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)
Noah D. Greenhill, Esq.
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, 2018
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
JPMorgan Institutional Trust
Schedule of Portfolio Investments as of November 30, 2018
(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., 2019.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
U.S. TREASURY OBLIGATIONS 25.2% |
| |||||||
U.S. Treasury Bonds |
||||||||
6.13%, 8/15/2029 |
300 | 384 | ||||||
5.38%, 2/15/2031 |
45 | 55 | ||||||
4.38%, 5/15/2040 |
80 | 94 | ||||||
3.13%, 2/15/2043 |
2,000 | 1,942 | ||||||
2.88%, 5/15/2043 |
17,375 | 16,131 | ||||||
3.63%, 8/15/2043 |
27,650 | 29,169 | ||||||
3.75%, 11/15/2043 |
11,654 | 12,543 | ||||||
3.63%, 2/15/2044 |
17,780 | 18,756 | ||||||
2.50%, 2/15/2045 |
7,900 | 6,781 | ||||||
2.88%, 8/15/2045 |
2,300 | 2,124 | ||||||
3.00%, 2/15/2048 |
670 | 631 | ||||||
3.13%, 5/15/2048 |
5,127 | 4,949 | ||||||
U.S. Treasury Inflation Indexed Bonds |
||||||||
1.75%, 1/15/2028 |
300 | 383 | ||||||
3.63%, 4/15/2028 |
799 | 1,526 | ||||||
2.50%, 1/15/2029 |
300 | 400 | ||||||
U.S. Treasury Inflation Indexed Notes |
||||||||
1.38%, 1/15/2020 |
607 | 707 | ||||||
0.13%, 1/15/2022 |
2,453 | 2,656 | ||||||
U.S. Treasury Notes |
||||||||
1.00%, 11/15/2019 |
8,000 | 7,871 | ||||||
1.38%, 2/29/2020 |
6,000 | 5,897 | ||||||
1.38%, 3/31/2020 |
20,000 | 19,632 | ||||||
1.38%, 1/31/2021 |
880 | 853 | ||||||
2.63%, 5/15/2021 |
1,006 | 1,001 | ||||||
3.13%, 5/15/2021 |
7,250 | 7,303 | ||||||
2.13%, 8/15/2021 |
23,000 | 22,582 | ||||||
2.00%, 10/31/2021 |
1,100 | 1,075 | ||||||
2.00%, 7/31/2022 |
5,000 | 4,854 | ||||||
1.63%, 8/31/2022 |
3,000 | 2,871 | ||||||
2.00%, 10/31/2022 |
1,650 | 1,599 | ||||||
1.50%, 2/28/2023 |
3,000 | 2,839 | ||||||
1.75%, 5/15/2023 |
2,221 | 2,119 | ||||||
2.13%, 2/29/2024 |
269 | 259 | ||||||
2.50%, 5/15/2024 |
500 | 490 | ||||||
1.88%, 8/31/2024 |
569 | 539 | ||||||
2.25%, 11/15/2024 |
400 | 386 | ||||||
2.88%, 4/30/2025 |
1,212 | 1,210 | ||||||
2.88%, 5/31/2025 |
7,419 | 7,402 | ||||||
2.00%, 8/15/2025 |
262 | 248 | ||||||
1.63%, 2/15/2026 |
28 | 25 | ||||||
2.25%, 2/15/2027 |
15,368 | 14,565 | ||||||
U.S. Treasury STRIPS Bonds |
||||||||
3.68%, 8/15/2020 (a) |
14,465 | 13,787 | ||||||
2.51%, 2/15/2021 (a) |
12,095 | 11,369 | ||||||
2.00%, 5/15/2021 (a) |
23,265 | 21,700 | ||||||
3.66%, 8/15/2021 (a) |
6,100 | 5,652 | ||||||
3.49%, 11/15/2021 (a) |
9,980 | 9,181 | ||||||
2.79%, 2/15/2022 (a) |
15,768 | 14,390 | ||||||
2.46%, 5/15/2022 (a) |
18,545 | 16,806 | ||||||
2.99%, 8/15/2022 (a) |
4,800 | 4,317 | ||||||
2.75%, 11/15/2022 (a) |
14,400 | 12,858 | ||||||
3.40%, 2/15/2023 (a) |
38,462 | 34,078 | ||||||
3.04%, 5/15/2023 (a) |
14,070 | 12,375 | ||||||
2.29%, 8/15/2023 (a) |
13,900 | 12,148 | ||||||
2.33%, 11/15/2023 (a) |
14,000 | 12,136 | ||||||
2.38%, 2/15/2024 (a) |
2,200 | 1,893 | ||||||
6.89%, 5/15/2024 (a) |
200 | 171 | ||||||
5.06%, 8/15/2024 (a) |
600 | 508 | ||||||
6.75%, 5/15/2026 (a) |
1,500 | 1,201 | ||||||
3.44%, 8/15/2026 (a) |
1,592 | 1,264 | ||||||
4.18%, 5/15/2027 (a) |
6,550 | 5,068 | ||||||
6.58%, 11/15/2029 (a) |
100 | 71 | ||||||
4.73%, 11/15/2030 (a) |
12,855 | 8,820 | ||||||
3.22%, 2/15/2032 (a) |
9,575 | 6,292 | ||||||
3.73%, 5/15/2032 (a) |
18,050 | 11,768 | ||||||
3.04%, 8/15/2032 (a) |
14,395 | 9,315 | ||||||
4.20%, 11/15/2032 (a) |
10,140 | 6,496 | ||||||
3.89%, 2/15/2033 (a) |
5,500 | 3,493 | ||||||
4.43%, 5/15/2033 (a) |
16,500 | 10,395 | ||||||
6.02%, 8/15/2033 (a) |
3,050 | 1,904 | ||||||
3.82%, 2/15/2034 (a) |
9,500 | 5,831 | ||||||
3.46%, 5/15/2034 (a) |
10,600 | 6,450 | ||||||
3.85%, 8/15/2034 (a) |
1,650 | 996 | ||||||
3.11%, 11/15/2041 (a) |
23,500 | 11,040 | ||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $485,952) |
478,624 | |||||||
|
|
|||||||
CORPORATE BONDS 22.7% |
| |||||||
Aerospace & Defense 0.4% |
||||||||
Airbus Finance BV (France) 2.70%, 4/17/2023 (b) |
557 | 537 | ||||||
Airbus SE (France) 3.95%, 4/10/2047 (b) |
150 | 138 | ||||||
BAE Systems Holdings, Inc. (United Kingdom) 6.38%, 6/1/2019 (b) |
400 | 406 | ||||||
Harris Corp. 3.83%, 4/27/2025 |
850 | 825 | ||||||
Lockheed Martin Corp. 4.07%, 12/15/2042 |
600 | 558 | ||||||
Northrop Grumman Corp. 3.25%, 1/15/2028 |
200 | 186 | ||||||
Northrop Grumman Systems Corp. 7.75%, 2/15/2031 |
300 | 393 | ||||||
Precision Castparts Corp. 3.25%, 6/15/2025 |
1,350 | 1,302 | ||||||
Rockwell Collins, Inc. |
||||||||
3.20%, 3/15/2024 |
350 | 335 | ||||||
4.35%, 4/15/2047 |
199 | 182 | ||||||
United Technologies Corp. |
||||||||
3.95%, 8/16/2025 |
215 | 212 | ||||||
4.45%, 11/16/2038 |
210 | 203 | ||||||
4.50%, 6/1/2042 |
914 | 868 | ||||||
4.15%, 5/15/2045 |
543 | 485 | ||||||
|
|
|||||||
6,630 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Air Freight & Logistics 0.0% (c) |
||||||||
FedEx Corp. 3.90%, 2/1/2035 |
318 | 288 | ||||||
|
|
|||||||
Airlines 0.0% (c) |
||||||||
Continental Airlines Pass-Through Trust Series 2012-2, Class A, 4.00%, 10/29/2024 |
159 | 158 | ||||||
|
|
|||||||
Automobiles 0.1% |
||||||||
Daimler Finance North America LLC (Germany) 2.25%, 3/2/2020 (b) |
305 | 300 | ||||||
Ford Motor Co. 7.45%, 7/16/2031 |
481 | 495 | ||||||
General Motors Co. 6.60%, 4/1/2036 |
1,286 | 1,246 | ||||||
|
|
|||||||
2,041 | ||||||||
|
|
|||||||
Banks 4.2% |
||||||||
ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (b) |
1,216 | 1,204 | ||||||
AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) |
1,165 | 1,145 | ||||||
ANZ New Zealand Intl Ltd. (New Zealand) |
||||||||
2.60%, 9/23/2019 (b) |
750 | 746 | ||||||
2.85%, 8/6/2020 (b) |
402 | 397 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) |
||||||||
4.88%, 1/12/2021 (b) |
228 | 234 | ||||||
4.40%, 5/19/2026 (b) |
263 | 253 | ||||||
Banco Santander SA (Spain) |
||||||||
3.13%, 2/23/2023 |
400 | 375 | ||||||
4.38%, 4/12/2028 |
400 | 369 | ||||||
Bank of America Corp. 3.30%, 1/11/2023 |
885 | 863 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (d) |
588 | 574 | ||||||
(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (d) |
1,855 | 1,793 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (d) |
1,747 | 1,675 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (d) |
547 | 536 | ||||||
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (d) |
526 | 495 | ||||||
3.25%, 10/21/2027 |
1,189 | 1,093 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.70%, 4/24/2028 (d) |
1,700 | 1,605 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d) |
4,975 | 4,588 | ||||||
Bank of Montreal (Canada) 2.10%, 12/12/2019 |
3,000 | 2,968 | ||||||
Bank of Nova Scotia (The) (Canada) 2.70%, 3/7/2022 |
114 | 111 | ||||||
Barclays plc (United Kingdom) |
||||||||
3.68%, 1/10/2023 |
770 | 735 | ||||||
3.65%, 3/16/2025 |
1,808 | 1,660 | ||||||
4.38%, 1/12/2026 |
400 | 378 | ||||||
BNP Paribas SA (France) |
||||||||
3.50%, 3/1/2023 (b) |
290 | 279 | ||||||
3.38%, 1/9/2025 (b) |
425 | 396 | ||||||
BNZ International Funding Ltd. (New Zealand) |
||||||||
2.10%, 9/14/2021 (b) |
450 | 430 | ||||||
2.65%, 11/3/2022 (b) |
632 | 605 | ||||||
Canadian Imperial Bank of Commerce (Canada) 2.25%, 7/21/2020 (b) |
952 | 939 | ||||||
Capital One Bank USA NA 3.38%, 2/15/2023 |
300 | 288 | ||||||
Capital One NA 2.40%, 9/5/2019 |
850 | 844 | ||||||
Citigroup, Inc. |
||||||||
2.65%, 10/26/2020 |
1,210 | 1,189 | ||||||
2.70%, 3/30/2021 |
778 | 761 | ||||||
2.35%, 8/2/2021 |
115 | 111 | ||||||
3.88%, 3/26/2025 |
500 | 481 | ||||||
5.50%, 9/13/2025 |
865 | 901 | ||||||
3.70%, 1/12/2026 |
1,900 | 1,806 | ||||||
3.40%, 5/1/2026 |
1,000 | 931 | ||||||
4.30%, 11/20/2026 |
1,200 | 1,156 | ||||||
6.63%, 1/15/2028 |
250 | 286 | ||||||
8.13%, 7/15/2039 |
223 | 305 | ||||||
5.88%, 1/30/2042 |
321 | 357 | ||||||
Citizens Bank NA 3.70%, 3/29/2023 |
720 | 715 | ||||||
Commonwealth Bank of Australia (Australia) |
||||||||
3.45%, 3/16/2023 (b) |
600 | 593 | ||||||
4.50%, 12/9/2025 (b) |
832 | 808 | ||||||
2.85%, 5/18/2026 (b) |
600 | 553 | ||||||
Cooperatieve Rabobank UA (Netherlands) |
||||||||
4.38%, 8/4/2025 |
1,738 | 1,698 | ||||||
5.80%, 9/30/2110 (b) |
500 | 539 | ||||||
Credit Agricole SA (France) 4.38%, 3/17/2025 (b) |
1,250 | 1,201 | ||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland) |
||||||||
2.75%, 3/26/2020 |
250 | 247 | ||||||
3.80%, 6/9/2023 |
800 | 780 | ||||||
3.75%, 3/26/2025 |
340 | 322 | ||||||
Discover Bank |
||||||||
3.35%, 2/6/2023 |
343 | 330 | ||||||
4.25%, 3/13/2026 |
1,205 | 1,168 | ||||||
Fifth Third Bancorp 3.95%, 3/14/2028 |
500 | 488 | ||||||
Fifth Third Bank |
||||||||
2.38%, 4/25/2019 |
600 | 598 | ||||||
2.88%, 10/1/2021 |
340 | 334 | ||||||
HSBC Bank plc (United Kingdom) 4.75%, 1/19/2021 (b) |
575 | 587 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Banks (continued) |
||||||||
HSBC Holdings plc (United Kingdom) |
||||||||
2.65%, 1/5/2022 |
2,212 | 2,130 | ||||||
4.00%, 3/30/2022 |
1,056 | 1,062 | ||||||
3.60%, 5/25/2023 |
1,054 | 1,033 | ||||||
(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023 (d) |
473 | 453 | ||||||
4.25%, 8/18/2025 |
939 | 901 | ||||||
3.90%, 5/25/2026 |
200 | 190 | ||||||
Huntington Bancshares, Inc. 3.15%, 3/14/2021 |
321 | 317 | ||||||
Huntington National Bank (The) 2.88%, 8/20/2020 |
858 | 850 | ||||||
Intesa Sanpaolo SpA (Italy) 3.88%, 7/14/2027 (b) |
859 | 700 | ||||||
KeyBank NA 3.18%, 5/22/2022 |
729 | 718 | ||||||
KeyCorp 4.15%, 10/29/2025 |
280 | 281 | ||||||
Lloyds Banking Group plc (United Kingdom) |
||||||||
(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (d) |
612 | 575 | ||||||
4.58%, 12/10/2025 |
400 | 378 | ||||||
4.38%, 3/22/2028 |
475 | 446 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) 2.95%, 3/1/2021 |
243 | 240 | ||||||
Mizuho Bank Ltd. (Japan) 2.65%, 9/25/2019 (b) |
623 | 621 | ||||||
Mizuho Financial Group, Inc. (Japan) 2.63%, 4/12/2021 (b) |
742 | 725 | ||||||
National Australia Bank Ltd. (Australia) |
||||||||
2.50%, 1/12/2021 |
700 | 685 | ||||||
3.38%, 1/14/2026 |
800 | 768 | ||||||
Nordea Bank AB (Finland) 4.25%, 9/21/2022 (b) |
945 | 942 | ||||||
PNC Financial Services Group, Inc. (The) |
||||||||
6.70%, 6/10/2019 |
298 | 303 | ||||||
4.38%, 8/11/2020 |
864 | 877 | ||||||
Royal Bank of Canada (Canada) |
||||||||
3.70%, 10/5/2023 |
1,000 | 996 | ||||||
4.65%, 1/27/2026 |
337 | 341 | ||||||
Royal Bank of Scotland Group plc (United Kingdom) |
||||||||
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (d) |
290 | 274 | ||||||
Santander UK Group Holdings plc (United Kingdom) |
||||||||
3.13%, 1/8/2021 |
452 | 442 | ||||||
3.57%, 1/10/2023 |
200 | 191 | ||||||
Societe Generale SA (France) 2.50%, 4/8/2021 (b) |
850 | 828 | ||||||
SpareBank 1 Boligkreditt A/S (Norway) 1.75%, 11/15/2019 (b) |
927 | 915 | ||||||
Standard Chartered plc (United Kingdom) |
||||||||
5.20%, 1/26/2024 (b) |
700 | 706 | ||||||
(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (d) |
400 | 386 | ||||||
4.05%, 4/12/2026 (b) |
769 | 727 | ||||||
(ICE LIBOR USD 3 Month + 1.97%), 4.87%, 3/15/2033 (b) (d) |
200 | 189 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) |
||||||||
2.78%, 10/18/2022 |
542 | 522 | ||||||
3.10%, 1/17/2023 |
689 | 671 | ||||||
2.63%, 7/14/2026 |
872 | 785 | ||||||
SunTrust Banks, Inc. |
||||||||
2.90%, 3/3/2021 |
253 | 250 | ||||||
4.00%, 5/1/2025 |
265 | 262 | ||||||
Toronto-Dominion Bank (The) (Canada) |
||||||||
2.25%, 11/5/2019 |
521 | 516 | ||||||
2.13%, 4/7/2021 |
115 | 112 | ||||||
UBS Group Funding Switzerland AG (Switzerland) 3.49%, 5/23/2023 (b) |
269 | 261 | ||||||
(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (b) (d) |
200 | 191 | ||||||
4.13%, 9/24/2025 (b) |
300 | 295 | ||||||
4.13%, 4/15/2026 (b) |
963 | 938 | ||||||
US Bancorp 7.50%, 6/1/2026 |
1,277 | 1,522 | ||||||
US Bank NA 2.80%, 1/27/2025 |
896 | 844 | ||||||
Wells Fargo & Co. |
||||||||
3.50%, 3/8/2022 |
850 | 840 | ||||||
3.07%, 1/24/2023 |
500 | 483 | ||||||
4.48%, 1/16/2024 |
702 | 712 | ||||||
3.30%, 9/9/2024 |
1,000 | 958 | ||||||
3.00%, 2/19/2025 |
453 | 425 | ||||||
3.00%, 4/22/2026 |
540 | 498 | ||||||
4.10%, 6/3/2026 |
637 | 615 | ||||||
Westpac Banking Corp. (Australia) 2.85%, 5/13/2026 |
690 | 637 | ||||||
|
|
|||||||
80,350 | ||||||||
|
|
|||||||
Beverages 0.4% |
||||||||
Anheuser-Busch Cos. LLC (Belgium) |
||||||||
3.65%, 2/1/2026 (b) |
2,633 | 2,489 | ||||||
4.70%, 2/1/2036 (b) |
1,430 | 1,347 | ||||||
4.90%, 2/1/2046 (b) |
1,135 | 1,061 | ||||||
Coca-Cola Femsa SAB de CV (Mexico) 3.88%, 11/26/2023 |
250 | 247 | ||||||
Constellation Brands, Inc. |
||||||||
4.40%, 11/15/2025 |
325 | 324 | ||||||
5.25%, 11/15/2048 |
220 | 219 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Beverages (continued) |
||||||||
Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022 |
255 | 295 | ||||||
Keurig Dr Pepper, Inc. |
||||||||
3.13%, 12/15/2023 |
500 | 468 | ||||||
4.42%, 5/25/2025 (b) |
149 | 147 | ||||||
3.43%, 6/15/2027 |
250 | 227 | ||||||
4.99%, 5/25/2038 (b) |
215 | 205 | ||||||
PepsiCo, Inc. 4.45%, 4/14/2046 |
534 | 544 | ||||||
|
|
|||||||
7,573 | ||||||||
|
|
|||||||
Biotechnology 0.2% |
||||||||
AbbVie, Inc. 3.60%, 5/14/2025 |
813 | 776 | ||||||
Amgen, Inc. 4.95%, 10/1/2041 |
500 | 496 | ||||||
Baxalta, Inc. |
||||||||
3.60%, 6/23/2022 |
149 | 146 | ||||||
5.25%, 6/23/2045 |
50 | 49 | ||||||
Celgene Corp. |
||||||||
3.45%, 11/15/2027 |
250 | 227 | ||||||
5.70%, 10/15/2040 |
633 | 652 | ||||||
Gilead Sciences, Inc. |
||||||||
3.70%, 4/1/2024 |
189 | 188 | ||||||
3.50%, 2/1/2025 |
210 | 203 | ||||||
3.65%, 3/1/2026 |
632 | 614 | ||||||
4.60%, 9/1/2035 |
816 | 798 | ||||||
|
|
|||||||
4,149 | ||||||||
|
|
|||||||
Building Products 0.1% |
||||||||
Johnson Controls International plc 4.95%, 7/2/2064 (e) |
273 | 246 | ||||||
Masco Corp. 6.50%, 8/15/2032 |
600 | 644 | ||||||
|
|
|||||||
890 | ||||||||
|
|
|||||||
Capital Markets 2.6% |
||||||||
Bank of New York Mellon Corp. (The) |
||||||||
4.60%, 1/15/2020 |
760 | 772 | ||||||
(ICE LIBOR USD 3 Month + 0.63%), 2.66%, 5/16/2023 (d) |
1,363 | 1,315 | ||||||
3.25%, 9/11/2024 |
700 | 679 | ||||||
2.80%, 5/4/2026 |
254 | 236 | ||||||
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) |
429 | 388 | ||||||
Brookfield Finance, Inc. (Canada) |
||||||||
3.90%, 1/25/2028 |
337 | 314 | ||||||
4.70%, 9/20/2047 |
427 | 394 | ||||||
Carlyle Promissory Note 4.44%, 7/15/2019 |
80 | 79 | ||||||
CME Group, Inc. 5.30%, 9/15/2043 |
285 | 322 | ||||||
Credit Suisse AG (Switzerland) |
||||||||
2.30%, 5/28/2019 |
728 | 725 | ||||||
3.63%, 9/9/2024 |
402 | 391 | ||||||
Credit Suisse Group AG (Switzerland) |
||||||||
3.57%, 1/9/2023 (b) |
729 | 709 | ||||||
4.28%, 1/9/2028 (b) |
762 | 726 | ||||||
Deutsche Bank AG (Germany) |
||||||||
4.25%, 10/14/2021 |
1,000 | 976 | ||||||
3.30%, 11/16/2022 |
1,000 | 932 | ||||||
FMR LLC 6.45%, 11/15/2039 (b) |
500 | 604 | ||||||
Goldman Sachs Group, Inc. (The) |
||||||||
5.38%, 3/15/2020 |
1,786 | 1,827 | ||||||
2.35%, 11/15/2021 |
1,940 | 1,852 | ||||||
3.00%, 4/26/2022 |
1,200 | 1,162 | ||||||
(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (d) |
505 | 487 | ||||||
(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (d) |
2,473 | 2,370 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023 (d) |
493 | 471 | ||||||
3.50%, 1/23/2025 |
557 | 527 | ||||||
3.75%, 5/22/2025 |
1,984 | 1,895 | ||||||
4.25%, 10/21/2025 |
1,415 | 1,365 | ||||||
3.50%, 11/16/2026 |
469 | 432 | ||||||
3.85%, 1/26/2027 |
830 | 781 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d) |
2,093 | 1,937 | ||||||
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (d) |
1,000 | 957 | ||||||
6.75%, 10/1/2037 |
685 | 780 | ||||||
Intercontinental Exchange, Inc. 4.00%, 10/15/2023 |
884 | 899 | ||||||
Invesco Finance plc |
||||||||
4.00%, 1/30/2024 |
657 | 651 | ||||||
3.75%, 1/15/2026 |
390 | 374 | ||||||
Jefferies Group LLC 6.45%, 6/8/2027 |
749 | 789 | ||||||
Macquarie Bank Ltd. (Australia) |
||||||||
2.60%, 6/24/2019 (b) |
896 | 893 | ||||||
2.85%, 7/29/2020 (b) |
1,000 | 989 | ||||||
4.00%, 7/29/2025 (b) |
1,000 | 978 | ||||||
Macquarie Group Ltd. (Australia) |
||||||||
6.00%, 1/14/2020 (b) |
1,200 | 1,231 | ||||||
6.25%, 1/14/2021 (b) |
1,650 | 1,730 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (b) (d) |
700 | 635 | ||||||
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (d) |
700 | 694 | ||||||
Morgan Stanley |
||||||||
7.30%, 5/13/2019 |
970 | 988 | ||||||
5.63%, 9/23/2019 |
1,265 | 1,288 | ||||||
2.65%, 1/27/2020 |
500 | 496 | ||||||
5.50%, 7/24/2020 |
475 | 489 | ||||||
5.75%, 1/25/2021 |
906 | 943 | ||||||
2.50%, 4/21/2021 |
1,064 | 1,035 | ||||||
5.50%, 7/28/2021 |
559 | 583 | ||||||
3.75%, 2/25/2023 |
2,365 | 2,342 | ||||||
4.00%, 7/23/2025 |
2,873 | 2,811 | ||||||
3.88%, 1/27/2026 |
946 | 912 | ||||||
State Street Corp. 3.10%, 5/15/2023 |
369 | 358 | ||||||
|
|
|||||||
48,513 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Chemicals 0.3% |
||||||||
Albemarle Corp. 5.45%, 12/1/2044 |
150 | 147 | ||||||
Chevron Phillips Chemical Co. LLC 3.70%, 6/1/2028 (b) |
600 | 589 | ||||||
Dow Chemical Co. (The) 4.25%, 10/1/2034 |
375 | 337 | ||||||
DowDuPont, Inc. |
||||||||
4.49%, 11/15/2025 |
500 | 506 | ||||||
5.32%, 11/15/2038 |
215 | 219 | ||||||
International Flavors & Fragrances, Inc. |
||||||||
4.45%, 9/26/2028 |
300 | 298 | ||||||
5.00%, 9/26/2048 |
365 | 351 | ||||||
Mosaic Co. (The) |
||||||||
5.45%, 11/15/2033 |
861 | 873 | ||||||
4.88%, 11/15/2041 |
79 | 72 | ||||||
Nutrien Ltd. (Canada) |
||||||||
3.38%, 3/15/2025 |
490 | 457 | ||||||
3.00%, 4/1/2025 |
660 | 609 | ||||||
4.13%, 3/15/2035 |
455 | 404 | ||||||
Sherwin-Williams Co. (The) 3.13%, 6/1/2024 |
381 | 360 | ||||||
Union Carbide Corp. 7.75%, 10/1/2096 |
850 | 1,014 | ||||||
Westlake Chemical Corp. 4.38%, 11/15/2047 |
237 | 199 | ||||||
|
|
|||||||
6,435 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.0% (c) |
||||||||
Republic Services, Inc. 2.90%, 7/1/2026 |
175 | 162 | ||||||
|
|
|||||||
Communications Equipment 0.1% |
||||||||
Cisco Systems, Inc. |
||||||||
5.90%, 2/15/2039 |
755 | 906 | ||||||
5.50%, 1/15/2040 |
350 | 404 | ||||||
|
|
|||||||
1,310 | ||||||||
|
|
|||||||
Construction & Engineering 0.0% (c) |
||||||||
Mexico City Airport Trust (Mexico) 4.25%, 10/31/2026 (b) |
450 | 368 | ||||||
|
|
|||||||
Construction Materials 0.1% |
||||||||
CRH America, Inc. (Ireland) |
||||||||
3.88%, 5/18/2025 (b) |
417 | 400 | ||||||
5.13%, 5/18/2045 (b) |
893 | 858 | ||||||
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
770 | 702 | ||||||
|
|
|||||||
1,960 | ||||||||
|
|
|||||||
Consumer Finance 0.8% |
||||||||
AerCap Ireland Capital DAC (Ireland) |
||||||||
3.30%, 1/23/2023 |
390 | 371 | ||||||
3.50%, 1/15/2025 |
600 | 550 | ||||||
American Express Credit Corp. |
||||||||
2.25%, 5/5/2021 |
1,126 | 1,092 | ||||||
2.70%, 3/3/2022 |
715 | 694 | ||||||
Capital One Financial Corp. |
||||||||
3.20%, 2/5/2025 |
1,069 | 986 | ||||||
4.20%, 10/29/2025 |
250 | 239 | ||||||
Ford Motor Credit Co. LLC |
||||||||
3.34%, 3/28/2022 |
1,000 | 942 | ||||||
3.81%, 1/9/2024 |
1,085 | 988 | ||||||
4.13%, 8/4/2025 |
1,162 | 1,042 | ||||||
General Motors Financial Co., Inc. |
||||||||
3.45%, 4/10/2022 |
1,091 | 1,048 | ||||||
3.70%, 5/9/2023 |
1,230 | 1,171 | ||||||
3.95%, 4/13/2024 |
1,400 | 1,328 | ||||||
3.50%, 11/7/2024 |
640 | 586 | ||||||
4.35%, 4/9/2025 |
540 | 513 | ||||||
4.30%, 7/13/2025 |
550 | 517 | ||||||
John Deere Capital Corp. |
||||||||
3.15%, 10/15/2021 |
233 | 232 | ||||||
2.70%, 1/6/2023 |
1,712 | 1,649 | ||||||
Synchrony Financial 4.25%, 8/15/2024 |
660 | 606 | ||||||
|
|
|||||||
14,554 | ||||||||
|
|
|||||||
Containers & Packaging 0.1% |
||||||||
International Paper Co. 7.30%, 11/15/2039 |
600 | 707 | ||||||
WRKCo., Inc. 3.75%, 3/15/2025 (b) |
400 | 384 | ||||||
|
|
|||||||
1,091 | ||||||||
|
|
|||||||
Diversified Consumer Services 0.0% (c) |
||||||||
President & Fellows of Harvard College 3.30%, 7/15/2056 |
643 | 537 | ||||||
|
|
|||||||
Diversified Financial Services 0.8% |
||||||||
GE Capital International Funding Co. Unlimited Co. |
||||||||
3.37%, 11/15/2025 |
573 | 495 | ||||||
4.42%, 11/15/2035 |
7,083 | 5,712 | ||||||
GTP Acquisition Partners I LLC |
||||||||
2.35%, 6/15/2020 (b) |
1,236 | 1,211 | ||||||
3.48%, 6/16/2025 (b) |
1,436 | 1,388 | ||||||
Hutchison Whampoa International 12 II Ltd. (Hong Kong) 3.25%, 11/8/2022 (b) |
539 | 529 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) 2.65%, 9/19/2022 (b) |
606 | 578 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.95%, 2/7/2024 |
306 | 297 | ||||||
ORIX Corp. (Japan) 2.90%, 7/18/2022 |
553 | 536 | ||||||
Shell International Finance BV (Netherlands) 4.13%, 5/11/2035 |
2,069 | 2,010 | ||||||
Siemens Financieringsmaatschappij NV (Germany) |
||||||||
2.90%, 5/27/2022 (b) |
634 | 619 | ||||||
3.13%, 3/16/2024 (b) |
750 | 727 | ||||||
4.40%, 5/27/2045 (b) |
513 | 507 | ||||||
|
|
|||||||
14,609 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Diversified Telecommunication Services 0.9% |
||||||||
AT&T, Inc. |
||||||||
3.95%, 1/15/2025 |
1,126 | 1,087 | ||||||
4.13%, 2/17/2026 |
400 | 386 | ||||||
4.30%, 2/15/2030 |
4,567 | 4,256 | ||||||
6.00%, 8/15/2040 |
2,000 | 2,017 | ||||||
5.35%, 9/1/2040 |
500 | 472 | ||||||
4.35%, 6/15/2045 |
462 | 378 | ||||||
British Telecommunications plc (United Kingdom) 9.63%, 12/15/2030 (e) |
150 | 203 | ||||||
Centel Capital Corp. 9.00%, 10/15/2019 |
600 | 620 | ||||||
Deutsche Telekom International Finance BV (Germany) |
||||||||
3.60%, 1/19/2027 (b) |
175 | 163 | ||||||
4.88%, 3/6/2042 (b) |
232 | 222 | ||||||
Qwest Corp. 6.75%, 12/1/2021 |
741 | 772 | ||||||
Telefonica Emisiones SAU (Spain) |
||||||||
5.13%, 4/27/2020 |
526 | 537 | ||||||
5.46%, 2/16/2021 |
316 | 327 | ||||||
4.10%, 3/8/2027 |
321 | 304 | ||||||
Verizon Communications, Inc. |
||||||||
3.50%, 11/1/2021 |
400 | 400 | ||||||
3.38%, 2/15/2025 |
2,304 | 2,217 | ||||||
4.33%, 9/21/2028 |
962 | 956 | ||||||
4.40%, 11/1/2034 |
1,895 | 1,798 | ||||||
4.27%, 1/15/2036 |
200 | 184 | ||||||
5.25%, 3/16/2037 |
457 | 470 | ||||||
|
|
|||||||
17,769 | ||||||||
|
|
|||||||
Electric Utilities 1.3% |
||||||||
Alabama Power Co. 6.13%, 5/15/2038 |
239 | 284 | ||||||
Arizona Public Service Co. |
||||||||
2.20%, 1/15/2020 |
133 | 132 | ||||||
5.05%, 9/1/2041 |
467 | 489 | ||||||
Baltimore Gas & Electric Co. 3.50%, 8/15/2046 |
376 | 318 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) |
1,234 | 1,159 | ||||||
Comision Federal de Electricidad (Mexico) 4.88%, 5/26/2021 (b) |
831 | 824 | ||||||
Connecticut Light & Power Co. (The) 4.00%, 4/1/2048 |
236 | 221 | ||||||
Duke Energy Carolinas LLC |
||||||||
6.00%, 1/15/2038 |
100 | 119 | ||||||
6.05%, 4/15/2038 |
155 | 184 | ||||||
4.25%, 12/15/2041 |
129 | 124 | ||||||
Duke Energy Florida LLC 6.40%, 6/15/2038 |
90 | 112 | ||||||
Duke Energy Progress LLC |
||||||||
4.10%, 5/15/2042 |
273 | 255 | ||||||
4.10%, 3/15/2043 |
125 | 118 | ||||||
Edison International 4.13%, 3/15/2028 |
200 | 188 | ||||||
Electricite de France SA (France) 6.00%, 1/22/2114 (b) |
1,300 | 1,261 | ||||||
Enel Finance International NV (Italy) |
||||||||
4.63%, 9/14/2025 (b) |
265 | 250 | ||||||
3.63%, 5/25/2027 (b) |
740 | 638 | ||||||
Entergy Arkansas, Inc. 3.50%, 4/1/2026 |
175 | 171 | ||||||
Entergy Corp. 2.95%, 9/1/2026 |
336 | 304 | ||||||
Entergy Louisiana LLC 3.05%, 6/1/2031 |
629 | 566 | ||||||
Entergy Mississippi, Inc. 2.85%, 6/1/2028 |
559 | 510 | ||||||
Evergy, Inc. 4.85%, 6/1/2021 |
679 | 693 | ||||||
FirstEnergy Corp. Series C, 4.85%, 7/15/2047 |
289 | 278 | ||||||
Florida Power & Light Co. 5.95%, 2/1/2038 |
350 | 420 | ||||||
Hydro-Quebec (Canada) |
||||||||
Series HY, 8.40%, 1/15/2022 |
1,000 | 1,141 | ||||||
Series IO, 8.05%, 7/7/2024 |
350 | 428 | ||||||
ITC Holdings Corp. 2.70%, 11/15/2022 |
900 | 859 | ||||||
Jersey Central Power & Light Co. 7.35%, 2/1/2019 |
100 | 101 | ||||||
John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 |
757 | 792 | ||||||
Kansas City Power & Light Co. 5.30%, 10/1/2041 |
1,400 | 1,495 | ||||||
Korea Southern Power Co. Ltd. (South Korea) 3.00%, 1/29/2021 (b) |
228 | 224 | ||||||
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) |
315 | 305 | ||||||
Nevada Power Co. |
||||||||
Series N, 6.65%, 4/1/2036 |
100 | 126 | ||||||
5.45%, 5/15/2041 |
305 | 337 | ||||||
New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (b) |
168 | 152 | ||||||
NextEra Energy Capital Holdings, Inc. 2.40%, 9/15/2019 |
371 | 368 | ||||||
Niagara Mohawk Power Corp. |
||||||||
4.88%, 8/15/2019 (b) |
300 | 303 | ||||||
3.51%, 10/1/2024 (b) |
493 | 486 | ||||||
Northern States Power Co. 6.25%, 6/1/2036 |
510 | 626 | ||||||
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 (b) |
110 | 124 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) |
150 | 139 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Electric Utilities (continued) |
||||||||
Pepco Holdings LLC 7.45%, 8/15/2032 |
316 | 380 | ||||||
Potomac Electric Power Co. 6.50%, 11/15/2037 |
1,085 | 1,358 | ||||||
PPL Capital Funding, Inc. 3.40%, 6/1/2023 |
200 | 197 | ||||||
Progress Energy, Inc. |
||||||||
3.15%, 4/1/2022 |
673 | 658 | ||||||
7.00%, 10/30/2031 |
300 | 374 | ||||||
Public Service Co. of Colorado 3.55%, 6/15/2046 |
214 | 182 | ||||||
Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 |
2,490 | 3,069 | ||||||
Public Service Electric & Gas Co. 5.38%, 11/1/2039 |
317 | 349 | ||||||
Southern California Edison Co. |
||||||||
Series B, 3.65%, 3/1/2028 |
400 | 381 | ||||||
Series 08-A, 5.95%, 2/1/2038 |
200 | 214 | ||||||
Southwestern Public Service Co. 4.50%, 8/15/2041 |
200 | 199 | ||||||
Toledo Edison Co. (The) 6.15%, 5/15/2037 |
300 | 351 | ||||||
|
|
|||||||
25,336 | ||||||||
|
|
|||||||
Electrical Equipment 0.1% |
||||||||
ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022 |
292 | 285 | ||||||
Eaton Corp. |
||||||||
7.63%, 4/1/2024 |
300 | 342 | ||||||
4.00%, 11/2/2032 |
170 | 163 | ||||||
|
|
|||||||
790 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% |
||||||||
Arrow Electronics, Inc. |
||||||||
4.50%, 3/1/2023 |
190 | 191 | ||||||
3.25%, 9/8/2024 |
219 | 203 | ||||||
3.88%, 1/12/2028 |
442 | 403 | ||||||
|
|
|||||||
797 | ||||||||
|
|
|||||||
Energy Equipment & Services 0.1% |
||||||||
Baker Hughes a GE Co. LLC 5.13%, 9/15/2040 |
300 | 285 | ||||||
Halliburton Co. 7.45%, 9/15/2039 |
500 | 624 | ||||||
Schlumberger Holdings Corp. |
||||||||
3.63%, 12/21/2022 (b) |
649 | 640 | ||||||
4.00%, 12/21/2025 (b) |
200 | 196 | ||||||
Schlumberger Investment SA 3.30%, 9/14/2021 (b) |
441 | 440 | ||||||
|
|
|||||||
2,185 | ||||||||
|
|
|||||||
Entertainment 0.2% |
||||||||
21st Century Fox America, Inc. |
||||||||
8.88%, 4/26/2023 |
430 | 513 | ||||||
6.20%, 12/15/2034 |
100 | 119 | ||||||
6.65%, 11/15/2037 |
400 | 509 | ||||||
NBCUniversal Media LLC 5.95%, 4/1/2041 |
800 | 886 | ||||||
Viacom, Inc. |
||||||||
3.88%, 4/1/2024 |
1,019 | 1,008 | ||||||
4.38%, 3/15/2043 |
464 | 376 | ||||||
Warner Media LLC |
||||||||
3.60%, 7/15/2025 |
500 | 469 | ||||||
5.38%, 10/15/2041 |
313 | 297 | ||||||
|
|
|||||||
4,177 | ||||||||
|
|
|||||||
Equity Real Estate Investment Trusts (REITs) 1.0% |
||||||||
American Tower Corp. |
||||||||
5.90%, 11/1/2021 |
100 | 106 | ||||||
3.50%, 1/31/2023 |
1,043 | 1,015 | ||||||
5.00%, 2/15/2024 |
974 | 1,006 | ||||||
3.38%, 10/15/2026 |
312 | 286 | ||||||
American Tower Trust #1 3.07%, 3/15/2023 (b) |
750 | 734 | ||||||
AvalonBay Communities, Inc. 2.85%, 3/15/2023 |
700 | 677 | ||||||
Boston Properties LP |
||||||||
3.20%, 1/15/2025 |
532 | 502 | ||||||
3.65%, 2/1/2026 |
483 | 462 | ||||||
Brixmor Operating Partnership LP 3.85%, 2/1/2025 |
400 | 383 | ||||||
Crown Castle International Corp. 4.00%, 3/1/2027 |
264 | 253 | ||||||
Digital Realty Trust LP 3.70%, 8/15/2027 |
252 | 234 | ||||||
Duke Realty LP 3.25%, 6/30/2026 |
239 | 225 | ||||||
EPR Properties |
||||||||
4.50%, 6/1/2027 |
621 | 587 | ||||||
4.95%, 4/15/2028 |
305 | 297 | ||||||
Equity Commonwealth 5.88%, 9/15/2020 |
600 | 614 | ||||||
Government Properties Income Trust |
||||||||
3.75%, 8/15/2019 |
2,150 | 2,155 | ||||||
4.00%, 7/15/2022 |
784 | 778 | ||||||
HCP, Inc. |
||||||||
4.20%, 3/1/2024 |
230 | 229 | ||||||
3.88%, 8/15/2024 |
794 | 771 | ||||||
3.40%, 2/1/2025 |
265 | 250 | ||||||
National Retail Properties, Inc. 4.00%, 11/15/2025 |
783 | 768 | ||||||
Realty Income Corp. 4.65%, 3/15/2047 |
556 | 537 | ||||||
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) |
420 | 399 | ||||||
Select Income 3.60%, 2/1/2020 |
1,000 | 993 | ||||||
Senior Housing Properties Trust |
||||||||
3.25%, 5/1/2019 |
500 | 499 | ||||||
4.75%, 2/15/2028 |
400 | 379 | ||||||
Simon Property Group LP |
||||||||
3.75%, 2/1/2024 |
532 | 528 | ||||||
3.38%, 10/1/2024 |
300 | 292 | ||||||
SITE Centers Corp. 4.70%, 6/1/2027 |
330 | 326 | ||||||
UDR, Inc. 2.95%, 9/1/2026 |
382 | 346 | ||||||
Ventas Realty LP |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
||||||||
3.50%, 2/1/2025 |
242 | 230 | ||||||
4.13%, 1/15/2026 |
406 | 397 | ||||||
3.85%, 4/1/2027 |
554 | 527 | ||||||
VEREIT Operating Partnership LP 4.60%, 2/6/2024 |
