 500 companies were the highest on record, while inflation remains very much under control.
As always, we encourage investors to position their portfolios to withstand and benefit from a variety of future outcomes. While the overhang from policy uncertainty can be frustrating, we encourage
investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset
Management
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| AUGUST 31, 2012 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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1 |
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JPMorgan Institutional Trust Funds
MARKET OVERVIEW
SIX MONTHS ENDED AUGUST 31,
2012 (Unaudited)
In most parts of the world, central banks continued
their efforts to stimulate economic growth with accommodative policies. The U.S. Federal Open Market Committee extended its $400 billion “Operation Twist” program through the end of 2012, while many investors anticipated the additional
round of quantitative easing that was announced shortly after the end of the reporting period. Meanwhile, in June, European leaders agreed to ease repayment rules for emergency loans to Spanish banks and relax conditions on potential help for Italy,
increasing optimism that Europe’s debt crisis may be contained. The S&P 500 Index finished the six months ended August 31, 2012 with a 4.14% return.
The U.S. Home Affordable Refinance Program (HARP) — a federal mandate designed for struggling borrowers to refinance their mortgages at lower rates — contributed to higher prepayments on loans
packaged into mortgage-backed securities. Meanwhile, the housing market showed signs of improvement, as sentiment among homebuilders and sales of existing homes both increased during the reporting period.
Interest rates for U.S. Treasury securities declined on most parts of the yield curve and remained near historically low levels (the yield curve shows the
relationship between yields and maturity dates for a set of similar bonds). High yield securities (also known as “junk bonds”) benefited from tightening credit spreads. Emerging markets debt securities were supported by a beneficial
technical environment, as the asset class experienced strong inflows due in part to investors’ search for yield in a low interest rate environment.
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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AUGUST 31, 2012 |
JPMorgan Core Bond Trust
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
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| REPORTING PERIOD RETURN: |
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| JPMorgan Core Bond Trust* |
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3.73% |
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| Barclays U.S. Aggregate Index |
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2.97% |
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| Net Assets as of 8/31/2012 (In Thousands) |
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$ |
3,616,136 |
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| Duration as of 8/31/2012 |
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4.7 years |
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INVESTMENT OBJECTIVE**
The JPMorgan Core Bond Trust (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the six months ended August 31, 2012, the Fund’s relative outperformance versus the Barclays U.S. Aggregate Index (the “Benchmark”) was driven by its positioning on the yield curve
(the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time). The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed
well during the reporting period. The Fund’s security selection among non-agency and agency mortgage-backed securities also contributed to relative performance.
The Fund’s duration was slightly shorter than the Benchmark, which detracted from its relative performance as interest rates declined during the reporting period. Duration is used to measure the price
sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus
bonds with shorter duration. The Fund’s underweight in the credit sector also detracted from relative performance.
HOW WAS THE FUND
POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between
individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As
of the end of the reporting period, the Fund was underweight U.S. Treasuries and overweight mortgage-backed securities. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long
(20-30 years) segments of the yield curve.
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| PORTFOLIO COMPOSITION*** |
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| Collateralized Mortgage Obligations |
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32.4 |
% |
| U.S. Treasury Obligations |
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24.7 |
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| Corporate Bonds |
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19.7 |
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| Mortgage Pass-Through Securities |
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11.5 |
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| Asset-Backed Securities |
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4.4 |
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| Commercial Mortgage-Backed Securities |
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2.5 |
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| U.S. Government Agency Securities |
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1.5 |
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| Foreign Government Securities |
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1.4 |
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| Others (each less than 1.0%) |
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0.3 |
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| Short-Term Investment |
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1.6 |
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The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
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The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
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Percentages indicated are based on total investments as of August 31, 2012. The Fund’s portfolio composition is subject to change.
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| AUGUST 31, 2012 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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3 |
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JPMorgan Core Bond Trust
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
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| AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31,
2012 |
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INCEPTION DATE
OF CLASS |
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6 MONTH* |
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1 YEAR |
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3 YEAR |
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5 YEAR |
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SINCE
INCEPTION |
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2/07/05 |
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3.73 |
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6.90 |
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8.19 |
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8.10 |
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6.64 |
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LIFE OF FUND PERFORMANCE
(2/7/05 TO 8/31/12)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future
results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data shown.
The Fund commenced operations on February 7, 2005.
The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust, the Barclays U.S. Aggregate Index and the Lipper
Intermediate U.S. Government Funds Index from February 7, 2005 to August 31, 2012. The performance of the Lipper Intermediate U.S. Government Funds Index reflects an initial investment at the end of the month closest to the Fund’s
inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays U.S. Aggregate Index does not reflect the deduction of expenses
associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes
expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the
expenses incurred by the Fund. The Barclays U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including
Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
The Fund’s shares have a $10,000,000 minimum investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have
been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset
values in accordance with accounting principles generally accepted in the United States of America.
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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AUGUST 31, 2012 |
JPMorgan Equity Index Trust
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
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| REPORTING PERIOD RETURN: |
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| JPMorgan Equity Index Trust* |
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4.11% |
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| S&P 500 Index1 |
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4.14% |
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| Net Assets as of 8/31/2012 (In Thousands) |
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$ |
307,569 |
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INVESTMENT OBJECTIVE**
The JPMorgan Equity Index Trust (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500
Composite Stock Price Index (S&P 500 Index).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund performed in line with the S&P 500 Index (the “Benchmark”) for the six months ended August 31, 2012. This was consistent with its
indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.
Despite concerns
about economic growth, escalating political and social unrest in the Middle East and the ongoing European debt crisis, U.S. stocks gained for the twelve months ended August 31, 2012. Accommodative policies from the U.S. Federal Reserve and
measures by the European Central Bank to combat the region’s debt crisis helped support U.S. equities during the reporting period. The Benchmark returned 4.14% for the six months ended August 31, 2012.
Sector performance in the Benchmark was mixed, as some sectors posted positive absolute returns and some sectors posted negative absolute returns. On a
relative basis, the energy and materials sectors underperformed other sectors in the Benchmark, while the telecommunication services and consumer staples sectors outperformed other sectors in the Benchmark.
HOW WAS THE FUND POSITIONED?
Regardless of
the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** |
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1. |
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Apple, Inc. |
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4.8 |
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2. |
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Exxon Mobil Corp. |
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3.2 |
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3. |
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Microsoft Corp. |
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1.8 |
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4. |
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International Business Machines Corp. |
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1.7 |
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5. |
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Chevron Corp. |
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1.7 |
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6. |
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General Electric Co. |
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1.7 |
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7. |
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AT&T, Inc. |
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1.7 |
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8. |
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Johnson & Johnson |
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1.4 |
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9. |
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Procter & Gamble Co. (The) |
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1.4 |
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10. |
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Wells Fargo & Co. |
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1.4 |
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| PORTFOLIO COMPOSITION BY SECTOR**** |
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| Information Technology |
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20.0 |
% |
| Financials |
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14.2 |
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| Health Care |
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11.6 |
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| Energy |
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11.0 |
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| Consumer Staples |
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11.0 |
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| Consumer Discretionary |
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10.8 |
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| Industrials |
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10.0 |
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| Utilities |
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3.5 |
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| Materials |
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3.3 |
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| Telecommunication Services |
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3.1 |
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| Investment Company |
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0.1 |
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| U.S. Treasury Obligation |
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0.1 |
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| Short-Term Investment |
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1.3 |
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| 1 |
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“S&P 500” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated
with the Fund. |
| * |
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The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** |
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“S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor, and is in no way affiliated with the Fund.
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The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
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Percentages indicated are based on total investments (excluding investments of cash collateral for securities on loan) as of August 31, 2012. The Fund’s portfolio
composition is subject to change. |
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| AUGUST 31, 2012 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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5 |
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JPMorgan Equity Index Trust
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
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| AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31,
2012 |
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INCEPTION DATE
OF CLASS |
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6 MONTH* |
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1 YEAR |
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3 YEAR |
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5 YEAR |
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SINCE
INCEPTION |
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2/07/05 |
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4.11 |
% |
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17.84 |
% |
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13.48 |
% |
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1.15 |
% |
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4.12 |
% |
LIFE OF FUND PERFORMANCE
(2/7/05 TO 8/31/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are
subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower
than the performance data shown.
The Fund commenced operations on February 7, 2005.
The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Equity Index Trust, the S&P 500 Index and the Lipper S&P 500
Objective Funds Index from February 7, 2005 to August 31, 2012. The performance of the Lipper S&P 500 Objective Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the
Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses associated with a mutual fund and has been
adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper S&P 500 Objective Funds Index includes expenses associated with a
mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the
performance of large companies in the U.S. Stock Market. The Lipper S&P 500 Objective Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot
invest directly in an index.
The Fund’s shares have a $10,000,000 minimum investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these
waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights,
which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
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| 6 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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AUGUST 31, 2012 |
JPMorgan Intermediate Bond Trust
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31,
2012 (Unaudited)
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| REPORTING PERIOD RETURN: |
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| JPMorgan Intermediate Bond Trust* |
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2.87% |
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| Barclays Intermediate U.S. Government/Credit Index |
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2.29% |
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| Net Assets as of 8/31/2012 (In Thousands) |
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$ |
383,858 |
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| Duration as of 8/31/2012 |
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3.8 years |
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INVESTMENT OBJECTIVE**
The JPMorgan Intermediate Bond Trust (the “Fund”) seeks current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate
maturities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the six months ended August 31, 2012, the Fund’s relative outperformance versus the Barclays Intermediate U.S. Government/Credit Index (“Benchmark”) was driven, in part, by its
allocation to mortgage-backed securities, which performed strongly during the reporting period and are not represented in the Benchmark. The Fund’s underweight of the credit sector detracted from relative performance as the sector benefited
from investors’ increasing appetite for risk.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used
bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector. The Fund was overweight the
intermediate part (5-10 years) of the yield curve
(the yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time).
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| PORTFOLIO COMPOSITION*** |
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| U.S. Treasury Obligations |
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31.3 |
% |
| Collateralized Mortgage Obligations |
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25.4 |
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| Corporate Bonds |
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18.5 |
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| Mortgage Pass-Through Securities |
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11.0 |
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| Asset-Backed Securities |
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3.5 |
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| U.S. Government Agency Securities |
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2.1 |
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| Commercial Mortgage-Backed Securities |
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1.5 |
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| Foreign Government Securities |
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1.1 |
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| Supranational |
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0.1 |
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| Short-Term Investment |
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5.5 |
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| * |
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The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** |
|
The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** |
|
Percentages indicated are based on total investments as of August 31, 2012. The Fund’s portfolio composition is subject to change.
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| AUGUST 31, 2012 |
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JPMORGAN INSTITUTIONAL TRUST FUNDS |
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7 |
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JPMorgan Intermediate Bond Trust
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
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| AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31,
2012 |
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INCEPTION DATE
OF CLASS |
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6 MONTH* |
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1 YEAR |
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3 YEAR |
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5 YEAR |
|
|
SINCE
INCEPTION |
|
|
|
|
2/07/05 |
|
|
|
2.87 |
% |
|
|
5.53 |
% |
|
|
6.84 |
% |
|
|
7.14 |
% |
|
|
5.99 |
% |
LIFE OF FUND PERFORMANCE
(2/7/05 TO 8/31/12)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future
results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current
performance may be higher or lower than the performance data shown.
The Fund commenced operations on February 7, 2005.
The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust, the Barclays Intermediate U.S.
Government/Credit Index and the Lipper Short-Intermediate U.S. Government Funds Index from February 7, 2005 to August 31, 2012. The performance of the Lipper Short-Intermediate U.S. Government Funds Index reflects an initial investment at the
end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays Intermediate U.S.
Government/Credit Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The
performance of the Lipper Short-Intermediate
U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The
Barclays Intermediate U.S. Government/Credit Index is an unmanaged index comprised of intermediate maturity U.S. Treasury and agency securities and investment grade corporate securities. The Lipper Short-Intermediate U.S. Government Funds Index is
an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
The Fund’s shares have a $5,000,000 minimum investment.
Fund performance may reflect the waiver of
the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values
calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of
America.
|
|
|
|
|
|
|
|
|
|
|
| 8 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Asset-Backed Securities — 4.4% |
|
| |
2,251 |
|
|
Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.036%, 12/27/22 (e) |
|
|
2,251 |
|
|
|
|
|
AH Mortgage Advance Trust, |
|
|
|
|
| |
2,152 |
|
|
Series SART-1, Class A1R, 2.230%, 05/10/43 (e) |
|
|
2,158 |
|
| |
6,667 |
|
|
Series SART-1, Class A2, 3.370%, 05/10/43 (e) |
|
|
6,684 |
|
| |
3,628 |
|
|
Series SART-2, Class A1, 3.270%, 09/15/43 (e) |
|
|
3,669 |
|
| |
880 |
|
|
Series SART-2, Class B1, 6.900%, 09/15/43 (e) |
|
|
881 |
|
| |
2,588 |
|
|
Series SART-3, Class 1A1, 2.980%, 03/13/43 (e) |
|
|
2,606 |
|
| |
4,725 |
|
|
Series SART-3, Class 1A2, 3.720%, 03/13/44 (e) |
|
|
4,772 |
|
|
|
|
|
Ally Auto Receivables Trust, |
|
|
|
|
| |
1,030 |
|
|
Series 2010-3, Class A3, 1.110%, 10/15/14 |
|
|
1,033 |
|
| |
670 |
|
|
Series 2010-3, Class A4, 1.550%, 08/17/15 |
|
|
679 |
|
| |
247 |
|
|
Series 2010-4, Class A3, 0.910%, 11/17/14 |
|
|
247 |
|
| |
671 |
|
|
Series 2011-1, Class A3, 1.380%, 01/15/15 |
|
|
674 |
|
| |
1,418 |
|
|
Series 2012-1, Class A3, 0.930%, 02/16/16 |
|
|
1,430 |
|
| |
980 |
|
|
Series 2012-2, Class A3, 0.740%, 04/15/16 |
|
|
986 |
|
| |
1,250 |
|
|
Series 2012-3, Class A2, 0.700%, 01/15/15 |
|
|
1,252 |
|
| |
1,109 |
|
|
Series 2012-3, Class A3, 0.850%, 08/15/16 |
|
|
1,116 |
|
| |
1,642 |
|
|
Series 2012-4, Class A2, 0.480%, 05/15/15 |
|
|
1,644 |
|
|
|
|
|
American Credit Acceptance Receivables Trust, |
|
|
|
|
| |
324 |
|
|
Series 2012-1, Class A1, 1.960%, 01/15/14 (e) |
|
|
325 |
|
| |
1,120 |
|
|
Series 2012-1, Class A2, 3.040%, 10/15/15 (e) |
|
|
1,121 |
|
|
|
|
|
AmeriCredit Automobile Receivables Trust, |
|
|
|
|
| |
247 |
|
|
Series 2008-AF, Class A4, 6.960%, 10/14/14 |
|
|
249 |
|
| |
726 |
|
|
Series 2010-3, Class A3, 1.140%, 04/08/15 |
|
|
728 |
|
| |
126 |
|
|
Series 2010-4, Class A2, 0.960%, 05/08/14 |
|
|
126 |
|
| |
375 |
|
|
Series 2010-4, Class A3, 1.270%, 04/08/15 |
|
|
376 |
|
| |
103 |
|
|
Series 2011-1, Class A2, 0.840%, 06/09/14 |
|
|
103 |
|
| |
375 |
|
|
Series 2011-1, Class A3, 1.390%, 09/08/15 |
|
|
377 |
|
| |
1,029 |
|
|
Series 2011-3, Class A2, 0.840%, 11/10/14 |
|
|
1,030 |
|
| |
297 |
|
|
Series 2011-4, Class A2, 0.920%, 03/09/15 |
|
|
298 |
|
| |
1,414 |
|
|
Series 2011-4, Class A3, 1.170%, 05/09/16 |
|
|
1,423 |
|
| |
1,195 |
|
|
Series 2011-5, Class A3, 1.550%, 07/08/16 |
|
|
1,214 |
|
| |
1,187 |
|
|
Series 2012-1, Class A2, 0.910%, 10/08/15 |
|
|
1,190 |
|
| |
235 |
|
|
Series 2012-1, Class A3, 1.230%, 09/08/16 |
|
|
238 |
|
| |
123 |
|
|
Series 2012-2, Class A3, 1.050%, 10/11/16 |
|
|
124 |
|
| |
600 |
|
|
Series 2012-3, Class A2, 0.710%, 12/08/15 |
|
|
601 |
|
| |
361 |
|
|
Series 2012-3, Class A3, 0.960%, 01/09/17 |
|
|
364 |
|
|
|
|
|
Bank of America Auto Trust, |
|
|
|
|
| |
40 |
|
|
Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
|
|
40 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
| |
475 |
|
|
Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
|
|
480 |
|
| |
589 |
|
|
Series 2012-1, Class A3, 0.780%, 06/15/16 |
|
|
592 |
|
| |
702 |
|
|
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.605%, 04/25/36 |
|
|
595 |
|
| |
622 |
|
|
BMW Vehicle Lease Trust, Series 2012-1, Class A3, 0.750%, 02/20/15 |
|
|
625 |
|
| |
700 |
|
|
Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) |
|
|
716 |
|
|
|
|
|
CarMax Auto Owner Trust, |
|
|
|
|
| |
187 |
|
|
Series 2010-1, Class A3, 1.560%, 07/15/14 |
|
|
187 |
|
| |
1,213 |
|
|
Series 2011-1, Class A3, 1.290%, 09/15/15 |
|
|
1,220 |
|
| |
885 |
|
|
Series 2011-1, Class A4, 2.160%, 09/15/16 |
|
|
912 |
|
| |
1,350 |
|
|
Series 2011-3, Class A3, 1.070%, 06/15/16 |
|
|
1,361 |
|
| |
421 |
|
|
CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e) |
|
|
421 |
|
| |
547 |
|
|
Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 |
|
|
556 |
|
| |
1,681 |
|
|
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 |
|
|
1,578 |
|
| |
480 |
|
|
Chrysler Financial Auto Securitization Trust, Series 2010-A, Class A3, 0.910%, 08/08/13 |
|
|
480 |
|
| |
800 |
|
|
Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 |
|
|
1,099 |
|
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
| |
501 |
|
|
Series 2003-HE3, Class A, VAR, 0.615%, 12/25/33 |
|
|
456 |
|
| |
1,565 |
|
|
Series 2011-5, Class 1A1, VAR, 0.425%, 02/25/46 (e) (f) (i) |
|
|
1,442 |
|
|
|
|
|
CNH Equipment Trust, |
|
|
|
|
| |
10 |
|
|
Series 2010-A, Class A3, 1.540%, 07/15/14 |
|
|
10 |
|
| |
870 |
|
|
Series 2010-C, Class A3, 1.170%, 05/15/15 |
|
|
873 |
|
| |
926 |
|
|
Series 2011-A, Class A3, 1.200%, 05/16/16 |
|
|
931 |
|
| |
747 |
|
|
Series 2011-A, Class A4, 2.040%, 10/17/16 |
|
|
770 |
|
| |
1,188 |
|
|
Series 2012-A, Class A2, 0.650%, 07/15/15 |
|
|
1,190 |
|
| |
920 |
|
|
Series 2012-A, Class A3, 0.940%, 05/15/17 |
|
|
927 |
|
| |
811 |
|
|
Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.835%, 10/25/34 |
|
|
625 |
|
|
|
|
|
CPS Auto Trust, |
|
|
|
|
| |
1,369 |
|
|
Series 2011-C, Class A, 4.210%, 03/15/19 (e) |
|
|
1,434 |
|
| |
759 |
|
|
Series 2012-A, Class A, 2.780%, 06/17/19 (e) |
|
|
761 |
|
| |
4,081 |
|
|
Series 2012-B, Class A, 2.520%, 09/16/19 (e) |
|
|
4,094 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
9 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Asset-Backed Securities — Continued |
|
|
|
|
|
Credit Acceptance Auto Loan Trust, |
|
|
|
|
| |
1,300 |
|
|
Series 2011-1, Class A, 2.610%, 03/15/19 (e) |
|
|
1,319 |
|
| |
565 |
|
|
Series 2012-1A, Class A, 2.200%, 09/16/19 (e) |
|
|
568 |
|
| |
327 |
|
|
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.350%, 01/25/36 |
|
|
170 |
|
|
|
|
|
Discover Card Master Trust, |
|
|
|
|
| |
1,015 |
|
|
Series 2008-A4, Class A4, 5.650%, 12/15/15 |
|
|
1,057 |
|
| |
813 |
|
|
Series 2012-A1, Class A1, 0.810%, 08/15/17 |
|
|
819 |
|
| |
193 |
|
|
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.335%, 12/25/36 |
|
|
184 |
|
| |
1,000 |
|
|
First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e) |
|
|
1,002 |
|
| |
763 |
|
|
Flagship Credit Auto Trust, Series 2012-1, Class A, 1.860%, 01/15/15 (e) |
|
|
764 |
|
| |
618 |
|
|
Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13 |
|
|
619 |
|
|
|
|
|
Ford Credit Auto Owner Trust, |
|
|
|
|
| |
408 |
|
|
Series 2009-B, Class A4, 4.500%, 07/15/14 |
|
|
414 |
|
| |
1,754 |
|
|
Series 2012-A, Class A3, 0.840%, 08/15/16 |
|
|
1,764 |
|
| |
600 |
|
|
Series 2012-B, Class A3, 0.720%, 12/15/16 |
|
|
603 |
|
| |
2,774 |
|
|
Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) |
|
|
2,829 |
|
|
|
|
|
Freedom Trust, |
|
|
|
|
| |
604 |
|
|
Series 2011-1, Class A13, VAR, 0.402%, 11/30/37 (e) (f) (i) |
|
|
587 |
|
| |
952 |
|
|
Series 2011-2, Class A11, VAR, 4.003%, 08/01/46 (e) |
|
|
953 |
|
| |
392 |
|
|
GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 |
|
|
357 |
|
| |
377 |
|
|
Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15 |
|
|
378 |
|
|
|
|
|
Honda Auto Receivables Owner Trust, |
|
|
|
|
| |
550 |
|
|
Series 2011-1, Class A4, 1.800%, 04/17/17 |
|
|
561 |
|
| |
809 |
|
|
Series 2012-1, Class A3, 0.770%, 01/15/16 |
|
|
813 |
|
| |
337 |
|
|
Series 2012-1, Class A4, 0.970%, 04/16/18 |
|
|
341 |
|
| |
413 |
|
|
Series 2012-2, Class A3, 0.700%, 02/16/16 |
|
|
416 |
|
|
|
|
|
HSBC Home Equity Loan Trust, |
|
|
|
|
| |
1,129 |
|
|
Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 |
|
|
1,071 |
|
| |
433 |
|
|
Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 |
|
|
436 |
|
| |
2,126 |
|
|
Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 |
|
|
2,038 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Huntington Auto Trust, |
|
|
|
|
| |
508 |
|
|
Series 2011-1A, Class A2, 0.760%, 04/15/14 (e) |
|
|
509 |
|
| |
1,000 |
|
|
Series 2011-1A, Class A3, 1.010%, 01/15/16 (e) |
|
|
1,006 |
|
| |
1,000 |
|
|
Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) |
|
|
1,016 |
|
| |
692 |
|
|
Series 2012-1, Class A3, 0.810%, 09/15/16 |
|
|
695 |
|
|
|
|
|
Hyundai Auto Receivables Trust, |
|
|
|
|
| |
429 |
|
|
Series 2010-B, Class A3, 0.970%, 04/15/15 |
|
|
431 |
|
| |
710 |
|
|
Series 2010-B, Class A4, 1.630%, 03/15/17 |
|
|
725 |
|
| |
515 |
|
|
Series 2011-A, Class A3, 1.160%, 04/15/15 |
|
|
518 |
|
| |
520 |
|
|
Series 2011-A, Class A4, 1.780%, 12/15/15 |
|
|
531 |
|
| |
734 |
|
|
Series 2011-B, Class A3, 1.040%, 09/15/15 |
|
|
738 |
|
| |
824 |
|
|
Series 2011-B, Class A4, 1.650%, 02/15/17 |
|
|
843 |
|
| |
865 |
|
|
Series 2012-A, Class A3, 0.720%, 03/15/16 |
|
|
868 |
|
| |
244 |
|
|
Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.435%, 03/25/36 |
|
|
139 |
|
|
|
|
|
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 |
|
|
364 |
|
| |
1,079 |
|
|
Series 2012-B, Class A2, 0.430%, 02/17/15 |
|
|
1,079 |
|
| |
581 |
|
|
Series 2012-B, Class A4, 0.690%, 01/15/19 |
|
|
581 |
|
| |
237 |
|
|
LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i) |
|
|
237 |
|
| |
1,164 |
|
|
Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.586%, 07/25/34 (e) |
|
|
1,147 |
|
|
|
|
|
Long Beach Mortgage Loan Trust, |
|
|
|
|
| |
443 |
|
|
Series 2006-8, Class 2A2, VAR, 0.326%, 09/25/36 |
|
|
162 |
|
| |
660 |
|
|
Series 2006-WL2, Class 2A3, VAR, 0.435%, 01/25/36 |
|
|
541 |
|
| |
1,328 |
|
|
Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.486%, 03/25/32 |
|
|
1,227 |
|
| |
208 |
|
|
Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 |
|
|
209 |
|
| |
1,215 |
|
|
Mid-State Trust, Series 2006-1, Class M1, 6.083%, 10/15/40 (e) |
|
|
1,211 |
|
| |
3,000 |
|
|
MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) |
|
|
3,038 |
|
| |
1,238 |
|
|
NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.591%, 12/07/20 |
|
|
1,242 |
|
| |
1,000 |
|
|
New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.191%, 11/25/33 |
|
|
1,029 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 10 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Asset-Backed Securities — Continued |
|
| |
524 |
|
|
Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e) |
|
|
526 |
|
|
|
|
|
Nissan Auto Receivables Owner Trust, |
|
|
|
|
| |
484 |
|
|
Series 2010-A, Class A3, 0.870%, 07/15/14 |
|
|
485 |
|
| |
450 |
|
|
Series 2010-A, Class A4, 1.310%, 09/15/16 |
|
|
454 |
|
| |
672 |
|
|
Series 2012-A, Class A3, 0.730%, 05/16/16 |
|
|
679 |
|
| |
333 |
|
|
Series 2012-A, Class A4, 1.000%, 07/16/18 |
|
|
339 |
|
| |
1,475 |
|
|
Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.861%, 10/25/34 |
|
|
1,405 |
|
| |
634 |
|
|
PennyMac Loan Trust, Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i) |
|
|
635 |
|
| |
3,000 |
|
|
RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.536%, 03/25/36 |
|
|
2,630 |
|
| |
377 |
|
|
Real Estate Asset Trust, Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i) |
|
|
377 |
|
| |
300 |
|
|
Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 |
|
|
129 |
|
| |
2,074 |
|
|
Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) |
|
|
2,079 |
|
| |
7,934 |
|
|
Resort Finance Timeshare Receivables Trust, Series 2012-1, Class A1, SUB, 6.250%, 07/05/18 (f) (i) |
|
|
7,934 |
|
|
|
|
|
Santander Drive Auto Receivables Trust, |
|
|
|
|
| |
375 |
|
|
Series 2010-3, Class A3, 1.200%, 06/16/14 |
|
|
375 |
|
| |
700 |
|
|
Series 2010-A, Class A4, 2.390%, 06/15/17 (e) |
|
|
719 |
|
| |
357 |
|
|
Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) |
|
|
358 |
|
| |
752 |
|
|
Series 2011-S2A, Class D, 3.350%, 06/15/17 (e) |
|
|
754 |
|
| |
1,772 |
|
|
Series 2012-1, Class A2, 1.250%, 04/15/15 |
|
|
1,780 |
|
| |
411 |
|
|
Series 2012-1, Class A3, 1.490%, 10/15/15 |
|
|
416 |
|
| |
786 |
|
|
Series 2012-2, Class A2, 0.910%, 05/15/15 |
|
|
788 |
|
| |
427 |
|
|
Series 2012-2, Class A3, 1.220%, 12/15/15 |
|
|
431 |
|
| |
248 |
|
|
Series 2012-3, Class A3, 1.080%, 04/15/16 |
|
|
250 |
|
| |
682 |
|
|
Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33 |
|
|
682 |
|
| |
763 |
|
|
SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e) |
|
|
764 |
|
| |
286 |
|
|
Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.506%, 06/25/35 |
|
|
282 |
|
| |
335 |
|
|
Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 |
|
|
338 |
|
|
|
|
|
Toyota Auto Receivables Owner Trust, |
|
|
|
|
| |
836 |
|
|
Series 2010-C, Class A3, 0.770%, 04/15/14 |
|
|
837 |
|
| |
1,407 |
|
|
Series 2011-A, Class A3, 0.980%, 10/15/14 |
|
|
1,411 |
|
| |
1,540 |
|
|
Series 2011-A, Class A4, 1.560%, 05/15/15 |
|
|
1,564 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
3,844 |
|
|
Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.639%, 10/15/15 (e) |
|
|
3,905 |
|
| |
1,100 |
|
|
Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15 |
|
|
1,107 |
|
| |
2,127 |
|
|
Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 |
|
|
2,141 |
|
|
|
|
|
VOLT LLC, |
|
|
|
|
| |
7,142 |
|
|
Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) |
|
|
7,142 |
|
| |
3,076 |
|
|
Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (f) (i) |
|
|
3,084 |
|
| |
300 |
|
|
Series 2012-RP2A, Class A2, 8.836%, 06/26/17 (e) |
|
|
301 |
|
| |
2,556 |
|
|
Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) |
|
|
2,558 |
|
| |
584 |
|
|
Westlake Automobile Receivables Trust, Series 2011-1A, Class A3, 1.490%, 06/16/14 (e) |
|
|
585 |
|
| |
1,370 |
|
|
World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15 |
|
|
1,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(Cost $157,384) |
|
|
158,617 |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — 32.3% |
|
|
|
|
|
Agency CMO — 21.2% |
|
|
|
|
|
Federal Home Loan Bank, |
|
|
|
|
| |
904 |
|
|
Series 2000-0606, Class Y, 5.270%, 12/28/12 |
|
|
915 |
|
| |
3,798 |
|
|
Series 9M-2012, Class A, 4.720%, 09/20/12 |
|
|
3,805 |
|
| |
1,367 |
|
|
Series TQ-2015, Class A, 5.065%, 10/20/15 |
|
|
1,471 |
|
| |
306 |
|
|
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23 |
|
|
348 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS, |
|
|
|
|
| |
28 |
|
|
Series 11, Class D, 9.500%, 07/15/19 |
|
|
30 |
|
| |
14 |
|
|
Series 22, Class C, 9.500%, 04/15/20 |
|
|
15 |
|
| |
22 |
|
|
Series 23, Class F, 9.600%, 04/15/20 |
|
|
25 |
|
| |
— |
(h) |
|
Series 41, Class I, HB, 84.000%, 05/15/20 |
|
|
— |
(h) |
| |
2 |
|
|
Series 47, Class F, 10.000%, 06/15/20 |
|
|
2 |
|
| |
7 |
|
|
Series 99, Class Z, 9.500%, 01/15/21 |
|
|
8 |
|
| |
— |
(h) |
|
Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 |
|
|
1 |
|
| |
— |
(h) |
|
Series 1045, Class G, HB, 1,066.208%, 02/15/21 |
|
|
1 |
|
| |
9 |
|
|
Series 1065, Class J, 9.000%, 04/15/21 |
|
|
11 |
|
| |
2 |
|
|
Series 1079, Class S, HB, IF, 33.150%, 05/15/21 |
|
|
4 |
|
| |
8 |
|
|
Series 1084, Class F, VAR, 1.200%, 05/15/21 |
|
|
8 |
|
| |
5 |
|
|
Series 1084, Class S, HB, IF, 44.100%, 05/15/21 |
|
|
11 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
11 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
18 |
|
|
Series 1116, Class I, 5.500%, 08/15/21 |
|
|
20 |
|
| |
16 |
|
|
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 |
|
|
14 |
|
| |
20 |
|
|
Series 1250, Class J, 7.000%, 05/15/22 |
|
|
24 |
|
| |
28 |
|
|
Series 1343, Class LA, 8.000%, 08/15/22 |
|
|
33 |
|
| |
35 |
|
|
Series 1343, Class LB, 7.500%, 08/15/22 |
|
|
42 |
|
| |
64 |
|
|
Series 1370, Class JA, VAR, 1.400%, 09/15/22 |
|
|
64 |
|
| |
62 |
|
|
Series 1455, Class WB, IF, 4.550%, 12/15/22 |
|
|
66 |
|
| |
294 |
|
|
Series 1466, Class PZ, 7.500%, 02/15/23 |
|
|
339 |
|
| |
5 |
|
|
Series 1470, Class F, VAR, 2.116%, 02/15/23 |
|
|
5 |
|
| |
321 |
|
|
Series 1498, Class I, VAR, 1.400%, 04/15/23 |
|
|
321 |
|
| |
430 |
|
|
Series 1502, Class PX, 7.000%, 04/15/23 |
|
|
495 |
|
| |
57 |
|
|
Series 1505, Class Q, 7.000%, 05/15/23 |
|
|
65 |
|
| |
130 |
|
|
Series 1518, Class G, IF, 8.799%, 05/15/23 |
|
|
155 |
|
| |
43 |
|
|
Series 1541, Class M, HB, IF, 23.091%, 07/15/23 |
|
|
72 |
|
| |
118 |
|
|
Series 1541, Class O, VAR, 0.840%, 07/15/23 |
|
|
120 |
|
| |
12 |
|
|
Series 1570, Class F, VAR, 2.616%, 08/15/23 |
|
|
13 |
|
| |
420 |
|
|
Series 1573, Class PZ, 7.000%, 09/15/23 |
|
|
482 |
|
| |
278 |
|
|
Series 1591, Class PV, 6.250%, 10/15/23 |
|
|
288 |
|
| |
6 |
|
|
Series 1595, Class D, 7.000%, 10/15/13 |
|
|
6 |
|
| |
23 |
|
|
Series 1596, Class D, 6.500%, 10/15/13 |
|
|
23 |
|
| |
27 |
|
|
Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 |
|
|
44 |
|
| |
5 |
|
|
Series 1607, Class SA, HB, IF, 20.690%, 10/15/13 |
|
|
6 |
|
| |
1,193 |
|
|
Series 1608, Class L, 6.500%, 09/15/23 |
|
|
1,346 |
|
| |
241 |
|
|
Series 1609, Class LG, IF, 16.792%, 11/15/23 |
|
|
283 |
|
| |
661 |
|
|
Series 1638, Class H, 6.500%, 12/15/23 |
|
|
748 |
|
| |
533 |
|
|
Series 1642, Class PJ, 6.000%, 11/15/23 |
|
|
612 |
|
| |
14 |
|
|
Series 1671, Class QC, IF, 10.000%, 02/15/24 |
|
|
22 |
|
| |
18 |
|
|
Series 1686, Class SH, IF, 18.675%, 02/15/24 |
|
|
30 |
|
| |
184 |
|
|
Series 1695, Class EB, 7.000%, 03/15/24 |
|
|
212 |
|
| |
36 |
|
|
Series 1699, Class FC, VAR, 0.850%, 03/15/24 |
|
|
37 |
|
| |
190 |
|
|
Series 1700, Class GA, PO, 02/15/24 |
|
|
186 |
|
| |
508 |
|
|
Series 1706, Class K, 7.000%, 03/15/24 |
|
|
587 |
|
| |
17 |
|
|
Series 1709, Class FA, VAR, 0.670%, 03/15/24 |
|
|
17 |
|
| |
53 |
|
|
Series 1745, Class D, 7.500%, 08/15/24 |
|
|
62 |
|
| |
1,171 |
|
|
Series 1760, Class ZD, VAR, 1.020%, 02/15/24 |
|
|
1,218 |
|
| |
409 |
|
|
Series 1798, Class F, 5.000%, 05/15/23 |
|
|
444 |
|
| |
7 |
|
|
Series 1807, Class G, 9.000%, 10/15/20 |
|
|
8 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
119 |
|
|
Series 1829, Class ZB, 6.500%, 03/15/26 |
|
|
134 |
|
| |
6 |
|
|
Series 1844, Class E, 6.500%, 10/15/13 |
|
|
6 |
|
| |
116 |
|
|
Series 1863, Class Z, 6.500%, 07/15/26 |
|
|
131 |
|
| |
39 |
|
|
Series 1865, Class D, PO, 02/15/24 |
|
|
29 |
|
| |
79 |
|
|
Series 1890, Class H, 7.500%, 09/15/26 |
|
|
93 |
|
| |
239 |
|
|
Series 1899, Class ZE, 8.000%, 09/15/26 |
|
|
281 |
|
| |
13 |
|
|
Series 1935, Class FL, VAR, 0.950%, 02/15/27 |
|
|
13 |
|
| |
175 |
|
|
Series 1963, Class Z, 7.500%, 01/15/27 |
|
|
206 |
|
| |
26 |
|
|
Series 1970, Class PG, 7.250%, 07/15/27 |
|
|
30 |
|
| |
263 |
|
|
Series 1981, Class Z, 6.000%, 05/15/27 |
|
|
289 |
|
| |
119 |
|
|
Series 1987, Class PE, 7.500%, 09/15/27 |
|
|
141 |
|
| |
292 |
|
|
Series 2019, Class Z, 6.500%, 12/15/27 |
|
|
331 |
|
| |
5 |
|
|
Series 2025, Class PE, 6.300%, 01/15/13 |
|
|
5 |
|
| |
88 |
|
|
Series 2033, Class SN, HB, IF, 26.419%, 03/15/24 |
|
|
77 |
|
| |
236 |
|
|
Series 2038, Class PN, IO, 7.000%, 03/15/28 |
|
|
58 |
|
| |
471 |
|
|
Series 2040, Class PE, 7.500%, 03/15/28 |
|
|
555 |
|
| |
81 |
|
|
Series 2043, Class CJ, 6.500%, 04/15/28 |
|
|
93 |
|
| |
369 |
|
|
Series 2054, Class PV, 7.500%, 05/15/28 |
|
|
435 |
|
| |
27 |
|
|
Series 2055, Class OE, 6.500%, 05/15/13 |
|
|
27 |
|
| |
723 |
|
|
Series 2075, Class PH, 6.500%, 08/15/28 |
|
|
829 |
|
| |
813 |
|
|
Series 2075, Class PM, 6.250%, 08/15/28 |
|
|
839 |
|
| |
240 |
|
|
Series 2086, Class GB, 6.000%, 09/15/28 |
|
|
244 |
|
| |
317 |
|
|
Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
|
|
80 |
|
| |
1,085 |
|
|
Series 2095, Class PE, 6.000%, 11/15/28 |
|
|
1,219 |
|
| |
104 |
|
|
Series 2102, Class TC, 6.000%, 12/15/13 |
|
|
106 |
|
| |
70 |
|
|
Series 2102, Class TU, 6.000%, 12/15/13 |
|
|
72 |
|
| |
282 |
|
|
Series 2115, Class PE, 6.000%, 01/15/14 |
|
|
289 |
|
| |
344 |
|
|
Series 2125, Class JZ, 6.000%, 02/15/29 |
|
|
360 |
|
| |
79 |
|
|
Series 2132, Class SB, HB, IF, 29.485%, 03/15/29 |
|
|
152 |
|
| |
50 |
|
|
Series 2134, Class PI, IO, 6.500%, 03/15/19 |
|
|
6 |
|
| |
8 |
|
|
Series 2135, Class UK, IO, 6.500%, 03/15/14 |
|
|
— |
(h) |
| |
336 |
|
|
Series 2136, Class PG, 6.000%, 03/15/29 |
|
|
376 |
|
| |
42 |
|
|
Series 2141, Class IO, IO, 7.000%, 04/15/29 |
|
|
10 |
|
| |
99 |
|
|
Series 2163, Class PC, IO, 7.500%, 06/15/29 |
|
|
23 |
|
| |
1,198 |
|
|
Series 2169, Class TB, 7.000%, 06/15/29 |
|
|
1,405 |
|
| |
522 |
|
|
Series 2172, Class QC, 7.000%, 07/15/29 |
|
|
613 |
|
| |
484 |
|
|
Series 2176, Class OJ, 7.000%, 08/15/29 |
|
|
559 |
|
| |
271 |
|
|
Series 2201, Class C, 8.000%, 11/15/29 |
|
|
324 |
|
| |
232 |
|
|
Series 2209, Class TC, 8.000%, 01/15/30 |
|
|
274 |
|
| |
401 |
|
|
Series 2210, Class Z, 8.000%, 01/15/30 |
|
|
480 |
|
| |
102 |
|
|
Series 2224, Class CB, 8.000%, 03/15/30 |
|
|
122 |
|
| |
237 |
|
|
Series 2230, Class Z, 8.000%, 04/15/30 |
|
|
281 |
|
| |
196 |
|
|
Series 2234, Class PZ, 7.500%, 05/15/30 |
|
|
232 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 12 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
165 |
|
|
Series 2247, Class Z, 7.500%, 08/15/30 |
|
|
195 |
|
| |
234 |
|
|
Series 2256, Class MC, 7.250%, 09/15/30 |
|
|
276 |
|
| |
482 |
|
|
Series 2259, Class ZM, 7.000%, 10/15/30 |
|
|
567 |
|
| |
10 |
|
|
Series 2261, Class ZY, 7.500%, 10/15/30 |
|
|
12 |
|
| |
56 |
|
|
Series 2262, Class Z, 7.500%, 10/15/30 |
|
|
67 |
|
| |
502 |
|
|
Series 2271, Class PC, 7.250%, 12/15/30 |
|
|
591 |
|
| |
820 |
|
|
Series 2283, Class K, 6.500%, 12/15/23 |
|
|
919 |
|
| |
245 |
|
|
Series 2296, Class PD, 7.000%, 03/15/31 |
|
|
289 |
|
| |
79 |
|
|
Series 2306, Class K, PO, 05/15/24 |
|
|
68 |
|
| |
188 |
|
|
Series 2306, Class SE, IF, IO, 9.080%, 05/15/24 |
|
|
35 |
|
| |
243 |
|
|
Series 2313, Class LA, 6.500%, 05/15/31 |
|
|
280 |
|
| |
489 |
|
|
Series 2325, Class PM, 7.000%, 06/15/31 |
|
|
535 |
|
| |
734 |
|
|
Series 2344, Class QG, 6.000%, 08/15/16 |
|
|
781 |
|
| |
2,889 |
|
|
Series 2344, Class ZD, 6.500%, 08/15/31 |
|
|
3,180 |
|
| |
276 |
|
|
Series 2344, Class ZJ, 6.500%, 08/15/31 |
|
|
304 |
|
| |
240 |
|
|
Series 2345, Class NE, 6.500%, 08/15/31 |
|
|
248 |
|
| |
224 |
|
|
Series 2345, Class PQ, 6.500%, 08/15/16 |
|
|
231 |
|
| |
300 |
|
|
Series 2351, Class PZ, 6.500%, 08/15/31 |
|
|
338 |
|
| |
2,594 |
|
|
Series 2353, Class AZ, 6.000%, 09/15/31 |
|
|
2,723 |
|
| |
286 |
|
|
Series 2353, Class TD, 6.000%, 09/15/16 |
|
|
306 |
|
| |
242 |
|
|
Series 2355, Class BP, 6.000%, 09/15/16 |
|
|
257 |
|
| |
157 |
|
|
Series 2359, Class PM, 6.000%, 09/15/16 |
|
|
162 |
|
| |
1,076 |
|
|
Series 2359, Class ZB, 8.500%, 06/15/31 |
|
|
1,259 |
|
| |
450 |
|
|
Series 2360, Class PG, 6.000%, 09/15/16 |
|
|
481 |
|
| |
104 |
|
|
Series 2363, Class PF, 6.000%, 09/15/16 |
|
|
111 |
|
| |
192 |
|
|
Series 2366, Class MD, 6.000%, 10/15/16 |
|
|
205 |
|
| |
441 |
|
|
Series 2367, Class ME, 6.500%, 10/15/31 |
|
|
479 |
|
| |
700 |
|
|
Series 2391, Class QR, 5.500%, 12/15/16 |
|
|
744 |
|
| |
276 |
|
|
Series 2394, Class MC, 6.000%, 12/15/16 |
|
|
294 |
|
| |
913 |
|
|
Series 2396, Class FM, VAR, 0.689%, 12/15/31 |
|
|
918 |
|
| |
544 |
|
|
Series 2399, Class OH, 6.500%, 01/15/32 |
|
|
600 |
|
| |
934 |
|
|
Series 2399, Class TH, 6.500%, 01/15/32 |
|
|
1,030 |
|
| |
782 |
|
|
Series 2410, Class NG, 6.500%, 02/15/32 |
|
|
868 |
|
| |
288 |
|
|
Series 2410, Class OE, 6.375%, 02/15/32 |
|
|
317 |
|
| |
590 |
|
|
Series 2410, Class QS, IF, 18.877%, 02/15/32 |
|
|
836 |
|
| |
266 |
|
|
Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 |
|
|
56 |
|
| |
645 |
|
|
Series 2412, Class SP, IF, 15.621%, 02/15/32 |
|
|
884 |
|
| |
1,070 |
|
|
Series 2420, Class XK, 6.500%, 02/15/32 |
|
|
1,175 |
|
| |
604 |
|
|
Series 2423, Class MC, 7.000%, 03/15/32 |
|
|
713 |
|
| |
616 |
|
|
Series 2423, Class MT, 7.000%, 03/15/32 |
|
|
690 |
|
| |
273 |
|
|
Series 2425, Class OB, 6.000%, 03/15/17 |
|
|
293 |
|
| |
1,451 |
|
|
Series 2430, Class WF, 6.500%, 03/15/32 |
|
|
1,677 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
777 |
|
|
Series 2434, Class TC, 7.000%, 04/15/32 |
|
|
891 |
|
| |
565 |
|
|
Series 2435, Class CJ, 6.500%, 04/15/32 |
|
|
653 |
|
| |
634 |
|
|
Series 2436, Class MC, 7.000%, 04/15/32 |
|
|
741 |
|
| |
503 |
|
|
Series 2444, Class ES, IF, IO, 7.711%, 03/15/32 |
|
|
113 |
|
| |
334 |
|
|
Series 2450, Class GZ, 7.000%, 05/15/32 |
|
|
394 |
|
| |
402 |
|
|
Series 2450, Class SW, IF, IO, 7.760%, 03/15/32 |
|
|
91 |
|
| |
2,059 |
|
|
Series 2455, Class GK, 6.500%, 05/15/32 |
|
|
2,381 |
|
| |
170 |
|
|
Series 2458, Class QE, 5.500%, 06/15/17 |
|
|
180 |
|
| |
646 |
|
|
Series 2462, Class JG, 6.500%, 06/15/32 |
|
|
747 |
|
| |
1,699 |
|
|
Series 2464, Class SI, IF, IO, 7.760%, 02/15/32 |
|
|
336 |
|
| |
304 |
|
|
Series 2466, Class PG, 6.500%, 04/15/32 |
|
|
315 |
|
| |
942 |
|
|
Series 2466, Class PH, 6.500%, 06/15/32 |
|
|
1,074 |
|
| |
679 |
|
|
Series 2474, Class NR, 6.500%, 07/15/32 |
|
|
765 |
|
| |
903 |
|
|
Series 2484, Class LZ, 6.500%, 07/15/32 |
|
|
1,043 |
|
| |
1,491 |
|
|
Series 2500, Class MC, 6.000%, 09/15/32 |
|
|
1,629 |
|
| |
92 |
|
|
Series 2503, Class BH, 5.500%, 09/15/17 |
|
|
98 |
|
| |
470 |
|
|
Series 2508, Class AQ, 5.500%, 10/15/17 |
|
|
506 |
|
| |
1,062 |
|
|
Series 2512, Class PG, 5.500%, 10/15/22 |
|
|
1,178 |
|
| |
249 |
|
|
Series 2515, Class DE, 4.000%, 03/15/32 |
|
|
253 |
|
| |
157 |
|
|
Series 2518, Class PX, 5.500%, 09/15/13 |
|
|
157 |
|
| |
536 |
|
|
