N-CSRS 1 d800312dncsrs.htm JPMORGAN INSTITUTIONAL TRUST JPMorgan Institutional Trust
Table of Contents

 

 

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

 

 

JPMorgan Institutional Trust

(Exact name of registrant as specified in charter)

 

 

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

 

 

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(Name and Address of Agent for Service)

 

 

Registrant’s telephone number, including area code: (800) 343-1113

Date of fiscal year end: Last day of February

Date of reporting period: March 1, 2014 through August 31, 2014

 

 

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.

 

 

 


Table of Contents

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).


Table of Contents
 

Semi-Annual Report

JPMorgan Institutional Trust Funds

August 31, 2014 (Unaudited)

JPMorgan Core Bond Trust

JPMorgan Equity Index Trust

JPMorgan Intermediate Bond Trust

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan Core Bond Trust

       3   

JPMorgan Equity Index Trust

       5   

JPMorgan Intermediate Bond Trust

       7   
Schedules of Portfolio Investments        9   
Financial Statements        89   
Financial Highlights        94   
Notes to Financial Statements        96   
Schedule of Shareholder Expenses        106   
Board Approval of Investment Advisory Agreements        107   
Special Shareholder Meeting Results        110   

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.


Table of Contents

CEO’S LETTER

SEPTEMBER 18, 2014 (Unaudited)

 

Dear Shareholder,

With a backdrop of continued accommodative policies among the world’s central banks and low growth, low inflation and low volatility, global financial markets performed well overall during the six months ended August 31, 2014. In the U.S., low borrowing costs, a surge in corporate mergers and healthy corporate earnings drove U.S. equity indices to successive record highs during the period. Fixed income markets also posted gains as long-term interest rates declined during the six month period and demand for debt securities outpaced supply. Bond yields, which generally move in the opposite direction of prices, tumbled lower over the six months and yields on longer maturity U.S. Treasury securities reached their lowest levels in more than a year. From May through June, market volatility retreated to lows not consistently seen since 2007, before spiking in July on geopolitical tensions, and then retreating again at the end of August. The Barclays U.S. Aggregate Index returned 2.74% for the six month period. The Standard & Poor’s 500 Index put an exclamation point on the six months by breaching the 2,000-point level for the first time and closing at a record high 2003.37 points on August 29, 2014.

 

LOGO   

 

“While both global bond and equity markets performed well during the past six months, there remained notable investor uncertainty about the timing and scope of any change in Fed interest rate policy and uneasiness about the run up in equity prices.”

In the broader U.S. economy, growth returned after a brief drop in the winter months and business investment and spending on durable goods also improved during the reporting period. While housing data were mixed, the unemployment rate dropped to 6.10% in August from 6.70% in March, and other jobs numbers showed meaningful improvement. In response to sustained improvement — particularly in jobs data — the U.S. Federal Reserve (the “Fed”) steadily reduced its Quantitative Easing program to $25 billion in monthly purchases of Treasury bonds and mortgage-backed securities by the end of August. Meanwhile, Fed Chairwoman Janet Yellen sought to reassure investors and the public at large that central bank policy would remain accommodative into 2015. In August, she reiterated that stance at a closely watched global economic conference in Jackson Hole, Wyoming.

While U.S. investors and policy makers were watching for signs of nascent inflationary pressures, the European Union began to confront the threat of potential price deflation. In an unprecedented move in June, European Central Bank President Mario Draghi cut the deposit rate to negative 0.10% from 0.00% in a bid to push banks to extend lending by effectively charging them for parking excess cash with the central bank. Draghi followed up in August with a statement that acknowledged the need to spur job creation and signaled his commitment to support growth and head off a destructive deflationary spiral. In Japan, weaker-than-expected economic data fueled

fears that policies aimed at reviving growth were faltering. Consumer spending shrank sharply, potentially due to an April increase in the nation’s consumption tax. Throughout the six month period, the Bank of Japan continued its aggressive program of bond purchases. For the six months ended August 31, 2014, the MSCI Europe, Australasian and Far East Index returned 4.02%.

Isolated geopolitical conflicts in Ukraine, Gaza and Iraq drove some investors toward so-called safe havens, particularly U.S. fixed income securities, but financial markets in general shrugged off much of the impact from these events. Elsewhere, a long-running dispute over restructured payments to holders of Argentina’s sovereign debt made headlines but had little effect on global bond markets.

Emerging markets generally performed well during the six month period, rebounding from a sell-off in late 2013. In China, domestic economic data weakened toward the end of the six month period. However, the government’s targeted stimulus appeared to be working to counter any slowdown in growth. Two of the world’s largest democracies, India and Indonesia, held generally peaceful elections, and Turkey’s prime minister was elected the next president, as expected. In Brazil, the death of opposition presidential candidate Eduardo Campos in an airplane crash raised uncertainty about the upcoming elections and prospects for change in Brazil’s economic policies. In Thailand, months of political unrest led to a military coup in May. For the six months ended August 31, 2014, the MSCI Emerging Markets Index returned 12.78%.

While both global bond and equity markets performed well during the past six months, there remained notable investor uncertainty about the timing and scope of any change in Fed interest rate policy and uneasiness about the run up in equity prices. Policymakers and economists stated their fear that investors had grown complacent amid the extended period of low volatility across stock, bond, foreign exchange and commodities markets. At the same time, moderate price inflation and a stronger dollar helped to dispel warnings that Fed policies would unleash rapid inflation and debase the U.S. currency. In the face of all these concerns, both bonds and equities generated positive returns for the six month period and rewarded those investors who maintained a diversified portfolio and a long-term perspective.

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,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         1   


Table of Contents

JPMorgan Institutional Trust Funds

MARKET OVERVIEW

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited)

 

Financial markets generally performed well, primarily driven by the accommodative stance of central banks throughout the six months ended August 31, 2014. The U.S. economy rebounded from a drop in gross domestic product in the winter months and returned to steady, positive growth for the remainder of the reporting period. While signs of price inflation emerged, the employment rate and consumer spending remain below the U.S. Federal Reserve’s stated policy targets and allowed the central bank to hold its policy guidance constant over the course of the six month period. In this environment, long term interest rates declined. Demand for longer maturity debt outpaced supply as investors sought the relatively attractive yields of U.S. Treasury securities compared with yields on foreign government bonds and in non-U.S. developed markets.

Amid low interest rates and improving credit quality, investors sought higher yields offered by longer maturity and lower quality debt securities. For the six month period, the Barclays U.S. Aggregate Index returned 2.74% and the Standard & Poor’s 500 Index returned 8.84%.

 

 
2       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


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JPMorgan Core Bond Trust

FUND COMMENTARY

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund*      2.56%   
Barclays U.S. Aggregate Index      2.74%   
Net Assets as of 8/31/2014 (In Thousands)      $3,820,339   
Duration as of 8/31/2014      4.81 years   

 

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?

For the six months ended August 31, 2014, the Fund underperformed the Barclays U.S. Aggregate Index (the “Benchmark”). The Fund’s shorter duration relative to the Benchmark and, to a lesser degree, its position on the yield curve both detracted from the Fund’s performance relative to the Benchmark. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates go down or up, respectively, versus bonds with shorter duration. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a set point in time. The Fund’s overall corporate credit sector holdings and its mortgage pass-through holdings also detracted from relative performance.

The Fund’s overweight position and security selection in commercial mortgage-backed securities and asset-backed securities made a positive contribution to performance relative to the Benchmark.

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. At the end of the reporting period, the Fund was underweight in U.S. Treasuries and overweight in mortgage-backed securities.

 

PORTFOLIO COMPOSITION***

 
U.S. Treasury Obligations      26.4
Collateralized Mortgage Obligations      23.3   
Corporate Bonds      18.8   
Mortgage Pass-Through Securities      14.9   
Asset-Backed Securities      5.9   
Commercial Mortgage-Backed Securities      3.7   
U.S. Government Agency Securities      2.4   
Foreign Government Securities      1.3   
Others (each less than 1.0%)      0.8   
Short-Term Investment      2.5   

 

*   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 adviser 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, 2014. The Fund’s portfolio composition is subject to change.
 

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         3   


Table of Contents

JPMorgan Core Bond Trust

FUND COMMENTARY

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2014

 
     INCEPTION DATE OF
FUND
       6 MONTH*        1 YEAR        3 YEAR        5 YEAR        SINCE
INCEPTION
 
     February 7, 2005           2.56        5.32        3.63        5.69        5.66

 

*   Not annualized.

LIFE OF FUND PERFORMANCE (2/7/05 TO 8/31/14)

 

LOGO

 

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, 2014. 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, if applicable. 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 an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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.

 

 

 
4       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

JPMorgan Equity Index Trust

FUND COMMENTARY

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited)

 

REPORTING PERIOD RETURN:        
JPMorgan Equity Index Trust*      8.77%   
S&P 500 Index**      8.84%   
Net Assets as of 8/31/2014 (In Thousands)    $ 378,123   

 

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, 2014. 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.

Overall, the U.S. equity market performed strongly during the six months ended August 31, 2014. Continued accommodative monetary policy from the U.S. Federal Reserve (the “Fed”), steady improvement in economic indicators, healthy corporate earnings and mergers and acquisitions activity drove the Benchmark higher during the reporting period.

All sectors in the Benchmark posted positive returns. The information technology and energy sectors were the greatest contributors to Benchmark performance, while the telecommunications and utilities sectors made the smallest contribution to Benchmark performance during the reporting period.

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.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****  
  1.       Apple, Inc.      3.4
  2.       Exxon Mobil Corp.      2.4   
  3.       Microsoft Corp.      1.9   
  4.       Johnson & Johnson      1.6   
  5.       General Electric Co.      1.4   
  6.       Berkshire Hathaway, Inc., Class B      1.4   
  7.       Wells Fargo & Co.      1.4   
  8.       Chevron Corp.      1.4   
  9.       JPMorgan Chase & Co.      1.2   
  10.       Procter & Gamble Co. (The)      1.2   

 

PORTFOLIO COMPOSITION BY SECTOR****

 
Information Technology      19.1
Financials      15.9  
Health Care      13.5  
Consumer Discretionary      11.8  
Energy      10.3  
Industrials      10.1  
Consumer Staples      9.3  
Materials      3.5  
Utilities      3.0  
Telecommunication Services      2.3  
Exchange Traded Fund      0.0 (a) 
Short-Term Investments      1.2   

 

*   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.
**   “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.
***   The adviser 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, 2014. The Fund’s portfolio composition is subject to change.
(a)   Amount rounds to less than 0.1%.
 

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         5   


Table of Contents

JPMorgan Equity Index Trust

FUND COMMENTARY

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2014

 
     INCEPTION DATE OF
FUND
       6 MONTH*        1 YEAR        3 YEAR        5 YEAR        SINCE
INCEPTION
 
     February 7, 2005           8.77        25.07        20.44        16.72        7.59

 

*   Not annualized.

LIFE OF FUND PERFORMANCE (2/7/05 TO 8/31/14)

 

LOGO

 

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 Funds Index from February 7, 2005 to August 31, 2014. The performance of the Lipper S&P 500 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, if applicable. The performance of the Lipper S&P 500 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. Index levels are based on total return in U.S. dollars. The Lipper S&P 500 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.

 

 

 
6       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

JPMorgan Intermediate Bond Trust

FUND COMMENTARY

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund*      1.53%   
Barclays Intermediate U.S. Government/Credit Index      1.41%   
Net Assets as of 8/31/2014 (In Thousands)      $348,941   
Duration as of 8/31/2014      3.43 years   

 

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, 2014, the Fund outperformed the Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”). The Fund’s position on the yield curve — particularly its underweight position in the two-to-five year portion — made a positive contribution to performance relative to the Benchmark, as short-to-intermediate interest rates rose during the period, which decreased the value of bonds with shorter maturities. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds for a given point in time. The Fund’s out-of-Benchmark position in mortgage securities, including mortgage pass-through, agency and non-agency collateralized mortgage obligations, also contributed to relative performance.

The Fund’s security selection in the corporate credit sector and U.S. Treasury securities detracted from performance relative to the Benchmark for the six months ended August 31, 2014.

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 in U.S. Treasuries and in the corporate credit sector. The Fund was overweight in the intermediate part (5-10 years) of the yield curve.

 

PORTFOLIO COMPOSITION***

 
U.S. Treasury Obligations      30.3
Collateralized Mortgage Obligations      19.8   
Corporate Bonds      19.0   
Mortgage Pass-Through Securities      10.4   
Asset-Backed Securities      5.8   
U.S. Government Agency Securities      2.5   
Commercial Mortgage-Backed Securities      2.0   
Foreign Government Securities      1.0   
Supranational      0.1   
Short-Term Investment      9.1   

 

*   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 adviser 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, 2014. The Fund’s portfolio composition is subject to change.
 

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         7   


Table of Contents

JPMorgan Intermediate Bond Trust

FUND COMMENTARY

SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2014

 
     INCEPTION DATE OF
FUND
       6 MONTH*        1 YEAR        3 YEAR        5 YEAR        SINCE
INCEPTION
 
     February 7, 2005           1.53        3.62        2.80        4.65        5.03

 

*   Not annualized.

LIFE OF FUND PERFORMANCE (2/7/05 TO 8/31/14)

 

LOGO

 

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, 2014. 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, if applicable. 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, 2014


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Asset-Backed Securities — 5.9%

  

  

Academic Loan Funding Trust,

 
  1,200      

Series 2012-1A, Class A1, VAR, 0.955%, 12/27/22 (e)

    1,210   
  2,337      

Series 2013-1A, Class A, VAR, 0.955%, 12/26/44 (e)

    2,345   
  

Ally Auto Receivables Trust,

 
  282      

Series 2012-1, Class A3, 0.930%, 02/16/16

    282   
  290      

Series 2012-2, Class A3, 0.740%, 04/15/16

    290   
  565      

Series 2012-3, Class A3, 0.850%, 08/15/16

    566   
  1,722      

Series 2013-2, Class A3, 0.790%, 01/15/18

    1,721   
  300      

Series 2013-2, Class A4, 1.240%, 11/15/18

    301   
  

American Credit Acceptance Receivables Trust,

 
  266      

Series 2012-3, Class A, 1.640%, 11/15/16 (e)

    267   
  768      

Series 2013-1, Class A, 1.450%, 04/16/18 (e)

    772   
  463      

Series 2013-2, Class A, 1.320%, 02/15/17 (e)

    464   
  2,447      

Series 2014-2, Class A, 0.990%, 10/10/17 (e)

    2,447   
  1,182      

Series 2014-2, Class B, 2.260%, 03/10/20 (e)

    1,181   
  

AmeriCredit Automobile Receivables Trust,

 
  49      

Series 2011-5, Class A3, 1.550%, 07/08/16

    49   
  36      

Series 2012-1, Class A3, 1.230%, 09/08/16

    37   
  44      

Series 2012-2, Class A3, 1.050%, 10/11/16

    44   
  210      

Series 2012-3, Class A3, 0.960%, 01/09/17

    210   
  267      

Series 2012-5, Class A3, 0.620%, 06/08/17

    268   
  824      

Series 2013-4, Class A2, 0.740%, 11/08/16

    825   
  590      

Series 2013-5, Class A3, 0.900%, 09/10/18

    590   
  163      

Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 09/15/19 (e)

    163   
  2,050      

Axis Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)

    2,050   
  176      

Bank of America Auto Trust, Series 2012-1, Class A3, 0.780%, 06/15/16

    176   
  1,811      

Bayview Opportunity Master Fund IIa Trust, Series 2013-8NPL, Class A, VAR, 3.228%, 03/28/33 (e)

    1,815   
  454      

Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36

    435   
  678      

BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17

    678   
  937      

BXG Receivables Note Trust, Series 2012-A, Class A, 2.660%, 12/02/27 (e)

    933   
  700      

Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)

    708   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  701      

California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)

    704   
  1,500      

Capital Auto Receivables Asset Trust, Series 2013-3, Class A1B, VAR, 0.586%, 11/20/15

    1,500   
  

CarFinance Capital Auto Trust,

 
  280      

Series 2013-1A, Class A, 1.650%, 07/17/17 (e)

    281   
  320      

Series 2013-2A, Class A, 1.750%, 11/15/17 (e)

    321   
  923      

Series 2014-1A, Class A, 1.460%, 12/17/18 (e)

    925   
  375      

Series 2014-1A, Class B, 2.720%, 04/15/20 (e)

    378   
  3,207      

Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.176%, 10/15/21 (e) (i)

    3,207   
  

CarMax Auto Owner Trust,

 
  543      

Series 2011-1, Class A4, 2.160%, 09/15/16

    547   
  314      

Series 2011-3, Class A3, 1.070%, 06/15/16

    314   
  676      

Series 2013-4, Class A3, 0.800%, 07/16/18

    675   
  440      

Series 2013-4, Class A4, 1.280%, 05/15/19

    439   
  453      

Carnow Auto Receivables Trust, Series 2013-1A, Class A, 1.160%, 10/16/17 (e)

    453   
  364      

Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32

    375   
  1,339      

Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34

    1,354   
  800      

Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39

    1,031   
  314      

Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.535%, 12/25/33

    301   
  

CNH Equipment Trust,

 
  541      

Series 2011-A, Class A4, 2.040%, 10/17/16

    544   
  270      

Series 2012-A, Class A3, 0.940%, 05/15/17

    270   
  

Concord Funding Co. LLC,

 
  2,800      

Series 2012-2, Class A, 3.145%, 01/15/17 (e)

    2,800   
  1,650      

Series 2013-1, Class A, 2.420%, 02/15/15 (e)

    1,653   
  1,095      

Conix Mortgage Asset Trust, Series 2013-1, Class A, VAR, 4.704%, 12/25/47 (e) (i)

    1,118   
  832      

Countrywide Asset -Backed Certificates, Series 2004-6, Class M1, VAR, 1.055%, 10/25/34

    791   
  

CPS Auto Receivables Trust,

 
  556      

Series 2011-C, Class A, 4.210%, 03/15/19 (e)

    571   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         9   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Asset-Backed Securities — continued

  

  292      

Series 2012-A, Class A, 2.780%, 06/17/19 (e)

    297   
  1,726      

Series 2012-B, Class A, 2.520%, 09/16/19 (e)

    1,749   
  2,495      

Series 2013-C, Class A, 1.640%, 04/16/18 (e)

    2,509   
  3,312      

Series 2013-D, Class A, 1.540%, 07/16/18 (e)

    3,326   
  438      

Series 2014-A, Class A, 1.210%, 08/15/18 (e)

    438   
  

CPS Auto Trust,

 
  1,016      

Series 2012-C, Class A, 1.820%, 12/16/19 (e)

    1,027   
  162      

Series 2012-D, Class A, 1.480%, 03/16/20 (e)

    163   
  

Credit Acceptance Auto Loan Trust,

 
  228      

Series 2012-1A, Class A, 2.200%, 09/16/19 (e)

    229   
  1,512      

Series 2012-2A, Class A, 1.520%, 03/16/20 (e)

    1,517   
  813      

Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17

    815   
  

Exeter Automobile Receivables Trust,

 
  303      

Series 2012-2A, Class A, 1.300%, 06/15/17 (e)

    304   
  582      

Series 2013-1A, Class A, 1.290%, 10/16/17 (e)

    583   
  1,436      

Series 2013-2A, Class A, 1.490%, 11/15/17 (e)

    1,441   
  1,056      

Series 2014-1A, Class A, 1.290%, 05/15/18 (e)

    1,058   
  349      

Fifth Third Auto Trust, Series 2013-1, Class A3, 0.880%, 10/16/17

    350   
  314      

First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)

    315   
  

Flagship Credit Auto Trust,

 
  885      

Series 2013-1, Class A, 1.320%, 04/16/18 (e)

    886   
  1,358      

Series 2013-2, Class A, 1.940%, 01/15/19 (e)

    1,362   
  1,347      

Series 2014-1, Class A, 1.210%, 04/15/19 (e)

    1,346   
  245      

Series 2014-1, Class B, 2.550%, 02/18/20 (e)

    245   
  

Ford Credit Auto Lease Trust,

 
  503      

Series 2013-B, Class A3, 0.760%, 09/15/16

    504   
  265      

Series 2014-A, Class A2A, 0.500%, 10/15/16

    265   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Ford Credit Auto Owner Trust,

 
  434      

Series 2012-A, Class A3, 0.840%, 08/15/16

    435   
  252      

Series 2012-B, Class A3, 0.720%, 12/15/16

    252   
  529      

Series 2012-D, Class A3, 0.510%, 04/15/17

    530   
  669      

Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.535%, 01/15/18

    670   
  541      

Freedom Trust, Series 2011-2, Class A11, VAR, 5.000%, 08/01/46 (e)

    553   
  

FRT Trust,

 
  1,017      

Series 2013-1A, Class A1N, SUB, 3.960%, 10/25/33 (e) (i)

    1,025   
  469      

Series 2013-1A, Class AR, SUB, 4.210%, 10/25/18 (e) (i)

    468   
  1,892      

GCAT, Series 2014-1A, Class A1, VAR, 3.228%, 07/25/19 (e)

    1,892   
  274      

GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29

    271   
  

GE Equipment Midticket LLC,

 
  515      

Series 2012-1, Class A3, 0.600%, 05/23/16

    516   
  360      

Series 2012-1, Class A4, 0.780%, 09/22/20

    360   
  3,844      

GLC Trust, Series 2014-A, Class A, 3.000%, 07/15/21 (e)

    3,824   
  

GMAT Trust,

 
  1,777      

Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)

    1,782   
  1,228      

Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)

    1,231   
  

HLSS Servicer Advance Receivables Backed Notes,

 
  2,662      

Series 2013-T2, Class A2, 1.147%, 05/16/44 (e)

    2,664   
  2,140      

Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e)

    2,148   
  

HLSS Servicer Advance Receivables Trust,

 
  1,560      

Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)

    1,572   
  1,197      

Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)

    1,199   
  497      

Series 2013-T1, Class B2, 1.744%, 01/16/46 (e)

    496   
  718      

Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e)

    719   
  997      

Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)

    1,005   
  177      

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.355%, 03/25/36

    139   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Asset-Backed Securities — continued

 
  

Honda Auto Receivables Owner Trust,

 
  388      

Series 2012-1, Class A4, 0.970%, 04/16/18

    389   
  187      

Series 2012-2, Class A3, 0.700%, 02/16/16

    188   
  1      

Series 2013-1, Class A2, 0.350%, 06/22/15

    1   
  1,527      

Series 2013-4, Class A3, 0.690%, 09/18/17

    1,528   
  930      

Series 2014-2, Class A3, 0.770%, 03/19/18

    930   
  

HSBC Home Equity Loan Trust USA,

 
  680      

Series 2006-1, Class A1, VAR, 0.316%, 01/20/36

    676   
  1,312      

Series 2007-3, Class APT, VAR, 1.356%, 11/20/36

    1,312   
  

Huntington Auto Trust,

 
  66      

Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)

    66   
  1,000      

Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)

    1,005   
  262      

Series 2012-1, Class A3, 0.810%, 09/15/16

    262   
  

Hyundai Auto Receivables Trust,

 
  360      

Series 2010-B, Class A4, 1.630%, 03/15/17

    362   
  116      

Series 2011-A, Class A4, 1.780%, 12/15/15

    116   
  427      

Series 2011-B, Class A4, 1.650%, 02/15/17

    428   
  104      

Series 2013-A, Class A2, 0.400%, 12/15/15

    104   
  581      

John Deere Owner Trust, Series 2012-B, Class A4, 0.690%, 01/15/19

    580   
  

KGS-Alpha Capital Markets LP,

 
  19,491      

VAR, 11.244%, 08/25/38

    746   
  12,198      

Series 2013-2, VAR, 18.053%, 03/25/39

    702   
  275      

Kondaur Mortgage Asset Trust LLC, Series 2013-1, Class A, VAR, 4.458%, 08/25/52 (e)

    276   
  269      

Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.505%, 07/25/34 (e)

    267   
  434      

Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, VAR, 0.355%, 01/25/36

    411   
  

LV Tower 52 Issuer LLC,

 
  2,749      

Series 2013-1, Class A, 5.500%, 06/15/18 (e) (i)

    2,752   
  1,430      

Series 2013-1, Class M, 7.500%, 06/15/18 (e) (i)

    1,430   
  210      

Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)

    210   
  625      

Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class M2, VAR, 2.405%, 03/25/32

    625   
  1,076      

Mid-State Capital Corp. Trust, Series 2006- 1, Class M1, 6.083%, 10/15/40 (e)

    1,109   
  2,637      

MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)

    2,658   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Nationstar Agency Advance Funding Trust,

 
  1,078      

Series 2013-T1A, Class AT1, 0.997%,
02/15/45 (e)

    1,077   
  439      

Series 2013-T2A, Class AT2, 1.892%,
02/18/48 (e)

    428   
  216      

Series 2013-T2A, Class BT2, 2.487%,
02/18/48 (e)

    214   
  930      

Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)

    930   
  689      

NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.509%, 12/07/20

    690   
  964      

New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33

    991   
  2,417      

New Residential Advance Receivables Trust, Series 2014-T1, Class A1, 1.274%, 03/15/45 (e)

    2,420   
  611      

Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16

    610   
  333      

Nissan Auto Receivables Owner Trust, Series 2012-A, Class A4, 1.000%, 07/16/18

    335   
  5,697      

Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)

    5,688   
  

NYMT Residential LLC,

 
  1,500      

Series 2012-RP1A, Class NOTE, VAR, 4.250%, 12/25/17 (e) (i)

    1,500   
  2,298      

Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i)

    2,298   
  1,952      

OnDeck Asset Securitization Trust LLC, Series 2014-1A, Class A, 3.150%, 05/17/18 (e)

    1,958   
  

OneMain Financial Issuance Trust,

 
  2,744      

Series 2014-1A, Class A, 2.430%, 06/18/24 (e)

    2,744   
  402      

Series 2014-1A, Class B, 3.240%, 06/18/24 (e)

    405   
  3,672      

Series 2014-2A, Class A, 2.470%, 09/18/24 (e)

    3,673   
  1,491      

Series 2014-2A, Class B, 3.020%, 09/18/24 (e)

    1,491   
  1,012      

Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.092%, 10/25/34

    1,006   
  670      

PFS Tax Lien Trust, Series 2014-1, Class NOTE, 1.440%, 05/15/29 (e)

    672   
  1,000      

Progreso Receivables Funding I LLC, Series 2013-A, Class A, 4.000%, 07/09/18 (e)

    1,007   
  2,353      

Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)

    2,353   
  2,178      

RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.455%, 03/25/36

    2,123   
  2,727      

RBSHD Trust, Series 2013-1A, Class A, SUB, 4.685%, 10/25/47 (e) (i)

    2,738   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         11   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Asset-Backed Securities — continued

 
  296      

Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37

    160   
  345      

RMAT, Series 2012-1A, Class A1, VAR, 2.734%, 08/26/52 (e) (i)

    347   
  

Santander Drive Auto Receivables Trust,

 
  8      

Series 2012-3, Class A3, 1.080%, 04/15/16

    8   
  59      

Series 2012-6, Class A3, 0.620%, 07/15/16

    59   
  443      

Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33

    448   
  300      

Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.509%, 01/25/36

    224   
  611      

Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)

    611   
  

SNAAC Auto Receivables Trust,

 
  124      

Series 2013-1A, Class A, 1.140%, 07/16/18 (e)

    124   
  968      

Series 2014-1A, Class A, 1.030%, 09/17/18 (e)

    968   
  

SpringCastle America Funding LLC,

 
  3,372      

Series 2013-1A, Class A, 4.000%, 04/03/21 (e)

    3,385   
  6,542      

Series 2013-1A, Class B, 4.000%, 12/03/24 (e)

    6,561   
  

Springleaf Funding Trust,

 
  9,200      

Series 2013-AA, Class A, 2.580%, 09/15/21 (e)

    9,268   
  3,000      

Series 2013-BA, Class A, 3.920%, 01/16/23 (e)

    3,069   
  2,000      

Series 2013-BA, Class B, 4.820%, 01/16/23 (e)

    2,082   
  6,533      

Series 2014-AA, Class A, 2.410%, 12/15/22 (e)

    6,529   
  525      

Series 2014-AA, Class B, 3.450%, 12/15/22 (e)

    525   
  

Stanwich Mortgage Loan Co. LLC,

 
  680      

Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e)

    680   
  1,607      

Series 2013-NPL2, Class A, 3.228%, 04/16/59 (e)

    1,610   
  1,477      

Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)

    1,475   
  179      

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32

    187   
  3,844      

Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.555%, 10/15/15 (e)

    3,869   
  3,085      

Truman Capital Mortgage Loan Trust, Series 2014-NLP1, Class A1, SUB, 3.228%, 07/25/53 (e)

    3,081   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  1,361      

U.S. Residential Opportunity Fund Trust, Series 2014-1A, Class NOTE, SUB, 3.466%, 03/25/34 (e)

    1,365   
  

Vericrest Opportunity Loan Transferee LLC,

 
  578      

Series 2013-NPL4, Class A1, SUB, 3.960%, 11/25/53 (e)

    581   
  2,987      

Series 2013-NPL7, Class A1, SUB, 3.625%, 11/25/53 (e)

    2,998   
  2,757      

Series 2014-NPL1, Class A1, SUB, 3.625%, 10/27/53 (e)

    2,762   
  2,771      

Series 2014-NPL2, Class A1, SUB, 3.625%, 11/25/53 (e)

    2,779   
  5,111      

Series 2014-NPL3, Class A1, SUB, 3.250%, 11/25/53 (e)

    5,121   
  3,979      

Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e)

    3,978   
  2,449      

Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e)

    2,440   
  295      

Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15

    296   
  853      

Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16

    855   
  1,547      

VOLT NPL IX LLC, Series 2013-NPL3, Class A1, SUB, 4.250%, 04/25/53 (e)

    1,557   
  2,059      

VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e)

    2,065   
  1,149      

VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e)

    1,157   
  

VOLT XX LLC,

 
  3,458      

Series 2013-NPL6, Class A1, SUB, 3.625%, 03/25/54 (e)

    3,477   
  1,299      

Series 2013-NPL6, Class A2, SUB, 5.250%, 03/25/54 (e)

    1,305   
  

Westgate Resorts LLC,

 
  616      

Series 2012-1, Class A, 4.500%, 09/20/25 (e)

    621   
  949      

Series 2012-2A, Class A, 3.000%, 01/20/25 (e)

    957   
  512      

Series 2012-3A, Class A, 2.500%, 03/20/25 (e)

    515   
  1,081      

Series 2013-1A, Class A, 2.250%, 08/20/25 (e)

    1,083   
  

World Omni Auto Receivables Trust,

 
  1,164      

Series 2013-B, Class A3, 0.830%, 08/15/18

    1,166   
  413      

Series 2013-B, Class A4, 1.320%, 01/15/20

    413   
    

 

 

 
  

Total Asset-Backed Securities
(Cost $223,188)

    225,104   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — 23.2%

  

 

Agency CMO — 16.2%

 
  652     

Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15

    679   
  197     

Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23

    219   
 

Federal Home Loan Mortgage Corp. REMIC,

 
  9     

Series 11, Class D, 9.500%, 07/15/19

    9   
  8     

Series 22, Class C, 9.500%, 04/15/20

    9   
  13     

Series 23, Class F, 9.600%, 04/15/20

    15   
  (h)   

Series 41, Class I, HB, 84.000%, 05/15/20

    (h) 
  1     

Series 47, Class F, 10.000%, 06/15/20

    1   
  3     

Series 99, Class Z, 9.500%, 01/15/21

    4   
  (h)   

Series 204, Class E, HB, IF, 1,857.616%, 05/15/23

    (h) 
  (h)   

Series 1045, Class G, HB, 1,066.209%, 02/15/21

    (h) 
  5     

Series 1065, Class J, 9.000%, 04/15/21

    6   
  1     

Series 1079, Class S, HB, IF, 33.473%, 05/15/21

    2   
  5     

Series 1084, Class F, VAR, 1.105%, 05/15/21

    5   
  3     

Series 1084, Class S, HB, IF, 44.528%, 05/15/21

    6   
  10     

Series 1116, Class I, 5.500%, 08/15/21

    11   
  13     

Series 1144, Class KB, 8.500%, 09/15/21

    15   
  (h)   

Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21

    (h) 
  (h)   

Series 1196, Class B, HB, IF, 1,180.777%, 01/15/22

    5   
  10     

Series 1250, Class J, 7.000%, 05/15/22

    11   
  18     

Series 1343, Class LA, 8.000%, 08/15/22

    20   
  22     

Series 1343, Class LB, 7.500%, 08/15/22

    26   
  39     

Series 1370, Class JA, VAR, 1.305%, 09/15/22

    39   
  40     

Series 1455, Class WB, IF, 4.598%, 12/15/22

    42   
  177     

Series 1466, Class PZ, 7.500%, 02/15/23

    199   
  3     

Series 1470, Class F, VAR, 1.668%, 02/15/23

    3   
  198     

Series 1498, Class I, VAR, 1.305%, 04/15/23

    203   
  291     

Series 1502, Class PX, 7.000%, 04/15/23

    322   
  35     

Series 1505, Class Q, 7.000%, 05/15/23

    38   
  81     

Series 1518, Class G, IF, 8.875%, 05/15/23

    96   
  26     

Series 1541, Class M, HB, IF, 24.849%, 07/15/23

    42   
  71     

Series 1541, Class O, VAR, 1.830%, 07/15/23

    72   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  8      

Series 1570, Class F, VAR, 2.168%, 08/15/23

    8   
  272      

Series 1573, Class PZ, 7.000%, 09/15/23

    305   
  162      

Series 1591, Class PV, 6.250%, 10/15/23

    178   
  27      

Series 1602, Class SA, HB, IF, 22.246%, 10/15/23

    48   
  702      

Series 1608, Class L, 6.500%, 09/15/23

    769   
  39      

Series 1609, Class LG, IF, 16.997%, 11/15/23

    41   
  474      

Series 1638, Class H, 6.500%, 12/15/23

    524   
  331      

Series 1642, Class PJ, 6.000%, 11/15/23

    369   
  14      

Series 1671, Class QC, IF, 10.000%, 02/15/24

    18   
  16      

Series 1686, Class SH, IF, 18.889%, 02/15/24

    23   
  113      

Series 1695, Class EB, 7.000%, 03/15/24

    127   
  23      

Series 1699, Class FC, VAR, 0.755%, 03/15/24

    23   
  125      

Series 1700, Class GA, PO, 02/15/24

    117   
  316      

Series 1706, Class K, 7.000%, 03/15/24

    358   
  11      

Series 1709, Class FA, VAR, 1.680%, 03/15/24

    11   
  35      

Series 1745, Class D, 7.500%, 08/15/24

    40   
  683      

Series 1760, Class ZD, VAR, 2.030%, 02/15/24

    700   
  255      

Series 1798, Class F, 5.000%, 05/15/23

    277   
  4      

Series 1807, Class G, 9.000%, 10/15/20

    4   
  66      

Series 1829, Class ZB, 6.500%, 03/15/26

    73   
  70      

Series 1863, Class Z, 6.500%, 07/15/26

    77   
  39      

Series 1865, Class D, PO, 02/15/24

    34   
  52      

Series 1890, Class H, 7.500%, 09/15/26

    60   
  146      

Series 1899, Class ZE, 8.000%, 09/15/26

    170   
  9      

Series 1935, Class FL, VAR, 0.855%, 02/15/27

    9   
  111      

Series 1963, Class Z, 7.500%, 01/15/27

    128   
  16      

Series 1970, Class PG, 7.250%, 07/15/27

    18   
  207      

Series 1981, Class Z, 6.000%, 05/15/27

    231   
  78      

Series 1987, Class PE, 7.500%, 09/15/27

    87   
  181      

Series 2019, Class Z, 6.500%, 12/15/27

    205   
  54      

Series 2033, Class SN, HB, IF, 28.431%, 03/15/24

    24   
  148      

Series 2038, Class PN, IO, 7.000%, 03/15/28

    29   
  310      

Series 2040, Class PE, 7.500%, 03/15/28

    356   
  47      

Series 2043, Class CJ, 6.500%, 04/15/28

    54   
  250      

Series 2054, Class PV, 7.500%, 05/15/28

    287   
  425      

Series 2075, Class PH, 6.500%, 08/15/28

    477   
  478      

Series 2075, Class PM, 6.250%, 08/15/28

    539   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         13   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  134      

Series 2086, Class GB, 6.000%, 09/15/28

    150   
  201      

Series 2089, Class PJ, IO, 7.000%, 10/15/28

    39   
  589      

Series 2095, Class PE, 6.000%, 11/15/28

    652   
  183      

Series 2125, Class JZ, 6.000%, 02/15/29

    202   
  43      

Series 2132, Class SB, HB, IF, 29.875%, 03/15/29

    78   
  24      

Series 2134, Class PI, IO, 6.500%, 03/15/19

    3   
  246      

Series 2136, Class PG, 6.000%, 03/15/29

    275   
  73      

Series 2141, Class IO, IO, 7.000%, 04/15/29

    14   
  65      

Series 2163, Class PC, IO, 7.500%, 06/15/29

    12   
  687      

Series 2169, Class TB, 7.000%, 06/15/29

    788   
  357      

Series 2172, Class QC, 7.000%, 07/15/29

    403   
  320      

Series 2176, Class OJ, 7.000%, 08/15/29

    370   
  182      

Series 2201, Class C, 8.000%, 11/15/29

    212   
  166      

Series 2209, Class TC, 8.000%, 01/15/30

    199   
  282      

Series 2210, Class Z, 8.000%, 01/15/30

    327   
  57      

Series 2224, Class CB, 8.000%, 03/15/30

    69   
  157      

Series 2230, Class Z, 8.000%, 04/15/30

    184   
  122      

Series 2234, Class PZ, 7.500%, 05/15/30

    141   
  105      

Series 2247, Class Z, 7.500%, 08/15/30

    121   
  155      

Series 2256, Class MC, 7.250%, 09/15/30

    178   
  305      

Series 2259, Class ZM, 7.000%, 10/15/30

    350   
  9      

Series 2261, Class ZY, 7.500%, 10/15/30

    11   
  36      

Series 2262, Class Z, 7.500%, 10/15/30

    42   
  346      

Series 2271, Class PC, 7.250%, 12/15/30

    397   
  414      

Series 2283, Class K, 6.500%, 12/15/23

    462   
  154      

Series 2296, Class PD, 7.000%, 03/15/31

    178   
  49      

Series 2306, Class K, PO, 05/15/24

    46   
  115      

Series 2306, Class SE, IF, IO, 8.070%, 05/15/24

    21   
  213      

Series 2313, Class LA, 6.500%, 05/15/31

    240   
  276      

Series 2325, Class PM, 7.000%, 06/15/31

    296   
  220      

Series 2344, Class QG, 6.000%, 08/15/16

    228   
  1,618      

Series 2344, Class ZD, 6.500%, 08/15/31

    1,855   
  138      

Series 2344, Class ZJ, 6.500%, 08/15/31

    157   
  148      

Series 2345, Class NE, 6.500%, 08/15/31

    166   
  85      

Series 2345, Class PQ, 6.500%, 08/15/16

    89   
  137      

Series 2351, Class PZ, 6.500%, 08/15/31

    154   
  1,261      

Series 2353, Class AZ, 6.000%, 09/15/31

    1,383   
  93      

Series 2353, Class TD, 6.000%, 09/15/16

    97   
  74      

Series 2355, Class BP, 6.000%, 09/15/16

    77   
  48      

Series 2359, Class PM, 6.000%, 09/15/16

    50   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Agency CMO — continued

 
  542      

Series 2359, Class ZB, 8.500%, 06/15/31

    651   
  131      

Series 2360, Class PG, 6.000%, 09/15/16

    136   
  29      

Series 2363, Class PF, 6.000%, 09/15/16

    30   
  59      

Series 2366, Class MD, 6.000%, 10/15/16

    62   
  272      

Series 2367, Class ME, 6.500%, 10/15/31

    300   
  192      

Series 2391, Class QR, 5.500%, 12/15/16

    199   
  91      

Series 2394, Class MC, 6.000%, 12/15/16

    95   
  543      

Series 2396, Class FM, VAR, 0.605%, 12/15/31

    548   
  301      

Series 2399, Class OH, 6.500%, 01/15/32

    341   
  497      

Series 2399, Class TH, 6.500%, 01/15/32

    560   
  474      

Series 2410, Class NG, 6.500%, 02/15/32

    540   
  183      

Series 2410, Class OE, 6.375%, 02/15/32

    197   
  332      

Series 2410, Class QS, IF, 19.097%, 02/15/32

    502   
  176      

Series 2410, Class QX, IF, IO, 8.495%, 02/15/32

    49   
  368      

Series 2412, Class SP, IF, 15.790%, 02/15/32

    475   
  548      

Series 2420, Class XK, 6.500%, 02/15/32

    621   
  450      

Series 2423, Class MC, 7.000%, 03/15/32

    518   
  417      

Series 2423, Class MT, 7.000%, 03/15/32

    480   
  100      

Series 2425, Class OB, 6.000%, 03/15/17

    105   
  874      

Series 2430, Class WF, 6.500%, 03/15/32

    984   
  475      

Series 2434, Class TC, 7.000%, 04/15/32

    532   
  565      

Series 2435, Class CJ, 6.500%, 04/15/32

    616   
  393      

Series 2436, Class MC, 7.000%, 04/15/32

    442   
  317      

Series 2444, Class ES, IF, IO, 7.795%, 03/15/32

    88   
  216      

Series 2450, Class GZ, 7.000%, 05/15/32

    247   
  254      

Series 2450, Class SW, IF, IO, 7.845%, 03/15/32

    57   
  1,231      

Series 2455, Class GK, 6.500%, 05/15/32

    1,384   
  45      

Series 2458, Class QE, 5.500%, 06/15/17

    47   
  380      

Series 2462, Class JG, 6.500%, 06/15/32

    428   
  839      

Series 2464, Class SI, IF, IO, 7.845%, 02/15/32

    223   
  856      

Series 2466, Class PH, 6.500%, 06/15/32

    928   
  369      

Series 2474, Class NR, 6.500%, 07/15/32

    415   
  494      

Series 2484, Class LZ, 6.500%, 07/15/32

    558   
  677      

Series 2500, Class MC, 6.000%, 09/15/32

    767   
  39      

Series 2503, Class BH, 5.500%, 09/15/17

    41   
  188      

Series 2508, Class AQ, 5.500%, 10/15/17

    199   
  488      

Series 2512, Class PG, 5.500%, 10/15/22

    535   
  276      

Series 2535, Class BK, 5.500%, 12/15/22

    303   
  373      

Series 2537, Class TE, 5.500%, 12/15/17

    394   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  932      

Series 2543, Class YX, 6.000%, 12/15/32

    1,036   
  837      

Series 2544, Class HC, 6.000%, 12/15/32

    930   
  1,033      

Series 2552, Class ME, 6.000%, 01/15/33

    1,146   
  1,025      

Series 2567, Class QD, 6.000%, 02/15/33

    1,130   
  673      

Series 2568, Class KG, 5.500%, 02/15/23

    742   
  111      

Series 2571, Class SK, HB, IF, 33.832%, 09/15/23

    200   
  2,518      

Series 2575, Class ME, 6.000%, 02/15/33

    2,793   
  303      

Series 2586, Class WI, IO, 6.500%, 03/15/33

    56   
  799      

Series 2587, Class WX, 5.000%, 03/15/18

    843   
  681      

Series 2596, Class QG, 6.000%, 03/15/33

    750   
  267      

Series 2611, Class UH, 4.500%, 05/15/18

    280   
  477      

Series 2617, Class GR, 4.500%, 05/15/18

    500   
  391      

Series 2626, Class NS, IF, IO, 6.395%, 06/15/23

    29   
  554      

Series 2631, Class LC, 4.500%, 06/15/18

    581   
  269      

Series 2636, Class Z, 4.500%, 06/15/18

    282   
  351      

Series 2637, Class SA, IF, IO, 5.945%, 06/15/18

    25   
  24      

Series 2638, Class DS, IF, 8.445%, 07/15/23

    27   
  257      

Series 2650, Class PO, PO, 12/15/32

    254   
  1,059      

Series 2650, Class SO, PO, 12/15/32

    1,032   
  406      

Series 2651, Class VZ, 4.500%, 07/15/18

    427   
  237      

Series 2672, Class ME, 5.000%, 11/15/22

    240   
  1,811      

Series 2675, Class CK, 4.000%, 09/15/18

    1,897   
  2,861      

Series 2684, Class PO, PO, 01/15/33

    2,812   
  215      

Series 2691, Class ME, 4.500%, 04/15/32

    217   
  127      

Series 2692, Class SC, IF, 12.977%, 07/15/33

    154   
  552      

Series 2695, Class DG, 4.000%, 10/15/18

    576   
  28      

Series 2696, Class CO, PO, 10/15/18

    27   
  1,565      

Series 2710, Class HB, 5.500%, 11/15/23

    1,716   
  269      

Series 2715, Class OG, 5.000%, 01/15/23

    272   
  999      

Series 2716, Class UN, 4.500%, 12/15/23

    1,067   
  486      

Series 2720, Class PC, 5.000%, 12/15/23

    522   
  435      

Series 2744, Class PE, 5.500%, 02/15/34

    464   
  763      

Series 2744, Class TU, 5.500%, 05/15/32

    796   
  51      

Series 2764, Class TE, 5.000%, 10/15/32

    51   
  159      

Series 2777, Class OM, PO, 12/15/32

    159   
  36      

Series 2780, Class JG, 4.500%, 04/15/19

    37   
  998      

Series 2783, Class AT, 4.000%, 04/15/19

    1,045   
  2,484      

Series 2809, Class UC, 4.000%, 06/15/19

    2,599   
  87      

Series 2827, Class XO, PO, 01/15/23

    87   
  76      

Series 2835, Class QO, PO, 12/15/32

    70   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Agency CMO — continued

 
  126      

Series 2840, Class JO, PO, 06/15/23

    117   
  301      

Series 2922, Class JN, 4.500%, 02/15/20

    313   
  668      

Series 2934, Class EC, PO, 02/15/20

    658   
  3      

Series 2934, Class EN, PO, 02/15/18

    3   
  557      

Series 2934, Class HI, IO, 5.000%, 02/15/20

    51   
  514      

Series 2934, Class KI, IO, 5.000%, 02/15/20

    45   
  438      

Series 2958, Class QD, 4.500%, 04/15/20

    460   
  1,122      

Series 2962, Class BE, 4.500%, 04/15/20

    1,194   
  2,270      

Series 2965, Class GD, 4.500%, 04/15/20

    2,401   
  59      

Series 2989, Class PO, PO, 06/15/23

    59   
  4,237      

Series 2990, Class UZ, 5.750%, 06/15/35

    4,518   
  1,483      

Series 3004, Class EK, 5.500%, 07/15/35

    1,547   
  15      

Series 3007, Class AI, IO, 5.500%, 07/15/24

    (h) 
  73      

Series 3014, Class OD, PO, 08/15/35

    60   
  3      

Series 3047, Class OB, 5.500%, 12/15/33

    3   
  944      

Series 3047, Class OD, 5.500%, 10/15/35

    1,073   
  507      

Series 3049, Class XF, VAR, 0.505%, 05/15/33

    507   
  3,095      

Series 3064, Class MC, 5.500%, 11/15/35

    3,548   
  65      

Series 3068, Class AO, PO, 01/15/35

    65   
  373      

Series 3068, Class QB, 4.500%, 06/15/20

    387   
  2,141      

Series 3074, Class BH, 5.000%, 11/15/35

    2,328   
  527      

Series 3085, Class WF, VAR, 0.955%, 08/15/35

    536   
  929      

Series 3102, Class FB, VAR, 0.455%, 01/15/36

    931   
  225      

Series 3102, Class HS, HB, IF, 23.998%, 01/15/36

    327   
  960      

Series 3117, Class EO, PO, 02/15/36

    884   
  553      

Series 3117, Class OK, PO, 02/15/36

    508   
  18      

Series 3122, Class ZB, 6.000%, 03/15/36

    24   
  2,067      

Series 3131, Class BK, 5.500%, 03/15/26

    2,282   
  179      

Series 3134, Class PO, PO, 03/15/36

    165   
  848      

Series 3138, Class PO, PO, 04/15/36

    799   
  31      

Series 3149, Class SO, PO, 05/15/36

    25   
  739      

Series 3151, Class UC, 5.500%, 08/15/35

    785   
  664      

Series 3152, Class MO, PO, 03/15/36

    618   
  184      

Series 3171, Class MO, PO, 06/15/36

    172   
  668      

Series 3179, Class OA, PO, 07/15/36

    621   
  182      

Series 3194, Class SA, IF, IO, 6.945%, 07/15/36

    33   
  666      

Series 3211, Class SO, PO, 09/15/36

    612   
  322      

Series 3218, Class AO, PO, 09/15/36

    298   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         15   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  701      

Series 3219, Class DI, IO, 6.000%, 04/15/36

    136   
  1,500      

Series 3229, Class HE, 5.000%, 10/15/26

    1,649   
  648      

Series 3232, Class ST, IF, IO, 6.545%, 10/15/36

    83   
  287      

Series 3233, Class OP, PO, 05/15/36

    265   
  85      

Series 3242, Class NE, 5.750%, 02/15/34

    85   
  445      

Series 3256, Class PO, PO, 12/15/36

    405   
  872      

Series 3260, Class CS, IF, IO, 5.985%, 01/15/37

    111   
  464      

Series 3261, Class OA, PO, 01/15/37

    425   
  260      

Series 3274, Class JO, PO, 02/15/37

    241   
  218      

Series 3275, Class FL, VAR, 0.595%, 02/15/37

    218   
  1,090      

Series 3290, Class SB, IF, IO, 6.295%, 03/15/37

    163   
  2,133      

Series 3315, Class HZ, 6.000%, 05/15/37

    2,357   
  87      

Series 3318, Class AO, PO, 05/15/37

    72   
  155      

Series 3326, Class JO, PO, 06/15/37

    145   
  521      

Series 3331, Class PO, PO, 06/15/37

    475   
  563      

Series 3385, Class SN, IF, IO, 5.845%, 11/15/37

    70   
  741      

Series 3387, Class SA, IF, IO, 6.265%, 11/15/37

    91   
  1,150      

Series 3404, Class SC, IF, IO, 5.845%, 01/15/38

    135   
  4,971      

Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38

    69   
  731      

Series 3424, Class PI, IF, IO, 6.645%, 04/15/38

    103   
  1,397      

Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38

    186   
  974      

Series 3505, Class SA, IF, IO, 5.845%, 01/15/39

    142   
  1,111      

Series 3511, Class SA, IF, IO, 5.845%, 02/15/39

    164   
  415      

Series 3549, Class FA, VAR, 1.355%, 07/15/39

    422   
  423      

Series 3607, Class BO, PO, 04/15/36

    384   
  1,072      

Series 3607, Class OP, PO, 07/15/37

    979   
  630      

Series 3607, Class PO, PO, 05/15/37

    589   
  189      

Series 3611, Class PO, PO, 07/15/34

    175   
  523      

Series 3621, Class BO, PO, 01/15/40

    482   
  593      

Series 3720, Class A, 4.500%, 09/15/25

    644   
  1,884      

Series 3739, Class LI, IO, 4.000%, 03/15/34

    119   
  4,817      

Series 3747, Class HI, IO, 4.500%, 07/15/37

    500   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Agency CMO — continued

