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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21638
JPMorgan Institutional Trust
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 343-1113
Date of fiscal year end: Last Day of February
Date of reporting period: March 1, 2021 through February 28, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Reports. Not Applicable. Notices do not incorporate disclosures from the
shareholder reports.
Table of Contents
Annual Report
JPMorgan Institutional Trust Funds
February 28, 2022
JPMorgan Core Bond Trust
JPMorgan Intermediate Bond Trust
Table of Contents
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
This report is intended for distribution only to accredited investors. Distribution of this document to anyone other than the intended user is expressly prohibited. This document may not be copied, faxed or otherwise distributed to the general public.
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April 5, 2022 (Unaudited)
Dear Shareholders,
While the economic rebound and recovery from the depths of the pandemic continued through 2021 and into 2022, the emergence of coronavirus variants and the military conflict in Ukraine stoked increased volatility in financial markets. While U.S. corporate profits remained at record highs throughout the period, accelerating inflation consumed a growing portion of those earnings during the twelve months ended February 28, 2022.
|
“Regardless of the path of the economy, we believe investors may benefit most from a diversified portfolio and a long-term approach.” — Andrea L. Lisher |
Equity markets in the U.S. and other developed markets generated strong returns for investors during the period, while bond markets brought mixed returns amid low interest rates and rising inflation. Notably, the U.S. real estate sector boomed during the period amid low mortgage rates, rising consumer wealth and limited housing supply. More broadly, growth in jobs, wages and strong consumer spending largely continued despite renewed social restrictions in response to the emergence of the Omicron variant of COVID-19 toward the end of the period.
Globally, energy prices generally rose in 2021 amid surging demand and supply chain bottlenecks and have since spiked higher amid the conflict in Ukraine. Russia’s military invasion and the financial and trade sanctions imposed on Russia by an alliance of developed and emerging market nations have fed investor uncertainty and weighed on global financial markets.
In the months ahead, economists generally expect that the U.S. economy is likely to maintain its growth momentum given expectations that the pandemic will recede and consumers will continue to spend amid a boom in household wealth. Meanwhile, the U.S. Federal Reserve, which responded to tight labor markets, rising wages and accelerating inflation by raising interest rates in mid-March for the first time since December 2018, has signaled its intent to raise rates six more times in 2022. The timing and magnitude of further interest rate increases and the duration and scope of the conflict in Ukraine are likely to remain key factors in the performance of the global economy and financial markets in the year ahead.
Regardless of the path of the economy, we believe investors may benefit most from a diversified portfolio and a long-term approach. Meanwhile, J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 1 | ||||||||
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JPMorgan Institutional Trust Funds
TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)
Bond markets underperformed equity markets throughout the period amid low interest rates and accelerating inflationary pressure as the global economy rebounded from 2020. While leading central banks in developed markets largely maintained monetary stimulus programs and historically low interest rates, soaring inflation led select emerging market nations to raise interest rates. Simultaneously, a year-long rally in global equity markets largely drew investors away from in low-yielding fixed income assets.
In the first half of the period, high yield bonds (also called “junk bonds”) and emerging markets debt outperformed investment grade corporate bonds as well as U.S. Treasury bonds and other developed market sovereign debt. However, equity markets largely outperformed all bond markets by a wide margin during the first half of the period.
As the global economic rebound accelerated during 2021, pent up demand and the effects of the pandemic led to bottlenecks in global supply chains and fueled rising inflationary pressure. While U.S. Federal Reserve stated that rising inflation was likely a temporary consequence of the global economic rebound, it said at its July meeting that it could begin tapering off its $120 billion combined monthly asset purchasing programs by the end of 2021. As inflation and job growth surged in the second half of the year the Fed began to reduce monthly asset purchases and signaled in November that it was prepared to raise rates in the months ahead.
The final two months of the period were marked by a further building in inflationary pressure and Russia’s military buildup and subsequent invasion of Ukraine at the end of February 2022. The invasion — and swift imposition of financial and trade sanctions on Russia — led to a spike in global prices for petroleum, natural gas and a range of other commodities. Financial market volatility rose sharply amid investor uncertainty about the duration and scope of fighting in Ukraine.
For the twelve month period ended February 28, 2022, the Bloomberg U.S. Aggregate Index returned -2.64%.
| 2 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
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TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund* | (1.92)% | |||
| Bloomberg U.S. Aggregate Index (formerly known as Bloomberg Barclays U.S. Aggregate Index) | (2.64)% | |||
| Net Assets as of 2/28/2022 (In Thousands) | $2,073,952 | |||
| Duration as of 2/28/2022 | 6.1 Years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Core Bond Trust (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 28, 2022, the Fund outperformed the Bloomberg U.S. Aggregate Index (the “Benchmark”).
Relative to the Benchmark, the Fund’s shorter duration was a leading contributor to performance as interest rates rose during the period. Generally, bonds with shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise. The Fund allocation to agency mortgage-backed securities and securitized credit, including non-agency mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities also helped relative performance.
The Fund’s underweight allocation to U.S. Treasury securities and its underweight position in the 30-year portion of the yield curve in the first half of the period were leading detractors from from relative performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. At the end of the period, the Fund was underweight in U.S. Treasury securities and overweight in commercial mortgage-backed securities and agency mortgages.
| PORTFOLIO COMPOSITION AS OF |
PERCENT OF TOTAL INVESTMENTS |
|||
| U.S. Treasury Obligations | 26.6 | % | ||
| Corporate Bonds | 26.4 | |||
| Mortgage-Backed Securities | 15.8 | |||
| Collateralized Mortgage Obligations | 11.0 | |||
| Asset-Backed Securities | 10.7 | |||
| Commercial Mortgage-Backed Securities | 3.8 | |||
| Others (each less than 1.0%) | 1.9 | |||
| Short-Term Investments | 3.8 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 3 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 |
||||||||||||||
| INCEPTION DATE OF FUND |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| February 7, 2005 | (1.92 | )% | 3.44 | % | 3.14 | % | ||||||||
TEN YEAR PERFORMANCE (2/29/12 TO 2/28/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown.
The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust and the Bloomberg U.S. Aggregate Index from February 29, 2012 to February 28, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index
covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.
The Fund’s shares have a $10,000,000 minimum investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
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JPMorgan Intermediate Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund* | (2.10)% | |||
| Bloomberg Intermediate U.S. Government/Credit Index (formerly known as Bloomberg Barclays Intermediate U.S. Government/Credit Index) | (2.46)% | |||
| Net Assets as of 2/28/2022 (In Thousands) | $85,662 | |||
| Duration as of 2/28/2022 | 3.7 Years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Intermediate Bond Trust (the “Fund”) seeks current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 28, 2022, the Fund outperformed the Bloomberg Intermediate U.S. Government/Credit Index (the “Benchmark”).
Relative to the Benchmark, the Fund’s shorter duration was a leading contributor to performance as interest rates rose during the period. Generally, bonds of shorter duration will experience a smaller decrease in prices compared with longer duration bonds when interest rates rise. The Fund’s out-of-Benchmark allocation to non-agency mortgage-backed securities and asset-backed securities also contributed to relative performance.
The Fund’s underweight allocation to U.S. Treasury securities and its out-of-Benchmark allocations to agency mortgage-backed securities were leading detractors from relative performance.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.
| PORTFOLIO COMPOSITION AS OF |
PERCENT OF TOTAL INVESTMENTS |
|||
| Corporate Bonds | 29.2 | % | ||
| U.S. Treasury Obligations | 25.2 | |||
| Collateralized Mortgage Obligations | 16.1 | |||
| Mortgage-Backed Securities | 9.9 | |||
| Asset-Backed Securities | 9.6 | |||
| Commercial Mortgage-Backed Securities | 8.1 | |||
| Others (each less than 1.0%) | 0.3 | |||
| Short-Term Investments | 1.6 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 5 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2022 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022 |
||||||||||||||
| INCEPTION DATE OF FUND |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| February 7, 2005 | (2.10 | )% | 2.66 | % | 2.46 | % | ||||||||
TEN YEAR PERFORMANCE (2/29/12 TO 2/28/22)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown.
The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust and the Bloomberg Intermediate U.S. Government/Credit Index from February 29, 2012 to February 28, 2022. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Intermediate U.S. Government/Credit Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg Intermediate
U.S. Government/Credit Index is an unmanaged index comprised of intermediate maturity U.S. Treasury and agency securities and investment grade corporate securities. Investors cannot invest directly in an index.
The Fund’s shares have a $5,000,000 minimum investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| U.S. Treasury Obligations — 27.3% |
| |||||||
| U.S. Treasury Bonds |
||||||||
| 4.38%, 2/15/2038 |
447 | 593 | ||||||
| 3.50%, 2/15/2039 |
961 | 1,156 | ||||||