Series 2535, Class BK, 5.500%, 12/15/22 |
|
|
596 |
|
| |
987 |
|
|
Series 2537, Class TE, 5.500%, 12/15/17 |
|
|
1,063 |
|
| |
1,919 |
|
|
Series 2543, Class YX, 6.000%, 12/15/32 |
|
|
2,159 |
|
| |
1,677 |
|
|
Series 2544, Class HC, 6.000%, 12/15/32 |
|
|
1,888 |
|
| |
2,098 |
|
|
Series 2552, Class ME, 6.000%, 01/15/33 |
|
|
2,361 |
|
| |
1,481 |
|
|
Series 2567, Class QD, 6.000%, 02/15/33 |
|
|
1,670 |
|
| |
1,483 |
|
|
Series 2568, Class KG, 5.500%, 02/15/23 |
|
|
1,631 |
|
| |
178 |
|
|
Series 2571, Class SK, HB, IF, 33.467%, 09/15/23 |
|
|
350 |
|
| |
3,767 |
|
|
Series 2575, Class ME, 6.000%, 02/15/33 |
|
|
4,308 |
|
| |
563 |
|
|
Series 2586, Class WI, IO, 6.500%, 03/15/33 |
|
|
112 |
|
| |
1,704 |
|
|
Series 2587, Class WX, 5.000%, 03/15/18 |
|
|
1,853 |
|
| |
1,368 |
|
|
Series 2596, Class QG, 6.000%, 03/15/33 |
|
|
1,524 |
|
| |
79 |
|
|
Series 2597, Class DS, IF, IO, 7.310%, 02/15/33 |
|
|
3 |
|
| |
78 |
|
|
Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 |
|
|
2 |
|
| |
97 |
|
|
Series 2610, Class DS, IF, IO, 6.860%, 03/15/33 |
|
|
3 |
|
| |
662 |
|
|
Series 2611, Class UH, 4.500%, 05/15/18 |
|
|
696 |
|
| |
1,095 |
|
|
Series 2617, Class GR, 4.500%, 05/15/18 |
|
|
1,162 |
|
| |
37 |
|
|
Series 2619, Class HR, 3.500%, 11/15/31 |
|
|
37 |
|
| |
1,724 |
|
|
Series 2626, Class NS, IF, IO, 6.311%, 06/15/23 |
|
|
124 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
13 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
1,351 |
|
|
Series 2631, Class LC, 4.500%, 06/15/18 |
|
|
1,438 |
|
| |
602 |
|
|
Series 2636, Class Z, 4.500%, 06/15/18 |
|
|
639 |
|
| |
761 |
|
|
Series 2637, Class SA, IF, IO, 5.861%, 06/15/18 |
|
|
77 |
|
| |
95 |
|
|
Series 2638, Class DS, IF, 8.360%, 07/15/23 |
|
|
104 |
|
| |
424 |
|
|
Series 2640, Class UG, IO, 5.000%, 01/15/32 |
|
|
16 |
|
| |
873 |
|
|
Series 2640, Class UP, IO, 5.000%, 01/15/32 |
|
|
28 |
|
| |
3 |
|
|
Series 2640, Class UR, IO, 4.500%, 08/15/17 |
|
|
— |
(h) |
| |
2,062 |
|
|
Series 2645, Class BI, IO, 4.500%, 02/15/18 |
|
|
69 |
|
| |
620 |
|
|
Series 2650, Class PO, PO, 12/15/32 |
|
|
595 |
|
| |
2,135 |
|
|
Series 2650, Class SO, PO, 12/15/32 |
|
|
2,045 |
|
| |
942 |
|
|
Series 2651, Class VZ, 4.500%, 07/15/18 |
|
|
1,002 |
|
| |
1,758 |
|
|
Series 2672, Class ME, 5.000%, 11/15/22 |
|
|
1,856 |
|
| |
4,235 |
|
|
Series 2675, Class CK, 4.000%, 09/15/18 |
|
|
4,477 |
|
| |
321 |
|
|
Series 2682, Class YS, IF, 8.631%, 10/15/33 |
|
|
324 |
|
| |
11,714 |
|
|
Series 2684, Class PO, PO, 01/15/33 |
|
|
11,357 |
|
| |
188 |
|
|
Series 2690, Class SJ, IF, 8.791%, 10/15/33 |
|
|
192 |
|
| |
1,398 |
|
|
Series 2691, Class ME, 4.500%, 04/15/32 |
|
|
1,448 |
|
| |
460 |
|
|
Series 2692, Class SC, IF, 12.808%, 07/15/33 |
|
|
539 |
|
| |
115 |
|
|
Series 2695, Class DE, 4.000%, 01/15/17 |
|
|
115 |
|
| |
1,199 |
|
|
Series 2695, Class DG, 4.000%, 10/15/18 |
|
|
1,274 |
|
| |
81 |
|
|
Series 2695, Class OB, PO, 10/15/33 |
|
|
80 |
|
| |
165 |
|
|
Series 2696, Class CO, PO, 10/15/18 |
|
|
164 |
|
| |
69 |
|
|
Series 2700, Class S, IF, 8.641%, 11/15/33 |
|
|
70 |
|
| |
873 |
|
|
Series 2702, Class PC, 5.000%, 01/15/23 |
|
|
923 |
|
| |
88 |
|
|
Series 2705, Class SC, IF, 8.641%, 11/15/33 |
|
|
89 |
|
| |
166 |
|
|
Series 2705, Class SD, IF, 8.692%, 11/15/33 |
|
|
167 |
|
| |
2,000 |
|
|
Series 2710, Class HB, 5.500%, 11/15/23 |
|
|
2,289 |
|
| |
1,605 |
|
|
Series 2715, Class OG, 5.000%, 01/15/23 |
|
|
1,677 |
|
| |
2,100 |
|
|
Series 2716, Class UN, 4.500%, 12/15/23 |
|
|
2,298 |
|
| |
1,027 |
|
|
Series 2720, Class PC, 5.000%, 12/15/23 |
|
|
1,127 |
|
| |
1,076 |
|
|
Series 2727, Class BS, IF, 8.716%, 01/15/34 |
|
|
1,087 |
|
| |
1,273 |
|
|
Series 2744, Class PE, 5.500%, 02/15/34 |
|
|
1,369 |
|
| |
1,835 |
|
|
Series 2744, Class TU, 5.500%, 05/15/32 |
|
|
1,949 |
|
| |
141 |
|
|
Series 2751, Class BA, 4.000%, 10/15/18 |
|
|
142 |
|
| |
422 |
|
|
Series 2755, Class PA, PO, 02/15/29 |
|
|
421 |
|
| |
647 |
|
|
Series 2755, Class SA, IF, 13.721%, 05/15/30 |
|
|
697 |
|
| |
735 |
|
|
Series 2764, Class TE, 5.000%, 10/15/32 |
|
|
765 |
|
| |
928 |
|
|
Series 2777, Class OM, PO, 12/15/32 |
|
|
910 |
|
| |
123 |
|
|
Series 2780, Class JG, 4.500%, 04/15/19 |
|
|
127 |
|
| |
1,284 |
|
|
Series 2783, Class AT, 4.000%, 04/15/19 |
|
|
1,389 |
|
| |
17 |
|
|
Series 2809, Class UB, 4.000%, 09/15/17 |
|
|
17 |
|
| |
5,515 |
|
|
Series 2809, Class UC, 4.000%, 06/15/19 |
|
|
5,838 |
|
| |
197 |
|
|
Series 2812, Class NO, PO, 10/15/33 |
|
|
195 |
|
| |
641 |
|
|
Series 2827, Class XO, PO, 01/15/23 |
|
|
629 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
166 |
|
|
Series 2835, Class QO, PO, 12/15/32 |
|
|
152 |
|
| |
554 |
|
|
Series 2840, Class JO, PO, 06/15/23 |
|
|
543 |
|
| |
453 |
|
|
Series 2850, Class SN, IF, IO, 6.910%, 09/15/18 |
|
|
19 |
|
| |
48 |
|
|
Series 2870, Class KC, 4.250%, 05/15/18 |
|
|
48 |
|
| |
829 |
|
|
Series 2872, Class JE, 4.500%, 02/15/18 |
|
|
840 |
|
| |
1,020 |
|
|
Series 2922, Class JN, 4.500%, 02/15/20 |
|
|
1,063 |
|
| |
1,241 |
|
|
Series 2934, Class EC, PO, 02/15/20 |
|
|
1,191 |
|
| |
83 |
|
|
Series 2934, Class EN, PO, 02/15/18 |
|
|
82 |
|
| |
1,034 |
|
|
Series 2934, Class HI, IO, 5.000%, 02/15/20 |
|
|
102 |
|
| |
1,027 |
|
|
Series 2934, Class KI, IO, 5.000%, 02/15/20 |
|
|
105 |
|
| |
856 |
|
|
Series 2958, Class QD, 4.500%, 04/15/20 |
|
|
922 |
|
| |
1,500 |
|
|
Series 2962, Class BE, 4.500%, 04/15/20 |
|
|
1,652 |
|
| |
3,425 |
|
|
Series 2965, Class GD, 4.500%, 04/15/20 |
|
|
3,747 |
|
| |
766 |
|
|
Series 2971, Class GC, 5.000%, 07/15/18 |
|
|
790 |
|
| |
261 |
|
|
Series 2989, Class PO, PO, 06/15/23 |
|
|
256 |
|
| |
4,281 |
|
|
Series 3004, Class EK, 5.500%, 07/15/35 |
|
|
4,587 |
|
| |
129 |
|
|
Series 3007, Class AI, IO, 5.500%, 07/15/24 |
|
|
7 |
|
| |
164 |
|
|
Series 3014, Class OD, PO, 08/15/35 |
|
|
155 |
|
| |
1,475 |
|
|
Series 3047, Class OB, 5.500%, 12/15/33 |
|
|
1,539 |
|
| |
944 |
|
|
Series 3047, Class OD, 5.500%, 10/15/35 |
|
|
1,183 |
|
| |
1,050 |
|
|
Series 3049, Class XF, VAR, 0.590%, 05/15/33 |
|
|
1,052 |
|
| |
3,095 |
|
|
Series 3064, Class MC, 5.500%, 11/15/35 |
|
|
3,842 |
|
| |
305 |
|
|
Series 3064, Class OB, 5.500%, 07/15/29 |
|
|
306 |
|
| |
368 |
|
|
Series 3068, Class AO, PO, 01/15/35 |
|
|
360 |
|
| |
856 |
|
|
Series 3068, Class QB, 4.500%, 06/15/20 |
|
|
903 |
|
| |
2,141 |
|
|
Series 3074, Class BH, 5.000%, 11/15/35 |
|
|
2,481 |
|
| |
1,267 |
|
|
Series 3085, Class WF, VAR, 1.039%, 08/15/35 |
|
|
1,279 |
|
| |
159 |
|
|
Series 3100, Class MA, VAR, 1.708%, 12/15/35 |
|
|
156 |
|
| |
1,674 |
|
|
Series 3102, Class FB, VAR, 0.540%, 01/15/36 |
|
|
1,679 |
|
| |
382 |
|
|
Series 3102, Class HS, HB, IF, 23.688%, 01/15/36 |
|
|
602 |
|
| |
1,743 |
|
|
Series 3117, Class EO, PO, 02/15/36 |
|
|
1,634 |
|
| |
1,079 |
|
|
Series 3117, Class OK, PO, 02/15/36 |
|
|
1,021 |
|
| |
133 |
|
|
Series 3122, Class ZB, 6.000%, 03/15/36 |
|
|
139 |
|
| |
2,750 |
|
|
Series 3131, Class BK, 5.500%, 03/15/26 |
|
|
3,149 |
|
| |
400 |
|
|
Series 3134, Class PO, PO, 03/15/36 |
|
|
378 |
|
| |
1,773 |
|
|
Series 3138, Class PO, PO, 04/15/36 |
|
|
1,709 |
|
| |
86 |
|
|
Series 3149, Class SO, PO, 05/15/36 |
|
|
82 |
|
| |
2,055 |
|
|
Series 3151, Class UC, 5.500%, 08/15/35 |
|
|
2,208 |
|
| |
1,008 |
|
|
Series 3152, Class MO, PO, 03/15/36 |
|
|
895 |
|
| |
222 |
|
|
Series 3171, Class MO, PO, 06/15/36 |
|
|
212 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 14 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
1,987 |
|
|
Series 3179, Class OA, PO, 07/15/36 |
|
|
1,908 |
|
| |
808 |
|
|
Series 3194, Class SA, IF, IO, 6.860%, 07/15/36 |
|
|
116 |
|
| |
1,186 |
|
|
Series 3211, Class SO, PO, 09/15/36 |
|
|
1,145 |
|
| |
615 |
|
|
Series 3218, Class AO, PO, 09/15/36 |
|
|
582 |
|
| |
1,928 |
|
|
Series 3219, Class DI, IO, 6.000%, 04/15/36 |
|
|
269 |
|
| |
1,500 |
|
|
Series 3229, Class HE, 5.000%, 10/15/26 |
|
|
1,714 |
|
| |
1,545 |
|
|
Series 3232, Class ST, IF, IO, 6.460%, 10/15/36 |
|
|
242 |
|
| |
760 |
|
|
Series 3233, Class OP, PO, 05/15/36 |
|
|
728 |
|
| |
1,481 |
|
|
Series 3242, Class NE, 5.750%, 02/15/34 |
|
|
1,534 |
|
| |
725 |
|
|
Series 3256, Class PO, PO, 12/15/36 |
|
|
686 |
|
| |
1,627 |
|
|
Series 3260, Class CS, IF, IO, 5.901%, 01/15/37 |
|
|
227 |
|
| |
808 |
|
|
Series 3261, Class OA, PO, 01/15/37 |
|
|
756 |
|
| |
918 |
|
|
Series 3274, Class JO, PO, 02/15/37 |
|
|
869 |
|
| |
517 |
|
|
Series 3275, Class FL, VAR, 0.679%, 02/15/37 |
|
|
517 |
|
| |
2,372 |
|
|
Series 3290, Class SB, IF, IO, 6.211%, 03/15/37 |
|
|
369 |
|
| |
2,738 |
|
|
Series 3315, Class HZ, 6.000%, 05/15/37 |
|
|
3,216 |
|
| |
2,000 |
|
|
Series 3316, Class GD, 5.500%, 06/15/35 |
|
|
2,091 |
|
| |
221 |
|
|
Series 3318, Class AO, PO, 05/15/37 |
|
|
213 |
|
| |
431 |
|
|
Series 3326, Class JO, PO, 06/15/37 |
|
|
410 |
|
| |
1,226 |
|
|
Series 3331, Class PO, PO, 06/15/37 |
|
|
1,172 |
|
| |
1,477 |
|
|
Series 3385, Class SN, IF, IO, 5.761%, 11/15/37 |
|
|
180 |
|
| |
1,590 |
|
|
Series 3387, Class SA, IF, IO, 6.181%, 11/15/37 |
|
|
224 |
|
| |
2,291 |
|
|
Series 3404, Class SC, IF, IO, 5.761%, 01/15/38 |
|
|
323 |
|
| |
6,818 |
|
|
Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38 |
|
|
48 |
|
| |
1,818 |
|
|
Series 3424, Class PI, IF, IO, 6.560%, 04/15/38 |
|
|
274 |
|
| |
4,684 |
|
|
Series 3430, Class AI, IO, 1.417%, 09/15/12 |
|
|
— |
(h) |
| |
2,252 |
|
|
Series 3481, Class SJ, IF, IO, 5.610%, 08/15/38 |
|
|
302 |
|
| |
2,387 |
|
|
Series 3505, Class SA, IF, IO, 5.761%, 01/15/39 |
|
|
306 |
|
| |
2,722 |
|
|
Series 3511, Class SA, IF, IO, 5.761%, 02/15/39 |
|
|
350 |
|
| |
1,249 |
|
|
Series 3549, Class FA, VAR, 1.439%, 07/15/39 |
|
|
1,256 |
|
| |
1,000 |
|
|
Series 3607, Class BO, PO, 04/15/36 |
|
|
964 |
|
| |
1,579 |
|
|
Series 3607, Class OP, PO, 07/15/37 |
|
|
1,458 |
|
| |
1,083 |
|
|
Series 3607, Class PO, PO, 05/15/37 |
|
|
1,022 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
421 |
|
|
Series 3611, Class PO, PO, 07/15/34 |
|
|
394 |
|
| |
1,023 |
|
|
Series 3621, Class BO, PO, 01/15/40 |
|
|
989 |
|
| |
1,067 |
|
|
Series 3720, Class A, 4.500%, 09/15/25 |
|
|
1,155 |
|
| |
3,297 |
|
|
Series 3739, Class LI, IO, 4.000%, 03/15/34 |
|
|
281 |
|
| |
8,324 |
|
|
Series 3747, Class HI, IO, 4.500%, 07/15/37 |
|
|
945 |
|
| |
1,000 |
|
|
Series 3747, Class PY, 4.000%, 10/15/40 |
|
|
1,106 |
|
| |
4,354 |
|
|
Series 3759, Class HI, IO, 4.000%, 08/15/37 |
|
|
439 |
|
| |
5,196 |
|
|
Series 3760, Class GI, IO, 4.000%, 10/15/37 |
|
|
533 |
|
| |
514 |
|
|
Series 3798, Class BF, VAR, 0.540%, 06/15/24 |
|
|
514 |
|
| |
2,054 |
|
|
Series 3804, Class FN, VAR, 0.689%, 03/15/39 |
|
|
2,061 |
|
| |
5,442 |
|
|
Series 3819, Class ZQ, 6.000%, 04/15/36 |
|
|
6,373 |
|
| |
941 |
|
|
Series 3852, Class QN, IF, 5.500%, 05/15/41 |
|
|
1,029 |
|
| |
2,667 |
|
|
Series 3852, Class TP, IF, 5.500%, 05/15/41 |
|
|
2,961 |
|
| |
3,000 |
|
|
Series 3920, Class LP, 5.000%, 01/15/34 |
|
|
3,401 |
|
| |
1,569 |
|
|
Series 3957, Class B, 4.000%, 11/15/41 |
|
|
1,681 |
|
| |
1,890 |
|
|
Series 3966, Class NA, 4.000%, 12/15/41 |
|
|
2,035 |
|
| |
1,603 |
|
|
Series 3997, Class PF, VAR, 0.689%, 11/15/39 |
|
|
1,605 |
|
| |
4,847 |
|
|
Series 4048, Class FJ, VAR, 0.646%, 07/15/37 |
|
|
4,860 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. STRIPS, |
|
|
|
|
| |
3 |
|
|
Series 134, Class B, IO, 9.000%, 04/01/22 |
|
|
1 |
|
| |
3,161 |
|
|
Series 233, Class 11, IO, 5.000%, 09/15/35 |
|
|
441 |
|
| |
4,448 |
|
|
Series 233, Class 13, IO, 5.000%, 09/15/35 |
|
|
618 |
|
| |
793 |
|
|
Series 243, Class 16, IO, 4.500%, 11/15/20 |
|
|
68 |
|
| |
1,766 |
|
|
Series 243, Class 17, IO, 4.500%, 12/15/20 |
|
|
153 |
|
| |
9,485 |
|
|
Series 262, Class 35, 3.500%, 07/15/42 |
|
|
10,117 |
|
| |
1,995 |
|
|
Series 264, Class F1, VAR, 0.789%, 07/15/42 |
|
|
2,002 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
|
| |
672 |
|
|
Series T-41, Class 3A, VAR, 6.917%, 07/25/32 |
|
|
778 |
|
| |
402 |
|
|
Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
|
|
481 |
|
| |
2,035 |
|
|
Series T-54, Class 2A, 6.500%, 02/25/43 |
|
|
2,414 |
|
| |
688 |
|
|
Series T-54, Class 3A, 7.000%, 02/25/43 |
|
|
824 |
|
| |
290 |
|
|
Series T-58, Class APO, PO, 09/25/43 |
|
|
274 |
|
| |
663 |
|
|
Series T-59, Class 1AP, PO, 10/25/43 |
|
|
578 |
|
| |
2,427 |
|
|
Series T-76, Class 2A, VAR, 3.997%, 10/25/37 |
|
|
2,478 |
|
|
|
|
|
Federal National Mortgage Association - ACES, |
|
|
|
|
| |
3,000 |
|
|
Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 |
|
|
3,427 |
|
| |
1,299 |
|
|
Series 2011-M2, Class A2, 3.645%, 07/25/21 |
|
|
1,440 |
|
| |
8,500 |
|
|
Series 2011-M2, Class A3, 3.764%, 07/25/21 |
|
|
9,516 |
|
|
|
|
|
Federal National Mortgage Association Grantor Trust, |
|
|
|
|
| |
1,014 |
|
|
Series 2002-T19, Class A2, 7.000%, 07/25/42 |
|
|
1,149 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
15 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
983 |
|
|
Series 2004-T3, Class 1A3, 7.000%, 02/25/44 |
|
|
1,150 |
|
|
|
|
|
Federal National Mortgage Association REMICS, |
|
|
|
|
| |
8 |
|
|
Series 1988-7, Class Z, 9.250%, 04/25/18 |
|
|
8 |
|
| |
18 |
|
|
Series 1989-70, Class G, 8.000%, 10/25/19 |
|
|
21 |
|
| |
6 |
|
|
Series 1989-78, Class H, 9.400%, 11/25/19 |
|
|
7 |
|
| |
12 |
|
|
Series 1989-83, Class H, 8.500%, 11/25/19 |
|
|
13 |
|
| |
10 |
|
|
Series 1989-89, Class H, 9.000%, 11/25/19 |
|
|
12 |
|
| |
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 |
|
| |
23 |
|
|
Series 1990-102, Class J, 6.500%, 08/25/20 |
|
|
26 |
|
| |
30 |
|
|
Series 1990-120, Class H, 9.000%, 10/25/20 |
|
|
35 |
|
| |
3 |
|
|
Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 |
|
|
5 |
|
| |
— |
(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 |
|
|
13 |
|
| |
1 |
|
|
Series 1992-101, Class J, 7.500%, 06/25/22 |
|
|
2 |
|
| |
58 |
|
|
Series 1992-136, Class PK, 6.000%, 08/25/22 |
|
|
64 |
|
| |
51 |
|
|
Series 1992-143, Class MA, 5.500%, 09/25/22 |
|
|
56 |
|
| |
143 |
|
|
Series 1992-163, Class M, 7.750%, 09/25/22 |
|
|
165 |
|
| |
228 |
|
|
Series 1992-188, Class PZ, 7.500%, 10/25/22 |
|
|
263 |
|
| |
94 |
|
|
Series 1993-21, Class KA, 7.700%, 03/25/23 |
|
|
109 |
|
| |
137 |
|
|
Series 1993-25, Class J, 7.500%, 03/25/23 |
|
|
159 |
|
| |
37 |
|
|
Series 1993-27, Class SA, IF, 15.500%, 02/25/23 |
|
|
52 |
|
| |
57 |
|
|
Series 1993-62, Class SA, IF, 17.929%, 04/25/23 |
|
|
86 |
|
| |
29 |
|
|
Series 1993-165, Class SD, IF, 12.489%, 09/25/23 |
|
|
38 |
|
| |
64 |
|
|
Series 1993-165, Class SK, IF, 12.500%, 09/25/23 |
|
|
84 |
|
| |
43 |
|
|
Series 1993-179, Class SB, HB, IF, 24.868%, 10/25/23 |
|
|
71 |
|
| |
29 |
|
|
Series 1993-179, Class SC, IF, 10.500%, 10/25/23 |
|
|
38 |
|
| |
101 |
|
|
Series 1993-199, Class FA, VAR, 0.800%, 10/25/23 |
|
|
102 |
|
| |
82 |
|
|
Series 1993-205, Class H, PO, 09/25/23 |
|
|
79 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
42 |
|
|
Series 1993-220, Class SG, IF, 15.500%, 11/25/13 |
|
|
45 |
|
| |
129 |
|
|
Series 1993-225, Class UB, 6.500%, 12/25/23 |
|
|
141 |
|
| |
43 |
|
|
Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 |
|
|
43 |
|
| |
120 |
|
|
Series 1993-247, Class FE, VAR, 1.250%, 12/25/23 |
|
|
122 |
|
| |
56 |
|
|
Series 1993-247, Class SU, IF, 11.834%, 12/25/23 |
|
|
72 |
|
| |
163 |
|
|
Series 1993-250, Class Z, 7.000%, 12/25/23 |
|
|
171 |
|
| |
139 |
|
|
Series 1993-257, Class C, PO, 06/25/23 |
|
|
138 |
|
| |
485 |
|
|
Series 1994-37, Class L, 6.500%, 03/25/24 |
|
|
560 |
|
| |
2,291 |
|
|
Series 1994-40, Class Z, 6.500%, 03/25/24 |
|
|
2,565 |
|
| |
95 |
|
|
Series 1995-2, Class Z, 8.500%, 01/25/25 |
|
|
110 |
|
| |
269 |
|
|
Series 1995-19, Class Z, 6.500%, 11/25/23 |
|
|
323 |
|
| |
495 |
|
|
Series 1996-14, Class SE, IF, IO, 9.280%, 08/25/23 |
|
|
101 |
|
| |
17 |
|
|
Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 |
|
|
17 |
|
| |
49 |
|
|
Series 1996-59, Class J, 6.500%, 08/25/22 |
|
|
54 |
|
| |
506 |
|
|
Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
|
|
28 |
|
| |
37 |
|
|
Series 1997-27, Class J, 7.500%, 04/18/27 |
|
|
41 |
|
| |
65 |
|
|
Series 1997-29, Class J, 7.500%, 04/20/27 |
|
|
74 |
|
| |
408 |
|
|
Series 1997-39, Class PD, 7.500%, 05/20/27 |
|
|
477 |
|
| |
71 |
|
|
Series 1997-42, Class EN, 7.250%, 07/18/27 |
|
|
72 |
|
| |
48 |
|
|
Series 1997-42, Class ZC, 6.500%, 07/18/27 |
|
|
55 |
|
| |
851 |
|
|
Series 1997-61, Class ZC, 7.000%, 02/25/23 |
|
|
969 |
|
| |
153 |
|
|
Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
|
|
38 |
|
| |
16 |
|
|
Series 1998-4, Class C, PO, 04/25/23 |
|
|
15 |
|
| |
405 |
|
|
Series 1998-36, Class ZB, 6.000%, 07/18/28 |
|
|
448 |
|
| |
170 |
|
|
Series 1998-43, Class SA, HB, IF, 20.083%, 04/25/23 |
|
|
82 |
|
| |
277 |
|
|
Series 1998-66, Class SB, IF, IO, 7.914%, 12/25/28 |
|
|
58 |
|
| |
165 |
|
|
Series 1999-17, Class C, 6.350%, 04/25/29 |
|
|
189 |
|
| |
964 |
|
|
Series 1999-18, Class Z, 5.500%, 04/18/29 |
|
|
1,070 |
|
| |
253 |
|
|
Series 1999-38, Class SK, IF, IO, 7.814%, 08/25/23 |
|
|
38 |
|
| |
80 |
|
|
Series 1999-52, Class NS, HB, IF, 22.721%, 10/25/23 |
|
|
129 |
|
| |
219 |
|
|
Series 1999-62, Class PB, 7.500%, 12/18/29 |
|
|
257 |
|
| |
696 |
|
|
Series 2000-2, Class ZE, 7.500%, 02/25/30 |
|
|
819 |
|
| |
334 |
|
|
Series 2000-20, Class SA, IF, IO, 8.864%, 07/25/30 |
|
|
74 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 16 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
52 |
|
|
Series 2000-52, Class IO, IO, 8.500%, 01/25/31 |
|
|
13 |
|
| |
232 |
|
|
Series 2001-4, Class PC, 7.000%, 03/25/21 |
|
|
255 |
|
| |
38 |
|
|
Series 2001-5, Class OW, 6.000%, 03/25/16 |
|
|
39 |
|
| |
170 |
|
|
Series 2001-7, Class PF, 7.000%, 03/25/31 |
|
|
200 |
|
| |
297 |
|
|
Series 2001-7, Class PR, 6.000%, 03/25/16 |
|
|
306 |
|
| |
279 |
|
|
Series 2001-10, Class PR, 6.000%, 04/25/16 |
|
|
287 |
|
| |
487 |
|
|
Series 2001-30, Class PM, 7.000%, 07/25/31 |
|
|
573 |
|
| |
654 |
|
|
Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
|
|
144 |
|
| |
502 |
|
|
Series 2001-36, Class DE, 7.000%, 08/25/31 |
|
|
591 |
|
| |
1,136 |
|
|
Series 2001-44, Class MY, 7.000%, 09/25/31 |
|
|
1,336 |
|
| |
202 |
|
|
Series 2001-44, Class PD, 7.000%, 09/25/31 |
|
|
237 |
|
| |
214 |
|
|
Series 2001-44, Class PU, 7.000%, 09/25/31 |
|
|
252 |
|
| |
1,877 |
|
|
Series 2001-48, Class Z, 6.500%, 09/25/21 |
|
|
2,111 |
|
| |
172 |
|
|
Series 2001-49, Class Z, 6.500%, 09/25/31 |
|
|
198 |
|
| |
143 |
|
|
Series 2001-52, Class KB, 6.500%, 10/25/31 |
|
|
165 |
|
| |
295 |
|
|
Series 2001-52, Class XN, 6.500%, 11/25/15 |
|
|
313 |
|
| |
1,700 |
|
|
Series 2001-61, Class Z, 7.000%, 11/25/31 |
|
|
2,001 |
|
| |
166 |
|
|
Series 2001-71, Class MB, 6.000%, 12/25/16 |
|
|
178 |
|
| |
383 |
|
|
Series 2001-71, Class QE, 6.000%, 12/25/16 |
|
|
408 |
|
| |
92 |
|
|
Series 2001-72, Class SX, IF, 16.917%, 12/25/31 |
|
|
134 |
|
| |
514 |
|
|
Series 2001-74, Class MB, 6.000%, 12/25/16 |
|
|
549 |
|
| |
160 |
|
|
Series 2002-1, Class HC, 6.500%, 02/25/22 |
|
|
180 |
|
| |
177 |
|
|
Series 2002-1, Class SA, HB, IF, 24.422%, 02/25/32 |
|
|
314 |
|
| |
120 |
|
|
Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 |
|
|
203 |
|
| |
484 |
|
|
Series 2002-2, Class UC, 6.000%, 02/25/17 |
|
|
518 |
|
| |
1,253 |
|
|
Series 2002-3, Class OG, 6.000%, 02/25/17 |
|
|
1,334 |
|
| |
268 |
|
|
Series 2002-7, Class OG, 6.000%, 03/25/17 |
|
|
286 |
|
| |
883 |
|
|
Series 2002-7, Class TG, 6.000%, 03/25/17 |
|
|
939 |
|
| |
286 |
|
|
Series 2002-10, Class SB, IF, 18.635%, 03/25/17 |
|
|
361 |
|
| |
359 |
|
|
Series 2002-11, Class QG, 5.500%, 03/25/17 |
|
|
380 |
|
| |
1,586 |
|
|
Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 |
|
|
86 |
|
| |
25 |
|
|
Series 2002-13, Class ST, IF, 10.000%, 03/25/32 |
|
|
31 |
|
| |
835 |
|
|
Series 2002-18, Class PC, 5.500%, 04/25/17 |
|
|
854 |
|
| |
293 |
|
|
Series 2002-19, Class PE, 6.000%, 04/25/17 |
|
|
312 |
|
| |
61 |
|
|
Series 2002-21, Class LO, PO, 04/25/32 |
|
|
58 |
|
| |
578 |
|
|
Series 2002-21, Class PE, 6.500%, 04/25/32 |
|
|
644 |
|
| |
638 |
|
|
Series 2002-24, Class AJ, 6.000%, 04/25/17 |
|
|
690 |
|
| |
172 |
|
|
Series 2002-25, Class SG, IF, 18.755%, 05/25/17 |
|
|
221 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
1,407 |
|
|
Series 2002-28, Class PK, 6.500%, 05/25/32 |
|
|
1,624 |
|
| |
383 |
|
|
Series 2002-37, Class Z, 6.500%, 06/25/32 |
|
|
422 |
|
| |
462 |
|
|
Series 2002-42, Class C, 6.000%, 07/25/17 |
|
|
497 |
|
| |
1,941 |
|
|
Series 2002-48, Class GH, 6.500%, 08/25/32 |
|
|
2,245 |
|
| |
246 |
|
|
Series 2002-55, Class QE, 5.500%, 09/25/17 |
|
|
264 |
|
| |
2,894 |
|
|
Series 2002-56, Class UC, 5.500%, 09/25/17 |
|
|
3,100 |
|
| |
899 |
|
|
Series 2002-62, Class ZE, 5.500%, 11/25/17 |
|
|
965 |
|
| |
277 |
|
|
Series 2002-63, Class KC, 5.000%, 10/25/17 |
|
|
296 |
|
| |
383 |
|
|
Series 2002-77, Class S, IF, 14.052%, 12/25/32 |
|
|
484 |
|
| |
486 |
|
|
Series 2002-81, Class JO, PO, 04/25/32 |
|
|
482 |
|
| |
969 |
|
|
Series 2002-83, Class CS, 6.881%, 08/25/23 |
|
|
1,107 |
|
| |
27 |
|
|
Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
|
|
— |
(h) |
| |
2,144 |
|
|
Series 2002-94, Class BK, 5.500%, 01/25/18 |
|
|
2,292 |
|
| |
1,048 |
|
|
Series 2003-3, Class HJ, 5.000%, 02/25/18 |
|
|
1,124 |
|
| |
2,524 |
|
|
Series 2003-22, Class UD, 4.000%, 04/25/33 |
|
|
2,806 |
|
| |
626 |
|
|
Series 2003-23, Class PG, 5.500%, 01/25/32 |
|
|
634 |
|
| |
83 |
|
|
Series 2003-27, Class DW, 4.500%, 04/25/17 |
|
|
84 |
|
| |
2,023 |
|
|
Series 2003-33, Class IA, IO, 6.500%, 05/25/33 |
|
|
409 |
|
| |
1,394 |
|
|
Series 2003-34, Class AX, 6.000%, 05/25/33 |
|
|
1,571 |
|
| |
1,516 |
|
|
Series 2003-34, Class ED, 6.000%, 05/25/33 |
|
|
1,870 |
|
| |
86 |
|
|
Series 2003-35, Class UC, 3.750%, 05/25/33 |
|
|
91 |
|
| |
262 |
|
|
Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
|
|
53 |
|
| |
1,319 |
|
|
Series 2003-39, Class LW, 5.500%, 05/25/23 |
|
|
1,514 |
|
| |
1,884 |
|
|
Series 2003-41, Class PE, 5.500%, 05/25/23 |
|
|
2,087 |
|
| |
543 |
|
|
Series 2003-42, Class GB, 4.000%, 05/25/33 |
|
|
589 |
|
| |
205 |
|
|
Series 2003-45, Class AI, IO, 5.500%, 05/25/33 |
|
|
9 |
|
| |
828 |
|
|
Series 2003-47, Class PE, 5.750%, 06/25/33 |
|
|
947 |
|
| |
407 |
|
|
Series 2003-52, Class SX, HB, IF, 22.243%, 10/25/31 |
|
|
715 |
|
| |
1,480 |
|
|
Series 2003-56, Class AZ, 5.500%, 08/25/31 |
|
|
1,506 |
|
| |
303 |
|
|
Series 2003-64, Class SX, IF, 13.136%, 07/25/33 |
|
|
382 |
|
| |
34 |
|
|
Series 2003-68, Class QP, 3.000%, 07/25/22 |
|
|
35 |
|
| |
1,146 |
|
|
Series 2003-71, Class DS, IF, 7.139%, 08/25/33 |
|
|
1,193 |
|
| |
979 |
|
|
Series 2003-71, Class IM, IO, 5.500%, 12/25/31 |
|
|
86 |
|
| |
2,208 |
|
|
Series 2003-72, Class IE, IO, 5.500%, 08/25/33 |
|
|
297 |
|
| |
480 |
|
|
Series 2003-73, Class GA, 3.500%, 05/25/31 |
|
|
485 |
|
| |
176 |
|
|
Series 2003-74, Class SH, IF, 9.746%, 08/25/33 |
|
|
194 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
17 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
792 |
|
|
Series 2003-76, Class GQ, 4.500%, 08/25/18 |
|
|
845 |
|
| |
1,867 |
|
|
Series 2003-80, Class SY, IF, IO, 7.414%, 06/25/23 |
|
|
223 |
|
| |
1,165 |
|
|
Series 2003-81, Class LC, 4.500%, 09/25/18 |
|
|
1,249 |
|
| |
3,267 |
|
|
Series 2003-83, Class PG, 5.000%, 06/25/23 |
|
|
3,507 |
|
| |
503 |
|
|
Series 2003-91, Class SD, IF, 12.107%, 09/25/33 |
|
|
611 |
|
| |
2,535 |
|
|
Series 2003-116, Class SB, IF, IO, 7.364%, 11/25/33 |
|
|
560 |
|
| |
2,927 |
|
|
Series 2003-117, Class JB, 3.500%, 06/25/33 |
|
|
3,052 |
|
| |
1,507 |
|
|
Series 2003-122, Class TE, 5.000%, 12/25/22 |
|
|
1,588 |
|
| |
183 |
|
|
Series 2003-128, Class KE, 4.500%, 01/25/14 |
|
|
186 |
|
| |
835 |
|
|
Series 2003-128, Class NG, 4.000%, 01/25/19 |
|
|
886 |
|
| |
319 |
|
|
Series 2003-130, Class SX, IF, 11.167%, 01/25/34 |
|
|
369 |
|
| |
273 |
|
|
Series 2003-132, Class OA, PO, 08/25/33 |
|
|
264 |
|
| |
2,301 |
|
|
Series 2004-4, Class QI, IF, IO, 6.865%, 06/25/33 |
|
|
347 |
|
| |
218 |
|
|
Series 2004-4, Class QM, IF, 13.729%, 06/25/33 |
|
|
271 |
|
| |
1,135 |
|
|
Series 2004-10, Class SC, HB, IF, 27.658%, 02/25/34 |
|
|
1,743 |
|
| |
— |
(h) |
|
Series 2004-14, Class SD, IF, 8.706%, 03/25/34 |
|
|
— |
(h) |
| |
293 |
|
|
Series 2004-21, Class CO, PO, 04/25/34 |
|
|
290 |
|
| |
98 |
|
|
Series 2004-22, Class A, 4.000%, 04/25/19 |
|
|
99 |
|
| |
1,130 |
|
|
Series 2004-25, Class PC, 5.500%, 01/25/34 |
|
|
1,245 |
|
| |
1,803 |
|
|
Series 2004-25, Class SA, IF, 18.877%, 04/25/34 |
|
|
2,672 |
|
| |
7,708 |
|
|
Series 2004-27, Class HB, 4.000%, 05/25/19 |
|
|
8,258 |
|
| |
753 |
|
|
Series 2004-36, Class PC, 5.500%, 02/25/34 |
|
|
831 |
|
| |
2,006 |
|
|
Series 2004-36, Class SA, IF, 18.877%, 05/25/34 |
|
|
2,985 |
|
| |
876 |
|
|
Series 2004-36, Class SN, IF, 13.729%, 07/25/33 |
|
|
1,049 |
|
| |
4,281 |
|
|
Series 2004-37, Class AG, 4.500%, 11/25/32 |
|
|
4,501 |
|
| |
799 |
|
|
Series 2004-46, Class HS, IF, IO, 5.765%, 05/25/30 |
|
|
13 |
|
| |
888 |
|
|
Series 2004-46, Class QB, HB, IF, 23.058%, 05/25/34 |
|
|
1,417 |
|
| |
2,972 |
|
|
Series 2004-46, Class SK, IF, 15.852%, 05/25/34 |
|
|
4,123 |
|
| |
558 |
|
|
Series 2004-51, Class SY, IF, 13.769%, 07/25/34 |
|
|
728 |
|
| |
612 |
|
|
Series 2004-53, Class NC, 5.500%, 07/25/24 |
|
|
678 |
|
| |
866 |
|
|
Series 2004-59, Class BG, PO, 12/25/32 |
|
|
795 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
1,375 |
|
|
Series 2004-61, Class FH, VAR, 1.035%, 11/25/32 |
|
|
1,393 |
|
| |
181 |
|
|
Series 2004-61, Class SK, IF, 8.500%, 11/25/32 |
|
|
209 |
|
| |
299 |
|
|
Series 2004-70, Class JA, 4.500%, 10/25/19 |
|
|
306 |
|
| |
604 |
|
|
Series 2004-76, Class CL, 4.000%, 10/25/19 |
|
|
639 |
|
| |
930 |
|
|
Series 2004-79, Class SP, IF, 19.152%, 11/25/34 |
|
|
1,331 |
|
| |
273 |
|
|
Series 2004-81, Class AC, 4.000%, 11/25/19 |
|
|
289 |
|
| |
36 |
|
|
Series 2004-92, Class JO, PO, 12/25/34 |
|
|
36 |
|
| |
326 |
|
|
Series 2005-52, Class PA, 6.500%, 06/25/35 |
|
|
354 |
|
| |
2,548 |
|
|
Series 2005-56, Class S, IF, IO, 6.474%, 07/25/35 |
|
|
427 |
|
| |
1,193 |
|
|
Series 2005-59, Class PC, 5.500%, 03/25/31 |
|
|
1,208 |
|
| |
507 |
|
|
Series 2005-66, Class SG, IF, 16.786%, 07/25/35 |
|
|
730 |
|
| |
1,001 |
|
|
Series 2005-68, Class BC, 5.250%, 06/25/35 |
|
|
1,107 |
|
| |
2,386 |
|
|
Series 2005-68, Class PG, 5.500%, 08/25/35 |
|
|
2,711 |
|
| |
1,457 |
|
|
Series 2005-68, Class UC, 5.000%, 06/25/35 |
|
|
1,596 |
|
| |
1,061 |
|
|
Series 2005-74, Class CS, IF, 19.372%, 05/25/35 |
|
|
1,550 |
|
| |
9,894 |
|
|
Series 2005-84, Class XM, 5.750%, 10/25/35 |
|
|
11,157 |
|
| |
4,899 |
|
|
Series 2005-97, Class HC, 5.000%, 02/25/32 |
|
|
5,031 |
|
| |
3,425 |
|
|
Series 2005-109, Class PC, 6.000%, 12/25/35 |
|
|
3,972 |
|
| |
5,778 |
|
|
Series 2005-110, Class GJ, 5.500%, 11/25/30 |
|
|
5,886 |
|
| |
14,556 |
|
|
Series 2005-110, Class GK, 5.500%, 08/25/34 |
|
|
15,894 |
|
| |
4,326 |
|
|
Series 2005-110, Class GL, 5.500%, 12/25/35 |
|
|
5,276 |
|
| |
2,997 |
|
|
Series 2005-110, Class MN, 5.500%, 06/25/35 |
|
|
3,352 |
|
| |
1,328 |
|
|
Series 2005-116, Class PB, 6.000%, 04/25/34 |
|
|
1,435 |
|
| |
2,914 |
|
|
Series 2005-118, Class PN, 6.000%, 01/25/32 |
|
|
2,996 |
|
| |
438 |
|
|
Series 2006-15, Class OT, PO, 01/25/36 |
|
|
422 |
|
| |
836 |
|
|
Series 2006-16, Class OA, PO, 03/25/36 |
|
|
767 |
|
| |
982 |
|
|
Series 2006-22, Class AO, PO, 04/25/36 |
|
|
888 |
|
| |
371 |
|
|
Series 2006-23, Class KO, PO, 04/25/36 |
|
|
358 |
|
| |
3,149 |
|
|
Series 2006-39, Class WC, 5.500%, 01/25/36 |
|
|
3,530 |
|
| |
257 |
|
|
Series 2006-42, Class CF, VAR, 0.685%, 06/25/36 |
|
|
258 |
|
| |
2,303 |
|
|
Series 2006-44, Class GO, PO, 06/25/36 |
|
|
2,229 |
|
| |
5,611 |
|
|
Series 2006-44, Class P, PO, 12/25/33 |
|
|
5,402 |
|
| |
2,000 |
|
|
Series 2006-46, Class UC, 5.500%, 12/25/35 |
|
|
2,243 |
|
| |
3,674 |
|
|
Series 2006-53, Class US, IF, IO, 6.344%, 06/25/36 |
|
|
546 |
|
| |
2,681 |
|
|
Series 2006-56, Class FC, VAR, 0.525%, 07/25/36 |
|
|
2,687 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 18 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
616 |
|
|
Series 2006-56, Class OA, PO, 10/25/24 |
|
|
611 |
|
| |
2,773 |
|
|
Series 2006-56, Class PF, VAR, 0.585%, 07/25/36 |
|
|
2,785 |
|
| |
1,442 |
|
|
Series 2006-56, Class PO, PO, 07/25/36 |
|
|
1,336 |
|
| |
2,432 |
|
|
Series 2006-58, Class AP, PO, 07/25/36 |
|
|
2,351 |
|
| |
248 |
|
|
Series 2006-58, Class FL, VAR, 0.695%, 07/25/36 |
|
|
249 |
|
| |
996 |
|
|
Series 2006-58, Class PO, PO, 07/25/36 |
|
|
943 |
|
| |
1,972 |
|
|
Series 2006-59, Class QO, PO, 01/25/33 |
|
|
1,893 |
|
| |
2,983 |
|
|
Series 2006-60, Class DZ, 6.500%, 07/25/36 |
|
|
3,932 |
|
| |
1,595 |
|
|
Series 2006-65, Class QO, PO, 07/25/36 |
|
|
1,540 |
|
| |
517 |
|
|
Series 2006-71, Class IC, IO, 6.000%, 04/25/17 |
|
|
1 |
|
| |
430 |
|
|
Series 2006-72, Class TO, PO, 08/25/36 |
|
|
416 |
|
| |
5,113 |
|
|
Series 2006-77, Class PC, 6.500%, 08/25/36 |
|
|
5,876 |
|
| |
1,250 |
|
|
Series 2006-79, Class DO, PO, 08/25/36 |
|
|
1,147 |
|
| |
821 |
|
|
Series 2006-90, Class AO, PO, 09/25/36 |
|
|
788 |
|
| |
380 |
|
|
Series 2006-109, Class PO, PO, 11/25/36 |
|
|
358 |
|
| |
3,683 |
|
|
Series 2006-110, Class PO, PO, 11/25/36 |
|
|
3,559 |
|
| |
302 |
|
|
Series 2006-111, Class EO, PO, 11/25/36 |
|
|
290 |
|
| |
1,197 |
|
|
Series 2006-118, Class A2, VAR, 0.295%, 12/25/36 |
|
|
1,139 |
|
| |
569 |
|
|
Series 2006-119, Class PO, PO, 12/25/36 |
|
|
546 |
|
| |
8,787 |
|
|
Series 2006-124, Class HB, VAR, 5.969%, 11/25/36 |
|
|
9,615 |
|
| |
1,000 |
|
|
Series 2006-128, Class BP, 5.500%, 01/25/37 |
|
|
1,200 |
|
| |
1,607 |
|
|
Series 2006-130, Class GI, IO, 6.500%, 07/25/32 |
|
|
273 |
|
| |
3,804 |
|
|
Series 2007-7, Class SG, IF, IO, 6.265%, 08/25/36 |
|
|
747 |
|
| |
6,188 |
|
|
Series 2007-14, Class ES, IF, IO, 6.204%, 03/25/37 |
|
|
855 |
|
| |
430 |
|
|
Series 2007-15, Class NO, PO, 03/25/22 |
|
|
407 |
|
| |
2,576 |
|
|
Series 2007-16, Class FC, VAR, 0.985%, 03/25/37 |
|
|
2,589 |
|
| |
605 |
|
|
Series 2007-42, Class AO, PO, 05/25/37 |
|
|
571 |
|
| |
1,500 |
|
|
Series 2007-46, Class VK, 5.500%, 03/25/22 |
|
|
1,624 |
|
| |
699 |
|
|
Series 2007-48, Class PO, PO, 05/25/37 |
|
|
651 |
|
| |
2,679 |
|
|
Series 2007-54, Class FA, VAR, 0.635%, 06/25/37 |
|
|
2,688 |
|
| |
10,278 |
|
|
Series 2007-60, Class AX, IF, IO, 6.914%, 07/25/37 |
|
|
1,857 |
|
| |
638 |
|
|
Series 2007-77, Class FG, VAR, 0.735%, 03/25/37 |
|
|
641 |
|
| |
672 |
|
|
Series 2007-79, Class PC, 5.000%, 01/25/32 |
|
|
676 |
|
| |
1,000 |
|
|
Series 2007-81, Class GE, 6.000%, 08/25/37 |
|
|
1,221 |
|
| |
5,000 |
|
|
Series 2007-84, Class PG, 6.000%, 12/25/36 |
|
|
5,523 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
5,629 |
|
|
Series 2007-88, Class VI, IF, IO, 6.305%, 09/25/37 |
|
|
933 |
|
| |
3,865 |
|
|
Series 2007-91, Class ES, IF, IO, 6.225%, 10/25/37 |
|
|
605 |
|
| |
2,718 |
|
|
Series 2007-97, Class KI, IO, 7.000%, 05/25/33 |
|
|
653 |
|
| |
4,896 |
|
|
Series 2007-101, Class A2, VAR, 0.485%, 06/27/36 |
|
|
4,881 |
|
| |
1,183 |
|
|
Series 2007-106, Class A7, VAR, 5.952%, 10/25/37 |
|
|
1,323 |
|
| |
3,000 |
|
|
Series 2007-114, Class A6, VAR, 0.435%, 10/27/37 |
|
|
2,983 |
|
| |
2,766 |
|
|
Series 2007-116, Class HI, IO, VAR, 4.180%, 01/25/38 |
|
|
206 |
|
| |
183 |
|
|
Series 2007-118, Class IO, IO, 6.000%, 06/25/36 |
|
|
17 |
|
| |
3,389 |
|
|
Series 2008-1, Class BI, IF, IO, 5.675%, 02/25/38 |
|
|
451 |
|
| |
2,226 |
|
|
Series 2008-10, Class XI, IF, IO, 5.995%, 03/25/38 |
|
|
340 |
|
| |
1,800 |
|
|
Series 2008-16, Class IS, IF, IO, 5.965%, 03/25/38 |
|
|
248 |
|
| |
1,599 |
|
|
Series 2008-19, Class IC, IO, 5.000%, 03/25/23 |
|
|
139 |
|
| |
1,000 |
|
|
Series 2008-24, Class DY, 5.000%, 04/25/23 |
|
|
1,110 |
|
| |
1,417 |
|
|
Series 2008-27, Class SN, IF, IO, 6.665%, 04/25/38 |
|
|
228 |
|
| |
858 |
|
|
Series 2008-39, Class CI, IO, 4.500%, 05/25/18 |
|
|
64 |
|
| |
838 |
|
|
Series 2008-42, Class AO, PO, 09/25/36 |
|
|
815 |
|
| |
143 |
|
|
Series 2008-44, Class PO, PO, 05/25/38 |
|
|
138 |
|
| |
1,596 |
|
|
Series 2008-47, Class SI, IF, IO, 6.265%, 06/25/23 |
|
|
178 |
|
| |
1,951 |
|
|
Series 2008-53, Class CI, IF, IO, 6.964%, 07/25/38 |
|
|
359 |
|
| |
173 |
|
|
Series 2008-59, Class IG, IO, 5.500%, 11/25/34 |
|
|
2 |
|
| |
894 |
|
|
Series 2008-76, Class GF, VAR, 0.886%, 09/25/23 |
|
|
904 |
|
| |
4,002 |
|
|
Series 2008-80, Class SA, IF, IO, 5.614%, 09/25/38 |
|
|
479 |
|
| |
2,535 |
|
|
Series 2008-81, Class SB, IF, IO, 5.614%, 09/25/38 |
|
|
332 |
|
| |
3,619 |
|
|
Series 2009-6, Class GS, IF, IO, 6.315%, 02/25/39 |
|
|
674 |
|
| |
1,594 |
|
|
Series 2009-9, Class IO, IO, 5.000%, 02/25/24 |
|
|
160 |
|
| |
1,417 |
|
|
Series 2009-18, Class IO, IO, 5.000%, 03/25/24 |
|
|
129 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
19 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
2,500 |
|
|
Series 2009-19, Class IP, IO, 5.500%, 10/25/36 |
|
|
690 |
|
| |
2,467 |
|
|
Series 2009-60, Class HT, 6.000%, 08/25/39 |
|
|
2,776 |
|
| |
1,878 |
|
|
Series 2009-62, Class HJ, 6.000%, 05/25/39 |
|
|
2,062 |
|
| |
2,578 |
|
|
Series 2009-70, Class CO, PO, 01/25/37 |
|
|
2,437 |
|
| |
2,872 |
|
|
Series 2009-86, Class UI, IO, 4.000%, 10/25/14 |
|
|
147 |
|
| |
2,141 |
|
|
Series 2009-99, Class SC, IF, IO, 5.945%, 12/25/39 |
|
|
273 |
|
| |
1,434 |
|
|
Series 2009-103, Class MB, VAR, 3.641%, 12/25/39 |
|
|
1,537 |
|
| |
2,000 |
|
|
Series 2010-45, Class BD, 4.500%, 11/25/38 |
|
|
2,134 |
|
| |
2,234 |
|
|
Series 2010-49, Class SC, IF, 12.189%, 03/25/40 |
|
|
2,754 |
|
| |
1,518 |
|
|
Series 2010-64, Class DM, 5.000%, 06/25/40 |
|
|
1,634 |
|
| |
1,804 |
|
|
Series 2010-71, Class HJ, 5.500%, 07/25/40 |
|
|
1,995 |
|
| |
3,629 |
|
|
Series 2010-133, Class A, 5.500%, 05/25/38 |
|
|
3,874 |
|
| |
3,389 |
|
|
Series 2010-148, Class MA, 4.000%, 02/25/39 |
|
|
3,589 |
|
| |
3,216 |
|
|
Series 2011-2, Class WA, VAR, 5.750%, 02/25/51 |
|
|
3,506 |
|
| |
2,485 |
|
|
Series 2011-22, Class MA, 6.500%, 04/25/38 |
|
|
2,851 |
|
| |
7,117 |
|
|
Series 2011-30, Class LS, IO, VAR, 4.617%, 04/25/41 |
|
|
530 |
|
| |
1,396 |
|
|
Series 2011-75, Class FA, VAR, 0.786%, 08/25/41 |
|
|
1,405 |
|
| |
2,531 |
|
|
Series 2011-118, Class MT, 7.000%, 11/25/41 |
|
|
3,136 |
|
| |
3,861 |
|
|
Series 2011-130, Class CA, 6.000%, 12/25/41 |
|
|
4,293 |
|
| |
1,918 |
|
|
Series 2012-14, Class FB, VAR, 0.685%, 08/25/37 |
|
|
1,922 |
|
| |
11,460 |
|
|
Series 2012-47, Class HF, VAR, 0.635%, 05/25/27 |
|
|
11,483 |
|
| |
1 |
|
|
Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21 |
|
|
14 |
|
| |
39 |
|
|
Series G-28, Class S, IF, 14.850%, 09/25/21 |
|
|
51 |
|
| |
37 |
|
|
Series G-35, Class M, 8.750%, 10/25/21 |
|
|
43 |
|
| |
14 |
|
|
Series G-51, Class SA, HB, IF, 27.336%, 12/25/21 |
|
|
22 |
|
| |
— |
(h) |
|
Series G92-27, Class SQ, HB, IF, 11,737.650%, 05/25/22 |
|
|
2 |
|
| |
190 |
|
|
Series G92-35, Class E, 7.500%, 07/25/22 |
|
|
214 |
|
| |
— |
(h) |
|
Series G92-35, Class G, HB, 1,184.775%, 07/25/22 |
|
|
5 |
|
| |
23 |
|
|
Series G92-42, Class Z, 7.000%, 07/25/22 |
|
|
26 |
|
| |
706 |
|
|
Series G92-44, Class ZQ, 8.000%, 07/25/22 |
|
|
791 |
|
| |
29 |
|
|
Series G92-52, Class FD, VAR, 0.271%, 09/25/22 |
|
|
29 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
243 |
|
|
Series G92-54, Class ZQ, 7.500%, 09/25/22 |
|
|
274 |
|
| |
30 |
|
|
Series G92-59, Class F, VAR, 1.816%, 10/25/22 |
|
|
31 |
|
| |
59 |
|
|
Series G92-61, Class Z, 7.000%, 10/25/22 |
|
|
69 |
|
| |
44 |
|
|
Series G92-62, Class B, PO, 10/25/22 |
|
|
42 |
|
| |
203 |
|
|
Series G93-1, Class KA, 7.900%, 01/25/23 |
|
|
234 |
|
| |
45 |
|
|
Series G93-5, Class Z, 6.500%, 02/25/23 |
|
|
53 |
|
| |
57 |
|
|
Series G93-14, Class J, 6.500%, 03/25/23 |
|
|
63 |
|
| |
139 |
|
|
Series G93-17, Class SI, IF, 6.000%, 04/25/23 |
|
|
167 |
|
| |
129 |
|
|
Series G93-27, Class FD, VAR, 1.130%, 08/25/23 |
|
|
130 |
|
| |
33 |
|
|
Series G93-37, Class H, PO, 09/25/23 |
|
|
32 |
|
| |
57 |
|
|
Series G95-1, Class C, 8.800%, 01/25/25 |
|
|
66 |
|
|
|
|
|
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) |
| |
20 |
|
|
Series 218, Class 2, IO, 7.500%, 04/01/23 |
|
|
4 |
|
| |
18 |
|
|
Series 265, Class 2, 9.000%, 03/01/24 |
|
|
22 |
|
| |
321 |
|
|
Series 329, Class 1, PO, 01/01/33 |
|
|
298 |
|
| |
988 |
|
|
Series 339, Class 18, IO, 4.500%, 07/01/18 |
|
|
76 |
|
| |
1,395 |
|
|
Series 339, Class 21, IO, 4.500%, 07/01/18 |
|
|
107 |
|
| |
663 |
|
|
Series 339, Class 28, IO, 5.500%, 07/01/18 |
|
|
59 |
|
| |
484 |
|
|
Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 |
|
|
59 |
|
| |
1,407 |
|
|
Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 |
|
|
192 |
|
| |
1,010 |
|
|
Series 355, Class 11, IO, 6.000%, 07/01/34 |
|
|
203 |
|
| |
550 |
|
|
Series 355, Class 31, IO, VAR, 4.500%, 12/01/18 |
|
|
47 |
|
| |
2,456 |
|
|
Series 365, Class 8, IO, 5.500%, 05/01/36 |
|
|
325 |
|
| |
303 |
|
|
Series 368, Class 3, IO, 4.500%, 11/01/20 |
|
|
26 |
|
| |
1,264 |
|
|
Series 374, Class 5, IO, 5.500%, 08/01/36 |
|
|
169 |
|
| |
782 |
|
|
Series 383, Class 32, IO, 6.000%, 01/01/38 |
|
|
112 |
|
| |
2,046 |
|
|
Series 383, Class 33, IO, 6.000%, 01/01/38 |
|
|
295 |
|
| |
345 |
|
|
Series 393, Class 6, IO, 5.500%, 04/25/37 |
|
|
40 |
|
|
|
|
|
Federal National Mortgage Association Whole Loan, |
|
|
|
|
| |
1,177 |
|
|
Series 2003-W1, Class 1A1, VAR, 6.224%, 12/25/42 |
|
|
1,356 |
|
| |
441 |
|
|
Series 2003-W1, Class 2A, VAR, 7.007%, 12/25/42 |
|
|
519 |
|
| |
198 |
|
|
Series 2003-W4, Class 2A, VAR, 6.497%, 10/25/42 |
|
|
223 |
|
| |
327 |
|
|
Series 2004-W1, Class 2A2, 7.000%, 12/25/33 |
|
|
396 |
|
| |
1,529 |
|
|
Series 2004-W15, Class 2AF, VAR, 0.486%, 08/25/44 |
|
|
1,517 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
1,114 |
|
|
Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
|
|
1,288 |
|
| |
3,967 |
|
|
Series 2005-W3, Class 2AF, VAR, 0.455%, 03/25/45 |
|
|
3,943 |
|
| |
1,396 |
|
|
Series 2006-W2, Class 1AF1, VAR, 0.455%, 02/25/36 |
|
|
1,386 |
|
| |
167 |
|
|
Series 2007-W7, Class 1A4, HB, IF, 37.767%, 07/25/37 |
|
|
341 |
|
| |
3,392 |
|
|
Series 2009-W1, Class A, 6.000%, 12/25/49 |
|
|
3,907 |
|
|
|
|
|
Government National Mortgage Association, |
|
|
|
|
| |
418 |
|
|
Series 1994-4, Class KQ, 7.988%, 07/16/24 |
|
|
504 |
|
| |
2,136 |
|
|
Series 1994-7, Class PQ, 6.500%, 10/16/24 |
|
|
2,507 |
|
| |
358 |
|
|
Series 1996-16, Class E, 7.500%, 08/16/26 |
|
|
412 |
|
| |
278 |
|
|
Series 1998-26, Class K, 7.500%, 09/17/25 |
|
|
321 |
|
| |
1,471 |
|
|
Series 1999-4, Class ZB, 6.000%, 02/20/29 |
|
|
1,681 |
|
| |
1,388 |
|
|
Series 1999-10, Class ZC, 6.500%, 04/20/29 |
|
|
1,628 |
|
| |
197 |
|
|
Series 1999-30, Class S, IF, IO, 8.362%, 08/16/29 |
|
|
32 |
|
| |
19 |
|
|
Series 1999-33, Class SM, IF, 9.200%, 09/16/29 |
|
|
25 |
|
| |
273 |
|
|
Series 1999-40, Class ZW, 7.500%, 11/20/29 |
|
|
323 |
|
| |
408 |
|
|
Series 1999-41, Class Z, 8.000%, 11/16/29 |
|
|
480 |
|
| |
139 |
|
|
Series 1999-44, Class PC, 7.500%, 12/20/29 |
|
|
161 |
|
| |
2,741 |
|
|
Series 1999-44, Class ZC, 8.500%, 12/16/29 |
|
|
3,381 |
|
| |
458 |
|
|
Series 1999-44, Class ZG, 8.000%, 12/20/29 |
|
|
565 |
|
| |
179 |
|
|
Series 2000-9, Class Z, 8.000%, 06/20/30 |
|
|
221 |
|
| |
1,777 |
|
|
Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
|
|
2,157 |
|
| |
316 |
|
|
Series 2000-12, Class ST, HB, IF, 38.272%, 02/16/30 |
|
|
682 |
|
| |
363 |
|
|
Series 2000-14, Class PD, 7.000%, 02/16/30 |
|
|
430 |
|
| |
97 |
|
|
Series 2000-16, Class ZN, 7.500%, 02/16/30 |
|
|
102 |
|
| |
2,496 |
|
|
Series 2000-21, Class Z, 9.000%, 03/16/30 |
|
|
2,962 |
|
| |
439 |
|
|
Series 2000-26, Class TZ, 8.500%, 09/20/30 |
|
|
517 |
|
| |
111 |
|
|
Series 2000-26, Class Z, 7.750%, 09/20/30 |
|
|
130 |
|
| |
21 |
|
|
Series 2000-30, Class ST, IF, 11.050%, 12/16/22 |
|
|
26 |
|
| |
346 |
|
|
Series 2000-31, Class Z, 9.000%, 10/20/30 |
|
|
411 |
|
| |
206 |
|
|
Series 2000-35, Class ZA, 9.000%, 11/20/30 |
|
|
227 |
|
| |
33 |
|
|
Series 2000-36, Class IK, IO, 9.000%, 11/16/30 |
|
|
10 |
|
| |
175 |
|
|
Series 2001-4, Class SJ, IF, IO, 7.913%, 01/19/30 |
|
|
40 |
|
| |
157 |
|
|
Series 2001-6, Class SD, IF, IO, 8.312%, 03/16/31 |
|
|
34 |
|
| |
313 |
|
|
Series 2001-7, Class PK, 6.500%, 03/20/31 |
|
|
334 |
|
| |
921 |
|
|
Series 2001-8, Class Z, 6.500%, 03/20/31 |
|
|
1,081 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
16 |
|
|
Series 2001-32, Class WA, IF, 19.532%, 07/20/31 |
|
|
30 |
|
| |
255 |
|
|
Series 2001-35, Class SA, IF, IO, 8.012%, 08/16/31 |
|
|
60 |
|
| |
210 |
|
|
Series 2001-36, Class S, IF, IO, 7.811%, 08/16/31 |
|
|
49 |
|
| |
1,109 |
|
|
Series 2001-64, Class MQ, 6.500%, 12/20/31 |
|
|
1,175 |
|
| |
275 |
|
|
Series 2002-3, Class SP, IF, IO, 7.152%, 01/16/32 |
|
|
77 |
|
| |
377 |
|
|
Series 2002-7, Class PG, 6.500%, 01/20/32 |
|
|
445 |
|
| |
1,113 |
|
|
Series 2002-24, Class AG, IF, IO, 7.711%, 04/16/32 |
|
|
292 |
|
| |
99 |
|
|
Series 2002-24, Class SB, IF, 11.567%, 04/16/32 |
|
|
134 |
|
| |
2,504 |
|
|
Series 2002-31, Class SE, IF, IO, 7.261%, 04/16/30 |
|
|
532 |
|
| |
757 |
|
|
Series 2002-40, Class UK, 6.500%, 06/20/32 |
|
|
893 |
|
| |
40 |
|
|
Series 2002-41, Class SV, IF, 9.000%, 06/16/32 |
|
|
52 |
|
| |
2,832 |
|
|
Series 2002-45, Class QE, 6.500%, 06/20/32 |
|
|
3,284 |
|
| |
974 |
|
|
Series 2002-47, Class PG, 6.500%, 07/16/32 |
|
|
1,150 |
|
| |
1,810 |
|
|
Series 2002-47, Class ZA, 6.500%, 07/20/32 |
|
|
2,137 |
|
| |
53 |
|
|
Series 2002-51, Class SG, HB, IF, 31.473%, 04/20/31 |
|
|
116 |
|
| |
1,574 |
|
|
Series 2002-52, Class GH, 6.500%, 07/20/32 |
|
|
1,806 |
|
| |
453 |
|
|
Series 2002-54, Class GB, 6.500%, 08/20/32 |
|
|
521 |
|
| |
1,099 |
|
|
Series 2002-70, Class PS, IF, IO, 7.463%, 08/20/32 |
|
|
132 |
|
| |
949 |
|
|
Series 2002-75, Class PB, 6.000%, 11/20/32 |
|
|
1,199 |
|
| |
220 |
|
|
Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
|
|
5 |
|
| |
228 |
|
|
Series 2003-4, Class NY, 5.500%, 12/20/13 |
|
|
235 |
|
| |
1,260 |
|
|
Series 2003-11, Class SK, IF, IO, 7.462%, 02/16/33 |
|
|
290 |
|
| |
522 |
|
|
Series 2003-12, Class SP, IF, IO, 7.463%, 02/20/33 |
|
|
128 |
|
| |
116 |
|
|
Series 2003-24, Class PO, PO, 03/16/33 |
|
|
104 |
|
| |
525 |
|
|
Series 2003-40, Class TC, 7.500%, 03/20/33 |
|
|
537 |
|
| |
1,319 |
|
|
Series 2003-40, Class TJ, 6.500%, 03/20/33 |
|
|
1,652 |
|
| |
753 |
|
|
Series 2003-46, Class MG, 6.500%, 05/20/33 |
|
|
947 |
|
| |
1,394 |
|
|
Series 2003-46, Class TC, 6.500%, 03/20/33 |
|
|
1,639 |
|
| |
470 |
|
|
Series 2003-52, Class AP, PO, 06/16/33 |
|
|
429 |
|
| |
2,150 |
|
|
Series 2003-58, Class BE, 6.500%, 01/20/33 |
|
|
2,578 |
|
| |
580 |
|
|
Series 2003-76, Class LS, IF, IO, 6.963%, 09/20/31 |
|
|
31 |
|
| |
141 |
|
|
Series 2003-90, Class PO, PO, 10/20/33 |
|
|
130 |
|
| |
1,749 |
|
|
Series 2003-112, Class SA, IF, IO, 6.311%, 12/16/33 |
|
|
330 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
21 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
2,763 |
|
|
Series 2003-112, Class TS, IF, IO, 6.713%, 10/20/32 |
|
|
274 |
|
| |
5,366 |
|
|
Series 2004-11, Class SW, IF, IO, 5.263%, 02/20/34 |
|
|
820 |
|
| |
467 |
|
|
Series 2004-15, Class SA, IF, 19.011%, 12/20/32 |
|
|
561 |
|
| |
597 |
|
|
Series 2004-28, Class S, IF, 19.007%, 04/16/34 |
|
|
976 |
|
| |
365 |
|
|
Series 2004-68, Class PO, PO, 05/20/31 |
|
|
363 |
|
| |
241 |
|
|
Series 2004-73, Class AE, IF, 14.364%, 08/17/34 |
|
|
316 |
|
| |
2,910 |
|
|
Series 2004-90, Class SI, IF, IO, 5.863%, 10/20/34 |
|
|
456 |
|
| |
2,207 |
|
|
Series 2005-3, Class SB, IF, IO, 5.863%, 01/20/35 |
|
|
342 |
|
| |
5,455 |
|
|
Series 2005-17, Class SL, IF, IO, 6.463%, 07/20/34 |
|
|
916 |
|
| |
471 |
|
|
Series 2005-35, Class FL, VAR, 0.587%, 03/20/32 |
|
|
471 |
|
| |
250 |
|
|
Series 2005-39, Class KI, IO, 5.500%, 03/20/34 |
|
|
18 |
|
| |
3,196 |
|
|
Series 2005-58, Class NI, IO, 5.500%, 08/20/35 |
|
|
732 |
|
| |
535 |
|
|
Series 2005-68, Class DP, IF, 15.860%, 06/17/35 |
|
|
755 |
|
| |
8,054 |
|
|
Series 2005-68, Class KI, IF, IO, 6.063%, 09/20/35 |
|
|
1,193 |
|
| |
1,241 |
|
|
Series 2005-69, Class SY, IF, IO, 6.513%, 11/20/33 |
|
|
182 |
|
| |
1,028 |
|
|
Series 2005-91, Class PI, IO, 6.000%, 12/20/35 |
|
|
184 |
|
| |
554 |
|
|
Series 2006-16, Class OP, PO, 03/20/36 |
|
|
510 |
|
| |
367 |
|
|
Series 2006-28, Class GO, PO, 03/20/35 |
|
|
365 |
|
| |
1,817 |
|
|
Series 2006-38, Class SW, IF, IO, 6.263%, 06/20/36 |
|
|
233 |
|
| |
1,670 |
|
|
Series 2006-59, Class SD, IF, IO, 6.463%, 10/20/36 |
|
|
290 |
|
| |
3,269 |
|
|
Series 2006-65, Class SA, IF, IO, 6.563%, 11/20/36 |
|
|
512 |
|
| |
1,828 |
|
|
Series 2007-9, Class DI, IF, IO, 6.273%, 03/20/37 |
|
|
303 |
|
| |
4,119 |
|
|
Series 2007-17, Class JI, IF, IO, 6.572%, 04/16/37 |
|
|
717 |
|
| |
442 |
|
|
Series 2007-17, Class JO, PO, 04/16/37 |
|
|
406 |
|
| |
2,864 |
|
|
Series 2007-19, Class SD, IF, IO, 5.963%, 04/20/37 |
|
|
413 |
|
| |
2,850 |
|
|
Series 2007-26, Class SC, IF, IO, 5.963%, 05/20/37 |
|
|
424 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
1,748 |
|
|
Series 2007-27, Class SA, IF, IO, 5.963%, 05/20/37 |
|
|
281 |
|
| |
709 |
|
|
Series 2007-28, Class BO, PO, 05/20/37 |
|
|
671 |
|
| |
108 |
|
|
Series 2007-35, Class TO, PO, 04/20/35 |
|
|
108 |
|
| |
1,639 |
|
|
Series 2007-36, Class SE, IF, IO, 6.231%, 06/16/37 |
|
|
267 |
|
| |
4,666 |
|
|
Series 2007-40, Class SB, IF, IO, 6.513%, 07/20/37 |
|
|
739 |
|
| |
2,790 |
|
|
Series 2007-42, Class SB, IF, IO, 6.513%, 07/20/37 |
|
|
471 |
|
| |
2,500 |
|
|
Series 2007-47, Class PH, 6.000%, 07/16/37 |
|
|
3,186 |
|
| |
611 |
|
|
Series 2007-49, Class NO, PO, 12/20/35 |
|
|
609 |
|
| |
2,377 |
|
|
Series 2007-50, Class AI, IF, IO, 6.538%, 08/20/37 |
|
|
395 |
|
| |
340 |
|
|
Series 2007-53, Class SW, IF, 19.494%, 09/20/37 |
|
|
497 |
|
| |
1,343 |
|
|
Series 2007-57, Class PO, PO, 03/20/37 |
|
|
1,293 |
|
| |
1,703 |
|
|
Series 2007-57, Class QA, IF, IO, 6.263%, 10/20/37 |
|
|
261 |
|
| |
2,299 |
|
|
Series 2007-71, Class SB, IF, IO, 6.463%, 07/20/36 |
|
|
272 |
|
| |
1,668 |
|
|
Series 2007-72, Class US, IF, IO, 6.313%, 11/20/37 |
|
|
280 |
|
| |
1,687 |
|
|
Series 2007-73, Class MI, IF, IO, 5.763%, 11/20/37 |
|
|
244 |
|
| |
3,324 |
|
|
Series 2007-76, Class SA, IF, IO, 6.293%, 11/20/37 |
|
|
552 |
|
| |
1,687 |
|
|
Series 2007-79, Class SY, IF, IO, 6.313%, 12/20/37 |
|
|
290 |
|
| |
1,040 |
|
|
Series 2007-81, Class SP, IF, IO, 6.413%, 12/20/37 |
|
|
185 |
|
| |
1,871 |
|
|
Series 2007-82, Class SA, IF, IO, 6.293%, 12/20/37 |
|
|
311 |
|
| |
751 |
|
|
Series 2008-2, Class MS, IF, IO, 6.922%, 01/16/38 |
|
|
130 |
|
| |
3,005 |
|
|
Series 2008-2, Class NS, IF, IO, 6.302%, 01/16/38 |
|
|
511 |
|
| |
1,764 |
|
|
Series 2008-10, Class S, IF, IO, 5.593%, 02/20/38 |
|
|
266 |
|
| |
601 |
|
|
Series 2008-23, Class IO, IO, 6.000%, 02/20/37 |
|
|
50 |
|
| |
1,273 |
|
|
Series 2008-25, Class SB, IF, IO, 6.663%, 03/20/38 |
|
|
237 |
|
| |
1,271 |
|
|
Series 2008-32, Class PI, IO, 5.500%, 10/16/37 |
|
|
172 |
|
| |
2,410 |
|
|
Series 2008-36, Class SH, IF, IO, 6.063%, 04/20/38 |
|
|
377 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 22 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
9,385 |
|
|
Series 2008-40, Class SA, IF, IO, 6.162%, 05/16/38 |
|
|
1,938 |
|
| |
2,558 |
|
|
Series 2008-41, Class SA, IF, IO, 6.103%, 05/20/38 |
|
|
365 |
|
| |
1,672 |
|
|
Series 2008-55, Class SA, IF, IO, 5.963%, 06/20/38 |
|
|
250 |
|
| |
634 |
|
|
Series 2008-60, Class PO, PO, 01/20/38 |
|
|
622 |
|
| |
2,000 |
|
|
Series 2008-65, Class ME, 5.750%, 09/20/37 |
|
|
2,157 |
|
| |
986 |
|
|
Series 2008-71, Class SC, IF, IO, 5.763%, 08/20/38 |
|
|
134 |
|
| |
1,646 |
|
|
Series 2008-93, Class AS, IF, IO, 5.463%, 12/20/38 |
|
|
231 |
|
| |
2,776 |
|
|
Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 |
|
|
464 |
|
| |
1,868 |
|
|
Series 2009-10, Class SL, IF, IO, 6.262%, 03/16/34 |
|
|
200 |
|
| |
3,000 |
|
|
Series 2009-12, Class IE, IO, 5.500%, 03/20/39 |
|
|
777 |
|
| |
1,824 |
|
|
Series 2009-14, Class KI, IO, 6.500%, 03/20/39 |
|
|
392 |
|
| |
1,611 |
|
|
Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
|
|
311 |
|
| |
4,522 |
|
|
Series 2009-22, Class SA, IF, IO, 6.033%, 04/20/39 |
|
|
655 |
|
| |
1,390 |
|
|
Series 2009-25, Class SE, IF, IO, 7.363%, 09/20/38 |
|
|
229 |
|
| |
1,502 |
|
|
Series 2009-33, Class CI, IO, 5.500%, 05/20/39 |
|
|
211 |
|
| |
1,184 |
|
|
Series 2009-33, Class TI, IO, 6.000%, 05/20/39 |
|
|
209 |
|
| |
1,122 |
|
|
Series 2009-38, Class IO, IO, 5.000%, 09/16/31 |
|
|
54 |
|
| |
2,229 |
|
|
Series 2009-43, Class SA, IF, IO, 5.713%, 06/20/39 |
|
|
300 |
|
| |
1,802 |
|
|
Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 |
|
|
323 |
|
| |
4,168 |
|
|
Series 2009-72, Class SM, IF, IO, 6.011%, 08/16/39 |
|
|
560 |
|
| |
826 |
|
|
Series 2009-79, Class OK, PO, 11/16/37 |
|
|
768 |
|
| |
700 |
|
|
Series 2010-14, Class CO, PO, 08/20/35 |
|
|
608 |
|
| |
984 |
|
|
Series 2010-130, Class CP, 7.000%, 10/16/40 |
|
|
1,160 |
|
| |
4,708 |
|
|
Series 2010-157, Class OP, PO, 12/20/40 |
|
|
4,103 |
|
| |
1,643 |
|
|
Series 2011-22, Class WA, VAR,
5.947%, 02/20/37 |
|
|
1,853 |
|
| |
5,936 |
|
|
Series 2011-75, Class SM, IF, IO, 6.363%, 05/20/41 |
|
|
958 |
|
| |
3,938 |
