UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-21638
JPMorgan Institutional Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, New York 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, New York 10017
(Name and Address of Agent for Service)
Registrants telephone number, including area code: (800) 343-1113
Date of fiscal year end: Last day of February
Date of reporting period: November 30, 2014
ITEM 1. SCHEDULE OF INVESTMENTS.
JPMorgan Institutional Trust
Schedule of Portfolio Investments as of November 30, 2014
(Unaudited)
THE UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS LIST (the List) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the funds fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.
J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
JPMorgan Distribution Services, Inc.
© JPMorgan Chase & Co., 2014.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities 6.3% |
|||||||
Academic Loan Funding Trust, | ||||||||
1,930 | Series 2012-1A, Class A1, VAR, 0.955%, 12/27/22 (e) | 1,942 | ||||||
2,158 | Series 2013-1A, Class A, VAR, 0.955%, 12/26/44 (e) | 2,150 | ||||||
Ally Auto Receivables Trust, | ||||||||
81 | Series 2012-1, Class A3, 0.930%, 02/16/16 | 81 | ||||||
151 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 151 | ||||||
383 | Series 2012-3, Class A3, 0.850%, 08/15/16 | 383 | ||||||
1,722 | Series 2013-2, Class A3, 0.790%, 01/15/18 | 1,724 | ||||||
300 | Series 2013-2, Class A4, 1.240%, 11/15/18 | 301 | ||||||
1,981 | Series 2014-SN2, Class A3, 1.030%, 09/20/17 | 1,982 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
154 | Series 2012-3, Class A, 1.640%, 11/15/16 (e) | 154 | ||||||
572 | Series 2013-1, Class A, 1.450%, 04/16/18 (e) | 573 | ||||||
300 | Series 2013-2, Class A, 1.320%, 02/15/17 (e) | 300 | ||||||
1,867 | Series 2014-2, Class A, 0.990%, 10/10/17 (e) | 1,866 | ||||||
1,182 | Series 2014-2, Class B, 2.260%, 03/10/20 (e) | 1,183 | ||||||
1,009 | Series 2014-4, Class A, 1.330%, 07/10/18 (e) | 1,008 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
10 | Series 2012-2, Class A3, 1.050%, 10/11/16 | 10 | ||||||
114 | Series 2012-3, Class A3, 0.960%, 01/09/17 | 114 | ||||||
180 | Series 2012-5, Class A3, 0.620%, 06/08/17 | 180 | ||||||
499 | Series 2013-4, Class A2, 0.740%, 11/08/16 | 499 | ||||||
590 | Series 2013-5, Class A3, 0.900%, 09/10/18 | 590 | ||||||
93 | Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 09/15/19 (e) | 93 | ||||||
1,740 | Axis Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e) | 1,740 | ||||||
90 | Bank of America Auto Trust, Series 2012- 1, Class A3, 0.780%, 06/15/16 | 90 | ||||||
429 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36 | 410 | ||||||
678 | BMW Vehicle Owner Trust, Series 2013- A, Class A3, 0.670%, 11/27/17 | 678 | ||||||
899 | BXG Receivables Note Trust, Series 2012- A, Class A, 2.660%, 12/02/27 (e) | 897 | ||||||
700 | Cabelas Credit Card Master Note Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) | 708 | ||||||
546 | California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e) | 548 | ||||||
671 | Capital Auto Receivables Asset Trust, Series 2013-3, Class A1B, VAR, 0.585%, 11/20/15 | 671 | ||||||
CarFinance Capital Auto Trust, | ||||||||
493 | Series 2013-1A, Class A, 1.650%, 07/17/17 (e) | 494 | ||||||
251 | Series 2013-2A, Class A, 1.750%, 11/15/17 (e) | 251 | ||||||
778 | Series 2014-1A, Class A, 1.460%, 12/17/18 (e) | 780 | ||||||
375 | Series 2014-1A, Class B, 2.720%, 04/15/20 (e) | 380 | ||||||
3,207 | Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.131%, 10/15/21 (e) (i) | 3,207 | ||||||
CarMax Auto Owner Trust, | ||||||||
373 | Series 2011-1, Class A4, 2.160%, 09/15/16 | 374 | ||||||
128 | Series 2011-3, Class A3, 1.070%, 06/15/16 | 129 | ||||||
676 | Series 2013-4, Class A3, 0.800%, 07/16/18 | 676 | ||||||
440 | Series 2013-4, Class A4, 1.280%, 05/15/19 | 439 | ||||||
Carnow Auto Receivables Trust, | ||||||||
171 | Series 2013-1A, Class A, 1.160%, 10/16/17 (e) | 171 | ||||||
750 | Series 2014-1A, Class B, 1.890%, 11/15/18 (e) | 752 | ||||||
336 | Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 345 | ||||||
1,266 | Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,282 | ||||||
800 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,048 | ||||||
296 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.535%, 12/25/33 | 284 | ||||||
CNH Equipment Trust, | ||||||||
465 | Series 2011-A, Class A4, 2.040%, 10/17/16 | 466 | ||||||
209 | Series 2012-A, Class A3, 0.940%, 05/15/17 | 209 | ||||||
Concord Funding Co. LLC, | ||||||||
2,800 | Series 2012-2, Class A, 3.145%, 01/15/17 (e) | 2,800 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities continued |
| ||||||
1,650 | Series 2013-1, Class A, 2.420%, 02/15/15 (e) | 1,661 | ||||||
1,079 | Conix Mortgage Asset Trust, Series 2013- 1, Class A, VAR, 4.704%, 12/25/47 (e) (i) | 572 | ||||||
CPS Auto Receivables Trust, | ||||||||
473 | Series 2011-C, Class A, 4.210%, 03/15/19 (e) | 484 | ||||||
251 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 255 | ||||||
1,506 | Series 2012-B, Class A, 2.520%, 09/16/19 (e) | 1,526 | ||||||
2,120 | Series 2013-C, Class A, 1.640%, 04/16/18 (e) | 2,128 | ||||||
2,898 | Series 2013-D, Class A, 1.540%, 07/16/18 (e) | 2,910 | ||||||
390 | Series 2014-A, Class A, 1.210%, 08/15/18 (e) | 391 | ||||||
CPS Auto Trust, | ||||||||
893 | Series 2012-C, Class A, 1.820%, 12/16/19 (e) | 902 | ||||||
143 | Series 2012-D, Class A, 1.480%, 03/16/20 (e) | 144 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
62 | Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 62 | ||||||
1,177 | Series 2012-2A, Class A, 1.520%, 03/16/20 (e) | 1,180 | ||||||
832 | CWABS, Inc. Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 1.055%, 10/25/34 | 806 | ||||||
813 | Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17 | 814 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
183 | Series 2012-2A, Class A, 1.300%, 06/15/17 (e) | 184 | ||||||
423 | Series 2013-1A, Class A, 1.290%, 10/16/17 (e) | 424 | ||||||
1,084 | Series 2013-2A, Class A, 1.490%, 11/15/17 (e) | 1,085 | ||||||
845 | Series 2014-1A, Class A, 1.290%, 05/15/18 (e) | 846 | ||||||
4,386 | Series 2014-3A, Class A, 1.320%, 01/15/19 (e) | 4,389 | ||||||
556 | Series 2014-3A, Class B, 2.770%, 11/15/19 (e) | 557 | ||||||
Fifth Third Auto Trust, | ||||||||
349 | Series 2013-1, Class A3, 0.880%, 10/16/17 | 350 | ||||||
1,280 | Series 2014-3, Class A2A, 0.570%, 05/15/17 | 1,280 | ||||||
413 | Series 2014-3, Class A3, 0.960%, 03/15/19 | 413 | ||||||
First Investors Auto Owner Trust, | ||||||||
236 | Series 2012-2A, Class A2, 1.470%, 05/15/18 (e) | 236 | ||||||
2,031 | Series 2014-3A, Class A2, 1.060%, 11/15/18 (e) | 2,029 | ||||||
884 | Series 2014-3A, Class A3, 1.670%, 11/16/20 (e) | 883 | ||||||
Flagship Credit Auto Trust, | ||||||||
722 | Series 2013-1, Class A, 1.320%, 04/16/18 (e) | 723 | ||||||
1,166 | Series 2013-2, Class A, 1.940%, 01/15/19 (e) | 1,170 | ||||||
1,178 | Series 2014-1, Class A, 1.210%, 04/15/19 (e) | 1,176 | ||||||
245 | Series 2014-1, Class B, 2.550%, 02/18/20 (e) | 246 | ||||||
2,430 | Series 2014-2, Class A, 1.430%, 12/16/19 (e) | 2,430 | ||||||
892 | Series 2014-2, Class B, 2.840%, 11/16/20 (e) | 895 | ||||||
440 | Series 2014-2, Class C, 3.950%, 12/15/20 (e) | 442 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
503 | Series 2013-B, Class A3, 0.760%, 09/15/16 | 503 | ||||||
247 | Series 2014-A, Class A2A, 0.500%, 10/15/16 | 247 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
219 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 219 | ||||||
167 | Series 2012-B, Class A3, 0.720%, 12/15/16 | 167 | ||||||
408 | Series 2012-D, Class A3, 0.510%, 04/15/17 | 408 | ||||||
1,500 | Series 2014-C, Class A2, 0.610%, 08/15/17 | 1,500 | ||||||
1,223 | Series 2014-C, Class A3, 1.060%, 05/15/19 | 1,224 | ||||||
669 | Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.535%, 01/15/18 | 670 | ||||||
445 | Freedom Trust, Series 2011-2, Class A11, VAR, 5.000%, 08/01/46 (e) | 454 | ||||||
FRT Trust, | ||||||||
174 | Series 2013-1A, Class A1N, SUB, 3.960%, 10/25/33 (e) (i) | 174 | ||||||
65 | Series 2013-1A, Class AR, SUB, 4.210%, 10/25/18 (e) (i) | 65 | ||||||
1,880 | GCAT, Series 2014-1, Class A1, VAR, 3.228%, 07/25/19 (e) | 1,884 | ||||||
261 | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 258 | ||||||
GE Equipment Midticket LLC, | ||||||||
373 | Series 2012-1, Class A3, 0.600%, 05/23/16 | 373 | ||||||
360 | Series 2012-1, Class A4, 0.780%, 09/22/20 | 361 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities continued |
| ||||||
3,433 | GLC Trust, Series 2014-A, Class A, 3.000%, 07/15/21 (e) | 3,412 | ||||||
GMAT Trust, | ||||||||
1,549 | Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e) | 1,558 | ||||||
673 | Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e) | 674 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
7,662 | Series 2013-T2, Class A2, 1.147%, 05/16/44 (e) | 7,637 | ||||||
2,140 | Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e) | 2,119 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
1,560 | Series 2012-T2, Class A2, 1.990%, 10/15/45 (e) | 1,559 | ||||||
1,197 | Series 2013-T1, Class A2, 1.495%, 01/16/46 (e) | 1,189 | ||||||
497 | Series 2013-T1, Class B2, 1.744%, 01/16/46 (e) | 498 | ||||||
4,568 | Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e) | 4,564 | ||||||
997 | Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e) | 989 | ||||||
172 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.355%, 03/25/36 | 142 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
388 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 389 | ||||||
112 | Series 2012-2, Class A3, 0.700%, 02/16/16 | 112 | ||||||
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, | ||||||||
624 | Series 2006-1, Class A1, VAR, 0.315%, 01/20/36 | 621 | ||||||
1,220 | Series 2007-3, Class APT, VAR, 1.355%, 11/20/36 | 1,219 | ||||||
Huntington Auto Trust, | ||||||||
866 | Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 869 | ||||||
162 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 162 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
250 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 252 | ||||||
175 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 175 | ||||||
581 | John Deere Owner Trust, Series 2012-B, Class A4, 0.690%, 01/15/19 | 581 | ||||||
KGS-Alpha Capital Markets LP, | ||||||||
18,563 | IO, VAR, 11.244%, 08/25/38 | 711 | ||||||
11,688 | Series 2013-2, IO, VAR, 18.053%, 03/25/39 | 672 | ||||||
15 | Kondaur Mortgage Asset Trust LLC, Series 2013-1, Class A, VAR, 4.458%, 08/25/52 (e) | 15 | ||||||
181 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.505%, 07/25/34 (e) | 180 | ||||||
404 | Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, VAR, 0.355%, 01/25/36 | 386 | ||||||
LV Tower 52 Issuer LLC, | ||||||||
2,584 | Series 2013-1, Class A, 5.500%, 06/15/18 (e) (i) | 2,590 | ||||||
1,205 | Series 2013-1, Class M, 7.500%, 06/15/18 (e) (i) | 1,205 | ||||||
494 | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class M2, VAR, 2.405%, 03/25/32 | 494 | ||||||
1,053 | Mid-State Capital Corp. Trust, Series 2006- 1, Class M1, 6.083%, 10/15/40 (e) | 1,085 | ||||||
2,029 | MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) | 2,041 | ||||||
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) | 431 | ||||||
216 | Series 2013-T2A, Class BT2, 2.487%, 02/18/48 (e) | 215 | ||||||
767 | Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e) | 767 | ||||||
663 | NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.506%, 12/07/20 | 664 | ||||||
932 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 958 | ||||||
611 | Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16 | 611 | ||||||
333 | Nissan Auto Receivables Owner Trust, Series 2012-A, Class A4, 1.000%, 07/16/18 | 334 | ||||||
5,497 | Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e) | 5,489 | ||||||
NYMT Residential LLC, | ||||||||
1,500 | Series 2012-RP1A, Class NOTE, VAR, 4.250%, 12/25/17 (e) (i) | 1,500 | ||||||
2,239 | Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i) | 2,239 | ||||||
Oak Hill Advisors Residential Loan Trust, | ||||||||
5,424 | Series 2014-NPL2, Class A1, SUB, 3.352%, 04/25/54 (e) | 5,424 | ||||||
1,371 | Series 2014-NPL2, Class A2, SUB, 4.000%, 04/25/54 (e) | 1,327 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities continued |
| ||||||
2,952 | OnDeck Asset Securitization Trust LLC, Series 2014-1A, Class A, 3.150%, 05/17/18 (e) | 2,968 | ||||||
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 | ||||||
851 | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004- MCW1, Class M1, VAR, 1.093%, 10/25/34 | 847 | ||||||
589 | PFS Tax Lien Trust, Series 2014-1, Class NOTE, 1.440%, 05/15/29 (e) | 591 | ||||||
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) | 2,354 | ||||||
1,980 | RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.455%, 03/25/36 | 1,929 | ||||||
2,507 | RBSHD Trust, Series 2013-1A, Class A, SUB, 4.685%, 10/25/47 (e) (i) | 2,515 | ||||||
295 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 154 | ||||||
389 | Saxon Asset Securities Trust, Series 2003- 1, Class AF6, SUB, 4.795%, 06/25/33 | 393 | ||||||
297 | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.497%, 01/25/36 | 229 | ||||||
605 | Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e) | 600 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
69 | Series 2013-1A, Class A, 1.140%, 07/16/18 (e) | 69 | ||||||
779 | Series 2014-1A, Class A, 1.030%, 09/17/18 (e) | 779 | ||||||
SpringCastle America Funding LLC, | ||||||||
9,450 | Series 2014-AA, Class A, 2.700%, 05/25/23 (e) | 9,459 | ||||||
1,500 | Series 2014-AA, Class B, 4.610%, 10/25/27 (e) | 1,506 | ||||||
Springleaf Funding Trust, | ||||||||
9,200 | Series 2013-AA, Class A, 2.580%, 09/15/21 (e) | 9,261 | ||||||
3,000 | Series 2013-BA, Class A, 3.920%, 01/16/23 (e) | 3,036 | ||||||
2,000 | Series 2013-BA, Class B, 4.820%, 01/16/23 (e) | 2,030 | ||||||
6,533 | Series 2014-AA, Class A, 2.410%, 12/15/22 (e) | 6,542 | ||||||
525 | Series 2014-AA, Class B, 3.450%, 12/15/22 (e) | 527 | ||||||
Stanwich Mortgage Loan Co. LLC, | ||||||||
297 | Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e) | 297 | ||||||
1,472 | Series 2013-NPL2, Class A, 3.228%, 04/16/59 (e) | 1,452 | ||||||
1,167 | Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e) | 1,166 | ||||||
177 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002- 23XS, Class A7, SUB, 6.580%, 11/25/32 | 184 | ||||||
5,000 | Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, SUB, 3.721%, 11/16/44 (e) | 5,000 | ||||||
Trafigura Securitisation Finance plc, (Ireland), | ||||||||
3,844 | Series 2012-1A, Class A, VAR, 2.555%, 10/15/15 (e) | 3,869 | ||||||
4,251 | Series 2014-1A, Class A, VAR, 1.105%, 10/15/21 (e) | 4,251 | ||||||
Truman Capital Mortgage Loan Trust, | ||||||||
2,504 | Series 2014-NPL1, Class A1, SUB, 3.228%, 07/25/53 (e) | 2,500 | ||||||
2,143 | Series 2014-NPL2, Class A1, SUB, 3.125%, 06/25/54 (e) | 2,141 | ||||||
1,003 | Series 2014-NPL2, Class A2, SUB, 4.000%, 06/25/54 (e) | 982 | ||||||
2,026 | Series 2014-NPL3, Class A1, SUB, 3.125%, 04/25/53 (e) | 2,024 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
6,461 | Series 2014-NPL7, Class A1, SUB, 3.125%, 08/27/57 (e) | 6,453 | ||||||
2,336 | Series 2014-NPL8, Class A1, SUB, 3.375%, 10/25/54 (e) | 2,336 | ||||||
Vericrest Opportunity Loan Transferee LLC, | ||||||||
1,999 | Series 2013-NPL7, Class A1, SUB, 3.625%, 11/25/53 (e) | 2,001 | ||||||
2,091 | Series 2014-NPL1, Class A1, SUB, 3.625%, 10/27/53 (e) | 2,094 | ||||||
2,119 | Series 2014-NPL2, Class A1, SUB, 3.625%, 11/25/53 (e) | 2,129 | ||||||
3,456 | Series 2014-NPL3, Class A1, SUB, 3.250%, 11/25/53 (e) | 3,461 | ||||||
3,568 | Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e) | 3,547 | ||||||
568 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 569 | ||||||
1,309 | VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e) | 1,310 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities continued |
| ||||||
865 | VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e) | 864 | ||||||
3,158 | VOLT XVI LLC, Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e) | 3,153 | ||||||
VOLT XX LLC, | ||||||||
2,278 | Series 2013-NPL6, Class A1, SUB, 3.625%, 03/25/54 (e) | 2,286 | ||||||
1,299 | Series 2013-NPL6, Class A2, SUB, 5.250%, 03/25/54 (e) | 1,303 | ||||||
797 | VOLT XXIII LLC, Series 2014-NPL2, Class A2, SUB, 4.750%, 11/25/53 (e) | 798 | ||||||
VOLT XXVI LLC, | ||||||||
2,508 | Series 2014-NPL6, Class A1, SUB, 3.125%, 09/25/43 (e) | 2,505 | ||||||
938 | Series 2014-NPL6, Class A2, SUB, 4.250%, 09/25/43 (e) | 919 | ||||||
Westgate Resorts LLC, | ||||||||
437 | Series 2012-1, Class A, 4.500%, 09/20/25 (e) | 438 | ||||||
793 | Series 2012-2A, Class A, 3.000%, 01/20/25 (e) | 799 | ||||||
441 | Series 2012-3A, Class A, 2.500%, 03/20/25 (e) | 443 | ||||||
972 | Series 2013-1A, Class A, 2.250%, 08/20/25 (e) | 975 | ||||||
World Omni Auto Receivables Trust, | ||||||||
1,164 | Series 2013-B, Class A3, 0.830%, 08/15/18 | 1,165 | ||||||
413 | Series 2013-B, Class A4, 1.320%, 01/15/20 | 414 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $256,851) |
257,744 | |||||||
|
|
|||||||
|
Collateralized Mortgage Obligations 21.0% |
| ||||||
Agency CMO 14.8% | ||||||||
612 | Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15 | 632 | ||||||
189 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23 | 210 | ||||||
Federal Home Loan Mortgage Corp. REMIC, | ||||||||
7 | Series 11, Class D, 9.500%, 07/15/19 | 7 | ||||||
8 | Series 22, Class C, 9.500%, 04/15/20 | 8 | ||||||
13 | Series 23, Class F, 9.600%, 04/15/20 | 14 | ||||||
| (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, 1,857.676%, 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 | 5 | ||||||
1 | Series 1079, Class S, HB, IF, 33.474%, 05/15/21 | 2 | ||||||
4 | Series 1084, Class F, VAR, 1.105%, 05/15/21 | 4 | ||||||
3 | Series 1084, Class S, HB, IF, 44.529%, 05/15/21 | 5 | ||||||
10 | Series 1116, Class I, 5.500%, 08/15/21 | 11 | ||||||
12 | Series 1144, Class KB, 8.500%, 09/15/21 | 14 | ||||||
| (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | | (h) | ||||
| (h) | Series 1196, Class B, HB, IF, 1,180.814%, 01/15/22 | 5 | |||||
9 | Series 1250, Class J, 7.000%, 05/15/22 | 10 | ||||||
16 | Series 1343, Class LA, 8.000%, 08/15/22 | 19 | ||||||
21 | Series 1343, Class LB, 7.500%, 08/15/22 | 24 | ||||||
36 | Series 1370, Class JA, VAR, 1.305%, 09/15/22 | 37 | ||||||
36 | Series 1455, Class WB, IF, 4.598%, 12/15/22 | 38 | ||||||
168 | Series 1466, Class PZ, 7.500%, 02/15/23 | 189 | ||||||
3 | Series 1470, Class F, VAR, 1.663%, 02/15/23 | 3 | ||||||
190 | Series 1498, Class I, VAR, 1.305%, 04/15/23 | 195 | ||||||
279 | Series 1502, Class PX, 7.000%, 04/15/23 | 309 | ||||||
32 | Series 1505, Class Q, 7.000%, 05/15/23 | 36 | ||||||
76 | Series 1518, Class G, IF, 8.880%, 05/15/23 | 89 | ||||||
25 | Series 1541, Class M, HB, IF, 24.869%, 07/15/23 | 39 | ||||||
67 | Series 1541, Class O, VAR, 1.620%, 07/15/23 | 68 | ||||||
7 | Series 1570, Class F, VAR, 2.163%, 08/15/23 | 8 | ||||||
261 | Series 1573, Class PZ, 7.000%, 09/15/23 | 293 | ||||||
156 | Series 1591, Class PV, 6.250%, 10/15/23 | 170 | ||||||
27 | Series 1602, Class SA, HB, IF, 22.247%, 10/15/23 | 47 | ||||||
655 | Series 1608, Class L, 6.500%, 09/15/23 | 717 | ||||||
25 | Series 1609, Class LG, IF, 16.998%, 11/15/23 | 26 | ||||||
440 | Series 1638, Class H, 6.500%, 12/15/23 | 487 | ||||||
313 | Series 1642, Class PJ, 6.000%, 11/15/23 | 348 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
14 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 19 | ||||||
15 | Series 1686, Class SH, IF, 18.889%, 02/15/24 | 22 | ||||||
105 | Series 1695, Class EB, 7.000%, 03/15/24 | 119 | ||||||
21 | Series 1699, Class FC, VAR, 0.755%, 03/15/24 | 22 | ||||||
116 | Series 1700, Class GA, PO, 02/15/24 | 113 | ||||||
296 | Series 1706, Class K, 7.000%, 03/15/24 | 336 | ||||||
10 | Series 1709, Class FA, VAR, 1.400%, 03/15/24 | 10 | ||||||
34 | Series 1745, Class D, 7.500%, 08/15/24 | 40 | ||||||
640 | Series 1760, Class ZD, VAR, 1.750%, 02/15/24 | 657 | ||||||
237 | Series 1798, Class F, 5.000%, 05/15/23 | 258 | ||||||
4 | Series 1807, Class G, 9.000%, 10/15/20 | 4 | ||||||
62 | Series 1829, Class ZB, 6.500%, 03/15/26 | 68 | ||||||
64 | Series 1863, Class Z, 6.500%, 07/15/26 | 70 | ||||||
39 | Series 1865, Class D, PO, 02/15/24 | 34 | ||||||
49 | Series 1890, Class H, 7.500%, 09/15/26 | 57 | ||||||
140 | Series 1899, Class ZE, 8.000%, 09/15/26 | 163 | ||||||
8 | Series 1935, Class FL, VAR, 0.855%, 02/15/27 | 8 | ||||||
106 | Series 1963, Class Z, 7.500%, 01/15/27 | 123 | ||||||
15 | Series 1970, Class PG, 7.250%, 07/15/27 | 17 | ||||||
199 | Series 1981, Class Z, 6.000%, 05/15/27 | 222 | ||||||
74 | Series 1987, Class PE, 7.500%, 09/15/27 | 82 | ||||||
174 | Series 2019, Class Z, 6.500%, 12/15/27 | 196 | ||||||
50 | Series 2033, Class SN, HB, IF, 28.453%, 03/15/24 | 20 | ||||||
142 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 26 | ||||||
297 | Series 2040, Class PE, 7.500%, 03/15/28 | 341 | ||||||
44 | Series 2043, Class CJ, 6.500%, 04/15/28 | 50 | ||||||
217 | Series 2054, Class PV, 7.500%, 05/15/28 | 250 | ||||||
407 | Series 2075, Class PH, 6.500%, 08/15/28 | 457 | ||||||
457 | Series 2075, Class PM, 6.250%, 08/15/28 | 516 | ||||||
118 | Series 2086, Class GB, 6.000%, 09/15/28 | 132 | ||||||
191 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 34 | ||||||
558 | Series 2095, Class PE, 6.000%, 11/15/28 | 617 | ||||||
173 | Series 2125, Class JZ, 6.000%, 02/15/29 | 192 | ||||||
40 | Series 2132, Class SB, HB, IF, 29.871%, 03/15/29 | 72 | ||||||
22 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 2 | ||||||
234 | Series 2136, Class PG, 6.000%, 03/15/29 | 261 | ||||||
70 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 12 | ||||||
62 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 11 | ||||||
648 | Series 2169, Class TB, 7.000%, 06/15/29 | 745 | ||||||
331 | Series 2172, Class QC, 7.000%, 07/15/29 | 374 | ||||||
315 | Series 2176, Class OJ, 7.000%, 08/15/29 | 364 | ||||||
172 | Series 2201, Class C, 8.000%, 11/15/29 | 200 | ||||||
162 | Series 2209, Class TC, 8.000%, 01/15/30 | 195 | ||||||
275 | Series 2210, Class Z, 8.000%, 01/15/30 | 319 | ||||||
56 | Series 2224, Class CB, 8.000%, 03/15/30 | 68 | ||||||
151 | Series 2230, Class Z, 8.000%, 04/15/30 | 177 | ||||||
120 | Series 2234, Class PZ, 7.500%, 05/15/30 | 138 | ||||||
103 | Series 2247, Class Z, 7.500%, 08/15/30 | 119 | ||||||
150 | Series 2256, Class MC, 7.250%, 09/15/30 | 173 | ||||||
281 | Series 2259, Class ZM, 7.000%, 10/15/30 | 324 | ||||||
9 | Series 2261, Class ZY, 7.500%, 10/15/30 | 10 | ||||||
35 | Series 2262, Class Z, 7.500%, 10/15/30 | 41 | ||||||
335 | Series 2271, Class PC, 7.250%, 12/15/30 | 385 | ||||||
379 | Series 2283, Class K, 6.500%, 12/15/23 | 423 | ||||||
148 | Series 2296, Class PD, 7.000%, 03/15/31 | 171 | ||||||
46 | Series 2306, Class K, PO, 05/15/24 | 44 | ||||||
109 | Series 2306, Class SE, IF, IO, 8.350%, 05/15/24 | 20 | ||||||
204 | Series 2313, Class LA, 6.500%, 05/15/31 | 230 | ||||||
265 | Series 2325, Class PM, 7.000%, 06/15/31 | 284 | ||||||
179 | Series 2344, Class QG, 6.000%, 08/15/16 | 184 | ||||||
1,520 | Series 2344, Class ZD, 6.500%, 08/15/31 | 1,745 | ||||||
124 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 141 | ||||||
119 | Series 2345, Class NE, 6.500%, 08/15/31 | 134 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
|||||||
Agency CMO continued | ||||||||
70 | Series 2345, Class PQ, 6.500%, 08/15/16 | 72 | ||||||
135 | Series 2351, Class PZ, 6.500%, 08/15/31 | 153 | ||||||
1,203 | Series 2353, Class AZ, 6.000%, 09/15/31 | 1,321 | ||||||
76 | Series 2353, Class TD, 6.000%, 09/15/16 | 79 | ||||||
58 | Series 2355, Class BP, 6.000%, 09/15/16 | 59 | ||||||
38 | Series 2359, Class PM, 6.000%, 09/15/16 | 40 | ||||||
507 | Series 2359, Class ZB, 8.500%, 06/15/31 | 608 | ||||||
109 | Series 2360, Class PG, 6.000%, 09/15/16 | 113 | ||||||
23 | Series 2363, Class PF, 6.000%, 09/15/16 | 24 | ||||||
49 | Series 2366, Class MD, 6.000%, 10/15/16 | 50 | ||||||
246 | Series 2367, Class ME, 6.500%, 10/15/31 | 271 | ||||||
155 | Series 2391, Class QR, 5.500%, 12/15/16 | 160 | ||||||
75 | Series 2394, Class MC, 6.000%, 12/15/16 | 77 | ||||||
532 | Series 2396, Class FM, VAR, 0.605%, 12/15/31 | 538 | ||||||
279 | Series 2399, Class OH, 6.500%, 01/15/32 | 317 | ||||||
468 | Series 2399, Class TH, 6.500%, 01/15/32 | 529 | ||||||
453 | Series 2410, Class NG, 6.500%, 02/15/32 | 518 | ||||||
176 | Series 2410, Class OE, 6.375%, 02/15/32 | 189 | ||||||
311 | Series 2410, Class QS, IF, 19.098%, 02/15/32 | 462 | ||||||
170 | Series 2410, Class QX, IF, IO, 8.495%, 02/15/32 | 46 | ||||||
349 | Series 2412, Class SP, IF, 15.791%, 02/15/32 | 466 | ||||||
513 | Series 2420, Class XK, 6.500%, 02/15/32 | 583 | ||||||
424 | Series 2423, Class MC, 7.000%, 03/15/32 | 489 | ||||||
381 | Series 2423, Class MT, 7.000%, 03/15/32 | 440 | ||||||
86 | Series 2425, Class OB, 6.000%, 03/15/17 | 89 | ||||||
829 | Series 2430, Class WF, 6.500%, 03/15/32 | 936 | ||||||
445 | Series 2434, Class TC, 7.000%, 04/15/32 | 500 | ||||||
565 | Series 2435, Class CJ, 6.500%, 04/15/32 | 617 | ||||||
377 | Series 2436, Class MC, 7.000%, 04/15/32 | 426 | ||||||
297 | Series 2444, Class ES, IF, IO, 7.795%, 03/15/32 | 81 | ||||||
205 | Series 2450, Class GZ, 7.000%, 05/15/32 | 235 | ||||||
238 | Series 2450, Class SW, IF, IO, 7.845%, 03/15/32 | 53 | ||||||
1,176 | Series 2455, Class GK, 6.500%, 05/15/32 | 1,326 | ||||||
36 | Series 2458, Class QE, 5.500%, 06/15/17 | 37 | ||||||
347 | Series 2462, Class JG, 6.500%, 06/15/32 | 392 | ||||||
785 | Series 2464, Class SI, IF, IO, 7.845%, 02/15/32 | 202 | ||||||
787 | Series 2466, Class PH, 6.500%, 06/15/32 | 855 | ||||||
353 | Series 2474, Class NR, 6.500%, 07/15/32 | 399 | ||||||
469 | Series 2484, Class LZ, 6.500%, 07/15/32 | 531 | ||||||
634 | Series 2500, Class MC, 6.000%, 09/15/32 | 719 | ||||||
33 | Series 2503, Class BH, 5.500%, 09/15/17 | 35 | ||||||
165 | Series 2508, Class AQ, 5.500%, 10/15/17 | 174 | ||||||
461 | Series 2512, Class PG, 5.500%, 10/15/22 | 506 | ||||||
258 | Series 2535, Class BK, 5.500%, 12/15/22 | 283 | ||||||
314 | Series 2537, Class TE, 5.500%, 12/15/17 | 331 | ||||||
861 | Series 2543, Class YX, 6.000%, 12/15/32 | 976 | ||||||
765 | Series 2544, Class HC, 6.000%, 12/15/32 | 850 | ||||||
980 | Series 2552, Class ME, 6.000%, 01/15/33 | 1,089 | ||||||
947 | Series 2567, Class QD, 6.000%, 02/15/33 | 1,046 | ||||||
625 | Series 2568, Class KG, 5.500%, 02/15/23 | 689 | ||||||
106 | Series 2571, Class SK, HB, IF, 33.833%, 09/15/23 | 187 | ||||||
2,312 | Series 2575, Class ME, 6.000%, 02/15/33 | 2,567 | ||||||
285 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 48 | ||||||
709 | Series 2587, Class WX, 5.000%, 03/15/18 | 745 | ||||||
640 | Series 2596, Class QG, 6.000%, 03/15/33 | 706 | ||||||
236 | Series 2611, Class UH, 4.500%, 05/15/18 | 247 | ||||||
424 | Series 2617, Class GR, 4.500%, 05/15/18 | 443 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
|||||||
Agency CMO continued | ||||||||
342 | Series 2626, Class NS, IF, IO, 6.395%, 06/15/23 | 26 | ||||||
493 | Series 2631, Class LC, 4.500%, 06/15/18 | 515 | ||||||
236 | Series 2636, Class Z, 4.500%, 06/15/18 | 247 | ||||||
310 | Series 2637, Class SA, IF, IO, 5.945%, 06/15/18 | 23 | ||||||
24 | Series 2638, Class DS, IF, 8.445%, 07/15/23 | 27 | ||||||
228 | Series 2650, Class PO, PO, 12/15/32 | 226 | ||||||
962 | Series 2650, Class SO, PO, 12/15/32 | 945 | ||||||
364 | Series 2651, Class VZ, 4.500%, 07/15/18 | 381 | ||||||
175 | Series 2672, Class ME, 5.000%, 11/15/22 | 176 | ||||||
1,613 | Series 2675, Class CK, 4.000%, 09/15/18 | 1,685 | ||||||
2,393 | Series 2684, Class PO, PO, 01/15/33 | 2,381 | ||||||
162 | Series 2691, Class ME, 4.500%, 04/15/32 | 163 | ||||||
120 | Series 2692, Class SC, IF, 12.977%, 07/15/33 | 142 | ||||||
491 | Series 2695, Class DG, 4.000%, 10/15/18 | 514 | ||||||
23 | Series 2696, Class CO, PO, 10/15/18 | 23 | ||||||
1,468 | Series 2710, Class HB, 5.500%, 11/15/23 | 1,611 | ||||||
181 | Series 2715, Class OG, 5.000%, 01/15/23 | 182 | ||||||
932 | Series 2716, Class UN, 4.500%, 12/15/23 | 1,003 | ||||||
454 | Series 2720, Class PC, 5.000%, 12/15/23 | 495 | ||||||
380 | Series 2744, Class PE, 5.500%, 02/15/34 | 406 | ||||||
684 | Series 2744, Class TU, 5.500%, 05/15/32 | 712 | ||||||
22 | Series 2764, Class TE, 5.000%, 10/15/32 | 22 | ||||||
126 | Series 2777, Class OM, PO, 12/15/32 | 126 | ||||||
29 | Series 2780, Class JG, 4.500%, 04/15/19 | 29 | ||||||
900 | Series 2783, Class AT, 4.000%, 04/15/19 | 940 | ||||||
2,225 | Series 2809, Class UC, 4.000%, 06/15/19 | 2,322 | ||||||
54 | Series 2827, Class XO, PO, 01/15/23 | 54 | ||||||
70 | Series 2835, Class QO, PO, 12/15/32 | 65 | ||||||
110 | Series 2840, Class JO, PO, 06/15/23 | 108 | ||||||
272 | Series 2922, Class JN, 4.500%, 02/15/20 | 282 | ||||||
615 | Series 2934, Class EC, PO, 02/15/20 | 606 | ||||||
512 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 45 | ||||||
473 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 41 | ||||||
391 | Series 2958, Class QD, 4.500%, 04/15/20 | 410 | ||||||
1,019 | Series 2962, Class BE, 4.500%, 04/15/20 | 1,081 | ||||||
2,053 | Series 2965, Class GD, 4.500%, 04/15/20 | 2,166 | ||||||
52 | Series 2989, Class PO, PO, 06/15/23 | 52 | ||||||
4,084 | Series 2990, Class UZ, 5.750%, 06/15/35 | 4,361 | ||||||
1,483 | Series 3004, Class EK, 5.500%, 07/15/35 | 1,529 | ||||||
8 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | | (h) | |||||
71 | Series 3014, Class OD, PO, 08/15/35 | 65 | ||||||
944 | Series 3047, Class OD, 5.500%, 10/15/35 | 1,080 | ||||||
480 | Series 3049, Class XF, VAR, 0.505%, 05/15/33 | 483 | ||||||
3,095 | Series 3064, Class MC, 5.500%, 11/15/35 | 3,577 | ||||||
35 | Series 3068, Class AO, PO, 01/15/35 | 35 | ||||||
349 | Series 3068, Class QB, 4.500%, 06/15/20 | 362 | ||||||
2,141 | Series 3074, Class BH, 5.000%, 11/15/35 | 2,335 | ||||||
497 | Series 3085, Class WF, VAR, 0.955%, 08/15/35 | 506 | ||||||
861 | Series 3102, Class FB, VAR, 0.455%, 01/15/36 | 865 | ||||||
207 | Series 3102, Class HS, HB, IF, 23.999%, 01/15/36 | 297 | ||||||
922 | Series 3117, Class EO, PO, 02/15/36 | 852 | ||||||
532 | Series 3117, Class OK, PO, 02/15/36 | 490 | ||||||
18 | Series 3122, Class ZB, 6.000%, 03/15/36 | 25 | ||||||
1,960 | Series 3131, Class BK, 5.500%, 03/15/26 | 2,169 | ||||||
169 | Series 3134, Class PO, PO, 03/15/36 | 160 | ||||||
794 | Series 3138, Class PO, PO, 04/15/36 | 721 | ||||||
31 | Series 3149, Class SO, PO, 05/15/36 | 28 | ||||||
692 | Series 3151, Class UC, 5.500%, 08/15/35 | 740 | ||||||
633 | Series 3152, Class MO, PO, 03/15/36 | 596 | ||||||
172 | Series 3171, Class MO, PO, 06/15/36 | 162 | ||||||
620 | Series 3179, Class OA, PO, 07/15/36 | 580 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
|||||||
Agency CMO continued | ||||||||
181 | Series 3194, Class SA, IF, IO, 6.945%, 07/15/36 | 40 | ||||||
615 | Series 3211, Class SO, PO, 09/15/36 | 563 | ||||||
302 | Series 3218, Class AO, PO, 09/15/36 | 287 | ||||||
633 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 121 | ||||||
1,500 | Series 3229, Class HE, 5.000%, 10/15/26 | 1,653 | ||||||
574 | Series 3232, Class ST, IF, IO, 6.545%, 10/15/36 | 88 | ||||||
266 | Series 3233, Class OP, PO, 05/15/36 | 247 | ||||||
7 | Series 3242, Class NE, 5.750%, 02/15/34 | 7 | ||||||
420 | Series 3256, Class PO, PO, 12/15/36 | 395 | ||||||
828 | Series 3260, Class CS, IF, IO, 5.985%, 01/15/37 | 109 | ||||||
433 | Series 3261, Class OA, PO, 01/15/37 | 408 | ||||||
239 | Series 3274, Class JO, PO, 02/15/37 | 224 | ||||||
195 | Series 3275, Class FL, VAR, 0.595%, 02/15/37 | 196 | ||||||
925 | Series 3290, Class SB, IF, IO, 6.295%, 03/15/37 | 126 | ||||||
1,823 | Series 3315, Class HZ, 6.000%, 05/15/37 | 2,025 | ||||||
79 | Series 3318, Class AO, PO, 05/15/37 | 68 | ||||||
142 | Series 3326, Class JO, PO, 06/15/37 | 130 | ||||||
494 | Series 3331, Class PO, PO, 06/15/37 | 455 | ||||||
524 | Series 3385, Class SN, IF, IO, 5.845%, 11/15/37 | 74 | ||||||
695 | Series 3387, Class SA, IF, IO, 6.265%, 11/15/37 | 93 | ||||||
1,092 | Series 3404, Class SC, IF, IO, 5.845%, 01/15/38 | 142 | ||||||
4,870 | Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38 | 56 | ||||||
668 | Series 3424, Class PI, IF, IO, 6.645%, 04/15/38 | 97 | ||||||
1,321 | Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38 | 173 | ||||||
883 | Series 3505, Class SA, IF, IO, 5.845%, 01/15/39 | 121 | ||||||
1,006 | Series 3511, Class SA, IF, IO, 5.845%, 02/15/39 | 159 | ||||||
373 | Series 3549, Class FA, VAR, 1.355%, 07/15/39 | 381 | ||||||
392 | Series 3607, Class BO, PO, 04/15/36 | 365 | ||||||
1,029 | Series 3607, Class OP, PO, 07/15/37 | 945 | ||||||
598 | Series 3607, Class PO, PO, 05/15/37 | 536 | ||||||
179 | Series 3611, Class PO, PO, 07/15/34 | 168 | ||||||
487 | Series 3621, Class BO, PO, 01/15/40 | 451 | ||||||
558 | Series 3720, Class A, 4.500%, 09/15/25 | 604 | ||||||
1,727 | Series 3739, Class LI, IO, 4.000%, 03/15/34 | 96 | ||||||
4,424 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 385 | ||||||
1,000 | Series 3747, Class PY, 4.000%, 10/15/40 | 1,059 | ||||||
2,286 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 240 | ||||||
2,163 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 169 | ||||||
9,334 | Series 3774, Class EW, 3.500%, 12/15/25 | 9,802 | ||||||
5,000 | Series 3793, Class AB, 3.500%, 01/15/26 | 5,218 | ||||||
136 | Series 3798, Class BF, VAR, 0.455%, 06/15/24 | 136 | ||||||
791 | Series 3804, Class FN, VAR, 0.605%, 03/15/39 | 795 | ||||||
3,435 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 3,876 | ||||||
714 | Series 3852, Class QN, IF, 5.500%, 05/15/41 | 736 | ||||||
1,998 | Series 3852, Class TP, IF, 5.500%, 05/15/41 | 2,075 | ||||||
2,626 | Series 3920, Class LP, 5.000%, 01/15/34 | 2,879 | ||||||
1,387 | Series 3925, Class FL, VAR, 0.605%, 01/15/41 | 1,401 | ||||||
1,160 | Series 3957, Class B, 4.000%, 11/15/41 | 1,224 | ||||||
1,429 | Series 3966, Class NA, 4.000%, 12/15/41 | 1,518 | ||||||
952 | Series 3997, Class PF, VAR, 0.605%, 11/15/39 | 956 | ||||||
3,246 | Series 4048, Class FJ, VAR, 0.557%, 07/15/37 | 3,233 | ||||||
2,000 | Series 4217, Class KY, 3.000%, 06/15/43 | 1,897 | ||||||
7,608 | Series 4219, Class JA, 3.500%, 08/15/39 | 7,962 | ||||||
2,501 | Series 4240, Class B, 3.000%, 08/15/33 | 2,465 | ||||||
3,684 | Series 4251, Class KW, 2.500%, 04/15/28 | 3,509 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
2 | Series 134, Class B, IO, 9.000%, 04/01/22 | | (h) | |||||
1,283 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 187 | ||||||
1,831 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 268 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
|||||||
Agency CMO continued | ||||||||
339 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 23 | ||||||
765 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 54 | ||||||
8,335 | Series 262, Class 35, 3.500%, 07/15/42 | 8,564 | ||||||
2,330 | Series 264, Class F1, VAR, 0.705%, 07/15/42 | 2,360 | ||||||
2,162 | Series 267, Class F5, VAR, 0.655%, 08/15/42 | 2,186 | ||||||
2,649 | Series 281, Class F1, VAR, 0.655%, 10/15/42 | 2,652 | ||||||
9,021 | Series 299, Class 300, 3.000%, 01/15/43 | 9,101 | ||||||
2,415 | Series 310, Class PO, PO, 09/15/43 | 1,900 | ||||||
4,880 | Series 323, Class 300, 3.000%, 01/15/44 | 4,938 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
507 | Series T-41, Class 3A, VAR, 6.616%, 07/25/32 | 583 | ||||||
305 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 367 | ||||||
1,798 | Series T-54, Class 2A, 6.500%, 02/25/43 | 2,147 | ||||||
543 | Series T-54, Class 3A, 7.000%, 02/25/43 | 664 | ||||||
217 | Series T-58, Class APO, PO, 09/25/43 | 185 | ||||||
474 | Series T-59, Class 1AP, PO, 10/25/43 | 391 | ||||||
1,891 | Series T-76, Class 2A, VAR, 1.299%, 10/25/37 | 1,808 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
3,300 | Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 | 3,650 | ||||||
1,416 | Series 2011-M2, Class A2, 3.645%, 04/25/21 | 1,516 | ||||||
8,500 | Series 2011-M2, Class A3, 3.764%, 04/25/21 | 9,213 | ||||||
442 | Series 2012-M11, Class FA, VAR, 0.676%, 08/25/19 | 443 | ||||||
4,100 | Series 2012-M9, Class A2, 2.482%, 04/25/22 | 4,103 | ||||||
4,200 | Series 2013-M13, Class A2, VAR, 2.624%, 04/25/23 | 4,184 | ||||||
1,878 | Series 2013-M7, Class A2, 2.280%, 12/27/22 | 1,836 | ||||||
8,000 | Series 2013-M9, Class A2, VAR, 2.389%, 01/25/23 | 7,874 | ||||||
7,700 | Series 2014-M12, Class ASV2, VAR, 2.614%, 10/25/21 | 7,822 | ||||||
3,818 | Series 2014-M13, Class A2, 3.021%, 08/25/24 | 3,895 | ||||||
2,664 | Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23 | 2,837 | ||||||
2,500 | Series 2014-M3, Class A2, VAR, 3.501%, 01/25/24 | 2,656 | ||||||
4,545 | Series 2014-M5, Class ASQ2, 2.034%, 03/25/19 | 4,609 | ||||||
1,029 | Series 2014-M5, Class FA, VAR, 0.520%, 01/25/17 | 1,029 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
884 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 1,017 | ||||||
678 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 779 | ||||||
Federal National Mortgage Association REMIC, | ||||||||
4 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 4 | ||||||
9 | Series 1989-70, Class G, 8.000%, 10/25/19 | 10 | ||||||
4 | Series 1989-78, Class H, 9.400%, 11/25/19 | 4 | ||||||
8 | Series 1989-83, Class H, 8.500%, 11/25/19 | 9 | ||||||
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 | ||||||
2 | Series 1990-63, Class H, 9.500%, 06/25/20 | 2 | ||||||
2 | Series 1990-93, Class G, 5.500%, 08/25/20 | 2 | ||||||
| (h) | Series 1990-94, Class H, HB, 505.000%, 08/25/20 | | (h) | ||||
| (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 1 | |||||
14 | Series 1990-102, Class J, 6.500%, 08/25/20 | 15 | ||||||