| 4.25%, 5/15/2039 |
3,300 | 4,338 | ||||||
| 1.13%, 5/15/2040 |
11,555 | 9,610 | ||||||
| 4.38%, 5/15/2040 |
11,000 | 14,701 | ||||||
| 3.88%, 8/15/2040 |
21,115 | 26,516 | ||||||
| 1.88%, 2/15/2041 |
7,095 | 6,670 | ||||||
| 2.25%, 5/15/2041 |
18,355 | 18,297 | ||||||
| 1.75%, 8/15/2041 |
980 | 898 | ||||||
| 2.00%, 11/15/2041 |
1,160 | 1,111 | ||||||
| 2.38%, 2/15/2042 |
6,300 | 6,433 | ||||||
| 2.75%, 11/15/2042 |
3,800 | 4,089 | ||||||
| 3.63%, 8/15/2043 |
5,214 | 6,393 | ||||||
| 3.75%, 11/15/2043 |
238 | 297 | ||||||
| 3.00%, 11/15/2044 |
8,200 | 9,202 | ||||||
| 2.88%, 8/15/2045 |
2,795 | 3,083 | ||||||
| 2.25%, 8/15/2046 |
13,193 | 13,055 | ||||||
| 3.00%, 2/15/2047 |
548 | 622 | ||||||
| 3.13%, 5/15/2048 |
3,757 | 4,428 | ||||||
| 2.25%, 8/15/2049 |
8,965 | 9,040 | ||||||
| 2.38%, 11/15/2049 |
3,700 | 3,836 | ||||||
| 2.00%, 2/15/2050 |
5,329 | 5,103 | ||||||
| 1.25%, 5/15/2050 |
6,152 | 4,908 | ||||||
| 1.38%, 8/15/2050 |
565 | 465 | ||||||
| 1.63%, 11/15/2050 |
8,800 | 7,710 | ||||||
| 1.88%, 2/15/2051 |
19,731 | 18,369 | ||||||
| 2.00%, 8/15/2051 |
16,100 | 15,443 | ||||||
| 1.88%, 11/15/2051 |
7,225 | 6,741 | ||||||
| 2.25%, 2/15/2052 |
6,650 | 6,775 | ||||||
| U.S. Treasury Inflation Indexed Bonds |
||||||||
| 1.75%, 1/15/2028 |
300 | 469 | ||||||
| 3.63%, 4/15/2028 |
799 | 1,793 | ||||||
| 2.50%, 1/15/2029 |
300 | 488 | ||||||
| U.S. Treasury Notes |
||||||||
| 1.75%, 7/15/2022 |
5,000 | 5,022 | ||||||
| 1.63%, 8/31/2022 |
3,000 | 3,014 | ||||||
| 2.00%, 10/31/2022 |
1,650 | 1,663 | ||||||
| 1.50%, 2/28/2023 |
3,000 | 3,011 | ||||||
| 1.75%, 5/15/2023 |
2,221 | 2,235 | ||||||
| 2.13%, 3/31/2024 |
30,000 | 30,384 | ||||||
| 2.50%, 5/15/2024 |
8,840 | 9,025 | ||||||
| 1.88%, 8/31/2024 |
569 | 573 | ||||||
| 2.25%, 11/15/2024 |
400 | 407 | ||||||
| 1.75%, 12/31/2024 |
14,070 | 14,121 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| 2.88%, 4/30/2025 |
21,212 | 21,997 | ||||||
| 2.13%, 5/15/2025 |
355 | 360 | ||||||
| 0.38%, 12/31/2025 |
10,000 | 9,503 | ||||||
| 0.38%, 1/31/2026 |
1,840 | 1,745 | ||||||
| 0.50%, 2/28/2026 |
7,870 | 7,495 | ||||||
| 2.50%, 2/28/2026 |
560 | 576 | ||||||
| 0.75%, 4/30/2026 |
1,130 | 1,085 | ||||||
| 0.88%, 6/30/2026 |
3,195 | 3,079 | ||||||
| 0.88%, 9/30/2026 |
21,887 | 21,042 | ||||||
| 1.75%, 12/31/2026 |
9,369 | 9,369 | ||||||
| 0.38%, 9/30/2027 |
4,690 | 4,340 | ||||||
| 0.75%, 1/31/2028 |
4,500 | 4,234 | ||||||
| 1.25%, 3/31/2028 |
9,800 | 9,487 | ||||||
| 1.25%, 4/30/2028 |
17,110 | 16,555 | ||||||
| 1.25%, 6/30/2028 |
26,962 | 26,043 | ||||||
| 1.00%, 7/31/2028 |
9,500 | 9,027 | ||||||
| 1.75%, 1/31/2029 |
3,850 | 3,830 | ||||||
| 1.63%, 8/15/2029 |
130 | 128 | ||||||
| 1.50%, 2/15/2030 |
895 | 874 | ||||||
| 0.63%, 8/15/2030 |
2,345 | 2,125 | ||||||
| U.S. Treasury STRIPS Bonds |
||||||||
| 2.72%, 5/15/2022 (a) |
9,795 | 9,789 | ||||||
| 3.31%, 8/15/2022 (a) |
1,905 | 1,900 | ||||||
| 2.28%, 11/15/2022 (a) |
18,375 | 18,274 | ||||||
| 3.82%, 2/15/2023 (a) |
38,462 | 38,072 | ||||||
| 3.32%, 5/15/2023 (a) |
14,070 | 13,875 | ||||||
| 2.50%, 8/15/2023 (a) |
13,900 | 13,647 | ||||||
| 2.81%, 11/15/2023 (a) |
1,052 | 1,028 | ||||||
| 1.92%, 2/15/2024 (a) |
11,355 | 11,037 | ||||||
| 1.76%, 8/15/2024 (a) |
20,600 | 19,826 | ||||||
| 7.84%, 5/15/2026 (a) |
1,500 | 1,396 | ||||||
| 3.84%, 8/15/2026 (a) |
1,592 | 1,475 | ||||||
| 2.49%, 11/15/2041 (a) |
500 | 309 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
565,609 | |||||||
|
|
|
|||||||
| Corporate Bonds — 27.1% |
| |||||||
| Aerospace & Defense — 0.9% |
| |||||||
| Airbus SE (France) 3.95%, 4/10/2047 (b) |
150 | 160 | ||||||
| BAE Systems plc (United Kingdom) |
||||||||
| 1.90%, 2/15/2031 (b) |
1,007 | 909 | ||||||
| 3.00%, 9/15/2050 (b) |
502 | 442 | ||||||
| Boeing Co. (The) |
||||||||
| 1.17%, 2/4/2023 |
1,115 | 1,110 | ||||||
| 1.95%, 2/1/2024 |
1,030 | 1,026 | ||||||
| 1.43%, 2/4/2024 |
2,265 | 2,229 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 7 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Aerospace & Defense — continued |
| |||||||
| 4.88%, 5/1/2025 |
605 | 643 | ||||||
| 2.75%, 2/1/2026 |
995 | 996 | ||||||
| 2.20%, 2/4/2026 |
1,385 | 1,351 | ||||||
| 3.10%, 5/1/2026 |
320 | 323 | ||||||
| 5.04%, 5/1/2027 |
960 | 1,043 | ||||||
| 3.25%, 3/1/2028 |
840 | 839 | ||||||
| 5.15%, 5/1/2030 |
940 | 1,038 | ||||||
| 5.71%, 5/1/2040 |
745 | 868 | ||||||
| L3Harris Technologies, Inc. 1.80%, 1/15/2031 |
840 | 757 | ||||||
| Leidos, Inc. 2.30%, 2/15/2031 |
465 | 419 | ||||||
| Northrop Grumman Corp. 3.25%, 1/15/2028 |
200 | 204 | ||||||
| Raytheon Technologies Corp. |
||||||||
| 3.20%, 3/15/2024 |
350 | 358 | ||||||
| 4.50%, 6/1/2042 |
2,799 | 3,130 | ||||||
| 4.15%, 5/15/2045 |
543 | 573 | ||||||
| 4.35%, 4/15/2047 |
199 | 219 | ||||||
|
|
|
|||||||
| 18,637 | ||||||||
|
|
|
|||||||
| Airlines — 0.0% (c) |
| |||||||
| Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 |
127 | 130 | ||||||
|
|
|
|||||||
| Auto Components — 0.0% (c) |
| |||||||
| Lear Corp. 2.60%, 1/15/2032 |
445 | 412 | ||||||
|
|
|
|||||||
| Automobiles — 0.5% |
| |||||||
| General Motors Co. 6.13%, 10/1/2025 |
515 | 570 | ||||||
| Hyundai Capital America |
||||||||
| 1.15%, 11/10/2022 (b) |
1,500 | 1,495 | ||||||
| 1.80%, 10/15/2025 (b) |
490 | 473 | ||||||
| 1.30%, 1/8/2026 (b) |
425 | 401 | ||||||
| 1.50%, 6/15/2026 (b) |
775 | 730 | ||||||
| 3.00%, 2/10/2027 (b) |
355 | 354 | ||||||
| 2.38%, 10/15/2027 (b) |
530 | 510 | ||||||
| 1.80%, 1/10/2028 (b) |
805 | 745 | ||||||
| Nissan Motor Co. Ltd. (Japan) |
||||||||
| 4.35%, 9/17/2027 (b) |
2,393 | 2,464 | ||||||
| 4.81%, 9/17/2030 (b) |
1,102 | 1,155 | ||||||
| Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) |
785 | 727 | ||||||
| Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) |
705 | 664 | ||||||
|
|
|
|||||||
| 10,288 | ||||||||
|
|
|
|||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Banks — 4.7% |
| |||||||
| ABN AMRO Bank NV (Netherlands) |
1,216 | 1,279 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (d) |
800 | 765 | ||||||
| AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) |
1,165 | 1,207 | ||||||
| ANZ New Zealand Int’l Ltd. (New Zealand) 2.55%, 2/13/2030 (b) |
778 | 766 | ||||||
| Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) |
263 | 278 | ||||||
| Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b) |
1,250 | 1,098 | ||||||
| Banco Santander SA (Spain) |
||||||||
| 3.13%, 2/23/2023 |
400 | 403 | ||||||
| 2.75%, 5/28/2025 |
800 | 801 | ||||||
| 1.85%, 3/25/2026 |
1,000 | 960 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (d) |
400 | 378 | ||||||
| 2.75%, 12/3/2030 |
600 | 547 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (d) |
1,000 | 927 | ||||||
| Bank of America Corp. |
||||||||
| (ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (d) |
547 | 556 | ||||||
| (ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (d) |
526 | 533 | ||||||
| Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (d) |
590 | 565 | ||||||
| (SOFR + 0.96%), 1.73%, 7/22/2027 (d) |
545 | 520 | ||||||
| (ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (d) |
1,700 | 1,761 | ||||||
| (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d) |
6,211 | 6,349 | ||||||
| (SOFR + 2.15%), 2.59%, 4/29/2031 (d) |
1,510 | 1,443 | ||||||
| (SOFR + 1.21%), 2.57%, 10/20/2032 (d) |
1,120 | 1,060 | ||||||
| (SOFR + 1.33%), 2.97%, 2/4/2033 (d) |
435 | 426 | ||||||
| (SOFR + 1.93%), 2.68%, 6/19/2041 (d) |
3,685 | 3,236 | ||||||
| Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (d) |
755 | 710 | ||||||
| Bank of Montreal (Canada) 1.85%, 5/1/2025 |
950 | 939 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Banks — continued |
| |||||||
| Banque Federative du Credit Mutuel SA (France) |
||||||||
| 3.75%, 7/20/2023 (b) |
540 | 554 | ||||||
| 2.38%, 11/21/2024 (b) |
813 | 813 | ||||||
| Barclays plc (United Kingdom) |
1,452 | 1,415 | ||||||
| 3.65%, 3/16/2025 |
1,000 | 1,025 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (d) |
585 | 554 | ||||||
| BNP Paribas SA (France) |
425 | 433 | ||||||
| (SOFR + 2.07%), 2.22%, 6/9/2026 (b) (d) |
407 | 399 | ||||||
| (SOFR + 1.00%), 1.32%, 1/13/2027 (b) (d) |
323 | 304 | ||||||
| (SOFR + 1.22%), 2.16%, 9/15/2029 (b) (d) |
1,446 | 1,339 | ||||||
| (SOFR + 1.51%), 3.05%, 1/13/2031 (b) (d) |
1,065 | 1,036 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (d) |
1,200 | 1,083 | ||||||
| BNZ International Funding Ltd. (New Zealand) 2.65%, 11/3/2022 (b) |
632 | 638 | ||||||
| Citigroup, Inc. |
||||||||
| 4.40%, 6/10/2025 |
865 | 908 | ||||||
| 4.30%, 11/20/2026 |
1,200 | 1,276 | ||||||
| 6.63%, 1/15/2028 |
250 | 299 | ||||||
| (ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (d) |
1,573 | 1,628 | ||||||
| (SOFR + 1.17%), 2.56%, 5/1/2032 (d) |
2,145 | 2,035 | ||||||
| (SOFR + 1.18%), 2.52%, 11/3/2032 (d) |
885 | 833 | ||||||
| (SOFR + 1.35%), 3.06%, 1/25/2033 (d) |
719 | 709 | ||||||
| 8.13%, 7/15/2039 |
223 | 349 | ||||||
| Citizens Bank NA 3.70%, 3/29/2023 |
720 | 734 | ||||||
| Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) |
525 | 484 | ||||||
| Cooperatieve Rabobank UA (Netherlands) |
||||||||
| 4.38%, 8/4/2025 |
783 | 820 | ||||||
| 3.75%, 7/21/2026 |
945 | 974 | ||||||
| Credit Agricole SA (France) |
1,250 | 1,293 | ||||||
| (SOFR + 1.68%), 1.91%, 6/16/2026 (b) (d) |
500 | 487 | ||||||
| (SOFR + 0.89%), 1.25%, 1/26/2027 (b) (d) |
1,500 | 1,410 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Banks — continued |
||||||||
| 2.81%, 1/11/2041 (b) |
470 | 404 | ||||||
| Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (b) (d) |
2,110 | 2,095 | ||||||
| Discover Bank |
||||||||
| 3.35%, 2/6/2023 |
343 | 348 | ||||||
| 4.25%, 3/13/2026 |
1,205 | 1,276 | ||||||
| HSBC Holdings plc (United Kingdom) |
||||||||
| (ICE LIBOR USD 3 Month + 0.99%), |
||||||||
| 3.95%, 5/18/2024 (d) |
1,054 | 1,077 | ||||||
| 4.25%, 8/18/2025 |
939 | 976 | ||||||
| 3.90%, 5/25/2026 |
200 | 208 | ||||||
| (ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (d) |
904 | 937 | ||||||
| (SOFR + 1.73%), 2.01%, 9/22/2028 (d) |
1,215 | 1,141 | ||||||
| (SOFR + 1.29%), 2.21%, 8/17/2029 (d) |
815 | 760 | ||||||
| (SOFR + 1.95%), 2.36%, 8/18/2031 (d) |
1,160 | 1,065 | ||||||
| 6.10%, 1/14/2042 |
700 | 920 | ||||||
| ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (d) |
705 | 674 | ||||||
| KeyBank NA 3.18%, 5/22/2022 |
729 | 733 | ||||||
| Lloyds Banking Group plc (United Kingdom) |
||||||||
| (ICE LIBOR USD 3 Month + 0.81%), |
||||||||
| 2.91%, 11/7/2023 (d) |
612 | 616 | ||||||
| 4.58%, 12/10/2025 |
400 | 420 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (d) |
980 | 931 | ||||||
| 4.38%, 3/22/2028 |
475 | 506 | ||||||
| Mitsubishi UFJ Financial Group, Inc. (Japan) 3.75%, 7/18/2039 |
760 | 797 | ||||||
| Mizuho Financial Group, Inc. (Japan) |
||||||||
| (ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (d) |
875 | 864 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (d) |
1,057 | 990 | ||||||
| (SOFR + 1.57%), 2.87%, 9/13/2030 (d) |
720 | 706 | ||||||
| National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (d) |
1,025 | 1,038 | ||||||
| NatWest Group plc (United Kingdom) |
||||||||
| (ICE LIBOR USD 3 Month + 1.76%), |
||||||||
| 4.27%, 3/22/2025 (d) |
480 | 496 | ||||||
| 4.80%, 4/5/2026 |