|
|
Series 2012-61, Class FM, VAR, 0.639%, 05/16/42 |
|
|
3,951 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
5,007 |
|
|
Series 2012-H10, Class FA, VAR, 0.795%, 12/20/61 |
|
|
5,010 |
|
|
|
|
|
NCUA Guaranteed Notes, |
|
|
|
|
| |
17,000 |
|
|
Series 2010-C1, Class A2, 2.900%, 10/29/20 |
|
|
18,174 |
|
| |
10,591 |
|
|
Series 2010-C1, Class APT, 2.650%, 10/29/20 |
|
|
11,167 |
|
|
|
|
|
Vendee Mortgage Trust, |
|
|
|
|
| |
606 |
|
|
Series 1994-1, Class 1, VAR, 5.628%, 02/15/24 |
|
|
690 |
|
| |
1,077 |
|
|
Series 1994-1, Class 2ZB, 6.500%, 02/15/24 |
|
|
1,222 |
|
| |
913 |
|
|
Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
|
|
1,068 |
|
| |
667 |
|
|
Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
|
|
792 |
|
| |
1,291 |
|
|
Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
|
|
1,532 |
|
| |
1,565 |
|
|
Series 1998-1, Class 2E, 7.000%, 03/15/28 |
|
|
1,884 |
|
| |
2,988 |
|
|
Series 1999-1, Class 2Z, 6.500%, 01/15/29 |
|
|
3,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
765,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — 11.1% |
|
|
|
|
| |
576 |
|
|
AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e) |
|
|
551 |
|
| |
650 |
|
|
ABN AMRO Mortgage Corp., Series 2003-8,
Class A3, 4.500%, 06/25/33 |
|
|
657 |
|
|
|
|
|
American General Mortgage Loan Trust, |
|
|
|
|
| |
4,200 |
|
|
Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) |
|
|
4,215 |
|
| |
2,775 |
|
|
Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) |
|
|
2,811 |
|
| |
4,500 |
|
|
Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) |
|
|
4,601 |
|
| |
988 |
|
|
Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) |
|
|
1,008 |
|
| |
718 |
|
|
Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e) |
|
|
754 |
|
| |
1,140 |
|
|
Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e) |
|
|
1,192 |
|
| |
473 |
|
|
Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e) |
|
|
486 |
|
| |
7,278 |
|
|
American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.339%, 09/25/35 |
|
|
3,393 |
|
|
|
|
|
ASG Resecuritization Trust, |
|
|
|
|
| |
1,164 |
|
|
Series 2009-1, Class A60, VAR, 2.490%, 06/26/37 (e) |
|
|
1,159 |
|
| |
1,987 |
|
|
Series 2009-2, Class A55, VAR, 5.199%, 05/24/36 (e) |
|
|
1,968 |
|
| |
1,000 |
|
|
Series 2009-2, Class G60, VAR, 5.199%, 05/24/36 (e) |
|
|
978 |
|
| |
4,972 |
|
|
Series 2009-3, Class A65, VAR, 2.608%, 03/26/37 (e) |
|
|
4,889 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
23 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
5,205 |
|
|
Series 2009-4, Class A60, 6.000%, 06/28/37 (e) |
|
|
5,392 |
|
| |
1,331 |
|
|
Series 2010-2, Class A60, VAR, 2.145%, 01/28/37 (e) |
|
|
1,291 |
|
| |
845 |
|
|
Series 2010-3, Class 2A22, VAR, 0.485%, 10/28/36 (e) |
|
|
834 |
|
| |
953 |
|
|
Series 2011-1, Class 3A50, VAR, 2.720%, 11/28/35 (e) (f) (i) |
|
|
920 |
|
|
|
|
|
Banc of America Alternative Loan Trust, |
|
|
|
|
| |
248 |
|
|
Series 2003-2, Class PO, PO, 04/25/33 |
|
|
186 |
|
| |
608 |
|
|
Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
|
|
624 |
|
| |
422 |
|
|
Series 2003-11, Class PO, PO, 01/25/34 |
|
|
312 |
|
| |
265 |
|
|
Series 2004-6, Class 15PO, PO, 07/25/19 |
|
|
222 |
|
| |
1,910 |
|
|
Series 2005-5, Class 1CB1, 5.500%, 06/25/35 |
|
|
1,755 |
|
| |
5,648 |
|
|
Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35 |
|
|
908 |
|
| |
1,831 |
|
|
Series 2006-4, Class 1A4, 6.000%, 05/25/46 |
|
|
1,198 |
|
|
|
|
|
Banc of America Funding Corp., |
|
|
|
|
| |
589 |
|
|
Series 2004-1, Class PO, PO, 03/25/34 |
|
|
462 |
|
| |
967 |
|
|
Series 2004-2, Class 30PO, PO, 09/20/34 |
|
|
920 |
|
| |
549 |
|
|
Series 2004-C, Class 1A1, VAR, 5.055%, 12/20/34 |
|
|
554 |
|
| |
1,326 |
|
|
Series 2005-6, Class 2A7, 5.500%, 10/25/35 |
|
|
1,407 |
|
| |
939 |
|
|
Series 2005-7, Class 30PO, PO, 11/25/35 |
|
|
728 |
|
| |
591 |
|
|
Series 2005-8, Class 30PO, PO, 01/25/36 |
|
|
441 |
|
| |
2,084 |
|
|
Series 2005-E, Class 4A1, VAR, 2.645%, 03/20/35 |
|
|
2,053 |
|
| |
749 |
|
|
Series 2006-A, Class 3A2, VAR, 2.930%, 02/20/36 |
|
|
482 |
|
| |
1,542 |
|
|
Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e) |
|
|
1,619 |
|
|
|
|
|
Banc of America Mortgage Securities, Inc., |
|
|
|
|
| |
219 |
|
|
Series 2003-3, Class 2A1, VAR, 0.786%, 05/25/18 |
|
|
209 |
|
| |
292 |
|
|
Series 2003-6, Class 2A1, VAR, 0.685%, 08/25/18 |
|
|
279 |
|
| |
101 |
|
|
Series 2003-7, Class A2, 4.750%, 09/25/18 |
|
|
105 |
|
| |
280 |
|
|
Series 2003-8, Class APO, PO, 11/25/33 |
|
|
262 |
|
| |
2,469 |
|
|
Series 2004-3, Class 15IO, IO, VAR, 0.258%, 04/25/19 |
|
|
12 |
|
| |
119 |
|
|
Series 2004-4, Class APO, PO, 05/25/34 |
|
|
112 |
|
| |
3,540 |
|
|
Series 2004-5, Class 2A2, 5.500%, 06/25/34 |
|
|
3,656 |
|
| |
711 |
|
|
Series 2004-6, Class 2A5, PO, 07/25/34 |
|
|
531 |
|
| |
560 |
|
|
Series 2004-6, Class APO, PO, 07/25/34 |
|
|
524 |
|
| |
53 |
|
|
Series 2004-8, Class 5PO, PO, 05/25/32 |
|
|
51 |
|
| |
60 |
|
|
Series 2004-8, Class XPO, PO, 10/25/34 |
|
|
57 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
397 |
|
|
Series 2004-A, Class 2A2, VAR, 2.966%, 02/25/34 |
|
|
386 |
|
| |
1,345 |
|
|
Series 2004-J, Class 3A1, VAR, 2.916%, 11/25/34 |
|
|
1,244 |
|
| |
1,873 |
|
|
Series 2005-10, Class 1A6, 5.500%, 11/25/35 |
|
|
1,841 |
|
| |
388 |
|
|
Series 2005-A, Class 2A1, VAR, 3.002%, 02/25/35 |
|
|
355 |
|
|
|
|
|
BCAP LLC Trust, |
|
|
|
|
| |
38 |
|
|
Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) |
|
|
38 |
|
| |
840 |
|
|
Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) |
|
|
824 |
|
| |
921 |
|
|
Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) |
|
|
946 |
|
| |
1,081 |
|
|
Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) |
|
|
1,093 |
|
| |
798 |
|
|
Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i) |
|
|
793 |
|
| |
172 |
|
|
Series 2010-RR4, Class 2A1, VAR, 0.986%, 06/26/37 (e) |
|
|
171 |
|
| |
1,161 |
|
|
Series 2010-RR6, Class 22A3, VAR, 4.934%, 06/26/36 (e) |
|
|
1,176 |
|
| |
497 |
|
|
Series 2010-RR6, Class 5A1, VAR, 5.381%, 11/26/37 (e) |
|
|
495 |
|
| |
695 |
|
|
Series 2010-RR7, Class 15A1, VAR, 1.035%, 01/26/36 (e) |
|
|
657 |
|
| |
1,129 |
|
|
Series 2010-RR7, Class 16A1, VAR, 0.848%, 02/26/47 (e) |
|
|
1,053 |
|
| |
789 |
|
|
Series 2010-RR7, Class 1A5, VAR, 5.017%, 04/26/35 (e) |
|
|
769 |
|
| |
2,561 |
|
|
Series 2010-RR7, Class 2A1, VAR, 2.445%, 07/26/45 (e) |
|
|
2,402 |
|
| |
737 |
|
|
Series 2010-RR8, Class 3A3, VAR, 5.070%, 05/26/35 (e) |
|
|
742 |
|
| |
1,500 |
|
|
Series 2010-RR8, Class 3A4, VAR, 5.070%, 05/26/35 (e) |
|
|
1,358 |
|
| |
2,059 |
|
|
Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e) |
|
|
2,091 |
|
| |
2,933 |
|
|
Series 2011-RR10, Class 2A1, VAR, 4.326%, 09/26/37 (e) |
|
|
2,595 |
|
| |
2,245 |
|
|
Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) |
|
|
2,176 |
|
| |
3,196 |
|
|
Series 2011-RR5, Class 11A3, VAR, 0.385%, 05/28/36 (e) |
|
|
2,832 |
|
| |
2,170 |
|
|
Series 2011-RR5, Class 14A3, VAR, 2.933%, 07/26/36 (e) (f) (i) |
|
|
2,092 |
|
| |
3,071 |
|
|
Series 2012-RR2, Class 1A1, VAR, 0.406%, 08/26/36 (e) (f) (i) |
|
|
2,912 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 24 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
2,256 |
|
|
Series 2012-RR3, Class 2A5, 4.930%, 05/26/37 (e) |
|
|
2,206 |
|
|
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust, |
|
|
|
|
| |
266 |
|
|
Series 2003-7, Class 3A, VAR, 2.713%, 10/25/33 |
|
|
267 |
|
| |
970 |
|
|
Series 2004-1, Class 12A1, VAR, 3.046%, 04/25/34 |
|
|
871 |
|
| |
428 |
|
|
Series 2004-2, Class 14A, VAR, 5.090%, 05/25/34 |
|
|
436 |
|
| |
2,524 |
|
|
Series 2005-5, Class A1, VAR, 2.240%, 08/25/35 |
|
|
2,557 |
|
| |
5,247 |
|
|
Series 2006-1, Class A1, VAR, 2.370%, 02/25/36 |
|
|
4,803 |
|
|
|
|
|
Citicorp Mortgage Securities, Inc., |
|
|
|
|
| |
1,167 |
|
|
Series 2004-1, Class 3A1, 4.750%, 01/25/34 |
|
|
1,185 |
|
| |
749 |
|
|
Series 2004-5, Class 2A5, 4.500%, 08/25/34 |
|
|
777 |
|
| |
268 |
|
|
Series 2005-5, Class APO, PO, 08/25/35 |
|
|
250 |
|
| |
294 |
|
|
Series 2005-8, Class APO, PO, 11/25/35 |
|
|
222 |
|
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
| |
585 |
|
|
Series 2003-1, Class 2A5, 5.250%, 10/25/33 |
|
|
598 |
|
| |
340 |
|
|
Series 2003-1, Class 2A6, PO, 10/25/33 |
|
|
320 |
|
| |
262 |
|
|
Series 2003-1, Class PO2, PO, 10/25/33 |
|
|
246 |
|
| |
201 |
|
|
Series 2003-1, Class PO3, PO, 09/25/33 |
|
|
189 |
|
| |
125 |
|
|
Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
|
|
130 |
|
| |
727 |
|
|
Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
|
|
760 |
|
| |
151 |
|
|
Series 2003-UST1, Class PO1, PO, 12/25/18 |
|
|
151 |
|
| |
81 |
|
|
Series 2003-UST1, Class PO3, PO, 12/25/18 |
|
|
80 |
|
| |
267 |
|
|
Series 2004-UST1, Class A6, VAR, 5.060%, 08/25/34 |
|
|
274 |
|
| |
497 |
|
|
Series 2005-1, Class 2A1A, VAR, 2.845%, 04/25/35 |
|
|
328 |
|
| |
777 |
|
|
Series 2005-2, Class 2A11, 5.500%, 05/25/35 |
|
|
796 |
|
| |
608 |
|
|
Series 2005-5, Class 1A2, VAR, 3.180%, 08/25/35 |
|
|
352 |
|
| |
1,872 |
|
|
Series 2008-AR4, Class 1A1A, VAR, 3.040%, 11/25/38 (e) |
|
|
1,873 |
|
| |
890 |
|
|
Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) |
|
|
936 |
|
| |
10,364 |
|
|
Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) |
|
|
10,732 |
|
| |
11,177 |
|
|
Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) |
|
|
11,612 |
|
| |
774 |
|
|
Series 2011-3, Class 1A1, VAR, 0.316%, 02/25/47 (e) |
|
|
767 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
742 |
|
|
Series 2011-10, Class 4A1, VAR, 0.435%, 02/25/46 (e) (f) (i) |
|
|
706 |
|
|
|
|
|
Countrywide Alternative Loan Trust, |
|
|
|
|
| |
477 |
|
|
Series 2002-8, Class A4, 6.500%, 07/25/32 |
|
|
499 |
|
| |
12,189 |
|
|
Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
|
|
12,037 |
|
| |
1,879 |
|
|
Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
|
|
1,920 |
|
| |
437 |
|
|
Series 2005-5R, Class A1, 5.250%, 12/25/18 |
|
|
441 |
|
| |
3,399 |
|
|
Series 2005-1CB, Class 1A6, IF, IO, 6.865%, 03/25/35 |
|
|
834 |
|
| |
6,515 |
|
|
Series 2005-20CB, Class 3A8, IF, IO, 4.515%, 07/25/35 |
|
|
736 |
|
| |
12,310 |
|
|
Series 2005-22T1, Class A2, IF, IO, 4.835%, 06/25/35 |
|
|
1,912 |
|
| |
6,294 |
|
|
Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 |
|
|
5,748 |
|
| |
233 |
|
|
Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 |
|
|
201 |
|
| |
8,693 |
|
|
Series 2005-37T1, Class A2, IF, IO, 4.814%, 09/25/35 |
|
|
1,373 |
|
| |
5,674 |
|
|
Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
|
|
4,917 |
|
| |
14,674 |
|
|
Series 2005-54CB, Class 1A2, IF, IO, 4.615%, 11/25/35 |
|
|
2,136 |
|
| |
3,650 |
|
|
Series 2005-57CB, Class 3A2, IF, IO, 4.865%, 12/25/35 |
|
|
520 |
|
| |
2,240 |
|
|
Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 |
|
|
1,854 |
|
| |
10,038 |
|
|
Series 2005-J1, Class 1A4, IF, IO, 4.865%, 02/25/35 |
|
|
1,386 |
|
| |
3,264 |
|
|
Series 2006-26CB, Class A9, 6.500%, 09/25/36 |
|
|
2,247 |
|
|
|
|
|
Countrywide Home Loan Mortgage
Pass-Through Trust, |
|
|
|
|
| |
1,523 |
|
|
Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
|
|
1,522 |
|
| |
554 |
|
|
Series 2003-44, Class A9, PO, 10/25/33 |
|
|
552 |
|
| |
602 |
|
|
Series 2003-J7, Class 4A3, IF, 9.469%, 08/25/18 |
|
|
661 |
|
| |
727 |
|
|
Series 2004-7, Class 2A1, VAR, 2.983%, 06/25/34 |
|
|
721 |
|
| |
722 |
|
|
Series 2004-8, Class 2A1, 4.500%, 06/25/19 |
|
|
736 |
|
| |
272 |
|
|
Series 2004-HYB1, Class 2A, VAR, 2.867%, 05/20/34 |
|
|
261 |
|
| |
1,078 |
|
|
Series 2004-HYB3, Class 2A, VAR, 2.813%, 06/20/34 |
|
|
959 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
25 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
869 |
|
|
Series 2004-HYB6, Class A3, VAR, 2.698%, 11/20/34 |
|
|
739 |
|
| |
579 |
|
|
Series 2004-J8, Class 1A2, 4.750%, 11/25/19 |
|
|
595 |
|
| |
3,853 |
|
|
Series 2005-16, Class A23, 5.500%, 09/25/35 |
|
|
3,937 |
|
| |
4,557 |
|
|
Series 2005-22, Class 2A1, VAR, 2.723%, 11/25/35 |
|
|
3,424 |
|
|
|
|
|
Credit Suisse Mortgage Capital Certificates, |
|
|
|
|
| |
81 |
|
|
Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) |
|
|
80 |
|
| |
627 |
|
|
Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) |
|
|
587 |
|
| |
666 |
|
|
Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) |
|
|
666 |
|
| |
118 |
|
|
Series 2010-11R, Class A1, VAR, 1.234%, 06/28/47 (e) |
|
|
115 |
|
| |
650 |
|
|
Series 2010-12R, Class 14A1, VAR, 2.879%, 09/26/46 (e) |
|
|
647 |
|
| |
176 |
|
|
Series 2010-15R, Class 7A1, VAR, 1.675%, 10/26/37 (e) |
|
|
173 |
|
| |
250 |
|
|
Series 2010-15R, Class 7A2, VAR, 1.675%, 10/26/37 (e) |
|
|
239 |
|
| |
4,187 |
|
|
Series 2011-1R, Class A1, VAR, 1.235%, 02/27/47 (e) |
|
|
4,124 |
|
| |
1,378 |
|
|
Series 2011-6R, Class 3A1, VAR, 2.948%, 07/28/36 (e) |
|
|
1,300 |
|
| |
5,232 |
|
|
Series 2011-7R, Class A1, VAR, 1.484%, 08/28/47 (e) |
|
|
5,145 |
|
| |
2,547 |
|
|
Series 2011-9R, Class A1, VAR, 2.234%, 03/27/46 (e) |
|
|
2,539 |
|
| |
3,704 |
|
|
Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) |
|
|
3,765 |
|
| |
1,817 |
|
|
Series 2012-3R, Class 1A1, VAR, 3.250%, 07/27/37 (e) |
|
|
1,829 |
|
|
|
|
|
CS First Boston Mortgage Securities Corp., |
|
|
|
|
| |
751 |
|
|
Series 2003-1, Class DB1, 6.564%, 02/25/33 |
|
|
784 |
|
| |
243 |
|
|
Series 2003-17, Class 2A1, 5.000%, 07/25/18 |
|
|
249 |
|
| |
666 |
|
|
Series 2003-21, Class 1A4, 5.250%, 09/25/33 |
|
|
673 |
|
| |
856 |
|
|
Series 2003-25, Class 1P, PO, 10/25/33 |
|
|
811 |
|
| |
97 |
|
|
Series 2004-5, Class 5P, PO, 08/25/19 |
|
|
96 |
|
| |
1,920 |
|
|
Series 2005-4, Class 3A18, 5.500%, 06/25/35 |
|
|
1,876 |
|
| |
1,989 |
|
|
Series 2005-4, Class 3A22, 5.500%, 06/25/35 |
|
|
2,051 |
|
| |
2,137 |
|
|
Series 2005-4, Class 3A23, 5.500%, 06/25/35 |
|
|
2,015 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
|
|
|
|
Deutsche Mortgage Securities, Inc., |
|
|
|
|
| |
617 |
|
|
Series 2009-RS2, Class 4A1, VAR, 0.375%, 04/26/37 (e) |
|
|
598 |
|
| |
223 |
|
|
Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) |
|
|
224 |
|
| |
519 |
|
|
Series 2010-RS2, Class A1, VAR, 1.483%, 06/28/47 (e) |
|
|
519 |
|
| |
12 |
|
|
First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17 |
|
|
11 |
|
|
|
|
|
First Horizon Alternative Mortgage Securities, |
|
|
|
|
| |
1,339 |
|
|
Series 2004-AA4, Class A1, VAR, 2.603%, 10/25/34 |
|
|
1,193 |
|
| |
2,414 |
|
|
Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 |
|
|
1,950 |
|
| |
3,585 |
|
|
Series 2007-FA4, Class 1A2, IF, IO, 5.415%, 08/25/37 |
|
|
643 |
|
|
|
|
|
First Horizon Asset Securities, Inc., |
|
|
|
|
| |
3,262 |
|
|
Series 2003-9, Class 1A6, 5.500%, 11/25/33 |
|
|
3,307 |
|
| |
1,156 |
|
|
Series 2004-AR2, Class 2A1, VAR, 2.626%, 05/25/34 |
|
|
1,140 |
|
| |
184 |
|
|
Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 |
|
|
183 |
|
| |
1,926 |
|
|
Series 2005-AR1, Class 2A2, VAR, 2.625%, 04/25/35 |
|
|
1,944 |
|
| |
1,469 |
|
|
Freedom Trust, Series 2011-4, Class A18, VAR, 3.664%, 03/25/37 (e) |
|
|
1,465 |
|
|
|
|
|
GMAC Mortgage Corp. Loan Trust, |
|
|
|
|
| |
1,045 |
|
|
Series 2003-AR1, Class A4, VAR, 3.136%, 10/19/33 |
|
|
1,074 |
|
| |
548 |
|
|
Series 2004-J5, Class A7, 6.500%, 01/25/35 |
|
|
565 |
|
| |
270 |
|
|
Series 2004-J6, Class 1A1, 5.000%, 01/25/20 |
|
|
277 |
|
| |
478 |
|
|
Series 2005-AR3, Class 3A3, VAR, 3.338%, 06/19/35 |
|
|
483 |
|
| |
5,565 |
|
|
Series 2005-AR3, Class 3A4, VAR, 3.338%, 06/19/35 |
|
|
5,172 |
|
|
|
|
|
GSMPS Mortgage Loan Trust, |
|
|
|
|
| |
1,152 |
|
|
Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) |
|
|
1,164 |
|
| |
1,696 |
|
|
Series 2005-RP3, Class 1AF, VAR, 0.585%, 09/25/35 (e) |
|
|
1,372 |
|
| |
1,282 |
|
|
Series 2005-RP3, Class 1AS, IO, VAR, 5.055%, 09/25/35 (e) |
|
|
193 |
|
| |
5,545 |
|
|
Series 2006-RP2, Class 1AS2, IF, IO, 5.139%, 04/25/36 (e) |
|
|
900 |
|
|
|
|
|
GSR Mortgage Loan Trust, |
|
|
|
|
| |
1,083 |
|
|
Series 2004-6F, Class 3A4, 6.500%, 05/25/34 |
|
|
1,155 |
|
| |
1,131 |
|
|
Series 2004-8F, Class 2A3, 6.000%, 09/25/34 |
|
|
1,184 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 26 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
25 |
|
|
Series 2004-10F, Class 2A1, 5.000%, 08/25/19 |
|
|
25 |
|
| |
582 |
|
|
Series 2004-13F, Class 3A3, 6.000%, 11/25/34 |
|
|
574 |
|
| |
426 |
|
|
Series 2005-4F, Class AP, PO, 05/25/35 |
|
|
400 |
|
| |
5,143 |
|
|
Series 2005-7F, Class 3A9, 6.000%, 09/25/35 |
|
|
5,090 |
|
| |
4,959 |
|
|
Series 2006-1F, Class 2A4, 6.000%, 02/25/36 |
|
|
4,619 |
|
| |
4,758 |
|
|
Series 2007-1F, Class 2A4, 5.500%, 01/25/37 |
|
|
4,903 |
|
| |
489 |
|
|
Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.536%, 05/25/35 |
|
|
475 |
|
|
|
|
|
Impac Secured Assets CMN Owner Trust, |
|
|
|
|
| |
967 |
|
|
Series 2006-1, Class 2A1, VAR, 0.586%, 05/25/36 |
|
|
953 |
|
| |
1,364 |
|
|
Series 2006-2, Class 2A1, VAR, 0.586%, 08/25/36 |
|
|
1,373 |
|
| |
20,349 |
|
|
Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 08/25/35 |
|
|
102 |
|
|
|
|
|
JP Morgan Mortgage Trust, |
|
|
|
|
| |
2,377 |
|
|
Series 2006-A2, Class 4A1, VAR, 3.014%, 08/25/34 |
|
|
2,389 |
|
| |
3,008 |
|
|
Series 2006-A2, Class 5A3, VAR, 2.710%, 11/25/33 |
|
|
3,060 |
|
| |
634 |
|
|
Series 2006-A3, Class 6A1, VAR, 2.987%, 08/25/34 |
|
|
624 |
|
| |
913 |
|
|
JP Morgan Reremic, Series 2009-6, Class 4A1, VAR, 5.541%, 09/26/36 (e) |
|
|
904 |
|
|
|
|
|
Lehman Mortgage Trust, |
|
|
|
|
| |
1,051 |
|
|
Series 2006-2, Class 1A1, VAR, 6.446%, 04/25/36 |
|
|
1,018 |
|
| |
1,872 |
|
|
Series 2008-2, Class 1A6, 6.000%, 03/25/38 |
|
|
1,789 |
|
|
|
|
|
LVII Resecuritization Trust, |
|
|
|
|
| |
1,508 |
|
|
Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e) |
|
|
1,514 |
|
| |
1,000 |
|
|
Series 2009-3, Class M3, VAR, 5.559%, 11/27/37 (e) |
|
|
1,059 |
|
|
|
|
|
MASTR Adjustable Rate Mortgages Trust, |
|
|
|
|
| |
96 |
|
|
Series 2004-4, Class 2A1, VAR, 2.001%, 05/25/34 |
|
|
72 |
|
| |
1,349 |
|
|
Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 |
|
|
1,359 |
|
| |
1,822 |
|
|
Series 2004-13, Class 3A6, VAR, 2.623%, 11/21/34 |
|
|
1,856 |
|
| |
2,800 |
|
|
Series 2004-13, Class 3A7, VAR, 2.623%, 11/21/34 |
|
|
2,817 |
|
| |
415 |
|
|
Series 2004-15, Class 3A1, VAR, 3.077%, 12/25/34 |
|
|
370 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
|
|
|
|
MASTR Alternative Loans Trust, |
|
|
|
|
| |
265 |
|
|
Series 2003-3, Class 1A1, 6.500%, 05/25/33 |
|
|
277 |
|
| |
855 |
|
|
Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
|
|
909 |
|
| |
966 |
|
|
Series 2004-3, Class 2A1, 6.250%, 04/25/34 |
|
|
986 |
|
| |
1,518 |
|
|
Series 2004-4, Class 10A1, 5.000%, 05/25/24 |
|
|
1,578 |
|
| |
652 |
|
|
Series 2004-6, Class 30PO, PO, 07/25/34 |
|
|
562 |
|
| |
919 |
|
|
Series 2004-6, Class 7A1, 6.000%, 07/25/34 |
|
|
928 |
|
| |
475 |
|
|
Series 2004-7, Class 30PO, PO, 08/25/34 |
|
|
357 |
|
| |
2,072 |
|
|
Series 2004-8, Class 6A1, 5.500%, 09/25/19 |
|
|
2,111 |
|
| |
359 |
|
|
Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
|
|
367 |
|
|
|
|
|
MASTR Asset Securitization Trust, |
|
|
|
|
| |
152 |
|
|
Series 2003-2, Class 2A1, 4.500%, 03/25/18 |
|
|
155 |
|
| |
43 |
|
|
Series 2003-3, Class 4A1, 5.000%, 04/25/18 |
|
|
44 |
|
| |
262 |
|
|
Series 2003-4, Class 3A2, 5.000%, 05/25/18 |
|
|
271 |
|
| |
244 |
|
|
Series 2003-12, Class 30PO, PO, 12/25/33 |
|
|
228 |
|
| |
153 |
|
|
Series 2004-1, Class 30PO, PO, 02/25/34 |
|
|
123 |
|
| |
108 |
|
|
Series 2004-4, Class 3A1, 4.500%, 04/25/19 |
|
|
110 |
|
| |
122 |
|
|
Series 2004-6, Class 15PO, PO, 05/25/19 |
|
|
121 |
|
| |
221 |
|
|
Series 2004-8, Class 1A1, 4.750%, 08/25/19 |
|
|
229 |
|
| |
90 |
|
|
Series 2004-8, Class PO, PO, 08/25/19 |
|
|
89 |
|
| |
1,000 |
|
|
Series 2006-2, Class 1A30, 6.000%, 06/25/36 |
|
|
933 |
|
| |
3,406 |
|
|
MASTR Reperforming Loan Trust,
Series 2005-2, Class 1A1F, VAR, 0.585%, 05/25/35 (e) |
|
|
2,599 |
|
| |
2,385 |
|
|
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
|
|
1,860 |
|
| |
67 |
|
|
Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 |
|
|
75 |
|
| |
1,208 |
|
|
MLCC Mortgage Investors, Inc., Series 2004-1, Class 2A1, VAR, 2.514%, 12/25/34 |
|
|
1,240 |
|
| |
804 |
|
|
MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.556%, 02/25/35 |
|
|
711 |
|
|
|
|
|
Nomura Asset Acceptance Corp., |
|
|
|
|
| |
424 |
|
|
Series 2003-A1, Class A1, 5.500%, 05/25/33 |
|
|
444 |
|
| |
129 |
|
|
Series 2003-A1, Class A2, 6.000%, 05/25/33 |
|
|
136 |
|
| |
62 |
|
|
Series 2003-A1, Class A5, 7.000%, 04/25/33 |
|
|
66 |
|
| |
9 |
|
|
Series 2003-A1, Class A7, 5.000%, 04/25/18 |
|
|
9 |
|
| |
635 |
|
|
Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
|
|
624 |
|
|
|
|
|
Paine Webber CMO Trust, |
|
|
|
|
| |
3 |
|
|
Series H, Class 4, 8.750%, 04/01/18 |
|
|
3 |
|
| |
13 |
|
|
Series P, Class 4, 8.500%, 08/01/19 |
|
|
15 |
|
| |
569 |
|
|
Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.816%, 05/25/35 |
|
|
573 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
27 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
|
|
|
|
RALI Trust, |
|
|
|
|
| |
196 |
|
|
Series 2002-QS16, Class A3, IF, 16.130%, 10/25/17 |
|
|
221 |
|
| |
661 |
|
|
Series 2002-QS8, Class A5, 6.250%, 06/25/17 |
|
|
678 |
|
| |
5,658 |
|
|
Series 2003-QR19, Class CB4, 5.750%, 10/25/33 |
|
|
5,588 |
|
| |
1,278 |
|
|
Series 2003-QS12, Class A2A, IF, IO, 7.364%, 06/25/18 |
|
|
181 |
|
| |
389 |
|
|
Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 |
|
|
35 |
|
| |
2,528 |
|
|
Series 2003-QS14, Class A1, 5.000%, 07/25/18 |
|
|
2,587 |
|
| |
813 |
|
|
Series 2003-QS18, Class A1, 5.000%, 09/25/18 |
|
|
840 |
|
| |
1,997 |
|
|
Series 2003-QS19, Class A1, 5.750%, 10/25/33 |
|
|
2,077 |
|
| |
509 |
|
|
Series 2003-QS3, Class A2, IF, 15.982%, 02/25/18 |
|
|
565 |
|
| |
409 |
|
|
Series 2003-QS3, Class A8, IF, IO, 7.364%, 02/25/18 |
|
|
35 |
|
| |
1,367 |
|
|
Series 2003-QS9, Class A3, IF, IO, 7.315%, 05/25/18 |
|
|
193 |
|
| |
2,718 |
|
|
Series 2004-QA6, Class NB2, VAR, 3.213%, 12/26/34 |
|
|
2,066 |
|
| |
58 |
|
|
Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
|
|
58 |
|
|
|
|
|
RBSSP Resecuritization Trust, |
|
|
|
|
| |
735 |
|
|
Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) |
|
|
780 |
|
| |
1,021 |
|
|
Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) |
|
|
1,041 |
|
| |
1,119 |
|
|
Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e) |
|
|
1,132 |
|
| |
600 |
|
|
Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) |
|
|
620 |
|
| |
1,699 |
|
|
Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) |
|
|
1,801 |
|
| |
1,495 |
|
|
Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) |
|
|
1,495 |
|
| |
762 |
|
|
Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) |
|
|
767 |
|
|
|
|
|
Residential Asset Securitization Trust, |
|
|
|
|
| |
653 |
|
|
Series 2003-A13, Class A3, 5.500%, 01/25/34 |
|
|
656 |
|
| |
62 |
|
|
Series 2003-A14, Class A1, 4.750%, 02/25/19 |
|
|
64 |
|
| |
3,874 |
|
|
Series 2005-A2, Class A4, IF, IO, 4.814%, 03/25/35 |
|
|
715 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
1,149 |
|
|
Series 2006-A4, Class 2A5, 6.000%, 05/25/36 |
|
|
823 |
|
|
|
|
|
RFMSI Trust, |
|
|
|
|
| |
1,130 |
|
|
Series 2003-S13, Class A3, 5.500%, 06/25/33 |
|
|
1,158 |
|
| |
274 |
|
|
Series 2003-S14, Class A4, PO, 07/25/18 |
|
|
273 |
|
| |
451 |
|
|
Series 2004-S3, Class A1, 4.750%, 03/25/19 |
|
|
462 |
|
| |
1,117 |
|
|
Series 2004-S6, Class 2A6, PO, 06/25/34 |
|
|
1,045 |
|
| |
217 |
|
|
Series 2004-S9, Class 2A1, 4.750%, 12/25/19 |
|
|
222 |
|
| |
1,042 |
|
|
Series 2005-SA4, Class 1A1, VAR, 3.121%, 09/25/35 |
|
|
818 |
|
| |
42 |
|
|
RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33 |
|
|
34 |
|
|
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
|
|
|
| |
541 |
|
|
Series 2003-HYB1, Class A, VAR, 2.755%, 09/25/33 |
|
|
535 |
|
| |
83 |
|
|
Series 2003-UP2, Class PO1, PO, 12/25/18 |
|
|
74 |
|
|
|
|
|
Springleaf Mortgage Loan Trust, |
|
|
|
|
| |
2,549 |
|
|
Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) |
|
|
2,622 |
|
| |
2,100 |
|
|
Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e) |
|
|
2,203 |
|
| |
1,027 |
|
|
Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e) |
|
|
1,035 |
|
| |
1,600 |
|
|
Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e) |
|
|
1,580 |
|
| |
4,052 |
|
|
Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) |
|
|
4,051 |
|
| |
2,000 |
|
|
Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e) |
|
|
1,944 |
|
| |
2,826 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.914%, 06/25/34 |
|
|
2,854 |
|
| |
960 |
|
|
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.897%, 10/19/34 |
|
|
871 |
|
|
|
|
|
Structured Asset Securities Corp., |
|
|
|
|
| |
72 |
|
|
Series 2002-10H, Class 1AP, PO, 05/25/32 |
|
|
58 |
|
| |
111 |
|
|
Series 2003-8, Class 1A2, 5.000%, 04/25/18 |
|
|
113 |
|
| |
498 |
|
|
Series 2003-31A, Class B1, VAR, 2.806%, 10/25/33 |
|
|
206 |
|
| |
1,415 |
|
|
Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
|
|
1,431 |
|
| |
3 |
|
|
Series 2004-20, Class 1A3, 5.250%, 11/25/34 |
|
|
3 |
|
| |
2,464 |
|
|
Series 2004-5H, Class A4, 5.540%, 12/25/33 |
|
|
2,411 |
|
| |
408 |
|
|
Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
|
|
403 |
|
| |
668 |
|
|
Series 2005-10, Class 5A9, 5.250%, 12/25/34 |
|
|
652 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 28 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
818 |
|
|
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.875%, 09/25/43 |
|
|
825 |
|
|
|
|
|
Vericrest Opportunity Loan Transferee, |
|
|
|
|
| |
172 |
|
|
Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i) |
|
|
173 |
|
| |
1,400 |
|
|
Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i) |
|
|
1,405 |
|
| |
645 |
|
|
Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) |
|
|
646 |
|
| |
558 |
|
|
Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e) |
|
|
559 |
|
| |
680 |
|
|
Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) |
|
|
683 |
|
| |
308 |
|
|
Series 2012-NL1A, Class A2, VAR, 8.112%, 03/25/49 (e) (f) (i) |
|
|
315 |
|
|
|
|
|
WaMu Mortgage Pass-Through Certificates, |
|
|
|
|
| |
185 |
|
|
Series 2003-AR8, Class A, VAR, 2.462%, 08/25/33 |
|
|
189 |
|
| |
4,221 |
|
|
Series 2003-AR9, Class 1A6, VAR, 2.449%, 09/25/33 |
|
|
4,318 |
|
| |
672 |
|
|
Series 2003-AR9, Class 2A, VAR, 2.544%, 09/25/33 |
|
|
687 |
|
| |
125 |
|
|
Series 2003-S11, Class 2A5, IF, 16.402%, 11/25/33 |
|
|
128 |
|
| |
621 |
|
|
Series 2003-S8, Class A6, 4.500%, 09/25/18 |
|
|
643 |
|
| |
2,838 |
|
|
Series 2003-S9, Class A8, 5.250%, 10/25/33 |
|
|
2,976 |
|
| |
275 |
|
|
Series 2003-S9, Class P, PO, 10/25/33 |
|
|
258 |
|
| |
352 |
|
|
Series 2004-AR3, Class A1, VAR, 2.584%, 06/25/34 |
|
|
357 |
|
| |
201 |
|
|
Series 2004-AR3, Class A2, VAR, 2.584%, 06/25/34 |
|
|
204 |
|
| |
2,595 |
|
|
Series 2004-RS2, Class A4, 5.000%, 11/25/33 |
|
|
2,591 |
|
| |
513 |
|
|
Series 2006-AR10, Class 2P, VAR, 09/25/36 |
|
|
296 |
|
| |
301 |
|
|
Series 2006-AR12, Class 2P, VAR, 10/25/36 |
|
|
162 |
|
|
|
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|
|
|
|
| |
12,933 |
|
|
Series 2005-2, Class 1A4, IF, IO, 4.814%, 04/25/35 |
|
|
2,088 |
|
| |
2,922 |
|
|
Series 2005-2, Class 2A3, IF, IO, 4.764%, 04/25/35 |
|
|
416 |
|
| |
3,308 |
|
|
Series 2005-3, Class CX, IO, 5.500%, 05/25/35 |
|
|
560 |
|
| |
3,776 |
|
|
Series 2005-4, Class CB7, 5.500%, 06/25/35 |
|
|
3,525 |
|
| |
3,262 |
|
|
Series 2005-4, Class CX, IO, 5.500%, 06/25/35 |
|
|
461 |
|
| |
1,052 |
|
|
Series 2005-6, Class 2A4, 5.500%, 08/25/35 |
|
|
849 |
|
| |
5,790 |
|
|
Series 2005-6, Class 2A9, 5.500%, 08/25/35 |
|
|
4,469 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
2,401 |
|
|
Wells Fargo Mortgage Loan Trust,
Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) |
|
|
2,414 |
|
|
|
|
|
Wells Fargo Mortgage-Backed Securities Trust, |
|
|
|
|
| |
193 |
|
|
Series 2003-11, Class 1APO, PO, 10/25/18 |
|
|
192 |
|
| |
673 |
|
|
Series 2003-13, Class A7, 4.500%, 11/25/18 |
|
|
685 |
|
| |
667 |
|
|
Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
|
|
690 |
|
| |
131 |
|
|
Series 2003-15, Class APO, PO, 12/25/18 |
|
|
122 |
|
| |
611 |
|
|
Series 2003-16, Class 2A1, 4.500%, 12/25/18 |
|
|
629 |
|
| |
477 |
|
|
Series 2003-K, Class 1A1, VAR, 4.444%, 11/25/33 |
|
|
488 |
|
| |
902 |
|
|
Series 2003-K, Class 1A2, VAR, 4.444%, 11/25/33 |
|
|
931 |
|
| |
238 |
|
|
Series 2004-2, Class APO, PO, 02/25/19 |
|
|
237 |
|
| |
325 |
|
|
Series 2004-7, Class 2A1, 4.500%, 07/25/19 |
|
|
333 |
|
| |
316 |
|
|
Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
|
|
327 |
|
| |
914 |
|
|
Series 2004-BB, Class A4, VAR, 2.612%, 01/25/35 |
|
|
934 |
|
| |
912 |
|
|
Series 2004-EE, Class 2A1, VAR, 2.615%, 12/25/34 |
|
|
937 |
|
| |
966 |
|
|
Series 2004-EE, Class 3A1, VAR, 2.949%, 12/25/34 |
|
|
998 |
|
| |
4,618 |
|
|
Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34 |
|
|
4,727 |
|
| |
947 |
|
|
Series 2004-V, Class 1A1, VAR, 2.641%, 10/25/34 |
|
|
960 |
|
| |
633 |
|
|
Series 2005-1, Class 2A1, 5.000%, 01/25/20 |
|
|
666 |
|
| |
180 |
|
|
Series 2005-13, Class APO, PO, 11/25/20 |
|
|
165 |
|
| |
545 |
|
|
Series 2005-16, Class APO, PO, 01/25/36 |
|
|
407 |
|
| |
573 |
|
|
Series 2005-AR16, Class 2A1, VAR, 2.651%, 02/25/34 |
|
|
564 |
|
| |
859 |
|
|
Series 2005-AR8, Class 2A1, VAR, 2.706%, 06/25/35 |
|
|
865 |
|
| |
1,146 |
|
|
Series 2006-2, Class APO, PO, 03/25/36 |
|
|
627 |
|
| |
560 |
|
|
Series 2006-4, Class 1APO, PO, 04/25/36 |
|
|
408 |
|
| |
2,500 |
|
|
Series 2007-7, Class A7, 6.000%, 06/25/37 |
|
|
2,470 |
|
| |
675 |
|
|
Series 2007-11, Class A14, 6.000%, 08/25/37 |
|
|
674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
401,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations
(Cost $1,070,334) |
|
|
1,167,927 |
|
|
|
|
|
|
|
|
|
|
| |
Commercial Mortgage-Backed Securities — 2.5% |
|
|
|
|
| |
2,922 |
|
|
A10 Securitization LLC, Series 2012-1, Class A, 3.492%, 04/15/24 (e) |
|
|
2,937 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
29 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Commercial Mortgage-Backed Securities — Continued |
|
|
|
|
|
Banc of America Merrill Lynch Commercial Mortgage, Inc., |
|
|
|
|
| |
400 |
|
|
Series 2005-3, Class A4, 4.668%, 07/10/43 |
|
|
439 |
|
| |
1,610 |
|
|
Series 2005-3, Class AM, 4.727%, 07/10/43 |
|
|
1,695 |
|
| |
3,179 |
|
|
Series 2005-6, Class ASB, VAR, 5.366%, 09/10/47 |
|
|
3,294 |
|
| |
265 |
|
|
Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
|
|
298 |
|
| |
2,250 |
|
|
Series 2006-4, Class A4, 5.634%, 07/10/46 |
|
|
2,584 |
|
| |
890 |
|
|
Series 2006-5, Class A4, 5.414%, 09/10/47 |
|
|
1,007 |
|
|
|
|
|
Bear Stearns Commercial Mortgage Securities, |
|
|
|
|
| |
43,649 |
|
|
Series 2005-PWR8, Class X1, IO, VAR, 0.308%, 06/11/41 (e) |
|
|
617 |
|
| |
1,087 |
|
|
Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 |
|
|
1,133 |
|
| |
3,148 |
|
|
Series 2006-PW11, Class A4, VAR, 5.621%, 03/11/39 |
|
|
3,571 |
|
| |
1,200 |
|
|
Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 |
|
|
1,285 |
|
| |
101,466 |
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.245%, 12/11/49 (e) |
|
|
791 |
|
|
|
|
|
Commercial Mortgage Pass-Through Certificates, |
|
|
|
|
| |
1,100 |
|
|
Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 |
|
|
1,210 |
|
| |
3,078 |
|
|
Series 2012-CR2, Class XA, IO, VAR, 2.141%, 08/15/45 |
|
|
393 |
|
| |
700 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.852%, 03/15/39 |
|
|
781 |
|
|
|
|
|
CW Capital Cobalt Ltd., |
|
|
|
|
| |
580 |
|
|
Series 2006-C1, Class A4, 5.223%, 08/15/48 |
|
|
649 |
|
| |
25,874 |
|
|
Series 2006-C1, Class IO, IO, VAR, 0.956%, 08/15/48 |
|
|
643 |
|
| |
2,500 |
|
|
FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) |
|
|
2,618 |
|
| |
2,293 |
|
|
Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) |
|
|
2,377 |
|
| |
1,856 |
|
|
GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 |
|
|
1,920 |
|
| |
4,025 |
|
|
GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 |
|
|
4,452 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
| |
500 |
|
|
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 |
|
|
526 |
|
|
|
|
|
GS Mortgage Securities Corp. II, |
|
|
|
|
| |
1,825 |
|
|
Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 |
|
|
1,955 |
|
| |
770 |
|
|
Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 |
|
|
869 |
|
| |
1,000 |
|
|
Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) |
|
|
1,110 |
|
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp., |
|
|
|
|
| |
1,000 |
|
|
Series 2005-CB11, Class AJ, VAR, 5.540%, 08/12/37 |
|
|
1,067 |
|
| |
400 |
|
|
Series 2006-LDP9, Class AMS, 5.337%, 05/15/47 |
|
|
386 |
|
|
|
|
|
LB-UBS Commercial Mortgage Trust, |
|
|
|
|
| |
1,000 |
|
|
Series 2006-C1, Class A4, 5.156%, 02/15/31 |
|
|
1,119 |
|
| |
44,867 |
|
|
Series 2006-C7, Class XW, IO, VAR, 0.842%, 11/15/38 (e) |
|
|
1,004 |
|
|
|
|
|
Merrill Lynch Mortgage Trust, |
|
|
|
|
| |
3,105 |
|
|
Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 |
|
|
3,465 |
|
| |
1,797 |
|
|
Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 |
|
|
1,805 |
|
|
|
|
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, |
|
|
|
|
| |
3,207 |
|
|
Series 2006-1, Class A4, VAR, 5.607%, 02/12/39 |
|
|
3,638 |
|
| |
30,927 |
|
|
Series 2006-4, Class XC, IO, VAR, 0.243%, 12/12/49 (e) |
|
|
393 |
|
|
|
|
|
Morgan Stanley Capital I, Inc., |
|
|
|
|
| |
39,315 |
|
|
Series 2006-IQ12, Class X1, IO, VAR, 0.175%, 12/15/43 (e) |
|
|
555 |
|
| |
85,339 |
|
|
Series 2007-HQ11, Class X, IO, VAR, 0.401%, 02/12/44 (e) |
|
|
565 |
|
| |
764 |
|
|
Series 2011-C3, Class A3, 4.054%, 07/15/49 |
|
|
855 |
|
|
|
|
|
Morgan Stanley Re-REMIC Trust, |
|
|
|
|
| |
245 |
|
|
Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) |
|
|
246 |
|
| |
3,500 |
|
|
Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) |
|
|
3,587 |
|
| |
359 |
|
|
Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) |
|
|
359 |
|
| |
3,000 |
|
|
Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) |
|
|
3,177 |
|
| |
4,740 |
|
|
Series 2011-IO, Class A, 2.500%, 03/23/51 (e) |
|
|
4,776 |
|
| |
7,646 |
|
|
Series 2012-XA, Class A, 2.000%, 07/27/49 |
|
|
7,697 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 30 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Commercial Mortgage-Backed Securities — Continued |
|
| |
1,500 |
|
|
Series 2012-XA, Class B, 0.250%, 07/28/49 |
|
|
1,050 |
|
| |
5,545 |
|
|
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.584%, 08/15/39 |
|
|
5,923 |
|
| |
2,136 |
|
|
UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) |
|
|
2,265 |
|
|
|
|
|
UBS-Barclays Commercial Mortgage Trust, |
|
|
|
|
| |
1,040 |
|
|
Series 2012-C2, Class A4, 3.525%, 05/10/63 |
|
|
1,109 |
|
| |
10,604 |
|
|
Series 2012-C2, Class XA, IO, VAR, 1.994%, 05/10/63 (e) |
|
|
1,125 |
|
| |
3,490 |
|
|
Wells Fargo Re-REMIC Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) |
|
|
3,477 |
|
|
|
|
|
WF-RBS Commercial Mortgage Trust, |
|
|
|
|
| |
1,700 |
|
|
Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) |
|
|
1,905 |
|
| |
800 |
|
|
Series 2012-C6, Class A4, 3.440%, 04/15/45 |
|
|
854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities
(Cost $85,752) |
|
|
91,556 |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — 19.7% |
|
|
|
|
|
Consumer Discretionary — 1.4% |
|
|
|
|
|
Auto Components — 0.1% |
|
|
|
|
|
Johnson Controls, Inc., |
|
|
|
|
| |
591 |
|
|
3.750%, 12/01/21 |
|
|
624 |
|
| |
665 |
|
|
4.250%, 03/01/21 |
|
|
731 |
|
| |
1,000 |
|
|
5.250%, 12/01/41 |
|
|
1,133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,488 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles — 0.1% |
|
|
|
|
|
Daimler Finance North America LLC, |
|
|
|
|
| |
421 |
|
|
1.650%, 04/10/15 (e) |
|
|
426 |
|
| |
739 |
|
|
2.625%, 09/15/16 (e) |
|
|
769 |
|
| |
1,425 |
|
|
2.950%, 01/11/17 (e) |
|
|
1,496 |
|
| |
1,000 |
|
|
6.500%, 11/15/13 |
|
|
1,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 0.0% (g) |
|
| |
400 |
|
|
McDonald’s Corp., 4.300%, 03/01/13 |
|
|
408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 0.0% (g) |
|
| |
500 |
|
|
Newell Rubbermaid, Inc., 4.700%, 08/15/20 |
|
|
545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media — 1.0% |
|
|
|
|
|
CBS Corp., |
|
|
|
|
| |
140 |
|
|
5.500%, 05/15/33 |
|
|
153 |
|
| |
252 |
|
|
5.750%, 04/15/20 |
|
|
303 |
|
| |
150 |
|
|
7.875%, 09/01/23 |
|
|
192 |
|
| |
1,000 |
|
|
7.875%, 07/30/30 |
|
|
1,356 |
|
| |
190 |
|
|
8.875%, 05/15/19 |
|
|
256 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media — Continued |
|
| |
250 |
|
|
Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 |
|
|
373 |
|
| |
624 |
|
|
Comcast Cable Communications LLC, 7.125%, 06/15/13 |
|
|
656 |
|
|
|
|
|
Comcast Corp., |
|
|
|
|
| |
2,845 |
|
|
5.900%, 03/15/16 |
|
|
3,309 |
|
| |
400 |
|
|
6.450%, 03/15/37 |
|
|
516 |
|
| |
955 |
|
|
6.500%, 11/15/35 |
|
|
1,242 |
|
|
|
|
|
COX Communications, Inc., |
|
|
|
|
| |
505 |
|
|
5.450%, 12/15/14 |
|
|
556 |
|
| |
125 |
|
|
8.375%, 03/01/39 (e) |
|
|
189 |
|
| |
450 |
|
|
Cox Enterprises, Inc., 7.375%, 07/15/27 (e) |
|
|
560 |
|
|
|
|
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., |
|
|
|
|
| |
400 |
|
|
3.800%, 03/15/22 |
|
|
413 |
|
| |
1,000 |
|
|
4.600%, 02/15/21 |
|
|
1,093 |
|
| |
772 |
|
|
5.000%, 03/01/21 |
|
|
868 |
|
| |
2,000 |
|
|
6.000%, 08/15/40 |
|
|
2,261 |
|
|
|
|
|
Discovery Communications LLC, |
|
|
|
|
| |
1,016 |
|
|
4.375%, 06/15/21 |
|
|
1,140 |
|
| |
319 |
|
|
4.950%, 05/15/42 |
|
|
352 |
|
| |
1,177 |
|
|
Historic TW, Inc., 9.150%, 02/01/23 |
|
|
1,681 |
|
|
|
|
|
NBCUniversal Media LLC, |
|
|
|
|
| |
300 |
|
|
4.375%, 04/01/21 |
|
|
339 |
|
| |
800 |
|
|
5.950%, 04/01/41 |
|
|
1,005 |
|
|
|
|
|
News America, Inc., |
|
|
|
|
| |
100 |
|
|
6.200%, 12/15/34 |
|
|
120 |
|
| |
400 |
|
|
6.650%, 11/15/37 |
|
|
513 |
|
| |
250 |
|
|
6.900%, 08/15/39 |
|
|
325 |
|
| |
1,075 |
|
|
7.300%, 04/30/28 |
|
|
1,309 |
|
| |
500 |
|
|
8.000%, 10/17/16 |
|
|
624 |
|
| |
355 |
|
|
8.875%, 04/26/23 |
|
|
479 |
|
|
|
|
|
Thomson Reuters Corp., (Canada), |
|
|
|
|
| |
1,278 |
|
|
3.950%, 09/30/21 |
|
|
1,390 |
|
| |
315 |
|
|
4.700%, 10/15/19 |
|
|
360 |
|
| |
493 |
|
|
5.950%, 07/15/13 |
|
|
515 |
|
|
|
|
|
Time Warner Cable, Inc., |
|
|
|
|
| |
359 |
|
|
5.500%, 09/01/41 |
|
|
406 |
|
| |
2,127 |
|
|
5.850%, 05/01/17 |
|
|
2,521 |
|
| |
400 |
|
|
6.550%, 05/01/37 |
|
|
499 |
|
| |
800 |
|
|
8.250%, 04/01/19 |
|
|
1,068 |
|
|
|
|
|
Time Warner Entertainment Co. LP, |
|
|
|
|
| |
120 |
|
|
8.375%, 03/15/23 |
|
|
168 |
|
| |
1,250 |
|
|
8.375%, 07/15/33 |
|
|
1,799 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
31 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Media — Continued |
|
|
|
|
|
Time Warner, Inc., |
|
|
|
|
| |
525 |
|
|
4.750%, 03/29/21 |
|
|
602 |
|
| |
313 |
|
|
5.375%, 10/15/41 |
|
|
357 |
|
| |
150 |
|
|
6.200%, 03/15/40 |
|
|
184 |
|
| |
437 |
|
|
6.250%, 03/29/41 |
|
|
542 |
|
| |
200 |
|
|
7.625%, 04/15/31 |
|
|
272 |
|
| |
171 |
|
|
7.700%, 05/01/32 |
|
|
236 |
|
|
|
|
|
Viacom, Inc., |
|
|
|
|
| |
208 |
|
|
1.250%, 02/27/15 |
|
|
210 |
|
| |
500 |
|
|
3.125%, 06/15/22 |
|
|
512 |
|
| |
808 |
|
|
3.875%, 12/15/21 |
|
|
878 |
|
| |
100 |
|
|
4.500%, 03/01/21 |
|
|
113 |
|
| |
250 |
|
|
4.500%, 02/27/42 |
|
|
260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 0.1% |
|
|
|
|
|
Kohl’s Corp., |
|
|
|
|
| |
400 |
|
|
4.000%, 11/01/21 |
|
|
426 |
|
| |
275 |
|
|
6.250%, 12/15/17 |
|
|
335 |
|
|
|
|
|
Macy’s Retail Holdings, Inc., |
|
|
|
|
| |
191 |
|
|
3.875%, 01/15/22 |
|
|
206 |
|
| |
157 |
|
|
5.125%, 01/15/42 |
|
|
174 |
|
| |
190 |
|
|
7.450%, 07/15/17 |
|
|
235 |
|
| |
455 |
|
|
Nordstrom, Inc., 4.000%, 10/15/21 |
|
|
513 |
|
|
|
|
|
Target Corp., |
|
|
|
|
| |
200 |
|
|
6.000%, 01/15/18 |
|
|
246 |
|
| |
800 |
|
|
7.000%, 01/15/38 |
|
|
1,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 0.1% |
|
| |
533 |
|
|
Gap, Inc. (The), 5.950%, 04/12/21 |
|
|
576 |
|
| |
1,625 |
|
|
Home Depot, Inc. (The), 5.400%, 03/01/16 |
|
|
1,885 |
|
|
|
|
|
Lowe’s Cos., Inc., |
|
|
|
|
| |
739 |
|
|
4.650%, 04/15/42 |
|
|
799 |
|
| |
326 |
|
|
5.125%, 11/15/41 |
|
|
375 |
|
| |
750 |
|
|
7.110%, 05/15/37 |
|
|
1,045 |
|
| |
590 |
|
|
Staples, Inc., 9.750%, 01/15/14 |
|
|
659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary |
|
|
50,941 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples — 1.0% |
|
|
|
|
|
Beverages — 0.3% |
|
|
|
|
|
Anheuser-Busch Cos. LLC, |
|
|
|
|
| |
600 |
|
|
5.500%, 01/15/18 |
|
|
721 |
|
| |
905 |
|
|
5.750%, 04/01/36 |
|
|
1,170 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages — Continued |
|
|
|
|
|
Anheuser-Busch InBev Worldwide, Inc., |
|
|
|
|
| |
114 |
|
|
1.500%, 07/14/14 |
|
|
116 |
|
| |
515 |
|
|
7.750%, 01/15/19 |
|
|
692 |
|
|
|
|
|
Coca-Cola Co. (The), |
|
|
|
|
| |
500 |
|
|
3.625%, 03/15/14 |
|
|
525 |
|
| |
410 |
|
|
4.875%, 03/15/19 |
|
|
490 |
|
|
|
|
|
Diageo Capital plc, (United Kingdom), |
|
|
|
|
| |
264 |
|
|
1.500%, 05/11/17 |
|
|
269 |
|
| |
510 |
|
|
4.828%, 07/15/20 |
|
|
599 |
|
|
|
|
|
Diageo Finance B.V., (Netherlands), |
|
|
|
|
| |
800 |
|
|
5.300%, 10/28/15 |
|
|
908 |
|
| |
500 |
|
|
5.500%, 04/01/13 |
|
|
514 |
|
| |
225 |
|
|
Diageo Investment Corp., 8.000%, 09/15/22 |
|
|
324 |
|
| |
890 |
|
|
FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) |
|
|
984 |
|
|
|
|
|
PepsiCo, Inc., |
|
|
|
|
| |
150 |
|
|
0.800%, 08/25/14 |
|
|
151 |
|
| |
400 |
|
|
1.250%, 08/13/17 |
|
|
401 |
|
| |
359 |
|
|
3.000%, 08/25/21 |
|
|
382 |
|
| |
54 |
|
|
7.900%, 11/01/18 |
|
|
73 |
|
|
|
|
|
SABMiller Holdings, Inc., |
|
|
|
|
| |
574 |
|
|
1.850%, 01/15/15 (e) |
|
|
588 |
|
| |
698 |
|
|
3.750%, 01/15/22 (e) |
|
|
757 |
|
|
|
|
|
SABMiller plc, (United Kingdom), |
|
|
|
|
| |
700 |
|
|
5.700%, 01/15/14 (e) |
|
|
744 |
|
| |
250 |
|
|
6.500%, 07/01/16 (e) |
|
|
293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.3% |
|
|
|
|
|
CVS Caremark Corp., |
|
|
|
|
| |
979 |
|
|
5.750%, 05/15/41 |
|
|
1,241 |
|
| |
250 |
|
|
6.125%, 09/15/39 |
|
|
330 |
|
| |
1,096 |
|
|
CVS Pass-Through Trust, 5.926%, 01/10/34 (e) |
|
|
1,271 |
|
|
|
|
|
Kroger Co. (The), |
|
|
|
|
| |
1,100 |
|
|
5.000%, 04/15/42 |
|
|
1,152 |
|
| |
850 |
|
|
7.500%, 01/15/14 |
|
|
927 |
|
| |
2,460 |
|
|
7.500%, 04/01/31 |
|
|
3,246 |
|
|
|
|
|
Wal-Mart Stores, Inc., |
|
|
|
|
| |
420 |
|
|
4.550%, 05/01/13 |
|
|
432 |
|
| |
752 |
|
|
5.250%, 09/01/35 |
|
|
941 |
|
| |
215 |
|
|
6.200%, 04/15/38 |
|
|
304 |
|
| |
350 |
|
|
7.550%, 02/15/30 |
|
|
538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,382 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 32 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Food Products — 0.4% |
|
|
|
|
|
Bunge Ltd. Finance Corp., |
|
|
|
|
| |
165 |
|
|
5.875%, 05/15/13 |
|
|
170 |
|
| |
1,295 |
|
|
8.500%, 06/15/19 |
|
|
1,635 |
|
| |
191 |
|
|
Bunge N.A. Finance LP, 5.900%, 04/01/17 |
|
|
216 |
|
|
|
|
|
Cargill, Inc., |
|
|
|
|
| |
600 |
|
|
3.300%, 03/01/22 (e) |
|
|
624 |
|
| |
535 |
|
|
4.307%, 05/14/21 (e) |
|
|
593 |
|
| |
850 |
|
|
7.350%, 03/06/19 (e) |
|
|
1,081 |
|
| |
225 |
|
|
H.J. Heinz Co., 6.375%, 07/15/28 |
|
|
273 |
|
|
|
|
|
Kellogg Co., |
|
|
|
|
| |
365 |
|
|
1.750%, 05/17/17 |
|
|
371 |
|
| |
608 |
|
|
3.125%, 05/17/22 |
|
|
638 |
|
| |
462 |
|
|
4.250%, 03/06/13 |
|
|
470 |
|
| |
1,200 |
|
|
5.125%, 12/03/12 |
|
|
1,214 |
|
|
|
|
|
Kraft Foods Group, Inc., |
|
|
|
|
| |
814 |
|
|
3.500%, 06/06/22 (e) |
|
|
862 |
|
| |
694 |
|
|
5.000%, 06/04/42 (e) |
|
|
790 |
|
| |
1,072 |
|
|
6.125%, 08/23/18 (e) |
|
|
1,317 |
|
| |
1,793 |
|
|
6.875%, 01/26/39 (e) |
|
|
2,486 |
|
|
|
|
|
Kraft Foods, Inc., |
|
|
|
|
| |
378 |
|
|
6.125%, 02/01/18 |
|
|
460 |
|
| |
1,480 |
|
|
6.500%, 08/11/17 |
|
|
1,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products — 0.0% (g) |
|
|
|
|
|
Kimberly-Clark Corp., |
|
|
|
|
| |
220 |
|
|
2.400%, 03/01/22 |
|
|
224 |
|
| |
66 |
|
|
7.500%, 11/01/18 |
|
|
89 |
|
| |
876 |
|
|
Procter & Gamble - ESOP, 9.360%, 01/01/21 |
|
|
1,186 |
|
| |
110 |
|
|
Procter & Gamble Co. (The), 5.500%, 02/01/34 |
|
|
146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples |
|
|
37,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy — 1.1% |
|
|
|
|
|
Energy Equipment & Services — 0.1% |
|
| |
225 |
|
|
Cameron International Corp., 1.600%, 04/30/15 |
|
|
227 |
|
| |
1,555 |
|
|
Halliburton Co., 7.450%, 09/15/39 |
|
|
2,448 |
|
|
|
|
|
Noble Holding International Ltd., (Cayman Islands), |
|
|
|
|
| |
113 |
|
|
3.950%, 03/15/22 |
|
|
119 |
|
| |
83 |
|
|
5.250%, 03/15/42 |
|
|
89 |
|
| |
441 |
|
|
Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) |
|
|
475 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services — Continued |
|
|
|
|
|
Transocean, Inc., (Cayman Islands), |
|
|
|
|
| |
256 |
|
|
6.375%, 12/15/21 |
|
|
308 |
|
| |
900 |
|
|
6.500%, 11/15/20 |
|
|
1,076 |
|
| |
198 |
|
|
7.350%, 12/15/41 |
|
|
267 |
|
| |
100 |
|
|
7.500%, 04/15/31 |
|
|
123 |
|
|
|
|
|
Weatherford International Ltd., (Bermuda), |
|
|
|
|
| |
311 |
|
|
4.500%, 04/15/22 |
|
|
319 |
|
| |
113 |
|
|
5.950%, 04/15/42 |
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,569 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 1.0% |
|
| |
150 |
|
|
Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31 |
|
|
187 |
|
|
|
|
|
Anadarko Petroleum Corp., |
|
|
|
|
| |
125 |
|
|
5.750%, 06/15/14 |
|
|
135 |
|
| |
2,000 |
|
|
7.625%, 03/15/14 |
|
|
2,189 |
|
| |
265 |
|
|
8.700%, 03/15/19 |
|
|
352 |
|
|
|
|
|
Apache Corp., |
|
|
|
|
| |
190 |
|
|
3.250%, 04/15/22 |
|
|
204 |
|
| |
556 |
|
|
4.750%, 04/15/43 |
|
|
637 |
|
| |
500 |
|
|
6.900%, 09/15/18 |
|
|
647 |
|
| |
1,000 |
|
|
Canadian Natural Resources Ltd., (Canada), 6.750%, 02/01/39 |
|
|
1,371 |
|
|
|
|
|
Cenovus Energy, Inc., (Canada), |
|
|
|
|
| |
208 |
|
|
3.000%, 08/15/22 |
|
|
213 |
|
| |
490 |
|
|
4.450%, 09/15/42 |
|
|
501 |
|
| |
1,000 |
|
|
Chevron Corp., 4.950%, 03/03/19 |
|
|
1,218 |
|
| |
405 |
|
|
Conoco Funding Co., (Canada), 7.250%, 10/15/31 |
|
|
603 |
|
|
|
|
|
ConocoPhillips, |
|
|
|
|
| |
200 |
|
|
5.200%, 05/15/18 |
|
|
241 |
|
| |
450 |
|
|
5.750%, 02/01/19 |
|
|
558 |
|
| |
150 |
|
|
6.000%, 01/15/20 |
|
|
191 |
|
| |
200 |
|
|
6.500%, 02/01/39 |
|
|
288 |
|
|
|
|
|
Devon Energy Corp., |
|
|
|
|
| |
750 |
|
|
3.250%, 05/15/22 |
|
|
781 |
|
| |
522 |
|
|
4.750%, 05/15/42 |
|
|
564 |
|
| |
200 |
|
|
6.300%, 01/15/19 |
|
|
248 |
|
|
|
|
|
Encana Corp., (Canada), |
|
|
|
|
| |
545 |
|
|
6.500%, 05/15/19 |
|
|
659 |
|
| |
150 |
|
|
6.500%, 08/15/34 |
|
|
177 |
|
| |
925 |
|
|
Eni S.p.A., (Italy), 5.700%, 10/01/40 (e) |
|
|
943 |
|
| |
600 |
|
|
EOG Resources, Inc., 4.100%, 02/01/21 |
|
|
682 |
|
| |
200 |
|
|
Kerr-McGee Corp., 6.950%, 07/01/24 |
|
|
256 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
33 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Oil, Gas & Consumable Fuels — Continued |
|
|
|
|
|
Marathon Oil Corp., |
|
|
|
|
| |
819 |
|
|
5.900%, 03/15/18 |
|
|
979 |
|
| |
1,535 |
|
|
6.000%, 10/01/17 |
|
|
1,835 |
|
| |
402 |
|
|
Occidental Petroleum Corp., 1.750%, 02/15/17 |
|
|
414 |
|
| |
1,020 |
|
|
Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21 |
|
|
1,135 |
|
|
|
|
|
Petro-Canada, (Canada), |
|
|
|
|
| |
324 |
|
|
6.050%, 05/15/18 |
|
|
395 |
|
| |
1,045 |
|
|
6.800%, 05/15/38 |
|
|
1,415 |
|
|
|
|
|
Phillips 66, |
|
|
|
|
| |
314 |
|
|
2.950%, 05/01/17 (e) |
|
|
330 |
|
| |
182 |
|
|
4.300%, 04/01/22 (e) |
|
|
198 |
|
|
|
|
|
Shell International Finance B.V., (Netherlands), |
|
|
|
|
| |
212 |
|
|
1.125%, 08/21/17 |
|
|
213 |
|
| |
270 |
|
|
1.875%, 03/25/13 |
|
|
272 |
|
| |
275 |
|
|
4.000%, 03/21/14 |
|
|
290 |
|
| |
1,000 |
|
|
4.300%, 09/22/19 |
|
|
1,169 |
|
| |
1,005 |
|
|
4.375%, 03/25/20 |
|
|
1,184 |
|
| |
1,230 |
|
|
6.375%, 12/15/38 |
|
|
1,794 |
|
|
|
|
|
Statoil ASA, (Norway), |
|
|
|
|
| |
467 |
|
|
3.125%, 08/17/17 |
|
|
512 |
|
| |
300 |
|
|
3.150%, 01/23/22 |
|
|
323 |
|
| |
253 |
|
|
4.250%, 11/23/41 |
|
|
284 |
|
|
|
|
|
Suncor Energy, Inc., (Canada), |
|
|
|
|
| |
180 |
|
|
5.950%, 12/01/34 |
|
|
218 |
|
| |
250 |
|
|
6.850%, 06/01/39 |
|
|
341 |
|
|
|
|
|
Talisman Energy, Inc., (Canada), |
|
|
|
|
| |
1,500 |
|
|
5.500%, 05/15/42 |
|
|
1,648 |
|
| |
850 |
|
|
7.750%, 06/01/19 |
|
|
1,073 |
|
| |
400 |
|
|
Tosco Corp., 8.125%, 02/15/30 |
|
|
611 |
|
|
|
|
|
Total Capital International S.A., (France), |
|
|
|
|
| |
262 |
|
|
1.500%, 02/17/17 |
|
|
266 |
|
| |
487 |
|
|
1.550%, 06/28/17 |
|
|
495 |
|
| |
216 |
|
|
2.875%, 02/17/22 |
|
|
227 |
|
|
|
|
|
Total Capital S.A., (France), |
|
|
|
|
| |
1,400 |
|
|
2.300%, 03/15/16 |
|
|
1,469 |
|
| |
370 |
|
|
4.125%, 01/28/21 |
|
|
421 |
|
| |
2,000 |
|
|
XTO Energy, Inc., 5.750%, 12/15/13 |
|
|
2,133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy |
|
|
41,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials — 10.0% |
|
|
|
|
|
Capital Markets — 2.0% |
|
|
|
|
|
Bank of New York Mellon Corp. (The), |
|
|
|
|
| |
357 |
|
|
1.200%, 02/20/15 |
|
|
362 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — Continued |
|
| |
1,789 |
|
|
2.400%, 01/17/17 |