16 | Series 1990-120, Class H, 9.000%, 10/25/20 | 18 | ||||||
2 | Series 1990-134, Class SC, HB, IF, 21.367%, 11/25/20 | 3 | ||||||
| (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 1 | |||||
| (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | | (h) | ||||
6 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 7 | ||||||
1 | Series 1992-101, Class J, 7.500%, 06/25/22 | 1 | ||||||
37 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 40 | ||||||
31 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 34 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
|||||||
Agency CMO continued | ||||||||
85 | Series 1992-163, Class M, 7.750%, 09/25/22 | 96 | ||||||
141 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 161 | ||||||
56 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 63 | ||||||
84 | Series 1993-25, Class J, 7.500%, 03/25/23 | 94 | ||||||
22 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 29 | ||||||
33 | Series 1993-62, Class SA, IF, 18.986%, 04/25/23 | 48 | ||||||
17 | Series 1993-165, Class SD, IF, 13.450%, 09/25/23 | 22 | ||||||
36 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 42 | ||||||
25 | Series 1993-179, Class SB, HB, IF, 26.849%, 10/25/23 | 41 | ||||||
17 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 20 | ||||||
35 | Series 1993-199, Class FA, VAR, 0.705%, 10/25/23 | 35 | ||||||
47 | Series 1993-205, Class H, PO, 09/25/23 | 45 | ||||||
75 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 85 | ||||||
25 | Series 1993-230, Class FA, VAR, 0.755%, 12/25/23 | 25 | ||||||
66 | Series 1993-247, Class FE, VAR, 1.155%, 12/25/23 | 67 | ||||||
30 | Series 1993-247, Class SU, IF, 12.287%, 12/25/23 | 40 | ||||||
29 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 30 | ||||||
268 | Series 1994-37, Class L, 6.500%, 03/25/24 | 301 | ||||||
1,327 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 1,457 | ||||||
61 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 70 | ||||||
269 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 307 | ||||||
286 | Series 1996-14, Class SE, IF, IO, 8.500%, 08/25/23 | 68 | ||||||
6 | Series 1996-27, Class FC, VAR, 0.655%, 03/25/17 | 6 | ||||||
24 | Series 1996-59, Class J, 6.500%, 08/25/22 | 26 | ||||||
276 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 12 | ||||||
18 | Series 1997-27, Class J, 7.500%, 04/18/27 | 20 | ||||||
44 | Series 1997-29, Class J, 7.500%, 04/20/27 | 52 | ||||||
296 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 347 | ||||||
25 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 27 | ||||||
505 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 568 | ||||||
86 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 15 | ||||||
11 | Series 1998-4, Class C, PO, 04/25/23 | 10 | ||||||
155 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 173 | ||||||
95 | Series 1998-43, Class SA, IF, IO, 17.843%, 04/25/23 | 32 | ||||||
191 | Series 1998-66, Class SB, IF, IO, 7.995%, 12/25/28 | 40 | ||||||
92 | Series 1999-17, Class C, 6.350%, 04/25/29 | 103 | ||||||
387 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 421 | ||||||
98 | Series 1999-38, Class SK, IF, IO, 7.895%, 08/25/23 | 11 | ||||||
47 | Series 1999-52, Class NS, HB, IF, 22.945%, 10/25/23 | 72 | ||||||
134 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 153 | ||||||
412 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 474 | ||||||
254 | Series 2000-20, Class SA, IF, IO, 8.945%, 07/25/30 | 75 | ||||||
32 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 7 | ||||||
137 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 150 | ||||||
88 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 101 | ||||||
| (h) | Series 2001-7, Class PR, 6.000%, 03/25/16 | | (h) | ||||
263 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 301 | ||||||
297 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 53 | ||||||
262 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 301 | ||||||
614 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 706 | ||||||
94 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 107 | ||||||
107 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 123 | ||||||
985 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 1,088 | ||||||
77 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 85 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
82 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 93 | ||||||
50 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 51 | ||||||
917 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 1,041 | ||||||
47 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 49 | ||||||
96 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 99 | ||||||
37 | Series 2001-72, Class SX, IF, 17.104%, 12/25/31 | 47 | ||||||
168 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 174 | ||||||
80 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 89 | ||||||
107 | Series 2002-1, Class SA, HB, IF, 24.683%, 02/25/32 | 180 | ||||||
66 | Series 2002-1, Class UD, HB, IF, 23.957%, 12/25/23 | 100 | ||||||
146 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 152 | ||||||
313 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 323 | ||||||
73 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 75 | ||||||
196 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 202 | ||||||
81 | Series 2002-10, Class SB, IF, 18.827%, 03/25/17 | 93 | ||||||
1,000 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 58 | ||||||
15 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 18 | ||||||
72 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 74 | ||||||
29 | Series 2002-21, Class LO, PO, 04/25/32 | 26 | ||||||
282 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 319 | ||||||
205 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 214 | ||||||
76 | Series 2002-25, Class SG, IF, 18.947%, 05/25/17 | 90 | ||||||
725 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 817 | ||||||
170 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 190 | ||||||
149 | Series 2002-42, Class C, 6.000%, 07/25/17 | 157 | ||||||
1,007 | Series 2002-48, Class GH, 6.500%, 08/25/32 | 1,137 | ||||||
332 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 349 | ||||||
91 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 96 | ||||||
170 | Series 2002-77, Class S, IF, 14.199%, 12/25/32 | 221 | ||||||
561 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 628 | ||||||
629 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 655 | ||||||
346 | Series 2003-3, Class HJ, 5.000%, 02/25/18 | 364 | ||||||
2,773 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 2,930 | ||||||
1,043 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 181 | ||||||
666 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 736 | ||||||
1,516 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 1,737 | ||||||
41 | Series 2003-35, Class UC, 3.750%, 05/25/33 | 43 | ||||||
124 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 29 | ||||||
1,124 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 1,229 | ||||||
873 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 949 | ||||||
254 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 274 | ||||||
3 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | | (h) | |||||
434 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 480 | ||||||
169 | Series 2003-52, Class SX, HB, IF, 22.484%, 10/25/31 | 268 | ||||||
131 | Series 2003-64, Class SX, IF, 13.358%, 07/25/33 | 162 | ||||||
553 | Series 2003-71, Class DS, IF, 7.258%, 08/25/33 | 581 | ||||||
99 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 1 | ||||||
1,035 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 181 | ||||||
85 | Series 2003-74, Class SH, IF, 9.891%, 08/25/33 | 97 | ||||||
293 | Series 2003-76, Class GQ, 4.500%, 08/25/18 | 308 | ||||||
673 | Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23 | 54 | ||||||
530 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 555 | ||||||
1,207 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 1,271 | ||||||
247 | Series 2003-91, Class SD, IF, 12.241%, 09/25/33 | 290 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
1,402 | Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33 | 362 | ||||||
130 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 130 | ||||||
320 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 333 | ||||||
95 | Series 2003-130, Class SX, IF, 11.287%, 01/25/34 | 111 | ||||||
126 | Series 2003-132, Class OA, PO, 08/25/33 | 119 | ||||||
1,356 | Series 2004-4, Class QI, IF, IO, 6.945%, 06/25/33 | 188 | ||||||
128 | Series 2004-4, Class QM, IF, 13.889%, 06/25/33 | 151 | ||||||
596 | Series 2004-10, Class SC, HB, IF, 27.979%, 02/25/34 | 817 | ||||||
551 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 585 | ||||||
1,002 | Series 2004-25, Class SA, IF, 19.098%, 04/25/34 | 1,413 | ||||||
1,825 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 1,901 | ||||||
378 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 401 | ||||||
1,312 | Series 2004-36, Class SA, IF, 19.098%, 05/25/34 | 1,824 | ||||||
410 | Series 2004-36, Class SN, IF, 13.889%, 07/25/33 | 481 | ||||||
1,005 | Series 2004-37, Class AG, 4.500%, 11/25/32 | 1,030 | ||||||
514 | Series 2004-46, Class QB, HB, IF, 23.379%, 05/25/34 | 731 | ||||||
1,680 | Series 2004-46, Class SK, IF, 16.073%, 05/25/34 | 2,140 | ||||||
267 | Series 2004-51, Class SY, IF, 13.930%, 07/25/34 | 341 | ||||||
313 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 343 | ||||||
384 | Series 2004-59, Class BG, PO, 12/25/32 | 357 | ||||||
824 | Series 2004-61, Class FH, VAR, 0.955%, 11/25/32 | 845 | ||||||
109 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 128 | ||||||
222 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 231 | ||||||
482 | Series 2004-79, Class SP, IF, 19.373%, 11/25/34 | 650 | ||||||
100 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 104 | ||||||
| (h) | Series 2004-92, Class JO, PO, 12/25/34 | | (h) | ||||
103 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 110 | ||||||
1,434 | Series 2005-56, Class S, IF, IO, 6.555%, 07/25/35 | 284 | ||||||
336 | Series 2005-66, Class SG, IF, 16.987%, 07/25/35 | 451 | ||||||
621 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 671 | ||||||
1,549 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 1,721 | ||||||
841 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 898 | ||||||
648 | Series 2005-74, Class CS, IF, 19.593%, 05/25/35 | 892 | ||||||
5,489 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 5,981 | ||||||
2,351 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 2,593 | ||||||
7,525 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 7,934 | ||||||
4,326 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 4,939 | ||||||
1,939 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 2,075 | ||||||
438 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 454 | ||||||
158 | Series 2006-15, Class OT, PO, 01/25/36 | 156 | ||||||
489 | Series 2006-16, Class OA, PO, 03/25/36 | 459 | ||||||
664 | Series 2006-22, Class AO, PO, 04/25/36 | 611 | ||||||
206 | Series 2006-23, Class KO, PO, 04/25/36 | 185 | ||||||
1,974 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,163 | ||||||
103 | Series 2006-42, Class CF, VAR, 0.605%, 06/25/36 | 104 | ||||||
1,058 | Series 2006-44, Class GO, PO, 06/25/36 | 985 | ||||||
2,413 | Series 2006-44, Class P, PO, 12/25/33 | 2,262 | ||||||
1,539 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 1,689 | ||||||
1,563 | Series 2006-53, Class US, IF, IO, 6.425%, 06/25/36 | 252 | ||||||
1,435 | Series 2006-56, Class FC, VAR, 0.445%, 07/25/36 | 1,441 | ||||||
1,445 | Series 2006-56, Class PF, VAR, 0.505%, 07/25/36 | 1,456 | ||||||
809 | Series 2006-56, Class PO, PO, 07/25/36 | 732 | ||||||
979 | Series 2006-58, Class AP, PO, 07/25/36 | 929 | ||||||
119 | Series 2006-58, Class FL, VAR, 0.615%, 07/25/36 | 120 | ||||||
478 | Series 2006-58, Class PO, PO, 07/25/36 | 447 | ||||||
608 | Series 2006-59, Class QO, PO, 01/25/33 | 602 | ||||||
3,451 | Series 2006-60, Class DZ, 6.500%, 07/25/36 | 4,241 | ||||||
718 | Series 2006-65, Class QO, PO, 07/25/36 | 668 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
172 | Series 2006-72, Class TO, PO, 08/25/36 | 164 | ||||||
2,984 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 3,410 | ||||||
597 | Series 2006-79, Class DO, PO, 08/25/36 | 556 | ||||||
505 | Series 2006-90, Class AO, PO, 09/25/36 | 461 | ||||||
202 | Series 2006-109, Class PO, PO, 11/25/36 | 190 | ||||||
1,505 | Series 2006-110, Class PO, PO, 11/25/36 | 1,351 | ||||||
132 | Series 2006-111, Class EO, PO, 11/25/36 | 120 | ||||||
855 | Series 2006-118, Class A2, VAR, 0.215%, 12/25/36 | 841 | ||||||
178 | Series 2006-119, Class PO, PO, 12/25/36 | 166 | ||||||
2,574 | Series 2006-124, Class HB, VAR, 5.992%, 11/25/36 | 2,612 | ||||||
1,000 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,094 | ||||||
872 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 144 | ||||||
785 | Series 2007-7, Class SG, IF, IO, 6.345%, 08/25/36 | 162 | ||||||
2,321 | Series 2007-14, Class ES, IF, IO, 6.285%, 03/25/37 | 317 | ||||||
218 | Series 2007-15, Class NO, PO, 03/25/22 | 212 | ||||||
777 | Series 2007-16, Class FC, VAR, 0.905%, 03/25/37 | 792 | ||||||
261 | Series 2007-42, Class AO, PO, 05/25/37 | 252 | ||||||
320 | Series 2007-48, Class PO, PO, 05/25/37 | 293 | ||||||
924 | Series 2007-54, Class FA, VAR, 0.555%, 06/25/37 | 930 | ||||||
5,142 | Series 2007-60, Class AX, IF, IO, 6.995%, 07/25/37 | 777 | ||||||
239 | Series 2007-77, Class FG, VAR, 0.655%, 03/25/37 | 242 | ||||||
1,400 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 1,611 | ||||||
1,224 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 1,278 | ||||||
3,415 | Series 2007-88, Class VI, IF, IO, 6.385%, 09/25/37 | 516 | ||||||
2,296 | Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37 | 327 | ||||||
1,617 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 294 | ||||||
2,681 | Series 2007-101, Class A2, VAR, 0.405%, 06/27/36 | 2,679 | ||||||
584 | Series 2007-106, Class A7, VAR, 6.144%, 10/25/37 | 650 | ||||||
5,000 | Series 2007-114, Class A6, VAR, 0.355%, 10/27/37 | 4,949 | ||||||
2,046 | Series 2007-116, Class HI, IO, VAR, 1.535%, 01/25/38 | 147 | ||||||
26 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 1 | ||||||
1,207 | Series 2008-1, Class BI, IF, IO, 5.755%, 02/25/38 | 148 | ||||||
895 | Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38 | 126 | ||||||
481 | Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38 | 67 | ||||||
613 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 40 | ||||||
679 | Series 2008-24, Class DY, 5.000%, 04/25/23 | 715 | ||||||
518 | Series 2008-27, Class SN, IF, IO, 6.745%, 04/25/38 | 74 | ||||||
303 | Series 2008-39, Class CI, IO, 4.500%, 05/25/18 | 17 | ||||||
411 | Series 2008-42, Class AO, PO, 09/25/36 | 396 | ||||||
44 | Series 2008-44, Class PO, PO, 05/25/38 | 41 | ||||||
653 | Series 2008-47, Class SI, IF, IO, 6.345%, 06/25/23 | 73 | ||||||
764 | Series 2008-53, Class CI, IF, IO, 7.045%, 07/25/38 | 142 | ||||||
321 | Series 2008-76, Class GF, VAR, 0.805%, 09/25/23 | 323 | ||||||
1,800 | Series 2008-80, Class SA, IF, IO, 5.695%, 09/25/38 | 216 | ||||||
1,089 | Series 2008-81, Class SB, IF, IO, 5.695%, 09/25/38 | 127 | ||||||
1,473 | Series 2009-6, Class GS, IF, IO, 6.395%, 02/25/39 | 212 | ||||||
711 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 63 | ||||||
643 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 49 | ||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 487 | ||||||
1,201 | Series 2009-60, Class HT, 6.000%, 08/25/39 | 1,362 | ||||||
813 | Series 2009-62, Class HJ, 6.000%, 05/25/39 | 905 | ||||||
1,180 | Series 2009-70, Class CO, PO, 01/25/37 | 1,074 | ||||||
744 | Series 2009-99, Class SC, IF, IO, 6.025%, 12/25/39 | 93 | ||||||
994 | Series 2009-103, Class MB, VAR, 2.324%, 12/25/39 | 1,012 | ||||||
1,182 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 1,221 | ||||||
1,389 | Series 2010-49, Class SC, IF, 12.350%, 03/25/40 | 1,618 | ||||||
885 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 971 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
1,037 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 1,180 | ||||||
2,127 | Series 2010-133, Class A, 5.500%, 05/25/38 | 2,315 | ||||||
2,987 | Series 2010-147, Class SA, IF, IO, 6.375%, 01/25/41 | 675 | ||||||
1,267 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 1,339 | ||||||
1,131 | Series 2011-2, Class WA, VAR, 5.819%, 02/25/51 | 1,252 | ||||||
1,650 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 1,863 | ||||||
3,342 | Series 2011-30, Class LS, IO, VAR, 1.838%, 04/25/41 | 243 | ||||||
2,500 | Series 2011-31, Class DB, 3.500%, 04/25/31 | 2,603 | ||||||
7,500 | Series 2011-44, Class EB, 3.000%, 05/25/26 | 7,612 | ||||||
782 | Series 2011-75, Class FA, VAR, 0.705%, 08/25/41 | 793 | ||||||
1,614 | Series 2011-118, Class MT, 7.000%, 11/25/41 | 1,872 | ||||||
2,231 | Series 2011-130, Class CA, 6.000%, 12/25/41 | 2,555 | ||||||
1,377 | Series 2012-14, Class FB, VAR, 0.605%, 08/25/37 | 1,389 | ||||||
7,596 | Series 2012-47, Class HF, VAR, 0.555%, 05/25/27 | 7,627 | ||||||
3,000 | Series 2012-66, Class CB, 3.000%, 06/25/32 | 2,845 | ||||||
5,461 | Series 2012-99, Class AE, 2.500%, 05/25/39 | 5,498 | ||||||
3,473 | Series 2012-108, Class F, VAR, 0.655%, 10/25/42 | 3,501 | ||||||
4,281 | Series 2012-137, Class CF, VAR, 0.455%, 08/25/41 | 4,261 | ||||||
2,000 | Series 2013-81, Class TA, 3.000%, 02/25/43 | 1,900 | ||||||
1,694 | Series 2013-90, Class PM, 3.500%, 09/25/43 | 1,752 | ||||||
2,320 | Series 2013-92, Class PO, PO, 09/25/43 | 1,839 | ||||||
3,349 | Series 2013-101, Class AE, 3.000%, 10/25/33 | 3,343 | ||||||
3,520 | Series 2013-101, Class DO, PO, 10/25/43 | 2,779 | ||||||
3,000 | Series 2013-101, Class E, 3.000%, 10/25/33 | 2,986 | ||||||
3,500 | Series 2013-103, Class VG, 3.000%, 03/25/30 | 3,392 | ||||||
4,000 | Series 2013-108, Class GU, 3.000%, 10/25/33 | 3,886 | ||||||
4,680 | Series 2013-128, Class PO, PO, 12/25/43 | 3,741 | ||||||
| (h) | Series G-17, Class S, HB, VAR, 1,064.898%, 06/25/21 | 4 | |||||
18 | Series G-28, Class S, IF, 14.945%, 09/25/21 | 22 | ||||||
23 | Series G-35, Class M, 8.750%, 10/25/21 | 26 | ||||||
8 | Series G-51, Class SA, HB, IF, 24.377%, 12/25/21 | 11 | ||||||
| (h) | Series G92-27, Class SQ, HB, IF, 1,857.770%, 05/25/22 | 1 | |||||
120 | Series G92-35, Class E, 7.500%, 07/25/22 | 134 | ||||||
| (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 2 | |||||
14 | Series G92-42, Class Z, 7.000%, 07/25/22 | 16 | ||||||
262 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 281 | ||||||
19 | Series G92-52, Class FD, VAR, 0.176%, 09/25/22 | 19 | ||||||
132 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 146 | ||||||
18 | Series G92-59, Class F, VAR, 1.363%, 10/25/22 | 18 | ||||||
37 | Series G92-61, Class Z, 7.000%, 10/25/22 | 43 | ||||||
25 | Series G92-62, Class B, PO, 10/25/22 | 24 | ||||||
126 | Series G93-1, Class KA, 7.900%, 01/25/23 | 145 | ||||||
28 | Series G93-5, Class Z, 6.500%, 02/25/23 | 32 | ||||||
37 | Series G93-14, Class J, 6.500%, 03/25/23 | 41 | ||||||
85 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 94 | ||||||
79 | Series G93-27, Class FD, VAR, 1.035%, 08/25/23 | 81 | ||||||
19 | Series G93-37, Class H, PO, 09/25/23 | 18 | ||||||
35 | Series G95-1, Class C, 8.800%, 01/25/25 | 40 | ||||||
Federal National Mortgage Association REMIC Trust, | ||||||||
878 | Series 2003-W1, Class 1A1, VAR, 5.860%, 12/25/42 | 1,003 | ||||||
341 | Series 2003-W1, Class 2A, VAR, 6.560%, 12/25/42 | 393 | ||||||
127 | Series 2003-W4, Class 2A, VAR, 6.368%, 10/25/42 | 142 | ||||||
58 | Series 2007-W7, Class 1A4, HB, IF, 38.248%, 07/25/37 | 90 | ||||||
2,036 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 2,277 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
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) | ||||
11 | Series 218, Class 2, IO, 7.500%, 04/25/23 | 3 | ||||||
12 | Series 265, Class 2, 9.000%, 03/25/24 | 14 | ||||||
141 | Series 329, Class 1, PO, 01/25/33 | 127 | ||||||
356 | Series 339, Class 18, IO, 4.500%, 07/25/18 | 20 | ||||||
509 | Series 339, Class 21, IO, 4.500%, 08/25/18 | 29 | ||||||
251 | Series 339, Class 28, IO, 5.500%, 08/25/18 | 16 | ||||||
191 | Series 345, Class 6, IO, VAR, 5.000%, 12/25/33 | 33 | ||||||
666 | Series 351, Class 7, IO, VAR, 5.000%, 04/25/34 | 99 | ||||||
535 | Series 355, Class 11, IO, 6.000%, 07/25/34 | 93 | ||||||
217 | Series 355, Class 31, IO, VAR, 4.500%, 12/25/18 | 13 | ||||||
949 | Series 365, Class 8, IO, 5.500%, 05/25/36 | 156 | ||||||
114 | Series 368, Class 3, IO, 4.500%, 11/25/20 | 7 | ||||||
493 | Series 374, Class 5, IO, 5.500%, 08/25/36 | 83 | ||||||
248 | Series 383, Class 32, IO, 6.000%, 01/25/38 | 43 | ||||||
654 | Series 383, Class 33, IO, 6.000%, 01/25/38 | 115 | ||||||
159 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 27 | ||||||
Federal National Mortgage Association Trust, | ||||||||
234 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 275 | ||||||
950 | Series 2004-W15, Class 2AF, VAR, 0.405%, 08/25/44 | 945 | ||||||
658 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 762 | ||||||
2,444 | Series 2005-W3, Class 2AF, VAR, 0.375%, 03/25/45 | 2,450 | ||||||
848 | Series 2006-W2, Class 1AF1, VAR, 0.375%, 02/25/46 | 848 | ||||||
Government National Mortgage Association, | ||||||||
1,298 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 1,486 | ||||||
895 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 1,009 | ||||||
88 | Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29 | 23 | ||||||
191 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 223 | ||||||
131 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 157 | ||||||
1,225 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 1,461 | ||||||
222 | Series 2000-12, Class ST, HB, IF, 38.716%, 02/16/30 | 393 | ||||||
1,685 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 2,054 | ||||||
12 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 14 | ||||||
254 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 294 | ||||||
148 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 158 | ||||||
20 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 4 | ||||||
100 | Series 2001-6, Class SD, IF, IO, 8.395%, 03/16/31 | 29 | ||||||
175 | Series 2001-35, Class SA, IF, IO, 8.095%, 08/16/31 | 48 | ||||||
146 | Series 2001-36, Class S, IF, IO, 7.895%, 08/16/31 | 39 | ||||||
195 | Series 2002-3, Class SP, IF, IO, 7.235%, 01/16/32 | 56 | ||||||
758 | Series 2002-24, Class AG, IF, IO, 7.795%, 04/16/32 | 175 | ||||||
68 | Series 2002-24, Class SB, IF, 11.693%, 04/16/32 | 86 | ||||||
1,618 | Series 2002-31, Class SE, IF, IO, 7.345%, 04/16/30 | 340 | ||||||
470 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 537 | ||||||
26 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 31 | ||||||
1,780 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 2,038 | ||||||
605 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 695 | ||||||
1,137 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 1,303 | ||||||
968 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 1,124 | ||||||
398 | Series 2002-70, Class PS, IF, IO, 7.545%, 08/20/32 | 32 | ||||||
949 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,127 | ||||||
796 | Series 2003-11, Class SK, IF, IO, 7.545%, 02/16/33 | 183 | ||||||
330 | Series 2003-12, Class SP, IF, IO, 7.545%, 02/20/33 | 90 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
71 | Series 2003-24, Class PO, PO, 03/16/33 | 61 | ||||||
1,319 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 1,539 | ||||||
753 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 886 | ||||||
893 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 1,014 | ||||||
300 | Series 2003-52, Class AP, PO, 06/16/33 | 282 | ||||||
1,620 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 1,845 | ||||||
89 | Series 2003-90, Class PO, PO, 10/20/33 | 81 | ||||||
1,057 | Series 2003-112, Class SA, IF, IO, 6.395%, 12/16/33 | 216 | ||||||
785 | Series 2003-112, Class TS, IF, IO, 6.795%, 10/20/32 | 41 | ||||||
2,989 | Series 2004-11, Class SW, IF, IO, 5.345%, 02/20/34 | 384 | ||||||
51 | Series 2004-15, Class SA, IF, 19.236%, 12/20/32 | 54 | ||||||
415 | Series 2004-28, Class S, IF, 19.237%, 04/16/34 | 616 | ||||||
156 | Series 2004-73, Class AE, IF, 14.536%, 08/17/34 | 193 | ||||||
1,691 | Series 2004-90, Class SI, IF, IO, 5.945%, 10/20/34 | 262 | ||||||
1,141 | Series 2005-3, Class SB, IF, IO, 5.945%, 01/20/35 | 165 | ||||||
2,934 | Series 2005-17, Class SL, IF, IO, 6.545%, 07/20/34 | 471 | ||||||
304 | Series 2005-35, Class FL, VAR, 0.505%, 03/20/32 | 306 | ||||||
54 | Series 2005-39, Class KI, IO, 5.500%, 03/20/34 | 1 | ||||||
2,966 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 522 | ||||||
300 | Series 2005-68, Class DP, IF, 16.061%, 06/17/35 | 403 | ||||||
4,112 | Series 2005-68, Class KI, IF, IO, 6.145%, 09/20/35 | 650 | ||||||
514 | Series 2005-69, Class SY, IF, IO, 6.595%, 11/20/33 | 87 | ||||||
538 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 107 | ||||||
275 | Series 2006-16, Class OP, PO, 03/20/36 | 258 | ||||||
765 | Series 2006-38, Class SW, IF, IO, 6.345%, 06/20/36 | 83 | ||||||
933 | Series 2006-59, Class SD, IF, IO, 6.545%, 10/20/36 | 165 | ||||||
1,506 | Series 2006-65, Class SA, IF, IO, 6.645%, 11/20/36 | 250 | ||||||
948 | Series 2007-9, Class DI, IF, IO, 6.355%, 03/20/37 | 145 | ||||||
2,235 | Series 2007-17, Class JI, IF, IO, 6.655%, 04/16/37 | 361 | ||||||
240 | Series 2007-17, Class JO, PO, 04/16/37 | 217 | ||||||
1,342 | Series 2007-19, Class SD, IF, IO, 6.045%, 04/20/37 | 197 | ||||||
1,298 | Series 2007-26, Class SC, IF, IO, 6.045%, 05/20/37 | 180 | ||||||
1,012 | Series 2007-27, Class SA, IF, IO, 6.045%, 05/20/37 | 146 | ||||||
315 | Series 2007-28, Class BO, PO, 05/20/37 | 296 | ||||||
850 | Series 2007-36, Class SE, IF, IO, 6.315%, 06/16/37 | 128 | ||||||
2,370 | Series 2007-40, Class SB, IF, IO, 6.595%, 07/20/37 | 381 | ||||||
1,426 | Series 2007-42, Class SB, IF, IO, 6.595%, 07/20/37 | 230 | ||||||
2,500 | Series 2007-47, Class PH, 6.000%, 07/16/37 | 3,019 | ||||||
1,001 | Series 2007-50, Class AI, IF, IO, 6.620%, 08/20/37 | 160 | ||||||
143 | Series 2007-53, Class SW, IF, 19.740%, 09/20/37 | 198 | ||||||
661 | Series 2007-57, Class PO, PO, 03/20/37 | 634 | ||||||
804 | Series 2007-57, Class QA, IF, IO, 6.345%, 10/20/37 | 124 | ||||||
785 | Series 2007-71, Class SB, IF, IO, 6.545%, 07/20/36 | 57 | ||||||
742 | Series 2007-72, Class US, IF, IO, 6.395%, 11/20/37 | 117 | ||||||
762 | Series 2007-73, Class MI, IF, IO, 5.845%, 11/20/37 | 107 | ||||||
1,469 | Series 2007-76, Class SA, IF, IO, 6.375%, 11/20/37 | 228 | ||||||
764 | Series 2007-79, Class SY, IF, IO, 6.395%, 12/20/37 | 120 | ||||||
480 | Series 2007-81, Class SP, IF, IO, 6.495%, 12/20/37 | 77 | ||||||
864 | Series 2007-82, Class SA, IF, IO, 6.375%, 12/20/37 | 134 | ||||||
411 | Series 2008-2, Class MS, IF, IO, 7.005%, 01/16/38 | 73 | ||||||
1,369 | Series 2008-2, Class NS, IF, IO, 6.385%, 01/16/38 | 217 | ||||||
823 | Series 2008-10, Class S, IF, IO, 5.675%, 02/20/38 | 111 | ||||||
49 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 1 | ||||||
601 | Series 2008-25, Class SB, IF, IO, 6.745%, 03/20/38 | 99 | ||||||
598 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 70 | ||||||
1,157 | Series 2008-36, Class SH, IF, IO, 6.145%, 04/20/38 | 194 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
6,013 | Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38 | 1,077 | ||||||
1,132 | Series 2008-41, Class SA, IF, IO, 6.185%, 05/20/38 | 166 | ||||||
721 | Series 2008-55, Class SA, IF, IO, 6.045%, 06/20/38 | 102 | ||||||
228 | Series 2008-60, Class PO, PO, 01/20/38 | 226 | ||||||
442 | Series 2008-65, Class ME, 5.750%, 09/20/37 | 447 | ||||||
379 | Series 2008-71, Class SC, IF, IO, 5.845%, 08/20/38 | 50 | ||||||
834 | Series 2008-93, Class AS, IF, IO, 5.545%, 12/20/38 | 107 | ||||||
1,210 | Series 2009-6, Class SA, IF, IO, 5.945%, 02/16/39 | 162 | ||||||
780 | Series 2009-10, Class SL, IF, IO, 6.345%, 03/16/34 | 57 | ||||||
2,262 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 372 | ||||||
838 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 169 | ||||||
774 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 160 | ||||||
2,164 | Series 2009-22, Class SA, IF, IO, 6.115%, 04/20/39 | 294 | ||||||
609 | Series 2009-25, Class SE, IF, IO, 7.445%, 09/20/38 | 112 | ||||||
514 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 84 | ||||||
512 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 97 | ||||||
897 | Series 2009-43, Class SA, IF, IO, 5.795%, 06/20/39 | 120 | ||||||
746 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 92 | ||||||
1,947 | Series 2009-72, Class SM, IF, IO, 6.095%, 08/16/39 | 285 | ||||||
430 | Series 2009-79, Class OK, PO, 11/16/37 | 406 | ||||||
650 | Series 2010-14, Class CO, PO, 08/20/35 | 612 | ||||||
485 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 570 | ||||||
3,618 | Series 2010-157, Class OP, PO, 12/20/40 | 3,058 | ||||||
3,747 | Series 2010-H17, Class XQ, VAR, 5.240%, 07/20/60 | 4,171 | ||||||
1,152 | Series 2011-22, Class WA, VAR, 5.964%, 02/20/37 | 1,290 | ||||||
2,367 | Series 2011-75, Class SM, IF, IO, 6.445%, 05/20/41 | 438 | ||||||
2,949 | Series 2012-61, Class FM, VAR, 0.555%, 05/16/42 | 2,966 | ||||||
882 | Series 2012-141, Class WC, VAR, 3.756%, 01/20/42 | 928 | ||||||
4,397 | Series 2012-H10, Class FA, VAR, 0.705%, 12/20/61 | 4,419 | ||||||
2,298 | Series 2012-H15, Class FA, VAR, 0.605%, 05/20/62 | 2,305 | ||||||
3,377 | Series 2012-H21, Class CF, VAR, 0.855%, 05/20/61 | 3,406 | ||||||
2,916 | Series 2012-H21, Class DF, VAR, 0.805%, 05/20/61 | 2,923 | ||||||
4,753 | Series 2012-H22, Class FD, VAR, 0.625%, 01/20/61 | 4,770 | ||||||
1,371 | Series 2012-H24, Class FA, VAR, 0.605%, 03/20/60 | 1,376 | ||||||
3,229 | Series 2012-H24, Class FG, VAR, 0.585%, 04/20/60 | 3,238 | ||||||
1,931 | Series 2012-H26, Class MA, VAR, 0.705%, 07/20/62 | 1,941 | ||||||
2,658 | Series 2012-H28, Class FA, VAR, 0.735%, 09/20/62 | 2,660 | ||||||
3,577 | Series 2012-H30, Class PA, VAR, 0.606%, 11/20/59 | 3,587 | ||||||
2,092 | Series 2012-H31, Class FD, VAR, 0.495%, 12/20/62 | 2,084 | ||||||
3,973 | Series 2013-54, Class WA, VAR, 4.706%, 11/20/42 | 4,316 | ||||||
3,138 | Series 2013-75, Class WA, VAR, 5.229%, 06/20/40 | 3,563 | ||||||
1,665 | Series 2013-91, Class WA, VAR, 4.520%, 04/20/43 | 1,797 | ||||||
1,300 | Series 2013-116, Class JY, 4.000%, 08/16/43 | 1,402 | ||||||
3,053 | Series 2013-H01, Class FA, 1.650%, 01/20/63 | 3,043 | ||||||
1,403 | Series 2013-H03, Class FA, VAR, 0.455%, 08/20/60 | 1,404 | ||||||
1,497 | Series 2013-H04, Class BA, 1.650%, 02/20/63 | 1,493 | ||||||
4,777 | Series 2013-H05, Class FB, VAR, 0.557%, 02/20/62 | 4,782 | ||||||
1,850 | Series 2013-H07, Class HA, VAR, 0.565%, 03/20/63 | 1,847 | ||||||
9,955 | Series 2013-H07, Class JA, 1.750%, 03/20/63 | 9,953 | ||||||
1,754 | Series 2013-H08, Class FC, VAR, 0.605%, 02/20/63 | 1,754 | ||||||
1,926 | Series 2013-H09, Class HA, 1.650%, 04/20/63 | 1,917 | ||||||
4,184 | Series 2013-H18, Class JA, VAR, 0.755%, 08/20/63 | 4,214 | ||||||
1,944 | Series 2014-H01, Class FD, VAR, 0.802%, 01/20/64 | 1,963 | ||||||
Vendee Mortgage Trust, | ||||||||
466 | Series 1994-1, Class 1, VAR, 5.573%, 02/15/24 | 510 | ||||||
728 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 799 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
667 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 765 | ||||||
538 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 622 | ||||||
924 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 1,092 | ||||||
1,123 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 1,310 | ||||||
2,121 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 2,425 | ||||||
6,062 | Series 2003-2, Class Z, 5.000%, 05/15/33 | 6,911 | ||||||
|
|
|||||||
606,390 | ||||||||
|
|
|||||||
Non-Agency CMO 6.2% | ||||||||
45 | AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.398%, 02/02/37 (e) | 45 | ||||||
Ajax Mortgage Loan Trust, | ||||||||
2,396 | Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e) (i) | 2,373 | ||||||
2,767 | Series 2013-C, Class A, SUB, 4.500%, 03/25/35 (e) (i) | 2,770 | ||||||
Alternative Loan Trust, | ||||||||
13,870 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 14,190 | ||||||
1,833 | Series 2005-1CB, Class 1A6, IF, IO, 6.945%, 03/25/35 | 384 | ||||||
4,561 | Series 2005-20CB, Class 3A8, IF, IO, 4.595%, 07/25/35 | 553 | ||||||
7,775 | Series 2005-22T1, Class A2, IF, IO, 4.915%, 06/25/35 | 1,055 | ||||||
4,685 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 4,477 | ||||||
159 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 129 | ||||||
6,116 | Series 2005-37T1, Class A2, IF, IO, 4.895%, 09/25/35 | 850 | ||||||
4,067 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 3,695 | ||||||
10,226 | Series 2005-54CB, Class 1A2, IF, IO, 4.695%, 11/25/35 | 1,211 | ||||||
2,551 | Series 2005-57CB, Class 3A2, IF, IO, 4.945%, 12/25/35 | 356 | ||||||
1,528 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 1,433 | ||||||
5,282 | Series 2005-J1, Class 1A4, IF, IO, 4.945%, 02/25/35 | 472 | ||||||
2,255 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 1,983 | ||||||
American General Mortgage Loan Trust, | ||||||||
536 | Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e) | 541 | ||||||
1,140 | Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e) | 1,173 | ||||||
473 | Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e) | 499 | ||||||
ASG Resecuritization Trust, | ||||||||
570 | Series 2009-1, Class A60, VAR, 2.055%, 06/26/37 (e) | 563 | ||||||
102 | Series 2009-2, Class A55, VAR, 4.721%, 05/24/36 (e) | 103 | ||||||
1,000 | Series 2009-2, Class G60, VAR, 4.721%, 05/24/36 (e) | 1,010 | ||||||
2,769 | Series 2009-3, Class A65, VAR, 2.045%, 03/26/37 (e) | 2,758 | ||||||
1,484 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 1,506 | ||||||
682 | Series 2010-2, Class A60, VAR, 1.837%, 01/28/37 (e) | 671 | ||||||
794 | Series 2011-1, Class 3A50, VAR, 2.570%, 11/28/35 (e) | 776 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
167 | Series 2003-2, Class PO, PO, 04/25/33 | 148 | ||||||
89 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 90 | ||||||
281 | Series 2003-11, Class PO, PO, 01/25/34 | 249 | ||||||
133 | Series 2004-6, Class 15PO, PO, 07/25/19 | 129 | ||||||
1,380 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,305 | ||||||
3,641 | Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35 | 746 | ||||||
1,067 | Series 2006-4, Class 1A4, 6.000%, 05/25/46 | 761 | ||||||
2,025 | Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e) (i) | 2,010 | ||||||
Banc of America Funding Trust, | ||||||||
342 | Series 2004-1, Class PO, PO, 03/25/34 | 273 | ||||||
487 | Series 2004-2, Class 30PO, PO, 09/20/34 | 403 | ||||||
211 | Series 2004-C, Class 1A1, VAR, 2.801%, 12/20/34 | 208 | ||||||
753 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 746 | ||||||
498 | Series 2005-7, Class 30PO, PO, 11/25/35 | 373 | ||||||
313 | Series 2005-8, Class 30PO, PO, 01/25/36 | 240 | ||||||
1,298 | Series 2005-E, Class 4A1, VAR, 2.686%, 03/20/35 | 1,298 | ||||||
561 | Series 2006-A, Class 3A2, VAR, 2.756%, 02/20/36 | 452 | ||||||
282 | Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e) | 284 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
Banc of America Mortgage Trust, | ||||||||
98 | Series 2003-3, Class 2A1, VAR, 0.705%, 05/25/18 | 95 | ||||||
85 | Series 2003-6, Class 2A1, VAR, 0.605%, 08/25/18 | 84 | ||||||
37 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 37 | ||||||
141 | Series 2003-8, Class APO, PO, 11/25/33 | 113 | ||||||
823 | Series 2004-3, Class 15IO, IO, VAR, 0.036%, 04/25/19 | 3 | ||||||
56 | Series 2004-4, Class APO, PO, 05/25/34 | 49 | ||||||
865 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 882 | ||||||
448 | Series 2004-6, Class 2A5, PO, 07/25/34 | 394 | ||||||
246 | Series 2004-6, Class APO, PO, 07/25/34 | 219 | ||||||
27 | Series 2004-8, Class 5PO, PO, 05/25/32 | 24 | ||||||
31 | Series 2004-8, Class XPO, PO, 10/25/34 | 28 | ||||||
249 | Series 2004-A, Class 2A2, VAR, 2.699%, 02/25/34 | 247 | ||||||
901 | Series 2004-J, Class 3A1, VAR, 2.811%, 11/25/34 | 895 | ||||||
869 | Series 2005-10, Class 1A6, 5.500%, 11/25/35 | 842 | ||||||
BCAP LLC Trust, | ||||||||
338 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 349 | ||||||
442 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 454 | ||||||
616 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 620 | ||||||
153 | Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) | 154 | ||||||
542 | Series 2010-RR6, Class 22A3, VAR, 4.328%, 06/26/36 (e) | 550 | ||||||
374 | Series 2010-RR7, Class 16A1, VAR, 0.815%, 02/26/47 (e) | 371 | ||||||
200 | Series 2010-RR7, Class 1A5, VAR, 4.834%, 04/26/35 (e) | 198 | ||||||
1,979 | Series 2010-RR7, Class 2A1, VAR, 2.071%, 07/26/45 (e) | 1,986 | ||||||
192 | Series 2010-RR8, Class 3A3, VAR, 5.059%, 05/26/35 (e) | 193 | ||||||
1,500 | Series 2010-RR8, Class 3A4, VAR, 5.059%, 05/26/35 (e) | 1,416 | ||||||
815 | Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e) | 825 | ||||||
1,948 | Series 2011-RR10, Class 2A1, VAR, 0.940%, 09/26/37 (e) | 1,788 | ||||||
1,760 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) | 1,798 | ||||||
1,500 | Series 2011-RR5, Class 11A3, VAR, 0.305%, 05/28/36 (e) | 1,472 | ||||||
251 | Series 2011-RR5, Class 14A3, VAR, 2.593%, 07/26/36 (e) | 250 | ||||||
1,121 | Series 2012-RR10, Class 3A1, VAR, 0.345%, 05/26/36 (e) | 1,062 | ||||||
1,198 | Series 2012-RR2, Class 1A1, VAR, 0.325%, 08/26/36 (e) | 1,171 | ||||||
1,008 | Series 2012-RR3, Class 2A5, VAR, 1.984%, 05/26/37 (e) | 1,009 | ||||||
Bear Stearns ARM Trust, | ||||||||
166 | Series 2003-7, Class 3A, VAR, 2.410%, 10/25/33 | 166 | ||||||
722 | Series 2004-1, Class 12A1, VAR, 2.728%, 04/25/34 | 718 | ||||||