2,010 | 2,156 | ||||||
| (ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (d) |
290 | 316 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 9 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Banks — continued |
| |||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (d) |
900 | 910 | ||||||
| (ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (d) |
640 | 683 | ||||||
| NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b) |
435 | 413 | ||||||
| Nordea Bank Abp (Finland) |
||||||||
| 4.25%, 9/21/2022 (b) |
945 | 960 | ||||||
| 1.50%, 9/30/2026 (b) |
556 | 529 | ||||||
| Royal Bank of Canada (Canada) 4.65%, 1/27/2026 |
337 | 363 | ||||||
| Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (d) |
930 | 879 | ||||||
| Societe Generale SA (France) |
||||||||
| 5.00%, 1/17/2024 (b) |
370 | 383 | ||||||
| 4.25%, 8/19/2026 (b) |
1,742 | 1,785 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (d) |
2,205 | 2,061 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (d) |
395 | 369 | ||||||
| 3.00%, 1/22/2030 (b) |
235 | 226 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (d) |
915 | 850 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (d) |
755 | 687 | ||||||
| Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (b) |
700 | 729 | ||||||
| (ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (d) |
400 | 407 | ||||||
| (ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (d) |
570 | 567 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (d) |
485 | 455 | ||||||
| (USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (d) |
200 | 206 | ||||||
| Sumitomo Mitsui Financial Group, Inc. (Japan) |
||||||||
| 4.44%, 4/2/2024 (b) |
500 | 520 | ||||||
| 1.47%, 7/8/2025 |
542 | 523 | ||||||
| 2.63%, 7/14/2026 |
872 | 874 | ||||||
| 3.04%, 7/16/2029 |
1,315 | 1,311 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Banks — continued |
| |||||||
| Truist Financial Corp. 4.00%, 5/1/2025 |
265 | 278 | ||||||
| UniCredit SpA (Italy) |
905 | 866 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (d) |
665 | 620 | ||||||
| (USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (d) |
200 | 202 | ||||||
| (USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (b) (d) |
300 | 326 | ||||||
| US Bancorp 7.50%, 6/1/2026 |
1,277 | 1,528 | ||||||
| Wells Fargo & Co. |
||||||||
| 4.48%, 1/16/2024 |
702 | 734 | ||||||
| (ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (d) |
1,827 | 1,855 | ||||||
| 4.65%, 11/4/2044 |
1,180 | 1,296 | ||||||
| 4.40%, 6/14/2046 |
300 | 321 | ||||||
| Westpac Banking Corp. (Australia) 3.13%, 11/18/2041 |
882 | 792 | ||||||
|
|
|
|||||||
| 99,297 | ||||||||
|
|
|
|||||||
| Beverages — 0.4% |
| |||||||
| Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 |
2,583 | 2,880 | ||||||
| Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044 |
70 | 76 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
||||||||
| 4.44%, 10/6/2048 |
780 | 834 | ||||||
| 4.60%, 6/1/2060 |
375 | 410 | ||||||
| Coca-Cola Femsa SAB de CV (Mexico) |
||||||||
| 2.75%, 1/22/2030 |
790 | 759 | ||||||
| 1.85%, 9/1/2032 |
675 | 588 | ||||||
| Constellation Brands, Inc. |
||||||||
| 4.40%, 11/15/2025 |
325 | 345 | ||||||
| 5.25%, 11/15/2048 |
220 | 256 | ||||||
| Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022 |
255 | 264 | ||||||
| Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 |
1,060 | 984 | ||||||
| Keurig Dr Pepper, Inc. |
||||||||
| 4.42%, 5/25/2025 |
149 | 158 | ||||||
| 3.43%, 6/15/2027 |
250 | 259 | ||||||
| 4.99%, 5/25/2038 |
215 | 244 | ||||||
|
|
|
|||||||
| 8,057 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Biotechnology — 0.5% |
| |||||||
| AbbVie, Inc. |
||||||||
| 2.80%, 3/15/2023 |
525 | 527 | ||||||
| 3.85%, 6/15/2024 |
443 | 458 | ||||||
| 3.20%, 11/21/2029 |
1,832 | 1,855 | ||||||
| 4.05%, 11/21/2039 |
1,809 | 1,899 | ||||||
| 4.63%, 10/1/2042 |
480 | 531 | ||||||
| 4.40%, 11/6/2042 |
790 | 852 | ||||||
| 4.45%, 5/14/2046 |
190 | 205 | ||||||
| Amgen, Inc. 3.00%, 1/15/2052 |
845 | 724 | ||||||
| Baxalta, Inc. |
||||||||
| 3.60%, 6/23/2022 |
149 | 150 | ||||||
| 5.25%, 6/23/2045 |
50 | 59 | ||||||
| Biogen, Inc. 2.25%, 5/1/2030 |
1,150 | 1,051 | ||||||
| Gilead Sciences, Inc. 2.60%, 10/1/2040 |
1,225 | 1,058 | ||||||
| Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 |
1,270 | 1,134 | ||||||
|
|
|
|||||||
| 10,503 | ||||||||
|
|
|
|||||||
| Building Products — 0.1% |
| |||||||
| Masco Corp. |
||||||||
| 2.00%, 10/1/2030 |
340 | 310 | ||||||
| 6.50%, 8/15/2032 |
600 | 753 | ||||||
|
|
|
|||||||
| 1,063 | ||||||||
|
|
|
|||||||
| Capital Markets — 2.1% |
| |||||||
| Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026 |
254 | 260 | ||||||
| Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) |
429 | 463 | ||||||
| Blackstone Secured Lending Fund 3.65%, 7/14/2023 |
795 | 807 | ||||||
| Brookfield Finance, Inc. (Canada) |
||||||||
| 3.90%, 1/25/2028 |
337 | 354 | ||||||
| 4.85%, 3/29/2029 |
411 | 451 | ||||||
| 4.70%, 9/20/2047 |
88 | 96 | ||||||
| Credit Suisse AG (Switzerland) 3.63%, 9/9/2024 |
402 | 415 | ||||||
| Credit Suisse Group AG (Switzerland) |
||||||||
| 3.80%, 6/9/2023 |
800 | 818 | ||||||
| (SOFR + 1.56%), 2.59%, 9/11/2025 (b) (d) |
250 | 249 | ||||||
| (SOFR + 2.04%), 2.19%, 6/5/2026 (b) (d) |
490 | 476 | ||||||
| (SOFR + 0.98%), 1.31%, 2/2/2027 (b) (d) |
1,360 | 1,260 | ||||||
| 4.28%, 1/9/2028 (b) |
1,162 | 1,208 | ||||||
| (SOFR + 1.73%), 3.09%, 5/14/2032 (b) (d) |
840 | 797 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Capital Markets — continued |
| |||||||
| Deutsche Bank AG (Germany) |
||||||||
| 3.30%, 11/16/2022 |
1,000 | 1,011 | ||||||
| (SOFR + 2.16%), 2.22%, 9/18/2024 (d) |
1,225 | 1,222 | ||||||
| (SOFR + 1.87%), 2.13%, 11/24/2026 (d) |
780 | 751 | ||||||
| (SOFR + 1.32%), 2.55%, 1/7/2028 (d) |
1,300 | 1,248 | ||||||
| FMR LLC 6.45%, 11/15/2039 (b) |
500 | 670 | ||||||
| Goldman Sachs Group, Inc. (The) |
||||||||
| 4.25%, 10/21/2025 |
1,415 | 1,486 | ||||||
| 3.50%, 11/16/2026 |
469 | 480 | ||||||
| (SOFR + 0.80%), 1.43%, 3/9/2027 (d) |
2,900 | 2,740 | ||||||
| (SOFR + 0.91%), 1.95%, 10/21/2027 (d) |
780 | 747 | ||||||
| (SOFR + 1.11%), 2.64%, 2/24/2028 (d) |
1,260 | 1,242 | ||||||
| (ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d) |
3,776 | 3,909 | ||||||
| (ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (d) |
505 | 535 | ||||||
| (SOFR + 1.09%), 1.99%, 1/27/2032 (d) |
880 | 793 | ||||||
| (SOFR + 1.28%), 2.62%, 4/22/2032 (d) |
1,000 | 945 | ||||||
| (SOFR + 1.25%), 2.38%, 7/21/2032 (d) |
1,055 | 978 | ||||||
| 6.75%, 10/1/2037 |
685 | 900 | ||||||
| Jefferies Group LLC 6.45%, 6/8/2027 |
749 | 879 | ||||||
| Macquarie Bank Ltd. (Australia) |
1,000 | 1,051 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) (d) |
575 | 536 | ||||||
| Macquarie Group Ltd. (Australia) |
510 | 482 | ||||||
| (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (d) |
700 | 776 | ||||||
| Morgan Stanley |
||||||||
| (SOFR + 1.99%), 2.19%, 4/28/2026 (d) |
985 | 972 | ||||||
| 3.63%, 1/20/2027 |
2,470 | 2,573 | ||||||
| (SOFR + 1.00%), 2.48%, 1/21/2028 (d) |
960 | 944 | ||||||
| (SOFR + 1.03%), 1.79%, 2/13/2032 (d) |
440 | 393 | ||||||
| (ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (d) |
1,265 | 1,374 | ||||||
| 4.30%, 1/27/2045 |
485 | 527 | ||||||
| Nomura Holdings, Inc. (Japan) |
||||||||
| 2.65%, 1/16/2025 |
1,094 | 1,097 | ||||||
| 2.68%, 7/16/2030 |
700 | 664 | ||||||
| UBS Group AG (Switzerland) |
269 | 270 | ||||||
| (ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (b) (d) |
200 | 201 | ||||||
| 4.13%, 9/24/2025 (b) |
300 | 314 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 11 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Capital Markets — continued |
| |||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (b) (d) |
255 | 241 | ||||||
| (ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (d) |
965 | 954 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (d) |
1,480 | 1,347 | ||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (d) |
360 | 343 | ||||||
|
|
|
|||||||
| 43,249 | ||||||||
|
|
|
|||||||
| Chemicals — 0.2% |
| |||||||
| Albemarle Corp. 5.45%, 12/1/2044 |
150 | 180 | ||||||
| DuPont de Nemours, Inc. 5.32%, 11/15/2038 |
980 | 1,165 | ||||||
| International Flavors & Fragrances, Inc. 5.00%, 9/26/2048 |
365 | 417 | ||||||
| Nutrien Ltd. (Canada) |
||||||||
| 4.20%, 4/1/2029 |
175 | 189 | ||||||
| 4.13%, 3/15/2035 |
455 | 491 | ||||||
| 5.00%, 4/1/2049 |
230 | 278 | ||||||
| Union Carbide Corp. 7.75%, 10/1/2096 |
850 | 1,309 | ||||||
|
|
|
|||||||
| 4,029 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.1% |
| |||||||
| Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 |
365 | 339 | ||||||
| Republic Services, Inc. 1.45%, 2/15/2031 |
910 | 806 | ||||||
|
|
|
|||||||
| 1,145 | ||||||||
|
|
|
|||||||
| Construction & Engineering — 0.1% |
| |||||||
| Quanta Services, Inc. |
||||||||
| 2.90%, 10/1/2030 |
1,440 | 1,381 | ||||||
| 2.35%, 1/15/2032 |
1,095 | 994 | ||||||
|
|
|
|||||||
| 2,375 | ||||||||
|
|
|
|||||||
| Construction Materials — 0.1% |
| |||||||
| CRH America, Inc. (Ireland) |
||||||||
| 3.88%, 5/18/2025 (b) |
417 | 434 | ||||||
| 5.13%, 5/18/2045 (b) |
893 | 1,076 | ||||||
| Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
770 | 802 | ||||||
|
|
|
|||||||
| 2,312 | ||||||||
|
|
|
|||||||
| Consumer Finance — 1.3% |
| |||||||
| AerCap Ireland Capital DAC (Ireland) |
||||||||
| 4.50%, 9/15/2023 |
2,420 | 2,493 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Consumer Finance — continued |
| |||||||
| 2.88%, 8/14/2024 |
600 | 600 | ||||||
| 6.50%, 7/15/2025 |
246 | 271 | ||||||
| 1.75%, 1/30/2026 |
860 | 815 | ||||||
| 2.45%, 10/29/2026 |
560 | 540 | ||||||
| 3.00%, 10/29/2028 |
690 | 665 | ||||||
| 3.30%, 1/30/2032 |
655 | 622 | ||||||
| Avolon Holdings Funding Ltd. (Ireland) |
||||||||
| 3.63%, 5/1/2022 (b) |
2,000 | 2,004 | ||||||
| 2.88%, 2/15/2025 (b) |
450 | 446 | ||||||
| 5.50%, 1/15/2026 (b) |
1,000 | 1,065 | ||||||
| 2.13%, 2/21/2026 (b) |
620 | 599 | ||||||
| 4.25%, 4/15/2026 (b) |
1,200 | 1,233 | ||||||
| 4.38%, 5/1/2026 (b) |
820 | 844 | ||||||
| 2.53%, 11/18/2027 (b) |
7,294 | 6,830 | ||||||
| Capital One Financial Corp. |
||||||||
| 3.20%, 2/5/2025 |
1,069 | 1,091 | ||||||
| 4.20%, 10/29/2025 |
250 | 262 | ||||||
| (SOFR + 1.27%), 2.62%, 11/2/2032 (d) |
920 | 859 | ||||||
| General Motors Financial Co., Inc. |
||||||||
| 1.20%, 10/15/2024 |
470 | 457 | ||||||
| 1.25%, 1/8/2026 |
1,781 | 1,681 | ||||||
| 4.35%, 1/17/2027 |
430 | 452 | ||||||
| 2.35%, 1/8/2031 |
520 | 470 | ||||||
| 2.70%, 6/10/2031 |
910 | 842 | ||||||
| Park Aerospace Holdings Ltd. (Ireland) |
||||||||
| 4.50%, 3/15/2023 (b) |
1,005 | 1,026 | ||||||
| 5.50%, 2/15/2024 (b) |
1,626 | 1,702 | ||||||
|
|
|
|||||||
| 27,869 | ||||||||
|
|
|
|||||||
| Containers & Packaging — 0.1% |
| |||||||
| Graphic Packaging International LLC 1.51%, 4/15/2026 (b) |
1,246 | 1,193 | ||||||
| Packaging Corp. of America 4.05%, 12/15/2049 |
845 | 881 | ||||||
| WRKCo, Inc. |
||||||||
| 3.75%, 3/15/2025 |
400 | 416 | ||||||
| 3.90%, 6/1/2028 |
170 | 177 | ||||||
|
|
|
|||||||
| 2,667 | ||||||||
|
|
|
|||||||
| Diversified Consumer Services — 0.1% |
| |||||||
| Pepperdine University Series 2020, 3.30%, 12/1/2059 |