1,000 | 998 | ||||||
Welltower, Inc. 4.50%, 1/15/2024 |
732 | 743 | ||||||
|
|
|||||||
19,526 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.1% |
||||||||
CVS Pass-Through Trust 4.70%, 1/10/2036 (b) |
687 | 677 | ||||||
Sysco Corp. |
||||||||
3.55%, 3/15/2025 |
140 | 135 | ||||||
3.75%, 10/1/2025 |
291 | 283 | ||||||
4.45%, 3/15/2048 |
100 | 91 | ||||||
Walgreen Co. 4.40%, 9/15/2042 |
200 | 175 | ||||||
Walgreens Boots Alliance, Inc. 4.50%, 11/18/2034 |
386 | 363 | ||||||
|
|
|||||||
1,724 | ||||||||
|
|
|||||||
Food Products 0.3% |
||||||||
Campbell Soup Co. 3.95%, 3/15/2025 |
720 | 682 | ||||||
Cargill, Inc. |
||||||||
3.30%, 3/1/2022 (b) |
600 | 595 | ||||||
3.25%, 3/1/2023 (b) |
115 | 113 | ||||||
Conagra Brands, Inc. |
||||||||
4.60%, 11/1/2025 |
290 | 289 | ||||||
5.30%, 11/1/2038 |
650 | 625 | ||||||
General Mills, Inc. |
||||||||
4.00%, 4/17/2025 |
490 | 478 | ||||||
4.20%, 4/17/2028 |
315 | 304 | ||||||
Kellogg Co. 3.40%, 11/15/2027 |
190 | 173 | ||||||
Kraft Heinz Foods Co. 6.88%, 1/26/2039 |
1,071 | 1,199 | ||||||
McCormick & Co., Inc. |
||||||||
3.15%, 8/15/2024 |
179 | 171 | ||||||
3.40%, 8/15/2027 |
264 | 249 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 |
153 | 154 | ||||||
Tyson Foods, Inc. 4.88%, 8/15/2034 |
300 | 287 | ||||||
Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025 |
290 | 284 | ||||||
|
|
|||||||
5,603 | ||||||||
|
|
|||||||
Gas Utilities 0.2% |
||||||||
Atmos Energy Corp. |
||||||||
8.50%, 3/15/2019 |
375 | 381 | ||||||
4.15%, 1/15/2043 |
828 | 791 | ||||||
4.13%, 10/15/2044 |
125 | 117 | ||||||
Boston Gas Co. 4.49%, 2/15/2042 (b) |
308 | 299 | ||||||
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) |
440 | 413 | ||||||
CenterPoint Energy Resources Corp. 4.50%, 1/15/2021 |
335 | 339 | ||||||
Dominion Energy Gas Holdings LLC 2.80%, 11/15/2020 |
382 | 376 | ||||||
Korea Gas Corp. (South Korea) 1.88%, 7/18/2021 (b) |
653 | 624 | ||||||
Southern Natural Gas Co. LLC |
||||||||
8.00%, 3/1/2032 |
351 | 442 | ||||||
4.80%, 3/15/2047 (b) |
367 | 334 | ||||||
|
|
|||||||
4,116 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.1% |
||||||||
Covidien International Finance SA 2.95%, 6/15/2023 |
399 | 389 | ||||||
Medtronic, Inc. |
||||||||
3.13%, 3/15/2022 |
422 | 416 | ||||||
4.38%, 3/15/2035 |
460 | 461 | ||||||
|
|
|||||||
1,266 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.5% |
||||||||
Aetna, Inc. 6.75%, 12/15/2037 |
440 | 527 | ||||||
Anthem, Inc. |
||||||||
4.63%, 5/15/2042 |
500 | 468 | ||||||
4.65%, 1/15/2043 |
535 | 507 | ||||||
4.65%, 8/15/2044 |
100 | 95 | ||||||
CVS Health Corp. |
||||||||
4.10%, 3/25/2025 |
2,911 | 2,867 | ||||||
4.30%, 3/25/2028 |
779 | 759 | ||||||
4.78%, 3/25/2038 |
1,150 | 1,099 | ||||||
5.05%, 3/25/2048 |
642 | 622 | ||||||
Express Scripts Holding Co. |
||||||||
3.00%, 7/15/2023 |
305 | 291 | ||||||
3.50%, 6/15/2024 |
500 | 485 | ||||||
4.50%, 2/25/2026 |
300 | 301 | ||||||
Mayo Clinic Series 2016, 4.13%, 11/15/2052 |
225 | 220 | ||||||
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 |
200 | 192 | ||||||
Quest Diagnostics, Inc. 3.45%, 6/1/2026 |
150 | 141 | ||||||
Texas Health Resources 4.33%, 11/15/2055 |
300 | 289 | ||||||
UnitedHealth Group, Inc. 4.63%, 7/15/2035 |
400 | 414 | ||||||
|
|
|||||||
9,277 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.0%(c) |
||||||||
McDonalds Corp. 4.70%, 12/9/2035 |
700 | 698 | ||||||
|
|
|||||||
Household Durables 0.0%(c) |
||||||||
Newell Brands, Inc. 5.50%, 4/1/2046 |
230 | 208 | ||||||
|
|
|||||||
Household Products 0.0%(c) |
||||||||
Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (b) |
700 | 668 | ||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Independent Power and Renewable Electricity Producers 0.0% (c) |
||||||||
Exelon Generation Co. LLC 5.75%, 10/1/2041 |
235 | 232 | ||||||
Tri-State Generation & Transmission Association, Inc. 4.25%, 6/1/2046 |
417 | 381 | ||||||
|
|
|||||||
613 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% |
||||||||
General Electric Co. |
||||||||
5.30%, 2/11/2021 |
191 | 189 | ||||||
2.70%, 10/9/2022 |
107 | 97 | ||||||
3.10%, 1/9/2023 |
573 | 520 | ||||||
3.45%, 5/15/2024 |
541 | 484 | ||||||
5.88%, 1/14/2038 |
95 | 88 | ||||||
Roper Technologies, Inc. 3.00%, 12/15/2020 |
192 | 190 | ||||||
|
|
|||||||
1,568 | ||||||||
|
|
|||||||
Insurance 1.1% |
||||||||
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) |
520 | 645 | ||||||
American International Group, Inc. 3.75%, 7/10/2025 |
674 | 637 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 |
660 | 652 | ||||||
Athene Global Funding |
||||||||
2.75%, 4/20/2020 (b) |
1,055 | 1,041 | ||||||
4.00%, 1/25/2022 (b) |
515 | 517 | ||||||
Athene Holding Ltd. 4.13%, 1/12/2028 |
575 | 524 | ||||||
Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042 |
1,000 | 983 | ||||||
CNA Financial Corp. 3.95%, 5/15/2024 |
463 | 455 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (b) (d) (f) (g) |
526 | 486 | ||||||
Great-West Lifeco Finance Delaware LP (Canada) 4.15%, 6/3/2047 (b) |
700 | 636 | ||||||
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) |
208 | 198 | ||||||
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 |
400 | 363 | ||||||
Jackson National Life Global Funding 3.05%, 4/29/2026 (b) |
675 | 634 | ||||||
Liberty Mutual Group, Inc. |
||||||||
4.95%, 5/1/2022 (b) |
408 | 416 | ||||||
6.50%, 3/15/2035 (b) |
900 | 1,026 | ||||||
Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b) |
100 | 121 | ||||||
Lincoln National Corp. 4.20%, 3/15/2022 |
598 | 609 | ||||||
Massachusetts Mutual Life Insurance Co. |
||||||||
8.88%, 6/1/2039 (b) |
91 | 137 | ||||||
5.38%, 12/1/2041 (b) |
280 | 304 | ||||||
MassMutual Global Funding II 2.50%, 10/17/2022 (b) |
626 | 603 | ||||||
MetLife, Inc. 4.88%, 11/13/2043 |
600 | 609 | ||||||
Metropolitan Life Global Funding I 3.88%, 4/11/2022 (b) |
1,277 | 1,287 | ||||||
New York Life Global Funding |
||||||||
2.15%, 6/18/2019 (b) |
3,951 | 3,932 | ||||||
1.95%, 2/11/2020 (b) |
129 | 127 | ||||||
OneBeacon US Holdings, Inc. 4.60%, 11/9/2022 |
500 | 504 | ||||||
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (d) (f) (g) |
360 | 351 | ||||||
Prudential Financial, Inc. 3.91%, 12/7/2047 |
300 | 258 | ||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) |
1,750 | 2,131 | ||||||
Reliance Standard Life Global Funding II 3.05%, 1/20/2021 (b) |
388 | 383 | ||||||
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) |
400 | 376 | ||||||
Torchmark Corp. 4.55%, 9/15/2028 |
485 | 485 | ||||||
|
|
|||||||
21,430 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail 0.1% |
||||||||
Amazon.com, Inc. 4.80%, 12/5/2034 |
1,435 | 1,507 | ||||||
|
|
|||||||
IT Services 0.1% |
||||||||
DXC Technology Co. 4.25%, 4/15/2024 |
478 | 468 | ||||||
Western Union Co. (The) 3.60%, 3/15/2022 |
1,100 | 1,089 | ||||||
|
|
|||||||
1,557 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 0.0% (c) |
||||||||
Thermo Fisher Scientific, Inc. |
||||||||
3.00%, 4/15/2023 |
369 | 355 | ||||||
4.15%, 2/1/2024 |
343 | 344 | ||||||
|
|
|||||||
699 | ||||||||
|
|
|||||||
Machinery 0.1% |
||||||||
Illinois Tool Works, Inc. |
||||||||
3.50%, 3/1/2024 |
400 | 401 | ||||||
4.88%, 9/15/2041 |
95 | 102 | ||||||
3.90%, 9/1/2042 |
825 | 779 | ||||||
Nvent Finance SARL (United Kingdom) 4.55%, 4/15/2028 |
450 | 435 | ||||||
Parker-Hannifin Corp. 4.45%, 11/21/2044 |
592 | 582 | ||||||
Xylem, Inc. 3.25%, 11/1/2026 |
197 | 184 | ||||||
|
|
|||||||
2,483 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Media 0.7% |
||||||||
CBS Corp. |
||||||||
4.00%, 1/15/2026 |
792 | 762 | ||||||
4.85%, 7/1/2042 |
140 | 130 | ||||||
Charter Communications Operating LLC |
||||||||
4.91%, 7/23/2025 |
1,797 | 1,789 | ||||||
6.38%, 10/23/2035 |
703 | 718 | ||||||
5.38%, 4/1/2038 |
305 | 278 | ||||||
Comcast Corp. |
||||||||
3.95%, 10/15/2025 |
696 | 693 | ||||||
3.15%, 3/1/2026 |
740 | 695 | ||||||
3.55%, 5/1/2028 |
443 | 419 | ||||||
4.20%, 8/15/2034 |
555 | 525 | ||||||
6.50%, 11/15/2035 |
2,383 | 2,794 | ||||||
4.60%, 10/15/2038 |
845 | 828 | ||||||
4.95%, 10/15/2058 |
620 | 609 | ||||||
Cox Communications, Inc. 4.60%, 8/15/2047 (b) |
275 | 245 | ||||||
Discovery Communications LLC 6.35%, 6/1/2040 |
569 | 605 | ||||||
Grupo Televisa SAB (Mexico) |
||||||||
4.63%, 1/30/2026 |
221 | 216 | ||||||
6.13%, 1/31/2046 |
200 | 196 | ||||||
Time Warner Cable LLC |
||||||||
4.13%, 2/15/2021 |
800 | 801 | ||||||
6.55%, 5/1/2037 |
400 | 406 | ||||||
5.50%, 9/1/2041 |
359 | 322 | ||||||
Time Warner Entertainment Co. LP 8.38%, 7/15/2033 |
700 | 848 | ||||||
|
|
|||||||
13,879 | ||||||||
|
|
|||||||
Metals & Mining 0.1% |
||||||||
Anglo American Capital plc (South Africa) 4.00%, 9/11/2027 (b) |
500 | 450 | ||||||
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 |
295 | 327 | ||||||
BHP Billiton Finance USA Ltd. (Australia) 5.00%, 9/30/2043 |
150 | 159 | ||||||
Vale Canada Ltd. (Brazil) 7.20%, 9/15/2032 |
300 | 327 | ||||||
Vale Overseas Ltd. (Brazil) 6.25%, 8/10/2026 |
119 | 127 | ||||||
|
|
|||||||
1,390 | ||||||||
|
|
|||||||
Multiline Retail 0.0% (c) |
||||||||
Dollar General Corp. 4.13%, 5/1/2028 |
235 | 227 | ||||||
Target Corp. 2.50%, 4/15/2026 |
350 | 321 | ||||||
|
|
|||||||
548 | ||||||||
|
|
|||||||
Multi-Utilities 0.4% |
||||||||
CMS Energy Corp. |
||||||||
3.88%, 3/1/2024 |
400 | 397 | ||||||
3.00%, 5/15/2026 |
475 | 436 | ||||||
Consolidated Edison Co. of New York, Inc. 5.70%, 6/15/2040 |
596 | 680 | ||||||
Consumers Energy Co. 3.25%, 8/15/2046 |
286 | 239 | ||||||
Delmarva Power & Light Co. 4.00%, 6/1/2042 |
235 | 213 | ||||||
Dominion Energy, Inc. |
||||||||
Series B, 2.75%, 1/15/2022 |
331 | 319 | ||||||
Series F, 5.25%, 8/1/2033 |
920 | 965 | ||||||
NiSource, Inc. |
||||||||
3.85%, 2/15/2023 |
370 | 370 | ||||||
5.80%, 2/1/2042 |
1,256 | 1,342 | ||||||
San Diego Gas & Electric Co. |
||||||||
6.00%, 6/1/2026 |
275 | 312 | ||||||
3.95%, 11/15/2041 |
379 | 340 | ||||||
Sempra Energy |
||||||||
9.80%, 2/15/2019 |
460 | 466 | ||||||
4.05%, 12/1/2023 |
1,013 | 1,002 | ||||||
Southern Co. Gas Capital Corp. |
||||||||
3.50%, 9/15/2021 |
563 | 557 | ||||||
3.25%, 6/15/2026 |
254 | 235 | ||||||
|
|
|||||||
7,873 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.4% |
||||||||
Anadarko Petroleum Corp. 8.70%, 3/15/2019 |
330 | 335 | ||||||
Andeavor Logistics LP 5.25%, 1/15/2025 |
268 | 272 | ||||||
Apache Corp. |
||||||||
3.25%, 4/15/2022 |
109 | 106 | ||||||
4.75%, 4/15/2043 |
556 | 477 | ||||||
APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b) |
732 | 703 | ||||||
BG Energy Capital plc (United Kingdom) 5.13%, 10/15/2041 (b) |
235 | 244 | ||||||
BP Capital Markets plc (United Kingdom) |
||||||||
3.81%, 2/10/2024 |
1,337 | 1,332 | ||||||
3.22%, 4/14/2024 |
1,982 | 1,922 | ||||||
3.51%, 3/17/2025 |
451 | 440 | ||||||
Buckeye Partners LP |
||||||||
4.88%, 2/1/2021 |
330 | 335 | ||||||
3.95%, 12/1/2026 |
67 | 60 | ||||||
5.85%, 11/15/2043 |
770 | 698 | ||||||
Canadian Natural Resources Ltd. (Canada) 6.45%, 6/30/2033 |
350 | 397 | ||||||
Cenovus Energy, Inc. (Canada) 6.75%, 11/15/2039 |
1,509 | 1,450 | ||||||
Chevron Corp. |
||||||||
2.36%, 12/5/2022 |
560 | 536 | ||||||
2.57%, 5/16/2023 |
1,200 | 1,150 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||
2.90%, 3/3/2024 |
215 | 207 | ||||||
CNOOC Finance 2015 Australia Pty. Ltd. (China) 2.63%, 5/5/2020 |
1,852 | 1,826 | ||||||
CNOOC Nexen Finance 2014 ULC (China) 4.25%, 4/30/2024 |
1,789 | 1,794 | ||||||
Ecopetrol SA (Colombia) |
||||||||
5.88%, 9/18/2023 |
226 | 235 | ||||||
4.13%, 1/16/2025 |
533 | 502 | ||||||
Enable Midstream Partners LP 4.95%, 5/15/2028 |
325 | 306 | ||||||
Enbridge, Inc. (Canada) |
||||||||
3.70%, 7/15/2027 |
215 | 201 | ||||||
4.50%, 6/10/2044 |
350 | 311 | ||||||
(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (d) |
400 | 355 | ||||||
Encana Corp. (Canada) |
||||||||
6.50%, 5/15/2019 |
545 | 553 | ||||||
7.38%, 11/1/2031 |
760 | 882 | ||||||
Energy Transfer Operating LP |
||||||||
3.60%, 2/1/2023 |
674 | 650 | ||||||
4.90%, 2/1/2024 |
305 | 306 | ||||||
4.05%, 3/15/2025 |
964 | 910 | ||||||
4.75%, 1/15/2026 |
321 | 311 | ||||||
Eni SpA (Italy) 5.70%, 10/1/2040 (b) |
925 | 907 | ||||||
EnLink Midstream Partners LP 2.70%, 4/1/2019 |
250 | 248 | ||||||
Enterprise Products Operating LLC |
||||||||
3.90%, 2/15/2024 |
475 | 472 | ||||||
3.75%, 2/15/2025 |
343 | 335 | ||||||
3.70%, 2/15/2026 |
506 | 487 | ||||||
Equinor ASA (Norway) 3.25%, 11/10/2024 |
456 | 448 | ||||||
Kerr-McGee Corp. |
||||||||
6.95%, 7/1/2024 |
200 | 222 | ||||||
7.88%, 9/15/2031 |
700 | 842 | ||||||
Kinder Morgan, Inc. 4.30%, 3/1/2028 |
1,090 | 1,049 | ||||||
Magellan Midstream Partners LP |
||||||||
6.55%, 7/15/2019 |
250 | 254 | ||||||
3.20%, 3/15/2025 |
353 | 337 | ||||||
5.15%, 10/15/2043 |
1,127 | 1,110 | ||||||
Marathon Petroleum Corp. 3.63%, 9/15/2024 |
200 | 192 | ||||||
MPLX LP |
||||||||
4.88%, 12/1/2024 |
259 | 262 | ||||||
4.13%, 3/1/2027 |
259 | 243 | ||||||
4.50%, 4/15/2038 |
79 | 68 | ||||||
5.20%, 3/1/2047 |
323 | 292 | ||||||
Noble Energy, Inc. 6.00%, 3/1/2041 |
314 | 308 | ||||||
ONEOK Partners LP |
||||||||
8.63%, 3/1/2019 |
450 | 456 | ||||||
3.38%, 10/1/2022 |
151 | 146 | ||||||
5.00%, 9/15/2023 |
334 | 341 | ||||||
4.90%, 3/15/2025 |
1,000 | 1,011 | ||||||
6.65%, 10/1/2036 |
350 | 382 | ||||||
Petro-Canada (Canada) 6.80%, 5/15/2038 |
645 | 748 | ||||||
Petroleos Mexicanos (Mexico) |
||||||||
6.38%, 2/4/2021 |
647 | 652 | ||||||
4.88%, 1/18/2024 |
393 | 363 | ||||||
6.88%, 8/4/2026 |
1,710 | 1,640 | ||||||
5.35%, 2/12/2028 (b) |
282 | 242 | ||||||
6.50%, 1/23/2029 (b) |
404 | 371 | ||||||
6.63%, 6/15/2035 |
250 | 217 | ||||||
6.38%, 1/23/2045 |
846 | 682 | ||||||
6.75%, 9/21/2047 |
313 | 259 | ||||||
6.35%, 2/12/2048 (b) |
869 | 691 | ||||||
Phillips 66 3.90%, 3/15/2028 |
355 | 337 | ||||||
Plains All American Pipeline LP |
||||||||
3.60%, 11/1/2024 |
1,000 | 940 | ||||||
4.65%, 10/15/2025 |
200 | 194 | ||||||
Spectra Energy Partners LP 5.95%, 9/25/2043 |
452 | 475 | ||||||
Sunoco Logistics Partners Operations LP |
||||||||
4.25%, 4/1/2024 |
259 | 254 | ||||||
3.90%, 7/15/2026 |
244 | 222 | ||||||
6.10%, 2/15/2042 |
400 | 386 | ||||||
5.30%, 4/1/2044 |
170 | 147 | ||||||
5.35%, 5/15/2045 |
1,133 | 984 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 |
391 | 363 | ||||||
Texas Eastern Transmission LP |
||||||||
2.80%, 10/15/2022 (b) |
554 | 529 | ||||||
3.50%, 1/15/2028 (b) |
90 | 83 | ||||||
TransCanada PipeLines Ltd. (Canada) |
||||||||
4.88%, 1/15/2026 |
394 | 401 | ||||||
7.25%, 8/15/2038 |
1,100 | 1,330 | ||||||
Valero Energy Corp. 7.50%, 4/15/2032 |
250 | 303 | ||||||
Western Gas Partners LP |
||||||||
4.00%, 7/1/2022 |
74 | 73 | ||||||
4.50%, 3/1/2028 |
129 | 121 | ||||||
5.45%, 4/1/2044 |
280 | 243 | ||||||
5.30%, 3/1/2048 |
279 | 239 | ||||||
Williams Cos., Inc. (The) |
||||||||
3.90%, 1/15/2025 |
512 | 494 | ||||||
4.85%, 3/1/2048 |
409 | 361 | ||||||
|
|
|||||||
44,562 | ||||||||
|
|
|||||||
Pharmaceuticals 0.3% |
||||||||
Allergan Funding SCS |
||||||||
3.45%, 3/15/2022 |
937 | 917 | ||||||
3.85%, 6/15/2024 |
443 | 430 | ||||||
Allergan, Inc. |
||||||||
3.38%, 9/15/2020 |
453 | 451 | ||||||
2.80%, 3/15/2023 |
525 | 499 | ||||||
Bayer US Finance II LLC (Germany) 4.70%, 7/15/2064 (b) |
208 | 164 | ||||||
Bayer US Finance LLC (Germany) 2.38%, 10/8/2019 (b) |
395 | 391 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Pharmaceuticals (continued) |
||||||||
Johnson & Johnson |
||||||||
4.38%, 12/5/2033 |
282 | 297 | ||||||
3.40%, 1/15/2038 |
926 | 844 | ||||||
Merck & Co., Inc. 3.70%, 2/10/2045 |
210 | 195 | ||||||
Mylan NV 3.95%, 6/15/2026 |
300 | 276 | ||||||
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 |
900 | 810 | ||||||
|
|
|||||||
5,274 | ||||||||
|
|
|||||||
Road & Rail 0.3% |
||||||||
Burlington Northern Santa Fe LLC |
||||||||
6.70%, 8/1/2028 |
250 | 302 | ||||||
5.75%, 5/1/2040 |
425 | 482 | ||||||
4.38%, 9/1/2042 |
375 | 367 | ||||||
5.15%, 9/1/2043 |
769 | 825 | ||||||
Canadian Pacific Railway Co. (Canada) 6.13%, 9/15/2115 |
506 | 572 | ||||||
CSX Corp. |
||||||||
5.50%, 4/15/2041 |
150 | 160 | ||||||
4.75%, 5/30/2042 |
191 | 188 | ||||||
ERAC USA Finance LLC 6.70%, 6/1/2034 (b) |
746 | 869 | ||||||
Norfolk Southern Corp. 4.05%, 8/15/2052 |
600 | 528 | ||||||
Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b) |
1,131 | 1,120 | ||||||
Ryder System, Inc. 2.88%, 9/1/2020 |
517 | 513 | ||||||
|
|
|||||||
5,926 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.2% |
||||||||
Analog Devices, Inc. 4.50%, 12/5/2036 |
300 | 281 | ||||||
Broadcom Corp. 3.63%, 1/15/2024 |
1,747 | 1,652 | ||||||
Intel Corp. |
||||||||
4.00%, 12/15/2032 |
1,185 | 1,193 | ||||||
3.73%, 12/8/2047 |
493 | 439 | ||||||
|
|
|||||||
3,565 | ||||||||
|
|
|||||||
Software 0.6% |
||||||||
Microsoft Corp. |
||||||||
2.38%, 5/1/2023 |
489 | 470 | ||||||
2.88%, 2/6/2024 |
2,878 | 2,795 | ||||||
3.30%, 2/6/2027 |
836 | 814 | ||||||
3.50%, 2/12/2035 |
291 | 272 | ||||||
4.20%, 11/3/2035 |
615 | 623 | ||||||
4.10%, 2/6/2037 |
800 | 802 | ||||||
4.50%, 10/1/2040 |
117 | 123 | ||||||
4.00%, 2/12/2055 |
305 | 287 | ||||||
4.75%, 11/3/2055 |
639 | 691 | ||||||
4.50%, 2/6/2057 |
470 | 483 | ||||||
Oracle Corp. |
||||||||
2.50%, 5/15/2022 |
587 | 569 | ||||||
2.40%, 9/15/2023 |
1,000 | 947 | ||||||
2.95%, 5/15/2025 |
1,750 | 1,664 | ||||||
4.30%, 7/8/2034 |
700 | 688 | ||||||
4.38%, 5/15/2055 |
900 | 848 | ||||||
|
|
|||||||
12,076 | ||||||||
|
|
|||||||
Specialty Retail 0.1% |
||||||||
Lowes Cos., Inc. 4.65%, 4/15/2042 |
739 | 729 | ||||||
OReilly Automotive, Inc. 3.60%, 9/1/2027 |
432 | 403 | ||||||
|
|
|||||||
1,132 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.7% |
||||||||
Apple, Inc. |
||||||||
3.00%, 2/9/2024 |
2,056 | 1,997 | ||||||
2.85%, 5/11/2024 |
1,553 | 1,496 | ||||||
2.75%, 1/13/2025 |
920 | 870 | ||||||
3.20%, 5/13/2025 |
1,539 | 1,490 | ||||||
2.45%, 8/4/2026 |
815 | 741 | ||||||
3.20%, 5/11/2027 |
686 | 653 | ||||||
3.00%, 6/20/2027 |
1,125 | 1,050 | ||||||
4.50%, 2/23/2036 |
426 | 441 | ||||||
3.45%, 2/9/2045 |
625 | 535 | ||||||
3.85%, 8/4/2046 |
569 | 518 | ||||||
Dell International LLC 6.02%, 6/15/2026 (b) |
2,613 | 2,643 | ||||||
Dell, Inc. 7.10%, 4/15/2028 |
300 | 315 | ||||||
|
|
|||||||
12,749 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% |
||||||||
BPCE SA (France) |
||||||||
4.63%, 7/11/2024 (b) |
800 | 783 | ||||||
3.38%, 12/2/2026 |
400 | 372 | ||||||
|
|
|||||||
1,155 | ||||||||
|
|
|||||||
Tobacco 0.0% (c) |
||||||||
BAT Capital Corp. (United Kingdom) 4.39%, 8/15/2037 |
342 | 290 | ||||||
Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 |
100 | 109 | ||||||
|
|
|||||||
399 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.1% |
||||||||
Aircastle Ltd. 4.40%, 9/25/2023 |
620 | 612 | ||||||
Aviation Capital Group LLC |
||||||||
3.88%, 5/1/2023 (b) |
490 | 481 | ||||||
3.50%, 11/1/2027 (b) |
700 | 624 | ||||||
BOC Aviation Ltd. (Singapore) 2.75%, 9/18/2022 (b) |
450 | 429 | ||||||
International Lease Finance Corp. 5.88%, 8/15/2022 |
506 | 530 | ||||||
|
|
|||||||
2,676 | ||||||||
|
|
|||||||
Water Utilities 0.0% (c) |
||||||||
American Water Capital Corp. 3.40%, 3/1/2025 |
793 | 778 | ||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% |
||||||||
Rogers Communications, Inc. (Canada) 8.75%, 5/1/2032 |
200 | 267 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS (continued) |
| |||||||
Wireless Telecommunication Services (continued) |
||||||||
Vodafone Group plc (United Kingdom) |
||||||||
4.13%, 5/30/2025 |
501 | 489 | ||||||
5.00%, 5/30/2038 |
601 | 551 | ||||||
5.25%, 5/30/2048 |
496 | 457 | ||||||
|
|
|||||||
1,764 | ||||||||
|
|
|||||||
TOTAL CORPORATE BONDS (Cost $445,072) |
431,361 | |||||||
|
|
|||||||
MORTGAGE-BACKED SECURITIES 16.4% |
| |||||||
FHLMC |
||||||||
Pool # 846489, ARM, 3.73%, 7/1/2019 (h) |
| (i) | | (i) | ||||
Pool # 846812, ARM, 3.93%, 4/1/2030 (h) |
11 | 11 | ||||||
Pool # 781087, ARM, 3.48%, 12/1/2033 (h) |
218 | 230 | ||||||
Pool # 1B1665, ARM, 4.07%, 4/1/2034 (h) |
224 | 234 | ||||||
Pool # 847356, ARM, 3.94%, 12/1/2034 (h) |
102 | 107 | ||||||
Pool # 782979, ARM, 3.70%, 1/1/2035 (h) |
184 | 194 | ||||||
Pool # 1Q0025, ARM, 3.97%, 2/1/2036 (h) |
92 | 96 | ||||||
Pool # 848431, ARM, 4.58%, 2/1/2036 (h) |
152 | 160 | ||||||
Pool # 1L1286, ARM, 4.12%, 5/1/2036 (h) |
44 | 47 | ||||||
Pool # 848365, ARM, 4.22%, 7/1/2036 (h) |
126 | 133 | ||||||
Pool # 1A1096, ARM, 4.25%, 10/1/2036 (h) |
157 | 163 | ||||||
Pool # 1G2539, ARM, 4.34%, 10/1/2036 (h) |
37 | 39 | ||||||
Pool # 1J1348, ARM, 5.02%, 10/1/2036 (h) |
75 | 79 | ||||||
Pool # 1G2671, ARM, 3.94%, 11/1/2036 (h) |
132 | 138 | ||||||
Pool # 782760, ARM, 4.56%, 11/1/2036 (h) |
219 | 231 | ||||||
Pool # 1J1634, ARM, 4.04%, 12/1/2036 (h) |
89 | 93 | ||||||
Pool # 1J0282, ARM, 3.69%, 2/1/2037 (h) |
59 | 62 | ||||||
Pool # 1Q0739, ARM, 4.38%, 3/1/2037 (h) |
260 | 271 | ||||||
Pool # 848699, ARM, 4.40%, 7/1/2040 (h) |
392 | 410 | ||||||
FHLMC Gold Pools, 20 Year, Single Family |
||||||||
Pool # C91403, 3.50%, 3/1/2032 |
330 | 332 | ||||||
FHLMC Gold Pools, 30 Year, Single Family |
||||||||
Pool # C68485, 7.00%, 7/1/2032 |
22 | 24 | ||||||
Pool # G01448, 7.00%, 8/1/2032 |
60 | 66 | ||||||
Pool # A13625, 5.50%, 10/1/2033 |
289 | 315 | ||||||
Pool # A16107, 6.00%, 12/1/2033 |
86 | 93 | ||||||
Pool # A17537, 6.00%, 1/1/2034 |
112 | 125 | ||||||
Pool # A61572, 5.00%, 9/1/2034 |
644 | 680 | ||||||
Pool # A28796, 6.50%, 11/1/2034 |
182 | 207 | ||||||
Pool # G03369, 6.50%, 1/1/2035 |
282 | 309 | ||||||
Pool # A46987, 5.50%, 7/1/2035 |
640 | 691 | ||||||
Pool # G01919, 4.00%, 9/1/2035 |
391 | 395 | ||||||
Pool # C02641, 7.00%, 10/1/2036 |
105 | 116 | ||||||
Pool # C02660, 6.50%, 11/1/2036 |
241 | 273 | ||||||
Pool # A93383, 5.00%, 8/1/2040 |
664 | 703 | ||||||
Pool # A93511, 5.00%, 8/1/2040 |
670 | 709 | ||||||
Pool # G06493, 4.50%, 5/1/2041 |
2,299 | 2,392 | ||||||
FHLMC Gold Pools, FHA/VA |
||||||||
Pool # G20027, 10.00%, 10/1/2030 |
49 | 52 | ||||||
FHLMC Gold Pools, Other |
||||||||
Pool # P20570, 7.00%, 7/1/2029 |
47 | 51 | ||||||
Pool # U50105, 4.00%, 1/1/2032 |
685 | 705 | ||||||
Pool # L10151, 6.00%, 2/1/2033 |
61 | 63 | ||||||
Pool # U80254, 3.00%, 3/1/2033 |
668 | 651 | ||||||
Pool # P20409, 5.50%, 10/1/2033 |
97 | 101 | ||||||
Pool # P50201, 5.50%, 1/1/2034 |
110 | 114 | ||||||
Pool # U90975, 4.00%, 6/1/2042 |
2,801 | 2,837 | ||||||
Pool # U90673, 4.00%, 1/1/2043 |
594 | 602 | ||||||
Pool # U99134, 4.00%, 1/1/2046 |
9,656 | 9,780 | ||||||
Pool # U69030, 4.50%, 1/1/2046 |
4,343 | 4,516 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA |
||||||||
Pool # 70226, ARM, 2.13%, 1/1/2019 (h) |
| (i) | | (i) | ||||
Pool # 116612, ARM, 3.62%, 3/1/2019 (h) |
| (i) | | (i) | ||||
Pool # 470623, ARM, 3.11%, 3/1/2022 (h) |
867 | 868 | ||||||
Pool # 54844, ARM, 2.69%, 9/1/2027 (h) |
18 | 18 | ||||||
Pool # 303532, ARM, 4.02%, 3/1/2029 (h) |
13 | 13 | ||||||
Pool # 555258, ARM, 3.91%, 1/1/2033 (h) |
531 | 545 | ||||||
Pool # 722421, ARM, 3.91%, 7/1/2033 (h) |
57 | 58 | ||||||
Pool # 722985, ARM, 4.32%, 7/1/2033 (h) |
20 | 21 | ||||||
Pool # 686040, ARM, 4.36%, 7/1/2033 (h) |
254 | 266 | ||||||
Pool # 746299, ARM, 4.69%, 9/1/2033 (h) |
156 | 164 | ||||||
Pool # 749923, ARM, 4.65%, 11/1/2033 (h) |
20 | 21 | ||||||
Pool # 766610, ARM, 4.09%, 1/1/2034 (h) |
110 | 114 | ||||||
Pool # 920467, ARM, 5.00%, 2/1/2034 (h) |
88 | 90 | ||||||
Pool # 770377, ARM, 3.73%, 4/1/2034 (h) |
114 | 119 | ||||||
Pool # 751531, ARM, 4.21%, 5/1/2034 (h) |
152 | 160 | ||||||
Pool # 782306, ARM, 4.48%, 7/1/2034 (h) |
47 | 47 | ||||||
Pool # 735332, ARM, 4.23%, 8/1/2034 (h) |
279 | 293 | ||||||
Pool # 790235, ARM, 4.39%, 8/1/2034 (h) |
146 | 153 | ||||||
Pool # 791961, ARM, 3.81%, 9/1/2034 (h) |
33 | 33 | ||||||
Pool # 725902, ARM, 4.40%, 9/1/2034 (h) |
35 | 36 | ||||||
Pool # 803594, ARM, 4.37%, 10/1/2034 (h) |
261 | 273 | ||||||
Pool # 803599, ARM, 4.37%, 10/1/2034 (h) |
247 | 257 | ||||||
Pool # 896463, ARM, 4.62%, 10/1/2034 (h) |
127 | 134 | ||||||
Pool # 806776, ARM, 4.09%, 11/1/2034 (h) |
263 | 271 | ||||||
Pool # 806778, ARM, 4.17%, 11/1/2034 (h) |
475 | 495 | ||||||
Pool # 810896, ARM, 4.06%, 1/1/2035 (h) |
463 | 477 | ||||||
Pool # 802692, ARM, 4.25%, 1/1/2035 (h) |
273 | 285 | ||||||
Pool # 816597, ARM, 3.48%, 2/1/2035 (h) |
54 | 57 | ||||||
Pool # 735539, ARM, 3.93%, 4/1/2035 (h) |
762 | 804 | ||||||
Pool # 745862, ARM, 4.19%, 4/1/2035 (h) |
136 | 144 | ||||||
Pool # 821378, ARM, 3.91%, 5/1/2035 (h) |
270 | 279 | ||||||
Pool # 823660, ARM, 4.12%, 5/1/2035 (h) |
71 | 74 | ||||||
Pool # 745766, ARM, 4.19%, 6/1/2035 (h) |
330 | 341 | ||||||
Pool # 843026, ARM, 4.03%, 9/1/2035 (h) |
703 | 727 | ||||||
Pool # 832801, ARM, 4.36%, 9/1/2035 (h) |
68 | 72 | ||||||
Pool # 849251, ARM, 4.04%, 1/1/2036 (h) |
115 | 118 | ||||||
Pool # 920465, ARM, 4.25%, 1/1/2036 (h) |
34 | 35 | ||||||
Pool # 872622, ARM, 4.17%, 6/1/2036 (h) |
27 | 28 | ||||||
Pool # 895141, ARM, 4.07%, 7/1/2036 (h) |
213 | 221 | ||||||
Pool # 900197, ARM, 4.84%, 10/1/2036 (h) |
122 | 129 | ||||||
Pool # 966946, ARM, 3.79%, 1/1/2038 (h) |
36 | 37 | ||||||
FNMA, 15 Year, Single Family |
||||||||
Pool # 742078, 4.50%, 3/1/2019 |
5 | 5 | ||||||
Pool # 725414, 4.50%, 5/1/2019 |
3 | 3 | ||||||
Pool # 780956, 4.50%, 5/1/2019 |
7 | 7 | ||||||
Pool # 734630, 6.00%, 8/1/2019 |
3 | 3 | ||||||
Pool # 745048, 5.00%, 10/1/2019 |
5 | 5 | ||||||
Pool # 735841, 4.50%, 11/1/2019 |
13 | 13 | ||||||
Pool # 735290, 4.50%, 12/1/2019 |
20 | 21 | ||||||
Pool # 888557, 5.50%, 3/1/2020 |
2 | 2 | ||||||
Pool # 889805, 5.50%, 7/1/2020 |
2 | 2 | ||||||
Pool # 735911, 6.50%, 8/1/2020 |
5 | 5 | ||||||
Pool # 889634, 6.00%, 2/1/2023 |
465 | 479 | ||||||
Pool # 995381, 6.00%, 1/1/2024 |
97 | 101 | ||||||
Pool # 995425, 6.00%, 1/1/2024 |
234 | 243 | ||||||
Pool # AD0133, 5.00%, 8/1/2024 |
85 | 88 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA, 20 Year, Single Family |
||||||||
Pool # 254305, 6.50%, 5/1/2022 |
25 | 27 | ||||||
Pool # 555791, 6.50%, 12/1/2022 |
71 | 77 | ||||||
Pool # 255217, 4.50%, 4/1/2024 |
31 | 32 | ||||||
Pool # 888656, 6.50%, 4/1/2025 |
92 | 100 | ||||||
Pool # MA1138, 3.50%, 8/1/2032 |
745 | 750 | ||||||
FNMA, 30 Year, FHA/VA |
||||||||
Pool # 535183, 8.00%, 6/1/2028 |
25 | 27 | ||||||
Pool # 252409, 6.50%, 3/1/2029 |
70 | 76 | ||||||
Pool # 653815, 7.00%, 2/1/2033 |
10 | 10 | ||||||
Pool # 752786, 6.00%, 9/1/2033 |
66 | 70 | ||||||
Pool # 931717, 6.50%, 8/1/2039 |
323 | 351 | ||||||
FNMA, 30 Year, Single Family |
||||||||
Pool # 50966, 7.00%, 1/1/2024 |
2 | 2 | ||||||
Pool # 399269, 7.00%, 4/1/2026 |
32 | 33 | ||||||
Pool # 689977, 8.00%, 3/1/2027 |
42 | 45 | ||||||
Pool # 695533, 8.00%, 6/1/2027 |
16 | 17 | ||||||
Pool # 457268, 9.50%, 7/1/2028 |
3 | 3 | ||||||
Pool # 756024, 8.00%, 9/1/2028 |
68 | 74 | ||||||
Pool # 755973, 8.00%, 11/1/2028 |
149 | 167 | ||||||
Pool # 455759, 6.00%, 12/1/2028 |
18 | 19 | ||||||
Pool # 252211, 6.00%, 1/1/2029 |
26 | 29 | ||||||
Pool # 459097, 7.00%, 1/1/2029 |
40 | 42 | ||||||
Pool # 889020, 6.50%, 11/1/2029 |
399 | 439 | ||||||
Pool # 598559, 6.50%, 8/1/2031 |
37 | 41 | ||||||
Pool # 622542, 5.50%, 9/1/2031 |
319 | 343 | ||||||
Pool # 788150, 6.00%, 3/1/2032 |
51 | 55 | ||||||
Pool # 649734, 7.00%, 6/1/2032 |
34 | 35 | ||||||
Pool # 649624, 7.00%, 8/1/2032 |
6 | 6 | ||||||
Pool # 675555, 6.00%, 12/1/2032 |
88 | 95 | ||||||
Pool # AL0045, 6.00%, 12/1/2032 |
398 | 435 | ||||||
Pool # 674349, 6.00%, 3/1/2033 |
16 | 17 | ||||||
Pool # 688625, 6.00%, 3/1/2033 |
28 | 31 | ||||||
Pool # 688655, 6.00%, 3/1/2033 |
27 | 29 | ||||||
Pool # 695584, 6.00%, 3/1/2033 |
15 | 16 | ||||||
Pool # 702901, 6.00%, 5/1/2033 |
128 | 141 | ||||||
Pool # 723852, 5.00%, 7/1/2033 |
159 | 169 | ||||||
Pool # 729296, 5.00%, 7/1/2033 |
326 | 346 | ||||||
Pool # 729379, 6.00%, 8/1/2033 |
38 | 41 | ||||||
Pool # 737825, 6.00%, 9/1/2033 |
47 | 51 | ||||||
Pool # 750977, 4.50%, 11/1/2033 |
123 | 127 | ||||||
Pool # 725017, 5.50%, 12/1/2033 |
476 | 519 | ||||||
Pool # 751341, 5.50%, 3/1/2034 |
56 | 60 | ||||||
Pool # 888568, 5.00%, 12/1/2034 |
12 | 12 | ||||||
Pool # 815426, 4.50%, 2/1/2035 |
1 | 2 | ||||||
Pool # 820347, 5.00%, 9/1/2035 |
93 | 99 | ||||||
Pool # 833657, 7.50%, 8/1/2036 |
73 | 79 | ||||||
Pool # 986648, 6.00%, 9/1/2037 |
170 | 185 | ||||||
Pool # 888892, 7.50%, 11/1/2037 |
51 | 54 | ||||||
Pool # 257510, 7.00%, 12/1/2038 |
150 | 172 | ||||||
Pool # AD0753, 7.00%, 1/1/2039 |
129 | 147 | ||||||
Pool # AT5891, 3.00%, 6/1/2043 |
3,429 | 3,299 | ||||||
Pool # AL7527, 4.50%, 9/1/2043 |
1,852 | 1,927 | ||||||
Pool # BM3500, 4.00%, 9/1/2047 |
4,823 | 4,868 | ||||||
Pool # BJ1778, 4.50%, 10/1/2047 |
2,727 | 2,825 | ||||||
FNMA, Other |
||||||||
Pool # BL1040, 3.88%, 12/1/2018 (j) |
3,000 | 3,001 | ||||||
Pool # AM0081, 1.94%, 7/1/2019 |
1,837 | 1,825 | ||||||
Pool # AD0851, 4.37%, 2/1/2020 |
1,128 | 1,142 | ||||||
Pool # AE0136, 4.38%, 4/1/2020 |
567 | 575 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Pool # AM3370, 1.74%, 5/1/2020 |
3,280 | 3,231 | ||||||
Pool # 465659, 3.74%, 7/1/2020 |
1,720 | 1,736 | ||||||