|
|
1,879 |
|
| |
900 |
|
|
2.950%, 06/18/15 |
|
|
955 |
|
| |
413 |
|
|
3.550%, 09/23/21 |
|
|
446 |
|
| |
750 |
|
|
4.600%, 01/15/20 |
|
|
861 |
|
| |
310 |
|
|
5.125%, 08/27/13 |
|
|
324 |
|
|
|
|
|
BlackRock, Inc., |
|
|
|
|
| |
1,200 |
|
|
3.375%, 06/01/22 |
|
|
1,269 |
|
| |
540 |
|
|
3.500%, 12/10/14 |
|
|
575 |
|
| |
652 |
|
|
5.000%, 12/10/19 |
|
|
758 |
|
| |
350 |
|
|
6.250%, 09/15/17 |
|
|
429 |
|
|
|
|
|
Blackstone Holdings Finance Co. LLC, |
|
|
|
|
| |
1,900 |
|
|
5.875%, 03/15/21 (e) |
|
|
2,070 |
|
| |
736 |
|
|
6.250%, 08/15/42 (e) |
|
|
755 |
|
| |
250 |
|
|
Charles Schwab Corp. (The), 3.225%, 09/01/22 (e) |
|
|
253 |
|
| |
720 |
|
|
Credit Suisse USA, Inc., 5.125%, 08/15/15 |
|
|
794 |
|
| |
500 |
|
|
FMR LLC, 6.450%, 11/15/39 (e) |
|
|
603 |
|
|
|
|
|
Goldman Sachs Group, Inc. (The), |
|
|
|
|
| |
400 |
|
|
3.300%, 05/03/15 |
|
|
413 |
|
| |
3,060 |
|
|
3.625%, 02/07/16 |
|
|
3,173 |
|
| |
492 |
|
|
3.700%, 08/01/15 |
|
|
515 |
|
| |
1,041 |
|
|
4.750%, 07/15/13 |
|
|
1,074 |
|
| |
2,638 |
|
|
5.150%, 01/15/14 |
|
|
2,764 |
|
| |
848 |
|
|
5.250%, 07/27/21 |
|
|
902 |
|
| |
1,366 |
|
|
5.375%, 03/15/20 |
|
|
1,472 |
|
| |
750 |
|
|
5.500%, 11/15/14 |
|
|
806 |
|
| |
800 |
|
|
5.750%, 01/24/22 |
|
|
883 |
|
| |
4,100 |
|
|
5.950%, 01/18/18 |
|
|
4,612 |
|
| |
949 |
|
|
6.000%, 06/15/20 |
|
|
1,062 |
|
| |
125 |
|
|
6.150%, 04/01/18 |
|
|
142 |
|
| |
305 |
|
|
6.250%, 09/01/17 |
|
|
350 |
|
| |
485 |
|
|
6.750%, 10/01/37 |
|
|
505 |
|
| |
2,570 |
|
|
7.500%, 02/15/19 |
|
|
3,082 |
|
|
|
|
|
Jefferies Group, Inc., |
|
|
|
|
| |
450 |
|
|
3.875%, 11/09/15 |
|
|
452 |
|
| |
1,005 |
|
|
5.125%, 04/13/18 |
|
|
1,023 |
|
| |
1,000 |
|
|
6.450%, 06/08/27 |
|
|
1,017 |
|
| |
770 |
|
|
8.500%, 07/15/19 |
|
|
880 |
|
|
|
|
|
Macquarie Group Ltd., (Australia), |
|
|
|
|
| |
1,200 |
|
|
6.000%, 01/14/20 (e) |
|
|
1,238 |
|
| |
1,400 |
|
|
6.250%, 01/14/21 (e) |
|
|
1,448 |
|
| |
750 |
|
|
7.300%, 08/01/14 (e) |
|
|
810 |
|
| |
250 |
|
|
7.625%, 08/13/19 (e) |
|
|
275 |
|
|
|
|
|
Merrill Lynch & Co., Inc., |
|
|
|
|
| |
2,215 |
|
|
5.450%, 07/15/14 |
|
|
2,370 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 34 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Capital Markets — Continued |
|
| |
1,702 |
|
|
6.150%, 04/25/13 |
|
|
1,756 |
|
| |
2,996 |
|
|
6.400%, 08/28/17 |
|
|
3,404 |
|
| |
1,249 |
|
|
6.875%, 04/25/18 |
|
|
1,457 |
|
|
|
|
|
Morgan Stanley, |
|
|
|
|
| |
625 |
|
|
4.000%, 07/24/15 |
|
|
637 |
|
| |
893 |
|
|
4.200%, 11/20/14 |
|
|
916 |
|
| |
4,225 |
|
|
5.300%, 03/01/13 |
|
|
4,310 |
|
| |
1,000 |
|
|
5.450%, 01/09/17 |
|
|
1,051 |
|
| |
1,021 |
|
|
5.500%, 07/24/20 |
|
|
1,050 |
|
| |
350 |
|
|
5.500%, 07/28/21 |
|
|
359 |
|
| |
1,265 |
|
|
5.625%, 09/23/19 |
|
|
1,309 |
|
| |
360 |
|
|
5.750%, 01/25/21 |
|
|
372 |
|
| |
1,200 |
|
|
6.000%, 05/13/14 |
|
|
1,269 |
|
| |
400 |
|
|
6.625%, 04/01/18 |
|
|
442 |
|
| |
370 |
|
|
6.750%, 10/15/13 |
|
|
388 |
|
| |
970 |
|
|
7.300%, 05/13/19 |
|
|
1,094 |
|
|
|
|
|
Nomura Holdings, Inc., (Japan), |
|
|
|
|
| |
1,050 |
|
|
4.125%, 01/19/16 |
|
|
1,088 |
|
| |
150 |
|
|
5.000%, 03/04/15 |
|
|
158 |
|
| |
1,150 |
|
|
6.700%, 03/04/20 |
|
|
1,320 |
|
| |
226 |
|
|
Northern Trust Corp., 5.500%, 08/15/13 |
|
|
237 |
|
|
|
|
|
UBS AG, (Switzerland), |
|
|
|
|
| |
414 |
|
|
2.250%, 08/12/13 |
|
|
419 |
|
| |
2,300 |
|
|
3.875%, 01/15/15 |
|
|
2,424 |
|
| |
365 |
|
|
4.875%, 08/04/20 |
|
|
407 |
|
| |
500 |
|
|
5.750%, 04/25/18 |
|
|
578 |
|
| |
425 |
|
|
5.875%, 12/20/17 |
|
|
495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
70,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks — 3.0% |
|
| |
550 |
|
|
ANZ National (International) Ltd., (New Zealand), 3.125%, 08/10/15 (e) |
|
|
574 |
|
|
|
|
|
Australia & New Zealand Banking Group Ltd., (Australia), |
|
|
|
|
| |
1,268 |
|
|
2.400%, 11/23/16 (e) |
|
|
1,323 |
|
| |
900 |
|
|
3.250%, 03/01/16 (e) |
|
|
954 |
|
| |
228 |
|
|
4.875%, 01/12/21 (e) |
|
|
260 |
|
| |
741 |
|
|
Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) |
|
|
755 |
|
|
|
|
|
Bank of Nova Scotia, (Canada), |
|
|
|
|
| |
1,034 |
|
|
1.650%, 10/29/15 (e) |
|
|
1,067 |
|
| |
2,000 |
|
|
2.550%, 01/12/17 |
|
|
2,114 |
|
| |
737 |
|
|
3.400%, 01/22/15 |
|
|
780 |
|
|
|
|
|
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), |
|
|
|
|
| |
1,275 |
|
|
2.350%, 02/23/17 (e) |
|
|
1,318 |
|
| |
679 |
|
|
3.850%, 01/22/15 (e) |
|
|
723 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks — Continued |
|
|
|
|
|
Barclays Bank plc, (United Kingdom), |
|
|
|
|
| |
276 |
|
|
2.250%, 05/10/17 (e) |
|
|
284 |
|
| |
1,150 |
|
|
2.500%, 01/23/13 |
|
|
1,158 |
|
| |
800 |
|
|
2.500%, 09/21/15 (e) |
|
|
830 |
|
| |
1,735 |
|
|
2.750%, 02/23/15 |
|
|
1,770 |
|
| |
175 |
|
|
5.000%, 09/22/16 |
|
|
192 |
|
| |
700 |
|
|
5.200%, 07/10/14 |
|
|
742 |
|
| |
1,000 |
|
|
6.050%, 12/04/17 (e) |
|
|
1,060 |
|
|
|
|
|
BB&T Corp., |
|
|
|
|
| |
655 |
|
|
3.375%, 09/25/13 |
|
|
674 |
|
| |
750 |
|
|
3.950%, 04/29/16 |
|
|
823 |
|
| |
740 |
|
|
4.900%, 06/30/17 |
|
|
830 |
|
| |
1,885 |
|
|
5.700%, 04/30/14 |
|
|
2,037 |
|
| |
245 |
|
|
6.850%, 04/30/19 |
|
|
312 |
|
| |
695 |
|
|
Branch Banking & Trust Co., 5.625%, 09/15/16 |
|
|
796 |
|
| |
5,000 |
|
|
Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) |
|
|
5,285 |
|
| |
260 |
|
|
Comerica, Inc., 3.000%, 09/16/15 |
|
|
273 |
|
| |
1,080 |
|
|
Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e) |
|
|
1,120 |
|
|
|
|
|
Credit Suisse, (Switzerland), |
|
|
|
|
| |
500 |
|
|
5.000%, 05/15/13 |
|
|
515 |
|
| |
942 |
|
|
5.500%, 05/01/14 |
|
|
1,005 |
|
|
|
|
|
Deutsche Bank AG, (Germany), |
|
|
|
|
| |
650 |
|
|
3.250%, 01/11/16 |
|
|
678 |
|
| |
970 |
|
|
3.875%, 08/18/14 |
|
|
1,020 |
|
| |
325 |
|
|
6.000%, 09/01/17 |
|
|
380 |
|
| |
2,011 |
|
|
DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) |
|
|
2,079 |
|
| |
720 |
|
|
Fifth Third Bancorp, 5.450%, 01/15/17 |
|
|
801 |
|
|
|
|
|
HSBC Bank plc, (United Kingdom), |
|
|
|
|
| |
1,745 |
|
|
1.625%, 07/07/14 (e) |
|
|
1,758 |
|
| |
1,438 |
|
|
3.100%, 05/24/16 (e) |
|
|
1,507 |
|
| |
666 |
|
|
4.125%, 08/12/20 (e) |
|
|
717 |
|
| |
575 |
|
|
4.750%, 01/19/21 (e) |
|
|
647 |
|
|
|
|
|
HSBC Holdings plc, (United Kingdom), |
|
|
|
|
| |
500 |
|
|
4.000%, 03/30/22 |
|
|
536 |
|
| |
500 |
|
|
4.875%, 01/14/22 |
|
|
572 |
|
| |
556 |
|
|
5.100%, 04/05/21 |
|
|
640 |
|
| |
600 |
|
|
6.100%, 01/14/42 |
|
|
803 |
|
| |
1,500 |
|
|
HSBC USA, Inc., 2.375%, 02/13/15 |
|
|
1,537 |
|
| |
1,445 |
|
|
ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e) |
|
|
1,498 |
|
| |
2,400 |
|
|
KeyBank N.A., 5.500%, 09/17/12 |
|
|
2,405 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
35 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Commercial Banks — Continued |
|
| |
480 |
|
|
KeyCorp, 6.500%, 05/14/13 |
|
|
499 |
|
| |
2,725 |
|
|
Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) |
|
|
2,846 |
|
| |
2,100 |
|
|
Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
|
|
2,485 |
|
|
|
|
|
National Australia Bank Ltd., (Australia), |
|
|
|
|
| |
1,500 |
|
|
2.000%, 06/20/17 (e) |
|
|
1,533 |
|
| |
1,500 |
|
|
2.500%, 01/08/13 (e) |
|
|
1,510 |
|
| |
750 |
|
|
2.750%, 09/28/15 (e) |
|
|
779 |
|
| |
1,000 |
|
|
3.000%, 07/27/16 (e) |
|
|
1,051 |
|
| |
795 |
|
|
3.750%, 03/02/15 (e) |
|
|
841 |
|
| |
1,353 |
|
|
National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) |
|
|
1,377 |
|
| |
250 |
|
|
National City Bank, 5.800%, 06/07/17 |
|
|
292 |
|
|
|
|
|
Nordea Bank AB, (Sweden), |
|
|
|
|
| |
600 |
|
|
1.750%, 10/04/13 (e) |
|
|
603 |
|
| |
1,800 |
|
|
3.125%, 03/20/17 (e) |
|
|
1,871 |
|
| |
945 |
|
|
4.875%, 05/13/21 (e) |
|
|
1,005 |
|
| |
837 |
|
|
Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e) |
|
|
845 |
|
| |
400 |
|
|
PNC Bank N.A., 6.875%, 04/01/18 |
|
|
497 |
|
|
|
|
|
PNC Funding Corp., |
|
|
|
|
| |
659 |
|
|
3.300%, 03/08/22 |
|
|
699 |
|
| |
567 |
|
|
4.375%, 08/11/20 |
|
|
647 |
|
| |
940 |
|
|
5.250%, 11/15/15 |
|
|
1,047 |
|
| |
950 |
|
|
5.625%, 02/01/17 |
|
|
1,091 |
|
| |
565 |
|
|
6.700%, 06/10/19 |
|
|
713 |
|
|
|
|
|
Rabobank Nederland N.V., (Netherlands), |
|
|
|
|
| |
140 |
|
|
2.125%, 10/13/15 |
|
|
143 |
|
| |
2,400 |
|
|
3.200%, 03/11/15 (e) |
|
|
2,501 |
|
| |
455 |
|
|
3.375%, 01/19/17 |
|
|
481 |
|
| |
789 |
|
|
3.875%, 02/08/22 |
|
|
822 |
|
| |
500 |
|
|
5.800%, 09/30/10 (e) |
|
|
575 |
|
|
|
|
|
SunTrust Banks, Inc., |
|
|
|
|
| |
2,010 |
|
|
5.250%, 11/05/12 |
|
|
2,026 |
|
| |
820 |
|
|
6.000%, 09/11/17 |
|
|
945 |
|
|
|
|
|
Svenska Handelsbanken AB, (Sweden), |
|
|
|
|
| |
1,411 |
|
|
3.125%, 07/12/16 |
|
|
1,483 |
|
|
|
|
|
Toronto-Dominion Bank (The), (Canada), |
|
|
|
|
| |
2,350 |
|
|
1.500%, 03/13/17 (e) |
|
|
2,408 |
|
| |
1,140 |
|
|
2.200%, 07/29/15 (e) |
|
|
1,193 |
|
|
|
|
|
U.S. Bancorp, |
|
|
|
|
| |
538 |
|
|
1.650%, 05/15/17 |
|
|
550 |
|
| |
645 |
|
|
2.450%, 07/27/15 |
|
|
677 |
|
| |
517 |
|
|
3.000%, 03/15/22 |
|
|
543 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks — Continued |
|
| |
566 |
|
|
4.125%, 05/24/21 |
|
|
642 |
|
| |
1,107 |
|
|
7.500%, 06/01/26 |
|
|
1,417 |
|
|
|
|
|
Wachovia Bank N.A., |
|
|
|
|
| |
1,000 |
|
|
5.600%, 03/15/16 |
|
|
1,116 |
|
| |
250 |
|
|
6.000%, 11/15/17 |
|
|
300 |
|
| |
1,125 |
|
|
6.600%, 01/15/38 |
|
|
1,531 |
|
|
|
|
|
Wachovia Corp., |
|
|
|
|
| |
685 |
|
|
4.875%, 02/15/14 |
|
|
724 |
|
| |
2,000 |
|
|
5.500%, 05/01/13 |
|
|
2,066 |
|
| |
4,780 |
|
|
5.750%, 02/01/18 |
|
|
5,738 |
|
|
|
|
|
Wells Fargo & Co., |
|
|
|
|
| |
1,826 |
|
|
2.625%, 12/15/16 |
|
|
1,934 |
|
| |
850 |
|
|
3.500%, 03/08/22 |
|
|
906 |
|
| |
500 |
|
|
4.600%, 04/01/21 |
|
|
576 |
|
| |
2,135 |
|
|
5.625%, 12/11/17 |
|
|
2,557 |
|
| |
1,000 |
|
|
SUB, 3.676%, 06/15/16 |
|
|
1,088 |
|
|
|
|
|
Wells Fargo Bank N.A., |
|
|
|
|
| |
1,515 |
|
|
4.750%, 02/09/15 |
|
|
1,639 |
|
| |
250 |
|
|
5.750%, 05/16/16 |
|
|
286 |
|
|
|
|
|
Westpac Banking Corp., (Australia), |
|
|
|
|
| |
900 |
|
|
4.200%, 02/27/15 |
|
|
966 |
|
| |
2,105 |
|
|
4.875%, 11/19/19 |
|
|
2,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 1.0% |
|
|
|
|
| |
700 |
|
|
American Express Co., 7.000%, 03/19/18 |
|
|
888 |
|
|
|
|
|
American Express Credit Corp., |
|
|
|
|
| |
361 |
|
|
2.375%, 03/24/17 |
|
|
380 |
|
| |
1,000 |
|
|
2.800%, 09/19/16 |
|
|
1,065 |
|
| |
1,075 |
|
|
5.125%, 08/25/14 |
|
|
1,167 |
|
| |
1,065 |
|
|
5.875%, 05/02/13 |
|
|
1,102 |
|
| |
400 |
|
|
7.300%, 08/20/13 |
|
|
425 |
|
|
|
|
|
American Honda Finance Corp., |
|
|
|
|
| |
667 |
|
|
1.450%, 02/27/15 (e) |
|
|
675 |
|
| |
565 |
|
|
2.125%, 02/28/17 (e) |
|
|
583 |
|
| |
405 |
|
|
2.375%, 03/18/13 (e) |
|
|
409 |
|
| |
1,599 |
|
|
2.600%, 09/20/16 (e) |
|
|
1,670 |
|
| |
150 |
|
|
7.625%, 10/01/18 (e) |
|
|
193 |
|
| |
1,375 |
|
|
Capital One Bank USA N.A., 8.800%, 07/15/19 |
|
|
1,785 |
|
|
|
|
|
Capital One Financial Corp., |
|
|
|
|
| |
1,165 |
|
|
6.750%, 09/15/17 |
|
|
1,424 |
|
| |
2,140 |
|
|
7.375%, 05/23/14 |
|
|
2,363 |
|
|
|
|
|
Ford Motor Credit Co. LLC, |
|
|
|
|
| |
1,253 |
|
|
3.000%, 06/12/17 |
|
|
1,257 |
|
| |
1,917 |
|
|
3.984%, 06/15/16 (e) |
|
|
1,987 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 36 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Consumer Finance — Continued |
|
| |
561 |
|
|
4.207%, 04/15/16 (e) |
|
|
587 |
|
|
|
|
|
HSBC Finance Corp., |
|
|
|
|
| |
1,000 |
|
|
4.750%, 07/15/13 |
|
|
1,031 |
|
| |
3,413 |
|
|
5.000%, 06/30/15 |
|
|
3,667 |
|
| |
2,200 |
|
|
5.250%, 01/15/14 |
|
|
2,296 |
|
| |
188 |
|
|
6.375%, 11/27/12 |
|
|
191 |
|
| |
207 |
|
|
7.350%, 11/27/32 |
|
|
236 |
|
|
|
|
|
John Deere Capital Corp., |
|
|
|
|
| |
400 |
|
|
2.250%, 04/17/19 |
|
|
418 |
|
| |
233 |
|
|
3.150%, 10/15/21 |
|
|
250 |
|
| |
265 |
|
|
4.500%, 04/03/13 |
|
|
272 |
|
| |
1,000 |
|
|
5.250%, 10/01/12 |
|
|
1,004 |
|
| |
637 |
|
|
PACCAR Financial Corp., 1.600%, 03/15/17 |
|
|
649 |
|
| |
1,023 |
|
|
SLM Corp., 5.375%, 01/15/13 |
|
|
1,038 |
|
| |
1,083 |
|
|
Springleaf Finance Corp., 5.375%, 10/01/12 |
|
|
1,081 |
|
|
|
|
|
Toyota Motor Credit Corp., |
|
|
|
|
| |
1,120 |
|
|
1.000%, 02/17/15 |
|
|
1,132 |
|
| |
2,400 |
|
|
2.000%, 09/15/16 |
|
|
2,501 |
|
| |
962 |
|
|
3.200%, 06/17/15 |
|
|
1,028 |
|
| |
331 |
|
|
Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) |
|
|
334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,088 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 2.2% |
|
| |
1,900 |
|
|
Associates Corp. of North America, 6.950%, 11/01/18 |
|
|
2,244 |
|
|
|
|
|
Bank of America Corp., |
|
|
|
|
| |
520 |
|
|
3.625%, 03/17/16 |
|
|
542 |
|
| |
300 |
|
|
4.900%, 05/01/13 |
|
|
307 |
|
| |
2,015 |
|
|
5.000%, 05/13/21 |
|
|
2,166 |
|
| |
2,720 |
|
|
5.625%, 10/14/16 |
|
|
3,023 |
|
| |
740 |
|
|
5.625%, 07/01/20 |
|
|
820 |
|
| |
600 |
|
|
5.650%, 05/01/18 |
|
|
670 |
|
| |
420 |
|
|
5.750%, 12/01/17 |
|
|
470 |
|
| |
400 |
|
|
5.875%, 01/05/21 |
|
|
450 |
|
| |
600 |
|
|
7.625%, 06/01/19 |
|
|
733 |
|
| |
1,510 |
|
|
7.800%, 09/15/16 |
|
|
1,725 |
|
| |
1,455 |
|
|
Bank of America N.A., 5.300%, 03/15/17 |
|
|
1,584 |
|
| |
235 |
|
|
BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e) |
|
|
282 |
|
|
|
|
|
BP Capital Markets plc, (United Kingdom), |
|
|
|
|
| |
929 |
|
|
1.846%, 05/05/17 |
|
|
951 |
|
| |
900 |
|
|
4.742%, 03/11/21 |
|
|
1,056 |
|
| |
2,122 |
|
|
5.250%, 11/07/13 |
|
|
2,238 |
|
| |
725 |
|
|
Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e) |
|
|
771 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — Continued |
|
|
|
|
|
Caterpillar Financial Services Corp., |
|
|
|
|
| |
387 |
|
|
2.850%, 06/01/22 |
|
|
403 |
|
| |
665 |
|
|
4.900%, 08/15/13 |
|
|
693 |
|
| |
560 |
|
|
5.500%, 03/15/16 |
|
|
646 |
|
| |
1,300 |
|
|
6.200%, 09/30/13 |
|
|
1,381 |
|
| |
305 |
|
|
7.050%, 10/01/18 |
|
|
398 |
|
| |
510 |
|
|
7.150%, 02/15/19 |
|
|
672 |
|
|
|
|
|
Citigroup, Inc., |
|
|
|
|
| |
450 |
|
|
2.250%, 08/07/15 |
|
|
454 |
|
| |
500 |
|
|
4.450%, 01/10/17 |
|
|
539 |
|
| |
433 |
|
|
4.500%, 01/14/22 |
|
|
458 |
|
| |
832 |
|
|
4.587%, 12/15/15 |
|
|
895 |
|
| |
856 |
|
|
4.700%, 05/29/15 |
|
|
911 |
|
| |
977 |
|
|
4.750%, 05/19/15 |
|
|
1,049 |
|
| |
3,127 |
|
|
5.000%, 09/15/14 |
|
|
3,271 |
|
| |
2,025 |
|
|
5.125%, 05/05/14 |
|
|
2,140 |
|
| |
1,225 |
|
|
5.375%, 08/09/20 |
|
|
1,370 |
|
| |
321 |
|
|
5.875%, 01/30/42 |
|
|
377 |
|
| |
150 |
|
|
6.000%, 12/13/13 |
|
|
158 |
|
| |
2,150 |
|
|
6.000%, 08/15/17 |
|
|
2,455 |
|
| |
755 |
|
|
6.010%, 01/15/15 |
|
|
825 |
|
| |
350 |
|
|
6.125%, 11/21/17 |
|
|
404 |
|
| |
510 |
|
|
6.375%, 08/12/14 |
|
|
553 |
|
| |
600 |
|
|
6.500%, 08/19/13 |
|
|
631 |
|
| |
250 |
|
|
6.625%, 01/15/28 |
|
|
282 |
|
| |
400 |
|
|
8.125%, 07/15/39 |
|
|
586 |
|
| |
1,400 |
|
|
8.500%, 05/22/19 |
|
|
1,791 |
|
|
|
|
|
CME Group, Inc., |
|
|
|
|
| |
1,786 |
|
|
5.400%, 08/01/13 |
|
|
1,866 |
|
| |
1,490 |
|
|
5.750%, 02/15/14 |
|
|
1,597 |
|
| |
1,045 |
|
|
ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 |
|
|
1,244 |
|
|
|
|
|
ERAC USA Finance LLC, |
|
|
|
|
| |
154 |
|
|
2.250%, 01/10/14 (e) |
|
|
156 |
|
| |
355 |
|
|
2.750%, 03/15/17 (e) |
|
|
366 |
|
| |
559 |
|
|
4.500%, 08/16/21 (e) |
|
|
610 |
|
| |
316 |
|
|
5.625%, 03/15/42 (e) |
|
|
340 |
|
| |
350 |
|
|
6.375%, 10/15/17 (e) |
|
|
418 |
|
| |
746 |
|
|
6.700%, 06/01/34 (e) |
|
|
900 |
|
|
|
|
|
General Electric Capital Corp., |
|
|
|
|
| |
1,100 |
|
|
1.625%, 07/02/15 |
|
|
1,119 |
|
| |
750 |
|
|
2.300%, 04/27/17 |
|
|
774 |
|
| |
650 |
|
|
4.625%, 01/07/21 |
|
|
734 |
|
| |
2,100 |
|
|
4.650%, 10/17/21 |
|
|
2,398 |
|
| |
5,825 |
|
|
5.250%, 10/19/12 |
|
|
5,862 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
37 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Diversified Financial Services — Continued |
|
| |
191 |
|
|
5.300%, 02/11/21 |
|
|
220 |
|
| |
2,500 |
|
|
5.400%, 02/15/17 |
|
|
2,902 |
|
| |
5,755 |
|
|
5.625%, 05/01/18 |
|
|
6,815 |
|
| |
1,000 |
|
|
5.650%, 06/09/14 |
|
|
1,078 |
|
| |
310 |
|
|
5.875%, 01/14/38 |
|
|
376 |
|
| |
2,544 |
|
|
6.750%, 03/15/32 |
|
|
3,303 |
|
| |
1,742 |
|
|
GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) |
|
|
1,838 |
|
|
|
|
|
National Rural Utilities Cooperative Finance Corp., |
|
|
|
|
| |
225 |
|
|
2.625%, 09/16/12 |
|
|
225 |
|
| |
635 |
|
|
4.750%, 03/01/14 |
|
|
674 |
|
| |
200 |
|
|
10.375%, 11/01/18 |
|
|
294 |
|
| |
640 |
|
|
Textron Financial Corp., 5.400%, 04/28/13 |
|
|
659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance — 1.4% |
|
|
|
|
|
ACE INA Holdings, Inc., |
|
|
|
|
| |
455 |
|
|
2.600%, 11/23/15 |
|
|
477 |
|
| |
350 |
|
|
5.600%, 05/15/15 |
|
|
392 |
|
|
|
|
|
Aflac, Inc., |
|
|
|
|
| |
228 |
|
|
2.650%, 02/15/17 |
|
|
239 |
|
| |
260 |
|
|
4.000%, 02/15/22 |
|
|
281 |
|
| |
317 |
|
|
6.450%, 08/15/40 |
|
|
393 |
|
| |
200 |
|
|
8.500%, 05/15/19 |
|
|
268 |
|
| |
520 |
|
|
AIG SunAmerica Global Financing X,
6.900%, 03/15/32 (e) |
|
|
668 |
|
| |
1,012 |
|
|
Allstate Life Global Funding Trusts, 5.375%, 04/30/13 |
|
|
1,045 |
|
|
|
|
|
American International Group, Inc., |
|
|
|
|
| |
1,499 |
|
|
4.250%, 05/15/13 |
|
|
1,530 |
|
| |
2,960 |
|
|
5.450%, 05/18/17 |
|
|
3,326 |
|
|
|
|
|
Aon Corp., |
|
|
|
|
| |
402 |
|
|
3.125%, 05/27/16 |
|
|
424 |
|
| |
336 |
|
|
3.500%, 09/30/15 |
|
|
354 |
|
| |
306 |
|
|
6.250%, 09/30/40 |
|
|
402 |
|
| |
2,185 |
|
|
ASIF Global Financing XIX, 4.900%, 01/17/13 (e) |
|
|
2,207 |
|
|
|
|
|
Berkshire Hathaway Finance Corp., |
|
|
|
|
| |
233 |
|
|
2.450%, 12/15/15 |
|
|
246 |
|
| |
233 |
|
|
3.000%, 05/15/22 |
|
|
241 |
|
| |
494 |
|
|
4.400%, 05/15/42 |
|
|
529 |
|
| |
1,000 |
|
|
4.600%, 05/15/13 |
|
|
1,029 |
|
| |
605 |
|
|
5.000%, 08/15/13 |
|
|
631 |
|
| |
1,505 |
|
|
5.400%, 05/15/18 |
|
|
1,815 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance — Continued |
|
|
|
|
|
Berkshire Hathaway, Inc., |
|
|
|
|
| |
1,387 |
|
|
3.400%, 01/31/22 |
|
|
1,487 |
|
| |
781 |
|
|
3.750%, 08/15/21 |
|
|
860 |
|
| |
100 |
|
|
Chubb Corp. (The), 5.750%, 05/15/18 |
|
|
124 |
|
|
|
|
|
CNA Financial Corp., |
|
|
|
|
| |
750 |
|
|
5.850%, 12/15/14 |
|
|
803 |
|
| |
781 |
|
|
5.875%, 08/15/20 |
|
|
900 |
|
| |
820 |
|
|
Jackson National Life Global Funding, 5.375%, 05/08/13 (e) |
|
|
844 |
|
| |
372 |
|
|
Liberty Mutual Group, Inc., 4.950%, 05/01/22 (e) |
|
|
389 |
|
|
|
|
|
Lincoln National Corp., |
|
|
|
|
| |
345 |
|
|
4.200%, 03/15/22 |
|
|
361 |
|
| |
251 |
|
|
4.850%, 06/24/21 |
|
|
274 |
|
| |
280 |
|
|
Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e) |
|
|
319 |
|
|
|
|
|
MassMutual Global Funding II, |
|
|
|
|
| |
1,500 |
|
|
2.000%, 04/05/17 (e) |
|
|
1,537 |
|
| |
540 |
|
|
2.300%, 09/28/15 (e) |
|
|
563 |
|
| |
338 |
|
|
2.875%, 04/21/14 (e) |
|
|
350 |
|
| |
920 |
|
|
MetLife Institutional Funding II, VAR, 1.361%, 04/04/14 (e) |
|
|
926 |
|
| |
1,120 |
|
|
Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e) |
|
|
1,212 |
|
| |
430 |
|
|
MetLife, Inc., 6.817%, 08/15/18 |
|
|
538 |
|
|
|
|
|
Metropolitan Life Global Funding I, |
|
|
|
|
| |
604 |
|
|
1.700%, 06/29/15 (e) |
|
|
614 |
|
| |
1,150 |
|
|
2.000%, 01/10/14 (e) |
|
|
1,167 |
|
| |
1,250 |
|
|
2.500%, 01/11/13 (e) |
|
|
1,258 |
|
| |
700 |
|
|
2.500%, 09/29/15 (e) |
|
|
728 |
|
| |
400 |
|
|
3.125%, 01/11/16 (e) |
|
|
425 |
|
| |
1,900 |
|
|
3.650%, 06/14/18 (e) |
|
|
2,093 |
|
| |
1,277 |
|
|
3.875%, 04/11/22 (e) |
|
|
1,396 |
|
| |
200 |
|
|
5.125%, 04/10/13 (e) |
|
|
205 |
|
| |
100 |
|
|
5.125%, 06/10/14 (e) |
|
|
108 |
|
| |
1,093 |
|
|
5.200%, 09/18/13 (e) |
|
|
1,142 |
|
| |
250 |
|
|
Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
|
|
256 |
|
| |
1,750 |
|
|
Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) |
|
|
2,381 |
|
|
|
|
|
New York Life Global Funding, |
|
|
|
|
| |
740 |
|
|
0.750%, 07/24/15 (e) |
|
|
741 |
|
| |
350 |
|
|
1.300%, 01/12/15 (e) |
|
|
356 |
|
| |
725 |
|
|
4.650%, 05/09/13 (e) |
|
|
745 |
|
| |
2,637 |
|
|
5.375%, 09/15/13 (e) |
|
|
2,768 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 38 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Insurance — Continued |
|
|
|
|
|
Pacific Life Global Funding, |
|
|
|
|
| |
650 |
|
|
5.000%, 05/15/17 (e) |
|
|
697 |
|
| |
410 |
|
|
5.150%, 04/15/13 (e) |
|
|
421 |
|
| |
530 |
|
|
Pacific Life Insurance Co.,
9.250%, 06/15/39 (e) |
|
|
721 |
|
| |
2,100 |
|
|
Pricoa Global Funding I,
5.450%, 06/11/14 (e) |
|
|
2,260 |
|
| |
500 |
|
|
Principal Life Global Funding I,
5.050%, 03/15/15 (e) |
|
|
545 |
|
| |
215 |
|
|
Principal Life Income Funding Trusts,
5.300%, 12/14/12 |
|
|
218 |
|
| |
1,750 |
|
|
Prudential Insurance Co. of America (The),
8.300%, 07/01/25 (e) |
|
|
2,359 |
|
| |
210 |
|
|
Travelers Cos., Inc. (The),
5.800%, 05/15/18 |
|
|
259 |
|
| |
300 |
|
|
Travelers Property Casualty Corp.,
5.000%, 03/15/13 |
|
|
307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) — 0.3% |
|
|
|
|
|
CommonWealth REIT, |
|
|
|
|
| |
600 |
|
|
5.875%, 09/15/20 |
|
|
632 |
|
| |
320 |
|
|
6.250%, 08/15/16 |
|
|
346 |
|
| |
1,325 |
|
|
6.650%, 01/15/18 |
|
|
1,470 |
|
| |
604 |
|
|
ERP Operating LP, 4.625%, 12/15/21 |
|
|
693 |
|
|
|
|
|
HCP, Inc., |
|
|
|
|
| |
159 |
|
|
3.750%, 02/01/19 |
|
|
166 |
|
| |
895 |
|
|
5.375%, 02/01/21 |
|
|
1,024 |
|
|
|
|
|
Simon Property Group LP, |
|
|
|
|
| |
917 |
|
|
2.150%, 09/15/17 |
|
|
943 |
|
| |
579 |
|
|
4.125%, 12/01/21 |
|
|
638 |
|
| |
32 |
|
|
4.200%, 02/01/15 |
|
|
34 |
|
| |
200 |
|
|
4.375%, 03/01/21 |
|
|
223 |
|
| |
705 |
|
|
5.625%, 08/15/14 |
|
|
764 |
|
| |
665 |
|
|
6.100%, 05/01/16 |
|
|
765 |
|
| |
320 |
|
|
6.125%, 05/30/18 |
|
|
388 |
|
| |
330 |
|
|
6.750%, 05/15/14 |
|
|
357 |
|
| |
440 |
|
|
WEA Finance LLC, 7.125%, 04/15/18 (e) |
|
|
527 |
|
| |
1,376 |
|
|
WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
|
|
1,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance — 0.1% |
|
|
|
|
| |
400 |
|
|
Countrywide Financial Corp., 6.250%, 05/15/16 |
|
|
430 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance — Continued |
|
|
|
|
| |
1,463 |
|
|
Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) |
|
|
1,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials |
|
|
360,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care — 0.4% |
|
|
|
|
|
Biotechnology — 0.2% |
|
|
|
|
|
Amgen, Inc., |
|
|
|
|
| |
1,000 |
|
|
3.875%, 11/15/21 |
|
|
1,081 |
|
| |
237 |
|
|
4.500%, 03/15/20 |
|
|
266 |
|
| |
500 |
|
|
4.950%, 10/01/41 |
|
|
530 |
|
| |
2,000 |
|
|
5.150%, 11/15/41 |
|
|
2,183 |
|
| |
252 |
|
|
5.650%, 06/15/42 |
|
|
294 |
|
| |
570 |
|
|
5.700%, 02/01/19 |
|
|
677 |
|
| |
720 |
|
|
5.750%, 03/15/40 |
|
|
836 |
|
| |
1,336 |
|
|
Celgene Corp., 3.250%, 08/15/22 |
|
|
1,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 0.0% (g) |
|
|
|
|
|
Baxter International, Inc., |
|
|
|
|
| |
380 |
|
|
4.000%, 03/01/14 |
|
|
400 |
|
| |
215 |
|
|
4.625%, 03/15/15 |
|
|
236 |
|
| |
100 |
|
|
Becton Dickinson and Co., 5.000%, 05/15/19 |
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 0.1% |
|
|
|
|
|
Aetna, Inc., |
|
|
|
|
| |
265 |
|
|
4.500%, 05/15/42 |
|
|
269 |
|
| |
400 |
|
|
6.750%, 12/15/37 |
|
|
534 |
|
| |
370 |
|
|
Medco Health Solutions, Inc., 2.750%, 09/15/15 |
|
|
387 |
|
| |
975 |
|
|
UnitedHealth Group, Inc., 3.375%, 11/15/21 |
|
|
1,042 |
|
|
|
|
|
WellPoint, Inc., |
|
|
|
|
| |
615 |
|
|
3.125%, 05/15/22 |
|
|
612 |
|
| |
500 |
|
|
4.625%, 05/15/42 |
|
|
498 |
|
| |
168 |
|
|
5.875%, 06/15/17 |
|
|
198 |
|
| |
113 |
|
|
7.000%, 02/15/19 |
|
|
141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 0.1% |
|
| |
250 |
|
|
Abbott Laboratories, 6.150%, 11/30/37 |
|
|
357 |
|
| |
645 |
|
|
AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 |
|
|
700 |
|
|
|
|
|
GlaxoSmithKline Capital, Inc., |
|
|
|
|
| |
450 |
|
|
4.375%, 04/15/14 |
|
|
479 |
|
| |
750 |
|
|
5.650%, 05/15/18 |
|
|
921 |
|
| |
530 |
|
|
6.375%, 05/15/38 |
|
|
763 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
39 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Pharmaceuticals — Continued |
|
| |
650 |
|
|
Merck & Co., Inc., 6.000%, 09/15/17 |
|
|
804 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care |
|
|
15,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials — 1.1% |
|
|
|
|
|
Aerospace & Defense — 0.2% |
|
| |
400 |
|
|
BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e) |
|
|
478 |
|
| |
676 |
|
|
BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e) |
|
|
797 |
|
| |
300 |
|
|
Honeywell International, Inc., 5.300%, 03/01/18 |
|
|
365 |
|
|
|
|
|
Lockheed Martin Corp., |
|
|
|
|
| |
387 |
|
|
2.125%, 09/15/16 |
|
|
402 |
|
| |
292 |
|
|
4.850%, 09/15/41 |
|
|
336 |
|
| |
1,144 |
|
|
5.720%, 06/01/40 |
|
|
1,457 |
|
|
|
|
|
United Technologies Corp., |
|
|
|
|
| |
214 |
|
|
1.800%, 06/01/17 |
|
|
221 |
|
| |
681 |
|
|
3.100%, 06/01/22 |
|
|
724 |
|
| |
914 |
|
|
4.500%, 06/01/42 |
|
|
1,039 |
|
| |
1,261 |
|
|
6.125%, 02/01/19 |
|
|
1,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines — 0.1% |
|
| |
248 |
|
|
American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 |
|
|
261 |
|
| |
677 |
|
|
American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21 |
|
|
718 |
|
| |
264 |
|
|
Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20 |
|
|
285 |
|
| |
456 |
|
|
Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 |
|
|
499 |
|
| |
600 |
|
|
Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 |
|
|
644 |
|
| |
226 |
|
|
Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19 |
|
|
244 |
|
| |
482 |
|
|
Delta Air Lines, 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20 |
|
|
494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies — 0.1% |
|
|
|
|
|
ADT Corp. (The), |
|
|
|
|
| |
420 |
|
|
3.500%, 07/15/22 (e) |
|
|
436 |
|
| |
328 |
|
|
4.875%, 07/15/42 (e) |
|
|
357 |
|
|
|
|
|
Pitney Bowes, Inc., |
|
|
|
|
| |
565 |
|
|
4.875%, 08/15/14 |
|
|
593 |
|
| |
1,020 |
|
|
5.000%, 03/15/15 |
|
|
1,078 |
|
| |
200 |
|
|
5.600%, 03/15/18 |
|
|
213 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies — Continued |
|
| |
614 |
|
|
Republic Services, Inc., 3.550%, 06/01/22 |
|
|
646 |
|
|
|
|
|
Waste Management, Inc., |
|
|
|
|
| |
214 |
|
|
4.750%, 06/30/20 |
|
|
247 |
|
| |
455 |
|
|
7.375%, 03/11/19 |
|
|
586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering — 0.1% |
|
|
|
|
|
ABB Finance USA, Inc., |
|
|
|
|
| |
226 |
|
|
1.625%, 05/08/17 |
|
|
229 |
|
| |
292 |
|
|
2.875%, 05/08/22 |
|
|
303 |
|
| |
145 |
|
|
4.375%, 05/08/42 |
|
|
164 |
|
| |
789 |
|
|
Fluor Corp., 3.375%, 09/15/21 |
|
|
841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 0.1% |
|
| |
588 |
|
|
Danaher Corp., 3.900%, 06/23/21 |
|
|
667 |
|
|
|
|
|
Koninklijke Philips Electronics N.V., (Netherlands), |
|
|
|
|
| |
970 |
|
|
3.750%, 03/15/22 |
|
|
1,051 |
|
| |
260 |
|
|
5.750%, 03/11/18 |
|
|
313 |
|
| |
130 |
|
|
7.200%, 06/01/26 |
|
|
172 |
|
| |
300 |
|
|
Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
|
|
352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery — 0.1% |
|
| |
164 |
|
|
Caterpillar, Inc., 2.600%, 06/26/22 |
|
|
169 |
|
|
|
|
|
Deere & Co., |
|
|
|
|
| |
819 |
|
|
2.600%, 06/08/22 |
|
|
844 |
|
| |
346 |
|
|
3.900%, 06/09/42 |
|
|
365 |
|
|
|
|
|
Eaton Corp., |
|
|
|
|
| |
500 |
|
|
5.600%, 05/15/18 |
|
|
595 |
|
| |
300 |
|
|
7.625%, 04/01/24 |
|
|
400 |
|
| |
1,920 |
|
|
Illinois Tool Works, Inc., 3.900%, 09/01/42 |
|
|
1,958 |
|
| |
290 |
|
|
Ingersoll-Rand Co., 6.391%, 11/15/27 |
|
|
353 |
|
| |
135 |
|
|
Parker Hannifin Corp., 5.500%, 05/15/18 |
|
|
162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail — 0.4% |
|
|
|
|
|
Burlington Northern Santa Fe LLC, |
|
|
|
|
| |
522 |
|
|
3.050%, 03/15/22 |
|
|
538 |
|
| |
300 |
|
|
3.450%, 09/15/21 |
|
|
318 |
|
| |
125 |
|
|
3.600%, 09/01/20 |
|
|
136 |
|
| |
375 |
|
|
4.375%, 09/01/42 |
|
|
395 |
|
| |
1,000 |
|
|
5.400%, 06/01/41 |
|
|
1,201 |
|
| |
500 |
|
|
5.650%, 05/01/17 |
|
|
596 |
|
| |
250 |
|
|
5.750%, 03/15/18 |
|
|
302 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 40 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Road & Rail — Continued |
|
| |
425 |
|
|
5.750%, 05/01/40 |
|
|
527 |
|
| |
250 |
|
|
6.700%, 08/01/28 |
|
|
317 |
|
| |
450 |
|
|
7.000%, 02/01/14 |
|
|
490 |
|
|
|
|
|
CSX Corp., |
|
|
|
|
| |
300 |
|
|
4.250%, 06/01/21 |
|
|
336 |
|
| |
575 |
|
|
5.500%, 04/15/41 |
|
|
694 |
|
| |
145 |
|
|
6.250%, 04/01/15 |
|
|
165 |
|
| |
205 |
|
|
7.375%, 02/01/19 |
|
|
263 |
|
| |
500 |
|
|
7.900%, 05/01/17 |
|
|
628 |
|
|
|
|
|
Norfolk Southern Corp., |
|
|
|
|
| |
746 |
|
|
3.250%, 12/01/21 |
|
|
787 |
|
| |
100 |
|
|
6.000%, 03/15/05 |
|
|
123 |
|
| |
1,768 |
|
|
6.000%, 05/23/11 |
|
|
2,176 |
|
| |
355 |
|
|
7.700%, 05/15/17 |
|
|
450 |
|
|
|
|
|
Ryder System, Inc., |
|
|
|
|
| |
484 |
|
|
2.500%, 03/01/17 |
|
|
492 |
|
| |
420 |
|
|
3.600%, 03/01/16 |
|
|
444 |
|
|
|
|
|
Union Pacific Corp., |
|
|
|
|
| |
182 |
|
|
2.950%, 01/15/23 |
|
|
188 |
|
| |
693 |
|
|
4.163%, 07/15/22 |
|
|
787 |
|
| |
200 |
|
|
4.300%, 06/15/42 |
|
|
214 |
|
| |
235 |
|
|
4.875%, 01/15/15 |
|
|
257 |
|
| |
907 |
|
|
5.650%, 05/01/17 |
|
|
1,061 |
|
|
|
|
|
United Parcel Service of America, Inc., |
|
|
|
|
| |
340 |
|
|
8.375%, 04/01/20 |
|
|
475 |
|
| |
160 |
|
|
SUB, 8.375%, 04/01/30 |
|
|
248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials |
|
|
38,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology — 0.9% |
|
|
|
|
|
|
|
|
Communications Equipment — 0.1% |
|
|
|
|
|
|
|
|
Cisco Systems, Inc., |
|
|
|
|
| |
878 |
|
|
5.500%, 02/22/16 |
|
|
1,023 |
|
| |
350 |
|
|
5.500%, 01/15/40 |
|
|
452 |
|
| |
755 |
|
|
5.900%, 02/15/39 |
|
|
1,006 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals — 0.3% |
|
|
|
|
|
Dell, Inc., |
|
|
|
|
| |
1,280 |
|
|
3.100%, 04/01/16 |
|
|
1,361 |
|
| |
250 |
|
|
4.625%, 04/01/21 |
|
|
274 |
|
| |
300 |
|
|
7.100%, 04/15/28 |
|
|
370 |
|
|
|
|
|
Hewlett-Packard Co., |
|
|
|
|
| |
583 |
|
|
2.600%, 09/15/17 |
|
|
577 |
|
| |
387 |
|
|
4.050%, 09/15/22 |
|
|
378 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals — Continued |
|
| |
600 |
|
|
4.300%, 06/01/21 |
|
|
602 |
|
| |
781 |
|
|
4.375%, 09/15/21 |
|
|
781 |
|
| |
600 |
|
|
4.750%, 06/02/14 |
|
|
633 |
|
| |
1,345 |
|
|
5.400%, 03/01/17 |
|
|
1,492 |
|
| |
2,500 |
|
|
6.000%, 09/15/41 |
|
|
2,607 |
|
| |
1,230 |
|
|
6.125%, 03/01/14 |
|
|
1,316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 0.1% |
|
|
|
|
|
Arrow Electronics, Inc., |
|
|
|
|
| |
575 |
|
|
3.375%, 11/01/15 |
|
|
598 |
|
| |
165 |
|
|
6.000%, 04/01/20 |
|
|
186 |
|
| |
875 |
|
|
6.875%, 07/01/13 |
|
|
916 |
|
| |
725 |
|
|
7.500%, 01/15/27 |
|
|
839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services — 0.0% (g) |
|
|
|
|
|
eBay, Inc., |
|
|
|
|
| |
300 |
|
|
2.600%, 07/15/22 |
|
|
303 |
|
| |
271 |
|
|
4.000%, 07/15/42 |
|
|
268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services — 0.2% |
|
| |
1,020 |
|
|
HP Enterprise Services LLC, 6.000%, 08/01/13 |
|
|
1,066 |
|
|
|
|
|
International Business Machines Corp., |
|
|
|
|
| |
409 |
|
|
1.250%, 02/06/17 |
|
|
415 |
|
| |
2,600 |
|
|
5.700%, 09/14/17 |
|
|
3,185 |
|
| |
690 |
|
|
6.220%, 08/01/27 |
|
|
937 |
|
| |
1,075 |
|
|
7.625%, 10/15/18 |
|
|
1,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics — 0.0% (g) |
|
|
|
|
|
Xerox Corp., |
|
|
|
|
| |
196 |
|
|
2.950%, 03/15/17 |
|
|
201 |
|
| |
270 |
|
|
4.500%, 05/15/21 |
|
|
284 |
|
| |
600 |
|
|
5.625%, 12/15/19 |
|
|
677 |
|
| |
550 |
|
|
6.750%, 02/01/17 |
|
|
645 |
|
| |
100 |
|
|
8.250%, 05/15/14 |
|
|
111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 0.1% |
|
| |
697 |
|
|
Intel Corp., 3.300%, 10/01/21 |
|
|
758 |
|
| |
1,350 |
|
|
National Semiconductor Corp., 6.600%, 06/15/17 |
|
|
1,685 |
|
|
|
|
|
Texas Instruments, Inc., |
|
|
|
|
| |
750 |
|
|
1.375%, 05/15/14 |
|
|
762 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
41 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Semiconductors & Semiconductor Equipment — Continued |
|
| |
365 |
|
|
1.650%, 08/03/19 |
|
|
365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software — 0.1% |
|
| |
360 |
|
|
Intuit, Inc., 5.750%, 03/15/17 |
|
|
418 |
|
|
|
|
|
Microsoft Corp., |
|
|
|
|
| |
720 |
|
|
1.625%, 09/25/15 |
|
|
747 |
|
| |
117 |
|
|
4.500%, 10/01/40 |
|
|
140 |
|
|
|
|
|
Oracle Corp., |
|
|
|
|
| |
500 |
|
|
5.000%, 07/08/19 |
|
|
603 |
|
| |
1,412 |
|
|
5.250%, 01/15/16 |
|
|
1,625 |
|
| |
698 |
|
|
5.750%, 04/15/18 |
|
|
863 |
|
| |
465 |
|
|
6.500%, 04/15/38 |
|
|
663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology |
|
|
33,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials — 0.6% |
|
|
|
|
|
|
|
|
Chemicals — 0.4% |
|
|
|
|
| |
249 |
|
|
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
|
|
253 |
|
|
|
|
|
Dow Chemical Co. (The), |
|
|
|
|
| |
385 |
|
|
4.125%, 11/15/21 |
|
|
422 |
|
| |
203 |
|
|
4.250%, 11/15/20 |
|
|
224 |
|
| |
200 |
|
|
5.250%, 11/15/41 |
|
|
228 |
|
| |
1,250 |
|
|
6.000%, 10/01/12 |
|
|
1,255 |
|
| |
370 |
|
|
7.375%, 11/01/29 |
|
|
502 |
|
| |
250 |
|
|
7.600%, 05/15/14 |
|
|
277 |
|
| |
158 |
|
|
8.550%, 05/15/19 |
|
|
213 |
|
|
|
|
|
E.I. du Pont de Nemours & Co., |
|
|
|
|
| |
635 |
|
|
1.950%, 01/15/16 |
|
|
660 |
|
| |
350 |
|
|
4.900%, 01/15/41 |
|
|
433 |
|
| |
1,610 |
|
|
6.000%, 07/15/18 |
|
|
2,025 |
|
| |
150 |
|
|
Ecolab, Inc., 5.500%, 12/08/41 |
|
|
188 |
|
|
|
|
|
Mosaic Co. (The), |
|
|
|
|
| |
280 |
|
|
3.750%, 11/15/21 |
|
|
300 |
|
| |
79 |
|
|
4.875%, 11/15/41 |
|
|
88 |
|
| |
875 |
|
|
Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 |
|
|
893 |
|
|
|
|
|
PPG Industries, Inc., |
|
|
|
|
| |
114 |
|
|
5.500%, 11/15/40 |
|
|
140 |
|
| |
415 |
|
|
5.750%, 03/15/13 |
|
|
426 |
|
| |
700 |
|
|
6.650%, 03/15/18 |
|
|
862 |
|
| |
350 |
|
|
9.000%, 05/01/21 |
|
|
479 |
|
|
|
|
|
Praxair, Inc., |
|
|
|
|
| |
662 |
|
|
4.625%, 03/30/15 |
|
|
728 |
|
| |
885 |
|
|
5.250%, 11/15/14 |
|
|
972 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals — Continued |
|
|
|
|
|
|
|
|
Union Carbide Corp., |
|
|
|
|
| |
1,000 |
|
|
7.500%, 06/01/25 |
|
|
1,216 |
|
| |
850 |
|
|
7.750%, 10/01/96 |
|
|
982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,766 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining — 0.2% |
|
|
|
|
|
|
|
|
BHP Billiton Finance USA Ltd., (Australia), |
|
|
|
|
| |
667 |
|
|
1.625%, 02/24/17 |
|
|
680 |
|
| |
410 |
|
|
5.400%, 03/29/17 |
|
|
481 |
|
| |
400 |
|
|
5.500%, 04/01/14 |
|
|
431 |
|
| |
550 |
|
|
6.500%, 04/01/19 |
|
|
704 |
|
| |
1,320 |
|
|
Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17 |
|
|
1,332 |
|
| |
295 |
|
|
Placer Dome, Inc., (Canada), 6.450%, 10/15/35 |
|
|
348 |
|
|
|
|
|
Rio Tinto Finance USA Ltd., (Australia), |
|
|
|
|
| |
115 |
|
|
3.500%, 11/02/20 |
|
|
121 |
|
| |
550 |
|
|
3.750%, 09/20/21 |
|
|
590 |
|
| |
650 |
|
|
9.000%, 05/01/19 |
|
|
892 |
|
| |
393 |
|
|
Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17 |
|
|
393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials |
|
|
19,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services — 1.2% |
|
|
|
|
|
Diversified Telecommunication Services — 1.1% |
|
| |
6 |
|
|
AT&T Corp., 8.000%, 11/15/31 |
|
|
9 |
|
|
|
|
|
AT&T, Inc., |
|
|
|
|
| |
850 |
|
|
4.450%, 05/15/21 |
|
|
997 |
|
| |
386 |
|
|
5.100%, 09/15/14 |
|
|
421 |
|
| |
170 |
|
|
5.350%, 09/01/40 |
|
|
204 |
|
| |
250 |
|
|
5.500%, 02/01/18 |
|
|
303 |
|
| |
2,700 |
|
|
6.300%, 01/15/38 |
|
|
3,520 |
|
| |
350 |
|
|
Bellsouth Capital Funding Corp., 7.120%, 07/15/97 |
|
|
447 |
|
|
|
|
|
BellSouth Corp., |
|
|
|
|
| |
1,373 |
|
|
5.200%, 09/15/14 |
|
|
1,494 |
|
| |
450 |
|
|
6.875%, 10/15/31 |
|
|
565 |
|
|
|
|
|
BellSouth Telecommunications, Inc., |
|
|
|
|
| |
785 |
|
|
6.300%, 12/15/15 |
|
|
828 |
|
| |
300 |
|
|
7.000%, 10/01/25 |
|
|
383 |
|
|
|
|
|
British Telecommunications plc, (United Kingdom), |
|
|
|
|
| |
200 |
|
|
2.000%, 06/22/15 |
|
|
204 |
|
| |
2,500 |
|
|
5.150%, 01/15/13 |
|
|
2,541 |
|
| |
600 |
|
|
Centel Capital Corp., 9.000%, 10/15/19 |
|
|
716 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 42 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Diversified Telecommunication Services — Continued |
|
|
|
|
|
CenturyLink, Inc., |
|
|
|
|
| |
1,380 |
|
|
6.450%, 06/15/21 |
|
|
1,540 |
|
| |
920 |
|
|
7.600%, 09/15/39 |
|
|
951 |
|
|
|
|
|
Deutsche Telekom International Finance B.V., (Netherlands), |
|
|
|
|
| |
336 |
|
|
2.250%, 03/06/17 (e) |
|
|
343 |
|
| |
1,150 |
|
|
4.875%, 07/08/14 |
|
|
1,220 |
|
| |
232 |
|
|
4.875%, 03/06/42 (e) |
|
|
247 |
|
| |
400 |
|
|
6.000%, 07/08/19 |
|
|
486 |
|
| |
255 |
|
|
8.750%, 06/15/30 |
|
|
376 |
|
|
|
|
|
France Telecom S.A., (France), |
|
|
|
|
| |
560 |
|
|
2.750%, 09/14/16 |
|
|
584 |
|
| |
1,250 |
|
|
8.500%, 03/01/31 |
|
|
1,861 |
|
| |
2,100 |
|
|
GTE Corp., 6.840%, 04/15/18 |
|
|
2,607 |
|
| |
267 |
|
|
Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 |
|
|
270 |
|
| |
741 |
|
|
Qwest Corp., 6.750%, 12/01/21 |
|
|
874 |
|
|
|
|
|
Telecom Italia Capital S.A., (Luxembourg), |
|
|
|
|
| |
1,000 |
|
|
4.950%, 09/30/14 |
|
|
1,015 |
|
| |
1,616 |
|
|
5.250%, 11/15/13 |
|
|
1,654 |
|
| |
750 |
|
|
6.999%, 06/04/18 |
|
|
784 |
|
|
|
|
|
Telefonica Emisiones S.A.U., (Spain), |
|
|
|
|
| |
316 |
|
|
5.462%, 02/16/21 |
|
|
290 |
|
| |
880 |
|
|
5.855%, 02/04/13 |
|
|
891 |
|
| |
515 |
|
|
5.877%, 07/15/19 |
|
|
497 |
|
| |
300 |
|
|
6.421%, 06/20/16 |
|
|
307 |
|
|
|
|
|
Verizon Communications, Inc., |
|
|
|
|
| |
650 |
|
|
5.500%, 04/01/17 |
|
|
776 |
|
| |
443 |
|
|
5.550%, 02/15/16 |
|
|
513 |
|
| |
100 |
|
|
5.850%, 09/15/35 |
|
|
127 |
|
| |
175 |
|
|
6.400%, 02/15/38 |
|
|
235 |
|
| |
1,250 |
|
|
7.350%, 04/01/39 |
|
|
1,862 |
|
| |
1,475 |
|
|
Verizon Global Funding Corp., 7.750%, 12/01/30 |
|
|
2,182 |
|
| |
1,444 |
|
|
Verizon Pennsylvania, Inc., 8.350%, 12/15/30 |
|
|
1,952 |
|
| |
962 |
|
|
Verizon Virginia, Inc., 4.625%, 03/15/13 |
|
|
983 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 0.1% |
|
|
|
|
|
|
|
|
America Movil S.A.B. de C.V., (Mexico), |
|
|
|
|
| |
640 |
|
|
2.375%, 09/08/16 |
|
|
664 |
|
| |
592 |
|
|
3.125%, 07/16/22 |
|
|
607 |
|
| |
500 |
|
|
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
|
|
533 |
|
| |
475 |
|
|
Crown Castle Towers LLC, 3.214%, 08/15/15 (e) |
|
|
490 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — Continued |
|
|
|
|
|
Vodafone Group plc, (United Kingdom), |
|
|
|
|
| |
1,200 |
|
|
1.625%, 03/20/17 |
|
|
1,223 |
|
| |
1,130 |
|
|
5.000%, 09/15/15 |
|
|
1,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services |
|
|
42,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities — 2.0% |
|
|
|
|
|
|
|
|
Electric Utilities — 1.5% |
|
|
|
|
| |
222 |
|
|
Alabama Power Co., 6.125%, 05/15/38 |
|
|
305 |
|
|
|
|
|
Arizona Public Service Co., |
|
|
|
|
| |
296 |
|
|
4.500%, 04/01/42 |
|
|
329 |
|
| |
467 |
|
|
5.050%, 09/01/41 |
|
|
554 |
|
| |
380 |
|
|
Baltimore Gas & Electric Co., 2.800%, 08/15/22 |
|
|
386 |
|
|
|
|
|
Carolina Power & Light Co., |
|
|
|
|
| |
509 |
|
|
2.800%, 05/15/22 |
|
|
528 |
|
| |
273 |
|
|
4.100%, 05/15/42 |
|
|
290 |
|
| |
888 |
|
|
5.125%, 09/15/13 |
|
|
930 |
|
| |
305 |
|
|
5.300%, 01/15/19 |
|
|
369 |
|
| |
1,005 |
|
|
Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 |
|
|
1,268 |
|
| |
831 |
|
|
Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e) |
|
|
924 |
|
| |
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 |
|
|
812 |
|
| |
210 |
|
|
Consumers Energy Co., 2.850%, 05/15/22 |
|
|
222 |
|
| |
224 |
|
|
Detroit Edison Co. (The), 2.650%, 06/15/22 |
|
|
232 |
|
|
|
|
|
Duke Energy Carolinas LLC, |
|
|
|
|
| |
129 |
|
|
4.250%, 12/15/41 |
|
|
141 |
|
| |
650 |
|
|
5.100%, 04/15/18 |
|
|
777 |
|
| |
745 |
|
|
5.625%, 11/30/12 |
|
|
754 |
|
| |
1,310 |
|
|
Duke Energy Indiana, Inc., 6.350%, 08/15/38 |
|
|
1,834 |
|
| |
950 |
|
|
Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) |
|
|
943 |
|
|
|
|
|
Exelon Generation Co. LLC, |
|
|
|
|
| |
1,020 |
|
|
4.000%, 10/01/20 |
|
|
1,077 |
|
| |
229 |
|
|
5.750%, 10/01/41 |
|
|
254 |
|
|
|
|
|
Florida Power & Light Co., |
|
|
|
|
| |
410 |
|
|
5.950%, 10/01/33 |
|
|
554 |
|
| |
335 |
|
|
5.950%, 02/01/38 |
|
|
464 |
|
|
|
|
|
Florida Power Corp., |
|
|
|
|
| |
280 |
|
|
5.650%, 06/15/18 |
|
|
341 |
|
| |
220 |
|
|
6.400%, 06/15/38 |
|
|
309 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
43 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Electric Utilities — Continued |
|
|
|
|
|
|
|
|
Georgia Power Co., |
|
|
|
|
| |
200 |
|
|
5.950%, 02/01/39 |
|
|
266 |
|
| |
225 |
|
|
6.000%, 11/01/13 |
|
|
239 |
|
| |
229 |
|
|
Great Plains Energy, Inc., 4.850%, 06/01/21 |
|
|
253 |
|
| |
1,000 |
|
|
Hydro-Quebec, (Canada), 8.400%, 01/15/22 |
|
|
1,452 |
|
| |
100 |
|
|
Indiana Michigan Power Co., 7.000%, 03/15/19 |
|
|
125 |
|
| |
100 |
|
|
Jersey Central Power & Light Co., 7.350%, 02/01/19 |
|
|
128 |
|
| |
750 |
|
|
John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42 |
|
|
869 |
|
| |
1,400 |
|
|
Kansas City Power & Light Co., 5.300%, 10/01/41 |
|
|
1,614 |
|
| |
52 |
|
|
Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) |
|
|
52 |
|
| |
105 |
|
|
MidAmerican Energy Co., 5.300%, 03/15/18 |
|
|
126 |
|
|
|
|
|
Nevada Power Co., |
|
|
|
|
| |
55 |
|
|
5.375%, 09/15/40 |
|
|
68 |
|
| |
300 |
|
|
5.450%, 05/15/41 |
|
|
379 |
|
| |
720 |
|
|
6.500%, 08/01/18 |
|
|
902 |
|
|
|
|
|
NextEra Energy Capital Holdings, Inc., |
|
|
|
|
| |
255 |
|
|
5.350%, 06/15/13 |
|
|
264 |
|
| |
670 |
|
|
6.000%, 03/01/19 |
|
|
796 |
|
| |
265 |
|
|
7.875%, 12/15/15 |
|
|
318 |
|
| |
300 |
|
|
Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) |
|
|
340 |
|
|
|
|
|
Nisource Finance Corp., |
|
|
|
|
| |
370 |
|
|
3.850%, 02/15/23 |
|
|
383 |
|
| |
360 |
|
|
4.450%, 12/01/21 |
|
|
389 |
|
| |
1,256 |
|
|
5.800%, 02/01/42 |
|
|
1,492 |
|
| |
500 |
|
|
Northern States Power Co., 6.250%, 06/01/36 |
|
|
714 |
|
|
|
|
|
Ohio Power Co., |
|
|
|
|
| |
320 |
|
|
5.750%, 09/01/13 |
|
|
335 |
|
| |
310 |
|
|
6.050%, 05/01/18 |
|
|
375 |
|
|
|
|
|
Oncor Electric Delivery Co. LLC, |
|
|
|
|
| |
840 |
|
|
6.800%, 09/01/18 |
|
|
1,027 |
|
| |
100 |
|
|
7.000%, 09/01/22 |
|
|
125 |
|
|
|
|
|
Pacific Gas & Electric Co., |
|
|
|
|
| |
544 |
|
|
2.450%, 08/15/22 |
|
|
546 |
|
| |
71 |
|
|
3.250%, 09/15/21 |
|
|
76 |
|
| |
217 |
|
|
4.450%, 04/15/42 |
|
|
240 |
|
| |
390 |
|
|
4.500%, 12/15/41 |
|
|
437 |
|
| |
780 |
|
|
5.625%, 11/30/17 |
|
|
947 |
|
| |
160 |
|
|
8.250%, 10/15/18 |
|
|
221 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities — Continued |
|
|
|
|
|
|
|
|
PacifiCorp, |
|
|
|
|
| |
175 |
|
|
5.500%, 01/15/19 |
|
|
213 |
|
| |
150 |
|
|
5.650%, 07/15/18 |
|
|
184 |
|
| |
100 |
|
|
Peco Energy Co., 5.350%, 03/01/18 |
|
|
120 |
|
| |
1,050 |
|
|
Potomac Electric Power Co., 6.500%, 11/15/37 |
|
|
1,514 |
|
|
|
|
|
Progress Energy, Inc., |
|
|
|
|
| |
673 |
|
|
3.150%, 04/01/22 |
|
|
684 |
|
| |
300 |
|
|
6.050%, 03/15/14 |
|
|
323 |
|
| |
772 |
|
|
PSEG Power LLC, 5.125%, 04/15/20 |
|
|
888 |
|
|
|
|
|
Public Service Co. of Colorado, |
|
|
|
|
| |
90 |
|
|
3.200%, 11/15/20 |
|
|
99 |
|
| |
125 |
|
|
5.800%, 08/01/18 |
|
|
153 |
|
| |
2,450 |
|
|
Public Service Co. of Oklahoma, 6.625%, 11/15/37 |
|
|
3,156 |
|
|
|
|
|
Public Service Electric & Gas Co., |
|
|
|
|
| |
205 |
|
|
5.300%, 05/01/18 |
|
|
247 |
|
| |
277 |
|
|
5.375%, 11/01/39 |
|
|
364 |
|
| |
2,000 |
|
|
6.330%, 11/01/13 |
|
|
2,132 |
|
|
|
|
|
San Diego Gas & Electric Co., |
|
|
|
|
| |
379 |
|
|
3.950%, 11/15/41 |
|
|
413 |
|
| |
250 |
|
|
6.000%, 06/01/26 |
|
|
335 |
|
|
|
|
|
Southern California Edison Co., |
|
|
|
|
| |
160 |
|
|
4.150%, 09/15/14 |
|
|
171 |
|
| |
765 |
|
|
5.500%, 08/15/18 |
|
|
939 |
|
| |
391 |
|
|
5.750%, 03/15/14 |
|
|
423 |
|
| |
200 |
|
|
5.950%, 02/01/38 |
|
|
275 |
|
| |
1,140 |
|
|
6.050%, 03/15/39 |
|
|
1,598 |
|
|
|
|
|
Southern Co. (The), |
|
|
|
|
| |
363 |
|
|
1.950%, 09/01/16 |
|
|
375 |
|
| |
250 |
|
|
4.150%, 05/15/14 |
|
|
264 |
|
| |
202 |
|
|
Southern Power Co., 5.150%, 09/15/41 |
|
|
236 |
|
| |
570 |
|
|
Southwestern Public Service Co., 8.750%, 12/01/18 |
|
|
787 |
|
|
|
|
|
Spectra Energy Capital LLC, |
|
|
|
|
| |
1,605 |
|
|
5.500%, 03/01/14 |
|
|
1,704 |
|
| |
500 |
|
|
6.200%, 04/15/18 |
|
|
603 |
|
| |
400 |
|
|
8.000%, 10/01/19 |
|
|
519 |
|
|
|
|
|
Virginia Electric and Power Co., |
|
|
|
|
| |
1,005 |
|
|
5.100%, 11/30/12 |
|
|
1,016 |
|
| |
1,320 |
|
|
5.400%, 04/30/18 |
|
|
1,595 |
|
| |
615 |
|
|
5.950%, 09/15/17 |
|
|
761 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,407 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 44 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Gas Utilities — 0.3% |
|
|
|
|
|
AGL Capital Corp., |
|
|
|
|
| |
563 |
|
|
3.500%, 09/15/21 |
|
|
602 |
|
| |
345 |
|
|
4.450%, 04/15/13 |
|
|
352 |
|
| |
1,441 |
|
|
5.875%, 03/15/41 |
|
|
1,923 |
|
| |
1,243 |
|
|
6.375%, 07/15/16 |
|
|
1,450 |
|
| |
250 |
|
|
Atmos Energy Corp., 8.500%, 03/15/19 |
|
|
334 |
|
| |
298 |
|
|
Boston Gas Co., 4.487%, 02/15/42 (e) |
|
|
336 |
|
| |
325 |
|
|
CenterPoint Energy Resources Corp., 6.125%, 11/01/17 |
|
|
389 |
|
|
|
|
|
TransCanada PipeLines Ltd., (Canada), |
|
|
|
|
| |
975 |
|
|
4.000%, 06/15/13 |
|
|
1,001 |
|
| |
550 |
|
|
6.200%, 10/15/37 |
|
|
755 |
|
| |
250 |
|
|
6.500%, 08/15/18 |
|
|
312 |
|
| |
1,100 |
|
|
7.250%, 08/15/38 |
|
|
1,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,096 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 0.0% (g) |
|
| |
1,500 |
|
|
PPL Energy Supply LLC, 4.600%, 12/15/21 |
|
|
1,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities — 0.2% |
|
| |
235 |
|
|
Delmarva Power & Light Co., 4.000%, 06/01/42 |
|
|
253 |
|
|
|
|
|
Dominion Resources, Inc., |
|
|
|
|
| |
900 |
|
|
5.250%, 08/01/33 |
|
|
1,063 |
|
| |
300 |
|
|
7.000%, 06/15/38 |
|
|
437 |
|
| |
600 |
|
|
8.875%, 01/15/19 |
|
|
822 |
|
| |
375 |
|
|
PG&E Corp., 5.750%, 04/01/14 |
|
|
402 |
|
|
|
|
|
Sempra Energy, |
|
|
|
|
| |
1,145 |
|
|
6.150%, 06/15/18 |
|
|
1,411 |
|
| |
150 |
|
|
6.500%, 06/01/16 |
|
|
179 |
|
| |
850 |
|
|
8.900%, 11/15/13 |
|
|
929 |
|
| |
395 |
|
|
9.800%, 02/15/19 |
|
|
557 |
|
|
|
|
|
Wisconsin Electric Power Co., |
|
|
|
|
| |
21 |
|
|
2.950%, 09/15/21 |
|
|
22 |
|
| |
450 |
|
|
6.000%, 04/01/14 |
|
|
489 |
|
| |
265 |
|
|
6.250%, 12/01/15 |
|
|
310 |
|
| |
92 |
|
|
Xcel Energy, Inc., 4.800%, 09/15/41 |
|
|
108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Utilities — 0.0% (g) |
|
| |
1,100 |
|
|
American Water Capital Corp., 6.085%, 10/15/17 |
|
|
1,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities |
|
|
71,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds
(Cost $646,108) |
|
|
711,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Foreign Government Securities — 1.4% |
|
|
|
|
|
Israel Government AID Bond, (Israel), |
|
|
|
|
| |
6,000 |
|
|
Zero Coupon, 08/15/17 |
|
|
5,690 |
|
| |
20,000 |
|
|
Zero Coupon, 03/15/18 |
|
|
18,722 |
|
| |
5,651 |
|
|
Zero Coupon, 08/15/18 |
|
|
5,239 |
|
| |
1,500 |
|
|
Zero Coupon, 11/01/23 |
|
|
1,136 |
|
| |
1,500 |
|
|
Zero Coupon, 11/01/24 |
|
|
1,080 |
|
| |
600 |
|
|
Province of Manitoba, (Canada), 2.125%, 04/22/13 |
|
|
607 |
|
|
|
|
|
Province of Ontario, (Canada), |
|
|
|
|
| |
700 |
|
|
2.700%, 06/16/15 |
|
|
741 |
|
| |
2,200 |
|
|
2.950%, 02/05/15 |
|
|
2,328 |
|
| |
377 |
|
|
Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 |
|
|
557 |
|
| |
5,000 |
|
|
Tunisia Government AID Bond, (Tunisia), 1.686%, 07/16/19 |
|
|
4,987 |
|
|
|
|
|
United Mexican States, (Mexico), |
|
|
|
|
| |
120 |
|
|
4.750%, 03/08/44 |
|
|
135 |
|
| |
1,432 |
|
|
6.375%, 01/16/13 |
|
|
1,457 |
|
| |
856 |
|
|
6.625%, 03/03/15 |
|
|
967 |
|
| |
3,328 |
|
|
7.500%, 04/08/33 |
|
|
5,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities
(Cost $45,563) |
|
|
48,713 |
|
|
|
|
|
|
|
|
|
|
| |
Mortgage Pass-Through Securities — 11.5% |
|
|
|
|
|
Federal Home Loan Mortgage Corp., |
|
|
|
|
| |
51 |
|
|
ARM, 2.072%, 07/01/19 |
|
|
54 |
|
| |
48 |
|
|
ARM, 2.303%, 04/01/30 |
|
|
51 |
|
| |
187 |
|
|
ARM, 2.345%, 10/01/36 |
|
|
199 |
|
| |
763 |
|
|
ARM, 2.355%, 12/01/33 |
|
|
801 |
|
| |
553 |
|
|
ARM, 2.464%, 11/01/36 |
|
|
590 |
|
| |
560 |
|
|
ARM, 2.498%, 10/01/36 |
|
|
598 |
|
| |
422 |
|
|
ARM, 2.653%, 12/01/36 |
|
|
453 |
|
| |
426 |
|
|
ARM, 2.664%, 02/01/36 |
|
|
455 |
|
| |
563 |
|
|
ARM, 2.693%, 12/01/34 |
|
|
601 |
|
| |
1,263 |
|
|
ARM, 2.705%, 03/01/37 |
|
|
1,354 |
|
| |
280 |
|
|
ARM, 2.859%, 02/01/37 |
|
|
301 |
|
| |
1,305 |
|
|
ARM, 2.861%, 04/01/34 |
|
|
1,394 |
|
| |
822 |
|
|
ARM, 2.885%, 10/01/36 |
|
|
869 |
|
| |
1,032 |
|
|
ARM, 4.905%, 02/01/36 |
|
|
1,110 |
|
| |
1,235 |
|
|
ARM, 5.008%, 01/01/35 |
|
|
1,334 |
|
| |
879 |
|
|
ARM, 5.065%, 07/01/36 |
|
|
950 |
|
| |
273 |
|
|
ARM, 5.603%, 05/01/36 |
|
|
294 |
|
| |
1,213 |
|
|
ARM, 6.039%, 11/01/36 |
|
|
1,301 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|
|
|
|
| |
1,198 |
|
|
4.000%, 08/01/18 - 05/01/19 |
|
|
1,275 |
|
| |
227 |
|
|
4.500%, 08/01/18 |
|
|
250 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
45 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Mortgage Pass-Through Securities — Continued |
|
| |
627 |
|
|