600 | 589 | ||||||
| University of Southern California Series A, 3.23%, 10/1/2120 |
570 | 533 | ||||||
|
|
|
|||||||
| 1,122 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Diversified Financial Services — 0.4% |
| |||||||
| CK Hutchison International 19 Ltd. (United Kingdom) 3.63%, 4/11/2029 (b) |
1,215 | 1,280 | ||||||
| GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (b) |
1,436 | 1,467 | ||||||
| Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (b) |
539 | 545 | ||||||
| Mitsubishi HC Capital, Inc. (Japan) 2.65%, 9/19/2022 (b) |
606 | 608 | ||||||
| ORIX Corp. (Japan) 2.90%, 7/18/2022 |
553 | 557 | ||||||
| Shell International Finance BV (Netherlands) 2.38%, 11/7/2029 |
2,280 | 2,222 | ||||||
| Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b) |
513 | 591 | ||||||
|
|
|
|||||||
| 7,270 | ||||||||
|
|
|
|||||||
| Diversified Telecommunication Services — 0.7% |
| |||||||
| AT&T, Inc. |
||||||||
| 2.30%, 6/1/2027 |
2,340 | 2,308 | ||||||
| 1.65%, 2/1/2028 |
250 | 236 | ||||||
| 3.50%, 6/1/2041 |
646 | 614 | ||||||
| 3.55%, 9/15/2055 |
2,984 | 2,706 | ||||||
| Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) |
335 | 313 | ||||||
| Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) |
232 | 262 | ||||||
| Verizon Communications, Inc. |
||||||||
| 2.10%, 3/22/2028 |
795 | 768 | ||||||
| 4.33%, 9/21/2028 |
962 | 1,048 | ||||||
| 2.36%, 3/15/2032 (b) |
787 | 735 | ||||||
| 4.27%, 1/15/2036 |
1,445 | 1,574 | ||||||
| 2.65%, 11/20/2040 |
988 | 857 | ||||||
| 3.40%, 3/22/2041 |
1,060 | 1,021 | ||||||
| 2.99%, 10/30/2056 |
545 | 465 | ||||||
| 3.70%, 3/22/2061 |
1,045 | 996 | ||||||
|
|
|
|||||||
| 13,903 | ||||||||
|
|
|
|||||||
| Electric Utilities — 2.1% |
| |||||||
| Alabama Power Co. 6.13%, 5/15/2038 |
239 | 310 | ||||||
| Arizona Public Service Co. 5.05%, 9/1/2041 |
200 | 223 | ||||||
| Baltimore Gas and Electric Co. |
||||||||
| 3.50%, 8/15/2046 |
376 | 373 | ||||||
| 2.90%, 6/15/2050 |
450 | 406 | ||||||
| China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) |
1,234 | 1,290 | ||||||
| Duke Energy Carolinas LLC 4.25%, 12/15/2041 |
129 | 139 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Electric Utilities — continued |
| |||||||
| Duke Energy Corp. 3.75%, 9/1/2046 |
985 | 941 | ||||||
| Duke Energy Progress LLC |
||||||||
| 4.10%, 5/15/2042 |
273 | 286 | ||||||
| 4.10%, 3/15/2043 |
125 | 131 | ||||||
| 2.90%, 8/15/2051 |
820 | 737 | ||||||
| Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b) |
750 | 766 | ||||||
| Edison International 3.55%, 11/15/2024 |
1,591 | 1,623 | ||||||
| Emera US Finance LP (Canada) 4.75%, 6/15/2046 |
700 | 739 | ||||||
| Entergy Arkansas LLC |
||||||||
| 3.50%, 4/1/2026 |
175 | 182 | ||||||
| 2.65%, 6/15/2051 |
415 | 345 | ||||||
| Entergy Corp. 2.95%, 9/1/2026 |
336 | 340 | ||||||
| Entergy Louisiana LLC |
||||||||
| 3.05%, 6/1/2031 |
629 | 629 | ||||||
| 2.90%, 3/15/2051 |
490 | 434 | ||||||
| Evergy Metro, Inc. 5.30%, 10/1/2041 |
1,400 | 1,682 | ||||||
| Evergy, Inc. 2.90%, 9/15/2029 |
985 | 977 | ||||||
| Fells Point Funding Trust 3.05%, 1/31/2027 (b) |
2,405 | 2,383 | ||||||
| FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) |
240 | 247 | ||||||
| Fortis, Inc. (Canada) 3.06%, 10/4/2026 |
500 | 506 | ||||||
| Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 |
350 | 400 | ||||||
| ITC Holdings Corp. |
||||||||
| 2.70%, 11/15/2022 |
900 | 908 | ||||||
| 2.95%, 5/14/2030 (b) |
440 | 433 | ||||||
| Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) |
560 | 589 | ||||||
| John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 |
705 | 810 | ||||||
| Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) |
315 | 334 | ||||||
| Nevada Power Co. |
||||||||
| Series N, 6.65%, 4/1/2036 |
100 | 134 | ||||||
| 5.45%, 5/15/2041 |
305 | 367 | ||||||
| Niagara Mohawk Power Corp. |
||||||||
| 3.51%, 10/1/2024 (b) |
493 | 505 | ||||||
| 1.96%, 6/27/2030 (b) |
1,000 | 929 | ||||||
| NRG Energy, Inc. |
||||||||
| 2.00%, 12/2/2025 (b) |
710 | 688 | ||||||
| 2.45%, 12/2/2027 (b) |
795 | 756 | ||||||
| 4.45%, 6/15/2029 (b) |
615 | 642 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 13 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Electric Utilities — continued |
| |||||||
| OGE Energy Corp. 0.70%, 5/26/2023 |
560 | 551 | ||||||
| Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 |
675 | 665 | ||||||
| Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 |
110 | 129 | ||||||
| Pacific Gas and Electric Co. |
||||||||
| 1.75%, 6/16/2022 |
4,500 | 4,495 | ||||||
| 1.37%, 3/10/2023 |
2,135 | 2,112 | ||||||
| 1.70%, 11/15/2023 |
690 | 678 | ||||||
| 3.25%, 2/16/2024 |
2,060 | 2,074 | ||||||
| 3.45%, 7/1/2025 |
795 | 803 | ||||||
| 2.95%, 3/1/2026 |
500 | 494 | ||||||
| 4.20%, 6/1/2041 |
695 | 630 | ||||||
| 3.75%, 8/15/2042 (e) |
308 | 263 | ||||||
| 4.30%, 3/15/2045 |
525 | 472 | ||||||
| PECO Energy Co. 2.80%, 6/15/2050 |
410 | 364 | ||||||
| Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) |
150 | 150 | ||||||
| Pepco Holdings LLC 7.45%, 8/15/2032 |
316 | 410 | ||||||
| Potomac Electric Power Co. 6.50%, 11/15/2037 |
1,085 | 1,474 | ||||||
| Progress Energy, Inc. 7.00%, 10/30/2031 |
300 | 385 | ||||||
| Public Service Co. of Colorado 3.55%, 6/15/2046 |
214 | 208 | ||||||
| Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 |
2,490 | 3,238 | ||||||
| Public Service Electric and Gas Co. 5.38%, 11/1/2039 |
317 | 389 | ||||||
| Southern California Edison Co. |
||||||||
| Series B, 3.65%, 3/1/2028 |
400 | 415 | ||||||
| Series 08-A, 5.95%, 2/1/2038 |
200 | 239 | ||||||
| 4.05%, 3/15/2042 |
552 | 539 | ||||||
| Southwestern Public Service Co. 4.50%, 8/15/2041 |
200 | 222 | ||||||
| Toledo Edison Co. (The) 6.15%, 5/15/2037 |
300 | 383 | ||||||
|
|
|
|||||||
| 44,966 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.0% (c) |
| |||||||
| Eaton Corp. |
||||||||
| 7.63%, 4/1/2024 |
300 | 330 | ||||||
| 4.00%, 11/2/2032 |
170 | 186 | ||||||
|
|
|
|||||||
| 516 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
| Arrow Electronics, Inc. |
||||||||
| 4.50%, 3/1/2023 |
190 | 194 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Electronic Equipment, Instruments & Components — continued |
| |||||||
| 3.25%, 9/8/2024 |
219 | 223 | ||||||
| 3.88%, 1/12/2028 |
442 | 460 | ||||||
| Corning, Inc. 3.90%, 11/15/2049 |
1,043 | 1,051 | ||||||
|
|
|
|||||||
| 1,928 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 0.1% |
| |||||||
| Baker Hughes Holdings LLC 5.13%, 9/15/2040 |
300 | 340 | ||||||
| Halliburton Co. 4.75%, 8/1/2043 |
540 | 569 | ||||||
| Schlumberger Holdings Corp. |
||||||||
| 4.00%, 12/21/2025 (b) |
13 | 14 | ||||||
| 3.90%, 5/17/2028 (b) |
1,126 | 1,171 | ||||||
|
|
|
|||||||
| 2,094 | ||||||||
|
|
|
|||||||
| Entertainment — 0.1% |
| |||||||
| Activision Blizzard, Inc. 1.35%, 9/15/2030 |
842 | 750 | ||||||
| Walt Disney Co. (The) |
||||||||
| 8.88%, 4/26/2023 |
430 | 465 | ||||||
| 6.20%, 12/15/2034 |
100 | 129 | ||||||
|
|
|
|||||||
| 1,344 | ||||||||
|
|
|
|||||||
| Equity Real Estate Investment Trusts (REITs) — 1.9% |
| |||||||
| Alexandria Real Estate Equities, Inc. |
||||||||
| 3.80%, 4/15/2026 |
135 | 142 | ||||||
| 2.00%, 5/18/2032 |
980 | 886 | ||||||
| 4.00%, 2/1/2050 |
653 | 673 | ||||||
| American Campus Communities Operating Partnership LP 3.63%, 11/15/2027 |
500 | 518 | ||||||
| American Tower Corp. |
||||||||
| 5.00%, 2/15/2024 |
974 | 1,025 | ||||||
| 3.38%, 10/15/2026 |
312 | 320 | ||||||
| 1.50%, 1/31/2028 |
1,215 | 1,110 | ||||||
| 2.10%, 6/15/2030 |
630 | 570 | ||||||
| 1.88%, 10/15/2030 |
1,090 | 965 | ||||||
| 3.70%, 10/15/2049 |
935 | 865 | ||||||
| 3.10%, 6/15/2050 |
496 | 416 | ||||||
| 2.95%, 1/15/2051 |
324 | 266 | ||||||
| Boston Properties LP |
||||||||
| 3.20%, 1/15/2025 |
532 | 544 | ||||||
| 3.65%, 2/1/2026 |
483 | 500 | ||||||
| Brixmor Operating Partnership LP |
||||||||
| 3.85%, 2/1/2025 |
400 | 415 | ||||||
| 2.25%, 4/1/2028 |
840 | 800 | ||||||
| 2.50%, 8/16/2031 |
425 | 393 | ||||||
| Corporate Office Properties LP 2.00%, 1/15/2029 |
335 | 310 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
| Crown Castle International Corp. |
||||||||
| 4.00%, 3/1/2027 |
264 | 275 | ||||||
| 2.25%, 1/15/2031 |
1,235 | 1,113 | ||||||
| Digital Realty Trust LP 3.70%, 8/15/2027 |
252 | 264 | ||||||
| Duke Realty LP |
||||||||
| 3.25%, 6/30/2026 |
239 | 246 | ||||||
| 2.88%, 11/15/2029 |
380 | 378 | ||||||
| Equinix, Inc. 2.90%, 11/18/2026 |
1,130 | 1,140 | ||||||
| Essex Portfolio LP 2.65%, 3/15/2032 |
2,000 | 1,913 | ||||||
| Healthcare Trust of America Holdings LP |
||||||||
| 3.10%, 2/15/2030 |
1,604 | 1,589 | ||||||
| 2.00%, 3/15/2031 |
610 | 553 | ||||||
| Healthpeak Properties, Inc. |
||||||||
| 3.40%, 2/1/2025 |
17 | 18 | ||||||
| 3.50%, 7/15/2029 |
772 | 799 | ||||||
| Life Storage LP |
||||||||
| 4.00%, 6/15/2029 |
859 | 913 | ||||||
| 2.40%, 10/15/2031 |
485 | 451 | ||||||
| Mid-America Apartments LP 3.95%, 3/15/2029 |
920 | 985 | ||||||
| National Retail Properties, Inc. |
||||||||
| 4.00%, 11/15/2025 |
783 | 828 | ||||||
| 4.30%, 10/15/2028 |
620 | 665 | ||||||
| Office Properties Income Trust |
||||||||
| 4.00%, 7/15/2022 |
784 | 790 | ||||||
| 2.40%, 2/1/2027 |
980 | 908 | ||||||
| 3.45%, 10/15/2031 |
490 | 448 | ||||||
| Physicians Realty LP 2.63%, 11/1/2031 |
505 | 474 | ||||||
| Prologis LP 3.00%, 4/15/2050 |
905 | 835 | ||||||
| Public Storage |
||||||||
| 1.95%, 11/9/2028 |
615 | 588 | ||||||
| 2.25%, 11/9/2031 |
516 | 493 | ||||||
| Realty Income Corp. 1.80%, 3/15/2033 |
530 | 463 | ||||||
| Regency Centers LP 2.95%, 9/15/2029 |
745 | 738 | ||||||
| Sabra Health Care LP 3.20%, 12/1/2031 |
825 | 767 | ||||||
| Safehold Operating Partnership LP 2.80%, 6/15/2031 |
2,940 | 2,746 | ||||||
| Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) |
420 | 432 | ||||||
| Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (b) (d) |
1,320 | 1,317 | ||||||
| SITE Centers Corp. 4.70%, 6/1/2027 |
330 | 354 | ||||||
| UDR, Inc. |
||||||||
| 2.95%, 9/1/2026 |
382 | 388 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 3.00%, 8/15/2031 |
305 | 300 | ||||||
| 2.10%, 8/1/2032 |
640 | 576 | ||||||
| Ventas Realty LP |
||||||||
| 3.50%, 2/1/2025 |
242 | 249 | ||||||
| 4.13%, 1/15/2026 |
114 | 121 | ||||||
| 3.25%, 10/15/2026 |
292 | 299 | ||||||
| 3.85%, 4/1/2027 |
554 | 583 | ||||||
| Welltower, Inc. |
||||||||
| 2.70%, 2/15/2027 |
414 | 418 | ||||||
| 6.50%, 3/15/2041 |
350 | 471 | ||||||
| WP Carey, Inc. |
||||||||
| 4.25%, 10/1/2026 |
350 | 373 | ||||||
| 2.25%, 4/1/2033 |
1,180 | 1,057 | ||||||
|
|
|
|||||||
| 39,036 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 0.3% |
| |||||||
| 7-Eleven, Inc. |
||||||||
| 1.30%, 2/10/2028 (b) |
565 | 515 | ||||||
| 2.50%, 2/10/2041 (b) |
574 | 480 | ||||||
| Alimentation Couche-Tard, Inc. (Canada) |
||||||||
| 3.44%, 5/13/2041 (b) |
1,275 | 1,191 | ||||||
| 3.63%, 5/13/2051 (b) |
1,420 | 1,322 | ||||||
| CVS Pass-Through Trust |
772 | 894 | ||||||
| Series 2013, 4.70%, 1/10/2036 (b) |
596 | 652 | ||||||
| Kroger Co. (The) 5.00%, 4/15/2042 |
1,100 | 1,282 | ||||||
|
|
|
|||||||
| 6,336 | ||||||||
|
|
|
|||||||
| Food Products — 0.2% |
| |||||||
| Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 |
1,565 | 1,490 | ||||||
| Campbell Soup Co. 3.13%, 4/24/2050 |