 
  1,000      

Series 3747, Class PY, 4.000%, 10/15/40

    1,043   
  2,444      

Series 3759, Class HI, IO, 4.000%, 08/15/37

    280   
  2,351      

Series 3760, Class GI, IO, 4.000%, 10/15/37

    218   
  9,334      

Series 3774, Class EW, 3.500%, 12/15/25

    9,710   
  5,000      

Series 3793, Class AB, 3.500%, 01/15/26

    5,162   
  152      

Series 3798, Class BF, VAR, 0.455%, 06/15/24

    152   
  864      

Series 3804, Class FN, VAR, 0.605%, 03/15/39

    865   
  3,684      

Series 3819, Class ZQ, 6.000%, 04/15/36

    4,139   
  750      

Series 3852, Class QN, IF, 5.500%, 05/15/41

    791   
  2,073      

Series 3852, Class TP, IF, 5.500%, 05/15/41

    2,202   
  2,803      

Series 3920, Class LP, 5.000%, 01/15/34

    3,062   
  1,446      

Series 3925, Class FL, VAR, 0.605%, 01/15/41

    1,457   
  1,222      

Series 3957, Class B, 4.000%, 11/15/41

    1,273   
  1,493      

Series 3966, Class NA, 4.000%, 12/15/41

    1,553   
  1,031      

Series 3997, Class PF, VAR, 0.605%, 11/15/39

    1,033   
  3,391      

Series 4048, Class FJ, VAR, 0.556%, 07/15/37

    3,387   
  2,000      

Series 4217, Class KY, 3.000%, 06/15/43

    1,860   
  7,791      

Series 4219, Class JA, 3.500%, 08/15/39

    8,041   
  2,501      

Series 4240, Class B, 3.000%, 08/15/33

    2,298   
  3,684      

Series 4251, Class KW, 2.500%, 04/15/28

    3,432   
  

Federal Home Loan Mortgage Corp. STRIPS,

 
  2      

Series 134, Class B, IO, 9.000%, 04/01/22

    1   
  1,390      

Series 233, Class 11, IO, 5.000%, 09/15/35

    218   
  1,974      

Series 233, Class 13, IO, 5.000%, 09/15/35

    308   
  375      

Series 243, Class 16, IO, 4.500%, 11/15/20

    28   
  846      

Series 243, Class 17, IO, 4.500%, 12/15/20

    63   
  8,509      

Series 262, Class 35, 3.500%, 07/15/42

    8,692   
  2,382      

Series 264, Class F1, VAR, 0.705%, 07/15/42

    2,394   
  2,201      

Series 267, Class F5, VAR, 0.655%, 08/15/42

    2,206   
  2,703      

Series 281, Class F1, VAR, 0.655%, 10/15/42

    2,708   
  9,145      

Series 299, Class 300, 3.000%, 01/15/43

    9,082   
  2,452      

Series 310, Class PO, PO, 09/15/43

    1,813   
  4,903      

Series 323, Class 300, 3.000%, 01/15/44

    4,929   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  

Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,

 
  531      

Series T-41, Class 3A, VAR, 6.539%, 07/25/32

    608   
  315      

Series T-51, Class 2A, VAR, 7.500%, 08/25/42

    378   
  1,865      

Series T-54, Class 2A, 6.500%, 02/25/43

    2,212   
  559      

Series T-54, Class 3A, 7.000%, 02/25/43

    680   
  225      

Series T-58, Class APO, PO, 09/25/43

    196   
  493      

Series T-59, Class 1AP, PO, 10/25/43

    427   
  1,953      

Series T-76, Class 2A, VAR, 1.516%, 10/25/37

    1,917   
  

Federal National Mortgage Association — ACES,

 
  3,300      

Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20

    3,655   
  1,416      

Series 2011-M2, Class A2, 3.645%, 04/25/21

    1,525   
  8,500      

Series 2011-M2, Class A3, 3.764%, 04/25/21

    9,214   
  527      

Series 2012-M11, Class FA, VAR, 0.676%, 08/25/19

    529   
  4,100      

Series 2012-M9, Class A2, 2.482%, 04/25/22

    4,084   
  4,200      

Series 2013-M13, Class A2, VAR, 2.624%, 04/25/23

    4,170   
  1,878      

Series 2013-M7, Class A2, 2.280%, 12/27/22

    1,820   
  8,000      

Series 2013-M9, Class A2, VAR, 2.389%, 01/25/23

    7,846   
  2,664      

Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23

    2,831   
  2,500      

Series 2014-M3, Class A2, VAR, 3.501%, 01/25/24

    2,650   
  4,545      

Series 2014-M5, Class ASQ2, 2.034%, 03/25/19

    4,598   
  1,081      

Series 2014-M5, Class FA, VAR, 0.521%, 01/25/17

    1,083   
  

Federal National Mortgage Association Grantor Trust,

 
  910      

Series 2002-T19, Class A2, 7.000%, 07/25/42

    1,046   
  695      

Series 2004-T3, Class 1A3, 7.000%, 02/25/44

    793   
  

Federal National Mortgage Association REMIC,

 
  4      

Series 1988-7, Class Z, 9.250%, 04/25/18

    5   
  10      

Series 1989-70, Class G, 8.000%, 10/25/19

    11   
  4      

Series 1989-78, Class H, 9.400%, 11/25/19

    4   
  8      

Series 1989-83, Class H, 8.500%, 11/25/19

    9   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Agency CMO — continued

 
  6     

Series 1989-89, Class H, 9.000%, 11/25/19

    7   
  6     

Series 1990-1, Class D, 8.800%, 01/25/20

    7   
  1     

Series 1990-60, Class K, 5.500%, 06/25/20

    1   
  3     

Series 1990-63, Class H, 9.500%, 06/25/20

    3   
  2     

Series 1990-93, Class G, 5.500%, 08/25/20

    2   
  (h)   

Series 1990-94, Class H, HB, 505.000%, 08/25/20

    (h) 
  (h)   

Series 1990-95, Class J, HB, 1,118.040%, 08/25/20

    1   
  15     

Series 1990-102, Class J, 6.500%, 08/25/20

    16   
  17     

Series 1990-120, Class H, 9.000%, 10/25/20

    19   
  2     

Series 1990-134, Class SC, HB, IF, 21.368%, 11/25/20

    3   
  (h)   

Series 1990-140, Class K, HB, 652.145%, 12/25/20

    2   
  (h)   

Series 1991-7, Class K, HB, 908.500%, 02/25/21

    (h) 
  7     

Series 1991-24, Class Z, 5.000%, 03/25/21

    7   
  1     

Series 1992-101, Class J, 7.500%, 06/25/22

    1   
  39     

Series 1992-136, Class PK, 6.000%, 08/25/22

    42   
  33     

Series 1992-143, Class MA, 5.500%, 09/25/22

    35   
  91     

Series 1992-163, Class M, 7.750%, 09/25/22

    102   
  147     

Series 1992-188, Class PZ, 7.500%, 10/25/22

    169   
  59     

Series 1993-21, Class KA, 7.700%, 03/25/23

    67   
  89     

Series 1993-25, Class J, 7.500%, 03/25/23

    100   
  23     

Series 1993-27, Class SA, IF, 15.500%, 02/25/23

    32   
  35     

Series 1993-62, Class SA, IF, 18.975%, 04/25/23

    51   
  18     

Series 1993-165, Class SD, IF, 13.440%, 09/25/23

    23   
  38     

Series 1993-165, Class SK, IF, 12.500%, 09/25/23

    44   
  27     

Series 1993-179, Class SB, HB, IF, 26.828%, 10/25/23

    44   
  18     

Series 1993-179, Class SC, IF, 10.500%, 10/25/23

    22   
  40     

Series 1993-199, Class FA, VAR, 0.705%, 10/25/23

    40   
  50     

Series 1993-205, Class H, PO, 09/25/23

    44   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         17   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  79      

Series 1993-225, Class UB, 6.500%, 12/25/23

    89   
  27      

Series 1993-230, Class FA, VAR, 0.755%, 12/25/23

    27   
  70      

Series 1993-247, Class FE, VAR, 1.155%, 12/25/23

    72   
  33      

Series 1993-247, Class SU, IF, 12.282%, 12/25/23

    42   
  45      

Series 1993-250, Class Z, 7.000%, 12/25/23

    46   
  282      

Series 1994-37, Class L, 6.500%, 03/25/24

    317   
  1,406      

Series 1994-40, Class Z, 6.500%, 03/25/24

    1,544   
  63      

Series 1995-2, Class Z, 8.500%, 01/25/25

    74   
  269      

Series 1995-19, Class Z, 6.500%, 11/25/23

    307   
  301      

Series 1996-14, Class SE, IF, IO, 8.260%, 08/25/23

    64   
  7      

Series 1996-27, Class FC, VAR, 0.655%, 03/25/17

    7   
  26      

Series 1996-59, Class J, 6.500%, 08/25/22

    28   
  299      

Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27

    14   
  19      

Series 1997-27, Class J, 7.500%, 04/18/27

    21   
  46      

Series 1997-29, Class J, 7.500%, 04/20/27

    54   
  305      

Series 1997-39, Class PD, 7.500%, 05/20/27

    356   
  26      

Series 1997-42, Class ZC, 6.500%, 07/18/27

    29   
  534      

Series 1997-61, Class ZC, 7.000%, 02/25/23

    602   
  90      

Series 1997-81, Class PI, IO, 7.000%, 12/18/27

    18   
  11      

Series 1998-4, Class C, PO, 04/25/23

    11   
  159      

Series 1998-36, Class ZB, 6.000%, 07/18/28

    177   
  100      

Series 1998-43, Class SA, IF, IO, 17.307%, 04/25/23

    37   
  198      

Series 1998-66, Class SB, IF, IO, 7.995%, 12/25/28

    37   
  96      

Series 1999-17, Class C, 6.350%, 04/25/29

    107   
  447      

Series 1999-18, Class Z, 5.500%, 04/18/29

    486   
  108      

Series 1999-38, Class SK, IF, IO, 7.895%, 08/25/23

    12   
  49      

Series 1999-52, Class NS, HB, IF, 22.946%, 10/25/23

    76   
  140      

Series 1999-62, Class PB, 7.500%, 12/18/29

    161   
  425      

Series 2000-2, Class ZE, 7.500%, 02/25/30

    488   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Agency CMO — continued

 
  259     

Series 2000-20, Class SA, IF, IO, 8.945%, 07/25/30

    66   
  33     

Series 2000-52, Class IO, IO, 8.500%, 01/25/31

    8   
  150     

Series 2001-4, Class PC, 7.000%, 03/25/21

    164   
  93     

Series 2001-7, Class PF, 7.000%, 03/25/31

    107   
  (h)   

Series 2001-7, Class PR, 6.000%, 03/25/16

    (h) 
  (h)   

Series 2001-10, Class PR, 6.000%, 04/25/16

    (h) 
  295     

Series 2001-30, Class PM, 7.000%, 07/25/31

    337   
  318     

Series 2001-33, Class ID, IO, 6.000%, 07/25/31

    63   
  289     

Series 2001-36, Class DE, 7.000%, 08/25/31

    331   
  671     

Series 2001-44, Class MY, 7.000%, 09/25/31

    771   
  100     

Series 2001-44, Class PD, 7.000%, 09/25/31

    114   
  111     

Series 2001-44, Class PU, 7.000%, 09/25/31

    128   
  1,066     

Series 2001-48, Class Z, 6.500%, 09/25/21

    1,179   
  81     

Series 2001-49, Class Z, 6.500%, 09/25/31

    91   
  85     

Series 2001-52, Class KB, 6.500%, 10/25/31

    95   
  66     

Series 2001-52, Class XN, 6.500%, 11/25/15

    67   
  972     

Series 2001-61, Class Z, 7.000%, 11/25/31

    1,100   
  57     

Series 2001-71, Class MB, 6.000%, 12/25/16

    59   
  118     

Series 2001-71, Class QE, 6.000%, 12/25/16

    123   
  40     

Series 2001-72, Class SX, IF, 17.105%, 12/25/31

    50   
  204     

Series 2001-74, Class MB, 6.000%, 12/25/16

    212   
  86     

Series 2002-1, Class HC, 6.500%, 02/25/22

    95   
  112     

Series 2002-1, Class SA, HB, IF, 24.684%, 02/25/32

    185   
  70     

Series 2002-1, Class UD, HB, IF, 23.957%, 12/25/23

    108   
  174     

Series 2002-2, Class UC, 6.000%, 02/25/17

    181   
  390     

Series 2002-3, Class OG, 6.000%, 02/25/17

    405   
  88     

Series 2002-7, Class OG, 6.000%, 03/25/17

    92   
  244     

Series 2002-7, Class TG, 6.000%, 03/25/17

    253   
  97     

Series 2002-10, Class SB, IF, 18.828%, 03/25/17

    113   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  1,046      

Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32

    54   
  16      

Series 2002-13, Class ST, IF, 10.000%, 03/25/32

    20   
  88      

Series 2002-19, Class PE, 6.000%, 04/25/17

    91   
  30      

Series 2002-21, Class LO, PO, 04/25/32

    28   
  298      

Series 2002-21, Class PE, 6.500%, 04/25/32

    337   
  236      

Series 2002-24, Class AJ, 6.000%, 04/25/17

    248   
  85      

Series 2002-25, Class SG, IF, 18.948%, 05/25/17

    101   
  767      

Series 2002-28, Class PK, 6.500%, 05/25/32

    863   
  180      

Series 2002-37, Class Z, 6.500%, 06/25/32

    200   
  171      

Series 2002-42, Class C, 6.000%, 07/25/17

    180   
  1,047      

Series 2002-48, Class GH, 6.500%, 08/25/32

    1,180   
  380      

Series 2002-62, Class ZE, 5.500%, 11/25/17

    400   
  104      

Series 2002-63, Class KC, 5.000%, 10/25/17

    109   
  178      

Series 2002-77, Class S, IF, 14.199%, 12/25/32

    231   
  590      

Series 2002-83, Class CS, 6.881%, 08/25/23

    661   
  743      

Series 2002-94, Class BK, 5.500%, 01/25/18

    777   
  393      

Series 2003-3, Class HJ, 5.000%, 02/25/18

    414   
  2,773      

Series 2003-22, Class UD, 4.000%, 04/25/33

    2,920   
  1,099      

Series 2003-33, Class IA, IO, 6.500%, 05/25/33

    206   
  720      

Series 2003-34, Class AX, 6.000%, 05/25/33

    795   
  1,516      

Series 2003-34, Class ED, 6.000%, 05/25/33

    1,733   
  44      

Series 2003-35, Class UC, 3.750%, 05/25/33

    46   
  132      

Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33

    32   
  1,204      

Series 2003-39, Class LW, 5.500%, 05/25/23

    1,317   
  964      

Series 2003-41, Class PE, 5.500%, 05/25/23

    1,047   
  274      

Series 2003-42, Class GB, 4.000%, 05/25/33

    295   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Agency CMO — continued

 
  15      

Series 2003-45, Class AI, IO, 5.500%, 05/25/33

    (h) 
  490      

Series 2003-47, Class PE, 5.750%, 06/25/33

    539   
  177      

Series 2003-52, Class SX, HB, IF, 22.485%, 10/25/31

    284   
  136      

Series 2003-64, Class SX, IF, 13.360%, 07/25/33

    166   
  562      

Series 2003-71, Class DS, IF, 7.259%, 08/25/33

    583   
  189      

Series 2003-71, Class IM, IO, 5.500%, 12/25/31

    3   
  1,127      

Series 2003-72, Class IE, IO, 5.500%, 08/25/33

    229   
  87      

Series 2003-74, Class SH, IF, 9.891%, 08/25/33

    100   
  337      

Series 2003-76, Class GQ, 4.500%, 08/25/18

    355   
  772      

Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23

    63   
  592      

Series 2003-81, Class LC, 4.500%, 09/25/18

    623   
  1,322      

Series 2003-83, Class PG, 5.000%, 06/25/23

    1,395   
  264      

Series 2003-91, Class SD, IF, 12.242%, 09/25/33

    316   
  1,508      

Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33

    319   
  208      

Series 2003-122, Class TE, 5.000%, 12/25/22

    209   
  354      

Series 2003-128, Class NG, 4.000%, 01/25/19

    370   
  104      

Series 2003-130, Class SX, IF, 11.287%, 01/25/34

    123   
  135      

Series 2003-132, Class OA, PO, 08/25/33

    125   
  1,447      

Series 2004-4, Class QI, IF, IO, 6.945%, 06/25/33

    197   
  137      

Series 2004-4, Class QM, IF, 13.890%, 06/25/33

    168   
  638      

Series 2004-10, Class SC, HB, IF, 27.980%, 02/25/34

    857   
  610      

Series 2004-25, Class PC, 5.500%, 01/25/34

    650   
  1,070      

Series 2004-25, Class SA, IF, 19.099%, 04/25/34

    1,498   
  2,030      

Series 2004-27, Class HB, 4.000%, 05/25/19

    2,145   
  418      

Series 2004-36, Class PC, 5.500%, 02/25/34

    445   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         19   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  1,377      

Series 2004-36, Class SA, IF, 19.099%, 05/25/34

    1,890   
  441      

Series 2004-36, Class SN, IF, 13.890%, 07/25/33

    512   
  1,205      

Series 2004-37, Class AG, 4.500%, 11/25/32

    1,244   
  541      

Series 2004-46, Class QB, HB, IF, 23.380%, 05/25/34

    789   
  1,775      

Series 2004-46, Class SK, IF, 16.074%, 05/25/34

    2,280   
  284      

Series 2004-51, Class SY, IF, 13.930%, 07/25/34

    368   
  335      

Series 2004-53, Class NC, 5.500%, 07/25/24

    367   
  402      

Series 2004-59, Class BG, PO, 12/25/32

    367   
  859      

Series 2004-61, Class FH, VAR, 0.955%, 11/25/32

    877   
  113      

Series 2004-61, Class SK, IF, 8.500%, 11/25/32

    135   
  248      

Series 2004-76, Class CL, 4.000%, 10/25/19

    259   
  512      

Series 2004-79, Class SP, IF, 19.374%, 11/25/34

    688   
  112      

Series 2004-81, Class AC, 4.000%, 11/25/19

    117   
  2      

Series 2004-92, Class JO, PO, 12/25/34

    2   
  118      

Series 2005-52, Class PA, 6.500%, 06/25/35

    126   
  1,497      

Series 2005-56, Class S, IF, IO, 6.555%, 07/25/35

    279   
  348      

Series 2005-66, Class SG, IF, 16.987%, 07/25/35

    460   
  666      

Series 2005-68, Class BC, 5.250%, 06/25/35

    718   
  1,626      

Series 2005-68, Class PG, 5.500%, 08/25/35

    1,793   
  902      

Series 2005-68, Class UC, 5.000%, 06/25/35

    965   
  685      

Series 2005-74, Class CS, IF, 19.594%, 05/25/35

    944   
  5,864      

Series 2005-84, Class XM, 5.750%, 10/25/35

    6,377   
  2,515      

Series 2005-109, Class PC, 6.000%, 12/25/35

    2,770   
  8,506      

Series 2005-110, Class GK, 5.500%, 08/25/34

    8,995   
  4,326      

Series 2005-110, Class GL, 5.500%, 12/25/35

    4,920   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Agency CMO — continued

 
  2,151      

Series 2005-110, Class MN, 5.500%, 06/25/35

    2,309   
  496      

Series 2005-116, Class PB, 6.000%, 04/25/34

    516   
  175      

Series 2006-15, Class OT, PO, 01/25/36

    170   
  520      

Series 2006-16, Class OA, PO, 03/25/36

    478   
  692      

Series 2006-22, Class AO, PO, 04/25/36

    609   
  220      

Series 2006-23, Class KO, PO, 04/25/36

    207   
  2,129      

Series 2006-39, Class WC, 5.500%, 01/25/36

    2,334   
  112      

Series 2006-42, Class CF, VAR, 0.605%, 06/25/36

    112   
  1,131      

Series 2006-44, Class GO, PO, 06/25/36

    1,066   
  2,580      

Series 2006-44, Class P, PO, 12/25/33

    2,397   
  1,609      

Series 2006-46, Class UC, 5.500%, 12/25/35

    1,768   
  1,665      

Series 2006-53, Class US, IF, IO, 6.425%, 06/25/36

    277   
  1,507      

Series 2006-56, Class FC, VAR, 0.445%, 07/25/36

    1,508   
  1,523      

Series 2006-56, Class PF, VAR, 0.505%, 07/25/36

    1,527   
  853      

Series 2006-56, Class PO, PO, 07/25/36

    777   
  1,072      

Series 2006-58, Class AP, PO, 07/25/36

    1,003   
  125      

Series 2006-58, Class FL, VAR, 0.615%, 07/25/36

    126   
  503      

Series 2006-58, Class PO, PO, 07/25/36

    468   
  683      

Series 2006-59, Class QO, PO, 01/25/33

    674   
  3,396      

Series 2006-60, Class DZ, 6.500%, 07/25/36

    4,189   
  767      

Series 2006-65, Class QO, PO, 07/25/36

    723   
  188      

Series 2006-72, Class TO, PO, 08/25/36

    176   
  3,169      

Series 2006-77, Class PC, 6.500%, 08/25/36

    3,588   
  639      

Series 2006-79, Class DO, PO, 08/25/36

    603   
  535      

Series 2006-90, Class AO, PO, 09/25/36

    511   
  211      

Series 2006-109, Class PO, PO, 11/25/36

    200   
  1,635      

Series 2006-110, Class PO, PO, 11/25/36

    1,517   
  140      

Series 2006-111, Class EO, PO, 11/25/36

    129   
  884      

Series 2006-118, Class A2, VAR, 0.215%, 12/25/36

    866   
  196      

Series 2006-119, Class PO, PO, 12/25/36

    182   
  3,092      

Series 2006-124, Class HB, VAR, 5.974%, 11/25/36

    3,155   
  1,000      

Series 2006-128, Class BP, 5.500%, 01/25/37

    1,096   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  926      

Series 2006-130, Class GI, IO, 6.500%, 07/25/32

    158   
  785      

Series 2007-7, Class SG, IF, IO, 6.345%, 08/25/36

    158   
  2,523      

Series 2007-14, Class ES, IF, IO, 6.285%, 03/25/37

    376   
  235      

Series 2007-15, Class NO, PO, 03/25/22

    229   
  863      

Series 2007-16, Class FC, VAR, 0.905%, 03/25/37

    879   
  286      

Series 2007-42, Class AO, PO, 05/25/37

    264   
  340      

Series 2007-48, Class PO, PO, 05/25/37

    312   
  1,005      

Series 2007-54, Class FA, VAR, 0.555%, 06/25/37

    1,007   
  5,531      

Series 2007-60, Class AX, IF, IO, 6.995%, 07/25/37

    913   
  260      

Series 2007-77, Class FG, VAR, 0.655%, 03/25/37

    262   
  1,400      

Series 2007-81, Class GE, 6.000%, 08/25/37

    1,601   
  1,440      

Series 2007-84, Class PG, 6.000%, 12/25/36

    1,505   
  3,587      

Series 2007-88, Class VI, IF, IO, 6.385%, 09/25/37

    535   
  2,434      

Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37

    323   
  1,727      

Series 2007-97, Class KI, IO, 7.000%, 05/25/33

    345   
  2,914      

Series 2007-101, Class A2, VAR, 0.405%, 06/27/36

    2,869   
  621      

Series 2007-106, Class A7, VAR, 6.061%, 10/25/37

    688   
  3,000      

Series 2007-114, Class A6, VAR, 0.355%, 10/27/37

    2,994   
  2,105      

Series 2007-116, Class HI, IO, VAR, 1.496%, 01/25/38

    171   
  36      

Series 2007-118, Class IO, IO, 6.000%, 06/25/36

    1   
  1,319      

Series 2008-1, Class BI, IF, IO, 5.755%, 02/25/38

    140   
  949      

Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38

    112   
  542      

Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38

    86   
  687      

Series 2008-19, Class IC, IO, 5.000%, 03/25/23

    47   
  765      

Series 2008-24, Class DY, 5.000%, 04/25/23

    809   
  582      

Series 2008-27, Class SN, IF, IO, 6.745%, 04/25/38

    89   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
  

Agency CMO — continued

 
  341      

Series 2008-39, Class CI, IO, 4.500%, 05/25/18

    21   
  443      

Series 2008-42, Class AO, PO, 09/25/36

    423   
  46      

Series 2008-44, Class PO, PO, 05/25/38

    40   
  707      

Series 2008-47, Class SI, IF, IO, 6.345%, 06/25/23

    75   
  850      

Series 2008-53, Class CI, IF, IO, 7.045%, 07/25/38

    152   
  361      

Series 2008-76, Class GF, VAR, 0.805%, 09/25/23

    363   
  1,938      

Series 2008-80, Class SA, IF, IO, 5.695%, 09/25/38

    225   
  1,184      

Series 2008-81, Class SB, IF, IO, 5.695%, 09/25/38

    136   
  1,598      

Series 2009-6, Class GS, IF, IO, 6.395%, 02/25/39

    220   
  772      

Series 2009-9, Class IO, IO, 5.000%, 02/25/24

    72   
  707      

Series 2009-18, Class IO, IO, 5.000%, 03/25/24

    57   
  2,500      

Series 2009-19, Class IP, IO, 5.500%, 10/25/36

    574   
  1,276      

Series 2009-60, Class HT, 6.000%, 08/25/39

    1,431   
  874      

Series 2009-62, Class HJ, 6.000%, 05/25/39

    970   
  1,273      

Series 2009-70, Class CO, PO, 01/25/37

    1,179   
  995      

Series 2009-86, Class UI, IO, 4.000%, 10/25/14

    (h) 
  786      

Series 2009-99, Class SC, IF, IO, 6.025%, 12/25/39

    105   
  1,016      

Series 2009-103, Class MB, VAR, 2.365%, 12/25/39

    1,035   
  1,286      

Series 2010-45, Class BD, 4.500%, 11/25/38

    1,333   
  1,473      

Series 2010-49, Class SC, IF, 12.350%, 03/25/40

    1,747   
  940      

Series 2010-64, Class DM, 5.000%, 06/25/40

    1,029   
  1,088      

Series 2010-71, Class HJ, 5.500%, 07/25/40

    1,220   
  2,315      

Series 2010-133, Class A, 5.500%, 05/25/38

    2,534   
  3,117      

Series 2010-147, Class SA, IF, IO, 6.375%, 01/25/41

    721   
  1,375      

Series 2010-148, Class MA, 4.000%, 02/25/39

    1,450   
  1,253      

Series 2011-2, Class WA, VAR, 5.829%, 02/25/51

    1,383   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         21   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

 

Agency CMO — continued

 
  1,737     

Series 2011-22, Class MA, 6.500%, 04/25/38

    1,964   
  3,454     

Series 2011-30, Class LS, IO, VAR, 1.968%, 04/25/41

    271   
  2,500     

Series 2011-31, Class DB, 3.500%, 04/25/31

    2,567   
  7,500     

Series 2011-44, Class EB, 3.000%, 05/25/26

    7,508   
  826     

Series 2011-75, Class FA, VAR, 0.705%, 08/25/41

    834   
  1,681     

Series 2011-118, Class MT, 7.000%, 11/25/41

    1,935   
  2,293     

Series 2011-130, Class CA, 6.000%, 12/25/41

    2,515   
  1,430     

Series 2012-14, Class FB, VAR, 0.605%, 08/25/37

    1,438   
  7,975     

Series 2012-47, Class HF, VAR, 0.555%, 05/25/27

    8,006   
  3,000     

Series 2012-66, Class CB, 3.000%, 06/25/32

    2,796   
  5,654     

Series 2012-99, Class AE, 2.500%, 05/25/39

    5,633   
  3,570     

Series 2012-108, Class F, VAR, 0.655%, 10/25/42

    3,558   
  4,414     

Series 2012-137, Class CF, VAR, 0.455%, 08/25/41

    4,369   
  2,000     

Series 2013-81, Class TA, 3.000%, 02/25/43

    1,986   
  1,694     

Series 2013-90, Class PM, 3.500%, 09/25/43

    1,713   
  2,354     

Series 2013-92, Class PO, PO, 09/25/43

    1,769   
  3,349     

Series 2013-101, Class AE, 3.000%, 10/25/33

    3,287   
  3,563     

Series 2013-101, Class DO, PO, 10/25/43

    2,702   
  3,000     

Series 2013-101, Class E, 3.000%, 10/25/33

    2,934   
  3,500     

Series 2013-103, Class VG, 3.000%, 03/25/30

    3,345   
  4,000     

Series 2013-108, Class GU, 3.000%, 10/25/33

    3,796   
  4,777     

Series 2013-128, Class PO, PO, 12/25/43

    3,609   
  (h)   

Series G-17, Class S, HB, VAR, 1,064.924%, 06/25/21

    5   
  19     

Series G-28, Class S, IF, 14.945%, 09/25/21

    24   
  24     

Series G-35, Class M, 8.750%, 10/25/21

    27   
  8     

Series G-51, Class SA, HB, IF, 23.983%, 12/25/21

    12   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
 

Agency CMO — continued

 
  (h)   

Series G92-27, Class SQ, HB, IF, 1,858.090%, 05/25/22

    1   
  126     

Series G92-35, Class E, 7.500%, 07/25/22

    141   
  (h)   

Series G92-35, Class G, HB, 1,184.775%, 07/25/22

    2   
  15     

Series G92-42, Class Z, 7.000%, 07/25/22

    16   
  307     

Series G92-44, Class ZQ, 8.000%, 07/25/22

    331   
  20     

Series G92-52, Class FD, VAR, 0.176%, 09/25/22

    20   
  147     

Series G92-54, Class ZQ, 7.500%, 09/25/22

    163   
  19     

Series G92-59, Class F, VAR, 1.368%, 10/25/22

    19   
  39     

Series G92-61, Class Z, 7.000%, 10/25/22

    45   
  26     

Series G92-62, Class B, PO, 10/25/22

    25   
  131     

Series G93-1, Class KA, 7.900%, 01/25/23

    150   
  30     

Series G93-5, Class Z, 6.500%, 02/25/23

    33   
  39     

Series G93-14, Class J, 6.500%, 03/25/23

    43   
  91     

Series G93-17, Class SI, IF, 6.000%, 04/25/23

    101   
  83     

Series G93-27, Class FD, VAR, 1.035%, 08/25/23

    85   
  20     

Series G93-37, Class H, PO, 09/25/23

    18   
  40     

Series G95-1, Class C, 8.800%, 01/25/25

    46   
 

Federal National Mortgage Association REMIC Trust,

 
  905     

Series 2003-W1, Class 1A1, VAR, 5.887%, 12/25/42

    1,022   
  350     

Series 2003-W1, Class 2A, VAR, 6.591%, 12/25/42

    412   
  132     

Series 2003-W4, Class 2A, VAR, 6.364%, 10/25/42

    147   
  61     

Series 2007-W7, Class 1A4, HB, IF, 38.250%, 07/25/37

    92   
  2,164     

Series 2009-W1, Class A, 6.000%, 12/25/49

    2,430   
 

Federal National Mortgage Association STRIPS,

 
  1     

Series 23, Class 2, IO, 10.000%, 09/25/17

    (h) 
  (h)   

Series 50, Class 2, IO, 10.500%, 03/25/19

    (h) 
  12     

Series 218, Class 2, IO, 7.500%, 04/25/23

    3   
  13     

Series 265, Class 2, 9.000%, 03/25/24

    15   
  150     

Series 329, Class 1, PO, 01/25/33

    139   
  402     

Series 339, Class 18, IO, 4.500%, 07/25/18

    25   
  575     

Series 339, Class 21, IO, 4.500%, 08/25/18

    31   
  287     

Series 339, Class 28, IO, 5.500%, 08/25/18

    20   
  201     

Series 345, Class 6, IO, VAR, 5.000%, 12/25/33

    36   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  705      

Series 351, Class 7, IO, VAR, 5.000%, 04/25/34

    111   
  584      

Series 355, Class 11, IO, 6.000%, 07/25/34

    104   
  243      

Series 355, Class 31, IO, VAR, 4.500%, 12/25/18

    15   
  1,022      

Series 365, Class 8, IO, 5.500%, 05/25/36

    177   
  127      

Series 368, Class 3, IO, 4.500%, 11/25/20

    9   
  523      

Series 374, Class 5, IO, 5.500%, 08/25/36

    90   
  274      

Series 383, Class 32, IO, 6.000%, 01/25/38

    51   
  723      

Series 383, Class 33, IO, 6.000%, 01/25/38

    134   
  171      

Series 393, Class 6, IO, 5.500%, 04/25/37

    30   
  

Federal National Mortgage Association Trust,

 
  240      

Series 2004-W1, Class 2A2, 7.000%, 12/25/33

    280   
  1,002      

Series 2004-W15, Class 2AF, VAR, 0.405%, 08/25/44

    993   
  701      

Series 2004-W2, Class 2A2, 7.000%, 02/25/44

    812   
  2,552      

Series 2005-W3, Class 2AF, VAR, 0.375%, 03/25/45

    2,547   
  884      

Series 2006-W2, Class 1AF1, VAR, 0.375%, 02/25/46

    880   
  

Government National Mortgage Association,

 
  1,375      

Series 1994-7, Class PQ, 6.500%, 10/16/24

    1,573   
  939      

Series 1999-4, Class ZB, 6.000%, 02/20/29

    1,052   
  964      

Series 1999-10, Class ZC, 6.500%, 04/20/29

    1,084   
  90      

Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29

    24   
  197      

Series 1999-40, Class ZW, 7.500%, 11/20/29

    229   
  277      

Series 1999-41, Class Z, 8.000%, 11/16/29

    328   
  136      

Series 2000-9, Class Z, 8.000%, 06/20/30

    162   
  1,303      

Series 2000-9, Class ZJ, 8.500%, 02/16/30

    1,554   
  229      

Series 2000-12, Class ST, HB, IF, 38.721%, 02/16/30

    415   
  1,777      

Series 2000-21, Class Z, 9.000%, 03/16/30

    2,124   
  13      

Series 2000-30, Class ST, IF, 11.050%, 12/16/22

    15   
  262      

Series 2000-31, Class Z, 9.000%, 10/20/30

    302   
  151      

Series 2000-35, Class ZA, 9.000%, 11/20/30

    161   
  21      

Series 2000-36, Class IK, IO, 9.000%, 11/16/30

    4   
  110      

Series 2001-6, Class SD, IF, IO, 8.395%, 03/16/31

    32   
  211      

Series 2001-7, Class PK, 6.500%, 03/20/31

    238   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
  

Agency CMO — continued

 
  180      

Series 2001-35, Class SA, IF, IO, 8.095%, 08/16/31

    49   
  148      

Series 2001-36, Class S, IF, IO, 7.895%, 08/16/31

    39   
  771      

Series 2001-64, Class MQ, 6.500%, 12/20/31

    888   
  198      

Series 2002-3, Class SP, IF, IO, 7.235%, 01/16/32

    58   
  255      

Series 2002-7, Class PG, 6.500%, 01/20/32

    289   
  788      

Series 2002-24, Class AG, IF, IO, 7.795%, 04/16/32

    182   
  71      

Series 2002-24, Class SB, IF, 11.692%, 04/16/32

    90   
  1,706      

Series 2002-31, Class SE, IF, IO, 7.345%, 04/16/30

    372   
  493      

Series 2002-40, Class UK, 6.500%, 06/20/32

    562   
  27      

Series 2002-41, Class SV, IF, 9.000%, 06/16/32

    33   
  1,872      

Series 2002-45, Class QE, 6.500%, 06/20/32

    2,136   
  633      

Series 2002-47, Class PG, 6.500%, 07/16/32

    725   
  1,198      

Series 2002-47, Class ZA, 6.500%, 07/20/32

    1,367   
  1,019      

Series 2002-52, Class GH, 6.500%, 07/20/32

    1,178   
  444      

Series 2002-70, Class PS, IF, IO, 7.544%, 08/20/32

    37   
  949      

Series 2002-75, Class PB, 6.000%, 11/20/32

    1,123   
  831      

Series 2003-11, Class SK, IF, IO, 7.545%, 02/16/33

    198   
  345      

Series 2003-12, Class SP, IF, IO, 7.544%, 02/20/33

    97   
  74      

Series 2003-24, Class PO, PO, 03/16/33

    63   
  1,319      

Series 2003-40, Class TJ, 6.500%, 03/20/33

    1,538   
  753      

Series 2003-46, Class MG, 6.500%, 05/20/33

    885   
  937      

Series 2003-46, Class TC, 6.500%, 03/20/33

    1,063   
  320      

Series 2003-52, Class AP, PO, 06/16/33

    295   
  1,707      

Series 2003-58, Class BE, 6.500%, 01/20/33

    1,941   
  93      

Series 2003-90, Class PO, PO, 10/20/33

    85   
  1,112      

Series 2003-112, Class SA, IF, IO, 6.395%, 12/16/33

    235   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         23   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  918      

Series 2003-112, Class TS, IF, IO, 6.795%, 10/20/32

    54   
  3,161      

Series 2004-11, Class SW, IF, IO, 5.344%, 02/20/34

    427   
  78      

Series 2004-15, Class SA, IF, 19.235%, 12/20/32

    83   
  423      

Series 2004-28, Class S, IF, 19.236%, 04/16/34

    590   
  16      

Series 2004-68, Class PO, PO, 05/20/31

    16   
  162      

Series 2004-73, Class AE, IF, 14.535%, 08/17/34

    206   
  1,778      

Series 2004-90, Class SI, IF, IO, 5.945%, 10/20/34

    270   
  1,216      

Series 2005-3, Class SB, IF, IO, 5.945%, 01/20/35

    177   
  3,100      

Series 2005-17, Class SL, IF, IO, 6.545%, 07/20/34

    554   
  318      

Series 2005-35, Class FL, VAR, 0.506%, 03/20/32

    318   
  65      

Series 2005-39, Class KI, IO, 5.500%, 03/20/34

    2   
  3,143      

Series 2005-58, Class NI, IO, 5.500%, 08/20/35

    587   
  320      

Series 2005-68, Class DP, IF, 16.060%, 06/17/35

    425   
  4,403      

Series 2005-68, Class KI, IF, IO, 6.145%, 09/20/35

    651   
  527      

Series 2005-69, Class SY, IF, IO, 6.595%, 11/20/33

    78   
  570      

Series 2005-91, Class PI, IO, 6.000%, 12/20/35

    114   
  294      

Series 2006-16, Class OP, PO, 03/20/36

    278   
  827      

Series 2006-38, Class SW, IF, IO, 6.345%, 06/20/36

    89   
  959      

Series 2006-59, Class SD, IF, IO, 6.545%, 10/20/36

    155   
  1,608      

Series 2006-65, Class SA, IF, IO, 6.644%, 11/20/36

    261   
  1,025      

Series 2007-9, Class DI, IF, IO, 6.355%, 03/20/37

    142   
  2,384      

Series 2007-17, Class JI, IF, IO, 6.655%, 04/16/37

    382   
  256      

Series 2007-17, Class JO, PO, 04/16/37

    228   
  1,434      

Series 2007-19, Class SD, IF, IO, 6.045%, 04/20/37

    223   
  1,410      

Series 2007-26, Class SC, IF, IO, 6.045%, 05/20/37

    212   
  1,095      

Series 2007-27, Class SA, IF, IO, 6.045%, 05/20/37

    167   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
  

Agency CMO — continued

 
  339      

Series 2007-28, Class BO, PO, 05/20/37

    315   
  905      

Series 2007-36, Class SE, IF, IO, 6.315%, 06/16/37

    147   
  2,543      

Series 2007-40, Class SB, IF, IO, 6.595%, 07/20/37

    362   
  1,521      

Series 2007-42, Class SB, IF, IO, 6.595%, 07/20/37

    220   
  2,500      

Series 2007-47, Class PH, 6.000%, 07/16/37

    2,993   
  1,090      

Series 2007-50, Class AI, IF, IO, 6.620%, 08/20/37

    173   
  156      

Series 2007-53, Class SW, IF, 19.738%, 09/20/37

    213   
  705      

Series 2007-57, Class PO, PO, 03/20/37

    672   
  864      

Series 2007-57, Class QA, IF, IO, 6.345%, 10/20/37

    119   
  899      

Series 2007-71, Class SB, IF, IO, 6.545%, 07/20/36

    70   
  804      

Series 2007-72, Class US, IF, IO, 6.395%, 11/20/37

    108   
  819      

Series 2007-73, Class MI, IF, IO, 5.844%, 11/20/37

    112   
  1,587      

Series 2007-76, Class SA, IF, IO, 6.374%, 11/20/37

    235   
  832      

Series 2007-79, Class SY, IF, IO, 6.395%, 12/20/37

    115   
  520      

Series 2007-81, Class SP, IF, IO, 6.495%, 12/20/37

    74   
  936      

Series 2007-82, Class SA, IF, IO, 6.374%, 12/20/37

    130   
  459      

Series 2008-2, Class MS, IF, IO, 7.005%, 01/16/38

    83   
  1,531      

Series 2008-2, Class NS, IF, IO, 6.385%, 01/16/38

    253   
  890      

Series 2008-10, Class S, IF, IO, 5.675%, 02/20/38

    123   
  83      

Series 2008-23, Class IO, IO, 6.000%, 02/20/37

    1   
  647      

Series 2008-25, Class SB, IF, IO, 6.744%, 03/20/38

    101   
  649      

Series 2008-32, Class PI, IO, 5.500%, 10/16/37

    85   
  1,242      

Series 2008-36, Class SH, IF, IO, 6.145%, 04/20/38

    157   
  6,316      

Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38

    1,141   
  1,209      

Series 2008-41, Class SA, IF, IO, 6.185%, 05/20/38

    189   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  774      

Series 2008-55, Class SA, IF, IO, 6.045%, 06/20/38

    108   
  252      

Series 2008-60, Class PO, PO, 01/20/38

    249   
  669      

Series 2008-65, Class ME, 5.750%, 09/20/37

    682   
  410      

Series 2008-71, Class SC, IF, IO, 5.844%, 08/20/38

    51   
  899      

Series 2008-93, Class AS, IF, IO, 5.545%, 12/20/38

    116   
  1,303      

Series 2009-6, Class SA, IF, IO, 5.945%, 02/16/39

    196   
  864      

Series 2009-10, Class SL, IF, IO, 6.345%, 03/16/34

    64   
  2,466      

Series 2009-12, Class IE, IO, 5.500%, 03/20/39

    438   
  907      

Series 2009-14, Class KI, IO, 6.500%, 03/20/39

    185   
  828      

Series 2009-14, Class NI, IO, 6.500%, 03/20/39

    171   
  2,343      

Series 2009-22, Class SA, IF, IO, 6.114%, 04/20/39

    282   
  656      

Series 2009-25, Class SE, IF, IO, 7.445%, 09/20/38

    117   
  555      

Series 2009-33, Class CI, IO, 5.500%, 05/20/39

    97   
  548      

Series 2009-33, Class TI, IO, 6.000%, 05/20/39

    104   
  970      

Series 2009-43, Class SA, IF, IO, 5.794%, 06/20/39

    135   
  815      

Series 2009-65, Class IQ, IO, 6.000%, 12/20/38

    115   
  2,078      

Series 2009-72, Class SM, IF, IO, 6.095%, 08/16/39

    307   
  456      

Series 2009-79, Class OK, PO, 11/16/37

    426   
  688      

Series 2010-14, Class CO, PO, 08/20/35

    652   
  516      

Series 2010-130, Class CP, 7.000%, 10/16/40

    606   
  3,735      

Series 2010-157, Class OP, PO, 12/20/40

    3,025   
  3,699      

Series 2010-H17, Class XQ, VAR, 5.241%, 07/20/60

    4,131   
  1,196      

Series 2011-22, Class WA, VAR, 5.967%, 02/20/37

    1,335   
  2,501      

Series 2011-75, Class SM, IF, IO, 6.445%, 05/20/41

    458   
  3,069      

Series 2012-61, Class FM, VAR, 0.555%, 05/16/42

    3,091   
  898      

Series 2012-141, Class WC, VAR, 3.757%, 01/20/42

    938   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
  

Agency CMO — continued

 
  4,456      

Series 2012-H10, Class FA, VAR, 0.706%, 12/20/61

    4,465   
  2,483      

Series 2012-H15, Class FA, VAR, 0.606%, 05/20/62

    2,485   
  3,388      

Series 2012-H21, Class CF, VAR, 0.856%, 05/20/61

    3,410   
  2,925      

Series 2012-H21, Class DF, VAR, 0.805%, 05/20/61

    2,934   
  4,789      

Series 2012-H22, Class FD, VAR, 0.625%, 01/20/61

    4,794   
  1,537      

Series 2012-H24, Class FA, VAR, 0.606%, 03/20/60

    1,538   
  3,361      

Series 2012-H24, Class FG, VAR, 0.585%, 04/20/60

    3,363   
  1,939      

Series 2012-H26, Class MA, VAR, 0.706%, 07/20/62

    1,945   
  2,749      

Series 2012-H28, Class FA, VAR, 0.736%, 09/20/62

    2,752   
  3,853      

Series 2012-H30, Class PA, VAR, 0.601%, 11/20/59

    3,856   
  2,148      

Series 2012-H31, Class FD, VAR, 0.496%, 12/20/62

    2,133   
  4,122      

Series 2013-54, Class WA, VAR, 4.709%, 11/20/42

    4,467   
  3,263      

Series 2013-75, Class WA, VAR, 5.233%, 06/20/40

    3,685   
  1,696      

Series 2013-91, Class WA, VAR, 4.519%, 04/20/43

    1,823   
  1,300      

Series 2013-116, Class JY, 4.000%, 08/16/43

    1,371   
  3,078      

Series 2013-H01, Class FA, 1.650%, 01/20/63

    3,050   
  1,507      

Series 2013-H03, Class FA, VAR, 0.455%, 08/20/60

    1,505   
  1,510      

Series 2013-H04, Class BA, 1.650%, 02/20/63

    1,495   
  4,859      

Series 2013-H05, Class FB, VAR, 0.556%, 02/20/62

    4,860   
  1,869      

Series 2013-H07, Class HA, VAR, 0.566%, 03/20/63

    1,860   
  9,957      

Series 2013-H07, Class JA, 1.750%, 03/20/63

    9,891   
  1,781      

Series 2013-H08, Class FC, VAR, 0.606%, 02/20/63

    1,776   
  1,983      

Series 2013-H09, Class HA, 1.650%, 04/20/63

    1,962   
  4,330      

Series 2013-H18, Class JA, VAR, 0.755%, 08/20/63

    4,349   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         25   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

 
  1,969      

Series 2014-H01, Class FD, VAR, 0.805%, 01/20/64

    1,983   
  

Vendee Mortgage Trust,

 
  483      

Series 1994-1, Class 1, VAR, 5.576%, 02/15/24

    529   
  764      

Series 1994-1, Class 2ZB, 6.500%, 02/15/24

    837   
  691      

Series 1996-1, Class 1Z, 6.750%, 02/15/26

    791   
  554      

Series 1996-2, Class 1Z, 6.750%, 06/15/26

    640   
  964      

Series 1997-1, Class 2Z, 7.500%, 02/15/27

    1,137   
  1,156      

Series 1998-1, Class 2E, 7.000%, 03/15/28

    1,344   
  2,189      

Series 1999-1, Class 2Z, 6.500%, 01/15/29

    2,489   
  5,987      

Series 2003-2, Class Z, 5.000%, 05/15/33

    6,780   
    

 

 

 
       618,945   
    

 

 

 
  

Non-Agency CMO — 7.0%

 
  123      

AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.370%, 02/02/37 (e)

    121   
  

AJAX Mortgage Loan Trust,

 
  2,478      

Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e) (i)

    2,454   
  2,833      

Series 2013-C, Class A, SUB, 4.500%, 03/25/35 (e) (i)

    2,865   
  

Alternative Loan Trust,

 
  13,673      

Series 2004-2CB, Class 1A9, 5.750%, 03/25/34

    14,008   
  36      

Series 2004-18CB, Class 2A4, 5.700%, 09/25/34

    36   
  1,908      

Series 2005-1CB, Class 1A6, IF, IO, 6.945%, 03/25/35

    405   
  4,714      

Series 2005-20CB, Class 3A8, IF, IO, 4.595%, 07/25/35

    570   
  7,994      

Series 2005-22T1, Class A2, IF, IO, 4.915%, 06/25/35

    1,074   
  4,830      

Series 2005-28CB, Class 1A4, 5.500%, 08/25/35

    4,620   
  167      

Series 2005-28CB, Class 3A5, 6.000%, 08/25/35

    140   
  6,484      

Series 2005-37T1, Class A2, IF, IO, 4.895%, 09/25/35

    910   
  4,238      

Series 2005-54CB, Class 1A11, 5.500%, 11/25/35

    3,915   
  10,657      

Series 2005-54CB, Class 1A2, IF, IO, 4.695%, 11/25/35

    1,266   
  2,638      

Series 2005-57CB, Class 3A2, IF, IO, 4.945%, 12/25/35

    369   
  1,582      

Series 2005-64CB, Class 1A9, 5.500%, 12/25/35

    1,485   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Non-Agency CMO — continued

 
  5,930     

Series 2005-J1, Class 1A4, IF, IO, 4.945%, 02/25/35

    563   
  2,340     

Series 2006-26CB, Class A9, 6.500%, 09/25/36

    2,063   
 

American General Mortgage Loan Trust,

 
  142     

Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)