Pool # 465578, 3.93%, 7/1/2020 |
1,804 | 1,825 | ||||||
Pool # 465936, 3.60%, 9/1/2020 |
2,610 | 2,630 | ||||||
Pool # 466030, 3.29%, 10/1/2020 |
1,822 | 1,825 | ||||||
Pool # FN0005, 3.37%, 11/1/2020 |
737 | 739 | ||||||
Pool # 466836, 3.87%, 1/1/2021 |
1,475 | 1,496 | ||||||
Pool # 466919, 3.93%, 1/1/2021 |
1,857 | 1,885 | ||||||
Pool # FN0003, 4.28%, 1/1/2021 |
989 | 1,012 | ||||||
Pool # 467344, 4.48%, 2/1/2021 |
2,667 | 2,733 | ||||||
Pool # 467755, 4.25%, 4/1/2021 |
2,380 | 2,433 | ||||||
Pool # 467944, 4.25%, 4/1/2021 |
2,000 | 2,045 | ||||||
Pool # 467630, 4.30%, 4/1/2021 |
918 | 940 | ||||||
Pool # 467757, 4.33%, 4/1/2021 |
1,954 | 2,000 | ||||||
Pool # 468102, 4.34%, 6/1/2021 |
5,000 | 5,131 | ||||||
Pool # 468159, 4.26%, 7/1/2021 |
1,934 | 1,981 | ||||||
Pool # AL0602, 4.31%, 7/1/2021 |
1,066 | 1,091 | ||||||
Pool # 468896, 4.13%, 8/1/2021 |
1,328 | 1,357 | ||||||
Pool # AM1771, 2.12%, 9/1/2021 |
2,500 | 2,415 | ||||||
Pool # 470407, 3.16%, 2/1/2022 |
2,508 | 2,506 | ||||||
Pool # 470622, 2.75%, 3/1/2022 |
2,937 | 2,910 | ||||||
Pool # 471718, 2.77%, 5/1/2022 |
1,522 | 1,500 | ||||||
Pool # 471177, 2.94%, 5/1/2022 |
1,322 | 1,312 | ||||||
Pool # 471190, 3.12%, 5/1/2022 |
1,681 | 1,678 | ||||||
Pool # 471254, 2.98%, 7/1/2022 |
2,442 | 2,426 | ||||||
Pool # 471284, 2.98%, 7/1/2022 |
1,953 | 1,941 | ||||||
Pool # AM7303, 2.66%, 12/1/2022 |
2,460 | 2,410 | ||||||
Pool # AM3789, 3.02%, 7/1/2023 |
2,286 | 2,272 | ||||||
Pool # AM7245, 2.95%, 8/1/2023 |
4,505 | 4,459 | ||||||
Pool # AM4066, 3.59%, 8/1/2023 |
2,500 | 2,531 | ||||||
Pool # AM4466, 3.76%, 10/1/2023 |
2,829 | 2,881 | ||||||
Pool # AM4628, 3.69%, 11/1/2023 |
1,500 | 1,524 | ||||||
Pool # AM4668, 3.76%, 11/1/2023 |
1,973 | 2,010 | ||||||
Pool # AM4716, 3.38%, 12/1/2023 |
1,971 | 1,979 | ||||||
Pool # AM7231, 2.92%, 12/1/2024 |
4,000 | 3,908 | ||||||
Pool # AM7589, 2.95%, 12/1/2024 |
1,576 | 1,544 | ||||||
Pool # AM7290, 2.97%, 12/1/2024 |
3,465 | 3,394 | ||||||
Pool # AM7576, 3.04%, 12/1/2024 |
4,000 | 3,934 | ||||||
Pool # AM7124, 3.11%, 12/1/2024 |
2,500 | 2,468 | ||||||
Pool # 470300, 3.64%, 1/1/2025 |
917 | 924 | ||||||
Pool # AM3833, 3.25%, 7/1/2025 |
3,663 | 3,642 | ||||||
Pool # AM4991, 3.97%, 12/1/2025 |
1,755 | 1,817 | ||||||
Pool # AL6805, 3.78%, 1/1/2026 |
3,540 | 3,601 | ||||||
Pool # 468645, 4.54%, 7/1/2026 |
2,663 | 2,792 | ||||||
Pool # AM6392, 3.29%, 8/1/2026 |
4,000 | 3,969 | ||||||
Pool # AM6448, 3.25%, 9/1/2026 |
9,973 | 9,870 | ||||||
Pool # AM7223, 3.11%, 12/1/2026 |
3,566 | 3,498 | ||||||
Pool # AM7118, 3.14%, 12/1/2026 |
2,848 | 2,799 | ||||||
Pool # AM7485, 3.24%, 12/1/2026 |
4,235 | 4,164 | ||||||
Pool # AM7390, 3.26%, 12/1/2026 |
3,873 | 3,835 | ||||||
Pool # AM7265, 3.30%, 12/1/2026 |
3,945 | 3,901 | ||||||
Pool # AM7515, 3.34%, 2/1/2027 |
3,000 | 2,969 | ||||||
Pool # AM8432, 2.79%, 5/1/2027 |
9,000 | 8,559 | ||||||
Pool # AM8803, 2.78%, 6/1/2027 |
5,019 | 4,801 | ||||||
Pool # AM8987, 2.79%, 6/1/2027 |
1,879 | 1,796 | ||||||
Pool # AM9003, 2.96%, 6/1/2027 |
2,904 | 2,813 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Pool # AN9656, 3.57%, 7/1/2028 |
4,797 | 4,788 | ||||||
Pool # AM7785, 3.17%, 2/1/2030 |
2,963 | 2,825 | ||||||
Pool # AM7516, 3.55%, 2/1/2030 |
2,000 | 1,973 | ||||||
Pool # AM8427, 3.04%, 4/1/2030 |
8,915 | 8,395 | ||||||
Pool # AM8544, 3.08%, 4/1/2030 |
7,922 | 7,488 | ||||||
Pool # AM8889, 2.92%, 5/1/2030 |
8,000 | 7,376 | ||||||
Pool # AM8804, 3.10%, 5/1/2030 |
3,762 | 3,562 | ||||||
Pool # AM8807, 3.10%, 5/1/2030 |
4,872 | 4,615 | ||||||
Pool # AM9020, 2.97%, 6/1/2030 |
3,972 | 3,759 | ||||||
Pool # AM8967, 3.08%, 6/1/2030 |
6,150 | 5,761 | ||||||
Pool # AM9320, 3.30%, 7/1/2030 |
4,022 | 3,823 | ||||||
Pool # AM9219, 3.35%, 9/1/2030 |
1,893 | 1,833 | ||||||
Pool # AP9632, 4.00%, 10/1/2032 |
834 | 849 | ||||||
Pool # AP9762, 4.00%, 10/1/2032 |
790 | 803 | ||||||
Pool # AQ7084, 3.50%, 12/1/2032 |
908 | 905 | ||||||
Pool # AT2703, 3.50%, 5/1/2033 |
1,949 | 1,943 | ||||||
Pool # AT2954, 3.50%, 5/1/2033 |
1,267 | 1,263 | ||||||
Pool # AT4180, 3.50%, 5/1/2033 |
1,235 | 1,231 | ||||||
Pool # AT4939, 3.50%, 5/1/2033 |
1,066 | 1,062 | ||||||
Pool # 754922, 5.50%, 9/1/2033 |
112 | 120 | ||||||
Pool # 762520, 4.00%, 11/1/2033 |
560 | 563 | ||||||
Pool # AM8922, 3.03%, 6/1/2035 |
2,936 | 2,799 | ||||||
Pool # AM9188, 3.12%, 6/1/2035 |
7,000 | 6,415 | ||||||
Pool # 849215, 6.50%, 1/1/2036 |
31 | 32 | ||||||
Pool # 872740, 6.50%, 6/1/2036 |
86 | 92 | ||||||
Pool # 886320, 6.50%, 7/1/2036 |
26 | 27 | ||||||
Pool # 888796, 6.00%, 9/1/2037 |
106 | 115 | ||||||
Pool # AO7225, 4.00%, 7/1/2042 |
817 | 827 | ||||||
Pool # AO9352, 4.00%, 7/1/2042 |
941 | 953 | ||||||
Pool # MA1125, 4.00%, 7/1/2042 |
1,404 | 1,421 | ||||||
Pool # AR1397, 3.00%, 1/1/2043 |
1,824 | 1,753 | ||||||
Pool # MA1711, 4.50%, 12/1/2043 |
3,853 | 4,001 | ||||||
Pool # MA1828, 4.50%, 3/1/2044 |
2,952 | 3,065 | ||||||
GNMA I, 30 Year, Single Family |
||||||||
Pool # 313110, 7.50%, 11/15/2022 |
| (i) | | (i) | ||||
Pool # 345288, 7.50%, 3/15/2023 |
1 | 1 | ||||||
Pool # 782507, 9.50%, 10/15/2024 |
40 | 41 | ||||||
Pool # 554108, 6.50%, 3/15/2028 |
48 | 53 | ||||||
Pool # 481872, 7.50%, 7/15/2028 |
5 | 5 | ||||||
Pool # 468149, 8.00%, 8/15/2028 |
4 | 5 | ||||||
Pool # 486537, 7.50%, 9/15/2028 |
15 | 16 | ||||||
Pool # 486631, 6.50%, 10/15/2028 |
7 | 7 | ||||||
Pool # 591882, 6.50%, 7/15/2032 |
16 | 17 | ||||||
Pool # 607645, 6.50%, 2/15/2033 |
48 | 52 | ||||||
Pool # 607724, 7.00%, 2/15/2033 |
38 | 41 | ||||||
Pool # 604209, 6.50%, 4/15/2033 |
47 | 51 | ||||||
Pool # 781614, 7.00%, 6/15/2033 |
76 | 88 | ||||||
GNMA II, 30 Year, Single Family |
||||||||
Pool # 2006, 8.50%, 5/20/2025 |
14 | 15 | ||||||
Pool # 2141, 8.00%, 12/20/2025 |
2 | 2 | ||||||
Pool # 2234, 8.00%, 6/20/2026 |
6 | 6 | ||||||
Pool # 2270, 8.00%, 8/20/2026 |
4 | 4 | ||||||
Pool # 2285, 8.00%, 9/20/2026 |
4 | 5 | ||||||
Pool # 2324, 8.00%, 11/20/2026 |
5 | 5 | ||||||
Pool # 2499, 8.00%, 10/20/2027 |
8 | 9 | ||||||
Pool # 2512, 8.00%, 11/20/2027 |
9 | 10 | ||||||
Pool # 2525, 8.00%, 12/20/2027 |
4 | 4 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Pool # 2549, 7.50%, 2/20/2028 |
7 | 8 | ||||||
Pool # 2646, 7.50%, 9/20/2028 |
20 | 22 | ||||||
Pool # 2647, 8.00%, 9/20/2028 |
2 | 3 | ||||||
Pool # 3427, 4.50%, 8/20/2033 |
130 | 135 | ||||||
Pool # 4245, 6.00%, 9/20/2038 |
984 | 1,064 | ||||||
Pool # AK8806, 4.25%, 3/20/2045 |
1,719 | 1,777 | ||||||
GNMA II, Other |
||||||||
Pool # AC0979, 4.46%, 4/20/2063 (h) |
1,463 | 1,486 | ||||||
Pool # AC0973, 4.45%, 5/20/2063 (h) |
2,318 | 2,348 | ||||||
|
|
|||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $320,906) |
311,572 | |||||||
|
|
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 14.8% |
| |||||||
Acre 12/15/2020 |
3,785 | 3,785 | ||||||
Alternative Loan Trust |
||||||||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
6,590 | 6,815 | ||||||
Series 2005-J1, Class 1A4, IF, IO, 2.79%, 2/25/2035 (h) |
815 | 14 | ||||||
Series 2005-1CB, Class 1A6, IF, IO, 4.79%, 3/25/2035 (h) |
847 | 98 | ||||||
Series 2005-22T1, Class A2, IF, IO, 2.76%, 6/25/2035 (h) |
4,757 | 387 | ||||||
Series 2005-20CB, Class 3A8, IF, IO, 2.44%, 7/25/2035 (h) |
2,232 | 160 | ||||||
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 |
2,251 | 2,157 | ||||||
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 |
87 | 64 | ||||||
Series 2005-37T1, Class A2, IF, IO, 2.74%, 9/25/2035 (h) |
3,430 | 307 | ||||||
Series 2005-54CB, Class 1A2, IF, IO, 2.54%, 11/25/2035 (h) |
4,229 | 332 | ||||||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
1,680 | 1,573 | ||||||
Series 2005-57CB, Class 3A2, IF, IO, 2.79%, 12/25/2035 (h) |
962 | 76 | ||||||
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 |
726 | 703 | ||||||
Series 2006-26CB, Class A9, 6.50%, 9/25/2036 |
1,208 | 981 | ||||||
ARIVO 9/15/2019 |
1,868 | 1,868 | ||||||
ASG Resecuritization Trust Series 2011-1, Class 3A50, 4.20%, 11/28/2035 (b) (h) |
68 | 68 | ||||||
Banc of America Alternative Loan Trust |
||||||||
Series 2004-6, Class 15PO, PO, 7/25/2019 |
12 | 11 | ||||||
Series 2005-5, Class 1CB1, 5.50%, 6/25/2035 |
608 | 566 | ||||||
Series 2005-6, Class CBIO, IO, 5.50%, 7/25/2035 |
1,467 | 302 | ||||||
Series 2006-4, Class 1A4, 6.00%, 5/25/2046 |
390 | 315 | ||||||
Banc of America Funding Trust |
||||||||
Series 2004-1, PO, 3/25/2034 |
157 | 133 | ||||||
Series 2004-2, Class 30PO, PO, 9/20/2034 |
99 | 91 | ||||||
Series 2004-C, Class 1A1, 4.97%, 12/20/2034 (h) |
127 | 127 | ||||||
Series 2005-E, Class 4A1, 4.43%, 3/20/2035 (h) |
245 | 246 | ||||||
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 |
250 | 238 | ||||||
Series 2005-7, Class 30PO, PO, 11/25/2035 |
203 | 169 | ||||||
Series 2005-8, Class 30PO, PO, 1/25/2036 |
103 | 77 | ||||||
Series 2006-A, Class 3A2, 4.17%, 2/20/2036 (h) |
254 | 236 | ||||||
Banc of America Mortgage Trust |
||||||||
Series 2004-A, Class 2A2, 3.86%, 2/25/2034 (h) |
80 | 80 | ||||||
Series 2004-J, Class 3A1, 4.87%, 11/25/2034 (h) |
283 | 283 | ||||||
BCAP LLC Trust |
||||||||
Series 2009-RR5, Class 8A1, 5.50%, 11/26/2034 (b) (h) |
129 | 132 | ||||||
Series 2010-RR7, Class 2A1, 3.65%, 7/26/2045 (b) (h) |
612 | 607 | ||||||
Bear Stearns ARM Trust |
||||||||
Series 2003-7, Class 3A, 4.20%, 10/25/2033 (h) |
65 | 65 | ||||||
Series 2004-1, Class 12A1, 3.96%, 4/25/2034 (h) |
340 | 341 | ||||||
Series 2004-2, Class 14A, 3.86%, 5/25/2034 (h) |
57 | 57 | ||||||
Series 2006-1, Class A1, 4.91%, 2/25/2036 (h) |
1,200 | 1,207 | ||||||
CHL Mortgage Pass-Through Trust |
||||||||
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 |
7 | 7 | ||||||
Series 2004-HYB1, Class 2A, 3.74%, 5/20/2034 (h) |
70 | 69 | ||||||
Series 2004-HYB3, Class 2A, 3.63%, 6/20/2034 (h) |
372 | 373 | ||||||
Series 2004-7, Class 2A1, 3.96%, 6/25/2034 (h) |
204 | 209 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2004-HYB6, Class A3, 4.27%, 11/20/2034 (h) |
241 | 245 | ||||||
Series 2005-16, Class A23, 5.50%, 9/25/2035 |
466 | 445 | ||||||
Series 2005-22, Class 2A1, 4.08%, 11/25/2035 (h) |
1,354 | 1,192 | ||||||
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust |
||||||||
Series 2005-5, Class APO, PO, 8/25/2035 |
50 | 45 | ||||||
Series 2005-8, Class APO, PO, 11/25/2035 |
86 | 73 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
Series 2003-UP2, Class PO1, PO, 12/25/2018 |
1 | 1 | ||||||
Series 2003-HYB1, Class A, 4.74%, 9/25/2033 (h) |
61 | 61 | ||||||
Citigroup Mortgage Loan Trust |
||||||||
Series 2009-10, Class 2A1A, 7.00%, 12/25/2035 (b) (h) |
73 | 74 | ||||||
Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (h) |
458 | 467 | ||||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
Series 2003-UST1, Class PO1, PO, 12/25/2018 |
5 | 5 | ||||||
Series 2003-UST1, Class A1, 5.50%, 12/25/2018 |
15 | 15 | ||||||
Series 2003-1, Class PO3, PO, 9/25/2033 |
32 | 30 | ||||||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
26 | 26 | ||||||
Series 2003-1, Class 2A6, PO, 10/25/2033 |
41 | 39 | ||||||
Series 2003-1, Class PO2, PO, 10/25/2033 |
44 | 38 | ||||||
Series 2003-1, Class 2A5, 5.25%, 10/25/2033 |
79 | 80 | ||||||
Series 2004-UST1, Class A6, 4.28%, 8/25/2034 (h) |
60 | 58 | ||||||
Series 2005-1, Class 2A1A, 3.26%, 2/25/2035 (h) |
227 | 195 | ||||||
Series 2005-2, Class 2A11, 5.50%, 5/25/2035 |
247 | 251 | ||||||
Series 2005-5, Class 1A2, 3.97%, 8/25/2035 (h) |
281 | 228 | ||||||
Conix Mortgage Asset Trust Series 2013-1, Class A, 12/25/2047 (h) (k) |
1,079 | 130 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. |
||||||||
Series 2004-5, Class 5P, PO, 8/25/2019 |
1 | 1 | ||||||
Series 2003-1, Class DB1, 6.72%, 2/25/2033 (h) |
327 | 339 | ||||||
Series 2003-21, Class 1A4, 5.25%, 9/25/2033 |
108 | 111 | ||||||
Series 2003-25, Class 1P, PO, 10/25/2033 |
238 | 217 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates |
||||||||
Series 2005-4, Class 3A18, 5.50%, 6/25/2035 |
1,413 | 1,441 | ||||||
Series 2005-4, Class 3A23, 5.50%, 6/25/2035 |
2,980 | 2,949 | ||||||
FHLMC - GNMA Series 8, Class ZA, 7.00%, 3/25/2023 |
57 | 60 | ||||||
FHLMC REMIC |
||||||||
Series 2134, Class PI, IO, 6.50%, 3/15/2019 |
| (i) | | (i) | ||||
Series 2783, Class AT, 4.00%, 4/15/2019 |
11 | 11 | ||||||
Series 2809, Class UC, 4.00%, 6/15/2019 |
11 | 11 | ||||||
Series 2934, Class EC, PO, 2/15/2020 |
49 | 48 | ||||||
Series 2934, Class HI, IO, 5.00%, 2/15/2020 |
41 | 1 | ||||||
Series 2934, Class KI, IO, 5.00%, 2/15/2020 |
30 | 1 | ||||||
Series 2965, Class GD, 4.50%, 4/15/2020 |
83 | 84 | ||||||
Series 23, Class F, 9.60%, 4/15/2020 |
| (i) | | (i) | ||||
Series 47, Class F, 10.00%, 6/15/2020 |
| (i) | | (i) | ||||
Series 1807, Class G, 9.00%, 10/15/2020 |
| (i) | | (i) | ||||
Series 99, Class Z, 9.50%, 1/15/2021 |
| (i) | | (i) | ||||
Series 1045, Class G, HB, 1,066.21%, 2/15/2021 |
| (i) | | (i) | ||||
Series 1065, Class J, 9.00%, 4/15/2021 |
1 | 1 | ||||||
Series 1084, Class F, 3.26%, 5/15/2021 (h) |
| (i) | | (i) | ||||
Series 1079, Class S, HB, IF, 26.16%, 5/15/2021 (h) |
| (i) | | (i) | ||||
Series 1084, Class S, HB, IF, 34.85%, 5/15/2021 (h) |
| (i) | | (i) | ||||
Series 1116, Class I, 5.50%, 8/15/2021 |
2 | 2 | ||||||
Series 1144, Class KB, 8.50%, 9/15/2021 |
3 | 3 | ||||||
Series 1196, Class B, HB, IF, 1,104.54%, 1/15/2022 (h) |
| (i) | | (i) | ||||
Series 1250, Class J, 7.00%, 5/15/2022 |
2 | 2 | ||||||
Series 1343, Class LB, 7.50%, 8/15/2022 |
7 | 7 | ||||||
Series 1343, Class LA, 8.00%, 8/15/2022 |
5 | 6 | ||||||
Series 1370, Class JA, 3.46%, 9/15/2022 (h) |
12 | 12 | ||||||
Series 2512, Class PG, 5.50%, 10/15/2022 |
126 | 130 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 1455, Class WB, IF, 3.52%, 12/15/2022 (h) |
11 | 11 | ||||||
Series 2535, Class BK, 5.50%, 12/15/2022 |
68 | 70 | ||||||
Series 1470, Class F, 2.02%, 2/15/2023 (h) |
1 | 1 | ||||||
Series 2568, Class KG, 5.50%, 2/15/2023 |
170 | 177 | ||||||
Series 1466, Class PZ, 7.50%, 2/15/2023 |
53 | 56 | ||||||
Series 1498, Class I, 3.46%, 4/15/2023 (h) |
64 | 66 | ||||||
Series 1502, Class PX, 7.00%, 4/15/2023 |
96 | 101 | ||||||
Series 1798, Class F, 5.00%, 5/15/2023 |
80 | 81 | ||||||
Series 1518, Class G, IF, 6.53%, 5/15/2023 (h) |
25 | 27 | ||||||
Series 1505, Class Q, 7.00%, 5/15/2023 |
10 | 11 | ||||||
Series 204, Class E, HB, IF, 1,429.94%, 5/15/2023 (h) |
| (i) | | (i) | ||||
Series 1541, Class O, 2.44%, 7/15/2023 (h) |
24 | 24 | ||||||
Series 2638, Class DS, IF, 6.29%, 7/15/2023 (h) |
17 | 17 | ||||||
Series 1541, Class M, HB, IF, 23.48%, 7/15/2023 (h) |
9 | 11 | ||||||
Series 1570, Class F, 2.52%, 8/15/2023 (h) |
2 | 2 | ||||||
Series 1608, Class L, 6.50%, 9/15/2023 |
229 | 241 | ||||||
Series 1573, Class PZ, 7.00%, 9/15/2023 |
75 | 79 | ||||||
Series 2571, Class SK, HB, IF, 24.55%, 9/15/2023 (h) |
34 | 44 | ||||||
Series 1591, Class PV, 6.25%, 10/15/2023 |
48 | 50 | ||||||
Series 1602, Class SA, IF, 15.25%, 10/15/2023 (h) |
27 | 30 | ||||||
Series 2710, Class HB, 5.50%, 11/15/2023 |
455 | 473 | ||||||
Series 1642, Class PJ, 6.00%, 11/15/2023 |
109 | 113 | ||||||
Series 2716, Class UN, 4.50%, 12/15/2023 |
284 | 294 | ||||||
Series 1638, Class H, 6.50%, 12/15/2023 |
162 | 170 | ||||||
Series 2283, Class K, 6.50%, 12/15/2023 |
79 | 83 | ||||||
Series 1700, Class GA, PO, 2/15/2024 |
29 | 27 | ||||||
Series 1865, Class D, PO, 2/15/2024 |
39 | 35 | ||||||
Series 1760, Class ZD, 2.64%, 2/15/2024 (h) |
204 | 201 | ||||||
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h) |
14 | 17 | ||||||
Series 1686, Class SH, IF, 14.05%, 2/15/2024 (h) |
5 | 6 | ||||||
Series 1709, Class FA, 2.29%, 3/15/2024 (h) |
3 | 3 | ||||||
Series 1699, Class FC, 2.91%, 3/15/2024 (h) |
7 | 7 | ||||||
Series 1695, Class EB, 7.00%, 3/15/2024 |
35 | 37 | ||||||
Series 1706, Class K, 7.00%, 3/15/2024 |
105 | 112 | ||||||
Series 2033, Class SN, HB, IF, 26.86%, 3/15/2024 (h) |
17 | 4 | ||||||
Series 2306, Class K, PO, 5/15/2024 |
17 | 16 | ||||||
Series 2306, Class SE, IF, IO, 7.46%, 5/15/2024 (h) |
40 | 6 | ||||||
Series 1745, Class D, 7.50%, 8/15/2024 |
18 | 20 | ||||||
Series 3720, Class A, 4.50%, 9/15/2025 |
193 | 198 | ||||||
Series 3131, Class BK, 5.50%, 3/15/2026 |
663 | 703 | ||||||
Series 1829, Class ZB, 6.50%, 3/15/2026 |
17 | 18 | ||||||
Series 1863, Class Z, 6.50%, 7/15/2026 |
21 | 22 | ||||||
Series 1890, Class H, 7.50%, 9/15/2026 |
21 | 23 | ||||||
Series 1899, Class ZE, 8.00%, 9/15/2026 |
65 | 73 | ||||||
Series 3229, Class HE, 5.00%, 10/15/2026 |
608 | 627 | ||||||
Series 1963, Class Z, 7.50%, 1/15/2027 |
49 | 54 | ||||||
Series 1935, Class FL, 3.01%, 2/15/2027 (h) |
4 | 4 | ||||||
Series 1981, Class Z, 6.00%, 5/15/2027 |
80 | 84 | ||||||
Series 1970, Class PG, 7.25%, 7/15/2027 |
6 | 7 | ||||||
Series 1987, Class PE, 7.50%, 9/15/2027 |
35 | 40 | ||||||
Series 2019, Class Z, 6.50%, 12/15/2027 |
65 | 69 | ||||||
Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
62 | 11 | ||||||
Series 2040, Class PE, 7.50%, 3/15/2028 |
132 | 147 | ||||||
Series 4251, Class KW, 2.50%, 4/15/2028 |
3,684 | 3,429 | ||||||
Series 2043, Class CJ, 6.50%, 4/15/2028 |
19 | 20 | ||||||
Series 2054, Class PV, 7.50%, 5/15/2028 |
87 | 97 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2075, Class PM, 6.25%, 8/15/2028 |
188 | 199 | ||||||
Series 2075, Class PH, 6.50%, 8/15/2028 |
167 | 181 | ||||||
Series 2086, Class GB, 6.00%, 9/15/2028 |
51 | 54 | ||||||
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
79 | 9 | ||||||
Series 2095, Class PE, 6.00%, 11/15/2028 |
221 | 237 | ||||||
Series 2125, Class JZ, 6.00%, 2/15/2029 |
76 | 81 | ||||||
Series 2136, Class PG, 6.00%, 3/15/2029 |
93 | 100 | ||||||
Series 2132, Class SB, HB, IF, 20.59%, 3/15/2029 (h) |
16 | 22 | ||||||
Series 2141, IO, 7.00%, 4/15/2029 |
26 | 3 | ||||||
Series 2169, Class TB, 7.00%, 6/15/2029 |
276 | 303 | ||||||
Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
30 | 3 | ||||||
Series 2172, Class QC, 7.00%, 7/15/2029 |
174 | 193 | ||||||
Series 2176, Class OJ, 7.00%, 8/15/2029 |
137 | 152 | ||||||
Series 2201, Class C, 8.00%, 11/15/2029 |
79 | 88 | ||||||
Series 2209, Class TC, 8.00%, 1/15/2030 |
72 | 82 | ||||||
Series 2210, Class Z, 8.00%, 1/15/2030 |
130 | 149 | ||||||
Series 2224, Class CB, 8.00%, 3/15/2030 |
29 | 33 | ||||||
Series 2230, Class Z, 8.00%, 4/15/2030 |
76 | 85 | ||||||
Series 2234, Class PZ, 7.50%, 5/15/2030 |
55 | 62 | ||||||
Series 2247, Class Z, 7.50%, 8/15/2030 |
60 | 67 | ||||||
Series 2256, Class MC, 7.25%, 9/15/2030 |
80 | 90 | ||||||
Series 2259, Class ZM, 7.00%, 10/15/2030 |
103 | 115 | ||||||
Series 2261, Class ZY, 7.50%, 10/15/2030 |
1 | | (i) | |||||
Series 2262, Class Z, 7.50%, 10/15/2030 |
17 | 19 | ||||||
Series 2271, Class PC, 7.25%, 12/15/2030 |
133 | 148 | ||||||
Series 2296, Class PD, 7.00%, 3/15/2031 |
75 | 83 | ||||||
Series 2313, Class LA, 6.50%, 5/15/2031 |
73 | 82 | ||||||
Series 2325, Class PM, 7.00%, 6/15/2031 |
89 | 99 | ||||||
Series 2359, Class ZB, 8.50%, 6/15/2031 |
207 | 239 | ||||||
Series 2344, Class ZD, 6.50%, 8/15/2031 |
706 | 802 | ||||||
Series 2344, Class ZJ, 6.50%, 8/15/2031 |
61 | 66 | ||||||
Series 2345, Class NE, 6.50%, 8/15/2031 |
51 | 56 | ||||||
Series 2351, Class PZ, 6.50%, 8/15/2031 |
56 | 62 | ||||||
Series 2353, Class AZ, 6.00%, 9/15/2031 |
420 | 440 | ||||||
Series 2367, Class ME, 6.50%, 10/15/2031 |
105 | 115 | ||||||
Series 2396, Class FM, 2.76%, 12/15/2031 (h) |
233 | 234 | ||||||
Series 2399, Class OH, 6.50%, 1/15/2032 |
143 | 157 | ||||||
Series 2399, Class TH, 6.50%, 1/15/2032 |
186 | 204 | ||||||
Series 2464, Class SI, IF, IO, 5.69%, 2/15/2032 (h) |
327 | 51 | ||||||
Series 2410, Class QX, IF, IO, 6.34%, 2/15/2032 (h) |
80 | 15 | ||||||
Series 2410, Class OE, 6.38%, 2/15/2032 |
71 | 75 | ||||||
Series 2410, Class NG, 6.50%, 2/15/2032 |
187 | 205 | ||||||
Series 2420, Class XK, 6.50%, 2/15/2032 |
237 | 260 | ||||||
Series 2412, Class SP, IF, 11.49%, 2/15/2032 (h) |
157 | 180 | ||||||
Series 2410, Class QS, IF, 13.50%, 2/15/2032 (h) |
128 | 156 | ||||||
Series 2444, Class ES, IF, IO, 5.64%, 3/15/2032 (h) |
135 | 22 | ||||||
Series 2450, Class SW, IF, IO, 5.69%, 3/15/2032 (h) |
108 | 17 | ||||||
Series 2430, Class WF, 6.50%, 3/15/2032 |
351 | 389 | ||||||
Series 2423, Class MC, 7.00%, 3/15/2032 |
194 | 215 | ||||||
Series 2423, Class MT, 7.00%, 3/15/2032 |
169 | 188 | ||||||
Series 2435, Class CJ, 6.50%, 4/15/2032 |
242 | 265 | ||||||
Series 2434, Class TC, 7.00%, 4/15/2032 |
182 | 201 | ||||||
Series 2436, Class MC, 7.00%, 4/15/2032 |
152 | 166 | ||||||
Series 2455, Class GK, 6.50%, 5/15/2032 |
374 | 413 | ||||||
Series 2450, Class GZ, 7.00%, 5/15/2032 |
100 | 113 | ||||||
Series 2462, Class JG, 6.50%, 6/15/2032 |
160 | 176 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2466, Class PH, 6.50%, 6/15/2032 |
283 | 311 | ||||||
Series 2474, Class NR, 6.50%, 7/15/2032 |
154 | 172 | ||||||
Series 2484, Class LZ, 6.50%, 7/15/2032 |
187 | 210 | ||||||
Series 2500, Class MC, 6.00%, 9/15/2032 |
185 | 201 | ||||||
Series 2835, Class QO, PO, 12/15/2032 |
27 | 23 | ||||||
Series 2543, Class YX, 6.00%, 12/15/2032 |
334 | 365 | ||||||
Series 2544, Class HC, 6.00%, 12/15/2032 |
327 | 359 | ||||||
Series 2552, Class ME, 6.00%, 1/15/2033 |
445 | 487 | ||||||
Series 2567, Class QD, 6.00%, 2/15/2033 |
384 | 421 | ||||||
Series 2575, Class ME, 6.00%, 2/15/2033 |
936 | 1,012 | ||||||
Series 2596, Class QG, 6.00%, 3/15/2033 |
254 | 264 | ||||||
Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
122 | 28 | ||||||
Series 2692, Class SC, IF, 8.67%, 7/15/2033 (h) |
62 | 68 | ||||||
Series 4240, Class B, 3.00%, 8/15/2033 |
2,501 | 2,362 | ||||||
Series 3920, Class LP, 5.00%, 1/15/2034 |
979 | 1,044 | ||||||
Series 2744, Class PE, 5.50%, 2/15/2034 |
43 | 44 | ||||||
Series 3611, PO, 7/15/2034 |
64 | 54 | ||||||
Series 2990, Class UZ, 5.75%, 6/15/2035 |
2,236 | 2,441 | ||||||
Series 3004, Class EK, 5.50%, 7/15/2035 |
1,233 | 1,219 | ||||||
Series 3014, Class OD, PO, 8/15/2035 |
52 | 46 | ||||||
Series 3085, Class WF, 3.11%, 8/15/2035 (h) |
172 | 176 | ||||||
Series 3151, Class UC, 5.50%, 8/15/2035 |
31 | 31 | ||||||
Series 3047, Class OD, 5.50%, 10/15/2035 |
944 | 1,017 | ||||||
Series 3074, Class BH, 5.00%, 11/15/2035 |
570 | 589 | ||||||
Series 3064, Class MC, 5.50%, 11/15/2035 |
3,095 | 3,226 | ||||||
Series 3102, Class FB, 2.61%, 1/15/2036(h) |
245 | 245 | ||||||
Series 3102, Class HS, IF, 16.11%, 1/15/2036 (h) |
61 | 78 | ||||||
Series 3117, Class EO, PO, 2/15/2036 |
387 | 325 | ||||||
Series 3117, Class OK, PO, 2/15/2036 |
225 | 188 | ||||||
Series 3134, PO, 3/15/2036 |
59 | 51 | ||||||
Series 3152, Class MO, PO, 3/15/2036 |
299 | 253 | ||||||
Series 3122, Class ZB, 6.00%, 3/15/2036 |
23 | 30 | ||||||
Series 3138, PO, 4/15/2036 |
283 | 244 | ||||||
Series 3607, Class BO, PO, 4/15/2036 |
132 | 111 | ||||||
Series 3219, Class DI, IO, 6.00%, 4/15/2036 |
216 | 45 | ||||||
Series 3819, Class ZQ, 6.00%, 4/15/2036 |
1,272 | 1,402 | ||||||
Series 3149, Class SO, PO, 5/15/2036 |
30 | 23 | ||||||
Series 3233, Class OP, PO, 5/15/2036 |
92 | 77 | ||||||
Series 3171, Class MO, PO, 6/15/2036 |
61 | 54 | ||||||
Series 3179, Class OA, PO, 7/15/2036 |
254 | 218 | ||||||
Series 3194, Class SA, IF, IO, 4.79%, 7/15/2036 (h) |
43 | 2 | ||||||
Series 3211, Class SO, PO, 9/15/2036 |
278 | 239 | ||||||
Series 3218, Class AO, PO, 9/15/2036 |
125 | 95 | ||||||
Series 3232, Class ST, IF, IO, 4.39%, 10/15/2036 (h) |
321 | 42 | ||||||
Series 3256, PO, 12/15/2036 |
165 | 139 | ||||||
Series 3261, Class OA, PO, 1/15/2037 |
203 | 170 | ||||||
Series 3260, Class CS, IF, IO, 3.83%, 1/15/2037 (h) |
348 | 44 | ||||||
Series 3274, Class JO, PO, 2/15/2037 |
55 | 48 | ||||||
Series 3275, Class FL, 2.75%, 2/15/2037 (h) |
57 | 57 | ||||||
Series 3290, Class SB, IF, IO, 4.14%, 3/15/2037 (h) |
410 | 46 | ||||||
Series 3318, Class AO, PO, 5/15/2037 |
21 | 16 | ||||||
Series 3607, PO, 5/15/2037 |
267 | 223 | ||||||
Series 3315, Class HZ, 6.00%, 5/15/2037 |
333 | 335 | ||||||
Series 3326, Class JO, PO, 6/15/2037 |
20 | 18 | ||||||
Series 3331, PO, 6/15/2037 |
189 | 165 | ||||||
Series 3607, Class OP, PO, 7/15/2037 |
534 | 453 | ||||||
Series 4048, Class FJ, 2.66%, 7/15/2037 (h) |
1,093 | 1,090 | ||||||
Series 3759, Class HI, IO, 4.00%, 8/15/2037 |
181 | 3 | ||||||
Series 3760, Class GI, IO, 4.00%, 10/15/2037 |
97 | 1 | ||||||
Series 3385, Class SN, IF, IO, 3.69%, 11/15/2037 (h) |
90 | 7 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 3387, Class SA, IF, IO, 4.11%, 11/15/2037 (h) |
262 | 23 | ||||||
Series 3422, Class AI, IO, 0.25%, 1/15/2038(e) |
1,720 | 13 | ||||||
Series 3404, Class SC, IF, IO, 3.69%, 1/15/2038 (h) |
457 | 51 | ||||||
Series 3424, Class PI, IF, IO, 4.49%, 4/15/2038 (h) |
333 | 41 | ||||||
Series 3481, Class SJ, IF, IO, 3.54%, 8/15/2038 (h) |
538 | 53 | ||||||
Series 3511, Class SA, IF, IO, 3.69%, 2/15/2039 (h) |
341 | 38 | ||||||
Series 3549, Class FA, 3.51%, 7/15/2039 (h) |
55 | 56 | ||||||
Series 3997, Class PF, 2.76%, 11/15/2039 (h) |
188 | 189 | ||||||
Series 3621, Class BO, PO, 1/15/2040 |
195 | 167 | ||||||
Series 3747, Class PY, 4.00%, 10/15/2040 |
1,000 | 1,001 | ||||||
Series 3925, Class FL, 2.76%, 1/15/2041 (h) |
637 | 640 | ||||||
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h) |
282 | 282 | ||||||
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h) |
981 | 1,041 | ||||||
Series 3957, Class B, 4.00%, 11/15/2041 |
404 | 411 | ||||||
Series 3966, Class NA, 4.00%, 12/15/2041 |
676 | 696 | ||||||
Series 4217, Class KY, 3.00%, 6/15/2043 |
2,000 | 1,842 | ||||||
Series 4374, Class NC, 3.75%, 2/15/2046 (e) |
1,548 | 1,557 | ||||||
FHLMC STRIPS |
||||||||
Series 243, Class 16, IO, 4.50%, 11/15/2020 |
12 | | (i) | |||||
Series 243, Class 17, IO, 4.50%, 12/15/2020 |
33 | 1 | ||||||
Series 134, Class B, IO, 9.00%, 4/1/2022 |
| (i) | | (i) | ||||
Series 233, Class 11, IO, 5.00%, 9/15/2035 |
466 | 89 | ||||||
Series 233, Class 13, IO, 5.00%, 9/15/2035 |
662 | 138 | ||||||
Series 299, Class 300, 3.00%, 1/15/2043 |
5,067 | 4,941 | ||||||
Series 310, PO, Zero Coupon, 9/15/2043 |
1,638 | 1,281 | ||||||
Series 323, Class 300, 3.00%, 1/15/2044 |
3,113 | 3,025 | ||||||
FHLMC Structured Pass-Through Securities Certificates |
||||||||
Series T-41, Class 3A, 5.51%, 7/25/2032 (h) |
337 | 354 | ||||||
Series T-76, Class 2A, 2.49%, 10/25/2037 (h) |
1,059 | 1,090 | ||||||
Series T-51, Class 2A, 7.50%, 8/25/2042 (h) |
215 | 248 | ||||||
Series T-54, Class 2A, 6.50%, 2/25/2043 |
1,216 | 1,369 | ||||||
Series T-54, Class 3A, 7.00%, 2/25/2043 |
342 | 385 | ||||||
Series T-58, Class APO, PO, 9/25/2043 |
123 | 97 | ||||||
Series T-59, Class 1AP, PO, 10/25/2043 |
288 | 146 | ||||||
First Horizon Alternative Mortgage Securities Trust |
||||||||
Series 2004-AA4, Class A1, 4.22%, 10/25/2034 (h) |
318 | 314 | ||||||
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 |
711 | 587 | ||||||
Series 2007-FA4, Class 1A2, IF, IO, 3.34%, 8/25/2037 (h) |
1,368 | 187 | ||||||
First Horizon Mortgage Pass-Through Trust Series 2005-AR1, Class 2A2, 3.96%, 4/25/2035 (h) |
287 | 291 | ||||||
FNMA Grantor Trust |
||||||||
Series 2002-T19, Class A2, 7.00%, 7/25/2042 |
603 | 671 | ||||||
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 |
420 | 471 | ||||||
FNMA REMIC |
||||||||
Series 2004-27, Class HB, 4.00%, 5/25/2019 |
49 | 49 | ||||||
Series 1989-70, Class G, 8.00%, 10/25/2019 |
| (i) | | (i) | ||||
Series 1989-83, Class H, 8.50%, 11/25/2019 |
1 | 1 | ||||||
Series 1989-89, Class H, 9.00%, 11/25/2019 |
| (i) | | (i) | ||||
Series 1989-78, Class H, 9.40%, 11/25/2019 |
| (i) | | (i) | ||||
Series 1990-1, Class D, 8.80%, 1/25/2020 |
1 | 1 | ||||||
Series 1990-60, Class K, 5.50%, 6/25/2020 |
| (i) | | (i) | ||||
Series 1990-63, Class H, 9.50%, 6/25/2020 |
| (i) | | (i) | ||||
Series 1990-93, Class G, 5.50%, 8/25/2020 |
| (i) | | (i) | ||||
Series 1990-102, Class J, 6.50%, 8/25/2020 |
3 | 3 | ||||||
Series 1990-94, Class H, HB, 505.00%, 8/25/2020 |
| (i) | | (i) | ||||
Series 1990-95, Class J, HB, 1,118.04%, 8/25/2020 |
| (i) | | (i) | ||||
Series 1990-120, Class H, 9.00%, 10/25/2020 |
2 | 2 | ||||||
Series 1990-134, Class SC, IF, 18.13%, 11/25/2020 (h) |
| (i) | | (i) |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 1990-140, Class K, HB, 652.15%, 12/25/2020 |
| (i) | | (i) | ||||
Series 1991-7, Class K, HB, 908.50%, 2/25/2021 |
| (i) | | (i) | ||||
Series 1991-24, Class Z, 5.00%, 3/25/2021 |
1 | 1 | ||||||
Series 2001-4, Class PC, 7.00%, 3/25/2021 |
22 | 23 | ||||||
Series G-17, Class S, HB, 843.04%, 6/25/2021 (h) |
| (i) | | (i) | ||||
Series 2001-48, Class Z, 6.50%, 9/25/2021 |
218 | 226 | ||||||
Series G-28, Class S, IF, 12.78%, 9/25/2021 (h) |
| (i) | | (i) | ||||
Series G-35, Class M, 8.75%, 10/25/2021 |
3 | 3 | ||||||
Series G-51, Class SA, HB, IF, 21.39%, 12/25/2021 (h) |
1 | 1 | ||||||
Series 2002-1, Class HC, 6.50%, 2/25/2022 |
22 | 23 | ||||||
Series 2007-15, Class NO, PO, 3/25/2022 |
48 | 46 | ||||||
Series 1992-101, Class J, 7.50%, 6/25/2022 |
| (i) | 1 | |||||
Series G92-42, Class Z, 7.00%, 7/25/2022 |
3 | 3 | ||||||
Series G92-35, Class E, 7.50%, 7/25/2022 |
30 | 32 | ||||||