315 | 273 | ||||||
| Conagra Brands, Inc. 5.30%, 11/1/2038 |
220 | 252 | ||||||
| Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 |
153 | 161 | ||||||
| Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) |
1,500 | 1,422 | ||||||
| Tyson Foods, Inc. |
||||||||
| 4.88%, 8/15/2034 |
300 | 339 | ||||||
| 5.15%, 8/15/2044 |
210 | 249 | ||||||
|
|
|
|||||||
| 4,186 | ||||||||
|
|
|
|||||||
| Gas Utilities — 0.1% |
| |||||||
| Atmos Energy Corp. |
||||||||
| 0.63%, 3/9/2023 |
430 | 425 | ||||||
| 4.15%, 1/15/2043 |
828 | 875 | ||||||
| 4.13%, 10/15/2044 |
125 | 130 | ||||||
| Boston Gas Co. 4.49%, 2/15/2042 (b) |
308 | 323 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 15 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Gas Utilities — continued |
| |||||||
| Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) |
440 | 442 | ||||||
| Southern Natural Gas Co. LLC |
||||||||
| 8.00%, 3/1/2032 |
351 | 465 | ||||||
| 4.80%, 3/15/2047 (b) |
367 | 399 | ||||||
|
|
|
|||||||
| 3,059 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 0.2% |
| |||||||
| Abbott Laboratories 4.75%, 11/30/2036 |
380 | 450 | ||||||
| Becton Dickinson and Co. 4.67%, 6/6/2047 |
365 | 409 | ||||||
| Boston Scientific Corp. 4.00%, 3/1/2029 |
535 | 568 | ||||||
| DH Europe Finance II SARL 3.25%, 11/15/2039 |
1,000 | 976 | ||||||
| Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 |
1,137 | 1,073 | ||||||
|
|
|
|||||||
| 3,476 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 0.9% |
| |||||||
| Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 |
710 | 681 | ||||||
| Aetna, Inc. 6.75%, 12/15/2037 |
440 | 595 | ||||||
| Anthem, Inc. |
||||||||
| 4.63%, 5/15/2042 |
500 | 558 | ||||||
| 4.65%, 1/15/2043 |
535 | 600 | ||||||
| 4.65%, 8/15/2044 |
100 | 112 | ||||||
| Ascension Health Series B, 2.53%, 11/15/2029 |
430 | 428 | ||||||
| Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 |
800 | 754 | ||||||
| Children’s Hospital Series 2020, 2.93%, 7/15/2050 |
650 | 567 | ||||||
| Children’s Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 |
580 | 495 | ||||||
| Cigna Corp. 4.50%, 2/25/2026 |
300 | 321 | ||||||
| CommonSpirit Health |
||||||||
| 1.55%, 10/1/2025 |
555 | 536 | ||||||
| 2.78%, 10/1/2030 |
550 | 537 | ||||||
| 3.91%, 10/1/2050 |
545 | 551 | ||||||
| CVS Health Corp. 4.30%, 3/25/2028 |
171 | 185 | ||||||
| Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 |
1,430 | 1,286 | ||||||
| HCA, Inc. |
||||||||
| 5.25%, 6/15/2026 |
1,680 | 1,819 | ||||||
| 5.13%, 6/15/2039 |
725 | 808 | ||||||
| 5.50%, 6/15/2047 |
190 | 222 | ||||||
| 3.50%, 7/15/2051 |
875 | 778 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Health Care Providers & Services — continued |
| |||||||
| Mayo Clinic Series 2016, 4.13%, 11/15/2052 |
225 | 259 | ||||||
| Memorial Health Services 3.45%, 11/1/2049 |
1,340 | 1,327 | ||||||
| Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 |
200 | 235 | ||||||
| MidMichigan Health Series 2020, 3.41%, 6/1/2050 |
310 | 302 | ||||||
| Quest Diagnostics, Inc. 3.45%, 6/1/2026 |
150 | 155 | ||||||
| Texas Health Resources 4.33%, 11/15/2055 |
300 | 361 | ||||||
| UnitedHealth Group, Inc. |
||||||||
| 3.50%, 8/15/2039 |
815 | 833 | ||||||
| 3.25%, 5/15/2051 |
560 | 544 | ||||||
| Universal Health Services, Inc. |
||||||||
| 2.65%, 10/15/2030 (b) |
690 | 652 | ||||||
| 2.65%, 1/15/2032 (b) |
875 | 814 | ||||||
| Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 |
780 | 654 | ||||||
|
|
|
|||||||
| 17,969 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 0.0% (c) |
| |||||||
| McDonald’s Corp. 4.70%, 12/9/2035 |
700 | 793 | ||||||
|
|
|
|||||||
| Household Durables — 0.1% |
| |||||||
| Lennar Corp. 4.50%, 4/30/2024 |
365 | 380 | ||||||
| MDC Holdings, Inc. 3.97%, 8/6/2061 |
1,100 | 900 | ||||||
|
|
|
|||||||
| 1,280 | ||||||||
|
|
|
|||||||
| Household Products — 0.0% (c) |
| |||||||
| Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (b) |
700 | 702 | ||||||
|
|
|
|||||||
| Independent Power and Renewable Electricity Producers — 0.1% |
| |||||||
| Alexander Funding Trust 1.84%, 11/15/2023 (b) |
1,000 | 993 | ||||||
| Constellation Energy Generation LLC 5.75%, 10/1/2041 |
235 | 261 | ||||||
| Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 |
417 | 432 | ||||||
|
|
|
|||||||
| 1,686 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.2% |
| |||||||
| GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 |
1,936 | 2,176 | ||||||
| Roper Technologies, Inc. |
||||||||
| 1.40%, 9/15/2027 |
1,370 | 1,278 | ||||||
| 2.00%, 6/30/2030 |
570 | 519 | ||||||
|
|
|
|||||||
| 3,973 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Insurance — 1.0% |
| |||||||
| AIA Group Ltd. (Hong Kong) |
||||||||
| 3.60%, 4/9/2029 (b) |
445 | 468 | ||||||
| 3.20%, 9/16/2040 (b) |
520 | 487 | ||||||
| AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) |
520 | 685 | ||||||
| American International Group, Inc. 3.88%, 1/15/2035 |
605 | 634 | ||||||
| Assurant, Inc. 4.20%, 9/27/2023 |
660 | 682 | ||||||
| Athene Global Funding |
||||||||
| 0.95%, 1/8/2024 (b) |
850 | 831 | ||||||
| 2.50%, 1/14/2025 (b) |
239 | 239 | ||||||
| 1.45%, 1/8/2026 (b) |
865 | 826 | ||||||
| 2.95%, 11/12/2026 (b) |
3,475 | 3,485 | ||||||
| Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042 |
1,000 | 1,124 | ||||||
| Brown & Brown, Inc. 2.38%, 3/15/2031 |
1,830 | 1,704 | ||||||
| CNA Financial Corp. 3.95%, 5/15/2024 |
463 | 478 | ||||||
| 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 | 531 | ||||||
| F&G Global Funding 1.75%, 6/30/2026 (b) |
750 | 722 | ||||||
| Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) |
208 | 240 | ||||||
| Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 |
500 | 473 | ||||||
| Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 |
400 | 424 | ||||||
| Intact US Holdings, Inc. 4.60%, 11/9/2022 |
500 | 508 | ||||||
| Liberty Mutual Group, Inc. |
||||||||
| 4.57%, 2/1/2029 (b) |
408 | 453 | ||||||
| 3.95%, 10/15/2050 (b) |
900 | 894 | ||||||
| Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b) |
100 | 117 | ||||||
| Markel Corp. 3.50%, 11/1/2027 |
200 | 208 | ||||||
| Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) |
795 | 760 | ||||||
| Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (d) |
266 | 266 | ||||||
| Prudential Financial, Inc. 3.91%, 12/7/2047 |
300 | 312 | ||||||
| Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) |
1,750 | 2,039 | ||||||
| Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (d) |
600 | 635 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Insurance — continued |
| |||||||
| Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) |
400 | 432 | ||||||
|
|
|
|||||||
| 20,657 | ||||||||
|
|
|
|||||||
| IT Services — 0.2% |
| |||||||
| CGI, Inc. (Canada) |
||||||||
| 1.45%, 9/14/2026 (b) |
843 | 802 | ||||||
| 2.30%, 9/14/2031 (b) |
1,515 | 1,398 | ||||||
| Fiserv, Inc. |
||||||||
| 3.20%, 7/1/2026 |
395 | 403 | ||||||
| 4.40%, 7/1/2049 |
375 | 400 | ||||||
| Global Payments, Inc. |
||||||||
| 3.20%, 8/15/2029 |
945 | 933 | ||||||
| 4.15%, 8/15/2049 |
795 | 783 | ||||||
|
|
|
|||||||
| 4,719 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 0.1% |
| |||||||
| Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 |
1,375 | 1,276 | ||||||
|
|
|
|||||||
| Machinery — 0.1% |
| |||||||
| nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 |
450 | 483 | ||||||
| Otis Worldwide Corp. 2.57%, 2/15/2030 |
1,430 | 1,383 | ||||||
| Parker-Hannifin Corp. 4.45%, 11/21/2044 |
592 | 654 | ||||||
| Xylem, Inc. 3.25%, 11/1/2026 |
197 | 203 | ||||||
|
|
|
|||||||
| 2,723 | ||||||||
|
|
|
|||||||
| Media — 0.6% |
| |||||||
| Charter Communications Operating LLC |
||||||||
| 6.38%, 10/23/2035 |
528 | 631 | ||||||
| 4.80%, 3/1/2050 |
1,475 | 1,443 | ||||||
| 3.70%, 4/1/2051 |
1,120 | 940 | ||||||
| Comcast Corp. |
||||||||
| 3.95%, 10/15/2025 |
696 | 734 | ||||||
| 3.55%, 5/1/2028 |
443 | 461 | ||||||
| 4.20%, 8/15/2034 |
555 | 607 | ||||||
| 3.25%, 11/1/2039 |
715 | 677 | ||||||
| 3.45%, 2/1/2050 |
609 | 568 | ||||||
| 2.89%, 11/1/2051 (b) |
1,086 | 943 | ||||||
| 2.94%, 11/1/2056 (b) |
1,079 | 908 | ||||||
| 2.99%, 11/1/2063 (b) |
908 | 756 | ||||||
| Cox Communications, Inc. 2.95%, 10/1/2050 (b) |
635 | 523 | ||||||
| Discovery Communications LLC |
||||||||
| 5.20%, 9/20/2047 |
175 | 187 | ||||||
| 4.00%, 9/15/2055 |
784 | 712 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 17 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Media — continued |
| |||||||
| Grupo Televisa SAB (Mexico) |
||||||||
| 4.63%, 1/30/2026 |
221 | 233 | ||||||
| 6.13%, 1/31/2046 |
200 | 249 | ||||||
| Paramount Global |
||||||||
| 4.00%, 1/15/2026 |
792 | 816 | ||||||
| 4.85%, 7/1/2042 |
140 | 148 | ||||||
| Time Warner Cable LLC |
||||||||
| 6.55%, 5/1/2037 |
400 | 480 | ||||||
| 5.50%, 9/1/2041 |
359 | 383 | ||||||
| Time Warner Entertainment Co. LP 8.38%, 7/15/2033 |
700 | 955 | ||||||
|
|
|
|||||||
| 13,354 | ||||||||
|
|
|
|||||||
| Metals & Mining — 0.2% |
| |||||||
| Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 |
295 | 382 | ||||||
| Glencore Funding LLC (Australia) |
||||||||
| 4.13%, 5/30/2023 (b) |
454 | 465 | ||||||
| 2.63%, 9/23/2031 (b) |
244 | 224 | ||||||
| Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 |
2,500 | 2,404 | ||||||
| Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 |
1,275 | 1,252 | ||||||
|
|
|
|||||||
| 4,727 | ||||||||
|
|
|
|||||||
| Multiline Retail — 0.1% |
| |||||||
| Dollar General Corp. 4.13%, 5/1/2028 |
235 | 252 | ||||||
| Kohl’s Corp. 3.38%, 5/1/2031 |
1,000 | 984 | ||||||
| Nordstrom, Inc. 4.25%, 8/1/2031 |
1,243 | 1,113 | ||||||
|
|
|
|||||||
| 2,349 | ||||||||
|
|
|
|||||||
| Multi-Utilities — 0.3% |
| |||||||
| CMS Energy Corp. 3.00%, 5/15/2026 |
475 | 481 | ||||||
| Delmarva Power & Light Co. 4.00%, 6/1/2042 |
235 | 236 | ||||||
| Dominion Energy, Inc. Series F, 5.25%, 8/1/2033 |
920 | 1,063 | ||||||
| NiSource, Inc. |
||||||||
| 1.70%, 2/15/2031 |
740 | 648 | ||||||
| 5.80%, 2/1/2042 |
1,256 | 1,500 | ||||||
| San Diego Gas & Electric Co. |
||||||||
| 6.00%, 6/1/2026 |
275 | 311 | ||||||
| 3.95%, 11/15/2041 |
379 | 385 | ||||||
| 2.95%, 8/15/2051 |
1,050 | 941 | ||||||
| Southern Co. Gas Capital Corp. |
||||||||
| 3.25%, 6/15/2026 |
254 | 261 | ||||||
| Series 21A, 3.15%, 9/30/2051 |
420 | 374 | ||||||
|
|
|
|||||||
| 6,200 | ||||||||
|
|
|
|||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Oil, Gas & Consumable Fuels — 2.0% |
| |||||||
| APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b) |
732 | 780 | ||||||
| BP Capital Markets America, Inc. 2.94%, 6/4/2051 |
1,995 | 1,678 | ||||||
| BP Capital Markets plc (United Kingdom) 3.51%, 3/17/2025 |
451 | 468 | ||||||
| Buckeye Partners LP 5.85%, 11/15/2043 |
770 | 671 | ||||||
| Cameron LNG LLC 3.70%, 1/15/2039 (b) |
961 | 959 | ||||||
| Cheniere Corpus Christi Holdings LLC |
||||||||
| 5.88%, 3/31/2025 |
1,490 | 1,609 | ||||||
| 5.13%, 6/30/2027 |
605 | 660 | ||||||
| 2.74%, 12/31/2039 (b) |
515 | 470 | ||||||
| ConocoPhillips 2.40%, 2/15/2031 (b) |
505 | 497 | ||||||
| Coterra Energy, Inc. 3.90%, 5/15/2027 (b) |
935 | 974 | ||||||
| Devon Energy Corp. 5.25%, 9/15/2024 |
790 | 839 | ||||||
| Diamondback Energy, Inc. |
||||||||
| 4.75%, 5/31/2025 |