    141   
  (h)   

Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)

    (h) 
  718     

Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)

    724   
  1,140     

Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)

    1,171   
  473     

Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)

    491   
 

ASG Resecuritization Trust,

 
  632     

Series 2009-1, Class A60, VAR, 2.056%, 06/26/37 (e)

    623   
  246     

Series 2009-2, Class A55, VAR, 4.872%, 05/24/36 (e)

    246   
  1,000     

Series 2009-2, Class G60, VAR, 4.872%, 05/24/36 (e)

    1,015   
  3,047     

Series 2009-3, Class A65, VAR, 2.066%, 03/26/37 (e)

    3,043   
  1,699     

Series 2009-4, Class A60, 6.000%, 06/28/37 (e)

    1,726   
  725     

Series 2010-2, Class A60, VAR, 1.841%, 01/28/37 (e)

    714   
  810     

Series 2011-1, Class 3A50, VAR, 2.563%, 11/28/35 (e)

    794   
 

Banc of America Alternative Loan Trust,

 
  169     

Series 2003-2, Class PO, PO, 04/25/33

    141   
  148     

Series 2003-9, Class 1CB2, 5.500%, 11/25/33

    151   
  294     

Series 2003-11, Class PO, PO, 01/25/34

    247   
  143     

Series 2004-6, Class 15PO, PO, 07/25/19

    135   
  1,445     

Series 2005-5, Class 1CB1, 5.500%, 06/25/35

    1,366   
  3,855     

Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35

    792   
  1,199     

Series 2006-4, Class 1A4, 6.000%, 05/25/46

    803   
  2,143     

Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e) (i)

    2,127   
 

Banc of America Funding Trust,

 
  352     

Series 2004-1, Class PO, PO, 03/25/34

    280   
  513     

Series 2004-2, Class 30PO, PO, 09/20/34

    437   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Non-Agency CMO — continued

 
  266      

Series 2004-C, Class 1A1, VAR, 5.045%, 12/20/34

    264   
  783      

Series 2005-6, Class 2A7, 5.500%, 10/25/35

    785   
  520      

Series 2005-7, Class 30PO, PO, 11/25/35

    390   
  345      

Series 2005-8, Class 30PO, PO, 01/25/36

    265   
  1,428      

Series 2005-E, Class 4A1, VAR, 2.683%, 03/20/35

    1,431   
  577      

Series 2006-A, Class 3A2, VAR, 2.740%, 02/20/36

    468   
  446      

Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)

    455   
  

Banc of America Mortgage Trust,

 
  109      

Series 2003-3, Class 2A1, VAR, 0.705%, 05/25/18

    105   
  99      

Series 2003-6, Class 2A1, VAR, 0.605%, 08/25/18

    97   
  42      

Series 2003-7, Class A2, 4.750%, 09/25/18

    43   
  142      

Series 2003-8, Class APO, PO, 11/25/33

    114   
  903      

Series 2004-3, Class 15IO, IO, VAR, 0.045%, 04/25/19

    4   
  59      

Series 2004-4, Class APO, PO, 05/25/34

    51   
  994      

Series 2004-5, Class 2A2, 5.500%, 06/25/34

    1,014   
  473      

Series 2004-6, Class 2A5, PO, 07/25/34

    393   
  266      

Series 2004-6, Class APO, PO, 07/25/34

    240   
  30      

Series 2004-8, Class 5PO, PO, 05/25/32

    27   
  35      

Series 2004-8, Class XPO, PO, 10/25/34

    31   
  263      

Series 2004-A, Class 2A2, VAR, 2.679%, 02/25/34

    264   
  1,033      

Series 2004-J, Class 3A1, VAR, 2.913%, 11/25/34

    1,034   
  1,004      

Series 2005-10, Class 1A6, 5.500%, 11/25/35

    990   
  

BCAP LLC Trust,

 
  374      

Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)

    388   
  484      

Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)

    500   
  659      

Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)

    665   
  196      

Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e)

    199   
  610      

Series 2010-RR6, Class 22A3, VAR, 4.370%, 06/26/36 (e)

    621   
  427      

Series 2010-RR7, Class 16A1, VAR, 0.818%, 02/26/47 (e)

    424   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Non-Agency CMO — continued

 
  216      

Series 2010-RR7, Class 1A5, VAR, 4.924%, 04/26/35 (e)

    215   
  1,996      

Series 2010-RR7, Class 2A1, VAR, 2.073%, 07/26/45 (e)

    2,006   
  263      

Series 2010-RR8, Class 3A3, VAR, 5.067%, 05/26/35 (e)

    267   
  1,500      

Series 2010-RR8, Class 3A4, VAR, 5.067%, 05/26/35 (e)

    1,418   
  866      

Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)

    878   
  2,001      

Series 2011-RR10, Class 2A1, VAR, 1.007%, 09/26/37 (e)

    1,835   
  1,806      

Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e)

    1,833   
  1,640      

Series 2011-RR5, Class 11A3, VAR, 0.305%, 05/28/36 (e)

    1,610   
  369      

Series 2011-RR5, Class 14A3, VAR, 2.501%, 07/26/36 (e)

    367   
  1,202      

Series 2012-RR10, Class 3A1, VAR, 0.345%, 05/26/36 (e)

    1,138   
  1,342      

Series 2012-RR2, Class 1A1, VAR, 0.325%, 08/26/36 (e)

    1,309   
  1,085      

Series 2012-RR3, Class 2A5, VAR, 2.079%, 05/26/37 (e)

    1,087   
  

Bear Stearns ARM Trust,

 
  168      

Series 2003-7, Class 3A, VAR, 2.423%, 10/25/33

    169   
  743      

Series 2004-1, Class 12A1, VAR, 2.707%, 04/25/34

    745   
  163      

Series 2004-2, Class 14A, VAR, 3.035%, 05/25/34

    164   
  1,636      

Series 2005-5, Class A1, VAR, 2.180%, 08/25/35

    1,658   
  3,912      

Series 2006-1, Class A1, VAR, 2.369%, 02/25/36

    3,938   
  

CAM Mortgage Trust,

 
  147      

Series 2014-1, Class A, SUB, 3.352%, 12/15/53 (e)

    148   
  1,251      

Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e)

    1,251   
  

CHL Mortgage Pass-Through Trust,

 
  201      

Series 2003-J7, Class 4A3, IF, 9.572%, 08/25/18

    210   
  536      

Series 2004-7, Class 2A1, VAR, 2.469%, 06/25/34

    529   
  310      

Series 2004-8, Class 2A1, 4.500%, 06/25/19

    320   
  207      

Series 2004-HYB1, Class 2A, VAR, 2.557%, 05/20/34

    198   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         27   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Collateralized Mortgage Obligations — continued

  

  

Non-Agency CMO — continued

 
  750      

Series 2004-HYB3, Class 2A, VAR, 2.329%, 06/20/34

    721   
  646      

Series 2004-HYB6, Class A3, VAR, 2.479%, 11/20/34

    623   
  267      

Series 2004-J8, Class 1A2, 4.750%, 11/25/19

    274   
  1,354      

Series 2005-16, Class A23, 5.500%, 09/25/35

    1,264   
  3,367      

Series 2005-22, Class 2A1, VAR, 2.554%, 11/25/35

    2,870   
  

Citicorp Mortgage Securities REMIC Pass- Through Certificates Trust,

 
  148      

Series 2005-5, Class APO, PO, 08/25/35

    131   
  142      

Series 2005-8, Class APO, PO, 11/25/35

    114   
  

Citigroup Mortgage Loan Trust,

 
  1,240      

Series 2008-AR4, Class 1A1A, VAR, 2.734%, 11/25/38 (e)

    1,245   
  530      

Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)

    553   
  4,278      

Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)

    4,406   
  4,593      

Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)

    4,724   
  

Citigroup Mortgage Loan Trust, Inc.,

 
  289      

Series 2003-1, Class 2A5, 5.250%, 10/25/33

    295   
  150      

Series 2003-1, Class 2A6, PO, 10/25/33

    128   
  102      

Series 2003-1, Class PO2, PO, 10/25/33

    92   
  111      

Series 2003-1, Class PO3, PO, 09/25/33

    99   
  113      

Series 2003-UP3, Class A3, 7.000%, 09/25/33

    117   
  175      

Series 2003-UST1, Class A1, 5.500%, 12/25/18

    180   
  33      

Series 2003-UST1, Class PO1, PO, 12/25/18

    31   
  33      

Series 2003-UST1, Class PO3, PO, 12/25/18

    33   
  161      

Series 2004-UST1, Class A6, VAR, 2.616%, 08/25/34

    156   
  419      

Series 2005-1, Class 2A1A, VAR, 2.674%, 04/25/35

    323   
  504      

Series 2005-2, Class 2A11, 5.500%, 05/25/35

    527   
  525      

Series 2005-5, Class 1A2, VAR, 2.832%, 08/25/35

    388   
  471      

Series 2012-A, Class A, 2.500%, 06/25/51 (e) (i)

    457   
  

Credit Suisse First Boston Mortgage Securities Corp.,

 
  634      

Series 2003-1, Class DB1, VAR, 6.685%, 02/25/33

    642   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
  

Non-Agency CMO — continued

 
  107      

Series 2003-17, Class 2A1, 5.000%, 07/25/18

    110   
  374      

Series 2003-21, Class 1A4, 5.250%, 09/25/33

    386   
  523      

Series 2003-25, Class 1P, PO, 10/25/33

    453   
  32      

Series 2004-5, Class 5P, PO, 08/25/19

    32   
  2,143      

Series 2005-4, Class 3A18, 5.500%, 06/25/35

    2,165   
  2,384      

Series 2005-4, Class 3A23, 5.500%, 06/25/35

    2,367   
  

CSMC,

 
  849      

Series 2011-9R, Class A1, VAR, 2.155%, 03/27/46 (e)

    852   
  1,644      

Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)

    1,661   
  

CSMC Trust,

 
  627      

Series 2010-16, Class A3, VAR, 3.519%, 06/25/50 (e)

    639   
  8,315      

Series 2010-11R, Class A6, VAR, 1.156%, 06/28/47 (e)

    7,965   
  475      

Series 2011-1R, Class A1, VAR, 1.155%, 02/27/47 (e)

    475   
  805      

Series 2011-6R, Class 3A1, VAR, 2.616%, 07/28/36 (e)

    810   
  766      

Series 2012-3R, Class 1A1, VAR, 2.357%, 07/27/37 (e)

    763   
  70      

Deutsche Mortgage Securities, Inc., Mortgage Loan Resecuritization Trust, Series 2009-RS2, Class 4A1, VAR, 0.282%, 04/26/37 (e)

    69   
  590      

FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)

    596   
  4      

First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17

    4   
  

First Horizon Alternative Mortgage Securities Trust,

 
  1,134      

Series 2004-AA4, Class A1, VAR, 2.233%, 10/25/34

    1,132   
  1,666      

Series 2005-FA8, Class 1A19, 5.500%, 11/25/35

    1,475   
  2,834      

Series 2007-FA4, Class 1A2, IF, IO, 5.495%, 08/25/37

    564   
  

First Horizon Mortgage Pass-Through Trust,

 
  695      

Series 2004-AR2, Class 2A1, VAR, 2.628%, 05/25/34

    695   
  1,491      

Series 2005-AR1, Class 2A2, VAR, 2.575%, 04/25/35

    1,498   
  282      

Freedom Trust, Series 2011-4, Class A18, VAR, 5.000%, 03/25/37 (e)

    284   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Collateralized Mortgage Obligations — continued  
       Non-Agency CMO — continued  
  

GMACM Mortgage Loan Trust,

 
  609      

Series 2003-AR1, Class A4, VAR, 2.911%, 10/19/33

    607   
  294      

Series 2004-J5, Class A7, 6.500%, 01/25/35

    308   
  116      

Series 2004-J6, Class 1A1, 5.000%, 01/25/20

    120   
  4,605      

Series 2005-AR3, Class 3A4, VAR, 2.800%, 06/19/35

    4,570   
  

GSMPS Mortgage Loan Trust,

 
  935      

Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)

    981   
  1,358      

Series 2005-RP3, Class 1AF, VAR, 0.505%, 09/25/35 (e)

    1,161   
  1,026      

Series 2005-RP3, Class 1AS, IO, VAR, 4.823%, 09/25/35 (e)

    141   
  4,522      

Series 2006-RP2, Class 1AS2, IF, IO, 5.893%, 04/25/36 (e)

    580   
  

GSR Mortgage Loan Trust,

 
  662      

Series 2004-6F, Class 3A4, 6.500%, 05/25/34

    711   
  634      

Series 2004-8F, Class 2A3, 6.000%, 09/25/34

    660   
  652      

Series 2004-13F, Class 3A3, 6.000%, 11/25/34

    645   
  293      

Series 2005-4F, Class AP, PO, 05/25/35

    264   
  2,736      

Series 2005-7F, Class 3A9, 6.000%, 09/25/35

    2,837   
  3,348      

Series 2006-1F, Class 2A4, 6.000%, 02/25/36

    3,067   
  2,880      

Series 2007-1F, Class 2A4, 5.500%, 01/25/37

    2,883   
  3,783      

Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.000%, 05/26/53 (e) (i)

    3,703   
  312      

Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.455%, 05/25/35

    312   
  

Impac Secured Assets Trust,

 
  650      

Series 2006-1, Class 2A1, VAR, 0.505%, 05/25/36

    645   
  763      

Series 2006-2, Class 2A1, VAR, 0.505%, 08/25/36

    752   
  14,765      

IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35

    5   
  

JP Morgan Mortgage Trust,

 
  1,406      

Series 2006-A2, Class 4A1, VAR, 2.495%, 08/25/34

    1,405   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Non-Agency CMO — continued  
  1,935      

Series 2006-A2, Class 5A3, VAR, 2.518%, 11/25/33

    1,932   
  349      

Series 2006-A3, Class 6A1, VAR, 3.128%, 08/25/34

    353   
  427      

JP Morgan Resecuritization Trust, Series

 
  

2009-6, Class 4A1, VAR, 2.528%, 09/26/36 (e)

    431   
  

Lehman Mortgage Trust,

 
  666      

Series 2006-2, Class 1A1, VAR, 6.127%, 04/25/36

    631   
  1,258      

Series 2008-2, Class 1A6, 6.000%, 03/25/38

    1,137   
  1,000      

LVII Resecuritization Trust, Series 2009-3, Class M3, VAR, 5.180%, 11/27/37 (e)

    1,011   
  

MASTR Adjustable Rate Mortgages Trust,

 
  86      

Series 2004-4, Class 2A1, VAR, 1.933%, 05/25/34

    78   
  795      

Series 2004-13, Class 2A1, VAR, 2.642%, 04/21/34

    804   
  1,902      

Series 2004-13, Class 3A7, VAR, 2.636%, 11/21/34

    1,940   
  388      

Series 2004-15, Class 3A1, VAR, 2.893%, 12/25/34

    391   
  

MASTR Alternative Loan Trust,

 
  209      

Series 2003-3, Class 1A1, 6.500%, 05/25/33

    221   
  543      

Series 2003-9, Class 8A1, 6.000%, 01/25/34

    544   
  629      

Series 2004-3, Class 2A1, 6.250%, 04/25/34

    665   
  901      

Series 2004-4, Class 10A1, 5.000%, 05/25/24

    953   
  469      

Series 2004-6, Class 30PO, PO, 07/25/34

    367   
  683      

Series 2004-6, Class 7A1, 6.000%, 07/25/34

    695   
  324      

Series 2004-7, Class 30PO, PO, 08/25/34

    259   
  1,172      

Series 2004-8, Class 6A1, 5.500%, 09/25/19

    1,215   
  178      

Series 2004-10, Class 1A1, 4.500%, 09/25/19

    182   
  

MASTR Asset Securitization Trust,

 
  52      

Series 2003-2, Class 2A1, 4.500%, 03/25/18

    52   
  18      

Series 2003-3, Class 4A1, 5.000%, 04/25/18

    18   
  82      

Series 2003-4, Class 3A2, 5.000%, 05/25/18

    83   
  115      

Series 2003-12, Class 30PO, PO, 12/25/33

    104   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         29   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Collateralized Mortgage Obligations — continued  
       Non-Agency CMO — continued  
  85      

Series 2004-1, Class 30PO, PO, 02/25/34

    74   
  28      

Series 2004-4, Class 3A1, 4.500%, 04/25/19

    28   
  49      

Series 2004-6, Class 15PO, PO, 07/25/19

    48   
  70      

Series 2004-8, Class 1A1, 4.750%, 08/25/19

    72   
  31      

Series 2004-8, Class PO, PO, 08/25/19

    28   
  2,669      

MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.505%, 05/25/35 (e)

    2,202   
  1,090      

MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)

    872   
  

Merrill Lynch Mortgage Investors Trust,

 
  344      

Series 2003-E, Class A1, VAR, 0.775%, 10/25/28

    341   
  810      

Series 2004-1, Class 2A1, VAR, 2.147%, 12/25/34

    794   
  619      

Series 2004-A, Class A1, VAR, 0.615%, 04/25/29

    596   
  29      

ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20

    31   
  646      

MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.475%, 02/25/35

    633   
  492      

NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)

    502   
  

Nomura Asset Acceptance Corp. Alternative Loan Trust,

 
  260      

Series 2003-A1, Class A1, 5.500%, 05/25/33

    268   
  116      

Series 2003-A1, Class A2, 6.000%, 05/25/33

    120   
  47      

Series 2003-A1, Class A5, 7.000%, 04/25/33

    49   
  6      

Series 2003-A1, Class A7, 5.000%, 04/25/18

    6   
  

PaineWebber CMO Trust,

 
  1      

Series H, Class 4, 8.750%, 04/01/18

    1   
  8      

Series P, Class 4, 8.500%, 08/01/19

    8   
  318      

Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.495%, 05/25/35

    324   
  

RALI Trust,

 
  87      

Series 2002-QS16, Class A3, IF, 16.299%, 10/25/17

    90   
  276      

Series 2002-QS8, Class A5, 6.250%, 06/25/17

    280   
  4,482      

Series 2003-QR19, Class CB4, 5.750%, 10/25/33

    4,664   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Non-Agency CMO — continued  
  589      

Series 2003-QS12, Class A2A, IF, IO, 7.445%, 06/25/18

    62   
  179      

Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18

    13   
  1,260      

Series 2003-QS14, Class A1, 5.000%, 07/25/18

    1,281   
  403      

Series 2003-QS18, Class A1, 5.000%, 09/25/18

    413   
  1,512      

Series 2003-QS19, Class A1, 5.750%, 10/25/33

    1,594   
  232      

Series 2003-QS3, Class A2, IF, 16.159%, 02/25/18

    261   
  78      

Series 2003-QS3, Class A8, IF, IO, 7.445%, 02/25/18

    2   
  577      

Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18

    61   
  2,159      

Series 2004-QA6, Class NB2, VAR, 2.961%, 12/26/34

    1,807   
  

RBSSP Resecuritization Trust,

 
  441      

Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)

    468   
  8      

Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)

    8   
  549      

Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)

    562   
  794      

Series 2009-12, Class 1A1, VAR, 5.860%, 11/25/33 (e)

    839   
  776      

Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)

    789   
  145      

Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)

    146   
  

Residential Asset Securitization Trust,

 
  333      

Series 2003-A13, Class A3, 5.500%, 01/25/34

    343   
  26      

Series 2003-A14, Class A1, 4.750%, 02/25/19

    27   
  2,935      

Series 2005-A2, Class A4, IF, IO, 4.895%, 03/25/35

    412   
  763      

Series 2006-A4, Class 2A5, 6.000%, 05/25/36

    705   
  

RFMSI Trust,

 
  464      

Series 2003-S13, Class A3, 5.500%, 06/25/33

    466   
  98      

Series 2003-S14, Class A4, PO, 07/25/18

    97   
  203      

Series 2004-S3, Class A1, 4.750%, 03/25/19

    207   
  459      

Series 2004-S6, Class 2A6, PO, 06/25/34

    393   
  97      

Series 2004-S9, Class 2A1, 4.750%, 12/25/19

    98   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Collateralized Mortgage Obligations — continued  
       Non-Agency CMO — continued  
  798      

Series 2005-SA4, Class 1A1, VAR, 2.669%, 09/25/35

    670   
  19      

RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33

    17   
  

Salomon Brothers Mortgage Securities VII, Inc.,

 
  290      

Series 2003-HYB1, Class A, VAR, 2.612%, 09/25/33

    296   
  39      

Series 2003-UP2, Class PO1, PO, 12/25/18

    35   
  

Springleaf Mortgage Loan Trust,

 
  1,283      

Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)

    1,334   
  2,100      

Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)

    2,200   
  1,600      

Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e)

    1,706   
  2,000      

Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e)

    2,091   
  2,704      

Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)

    2,703   
  1,130      

Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)

    1,130   
  589      

Series 2012-3A, Class M2, VAR, 3.560%, 12/25/59 (e)

    598   
  455      

Series 2012-3A, Class M3, VAR, 4.440%, 12/25/59 (e)

    466   
  267      

Series 2012-3A, Class M4, VAR, 5.300%, 12/25/59 (e)

    275   
  2,161      

Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)

    2,154   
  1,116      

Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e)

    1,092   
  900      

Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e)

    895   
  634      

Series 2013-1A, Class M3, VAR, 3.790%, 06/25/58 (e)

    639   
  3,414      

Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)

    3,409   
  1,058      

Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)

    1,080   
  849      

Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)

    847   
  2,131      

Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)

    2,147   
  3,500      

Station Place Securitization Trust, Series 2013-1, Class A, VAR, 1.377%, 02/25/15

    3,500   
  941      

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 2.371%, 06/25/34

    936   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Non-Agency CMO — continued  
  820      

Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 0.486%, 10/19/34

    780   
  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates,

 
  909      

Series 2003-33H, Class 1A1, 5.500%, 10/25/33

    930   
  1,614      

Series 2004-5H, Class A4, 5.540%, 12/25/33

    1,660   
  

Structured Asset Securities Corp. Trust,

 
  172      

Series 2005-6, Class 4A1, 5.000%, 05/25/35

    174   
  238      

Series 2005-10, Class 5A9, 5.250%, 12/25/34

    241   
  

Thornburg Mortgage Securities Trust,

 
  491      

Series 2003-4, Class A1, VAR, 0.795%, 09/25/43

    482   
  455      

Series 2004-4, Class 3A, VAR, 2.000%, 12/25/44

    457   
  

WaMu Mortgage Pass-Through Certificates Trust,

 
  182      

Series 2003-AR8, Class A, VAR, 2.397%, 08/25/33

    188   
  2,678      

Series 2003-AR9, Class 1A6, VAR, 2.408%, 09/25/33

    2,773   
  388      

Series 2003-AR9, Class 2A, VAR, 2.442%, 09/25/33

    394   
  225      

Series 2003-S8, Class A6, 4.500%, 09/25/18

    228   
  1,460      

Series 2003-S9, Class A8, 5.250%, 10/25/33

    1,502   
  146      

Series 2003-S9, Class P, PO, 10/25/33

    113   
  236      

Series 2004-AR3, Class A1, VAR, 2.377%, 06/25/34

    241   
  197      

Series 2004-AR3, Class A2, VAR, 2.377%, 06/25/34

    202   
  2,156      

Series 2004-RS2, Class A4, 5.000%, 11/25/33

    2,209   
  299      

Series 2006-AR10, Class 2P, VAR, 2.297%, 09/25/36

    265   
  224      

Series 2006-AR12, Class 2P, VAR, 1.949%, 10/25/36

    164   
  

Washington Mutual Mortgage Pass- Through Certificates WMALT Trust,

 
  9,794      

Series 2005-2, Class 1A4, IF, IO, 4.895%, 04/25/35

    1,399   
  1,932      

Series 2005-2, Class 2A3, IF, IO, 4.845%, 04/25/35

    248   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         31   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Collateralized Mortgage Obligations — continued  
       Non-Agency CMO — continued  
  2,464      

Series 2005-3, Class CX, IO, 5.500%, 05/25/35

    519   
  3,002      

Series 2005-4, Class CB7, 5.500%, 06/25/35

    2,804   
  2,456      

Series 2005-4, Class CX, IO, 5.500%, 06/25/35

    520   
  699      

Series 2005-6, Class 2A4, 5.500%, 08/25/35

    647   
  4,476      

Series 2005-6, Class 2A9, 5.500%, 08/25/35

    4,155   
  1,919      

Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)

    1,930   
  

Wells Fargo Mortgage-Backed Securities Trust,

 
  237      

Series 2003-K, Class 1A1, VAR, 2.491%, 11/25/33

    241   
  448      

Series 2003-K, Class 1A2, VAR, 2.491%, 11/25/33

    458   
  552      

Series 2004-EE, Class 2A1, VAR, 2.612%, 12/25/34

    563   
  607      

Series 2004-EE, Class 3A1, VAR, 2.533%, 12/25/34

    616   
  2,881      

Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34

    2,945   
  577      

Series 2004-V, Class 1A1, VAR, 2.608%, 10/25/34

    584   
  273      

Series 2005-16, Class APO, PO, 01/25/36

    214   
  413      

Series 2005-AR16, Class 2A1, VAR, 2.619%, 02/25/34

    420   
  5,014      

Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35

    5,097   
  531      

Series 2005-AR8, Class 2A1, VAR, 2.600%, 06/25/35

    535   
  579      

Series 2006-2, Class APO, PO, 03/25/36

    369   
  288      

Series 2006-4, Class 1APO, PO, 04/25/36

    223   
  1,440      

Series 2007-7, Class A7, 6.000%, 06/25/37

    1,426   
  409      

Series 2007-11, Class A14, 6.000%, 08/25/37

    408   
    

 

 

 
       267,026   
    

 

 

 
  

Total Collateralized Mortgage Obligations
(Cost $836,935)

    885,971   
    

 

 

 

 

Commercial Mortgage-Backed Securities — 3.7%

  

  

A10 Securitization LLC,

 
  803      

Series 2012-1, Class A, 3.492%, 04/15/24 (e)

    805   
  1,016      

Series 2013-1, Class A, 2.400%, 11/15/25 (e)

    1,019   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  

A10 Term Asset Financing LLC,

 
  3,566      

Series 2013-2, Class A, 2.620%, 11/15/27 (e)

    3,562   
  696      

Series 2013-2, Class B, 4.380%, 11/15/27 (e)

    697   
  

ACRE Commercial Mortgage Trust, (Cayman Islands),

 
  360      

Series 2014-FL2, Class B, VAR, 2.200%, 08/15/31 (e)

    360   
  360      

Series 2014-FL2, Class C, VAR, 2.650%, 08/15/31 (e)

    359   
  560      

BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/30 (e)

    557   
  

Banc of America Commercial Mortgage Trust,

 
  385      

Series 2006-1, Class A4, VAR, 5.372%, 09/10/45

    403   
  2,195      

Series 2006-4, Class A4, 5.634%, 07/10/46

    2,329   
  915      

Series 2006-5, Class A4, 5.414%, 09/10/47

    975   
  1,500      

Series 2007-5, Class A4, 5.492%, 02/10/51

    1,620   
  

Banc of America Merrill Lynch Commercial Mortgage, Inc.,

 
  400      

Series 2005-3, Class A4, 4.668%, 07/10/43

    408   
  1,610      

Series 2005-3, Class AM, 4.727%, 07/10/43

    1,645   
  1,300      

Banc of America Re-REMIC Trust, Series 2014-520M, Class C, VAR, 4.354%, 08/15/46 (e)

    1,248   
  

BB-UBS Trust,

 
  4,400      

Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e)

    4,375   
  2,500      

Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)

    2,438   
  

Bear Stearns Commercial Mortgage Securities Trust,

 
  37,145      

Series 2005-PWR8, Class X1, IO, VAR, 0.942%, 06/11/41 (e)

    134   
  3,148      

Series 2006-PW11, Class A4, VAR, 5.600%, 03/11/39

    3,304   
  89,588      

CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.556%, 12/11/49 (e)

    685   
  900      

CGBAM Commercial Mortgage Trust, Series 2014 -HD, Class A, VAR, 0.955%, 02/15/31 (e)

    900   
  1,250      

Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43

    1,276   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
Commercial Mortgage-Backed Securities — continued  
 

COBALT CMBS Commercial Mortgage Trust,

 
  551     

Series 2006-C1, Class A4, 5.223%, 08/15/48

    587   
  17,313     

Series 2006-C1, Class IO, IO, VAR, 0.978%, 08/15/48

    279   
 

COMM Mortgage Trust,

 
  1,100     

Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43

    1,116   
  2,986     

Series 2012-CR2, Class XA, IO, VAR, 2.081%, 08/15/45

    311   
  3,500     

Series 2013-300P, Class A1, 4.353%, 08/10/30 (e)

    3,807   
  1,060     

Series 2013-SFS, Class A2, VAR, 3.086%, 04/12/35 (e)

    1,052   
  1,000     

Series 2014-TWC, Class A, VAR, 1.006%, 02/13/32 (e)

    1,000   
  300     

Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.094%, 11/17/26 (e)

    302   
 

Commercial Mortgage Trust,

 
  500     

Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42

    505   
  300     

Series 2006-GG7, Class AM, VAR, 6.014%, 07/10/38

    322   
  700     

Credit Suisse Commercial Mortgage Trust, Series 2006-C2, Class A3, VAR, 5.857%, 03/15/39

    737   
  2,018     

CSMC, Series 2014-ICE, Class A, VAR, 1.050%, 04/15/27 (e)

    2,021   
  1,183     

DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)

    1,181   
  (h)   

FDIC Guaranteed Notes Trust, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)

    (h) 
 

Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates,

 
  2,557     

Series K029, Class A2, VAR, 3.320%, 02/25/23

    2,678   
  2,500     

Series KSMC, Class A2, 2.615%, 01/25/23

    2,484   
  1,866     

GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48

    1,887   
  3,925     

GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45

    4,067   
  1,396     

GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.706%, 12/10/27 (e)

    1,412   
  488     

GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e)

    492   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  865      

GS Mortgage Securities Trust, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38

    904   
  1,000      

GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)

    1,074   
  

JP Morgan Chase Commercial Mortgage Securities Trust,

 
  1,000      

Series 2005-CB11, Class AJ, VAR, 5.568%, 08/12/37

    1,022   
  400      

Series 2006-LDP9, Class AMS, 5.337%, 05/15/47

    402   
  1,000      

Series 2007-C1, Class A4, 5.716%, 02/15/51

    1,092   
  998      

Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.985%, 02/15/36 (e)

    1,028   
  

LB-UBS Commercial Mortgage Trust,

 
  1,000      

Series 2006-C1, Class A4, 5.156%, 02/15/31

    1,040   
  39,781      

Series 2006-C7, Class XW, IO, VAR, 0.849%, 11/15/38 (e)

    507   
  300      

Series 2007-C1, Class AM, 5.455%, 02/15/40

    325   
  819      

Series 2007-C2, Class A3, 5.430%, 02/15/40

    892   
  2,834      

Merrill Lynch Mortgage Trust, Series 2005- LC1, Class A4, VAR, 5.291%, 01/12/44

    2,957   
  

ML-CFC Commercial Mortgage Trust,

 
  3,088      

Series 2006-1, Class A4, VAR, 5.651%, 02/12/39

    3,245   
  28,867      

Series 2006-4, Class XC, IO, VAR, 0.274%, 12/12/49 (e)

    325   
  2,000      

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 02/15/47

    2,094   
  

Morgan Stanley Capital I Trust,

 
  34,541      

Series 2006-IQ12, Class X1, IO, VAR, 0.679%, 12/15/43 (e)

    330   
  66,930      

Series 2007-HQ11, Class X, IO, VAR, 0.392%, 02/12/44 (e)

    280   
  764      

Series 2011-C3, Class A3, 4.054%, 07/15/49

    817   
  

Morgan Stanley Re-REMIC Trust,

 
  1,146      

Series 2012-IO, Class AXA, 1.000%, 03/27/51 (e)

    1,149   
  4,252      

Series 2012-XA, Class A, 2.000%, 07/27/49 (e)

    4,274   
  1,800      

Series 2012-XA, Class B, 0.250%, 07/27/49 (e)

    1,557   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         33   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Commercial Mortgage-Backed Securities — continued  
  

NCUA Guaranteed Notes Trust,

 
  20,500      

Series 2010-C1, Class A2, 2.900%, 10/29/20

    21,172   
  10,035      

Series 2010-C1, Class APT, 2.650%, 10/29/20

    10,208   
  

NorthStar, (Cayman Islands),

 
  2,324      

Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e)

    2,326   
  1,392      

Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e)

    1,406   
  1,667      

NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.355%, 08/25/29 (e)

    1,669   
  1,719      

ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)

    1,719   
  664      

RBS Commercial Funding, Inc. Trust, Series 2013 -SMV, Class A, 3.260%, 03/11/31 (e)

    650   
  1,414      

RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e)

    1,457   
  1,342      

TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.560%, 08/15/39

    1,353   
  2,236      

UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)

    2,258   
  

UBS-Barclays Commercial Mortgage Trust,

 
  1,053      

Series 2012-C2, Class A4, 3.525%, 05/10/63

    1,090   
  10,293      

Series 2012-C2, Class XA, IO, VAR, 1.929%, 05/10/63 (e)

    864   
  857      

Series 2013-C6, Class A4, 3.244%, 04/10/46

    865   
  

VNDO Mortgage Trust,

 
  1,398      

Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e)

    1,384   
  4,000      

Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)

    4,225   
  2,500      

Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A, VAR, 2.800%, 03/18/28 (e)

    2,502   
  1,405      

Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)

    1,406   
  

WFRBS Commercial Mortgage Trust,

 
  1,700      

Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)

    1,856   
  800      

Series 2012-C6, Class A4, 3.440%, 04/15/45

    830   
  400      

Series 2013-C11, Class D, VAR, 4.322%, 03/15/45 (e)

    381   
    

 

 

 
  

Total Commercial Mortgage-Backed Securities
(Cost $136,600)

    140,274   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Corporate Bonds — 18.8%

  

  

Consumer Discretionary — 1.3%

 
  

Auto Components — 0.1%

 
  

Johnson Controls, Inc.,

 
  591      

3.750%, 12/01/21

    618   
  675      

4.250%, 03/01/21

    729   
  173      

4.950%, 07/02/64

    179   
  1,000      

5.250%, 12/01/41

    1,098   
    

 

 

 
       2,624   
    

 

 

 
  

Automobiles — 0.1%

 
  

Daimler Finance North America LLC,

 
  421      

1.650%, 04/10/15 (e)

    424   
  532      

1.875%, 01/11/18 (e)

    536   
  981      

2.375%, 08/01/18 (e)

    1,002   
  739      

2.625%, 09/15/16 (e)

    762   
  1,425      

2.950%, 01/11/17 (e)

    1,480   
    

 

 

 
       4,204   
    

 

 

 
  

Media — 0.9%

 
  

21st Century Fox America, Inc.,

 
  100      

6.200%, 12/15/34

    124   
  400      

6.650%, 11/15/37

    512   
  250      

6.900%, 08/15/39

    331   
  1,075      

7.300%, 04/30/28

    1,360   
  505      

8.000%, 10/17/16

    578   
  430      

8.875%, 04/26/23

    582   
  

CBS Corp.,

 
  475      

3.700%, 08/15/24

    480   
  360      

4.900%, 08/15/44

    370   
  140      

5.500%, 05/15/33

    156   
  265      

5.750%, 04/15/20

    305   
  250      

Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22

    364   
  

Comcast Corp.,

 
  555      

4.200%, 08/15/34

    570   
  1,082      

4.250%, 01/15/33

    1,125   
  2,910      

5.900%, 03/15/16

    3,139   
  400      

6.450%, 03/15/37

    524   
  1,355      

6.500%, 11/15/35

    1,782   
  

Cox Communications, Inc.,

 
  446      

3.250%, 12/15/22 (e)

    438   
  162      

5.450%, 12/15/14

    164   
  125      

8.375%, 03/01/39 (e)

    182   
  450      

Cox Enterprises, Inc., 7.375%, 07/15/27 (e)

    576   
  

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,

 
  435      

3.800%, 03/15/22

    453   
  1,000      

4.600%, 02/15/21

    1,100   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Media — continued  
  862      

5.000%, 03/01/21

    966   
  2,000      

6.000%, 08/15/40

    2,378   
  

Discovery Communications LLC,

 
  1,016      

4.375%, 06/15/21

    1,107   
  319      

4.950%, 05/15/42

    335   
  1,197      

Historic TW, Inc., 9.150%, 02/01/23

    1,671   
  

NBCUniversal Media LLC,

 
  310      

4.375%, 04/01/21

    343   
  800      

5.950%, 04/01/41

    1,005   
  515      

6.400%, 04/30/40

    681   
  

Thomson Reuters Corp., (Canada),

 
  1,278      

3.950%, 09/30/21

    1,349   
  441      

4.500%, 05/23/43

    435   
  325      

4.700%, 10/15/19

    358   
  

Time Warner Cable, Inc.,

 
  359      

5.500%, 09/01/41

    416   
  1,218      

5.850%, 05/01/17

    1,360   
  400      

6.550%, 05/01/37

    512   
  800      

8.250%, 04/01/19

    1,006   
  

Time Warner Entertainment Co. LP,

 
  160      

8.375%, 03/15/23

    217   
  1,250      

8.375%, 07/15/33

    1,880   
  

Time Warner, Inc.,

 
  555      

4.750%, 03/29/21

    615   
  313      

5.375%, 10/15/41

    346   
  150      

6.200%, 03/15/40

    181   
  172      

6.250%, 03/29/41

    211   
  265      

6.500%, 11/15/36

    332   
  250      

7.625%, 04/15/31

    346   
  171      

7.700%, 05/01/32

    241   
  

Viacom, Inc.,

 
  153      

1.250%, 02/27/15

    154   
  500      

3.125%, 06/15/22

    497   
  67      

3.250%, 03/15/23

    66   
  808      

3.875%, 12/15/21

    852   
  464      

4.375%, 03/15/43

    434   
  100      

4.500%, 03/01/21

    109   
  250      

4.500%, 02/27/42

    241   
  130      

6.250%, 04/30/16

    142   
  333      

Walt Disney Co. (The), 0.450%, 12/01/15

    333   
    

 

 

 
       36,334   
    

 

 

 
  

Multiline Retail — 0.1%

  

  280      

Kohl’s Corp., 6.250%, 12/15/17

    320   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Multiline Retail — continued  
  

Macy’s Retail Holdings, Inc.,

 
  516      

2.875%, 02/15/23

    502   
  462      

4.375%, 09/01/23

    494   
  157      

5.125%, 01/15/42

    172   
  230      

7.450%, 07/15/17

    268   
  455      

Nordstrom, Inc., 4.000%, 10/15/21

    491   
  200      

Target Corp., 6.000%, 01/15/18

    229   
    

 

 

 
       2,476   
    

 

 

 
  

Specialty Retail — 0.1%

  

  217      

Bed Bath & Beyond, Inc., 4.915%, 08/01/34

    226   
  533      

Gap, Inc. (The), 5.950%, 04/12/21

    617   
  1,785      

Home Depot, Inc. (The), 5.400%, 03/01/16

    1,913   
  

Lowe’s Cos., Inc.,

 
  739      

4.650%, 04/15/42

    799   
  326      

5.125%, 11/15/41

    375   
  750      

Series B, 7.110%, 05/15/37

    1,030   
    

 

 

 
       4,960   
    

 

 

 
  

Total Consumer Discretionary

    50,598   
    

 

 

 
  

Consumer Staples — 1.0%

  

  

Beverages — 0.3%

  

  

Anheuser-Busch Cos. LLC,

 
  600      

5.500%, 01/15/18

    676   
  920      

5.750%, 04/01/36

    1,150   
  900      

Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24

    945   
  359      

Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19

    443   
  440      

Coca-Cola Co. (The), 4.875%, 03/15/19

    496   
  

Diageo Capital plc, (United Kingdom),

 
  264      

1.500%, 05/11/17

    267   
  510      

4.828%, 07/15/20

    574   
  800      

Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15

    844   
  255      

Diageo Investment Corp., 8.000%, 09/15/22

    336   
  890      

FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)

    922   
  355      

Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)

    354   
  

PepsiCo, Inc.,

 
  287      

1.250%, 08/13/17

    288   
  368      

3.000%, 08/25/21

    378   
  59      

7.900%, 11/01/18

    73   
  500      

VAR, 0.445%, 02/26/16

    501   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         35   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Beverages — continued  
  

SABMiller Holdings, Inc.,

 
  574      

1.850%, 01/15/15 (e)

    577   
  698      

3.750%, 01/15/22 (e)

    733   
  250      

SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)

    274   
    

 

 

 
       9,831   
    

 

 

 
  

Food & Staples Retailing — 0.3%

  

  

CVS Caremark Corp.,

 
  536      

4.000%, 12/05/23

    565   
  322      

5.300%, 12/05/43

    376   
  979      

5.750%, 05/15/41

    1,198   
  250      

6.125%, 09/15/39

    320   
  1,042      

CVS Pass-Through Trust, 5.926%, 01/10/34 (e)

    1,228   
  

Kroger Co. (The),

 
  900      

4.000%, 02/01/24

    940   
  1,100      

5.000%, 04/15/42

    1,199   
  2,480      

7.500%, 04/01/31

    3,365   
  1,031      

Walgreen Co., 3.100%, 09/15/22

    1,022   
  

Wal-Mart Stores, Inc.,

 
  762      

5.250%, 09/01/35

    909   
  255      

6.200%, 04/15/38

    337   
  350      

7.550%, 02/15/30

    508   
    

 

 

 
       11,967   
    

 

 

 
  

Food Products — 0.4%

  

  200      

Archer-Daniels-Midland Co., 5.935%, 10/01/32

    251   
  1,415      

Bunge Ltd. Finance Corp., 8.500%, 06/15/19

    1,772   
  191      

Bunge N.A. Finance LP, 5.900%, 04/01/17

    212   
  

Cargill, Inc.,

 
  600      

3.300%, 03/01/22 (e)

    618   
  535      

4.307%, 05/14/21 (e)

    587   
  850      

7.350%, 03/06/19 (e)

    1,030   
  

ConAgra Foods, Inc.,

 
  223      

1.300%, 01/25/16

    225   
  227      

2.100%, 03/15/18

    227   
  365      

Kellogg Co., 1.750%, 05/17/17

    370   
  

Kraft Foods Group, Inc.,

 
  814      

3.500%, 06/06/22

    837   
  694      

5.000%, 06/04/42

    755   
  1,187      

6.125%, 08/23/18

    1,370   
  1,793      

6.875%, 01/26/39

    2,382   
  1,500      

Mondelez International, Inc., 4.000%, 02/01/24

    1,577   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Food Products — continued  
  777      

Tyson Foods, Inc., 3.950%, 08/15/24

    795   
    

 

 

 
       13,008   
    

 

 

 
  

Household Products — 0.0% (g)

  

  

Kimberly-Clark Corp.,

 
  220      

2.400%, 03/01/22

    216   
  71      

7.500%, 11/01/18

    87   
  728      

Procter & Gamble — ESOP, Series A, 9.360%, 01/01/21

    918   
  140      

Procter & Gamble Co. (The), 5.500%, 02/01/34

    174   
    

 

 

 
       1,395   
    

 

 

 
  

Total Consumer Staples

    36,201   
    

 

 

 
  

Energy — 1.7%

  

  

Energy Equipment & Services — 0.2%

  

  199      

Cameron International Corp., 4.000%, 12/15/23

    209   
  

Halliburton Co.,

 
  714      

3.500%, 08/01/23

    740   
  1,620      

7.450%, 09/15/39

    2,387   
  188      

National Oilwell Varco, Inc., 1.350%, 12/01/17

    188   
  

Noble Holding International Ltd., (Cayman Islands),

 
  113      

3.950%, 03/15/22

    117   
  83      

5.250%, 03/15/42

    87   
  441      

Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)

    461   
  

Transocean, Inc., (Cayman Islands),

 
  361      

3.800%, 10/15/22

    352   
  256      

6.375%, 12/15/21

    290   
  905      

6.500%, 11/15/20

    1,024   
  198      

7.350%, 12/15/41

    237   
  100      

7.500%, 04/15/31

    119   
  

Weatherford International Ltd., (Bermuda),

 
  311      

4.500%, 04/15/22

    332   
  113      

5.950%, 04/15/42

    130   
  110      

6.500%, 08/01/36

    133   
  350      

9.875%, 03/01/39

    554   
    

 

 

 
       7,360   
    

 

 

 
  

Oil, Gas & Consumable Fuels — 1.5%

  

  160      

Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31

    215   
  330      

Anadarko Petroleum Corp., 8.700%, 03/15/19

    421   
  

Apache Corp.,

 
  138      

3.250%, 04/15/22

    141   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Oil, Gas & Consumable Fuels — continued  
  556      

4.750%, 04/15/43

    590   
  500      

6.900%, 09/15/18

    594   
  235      

BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)

    264   
  

BP Capital Markets plc, (United Kingdom),

 
  92      

1.375%, 11/06/17

    92   
  929      

1.846%, 05/05/17

    946   
  1,283      

2.237%, 05/10/19

    1,290   
  882      

2.750%, 05/10/23

    858   
  437      

3.814%, 02/10/24

    458   
  900      

4.742%, 03/11/21

    1,009   
  200      

Burlington Resources Finance Co., (Canada), 7.400%, 12/01/31

    290   
  

Canadian Natural Resources Ltd., (Canada),

 
  350      

6.250%, 03/15/38

    442   
  1,000      

6.750%, 02/01/39

    1,333   
  

Cenovus Energy, Inc., (Canada),

 
  208      

3.000%, 08/15/22

    206   
  490      

4.450%, 09/15/42

    498   
  450      

6.750%, 11/15/39

    598   
  

Chevron Corp.,

 
  560      

2.355%, 12/05/22

    545   
  1,000      

4.950%, 03/03/19

    1,132   
  1,789      

CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24

    1,861   
  230      

Conoco Funding Co., (Canada), 7.250%, 10/15/31

    334   
  

ConocoPhillips,

 
  325      

5.200%, 05/15/18

    364   
  525      

5.750%, 02/01/19

    608   
  150      

6.000%, 01/15/20

    178   
  200      

6.500%, 02/01/39

    271   
  1,045      

ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16

    1,150   
  

Devon Energy Corp.,

 
  750      

3.250%, 05/15/22

    764   
  522      

4.750%, 05/15/42

    553   
  360      

6.300%, 01/15/19

    421   
  

Encana Corp., (Canada),

 
  545      

6.500%, 05/15/19

    642   
  150      

6.500%, 08/15/34

    190   
  925      

Eni S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e)

    1,059   
  

Enterprise Products Operating LLC,

 
  475      

3.900%, 02/15/24

    495   
  318      

5.100%, 02/15/45

    351   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Oil, Gas & Consumable Fuels — continued  
  

EOG Resources, Inc.,

 
  379      

2.625%, 03/15/23

    369   
  600      

4.100%, 02/01/21

    654   
  180      

Hess Corp., 7.875%, 10/01/29

    252   
  

Kerr-McGee Corp.,

 
  200      

6.950%, 07/01/24

    256   
  1,000      

7.875%, 09/15/31

    1,425   
  

Magellan Midstream Partners LP,

 
  1,127      

5.150%, 10/15/43

    1,260   
  250      

6.550%, 07/15/19

    296   
  

Marathon Oil Corp.,

 
  902      

5.900%, 03/15/18

    1,027   
  1,620      

6.000%, 10/01/17

    1,841   
  402      

Occidental Petroleum Corp., 1.750%, 02/15/17

    408   
  

Petrobras Global Finance B.V., (Netherlands),

 
  841      

4.375%, 05/20/23

    830   
  2,622      

6.250%, 03/17/24

    2,881   
  

Petrobras International Finance Co., (Cayman Islands),

 
  1,020      

5.375%, 01/27/21

    1,075   
  110      

6.750%, 01/27/41

    123   
  175      

7.875%, 03/15/19

    204   
  

Petro-Canada, (Canada),

 
  324      

6.050%, 05/15/18

    372   
  1,045      

6.800%, 05/15/38

    1,403   
  

Petroleos Mexicanos, (Mexico),

 
  393      

4.875%, 01/18/24 (e)

    427   
  846      

6.375%, 01/23/45 (e)

    1,024   
  

Phillips 66,

 
  314      

2.950%, 05/01/17

    328   
  182      

4.300%, 04/01/22

    197   
  831      

Sinopec Group Overseas Development Ltd., (United Kingdom), 4.375%, 10/17/23 (e)

    874   
  

Spectra Energy Capital LLC,

 
  1,500      

5.650%, 03/01/20

    1,690   
  500      

6.200%, 04/15/18

    572   
  400      

8.000%, 10/01/19

    502   
  

Spectra Energy Partners LP,

 
  524      

2.950%, 09/25/18

    543   
  452      

5.950%, 09/25/43

    546   
  

Statoil ASA, (Norway),

 
  906      

1.150%, 05/15/18

    893   
  353      

1.200%, 01/17/18

    351   
  406      

2.450%, 01/17/23

    395   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         37   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Oil, Gas & Consumable Fuels — continued  
  1,071      

2.650%, 01/15/24

    1,043   
  313      

2.900%, 11/08/20

    322   
  467      

3.125%, 08/17/17

    492   
  300      

3.150%, 01/23/22

    310   
  253      

4.250%, 11/23/41

    260   
  

Suncor Energy, Inc., (Canada),

 
  180      

5.950%, 12/01/34

    219   
  250      

6.850%, 06/01/39

    339   
  

Talisman Energy, Inc., (Canada),

 
  1,125      

5.500%, 05/15/42

    1,243   
  185      

5.850%, 02/01/37

    208   
  190      

6.250%, 02/01/38

    224   
  850      

7.750%, 06/01/19

    1,047   
  554      

Texas Eastern Transmission LP, 2.800%, 10/15/22 (e)

    530   
  

Tosco Corp.,

 
  310      

7.800%, 01/01/27

    439   
  400      

8.125%, 02/15/30

    602   
  124      

Total Capital Canada Ltd., (Canada), VAR, 0.614%, 01/15/16

    125   
  

Total Capital International S.A., (France),

 
  135      

0.750%, 01/25/16

    136   
  262      

1.500%, 02/17/17

    265   
  508      

1.550%, 06/28/17

    514   
  500      

2.750%, 06/19/21

    502   
  233      

2.875%, 02/17/22

    235   
  

Total Capital S.A., (France),

 
  1,400      

2.300%, 03/15/16

    1,436   
  370      

4.125%, 01/28/21

    405   
  

TransCanada PipeLines Ltd., (Canada),

 
  550      

6.200%, 10/15/37

    709   
  340      

6.500%, 08/15/18

    400   
  1,100      

7.250%, 08/15/38

    1,562   
    

 