Series G92-44, Class ZQ, 8.00%, 7/25/2022 |
2 | 2 | ||||||
Series G92-35, Class G, HB, 1,184.78%, 7/25/2022 |
| (i) | | (i) | ||||
Series 1992-136, Class PK, 6.00%, 8/25/2022 |
10 | 11 | ||||||
Series 1996-59, Class J, 6.50%, 8/25/2022 |
7 | 7 | ||||||
Series G92-52, Class FD, 2.34%, 9/25/2022 (h) |
5 | 5 | ||||||
Series 1992-143, Class MA, 5.50%, 9/25/2022 |
6 | 7 | ||||||
Series G92-54, Class ZQ, 7.50%, 9/25/2022 |
23 | 24 | ||||||
Series 1992-163, Class M, 7.75%, 9/25/2022 |
23 | 25 | ||||||
Series G92-62, Class B, PO, 10/25/2022 |
7 | 7 | ||||||
Series G92-59, Class F, 1.72%, 10/25/2022 (h) |
4 | 4 | ||||||
Series G92-61, Class Z, 7.00%, 10/25/2022 |
11 | 12 | ||||||
Series 1992-188, Class PZ, 7.50%, 10/25/2022 |
43 | 45 | ||||||
Series G93-1, Class KA, 7.90%, 1/25/2023 |
38 | 41 | ||||||
Series G93-5, Class Z, 6.50%, 2/25/2023 |
10 | 10 | ||||||
Series 1997-61, Class ZC, 7.00%, 2/25/2023 |
176 | 186 | ||||||
Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h) |
6 | 8 | ||||||
Series G93-14, Class J, 6.50%, 3/25/2023 |
13 | 13 | ||||||
Series 1993-25, Class J, 7.50%, 3/25/2023 |
28 | 30 | ||||||
Series 1993-21, Class KA, 7.70%, 3/25/2023 |
17 | 18 | ||||||
Series 1998-4, Class C, PO, 4/25/2023 |
5 | 4 | ||||||
Series 2008-24, Class DY, 5.00%, 4/25/2023 |
3 | 3 | ||||||
Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h) |
27 | 29 | ||||||
Series 1998-43, Class SA, IF, IO, 15.16%, 4/25/2023 (h) |
34 | 8 | ||||||
Series 1993-62, Class SA, IF, 18.16%, 4/25/2023 (h) |
10 | 11 | ||||||
Series 2003-39, Class LW, 5.50%, 5/25/2023 |
344 | 358 | ||||||
Series 2003-41, Class PE, 5.50%, 5/25/2023 |
166 | 170 | ||||||
Series 2008-47, Class SI, IF, IO, 4.18%, 6/25/2023 (h) |
127 | 4 | ||||||
Series 2003-83, Class PG, 5.00%, 6/25/2023 |
11 | 11 | ||||||
Series G93-27, Class FD, 3.20%, 8/25/2023 (h) |
23 | 24 | ||||||
Series 1999-38, Class SK, IF, IO, 5.73%, 8/25/2023 (h) |
7 | | (i) | |||||
Series 2002-83, Class CS, 6.88%, 8/25/2023 |
189 | 197 | ||||||
Series 1996-14, Class SE, IF, IO, 7.61%, 8/25/2023 (h) |
97 | 12 | ||||||
Series 1993-205, Class H, PO, 9/25/2023 |
16 | 15 | ||||||
Series G93-37, Class H, PO, 9/25/2023 |
6 | 6 | ||||||
Series 2008-76, Class GF, 2.96%, 9/25/2023 (h) |
2 | 2 | ||||||
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h) |
12 | 13 | ||||||
Series 1993-165, Class SD, IF, 12.70%, 9/25/2023 (h) |
6 | 6 | ||||||
Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h) |
6 | 7 | ||||||
Series 1999-52, Class NS, IF, 16.90%, 10/25/2023 (h) |
16 | 19 | ||||||
Series 1993-179, Class SB, HB, IF, 25.30%, 10/25/2023 (h) |
9 | 11 | ||||||
Series 1995-19, Class Z, 6.50%, 11/25/2023 |
108 | 117 | ||||||
Series 1993-230, Class FA, 2.92%, 12/25/2023 (h) |
9 | 9 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 1993-247, Class FE, 3.32%, 12/25/2023 (h) |
22 | 22 | ||||||
Series 1993-225, Class UB, 6.50%, 12/25/2023 |
27 | 29 | ||||||
Series 1993-247, Class SU, IF, 11.93%, 12/25/2023 (h) |
10 | 11 | ||||||
Series 2002-1, Class UD, IF, 16.40%, 12/25/2023 (h) |
22 | 26 | ||||||
Series 2009-9, IO, 5.00%, 2/25/2024 |
77 | 2 | ||||||
Series 2009-18, IO, 5.00%, 3/25/2024 |
31 | 1 | ||||||
Series 1994-37, Class L, 6.50%, 3/25/2024 |
85 | 89 | ||||||
Series 1994-40, Class Z, 6.50%, 3/25/2024 |
496 | 525 | ||||||
Series 2004-53, Class NC, 5.50%, 7/25/2024 |
96 | 100 | ||||||
Series 1995-2, Class Z, 8.50%, 1/25/2025 |
22 | 24 | ||||||
Series G95-1, Class C, 8.80%, 1/25/2025 |
16 | 18 | ||||||
Series 1997-20, IO, 1.84%, 3/25/2027 (h) |
61 | 1 | ||||||
Series 1997-27, Class J, 7.50%, 4/18/2027 |
9 | 10 | ||||||
Series 1997-29, Class J, 7.50%, 4/20/2027 |
20 | 22 | ||||||
Series 1997-39, Class PD, 7.50%, 5/20/2027 |
141 | 158 | ||||||
Series 1997-42, Class ZC, 6.50%, 7/18/2027 |
11 | 11 | ||||||
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
37 | 4 | ||||||
Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
55 | 60 | ||||||
Series 1998-66, Class SB, IF, IO, 5.83%, 12/25/2028 (h) |
57 | 3 | ||||||
Series 1999-18, Class Z, 5.50%, 4/18/2029 |
138 | 141 | ||||||
Series 1999-17, Class C, 6.35%, 4/25/2029 |
39 | 42 | ||||||
Series 1999-62, Class PB, 7.50%, 12/18/2029 |
60 | 67 | ||||||
Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
203 | 226 | ||||||
Series 2013-103, Class VG, 3.00%, 3/25/2030 |
3,500 | 3,440 | ||||||
Series 2000-20, Class SA, IF, IO, 6.78%, 7/25/2030 (h) |
113 | 13 | ||||||
Series 2000-52, IO, 8.50%, 1/25/2031 |
16 | 3 | ||||||
Series 2001-7, Class PF, 7.00%, 3/25/2031 |
35 | 39 | ||||||
Series 2011-31, Class DB, 3.50%, 4/25/2031 |
2,500 | 2,519 | ||||||
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
130 | 27 | ||||||
Series 2001-30, Class PM, 7.00%, 7/25/2031 |
123 | 138 | ||||||
Series 2001-36, Class DE, 7.00%, 8/25/2031 |
134 | 148 | ||||||
Series 2001-49, Class Z, 6.50%, 9/25/2031 |
34 | 37 | ||||||
Series 2001-44, Class MY, 7.00%, 9/25/2031 |
343 | 384 | ||||||
Series 2001-44, Class PD, 7.00%, 9/25/2031 |
43 | 47 | ||||||
Series 2001-44, Class PU, 7.00%, 9/25/2031 |
66 | 73 | ||||||
Series 2001-52, Class KB, 6.50%, 10/25/2031 |
38 | 41 | ||||||
Series 2003-52, Class SX, IF, 16.00%, 10/25/2031 (h) |
75 | 98 | ||||||
Series 2001-61, Class Z, 7.00%, 11/25/2031 |
423 | 473 | ||||||
Series 2001-72, Class SX, IF, 12.07%, 12/25/2031 (h) |
11 | 13 | ||||||
Series 2002-1, Class SA, IF, 17.66%, 2/25/2032 (h) |
18 | 24 | ||||||
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h) |
403 | 19 | ||||||
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h) |
6 | 7 | ||||||
Series 2002-21, Class LO, PO, 4/25/2032 |
13 | 11 | ||||||
Series 2002-21, Class PE, 6.50%, 4/25/2032 |
120 | 132 | ||||||
Series 2002-28, Class PK, 6.50%, 5/25/2032 |
306 | 335 | ||||||
Series 2012-66, Class CB, 3.00%, 6/25/2032 |
3,000 | 2,866 | ||||||
Series 2002-37, Class Z, 6.50%, 6/25/2032 |
79 | 86 | ||||||
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 |
344 | 49 | ||||||
Series 2002-48, Class GH, 6.50%, 8/25/2032 |
430 | 472 | ||||||
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h) |
52 | 57 | ||||||
Series 2004-59, Class BG, PO, 12/25/2032 |
157 | 133 | ||||||
Series 2002-77, Class S, IF, 10.24%, 12/25/2032 (h) |
69 | 78 | ||||||
Series 2003-22, Class UD, 4.00%, 4/25/2033 |
1,385 | 1,414 | ||||||
Series 2003-35, Class UC, 3.75%, 5/25/2033 |
16 | 16 | ||||||
Series 2003-42, Class GB, 4.00%, 5/25/2033 |
87 | 89 | ||||||
Series 2003-34, Class AX, 6.00%, 5/25/2033 |
277 | 301 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2003-34, Class ED, 6.00%, 5/25/2033 |
1,156 | 1,209 | ||||||
Series 2003-39, IO, 6.00%, 5/25/2033 (h) |
54 | 12 | ||||||
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 |
441 | 99 | ||||||
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 |
795 | 98 | ||||||
Series 2004-4, Class QI, IF, IO, 4.78%, 6/25/2033 (h) |
486 | 20 | ||||||
Series 2003-47, Class PE, 5.75%, 6/25/2033 |
197 | 214 | ||||||
Series 2004-4, Class QM, IF, 9.57%, 6/25/2033 (h) |
46 | 49 | ||||||
Series 2003-64, Class SX, IF, 8.00%, 7/25/2033 (h) |
62 | 66 | ||||||
Series 2004-36, Class SN, IF, 9.57%, 7/25/2033 (h) |
65 | 65 | ||||||
Series 2003-132, Class OA, PO, 8/25/2033 |
38 | 35 | ||||||
Series 2003-71, Class DS, IF, 4.40%, 8/25/2033 (h) |
394 | 378 | ||||||
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 |
431 | 75 | ||||||
Series 2003-74, Class SH, IF, 6.00%, 8/25/2033 (h) |
61 | 65 | ||||||
Series 2003-91, Class SD, IF, 8.64%, 9/25/2033 (h) |
95 | 103 | ||||||
Series 2013-101, Class AE, 3.00%, 10/25/2033 |
3,349 | 3,204 | ||||||
Series 2013-101, Class E, 3.00%, 10/25/2033 |
3,000 | 2,879 | ||||||
Series 2013-108, Class GU, 3.00%, 10/25/2033 |
4,000 | 3,831 | ||||||
Series 2003-116, Class SB, IF, IO, 5.28%, 11/25/2033 (h) |
620 | 94 | ||||||
Series 2006-44, Class P, PO, 12/25/2033 |
1,033 | 860 | ||||||
Series 2004-25, Class PC, 5.50%, 1/25/2034 |
18 | 18 | ||||||
Series 2003-130, Class SX, IF, 8.05%, 1/25/2034 (h) |
21 | 23 | ||||||
Series 2004-36, Class PC, 5.50%, 2/25/2034 |
14 | 14 | ||||||
Series 2004-10, Class SC, IF, 19.34%, 2/25/2034 (h) |
44 | 45 | ||||||
Series 2004-25, Class SA, IF, 13.16%, 4/25/2034 (h) |
341 | 413 | ||||||
Series 2004-46, Class SK, IF, 10.13%, 5/25/2034 (h) |
624 | 701 | ||||||
Series 2004-36, Class SA, IF, 13.16%, 5/25/2034 (h) |
614 | 782 | ||||||
Series 2004-46, Class QB, IF, 14.74%, 5/25/2034 (h) |
239 | 287 | ||||||
Series 2004-51, Class SY, IF, 9.61%, 7/25/2034 (h) |
109 | 122 | ||||||
Series 2004-79, Class SP, IF, 13.43%, 11/25/2034 (h) |
109 | 114 | ||||||
Series 2005-74, Class CS, IF, 13.65%, 5/25/2035 (h) |
241 | 275 | ||||||
Series 2005-68, Class UC, 5.00%, 6/25/2035 |
139 | 140 | ||||||
Series 2005-68, Class BC, 5.25%, 6/25/2035 |
103 | 104 | ||||||
Series 2005-110, Class MN, 5.50%, 6/25/2035 |
14 | 14 | ||||||
Series 2005-52, Class PA, 6.50%, 6/25/2035 |
| (i) | | (i) | ||||
Series 2005-56, Class S, IF, IO, 4.39%, 7/25/2035 (h) |
653 | 79 | ||||||
Series 2005-66, Class SG, IF, 11.59%, 7/25/2035 (h) |
162 | 197 | ||||||
Series 2005-68, Class PG, 5.50%, 8/25/2035 |
599 | 638 | ||||||
Series 2005-84, Class XM, 5.75%, 10/25/2035 |
1,856 | 1,987 | ||||||
Series 2005-110, Class GL, 5.50%, 12/25/2035 |
4,269 | 4,617 | ||||||
Series 2006-46, Class UC, 5.50%, 12/25/2035 |
610 | 639 | ||||||
Series 2005-109, Class PC, 6.00%, 12/25/2035 |
690 | 734 | ||||||
Series 2006-15, Class OT, PO, 1/25/2036 |
21 | 20 | ||||||
Series 2006-39, Class WC, 5.50%, 1/25/2036 |
602 | 632 | ||||||
Series 2006-16, Class OA, PO, 3/25/2036 |
219 | 185 | ||||||
Series 2006-22, Class AO, PO, 4/25/2036 |
329 | 273 | ||||||
Series 2006-23, Class KO, PO, 4/25/2036 |
71 | 63 | ||||||
Series 2006-44, Class GO, PO, 6/25/2036 |
437 | 367 | ||||||
Series 2006-53, Class US, IF, IO, 4.26%, 6/25/2036 (h) |
663 | 89 | ||||||
Series 2007-101, Class A2, 2.56%, 6/27/2036 (h) |
446 | 438 | ||||||
Series 2006-56, PO, 7/25/2036 |
351 | 307 | ||||||
Series 2006-58, PO, 7/25/2036 |
195 | 165 | ||||||
Series 2006-58, Class AP, PO, 7/25/2036 |
381 | 327 | ||||||
Series 2006-65, Class QO, PO, 7/25/2036 |
296 | 251 | ||||||
Series 2006-56, Class FC, 2.61%, 7/25/2036 (h) |
629 | 628 | ||||||
Series 2006-58, Class FL, 2.78%, 7/25/2036 (h) |
49 | 49 | ||||||
Series 2006-60, Class DZ, 6.50%, 7/25/2036 |
4,473 | 5,106 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2006-72, Class TO, PO, 8/25/2036 |
58 | 51 | ||||||
Series 2006-79, Class DO, PO, 8/25/2036 |
243 | 213 | ||||||
Series 2007-7, Class SG, IF, IO, 4.18%, 8/25/2036 (h) |
785 | 157 | ||||||
Series 2006-77, Class PC, 6.50%, 8/25/2036 |
988 | 1,078 | ||||||
Series 2006-90, Class AO, PO, 9/25/2036 |
194 | 171 | ||||||
Series 2008-42, Class AO, PO, 9/25/2036 |
95 | 84 | ||||||
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 |
1,215 | 233 | ||||||
Series 2006-109, PO, 11/25/2036 |
87 | 74 | ||||||
Series 2006-110, PO, 11/25/2036 |
546 | 458 | ||||||
Series 2006-111, Class EO, PO, 11/25/2036 |
59 | 50 | ||||||
Series 2006-124, Class HB, 4.32%, 11/25/2036 (h) |
771 | 799 | ||||||
Series 2006-119, PO, 12/25/2036 |
64 | 56 | ||||||
Series 2006-118, Class A2, 2.34%, 12/25/2036 (h) |
353 | 349 | ||||||
Series 2009-70, Class CO, PO, 1/25/2037 |
479 | 394 | ||||||
Series 2006-128, Class BP, 5.50%, 1/25/2037 |
272 | 284 | ||||||
Series 2007-77, Class FG, 2.82%, 3/25/2037 (h) |
82 | 83 | ||||||
Series 2007-16, Class FC, 3.07%, 3/25/2037 (h) |
126 | 131 | ||||||
Series 2007-14, Class ES, IF, IO, 4.12%, 3/25/2037 (h) |
796 | 108 | ||||||
Series 2007-42, Class AO, PO, 5/25/2037 |
59 | 53 | ||||||
Series 2007-48, PO, 5/25/2037 |
137 | 121 | ||||||
Series 2007-54, Class FA, 2.72%, 6/25/2037 (h) |
302 | 304 | ||||||
Series 2007-60, Class AX, IF, IO, 4.83%, 7/25/2037 (h) |
2,185 | 394 | ||||||
Series 2012-14, Class FB, 2.77%, 8/25/2037 (h) |
294 | 296 | ||||||
Series 2007-81, Class GE, 6.00%, 8/25/2037 |
324 | 344 | ||||||
Series 2007-88, Class VI, IF, IO, 4.22%, 9/25/2037 (h) |
1,522 | 241 | ||||||
Series 2007-91, Class ES, IF, IO, 4.14%, 10/25/2037 (h) |
1,138 | 129 | ||||||
Series 2007-106, Class A7, 6.07%, 10/25/2037 (h) |
193 | 207 | ||||||
Series 2007-116, Class HI, IO, 1.22%, 1/25/2038 (h) |
791 | 28 | ||||||
Series 2008-1, Class BI, IF, IO, 3.59%, 2/25/2038 (h) |
423 | 45 | ||||||
Series 2008-16, Class IS, IF, IO, 3.88%, 3/25/2038 (h) |
122 | 15 | ||||||
Series 2008-10, Class XI, IF, IO, 3.91%, 3/25/2038 (h) |
308 | 29 | ||||||
Series 2008-27, Class SN, IF, IO, 4.58%, 4/25/2038 (h) |
177 | 19 | ||||||
Series 2008-44, PO, 5/25/2038 |
11 | 9 | ||||||
Series 2008-53, Class CI, IF, IO, 4.88%, 7/25/2038 (h) |
276 | 37 | ||||||
Series 2008-80, Class SA, IF, IO, 3.53%, 9/25/2038 (h) |
624 | 59 | ||||||
Series 2008-81, Class SB, IF, IO, 3.53%, 9/25/2038 (h) |
493 | 36 | ||||||
Series 2010-45, Class BD, 4.50%, 11/25/2038 |
23 | 23 | ||||||
Series 2010-148, Class MA, 4.00%, 2/25/2039 |
192 | 194 | ||||||
Series 2009-6, Class GS, IF, IO, 4.23%, 2/25/2039 (h) |
604 | 86 | ||||||
Series 2009-62, Class HJ, 6.00%, 5/25/2039 |
228 | 241 | ||||||
Series 2009-60, Class HT, 6.00%, 8/25/2039 |
478 | 521 | ||||||
Series 2009-99, Class SC, IF, IO, 3.86%, 12/25/2039 (h) |
152 | 15 | ||||||
Series 2009-103, Class MB, 4.29%, 12/25/2039 (h) |
284 | 304 | ||||||
Series 2010-49, Class SC, IF, 8.03%, 3/25/2040 (h) |
540 | 578 | ||||||
Series 2010-64, Class DM, 5.00%, 6/25/2040 |
285 | 298 | ||||||
Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
422 | 459 | ||||||
Series 2010-147, Class SA, IF, IO, 4.21%, 1/25/2041 (h) |
1,509 | 262 | ||||||
Series 2011-30, Class LS, IO, 1.32%, 4/25/2041 (h) |
923 | 43 | ||||||
Series 2011-75, Class FA, 2.87%, 8/25/2041 (h) |
293 | 296 | ||||||
Series 2011-118, Class MT, 7.00%, 11/25/2041 |
586 | 663 | ||||||
Series 2011-130, Class CA, 6.00%, 12/25/2041 |
1,005 | 1,105 | ||||||
Series 2013-81, Class TA, 3.00%, 2/25/2043 |
2,000 | 1,838 | ||||||
Series 2013-92, PO, 9/25/2043 |
1,481 | 1,135 | ||||||
Series 2013-90, Class PM, 3.50%, 9/25/2043 |
1,694 | 1,607 | ||||||
Series 2013-101, Class DO, PO, 10/25/2043 |
2,284 | 1,720 | ||||||
Series 2013-128, PO, 12/25/2043 |
2,873 | 2,247 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2011-2, Class WA, 5.82%, 2/25/2051 (h) |
379 | 397 | ||||||
FNMA REMIC Trust |
||||||||
Series 2007-W7, Class 1A4, HB, IF, 25.29%, 7/25/2037 (h) |
15 | 23 | ||||||
Series 2003-W4, Class 2A, 6.50%, 10/25/2042 (h) |
60 | 66 | ||||||
Series 2003-W1, Class 1A1, 5.39%, 12/25/2042 (h) |
517 | 536 | ||||||
Series 2003-W1, Class 2A, 5.90%, 12/25/2042 (h) |
216 | 229 | ||||||
Series 2009-W1, Class A, 6.00%, 12/25/2049 |
800 | 879 | ||||||
FNMA STRIPS |
||||||||
Series 368, Class 3, IO, 4.50%, 11/25/2020 |
4 | | (i) | |||||
Series 218, Class 2, IO, 7.50%, 4/25/2023 |
3 | | (i) | |||||
Series 265, Class 2, 9.00%, 3/25/2024 |
4 | 5 | ||||||
Series 329, Class 1, PO, 1/25/2033 |
54 | 47 | ||||||
Series 345, Class 6, IO, 5.00%, 12/25/2033 (h) |
78 | 16 | ||||||
Series 351, Class 7, IO, 5.00%, 4/25/2034 (h) |
261 | 53 | ||||||
Series 355, Class 11, IO, 6.00%, 7/25/2034 |
224 | 38 | ||||||
Series 365, Class 8, IO, 5.50%, 5/25/2036 |
336 | 78 | ||||||
Series 374, Class 5, IO, 5.50%, 8/25/2036 |
172 | 40 | ||||||
Series 393, Class 6, IO, 5.50%, 4/25/2037 |
67 | 11 | ||||||
Series 383, Class 32, IO, 6.00%, 1/25/2038 |
81 | 18 | ||||||
Series 383, Class 33, IO, 6.00%, 1/25/2038 |
212 | 42 | ||||||
FNMA Trust |
||||||||
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 |
131 | 148 | ||||||
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
288 | 319 | ||||||
Series 2004-W15, Class 2AF, 2.57%, 8/25/2044 (h) |
382 | 380 | ||||||
Series 2005-W3, Class 2AF, 2.54%, 3/25/2045 (h) |
1,068 | 1,064 | ||||||
Series 2006-W2, Class 1AF1, 2.54%, 2/25/2046 (h) |
362 | 361 | ||||||
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.91%, 6/19/2035 (h) |
1,160 | 1,133 | ||||||
GNMA |
||||||||
Series 1994-7, Class PQ, 6.50%, 10/16/2024 |
486 | 510 | ||||||
Series 1999-4, Class ZB, 6.00%, 2/20/2029 |
399 | 398 | ||||||
Series 1999-30, Class S, IF, IO, 6.29%, 8/16/2029 (h) |
50 | 1 | ||||||
Series 2002-31, Class SE, IF, IO, 5.19%, 4/16/2030 (h) |
609 | 55 | ||||||
Series 2000-31, Class Z, 9.00%, 10/20/2030 |
134 | 155 | ||||||
Series 2000-36, Class IK, IO, 9.00%, 11/16/2030 |
9 | 1 | ||||||
Series 2000-35, Class ZA, 9.00%, 11/20/2030 |
84 | 98 | ||||||
Series 2001-6, Class SD, IF, IO, 6.24%, 3/16/2031 (h) |
42 | 9 | ||||||
Series 2001-36, Class S, IF, IO, 5.74%, 8/16/2031 (h) |
95 | 21 | ||||||
Series 2001-35, Class SA, IF, IO, 5.94%, 8/16/2031 (h) |
104 | 1 | ||||||
Series 2002-24, Class AG, IF, IO, 5.64%, 4/16/2032 (h) |
361 | 55 | ||||||
Series 2002-24, Class SB, IF, 8.46%, 4/16/2032 (h) |
34 | 37 | ||||||
Series 2002-41, Class SV, IF, 9.00%, 6/16/2032(h) |
12 | 14 | ||||||
Series 2002-45, Class QE, 6.50%, 6/20/2032 |
888 | 981 | ||||||
Series 2002-47, Class PG, 6.50%, 7/16/2032 |
303 | 339 | ||||||
Series 2002-47, Class ZA, 6.50%, 7/20/2032 |
581 | 642 | ||||||
Series 2002-52, Class GH, 6.50%, 7/20/2032 |
495 | 499 | ||||||
Series 2002-75, Class PB, 6.00%, 11/20/2032 |
949 | 1,023 | ||||||
Series 2003-58, Class BE, 6.50%, 1/20/2033 |
743 | 817 | ||||||
Series 2003-11, Class SK, IF, IO, 5.39%, 2/16/2033 (h) |
319 | 34 | ||||||
Series 2003-12, Class SP, IF, IO, 5.40%, 2/20/2033 (h) |
166 | 27 | ||||||
Series 2003-24, PO, 3/16/2033 |
32 | 29 | ||||||
Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
874 | 961 | ||||||
Series 2003-46, Class TC, 6.50%, 3/20/2033 |
413 | 451 | ||||||
Series 2003-46, Class MG, 6.50%, 5/20/2033 |
546 | 605 | ||||||
Series 2003-52, Class AP, PO, 6/16/2033 |
148 | 124 | ||||||
Series 2003-90, PO, 10/20/2033 |
44 | 39 | ||||||
Series 2003-112, Class SA, IF, IO, 4.24%, 12/16/2033 (h) |
576 | 72 | ||||||
Series 2004-28, Class S, IF, 13.31%, 4/16/2034 (h) |
242 | 312 | ||||||
Series 2004-73, Class AE, IF, 10.09%, 8/17/2034 (h) |
55 | 59 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2004-90, Class SI, IF, IO, 3.80%, 10/20/2034 (h) |
772 | 91 | ||||||
Series 2005-68, Class DP, IF, 10.87%, 6/17/2035 (h) |
104 | 114 | ||||||
Series 2010-14, Class CO, PO, 8/20/2035 |
283 | 242 | ||||||
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h) |
1,292 | 252 | ||||||
Series 2005-68, Class KI, IF, IO, 4.00%, 9/20/2035 (h) |
1,775 | 210 | ||||||
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 |
251 | 48 | ||||||
Series 2006-16, Class OP, PO, 3/20/2036 |
118 | 105 | ||||||
Series 2006-38, Class SW, IF, IO, 4.20%, 6/20/2036 (h) |
234 | 11 | ||||||
Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
1,338 | 1,473 | ||||||
Series 2006-59, Class SD, IF, IO, 4.40%, 10/20/2036 (h) |
390 | 59 | ||||||
Series 2006-65, Class SA, IF, IO, 4.50%, 11/20/2036 (h) |
587 | 72 | ||||||
Series 2011-22, Class WA, 5.89%, 2/20/2037 (h) |
554 | 609 | ||||||
Series 2007-57, PO, 3/20/2037 |
243 | 216 | ||||||
Series 2007-17, Class JO, PO, 4/16/2037 |
103 | 87 | ||||||
Series 2007-17, Class JI, IF, IO, 4.50%, 4/16/2037 (h) |
962 | 138 | ||||||
Series 2007-19, Class SD, IF, IO, 3.90%, 4/20/2037 (h) |
557 | 50 | ||||||
Series 2007-28, Class BO, PO, 5/20/2037 |
122 | 102 | ||||||
Series 2007-26, Class SC, IF, IO, 3.90%, 5/20/2037 (h) |
508 | 51 | ||||||
Series 2007-27, Class SA, IF, IO, 3.90%, 5/20/2037 (h) |
470 | 46 | ||||||
Series 2007-36, Class SE, IF, IO, 4.16%, 6/16/2037 (h) |
324 | 37 | ||||||
Series 2007-47, Class PH, 6.00%, 7/16/2037 |
2,500 | 2,774 | ||||||
Series 2007-40, Class SB, IF, IO, 4.45%, 7/20/2037 (h) |
986 | 124 | ||||||
Series 2007-42, Class SB, IF, IO, 4.45%, 7/20/2037 (h) |
583 | 89 | ||||||
Series 2007-50, Class AI, IF, IO, 4.47%, 8/20/2037 (h) |
373 | 39 | ||||||
Series 2007-53, Class SW, IF, 13.30%, 9/20/2037 (h) |
53 | 62 | ||||||
Series 2008-32, Class PI, IO, 5.50%, 10/16/2037 |
195 | 22 | ||||||
Series 2009-79, Class OK, PO, 11/16/2037 |
188 | 161 | ||||||
Series 2007-73, Class MI, IF, IO, 3.70%, 11/20/2037 (h) |
320 | 34 | ||||||
Series 2007-76, Class SA, IF, IO, 4.23%, 11/20/2037 (h) |
618 | 70 | ||||||
Series 2007-72, Class US, IF, IO, 4.25%, 11/20/2037 (h) |
305 | 34 | ||||||
Series 2007-79, Class SY, IF, IO, 4.25%, 12/20/2037 (h) |
295 | 35 | ||||||
Series 2008-2, Class NS, IF, IO, 4.23%, 1/16/2038 (h) |
563 | 67 | ||||||
Series 2008-2, Class MS, IF, IO, 4.85%, 1/16/2038 (h) |
169 | 23 | ||||||
Series 2008-10, Class S, IF, IO, 3.53%, 2/20/2038 (h) |
348 | 35 | ||||||
Series 2008-36, Class SH, IF, IO, 4.00%, 4/20/2038 (h) |
491 | 56 | ||||||
Series 2008-40, Class SA, IF, IO, 4.09%, 5/16/2038 (h) |
3,029 | 389 | ||||||
Series 2008-55, Class SA, IF, IO, 3.90%, 6/20/2038 (h) |
269 | 26 | ||||||
Series 2008-71, Class SC, IF, IO, 3.70%, 8/20/2038 (h) |
134 | 11 | ||||||
Series 2009-25, Class SE, IF, IO, 5.30%, 9/20/2038 (h) |
233 | 31 | ||||||
Series 2008-93, Class AS, IF, IO, 3.40%, 12/20/2038 (h) |
335 | 27 | ||||||
Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038 |
209 | 19 | ||||||
Series 2009-6, Class SA, IF, IO, 3.79%, 2/16/2039 (h) |
388 | 43 | ||||||
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 |
803 | 157 | ||||||
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 |
318 | 71 | ||||||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
314 | 82 | ||||||
Series 2009-22, Class SA, IF, IO, 3.97%, 4/20/2039 (h) |
760 | 70 | ||||||
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 |
174 | 35 | ||||||
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 |
182 | 41 | ||||||
Series 2009-43, Class SA, IF, IO, 3.65%, 6/20/2039 (h) |
326 | 34 | ||||||
Series 2009-72, Class SM, IF, IO, 3.94%, 8/16/2039 (h) |
740 | 86 | ||||||
Series 2010-31, Class NO, PO, 3/20/2040 |
1,470 | 1,258 | ||||||
Series 2013-75, Class WA, 5.19%, 6/20/2040 (h) |
1,547 | 1,656 | ||||||
Series 2010-130, Class CP, 7.00%, 10/16/2040 |
214 | 239 | ||||||
Series 2010-157, Class OP, PO, 12/20/2040 |
1,578 | 1,268 | ||||||
Series 2011-75, Class SM, IF, IO, 4.30%, 5/20/2041 (h) |
1,022 | 137 | ||||||
Series 2014-188, Class W, 4.60%, 10/20/2041 (h) |
753 | 783 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2012-141, Class WC, 3.72%, 1/20/2042 (h) |
477 | 483 | ||||||
Series 2013-54, Class WA, 4.75%, 11/20/2042 (h) |
2,288 | 2,390 | ||||||
Series 2013-91, Class WA, 4.49%, 4/20/2043 (h) |
995 | 1,010 | ||||||
Series 2013-116, Class JY, 4.00%, 8/16/2043 |
1,300 | 1,297 | ||||||
Series 2012-H24, Class FG, 2.70%, 4/20/2060 (h) |
321 | 320 | ||||||
Series 2013-H03, Class FA, 2.57%, 8/20/2060 (h) |
27 | 27 | ||||||
Series 2012-H22, Class FD, 2.74%, 1/20/2061 (h) |
1,125 | 1,125 | ||||||
Series 2012-H21, Class CF, 2.97%, 5/20/2061 (h) |
150 | 151 | ||||||
Series 2013-H05, Class FB, 2.67%, 2/20/2062 (h) |
376 | 376 | ||||||
Series 2012-H15, Class FA, 2.72%, 5/20/2062 (h) |
98 | 98 | ||||||
Series 2012-H26, Class MA, 2.82%, 7/20/2062 (h) |
81 | 81 | ||||||
Series 2012-H28, Class FA, 2.85%, 9/20/2062 (h) |
557 | 557 | ||||||
Series 2012-H29, Class FA, 2.79%, 10/20/2062 (h) |
1,333 | 1,336 | ||||||
Series 2012-H31, Class FD, 2.61%, 12/20/2062 (h) |
1,346 | 1,343 | ||||||
Series 2013-H01, Class FA, 1.65%, 1/20/2063 |
1,880 | 1,849 | ||||||
Series 2013-H04, Class BA, 1.65%, 2/20/2063 |
918 | 903 | ||||||
Series 2013-H08, Class FC, 2.72%, 2/20/2063 (h) |
1,212 | 1,213 | ||||||
Series 2013-H07, Class HA, 2.68%, 3/20/2063 (h) |
1,313 | 1,313 | ||||||
Series 2013-H09, Class HA, 1.65%, 4/20/2063 |
1,330 | 1,302 | ||||||
Series 2013-H18, Class JA, 2.87%, 8/20/2063 (h) |
2,641 | 2,653 | ||||||
Series 2014-H01, Class FD, 2.92%, 1/20/2064 (h) |
1,368 | 1,376 | ||||||
Series 2014-H09, Class TA, 2.87%, 4/20/2064 (h) |
1,396 | 1,403 | ||||||
Series 2015-H15, Class FD, 2.71%, 6/20/2065 (h) |
1,746 | 1,748 | ||||||
Series 2015-H15, Class FJ, 2.71%, 6/20/2065 (h) |
3,690 | 3,695 | ||||||
Series 2015-H16, Class FG, 2.71%, 7/20/2065 (h) |
2,677 | 2,681 | ||||||
Series 2015-H23, Class FB, 2.79%, 9/20/2065 (h) |
2,550 | 2,562 | ||||||
Series 2015-H32, Class FH, 2.93%, 12/20/2065 (h) |
1,919 | 1,939 | ||||||
Series 2017-H08, Class XI, IO, 2.08%, 3/20/2067 (h) |
8,788 | 1,092 | ||||||
GSMPS Mortgage Loan Trust |
||||||||
Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (h) |
581 | 563 | ||||||
Series 2005-RP3, Class 1AS, IO, 2.24%, 9/25/2035 (b) (h) |
629 | 42 | ||||||
Series 2005-RP3, Class 1AF, 2.66%, 9/25/2035 (b) (h) |
832 | 744 | ||||||
Series 2006-RP2, Class 1AS2, IF, IO, 3.79%, 4/25/2036 (b) (h) |
2,736 | 300 | ||||||
GSR Mortgage Loan Trust |
||||||||
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 |
259 | 274 | ||||||
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 |
127 | 130 | ||||||
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 |
395 | 402 | ||||||
Series 2005-4F, Class AP, PO, 5/25/2035 |
8 | 7 | ||||||
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 |
773 | 805 | ||||||
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 |
1,391 | 1,162 | ||||||
Impac CMB Trust |
||||||||
Series 2004-7, Class 1A1, 3.05%, 11/25/2034 (h) |
1,102 | 1,093 | ||||||
Series 2005-4, Class 2A1, 2.92%, 5/25/2035 (h) |
147 | 145 | ||||||
Impac Secured Assets Trust |
||||||||
Series 2006-1, Class 2A1, 2.66%, 5/25/2036 (h) |
386 | 379 | ||||||
Series 2006-2, Class 2A1, 2.66%, 8/25/2036 (h) |
270 | 262 | ||||||
JP Morgan Mortgage Trust |
||||||||
Series 2006-A2, Class 5A3, 4.61%, 11/25/2033 (h) |
538 | 550 | ||||||
Series 2006-A3, Class 6A1, 4.11%, 8/25/2034 (h) |
106 | 105 | ||||||
Series 2006-A2, Class 4A1, 4.48%, 8/25/2034 (h) |
434 | 437 | ||||||
Lehman Mortgage Trust |
||||||||
Series 2006-2, Class 1A1, 5.77%, 4/25/2036 (h) |
283 | 255 | ||||||
Series 2008-2, Class 1A6, 6.00%, 3/25/2038 |
662 | 471 | ||||||
MASTR Adjustable Rate Mortgages Trust |
||||||||
Series 2004-13, Class 2A1, 4.66%, 4/21/2034 (h) |
242 | 248 | ||||||
Series 2004-4, Class 2A1, 3.95%, 5/25/2034 (h) |
36 | 34 | ||||||
Series 2004-13, Class 3A7, 4.44%, 11/21/2034 (h) |
543 | 555 | ||||||
Series 2004-15, Class 3A1, 4.63%, 12/25/2034 (h) |
230 | 221 | ||||||
MASTR Alternative Loan Trust |
||||||||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
11 | 11 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 |
56 | 57 | ||||||
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
358 | 368 | ||||||
Series 2003-3, Class 1A1, 6.50%, 5/25/2033 |
124 | 123 | ||||||
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
374 | 380 | ||||||
Series 2004-3, Class 2A1, 6.25%, 4/25/2034 |
265 | 275 | ||||||
Series 2004-6, Class 30PO, PO, 7/25/2034 |
200 | 166 | ||||||
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 |
338 | 344 | ||||||
Series 2004-7, Class 30PO, PO, 8/25/2034 |
133 | 111 | ||||||
MASTR Asset Securitization Trust |
||||||||
Series 2004-4, Class 3A1, 4.50%, 4/25/2019 |
1 | 1 | ||||||
Series 2004-6, Class 15PO, PO, 7/25/2019 |
1 | 1 | ||||||
Series 2004-8, PO, 8/25/2019 |
1 | 1 | ||||||
Series 2004-8, Class 1A1, 4.75%, 8/25/2019 |
2 | 3 | ||||||
Series 2003-12, Class 30PO, PO, 12/25/2033 |
26 | 24 | ||||||
Series 2004-1, Class 30PO, PO, 2/25/2034 |
15 | 12 | ||||||
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 2.66%, 5/25/2035 (b) (h) |
1,678 | 1,356 | ||||||
MASTR Resecuritization Trust Series 2005-PO, Class 3PO, PO, 5/28/2035 (b) |
165 | 133 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
Series 2003-E, Class A1, 2.93%, 10/25/2028 (h) |
120 | 119 | ||||||
Series 2003-F, Class A1, 2.95%, 10/25/2028 (h) |
1,195 | 1,178 | ||||||
Series 2004-A, Class A1, 2.77%, 4/25/2029 (h) |
205 | 202 | ||||||
Series 2004-1, Class 2A1, 4.14%, 12/25/2034 (h) |
299 | 299 | ||||||
ML Trust XLVII Series 47, Class Z, 8.99%, 10/20/2020 |
1 | 1 | ||||||
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1,
6.50%, |
298 | 291 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
||||||||
Series 2003-A1, Class A5, 7.00%, 4/25/2033 |
34 | 35 | ||||||
Series 2003-A1, Class A1, 5.50%, 5/25/2033 |
40 | 40 | ||||||
Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
87 | 87 | ||||||
PaineWebber CMO Trust Series P, Class 4, 8.50%, 8/1/2019 |
| (i) | | (i) | ||||
Provident Funding Mortgage Loan Trust Series 2005-1, Class 2A1, 3.90%, 5/25/2035 (h) |
80 | 79 | ||||||
RALI Trust |
||||||||
Series 2002-QS8, Class A5, 6.25%, 6/25/2017 |
5 | 4 | ||||||
Series 2002-QS16, Class A3, IF, 11.78%, 10/25/2017 (h) |
| (i) | | (i) | ||||
Series 2003-QS3, Class A2, IF, 11.41%, 2/25/2018 (h) |
2 | 2 | ||||||
Series 2003-QS9, Class A3, IF, IO, 5.24%, 5/25/2018 (h) |
5 | | (i) | |||||
Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 |
1 | | (i) | |||||
Series 2003-QS12, Class A2A, IF, IO, 5.29%, 6/25/2018 (h) |
2 | | (i) | |||||
Series 2003-QS14, Class A1, 5.00%, 7/25/2018 |
23 | 23 | ||||||
Series 2003-QS18, Class A1, 5.00%, 9/25/2018 |
9 | 9 | ||||||
Series 2004-QA6, Class NB2, 4.15%, 12/26/2034 (h) |
969 | 846 | ||||||
RBSSP Resecuritization Trust Series 2009-12, Class 1A1, 5.53%, 11/25/2033 (b) (h) |
234 | 240 | ||||||
Residential Asset Securitization Trust |
||||||||
Series 2003-A14, Class A1, 4.75%, 2/25/2019 |
1 | 1 | ||||||
Series 2005-A2, Class A4, IF, IO, 2.74%, 3/25/2035 (h) |
1,473 | 80 | ||||||
Series 2006-A4, Class 2A5, 6.00%, 5/25/2036 |