1,085 | 1,155 | ||||||
| 3.25%, 12/1/2026 |
570 | 582 | ||||||
| Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 (b) |
807 | 789 | ||||||
| Ecopetrol SA (Colombia) |
||||||||
| 5.88%, 9/18/2023 |
226 | 235 | ||||||
| 4.13%, 1/16/2025 |
533 | 531 | ||||||
| Energy Transfer LP |
||||||||
| 4.75%, 1/15/2026 |
1,191 | 1,265 | ||||||
| 3.90%, 7/15/2026 |
244 | 253 | ||||||
| 5.50%, 6/1/2027 |
115 | 127 | ||||||
| 4.95%, 5/15/2028 |
325 | 348 | ||||||
| 4.15%, 9/15/2029 |
594 | 613 | ||||||
| 6.10%, 2/15/2042 |
400 | 445 | ||||||
| 5.30%, 4/1/2044 |
170 | 175 | ||||||
| 6.25%, 4/15/2049 |
800 | 924 | ||||||
| Eni SpA (Italy) 5.70%, 10/1/2040 (b) |
925 | 1,098 | ||||||
| Enterprise Products Operating LLC |
||||||||
| 3.90%, 2/15/2024 |
475 | 491 | ||||||
| 3.70%, 2/15/2026 |
506 | 529 | ||||||
| Exxon Mobil Corp. |
||||||||
| 3.00%, 8/16/2039 |
895 | 859 | ||||||
| 3.57%, 3/6/2045 |
1,215 | 1,222 | ||||||
| Flex Intermediate Holdco LLC |
||||||||
| 3.36%, 6/30/2031 (b) |
1,425 | 1,363 | ||||||
| 4.32%, 12/30/2039 (b) |
545 | 512 | ||||||
| Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) |
1,100 | 1,007 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Oil, Gas & Consumable Fuels — continued |
| |||||||
| Gray Oak Pipeline LLC |
||||||||
| 2.00%, 9/15/2023 (b) |
535 | 534 | ||||||
| 2.60%, 10/15/2025 (b) |
2,450 | 2,422 | ||||||
| Hess Corp. 6.00%, 1/15/2040 |
510 | 602 | ||||||
| HollyFrontier Corp. |
||||||||
| 2.63%, 10/1/2023 |
1,275 | 1,281 | ||||||
| 5.88%, 4/1/2026 |
577 | 625 | ||||||
| Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (b) |
497 | 480 | ||||||
| Magellan Midstream Partners LP 3.20%, 3/15/2025 |
353 | 356 | ||||||
| Marathon Petroleum Corp. 4.70%, 5/1/2025 |
380 | 404 | ||||||
| ONEOK Partners LP |
||||||||
| 3.38%, 10/1/2022 |
151 | 152 | ||||||
| 5.00%, 9/15/2023 |
334 | 347 | ||||||
| 6.65%, 10/1/2036 |
350 | 423 | ||||||
| Phillips 66 Partners LP 3.15%, 12/15/2029 |
985 | 973 | ||||||
| Pioneer Natural Resources Co. 1.90%, 8/15/2030 |
1,050 | 954 | ||||||
| Plains All American Pipeline LP |
||||||||
| 5.15%, 6/1/2042 |
460 | 455 | ||||||
| 4.70%, 6/15/2044 |
610 | 581 | ||||||
| Saudi Arabian Oil Co. (Saudi Arabia) |
||||||||
| 1.25%, 11/24/2023 (b) |
200 | 198 | ||||||
| 1.63%, 11/24/2025 (b) |
278 | 268 | ||||||
| Spectra Energy Partners LP 4.50%, 3/15/2045 |
495 | 519 | ||||||
| Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 |
1,195 | 1,564 | ||||||
| Texas Eastern Transmission LP |
||||||||
| 2.80%, 10/15/2022 (b) |
554 | 557 | ||||||
| 3.50%, 1/15/2028 (b) |
90 | 92 | ||||||
| TotalEnergies Capital International SA (France) |
||||||||
| 2.99%, 6/29/2041 |
1,200 | 1,100 | ||||||
| 3.46%, 7/12/2049 |
815 | 791 | ||||||
| 3.13%, 5/29/2050 |
1,180 | 1,090 | ||||||
| Valero Energy Corp. |
||||||||
| 2.15%, 9/15/2027 |
830 | 806 | ||||||
| 7.50%, 4/15/2032 |
175 | 230 | ||||||
|
|
|
|||||||
| 41,932 | ||||||||
|
|
|
|||||||
| Personal Products — 0.1% |
| |||||||
| Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 |
1,880 | 1,866 | ||||||
|
|
|
|||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Pharmaceuticals — 0.5% |
| |||||||
| AstraZeneca plc (United Kingdom) |
||||||||
| 6.45%, 9/15/2037 |
300 | 407 | ||||||
| 4.00%, 9/18/2042 |
240 | 261 | ||||||
| Bristol-Myers Squibb Co. |
||||||||
| 4.13%, 6/15/2039 |
545 | 597 | ||||||
| 5.00%, 8/15/2045 |
740 | 906 | ||||||
| Mylan, Inc. 5.40%, 11/29/2043 |
520 | 558 | ||||||
| Royalty Pharma plc |
||||||||
| 0.75%, 9/2/2023 |
945 | 927 | ||||||
| 1.20%, 9/2/2025 |
353 | 335 | ||||||
| Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 |
1,713 | 1,758 | ||||||
| Takeda Pharmaceutical Co. Ltd. (Japan) |
||||||||
| 5.00%, 11/26/2028 |
895 | 1,009 | ||||||
| 3.03%, 7/9/2040 |
1,265 | 1,143 | ||||||
| 3.18%, 7/9/2050 |
590 | 528 | ||||||
| Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 |
300 | 310 | ||||||
| Viatris, Inc. 3.85%, 6/22/2040 |
567 | 531 | ||||||
| Zoetis, Inc. 2.00%, 5/15/2030 |
760 | 706 | ||||||
|
|
|
|||||||
| 9,976 | ||||||||
|
|
|
|||||||
| Road & Rail — 0.4% |
| |||||||
| Burlington Northern Santa Fe LLC |
||||||||
| 5.75%, 5/1/2040 |
425 | 545 | ||||||
| 4.38%, 9/1/2042 |
375 | 420 | ||||||
| 5.15%, 9/1/2043 |
769 | 951 | ||||||
| 3.55%, 2/15/2050 |
465 | 467 | ||||||
| CSX Corp. |
||||||||
| 5.50%, 4/15/2041 |
150 | 185 | ||||||
| 4.75%, 5/30/2042 |
191 | 219 | ||||||
| 4.75%, 11/15/2048 |
600 | 700 | ||||||
| 3.35%, 9/15/2049 |
95 | 91 | ||||||
| JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 |
515 | 542 | ||||||
| Kansas City Southern 4.70%, 5/1/2048 |
712 | 813 | ||||||
| Norfolk Southern Corp. 4.05%, 8/15/2052 |
600 | 637 | ||||||
| Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b) |
1,131 | 1,163 | ||||||
| Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b) |
1,105 | 1,075 | ||||||
|
|
|
|||||||
| 7,808 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 0.6% |
| |||||||
| Analog Devices, Inc. 2.80%, 10/1/2041 |
896 | 826 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 19 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Semiconductors & Semiconductor Equipment — continued |
| |||||||
| Broadcom, Inc. |
||||||||
| 1.95%, 2/15/2028 (b) |
2,500 | 2,357 | ||||||
| 4.11%, 9/15/2028 |
1,425 | 1,497 | ||||||
| 3.14%, 11/15/2035 (b) |
1,413 | 1,309 | ||||||
| KLA Corp. 3.30%, 3/1/2050 |
600 | 567 | ||||||
| Microchip Technology, Inc. |
||||||||
| 0.97%, 2/15/2024 |
1,290 | 1,257 | ||||||
| 0.98%, 9/1/2024 (b) |
1,400 | 1,347 | ||||||
| NXP BV (China) |
||||||||
| 2.50%, 5/11/2031 (b) |
1,405 | 1,307 | ||||||
| 3.25%, 5/11/2041 (b) |
1,445 | 1,321 | ||||||
| Xilinx, Inc. 2.38%, 6/1/2030 |
895 | 861 | ||||||
|
|
|
|||||||
| 12,649 | ||||||||
|
|
|
|||||||
| Software — 0.3% |
| |||||||
| Citrix Systems, Inc. 1.25%, 3/1/2026 |
298 | 294 | ||||||
| Microsoft Corp. |
||||||||
| 3.50%, 2/12/2035 |
291 | 313 | ||||||
| 2.92%, 3/17/2052 |
1,118 | 1,068 | ||||||
| 3.04%, 3/17/2062 |
268 | 256 | ||||||
| Oracle Corp. |
||||||||
| 2.30%, 3/25/2028 |
1,405 | 1,338 | ||||||
| 4.30%, 7/8/2034 |
82 | 85 | ||||||
| 3.80%, 11/15/2037 |
500 | 475 | ||||||
| 3.60%, 4/1/2040 |
1,600 | 1,448 | ||||||
| 4.38%, 5/15/2055 |
900 | 854 | ||||||
| VMware, Inc. 4.65%, 5/15/2027 |
550 | 596 | ||||||
|
|
|
|||||||
| 6,727 | ||||||||
|
|
|
|||||||
| Specialty Retail — 0.2% |
| |||||||
| AutoZone, Inc. 1.65%, 1/15/2031 |
690 | 612 | ||||||
| Lowe’s Cos., Inc. 2.63%, 4/1/2031 |
2,760 | 2,667 | ||||||
| O’Reilly Automotive, Inc. 3.60%, 9/1/2027 |
432 | 451 | ||||||
|
|
|
|||||||
| 3,730 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
| Apple, Inc. |
||||||||
| 3.45%, 2/9/2045 |
1,130 | 1,155 | ||||||
| 3.85%, 8/4/2046 |
569 | 607 | ||||||
| 3.75%, 11/13/2047 |
150 | 160 | ||||||
| 2.70%, 8/5/2051 |
855 | 766 | ||||||
| Dell International LLC |
||||||||
| 5.45%, 6/15/2023 |
127 | 132 | ||||||
| 6.02%, 6/15/2026 |
2,132 | 2,380 | ||||||
| 3.45%, 12/15/2051 (b) |
167 | 141 | ||||||
| HP, Inc. 3.00%, 6/17/2027 |
665 | 671 | ||||||
|
|
|
|||||||
| 6,012 | ||||||||
|
|
|
|||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Thrifts & Mortgage Finance — 0.2% |
| |||||||
| BPCE SA (France) |
||||||||
| 4.63%, 7/11/2024 (b) |
800 | 831 | ||||||
| 1.00%, 1/20/2026 (b) |
1,005 | 947 | ||||||
| (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (d) |
690 | 658 | ||||||
| 3.38%, 12/2/2026 |
400 | 410 | ||||||
| (SOFR + 1.31%), 2.28%, 1/20/2032 (b) (d) |
730 | 663 | ||||||
| Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b) |
1,000 | 952 | ||||||
|
|
|
|||||||
| 4,461 | ||||||||
|
|
|
|||||||
| Tobacco — 0.3% |
| |||||||
| Altria Group, Inc. 2.45%, 2/4/2032 |
1,700 | 1,518 | ||||||
| BAT Capital Corp. (United Kingdom) |
||||||||
| 2.26%, 3/25/2028 |
780 | 728 | ||||||
| 4.39%, 8/15/2037 |
1,730 | 1,657 | ||||||
| 3.73%, 9/25/2040 |
520 | 448 | ||||||
| 4.54%, 8/15/2047 |
265 | 245 | ||||||
| 3.98%, 9/25/2050 |
815 | 702 | ||||||
| Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 |
100 | 118 | ||||||
|
|
|
|||||||
| 5,416 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 0.4% |
| |||||||
| Air Lease Corp. |
||||||||
| 3.38%, 7/1/2025 |
476 | 482 | ||||||
| 2.88%, 1/15/2026 |
1,000 | 996 | ||||||
| 3.75%, 6/1/2026 |
526 | 541 | ||||||
| 1.88%, 8/15/2026 |
960 | 910 | ||||||
| 3.25%, 10/1/2029 |
2,080 | 2,038 | ||||||
| Aviation Capital Group LLC |
||||||||
| 3.88%, 5/1/2023 (b) |
490 | 497 | ||||||
| 5.50%, 12/15/2024 (b) |
1,047 | 1,113 | ||||||
| BOC Aviation Ltd. (Singapore) |
||||||||
| 2.75%, 9/18/2022 (b) |
450 | 451 | ||||||
| 3.50%, 10/10/2024 (b) |
310 | 318 | ||||||
| International Lease Finance Corp. 5.88%, 8/15/2022 |
506 | 516 | ||||||
|
|
|
|||||||
| 7,862 | ||||||||
|
|
|
|||||||
| Water Utilities — 0.1% |
| |||||||
| American Water Capital Corp. |
||||||||
| 3.45%, 6/1/2029 |
795 | 820 | ||||||
| 3.45%, 5/1/2050 |
1,096 | 1,054 | ||||||
|
|
|
|||||||
| 1,874 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
||||||||
| Wireless Telecommunication Services — 0.4% |
| |||||||
| America Movil SAB de CV (Mexico) |
||||||||
| 3.63%, 4/22/2029 |
880 | 908 | ||||||
| 4.38%, 4/22/2049 |
441 | 484 | ||||||
| T-Mobile USA, Inc. |
||||||||
| 3.75%, 4/15/2027 |
1,453 | 1,509 | ||||||
| 2.05%, 2/15/2028 |
1,550 | 1,474 | ||||||
| 3.88%, 4/15/2030 |
1,980 | 2,048 | ||||||
| 3.60%, 11/15/2060 (b) |
915 | 800 | ||||||
| Vodafone Group plc (United Kingdom) |
||||||||
| 5.25%, 5/30/2048 |
496 | 569 | ||||||
| 4.88%, 6/19/2049 |
1,105 | 1,226 | ||||||
|
|
|
|||||||
| 9,018 | ||||||||
|
|
|
|||||||
| Total Corporate Bonds |
563,008 | |||||||
|
|
|
|||||||
| Mortgage-Backed Securities — 16.3% |
| |||||||
| FHLMC |
||||||||
| Pool # 846812, ARM, 2.37%, 4/1/2030 (h) |
4 | 4 | ||||||
| Pool # 781087, ARM, 2.36%, 12/1/2033 (h) |
113 | 114 | ||||||
| Pool # 1B1665, ARM, 2.05%, 4/1/2034 (h) |
70 | 71 | ||||||
| Pool # 847356, ARM, 2.69%, 12/1/2034 (h) |
50 | 50 | ||||||
| Pool # 782979, ARM, 2.37%, 1/1/2035 (h) |
103 | 107 | ||||||
| Pool # 1Q0025, ARM, 1.97%, 2/1/2036 (h) |
34 | 36 | ||||||
| Pool # 848431, ARM, 2.35%, 2/1/2036 (h) |
52 | 54 | ||||||
| Pool # 1L1286, ARM, 2.37%, 5/1/2036 (h) |
12 | 13 | ||||||
| Pool # 848365, ARM, 2.32%, 7/1/2036 (h) |
55 | 57 | ||||||
| Pool # 1G2539, ARM, 1.85%, 10/1/2036 (h) |
11 | 11 | ||||||
| Pool # 1A1096, ARM, 1.88%, 10/1/2036 (h) |
99 | 104 | ||||||
| Pool # 1J1348, ARM, 2.45%, 10/1/2036 (h) |
64 | 64 | ||||||
| Pool # 1G2671, ARM, 1.97%, 11/1/2036 (h) |
81 | 82 | ||||||
| Pool # 782760, ARM, 2.31%, 11/1/2036 (h) |
89 | 94 | ||||||
| Pool # 1J1634, ARM, 1.91%, 12/1/2036 (h) |
66 | 68 | ||||||
| Pool # 1Q0739, ARM, 2.13%, 3/1/2037 (h) |
82 | 86 | ||||||
| Pool # 848699, ARM, 2.10%, 7/1/2040 (h) |
120 | 124 | ||||||
| FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032 |
134 | 140 | ||||||
| FHLMC Gold Pools, 30 Year |
||||||||
| Pool # C68485, 7.00%, 7/1/2032 |
17 | 18 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Pool # G01448, 7.00%, 8/1/2032 |
37 | 41 | ||||||
| Pool # A13625, 5.50%, 10/1/2033 |
151 | 170 | ||||||
| Pool # A16107, 6.00%, 12/1/2033 |
65 | 71 | ||||||
| Pool # A17537, 6.00%, 1/1/2034 |
71 | 79 | ||||||
| Pool # A61572, 5.00%, 9/1/2034 |
394 | 440 | ||||||
| Pool # A28796, 6.50%, 11/1/2034 |
89 | 100 | ||||||
| Pool # G03369, 6.50%, 1/1/2035 |