 

 
       57,748   
    

 

 

 
  

Total Energy

    65,108   
    

 

 

 
  

Financials — 8.5%

  

  

Banks — 3.6%

  

  669      

ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)

    680   
  550      

ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)

    563   
  

Australia & New Zealand Banking Group Ltd., (Australia),

 
  1,268      

2.400%, 11/23/16 (e)

    1,309   
  900      

3.250%, 03/01/16 (e)

    934   
  228      

4.875%, 01/12/21 (e)

    258   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Banks — continued  
  

Bank of America Corp.,

 
  600      

2.000%, 01/11/18

    603   
  1,500      

Series L, 2.650%, 04/01/19

    1,515   
  520      

3.625%, 03/17/16

    541   
  972      

4.000%, 04/01/24

    1,002   
  547      

4.100%, 07/24/23

    571   
  2,065      

5.000%, 05/13/21

    2,309   
  2,730      

5.625%, 10/14/16

    2,977   
  740      

5.625%, 07/01/20

    848   
  645      

Series L, 5.650%, 05/01/18

    725   
  420      

5.750%, 12/01/17

    471   
  400      

5.875%, 01/05/21

    467   
  2,996      

6.400%, 08/28/17

    3,404   
  1,564      

6.875%, 04/25/18

    1,824   
  875      

7.625%, 06/01/19

    1,071   
  1,510      

7.800%, 09/15/16

    1,697   
  

Bank of Montreal, (Canada),

 
  741      

1.300%, 10/31/14 (e)

    742   
  1,666      

1.400%, 09/11/17

    1,670   
  1,106      

2.550%, 11/06/22

    1,078   
  

Bank of Nova Scotia (The), (Canada),

 
  1,034      

1.650%, 10/29/15 (e)

    1,048   
  2,000      

2.550%, 01/12/17

    2,069   
  737      

3.400%, 01/22/15

    746   
  

Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan),

 
  1,275      

2.350%, 02/23/17 (e)

    1,310   
  679      

3.850%, 01/22/15 (e)

    688   
  1,600      

Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)

    1,609   
  

Barclays Bank plc, (United Kingdom),

 
  276      

2.250%, 05/10/17 (e)

    284   
  800      

2.500%, 09/21/15 (e)

    817   
  1,735      

2.750%, 02/23/15

    1,753   
  324      

3.750%, 05/15/24

    331   
  310      

Series 1, 5.000%, 09/22/16

    335   
  1,000      

6.050%, 12/04/17 (e)

    1,125   
  

BB&T Corp.,

 
  750      

3.950%, 04/29/16

    790   
  740      

4.900%, 06/30/17

    809   
  380      

6.850%, 04/30/19

    458   
  632      

BNZ International Funding Ltd., (New Zealand), 2.350%, 03/04/19 (e)

    635   
  695      

Branch Banking & Trust Co., 5.625%, 09/15/16

    757   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Banks — continued  
  

Canadian Imperial Bank of Commerce, (Canada),

 
  226      

0.900%, 10/01/15

    227   
  4,000      

2.600%, 07/02/15 (e)

    4,075   
  1,650      

Capital One Bank USA N.A., 3.375%, 02/15/23

    1,644   
  

Citigroup, Inc.,

 
  423      

3.375%, 03/01/23

    425   
  871      

3.750%, 06/16/24

    889   
  500      

4.450%, 01/10/17

    536   
  433      

4.500%, 01/14/22

    472   
  42      

4.587%, 12/15/15

    44   
  871      

4.700%, 05/29/15

    897   
  483      

4.750%, 05/19/15

    497   
  3,127      

5.000%, 09/15/14

    3,133   
  250      

5.300%, 05/06/44

    268   
  298      

5.375%, 08/09/20

    341   
  865      

5.500%, 09/13/25

    969   
  321      

5.875%, 01/30/42

    395   
  2,154      

6.000%, 08/15/17

    2,422   
  526      

6.010%, 01/15/15

    537   
  475      

6.125%, 11/21/17

    539   
  250      

6.625%, 01/15/28

    313   
  400      

8.125%, 07/15/39

    614   
  1,409      

8.500%, 05/22/19

    1,785   
  

Comerica, Inc.,

 
  260      

3.000%, 09/16/15

    266   
  148      

3.800%, 07/22/26

    149   
  1,080      

Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)

    1,111   
  

Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),

 
  143      

2.125%, 10/13/15

    146   
  2,400      

3.200%, 03/11/15 (e)

    2,435   
  455      

3.375%, 01/19/17

    480   
  789      

3.875%, 02/08/22

    844   
  500      

5.800%, 09/30/10 (e) (††)

    583   
  

Discover Bank,

 
  1,000      

3.200%, 08/09/21

    1,003   
  601      

4.200%, 08/08/23

    635   
  2,011      

DNB Boligkreditt A.S., (Norway), 2.100%, 10/14/15 (e)

    2,047   
  

Fifth Third Bancorp,

 
  70      

2.300%, 03/01/19

    70   
  760      

5.450%, 01/15/17

    830   
  600      

Fifth Third Bank, 2.375%, 04/25/19

    605   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Banks — continued  
  

HSBC Bank plc, (United Kingdom),

 
  1,438      

1.500%, 05/15/18 (e)

    1,424   
  666      

4.125%, 08/12/20 (e)

    724   
  575      

4.750%, 01/19/21 (e)

    646   
  

HSBC Holdings plc, (United Kingdom),

 
  500      

4.000%, 03/30/22

    535   
  530      

4.875%, 01/14/22

    598   
  556      

5.100%, 04/05/21

    637   
  600      

6.100%, 01/14/42

    780   
  300      

KeyCorp, 5.100%, 03/24/21

    341   
  2,100      

Manufacturers & Traders Trust Co., 6.625%, 12/04/17

    2,424   
  

National Australia Bank Ltd., (Australia),

 
  1,500      

2.000%, 06/20/17 (e)

    1,530   
  750      

2.750%, 09/28/15 (e)

    768   
  1,000      

3.000%, 07/27/16 (e)

    1,041   
  795      

3.750%, 03/02/15 (e)

    808   
  250      

National City Bank, 5.800%, 06/07/17

    280   
  

Nordea Bank AB, (Sweden),

 
  1,000      

1.625%, 05/15/18 (e)

    997   
  1,800      

3.125%, 03/20/17 (e)

    1,885   
  945      

4.875%, 05/13/21 (e)

    1,033   
  837      

Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e)

    841   
  400      

PNC Bank N.A., 6.875%, 04/01/18

    468   
  182      

PNC Financial Services Group, Inc. (The), 3.900%, 04/29/24

    186   
  

PNC Funding Corp.,

 
  709      

3.300%, 03/08/22

    728   
  567      

4.375%, 08/11/20

    624   
  970      

5.250%, 11/15/15

    1,022   
  950      

5.625%, 02/01/17

    1,040   
  595      

6.700%, 06/10/19

    714   
  

Royal Bank of Canada, (Canada),

 
  985      

1.200%, 09/19/17

    982   
  1,789      

2.000%, 10/01/18

    1,814   
  1,000      

2.200%, 07/27/18

    1,020   
  402      

Skandinaviska Enskilda Banken AB, (Sweden), 1.750%, 03/19/18 (e)

    402   
  927      

SpareBank 1 Boligkreditt A.S., (Norway), 1.750%, 11/15/19 (e)

    908   
  1,148      

Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)

    1,135   
  1,300      

Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)

    1,408   
  880      

SunTrust Banks, Inc., 6.000%, 09/11/17

    990   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         39   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Banks — continued  
  1,411      

Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16

    1,471   
  

Toronto-Dominion Bank (The), (Canada),

 
  2,350      

1.500%, 03/13/17 (e)

    2,375   
  1,140      

2.200%, 07/29/15 (e)

    1,159   
  

U.S. Bancorp,

 
  550      

1.650%, 05/15/17

    557   
  675      

2.450%, 07/27/15

    688   
  540      

3.000%, 03/15/22

    548   
  566      

4.125%, 05/24/21

    622   
  1,277      

7.500%, 06/01/26

    1,726   
  4,780      

Wachovia Corp., 5.750%, 02/01/18

    5,433   
  

Wells Fargo & Co.,

 
  1,826      

2.625%, 12/15/16

    1,894   
  850      

3.500%, 03/08/22

    885   
  484      

4.100%, 06/03/26

    495   
  702      

4.480%, 01/16/24

    752   
  500      

4.600%, 04/01/21

    558   
  1,280      

5.606%, 01/15/44

    1,503   
  2,350      

5.625%, 12/11/17

    2,658   
  1,045      

SUB, 3.676%, 06/15/16

    1,099   
  

Wells Fargo Bank N.A.,

 
  1,515      

Series AI, 4.750%, 02/09/15

    1,544   
  1,000      

5.600%, 03/15/16

    1,073   
  250      

5.750%, 05/16/16

    271   
  250      

6.000%, 11/15/17

    284   
  

Westpac Banking Corp., (Australia),

 
  900      

4.200%, 02/27/15

    917   
  2,141      

4.875%, 11/19/19

    2,417   
    

 

 

 
       136,711   
    

 

 

 
  

Capital Markets — 1.7%

  

  1,500      

Ameriprise Financial, Inc., 4.000%, 10/15/23

    1,590   
  

Bank of New York Mellon Corp. (The),

 
  357      

1.200%, 02/20/15

    358   
  1,789      

2.400%, 01/17/17

    1,844   
  900      

Series 001, 2.950%, 06/18/15

    919   
  413      

3.550%, 09/23/21

    436   
  950      

3.650%, 02/04/24

    992   
  760      

4.600%, 01/15/20

    845   
  

BlackRock, Inc.,

 
  660      

3.375%, 06/01/22

    685   
  540      

3.500%, 12/10/14

    545   
  540      

3.500%, 03/18/24

    553   
  867      

Series 2, 5.000%, 12/10/19

    991   
  385      

6.250%, 09/15/17

    440   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Capital Markets — continued  
  1,940      

Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)

    2,282   
  340      

Charles Schwab Corp. (The), 3.225%, 09/01/22

    346   
  728      

Credit Suisse, (Switzerland), 2.300%, 05/28/19

    729   
  

Deutsche Bank AG, (Germany),

 
  650      

3.250%, 01/11/16

    672   
  355      

6.000%, 09/01/17

    400   
  500      

FMR LLC, 6.450%, 11/15/39 (e)

    648   
  

Goldman Sachs Group, Inc. (The),

 
  545      

2.625%, 01/31/19

    552   
  764      

2.900%, 07/19/18

    786   
  400      

3.300%, 05/03/15

    408   
  3,060      

3.625%, 02/07/16

    3,177   
  492      

3.700%, 08/01/15

    506   
  800      

4.000%, 03/03/24

    825   
  848      

5.250%, 07/27/21

    956   
  1,366      

5.375%, 03/15/20

    1,543   
  760      

5.500%, 11/15/14

    768   
  800      

5.750%, 01/24/22

    928   
  4,310      

5.950%, 01/18/18

    4,863   
  949      

Series D, 6.000%, 06/15/20

    1,104   
  245      

6.150%, 04/01/18

    279   
  175      

6.250%, 09/01/17

    198   
  685      

6.750%, 10/01/37

    845   
  2,678      

7.500%, 02/15/19

    3,236   
  

ING Bank N.V., (Netherlands),

 
  500      

1.375%, 03/07/16 (e)

    504   
  216      

2.000%, 09/25/15 (e)

    219   
  1,445      

3.750%, 03/07/17 (e)

    1,526   
  657      

Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24

    695   
  

Jefferies Group LLC,

 
  450      

3.875%, 11/09/15

    465   
  1,015      

5.125%, 04/13/18

    1,109   
  1,010      

6.450%, 06/08/27

    1,145   
  325      

6.875%, 04/15/21

    384   
  555      

8.500%, 07/15/19

    693   
  

Macquarie Bank Ltd., (Australia),

 
  373      

2.000%, 08/15/16 (e)

    380   
  291      

2.600%, 06/24/19 (e)

    294   
  2,847      

5.000%, 02/22/17 (e)

    3,086   
  

Macquarie Group Ltd., (Australia),

 
  1,200      

6.000%, 01/14/20 (e)

    1,361   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Capital Markets — continued  
  1,400      

6.250%, 01/14/21 (e)

    1,614   
  250      

7.625%, 08/13/19 (e)

    302   
  

Morgan Stanley,

 
  179      

1.750%, 02/25/16

    181   
  625      

4.000%, 07/24/15

    644   
  893      

4.200%, 11/20/14

    900   
  871      

5.000%, 11/24/25

    935   
  1,000      

5.450%, 01/09/17

    1,095   
  1,021      

5.500%, 07/24/20

    1,161   
  380      

5.500%, 07/28/21

    437   
  1,265      

5.625%, 09/23/19

    1,446   
  360      

5.750%, 01/25/21

    418   
  400      

6.625%, 04/01/18

    463   
  970      

7.300%, 05/13/19

    1,174   
  

Nomura Holdings, Inc., (Japan),

 
  1,050      

4.125%, 01/19/16

    1,093   
  150      

5.000%, 03/04/15

    153   
  547      

6.700%, 03/04/20

    658   
  

State Street Corp.,

 
  369      

3.100%, 05/15/23

    364   
  1,164      

3.700%, 11/20/23

    1,223   
  

UBS AG, (Switzerland),

 
  1,337      

3.875%, 01/15/15

    1,354   
  365      

4.875%, 08/04/20

    411   
  244      

5.750%, 04/25/18

    278   
  247      

5.875%, 12/20/17

    280   
    

 

 

 
       64,694   
    

 

 

 
  

Consumer Finance — 0.8%

  

  700      

American Express Co., 7.000%, 03/19/18

    824   
  

American Express Credit Corp.,

 
  480      

2.375%, 03/24/17

    494   
  1,028      

2.800%, 09/19/16

    1,067   
  

American Honda Finance Corp.,

 
  667      

1.450%, 02/27/15 (e)

    671   
  363      

1.500%, 09/11/17 (e)

    364   
  533      

1.600%, 02/16/18 (e)

    533   
  565      

2.125%, 02/28/17 (e)

    579   
  417      

2.125%, 10/10/18

    423   
  1,599      

2.600%, 09/20/16 (e)

    1,656   
  150      

7.625%, 10/01/18 (e)

    183   
  

Capital One Financial Corp.,

 
  273      

1.000%, 11/06/15

    273   
  1,281      

3.500%, 06/15/23

    1,290   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Consumer Finance — continued  
  

Caterpillar Financial Services Corp.,

 
  402      

2.850%, 06/01/22

    403   
  560      

5.500%, 03/15/16

    601   
  340      

7.050%, 10/01/18

    410   
  585      

7.150%, 02/15/19

    713   
  

Ford Motor Credit Co. LLC,

 
  513      

2.375%, 03/12/19

    514   
  1,653      

3.000%, 06/12/17

    1,714   
  1,917      

3.984%, 06/15/16

    2,014   
  561      

4.207%, 04/15/16

    589   
  200      

4.250%, 09/20/22

    214   
  803      

VAR, 1.483%, 05/09/16

    815   
  

HSBC Finance Corp.,

 
  3,538      

5.000%, 06/30/15

    3,665   
  207      

7.350%, 11/27/32

    263   
  

HSBC USA, Inc.,

 
  800      

1.625%, 01/16/18

    802   
  1,500      

2.375%, 02/13/15

    1,514   
  

John Deere Capital Corp.,

 
  759      

1.200%, 10/10/17

    757   
  335      

1.700%, 01/15/20

    329   
  400      

2.250%, 04/17/19

    406   
  233      

3.150%, 10/15/21

    241   
  874      

Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)

    874   
  663      

PACCAR Financial Corp., 1.600%, 03/15/17

    672   
  

Toyota Motor Credit Corp.,

 
  1,120      

1.000%, 02/17/15

    1,124   
  2,480      

2.000%, 09/15/16

    2,539   
  558      

2.000%, 10/24/18

    563   
  962      

3.200%, 06/17/15

    983   
    

 

 

 
       31,076   
    

 

 

 
  

Diversified Financial Services — 1.1%

  

  1,231      

Associates Corp. of North America, 6.950%, 11/01/18

    1,456   
  1,455      

Bank of America N.A., 5.300%, 03/15/17

    1,587   
  

Berkshire Hathaway, Inc.,

 
  1,387      

3.400%, 01/31/22

    1,449   
  840      

3.750%, 08/15/21

    904   
  725      

Caisse Centrale Desjardins, (Canada),

 
  

2.550%, 03/24/16 (e)

    747   
  

CME Group, Inc.,

 
  1,230      

3.000%, 09/15/22

    1,237   
  285      

5.300%, 09/15/43

    334   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         41   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Diversified Financial Services — continued  
  400      

Countrywide Financial Corp., 6.250%, 05/15/16

    433   
  

General Electric Capital Corp.,

 
  167      

1.000%, 12/11/15

    168   
  1,100      

1.625%, 07/02/15

    1,112   
  750      

2.300%, 04/27/17

    771   
  2,000      

3.150%, 09/07/22

    2,028   
  650      

4.625%, 01/07/21

    728   
  2,100      

4.650%, 10/17/21

    2,353   
  191      

5.300%, 02/11/21

    219   
  2,500      

5.400%, 02/15/17

    2,753   
  1,785      

5.500%, 01/08/20

    2,061   
  4,380      

5.625%, 05/01/18

    4,985   
  330      

5.875%, 01/14/38

    410   
  2,772      

Series A, 6.750%, 03/15/32

    3,731   
  

Intercontinental Exchange, Inc.,

 
  447      

2.500%, 10/15/18

    457   
  884      

4.000%, 10/15/23

    940   
  300      

Murray Street Investment Trust I, SUB, 4.647%, 03/09/17

    323   
  290      

National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18

    387   
  550      

Principal Life Global Funding I, 5.050%, 03/15/15 (e)

    563   
  

Private Export Funding Corp.,

 
  5,000      

Series EE, 2.800%, 05/15/22

    5,112   
  681      

Series KK, 3.550%, 01/15/24

    721   
  

Shell International Finance B.V., (Netherlands),

 
  212      

1.125%, 08/21/17

    212   
  1,020      

4.300%, 09/22/19

    1,131   
  1,005      

4.375%, 03/25/20

    1,123   
  1,280      

6.375%, 12/15/38

    1,731   
  300      

Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)

    330   
    

 

 

 
       42,496   
    

 

 

 
  

Insurance — 1.0%

  

  

ACE INA Holdings, Inc.,

 
  455      

2.600%, 11/23/15

    466   
  410      

5.600%, 05/15/15

    424   
  520      

AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)

    710   
  651      

Allstate Corp. (The), 3.150%, 06/15/23

    658   
  

American International Group, Inc.,

 
  471      

4.125%, 02/15/24

    501   
  3,020      

5.450%, 05/18/17

    3,347   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Insurance — continued  
  

Aon Corp.,

 
  402      

3.125%, 05/27/16

    416   
  346      

3.500%, 09/30/15

    357   
  306      

6.250%, 09/30/40

    392   
  

Berkshire Hathaway Finance Corp.,

 
  404      

1.300%, 05/15/18

    399   
  233      

2.450%, 12/15/15

    239   
  1,111      

2.900%, 10/15/20

    1,142   
  233      

3.000%, 05/15/22

    236   
  748      

4.300%, 05/15/43

    766   
  1,574      

4.400%, 05/15/42

    1,634   
  1,810      

5.400%, 05/15/18

    2,047   
  120      

Chubb Corp. (The), 5.750%, 05/15/18

    137   
  

CNA Financial Corp.,

 
  750      

5.850%, 12/15/14

    761   
  798      

5.875%, 08/15/20

    925   
  408      

Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)

    451   
  

Lincoln National Corp.,

 
  345      

4.200%, 03/15/22

    371   
  253      

4.850%, 06/24/21

    283   
  280      

Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)

    323   
  

MassMutual Global Funding II,

 
  1,500      

2.000%, 04/05/17 (e)

    1,529   
  626      

2.500%, 10/17/22 (e)

    611   
  540      

3.125%, 04/14/16 (e)

    561   
  

MetLife, Inc.,

 
  600      

4.875%, 11/13/43

    662   
  555      

Series A, 6.817%, 08/15/18

    659   
  

Metropolitan Life Global Funding I,

 
  638      

1.300%, 04/10/17 (e)

    639   
  604      

1.700%, 06/29/15 (e)

    611   
  300      

1.875%, 06/22/18 (e)

    300   
  820      

2.500%, 09/29/15 (e)

    838   
  400      

3.125%, 01/11/16 (e)

    413   
  1,900      

3.650%, 06/14/18 (e)

    2,028   
  1,277      

3.875%, 04/11/22 (e)

    1,367   
  1,750      

Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)

    2,765   
  

New York Life Global Funding,

 
  740      

0.750%, 07/24/15 (e)

    743   
  350      

1.300%, 01/12/15 (e)

    351   
  951      

2.150%, 06/18/19 (e)

    956   
  650      

Pacific Life Global Funding, 5.000%, 05/15/17 (e)

    700   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Insurance — continued  
  570      

Pacific Life Insurance Co., 9.250%, 06/15/39 (e)

    898   
  384      

Pricoa Global Funding I, 1.600%, 05/29/18 (e)

    381   
  166      

Principal Financial Group, Inc., 1.850%, 11/15/17

    167   
  

Principal Life Global Funding II,

 
  304      

1.000%, 12/11/15 (e)

    305   
  953      

2.250%, 10/15/18 (e)

    961   
  1,750      

Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)

    2,388   
  285      

Travelers Cos., Inc. (The), 5.800%, 05/15/18

    324   
    

 

 

 
       38,142   
    

 

 

 
  

Real Estate Investment Trusts (REITs) — 0.3%

  

  

American Tower Corp.,

 
  450      

3.500%, 01/31/23

    443   
  567      

5.000%, 02/15/24

    613   
  471      

American Tower Trust I, 1.551%, 03/15/18 (e)

    466   
  

Equity Commonwealth,

 
  600      

5.875%, 09/15/20

    652   
  1,345      

6.650%, 01/15/18

    1,492   
  608      

ERP Operating LP, 4.625%, 12/15/21

    675   
  

HCP, Inc.,

 
  492      

2.625%, 02/01/20

    491   
  234      

3.875%, 08/15/24

    236   
  230      

4.200%, 03/01/24

    237   
  598      

4.250%, 11/15/23

    621   
  970      

5.375%, 02/01/21

    1,101   
  732      

Health Care REIT, Inc., 4.500%, 01/15/24

    772   
  534      

Prologis LP, 4.250%, 08/15/23

    563   
  

Simon Property Group LP,

 
  917      

2.150%, 09/15/17

    941   
  579      

4.125%, 12/01/21

    629   
  32      

4.200%, 02/01/15

    32   
  200      

4.375%, 03/01/21

    221   
  685      

6.100%, 05/01/16

    737   
  345      

6.125%, 05/30/18

    399   
    

 

 

 
       11,321   
    

 

 

 
  

Total Financials

    324,440   
    

 

 

 
  

Health Care — 0.7%

  

  

Biotechnology — 0.3%

  

  

Amgen, Inc.,

 
  491      

3.625%, 05/22/24

    499   
  1,000      

3.875%, 11/15/21

    1,065   
  237      

4.500%, 03/15/20

    260   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Biotechnology — continued  
  500      

4.950%, 10/01/41

    538   
  2,000      

5.150%, 11/15/41

    2,213   
  265      

5.650%, 06/15/42

    315   
  680      

5.700%, 02/01/19

    780   
  720      

5.750%, 03/15/40

    862   
  

Celgene Corp.,

 
  1,336      

3.250%, 08/15/22

    1,356   
  659      

3.625%, 05/15/24

    672   
    

 

 

 
       8,560   
    

 

 

 
  

Health Care Equipment & Supplies — 0.0% (g)

  

  

Baxter International, Inc.,

 
  286      

1.850%, 06/15/18

    287   
  270      

4.625%, 03/15/15

    276   
  100      

Becton Dickinson and Co., 5.000%, 05/15/19

    113   
    

 

 

 
       676   
    

 

 

 
  

Health Care Providers & Services — 0.2%

  

  

Aetna, Inc.,

 
  265      

4.500%, 05/15/42

    271   
  440      

6.750%, 12/15/37

    594   
  900      

Express Scripts Holding Co., 3.500%, 06/15/24

    904   
  164      

McKesson Corp., 0.950%, 12/04/15

    165   
  370      

Medco Health Solutions, Inc., 2.750%, 09/15/15

    378   
  

UnitedHealth Group, Inc.,

 
  173      

2.750%, 02/15/23

    169   
  400      

2.875%, 03/15/23

    397   
  1,050      

3.375%, 11/15/21

    1,096   
  620      

6.625%, 11/15/37

    838   
  353      

Ventas Realty LP, 3.750%, 05/01/24

    353   
  

WellPoint, Inc.,

 
  467      

2.300%, 07/15/18

    473   
  615      

3.125%, 05/15/22

    616   
  280      

3.300%, 01/15/23

    281   
  500      

4.625%, 05/15/42

    508   
  535      

4.650%, 01/15/43

    551   
  648      

4.650%, 08/15/44

    670   
    

 

 

 
       8,264   
    

 

 

 
  

Life Sciences Tools & Services — 0.0% (g)

  

  

Thermo Fisher Scientific, Inc.,

 
  176      

1.300%, 02/01/17

    176   
  687      

4.150%, 02/01/24

    726   
    

 

 

 
       902   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         43   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
  

Pharmaceuticals — 0.2%

  

  

AbbVie, Inc.,

 
  992      

1.750%, 11/06/17

    997   
  609      

2.900%, 11/06/22

    599   
  937      

Actavis Funding SCS, (Luxembourg), 3.850%, 06/15/24 (e)

    948   
  275      

Actavis, Inc., 3.250%, 10/01/22

    273   
  

GlaxoSmithKline Capital, Inc.,

 
  750      

5.650%, 05/15/18

    859   
  530      

6.375%, 05/15/38

    699   
  

Merck & Co., Inc.,

 
  650      

1.300%, 05/18/18

    646   
  474      

2.400%, 09/15/22

    461   
  562      

2.800%, 05/18/23

    558   
  560      

Novartis Capital Corp., 3.400%, 05/06/24

    576   
  650      

Pfizer, Inc., 3.000%, 06/15/23

    657   
  

Zoetis, Inc.,

 
  193      

1.875%, 02/01/18

    193   
  123      

4.700%, 02/01/43

    128   
    

 

 

 
       7,594   
    

 

 

 
  

Total Health Care

    25,996   
    

 

 

 
  

Industrials — 1.2%

  

  

Aerospace & Defense — 0.2%

  

  557      

Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)

    542   
  400      

BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)

    468   
  676      

BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)

    829   
  200      

Boeing Co. (The), 7.950%, 08/15/24

    282   
  415      

Honeywell International, Inc., 5.300%, 03/01/18

    469   
  

Lockheed Martin Corp.,

 
  387      

2.125%, 09/15/16

    397   
  1,281      

4.070%, 12/15/42

    1,271   
  292      

4.850%, 09/15/41

    323   
  300      

Northrop Grumman Systems Corp., 7.750%, 02/15/31

    420   
  215      

Precision Castparts Corp., 0.700%, 12/20/15

    215   
  

United Technologies Corp.,

 
  214      

1.800%, 06/01/17

    218   
  681      

3.100%, 06/01/22

    695   
  914      

4.500%, 06/01/42

    984   
  1,261      

6.125%, 02/01/19

    1,482   
    

 

 

 
       8,595   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  

Air Freight & Logistics — 0.0% (g)

  

  

United Parcel Service of America, Inc.,

 
  355      

8.375%, 04/01/20

    463   
  160      

SUB, 8.375%, 04/01/30

    239   
  214      

United Parcel Service, Inc., 2.450%, 10/01/22

    209   
    

 

 

 
       911   
    

 

 

 
  

Airlines — 0.1%

  

  430      

Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e)

    437   
  235      

American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21

    255   
  649      

American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23

    700   
  213      

Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20

    241   
  421      

Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22

    470   
  206      

Continental Airlines 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24

    211   
  479      

Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19

    514   
  178      

Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19

    194   
  432      

Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20

    469   
    

 

 

 
       3,491   
    

 

 

 
  

Commercial Services & Supplies — 0.1%

  

  

ADT Corp. (The),

 
  820      

3.500%, 07/15/22

    732   
  264      

4.125%, 06/15/23

    245   
  328      

4.875%, 07/15/42

    279   
  200      

Pitney Bowes, Inc., 5.600%, 03/15/18

    221   
  614      

Republic Services, Inc., 3.550%, 06/01/22

    641   
  

Waste Management, Inc.,

 
  214      

4.750%, 06/30/20

    239   
  465      

7.375%, 03/11/19

    567   
    

 

 

 
       2,924   
    

 

 

 
  

Construction & Engineering — 0.1%

  

  

ABB Finance USA, Inc.,

 
  226      

1.625%, 05/08/17

    228   
  292      

2.875%, 05/08/22

    292   
  145      

4.375%, 05/08/42

    153   
  789      

Fluor Corp., 3.375%, 09/15/21

    822   
    

 

 

 
       1,495   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
  

Electrical Equipment — 0.0% (g)

  

  

Eaton Corp.,

 
  182      

1.500%, 11/02/17

    182   
  170      

4.000%, 11/02/32

    173   
  570      

5.600%, 05/15/18

    647   
  300      

7.625%, 04/01/24

    387   
    

 

 

 
       1,389   
    

 

 

 
  

Industrial Conglomerates — 0.1%

  

  667      

Danaher Corp., 3.900%, 06/23/21

    726   
  

General Electric Co.,

 
  212      

2.700%, 10/09/22

    209   
  436      

3.375%, 03/11/24

    448   
  539      

Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e)

    538   
  412      

Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23

    439   
  

Koninklijke Philips N.V., (Netherlands),

 
  970      

3.750%, 03/15/22

    1,026   
  409      

5.750%, 03/11/18

    465   
  130      

7.200%, 06/01/26

    166   
    

 

 

 
       4,017   
    

 

 

 
  

Machinery — 0.1%

  

  164      

Caterpillar, Inc., 2.600%, 06/26/22

    161   
  

Deere & Co.,

 
  819      

2.600%, 06/08/22

    807   
  346      

3.900%, 06/09/42

    342   
  

Illinois Tool Works, Inc.,

 
  400      

3.500%, 03/01/24

    417   
  1,920      

3.900%, 09/01/42

    1,867   
  290      

Ingersoll-Rand Co., 6.391%, 11/15/27

    354   
  215      

Parker Hannifin Corp., 5.500%, 05/15/18

    243   
    

 

 

 
       4,191   
    

 

 

 
  

Road & Rail — 0.5%

  

  

Burlington Northern Santa Fe LLC,

 
  200      

3.000%, 03/15/23

    197   
  522      

3.050%, 03/15/22

    527   
  300      

3.450%, 09/15/21

    313   
  136      

3.600%, 09/01/20

    144   
  249      

3.750%, 04/01/24

    259   
  375      

4.375%, 09/01/42

    378   
  769      

5.150%, 09/01/43

    861   
  1,000      

5.400%, 06/01/41

    1,165   
  540      

5.650%, 05/01/17

    603   
  335      

5.750%, 03/15/18

    381   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Road & Rail — continued  
  425      

5.750%, 05/01/40

    516   
  250      

6.700%, 08/01/28

    315   
  250      

Canadian Pacific Railway Co., (Canada), 7.125%, 10/15/31

    341   
  

CSX Corp.,

 
  400      

3.400%, 08/01/24

    407   
  191      

4.100%, 03/15/44

    187   
  300      

4.250%, 06/01/21

    329   
  575      

5.500%, 04/15/41

    677   
  145      

6.250%, 04/01/15

    150   
  215      

7.375%, 02/01/19

    261   
  500      

7.900%, 05/01/17

    582   
  

ERAC USA Finance LLC,

 
  355      

2.750%, 03/15/17 (e)

    367   
  559      

4.500%, 08/16/21 (e)

    612   
  436      

5.625%, 03/15/42 (e)

    511   
  350      

6.375%, 10/15/17 (e)

    400   
  746      

6.700%, 06/01/34 (e)

    961   
  

Norfolk Southern Corp.,

 
  746      

3.250%, 12/01/21

    771   
  595      

3.950%, 10/01/42

    574   
  100      

6.000%, 03/15/05 (†)

    126   
  1,776      

6.000%, 05/23/11 (†††)

    2,203   
  365      

7.700%, 05/15/17

    426   
  479      

Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)

    493   
  

Ryder System, Inc.,

 
  484      

2.500%, 03/01/17

    499   
  434      

3.600%, 03/01/16

    452   
  

Union Pacific Corp.,

 
  182      

2.950%, 01/15/23

    183   
  838      

3.646%, 02/15/24

    877   
  710      

4.163%, 07/15/22

    780   
  200      

4.300%, 06/15/42

    207   
  235      

4.875%, 01/15/15

    239   
    

 

 

 
       19,274   
    

 

 

 
  

Total Industrials

    46,287   
    

 

 

 
  

Information Technology — 1.2%

  

  

Communications Equipment — 0.1%

  

  

Cisco Systems, Inc.,

 
  197      

2.900%, 03/04/21

    202   
  500      

3.625%, 03/04/24

    521   
  988      

5.500%, 02/22/16

    1,060   
  350      

5.500%, 01/15/40

    419   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         45   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Communications Equipment — continued  
  755      

5.900%, 02/15/39

    943   
    

 

 

 
       3,145   
    

 

 

 
  

Electronic Equipment, Instruments & Components — 0.1%

  

  

Arrow Electronics, Inc.,

 
  219      

3.000%, 03/01/18

    226   
  575      

3.375%, 11/01/15

    591   
  190      

4.500%, 03/01/23

    199   
  165      

6.000%, 04/01/20

    187   
  500      

6.875%, 06/01/18

    574   
  1,163      

7.500%, 01/15/27

    1,449   
    

 

 

 
       3,226   
    

 

 

 
  

Internet Software & Services — 0.1%

  

  

eBay, Inc.,

 
  375      

2.600%, 07/15/22

    364   
  1,125      

2.875%, 08/01/21

    1,127   
  500      

3.450%, 08/01/24

    503   
  271      

4.000%, 07/15/42

    248   
    

 

 

 
       2,242   
    

 

 

 
  

IT Services — 0.3%

  

  

International Business Machines Corp.,

 
  409      

1.250%, 02/06/17

    412   
  3,267      

1.625%, 05/15/20

    3,151   
  2,600      

5.700%, 09/14/17

    2,942   
  765      

6.220%, 08/01/27

    978   
  1,075      

7.625%, 10/15/18

    1,319   
  

Xerox Corp.,

 
  271      

2.950%, 03/15/17

    282   
  270      

4.500%, 05/15/21

    293   
  610      

5.625%, 12/15/19

    698   
  550      

6.750%, 02/01/17

    619   
    

 

 

 
       10,694   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 0.1%

  

  

Intel Corp.,

 
  772      

3.300%, 10/01/21

    806   
  685      

4.000%, 12/15/32

    690   
  1,460      

National Semiconductor Corp., 6.600%, 06/15/17

    1,675   
  365      

Texas Instruments, Inc., 1.650%, 08/03/19

    358   
    

 

 

 
       3,529   
    

 

 

 
  

Software — 0.2%

  

  470      

Intuit, Inc., 5.750%, 03/15/17

    521   
  

Microsoft Corp.,

 
  262      

0.875%, 11/15/17

    260   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Software — continued  
  720      

1.625%, 09/25/15

    730   
  384      

2.125%, 11/15/22

    370   
  810      

2.375%, 05/01/23

    786   
  1,155      

3.625%, 12/15/23

    1,223   
  117      

4.500%, 10/01/40

    125   
  

Oracle Corp.,

 
  586      

Series NOTE, 2.800%, 07/08/21

    592   
  1,000      

3.625%, 07/15/23

    1,046   
  457      

4.300%, 07/08/34

    477   
  500      

5.000%, 07/08/19

    567   
  1,422      

5.250%, 01/15/16

    1,514   
  813      

5.750%, 04/15/18

    930   
  475      

6.500%, 04/15/38

    628   
    

 

 

 
       9,769   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.3%

  

  

Apple, Inc.,

 
  2,556      

2.400%, 05/03/23

    2,452   
  2,364      

2.850%, 05/06/21

    2,407   
  2,069      

VAR, 0.489%, 05/03/18

    2,071   
  300      

Dell, Inc., 7.100%, 04/15/28

    305   
  

EMC Corp.,

 
  850      

1.875%, 06/01/18

    852   
  1,000      

3.375%, 06/01/23

    1,014   
  

Hewlett-Packard Co.,

 
  282      

4.300%, 06/01/21

    303   
  472      

4.375%, 09/15/21

    511   
  201      

4.650%, 12/09/21

    222   
  849      

6.000%, 09/15/41

    1,006   
    

 

 

 
       11,143   
    

 

 

 
  

Total Information Technology

    43,748   
    

 

 

 
  

Materials — 0.6%

 
  

Chemicals — 0.4%

 
  500      

CF Industries, Inc., 7.125%, 05/01/20

    610   
  

Dow Chemical Co. (The),

 
  542      

3.000%, 11/15/22

    535   
  470      

4.125%, 11/15/21

    503   
  223      

4.250%, 11/15/20

    243   
  200      

5.250%, 11/15/41

    223   
  375      

7.375%, 11/01/29

    510   
  73      

8.550%, 05/15/19

    93   
  

E.I. du Pont de Nemours & Co.,

 
  635      

1.950%, 01/15/16

    647   
  350      

4.900%, 01/15/41

    386   
  1,740      

6.000%, 07/15/18

    2,020   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Chemicals — continued  
  

Ecolab, Inc.,

 
  447      

1.450%, 12/08/17

    447   
  150      

5.500%, 12/08/41

    176   
  

Monsanto Co.,

 
  664      

2.750%, 07/15/21

    667   
  253      

4.200%, 07/15/34

    263   
  278      

4.700%, 07/15/64

    288   
  

Mosaic Co. (The),

 
  280      

3.750%, 11/15/21

    293   
  1,456      

4.250%, 11/15/23

    1,556   
  79      

4.875%, 11/15/41

    82   
  861      

5.450%, 11/15/33

    981   
  347      

5.625%, 11/15/43

    401   
  85      

Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17

    90   
  

PPG Industries, Inc.,

 
  114      

5.500%, 11/15/40

    137   
  700      

6.650%, 03/15/18

    813   
  355      

9.000%, 05/01/21

    467   
  662      

Praxair, Inc., 4.625%, 03/30/15

    678   
  

Union Carbide Corp.,

 
  1,000      

7.500%, 06/01/25

    1,295   
  850      

7.750%, 10/01/96

    1,109   
    

 

 

 
       15,513   
    

 

 

 
  

Metals & Mining — 0.2%

  

  

BHP Billiton Finance USA Ltd., (Australia),

 
  815      

3.850%, 09/30/23

    868   
  410      

5.400%, 03/29/17

    454   
  560      

6.500%, 04/01/19

    671   
  

Freeport-McMoRan, Inc.,

 
  1,329      

2.150%, 03/01/17

    1,354   
  1,138      

3.875%, 03/15/23

    1,155   
  299      

5.450%, 03/15/43

    323   
  283      

Nucor Corp., 4.000%, 08/01/23

    296   
  295      

Placer Dome, Inc., (Canada), 6.450%, 10/15/35

    334   
  

Rio Tinto Finance USA Ltd., (Australia),

 
  117      

3.500%, 11/02/20

    123   
  550      

3.750%, 09/20/21

    586   
  650      

9.000%, 05/01/19

    846   
  393      

Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17

    398   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Metals & Mining — continued  
  676      

Teck Resources Ltd., (Canada), 4.750%, 01/15/22

    716   
    

 

 

 
       8,124   
    

 

 

 
  

Total Materials

    23,637   
    

 

 

 
  

Telecommunication Services — 1.0%

  

  

Diversified Telecommunication Services — 0.9%

  

  

AT&T, Inc.,

 
  731      

0.900%, 02/12/16

    733   
  840      

3.900%, 03/11/24

    880   
  879      

4.300%, 12/15/42

    855   
  462      

4.350%, 06/15/45

    450   
  850      

4.450%, 05/15/21

    942   
  375      

5.350%, 09/01/40

    419   
  250      

5.500%, 02/01/18

    282   
  2,700      

6.300%, 01/15/38

    3,372   
  358      

BellSouth Telecommunications LLC, 6.300%, 12/15/15

    361   
  

British Telecommunications plc, (United Kingdom),

 
  200      

2.000%, 06/22/15

    202   
  531      

2.350%, 02/14/19

    537   
  150      

9.625%, 12/15/30

    242   
  600      

Centel Capital Corp., 9.000%, 10/15/19

    727   
  

Deutsche Telekom International Finance B.V., (Netherlands),

 
  336      

2.250%, 03/06/17 (e)

    343   
  232      

4.875%, 03/06/42 (e)

    247   
  400      

6.000%, 07/08/19

    467   
  325      

8.607%, 06/15/30

    486   
  1,742      

GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)

    1,783   
  267      

Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17

    268   
  

Orange S.A., (France),

 
  560      

2.750%, 09/14/16

    579   
  1,305      

9.000%, 03/01/31

    1,993   
  741      

Qwest Corp., 6.750%, 12/01/21

    862   
  

Telefonica Emisiones S.A.U., (Spain),

 
  252      

3.192%, 04/27/18

    263   
  319      

5.134%, 04/27/20

    355   
  316      

5.462%, 02/16/21

    359   
  207      

5.877%, 07/15/19

    239   
  300      

6.421%, 06/20/16

    328   
  

Verizon Communications, Inc.,

 
  432      

2.625%, 02/21/20 (e)

    433   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         47   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Diversified Telecommunication Services — continued  
  381      

3.450%, 03/15/21

    395   
  938      

4.150%, 03/15/24

    993   
  1,762      

4.500%, 09/15/20

    1,936   
  4,762      

4.862%, 08/21/46 (e)

    4,991   
  100      

5.850%, 09/15/35

    119   
  980      

6.400%, 09/15/33

    1,237   
  175      

6.400%, 02/15/38

    219   
  500      

Verizon New England, Inc., 7.875%, 11/15/29

    648   
  

Verizon Pennsylvania LLC,

 
  750      

6.000%, 12/01/28

    830   
  1,444      

8.350%, 12/15/30

    1,922   
  500      

8.750%, 08/15/31

    685   
    

 

 

 
       32,982   
    

 

 

 
  

Wireless Telecommunication Services — 0.1%

  

  

America Movil S.A.B. de C.V., (Mexico),

 
  640      

2.375%, 09/08/16

    656   
  592      

3.125%, 07/16/22

    587   
  485      

Crown Castle Towers LLC, 3.214%, 08/15/15 (e)

    492   
  

Rogers Communications, Inc., (Canada),

 
  1,547      

4.100%, 10/01/23

    1,622   
  400      

8.750%, 05/01/32

    578   
  

Vodafone Group plc, (United Kingdom),

 
  350      

1.500%, 02/19/18

    347   
  1,200      

1.625%, 03/20/17

    1,208   
    

 

 

 
       5,490   
    

 

 

 
  

Total Telecommunication Services

    38,472   
    

 

 

 
  

Utilities — 1.6%

  

  

Electric Utilities — 1.1%

  

  239      

Alabama Power Co., 6.125%, 05/15/38

    315   
  286      

American Electric Power Co., Inc., 1.650%, 12/15/17

    287   
  

Arizona Public Service Co.,

 
  296      

4.500%, 04/01/42

    316   
  467      

5.050%, 09/01/41

    541   
  455      

Baltimore Gas & Electric Co., 2.800%, 08/15/22

    454   
  1,025      

Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17

    1,220   
  831      

Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)

    900   
  195      

Connecticut Light & Power Co. (The), 5.650%, 05/01/18

    222   
  224      

DTE Electric Co., 2.650%, 06/15/22

    223   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Electric Utilities — continued  
  

Duke Energy Carolinas LLC,

 
  129      

4.250%, 12/15/41

    134   
  660      

5.100%, 04/15/18

    740   
  100      

6.000%, 01/15/38

    130   
  

Duke Energy Florida, Inc.,

 
  290      

5.650%, 06/15/18

    333   
  245      

6.400%, 06/15/38

    334   
  1,320      

Duke Energy Indiana, Inc., 6.350%, 08/15/38

    1,802   
  

Duke Energy Progress, Inc.,

 
  540      

2.800%, 05/15/22

    544   
  273      

4.100%, 05/15/42

    277   
  125      

4.100%, 03/15/43

    128   
  325      

5.300%, 01/15/19

    370   
  

Electricite de France S.A., (France),

 
  770      

2.150%, 01/22/19 (e)

    776   
  1,300      

6.000%, 01/22/14 (e) (††††)

    1,513   
  950      

Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)

    1,057   
  

Florida Power & Light Co.,

 
  420      

5.950%, 10/01/33

    550   
  350      

5.950%, 02/01/38

    455   
  210      

Georgia Power Co., 5.950%, 02/01/39

    265   
  229      

Great Plains Energy, Inc., 4.850%, 06/01/21

    254   
  

Hydro-Quebec, (Canada),

 
  350      

Series IO, 8.050%, 07/07/24

    489   
  1,000      

Series HY, 8.400%, 01/15/22

    1,323   
  100      

Indiana Michigan Power Co., 7.000%, 03/15/19

    121   
  100      

Jersey Central Power & Light Co., 7.350%, 02/01/19

    120   
  808      

John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42

    893   
  

Kansas City Power & Light Co.,

 
  403      

3.150%, 03/15/23

    407   
  1,400      

5.300%, 10/01/41

    1,610   
  125      

MidAmerican Energy Co., 5.300%, 03/15/18

    141   
  

Nevada Power Co.,

 
  55      

5.375%, 09/15/40

    67   
  305      

5.450%, 05/15/41

    377   
  720      

6.500%, 08/01/18

    846   
  100      

Series N, 6.650%, 04/01/36

    136   
  

NextEra Energy Capital Holdings, Inc.,

 
  196      

1.200%, 06/01/15

    197   
  371      

2.400%, 09/15/19

    373   
  725      

6.000%, 03/01/19

    841   
  300      

7.875%, 12/15/15

    327   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Electric Utilities — continued  
  300      

Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)

    335   
  510      

Northern States Power Co., 6.250%, 06/01/36

    690   
  320      

Ohio Power Co., 6.050%, 05/01/18

    367   
  

Oncor Electric Delivery Co. LLC,

 
  840      

6.800%, 09/01/18

    992   
  110      

7.000%, 09/01/22

    141   
  

Pacific Gas & Electric Co.,

 
  544      

2.450%, 08/15/22

    527   
  71      

3.250%, 09/15/21

    73   
  250      

3.250%, 06/15/23

    252   
  217      

4.450%, 04/15/42

    225   
  390      

4.500%, 12/15/41

    407   
  810      

5.625%, 11/30/17

    913   
  100      

6.050%, 03/01/34

    125   
  160      

8.250%, 10/15/18

    199   
  

PacifiCorp,

 
  180      

5.500%, 01/15/19

    206   
  150      

5.650%, 07/15/18

    172   
  

PECO Energy Co.,

 
  350      

2.375%, 09/15/22

    341   
  175      

5.350%, 03/01/18

    196   
  1,085      

Potomac Electric Power Co., 6.500%, 11/15/37

    1,471   
  673      

Progress Energy, Inc., 3.150%, 04/01/22

    683   
  

Public Service Co. of Colorado,

 
  250      

2.250%, 09/15/22

    241   
  90      

3.200%, 11/15/20

    93   
  125      

5.800%, 08/01/18

    143   
  2,490      

Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37

    3,335   
  

Public Service Electric & Gas Co.,

 
  210      

5.300%, 05/01/18

    237   
  317      

5.375%, 11/01/39

    388   
  65      

South Carolina Electric & Gas Co., 4.500%, 06/01/64

    67   
  

Southern California Edison Co.,

 
  318      

Series C, 3.500%, 10/01/23

    333   
  175      

4.150%, 09/15/14

    175   
  785      

5.500%, 08/15/18

    895   
  200      

Series 08-A, 5.950%, 02/01/38

    257   
  1,185      

6.050%, 03/15/39

    1,552   
  363      

Southern Co. (The), 1.950%, 09/01/16

    371   
  570      

Southwestern Public Service Co., Series G, 8.750%, 12/01/18

    722   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
       Electric Utilities — continued  
  312      

State Grid Overseas Investment Ltd., (United Kingdom), 1.750%, 05/22/18 (e)

    307   
  

Virginia Electric and Power Co.,

 
  64      

3.450%, 02/15/24

    66   
  1,415      

5.400%, 04/30/18

    1,600   
  630      

5.950%, 09/15/17

    717   
  

Wisconsin Electric Power Co.,

 
  21      

2.950%, 09/15/21

    21   
  275      

6.250%, 12/01/15

    294   
  

Xcel Energy, Inc.,

 
  162      

0.750%, 05/09/16

    162   
  92      

4.800%, 09/15/41

    102   
  200      

6.500%, 07/01/36

    267   
    

 

 

 
       43,068   
    

 

 

 
  

Gas Utilities — 0.0% (g)

  

  

Atmos Energy Corp.,

 
  828      

4.150%, 01/15/43

    852   
  375      

8.500%, 03/15/19

    476   
  308      

Boston Gas Co., 4.487%, 02/15/42 (e)

    323   
  335      

CenterPoint Energy Resources Corp., 6.125%, 11/01/17

    383   
    

 

 

 
       2,034   
    

 

 

 
  

Independent Power & Renewable Electricity Producers — 0.1%

   

  

Exelon Generation Co. LLC,

 
  1,020      

4.000%, 10/01/20

    1,076   
  235      

5.750%, 10/01/41

    266   
  

PSEG Power LLC,

 
  442      

4.300%, 11/15/23

    467   
  772      

5.125%, 04/15/20

    862   
  202      

Southern Power Co., 5.150%, 09/15/41

    229   
    

 

 

 
       2,900   
    

 

 

 
  

Multi-Utilities — 0.4%

  

  

AGL Capital Corp.,

 
  563      

3.500%, 09/15/21

    590   
  208      

4.400%, 06/01/43

    214   
  1,445      

5.875%, 03/15/41

    1,820   
  1,243      

6.375%, 07/15/16

    1,359   
  596      

Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40

    737   
  

Consumers Energy Co.,

 
  216      

2.850%, 05/15/22

    218   
  130      

5.650%, 04/15/20

    152   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         49   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Corporate Bonds — continued  
       Multi-Utilities — continued  
  235      