368 | 353 | ||||||
RFMSI Trust |
||||||||
Series 2004-S3, Class A1, 4.75%, 3/25/2019 |
5 | 5 | ||||||
Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 |
5 | 5 | ||||||
Series 2005-SA4, Class 1A1, 4.00%, 9/25/2035 (h) |
206 | 185 | ||||||
SART 4.75%, 7/15/2024 |
5,829 | 5,835 | ||||||
Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 2.96%, 10/19/2034 (h) |
383 | 377 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates |
||||||||
Series 2003-33H, Class 1A1, 5.50%, 10/25/2033 |
433 | 440 | ||||||
Series 2004-5H, Class A4, 5.54%, 12/25/2033 |
671 | 685 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| |||||||
Structured Asset Securities Corp. Trust Series 2005-10, Class 5A9, 5.25%, 12/25/2034 |
37 | 36 | ||||||
Thornburg Mortgage Securities Trust |
||||||||
Series 2003-4, Class A1, 2.95%, 9/25/2043 (h) |
187 | 185 | ||||||
Series 2004-4, Class 3A, 3.59%, 12/25/2044 (h) |
535 | 536 | ||||||
Vendee Mortgage Trust |
||||||||
Series 1994-1, Class 1, 5.30%, 2/15/2024 (h) |
216 | 224 | ||||||
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 |
263 | 277 | ||||||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
323 | 352 | ||||||
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
254 | 276 | ||||||
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
476 | 519 | ||||||
Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
547 | 601 | ||||||
Series 1999-1, Class 2Z, 6.50%, 1/15/2029 |
1,092 | 1,193 | ||||||
Series 2003-2, Class Z, 5.00%, 5/15/2033 |
4,803 | 5,079 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
||||||||
Series 2003-AR8, Class A, 4.23%, 8/25/2033 (h) |
68 | 69 | ||||||
Series 2003-AR9, Class 1A6, 4.33%, 9/25/2033 (h) |
1,035 | 1,058 | ||||||
Series 2003-AR9, Class 2A, 4.41%, 9/25/2033 (h) |
141 | 142 | ||||||
Series 2003-S9, Class P, PO, 10/25/2033 |
22 | 19 | ||||||
Series 2003-S9, Class A8, 5.25%, 10/25/2033 |
516 | 521 | ||||||
Series 2004-RS2, Class A4, 5.00%, 11/25/2033 |
897 | 901 | ||||||
Series 2004-AR3, Class A1, 3.96%, 6/25/2034 (h) |
91 | 93 | ||||||
Series 2004-AR3, Class A2, 3.96%, 6/25/2034 (h) |
77 | 78 | ||||||
Series 2006-AR10, Class 2P, 3.99%, 9/25/2036 (h) |
109 | 92 | ||||||
Series 2006-AR12, Class 2P, 3.47%, 10/25/2036 (h) |
94 | 89 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |
||||||||
Series 2005-2, Class 2A3, IF, IO, 2.69%, 4/25/2035 (h) |
1,203 | 100 | ||||||
Series 2005-2, Class 1A4, IF, IO, 2.74%, 4/25/2035 (h) |
4,368 | 340 | ||||||
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 |
1,243 | 235 | ||||||
Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
1,447 | 1,387 | ||||||
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 |
1,200 | 226 | ||||||
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 |
305 | 291 | ||||||
Series 2005-6, Class 2A9, 5.50%, 8/25/2035 |
1,952 | 1,863 | ||||||
Wells Fargo Mortgage-Backed Securities Trust |
||||||||
Series 2003-K, Class 1A1, 4.69%, 11/25/2033 (h) |
85 | 87 | ||||||
Series 2003-K, Class 1A2, 4.69%, 11/25/2033 (h) |
162 | 165 | ||||||
Series 2005-AR16, Class 2A1, 4.21%, 2/25/2034 (h) |
151 | 155 | ||||||
Series 2004-P, Class 2A1, 4.64%, 9/25/2034 (h) |
914 | 937 | ||||||
Series 2004-V, Class 1A1, 4.45%, 10/25/2034 (h) |
173 | 175 | ||||||
Series 2004-EE, Class 2A1, 4.48%, 12/25/2034 (h) |
145 | 147 | ||||||
Series 2004-EE, Class 3A1, 4.53%, 12/25/2034 (h) |
222 | 230 | ||||||
Series 2005-AR3, Class 1A1, 4.46%, 3/25/2035 (h) |
1,480 | 1,520 | ||||||
Series 2005-AR8, Class 2A1, 4.31%, 6/25/2035 (h) |
167 | 172 | ||||||
Series 2005-16, Class APO, PO, 12/25/2035 |
64 | 55 | ||||||
Series 2006-2, Class APO, PO, 3/25/2036 |
189 | 161 | ||||||
Series 2006-4, Class 1APO, PO, 4/25/2036 |
114 | 103 | ||||||
Series 2007-7, Class A7, 6.00%, 6/25/2037 |
350 | 347 | ||||||
Series 2007-11, Class A14, 6.00%, 8/25/2037 |
109 | 107 | ||||||
|
|
|||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $272,432) |
279,370 | |||||||
|
|
|||||||
ASSET-BACKED SECURITIES 13.3% |
| |||||||
Academic Loan Funding Trust Series 2013-1A, Class A, 3.12%, 12/26/2044 (b) (h) |
1,073 | 1,070 | ||||||
Air Canada Pass-Through Trust (Canada) |
||||||||
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) |
640 | 636 | ||||||
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) |
491 | 471 | ||||||
Series 2017-1, Class A, 3.55%, 1/15/2030 (b) |
695 | 667 | ||||||
American Airlines Pass-Through Trust |
||||||||
Series 2011-1, Class A, 5.25%, 1/31/2021 |
132 | 136 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Series 2013-2, Class A, 4.95%, 1/15/2023 |
458 | 468 | ||||||
Series 2016-2, Class A, 3.65%, 6/15/2028 |
261 | 248 | ||||||
Series 2016-3, Class AA, 3.00%, 10/15/2028 |
377 | 354 | ||||||
Series 2017-1, Class AA, 3.65%, 2/15/2029 |
522 | 513 | ||||||
American Credit Acceptance Receivables Trust |
||||||||
Series 2015-2, Class C, 4.32%, 5/12/2021 (b) |
665 | 666 | ||||||
Series 2016-4, Class C, 2.91%, 2/13/2023 (b) |
767 | 765 | ||||||
Series 2017-1, Class C, 2.88%, 3/13/2023 (b) |
1,374 | 1,371 | ||||||
American Homes 4 Rent Trust |
||||||||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b) |
3,724 | 3,728 | ||||||
Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (b) |
2,000 | 2,079 | ||||||
Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b) |
850 | 920 | ||||||
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) |
2,790 | 2,778 | ||||||
Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b) |
500 | 511 | ||||||
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (b) |
2,380 | 2,603 | ||||||
Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b) |
3,972 | 3,906 | ||||||
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (b) |
1,275 | 1,338 | ||||||
AmeriCredit Automobile Receivables Trust |
||||||||
Series 2016-1, Class A3, 1.81%, 10/8/2020 |
61 | 61 | ||||||
Series 2016-3, Class A3, 1.46%, 5/10/2021 |
373 | 371 | ||||||
Anchor Assets IX LLC Series 2016-1, Class A, 5.13%, 2/15/2020 (b) |
10,700 | 10,700 | ||||||
B2R Mortgage Trust |
||||||||
Series 2015-1, Class A1, 2.52%, 5/15/2048 (b) |
649 | 642 | ||||||
Series 2015-2, Class A, 3.34%, 11/15/2048 (b) |
1,588 | 1,573 | ||||||
Banc of America Funding Corp. Series 2012-R6, Class 1A1, 3.00%, 10/26/2039 (b) |
| (i) | | (i) | ||||
BCC Funding Corp. X Series 2015-1, Class D, 4.54%, 12/21/2020 (b) |
550 | 551 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2006-SD1, Class A,
2.68%, |
80 | 80 | ||||||
British Airways Pass-Through Trust (United Kingdom) |
||||||||
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) |
621 | 610 | ||||||
Series 2018-1, Class A, 4.13%, 9/20/2031 (b) |
993 | 978 | ||||||
Business Jet Securities LLC |
||||||||
Series 2018-1, Class A, 4.34%, 2/15/2033 (b) |
2,354 | 2,351 | ||||||
Series 2018-2, Class B, 5.44%, 6/15/2033 (b) |
689 | 691 | ||||||
BXG Receivables Note Trust Series 2012-A, Class A, 2.66%, 12/2/2027 (b) |
234 | 230 | ||||||
Cabelas Credit Card Master Note Trust Series 2015-2, Class A1, 2.25%, 7/17/2023 |
880 | 868 | ||||||
Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 |
4,998 | 4,987 | ||||||
Carnow Auto Receivables Trust Series 2017-1A, Class A, 2.92%, 9/15/2022 (b) |
662 | 658 | ||||||
Chase Funding Trust Series 2003-6, Class 1A7, 5.06%, 11/25/2034 (e) |
607 | 622 | ||||||
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 |
800 | 987 | ||||||
Citigroup Mortgage Loan Trust, Inc. Series 2003-HE3, Class A, 3.07%, 12/25/2033 (h) |
54 | 54 | ||||||
Colony American Finance Ltd. (Cayman Islands) Series 2016-1, Class A, 2.54%, 6/15/2048 (b) |
1,106 | 1,084 | ||||||
Continental Airlines Pass-Through Trust |
||||||||
Series 1999-2, Class A-1, 7.26%, 3/15/2020 |
61 | 63 | ||||||
Series 2007-1, Class A, 5.98%, 4/19/2022 |
342 | 359 | ||||||
Continental Credit Card Series 2017-1A, Class A, 4.29%, 1/15/2024 (b) |
1,753 | 1,742 | ||||||
CPS Auto Receivables Trust |
||||||||
Series 2014-D, Class C, 4.35%, 11/16/2020 (b) |
700 | 703 | ||||||
Series 2015-A, Class C, 4.00%, 2/16/2021 (b) |
223 | 224 | ||||||
Series 2015-B, Class C, 4.20%, 5/17/2021 (b) |
2,535 | 2,553 | ||||||
Series 2015-C, Class D, 4.63%, 8/16/2021 (b) |
1,376 | 1,393 | ||||||
Series 2016-C, Class C, 3.27%, 6/15/2022 (b) |
1,400 | 1,399 | ||||||
CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (b) |
2,964 | 2,988 | ||||||
Credit Acceptance Auto Loan Trust |
||||||||
Series 2017-1A, Class A, 2.56%, 10/15/2025 (b) |
1,564 | 1,557 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Series 2017-1A, Class B, 3.04%, 12/15/2025 (b) |
686 | 679 | ||||||
Series 2017-1A, Class C, 3.48%, 2/17/2026 (b) |
574 | 569 | ||||||
Series 2017-2A, Class C, 3.35%, 6/15/2026 (b) |
604 | 596 | ||||||
Series 2018-1A, Class A, 3.01%, 2/16/2027 (b) |
1,543 | 1,528 | ||||||
Series 2018-3A, Class B, 3.89%, 10/15/2027 (b) |
2,097 | 2,092 | ||||||
CVS Pass-Through Trust 5.93%, 1/10/2034 (b) |
904 | 963 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 3.21%, 10/25/2034 (h) |
138 | 136 | ||||||
Delta Air Lines Pass-Through Trust |
||||||||
Series 2011-1, Class A, 5.30%, 4/15/2019 |
91 | 92 | ||||||
Series 2010-2, Class A, 4.95%, 5/23/2019 |
75 | 75 | ||||||
Series 2012-1, Class A, 4.75%, 5/7/2020 |
205 | 207 | ||||||
Drive Auto Receivables Trust |
||||||||
Series 2016-AA, Class C, 3.91%, 5/17/2021 (b) |
790 | 792 | ||||||
Series 2015-BA, Class D, 3.84%, 7/15/2021 (b) |
2,199 | 2,203 | ||||||
Series 2015-CA, Class D, 4.20%, 9/15/2021 (b) |
862 | 865 | ||||||
Series 2017-1, Class C, 2.84%, 4/15/2022 |
2,635 | 2,631 | ||||||
Series 2015-AA, Class D, 4.12%, 7/15/2022 (b) |
1,471 | 1,478 | ||||||
Series 2015-DA, Class D, 4.59%, 1/17/2023 (b) |
1,320 | 1,330 | ||||||
Series 2017-1, Class D, 3.84%, 3/15/2023 |
2,992 | 2,993 | ||||||
Series 2017-3, Class D, 3.53%, 12/15/2023 (b) |
4,800 | 4,780 | ||||||
Series 2016-CA, Class D, 4.18%, 3/15/2024 (b) |
3,101 | 3,113 | ||||||
Series 2018-2, Class C, 3.63%, 8/15/2024 |
1,755 | 1,754 | ||||||
DT Auto Owner Trust |
||||||||
Series 2015-2A, Class D, 4.25%, 2/15/2022 (b) |
1,321 | 1,325 | ||||||
Series 2016-4A, Class D, 3.77%, 10/17/2022 (b) |
1,609 | 1,613 | ||||||
Series 2017-2A, Class C, 3.03%, 1/17/2023 (b) |
2,244 | 2,241 | ||||||
Engs Commercial Finance Trust Series 2016-1A, Class A2, 2.63%, 2/22/2022 (b) |
379 | 377 | ||||||
Exeter Automobile Receivables Trust |
||||||||
Series 2016-3A, Class B, 2.84%, 8/16/2021 (b) |
1,171 | 1,169 | ||||||
Series 2018-4A, Class B, 3.64%, 11/15/2022 (b) |
1,175 | 1,177 | ||||||
First Investors Auto Owner Trust Series 2015-2A, Class D, 4.22%, 12/15/2021 (b) |
373 | 375 | ||||||
Flagship Credit Auto Trust |
||||||||
Series 2015-3, Class A, 2.38%, 10/15/2020 (b) |
273 | 273 | ||||||
Series 2014-2, Class C, 3.95%, 12/15/2020 (b) |
371 | 372 | ||||||
Series 2015-3, Class B, 3.68%, 3/15/2022 (b) |
757 | 759 | ||||||
Series 2015-3, Class C, 4.65%, 3/15/2022 (b) |
756 | 765 | ||||||
Series 2016-2, Class C, 6.22%, 9/15/2022 (b) |
3,000 | 3,106 | ||||||
Series 2018-2, Class A, 2.97%, 10/17/2022 (b) |
2,509 | 2,500 | ||||||
FREED ABS Trust Series 2018-2, Class A, 3.99%, 10/20/2025 (b) |
3,661 | 3,660 | ||||||
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (h) |
113 | 94 | ||||||
GLS Auto Receivables Trust |
||||||||
Series 2015-1A, Class B, 4.43%, 12/15/2020 (b) |
544 | 544 | ||||||
Series 2016-1A, Class C, 6.90%, 10/15/2021 (b) |
1,200 | 1,237 | ||||||
GMAT Trust Series 2013-1A, Class A, 6.97%, 11/25/2043 (b) (e) |
78 | 78 | ||||||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) |
565 | 560 | ||||||
Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b) |
709 | 704 | ||||||
HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (b) |
2,214 | 2,211 | ||||||
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b) |
2,458 | 2,461 | ||||||
HERO Funding Trust (Cayman Islands) |
||||||||
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b) |
1,120 | 1,084 | ||||||
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b) |
2,344 | 2,388 | ||||||
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b) |
301 | 296 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series 2006-A, Class A3, 2.51%, 3/25/2036 (h) |
73 | 72 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Kabbage Asset Securitization LLC |
||||||||
Series 2017-1, Class A, 4.57%, 3/15/2022 (b) |
8,515 | 8,555 | ||||||
Series 2017-1, Class B, 5.79%, 3/15/2022 (b) |
2,525 | 2,558 | ||||||
KGS-Alpha SBA COOF Trust |
||||||||
Series 2012-2, Class A, IO, 0.80%, 8/25/2038 (b) (h) |
5,276 | 128 | ||||||
Series 2013-2, Class A, IO, 1.78%, 3/25/2039 (b) (h) |
4,738 | 196 | ||||||
Series 2015-2, Class A, IO, 2.93%, 7/25/2041 (b) (h) |
2,586 | 265 | ||||||
Lendmark Funding Trust Series 2017-1A, Class A, 2.83%, 12/22/2025 (b) |
1,866 | 1,844 | ||||||
LV Tower 52 Issuer |
||||||||
Series 2013-1, Class A, 5.75%, 7/15/2019 (b) |
5,208 | 5,208 | ||||||
Series 2013-1, Class M, 7.75%, 7/15/2019 (b) |
1,924 | 1,924 | ||||||
Mariner Finance Issuance Trust Series 2017-AA, Class A, 3.62%, 2/20/2029 (b) |
2,130 | 2,128 | ||||||
Marlette Funding Trust |
||||||||
Series 2017-1A, Class A, 2.83%, 3/15/2024 (b) |
553 | 553 | ||||||
Series 2018-1A, Class A, 2.61%, 3/15/2028 (b) |
1,489 | 1,483 | ||||||
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b) |
737 | 808 | ||||||
NCUA Guaranteed Notes Trust Series 2010-A1, Class A, 2.67%, 12/7/2020 (h) |
273 | 273 | ||||||
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 5.08%, 11/25/2033 (e) |
461 | 465 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes Series 2016-T2, Class AT2, 2.58%, 10/15/2049 (b) |
1,283 | 1,273 | ||||||
Ocwen Master Advance Receivables Trust Series 2018-T2, Class AT2, 3.60%, 8/15/2050 (b) |
3,309 | 3,303 | ||||||
OnDeck Asset Securitization Trust LLC Series 2018-1A, Class A, 3.50%, 4/18/2022 (b) |
1,801 | 1,797 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (b) |
1,863 | 1,861 | ||||||
OneMain Financial Issuance Trust |
||||||||
Series 2015-2A, Class B, 3.10%, 7/18/2025 (b) |
1,206 | 1,206 | ||||||
Series 2015-1A, Class B, 3.85%, 3/18/2026 (b) |
550 | 551 | ||||||
Series 2016-1A, Class A, 3.66%, 2/20/2029 (b) |
2,755 | 2,760 | ||||||
Series 2016-1A, Class C, 6.00%, 2/20/2029 (b) |
1,800 | 1,832 | ||||||
Oportun Funding VI LLC Series 2017-A, Class A, 3.23%, 6/8/2023 (b) |
1,455 | 1,437 | ||||||
Oportun Funding X LLC Series 2018-C, Class A, 4.10%, 10/8/2024 (b) |
5,756 | 5,775 | ||||||
Pretium Mortgage Credit Partners I LLC Series 2018-NPL4, Class A1, 4.83%, 9/27/2058 (b) (e) |
2,800 | 2,800 | ||||||
Progress Residential Trust |
||||||||
Series 2015-SFR2, Class A, 2.74%, 6/12/2032 (b) |
3,906 | 3,845 | ||||||
Series 2015-SFR2, Class B, 3.14%, 6/12/2032 (b) |
2,012 | 1,987 | ||||||
Series 2015-SFR2, Class C, 3.44%, 6/12/2032 (b) |
2,566 | 2,542 | ||||||
Series 2015-SFR2, Class E, 4.43%, 6/12/2032 (b) |
1,230 | 1,227 | ||||||
Series 2015-SFR3, Class A, 3.07%, 11/12/2032 (b) |
5,203 | 5,139 | ||||||
Series 2015-SFR3, Class D, 4.67%, 11/12/2032 (b) |
295 | 297 | ||||||
Series 2015-SFR3, Class E, 5.66%, 11/12/2032 (b) |
1,200 | 1,222 | ||||||
RCM Fund 1 Issuer LLC Series 2017-1, Class A, 5.50%, 10/25/2021 (b) |
2,858 | 2,858 | ||||||
Regional Management Issuance Trust Series 2018-1, Class A, 3.83%, 7/15/2027 (b) |
1,705 | 1,701 | ||||||
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (e) |
287 | 126 | ||||||
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b) |
938 | 927 | ||||||
Santander Drive Auto Receivables Trust Series 2015-5, Class E, 4.67%, 2/15/2023 (b) |
4,200 | 4,238 | ||||||
Saxon Asset Securities Trust Series 2003-1, Class AF6, 4.68%, 6/25/2033 (e) |
50 | 51 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.49%, 1/25/2036 (e) |
222 | 192 | ||||||
SoFi Consumer Loan Program LLC Series 2016-2, Class A, 3.09%, 10/27/2025 (b) |
685 | 682 | ||||||
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
391 | 371 | ||||||
Springleaf Funding Trust Series 2015-AA, Class A, 3.16%, 11/15/2024 (b) |
1,208 | 1,207 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Series 2015-AA, Class B, 3.62%, 11/15/2024 (b) |
1,087 | 1,084 | ||||||
Series 2016-AA, Class B, 3.80%, 11/15/2029 (b) |
2,040 | 2,033 | ||||||
Spruce ABS Trust Series 2016-E1, Class A, 4.32%, 6/15/2028 (b) |
938 | 939 | ||||||
Synchrony Card Issuance Trust Series 2018-A1, Class A1, 3.38%, 9/15/2024 |
2,600 | 2,607 | ||||||
Tricolor Auto Securitization Trust Series 2018-2A, Class A, 3.96%, 10/15/2021 (b) |
5,000 | 5,004 | ||||||
Tricon American Homes Trust Series 2016-SFR1, Class A, 2.59%, 11/17/2033 (b) |
1,816 | 1,745 | ||||||
United Airlines Pass-Through Trust |
||||||||
Series 2018-1, Class B, 4.60%, 3/1/2026 |
227 | 230 | ||||||
Series 2016-1, Class A, 3.45%, 7/7/2028 |
990 | 945 | ||||||
Series 2018-1, Class AA, 3.50%, 3/1/2030 |
1,093 | 1,056 | ||||||
Series 2018-1, Class A, 3.70%, 3/1/2030 |
742 | 718 | ||||||
Upstart Securitization Trust Series 2017-1, Class A, 2.64%, 6/20/2024 (b) |
226 | 225 | ||||||
Verizon Owner Trust |
||||||||
Series 2016-1A, Class A, 1.42%, 1/20/2021 (b) |
146 | 145 | ||||||
Series 2018-A, Class A1A, 3.23%, 4/20/2023 |
2,405 | 2,406 | ||||||
VM DEBT LLC Series 2017-1, Class A, 6.50%, 10/2/2024 (b) |
3,971 | 3,971 | ||||||
VOLT LX LLC Series 2017-NPL7, Class A1, 3.25%, 6/25/2047 (b) (e) |
1,027 | 1,019 | ||||||
VOLT LXIX LLC Series 2018-NPL5, Class A1A, 4.21%, 8/25/2048 (b) (e) |
1,648 | 1,645 | ||||||
VOLT LXVIII LLC Series 2018-NPL4, Class A1A, 4.34%, 7/27/2048 (b) (e) |
2,095 | 2,093 | ||||||
VOLT LXX LLC Series 2018-NPL6, Class A1A, 4.11%, 9/25/2048 (b) (e) |
1,688 | 1,683 | ||||||
VOLT LXXII LLC Series 2018-NPL8, Class A1A, 4.21%, 10/26/2048 (b) (e) |
4,868 | 4,870 | ||||||
VOLT Trust Series 2018-FT1, Class A1, 2.26%, 1/27/2023 (h) |
1,393 | 1,375 | ||||||
Westgate Resorts LLC Series 2017-1A, Class A, 3.05%, 12/20/2030 (b) |
1,108 | 1,098 | ||||||
Westlake Automobile Receivables Trust |
||||||||
Series 2017-1A, Class C, 2.70%, 10/17/2022 (b) |
941 | 937 | ||||||
Series 2017-1A, Class D, 3.46%, 10/17/2022 (b) |
947 | 942 | ||||||
World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023 |
6,900 | 6,860 | ||||||
|
|
|||||||
TOTAL ASSET-BACKED SECURITIES (Cost $252,690) |
251,849 | |||||||
|
|
|||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 4.5% |
| |||||||
BAMLL Commercial Mortgage Securities Trust |
||||||||
Series 2012-PARK, Class A, 2.96%, 12/10/2030 (b) |
560 | 554 | ||||||
Series 2014-520M, Class C, 4.35%, 8/15/2046 (b) (h) |
1,300 | 1,179 | ||||||
BAMLL Re-REMIC Trust |
||||||||
Series 2016-FR16, Class A, 0.95%, 5/27/2021 (b) (h) |
2,600 | 2,404 | ||||||
Series 2014-FRR5, Class A714, PO, 1/27/2047 (b) |
1,950 | 1,773 | ||||||
BB-UBS Trust |
||||||||
Series 2012-TFT, Class A, 2.89%, 6/5/2030 (b) |
483 | 474 | ||||||
Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) |
4,400 | 4,308 | ||||||
Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.52%, 6/11/2041 (b) (h) |
390 | 2 | ||||||
CD Commercial Mortgage Trust Series 2007-CD4, Class XC, IO, 0.93%, 12/11/2049 (b) (h) |
307 | 3 | ||||||
COBALT CMBS Commercial Mortgage Trust Series 2006-C1, IO, 1.02%, 8/15/2048 (h) |
885 | 13 | ||||||
Commercial Mortgage Trust |
||||||||
Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) |
3,500 | 3,633 | ||||||
Series 2014-TWC, Class A, 3.16%, 2/13/2032 (b) (h) |
1,400 | 1,400 | ||||||
Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (b) (h) |
1,060 | 1,037 | ||||||
Series 2006-GG7, Class AM, 5.86%, 7/10/2038 (h) |
83 | 82 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Series 2012-CR2, Class XA, IO, 1.81%, 8/15/2045 (h) |
2,449 | 121 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates |
||||||||
Series KJ02, Class A2, 2.60%, 9/25/2020 |
318 | 316 | ||||||
Series KJ09, Class A2, 2.84%, 9/25/2022 |
2,759 | 2,723 | ||||||
Series KS01, Class A2, 2.52%, 1/25/2023 |
1,000 | 977 | ||||||
Series KPLB, Class A, 2.77%, 5/25/2025 |
353 | 340 | ||||||
Series K052, Class A2, 3.15%, 11/25/2025 |
3,560 | 3,510 | ||||||
Series K065, Class A2, 3.24%, 4/25/2027 |
2,467 | 2,407 | ||||||
Series K065, Class AM, 3.33%, 5/25/2027 |
1,322 | 1,292 | ||||||
Series K070, Class A2, 3.30%, 11/25/2027 (h) |
1,748 | 1,706 | ||||||
FNMA ACES |
||||||||
Series 2012-M11, Class FA, 2.78%, 8/25/2019 (h) |
70 | 70 | ||||||
Series 2010-M3, Class A3, 4.33%, 3/25/2020 (h) |
1,780 | 1,796 | ||||||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (h) |
2,500 | 2,523 | ||||||
Series 2017-M3, Class A2, 2.57%, 12/25/2026 (h) |
6,250 | 5,766 | ||||||
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h) |
8,555 | 8,261 | ||||||
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h) |
3,815 | 3,651 | ||||||
Series 2018-M8, Class A2, 3.44%, 6/25/2028 (h) |
2,580 | 2,523 | ||||||
Series 2018-M10, Class A2, 3.50%, 7/25/2028 (h) |
3,335 | 3,281 | ||||||
Series 2017-M5, Class A2, 3.30%, 4/25/2029 (h) |
3,376 | 3,225 | ||||||
FNMA Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 |
4,860 | 4,533 | ||||||
GS Mortgage Securities Corp. II Series 2013-KING, Class A, 2.71%, 12/10/2027 (b) |
1,159 | 1,152 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2006-LDP9, Class AMS, 5.34%, 5/15/2047 |
400 | 400 | ||||||
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) |
998 | 992 | ||||||
LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.90%, 11/15/2038 (b) (h) |
2,434 | 1 | ||||||
ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 0.80%, 12/12/2049 (b) (h) |
491 | | (i) | |||||
Morgan Stanley Capital I Trust |
||||||||
Series 2006-IQ12, Class X1, IO, 0.75%, 12/15/2043 (b) (h) |
1,496 | | (i) | |||||
Series 2007-HQ11, Class X, IO, 0.53%, 2/12/2044 (b) (h) |
984 | 2 | ||||||
Series 2011-C3, Class A3, 4.05%, 7/15/2049 |
560 | 562 | ||||||
Morgan Stanley Re-REMIC Trust |
||||||||
Series 2012-XA, Class B, 0.25%, 7/27/2049 (b) |
192 | 181 | ||||||
Series 2012-IO, Class AXA, 1.00%, 3/27/2051 (b) |
23 | 23 | ||||||
RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b) |
664 | 650 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) |
2,236 | 2,223 | ||||||
UBS-Barclays Commercial Mortgage Trust |
||||||||
Series 2013-C6, Class A4, 3.24%, 4/10/2046 |
857 | 847 | ||||||
Series 2012-C2, Class XA, IO, 1.48%, 5/10/2063 (b) (h) |
7,290 | 280 | ||||||
VNDO Mortgage Trust |
||||||||
Series 2013-PENN, Class A, 3.81%, 12/13/2029 (b) |
5,000 | 5,038 | ||||||
Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (b) |
1,398 | 1,372 | ||||||
Wells Fargo Commercial Mortgage Trust Series 2013-120B, Class A, 2.80%, 3/18/2028 (b) (h) |
2,500 | 2,478 | ||||||
WFRBS Commercial Mortgage Trust |
||||||||
Series 2011-C3, Class A4, 4.38%, 3/15/2044 (b) |
1,700 | 1,732 | ||||||
Series 2013-C11, Class D, 4.41%, 3/15/2045 (b) (h) |
400 | 387 | ||||||
Series 2012-C6, Class A4, 3.44%, 4/15/2045 |
800 | 799 | ||||||
|
|
|||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $86,974) |
85,002 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY SECURITIES 1.5% |
| |||||||
FHLB 5.50%, 7/15/2036 |
1,525 | 1,904 | ||||||
Government Trust Certificate 2.85%, 10/1/2019 (a) |
13,319 | 13,011 | ||||||
Resolution Funding Corp. STRIPS |
||||||||
DN, 2.95%, 1/15/2026 (a) |
580 | 462 | ||||||
DN, 2.78%, 10/15/2027 (a) |
510 | 379 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
U.S. GOVERNMENT AGENCY SECURITIES (continued) |
| |||||||
Tennessee Valley Authority |
| |||||||
5.88%, 4/1/2036 |
5,311 | 6,698 | ||||||
4.63%, 9/15/2060 |
304 | 347 | ||||||
Tennessee Valley Authority STRIPS |
||||||||
4.73%, 5/1/2019 (a) |
2,000 | 1,977 | ||||||
DN, 3.58%, 11/1/2025 (a) |
5,000 | 3,972 | ||||||
DN, 4.63%, 6/15/2035 (a) |
800 | 418 | ||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $29,525) |
29,168 | |||||||
|
|
|||||||
MUNICIPAL BONDS 0.5% (l) |
| |||||||
California 0.0% (c) |
||||||||
General Obligation 0.0% (c) |
||||||||
State of California, Various Purpose GO, 7.30%, 10/1/2039 |
350 | 476 | ||||||
|
|
|||||||
Transportation 0.0% (c) |
||||||||
Los Angeles City Department of Airports, International Airport Series C, Rev., 6.58%, 5/15/2039 |
440 | 538 | ||||||
|
|
|||||||
Total California |
1,014 | |||||||
|
|
|||||||
New York 0.3% |
||||||||
Other Revenue 0.0% (c) |
||||||||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series D, Rev., 5.60%, 3/15/2040 |
360 | 419 | ||||||
|
|
|||||||
Transportation 0.3% |
||||||||
Port Authority of New York and New Jersey, Consolidated |
||||||||
Series 164, Rev., 5.65%, 11/1/2040 |
1,825 | 2,138 | ||||||
Series 165, Rev., 5.65%, 11/1/2040 |
440 | 516 | ||||||
Series 174, Rev., 4.46%, 10/1/2062 |
2,060 | 2,032 | ||||||
|
|
|||||||
4,686 | ||||||||
|
|
|||||||
Total New York |
5,105 | |||||||
|
|
|||||||
Ohio 0.2% |
||||||||
Education 0.1% |
||||||||
Ohio State University, General Receipts |
||||||||
Series A, Rev., 4.05%, 12/1/2056 |
325 | 305 | ||||||
Series A, Rev., 4.80%, 6/1/2111 |
1,563 | 1,599 | ||||||
Rev., 5.59%, 12/1/2114 |
200 | 213 | ||||||
|
|
|||||||
2,117 | ||||||||
|
|
|||||||
Utility 0.1% |
||||||||
American Municipal Power, Inc., Meldahl Hydroelectric Project Series B, Rev., 7.50%, 2/15/2050 |
1,315 | 1,832 | ||||||
|
|
|||||||
Total Ohio |
3,949 | |||||||
|
|
|||||||
TOTAL MUNICIPAL BONDS (Cost $9,173) |
10,068 | |||||||
|
|
|||||||
FOREIGN GOVERNMENT SECURITIES 0.4% |
| |||||||
Province of Quebec (Canada) 7.36%, 3/6/2026 (e) |
377 | 464 | ||||||
Republic of Colombia (Colombia) |
||||||||
4.00%, 2/26/2024 |
922 | 904 | ||||||
4.50%, 1/28/2026 |
581 | 577 | ||||||
7.38%, 9/18/2037 |
200 | 239 | ||||||
5.63%, 2/26/2044 |
200 | 203 | ||||||
5.00%, 6/15/2045 |
515 | 481 | ||||||
Republic of Panama (Panama) 4.50%, 4/16/2050 |
325 | 302 | ||||||
Republic of Peru (Peru) 5.63%, 11/18/2050 |
88 | 99 | ||||||
Republic of South Africa (South Africa) 5.88%, 9/16/2025 |
640 | 636 | ||||||
United Mexican States (Mexico) |
||||||||
3.60%, 1/30/2025 |
788 | 746 | ||||||
4.13%, 1/21/2026 |
316 | 305 | ||||||
3.75%, 1/11/2028 |
1,216 | 1,124 | ||||||
5.55%, 1/21/2045 |
2,113 | 2,079 | ||||||
|
|
|||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $8,421) |
8,159 | |||||||
|
|
|||||||
SUPRANATIONAL 0.2% |
| |||||||
African Development Bank (Supranational) 8.80%, 9/1/2019 (Cost $3,126) |
3,000 | 3,125 | ||||||
|
|
|||||||
Shares (000) |
||||||||
SHORT-TERM INVESTMENTS 2.0% |
| |||||||
INVESTMENT COMPANIES 2.0% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.30% (m) (n) (Cost $38,026) |
38,022 | 38,026 | ||||||
|
|
|||||||
Total Investments 101.5% (Cost $1,952,297) |
1,926,324 | |||||||
Liabilities in Excess of Other Assets (1.5%) |
(29,039) | |||||||
|
|
|||||||
Net Assets 100.0% |
1,897,285 | |||||||
|
|
|||||||
Percentages indicated are based on net assets. |
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Abbreviations
ABS | Asset-backed securities | |
ACES | Alternative Credit Enhancement Securities | |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2018. | |
CMBS | Commercial Mortgage-Backed Security | |
DN | Discount Notes | |
FHA | Federal Housing Administration | |
FHLB | Federal Home Loan Bank | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GO | General Obligation | |
GS | Goldman Sachs | |
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. | |
ICE | Intercontinental Exchange | |
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, 2018. 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. | |
LIBOR | London Interbank Offered Rate | |
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. | |
USD | United States Dollar | |
VA | Veterans Administration |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
(a) | | The rate shown is the effective yield as of November 30, 2018. | ||
(b) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | ||
(c) | | Amount rounds to less than 0.1% of net assets. | ||
(d) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2018. | ||
(e) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2018. | ||
(f) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of November 30, 2018. | ||
(g) | | Security is an interest bearing note with preferred security characteristics. | ||
(h) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2018. | ||
(i) | | Amount rounds to less than one thousand. | ||
(j) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(k) | | Defaulted security. | ||
(l) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | ||
(m) | | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | ||
(n) | | The rate shown is the current yield as of November 30, 2018. | ||
| | Value determined using significant unobservable inputs. |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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 their market value 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 Investment Management, Inc. (the Administrator) 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 affiliated and unaffiliated 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, including J.P. Morgan Funds (the Underlying Funds), are valued at each Underlying Funds net asset values or NAV per share as of the report date.