125 | Series 2004-2, Class 14A, VAR, 3.076%, 05/25/34 | 124 | ||||||
1,564 | Series 2005-5, Class A1, VAR, 2.160%, 08/25/35 | 1,581 | ||||||
3,706 | Series 2006-1, Class A1, VAR, 2.360%, 02/25/36 | 3,692 | ||||||
797 | CAM Mortgage Trust, Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e) | 797 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
172 | Series 2003-J7, Class 4A3, IF, 9.572%, 08/25/18 | 180 | ||||||
516 | Series 2004-7, Class 2A1, VAR, 2.470%, 06/25/34 | 505 | ||||||
284 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 293 | ||||||
192 | Series 2004-HYB1, Class 2A, VAR, 2.511%, 05/20/34 | 183 | ||||||
715 | Series 2004-HYB3, Class 2A, VAR, 2.208%, 06/20/34 | 678 | ||||||
629 | Series 2004-HYB6, Class A3, VAR, 2.418%, 11/20/34 | 603 | ||||||
249 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 255 | ||||||
1,259 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,176 | ||||||
3,209 | Series 2005-22, Class 2A1, VAR, 2.465%, 11/25/35 | 2,718 | ||||||
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, | ||||||||
147 | Series 2005-5, Class APO, PO, 08/25/35 | 133 | ||||||
134 | Series 2005-8, Class APO, PO, 11/25/35 | 107 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
1,191 | Series 2008-AR4, Class 1A1A, VAR, 2.730%, 11/25/38 (e) | 1,192 | ||||||
508 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 529 | ||||||
3,868 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 3,940 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
4,091 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 4,200 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
266 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 271 | ||||||
138 | Series 2003-1, Class 2A6, PO, 10/25/33 | 125 | ||||||
100 | Series 2003-1, Class PO2, PO, 10/25/33 | 82 | ||||||
107 | Series 2003-1, Class PO3, PO, 09/25/33 | 98 | ||||||
111 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 115 | ||||||
156 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 158 | ||||||
27 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 26 | ||||||
31 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 31 | ||||||
147 | Series 2004-UST1, Class A6, VAR, 2.445%, 08/25/34 | 141 | ||||||
403 | Series 2005-1, Class 2A1A, VAR, 2.705%, 04/25/35 | 306 | ||||||
483 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 503 | ||||||
505 | Series 2005-5, Class 1A2, VAR, 2.768%, 08/25/35 | 369 | ||||||
450 | Series 2012-A, Class A, 2.500%, 06/25/51 (e) (i) | 453 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
612 | Series 2003-1, Class DB1, VAR, 6.704%, 02/25/33 | 619 | ||||||
93 | Series 2003-17, Class 2A1, 5.000%, 07/25/18 | 95 | ||||||
308 | Series 2003-21, Class 1A4, 5.250%, 09/25/33 | 318 | ||||||
485 | Series 2003-25, Class 1P, PO, 10/25/33 | 431 | ||||||
27 | Series 2004-5, Class 5P, PO, 08/25/19 | 27 | ||||||
2,167 | Series 2005-4, Class 3A18, 5.500%, 06/25/35 | 2,194 | ||||||
2,411 | Series 2005-4, Class 3A23, 5.500%, 06/25/35 | 2,400 | ||||||
CSMC, | ||||||||
625 | Series 2011-9R, Class A1, VAR, 2.156%, 03/27/46 (e) | 626 | ||||||
1,486 | Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) | 1,500 | ||||||
CSMC Trust, | ||||||||
627 | Series 2010-16, Class A3, VAR, 3.765%, 06/25/50 (e) | 636 | ||||||
7,891 | Series 2010-11R, Class A6, VAR, 1.156%, 06/28/47 (e) | 7,566 | ||||||
54 | Series 2011-1R, Class A1, VAR, 1.156%, 02/27/47 (e) | 54 | ||||||
781 | Series 2011-6R, Class 3A1, VAR, 2.658%, 07/28/36 (e) | 785 | ||||||
682 | Series 2012-3R, Class 1A1, VAR, 2.353%, 07/27/37 (e) | 680 | ||||||
6 | Deutsche Mortgage Securities, Inc., Mortgage Loan Resecuritization Trust, Series 2009-RS2, Class 4A1, VAR, 0.285%, 04/26/37 (e) | 6 | ||||||
505 | FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e) | 509 | ||||||
3 | First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17 | 3 | ||||||
First Horizon Alternative Mortgage Securities Trust, | ||||||||
1,104 | Series 2004-AA4, Class A1, VAR, 2.235%, 10/25/34 | 1,096 | ||||||
1,568 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 1,382 | ||||||
2,718 | Series 2007-FA4, Class 1A2, IF, IO, 5.495%, 08/25/37 | 545 | ||||||
First Horizon Mortgage Pass-Through Trust, | ||||||||
620 | Series 2004-AR2, Class 2A1, VAR, 2.628%, 05/25/34 | 617 | ||||||
1,451 | Series 2005-AR1, Class 2A2, VAR, 2.573%, 04/25/35 | 1,443 | ||||||
85 | Freedom Trust, Series 2011-4, Class A18, VAR, 5.000%, 03/25/37 (e) | 85 | ||||||
GMACM Mortgage Loan Trust, | ||||||||
547 | Series 2003-AR1, Class A4, VAR, 2.854%, 10/19/33 | 540 | ||||||
283 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 295 | ||||||
106 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 109 | ||||||
4,421 | Series 2005-AR3, Class 3A4, VAR, 2.806%, 06/19/35 | 4,369 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
904 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 946 | ||||||
1,326 | Series 2005-RP3, Class 1AF, VAR, 0.505%, 09/25/35 (e) | 1,131 | ||||||
1,002 | Series 2005-RP3, Class 1AS, IO, VAR, 4.794%, 09/25/35 (e) | 136 | ||||||
4,409 | Series 2006-RP2, Class 1AS2, IF, IO, 5.898%, 04/25/36 (e) | 559 | ||||||
GSR Mortgage Loan Trust, | ||||||||
650 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 696 | ||||||
577 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 601 | ||||||
665 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 658 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
290 | Series 2005-4F, Class AP, PO, 05/25/35 | 267 | ||||||
2,546 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 2,638 | ||||||
3,180 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 2,888 | ||||||
2,705 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 2,695 | ||||||
3,739 | Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.000%, 05/26/53 (e) (i) | 3,651 | ||||||
Impac CMB Trust, | ||||||||
2,406 | Series 2004-7, Class 1A1, VAR, 0.895%, 11/25/34 | 2,284 | ||||||
311 | Series 2005-4, Class 2A1, VAR, 0.455%, 05/25/35 | 308 | ||||||
Impac Secured Assets Trust, | ||||||||
650 | Series 2006-1, Class 2A1, VAR, 0.505%, 05/25/36 | 630 | ||||||
723 | Series 2006-2, Class 2A1, VAR, 0.505%, 08/25/36 | 710 | ||||||
14,434 | IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35 | | (h) | |||||
JP Morgan Mortgage Trust, | ||||||||
1,360 | Series 2006-A2, Class 4A1, VAR, 2.503%, 08/25/34 | 1,362 | ||||||
1,789 | Series 2006-A2, Class 5A3, VAR, 2.438%, 11/25/33 | 1,793 | ||||||
316 | Series 2006-A3, Class 6A1, VAR, 2.538%, 08/25/34 | 318 | ||||||
386 | JP Morgan Resecuritization Trust, Series 2009-6, Class 4A1, VAR, 2.513%, 09/26/36 (e) | 390 | ||||||
Lehman Mortgage Trust, | ||||||||
619 | Series 2006-2, Class 1A1, VAR, 6.141%, 04/25/36 | 587 | ||||||
1,217 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,100 | ||||||
1,000 | LVII Resecuritization Trust, Series 2009-3, Class M3, VAR, 5.177%, 11/27/37 (e) | 1,006 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
85 | Series 2004-4, Class 2A1, VAR, 1.959%, 05/25/34 | 76 | ||||||
766 | Series 2004-13, Class 2A1, VAR, 2.643%, 04/21/34 | 770 | ||||||
1,825 | Series 2004-13, Class 3A7, VAR, 2.638%, 11/21/34 | 1,857 | ||||||
384 | Series 2004-15, Class 3A1, VAR, 2.808%, 12/25/34 | 385 | ||||||
MASTR Alternative Loan Trust, | ||||||||
190 | Series 2003-3, Class 1A1, 6.500%, 05/25/33 | 201 | ||||||
532 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 532 | ||||||
594 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 629 | ||||||
788 | Series 2004-4, Class 10A1, 5.000%, 05/25/24 | 834 | ||||||
445 | Series 2004-6, Class 30PO, PO, 07/25/34 | 349 | ||||||
675 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 687 | ||||||
313 | Series 2004-7, Class 30PO, PO, 08/25/34 | 241 | ||||||
1,045 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 1,081 | ||||||
167 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 170 | ||||||
MASTR Asset Securitization Trust, | ||||||||
47 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 47 | ||||||
16 | Series 2003-3, Class 4A1, 5.000%, 04/25/18 | 17 | ||||||
76 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 76 | ||||||
109 | Series 2003-12, Class 30PO, PO, 12/25/33 | 100 | ||||||
85 | Series 2004-1, Class 30PO, PO, 02/25/34 | 76 | ||||||
27 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 27 | ||||||
45 | Series 2004-6, Class 15PO, PO, 07/25/19 | 45 | ||||||
65 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 67 | ||||||
28 | Series 2004-8, Class PO, PO, 08/25/19 | 26 | ||||||
2,602 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.505%, 05/25/35 (e) | 2,147 | ||||||
1,040 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 832 | ||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||
300 | Series 2003-E, Class A1, VAR, 0.775%, 10/25/28 | 296 | ||||||
759 | Series 2004-1, Class 2A1, VAR, 2.149%, 12/25/34 | 740 | ||||||
586 | Series 2004-A, Class A1, VAR, 0.615%, 04/25/29 | 557 | ||||||
25 | ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20 | 27 | ||||||
623 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.475%, 02/25/35 | 607 | ||||||
472 | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 479 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, | ||||||||
257 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 264 | ||||||
115 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 119 | ||||||
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 | ||||||
7 | Series P, Class 4, 8.500%, 08/01/19 | 8 | ||||||
304 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.480%, 05/25/35 | 307 | ||||||
RALI Trust, | ||||||||
76 | Series 2002-QS16, Class A3, IF, 16.298%, 10/25/17 | 78 | ||||||
244 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 247 | ||||||
4,301 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 4,475 | ||||||
524 | Series 2003-QS12, Class A2A, IF, IO, 7.445%, 06/25/18 | 52 | ||||||
159 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 11 | ||||||
1,147 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,166 | ||||||
365 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 373 | ||||||
1,434 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 1,510 | ||||||
204 | Series 2003-QS3, Class A2, IF, 16.158%, 02/25/18 | 228 | ||||||
44 | Series 2003-QS3, Class A8, IF, IO, 7.445%, 02/25/18 | 1 | ||||||
524 | Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18 | 53 | ||||||
2,093 | Series 2004-QA6, Class NB2, VAR, 2.943%, 12/26/34 | 1,734 | ||||||
RBSSP Resecuritization Trust, | ||||||||
422 | Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) | 447 | ||||||
527 | Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e) | 539 | ||||||
764 | Series 2009-12, Class 1A1, VAR, 5.890%, 11/25/33 (e) | 804 | ||||||
691 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 702 | ||||||
73 | Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) | 73 | ||||||
Residential Asset Securitization Trust, | ||||||||
324 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 335 | ||||||
23 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 23 | ||||||
2,856 | Series 2005-A2, Class A4, IF, IO, 4.895%, 03/25/35 | 400 | ||||||
755 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 696 | ||||||
RFMSI Trust, | ||||||||
337 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 337 | ||||||
87 | Series 2003-S14, Class A4, PO, 07/25/18 | 82 | ||||||
183 | Series 2004-S3, Class A1, 4.750%, 03/25/19 | 187 | ||||||
441 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 378 | ||||||
89 | Series 2004-S9, Class 2A1, 4.750%, 12/25/19 | 90 | ||||||
784 | Series 2005-SA4, Class 1A1, VAR, 2.700%, 09/25/35 | 655 | ||||||
16 | RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 14 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
274 | Series 2003-HYB1, Class A, VAR, 2.494%, 09/25/33 | 278 | ||||||
19 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 17 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1,600 | Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e) | 1,704 | ||||||
2,000 | Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e) | 2,079 | ||||||
2,397 | Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e) | 2,395 | ||||||
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 | ||||||
1,960 | Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e) | 1,953 | ||||||
1,116 | Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e) | 1,094 | ||||||
900 | Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e) | 902 | ||||||
634 | Series 2013-1A, Class M3, VAR, 3.790%, 06/25/58 (e) | 639 | ||||||
3,215 | Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e) | 3,209 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
1,058 | Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e) | 1,079 | ||||||
810 | Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e) | 808 | ||||||
2,131 | Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e) | 2,146 | ||||||
3,500 | Station Place Securitization Trust, Series 2013-1, Class A, VAR, 1.471%, 02/25/15 | 3,500 | ||||||
892 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 2.364%, 06/25/34 | 886 | ||||||
794 | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 0.484%, 10/19/34 | 749 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | ||||||||
875 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 894 | ||||||
1,534 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 1,577 | ||||||
Structured Asset Securities Corp. Trust, | ||||||||
157 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 158 | ||||||
228 | Series 2005-10, Class 5A9, 5.250%, 12/25/34 | 233 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
467 | Series 2003-4, Class A1, VAR, 0.795%, 09/25/43 | 449 | ||||||
443 | Series 2004-4, Class 3A, VAR, 1.973%, 12/25/44 | 440 | ||||||
1,017 | VML LLC, Series 2014-NPL1, Class A1, VAR, 3.875%, 04/25/54 (e) | 1,017 | ||||||
2,098 | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 2,150 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
171 | Series 2003-AR8, Class A, VAR, 2.390%, 08/25/33 | 175 | ||||||
2,593 | Series 2003-AR9, Class 1A6, VAR, 2.406%, 09/25/33 | 2,667 | ||||||
361 | Series 2003-AR9, Class 2A, VAR, 2.442%, 09/25/33 | 364 | ||||||
201 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 203 | ||||||
1,331 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 1,368 | ||||||
120 | Series 2003-S9, Class P, PO, 10/25/33 | 94 | ||||||
226 | Series 2004-AR3, Class A1, VAR, 2.370%, 06/25/34 | 230 | ||||||
189 | Series 2004-AR3, Class A2, VAR, 2.370%, 06/25/34 | 192 | ||||||
288 | Series 2006-AR10, Class 2P, VAR, 2.271%, 09/25/36 | 254 | ||||||
222 | Series 2006-AR12, Class 2P, VAR, 1.863%, 10/25/36 | 163 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, | ||||||||
9,504 | Series 2005-2, Class 1A4, IF, IO, 4.895%, 04/25/35 | 1,350 | ||||||
1,875 | Series 2005-2, Class 2A3, IF, IO, 4.845%, 04/25/35 | 242 | ||||||
2,384 | Series 2005-3, Class CX, IO, 5.500%, 05/25/35 | 499 | ||||||
2,916 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 2,704 | ||||||
2,373 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 501 | ||||||
689 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 638 | ||||||
4,408 | Series 2005-6, Class 2A9, 5.500%, 08/25/35 | 4,094 | ||||||
1,657 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 1,632 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
225 | Series 2003-K, Class 1A1, VAR, 2.490%, 11/25/33 | 226 | ||||||
426 | Series 2003-K, Class 1A2, VAR, 2.490%, 11/25/33 | 432 | ||||||
521 | Series 2004-EE, Class 2A1, VAR, 2.610%, 12/25/34 | 524 | ||||||
565 | Series 2004-EE, Class 3A1, VAR, 2.496%, 12/25/34 | 572 | ||||||
2,691 | Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34 | 2,722 | ||||||
558 | Series 2004-V, Class 1A1, VAR, 2.605%, 10/25/34 | 562 | ||||||
235 | Series 2005-16, Class APO, PO, 01/25/36 | 184 | ||||||
393 | Series 2005-AR16, Class 2A1, VAR, 2.604%, 02/25/34 | 399 | ||||||
4,754 | Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35 | 4,782 | ||||||
499 | Series 2005-AR8, Class 2A1, VAR, 2.592%, 06/25/35 | 502 | ||||||
544 | Series 2006-2, Class APO, PO, 03/25/36 | 347 | ||||||
282 | Series 2006-4, Class 1APO, PO, 04/25/36 | 217 | ||||||
1,331 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,347 | ||||||
382 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 377 | ||||||
|
|
|||||||
251,411 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $809,771) |
857,801 | |||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Commercial Mortgage-Backed Securities 3.7% |
| ||||||
A10 Securitization LLC, | ||||||||
358 | Series 2012-1, Class A, 3.492%, 04/15/24 (e) | 358 | ||||||
750 | Series 2013-1, Class A, 2.400%, 11/15/25 (e) | 753 | ||||||
A10 Term Asset Financing LLC, | ||||||||
3,566 | Series 2013-2, Class A, 2.620%, 11/15/27 (e) | 3,597 | ||||||
696 | Series 2013-2, Class B, 4.380%, 11/15/27 (e) | 712 | ||||||
ACRE Commercial Mortgage Trust, (Cayman Islands), | ||||||||
360 | Series 2014-FL2, Class B, VAR, 2.205%, 08/15/31 (e) | 360 | ||||||
360 | Series 2014-FL2, Class C, VAR, 2.655%, 08/15/31 (e) | 360 | ||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||
560 | Series 2012-PARK, Class A, 2.959%, 12/10/30 (e) | 560 | ||||||
1,300 | Series 2014-520M, Class C, VAR, 4.354%, 08/15/46 (e) | 1,296 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
385 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 398 | ||||||
2,109 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,217 | ||||||
915 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 963 | ||||||
1,500 | Series 2007-5, Class A4, 5.492%, 02/10/51 | 1,619 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
400 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 404 | ||||||
1,610 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 1,632 | ||||||
BB-UBS Trust, | ||||||||
4,400 | Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e) | 4,440 | ||||||
2,500 | Series 2012-TFT, Class A, 2.892%, 06/05/30 (e) | 2,463 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
33,991 | Series 2005-PWR8, Class X1, IO, VAR, 0.930%, 06/11/41 (e) | 63 | ||||||
3,105 | Series 2006-PW11, Class A4, VAR, 5.602%, 03/11/39 | 3,227 | ||||||
84,117 | CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.549%, 12/11/49 (e) | 587 | ||||||
900 | CGBAM Commercial Mortgage Trust, Series 2014-HD, Class A, VAR, 0.955%, 02/15/31 (e) | 898 | ||||||
1,250 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 1,263 | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
546 | Series 2006-C1, Class A4, 5.223%, 08/15/48 | 578 | ||||||
17,204 | Series 2006-C1, Class IO, IO, VAR, 0.980%, 08/15/48 | 247 | ||||||
COMM Mortgage Trust, | ||||||||
1,063 | Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 1,071 | ||||||
2,974 | Series 2012-CR2, Class XA, IO, VAR, 2.072%, 08/15/45 | 301 | ||||||
3,500 | Series 2013-300P, Class A1, 4.353%, 08/10/30 (e) | 3,848 | ||||||
1,060 | Series 2013-SFS, Class A2, VAR, 3.086%, 04/12/35 (e) | 1,061 | ||||||
1,400 | Series 2014-TWC, Class A, VAR, 1.003%, 02/13/32 (e) | 1,399 | ||||||
133 | Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.094%, 11/17/26 (e) | 133 | ||||||
Commercial Mortgage Trust, | ||||||||
442 | Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 442 | ||||||
300 | Series 2006-GG7, Class AM, VAR, 6.014%, 07/10/38 | 318 | ||||||
675 | Credit Suisse Commercial Mortgage Trust, Series 2006-C2, Class A3, VAR, 5.858%, 03/15/39 | 704 | ||||||
2,018 | CSMC, Series 2014-ICE, Class A, VAR, 0.955%, 04/15/27 (e) | 2,020 | ||||||
763 | DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e) | 762 | ||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, | ||||||||
2,557 | Series K029, Class A2, VAR, 3.320%, 02/25/23 | 2,698 | ||||||
10,000 | Series K037, Class A2, 3.490%, 01/25/24 | 10,648 | ||||||
1,000 | Series KS01, Class A2, 2.522%, 01/25/23 | 1,001 | ||||||
2,500 | Series KSMC, Class A2, 2.615%, 01/25/23 | 2,513 | ||||||
1,866 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 1,871 | ||||||
3,599 | GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 3,672 | ||||||
1,383 | GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.706%, 12/10/27 (e) | 1,410 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Commercial Mortgage-Backed Securities continued |
|||||||
488 | GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e) | 497 | ||||||
865 | GS Mortgage Securities Trust, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 893 | ||||||
1,000 | GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 1,066 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||
1,000 | Series 2005-CB11, Class AJ, VAR, 5.537%, 08/12/37 | 1,011 | ||||||
400 | Series 2006-LDP9, Class AMS, 5.337%, 05/15/47 | 401 | ||||||
996 | Series 2007-C1, Class A4, 5.716%, 02/15/51 | 1,084 | ||||||
998 | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.985%, 02/15/36 (e) | 1,025 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
979 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 1,008 | ||||||
39,715 | Series 2006-C7, Class XW, IO, VAR, 0.849%, 11/15/38 (e) | 440 | ||||||
300 | Series 2007-C1, Class AM, 5.455%, 02/15/40 | 322 | ||||||
818 | Series 2007-C2, Class A3, 5.430%, 02/15/40 | 883 | ||||||
2,781 | Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 2,870 | ||||||
ML-CFC Commercial Mortgage Trust, | ||||||||
2,986 | Series 2006-1, Class A4, VAR, 5.651%, 02/12/39 | 3,099 | ||||||
28,550 | Series 2006-4, Class XC, IO, VAR, 0.272%, 12/12/49 (e) | 318 | ||||||
2,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 02/15/47 | 2,108 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
33,972 | Series 2006-IQ12, Class X1, IO, VAR, 0.652%, 12/15/43 (e) | 286 | ||||||
66,336 | Series 2007-HQ11, Class X, IO, VAR, 0.390%, 02/12/44 (e) | 268 | ||||||
764 | Series 2011-C3, Class A3, 4.054%, 07/15/49 | 819 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
1,059 | Series 2012-IO, Class AXA, 1.000%, 03/27/51 (e) | 1,055 | ||||||
3,833 | Series 2012-XA, Class A, 2.000%, 07/27/49 (e) | 3,845 | ||||||
1,800 | Series 2012-XA, Class B, 0.250%, 07/27/49 (e) | 1,555 | ||||||
NCUA Guaranteed Notes Trust, | ||||||||
20,500 | Series 2010-C1, Class A2, 2.900%, 10/29/20 | 21,160 | ||||||
9,924 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 10,199 | ||||||
NorthStar, (Cayman Islands), | ||||||||
2,318 | Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e) | 2,320 | ||||||
1,392 | Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e) | 1,406 | ||||||
470 | NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.355%, 08/25/29 (e) | 470 | ||||||
1,543 | ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e) | 1,543 | ||||||
RAIT Trust, | ||||||||
2,002 | Series 2014-FL3, Class A, VAR, 1.405%, 12/15/31 (e) | 2,003 | ||||||
2,000 | Series 2014-FL3, Class AS, VAR, 1.955%, 12/15/31 (e) | 2,001 | ||||||
750 | Series 2014-FL3, Class B, VAR, 2.805%, 12/15/31 (e) | 751 | ||||||
664 | RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A, 3.260%, 03/11/31 (e) | 658 | ||||||
1,025 | RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e) | 1,058 | ||||||
934 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.563%, 08/15/39 | 935 | ||||||
2,236 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 2,296 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1,053 | Series 2012-C2, Class A4, 3.525%, 05/10/63 | 1,103 | ||||||
10,243 | Series 2012-C2, Class XA, IO, VAR, 1.919%, 05/10/63 (e) | 828 | ||||||
857 | Series 2013-C6, Class A4, 3.244%, 04/10/46 | 875 | ||||||
VNDO Mortgage Trust, | ||||||||
1,398 | Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e) | 1,405 | ||||||
4,000 | Series 2013-PENN, Class A, 3.808%, 12/13/29 (e) | 4,263 | ||||||
2,500 | Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A, VAR, 2.710%, 03/18/28 (e) | 2,519 | ||||||
1,147 | Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 1,147 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1,700 | Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 1,862 | ||||||
800 | Series 2012-C6, Class A4, 3.440%, 04/15/45 | 838 | ||||||
400 | Series 2013-C11, Class D, VAR, 4.322%, 03/15/45 (e) | 385 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities (Cost $147,897) |
151,745 | |||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds 18.1% |
| ||||||
Consumer Discretionary 1.2% | ||||||||
Auto Components 0.0% (g) | ||||||||
Johnson Controls, Inc., | ||||||||
591 | 3.750%, 12/01/21 | 617 | ||||||
675 | 4.250%, 03/01/21 | 730 | ||||||
173 | 4.950%, 07/02/64 | 177 | ||||||
1,000 | 5.250%, 12/01/41 | 1,116 | ||||||
|
|
|||||||
2,640 | ||||||||
|
|
|||||||
Automobiles 0.1% | ||||||||
Daimler Finance North America LLC, | ||||||||
421 | 1.650%, 04/10/15 (e) | 422 | ||||||
532 | 1.875%, 01/11/18 (e) | 536 | ||||||
981 | 2.375%, 08/01/18 (e) | 998 | ||||||
739 | 2.625%, 09/15/16 (e) | 760 | ||||||
1,425 | 2.950%, 01/11/17 (e) | 1,477 | ||||||
|
|
|||||||
4,193 | ||||||||
|
|
|||||||
Media 0.9% | ||||||||
21st Century Fox America, Inc., | ||||||||
100 | 6.200%, 12/15/34 | 127 | ||||||
400 | 6.650%, 11/15/37 | 524 | ||||||
250 | 6.900%, 08/15/39 | 338 | ||||||
1,075 | 7.300%, 04/30/28 | 1,380 | ||||||
505 | 8.000%, 10/17/16 | 568 | ||||||
430 | 8.875%, 04/26/23 | 580 | ||||||
CBS Corp., | ||||||||
475 | 3.700%, 08/15/24 | 475 | ||||||
360 | 4.900%, 08/15/44 | 365 | ||||||
140 | 5.500%, 05/15/33 | 156 | ||||||
265 | 5.750%, 04/15/20 | 303 | ||||||
250 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 360 | ||||||
Comcast Corp., | ||||||||
555 | 4.200%, 08/15/34 | 568 | ||||||
1,082 | 4.250%, 01/15/33 | 1,123 | ||||||
2,910 | 5.900%, 03/15/16 | 3,103 | ||||||
400 | 6.450%, 03/15/37 | 520 | ||||||
1,355 | 6.500%, 11/15/35 | 1,790 | ||||||
Cox Communications, Inc., | ||||||||
446 | 3.250%, 12/15/22 (e) | 436 | ||||||
162 | 5.450%, 12/15/14 | 162 | ||||||
125 | 8.375%, 03/01/39 (e) | 179 | ||||||
450 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 575 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
435 | 3.800%, 03/15/22 | 446 | ||||||
1,000 | 4.600%, 02/15/21 | 1,086 | ||||||
862 | 5.000%, 03/01/21 | 954 | ||||||
2,000 | 6.000%, 08/15/40 | 2,256 | ||||||
Discovery Communications LLC, | ||||||||
1,016 | 4.375%, 06/15/21 | 1,083 | ||||||
319 | 4.950%, 05/15/42 | 322 | ||||||
1,197 | Historic TW, Inc., 9.150%, 02/01/23 | 1,634 | ||||||
NBCUniversal Media LLC, | ||||||||
310 | 4.375%, 04/01/21 | 343 | ||||||
800 | 5.950%, 04/01/41 | 1,008 | ||||||
515 | 6.400%, 04/30/40 | 675 | ||||||
296 | Sky plc, (United Kingdom), 3.750%, 09/16/24 (e) | 301 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
482 | 3.850%, 09/29/24 | 488 | ||||||
1,278 | 3.950%, 09/30/21 | 1,347 | ||||||
441 | 4.500%, 05/23/43 | 428 | ||||||
325 | 4.700%, 10/15/19 | 355 | ||||||
Time Warner Cable, Inc., | ||||||||
359 | 5.500%, 09/01/41 | 406 | ||||||
1,218 | 5.850%, 05/01/17 | 1,340 | ||||||
400 | 6.550%, 05/01/37 | 509 | ||||||
800 | 8.250%, 04/01/19 | 989 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
160 | 8.375%, 03/15/23 | 217 | ||||||
1,250 | 8.375%, 07/15/33 | 1,849 | ||||||
Time Warner, Inc., | ||||||||
555 | 4.750%, 03/29/21 | 611 | ||||||
313 | 5.375%, 10/15/41 | 343 | ||||||
150 | 6.200%, 03/15/40 | 180 | ||||||
172 | 6.250%, 03/29/41 | 211 | ||||||
265 | 6.500%, 11/15/36 | 332 | ||||||
250 | 7.625%, 04/15/31 | 344 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Media continued | ||||||||
171 | 7.700%, 05/01/32 | 238 | ||||||
Viacom, Inc., | ||||||||
153 | 1.250%, 02/27/15 | 153 | ||||||
500 | 3.125%, 06/15/22 | 488 | ||||||
67 | 3.250%, 03/15/23 | 65 | ||||||
808 | 3.875%, 12/15/21 | 839 | ||||||
464 | 4.375%, 03/15/43 | 431 | ||||||
100 | 4.500%, 03/01/21 | 108 | ||||||
250 | 4.500%, 02/27/42 | 241 | ||||||
130 | 6.250%, 04/30/16 | 140 | ||||||
333 | Walt Disney Co. (The), 0.450%, 12/01/15 | 334 | ||||||
|
|
|||||||
36,726 | ||||||||
|
|
|||||||
Multiline Retail 0.1% | ||||||||
280 | Kohls Corp., 6.250%, 12/15/17 | 314 | ||||||
Macys Retail Holdings, Inc., | ||||||||
516 | 2.875%, 02/15/23 | 498 | ||||||
462 | 4.375%, 09/01/23 | 496 | ||||||
526 | 4.500%, 12/15/34 | 528 | ||||||
157 | 5.125%, 01/15/42 | 168 | ||||||
230 | 7.450%, 07/15/17 | 264 | ||||||
455 | Nordstrom, Inc., 4.000%, 10/15/21 | 489 | ||||||
200 | Target Corp., 6.000%, 01/15/18 | 227 | ||||||
|
|
|||||||
2,984 | ||||||||
|
|
|||||||
Specialty Retail 0.1% | ||||||||
217 | Bed Bath & Beyond, Inc., 4.915%, 08/01/34 | 221 | ||||||
533 | Gap, Inc. (The), 5.950%, 04/12/21 | 607 | ||||||
1,785 | Home Depot, Inc. (The), 5.400%, 03/01/16 | 1,892 | ||||||
Lowes Cos., Inc., | ||||||||
739 | 4.650%, 04/15/42 | 804 | ||||||
326 | 5.125%, 11/15/41 | 378 | ||||||
750 | Series B, 7.110%, 05/15/37 | 1,036 | ||||||
|
|
|||||||
4,938 | ||||||||
|
|
|||||||
Total Consumer Discretionary | 51,481 | |||||||
|
|
|||||||
Consumer Staples 0.9% | ||||||||
Beverages 0.2% | ||||||||
Anheuser-Busch Cos. LLC, | ||||||||
600 | 5.500%, 01/15/18 | 671 | ||||||
920 | 5.750%, 04/01/36 | 1,108 | ||||||
900 | Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24 | 937 | ||||||
94 | Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 | 115 | ||||||
440 | Coca-Cola Co. (The), 4.875%, 03/15/19 | 496 | ||||||
Diageo Capital plc, (United Kingdom), | ||||||||
264 | 1.500%, 05/11/17 | 266 | ||||||
510 | 4.828%, 07/15/20 | 572 | ||||||
800 | Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15 | 833 | ||||||
255 | Diageo Investment Corp., 8.000%, 09/15/22 | 339 | ||||||
890 | FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e) | 912 | ||||||
355 | Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e) | 355 | ||||||
PepsiCo, Inc., | ||||||||
287 | 1.250%, 08/13/17 | 287 | ||||||
368 | 3.000%, 08/25/21 | 378 | ||||||
59 | 7.900%, 11/01/18 | 72 | ||||||
500 | VAR, 0.444%, 02/26/16 | 501 | ||||||
SABMiller Holdings, Inc., | ||||||||
574 | 1.850%, 01/15/15 (e) | 575 | ||||||
698 | 3.750%, 01/15/22 (e) | 732 | ||||||
250 | SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e) | 274 | ||||||
|
|
|||||||
9,423 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.3% | ||||||||
CVS Health Corp., | ||||||||
536 | 4.000%, 12/05/23 | 566 | ||||||
322 | 5.300%, 12/05/43 | 380 | ||||||
1,035 | CVS Pass-Through Trust, 5.926%, 01/10/34 (e) | 1,221 | ||||||
Kroger Co. (The), | ||||||||
900 | 4.000%, 02/01/24 | 945 | ||||||
1,100 | 5.000%, 04/15/42 | 1,178 | ||||||
2,480 | 7.500%, 04/01/31 | 3,317 | ||||||
Sysco Corp., | ||||||||
259 | 3.000%, 10/02/21 | 264 | ||||||
234 | 4.500%, 10/02/44 | 246 | ||||||
1,031 | Walgreen Co., 3.100%, 09/15/22 | 1,027 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
544 | 3.300%, 11/18/21 | 553 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Food & Staples Retailing continued | ||||||||
663 | 3.800%, 11/18/24 | 677 | ||||||
386 | 4.500%, 11/18/34 | 396 | ||||||
Wal-Mart Stores, Inc., | ||||||||
762 | 5.250%, 09/01/35 | 906 | ||||||
255 | 6.200%, 04/15/38 | 336 | ||||||
350 | 7.550%, 02/15/30 | 506 | ||||||
|
|
|||||||
12,518 | ||||||||
|
|
|||||||
Food Products 0.3% | ||||||||
200 | Archer-Daniels-Midland Co., 5.935%, 10/01/32 | 252 | ||||||
1,415 | Bunge Ltd. Finance Corp., 8.500%, 06/15/19 | 1,755 | ||||||
191 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 209 | ||||||
Cargill, Inc., | ||||||||
600 | 3.300%, 03/01/22 (e) | 621 | ||||||
535 | 4.307%, 05/14/21 (e) | 591 | ||||||
850 | 7.350%, 03/06/19 (e) | 1,029 | ||||||
ConAgra Foods, Inc., | ||||||||
223 | 1.300%, 01/25/16 | 224 | ||||||
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 | 840 | ||||||
694 | 5.000%, 06/04/42 | 750 | ||||||
1,187 | 6.125%, 08/23/18 | 1,364 | ||||||
1,793 | 6.875%, 01/26/39 | 2,334 | ||||||
1,500 | Mondelez International, Inc., 4.000%, 02/01/24 | 1,572 | ||||||
777 | Tyson Foods, Inc., 3.950%, 08/15/24 | 802 | ||||||
|
|
|||||||
12,940 | ||||||||
|
|
|||||||
Household Products 0.1% | ||||||||
Kimberly-Clark Corp., | ||||||||
220 | 2.400%, 03/01/22 | 217 | ||||||
71 | 7.500%, 11/01/18 | 86 | ||||||
728 | Procter & Gamble - ESOP, Series A, 9.360%, 01/01/21 | 909 | ||||||
140 | Procter & Gamble Co. (The), 5.500%, 02/01/34 | 175 | ||||||
|
|
|||||||
1,387 | ||||||||
|
|
|||||||
Total Consumer Staples | 36,268 | |||||||
|
|
|||||||
Energy 1.7% | ||||||||
Energy Equipment & Services 0.2% | ||||||||
199 | Cameron International Corp., 4.000%, 12/15/23 | 209 | ||||||
348 | Diamond Offshore Drilling, Inc., 4.875%, 11/01/43 | 298 | ||||||
Halliburton Co., | ||||||||
714 | 3.500%, 08/01/23 | 728 | ||||||
1,620 | 7.450%, 09/15/39 | 2,236 | ||||||
188 | National Oilwell Varco, Inc., 1.350%, 12/01/17 | 186 | ||||||
Noble Holding International Ltd., (Cayman Islands), | ||||||||
113 | 3.950%, 03/15/22 | 107 | ||||||
83 | 5.250%, 03/15/42 | 73 | ||||||
300 | 6.050%, 03/01/41 | 286 | ||||||
441 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) | 457 | ||||||
Transocean, Inc., (Cayman Islands), | ||||||||
361 | 3.800%, 10/15/22 | 312 | ||||||
256 | 6.375%, 12/15/21 | 255 | ||||||
905 | 6.500%, 11/15/20 | 896 | ||||||
198 | 7.350%, 12/15/41 | 195 | ||||||
100 | 7.500%, 04/15/31 | 98 | ||||||
Weatherford International Ltd., (Bermuda), | ||||||||
311 | 4.500%, 04/15/22 | 308 | ||||||
113 | 5.950%, 04/15/42 | 110 | ||||||
110 | 6.500%, 08/01/36 | 115 | ||||||
350 | 9.875%, 03/01/39 | 499 | ||||||
|
|
|||||||
7,368 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.5% | ||||||||
160 | Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31 | 204 | ||||||
330 | Anadarko Petroleum Corp., 8.700%, 03/15/19 | 413 | ||||||
Apache Corp., | ||||||||
138 | 3.250%, 04/15/22 | 139 | ||||||
556 | 4.750%, 04/15/43 | 535 | ||||||
500 | 6.900%, 09/15/18 | 583 | ||||||
235 | BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e) | 258 | ||||||
338 | Boardwalk Pipelines LP, 4.950%, 12/15/24 | 344 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Oil, Gas & Consumable Fuels continued | ||||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
92 | 1.375%, 11/06/17 | 92 | ||||||
929 | 1.846%, 05/05/17 | 943 | ||||||
1,283 | 2.237%, 05/10/19 | 1,291 | ||||||
882 | 2.750%, 05/10/23 | 842 | ||||||
437 | 3.814%, 02/10/24 | 449 | ||||||
900 | 4.742%, 03/11/21 | 1,001 | ||||||
200 | Burlington Resources Finance Co., (Canada), 7.400%, 12/01/31 | 284 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
401 | 3.900%, 02/01/25 | 408 | ||||||
350 | 6.250%, 03/15/38 | 418 | ||||||
1,000 | 6.750%, 02/01/39 | 1,249 | ||||||
Cenovus Energy, Inc., (Canada), | ||||||||
208 | 3.000%, 08/15/22 | 203 | ||||||
490 | 4.450%, 09/15/42 | 466 | ||||||
450 | 6.750%, 11/15/39 | 564 | ||||||
Chevron Corp., | ||||||||
560 | 2.355%, 12/05/22 | 544 | ||||||
1,000 | 4.950%, 03/03/19 | 1,127 | ||||||
1,789 | CNOOC Nexen Finance 2014 ULC, (Canada), 4.250%, 04/30/24 | 1,865 | ||||||
230 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 321 | ||||||
ConocoPhillips, | ||||||||
325 | 5.200%, 05/15/18 | 363 | ||||||
525 | 5.750%, 02/01/19 | 604 | ||||||
150 | 6.000%, 01/15/20 | 176 | ||||||
200 | 6.500%, 02/01/39 | 266 | ||||||
1,045 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,140 | ||||||
571 | ConocoPhillips Co., 3.350%, 11/15/24 | 579 | ||||||
Devon Energy Corp., | ||||||||
750 | 3.250%, 05/15/22 | 751 | ||||||
522 | 4.750%, 05/15/42 | 528 | ||||||
360 | 6.300%, 01/15/19 | 416 | ||||||
533 | Ecopetrol S.A., (Colombia), 4.125%, 01/16/25 | 514 | ||||||
Encana Corp., (Canada), | ||||||||
545 | 6.500%, 05/15/19 | 635 | ||||||
150 | 6.500%, 08/15/34 | 180 | ||||||
925 | Eni S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e) | 1,016 | ||||||
Enterprise Products Operating LLC, | ||||||||
343 | 3.750%, 02/15/25 | 349 | ||||||
475 | 3.900%, 02/15/24 | 491 | ||||||
155 | 4.950%, 10/15/54 | 158 | ||||||
318 | 5.100%, 02/15/45 | 343 | ||||||
EOG Resources, Inc., | ||||||||
379 | 2.625%, 03/15/23 | 366 | ||||||
600 | 4.100%, 02/01/21 | 644 | ||||||
180 | Hess Corp., 7.875%, 10/01/29 | 240 | ||||||
Kerr-McGee Corp., | ||||||||
200 | 6.950%, 07/01/24 | 247 | ||||||
1,700 | 7.875%, 09/15/31 | 2,293 | ||||||
Magellan Midstream Partners LP, | ||||||||
1,127 | 5.150%, 10/15/43 | 1,234 | ||||||
250 | 6.550%, 07/15/19 | 295 | ||||||
Marathon Oil Corp., | ||||||||
902 | 5.900%, 03/15/18 | 1,013 | ||||||
1,620 | 6.000%, 10/01/17 | 1,815 | ||||||
578 | Marathon Petroleum Corp., 3.625%, 09/15/24 | 572 | ||||||
314 | Noble Energy, Inc., 5.050%, 11/15/44 | 316 | ||||||
402 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 408 | ||||||
Petrobras Global Finance B.V., (Netherlands), | ||||||||
841 | 4.375%, 05/20/23 | 777 | ||||||
2,622 | 6.250%, 03/17/24 | 2,695 | ||||||
Petrobras International Finance Co. S.A., (Cayman Islands), | ||||||||
1,020 | 5.375%, 01/27/21 | 1,018 | ||||||
110 | 6.750%, 01/27/41 | 108 | ||||||
175 | 7.875%, 03/15/19 | 193 | ||||||
Petro-Canada, (Canada), | ||||||||
324 | 6.050%, 05/15/18 | 369 | ||||||
1,045 | 6.800%, 05/15/38 | 1,372 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
370 | 4.250%, 01/15/25 (e) | 374 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Oil, Gas & Consumable Fuels continued | ||||||||
393 | 4.875%, 01/18/24 | 417 | ||||||
492 | 5.500%, 06/27/44 (e) | 507 | ||||||
846 | 6.375%, 01/23/45 | 971 | ||||||
Phillips 66, | ||||||||
314 | 2.950%, 05/01/17 | 325 | ||||||
182 | 4.300%, 04/01/22 | 194 | ||||||
1,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.600%, 11/01/24 | 999 | ||||||
831 | Sinopec Group Overseas Development 2013 Ltd., (United Kingdom), 4.375%, 10/17/23 (e) | 879 | ||||||
Spectra Energy Capital LLC, | ||||||||
1,500 | 5.650%, 03/01/20 | 1,681 | ||||||
500 | 6.200%, 04/15/18 | 565 | ||||||
400 | 8.000%, 10/01/19 | 497 | ||||||
Spectra Energy Partners LP, | ||||||||
524 | 2.950%, 09/25/18 | 540 | ||||||
452 | 5.950%, 09/25/43 | 541 | ||||||
Statoil ASA, (Norway), | ||||||||
906 | 1.150%, 05/15/18 | 892 | ||||||
353 | 1.200%, 01/17/18 | 351 | ||||||
406 | 2.450%, 01/17/23 | 391 | ||||||
1,071 | 2.650%, 01/15/24 | 1,023 | ||||||
313 | 2.900%, 11/08/20 | 321 | ||||||
467 | 3.125%, 08/17/17 | 490 | ||||||
300 | 3.150%, 01/23/22 | 308 | ||||||
456 | 3.250%, 11/10/24 | 458 | ||||||
253 | 4.250%, 11/23/41 | 259 | ||||||
Suncor Energy, Inc., (Canada), | ||||||||