Delmarva Power & Light Co., 4.000%, 06/01/42

    235   
  

Dominion Resources, Inc.,

 
  920      

Series F, 5.250%, 08/01/33

    1,057   
  300      

7.000%, 06/15/38

    414   
  600      

8.875%, 01/15/19

    765   
  289      

DTE Energy Co., Series F, 3.850%, 12/01/23

    303   
  

NiSource Finance Corp.,

 
  370      

3.850%, 02/15/23

    384   
  360      

4.450%, 12/01/21

    390   
  1,256      

5.800%, 02/01/42

    1,460   
  

San Diego Gas & Electric Co.,

 
  379      

3.950%, 11/15/41

    382   
  275      

6.000%, 06/01/26

    344   
  

Sempra Energy,

 
  350      

2.875%, 10/01/22

    348   
  236      

3.550%, 06/15/24

    241   
  1,013      

4.050%, 12/01/23

    1,082   
  1,150      

6.150%, 06/15/18

    1,329   
  180      

6.500%, 06/01/16

    197   
  460      

9.800%, 02/15/19

    605   
    

 

 

 
       14,626   
    

 

 

 
  

Total Utilities

    62,628   
    

 

 

 
  

Total Corporate Bonds
(Cost $664,804)

    717,115   
    

 

 

 

 

Foreign Government Securities — 1.3%

  

  

Federative Republic of Brazil, (Brazil),

 
  825      

4.250%, 01/07/25

    856   
  472      

5.000%, 01/27/45

    484   
  

Israel Government AID Bond, (Israel),

 
  20,000      

Zero Coupon, 03/15/18

    18,923   
  1,500      

Zero Coupon, 11/01/23

    1,155   
  1,500      

Zero Coupon, 11/01/24

    1,110   
  1,000      

5.500%, 09/18/33

    1,293   
  1,776      

Series 6-Z, Zero Coupon, 02/15/22

    1,467   
  

Province of Ontario, (Canada),

 
  1,387      

1.650%, 09/27/19

    1,365   
  700      

2.700%, 06/16/15

    714   
  2,220      

2.950%, 02/05/15

    2,245   
  377      

Province of Quebec, (Canada), Series A, SUB, 7.365%, 03/06/26

    513   
  1,133      

Republic of Poland, (Poland), 4.000%, 01/22/24

    1,188   
  

Republic of South Africa, (South Africa),

 
  1,436      

5.375%, 07/24/44

    1,499   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
  640     

5.875%, 09/16/25

    724   
 

Republic of Turkey, (Turkey),

 
  719     

5.750%, 03/22/24

    798   
  351     

6.625%, 02/17/45

    420   
  5,000     

Tunisia Government AID Bond, (Tunisia), 1.686%, 07/16/19

    4,977   
 

United Mexican States, (Mexico),

 
  2,030     

3.500%, 01/21/21

    2,111   
  1,732     

4.000%, 10/02/23

    1,838   
  120     

4.750%, 03/08/44

    126   
  4,913     

5.550%, 01/21/45

    5,748   
   

 

 

 
 

Total Foreign Government Securities
(Cost $47,752)

    49,554   
   

 

 

 

 

Mortgage Pass-Through Securities — 14.8%

  

 

Federal Home Loan Mortgage Corp.,

 
  28     

ARM, 2.089%, 07/01/19

    28   
  412     

ARM, 2.125%, 10/01/36

    437   
  106     

ARM, 2.220%, 10/01/36

    111   
  354     

ARM, 2.226%, 12/01/36

    377   
  399     

ARM, 2.290%, 11/01/36

    425   
  881     

ARM, 2.304%, 04/01/34

    937   
  964     

ARM, 2.309%, 03/01/37

    1,029   
  35     

ARM, 2.314%, 04/01/30

    37   
  255     

ARM, 2.348%, 02/01/36

    273   
  540     

ARM, 2.355%, 12/01/33

    577   
  609     

ARM, 2.375%, 05/01/36 - 11/01/36

    651   
  187     

ARM, 2.505%, 02/01/37

    201   
  352     

ARM, 2.693%, 12/01/34

    376   
  562     

ARM, 2.785%, 10/01/36

    602   
  328     

ARM, 3.473%, 07/01/36

    342   
  502     

ARM, 3.555%, 02/01/36

    533   
  1,726     

ARM, 4.000%, 07/01/40

    1,836   
  474     

ARM, 5.045%, 01/01/35

    499   
 

Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,

 
  (h)   

4.000%, 05/01/19

    (h) 
  107     

4.500%, 08/01/18

    113   
  269     

5.000%, 12/01/18

    284   
  2,455     

5.500%, 06/01/17 - 01/01/24

    2,706   
  40     

6.000%, 04/01/18

    42   
  324     

6.500%, 08/01/16 - 02/01/19

    339   
  3     

7.000%, 04/01/17

    3   
  (h)   

7.500%, 10/01/14

    (h) 
  (h)   

8.500%, 11/01/15

    (h) 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Mortgage Pass-Through Securities — continued  
  

Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,

 
  2,674      

3.500%, 01/01/32 - 03/01/32

    2,801   
  95      

6.000%, 12/01/22

    106   
  278      

6.500%, 11/01/22

    313   
  

Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,

 
  4,436      

3.500%, 04/01/43

    4,564   
  1,253      

4.000%, 09/01/35

    1,330   
  5,561      

4.500%, 05/01/41

    6,037   
  4,828      

5.000%, 09/01/34 - 08/01/40

    5,337   
  1,860      

5.500%, 10/01/33 - 07/01/35

    2,072   
  340      

6.000%, 12/01/33 - 01/01/34

    387   
  1,704      

6.500%, 11/01/34 - 11/01/36

    1,940   
  532      

7.000%, 07/01/32 - 10/01/36

    588   
  631      

Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30

    718   
  

Federal Home Loan Mortgage Corp. Gold Pools, Other,

 
  2,877      

3.000%, 03/01/33

    2,956   
  23,943      

3.500%, 10/01/32 - 06/01/43

    24,805   
  9,301      

4.000%, 01/01/32 - 01/01/43

    9,911   
  396      

5.500%, 10/01/33 - 01/01/34

    430   
  577      

6.000%, 02/01/33

    626   
  58      

7.000%, 07/01/29

    64   
  

Federal Home Loan Mortgage Corp., 30 Year, Single Family,

 
  1      

12.000%, 08/01/15 - 07/01/19

    1   
  

Federal National Mortgage Association,

 
  67      

ARM, 1.688%, 09/01/34

    70   
  984      

ARM, 1.784%, 01/01/33

    1,043   
  689      

ARM, 1.788%, 07/01/33

    749   
  593      

ARM, 1.834%, 05/01/35

    632   
  7      

ARM, 1.875%, 03/01/19

    7   
  1,704      

ARM, 1.899%, 01/01/35

    1,793   
  1,311      

ARM, 1.910%, 09/01/35

    1,382   
  444      

ARM, 1.921%, 11/01/34

    473   
  597      

ARM, 1.940%, 07/01/36

    637   
  5      

ARM, 1.973%, 01/01/19

    5   
  297      

ARM, 2.038%, 04/01/34

    312   
  998      

ARM, 2.046%, 11/01/34

    1,054   
  621      

ARM, 2.120%, 01/01/35

    659   
  956      

ARM, 2.124%, 06/01/35

    1,017   
  315      

ARM, 2.135%, 08/01/34

    340   
  279      

ARM, 2.142%, 01/01/36

    296   
  169      

ARM, 2.143%, 09/01/35

    181   
  180      

ARM, 2.170%, 07/01/34

    192   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  774      

ARM, 2.175%, 10/01/34

    825   
  486      

ARM, 2.180%, 10/01/34

    518   
  286      

ARM, 2.189%, 09/01/34

    305   
  259      

ARM, 2.199%, 02/01/35

    276   
  170      

ARM, 2.220%, 05/01/35

    180   
  230      

ARM, 2.248%, 06/01/36

    246   
  20      

ARM, 2.262%, 04/01/34

    20   
  596      

ARM, 2.267%, 08/01/34

    635   
  296      

ARM, 2.277%, 07/01/33 - 11/01/33

    305   
  210      

ARM, 2.295%, 01/01/34

    224   
  606      

ARM, 2.321%, 07/01/33

    646   
  478      

ARM, 2.335%, 05/01/34

    512   
  1,631      

ARM, 2.338%, 04/01/35

    1,737   
  395      

ARM, 2.354%, 04/01/35

    424   
  205      

ARM, 2.428%, 01/01/38

    220   
  443      

ARM, 2.475%, 09/01/33

    472   
  295      

ARM, 2.505%, 10/01/34

    317   
  67      

ARM, 2.614%, 09/01/27

    71   
  634      

ARM, 2.692%, 10/01/36

    682   
  106      

ARM, 2.750%, 02/01/34

    106   
  72      

ARM, 2.875%, 01/01/36

    72   
  49      

ARM, 3.705%, 03/01/29

    52   
  2,000      

3.760%, 11/01/23

    2,155   
  

Federal National Mortgage Association, 15 Year, Single Family,

 
  617      

3.500%, 09/01/18 - 07/01/19

    653   
  376      

4.000%, 08/01/18 - 10/01/18

    398   
  1,994      

4.500%, 06/01/18 - 12/01/19

    2,120   
  719      

5.000%, 06/01/18 - 08/01/24

    776   
  680      

5.500%, 03/01/20 - 07/01/20

    721   
  4,200      

6.000%, 06/01/16 - 01/01/24

    4,595   
  176      

6.500%, 03/01/17 - 08/01/20

    185   
  161      

7.000%, 03/01/17 - 09/01/17

    169   
  3      

7.500%, 03/01/17

    3   
  1      

8.000%, 11/01/15

    1   
  

Federal National Mortgage Association, 20 Year, Single Family,

 
  1,555      

3.500%, 08/01/32

    1,632   
  108      

4.500%, 04/01/24

    116   
  1,019      

6.500%, 05/01/22 - 04/01/25

    1,149   
  

Federal National Mortgage Association, 30 Year, FHA/VA,

 
  80      

6.000%, 09/01/33

    88   
  1,022      

6.500%, 03/01/29 - 08/01/39

    1,134   
  17      

7.000%, 02/01/33

    19   
  48      

8.000%, 06/01/28

    55   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         51   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
Mortgage Pass-Through Securities — continued  
  14     

9.000%, 05/01/18 - 12/01/25

    15   
 

Federal National Mortgage Association, 30 Year, Single Family,

 
  356     

4.500%, 11/01/33 - 02/01/35

    386   
  1,398     

5.000%, 07/01/33 - 09/01/35

    1,557   
  1,870     

5.500%, 09/01/31 - 03/01/34

    2,112   
  2,355     

6.000%, 12/01/28 - 09/01/37

    2,680   
  1,093     

6.500%, 11/01/29 - 08/01/31

    1,252   
  907     

7.000%, 01/01/24 - 01/01/39

    1,008   
  356     

7.500%, 08/01/36 - 11/01/37

    391   
  559     

8.000%, 03/01/27 - 11/01/28

    668   
  1     

9.000%, 04/01/26

    1   
  13     

9.500%, 07/01/28

    14   
  (h)   

12.500%, 01/01/16

    (h) 
 

Federal National Mortgage Association, Other,

 
  1,453     

VAR, 0.515%, 01/01/23

    1,466   
  2,902     

VAR, 0.545%, 01/01/23

    2,927   
  4,931     

VAR, 0.615%, 11/01/23

    4,971   
  4,000     

VAR, 0.625%, 12/01/23

    4,030   
  3,000     

VAR, 0.645%, 11/01/23

    3,000   
  952     

VAR, 0.955%, 03/01/22

    952   
  2,408     

VAR, 6.070%, 11/01/18

    2,598   
  2,000     

1.690%, 12/01/19

    1,957   
  3,450     

1.792%, 05/01/20

    3,396   
  3,917     

1.808%, 06/01/20

    3,854   
  1,997     

1.940%, 07/01/19

    2,002   
  1,500     

2.066%, 12/01/20

    1,470   
  12,000     

2.077%, 06/01/20

    12,012   
  4,569     

2.097%, 08/01/19

    4,580   
  5,407     

2.190%, 09/01/21 - 12/01/22

    5,255   
  1,987     

2.211%, 04/01/19

    2,016   
  1,464     

2.221%, 04/01/19

    1,477   
  3,971     

2.283%, 12/01/22

    3,881   
  5,360     

2.390%, 12/01/22

    5,289   
  5,389     

2.418%, 12/01/22

    5,306   
  1,953     

2.428%, 05/01/23

    1,912   
  3,375     

2.449%, 11/01/22

    3,335   
  3,000     

2.459%, 12/01/22

    2,965   
  3,500     

2.480%, 12/01/22

    3,461   
  5,607     

2.490%, 10/01/17

    5,791   
  2,940     

2.500%, 06/01/23

    2,886   
  4,000     

2.531%, 11/01/22

    3,976   
  2,903     

2.542%, 02/01/23

    2,874   
  1,468     

2.593%, 06/01/23

    1,452   
  6,955     

2.604%, 10/01/22 - 05/01/23

    6,874   
  3,000     

2.670%, 07/01/22

    3,022   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  6,776      

2.690%, 10/01/17

    7,044   
  3,363      

2.703%, 04/01/23

    3,380   
  4,955      

2.808%, 07/01/23

    5,035   
  3,214      

2.841%, 03/01/22

    3,197   
  1,565      

2.862%, 05/01/22

    1,593   
  3,740      

2.970%, 11/01/18

    3,897   
  7,289      

3.000%, 02/01/22 - 01/01/43

    7,424   
  1,444      

3.038%, 05/01/22

    1,484   
  5,939      

3.050%, 04/01/22

    6,148   
  6,986      

3.070%, 01/01/22

    7,249   
  4,500      

3.079%, 07/01/22

    4,635   
  2,000      

3.120%, 01/01/22

    2,082   
  2,732      

3.160%, 02/01/22

    2,854   
  1,831      

3.224%, 05/01/22

    1,904   
  9,714      

3.230%, 11/01/20

    10,221   
  1,458      

3.255%, 12/01/21

    1,525   
  2,203      

3.260%, 01/01/22

    2,317   
  1,974      

3.290%, 10/01/20

    2,083   
  3,904      

3.306%, 02/01/22

    4,086   
  943      

3.375%, 11/01/20

    1,002   
  1,962      

3.461%, 11/01/20

    2,077   
  48,128      

3.500%, 12/01/32 - 08/01/43

    49,634   
  2,000      

3.503%, 08/01/17

    2,113   
  1,925      

3.520%, 01/01/18

    2,047   
  1,441      

3.544%, 09/01/20

    1,530   
  2,500      

3.590%, 08/01/23

    2,687   
  2,836      

3.600%, 09/01/20

    3,037   
  7,394      

3.621%, 09/01/20

    7,881   
  4,881      

3.658%, 10/01/20

    5,212   
  1,500      

3.690%, 11/01/23

    1,608   
  4,571      

3.730%, 07/01/22

    4,920   
  1,879      

3.740%, 07/01/20

    2,025   
  3,000      

3.760%, 10/01/23

    3,229   
  972      

3.761%, 01/01/25

    1,026   
  5,000      

3.792%, 07/01/23

    5,356   
  2,915      

3.802%, 09/01/20

    3,134   
  3,000      

3.895%, 09/01/21

    3,236   
  2,869      

3.906%, 09/01/21

    3,104   
  6,679      

3.916%, 09/01/21

    7,231   
  1,943      

3.930%, 07/01/20

    2,111   
  4,667      

3.947%, 06/01/17

    4,952   
  4,750      

3.980%, 11/01/16

    4,798   
  1,540      

3.999%, 01/01/21

    1,672   
  9,407      

4.000%, 10/01/32 - 07/01/42

    9,984   
  5,000      

4.019%, 09/01/21

    5,436   
  1,984      

4.061%, 01/01/21

    2,159   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Mortgage Pass-Through Securities — continued  
  7,954      

4.081%, 07/01/20 - 07/01/21

    8,675   
  1,410      

4.130%, 07/01/20

    1,546   
  2,380      

4.250%, 04/01/21

    2,640   
  1,654      

4.257%, 04/01/20

    1,813   
  4,438      

4.267%, 11/01/19 - 08/01/21

    4,870   
  2,096      

4.290%, 06/01/20

    2,314   
  1,346      

4.302%, 01/01/21

    1,495   
  1,439      

4.317%, 07/01/21

    1,599   
  1,457      

4.350%, 04/01/20

    1,612   
  944      

4.368%, 04/01/20

    1,048   
  1,936      

4.369%, 02/01/20

    2,140   
  1,429      

4.380%, 01/01/21

    1,587   
  1,866      

4.381%, 11/01/19

    2,048   
  1,981      

4.390%, 05/01/21

    2,205   
  2,000      

4.391%, 04/01/21

    2,218   
  2,000      

4.402%, 07/01/21

    2,217   
  2,396      

4.443%, 08/01/20 - 04/01/21

    2,648   
  2,106      

4.474%, 04/01/21

    2,341   
  5,000      

4.484%, 06/01/21

    5,539   
  917      

4.500%, 03/01/20

    1,013   
  6,440      

4.514%, 12/01/19

    7,166   
  4,226      

4.540%, 01/01/20

    4,675   
  2,000      

4.546%, 02/01/20

    2,216   
  2,870      

4.629%, 02/01/21

    3,205   
  3,839      

4.794%, 01/01/21

    4,315   
  1,878      

5.414%, 07/01/19

    2,123   
  413      

5.500%, 03/01/17 - 09/01/33

    450   
  1,170      

6.000%, 09/01/37 - 06/01/39

    1,273   
  350      

6.500%, 01/01/36 - 07/01/36

    394   
  61      

7.000%, 10/01/46

    67   
  49      

10.561%, 04/15/19

    55   
  

Government National Mortgage Association II, 30 Year, Single Family,

 
  303      

4.500%, 08/20/33

    332   
  3,131      

6.000%, 09/20/38

    3,524   
  61      

7.500%, 02/20/28 - 09/20/28

    73   
  96      

8.000%, 12/20/25 - 09/20/28

    113   
  31      

8.500%, 05/20/25

    36   
  

Government National Mortgage Association II, Other,

 
  10,107      

4.375%, 06/20/63

    10,941   
  10,415      

4.433%, 05/20/63

    11,418   
  3,088      

4.462%, 05/20/63

    3,389   
  2,055      

4.479%, 04/20/63

    2,231   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  

Government National Mortgage Association, 15 Year, Single Family,

 
  44      

6.500%, 06/15/17

    45   
  18      

8.000%, 01/15/16

    19   
  

Government National Mortgage Association, 30 Year, Single Family,

 
  313      

6.500%, 03/15/28 - 04/15/33

    358   
  188      

7.000%, 02/15/33 - 06/15/33

    213   
  43      

7.500%, 11/15/22 - 09/15/28

    48   
  16      

8.000%, 09/15/22 - 08/15/28

    17   
  2      

9.000%, 12/15/16

    2   
  572      

9.500%, 10/15/24

    643   
    

 

 

 
  

Total Mortgage Pass-Through Securities
(Cost $554,075)

    566,739   
    

 

 

 

 

Municipal Bonds — 0.3% (t)

  

  

California — 0.0% (g)

  

  440      

Los Angeles City Department of Airports, International Airport, Series C, Rev., 6.582%, 05/15/39

    562   
  350      

State of California, Various Purpose, GO, 7.300%, 10/01/39

    506   
    

 

 

 
       1,068   
    

 

 

 
  

Illinois — 0.0% (g)

  

  160      

State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33

    159   
    

 

 

 
  

New York — 0.2%

  

  360      

New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series D, 5.600%, 03/15/40

    448   
  2,500      

Port Authority of New York & New Jersey, Consolidated, Rev., 4.458%, 10/01/62

    2,628   
  1,825      

Port Authority of New York & New Jersey, Consolidated 164, Rev., 5.647%, 11/01/40

    2,287   
    

 

 

 
       5,363   
    

 

 

 
  

Ohio — 0.1%

  

  1,315      

American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.499%, 02/15/50

    1,877   
  1,563      

Ohio State University, General Receipts, Series A, Rev., 4.800%, 06/01/11 (†††)

    1,690   
    

 

 

 
       3,567   
    

 

 

 
  

Total Municipal Bonds
(Cost $8,733)

    10,157   
    

 

 

 

 

Supranational — 0.1%

  

  3,000      

African Development Bank, 8.800%, 09/01/19

    3,822   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         53   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
Supranational — continued  
  641      

Corp. Andina de Fomento, 3.750%, 01/15/16

    665   
    

 

 

 
  

Total Supranational
(Cost $4,435)

    4,487   
    

 

 

 

 

U.S. Government Agency Securities — 2.4%

  

  1,525      

Federal Home Loan Bank, 5.500%, 07/15/36

    2,021   
  6,000      

Federal National Mortgage Association, Zero Coupon, 06/01/17

    5,827   
  

Financing Corp. Fico,

 
  4,500      

Zero Coupon, 05/11/18

    4,250   
  2,000      

Zero Coupon, 04/05/19

    1,839   
  1,240      

Zero Coupon, 09/26/19

    1,122   
  

Government Trust Certificate,

 
  4,000      

Zero Coupon, 10/01/15

    3,954   
  5,000      

Zero Coupon, 04/01/16

    4,899   
  13,319      

Zero Coupon, 10/01/19

    11,647   
  

Residual Funding Corp. STRIPS,

 
  7,300      

Zero Coupon, 10/15/19

    6,609   
  30,450      

Zero Coupon, 07/15/20

    26,880   
  12,930      

Zero Coupon, 10/15/20

    11,311   
  

Tennessee Valley Authority,

 
  304      

4.625%, 09/15/60

    339   
  3,521      

5.250%, 09/15/39

    4,389   
  1,115      

5.880%, 04/01/36

    1,489   
  

Tennessee Valley Authority STRIPS,

 
  2,000      

Zero Coupon, 05/01/19

    1,819   
  5,000      

Zero Coupon, 11/01/25

    3,483   
  800      

Zero Coupon, 06/15/35

    360   
    

 

 

 
  

Total U.S. Government Agency Securities
(Cost $91,597)

    92,238   
    

 

 

 

 

U.S. Treasury Obligations — 26.3%

  

  

U.S. Treasury Bonds,

 
  200      

4.250%, 05/15/39

    244   
  4,900      

4.375%, 02/15/38

    6,077   
  7,575      

4.500%, 02/15/36

    9,550   
  1,300      

4.500%, 05/15/38

    1,642   
  1,750      

4.500%, 08/15/39

    2,219   
  1,500      

4.750%, 02/15/37

    1,957   
  15,370      

5.000%, 05/15/37

    20,721   
  850      

5.250%, 02/15/29

    1,114   
  1,250      

5.375%, 02/15/31

    1,686   
  750      

6.125%, 11/15/27

    1,049   
  300      

6.125%, 08/15/29

    428   
  2,506      

6.250%, 08/15/23

    3,326   
  900      

6.250%, 05/15/30

    1,310   
  525      

6.625%, 02/15/27

    756   
  4,690      

7.500%, 11/15/16

    5,393   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  1,881      

7.875%, 02/15/21

    2,566   
  864      

8.125%, 05/15/21

    1,201   
  1,845      

8.500%, 02/15/20

    2,499   
  7,000      

8.750%, 08/15/20

    9,742   
  20,115      

8.875%, 08/15/17

    24,754   
  

U.S. Treasury Coupon STRIPS,

 
  19,751      

1.523%, 08/15/16 (n)

    19,535   
  17,000      

1.821%, 05/15/21 (n)

    14,783   
  8,400      

1.859%, 05/15/18 (n)

    7,998   
  2,000      

2.026%, 02/15/18 (n)

    1,916   
  2,435      

2.051%, 02/15/20 (n)

    2,203   
  17,095      

2.271%, 02/15/21 (n)

    14,998   
  500      

2.486%, 11/15/23 (n)

    399   
  15,768      

2.502%, 02/15/22 (n)

    13,368   
  1,300      

2.540%, 08/15/23 (n)

    1,047   
  1,500      

2.572%, 05/15/22 (n)

    1,261   
  15,200      

2.621%, 05/15/23 (n)

    12,343   
  4,800      

2.631%, 08/15/22 (n)

    4,003   
  15,025      

2.705%, 11/15/21 (n)

    12,846   
  38,935      

2.948%, 08/15/20 (n)

    34,655   
  1,592      

3.046%, 08/15/26 (n)

    1,152   
  17,577      

3.057%, 05/15/19 (n)

    16,259   
  800      

3.058%, 05/15/35 (n)

    420   
  6,100      

3.205%, 08/15/21 (n)

    5,262   
  5,600      

3.280%, 05/15/28 (n)

    3,789   
  27,150      

3.288%, 11/15/26 (n)

    19,464   
  4,250      

3.303%, 02/15/32 (n)

    2,506   
  50,504      

3.335%, 05/15/20 (n)

    45,331   
  1,650      

3.366%, 08/15/34 (n)

    890   
  3,350      

3.449%, 08/15/32 (n)

    1,939   
  3,000      

3.471%, 05/15/31 (n)

    1,818   
  8,300      

3.478%, 11/15/27 (n)

    5,726   
  20,432      

3.545%, 02/15/23 (n)

    16,729   
  28,300      

3.574%, 02/15/27 (n)

    20,100   
  8,650      

3.580%, 11/15/31 (n)

    5,147   
  10,550      

3.609%, 05/15/32 (n)

    6,165   
  1,600      

3.675%, 08/15/29 (n)

    1,033   
  4,805      

3.721%, 02/15/29 (n)

    3,159   
  21,411      

3.722%, 08/15/17 (n)

    20,793   
  8,000      

3.748%, 02/15/31 (n)

    4,891   
  22,360      

3.807%, 08/15/19 (n)

    20,544   
  18,741      

3.841%, 08/15/18 (n)

    17,724   
  7,140      

3.936%, 11/15/32 (n)

    4,098   
  4,500      

3.964%, 08/15/31 (n)

    2,701   
  2,500      

4.024%, 02/15/33 (n)

    1,422   
  6,400      

4.044%, 05/15/30 (n)

    4,020   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
U.S. Treasury Obligations — continued  
  20,736      

4.199%, 02/15/17 (n)

    20,339   
  600      

4.239%, 08/15/24 (n)

    467   
  600      

4.275%, 02/15/26 (n)

    443   
  11,150      

4.282%, 05/15/33 (n)

    6,285   
  2,200      

4.295%, 11/15/24 (n)

    1,697   
  2,800      

4.321%, 05/15/34 (n)

    1,524   
  4,750      

4.445%, 11/15/33 (n)

    2,630   
  1,650      

4.489%, 11/15/29 (n)

    1,055   
  9,925      

4.517%, 11/15/30 (n)

    6,128   
  100      

4.646%, 08/15/35 (n)

    52   
  6,675      

4.673%, 08/15/27 (n)

    4,651   
  8,860      

4.674%, 02/15/28 (n)

    6,053   
  1,200      

4.832%, 02/15/35 (n)

    636   
  5,000      

4.838%, 02/15/34 (n)

    2,744   
  22,839      

4.964%, 11/15/17 (n)

    22,020   
  3,050      

5.003%, 08/15/33 (n)

    1,703   
  22,100      

5.078%, 02/15/30 (n)

    14,019   
  8,200      

5.279%, 08/15/30 (n)

    5,104   
  1,500      

5.464%, 05/15/26 (n)

    1,095   
  2,500      

5.499%, 11/15/28 (n)

    1,660   
  2,550      

5.536%, 05/15/27 (n)

    1,794   
  200      

5.594%, 05/15/24 (n)

    157   
  13,857      

5.613%, 11/15/16 (n)

    13,659   
  3,000      

5.714%, 08/15/28 (n)

    2,011   
  17,230      

5.772%, 02/15/15 (n)

    17,223   
  3,595      

6.321%, 05/15/15 (n)

    3,592   
  46,801      

6.340%, 02/15/16 (n)

    46,574   
  2,049      

6.360%, 08/15/15 (n)

    2,046   
  14,257      

6.406%, 11/15/15 (n)

    14,225   
  13,056      

7.051%, 11/15/14 (n)

    13,054   
  

U.S. Treasury Inflation Indexed Bonds,

 
  300      

2.500%, 01/15/29

    425   
  799      

3.625%, 04/15/28

    1,668   
  

U.S. Treasury Inflation Indexed Notes,

 
  1,000      

0.500%, 04/15/15

    1,105   
  1,000      

1.125%, 01/15/21

    1,168   
  630      

1.375%, 07/15/18

    750   
  

U.S. Treasury Notes,

 
  8,000      

0.750%, 12/31/17

    7,900   
  3,560      

0.875%, 01/31/18

    3,526   
  1,500      

1.000%, 06/30/19

    1,456   
  4,510      

1.000%, 11/30/19

    4,348   
  31,250      

1.250%, 10/31/18

    31,003   
  11,635      

1.375%, 11/30/18

    11,595   
  7,400      

1.500%, 08/31/18

    7,432   
  10,000      

2.000%, 02/15/22

    9,937   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
   
  12,245      

2.125%, 12/31/15

    12,550   
  7,500      

2.125%, 08/31/20

    7,605   
  1,000      

2.125%, 01/31/21

    1,010   
  36,000      

2.125%, 08/15/21

    36,211   
  10,000      

2.250%, 07/31/18

    10,341   
  21,972      

2.625%, 12/31/14

    22,157   
  1,000      

2.625%, 02/29/16

    1,034   
  4,575      

2.625%, 04/30/16

    4,744   
  9,300      

2.625%, 01/31/18

    9,750   
  700      

2.625%, 08/15/20

    730   
  2,300      

2.625%, 11/15/20

    2,395   
  17,985      

2.750%, 05/31/17

    18,903   
  2,000      

2.750%, 12/31/17

    2,105   
  9,000      

3.125%, 10/31/16

    9,487   
  6,015      

3.125%, 04/30/17

    6,379   
  11,638      

3.125%, 05/15/19

    12,449   
  7,250      

3.125%, 05/15/21

    7,773   
  15,700      

3.250%, 12/31/16

    16,632   
  12,300      

3.250%, 03/31/17

    13,070   
  2,600      

3.500%, 02/15/18

    2,803   
  450      

3.500%, 05/15/20

    492   
  7,000      

3.625%, 02/15/21

    7,719   
  2,500      

3.750%, 11/15/18

    2,737   
  10,000      

4.000%, 02/15/15

    10,177   
  

U.S. Treasury Principal STRIPS,

 
  16,180      

Zero Coupon, 02/15/15

    16,174   
  1,000      

Zero Coupon, 05/15/16

    993   
    

 

 

 
  

Total U.S. Treasury Obligations
(Cost $955,567)

    1,006,044   
    

 

 

 

 

Loan Assignments — 0.3%

  

  

Financials — 0.3%

  

  

Real Estate Management & Development — 0.3%

  

  1,657      

Fiveten Group Holdings Ltd., Revolving Loan, (United Kingdom), VAR, 4.500%, 04/10/15 (i)

    1,648   
  2,017      

Invitation Homes, Revolving Loan, VAR, 3.750%, 03/15/15 (i)

    2,007   
  5,974      

Progress Residential LP, Revolving Loan, VAR, 4.000%, 09/04/15 (i)

    5,944   
  4,193      

Tricon Capital Group Inc., Revolving Loan, (Canada), VAR, 4.100%, 06/13/15 (i)

    4,172   
    

 

 

 
  

Total Loan Assignments
(Cost $13,840)

    13,771   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         55   


Table of Contents

JPMorgan Core Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

    
SHARES
          VALUE($)  

 

Short-Term Investment — 2.5%

  

  

Investment Company — 2.5%

  

  95,077      

JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m)
(Cost $95,077)

    95,077   
    

 

 

 
  

Total Investments — 99.6%
(Cost $3,632,603)

    3,806,531   
  

Other Assets in Excess of
Liabilities — 0.4%

    13,808   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 3,820,339   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

JPMorgan Equity Index Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
   

 

Common Stocks — 98.6%

  

 

Consumer Discretionary — 11.7%

  

 

Auto Components — 0.4%

  

  5     

BorgWarner, Inc.

    298   
  6     

Delphi Automotive plc, (United Kingdom)

    402   
  6     

Goodyear Tire & Rubber Co. (The)

    150   
  14     

Johnson Controls, Inc.

    679   
   

 

 

 
      1,529   
   

 

 

 
 

Automobiles — 0.7%

  

  83     

Ford Motor Co.

    1,442   
  28     

General Motors Co.

    958   
  5     

Harley-Davidson, Inc.

    291   
   

 

 

 
      2,691   
   

 

 

 
 

Distributors — 0.1%

  

  3     

Genuine Parts Co.

    282   
   

 

 

 
 

Diversified Consumer Services — 0.1%

  

  (h)   

Graham Holdings Co., Class B

    68   
  6     

H&R Block, Inc.

    193   
   

 

 

 
      261   
   

 

 

 
 

Hotels, Restaurants & Leisure — 1.6%

  

  9     

Carnival Corp.

    348   
  1     

Chipotle Mexican Grill, Inc. (a)

    442   
  3     

Darden Restaurants, Inc.

    131   
  5     

Marriott International, Inc., Class A

    319   
  21     

McDonald’s Corp.

    1,940   
  16     

Starbucks Corp.

    1,227   
  4     

Starwood Hotels & Resorts Worldwide, Inc.

    340   
  3     

Wyndham Worldwide Corp.

    216   
  2     

Wynn Resorts Ltd.

    327   
  9     

Yum! Brands, Inc.

    669   
   

 

 

 
      5,959   
   

 

 

 
 

Household Durables — 0.4%

  

  7     

D.R. Horton, Inc.

    146   
  3     

Garmin Ltd., (Switzerland)

    140   
  1     

Harman International Industries, Inc.

    164   
  3     

Leggett & Platt, Inc.

    102   
  4     

Lennar Corp., Class A

    144   
  1     

Mohawk Industries, Inc. (a)

    187   
  6     

Newell Rubbermaid, Inc.

    194   
  7     

PulteGroup, Inc.

    137   
  2     

Whirlpool Corp.

    249   
   

 

 

 
      1,463   
   

 

 

 
 

Internet & Catalog Retail — 1.3%

  

  8     

Amazon.com, Inc. (a)

    2,647   
  2     

Expedia, Inc.

    185   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Internet & Catalog Retail — continued

  

  1      

Netflix, Inc. (a)

    599   
  1      

Priceline Group, Inc. (The) (a)

    1,366   
  2      

TripAdvisor, Inc. (a)

    231   
    

 

 

 
       5,028   
    

 

 

 
  

Leisure Products — 0.1%

  

  2      

Hasbro, Inc.

    127   
  7      

Mattel, Inc.

    245   
    

 

 

 
       372   
    

 

 

 
  

Media — 3.5%

  

  5      

Cablevision Systems Corp., Class A

    84   
  10      

CBS Corp. (Non-Voting), Class B

    605   
  54      

Comcast Corp., Class A

    2,980   
  10      

DIRECTV (a)

    848   
  5      

Discovery Communications, Inc., Class A (a)

    200   
  5      

Discovery Communications, Inc., Class C (a)

    196   
  5      

Gannett Co., Inc.

    160   
  9      

Interpublic Group of Cos., Inc. (The)

    173   
  10      

News Corp., Class A (a)

    184   
  5      

Omnicom Group, Inc.

    390   
  2      

Scripps Networks Interactive, Inc., Class A

    179   
  6      

Time Warner Cable, Inc.

    863   
  18      

Time Warner, Inc.

    1,423   
  40      

Twenty-First Century Fox, Inc., Class A

    1,420   
  8      

Viacom, Inc., Class B

    665   
  34      

Walt Disney Co. (The)

    3,031   
    

 

 

 
       13,401   
    

 

 

 
  

Multiline Retail — 0.6%

  

  6      

Dollar General Corp. (a)

    406   
  4      

Dollar Tree, Inc. (a)

    232   
  2      

Family Dollar Stores, Inc.

    160   
  4      

Kohl’s Corp.

    240   
  8      

Macy’s, Inc.

    470   
  3      

Nordstrom, Inc.

    204   
  13      

Target Corp.

    797   
    

 

 

 
       2,509   
    

 

 

 
  

Specialty Retail — 2.1%

  

  1      

AutoNation, Inc. (a)

    72   
  1      

AutoZone, Inc. (a)

    375   
  4      

Bed Bath & Beyond, Inc. (a)

    274   
  6      

Best Buy Co., Inc.

    184   
  5      

CarMax, Inc. (a)

    242   
  2      

GameStop Corp., Class A

    101   
  5      

Gap, Inc. (The)

    251   
  29      

Home Depot, Inc. (The)

    2,679   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         57   


Table of Contents

JPMorgan Equity Index Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Common Stocks — continued

  

  

Specialty Retail — continued

  

  5      

L Brands, Inc.

    328   
  21      

Lowe’s Cos., Inc.

    1,097   
  2      

O’Reilly Automotive, Inc. (a)

    347   
  2      

PetSmart, Inc.

    149   
  4      

Ross Stores, Inc.

    335   
  14      

Staples, Inc.

    158   
  2      

Tiffany & Co.

    235   
  15      

TJX Cos., Inc. (The)

    874   
  3      

Tractor Supply Co.

    194   
  2      

Urban Outfitters, Inc. (a)

    85   
    

 

 

 
       7,980   
    

 

 

 
  

Textiles, Apparel & Luxury Goods — 0.8%

  

  6      

Coach, Inc.

    212   
  1      

Fossil Group, Inc. (a)

    101   
  4      

Michael Kors Holdings Ltd., (Hong Kong) (a)

    302   
  15      

NIKE, Inc., Class B

    1,213   
  2      

PVH Corp.

    201   
  1      

Ralph Lauren Corp.

    207   
  3      

Under Armour, Inc., Class A (a)

    232   
  7      

V.F. Corp.

    462   
    

 

 

 
       2,930   
    

 

 

 
  

Total Consumer Discretionary

    44,405   
    

 

 

 
  

Consumer Staples — 9.3%

  

  

Beverages — 2.1%

  

  3      

Brown-Forman Corp., Class B

    315   
  79      

Coca-Cola Co. (The)

    3,302   
  5      

Coca-Cola Enterprises, Inc.

    234   
  4      

Constellation Brands, Inc., Class A (a)

    308   
  4      

Dr. Pepper Snapple Group, Inc.

    259   
  3      

Molson Coors Brewing Co., Class B

    246   
  3      

Monster Beverage Corp. (a)

    251   
  32      

PepsiCo, Inc.

    2,936   
    

 

 

 
       7,851   
    

 

 

 
  

Food & Staples Retailing — 2.2%

  

  9      

Costco Wholesale Corp.

    1,111   
  24      

CVS Caremark Corp.

    1,945   
  11      

Kroger Co. (The)

    544   
  5      

Safeway, Inc.

    168   
  12      

Sysco Corp.

    463   
  18      

Walgreen Co.

    1,113   
  34      

Wal-Mart Stores, Inc.

    2,549   
  8      

Whole Foods Market, Inc.

    301   
    

 

 

 
       8,194   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Food Products — 1.6%

  

  14      

Archer-Daniels-Midland Co. (m)

    683   
  4      

Campbell Soup Co.

    168   
  9      

ConAgra Foods, Inc.

    284   
  13      

General Mills, Inc.

    687   
  3      

Hershey Co. (The)

    286   
  3      

Hormel Foods Corp.

    143   
  2      

JM Smucker Co. (The)

    223   
  5      

Kellogg Co.

    347   
  3      

Keurig Green Mountain, Inc.

    354   
  12      

Kraft Foods Group, Inc.

    734   
  3      

McCormick & Co., Inc. (Non-Voting)

    190   
  4      

Mead Johnson Nutrition Co.

    405   
  35      

Mondelez International, Inc., Class A

    1,282   
  6      

Tyson Foods, Inc., Class A

    219   
    

 

 

 
       6,005   
    

 

 

 
  

Household Products — 1.9%

  

  3      

Clorox Co. (The)

    239   
  18      

Colgate-Palmolive Co.

    1,179   
  8      

Kimberly-Clark Corp.

    852   
  57      

Procter & Gamble Co. (The)

    4,709   
    

 

 

 
       6,979   
    

 

 

 
  

Personal Products — 0.1%

  

  9      

Avon Products, Inc. (m)

    128   
  5      

Estee Lauder Cos., Inc. (The), Class A

    406   
    

 

 

 
       534   
    

 

 

 
  

Tobacco — 1.4%

  

  42      

Altria Group, Inc.

    1,792   
  8      

Lorillard, Inc.

    453   
  33      

Philip Morris International, Inc.

    2,819   
  7      

Reynolds American, Inc.

    381   
    

 

 

 
       5,445   
    

 

 

 
  

Total Consumer Staples

    35,008   
    

 

 

 
  

Energy — 10.3%

  

  

Energy Equipment & Services — 2.0%

  

  9      

Baker Hughes, Inc.

    631   
  4      

Cameron International Corp. (a)

    318   
  1      

Diamond Offshore Drilling, Inc.

    63   
  5      

Ensco plc, (United Kingdom), Class A

    247   
  5      

FMC Technologies, Inc. (a)

    305   
  18      

Halliburton Co.

    1,196   
  2      

Helmerich & Payne, Inc.

    238   
  5      

Nabors Industries Ltd., (Bermuda)

    149   
  9      

National Oilwell Varco, Inc.

    777   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
SHARES     SECURITY DESCRIPTION   VALUE($)  
   

 

Common Stocks — continued

  

 

Energy Equipment & Services — continued

  

  5     

Noble Corp. plc, (United Kingdom)

    151   
  (h)   

Paragon Offshore plc (a)

    (h) 
  27     

Schlumberger Ltd.

    2,990   
  7     

Transocean Ltd., (Switzerland)

    275   
   

 

 

 
      7,340   
   

 

 

 
 

Oil, Gas & Consumable Fuels — 8.3%

  

  11     

Anadarko Petroleum Corp.

    1,192   
  8     

Apache Corp.

    822   
  9     

Cabot Oil & Gas Corp.

    293   
  11     

Chesapeake Energy Corp.

    288   
  40     

Chevron Corp.

    5,161   
  2     

Cimarex Energy Co.

    265   
  26     

ConocoPhillips

    2,088   
  5     

CONSOL Energy, Inc.

    194   
  7     

Denbury Resources, Inc.

    127   
  8     

Devon Energy Corp.

    606   
  11     

EOG Resources, Inc.

    1,258   
  3     

EQT Corp.

    315   
  90     

Exxon Mobil Corp.

    8,944   
  6     

Hess Corp. (m)

    559   
  14     

Kinder Morgan, Inc.

    563   
  14     

Marathon Oil Corp.

    590   
  6     

Marathon Petroleum Corp.

    550   
  4     

Murphy Oil Corp.

    221   
  3     

Newfield Exploration Co. (a)

    128   
  8     

Noble Energy, Inc.

    543   
  16     

Occidental Petroleum Corp.

    1,707   
  4     

ONEOK, Inc.

    306   
  6     

Peabody Energy Corp.

    90   
  12     

Phillips 66

    1,031   
  3     

Pioneer Natural Resources Co.

    625   
  4     

QEP Resources, Inc.

    134   
  4     

Range Resources Corp.

    278   
  7     

Southwestern Energy Co. (a)

    304   
  14     

Spectra Energy Corp.

    585   
  3     

Tesoro Corp.

    175   
  11     

Valero Energy Corp.

    605   
  15     

Williams Cos., Inc. (The)

    919   
   

 

 

 
      31,466   
   

 

 

 
 

Total Energy

    38,806   
   

 

 

 
 

Financials — 15.9%

  

 

Banks — 5.8%

  

  220     

Bank of America Corp.

    3,543   
  15     

BB&T Corp.

    562   
  64     

Citigroup, Inc.

    3,286   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Banks — continued

  

  4      

Comerica, Inc.

    191   
  18      

Fifth Third Bancorp

    363   
  17      

Huntington Bancshares, Inc.

    171   
  79      

JPMorgan Chase & Co. (q)

    4,712   
  18      

KeyCorp

    252   
  3      

M&T Bank Corp.

    336   
  11      

PNC Financial Services Group, Inc. (The)

    948   
  29      

Regions Financial Corp.

    293   
  11      

SunTrust Banks, Inc.

    425   
  38      

U.S. Bancorp

    1,607   
  100      

Wells Fargo & Co.

    5,163   
  4      

Zions Bancorp

    121   
    

 

 

 
       21,973   
    

 

 

 
  

Capital Markets — 2.2%

  

  1      

Affiliated Managers Group, Inc. (a)

    245   
  4      

Ameriprise Financial, Inc.

    500   
  24      

Bank of New York Mellon Corp. (The)

    936   
  3      

BlackRock, Inc.

    866   
  25      

Charles Schwab Corp. (The)

    699   
  6      

E*TRADE Financial Corp. (a)

    134   
  8      

Franklin Resources, Inc.

    475   
  9      

Goldman Sachs Group, Inc. (The)

    1,560   
  9      

Invesco Ltd.

    370   
  2      

Legg Mason, Inc.

    106   
  29      

Morgan Stanley

    1,006   
  5      

Northern Trust Corp.

    324   
  9      

State Street Corp.

    650   
  6      

T. Rowe Price Group, Inc.

    446   
    

 

 

 
       8,317   
    

 

 

 
  

Consumer Finance — 0.9%

  

  19      

American Express Co. (m)

    1,707   
  12      

Capital One Financial Corp.

    982   
  10      

Discover Financial Services

    609   
  9      

Navient Corp.

    159   
    

 

 

 
       3,457   
    

 

 

 
  

Diversified Financial Services — 1.9%

  

  38      

Berkshire Hathaway, Inc., Class B (a)

    5,175   
  7      

CME Group, Inc.

    506   
  2      

Intercontinental Exchange, Inc.

    456   
  7      

Leucadia National Corp.

    166   
  6      

McGraw Hill Financial, Inc.

    462   
  4      

Moody’s Corp.

    368   
  2      

NASDAQ OMX Group, Inc. (The)

    107   
    

 

 

 
       7,240   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         59   


Table of Contents

JPMorgan Equity Index Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Common Stocks — continued

  

  

Insurance — 2.8%

  

  7      

ACE Ltd., (Switzerland)

    752   
  10      

Aflac, Inc. (m)

    582   
  9      

Allstate Corp. (The)

    559   
  30      

American International Group, Inc. (m)

    1,698   
  6      

Aon plc, (United Kingdom)

    541   
  2      

Assurant, Inc.

    100   
  5      

Chubb Corp. (The)

    471   
  3      

Cincinnati Financial Corp.

    148   
  10      

Genworth Financial, Inc., Class A (a)

    148   
  9      

Hartford Financial Services Group, Inc. (The)

    349   
  6      

Lincoln National Corp.

    304   
  6      

Loews Corp.

    280   
  12      

Marsh & McLennan Cos., Inc.

    611   
  24      

MetLife, Inc.

    1,290   
  6      

Principal Financial Group, Inc.

    311   
  11      

Progressive Corp. (The)

    285   
  10      

Prudential Financial, Inc.

    868   
  3      

Torchmark Corp.

    151   
  7      

Travelers Cos., Inc. (The)

    689   
  5      

Unum Group

    196   
  6      

XL Group plc, (Ireland)

    194   
    

 

 

 
       10,527   
    

 

 

 
  

Real Estate Investment Trusts (REITs) — 2.2%

 
  8      

American Tower Corp. (m)

    817   
  3      

Apartment Investment & Management Co., Class A (m)

    105   
  3      

AvalonBay Communities, Inc. (m)

    393   
  3      

Boston Properties, Inc. (m)

    389   
  7      

Crown Castle International Corp. (m)

    556   
  7      

Equity Residential (m)

    468   
  1      

Essex Property Trust, Inc. (m)

    253   
  11      

General Growth Properties, Inc. (m)

    268   
  10      

HCP, Inc. (m)

    416   
  6      

Health Care REIT, Inc. (m)

    432   
  16      

Host Hotels & Resorts, Inc. (m)

    362   
  9      

Kimco Realty Corp. (m)

    202   
  3      

Macerich Co. (The) (m)

    192   
  4      

Plum Creek Timber Co., Inc. (m)

    151   
  10      

Prologis, Inc. (m)

    428   
  3      

Public Storage (m)

    532   
  7      

Simon Property Group, Inc. (m)

    1,106   
  6      

Ventas, Inc. (m)

    406   
  4      

Vornado Realty Trust (m)

    386   
  11      

Weyerhaeuser Co. (m)

    374   
    

 

 

 
       8,236   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Real Estate Management & Development — 0.0% (g)

  

  6      

CBRE Group, Inc., Class A (a)

    186   
    

 

 

 
  

Thrifts & Mortgage Finance — 0.1%

  

  10      

Hudson City Bancorp, Inc.

    98   
  6      

People’s United Financial, Inc.

    97   
    

 

 

 
       195   
    

 

 

 
  

Total Financials

    60,131   
    

 

 

 
  

Health Care — 13.5%

  

  

Biotechnology — 2.8%

  

  4      

Alexion Pharmaceuticals, Inc. (a)

    701   
  16      

Amgen, Inc.

    2,210   
  5      

Biogen Idec, Inc. (a)

    1,704   
  17      

Celgene Corp. (a)

    1,593   
  32      

Gilead Sciences, Inc. (a)

    3,460   
  2      

Regeneron Pharmaceuticals, Inc. (a)

    585   
  5      

Vertex Pharmaceuticals, Inc. (a)

    463   
    

 

 

 
       10,716   
    

 

 

 
  

Health Care Equipment & Supplies — 2.1%

  

  31      

Abbott Laboratories (m)

    1,329   
  11      

Baxter International, Inc.

    852   
  4      

Becton, Dickinson & Co. (m)

    474   
  28      

Boston Scientific Corp. (a)

    351   
  2      

C.R. Bard, Inc.

    237   
  4      

CareFusion Corp. (a)

    199   
  9      

Covidien plc, (Ireland)

    820   
  3      

DENTSPLY International, Inc.

    142   
  2      

Edwards Lifesciences Corp. (a)

    219   
  1      

Intuitive Surgical, Inc. (a)

    354   
  21      

Medtronic, Inc.

    1,336   
  6      

St . Jude Medical, Inc.

    390   
  6      

Stryker Corp.