168 | 183 | ||||||
| Pool # A46987, 5.50%, 7/1/2035 |
357 | 398 | ||||||
| Pool # G01919, 4.00%, 9/1/2035 |
180 | 192 | ||||||
| Pool # C02641, 7.00%, 10/1/2036 |
50 | 55 | ||||||
| Pool # C02660, 6.50%, 11/1/2036 |
106 | 122 | ||||||
| Pool # A93383, 5.00%, 8/1/2040 |
238 | 265 | ||||||
| Pool # A93511, 5.00%, 8/1/2040 |
253 | 281 | ||||||
| Pool # G06493, 4.50%, 5/1/2041 |
1,036 | 1,127 | ||||||
| Pool # Z40179, 4.00%, 7/1/2048 |
2,663 | 2,797 | ||||||
| FHLMC Gold Pools, Other |
||||||||
| Pool # P20570, 7.00%, 7/1/2029 |
36 | 39 | ||||||
| Pool # G20027, 10.00%, 10/1/2030 |
4 | 4 | ||||||
| Pool # U50105, 4.00%, 1/1/2032 |
315 | 330 | ||||||
| Pool # U80254, 3.00%, 3/1/2033 |
280 | 285 | ||||||
| Pool # P20409, 5.50%, 10/1/2033 |
78 | 83 | ||||||
| Pool # U90975, 4.00%, 6/1/2042 |
1,015 | 1,089 | ||||||
| Pool # U90673, 4.00%, 1/1/2043 |
280 | 299 | ||||||
| Pool # U99134, 4.00%, 1/1/2046 |
5,488 | 5,885 | ||||||
| Pool # U69030, 4.50%, 1/1/2046 |
2,030 | 2,198 | ||||||
| FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 |
1,981 | 2,066 | ||||||
| FHLMC UMBS, 30 Year Pool # RA6702, 3.00%, 2/1/2052 |
4,135 | 4,181 | ||||||
| FNMA |
||||||||
| Pool # 54844, ARM, 2.18%, 9/1/2027 (h) |
8 | 8 | ||||||
| Pool # 303532, ARM, 3.85%, 3/1/2029 (h) |
5 | 5 | ||||||
| Pool # 555258, ARM, 1.66%, 1/1/2033 (h) |
235 | 236 | ||||||
| Pool # 722421, ARM, 1.66%, 7/1/2033 (h) |
11 | 11 | ||||||
| Pool # 722985, ARM, 2.15%, 7/1/2033 (h) |
15 | 15 | ||||||
| Pool # 686040, ARM, 2.26%, 7/1/2033 (h) |
114 | 115 | ||||||
| Pool # 746299, ARM, 2.06%, 9/1/2033 (h) |
79 | 82 | ||||||
| Pool # 749923, ARM, 2.28%, 11/1/2033 (h) |
— | (i) | — | (i) | ||||
| Pool # 766610, ARM, 1.96%, 1/1/2034 (h) |
28 | 28 | ||||||
| Pool # 920467, ARM, 2.50%, 2/1/2034 (h) |
73 | 73 | ||||||
| Pool # 770377, ARM, 1.62%, 4/1/2034 (h) |
52 | 52 | ||||||
| Pool # 751531, ARM, 2.33%, 5/1/2034 (h) |
92 | 93 | ||||||
| Pool # 782306, ARM, 2.17%, 7/1/2034 (h) |
6 | 6 | ||||||
| Pool # 790235, ARM, 1.90%, 8/1/2034 (h) |
72 | 72 | ||||||
| Pool # 735332, ARM, 2.27%, 8/1/2034 (h) |
111 | 114 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 21 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Mortgage-Backed Securities — continued |
| |||||||
| Pool # 791961, ARM, 1.69%, 9/1/2034 (h) |
27 | 27 | ||||||
| Pool # 725902, ARM, 1.91%, 9/1/2034 (h) |
12 | 12 | ||||||
| Pool # 803599, ARM, 1.83%, 10/1/2034 (h) |
91 | 90 | ||||||
| Pool # 803594, ARM, 1.83%, 10/1/2034 (h) |
59 | 59 | ||||||
| Pool # 896463, ARM, 2.42%, 10/1/2034 (h) |
67 | 71 | ||||||
| Pool # 806776, ARM, 1.67%, 11/1/2034 (h) |
65 | 66 | ||||||
| Pool # 806778, ARM, 1.73%, 11/1/2034 (h) |
358 | 359 | ||||||
| Pool # 810896, ARM, 1.69%, 1/1/2035 (h) |
184 | 191 | ||||||
| Pool # 802692, ARM, 2.00%, 1/1/2035 (h) |
53 | 53 | ||||||
| Pool # 816597, ARM, 2.05%, 2/1/2035 (h) |
16 | 16 | ||||||
| Pool # 745862, ARM, 2.35%, 4/1/2035 (h) |
59 | 60 | ||||||
| Pool # 735539, ARM, 2.40%, 4/1/2035 (h) |
380 | 399 | ||||||
| Pool # 821378, ARM, 1.53%, 5/1/2035 (h) |
47 | 47 | ||||||
| Pool # 823660, ARM, 1.97%, 5/1/2035 (h) |
53 | 53 | ||||||
| Pool # 745766, ARM, 1.84%, 6/1/2035 (h) |
162 | 163 | ||||||
| Pool # 843026, ARM, 1.83%, 9/1/2035 (h) |
269 | 279 | ||||||
| Pool # 832801, ARM, 1.90%, 9/1/2035 (h) |
31 | 31 | ||||||
| Pool # 849251, ARM, 1.99%, 1/1/2036 (h) |
45 | 47 | ||||||
| Pool # 895141, ARM, 1.82%, 7/1/2036 (h) |
52 | 53 | ||||||
| Pool # 900197, ARM, 2.32%, 10/1/2036 (h) |
55 | 58 | ||||||
| Pool # 966946, ARM, 2.28%, 1/1/2038 (h) |
31 | 31 | ||||||
| FNMA UMBS, 15 Year |
||||||||
| Pool # 889634, 6.00%, 2/1/2023 |
16 | 16 | ||||||
| Pool # 995381, 6.00%, 1/1/2024 |
9 | 9 | ||||||
| Pool # 995425, 6.00%, 1/1/2024 |
22 | 23 | ||||||
| Pool # AD0133, 5.00%, 8/1/2024 |
11 | 11 | ||||||
| FNMA UMBS, 20 Year |
||||||||
| Pool # 254305, 6.50%, 5/1/2022 |
— | (i) | — | (i) | ||||
| Pool # 555791, 6.50%, 12/1/2022 |
1 | 1 | ||||||
| Pool # 255217, 4.50%, 4/1/2024 |
8 | 8 | ||||||
| Pool # 888656, 6.50%, 4/1/2025 |
7 | 8 | ||||||
| Pool # MA1138, 3.50%, 8/1/2032 |
324 | 339 | ||||||
| FNMA UMBS, 30 Year |
||||||||
| Pool # 50966, 7.00%, 1/1/2024 |
— | (i) | — | (i) | ||||
| Pool # 689977, 8.00%, 3/1/2027 |
25 | 27 | ||||||
| Pool # 695533, 8.00%, 6/1/2027 |
10 | 11 | ||||||
| Pool # 756024, 8.00%, 9/1/2028 |
22 | 24 | ||||||
| Pool # 755973, 8.00%, 11/1/2028 |
64 | 70 | ||||||
| Pool # 455759, 6.00%, 12/1/2028 |
7 | 8 | ||||||
| Pool # 252211, 6.00%, 1/1/2029 |
12 | 13 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Pool # 459097, 7.00%, 1/1/2029 |
4 | 4 | ||||||
| Pool # 889020, 6.50%, 11/1/2029 |
177 | 194 | ||||||
| Pool # 598559, 6.50%, 8/1/2031 |
24 | 27 | ||||||
| Pool # 622542, 5.50%, 9/1/2031 |
144 | 159 | ||||||
| Pool # 788150, 6.00%, 3/1/2032 |
21 | 23 | ||||||
| Pool # 649734, 7.00%, 6/1/2032 |
10 | 10 | ||||||
| Pool # 675555, 6.00%, 12/1/2032 |
40 | 43 | ||||||
| Pool # AL0045, 6.00%, 12/1/2032 |
198 | 224 | ||||||
| Pool # 674349, 6.00%, 3/1/2033 |
11 | 12 | ||||||
| Pool # 688625, 6.00%, 3/1/2033 |
14 | 15 | ||||||
| Pool # 688655, 6.00%, 3/1/2033 |
4 | 5 | ||||||
| Pool # 695584, 6.00%, 3/1/2033 |
4 | 4 | ||||||
| Pool # 702901, 6.00%, 5/1/2033 |
68 | 78 | ||||||
| Pool # 723852, 5.00%, 7/1/2033 |
67 | 75 | ||||||
| Pool # 729296, 5.00%, 7/1/2033 |
174 | 193 | ||||||
| Pool # 729379, 6.00%, 8/1/2033 |
14 | 16 | ||||||
| Pool # 737825, 6.00%, 9/1/2033 |
25 | 28 | ||||||
| Pool # 750977, 4.50%, 11/1/2033 |
40 | 43 | ||||||
| Pool # 725017, 5.50%, 12/1/2033 |
280 | 316 | ||||||
| Pool # 751341, 5.50%, 3/1/2034 |
34 | 37 | ||||||
| Pool # 888568, 5.00%, 12/1/2034 |
6 | 7 | ||||||
| Pool # 815426, 4.50%, 2/1/2035 |
1 | 1 | ||||||
| Pool # AD0755, 7.00%, 6/1/2035 |
1,998 | 2,287 | ||||||
| Pool # 820347, 5.00%, 9/1/2035 |
50 | 56 | ||||||
| Pool # 833657, 7.50%, 8/1/2036 |
27 | 30 | ||||||
| Pool # 986648, 6.00%, 9/1/2037 |
88 | 100 | ||||||
| Pool # 888892, 7.50%, 11/1/2037 |
26 | 30 | ||||||
| Pool # 257510, 7.00%, 12/1/2038 |
88 | 106 | ||||||
| Pool # AD0753, 7.00%, 1/1/2039 |
64 | 76 | ||||||
| Pool # AT5891, 3.00%, 6/1/2043 |
2,037 | 2,096 | ||||||
| Pool # AL7527, 4.50%, 9/1/2043 |
762 | 823 | ||||||
| Pool # BM3500, 4.00%, 9/1/2047 |
2,207 | 2,362 | ||||||
| Pool # BJ1778, 4.50%, 10/1/2047 |
776 | 825 | ||||||
| Pool # BN9180, 4.00%, 6/1/2049 |
763 | 802 | ||||||
| Pool # BK8753, 4.50%, 6/1/2049 |
1,360 | 1,441 | ||||||
| Pool # BO1219, 4.50%, 6/1/2049 |
2,019 | 2,137 | ||||||
| Pool # BO7077, 3.00%, 9/1/2049 |
2,219 | 2,260 | ||||||
| Pool # CB2637, 2.50%, 1/1/2052 |
4,469 | 4,416 | ||||||
| Pool # CB2670, 3.00%, 1/1/2052 |
3,971 | 4,039 | ||||||
| FNMA, 30 Year |
||||||||
| Pool # 535183, 8.00%, 6/1/2028 |
3 | 3 | ||||||
| Pool # 252409, 6.50%, 3/1/2029 |
31 | 33 | ||||||
| Pool # 653815, 7.00%, 2/1/2033 |
7 | 7 | ||||||
| Pool # 752786, 6.00%, 9/1/2033 |
44 | 47 | ||||||
| Pool # 931717, 6.50%, 8/1/2039 |
223 | 246 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Mortgage-Backed Securities — continued |
| |||||||
| FNMA, Other |
||||||||
| Pool # AM3789, 3.02%, 7/1/2023 |
2,125 | 2,153 | ||||||
| Pool # AM4628, 3.69%, 11/1/2023 |
1,431 | 1,465 | ||||||
| Pool # AM4668, 3.76%, 11/1/2023 |
1,874 | 1,920 | ||||||
| Pool # AM4716, 3.38%, 12/1/2023 |
1,860 | 1,897 | ||||||
| Pool # AM7589, 2.95%, 12/1/2024 |
1,482 | 1,523 | ||||||
| Pool # AM7290, 2.97%, 12/1/2024 |
3,334 | 3,424 | ||||||
| Pool # AM7576, 3.04%, 12/1/2024 |
3,856 | 3,972 | ||||||
| Pool # 470300, 3.64%, 1/1/2025 |
867 | 892 | ||||||
| Pool # AM3833, 3.25%, 7/1/2025 |
3,402 | 3,542 | ||||||
| Pool # AM4991, 3.97%, 12/1/2025 |
1,637 | 1,741 | ||||||
| Pool # AL6805, 3.78%, 1/1/2026 (h) |
3,345 | 3,549 | ||||||
| Pool # 468645, 4.54%, 7/1/2026 |
2,464 | 2,686 | ||||||
| Pool # AM6448, 3.25%, 9/1/2026 |
9,395 | 9,876 | ||||||
| Pool # AM7223, 3.11%, 12/1/2026 |
3,315 | 3,468 | ||||||
| Pool # AM7118, 3.14%, 12/1/2026 |
2,640 | 2,767 | ||||||
| Pool # AM7390, 3.26%, 12/1/2026 |
3,633 | 3,809 | ||||||
| Pool # AM7515, 3.34%, 2/1/2027 |
3,000 | 3,168 | ||||||
| Pool # AM8803, 2.78%, 6/1/2027 |
4,703 | 4,866 | ||||||
| Pool # AM8987, 2.79%, 6/1/2027 |
1,746 | 1,807 | ||||||
| Pool # BL1040, 3.81%, 12/1/2028 |
3,000 | 3,286 | ||||||
| Pool # BL4364, 2.24%, 11/1/2029 |
5,456 | 5,469 | ||||||
| Pool # BL4333, 2.52%, 11/1/2029 |
6,067 | 6,198 | ||||||
| Pool # AM7785, 3.17%, 2/1/2030 |
2,789 | 2,956 | ||||||
| Pool # AM7516, 3.55%, 2/1/2030 |
2,000 | 2,157 | ||||||
| Pool # AM8544, 3.08%, 4/1/2030 |
7,446 | 7,852 | ||||||
| Pool # AM8889, 2.92%, 5/1/2030 |
8,000 | 8,376 | ||||||
| Pool # AM8804, 3.10%, 5/1/2030 |
3,547 | 3,747 | ||||||
| Pool # AM9020, 2.97%, 6/1/2030 |
3,738 | 3,917 | ||||||
| Pool # BL9251, 1.45%, 10/1/2030 |
4,500 | 4,220 | ||||||
| Pool # BL4315, 2.39%, 9/1/2031 |
4,519 | 4,550 | ||||||
| Pool # BS4313, 1.98%, 1/1/2032 |
8,350 | 8,091 | ||||||
| Pool # AP9632, 4.00%, 10/1/2032 |
203 | 214 | ||||||
| Pool # AP9762, 4.00%, 10/1/2032 |
287 | 302 | ||||||
| Pool # AQ7084, 3.50%, 12/1/2032 |
490 | 511 | ||||||
| Pool # AT2703, 3.50%, 5/1/2033 |
854 | 889 | ||||||
| Pool # AT2954, 3.50%, 5/1/2033 |
495 | 515 | ||||||
| Pool # AT4180, 3.50%, 5/1/2033 |
495 | 515 | ||||||
| Pool # AT4939, 3.50%, 5/1/2033 |
446 | 464 | ||||||
| Pool # 754922, 5.50%, 9/1/2033 |
63 | 69 | ||||||
| Pool # 762520, 4.00%, 11/1/2033 |
223 | 230 | ||||||
| Pool # BS4198, 2.16%, 12/1/2033 |
9,000 | 8,757 | ||||||
| Pool # BS4237, 2.16%, 12/1/2033 |
4,460 | 4,329 | ||||||
| Pool # AM8922, 3.03%, 6/1/2035 |
2,531 | 2,628 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Pool # AM9188, 3.12%, 6/1/2035 |
7,000 | 7,291 | ||||||
| Pool # 849215, 6.50%, 1/1/2036 |
19 | 20 | ||||||
| Pool # 872740, 6.50%, 6/1/2036 |
46 | 48 | ||||||
| Pool # 886320, 6.50%, 7/1/2036 |
17 | 18 | ||||||
| Pool # 888796, 6.00%, 9/1/2037 |
62 | 67 | ||||||
| Pool # AO7225, 4.00%, 7/1/2042 |
307 | 329 | ||||||
| Pool # AO9352, 4.00%, 7/1/2042 |
475 | 509 | ||||||
| Pool # MA1125, 4.00%, 7/1/2042 |
442 | 472 | ||||||
| Pool # AR1397, 3.00%, 1/1/2043 |
886 | 917 | ||||||
| Pool # MA1711, 4.50%, 12/1/2043 |
1,661 | 1,798 | ||||||
| Pool # MA1828, 4.50%, 3/1/2044 |
1,338 | 1,456 | ||||||
| Pool # BF0464, 3.50%, 3/1/2060 |
3,514 | 3,671 | ||||||
| FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 3/25/2052 (j) |
63,030 | 62,185 | ||||||
| GNMA I, 30 Year |
||||||||
| Pool # 345288, 7.50%, 3/15/2023 |
— | (i) | — | (i) | ||||
| Pool # 782507, 9.50%, 10/15/2024 |
— | (i) | — | (i) | ||||
| Pool # 554108, 6.50%, 3/15/2028 |
33 | 36 | ||||||
| Pool # 481872, 7.50%, 7/15/2028 |
3 | 3 | ||||||
| Pool # 468149, 8.00%, 8/15/2028 |
2 | 2 | ||||||
| Pool # 486537, 7.50%, 9/15/2028 |
7 | 8 | ||||||
| Pool # 486631, 6.50%, 10/15/2028 |
3 | 3 | ||||||
| Pool # 591882, 6.50%, 7/15/2032 |
13 | 14 | ||||||
| Pool # 607645, 6.50%, 2/15/2033 |
28 | 31 | ||||||
| Pool # 607724, 7.00%, 2/15/2033 |
32 | 35 | ||||||
| Pool # 604209, 6.50%, 4/15/2033 |
34 | 37 | ||||||
| Pool # 781614, 7.00%, 6/15/2033 |
51 | 59 | ||||||
| Pool # BM2141, 5.00%, 7/15/2049 |
642 | 726 | ||||||
| GNMA II |
||||||||
| Pool # CE5524, ARM, 2.14%, 8/20/2071 (h) |
2,618 | 2,814 | ||||||
| Pool # CE5546, ARM, 2.04%, 10/20/2071 (h) |
4,827 | 5,169 | ||||||
| GNMA II, 30 Year |
||||||||
| Pool # 2006, 8.50%, 5/20/2025 |