5.000%, 12/01/18 |
|
|
681 |
|
| |
5,177 |
|
|
5.500%, 06/01/17 - 01/01/24 |
|
|
5,618 |
|
| |
76 |
|
|
6.000%, 04/01/18 |
|
|
83 |
|
| |
780 |
|
|
6.500%, 08/01/16 - 02/01/19 |
|
|
839 |
|
| |
50 |
|
|
7.000%, 01/01/17 - 04/01/17 |
|
|
52 |
|
| |
— |
(h) |
|
7.500%, 10/01/14 |
|
|
— |
(h) |
| |
3 |
|
|
8.500%, 11/01/15 |
|
|
4 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|
|
|
|
| |
2,847 |
|
|
3.500%, 01/01/32 |
|
|
3,039 |
|
| |
190 |
|
|
6.000%, 12/01/22 |
|
|
209 |
|
| |
516 |
|
|
6.500%, 11/01/22 |
|
|
578 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|
|
|
|
| |
3,724 |
|
|
4.000%, 10/01/33 - 09/01/35 |
|
|
3,998 |
|
| |
7,969 |
|
|
4.500%, 05/01/41 |
|
|
8,601 |
|
| |
8,100 |
|
|
5.000%, 09/01/34 - 08/01/40 |
|
|
8,883 |
|
| |
3,443 |
|
|
5.500%, 10/01/33 - 07/01/35 |
|
|
3,816 |
|
| |
608 |
|
|
6.000%, 12/01/33 - 01/01/34 |
|
|
681 |
|
| |
3,670 |
|
|
6.500%, 11/01/34 - 11/01/36 |
|
|
4,220 |
|
| |
827 |
|
|
7.000%, 07/01/32 - 10/01/36 |
|
|
959 |
|
| |
1,062 |
|
|
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 |
|
|
1,261 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, Other, |
|
|
|
|
| |
5,227 |
|
|
3.500%, 06/01/42 |
|
|
5,594 |
|
| |
4,986 |
|
|
4.000%, 06/01/42 |
|
|
5,483 |
|
| |
571 |
|
|
5.500%, 10/01/33 - 01/01/34 |
|
|
622 |
|
| |
1,590 |
|
|
6.000%, 02/01/33 |
|
|
1,762 |
|
| |
166 |
|
|
7.000%, 07/01/29 |
|
|
183 |
|
|
|
|
|
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|
|
|
|
| |
6 |
|
|
12.000%, 08/01/15 - 07/01/19 |
|
|
6 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
| |
18 |
|
|
ARM, 1.875%, 03/01/19 |
|
|
18 |
|
| |
221 |
|
|
ARM, 2.063%, 09/01/34 |
|
|
232 |
|
| |
445 |
|
|
ARM, 2.123%, 01/01/36 |
|
|
468 |
|
| |
1,102 |
|
|
ARM, 2.159%, 01/01/33 |
|
|
1,157 |
|
| |
337 |
|
|
ARM, 2.170%, 07/01/34 |
|
|
359 |
|
| |
2,027 |
|
|
ARM, 2.273%, 01/01/35 |
|
|
2,161 |
|
| |
447 |
|
|
ARM, 2.277%, 07/01/33 - 11/01/33 |
|
|
471 |
|
| |
825 |
|
|
ARM, 2.282%, 08/01/34 |
|
|
878 |
|
| |
1,783 |
|
|
ARM, 2.285%, 09/01/35 |
|
|
1,904 |
|
| |
649 |
|
|
ARM, 2.288%, 11/01/34 |
|
|
692 |
|
| |
782 |
|
|
ARM, 2.315%, 07/01/36 |
|
|
832 |
|
| |
1,031 |
|
|
ARM, 2.326%, 07/01/33 |
|
|
1,100 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
796 |
|
|
ARM, 2.335%, 05/01/34 |
|
|
850 |
|
| |
614 |
|
|
ARM, 2.362%, 04/01/35 |
|
|
654 |
|
| |
2,416 |
|
|
ARM, 2.369%, 04/01/35 |
|
|
2,571 |
|
| |
1,009 |
|
|
ARM, 2.381%, 05/01/35 |
|
|
1,076 |
|
| |
733 |
|
|
ARM, 2.388%, 10/01/34 |
|
|
782 |
|
| |
1,126 |
|
|
ARM, 2.397%, 10/01/34 |
|
|
1,200 |
|
| |
9 |
|
|
ARM, 2.451%, 01/01/19 |
|
|
9 |
|
| |
1,070 |
|
|
ARM, 2.453%, 11/01/34 |
|
|
1,136 |
|
| |
1,325 |
|
|
ARM, 2.466%, 06/01/35 |
|
|
1,410 |
|
| |
835 |
|
|
ARM, 2.495%, 01/01/35 |
|
|
886 |
|
| |
429 |
|
|
ARM, 2.505%, 10/01/34 |
|
|
460 |
|
| |
414 |
|
|
ARM, 2.529%, 09/01/34 |
|
|
442 |
|
| |
405 |
|
|
ARM, 2.537%, 04/01/34 |
|
|
426 |
|
| |
256 |
|
|
ARM, 2.565%, 01/01/34 |
|
|
273 |
|
| |
282 |
|
|
ARM, 2.569%, 09/01/35 |
|
|
301 |
|
| |
263 |
|
|
ARM, 2.593%, 02/01/35 |
|
|
280 |
|
| |
91 |
|
|
ARM, 2.637%, 04/01/34 |
|
|
97 |
|
| |
231 |
|
|
ARM, 2.720%, 05/01/35 |
|
|
245 |
|
| |
497 |
|
|
ARM, 2.760%, 08/01/34 |
|
|
524 |
|
| |
463 |
|
|
ARM, 2.781%, 06/01/36 |
|
|
499 |
|
| |
674 |
|
|
ARM, 2.816%, 09/01/33 |
|
|
724 |
|
| |
729 |
|
|
ARM, 2.846%, 10/01/36 |
|
|
777 |
|
| |
101 |
|
|
ARM, 2.987%, 09/01/27 |
|
|
107 |
|
| |
206 |
|
|
ARM, 3.319%, 02/01/34 |
|
|
220 |
|
| |
144 |
|
|
ARM, 3.375%, 01/01/36 |
|
|
155 |
|
| |
91 |
|
|
ARM, 3.850%, 03/01/29 |
|
|
97 |
|
| |
1,200 |
|
|
ARM, 4.938%, 07/01/33 |
|
|
1,279 |
|
| |
603 |
|
|
ARM, 5.236%, 01/01/38 |
|
|
647 |
|
| |
758 |
|
|
ARM, 5.625%, 01/01/23 |
|
|
831 |
|
|
|
|
|
Federal National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
| |
1,247 |
|
|
3.500%, 09/01/18 - 07/01/19 |
|
|
1,325 |
|
| |
12,392 |
|
|
4.000%, 07/01/18 - 12/01/18 |
|
|
13,357 |
|
| |
7,030 |
|
|
4.500%, 06/01/18 - 12/01/19 |
|
|
7,668 |
|
| |
1,715 |
|
|
5.000%, 12/01/16 - 08/01/24 |
|
|
1,868 |
|
| |
1,621 |
|
|
5.500%, 03/01/20 - 07/01/20 |
|
|
1,767 |
|
| |
8,999 |
|
|
6.000%, 06/01/16 - 01/01/24 |
|
|
9,889 |
|
| |
319 |
|
|
6.500%, 03/01/17 - 08/01/20 |
|
|
349 |
|
| |
383 |
|
|
7.000%, 03/01/17 - 09/01/17 |
|
|
413 |
|
| |
11 |
|
|
7.500%, 03/01/17 |
|
|
13 |
|
| |
4 |
|
|
8.000%, 11/01/12 - 11/01/15 |
|
|
4 |
|
|
|
|
|
Federal National Mortgage Association, 20 Year, Single Family, |
|
|
|
|
| |
1,993 |
|
|
3.500%, 08/01/32 |
|
|
2,128 |
|
| |
298 |
|
|
4.500%, 04/01/24 |
|
|
328 |
|
| |
1,829 |
|
|
6.500%, 05/01/22 - 04/01/25 |
|
|
2,059 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 46 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
Mortgage Pass-Through Securities — Continued |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, FHA/VA, |
|
|
|
|
| |
121 |
|
|
6.000%, 09/01/33 |
|
|
136 |
|
| |
1,935 |
|
|
6.500%, 03/01/29 - 08/01/39 |
|
|
2,228 |
|
| |
47 |
|
|
7.000%, 02/01/33 |
|
|
57 |
|
| |
59 |
|
|
8.000%, 06/01/28 |
|
|
72 |
|
| |
41 |
|
|
9.000%, 05/01/18 - 12/01/25 |
|
|
45 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
| |
935 |
|
|
4.500%, 11/01/33 - 02/01/35 |
|
|
1,016 |
|
| |
2,535 |
|
|
5.000%, 07/01/33 - 09/01/35 |
|
|
2,854 |
|
| |
4,061 |
|
|
5.500%, 09/01/31 - 02/01/38 |
|
|
4,528 |
|
| |
4,882 |
|
|
6.000%, 12/01/28 - 09/01/37 |
|
|
5,469 |
|
| |
1,881 |
|
|
6.500%, 11/01/29 - 08/01/31 |
|
|
2,210 |
|
| |
1,953 |
|
|
7.000%, 01/01/24 - 01/01/39 |
|
|
2,262 |
|
| |
912 |
|
|
7.500%, 08/01/36 - 11/01/37 |
|
|
1,108 |
|
| |
742 |
|
|
8.000%, 03/01/27 - 11/01/28 |
|
|
912 |
|
| |
1 |
|
|
9.000%, 04/01/26 |
|
|
1 |
|
| |
16 |
|
|
9.500%, 07/01/28 |
|
|
18 |
|
| |
6 |
|
|
12.500%, 01/01/16 |
|
|
6 |
|
|
|
|
|
Federal National Mortgage Association, Other, |
|
|
|
|
| |
1,488 |
|
|
VAR, 0.986%, 01/01/19 |
|
|
1,494 |
|
| |
992 |
|
|
VAR, 1.046%, 03/01/22 |
|
|
1,009 |
|
| |
2,461 |
|
|
VAR, 6.070%, 11/01/18 |
|
|
2,667 |
|
| |
2,000 |
|
|
2.004%, 07/01/19 |
|
|
2,040 |
|
| |
4,061 |
|
|
2.030%, 08/01/19 |
|
|
4,168 |
|
| |
2,000 |
|
|
2.211%, 04/01/19 |
|
|
2,081 |
|
| |
5,836 |
|
|
2.490%, 10/01/17 |
|
|
6,184 |
|
| |
3,000 |
|
|
2.670%, 07/01/22 |
|
|
3,114 |
|
| |
7,000 |
|
|
2.690%, 10/01/17 |
|
|
7,466 |
|
| |
3,228 |
|
|
2.841%, 03/01/22 |
|
|
3,353 |
|
| |
3,884 |
|
|
2.970%, 11/01/18 |
|
|
4,191 |
|
| |
1,494 |
|
|
3.038%, 05/01/22 |
|
|
1,595 |
|
| |
7,243 |
|
|
3.070%, 01/01/22 |
|
|
7,809 |
|
| |
4,500 |
|
|
3.100%, 02/01/22 |
|
|
4,828 |
|
| |
3,893 |
|
|
3.224%, 01/01/22 - 05/01/22 |
|
|
4,209 |
|
| |
10,000 |
|
|
3.230%, 11/01/20 |
|
|
10,909 |
|
| |
1,528 |
|
|
3.255%, 12/01/21 |
|
|
1,658 |
|
| |
2,823 |
|
|
3.265%, 02/01/22 |
|
|
3,062 |
|
| |
2,000 |
|
|
3.290%, 10/01/20 |
|
|
2,189 |
|
| |
3,981 |
|
|
3.306%, 02/01/22 |
|
|
4,324 |
|
| |
2,279 |
|
|
3.368%, 01/01/22 |
|
|
2,488 |
|
| |
2,000 |
|
|
3.461%, 11/01/20 |
|
|
2,195 |
|
| |
2,000 |
|
|
3.503%, 08/01/17 |
|
|
2,184 |
|
| |
1,984 |
|
|
3.520%, 01/01/18 |
|
|
2,184 |
|
| |
1,491 |
|
|
3.544%, 09/01/20 |
|
|
1,644 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
2,926 |
|
|
3.600%, 09/01/20 |
|
|
3,255 |
|
| |
7,664 |
|
|
3.621%, 09/01/20 |
|
|
8,490 |
|
| |
4,946 |
|
|
3.658%, 10/01/20 |
|
|
5,490 |
|
| |
1,943 |
|
|
3.740%, 07/01/20 |
|
|
2,175 |
|
| |
994 |
|
|
3.761%, 01/01/25 |
|
|
1,100 |
|
| |
3,000 |
|
|
3.770%, 09/01/21 |
|
|
3,387 |
|
| |
3,000 |
|
|
3.802%, 09/01/20 |
|
|
3,351 |
|
| |
2,961 |
|
|
3.906%, 09/01/21 |
|
|
3,336 |
|
| |
6,904 |
|
|
3.916%, 09/01/21 |
|
|
7,785 |
|
| |
1,998 |
|
|
3.930%, 07/01/20 |
|
|
2,263 |
|
| |
4,835 |
|
|
3.947%, 06/01/17 |
|
|
5,334 |
|
| |
4,750 |
|
|
3.980%, 11/01/16 |
|
|
5,041 |
|
| |
1,540 |
|
|
3.999%, 01/01/21 |
|
|
1,742 |
|
| |
4,658 |
|
|
4.000%, 11/01/33 - 07/01/42 |
|
|
5,038 |
|
| |
5,000 |
|
|
4.019%, 09/01/21 |
|
|
5,673 |
|
| |
2,000 |
|
|
4.061%, 01/01/21 |
|
|
2,272 |
|
| |
7,956 |
|
|
4.081%, 07/01/20 - 07/01/21 |
|
|
9,046 |
|
| |
1,458 |
|
|
4.130%, 07/01/20 |
|
|
1,665 |
|
| |
2,380 |
|
|
4.250%, 04/01/21 |
|
|
2,754 |
|
| |
1,703 |
|
|
4.257%, 04/01/20 |
|
|
1,941 |
|
| |
4,482 |
|
|
4.267%, 11/01/19 - 08/01/21 |
|
|
5,122 |
|
| |
2,096 |
|
|
4.290%, 06/01/20 |
|
|
2,411 |
|
| |
1,494 |
|
|
4.350%, 04/01/20 |
|
|
1,723 |
|
| |
1,471 |
|
|
4.380%, 01/01/21 |
|
|
1,704 |
|
| |
1,927 |
|
|
4.381%, 11/01/19 |
|
|
2,217 |
|
| |
2,000 |
|
|
4.390%, 05/01/21 |
|
|
2,322 |
|
| |
2,000 |
|
|
4.391%, 04/01/21 |
|
|
2,314 |
|
| |
2,000 |
|
|
4.402%, 07/01/21 |
|
|
2,312 |
|
| |
2,459 |
|
|
4.443%, 08/01/20 - 04/01/21 |
|
|
2,790 |
|
| |
1,473 |
|
|
4.444%, 01/01/21 |
|
|
1,709 |
|
| |
1,969 |
|
|
4.474%, 04/01/21 |
|
|
2,279 |
|
| |
5,000 |
|
|
4.484%, 06/01/21 |
|
|
5,811 |
|
| |
958 |
|
|
4.500%, 03/01/20 |
|
|
1,100 |
|
| |
973 |
|
|
4.514%, 04/01/20 |
|
|
1,126 |
|
| |
1,947 |
|
|
4.515%, 02/01/20 |
|
|
2,250 |
|
| |
7,790 |
|
|
4.530%, 12/01/19 |
|
|
9,039 |
|
| |
4,354 |
|
|
4.540%, 01/01/20 |
|
|
5,052 |
|
| |
2,000 |
|
|
4.546%, 02/01/20 |
|
|
2,312 |
|
| |
2,950 |
|
|
4.629%, 02/01/21 |
|
|
3,429 |
|
| |
3,935 |
|
|
4.794%, 01/01/21 |
|
|
4,610 |
|
| |
685 |
|
|
5.500%, 03/01/17 - 09/01/33 |
|
|
741 |
|
| |
2,984 |
|
|
6.000%, 09/01/37 - 06/01/39 |
|
|
3,197 |
|
| |
1,039 |
|
|
6.500%, 01/01/36 - 07/01/36 |
|
|
1,168 |
|
| |
110 |
|
|
7.000%, 10/01/46 |
|
|
124 |
|
| |
101 |
|
|
10.890%, 04/15/19 |
|
|
111 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
47 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Mortgage Pass-Through Securities — Continued |
|
|
|
|
|
Government National Mortgage Association II, 30 Year, Single Family, |
|
|
|
|
| |
494 |
|
|
4.500%, 08/20/33 |
|
|
552 |
|
| |
8,141 |
|
|
6.000%, 09/20/38 |
|
|
9,182 |
|
| |
81 |
|
|
7.500%, 02/20/28 - 09/20/28 |
|
|
98 |
|
| |
130 |
|
|
8.000%, 12/20/25 - 09/20/28 |
|
|
159 |
|
| |
42 |
|
|
8.500%, 05/20/25 |
|
|
52 |
|
|
|
|
|
Government National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
| |
100 |
|
|
6.500%, 06/15/17 |
|
|
108 |
|
| |
111 |
|
|
8.000%, 01/15/16 |
|
|
116 |
|
|
|
|
|
Government National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
| |
401 |
|
|
6.500%, 03/15/28 - 04/15/33 |
|
|
474 |
|
| |
299 |
|
|
7.000%, 02/15/33 - 06/15/33 |
|
|
354 |
|
| |
90 |
|
|
7.500%, 11/15/22 - 11/15/31 |
|
|
102 |
|
| |
21 |
|
|
8.000%, 09/15/22 - 08/15/28 |
|
|
23 |
|
| |
4 |
|
|
9.000%, 12/15/16 |
|
|
5 |
|
| |
1,099 |
|
|
9.500%, 10/15/24 |
|
|
1,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Through Securities
(Cost $385,976) |
|
|
414,381 |
|
|
|
|
|
|
|
|
|
|
| |
Municipal Bonds — 0.2% (t) |
|
|
|
|
|
California — 0.0% (g) |
|
| |
350 |
|
|
State of California, Build America Bonds, GO, 7.300%, 10/01/39 |
|
|
460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Illinois — 0.0% (g) |
|
|
|
|
| |
140 |
|
|
State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 |
|
|
136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New York — 0.1% |
|
| |
350 |
|
|
New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 |
|
|
451 |
|
| |
1,815 |
|
|
Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40 |
|
|
2,317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio — 0.1% |
|
| |
1,300 |
|
|
American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 |
|
|
1,797 |
|
| |
1,563 |
|
|
Ohio State University (The), Series A, Rev., 4.800%, 06/01/11 |
|
|
1,779 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,576 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds
(Cost $5,599) |
|
|
6,940 |
|
|
|
|
|
|
|
|
|
|
| |
Supranational — 0.1% |
|
| |
3,000 |
|
|
African Development Bank, 8.800%, 09/01/19 |
|
|
4,035 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corp. Andina de Fomento, |
|
|
|
|
| |
641 |
|
|
3.750%, 01/15/16 |
|
|
671 |
|
| |
397 |
|
|
5.200%, 05/21/13 |
|
|
409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Supranational
(Cost $5,120) |
|
|
5,115 |
|
|
|
|
|
|
|
|
|
|
| |
U.S. Government Agency Securities — 1.5% |
|
| |
1,000 |
|
|
Federal Farm Credit Banks, 5.125%, 11/15/18 |
|
|
1,235 |
|
| |
1,500 |
|
|
Federal Home Loan Bank, 5.500%, 07/15/36 |
|
|
2,101 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
| |
6,000 |
|
|
Zero Coupon, 06/01/17 |
|
|
5,726 |
|
| |
1,000 |
|
|
5.000%, 05/11/17 |
|
|
1,203 |
|
|
|
|
|
Financing Corp. Fico, |
|
|
|
|
| |
3,500 |
|
|
Zero Coupon, 05/11/18 |
|
|
3,239 |
|
| |
2,000 |
|
|
Zero Coupon, 04/05/19 |
|
|
1,808 |
|
| |
1,000 |
|
|
Zero Coupon, 09/26/19 |
|
|
892 |
|
|
|
|
|
Government Trust Certificate, |
|
|
|
|
| |
4,000 |
|
|
Zero Coupon, 10/01/15 |
|
|
3,849 |
|
| |
5,000 |
|
|
Zero Coupon, 04/01/16 |
|
|
4,773 |
|
| |
13,319 |
|
|
Zero Coupon, 10/01/19 |
|
|
11,580 |
|
|
|
|
|
Residual Funding Corp. STRIPS, |
|
|
|
|
| |
2,000 |
|
|
Zero Coupon, 10/15/19 |
|
|
1,818 |
|
| |
9,900 |
|
|
Zero Coupon, 07/15/20 |
|
|
8,759 |
|
| |
4,800 |
|
|
Zero Coupon, 10/15/20 |
|
|
4,206 |
|
|
|
|
|
Tennessee Valley Authority, |
|
|
|
|
| |
300 |
|
|
4.625%, 09/15/60 |
|
|
374 |
|
| |
700 |
|
|
5.880%, 04/01/36 |
|
|
996 |
|
| |
2,000 |
|
|
Tennessee Valley Authority Generic STRIPS, Zero Coupon, 05/01/19 |
|
|
1,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Securities
(Cost $51,030) |
|
|
54,347 |
|
|
|
|
|
|
|
|
|
|
| |
U.S. Treasury Obligations — 24.6% |
|
|
|
|
|
U.S. Treasury Bonds, |
|
|
|
|
| |
7,075 |
|
|
4.500%, 02/15/36 |
|
|
9,654 |
|
| |
300 |
|
|
4.500%, 08/15/39 |
|
|
414 |
|
| |
1,100 |
|
|
4.750%, 02/15/37 |
|
|
1,559 |
|
| |
1,250 |
|
|
5.375%, 02/15/31 |
|
|
1,841 |
|
| |
750 |
|
|
6.125%, 11/15/27 |
|
|
1,145 |
|
| |
300 |
|
|
6.125%, 08/15/29 |
|
|
468 |
|
| |
1,046 |
|
|
6.250%, 08/15/23 |
|
|
1,530 |
|
| |
900 |
|
|
6.250%, 05/15/30 |
|
|
1,435 |
|
| |
400 |
|
|
6.625%, 02/15/27 |
|
|
631 |
|
| |
4,000 |
|
|
7.500%, 11/15/16 |
|
|
5,166 |
|
| |
1,881 |
|
|
7.875%, 02/15/21 |
|
|
2,886 |
|
| |
864 |
|
|
8.125%, 05/15/21 |
|
|
1,352 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 48 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
U.S. Treasury Obligations — Continued |
|
| |
2,125 |
|
|
8.500%, 02/15/20 |
|
|
3,264 |
|
| |
1,500 |
|
|
8.750%, 05/15/20 |
|
|
2,351 |
|
| |
6,675 |
|
|
8.750%, 08/15/20 |
|
|
10,548 |
|
| |
21,585 |
|
|
8.875%, 08/15/17 |
|
|
30,298 |
|
|
|
|
|
U.S. Treasury Inflation Indexed Bonds, |
|
|
|
|
| |
300 |
|
|
2.500%, 01/15/29 |
|
|
456 |
|
| |
799 |
|
|
3.625%, 04/15/28 (m) |
|
|
1,787 |
|
|
|
|
|
U.S. Treasury Inflation Indexed Notes, |
|
|
|
|
| |
1,000 |
|
|
0.500%, 04/15/15 |
|
|
1,111 |
|
| |
1,500 |
|
|
0.625%, 04/15/13 |
|
|
1,644 |
|
| |
1,000 |
|
|
1.125%, 01/15/21 |
|
|
1,226 |
|
| |
630 |
|
|
1.375%, 07/15/18 |
|
|
780 |
|
| |
2,000 |
|
|
2.000%, 01/15/14 |
|
|
2,593 |
|
|
|
|
|
U.S. Treasury Notes, |
|
|
|
|
| |
4,000 |
|
|
0.375%, 10/31/12 |
|
|
4,002 |
|
| |
4,000 |
|
|
1.375%, 01/15/13 |
|
|
4,018 |
|
| |
11,445 |
|
|
1.375%, 11/30/18 |
|
|
11,807 |
|
| |
2,150 |
|
|
1.500%, 08/31/18 |
|
|
2,237 |
|
| |
2,000 |
|
|
1.750%, 04/15/13 |
|
|
2,019 |
|
| |
31,000 |
|
|
1.750%, 10/31/18 (m) |
|
|
32,700 |
|
| |
2,000 |
|
|
1.875%, 04/30/14 |
|
|
2,055 |
|
| |
12,245 |
|
|
2.125%, 12/31/15 |
|
|
12,964 |
|
| |
21,200 |
|
|
2.625%, 12/31/14 |
|
|
22,373 |
|
| |
1,000 |
|
|
2.625%, 02/29/16 |
|
|
1,079 |
|
| |
4,575 |
|
|
2.625%, 04/30/16 |
|
|
4,947 |
|
| |
9,300 |
|
|
2.625%, 01/31/18 |
|
|
10,257 |
|
| |
700 |
|
|
2.625%, 08/15/20 |
|
|
776 |
|
| |
19,485 |
|
|
2.750%, 05/31/17 |
|
|
21,482 |
|
| |
7,500 |
|
|
2.750%, 12/31/17 |
|
|
8,314 |
|
| |
2,500 |
|
|
2.875%, 01/31/13 |
|
|
2,528 |
|
| |
1,000 |
|
|
3.125%, 04/30/13 |
|
|
1,019 |
|
| |
8,000 |
|
|
3.125%, 10/31/16 |
|
|
8,878 |
|
| |
6,015 |
|
|
3.125%, 04/30/17 |
|
|
6,727 |
|
| |
10,933 |
|
|
3.125%, 05/15/19 |
|
|
12,498 |
|
| |
14,950 |
|
|
3.250%, 12/31/16 |
|
|
16,712 |
|
| |
12,300 |
|
|
3.250%, 03/31/17 |
|
|
13,812 |
|
| |
900 |
|
|
3.500%, 02/15/18 |
|
|
1,035 |
|
| |
4,000 |
|
|
3.875%, 02/15/13 |
|
|
4,066 |
|
| |
5,000 |
|
|
4.000%, 11/15/12 |
|
|
5,038 |
|
| |
10,000 |
|
|
4.000%, 02/15/15 |
|
|
10,910 |
|
| |
3,725 |
|
|
4.500%, 11/15/15 |
|
|
4,218 |
|
| |
10,000 |
|
|
4.750%, 08/15/17 |
|
|
12,023 |
|
|
|
|
|
U.S. Treasury STRIPS, |
|
|
|
|
| |
14,400 |
|
|
02/15/14 (m) |
|
|
14,358 |
|
| |
7,265 |
|
|
08/15/14 (m) |
|
|
7,234 |
|
| |
23,253 |
|
|
11/15/14 (m) |
|
|
23,129 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
16,930 |
|
|
02/15/15 (m) |
|
|
16,820 |
|
| |
20,680 |
|
|
02/15/15 |
|
|
20,547 |
|
| |
3,626 |
|
|
05/15/15 |
|
|
3,597 |
|
| |
3,253 |
|
|
08/15/15 |
|
|
3,221 |
|
| |
28,397 |
|
|
11/15/15 |
|
|
28,062 |
|
| |
5,445 |
|
|
11/15/15 |
|
|
5,397 |
|
| |
51,751 |
|
|
02/15/16 |
|
|
51,057 |
|
| |
13,325 |
|
|
05/15/16 |
|
|
13,120 |
|
| |
1,000 |
|
|
05/15/16 |
|
|
985 |
|
| |
5,181 |
|
|
08/15/16 |
|
|
5,085 |
|
| |
15,857 |
|
|
11/15/16 |
|
|
15,512 |
|
| |
20,229 |
|
|
02/15/17 |
|
|
19,724 |
|
| |
21,411 |
|
|
08/15/17 |
|
|
20,711 |
|
| |
19,389 |
|
|
11/15/17 |
|
|
18,686 |
|
| |
2,000 |
|
|
02/15/18 |
|
|
1,918 |
|
| |
3,400 |
|
|
05/15/18 |
|
|
3,246 |
|
| |
16,241 |
|
|
08/15/18 |
|
|
15,436 |
|
| |
6,982 |
|
|
02/15/19 |
|
|
6,563 |
|
| |
9,595 |
|
|
05/15/19 |
|
|
8,972 |
|
| |
22,210 |
|
|
08/15/19 |
|
|
20,643 |
|
| |
1,250 |
|
|
02/15/20 |
|
|
1,146 |
|
| |
66,702 |
|
|
05/15/20 (m) |
|
|
60,669 |
|
| |
250 |
|
|
05/15/20 |
|
|
228 |
|
| |
36,775 |
|
|
08/15/20 (m) |
|
|
33,205 |
|
| |
655 |
|
|
11/15/20 |
|
|
587 |
|
| |
345 |
|
|
02/15/21 |
|
|
307 |
|
| |
17,000 |
|
|
05/15/21 |
|
|
14,978 |
|
| |
3,750 |
|
|
08/15/21 |
|
|
3,281 |
|
| |
4,925 |
|
|
11/15/21 |
|
|
4,273 |
|
| |
1,278 |
|
|
02/15/22 |
|
|
1,099 |
|
| |
5,487 |
|
|
02/15/23 |
|
|
4,550 |
|
| |
1,500 |
|
|
05/15/23 |
|
|
1,234 |
|
| |
200 |
|
|
05/15/24 |
|
|
158 |
|
| |
600 |
|
|
08/15/24 |
|
|
471 |
|
| |
1,400 |
|
|
11/15/24 |
|
|
1,088 |
|
| |
1,000 |
|
|
02/15/26 |
|
|
741 |
|
| |
1,500 |
|
|
05/15/26 |
|
|
1,101 |
|
| |
3,400 |
|
|
08/15/26 |
|
|
2,473 |
|
| |
28,150 |
|
|
11/15/26 |
|
|
20,279 |
|
| |
28,150 |
|
|
02/15/27 |
|
|
20,095 |
|
| |
3,550 |
|
|
05/15/27 |
|
|
2,512 |
|
| |
5,000 |
|
|
08/15/27 |
|
|
3,507 |
|
| |
800 |
|
|
11/15/27 |
|
|
556 |
|
| |
7,050 |
|
|
02/15/28 |
|
|
4,858 |
|
| |
1,600 |
|
|
05/15/28 |
|
|
1,093 |
|
| |
3,000 |
|
|
08/15/28 |
|
|
2,031 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
49 |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
| |
U.S. Treasury Obligations — Continued |
|
| |
2,500 |
|
|
11/15/28 |
|
|
1,678 |
|
| |
925 |
|
|
02/15/29 |
|
|
615 |
|
| |
1,600 |
|
|
08/15/29 |
|
|
1,047 |
|
| |
1,650 |
|
|
11/15/29 |
|
|
1,071 |
|
| |
21,300 |
|
|
02/15/30 |
|
|
13,710 |
|
| |
2,000 |
|
|
05/15/30 |
|
|
1,277 |
|
| |
8,200 |
|
|
08/15/30 |
|
|
5,194 |
|
| |
7,425 |
|
|
11/15/30 |
|
|
4,665 |
|
| |
600 |
|
|
02/15/31 |
|
|
374 |
|
| |
2,000 |
|
|
05/15/31 |
|
|
1,235 |
|
| |
1,500 |
|
|
08/15/31 |
|
|
918 |
|
| |
3,000 |
|
|
11/15/31 |
|
|
1,820 |
|
| |
750 |
|
|
02/15/32 |
|
|
451 |
|
| |
1,000 |
|
|
05/15/32 |
|
|
596 |
|
| |
350 |
|
|
08/15/32 |
|
|
207 |
|
| |
6,140 |
|
|
11/15/32 |
|
|
3,598 |
|
| |
11,150 |
|
|
05/15/33 |
|
|
6,418 |
|
| |
3,050 |
|
|
08/15/33 |
|
|
1,740 |
|
| |
3,500 |
|
|
11/15/33 |
|
|
1,980 |
|
| |
4,000 |
|
|
02/15/34 |
|
|
2,241 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
| |
|
|
|
|
|
|
|
|
|
| |
2,800 |
|
|
05/15/34 |
|
|
1,556 |
|
| |
1,650 |
|
|
08/15/34 |
|
|
908 |
|
| |
2,850 |
|
|
02/15/35 |
|
|
1,540 |
|
| |
100 |
|
|
08/15/35 |
|
|
53 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(Cost $789,960) |
|
|
890,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
|
|
|
|
| |
Short-Term Investment — 1.5% |
|
|
|
|
|
Investment Company — 1.5% |
|
| |
55,995 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120% (b) (l)
(Cost $55,995) |
|
|
55,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 99.7%
(Cost $3,298,821) |
|
|
3,604,936 |
|
|
|
|
|
Other Assets in Excess of
Liabilities — 0.3% |
|
|
11,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — 100.0% |
|
$ |
3,616,136 |
|
|
|
|
|
|
|
|
|
|
Percentages indicated are based on net assets.
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 50 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — 98.3% |
|
|
|
|
|
Consumer Discretionary — 10.8% |
|
|
|
|
|
Auto Components — 0.2% |
|
| |
3 |
|
|
BorgWarner, Inc. (a) |
|
|
188 |
|
| |
6 |
|
|
Goodyear Tire & Rubber Co. (The) (a) |
|
|
71 |
|
| |
16 |
|
|
Johnson Controls, Inc. |
|
|
440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles — 0.3% |
|
| |
91 |
|
|
Ford Motor Co. |
|
|
848 |
|
| |
6 |
|
|
Harley-Davidson, Inc. |
|
|
231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributors — 0.1% |
|
| |
4 |
|
|
Genuine Parts Co. |
|
|
234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services — 0.1% |
|
|
|
|
| |
3 |
|
|
Apollo Group, Inc., Class A (a) |
|
|
68 |
|
| |
1 |
|
|
DeVry, Inc. |
|
|
27 |
|
| |
7 |
|
|
H&R Block, Inc. |
|
|
116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 1.8% |
|
| |
11 |
|
|
Carnival Corp. |
|
|
374 |
|
| |
1 |
|
|
Chipotle Mexican Grill, Inc. (a) |
|
|
217 |
|
| |
3 |
|
|
Darden Restaurants, Inc. |
|
|
159 |
|
| |
7 |
|
|
International Game Technology |
|
|
86 |
|
| |
6 |
|
|
Marriott International, Inc., Class A |
|
|
237 |
|
| |
24 |
|
|
McDonald’s Corp. |
|
|
2,163 |
|
| |
18 |
|
|
Starbucks Corp. |
|
|
895 |
|
| |
5 |
|
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
|
259 |
|
| |
3 |
|
|
Wyndham Worldwide Corp. |
|
|
181 |
|
| |
2 |
|
|
Wynn Resorts Ltd. |
|
|
195 |
|
| |
11 |
|
|
Yum! Brands, Inc. |
|
|
698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 0.3% |
|
|
|
|
| |
7 |
|
|
D.R. Horton, Inc. |
|
|
126 |
|
| |
2 |
|
|
Harman International Industries, Inc. |
|
|
77 |
|
| |
3 |
|
|
Leggett & Platt, Inc. |
|
|
79 |
|
| |
4 |
|
|
Lennar Corp., Class A |
|
|
125 |
|
| |
7 |
|
|
Newell Rubbermaid, Inc. |
|
|
124 |
|
| |
8 |
|
|
PulteGroup, Inc. (a) |
|
|
110 |
|
| |
2 |
|
|
Whirlpool Corp. |
|
|
139 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail — 1.0% |
|
| |
9 |
|
|
Amazon.com, Inc. (a) |
|
|
2,128 |
|
| |
2 |
|
|
Expedia, Inc. |
|
|
110 |
|
| |
1 |
|
|
Netflix, Inc. (a) |
|
|
79 |
|
| |
1 |
|
|
priceline.com, Inc. (a) |
|
|
716 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail — Continued |
|
|
|
|
| |
2 |
|
|
TripAdvisor, Inc. (a) |
|
|
75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products — 0.1% |
|
|
|
|
| |
3 |
|
|
Hasbro, Inc. |
|
|
104 |
|
| |
8 |
|
|
Mattel, Inc. |
|
|
285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media — 3.4% |
|
| |
5 |
|
|
Cablevision Systems Corp., Class A |
|
|
76 |
|
| |
15 |
|
|
CBS Corp. (Non-Voting), Class B |
|
|
560 |
|
| |
64 |
|
|
Comcast Corp., Class A |
|
|
2,150 |
|
| |
16 |
|
|
DIRECTV (a) |
|
|
811 |
|
| |
6 |
|
|
Discovery Communications, Inc., Class A (a) |
|
|
333 |
|
| |
6 |
|
|
Gannett Co., Inc. |
|
|
84 |
|
| |
11 |
|
|
Interpublic Group of Cos., Inc. (The) |
|
|
112 |
|
| |
7 |
|
|
McGraw-Hill Cos., Inc. (The) |
|
|
341 |
|
| |
50 |
|
|
News Corp., Class A |
|
|
1,172 |
|
| |
6 |
|
|
Omnicom Group, Inc. |
|
|
333 |
|
| |
2 |
|
|
Scripps Networks Interactive, Inc., Class A |
|
|
130 |
|
| |
7 |
|
|
Time Warner Cable, Inc. |
|
|
660 |
|
| |
23 |
|
|
Time Warner, Inc. |
|
|
949 |
|
| |
13 |
|
|
Viacom, Inc., Class B |
|
|
628 |
|
| |
43 |
|
|
Walt Disney Co. (The) |
|
|
2,103 |
|
| |
— |
(h) |
|
Washington Post Co. (The), Class B |
|
|
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 0.8% |
|
| |
2 |
|
|
Big Lots, Inc. (a) |
|
|
46 |
|
| |
6 |
|
|
Dollar Tree, Inc. (a) |
|
|
266 |
|
| |
3 |
|
|
Family Dollar Stores, Inc. |
|
|
176 |
|
| |
3 |
|
|
J.C. Penney Co., Inc. |
|
|
91 |
|
| |
6 |
|
|
Kohl’s Corp. |
|
|
298 |
|
| |
10 |
|
|
Macy’s, Inc. |
|
|
396 |
|
| |
4 |
|
|
Nordstrom, Inc. |
|
|
220 |
|
| |
1 |
|
|
Sears Holdings Corp. (a) |
|
|
48 |
|
| |
16 |
|
|
Target Corp. |
|
|
1,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 2.1% |
|
| |
2 |
|
|
Abercrombie & Fitch Co., Class A |
|
|
71 |
|
| |
1 |
|
|
AutoNation, Inc. (a) |
|
|
40 |
|
| |
1 |
|
|
AutoZone, Inc. (a) |
|
|
229 |
|
| |
6 |
|
|
Bed Bath & Beyond, Inc. (a) |
|
|
371 |
|
| |
7 |
|
|
Best Buy Co., Inc. |
|
|
117 |
|
| |
5 |
|
|
CarMax, Inc. (a) |
|
|
166 |
|
| |
3 |
|
|
GameStop Corp., Class A |
|
|
59 |
|
| |
8 |
|
|
Gap, Inc. (The) |
|
|
283 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
51 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Specialty Retail — Continued |
|
|
|
|
| |
36 |
|
|
Home Depot, Inc. (The) |
|
|
2,066 |
|
| |
6 |
|
|
Limited Brands, Inc. |
|
|
279 |
|
| |
28 |
|
|
Lowe’s Cos., Inc. |
|
|
797 |
|
| |
3 |
|
|
O’Reilly Automotive, Inc. (a) |
|
|
240 |
|
| |
5 |
|
|
Ross Stores, Inc. |
|
|
371 |
|
| |
16 |
|
|
Staples, Inc. |
|
|
179 |
|
| |
3 |
|
|
Tiffany & Co. |
|
|
187 |
|
| |
18 |
|
|
TJX Cos., Inc. |
|
|
807 |
|
| |
3 |
|
|
Urban Outfitters, Inc. (a) |
|
|
100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods — 0.6% |
|
| |
7 |
|
|
Coach, Inc. |
|
|
397 |
|
| |
1 |
|
|
Fossil, Inc. (a) |
|
|
105 |
|
| |
9 |
|
|
NIKE, Inc., Class B |
|
|
849 |
|
| |
2 |
|
|
Ralph Lauren Corp. |
|
|
245 |
|
| |
2 |
|
|
V.F. Corp. |
|
|
315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary |
|
|
33,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples — 10.9% |
|
|
|
|
|
Beverages — 2.6% |
|
| |
4 |
|
|
Beam, Inc. |
|
|
219 |
|
| |
4 |
|
|
Brown-Forman Corp., Class B |
|
|
227 |
|
| |
107 |
|
|
Coca-Cola Co. (The) |
|
|
4,013 |
|
| |
7 |
|
|
Coca-Cola Enterprises, Inc. |
|
|
211 |
|
| |
4 |
|
|
Constellation Brands, Inc., Class A (a) |
|
|
127 |
|
| |
5 |
|
|
Dr. Pepper Snapple Group, Inc. |
|
|
226 |
|
| |
4 |
|
|
Molson Coors Brewing Co., Class B |
|
|
166 |
|
| |
4 |
|
|
Monster Beverage Corp. (a) |
|
|
216 |
|
| |
37 |
|
|
PepsiCo, Inc. |
|
|
2,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,099 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 2.4% |
|
|
|
|
| |
10 |
|
|
Costco Wholesale Corp. |
|
|
1,006 |
|
| |
30 |
|
|
CVS Caremark Corp. |
|
|
1,388 |
|
| |
13 |
|
|
Kroger Co. (The) |
|
|
297 |
|
| |
6 |
|
|
Safeway, Inc. |
|
|
90 |
|
| |
14 |
|
|
Sysco Corp. |
|
|
422 |
|
| |
21 |
|
|
Walgreen Co. |
|
|
734 |
|
| |
41 |
|
|
Wal-Mart Stores, Inc. |
|
|
2,979 |
|
| |
4 |
|
|
Whole Foods Market, Inc. |
|
|
376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products — 1.7% |
|
| |
16 |
|
|
Archer-Daniels-Midland Co. |
|
|
419 |
|
| |
4 |
|
|
Campbell Soup Co. |
|
|
148 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products — Continued |
|
|
|
|
| |
10 |
|
|
ConAgra Foods, Inc. |
|
|
248 |
|
| |
4 |
|
|
Dean Foods Co. (a) |
|
|
72 |
|
| |
15 |
|
|
General Mills, Inc. |
|
|
605 |
|
| |
8 |
|
|
H.J. Heinz Co. |
|
|
424 |
|
| |
4 |
|
|
Hershey Co. (The) |
|
|
260 |
|
| |
3 |
|
|
Hormel Foods Corp. |
|
|
94 |
|
| |
3 |
|
|
JM Smucker Co. (The) |
|
|
229 |
|
| |
6 |
|
|
Kellogg Co. |
|
|
297 |
|
| |
42 |
|
|
Kraft Foods, Inc., Class A |
|
|
1,751 |
|
| |
3 |
|
|
McCormick & Co., Inc. (Non-Voting) |
|
|
194 |
|
| |
5 |
|
|
Mead Johnson Nutrition Co. |
|
|
356 |
|
| |
7 |
|
|
Tyson Foods, Inc., Class A |
|
|
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products — 2.1% |
|
| |
3 |
|
|
Clorox Co. (The) |
|
|
225 |
|
| |
11 |
|
|
Colgate-Palmolive Co. |
|
|
1,207 |
|
| |
9 |
|
|
Kimberly-Clark Corp. |
|
|
780 |
|
| |
65 |
|
|
Procter & Gamble Co. (The) |
|
|
4,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products — 0.1% |
|
| |
10 |
|
|
Avon Products, Inc. |
|
|
159 |
|
| |
5 |
|
|
Estee Lauder Cos., Inc. (The), Class A |
|
|
321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco — 2.0% |
|
| |
48 |
|
|
Altria Group, Inc. |
|
|
1,643 |
|
| |
3 |
|
|
Lorillard, Inc. |
|
|
390 |
|
| |
41 |
|
|
Philip Morris International, Inc. |
|
|
3,622 |
|
| |
8 |
|
|
Reynolds American, Inc. |
|
|
364 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples |
|
|
33,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy — 11.0% |
|
|
|
|
|
Energy Equipment & Services — 1.9% |
|
| |
10 |
|
|
Baker Hughes, Inc. |
|
|
475 |
|
| |
6 |
|
|
Cameron International Corp. (a) |
|
|
320 |
|
| |
2 |
|
|
Diamond Offshore Drilling, Inc. |
|
|
111 |
|
| |
6 |
|
|
Ensco plc, (United Kingdom), Class A |
|
|
316 |
|
| |
6 |
|
|
FMC Technologies, Inc. (a) |
|
|
266 |
|
| |
22 |
|
|
Halliburton Co. |
|
|
719 |
|
| |
3 |
|
|
Helmerich & Payne, Inc. |
|
|
117 |
|
| |
7 |
|
|
Nabors Industries Ltd., (Bermuda) (a) |
|
|
102 |
|
| |
10 |
|
|
National Oilwell Varco, Inc. |
|
|
799 |
|
| |
6 |
|
|
Noble Corp., (Switzerland) (a) |
|
|
229 |
|
| |
3 |
|
|
Rowan Cos. plc, Class A (a) |
|
|
104 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 52 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Energy Equipment & Services — Continued |
|
|
|
|
| |
32 |
|
|
Schlumberger Ltd. |
|
|
2,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 9.1% |
|
| |
5 |
|
|
Alpha Natural Resources, Inc. (a) |
|
|
31 |
|
| |
12 |
|
|
Anadarko Petroleum Corp. |
|
|
823 |
|
| |
9 |
|
|
Apache Corp. |
|
|
797 |
|
| |
5 |
|
|
Cabot Oil & Gas Corp. |
|
|
207 |
|
| |
16 |
|
|
Chesapeake Energy Corp. |
|
|
305 |
|
| |
47 |
|
|
Chevron Corp. |
|
|
5,263 |
|
| |
30 |
|
|
ConocoPhillips |
|
|
1,708 |
|
| |
5 |
|
|
CONSOL Energy, Inc. |
|
|
163 |
|
| |
9 |
|
|
Denbury Resources, Inc. (a) |
|
|
144 |
|
| |
10 |
|
|
Devon Energy Corp. |
|
|
556 |
|
| |
6 |
|
|
EOG Resources, Inc. |
|
|
694 |
|
| |
4 |
|
|
EQT Corp. |
|
|
192 |
|
| |
111 |
|
|
Exxon Mobil Corp. |
|
|
9,708 |
|
| |
7 |
|
|
Hess Corp. |
|
|
365 |
|
| |
13 |
|
|
Kinder Morgan, Inc. |
|
|
482 |
|
| |
17 |
|
|
Marathon Oil Corp. |
|
|
467 |
|
| |
8 |
|
|
Marathon Petroleum Corp. |
|
|
419 |
|
| |
5 |
|
|
Murphy Oil Corp. |
|
|
237 |
|
| |
3 |
|
|
Newfield Exploration Co. (a) |
|
|
105 |
|
| |
4 |
|
|
Noble Energy, Inc. |
|
|
372 |
|
| |
19 |
|
|
Occidental Petroleum Corp. |
|
|
1,640 |
|
| |
6 |
|
|
Peabody Energy Corp. |
|
|
140 |
|
| |
15 |
|
|
Phillips 66 |
|
|
624 |
|
| |
3 |
|
|
Pioneer Natural Resources Co. |
|
|
285 |
|
| |
4 |
|
|
QEP Resources, Inc. |
|
|
122 |
|
| |
4 |
|
|
Range Resources Corp. |
|
|
251 |
|
| |
8 |
|
|
Southwestern Energy Co. (a) |
|
|
258 |
|
| |
16 |
|
|
Spectra Energy Corp. |
|
|
439 |
|
| |
3 |
|
|
Sunoco, Inc. |
|
|
119 |
|
| |
3 |
|
|
Tesoro Corp. |
|
|
133 |
|
| |
13 |
|
|
Valero Energy Corp. |
|
|
411 |
|
| |
15 |
|
|
Williams Cos., Inc. (The) |
|
|
480 |
|
| |
5 |
|
|
WPX Energy, Inc. (a) |
|
|
74 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy |
|
|
33,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials — 14.2% |
|
|
|
|
|
Capital Markets — 1.8% |
|
| |
5 |
|
|
Ameriprise Financial, Inc. |
|
|
286 |
|
| |
28 |
|
|
Bank of New York Mellon Corp. (The) |
|
|
639 |
|
| |
3 |
|
|
BlackRock, Inc. |
|
|
538 |
|
| |
26 |
|
|
Charles Schwab Corp. (The) |
|
|
347 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — Continued |
|
|
|
|
| |
6 |
|
|
E*TRADE Financial Corp. (a) |
|
|
52 |
|
| |
2 |
|
|
Federated Investors, Inc., Class B |
|
|
47 |
|
| |
3 |
|
|
Franklin Resources, Inc. |
|
|
397 |
|
| |
12 |
|
|
Goldman Sachs Group, Inc. (The) |
|
|
1,237 |
|
| |
11 |
|
|
Invesco Ltd. |
|
|
252 |
|
| |
3 |
|
|
Legg Mason, Inc. |
|
|
73 |
|
| |
36 |
|
|
Morgan Stanley |
|
|
543 |
|
| |
6 |
|
|
Northern Trust Corp. |
|
|
266 |
|
| |
12 |
|
|
State Street Corp. |
|
|
483 |
|
| |
6 |
|
|
T. Rowe Price Group, Inc. |
|
|
373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks — 2.9% |
|
| |
17 |
|
|
BB&T Corp. |
|
|
524 |
|
| |
5 |
|
|
Comerica, Inc. |
|
|
144 |
|
| |
22 |
|
|
Fifth Third Bancorp |
|
|
331 |
|
| |
6 |
|
|
First Horizon National Corp. |
|
|
54 |
|
| |
21 |
|
|
Huntington Bancshares, Inc. |
|
|
136 |
|
| |
23 |
|
|
KeyCorp |
|
|
191 |
|
| |
3 |
|
|
M&T Bank Corp. |
|
|
261 |
|
| |
13 |
|
|
PNC Financial Services Group, Inc. |
|
|
782 |
|
| |
34 |
|
|
Regions Financial Corp. |
|
|
234 |
|
| |
13 |
|
|
SunTrust Banks, Inc. |
|
|
322 |
|
| |
45 |
|
|
U.S. Bancorp |
|
|
1,505 |
|
| |
126 |
|
|
Wells Fargo & Co. |
|
|
4,300 |
|
| |
4 |
|
|
Zions Bancorp |
|
|
84 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 0.9% |
|
| |
24 |
|
|
American Express Co. |
|
|
1,388 |
|
| |
14 |
|
|
Capital One Financial Corp. |
|
|
780 |
|
| |
13 |
|
|
Discover Financial Services |
|
|
489 |
|
| |
12 |
|
|
SLM Corp. |
|
|
183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 2.8% |
|
| |
256 |
|
|
Bank of America Corp. |
|
|
2,047 |
|
| |
70 |
|
|
Citigroup, Inc. |
|
|
2,072 |
|
| |
8 |
|
|
CME Group, Inc. |
|
|
434 |
|
| |
2 |
|
|
IntercontinentalExchange, Inc. (a) |
|
|
236 |
|
| |
91 |
|
|
JPMorgan Chase & Co. (q) |
|
|
3,363 |
|
| |
5 |
|
|
Leucadia National Corp. |
|
|
101 |
|
| |
5 |
|
|
Moody’s Corp. |
|
|
186 |
|
| |
3 |
|
|
NASDAQ OMX Group, Inc. (The) |
|
|
67 |
|
| |
6 |
|
|
NYSE Euronext |
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,657 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
53 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Insurance — 3.5% |
|
| |
8 |
|
|
ACE Ltd., (Switzerland) |
|
|
594 |
|
| |
11 |
|
|
Aflac, Inc. |
|
|
514 |
|
| |
12 |
|
|
Allstate Corp. (The) |
|
|
436 |
|
| |
18 |
|
|
American International Group, Inc. (a) |
|
|
606 |
|
| |
8 |
|
|
Aon plc, (United Kingdom) |
|
|
403 |
|
| |
2 |
|
|
Assurant, Inc. |
|
|
72 |
|
| |
42 |
|
|
Berkshire Hathaway, Inc., Class B (a) |
|
|
3,527 |
|
| |
6 |
|
|
Chubb Corp. (The) |
|
|
474 |
|
| |
4 |
|
|
Cincinnati Financial Corp. |
|
|
149 |
|
| |
12 |
|
|
Genworth Financial, Inc., Class A (a) |
|
|
62 |
|
| |
10 |
|
|
Hartford Financial Services Group, Inc. |
|
|
188 |
|
| |
7 |
|
|
Lincoln National Corp. |
|
|
158 |
|
| |
7 |
|
|
Loews Corp. |
|
|
295 |
|
| |
13 |
|
|
Marsh & McLennan Cos., Inc. |
|
|
443 |
|
| |
25 |
|
|
MetLife, Inc. |
|
|
862 |
|
| |
7 |
|
|
Principal Financial Group, Inc. |
|
|
196 |
|
| |
15 |
|
|
Progressive Corp. (The) |
|
|
283 |
|
| |
11 |
|
|
Prudential Financial, Inc. |
|
|
608 |
|
| |
2 |
|
|
Torchmark Corp. |
|
|
120 |
|
| |
9 |
|
|
Travelers Cos., Inc. (The) |
|
|
599 |
|
| |
7 |
|
|
Unum Group |
|
|
133 |
|
| |
7 |
|
|
XL Group plc, (Ireland) |
|
|
171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) — 2.1% |
|
| |
9 |
|
|
American Tower Corp. |
|
|
661 |
|
| |
3 |
|
|
Apartment Investment & Management Co., Class A |
|
|
83 |
|
| |
2 |
|
|
AvalonBay Communities, Inc. |
|
|
321 |
|
| |
4 |
|
|
Boston Properties, Inc. |
|
|
400 |
|
| |
7 |
|
|
Equity Residential |
|
|
432 |
|
| |
10 |
|
|
HCP, Inc. |
|
|
458 |
|
| |
5 |
|
|
Health Care REIT, Inc. |
|
|
314 |
|
| |
17 |
|
|
Host Hotels & Resorts, Inc. |
|
|
261 |
|
| |
10 |
|
|
Kimco Realty Corp. |
|
|
197 |
|
| |
4 |
|
|
Plum Creek Timber Co., Inc. |
|
|
157 |
|
| |
11 |
|
|
Prologis, Inc. |
|
|
374 |
|
| |
3 |
|
|
Public Storage |
|
|
493 |
|
| |
7 |
|
|
Simon Property Group, Inc. |
|
|
1,144 |
|
| |
7 |
|
|
Ventas, Inc. |
|
|
450 |
|
| |
4 |
|
|
Vornado Realty Trust |
|
|
358 |
|
| |
13 |
|
|
Weyerhaeuser Co. |
|
|
318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development — 0.1% |
|
| |
8 |
|
|
CBRE Group, Inc., Class A (a) |
|
|
135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance — 0.1% |
|
| |
13 |
|
|
Hudson City Bancorp, Inc. |
|
|
90 |
|
| |
8 |
|
|
People’s United Financial, Inc. |
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials |
|
|
43,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care — 11.6% |
|
|
|
|
|
Biotechnology — 1.5% |
|
| |
5 |
|
|
Alexion Pharmaceuticals, Inc. (a) |
|
|
490 |
|
| |
18 |
|
|
Amgen, Inc. |
|
|
1,552 |
|
| |
6 |
|
|
Biogen Idec, Inc. (a) |
|
|
835 |
|
| |
10 |
|
|
Celgene Corp. (a) |
|
|
755 |
|
| |
18 |
|
|
Gilead Sciences, Inc. (a) |
|
|
1,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 1.7% |
|
| |
13 |
|
|
Baxter International, Inc. |
|
|
768 |
|
| |
5 |
|
|
Becton, Dickinson & Co. |
|
|
366 |
|
| |
34 |
|
|
Boston Scientific Corp. (a) |
|
|
184 |
|
| |
2 |
|
|
C.R. Bard, Inc. |
|
|
196 |
|
| |
5 |
|
|
CareFusion Corp. (a) |
|
|
139 |
|
| |
11 |
|
|
Covidien plc, (Ireland) |
|
|
643 |
|
| |
3 |
|
|
DENTSPLY International, Inc. |
|
|
122 |
|
| |
3 |
|
|
Edwards Lifesciences Corp. (a) |
|
|
278 |
|
| |
1 |
|
|
Intuitive Surgical, Inc. (a) |
|
|
464 |
|
| |
25 |
|
|
Medtronic, Inc. |
|
|
1,006 |
|
| |
7 |
|
|
St. Jude Medical, Inc. |
|
|
282 |
|
| |
8 |
|
|
Stryker Corp. |
|
|
410 |
|
| |
3 |
|
|
Varian Medical Systems, Inc. (a) |
|
|
156 |
|
| |
4 |
|
|
Zimmer Holdings, Inc. |
|
|
259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 1.9% |
|
| |
8 |
|
|
Aetna, Inc. |
|
|
317 |
|
| |
6 |
|
|
AmerisourceBergen Corp. |
|
|
230 |
|
| |
8 |
|
|
Cardinal Health, Inc. |
|
|
326 |
|
| |
7 |
|
|
Cigna Corp. |
|
|
314 |
|
| |
3 |
|
|
Coventry Health Care, Inc. |
|
|
141 |
|
| |
2 |
|
|
DaVita, Inc. (a) |
|
|
217 |
|
| |
19 |
|
|
Express Scripts Holding Co. (a) |
|
|
1,200 |
|
| |
4 |
|
|
Humana, Inc. |
|
|
272 |
|
| |
2 |
|
|
Laboratory Corp. of America Holdings (a) |
|
|
202 |
|
| |
6 |
|
|
McKesson Corp. |
|
|
488 |
|
| |
2 |
|
|
Patterson Cos., Inc. |
|
|
71 |
|
| |
4 |
|
|
Quest Diagnostics, Inc. |
|
|
228 |
|
| |
10 |
|
|
Tenet Healthcare Corp. (a) |
|
|
51 |
|
| |
25 |
|
|
UnitedHealth Group, Inc. |
|
|
1,340 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 54 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Health Care Providers & Services — Continued |
|
|
|
|
| |
8 |
|
|
WellPoint, Inc. |
|
|
471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology — 0.1% |
|
| |
3 |
|
|
Cerner Corp. (a) |
|
|
255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services — 0.4% |
|
| |
8 |
|
|
Agilent Technologies, Inc. |
|
|
307 |
|
| |
4 |
|
|
Life Technologies Corp. (a) |
|
|
203 |
|
| |
3 |
|
|
PerkinElmer, Inc. |
|
|
74 |
|
| |
9 |
|
|
Thermo Fisher Scientific, Inc. |
|
|
501 |
|
| |
2 |
|
|
Waters Corp. (a) |
|
|
169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 6.0% |
|
| |
37 |
|
|
Abbott Laboratories |
|
|
2,452 |
|
| |
7 |
|
|
Allergan, Inc. |
|
|
630 |
|
| |
40 |
|
|
Bristol-Myers Squibb Co. |
|
|
1,326 |
|
| |
24 |
|
|
Eli Lilly & Co. |
|
|
1,091 |
|
| |
6 |
|
|
Forest Laboratories, Inc. (a) |
|
|
219 |
|
| |
4 |
|
|
Hospira, Inc. (a) |
|
|
132 |
|
| |
65 |
|
|
Johnson & Johnson |
|
|
4,404 |
|
| |
72 |
|
|
Merck & Co., Inc. |
|
|
3,114 |
|
| |
10 |
|
|
Mylan, Inc. (a) |
|
|
240 |
|
| |
2 |
|
|
Perrigo Co. |
|
|
244 |
|
| |
178 |
|
|
Pfizer, Inc. |
|
|
4,249 |
|
| |
3 |
|
|
Watson Pharmaceuticals, Inc. (a) |
|
|
247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care |
|
|
35,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials — 10.0% |
|
|
|
|
|
Aerospace & Defense — 2.3% |
|
| |
18 |
|
|
Boeing Co. (The) |
|
|
1,272 |
|
| |
9 |
|
|
General Dynamics Corp. |
|
|
562 |
|
| |
19 |
|
|
Honeywell International, Inc. |
|
|
1,083 |
|
| |
2 |
|
|
L-3 Communications Holdings, Inc. |
|
|
163 |
|
| |
6 |
|
|
Lockheed Martin Corp. |
|
|
577 |
|
| |
6 |
|
|
Northrop Grumman Corp. |
|
|
400 |
|
| |
3 |
|
|
Precision Castparts Corp. |
|
|
557 |
|
| |
8 |
|
|
Raytheon Co. |
|
|
448 |
|
| |
3 |
|
|
Rockwell Collins, Inc. |
|
|
168 |
|
| |
7 |
|
|
Textron, Inc. |
|
|
178 |
|
| |
22 |
|
|
United Technologies Corp. |
|
|
1,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,139 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics — 0.9% |
|
| |
4 |
|
|
C.H. Robinson Worldwide, Inc. |
|
|
219 |
|
| |
5 |
|
|
Expeditors International of Washington, Inc. |
|
|
185 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics — Continued |
|
|
|
|
| |
8 |
|
|
FedEx Corp. |
|
|
657 |
|
| |
23 |
|
|
United Parcel Service, Inc., Class B |
|
|
1,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines — 0.1% |
|
| |
18 |
|
|
Southwest Airlines Co. |
|
|
163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products — 0.1% |
|
| |
8 |
|
|
Masco Corp. |
|
|
120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies — 0.4% |
|
| |
2 |
|
|
Avery Dennison Corp. |
|
|
77 |
|
| |
3 |
|
|
Cintas Corp. |
|
|
106 |
|
| |
4 |
|
|
Iron Mountain, Inc. |
|
|
134 |
|
| |
5 |
|
|
Pitney Bowes, Inc. |
|
|
64 |
|
| |
4 |
|
|
R.R. Donnelley & Sons Co. |
|
|
47 |
|
| |
7 |
|
|
Republic Services, Inc. |
|
|
207 |
|
| |
2 |
|
|
Stericycle, Inc. (a) |
|
|
185 |
|
| |
11 |
|
|
Waste Management, Inc. |
|
|
380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering — 0.2% |
|
| |
4 |
|
|
Fluor Corp. |
|
|
207 |
|
| |
3 |
|
|
Jacobs Engineering Group, Inc. (a) |
|
|
121 |
|
| |
5 |
|
|
Quanta Services, Inc. (a) |
|
|
122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment — 0.5% |
|
| |
4 |
|
|
Cooper Industries plc |
|
|
277 |
|
| |
17 |
|
|
Emerson Electric Co. |
|
|
885 |
|
| |
3 |
|
|
Rockwell Automation, Inc. |
|
|
244 |
|
| |
2 |
|
|
Roper Industries, Inc. |
|
|
238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 2.6% |
|
| |
17 |
|
|
3M Co. |
|
|
1,528 |
|
| |
14 |
|
|
Danaher Corp. |
|
|
733 |
|
| |
252 |
|
|
General Electric Co. |
|
|
5,218 |
|
| |
11 |
|
|
Tyco International Ltd., (Switzerland) |
|
|
621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery — 1.8% |
|
| |
16 |
|
|
Caterpillar, Inc. |
|
|
1,324 |
|
| |
5 |
|
|
Cummins, Inc. |
|
|
444 |
|
| |
9 |
|
|
Deere & Co. |
|
|
711 |
|
| |
4 |
|
|
Dover Corp. |
|
|
252 |
|
| |
8 |
|
|
Eaton Corp. |
|
|
359 |
|
| |
1 |
|
|
Flowserve Corp. |
|
|
166 |
|
| |
11 |
|
|
Illinois Tool Works, Inc. |
|
|
673 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
55 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Machinery — Continued |
|
|
|
|
| |
7 |
|
|
Ingersoll-Rand plc, (Ireland) |
|
|
332 |
|
| |
3 |
|
|
Joy Global, Inc. |
|
|
134 |
|
| |
8 |
|
|
PACCAR, Inc. |
|
|
339 |
|
| |
3 |
|
|
Pall Corp. |
|
|
153 |
|
| |
4 |
|
|
Parker Hannifin Corp. |
|
|
287 |
|
| |
1 |
|
|
Snap-on, Inc. |
|
|
96 |
|
| |
4 |
|
|
Stanley Black & Decker, Inc. |
|
|
267 |
|
| |
4 |
|
|
Xylem, Inc. |
|
|
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Professional Services — 0.1% |
|
| |
1 |
|
|
Dun & Bradstreet Corp. (The) |
|
|
92 |
|
| |
3 |
|
|
Equifax, Inc. |
|
|
131 |
|
| |
3 |
|
|
Robert Half International, Inc. |
|
|
90 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail — 0.8% |
|
| |
25 |
|
|
CSX Corp. |
|
|
555 |
|
| |
8 |
|
|
Norfolk Southern Corp. |
|
|
562 |
|
| |
1 |
|
|
Ryder System, Inc. |
|
|
49 |
|
| |
11 |
|
|
Union Pacific Corp. |
|
|
1,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors — 0.2% |
|
| |
7 |
|
|
Fastenal Co. |
|
|
302 |
|
| |
1 |
|
|
W.W. Grainger, Inc. |
|
|
299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials |
|
|
30,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology — 19.9% |
|
|
|
|
|
Communications Equipment — 1.9% |
|
| |
127 |
|
|
Cisco Systems, Inc. |
|
|
2,431 |
|
| |
2 |
|
|
F5 Networks, Inc. (a) |
|
|
184 |
|
| |
3 |
|
|
Harris Corp. |
|
|
127 |
|
| |
6 |
|
|
JDS Uniphase Corp. (a) |
|
|
61 |
|
| |
13 |
|
|
Juniper Networks, Inc. (a) |
|
|
220 |
|
| |
7 |
|
|
Motorola Solutions, Inc. |
|
|
331 |
|
| |
41 |
|
|
QUALCOMM, Inc. |
|
|
2,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals — 6.0% |
|
| |
22 |
|
|
Apple, Inc. |
|
|
14,793 |
|
| |
35 |
|
|
Dell, Inc. (a) |
|
|
374 |
|
| |
50 |
|
|
EMC Corp. (a) |
|
|
1,313 |
|
| |
47 |
|
|
Hewlett-Packard Co. |
|
|
794 |
|
| |
2 |
|
|
Lexmark International, Inc., Class A |
|
|
37 |
|
| |
9 |
|
|
NetApp, Inc. (a) |
|
|
298 |
|
| |
6 |
|
|
SanDisk Corp. (a) |
|
|
239 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals — Continued |
|
|
|
|
| |
8 |
|
|
Seagate Technology plc, (Ireland) |
|
|
269 |
|
| |
6 |
|
|
Western Digital Corp. (a) |
|
|
233 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 0.4% |
|
| |
4 |
|
|
Amphenol Corp., Class A |
|
|
234 |
|
| |
36 |
|
|
Corning, Inc. |
|
|
433 |
|
| |
4 |
|
|
FLIR Systems, Inc. |
|
|
73 |
|
| |
4 |
|
|
Jabil Circuit, Inc. |
|
|
98 |
|
| |
3 |
|
|
Molex, Inc. |
|
|
87 |
|
| |
10 |
|
|
TE Connectivity Ltd., (Switzerland) |
|
|
358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services — 2.0% |
|
| |
4 |
|
|
Akamai Technologies, Inc. (a) |
|
|
160 |
|
| |
27 |
|
|
eBay, Inc. (a) |
|
|
1,297 |
|
| |
6 |
|
|
Google, Inc., Class A (a) |
|
|
4,143 |
|
| |
4 |
|
|
VeriSign, Inc. (a) |
|
|
179 |
|
| |
29 |
|
|
Yahoo!, Inc. (a) |
|
|
425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services — 3.7% |
|
| |
15 |
|
|
Accenture plc, (Ireland), Class A |
|
|
944 |
|
| |
12 |
|
|
Automatic Data Processing, Inc. |
|
|
676 |
|
| |
7 |
|
|
Cognizant Technology Solutions Corp., Class A (a) |
|
|
465 |
|
| |
4 |
|
|
Computer Sciences Corp. |
|
|
119 |
|
| |
6 |
|
|
Fidelity National Information Services, Inc. |
|
|
179 |
|
| |
3 |
|
|
Fiserv, Inc. (a) |
|
|
231 |
|
| |
27 |
|
|
International Business Machines Corp. |
|
|
5,345 |
|
| |
3 |
|
|
MasterCard, Inc., Class A |
|
|
1,068 |
|
| |
8 |
|
|
Paychex, Inc. |
|
|
255 |
|
| |
7 |
|
|
SAIC, Inc. |
|
|
80 |
|
| |
4 |
|
|
Teradata Corp. (a) |
|
|
306 |
|
| |
4 |
|
|
Total System Services, Inc. |
|
|
89 |
|
| |
12 |
|
|
Visa, Inc., Class A |
|
|
1,519 |
|
| |
15 |
|
|
Western Union Co. (The) |
|
|
257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics — 0.1% |
|
| |
32 |
|
|
Xerox Corp. |
|
|
236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 2.2% |
|
| |
14 |
|
|
Advanced Micro Devices, Inc. (a) |
|
|
52 |
|
| |
8 |
|
|
Altera Corp. |
|
|
287 |
|
| |
7 |
|
|
Analog Devices, Inc. |
|
|
282 |
|
| |
30 |
|
|
Applied Materials, Inc. |
|
|
356 |
|
| |
12 |
|
|
Broadcom Corp., Class A (a) |
|
|
419 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 56 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Semiconductors & Semiconductor Equipment — Continued |
|
| |
1 |
|
|
First Solar, Inc. (a) |
|
|
28 |
|
| |
120 |
|
|
Intel Corp. |
|
|
2,971 |
|
| |
4 |
|
|
KLA-Tencor Corp. |
|
|
204 |
|
| |
5 |
|
|
Lam Research Corp. (a) |
|
|
164 |
|
| |
5 |
|
|
Linear Technology Corp. |
|
|
181 |
|
| |
14 |
|
|
LSI Corp. (a) |
|
|
105 |
|
| |
5 |
|
|
Microchip Technology, Inc. |
|
|
160 |
|
| |
24 |
|
|
Micron Technology, Inc. (a) |
|
|
146 |
|
| |
15 |
|
|
NVIDIA Corp. (a) |
|
|
207 |
|
| |
4 |
|
|
Teradyne, Inc. (a) (c) |
|
|
69 |
|
| |
27 |
|
|
Texas Instruments, Inc. |
|
|
790 |
|
| |
6 |
|
|
Xilinx, Inc. |
|
|
213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software — 3.6% |
|
| |
12 |
|
|
Adobe Systems, Inc. (a) |
|
|
369 |
|
| |
5 |
|
|
Autodesk, Inc. (a) |
|
|
170 |
|
| |
4 |
|
|
BMC Software, Inc. (a) |
|
|
158 |
|
| |
8 |
|
|
CA, Inc. |
|
|
219 |
|
| |
4 |
|
|
Citrix Systems, Inc. (a) |
|
|
344 |
|
| |
8 |
|
|
Electronic Arts, Inc. (a) |
|
|
101 |
|
| |
7 |
|
|
Intuit, Inc. |
|
|
409 |
|
| |
178 |
|
|
Microsoft Corp. |
|
|
5,480 |
|
| |
92 |
|
|
Oracle Corp. |
|
|
2,921 |
|
| |
5 |
|
|
Red Hat, Inc. (a) |
|
|
257 |
|
| |
3 |
|
|
Salesforce.com, Inc. (a) |
|
|
476 |
|
| |
17 |
|
|
Symantec Corp. (a) |
|
|
306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology |
|
|
61,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials — 3.3% |
|
|
|
|
|
Chemicals — 2.3% |
|
| |
5 |
|
|
Air Products & Chemicals, Inc. |
|
|
415 |
|
| |
2 |
|
|
Airgas, Inc. |
|
|
137 |
|
| |
2 |
|
|
CF Industries Holdings, Inc. |
|
|
323 |
|
| |
28 |
|
|
Dow Chemical Co. (The) |
|
|
833 |
|
| |
22 |
|
|
E.I. du Pont de Nemours & Co. |
|
|
1,109 |
|
| |
4 |
|
|
Eastman Chemical Co. |
|
|
200 |
|
| |
7 |
|
|
Ecolab, Inc. |
|
|
445 |
|
| |
3 |
|
|
FMC Corp. |
|
|
177 |
|
| |
2 |
|
|
International Flavors & Fragrances, Inc. |
|
|
117 |
|
| |
13 |
|
|
Monsanto Co. |
|
|
1,105 |
|
| |
7 |
|
|
Mosaic Co. (The) |
|
|
410 |
|
| |
4 |
|
|
PPG Industries, Inc. |
|
|
399 |
|
| |
7 |
|
|
Praxair, Inc. |
|
|
749 |
|
| |
2 |
|
|
Sherwin-Williams Co. (The) |
|
|
292 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals — Continued |
|
| |
3 |
|
|
Sigma-Aldrich Corp. |
|
|
204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction Materials — 0.0% (g) |
|
| |
3 |
|
|
Vulcan Materials Co. |
|
|
120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging — 0.1% |
|
| |
4 |
|
|
Ball Corp. |
|
|
157 |
|
| |
2 |
|
|
Bemis Co., Inc. |
|
|
74 |
|
| |
4 |
|
|
Owens-Illinois, Inc. (a) |
|
|
69 |
|
| |
5 |
|
|
Sealed Air Corp. |
|
|
66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining — 0.7% |
|
| |
25 |
|
|
Alcoa, Inc. |
|
|
217 |
|
| |
3 |
|
|
Allegheny Technologies, Inc. |
|
|
76 |
|
| |
3 |
|
|
Cliffs Natural Resources, Inc. |
|
|
121 |
|
| |
23 |
|
|
Freeport-McMoRan Copper & Gold, Inc. |
|
|
815 |
|
| |
12 |
|
|
Newmont Mining Corp. |
|
|
597 |
|
| |
8 |
|
|
Nucor Corp. |
|
|
284 |
|
| |
2 |
|
|
Titanium Metals Corp. |
|
|
24 |
|
| |
3 |
|
|
United States Steel Corp. |
|
|
67 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 0.2% |
|
| |
10 |
|
|
International Paper Co. |
|
|
359 |
|
| |
4 |
|
|
MeadWestvaco Corp. |
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials |
|
|
10,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services — 3.1% |
|
|
|
|
|
Diversified Telecommunication Services — 2.9% |
|
| |
139 |
|
|
AT&T, Inc. |
|
|
5,109 |
|
| |
15 |
|
|
CenturyLink, Inc. |
|
|
624 |
|
| |
24 |
|
|
Frontier Communications Corp. |
|
|
110 |
|
| |
68 |
|
|
Verizon Communications, Inc. |
|
|
2,901 |
|
| |
14 |
|
|
Windstream Corp. |
|
|
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 0.2% |
|
| |
6 |
|
|
Crown Castle International Corp. (a) |
|
|
389 |
|
| |
7 |