180 | 5.950%, 12/01/34 | 218 | ||||||
250 | 6.850%, 06/01/39 | 332 | ||||||
Sunoco Logistics Partners Operations LP, | ||||||||
259 | 4.250%, 04/01/24 | 268 | ||||||
170 | 5.300%, 04/01/44 | 174 | ||||||
1,133 | 5.350%, 05/15/45 | 1,168 | ||||||
Talisman Energy, Inc., (Canada), | ||||||||
1,125 | 5.500%, 05/15/42 | 1,040 | ||||||
185 | 5.850%, 02/01/37 | 177 | ||||||
190 | 6.250%, 02/01/38 | 192 | ||||||
850 | 7.750%, 06/01/19 | 1,001 | ||||||
554 | Texas Eastern Transmission LP, 2.800%, 10/15/22 (e) | 530 | ||||||
Tosco Corp., | ||||||||
310 | 7.800%, 01/01/27 | 427 | ||||||
400 | 8.125%, 02/15/30 | 582 | ||||||
124 | Total Capital Canada Ltd., (Canada), VAR, 0.611%, 01/15/16 | 124 | ||||||
Total Capital International S.A., (France), | ||||||||
135 | 0.750%, 01/25/16 | 135 | ||||||
262 | 1.500%, 02/17/17 | 265 | ||||||
508 | 1.550%, 06/28/17 | 513 | ||||||
500 | 2.750%, 06/19/21 | 505 | ||||||
233 | 2.875%, 02/17/22 | 233 | ||||||
Total Capital S.A., (France), | ||||||||
1,400 | 2.300%, 03/15/16 | 1,431 | ||||||
370 | 4.125%, 01/28/21 | 405 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
550 | 6.200%, 10/15/37 | 659 | ||||||
340 | 6.500%, 08/15/18 | 394 | ||||||
1,100 | 7.250%, 08/15/38 | 1,475 | ||||||
|
|
|||||||
64,258 | ||||||||
|
|
|||||||
Total Energy | 71,626 | |||||||
|
|
|||||||
Financials 8.1% | ||||||||
Banks 3.4% | ||||||||
669 | ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e) | 679 | ||||||
ANZ New Zealand International Ltd., (New Zealand), | ||||||||
750 | 2.600%, 09/23/19 (e) | 764 | ||||||
550 | 3.125%, 08/10/15 (e) | 560 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
1,268 | 2.400%, 11/23/16 (e) | 1,305 | ||||||
900 | 3.250%, 03/01/16 (e) | 930 | ||||||
228 | 4.875%, 01/12/21 (e) | 258 | ||||||
Bank of America Corp., | ||||||||
600 | 2.000%, 01/11/18 | 604 | ||||||
1,500 | Series L, 2.650%, 04/01/19 | 1,521 | ||||||
520 | 3.625%, 03/17/16 | 537 | ||||||
972 | 4.000%, 04/01/24 | 1,016 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Banks continued | ||||||||
547 | 4.100%, 07/24/23 | 577 | ||||||
851 | 4.250%, 10/22/26 | 856 | ||||||
2,065 | 5.000%, 05/13/21 | 2,302 | ||||||
2,730 | 5.625%, 10/14/16 | 2,946 | ||||||
740 | 5.625%, 07/01/20 | 849 | ||||||
645 | Series L, 5.650%, 05/01/18 | 722 | ||||||
150 | 5.700%, 01/24/22 | 175 | ||||||
420 | 5.750%, 12/01/17 | 468 | ||||||
400 | 5.875%, 01/05/21 | 465 | ||||||
2,996 | 6.400%, 08/28/17 | 3,369 | ||||||
1,564 | 6.875%, 04/25/18 | 1,814 | ||||||
875 | 7.625%, 06/01/19 | 1,065 | ||||||
1,510 | 7.800%, 09/15/16 | 1,675 | ||||||
Bank of Montreal, (Canada), | ||||||||
1,666 | 1.400%, 09/11/17 | 1,676 | ||||||
1,106 | 2.550%, 11/06/22 | 1,076 | ||||||
Bank of Nova Scotia (The), (Canada), | ||||||||
1,034 | 1.650%, 10/29/15 (e) | 1,046 | ||||||
2,000 | 2.550%, 01/12/17 | 2,063 | ||||||
737 | 3.400%, 01/22/15 | 740 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), | ||||||||
1,275 | 2.350%, 02/23/17 (e) | 1,303 | ||||||
679 | 3.850%, 01/22/15 (e) | 683 | ||||||
1,600 | Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e) | 1,610 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
276 | 2.250%, 05/10/17 (e) | 284 | ||||||
800 | 2.500%, 09/21/15 (e) | 813 | ||||||
1,735 | 2.750%, 02/23/15 | 1,744 | ||||||
324 | 3.750%, 05/15/24 | 332 | ||||||
310 | Series 1, 5.000%, 09/22/16 | 332 | ||||||
1,000 | 6.050%, 12/04/17 (e) | 1,110 | ||||||
BB&T Corp., | ||||||||
750 | 3.950%, 04/29/16 | 783 | ||||||
740 | 5.250%, 11/01/19 | 835 | ||||||
380 | 6.850%, 04/30/19 | 454 | ||||||
632 | BNZ International Funding Ltd., (New Zealand), 2.350%, 03/04/19 (e) | 636 | ||||||
695 | Branch Banking & Trust Co., 5.625%, 09/15/16 | 750 | ||||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
226 | 0.900%, 10/01/15 | 227 | ||||||
4,000 | 2.600%, 07/02/15 (e) | 4,053 | ||||||
1,650 | Capital One Bank USA N.A., 3.375%, 02/15/23 | 1,637 | ||||||
Citigroup, Inc., | ||||||||
800 | 1.850%, 11/24/17 | 803 | ||||||
423 | 3.375%, 03/01/23 | 428 | ||||||
871 | 3.750%, 06/16/24 | 895 | ||||||
1,200 | 4.300%, 11/20/26 | 1,212 | ||||||
500 | 4.450%, 01/10/17 | 532 | ||||||
433 | 4.500%, 01/14/22 | 473 | ||||||
42 | 4.587%, 12/15/15 | 44 | ||||||
871 | 4.700%, 05/29/15 | 888 | ||||||
483 | 4.750%, 05/19/15 | 492 | ||||||
250 | 5.300%, 05/06/44 | 267 | ||||||
298 | 5.375%, 08/09/20 | 341 | ||||||
865 | 5.500%, 09/13/25 | 967 | ||||||
321 | 5.875%, 01/30/42 | 399 | ||||||
2,154 | 6.000%, 08/15/17 | 2,402 | ||||||
526 | 6.010%, 01/15/15 | 529 | ||||||
475 | 6.125%, 11/21/17 | 535 | ||||||
250 | 6.625%, 01/15/28 | 321 | ||||||
400 | 8.125%, 07/15/39 | 608 | ||||||
1,409 | 8.500%, 05/22/19 | 1,776 | ||||||
Comerica, Inc., | ||||||||
260 | 3.000%, 09/16/15 | 265 | ||||||
148 | 3.800%, 07/22/26 | 150 | ||||||
1,080 | Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e) | 1,110 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands), | ||||||||
143 | 2.125%, 10/13/15 | 145 | ||||||
2,400 | 3.200%, 03/11/15 (e) | 2,418 | ||||||
455 | 3.375%, 01/19/17 | 477 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Banks continued | ||||||||
789 | 3.875%, 02/08/22 | 842 | ||||||
500 | 5.800%, 09/30/10 (e) | 572 | ||||||
Discover Bank, | ||||||||
1,000 | 3.200%, 08/09/21 | 1,008 | ||||||
601 | 4.200%, 08/08/23 | 629 | ||||||
2,011 | DNB Boligkreditt A.S., (Norway), 2.100%, 10/14/15 (e) | 2,046 | ||||||
Fifth Third Bancorp, | ||||||||
70 | 2.300%, 03/01/19 | 71 | ||||||
760 | 5.450%, 01/15/17 | 821 | ||||||
Fifth Third Bank, | ||||||||
600 | 2.375%, 04/25/19 | 606 | ||||||
340 | 2.875%, 10/01/21 | 340 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
1,438 | 1.500%, 05/15/18 (e) | 1,428 | ||||||
666 | 4.125%, 08/12/20 (e) | 724 | ||||||
575 | 4.750%, 01/19/21 (e) | 643 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
500 | 4.000%, 03/30/22 | 535 | ||||||
530 | 4.875%, 01/14/22 | 594 | ||||||
556 | 5.100%, 04/05/21 | 631 | ||||||
600 | 6.100%, 01/14/42 | 787 | ||||||
680 | Industrial & Commercial Bank of China Ltd., (China), 2.351%, 11/13/17 | 681 | ||||||
300 | KeyCorp, 5.100%, 03/24/21 | 338 | ||||||
2,100 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 2,400 | ||||||
623 | Mizuho Bank Ltd., (Japan), 2.650%, 09/25/19 (e) | 631 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
1,500 | 2.000%, 06/20/17 (e) | 1,533 | ||||||
750 | 2.750%, 09/28/15 (e) | 763 | ||||||
1,000 | 3.000%, 07/27/16 (e) | 1,035 | ||||||
795 | 3.750%, 03/02/15 (e) | 802 | ||||||
250 | National City Bank, 5.800%, 06/07/17 | 277 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
1,000 | 1.625%, 05/15/18 (e) | 997 | ||||||
1,800 | 3.125%, 03/20/17 (e) | 1,877 | ||||||
945 | 4.875%, 05/13/21 (e) | 1,034 | ||||||
837 | Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e) | 839 | ||||||
400 | PNC Bank N.A., 6.875%, 04/01/18 | 465 | ||||||
182 | PNC Financial Services Group, Inc. (The), 3.900%, 04/29/24 | 185 | ||||||
PNC Funding Corp., | ||||||||
709 | 3.300%, 03/08/22 | 728 | ||||||
567 | 4.375%, 08/11/20 | 622 | ||||||
970 | 5.250%, 11/15/15 | 1,009 | ||||||
950 | 5.625%, 02/01/17 | 1,033 | ||||||
595 | 6.700%, 06/10/19 | 710 | ||||||
Royal Bank of Canada, (Canada), | ||||||||
985 | 1.200%, 09/19/17 | 983 | ||||||
1,789 | 2.000%, 10/01/18 | 1,822 | ||||||
1,000 | 2.200%, 07/27/18 | 1,016 | ||||||
402 | Skandinaviska Enskilda Banken AB, (Sweden), 1.750%, 03/19/18 (e) | 403 | ||||||
927 | SpareBank 1 Boligkreditt A.S., (Norway), 1.750%, 11/15/19 (e) | 920 | ||||||
1,148 | Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e) | 1,144 | ||||||
1,300 | Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e) | 1,383 | ||||||
880 | SunTrust Banks, Inc., 6.000%, 09/11/17 | 987 | ||||||
1,411 | Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16 | 1,465 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
2,350 | 1.500%, 03/13/17 (e) | 2,375 | ||||||
1,140 | 2.200%, 07/29/15 (e) | 1,154 | ||||||
521 | 2.250%, 11/05/19 | 523 | ||||||
U.S. Bancorp, | ||||||||
550 | 1.650%, 05/15/17 | 557 | ||||||
675 | 2.450%, 07/27/15 | 684 | ||||||
540 | 3.000%, 03/15/22 | 549 | ||||||
566 | 4.125%, 05/24/21 | 618 | ||||||
1,277 | 7.500%, 06/01/26 | 1,715 | ||||||
4,780 | Wachovia Corp., 5.750%, 02/01/18 | 5,398 | ||||||
Wells Fargo & Co., | ||||||||
1,826 | 2.625%, 12/15/16 | 1,886 | ||||||
850 | 3.500%, 03/08/22 | 888 | ||||||
484 | 4.100%, 06/03/26 | 496 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Banks continued | ||||||||
702 | 4.480%, 01/16/24 | 749 | ||||||
500 | 4.600%, 04/01/21 | 555 | ||||||
920 | 4.650%, 11/04/44 | 935 | ||||||
1,280 | 5.606%, 01/15/44 | 1,490 | ||||||
2,350 | 5.625%, 12/11/17 | 2,632 | ||||||
1,045 | SUB, 3.676%, 06/15/16 | 1,091 | ||||||
Wells Fargo Bank N.A., | ||||||||
1,515 | Series AI, 4.750%, 02/09/15 | 1,527 | ||||||
1,000 | 5.600%, 03/15/16 | 1,062 | ||||||
250 | 5.750%, 05/16/16 | 268 | ||||||
250 | 6.000%, 11/15/17 | 283 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
900 | 4.200%, 02/27/15 | 908 | ||||||
2,141 | 4.875%, 11/19/19 | 2,407 | ||||||
|
|
|||||||
139,230 | ||||||||
|
|
|||||||
Capital Markets 1.6% | ||||||||
1,500 | Ameriprise Financial, Inc., 4.000%, 10/15/23 | 1,587 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
357 | 1.200%, 02/20/15 | 357 | ||||||
1,789 | 2.400%, 01/17/17 | 1,840 | ||||||
900 | Series 1, 2.950%, 06/18/15 | 913 | ||||||
700 | 3.250%, 09/11/24 | 707 | ||||||
413 | 3.550%, 09/23/21 | 432 | ||||||
950 | 3.650%, 02/04/24 | 993 | ||||||
760 | 4.600%, 01/15/20 | 846 | ||||||
BlackRock, Inc., | ||||||||
660 | 3.375%, 06/01/22 | 683 | ||||||
540 | 3.500%, 12/10/14 | 540 | ||||||
540 | 3.500%, 03/18/24 | 554 | ||||||
867 | Series 2, 5.000%, 12/10/19 | 988 | ||||||
385 | 6.250%, 09/15/17 | 436 | ||||||
1,940 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 2,264 | ||||||
340 | Charles Schwab Corp. (The), 3.225%, 09/01/22 | 347 | ||||||
Credit Suisse, (Switzerland), | ||||||||
728 | 2.300%, 05/28/19 | 731 | ||||||
271 | 3.000%, 10/29/21 | 271 | ||||||
402 | 3.625%, 09/09/24 | 410 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
200 | 1.350%, 05/30/17 | 200 | ||||||
450 | 3.250%, 01/11/16 | 462 | ||||||
355 | 6.000%, 09/01/17 | 397 | ||||||
500 | FMR LLC, 6.450%, 11/15/39 (e) | 648 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
952 | 2.550%, 10/23/19 | 951 | ||||||
545 | 2.625%, 01/31/19 | 552 | ||||||
764 | 2.900%, 07/19/18 | 786 | ||||||
400 | 3.300%, 05/03/15 | 405 | ||||||
3,060 | 3.625%, 02/07/16 | 3,156 | ||||||
492 | 3.700%, 08/01/15 | 502 | ||||||
800 | 4.000%, 03/03/24 | 829 | ||||||
848 | 5.250%, 07/27/21 | 956 | ||||||
1,366 | 5.375%, 03/15/20 | 1,540 | ||||||
800 | 5.750%, 01/24/22 | 926 | ||||||
4,310 | 5.950%, 01/18/18 | 4,836 | ||||||
949 | Series D, 6.000%, 06/15/20 | 1,099 | ||||||
420 | 6.150%, 04/01/18 | 476 | ||||||
685 | 6.750%, 10/01/37 | 848 | ||||||
2,678 | 7.500%, 02/15/19 | 3,210 | ||||||
ING Bank N.V., (Netherlands), | ||||||||
500 | 1.375%, 03/07/16 (e) | 503 | ||||||
216 | 2.000%, 09/25/15 (e) | 218 | ||||||
1,445 | 3.750%, 03/07/17 (e) | 1,524 | ||||||
657 | Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24 | 690 | ||||||
Jefferies Group LLC, | ||||||||
450 | 3.875%, 11/09/15 | 461 | ||||||
1,015 | 5.125%, 04/13/18 | 1,103 | ||||||
1,010 | 6.450%, 06/08/27 | 1,145 | ||||||
325 | 6.875%, 04/15/21 | 377 | ||||||
555 | 8.500%, 07/15/19 | 681 | ||||||
Macquarie Bank Ltd., (Australia), | ||||||||
373 | 2.000%, 08/15/16 (e) | 380 | ||||||
291 | 2.600%, 06/24/19 (e) | 295 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Capital Markets continued | ||||||||
2,847 | 5.000%, 02/22/17 (e) | 3,067 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
1,200 | 6.000%, 01/14/20 (e) | 1,367 | ||||||
1,650 | 6.250%, 01/14/21 (e) | 1,903 | ||||||
Morgan Stanley, | ||||||||
179 | 1.750%, 02/25/16 | 181 | ||||||
1,250 | 3.700%, 10/23/24 | 1,269 | ||||||
625 | 4.000%, 07/24/15 | 639 | ||||||
480 | 4.350%, 09/08/26 | 487 | ||||||
871 | 5.000%, 11/24/25 | 935 | ||||||
1,000 | 5.450%, 01/09/17 | 1,084 | ||||||
1,021 | 5.500%, 07/24/20 | 1,160 | ||||||
380 | 5.500%, 07/28/21 | 436 | ||||||
1,265 | 5.625%, 09/23/19 | 1,442 | ||||||
360 | 5.750%, 01/25/21 | 415 | ||||||
400 | 6.625%, 04/01/18 | 460 | ||||||
970 | 7.300%, 05/13/19 | 1,165 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
1,050 | 4.125%, 01/19/16 | 1,085 | ||||||
150 | 5.000%, 03/04/15 | 152 | ||||||
547 | 6.700%, 03/04/20 | 652 | ||||||
State Street Corp., | ||||||||
369 | 3.100%, 05/15/23 | 362 | ||||||
1,164 | 3.700%, 11/20/23 | 1,220 | ||||||
UBS AG, (Switzerland), | ||||||||
1,337 | 3.875%, 01/15/15 | 1,342 | ||||||
365 | 4.875%, 08/04/20 | 411 | ||||||
244 | 5.750%, 04/25/18 | 276 | ||||||
247 | 5.875%, 12/20/17 | 278 | ||||||
|
|
|||||||
66,843 | ||||||||
|
|
|||||||
Consumer Finance 0.8% | ||||||||
700 | American Express Co., 7.000%, 03/19/18 | 817 | ||||||
American Express Credit Corp., | ||||||||
480 | 2.375%, 03/24/17 | 493 | ||||||
1,028 | 2.800%, 09/19/16 | 1,064 | ||||||
American Honda Finance Corp., | ||||||||
667 | 1.450%, 02/27/15 (e) | 669 | ||||||
363 | 1.500%, 09/11/17 (e) | 365 | ||||||
533 | 1.600%, 02/16/18 (e) | 534 | ||||||
565 | 2.125%, 02/28/17 (e) | 577 | ||||||
417 | 2.250%, 08/15/19 | 421 | ||||||
1,599 | 2.600%, 09/20/16 (e) | 1,649 | ||||||
150 | 7.625%, 10/01/18 (e) | 182 | ||||||
Capital One Financial Corp., | ||||||||
273 | 1.000%, 11/06/15 | 274 | ||||||
1,281 | 3.500%, 06/15/23 | 1,288 | ||||||
Caterpillar Financial Services Corp., | ||||||||
882 | 2.250%, 12/01/19 | 887 | ||||||
402 | 2.850%, 06/01/22 | 403 | ||||||
560 | 5.500%, 03/15/16 | 595 | ||||||
340 | 7.050%, 10/01/18 | 404 | ||||||
585 | 7.150%, 02/15/19 | 705 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
472 | 1.684%, 09/08/17 | 470 | ||||||
513 | 2.375%, 03/12/19 | 512 | ||||||
1,653 | 3.000%, 06/12/17 | 1,704 | ||||||
1,917 | 3.984%, 06/15/16 | 1,996 | ||||||
561 | 4.207%, 04/15/16 | 584 | ||||||
200 | 4.250%, 09/20/22 | 212 | ||||||
803 | VAR, 1.482%, 05/09/16 | 812 | ||||||
HSBC Finance Corp., | ||||||||
3,538 | 5.000%, 06/30/15 | 3,626 | ||||||
207 | 7.350%, 11/27/32 | 265 | ||||||
HSBC USA, Inc., | ||||||||
800 | 1.625%, 01/16/18 | 802 | ||||||
1,500 | 2.375%, 02/13/15 | 1,506 | ||||||
John Deere Capital Corp., | ||||||||
759 | 1.200%, 10/10/17 | 760 | ||||||
335 | 1.700%, 01/15/20 | 327 | ||||||
400 | 2.250%, 04/17/19 | 405 | ||||||
233 | 3.150%, 10/15/21 | 241 | ||||||
874 | Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e) | 875 | ||||||
663 | PACCAR Financial Corp., 1.600%, 03/15/17 | 672 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Consumer Finance continued | ||||||||
Toyota Motor Credit Corp., | ||||||||
1,120 | 1.000%, 02/17/15 | 1,122 | ||||||
2,480 | 2.000%, 09/15/16 | 2,535 | ||||||
558 | 2.000%, 10/24/18 | 566 | ||||||
962 | 3.200%, 06/17/15 | 977 | ||||||
|
|
|||||||
32,296 | ||||||||
|
|
|||||||
Diversified Financial Services 1.1% | ||||||||
1,231 | Associates Corp. of North America, 6.950%, 11/01/18 | 1,449 | ||||||
1,455 | Bank of America N.A., 5.300%, 03/15/17 | 1,575 | ||||||
Berkshire Hathaway, Inc., | ||||||||
2,498 | 3.400%, 01/31/22 | 2,607 | ||||||
840 | 3.750%, 08/15/21 | 903 | ||||||
725 | Caisse Centrale Desjardins, (Canada), 2.550%, 03/24/16 (e) | 744 | ||||||
CME Group, Inc., | ||||||||
1,230 | 3.000%, 09/15/22 | 1,253 | ||||||
285 | 5.300%, 09/15/43 | 341 | ||||||
400 | Countrywide Financial Corp., 6.250%, 05/15/16 | 428 | ||||||
General Electric Capital Corp., | ||||||||
167 | 1.000%, 12/11/15 | 168 | ||||||
1,100 | 1.625%, 07/02/15 | 1,109 | ||||||
750 | 2.300%, 04/27/17 | 772 | ||||||
2,000 | 3.150%, 09/07/22 | 2,044 | ||||||
650 | 4.625%, 01/07/21 | 727 | ||||||
2,100 | 4.650%, 10/17/21 | 2,354 | ||||||
191 | 5.300%, 02/11/21 | 218 | ||||||
2,500 | 5.400%, 02/15/17 | 2,737 | ||||||
1,785 | 5.500%, 01/08/20 | 2,063 | ||||||
4,380 | 5.625%, 05/01/18 | 4,963 | ||||||
330 | 5.875%, 01/14/38 | 410 | ||||||
2,772 | Series A, 6.750%, 03/15/32 | 3,717 | ||||||
Intercontinental Exchange, Inc., | ||||||||
447 | 2.500%, 10/15/18 | 457 | ||||||
884 | 4.000%, 10/15/23 | 934 | ||||||
300 | Murray Street Investment Trust I, SUB, 4.647%, 03/09/17 | 320 | ||||||
290 | National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18 | 382 | ||||||
550 | Principal Life Global Funding I, 5.050%, 03/15/15 (e) | 557 | ||||||
Private Export Funding Corp., | ||||||||
5,000 | Series EE, 2.800%, 05/15/22 | 5,088 | ||||||
681 | Series KK, 3.550%, 01/15/24 | 722 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
212 | 1.125%, 08/21/17 | 212 | ||||||
1,020 | 4.300%, 09/22/19 | 1,127 | ||||||
1,005 | 4.375%, 03/25/20 | 1,115 | ||||||
1,280 | 6.375%, 12/15/38 | 1,724 | ||||||
300 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 327 | ||||||
|
|
|||||||
43,547 | ||||||||
|
|
|||||||
Insurance 0.9% | ||||||||
ACE INA Holdings, Inc., | ||||||||
455 | 2.600%, 11/23/15 | 464 | ||||||
410 | 5.600%, 05/15/15 | 419 | ||||||
520 | AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e) | 706 | ||||||
651 | Allstate Corp. (The), 3.150%, 06/15/23 | 654 | ||||||
American International Group, Inc., | ||||||||
471 | 4.125%, 02/15/24 | 501 | ||||||
3,020 | 5.450%, 05/18/17 | 3,316 | ||||||
Aon Corp., | ||||||||
402 | 3.125%, 05/27/16 | 414 | ||||||
346 | 3.500%, 09/30/15 | 354 | ||||||
306 | 6.250%, 09/30/40 | 381 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
404 | 1.300%, 05/15/18 | 402 | ||||||
233 | 2.450%, 12/15/15 | 238 | ||||||
233 | 3.000%, 05/15/22 | 236 | ||||||
748 | 4.300%, 05/15/43 | 767 | ||||||
1,574 | 4.400%, 05/15/42 | 1,630 | ||||||
1,810 | 5.400%, 05/15/18 | 2,041 | ||||||
120 | Chubb Corp. (The), 5.750%, 05/15/18 | 137 | ||||||
CNA Financial Corp., | ||||||||
750 | 5.850%, 12/15/14 | 751 | ||||||
798 | 5.875%, 08/15/20 | 919 | ||||||
408 | Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e) | 448 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Insurance continued | ||||||||
Lincoln National Corp., | ||||||||
345 | 4.200%, 03/15/22 | 366 | ||||||
253 | 4.850%, 06/24/21 | 280 | ||||||
280 | Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e) | 322 | ||||||
MassMutual Global Funding II, | ||||||||
1,500 | 2.000%, 04/05/17 (e) | 1,529 | ||||||
626 | 2.500%, 10/17/22 (e) | 609 | ||||||
540 | 3.125%, 04/14/16 (e) | 558 | ||||||
MetLife, Inc., | ||||||||
600 | 4.875%, 11/13/43 | 662 | ||||||
555 | Series A, 6.817%, 08/15/18 | 652 | ||||||
Metropolitan Life Global Funding I, | ||||||||
638 | 1.300%, 04/10/17 (e) | 639 | ||||||
604 | 1.500%, 01/10/18 (e) | 605 | ||||||
300 | 1.875%, 06/22/18 (e) | 302 | ||||||
820 | 2.500%, 09/29/15 (e) | 833 | ||||||
400 | 3.125%, 01/11/16 (e) | 412 | ||||||
1,900 | 3.650%, 06/14/18 (e) | 2,023 | ||||||
1,277 | 3.875%, 04/11/22 (e) | 1,353 | ||||||
1,750 | Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) | 2,736 | ||||||
New York Life Global Funding, | ||||||||
740 | 0.750%, 07/24/15 (e) | 742 | ||||||
350 | 1.300%, 01/12/15 (e) | 350 | ||||||
951 | 2.150%, 06/18/19 (e) | 958 | ||||||
650 | Pacific Life Global Funding, 5.000%, 05/15/17 (e) | 697 | ||||||
570 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 903 | ||||||
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) | 965 | ||||||
1,750 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 2,395 | ||||||
285 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 325 | ||||||
|
|
|||||||
36,847 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.3% | ||||||||
American Tower Corp., | ||||||||
450 | 3.500%, 01/31/23 | 437 | ||||||
567 | 5.000%, 02/15/24 | 604 | ||||||
471 | American Tower Trust I, Class 1A, 1.551%, 03/15/18 (e) | 469 | ||||||
Equity Commonwealth, | ||||||||
600 | 5.875%, 09/15/20 | 663 | ||||||
1,345 | 6.650%, 01/15/18 | 1,482 | ||||||
608 | ERP Operating LP, 4.625%, 12/15/21 | 670 | ||||||
HCP, Inc., | ||||||||
492 | 2.625%, 02/01/20 | 489 | ||||||
234 | 3.875%, 08/15/24 | 237 | ||||||
230 | 4.200%, 03/01/24 | 239 | ||||||
598 | 4.250%, 11/15/23 | 625 | ||||||
970 | 5.375%, 02/01/21 | 1,090 | ||||||
732 | Health Care REIT, Inc., 4.500%, 01/15/24 | 771 | ||||||
534 | Prologis LP, 4.250%, 08/15/23 | 564 | ||||||
Simon Property Group LP, | ||||||||
917 | 2.150%, 09/15/17 | 938 | ||||||
1,400 | 3.375%, 10/01/24 | 1,421 | ||||||
579 | 4.125%, 12/01/21 | 630 | ||||||
200 | 4.375%, 03/01/21 | 219 | ||||||
345 | 6.125%, 05/30/18 | 396 | ||||||
|
|
|||||||
11,944 | ||||||||
|
|
|||||||
Total Financials | 330,707 | |||||||
|
|
|||||||
Health Care 0.7% | ||||||||
Biotechnology 0.3% | ||||||||
Amgen, Inc., | ||||||||
491 | 3.625%, 05/22/24 | 496 | ||||||
1,000 | 3.875%, 11/15/21 | 1,058 | ||||||
237 | 4.500%, 03/15/20 | 261 | ||||||
500 | 4.950%, 10/01/41 | 528 | ||||||
2,000 | 5.150%, 11/15/41 | 2,177 | ||||||
265 | 5.650%, 06/15/42 | 308 | ||||||
680 | 5.700%, 02/01/19 | 769 | ||||||
720 | 5.750%, 03/15/40 | 836 | ||||||
Celgene Corp., | ||||||||
1,336 | 3.250%, 08/15/22 | 1,347 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Biotechnology continued | ||||||||
659 | 3.625%, 05/15/24 | 669 | ||||||
632 | Gilead Sciences, Inc., 3.500%, 02/01/25 | 651 | ||||||
|
|
|||||||
9,100 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.0% (g) | ||||||||
Baxter International, Inc., | ||||||||
286 | 1.850%, 06/15/18 | 286 | ||||||
270 | 4.625%, 03/15/15 | 273 | ||||||
100 | Becton Dickinson and Co., 5.000%, 05/15/19 | 111 | ||||||
|
|
|||||||
670 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.2% | ||||||||
Aetna, Inc., | ||||||||
265 | 4.500%, 05/15/42 | 267 | ||||||
440 | 6.750%, 12/15/37 | 576 | ||||||
540 | Cardinal Health, Inc., 2.400%, 11/15/19 | 542 | ||||||
900 | Express Scripts Holding Co., 3.500%, 06/15/24 | 897 | ||||||
164 | McKesson Corp., 0.950%, 12/04/15 | 164 | ||||||
370 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 376 | ||||||
UnitedHealth Group, Inc., | ||||||||
173 | 2.750%, 02/15/23 | 170 | ||||||
400 | 2.875%, 03/15/23 | 397 | ||||||
1,050 | 3.375%, 11/15/21 | 1,103 | ||||||
620 | 6.625%, 11/15/37 | 827 | ||||||
353 | Ventas Realty LP, 3.750%, 05/01/24 | 354 | ||||||
WellPoint, Inc., | ||||||||
467 | 2.300%, 07/15/18 | 472 | ||||||
615 | 3.125%, 05/15/22 | 614 | ||||||
280 | 3.300%, 01/15/23 | 280 | ||||||
500 | 4.625%, 05/15/42 | 508 | ||||||
535 | 4.650%, 01/15/43 | 549 | ||||||
648 | 4.650%, 08/15/44 | 668 | ||||||
|
|
|||||||
8,764 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 0.0% (g) | ||||||||
Thermo Fisher Scientific, Inc., | ||||||||
176 | 1.300%, 02/01/17 | 176 | ||||||
687 | 4.150%, 02/01/24 | 725 | ||||||
|
|
|||||||
901 | ||||||||
|
|
|||||||
Pharmaceuticals 0.2% | ||||||||
AbbVie, Inc., | ||||||||
992 | 1.750%, 11/06/17 | 997 | ||||||
609 | 2.900%, 11/06/22 | 596 | ||||||
275 | Actavis, Inc., 3.250%, 10/01/22 | 269 | ||||||
395 | Bayer U.S. Finance LLC, 2.375%, 10/08/19 (e) | 397 | ||||||
937 | Forest Laboratories, Inc., 5.000%, 12/15/21 (e) | 1,019 | ||||||
GlaxoSmithKline Capital, Inc., | ||||||||
750 | 5.650%, 05/15/18 | 850 | ||||||
530 | 6.375%, 05/15/38 | 692 | ||||||
Merck & Co., Inc., | ||||||||
650 | 1.300%, 05/18/18 | 646 | ||||||
474 | 2.400%, 09/15/22 | 461 | ||||||
562 | 2.800%, 05/18/23 | 560 | ||||||
560 | Novartis Capital Corp., 3.400%, 05/06/24 | 580 | ||||||
650 | Pfizer, Inc., 3.000%, 06/15/23 | 653 | ||||||
Zoetis, Inc., | ||||||||
193 | 1.875%, 02/01/18 | 191 | ||||||
123 | 4.700%, 02/01/43 | 121 | ||||||
|
|
|||||||
8,032 | ||||||||
|
|
|||||||
Total Health Care | 27,467 | |||||||
|
|
|||||||
Industrials 1.2% | ||||||||
Aerospace & Defense 0.2% | ||||||||
557 | Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e) | 545 | ||||||
BAE Systems Holdings, Inc., | ||||||||
500 | 3.800%, 10/07/24 (e) | 512 | ||||||
400 | 6.375%, 06/01/19 (e) | 468 | ||||||
676 | BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e) | 809 | ||||||
200 | Boeing Co. (The), 7.950%, 08/15/24 | 281 | ||||||
415 | Honeywell International, Inc., 5.300%, 03/01/18 | 465 | ||||||
Lockheed Martin Corp., | ||||||||
387 | 2.125%, 09/15/16 | 396 | ||||||
1,281 | 4.070%, 12/15/42 | 1,273 | ||||||
292 | 4.850%, 09/15/41 | 326 | ||||||
300 | Northrop Grumman Systems Corp., 7.750%, 02/15/31 | 422 | ||||||
215 | Precision Castparts Corp., 0.700%, 12/20/15 | 215 | ||||||
340 | Raytheon Co., 3.150%, 12/15/24 | 341 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Aerospace & Defense continued | ||||||||
United Technologies Corp., | ||||||||
214 | 1.800%, 06/01/17 | 218 | ||||||
681 | 3.100%, 06/01/22 | 698 | ||||||
914 | 4.500%, 06/01/42 | 987 | ||||||
1,261 | 6.125%, 02/01/19 | 1,476 | ||||||
|
|
|||||||
9,432 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.0% (g) | ||||||||
United Parcel Service of America, Inc., | ||||||||
355 | 8.375%, 04/01/20 | 461 | ||||||
160 | SUB, 8.375%, 04/01/30 | 236 | ||||||
214 | United Parcel Service, Inc., 2.450%, 10/01/22 | 210 | ||||||
|
|
|||||||
907 | ||||||||
|
|
|||||||
Airlines 0.1% | ||||||||
420 | Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e) | 424 | ||||||
235 | American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 | 253 | ||||||
649 | American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23 | 695 | ||||||
210 | Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 | 235 | ||||||
413 | Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 | 453 | ||||||
201 | Continental Airlines 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24 | 204 | ||||||
448 | Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 477 | ||||||
167 | Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19 | 181 | ||||||
417 | Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20 | 444 | ||||||
|
|
|||||||
3,366 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.1% | ||||||||
ADT Corp. (The), | ||||||||
820 | 3.500%, 07/15/22 | 717 | ||||||
264 | 4.125%, 06/15/23 | 240 | ||||||
328 | 4.875%, 07/15/42 | 271 | ||||||
200 | Pitney Bowes, Inc., 5.600%, 03/15/18 | 221 | ||||||
614 | Republic Services, Inc., 3.550%, 06/01/22 | 631 | ||||||
Waste Management, Inc., | ||||||||
214 | 4.750%, 06/30/20 | 237 | ||||||
465 | 7.375%, 03/11/19 | 562 | ||||||
|
|
|||||||
2,879 | ||||||||
|
|
|||||||
Construction & Engineering 0.1% | ||||||||
ABB Finance USA, Inc., | ||||||||
226 | 1.625%, 05/08/17 | 228 | ||||||
292 | 2.875%, 05/08/22 | 293 | ||||||
145 | 4.375%, 05/08/42 | 153 | ||||||
789 | Fluor Corp., 3.375%, 09/15/21 | 810 | ||||||
|
|
|||||||
1,484 | ||||||||
|
|
|||||||
Electrical Equipment 0.0% (g) | ||||||||
Eaton Corp., | ||||||||
182 | 1.500%, 11/02/17 | 182 | ||||||
170 | 4.000%, 11/02/32 | 171 | ||||||
570 | 5.600%, 05/15/18 | 640 | ||||||
300 | 7.625%, 04/01/24 | 387 | ||||||
|
|
|||||||
1,380 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% | ||||||||
667 | Danaher Corp., 3.900%, 06/23/21 | 723 | ||||||
General Electric Co., | ||||||||
212 | 2.700%, 10/09/22 | 211 | ||||||
436 | 3.375%, 03/11/24 | 452 | ||||||
539 | Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e) | 539 | ||||||
412 | Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23 | 433 | ||||||
Koninklijke Philips N.V., (Netherlands), | ||||||||
970 | 3.750%, 03/15/22 | 1,008 | ||||||
409 | 5.750%, 03/11/18 | 459 | ||||||
130 | 7.200%, 06/01/26 | 165 | ||||||
|
|
|||||||
3,990 | ||||||||
|
|
|||||||
Machinery 0.1% | ||||||||
164 | Caterpillar, Inc., 2.600%, 06/26/22 | 162 | ||||||
Deere & Co., | ||||||||
819 | 2.600%, 06/08/22 | 812 | ||||||
346 | 3.900%, 06/09/42 | 342 | ||||||
Illinois Tool Works, Inc., | ||||||||
400 | 3.500%, 03/01/24 | 416 | ||||||
1,920 | 3.900%, 09/01/42 | 1,890 | ||||||
290 | Ingersoll-Rand Co., 6.391%, 11/15/27 | 347 | ||||||
215 | Parker Hannifin Corp., 5.500%, 05/15/18 | 242 | ||||||
592 | Parker-Hannifin Corp., 4.450%, 11/21/44 | 617 | ||||||
|
|
|||||||
4,828 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Road & Rail 0.5% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
200 | 3.000%, 03/15/23 | 199 | ||||||
522 | 3.050%, 03/15/22 | 527 | ||||||
300 | 3.450%, 09/15/21 | 314 | ||||||
136 | 3.600%, 09/01/20 | 144 | ||||||
249 | 3.750%, 04/01/24 | 260 | ||||||
375 | 4.375%, 09/01/42 | 376 | ||||||
769 | 5.150%, 09/01/43 | 869 | ||||||
1,000 | 5.400%, 06/01/41 | 1,164 | ||||||
540 | 5.650%, 05/01/17 | 596 | ||||||
335 | 5.750%, 03/15/18 | 381 | ||||||
425 | 5.750%, 05/01/40 | 514 | ||||||
250 | 6.700%, 08/01/28 | 320 | ||||||
250 | Canadian Pacific Railway Co., (Canada), 7.125%, 10/15/31 | 340 | ||||||
CSX Corp., | ||||||||
400 | 3.400%, 08/01/24 | 404 | ||||||
191 | 4.100%, 03/15/44 | 184 | ||||||
300 | 4.250%, 06/01/21 | 328 | ||||||
575 | 5.500%, 04/15/41 | 680 | ||||||
49 | 6.250%, 04/01/15 | 50 | ||||||
215 | 7.375%, 02/01/19 | 260 | ||||||
500 | 7.900%, 05/01/17 | 576 | ||||||
ERAC USA Finance LLC, | ||||||||
355 | 2.750%, 03/15/17 (e) | 367 | ||||||
559 | 4.500%, 08/16/21 (e) | 609 | ||||||
436 | 5.625%, 03/15/42 (e) | 504 | ||||||
350 | 6.375%, 10/15/17 (e) | 396 | ||||||
746 | 6.700%, 06/01/34 (e) | 961 | ||||||
Norfolk Southern Corp., | ||||||||
746 | 3.250%, 12/01/21 | 770 | ||||||
595 | 3.950%, 10/01/42 | 578 | ||||||
100 | 6.000%, 03/15/05 | 124 | ||||||
1,776 | 6.000%, 05/23/11 | 2,248 | ||||||
365 | 7.700%, 05/15/17 | 421 | ||||||
479 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e) | 489 | ||||||
Ryder System, Inc., | ||||||||
484 | 2.500%, 03/01/17 | 494 | ||||||
434 | 3.600%, 03/01/16 | 448 | ||||||
Union Pacific Corp., | ||||||||
182 | 2.950%, 01/15/23 | 184 | ||||||
838 | 3.646%, 02/15/24 | 884 | ||||||
710 | 4.163%, 07/15/22 | 780 | ||||||
200 | 4.300%, 06/15/42 | 208 | ||||||
235 | 4.875%, 01/15/15 | 236 | ||||||
|
|
|||||||
19,187 | ||||||||
|
|
|||||||
Total Industrials | 47,453 | |||||||
|
|
|||||||
Information Technology 1.1% | ||||||||
Communications Equipment 0.1% | ||||||||
Cisco Systems, Inc., | ||||||||
197 | 2.900%, 03/04/21 | 203 | ||||||
500 | 3.625%, 03/04/24 | 522 | ||||||
988 | 5.500%, 02/22/16 | 1,048 | ||||||
350 | 5.500%, 01/15/40 | 418 | ||||||
755 | 5.900%, 02/15/39 | 933 | ||||||
|
|
|||||||
3,124 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% | ||||||||
Arrow Electronics, Inc., | ||||||||
219 | 3.000%, 03/01/18 | 226 | ||||||
575 | 3.375%, 11/01/15 | 587 | ||||||
190 | 4.500%, 03/01/23 | 197 | ||||||
165 | 6.000%, 04/01/20 | 189 | ||||||
500 | 6.875%, 06/01/18 | 571 | ||||||
1,163 | 7.500%, 01/15/27 | 1,426 | ||||||
|
|
|||||||
3,196 | ||||||||
|
|
|||||||
Internet Software & Services 0.0% (g) | ||||||||
eBay, Inc., | ||||||||
937 | 2.600%, 07/15/22 | 887 | ||||||
563 | 2.875%, 08/01/21 | 556 | ||||||
500 | 3.450%, 08/01/24 | 491 | ||||||
271 | 4.000%, 07/15/42 | 234 | ||||||
|
|
|||||||
2,168 | ||||||||
|
|
|||||||
IT Services 0.3% | ||||||||
International Business Machines Corp., | ||||||||
409 | 1.250%, 02/06/17 | 412 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
IT Services continued | ||||||||
3,267 | 1.625%, 05/15/20 | 3,157 | ||||||
2,600 | 5.700%, 09/14/17 | 2,917 | ||||||
765 | 6.220%, 08/01/27 | 977 | ||||||
1,075 | 7.625%, 10/15/18 | 1,306 | ||||||
Xerox Corp., | ||||||||
271 | 2.950%, 03/15/17 | 280 | ||||||
270 | 4.500%, 05/15/21 | 290 | ||||||
610 | 5.625%, 12/15/19 | 691 | ||||||
550 | 6.750%, 02/01/17 | 611 | ||||||
|
|
|||||||
10,641 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.1% | ||||||||
Intel Corp., | ||||||||
772 | 3.300%, 10/01/21 | 810 | ||||||
685 | 4.000%, 12/15/32 | 685 | ||||||
1,460 | National Semiconductor Corp., 6.600%, 06/15/17 | 1,658 | ||||||
365 | Texas Instruments, Inc., 1.650%, 08/03/19 | 359 | ||||||
|
|
|||||||
3,512 | ||||||||
|
|
|||||||
Software 0.2% | ||||||||
470 | Intuit, Inc., 5.750%, 03/15/17 | 516 | ||||||
Microsoft Corp., | ||||||||
262 | 0.875%, 11/15/17 | 260 | ||||||
720 | 1.625%, 09/25/15 | 728 | ||||||
384 | 2.125%, 11/15/22 | 373 | ||||||
810 | 2.375%, 05/01/23 | 798 | ||||||
1,155 | 3.625%, 12/15/23 | 1,236 | ||||||
117 | 4.500%, 10/01/40 | 126 | ||||||
Oracle Corp., | ||||||||
586 | Series NOTE, 2.800%, 07/08/21 | 594 | ||||||
1,000 | 3.625%, 07/15/23 | 1,049 | ||||||
457 | 4.300%, 07/08/34 | 477 | ||||||
500 | 5.000%, 07/08/19 | 564 | ||||||
1,422 | 5.250%, 01/15/16 | 1,498 | ||||||
813 | 5.750%, 04/15/18 | 924 | ||||||
475 | 6.500%, 04/15/38 | 628 | ||||||
|
|
|||||||
9,771 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.3% | ||||||||
Apple, Inc., | ||||||||
2,556 | 2.400%, 05/03/23 | 2,492 | ||||||
2,364 | 2.850%, 05/06/21 | 2,424 | ||||||
2,069 | VAR, 0.482%, 05/03/18 | 2,071 | ||||||
300 | Dell, Inc., 7.100%, 04/15/28 | 306 | ||||||
EMC Corp., | ||||||||
850 | 1.875%, 06/01/18 | 846 | ||||||
1,000 | 3.375%, 06/01/23 | 997 | ||||||
Hewlett-Packard Co., | ||||||||
282 | 4.300%, 06/01/21 | 295 | ||||||
472 | 4.375%, 09/15/21 | 499 | ||||||
201 | 4.650%, 12/09/21 | 214 | ||||||
849 | 6.000%, 09/15/41 | 943 | ||||||
|
|
|||||||
11,087 | ||||||||
|
|
|||||||
Total Information Technology | 43,499 | |||||||
|
|
|||||||
Materials 0.6% | ||||||||
Chemicals 0.4% | ||||||||
757 | Agrium, Inc., (Canada), 5.250%, 01/15/45 | 802 | ||||||
500 | CF Industries, Inc., 7.125%, 05/01/20 | 602 | ||||||
Dow Chemical Co. (The), | ||||||||
542 | 3.000%, 11/15/22 | 536 | ||||||
850 | 3.500%, 10/01/24 | 847 | ||||||
470 | 4.125%, 11/15/21 | 502 | ||||||
223 | 4.250%, 11/15/20 | 241 | ||||||
200 | 5.250%, 11/15/41 | 219 | ||||||
375 | 7.375%, 11/01/29 | 506 | ||||||
73 | 8.550%, 05/15/19 | 92 | ||||||
E.I. du Pont de Nemours & Co., | ||||||||
635 | 1.950%, 01/15/16 | 645 | ||||||
350 | 4.900%, 01/15/41 | 375 | ||||||
1,740 | 6.000%, 07/15/18 | 2,003 | ||||||
Ecolab, Inc., | ||||||||
447 | 1.450%, 12/08/17 | 446 | ||||||
150 | 5.500%, 12/08/41 | 176 | ||||||
Monsanto Co., | ||||||||
664 | 2.750%, 07/15/21 | 664 | ||||||
253 | 4.200%, 07/15/34 | 261 | ||||||
278 | 4.700%, 07/15/64 | 287 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Chemicals continued | ||||||||
Mosaic Co. (The), | ||||||||
280 | 3.750%, 11/15/21 | 291 | ||||||
1,456 | 4.250%, 11/15/23 | 1,523 | ||||||
79 | 4.875%, 11/15/41 | 80 | ||||||
861 | 5.450%, 11/15/33 | 957 | ||||||
347 | 5.625%, 11/15/43 | 394 | ||||||
85 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17 | 89 | ||||||
PPG Industries, Inc., | ||||||||
114 | 5.500%, 11/15/40 | 137 | ||||||
700 | 6.650%, 03/15/18 | 807 | ||||||
355 | 9.000%, 05/01/21 | 476 | ||||||
662 | Praxair, Inc., 4.625%, 03/30/15 | 671 | ||||||
Union Carbide Corp., | ||||||||
1,000 | 7.500%, 06/01/25 | 1,294 | ||||||
850 | 7.750%, 10/01/96 | 1,095 | ||||||
|
|
|||||||
17,018 | ||||||||
|
|
|||||||
Metals & Mining 0.2% | ||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
815 | 3.850%, 09/30/23 | 855 | ||||||
150 | 5.000%, 09/30/43 | 170 | ||||||
410 | 5.400%, 03/29/17 | 450 | ||||||
560 | 6.500%, 04/01/19 | 665 | ||||||
Freeport-McMoRan, Inc., | ||||||||
1,329 | 2.150%, 03/01/17 | 1,340 | ||||||
1,138 | 3.875%, 03/15/23 | 1,120 | ||||||
299 | 5.450%, 03/15/43 | 300 | ||||||
283 | Nucor Corp., 4.000%, 08/01/23 | 296 | ||||||
295 | Placer Dome, Inc., (Canada), 6.450%, 10/15/35 | 321 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
117 | 3.500%, 11/02/20 | 122 | ||||||
550 | 3.750%, 09/20/21 | 571 | ||||||
650 | 9.000%, 05/01/19 | 833 | ||||||
393 | Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17 | 395 | ||||||
676 | Teck Resources Ltd., (Canada), 4.750%, 01/15/22 | 689 | ||||||
|
|
|||||||
8,127 | ||||||||
|
|
|||||||
Total Materials | 25,145 | |||||||
|
|
|||||||
Telecommunication Services 1.1% | ||||||||
Diversified Telecommunication Services 1.0% | ||||||||
AT&T, Inc., | ||||||||
731 | 0.900%, 02/12/16 | 730 | ||||||
840 | 3.900%, 03/11/24 | 870 | ||||||
879 | 4.300%, 12/15/42 | 833 | ||||||
462 | 4.350%, 06/15/45 | 437 | ||||||
850 | 4.450%, 05/15/21 | 926 | ||||||
375 | 5.350%, 09/01/40 | 406 | ||||||
250 | 5.500%, 02/01/18 | 278 | ||||||
2,700 | 6.300%, 01/15/38 | 3,271 | ||||||
358 | BellSouth Telecommunications LLC, 6.300%, 12/15/15 | 358 | ||||||
British Telecommunications plc, (United Kingdom), | ||||||||
200 | 2.000%, 06/22/15 | 201 | ||||||
531 | 2.350%, 02/14/19 | 534 | ||||||
150 | 9.625%, 12/15/30 | 238 | ||||||
600 | Centel Capital Corp., 9.000%, 10/15/19 | 725 | ||||||
Deutsche Telekom International Finance | ||||||||
B.V., (Netherlands), | ||||||||
336 | 2.250%, 03/06/17 (e) | 343 | ||||||
232 | 4.875%, 03/06/42 (e) | 245 | ||||||
400 | 6.000%, 07/08/19 | 466 | ||||||
325 | 8.607%, 06/15/30 | 478 | ||||||
1,742 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 1,779 | ||||||
267 | Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 | 268 | ||||||
Orange S.A., (France), | ||||||||
560 | 2.750%, 09/14/16 | 576 | ||||||
1,305 | 9.000%, 03/01/31 | 1,972 | ||||||
741 | Qwest Corp., 6.750%, 12/01/21 | 854 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
252 | 3.192%, 04/27/18 | 262 | ||||||
319 | 5.134%, 04/27/20 | 356 | ||||||
316 | 5.462%, 02/16/21 | 358 | ||||||
207 | 5.877%, 07/15/19 | 238 | ||||||
300 | 6.421%, 06/20/16 | 324 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Diversified Telecommunication Services continued |
| |||||||
Verizon Communications, Inc., | ||||||||
432 | 2.625%, 02/21/20 (e) | 432 | ||||||
983 | 3.000%, 11/01/21 | 986 | ||||||
381 | 3.450%, 03/15/21 | 394 | ||||||
2,804 | 3.500%, 11/01/24 | 2,803 | ||||||
938 | 4.150%, 03/15/24 | 988 | ||||||
1,685 | 4.400%, 11/01/34 | 1,674 | ||||||
1,762 | 4.500%, 09/15/20 | 1,928 | ||||||
4,762 | 4.862%, 08/21/46 (e) | 4,965 | ||||||
150 | 5.150%, 09/15/23 | 169 | ||||||
100 | 5.850%, 09/15/35 | 118 | ||||||
980 | 6.400%, 09/15/33 | 1,213 | ||||||
175 | 6.400%, 02/15/38 | 218 | ||||||
500 | Verizon New England, Inc., 7.875%, 11/15/29 | 654 | ||||||
Verizon Pennsylvania LLC, | ||||||||
750 | 6.000%, 12/01/28 | 837 | ||||||
1,444 | 8.350%, 12/15/30 | 1,954 | ||||||
500 | 8.750%, 08/15/31 | 717 | ||||||
|
|
|||||||
38,376 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% |
| |||||||
America Movil S.A.B. de C.V., (Mexico), | ||||||||
640 | 2.375%, 09/08/16 | 655 | ||||||
592 | 3.125%, 07/16/22 | 588 | ||||||
485 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 494 | ||||||
Rogers Communications, Inc., (Canada), | ||||||||
1,547 | 4.100%, 10/01/23 | 1,633 | ||||||
400 | 8.750%, 05/01/32 | 559 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