    516   
  2      

Varian Medical Systems, Inc. (a)

    185   
  4      

Zimmer Holdings, Inc.

    349   
    

 

 

 
       7,753   
    

 

 

 
  

Health Care Providers & Services — 2.1%

  

  7      

Aetna, Inc.

    615   
  5      

AmerisourceBergen Corp.

    366   
  7      

Cardinal Health, Inc.

    525   
  6      

Cigna Corp.

    532   
  4      

DaVita HealthCare Partners, Inc. (a)

    278   
  16      

Express Scripts Holding Co. (a)

    1,197   
  3      

Humana, Inc.

    417   
  2      

Laboratory Corp. of America Holdings (a)

    191   
  5      

McKesson Corp.

    942   
  2      

Patterson Cos., Inc.

    69   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Common Stocks — continued

  

  

Health Care Providers & Services — continued

  

  3      

Quest Diagnostics, Inc.

    191   
  2      

Tenet Healthcare Corp. (a)

    125   
  21      

UnitedHealth Group, Inc.

    1,779   
  6      

WellPoint, Inc.

    682   
    

 

 

 
       7,909   
    

 

 

 
  

Health Care Technology — 0.1%

  

  6      

Cerner Corp. (a)

    356   
    

 

 

 
  

Life Sciences Tools & Services — 0.5%

  

  7      

Agilent Technologies, Inc.

    399   
  2      

PerkinElmer, Inc.

    106   
  8      

Thermo Fisher Scientific, Inc.

    1,004   
  2      

Waters Corp. (a)

    184   
    

 

 

 
       1,693   
    

 

 

 
  

Pharmaceuticals — 5.9%

  

  33      

AbbVie, Inc.

    1,841   
  6      

Actavis plc (a)

    1,258   
  6      

Allergan, Inc.

    1,020   
  35      

Bristol-Myers Squibb Co.

    1,758   
  21      

Eli Lilly & Co.

    1,311   
  4      

Hospira, Inc. (a)

    188   
  59      

Johnson & Johnson

    6,145   
  2      

Mallinckrodt plc (a)

    193   
  61      

Merck & Co., Inc.

    3,678   
  8      

Mylan, Inc. (a)

    380   
  3      

Perrigo Co. plc, (Ireland)

    417   
  134      

Pfizer, Inc.

    3,926   
  10      

Zoetis, Inc.

    372   
    

 

 

 
       22,487   
    

 

 

 
  

Total Health Care

    50,914   
    

 

 

 
  

Industrials — 10.1%

  

  

Aerospace & Defense — 2.5%

  

  14      

Boeing Co. (The)

    1,781   
  7      

General Dynamics Corp.

    841   
  16      

Honeywell International, Inc. (m)

    1,562   
  2      

L-3 Communications Holdings, Inc.

    199   
  6      

Lockheed Martin Corp.

    971   
  4      

Northrop Grumman Corp.

    571   
  3      

Precision Castparts Corp.

    740   
  7      

Raytheon Co.

    631   
  3      

Rockwell Collins, Inc.

    218   
  6      

Textron, Inc.

    222   
  18      

United Technologies Corp.

    1,907   
    

 

 

 
       9,643   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Air Freight & Logistics — 0.7%

  

  3      

C.H. Robinson Worldwide, Inc.

    212   
  4      

Expeditors International of Washington, Inc.

    171   
  6      

FedEx Corp.

    860   
  15      

United Parcel Service, Inc., Class B

    1,437   
    

 

 

 
       2,680   
    

 

 

 
  

Airlines — 0.3%

  

  18      

Delta Air Lines, Inc.

    703   
  14      

Southwest Airlines Co.

    464   
    

 

 

 
       1,167   
    

 

 

 
  

Building Products — 0.1%

  

  2      

Allegion plc, (Ireland)

    97   
  7      

Masco Corp.

    175   
    

 

 

 
       272   
    

 

 

 
  

Commercial Services & Supplies — 0.5%

  

  4      

ADT Corp. (The)

    134   
  2      

Cintas Corp.

    140   
  4      

Iron Mountain, Inc.

    129   
  4      

Pitney Bowes, Inc.

    115   
  6      

Republic Services, Inc.

    220   
  2      

Stericycle, Inc. (a)

    211   
  10      

Tyco International Ltd., (Switzerland)

    431   
  9      

Waste Management, Inc.

    425   
    

 

 

 
       1,805   
    

 

 

 
  

Construction & Engineering — 0.1%

  

  3      

Fluor Corp.

    246   
  3      

Jacobs Engineering Group, Inc. (a)

    149   
  5      

Quanta Services, Inc. (a)

    166   
    

 

 

 
       561   
    

 

 

 
  

Electrical Equipment — 0.6%

  

  5      

AMETEK, Inc.

    272   
  10      

Eaton Corp. plc

    697   
  15      

Emerson Electric Co.

    941   
  3      

Rockwell Automation, Inc.

    338   
    

 

 

 
       2,248   
    

 

 

 
  

Industrial Conglomerates — 2.3%

  

  13      

3M Co.

    1,874   
  13      

Danaher Corp.

    965   
  210      

General Electric Co.

    5,456   
  2      

Roper Industries, Inc.

    315   
    

 

 

 
       8,610   
    

 

 

 
  

Machinery — 1.6%

  

  13      

Caterpillar, Inc.

    1,426   
  4      

Cummins, Inc.

    520   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         61   


Table of Contents

JPMorgan Equity Index Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Common Stocks — continued

  

  

Machinery — continued

  

  8      

Deere & Co.

    641   
  3      

Dover Corp.

    306   
  3      

Flowserve Corp.

    218   
  8      

Illinois Tool Works, Inc.

    701   
  5      

Ingersoll-Rand plc

    316   
  2      

Joy Global, Inc.

    132   
  7      

PACCAR, Inc.

    467   
  2      

Pall Corp.

    194   
  3      

Parker-Hannifin Corp.

    360   
  4      

Pentair plc, (United Kingdom)

    278   
  1      

Snap-on, Inc.

    152   
  3      

Stanley Black & Decker, Inc.

    299   
  4      

Xylem, Inc.

    143   
    

 

 

 
       6,153   
    

 

 

 
  

Professional Services — 0.2%

  

  1      

Dun & Bradstreet Corp. (The)

    91   
  3      

Equifax, Inc.

    201   
  6      

Nielsen N.V.

    298   
  3      

Robert Half International, Inc.

    145   
    

 

 

 
       735   
    

 

 

 
  

Road & Rail — 1.0%

  

  21      

CSX Corp.

    650   
  2      

Kansas City Southern

    266   
  6      

Norfolk Southern Corp.

    694   
  1      

Ryder System, Inc.

    101   
  19      

Union Pacific Corp.

    1,997   
    

 

 

 
       3,708   
    

 

 

 
  

Trading Companies & Distributors — 0.2%

  

  6      

Fastenal Co.

    259   
  1      

W.W. Grainger, Inc.

    314   
    

 

 

 
       573   
    

 

 

 
  

Total Industrials

    38,155   
    

 

 

 
  

Information Technology — 19.1%

  

  

Communications Equipment — 1.6%

  

  107      

Cisco Systems, Inc.

    2,681   
  2      

F5 Networks, Inc. (a)

    197   
  2      

Harris Corp.

    159   
  10      

Juniper Networks, Inc.

    230   
  5      

Motorola Solutions, Inc.

    281   
  35      

QUALCOMM, Inc.

    2,690   
    

 

 

 
       6,238   
    

 

 

 
  

Electronic Equipment, Instruments & Components — 0.4%

  

  3      

Amphenol Corp., Class A

    339   
  27      

Corning, Inc.

    572   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Electronic Equipment, Instruments & Components — continued

   

  3      

FLIR Systems, Inc.

    100   
  4      

Jabil Circuit, Inc.

    84   
  9      

TE Connectivity Ltd., (Switzerland)

    536   
    

 

 

 
       1,631   
    

 

 

 
  

Internet Software & Services — 3.2%

  

  4      

Akamai Technologies, Inc. (a)

    225   
  24      

eBay, Inc. (a)

    1,326   
  36      

Facebook, Inc., Class A (a)

    2,694   
  6      

Google, Inc., Class A (a)

    3,454   
  6      

Google, Inc., Class C (a)

    3,391   
  3      

VeriSign, Inc. (a)

    148   
  20      

Yahoo!, Inc. (a)

    755   
    

 

 

 
       11,993   
    

 

 

 
  

IT Services — 3.3%

  

  13      

Accenture plc, (Ireland), Class A

    1,075   
  1      

Alliance Data Systems Corp. (a)

    300   
  10      

Automatic Data Processing, Inc.

    843   
  13      

Cognizant Technology Solutions Corp., Class A (a)

    583   
  3      

Computer Sciences Corp.

    181   
  6      

Fidelity National Information Services, Inc.

    342   
  5      

Fiserv, Inc. (a)

    337   
  20      

International Business Machines Corp.

    3,832   
  21      

MasterCard, Inc., Class A

    1,595   
  7      

Paychex, Inc.

    282   
  3      

Teradata Corp. (a)

    151   
  3      

Total System Services, Inc.

    109   
  11      

Visa, Inc., Class A

    2,237   
  11      

Western Union Co. (The)

    197   
  23      

Xerox Corp.

    316   
    

 

 

 
       12,380   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 2.4%

  

  7      

Altera Corp.

    232   
  7      

Analog Devices, Inc.

    336   
  25      

Applied Materials, Inc.

    589   
  5      

Avago Technologies Ltd., (Singapore)

    433   
  12      

Broadcom Corp., Class A

    458   
  1      

First Solar, Inc. (a)

    104   
  104      

Intel Corp.

    3,640   
  3      

KLA-Tencor Corp.

    267   
  3      

Lam Research Corp.

    244   
  5      

Linear Technology Corp.

    223   
  4      

Microchip Technology, Inc.

    205   
  22      

Micron Technology, Inc. (a)

    731   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Common Stocks — continued

  

  

Semiconductors & Semiconductor Equipment — continued

  

  12      

NVIDIA Corp.

    227   
  23      

Texas Instruments, Inc.

    1,089   
  6      

Xilinx, Inc.

    238   
    

 

 

 
       9,016   
    

 

 

 
  

Software — 3.6%

  

  10      

Adobe Systems, Inc. (a)

    697   
  5      

Autodesk, Inc. (a)

    256   
  7      

CA, Inc.

    189   
  3      

Citrix Systems, Inc. (a)

    241   
  7      

Electronic Arts, Inc. (a)

    249   
  6      

Intuit, Inc.

    494   
  157      

Microsoft Corp.

    7,151   
  72      

Oracle Corp.

    2,986   
  4      

Red Hat, Inc. (a)

    242   
  12      

salesforce.com, Inc. (a)

    699   
  14      

Symantec Corp.

    352   
    

 

 

 
       13,556   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 4.6%

  

  126      

Apple, Inc. (m)

    12,943   
  43      

EMC Corp.

    1,266   
  39      

Hewlett-Packard Co.

    1,489   
  7      

NetApp, Inc.

    293   
  5      

SanDisk Corp.

    464   
  7      

Seagate Technology plc, (Ireland)

    428   
  4      

Western Digital Corp.

    451   
    

 

 

 
       17,334   
    

 

 

 
  

Total Information Technology

    72,148   
    

 

 

 
  

Materials — 3.4%

  

  

Chemicals — 2.5%

  

  4      

Air Products & Chemicals, Inc. (m)

    592   
  1      

Airgas, Inc.

    155   
  1      

CF Industries Holdings, Inc.

    281   
  25      

Dow Chemical Co. (The)

    1,350   
  19      

E.I. du Pont de Nemours & Co.

    1,271   
  3      

Eastman Chemical Co.

    259   
  6      

Ecolab, Inc.

    650   
  3      

FMC Corp.

    184   
  2      

International Flavors & Fragrances, Inc.

    173   
  9      

LyondellBasell Industries N.V., Class A

    997   
  11      

Monsanto Co.

    1,270   
  7      

Mosaic Co. (The)

    324   
  3      

PPG Industries, Inc.

    596   
  6      

Praxair, Inc.

    807   
  2      

Sherwin-Williams Co. (The)

    387   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Chemicals — continued

  

  2      

Sigma-Aldrich Corp.

    259   
    

 

 

 
       9,555   
    

 

 

 
  

Construction Materials — 0.1%

  

  1      

Martin Marietta Materials, Inc.

    167   
  3      

Vulcan Materials Co.

    173   
    

 

 

 
       340   
    

 

 

 
  

Containers & Packaging — 0.2%

  

  2      

Avery Dennison Corp.

    96   
  3      

Ball Corp.

    187   
  2      

Bemis Co., Inc.

    86   
  4      

MeadWestvaco Corp.

    151   
  3      

Owens-Illinois, Inc. (a)

    107   
  4      

Sealed Air Corp.

    147   
    

 

 

 
       774   
    

 

 

 
  

Metals & Mining — 0.5%

  

  25      

Alcoa, Inc. (m)

    408   
  2      

Allegheny Technologies, Inc.

    96   
  22      

Freeport -McMoRan, Inc.

    791   
  10      

Newmont Mining Corp. (m)

    283   
  7      

Nucor Corp.

    362   
    

 

 

 
       1,940   
    

 

 

 
  

Paper & Forest Products — 0.1%

  

  9      

International Paper Co.

    439   
    

 

 

 
  

Total Materials

    13,048   
    

 

 

 
  

Telecommunication Services — 2.3%

  

  

Diversified Telecommunication Services — 2.3%

  

  109      

AT&T, Inc.

    3,800   
  12      

CenturyLink, Inc.

    492   
  21      

Frontier Communications Corp.

    143   
  87      

Verizon Communications, Inc. (m)

    4,320   
  13      

Windstream Holdings, Inc.

    142   
    

 

 

 
  

Total Telecommunication Services

    8,897   
    

 

 

 
  

Utilities — 3.0%

  

  

Electric Utilities — 1.7%

  

  10      

American Electric Power Co., Inc.

    549   
  15      

Duke Energy Corp.

    1,096   
  7      

Edison International

    403   
  4      

Entergy Corp.

    291   
  18      

Exelon Corp.

    601   
  9      

FirstEnergy Corp.

    301   
  9      

NextEra Energy, Inc.

    899   
  7      

Northeast Utilities

    304   
  5      

Pepco Holdings, Inc.

    145   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         63   


Table of Contents

JPMorgan Equity Index Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Common Stocks — continued

  

  

Electric Utilities — continued

  

  2      

Pinnacle West Capital Corp. (m)

    132   
  14      

PPL Corp.

    482   
  19      

Southern Co. (The)

    828   
  11      

Xcel Energy, Inc.

    337   
    

 

 

 
       6,368   
    

 

 

 
  

Gas Utilities — 0.1%

  

  2      

AGL Resources, Inc.

    133   
    

 

 

 
  

Independent Power & Renewable Electricity Producers — 0.1%

   

  14      

AES Corp.

    210   
  7      

NRG Energy, Inc.

    217   
    

 

 

 
       427   
    

 

 

 
  

Multi-Utilities — 1.1%

  

  5      

Ameren Corp.

    203   
  9      

CenterPoint Energy, Inc.

    224   
  6      

CMS Energy Corp.

    172   
  6      

Consolidated Edison, Inc.

    355   
  12      

Dominion Resources, Inc.

    855   
  4      

DTE Energy Co.

    290   
  2      

Integrys Energy Group, Inc.

    114   
  7      

NiSource, Inc.

    262   
  10      

PG&E Corp.

    452   
  11      

Public Service Enterprise Group, Inc.

    396   
  3      

SCANA Corp.

    154   
  5      

Sempra Energy

    506   
  4      

TECO Energy, Inc.

    78   
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

Multi-Utilities — continued

  

  5     

Wisconsin Energy Corp.

    214   
   

 

 

 
      4,275   
   

 

 

 
 

Total Utilities

    11,203   
   

 

 

 
 

Total Common Stocks
(Cost $179,688)

    372,715   
   

 

 

 

 

Exchange Traded Fund — 0.0% (g)

  

 

U.S. Equity — 0.0% (g)

  

  (h)   

SPDR S&P 500 ETF Trust
(Cost $8)

    20   
   

 

 

 
PRINCIPAL
AMOUNT($)
             

 

Short-Term Investments — 1.2%

  

 

U.S. Treasury Obligation — 0.1%

  

  345     

U.S. Treasury Bills, 0.048%, 01/08/15 (k) (n)

    345   
   

 

 

 
SHARES              
 

Investment Company — 1.1%

  

  4,312     

JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m)

    4,312   
   

 

 

 
 

Total Short-Term Investments
(Cost $4,657)

    4,657   
   

 

 

 
 

Total Investments — 99.8%
(Cost $184,353)

    377,392   
 

Other Assets in Excess of
Liabilities — 0.2%

    731   
   

 

 

 
 

NET ASSETS — 100.0%

  $ 378,123   
   

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       NOTIONAL
VALUE AT
AUGUST 31, 2014
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

              
  47        

E-mini S&P 500

       09/19/14         $ 4,703         $ 196   
                   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Asset-Backed Securities — 5.8%

  

  96      

Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 0.955%, 12/27/22 (e)

    97   
  

Ally Auto Receivables Trust,

 
  25      

Series 2012-1, Class A3, 0.930%, 02/16/16

    24   
  112      

Series 2012-2, Class A3, 0.740%, 04/15/16

    112   
  344      

Series 2013-2, Class A3, 0.790%, 01/15/18

    344   
  120      

Series 2013-2, Class A4, 1.240%, 11/15/18

    120   
  

American Credit Acceptance Receivables Trust,

 
  18      

Series 2012-2, Class A, 1.890%, 07/15/16 (e)

    19   
  16      

Series 2012-3, Class A, 1.640%, 11/15/16 (e)

    16   
  87      

Series 2013-2, Class A, 1.320%, 02/15/17 (e)

    87   
  

AmeriCredit Automobile Receivables Trust,

 
  9      

Series 2011-5, Class A3, 1.550%, 07/08/16

    9   
  15      

Series 2012-1, Class A3, 1.230%, 09/08/16

    15   
  18      

Series 2013-1, Class A2, 0.490%, 06/08/16

    18   
  53      

Series 2013-1, Class A3, 0.610%, 10/10/17

    53   
  264      

Series 2013-4, Class A2, 0.740%, 11/08/16

    264   
  157      

Series 2013-5, Class A3, 0.900%, 09/10/18

    158   
  246      

AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)

    246   
  41      

Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36

    40   
  45      

BMW Vehicle Lease Trust, Series 2013-1, Class A3, 0.540%, 09/21/15

    45   
  170      

BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17

    170   
  100      

Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)

    101   
  52      

California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)

    53   
  

Capital Auto Receivables Asset Trust,

 
  185      

Series 2013-1, Class A2, 0.620%, 07/20/16

    185   
  250      

Series 2013-3, Class A1B, VAR, 0.586%, 11/20/15

    250   
  

CarFinance Capital Auto Trust,

 
  40      

Series 2013-2A, Class A, 1.750%, 11/15/17 (e)

    40   
  266      

Series 2014-1A, Class A, 1.460%, 12/17/18 (e)

    267   
  125      

Series 2014-1A, Class B, 2.720%, 04/15/20 (e)

    126   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  250      

Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.176%, 10/15/21 (e) (i)

    250   
  

CarMax Auto Owner Trust,

 
  154      

Series 2013-4, Class A3, 0.800%, 07/16/18

    154   
  137      

Series 2013-4, Class A4, 1.280%, 05/15/19

    136   
  337      

Series 2014-2, Class A3, 0.980%, 01/15/19

    337   
  121      

Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32

    125   
  350      

CFC 2012-1 LLC, Series 2014-2A, Class A, 1.440%, 11/16/20 (e)

    350   
  29      

CNH Equipment Trust, Series 2012-A, Class A3, 0.940%, 05/15/17

    29   
  

Concord Funding Co. LLC,

 
  300      

Series 2012-2, Class A, 3.145%, 01/15/17 (e)

    300   
  100      

Series 2013-1, Class A, 2.420%, 02/15/15 (e)

    100   
  

CPS Auto Receivables Trust,

 
  30      

Series 2011-C, Class A, 4.210%, 03/15/19 (e)

    30   
  27      

Series 2012-A, Class A, 2.780%, 06/17/19 (e)

    27   
  168      

Series 2012-B, Class A, 2.520%, 09/16/19 (e)

    170   
  368      

Series 2014-A, Class A, 1.210%, 08/15/18 (e)

    369   
  333      

Series 2014-B, Class A, 1.110%, 11/15/18 (e)

    333   
  204      

Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17

    204   
  

Exeter Automobile Receivables Trust,

 
  72      

Series 2013-2A, Class A, 1.490%, 11/15/17 (e)

    72   
  263      

Series 2014-1A, Class A, 1.290%, 05/15/18 (e)

    264   
  175      

Fifth Third Auto Trust, Series 2013-1, Class A3, 0.880%, 10/16/17

    176   
  

First Investors Auto Owner Trust,

 
  31      

Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)

    31   
  44      

Series 2013-1A, Class A2, 0.900%, 10/15/18 (e)

    45   
  238      

Flagship Credit Auto Trust, Series 2013-2, Class A, 1.940%, 01/15/19 (e)

    238   
  

Ford Credit Auto Lease Trust,

 
  235      

Series 2013-B, Class A3, 0.760%, 09/15/16

    236   
  100      

Series 2013-B, Class A4, 0.960%, 10/15/16

    100   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         65   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   

 

Asset-Backed Securities — continued

  

  53     

Series 2014-A, Class A2A, 0.500%, 10/15/16

    53   
  83     

Series 2014-B, Class A3, 0.890%, 09/15/17

    83   
  33     

Series 2014-B, Class A4, 1.100%, 11/15/17

    33   
 

Ford Credit Auto Owner Trust,

 
  44     

Series 2012-A, Class A3, 0.840%, 08/15/16

    44   
  80     

Series 2012-D, Class A3, 0.510%, 04/15/17

    80   
  140     

Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.535%, 01/15/18

    140   
  284     

GCAT, Series 2014-1A, Class A1, VAR, 3.228%, 07/25/19 (e)

    284   
  63     

GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29

    63   
 

GE Equipment Midticket LLC,

 
  129     

Series 2012-1, Class A3, 0.600%, 05/23/16

    129   
  60     

Series 2012-1, Class A4, 0.780%, 09/22/20

    60   
 

GMAT Trust,

 
  289     

Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)

    290   
  137     

Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)

    137   
  357     

HLSS Servicer Advance Receivables Backed Notes, Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e)

    358   
 

HLSS Servicer Advance Receivables Trust,

 
  244     

Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)

    246   
  165     

Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)

    165   
  108     

Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e)

    108   
  167     

Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)

    169   
 

Honda Auto Receivables Owner Trust,

 
  37     

Series 2012-1, Class A3, 0.770%, 01/15/16

    38   
  56     

Series 2012-1, Class A4, 0.970%, 04/16/18

    56   
  (h)   

Series 2013-1, Class A2, 0.350%, 06/22/15

    (h) 
  382     

Series 2013-4, Class A3, 0.690%, 09/18/17

    382   
  140     

Series 2013-4, Class A4, 1.040%, 02/18/20

    140   
  186     

Series 2014-2, Class A3, 0.770%, 03/19/18

    186   
 

HSBC Home Equity Loan Trust USA,

 
  34     

Series 2006-1, Class A1, VAR, 0.316%, 01/20/36

    34   
  39     

Series 2007-3, Class APT, VAR, 1.356%, 11/20/36

    39   
 

Huntington Auto Trust,

 
  10     

Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)

    10   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  100      

Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)

    100   
  44      

Series 2012-1, Class A3, 0.810%, 09/15/16

    44   
  

Hyundai Auto Receivables Trust,

 
  10      

Series 2012-A, Class A3, 0.720%, 03/15/16

    10   
  49      

Series 2012-B, Class A3, 0.620%, 09/15/16

    49   
  281      

Series 2014-B, Class A3, 0.900%, 12/17/18

    281   
  17      

Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)

    17   
  276      

MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)

    279   
  135      

Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e)

    135   
  124      

Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)

    124   
  122      

Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16

    122   
  

Nissan Auto Receivables Owner Trust,

 
  117      

Series 2012-A, Class A4, 1.000%, 07/16/18

    117   
  1      

Series 2013-A, Class A2, 0.370%, 09/15/15

    1   
  475      

Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)

    474   
  328      

NYMT Residential LLC, Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i)

    328   
  552      

OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 09/18/24 (e)

    552   
  150      

Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.092%, 10/25/34

    149   
  500      

Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e)

    500   
  109      

RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.455%, 03/25/36

    106   
  

Santander Drive Auto Receivables Trust,

 
  25      

Series 2012-5, Class A3, 0.830%, 12/15/16

    25   
  10      

Series 2012-6, Class A3, 0.620%, 07/15/16

    10   
  41      

Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.509%, 01/25/36

    31   
  204      

Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e)

    204   
  16      

SNAAC Auto Receivables Trust, Series 2013-1A, Class A, 1.140%, 07/16/18 (e)

    16   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Asset-Backed Securities — continued

  

  

Springleaf Funding Trust,

 
  950      

Series 2013-AA, Class A, 2.580%, 09/15/21 (e)

    957   
  840      

Series 2014-AA, Class A, 2.410%, 12/15/22 (e)

    839   
  31      

Stanwich Mortgage Loan Co. LLC, Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e)

    31   
  148      

Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)

    148   
  175      

Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 07/15/18 (e)

    175   
  455      

Toyota Auto Receivables Owner Trust, Series 2014-A, Class A2, 0.410%, 08/15/16

    455   
  321      

Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.555%, 10/15/15 (e)

    323   
  360      

Truman Capital Mortgage Loan Trust, Series 2014-NLP1, Class A1, SUB, 3.228%, 07/25/53 (e)

    360   
  154      

USAA Auto Owner Trust, Series 2014-1, Class A2, 0.380%, 10/17/16

    154   
  

Vericrest Opportunity Loan Transferee LLC,

 
  597      

Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e)

    597   
  429      

Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e)

    427   
  85      

Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16

    86   
  308      

VOLT NPL IX LLC, Series 2013-NPL3, Class A1, SUB, 4.250%, 04/25/53 (e)

    310   
  109      

VOLT NPL X LLC, Series 2013-NPL4, Class A1, SUB, 3.960%, 11/25/53 (e)

    110   
  258      

VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e)

    258   
  383      

VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e)

    385   
  70      

Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e)

    71   
  

World Omni Auto Receivables Trust,

 
  62      

Series 2012-A, Class A3, 0.640%, 02/15/17

    62   
  407      

Series 2013-B, Class A3, 0.830%, 08/15/18

    408   
  127      

Series 2013-B, Class A4, 1.320%, 01/15/20

    127   
    

 

 

 
  

Total Asset-Backed Securities
(Cost $20,150)

    20,219   
    

 

 

 
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   

 

Collateralized Mortgage Obligations — 19.7%

  

 

Agency CMO — 15.9%

  

  46     

Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23

    51   
 

Federal Home Loan Mortgage Corp. REMIC,

 
  2     

Series 11, Class D, 9.500%, 07/15/19

    2   
  (h)   

Series 41, Class I, HB, 84.000%, 05/15/20

    (h) 
  1     

Series 46, Class B, 7.800%, 09/15/20

    2   
  (h)   

Series 47, Class F, 10.000%, 06/15/20

    1   
  (h)   

Series 85, Class C, 8.600%, 01/15/21

    (h) 
  2     

Series 99, Class Z, 9.500%, 01/15/21

    2   
  9     

Series 114, Class H, 6.950%, 01/15/21

    10   
  (h)   

Series 1079, Class S, HB, IF, 33.473%, 05/15/21

    1   
  (h)   

Series 1084, Class F, VAR, 1.105%, 05/15/21

    (h) 
  (h)   

Series 1084, Class S, HB, IF, 44.528%, 05/15/21

    1   
  8     

Series 1144, Class KB, 8.500%, 09/15/21

    9   
  (h)   

Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21

    (h) 
  (h)   

Series 1196, Class B, HB, IF, 1,180.777%, 01/15/22

    1   
  6     

Series 1206, Class IA, 7.000%, 03/15/22

    7   
  4     

Series 1250, Class J, 7.000%, 05/15/22

    4   
  14     

Series 1343, Class LA, 8.000%, 08/15/22

    17   
  62     

Series 1466, Class PZ, 7.500%, 02/15/23

    69   
  1     

Series 1470, Class F, VAR, 1.668%, 02/15/23

    1   
  23     

Series 1491, Class I, 7.500%, 04/15/23

    26   
  23     

Series 1518, Class G, IF, 8.875%, 05/15/23

    27   
  20     

Series 1541, Class O, VAR, 1.830%, 07/15/23

    20   
  3     

Series 1602, Class SA, HB, IF, 22.246%, 10/15/23

    5   
  72     

Series 1608, Class L, 6.500%, 09/15/23

    79   
  11     

Series 1609, Class LG, IF, 16.997%, 11/15/23

    12   
  4     

Series 1671, Class L, 7.000%, 02/15/24

    5   
  13     

Series 1700, Class GA, PO, 02/15/24

    12   
  126     

Series 1706, Class K, 7.000%, 03/15/24

    142   
  419     

Series 1720, Class PL, 7.500%, 04/15/24

    479   
  12     

Series 1745, Class D, 7.500%, 08/15/24

    14   
  26     

Series 1798, Class F, 5.000%, 05/15/23

    28   
  1     

Series 1807, Class G, 9.000%, 10/15/20

    1   
  131     

Series 1927, Class PH, 7.500%, 01/15/27

    150   
  54     

Series 1981, Class Z, 6.000%, 05/15/27

    60   
  18     

Series 1987, Class PE, 7.500%, 09/15/27

    20   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         67   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

  

  8      

Series 2033, Class SN, HB, IF, 28.431%, 03/15/24

    4   
  21      

Series 2038, Class PN, IO, 7.000%, 03/15/28

    4   
  109      

Series 2040, Class PE, 7.500%, 03/15/28

    125   
  18      

Series 2056, Class TD, 6.500%, 05/15/18

    19   
  121      

Series 2063, Class PG, 6.500%, 06/15/28

    135   
  20      

Series 2064, Class TE, 7.000%, 06/15/28

    23   
  84      

Series 2075, Class PH, 6.500%, 08/15/28

    94   
  81      

Series 2075, Class PM, 6.250%, 08/15/28

    91   
  26      

Series 2089, Class PJ, IO, 7.000%, 10/15/28

    5   
  49      

Series 2125, Class JZ, 6.000%, 02/15/29

    54   
  11      

Series 2163, Class PC, IO, 7.500%, 06/15/29

    2   
  231      

Series 2169, Class TB, 7.000%, 06/15/29

    265   
  77      

Series 2172, Class QC, 7.000%, 07/15/29

    86   
  1      

Series 2196, Class TL, 7.500%, 11/15/29

    1   
  39      

Series 2201, Class C, 8.000%, 11/15/29

    46   
  95      

Series 2210, Class Z, 8.000%, 01/15/30

    110   
  26      

Series 2224, Class CB, 8.000%, 03/15/30

    31   
  47      

Series 2256, Class MC, 7.250%, 09/15/30

    54   
  66      

Series 2259, Class ZM, 7.000%, 10/15/30

    75   
  58      

Series 2271, Class PC, 7.250%, 12/15/30

    66   
  54      

Series 2283, Class K, 6.500%, 12/15/23

    60   
  25      

Series 2296, Class PD, 7.000%, 03/15/31

    29   
  13      

Series 2306, Class K, PO, 05/15/24

    13   
  32      

Series 2306, Class SE, IF, IO, 8.070%, 05/15/24

    6   
  30      

Series 2333, Class HC, 6.000%, 07/15/31

    29   
  10      

Series 2344, Class QG, 6.000%, 08/15/16

    11   
  492      

Series 2344, Class ZD, 6.500%, 08/15/31

    563   
  61      

Series 2344, Class ZJ, 6.500%, 08/15/31

    69   
  48      

Series 2345, Class NE, 6.500%, 08/15/31

    54   
  19      

Series 2345, Class PQ, 6.500%, 08/15/16

    20   
  30      

Series 2347, Class VP, 6.500%, 03/15/20

    32   
  53      

Series 2351, Class PZ, 6.500%, 08/15/31

    59   
  13      

Series 2355, Class BP, 6.000%, 09/15/16

    14   
  14      

Series 2360, Class PG, 6.000%, 09/15/16

    15   
  13      

Series 2366, Class MD, 6.000%, 10/15/16

    13   
  19      

Series 2391, Class QR, 5.500%, 12/15/16

    20   
  43      

Series 2410, Class NG, 6.500%, 02/15/32

    49   
  68      

Series 2410, Class OE, 6.375%, 02/15/32

    73   
  28      

Series 2410, Class QX, IF, IO, 8.495%, 02/15/32

    8   
  109      

Series 2412, Class SP, IF, 15.790%, 02/15/32

    141   
  32      

Series 2423, Class MC, 7.000%, 03/15/32

    36   
  67      

Series 2423, Class MT, 7.000%, 03/15/32

    77   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Agency CMO — continued

 
  243     

Series 2435, Class CJ, 6.500%, 04/15/32

    265   
  73     

Series 2441, Class GF, 6.500%, 04/15/32

    82   
  70     

Series 2444, Class ES, IF, IO, 7.795%, 03/15/32

    19   
  86     

Series 2450, Class GZ, 7.000%, 05/15/32

    98   
  28     

Series 2450, Class SW, IF, IO, 7.845%, 03/15/32

    6   
  126     

Series 2455, Class GK, 6.500%, 05/15/32

    142   
  165     

Series 2466, Class DH, 6.500%, 06/15/32

    186   
  79     

Series 2474, Class NR, 6.500%, 07/15/32

    89   
  148     

Series 2484, Class LZ, 6.500%, 07/15/32

    167   
  182     

Series 2500, Class MC, 6.000%, 09/15/32

    206   
  262     

Series 2512, Class PG, 5.500%, 10/15/22

    287   
  50     

Series 2535, Class BK, 5.500%, 12/15/22

    54   
  70     

Series 2537, Class TE, 5.500%, 12/15/17

    74   
  302     

Series 2543, Class YX, 6.000%, 12/15/32

    336   
  398     

Series 2568, Class KG, 5.500%, 02/15/23

    439   
  541     

Series 2575, Class ME, 6.000%, 02/15/33

    601   
  43     

Series 2586, Class WI, IO, 6.500%, 03/15/33

    8   
  (h)   

Series 2617, Class GR, 4.500%, 05/15/18

    (h) 
  76     

Series 2622, Class PE, 4.500%, 05/15/18

    80   
  47     

Series 2631, Class LC, 4.500%, 06/15/18

    50   
  76     

Series 2651, Class VZ, 4.500%, 07/15/18

    79   
  25     

Series 2672, Class ME, 5.000%, 11/15/22

    26   
  (h)   

Series 2675, Class CK, 4.000%, 09/15/18

    (h) 
  172     

Series 2684, Class PO, PO, 01/15/33

    169   
  93     

Series 2744, Class TU, 5.500%, 05/15/32

    97   
  30     

Series 2777, Class KO, PO, 02/15/33

    30   
  420     

Series 2907, Class VC, 4.500%, 05/15/34

    425   
  111     

Series 2934, Class EC, PO, 02/15/20

    110   
  129     

Series 2990, Class SL, HB, IF, 23.925%, 06/15/34

    179   
  1,222     

Series 2990, Class UZ, 5.750%, 06/15/35

    1,303   
  304     

Series 2999, Class ND, 4.500%, 07/15/20

    322   
  36     

Series 3068, Class AO, PO, 01/15/35

    36   
  154     

Series 3117, Class EO, PO, 02/15/36

    141   
  17     

Series 3117, Class OK, PO, 02/15/36

    15   
  248     

Series 3122, Class OH, PO, 03/15/36

    235   
  239     

Series 3137, Class XP, 6.000%, 04/15/36

    263   
  6     

Series 3149, Class SO, PO, 05/15/36

    5   
  332     

Series 3152, Class MO, PO, 03/15/36

    309   
  142     

Series 3171, Class MO, PO, 06/15/36

    133   
  61     

Series 3179, Class OA, PO, 07/15/36

    56   
  486     

Series 3202, Class HI, IF, IO, 6.495%, 08/15/36

    71   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

  

  81      

Series 3232, Class ST, IF, IO, 6.545%, 10/15/36

    10   
  90      

Series 3253, Class PO, PO, 12/15/21

    90   
  54      

Series 3316, Class JO, PO, 05/15/37

    50   
  279      

Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38

    37   
  122      

Series 3607, Class AO, PO, 04/15/36

    111   
  34      

Series 3607, Class EO, PO, 02/15/33

    34   
  76      

Series 3611, Class PO, PO, 07/15/34

    70   
  200      

Series 3666, Class VA, 5.500%, 12/15/22

    202   
  630      

Series 3680, Class MA, 4.500%, 07/15/39

    688   
  308      

Series 3804, Class FN, VAR, 0.605%, 03/15/39

    309   
  737      

Series 3819, Class ZQ, 6.000%, 04/15/36

    828   
  309      

Series 3997, Class PF, VAR, 0.605%, 11/15/39

    310   
  928      

Series 4219, Class JA, 3.500%, 08/15/39

    957   
  

Federal Home Loan Mortgage Corp. STRIPS,

 
  44      

Series 243, Class 16, IO, 4.500%, 11/15/20

    3   
  892      

Series 262, Class 35, 3.500%, 07/15/42

    912   
  880      

Series 267, Class F5, VAR, 0.655%, 08/15/42

    882   
  903      

Series 274, Class F1, VAR, 0.655%, 08/15/42

    905   
  880      

Series 279, Class F6, VAR, 0.605%, 09/15/42

    878   
  

Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,

 
  41      

Series T-41, Class 3A, VAR, 6.539%, 07/25/32

    47   
  34      

Series T-51, Class 2A, VAR, 7.500%, 08/25/42

    41   
  346      

Series T-54, Class 2A, 6.500%, 02/25/43

    410   
  120      

Series T-54, Class 3A, 7.000%, 02/25/43

    146   
  905      

Series T-56, Class A5, 5.231%, 05/25/43

    979   
  30      

Series T-58, Class APO, PO, 09/25/43

    26   
  244      

Series T-76, Class 2A, VAR, 1.516%, 10/25/37

    240   
  

Federal National Mortgage Association - ACES,

 
  500      

Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20

    554   
  452      

Series 2012-M11, Class FA, VAR, 0.676%, 08/25/19

    454   
  1,000      

Series 2012-M9, Class A2, 2.482%, 04/25/22

    996   
  444      

Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23

    471   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Agency CMO — continued

  

  2,000     

Series 2014-M3, Class A2, VAR, 3.501%, 01/25/24

    2,120   
  101     

Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41

    117   
 

Federal National Mortgage Association REMIC,

 
  1     

Series 1988-7, Class Z, 9.250%, 04/25/18

    1   
  5     

Series 1989-70, Class G, 8.000%, 10/25/19

    6   
  3     

Series 1989-78, Class H, 9.400%, 11/25/19

    3   
  2     

Series 1989-83, Class H, 8.500%, 11/25/19

    2   
  2     

Series 1989-89, Class H, 9.000%, 11/25/19

    2   
  1     

Series 1990-1, Class D, 8.800%, 01/25/20

    1   
  1     

Series 1990-7, Class B, 8.500%, 01/25/20

    1   
  1     

Series 1990-60, Class K, 5.500%, 06/25/20

    1   
  1     

Series 1990-63, Class H, 9.500%, 06/25/20

    1   
  1     

Series 1990-93, Class G, 5.500%, 08/25/20

    1   
  (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

    (h) 
  8     

Series 1990-102, Class J, 6.500%, 08/25/20

    8   
  2     

Series 1990-120, Class H, 9.000%, 10/25/20

    2   
  1     

Series 1990-134, Class SC, HB, IF, 21.368%, 11/25/20

    1   
  (h)   

Series 1990-140, Class K, HB, 652.145%, 12/25/20

    (h) 
  (h)   

Series 1991-7, Class K, HB, 908.500%, 02/25/21

    (h) 
  2     

Series 1991-42, Class S, IF, 17.404%, 05/25/21

    3   
  41     

Series 1992-107, Class SB, HB, IF, 29.609%, 06/25/22

    67   
  3     

Series 1992-143, Class MA, 5.500%, 09/25/22

    3   
  20     

Series 1993-25, Class J, 7.500%, 03/25/23

    23   
  134     

Series 1993-37, Class PX, 7.000%, 03/25/23

    151   
  49     

Series 1993-54, Class Z, 7.000%, 04/25/23

    55   
  10     

Series 1993-62, Class SA, IF, 18.975%, 04/25/23

    15   
  13     

Series 1993-122, Class M, 6.500%, 07/25/23

    14   
  5     

Series 1993-165, Class SD, IF, 13.440%, 09/25/23

    6   
  21     

Series 1993-178, Class PK, 6.500%, 09/25/23

    23   
  349     

Series 1993-183, Class KA, 6.500%, 10/25/23

    384   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         69   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

  

  149      

Series 1993-189, Class PL, 6.500%, 10/25/23

    167   
  32      

Series 1993-247, Class SA, HB, IF, 28.053%, 12/25/23

    55   
  24      

Series 1993-250, Class Z, 7.000%, 12/25/23

    24   
  2      

Series 1994-9, Class E, PO, 11/25/23

    2   
  89      

Series 1996-14, Class SE, IF, IO, 8.260%, 08/25/23

    19   
  3      

Series 1996-27, Class FC, VAR, 0.655%, 03/25/17

    3   
  10      

Series 1996-59, Class J, 6.500%, 08/25/22

    11   
  44      

Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27

    2   
  44      

Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27

    2   
  20      

Series 1997-27, Class J, 7.500%, 04/18/27

    23   
  27      

Series 1997-29, Class J, 7.500%, 04/20/27

    32   
  59      

Series 1997-39, Class PD, 7.500%, 05/20/27

    69   
  18      

Series 1997-81, Class PI, IO, 7.000%, 12/18/27

    4   
  2      

Series 1998-4, Class C, PO, 04/25/23

    2   
  16      

Series 1998-36, Class ZB, 6.000%, 07/18/28

    18   
  199      

Series 1998-43, Class EA, PO, 04/25/23

    191   
  114      

Series 2000-2, Class ZE, 7.500%, 02/25/30

    131   
  42      

Series 2001-4, Class PC, 7.000%, 03/25/21

    46   
  79      

Series 2001-33, Class ID, IO, 6.000%, 07/25/31

    16   
  95      

Series 2001-36, Class DE, 7.000%, 08/25/31

    110   
  20      

Series 2001-44, Class PD, 7.000%, 09/25/31

    23   
  152      

Series 2001-48, Class Z, 6.500%, 09/25/21

    168   
  19      

Series 2001-49, Class Z, 6.500%, 09/25/31

    21   
  31      

Series 2001-71, Class MB, 6.000%, 12/25/16

    32   
  35      

Series 2001-71, Class QE, 6.000%, 12/25/16

    36   
  230      

Series 2001-74, Class MB, 6.000%, 12/25/16

    239   
  16      

Series 2001-81, Class LO, PO, 01/25/32

    15   
  46      

Series 2002-1, Class HC, 6.500%, 02/25/22

    51   
  23      

Series 2002-1, Class SA, HB, IF, 24.684%, 02/25/32

    38   
  19      

Series 2002-2, Class UC, 6.000%, 02/25/17

    20   
  34      

Series 2002-3, Class OG, 6.000%, 02/25/17

    35   
  57      

Series 2002-21, Class PE, 6.500%, 04/25/32

    65   
  74      

Series 2002-24, Class AJ, 6.000%, 04/25/17

    77   
  59      

Series 2002-28, Class PK, 6.500%, 05/25/32

    66   
  64      

Series 2002-37, Class Z, 6.500%, 06/25/32

    72   
  97      

Series 2002-94, Class BK, 5.500%, 01/25/18

    101   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Agency CMO — continued

  

  202     

Series 2003-22, Class UD, 4.000%, 04/25/33

    213   
  162     

Series 2003-34, Class GB, 6.000%, 03/25/33

    180   
  304     

Series 2003-34, Class GE, 6.000%, 05/25/33

    355   
  14     

Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33

    3   
  239     

Series 2003-47, Class PE, 5.750%, 06/25/33

    264   
  28     

Series 2003-52, Class SX, HB, IF, 22.485%, 10/25/31

    45   
  29     

Series 2003-64, Class SX, IF, 13.360%, 07/25/33

    36   
  126     

Series 2003-71, Class DS, IF, 7.259%, 08/25/33

    131   
  98     

Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23

    8   
  102     

Series 2003-83, Class PG, 5.000%, 06/25/23

    107   
  24     

Series 2003-91, Class SD, IF, 12.242%, 09/25/33

    28   
  203     

Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33

    43   
  (h)   

Series 2003-128, Class NG, 4.000%, 01/25/19

    (h) 
  24     

Series 2003-130, Class SX, IF, 11.287%, 01/25/34

    29   
  219     

Series 2004-25, Class PC, 5.500%, 01/25/34

    233   
  143     

Series 2004-25, Class SA, IF, 19.099%, 04/25/34

    200   
  146     

Series 2004-36, Class PC, 5.500%, 02/25/34

    155   
  135     

Series 2004-36, Class SA, IF, 19.099%, 05/25/34

    186   
  89     

Series 2004-46, Class SK, IF, 16.074%, 05/25/34

    114   
  873     

Series 2004-50, Class VZ, 5.500%, 07/25/34

    955   
  72     

Series 2004-61, Class SH, HB, IF, 23.368%, 11/25/32

    112   
  68     

Series 2004-74, Class SW, IF, 15.190%, 11/25/31

    96   
  90     

Series 2004-76, Class CL, 4.000%, 10/25/19

    94   
  132     

Series 2005-45, Class DC, HB, IF, 23.742%, 06/25/35

    198   
  31     

Series 2005-52, Class PA, 6.500%, 06/25/35

    33   
  100     

Series 2005-56, Class S, IF, IO, 6.555%, 07/25/35

    19   
  197     

Series 2005-56, Class TP, IF, 17.685%, 08/25/33

    262   
  640     

Series 2005-68, Class PG, 5.500%, 08/25/35

    705   
  246     

Series 2005-73, Class PS, IF, 16.313%, 08/25/35

    314   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

  

  114      

Series 2005-74, Class CS, IF, 19.594%, 05/25/35

    157   
  220      

Series 2005-106, Class US, HB, IF, 23.998%, 11/25/35

    332   
  747      

Series 2005-121, Class DX, 5.500%, 01/25/26

    822   
  242      

Series 2006-27, Class OH, PO, 04/25/36

    230   
  74      

Series 2006-44, Class P, PO, 12/25/33

    69   
  452      

Series 2006-56, Class FC, VAR, 0.445%, 07/25/36

    452   
  114      

Series 2006-59, Class QO, PO, 01/25/33

    112   
  75      

Series 2006-65, Class QO, PO, 07/25/36

    70   
  111      

Series 2006-72, Class GO, PO, 08/25/36

    103   
  240      

Series 2006-77, Class PC, 6.500%, 08/25/36

    271   
  91      

Series 2006-79, Class DO, PO, 08/25/36

    86   
  162      

Series 2006-110, Class PO, PO, 11/25/36

    150   
  309      

Series 2006-124, Class HB, VAR, 5.974%, 11/25/36

    315   
  126      

Series 2007-14, Class ES, IF, IO, 6.285%, 03/25/37

    19   
  92      

Series 2007-79, Class SB, HB, IF, 23.448%, 08/25/37

    136   
  500      

Series 2007-81, Class GE, 6.000%, 08/25/37

    572   
  239      

Series 2007-88, Class VI, IF, IO, 6.385%, 09/25/37

    36   
  609      

Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37

    81   
  124      

Series 2007-106, Class A7, VAR, 6.061%, 10/25/37

    138   
  153      

Series 2007-116, Class HI, IO, VAR, 1.496%, 01/25/38

    12   
  68      

Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38

    8   
  54      

Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38

    9   
  98      

Series 2008-28, Class QS, HB, IF, 20.235%, 04/25/38

    133   
  136      

Series 2008-46, Class HI, IO, VAR, 1.742%, 06/25/38

    14   
  129      

Series 2009-69, Class PO, PO, 09/25/39

    122   
  758      

Series 2009-71, Class BC, 4.500%, 09/25/24

    829   
  254      

Series 2009-103, Class MB, VAR, 2.365%, 12/25/39

    259   
  435      

Series 2010-71, Class HJ, 5.500%, 07/25/40

    488   
  775      

Series 2010-133, Class A, 5.500%, 05/25/38

    848   
  1,000      

Series 2011-44, Class EB, 3.000%, 05/25/26

    1,001   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Agency CMO — continued

  

  561     

Series 2011-118, Class MT, 7.000%, 11/25/41

    645   
  537     

Series 2011-118, Class NT, 7.000%, 11/25/41

    623   
  332     

Series 2012-47, Class HF, VAR, 0.555%, 05/25/27

    334   
  (h)   

Series 2012-108, Class F, VAR, 0.655%, 10/25/42

    (h) 
  903     

Series 2012-112, Class FD, VAR, 0.655%, 10/25/42

    901   
  473     

Series 2013-101, Class DO, PO, 10/25/43

    359   
  478     

Series 2013-128, Class PO, PO, 12/25/43

    361   
  2     

Series G-14, Class L, 8.500%, 06/25/21

    3   
  11     

Series G-18, Class Z, 8.750%, 06/25/21

    12   
  1     

Series G-22, Class G, 6.000%, 12/25/16

    1   
  9     

Series G-35, Class M, 8.750%, 10/25/21

    10   
  36     

Series G92-35, Class E, 7.500%, 07/25/22

    40   
  2     

Series G92-42, Class Z, 7.000%, 07/25/22

    2   
  23     

Series G92-44, Class ZQ, 8.000%, 07/25/22

    25   
  34     

Series G92-54, Class ZQ, 7.500%, 09/25/22

    37   
  8     

Series G93-5, Class Z, 6.500%, 02/25/23

    9   
  12     

Series G95-1, Class C, 8.800%, 01/25/25

    14   
 

Federal National Mortgage Association REMIC Trust,

 
  154     

Series 2003-W1, Class 1A1, VAR, 5.887%, 12/25/42

    174   
  37     

Series 2003-W4, Class 2A, VAR, 6.364%, 10/25/42

    42   
  36     

Series 2007-W7, Class 1A4, HB, IF, 38.250%, 07/25/37

    55   
 

Federal National Mortgage Association STRIPS,

 
  (h)   