|
|
MetroPCS Communications, Inc. (a) |
|
|
68 |
|
| |
71 |
|
|
Sprint Nextel Corp. (a) |
|
|
346 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services |
|
|
9,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities — 3.5% |
|
|
|
|
|
Electric Utilities — 2.0% |
|
| |
12 |
|
|
American Electric Power Co., Inc. |
|
|
495 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
57 |
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks — Continued |
|
|
|
|
|
Electric Utilities — Continued |
|
|
|
|
| |
17 |
|
|
Duke Energy Corp. |
|
|
1,084 |
|
| |
8 |
|
|
Edison International |
|
|
339 |
|
| |
4 |
|
|
Entergy Corp. |
|
|
287 |
|
| |
20 |
|
|
Exelon Corp. |
|
|
739 |
|
| |
10 |
|
|
FirstEnergy Corp. |
|
|
435 |
|
| |
10 |
|
|
NextEra Energy, Inc. |
|
|
668 |
|
| |
7 |
|
|
Northeast Utilities |
|
|
281 |
|
| |
5 |
|
|
Pepco Holdings, Inc. |
|
|
105 |
|
| |
3 |
|
|
Pinnacle West Capital Corp. |
|
|
134 |
|
| |
14 |
|
|
PPL Corp. |
|
|
405 |
|
| |
21 |
|
|
Southern Co. (The) |
|
|
936 |
|
| |
12 |
|
|
Xcel Energy, Inc. |
|
|
323 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities — 0.1% |
|
| |
3 |
|
|
AGL Resources, Inc. |
|
|
111 |
|
| |
5 |
|
|
ONEOK, Inc. |
|
|
220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 0.1% |
|
| |
15 |
|
|
AES Corp. (The) (a) |
|
|
175 |
|
| |
5 |
|
|
NRG Energy, Inc. |
|
|
115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities — 1.3% |
|
| |
6 |
|
|
Ameren Corp. |
|
|
189 |
|
| |
10 |
|
|
CenterPoint Energy, Inc. |
|
|
207 |
|
| |
6 |
|
|
CMS Energy Corp. |
|
|
143 |
|
| |
7 |
|
|
Consolidated Edison, Inc. |
|
|
422 |
|
| |
14 |
|
|
Dominion Resources, Inc. |
|
|
713 |
|
| |
4 |
|
|
DTE Energy Co. |
|
|
236 |
|
| |
2 |
|
|
Integrys Energy Group, Inc. |
|
|
100 |
|
| |
7 |
|
|
NiSource, Inc. |
|
|
165 |
|
| |
10 |
|
|
PG&E Corp. |
|
|
436 |
|
| |
12 |
|
|
Public Service Enterprise Group, Inc. |
|
|
381 |
|
| |
3 |
|
|
SCANA Corp. |
|
|
131 |
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities — Continued |
|
|
|
|
| |
6 |
|
|
Sempra Energy |
|
|
378 |
|
| |
5 |
|
|
TECO Energy, Inc. |
|
|
89 |
|
| |
5 |
|
|
Wisconsin Energy Corp. |
|
|
208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities |
|
|
10,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(Cost $208,753) |
|
|
302,410 |
|
|
|
|
|
|
|
|
|
|
| |
Investment Company — 0.1% |
|
| |
2 |
|
|
SPDR S&P 500 ETF Trust
(Cost $229) |
|
|
283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
|
|
|
|
| |
U.S. Treasury Obligation — 0.1% |
|
| |
290 |
|
|
U.S. Treasury Bills, 0.086%, 11/01/12 (k) (n)
(Cost $290) |
|
|
290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
|
|
|
|
| |
Short-Term Investment — 1.3% |
|
|
|
|
|
Investment Company — 1.3% |
|
| |
3,890 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120%, (b) (l) (m)
(Cost
$3,890) |
|
|
3,890 |
|
|
|
|
|
|
|
|
|
|
| |
Investments of Cash Collateral for Securities on Loan — 0.0% (g) |
|
|
|
|
|
Investment Company — 0.0% (g) |
|
| |
30 |
|
|
JPMorgan Prime Money Market Fund, Capital Shares, 0.140% (b) (l)
(Cost $30) |
|
|
30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 99.8%
(Cost $213,192) |
|
|
306,903 |
|
|
|
|
|
Other Assets in Excess of
Liabilities — 0.2% |
|
|
666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — 100.0% |
|
$ |
307,569 |
|
|
|
|
|
|
|
|
|
|
Percentages indicated are based on net assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
|
DESCRIPTION |
|
EXPIRATION
DATE |
|
|
NOTIONAL VALUE AT
08/31/12 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
|
|
|
|
Long Futures Outstanding |
|
|
|
|
|
|
|
|
|
|
|
|
| |
59 |
|
|
E-mini S&P 500 |
|
|
09/21/12 |
|
|
$ |
4,145 |
|
|
$ |
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL
STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 58 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Asset-Backed Securities — 3.5% |
|
| |
180 |
|
|
Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.036%, 12/27/22 (e) |
|
|
180 |
|
|
|
|
|
AH Mortgage Advance Trust, (Cayman Islands), |
|
|
|
|
| |
250 |
|
|
Series SART-1, Class A1R, 2.230%, 05/10/43 (e) |
|
|
251 |
|
| |
750 |
|
|
Series SART-1, Class A2, 3.370%, 05/10/43 (e) |
|
|
752 |
|
| |
267 |
|
|
Series SART-2, Class A1, 3.270%, 09/15/43 (e) |
|
|
270 |
|
| |
100 |
|
|
Series SART-2, Class B1, 6.900%, 09/15/43 (e) |
|
|
100 |
|
|
|
|
|
Ally Auto Receivables Trust, |
|
|
|
|
| |
14 |
|
|
Series 2010-1, Class A3, 1.450%, 05/15/14 |
|
|
15 |
|
| |
111 |
|
|
Series 2010-4, Class A3, 0.910%, 11/17/14 |
|
|
111 |
|
| |
124 |
|
|
Series 2012-1, Class A3, 0.930%, 02/16/16 |
|
|
125 |
|
| |
377 |
|
|
Series 2012-2, Class A3, 0.740%, 04/15/16 |
|
|
379 |
|
| |
216 |
|
|
Series 2012-4, Class A2, 0.480%, 05/15/15 |
|
|
216 |
|
|
|
|
|
American Credit Acceptance Receivables Trust, |
|
|
|
|
| |
37 |
|
|
Series 2012-1, Class A1, 1.960%, 01/15/14 (e) |
|
|
37 |
|
| |
112 |
|
|
Series 2012-1, Class A2, 3.040%, 10/15/15 (e) |
|
|
112 |
|
| |
313 |
|
|
Series 2012-2, Class A, 1.890%, 07/15/16 (e) |
|
|
314 |
|
|
|
|
|
AmeriCredit Automobile Receivables Trust, |
|
|
|
|
| |
106 |
|
|
Series 2010-3, Class A3, 1.140%, 04/08/15 |
|
|
106 |
|
| |
13 |
|
|
Series 2010-4, Class A2, 0.960%, 05/08/14 |
|
|
13 |
|
| |
75 |
|
|
Series 2010-4, Class A3, 1.270%, 04/08/15 |
|
|
75 |
|
| |
71 |
|
|
Series 2011-3, Class A2, 0.840%, 11/10/14 |
|
|
71 |
|
| |
219 |
|
|
Series 2011-5, Class A3, 1.550%, 07/08/16 |
|
|
223 |
|
| |
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, |
|
|
|
|
| |
66 |
|
|
Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) |
|
|
66 |
|
| |
8 |
|
|
Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
|
|
8 |
|
| |
100 |
|
|
Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
|
|
101 |
|
| |
20 |
|
|
Series 2010-2, Class A3, 1.310%, 07/15/14 |
|
|
20 |
|
| |
125 |
|
|
Series 2010-2, Class A4, 1.940%, 06/15/17 |
|
|
127 |
|
| |
64 |
|
|
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.605%, 04/25/36 |
|
|
54 |
|
| |
100 |
|
|
Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) |
|
|
102 |
|
| |
16 |
|
|
CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 |
|
|
16 |
|
| |
115 |
|
|
CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e) |
|
|
115 |
|
| |
182 |
|
|
Centex Home Equity, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 |
|
|
185 |
|
|
|
|
|
Chrysler Financial Auto Securitization Trust, |
|
|
|
|
| |
3 |
|
|
Series 2009-A, Class A3, 2.820%, 01/15/16 |
|
|
3 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
80 |
|
|
Series 2010-A, Class A3, 0.910%, 08/08/13 |
|
|
80 |
|
|
|
|
|
CNH Equipment Trust, |
|
|
|
|
| |
1 |
|
|
Series 2010-A, Class A3, 1.540%, 07/15/14 |
|
|
1 |
|
| |
174 |
|
|
Series 2010-C, Class A3, 1.170%, 05/15/15 |
|
|
175 |
|
| |
101 |
|
|
Series 2012-A, Class A2, 0.650%, 07/15/15 |
|
|
101 |
|
| |
99 |
|
|
Series 2012-A, Class A3, 0.940%, 05/15/17 |
|
|
100 |
|
|
|
|
|
CPS Auto Trust, |
|
|
|
|
| |
77 |
|
|
Series 2011-C, Class A, 4.210%, 03/15/19 (e) |
|
|
81 |
|
| |
76 |
|
|
Series 2012-A, Class A, 2.780%, 06/17/19 (e) |
|
|
76 |
|
| |
408 |
|
|
Series 2012-B, Class A, 2.520%, 09/16/19 (e) |
|
|
409 |
|
| |
45 |
|
|
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.350%, 01/25/36 |
|
|
23 |
|
| |
204 |
|
|
Discover Card Master Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17 |
|
|
206 |
|
| |
152 |
|
|
DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 (e) |
|
|
153 |
|
| |
100 |
|
|
First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e) |
|
|
100 |
|
|
|
|
|
Ford Credit Auto Owner Trust, |
|
|
|
|
| |
163 |
|
|
Series 2009-B, Class A4, 4.500%, 07/15/14 |
|
|
166 |
|
| |
176 |
|
|
Series 2012-A, Class A3, 0.840%, 08/15/16 |
|
|
177 |
|
| |
216 |
|
|
Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) |
|
|
220 |
|
| |
90 |
|
|
GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 |
|
|
82 |
|
| |
100 |
|
|
Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 02/15/15 |
|
|
101 |
|
|
|
|
|
Honda Auto Receivables Owner Trust, |
|
|
|
|
| |
45 |
|
|
Series 2009-2, Class A4, 4.430%, 07/15/15 |
|
|
45 |
|
| |
119 |
|
|
Series 2009-3, Class A4, 3.300%, 09/15/15 |
|
|
120 |
|
| |
108 |
|
|
Series 2012-1, Class A3, 0.770%, 01/15/16 |
|
|
108 |
|
| |
56 |
|
|
Series 2012-1, Class A4, 0.970%, 04/16/18 |
|
|
57 |
|
|
|
|
|
HSBC Home Equity Loan Trust, |
|
|
|
|
| |
76 |
|
|
Series 2005-2, Class A1, VAR, 0.507%, 01/20/35 |
|
|
72 |
|
| |
56 |
|
|
Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 |
|
|
54 |
|
| |
64 |
|
|
Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 |
|
|
61 |
|
|
|
|
|
Huntington Auto Trust, |
|
|
|
|
| |
153 |
|
|
Series 2011-1A, Class A2, 0.760%, 04/15/14 (e) |
|
|
153 |
|
| |
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) |
|
|
102 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
59 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Asset-Backed Securities — Continued |
|
| |
116 |
|
|
Series 2012-1, Class A3, 0.810%, 09/15/16 |
|
|
116 |
|
|
|
|
|
Hyundai Auto Receivables Trust, |
|
|
|
|
| |
84 |
|
|
Series 2010-B, Class A3, 0.970%, 04/15/15 |
|
|
84 |
|
| |
104 |
|
|
Series 2012-A, Class A3, 0.720%, 03/15/16 |
|
|
105 |
|
| |
232 |
|
|
Series 2012-B, Class A2, 0.540%, 01/15/15 |
|
|
232 |
|
| |
119 |
|
|
Series 2012-B, Class A3, 0.620%, 09/15/16 |
|
|
119 |
|
| |
91 |
|
|
John Deere Owner Trust, Series 2012-B, Class A2, 0.430%, 02/17/15 |
|
|
91 |
|
| |
71 |
|
|
LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i) |
|
|
72 |
|
| |
40 |
|
|
Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 |
|
|
40 |
|
| |
325 |
|
|
MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) |
|
|
329 |
|
|
|
|
|
Nissan Auto Receivables Owner Trust, |
|
|
|
|
| |
74 |
|
|
Series 2010-A, Class A3, 0.870%, 07/15/14 |
|
|
74 |
|
| |
75 |
|
|
Series 2010-A, Class A4, 1.310%, 09/15/16 |
|
|
76 |
|
| |
91 |
|
|
Series 2012-A, Class A3, 0.730%, 05/16/16 |
|
|
92 |
|
| |
117 |
|
|
Series 2012-A, Class A4, 1.000%, 07/16/18 |
|
|
119 |
|
| |
233 |
|
|
Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.861%, 10/25/34 |
|
|
222 |
|
| |
150 |
|
|
RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.536%, 03/25/36 |
|
|
132 |
|
| |
177 |
|
|
Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) |
|
|
178 |
|
| |
933 |
|
|
Resort Finance Timeshare Receivables Trust, Series 2012-1, Class A1, SUB, 6.250%, 07/05/18 (f) (i) |
|
|
933 |
|
|
|
|
|
Santander Drive Auto Receivables Trust, |
|
|
|
|
| |
71 |
|
|
Series 2010-3, Class A3, 1.200%, 06/16/14 |
|
|
71 |
|
| |
100 |
|
|
Series 2010-A, Class A4, 2.390%, 06/15/17 (e) |
|
|
103 |
|
| |
26 |
|
|
Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) |
|
|
26 |
|
| |
142 |
|
|
Series 2012-1, Class A2, 1.250%, 04/15/15 |
|
|
143 |
|
| |
71 |
|
|
Series 2012-2, Class A2, 0.910%, 05/15/15 |
|
|
71 |
|
| |
53 |
|
|
Series 2012-2, Class A3, 1.220%, 12/15/15 |
|
|
54 |
|
| |
63 |
|
|
Series 2012-5, Class A2, 0.570%, 12/15/15 |
|
|
63 |
|
| |
60 |
|
|
Series 2012-5, Class A3, 0.830%, 12/15/16 |
|
|
60 |
|
| |
68 |
|
|
SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e) |
|
|
68 |
|
| |
122 |
|
|
Toyota Auto Receivables Owner Trust, Series 2010-C, Class A3, 0.770%, 04/15/14 |
|
|
122 |
|
| |
321 |
|
|
Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.639%, 10/15/15 (e) |
|
|
326 |
|
| |
213 |
|
|
Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 |
|
|
214 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VOLT LLC, |
|
|
|
|
| |
428 |
|
|
Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) |
|
|
428 |
|
| |
231 |
|
|
Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (f) (i) |
|
|
231 |
|
| |
292 |
|
|
Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) |
|
|
293 |
|
|
|
|
|
World Omni Auto Receivables Trust, |
|
|
|
|
| |
135 |
|
|
Series 2010-A, Class A4, 2.210%, 05/15/15 |
|
|
137 |
|
| |
176 |
|
|
Series 2012-A, Class A2, 0.520%, 06/15/15 |
|
|
176 |
|
| |
102 |
|
|
Series 2012-A, Class A3, 0.640%, 02/15/17 |
|
|
102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(Cost $13,251) |
|
|
13,316 |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — 25.3% |
|
|
|
|
|
Agency CMO — 20.1% |
|
| |
71 |
|
|
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%,
11/25/23 |
|
|
79 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS, |
|
|
|
|
| |
5 |
|
|
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 |
|
|
3 |
|
| |
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 |
|
|
3 |
|
| |
16 |
|
|
Series 114, Class H, 6.950%, 01/15/21 |
|
|
18 |
|
| |
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 |
|
|
11 |
|
| |
— |
(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 |
|
|
12 |
|
| |
8 |
|
|
Series 1250, Class J, 7.000%, 05/15/22 |
|
|
9 |
|
| |
23 |
|
|
Series 1343, Class LA, 8.000%, 08/15/22 |
|
|
27 |
|
| |
103 |
|
|
Series 1466, Class PZ, 7.500%, 02/15/23 |
|
|
118 |
|
| |
1 |
|
|
Series 1470, Class F, VAR, 2.116%, 02/15/23 |
|
|
1 |
|
| |
37 |
|
|
Series 1491, Class I, 7.500%, 04/15/23 |
|
|
43 |
|
| |
37 |
|
|
Series 1518, Class G, IF, 8.799%, 05/15/23 |
|
|
45 |
|
| |
33 |
|
|
Series 1541, Class O, VAR, 0.840%, 07/15/23 |
|
|
34 |
|
| |
3 |
|
|
Series 1602, Class SA, HB, IF , 21.937%, 10/15/23 |
|
|
5 |
|
| |
123 |
|
|
Series 1608, Class L, 6.500%, 09/15/23 |
|
|
139 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 60 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
70 |
|
|
Series 1609, Class LG, IF, 16.792%, 11/15/23 |
|
|
82 |
|
| |
4 |
|
|
Series 1671, Class L, 7.000%, 02/15/24 |
|
|
5 |
|
| |
19 |
|
|
Series 1700, Class GA, PO, 02/15/24 |
|
|
19 |
|
| |
202 |
|
|
Series 1706, Class K, 7.000%, 03/15/24 |
|
|
233 |
|
| |
662 |
|
|
Series 1720, Class PL, 7.500%, 04/15/24 |
|
|
773 |
|
| |
19 |
|
|
Series 1745, Class D, 7.500%, 08/15/24 |
|
|
22 |
|
| |
41 |
|
|
Series 1798, Class F, 5.000%, 05/15/23 |
|
|
45 |
|
| |
2 |
|
|
Series 1807, Class G, 9.000%, 10/15/20 |
|
|
2 |
|
| |
189 |
|
|
Series 1927, Class PH, 7.500%, 01/15/27 |
|
|
223 |
|
| |
86 |
|
|
Series 1981, Class Z, 6.000%, 05/15/27 |
|
|
94 |
|
| |
27 |
|
|
Series 1987, Class PE, 7.500%, 09/15/27 |
|
|
32 |
|
| |
2 |
|
|
Series 2025, Class PE, 6.300%, 01/15/13 |
|
|
2 |
|
| |
13 |
|
|
Series 2033, Class SN, HB, IF, 26.419%, 03/15/24 |
|
|
11 |
|
| |
34 |
|
|
Series 2038, Class PN, IO, 7.000%, 03/15/28 |
|
|
8 |
|
| |
166 |
|
|
Series 2040, Class PE, 7.500%, 03/15/28 |
|
|
195 |
|
| |
42 |
|
|
Series 2056, Class TD, 6.500%, 05/15/18 |
|
|
46 |
|
| |
206 |
|
|
Series 2063, Class PG, 6.500%, 06/15/28 |
|
|
237 |
|
| |
31 |
|
|
Series 2064, Class TE, 7.000%, 06/15/28 |
|
|
36 |
|
| |
142 |
|
|
Series 2075, Class PH, 6.500%, 08/15/28 |
|
|
163 |
|
| |
138 |
|
|
Series 2075, Class PM, 6.250%, 08/15/28 |
|
|
143 |
|
| |
41 |
|
|
Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
|
|
10 |
|
| |
6 |
|
|
Series 2102, Class TC, 6.000%, 12/15/13 |
|
|
7 |
|
| |
37 |
|
|
Series 2115, Class PE, 6.000%, 01/15/14 |
|
|
38 |
|
| |
93 |
|
|
Series 2125, Class JZ, 6.000%, 02/15/29 |
|
|
97 |
|
| |
17 |
|
|
Series 2163, Class PC, IO, 7.500%, 06/15/29 |
|
|
4 |
|
| |
402 |
|
|
Series 2169, Class TB, 7.000%, 06/15/29 |
|
|
472 |
|
| |
112 |
|
|
Series 2172, Class QC, 7.000%, 07/15/29 |
|
|
131 |
|
| |
1 |
|
|
Series 2196, Class TL, 7.500%, 11/15/29 |
|
|
1 |
|
| |
58 |
|
|
Series 2201, Class C, 8.000%, 11/15/29 |
|
|
70 |
|
| |
134 |
|
|
Series 2210, Class Z, 8.000%, 01/15/30 |
|
|
161 |
|
| |
51 |
|
|
Series 2224, Class CB, 8.000%, 03/15/30 |
|
|
62 |
|
| |
71 |
|
|
Series 2256, Class MC, 7.250%, 09/15/30 |
|
|
84 |
|
| |
104 |
|
|
Series 2259, Class ZM, 7.000%, 10/15/30 |
|
|
122 |
|
| |
84 |
|
|
Series 2271, Class PC, 7.250%, 12/15/30 |
|
|
99 |
|
| |
107 |
|
|
Series 2283, Class K, 6.500%, 12/15/23 |
|
|
119 |
|
| |
40 |
|
|
Series 2296, Class PD, 7.000%, 03/15/31 |
|
|
47 |
|
| |
22 |
|
|
Series 2306, Class K, PO, 05/15/24 |
|
|
19 |
|
| |
53 |
|
|
Series 2306, Class SE, IF, IO, 9.080%, 05/15/24 |
|
|
10 |
|
| |
69 |
|
|
Series 2333, Class HC, 6.000%, 07/15/31 |
|
|
69 |
|
| |
34 |
|
|
Series 2344, Class QG, 6.000%, 08/15/16 |
|
|
36 |
|
| |
878 |
|
|
Series 2344, Class ZD, 6.500%, 08/15/31 |
|
|
966 |
|
| |
122 |
|
|
Series 2344, Class ZJ, 6.500%, 08/15/31 |
|
|
135 |
|
| |
78 |
|
|
Series 2345, Class NE, 6.500%, 08/15/31 |
|
|
81 |
|
| |
63 |
|
|
Series 2345, Class PQ, 6.500%, 08/15/16 |
|
|
65 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
68 |
|
|
Series 2347, Class VP, 6.500%, 03/15/20 |
|
|
68 |
|
| |
115 |
|
|
Series 2351, Class PZ, 6.500%, 08/15/31 |
|
|
130 |
|
| |
43 |
|
|
Series 2355, Class BP, 6.000%, 09/15/16 |
|
|
46 |
|
| |
48 |
|
|
Series 2360, Class PG, 6.000%, 09/15/16 |
|
|
52 |
|
| |
41 |
|
|
Series 2366, Class MD, 6.000%, 10/15/16 |
|
|
44 |
|
| |
70 |
|
|
Series 2391, Class QR, 5.500%, 12/15/16 |
|
|
74 |
|
| |
71 |
|
|
Series 2410, Class NG, 6.500%, 02/15/32 |
|
|
79 |
|
| |
107 |
|
|
Series 2410, Class OE, 6.375%, 02/15/32 |
|
|
117 |
|
| |
43 |
|
|
Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 |
|
|
9 |
|
| |
191 |
|
|
Series 2412, Class SP, IF, 15.621%, 02/15/32 |
|
|
262 |
|
| |
47 |
|
|
Series 2423, Class MC, 7.000%, 03/15/32 |
|
|
55 |
|
| |
99 |
|
|
Series 2423, Class MT, 7.000%, 03/15/32 |
|
|
111 |
|
| |
243 |
|
|
Series 2435, Class CJ, 6.500%, 04/15/32 |
|
|
281 |
|
| |
131 |
|
|
Series 2441, Class GF, 6.500%, 04/15/32 |
|
|
151 |
|
| |
111 |
|
|
Series 2444, Class ES, IF, IO, 7.711%, 03/15/32 |
|
|
25 |
|
| |
133 |
|
|
Series 2450, Class GZ, 7.000%, 05/15/32 |
|
|
157 |
|
| |
44 |
|
|
Series 2450, Class SW, IF, IO, 7.760%, 03/15/32 |
|
|
10 |
|
| |
212 |
|
|
Series 2455, Class GK, 6.500%, 05/15/32 |
|
|
245 |
|
| |
314 |
|
|
Series 2466, Class DH, 6.500%, 06/15/32 |
|
|
350 |
|
| |
160 |
|
|
Series 2466, Class PG, 6.500%, 04/15/32 |
|
|
166 |
|
| |
146 |
|
|
Series 2474, Class NR, 6.500%, 07/15/32 |
|
|
164 |
|
| |
270 |
|
|
Series 2484, Class LZ, 6.500%, 07/15/32 |
|
|
312 |
|
| |
401 |
|
|
Series 2500, Class MC, 6.000%, 09/15/32 |
|
|
438 |
|
| |
571 |
|
|
Series 2512, Class PG, 5.500%, 10/15/22 |
|
|
633 |
|
| |
96 |
|
|
Series 2535, Class BK, 5.500%, 12/15/22 |
|
|
107 |
|
| |
186 |
|
|
Series 2537, Class TE, 5.500%, 12/15/17 |
|
|
200 |
|
| |
640 |
|
|
Series 2543, Class YX, 6.000%, 12/15/32 |
|
|
720 |
|
| |
877 |
|
|
Series 2568, Class KG, 5.500%, 02/15/23 |
|
|
965 |
|
| |
810 |
|
|
Series 2575, Class ME, 6.000%, 02/15/33 |
|
|
926 |
|
| |
80 |
|
|
Series 2586, Class WI, IO, 6.500%, 03/15/33 |
|
|
16 |
|
| |
42 |
|
|
Series 2587, Class CO, PO, 03/15/32 |
|
|
42 |
|
| |
61 |
|
|
Series 2597, Class AD, 6.500%, 03/15/32 |
|
|
61 |
|
| |
10 |
|
|
Series 2597, Class DS, IF, IO, 7.310%, 02/15/33 |
|
|
— |
(h) |
| |
16 |
|
|
Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 |
|
|
— |
(h) |
| |
17 |
|
|
Series 2610, Class DS, IF, IO, 6.860%, 03/15/33 |
|
|
— |
(h) |
| |
261 |
|
|
Series 2617, Class GR, 4.500%, 05/15/18 |
|
|
277 |
|
| |
214 |
|
|
Series 2622, Class PE, 4.500%, 05/15/18 |
|
|
227 |
|
| |
121 |
|
|
Series 2631, Class LC, 4.500%, 06/15/18 |
|
|
129 |
|
| |
123 |
|
|
Series 2640, Class VE, 3.250%, 07/15/22 |
|
|
124 |
|
| |
187 |
|
|
Series 2651, Class VZ, 4.500%, 07/15/18 |
|
|
199 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
61 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
189 |
|
|
Series 2672, Class ME, 5.000%, 11/15/22 |
|
|
199 |
|
| |
372 |
|
|
Series 2675, Class CK, 4.000%, 09/15/18 |
|
|
393 |
|
| |
48 |
|
|
Series 2682, Class YS, IF, 8.631%, 10/15/33 |
|
|
48 |
|
| |
706 |
|
|
Series 2684, Class PO, PO, 01/15/33 |
|
|
684 |
|
| |
61 |
|
|
Series 2695, Class DE, 4.000%, 01/15/17 |
|
|
61 |
|
| |
16 |
|
|
Series 2705, Class SC, IF, 8.641%, 11/15/33 |
|
|
16 |
|
| |
16 |
|
|
Series 2705, Class SD, IF, 8.692%, 11/15/33 |
|
|
16 |
|
| |
223 |
|
|
Series 2744, Class TU, 5.500%, 05/15/32 |
|
|
237 |
|
| |
21 |
|
|
Series 2755, Class PA, PO, 02/15/29 |
|
|
21 |
|
| |
26 |
|
|
Series 2755, Class SA, IF, 13.721%, 05/15/30 |
|
|
28 |
|
| |
418 |
|
|
Series 2777, Class KO, PO, 02/15/33 |
|
|
411 |
|
| |
197 |
|
|
Series 2802, Class MB, 5.500%, 11/15/31 |
|
|
200 |
|
| |
47 |
|
|
Series 2815, Class YS, IF, 9.554%, 01/15/34 |
|
|
51 |
|
| |
754 |
|
|
Series 2907, Class VC, 4.500%, 05/15/34 |
|
|
816 |
|
| |
207 |
|
|
Series 2934, Class EC, PO, 02/15/20 |
|
|
198 |
|
| |
213 |
|
|
Series 2990, Class SL, HB, IF , 23.615%, 06/15/34 |
|
|
323 |
|
| |
500 |
|
|
Series 2999, Class ND, 4.500%, 07/15/20 |
|
|
544 |
|
| |
200 |
|
|
Series 3068, Class AO, PO, 01/15/35 |
|
|
196 |
|
| |
279 |
|
|
Series 3117, Class EO, PO, 02/15/36 |
|
|
261 |
|
| |
32 |
|
|
Series 3117, Class OK, PO, 02/15/36 |
|
|
30 |
|
| |
440 |
|
|
Series 3122, Class OH, PO, 03/15/36 |
|
|
426 |
|
| |
387 |
|
|
Series 3137, Class XP, 6.000%, 04/15/36 |
|
|
438 |
|
| |
17 |
|
|
Series 3149, Class SO, PO, 05/15/36 |
|
|
16 |
|
| |
504 |
|
|
Series 3152, Class MO, PO, 03/15/36 |
|
|
447 |
|
| |
222 |
|
|
Series 3171, Class MO, PO, 06/15/36 |
|
|
212 |
|
| |
181 |
|
|
Series 3179, Class OA, PO, 07/15/36 |
|
|
174 |
|
| |
836 |
|
|
Series 3202, Class HI, IF, IO, 6.410%, 08/15/36 |
|
|
133 |
|
| |
193 |
|
|
Series 3232, Class ST, IF, IO, 6.460%, 10/15/36 |
|
|
30 |
|
| |
225 |
|
|
Series 3253, Class PO, PO, 12/15/21 |
|
|
218 |
|
| |
150 |
|
|
Series 3316, Class JO, PO, 05/15/37 |
|
|
143 |
|
| |
450 |
|
|
Series 3481, Class SJ, IF, IO, 5.610%, 08/15/38 |
|
|
60 |
|
| |
288 |
|
|
Series 3607, Class AO, PO, 04/15/36 |
|
|
278 |
|
| |
187 |
|
|
Series 3607, Class EO, PO, 02/15/33 |
|
|
181 |
|
| |
168 |
|
|
Series 3611, Class PO, PO, 07/15/34 |
|
|
157 |
|
| |
867 |
|
|
Series 3666, Class VA, 5.500%, 12/15/22 |
|
|
940 |
|
| |
847 |
|
|
Series 3680, Class MA, 4.500%, 07/15/39 |
|
|
928 |
|
| |
734 |
|
|
Series 3804, Class FN, VAR, 0.689%, 03/15/39 |
|
|
736 |
|
| |
1,088 |
|
|
Series 3819, Class ZQ, 6.000%, 04/15/36 |
|
|
1,275 |
|
| |
481 |
|
|
Series 3997, Class PF, VAR, 0.689%, 11/15/39 |
|
|
482 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. STRIPS, |
|
|
|
|
| |
92 |
|
|
Series 243, Class 16, IO, 4.500%, 11/15/20 |
|
|
8 |
|
| |
998 |
|
|
Series 262, Class 35, 3.500%, 07/15/42 |
|
|
1,065 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
|
| |
52 |
|
|
Series T-41, Class 3A, VAR, 6.917%, 07/25/32 |
|
|
60 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
43 |
|
|
Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
|
|
52 |
|
| |
427 |
|
|
Series T-54, Class 2A, 6.500%, 02/25/43 |
|
|
506 |
|
| |
148 |
|
|
Series T-54, Class 3A, 7.000%, 02/25/43 |
|
|
177 |
|
| |
1,127 |
|
|
Series T-56, Class A5, 5.231%, 05/25/43 |
|
|
1,270 |
|
| |
39 |
|
|
Series T-58, Class APO, PO, 09/25/43 |
|
|
37 |
|
| |
303 |
|
|
Series T-76, Class 2A, VAR, 3.997%, 10/25/37 |
|
|
310 |
|
| |
500 |
|
|
Federal National Mortgage Association - ACES, Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 |
|
|
571 |
|
| |
145 |
|
|
Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41 |
|
|
172 |
|
|
|
|
|
Federal National Mortgage Association REMICS, |
|
|
|
|
| |
2 |
|
|
Series 1988-7, Class Z, 9.250%, 04/25/18 |
|
|
2 |
|
| |
10 |
|
|
Series 1989-70, Class G, 8.000%, 10/25/19 |
|
|
11 |
|
| |
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 |
|
|
3 |
|
| |
1 |
|
|
Series 1990-1, Class D, 8.800%, 01/25/20 |
|
|
1 |
|
| |
2 |
|
|
Series 1990-7, Class B, 8.500%, 01/25/20 |
|
|
2 |
|
| |
1 |
|
|
Series 1990-60, Class K, 5.500%, 06/25/20 |
|
|
2 |
|
| |
2 |
|
|
Series 1990-63, Class H, 9.500%, 06/25/20 |
|
|
2 |
|
| |
1 |
|
|
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 |
|
| |
12 |
|
|
Series 1990-102, Class J, 6.500%, 08/25/20 |
|
|
13 |
|
| |
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 |
|
|
6 |
|
| |
69 |
|
|
Series 1992-107, Class SB, HB, IF, 29.329%, 06/25/22 |
|
|
125 |
|
| |
5 |
|
|
Series 1992-143, Class MA, 5.500%, 09/25/22 |
|
|
6 |
|
| |
37 |
|
|
Series 1993-25, Class J, 7.500%, 03/25/23 |
|
|
43 |
|
| |
223 |
|
|
Series 1993-37, Class PX, 7.000%, 03/25/23 |
|
|
255 |
|
| |
79 |
|
|
Series 1993-54, Class Z, 7.000%, 04/25/23 |
|
|
90 |
|
| |
16 |
|
|
Series 1993-62, Class SA, IF, 17.929%, 04/25/23 |
|
|
25 |
|
| |
21 |
|
|
Series 1993-122, Class M, 6.500%, 07/25/23 |
|
|
23 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 62 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
8 |
|
|
Series 1993-165, Class SD, IF, 12.489%, 09/25/23 |
|
|
11 |
|
| |
35 |
|
|
Series 1993-178, Class PK, 6.500%, 09/25/23 |
|
|
39 |
|
| |
630 |
|
|
Series 1993-183, Class KA, 6.500%, 10/25/23 |
|
|
710 |
|
| |
258 |
|
|
Series 1993-189, Class PL, 6.500%, 10/25/23 |
|
|
297 |
|
| |
12 |
|
|
Series 1993-225, Class SG, HB, IF , 26.464%, 12/25/13 |
|
|
13 |
|
| |
55 |
|
|
Series 1993-247, Class SA, HB, IF , 26.068%, 12/25/23 |
|
|
97 |
|
| |
88 |
|
|
Series 1993-250, Class Z, 7.000%, 12/25/23 |
|
|
92 |
|
| |
36 |
|
|
Series 1993-257, Class C, PO, 06/25/23 |
|
|
36 |
|
| |
4 |
|
|
Series 1994-9, Class E, PO, 11/25/23 |
|
|
3 |
|
| |
146 |
|
|
Series 1996-14, Class SE, IF, IO, 9.280%, 08/25/23 |
|
|
30 |
|
| |
7 |
|
|
Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 |
|
|
7 |
|
| |
18 |
|
|
Series 1996-59, Class J, 6.500%, 08/25/22 |
|
|
20 |
|
| |
6 |
|
|
Series 1996-59, Class K, 6.500%, 07/25/23 |
|
|
6 |
|
| |
75 |
|
|
Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 |
|
|
4 |
|
| |
75 |
|
|
Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
|
|
4 |
|
| |
39 |
|
|
Series 1997-27, Class J, 7.500%, 04/18/27 |
|
|
44 |
|
| |
38 |
|
|
Series 1997-29, Class J, 7.500%, 04/20/27 |
|
|
43 |
|
| |
79 |
|
|
Series 1997-39, Class PD, 7.500%, 05/20/27 |
|
|
93 |
|
| |
30 |
|
|
Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
|
|
7 |
|
| |
3 |
|
|
Series 1998-4, Class C, PO, 04/25/23 |
|
|
3 |
|
| |
41 |
|
|
Series 1998-36, Class ZB, 6.000%, 07/18/28 |
|
|
46 |
|
| |
339 |
|
|
Series 1998-43, Class EA, PO, 04/25/23 |
|
|
306 |
|
| |
187 |
|
|
Series 2000-2, Class ZE, 7.500%, 02/25/30 |
|
|
220 |
|
| |
65 |
|
|
Series 2001-4, Class PC, 7.000%, 03/25/21 |
|
|
71 |
|
| |
18 |
|
|
Series 2001-5, Class OW, 6.000%, 03/25/16 |
|
|
18 |
|
| |
163 |
|
|
Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
|
|
36 |
|
| |
166 |
|
|
Series 2001-36, Class DE, 7.000%, 08/25/31 |
|
|
196 |
|
| |
41 |
|
|
Series 2001-44, Class PD, 7.000%, 09/25/31 |
|
|
49 |
|
| |
267 |
|
|
Series 2001-48, Class Z, 6.500%, 09/25/21 |
|
|
300 |
|
| |
40 |
|
|
Series 2001-49, Class Z, 6.500%, 09/25/31 |
|
|
46 |
|
| |
89 |
|
|
Series 2001-71, Class MB, 6.000%, 12/25/16 |
|
|
95 |
|
| |
115 |
|
|
Series 2001-71, Class QE, 6.000%, 12/25/16 |
|
|
122 |
|
| |
649 |
|
|
Series 2001-74, Class MB, 6.000%, 12/25/16 |
|
|
694 |
|
| |
30 |
|
|
Series 2001-81, Class LO, PO, 01/25/32 |
|
|
27 |
|
| |
86 |
|
|
Series 2002-1, Class HC, 6.500%, 02/25/22 |
|
|
96 |
|
| |
36 |
|
|
Series 2002-1, Class SA, HB, IF , 24.422%, 02/25/32 |
|
|
64 |
|
| |
54 |
|
|
Series 2002-2, Class UC, 6.000%, 02/25/17 |
|
|
57 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
109 |
|
|
Series 2002-3, Class OG, 6.000%, 02/25/17 |
|
|
116 |
|
| |
111 |
|
|
Series 2002-21, Class PE, 6.500%, 04/25/32 |
|
|
124 |
|
| |
200 |
|
|
Series 2002-24, Class AJ, 6.000%, 04/25/17 |
|
|
216 |
|
| |
108 |
|
|
Series 2002-28, Class PK, 6.500%, 05/25/32 |
|
|
125 |
|
| |
137 |
|
|
Series 2002-37, Class Z, 6.500%, 06/25/32 |
|
|
151 |
|
| |
442 |
|
|
Series 2002-84, Class VB, 5.500%, 04/25/15 |
|
|
448 |
|
| |
5 |
|
|
Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
|
|
— |
(h) |
| |
280 |
|
|
Series 2002-94, Class BK, 5.500%, 01/25/18 |
|
|
299 |
|
| |
202 |
|
|
Series 2003-22, Class UD, 4.000%, 04/25/33 |
|
|
225 |
|
| |
162 |
|
|
Series 2003-34, Class GB, 6.000%, 03/25/33 |
|
|
190 |
|
| |
304 |
|
|
Series 2003-34, Class GE, 6.000%, 05/25/33 |
|
|
376 |
|
| |
27 |
|
|
Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
|
|
5 |
|
| |
405 |
|
|
Series 2003-47, Class PE, 5.750%, 06/25/33 |
|
|
463 |
|
| |
64 |
|
|
Series 2003-52, Class SX, HB, IF , 22.243%, 10/25/31 |
|
|
113 |
|
| |
65 |
|
|
Series 2003-64, Class SX, IF, 13.136%, 07/25/33 |
|
|
82 |
|
| |
257 |
|
|
Series 2003-71, Class DS, IF, 7.139%, 08/25/33 |
|
|
267 |
|
| |
98 |
|
|
Series 2003-73, Class GA, 3.500%, 05/25/31 |
|
|
99 |
|
| |
237 |
|
|
Series 2003-80, Class SY, IF, IO, 7.414%, 06/25/23 |
|
|
28 |
|
| |
254 |
|
|
Series 2003-83, Class PG, 5.000%, 06/25/23 |
|
|
273 |
|
| |
45 |
|
|
Series 2003-91, Class SD, IF, 12.107%, 09/25/33 |
|
|
55 |
|
| |
341 |
|
|
Series 2003-116, Class SB, IF, IO, 7.364%, 11/25/33 |
|
|
75 |
|
| |
26 |
|
|
Series 2003-128, Class KE, 4.500%, 01/25/14 |
|
|
27 |
|
| |
488 |
|
|
Series 2003-128, Class NG, 4.000%, 01/25/19 |
|
|
517 |
|
| |
75 |
|
|
Series 2003-130, Class SX, IF, 11.167%, 01/25/34 |
|
|
87 |
|
| |
— |
(h) |
|
Series 2004-14, Class SD, IF, 8.706%, 03/25/34 |
|
|
— |
(h) |
| |
1,000 |
|
|
Series 2004-21, Class AE, 4.000%, 04/25/19 |
|
|
1,065 |
|
| |
11 |
|
|
Series 2004-21, Class CO, PO, 04/25/34 |
|
|
11 |
|
| |
405 |
|
|
Series 2004-25, Class PC, 5.500%, 01/25/34 |
|
|
446 |
|
| |
240 |
|
|
Series 2004-25, Class SA, IF, 18.877%, 04/25/34 |
|
|
356 |
|
| |
263 |
|
|
Series 2004-36, Class PC, 5.500%, 02/25/34 |
|
|
290 |
|
| |
197 |
|
|
Series 2004-36, Class SA, IF, 18.877%, 05/25/34 |
|
|
293 |
|
| |
149 |
|
|
Series 2004-46, Class SK, IF, 15.852%, 05/25/34 |
|
|
206 |
|
| |
783 |
|
|
Series 2004-50, Class VZ, 5.500%, 07/25/34 |
|
|
929 |
|
| |
1 |
|
|
Series 2004-61, Class CO, PO, 10/25/31 |
|
|
1 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
63 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
115 |
|
|
Series 2004-61, Class SH, HB, IF , 23.046%, 11/25/32 |
|
|
192 |
|
| |
126 |
|
|
Series 2004-74, Class SW, IF, 15.026%, 11/25/31 |
|
|
177 |
|
| |
219 |
|
|
Series 2004-76, Class CL, 4.000%, 10/25/19 |
|
|
231 |
|
| |
1,470 |
|
|
Series 2004-86, Class AE, 4.500%, 02/25/32 |
|
|
1,493 |
|
| |
18 |
|
|
Series 2005-40, Class YA, 5.000%, 09/25/20 |
|
|
18 |
|
| |
189 |
|
|
Series 2005-45, Class DC, HB, IF , 23.447%, 06/25/35 |
|
|
299 |
|
| |
86 |
|
|
Series 2005-52, Class PA, 6.500%, 06/25/35 |
|
|
93 |
|
| |
170 |
|
|
Series 2005-56, Class S, IF, IO, 6.474%, 07/25/35 |
|
|
29 |
|
| |
314 |
|
|
Series 2005-56, Class TP, IF, 17.444%, 08/25/33 |
|
|
449 |
|
| |
988 |
|
|
Series 2005-68, Class PG, 5.500%, 08/25/35 |
|
|
1,123 |
|
| |
380 |
|
|
Series 2005-73, Class PS, IF, 16.111%, 08/25/35 |
|
|
539 |
|
| |
177 |
|
|
Series 2005-74, Class CS, IF, 19.372%, 05/25/35 |
|
|
258 |
|
| |
348 |
|
|
Series 2005-106, Class US, HB, IF , 23.703%, 11/25/35 |
|
|
565 |
|
| |
1,000 |
|
|
Series 2005-121, Class DX, 5.500%, 01/25/26 |
|
|
1,138 |
|
| |
431 |
|
|
Series 2006-27, Class OH, PO, 04/25/36 |
|
|
395 |
|
| |
10 |
|
|
Series 2006-43, Class VB, 6.500%, 10/25/17 |
|
|
10 |
|
| |
161 |
|
|
Series 2006-44, Class P, PO, 12/25/33 |
|
|
155 |
|
| |
804 |
|
|
Series 2006-56, Class FC, VAR, 0.525%, 07/25/36 |
|
|
806 |
|
| |
329 |
|
|
Series 2006-59, Class QO, PO, 01/25/33 |
|
|
316 |
|
| |
156 |
|
|
Series 2006-65, Class QO, PO, 07/25/36 |
|
|
150 |
|
| |
220 |
|
|
Series 2006-72, Class GO, PO, 08/25/36 |
|
|
206 |
|
| |
405 |
|
|
Series 2006-77, Class PC, 6.500%, 08/25/36 |
|
|
466 |
|
| |
178 |
|
|
Series 2006-79, Class DO, PO, 08/25/36 |
|
|
163 |
|
| |
365 |
|
|
Series 2006-110, Class PO, PO, 11/25/36 |
|
|
352 |
|
| |
879 |
|
|
Series 2006-124, Class HB, VAR, 5.969%, 11/25/36 |
|
|
962 |
|
| |
309 |
|
|
Series 2007-14, Class ES, IF, IO, 6.204%, 03/25/37 |
|
|
43 |
|
| |
192 |
|
|
Series 2007-79, Class SB, HB, IF , 23.153%, 08/25/37 |
|
|
294 |
|
| |
500 |
|
|
Series 2007-81, Class GE, 6.000%, 08/25/37 |
|
|
611 |
|
| |
375 |
|
|
Series 2007-88, Class VI, IF, IO, 6.305%, 09/25/37 |
|
|
62 |
|
| |
966 |
|
|
Series 2007-91, Class ES, IF, IO, 6.225%, 10/25/37 |
|
|
151 |
|
| |
237 |
|
|
Series 2007-106, Class A7, VAR, 5.952%, 10/25/37 |
|
|
265 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
207 |
|
|
Series 2007-116, Class HI, IO, VAR, 4.180%, 01/25/38 |
|
|
15 |
|
| |
159 |
|
|
Series 2008-10, Class XI, IF, IO, 5.995%, 03/25/38 |
|
|
24 |
|
| |
180 |
|
|
Series 2008-16, Class IS, IF, IO, 5.965%, 03/25/38 |
|
|
25 |
|
| |
209 |
|
|
Series 2008-28, Class QS, IF, 19.994%, 04/25/38 |
|
|
303 |
|
| |
205 |
|
|
Series 2008-46, Class HI, IO, VAR, 6.106%, 06/25/38 |
|
|
13 |
|
| |
32 |
|
|
Series 2008-66, Class GD, 6.000%, 06/25/30 |
|
|
32 |
|
| |
237 |
|
|
Series 2009-69, Class PO, PO, 09/25/39 |
|
|
223 |
|
| |
758 |
|
|
Series 2009-71, Class BC, 4.500%, 09/25/24 |
|
|
890 |
|
| |
359 |
|
|
Series 2009-103, Class MB, VAR, 3.641%, 12/25/39 |
|
|
384 |
|
| |
722 |
|
|
Series 2010-71, Class HJ, 5.500%, 07/25/40 |
|
|
798 |
|
| |
1,215 |
|
|
Series 2010-133, Class A, 5.500%, 05/25/38 |
|
|
1,297 |
|
| |
844 |
|
|
Series 2011-118, Class MT, 7.000%, 11/25/41 |
|
|
1,046 |
|
| |
836 |
|
|
Series 2011-118, Class NT, 7.000%, 11/25/41 |
|
|
981 |
|
| |
956 |
|
|
Series 2011-149, Class EF, VAR, 0.735%, 07/25/41 |
|
|
958 |
|
| |
477 |
|
|
Series 2012-47, Class HF, VAR, 0.635%, 05/25/27 |
|
|
478 |
|
| |
4 |
|
|
Series G-14, Class L, 8.500%, 06/25/21 |
|
|
4 |
|
| |
17 |
|
|
Series G-18, Class Z, 8.750%, 06/25/21 |
|
|
20 |
|
| |
4 |
|
|
Series G-22, Class G, 6.000%, 12/25/16 |
|
|
4 |
|
| |
13 |
|
|
Series G-35, Class M, 8.750%, 10/25/21 |
|
|
15 |
|
| |
54 |
|
|
Series G92-35, Class E, 7.500%, 07/25/22 |
|
|
61 |
|
| |
3 |
|
|
Series G92-42, Class Z, 7.000%, 07/25/22 |
|
|
4 |
|
| |
54 |
|
|
Series G92-44, Class ZQ, 8.000%, 07/25/22 |
|
|
61 |
|
| |
56 |
|
|
Series G92-54, Class ZQ, 7.500%, 09/25/22 |
|
|
63 |
|
| |
12 |
|
|
Series G93-5, Class Z, 6.500%, 02/25/23 |
|
|
14 |
|
| |
17 |
|
|
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 |
|
| |
160 |
|
|
Series 300, Class 1, PO, 09/01/24 |
|
|
142 |
|
| |
34 |
|
|
Series 329, Class 1, PO, 01/01/33 |
|
|
32 |
|
|
|
|
|
Federal National Mortgage Association Whole Loan, |
|
|
|
|
| |
200 |
|
|
Series 2003-W1, Class 1A1, VAR, 6.224%, 12/25/42 |
|
|
231 |
|
| |
56 |
|
|
Series 2003-W4, Class 2A, VAR, 6.497%, 10/25/42 |
|
|
63 |
|
| |
133 |
|
|
Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
|
|
154 |
|
| |
409 |
|
|
Series 2005-W3, Class 2AF, VAR, 0.455%, 03/25/45 |
|
|
407 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 64 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
100 |
|
|
Series 2007-W7, Class 1A4, HB, IF , 37.767%, 07/25/37 |
|
|
204 |
|
|
|
|
|
Government National Mortgage Association, |
|
|
|
|
| |
156 |
|
|
Series 1994-4, Class KQ, 7.988%, 07/16/24 |
|
|
188 |
|
| |
287 |
|
|
Series 1994-7, Class PQ, 6.500%, 10/16/24 |
|
|
337 |
|
| |
74 |
|
|
Series 1995-3, Class DQ, 8.050%, 06/16/25 |
|
|
86 |
|
| |
17 |
|
|
Series 1995-7, Class CQ, 7.500%, 09/16/25 |
|
|
20 |
|
| |
137 |
|
|
Series 1996-16, Class E, 7.500%, 08/16/26 |
|
|
158 |
|
| |
28 |
|
|
Series 1998-26, Class K, 7.500%, 09/17/25 |
|
|
32 |
|
| |
399 |
|
|
Series 1999-10, Class ZC, 6.500%, 04/20/29 |
|
|
467 |
|
| |
43 |
|
|
Series 1999-30, Class S, IF, IO, 8.362%, 08/16/29 |
|
|
7 |
|
| |
44 |
|
|
Series 1999-41, Class Z, 8.000%, 11/16/29 |
|
|
52 |
|
| |
37 |
|
|
Series 1999-44, Class PC, 7.500%, 12/20/29 |
|
|
43 |
|
| |
16 |
|
|
Series 2000-9, Class Z, 8.000%, 06/20/30 |
|
|
20 |
|
| |
350 |
|
|
Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
|
|
425 |
|
| |
130 |
|
|
Series 2000-14, Class PD, 7.000%, 02/16/30 |
|
|
154 |
|
| |
35 |
|
|
Series 2000-16, Class ZN, 7.500%, 02/16/30 |
|
|
36 |
|
| |
107 |
|
|
Series 2001-7, Class PK, 6.500%, 03/20/31 |
|
|
114 |
|
| |
7 |
|
|
Series 2001-32, Class WA, IF, 19.532%, 07/20/31 |
|
|
12 |
|
| |
238 |
|
|
Series 2001-64, Class MQ, 6.500%, 12/20/31 |
|
|
253 |
|
| |
40 |
|
|
Series 2002-7, Class PG, 6.500%, 01/20/32 |
|
|
48 |
|
| |
60 |
|
|
Series 2002-31, Class S, IF, IO, 8.462%, 01/16/31 |
|
|
14 |
|
| |
156 |
|
|
Series 2002-40, Class UK, 6.500%, 06/20/32 |
|
|
185 |
|
| |
148 |
|
|
Series 2002-47, Class PG, 6.500%, 07/16/32 |
|
|
174 |
|
| |
192 |
|
|
Series 2002-47, Class PY, 6.000%, 07/20/32 |
|
|
221 |
|
| |
183 |
|
|
Series 2002-47, Class ZA, 6.500%, 07/20/32 |
|
|
217 |
|
| |
15 |
|
|
Series 2002-51, Class SG, HB, IF , 31.473%, 04/20/31 |
|
|
33 |
|
| |
88 |
|
|
Series 2002-54, Class GB, 6.500%, 08/20/32 |
|
|
101 |
|
| |
39 |
|
|
Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
|
|
1 |
|
| |
61 |
|
|
Series 2003-4, Class NY, 5.500%, 12/20/13 |
|
|
63 |
|
| |
31 |
|
|
Series 2003-24, Class PO, PO, 03/16/33 |
|
|
28 |
|
| |
304 |
|
|
Series 2003-40, Class TJ, 6.500%, 03/20/33 |
|
|
381 |
|
| |
155 |
|
|
Series 2003-52, Class AP, PO, 06/16/33 |
|
|
142 |
|
| |
35 |
|
|
Series 2004-28, Class S, IF, 19.007%, 04/16/34 |
|
|
57 |
|
| |
46 |
|
|
Series 2004-68, Class PO, PO, 05/20/31 |
|
|
45 |
|
| |
120 |
|
|
Series 2004-71, Class SB, HB, IF , 28.300%, 09/20/34 |
|
|
188 |
|
| |
65 |
|
|
Series 2004-73, Class AE, IF, 14.364%, 08/17/34 |
|
|
85 |
|
| |
599 |
|
|
Series 2004-90, Class SI, IF, IO, 5.863%, 10/20/34 |
|
|
94 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency CMO — Continued |
|
| |
178 |
|
|
Series 2005-68, Class DP, IF, 15.860%, 06/17/35 |
|
|
252 |
|
| |
1,258 |
|
|
Series 2005-68, Class KI, IF, IO, 6.063%, 09/20/35 |
|
|
186 |
|
| |
142 |
|
|
Series 2006-59, Class SD, IF, IO, 6.463%, 10/20/36 |
|
|
25 |
|
| |
475 |
|
|
Series 2007-17, Class JI, IF, IO, 6.572%, 04/16/37 |
|
|
83 |
|
| |
583 |
|
|
Series 2007-27, Class SA, IF, IO, 5.963%, 05/20/37 |
|
|
94 |
|
| |
933 |
|
|
Series 2007-40, Class SB, IF, IO, 6.513%, 07/20/37 |
|
|
148 |
|
| |
585 |
|
|
Series 2007-45, Class QA, IF, IO, 6.403%, 07/20/37 |
|
|
97 |
|
| |
153 |
|
|
Series 2007-49, Class NO, PO, 12/20/35 |
|
|
152 |
|
| |
679 |
|
|
Series 2007-50, Class AI, IF, IO, 6.538%, 08/20/37 |
|
|
113 |
|
| |
140 |
|
|
Series 2007-53, Class ES, IF, IO, 6.313%, 09/20/37 |
|
|
25 |
|
| |
170 |
|
|
Series 2007-53, Class SW, IF, 19.494%, 09/20/37 |
|
|
249 |
|
| |
341 |
|
|
Series 2007-57, Class QA, IF, IO, 6.263%, 10/20/37 |
|
|
52 |
|
| |
230 |
|
|
Series 2007-71, Class SB, IF, IO, 6.463%, 07/20/36 |
|
|
27 |
|
| |
334 |
|
|
Series 2007-72, Class US, IF, IO, 6.313%, 11/20/37 |
|
|
56 |
|
| |
332 |
|
|
Series 2007-76, Class SA, IF, IO, 6.293%, 11/20/37 |
|
|
55 |
|
| |
91 |
|
|
Series 2008-25, Class SB, IF, IO, 6.663%, 03/20/38 |
|
|
17 |
|
| |
186 |
|
|
Series 2008-33, Class XS, IF, IO, 7.462%, 04/16/38 |
|
|
30 |
|
| |
408 |
|
|
Series 2008-40, Class SA, IF, IO, 6.162%, 05/16/38 |
|
|
84 |
|
| |
500 |
|
|
Series 2008-50, Class KB, 6.000%, 06/20/38 |
|
|
583 |
|
| |
478 |
|
|
Series 2008-55, Class SA, IF, IO, 5.963%, 06/20/38 |
|
|
71 |
|
| |
411 |
|
|
Series 2008-93, Class AS, IF, IO, 5.463%, 12/20/38 |
|
|
58 |
|
| |
185 |
|
|
Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 |
|
|
31 |
|
| |
193 |
|
|
Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
|
|
37 |
|
| |
723 |
|
|
Series 2009-22, Class SA, IF, IO, 6.033%, 04/20/39 |
|
|
105 |
|
| |
713 |
|
|
Series 2009-31, Class ST, IF, IO, 6.113%, 03/20/39 |
|
|
94 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
65 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Agency CMO — Continued |
|
| |
713 |
|
|
Series 2009-31, Class TS, IF, IO, 6.063%, 03/20/39 |
|
|
93 |
|
| |
468 |
|
|
Series 2009-79, Class OK, PO, 11/16/37 |
|
|
435 |
|
| |
959 |
|
|
Series 2009-106, Class ST, IF, IO, 5.763%, 02/20/38 |
|
|
146 |
|
| |
284 |
|
|
Series 2010-14, Class AO, PO, 12/20/32 |
|
|
277 |
|
| |
328 |
|
|
Series 2010-130, Class CP, 7.000%, 10/16/40 |
|
|
387 |
|
| |
893 |
|
|
Series 2011-137, Class WA, VAR, 5.538%, 07/20/40 |
|
|
1,013 |
|
|
|
|
|
NCUA Guaranteed Notes, |
|
|
|
|
| |
754 |
|
|
Series 2010-C1, Class APT, 2.650%, 10/29/20 |
|
|
795 |
|
| |
181 |
|
|
Series 2010-R3, Class 3A, 2.400%, 12/08/20 |
|
|
185 |
|
|
|
|
|
Vendee Mortgage Trust, |
|
|
|
|
| |
764 |
|
|
Series 1993-1, Class ZB, 7.250%, 02/15/23 |
|
|
887 |
|
| |
313 |
|
|
Series 1994-1, Class 1, VAR, 5.628%, 02/15/24 |
|
|
356 |
|
| |
456 |
|
|
Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
|
|
533 |
|
| |
156 |
|
|
Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
|
|
185 |
|
| |
617 |
|
|
Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
|
|
732 |
|
| |
153 |
|
|
Series 1998-1, Class 2E, 7.000%, 03/15/28 |
|
|
184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — 5.2% |
|
|
|
|
|
American General Mortgage Loan Trust, |
|
|
|
|
| |
350 |
|
|
Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) |
|
|
351 |
|
| |
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) |
|
|
409 |
|
|
|
|
|
ASG Resecuritization Trust, |
|
|
|
|
| |
191 |
|
|
Series 2009-1, Class A60, VAR, 2.490%, 06/26/37 (e) |
|
|
190 |
|
| |
209 |
|
|
Series 2009-2, Class A55, VAR, 5.199%, 05/24/36 (e) |
|
|
207 |
|
| |
469 |
|
|
Series 2009-3, Class A65, VAR, 2.608%, 03/26/37 (e) |
|
|
461 |
|
|
|
|
|
Banc of America Alternative Loan Trust, |
|
|
|
|
| |
162 |
|
|
Series 2003-7, Class 2A4, 5.000%, 09/25/18 |
|
|
166 |
|
| |
122 |
|
|
Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
|
|
125 |
|
| |
52 |
|
|
Series 2003-11, Class PO, PO, 01/25/34 |
|
|
38 |
|
| |
57 |
|
|
Banc of America Funding Corp., Series 2004-1, Class PO, PO, 03/25/34 |
|
|
45 |
|
|
|
|
|
Banc of America Mortgage Securities, Inc., |
|
|
|
|
| |
33 |
|
|
Series 2003-8, Class APO, PO, 11/25/33 |
|
|
30 |
|
| |
67 |
|
|
Series 2004-1, Class APO, PO, 02/25/34 |
|
|
64 |
|
| |
200 |
|
|
Series 2004-3, Class 1A26, 5.500%, 04/25/34 |
|
|
205 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
50 |
|
|
Series 2004-6, Class APO, PO, 07/25/34 |
|
|
47 |
|
|
|
|
|
BCAP LLC Trust, |
|
|
|
|
| |
432 |
|
|
Series 2010-RR7, Class 2A1, VAR, 2.445%, 07/26/45 (e) |
|
|
405 |
|
| |
448 |
|
|
Series 2011-RR10, Class 2A1, VAR, 4.326%, 09/26/37 (e) |
|
|
396 |
|
| |
136 |
|
|
Series 2011-RR5, Class 14A3, VAR, 2.933%, 07/26/36 (e) (f) (i) |
|
|
131 |
|
| |
436 |
|
|
Series 2012-RR2, Class 1A1, VAR, 0.406%, 08/26/36 (e) (f) (i) |
|
|
413 |
|
| |
168 |
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A1, VAR, 2.240%, 08/25/35 |
|
|
171 |
|
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
| |
34 |
|
|
Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
|
|
35 |
|
| |
98 |
|
|
Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
|
|
102 |
|
| |
12 |
|
|
Series 2003-UST1, Class PO1, PO, 12/25/18 |
|
|
12 |
|
| |
9 |
|
|
Series 2003-UST1, Class PO3, PO, 12/25/18 |
|
|
9 |
|
| |
223 |
|
|
Series 2008-AR4, Class 1A1A, VAR, 3.040%, 11/25/38 (e) |
|
|
223 |
|
| |
1,036 |
|
|
Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) |
|
|
1,073 |
|
| |
559 |
|
|
Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) |
|
|
581 |
|
|
|
|
|
Countrywide Alternative Loan Trust, |
|
|
|
|
| |
256 |
|
|
Series 2002-8, Class A4, 6.500%, 07/25/32 |
|
|
268 |
|
| |
1,636 |
|
|
Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
|
|
1,616 |
|
| |
188 |
|
|
Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
|
|
192 |
|
| |
466 |
|
|
Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
|
|
404 |
|
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, |
|
|
|
|
| |
240 |
|
|
Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
|
|
240 |
|
| |
46 |
|
|
Series 2003-J13, Class PO, PO, 01/25/34 |
|
|
44 |
|
| |
65 |
|
|
Series 2003-J7, Class 4A3, IF, 9.469%, 08/25/18 |
|
|
71 |
|
| |
140 |
|
|
Series 2004-5, Class 1A4, 5.500%, 06/25/34 |
|
|
146 |
|
| |
45 |
|
|
Series 2004-HYB3, Class 2A, VAR, 2.813%, 06/20/34 |
|
|
40 |
|
| |
443 |
|
|
Series 2005-22, Class 2A1, VAR, 2.723%, 11/25/35 |
|
|
333 |
|
| |
226 |
|
|
Series 2005-R1, Class 2APO, PO, 03/25/35 (e) |
|
|
167 |
|
|
|
|
|
Credit Suisse Mortgage Capital Certificates, |
|
|
|
|
| |
35 |
|
|
Series 2010-15R, Class 7A1, VAR, 1.675%, 10/26/37 (e) |
|
|
35 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 66 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
985 |
|
|
Series 2011-7R, Class A1, VAR, 1.484%, 08/28/47 (e) |
|
|
968 |
|
| |
375 |
|
|
Series 2011-9R, Class A1, VAR, 2.234%, 03/27/46 (e) |
|
|
373 |
|
| |
222 |
|
|
Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) |
|
|
226 |
|
| |
116 |
|
|
CS First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18 |
|
|
119 |
|
| |
309 |
|
|
Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2005-3, Class 1A1, VAR, 5.301%, 06/25/20 |
|
|
316 |
|
| |
38 |
|
|
Deutsche Mortgage Securities, Inc.,
Series 2004-1, Class 2APO, PO, 10/25/18 |
|
|
32 |
|
|
|
|
|
First Horizon Asset Securities, Inc., |
|
|
|
|
| |
25 |
|
|
Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 |
|
|
25 |
|
| |
202 |
|
|
Series 2004-AR7, Class 2A2, VAR, 2.616%, 02/25/35 |
|
|
201 |
|
| |
214 |
|
|
Series 2005-AR1, Class 2A2, VAR, 2.625%, 04/25/35 |
|
|
216 |
|
| |
500 |
|
|
GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36 |
|
|
471 |
|
| |
58 |
|
|
Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33 |
|
|
44 |
|
| |
351 |
|
|
Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 08/25/35 |
|
|
2 |
|
|
|
|
|
JP Morgan Mortgage Trust, |
|
|
|
|
| |
119 |
|
|
Series 2006-A2, Class 4A1, VAR, 3.014%, 08/25/34 |
|
|
119 |
|
| |
401 |
|
|
Series 2006-A2, Class 5A3, VAR, 2.710%, 11/25/33 |
|
|
408 |
|
|
|
|
|
MASTR Adjustable Rate Mortgages Trust, |
|
|
|
|
| |
51 |
|
|
Series 2004-3, Class 4A2, VAR, 2.605%, 04/25/34 |
|
|
51 |
|
| |
357 |
|
|
Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 |
|
|
360 |
|
| |
53 |
|
|
Series 2004-13, Class 3A6, VAR, 2.623%, 11/21/34 |
|
|
54 |
|
|
|
|
|
MASTR Alternative Loans Trust, |
|
|
|
|
| |
244 |
|
|
Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
|
|
259 |
|
| |
645 |
|
|
Series 2004-4, Class 10A1, 5.000%, 05/25/24 |
|
|
670 |
|
| |
40 |
|
|
Series 2004-7, Class 30PO, PO, 08/25/34 |
|
|
30 |
|
| |
58 |
|
|
Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
|
|
59 |
|
| |
263 |
|
|
Series 2005-6, Class 3A1, 5.500%, 11/25/20 |
|
|
258 |
|
|
|
|
|
MASTR Asset Securitization Trust, |
|
|
|
|
| |
157 |
|
|
Series 2003-2, Class 1A1, 5.000%, 03/25/18 |
|
|
161 |
|
| |
23 |
|
|
Series 2004-8, Class PO, PO, 08/25/19 |
|
|
23 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
166 |
|
|
MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
|
|
129 |
|
| |
64 |
|
|
MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.556%, 02/25/35 |
|
|
56 |
|
|
|
|
|
Nomura Asset Acceptance Corp., |
|
|
|
|
| |
77 |
|
|
Series 2003-A1, Class A1, 5.500%, 05/25/33 |
|
|
81 |
|
| |
26 |
|
|
Series 2003-A1, Class A2, 6.000%, 05/25/33 |
|
|
27 |
|
| |
13 |
|
|
Series 2003-A1, Class A5, 7.000%, 04/25/33 |
|
|
13 |
|
| |
85 |
|
|
Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
|
|
84 |
|
| |
— |
(h) |
|
Paine Webber CMO Trust, Series H, Class 4, 8.750%, 04/01/18 |
|
|
— |
(h) |
|
|
|
|
RALI Trust, |
|
|
|
|
| |
56 |
|
|
Series 2002-QS16, Class A3, IF, 16.130%, 10/25/17 |
|
|
63 |
|
| |
299 |
|
|
Series 2002-QS8, Class A5, 6.250%, 06/25/17 |
|
|
308 |
|
| |
81 |
|
|
Series 2003-QS3, Class A2, IF, 15.982%, 02/25/18 |
|
|
90 |
|
| |
336 |
|
|
Series 2003-QS9, Class A3, IF, IO, 7.315%, 05/25/18 |
|
|
47 |
|
| |
308 |
|
|
Series 2004-QS3, Class CB, 5.000%, 03/25/19 |
|
|
321 |
|
| |
10 |
|
|
Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
|
|
11 |
|
| |
31 |
|
|
Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19 |
|
|
32 |
|
|
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
|
|
|
| |
130 |
|
|
Series 2003-HYB1, Class A, VAR, 2.755%, 09/25/33 |
|
|
128 |
|
| |
13 |
|
|
Series 2003-UP2, Class PO1, PO, 12/25/18 |
|
|
12 |
|
|
|
|
|
Springleaf Mortgage Loan Trust, |
|
|
|
|
| |
255 |
|
|
Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) |
|
|
262 |
|
| |
477 |
|
|
Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) |
|
|
477 |
|
|
|
|
|
Structured Asset Securities Corp., |
|
|
|
|
| |
173 |
|
|
Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
|
|
175 |
|
| |
153 |
|
|
Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
|
|
151 |
|
|
|
|
|
Vericrest Opportunity Loan Transferee, |
|
|
|
|
| |
96 |
|
|
Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) |
|
|
96 |
|
| |
57 |
|
|
Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) |
|
|
57 |
|
|
|
|
|
WaMu Mortgage Pass-Through Certificates, |
|
|
|
|
| |
97 |
|
|
Series 2002-S8, Class 2A7, 5.250%, 01/25/18 |
|
|
100 |
|
| |
221 |
|
|
Series 2003-AR5, Class A7, VAR, 2.453%, 06/25/33 |
|
|
226 |
|
| |
12 |
|
|
Series 2003-S11, Class 2A5, IF, 16.402%, 11/25/33 |
|
|
13 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
67 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Collateralized Mortgage Obligations — Continued |
|
|
|
|
|
Non-Agency CMO — Continued |
|
| |
117 |
|
|
Series 2004-AR3, Class A2, VAR, 2.584%, 06/25/34 |
|
|
119 |
|
| |
353 |
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 |
|
|
329 |
|
|
|
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, |
|
|
|
|
| |
60 |
|
|
Series 2003-MS2, Class 1A1, 5.750%, 02/25/33 |
|
|
63 |
|
| |
16 |
|
|
Series 2003-MS7, Class P, PO, 03/25/33 |
|
|
15 |
|
| |
223 |
|
|
Wells Fargo Mortgage Loan Trust,
Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) |
|
|
224 |
|
|
|
|
|
Wells Fargo Mortgage-Backed Securities Trust, |
|
|
|
|
| |
31 |
|
|
Series 2003-11, Class 1APO, PO, 10/25/18 |
|
|
31 |
|
| |
145 |
|
|
Series 2003-13, Class A7, 4.500%, 11/25/18 |
|
|