350 | 1.500%, 02/19/18 | 347 | ||||||
1,200 | 1.625%, 03/20/17 | 1,205 | ||||||
|
|
|||||||
5,481 | ||||||||
|
|
|||||||
Total Telecommunication Services | 43,857 | |||||||
|
|
|||||||
Utilities 1.5% |
| |||||||
Electric Utilities 1.1% |
| |||||||
239 | Alabama Power Co., 6.125%, 05/15/38 | 317 | ||||||
286 | American Electric Power Co., Inc., 1.650%, 12/15/17 | 287 | ||||||
Arizona Public Service Co., | ||||||||
296 | 4.500%, 04/01/42 | 321 | ||||||
467 | 5.050%, 09/01/41 | 535 | ||||||
455 | Baltimore Gas & Electric Co., 2.800%, 08/15/22 | 455 | ||||||
1,025 | Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17 | 1,206 | ||||||
831 | Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e) | 889 | ||||||
195 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 221 | ||||||
224 | DTE Electric Co., 2.650%, 06/15/22 | 221 | ||||||
Duke Energy Carolinas LLC, | ||||||||
129 | 4.250%, 12/15/41 | 134 | ||||||
660 | 5.100%, 04/15/18 | 739 | ||||||
100 | 6.000%, 01/15/38 | 130 | ||||||
Duke Energy Florida, Inc., | ||||||||
290 | 5.650%, 06/15/18 | 330 | ||||||
245 | 6.400%, 06/15/38 | 332 | ||||||
1,320 | Duke Energy Indiana, Inc., 6.350%, 08/15/38 | 1,785 | ||||||
Duke Energy Progress, Inc., | ||||||||
540 | 2.800%, 05/15/22 | 540 | ||||||
273 | 4.100%, 05/15/42 | 279 | ||||||
125 | 4.100%, 03/15/43 | 128 | ||||||
387 | 4.150%, 12/01/44 | 401 | ||||||
325 | 5.300%, 01/15/19 | 368 | ||||||
Electricite de France S.A., (France), | ||||||||
770 | 2.150%, 01/22/19 (e) | 777 | ||||||
1,300 | 6.000%, 01/22/14 (e) | 1,476 | ||||||
950 | Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) | 1,060 | ||||||
Florida Power & Light Co., | ||||||||
420 | 5.950%, 10/01/33 | 549 | ||||||
350 | 5.950%, 02/01/38 | 456 | ||||||
210 | Georgia Power Co., 5.950%, 02/01/39 | 263 | ||||||
229 | Great Plains Energy, Inc., 4.850%, 06/01/21 | 256 | ||||||
Hydro-Quebec, (Canada), | ||||||||
350 | Series IO, 8.050%, 07/07/24 | 492 | ||||||
1,000 | Series HY, 8.400%, 01/15/22 | 1,327 | ||||||
100 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 120 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Electric Utilities continued |
| |||||||
100 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 119 | ||||||
808 | John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42 | 900 | ||||||
Kansas City Power & Light Co., | ||||||||
403 | 3.150%, 03/15/23 | 411 | ||||||
1,400 | 5.300%, 10/01/41 | 1,618 | ||||||
125 | MidAmerican Energy Co., 5.300%, 03/15/18 | 140 | ||||||
Nevada Power Co., | ||||||||
55 | 5.375%, 09/15/40 | 67 | ||||||
305 | 5.450%, 05/15/41 | 376 | ||||||
720 | 6.500%, 08/01/18 | 840 | ||||||
100 | Series N, 6.650%, 04/01/36 | 137 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
196 | 1.200%, 06/01/15 | 197 | ||||||
371 | 2.400%, 09/15/19 | 372 | ||||||
725 | 6.000%, 03/01/19 | 834 | ||||||
300 | 7.875%, 12/15/15 | 322 | ||||||
Niagara Mohawk Power Corp., | ||||||||
493 | 3.508%, 10/01/24 (e) | 505 | ||||||
300 | 4.881%, 08/15/19 (e) | 334 | ||||||
510 | Northern States Power Co., 6.250%, 06/01/36 | 686 | ||||||
320 | Ohio Power Co., 6.050%, 05/01/18 | 363 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
840 | 6.800%, 09/01/18 | 989 | ||||||
110 | 7.000%, 09/01/22 | 139 | ||||||
Pacific Gas & Electric Co., | ||||||||
544 | 2.450%, 08/15/22 | 526 | ||||||
71 | 3.250%, 09/15/21 | 73 | ||||||
250 | 3.250%, 06/15/23 | 252 | ||||||
217 | 4.450%, 04/15/42 | 224 | ||||||
390 | 4.500%, 12/15/41 | 411 | ||||||
810 | 5.625%, 11/30/17 | 908 | ||||||
100 | 6.050%, 03/01/34 | 126 | ||||||
160 | 8.250%, 10/15/18 | 195 | ||||||
PacifiCorp, | ||||||||
180 | 5.500%, 01/15/19 | 205 | ||||||
150 | 5.650%, 07/15/18 | 171 | ||||||
PECO Energy Co., | ||||||||
350 | 2.375%, 09/15/22 | 340 | ||||||
175 | 5.350%, 03/01/18 | 196 | ||||||
1,085 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,497 | ||||||
673 | Progress Energy, Inc., 3.150%, 04/01/22 | 681 | ||||||
Public Service Co. of Colorado, | ||||||||
250 | 2.250%, 09/15/22 | 240 | ||||||
90 | 3.200%, 11/15/20 | 94 | ||||||
125 | 5.800%, 08/01/18 | 143 | ||||||
2,490 | Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37 | 3,282 | ||||||
Public Service Electric & Gas Co., | ||||||||
210 | 5.300%, 05/01/18 | 236 | ||||||
317 | 5.375%, 11/01/39 | 395 | ||||||
65 | South Carolina Electric & Gas Co., 4.500%, 06/01/64 | 69 | ||||||
Southern California Edison Co., | ||||||||
318 | Series C, 3.500%, 10/01/23 | 335 | ||||||
785 | 5.500%, 08/15/18 | 892 | ||||||
200 | Series 08-A, 5.950%, 02/01/38 | 259 | ||||||
1,185 | 6.050%, 03/15/39 | 1,534 | ||||||
363 | Southern Co. (The), 1.950%, 09/01/16 | 370 | ||||||
570 | Southwestern Public Service Co., Series G, 8.750%, 12/01/18 | 718 | ||||||
312 | State Grid Overseas Investment 2013 Ltd., (United Kingdom), 1.750%, 05/22/18 (e) | 309 | ||||||
Virginia Electric and Power Co., | ||||||||
64 | 3.450%, 02/15/24 | 66 | ||||||
1,415 | 5.400%, 04/30/18 | 1,594 | ||||||
630 | 5.950%, 09/15/17 | 710 | ||||||
Wisconsin Electric Power Co., | ||||||||
21 | 2.950%, 09/15/21 | 21 | ||||||
275 | 6.250%, 12/01/15 | 291 | ||||||
Xcel Energy, Inc., | ||||||||
162 | 0.750%, 05/09/16 | 162 | ||||||
92 | 4.800%, 09/15/41 | 101 | ||||||
200 | 6.500%, 07/01/36 | 265 | ||||||
|
|
|||||||
43,634 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Gas Utilities 0.0% (g) |
| |||||||
Atmos Energy Corp., | ||||||||
125 | 4.125%, 10/15/44 | 127 | ||||||
828 | 4.150%, 01/15/43 | 856 | ||||||
375 | 8.500%, 03/15/19 | 470 | ||||||
308 | Boston Gas Co., 4.487%, 02/15/42 (e) | 329 | ||||||
335 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 378 | ||||||
|
|
|||||||
2,160 | ||||||||
|
|
|||||||
Independent Power & Renewable Electricity Producers 0.1% |
| |||||||
Exelon Generation Co. LLC, | ||||||||
1,020 | 4.000%, 10/01/20 | 1,074 | ||||||
235 | 5.750%, 10/01/41 | 263 | ||||||
PSEG Power LLC, | ||||||||
442 | 4.300%, 11/15/23 | 465 | ||||||
772 | 5.125%, 04/15/20 | 864 | ||||||
202 | Southern Power Co., 5.150%, 09/15/41 | 229 | ||||||
|
|
|||||||
2,895 | ||||||||
|
|
|||||||
Multi-Utilities 0.3% |
| |||||||
AGL Capital Corp., | ||||||||
563 | 3.500%, 09/15/21 | 585 | ||||||
208 | 4.400%, 06/01/43 | 217 | ||||||
1,445 | 5.875%, 03/15/41 | 1,804 | ||||||
1,243 | 6.375%, 07/15/16 | 1,346 | ||||||
596 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 743 | ||||||
Consumers Energy Co., | ||||||||
216 | 2.850%, 05/15/22 | 216 | ||||||
130 | 5.650%, 04/15/20 | 151 | ||||||
235 | Delmarva Power & Light Co., 4.000%, 06/01/42 | 237 | ||||||
Dominion Resources, Inc., | ||||||||
920 | Series F, 5.250%, 08/01/33 | 1,055 | ||||||
300 | 7.000%, 06/15/38 | 409 | ||||||
600 | 8.875%, 01/15/19 | 756 | ||||||
289 | DTE Energy Co., Series F, 3.850%, 12/01/23 | 303 | ||||||
NiSource Finance Corp., | ||||||||
370 | 3.850%, 02/15/23 | 388 | ||||||
360 | 4.450%, 12/01/21 | 392 | ||||||
1,256 | 5.800%, 02/01/42 | 1,513 | ||||||
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 | 340 | ||||||
236 | 3.550%, 06/15/24 | 240 | ||||||
1,013 | 4.050%, 12/01/23 | 1,076 | ||||||
1,150 | 6.150%, 06/15/18 | 1,314 | ||||||
180 | 6.500%, 06/01/16 | 195 | ||||||
460 | 9.800%, 02/15/19 | 597 | ||||||
|
|
|||||||
14,603 | ||||||||
|
|
|||||||
Total Utilities | 63,292 | |||||||
|
|
|||||||
Total Corporate Bonds (Cost $693,649) |
740,795 | |||||||
|
|
|||||||
|
Foreign Government Securities 1.6% |
|||||||
Federative Republic of Brazil, (Brazil), | ||||||||
825 | 4.250%, 01/07/25 | 844 | ||||||
472 | 5.000%, 01/27/45 | 468 | ||||||
Israel Government AID Bond, (Israel), | ||||||||
6,165 | Zero Coupon, 11/01/23 | 4,859 | ||||||
5,535 | Zero Coupon, 05/01/24 | 4,276 | ||||||
1,000 | 5.500%, 09/18/33 | 1,315 | ||||||
7,805 | Series 10-Z, Zero Coupon, 08/15/24 | 5,954 | ||||||
1,500 | Series 2, Zero Coupon, 11/01/24 | 1,134 | ||||||
20,000 | Series 2-Z, Zero Coupon, 03/15/18 | 19,114 | ||||||
1,776 | Series 6-Z, Zero Coupon, 02/15/22 | 1,495 | ||||||
2,000 | Series 8-Z, Zero Coupon, 08/15/24 | 1,525 | ||||||
Province of Ontario, (Canada), | ||||||||
1,387 | 1.650%, 09/27/19 | 1,377 | ||||||
700 | 2.700%, 06/16/15 | 709 | ||||||
2,220 | 2.950%, 02/05/15 | 2,230 | ||||||
377 | Province of Quebec, (Canada), Series A, SUB, 7.365%, 03/06/26 | 525 | ||||||
Republic of Colombia, (Colombia), | ||||||||
422 | 4.000%, 02/26/24 | 436 | ||||||
200 | 5.625%, 02/26/44 | 227 | ||||||
416 | Republic of Panama, (Panama), 4.000%, 09/22/24 | 425 | ||||||
1,133 | Republic of Poland, (Poland), 4.000%, 01/22/24 | 1,197 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Foreign Government Securities continued |
| ||||||
Republic of South Africa, (South Africa), | ||||||||
1,436 | 5.375%, 07/24/44 | 1,522 | ||||||
640 | 5.875%, 09/16/25 | 731 | ||||||
Republic of Turkey, (Turkey), | ||||||||
719 | 5.750%, 03/22/24 | 810 | ||||||
351 | 6.625%, 02/17/45 | 437 | ||||||
5,000 | Tunisia Government AID Bond, (Tunisia), 1.686%, 07/16/19 | 4,983 | ||||||
United Mexican States, (Mexico), | ||||||||
2,030 | 3.500%, 01/21/21 | 2,092 | ||||||
788 | 3.600%, 01/30/25 | 790 | ||||||
1,732 | 4.000%, 10/02/23 | 1,827 | ||||||
120 | 4.750%, 03/08/44 | 124 | ||||||
4,913 | 5.550%, 01/21/45 | 5,656 | ||||||
|
|
|||||||
Total Foreign Government Securities (Cost $65,002) |
67,082 | |||||||
|
|
|||||||
|
Mortgage Pass-Through Securities 15.7% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
25 | ARM, 2.088%, 07/01/19 | 26 | ||||||
105 | ARM, 2.095%, 10/01/36 | 110 | ||||||
390 | ARM, 2.131%, 10/01/36 | 414 | ||||||
397 | ARM, 2.197%, 11/01/36 | 424 | ||||||
346 | ARM, 2.219%, 12/01/36 | 368 | ||||||
835 | ARM, 2.301%, 04/01/34 | 888 | ||||||
962 | ARM, 2.310%, 03/01/37 | 1,026 | ||||||
34 | ARM, 2.313%, 04/01/30 | 36 | ||||||
245 | ARM, 2.315%, 02/01/36 | 262 | ||||||
482 | ARM, 2.355%, 12/01/33 | 515 | ||||||
595 | ARM, 2.375%, 05/01/36 11/01/36 | 635 | ||||||
187 | ARM, 2.505%, 02/01/37 | 201 | ||||||
472 | ARM, 2.550%, 02/01/36 | 507 | ||||||
562 | ARM, 2.660%, 10/01/36 | 603 | ||||||
349 | ARM, 2.693%, 12/01/34 | 371 | ||||||
302 | ARM, 3.434%, 07/01/36 | 315 | ||||||
1,611 | ARM, 3.988%, 07/01/40 | 1,708 | ||||||
461 | ARM, 5.046%, 01/01/35 | 486 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
83 | 4.500%, 08/01/18 | 88 | ||||||
239 | 5.000%, 12/01/18 | 253 | ||||||
2,267 | 5.500%, 06/01/17 01/01/24 | 2,488 | ||||||
36 | 6.000%, 04/01/18 | 38 | ||||||
279 | 6.500%, 08/01/16 02/01/19 | 292 | ||||||
2 | 7.000%, 04/01/17 | 2 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
2,592 | 3.500%, 01/01/32 03/01/32 | 2,739 | ||||||
87 | 6.000%, 12/01/22 | 99 | ||||||
258 | 6.500%, 11/01/22 | 294 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
4,297 | 3.500%, 04/01/43 | 4,475 | ||||||
1,092 | 4.000%, 09/01/35 | 1,166 | ||||||
5,347 | 4.500%, 05/01/41 | 5,833 | ||||||
4,604 | 5.000%, 09/01/34 08/01/40 | 5,124 | ||||||
1,747 | 5.500%, 10/01/33 07/01/35 | 1,970 | ||||||
333 | 6.000%, 12/01/33 01/01/34 | 380 | ||||||
1,594 | 6.500%, 11/01/34 11/01/36 | 1,858 | ||||||
479 | 7.000%, 07/01/32 10/01/36 | 537 | ||||||
578 | Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 | 657 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
2,827 | 3.000%, 03/01/33 | 2,914 | ||||||
23,637 | 3.500%, 10/01/32 06/01/43 | 24,779 | ||||||
8,991 | 4.000%, 01/01/32 01/01/43 | 9,692 | ||||||
393 | 5.500%, 10/01/33 01/01/34 | 430 | ||||||
536 | 6.000%, 02/01/33 | 583 | ||||||
58 | 7.000%, 07/01/29 | 63 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
| (h) | 12.000%, 08/01/15 07/01/19 | 1 | |||||
Federal National Mortgage Association, | ||||||||
4,835 | ARM, 0.707%, 02/01/19 | 4,840 | ||||||
67 | ARM, 1.688%, 09/01/34 | 69 | ||||||
971 | ARM, 1.784%, 01/01/33 | 1,028 | ||||||
658 | ARM, 1.788%, 07/01/33 | 714 | ||||||
587 | ARM, 1.834%, 05/01/35 | 628 | ||||||
7 | ARM, 1.875%, 03/01/19 | 7 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Mortgage Pass-Through Securities continued |
| ||||||
1,621 | ARM, 1.898%, 01/01/35 | 1,706 | ||||||
1,298 | ARM, 1.910%, 09/01/35 | 1,368 | ||||||
417 | ARM, 1.918%, 11/01/34 | 444 | ||||||
5 | ARM, 1.934%, 01/01/19 | 5 | ||||||
586 | ARM, 1.940%, 07/01/36 | 625 | ||||||
989 | ARM, 1.999%, 11/01/34 | 1,041 | ||||||
280 | ARM, 2.035%, 04/01/34 | 294 | ||||||
736 | ARM, 2.063%, 10/01/34 | 780 | ||||||
471 | ARM, 2.086%, 10/01/34 | 501 | ||||||
615 | ARM, 2.120%, 01/01/35 | 652 | ||||||
265 | ARM, 2.121%, 09/01/34 | 283 | ||||||
904 | ARM, 2.125%, 06/01/35 | 961 | ||||||
311 | ARM, 2.135%, 08/01/34 | 337 | ||||||
276 | ARM, 2.142%, 01/01/36 | 293 | ||||||
167 | ARM, 2.143%, 09/01/35 | 179 | ||||||
178 | ARM, 2.170%, 07/01/34 | 190 | ||||||
213 | ARM, 2.199%, 02/01/35 | 226 | ||||||
168 | ARM, 2.220%, 05/01/35 | 178 | ||||||
228 | ARM, 2.248%, 06/01/36 | 244 | ||||||
20 | ARM, 2.262%, 04/01/34 | 20 | ||||||
585 | ARM, 2.266%, 08/01/34 | 623 | ||||||
282 | ARM, 2.277%, 07/01/33 11/01/33 | 291 | ||||||
208 | ARM, 2.295%, 01/01/34 | 221 | ||||||
599 | ARM, 2.321%, 07/01/33 | 640 | ||||||
473 | ARM, 2.335%, 05/01/34 | 508 | ||||||
1,591 | ARM, 2.338%, 04/01/35 | 1,695 | ||||||
371 | ARM, 2.351%, 04/01/35 | 398 | ||||||
204 | ARM, 2.428%, 01/01/38 | 218 | ||||||
429 | ARM, 2.435%, 09/01/33 | 459 | ||||||
271 | ARM, 2.505%, 10/01/34 | 292 | ||||||
612 | ARM, 2.575%, 10/01/36 | 660 | ||||||
62 | ARM, 2.606%, 09/01/27 | 66 | ||||||
105 | ARM, 2.750%, 02/01/34 | 105 | ||||||
72 | ARM, 2.875%, 01/01/36 | 73 | ||||||
45 | ARM, 3.711%, 03/01/29 | 48 | ||||||
2,000 | 3.760%, 11/01/23 | 2,168 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
571 | 3.500%, 09/01/18 07/01/19 | 605 | ||||||
342 | 4.000%, 08/01/18 | 364 | ||||||
1,824 | 4.500%, 06/01/18 12/01/19 | 1,931 | ||||||
657 | 5.000%, 06/01/18 08/01/24 | 708 | ||||||
603 | 5.500%, 03/01/20 07/01/20 | 641 | ||||||
3,850 | 6.000%, 06/01/16 01/01/24 | 4,234 | ||||||
145 | 6.500%, 03/01/17 08/01/20 | 154 | ||||||
142 | 7.000%, 03/01/17 09/01/17 | 148 | ||||||
2 | 7.500%, 03/01/17 | 2 | ||||||
| (h) | 8.000%, 11/01/15 | | (h) | ||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,503 | 3.500%, 08/01/32 | 1,592 | ||||||
104 | 4.500%, 04/01/24 | 113 | ||||||
950 | 6.500%, 05/01/22 04/01/25 | 1,080 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
80 | 6.000%, 09/01/33 | 88 | ||||||
919 | 6.500%, 03/01/29 08/01/39 | 1,033 | ||||||
17 | 7.000%, 02/01/33 | 19 | ||||||
47 | 8.000%, 06/01/28 | 53 | ||||||
12 | 9.000%, 05/01/18 12/01/25 | 12 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
332 | 4.500%, 11/01/33 02/01/35 | 362 | ||||||
1,341 | 5.000%, 07/01/33 09/01/35 | 1,492 | ||||||
1,773 | 5.500%, 09/01/31 03/01/34 | 2,010 | ||||||
2,268 | 6.000%, 12/01/28 09/01/37 | 2,602 | ||||||
1,032 | 6.500%, 11/01/29 08/01/31 | 1,188 | ||||||
852 | 7.000%, 01/01/24 01/01/39 | 963 | ||||||
336 | 7.500%, 08/01/36 11/01/37 | 383 | ||||||
549 | 8.000%, 03/01/27 11/01/28 | 667 | ||||||
1 | 9.000%, 04/01/26 | 1 | ||||||
12 | 9.500%, 07/01/28 | 14 | ||||||
| (h) | 12.500%, 01/01/16 | | (h) |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Mortgage Pass-Through Securities continued |
| ||||||
Federal National Mortgage Association, Other, | ||||||||
1,445 | VAR, 0.517%, 01/01/23 | 1,458 | ||||||
2,887 | VAR, 0.547%, 01/01/23 | 2,911 | ||||||
4,908 | VAR, 0.617%, 11/01/23 | 4,947 | ||||||
4,000 | VAR, 0.627%, 12/01/23 | 4,029 | ||||||
3,000 | VAR, 0.647%, 11/01/23 | 3,000 | ||||||
947 | VAR, 0.957%, 03/01/22 | 947 | ||||||
2,401 | VAR, 6.070%, 11/01/18 | 2,560 | ||||||
12,666 | 12/01/24 - 12/25/26 | 12,726 | ||||||
2,000 | 1.690%, 12/01/19 | 1,973 | ||||||
3,450 | 1.792%, 05/01/20 | 3,423 | ||||||
3,899 | 1.808%, 06/01/20 | 3,858 | ||||||
1,989 | 1.940%, 07/01/19 | 1,994 | ||||||
1,500 | 2.066%, 12/01/20 | 1,488 | ||||||
12,000 | 2.077%, 06/01/20 | 12,014 | ||||||
4,569 | 2.097%, 08/01/19 | 4,617 | ||||||
5,392 | 2.190%, 09/01/21 - 12/01/22 | 5,301 | ||||||
1,977 | 2.211%, 04/01/19 | 2,012 | ||||||
1,458 | 2.221%, 04/01/19 | 1,481 | ||||||
3,952 | 2.283%, 12/01/22 | 3,910 | ||||||
5,360 | 2.390%, 12/01/22 | 5,352 | ||||||
5,366 | 2.418%, 12/01/22 | 5,329 | ||||||
1,943 | 2.428%, 05/01/23 | 1,926 | ||||||
3,375 | 2.449%, 11/01/22 | 3,362 | ||||||
3,000 | 2.459%, 12/01/22 | 2,989 | ||||||
3,500 | 2.480%, 12/01/22 | 3,487 | ||||||
5,577 | 2.490%, 10/01/17 | 5,758 | ||||||
2,926 | 2.500%, 06/01/23 | 2,910 | ||||||
4,000 | 2.531%, 11/01/22 | 4,005 | ||||||
2,887 | 2.542%, 02/01/23 | 2,905 | ||||||
5,000 | 2.590%, 11/01/21 | 5,056 | ||||||
1,462 | 2.593%, 06/01/23 | 1,463 | ||||||
6,941 | 2.604%, 10/01/22 - 05/01/23 | 6,943 | ||||||
2,500 | 2.660%, 12/01/22 | 2,530 | ||||||
3,000 | 2.670%, 07/01/22 | 3,043 | ||||||
6,745 | 2.690%, 10/01/17 | 7,002 | ||||||
3,349 | 2.703%, 04/01/23 | 3,404 | ||||||
3,000 | 2.760%, 05/01/21 | 3,090 | ||||||
4,939 | 2.809%, 07/01/23 | 5,071 | ||||||
3,199 | 2.841%, 03/01/22 | 3,292 | ||||||
1,565 | 2.862%, 05/01/22 | 1,602 | ||||||
6,500 | 2.900%, 12/25/24 | 6,516 | ||||||
4,000 | 2.920%, 12/25/24 | 4,024 | ||||||
4,800 | 2.950%, 08/01/23 | 4,845 | ||||||
3,722 | 2.970%, 11/01/18 | 3,906 | ||||||
2,767 | 3.000%, 01/01/43 | 2,796 | ||||||
2,452 | 3.020%, 07/01/23 | 2,533 | ||||||
1,437 | 3.038%, 05/01/22 | 1,490 | ||||||
5,916 | 3.050%, 04/01/22 | 6,173 | ||||||
6,952 | 3.070%, 01/01/22 | 7,258 | ||||||
6,495 | 3.079%, 03/01/22 - 07/01/22 | 6,748 | ||||||
6,325 | 3.110%, 12/25/24 - 12/01/26 | 6,488 | ||||||
2,000 | 3.120%, 01/01/22 | 2,094 | ||||||
2,720 | 3.160%, 02/01/22 | 2,860 | ||||||
1,823 | 3.224%, 05/01/22 | 1,911 | ||||||
9,672 | 3.230%, 11/01/20 | 10,251 | ||||||
4,235 | 3.240%, 12/25/26 | 4,247 | ||||||
3,932 | 3.250%, 07/01/25 | 4,080 | ||||||
1,449 | 3.255%, 12/01/21 | 1,523 | ||||||
6,194 | 3.260%, 01/01/22 - 12/25/26 | 6,396 | ||||||
3,965 | 3.290%, 10/01/20 - 11/01/26 | 4,168 | ||||||
4,000 | 3.300%, 11/25/26 | 4,098 | ||||||
3,894 | 3.306%, 02/01/22 | 4,102 | ||||||
3,000 | 3.340%, 02/01/27 | 3,005 | ||||||
919 | 3.375%, 11/01/20 | 982 | ||||||
2,000 | 3.380%, 12/01/23 | 2,117 | ||||||
1,955 | 3.461%, 11/01/20 | 2,083 | ||||||
47,402 | 3.500%, 12/01/32 - 08/01/43 | 49,468 | ||||||
2,000 | 3.503%, 08/01/17 | 2,113 | ||||||
1,917 | 3.520%, 01/01/18 | 2,039 | ||||||
1,435 | 3.544%, 09/01/20 | 1,533 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Mortgage Pass-Through Securities continued |
| ||||||
2,000 | 3.550%, 02/01/30 | 2,002 | ||||||
2,500 | 3.590%, 08/01/23 | 2,709 | ||||||
2,824 | 3.600%, 09/01/20 | 3,043 | ||||||
7,359 | 3.621%, 09/01/20 | 7,912 | ||||||
4,873 | 3.658%, 10/01/20 | 5,230 | ||||||
1,500 | 3.690%, 11/01/23 | 1,618 | ||||||
4,553 | 3.730%, 07/01/22 | 4,938 | ||||||
1,871 | 3.740%, 07/01/20 | 2,028 | ||||||
2,997 | 3.760%, 10/01/23 | 3,249 | ||||||
969 | 3.761%, 01/01/25 | 1,038 | ||||||
5,000 | 3.792%, 07/01/23 | 5,394 | ||||||
2,904 | 3.802%, 09/01/20 | 3,140 | ||||||
3,000 | 3.895%, 09/01/21 | 3,260 | ||||||
2,857 | 3.906%, 09/01/21 | 3,114 | ||||||
6,650 | 3.916%, 09/01/21 | 7,252 | ||||||
1,935 | 3.930%, 07/01/20 | 2,116 | ||||||
4,645 | 3.947%, 06/01/17 | 4,946 | ||||||
4,750 | 3.980%, 11/01/16 | 4,773 | ||||||
1,540 | 3.999%, 01/01/21 | 1,683 | ||||||
9,184 | 4.000%, 10/01/32 - 07/01/42 | 9,861 | ||||||
5,000 | 4.019%, 09/01/21 | 5,481 | ||||||
1,978 | 4.061%, 01/01/21 | 2,167 | ||||||
7,950 | 4.081%, 07/01/20 - 07/01/21 | 8,732 | ||||||
1,404 | 4.130%, 07/01/20 | 1,547 | ||||||
2,380 | 4.250%, 04/01/21 | 2,657 | ||||||
1,648 | 4.257%, 04/01/20 | 1,810 | ||||||
4,432 | 4.267%, 11/01/19 - 08/01/21 | 4,886 | ||||||
2,096 | 4.290%, 06/01/20 | 2,325 | ||||||
1,341 | 4.297%, 01/01/21 | 1,494 | ||||||
1,433 | 4.318%, 07/01/21 | 1,602 | ||||||
1,453 | 4.350%, 04/01/20 | 1,613 | ||||||
2,754 | 4.369%, 02/01/20 - 04/01/20 | 3,059 | ||||||
1,424 | 4.380%, 01/01/21 | 1,590 | ||||||
1,858 | 4.381%, 11/01/19 | 2,047 | ||||||
1,974 | 4.390%, 05/01/21 | 2,210 | ||||||
2,000 | 4.391%, 04/01/21 | 2,235 | ||||||
2,000 | 4.402%, 07/01/21 | 2,231 | ||||||
2,387 | 4.443%, 08/01/20 - 04/01/21 | 2,651 | ||||||
2,098 | 4.474%, 04/01/21 | 2,345 | ||||||
5,000 | 4.484%, 06/01/21 | 5,578 | ||||||
911 | 4.500%, 03/01/20 | 1,010 | ||||||
6,415 | 4.514%, 12/01/19 | 7,156 | ||||||
4,209 | 4.540%, 01/01/20 | 4,673 | ||||||
2,000 | 4.546%, 02/01/20 | 2,225 | ||||||
2,860 | 4.629%, 02/01/21 | 3,211 | ||||||
2,864 | 4.691%, 07/01/26 | 3,248 | ||||||
3,827 | 4.794%, 01/01/21 | 4,323 | ||||||
1,871 | 5.414%, 07/01/19 | 2,118 | ||||||
393 | 5.500%, 03/01/17 - 09/01/33 | 430 | ||||||
1,146 | 6.000%, 09/01/37 - 06/01/39 | 1,247 | ||||||
304 | 6.500%, 01/01/36 - 07/01/36 | 345 | ||||||
61 | 7.000%, 10/01/46 | 67 | ||||||
42 | 10.536%, 04/15/19 | 46 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
288 | 4.500%, 08/20/33 | 318 | ||||||
2,869 | 6.000%, 09/20/38 | 3,246 | ||||||
60 | 7.500%, 02/20/28 - 09/20/28 | 73 | ||||||
87 | 8.000%, 12/20/25 - 09/20/28 | 104 | ||||||
31 | 8.500%, 05/20/25 | 36 | ||||||
Government National Mortgage Association II, Other, | ||||||||
9,771 | 4.375%, 06/20/63 | 10,611 | ||||||
10,374 | 4.433%, 05/20/63 | 11,407 | ||||||
3,077 | 4.462%, 05/20/63 | 3,385 | ||||||
2,058 | 4.479%, 04/20/63 | 2,240 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
40 | 6.500%, 06/15/17 | 42 | ||||||
10 | 8.000%, 01/15/16 | 10 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
298 | 6.500%, 03/15/28 - 04/15/33 | 342 | ||||||
164 | 7.000%, 02/15/33 - 06/15/33 | 188 | ||||||
42 | 7.500%, 11/15/22 - 09/15/28 | 47 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Mortgage Pass-Through Securities continued |
| ||||||
11 | 8.000%, 09/15/22 - 08/15/28 | 11 | ||||||
2 | 9.000%, 12/15/16 | 2 | ||||||
516 | 9.500%, 10/15/24 | 580 | ||||||
|
|
|||||||
Total Mortgage Pass-Through Securities (Cost $624,964) |
641,509 | |||||||
|
|
|||||||
|
Municipal Bonds 0.2% (t) |
| ||||||
California 0.0% (g) | ||||||||
440 | Los Angeles City Department of Airports, International Airport, Series C, Rev., 6.582%, 05/15/39 | 571 | ||||||
350 | State of California, Various Purpose, GO, 7.300%, 10/01/39 | 505 | ||||||
|
|
|||||||
1,076 | ||||||||
|
|
|||||||
Illinois 0.0% (g) | ||||||||
160 | State of Illinois, Pension Funding, GO, 5.100%, 06/01/33 | 157 | ||||||
|
|
|||||||
New York 0.1% | ||||||||
360 | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series D, Rev., 5.600%, 03/15/40 | 453 | ||||||
2,500 | Port Authority of New York & New Jersey, Consolidated, Series 174, Rev., 4.458%, 10/01/62 | 2,538 | ||||||
1,825 | Port Authority of New York & New Jersey, Consolidated 164, Series 164, Rev., 5.647%, 11/01/40 | 2,220 | ||||||
|
|
|||||||
5,211 | ||||||||
|
|
|||||||
Ohio 0.1% | ||||||||
1,315 | American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.499%, 02/15/50 | 1,906 | ||||||
Ohio State University, General Receipts, | ||||||||
200 | Rev., 5.590%, 12/01/14 (w) | 210 | ||||||
1,563 | Series A, Rev., 4.800%, 06/01/11 | 1,686 | ||||||
|
|
|||||||
3,802 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $8,932) |
10,246 | |||||||
|
|
|||||||
|
Supranational 0.1% |
| ||||||
3,000 | African Development Bank, 8.800%, 09/01/19 | 3,808 | ||||||
641 | Corp. Andina de Fomento, 3.750%, 01/15/16 | 663 | ||||||
|
|
|||||||
Total Supranational (Cost $4,397) |
4,471 | |||||||
|
|
|||||||
|
U.S. Government Agency Securities 2.3% |
| ||||||
1,525 | Federal Home Loan Bank, 5.500%, 07/15/36 | 2,051 | ||||||
6,000 | Federal National Mortgage Association, Zero Coupon, 06/01/17 | 5,873 | ||||||
Financing Corp. Fico, | ||||||||
4,500 | Zero Coupon, 05/11/18 | 4,289 | ||||||
2,000 | Zero Coupon, 04/05/19 | 1,861 | ||||||
1,240 | Zero Coupon, 09/26/19 | 1,135 | ||||||
Government Trust Certificate, | ||||||||
4,000 | Zero Coupon, 10/01/15 | 3,965 | ||||||
5,000 | Zero Coupon, 04/01/16 | 4,922 | ||||||
13,319 | Zero Coupon, 10/01/19 | 11,820 | ||||||
Residual Funding Corp. STRIPS, | ||||||||
7,300 | Zero Coupon, 10/15/19 | 6,672 | ||||||
30,450 | Zero Coupon, 07/15/20 | 27,134 | ||||||
12,930 | Zero Coupon, 10/15/20 | 11,476 | ||||||
Tennessee Valley Authority, | ||||||||
304 | 4.625%, 09/15/60 | 339 | ||||||
3,521 | 5.250%, 09/15/39 | 4,405 | ||||||
1,115 | 5.880%, 04/01/36 | 1,500 | ||||||
Tennessee Valley Authority STRIPS, | ||||||||
2,000 | Zero Coupon, 05/01/19 | 1,843 | ||||||
5,000 | Zero Coupon, 11/01/25 | 3,553 | ||||||
800 | Zero Coupon, 06/15/35 | 382 | ||||||
|
|
|||||||
Total U.S. Government Agency Securities (Cost $92,055) |
93,220 | |||||||
|
|
|||||||
|
U.S. Treasury Obligations 25.7% |
| ||||||
U.S. Treasury Bonds, | ||||||||
200 | 4.250%, 05/15/39 | 251 | ||||||
4,900 | 4.375%, 02/15/38 | 6,243 | ||||||
7,575 | 4.500%, 02/15/36 | 9,833 | ||||||
1,300 | 4.500%, 05/15/38 | 1,687 | ||||||
1,750 | 4.500%, 08/15/39 | 2,277 | ||||||
1,500 | 4.750%, 02/15/37 | 2,013 | ||||||
15,370 | 5.000%, 05/15/37 | 21,340 | ||||||
850 | 5.250%, 02/15/29 | 1,132 | ||||||
1,250 | 5.375%, 02/15/31 | 1,722 | ||||||
750 | 6.125%, 11/15/27 | 1,062 | ||||||
300 | 6.125%, 08/15/29 | 434 | ||||||
2,506 | 6.250%, 08/15/23 | 3,345 | ||||||
900 | 6.250%, 05/15/30 | 1,333 | ||||||
525 | 6.625%, 02/15/27 | 763 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
U.S. Treasury Obligations continued |
| ||||||
4,690 | 7.500%, 11/15/16 | 5,327 | ||||||
1,881 | 7.875%, 02/15/21 | 2,560 | ||||||
864 | 8.125%, 05/15/21 | 1,197 | ||||||
1,845 | 8.500%, 02/15/20 | 2,488 | ||||||
7,000 | 8.750%, 08/15/20 | 9,707 | ||||||
20,115 | 8.875%, 08/15/17 | 24,465 | ||||||
U.S. Treasury Coupon STRIPS, | ||||||||
19,751 | 1.533%, 08/15/16 (n) | 19,602 | ||||||
17,765 | 1.868%, 05/15/21 (n) | 15,656 | ||||||
8,400 | 1.901%, 05/15/18 (n) | 8,075 | ||||||
2,000 | 2.038%, 02/15/18 (n) | 1,934 | ||||||
17,095 | 2.283%, 02/15/21 (n) | 15,191 | ||||||
14,400 | 2.491%, 11/15/22 (n) | 12,132 | ||||||
1,670 | 2.502%, 02/15/20 (n) | 1,532 | ||||||
15,768 | 2.518%, 02/15/22 (n) | 13,595 | ||||||
500 | 2.543%, 11/15/23 (n) | 408 | ||||||
2,300 | 2.591%, 08/15/23 (n) | 1,892 | ||||||
1,500 | 2.617%, 05/15/25 (n) | 1,161 | ||||||
1,500 | 2.631%, 05/15/22 (n) | 1,284 | ||||||
4,800 | 2.648%, 08/15/22 (n) | 4,076 | ||||||
15,400 | 2.718%, 05/15/23 (n) | 12,759 | ||||||
15,025 | 2.768%, 11/15/21 (n) | 13,053 | ||||||
38,935 | 2.970%, 08/15/20 (n) | 35,157 | ||||||
40,732 | 3.007%, 02/15/23 (n) | 34,040 | ||||||
1,592 | 3.068%, 08/15/26 (n) | 1,179 | ||||||
6,650 | 3.131%, 11/15/29 (n) | 4,406 | ||||||
800 | 3.131%, 05/15/35 (n) | 443 | ||||||
17,577 | 3.133%, 05/15/19 (n) | 16,445 | ||||||
6,100 | 3.230%, 08/15/21 (n) | 5,343 | ||||||
15,000 | 3.238%, 08/15/28 (n) | 10,368 | ||||||
4,250 | 3.329%, 02/15/32 (n) | 2,617 | ||||||
5,600 | 3.362%, 05/15/28 (n) | 3,903 | ||||||
27,150 | 3.368%, 11/15/26 (n) | 19,929 | ||||||
1,650 | 3.392%, 08/15/34 (n) | 936 | ||||||
16,050 | 3.392%, 05/15/32 (n) | 9,799 | ||||||
50,504 | 3.416%, 05/15/20 (n) | 45,956 | ||||||
3,350 | 3.477%, 08/15/32 (n) | 2,028 | ||||||
9,700 | 3.483%, 08/15/31 (n) | 6,072 | ||||||
6,305 | 3.513%, 02/15/29 (n) | 4,279 | ||||||
2,400 | 3.522%, 08/15/29 (n) | 1,602 | ||||||
3,000 | 3.558%, 05/15/31 (n) | 1,895 | ||||||
8,300 | 3.566%, 11/15/27 (n) | 5,888 | ||||||
28,300 | 3.604%, 02/15/27 (n) | 20,562 | ||||||
8,650 | 3.671%, 11/15/31 (n) | 5,372 | ||||||
21,411 | 3.753%, 08/15/17 (n) | 20,934 | ||||||
8,000 | 3.782%, 02/15/31 (n) | 5,095 | ||||||
22,360 | 3.840%, 08/15/19 (n) | 20,796 | ||||||
18,741 | 3.874%, 08/15/18 (n) | 17,909 | ||||||
7,140 | 4.038%, 11/15/32 (n) | 4,289 | ||||||
2,500 | 4.063%, 02/15/33 (n) | 1,488 | ||||||
6,400 | 4.150%, 05/15/30 (n) | 4,178 | ||||||
20,736 | 4.237%, 02/15/17 (n) | 20,445 | ||||||
600 | 4.279%, 08/15/24 (n) | 477 | ||||||
600 | 4.315%, 02/15/26 (n) | 452 | ||||||
11,150 | 4.397%, 05/15/33 (n) | 6,586 | ||||||
2,200 | 4.410%, 11/15/24 (n) | 1,732 | ||||||
12,300 | 4.417%, 08/15/30 (n) | 7,964 | ||||||
2,800 | 4.436%, 05/15/34 (n) | 1,603 | ||||||
4,750 | 4.566%, 11/15/33 (n) | 2,764 | ||||||
9,925 | 4.639%, 11/15/30 (n) | 6,373 | ||||||
100 | 4.686%, 08/15/35 (n) | 55 | ||||||
6,675 | 4.723%, 08/15/27 (n) | 4,770 | ||||||
8,860 | 4.725%, 02/15/28 (n) | 6,230 | ||||||
1,200 | 4.881%, 02/15/35 (n) | 669 | ||||||
5,000 | 4.890%, 02/15/34 (n) | 2,882 | ||||||
23,600 | 4.951%, 02/15/30 (n) | 15,517 | ||||||
3,050 | 5.057%, 08/15/33 (n) | 1,789 | ||||||
22,839 | 5.100%, 11/15/17 (n) | 22,203 | ||||||
1,500 | 5.618%, 05/15/26 (n) | 1,121 | ||||||
2,500 | 5.656%, 11/15/28 (n) | 1,712 | ||||||
2,550 | 5.694%, 05/15/27 (n) | 1,836 | ||||||
200 | 5.749%, 05/15/24 (n) | 160 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
U.S. Treasury Obligations continued |
| ||||||
13,857 | 5.766%, 11/15/16 (n) | 13,714 | ||||||
17,230 | 5.833%, 02/15/15 (n) | 17,227 | ||||||
39,501 | 6.424%, 02/15/16 (n) | 39,388 | ||||||
2,049 | 6.428%, 08/15/15 (n) | 2,047 | ||||||
3,595 | 6.494%, 05/15/15 (n) | 3,593 | ||||||
14,257 | 6.582%, 11/15/15 (n) | 14,233 | ||||||
U.S. Treasury Inflation Indexed Bonds, | ||||||||
300 | 2.500%, 01/15/29 | 415 | ||||||
799 | 3.625%, 04/15/28 | 1,627 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
1,000 | 0.500%, 04/15/15 | 1,092 | ||||||
1,000 | 1.125%, 01/15/21 | 1,150 | ||||||
630 | 1.375%, 07/15/18 | 740 | ||||||
U.S. Treasury Notes, | ||||||||
8,000 | 0.750%, 12/31/17 | 7,949 | ||||||
3,560 | 0.875%, 01/31/18 | 3,547 | ||||||
1,500 | 1.000%, 06/30/19 | 1,471 | ||||||
4,510 | 1.000%, 11/30/19 | 4,398 | ||||||
31,250 | 1.250%, 10/31/18 | 31,260 | ||||||
11,635 | 1.375%, 11/30/18 | 11,684 | ||||||
2,000 | 1.375%, 02/28/19 | 2,002 | ||||||
7,400 | 1.500%, 08/31/18 | 7,486 | ||||||
2,000 | 1.750%, 05/15/22 | 1,970 | ||||||
10,000 | 2.000%, 02/15/22 | 10,052 | ||||||
12,245 | 2.125%, 12/31/15 | 12,499 | ||||||
7,500 | 2.125%, 08/31/20 | 7,672 | ||||||
1,000 | 2.125%, 01/31/21 | 1,019 | ||||||
36,000 | 2.125%, 08/15/21 | 36,543 | ||||||
10,000 | 2.250%, 07/31/18 | 10,389 | ||||||
21,972 | 2.625%, 12/31/14 | 22,016 | ||||||
1,000 | 2.625%, 02/29/16 | 1,030 | ||||||
4,575 | 2.625%, 04/30/16 | 4,729 | ||||||
9,300 | 2.625%, 01/31/18 | 9,774 | ||||||
700 | 2.625%, 08/15/20 | 735 | ||||||
2,300 | 2.625%, 11/15/20 | 2,413 | ||||||
12,985 | 2.750%, 05/31/17 | 13,646 | ||||||
2,000 | 2.750%, 12/31/17 | 2,109 | ||||||
9,000 | 3.125%, 10/31/16 | 9,456 | ||||||
6,015 | 3.125%, 04/30/17 | 6,369 | ||||||
11,638 | 3.125%, 05/15/19 | 12,505 | ||||||
7,250 | 3.125%, 05/15/21 | 7,818 | ||||||
15,700 | 3.250%, 12/31/16 | 16,581 | ||||||
12,300 | 3.250%, 03/31/17 | 13,045 | ||||||
2,600 | 3.500%, 02/15/18 | 2,806 | ||||||
450 | 3.500%, 05/15/20 | 494 | ||||||
7,000 | 3.625%, 02/15/21 | 7,757 | ||||||
2,500 | 3.750%, 11/15/18 | 2,742 | ||||||
10,000 | 4.000%, 02/15/15 | 10,081 | ||||||
U.S. Treasury Principal STRIPS, | ||||||||
16,180 | Zero Coupon, 02/15/15 | 16,178 | ||||||
1,000 | Zero Coupon, 05/15/16 | 995 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $991,406) |
1,050,223 | |||||||
|
|
|||||||
|
Loan Assignments 0.3% |
| ||||||
Financials 0.3% | ||||||||
Real Estate Management & Development 0.3% | ||||||||
Fiveten Group Holdings Ltd., Revolving Loan, (United Kingdom), | ||||||||
1,607 | VAR, 4.500%, 04/10/15 (i) | 1,599 | ||||||
Invitation Homes, Revolving Loan, | ||||||||
357 | VAR, 3.750%, 03/15/15 (i) | 355 | ||||||
Progress Residential LP, Revolving Loan, | ||||||||
5,142 | VAR, 3.732%, 09/04/15 (i) | 5,116 | ||||||
Tricon Capital Group Inc., Revolving Loan, (Canada), | ||||||||
4,834 | VAR 4.100%, 06/13/15 (i) | 4,810 | ||||||
|
|
|||||||
Total Loan Assignments (Cost $11,940) |
11,880 | |||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Short-Term Investment 5.6% |
| ||||||
Investment Company 5.6% | ||||||||
229,062 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $229,062) |
229,062 | ||||||
|
|
|||||||
Total Investments 100.6% (Cost $3,935,926) |
4,115,778 | |||||||
Liabilities in Excess of Other Assets (0.6)% | (25,926 | ) | ||||||
|
|
|||||||
NET ASSETS 100.0% | $ | 4,089,852 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
ARM | | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2014. | ||||
CMBS | | Commercial Mortgage Backed Security | ||||
CMO | | Collateralized Mortgage Obligation | ||||
ESOP | | Employee Stock Ownership Program | ||||
FHA | | Federal Housing Administration | ||||
GMAC | | General Motors Acceptance Corp. | ||||
GO | | General Obligation | ||||
HB | | High Coupon Bonds (a.k.a. IOettes) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | ||||
IF | | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of November 30, 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 | ||||
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 November 30, 2014. | ||||
VA | | Veterans Administration | ||||
VAR | | Variable Rate Security. The interest rate shown is the rate in effect as of November 30, 2014. | ||||
(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. |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
(l) | | The rate shown is the current yield as of November 30, 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. | ||||
(t) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | ||||
(w) | | When-issued security. | ||||
() | | Security matures in 2105. | ||||
() | | Security matures in 2110. | ||||
() | | Security matures in 2111. | ||||
() | | Security matures in 2114. |
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 193,729 | ||
Aggregate gross unrealized depreciation |
(13,877 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | 179,852 | ||
|
|
|||
Federal income tax cost of investments |
$ | 3,935,926 | ||
|
|
A. Valuation of Investments The valuation of the investments is in accordance with GAAP and the Funds valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the Board), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the Administrator or JPMFM) has established the J.P. Morgan Asset Management Americas Valuation Committee (AVC) to assist the Board with the oversight and monitoring of the valuation of the Funds investments. The Administrator implements the valuation policies of the Funds investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Funds investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as Pricing Services) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include 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. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the 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.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services 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 in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (the Underlying Funds) are valued at each investment companys NAV per share as of the report date.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Debt Securities |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 141,661 | $ | 116,083 | $ | 257,744 | ||||||||
Collateralized Mortgage Obligations |
||||||||||||||||
Agency CMO |
| 606,390 | | 606,390 | ||||||||||||
Non-Agency CMO |
| 204,190 | 47,221 | 251,411 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Collateralized Mortgage Obligations |
| 810,580 | 47,221 | 857,801 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Mortgage-Backed Securities |
| 134,469 | 17,276 | 151,745 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Consumer Discretionary |
| 51,481 | | 51,481 | ||||||||||||
Consumer Staples |
| 36,268 | | 36,268 | ||||||||||||
Energy |
| 71,626 | | 71,626 | ||||||||||||
Financials |
| 330,707 | | 330,707 | ||||||||||||
Health Care |
| 27,467 | | 27,467 | ||||||||||||
Industrials |
| 44,087 | 3,366 | 47,453 | ||||||||||||
Information Technology |
| 43,499 | | 43,499 | ||||||||||||
Materials |
| 25,145 | | 25,145 | ||||||||||||
Telecommunication Services |
| 42,078 | 1,779 | 43,857 | ||||||||||||
Utilities |
| 63,292 | | 63,292 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 735,650 | 5,145 | 740,795 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 67,082 | | 67,082 | ||||||||||||
Mortgage Pass-Through Securities |
| 641,509 | | 641,509 | ||||||||||||
Municipal Bonds |
| 10,246 | | 10,246 | ||||||||||||
Supranational |
| 4,471 | | 4,471 | ||||||||||||
U.S. Government Agency Securities |
| 93,220 | | 93,220 | ||||||||||||
U.S. Treasury Obligations |
| 1,050,223 | | 1,050,223 | ||||||||||||
Loan Assignments |
||||||||||||||||
Financials |
| | 11,880 | 11,880 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
229,062 | | | 229,062 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 229,062 | $ | 3,689,111 | $ | 197,605 | $ | 4,115,778 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Levels 1 and 2 during the period ended November 30, 2014.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
Balance as of February 28, 2014 |
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 November 30, 2014 |
||||||||||||||||||||||||||||
Investments in Securities |
||||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 95,936 | $ | 73 | $ | (710 | ) | $ | 44 | $ | 64,701 | $ | (41,241 | ) | $ | | $ | (2,720 | ) | $ | 116,083 | |||||||||||||||
Collateralized Mortgage Obligations Agency CMO |
5,515 | (2 | ) | | | | | | (5,513 | ) | | |||||||||||||||||||||||||
Collateralized Mortgage Obligations Non-Agency CMO |
48,682 | | (1,678 | ) | (1,886 | ) | 2,485 | (4,858 | ) | 4,476 | | 47,221 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
18,872 | | 367 | (1,216 | ) | 2,816 | (3,563 | ) | | | 17,276 | |||||||||||||||||||||||||
Corporate Bonds Industrials |
3,605 | | (44 | ) | (2 | ) | 35 | (228 | ) | | | 3,366 | ||||||||||||||||||||||||
Corporate Bonds Telecommunication Services |
| (53 | ) | | | | 1,832 | | 1,779 | |||||||||||||||||||||||||||
Loan Assignments Financials |
13,732 | | 7 | | 11,903 | (13,762 | ) | | | 11,880 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 186,342 | $ | 71 | $ | (2,111 | ) | $ | (3,060 | ) | $ | 81,940 | $ | (63,652 | ) | $ | 6,308 | $ | (8,233 | ) | $ | 197,605 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of
trades), which resulted in a lack of or increase in available market inputs to determine price.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2014, which were valued using significant unobservable inputs (Level 3) were $(2,113).