See the table on Quantitative Information about Level 3 Fair Value Measurements for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2018.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the 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 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 |
$ | | $ | 187,655 | $ | 64,194 | $ | 251,849 | ||||||||
Collateralized Mortgage Obligations |
| 268,627 | 10,743 | 279,370 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 82,838 | 2,164 | 85,002 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Corporate Bonds |
|
|||||||||||||||
Capital Markets |
$ | | $ | 48,434 | $ | 79 | $ | 48,513 | ||||||||
Other Corporate Bonds |
| 382,848 | | 382,848 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 431,282 | 79 | 431,361 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 8,159 | | 8,159 | ||||||||||||
Mortgage-Backed Securities |
| 311,572 | | 311,572 | ||||||||||||
Municipal Bonds |
| 10,068 | | 10,068 | ||||||||||||
Supranational |
| 3,125 | | 3,125 | ||||||||||||
U.S. Government Agency Securities |
| 29,168 | | 29,168 | ||||||||||||
U.S. Treasury Obligations |
| 478,624 | | 478,624 | ||||||||||||
Short-Term Investments |
|
|||||||||||||||
Investment Companies |
38,026 | | | 38,026 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 38,026 | $ | 1,811,118 | $ | 77,180 | $ | 1,926,324 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 3 to level 2 are due to an increase in market activity (e.g. frequency of trades), which resulted in an increase of available market inputs to determine the price for the period ended November 30, 2018.
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, 2018 |
Realized gain (loss) |
Change in net unrealized appreciation (depreciation) |
Net accretion (amortization) |
Purchases1 | Sales2 | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of November 30, 2018 |
||||||||||||||||||||||||||||
Investments in Securities: |
|
|||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 91,372 | $ | 114 | $ | (490 | ) | $ | (63 | ) | $ | 9,500 | $ | (25,569 | ) | $ | 433 | $ | (11,103 | ) | $ | 64,194 | ||||||||||||||
Collateralized Mortgage Obligations |
10,130 | (4 | ) | (551 | ) | (521 | ) | 2,184 | (1,885 | ) | 1,390 | | 10,743 | |||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
6,785 | 300 | (344 | ) | (101 | ) | | (5,673 | ) | 1,206 | (9 | ) | 2,164 | |||||||||||||||||||||||
Corporate Bonds Capital Markets |
158 | | (a) | | (a) | | (a) | | (79 | ) | | | 79 | |||||||||||||||||||||||
Loan Assignments Hotels, Restaurants & Leisure |
2,289 | 76 | (26 | ) | 2 | | (2,341 | ) | | | | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
$ | 110,734 | $ | 486 | $ | (1,411 | ) | $ | (683 | ) | $ | 11,684 | $ | (35,547 | ) | $ | 3,029 | $ | (11,112 | ) | $ | 77,180 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $(1,412,000).
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at November 30, 2018 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||||
$ | 32,030 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (5.96%) | ||||||||
Constant Default Rate | 0.00% - 30.00% (0.24%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 3.16% - 8.47% (4.18%) | |||||||||||
|
|
|||||||||||
Asset-Backed Securities |
32,030 | |||||||||||
|
|
|||||||||||
4,911 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 28.00% (11.32%) | |||||||||
PSA Prepayment Model | 232.00% (232.00%) | |||||||||||
Constant Default Rate | 0.00% - 12.68% (3.18%) | |||||||||||
Yield (Discount Rate of Cash Flows) | -55.19% - 56.87% (7.76%) | |||||||||||
|
|
|||||||||||
Collateralized Mortgage Obligations |
4,911 | |||||||||||
|
|
|||||||||||
1,967 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (20.39%) | |||||||||
|
|
|||||||||||
Commercial Mortgage-Backed Securities |
1,967 | Yield (Discount Rate of Cash Flows) | 2.68% - 6.69% (4.70%) | |||||||||
|
|
|||||||||||
79 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 4.38% (4.38%) | |||||||||
Liquidity Discount | 0.38% (0.38%) | |||||||||||
|
|
|||||||||||
Corporate Bonds |
79 | |||||||||||
|
|
|||||||||||
Total |
$ | 38,987 | ||||||||||
|
|
# The table above does not include certain level 3 investments that are valued by brokers and pricing services. At November 30, 2018, the value of these investments was approximately $38,193,000. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are 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 Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS 33.9% |
||||||||
Aerospace & Defense 0.6% |
||||||||
Airbus Finance BV (France) 2.70%, 4/17/2023(a) |
43 | 41 | ||||||
General Dynamics Corp. 3.50%, 5/15/2025 |
100 | 99 | ||||||
Lockheed Martin Corp. 3.10%, 1/15/2023 |
174 | 171 | ||||||
Northrop Grumman Corp. 2.93%, 1/15/2025 |
150 | 142 | ||||||
United Technologies Corp. |
||||||||
1.50%, 11/1/2019 |
180 | 177 | ||||||
3.95%, 8/16/2025 |
150 | 148 | ||||||
|
|
|||||||
778 | ||||||||
|
|
|||||||
Automobiles 0.6% |
||||||||
Daimler Finance North America LLC (Germany) 2.20%, 5/5/2020(a) |
150 | 147 | ||||||
General Motors Co. 4.20%, 10/1/2027 |
500 | 454 | ||||||
Nissan Motor Acceptance Corp. 2.60%, 9/28/2022(a) |
200 | 189 | ||||||
|
|
|||||||
790 | ||||||||
|
|
|||||||
Banks 6.3% |
||||||||
ANZ New Zealand Intl Ltd. (New Zealand) 2.60%, 9/23/2019(a) |
200 | 199 | ||||||
Bank of America Corp. 3.30%, 1/11/2023 |
90 | 88 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023(b) |
60 | 58 | ||||||
(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023(b) |
100 | 97 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024(b) |
42 | 41 | ||||||
Series L, 3.95%, 4/21/2025 |
154 | 149 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028(b) |
910 | 839 | ||||||
Bank of Montreal (Canada) 2.35%, 9/11/2022 |
200 | 191 | ||||||
Bank of Nova Scotia (The) (Canada) 2.15%, 7/14/2020 |
300 | 295 | ||||||
Barclays plc (United Kingdom) 3.68%, 1/10/2023 |
317 | 303 | ||||||
Branch Banking & Trust Co. 2.25%, 6/1/2020 |
250 | 246 | ||||||
Citibank NA 2.00%, 3/20/2019 |
350 | 349 | ||||||
Citigroup, Inc. |
||||||||
5.50%, 9/13/2025 |
115 | 120 | ||||||
4.45%, 9/29/2027 |
450 | 434 | ||||||
Commonwealth Bank of Australia (Australia) 4.50%, 12/9/2025(a) |
201 | 195 | ||||||
Cooperatieve Rabobank UA (Netherlands) |
||||||||
4.75%, 1/15/2020(a) |
200 | 203 | ||||||
3.88%, 2/8/2022 |
118 | 119 | ||||||
Discover Bank 3.35%, 2/6/2023 |
250 | 240 | ||||||
Fifth Third Bank 1.63%, 9/27/2019 |
325 | 321 | ||||||
HSBC Holdings plc (United Kingdom) |
||||||||
(ICE LIBOR USD 3 Month + 0.92%), 3.03%, 11/22/2023(b) |
200 | 192 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024(b) |
200 | 197 | ||||||
4.30%, 3/8/2026 |
200 | 195 | ||||||
Huntington National Bank (The) 2.88%, 8/20/2020 |
250 | 248 | ||||||
KeyCorp 5.10%, 3/24/2021 |
50 | 52 | ||||||
Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027 |
250 | 226 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.85%, 3/1/2026 |
225 | 221 | ||||||
Mizuho Bank Ltd. (Japan) 2.65%, 9/25/2019(a) |
200 | 199 | ||||||
Nordea Bank AB (Finland) 4.88%, 1/27/2020(a) |
250 | 254 | ||||||
PNC Financial Services Group, Inc. (The) |
||||||||
4.38%, 8/11/2020 |
133 | 135 | ||||||
3.90%, 4/29/2024 |
100 | 99 | ||||||
Regions Financial Corp. 3.20%, 2/8/2021 |
107 | 106 | ||||||
Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024(a) |
200 | 202 | ||||||
SunTrust Banks, Inc. 2.50%, 5/1/2019 |
300 | 299 | ||||||
Swedbank AB (Sweden) 2.20%, 3/4/2020(a) |
300 | 296 | ||||||
Toronto-Dominion Bank (The) (Canada) 2.50%, 12/14/2020 |
200 | 197 | ||||||
US Bancorp |
||||||||
Series V, 2.38%, 7/22/2026 |
133 | 119 | ||||||
Series X, 3.15%, 4/27/2027 |
68 | 64 | ||||||
Wells Fargo & Co. |
||||||||
2.63%, 7/22/2022 |
450 | 431 | ||||||
3.00%, 2/19/2025 |
99 | 93 | ||||||
4.10%, 6/3/2026 |
21 | 20 | ||||||
4.30%, 7/22/2027 |
30 | 29 | ||||||
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028(b) |
250 | 237 | ||||||
Westpac Banking Corp. (Australia) 2.50%, 6/28/2022 |
300 | 289 | ||||||
|
|
|||||||
8,887 | ||||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Beverages 0.9% |
||||||||
Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026(a) |
474 | 448 | ||||||
Anheuser-Busch InBev Finance, Inc. (Belgium) |
||||||||
3.30%, 2/1/2023 |
300 | 290 | ||||||
3.70%, 2/1/2024 |
76 | 74 | ||||||
Diageo Capital plc (United Kingdom) 4.83%, 7/15/2020 |
70 | 72 | ||||||
Keurig Dr Pepper, Inc. 4.42%, 5/25/2025(a) |
75 | 74 | ||||||
Molson Coors Brewing Co. 1.90%, 3/15/2019 |
255 | 254 | ||||||
|
|
|||||||
1,212 | ||||||||
|
|
|||||||
Biotechnology 0.6% |
||||||||
AbbVie, Inc. |
||||||||
3.20%, 11/6/2022 |
35 | 34 | ||||||
2.85%, 5/14/2023 |
100 | 95 | ||||||
Amgen, Inc. |
||||||||
5.70%, 2/1/2019 |
40 | 40 | ||||||
2.20%, 5/22/2019 |
160 | 159 | ||||||
3.63%, 5/15/2022 |
44 | 44 | ||||||
Baxalta, Inc. 3.60%, 6/23/2022 |
23 | 23 | ||||||
Biogen, Inc. 3.63%, 9/15/2022 |
30 | 30 | ||||||
Celgene Corp. 3.25%, 8/15/2022 |
98 | 95 | ||||||
Gilead Sciences, Inc. |
||||||||
1.85%, 9/20/2019 |
150 | 149 | ||||||
3.70%, 4/1/2024 |
36 | 36 | ||||||
3.50%, 2/1/2025 |
25 | 24 | ||||||
3.65%, 3/1/2026 |
57 | 55 | ||||||
|
|
|||||||
784 | ||||||||
|
|
|||||||
Building Products 0.1% |
||||||||
Johnson Controls International plc |
||||||||
3.75%, 12/1/2021 |
99 | 100 | ||||||
3.90%, 2/14/2026 |
32 | 31 | ||||||
|
|
|||||||
131 | ||||||||
|
|
|||||||
Capital Markets 3.1% |
||||||||
Bank of New York Mellon Corp. (The) |
||||||||
4.60%, 1/15/2020 |
75 | 76 | ||||||
3.25%, 9/11/2024 |
150 | 146 | ||||||
Blackstone Holdings Finance Co. LLC 5.88%, 3/15/2021(a) |
150 | 157 | ||||||
Carlyle Promissory Note |
||||||||
4.44%, 7/15/2019 |
6 | 6 | ||||||
Charles Schwab Corp. (The) |
||||||||
3.23%, 9/1/2022 |
40 | 40 | ||||||
3.20%, 1/25/2028 |
200 | 187 | ||||||
Deutsche Bank AG (Germany) |
||||||||
3.13%, 1/13/2021 |
38 | 37 | ||||||
3.38%, 5/12/2021 |
62 | 60 | ||||||
Goldman Sachs Group, Inc. (The) |
||||||||
2.35%, 11/15/2021 |
200 | 191 | ||||||
3.00%, 4/26/2022 |
80 | 77 | ||||||
3.75%, 5/22/2025 |
257 | 246 | ||||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025(b) |
564 | 526 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028(b) |
349 | 323 | ||||||
ING Bank NV (Netherlands) 2.50%, 10/1/2019(a) |
200 | 199 | ||||||
Intercontinental Exchange, Inc. 4.00%, 10/15/2023 |
88 | 89 | ||||||
Invesco Finance plc |
||||||||
4.00%, 1/30/2024 |
71 | 70 | ||||||
3.75%, 1/15/2026 |
125 | 120 | ||||||
Jefferies Group LLC 6.88%, 4/15/2021 |
50 | 53 | ||||||
Macquarie Bank Ltd. (Australia) |
||||||||
2.85%, 7/29/2020(a) |
100 | 99 | ||||||
4.00%, 7/29/2025(a) |
100 | 98 | ||||||
Macquarie Group Ltd. (Australia) |
||||||||
6.00%, 1/14/2020(a) |
100 | 103 | ||||||
6.25%, 1/14/2021(a) |
40 | 42 | ||||||
Morgan Stanley |
||||||||
5.50%, 7/24/2020 |
166 | 171 | ||||||
5.75%, 1/25/2021 |
100 | 104 | ||||||
5.50%, 7/28/2021 |
100 | 104 | ||||||
3.70%, 10/23/2024 |
83 | 81 | ||||||
5.00%, 11/24/2025 |
155 | 157 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028(b) |
500 | 466 | ||||||
Nomura Holdings, Inc. (Japan) 6.70%, 3/4/2020 |
84 | 87 | ||||||
Northern Trust Corp. |
||||||||
(ICE LIBOR USD 3 Month + 1.13%), 3.37%, 5/8/2032(b) |
17 | 16 | ||||||
State Street Corp. 3.10%, 5/15/2023 |
36 | 35 | ||||||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 |
34 | 33 | ||||||
UBS AG (Switzerland) 2.45%, 12/1/2020(a) |
200 | 196 | ||||||
|
|
|||||||
4,395 | ||||||||
|
|
|||||||
Chemicals 0.6% |
||||||||
Chevron Phillips Chemical Co. LLC 3.30%, 5/1/2023(a) |
100 | 98 | ||||||
Dow Chemical Co. (The) |
||||||||
8.55%, 5/15/2019 |
20 | 20 | ||||||
4.13%, 11/15/2021 |
60 | 61 | ||||||
Ecolab, Inc. |
||||||||
3.25%, 1/14/2023 |
88 | 87 | ||||||
3.25%, 12/1/2027 |
43 | 41 | ||||||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 |
9 | 9 | ||||||
Mosaic Co. (The) 3.25%, 11/15/2022 |
246 | 239 | ||||||
Nutrien Ltd. (Canada) 3.38%, 3/15/2025 |
45 | 42 | ||||||
Praxair, Inc. 2.65%, 2/5/2025 |
41 | 38 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Chemicals continued |
||||||||
Sherwin-Williams Co. (The) |
||||||||
3.30%, 2/1/2025 |
110 | 103 | ||||||
3.45%, 6/1/2027 |
51 | 47 | ||||||
Union Carbide Corp. 7.50%, 6/1/2025 |
100 | 115 | ||||||
|
|
|||||||
900 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.1% |
||||||||
Republic Services, Inc. 3.38%, 11/15/2027 |
200 | 188 | ||||||
|
|
|||||||
Communications Equipment 0.2% |
||||||||
Cisco Systems, Inc. |
||||||||
4.95%, 2/15/2019 |
200 | 201 | ||||||
2.95%, 2/28/2026 |
44 | 42 | ||||||
|
|
|||||||
243 | ||||||||
|
|
|||||||
Construction Materials 0.2% |
||||||||
Martin Marietta Materials, Inc. |
||||||||
3.45%, 6/1/2027 |
78 | 71 | ||||||
3.50%, 12/15/2027 |
160 | 145 | ||||||
|
|
|||||||
216 | ||||||||
|
|
|||||||
Consumer Finance 1.3% |
||||||||
AerCap Ireland Capital DAC (Ireland) 3.50%, 1/15/2025 |
250 | 229 | ||||||
American Express Co. 3.38%, 5/17/2021 |
100 | 99 | ||||||
American Honda Finance Corp. 1.95%, 7/20/2020 |
200 | 196 | ||||||
Capital One Financial Corp. 3.20%, 2/5/2025 |
235 | 217 | ||||||
Caterpillar Financial Services Corp. |
||||||||
1.85%, 9/4/2020 |
200 | 195 | ||||||
2.85%, 6/1/2022 |
58 | 57 | ||||||
Ford Motor Credit Co. LLC |
||||||||
2.38%, 3/12/2019 |
200 | 199 | ||||||
3.16%, 8/4/2020 |
250 | 245 | ||||||
John Deere Capital Corp. |
||||||||
Series 0014, 2.45%, 9/11/2020 |
50 | 49 | ||||||
3.15%, 10/15/2021 |
33 | 33 | ||||||
2.70%, 1/6/2023 |
89 | 86 | ||||||
2.65%, 6/24/2024 |
100 | 95 | ||||||
Synchrony Financial 4.25%, 8/15/2024 |
100 | 92 | ||||||
|
|
|||||||
1,792 | ||||||||
|
|
|||||||
Containers & Packaging 0.0%(c) |
||||||||
WRKCo., Inc. 3.00%, 9/15/2024(a) |
80 | 74 | ||||||
|
|
|||||||
Diversified Financial Services 1.4% |
||||||||
AIG Global Funding 2.15%, 7/2/2020(a) |
150 | 147 | ||||||
GE Capital International Funding Co. Unlimited Co. 2.34%, 11/15/2020 |
349 | 332 | ||||||
GTP Acquisition Partners I LLC 2.35%, 6/15/2020(a) |
174 | 171 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022 |
200 | 192 | ||||||
ORIX Corp. (Japan) 2.90%, 7/18/2022 |
81 | 78 | ||||||
Private Export Funding Corp. |
||||||||
Series EE, 2.80%, 5/15/2022 |
500 | 497 | ||||||
Series KK, 3.55%, 1/15/2024 |
200 | 205 | ||||||
Shell International Finance BV (Netherlands) |
||||||||
1.38%, 9/12/2019 |
230 | 227 | ||||||
3.25%, 5/11/2025 |
100 | 97 | ||||||
|
|
|||||||
1,946 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 1.0% |
||||||||
AT&T, Inc. |
||||||||
5.80%, 2/15/2019 |
253 | 254 | ||||||
3.95%, 1/15/2025 |
69 | 66 | ||||||
3.40%, 5/15/2025 |
17 | 16 | ||||||
4.10%, 2/15/2028 |
160 | 151 | ||||||
7.88%, 2/15/2030 |
350 | 409 | ||||||
Qwest Corp. 6.75%, 12/1/2021 |
148 | 154 | ||||||
Telefonica Emisiones SAU (Spain) 5.13%, 4/27/2020 |
31 | 32 | ||||||
Verizon Communications, Inc. |
||||||||
4.33%, 9/21/2028 |
160 | 159 | ||||||
4.50%, 8/10/2033 |
208 | 203 | ||||||
|
|
|||||||
1,444 | ||||||||
|
|
|||||||
Electric Utilities 1.8% |
||||||||
Arizona Public Service Co. 2.20%, 1/15/2020 |
27 | 27 | ||||||
Baltimore Gas & Electric Co. 2.80%, 8/15/2022 |
43 | 42 | ||||||
Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027 |
200 | 189 | ||||||
DTE Electric Co. 2.65%, 6/15/2022 |
20 | 19 | ||||||
Duke Energy Corp. 3.75%, 4/15/2024 |
300 | 297 | ||||||
Duke Energy Indiana LLC 3.75%, 7/15/2020 |
60 | 60 | ||||||
Duke Energy Progress LLC 2.80%, 5/15/2022 |
40 | 39 | ||||||
Electricite de France SA (France) 2.15%, 1/22/2019(a) |
60 | 60 | ||||||
Enel Finance International NV (Italy) 3.63%, 5/25/2027(a) |
200 | 172 | ||||||
Entergy Mississippi, Inc. 2.85%, 6/1/2028 |
186 | 170 | ||||||
Jersey Central Power & Light Co. |
||||||||
7.35%, 2/1/2019 |
25 | 25 | ||||||
4.30%, 1/15/2026(a) |
200 | 199 | ||||||
Kansas City Power & Light Co. 3.15%, 3/15/2023 |
47 | 46 | ||||||
Nevada Power Co. 7.13%, 3/15/2019 |
60 | 61 | ||||||
NextEra Energy Capital Holdings, Inc. |
||||||||
2.40%, 9/15/2019 |
27 | 27 | ||||||
3.55%, 5/1/2027 |
89 | 84 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Electric Utilities continued |
||||||||
Niagara Mohawk Power Corp. |
||||||||
4.88%, 8/15/2019(a) |
40 | 40 | ||||||
3.51%, 10/1/2024(a) |
28 | 28 | ||||||
Pacific Gas & Electric Co. |
||||||||
2.45%, 8/15/2022 |
68 | 60 | ||||||
3.25%, 6/15/2023 |
50 | 44 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028(a) |
132 | 122 | ||||||
Public Service Co. of Colorado 3.20%, 11/15/2020 |
51 | 51 | ||||||
Public Service Co. of Oklahoma 4.40%, 2/1/2021 |
74 | 75 | ||||||
Southern California Edison Co. 1.85%, 2/1/2022 |
29 | 28 | ||||||
Southern Co. (The) 3.25%, 7/1/2026 |
317 | 293 | ||||||
Virginia Electric & Power Co. |
||||||||
Series C, 2.75%, 3/15/2023 |
191 | 184 | ||||||
3.45%, 2/15/2024 |
21 | 21 | ||||||
|
|
|||||||
2,463 | ||||||||
|
|
|||||||
Electrical Equipment 0.1% |
||||||||
ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022 |
41 | 40 | ||||||
Eaton Corp. 3.10%, 9/15/2027 |
140 | 130 | ||||||
|
|
|||||||
170 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% |
||||||||
Arrow Electronics, Inc. |
||||||||
4.50%, 3/1/2023 |
16 | 16 | ||||||
3.88%, 1/12/2028 |
100 | 91 | ||||||
|
|
|||||||
107 | ||||||||
|
|
|||||||
Energy Equipment & Services 0.2% |
||||||||
Baker Hughes a GE Co. LLC 2.77%, 12/15/2022 |
150 | 141 | ||||||
Halliburton Co. 3.50%, 8/1/2023 |
107 | 105 | ||||||
Schlumberger Investment SA 3.30%, 9/14/2021(a) |
47 | 47 | ||||||
|
|
|||||||
293 | ||||||||
|
|
|||||||
Entertainment 0.4% |
||||||||
21st Century Fox America, Inc. 7.70%, 10/30/2025 |
50 | 61 | ||||||
Viacom, Inc. 3.88%, 4/1/2024 |
112 | 111 | ||||||
Walt Disney Co. (The) 1.85%, 7/30/2026 |
250 | 219 | ||||||
Warner Media LLC 3.60%, 7/15/2025 |
150 | 140 | ||||||
|
|
|||||||
531 | ||||||||
|
|
|||||||
Equity Real Estate Investment Trusts (REITs) 1.6% |
||||||||
American Tower Corp. |
||||||||
3.50%, 1/31/2023 |
80 | 78 | ||||||
5.00%, 2/15/2024 |
38 | 39 | ||||||
AvalonBay Communities, Inc. 3.20%, 1/15/2028 |
100 | 94 | ||||||
Boston Properties LP 3.20%, 1/15/2025 |
152 | 143 | ||||||
Brixmor Operating Partnership LP 3.85%, 2/1/2025 |
50 | 48 | ||||||
EPR Properties 4.50%, 6/1/2027 |
62 | 59 | ||||||
Equity Commonwealth 5.88%, 9/15/2020 |
125 | 128 | ||||||
ERP Operating LP 4.63%, 12/15/2021 |
255 | 262 | ||||||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028(a) |
52 | 48 | ||||||
HCP, Inc. |
||||||||
4.20%, 3/1/2024 |
17 | 17 | ||||||
3.88%, 8/15/2024 |
205 | 199 | ||||||
3.40%, 2/1/2025 |
38 | 36 | ||||||
Realty Income Corp. |
||||||||
3.88%, 7/15/2024 |
50 | 50 | ||||||
3.65%, 1/15/2028 |
150 | 143 | ||||||
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025(a) |
150 | 142 | ||||||
Select Income 3.60%, 2/1/2020 |
75 | 74 | ||||||
Senior Housing Properties Trust 4.75%, 2/15/2028 |
100 | 95 | ||||||
Simon Property Group LP |
||||||||
4.13%, 12/1/2021 |
81 | 82 | ||||||
3.75%, 2/1/2024 |
38 | 38 | ||||||
3.38%, 10/1/2024 |
62 | 60 | ||||||
Tanger Properties LP 3.75%, 12/1/2024 |
75 | 72 | ||||||
Ventas Realty LP |
||||||||
3.75%, 5/1/2024 |
44 | 43 | ||||||
3.50%, 2/1/2025 |
27 | 26 | ||||||
4.13%, 1/15/2026 |
62 | 60 | ||||||
VEREIT Operating Partnership LP 4.60%, 2/6/2024 |
100 | 100 | ||||||
Welltower, Inc. 4.50%, 1/15/2024 |
100 | 102 | ||||||
|
|
|||||||
2,238 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.3% |
||||||||
Kroger Co. (The) |
||||||||
1.50%, 9/30/2019 |
200 | 197 | ||||||
4.00%, 2/1/2024 |
90 | 90 | ||||||
Sysco Corp. 3.75%, 10/1/2025 |
100 | 97 | ||||||
|
|
|||||||
384 | ||||||||
|
|
|||||||
Food Products 0.8% |
||||||||
Campbell Soup Co. 3.95%, 3/15/2025 |
100 | 95 | ||||||
Cargill, Inc. 3.30%, 3/1/2022(a) |
100 | 99 | ||||||
Conagra Brands, Inc. 4.60%, 11/1/2025 |
35 | 35 | ||||||
General Mills, Inc. 2.60%, 10/12/2022 |
200 | 191 | ||||||
Kellogg Co. 3.40%, 11/15/2027 |
95 | 87 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Food Products continued |
||||||||
Kraft Heinz Foods Co. |
||||||||
3.50%, 6/6/2022 |
165 | 162 | ||||||
4.00%, 6/15/2023 |
22 | 22 | ||||||
3.95%, 7/15/2025 |
15 | 14 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 |
92 | 93 | ||||||
Nestle Holdings, Inc. 3.50%, 9/24/2025(a) |
200 | 198 | ||||||
Tyson Foods, Inc. 3.95%, 8/15/2024 |
73 | 72 | ||||||
Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025 |
100 | 98 | ||||||
|
|
|||||||
1,166 | ||||||||
|
|
|||||||
Gas Utilities 0.0%(c) |
||||||||
Atmos Energy Corp. 8.50%, 3/15/2019 |
30 | 31 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 0.3% |
||||||||
Becton Dickinson and Co. 2.68%, 12/15/2019 |
250 | 248 | ||||||
Medtronic Global Holdings SCA 1.70%, 3/28/2019 |
175 | 174 | ||||||
Zimmer Biomet Holdings, Inc. |
||||||||
3.70%, 3/19/2023 |
19 | 19 | ||||||
3.55%, 4/1/2025 |
50 | 47 | ||||||
|
|
|||||||
488 | ||||||||
|
|
|||||||
Health Care Providers & Services 1.4% |
||||||||
Aetna, Inc. 2.80%, 6/15/2023 |
200 | 189 | ||||||
Anthem, Inc. |
||||||||
3.13%, 5/15/2022 |
115 | 113 | ||||||
3.50%, 8/15/2024 |
106 | 102 | ||||||
CVS Health Corp. |
||||||||
4.10%, 3/25/2025 |
380 | 374 | ||||||
4.30%, 3/25/2028 |
400 | 390 | ||||||
Express Scripts Holding Co. |
||||||||
3.05%, 11/30/2022 |
200 | 193 | ||||||
3.50%, 6/15/2024 |
72 | 70 | ||||||
Laboratory Corp. of America Holdings 3.20%, 2/1/2022 |
214 | 211 | ||||||
UnitedHealth Group, Inc. |
||||||||
1.70%, 2/15/2019 |
200 | 200 | ||||||
3.38%, 11/15/2021 |
112 | 112 | ||||||
|
|
|||||||
1,954 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.1% |
||||||||
Starbucks Corp. 3.10%, 3/1/2023 |
150 | 146 | ||||||
|
|
|||||||
Household Durables 0.1% |
||||||||
DR Horton, Inc. 2.55%, 12/1/2020 |
150 | 146 | ||||||
|
|
|||||||
Household Products 0.2% |
||||||||
Kimberly-Clark Corp. 2.40%, 3/1/2022 |
20 | 19 | ||||||
Procter & Gamble - ESOP Series A, 9.36%, 1/1/2021 |
28 | 30 | ||||||
Procter & Gamble Co. (The) 1.75%, 10/25/2019 |
200 | 198 | ||||||
|
|
|||||||
247 | ||||||||
|
|
|||||||
Independent Power and Renewable Electricity Producers 0.1% |
||||||||
Exelon Generation Co. LLC |
||||||||
3.40%, 3/15/2022 |
80 | 79 | ||||||
4.25%, 6/15/2022 |
37 | 37 | ||||||
|
|
|||||||
116 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.0%(c) |
||||||||
Ingersoll-Rand Global Holding Co. Ltd. 4.25%, 6/15/2023 |
34 | 35 | ||||||
|
|
|||||||
Insurance 1.8% |
||||||||
Allstate Corp. (The) 3.15%, 6/15/2023 |
61 | 60 | ||||||
Alterra Finance LLC 6.25%, 9/30/2020 |
100 | 105 | ||||||
American International Group, Inc. 3.75%, 7/10/2025 |
161 | 152 | ||||||
Aon plc 3.88%, 12/15/2025 |
143 | 139 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 |
90 | 89 | ||||||
Berkshire Hathaway Finance Corp. 1.30%, 8/15/2019 |
280 | 277 | ||||||
Chubb INA Holdings, Inc. 2.88%, 11/3/2022 |
130 | 127 | ||||||
CNA Financial Corp. |
||||||||
3.95%, 5/15/2024 |
52 | 51 | ||||||
4.50%, 3/1/2026 |
38 | 38 | ||||||
Guardian Life Global Funding 2.50%, 5/8/2022(a) |
125 | 121 | ||||||
Lincoln National Corp. 4.20%, 3/15/2022 |
35 | 36 | ||||||
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 |
100 | 100 | ||||||
Marsh & McLennan Cos., Inc. |
||||||||
2.35%, 9/10/2019 |
156 | 155 | ||||||
3.30%, 3/14/2023 |
50 | 49 | ||||||
Metropolitan Life Global Funding I 3.45%, 12/18/2026(a) |
250 | 241 | ||||||
Principal Financial Group, Inc. 3.10%, 11/15/2026 |
150 | 139 | ||||||
Protective Life Global Funding 2.62%, 8/22/2022(a) |
200 | 193 | ||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025(a) |
150 | 183 | ||||||
Torchmark Corp. 4.55%, 9/15/2028 |
40 | 40 | ||||||
Travelers Cos., Inc. (The) 5.90%, 6/2/2019 |
250 | 253 | ||||||
|
|
|||||||
2,548 | ||||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Internet & Direct Marketing Retail 0.1% |
||||||||
Amazon.com, Inc. 2.80%, 8/22/2024 |
100 | 96 | ||||||
|
|
|||||||
IT Services 0.1% |
||||||||
IBM Credit LLC 2.65%, 2/5/2021 |
150 | 147 | ||||||
Western Union Co. (The) 3.60%, 3/15/2022 |
20 | 20 | ||||||
|
|
|||||||
167 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 0.1% |
||||||||
Thermo Fisher Scientific, Inc. |
||||||||
3.15%, 1/15/2023 |
57 | 55 | ||||||
4.15%, 2/1/2024 |
34 | 34 | ||||||
3.20%, 8/15/2027 |
100 | 92 | ||||||
|
|
|||||||
181 | ||||||||
|
|
|||||||
Machinery 0.1% |
||||||||
Caterpillar, Inc. 2.60%, 6/26/2022 |
31 | 30 | ||||||
Illinois Tool Works, Inc. 3.50%, 3/1/2024 |
175 | 175 | ||||||
|
|
|||||||
205 | ||||||||
|
|
|||||||
Media 0.6% |
||||||||
CBS Corp. 4.00%, 1/15/2026 |
208 | 200 | ||||||
Charter Communications Operating LLC 4.91%, 7/23/2025 |
160 | 159 | ||||||
Comcast Corp. |
||||||||
3.00%, 2/1/2024 |
117 | 113 | ||||||
3.38%, 2/15/2025 |
77 | 74 | ||||||
3.38%, 8/15/2025 |
80 | 77 | ||||||
3.95%, 10/15/2025 |
14 | 14 | ||||||
3.15%, 3/1/2026 |
16 | 15 | ||||||
Cox Communications, Inc. 3.50%, 8/15/2027(a) |
154 | 142 | ||||||
Discovery Communications LLC 4.38%, 6/15/2021 |
78 | 79 | ||||||
Time Warner Cable LLC 8.75%, 2/14/2019 |
35 | 35 | ||||||
|
|
|||||||
908 | ||||||||
|
|
|||||||
Metals & Mining 0.0%(c) |
||||||||
Nucor Corp. 4.00%, 8/1/2023 |
27 | 27 | ||||||
|
|
|||||||
Multiline Retail 0.0%(c) |
||||||||
Macys Retail Holdings, Inc. 6.90%, 4/1/2029 |
21 | 22 | ||||||
Nordstrom, Inc. 4.00%, 10/15/2021 |
35 | 35 | ||||||
|
|
|||||||
57 | ||||||||
|
|
|||||||
Multi-Utilities 0.6% |
||||||||
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 |
155 | 154 | ||||||
Consumers Energy Co. 5.65%, 4/15/2020 |
50 | 51 | ||||||
Dominion Energy, Inc. 2.96%, 7/1/2019(d) |
100 | 100 | ||||||
DTE Energy Co. Series B, 3.30%, 6/15/2022 |
79 | 78 | ||||||
NiSource, Inc. 3.85%, 2/15/2023 |
200 | 200 | ||||||
Sempra Energy 4.05%, 12/1/2023 |
48 | 48 | ||||||
Southern Co. Gas Capital Corp. 3.50%, 9/15/2021 |
94 | 93 | ||||||
WEC Energy Group, Inc. 3.55%, 6/15/2025 |
87 | 85 | ||||||
|
|
|||||||
809 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.4% |
||||||||
Andeavor Logistics LP 4.25%, 12/1/2027 |
27 | 25 | ||||||
Apache Corp. 3.25%, 4/15/2022 |
34 | 33 | ||||||
BP Capital Markets plc (United Kingdom) |
||||||||
3.81%, 2/10/2024 |
166 | 165 | ||||||
3.51%, 3/17/2025 |
60 | 59 | ||||||
Buckeye Partners LP |
||||||||
5.50%, 8/15/2019 |
50 | 51 | ||||||
4.88%, 2/1/2021 |
40 | 40 | ||||||
Canadian Natural Resources Ltd. (Canada) 3.90%, 2/1/2025 |
25 | 24 | ||||||
Cenovus Energy, Inc. (Canada) |
||||||||
5.70%, 10/15/2019 |
77 | 78 | ||||||
3.00%, 8/15/2022 |
21 | 20 | ||||||
Chevron Corp. 2.36%, 12/5/2022 |
40 | 38 | ||||||
CNOOC Nexen Finance 2014 ULC (China) 4.25%, 4/30/2024 |
200 | 201 | ||||||
Ecopetrol SA (Colombia) 4.13%, 1/16/2025 |
58 | 55 | ||||||
Energy Transfer Operating LP |
||||||||
3.60%, 2/1/2023 |
28 | 27 | ||||||
4.90%, 2/1/2024 |
61 | 61 | ||||||
4.05%, 3/15/2025 |
91 | 86 | ||||||
Eni SpA (Italy) 4.15%, 10/1/2020(a) |
200 | 200 | ||||||
Enterprise Products Operating LLC |
||||||||
2.80%, 2/15/2021 |
200 | 196 | ||||||
3.90%, 2/15/2024 |
49 | 49 | ||||||
3.75%, 2/15/2025 |
37 | 36 | ||||||
EOG Resources, Inc. |
||||||||
4.10%, 2/1/2021 |
100 | 101 | ||||||
2.63%, 3/15/2023 |
23 | 22 | ||||||
Gulf South Pipeline Co. LP 4.00%, 6/15/2022 |
50 | 49 | ||||||
Magellan Midstream Partners LP 6.55%, 7/15/2019 |
50 | 51 | ||||||
Marathon Petroleum Corp. 3.63%, 9/15/2024 |
67 | 64 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Oil, Gas & Consumable Fuels continued |
||||||||
MPLX LP 3.38%, 3/15/2023 |
32 | 31 | ||||||
Noble Energy, Inc. 3.85%, 1/15/2028 |
100 | 91 | ||||||
Occidental Petroleum Corp. 3.50%, 6/15/2025 |
30 | 29 | ||||||
ONEOK Partners LP |
||||||||
3.38%, 10/1/2022 |
12 | 12 | ||||||
5.00%, 9/15/2023 |
28 | 29 | ||||||
4.90%, 3/15/2025 |
200 | 202 | ||||||
Petroleos Mexicanos (Mexico) |
||||||||
6.38%, 2/4/2021 |
149 | 150 | ||||||
4.88%, 1/18/2024 |
69 | 64 | ||||||
6.88%, 8/4/2026 |
51 | 49 | ||||||