147 |
|
| |
119 |
|
|
Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
|
|
123 |
|
| |
117 |
|
|
Series 2003-K, Class 1A1, VAR, 4.444%, 11/25/33 |
|
|
120 |
|
| |
47 |
|
|
Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
|
|
49 |
|
| |
138 |
|
|
Series 2004-BB, Class A4, VAR, 2.612%, 01/25/35 |
|
|
140 |
|
| |
150 |
|
|
Series 2004-EE, Class 3A1, VAR, 2.949%, 12/25/34 |
|
|
155 |
|
| |
483 |
|
|
Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34 |
|
|
495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations
(Cost $88,953) |
|
|
97,085 |
|
|
|
|
|
|
|
|
|
|
| |
Commercial Mortgage-Backed Securities — 1.5% |
|
|
|
|
|
Banc of America Merrill Lynch Commercial Mortgage, Inc., |
|
|
|
|
| |
150 |
|
|
Series 2005-3, Class AM, 4.727%, 07/10/43 |
|
|
158 |
|
| |
360 |
|
|
Series 2005-6, Class ASB, VAR, 5.366%, 09/10/47 |
|
|
373 |
|
| |
50 |
|
|
Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
|
|
56 |
|
| |
300 |
|
|
Series 2006-4, Class A4, 5.634%, 07/10/46 |
|
|
344 |
|
|
|
|
|
Bear Stearns Commercial Mortgage Securities, |
|
|
|
|
| |
149 |
|
|
Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 |
|
|
156 |
|
| |
360 |
|
|
Series 2006-PW11, Class A4, VAR, 5.621%, 03/11/39 |
|
|
408 |
|
| |
16,365 |
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.245%, 12/11/49 (e) |
|
|
128 |
|
| |
229 |
|
|
Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) |
|
|
238 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
300 |
|
|
GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 |
|
|
332 |
|
| |
50 |
|
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 |
|
|
56 |
|
| |
269 |
|
|
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 |
|
|
270 |
|
|
|
|
|
Morgan Stanley Reremic Trust, |
|
|
|
|
| |
60 |
|
|
Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) |
|
|
60 |
|
| |
400 |
|
|
Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) |
|
|
424 |
|
| |
167 |
|
|
Series 2011-IO, Class A, 2.500%, 03/23/51 (e) |
|
|
168 |
|
| |
630 |
|
|
Series 2012-XA, Class A, 2.000%, 07/28/49 |
|
|
634 |
|
| |
1,000 |
|
|
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.584%, 08/15/39 |
|
|
1,068 |
|
| |
116 |
|
|
UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) |
|
|
123 |
|
| |
104 |
|
|
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63 |
|
|
111 |
|
| |
489 |
|
|
Wells Fargo Reremic Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) |
|
|
487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities
(Cost $5,298) |
|
|
5,594 |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — 18.4% |
|
|
|
|
|
Consumer Discretionary — 1.0% |
|
|
|
|
|
Auto Components — 0.0% (g) |
|
| |
99 |
|
|
Johnson Controls, Inc., 3.750%, 12/01/21 |
|
|
104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles — 0.1% |
|
|
|
|
|
Daimler Finance North America LLC, |
|
|
|
|
| |
150 |
|
|
1.650%, 04/10/15 (e) |
|
|
152 |
|
| |
150 |
|
|
2.625%, 09/15/16 (e) |
|
|
156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 0.0% (g) |
|
| |
150 |
|
|
McDonald’s Corp., 4.300%, 03/01/13 |
|
|
153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 0.0% (g) |
|
| |
50 |
|
|
Newell Rubbermaid, Inc., 4.700%, 08/15/20 |
|
|
54 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media — 0.6% |
|
|
|
|
|
CBS Corp., |
|
|
|
|
| |
25 |
|
|
5.750%, 04/15/20 |
|
|
30 |
|
| |
135 |
|
|
8.875%, 05/15/19 |
|
|
182 |
|
| |
200 |
|
|
Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 |
|
|
208 |
|
| |
100 |
|
|
Comcast Corp., 5.900%, 03/15/16 |
|
|
116 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 68 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Media — Continued |
|
| |
50 |
|
|
Cox Communications, Inc., 5.450%, 12/15/14 |
|
|
55 |
|
|
|
|
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., |
|
|
|
|
| |
150 |
|
|
4.600%, 02/15/21 |
|
|
164 |
|
| |
353 |
|
|
5.000%, 03/01/21 |
|
|
397 |
|
| |
78 |
|
|
Discovery Communications LLC, 4.375%, 06/15/21 |
|
|
88 |
|
|
|
|
|
News America, Inc., |
|
|
|
|
| |
100 |
|
|
7.250%, 05/18/18 |
|
|
125 |
|
| |
100 |
|
|
7.700%, 10/30/25 |
|
|
133 |
|
|
|
|
|
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 |
|
|
119 |
|
| |
50 |
|
|
6.750%, 07/01/18 |
|
|
63 |
|
| |
100 |
|
|
8.250%, 02/14/14 |
|
|
110 |
|
| |
150 |
|
|
8.250%, 04/01/19 |
|
|
200 |
|
| |
35 |
|
|
8.750%, 02/14/19 |
|
|
47 |
|
|
|
|
|
Viacom, Inc., |
|
|
|
|
| |
33 |
|
|
1.250%, 02/27/15 |
|
|
33 |
|
| |
50 |
|
|
3.125%, 06/15/22 |
|
|
51 |
|
| |
43 |
|
|
3.875%, 12/15/21 |
|
|
47 |
|
| |
50 |
|
|
4.500%, 03/01/21 |
|
|
57 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 0.2% |
|
|
|
|
|
Kohl’s Corp., |
|
|
|
|
| |
40 |
|
|
4.000%, 11/01/21 |
|
|
42 |
|
| |
40 |
|
|
6.250%, 12/15/17 |
|
|
49 |
|
|
|
|
|
Macy’s Retail Holdings, Inc., |
|
|
|
|
| |
22 |
|
|
3.875%, 01/15/22 |
|
|
24 |
|
| |
25 |
|
|
7.450%, 07/15/17 |
|
|
31 |
|
| |
35 |
|
|
Nordstrom, Inc., 4.000%, 10/15/21 |
|
|
40 |
|
| |
400 |
|
|
Target Corp., 6.000%, 01/15/18 |
|
|
493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 0.1% |
|
| |
59 |
|
|
Gap, Inc. (The), 5.950%, 04/12/21 |
|
|
64 |
|
| |
130 |
|
|
Home Depot, Inc. (The), 5.400%, 03/01/16 |
|
|
151 |
|
| |
95 |
|
|
Staples, Inc., 9.750%, 01/15/14 |
|
|
106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary |
|
|
4,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples — 0.8% |
|
|
|
|
|
|
|
|
Beverages — 0.3% |
|
|
|
|
| |
75 |
|
|
Anheuser-Busch Cos. LLC, 5.500%, 01/15/18 |
|
|
90 |
|
| |
200 |
|
|
Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 |
|
|
269 |
|
|
|
|
|
Coca-Cola Co. (The), |
|
|
|
|
| |
100 |
|
|
3.625%, 03/15/14 |
|
|
105 |
|
| |
50 |
|
|
4.875%, 03/15/19 |
|
|
59 |
|
| |
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 |
|
|
103 |
|
| |
85 |
|
|
FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) |
|
|
94 |
|
|
|
|
|
PepsiCo, Inc., |
|
|
|
|
| |
33 |
|
|
0.800%, 08/25/14 |
|
|
33 |
|
| |
250 |
|
|
1.250%, 08/13/17 |
|
|
251 |
|
| |
31 |
|
|
3.000%, 08/25/21 |
|
|
33 |
|
| |
6 |
|
|
7.900%, 11/01/18 |
|
|
8 |
|
| |
30 |
|
|
SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) |
|
|
35 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.1% |
|
|
|
|
| |
55 |
|
|
CVS Pass-Through Trust, 5.926%, 01/10/34 (e) |
|
|
64 |
|
|
|
|
|
Kroger Co. (The), |
|
|
|
|
| |
50 |
|
|
2.200%, 01/15/17 |
|
|
51 |
|
| |
30 |
|
|
6.150%, 01/15/20 |
|
|
36 |
|
| |
75 |
|
|
6.400%, 08/15/17 |
|
|
90 |
|
| |
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 |
|
|
170 |
|
| |
14 |
|
|
Bunge N.A. Finance LP, 5.900%, 04/01/17 |
|
|
16 |
|
|
|
|
|
Cargill, Inc., |
|
|
|
|
| |
100 |
|
|
3.300%, 03/01/22 (e) |
|
|
104 |
|
| |
106 |
|
|
4.307%, 05/14/21 (e) |
|
|
118 |
|
|
|
|
|
Kellogg Co., |
|
|
|
|
| |
100 |
|
|
4.250%, 03/06/13 |
|
|
102 |
|
| |
200 |
|
|
5.125%, 12/03/12 |
|
|
202 |
|
|
|
|
|
Kraft Foods Group, Inc., |
|
|
|
|
| |
52 |
|
|
5.375%, 02/10/20 (e) |
|
|
62 |
|
| |
332 |
|
|
6.125%, 08/23/18 (e) |
|
|
408 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
69 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Food Products — Continued |
|
|
|
|
|
|
|
|
Kraft Foods, Inc., |
|
|
|
|
| |
48 |
|
|
5.375%, 02/10/20 |
|
|
58 |
|
| |
118 |
|
|
6.125%, 02/01/18 |
|
|
143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products — 0.0% (g) |
|
|
|
|
| |
20 |
|
|
Kimberly-Clark Corp., 2.400%, 03/01/22 |
|
|
20 |
|
| |
73 |
|
|
Procter & Gamble - ESOP, 9.360%, 01/01/21 |
|
|
99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples |
|
|
3,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy — 0.8% |
|
|
|
|
|
|
|
|
Energy Equipment & Services — 0.0% (g) |
|
|
|
|
| |
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) |
|
|
51 |
|
|
|
|
|
Transocean, Inc., (Cayman Islands), |
|
|
|
|
| |
35 |
|
|
6.375%, 12/15/21 |
|
|
42 |
|
| |
100 |
|
|
6.500%, 11/15/20 |
|
|
120 |
|
| |
33 |
|
|
Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22 |
|
|
34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 0.8% |
|
|
|
|
| |
57 |
|
|
3.250%, 04/15/22 |
|
|
61 |
|
| |
25 |
|
|
6.900%, 09/15/18 |
|
|
32 |
|
| |
150 |
|
|
Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18 |
|
|
181 |
|
| |
21 |
|
|
Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22 |
|
|
21 |
|
| |
150 |
|
|
ConocoPhillips, 5.750%, 02/01/19 |
|
|
186 |
|
| |
150 |
|
|
Devon Energy Corp., 1.875%, 05/15/17 |
|
|
153 |
|
| |
80 |
|
|
Encana Corp., (Canada), 6.500%, 05/15/19 |
|
|
97 |
|
| |
200 |
|
|
ENI S.p.A., (Italy), 4.150%, 10/01/20 (e) |
|
|
199 |
|
| |
100 |
|
|
EOG Resources, Inc., 4.100%, 02/01/21 |
|
|
114 |
|
|
|
|
|
Marathon Oil Corp., |
|
|
|
|
| |
228 |
|
|
5.900%, 03/15/18 |
|
|
273 |
|
| |
175 |
|
|
6.000%, 10/01/17 |
|
|
209 |
|
| |
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 |
|
|
100 |
|
| |
97 |
|
|
Petro-Canada, (Canada), 6.050%, 05/15/18 |
|
|
118 |
|
| |
43 |
|
|
Phillips 66, 2.950%, 05/01/17 (e) |
|
|
45 |
|
|
|
|
|
Shell International Finance B.V., (Netherlands), |
|
|
|
|
| |
42 |
|
|
1.125%, 08/21/17 |
|
|
42 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — Continued |
|
|
|
|
| |
55 |
|
|
1.875%, 03/25/13 |
|
|
55 |
|
| |
184 |
|
|
3.100%, 06/28/15 |
|
|
197 |
|
| |
55 |
|
|
4.000%, 03/21/14 |
|
|
58 |
|
| |
195 |
|
|
4.375%, 03/25/20 |
|
|
230 |
|
|
|
|
|
Statoil ASA, (Norway), |
|
|
|
|
| |
67 |
|
|
3.125%, 08/17/17 |
|
|
74 |
|
| |
83 |
|
|
3.150%, 01/23/22 |
|
|
89 |
|
| |
50 |
|
|
Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 |
|
|
63 |
|
|
|
|
|
Total Capital International S.A., (France), |
|
|
|
|
| |
44 |
|
|
1.500%, 02/17/17 |
|
|
45 |
|
| |
75 |
|
|
1.550%, 06/28/17 |
|
|
76 |
|
| |
175 |
|
|
Total Capital S.A., (France), 2.300%, 03/15/16 |
|
|
184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy |
|
|
3,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials — 10.8% |
|
|
|
|
|
Capital Markets — 2.5% |
|
|
|
|
|
Bank of New York Mellon Corp. (The), |
|
|
|
|
| |
250 |
|
|
2.950%, 06/18/15 |
|
|
266 |
|
| |
75 |
|
|
3.100%, 01/15/15 |
|
|
79 |
|
| |
75 |
|
|
4.600%, 01/15/20 |
|
|
86 |
|
|
|
|
|
BlackRock, Inc., |
|
|
|
|
| |
325 |
|
|
3.500%, 12/10/14 |
|
|
346 |
|
| |
326 |
|
|
5.000%, 12/10/19 |
|
|
379 |
|
| |
150 |
|
|
Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) |
|
|
163 |
|
| |
40 |
|
|
Charles Schwab Corp. (The), 3.225%, 09/01/22 (e) |
|
|
40 |
|
|
|
|
|
Goldman Sachs Group, Inc. (The), |
|
|
|
|
| |
100 |
|
|
3.300%, 05/03/15 |
|
|
103 |
|
| |
255 |
|
|
3.625%, 02/07/16 |
|
|
265 |
|
| |
66 |
|
|
3.700%, 08/01/15 |
|
|
69 |
|
| |
68 |
|
|
5.375%, 03/15/20 |
|
|
73 |
|
| |
300 |
|
|
5.500%, 11/15/14 |
|
|
323 |
|
| |
80 |
|
|
5.750%, 01/24/22 |
|
|
88 |
|
| |
1,100 |
|
|
5.950%, 01/18/18 |
|
|
1,237 |
|
| |
250 |
|
|
7.500%, 02/15/19 |
|
|
300 |
|
|
|
|
|
Jefferies Group, Inc., |
|
|
|
|
| |
111 |
|
|
3.875%, 11/09/15 |
|
|
111 |
|
| |
150 |
|
|
5.125%, 04/13/18 |
|
|
153 |
|
| |
125 |
|
|
8.500%, 07/15/19 |
|
|
143 |
|
|
|
|
|
Macquarie Group Ltd., (Australia), |
|
|
|
|
| |
150 |
|
|
6.000%, 01/14/20 (e) |
|
|
155 |
|
| |
100 |
|
|
7.300%, 08/01/14 (e) |
|
|
108 |
|
| |
40 |
|
|
7.625%, 08/13/19 (e) |
|
|
44 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 70 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Capital Markets — Continued |
|
|
|
|
|
Merrill Lynch & Co., Inc., |
|
|
|
|
| |
200 |
|
|
5.000%, 01/15/15 |
|
|
211 |
|
| |
157 |
|
|
5.450%, 07/15/14 |
|
|
168 |
|
| |
50 |
|
|
6.150%, 04/25/13 |
|
|
52 |
|
| |
814 |
|
|
6.400%, 08/28/17 |
|
|
925 |
|
| |
266 |
|
|
6.875%, 04/25/18 |
|
|
310 |
|
|
|
|
|
Morgan Stanley, |
|
|
|
|
| |
104 |
|
|
4.000%, 07/24/15 |
|
|
106 |
|
| |
195 |
|
|
4.200%, 11/20/14 |
|
|
200 |
|
| |
800 |
|
|
5.300%, 03/01/13 |
|
|
816 |
|
| |
166 |
|
|
5.500%, 07/24/20 |
|
|
171 |
|
| |
100 |
|
|
5.500%, 07/28/21 |
|
|
103 |
|
| |
450 |
|
|
5.625%, 09/23/19 |
|
|
466 |
|
| |
100 |
|
|
5.750%, 01/25/21 |
|
|
103 |
|
| |
250 |
|
|
6.000%, 05/13/14 |
|
|
264 |
|
| |
100 |
|
|
6.625%, 04/01/18 |
|
|
110 |
|
| |
100 |
|
|
7.300%, 05/13/19 |
|
|
113 |
|
|
|
|
|
Nomura Holdings, Inc., (Japan), |
|
|
|
|
| |
85 |
|
|
4.125%, 01/19/16 |
|
|
88 |
|
| |
178 |
|
|
6.700%, 03/04/20 |
|
|
204 |
|
| |
45 |
|
|
Northern Trust Corp., 5.500%, 08/15/13 |
|
|
47 |
|
|
|
|
|
UBS AG, (Switzerland), |
|
|
|
|
| |
500 |
|
|
3.875%, 01/15/15 |
|
|
527 |
|
| |
100 |
|
|
5.750%, 04/25/18 |
|
|
116 |
|
| |
100 |
|
|
5.875%, 12/20/17 |
|
|
116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks — 3.4% |
|
| |
100 |
|
|
ANZ National (International) Ltd., (New Zealand), 3.125%, 08/10/15 (e) |
|
|
104 |
|
| |
250 |
|
|
Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e) |
|
|
261 |
|
| |
250 |
|
|
Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) |
|
|
255 |
|
|
|
|
|
Bank of Nova Scotia, (Canada), |
|
|
|
|
| |
121 |
|
|
1.650%, 10/29/15 (e) |
|
|
125 |
|
| |
175 |
|
|
2.550%, 01/12/17 |
|
|
185 |
|
| |
123 |
|
|
3.400%, 01/22/15 |
|
|
130 |
|
| |
136 |
|
|
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) |
|
|
145 |
|
|
|
|
|
Barclays Bank plc, (United Kingdom), |
|
|
|
|
| |
210 |
|
|
2.500%, 01/23/13 |
|
|
211 |
|
| |
200 |
|
|
2.500%, 09/21/15 (e) |
|
|
208 |
|
| |
100 |
|
|
2.750%, 02/23/15 |
|
|
102 |
|
| |
200 |
|
|
5.200%, 07/10/14 |
|
|
212 |
|
| |
250 |
|
|
6.050%, 12/04/17 (e) |
|
|
265 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks — Continued |
|
|
|
|
|
BB&T Corp., |
|
|
|
|
| |
70 |
|
|
3.375%, 09/25/13 |
|
|
72 |
|
| |
125 |
|
|
3.950%, 04/29/16 |
|
|
137 |
|
| |
100 |
|
|
4.900%, 06/30/17 |
|
|
112 |
|
| |
150 |
|
|
5.700%, 04/30/14 |
|
|
162 |
|
| |
152 |
|
|
Branch Banking & Trust Co., 4.875%, 01/15/13 |
|
|
154 |
|
| |
1,000 |
|
|
Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) |
|
|
1,057 |
|
| |
55 |
|
|
Comerica, Inc., 3.000%, 09/16/15 |
|
|
58 |
|
| |
250 |
|
|
Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e) |
|
|
259 |
|
| |
350 |
|
|
Fifth Third Bancorp, 5.450%, 01/15/17 |
|
|
390 |
|
|
|
|
|
HSBC Holdings plc, (United Kingdom), |
|
|
|
|
| |
196 |
|
|
4.000%, 03/30/22 |
|
|
210 |
|
| |
300 |
|
|
4.875%, 01/14/22 |
|
|
344 |
|
| |
250 |
|
|
HSBC USA, Inc., 2.375%, 02/13/15 |
|
|
256 |
|
| |
200 |
|
|
ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e) |
|
|
207 |
|
| |
100 |
|
|
KeyCorp, 6.500%, 05/14/13 |
|
|
104 |
|
| |
263 |
|
|
Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) |
|
|
275 |
|
| |
300 |
|
|
Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
|
|
355 |
|
|
|
|
|
National Australia Bank Ltd., (Australia), |
|
|
|
|
| |
100 |
|
|
2.500%, 01/08/13 (e) |
|
|
101 |
|
| |
300 |
|
|
2.750%, 09/28/15 (e) |
|
|
311 |
|
| |
100 |
|
|
3.750%, 03/02/15 (e) |
|
|
106 |
|
|
|
|
|
Nordea Bank AB, (Sweden), |
|
|
|
|
| |
100 |
|
|
1.750%, 10/04/13 (e) |
|
|
100 |
|
| |
300 |
|
|
3.125%, 03/20/17 (e) |
|
|
312 |
|
|
|
|
|
PNC Funding Corp., |
|
|
|
|
| |
133 |
|
|
4.375%, 08/11/20 |
|
|
152 |
|
| |
265 |
|
|
5.125%, 02/08/20 |
|
|
314 |
|
| |
110 |
|
|
5.250%, 11/15/15 |
|
|
122 |
|
| |
115 |
|
|
5.625%, 02/01/17 |
|
|
132 |
|
|
|
|
|
Rabobank Nederland N.V., (Netherlands), |
|
|
|
|
| |
250 |
|
|
3.200%, 03/11/15 (e) |
|
|
260 |
|
| |
34 |
|
|
3.375%, 01/19/17 |
|
|
36 |
|
| |
118 |
|
|
3.875%, 02/08/22 |
|
|
123 |
|
| |
200 |
|
|
Royal Bank of Canada, (Canada), 2.300%, 07/20/16 |
|
|
210 |
|
| |
170 |
|
|
SunTrust Banks, Inc., 5.250%, 11/05/12 |
|
|
171 |
|
|
|
|
|
Toronto-Dominion Bank (The), (Canada), |
|
|
|
|
| |
200 |
|
|
1.500%, 03/13/17 (e) |
|
|
205 |
|
| |
235 |
|
|
2.200%, 07/29/15 (e) |
|
|
246 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
71 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Commercial Banks — Continued |
|
|
|
|
|
U.S. Bancorp, |
|
|
|
|
| |
150 |
|
|
2.450%, 07/27/15 |
|
|
157 |
|
| |
208 |
|
|
2.875%, 11/20/14 |
|
|
219 |
|
| |
250 |
|
|
Wachovia Bank N.A., 6.000%, 11/15/17 |
|
|
299 |
|
|
|
|
|
Wachovia Corp., |
|
|
|
|
| |
235 |
|
|
4.875%, 02/15/14 |
|
|
249 |
|
| |
850 |
|
|
5.750%, 02/01/18 |
|
|
1,020 |
|
| |
415 |
|
|
Wells Fargo & Co., 5.625%, 12/11/17 |
|
|
497 |
|
| |
500 |
|
|
SUB, 3.676%, 06/15/16 |
|
|
544 |
|
| |
315 |
|
|
Wells Fargo Bank N.A., 4.750%, 02/09/15 |
|
|
341 |
|
| |
285 |
|
|
Westpac Banking Corp., (Australia), 4.875%, 11/19/19 |
|
|
321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 0.9% |
|
|
|
|
|
|
|
|
American Express Credit Corp., |
|
|
|
|
| |
139 |
|
|
2.800%, 09/19/16 |
|
|
148 |
|
| |
200 |
|
|
7.300%, 08/20/13 |
|
|
213 |
|
|
|
|
|
American Honda Finance Corp., |
|
|
|
|
| |
333 |
|
|
1.450%, 02/27/15 (e) |
|
|
337 |
|
| |
200 |
|
|
2.125%, 02/28/17 (e) |
|
|
206 |
|
| |
250 |
|
|
Capital One Bank USA N.A., 8.800%, 07/15/19 |
|
|
325 |
|
|
|
|
|
Capital One Financial Corp., |
|
|
|
|
| |
100 |
|
|
6.750%, 09/15/17 |
|
|
122 |
|
| |
245 |
|
|
7.375%, 05/23/14 |
|
|
271 |
|
| |
200 |
|
|
Ford Motor Credit Co. LLC, 3.000%, 06/12/17 |
|
|
201 |
|
|
|
|
|
HSBC Finance Corp., |
|
|
|
|
| |
200 |
|
|
5.250%, 01/15/14 |
|
|
208 |
|
| |
202 |
|
|
6.375%, 11/27/12 |
|
|
205 |
|
|
|
|
|
John Deere Capital Corp., |
|
|
|
|
| |
50 |
|
|
2.250%, 04/17/19 |
|
|
52 |
|
| |
33 |
|
|
3.150%, 10/15/21 |
|
|
36 |
|
| |
66 |
|
|
PACCAR Financial Corp., 1.600%, 03/15/17 |
|
|
67 |
|
| |
100 |
|
|
SLM Corp., 5.375%, 01/15/13 |
|
|
101 |
|
| |
91 |
|
|
Springleaf Finance Corp., 5.375%, 10/01/12 |
|
|
91 |
|
|
|
|
|
Toyota Motor Credit Corp., |
|
|
|
|
| |
120 |
|
|
1.000%, 02/17/15 |
|
|
121 |
|
| |
225 |
|
|
1.750%, 05/22/17 |
|
|
232 |
|
| |
200 |
|
|
2.000%, 09/15/16 |
|
|
208 |
|
| |
100 |
|
|
2.050%, 01/12/17 |
|
|
104 |
|
| |
154 |
|
|
3.200%, 06/17/15 |
|
|
165 |
|
| |
100 |
|
|
Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) |
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 2.2% |
|
|
|
|
| |
250 |
|
|
Associates Corp. of North America, 6.950%, 11/01/18 |
|
|
295 |
|
|
|
|
|
Bank of America Corp., |
|
|
|
|
| |
100 |
|
|
5.000%, 05/13/21 |
|
|
108 |
|
| |
130 |
|
|
5.625%, 07/01/20 |
|
|
144 |
|
| |
300 |
|
|
5.650%, 05/01/18 |
|
|
335 |
|
| |
170 |
|
|
5.750%, 12/01/17 |
|
|
190 |
|
| |
50 |
|
|
5.875%, 01/05/21 |
|
|
56 |
|
| |
100 |
|
|
6.500%, 08/01/16 |
|
|
114 |
|
| |
125 |
|
|
7.375%, 05/15/14 |
|
|
136 |
|
| |
425 |
|
|
Bank of America N.A., 5.300%, 03/15/17 |
|
|
463 |
|
|
|
|
|
BP Capital Markets plc, (United Kingdom), |
|
|
|
|
| |
100 |
|
|
4.742%, 03/11/21 |
|
|
117 |
|
| |
300 |
|
|
5.250%, 11/07/13 |
|
|
317 |
|
|
|
|
|
Caterpillar Financial Services Corp., |
|
|
|
|
| |
58 |
|
|
2.850%, 06/01/22 |
|
|
61 |
|
| |
100 |
|
|
5.500%, 03/15/16 |
|
|
115 |
|
| |
150 |
|
|
6.200%, 09/30/13 |
|
|
159 |
|
| |
65 |
|
|
7.050%, 10/01/18 |
|
|
85 |
|
| |
100 |
|
|
7.150%, 02/15/19 |
|
|
132 |
|
|
|
|
|
Citigroup, Inc., |
|
|
|
|
| |
43 |
|
|
4.587%, 12/15/15 |
|
|
46 |
|
| |
125 |
|
|
4.750%, 05/19/15 |
|
|
134 |
|
| |
506 |
|
|
5.000%, 09/15/14 |
|
|
529 |
|
| |
54 |
|
|
5.375%, 08/09/20 |
|
|
61 |
|
| |
700 |
|
|
6.000%, 08/15/17 |
|
|
799 |
|
| |
285 |
|
|
6.010%, 01/15/15 |
|
|
312 |
|
| |
300 |
|
|
6.125%, 11/21/17 |
|
|
346 |
|
|
|
|
|
CME Group, Inc., |
|
|
|
|
| |
110 |
|
|
5.400%, 08/01/13 |
|
|
115 |
|
| |
190 |
|
|
5.750%, 02/15/14 |
|
|
204 |
|
| |
190 |
|
|
ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 |
|
|
226 |
|
|
|
|
|
ERAC USA Finance LLC, |
|
|
|
|
| |
48 |
|
|
2.750%, 03/15/17 (e) |
|
|
50 |
|
| |
27 |
|
|
4.500%, 08/16/21 (e) |
|
|
29 |
|
|
|
|
|
General Electric Capital Corp., |
|
|
|
|
| |
220 |
|
|
4.375%, 09/16/20 |
|
|
244 |
|
| |
800 |
|
|
4.650%, 10/17/21 |
|
|
913 |
|
| |
500 |
|
|
5.400%, 02/15/17 |
|
|
580 |
|
| |
475 |
|
|
5.625%, 05/01/18 |
|
|
563 |
|
| |
500 |
|
|
5.650%, 06/09/14 |
|
|
539 |
|
| |
100 |
|
|
Textron Financial Corp., 5.400%, 04/28/13 |
|
|
103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,620 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 72 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Insurance — 1.4% |
|
|
|
|
|
|
|
|
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 |
|
|
35 |
|
| |
25 |
|
|
8.500%, 05/15/19 |
|
|
34 |
|
|
|
|
|
American International Group, Inc., |
|
|
|
|
| |
385 |
|
|
4.250%, 05/15/13 |
|
|
393 |
|
| |
350 |
|
|
5.450%, 05/18/17 |
|
|
393 |
|
| |
200 |
|
|
5.600%, 10/18/16 |
|
|
225 |
|
| |
45 |
|
|
Aon Corp., 3.500%, 09/30/15 |
|
|
47 |
|
| |
607 |
|
|
ASIF Global Financing XIX, 4.900%, 01/17/13 (e) |
|
|
613 |
|
| |
150 |
|
|
Berkshire Hathaway Finance Corp., 5.400%, 05/15/18 |
|
|
181 |
|
|
|
|
|
Berkshire Hathaway, Inc., |
|
|
|
|
| |
202 |
|
|
3.400%, 01/31/22 |
|
|
216 |
|
| |
98 |
|
|
3.750%, 08/15/21 |
|
|
108 |
|
| |
90 |
|
|
CNA Financial Corp., 5.875%, 08/15/20 |
|
|
104 |
|
| |
80 |
|
|
Jackson National Life Global Funding, 4.700%, 06/01/18 (e) |
|
|
88 |
|
| |
37 |
|
|
Liberty Mutual Group, Inc., 4.950%, 05/01/22 (e) |
|
|
39 |
|
| |
35 |
|
|
Lincoln National Corp., 4.200%, 03/15/22 |
|
|
37 |
|
|
|
|
|
MassMutual Global Funding II, |
|
|
|
|
| |
300 |
|
|
2.000%, 04/05/17 (e) |
|
|
308 |
|
| |
100 |
|
|
2.300%, 09/28/15 (e) |
|
|
104 |
|
| |
200 |
|
|
Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e) |
|
|
217 |
|
|
|
|
|
Metropolitan Life Global Funding I, |
|
|
|
|
| |
107 |
|
|
1.700%, 06/29/15 (e) |
|
|
109 |
|
| |
200 |
|
|
2.500%, 09/29/15 (e) |
|
|
208 |
|
| |
175 |
|
|
3.650%, 06/14/18 (e) |
|
|
193 |
|
| |
100 |
|
|
3.875%, 04/11/22 (e) |
|
|
109 |
|
| |
222 |
|
|
5.200%, 09/18/13 (e) |
|
|
232 |
|
| |
50 |
|
|
Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
|
|
51 |
|
|
|
|
|
New York Life Global Funding, |
|
|
|
|
| |
170 |
|
|
1.300%, 01/12/15 (e) |
|
|
173 |
|
| |
125 |
|
|
3.000%, 05/04/15 (e) |
|
|
132 |
|
| |
150 |
|
|
Pacific Life Global Funding, 5.000%, 05/15/17 (e) |
|
|
161 |
|
| |
200 |
|
|
Pricoa Global Funding I, 5.450%, 06/11/14 (e) |
|
|
215 |
|
| |
100 |
|
|
Principal Life Income Funding Trusts, 5.300%, 04/24/13 |
|
|
103 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance — Continued |
|
|
|
|
| |
150 |
|
|
Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) |
|
|
202 |
|
| |
50 |
|
|
Travelers Property Casualty Corp., 5.000%, 03/15/13 |
|
|
51 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) — 0.3% |
|
|
|
|
|
|
|
|
CommonWealth REIT, |
|
|
|
|
| |
125 |
|
|
5.875%, 09/15/20 |
|
|
132 |
|
| |
150 |
|
|
6.650%, 01/15/18 |
|
|
166 |
|
| |
27 |
|
|
ERP Operating LP, 4.625%, 12/15/21 |
|
|
31 |
|
|
|
|
|
HCP, Inc., |
|
|
|
|
| |
8 |
|
|
3.750%, 02/01/19 |
|
|
9 |
|
| |
92 |
|
|
5.375%, 02/01/21 |
|
|
105 |
|
|
|
|
|
Simon Property Group LP, |
|
|
|
|
| |
81 |
|
|
4.125%, 12/01/21 |
|
|
89 |
|
| |
17 |
|
|
4.200%, 02/01/15 |
|
|
18 |
|
| |
40 |
|
|
4.375%, 03/01/21 |
|
|
45 |
|
| |
100 |
|
|
5.625%, 08/15/14 |
|
|
108 |
|
| |
50 |
|
|
5.650%, 02/01/20 |
|
|
60 |
|
| |
40 |
|
|
6.100%, 05/01/16 |
|
|
46 |
|
| |
50 |
|
|
6.125%, 05/30/18 |
|
|
61 |
|
| |
159 |
|
|
WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
|
|
191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance — 0.1% |
|
|
|
|
| |
25 |
|
|
Countrywide Financial Corp., 6.250%, 05/15/16 |
|
|
27 |
|
| |
523 |
|
|
Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) |
|
|
528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials |
|
|
41,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care — 0.4% |
|
|
|
|
|
|
|
|
Biotechnology — 0.2% |
|
|
|
|
|
|
|
|
Amgen, Inc., |
|
|
|
|
| |
400 |
|
|
3.875%, 11/15/21 |
|
|
433 |
|
| |
44 |
|
|
4.500%, 03/15/20 |
|
|
49 |
|
| |
40 |
|
|
5.700%, 02/01/19 |
|
|
47 |
|
| |
98 |
|
|
Celgene Corp., 3.250%, 08/15/22 |
|
|
99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 0.0% (g) |
|
|
|
|
|
|
|
|
Baxter International, Inc., |
|
|
|
|
| |
50 |
|
|
4.000%, 03/01/14 |
|
|
53 |
|
| |
50 |
|
|
4.625%, 03/15/15 |
|
|
55 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
73 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Health Care Equipment & Supplies — Continued |
|
| |
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 |
|
|
120 |
|
|
|
|
|
WellPoint, Inc., |
|
|
|
|
| |
115 |
|
|
3.125%, 05/15/22 |
|
|
115 |
|
| |
27 |
|
|
5.875%, 06/15/17 |
|
|
32 |
|
| |
18 |
|
|
7.000%, 02/15/19 |
|
|
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 0.1% |
|
|
|
|
| |
100 |
|
|
AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 |
|
|
108 |
|
| |
150 |
|
|
GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18 |
|
|
184 |
|
| |
75 |
|
|
Merck & Co., Inc., 6.000%, 09/15/17 |
|
|
93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care |
|
|
1,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
122 |
|
| |
47 |
|
|
Lockheed Martin Corp., 2.125%, 09/15/16 |
|
|
49 |
|
| |
50 |
|
|
United Technologies Corp., 6.125%, 02/01/19 |
|
|
63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines — 0.0% (g) |
|
|
|
|
| |
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 |
|
|
40 |
|
| |
73 |
|
|
Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 |
|
|
79 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies — 0.1% |
|
|
|
|
| |
70 |
|
|
ADT Corp. (The), 3.500%, 07/15/22 (e) |
|
|
73 |
|
|
|
|
|
Pitney Bowes, Inc., |
|
|
|
|
| |
125 |
|
|
4.875%, 08/15/14 |
|
|
131 |
|
| |
100 |
|
|
5.000%, 03/15/15 |
|
|
106 |
|
| |
50 |
|
|
5.600%, 03/15/18 |
|
|
53 |
|
| |
60 |
|
|
Waste Management, Inc., 7.375%, 03/11/19 |
|
|
77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering — 0.0% (g) |
|
|
|
|
|
|
|
|
ABB Finance USA, Inc., |
|
|
|
|
| |
32 |
|
|
1.625%, 05/08/17 |
|
|
32 |
|
| |
41 |
|
|
2.875%, 05/08/22 |
|
|
43 |
|
| |
70 |
|
|
Fluor Corp., 3.375%, 09/15/21 |
|
|
75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 0.1% |
|
|
|
|
| |
152 |
|
|
Koninklijke Philips Electronics N.V., (Netherlands), 3.750%, 03/15/22 |
|
|
165 |
|
| |
100 |
|
|
Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery — 0.1% |
|
|
|
|
|
|
|
|
Caterpillar, Inc., |
|
|
|
|
| |
74 |
|
|
1.500%, 06/26/17 |
|
|
75 |
|
| |
31 |
|
|
2.600%, 06/26/22 |
|
|
32 |
|
| |
89 |
|
|
Deere & Co., 2.600%, 06/08/22 |
|
|
92 |
|
| |
50 |
|
|
Eaton Corp., 5.600%, 05/15/18 |
|
|
60 |
|
| |
25 |
|
|
Parker Hannifin Corp., 5.500%, 05/15/18 |
|
|
30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
21 |
|
| |
100 |
|
|
5.650%, 05/01/17 |
|
|
119 |
|
| |
100 |
|
|
7.000%, 02/01/14 |
|
|
109 |
|
|
|
|
|
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 |
|
|
737 |
|
|
|
|
|
Norfolk Southern Corp., |
|
|
|
|
| |
138 |
|
|
3.250%, 12/01/21 |
|
|
146 |
|
| |
50 |
|
|
7.700%, 05/15/17 |
|
|
63 |
|
|
|
|
|
Ryder System, Inc., |
|
|
|
|
| |
48 |
|
|
2.500%, 03/01/17 |
|
|
49 |
|
| |
55 |
|
|
3.600%, 03/01/16 |
|
|
58 |
|
|
|
|
|
Union Pacific Corp., |
|
|
|
|
| |
21 |
|
|
2.950%, 01/15/23 |
|
|
22 |
|
| |
233 |
|
|
4.163%, 07/15/22 |
|
|
265 |
|
| |
100 |
|
|
4.875%, 01/15/15 |
|
|
109 |
|
| |
82 |
|
|
5.650%, 05/01/17 |
|
|
96 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 74 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Road & Rail — Continued |
|
|
|
|
| |
115 |
|
|
United Parcel Service of America, Inc., 8.375%, 04/01/20 |
|
|
161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials |
|
|
3,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
206 |
|
| |
87 |
|
|
4.050%, 09/15/22 |
|
|
85 |
|
| |
195 |
|
|
4.375%, 09/15/21 |
|
|
195 |
|
| |
325 |
|
|
5.400%, 03/01/17 |
|
|
360 |
|
| |
200 |
|
|
6.125%, 03/01/14 |
|
|
214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 0.1% |
|
|
|
|
|
Arrow Electronics, Inc., |
|
|
|
|
| |
55 |
|
|
3.375%, 11/01/15 |
|
|
57 |
|
| |
120 |
|
|
6.875%, 07/01/13 |
|
|
126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services — 0.2% |
|
|
|
|
|
|
|
|
International Business Machines Corp., |
|
|
|
|
| |
126 |
|
|
1.250%, 02/06/17 |
|
|
128 |
|
| |
100 |
|
|
1.875%, 05/15/19 |
|
|
102 |
|
| |
150 |
|
|
5.700%, 09/14/17 |
|
|
184 |
|
| |
200 |
|
|
7.625%, 10/15/18 |
|
|
270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics — 0.0% (g) |
|
|
|
|
|
|
|
|
Xerox Corp., |
|
|
|
|
| |
39 |
|
|
2.950%, 03/15/17 |
|
|
40 |
|
| |
50 |
|
|
5.625%, 12/15/19 |
|
|
56 |
|
| |
40 |
|
|
6.750%, 02/01/17 |
|
|
47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 0.0% (g) |
|
| |
30 |
|
|
National Semiconductor Corp., 6.600%, 06/15/17 |
|
|
38 |
|
| |
73 |
|
|
Texas Instruments, Inc., 1.650%, 08/03/19 |
|
|
73 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
230 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software — Continued |
|
|
|
|
| |
100 |
|
|
5.750%, 04/15/18 |
|
|
124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology |
|
|
2,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
67 |
|
| |
38 |
|
|
4.250%, 11/15/20 |
|
|
42 |
|
| |
60 |
|
|
7.600%, 05/15/14 |
|
|
66 |
|
| |
40 |
|
|
8.550%, 05/15/19 |
|
|
54 |
|
|
|
|
|
E.l. 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 |
|
|
126 |
|
| |
34 |
|
|
Mosaic Co. (The), 3.750%, 11/15/21 |
|
|
36 |
|
| |
100 |
|
|
Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 |
|
|
102 |
|
| |
230 |
|
|
Praxair, Inc., 4.625%, 03/30/15 |
|
|
253 |
|
| |
150 |
|
|
Union Carbide Corp., 7.500%, 06/01/25 |
|
|
182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining — 0.2% |
|
|
|
|
|
|
|
|
BHP Billiton Finance USA Ltd., (Australia), |
|
|
|
|
| |
37 |
|
|
1.000%, 02/24/15 |
|
|
38 |
|
| |
83 |
|
|
1.625%, 02/24/17 |
|
|
85 |
|
| |
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 |
|
|
129 |
|
|
|
|
|
Rio Tinto Finance USA Ltd., (Australia), |
|
|
|
|
| |
27 |
|
|
3.500%, 11/02/20 |
|
|
28 |
|
| |
50 |
|
|
8.950%, 05/01/14 |
|
|
57 |
|
| |
58 |
|
|
Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17 |
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials |
|
|
1,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services — 0.9% |
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 0.8% |
|
|
|
|
|
AT&T, Inc., |
|
|
|
|
| |
100 |
|
|
4.450%, 05/15/21 |
|
|
117 |
|
| |
135 |
|
|
5.100%, 09/15/14 |
|
|
147 |
|
| |
150 |
|
|
5.500%, 02/01/18 |
|
|
182 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
75 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Diversified Telecommunication Services — Continued |
|
| |
15 |
|
|
BellSouth Corp., 5.200%, 09/15/14 |
|
|
16 |
|
| |
89 |
|
|
BellSouth Telecommunications, Inc., 6.300%, 12/15/15 |
|
|
94 |
|
| |
100 |
|
|
British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18 |
|
|
119 |
|
| |
61 |
|
|
France Telecom S.A., (France), 2.750%, 09/14/16 |
|
|
64 |
|
| |
500 |
|
|
GTE Corp., 6.840%, 04/15/18 |
|
|
621 |
|
| |
27 |
|
|
Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 |
|
|
27 |
|
| |
148 |
|
|
Qwest Corp., 6.750%, 12/01/21 |
|
|
175 |
|
|
|
|
|
Telecom Italia Capital S.A., (Luxembourg), |
|
|
|
|
| |
280 |
|
|
4.950%, 09/30/14 |
|
|
284 |
|
| |
225 |
|
|
5.250%, 11/15/13 |
|
|
231 |
|
|
|
|
|
Telefonica Emisiones S.A.U., (Spain), |
|
|
|
|
| |
275 |
|
|
5.855%, 02/04/13 |
|
|
278 |
|
| |
30 |
|
|
5.877%, 07/15/19 |
|
|
29 |
|
| |
100 |
|
|
Verizon Communications, Inc., 5.500%, 02/15/18 |
|
|
122 |
|
| |
250 |
|
|
Verizon Maryland, Inc., 7.150%, 05/01/23 |
|
|
258 |
|
| |
100 |
|
|
Verizon New England, Inc., 4.750%, 10/01/13 |
|
|
104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 0.1% |
|
| |
150 |
|
|
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
|
|
160 |
|
| |
40 |
|
|
Crown Castle Towers LLC, 3.214%, 08/15/15 (e) |
|
|
41 |
|
|
|
|
|
Vodafone Group plc, (United Kingdom), |
|
|
|
|
| |
100 |
|
|
1.625%, 03/20/17 |
|
|
102 |
|
| |
125 |
|
|
5.000%, 09/15/15 |
|
|
140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services |
|
|
3,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities — 1.4% |
|
|
|
|
|
Electric Utilities — 0.9% |
|
| |
43 |
|
|
Baltimore Gas & Electric Co., 2.800%, 08/15/22 |
|
|
44 |
|
|
|
|
|
Carolina Power & Light Co., |
|
|
|
|
| |
40 |
|
|
2.800%, 05/15/22 |
|
|
42 |
|
| |
233 |
|
|
5.125%, 09/15/13 |
|
|
244 |
|
| |
150 |
|
|
5.300%, 01/15/19 |
|
|
181 |
|
| |
50 |
|
|
Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 |
|
|
63 |
|
| |
30 |
|
|
Connecticut Light & Power Co. (The), 5.650%, 05/01/18 |
|
|
36 |
|
| |
20 |
|
|
Detroit Edison Co. (The), 2.650%, 06/15/22 |
|
|
21 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities — Continued |
|
| |
200 |
|
|
Duke Energy Carolinas LLC, 5.625%, 11/30/12 |
|
|
202 |
|
| |
60 |
|
|
Duke Energy Indiana, Inc., 3.750%, 07/15/20 |
|
|
66 |
|
| |
100 |
|
|
Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) |
|
|
99 |
|
| |
72 |
|
|
Exelon Generation Co. LLC, 4.000%, 10/01/20 |
|
|
76 |
|
| |
40 |
|
|
Georgia Power Co., 6.000%, 11/01/13 |
|
|
42 |
|
| |
135 |
|
|
Indiana Michigan Power Co., 7.000%, 03/15/19 |
|
|
169 |
|
| |
25 |
|
|
Jersey Central Power & Light Co., 7.350%, 02/01/19 |
|
|
32 |
|
| |
12 |
|
|
Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) |
|
|
12 |
|
| |
60 |
|
|
Nevada Power Co., 7.125%, 03/15/19 |
|
|
78 |
|
| |
150 |
|
|
NextEra Energy Capital Holdings, Inc., 7.875%, 12/15/15 |
|
|
180 |
|
| |
40 |
|
|
Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) |
|
|
45 |
|
| |
180 |
|
|
Nisource Finance Corp., 4.450%, 12/01/21 |
|
|
195 |
|
| |
25 |
|
|
Ohio Power Co., 6.050%, 05/01/18 |
|
|
30 |
|
| |
50 |
|
|
Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18 |
|
|
61 |
|
|
|
|
|
Pacific Gas & Electric Co., |
|
|
|
|
| |
68 |
|
|
2.450%, 08/15/22 |
|
|
68 |
|
| |
125 |
|
|
5.625%, 11/30/17 |
|
|
152 |
|
|
|
|
|
PacifiCorp, |
|
|
|
|
| |
100 |
|
|
3.850%, 06/15/21 |
|
|
113 |
|
| |
60 |
|
|
5.650%, 07/15/18 |
|
|
74 |
|
| |
75 |
|
|
Peco Energy Co., 5.350%, 03/01/18 |
|
|
90 |
|
| |
51 |
|
|
Public Service Co. of Colorado, 3.200%, 11/15/20 |
|
|
56 |
|
| |
74 |
|
|
Public Service Co. of Oklahoma, 4.400%, 02/01/21 |
|
|
83 |
|
| |
200 |
|
|
Public Service Electric & Gas Co., 6.330%, 11/01/13 |
|
|
213 |
|
|
|
|
|
Southern Co., |
|
|
|
|
| |
45 |
|
|
1.950%, 09/01/16 |
|
|
47 |
|
| |
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 |
|
|
169 |
|
| |
50 |
|
|
8.000%, 10/01/19 |
|
|
65 |
|
|
|
|
|
Virginia Electric and Power Co., |
|
|
|
|
| |
210 |
|
|
5.100%, 11/30/12 |
|
|
212 |
|
| |
100 |
|
|
5.400%, 04/30/18 |
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,602 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 76 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bonds — Continued |
|
|
|
|
|
Gas Utilities — 0.2% |
|
|
|
|
|
|
|
|
AGL Capital Corp., |
|
|
|
|
| |
94 |
|
|
3.500%, 09/15/21 |
|
|
100 |
|
| |
50 |
|
|
4.450%, 04/15/13 |
|
|
51 |
|
| |
100 |
|
|
6.375%, 07/15/16 |
|
|
117 |
|
| |
30 |
|
|
Atmos Energy Corp., 8.500%, 03/15/19 |
|
|
40 |
|
| |
50 |
|
|
CenterPoint Energy Resources Corp., 6.125%, 11/01/17 |
|
|
60 |
|
|
|
|
|
TransCanada PipeLines Ltd., (Canada), |
|
|
|
|
| |
100 |
|
|
4.000%, 06/15/13 |
|
|
103 |
|
| |
100 |
|
|
6.500%, 08/15/18 |
|
|
125 |
|
| |
30 |
|
|
7.125%, 01/15/19 |
|
|
39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 0.0% (g) |
|
| |
150 |
|
|
PPL Energy Supply LLC, 4.600%, 12/15/21 |
|
|
160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities — 0.2% |
|
| |
150 |
|
|
Dominion Resources, Inc., 8.875%, 01/15/19 |
|
|
205 |
|
| |
50 |
|
|
PG&E Corp., 5.750%, 04/01/14 |
|
|
54 |
|
|
|
|
|
Sempra Energy, |
|
|
|
|
| |
80 |
|
|
8.900%, 11/15/13 |
|
|
88 |
|
| |
150 |
|
|
9.800%, 02/15/19 |
|
|
211 |
|
|
|
|
|
Wisconsin Electric Power Co., |
|
|
|
|
| |
30 |
|
|
6.000%, 04/01/14 |
|
|
33 |
|
| |
100 |
|
|
6.250%, 12/01/15 |
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Utilities — 0.1% |
|
|
|
|
| |
200 |
|
|
American Water Capital Corp., 6.085%, 10/15/17 |
|
|
238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utilities |
|
|
5,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds
(Cost $64,994) |
|
|
70,729 |
|
|
|
|
|
|
|
|
|
|
| |
Foreign Government Securities — 1.1% |
|
|
|
|
|
Israel Government AID Bond, (Israel), |
|
|
|
|
| |
1,000 |
|
|
Zero Coupon, 08/15/17 |
|
|
948 |
|
| |
1,000 |
|
|
Zero Coupon, 08/15/18 |
|
|
927 |
|
| |
1,557 |
|
|
Zero Coupon, 08/15/20 |
|
|
1,356 |
|
| |
100 |
|
|
Province of Manitoba, (Canada), 2.125%, 04/22/13 |
|
|
101 |
|
|
|
|
|
Province of Ontario, (Canada), |
|
|
|
|
| |
400 |
|
|
0.950%, 05/26/15 |
|
|
405 |
|
| |
250 |
|
|
2.700%, 06/16/15 |
|
|
265 |
|
| |
300 |
|
|
2.950%, 02/05/15 |
|
|
317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities
(Cost $4,097) |
|
|
4,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Mortgage Pass-Through Securities — 10.9% |
|
|
|
|
|
Federal Home Loan Mortgage Corp., |
|
|
|
|
| |
46 |
|
|
ARM, 2.168%, 01/01/27 |
|
|
50 |
|
| |
15 |
|
|
ARM, 2.250%, 07/01/26 |
|
|
15 |
|
| |
150 |
|
|
ARM, 2.415%, 01/01/37 |
|
|
160 |
|
| |
310 |
|
|
ARM, 2.471%, 08/01/36 |
|
|
331 |
|
| |
458 |
|
|
ARM, 2.620%, 12/01/34 |
|
|
490 |
|
| |
253 |
|
|
ARM, 2.705%, 03/01/37 |
|
|
271 |
|
| |
138 |
|
|
ARM, 2.764%, 09/01/36 |
|
|
147 |
|
| |
231 |
|
|
ARM, 2.903%, 09/01/36 |
|
|
248 |
|
| |
133 |
|
|
ARM, 3.271%, 02/01/37 |
|
|
143 |
|
| |
218 |
|
|
ARM, 3.504%, 04/01/38 |
|
|
234 |
|
| |
393 |
|
|
ARM, 6.037%, 06/01/36 |
|
|
425 |
|
| |
141 |
|
|
ARM, 6.554%, 11/01/36 |
|
|
152 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|
|
|
|
| |
222 |
|
|
4.000%, 06/01/19 |
|
|
237 |
|
| |
55 |
|
|
4.500%, 10/01/18 |
|
|
60 |
|
| |
394 |
|
|
5.500%, 06/01/17 - 01/01/24 |
|
|
428 |
|
| |
195 |
|
|
6.000%, 10/01/17 - 04/01/18 |
|
|
200 |
|
| |
560 |
|
|
6.500%, 01/01/17 - 03/01/22 |
|
|
600 |
|
| |
15 |
|
|
7.000%, 09/01/12 - 01/01/17 |
|
|
15 |
|
| |
— |
(h) |
|
7.500%, 10/01/14 |
|
|
— |
(h) |
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|
|
|
|
| |
17 |
|
|
6.000%, 12/01/22 |
|
|
19 |
|
| |
85 |
|
|
6.500%, 12/01/13 - 08/01/26 |
|
|
96 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|
|
|
|
| |
105 |
|
|
6.000%, 01/01/34 |
|
|
117 |
|
| |
162 |
|
|
7.000%, 04/01/26 - 02/01/37 |
|
|
187 |
|
| |
8 |
|
|
7.500%, 08/01/25 |
|
|
10 |
|
| |
10 |
|
|
8.000%, 07/01/20 - 11/01/24 |
|
|
12 |
|
| |
28 |
|
|
8.500%, 07/01/28 |
|
|
35 |
|
| |
531 |
|
|
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 |
|
|
631 |
|
|
|
|
|
Federal Home Loan Mortgage Corp. Gold Pools, Other, |
|
|
|
|
| |
498 |
|
|
3.500%, 06/01/42 |
|
|
533 |
|
| |
499 |
|
|
4.000%, 06/01/42 |
|
|
548 |
|
| |
454 |
|
|
6.000%, 02/01/33 |
|
|
504 |
|
|
|
|
|
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|
|
|
|
| |
2 |
|
|
12.000%, 08/01/15 - 07/01/19 |
|
|
2 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
| |
6 |
|
|
ARM, 1.875%, 03/01/19 |
|
|
6 |
|
| |
80 |
|
|
ARM, 2.215%, 02/01/37 |
|
|
85 |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
77 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Mortgage Pass-Through Securities — Continued |
|
| |
218 |
|
|
ARM, 2.273%, 01/01/35 |
|
|
232 |
|
| |
204 |
|
|
ARM, 2.282%, 08/01/34 |
|
|
217 |
|
| |
223 |
|
|
ARM, 2.285%, 09/01/35 |
|
|
238 |
|
| |
314 |
|
|
ARM, 2.291%, 02/01/35 |
|
|
335 |
|
| |
149 |
|
|
ARM, 2.292%, 11/01/33 |
|
|
158 |
|
| |
258 |
|
|
ARM, 2.330%, 01/01/35 |
|
|
273 |
|
| |
205 |
|
|
ARM, 2.362%, 04/01/35 |
|
|
218 |
|
| |
163 |
|
|
ARM, 2.406%, 04/01/33 |
|
|
173 |
|
| |
119 |
|
|
ARM, 2.460%, 08/01/35 |
|
|
126 |
|
| |
215 |
|
|
ARM, 2.505%, 10/01/34 |
|
|
230 |
|
| |
353 |
|
|
ARM, 2.543%, 09/01/34 |
|
|
376 |
|
| |
282 |
|
|
ARM, 2.569%, 09/01/35 |
|
|
301 |
|
| |
175 |
|
|
ARM, 2.593%, 02/01/35 |
|
|
187 |
|
| |
1 |
|
|
ARM, 2.749%, 08/01/19 |
|
|
1 |
|
| |
237 |
|
|
ARM, 2.780%, 02/01/37 |
|
|
253 |
|
| |
270 |
|
|
ARM, 2.816%, 09/01/33 |
|
|
290 |
|
| |
95 |
|
|
ARM, 2.919%, 08/01/36 |
|
|
101 |
|
| |
167 |
|
|
ARM, 2.945%, 07/01/46 |
|
|
179 |
|
| |
19 |
|
|
ARM, 2.987%, 09/01/27 |
|
|
20 |
|
| |
351 |
|
|
ARM, 3.219%, 02/01/36 |
|
|
374 |
|
| |
17 |
|
|
ARM, 3.850%, 03/01/29 |
|
|
19 |
|
| |
159 |
|
|
ARM, 6.193%, 09/01/36 |
|
|
172 |
|
|
|
|
|
Federal National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
| |
358 |
|
|
4.000%, 09/01/18 - 05/01/19 |
|
|
386 |
|
| |
1,113 |
|
|
4.500%, 05/01/18 - 05/01/19 |
|
|
1,213 |
|
| |
663 |
|
|
5.000%, 12/01/16 - 04/01/19 |
|
|
732 |
|
| |
426 |
|
|
5.500%, 01/01/20 - 06/01/20 |
|
|
465 |
|
| |
578 |
|
|
6.000%, 03/01/21 - 01/01/24 |
|
|
631 |
|
| |
113 |
|
|
6.500%, 05/01/13 - 08/01/20 |
|
|
123 |
|
| |
— |
(h) |
|
8.000%, 11/01/12 |
|
|
— |
(h) |
|
|
|
|
Federal National Mortgage Association, 20 Year, Single Family, |
|
|
|
|
| |
137 |
|
|
6.000%, 04/01/24 |
|
|
152 |
|
| |
184 |
|
|
6.500%, 05/01/22 |
|
|
207 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, FHA/VA, |
|
|
|
|
| |
20 |
|
|
6.000%, 09/01/33 |
|
|
22 |
|
| |
36 |
|
|
6.500%, 03/01/29 |
|
|
43 |
|
| |
20 |
|
|
8.500%, 08/01/27 - 02/01/30 |
|
|
23 |
|
| |
14 |
|
|
9.000%, 09/01/19 - 12/01/30 |
|
|
14 |
|
| |
8 |
|
|
9.500%, 12/01/18 |
|
|
10 |
|
|
|
|
|
Federal National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
| |
159 |
|
|
4.500%, 08/01/33 |
|
|
172 |
|
| |
1,860 |
|
|
5.000%, 07/01/33 - 08/01/40 |
|
|
2,063 |
|
| |
2,137 |
|
|
5.500%, 09/01/33 - 02/01/38 |
|
|
2,366 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1,036 |
|
|
6.000%, 12/01/32 - 09/01/37 |
|
|
1,159 |
|
| |
61 |
|
|
6.500%, 08/01/31 |
|
|
70 |
|
| |
15 |
|
|
7.000%, 07/01/25 - 08/01/32 |
|
|
18 |
|
| |
19 |
|
|
7.500%, 11/01/22 - 05/01/25 |
|
|
22 |
|
| |
614 |
|
|
8.000%, 03/01/21 - 11/01/32 |
|
|
763 |
|
| |
10 |
|
|
8.500%, 07/01/24 - 06/01/25 |
|
|
12 |
|
| |
— |
(h) |
|
9.000%, 04/01/26 |
|
|
1 |
|
| |
4 |
|
|
10.000%, 02/01/24 |
|
|
5 |
|
| |
2 |
|
|
12.500%, 01/01/16 |
|
|
2 |
|
|
|
|
|
Federal National Mortgage Association, Other, |
|
|
|
|
| |
989 |
|
|
2.004%, 01/01/17 |
|
|
1,016 |
|
| |
1,000 |
|
|
2.056%, 01/01/17 |
|
|
999 |
|
| |
2,913 |
|
|
2.970%, 11/01/18 |
|
|
3,143 |
|
| |
2,436 |
|
|
3.590%, 12/01/20 |
|
|
2,712 |
|
| |
1,000 |
|
|
3.658%, 10/01/20 |
|
|
1,110 |
|
| |
476 |
|
|
4.291%, 06/01/21 |
|
|
553 |
|
| |
1,078 |
|
|
4.298%, 03/01/21 |
|
|
1,239 |
|
| |
1,980 |
|
|
4.380%, 01/01/21 - 04/01/21 |
|
|
2,295 |
|
| |
500 |
|
|
4.390%, 05/01/21 |
|
|
581 |
|
| |
800 |
|
|
4.443%, 04/01/21 |
|
|
926 |
|
| |
958 |
|
|
4.500%, 03/01/20 |
|
|
1,100 |
|
| |
364 |
|
|
5.500%, 04/01/38 |
|
|
395 |
|
| |
431 |
|
|
6.000%, 03/01/37 |
|
|
469 |
|
|
|
|
|
Government National Mortgage Association II, 30 Year, Single Family, |
|
|
|
|
| |
989 |
|
|
6.000%, 03/20/28 - 09/20/38 |
|
|
1,115 |
|
| |
16 |
|
|
7.500%, 02/20/28 - 09/20/28 |
|
|
19 |
|
| |
43 |
|
|
8.000%, 12/20/25 - 08/20/28 |
|
|
52 |
|
| |
26 |
|
|
8.500%, 03/20/25 - 05/20/25 |
|
|
33 |
|
|
|
|
|
Government National Mortgage Association, 15 Year, Single Family, |
|
|
|
|
| |
37 |
|
|
6.000%, 10/15/17 |
|
|
40 |
|
| |
17 |
|
|
8.000%, 01/15/16 |
|
|
18 |
|
|
|
|
|
Government National Mortgage Association, 30 Year, Single Family, |
|
|
|
|
| |
617 |
|
|
6.000%, 11/15/28 - 12/15/38 |
|
|
703 |
|
| |
430 |
|
|
6.500%, 01/15/24 - 12/15/35 |
|
|
498 |
|
| |
398 |
|
|
7.000%, 08/15/23 - 06/15/35 |
|
|
466 |
|
| |
31 |
|
|
7.500%, 11/15/22 - 09/15/28 |
|
|
37 |
|
| |
7 |
|
|
8.000%, 05/15/22 - 08/15/28 |
|
|
8 |
|
| |
6 |
|
|
8.500%, 11/15/17 |
|
|
7 |
|
| |
13 |
|
|
9.000%, 08/15/16 - 11/15/24 |
|
|
14 |
|
| |
242 |
|
|
9.500%, 09/15/18 - 12/15/25 |
|
|
279 |
|
| |
4 |
|
|
12.000%, 11/15/19 |
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Through Securities
(Cost $39,355) |
|
|
41,970 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 78 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Supranational — 0.1% |
|
| |
150 |
|
|
African Development Bank, 8.800%, 09/01/19 |
|
|
202 |
|
| |
40 |
|
|
Corp. Andina de Fomento, 5.200%, 05/21/13 |
|
|
41 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Supranational
(Cost $244) |
|
|
243 |
|
|
|
|
|
|
|
|
|
|
| |
U.S. Government Agency Securities — 2.1% |
|
| |
500 |
|
|
Federal Farm Credit Banks, 5.125%, 11/15/18 |
|
|
618 |
|
|
|
|
|
Federal National Mortgage Association, |
|
|
|
|
| |
1,300 |
|
|
Zero Coupon, 07/05/14 |
|
|
1,282 |
|
| |
1,000 |
|
|
Zero Coupon, 06/01/17 |
|
|
954 |
|
| |
800 |
|
|
5.000%, 05/11/17 |
|
|
962 |
|
| |
500 |
|
|
Federal National Mortgage Association STRIPS, Zero Coupon, 11/15/21 |
|
|
409 |
|
|
|
|
|
Financing Corp. Fico, |
|
|
|
|
| |
500 |
|
|
Zero Coupon, 04/05/19 |
|
|
452 |
|
| |
584 |
|
|
Zero Coupon, 09/26/19 |
|
|
521 |
|
| |
1,000 |
|
|
Government Trust Certificate, Zero Coupon, 10/01/15 |
|
|
962 |
|
| |
450 |
|
|
Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20 |
|
|
398 |
|
| |
1,000 |
|
|
Tennessee Valley Authority, 5.500%, 07/18/17 |
|
|
1,225 |
|
| |
333 |
|
|
Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19 |
|
|
298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Securities
(Cost $7,486) |
|
|
8,081 |
|
|
|
|
|
|
|
|
|
|
| |
U.S. Treasury Obligations — 31.2% |
|
|
|
|
|
U.S. Treasury Bonds, |
|
|
|
|
| |
1,225 |
|
|
7.500%, 11/15/16 |
|
|
1,582 |
|
| |
320 |
|
|
8.500%, 02/15/20 |
|
|
492 |
|
| |
250 |
|
|
8.750%, 05/15/20 |
|
|
392 |
|
| |
250 |
|
|
8.750%, 08/15/20 |
|
|
395 |
|
| |
3,000 |
|
|
8.875%, 08/15/17 |
|
|
4,211 |
|
| |
835 |
|
|
11.250%, 02/15/15 |
|
|
1,058 |
|
|
|
|
|
U.S. Treasury Inflation Indexed Notes, |
|
|
|
|
| |
1,700 |
|
|
0.500%, 04/15/15 |
|
|
1,889 |
|
| |
300 |
|
|
0.625%, 04/15/13 |
|
|
329 |
|
| |
700 |
|
|
1.125%, 01/15/21 |
|
|
859 |
|
| |
300 |
|
|
1.250%, 04/15/14 |
|
|
338 |
|
| |
250 |
|
|
2.000%, 01/15/14 |
|
|
324 |
|
|
|
|
|
U.S. Treasury Notes, |
|
|
|
|
| |
500 |
|
|
0.375%, 10/31/12 |
|
|
500 |
|
| |
500 |
|
|
0.625%, 12/31/12 |
|
|
501 |
|
| |
1,000 |
|
|
1.375%, 01/15/13 |
|
|
1,005 |
|
| |
400 |
|
|
1.375%, 12/31/18 |
|
|
412 |
|
| |
4,900 |
|
|
1.500%, 08/31/18 |
|
|
5,099 |
|
| |
1,500 |
|
|
1.750%, 10/31/18 |
|
|
1,582 |
|
| |
1,100 |
|
|
1.875%, 04/30/14 |
|
|
1,130 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT($) |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1,500 |
|
|
2.125%, 12/31/15 |
|
|
1,588 |
|
| |
1,500 |
|
|
2.250%, 07/31/18 |
|
|
1,627 |
|
| |
1,500 |
|
|
2.750%, 11/30/16 |
|
|
1,643 |
|
| |
1,755 |
|
|
2.750%, 05/31/17 |
|
|
1,935 |
|
| |
3,000 |
|
|
2.750%, 12/31/17 |
|
|
3,326 |
|
| |
300 |
|
|
3.125%, 04/30/13 |
|
|
306 |
|
| |
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 |
|
|
1,123 |
|
| |
400 |
|
|
3.500%, 02/15/18 |
|
|
460 |
|
| |
2,000 |
|
|
4.000%, 11/15/12 |
|
|
2,015 |
|
| |
700 |
|
|
4.000%, 02/15/15 |
|
|
764 |
|
| |
200 |
|
|
4.500%, 02/15/16 |
|
|
228 |
|
| |
1,000 |
|
|
4.750%, 08/15/17 |
|
|
1,202 |
|
|
|
|
|
U.S. Treasury STRIPS, |
|
|
|
|
| |
202 |
|
|
11/15/13 |
|
|
202 |
|
| |
800 |
|
|
02/15/14 (m) |
|
|
798 |
|
| |
4,566 |
|
|
05/15/14 (m) |
|
|
4,548 |
|
| |
1,500 |
|
|
08/15/14 (m) |
|
|
1,494 |
|
| |
3,518 |
|
|
11/15/14 (m) |
|
|
3,499 |
|
| |
3,325 |
|
|
02/15/15 |
|
|
3,303 |
|
| |
32 |
|
|
08/15/15 |
|
|
32 |
|
| |
4,952 |
|
|
11/15/15 (m) |
|
|
4,894 |
|
| |
5,766 |
|
|
02/15/16 (m) |
|
|
5,689 |
|
| |
1,072 |
|
|
05/15/16 |
|
|
1,055 |
|
| |
2,505 |
|
|
08/15/16 |
|
|
2,458 |
|
| |
700 |
|
|
11/15/16 |
|
|
685 |
|
| |
1,224 |
|
|
02/15/17 |
|
|
1,193 |
|
| |
4,446 |
|
|
08/15/17 |
|
|
4,301 |
|
| |
1,960 |
|
|
11/15/17 |
|
|
1,889 |
|
| |
2,200 |
|
|
02/15/18 |
|
|
2,109 |
|
| |
495 |
|
|
05/15/19 |
|
|
463 |
|
| |
4,350 |
|
|
08/15/19 |
|
|
4,043 |
|
| |
2,000 |
|
|
02/15/20 |
|
|
1,833 |
|
| |
13,948 |
|
|
05/15/20 |
|
|
12,686 |
|
| |
150 |
|
|
05/15/20 |
|
|
137 |
|
| |
12,550 |
|
|
08/15/20 |
|
|
11,332 |
|
| |
1,650 |
|
|
05/15/21 |
|
|
1,454 |
|
| |
100 |
|
|
08/15/21 |
|
|
87 |
|
| |
1,350 |
|
|
11/15/21 |
|
|
1,171 |
|
| |
100 |
|
|
08/15/26 |
|
|
73 |
|
| |
300 |
|
|
11/15/26 |
|
|
216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(Cost $110,608) |
|
|
119,908 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
79 |
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
| SHARES |
|
|
SECURITY DESCRIPTION |
|
VALUE($) |
|
|
|
|
|
|
|
|
|
|
| |
Short-Term Investment — 5.5% |
|
|
|
|
|
Investment Company — 5.5% |
|
|
|
|
| |
21,255 |
|
|
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120% (b) (l) (Cost $21,255) |
|
|
21,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments — 99.6%
(Cost $355,541) |
|
|
382,500 |
|
|
|
|
|
Other Assets in Excess of
Liabilities — 0.4% |
|
|
1,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — 100.0% |
|
$ |
383,858 |
|
|
|
|
|
|
|
|
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 80 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
JPMorgan Institutional Trust Funds
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
|
|
|
| ARM |
|
— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31,
2012. |
| CMO |
|
— Collateralized Mortgage Obligation |
| ESOP |
|
— Employee Stock Ownership Program |
| ETF |
|
— Exchange Traded Fund |
| FHA |
|
— Federal Housing Administration |
| GMAC |
|
— General Motors Acceptance Corp. |
| GO |
|
— General Obligation |
| HB |
|
— High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an
underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other
classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
| IF |
|
— Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline
(incline) in a specified index. The interest rate shown is the rate in effect as of August 31, 2012. The rate may be subject to a cap and floor. |
| IO |
|
— Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage
loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments.