Quantitative Information about Level 3 Fair Value Measurements # (Amounts in thousands)
Fair Value at November 30, 2014 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||
$ | 61,816 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 100.00% (3.32%) | ||||||
Constant Default Rate |
0.00% - 30.00% (18.97%) | |||||||||
Yield (Discount Rate of Cash Flows) |
0.61% - 6.72% (3.43%) | |||||||||
|
|
|||||||||
Asset-Backed Securities |
61,816 | |||||||||
|
|
|||||||||
34,447 | Discounted Cash Flow | Constant Prepayment Rate |
0.18% - 35.79% (7.88%) | |||||||
Constant Default Rate |
0.00% - 9.16% (3.52%) | |||||||||
PSA Prepayment Model |
222.00% - 1,085.00% (509.34%) | |||||||||
Yield (Discount Rate of Cash Flows) |
0.02% - 20.50% (5.41%) | |||||||||
|
|
|||||||||
Collateralized Mortgage Obligations |
34,447 | |||||||||
|
|
|||||||||
8,266 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 100.00% (24.41%) | |||||||
Constant Default Rate |
0.00% - 28.00% (10.28%) | |||||||||
Yield (Discount Rate of Cash Flows) |
(8.70%) - 4.86% (2.76%) | |||||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities |
8,266 | |||||||||
|
|
|||||||||
Total |
$ | 104,529 |
# | The table above does not include certain Level 3 securities that are valued by brokers and pricing services. At November 30, 2014, the value of these investments was approximately $93,076,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
The significant unobservable inputs used in the fair value measurement of the Funds investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks 99.0% |
|||||||
|
Consumer Discretionary 11.8% |
|||||||
Auto Components 0.4% | ||||||||
5 | BorgWarner, Inc. | 260 | ||||||
6 | Delphi Automotive plc, (United Kingdom) | 439 | ||||||
6 | Goodyear Tire & Rubber Co. (The) | 152 | ||||||
13 | Johnson Controls, Inc. | 670 | ||||||
|
|
|||||||
1,521 | ||||||||
|
|
|||||||
Automobiles 0.6% | ||||||||
78 | Ford Motor Co. | 1,227 | ||||||
27 | General Motors Co. | 906 | ||||||
4 | Harley-Davidson, Inc. | 305 | ||||||
|
|
|||||||
2,438 | ||||||||
|
|
|||||||
Distributors 0.1% | ||||||||
3 | Genuine Parts Co. | 317 | ||||||
|
|
|||||||
Diversified Consumer Services 0.0% (g) | ||||||||
6 | H&R Block, Inc. | 186 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 1.6% | ||||||||
9 | Carnival Corp. | 400 | ||||||
1 | Chipotle Mexican Grill, Inc. (a) | 414 | ||||||
3 | Darden Restaurants, Inc. | 152 | ||||||
4 | Marriott International, Inc., Class A | 345 | ||||||
20 | McDonalds Corp. | 1,912 | ||||||
15 | Starbucks Corp. | 1,227 | ||||||
4 | Starwood Hotels & Resorts Worldwide, Inc. | 284 | ||||||
3 | Wyndham Worldwide Corp. | 210 | ||||||
2 | Wynn Resorts Ltd. | 291 | ||||||
9 | Yum! Brands, Inc. | 683 | ||||||
|
|
|||||||
5,918 | ||||||||
|
|
|||||||
Household Durables 0.4% | ||||||||
7 | D.R. Horton, Inc. | 170 | ||||||
2 | Garmin Ltd., (Switzerland) | 140 | ||||||
1 | Harman International Industries, Inc. | 149 | ||||||
3 | Leggett & Platt, Inc. | 116 | ||||||
4 | Lennar Corp., Class A | 169 | ||||||
1 | Mohawk Industries, Inc. (a) | 191 | ||||||
6 | Newell Rubbermaid, Inc. | 200 | ||||||
7 | PulteGroup, Inc. | 147 | ||||||
2 | Whirlpool Corp. | 292 | ||||||
|
|
|||||||
1,574 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.2% | ||||||||
8 | Amazon.com, Inc. (a) | 2,580 | ||||||
2 | Expedia, Inc. | 174 | ||||||
1 | Netflix, Inc. (a) | 419 | ||||||
1 | Priceline Group, Inc. (The) (a) | 1,224 | ||||||
2 | TripAdvisor, Inc. (a) | 165 | ||||||
|
|
|||||||
4,562 | ||||||||
|
|
|||||||
Leisure Products 0.1% | ||||||||
2 | Hasbro, Inc. | 137 | ||||||
7 | Mattel, Inc. | 214 | ||||||
|
|
|||||||
351 | ||||||||
|
|
|||||||
Media 3.5% | ||||||||
4 | Cablevision Systems Corp., Class A | 89 | ||||||
10 | CBS Corp. (Non-Voting), Class B | 535 | ||||||
52 | Comcast Corp., Class A | 2,969 | ||||||
10 | DIRECTV (a) | 886 | ||||||
3 | Discovery Communications, Inc., Class A (a) | 104 | ||||||
5 | Discovery Communications, Inc., Class C (a) | 187 | ||||||
5 | Gannett Co., Inc. | 148 | ||||||
8 | Interpublic Group of Cos., Inc. (The) | 172 | ||||||
10 | News Corp., Class A (a) | 155 | ||||||
5 | Omnicom Group, Inc. | 390 | ||||||
2 | Scripps Networks Interactive, Inc., Class A | 163 | ||||||
6 | Time Warner Cable, Inc. | 836 | ||||||
17 | Time Warner, Inc. | 1,464 | ||||||
38 | Twenty-First Century Fox, Inc., Class A | 1,394 | ||||||
8 | Viacom, Inc., Class B | 579 | ||||||
32 | Walt Disney Co. (The) | 2,938 | ||||||
|
|
|||||||
13,009 | ||||||||
|
|
|||||||
Multiline Retail 0.7% | ||||||||
6 | Dollar General Corp. (a) | 407 | ||||||
4 | Dollar Tree, Inc. (a) | 283 | ||||||
2 | Family Dollar Stores, Inc. | 152 | ||||||
4 | Kohls Corp. | 246 | ||||||
7 | Macys, Inc. | 461 | ||||||
3 | Nordstrom, Inc. | 219 | ||||||
13 | Target Corp. | 943 | ||||||
|
|
|||||||
2,711 | ||||||||
|
|
|||||||
Specialty Retail 2.3% | ||||||||
2 | AutoNation, Inc. (a) | 94 | ||||||
1 | AutoZone, Inc. (a) | 379 | ||||||
4 | Bed Bath & Beyond, Inc. (a) | 273 | ||||||
6 | Best Buy Co., Inc. | 230 | ||||||
4 | CarMax, Inc. (a) | 251 | ||||||
2 | GameStop Corp., Class A | 86 | ||||||
6 | Gap, Inc. (The) | 218 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
| ||||||
|
Specialty Retail continued |
|||||||
27 | Home Depot, Inc. (The) | 2,691 | ||||||
5 | L Brands, Inc. | 400 | ||||||
20 | Lowes Cos., Inc. | 1,267 | ||||||
2 | OReilly Automotive, Inc. (a) | 381 | ||||||
2 | PetSmart, Inc. | 157 | ||||||
4 | Ross Stores, Inc. | 386 | ||||||
13 | Staples, Inc. | 182 | ||||||
2 | Tiffany & Co. | 244 | ||||||
14 | TJX Cos., Inc. (The) | 922 | ||||||
3 | Tractor Supply Co. | 213 | ||||||
2 | Urban Outfitters, Inc. (a) | 66 | ||||||
|
|
|||||||
8,440 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.9% | ||||||||
6 | Coach, Inc. | 205 | ||||||
1 | Fossil Group, Inc. (a) | 105 | ||||||
4 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 317 | ||||||
14 | NIKE, Inc., Class B | 1,404 | ||||||
2 | PVH Corp. | 211 | ||||||
1 | Ralph Lauren Corp. | 226 | ||||||
3 | Under Armour, Inc., Class A (a) | 242 | ||||||
7 | V.F. Corp. | 521 | ||||||
|
|
|||||||
3,231 | ||||||||
|
|
|||||||
Total Consumer Discretionary | 44,258 | |||||||
|
|
|||||||
|
Consumer Staples 9.8% |
|||||||
Beverages 2.2% | ||||||||
3 | Brown-Forman Corp., Class B | 308 | ||||||
79 | Coca-Cola Co. (The) | 3,559 | ||||||
5 | Coca-Cola Enterprises, Inc. | 200 | ||||||
3 | Constellation Brands, Inc., Class A (a) | 325 | ||||||
4 | Dr. Pepper Snapple Group, Inc. | 290 | ||||||
3 | Molson Coors Brewing Co., Class B | 248 | ||||||
3 | Monster Beverage Corp. (a) | 324 | ||||||
30 | PepsiCo, Inc. | 3,034 | ||||||
|
|
|||||||
8,288 | ||||||||
|
|
|||||||
Food & Staples Retailing 2.4% | ||||||||
9 | Costco Wholesale Corp. | 1,253 | ||||||
23 | CVS Health Corp. | 2,128 | ||||||
10 | Kroger Co. (The) | 588 | ||||||
5 | Safeway, Inc. | 162 | ||||||
12 | Sysco Corp. | 475 | ||||||
18 | Walgreen Co. | 1,214 | ||||||
32 | Wal-Mart Stores, Inc. | 2,780 | ||||||
7 | Whole Foods Market, Inc. | 356 | ||||||
|
|
|||||||
8,956 | ||||||||
|
|
|||||||
Food Products 1.6% | ||||||||
13 | Archer-Daniels-Midland Co. | 684 | ||||||
4 | Campbell Soup Co. | 163 | ||||||
8 | ConAgra Foods, Inc. | 310 | ||||||
12 | General Mills, Inc. | 650 | ||||||
3 | Hershey Co. (The) | 301 | ||||||
3 | Hormel Foods Corp. | 144 | ||||||
2 | JM Smucker Co. (The) | 210 | ||||||
5 | Kellogg Co. | 341 | ||||||
2 | Keurig Green Mountain, Inc. | 348 | ||||||
12 | Kraft Foods Group, Inc. | 719 | ||||||
3 | McCormick & Co., Inc. (Non-Voting) | 194 | ||||||
4 | Mead Johnson Nutrition Co. | 422 | ||||||
34 | Mondelez International, Inc., Class A | 1,329 | ||||||
6 | Tyson Foods, Inc., Class A | 249 | ||||||
|
|
|||||||
6,064 | ||||||||
|
|
|||||||
Household Products 2.0% | ||||||||
3 | Clorox Co. (The) | 263 | ||||||
17 | Colgate-Palmolive Co. | 1,201 | ||||||
8 | Kimberly-Clark Corp. | 877 | ||||||
54 | Procter & Gamble Co. (The) | 4,925 | ||||||
|
|
|||||||
7,266 | ||||||||
|
|
|||||||
Personal Products 0.1% | ||||||||
9 | Avon Products, Inc. | 85 | ||||||
5 | Estee Lauder Cos., Inc. (The), Class A | 336 | ||||||
|
|
|||||||
421 | ||||||||
|
|
|||||||
Tobacco 1.5% | ||||||||
40 | Altria Group, Inc. | 2,005 | ||||||
7 | Lorillard, Inc. | 457 | ||||||
31 | Philip Morris International, Inc. | 2,731 | ||||||
6 | Reynolds American, Inc. | 409 | ||||||
|
|
|||||||
5,602 | ||||||||
|
|
|||||||
Total Consumer Staples | 36,597 | |||||||
|
|
|||||||
|
Energy 8.3% |
|||||||
Energy Equipment & Services 1.4% | ||||||||
9 | Baker Hughes, Inc. | 499 | ||||||
4 | Cameron International Corp. (a) | 209 | ||||||
1 | Diamond Offshore Drilling, Inc. | 40 | ||||||
5 | Ensco plc, (United Kingdom), Class A | 159 | ||||||
5 | FMC Technologies, Inc. (a) | 226 | ||||||
17 | Halliburton Co. | 722 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
| ||||||
Energy Equipment & Services continued | ||||||||
2 | Helmerich & Payne, Inc. | 151 | ||||||
6 | Nabors Industries Ltd., (Bermuda) | 76 | ||||||
9 | National Oilwell Varco, Inc. | 580 | ||||||
5 | Noble Corp. plc, (United Kingdom) | 92 | ||||||
26 | Schlumberger Ltd. | 2,241 | ||||||
7 | Transocean Ltd., (Switzerland) | 144 | ||||||
|
|
|||||||
5,139 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 6.9% | ||||||||
10 | Anadarko Petroleum Corp. | 805 | ||||||
8 | Apache Corp. | 493 | ||||||
8 | Cabot Oil & Gas Corp. | 277 | ||||||
10 | Chesapeake Energy Corp. | 212 | ||||||
38 | Chevron Corp. | 4,158 | ||||||
2 | Cimarex Energy Co. | 184 | ||||||
25 | ConocoPhillips | 1,634 | ||||||
5 | CONSOL Energy, Inc. | 181 | ||||||
7 | Denbury Resources, Inc. | 58 | ||||||
8 | Devon Energy Corp. | 456 | ||||||
11 | EOG Resources, Inc. | 955 | ||||||
3 | EQT Corp. | 277 | ||||||
86 | Exxon Mobil Corp. | 7,766 | ||||||
5 | Hess Corp. | 384 | ||||||
34 | Kinder Morgan, Inc. | 1,422 | ||||||
14 | Marathon Oil Corp. | 392 | ||||||
6 | Marathon Petroleum Corp. | 513 | ||||||
3 | Murphy Oil Corp. | 163 | ||||||
3 | Newfield Exploration Co. (a) | 75 | ||||||
7 | Noble Energy, Inc. | 356 | ||||||
16 | Occidental Petroleum Corp. | 1,251 | ||||||
4 | ONEOK, Inc. | 227 | ||||||
11 | Phillips 66 | 821 | ||||||
3 | Pioneer Natural Resources Co. | 412 | ||||||
3 | QEP Resources, Inc. | 68 | ||||||
3 | Range Resources Corp. | 223 | ||||||
7 | Southwestern Energy Co. (a) | 228 | ||||||
13 | Spectra Energy Corp. | 511 | ||||||
3 | Tesoro Corp. | 198 | ||||||
11 | Valero Energy Corp. | 516 | ||||||
14 | Williams Cos., Inc. (The) | 700 | ||||||
|
|
|||||||
25,916 | ||||||||
|
|
|||||||
Total Energy | 31,055 | |||||||
|
|
|||||||
|
Financials 16.2% |
|||||||
Banks 5.8% | ||||||||
211 | Bank of America Corp. | 3,604 | ||||||
14 | BB&T Corp. | 544 | ||||||
61 | Citigroup, Inc. | 3,291 | ||||||
4 | Comerica, Inc. | 170 | ||||||
17 | Fifth Third Bancorp | 338 | ||||||
16 | Huntington Bancshares, Inc. | 166 | ||||||
76 | JPMorgan Chase & Co. (q) | 4,551 | ||||||
18 | KeyCorp | 238 | ||||||
3 | M&T Bank Corp. | 334 | ||||||
11 | PNC Financial Services Group, Inc. (The) | 951 | ||||||
28 | Regions Financial Corp. | 279 | ||||||
11 | SunTrust Banks, Inc. | 420 | ||||||
36 | U.S. Bancorp | 1,602 | ||||||
96 | Wells Fargo & Co. | 5,205 | ||||||
4 | Zions Bancorp | 114 | ||||||
|
|
|||||||
21,807 | ||||||||
|
|
|||||||
Capital Markets 2.2% | ||||||||
1 | Affiliated Managers Group, Inc. (a) | 227 | ||||||
4 | Ameriprise Financial, Inc. | 496 | ||||||
23 | Bank of New York Mellon Corp. (The) | 911 | ||||||
3 | BlackRock, Inc. | 911 | ||||||
23 | Charles Schwab Corp. (The) | 653 | ||||||
6 | E*TRADE Financial Corp. (a) | 132 | ||||||
8 | Franklin Resources, Inc. | 450 | ||||||
8 | Goldman Sachs Group, Inc. (The) | 1,553 | ||||||
9 | Invesco Ltd. | 351 | ||||||
2 | Legg Mason, Inc. | 116 | ||||||
31 | Morgan Stanley | 1,084 | ||||||
4 | Northern Trust Corp. | 302 | ||||||
9 | State Street Corp. | 654 | ||||||
5 | T. Rowe Price Group, Inc. | 442 | ||||||
|
|
|||||||
8,282 | ||||||||
|
|
|||||||
Consumer Finance 0.9% | ||||||||
18 | American Express Co. | 1,673 | ||||||
11 | Capital One Financial Corp. | 939 | ||||||
9 | Discover Financial Services | 609 | ||||||
8 | Navient Corp. | 177 | ||||||
|
|
|||||||
3,398 | ||||||||
|
|
|||||||
Diversified Financial Services 2.1% | ||||||||
37 | Berkshire Hathaway, Inc., Class B (a) | 5,452 | ||||||
6 | CME Group, Inc. | 538 | ||||||
2 | Intercontinental Exchange, Inc. | 516 | ||||||
6 | Leucadia National Corp. | 147 | ||||||
5 | McGraw Hill Financial, Inc. | 509 | ||||||
4 | Moodys Corp. | 377 | ||||||
2 | NASDAQ OMX Group, Inc. (The) | 107 | ||||||
|
|
|||||||
7,646 | ||||||||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
|||||||
Insurance 2.7% | ||||||||
7 | ACE Ltd., (Switzerland) | 772 | ||||||
9 | Aflac, Inc. | 544 | ||||||
9 | Allstate Corp. (The) | 594 | ||||||
29 | American International Group, Inc. | 1,573 | ||||||
6 | Aon plc, (United Kingdom) | 540 | ||||||
1 | Assurant, Inc. | 97 | ||||||
5 | Chubb Corp. (The) | 499 | ||||||
3 | Cincinnati Financial Corp. | 151 | ||||||
10 | Genworth Financial, Inc., Class A (a) | 91 | ||||||
9 | Hartford Financial Services Group, Inc. (The) | 372 | ||||||
5 | Lincoln National Corp. | 297 | ||||||
6 | Loews Corp. | 255 | ||||||
11 | Marsh & McLennan Cos., Inc. | 620 | ||||||
23 | MetLife, Inc. | 1,258 | ||||||
5 | Principal Financial Group, Inc. | 293 | ||||||
11 | Progressive Corp. (The) | 295 | ||||||
9 | Prudential Financial, Inc. | 786 | ||||||
3 | Torchmark Corp. | 141 | ||||||
7 | Travelers Cos., Inc. (The) | 712 | ||||||
5 | Unum Group | 170 | ||||||
5 | XL Group plc, (Ireland) | 190 | ||||||
|
|
|||||||
10,250 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 2.3% | ||||||||
8 | American Tower Corp. | 837 | ||||||
3 | Apartment Investment & Management Co., Class A | 109 | ||||||
3 | AvalonBay Communities, Inc. | 424 | ||||||
3 | Boston Properties, Inc. | 399 | ||||||
7 | Crown Castle International Corp. | 558 | ||||||
7 | Equity Residential | 515 | ||||||
1 | Essex Property Trust, Inc. | 259 | ||||||
13 | General Growth Properties, Inc. | 338 | ||||||
9 | HCP, Inc. | 413 | ||||||
7 | Health Care REIT, Inc. | 480 | ||||||
15 | Host Hotels & Resorts, Inc. | 354 | ||||||
4 | Iron Mountain, Inc. | 141 | ||||||
8 | Kimco Realty Corp. | 210 | ||||||
3 | Macerich Co. (The) | 224 | ||||||
4 | Plum Creek Timber Co., Inc. | 149 | ||||||
10 | Prologis, Inc. | 425 | ||||||
3 | Public Storage | 547 | ||||||
6 | Simon Property Group, Inc. | 1,130 | ||||||
6 | Ventas, Inc. | 424 | ||||||
4 | Vornado Realty Trust | 392 | ||||||
11 | Weyerhaeuser Co. | 375 | ||||||
|
|
|||||||
8,703 | ||||||||
|
|
|||||||
Real Estate Management & Development 0.1% | ||||||||
6 | CBRE Group, Inc., Class A (a) | 189 | ||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% | ||||||||
10 | Hudson City Bancorp, Inc. | 95 | ||||||
6 | Peoples United Financial, Inc. | 92 | ||||||
|
|
|||||||
187 | ||||||||
|
|
|||||||
Total Financials | 60,462 | |||||||
|
|
|||||||
|
Health Care 14.2% |
|||||||
Biotechnology 2.9% | ||||||||
4 | Alexion Pharmaceuticals, Inc. (a) | 776 | ||||||
15 | Amgen, Inc. | 2,525 | ||||||
5 | Biogen Idec, Inc. (a) | 1,461 | ||||||
16 | Celgene Corp. (a) | 1,828 | ||||||
30 | Gilead Sciences, Inc. (a) | 3,050 | ||||||
1 | Regeneron Pharmaceuticals, Inc. (a) | 618 | ||||||
5 | Vertex Pharmaceuticals, Inc. (a) | 564 | ||||||
|
|
|||||||
10,822 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 2.2% | ||||||||
30 | Abbott Laboratories | 1,346 | ||||||
11 | Baxter International, Inc. | 795 | ||||||
4 | Becton, Dickinson and Co. | 541 | ||||||
27 | Boston Scientific Corp. (a) | 343 | ||||||
2 | C.R. Bard, Inc. | 251 | ||||||
4 | CareFusion Corp. (a) | 242 | ||||||
9 | Covidien plc, (Ireland) | 918 | ||||||
3 | DENTSPLY International, Inc. | 157 | ||||||
2 | Edwards Lifesciences Corp. (a) | 277 | ||||||
1 | Intuitive Surgical, Inc. (a) | 374 | ||||||
20 | Medtronic, Inc. | 1,455 | ||||||
6 | St. Jude Medical, Inc. | 389 | ||||||
6 | Stryker Corp. | 559 | ||||||
2 | Varian Medical Systems, Inc. (a) | 184 | ||||||
3 | Zimmer Holdings, Inc. | 382 | ||||||
|
|
|||||||
8,213 | ||||||||
|
|
|||||||
Health Care Providers & Services 2.3% | ||||||||
7 | Aetna, Inc. | 622 | ||||||
4 | AmerisourceBergen Corp. | 390 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
| ||||||
Health Care Providers & Services continued | ||||||||
7 | Cardinal Health, Inc. | 556 | ||||||
5 | Cigna Corp. | 546 | ||||||
3 | DaVita HealthCare Partners, Inc. (a) | 264 | ||||||
15 | Express Scripts Holding Co. (a) | 1,247 | ||||||
3 | Humana, Inc. | 428 | ||||||
2 | Laboratory Corp. of America Holdings (a) | 179 | ||||||
5 | McKesson Corp. | 982 | ||||||
2 | Patterson Cos., Inc. | 84 | ||||||
3 | Quest Diagnostics, Inc. | 190 | ||||||
2 | Tenet Healthcare Corp. (a) | 95 | ||||||
20 | UnitedHealth Group, Inc. | 1,927 | ||||||
2 | Universal Health Services, Inc., Class B | 192 | ||||||
6 | WellPoint, Inc. | 706 | ||||||
|
|
|||||||
8,408 | ||||||||
|
|
|||||||
Health Care Technology 0.1% | ||||||||
6 | Cerner Corp. (a) | 393 | ||||||
|
|
|||||||
Life Sciences Tools & Services 0.4% | ||||||||
7 | Agilent Technologies, Inc. | 287 | ||||||
2 | PerkinElmer, Inc. | 103 | ||||||
8 | Thermo Fisher Scientific, Inc. | 1,037 | ||||||
2 | Waters Corp. (a) | 196 | ||||||
|
|
|||||||
1,623 | ||||||||
|
|
|||||||
Pharmaceuticals 6.3% | ||||||||
32 | AbbVie, Inc. | 2,215 | ||||||
5 | Actavis plc (a) | 1,438 | ||||||
6 | Allergan, Inc. | 1,279 | ||||||
33 | Bristol-Myers Squibb Co. | 1,969 | ||||||
20 | Eli Lilly & Co. | 1,347 | ||||||
3 | Hospira, Inc. (a) | 202 | ||||||
57 | Johnson & Johnson | 6,140 | ||||||
2 | Mallinckrodt plc (a) | 210 | ||||||
58 | Merck & Co., Inc. | 3,504 | ||||||
8 | Mylan, Inc. (a) | 441 | ||||||
3 | Perrigo Co. plc, (Ireland) | 431 | ||||||
128 | Pfizer, Inc. | 3,973 | ||||||
10 | Zoetis, Inc. | 453 | ||||||
|
|
|||||||
23,602 | ||||||||
|
|
|||||||
Total Health Care | 53,061 | |||||||
|
|
|||||||
|
Industrials 10.3% |
|||||||
Aerospace & Defense 2.6% | ||||||||
13 | Boeing Co. (The) | 1,811 | ||||||
6 | General Dynamics Corp. | 929 | ||||||
16 | Honeywell International, Inc. | 1,559 | ||||||
2 | L-3 Communications Holdings, Inc. | 216 | ||||||
5 | Lockheed Martin Corp. | 1,039 | ||||||
4 | Northrop Grumman Corp. | 589 | ||||||
3 | Precision Castparts Corp. | 687 | ||||||
6 | Raytheon Co. | 667 | ||||||
3 | Rockwell Collins, Inc. | 232 | ||||||
6 | Textron, Inc. | 243 | ||||||
17 | United Technologies Corp. | 1,884 | ||||||
|
|
|||||||
9,856 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.8% | ||||||||
3 | C.H. Robinson Worldwide, Inc. | 218 | ||||||
4 | Expeditors International of Washington, Inc. | 184 | ||||||
5 | FedEx Corp. | 951 | ||||||
14 | United Parcel Service, Inc., Class B | 1,555 | ||||||
|
|
|||||||
2,908 | ||||||||
|
|
|||||||
Airlines 0.4% | ||||||||
17 | Delta Air Lines, Inc. | 791 | ||||||
14 | Southwest Airlines Co. | 577 | ||||||
|
|
|||||||
1,368 | ||||||||
|
|
|||||||
Building Products 0.1% | ||||||||
2 | Allegion plc, (Ireland) | 104 | ||||||
7 | Masco Corp. | 173 | ||||||
|
|
|||||||
277 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.4% | ||||||||
4 | ADT Corp. (The) | 122 | ||||||
2 | Cintas Corp. | 142 | ||||||
4 | Pitney Bowes, Inc. | 101 | ||||||
5 | Republic Services, Inc. | 201 | ||||||
2 | Stericycle, Inc. (a) | 220 | ||||||
8 | Tyco International plc | 361 | ||||||
9 | Waste Management, Inc. | 425 | ||||||
|
|
|||||||
1,572 | ||||||||
|
|
|||||||
Construction & Engineering 0.1% | ||||||||
3 | Fluor Corp. | 197 | ||||||
3 | Jacobs Engineering Group, Inc. (a) | 124 | ||||||
4 | Quanta Services, Inc. (a) | 133 | ||||||
|
|
|||||||
454 | ||||||||
|
|
|||||||
Electrical Equipment 0.6% | ||||||||
5 | AMETEK, Inc. | 252 | ||||||
10 | Eaton Corp. plc | 649 | ||||||
14 | Emerson Electric Co. | 895 | ||||||
3 | Rockwell Automation, Inc. | 320 | ||||||
|
|
|||||||
2,116 | ||||||||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
|||||||
Industrial Conglomerates 2.3% | ||||||||
13 | 3M Co. | 2,086 | ||||||
12 | Danaher Corp. | 1,024 | ||||||
202 | General Electric Co. | 5,346 | ||||||
2 | Roper Industries, Inc. | 318 | ||||||
|
|
|||||||
8,774 | ||||||||
|
|
|||||||
Machinery 1.6% | ||||||||
13 | Caterpillar, Inc. | 1,270 | ||||||
3 | Cummins, Inc. | 501 | ||||||
7 | Deere & Co. | 624 | ||||||
3 | Dover Corp. | 258 | ||||||
3 | Flowserve Corp. | 162 | ||||||
7 | Illinois Tool Works, Inc. | 697 | ||||||
5 | Ingersoll-Rand plc | 339 | ||||||
2 | Joy Global, Inc. | 97 | ||||||
7 | PACCAR, Inc. | 478 | ||||||
2 | Pall Corp. | 206 | ||||||
3 | Parker-Hannifin Corp. | 386 | ||||||
4 | Pentair plc, (United Kingdom) | 251 | ||||||
1 | Snap-on, Inc. | 158 | ||||||
3 | Stanley Black & Decker, Inc. | 297 | ||||||
4 | Xylem, Inc. | 141 | ||||||
|
|
|||||||
5,865 | ||||||||
|
|
|||||||
Professional Services 0.2% | ||||||||
1 | Dun & Bradstreet Corp. (The) | 93 | ||||||
2 | Equifax, Inc. | 195 | ||||||
6 | Nielsen N.V. | 255 | ||||||
3 | Robert Half International, Inc. | 157 | ||||||
|
|
|||||||
700 | ||||||||
|
|
|||||||
Road & Rail 1.0% | ||||||||
20 | CSX Corp. | 734 | ||||||
2 | Kansas City Southern | 264 | ||||||
6 | Norfolk Southern Corp. | 695 | ||||||
1 | Ryder System, Inc. | 102 | ||||||
18 | Union Pacific Corp. | 2,107 | ||||||
|
|
|||||||
3,902 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.2% | ||||||||
5 | Fastenal Co. | 248 | ||||||
2 | United Rentals, Inc. (a) | 219 | ||||||
1 | W.W. Grainger, Inc. | 301 | ||||||
|
|
|||||||
768 | ||||||||
|
|
|||||||
Total Industrials | 38,560 | |||||||
|
|
|||||||
|
Information Technology 19.8% |
|||||||
Communications Equipment 1.6% | ||||||||
103 | Cisco Systems, Inc. | 2,835 | ||||||
1 | F5 Networks, Inc. (a) | 192 | ||||||
2 | Harris Corp. | 151 | ||||||
8 | Juniper Networks, Inc. | 179 | ||||||
4 | Motorola Solutions, Inc. | 292 | ||||||
34 | QUALCOMM, Inc. | 2,457 | ||||||
|
|
|||||||
6,106 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.4% | ||||||||
6 | Amphenol Corp., Class A | 338 | ||||||
26 | Corning, Inc. | 546 | ||||||
3 | FLIR Systems, Inc. | 91 | ||||||
8 | TE Connectivity Ltd., (Switzerland) | 528 | ||||||
|
|
|||||||
1,503 | ||||||||
|
|
|||||||
Internet Software & Services 3.2% | ||||||||
4 | Akamai Technologies, Inc. (a) | 232 | ||||||
23 | eBay, Inc. (a) | 1,247 | ||||||
42 | Facebook, Inc., Class A (a) | 3,256 | ||||||
6 | Google, Inc., Class A (a) | 3,137 | ||||||
6 | Google, Inc., Class C (a) | 3,095 | ||||||
2 | VeriSign, Inc. (a) | 136 | ||||||
19 | Yahoo!, Inc. (a) | 963 | ||||||
|
|
|||||||
12,066 | ||||||||
|
|
|||||||
IT Services 3.3% | ||||||||
13 | Accenture plc, (Ireland), Class A | 1,096 | ||||||
1 | Alliance Data Systems Corp. (a) | 342 | ||||||
10 | Automatic Data Processing, Inc. | 828 | ||||||
12 | Cognizant Technology Solutions Corp., Class A (a) | 660 | ||||||
3 | Computer Sciences Corp. | 185 | ||||||
6 | Fidelity National Information Services, Inc. | 351 | ||||||
5 | Fiserv, Inc. (a) | 358 | ||||||
19 | International Business Machines Corp. | 3,026 | ||||||
20 | MasterCard, Inc., Class A | 1,728 | ||||||
7 | Paychex, Inc. | 312 | ||||||
3 | Teradata Corp. (a) | 141 | ||||||
3 | Total System Services, Inc. | 110 | ||||||
10 | Visa, Inc., Class A | 2,556 | ||||||
11 | Western Union Co. (The) | 198 | ||||||
22 | Xerox Corp. | 304 | ||||||
|
|
|||||||
12,195 | ||||||||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
|||||||
Semiconductors & Semiconductor Equipment 2.5% | ||||||||
6 | Altera Corp. | 234 | ||||||
6 | Analog Devices, Inc. | 345 | ||||||
25 | Applied Materials, Inc. | 589 | ||||||
5 | Avago Technologies Ltd., (Singapore) | 473 | ||||||
11 | Broadcom Corp., Class A | 467 | ||||||
2 | First Solar, Inc. (a) | 74 | ||||||
100 | Intel Corp. | 3,709 | ||||||
3 | KLA-Tencor Corp. | 231 | ||||||
3 | Lam Research Corp. | 269 | ||||||
5 | Linear Technology Corp. | 221 | ||||||
4 | Microchip Technology, Inc. | 182 | ||||||
22 | Micron Technology, Inc. (a) | 774 | ||||||
10 | NVIDIA Corp. | 217 | ||||||
21 | Texas Instruments, Inc. | 1,169 | ||||||
5 | Xilinx, Inc. | 245 | ||||||
|
|
|||||||
9,199 | ||||||||
|
|
|||||||
Software 3.8% | ||||||||
10 | Adobe Systems, Inc. (a) | 700 | ||||||
5 | Autodesk, Inc. (a) | 283 | ||||||
6 | CA, Inc. | 201 | ||||||
3 | Citrix Systems, Inc. (a) | 220 | ||||||
6 | Electronic Arts, Inc. (a) | 276 | ||||||
6 | Intuit, Inc. | 536 | ||||||
166 | Microsoft Corp. | 7,923 | ||||||
65 | Oracle Corp. | 2,774 | ||||||
4 | Red Hat, Inc. (a) | 237 | ||||||
12 | salesforce.com, Inc. (a) | 693 | ||||||
14 | Symantec Corp. | 362 | ||||||
|
|
|||||||
14,205 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 5.0% | ||||||||
120 | Apple, Inc. | 14,323 | ||||||
41 | EMC Corp. | 1,238 | ||||||
38 | Hewlett-Packard Co. | 1,466 | ||||||
6 | NetApp, Inc. | 273 | ||||||
5 | SanDisk Corp. | 467 | ||||||
7 | Seagate Technology plc, (Ireland) | 434 | ||||||
4 | Western Digital Corp. | 457 | ||||||
|
|
|||||||
18,658 | ||||||||
|
|
|||||||
Total Information Technology | 73,932 | |||||||
|
|
|||||||
|
Materials 3.2% |
|||||||
Chemicals 2.4% | ||||||||
4 | Air Products & Chemicals, Inc. | 555 | ||||||
1 | Airgas, Inc. | 156 | ||||||
1 | CF Industries Holdings, Inc. | 268 | ||||||
23 | Dow Chemical Co. (The) | 1,099 | ||||||
18 | E.I. du Pont de Nemours & Co. | 1,314 | ||||||
3 | Eastman Chemical Co. | 249 | ||||||
5 | Ecolab, Inc. | 591 | ||||||
3 | FMC Corp. | 146 | ||||||
2 | International Flavors & Fragrances, Inc. | 165 | ||||||
9 | LyondellBasell Industries N.V., Class A | 674 | ||||||
10 | Monsanto Co. | 1,167 | ||||||
6 | Mosaic Co. (The) | 293 | ||||||
3 | PPG Industries, Inc. | 606 | ||||||
6 | Praxair, Inc. | 754 | ||||||
2 | Sherwin-Williams Co. (The) | 409 | ||||||
2 | Sigma-Aldrich Corp. | 327 | ||||||
|
|
|||||||
8,773 | ||||||||
|
|
|||||||
Construction Materials 0.1% | ||||||||
1 | Martin Marietta Materials, Inc. | 149 | ||||||
3 | Vulcan Materials Co. | 174 | ||||||
|
|
|||||||
323 | ||||||||
|
|
|||||||
Containers & Packaging 0.2% | ||||||||
2 | Avery Dennison Corp. | 93 | ||||||
3 | Ball Corp. | 187 | ||||||
2 | Bemis Co., Inc. | 80 | ||||||
3 | MeadWestvaco Corp. | 152 | ||||||
3 | Owens-Illinois, Inc. (a) | 85 | ||||||
4 | Sealed Air Corp. | 169 | ||||||
|
|
|||||||
766 | ||||||||
|
|
|||||||
Metals & Mining 0.4% | ||||||||
24 | Alcoa, Inc. | 409 | ||||||
2 | Allegheny Technologies, Inc. | 74 | ||||||
21 | Freeport-McMoRan, Inc. | 561 | ||||||
10 | Newmont Mining Corp. | 184 | ||||||
6 | Nucor Corp. | 344 | ||||||
|
|
|||||||
1,572 | ||||||||
|
|
|||||||
Paper & Forest Products 0.1% | ||||||||
9 | International Paper Co. | 462 | ||||||
|
|
|||||||
Total Materials | 11,896 | |||||||
|
|
|||||||
|
Telecommunication Services 2.4% |
|||||||
Diversified Telecommunication Services 2.4% | ||||||||
104 | AT&T, Inc. | 3,690 | ||||||
11 | CenturyLink, Inc. | 468 | ||||||
20 | Frontier Communications Corp. | 142 | ||||||
6 | Level 3 Communications, Inc. (a) | 280 | ||||||
83 | Verizon Communications, Inc. | 4,218 |
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE ($) | ||||||
|
Common Stocks continued |
| ||||||
Diversified Telecommunication Services continued | ||||||||
12 | Windstream Holdings, Inc. | 122 | ||||||
|
|
|||||||
Total Telecommunication Services | 8,920 | |||||||
|
|
|||||||
|
Utilities 3.0% |
|||||||
Electric Utilities 1.7% | ||||||||
10 | American Electric Power Co., Inc. | 566 | ||||||
14 | Duke Energy Corp. | 1,151 | ||||||
7 | Edison International | 416 | ||||||
4 | Entergy Corp. | 303 | ||||||
17 | Exelon Corp. | 625 | ||||||
8 | FirstEnergy Corp. | 312 | ||||||
9 | NextEra Energy, Inc. | 916 | ||||||
6 | Northeast Utilities | 322 | ||||||
5 | Pepco Holdings, Inc. | 139 | ||||||
2 | Pinnacle West Capital Corp. | 140 | ||||||
13 | PPL Corp. | 475 | ||||||
18 | Southern Co. (The) | 854 | ||||||
10 | Xcel Energy, Inc. | 345 | ||||||
|
|
|||||||
6,564 | ||||||||
|
|
|||||||
Gas Utilities 0.0% (g) | ||||||||
2 | AGL Resources, Inc. | 126 | ||||||
|
|
|||||||
Independent Power & Renewable Electricity Producers 0.1% | ||||||||
13 | AES Corp. | 186 | ||||||
7 | NRG Energy, Inc. | 212 | ||||||
|
|
|||||||
398 | ||||||||
|
|
|||||||
Multi-Utilities 1.2% | ||||||||
5 | Ameren Corp. | 211 | ||||||
9 | CenterPoint Energy, Inc. | 207 | ||||||
6 | CMS Energy Corp. | 183 | ||||||
6 | Consolidated Edison, Inc. | 372 | ||||||
12 | Dominion Resources, Inc. | 850 | ||||||
4 | DTE Energy Co. | 290 | ||||||
2 | Integrys Energy Group, Inc. | 117 | ||||||
6 | NiSource, Inc. | 265 | ||||||
9 | PG&E Corp. | 479 | ||||||
10 | Public Service Enterprise Group, Inc. | 425 | ||||||
3 | SCANA Corp. | 163 | ||||||
5 | Sempra Energy | 519 | ||||||
5 | TECO Energy, Inc. | 93 | ||||||
5 | Wisconsin Energy Corp. | 224 | ||||||
|
|
|||||||
4,398 | ||||||||
|
|
|||||||
Total Utilities | 11,486 | |||||||
|
|
|||||||
Total Common Stocks (Cost $173,328) |
370,227 | |||||||
|
|
|||||||
|
Exchange Traded Fund 0.2% |
|||||||
U.S. Equity 0.2% |
||||||||
3 | SPDR S&P 500 ETF Trust (Cost $606 ) |
642 | ||||||
|
|
|||||||
PRINCIPAL |
||||||||
|
Short-Term Investments 0.8% |
|||||||
U.S. Treasury Obligation 0.1% | ||||||||
345 | U.S. Treasury Bill, 0.048%, 01/08/15 (k) (n) | 345 | ||||||
|
|
|||||||
SHARES |
||||||||
Investment Company 0.7% |
||||||||
2,648 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (b) (l) | 2,648 | ||||||
|
|
|||||||
Total Short-Term Investments (Cost $2,993) |
2,993 | |||||||
|
|
|||||||
Total Investments 100.0% (Cost $176,927) |
373,862 | |||||||
Liabilities in Excess of Other Assets 0.0% (g) | (94 | ) | ||||||
|
|
|||||||
NET ASSETS 100.0% | $ | 373,768 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures Contracts |
||||||||||||||||
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
NOTIONAL VALUE AT NOVEMBER 30, 2014 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Futures Outstanding | ||||||||||||||||
20 | E-mini S&P 500 | 12/19/14 | $ | 2,066 | $ | 71 | ||||||||||
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ETF | | Exchange Traded Fund | ||
SPDR | | Standard & Poors Depositary Receipts | ||
(a) | | Non-income producing security. | ||
(b) | | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | ||
(g) | | Amount rounds to less than 0.1%. | ||
(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 November 30, 2014. | ||
(n) | | The rate shown is the effective yield at the date of purchase. | ||
(q) | | Investment in affiliate which is a security in the Funds index. |
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 198,849 | ||
Aggregate gross unrealized depreciation |
(1,914 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | 196,935 | ||
|
|
|||
Federal income tax cost of investments |
$ | 176,927 | ||
|
|
JPMorgan Equity Index Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOI) (amounts in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||
Total Investments in Securities (a) |
$373,517 | $ | 345 | $ | | $ | 373,862 | |||||||
Appreciation in Other Financial Instruments |
||||||||||||||
Futures Contracts |
$71 | $ | | $ | | $ | 71 |
(a) | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOI. Level 2 consists of U.S. Treasury Bills held as collateral for futures contracts. Please refer to the SOI for industry specifics of portfolio holdings. |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities 7.7% |
| ||||||
172 | Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 0.955%, 12/27/22 (e) | 173 | ||||||
Ally Auto Receivables Trust, | ||||||||
7 | Series 2012-1, Class A3, 0.930%, 02/16/16 | 7 | ||||||
58 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 58 | ||||||
344 | Series 2013-2, Class A3, 0.790%, 01/15/18 | 345 | ||||||
120 | Series 2013-2, Class A4, 1.240%, 11/15/18 | 120 | ||||||
198 | Series 2014-SN2, Class A3, 1.030%, 09/20/17 | 198 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
9 | Series 2012-3, Class A, 1.640%, 11/15/16 (e) | 9 | ||||||
56 | Series 2013-2, Class A, 1.320%, 02/15/17 (e) | 56 | ||||||
168 | Series 2014-4, Class A, 1.330%, 07/10/18 (e) | 168 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
46 | Series 2013-1, Class A3, 0.610%, 10/10/17 | 46 | ||||||
160 | Series 2013-4, Class A2, 0.740%, 11/08/16 | 160 | ||||||
157 | Series 2013-5, Class A3, 0.900%, 09/10/18 | 157 | ||||||
209 | AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e) | 209 | ||||||
39 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36 | 37 | ||||||
28 | BMW Vehicle Lease Trust, Series 2013-1, Class A3, 0.540%, 09/21/15 | 28 | ||||||
BMW Vehicle Owner Trust, | ||||||||
170 | Series 2013-A, Class A3, 0.670%, 11/27/17 | 170 | ||||||
274 | Series 2014-A, Class A2, 0.530%, 04/25/17 | 274 | ||||||
160 | Series 2014-A, Class A3, 0.970%, 11/26/18 | 161 | ||||||
100 | Cabelas Credit Card Master Note Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) | 101 | ||||||
41 | California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e) | 41 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
106 | Series 2013-1, Class A2, 0.620%, 07/20/16 | 106 | ||||||
112 | Series 2013-3, Class A1B, VAR, 0.585%, 11/20/15 | 112 | ||||||
CarFinance Capital Auto Trust, | ||||||||
31 | Series 2013-2A, Class A, 1.750%, 11/15/17 (e) | 31 | ||||||
224 | Series 2014-1A, Class A, 1.460%, 12/17/18 (e) | 225 | ||||||
125 | Series 2014-1A, Class B, 2.720%, 04/15/20 (e) | 127 | ||||||
319 | Series 2014-2A, Class A, 1.440%, 11/16/20 (e) | 319 | ||||||
250 | Carlyle Global Market Strategies Commodities Funding Ltd., (Cayman Islands), Series 2014-1A, Class A, VAR, 2.131%, 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 | 137 | ||||||
337 | Series 2014-2, Class A3, 0.980%, 01/15/19 | 337 | ||||||
202 | Carnow Auto Receivables Trust, Series 2014-1A, Class A, 0.960%, 01/17/17 (e) | 202 | ||||||
112 | Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 115 | ||||||
23 | CNH Equipment Trust, Series 2012-A, Class A3, 0.940%, 05/15/17 | 23 | ||||||
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) | 101 | ||||||
CPS Auto Receivables Trust, | ||||||||
25 | Series 2011-C, Class A, 4.210%, 03/15/19 (e) | 26 | ||||||
23 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 23 | ||||||
146 | Series 2012-B, Class A, 2.520%, 09/16/19 (e) | 148 | ||||||
328 | Series 2014-A, Class A, 1.210%, 08/15/18 (e) | 329 | ||||||
301 | Series 2014-B, Class A, 1.110%, 11/15/18 (e) | 300 | ||||||
333 | Series 2014-C, Class A, 1.310%, 02/15/19 (e) | 333 | ||||||
204 | Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17 | 204 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
54 | Series 2013-2A, Class A, 1.490%, 11/15/17 (e) | 54 | ||||||
210 | Series 2014-1A, Class A, 1.290%, 05/15/18 (e) | 211 | ||||||
228 | Series 2014-2A, Class A, 1.060%, 08/15/18 (e) | 228 | ||||||
682 | Series 2014-3A, Class A, 1.320%, 01/15/19 (e) | 683 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities continued |
| ||||||
56 | Series 2014-3A, Class B, 2.770%, 11/15/19 (e) | 56 | ||||||
Fifth Third Auto Trust, | ||||||||
175 | Series 2013-1, Class A3, 0.880%, 10/16/17 | 175 | ||||||
120 | Series 2014-3, Class A2A, 0.570%, 05/15/17 | 120 | ||||||
77 | Series 2014-3, Class A3, 0.960%, 03/15/19 | 77 | ||||||
First Investors Auto Owner Trust, | ||||||||
24 | Series 2012-2A, Class A2, 1.470%, 05/15/18 (e) | 24 | ||||||
35 | Series 2013-1A, Class A2, 0.900%, 10/15/18 (e) | 35 | ||||||
169 | Series 2014-3A, Class A2, 1.060%, 11/15/18 (e) | 169 | ||||||
138 | Series 2014-3A, Class A3, 1.670%, 11/16/20 (e) | 138 | ||||||
Flagship Credit Auto Trust, | ||||||||
204 | Series 2013-2, Class A, 1.940%, 01/15/19 (e) | 205 | ||||||
389 | Series 2014-2, Class A, 1.430%, 12/16/19 (e) | 389 | ||||||
89 | Series 2014-2, Class B, 2.840%, 11/16/20 (e) | 89 | ||||||
44 | Series 2014-2, Class C, 3.950%, 12/15/20 (e) | 44 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
235 | Series 2013-B, Class A3, 0.760%, 09/15/16 | 235 | ||||||
100 | Series 2013-B, Class A4, 0.960%, 10/15/16 | 100 | ||||||
49 | Series 2014-A, Class A2A, 0.500%, 10/15/16 | 50 | ||||||
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, | ||||||||
22 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 22 | ||||||
62 | Series 2012-D, Class A3, 0.510%, 04/15/17 | 62 | ||||||
300 | Series 2014-C, Class A2, 0.610%, 08/15/17 | 300 | ||||||
245 | Series 2014-C, Class A3, 1.060%, 05/15/19 | 245 | ||||||
140 | Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.535%, 01/15/18 | 140 | ||||||
282 | GCAT, Series 2014-1, Class A1, VAR, 3.228%, 07/25/19 (e) | 283 | ||||||
60 | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 60 | ||||||
GE Equipment Midticket LLC, | ||||||||
93 | Series 2012-1, Class A3, 0.600%, 05/23/16 | 93 | ||||||
60 | Series 2012-1, Class A4, 0.780%, 09/22/20 | 60 | ||||||
GMAT Trust, | ||||||||
252 | Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e) | 254 | ||||||
75 | Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e) | 75 | ||||||
357 | HLSS Servicer Advance Receivables Backed Notes, Series 2013-T7, Class AT7, 1.981%, 11/15/46 (e) | 354 | ||||||
HLSS Servicer Advance Receivables Trust, | ||||||||
244 | Series 2012-T2, Class A2, 1.990%, 10/15/45 (e) | 244 | ||||||
165 | Series 2013-T1, Class A2, 1.495%, 01/16/46 (e) | 164 | ||||||
358 | Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e) | 358 | ||||||
167 | Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e) | 165 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
21 | Series 2012-1, Class A3, 0.770%, 01/15/16 | 22 | ||||||
56 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 56 | ||||||
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, | ||||||||
31 | Series 2006-1, Class A1, VAR, 0.315%, 01/20/36 | 31 | ||||||
36 | Series 2007-3, Class APT, VAR, 1.355%, 11/20/36 | 36 | ||||||
Huntington Auto Trust, | ||||||||
87 | Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 87 | ||||||
27 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 27 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
27 | Series 2012-B, Class A3, 0.620%, 09/15/16 | 28 | ||||||
281 | Series 2014-B, Class A3, 0.900%, 12/17/18 | 281 | ||||||
213 | MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) | 214 | ||||||
135 | Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e) | 135 | ||||||
102 | Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e) | 102 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Asset-Backed Securities continued |
| ||||||
122 | Nissan Auto Lease Trust, Series 2013-B, Class A3, 0.750%, 06/15/16 | 122 | ||||||
117 | Nissan Auto Receivables Owner Trust, Series 2012-A, Class A4, 1.000%, 07/16/18 | 118 | ||||||
458 | Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e) | 457 | ||||||
320 | NYMT Residential LLC, Series 2013-RP3A, Class NOTE, SUB, 4.850%, 09/25/18 (e) (i) | 320 | ||||||
429 | Oak Hill Advisors Residential Loan Trust, Series 2014-NPL2, Class A1, SUB, 3.352%, 04/25/54 (e) | 429 | ||||||
552 | OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 09/18/24 (e) | 552 | ||||||
126 | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.093%, 10/25/34 | 126 | ||||||
500 | Progreso Receivables Funding II LLC, Series 2014-A, Class A, 3.500%, 07/08/19 (e) | 500 | ||||||
99 | RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.455%, 03/25/36 | 96 | ||||||
6 | Santander Drive Auto Receivables Trust, Series 2012-5, Class A3, 0.830%, 12/15/16 | 6 | ||||||
41 | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.497%, 01/25/36 | 31 | ||||||
202 | Selene Non-Performing Loans LLC, Series 2014-1A, Class A, SUB, 2.981%, 05/25/54 (e) | 200 | ||||||
9 | SNAAC Auto Receivables Trust, Series 2013-1A, Class A, 1.140%, 07/16/18 (e) | 9 | ||||||
SpringCastle America Funding LLC, | ||||||||
1,134 | Series 2014-AA, Class A, 2.700%, 05/25/23 (e) | 1,135 | ||||||
175 | Series 2014-AA, Class B, 4.610%, 10/25/27 (e) | 176 | ||||||
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) | 841 | ||||||
Stanwich Mortgage Loan Trust | ||||||||
14 | Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e) | 14 | ||||||
117 | Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e) | 116 | ||||||
800 | Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, SUB, 3.721%, 11/16/44 (e) | 800 | ||||||
175 | Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 07/15/18 (e) | 175 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
418 | Series 2014-A, Class A2, 0.410%, 08/15/16 | 418 | ||||||
194 | Series 2014-C, Class A2, 0.510%, 02/15/17 | 194 | ||||||
134 | Series 2014-C, Class A3, 0.930%, 07/16/18 | 134 | ||||||
Trafigura Securitisation Finance plc, (Ireland), | ||||||||
321 | Series 2012-1A, Class A, VAR, 2.555%, 10/15/15 (e) | 323 | ||||||
266 | Series 2014-1A, Class A, VAR, 1.105%, 10/15/21 (e) | 266 | ||||||
Truman Capital Mortgage Loan Trust, | ||||||||
292 | Series 2014-NPL1, Class A1, SUB, 3.228%, 07/25/53 (e) | 292 | ||||||
250 | Series 2014-NPL2, Class A1, SUB, 3.125%, 06/25/54 (e) | 249 | ||||||
236 | Series 2014-NPL3, Class A1, SUB, 3.125%, 04/25/53 (e) | 236 | ||||||
130 | USAA Auto Owner Trust, Series 2014-1, Class A2, 0.380%, 10/17/16 | 130 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
554 | Series 2014-NPL7, Class A1, SUB, 3.125%, 08/27/57 (e) | 553 | ||||||
374 | Series 2014-NPL8, Class A1, SUB, 3.375%, 10/25/54 (e) | 374 | ||||||
535 | Vericrest Opportunity Loan Transferee LLC, Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e) | 532 | ||||||
57 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 57 | ||||||
164 | VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e) | 164 | ||||||
288 | VOLT XV LLC, Series 2014-3A, Class A1, SUB, 3.250%, 05/26/54 (e) | 288 | ||||||
393 | VOLT XVI LLC, Series 2014-NPL5, Class A1, SUB, 3.228%, 09/25/58 (e) | 392 | ||||||
VOLT XXVI LLC, | ||||||||
585 | Series 2014-NPL6, Class A1, SUB, 3.125%, 09/25/43 (e) | 584 | ||||||
117 | Series 2014-NPL6, Class A2, SUB, 4.250%, 09/25/43 (e) | 115 | ||||||
50 | Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) | 50 | ||||||
World Omni Auto Receivables Trust, | ||||||||
44 | Series 2012-A, Class A3, 0.640%, 02/15/17 | 44 | ||||||
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 $27,284) |