5.35%, 2/12/2028(a) |
42 | 36 | ||||||
Phillips 66 3.90%, 3/15/2028 |
70 | 66 | ||||||
Plains All American Pipeline LP 3.60%, 11/1/2024 |
100 | 94 | ||||||
Sinopec Group Overseas Development 2013 Ltd. (China) 4.38%, 10/17/2023(a) |
200 | 203 | ||||||
Spectra Energy Partners LP 3.50%, 3/15/2025 |
63 | 59 | ||||||
Sunoco Logistics Partners Operations LP 4.65%, 2/15/2022 |
180 | 182 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 |
42 | 39 | ||||||
TransCanada PipeLines Ltd. (Canada) |
||||||||
7.13%, 1/15/2019 |
30 | 30 | ||||||
3.75%, 10/16/2023 |
172 | 170 | ||||||
Williams Cos., Inc. (The) 3.90%, 1/15/2025 |
86 | 83 | ||||||
|
|
|||||||
3,350 | ||||||||
|
|
|||||||
Pharmaceuticals 0.3% |
||||||||
Allergan Funding SCS 3.45%, 3/15/2022 |
69 | 67 | ||||||
Johnson & Johnson 2.63%, 1/15/2025 |
118 | 113 | ||||||
Shire Acquisitions Investments Ireland DAC 1.90%, 9/23/2019 |
200 | 197 | ||||||
|
|
|||||||
377 | ||||||||
|
|
|||||||
Real Estate Management & Development 0.1% |
||||||||
Ontario Teachers Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022(a) |
200 | 197 | ||||||
|
|
|||||||
Road & Rail 0.9% |
||||||||
Burlington Northern Santa Fe LLC |
||||||||
4.70%, 10/1/2019 |
150 | 152 | ||||||
3.60%, 9/1/2020 |
19 | 19 | ||||||
3.45%, 9/15/2021 |
32 | 32 | ||||||
3.05%, 3/15/2022 |
43 | 43 | ||||||
Canadian Pacific Railway Co. (Canada) |
||||||||
7.25%, 5/15/2019 |
200 | 204 | ||||||
4.50%, 1/15/2022 |
55 | 56 | ||||||
CSX Corp. 3.25%, 6/1/2027 |
162 | 150 | ||||||
ERAC USA Finance LLC |
||||||||
5.25%, 10/1/2020(a) |
48 | 49 | ||||||
4.50%, 8/16/2021(a) |
27 | 28 | ||||||
Penske Truck Leasing Co. LP 4.13%, 8/1/2023(a) |
200 | 198 | ||||||
Ryder System, Inc. |
||||||||
2.50%, 5/11/2020 |
28 | 28 | ||||||
2.88%, 9/1/2020 |
86 | 85 | ||||||
Union Pacific Corp. 2.25%, 2/15/2019 |
175 | 175 | ||||||
|
|
|||||||
1,219 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.2% |
||||||||
Analog Devices, Inc. 2.95%, 1/12/2021 |
70 | 69 | ||||||
Intel Corp. 3.70%, 7/29/2025 |
130 | 129 | ||||||
QUALCOMM, Inc. 3.25%, 5/20/2027 |
94 | 86 | ||||||
|
|
|||||||
284 | ||||||||
|
|
|||||||
Software 0.5% |
||||||||
Microsoft Corp. 2.38%, 5/1/2023 |
34 | 33 | ||||||
Oracle Corp. |
||||||||
2.38%, 1/15/2019 |
350 | 350 | ||||||
2.95%, 11/15/2024 |
400 | 382 | ||||||
|
|
|||||||
765 | ||||||||
|
|
|||||||
Specialty Retail 0.4% |
||||||||
Advance Auto Parts, Inc. 4.50%, 12/1/2023 |
30 | 31 | ||||||
Home Depot, Inc. (The) 2.80%, 9/14/2027 |
150 | 139 | ||||||
Lowes Cos., Inc. 3.38%, 9/15/2025 |
200 | 194 | ||||||
OReilly Automotive, Inc. |
||||||||
3.55%, 3/15/2026 |
100 | 95 | ||||||
3.60%, 9/1/2027 |
62 | 58 | ||||||
|
|
|||||||
517 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.6% |
||||||||
Apple, Inc. |
||||||||
2.75%, 1/13/2025 |
200 | 189 | ||||||
3.35%, 2/9/2027 |
451 | 433 | ||||||
2.90%, 9/12/2027 |
199 | 184 | ||||||
|
|
|||||||
806 | ||||||||
|
|
|||||||
Tobacco 0.2% |
||||||||
BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024 |
200 | 185 | ||||||
Philip Morris International, Inc. 3.38%, 8/11/2025 |
150 | 145 | ||||||
|
|
|||||||
330 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.2% |
||||||||
Air Lease Corp. 3.63%, 12/1/2027 |
100 | 87 | ||||||
Aircastle Ltd. 4.40%, 9/25/2023 |
65 | 64 | ||||||
Aviation Capital Group LLC 3.88%, 5/1/2023(a) |
100 | 99 | ||||||
|
|
|||||||
250 | ||||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS continued |
||||||||
Water Utilities 0.1% |
||||||||
American Water Capital Corp. 3.85%, 3/1/2024 |
150 | 151 | ||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% |
||||||||
Rogers Communications, Inc. (Canada) 4.10%, 10/1/2023 |
160 | 162 | ||||||
|
|
|||||||
TOTAL CORPORATE BONDS |
47,701 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS 21.0% |
||||||||
U.S. Treasury Bonds |
||||||||
6.00%, 2/15/2026 |
516 | 619 | ||||||
U.S. Treasury Notes |
||||||||
1.25%, 8/31/2019 |
2,500 | 2,474 | ||||||
3.63%, 2/15/2020 |
3,000 | 3,029 | ||||||
1.88%, 1/31/2022 |
700 | 680 | ||||||
1.88%, 4/30/2022 |
2,000 | 1,938 | ||||||
2.25%, 1/31/2024 |
6,000 | 5,823 | ||||||
2.25%, 11/15/2024 |
250 | 241 | ||||||
2.88%, 5/31/2025 |
299 | 298 | ||||||
U.S. Treasury STRIPS Bonds |
||||||||
3.96%, 11/15/2021(e) |
1,525 | 1,403 | ||||||
2.74%, 2/15/2022(e) |
2,400 | 2,190 | ||||||
2.81%, 11/15/2022(e) |
1,300 | 1,161 | ||||||
2.72%, 5/15/2023(e) |
685 | 602 | ||||||
2.14%, 8/15/2023(e) |
3,890 | 3,400 | ||||||
2.31%, 11/15/2023(e) |
2,150 | 1,864 | ||||||
2.42%, 2/15/2024(e) |
3,000 | 2,581 | ||||||
2.21%, 5/15/2024(e) |
200 | 171 | ||||||
2.90%, 5/15/2025(e) |
200 | 165 | ||||||
2.34%, 5/15/2026(e) |
200 | 160 | ||||||
3.43%, 8/15/2026(e) |
47 | 37 | ||||||
3.63%, 11/15/2026(e) |
300 | 236 | ||||||
2.84%, 2/15/2027(e) |
100 | 78 | ||||||
3.81%, 8/15/2027(e) |
100 | 77 | ||||||
3.91%, 11/15/2027(e) |
140 | 106 | ||||||
3.00%, 2/15/2028(e) |
53 | 40 | ||||||
2.46%, 5/15/2028(e) |
10 | 8 | ||||||
3.17%, 8/15/2028(e) |
200 | 148 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS |
29,529 | |||||||
|
|
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 18.5% |
||||||||
Alternative Loan Trust |
||||||||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
885 | 915 | ||||||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
138 | 129 | ||||||
Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 |
15 | 13 | ||||||
BCAP LLC Trust Series 2010-RR7, Class 2A1, 3.65%, 7/26/2045(a)(f) |
103 | 102 | ||||||
CHL Mortgage Pass-Through Trust |
||||||||
Series 2004-HYB3, Class 2A, 3.63%, 6/20/2034(f) |
15 | 15 | ||||||
Series 2004-5, Class 1A4, 5.50%, 6/25/2034 |
32 | 32 | ||||||
Series 2005-22, Class 2A1, 4.08%, 11/25/2035(f) |
132 | 116 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
Series 2003-UP2, Class PO1, PO, 12/25/2018 |
| (g) | | (g) | ||||
Series 2003-HYB1, Class A, 4.74%, 9/25/2033(f) |
15 | 15 | ||||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
Series 2003-UST1, Class PO1, PO, 12/25/2018 |
| (g) | 1 | |||||
Series 2003-UST1, Class A1, 5.50%, 12/25/2018 |
2 | 2 | ||||||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
7 | 7 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust |
||||||||
Series 2005-3, Class 1A1, 3.57%, 6/25/2020(f) |
43 | 42 | ||||||
FHLMC - GNMA |
||||||||
Series 24, Class ZE, 6.25%, 11/25/2023 |
16 | 17 | ||||||
FHLMC REMIC |
||||||||
Series 2934, Class EC, PO, 2/15/2020 |
8 | 8 | ||||||
Series 2347, Class VP, 6.50%, 3/15/2020 |
3 | 3 | ||||||
Series 47, Class F, 10.00%, 6/15/2020 |
| (g) | | (g) | ||||
Series 2999, Class ND, 4.50%, 7/15/2020 |
27 | 27 | ||||||
Series 1807, Class G, 9.00%, 10/15/2020 |
| (g) | | (g) | ||||
Series 114, Class H, 6.95%, 1/15/2021 |
1 | 1 | ||||||
Series 85, Class C, 8.60%, 1/15/2021 |
| (g) | | (g) | ||||
Series 99, Class Z, 9.50%, 1/15/2021 |
| (g) | | (g) | ||||
Series 1084, Class F, 3.26%, 5/15/2021(f) |
| (g) | | (g) |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 1079, Class S, HB, IF, 26.16%, 5/15/2021(f) |
| (g) | | (g) | ||||
Series 1084, Class S, HB, IF, 34.85%, 5/15/2021(f) |
| (g) | | (g) | ||||
Series 1144, Class KB, 8.50%, 9/15/2021 |
2 | 2 | ||||||
Series 1172, Class L, HB, 1,181.25%, 11/15/2021(f) |
| (g) | | (g) | ||||
Series 1196, Class B, HB, IF, 1,104.54%, 1/15/2022(f) |
| (g) | | (g) | ||||
Series 1206, Class IA, 7.00%, 3/15/2022 |
1 | 1 | ||||||
Series 1250, Class J, 7.00%, 5/15/2022 |
1 | 1 | ||||||
Series 1343, Class LA, 8.00%, 8/15/2022 |
4 | 5 | ||||||
Series 2512, Class PG, 5.50%, 10/15/2022 |
68 | 70 | ||||||
Series 2535, Class BK, 5.50%, 12/15/2022 |
12 | 13 | ||||||
Series 1470, Class F, 2.02%, 2/15/2023(f) |
| (g) | | (g) | ||||
Series 2568, Class KG, 5.50%, 2/15/2023 |
101 | 104 | ||||||
Series 1466, Class PZ, 7.50%, 2/15/2023 |
19 | 20 | ||||||
Series 1491, Class I, 7.50%, 4/15/2023 |
8 | 8 | ||||||
Series 1798, Class F, 5.00%, 5/15/2023 |
8 | 8 | ||||||
Series 1518, Class G, IF, 6.53%, 5/15/2023(f) |
7 | 8 | ||||||
Series 1541, Class O, 2.44%, 7/15/2023(f) |
7 | 7 | ||||||
Series 1608, Class L, 6.50%, 9/15/2023 |
23 | 25 | ||||||
Series 1602, Class SA, IF, 15.25%, 10/15/2023(f) |
3 | 3 | ||||||
Series 2283, Class K, 6.50%, 12/15/2023 |
10 | 11 | ||||||
Series 1700, Class GA, PO, 2/15/2024 |
3 | 3 | ||||||
Series 1671, Class L, 7.00%, 2/15/2024 |
4 | 4 | ||||||
Series 1706, Class K, 7.00%, 3/15/2024 |
42 | 44 | ||||||
Series 2033, Class SN, HB, IF, 26.86%, 3/15/2024(f) |
2 | | (g) | |||||
Series 1720, Class PL, 7.50%, 4/15/2024 |
125 | 133 | ||||||
Series 2306, Class K, PO, 5/15/2024 |
5 | 4 | ||||||
Series 2306, Class SE, IF, IO, 7.46%, 5/15/2024(f) |
11 | 2 | ||||||
Series 1745, Class D, 7.50%, 8/15/2024 |
7 | 7 | ||||||
Series 1927, Class PH, 7.50%, 1/15/2027 |
51 | 56 | ||||||
Series 1981, Class Z, 6.00%, 5/15/2027 |
21 | 22 | ||||||
Series 1987, Class PE, 7.50%, 9/15/2027 |
8 | 9 | ||||||
Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
9 | 2 | ||||||
Series 2040, Class PE, 7.50%, 3/15/2028 |
46 | 52 | ||||||
Series 2063, Class PG, 6.50%, 6/15/2028 |
47 | 51 | ||||||
Series 2064, Class TE, 7.00%, 6/15/2028 |
6 | 6 | ||||||
Series 2075, Class PM, 6.25%, 8/15/2028 |
32 | 34 | ||||||
Series 2075, Class PH, 6.50%, 8/15/2028 |
33 | 36 | ||||||
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
10 | 1 | ||||||
Series 2125, Class JZ, 6.00%, 2/15/2029 |
20 | 22 | ||||||
Series 2169, Class TB, 7.00%, 6/15/2029 |
93 | 102 | ||||||
Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
5 | 1 | ||||||
Series 2172, Class QC, 7.00%, 7/15/2029 |
37 | 41 | ||||||
Series 2196, Class TL, 7.50%, 11/15/2029 |
| (g) | | (g) | ||||
Series 2201, Class C, 8.00%, 11/15/2029 |
17 | 19 | ||||||
Series 2210, Class Z, 8.00%, 1/15/2030 |
44 | 50 | ||||||
Series 2224, Class CB, 8.00%, 3/15/2030 |
13 | 15 | ||||||
Series 2256, Class MC, 7.25%, 9/15/2030 |
24 | 27 | ||||||
Series 2259, Class ZM, 7.00%, 10/15/2030 |
22 | 25 | ||||||
Series 2271, Class PC, 7.25%, 12/15/2030 |
22 | 25 | ||||||
Series 2296, Class PD, 7.00%, 3/15/2031 |
12 | 13 | ||||||
Series 2333, Class HC, 6.00%, 7/15/2031 |
25 | 27 | ||||||
Series 2344, Class ZD, 6.50%, 8/15/2031 |
215 | 244 | ||||||
Series 2344, Class ZJ, 6.50%, 8/15/2031 |
27 | 29 | ||||||
Series 2345, Class NE, 6.50%, 8/15/2031 |
17 | 18 | ||||||
Series 2351, Class PZ, 6.50%, 8/15/2031 |
22 | 24 | ||||||
Series 2410, Class QX, IF, IO, 6.34%, 2/15/2032(f) |
13 | 2 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 2410, Class OE, 6.38%, 2/15/2032 |
26 | 28 | ||||||
Series 2410, Class NG, 6.50%, 2/15/2032 |
17 | 19 | ||||||
Series 2412, Class SP, IF, 11.49%, 2/15/2032(f) |
46 | 53 | ||||||
Series 2444, Class ES, IF, IO, 5.64%, 3/15/2032(f) |
30 | 5 | ||||||
Series 2450, Class SW, IF, IO, 5.69%, 3/15/2032(f) |
12 | 2 | ||||||
Series 2423, Class MC, 7.00%, 3/15/2032 |
14 | 15 | ||||||
Series 2423, Class MT, 7.00%, 3/15/2032 |
27 | 30 | ||||||
Series 2435, Class CJ, 6.50%, 4/15/2032 |
104 | 114 | ||||||
Series 2441, Class GF, 6.50%, 4/15/2032 |
30 | 33 | ||||||
Series 2455, Class GK, 6.50%, 5/15/2032 |
38 | 42 | ||||||
Series 2450, Class GZ, 7.00%, 5/15/2032 |
40 | 45 | ||||||
Series 2466, Class DH, 6.50%, 6/15/2032 |
57 | 63 | ||||||
Series 2474, Class NR, 6.50%, 7/15/2032 |
33 | 37 | ||||||
Series 2484, Class LZ, 6.50%, 7/15/2032 |
56 | 63 | ||||||
Series 2500, Class MC, 6.00%, 9/15/2032 |
50 | 54 | ||||||
Series 2543, Class YX, 6.00%, 12/15/2032 |
108 | 118 | ||||||
Series 2575, Class ME, 6.00%, 2/15/2033 |
201 | 218 | ||||||
Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
17 | 4 | ||||||
Series 2990, Class SL, IF, 16.04%, 6/15/2034(f) |
37 | 41 | ||||||
Series 3611, PO, 7/15/2034 |
26 | 21 | ||||||
Series 2990, Class UZ, 5.75%, 6/15/2035 |
645 | 704 | ||||||
Series 3117, Class EO, PO, 2/15/2036 |
62 | 52 | ||||||
Series 3117, Class OK, PO, 2/15/2036 |
7 | 6 | ||||||
Series 3122, Class OH, PO, 3/15/2036 |
69 | 60 | ||||||
Series 3152, Class MO, PO, 3/15/2036 |
150 | 126 | ||||||
Series 3607, Class AO, PO, 4/15/2036 |
38 | 31 | ||||||
Series 3137, Class XP, 6.00%, 4/15/2036 |
92 | 101 | ||||||
Series 3819, Class ZQ, 6.00%, 4/15/2036 |
254 | 280 | ||||||
Series 3149, Class SO, PO, 5/15/2036 |
6 | 5 | ||||||
Series 3171, Class MO, PO, 6/15/2036 |
47 | 42 | ||||||
Series 3179, Class OA, PO, 7/15/2036 |
23 | 20 | ||||||
Series 3202, Class HI, IF, IO, 4.34%, 8/15/2036(f) |
206 | 26 | ||||||
Series 3232, Class ST, IF, IO, 4.39%, 10/15/2036(f) |
40 | 5 | ||||||
Series 3417, Class EO, PO, 11/15/2036 |
367 | 326 | ||||||
Series 3316, Class JO, PO, 5/15/2037 |
7 | 6 | ||||||
Series 3607, Class OP, PO, 7/15/2037 |
171 | 145 | ||||||
Series 3481, Class SJ, IF, IO, 3.54%, 8/15/2038(f) |
108 | 11 | ||||||
Series 3680, Class MA, 4.50%, 7/15/2039 |
242 | 249 | ||||||
Series 4219, Class JA, 3.50%, 8/15/2039 |
428 | 430 | ||||||
Series 3997, Class PF, 2.76%, 11/15/2039(f) |
56 | 57 | ||||||
Series 4374, Class NC, 3.75%, 2/15/2046(d) |
332 | 334 | ||||||
FHLMC STRIPS |
|
|||||||
Series 243, Class 16, IO, 4.50%, 11/15/2020 |
1 | | (g) | |||||
Series 262, Class 35, 3.50%, 7/15/2042 |
520 | 515 | ||||||
FHLMC Structured Pass-Through Securities Certificates |
|
|||||||
Series T-41, Class 3A, 5.51%, 7/25/2032(f) |
26 | 28 | ||||||
Series T-76, Class 2A, 2.49%, 10/25/2037(f) |
132 | 136 | ||||||
Series T-51, Class 2A, 7.50%, 8/25/2042(f) |
23 | 27 | ||||||
Series T-54, Class 2A, 6.50%, 2/25/2043 |
226 | 254 | ||||||
Series T-54, Class 3A, 7.00%, 2/25/2043 |
74 | 83 | ||||||
Series T-56, Class A5, 5.23%, 5/25/2043 |
565 | 585 | ||||||
Series T-58, Class APO, PO, 9/25/2043 |
17 | 13 | ||||||
First Horizon Mortgage Pass-Through Trust |
|
|||||||
Series 2004-AR7, Class 2A2, 3.71%, 2/25/2035(f) |
41 | 41 | ||||||
Series 2005-AR1, Class 2A2, 3.96%, 4/25/2035(f) |
32 | 32 | ||||||
FN 3.88%, 10/1/2028(h) |
300 | 301 | ||||||
3.88%, 1/25/2029(h) |
150 | 150 | ||||||
FNMA REMIC |
|
|||||||
Series 1989-70, Class G, 8.00%, 10/25/2019 |
| (g) | | (g) |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 1989-83, Class H, 8.50%, 11/25/2019 |
| (g) | | (g) | ||||
Series 1989-89, Class H, 9.00%, 11/25/2019 |
| (g) | | (g) | ||||
Series 1989-78, Class H, 9.40%, 11/25/2019 |
| (g) | | (g) | ||||
Series 1990-7, Class B, 8.50%, 1/25/2020 |
| (g) | | (g) | ||||
Series 1990-1, Class D, 8.80%, 1/25/2020 |
| (g) | | (g) | ||||
Series 1990-60, Class K, 5.50%, 6/25/2020 |
| (g) | | (g) | ||||
Series 1990-63, Class H, 9.50%, 6/25/2020 |
| (g) | | (g) | ||||
Series 1990-93, Class G, 5.50%, 8/25/2020 |
| (g) | | (g) | ||||
Series 1990-102, Class J, 6.50%, 8/25/2020 |
2 | 2 | ||||||
Series 1990-94, Class H, HB, 505.00%, 8/25/2020 |
| (g) | | (g) | ||||
Series 1990-95, Class J, HB, 1,118.04%, 8/25/2020 |
| (g) | | (g) | ||||
Series 1990-120, Class H, 9.00%, 10/25/2020 |
| (g) | | (g) | ||||
Series 1990-134, Class SC, IF, 18.13%, 11/25/2020(f) |
| (g) | | (g) | ||||
Series 1990-140, Class K, HB, 652.15%, 12/25/2020 |
| (g) | | (g) | ||||
Series 2001-4, Class PC, 7.00%, 3/25/2021 |
6 | 6 | ||||||
Series 1991-42, Class S, IF, 13.62%, 5/25/2021(f) |
| (g) | | (g) | ||||
Series G-14, Class L, 8.50%, 6/25/2021 |
| (g) | | (g) | ||||
Series G-18, Class Z, 8.75%, 6/25/2021 |
1 | 1 | ||||||
Series 2001-48, Class Z, 6.50%, 9/25/2021 |
31 | 32 | ||||||
Series G-35, Class M, 8.75%, 10/25/2021 |
1 | 1 | ||||||
Series 2002-1, Class HC, 6.50%, 2/25/2022 |
12 | 12 | ||||||
Series 1992-107, Class SB, HB, IF, 23.24%, 6/25/2022(f) |
9 | 11 | ||||||
Series G92-42, Class Z, 7.00%, 7/25/2022 |
| (g) | 1 | |||||
Series G92-35, Class E, 7.50%, 7/25/2022 |
9 | 9 | ||||||
Series G92-44, Class ZQ, 8.00%, 7/25/2022 |
| (g) | | (g) | ||||
Series 1996-59, Class J, 6.50%, 8/25/2022 |
3 | 3 | ||||||
Series 1992-143, Class MA, 5.50%, 9/25/2022 |
1 | 1 | ||||||
Series G92-54, Class ZQ, 7.50%, 9/25/2022 |
5 | 5 | ||||||
Series G93-5, Class Z, 6.50%, 2/25/2023 |
3 | 3 | ||||||
Series 1993-37, Class PX, 7.00%, 3/25/2023 |
43 | 45 | ||||||
Series 1993-25, Class J, 7.50%, 3/25/2023 |
6 | 7 | ||||||
Series 1998-4, Class C, PO, 4/25/2023 |
1 | 1 | ||||||
Series 1998-43, Class EA, PO, 4/25/2023 |
68 | 64 | ||||||
Series 1993-54, Class Z, 7.00%, 4/25/2023 |
14 | 14 | ||||||
Series 1993-62, Class SA, IF, 18.16%, 4/25/2023(f) |
3 | 3 | ||||||
Series 2003-83, Class PG, 5.00%, 6/25/2023 |
1 | 1 | ||||||
Series 1993-122, Class M, 6.50%, 7/25/2023 |
4 | 4 | ||||||
Series 1996-14, Class SE, IF, IO, 7.61%, 8/25/2023(f) |
28 | 4 | ||||||
Series 1993-178, Class PK, 6.50%, 9/25/2023 |
7 | 7 | ||||||
Series 1993-165, Class SD, IF, 12.70%, 9/25/2023(f) |
2 | 2 | ||||||
Series 1993-183, Class KA, 6.50%, 10/25/2023 |
100 | 105 | ||||||
Series 1993-189, Class PL, 6.50%, 10/25/2023 |
40 | 42 | ||||||
Series 1994-9, Class E, PO, 11/25/2023 |
1 | 1 | ||||||
Series 1993-247, Class SA, HB, IF, 26.50%, 12/25/2023(f) |
10 | 12 | ||||||
Series G95-1, Class C, 8.80%, 1/25/2025 |
5 | 5 | ||||||
Series 2005-121, Class DX, 5.50%, 1/25/2026 |
254 | 268 | ||||||
Series 1997-20, IO, 1.84%, 3/25/2027(f) |
9 | | (g) | |||||
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027(f) |
10 | | (g) | |||||
Series 1997-27, Class J, 7.50%, 4/18/2027 |
9 | 10 | ||||||
Series 1997-29, Class J, 7.50%, 4/20/2027 |
12 | 13 | ||||||
Series 1997-39, Class PD, 7.50%, 5/20/2027 |
27 | 31 | ||||||
Series 2012-47, Class HF, 2.72%, 5/25/2027(f) |
125 | 125 | ||||||
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
7 | 1 | ||||||
Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
6 | 6 | ||||||
Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
55 | 61 | ||||||
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
32 | 7 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 2001-36, Class DE, 7.00%, 8/25/2031 |
44 | 49 | ||||||
Series 2001-49, Class Z, 6.50%, 9/25/2031 |
8 | 9 | ||||||
Series 2001-44, Class PD, 7.00%, 9/25/2031 |
9 | 10 | ||||||
Series 2003-52, Class SX, IF, 16.00%, 10/25/2031(f) |
12 | 15 | ||||||
Series 2004-74, Class SW, IF, 10.90%, 11/25/2031(f) |
28 | 34 | ||||||
Series 2001-81, Class LO, PO, 1/25/2032 |
6 | 5 | ||||||
Series 2002-1, Class SA, IF, 17.66%, 2/25/2032(f) |
4 | 5 | ||||||
Series 2002-21, Class PE, 6.50%, 4/25/2032 |
23 | 25 | ||||||
Series 2002-28, Class PK, 6.50%, 5/25/2032 |
23 | 26 | ||||||
Series 2002-37, Class Z, 6.50%, 6/25/2032 |
28 | 31 | ||||||
Series 2004-61, Class SH, IF, 14.73%, 11/25/2032(f) |
33 | 41 | ||||||
Series 2003-22, Class UD, 4.00%, 4/25/2033 |
101 | 103 | ||||||
Series 2003-34, Class GE, 6.00%, 5/25/2033 |
232 | 246 | ||||||
Series 2003-39, IO, 6.00%, 5/25/2033(f) |
6 | 1 | ||||||
Series 2003-47, Class PE, 5.75%, 6/25/2033 |
97 | 105 | ||||||
Series 2003-64, Class SX, IF, 8.00%, 7/25/2033(f) |
13 | 14 | ||||||
Series 2003-71, Class DS, IF, 4.40%, 8/25/2033(f) |
88 | 85 | ||||||
Series 2005-56, Class TP, IF, 11.20%, 8/25/2033(f) |
68 | 73 | ||||||
Series 2003-91, Class SD, IF, 8.64%, 9/25/2033(f) |
9 | 9 | ||||||
Series 2003-116, Class SB, IF, IO, 5.28%, 11/25/2033(f) |
83 | 13 | ||||||
Series 2006-44, Class P, PO, 12/25/2033 |
30 | 25 | ||||||
Series 2004-25, Class PC, 5.50%, 1/25/2034 |
7 | 7 | ||||||
Series 2003-130, Class SX, IF, 8.05%, 1/25/2034(f) |
5 | 5 | ||||||
Series 2004-36, Class PC, 5.50%, 2/25/2034 |
5 | 5 | ||||||
Series 2004-25, Class SA, IF, 13.16%, 4/25/2034(f) |
45 | 55 | ||||||
Series 2004-46, Class SK, IF, 10.13%, 5/25/2034(f) |
31 | 35 | ||||||
Series 2004-36, Class SA, IF, 13.16%, 5/25/2034(f) |
60 | 77 | ||||||
Series 2004-50, Class VZ, 5.50%, 7/25/2034 |
358 | 378 | ||||||
Series 2005-74, Class CS, IF, 13.65%, 5/25/2035(f) |
40 | 46 | ||||||
Series 2005-52, Class PA, 6.50%, 6/25/2035 |
| (g) | | (g) | ||||
Series 2005-45, Class DC, IF, 15.82%, 6/25/2035(f) |
60 | 72 | ||||||
Series 2005-56, Class S, IF, IO, 4.39%, 7/25/2035(f) |
44 | 5 | ||||||
Series 2005-68, Class PG, 5.50%, 8/25/2035 |
236 | 251 | ||||||
Series 2005-73, Class PS, IF, 10.91%, 8/25/2035(f) |
104 | 119 | ||||||
Series 2005-106, Class US, IF, 16.08%, 11/25/2035(f) |
78 | 99 | ||||||
Series 2006-27, Class OH, PO, 4/25/2036 |
67 | 59 | ||||||
Series 2006-65, Class QO, PO, 7/25/2036 |
29 | 25 | ||||||
Series 2006-56, Class FC, 2.61%, 7/25/2036(f) |
189 | 188 | ||||||
Series 2006-72, Class GO, PO, 8/25/2036 |
44 | 38 | ||||||
Series 2006-79, Class DO, PO, 8/25/2036 |
35 | 30 | ||||||
Series 2006-77, Class PC, 6.50%, 8/25/2036 |
75 | 82 | ||||||
Series 2006-110, PO, 11/25/2036 |
54 | 45 | ||||||
Series 2006-124, Class HB, 4.32%, 11/25/2036(f) |
77 | 80 | ||||||
Series 2007-14, Class ES, IF, IO, 4.12%, 3/25/2037(f) |
40 | 5 | ||||||
Series 2007-81, Class GE, 6.00%, 8/25/2037 |
116 | 123 | ||||||
Series 2007-79, Class SB, IF, 15.53%, 8/25/2037(f) |
35 | 46 | ||||||
Series 2007-88, Class VI, IF, IO, 4.22%, 9/25/2037(f) |
101 | 16 | ||||||
Series 2007-91, Class ES, IF, IO, 4.14%, 10/25/2037(f) |
285 | 32 | ||||||
Series 2007-106, Class A7, 6.07%, 10/25/2037(f) |
39 | 41 | ||||||
Series 2007-116, Class HI, IO, 1.22%, 1/25/2038(f) |
57 | 2 | ||||||
Series 2008-16, Class IS, IF, IO, 3.88%, 3/25/2038(f) |
12 | 2 | ||||||
Series 2008-10, Class XI, IF, IO, 3.91%, 3/25/2038(f) |
22 | 2 | ||||||
Series 2008-28, Class QS, IF, 13.75%, 4/25/2038(f) |
32 | 37 | ||||||
Series 2008-46, Class HI, IO, 1.46%, 6/25/2038(f) |
63 | 3 | ||||||
Series 2009-69, PO, 9/25/2039 |
51 | 46 | ||||||
Series 2009-103, Class MB, 4.29%, 12/25/2039(f) |
71 | 76 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
169 | 184 | ||||||
Series 2011-118, Class MT, 7.00%, 11/25/2041 |
195 | 221 | ||||||
Series 2011-118, Class NT, 7.00%, 11/25/2041 |
179 | 200 | ||||||
Series 2013-101, Class DO, PO, 10/25/2043 |
304 | 229 | ||||||
Series 2013-128, PO, 12/25/2043 |
287 | 225 | ||||||
FNMA REMIC Trust |
|
|||||||
Series 2007-W7, Class 1A4, HB, IF, 25.29%, 7/25/2037(f) |
9 | 14 | ||||||
Series 2003-W4, Class 2A, 6.50%, 10/25/2042(f) |
17 | 19 | ||||||
Series 2003-W1, Class 1A1, 5.39%, 12/25/2042(f) |
88 | 91 | ||||||
FNMA STRIPS |
|
|||||||
Series 218, Class 2, IO, 7.50%, 4/25/2023 |
1 | | (g) | |||||
Series 300, Class 1, PO, 9/25/2024 |
25 | 23 | ||||||
Series 329, Class 1, PO, 1/25/2033 |
6 | 5 | ||||||
FNMA Trust |
|
|||||||
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
34 | 38 | ||||||
Series 2005-W3, Class 2AF, 2.54%, 3/25/2045(f) |
110 | 110 | ||||||
GNMA |
|
|||||||
Series 1994-7, Class PQ, 6.50%, 10/16/2024 |
65 | 68 | ||||||
Series 1999-30, Class S, IF, IO, 6.29%, 8/16/2029(f) |
11 | | (g) | |||||
Series 2002-31, Class S, IF, IO, 6.39%, 1/16/2031(f) |
20 | 3 | ||||||
Series 2002-47, Class PG, 6.50%, 7/16/2032 |
46 | 51 | ||||||
Series 2002-47, Class PY, 6.00%, 7/20/2032 |
54 | 59 | ||||||
Series 2002-47, Class ZA, 6.50%, 7/20/2032 |
59 | 65 | ||||||
Series 2010-14, Class AO, PO, 12/20/2032 |
28 | 27 | ||||||
Series 2003-24, PO, 3/16/2033 |
9 | 8 | ||||||
Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
201 | 221 | ||||||
Series 2003-52, Class AP, PO, 6/16/2033 |
49 | 41 | ||||||
Series 2004-28, Class S, IF, 13.31%, 4/16/2034(f) |
14 | 18 | ||||||
Series 2004-73, Class AE, IF, 10.09%, 8/17/2034(f) |
15 | 16 | ||||||
Series 2004-71, Class SB, IF, 18.17%, 9/20/2034(f) |
26 | 35 | ||||||
Series 2004-90, Class SI, IF, IO, 3.80%, 10/20/2034(f) |
150 | 18 | ||||||
Series 2005-68, Class DP, IF, 10.87%, 6/17/2035(f) |
35 | 38 | ||||||
Series 2005-68, Class KI, IF, IO, 4.00%, 9/20/2035(f) |
277 | 33 | ||||||
Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
446 | 491 | ||||||
Series 2006-59, Class SD, IF, IO, 4.40%, 10/20/2036(f) |
31 | 5 | ||||||
Series 2007-17, Class JI, IF, IO, 4.50%, 4/16/2037(f) |
111 | 16 | ||||||
Series 2007-27, Class SA, IF, IO, 3.90%, 5/20/2037(f) |
141 | 14 | ||||||
Series 2007-45, Class QA, IF, IO, 4.34%, 7/20/2037(f) |
121 | 13 | ||||||
Series 2007-40, Class SB, IF, IO, 4.45%, 7/20/2037(f) |
197 | 25 | ||||||
Series 2007-50, Class AI, IF, IO, 4.47%, 8/20/2037(f) |
107 | 11 | ||||||
Series 2007-53, Class ES, IF, IO, 4.25%, 9/20/2037(f) |
31 | 4 | ||||||
Series 2007-53, Class SW, IF, 13.30%, 9/20/2037(f) |
27 | 31 | ||||||
Series 2009-79, Class OK, PO, 11/16/2037 |
106 | 91 | ||||||
Series 2007-76, Class SA, IF, IO, 4.23%, 11/20/2037(f) |
62 | 7 | ||||||
Series 2007-72, Class US, IF, IO, 4.25%, 11/20/2037(f) |
61 | 7 | ||||||
Series 2009-106, Class ST, IF, IO, 3.70%, 2/20/2038(f) |
215 | 23 | ||||||
Series 2008-33, Class XS, IF, IO, 5.39%, 4/16/2038(f) |
40 | 6 | ||||||
Series 2008-40, Class SA, IF, IO, 4.09%, 5/16/2038(f) |
126 | 16 | ||||||
Series 2008-55, Class SA, IF, IO, 3.90%, 6/20/2038(f) |
77 | 7 | ||||||
Series 2008-50, Class KB, 6.00%, 6/20/2038 |
152 | 169 | ||||||
Series 2008-93, Class AS, IF, IO, 3.40%, 12/20/2038(f) |
84 | 7 | ||||||
Series 2009-6, Class SA, IF, IO, 3.79%, 2/16/2039(f) |
26 | 3 | ||||||
Series 2009-31, Class TS, IF, IO, 4.00%, 3/20/2039(f) |
92 | 6 | ||||||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
38 | 10 | ||||||
Series 2009-22, Class SA, IF, IO, 3.97%, 4/20/2039(f) |
113 | 10 | ||||||
Series 2009-92, Class ZC, 5.00%, 10/20/2039 |
671 | 729 | ||||||
Series 2011-137, Class WA, 5.56%, 7/20/2040(f) |
257 | 280 | ||||||
Series 2010-105, Class B, 5.00%, 8/20/2040 |
904 | 961 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 2010-130, Class CP, 7.00%, 10/16/2040 |
71 | 80 | ||||||
Series 2013-91, Class WA, 4.49%, 4/20/2043(f) |
497 | 505 | ||||||
Series 2012-H24, Class FA, 2.72%, 3/20/2060(f) |
5 | 5 | ||||||
Series 2013-H03, Class FA, 2.57%, 8/20/2060(f) |
7 | 7 | ||||||
Series 2012-H21, Class DF, 2.92%, 5/20/2061(f) |
22 | 22 | ||||||
Series 2012-H26, Class MA, 2.82%, 7/20/2062(f) |
20 | 20 | ||||||
Series 2012-H29, Class FA, 2.79%, 10/20/2062(f) |
600 | 601 | ||||||
Series 2014-H15, Class FA, 2.77%, 7/20/2064(f) |
673 | 676 | ||||||
Series 2014-H17, Class FC, 2.77%, 7/20/2064(f) |
609 | 611 | ||||||
Series 2015-H15, Class FJ, 2.71%, 6/20/2065(f) |
615 | 616 | ||||||
Series 2015-H18, Class FA, 2.72%, 6/20/2065(f) |
525 | 525 | ||||||
Series 2015-H20, Class FA, 2.74%, 8/20/2065(f) |
571 | 572 | ||||||
Series 2015-H26, Class FG, 2.79%, 10/20/2065(f) |
668 | 671 | ||||||
GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 |
83 | 95 | ||||||
Impac Secured Assets CMN Owner Trust Series 2002-2, Class APO, PO, 4/25/2033 |
39 | 27 | ||||||
JP Morgan Mortgage Trust |
|
|||||||
Series 2003-A1, Class 1A1, 4.12%, 10/25/2033(f) |
202 | 204 | ||||||
Series 2006-A2, Class 5A3, 4.61%, 11/25/2033(f) |
69 | 70 | ||||||
Series 2006-A2, Class 4A1, 4.48%, 8/25/2034(f) |
22 | 22 | ||||||
MASTR Adjustable Rate Mortgages Trust |
|
|||||||
Series 2004-13, Class 2A1, 4.66%, 4/21/2034(f) |
61 | 63 | ||||||
Series 2004-3, Class 4A2, 3.67%, 4/25/2034(f) |
18 | 16 | ||||||
MASTR Alternative Loan Trust |
|
|||||||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
2 | 2 | ||||||
Series 2005-6, Class 3A1, 5.50%, 11/25/2020 |
32 | 31 | ||||||
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
152 | 156 | ||||||
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
106 | 108 | ||||||
Series 2004-7, Class 30PO, PO, 8/25/2034 |
11 | 9 | ||||||
MASTR Asset Securitization Trust Series 2004-8, PO, 8/25/2019 |
| (g) | | (g) | ||||
MASTR Resecuritization Trust Series 2005-PO, Class 3PO, PO, 5/28/2035(a) |
11 | 9 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
Series 2003-E, Class A1, 2.93%, 10/25/2028(f) |
130 | 130 | ||||||
Series 2004-A, Class A1, 2.77%, 4/25/2029(f) |
41 | 40 | ||||||
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034(a)(f) |
40 | 39 | ||||||
NCUA Guaranteed Notes Trust Series 2010-R3, Class 3A, 2.40%, 12/8/2020 |
24 | 24 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
||||||||
Series 2003-A1, Class A5, 7.00%, 4/25/2033 |
7 | 7 | ||||||
Series 2003-A1, Class A1, 5.50%, 5/25/2033 |
7 | 7 | ||||||
Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
18 | 18 | ||||||
RALI Trust |
|
|||||||
Series 2002-QS8, Class A5, 6.25%, 6/25/2017 |