Series 50, Class 2, IO, 10.500%, 03/25/19

    (h) 
  2     

Series 218, Class 2, IO, 7.500%, 04/25/23

    1   
  88     

Series 300, Class 1, PO, 09/25/24

    84   
  15     

Series 329, Class 1, PO, 01/25/33

    14   
 

Federal National Mortgage Association Trust,

 
  84     

Series 2004-W2, Class 2A2, 7.000%, 02/25/44

    97   
  263     

Series 2005-W3, Class 2AF, VAR, 0.375%, 03/25/45

    263   
 

Government National Mortgage Association,

 
  185     

Series 1994-7, Class PQ, 6.500%, 10/16/24

    211   
  277     

Series 1999-10, Class ZC, 6.500%, 04/20/29

    311   
  19     

Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29

    5   
  30     

Series 1999-41, Class Z, 8.000%, 11/16/29

    35   
  12     

Series 2000-9, Class Z, 8.000%, 06/20/30

    15   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         71   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

  

  257      

Series 2000-9, Class ZJ, 8.500%, 02/16/30

    306   
  72      

Series 2001-7, Class PK, 6.500%, 03/20/31

    81   
  166      

Series 2001-64, Class MQ, 6.500%, 12/20/31

    191   
  27      

Series 2002-7, Class PG, 6.500%, 01/20/32

    31   
  35      

Series 2002-31, Class S, IF, IO, 8.545%, 01/16/31

    11   
  102      

Series 2002-40, Class UK, 6.500%, 06/20/32

    116   
  96      

Series 2002-47, Class PG, 6.500%, 07/16/32

    110   
  121      

Series 2002-47, Class PY, 6.000%, 07/20/32

    136   
  121      

Series 2002-47, Class ZA, 6.500%, 07/20/32

    139   
  20      

Series 2003-24, Class PO, PO, 03/16/33

    17   
  304      

Series 2003-40, Class TJ, 6.500%, 03/20/33

    354   
  106      

Series 2003-52, Class AP, PO, 06/16/33

    97   
  25      

Series 2004-28, Class S, IF, 19.236%, 04/16/34

    35   
  2      

Series 2004-68, Class PO, PO, 05/20/31

    2   
  65      

Series 2004-71, Class SB, HB, IF, 28.701%, 09/20/34

    103   
  43      

Series 2004-73, Class AE, IF, 14.535%, 08/17/34

    55   
  346      

Series 2004-90, Class SI, IF, IO, 5.945%, 10/20/34

    53   
  107      

Series 2005-68, Class DP, IF, 16.060%, 06/17/35

    142   
  688      

Series 2005-68, Class KI, IF, IO, 6.145%, 09/20/35

    102   
  75      

Series 2006-59, Class SD, IF, IO, 6.545%, 10/20/36

    12   
  275      

Series 2007-17, Class JI, IF, IO, 6.655%, 04/16/37

    44   
  328      

Series 2007-27, Class SA, IF, IO, 6.045%, 05/20/37

    50   
  509      

Series 2007-40, Class SB, IF, IO, 6.595%, 07/20/37

    72   
  306      

Series 2007-45, Class QA, IF, IO, 6.485%, 07/20/37

    44   
  311      

Series 2007-50, Class AI, IF, IO, 6.620%, 08/20/37

    50   
  76      

Series 2007-53, Class ES, IF, IO, 6.395%, 09/20/37

    11   
  78      

Series 2007-53, Class SW, IF, 19.738%, 09/20/37

    107   
  173      

Series 2007-57, Class QA, IF, IO, 6.345%, 10/20/37

    24   
  90      

Series 2007-71, Class SB, IF, IO, 6.545%, 07/20/36

    7   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Agency CMO — continued

  

  161      

Series 2007-72, Class US, IF, IO, 6.395%, 11/20/37

    22   
  159      

Series 2007-76, Class SA, IF, IO, 6.374%, 11/20/37

    24   
  46      

Series 2008-25, Class SB, IF, IO, 6.744%, 03/20/38

    7   
  93      

Series 2008-33, Class XS, IF, IO, 7.545%, 04/16/38

    21   
  264      

Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38

    48   
  421      

Series 2008-50, Class KB, 6.000%, 06/20/38

    472   
  221      

Series 2008-55, Class SA, IF, IO, 6.045%, 06/20/38

    31   
  225      

Series 2008-93, Class AS, IF, IO, 5.545%, 12/20/38

    29   
  87      

Series 2009-6, Class SA, IF, IO, 5.945%, 02/16/39

    13   
  99      

Series 2009-14, Class NI, IO, 6.500%, 03/20/39

    20   
  347      

Series 2009-22, Class SA, IF, IO, 6.114%, 04/20/39

    42   
  312      

Series 2009-31, Class ST, IF, IO, 6.194%, 03/20/39

    36   
  312      

Series 2009-31, Class TS, IF, IO, 6.145%, 03/20/39

    35   
  258      

Series 2009-79, Class OK, PO, 11/16/37

    241   
  512      

Series 2009-106, Class ST, IF, IO, 5.844%, 02/20/38

    69   
  143      

Series 2010-14, Class AO, PO, 12/20/32

    140   
  172      

Series 2010-130, Class CP, 7.000%, 10/16/40

    202   
  596      

Series 2011-137, Class WA, VAR, 5.522%, 07/20/40

    676   
  488      

Series 2012-H21, Class DF, VAR, 0.805%, 05/20/61

    489   
  406      

Series 2012-H24, Class FA, VAR, 0.606%, 03/20/60

    407   
  485      

Series 2012-H26, Class MA, VAR, 0.706%, 07/20/62

    486   
  848      

Series 2013-91, Class WA, VAR, 4.519%, 04/20/43

    912   
  377      

Series 2013-H03, Class FA, VAR, 0.455%, 08/20/60

    376   
  498      

Series 2013-H07, Class JA, 1.750%, 03/20/63

    494   
  115      

NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.400%, 12/08/20

    116   
  

Vendee Mortgage Trust,

 
  541      

Series 1993-1, Class ZB, 7.250%, 02/15/23

    621   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Agency CMO — continued

  

  240      

Series 1994-1, Class 1, VAR, 5.576%, 02/15/24

    263   
  345      

Series 1996-1, Class 1Z, 6.750%, 02/15/26

    395   
  116      

Series 1996-2, Class 1Z, 6.750%, 06/15/26

    134   
  461      

Series 1997-1, Class 2Z, 7.500%, 02/15/27

    543   
  113      

Series 1998-1, Class 2E, 7.000%, 03/15/28

    132   
    

 

 

 
       55,442   
    

 

 

 
  

Non-Agency CMO — 3.8%

 
  

Alternative Loan Trust,

 
  1,836      

Series 2004-2CB, Class 1A9, 5.750%, 03/25/34

    1,880   
  4      

Series 2004-18CB, Class 2A4, 5.700%, 09/25/34

    4   
  348      

Series 2005-54CB, Class 1A11, 5.500%, 11/25/35

    322   
  13      

American General Mortgage Loan Trust, Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)

    13   
  

ASG Resecuritization Trust,

 
  104      

Series 2009-1, Class A60, VAR, 2.056%, 06/26/37 (e)

    102   
  26      

Series 2009-2, Class A55, VAR, 4.872%, 05/24/36 (e)

    26   
  287      

Series 2009-3, Class A65, VAR, 2.066%, 03/26/37 (e)

    287   
  

Banc of America Alternative Loan Trust,

 
  78      

Series 2003-7, Class 2A4, 5.000%, 09/25/18

    79   
  30      

Series 2003-9, Class 1CB2, 5.500%, 11/25/33

    30   
  36      

Series 2003-11, Class PO, PO, 01/25/34

    31   
  34      

Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34

    27   
  

Banc of America Mortgage Trust,

 
  17      

Series 2003-8, Class APO, PO, 11/25/33

    13   
  20      

Series 2004-1, Class APO, PO, 02/25/34

    18   
  53      

Series 2004-3, Class 1A26, 5.500%, 04/25/34

    54   
  24      

Series 2004-6, Class APO, PO, 07/25/34

    22   
  

BCAP LLC Trust,

 
  336      

Series 2010-RR7, Class 2A1, VAR, 2.073%, 07/26/45 (e)

    338   
  306      

Series 2011-RR10, Class 2A1, VAR, 1.007%, 09/26/37 (e)

    280   
  23      

Series 2011-RR5, Class 14A3, VAR, 2.501%, 07/26/36 (e)

    23   
  190      

Series 2012-RR2, Class 1A1, VAR, 0.325%, 08/26/36 (e)

    186   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Non-Agency CMO — continued

  

  108      

Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.180%, 08/25/35

    110   
  188      

CAM Mortgage Trust, Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e)

    187   
  

CHL Mortgage Pass-Through Trust,

 
  12      

Series 2003-J13, Class PO, PO, 01/25/34

    11   
  22      

Series 2003-J7, Class 4A3, IF, 9.572%, 08/25/18

    23   
  79      

Series 2004-5, Class 1A4, 5.500%, 06/25/34

    85   
  31      

Series 2004-HYB3, Class 2A, VAR, 2.329%, 06/20/34

    30   
  328      

Series 2005-22, Class 2A1, VAR, 2.554%, 11/25/35

    279   
  

Citigroup Mortgage Loan Trust,

 
  144      

Series 2008-AR4, Class 1A1A, VAR, 2.734%, 11/25/38 (e)

    145   
  428      

Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)

    441   
  230      

Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)

    236   
  

Citigroup Mortgage Loan Trust, Inc.,

 
  30      

Series 2003-UP3, Class A3, 7.000%, 09/25/33

    31   
  24      

Series 2003-UST1, Class A1, 5.500%, 12/25/18

    24   
  3      

Series 2003-UST1, Class PO1, PO, 12/25/18

    3   
  4      

Series 2003-UST1, Class PO3, PO, 12/25/18

    4   
  41      

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18

    42   
  

CSMC,

 
  723      

Series 2010-11R, Class A6, VAR, 1.156%, 06/28/47 (e)

    693   
  125      

Series 2011-9R, Class A1, VAR, 2.155%, 03/27/46 (e)

    125   
  99      

Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)

    100   
  149      

Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.347%, 06/25/20

    150   
  15      

Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18

    14   
  85      

FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)

    86   
  

First Horizon Mortgage Pass-Through Trust,

 
  147      

Series 2004-AR7, Class 2A2, VAR, 2.552%, 02/25/35

    147   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         73   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Non-Agency CMO — continued

  

  166      

Series 2005-AR1, Class 2A2, VAR, 2.575%, 04/25/35

    167   
  317      

GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36

    296   
  51      

Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33

    29   
  255      

IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35

    (h) 
  

JP Morgan Mortgage Trust,

 
  70      

Series 2006-A2, Class 4A1, VAR, 2.495%, 08/25/34

    70   
  248      

Series 2006-A2, Class 5A3, VAR, 2.518%, 11/25/33

    248   
  

MASTR Adjustable Rate Mortgages Trust,

 
  47      

Series 2004-3, Class 4A2, VAR, 2.327%, 04/25/34

    44   
  201      

Series 2004-13, Class 2A1, VAR, 2.642%, 04/21/34

    203   
  

MASTR Alternative Loan Trust,

 
  155      

Series 2003-9, Class 8A1, 6.000%, 01/25/34

    155   
  382      

Series 2004-4, Class 10A1, 5.000%, 05/25/24

    405   
  27      

Series 2004-7, Class 30PO, PO, 08/25/34

    22   
  29      

Series 2004-10, Class 1A1, 4.500%, 09/25/19

    29   
  135      

Series 2005-6, Class 3A1, 5.500%, 11/25/20

    133   
  

MASTR Asset Securitization Trust,

 
  55      

Series 2003-2, Class 1A1, 5.000%, 03/25/18

    55   
  8      

Series 2004-8, Class PO, PO, 08/25/19

    7   
  76      

MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)

    60   
  

Merrill Lynch Mortgage Investors Trust,

 
  86      

Series 2003-E, Class A1, VAR, 0.775%, 10/25/28

    85   
  124      

Series 2004-A, Class A1, VAR, 0.615%, 04/25/29

    119   
  51      

MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.475%, 02/25/35

    50   
  66      

NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)

    67   
  

Nomura Asset Acceptance Corp. Alternative Loan Trust,

 
  47      

Series 2003-A1, Class A1, 5.500%, 05/25/33

    49   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
 

Non-Agency CMO — continued

  

  23     

Series 2003-A1, Class A2, 6.000%, 05/25/33

    24   
  10     

Series 2003-A1, Class A5, 7.000%, 04/25/33

    10   
  (h)   

PaineWebber CMO Trust, Series H, Class 4, 8.750%, 04/01/18

    (h) 
 

RALI Trust,

 
  25     

Series 2002-QS16, Class A3, IF, 16.299%, 10/25/17

    26   
  125     

Series 2002-QS8, Class A5, 6.250%, 06/25/17

    127   
  37     

Series 2003-QS3, Class A2, IF, 16.159%, 02/25/18

    42   
  142     

Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18

    15   
  161     

Series 2004-QS3, Class CB, 5.000%, 03/25/19

    164   
  118     

Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e)

    103   
  13     

Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19

    13   
 

Salomon Brothers Mortgage Securities VII, Inc.,

 
  70     

Series 2003-HYB1, Class A, VAR, 2.612%, 09/25/33

    71   
  6     

Series 2003-UP2, Class PO1, PO, 12/25/18

    5   
 

Springleaf Mortgage Loan Trust,

 
  128     

Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)

    133   
  255     

Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)

    258   
  193     

Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)

    193   
  103     

Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)

    103   
  130     

Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)

    130   
  273     

Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)

    273   
  125     

Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)

    128   
  213     

Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)

    213   
  306     

Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)

    308   
  110     

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33

    113   
  64     

Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35

    65   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Collateralized Mortgage Obligations — continued

  

  

Non-Agency CMO — continued

  

  

WaMu Mortgage Pass-Through Certificates Trust,

 
  30      

Series 2002-S8, Class 2A7, 5.250%, 01/25/18

    30   
  148      

Series 2003-AR5, Class A7, VAR, 2.443%, 06/25/33

    151   
  79      

Series 2004-AR3, Class A2, VAR, 2.377%, 06/25/34

    80   
  281      

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.500%, 06/25/35

    262   
  

Washington Mutual MSC Mortgage Pass-Through Certificates Trust,

 
  36      

Series 2003-MS2, Class 1A1, 5.750%, 02/25/33

    38   
  9      

Series 2003-MS7, Class P, PO, 03/25/33

    7   
  211      

Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)

    212   
  

Wells Fargo Mortgage-Backed Securities Trust,

 
  58      

Series 2003-K, Class 1A1, VAR, 2.491%, 11/25/33

    59   
  94      

Series 2004-EE, Class 3A1, VAR, 2.533%, 12/25/34

    95   
  302      

Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34

    308   
  501      

Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35

    510   
    

 

 

 
       13,263   
    

 

 

 
  

Total Collateralized Mortgage Obligations
(Cost $65,427)

    68,705   
    

 

 

 

 

Commercial Mortgage-Backed Securities — 2.0%

 
  

A10 Term Asset Financing LLC,

 
  429      

Series 2013-2, Class A, 2.620%, 11/15/27 (e)

    428   
  250      

Series 2014-1, Class A1, 1.720%, 04/15/33 (e)

    251   
  

Banc of America Commercial Mortgage Trust,

 
  50      

Series 2006-1, Class A4, VAR, 5.372%, 09/10/45

    52   
  290      

Series 2006-4, Class A4, 5.634%, 07/10/46

    308   
  300      

Series 2007-5, Class A4, 5.492%, 02/10/51

    324   
  150      

Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.727%, 07/10/43

    153   
  200      

BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)

    195   
  360      

Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW11, Class A4, VAR, 5.600%, 03/11/39

    378   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  14,450      

CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.556%, 12/11/49 (e)

    110   
  

COMM Mortgage Trust,

 
  500      

Series 2012-9W57, Class A, 2.365%, 02/10/29 (e)

    513   
  423      

Series 2014-KYO, Class A, VAR, 1.057%, 06/11/27 (e)

    423   
  90      

Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.094%, 11/17/26 (e)

    91   
  202      

CSMC, Series 2014-ICE, Class A, VAR, 1.050%, 04/15/27 (e)

    202   
  134      

DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)

    134   
  273      

GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45

    283   
  50      

LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31

    52   
  350      

Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.000%, 07/27/49 (e)

    352   
  653      

NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20

    664   
  

NorthStar, (Cayman Islands),

 
  325      

Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e)

    326   
  250      

Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e)

    252   
  91      

NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.355%, 08/25/29 (e)

    91   
  206      

ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)

    206   
  239      

TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.560%, 08/15/39

    241   
  116      

UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)

    117   
  104      

UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63

    108   
  500      

VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)

    528   
  197      

Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)

    197   
    

 

 

 
  

Total Commercial Mortgage-Backed Securities
(Cost $6,814)

    6,979   
    

 

 

 

 

Corporate Bonds — 18.9%

 
  

Consumer Discretionary — 1.0%

 
  

Auto Components — 0.0% (g)

 
  99      

Johnson Controls, Inc., 3.750%, 12/01/21

    104   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         75   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Automobiles — 0.1%

 
  

Daimler Finance North America LLC,

 
  150      

1.650%, 04/10/15 (e)

    151   
  150      

1.875%, 01/11/18 (e)

    151   
  150      

2.625%, 09/15/16 (e)

    155   
    

 

 

 
       457   
    

 

 

 
  

Media — 0.6%

 
  

21st Century Fox America, Inc.,

 
  100      

7.250%, 05/18/18

    119   
  100      

7.700%, 10/30/25

    132   
  

CBS Corp.,

 
  94      

3.700%, 08/15/24

    95   
  25      

4.300%, 02/15/21

    27   
  25      

5.750%, 04/15/20

    29   
  100      

Comcast Corp., 5.900%, 03/15/16

    108   
  16      

Cox Communications, Inc., 5.450%, 12/15/14

    16   
  

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,

 
  150      

4.600%, 02/15/21

    165   
  353      

5.000%, 03/01/21

    395   
  78      

Discovery Communications LLC, 4.375%, 06/15/21

    85   
  

Thomson Reuters Corp., (Canada),

 
  105      

3.950%, 09/30/21

    111   
  60      

4.700%, 10/15/19

    66   
  

Time Warner Cable, Inc.,

 
  57      

5.850%, 05/01/17

    64   
  50      

6.750%, 07/01/18

    59   
  150      

8.250%, 04/01/19

    189   
  35      

8.750%, 02/14/19

    44   
  

Viacom, Inc.,

 
  18      

1.250%, 02/27/15

    18   
  50      

3.125%, 06/15/22

    50   
  11      

3.250%, 03/15/23

    11   
  43      

3.875%, 12/15/21

    45   
  50      

4.500%, 03/01/21

    55   
  15      

6.250%, 04/30/16

    16   
  42      

Walt Disney Co. (The), 0.450%, 12/01/15

    42   
    

 

 

 
       1,941   
    

 

 

 
  

Multiline Retail — 0.2%

  

  40      

Kohl’s Corp., 6.250%, 12/15/17

    46   
  

Macy’s Retail Holdings, Inc.,

 
  37      

2.875%, 02/15/23

    36   
  49      

4.375%, 09/01/23

    52   
  25      

7.450%, 07/15/17

    29   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Multiline Retail — continued

 
  35      

Nordstrom, Inc., 4.000%, 10/15/21

    38   
  400      

Target Corp., 6.000%, 01/15/18

    458   
    

 

 

 
       659   
    

 

 

 
  

Specialty Retail — 0.1%

  

  32      

Bed Bath & Beyond, Inc., 4.915%, 08/01/34

    33   
  59      

Gap, Inc. (The), 5.950%, 04/12/21

    69   
  130      

Home Depot, Inc. (The), 5.400%, 03/01/16

    139   
    

 

 

 
       241   
    

 

 

 
  

Total Consumer Discretionary

    3,402   
    

 

 

 
  

Consumer Staples — 0.8%

  

  

Beverages — 0.3%

 
  75      

Anheuser-Busch Cos. LLC, 5.500%, 01/15/18

    85   
  150      

Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24

    157   
  139      

Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19

    171   
  50      

Coca-Cola Co. (The), 4.875%, 03/15/19

    56   
  70      

Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20

    79   
  30      

Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15

    32   
  85      

FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)

    88   
  30      

Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)

    30   
  

PepsiCo, Inc.,

 
  180      

1.250%, 08/13/17

    181   
  31      

3.000%, 08/25/21

    32   
  6      

7.900%, 11/01/18

    7   
  30      

SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)

    33   
    

 

 

 
       951   
    

 

 

 
  

Food & Staples Retailing — 0.2%

  

  179      

CVS Caremark Corp., 4.000%, 12/05/23

    189   
  53      

CVS Pass-Through Trust, 5.926%, 01/10/34 (e)

    62   
  

Kroger Co. (The),

 
  50      

2.200%, 01/15/17

    51   
  90      

4.000%, 02/01/24

    94   
  30      

6.150%, 01/15/20

    35   
  75      

6.400%, 08/15/17

    86   
  94      

Walgreen Co., 3.100%, 09/15/22

    93   
    

 

 

 
       610   
    

 

 

 
  

Food Products — 0.3%

  

  135      

Bunge Ltd. Finance Corp., 8.500%, 06/15/19

    169   
  14      

Bunge N.A. Finance LP, 5.900%, 04/01/17

    16   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
76       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Food Products — continued

 
  

Cargill, Inc.,

 
  100      

3.300%, 03/01/22 (e)

    103   
  106      

4.307%, 05/14/21 (e)

    116   
  24      

ConAgra Foods, Inc., 2.100%, 03/15/18

    24   
  

Kraft Foods Group, Inc.,

 
  52      

5.375%, 02/10/20

    59   
  332      

6.125%, 08/23/18

    383   
  150      

Mondelez International, Inc., 4.000%, 02/01/24

    158   
  73      

Tyson Foods, Inc., 3.950%, 08/15/24

    75   
    

 

 

 
       1,103   
    

 

 

 
  

Household Products — 0.0% (g)

  

  20      

Kimberly-Clark Corp., 2.400%, 03/01/22

    20   
  61      

Procter & Gamble - ESOP, Series A, 9.360%, 01/01/21

    76   
    

 

 

 
       96   
    

 

 

 
  

Total Consumer Staples

    2,760   
    

 

 

 
  

Energy — 1.6%

  

  

Energy Equipment & Services — 0.1%

 
  14      

Cameron International Corp., 4.000%, 12/15/23

    15   
  107      

Halliburton Co., 3.500%, 08/01/23

    111   
  15      

National Oilwell Varco, Inc., 1.350%, 12/01/17

    15   
  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)

    49   
  

Transocean, Inc., (Cayman Islands),

 
  39      

3.800%, 10/15/22

    38   
  35      

6.375%, 12/15/21

    40   
  100      

6.500%, 11/15/20

    113   
  33      

Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22

    35   
    

 

 

 
       428   
    

 

 

 
  

Oil, Gas & Consumable Fuels — 1.5%

  

  

Apache Corp.,

 
  42      

3.250%, 04/15/22

    43   
  25      

6.900%, 09/15/18

    30   
  

BP Capital Markets plc, (United Kingdom),

 
  20      

1.375%, 11/06/17

    20   
  233      

2.237%, 05/10/19

    235   
  106      

2.750%, 05/10/23

    103   
  66      

3.814%, 02/10/24

    69   
  100      

4.742%, 03/11/21

    112   
  150      

Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18

    170   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Oil, Gas & Consumable Fuels — continued

 
  21      

Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22

    21   
  40      

Chevron Corp., 2.355%, 12/05/22

    39   
  200      

CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24

    208   
  150      

ConocoPhillips, 5.750%, 02/01/19

    174   
  190      

ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16

    209   
  150      

Devon Energy Corp., 1.875%, 05/15/17

    152   
  80      

Encana Corp., (Canada), 6.500%, 05/15/19

    94   
  200      

Eni S.p.A., (Italy), 4.150%, 10/01/20 (e)

    213   
  49      

Enterprise Products Operating LLC, 3.900%, 02/15/24

    51   
  

EOG Resources, Inc.,

 
  23      

2.625%, 03/15/23

    22   
  100      

4.100%, 02/01/21

    109   
  50      

Magellan Midstream Partners LP, 6.550%, 07/15/19

    59   
  

Marathon Oil Corp.,

 
  228      

5.900%, 03/15/18

    260   
  175      

6.000%, 10/01/17

    199   
  35      

Occidental Petroleum Corp., 1.750%, 02/15/17

    36   
  40      

PC Financial Partnership, 5.000%, 11/15/14

    40   
  

Petrobras Global Finance B.V., (Netherlands),

 
  84      

4.375%, 05/20/23

    83   
  295      

6.250%, 03/17/24

    324   
  

Petrobras International Finance Co., (Cayman Islands),

 
  90      

5.375%, 01/27/21

    95   
  50      

7.875%, 03/15/19

    58   
  97      

Petro-Canada, (Canada), 6.050%, 05/15/18

    111   
  69      

Petroleos Mexicanos, (Mexico), 4.875%, 01/18/24 (e)

    75   
  43      

Phillips 66, 2.950%, 05/01/17

    45   
  200      

Sinopec Group Overseas Development Ltd., (United Kingdom), 4.375%, 10/17/23 (e)

    210   
  

Spectra Energy Capital LLC,

 
  150      

5.650%, 03/01/20

    169   
  140      

6.200%, 04/15/18

    160   
  50      

8.000%, 10/01/19

    63   
  79      

Spectra Energy Partners LP, 2.950%, 09/25/18

    82   
  

Statoil ASA, (Norway),

 
  143      

2.650%, 01/15/24

    139   
  42      

2.900%, 11/08/20

    43   
  67      

3.125%, 08/17/17

    71   
  83      

3.150%, 01/23/22

    86   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         77   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Oil, Gas & Consumable Fuels — continued

 
  50      

Talisman Energy, Inc., (Canada), 7.750%, 06/01/19

    62   
  

Total Capital International S.A., (France),

 
  27      

0.750%, 01/25/16

    27   
  44      

1.500%, 02/17/17

    44   
  75      

1.550%, 06/28/17

    76   
  150      

2.750%, 06/19/21

    151   
  175      

Total Capital S.A., (France), 2.300%, 03/15/16

    179   
  

TransCanada PipeLines Ltd., (Canada),

 
  100      

6.500%, 08/15/18

    118   
  30      

7.125%, 01/15/19

    36   
    

 

 

 
       5,175   
    

 

 

 
  

Total Energy

    5,603   
    

 

 

 
  

Financials — 10.5%

  

  

Banks — 4.3%

  

  200      

ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)

    203   
  100      

ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)

    102   
  250      

Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)

    258   
  

Bank of America Corp.,

 
  42      

4.100%, 07/24/23

    44   
  200      

Series C, 5.000%, 01/15/15

    203   
  100      

5.000%, 05/13/21

    112   
  130      

5.625%, 07/01/20

    149   
  300      

Series L, 5.650%, 05/01/18

    337   
  170      

5.750%, 12/01/17

    191   
  50      

5.875%, 01/05/21

    58   
  814      

6.400%, 08/28/17

    925   
  100      

6.500%, 08/01/16

    110   
  266      

6.875%, 04/25/18

    310   
  

Bank of Montreal, (Canada),

 
  250      

1.300%, 10/31/14 (e)

    250   
  85      

2.550%, 11/06/22

    83   
  

Bank of Nova Scotia (The), (Canada),

 
  121      

1.650%, 10/29/15 (e)

    123   
  175      

2.550%, 01/12/17

    181   
  123      

3.400%, 01/22/15

    124   
  136      

Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 3.850%, 01/22/15 (e)

    138   
  200      

Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)

    201   
  

Barclays Bank plc, (United Kingdom),

 
  200      

2.500%, 09/21/15 (e)

    205   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Banks — continued

 
  100      

2.750%, 02/23/15

    101   
  250      

6.050%, 12/04/17 (e)

    281   
  

BB&T Corp.,

 
  125      

3.950%, 04/29/16

    132   
  100      

4.900%, 06/30/17

    109   
  300      

Capital One Bank USA N.A., 3.375%, 02/15/23

    299   
  

Citigroup, Inc.,

 
  13      

1.250%, 01/15/16

    13   
  135      

3.375%, 03/01/23

    136   
  73      

3.750%, 06/16/24

    74   
  3      

4.587%, 12/15/15

    3   
  59      

4.750%, 05/19/15

    61   
  506      

5.000%, 09/15/14

    507   
  14      

5.375%, 08/09/20

    16   
  115      

5.500%, 09/13/25

    129   
  13      

6.000%, 08/15/17

    15   
  192      

6.010%, 01/15/15

    196   
  300      

6.125%, 11/21/17

    340   
  

Comerica, Inc.,

 
  55      

3.000%, 09/16/15

    57   
  16      

3.800%, 07/22/26

    16   
  250      

Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)

    257   
  

Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A., (Netherlands),

 
  250      

3.200%, 03/11/15 (e)

    254   
  34      

3.375%, 01/19/17

    36   
  118      

3.875%, 02/08/22

    126   
  350      

Fifth Third Bancorp, 5.450%, 01/15/17

    382   
  

HSBC Holdings plc, (United Kingdom),

 
  196      

4.000%, 03/30/22

    210   
  300      

4.875%, 01/14/22

    338   
  50      

KeyCorp, 5.100%, 03/24/21

    57   
  300      

Manufacturers & Traders Trust Co., 6.625%, 12/04/17

    346   
  

National Australia Bank Ltd., (Australia),

 
  300      

2.750%, 09/28/15 (e)

    307   
  100      

3.750%, 03/02/15 (e)

    102   
  300      

Nordea Bank AB, (Sweden), 3.125%, 03/20/17 (e)

    314   
  

PNC Funding Corp.,

 
  133      

4.375%, 08/11/20

    146   
  265      

5.125%, 02/08/20

    302   
  110      

5.250%, 11/15/15

    116   
  115      

5.625%, 02/01/17

    126   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
78       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Banks — continued

 
  

Royal Bank of Canada, (Canada),

 
  239      

2.000%, 10/01/18

    242   
  125      

2.200%, 07/27/18

    128   
  200      

2.300%, 07/20/16

    206   
  250      

Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)

    247   
  200      

Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)

    217   
  

Toronto-Dominion Bank (The), (Canada),

 
  200      

1.500%, 03/13/17 (e)

    202   
  235      

2.200%, 07/29/15 (e)

    239   
  

U.S. Bancorp,

 
  150      

2.450%, 07/27/15

    153   
  208      

2.875%, 11/20/14

    209   
  850      

Wachovia Corp., 5.750%, 02/01/18

    966   
  

Wells Fargo & Co.,

 
  237      

4.480%, 01/16/24

    254   
  415      

5.625%, 12/11/17

    469   
  500      

SUB, 3.676%, 06/15/16

    526   
  

Wells Fargo Bank N.A.,

 
  315      

Series AI, 4.750%, 02/09/15

    321   
  250      

6.000%, 11/15/17

    284   
  285      

Westpac Banking Corp., (Australia), 4.875%, 11/19/19

    322   
    

 

 

 
       15,196   
    

 

 

 
  

Capital Markets — 2.4%

  

  120      

Ameriprise Financial, Inc., 4.000%, 10/15/23

    127   
  

Bank of New York Mellon Corp. (The),

 
  250      

Series 1, 2.950%, 06/18/15

    255   
  75      

3.100%, 01/15/15

    76   
  100      

3.650%, 02/04/24

    104   
  75      

4.600%, 01/15/20

    84   
  

BlackRock, Inc.,

 
  325      

3.500%, 12/10/14

    328   
  326      

Series 2, 5.000%, 12/10/19

    373   
  150      

Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)

    176   
  40      

Charles Schwab Corp. (The), 3.225%, 09/01/22

    41   
  

Goldman Sachs Group, Inc. (The),

 
  100      

1.600%, 11/23/15

    101   
  68      

2.625%, 01/31/19

    69   
  100      

3.300%, 05/03/15

    102   
  255      

3.625%, 02/07/16

    265   
  66      

3.700%, 08/01/15

    68   
  120      

4.000%, 03/03/24

    123   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Capital Markets — continued

 
  68      

5.375%, 03/15/20

    77   
  300      

5.500%, 11/15/14

    303   
  80      

5.750%, 01/24/22

    93   
  1,100      

5.950%, 01/18/18

    1,241   
  250      

7.500%, 02/15/19

    302   
  200      

ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)

    211   
  71      

Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24

    75   
  

Jefferies Group LLC,

 
  111      

3.875%, 11/09/15

    115   
  150      

5.125%, 04/13/18

    164   
  45      

6.875%, 04/15/21

    53   
  80      

8.500%, 07/15/19

    100   
  

Macquarie Bank Ltd., (Australia),

 
  93      

2.000%, 08/15/16 (e)

    95   
  263      

5.000%, 02/22/17 (e)

    285   
  

Macquarie Group Ltd., (Australia),

 
  150      

6.000%, 01/14/20 (e)

    170   
  40      

7.625%, 08/13/19 (e)

    48   
  

Morgan Stanley,

 
  104      

4.000%, 07/24/15

    107   
  195      

4.200%, 11/20/14

    196   
  93      

5.000%, 11/24/25

    100   
  166      

5.500%, 07/24/20

    189   
  100      

5.500%, 07/28/21

    115   
  450      

5.625%, 09/23/19

    514   
  100      

5.750%, 01/25/21

    116   
  100      

6.625%, 04/01/18

    116   
  100      

7.300%, 05/13/19

    121   
  

Nomura Holdings, Inc., (Japan),

 
  85      

4.125%, 01/19/16

    89   
  84      

6.700%, 03/04/20

    101   
  

State Street Corp.,

 
  36      

3.100%, 05/15/23

    35   
  192      

3.700%, 11/20/23

    202   
  

UBS AG, (Switzerland),

 
  500      

3.875%, 01/15/15

    506   
  100      

5.750%, 04/25/18

    114   
  100      

5.875%, 12/20/17

    114   
    

 

 

 
       8,359   
    

 

 

 
  

Consumer Finance — 1.1%

  

  139      

American Express Credit Corp., 2.800%, 09/19/16

    144   
  

American Honda Finance Corp.,

 
  333      

1.450%, 02/27/15 (e)

    335   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         79   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Consumer Finance — continued

 
  200      

2.125%, 02/28/17 (e)

    205   
  83      

2.125%, 10/10/18

    84   
  110      

Capital One Financial Corp., 3.500%, 06/15/23

    111   
  

Caterpillar Financial Services Corp.,

 
  250      

1.000%, 11/25/16

    251   
  58      

2.850%, 06/01/22

    58   
  100      

5.500%, 03/15/16

    107   
  65      

7.050%, 10/01/18

    78   
  100      

7.150%, 02/15/19

    122   
  

Ford Motor Credit Co. LLC,

 
  550      

2.375%, 03/12/19

    551   
  200      

3.000%, 06/12/17

    207   
  200      

4.250%, 09/20/22

    214   
  250      

HSBC USA, Inc., 2.375%, 02/13/15

    252   
  

John Deere Capital Corp.,

 
  50      

2.250%, 04/17/19

    51   
  33      

3.150%, 10/15/21

    34   
  73      

Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)

    73   
  66      

PACCAR Financial Corp., 1.600%, 03/15/17

    67   
  

Toyota Motor Credit Corp.,

 
  225      

1.750%, 05/22/17

    229   
  200      

2.000%, 09/15/16

    205   
  105      

2.000%, 10/24/18

    106   
  100      

2.050%, 01/12/17

    102   
  154      

3.200%, 06/17/15

    157   
    

 

 

 
       3,743   
    

 

 

 
  

Diversified Financial Services — 1.4%

  

  161      

Associates Corp. of North America, 6.950%, 11/01/18

    190   
  425      

Bank of America N.A., 5.300%, 03/15/17

    463   
  

Berkshire Hathaway, Inc.,

 
  80      

2.100%, 08/14/19

    80   
  202      

3.400%, 01/31/22

    211   
  98      

3.750%, 08/15/21

    106   
  25      

Countrywide Financial Corp., 6.250%, 05/15/16

    27   
  

General Electric Capital Corp.,

 
  17      

1.000%, 12/11/15

    17   
  220      

4.375%, 09/16/20

    242   
  800      

4.650%, 10/17/21

    896   
  500      

5.400%, 02/15/17

    551   
  140      

5.500%, 01/08/20

    162   
  335      

5.625%, 05/01/18

    381   
  

Intercontinental Exchange, Inc.,

 
  47      

2.500%, 10/15/18

    48   
  88      

4.000%, 10/15/23

    94   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Diversified Financial Services — continued

 
  

Private Export Funding Corp.,

 
  500      

Series EE, 2.800%, 05/15/22

    511   
  200      

Series KK, 3.550%, 01/15/24

    212   
  

Shell International Finance B.V., (Netherlands),

 
  42      

1.125%, 08/21/17

    42   
  184      

3.100%, 06/28/15

    188   
  195      

4.375%, 03/25/20

    218   
  100      

Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)

    110   
    

 

 

 
       4,749   
    

 

 

 
  

Insurance — 1.0%

  

  

ACE INA Holdings, Inc.,

 
  45      

2.600%, 11/23/15

    46   
  50      

5.600%, 05/15/15

    52   
  61      

Allstate Corp. (The), 3.150%, 06/15/23

    62   
  

American International Group, Inc.,

 
  59      

4.125%, 02/15/24

    63   
  350      

5.450%, 05/18/17

    388   
  45      

Aon Corp., 3.500%, 09/30/15

    46   
  

Berkshire Hathaway Finance Corp.,

 
  65      

1.300%, 05/15/18

    64   
  356      

2.900%, 10/15/20

    366   
  150      

5.400%, 05/15/18

    170   
  90      

CNA Financial Corp., 5.875%, 08/15/20

    104   
  80      

Jackson National Life Global Funding, 4.700%, 06/01/18 (e)

    88   
  41      

Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)

    45   
  35      

Lincoln National Corp., 4.200%, 03/15/22

    38   
  

MassMutual Global Funding II,

 
  300      

2.000%, 04/05/17 (e)

    306   
  100      

3.125%, 04/14/16 (e)

    104   
  

Metropolitan Life Global Funding I,

 
  100      

1.500%, 01/10/18 (e)

    100   
  107      

1.700%, 06/29/15 (e)

    108   
  200      

2.500%, 09/29/15 (e)

    204   
  175      

3.650%, 06/14/18 (e)

    187   
  100      

3.875%, 04/11/22 (e)

    107   
  

New York Life Global Funding,

 
  170      

1.300%, 01/12/15 (e)

    171   
  73      

2.150%, 06/18/19 (e)

    73   
  125      

3.000%, 05/04/15 (e)

    127   
  150      

Pacific Life Global Funding, 5.000%, 05/15/17 (e)

    161   
  16      

Principal Financial Group, Inc., 1.850%, 11/15/17

    16   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
80       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Insurance — continued

 
  

Principal Life Global Funding II,

 
  35      

1.000%, 12/11/15 (e)

    35   
  106      

2.250%, 10/15/18 (e)

    107   
  150      

Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)

    205   
    

 

 

 
       3,543   
    

 

 

 
  

Real Estate Investment Trusts (REITs) — 0.3%

  

  

American Tower Corp.,

 
  80      

3.500%, 01/31/23

    79   
  38      

5.000%, 02/15/24

    41   
  45      

American Tower Trust I, 1.551%, 03/15/18 (e)

    45   
  

Equity Commonwealth,

 
  125      

5.875%, 09/15/20

    136   
  150      

6.650%, 01/15/18

    166   
  27      

ERP Operating LP, 4.625%, 12/15/21

    30   
  

HCP, Inc.,

 
  52      

2.625%, 02/01/20

    52   
  23      

3.875%, 08/15/24

    23   
  17      

4.200%, 03/01/24

    18   
  38      

4.250%, 11/15/23

    39   
  92      

5.375%, 02/01/21

    104   
  73      

Health Care REIT, Inc., 4.500%, 01/15/24

    77   
  53      

Prologis LP, 4.250%, 08/15/23

    56   
  

Simon Property Group LP,

 
  81      

4.125%, 12/01/21

    88   
  17      

4.200%, 02/01/15

    17   
  40      

4.375%, 03/01/21

    44   
  50      

5.650%, 02/01/20

    58   
  40      

6.100%, 05/01/16

    43   
  50      

6.125%, 05/30/18

    58   
    

 

 

 
       1,174   
    

 

 

 
  

Total Financials

    36,764   
    

 

 

 
  

Health Care — 0.6%

  

  

Biotechnology — 0.2%

  

  

Amgen, Inc.,

 
  400      

3.875%, 11/15/21

    426   
  44      

4.500%, 03/15/20

    48   
  40      

5.700%, 02/01/19

    46   
  

Celgene Corp.,

 
  98      

3.250%, 08/15/22

    100   
  44      

3.625%, 05/15/24

    45   
    

 

 

 
       665   
    

 

 

 
  

Health Care Equipment & Supplies — 0.0% (g)

  

  50      

Baxter International, Inc., 4.625%, 03/15/15

    51   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Health Care Equipment & Supplies — continued

  

  40      

Becton Dickinson and Co., 5.000%, 05/15/19

    45   
    

 

 

 
       96   
    

 

 

 
  

Health Care Providers & Services — 0.2%

  

  72      

Express Scripts Holding Co., 3.500%, 06/15/24

    72   
  17      

McKesson Corp., 0.950%, 12/04/15

    17   
  50      

Medco Health Solutions, Inc., 2.750%, 09/15/15

    51   
  112      

UnitedHealth Group, Inc., 3.375%, 11/15/21

    117   
  44      

Ventas Realty LP, 3.750%, 05/01/24

    44   
  

WellPoint, Inc.,

 
  93      

2.300%, 07/15/18

    95   
  115      

3.125%, 05/15/22

    115   
    

 

 

 
       511   
    

 

 

 
  

Life Sciences Tools & Services — 0.0% (g)

  

  

Thermo Fisher Scientific, Inc.,

 
  22      

1.300%, 02/01/17

    22   
  69      

4.150%, 02/01/24

    73   
    

 

 

 
       95   
    

 

 

 
  

Pharmaceuticals — 0.2%

  

  

AbbVie, Inc.,

 
  119      

1.750%, 11/06/17

    120   
  87      

2.900%, 11/06/22

    85   
  69      

Actavis Funding SCS, (Luxembourg), 3.850%, 06/15/24 (e)

    70   
  150      

GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18

    171   
  

Merck & Co., Inc.,

 
  75      

1.300%, 05/18/18

    75   
  62      

2.400%, 09/15/22

    60   
    

 

 

 
       581   
    

 

 

 
  

Total Health Care

    1,948   
    

 

 

 
  

Industrials — 1.1%

  

  

Aerospace & Defense — 0.1%

  

  43      

Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)

    42   
  70      

BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)

    82   
  100      

Honeywell International, Inc., 5.300%, 03/01/18

    113   
  47      

Lockheed Martin Corp., 2.125%, 09/15/16

    48   
  43      

Precision Castparts Corp., 0.700%, 12/20/15

    43   
  50      

United Technologies Corp., 6.125%, 02/01/19

    59   
    

 

 

 
       387   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         81   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Air Freight & Logistics — 0.2%

  

  541      

Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22

    634   
  115      

United Parcel Service of America, Inc., 8.375%, 04/01/20

    150   
    

 

 

 
       784   
    

 

 

 
  

Airlines — 0.1%

  

  189      

American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23

    204   
  30      

Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20

    34   
  58      

Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19

    62   
    

 

 

 
       300   
    

 

 

 
  

Commercial Services & Supplies — 0.1%

  

  

ADT Corp. (The),

 
  70      

3.500%, 07/15/22

    63   
  24      

4.125%, 06/15/23

    22   
  50      

Pitney Bowes, Inc., 5.600%, 03/15/18

    55   
  60      

Waste Management, Inc., 7.375%, 03/11/19

    73   
    

 

 

 
       213   
    

 

 

 
  

Construction & Engineering — 0.0% (g)

  

  

ABB Finance USA, Inc.,

 
  32      

1.625%, 05/08/17

    32   
  41      

2.875%, 05/08/22

    41   
  70      

Fluor Corp., 3.375%, 09/15/21

    73   
    

 

 

 
       146   
    

 

 

 
  

Electrical Equipment — 0.0% (g)

  

  

Eaton Corp.,

 
  27      

1.500%, 11/02/17

    27   
  50      

5.600%, 05/15/18

    57   
    

 

 

 
       84   
    

 

 

 
  

Industrial Conglomerates — 0.1%

  

  175      

General Electric Co., 3.375%, 03/11/24

    180   
  34      

Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23

    36   
  152      

Koninklijke Philips N.V., (Netherlands), 3.750%, 03/15/22

    161   
    

 

 

 
       377   
    

 

 

 
  

Machinery — 0.1%

  

  

Caterpillar, Inc.,

 
  74      

1.500%, 06/26/17

    75   
  31      

2.600%, 06/26/22

    30   
  89      

Deere & Co., 2.600%, 06/08/22

    88   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Machinery — continued

  

  25      

Parker Hannifin Corp., 5.500%, 05/15/18

    28   
    

 

 

 
       221   
    

 

 

 
  

Road & Rail — 0.4%

  

  

Burlington Northern Santa Fe LLC,

 
  43      

3.050%, 03/15/22

    43   
  32      

3.450%, 09/15/21

    33   
  19      

3.600%, 09/01/20

    20   
  100      

3.750%, 04/01/24

    104   
  100      

5.650%, 05/01/17

    112   
  

CSX Corp.,

 
  100      

3.400%, 08/01/24

    102   
  30      

6.250%, 04/01/15

    31   
  30      

7.375%, 02/01/19

    36   
  50      

7.900%, 05/01/17

    58   
  

ERAC USA Finance LLC,

 
  48      

2.750%, 03/15/17 (e)

    50   
  27      

4.500%, 08/16/21 (e)

    29   
  

Norfolk Southern Corp.,

 
  138      

3.250%, 12/01/21

    143   
  50      

7.700%, 05/15/17

    58   
  53      

Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)

    55   
  

Ryder System, Inc.,

 
  48      

2.500%, 03/01/17

    50   
  55      

3.600%, 03/01/16

    57   
  

Union Pacific Corp.,

 
  21      

2.950%, 01/15/23

    21   
  75      

3.646%, 02/15/24

    78   
  233      

4.163%, 07/15/22

    256   
  100      

4.875%, 01/15/15

    102   
    

 

 

 
       1,438   
    

 

 

 
  

Total Industrials

    3,950   
    

 

 

 
  

Information Technology — 1.0%

 
  

Communications Equipment — 0.0% (g)

 
  55      

Cisco Systems, Inc., 2.900%, 03/04/21

    56   
    

 

 

 
  

Electronic Equipment, Instruments & Components — 0.1%

  

  

Arrow Electronics, Inc.,

 
  32      

3.000%, 03/01/18

    33   
  55      

3.375%, 11/01/15

    56   
  16      

4.500%, 03/01/23

    17   
  100      

6.875%, 06/01/18

    115   
  13      

7.500%, 01/15/27

    16   
    

 

 

 
       237   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
82       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Internet Software & Services — 0.0% (g)

  

  125      

eBay, Inc., 2.875%, 08/01/21

    125   
    

 

 

 
  

IT Services — 0.3%

  

  

International Business Machines Corp.,

 
  126      

1.250%, 02/06/17

    127   
  309      

1.625%, 05/15/20

    298   
  150      

5.700%, 09/14/17

    170   
  200      

7.625%, 10/15/18

    245   
  

Xerox Corp.,

 
  39      

2.950%, 03/15/17

    41   
  50      

5.625%, 12/15/19

    57   
  40      

6.750%, 02/01/17

    45   
    

 

 

 
       983   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 0.0% (g)

  

  30      

National Semiconductor Corp., 6.600%, 06/15/17

    34   
  73      

Texas Instruments, Inc., 1.650%, 08/03/19

    72   
    

 

 

 
       106   
    

 

 

 
  

Software — 0.3%

  

  25      

Intuit, Inc., 5.750%, 03/15/17

    28   
  

Microsoft Corp.,

 
  23      

0.875%, 11/15/17

    23   
  120      

1.625%, 09/25/15

    121   
  34      

2.125%, 11/15/22

    33   
  68      

2.375%, 05/01/23

    66   
  167      

3.625%, 12/15/23

    177   
  

Oracle Corp.,

 
  200      

3.625%, 07/15/23

    209   
  200      

5.250%, 01/15/16

    213   
  100      

5.750%, 04/15/18

    115   
    

 

 

 
       985   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.3%

  

  

Apple, Inc.,

 
  199      

2.400%, 05/03/23

    191   
  201      

2.850%, 05/06/21

    205   
  207      

VAR, 0.489%, 05/03/18

    207   
  

EMC Corp.,

 
  100      

1.875%, 06/01/18

    100   
  100      

3.375%, 06/01/23

    102   
  

Hewlett-Packard Co.,

 
  118      

4.375%, 09/15/21

    128   
  45      

4.650%, 12/09/21

    49   
    

 

 

 
       982   
    

 

 

 
  

Total Information Technology

    3,474   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Materials — 0.6%

  

  

Chemicals — 0.4%

  

  125      

CF Industries, Inc., 7.125%, 05/01/20

    153   
  

Dow Chemical Co. (The),

 
  81      

4.125%, 11/15/21

    87   
  38      

4.250%, 11/15/20

    41   
  20      

8.550%, 05/15/19

    26   
  

E.I. du Pont de Nemours & Co.,

 
  101      

1.950%, 01/15/16

    103   
  100      

6.000%, 07/15/18

    116   
  73      

Monsanto Co., 2.750%, 07/15/21

    73   
  

Mosaic Co. (The),

 
  34      

3.750%, 11/15/21

    36   
  212      

4.250%, 11/15/23

    226   
  25      

Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17

    26   
  230      

Praxair, Inc., 4.625%, 03/30/15

    236   
  150      

Union Carbide Corp., 7.500%, 06/01/25

    194   
    

 

 

 
       1,317   
    

 

 

 
  

Metals & Mining — 0.2%

 
  

BHP Billiton Finance USA Ltd., (Australia),

 
  37      

1.000%, 02/24/15

    37   
  95      

3.850%, 09/30/23

    101   
  100      

5.400%, 03/29/17

    111   
  100      

6.500%, 04/01/19

    120   
  

Freeport-McMoRan, Inc.,

 
  128      

2.150%, 03/01/17

    130   
  107      

3.875%, 03/15/23

    109   
  27      

Nucor Corp., 4.000%, 08/01/23

    28   
  27      

Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20

    28   
  58      

Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17

    59   
  42      

Teck Resources Ltd., (Canada), 4.750%, 01/15/22

    45   
    

 