As a result, interest income may be reduced considerably. |
| PO |
|
— Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage
loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
| REMICS |
|
— Real Estate Mortgage Investment Conduits |
| Rev. |
|
— Revenue |
| SPDR |
|
— Standard & Poor’s Depository Receipts |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and
trade individual interest and principal components of eligible notes and bonds as separate securities. |
| SUB |
|
— Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2012. |
| VA |
|
— Veterans Administration |
|
|
|
| VAR |
|
— Variable Rate Security. The interest rate shown is the rate in effect as of August 31,
2012. |
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
|
— Non-income producing security. |
|
| (b) |
|
— Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as
amended, and advised by J.P. Morgan Investment Management Inc. |
|
| (c) |
|
— Security, or a portion of the security, has been delivered to a counterparty as part of a security
lending transaction. |
|
| (e) |
|
— Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended.
Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|
| (f) |
|
— Security is fair valued in accordance with procedures established by and under the supervision and
responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands): |
|
|
|
|
|
| |
|
Fund |
|
Value |
|
|
Percentage |
|
|
|
Core Bond Trust |
|
$ |
35,692 |
|
|
|
1.0 |
% |
|
|
Intermediate Bond Trust |
|
|
2,443 |
|
|
|
0.6 |
|
|
|
| (g) |
|
— Amount rounds to less than 0.1%. |
|
| (h) |
|
— Amount rounds to less than one thousand (shares or dollars). |
|
| (i) |
|
— Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may
be difficult to sell. |
|
| (k) |
|
— All or a portion of this security is deposited with the broker as collateral for futures or with
brokers as initial margin for futures contracts. |
|
| (l) |
|
— The rate shown is the current yield as of August 31, 2012. |
|
| (m) |
|
— All or a portion of this security is reserved and/or pledged with the custodian for current or
potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
|
| (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 Portfolio, as an
index fund, invests. |
|
| (t) |
|
— The date shown represents the earliest of the prerefunded date, next put date or final maturity
date. |
|
SEE NOTES TO
FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
81 |
|
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in
thousands, except per share amounts)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Core
Bond
Trust |
|
|
Equity Index
Trust |
|
|
Intermediate
Bond Trust |
|
| ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in non-affiliates, at value |
|
$ |
3,548,941 |
|
|
$ |
299,620 |
|
|
$ |
361,245 |
|
| Investments in affiliates, at value |
|
|
55,995 |
|
|
|
7,283 |
|
|
|
21,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total investment securities, at value |
|
|
3,604,936 |
|
|
|
306,903 |
|
|
|
382,500 |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment securities sold |
|
|
346 |
|
|
|
1 |
|
|
|
35 |
|
| Fund shares sold |
|
|
630 |
|
|
|
— |
|
|
|
— |
|
| Interest and dividends from non-affiliates |
|
|
17,339 |
|
|
|
731 |
|
|
|
1,612 |
|
| Dividends from affiliates |
|
|
7 |
|
|
|
1 |
|
|
|
2 |
|
| Tax reclaims |
|
|
— |
|
|
|
— |
(a) |
|
|
— |
|
| Securities lending income |
|
|
— |
|
|
|
— |
(a) |
|
|
— |
|
| Variation margin on futures contracts |
|
|
— |
|
|
|
24 |
|
|
|
— |
|
| Prepaid expenses and other assets |
|
|
— |
|
|
|
— |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Assets |
|
|
3,623,258 |
|
|
|
307,660 |
|
|
|
384,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividends |
|
|
285 |
|
|
|
— |
|
|
|
34 |
|
| Investment securities purchased |
|
|
5,251 |
|
|
|
— |
|
|
|
91 |
|
| Collateral for securities lending program |
|
|
— |
|
|
|
30 |
|
|
|
— |
|
| Fund shares redeemed |
|
|
1,109 |
|
|
|
— |
|
|
|
86 |
|
| Accrued liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
400 |
|
|
|
18 |
|
|
|
25 |
|
| Custodian and accounting fees |
|
|
42 |
|
|
|
15 |
|
|
|
22 |
|
| Trustees’ and Chief Compliance Officer’s fees |
|
|
2 |
|
|
|
— |
(a) |
|
|
— |
(a) |
| Audit fees |
|
|
26 |
|
|
|
24 |
|
|
|
34 |
|
| Other |
|
|
7 |
|
|
|
4 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Liabilities |
|
|
7,122 |
|
|
|
91 |
|
|
|
294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
3,616,136 |
|
|
$ |
307,569 |
|
|
$ |
383,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in-Capital |
|
$ |
3,308,266 |
|
|
$ |
266,894 |
|
|
$ |
357,617 |
|
| Accumulated undistributed (distributions in excess of) net investment income |
|
|
2,081 |
|
|
|
1,325 |
|
|
|
57 |
|
| Accumulated net realized gains (losses) |
|
|
(326 |
) |
|
|
(54,611 |
) |
|
|
(775 |
) |
| Net unrealized appreciation (depreciation) |
|
|
306,115 |
|
|
|
93,961 |
|
|
|
26,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Net Assets |
|
$ |
3,616,136 |
|
|
$ |
307,569 |
|
|
$ |
383,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Outstanding units of beneficial interest (shares) |
|
|
|
|
|
|
|
|
|
|
|
|
| ($0.0001 par value; unlimited number of shares authorized): |
|
|
328,870 |
|
|
|
18,060 |
|
|
|
35,723 |
|
|
|
|
|
| Net Asset Value, offering and redemption price per share (b) |
|
$ |
11.00 |
|
|
$ |
17.03 |
|
|
$ |
10.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cost of investments in non-affiliates |
|
$ |
3,242,826 |
|
|
$ |
206,034 |
|
|
$ |
334,286 |
|
| Cost of investments in affiliates |
|
|
55,995 |
|
|
|
7,158 |
|
|
|
21,255 |
|
| Value of securities on loan |
|
|
— |
|
|
|
30 |
|
|
|
— |
|
| (a) |
Amount rounds to less than $1,000. |
| (b) |
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 82 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Core
Bond
Trust |
|
|
Equity Index
Trust |
|
|
Intermediate
Bond Trust |
|
| INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest income from non-affiliates |
|
$ |
76,092 |
|
|
$ |
— |
(a) |
|
$ |
6,742 |
|
| Dividend income from non-affiliates |
|
|
— |
|
|
|
3,210 |
|
|
|
— |
|
| Dividend income from affiliates |
|
|
67 |
|
|
|
58 |
|
|
|
10 |
|
| Income from securities lending (net) |
|
|
— |
|
|
|
— |
(a) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total investment income |
|
|
76,159 |
|
|
|
3,268 |
|
|
|
6,752 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
5,342 |
|
|
|
377 |
|
|
|
558 |
|
| Administration fees |
|
|
1,781 |
|
|
|
151 |
|
|
|
186 |
|
| Custodian and accounting fees |
|
|
196 |
|
|
|
16 |
|
|
|
87 |
|
| Professional fees |
|
|
49 |
|
|
|
23 |
|
|
|
33 |
|
| Trustees’ and Chief Compliance Officer’s fees |
|
|
20 |
|
|
|
1 |
|
|
|
2 |
|
| Printing and mailing costs |
|
|
12 |
|
|
|
2 |
|
|
|
1 |
|
| Transfer agent fees |
|
|
6 |
|
|
|
1 |
|
|
|
2 |
|
| Other |
|
|
58 |
|
|
|
4 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
7,464 |
|
|
|
575 |
|
|
|
877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less amounts waived |
|
|
(4,865 |
) |
|
|
(428 |
) |
|
|
(607 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net expenses |
|
|
2,599 |
|
|
|
147 |
|
|
|
270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
73,560 |
|
|
|
3,121 |
|
|
|
6,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in non-affiliates |
|
|
(2,489 |
) |
|
|
1,972 |
|
|
|
(775 |
) |
| Investment in affiliates |
|
|
— |
|
|
|
(9 |
) |
|
|
— |
|
| Futures |
|
|
— |
|
|
|
55 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) |
|
|
(2,489 |
) |
|
|
2,018 |
|
|
|
(775 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in net unrealized appreciation/depreciation of: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in non-affiliates |
|
|
57,359 |
|
|
|
7,148 |
|
|
|
4,620 |
|
| Investments in affiliates |
|
|
— |
|
|
|
(182 |
) |
|
|
— |
|
| Futures |
|
|
— |
|
|
|
35 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in net unrealized appreciation/depreciation |
|
|
57,359 |
|
|
|
7,001 |
|
|
|
4,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized/unrealized gains (losses) |
|
|
54,870 |
|
|
|
9,019 |
|
|
|
3,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in net assets resulting from operations |
|
$ |
128,430 |
|
|
$ |
12,140 |
|
|
$ |
10,327 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
83 |
|
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Core Bond Trust |
|
|
Equity Index Trust |
|
|
Intermediate Bond Trust |
|
| |
|
Six Months
Ended
8/31/2012
(Unaudited) |
|
|
Year Ended
2/29/2012 |
|
|
Six Months
Ended
8/31/2012
(Unaudited) |
|
|
Year Ended
2/29/2012 |
|
|
Six Months
Ended
8/31/2012
(Unaudited) |
|
|
Year Ended
2/29/2012 |
|
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
73,560 |
|
|
$ |
149,725 |
|
|
$ |
3,121 |
|
|
$ |
6,700 |
|
|
$ |
6,482 |
|
|
$ |
13,338 |
|
| Net realized gain (loss) |
|
|
(2,489 |
) |
|
|
15,415 |
|
|
|
2,018 |
|
|
|
(2,629 |
) |
|
|
(775 |
) |
|
|
3,171 |
|
| Change in net unrealized appreciation/depreciation |
|
|
57,359 |
|
|
|
90,772 |
|
|
|
7,001 |
|
|
|
12,157 |
|
|
|
4,620 |
|
|
|
7,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in net assets resulting from operations |
|
|
128,430 |
|
|
|
255,912 |
|
|
|
12,140 |
|
|
|
16,228 |
|
|
|
10,327 |
|
|
|
24,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income |
|
|
(71,163 |
) |
|
|
(153,487 |
) |
|
|
(3,125 |
) |
|
|
(7,278 |
) |
|
|
(6,366 |
) |
|
|
(14,567 |
) |
| From net realized gains |
|
|
— |
|
|
|
(4,919 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,970 |
) |
| Return of capital |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(790 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions to shareholders |
|
|
(71,163 |
) |
|
|
(158,406 |
) |
|
|
(3,125 |
) |
|
|
(7,278 |
) |
|
|
(6,366 |
) |
|
|
(17,327 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares issued |
|
|
243,088 |
|
|
|
774,356 |
|
|
|
23,758 |
|
|
|
30,932 |
|
|
|
15,996 |
|
|
|
79,121 |
|
| Dividends and distributions reinvested |
|
|
69,426 |
|
|
|
154,789 |
|
|
|
3,113 |
|
|
|
7,278 |
|
|
|
6,153 |
|
|
|
16,912 |
|
| Cost of shares redeemed |
|
|
(211,966 |
) |
|
|
(590,970 |
) |
|
|
(29,415 |
) |
|
|
(87,258 |
) |
|
|
(3,557 |
) |
|
|
(108,690 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in net assets resulting from capital transactions |
|
|
100,548 |
|
|
|
338,175 |
|
|
|
(2,544 |
) |
|
|
(49,048 |
) |
|
|
18,592 |
|
|
|
(12,657 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in net assets |
|
|
157,815 |
|
|
|
435,681 |
|
|
|
6,471 |
|
|
|
(40,098 |
) |
|
|
22,553 |
|
|
|
(5,615 |
) |
| Beginning of period |
|
|
3,458,321 |
|
|
|
3,022,640 |
|
|
|
301,098 |
|
|
|
341,196 |
|
|
|
361,305 |
|
|
|
366,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
3,616,136 |
|
|
$ |
3,458,321 |
|
|
$ |
307,569 |
|
|
$ |
301,098 |
|
|
$ |
383,858 |
|
|
$ |
361,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Accumulated undistributed (distributions in excess of) net investment income |
|
$ |
2,081 |
|
|
$ |
(316 |
) |
|
$ |
1,325 |
|
|
$ |
1,329 |
|
|
$ |
57 |
|
|
$ |
(59 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHARE TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issued |
|
|
22,358 |
|
|
|
72,277 |
|
|
|
1,413 |
|
|
|
2,053 |
|
|
|
1,495 |
|
|
|
7,492 |
|
| Reinvested |
|
|
6,376 |
|
|
|
14,484 |
|
|
|
189 |
|
|
|
481 |
|
|
|
576 |
|
|
|
1,602 |
|
| Redeemed |
|
|
(19,439 |
) |
|
|
(55,193 |
) |
|
|
(1,753 |
) |
|
|
(5,516 |
) |
|
|
(333 |
) |
|
|
(10,442 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in Shares |
|
|
9,295 |
|
|
|
31,568 |
|
|
|
(151 |
) |
|
|
(2,982 |
) |
|
|
1,738 |
|
|
|
(1,348 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL
STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 84 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
THIS PAGE IS
INTENTIONALLY LEFT BLANK
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
85 |
|
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Per share operating performance |
|
| |
|
|
|
|
Investment operations |
|
|
Distributions |
|
| |
|
Net asset
value,
beginning
of period |
|
|
Net
investment
income
(loss) |
|
|
Net realized
and unrealized
gains
(losses) on
investments |
|
|
Total from
investment
operations |
|
|
Net
investment
income |
|
|
Net
realized
gain |
|
|
Return
of
capital |
|
|
Total
distributions |
|
| Core Bond Trust |
|
| Six Months Ended August 31, 2012 (Unaudited) |
|
$ |
10.82 |
|
|
$ |
0.23 |
|
|
$ |
0.17 |
|
|
$ |
0.40 |
|
|
$ |
(0.22 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(0.22 |
) |
| Year Ended February 29, 2012 |
|
|
10.50 |
|
|
|
0.50 |
|
|
|
0.35 |
|
|
|
0.85 |
|
|
|
(0.51 |
) |
|
|
(0.02 |
) |
|
|
— |
|
|
|
(0.53 |
) |
| Year Ended February 28, 2011 |
|
|
10.27 |
|
|
|
0.55 |
|
|
|
0.23 |
|
|
|
0.78 |
|
|
|
(0.55 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.55 |
) |
| Year Ended February 28, 2010 |
|
|
9.53 |
|
|
|
0.63 |
|
|
|
0.74 |
|
|
|
1.37 |
|
|
|
(0.63 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.63 |
) |
| Year Ended February 28, 2009 |
|
|
10.09 |
|
|
|
0.55 |
|
|
|
(0.56 |
) |
|
|
(0.01 |
) |
|
|
(0.55 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.55 |
) |
| Year Ended February 29, 2008 |
|
|
9.78 |
|
|
|
0.49 |
|
|
|
0.31 |
|
|
|
0.80 |
|
|
|
(0.49 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.49 |
) |
|
|
|
|
|
|
|
|
|
| Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended August 31, 2012 (Unaudited) |
|
|
16.53 |
|
|
|
0.17 |
|
|
|
0.50 |
|
|
|
0.67 |
|
|
|
(0.17 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.17 |
) |
| Year Ended February 29, 2012 |
|
|
16.10 |
|
|
|
0.31 |
|
|
|
0.46 |
|
|
|
0.77 |
|
|
|
(0.34 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.34 |
) |
| Year Ended February 28, 2011 |
|
|
13.42 |
|
|
|
0.28 |
|
|
|
2.67 |
|
|
|
2.95 |
|
|
|
(0.27 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.27 |
) |
| Year Ended February 28, 2010 |
|
|
8.98 |
|
|
|
0.30 |
|
|
|
4.44 |
|
|
|
4.74 |
|
|
|
(0.30 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.30 |
) |
| Year Ended February 28, 2009 |
|
|
16.27 |
|
|
|
0.33 |
|
|
|
(7.28 |
) |
|
|
(6.95 |
) |
|
|
(0.30 |
) |
|
|
(0.04 |
) |
|
|
— |
|
|
|
(0.34 |
) |
| Year Ended February 29, 2008 |
|
|
17.53 |
|
|
|
0.35 |
|
|
|
(0.94 |
) |
|
|
(0.59 |
) |
|
|
(0.33 |
) |
|
|
(0.34 |
) |
|
|
— |
|
|
|
(0.67 |
) |
|
|
|
|
|
|
|
|
|
| Intermediate Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended August 31, 2012 (Unaudited) |
|
|
10.63 |
|
|
|
0.19 |
|
|
|
0.11 |
|
|
|
0.30 |
|
|
|
(0.18 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.18 |
) |
| Year Ended February 29, 2012 |
|
|
10.38 |
|
|
|
0.43 |
|
|
|
0.38 |
|
|
|
0.81 |
|
|
|
(0.47 |
) |
|
|
(0.06 |
) |
|
|
(0.03 |
) |
|
|
(0.56 |
) |
| Year Ended February 28, 2011 |
|
|
10.28 |
|
|
|
0.48 |
|
|
|
0.10 |
|
|
|
0.58 |
|
|
|
(0.48 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.48 |
) |
| Year Ended February 28, 2010 |
|
|
9.70 |
|
|
|
0.53 |
|
|
|
0.58 |
|
|
|
1.11 |
|
|
|
(0.53 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.53 |
) |
| Year Ended February 28, 2009 |
|
|
10.08 |
|
|
|
0.50 |
|
|
|
(0.38 |
) |
|
|
0.12 |
|
|
|
(0.50 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.50 |
) |
| Year Ended February 29, 2008 |
|
|
9.76 |
|
|
|
0.48 |
|
|
|
0.32 |
|
|
|
0.80 |
|
|
|
(0.48 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.48 |
) |
| (a) |
Annualized for periods less than one year. |
| (b) |
Not annualized for periods less than one year. |
| (c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting
purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) |
Includes earning credits and interest expense, if applicable, each of which is less than 0.01% or unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
| 86 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Ratios/Supplemental data |
|
| |
|
|
|
|
|
|
|
|
Ratios to average net assets (a) |
|
|
|
|
Net asset
value,
end of
period |
|
|
Total
return (b)(c) |
|
|
Net assets,
end of
period
(000’s) |
|
|
Net
expenses (d) |
|
|
Net
investment
income
(loss) |
|
|
Expenses
without waivers,
reimbursements and
earning credits |
|
|
Portfolio
turnover
rate (b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
11.00 |
|
|
|
3.73 |
% |
|
$ |
3,616,136 |
|
|
|
0.15 |
% |
|
|
4.12 |
% |
|
|
0.42 |
% |
|
|
8 |
% |
| |
10.82 |
|
|
|
8.24 |
|
|
|
3,458,321 |
|
|
|
0.15 |
|
|
|
4.66 |
|
|
|
0.42 |
|
|
|
21 |
|
| |
10.50 |
|
|
|
7.71 |
|
|
|
3,022,640 |
|
|
|
0.14 |
|
|
|
5.23 |
|
|
|
0.42 |
|
|
|
20 |
|
| |
10.27 |
|
|
|
14.70 |
|
|
|
2,808,694 |
|
|
|
0.14 |
|
|
|
6.24 |
|
|
|
0.42 |
|
|
|
19 |
|
| |
9.53 |
|
|
|
(0.06 |
) |
|
|
2,367,508 |
|
|
|
0.15 |
|
|
|
5.60 |
|
|
|
0.44 |
|
|
|
13 |
|
| |
10.09 |
|
|
|
8.49 |
|
|
|
2,626,150 |
|
|
|
0.15 |
|
|
|
5.00 |
|
|
|
0.42 |
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
17.03 |
|
|
|
4.11 |
|
|
|
307,569 |
|
|
|
0.10 |
|
|
|
2.06 |
|
|
|
0.38 |
|
|
|
4 |
|
| |
16.53 |
|
|
|
4.97 |
|
|
|
301,098 |
|
|
|
0.10 |
|
|
|
2.03 |
|
|
|
0.38 |
|
|
|
8 |
|
| |
16.10 |
|
|
|
22.38 |
|
|
|
341,196 |
|
|
|
0.10 |
|
|
|
1.95 |
|
|
|
0.40 |
|
|
|
13 |
|
| |
13.42 |
|
|
|
53.50 |
|
|
|
304,822 |
|
|
|
0.10 |
|
|
|
2.37 |
|
|
|
0.42 |
|
|
|
18 |
|
| |
8.98 |
|
|
|
(43.42 |
) |
|
|
243,919 |
|
|
|
0.10 |
|
|
|
2.43 |
|
|
|
0.41 |
|
|
|
14 |
|
| |
16.27 |
|
|
|
(3.70 |
) |
|
|
398,720 |
|
|
|
0.10 |
|
|
|
1.90 |
|
|
|
0.40 |
|
|
|
15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
10.75 |
|
|
|
2.87 |
|
|
|
383,858 |
|
|
|
0.15 |
|
|
|
3.47 |
|
|
|
0.47 |
|
|
|
7 |
|
| |
10.63 |
|
|
|
7.98 |
|
|
|
361,305 |
|
|
|
0.14 |
|
|
|
4.05 |
|
|
|
0.48 |
|
|
|
35 |
|
| |
10.38 |
|
|
|
5.72 |
|
|
|
366,920 |
|
|
|
0.14 |
|
|
|
4.60 |
|
|
|
0.46 |
|
|
|
28 |
|
| |
10.28 |
|
|
|
11.72 |
|
|
|
359,197 |
|
|
|
0.15 |
|
|
|
5.33 |
|
|
|
0.47 |
|
|
|
23 |
|
| |
9.70 |
|
|
|
1.29 |
|
|
|
287,529 |
|
|
|
0.15 |
|
|
|
5.07 |
|
|
|
0.49 |
|
|
|
11 |
|
| |
10.08 |
|
|
|
8.41 |
|
|
|
349,739 |
|
|
|
0.15 |
|
|
|
4.85 |
|
|
|
0.45 |
|
|
|
17 |
|
SEE NOTES TO FINANCIAL
STATEMENTS.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
87 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited)
1. Organization
JPMorgan Institutional Trust
(the “Trust”) was organized on September 14, 2004 as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Three
separate diversified series of the Trust (collectively, the “Funds”) covered by this report commenced operations on February 7, 2005: Core Bond Trust, Equity Index Trust and Intermediate Bond Trust.
The investment objective of Core Bond Trust is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and
long-term debt securities.
The investment objective of Equity Index Trust is to seek investment results that correspond to the aggregate price
and dividend performance of securities in the Standard and Poor’s 500 Composite Stock Price Index.
The investment objective of Intermediate
Bond Trust is to seek current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.
2. Significant Accounting Policies
The following is a summary of significant accounting policies
followed by the Funds in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are
valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair
value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market
activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining
value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features
in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the
last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ
Official Closing Price.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized
cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices
used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps
and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market
value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at each investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the
security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has
established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of
JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the
“Advisor”), a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc. (“JPMAM”), which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief
Compliance Officer. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation
Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employs a market-based
approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may
also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of
the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed,
and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as
applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
|
|
|
|
|
|
|
|
|
|
|
| 88 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market
and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are
used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:
| Ÿ |
|
Level 1 — quoted prices in active markets for identical securities |
| Ÿ |
|
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
|
| Ÿ |
|
Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
|
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually
and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following tables represent each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in
thousands):
Core Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1
Quoted prices |
|
|
Level 2
Other significant
observable inputs |
|
|
Level 3
Significant
unobservable inputs |
|
|
Total |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
— |
|
|
$ |
120,615 |
|
|
$ |
38,002 |
|
|
$ |
158,617 |
|
| Collateralized Mortgage Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency |
|
|
— |
|
|
|
736,618 |
|
|
|
29,341 |
|
|
|
765,959 |
|
| Non-Agency |
|
|
— |
|
|
|
375,631 |
|
|
|
26,337 |
|
|
|
401,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Mortgage Obligations |
|
|
— |
|
|
|
1,112,249 |
|
|
|
55,678 |
|
|
|
1,167,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
70,723 |
|
|
|
20,833 |
|
|
|
91,556 |
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary |
|
|
— |
|
|
|
50,941 |
|
|
|
— |
|
|
|
50,941 |
|
| Consumer Staples |
|
|
— |
|
|
|
37,748 |
|
|
|
— |
|
|
|
37,748 |
|
| Energy |
|
|
— |
|
|
|
41,058 |
|
|
|
— |
|
|
|
41,058 |
|
| Financials |
|
|
— |
|
|
|
360,042 |
|
|
|
— |
|
|
|
360,042 |
|
| Health Care |
|
|
— |
|
|
|
15,669 |
|
|
|
— |
|
|
|
15,669 |
|
| Industrials |
|
|
— |
|
|
|
35,602 |
|
|
|
2,651 |
|
|
|
38,253 |
|
| Information Technology |
|
|
— |
|
|
|
33,587 |
|
|
|
— |
|
|
|
33,587 |
|
| Materials |
|
|
— |
|
|
|
19,738 |
|
|
|
— |
|
|
|
19,738 |
|
| Telecommunication Services |
|
|
— |
|
|
|
42,843 |
|
|
|
— |
|
|
|
42,843 |
|
| Utilities |
|
|
— |
|
|
|
71,398 |
|
|
|
— |
|
|
|
71,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds |
|
|
— |
|
|
|
708,626 |
|
|
|
2,651 |
|
|
|
711,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Securities |
|
|
— |
|
|
|
48,713 |
|
|
|
— |
|
|
|
48,713 |
|
| Mortgage Pass-Through Securities |
|
|
— |
|
|
|
414,381 |
|
|
|
— |
|
|
|
414,381 |
|
| Municipal Bonds |
|
|
— |
|
|
|
6,940 |
|
|
|
— |
|
|
|
6,940 |
|
| Supranational |
|
|
— |
|
|
|
5,115 |
|
|
|
— |
|
|
|
5,115 |
|
| U.S. Government Agency Securities |
|
|
— |
|
|
|
54,347 |
|
|
|
— |
|
|
|
54,347 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
890,068 |
|
|
|
— |
|
|
|
890,068 |
|
| Short-Term Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Company |
|
|
55,995 |
|
|
|
— |
|
|
|
— |
|
|
|
55,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
55,995 |
|
|
$ |
3,431,777 |
|
|
$ |
117,164 |
* |
|
$ |
3,604,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * Level |
3 securities are valued by brokers. At August 31, 2012, the value of these securities was $117,164. The inputs for these securities are not readily available or cannot be
reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or
security specific events. |
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
89 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1
Quoted prices |
|
|
Level 2
Other significant
observable inputs |
|
|
Level 3
Significant
unobservable inputs |
|
|
Total |
|
| Total Investments in Securities (a) |
|
$ |
306,613 |
|
|
$ |
290 |
|
|
$ |
— |
|
|
$ |
306,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Appreciation in Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
250 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (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. |
Intermediate Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1
Quoted prices |
|
|
Level 2
Other significant
observable inputs |
|
|
Level 3
Significant
unobservable inputs |
|
|
Total |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
— |
|
|
$ |
10,097 |
|
|
$ |
3,219 |
|
|
$ |
13,316 |
|
| Collateralized Mortgage Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency |
|
|
— |
|
|
|
76,043 |
|
|
|
980 |
|
|
|
77,023 |
|
| Non-Agency |
|
|
— |
|
|
|
18,629 |
|
|
|
1,433 |
|
|
|
20,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Collateralized Mortgage Obligations |
|
|
— |
|
|
|
94,672 |
|
|
|
2,413 |
|
|
|
97,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
4,305 |
|
|
|
1,289 |
|
|
|
5,594 |
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Discretionary |
|
|
— |
|
|
|
4,027 |
|
|
|
— |
|
|
|
4,027 |
|
| Consumer Staples |
|
|
— |
|
|
|
3,046 |
|
|
|
— |
|
|
|
3,046 |
|
| Energy |
|
|
— |
|
|
|
3,240 |
|
|
|
— |
|
|
|
3,240 |
|
| Financials |
|
|
— |
|
|
|
41,613 |
|
|
|
— |
|
|
|
41,613 |
|
| Health Care |
|
|
— |
|
|
|
1,509 |
|
|
|
— |
|
|
|
1,509 |
|
| Industrials |
|
|
— |
|
|
|
2,909 |
|
|
|
945 |
|
|
|
3,854 |
|
| Information Technology |
|
|
— |
|
|
|
2,960 |
|
|
|
— |
|
|
|
2,960 |
|
| Materials |
|
|
— |
|
|
|
1,826 |
|
|
|
— |
|
|
|
1,826 |
|
| Telecommunication Services |
|
|
— |
|
|
|
3,311 |
|
|
|
— |
|
|
|
3,311 |
|
| Utilities |
|
|
— |
|
|
|
5,343 |
|
|
|
— |
|
|
|
5,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds |
|
|
— |
|
|
|
69,784 |
|
|
|
945 |
|
|
|
70,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Securities |
|
|
— |
|
|
|
4,319 |
|
|
|
— |
|
|
|
4,319 |
|
| Mortgage Pass-Through Securities |
|
|
— |
|
|
|
41,970 |
|
|
|
— |
|
|
|
41,970 |
|
| Supranational |
|
|
— |
|
|
|
243 |
|
|
|
— |
|
|
|
243 |
|
| U.S. Government Agency Securities |
|
|
— |
|
|
|
8,081 |
|
|
|
— |
|
|
|
8,081 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
119,908 |
|
|
|
— |
|
|
|
119,908 |
|
| Short-Term Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Company |
|
|
21,255 |
|
|
|
— |
|
|
|
— |
|
|
|
21,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities |
|
$ |
21,255 |
|
|
$ |
353,379 |
|
|
$ |
7,866 |
* |
|
$ |
382,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * Level |
3 securities are valued by brokers. At August 31, 2012, the value of these securities was $7,866. The inputs for these securities are not readily available or cannot be
reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or
security specific events. |
For each of the Funds, there were no transfers between Levels 1 and 2 during the six months ended
August 31, 2012.
|
|
|
|
|
|
|
|
|
|
|
| 90 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in
determining fair value (amounts in thousands):
Core Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance as
of 02/29/12 |
|
|
Realized
gain (loss) |
|
|
Change in
unrealized
appreciation
(depreciation) |
|
|
Net
accretion
(amortization) |
|
|
Purchases (1) |
|
|
Sales (2) |
|
|
Transfers
into
Level 3 |
|
|
Transfers
out of Level
3 |
|
|
Balance as
of 08/31/12 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
9,683 |
|
|
$ |
— |
|
|
$ |
123 |
|
|
$ |
3 |
|
|
$ |
25,970 |
|
|
$ |
(8,473 |
) |
|
$ |
10,696 |
|
|
$ |
— |
|
|
$ |
38,002 |
|
| Collateralized Mortgage Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency |
|
|
— |
|
|
|
— |
|
|
|
150 |
|
|
|
(33 |
) |
|
|
18,156 |
|
|
|
(234 |
) |
|
|
11,302 |
|
|
|
— |
|
|
|
29,341 |
|
| Non-Agency |
|
|
13,819 |
|
|
|
— |
|
|
|
3,541 |
|
|
|
(286 |
) |
|
|
7,915 |
|
|
|
(8,598 |
) |
|
|
9,946 |
|
|
|
— |
|
|
|
26,337 |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
— |
|
|
|
93 |
|
|
|
5 |
|
|
|
12,998 |
|
|
|
(2,637 |
) |
|
|
10,374 |
|
|
|
— |
|
|
|
20,833 |
|
| Corporate Bonds —Industrials |
|
|
— |
|
|
|
— |
|
|
|
19 |
|
|
|
(1 |
) |
|
|
— |
|
|
|
(79 |
) |
|
|
2,712 |
|
|
|
— |
|
|
|
2,651 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
23,502 |
|
|
$ |
— |
|
|
$ |
3,926 |
|
|
$ |
(312 |
) |
|
$ |
65,039 |
|
|
$ |
(20,021 |
) |
|
$ |
45,030 |
|
|
$ |
— |
|
|
$ |
117,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Intermediate Bond Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance as
of 02/29/12 |
|
|
Realized
gain (loss) |
|
|
Change in
unrealized
appreciation
(depreciation) |
|
|
Net
accretion
(amortization) |
|
|
Purchases (1) |
|
|
Sales (2) |
|
|
Transfers
into
Level 3 |
|
|
Transfers
out of Level
3 |
|
|
Balance as
of 08/31/12 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
334 |
|
|
$ |
— |
|
|
$ |
6 |
|
|
$ |
— |
(a) |
|
$ |
2,624 |
|
|
$ |
(413 |
) |
|
$ |
668 |
|
|
$ |
— |
|
|
$ |
3,219 |
|
| Collateralized Mortgage Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency |
|
|
— |
|
|
|
— |
|
|
|
6 |
|
|
|
— |
(a) |
|
|
— |
|
|
|
(35 |
) |
|
|
1,009 |
|
|
|
— |
|
|
|
980 |
|
| Non-Agency |
|
|
632 |
|
|
|
— |
|
|
|
2,918 |
|
|
|
(226 |
) |
|
|
816 |
|
|
|
(3,127 |
) |
|
|
420 |
|
|
|
— |
|
|
|
1,433 |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
(a) |
|
|
1,189 |
|
|
|
(123 |
) |
|
|
221 |
|
|
|
— |
|
|
|
1,289 |
|
| Corporate Bonds — Industrials |
|
|
— |
|
|
|
— |
|
|
|
5 |
|
|
|
(2 |
) |
|
|
— |
|
|
|
(6 |
) |
|
|
948 |
|
|
|
— |
|
|
|
945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
966 |
|
|
$ |
— |
|
|
$ |
2,937 |
|
|
$ |
(228 |
) |
|
$ |
4,629 |
|
|
$ |
(3,704 |
) |
|
$ |
3,266 |
|
|
$ |
— |
|
|
$ |
7,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (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,
and out of, Level 3 are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2
are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at August 31, 2012, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in
thousands):
|
|
|
|
|
| |
|
Value |
|
| Core Bond Trust |
|
$ |
3,926 |
|
| Intermediate Bond Trust |
|
|
2,937 |
|
These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the
Statements of Operations.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or
contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (“Securities Act”). An illiquid security is a security which
cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal
penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the
net assets of the Funds. As of August 31, 2012, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A under the Securities Act.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
91 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
The following is the value and percentage of net assets of illiquid securities as of August 31, 2012 (amounts in thousands):
|
|
|
|
|
|
|
|
|
| |
|
Value |
|
|
Percentage |
|
| Core Bond Trust |
|
$ |
35,692 |
|
|
|
1.0 |
% |
| Intermediate Bond Trust |
|
|
2,443 |
|
|
|
0.6 |
|
C. Futures Contracts — Equity Index Trust uses index futures contracts to gain or reduce exposure to its index,
maintain liquidity and minimize transaction costs. The Fund also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index
while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.
Futures contracts provide for
the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to
deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund
periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or
losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities
deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of
Assets and Liabilities.
The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with
the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts
subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk
is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could
effectively prevent liquidation of unfavorable positions.
The table below discloses the volume of the Fund’s futures contracts activity
during the six months ended August 31, 2012 (amounts in thousands):
|
|
|
|
|
| |
|
Equity
Index
Trust |
|
| Futures Contracts: |
|
|
|
|
| Average Notional Balance Long |
|
$ |
4,135 |
|
| Ending Notional Balance Long |
|
|
4,145 |
|
D. Investment Transactions with Affiliates — An issuer which is under common control with the Funds may be
considered an affiliate. For the purposes of the report, the Funds assume the following to be affiliated issuers (amounts in thousands) :
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliate |
|
Value at
February 29,
2012 |
|
|
Purchase
Cost |
|
|
Sales
Proceeds |
|
|
Realized
Gain (Loss) |
|
|
Dividend/
Interest
Income |
|
|
Shares at
August 31,
2012 |
|
|
Value at
August 31,
2012 |
|
| Core Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares |
|
$ |
83,998 |
|
|
$ |
370,454 |
|
|
$ |
398,457 |
|
|
$ |
— |
|
|
$ |
67 |
|
|
|
55,995 |
|
|
$ |
55,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase & Co. (common stock)* |
|
$ |
3,586 |
|
|
$ |
114 |
|
|
$ |
146 |
|
|
$ |
(9 |
) |
|
$ |
55 |
|
|
|
91 |
|
|
$ |
3,363 |
|
| JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares |
|
|
2,565 |
|
|
|
21,167 |
|
|
|
19,842 |
|
|
|
— |
|
|
|
3 |
|
|
|
3,890 |
|
|
|
3,890 |
|
| JPMorgan Prime Money Market Fund, Capital Shares** |
|
|
33 |
|
|
|
32 |
|
|
|
35 |
|
|
|
— |
|
|
|
— |
|
|
|
30 |
|
|
|
30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,184 |
|
|
$ |
21,313 |
|
|
$ |
20,023 |
|
|
$ |
(9 |
) |
|
$ |
58 |
|
|
|
4,011 |
|
|
$ |
7,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Intermediate Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares |
|
$ |
8,286 |
|
|
$ |
39,264 |
|
|
$ |
26,295 |
|
|
$ |
— |
|
|
$ |
10 |
|
|
|
21,255 |
|
|
$ |
21,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Security is included in an index in which the Fund, as an index fund, invests. |
| ** |
Represents investment of cash collateral related to securities on loan, as described in Note 2.E. Dividend income earned from this investment is included in, and
represents a significant portion of, Income from securities lending (net) in the Statements of Operations. |
|
|
|
|
|
|
|
|
|
|
|
| 92 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
E. Securities Lending — The Funds may lend securities to brokers, approved by the Advisor, in order
to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”), serves as lending agent for the Equity Index Trust pursuant to a Securities Lending Agreement (the “GSAL Securities
Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Fund is required to return to the borrower the posted cash
collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on
cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements
of Operations. The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements
of Operations.
For the six months ended August 31, 2012, the Equity Index Trust Fund earned less than $1,000 from the investment of cash
collateral, prior to rebates of fees, from an investment in an affiliated fund as described below.
At the inception of a loan, securities are
exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash
collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value
of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At August 31, 2012, the value of outstanding securities on loan and the
value of Collateral Investments were as follows (amount in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Value of
Securities
on Loan |
|
|
Cash Collateral
Posted by
Borrower |
|
|
Total Value
of Collateral
Investments |
|
| Equity Index Trust |
|
$ |
30 |
|
|
$ |
30 |
|
|
$ |
30 |
|
The Fund bears the risk of loss associated with the Collateral Investments and is not entitled to additional collateral from
the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a
loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject
to certain conditions, GSAL has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.
The Advisor waived fees associated with the Fund’s investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
|
|
|
|
|
| |
|
Value |
|
| Equity Index Trust |
|
$ |
— |
(a) |
| (a) |
Amount rounds to less than $1,000. |
These amounts
offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Fund’s investment in such fund. A portion of the waiver is voluntary.
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell
is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums
and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
G. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the
respective funds.
H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each
Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment
income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or
losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the
Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
I.
Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly for Core Bond Trust and Intermediate Bond Trust, and declared and paid quarterly for Equity Index Trust. Net realized capital
gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting
principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such
amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
93 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant
to the Investment Advisory Agreement, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual
rate for each Fund is as follows:
|
|
|
|
|
| Core Bond Trust |
|
|
0.30 |
% |
| Equity Index Trust |
|
|
0.25 |
|
| Intermediate Bond Trust |
|
|
0.30 |
|
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annualized rate of 0.10% of the Funds’ average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator,
JPMCB receives a portion of the fees payable to the Administrator.
C. Custodian and Accounting Fees — JPMCB provides portfolio
custody and accounting services to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. Payments to the custodian may be reduced
by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
D. Placement Agent — J.P. Morgan Institutional Investments, Inc. (the “Placement Agent”), a registered broker-dealer affiliated with
the Advisor, serves as the Funds’ Placement Agent. The Placement Agent processes subscriptions for shares and provides various sales support activities in connection with the Funds’ private placement of its shares.
E. Waivers and Reimbursements — The Advisor and Administrator have contractually agreed to waive fees and/or reimburse the Funds to the extent
that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the
Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
|
|
|
|
|
| Core Bond Trust |
|
|
0.15 |
% |
| Equity Index Trust |
|
|
0.10 |
|
| Intermediate Bond Trust |
|
|
0.15 |
|
The expense limitation agreements were in effect for the six months ended August 31, 2012. The contractual expense
limitation percentages in the table above are in place until at least June 30, 2013.
For the six months ended August 31, 2012, the
Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Contractual Waivers |
|
| |
|
Investment
Advisory |
|
|
Administration |
|
|
Total |
|
| Core Bond Trust |
|
$ |
3,004 |
|
|
$ |
1,781 |
|
|
$ |
4,785 |
|
| Equity Index Trust |
|
|
273 |
|
|
|
151 |
|
|
|
424 |
|
| Intermediate Bond Trust |
|
|
411 |
|
|
|
186 |
|
|
|
597 |
|
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor
and Administrator waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in these money market funds for the six months ended August 31, 2012 were as follows (excluding the
reimbursement disclosed in Note 2.E. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):
|
|
|
|
|
| Core Bond Trust |
|
$ |
80 |
|
| Equity Index Trust |
|
|
4 |
|
| Intermediate Bond Trust |
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
| 94 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
F. Other — Certain officers of the Trust are affiliated with the Advisor and Administrator. Such
officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The
Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a
portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (“the Plan”) which allows the Independent Trustees to defer the receipt of all or a portion
of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended August 31, 2012, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the six months ended August 31, 2012, the Funds did not incur any brokerage commissions
with broker-dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to
engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended August 31, 2012, purchases and sales
of investments (excluding short-term investments) were as follows (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchases
(excluding
U.S. Government) |
|
|
Sales
(excluding
U.S. Government) |
|
|
Purchases
of U.S.
Government |
|
|
Sales
of U.S.
Government |
|
| Core Bond Trust |
|
$ |
315,101 |
|
|
$ |
247,575 |
|
|
$ |
48,161 |
|
|
$ |
11,268 |
|
| Equity Index Trust |
|
|
12,996 |
|
|
|
16,991 |
|
|
|
— |
|
|
|
— |
|
| Intermediate Bond Trust |
|
|
20,308 |
|
|
|
23,347 |
|
|
|
4,329 |
|
|
|
— |
|
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at August 31, 2012 were as follows (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Aggregate
Cost |
|
|
Gross
Unrealized
Appreciation |
|
|
Gross
Unrealized
Depreciation |
|
|
Net Unrealized
Appreciation
(Depreciation) |
|
| Core Bond Trust |
|
$ |
3,298,821 |
|
|
$ |
326,400 |
|
|
$ |
20,285 |
|
|
$ |
306,115 |
|
| Equity Index Trust |
|
|
213,192 |
|
|
|
103,716 |
|
|
|
10,005 |
|
|
|
93,711 |
|
| Intermediate Bond Trust |
|
|
355,541 |
|
|
|
27,562 |
|
|
|
603 |
|
|
|
26,959 |
|
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the
Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated
as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
At
February 29, 2012, Equity Index Trust had post-enactment net long-term capital loss carryforwards of approximately $694,000.
At
February 29, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
2017 |
|
|
2018 |
|
|
2019 |
|
|
Total |
|
| Equity Index Trust |
|
$ |
9,624 |
|
|
$ |
14,261 |
|
|
$ |
7,018 |
|
|
$ |
30,903 |
|
6. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements
is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Shares of the Funds are offered only to certain clients of the Funds’ investment advisor or its affiliates who maintain one or more separately managed private accounts. In addition, Equity Index Trust
has a shareholder that owns a significant portion of the Fund’s outstanding shares. Significant shareholder transactions by this shareholder may impact the Fund’s performance.
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
95 |
|
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
Risks applicable only to Core Bond Trust and Intermediate Bond Trust:
The Funds are subject to
interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The ability of the
issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Funds
are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed
securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or
defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. A significant portion of the Funds’ investments is comprised of asset-backed or mortgage-related securities,
including securities backed by sub-prime mortgages.
The Funds are subject to the risk that should the Funds decide to sell an illiquid investment
when a ready buyer is not available at a price the Funds deem representative of its value, the value of the Funds’ net assets could be adversely affected.
|
|
|
|
|
|
|
|
|
|
|
| 96 |
|
|
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
AUGUST 31, 2012 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration
fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The
examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, March 1, 2012, and continued to hold your shares at the end of the reporting period, August 31, 2012.
Actual Expenses
For each Fund in the table
below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Fund under the heading entitled “Expenses Paid During the Period” to estimate the
expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per
year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare
the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table
are meant to highlight your ongoing costs only and do not reflect any transaction costs or the costs associated with the investment advisory accounts through which the Fund is held. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and
distributions have been reinvested.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Beginning
Account Value,
March 1,
2012 |
|
|
Ending
Account Value,
August 31, 2012 |
|
|
Expenses
Paid During
the
Period* |
|
|
Annualized
Expense
Ratio |
|
| Core Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual |
|
$ |
1,000.00 |
|
|
$ |
1,037.30 |
|
|
$ |
0.77 |
|
|
|
0.15 |
% |
| Hypothetical |
|
|
1,000.00 |
|
|
|
1,024.45 |
|
|
|
0.77 |
|
|
|
0.15 |
|
|
|
|
|
|
| Equity Index Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual |
|
$ |
1,000.00 |
|
|
$ |
1,041.10 |
|
|
$ |
0.51 |
|
|
|
0.10 |
% |
| Hypothetical |
|
|
1,000.00 |
|
|
|
1,024.70 |
|
|
|
0.51 |
|
|
|
0.10 |
|
|
|
|
|
|
| Intermediate Bond Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual |
|
$ |
1,000.00 |
|
|
$ |
1,028.70 |
|
|
$ |
0.77 |
|
|
|
0.15 |
% |
| Hypothetical |
|
|
1,000.00 |
|
|
|
1,024.45 |
|
|
|
0.77 |
|
|
|
0.15 |
|
| * |
Expenses are equal to each Funds’ respective annualized expense ratio, multiplied by the average account value , over the period, multiplied by 184/365 (to reflect
the one-half year period). |
|
|
|
|
|
|
|
|
|
|
|
|
|
| AUGUST 31, 2012 |
|
JPMORGAN INSTITUTIONAL TRUST FUNDS |
|
|
|
|
97 |
|
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees meets regularly throughout the year and considers factors that are relevant to its
annual consideration of investment advisory agreements at each meeting. The Board of Trustees has established various standing committees, composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject
matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment subcommittees (money market and alternative products, equity, and fixed income) also meet for
the specific purpose of considering advisory contract annual renewals. The Board of Trustees held meetings in person in June and August 2012, at which the Trustees considered the continuation of each of the investment advisory agreements for the
Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment subcommittees met to review and consider performance,
expense and related information for the J.P. Morgan Funds. Each investment subcommittee reported to the full Board, which then considered the investment subcommittee’s preliminary findings. At the August meeting, the Trustees continued their
review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of
each Advisory Agreement on August 23, 2012.
The Trustees, as part of their review of the investment advisory arrangements for the J.P.
Morgan Funds, considered and reviewed performance and other information received from the Advisor, on a regular basis over the course of the year, as well as information specifically prepared for their annual review. This information includes the
Funds’ performance compared to the performance of the Funds’ peers and benchmarks and analyses by the Advisor of the Funds’ performance. In addition, the Trustees have engaged an independent consultant to report on the performance of
certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Advisor also periodically provides comparative information regarding the Funds’ expense ratios and those of the peer groups. In addition, in preparation for the June
and August meetings, the Trustees requested and received and evaluated extensive materials from the Advisor, including, with respect to certain J.P. Morgan Funds, performance and expense information compiled by Lipper Inc. (“Lipper”), an
independent provider of investment company data. The independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the investment advisory arrangements. Prior to voting, the
Trustees reviewed the proposed approval of the Advisory Agreements with representatives of the Advisor and with counsels to the Trust and independent Trustees and received a memorandum from independent counsel to the Trustees discussing the legal
standards for their consideration
of the proposed approval. The Trustees also discussed the proposed approvals in executive sessions with counsels to the Trust and independent Trustees at which no representatives of the Advisor
were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
In their deliberations, there was a comprehensive consideration of the information received by the Trustees. Each Trustee attributed different weights to the various factors and no factor alone was
considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the
Advisor from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the investment advisory contract was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Advisor
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information
furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Advisor’s senior management and the
expertise of, and the amount of attention given to each Fund by, investment personnel of the Advisor. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for
the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also reviewed information relating to the Advisor’s risk governance model and reports showing the Advisor’s compliance structure and ongoing
compliance processes. The quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Advisor, was also considered.
The Board of Trustees also considered its knowledge of the nature and quality of the services provided by the Advisor to the Funds gained from their experience as Trustees of the Funds. In addition, they
considered the overall reputation and capabilities of the Advisor and its affiliates, the commitment of the Advisor to provide high quality service to the Funds, their overall confidence in the Advisor’s integrity and the Advisor’s
responsiveness to questions or concerns raised by them, including the Advisor’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based on these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and
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AUGUST 31, 2012 |
quality of the investment advisory services provided to the Funds by the Advisor.
Costs
of Services Provided and Profitability to the Advisor and its Affiliates
The Trustees received and considered information regarding the
profitability to the Advisor and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Advisor’s determination of its
and its affiliates revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Advisor. The
Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the
structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and
marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed
information regarding potential “fallout” or ancillary benefits received by the Advisor and its affiliates as a result of their relationship with the Funds. The Board considered that the Advisor does not currently use third-party soft
dollar arrangements with respect to securities transactions it executes for these Funds.
The Trustees also considered that JPMFM, an affiliate of
the Advisor, earn fees from the Funds for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A.
(“JPMCB”) for custody and fund accounting, securities lending for Core Bond Trust and Intermediate Bond Trust, and other related services. The Trustees also considered that the Funds that use JPMCB as securities lending agent are not
currently engaging in securities lending and that the Equity Index Trust, while not initiating new loans, uses an unaffiliated lending agent for any securities loans outstanding.
Economies of Scale
The Trustees noted that the proposed investment advisory fee schedule for
each Fund does not contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the
current fee structure was reasonable in light of the fee waivers and expense limitations that the Advisor has in place that serve to limit the overall net expense ratio at competitive levels. The
Trustees also recognized that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money market fund assets excluding certain funds-of-funds, as applicable,
advised by the Advisor, and that the Funds benefit from that breakpoint. The Trustees concluded that shareholders benefited from the lower expense ratios which resulted from these factors.
Independent Written Evaluation of the Funds’ Chief Compliance Officer
The Trustees noted
that, upon their direction, the Chief Compliance Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the
written evaluation in determining whether to continue the Advisory Agreements.
Fees Relative to Advisor’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the
Advisor for investment management styles substantially similar to that of each Fund. The Trustees also considered the complexity of investment management for the Funds relative to the Advisor’s other clients and the differences in the nature
and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Advisor’s other clients were reasonable.
Investment Performance
The Trustees received
and considered absolute and/or relative performance for the Funds in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of
funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting
mutual funds in each Fund’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also
reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Advisor and the independent consultant and also considered the special analysis prepared
by the independent consultant. The Lipper performance data noted by the Trustees as part of their review
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that Core Bond Trust’s performance was in the second, first, and first quintiles for the one-, three-, and five-year periods ended
December 31, 2011, respectively. The Trustees also noted that the independent consultant indicated that the overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and,
based upon this discussion and various other factors, concluded that the performance was reasonable.
The Trustees noted that Equity Index
Trust’s performance was in the first quintile for each of the one-, three- and five-year periods ended December 31, 2011, and that the independent consultant indicated that overall performance was satisfactory. The Trustees discussed the
performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance was reasonable.
The Trustees noted that Intermediate Bond Trust’s performance was in the first quintile for each of the one-, three-, and five-year periods ended December 31, 2011, and that the independent
consultant indicated that the overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance
was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Advisor and compared that rate to the
information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as each Fund. The Trustees recognized that Lipper reported each Fund’s
management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense
reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees
because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios are summarized below:
The Trustees noted that Core Bond Trust’s net advisory fee and actual total expenses were in the first quintile of its Universe Group. After considering
the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that
Equity Index Trust’s net advisory fee and actual total expenses were in the first quintile of its Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was
reasonable.
The Trustees noted that Intermediate Bond Trust’s net advisory fee and actual total expenses were in the first quintile of its
Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
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FOR MORE INFORMATION:
INVESTMENT ADVISOR
J.P. Morgan Investment Management Inc.
270 Park Avenue
New York, New York 10017
PLACEMENT AGENT
JPMorgan Institutional Investments, Inc.
270 Park Avenue
New York, New York 10017
This report is open and authorized for distribution only to qualified and accredited investors who have received a copy of the Funds’ Confidential
Offering Memorandum. This document may not be copied, faxed or otherwise distributed to the general public.
Investors may obtain information
about the Securities Investor Protection Corporation (SIPC), including SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each
Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be
obtained by calling 1-800-SEC-0330.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-343-1113
and a description of such policies and procedures is on the Commission’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record
is available on the SEC’s website at www.sec.gov. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example,
for or against the proposal.
J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those
businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
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© JPMorgan Chase &
Co., 2012. All rights reserved. August 2012. |
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SAN-INSTT-812 |
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial
officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain
why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a
provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant
to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any
person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the
report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of
the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is
“independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other
board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C.
80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain
why it does not have an audit committee financial expert.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by
the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last
two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were
approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose
the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal
accountant’s full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for
services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any
entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment
adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser
that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the
registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR
240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included
as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting
securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the
company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT
INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information
specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or
other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors,
where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a)
Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule
30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their
evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information
required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form
N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial
reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal
quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number
the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure
required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(a)(2)
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or
more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
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| JPMorgan Institutional Trust |
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| By: |
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/s/ Patricia A. Maleski |
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Patricia A. Maleski |
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President and Principal Executive Officer |
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November 9, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report
has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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| By: |
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/s/ Patricia A. Maleski |
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Patricia A. Maleski |
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President and Principal Executive Officer |
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November 9, 2012 |
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| By: |
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/s/ Joy C. Dowd |
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Joy C. Dowd |
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Treasurer and Principal Financial Officer |
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November 9, 2012 |