2 | 2 | ||||||
Series 2002-QS16, Class A3, IF, 11.78%, 10/25/2017(f) |
| (g) | | (g) | ||||
Series 2003-QS3, Class A2, IF, 11.41%, 2/25/2018(f) |
| (g) | | (g) | ||||
Series 2003-QS9, Class A3, IF, IO, 5.24%, 5/25/2018(f) |
1 | | (g) | |||||
Series 2004-QS3, Class CB, 5.00%, 3/25/2019 |
5 | 5 | ||||||
Reperforming Loan REMIC Trust Series 2005-R1, Class 2APO, PO, 3/25/2035(a) |
57 | 48 | ||||||
Residential Asset Securitization Trust Series 2003-A14, Class A1, 4.75%, 2/25/2019 |
1 | 1 | ||||||
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 |
500 | 493 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-33H, Class 1A1, 5.50%, 10/25/2033 |
52 | 53 | ||||||
Vendee Mortgage Trust |
|
|||||||
Series 1993-1, Class ZB, 7.25%, 2/15/2023 |
169 | 180 | ||||||
Series 1994-1, Class 1, 5.30%, 2/15/2024(f) |
107 | 111 | ||||||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
161 | 175 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS continued |
||||||||
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
53 | 58 | ||||||
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
227 | 248 | ||||||
Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
53 | 59 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
|
|||||||
Series 2003-AR5, Class A7, 4.08%, 6/25/2033(f) |
52 | 53 | ||||||
Series 2004-AR3, Class A2, 3.96%, 6/25/2034(f) |
30 | 31 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |
|
|||||||
Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
135 | 130 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Trust |
|
|||||||
Series 2003-MS2, Class 1A1, 5.75%, 2/25/2033 |
5 | 5 | ||||||
Series 2003-MS7, Class P, PO, 3/25/2033 |
1 | 1 | ||||||
Wells Fargo Mortgage-Backed Securities Trust |
|
|||||||
Series 2003-K, Class 1A1, 4.69%, 11/25/2033(f) |
21 | 21 | ||||||
Series 2004-P, Class 2A1, 4.64%, 9/25/2034(f) |
96 | 98 | ||||||
Series 2004-EE, Class 3A1, 4.53%, 12/25/2034(f) |
34 | 36 | ||||||
Series 2005-AR3, Class 1A1, 4.46%, 3/25/2035(f) |
148 | 152 | ||||||
|
|
|||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
25,999 | ||||||
|
|
|||||||
MORTGAGE-BACKED SECURITIES10.3% |
| |||||||
FHLMC |
|
|||||||
Pool # 785618, ARM, 4.25%, 7/1/2026(f) |
9 | 9 | ||||||
Pool # 611141, ARM, 3.69%, 1/1/2027(f) |
15 | 16 | ||||||
Pool # 1B2656, ARM, 4.51%, 12/1/2034(f) |
70 | 74 | ||||||
Pool # 1G2557, ARM, 4.32%, 6/1/2036(f) |
97 | 103 | ||||||
Pool # 1A1085, ARM, 4.19%, 8/1/2036(f) |
86 | 89 | ||||||
Pool # 1B7242, ARM, 4.27%, 9/1/2036(f) |
55 | 58 | ||||||
Pool # 1Q0105, ARM, 4.48%, 9/1/2036(f) |
40 | 42 | ||||||
Pool # 1Q0737, ARM, 4.48%, 11/1/2036(f) |
37 | 39 | ||||||
Pool # 1N1511, ARM, 4.16%, 1/1/2037(f) |
37 | 39 | ||||||
Pool # 1J1543, ARM, 4.31%, 2/1/2037(f) |
30 | 31 | ||||||
Pool # 1Q0739, ARM, 4.38%, 3/1/2037(f) |
52 | 54 | ||||||
Pool # 1Q0722, ARM, 4.07%, 4/1/2038(f) |
35 | 37 | ||||||
FHLMC Gold Pools, 15 Year, Single Family |
|
|||||||
Pool # G12251, 4.00%, 6/1/2019 |
3 | 2 | ||||||
Pool # G12825, 6.50%, 3/1/2022 |
11 | 11 | ||||||
FHLMC Gold Pools, 20 Year, Single Family |
|
|||||||
Pool # C90985, 6.50%, 8/1/2026 |
11 | 11 | ||||||
FHLMC Gold Pools, 30 Year, Single Family |
|
|||||||
Pool # A01047, 8.00%, 7/1/2020 |
| (g) | | (g) | ||||
Pool # G00245, 8.00%, 8/1/2024 |
1 | 2 | ||||||
Pool # C00376, 8.00%, 11/1/2024 |
1 | 1 | ||||||
Pool # C00414, 7.50%, 8/1/2025 |
3 | 3 | ||||||
Pool # C00452, 7.00%, 4/1/2026 |
3 | 3 | ||||||
Pool # G00981, 8.50%, 7/1/2028 |
7 | 8 | ||||||
Pool # A17537, 6.00%, 1/1/2034 |
29 | 32 | ||||||
Pool # G02682, 7.00%, 2/1/2037 |
24 | 27 | ||||||
Pool # Q58054, 4.50%, 11/1/2046 |
392 | 405 | ||||||
FHLMC Gold Pools, FHA/VA |
|
|||||||
Pool # G20027, 10.00%, 10/1/2030 |
24 | 25 | ||||||
FHLMC Gold Pools, Other |
|
|||||||
Pool # L10151, 6.00%, 2/1/2033 |
17 | 18 | ||||||
Pool # U80336, 3.50%, 5/1/2033 |
550 | 548 | ||||||
Pool # U90690, 3.50%, 6/1/2042 |
262 | 258 | ||||||
Pool # U90975, 4.00%, 6/1/2042 |
259 | 263 | ||||||
Pool # U91427, 3.50%, 5/1/2043 |
620 | 610 | ||||||
FNMA |
|
|||||||
Pool # 116612, ARM, 3.62%, 3/1/2019(f) |
| (g) | | (g) | ||||
Pool # 54844, ARM, 2.69%, 9/1/2027(f) |
3 | 3 | ||||||
Pool # 303532, ARM, 4.02%, 3/1/2029(f) |
2 | 2 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
MORTGAGE-BACKED SECURITIES continued |
| |||||||
Pool # 745446, ARM, 4.05%, 4/1/2033(f) |
48 | 51 | ||||||
Pool # 746299, ARM, 4.69%, 9/1/2033(f) |
62 | 66 | ||||||
Pool # 743546, ARM, 4.39%, 11/1/2033(f) |
47 | 49 | ||||||
Pool # 735332, ARM, 4.23%, 8/1/2034(f) |
69 | 73 | ||||||
Pool # 790964, ARM, 4.34%, 9/1/2034(f) |
63 | 66 | ||||||
Pool # 896463, ARM, 4.62%, 10/1/2034(f) |
63 | 67 | ||||||
Pool # 816361, ARM, 3.69%, 1/1/2035(f) |
102 | 107 | ||||||
Pool # 810896, ARM, 4.06%, 1/1/2035(f) |
50 | 51 | ||||||
Pool # 816597, ARM, 3.48%, 2/1/2035(f) |
36 | 38 | ||||||
Pool # 816594, ARM, 4.04%, 2/1/2035(f) |
52 | 53 | ||||||
Pool # 745862, ARM, 4.19%, 4/1/2035(f) |
45 | 48 | ||||||
Pool # 838972, ARM, 4.14%, 8/1/2035(f) |
9 | 9 | ||||||
Pool # 843026, ARM, 4.03%, 9/1/2035(f) |
88 | 91 | ||||||
Pool # 832801, ARM, 4.36%, 9/1/2035(f) |
68 | 72 | ||||||
Pool # 920340, ARM, 5.00%, 2/1/2036(f) |
43 | 45 | ||||||
Pool # 886558, ARM, 4.60%, 8/1/2036(f) |
17 | 18 | ||||||
Pool # 893424, ARM, 4.34%, 9/1/2036(f) |
44 | 46 | ||||||
Pool # 913984, ARM, 4.03%, 2/1/2037(f) |
22 | 23 | ||||||
Pool # 915645, ARM, 4.53%, 2/1/2037(f) |
51 | 54 | ||||||
Pool # 887094, ARM, 4.48%, 7/1/2046(f) |
62 | 66 | ||||||
FNMA, 15 Year, Single Family |
|
|||||||
Pool # 742078, 4.50%, 3/1/2019 |
1 | 1 | ||||||
Pool # 761326, Pool, 5.00%, 4/1/2019 |
5 | 6 | ||||||
Pool # 782005, Pool, 4.00%, 5/1/2019 |
1 | 1 | ||||||
Pool # 780956, 4.50%, 5/1/2019 |
4 | 4 | ||||||
Pool # 735386, Pool, 5.50%, 1/1/2020 |
2 | 2 | ||||||
Pool # 889265, Pool, 5.50%, 6/1/2020 |
| (g) | | (g) | ||||
Pool # 735911, 6.50%, 8/1/2020 |
1 | 1 | ||||||
Pool # 745406, Pool, 6.00%, 3/1/2021 |
19 | 19 | ||||||
Pool # 995381, 6.00%, 1/1/2024 |
35 | 36 | ||||||
FNMA, 20 Year, Single Family |
|
|||||||
Pool # 254305, 6.50%, 5/1/2022 |
24 | 26 | ||||||
FNMA, 30 Year, FHA/VA |
|
|||||||
Pool # 426839, Pool, 9.50%, 12/1/2018 |
| (g) | | (g) | ||||
Pool # 252409, 6.50%, 3/1/2029 |
13 | 13 | ||||||
Pool # 752786, 6.00%, 9/1/2033 |
11 | 12 | ||||||
FNMA, 30 Year, Single Family |
|
|||||||
Pool # 70825, Pool, 8.00%, 3/1/2021 |
| (g) | | (g) | ||||
Pool # 189190, Pool, 7.50%, 11/1/2022 |
3 | 2 | ||||||
Pool # 479469, Pool, 10.00%, 2/1/2024 |
| (g) | | (g) | ||||
Pool # 250066, Pool, 8.00%, 5/1/2024 |
1 | 1 | ||||||
Pool # 250103, Pool, 8.50%, 7/1/2024 |
3 | 3 | ||||||
Pool # 303031, Pool, 7.50%, 10/1/2024 |
1 | 1 | ||||||
Pool # 308499, Pool, 8.50%, 5/1/2025 |
| (g) | | (g) | ||||
Pool # 695533, 8.00%, 6/1/2027 |
7 | 8 | ||||||
Pool # 313687, Pool, 7.00%, 9/1/2027 |
2 | 2 | ||||||
Pool # 755973, 8.00%, 11/1/2028 |
13 | 15 | ||||||
Pool # 598559, 6.50%, 8/1/2031 |
16 | 18 | ||||||
Pool # 649624, 7.00%, 8/1/2032 |
1 | 1 | ||||||
Pool # 995409, Pool, 8.00%, 11/1/2032 |
164 | 190 | ||||||
Pool # 675555, 6.00%, 12/1/2032 |
28 | 30 | ||||||
Pool # 674349, 6.00%, 3/1/2033 |
12 | 13 | ||||||
Pool # 702901, 6.00%, 5/1/2033 |
50 | 55 | ||||||
Pool # 721535, Pool, 5.00%, 7/1/2033 |
74 | 79 | ||||||
Pool # 723852, 5.00%, 7/1/2033 |
30 | 32 | ||||||
Pool # 729296, 5.00%, 7/1/2033 |
55 | 59 | ||||||
Pool # 713700, Pool, 4.50%, 8/1/2033 |
29 | 30 | ||||||
Pool # 737825, 6.00%, 9/1/2033 |
13 | 14 | ||||||
Pool # 725027, Pool, 5.00%, 11/1/2033 |
54 | 57 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
MORTGAGE-BACKED SECURITIES continued |
| |||||||
Pool # 725017, 5.50%, 12/1/2033 |
48 | 52 | ||||||
Pool # AA0922, Pool, 6.00%, 9/1/2036 |
77 | 84 | ||||||
Pool # 986648, 6.00%, 9/1/2037 |
34 | 37 | ||||||
Pool # AD9151, Pool, 5.00%, 8/1/2040 |
215 | 228 | ||||||
FNMA, Other |
|
|||||||
Pool # 467630, 4.30%, 4/1/2021 |
735 | 752 | ||||||
Pool # AL0569, Pool, 4.26%, 6/1/2021 |
303 | 309 | ||||||
Pool # AM4466, 3.76%, 10/1/2023 |
472 | 480 | ||||||
Pool # AM6381, Pool, 3.29%, 8/1/2026 |
1,000 | 992 | ||||||
Pool # AM7485, 3.24%, 12/1/2026 |
1,000 | 983 | ||||||
Pool # AM7515, 3.34%, 2/1/2027 |
500 | 495 | ||||||
Pool # AM8529, Pool, 3.03%, 4/1/2027 |
1,000 | 968 | ||||||
Pool # AM8432, 2.79%, 5/1/2027 |
1,000 | 951 | ||||||
Pool # AM6755, Pool, 3.65%, 9/1/2029 |
286 | 284 | ||||||
Pool # AM6892, Pool, 3.76%, 9/1/2029 |
235 | 236 | ||||||
Pool # BM4162, Pool, 3.20%, 10/1/2029 |
299 | 287 | ||||||
Pool # 109707, Pool, 3.80%, 9/1/2033 |
253 | 254 | ||||||
Pool # 888408, Pool, 6.00%, 3/1/2037 |
31 | 33 | ||||||
Pool # 257172, Pool, 5.50%, 4/1/2038 |
12 | 12 | ||||||
Pool # MA1125, 4.00%, 7/1/2042 |
468 | 474 | ||||||
GNMA I, 30 Year, Single Family |
|
|||||||
Pool # 286315, 9.00%, 2/15/2020 |
| (g) | | (g) | ||||
Pool # 313110, 7.50%, 11/15/2022 |
| (g) | | (g) | ||||
Pool # 352108, 7.00%, 8/15/2023 |
1 | 1 | ||||||
Pool # 363030, 7.00%, 9/15/2023 |
25 | 26 | ||||||
Pool # 352022, 7.00%, 11/15/2023 |
2 | 2 | ||||||
Pool # 366706, 6.50%, 1/15/2024 |
8 | 8 | ||||||
Pool # 371281, 7.00%, 2/15/2024 |
15 | 16 | ||||||
Pool # 782507, 9.50%, 10/15/2024 |
8 | 8 | ||||||
Pool # 780029, 9.00%, 11/15/2024 |
1 | 1 | ||||||
Pool # 780965, 9.50%, 12/15/2025 |
3 | 3 | ||||||
Pool # 442119, 7.50%, 11/15/2026 |
2 | 2 | ||||||
Pool # 411829, 7.50%, 7/15/2027 |
4 | 4 | ||||||
Pool # 468149, 8.00%, 8/15/2028 |
2 | 2 | ||||||
Pool # 468236, 6.50%, 9/15/2028 |
39 | 42 | ||||||
Pool # 486537, 7.50%, 9/15/2028 |
4 | 4 | ||||||
Pool # 466406, 6.00%, 11/15/2028 |
24 | 26 | ||||||
Pool # 607645, 6.50%, 2/15/2033 |
13 | 14 | ||||||
Pool # 781614, 7.00%, 6/15/2033 |
18 | 21 | ||||||
Pool # 782615, 7.00%, 6/15/2035 |
62 | 70 | ||||||
Pool # 782025, 6.50%, 12/15/2035 |
76 | 84 | ||||||
Pool # 681638, 6.00%, 12/15/2038 |
99 | 107 | ||||||
GNMA II, 30 Year, Single Family |
|
|||||||
Pool # 1974, 8.50%, 3/20/2025 |
1 | 1 | ||||||
Pool # 1989, 8.50%, 4/20/2025 |
4 | 4 | ||||||
Pool # 2006, 8.50%, 5/20/2025 |
4 | 4 | ||||||
Pool # 2141, 8.00%, 12/20/2025 |
1 | 1 | ||||||
Pool # 2234, 8.00%, 6/20/2026 |
1 | 2 | ||||||
Pool # 2270, 8.00%, 8/20/2026 |
1 | 2 | ||||||
Pool # 2285, 8.00%, 9/20/2026 |
2 | 2 | ||||||
Pool # 2324, 8.00%, 11/20/2026 |
1 | 1 | ||||||
Pool # 2499, 8.00%, 10/20/2027 |
4 | 4 | ||||||
Pool # 2512, 8.00%, 11/20/2027 |
3 | 3 | ||||||
Pool # 2525, 8.00%, 12/20/2027 |
1 | 1 | ||||||
Pool # 2549, 7.50%, 2/20/2028 |
1 | 1 | ||||||
Pool # 2562, 6.00%, 3/20/2028 |
18 | 20 | ||||||
Pool # 2606, 8.00%, 6/20/2028 |
1 | 1 | ||||||
Pool # 2633, 8.00%, 8/20/2028 |
| (g) | | (g) |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
MORTGAGE-BACKED SECURITIES continued |
| |||||||
Pool # 2646, 7.50%, 9/20/2028 |
4 | 5 | ||||||
Pool # 4245, 6.00%, 9/20/2038 |
89 | 96 | ||||||
Pool # BA7567, 4.50%, 5/20/2048 |
376 | 389 | ||||||
Pool # BI0416, 4.50%, 11/20/2048 |
500 | 521 | ||||||
GNMA II, Other |
||||||||
Pool # AD0860, 3.50%, 11/20/2033 |
464 | 464 | ||||||
|
|
|||||||
TOTAL MORTGAGE-BACKED SECURITIES |
14,521 | |||||||
|
|
|||||||
ASSET-BACKED SECURITIES 10.0% |
||||||||
Ally Auto Receivables Trust Series 2018-2, Class A3, 2.92%, 11/15/2022 |
246 | 245 | ||||||
American Airlines Pass-Through Trust |
||||||||
Series 2013-2, Class A, 4.95%, 1/15/2023 |
133 | 136 | ||||||
Series 2016-3, Class AA, 3.00%, 10/15/2028 |
76 | 71 | ||||||
American Credit Acceptance Receivables Trust |
||||||||
Series 2018-1, Class A, 2.72%, 3/10/2021(a) |
38 | 38 | ||||||
Series 2015-2, Class C, 4.32%, 5/12/2021(a) |
133 | 133 | ||||||
Series 2018-3, Class B, 3.49%, 6/13/2022(a) |
55 | 55 | ||||||
Americredit Automobile Receivables Trust |
||||||||
Series 2018-1, Class A3, 3.07%, 12/19/2022 |
115 | 114 | ||||||
Series 2018-2, Class A3, 3.15%, 3/20/2023 |
148 | 148 | ||||||
AmeriCredit Automobile Receivables Trust Series 2017-3, Class A3, 1.90%, 3/18/2022 |
91 | 90 | ||||||
Anchor Assets IX LLC Series 2016-1, Class A, 5.13%, 2/15/2020(a) |
750 | 750 | ||||||
B2R Mortgage Trust |
||||||||
Series 2015-1, Class A1, 2.52%, 5/15/2048(a) |
83 | 82 | ||||||
Series 2015-2, Class A, 3.34%, 11/15/2048(a) |
132 | 131 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2006-SD1, Class A, 2.68%, 4/25/2036(f) |
7 | 7 | ||||||
British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031(a) |
66 | 65 | ||||||
CarMax Auto Owner Trust |
||||||||
Series 2018-2, Class A3, 2.98%, 1/17/2023 |
136 | 136 | ||||||
Series 2018-3, Class A3, 3.13%, 6/15/2023 |
234 | 233 | ||||||
Citi Held For Asset Issuance Series 2016-MF1, Class B, 6.64%, 8/15/2022(a) |
119 | 120 | ||||||
Continental Airlines Pass-Through Trust Series 1999-2, Class A-1, 7.26%, 3/15/2020 |
9 | 9 | ||||||
CPS Auto Receivables Trust |
||||||||
Series 2015-B, Class C, 4.20%, 5/17/2021(a) |
425 | 428 | ||||||
Series 2017-C, Class B, 2.30%, 7/15/2021(a) |
100 | 99 | ||||||
Series 2015-C, Class D, 4.63%, 8/16/2021(a) |
310 | 314 | ||||||
CPS Auto Trust Series 2018-C, Class A, 2.87%, 9/15/2021(a) |
81 | 81 | ||||||
Credit Acceptance Auto Loan Trust Series 2018-2A, Class A, 3.47%, 5/17/2027(a) |
250 | 249 | ||||||
CVS Pass-Through Trust 5.93%, 1/10/2034(a) |
46 | 48 | ||||||
Delta Air Lines Pass-Through Trust Series 2010-2, Class A, 4.95%, 5/23/2019 |
9 | 9 | ||||||
Drive Auto Receivables Trust |
||||||||
Series 2015-BA, Class D, 3.84%, 7/15/2021(a) |
244 | 244 | ||||||
Series 2018-3, Class A3, 3.01%, 11/15/2021 |
106 | 106 | ||||||
Series 2015-AA, Class D, 4.12%, 7/15/2022(a) |
177 | 178 | ||||||
Series 2018-4, Class B, 3.36%, 10/17/2022 |
118 | 118 | ||||||
Series 2015-DA, Class D, 4.59%, 1/17/2023(a) |
220 | 222 | ||||||
Series 2018-2, Class C, 3.63%, 8/15/2024 |
100 | 100 | ||||||
DT Auto Owner Trust |
||||||||
Series 2017-3A, Class B, 2.40%, 5/17/2021(a) |
61 | 61 | ||||||
Series 2018-2A, Class A, 2.84%, 9/15/2021(a) |
131 | 131 | ||||||
Series 2015-2A, Class D, 4.25%, 2/15/2022(a) |
220 | 220 | ||||||
Exeter Automobile Receivables Trust |
||||||||
Series 2016-1A, Class C, 5.52%, 10/15/2021(a) |
310 | 314 | ||||||
Series 2018-3A, Class A, 2.90%, 1/18/2022(a) |
118 | 118 | ||||||
Series 2016-2A, Class B, 3.64%, 2/15/2022(a) |
231 | 232 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
ASSET-BACKED SECURITIES continued |
| |||||||
Federal Express Corp. Pass-Through Trust Series 1998, 6.72%, 1/15/2022 |
333 | 347 | ||||||
First Investors Auto Owner Trust |
||||||||
Series 2015-2A, Class D, 4.22%, 12/15/2021(a) |
100 | 100 | ||||||
Series 2018-1A, Class A2, 3.22%, 1/17/2023(a) |
68 | 68 | ||||||
Flagship Credit Auto Trust |
||||||||
Series 2014-2, Class C, 3.95%, 12/15/2020(a) |
37 | 37 | ||||||
Series 2015-3, Class B, 3.68%, 3/15/2022(a) |
114 | 114 | ||||||
Series 2015-3, Class C, 4.65%, 3/15/2022(a) |
113 | 114 | ||||||
Series 2016-1, Class C, 6.22%, 6/15/2022(a) |
400 | 413 | ||||||
Series 2018-2, Class A, 2.97%, 10/17/2022(a) |
149 | 149 | ||||||
Series 2018-3, Class A, 3.07%, 2/15/2023(a) |
94 | 94 | ||||||
Ford Credit Auto Lease Trust Series 2018-B, Class A4, 3.30%, 2/15/2022 |
88 | 88 | ||||||
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029(f) |
26 | 21 | ||||||
GM Financial Automobile Leasing Trust |
||||||||
Series 2017-3, Class A3, 2.01%, 11/20/2020 |
40 | 40 | ||||||
Series 2018-2, Class A3, 3.06%, 6/21/2021 |
117 | 117 | ||||||
Series 2018-3, Class A3, 3.18%, 6/21/2021 |
107 | 107 | ||||||
Series 2018-1, Class A4, 2.68%, 12/20/2021 |
76 | 75 | ||||||
GM Financial Consumer Automobile Receivables Trust Series 2018-2, Class A3, 2.81%, 12/16/2022 |
134 | 133 | ||||||
GMAT Trust Series 2013-1A, Class A, 6.97%, 11/25/2043(a)(d) |
13 | 13 | ||||||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031(a) |
49 | 49 | ||||||
Honda Auto Receivables Owner Trust |
||||||||
Series 2017-3, Class A3, 1.79%, 9/20/2021 |
60 | 59 | ||||||
Series 2018-2, Class A3, 3.01%, 5/18/2022 |
128 | 128 | ||||||
Hyundai Auto Lease Securitization Trust Series 2018-B, Class A4, 3.20%, 6/15/2022(a) |
127 | 127 | ||||||
Hyundai Auto Receivables Trust |
||||||||
Series 2017-B, Class A3, 1.77%, 1/18/2022 |
200 | 197 | ||||||
Series 2018-A, Class A3, 2.79%, 7/15/2022 |
78 | 78 | ||||||
LV Tower 52 Issuer Series 2013-1, Class A, 5.75%, 7/15/2019(a) |
1,157 | 1,157 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024(a) |
164 | 164 | ||||||
OneMain Financial Issuance Trust |
||||||||
Series 2015-2A, Class B, 3.10%, 7/18/2025(a) |
147 | 147 | ||||||
Series 2015-1A, Class A, 3.19%, 3/18/2026(a) |
102 | 102 | ||||||
Oportun Funding VIII LLC Series 2018-A, Class A, 3.61%, 3/8/2024(a) |
491 | 484 | ||||||
Progress Residential Trust |
||||||||
Series 2015-SFR2, Class A, 2.74%, 6/12/2032(a) |
853 | 840 | ||||||
Series 2015-SFR2, Class B, 3.14%, 6/12/2032(a) |
351 | 347 | ||||||
Series 2015-SFR3, Class A, 3.07%, 11/12/2032(a) |
781 | 771 | ||||||
Series 2015-SFR3, Class D, 4.67%, 11/12/2032(a) |
200 | 201 | ||||||
Santander Drive Auto Receivables Trust |
||||||||
Series 2018-3, Class A3, 3.03%, 2/15/2022 |
62 | 62 | ||||||
Series 2018-4, Class A3, 3.01%, 3/15/2022 |
49 | 49 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.49%, 1/25/2036(d) |
30 | 26 | ||||||
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
45 | 43 | ||||||
Springleaf Funding Trust Series 2015-AA, Class A, 3.16%, 11/15/2024(a) |
145 | 145 | ||||||
Synchrony Card Issuance Trust Series 2018-A1, Class A1, 3.38%, 9/15/2024 |
260 | 261 | ||||||
Toyota Auto Receivables Owner Trust Series 2016-A, Class A3, 1.25%, 3/16/2020 |
85 | 85 | ||||||
United Airlines Pass-Through Trust Series 2016-2, Class AA, 2.88%, 10/7/2028 |
114 | 105 | ||||||
Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023 |
100 | 100 | ||||||
Westlake Automobile Receivables Trust Series 2015-3A, Class D, 4.40%, 5/17/2021(a) |
127 | 127 | ||||||
World Financial Network Credit Card Master Trust Series 2018-B, Class A, 3.46%, 7/15/2025 |
156 | 156 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
ASSET-BACKED SECURITIES continued |
| |||||||
World Omni Auto Receivables Trust Series 2017-B, Class A3, 1.95%, 2/15/2023 104 |
102 | |||||||
World Omni Automobile Lease Securitization Trust Series 2018-B, Class A3, 3.19%, 12/15/2021 |
93 | 93 | ||||||
|
|
|||||||
TOTAL ASSET-BACKED SECURITIES |
14,070 | |||||||
|
|
|||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 4.7% |
||||||||
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035(a)(f) |
145 | 141 | ||||||
CD Commercial Mortgage Trust Series 2007-CD4, Class XC, IO, 0.93%, 12/11/2049(a)(f) |
49 | 1 | ||||||
Commercial Mortgage Trust |
||||||||
Series 2014-PAT, Class A, 3.11%, 8/13/2027(a)(f) |
132 | 132 | ||||||
Series 2014-TWC, Class A, 3.16%, 2/13/2032(a)(f) |
400 | 400 | ||||||
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 |
281 | 280 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates |
||||||||
Series KF12, Class A, 3.01%, 9/25/2022(f) |
181 | 181 | ||||||
Series KSMC, Class A2, 2.62%, 1/25/2023 |
500 | 489 | ||||||
Series KL3L, Class ALNZ, 3.46%, 4/25/2025(f) |
500 | 499 | ||||||
Series K069, Class A2, 3.19%, 9/25/2027(f) |
500 | 485 | ||||||
Series K081, Class A1, 3.88%, 2/25/2028 |
120 | 122 | ||||||
Series K083, Class A2, 4.05%, 9/25/2028(f) |
297 | 306 | ||||||
FNMA ACES |
||||||||
Series 2012-M11, Class FA, 2.78%, 8/25/2019(f) |
60 | 60 | ||||||
Series 2010-M3, Class A3, 4.33%, 3/25/2020(f) |
270 | 272 | ||||||
Series 2015-M17, Class FA, 3.21%, 11/25/2022(f) |
349 | 352 | ||||||
Series 2014-M2, Class A2, 3.51%, 12/25/2023(f) |
444 | 447 | ||||||
Series 2014-M13, Class A2, 3.02%, 8/25/2024(f) |
636 | 625 | ||||||
Series 2015-M7, Class A2, 2.59%, 12/25/2024 |
820 | 786 | ||||||
Series 2018-M13, Class A1, 3.82%, 3/25/2030(f) |
225 | 230 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030(a) |
116 | 115 | ||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 |
104 | 104 | ||||||
VNDO Mortgage Trust Series 2013-PENN, Class A, 3.81%, 12/13/2029(a) |
500 | 504 | ||||||
|
|
|||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
6,531 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY SECURITIES 0.9% |
||||||||
FNMA 10.68%, 10/9/2019 |
85 | 83 | ||||||
Resolution Funding Corp. STRIPS |
||||||||
1.62%, 10/15/2019(e) |
165 | 161 | ||||||
1.74%, 7/15/2020(e) |
250 | 239 | ||||||
1.23%, 1/15/2021(e) |
330 | 310 | ||||||
DN, 2.95%, 1/15/2026(e) |
90 | 72 | ||||||
DN, 2.78%, 10/15/2027(e) |
80 | 59 | ||||||
Tennessee Valley Authority STRIPS 4.73%, 5/1/2019(e) |
333 | 329 | ||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES |
1,253 | |||||||
|
|
|||||||
FOREIGN GOVERNMENT SECURITIES 0.2% |
||||||||
United Mexican States (Mexico) 3.63%, 3/15/2022(Cost $250) |
244 | 239 | ||||||
|
|
|||||||
Shares (000) |
||||||||
SHORT-TERM INVESTMENTS 0.5% |
||||||||
INVESTMENT COMPANIES 0.5% |
||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.30%(i)(j) (Cost $720) |
720 | 720 | ||||||
|
|
|||||||
Total Investments 100.0% |
140,563 | |||||||
Liabilities in Excess of Other Assets 0.0%(c) |
(18 | ) | ||||||
Net Assets 100.0% |
140,545 | |||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Abbreviations
| ||
ACES | Alternative Credit Enhancement Securities | |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2018. | |
DN | Discount Notes | |
ESOP | Employee Stock Ownership Program | |
FHA | Federal Housing Administration | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
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. | |
ICE | Intercontinental Exchange | |
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, 2018. 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. | |
LIBOR | London Interbank Offered Rate | |
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 | |
SCA | Limited partnership with share capital | |
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. | |
USD | United States Dollar | |
VA | Veterans Administration | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2018. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2018. | |
(e) | The rate shown is the effective yield as of November 30, 2018. | |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2018. | |
(g) | Amount rounds to less than one thousand. | |
(h) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(i) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(j) | The rate shown is the current yield as of November 30, 2018. | |
| Value determined using significant unobservable inputs. |
A. Valuation of InvestmentsThe valuation of investments is in accordance with U.S. generally accepted accounting principles (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 their market value 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 Investment Management, Inc. (the Administrator) 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 affiliated and unaffiliated 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, including J.P. Morgan Funds (the Underlying Funds), are valued at each Underlying Funds net asset values or NAV per share as of the report date.
See the table on Quantitative Information about Level 3 Fair Value Measurements for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2018.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but 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 |
$ | | $ | 10,865 | $ | 3,205 | $ | 14,070 | ||||||||
Collateralized Mortgage Obligations |
| 25,900 | 99 | 25,999 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 6,531 | | 6,531 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Capital Markets |
| 4,389 | 6 | 4,395 | ||||||||||||
Other Corporate Bonds |
| 43,306 | | 43,306 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 47,695 | 6 | 47,701 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 239 | | 239 | ||||||||||||
Mortgage-Backed Securities |
| 14,521 | | 14,521 | ||||||||||||
U.S. Government Agency Securities |
| 1,253 | | 1,253 | ||||||||||||
U.S. Treasury Obligations |
| 29,529 | | 29,529 | ||||||||||||
Short-Term Investments |
|
|||||||||||||||
Investment Companies |
720 | | | 720 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 720 | $ | 136,533 | $ | 3,310 | $ | 140,563 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 3 to level 2 are due to an increase in market activity (e.g. frequency of trades), which resulted in an increase of available market inputs to determine the price for the period ended November 30, 2018.
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, 2018 |
Realized gain (loss) |
Change in net unrealized appreciation (depreciation) |
Net accretion (amortization) |
Purchases1 |
Sales2 | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as
of November 30, 2018 |
||||||||||||||||||||||||||||
Investments in Securities: |
|
|||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 5,171 | $ | 14 | $ | (21 | ) | $ | | (a) | $ | | $ | (1,180 | ) | $ | | $ | (779 | ) | $ | 3,205 | ||||||||||||||
Collateralized Mortgage Obligations |
219 | | (a) | | (a) | 1 | | (121 | ) | | | 99 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
604 | | | (a) | | | (603 | ) | | (1 | ) | | ||||||||||||||||||||||||
Corporate Bonds Capital Markets |
12 | | (a) | | (a) | | (a) | | (6 | ) | | | 6 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
$ | 6,006 | $ | 14 | $ | (21 | ) | $ | 1 | $ | | $ | (1,910 | ) | $ | | $ | (780 | ) | $ | 3,310 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $(12,000).
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2018 (Unaudited) (continued)
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at November 30, 2018 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||||
$ | 1,298 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 30.00% (4.28%) | ||||||||
Constant Default Rate |
0.00% - 30.00% (0.41%) | |||||||||||
Yield (Discount Rate of Cash Flows) |
3.16% - 8.47% (3.76%) | |||||||||||
|
|
|||||||||||
Asset-Backed Securities |
1,298 | |||||||||||
|
|
|||||||||||
99 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 24.00% (9.61%) | |||||||||
Constant Default Rate |
0.00% - 5.91% (3.82%) | |||||||||||
Yield (Discount Rate of Cash Flows) |
(0.44%) - 8.83% (2.19%) | |||||||||||
|
|
|||||||||||
Collateralized Mortgage Obligations |
99 | |||||||||||
|
|
|||||||||||
6 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) |
4.38% (4.38%) | |||||||||
Liquidity Discount |
0.38% (0.38%) | |||||||||||
|
|
|||||||||||
Corporate Bonds |
6 | |||||||||||
|
|
|||||||||||
Total |
$ | 1,403 | ||||||||||
|
|
# The table above does not include certain level 3 investments that are valued by brokers and pricing services. At November 30, 2018, the value of these investments was approximately $1,907,000. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are 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/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
January 28, 2019 |
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/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
January 28, 2019 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
January 28, 2019 |
EXHIBIT 99.302CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Brian S. Shlissel, certify that:
1. | I have reviewed this report on Form N-Q of JPMorgan Core Bond 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 Registrants internal control over financial reporting. |
Date: | January 28, 2019 | By: | /s/ Brian S. Shlissel | |||
Brian S. Shlissel | ||||||
President and Principal Executive Officer |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Timothy J. Clemens, certify that:
1. | I have reviewed this report on Form N-Q of JPMorgan Core Bond 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 Registrants internal control over financial reporting. |
Date: | January 28, 2019 | By: | /s/ Timothy J. Clemens | |||
Timothy J. Clemens | ||||||
Treasurer and Principal Financial Officer |