27,334 | |||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations 19.7% |
| ||||||
Agency CMO 16.1% | ||||||||
44 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23 | 48 | ||||||
Federal Home Loan Mortgage Corp. REMIC, | ||||||||
1 | Series 11, Class D, 9.500%, 07/15/19 | 1 | ||||||
| (h) | Series 41, Class I, HB, 84.000%, 05/15/20 | | (h) | ||||
1 | Series 46, Class B, 7.800%, 09/15/20 | 1 | ||||||
| (h) | Series 47, Class F, 10.000%, 06/15/20 | | (h) | ||||
| (h) | Series 85, Class C, 8.600%, 01/15/21 | | (h) | ||||
1 | 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, 33.474%, 05/15/21 | 1 | |||||
| (h) | Series 1084, Class F, VAR, 1.105%, 05/15/21 | | (h) | ||||
| (h) | Series 1084, Class S, HB, IF, 44.529%, 05/15/21 | | (h) | ||||
7 | Series 1144, Class KB, 8.500%, 09/15/21 | 8 | ||||||
| (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | | (h) | ||||
| (h) | Series 1196, Class B, HB, IF, 1,180.814%, 01/15/22 | 1 | |||||
5 | Series 1206, Class IA, 7.000%, 03/15/22 | 6 | ||||||
3 | Series 1250, Class J, 7.000%, 05/15/22 | 4 | ||||||
13 | Series 1343, Class LA, 8.000%, 08/15/22 | 16 | ||||||
59 | Series 1466, Class PZ, 7.500%, 02/15/23 | 66 | ||||||
1 | Series 1470, Class F, VAR, 1.663%, 02/15/23 | 1 | ||||||
22 | Series 1491, Class I, 7.500%, 04/15/23 | 25 | ||||||
22 | Series 1518, Class G, IF, 8.880%, 05/15/23 | 26 | ||||||
19 | Series 1541, Class O, VAR, 1.620%, 07/15/23 | 19 | ||||||
3 | Series 1602, Class SA, HB, IF, 22.247%, 10/15/23 | 5 | ||||||
67 | Series 1608, Class L, 6.500%, 09/15/23 | 73 | ||||||
7 | Series 1609, Class LG, IF, 16.998%, 11/15/23 | 7 | ||||||
4 | Series 1671, Class L, 7.000%, 02/15/24 | 5 | ||||||
12 | Series 1700, Class GA, PO, 02/15/24 | 12 | ||||||
118 | Series 1706, Class K, 7.000%, 03/15/24 | 133 | ||||||
401 | Series 1720, Class PL, 7.500%, 04/15/24 | 457 | ||||||
12 | Series 1745, Class D, 7.500%, 08/15/24 | 14 | ||||||
24 | Series 1798, Class F, 5.000%, 05/15/23 | 26 | ||||||
1 | Series 1807, Class G, 9.000%, 10/15/20 | 1 | ||||||
126 | Series 1927, Class PH, 7.500%, 01/15/27 | 144 | ||||||
52 | Series 1981, Class Z, 6.000%, 05/15/27 | 57 | ||||||
17 | Series 1987, Class PE, 7.500%, 09/15/27 | 18 | ||||||
7 | Series 2033, Class SN, HB, IF, 28.453%, 03/15/24 | 3 | ||||||
20 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 4 | ||||||
104 | Series 2040, Class PE, 7.500%, 03/15/28 | 120 | ||||||
16 | Series 2056, Class TD, 6.500%, 05/15/18 | 17 | ||||||
113 | Series 2063, Class PG, 6.500%, 06/15/28 | 127 | ||||||
20 | Series 2064, Class TE, 7.000%, 06/15/28 | 23 | ||||||
80 | Series 2075, Class PH, 6.500%, 08/15/28 | 90 | ||||||
78 | Series 2075, Class PM, 6.250%, 08/15/28 | 88 | ||||||
25 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 4 | ||||||
46 | Series 2125, Class JZ, 6.000%, 02/15/29 | 52 | ||||||
11 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 2 | ||||||
218 | Series 2169, Class TB, 7.000%, 06/15/29 | 250 | ||||||
71 | Series 2172, Class QC, 7.000%, 07/15/29 | 80 | ||||||
1 | Series 2196, Class TL, 7.500%, 11/15/29 | 1 | ||||||
37 | Series 2201, Class C, 8.000%, 11/15/29 | 43 | ||||||
92 | Series 2210, Class Z, 8.000%, 01/15/30 | 107 | ||||||
25 | Series 2224, Class CB, 8.000%, 03/15/30 | 30 | ||||||
46 | Series 2256, Class MC, 7.250%, 09/15/30 | 53 | ||||||
60 | Series 2259, Class ZM, 7.000%, 10/15/30 | 70 | ||||||
56 | Series 2271, Class PC, 7.250%, 12/15/30 | 64 | ||||||
49 | Series 2283, Class K, 6.500%, 12/15/23 | 55 | ||||||
24 | Series 2296, Class PD, 7.000%, 03/15/31 | 28 | ||||||
13 | Series 2306, Class K, PO, 05/15/24 | 12 | ||||||
31 | Series 2306, Class SE, IF, IO, 8.350%, 05/15/24 | 6 | ||||||
30 | Series 2333, Class HC, 6.000%, 07/15/31 | 29 | ||||||
8 | Series 2344, Class QG, 6.000%, 08/15/16 | 8 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
462 | Series 2344, Class ZD, 6.500%, 08/15/31 | 530 | ||||||
55 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 63 | ||||||
39 | Series 2345, Class NE, 6.500%, 08/15/31 | 44 | ||||||
16 | Series 2345, Class PQ, 6.500%, 08/15/16 | 17 | ||||||
27 | Series 2347, Class VP, 6.500%, 03/15/20 | 29 | ||||||
52 | Series 2351, Class PZ, 6.500%, 08/15/31 | 58 | ||||||
10 | Series 2355, Class BP, 6.000%, 09/15/16 | 11 | ||||||
12 | Series 2360, Class PG, 6.000%, 09/15/16 | 12 | ||||||
10 | Series 2366, Class MD, 6.000%, 10/15/16 | 11 | ||||||
15 | Series 2391, Class QR, 5.500%, 12/15/16 | 16 | ||||||
41 | Series 2410, Class NG, 6.500%, 02/15/32 | 47 | ||||||
65 | Series 2410, Class OE, 6.375%, 02/15/32 | 70 | ||||||
27 | Series 2410, Class QX, IF, IO, 8.495%, 02/15/32 | 7 | ||||||
103 | Series 2412, Class SP, IF, 15.791%, 02/15/32 | 138 | ||||||
30 | Series 2423, Class MC, 7.000%, 03/15/32 | 34 | ||||||
61 | Series 2423, Class MT, 7.000%, 03/15/32 | 71 | ||||||
243 | Series 2435, Class CJ, 6.500%, 04/15/32 | 265 | ||||||
68 | Series 2441, Class GF, 6.500%, 04/15/32 | 77 | ||||||
66 | Series 2444, Class ES, IF, IO, 7.795%, 03/15/32 | 18 | ||||||
82 | Series 2450, Class GZ, 7.000%, 05/15/32 | 94 | ||||||
26 | Series 2450, Class SW, IF, IO, 7.845%, 03/15/32 | 6 | ||||||
121 | Series 2455, Class GK, 6.500%, 05/15/32 | 136 | ||||||
161 | Series 2466, Class DH, 6.500%, 06/15/32 | 181 | ||||||
76 | Series 2474, Class NR, 6.500%, 07/15/32 | 86 | ||||||
140 | Series 2484, Class LZ, 6.500%, 07/15/32 | 158 | ||||||
170 | Series 2500, Class MC, 6.000%, 09/15/32 | 193 | ||||||
248 | Series 2512, Class PG, 5.500%, 10/15/22 | 272 | ||||||
46 | Series 2535, Class BK, 5.500%, 12/15/22 | 51 | ||||||
59 | Series 2537, Class TE, 5.500%, 12/15/17 | 62 | ||||||
279 | Series 2543, Class YX, 6.000%, 12/15/32 | 316 | ||||||
370 | Series 2568, Class KG, 5.500%, 02/15/23 | 408 | ||||||
497 | Series 2575, Class ME, 6.000%, 02/15/33 | 552 | ||||||
40 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 7 | ||||||
68 | Series 2622, Class PE, 4.500%, 05/15/18 | 71 | ||||||
42 | Series 2631, Class LC, 4.500%, 06/15/18 | 44 | ||||||
68 | Series 2651, Class VZ, 4.500%, 07/15/18 | 71 | ||||||
19 | Series 2672, Class ME, 5.000%, 11/15/22 | 19 | ||||||
144 | Series 2684, Class PO, PO, 01/15/33 | 143 | ||||||
83 | Series 2744, Class TU, 5.500%, 05/15/32 | 86 | ||||||
8 | Series 2777, Class KO, PO, 02/15/33 | 8 | ||||||
319 | Series 2907, Class VC, 4.500%, 05/15/34 | 322 | ||||||
102 | Series 2934, Class EC, PO, 02/15/20 | 101 | ||||||
124 | Series 2990, Class SL, HB, IF, 23.926%, 06/15/34 | 176 | ||||||
1,178 | Series 2990, Class UZ, 5.750%, 06/15/35 | 1,258 | ||||||
278 | Series 2999, Class ND, 4.500%, 07/15/20 | 295 | ||||||
19 | Series 3068, Class AO, PO, 01/15/35 | 19 | ||||||
148 | Series 3117, Class EO, PO, 02/15/36 | 136 | ||||||
16 | Series 3117, Class OK, PO, 02/15/36 | 15 | ||||||
231 | Series 3122, Class OH, PO, 03/15/36 | 219 | ||||||
217 | Series 3137, Class XP, 6.000%, 04/15/36 | 240 | ||||||
6 | Series 3149, Class SO, PO, 05/15/36 | 5 | ||||||
317 | Series 3152, Class MO, PO, 03/15/36 | 298 | ||||||
132 | Series 3171, Class MO, PO, 06/15/36 | 125 | ||||||
56 | Series 3179, Class OA, PO, 07/15/36 | 53 | ||||||
462 | Series 3202, Class HI, IF, IO, 6.495%, 08/15/36 | 78 | ||||||
72 | Series 3232, Class ST, IF, IO, 6.545%, 10/15/36 | 11 | ||||||
80 | Series 3253, Class PO, PO, 12/15/21 | 80 | ||||||
49 | Series 3316, Class JO, PO, 05/15/37 | 45 | ||||||
264 | Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38 | 35 | ||||||
113 | Series 3607, Class AO, PO, 04/15/36 | 105 | ||||||
26 | Series 3607, Class EO, PO, 02/15/33 | 26 | ||||||
72 | Series 3611, Class PO, PO, 07/15/34 | 67 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
99 | Series 3666, Class VA, 5.500%, 12/15/22 | 99 | ||||||
605 | Series 3680, Class MA, 4.500%, 07/15/39 | 650 | ||||||
282 | Series 3804, Class FN, VAR, 0.605%, 03/15/39 | 284 | ||||||
687 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 775 | ||||||
286 | Series 3997, Class PF, VAR, 0.605%, 11/15/39 | 287 | ||||||
906 | Series 4219, Class JA, 3.500%, 08/15/39 | 948 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
40 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 3 | ||||||
874 | Series 262, Class 35, 3.500%, 07/15/42 | 898 | ||||||
865 | Series 267, Class F5, VAR, 0.655%, 08/15/42 | 875 | ||||||
890 | Series 274, Class F1, VAR, 0.655%, 08/15/42 | 899 | ||||||
862 | Series 279, Class F6, VAR, 0.605%, 09/15/42 | 869 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
39 | Series T-41, Class 3A, VAR, 6.616%, 07/25/32 | 45 | ||||||
33 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 39 | ||||||
334 | Series T-54, Class 2A, 6.500%, 02/25/43 | 399 | ||||||
117 | Series T-54, Class 3A, 7.000%, 02/25/43 | 143 | ||||||
882 | Series T-56, Class A5, 5.231%, 05/25/43 | 983 | ||||||
29 | Series T-58, Class APO, PO, 09/25/43 | 25 | ||||||
236 | Series T-76, Class 2A, VAR, 1.299%, 10/25/37 | 226 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
500 | Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 | 553 | ||||||
379 | Series 2012-M11, Class FA, VAR, 0.676%, 08/25/19 | 380 | ||||||
1,000 | Series 2012-M9, Class A2, 2.482%, 04/25/22 | 1,000 | ||||||
1,000 | Series 2014-M12, Class ASV2, VAR, 2.614%, 10/25/21 | 1,016 | ||||||
636 | Series 2014-M13, Class A2, 3.021%, 08/25/24 | 649 | ||||||
444 | Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23 | 473 | ||||||
2,000 | Series 2014-M3, Class A2, VAR, 3.501%, 01/25/24 | 2,125 | ||||||
96 | Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41 | 112 | ||||||
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 | 5 | ||||||
2 | 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) | ||||
7 | 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, 21.367%, 11/25/20 | 1 | ||||||
| (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | | (h) | ||||
2 | Series 1991-42, Class S, IF, 17.403%, 05/25/21 | 3 | ||||||
38 | Series 1992-107, Class SB, HB, IF, 29.608%, 06/25/22 | 64 | ||||||
3 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 3 | ||||||
19 | Series 1993-25, Class J, 7.500%, 03/25/23 | 22 | ||||||
128 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 143 | ||||||
46 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 51 | ||||||
10 | Series 1993-62, Class SA, IF, 18.986%, 04/25/23 | 14 | ||||||
12 | Series 1993-122, Class M, 6.500%, 07/25/23 | 13 | ||||||
5 | Series 1993-165, Class SD, IF, 13.450%, 09/25/23 | 6 | ||||||
20 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 22 | ||||||
326 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 357 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
141 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 159 | ||||||
30 | Series 1993-247, Class SA, HB, IF, 28.075%, 12/25/23 | 51 | ||||||
16 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 16 | ||||||
2 | Series 1994-9, Class E, PO, 11/25/23 | 2 | ||||||
84 | Series 1996-14, Class SE, IF, IO, 8.500%, 08/25/23 | 20 | ||||||
2 | Series 1996-27, Class FC, VAR, 0.655%, 03/25/17 | 2 | ||||||
9 | Series 1996-59, Class J, 6.500%, 08/25/22 | 10 | ||||||
41 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 2 | ||||||
41 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 2 | ||||||
19 | Series 1997-27, Class J, 7.500%, 04/18/27 | 22 | ||||||
26 | Series 1997-29, Class J, 7.500%, 04/20/27 | 30 | ||||||
57 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 67 | ||||||
17 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 3 | ||||||
2 | Series 1998-4, Class C, PO, 04/25/23 | 2 | ||||||
16 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 18 | ||||||
190 | Series 1998-43, Class EA, PO, 04/25/23 | 182 | ||||||
111 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 127 | ||||||
38 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 42 | ||||||
74 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 13 | ||||||
87 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 100 | ||||||
19 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 22 | ||||||
140 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 155 | ||||||
18 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 20 | ||||||
25 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 26 | ||||||
28 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 29 | ||||||
190 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 197 | ||||||
15 | Series 2001-81, Class LO, PO, 01/25/32 | 14 | ||||||
43 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 48 | ||||||
22 | Series 2002-1, Class SA, HB, IF, 24.683%, 02/25/32 | 37 | ||||||
16 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 17 | ||||||
27 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 28 | ||||||
54 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 61 | ||||||
64 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 67 | ||||||
56 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 63 | ||||||
61 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 68 | ||||||
82 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 85 | ||||||
202 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 213 | ||||||
162 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 179 | ||||||
304 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 357 | ||||||
13 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 3 | ||||||
212 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 235 | ||||||
27 | Series 2003-52, Class SX, HB, IF, 22.484%, 10/25/31 | 42 | ||||||
28 | Series 2003-64, Class SX, IF, 13.358%, 07/25/33 | 35 | ||||||
124 | Series 2003-71, Class DS, IF, 7.258%, 08/25/33 | 130 | ||||||
86 | Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23 | 7 | ||||||
93 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 98 | ||||||
22 | Series 2003-91, Class SD, IF, 12.241%, 09/25/33 | 26 | ||||||
188 | Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33 | 49 | ||||||
22 | Series 2003-130, Class SX, IF, 11.287%, 01/25/34 | 26 | ||||||
197 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 210 | ||||||
134 | Series 2004-25, Class SA, IF, 19.098%, 04/25/34 | 188 | ||||||
132 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 140 | ||||||
129 | Series 2004-36, Class SA, IF, 19.098%, 05/25/34 | 179 | ||||||
84 | Series 2004-46, Class SK, IF, 16.073%, 05/25/34 | 107 | ||||||
886 | Series 2004-50, Class VZ, 5.500%, 07/25/34 | 973 | ||||||
69 | Series 2004-61, Class SH, HB, IF, 23.367%, 11/25/32 | 107 | ||||||
64 | Series 2004-74, Class SW, IF, 15.194%, 11/25/31 | 88 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
80 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 84 | ||||||
126 | Series 2005-45, Class DC, HB, IF, 23.741%, 06/25/35 | 188 | ||||||
27 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 29 | ||||||
96 | Series 2005-56, Class S, IF, IO, 6.555%, 07/25/35 | 19 | ||||||
184 | Series 2005-56, Class TP, IF, 17.684%, 08/25/33 | 247 | ||||||
609 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 677 | ||||||
238 | Series 2005-73, Class PS, IF, 16.312%, 08/25/35 | 313 | ||||||
108 | Series 2005-74, Class CS, IF, 19.593%, 05/25/35 | 149 | ||||||
207 | Series 2005-106, Class US, HB, IF, 23.997%, 11/25/35 | 309 | ||||||
703 | Series 2005-121, Class DX, 5.500%, 01/25/26 | 776 | ||||||
224 | Series 2006-27, Class OH, PO, 04/25/36 | 213 | ||||||
69 | Series 2006-44, Class P, PO, 12/25/33 | 65 | ||||||
430 | Series 2006-56, Class FC, VAR, 0.445%, 07/25/36 | 432 | ||||||
101 | Series 2006-59, Class QO, PO, 01/25/33 | 100 | ||||||
70 | Series 2006-65, Class QO, PO, 07/25/36 | 65 | ||||||
106 | Series 2006-72, Class GO, PO, 08/25/36 | 95 | ||||||
226 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 258 | ||||||
85 | Series 2006-79, Class DO, PO, 08/25/36 | 79 | ||||||
149 | Series 2006-110, Class PO, PO, 11/25/36 | 134 | ||||||
257 | Series 2006-124, Class HB, VAR, 5.992%, 11/25/36 | 261 | ||||||
116 | Series 2007-14, Class ES, IF, IO, 6.285%, 03/25/37 | 16 | ||||||
88 | Series 2007-79, Class SB, HB, IF, 23.447%, 08/25/37 | 127 | ||||||
500 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 575 | ||||||
228 | Series 2007-88, Class VI, IF, IO, 6.385%, 09/25/37 | 34 | ||||||
574 | Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37 | 82 | ||||||
117 | Series 2007-106, Class A7, VAR, 6.144%, 10/25/37 | 130 | ||||||
148 | Series 2007-116, Class HI, IO, VAR, 1.535%, 01/25/38 | 11 | ||||||
64 | Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38 | 9 | ||||||
48 | Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38 | 7 | ||||||
94 | Series 2008-28, Class QS, HB, IF, 20.234%, 04/25/38 | 129 | ||||||
136 | Series 2008-46, Class HI, IO, VAR, 1.782%, 06/25/38 | 13 | ||||||
119 | Series 2009-69, Class PO, PO, 09/25/39 | 113 | ||||||
758 | Series 2009-71, Class BC, 4.500%, 09/25/24 | 835 | ||||||
248 | Series 2009-103, Class MB, VAR, 2.324%, 12/25/39 | 253 | ||||||
415 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 472 | ||||||
712 | Series 2010-133, Class A, 5.500%, 05/25/38 | 775 | ||||||
1,000 | Series 2011-44, Class EB, 3.000%, 05/25/26 | 1,015 | ||||||
538 | Series 2011-118, Class MT, 7.000%, 11/25/41 | 624 | ||||||
510 | Series 2011-118, Class NT, 7.000%, 11/25/41 | 599 | ||||||
316 | Series 2012-47, Class HF, VAR, 0.555%, 05/25/27 | 318 | ||||||
885 | Series 2012-112, Class FD, VAR, 0.655%, 10/25/42 | 893 | ||||||
468 | Series 2013-101, Class DO, PO, 10/25/43 | 369 | ||||||
468 | Series 2013-128, Class PO, PO, 12/25/43 | 374 | ||||||
2 | Series G-14, Class L, 8.500%, 06/25/21 | 3 | ||||||
10 | Series G-18, Class Z, 8.750%, 06/25/21 | 11 | ||||||
1 | Series G-22, Class G, 6.000%, 12/25/16 | 1 | ||||||
8 | Series G-35, Class M, 8.750%, 10/25/21 | 9 | ||||||
34 | Series G92-35, Class E, 7.500%, 07/25/22 | 38 | ||||||
2 | Series G92-42, Class Z, 7.000%, 07/25/22 | 2 | ||||||
20 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 21 | ||||||
30 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 34 | ||||||
8 | Series G93-5, Class Z, 6.500%, 02/25/23 | 9 | ||||||
10 | Series G95-1, Class C, 8.800%, 01/25/25 | 12 | ||||||
Federal National Mortgage Association REMIC Trust, | ||||||||
150 | Series 2003-W1, Class 1A1, VAR, 5.860%, 12/25/42 | 171 | ||||||
36 | Series 2003-W4, Class 2A, VAR, 6.368%, 10/25/42 | 40 | ||||||
35 | Series 2007-W7, Class 1A4, HB, IF, 38.248%, 07/25/37 | 54 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
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 | | (h) | |||||
81 | Series 300, Class 1, PO, 09/25/24 | 78 | ||||||
14 | Series 329, Class 1, PO, 01/25/33 | 13 | ||||||
Federal National Mortgage Association Trust, | ||||||||
79 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 91 | ||||||
252 | Series 2005-W3, Class 2AF, VAR, 0.375%, 03/25/45 | 253 | ||||||
Government National Mortgage Association, | ||||||||
174 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 199 | ||||||
19 | Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29 | 5 | ||||||
12 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 14 | ||||||
241 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 288 | ||||||
34 | Series 2002-31, Class S, IF, IO, 8.545%, 01/16/31 | 10 | ||||||
97 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 111 | ||||||
92 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 105 | ||||||
116 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 131 | ||||||
115 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 132 | ||||||
19 | Series 2003-24, Class PO, PO, 03/16/33 | 17 | ||||||
304 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 355 | ||||||
99 | Series 2003-52, Class AP, PO, 06/16/33 | 93 | ||||||
24 | Series 2004-28, Class S, IF, 19.237%, 04/16/34 | 36 | ||||||
62 | Series 2004-71, Class SB, HB, IF, 28.703%, 09/20/34 | 97 | ||||||
42 | Series 2004-73, Class AE, IF, 14.536%, 08/17/34 | 52 | ||||||
329 | Series 2004-90, Class SI, IF, IO, 5.945%, 10/20/34 | 51 | ||||||
100 | Series 2005-68, Class DP, IF, 16.061%, 06/17/35 | 134 | ||||||
643 | Series 2005-68, Class KI, IF, IO, 6.145%, 09/20/35 | 102 | ||||||
73 | Series 2006-59, Class SD, IF, IO, 6.545%, 10/20/36 | 13 | ||||||
258 | Series 2007-17, Class JI, IF, IO, 6.655%, 04/16/37 | 42 | ||||||
304 | Series 2007-27, Class SA, IF, IO, 6.045%, 05/20/37 | 44 | ||||||
474 | Series 2007-40, Class SB, IF, IO, 6.595%, 07/20/37 | 76 | ||||||
286 | Series 2007-45, Class QA, IF, IO, 6.485%, 07/20/37 | 45 | ||||||
286 | Series 2007-50, Class AI, IF, IO, 6.620%, 08/20/37 | 46 | ||||||
68 | Series 2007-53, Class ES, IF, IO, 6.395%, 09/20/37 | 11 | ||||||
72 | Series 2007-53, Class SW, IF, 19.740%, 09/20/37 | 99 | ||||||
161 | Series 2007-57, Class QA, IF, IO, 6.345%, 10/20/37 | 25 | ||||||
78 | Series 2007-71, Class SB, IF, IO, 6.545%, 07/20/36 | 6 | ||||||
148 | Series 2007-72, Class US, IF, IO, 6.395%, 11/20/37 | 23 | ||||||
147 | Series 2007-76, Class SA, IF, IO, 6.375%, 11/20/37 | 23 | ||||||
43 | Series 2008-25, Class SB, IF, IO, 6.745%, 03/20/38 | 7 | ||||||
88 | Series 2008-33, Class XS, IF, IO, 7.545%, 04/16/38 | 20 | ||||||
251 | Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38 | 45 | ||||||
395 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 444 | ||||||
206 | Series 2008-55, Class SA, IF, IO, 6.045%, 06/20/38 | 29 | ||||||
208 | Series 2008-93, Class AS, IF, IO, 5.545%, 12/20/38 | 27 | ||||||
81 | Series 2009-6, Class SA, IF, IO, 5.945%, 02/16/39 | 11 | ||||||
93 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 19 | ||||||
321 | Series 2009-22, Class SA, IF, IO, 6.115%, 04/20/39 | 44 | ||||||
289 | Series 2009-31, Class ST, IF, IO, 6.195%, 03/20/39 | 36 | ||||||
289 | Series 2009-31, Class TS, IF, IO, 6.145%, 03/20/39 | 36 | ||||||
244 | Series 2009-79, Class OK, PO, 11/16/37 | 230 | ||||||
482 | Series 2009-106, Class ST, IF, IO, 5.845%, 02/20/38 | 68 | ||||||
132 | Series 2010-14, Class AO, PO, 12/20/32 | 130 | ||||||
162 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 190 | ||||||
564 | Series 2011-137, Class WA, VAR, 5.525%, 07/20/40 | 638 | ||||||
486 | Series 2012-H21, Class DF, VAR, 0.805%, 05/20/61 | 487 | ||||||
363 | Series 2012-H24, Class FA, VAR, 0.605%, 03/20/60 | 364 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Agency CMO continued | ||||||||
483 | Series 2012-H26, Class MA, VAR, 0.705%, 07/20/62 | 485 | ||||||
833 | Series 2013-91, Class WA, VAR, 4.520%, 04/20/43 | 898 | ||||||
351 | Series 2013-H03, Class FA, VAR, 0.455%, 08/20/60 | 351 | ||||||
498 | Series 2013-H07, Class JA, 1.750%, 03/20/63 | 497 | ||||||
987 | Series 2014-H15, Class FA, VAR, 0.652%, 07/20/64 | 988 | ||||||
996 | Series 2014-H17, Class FC, VAR, 0.652%, 07/20/64 | 997 | ||||||
1,000 | Series 2014-H19, Class FE, VAR, 0.622%, 09/20/64 | 999 | ||||||
109 | NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 110 | ||||||
Vendee Mortgage Trust, | ||||||||
510 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 586 | ||||||
231 | Series 1994-1, Class 1, VAR, 5.573%, 02/15/24 | 253 | ||||||
333 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 382 | ||||||
113 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 131 | ||||||
442 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 522 | ||||||
110 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 128 | ||||||
|
|
|||||||
57,068 | ||||||||
|
|
|||||||
Non-Agency CMO 3.6% | ||||||||
492 | Ajax Mortgage Loan Trust, Series 2014-A, Class A, SUB, 3.750%, 10/25/57 (e) | 491 | ||||||
Alternative Loan Trust, | ||||||||
1,862 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,905 | ||||||
334 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 304 | ||||||
ASG Resecuritization Trust, | ||||||||
94 | Series 2009-1, Class A60, VAR, 2.055%, 06/26/37 (e) | 92 | ||||||
11 | Series 2009-2, Class A55, VAR, 4.721%, 05/24/36 (e) | 11 | ||||||
261 | Series 2009-3, Class A65, VAR, 2.045%, 03/26/37 (e) | 260 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
68 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 69 | ||||||
18 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 18 | ||||||
35 | Series 2003-11, Class PO, PO, 01/25/34 | 31 | ||||||
33 | Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34 | 27 | ||||||
Banc of America Mortgage Trust, | ||||||||
16 | Series 2003-8, Class APO, PO, 11/25/33 | 13 | ||||||
12 | Series 2004-1, Class APO, PO, 02/25/34 | 11 | ||||||
47 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 48 | ||||||
22 | Series 2004-6, Class APO, PO, 07/25/34 | 20 | ||||||
BCAP LLC Trust, | ||||||||
334 | Series 2010-RR7, Class 2A1, VAR, 2.071%, 07/26/45 (e) | 335 | ||||||
298 | Series 2011-RR10, Class 2A1, VAR, 0.940%, 09/26/37 (e) | 273 | ||||||
16 | Series 2011-RR5, Class 14A3, VAR, 2.593%, 07/26/36 (e) | 16 | ||||||
170 | Series 2012-RR2, Class 1A1, VAR, 0.325%, 08/26/36 (e) | 166 | ||||||
104 | Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.160%, 08/25/35 | 105 | ||||||
120 | CAM Mortgage Trust, Series 2014-2, Class A, SUB, 2.600%, 05/15/48 (e) | 120 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
10 | Series 2003-J13, Class PO, PO, 01/25/34 | 10 | ||||||
18 | Series 2003-J7, Class 4A3, IF, 9.572%, 08/25/18 | 19 | ||||||
72 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 75 | ||||||
30 | Series 2004-HYB3, Class 2A, VAR, 2.208%, 06/20/34 | 28 | ||||||
312 | Series 2005-22, Class 2A1, VAR, 2.465%, 11/25/35 | 264 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
138 | Series 2008-AR4, Class 1A1A, VAR, 2.730%, 11/25/38 (e) | 139 | ||||||
387 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 394 | ||||||
205 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 210 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
30 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 31 | ||||||
21 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 21 | ||||||
2 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 2 | ||||||
4 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 4 | ||||||
36 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 37 | ||||||
CSMC, | ||||||||
92 | Series 2011-9R, Class A1, VAR, 2.156%, 03/27/46 (e) | 92 | ||||||
89 | Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) | 90 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
686 | CSMC Trust, Series 2010-11R, Class A6, VAR, 1.156%, 06/28/47 (e) | 658 | ||||||
142 | Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.300%, 06/25/20 | 143 | ||||||
14 | Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18 | 14 | ||||||
73 | FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e) | 73 | ||||||
First Horizon Mortgage Pass-Through Trust, | ||||||||
143 | Series 2004-AR7, Class 2A2, VAR, 2.571%, 02/25/35 | 143 | ||||||
161 | Series 2005-AR1, Class 2A2, VAR, 2.573%, 04/25/35 | 160 | ||||||
297 | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 275 | ||||||
50 | Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33 | 29 | ||||||
249 | IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35 | | (h) | |||||
JP Morgan Mortgage Trust, | ||||||||
68 | Series 2006-A2, Class 4A1, VAR, 2.503%, 08/25/34 | 68 | ||||||
229 | Series 2006-A2, Class 5A3, VAR, 2.438%, 11/25/33 | 230 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
44 | Series 2004-3, Class 4A2, VAR, 2.317%, 04/25/34 | 41 | ||||||
193 | Series 2004-13, Class 2A1, VAR, 2.643%, 04/21/34 | 194 | ||||||
MASTR Alternative Loan Trust, | ||||||||
151 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 152 | ||||||
335 | Series 2004-4, Class 10A1, 5.000%, 05/25/24 | 354 | ||||||
26 | Series 2004-7, Class 30PO, PO, 08/25/34 | 20 | ||||||
27 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 28 | ||||||
115 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 112 | ||||||
MASTR Asset Securitization Trust, | ||||||||
47 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 47 | ||||||
7 | Series 2004-8, Class PO, PO, 08/25/19 | 7 | ||||||
72 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 58 | ||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||
75 | Series 2003-E, Class A1, VAR, 0.775%, 10/25/28 | 74 | ||||||
117 | Series 2004-A, Class A1, VAR, 0.615%, 04/25/29 | 111 | ||||||
49 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.475%, 02/25/35 | 48 | ||||||
63 | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 64 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, | ||||||||
47 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 48 | ||||||
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, | ||||||||
22 | Series 2002-QS16, Class A3, IF, 16.298%, 10/25/17 | 22 | ||||||
110 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 112 | ||||||
33 | Series 2003-QS3, Class A2, IF, 16.158%, 02/25/18 | 36 | ||||||
128 | Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18 | 13 | ||||||
147 | Series 2004-QS3, Class CB, 5.000%, 03/25/19 | 151 | ||||||
117 | Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 104 | ||||||
11 | Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19 | 12 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
66 | Series 2003-HYB1, Class A, VAR, 2.494%, 09/25/33 | 67 | ||||||
3 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 2 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
231 | Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 234 | ||||||
171 | Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e) | 171 | ||||||
103 | Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e) | 103 | ||||||
118 | Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e) | 118 | ||||||
257 | Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e) | 257 | ||||||
125 | Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e) | 127 | ||||||
203 | Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e) | 203 | ||||||
306 | Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e) | 308 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Collateralized Mortgage Obligations continued |
| ||||||
Non-Agency CMO continued | ||||||||
106 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 108 | ||||||
59 | Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 59 | ||||||
119 | VML LLC, Series 2014-NPL1, Class A1, VAR, 3.875%, 04/25/54 (e) | 119 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
26 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 26 | ||||||
143 | Series 2003-AR5, Class A7, VAR, 2.443%, 06/25/33 | 144 | ||||||
75 | Series 2004-AR3, Class A2, VAR, 2.370%, 06/25/34 | 77 | ||||||
272 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.500%, 06/25/35 | 253 | ||||||
Washington Mutual MSC Mortgage Pass- Through Certificates Trust, | ||||||||
36 | Series 2003-MS2, Class 1A1, 5.750%, 02/25/33 | 38 | ||||||
8 | Series 2003-MS7, Class P, PO, 03/25/33 | 6 | ||||||
182 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 179 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
55 | Series 2003-K, Class 1A1, VAR, 2.490%, 11/25/33 | 55 | ||||||
87 | Series 2004-EE, Class 3A1, VAR, 2.496%, 12/25/34 | 89 | ||||||
282 | Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34 | 285 | ||||||
475 | Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35 | 478 | ||||||
|
|
|||||||
12,872 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $66,635) |
69,940 | |||||||
|
|
|||||||
|
Commercial Mortgage-Backed Securities 2.5% |
|||||||
A10 Term Asset Financing LLC, | ||||||||
429 | Series 2013-2, Class A, 2.620%, 11/15/27 (e) | 433 | ||||||
250 | Series 2014-1, Class A1, 1.720%, 04/15/33 (e) | 250 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||
50 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 52 | ||||||
279 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 293 | ||||||
300 | Series 2007-5, Class A4, 5.492%, 02/10/51 | 323 | ||||||
150 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.727%, 07/10/43 | 152 | ||||||
200 | BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e) | 197 | ||||||
355 | Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW11, Class A4, VAR, 5.602%, 03/11/39 | 369 | ||||||
13,567 | CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.549%, 12/11/49 (e) | 95 | ||||||
COMM Mortgage Trust, | ||||||||
500 | Series 2012-9W57, Class A, 2.365%, 02/10/29 (e) | 512 | ||||||
423 | Series 2014-KYO, Class A, VAR, 1.057%, 06/11/27 (e) | 423 | ||||||
132 | Series 2014-PAT, Class A, VAR, 0.953%, 08/13/27 (e) | 132 | ||||||
300 | Series 2014-TWC, Class A, VAR, 1.003%, 02/13/32 (e) | 300 | ||||||
40 | Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.094%, 11/17/26 (e) | 40 | ||||||
202 | CSMC, Series 2014-ICE, Class A, VAR, 0.955%, 04/15/27 (e) | 202 | ||||||
86 | DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e) | 86 | ||||||
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, | ||||||||
1,000 | Series K037, Class A2, 3.490%, 01/25/24 | 1,065 | ||||||
500 | Series KSMC, Class A2, 2.615%, 01/25/23 | 502 | ||||||
250 | GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 256 | ||||||
49 | LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 | 50 | ||||||
316 | Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.000%, 07/27/49 (e) | 317 | ||||||
645 | NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20 | 663 | ||||||
NorthStar, (Cayman Islands), | ||||||||
325 | Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e) | 325 | ||||||
250 | Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e) | 252 | ||||||
26 | NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.355%, 08/25/29 (e) | 26 | ||||||
185 | ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e) | 185 | ||||||
250 | RAIT Trust, Series 2014-FL3, Class A, VAR, 1.405%, 12/15/31 (e) | 250 | ||||||
167 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.563%, 08/15/39 | 167 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Commercial Mortgage-Backed Securities continued |
| ||||||
116 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 119 | ||||||
104 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63 | 109 | ||||||
500 | VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.808%, 12/13/29 (e) | 533 | ||||||
161 | Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 161 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities (Cost $8,654) |
8,839 | |||||||
|
|
|||||||
|
Corporate Bonds 18.7% |
| ||||||
Consumer Discretionary 0.9% | ||||||||
Auto Components 0.0% (g) | ||||||||
99 | Johnson Controls, Inc., 3.750%, 12/01/21 | 103 | ||||||
|
|
|||||||
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) | 154 | ||||||
|
|
|||||||
456 | ||||||||
|
|
|||||||
Media 0.5% | ||||||||
21st Century Fox America, Inc., | ||||||||
100 | 7.250%, 05/18/18 | 118 | ||||||
100 | 7.700%, 10/30/25 | 132 | ||||||
CBS Corp., | ||||||||
94 | 3.700%, 08/15/24 | 94 | ||||||
25 | 4.300%, 02/15/21 | 27 | ||||||
25 | 5.750%, 04/15/20 | 28 | ||||||
100 | Comcast Corp., 5.900%, 03/15/16 | 107 | ||||||
16 | Cox Communications, Inc., 5.450%, 12/15/14 | 16 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
150 | 4.600%, 02/15/21 | 163 | ||||||
353 | 5.000%, 03/01/21 | 390 | ||||||
78 | Discovery Communications LLC, 4.375%, 06/15/21 | 83 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
51 | 3.850%, 09/29/24 | 52 | ||||||
105 | 3.950%, 09/30/21 | 111 | ||||||
60 | 4.700%, 10/15/19 | 65 | ||||||
Time Warner Cable, Inc., | ||||||||
57 | 5.850%, 05/01/17 | 63 | ||||||
Media continued | ||||||||
50 | 6.750%, 07/01/18 | 58 | ||||||
150 | 8.250%, 04/01/19 | 185 | ||||||
35 | 8.750%, 02/14/19 | 44 | ||||||
Viacom, Inc., | ||||||||
18 | 1.250%, 02/27/15 | 18 | ||||||
50 | 3.125%, 06/15/22 | 49 | ||||||
11 | 3.250%, 03/15/23 | 11 | ||||||
43 | 3.875%, 12/15/21 | 44 | ||||||
50 | 4.500%, 03/01/21 | 54 | ||||||
15 | 6.250%, 04/30/16 | 16 | ||||||
42 | Walt Disney Co. (The), 0.450%, 12/01/15 | 42 | ||||||
|
|
|||||||
1,970 | ||||||||
|
|
|||||||
Multiline Retail 0.2% | ||||||||
40 | Kohls Corp., 6.250%, 12/15/17 | 45 | ||||||
Macys Retail Holdings, Inc., | ||||||||
37 | 2.875%, 02/15/23 | 36 | ||||||
49 | 4.375%, 09/01/23 | 52 | ||||||
25 | 7.450%, 07/15/17 | 29 | ||||||
35 | Nordstrom, Inc., 4.000%, 10/15/21 | 38 | ||||||
400 | Target Corp., 6.000%, 01/15/18 | 454 | ||||||
|
|
|||||||
654 | ||||||||
|
|
|||||||
Specialty Retail 0.1% | ||||||||
32 | Bed Bath & Beyond, Inc., 4.915%, 08/01/34 | 33 | ||||||
59 | Gap, Inc. (The), 5.950%, 04/12/21 | 67 | ||||||
130 | Home Depot, Inc. (The), 5.400%, 03/01/16 | 138 | ||||||
|
|
|||||||
238 | ||||||||
|
|
|||||||
Total Consumer Discretionary | 3,421 | |||||||
|
|
|||||||
Consumer Staples 0.8% | ||||||||
Beverages 0.3% | ||||||||
75 | Anheuser-Busch Cos. LLC, 5.500%, 01/15/18 | 84 | ||||||
150 | Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24 | 156 | ||||||
36 | Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 | 44 | ||||||
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 | 31 | ||||||
85 | FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e) | 87 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Beverages continued | ||||||||
30 | Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e) | 30 | ||||||
PepsiCo, Inc., | ||||||||
180 | 1.250%, 08/13/17 | 180 | ||||||
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 | ||||||
|
|
|||||||
819 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.2% | ||||||||
179 | CVS Health Corp., 4.000%, 12/05/23 | 189 | ||||||
52 | 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 | 95 | ||||||
30 | 6.150%, 01/15/20 | 35 | ||||||
75 | 6.400%, 08/15/17 | 84 | ||||||
37 | Sysco Corp., 3.000%, 10/02/21 | 38 | ||||||
94 | Walgreen Co., 3.100%, 09/15/22 | 94 | ||||||
91 | Walgreens Boots Alliance, Inc., 3.300%, 11/18/21 | 92 | ||||||
|
|
|||||||
740 | ||||||||
|
|
|||||||
Food Products 0.3% | ||||||||
135 | Bunge Ltd. Finance Corp., 8.500%, 06/15/19 | 168 | ||||||
14 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 15 | ||||||
Cargill, Inc., | ||||||||
100 | 3.300%, 03/01/22 (e) | 104 | ||||||
106 | 4.307%, 05/14/21 (e) | 117 | ||||||
24 | ConAgra Foods, Inc., 2.100%, 03/15/18 | 24 | ||||||
Kraft Foods Group, Inc., | ||||||||
52 | 5.375%, 02/10/20 | 60 | ||||||
332 | 6.125%, 08/23/18 | 381 | ||||||
150 | Mondelez International, Inc., 4.000%, 02/01/24 | 157 | ||||||
73 | Tyson Foods, Inc., 3.950%, 08/15/24 | 75 | ||||||
|
|
|||||||
1,101 | ||||||||
|
|
|||||||
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 | 75 | ||||||
|
|
|||||||
95 | ||||||||
|
|
|||||||
Total Consumer Staples | 2,755 | |||||||
|
|
|||||||
Energy 1.6% | ||||||||
Energy Equipment & Services 0.1% | ||||||||
14 | Cameron International Corp., 4.000%, 12/15/23 | |||||||
107 | Halliburton Co., 3.500%, 08/01/23 | 15 | ||||||
15 | National Oilwell Varco, Inc., 1.350%, 12/01/17 | 109 | ||||||
12 | Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22 | 15 | ||||||
47 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) | 11 | ||||||
Transocean, Inc., (Cayman Islands), | 49 | |||||||
39 | 3.800%, 10/15/22 | |||||||
35 | 6.375%, 12/15/21 | 33 | ||||||
100 | 6.500%, 11/15/20 | 35 | ||||||
33 | Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22 | 99 | ||||||
33 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.5% | 399 | |||||||
|
|
|||||||
Apache Corp., | ||||||||
42 | 3.250%, 04/15/22 | 42 | ||||||
25 | 6.900%, 09/15/18 | 29 | ||||||
29 | Boardwalk Pipelines LP, 4.950%, 12/15/24 | 29 | ||||||
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 | 101 | ||||||
66 | 3.814%, 02/10/24 | 68 | ||||||
100 | 4.742%, 03/11/21 | 111 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
25 | 3.900%, 02/01/25 | 25 | ||||||
150 | 5.900%, 02/01/18 | 169 | ||||||
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 | 172 | ||||||
190 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 207 | ||||||
58 | Ecopetrol S.A., (Colombia), 4.125%, 01/16/25 | 56 | ||||||
80 | Encana Corp., (Canada), 6.500%, 05/15/19 | 93 | ||||||
200 | Eni S.p.A., (Italy), 4.150%, 10/01/20 (e) | 217 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Oil, Gas & Consumable Fuels continued | ||||||||
Enterprise Products Operating LLC, | ||||||||
37 | 3.750%, 02/15/25 | 37 | ||||||
49 | 3.900%, 02/15/24 | 51 | ||||||
EOG Resources, Inc., | ||||||||
23 | 2.625%, 03/15/23 | 22 | ||||||
100 | 4.100%, 02/01/21 | 108 | ||||||
50 | Magellan Midstream Partners LP, 6.550%, 07/15/19 | 59 | ||||||
Marathon Oil Corp., | ||||||||
228 | 5.900%, 03/15/18 | 256 | ||||||
175 | 6.000%, 10/01/17 | 196 | ||||||
67 | Marathon Petroleum Corp., 3.625%, 09/15/24 | 66 | ||||||
35 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 35 | ||||||
Petrobras Global Finance B.V., (Netherlands), | ||||||||
84 | 4.375%, 05/20/23 | 78 | ||||||
295 | 6.250%, 03/17/24 | 303 | ||||||
Petrobras International Finance Co. S.A., (Cayman Islands), | ||||||||
90 | 5.375%, 01/27/21 | 90 | ||||||
50 | 7.875%, 03/15/19 | 55 | ||||||
97 | Petro-Canada, (Canada), 6.050%, 05/15/18 | 111 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
59 | 4.250%, 01/15/25 (e) | 60 | ||||||
69 | 4.875%, 01/18/24 | 73 | ||||||
43 | Phillips 66, 2.950%, 05/01/17 | 45 | ||||||
100 | Plains All American Pipeline LP/PAA Finance Corp., 3.600%, 11/01/24 | 100 | ||||||
200 | Sinopec Group Overseas Development 2013 Ltd., (United Kingdom), 4.375%, 10/17/23 (e) | 212 | ||||||
Spectra Energy Capital LLC, | ||||||||
150 | 5.650%, 03/01/20 | 168 | ||||||
140 | 6.200%, 04/15/18 | 159 | ||||||
50 | 8.000%, 10/01/19 | 62 | ||||||
79 | Spectra Energy Partners LP, 2.950%, 09/25/18 | 81 | ||||||
Statoil ASA, (Norway), | ||||||||
143 | 2.650%, 01/15/24 | 137 | ||||||
42 | 2.900%, 11/08/20 | 43 | ||||||
67 | 3.125%, 08/17/17 | 70 | ||||||
83 | 3.150%, 01/23/22 | 85 | ||||||
50 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 59 | ||||||
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 | 152 | ||||||
175 | Total Capital S.A., (France), 2.300%, 03/15/16 | 179 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
100 | 6.500%, 08/15/18 | 116 | ||||||
30 | 7.125%, 01/15/19 | 36 | ||||||
|
|
|||||||
5,293 | ||||||||
|
|
|||||||
Total Energy | 5,692 | |||||||
|
|
|||||||
Financials 10.2% | ||||||||
Banks 4.2% | ||||||||
200 | ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e) | 203 | ||||||
ANZ New Zealand International Ltd., (New Zealand), | ||||||||
200 | 2.600%, 09/23/19 (e) | 204 | ||||||