 

 
       768   
    

 

 

 
  

Total Materials

    2,085   
    

 

 

 
  

Telecommunication Services — 0.6%

  

  

Diversified Telecommunication Services — 0.5%

  

  

AT&T, Inc.,

 
  204      

0.900%, 02/12/16

    205   
  100      

4.450%, 05/15/21

    111   
  180      

5.500%, 02/01/18

    203   
  41      

BellSouth Telecommunications LLC, 6.300%, 12/15/15

    41   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         83   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Diversified Telecommunication Services — continued

  

  100      

British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18

    114   
  27      

Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17

    27   
  61      

Orange S.A., (France), 2.750%, 09/14/16

    63   
  148      

Qwest Corp., 6.750%, 12/01/21

    172   
  

Telefonica Emisiones S.A.U., (Spain),

 
  19      

5.134%, 04/27/20

    21   
  12      

5.877%, 07/15/19

    14   
  

Verizon Communications, Inc.,

 
  115      

2.625%, 02/21/20 (e)

    115   
  72      

3.450%, 03/15/21

    75   
  156      

4.150%, 03/15/24

    165   
  353      

4.500%, 09/15/20

    388   
    

 

 

 
       1,714   
    

 

 

 
  

Wireless Telecommunication Services — 0.1%

  

  40      

Crown Castle Towers LLC, 3.214%, 08/15/15 (e)

    40   
  160      

Rogers Communications, Inc., (Canada), 4.100%, 10/01/23

    168   
  

Vodafone Group plc, (United Kingdom),

 
  100      

1.500%, 02/19/18

    99   
  100      

1.625%, 03/20/17

    101   
    

 

 

 
       408   
    

 

 

 
  

Total Telecommunication Services

    2,122   
    

 

 

 
  

Utilities — 1.1%

 
  

Electric Utilities — 0.8%

 
  27      

American Electric Power Co., Inc., 1.650%, 12/15/17

    27   
  43      

Baltimore Gas & Electric Co., 2.800%, 08/15/22

    43   
  50      

Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17

    59   
  30      

Connecticut Light & Power Co. (The), 5.650%, 05/01/18

    34   
  20      

DTE Electric Co., 2.650%, 06/15/22

    20   
  60      

Duke Energy Indiana, Inc., 3.750%, 07/15/20

    64   
  

Duke Energy Progress, Inc.,

 
  40      

2.800%, 05/15/22

    40   
  150      

5.300%, 01/15/19

    171   
  60      

Electricite de France S.A., (France), 2.150%, 01/22/19 (e)

    60   
  100      

Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)

    111   
  

Indiana Michigan Power Co.,

 
  100      

Series J, 3.200%, 03/15/23

    101   
  135      

7.000%, 03/15/19

    163   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Electric Utilities — continued

  

  25      

Jersey Central Power & Light Co., 7.350%, 02/01/19

    30   
  47      

Kansas City Power & Light Co., 3.150%, 03/15/23

    47   
  60      

Nevada Power Co., 7.125%, 03/15/19

    73   
  

NextEra Energy Capital Holdings, Inc.,

 
  25      

1.200%, 06/01/15

    25   
  27      

2.400%, 09/15/19

    27   
  150      

7.875%, 12/15/15

    164   
  40      

Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)

    45   
  25      

Ohio Power Co., 6.050%, 05/01/18

    29   
  50      

Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18

    59   
  

Pacific Gas & Electric Co.,

 
  68      

2.450%, 08/15/22

    66   
  50      

3.250%, 06/15/23

    50   
  125      

5.625%, 11/30/17

    141   
  

PacifiCorp,

 
  140      

3.600%, 04/01/24

    146   
  100      

3.850%, 06/15/21

    108   
  60      

5.650%, 07/15/18

    69   
  75      

PECO Energy Co., 5.350%, 03/01/18

    84   
  51      

Public Service Co. of Colorado, 3.200%, 11/15/20

    53   
  74      

Public Service Co. of Oklahoma, 4.400%, 02/01/21

    82   
  212      

Southern California Edison Co., Series C, 3.500%, 10/01/23

    222   
  45      

Southern Co. (The), 1.950%, 09/01/16

    46   
  30      

Southwestern Public Service Co., Series G, 8.750%, 12/01/18

    38   
  

Virginia Electric and Power Co.,

 
  21      

3.450%, 02/15/24

    22   
  100      

5.400%, 04/30/18

    113   
  100      

Wisconsin Electric Power Co., 6.250%, 12/01/15

    107   
  27      

Xcel Energy, Inc., 0.750%, 05/09/16

    27   
    

 

 

 
       2,766   
    

 

 

 
  

Gas Utilities — 0.0% (g)

  

  30      

Atmos Energy Corp., 8.500%, 03/15/19

    38   
  50      

CenterPoint Energy Resources Corp., 6.125%, 11/01/17

    57   
    

 

 

 
       95   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
84       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

Corporate Bonds — continued

  

  

Independent Power & Renewable Electricity
Producers — 0.0%
(g)

   

  72      

Exelon Generation Co. LLC, 4.000%, 10/01/20

    76   
  37      

PSEG Power LLC, 4.300%, 11/15/23

    39   
    

 

 

 
       115   
    

 

 

 
  

Multi-Utilities — 0.3%

  

  

AGL Capital Corp.,

 
  94      

3.500%, 09/15/21

    99   
  100      

6.375%, 07/15/16

    109   
  50      

Consumers Energy Co., 5.650%, 04/15/20

    58   
  150      

Dominion Resources, Inc., 8.875%, 01/15/19

    191   
  180      

NiSource Finance Corp., 4.450%, 12/01/21

    195   
  

Sempra Energy,

 
  48      

4.050%, 12/01/23

    51   
  150      

9.800%, 02/15/19

    198   
    

 

 

 
       901   
    

 

 

 
  

Total Utilities

    3,877   
    

 

 

 
  

Total Corporate Bonds
(Cost $61,846)

    65,985   
    

 

 

 

 

Foreign Government Securities — 1.0%

  

  

Israel Government AID Bond, (Israel),

 
  1,557      

Zero Coupon, 08/15/20

    1,361   
  500      

Series 6-Z, Zero Coupon, 02/15/22

    413   
  

Province of Ontario, (Canada),

 
  400      

0.950%, 05/26/15

    402   
  250      

2.700%, 06/16/15

    255   
  300      

2.950%, 02/05/15

    303   
  92      

Republic of Poland, (Poland), 4.000%, 01/22/24

    96   
  200      

Republic of Turkey, (Turkey), 5.750%, 03/22/24

    222   
  

United Mexican States, (Mexico),

 
  244      

3.500%, 01/21/21

    254   
  116      

4.000%, 10/02/23

    123   
    

 

 

 
  

Total Foreign Government Securities
(Cost $3,351)

    3,429   
    

 

 

 

 

Mortgage Pass-Through Securities — 10.3%

  

  

Federal Home Loan Mortgage Corp.,

 
  133      

ARM, 2.040%, 01/01/37

    140   
  242      

ARM, 2.098%, 08/01/36

    257   
  29      

ARM, 2.235%, 01/01/27

    31   
  13      

ARM, 2.250%, 07/01/26

    13   
  193      

ARM, 2.309%, 03/01/37

    206   
  116      

ARM, 2.332%, 09/01/36

    124   
  63      

ARM, 2.378%, 11/01/36

    67   
PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   
  323     

ARM, 2.412%, 12/01/34

    345   
  150     

ARM, 2.429%, 09/01/36

    161   
  280     

ARM, 2.506%, 06/01/36

    301   
  161     

ARM, 2.664%, 04/01/38

    174   
  100     

ARM, 2.826%, 02/01/37

    108   
 

Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,

 
  94     

4.000%, 06/01/19

    99   
  26     

4.500%, 10/01/18

    28   
  186     

5.500%, 06/01/17 - 01/01/24

    205   
  18     

6.000%, 10/01/17 - 04/01/18

    19   
  205     

6.500%, 01/01/17 - 03/01/22

    215   
  (h)   

7.500%, 10/01/14

    (h) 
 

Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,

 
  8     

6.000%, 12/01/22

    9   
  45     

6.500%, 11/01/22 - 08/01/26

    51   
 

Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,

 
  60     

6.000%, 01/01/34

    69   
  71     

7.000%, 04/01/26 - 02/01/37

    81   
  6     

7.500%, 08/01/25

    6   
  7     

8.000%, 07/01/20 - 11/01/24

    7   
  18     

8.500%, 07/01/28

    22   
  308     

Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30

    350   
 

Federal Home Loan Mortgage Corp. Gold Pools, Other,

 
  2,663     

3.500%, 05/01/33 - 05/01/43

    2,749   
  450     

4.000%, 06/01/42

    478   
  165     

6.000%, 02/01/33

    179   
 

Federal Home Loan Mortgage Corp., 30 Year, Single Family,

 
  (h)   

12.000%, 08/01/15 - 07/01/19

    (h) 
 

Federal National Mortgage Association,

 
  54     

ARM, 1.798%, 02/01/37

    57   
  3     

ARM, 1.875%, 03/01/19

    2   
  81     

ARM, 1.885%, 08/01/35

    86   
  183     

ARM, 1.899%, 01/01/35

    193   
  164     

ARM, 1.910%, 09/01/35

    173   
  265     

ARM, 1.916%, 02/01/35

    282   
  213     

ARM, 2.070%, 01/01/35

    222   
  113     

ARM, 2.093%, 09/01/36

    120   
  106     

ARM, 2.127%, 11/01/33

    112   
  169     

ARM, 2.143%, 09/01/35

    181   
  300     

ARM, 2.153%, 09/01/34

    321   
  173     

ARM, 2.199%, 02/01/35

    184   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         85   


Table of Contents

JPMorgan Intermediate Bond Trust

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
    SECURITY DESCRIPTION   VALUE($)  
   

 

Mortgage Pass-Through Securities — continued

  

  71     

ARM, 2.241%, 08/01/36

    77   
  147     

ARM, 2.267%, 08/01/34

    157   
  132     

ARM, 2.354%, 04/01/35

    141   
  (h)   

ARM, 2.375%, 08/01/19

    (h) 
  205     

ARM, 2.405%, 02/01/37

    220   
  126     

ARM, 2.406%, 04/01/33

    135   
  122     

ARM, 2.445%, 07/01/46

    131   
  177     

ARM, 2.475%, 09/01/33

    189   
  147     

ARM, 2.505%, 10/01/34

    158   
  12     

ARM, 2.614%, 09/01/27

    13   
  281     

ARM, 2.836%, 02/01/36

    299   
  9     

ARM, 3.705%, 03/01/29

    10   
 

Federal National Mortgage Association, 15 Year, Single Family,

 
  46     

4.000%, 05/01/19

    49   
  236     

4.500%, 05/01/18 - 05/01/19

    251   
  306     

5.000%, 06/01/18 - 04/01/19

    327   
  193     

5.500%, 01/01/20 - 06/01/20

    205   
  281     

6.000%, 03/01/21 - 01/01/24

    306   
  41     

6.500%, 03/01/17 - 08/01/20

    43   
 

Federal National Mortgage Association, 20 Year, Single Family,

 
  72     

6.000%, 04/01/24

    81   
  95     

6.500%, 05/01/22

    107   
 

Federal National Mortgage Association, 30 Year, FHA/VA,

 
  13     

6.000%, 09/01/33

    14   
  25     

6.500%, 03/01/29

    29   
  6     

8.500%, 02/01/30

    6   
  8     

9.000%, 09/01/19 - 12/01/30

    8   
  5     

9.500%, 12/01/18

    6   
 

Federal National Mortgage Association, 30 Year, Single Family,

 
  71     

4.500%, 08/01/33

    77   
  1,082     

5.000%, 07/01/33 - 08/01/40

    1,204   
  103     

5.500%, 12/01/33

    116   
  523     

6.000%, 12/01/32 - 09/01/37

    595   
  40     

6.500%, 08/01/31

    47   
  6     

7.000%, 09/01/27 - 08/01/32

    7   
  11     

7.500%, 11/01/22 - 10/01/24

    12   
  380     

8.000%, 03/01/21 - 11/01/32

    439   
  7     

8.500%, 07/01/24 - 06/01/25

    8   
  (h)   

9.000%, 04/01/26

    (h) 
  3     

10.000%, 02/01/24

    3   
  (h)   

12.500%, 01/01/16

    (h) 
 

Federal National Mortgage Association, Other,

 
  500     

VAR, 0.625%, 12/01/23

    504   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  1,000      

VAR, 0.635%, 08/01/23

    1,008   
  948      

1.940%, 01/01/17

    954   
  1,000      

2.056%, 01/01/17

    999   
  1,000      

2.294%, 12/01/22

    978   
  500      

2.314%, 12/01/22

    490   
  990      

2.480%, 06/01/19

    1,011   
  1,973      

2.764%, 06/01/23

    1,997   
  2,352      

3.590%, 12/01/20

    2,517   
  1,000      

3.658%, 10/01/20

    1,068   
  1,500      

3.760%, 10/01/23 - 11/01/23

    1,616   
  895      

4.000%, 07/01/42

    951   
  408      

4.271%, 06/01/21

    447   
  1,045      

4.298%, 03/01/21

    1,153   
  1,942      

4.380%, 01/01/21 - 04/01/21

    2,159   
  495      

4.390%, 05/01/21

    551   
  786      

4.443%, 04/01/21

    872   
  917      

4.500%, 03/01/20

    1,013   
  109      

5.500%, 04/01/38

    119   
  125      

6.000%, 03/01/37

    139   
  

Government National Mortgage Association II, 30 Year, Single Family,

 
  320      

6.000%, 03/20/28 - 09/20/38

    360   
  12      

7.500%, 02/20/28 - 09/20/28

    15   
  31      

8.000%, 12/20/25 - 08/20/28

    36   
  20      

8.500%, 03/20/25 - 05/20/25

    22   
  

Government National Mortgage Association, 15 Year, Single Family,

 
  13      

6.000%, 10/15/17

    14   
  3      

8.000%, 01/15/16

    3   
  

Government National Mortgage Association, 30 Year, Single Family,

 
  341      

6.000%, 11/15/28 - 12/15/38

    386   
  294      

6.500%, 01/15/24 - 12/15/35

    340   
  281      

7.000%, 08/15/23 - 06/15/35

    319   
  25      

7.500%, 11/15/22 - 09/15/28

    28   
  6      

8.000%, 07/15/22 - 08/15/28

    6   
  3      

8.500%, 11/15/17

    3   
  7      

9.000%, 08/15/16 - 11/15/24

    8   
  128      

9.500%, 09/15/18 - 12/15/25

    145   
  1      

12.000%, 11/15/19

    1   
    

 

 

 
  

Total Mortgage Pass-Through Securities
(Cost $34,716)

    36,129   
    

 

 

 

 

Supranational — 0.1%

  

  150      

African Development Bank, 8.800%, 09/01/19
(Cost $189)

    191   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
86       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    

 

U.S. Government Agency Securities — 2.5%

  

  

Federal National Mortgage Association,

 
  1,000      

Zero Coupon, 06/01/17

    971   
  800      

5.000%, 05/11/17

    886   
  375      

Federal National Mortgage Association STRIPS, Zero Coupon, 11/15/21

    315   
  

Financing Corp.,

 
  1,440      

Zero Coupon, 05/11/18

    1,360   
  500      

Zero Coupon, 04/05/19

    460   
  584      

Zero Coupon, 09/26/19

    528   
  1,000      

Government Trust Certificate, Zero Coupon, 10/01/15

    988   
  

Residual Funding Corp. STRIPS,

 
  250      

Zero Coupon, 10/15/19

    226   
  1,750      

Zero Coupon, 07/15/20

    1,545   
  1,000      

Tennessee Valley Authority, 5.500%, 07/18/17

    1,126   
  333      

Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19

    303   
    

 

 

 
  

Total U.S. Government Agency Securities
(Cost $8,489)

    8,708   
    

 

 

 

 

U.S. Treasury Obligations — 30.1%

  

  

U.S. Treasury Bonds,

 
  1,225      

7.500%, 11/15/16

    1,408   
  250      

8.750%, 08/15/20

    348   
  1,500      

8.875%, 08/15/17

    1,846   
  835      

11.250%, 02/15/15

    877   
  

U.S. Treasury Coupon STRIPS,

 
  700      

0.925%, 05/15/18 (n)

    666   
  2,200      

1.837%, 02/15/18 (n)

    2,108   
  2,150      

1.967%, 05/15/21 (n)

    1,870   
  3,275      

2.257%, 02/15/21 (n)

    2,873   
  4,446      

2.283%, 08/15/17 (n)

    4,318   
  3,750      

2.410%, 02/15/20 (n)

    3,392   
  2,400      

2.464%, 02/15/22 (n)

    2,035   
  300      

2.484%, 05/15/23 (n)

    244   
  150      

2.487%, 11/15/23 (n)

    120   
  1,495      

2.497%, 05/15/19 (n)

    1,383   
  150      

2.514%, 05/15/22 (n)

    126   
  6,700      

2.557%, 08/15/21 (n)

    5,779   
  3,577      

2.597%, 08/15/16 (n)

    3,538   
  3,720      

2.681%, 02/15/23 (n)

    3,046   
  53      

2.683%, 02/15/28 (n)

    36   
  1,000      

2.686%, 08/15/22 (n)

    834   
  4,350      

2.713%, 08/15/19 (n)

    3,997   
  2,300      

2.852%, 11/15/21 (n)

    1,966   
  1,224      

2.913%, 02/15/17 (n)

    1,200   
  47      

3.041%, 08/15/26 (n)

    34   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  10,348      

3.056%, 05/15/20 (n)

    9,288   
  300      

3.148%, 11/15/26 (n)

    215   
  12,550      

3.292%, 08/15/20 (n)

    11,170   
  100      

3.317%, 08/15/27 (n)

    70   
  150      

3.344%, 11/15/27 (n)

    103   
  700      

3.722%, 11/15/16 (n)

    690   
  2,290      

3.771%, 11/15/17 (n)

    2,208   
  3,325      

5.853%, 02/15/15 (n)

    3,324   
  4,266      

6.310%, 02/15/16 (n)

    4,245   
  

U.S. Treasury Inflation Indexed Notes,

 
  1,700      

0.500%, 04/15/15

    1,878   
  700      

1.125%, 01/15/21

    818   
  

U.S. Treasury Notes,

 
  593      

0.875%, 01/31/18

    587   
  800      

1.000%, 11/30/19

    771   
  1,500      

1.250%, 10/31/18

    1,488   
  5,500      

1.500%, 08/31/18

    5,524   
  350      

2.625%, 08/15/20

    365   
  400      

2.625%, 11/15/20

    417   
  1,500      

2.750%, 11/30/16

    1,571   
  1,000      

3.125%, 04/30/17

    1,061   
  850      

3.125%, 05/15/21

    911   
  7,900      

3.250%, 12/31/16

    8,369   
  1,050      

3.500%, 02/15/18

    1,132   
  1,550      

3.500%, 05/15/20

    1,694   
  450      

3.625%, 02/15/21

    496   
  700      

4.000%, 02/15/15

    713   
  400      

4.250%, 11/15/17

    440   
  200      

4.500%, 02/15/16

    212   
  1,000      

4.750%, 08/15/17

    1,111   
    

 

 

 
  

Total U.S. Treasury Obligations
(Cost $102,027)

    104,915   
    

 

 

 
SHARES               

 

Short-Term Investment — 9.0%

  

  

Investment Company — 9.0%

 
  31,493      

JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m)
(Cost $31,493)

    31,493   
    

 

 

 
  

Total Investments — 99.4%
(Cost $334,502)

    346,753   
  

Other Assets in Excess of
Liabilities — 0.6%

    2,188   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 348,941   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         87   


Table of Contents

JPMorgan Institutional Trust Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2014 (Unaudited)

 

ARM  

—  Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2014.

CDO  

—  Collateralized Debt Obligation

CMBS  

—  Commercial Mortgage Backed Security

CMO  

—  Collateralized Mortgage Obligation

ESOP  

—  Employee Stock Ownership Program

ETF  

—  Exchange Traded Fund

FHA  

—  Federal Housing Administration

FHLMC  

—  Federal Home Loan Mortgage Corp.

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, 2014. 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.

REMIC  

—  Real Estate Mortgage Investment Conduit

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, 2014.

VA  

—  Veterans Administration

VAR  

—  Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2014.

(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.

(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.

(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, 2014.

(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 which is a security in the Fund’s index.

(t)  

—  The date shown represents the earliest of the prerefunded date, next put date or final maturity date.

(†)  

—  Security matures in 2105.

(††)  

—  Security matures in 2110.

(†††)  

—  Security matures in 2111.

(††††)  

—  Security matures in 2114.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
88       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF AUGUST 31, 2014 (Unaudited)

(Amounts in thousands, except per share amounts)

 

       

Core Bond
Trust

       Equity Index
Trust
     Intermediate
Bond Trust
 

ASSETS:

            

Investments in non-affiliates, at value

     $ 3,711,454         $ 368,368       $ 315,260   

Investments in affiliates, at value

       95,077           9,024         31,493   
    

 

 

      

 

 

    

 

 

 

Total investment securities, at value

       3,806,531           377,392         346,753   

Cash

                         41   

Receivables:

            

Investment securities sold

       387                   93   

Fund shares sold

       610                   1,000   

Interest and dividends from non-affiliates

       15,802           789         1,248   

Dividends from affiliates

       2           (a)       1   

Variation margin on futures contracts

                 11           

Prepaid expenses

       41           3         4   
    

 

 

      

 

 

    

 

 

 

Total Assets

       3,823,373           378,195         349,140   
    

 

 

      

 

 

    

 

 

 

LIABILITIES:

            

Payables:

            

Due to custodian

       1,638                     

Distributions

       268                   68   

Fund shares redeemed

       384                     

Unrealized depreciation on unfunded commitments

       31                     

Accrued liabilities:

            

Investment advisory fees

       306           15         13   

Administration fees

       104           6         5   

Custodian and accounting fees

       218           29         75   

Trustees’ and Chief Compliance Officer’s fees

       6           (a)       (a) 

Audit fees

       44           21         36   

Other

       35           1         2   
    

 

 

      

 

 

    

 

 

 

Total Liabilities

       3,034           72         199   
    

 

 

      

 

 

    

 

 

 

Net Assets

     $ 3,820,339         $ 378,123       $ 348,941   
    

 

 

      

 

 

    

 

 

 

NET ASSETS:

            

Paid-in-Capital

     $ 3,633,329         $ 215,227       $ 334,959   

Accumulated undistributed (distributions in excess of) net investment income

       4,364           1,499         287   

Accumulated net realized gains (losses)

       8,749           (31,838      1,444   

Net unrealized appreciation (depreciation)

       173,897           193,235         12,251   
    

 

 

      

 

 

    

 

 

 

Total Net Assets

     $ 3,820,339         $ 378,123       $ 348,941   
    

 

 

      

 

 

    

 

 

 

Outstanding units of beneficial interest (shares)

            

($0.0001 par value; unlimited number of shares authorized):

       358,892           15,591         33,512   

Net asset value, offering and redemption price per share (b)

     $ 10.64         $ 24.25       $ 10.41   
    

 

 

      

 

 

    

 

 

 

Cost of investments in non-affiliates

     $ 3,537,526         $ 177,228       $ 303,009   

Cost of investments in affiliates

       95,077           7,125         31,493   

 

(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.

 

 
AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         89   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED AUGUST 31, 2014 (Unaudited)

(Amounts in thousands)

 

       

Core Bond
Trust

       Equity Index
Trust
       Intermediate
Bond Trust
 

INVESTMENT INCOME:

              

Interest income from non-affiliates

     $ 68,898         $         $ 5,281   

Dividend income from non-affiliates

                 3,673             

Dividend income from affiliates

       9           64           2   
    

 

 

      

 

 

      

 

 

 

Total investment income

       68,907           3,737           5,283   
    

 

 

      

 

 

      

 

 

 

EXPENSES:

              

Investment advisory fees

       5,839           465           508   

Administration fees

       1,946           186           169   

Custodian and accounting fees

       193           19           72   

Professional fees

       62           22           35   

Trustees’ and Chief Compliance Officer’s fees

       22           2           2   

Printing and mailing costs

       14           1           3   

Transfer agent fees

                 2           (a) 

Other

       110           9           8   
    

 

 

      

 

 

      

 

 

 

Total expenses

       8,186           706           797   
    

 

 

      

 

 

      

 

 

 

Less amounts waived

       (5,312        (524        (552

Less expense reimbursements

       (23                    
    

 

 

      

 

 

      

 

 

 

Net expenses

       2,851           182           245   
    

 

 

      

 

 

      

 

 

 

Net investment income (loss)

       66,056           3,555           5,038   
    

 

 

      

 

 

      

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

              

Net realized gain (loss) on transactions from:

              

Investments in non-affiliates

       6,064           8,615           601   

Investment in affiliates

                 50             

Futures

                 429             
    

 

 

      

 

 

      

 

 

 

Net realized gain (loss)

       6,064           9,094           601   
    

 

 

      

 

 

      

 

 

 

Change in net unrealized appreciation/depreciation of:

              

Investments in non-affiliates

       25,002           18,329           (573

Investments in affiliates

                 153             

Futures

                 119             

Unfunded commitments

       (11                    
    

 

 

      

 

 

      

 

 

 

Change in net unrealized appreciation/depreciation

       24,991           18,601           (573
    

 

 

      

 

 

      

 

 

 

Net realized/unrealized gains (losses)

       31,055           27,695           28   
    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

     $ 97,111         $ 31,250         $ 5,066   
    

 

 

      

 

 

      

 

 

 

 

(a) Amount rounds to less than $1,000.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
90       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Core Bond Trust      Equity Index Trust  
        Six Months Ended
August 31, 2014
(Unaudited)
     Year Ended
February 28, 2014
     Six Months Ended
August 31, 2014
(Unaudited)
     Year Ended
February 28, 2014
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

             

Net investment income (loss)

     $ 66,056       $ 137,789       $ 3,555       $ 6,962   

Net realized gain (loss)

       6,064         7,055         9,094         12,219   

Distributions of capital gains received from investment company affiliates

               1                 (a) 

Change in net unrealized appreciation/depreciation

       24,991         (123,685      18,601         58,781   
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

       97,111         21,160         31,250         77,962   
    

 

 

    

 

 

    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

             

From net investment income

       (68,238      (133,909      (3,214      (6,806

From net realized gains

               (2,110                
    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions to shareholders

       (68,238      (136,019      (3,214      (6,806
    

 

 

    

 

 

    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

             

Proceeds from shares issued

       255,966         667,144         8,222         14,789   

Subscriptions in-kind (See Note 7)

       14,902                           

Distributions reinvested

       66,095         131,927         3,214         6,806   

Cost of shares redeemed

       (410,631      (532,846      (28,727      (48,708
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from capital transactions

       (73,668      266,225         (17,291      (27,113
    

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS:

             

Change in net assets

       (44,795      151,366         10,745         44,043   

Beginning of period

       3,865,134         3,713,768         367,378         323,335   
    

 

 

    

 

 

    

 

 

    

 

 

 

End of period

     $ 3,820,339       $ 3,865,134       $ 378,123       $ 367,378   
    

 

 

    

 

 

    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 4,364       $ 6,546       $ 1,499       $ 1,158   
    

 

 

    

 

 

    

 

 

    

 

 

 

SHARE TRANSACTIONS:

             

Issued

       24,160         62,858         362         723   

Subscriptions in-kind (See Note 7)

       1,394                           

Reinvested

       6,240         12,447         137         336   

Redeemed

       (38,734      (50,404      (1,242      (2,373
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Shares

       (6,940      24,901         (743      (1,314
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than $1,000.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
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Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Intermediate Bond Trust  
        Six Months Ended
August 31, 2014
(Unaudited)
       Year Ended
February 28, 2014
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

         

Net investment income (loss)

     $ 5,038         $ 11,308   

Net realized gain (loss)

       601           1,299   

Distributions of capital gains received from investment company affiliates

                 (a) 

Change in net unrealized appreciation/depreciation

       (573        (10,852
    

 

 

      

 

 

 

Change in net assets resulting from operations

       5,066           1,755   
    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

         

From net investment income

       (5,046        (11,070

From net realized gains

                 (219
    

 

 

      

 

 

 

Total distributions to shareholders

       (5,046        (11,289
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

         

Proceeds from shares issued

       34,289           35,383   

Distributions reinvested

       4,600           10,598   

Cost of shares redeemed

       (38,623        (65,743
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       266           (19,762
    

 

 

      

 

 

 

NET ASSETS:

         

Change in net assets

       286           (29,296

Beginning of period

       348,655           377,951   
    

 

 

      

 

 

 

End of period

     $ 348,941         $ 348,655   
    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 287         $ 295   
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

         

Issued

       3,292           3,386   

Reinvested

       442           1,014   

Redeemed

       (3,720        (6,290
    

 

 

      

 

 

 

Change in Shares

       14           (1,890
    

 

 

      

 

 

 

 

(a) Amount rounds to less than $1,000.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
92       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


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AUGUST 31, 2014   JPMORGAN INSTITUTIONAL TRUST FUNDS         93   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
     Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
     Net
investment
income
    Net
realized
gain
    Return
of
capital
    Total
distributions
 

Core Bond Trust

                   

Six Months Ended August 31, 2014 (Unaudited)

   $ 10.57       $ 0.18       $ 0.08      $ 0.26       $ (0.19   $      $      $ (0.19

Year Ended February 28, 2014

     10.89         0.38         (0.32     0.06         (0.37     (0.01            (0.38

Year Ended February 28, 2013

     10.82         0.43         0.08        0.51         (0.43     (0.01            (0.44

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

Equity Index Trust

                   

Six Months Ended August 31, 2014 (Unaudited)

     22.49         0.23         1.74        1.97         (0.21                   (0.21

Year Ended February 28, 2014

     18.32         0.42         4.15        4.57         (0.40                   (0.40

Year Ended February 28, 2013

     16.53         0.38         1.79        2.17         (0.38                   (0.38

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

Intermediate Bond Trust

                   

Six Months Ended August 31, 2014 (Unaudited)

     10.41         0.16                0.16         (0.16                   (0.16

Year Ended February 28, 2014

     10.68         0.32         (0.26     0.06         (0.32     (0.01            (0.33

Year Ended February 28, 2013

     10.63         0.36         0.04        0.40         (0.35                   (0.35

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

 

(a) Annualized for periods less than one year, unless otherwise noted.
(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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
94       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

 

 

    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
earnings credits
    Portfolio
turnover
rate (b)(e)
 
           
$ 10.64        2.46   $ 3,820,339        0.15     3.39     0.42     6
  10.57        0.58        3,865,134        0.14        3.60        0.42        18   
  10.89        4.70        3,713,768        0.15        3.97        0.42        16   
  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   
           
  24.25        8.77        378,123        0.10        1.91        0.38        2   
  22.49        25.21        367,378        0.10        2.01        0.38        5   
  18.32        13.34        323,335        0.10        2.22        0.38        7   
  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   
           
  10.41        1.53        348,941        0.14        2.97        0.47        8   
  10.41        0.53        348,655        0.14        3.07        0.46        17   
  10.68        3.76        377,951        0.14        3.33        0.47        15   
  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   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF AUGUST 31, 2014 (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 Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting 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 pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers 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 pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair 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, various forms of credit enhancements, such as bond insurance, 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. Securities listed on the NASDAQ Stock Market LLC are generally valued at 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 fair value. Investments in open-end investment companies are valued at each underlying investment company’s net asset value per share (“NAV”) as of the report date.

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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.

Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”) and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups 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 for discussing and assessing Fair Values on an ongoing, and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair

 

 
96       JPMORGAN INSTITUTIONAL TRUST FUNDS   AUGUST 31, 2014


Table of Contents

Values is assessed based on results of unchanged price review and consideration of macro or security specific events, back testing, and broker and vendor due diligence.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by Core Bond Trust and Intermediate Bond Trust at August 31, 2014.

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

     $         $ 107,695         $ 117,409         $ 225,104   

Collateralized Mortgage Obligations

                   

Agency CMO

                 614,116           4,829           618,945   

Non-Agency CMO

                 220,132           46,894           267,026   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Collateralized Mortgage Obligations

                 834,248           51,723           885,971   
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Mortgage-Backed Securities

                 122,647           17,627           140,274   

Corporate Bonds

                   

Consumer Discretionary

                 50,598                     50,598   

Consumer Staples

                 36,201                     36,201   

Energy

                 65,108                     65,108   

Financials

                 324,440                     324,440   

Health Care

                 25,996                     25,996   

Industrials

                 42,796           3,491           46,287   

Information Technology

                 43,748                     43,748   

Materials

                 23,637                     23,637   

Telecommunication Services

                 38,472                     38,472   

Utilities

                 62,628                     62,628   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Corporate Bonds

                 713,624           3,491           717,115   
    

 

 

      

 

 

      

 

 

      

 

 

 

Foreign Government Securities

                 49,554                     49,554   

Mortgage Pass-Through Securities

                 566,739                     566,739   

Municipal Bonds

                 10,157                     10,157   

Supranational

                 4,487                     4,487   

U.S. Government Agency Securities

                 92,238                     92,238   

U.S. Treasury Obligations

                 1,006,044                     1,006,044   

Loan Assignments

                   

Financials

                           13,771           13,771   

Short-Term Investment

                   

Investment Company

       95,077                               95,077   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 95,077         $ 3,507,433         $ 204,021         $ 3,806,531   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF AUGUST 31, 2014 (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)

     $ 377,047         $ 345         $         $ 377,392   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Futures Contracts

     $ 196         $         $         $ 196   
    

 

 

      

 

 

      

 

 

      

 

 

 
JPMorgan 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

     $         $ 13,346         $ 6,873         $ 20,219   

Collateralized Mortgage Obligations

                   

Agency CMO

                 55,395           47           55,442   

Non-Agency CMO

                 12,303           960           13,263   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Collateralized Mortgage Obligations

                 67,698           1,007           68,705   
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Mortgage-Backed Securities

                 6,067           912           6,979   

Corporate Bonds

                   

Consumer Discretionary

                 3,402                     3,402   

Consumer Staples

                 2,760                     2,760   

Energy

                 5,603                     5,603   

Financials

                 36,764                     36,764   

Health Care

                 1,948                     1,948   

Industrials

                 3,016           934           3,950   

Information Technology

                 3,474                     3,474   

Materials

                 2,085                     2,085   

Telecommunication Services

                 2,122                     2,122   

Utilities

                 3,877                     3,877   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Corporate Bonds

                 65,051           934           65,985   
    

 

 

      

 

 

      

 

 

      

 

 

 

Foreign Government Securities

                 3,429                     3,429   

Mortgage Pass-Through Securities

                 36,129                     36,129   

Supranational

                 191                     191   

U.S. Government Agency Securities

                 8,708                     8,708   

U.S. Treasury Obligations

                 104,915                     104,915   

Short-Term Investment

                   

Investment Company

       31,493                               31,493   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 31,493         $ 305,534         $ 9,726         $ 346,753   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) Portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOIs. Level 2 consists of U.S. Treasury Bills held as collateral for futures contracts. Please refer to the SOIs for industry specifics of portfolio holdings.

For each of the Funds, there were no transfers among Levels 1 and 2 during the six months ended August 31, 2014.

 

 
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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 02/28/14
    Realized
gain (loss)
    Change in
unrealized
appreciation
(depreciation)
    Net
accretion
(amortization)
    Purchases1     Sales2     Transfers
into Level 3
    Transfers
out
of Level 3
    Balance as
of 08/31/14
 

Investments in Securities

                 

Asset-Backed Securities

  $ 95,936      $ 73      $ 83      $ 26      $ 48,028      $ (25,137   $      $ (1,600   $ 117,409   

Collateralized Mortgage Obligations — Agency CMO

    5,515        (2     84        (839     1,185        (113     2,731        (3,732     4,829   

Collateralized Mortgage Obligations — Non-Agency CMO

    48,682               (1,187     509        5        (2,923     3,741        (1,933     46,894   

Commercial Mortgage-Backed Securities

    18,872               339        (1,122     2,338        (2,800                   17,627   

Corporate Bonds — Industrials

    3,605               (4     (1     35        (144                   3,491   

Loan Assignments — Financials

    13,732               (12            11,237        (11,186                   13,771   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 186,342      $ 71      $ (697   $ (1,427   $ 62,828      $ (42,303   $ 6,472      $ (7,265   $ 204,021   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

JPMorgan Intermediate Bond Trust   Balance as
of 02/28/14
    Realized
gain (loss)
    Change in
unrealized
appreciation
(depreciation)
    Net
accretion
(amortization)
    Purchases1     Sales2     Transfers
into Level 3
    Transfers
out
of Level 3
    Balance as
of 08/31/14
 

Investments in Securities

                 

Asset-Backed Securities

  $ 3,909      $      $ (a)    $ (a)    $ 4,012      $ (1,048   $      $      $ 6,873   

Collateralized Mortgage Obligations — Agency CMO

    251               2        (4     (2     (2     52        (250     47   

Collateralized Mortgage Obligations — Non-Agency CMO

    981               (26     30               (74     49               960   

Commercial Mortgaged Backed — Securities

    1,116               (3     (25            (176                   912   

Common Stocks — Industrials

    945               3        (1            (13                   934   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 7,202      $      $ (24 )   $      $ 4,010      $ (1,313   $ 101      $ (250   $ 9,726   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 corporate actions.
(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),

respectively, 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, 2014, which were valued using significant unobservable inputs (Level 3) were as follows (amounts in thousands):

 

        Value  

Core Bond Trust

     $ (606

Intermediate Bond Trust

       (19

These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.

Core Bond Trust Fund

Quantitative Information about Level 3 Fair Value Measurements #

 

     Fair Value at
August 31, 2014
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 65,362      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 17.15% (0.94%)   
      Constant Default Rate     0.00% - 6.95% (2.61%)   
      Yield (Discount Rate of Cash Flows)     0.00% - 6.95% (2.61%)   
 

 

 

       
Asset-Backed Securities     65,362         

 

 

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

 

     Fair Value at
August 31, 2014
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 40,631      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 35.77% (7.08%)   
      Constant Default Rate     0.00% - 9.16% (2.96%)   
      PSA Prepayment Model     144.00% - 1,085.00% (419.28%)   
      Yield (Discount Rate of Cash Flows)     (150.74%) - 77.63% (4.93%)   
 

 

 

       
Collateralized Mortgage Obligations     40,631         

 

 
    6,587      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 100.00% (56.40%)   
      Yield (Discount Rate of Cash Flows)     (5.15%) - 4.98% (1.88%)   
 

 

 

       
Commercial Mortgage-Backed Securities     6,587         

 

 
Total   $ 112,580         

 

 

 

# The table above does not include certain level 3 securities that are valued by brokers and pricing services that have inputs that are not readily available or cannot be reasonably estimated. These securities’ inputs are generally described in Note 2.A. At August 31, 2014, the value of these securities was approximately $91,441,000. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, unchanged price review, results of broker and vendor due diligence and consideration of macro or security specific events.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

Intermediate Bond Trust Fund

Quantitative Information about Level 3 Fair Value Measurements #

 

     Fair Value at
August 31, 2014
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 3,107      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 5.00% (0.62%)   
      Constant Default Rate     0.00% - 30.00% (15.60%)   
      Yield (Discount Rate of Cash Flows)     0.00% - 6.95% (2.54%)   
 

 

 

       
Asset-Backed Securities     3,107         

 

 
    1,007      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 35.77% (5.40%)   
      Constant Default Rate     0.00% - 5.10% (0.94%)   
      PSA Prepayment Model     284.00% - 1,085.00% (543.38%)   
      Yield (Discount Rate of Cash Flows)     (8.70%) - 23.82% (4.01%)   
 

 

 

       
Collateralized Mortgage Obligations     1,007         

 

 
    110      Discounted Cash Flow   Constant Prepayment Rate     100.00% (N/A)   
      Yield (Discount Rate of Cash Flows)     1.26% (N/A)   
 

 

 

       
Commercial Mortgage-Backed Securities     110         

 

 
Total   $ 4,224         

 

 

 

# The table above does not include certain level 3 securities that are valued by brokers and pricing services that have inputs that are not readily available or cannot be reasonably estimated. These securities’ inputs are generally described in Note 2.A. At August 31, 2014, the value of these securities was approximately $5,502,000. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, unchanged price review, results of broker and vendor due diligence and consideration of macro or security specific events.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”).

 

 
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Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are 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, 2014, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A under the Securities Act.

The following are the value and percentage of net assets of illiquid securities as of August 31, 2014 (amounts in thousands):

 

        Value        Percentage  

Core Bond Trust

     $ 42,260           1.11

Intermediate Bond Trust

       578           0.17   

C. Loan Assignments — Core Bond Trust invests in loan assignments of all or a portion of the loans. When the Fund purchases a loan assignment the Fund has direct rights against the borrower on a loan provided, however, the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. As a result, the Fund assumes the credit risk of the Borrower (“Intermediate Participants”) and any other persons interpositioned between the Fund and the Borrower. Although certain loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower. In addition, loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid.

D. Unfunded Commitments — Core Bond Trust may enter into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of its normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Fund to provide cash to the borrower on demand. Commitments are generally traded and priced as part of a related loan assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. The Fund segregates security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The Fund may receive an ongoing commitment fee based on the undrawn portion of the underlying loan facility, which is recorded as a component of interest income on the Statements of Operations.

At August 31, 2014, Core Bond Trust had the following loan commitments in which all or a portion of the commitment was unfunded which could be extended at the option of the borrower (amounts in thousands):

 

   

Term

  Maturity
Date
    Commitment
Fee Rate
    Rate if
Funded
    Unfunded
Commitment
    Funded
Commitment
    Total
Commitment
 
Security Description           Par
Amount
    Value     Par
Amount
    Value     Par
Amount
    Value  

FiveTen Group Holding, Ltd. (i)

  Revolving Loan     04/10/15        0.500     4.500   $ 843      $ 839      $ 1,657      $ 1,648      $ 2,500      $ 2,487   

Invitation Homes (i)

  Revolving Loan     03/15/15        0.500        3.750        176        175        2,017        2,007        2,193        2,182   

Progress Residential LP (i)

  Revolving Loan     09/04/15        0.500        3.734        3,026        3,011        5,974        5,944        9,000        8,955   

Tricon Capital Group, Inc. (i)

  Revolving Loan     06/13/15        0.500        4.100        2,307        2,296        4,193        4,172        6,500        6,468   
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ 6,352      $ 6,321      $ 13,841      $ 13,771      $ 20,193      $ 20,092   
         

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(i) Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.

E. 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 are settled 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 change in net unrealized appreciation/depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

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

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

 

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 timely liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the six months ended August 31, 2014 (amounts in thousands):

 

      Equity
Index
Trust
 

Futures Contracts:

        

Average Notional Balance Long

   $ 3,388   

Ending Notional Balance Long

     4,703   

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

F. 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 28,
2014
     Purchase
Cost
     Sales
Proceeds
     Realized
Gain/Loss
     Dividend/
Interest
Income
     Shares at
August 31,
2014
     Value at
August 31,
2014
 

Core Bond Trust

                    

JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares

   $ 44,100       $ 423,964       $ 372,987       $       $ 9         95,077       $ 95,077   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Equity Index Trust

                    

JPMorgan Chase & Co. (common stock)*

   $ 4,667       $ 69       $ 228       $ 50       $ 63         79       $ 4,712   

JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares

     2,082         23,650         21,420                 1         4,312         4,312   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 6,749       $ 23,719       $ 21,648       $ 50       $ 64         4,391       $ 9,024   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Intermediate Bond Trust

                    

JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares

   $ 6,291       $ 61,939       $ 36,737       $         $ 2         31,493       $ 31,493   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

* Investment in affiliate which is a security in the Fund’s index.

G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains 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.

H. 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.

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s 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 remains subject to examination by the Internal Revenue Service.

J. 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 GAAP. 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.

 

 
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Table of Contents

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each 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 Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at a 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. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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, if any, are presented separately in the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, 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 Adviser, 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 Adviser 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, 2014. The contractual expense limitation percentages in the table above are in place until at least June 30, 2015.

For the six months ended August 31, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

       Contractual Waivers           
       

Investment

Advisory

       Administration        Total       

Contractual

Reimbursement

 

Core Bond Trust

     $ 4,156         $ 1,088         $ 5,244         $ 36   

Equity Index Trust

       388           133           521             

Intermediate Bond Trust

       427           116           543             

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser 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, 2014 were as follows (amounts in thousands):

 

Core Bond Trust

     $ 68   

Equity Index Trust

       3   

Intermediate Bond Trust

       9   

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF AUGUST 31, 2014 (Unaudited) (continued)

 

F. Other — Certain officers of the Trust are affiliated with the Adviser 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, 2014, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the six months ended August 31, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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, 2014, 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

     $ 139,575         $ 264,603         $ 80,402         $ 111,580   

Equity Index Trust

       5,495           24,197                       

Intermediate Bond Trust

       16,787           28,215           7,578           22,983   

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, 2014 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Core Bond Trust

     $ 3,632,603         $ 189,571         $ 15,643         $ 173,928   

Equity Index Trust

       184,353           194,352           1,313           193,039   

Intermediate Bond Trust

       334,502           13,039           788           12,251   

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011 are 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.

As of August 31, 2014, the Funds did not have any post-enactment net capital loss carryforwards.

As of February 28, 2014, 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

     $ 2,174         $ 14,260         $ 7,018         $ 23,452   

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. The amount of exposure would depend on 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 adviser or its affiliates who maintain one or more separately managed private accounts. One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for each of the Core Bond Trust, Equity Index Trust and Intermediate Bond Trust.

Exchange Traded Funds may use derivative instruments in connection with their individual investment strategies including futures contracts, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in securities.

 

 
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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 Funds invest in floating rate loans and other floating rate debt securities. Although these securities are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate securities may decline if their rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. 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.

7. Transfers-In-Kind

During the six months ended August 31, 2014, certain shareholders of Core Bond Trust purchased shares and Core Bond Trust received portfolio securities primarily by means of a subscription in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of the close of business on the dates and at the market values listed below (amounts in thousands):

 

Date      Market Value        Type  

May 28, 2014

     $ 14,902           Subscriptions-in-kind   

 

 
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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, 2014, and continued to hold your shares at the end of the reporting period, August 31, 2014.

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, 2014
       Ending
Account Value
August 31, 2014
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Core Bond Trust

                   

Actual

     $ 1,000.00         $ 1,024.60         $ 0.77           0.15

Hypothetical

       1,000.00           1,024.45           0.77           0.15   

Equity Index Trust

                   

Actual

       1,000.00           1,087.70           0.53           0.10   

Hypothetical

       1,000.00           1,024.70           0.51           0.10   

Intermediate Bond Trust

                   

Actual

       1,000.00           1,015.30           0.71           0.14   

Hypothetical

       1,000.00           1,024.50           0.71           0.14   

 

* Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

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 committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreements for each of 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 committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’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 20, 2014.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed agreements. The Trustees also discussed the proposed agreements in executive sessions with

independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. 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 Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement 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 Adviser

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 Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. 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 Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser.

The Trustees also considered its knowledge of the nature and quality of the services provided by the Adviser to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser 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 Adviser’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 Adviser. 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 Adviser 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 Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMFM, an affiliate of the Adviser, earns 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, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds benefit from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Funds does not contain breakpoints but that the Adviser has implemented fee waivers and expense limitations. 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 and Administrator have in place that serve to limit the overall net expense ratio for each Fund at competitive levels, and that shareholders of the Funds effectively participated in the economies of scale through the fee waivers and expense limitations.

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 Adviser’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 Adviser 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 Adviser’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 Adviser’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. 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 Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance is summarized below:

The Trustees noted that Core Bond Trust’s performance was in the first quintile for each of the one-, three-, and five-year periods ended December 31, 2013. The Trustees also noted that the independent consultant indicated that the Fund’s overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Adviser 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, 2013, and that the independent consultant indicated that Fund’s overall performance was

 

 

 
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satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Adviser 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, 2013, and that the independent consultant indicated that the Fund’s overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Adviser 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 Adviser 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 the 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 the 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 the 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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SPECIAL SHAREHOLDER MEETING RESULTS

(Unaudited)

 

The Trust held a meeting of shareholders on July 23, 2014, for the purpose of considering and voting upon the election of Trustees.

Trustees were elected by the shareholders of all of the series of the Trust, including each of the Funds. The results of the voting were as follows:

 

      Votes Received
(Amounts in
thousands)
 
John F. Finn   

In Favor

     4,607,844   

Withheld

     0   
Dr. Matthew Goldstein   

In Favor

     4,607,844   

Withheld

     0   
Robert J. Higgins   

In Favor

     4,607,844   

Withheld

     0   
Frankie D. Hughes   

In Favor

     4,607,844   

Withheld

     0   
Peter C. Marshall   

In Favor

     4,607,844   

Withheld

     0   
Mary E. Martinez   

In Favor

     4,607,844   

Withheld

     0   
Marilyn McCoy   

In Favor

     4,607,844   

Withheld

     0   
      Votes Received
(Amounts in
thousands)
 
Mitchell M. Merin   

In Favor

     4,607,844   

Withheld

     0   
William G. Morton, Jr.   

In Favor

     4,607,844   

Withheld

     0   
Robert A. Oden, Jr.   

In Favor

     4,607,844   

Withheld

     0   
Marian U. Pardo   

In Favor

     4,607,844   

Withheld

     0   
Frederick W. Ruebeck   

In Favor

     4,607,844   

Withheld

     0   
James J. Schonbachler   

In Favor

     4,607,844   

Withheld

     0   
 

 

 
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


Table of Contents

 

 

 

LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2014.  All rights reserved. August 2014.   SAN-INSTT-814

 


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ITEM 2. CODE OF ETHICS.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

Not applicable to a semi-annual report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

Not applicable to a semi-annual report.


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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Not applicable to a semi-annual report.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

Not applicable.


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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


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periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

 

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Not applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Not applicable.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

JPMorgan Institutional Trust

 

By:  

/s/ Robert L. Young

  Robert L. Young
  President and Principal Executive Officer
  November 7, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Robert L. Young

  Robert L. Young
  President and Principal Executive Officer
  November 7, 2014
By:  

/s/ Laura M. Del Prato

  Laura M. Del Prato
  Treasurer and Principal Financial Officer
  November 7, 2014