100 | 3.125%, 08/10/15 (e) | 102 | ||||||
250 | Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e) | 257 | ||||||
Bank of America Corp., | ||||||||
42 | 4.100%, 07/24/23 | 44 | ||||||
200 | Series C, 5.000%, 01/15/15 | 201 | ||||||
100 | 5.000%, 05/13/21 | 111 | ||||||
130 | 5.625%, 07/01/20 | 149 | ||||||
300 | Series L, 5.650%, 05/01/18 | 336 | ||||||
150 | 5.700%, 01/24/22 | 175 | ||||||
170 | 5.750%, 12/01/17 | 189 | ||||||
50 | 5.875%, 01/05/21 | 58 | ||||||
814 | 6.400%, 08/28/17 | 915 | ||||||
100 | 6.500%, 08/01/16 | 109 | ||||||
266 | 6.875%, 04/25/18 | 309 | ||||||
85 | Bank of Montreal, (Canada), 2.550%, 11/06/22 | 83 | ||||||
Bank of Nova Scotia (The), (Canada), | ||||||||
121 | 1.650%, 10/29/15 (e) | 122 | ||||||
175 | 2.550%, 01/12/17 | 181 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Banks continued | ||||||||
123 | 3.400%, 01/22/15 | 123 | ||||||
136 | Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 3.850%, 01/22/15 (e) | 137 | ||||||
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) | 203 | ||||||
100 | 2.750%, 02/23/15 | 101 | ||||||
250 | 6.050%, 12/04/17 (e) | 277 | ||||||
BB&T Corp., | ||||||||
125 | 3.950%, 04/29/16 | 130 | ||||||
100 | 5.250%, 11/01/19 | 113 | ||||||
300 | Capital One Bank USA N.A., 3.375%, 02/15/23 | 298 | ||||||
Citigroup, Inc., | ||||||||
13 | 1.250%, 01/15/16 | 13 | ||||||
135 | 3.375%, 03/01/23 | 137 | ||||||
73 | 3.750%, 06/16/24 | 75 | ||||||
3 | 4.587%, 12/15/15 | 3 | ||||||
59 | 4.750%, 05/19/15 | 60 | ||||||
14 | 5.375%, 08/09/20 | 16 | ||||||
115 | 5.500%, 09/13/25 | 129 | ||||||
13 | 6.000%, 08/15/17 | 14 | ||||||
192 | 6.010%, 01/15/15 | 193 | ||||||
300 | 6.125%, 11/21/17 | 338 | ||||||
Comerica, Inc., | ||||||||
55 | 3.000%, 09/16/15 | 56 | ||||||
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) | 252 | ||||||
34 | 3.375%, 01/19/17 | 36 | ||||||
118 | 3.875%, 02/08/22 | 126 | ||||||
350 | Fifth Third Bancorp, 5.450%, 01/15/17 | 378 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
196 | 4.000%, 03/30/22 | 210 | ||||||
300 | 4.875%, 01/14/22 | 336 | ||||||
50 | KeyCorp, 5.100%, 03/24/21 | 56 | ||||||
300 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 343 | ||||||
200 | Mizuho Bank Ltd., (Japan), 2.650%, 09/25/19 (e) | 203 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
300 | 2.750%, 09/28/15 (e) | 305 | ||||||
100 | 3.750%, 03/02/15 (e) | 101 | ||||||
300 | Nordea Bank AB, (Sweden), 3.125%, 03/20/17 (e) | 313 | ||||||
PNC Funding Corp., | ||||||||
133 | 4.375%, 08/11/20 | 146 | ||||||
265 | 5.125%, 02/08/20 | 300 | ||||||
110 | 5.250%, 11/15/15 | 115 | ||||||
115 | 5.625%, 02/01/17 | 125 | ||||||
Royal Bank of Canada, (Canada), | ||||||||
239 | 2.000%, 10/01/18 | 243 | ||||||
125 | 2.200%, 07/27/18 | 127 | ||||||
200 | 2.300%, 07/20/16 | 205 | ||||||
250 | Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e) | 249 | ||||||
200 | Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e) | 213 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
200 | 1.500%, 03/13/17 (e) | 202 | ||||||
235 | 2.200%, 07/29/15 (e) | 238 | ||||||
104 | 2.250%, 11/05/19 | 104 | ||||||
150 | U.S. Bancorp, 2.450%, 07/27/15 | 152 | ||||||
850 | Wachovia Corp., 5.750%, 02/01/18 | 960 | ||||||
Wells Fargo & Co., | ||||||||
237 | 4.480%, 01/16/24 | 253 | ||||||
415 | 5.625%, 12/11/17 | 465 | ||||||
500 | SUB, 3.676%, 06/15/16 | 522 | ||||||
Wells Fargo Bank N.A., | ||||||||
315 | Series AI, 4.750%, 02/09/15 | 318 | ||||||
250 | 6.000%, 11/15/17 | 283 | ||||||
285 | Westpac Banking Corp., (Australia), 4.875%, 11/19/19 | 320 | ||||||
|
|
|||||||
14,837 | ||||||||
|
|
|||||||
Capital Markets 2.3% | ||||||||
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 | 254 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
|||||||
Capital Markets continued | ||||||||
75 | 3.100%, 01/15/15 | 75 | ||||||
150 | 3.250%, 09/11/24 | 152 | ||||||
100 | 3.650%, 02/04/24 | 104 | ||||||
75 | 4.600%, 01/15/20 | 83 | ||||||
BlackRock, Inc., | ||||||||
325 | 3.500%, 12/10/14 | 325 | ||||||
326 | Series 2, 5.000%, 12/10/19 | 372 | ||||||
150 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 175 | ||||||
40 | Charles Schwab Corp. (The), 3.225%, 09/01/22 | 41 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
100 | 1.600%, 11/23/15 | 101 | ||||||
48 | 2.550%, 10/23/19 | 48 | ||||||
68 | 2.625%, 01/31/19 | 69 | ||||||
100 | 3.300%, 05/03/15 | 101 | ||||||
255 | 3.625%, 02/07/16 | 263 | ||||||
66 | 3.700%, 08/01/15 | 67 | ||||||
120 | 4.000%, 03/03/24 | 124 | ||||||
68 | 5.375%, 03/15/20 | 77 | ||||||
80 | 5.750%, 01/24/22 | 93 | ||||||
1,100 | 5.950%, 01/18/18 | 1,234 | ||||||
250 | 7.500%, 02/15/19 | 299 | ||||||
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 | 114 | ||||||
150 | 5.125%, 04/13/18 | 163 | ||||||
45 | 6.875%, 04/15/21 | 52 | ||||||
80 | 8.500%, 07/15/19 | 98 | ||||||
Macquarie Bank Ltd., (Australia), | ||||||||
93 | 2.000%, 08/15/16 (e) | 95 | ||||||
263 | 5.000%, 02/22/17 (e) | 283 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
150 | 6.000%, 01/14/20 (e) | 171 | ||||||
40 | 6.250%, 01/14/21 (e) | 46 | ||||||
Morgan Stanley, | ||||||||
83 | 3.700%, 10/23/24 | 84 | ||||||
104 | 4.000%, 07/24/15 | 106 | ||||||
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 | 513 | ||||||
100 | 5.750%, 01/25/21 | 115 | ||||||
100 | 6.625%, 04/01/18 | 115 | ||||||
100 | 7.300%, 05/13/19 | 120 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
85 | 4.125%, 01/19/16 | 88 | ||||||
84 | 6.700%, 03/04/20 | 100 | ||||||
State Street Corp., | ||||||||
36 | 3.100%, 05/15/23 | 35 | ||||||
192 | 3.700%, 11/20/23 | 201 | ||||||
UBS AG, (Switzerland), | ||||||||
500 | 3.875%, 01/15/15 | 502 | ||||||
100 | 5.750%, 04/25/18 | 113 | ||||||
100 | 5.875%, 12/20/17 | 113 | ||||||
|
|
|||||||
8,101 | ||||||||
|
|
|||||||
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) | 334 | ||||||
200 | 2.125%, 02/28/17 (e) | 204 | ||||||
83 | 2.250%, 08/15/19 | 84 | ||||||
110 | Capital One Financial Corp., 3.500%, 06/15/23 | 111 | ||||||
Caterpillar Financial Services Corp., | ||||||||
250 | 1.000%, 11/25/16 | 251 | ||||||
206 | 2.250%, 12/01/19 | 207 | ||||||
58 | 2.850%, 06/01/22 | 58 | ||||||
100 | 5.500%, 03/15/16 | 106 | ||||||
65 | 7.050%, 10/01/18 | 77 | ||||||
100 | 7.150%, 02/15/19 | 121 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
550 | 2.375%, 03/12/19 | 549 | ||||||
200 | 3.000%, 06/12/17 | 206 | ||||||
200 | 4.250%, 09/20/22 | 212 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
|||||||
Consumer Finance continued | ||||||||
250 | HSBC USA, Inc., 2.375%, 02/13/15 | 251 | ||||||
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 | 228 | ||||||
200 | 2.000%, 09/15/16 | 205 | ||||||
105 | 2.000%, 10/24/18 | 107 | ||||||
100 | 2.050%, 01/12/17 | 102 | ||||||
154 | 3.200%, 06/17/15 | 156 | ||||||
|
|
|||||||
3,938 | ||||||||
|
|
|||||||
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 | 460 | ||||||
Berkshire Hathaway, Inc., | ||||||||
638 | 3.400%, 01/31/22 | 666 | ||||||
98 | 3.750%, 08/15/21 | 105 | ||||||
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 | 897 | ||||||
500 | 5.400%, 02/15/17 | 547 | ||||||
140 | 5.500%, 01/08/20 | 162 | ||||||
335 | 5.625%, 05/01/18 | 380 | ||||||
Intercontinental Exchange, Inc., | ||||||||
47 | 2.500%, 10/15/18 | 48 | ||||||
88 | 4.000%, 10/15/23 | 93 | ||||||
Private Export Funding Corp., | ||||||||
500 | Series EE, 2.800%, 05/15/22 | 509 | ||||||
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 | 187 | ||||||
195 | 4.375%, 03/25/20 | 216 | ||||||
100 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 109 | ||||||
|
|
|||||||
5,109 | ||||||||
|
|
|||||||
Insurance 0.9% | ||||||||
ACE INA Holdings, Inc., | ||||||||
45 | 2.600%, 11/23/15 | 46 | ||||||
50 | 5.600%, 05/15/15 | 51 | ||||||
61 | Allstate Corp. (The), 3.150%, 06/15/23 | 61 | ||||||
American International Group, Inc., | ||||||||
59 | 4.125%, 02/15/24 | 63 | ||||||
350 | 5.450%, 05/18/17 | 384 | ||||||
45 | Aon Corp., 3.500%, 09/30/15 | 46 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
65 | 1.300%, 05/15/18 | 65 | ||||||
150 | 5.400%, 05/15/18 | 169 | ||||||
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 | 37 | ||||||
MassMutual Global Funding II, | ||||||||
300 | 2.000%, 04/05/17 (e) | 306 | ||||||
100 | 3.125%, 04/14/16 (e) | 103 | ||||||
Metropolitan Life Global Funding I, | ||||||||
207 | 1.500%, 01/10/18 (e) | 207 | ||||||
200 | 2.500%, 09/29/15 (e) | 204 | ||||||
175 | 3.650%, 06/14/18 (e) | 186 | ||||||
100 | 3.875%, 04/11/22 (e) | 106 | ||||||
New York Life Global Funding, | ||||||||
170 | 1.300%, 01/12/15 (e) | 170 | ||||||
73 | 2.150%, 06/18/19 (e) | 74 | ||||||
125 | 3.000%, 05/04/15 (e) | 126 | ||||||
150 | Pacific Life Global Funding, 5.000%, 05/15/17 (e) | 161 | ||||||
16 | Principal Financial Group, Inc., 1.850%, 11/15/17 | 16 | ||||||
Principal Life Global Funding II, | ||||||||
35 | 1.000%, 12/11/15 (e) | 35 | ||||||
106 | 2.250%, 10/15/18 (e) | 107 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
|||||||
Insurance continued | ||||||||
150 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 205 | ||||||
|
|
|||||||
3,165 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.3% | ||||||||
American Tower Corp., | ||||||||
80 | 3.500%, 01/31/23 | 78 | ||||||
38 | 5.000%, 02/15/24 | 40 | ||||||
45 | American Tower Trust I, 1.551%, 03/15/18 (e) | 45 | ||||||
Equity Commonwealth, | ||||||||
125 | 5.875%, 09/15/20 | 138 | ||||||
150 | 6.650%, 01/15/18 | 165 | ||||||
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 | 40 | ||||||
92 | 5.375%, 02/01/21 | 103 | ||||||
73 | Health Care REIT, Inc., 4.500%, 01/15/24 | 77 | ||||||
53 | Prologis LP, 4.250%, 08/15/23 | 56 | ||||||
Simon Property Group LP, | ||||||||
100 | 3.375%, 10/01/24 | 102 | ||||||
81 | 4.125%, 12/01/21 | 88 | ||||||
40 | 4.375%, 03/01/21 | 44 | ||||||
50 | 5.650%, 02/01/20 | 58 | ||||||
50 | 6.125%, 05/30/18 | 57 | ||||||
|
|
|||||||
1,214 | ||||||||
|
|
|||||||
Total Financials | 36,364 | |||||||
|
|
|||||||
Health Care 0.6% | ||||||||
Biotechnology 0.2% | ||||||||
Amgen, Inc., | ||||||||
400 | 3.875%, 11/15/21 | 423 | ||||||
44 | 4.500%, 03/15/20 | 49 | ||||||
40 | 5.700%, 02/01/19 | 45 | ||||||
Celgene Corp., | ||||||||
98 | 3.250%, 08/15/22 | 99 | ||||||
44 | 3.625%, 05/15/24 | 44 | ||||||
57 | Gilead Sciences, Inc., 3.500%, 02/01/25 | 59 | ||||||
|
|
|||||||
719 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.0% (g) | ||||||||
50 | Baxter International, Inc., 4.625%, 03/15/15 | 51 | ||||||
40 | Becton Dickinson and Co., 5.000%, 05/15/19 | 44 | ||||||
|
|
|||||||
95 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.2% | ||||||||
45 | Cardinal Health, Inc., 2.400%, 11/15/19 | 45 | ||||||
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 | 94 | ||||||
115 | 3.125%, 05/15/22 | 115 | ||||||
|
|
|||||||
555 | ||||||||
|
|
|||||||
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 | Forest Laboratories, Inc., 5.000%, 12/15/21 (e) | 75 | ||||||
150 | GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18 | 170 | ||||||
Merck & Co., Inc., | ||||||||
75 | 1.300%, 05/18/18 | 75 | ||||||
62 | 2.400%, 09/15/22 | 60 | ||||||
|
|
|||||||
585 | ||||||||
|
|
|||||||
Total Health Care | 2,049 | |||||||
|
|
|||||||
Industrials 1.1% | ||||||||
Aerospace & Defense 0.1% | ||||||||
43 | Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e) | 42 | ||||||
BAE Systems Holdings, Inc., | ||||||||
68 | 3.800%, 10/07/24 (e) | 70 | ||||||
70 | 6.375%, 06/01/19 (e) | 82 | ||||||
100 | Honeywell International, Inc., 5.300%, 03/01/18 | 112 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
|||||||
Aerospace & Defense continued | ||||||||
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 | 58 | ||||||
|
|
|||||||
455 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.2% | ||||||||
541 | Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22 | 628 | ||||||
115 | United Parcel Service of America, Inc., 8.375%, 04/01/20 | 149 | ||||||
|
|
|||||||
777 | ||||||||
|
|
|||||||
Airlines 0.1% | ||||||||
189 | American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23 | 202 | ||||||
29 | Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 | 33 | ||||||
54 | Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 58 | ||||||
|
|
|||||||
293 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.1% | ||||||||
ADT Corp. (The), | ||||||||
70 | 3.500%, 07/15/22 | 61 | ||||||
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 | ||||||
|
|
|||||||
211 | ||||||||
|
|
|||||||
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 | 72 | ||||||
|
|
|||||||
145 | ||||||||
|
|
|||||||
Electrical Equipment 0.0% (g) | ||||||||
Eaton Corp., | ||||||||
27 | 1.500%, 11/02/17 | 27 | ||||||
50 | 5.600%, 05/15/18 | 56 | ||||||
|
|
|||||||
83 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% | ||||||||
175 | General Electric Co., 3.375%, 03/11/24 | 181 | ||||||
34 | Ingersoll-Rand Global Holding Co., Ltd., 4.250%, 06/15/23 | 36 | ||||||
152 | Koninklijke Philips N.V., (Netherlands), 3.750%, 03/15/22 | 158 | ||||||
|
|
|||||||
375 | ||||||||
|
|
|||||||
Machinery 0.1% | ||||||||
Caterpillar, Inc., | ||||||||
74 | 1.500%, 06/26/17 | 74 | ||||||
31 | 2.600%, 06/26/22 | 31 | ||||||
89 | Deere & Co., 2.600%, 06/08/22 | 88 | ||||||
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 | 44 | ||||||
32 | 3.450%, 09/15/21 | 34 | ||||||
19 | 3.600%, 09/01/20 | 20 | ||||||
100 | 3.750%, 04/01/24 | 104 | ||||||
100 | 5.650%, 05/01/17 | 110 | ||||||
CSX Corp., | ||||||||
100 | 3.400%, 08/01/24 | 101 | ||||||
10 | 6.250%, 04/01/15 | 10 | ||||||
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 | 142 | ||||||
50 | 7.700%, 05/15/17 | 58 | ||||||
53 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e) | 54 | ||||||
Ryder System, Inc., | ||||||||
48 | 2.500%, 03/01/17 | 49 | ||||||
55 | 3.600%, 03/01/16 | 57 | ||||||
Union Pacific Corp., | ||||||||
21 | 2.950%, 01/15/23 | 21 | ||||||
75 | 3.646%, 02/15/24 | 79 | ||||||
233 | 4.163%, 07/15/22 | 256 | ||||||
100 | 4.875%, 01/15/15 | 101 | ||||||
|
|
|||||||
1,413 | ||||||||
|
|
|||||||
Total Industrials | 3,973 | |||||||
|
|
|||||||
Information Technology 1.0% | ||||||||
Communications Equipment 0.0% (g) | ||||||||
55 | Cisco Systems, Inc., 2.900%, 03/04/21 | 57 | ||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
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 | 114 | ||||||
13 | 7.500%, 01/15/27 | 16 | ||||||
|
|
|||||||
236 | ||||||||
|
|
|||||||
Internet Software & Services 0.0% (g) | ||||||||
eBay, Inc., | ||||||||
62 | 2.600%, 07/15/22 | 59 | ||||||
63 | 2.875%, 08/01/21 | 62 | ||||||
|
|
|||||||
121 | ||||||||
|
|
|||||||
IT Services 0.3% | ||||||||
International Business Machines Corp., | ||||||||
126 | 1.250%, 02/06/17 | 127 | ||||||
309 | 1.625%, 05/15/20 | 299 | ||||||
150 | 5.700%, 09/14/17 | 168 | ||||||
200 | 7.625%, 10/15/18 | 243 | ||||||
Xerox Corp., | ||||||||
39 | 2.950%, 03/15/17 | 40 | ||||||
50 | 5.625%, 12/15/19 | 57 | ||||||
40 | 6.750%, 02/01/17 | 44 | ||||||
|
|
|||||||
978 | ||||||||
|
|
|||||||
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 | 27 | ||||||
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 | 67 | ||||||
167 | 3.625%, 12/15/23 | 179 | ||||||
Oracle Corp., | ||||||||
200 | 3.625%, 07/15/23 | 210 | ||||||
200 | 5.250%, 01/15/16 | 211 | ||||||
100 | 5.750%, 04/15/18 | 113 | ||||||
|
|
|||||||
984 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.3% | ||||||||
Apple, Inc., | ||||||||
199 | 2.400%, 05/03/23 | 194 | ||||||
201 | 2.850%, 05/06/21 | 206 | ||||||
207 | VAR, 0.482%, 05/03/18 | 207 | ||||||
EMC Corp., | ||||||||
100 | 1.875%, 06/01/18 | 99 | ||||||
100 | 3.375%, 06/01/23 | 100 | ||||||
Hewlett-Packard Co., | ||||||||
118 | 4.375%, 09/15/21 | 125 | ||||||
45 | 4.650%, 12/09/21 | 48 | ||||||
|
|
|||||||
979 | ||||||||
|
|
|||||||
Total Information Technology | 3,461 | |||||||
|
|
|||||||
Materials 0.6% | ||||||||
Chemicals 0.4% | ||||||||
125 | CF Industries, Inc., 7.125%, 05/01/20 | 151 | ||||||
Dow Chemical Co. (The), | ||||||||
100 | 3.500%, 10/01/24 | 100 | ||||||
81 | 4.125%, 11/15/21 | 86 | ||||||
38 | 4.250%, 11/15/20 | 41 | ||||||
20 | 8.550%, 05/15/19 | 25 | ||||||
E.I. du Pont de Nemours & Co., | ||||||||
101 | 1.950%, 01/15/16 | 103 | ||||||
100 | 6.000%, 07/15/18 | 115 | ||||||
73 | Monsanto Co., 2.750%, 07/15/21 | 73 | ||||||
Mosaic Co. (The), | ||||||||
34 | 3.750%, 11/15/21 | 35 | ||||||
212 | 4.250%, 11/15/23 | 222 | ||||||
25 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17 | 26 | ||||||
230 | Praxair, Inc., 4.625%, 03/30/15 | 233 | ||||||
150 | Union Carbide Corp., 7.500%, 06/01/25 | 194 | ||||||
|
|
|||||||
1,404 | ||||||||
|
|
|||||||
Metals & Mining 0.2% | ||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
37 | 1.000%, 02/24/15 | 37 | ||||||
95 | 3.850%, 09/30/23 | 100 | ||||||
100 | 5.400%, 03/29/17 | 109 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Metals & Mining continued | ||||||||
100 | 6.500%, 04/01/19 | 119 | ||||||
Freeport-McMoRan, Inc., | ||||||||
128 | 2.150%, 03/01/17 | 129 | ||||||
107 | 3.875%, 03/15/23 | 106 | ||||||
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 | 58 | ||||||
42 | Teck Resources Ltd., (Canada), 4.750%, 01/15/22 | 43 | ||||||
|
|
|||||||
757 | ||||||||
|
|
|||||||
Total Materials | 2,161 | |||||||
|
|
|||||||
Telecommunication Services 0.8% | ||||||||
Diversified Telecommunication Services 0.7% | ||||||||
AT&T, Inc., | ||||||||
204 | 0.900%, 02/12/16 | 204 | ||||||
100 | 4.450%, 05/15/21 | 109 | ||||||
180 | 5.500%, 02/01/18 | 200 | ||||||
41 | BellSouth Telecommunications LLC, 6.300%, 12/15/15 | 41 | ||||||
100 | British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18 | 112 | ||||||
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 | 171 | ||||||
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 | ||||||
179 | 3.000%, 11/01/21 | 179 | ||||||
72 | 3.450%, 03/15/21 | 75 | ||||||
295 | 3.500%, 11/01/24 | 295 | ||||||
156 | 4.150%, 03/15/24 | 164 | ||||||
353 | 4.500%, 09/15/20 | 386 | ||||||
150 | 5.150%, 09/15/23 | 169 | ||||||
|
|
|||||||
2,345 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% | ||||||||
40 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 41 | ||||||
160 | Rogers Communications, Inc., (Canada), 4.100%, 10/01/23 | 169 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
100 | 1.500%, 02/19/18 | 99 | ||||||
100 | 1.625%, 03/20/17 | 100 | ||||||
|
|
|||||||
409 | ||||||||
|
|
|||||||
Total Telecommunication Services | 2,754 | |||||||
|
|
|||||||
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 | 170 | ||||||
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) | 112 | ||||||
Indiana Michigan Power Co., | ||||||||
100 | Series J, 3.200%, 03/15/23 | 101 | ||||||
135 | 7.000%, 03/15/19 | 161 | ||||||
25 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 30 | ||||||
47 | Kansas City Power & Light Co., 3.150%, 03/15/23 | 48 | ||||||
60 | Nevada Power Co., 7.125%, 03/15/19 | 72 | ||||||
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 | 161 | ||||||
Niagara Mohawk Power Corp., | ||||||||
28 | 3.508%, 10/01/24 (e) | 29 | ||||||
40 | 4.881%, 08/15/19 (e) | 44 | ||||||
25 | Ohio Power Co., 6.050%, 05/01/18 | 28 | ||||||
50 | Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18 | 59 | ||||||
Pacific Gas & Electric Co., | ||||||||
68 | 2.450%, 08/15/22 | 66 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Corporate Bonds continued |
| ||||||
Electric Utilities continued | ||||||||
50 | 3.250%, 06/15/23 | 50 | ||||||
125 | 5.625%, 11/30/17 | 140 | ||||||
PacifiCorp, | ||||||||
140 | 3.600%, 04/01/24 | 146 | ||||||
100 | 3.850%, 06/15/21 | 107 | ||||||
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 | 81 | ||||||
212 | Southern California Edison Co., Series C, 3.500%, 10/01/23 | 223 | ||||||
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 | 21 | ||||||
100 | 5.400%, 04/30/18 | 113 | ||||||
100 | Wisconsin Electric Power Co., 6.250%, 12/01/15 | 106 | ||||||
27 | Xcel Energy, Inc., 0.750%, 05/09/16 | 27 | ||||||
|
|
|||||||
2,784 | ||||||||
|
|
|||||||
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 | 56 | ||||||
|
|
|||||||
94 | ||||||||
|
|
|||||||
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 | 98 | ||||||
100 | 6.375%, 07/15/16 | 108 | ||||||
50 | Consumers Energy Co., 5.650%, 04/15/20 | 58 | ||||||
150 | Dominion Resources, Inc., 8.875%, 01/15/19 | 189 | ||||||
180 | NiSource Finance Corp., 4.450%, 12/01/21 | 196 | ||||||
Sempra Energy, | ||||||||
48 | 4.050%, 12/01/23 | 51 | ||||||
150 | 9.800%, 02/15/19 | 195 | ||||||
|
|
|||||||
895 | ||||||||
|
|
|||||||
Total Utilities | 3,888 | |||||||
|
|
|||||||
Total Corporate Bonds (Cost $62,766) |
66,518 | |||||||
|
|
|||||||
|
Foreign Government Securities 1.5% |
|||||||
Israel Government AID Bond, (Israel), | ||||||||
1,557 | Zero Coupon, 08/15/20 | 1,382 | ||||||
500 | Zero Coupon, 02/15/22 | 421 | ||||||
1,000 | Zero Coupon, 08/15/24 | 763 | ||||||
1,000 | Zero Coupon, 02/15/25 | 747 | ||||||
Province of Ontario, (Canada), | ||||||||
400 | 0.950%, 05/26/15 | 402 | ||||||
250 | 2.700%, 06/16/15 | 253 | ||||||
300 | 2.950%, 02/05/15 | 301 | ||||||
92 | Republic of Poland, (Poland), 4.000%, 01/22/24 | 97 | ||||||
200 | Republic of Turkey, (Turkey), 5.750%, 03/22/24 | 225 | ||||||
United Mexican States, (Mexico), | ||||||||
244 | 3.500%, 01/21/21 | 252 | ||||||
250 | 3.600%, 01/30/25 | 251 | ||||||
116 | 4.000%, 10/02/23 | 122 | ||||||
|
|
|||||||
Total Foreign Government Securities (Cost $5,105) |
5,216 | |||||||
|
|
|||||||
|
Mortgage Pass-Through Securities 11.0% |
|||||||
Federal Home Loan Mortgage Corp., | ||||||||
93 | ARM, 2.040%, 01/01/37 | 98 | ||||||
238 | ARM, 2.098%, 08/01/36 | 252 | ||||||
29 | ARM, 2.235%, 01/01/27 | 30 | ||||||
13 | ARM, 2.250%, 07/01/26 | 13 | ||||||
62 | ARM, 2.276%, 11/01/36 | 66 | ||||||
112 | ARM, 2.294%, 09/01/36 | 120 | ||||||
192 | ARM, 2.310%, 03/01/37 | 205 | ||||||
287 | ARM, 2.354%, 12/01/34 | 308 | ||||||
148 | ARM, 2.427%, 09/01/36 | 160 | ||||||
271 | ARM, 2.505%, 06/01/36 | 291 | ||||||
157 | ARM, 2.659%, 04/01/38 | 169 | ||||||
100 | ARM, 2.826%, 02/01/37 | 108 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Mortgage Pass-Through Securities continued |
| ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
85 | 4.000%, 06/01/19 | 90 | ||||||
24 | 4.500%, 10/01/18 | 26 | ||||||
172 | 5.500%, 06/01/17 01/01/24 | 188 | ||||||
16 | 6.000%, 10/01/17 04/01/18 | 17 | ||||||
177 | 6.500%, 01/01/17 03/01/22 | 188 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
8 | 6.000%, 12/01/22 | 9 | ||||||
41 | 6.500%, 11/01/22 08/01/26 | 47 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
59 | 6.000%, 01/01/34 | 67 | ||||||
67 | 7.000%, 04/01/26 02/01/37 | 77 | ||||||
5 | 7.500%, 08/01/25 | 7 | ||||||
6 | 8.000%, 07/01/20 11/01/24 | 7 | ||||||
17 | 8.500%, 07/01/28 | 21 | ||||||
282 | Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30 | 320 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
2,640 | 3.500%, 05/01/33 05/01/43 | 2,759 | ||||||
441 | 4.000%, 06/01/42 | 474 | ||||||
153 | 6.000%, 02/01/33 | 167 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
| (h) | 12.000%, 08/01/15 07/01/19 | | (h) | ||||
Federal National Mortgage Association, | ||||||||
51 | ARM, 1.809%, 02/01/37 | 54 | ||||||
2 | ARM, 1.875%, 03/01/19 | 2 | ||||||
81 | ARM, 1.885%, 08/01/35 | 85 | ||||||
174 | ARM, 1.898%, 01/01/35 | 183 | ||||||
162 | ARM, 1.910%, 09/01/35 | 171 | ||||||
261 | ARM, 1.916%, 02/01/35 | 277 | ||||||
190 | ARM, 2.070%, 01/01/35 | 199 | ||||||
112 | ARM, 2.074%, 09/01/36 | 119 | ||||||
287 | ARM, 2.098%, 09/01/34 | 307 | ||||||
105 | ARM, 2.127%, 11/01/33 | 110 | ||||||
167 | ARM, 2.143%, 09/01/35 | 179 | ||||||
142 | ARM, 2.199%, 02/01/35 | 151 | ||||||
67 | ARM, 2.244%, 08/01/36 | 72 | ||||||
144 | ARM, 2.266%, 08/01/34 | 154 | ||||||
124 | ARM, 2.351%, 04/01/35 | 133 | ||||||
196 | ARM, 2.405%, 02/01/37 | 210 | ||||||
123 | ARM, 2.406%, 04/01/33 | 133 | ||||||
172 | ARM, 2.435%, 09/01/33 | 184 | ||||||
118 | ARM, 2.445%, 07/01/46 | 127 | ||||||
135 | ARM, 2.505%, 10/01/34 | 146 | ||||||
11 | ARM, 2.606%, 09/01/27 | 12 | ||||||
| (h) | ARM, 2.625%, 08/01/19 | | (h) | ||||
280 | ARM, 2.836%, 02/01/36 | 299 | ||||||
9 | ARM, 3.711%, 03/01/29 | 9 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
43 | 4.000%, 05/01/19 | 46 | ||||||
215 | 4.500%, 05/01/18 05/01/19 | 228 | ||||||
279 | 5.000%, 06/01/18 04/01/19 | 299 | ||||||
173 | 5.500%, 01/01/20 06/01/20 | 184 | ||||||
261 | 6.000%, 03/01/21 01/01/24 | 287 | ||||||
36 | 6.500%, 03/01/17 08/01/20 | 38 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
67 | 6.000%, 04/01/24 | 76 | ||||||
91 | 6.500%, 05/01/22 | 103 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
13 | 6.000%, 09/01/33 | 14 | ||||||
25 | 6.500%, 03/01/29 | 29 | ||||||
5 | 8.500%, 02/01/30 | 6 | ||||||
6 | 9.000%, 09/01/19 12/01/30 | 6 | ||||||
4 | 9.500%, 12/01/18 | 5 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
69 | 4.500%, 08/01/33 | 76 | ||||||
1,019 | 5.000%, 07/01/33 08/01/40 | 1,136 | ||||||
97 | 5.500%, 12/01/33 | 110 | ||||||
493 | 6.000%, 12/01/32 09/01/37 | 564 | ||||||
40 | 6.500%, 08/01/31 | 47 | ||||||
6 | 7.000%, 09/01/27 08/01/32 | 7 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
Mortgage Pass-Through Securities continued |
| ||||||
10 | 7.500%, 11/01/22 10/01/24 | 11 | ||||||
369 | 8.000%, 03/01/21 11/01/32 | 428 | ||||||
6 | 8.500%, 07/01/24 06/01/25 | 7 | ||||||
| (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, 0.627%, 12/01/23 | 504 | ||||||
996 | VAR, 0.637%, 08/01/23 | 1,003 | ||||||
943 | 1.940%, 01/01/17 | 947 | ||||||
1,000 | 2.294%, 12/01/22 | 990 | ||||||
500 | 2.314%, 12/01/22 | 496 | ||||||
987 | 2.480%, 06/01/19 | 1,014 | ||||||
1,000 | 2.760%, 05/01/21 | 1,030 | ||||||
1,965 | 2.764%, 06/01/23 | 2,011 | ||||||
1,000 | 3.110%, 12/25/24 | 1,026 | ||||||
1,000 | 3.240%, 12/25/26 | 1,003 | ||||||
500 | 3.340%, 02/01/27 | 501 | ||||||
1,000 | 3.380%, 12/01/23 | 1,059 | ||||||
2,341 | 3.590%, 12/01/20 | 2,522 | ||||||
1,000 | 3.658%, 10/01/20 | 1,075 | ||||||
1,500 | 3.760%, 10/01/23 11/01/23 | 1,626 | ||||||
877 | 4.000%, 07/01/42 | 943 | ||||||
406 | 4.271%, 06/01/21 | 448 | ||||||
1,040 | 4.298%, 03/01/21 | 1,156 | ||||||
1,936 | 4.380%, 01/01/21 04/01/21 | 2,163 | ||||||
494 | 4.390%, 05/01/21 | 553 | ||||||
784 | 4.443%, 04/01/21 | 874 | ||||||
911 | 4.500%, 03/01/20 | 1,010 | ||||||
103 | 5.500%, 04/01/38 | 113 | ||||||
124 | 6.000%, 03/01/37 | 139 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
293 | 6.000%, 03/20/28 09/20/38 | 332 | ||||||
12 | 7.500%, 02/20/28 09/20/28 | 14 | ||||||
30 | 8.000%, 12/20/25 08/20/28 | 35 | ||||||
19 | 8.500%, 03/20/25 05/20/25 | 22 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
12 | 6.000%, 10/15/17 | 13 | ||||||
1 | 8.000%, 01/15/16 | 1 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
338 | 6.000%, 11/15/28 12/15/38 | 386 | ||||||
272 | 6.500%, 01/15/24 12/15/35 | 316 | ||||||
262 | 7.000%, 08/15/23 06/15/35 | 301 | ||||||
25 | 7.500%, 11/15/22 09/15/28 | 28 | ||||||
4 | 8.000%, 07/15/22 08/15/28 | 4 | ||||||
2 | 8.500%, 11/15/17 | 2 | ||||||
7 | 9.000%, 08/15/16 11/15/24 | 8 | ||||||
117 | 9.500%, 09/15/18 12/15/25 | 131 | ||||||
| (h) | 12.000%, 11/15/19 | | (h) | ||||
|
|
|||||||
Total Mortgage Pass-Through Securities (Cost $37,485) |
39,109 | |||||||
|
|
|||||||
|
Supranational 0.0% (g) |
|||||||
150 | African Development Bank, 8.800%, 09/01/19 (Cost $188) |
190 | ||||||
|
|
|||||||
|
U.S. Government Agency Securities 2.5% |
|||||||
Federal National Mortgage Association, | ||||||||
1,000 | Zero Coupon, 06/01/17 | 979 | ||||||
800 | 5.000%, 05/11/17 | 881 | ||||||
375 | Federal National Mortgage Association STRIPS, Zero Coupon, 11/15/21 | 320 | ||||||
Financing Corp. Fico, | ||||||||
1,440 | Zero Coupon, 05/11/18 | 1,373 | ||||||
500 | Zero Coupon, 04/05/19 | 465 | ||||||
584 | Zero Coupon, 09/26/19 | 534 | ||||||
1,000 | Government Trust Certificate, Series 1-Z, Zero Coupon, 10/01/15 | 991 | ||||||
Residual Funding Corp. STRIPS, | ||||||||
250 | Zero Coupon, 10/15/19 | 229 | ||||||
1,750 | Zero Coupon, 07/15/20 | 1,559 | ||||||
1,000 | Tennessee Valley Authority, 5.500%, | |||||||
07/18/17 | 1,116 | |||||||
333 | Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19 | 307 | ||||||
|
|
|||||||
Total U.S. Government Agency Securities (Cost $8,514) |
8,754 | |||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL |
SECURITY DESCRIPTION |
VALUE($) | ||||||
|
U.S. Treasury Obligations 32.7% |
| ||||||
U.S. Treasury Bonds, | ||||||||
1,225 | 7.500%, 11/15/16 | 1,391 | ||||||
250 | 8.750%, 08/15/20 | 347 | ||||||
1,500 | 8.875%, 08/15/17 | 1,824 | ||||||
835 | 11.250%, 02/15/15 | 854 | ||||||
U.S. Treasury Coupon STRIPS, | ||||||||
700 | 0.942%, 05/15/18 (n) | 673 | ||||||
2,200 | 1.846%, 02/15/18 (n) | 2,127 | ||||||
750 | 1.903%, 11/15/19 (n) | 692 | ||||||
3,515 | 2.025%, 05/15/21 (n) | 3,098 | ||||||
2,985 | 2.099%, 02/15/20 (n) | 2,739 | ||||||
3,275 | 2.270%, 02/15/21 (n) | 2,910 | ||||||
4,446 | 2.295%, 08/15/17 (n) | 4,347 | ||||||
2,400 | 2.479%, 02/15/22 (n) | 2,069 | ||||||
1,300 | 2.541%, 11/15/22 (n) | 1,095 | ||||||
150 | 2.542%, 11/15/23 (n) | 122 | ||||||
1,495 | 2.556%, 05/15/19 (n) | 1,399 | ||||||
6,700 | 2.573%, 08/15/21 (n) | 5,868 | ||||||
150 | 2.573%, 05/15/22 (n) | 129 | ||||||
550 | 2.599%, 05/15/23 (n) | 456 | ||||||
3,577 | 2.618%, 08/15/16 (n) | 3,550 | ||||||
200 | 2.618%, 05/15/25 (n) | 155 | ||||||
5,820 | 2.633%, 02/15/23 (n) | 4,864 | ||||||
53 | 2.703%, 02/15/28 (n) | 37 | ||||||
1,000 | 2.704%, 08/15/22 (n) | 849 | ||||||
4,350 | 2.730%, 08/15/19 (n) | 4,046 | ||||||
200 | 2.833%, 08/15/28 (n) | 138 | ||||||
2,300 | 2.920%, 11/15/21 (n) | 1,998 | ||||||
1,224 | 2.933%, 02/15/17 (n) | 1,207 | ||||||
47 | 3.064%, 08/15/26 (n) | 35 | ||||||
14,550 | 3.107%, 08/15/20 (n) | 13,138 | ||||||
10,348 | 3.129%, 05/15/20 (n) | 9,416 | ||||||
300 | 3.223%, 11/15/26 (n) | 220 | ||||||
100 | 3.345%, 08/15/27 (n) | 72 | ||||||
150 | 3.425%, 11/15/27 (n) | 107 | ||||||
700 | 3.819%, 11/15/16 (n) | 693 | ||||||
2,290 | 3.867%, 11/15/17 (n) | 2,226 | ||||||
3,325 | 5.918%, 02/15/15 (n) | 3,324 | ||||||
3,866 | 6.373%, 02/15/16 (n) | 3,855 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
1,700 | 0.500%, 04/15/15 | 1,857 | ||||||
700 | 1.125%, 01/15/21 | 805 | ||||||
U.S. Treasury Notes, | ||||||||
593 | 0.875%, 01/31/18 | 591 | ||||||
300 | 1.000%, 06/30/19 | 294 | ||||||
800 | 1.000%, 11/30/19 | 780 | ||||||
1,500 | 1.250%, 10/31/18 | 1,500 | ||||||
1,000 | 1.375%, 02/28/19 | 1,001 | ||||||
5,500 | 1.500%, 08/31/18 | 5,564 | ||||||
400 | 2.000%, 02/28/21 | 404 | ||||||
350 | 2.625%, 08/15/20 | 368 | ||||||
800 | 2.625%, 11/15/20 | 839 | ||||||
1,500 | 2.750%, 11/30/16 | 1,567 | ||||||
2,000 | 2.750%, 02/15/19 | 2,115 | ||||||
500 | 3.125%, 01/31/17 | 528 | ||||||
1,000 | 3.125%, 04/30/17 | 1,059 | ||||||
850 | 3.125%, 05/15/21 | 917 | ||||||
7,900 | 3.250%, 12/31/16 | 8,343 | ||||||
1,050 | 3.500%, 02/15/18 | 1,133 | ||||||
1,550 | 3.500%, 05/15/20 | 1,702 | ||||||
450 | 3.625%, 02/15/21 | 499 | ||||||
700 | 4.000%, 02/15/15 | 706 | ||||||
400 | 4.250%, 11/15/17 | 439 | ||||||
200 | 4.500%, 02/15/16 | 210 | ||||||
1,000 | 4.750%, 08/15/17 | 1,106 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $112,938) |
116,397 | |||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
SHARES |
SECURITY DESCRIPTION |
VALUE($) | ||||
Short-Term Investment 3.7% |
| |||||
Investment Company 3.7% | ||||||
13,028 |
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) (Cost $13,028) |
13,028 | ||||
|
|
|||||
Total Investments 100.0% (Cost $342,597) |
355,325 | |||||
Liabilities in Excess of Other Assets 0.0% (g) | (15 | ) | ||||
|
|
|||||
NET ASSETS 100.0% | $ | 355,310 | ||||
|
|
Percentages indicated are based on net assets.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ARM | | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2014. | ||
CMO | | Collateralized Mortgage Obligation | ||
ESOP | | Employee Stock Ownership Program | ||
FHA | | Federal Housing Administration | ||
GMAC | | General Motors Acceptance Corp. | ||
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 November 30, 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 | ||
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 November 30, 2014. | ||
VA | | Veterans Administration | ||
VAR | | Variable Rate Security. The interest rate shown is the rate in effect as of November 30, 2014. | ||
(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. | ||
(l) | | The rate shown is the current yield as of November 30, 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. |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
(Amounts in thousands)
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 13,361 | ||
Aggregate gross unrealized depreciation |
(633 | ) | ||
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Net unrealized appreciation/depreciation |
$ | 12,728 | ||
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Federal income tax cost of investments |
$ | 342,597 | ||
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A. Valuation of Investments - The valuation of the investments is in accordance with GAAP and the Funds valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the Board), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
JPMorgan Funds Management, Inc. (the Administrator or JPMFM) has established the J.P. Morgan Asset Management Americas Valuation Committee (AVC) to assist the Board with the oversight and monitoring of the valuation of the Funds investments. The Administrator implements the valuation policies of the Funds investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Funds investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as Pricing Services) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include 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. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the 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.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services 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 in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (the Underlying Funds) are valued at each investment companys NAV per share as of the report date.
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but are not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amount in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
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Debt Securities |
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Asset-Backed Securities |
$ | | $ | 18,930 | $ | 8,404 | $ | 27,334 | ||||||||
Collateralized Mortgage Obligations |
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Agency CMO |
| 57,068 | | 57,068 | ||||||||||||
Non-Agency CMO |
| 11,785 | 1,087 | 12,872 | ||||||||||||
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Total Collateralized Mortgage Obligations |
| 68,853 | 1,087 | 69,940 | ||||||||||||
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Commercial Mortgage-Backed Securities |
| 8,014 | 825 | 8,839 | ||||||||||||
Corporate Bonds |
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Consumer Discretionary |
| 3,421 | | 3,421 | ||||||||||||
Consumer Staples |
| 2,755 | | 2,755 | ||||||||||||
Energy |
| 5,692 | | 5,692 | ||||||||||||
Financials |
| 36,364 | | 36,364 | ||||||||||||
Health Care |
| 2,049 | | 2,049 | ||||||||||||
Industrials |
| 3,052 | 921 | 3,973 | ||||||||||||
Information Technology |
| 3,461 | | 3,461 | ||||||||||||
Materials |
| 2,161 | | 2,161 | ||||||||||||
Telecommunication |
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Services |
| 2,754 | | 2,754 | ||||||||||||
Utilities |
| 3,888 | | 3,888 | ||||||||||||
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Total Corporate Bonds |
| 65,597 | 921 | 66,518 | ||||||||||||
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Foreign Government Securities |
| 5,216 | | 5,216 | ||||||||||||
Mortgage Pass-Through Securities |
| 39,109 | | 39,109 | ||||||||||||
Supranational |
| 190 | | 190 | ||||||||||||
U.S. Government Agency Securities |
| 8,754 | | 8,754 | ||||||||||||
U.S. Treasury Obligations |
| 116,397 | | 116,397 | ||||||||||||
Short-Term Investment |
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Investment Company |
13,028 | | | 13,028 | ||||||||||||
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Total Investments in Securities |
$ | 13,028 | $ | 331,060 | $ | 11,237 | $ | 355,325 | ||||||||
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There were no transfers between Levels 1 and 2 during the period ended November 30, 2014.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
Balance as of February 28, 2014 |
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 November 30, 2014 |
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Investments in Securities |
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Asset-Backed Securities |
$ | 3,909 | $ | | (a) | $ | (10 | ) | $ | (1 | ) | $ | 6,675 | $ | (2,052 | ) | $ | | $ | (117 | ) | $ | 8,404 | |||||||||||||
Collateralized Mortgage Obligations - Agency CMO |
251 | | | | | | | (251 | ) | | ||||||||||||||||||||||||||
Collateralized Mortgage Obligations - Non-Agency CMO |
981 | | (a) | (31 | ) | 35 | | (161 | ) | 263 | | 1,087 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
1,116 | | (a) | (7 | ) | (37 | ) | | (247 | ) | | | 825 | |||||||||||||||||||||||
Corporate Bonds - Industrials |
945 | | (6 | ) | (1 | ) | | (17 | ) | | | 921 | ||||||||||||||||||||||||
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$ | 7,202 | $ | | (a) | $ | (54 | ) | $ | (4 | ) | $ | 6,675 | $ | (2,477 | ) | $ | 263 | $ | (368 | ) | $ | 11,237 | ||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in a corporate 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 November 30, 2014, which were valued using significant unobservable inputs (Level 3), amounted to approximately $(35,000).
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2014 (Unaudited) (continued)
Quantitative Information about Level 3 Fair Value Measurements # (Amounts in thousands)
Fair Value at November 30, 2014 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||
$ | 4,327 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 100.00% (4.50%) | ||||||
Constant Default Rate |
3.93% - 30.00% (20.29%) | |||||||||
Yield (Discount Rate of Cash Flows) |
1.07% - 6.72% (3.51%) | |||||||||
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Asset-Backed Securities |
4,327 | |||||||||
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$ | 851 | Discounted Cash Flow | Constant Prepayment Rate |
4.00% - 34.55% (6.13%) | ||||||
Constant Default Rate |
0.00% - 7.51% (1.26%) | |||||||||
PSA Prepayment Model |
386% - 1,085.00% (500.23%) | |||||||||
Yield (Discount Rate of Cash Flows) |
0.64% - 10.64% (3.84%) | |||||||||
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Collateralized Mortgage Obligations |
851 | |||||||||
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95 | Discounted Cash Flow | Constant Prepayment Rate |
100.00% (NA) | |||||||
Constant Default Rate |
0.00% (NA) | |||||||||
Yield (Discount Rate of Cash Flows) |
1.19% (NA) | |||||||||
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Commercial Mortgage-Backed Securities |
95 | |||||||||
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Total |
5,273 | |||||||||
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# | The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At November 30, 2014, the value of these investments was approximately $5,964,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
The significant unobservable inputs used in the fair value measurement of the Funds 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.
ITEM 2. CONTROLS AND PROCEDURES.
(a) | The Registrants principal executive and principal financial officers have concluded, based on their evaluation of the Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrants disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There were no changes in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal controls over financial reporting. |
ITEM 3. EXHIBITS.
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Institutional Trust
By: | /s/ Robert L. Young | |
Robert L. Young | ||
President and Principal Executive Officer | ||
January 28, 2015 |
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 | ||
January 28, 2015 |
By: | /s/ Laura M. Del Prato | |
Laura M. Del Prato | ||
Treasurer and Principal Financial Officer | ||
January 28, 2015 |
EXHIBIT 99.302CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Robert L. Young, certify that:
1. | I have reviewed this report on Form N-Q of the JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Funds as of the end of the fiscal quarter for which the report is filed; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Funds disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the Funds internal control over financial reporting that occurred during the Funds most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Funds auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds internal control over financial reporting. |
Date: January 28, 2015 |
By: | /s/ Robert L. Young | ||
Robert L. Young | ||||
President and Principal Executive Officer |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Laura M. Del Prato, certify that:
1. | I have reviewed this report on Form N-Q of the JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Funds as of the end of the fiscal quarter for which the report is filed; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Funds disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the Funds most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Funds auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds internal control over financial reporting. |
Date: January 28, 2015 |
By: | /s/ Laura M. Del Prato | ||
Laura M. Del Prato | ||||
Treasurer and Principal Financial Officer |