2 | 2 | ||||||
| Pool # 2141, 8.00%, 12/20/2025 |
1 | 1 | ||||||
| Pool # 2234, 8.00%, 6/20/2026 |
2 | 2 | ||||||
| Pool # 2270, 8.00%, 8/20/2026 |
2 | 2 | ||||||
| Pool # 2285, 8.00%, 9/20/2026 |
2 | 2 | ||||||
| Pool # 2324, 8.00%, 11/20/2026 |
2 | 2 | ||||||
| Pool # 2499, 8.00%, 10/20/2027 |
3 | 3 | ||||||
| Pool # 2512, 8.00%, 11/20/2027 |
5 | 5 | ||||||
| Pool # 2525, 8.00%, 12/20/2027 |
2 | 2 | ||||||
| Pool # 2549, 7.50%, 2/20/2028 |
3 | 4 | ||||||
| Pool # 2646, 7.50%, 9/20/2028 |
7 | 8 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 23 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Mortgage-Backed Securities — continued |
| |||||||
| Pool # 2647, 8.00%, 9/20/2028 |
1 | 1 | ||||||
| Pool # 3427, 4.50%, 8/20/2033 |
62 | 68 | ||||||
| Pool # 4245, 6.00%, 9/20/2038 |
445 | 498 | ||||||
| Pool # AK8806, 4.25%, 3/20/2045 |
1,051 | 1,145 | ||||||
| Pool # BM2118, 4.50%, 6/20/2049 |
154 | 162 | ||||||
| Pool # BO0535, 4.00%, 7/20/2049 |
1,184 | 1,247 | ||||||
| Pool # BO8227, 5.00%, 7/20/2049 |
898 | 982 | ||||||
| Pool # BO8229, 5.00%, 7/20/2049 |
882 | 964 | ||||||
| Pool # BM9734, 4.00%, 10/20/2049 |
2,183 | 2,307 | ||||||
| Pool # BQ4115, 3.00%, 3/20/2050 |
3,952 | 4,024 | ||||||
| Pool # 785294, 3.50%, 1/20/2051 |
4,479 | 4,840 | ||||||
| Pool # CB1543, 3.00%, 2/20/2051 |
2,832 | 2,936 | ||||||
| Pool # MA7534, 2.50%, 8/20/2051 |
28,910 | 28,930 | ||||||
| Pool # MA7649, 2.50%, 10/20/2051 |
5,222 | 5,224 | ||||||
| Pool # CK2716, 3.50%, 2/20/2052 (j) |
4,030 | 4,205 | ||||||
| GNMA II, Other Pool # AC0973, 4.39%, 5/20/2063 (h) |
8 | 8 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Securities |
337,515 | |||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 11.2% |
| |||||||
| ACC Series 2019-AA, 3.68%, 9/15/2022 ‡ |
1,012 | 1,012 | ||||||
| Alternative Loan Trust |
||||||||
| Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
3,288 | 3,421 | ||||||
| Series 2005-1CB, Class 1A6, IF, IO, 6.91%, 3/25/2035 ‡ (h) |
436 | 54 | ||||||
| Series 2005-22T1, Class A2, IF, IO, 4.88%, 6/25/2035 ‡ (h) |
3,010 | 381 | ||||||
| Series 2005-20CB, Class 3A8, IF, IO, 4.56%, 7/25/2035 ‡ (h) |
1,209 | 128 | ||||||
| Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 |
1,157 | 1,145 | ||||||
| Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 |
57 | 35 | ||||||
| Series 2005-37T1, Class A2, IF, IO, 4.86%, 9/25/2035 ‡ (h) |
2,308 | 304 | ||||||
| Series 2005-54CB, Class 1A2, IF, IO, 4.66%, 11/25/2035 ‡ (h) |
1,917 | 227 | ||||||
| Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
762 | 691 | ||||||
| Series 2005-57CB, Class 3A2, IF, IO, 4.91%, 12/25/2035 ‡ (h) |
484 | 60 | ||||||
| Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 |
358 | 354 | ||||||
| Series 2006-26CB, Class A9, 6.50%, 9/25/2036 |
884 | 610 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Banc of America Alternative Loan Trust |
||||||||
| Series 2004-6, Class 15, PO, 7/25/2019 ‡ |
6 | 4 | ||||||
| Series 2006-4, Class 1A4, 6.00%, 5/25/2046 |
271 | 269 | ||||||
| Banc of America Funding Trust |
||||||||
| Series 2004-1, PO, 3/25/2034 ‡ |
72 | 56 | ||||||
| Series 2004-2, Class 30, PO, 9/20/2034 ‡ |
79 | 64 | ||||||
| Series 2005-6, Class 2A7, 5.50%, 10/25/2035 |
147 | 146 | ||||||
| Series 2005-7, Class 30, PO, 11/25/2035 ‡ |
96 | 94 | ||||||
| Series 2005-8, Class 30, PO, 1/25/2036 ‡ |
39 | 28 | ||||||
| Series 2006-A, Class 3A2, 2.71%, 2/20/2036 (h) |
125 | 122 | ||||||
| Banc of America Mortgage Trust Series 2004-A, Class 2A2, 2.62%, 2/25/2034 (h) |
30 | 30 | ||||||
| Bayview Financing Trust Series 2020-3F, Class A, 3.08%, 11/10/2022 ‡ (b) (h) |
1,624 | 1,622 | ||||||
| Bear Stearns ARM Trust |
||||||||
| Series 2003-7, Class 3A, 2.48%, 10/25/2033 (h) |
16 | 15 | ||||||
| Series 2004-1, Class 12A1, 2.75%, 4/25/2034 (h) |
176 | 176 | ||||||
| Series 2004-2, Class 14A, 2.91%, 5/25/2034 (h) |
22 | 21 | ||||||
| Series 2006-1, Class A1, 2.40%, 2/25/2036 (h) |
332 | 339 | ||||||
| CHL Mortgage Pass-Through Trust |
||||||||
| Series 2004-8, Class 2A1, 4.50%, 6/25/2019 |
2 | — | (i) | |||||
| Series 2004-HYB1, Class 2A, 2.68%, 5/20/2034 (h) |
33 | 34 | ||||||
| Series 2004-HYB3, Class 2A, 1.98%, 6/20/2034 (h) |
134 | 137 | ||||||
| Series 2004-7, Class 2A1, 2.52%, 6/25/2034 (h) |
96 | 98 | ||||||
| Series 2004-HYB6, Class A3, 2.54%, 11/20/2034 (h) |
132 | 136 | ||||||
| Series 2005-16, Class A23, 5.50%, 9/25/2035 |
219 | 181 | ||||||
| Series 2005-22, Class 2A1, 2.48%, 11/25/2035 (h) |
683 | 648 | ||||||
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust |
||||||||
| Series 2005-5, Class A, PO, 8/25/2035 ‡ |
33 | 27 | ||||||
| Series 2005-8, Class A, PO, 11/25/2035 ‡ |
53 | 42 | ||||||
| Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
| Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ |
1 | 1 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (h) |
17 | 17 | ||||||
| Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (h) |
296 | 300 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| Series 2003-1, Class 3, PO, 9/25/2033 ‡ |
23 | 20 | ||||||
| Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
9 | 10 | ||||||
| Series 2003-1, Class 2, PO, 10/25/2033 ‡ |
1 | 1 | ||||||
| Series 2003-1, Class 2A6, PO, 10/25/2033 ‡ |
8 | 8 | ||||||
| Series 2003-1, Class 2A5, 5.25%, 10/25/2033 |
16 | 16 | ||||||
| Series 2004-UST1, Class A6, 1.95%, 8/25/2034 (h) |
12 | 11 | ||||||
| Series 2005-1, Class 2A1A, 2.22%, 2/25/2035 (h) |
146 | 139 | ||||||
| Series 2005-2, Class 2A11, 5.50%, 5/25/2035 |
123 | 125 | ||||||
| Series 2005-5, Class 1A2, 3.08%, 8/25/2035 (h) |
188 | 156 | ||||||
| Conix Mortgage Asset Trust Series 2013-1, Class A, 0.00%, 12/25/2047 ‡ (h) (k) |
1,079 | 17 | ||||||
| Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |
||||||||
| Series 2003-1, Class DB1, 6.68%, 2/25/2033 (h) |
207 | 217 | ||||||
| Series 2003-21, Class 1A4, 5.25%, 9/25/2033 |
49 | 50 | ||||||
| Series 2003-25, Class 1P, PO, 10/25/2033 ‡ |
101 | 85 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates |
||||||||
| Series 2005-4, Class 3A18, 5.50%, 6/25/2035 |
635 | 647 | ||||||
| Series 2005-4, Class 3A23, 5.50%, 6/25/2035 |
1,339 | 1,364 | ||||||
| CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (h) |
6,288 | 6,130 | ||||||
| FHLMC — GNMA Series 8, Class ZA, 7.00%, 3/25/2023 |
4 | 4 | ||||||
| FHLMC, REMIC |
||||||||
| Series 1250, Class J, 7.00%, 5/15/2022 |
— | (i) | — | (i) | ||||
| Series 1343, Class LB, 7.50%, 8/15/2022 |
— | (i) | — | (i) | ||||
| Series 1343, Class LA, 8.00%, 8/15/2022 |
— | (i) | — | (i) | ||||
| Series 1370, Class JA, 1.34%, 9/15/2022 (h) |
1 | 1 | ||||||
| Series 2512, Class PG, 5.50%, 10/15/2022 |
9 | 9 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 1455, Class WB, IF, 4.62%, 12/15/2022 (h) |
1 | 1 | ||||||
| Series 2535, Class BK, 5.50%, 12/15/2022 |
3 | 3 | ||||||
| Series 1470, Class F, 1.22%, 2/15/2023 (h) |
— | (i) | — | (i) | ||||
| Series 2568, Class KG, 5.50%, 2/15/2023 |
16 | 16 | ||||||
| Series 1466, Class PZ, 7.50%, 2/15/2023 |
6 | 7 | ||||||
| Series 1498, Class I, 1.34%, 4/15/2023 (h) |
9 | 9 | ||||||
| Series 1502, Class PX, 7.00%, 4/15/2023 |
13 | 14 | ||||||
| Series 1798, Class F, 5.00%, 5/15/2023 |
12 | 12 | ||||||
| Series 1505, Class Q, 7.00%, 5/15/2023 |
2 | 2 | ||||||
| Series 1518, Class G, IF, 8.61%, 5/15/2023 (h) |
4 | 4 | ||||||
| Series 1541, Class O, 1.00%, 7/15/2023 (h) |
4 | 4 | ||||||
| Series 2638, Class DS, IF, 8.41%, 7/15/2023 (h) |
2 | 3 | ||||||
| Series 1541, Class M, HB, IF, 26.62%, 7/15/2023 (h) |
2 | 2 | ||||||
| Series 1570, Class F, 1.72%, 8/15/2023 (h) |
— | (i) | — | (i) | ||||
| Series 1608, Class L, 6.50%, 9/15/2023 |
49 | 51 | ||||||
| Series 1573, Class PZ, 7.00%, 9/15/2023 |
13 | 13 | ||||||
| Series 2571, Class SK, HB, IF, 33.68%, 9/15/2023 (h) |
6 | 7 | ||||||
| Series 1591, Class PV, 6.25%, 10/15/2023 |
8 | 9 | ||||||
| Series 1602, Class SA, HB, IF, 22.40%, 10/15/2023 (h) |
5 | 5 | ||||||
| Series 2710, Class HB, 5.50%, 11/15/2023 |
65 | 66 | ||||||
| Series 1642, Class PJ, 6.00%, 11/15/2023 |
22 | 23 | ||||||
| Series 2716, Class UN, 4.50%, 12/15/2023 |
47 | 48 | ||||||
| Series 1638, Class H, 6.50%, 12/15/2023 |
35 | 36 | ||||||
| Series 2283, Class K, 6.50%, 12/15/2023 |
12 | 13 | ||||||
| Series 1700, Class GA, PO, 2/15/2024 |
— | (i) | — | (i) | ||||
| Series 1865, Class D, PO, 2/15/2024 |
17 | 17 | ||||||
| Series 1760, Class ZD, 1.32%, 2/15/2024 (h) |
36 | 36 | ||||||
| Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h) |
6 | 6 | ||||||
| Series 1686, Class SH, IF, 19.00%, 2/15/2024 (h) |
1 | 1 | ||||||
| Series 1699, Class FC, 0.71%, 3/15/2024 (h) |
1 | 1 | ||||||
| Series 1709, Class FA, 0.97%, 3/15/2024 (h) |
1 | 1 | ||||||
| Series 1695, Class EB, 7.00%, 3/15/2024 |
7 | 8 | ||||||
| Series 1706, Class K, 7.00%, 3/15/2024 |
21 | 22 | ||||||
| Series 2033, Class SN, HB, IF, 30.43%, 3/15/2024 (h) |
4 | — | (i) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 25 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2306, Class K, PO, 5/15/2024 |
4 | 4 | ||||||
| Series 2306, Class SE, IF, IO, 8.78%, 5/15/2024 (h) |
10 | 1 | ||||||
| Series 1745, Class D, 7.50%, 8/15/2024 |
7 | 8 | ||||||
| Series 3720, Class A, 4.50%, 9/15/2025 |
49 | 51 | ||||||
| Series 3131, Class BK, 5.50%, 3/15/2026 |
192 | 201 | ||||||
| Series 1829, Class ZB, 6.50%, 3/15/2026 |
4 | 4 | ||||||
| Series 1863, Class Z, 6.50%, 7/15/2026 |
5 | 5 | ||||||
| Series 1890, Class H, 7.50%, 9/15/2026 |
8 | 8 | ||||||
| Series 1899, Class ZE, 8.00%, 9/15/2026 |
27 | 30 | ||||||
| Series 3229, Class HE, 5.00%, 10/15/2026 |
200 | 208 | ||||||
| Series 1963, Class Z, 7.50%, 1/15/2027 |
23 | 25 | ||||||
| Series 1935, Class FL, 0.89%, 2/15/2027 (h) |
2 | 2 | ||||||
| Series 1981, Class Z, 6.00%, 5/15/2027 |
31 | 33 | ||||||
| Series 1970, Class PG, 7.25%, 7/15/2027 |
2 | 2 | ||||||
| Series 1987, Class PE, 7.50%, 9/15/2027 |
14 | 16 | ||||||
| Series 2019, Class Z, 6.50%, 12/15/2027 |
31 | 34 | ||||||
| Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
25 | 3 | ||||||
| Series 2040, Class PE, 7.50%, 3/15/2028 |
47 | 52 | ||||||
| Series 4251, Class KW, 2.50%, 4/15/2028 |
3,656 | 3,682 | ||||||
| Series 2043, Class CJ, 6.50%, 4/15/2028 |
8 | 8 | ||||||
| Series 2054, Class PV, 7.50%, 5/15/2028 |
38 | 42 | ||||||
| Series 2075, Class PM, 6.25%, 8/15/2028 |
84 | 91 | ||||||
| Series 2075, Class PH, 6.50%, 8/15/2028 |
75 | 82 | ||||||
| Series 2086, Class GB, 6.00%, 9/15/2028 |
13 | 14 | ||||||
| Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
37 | 3 | ||||||
| Series 2095, Class PE, 6.00%, 11/15/2028 |
96 | 105 | ||||||
| Series 2125, Class JZ, 6.00%, 2/15/2029 |
34 | 36 | ||||||
| Series 2136, Class PG, 6.00%, 3/15/2029 |
39 | 42 | ||||||
| Series 2132, Class SB, HB, IF, 30.09%, 3/15/2029 (h) |
7 | 10 | ||||||
| Series 2141, IO, 7.00%, 4/15/2029 |
11 | 1 | ||||||
| Series 2169, Class TB, 7.00%, 6/15/2029 |
130 | 144 | ||||||
| Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
13 | 1 | ||||||
| Series 2172, Class QC, 7.00%, 7/15/2029 |
90 | 100 | ||||||
| Series 2176, Class OJ, 7.00%, 8/15/2029 |
65 | 74 | ||||||
| Series 2201, Class C, 8.00%, 11/15/2029 |
30 | 33 | ||||||
| Series 2209, Class TC, 8.00%, 1/15/2030 |
33 | 38 | ||||||
| Series 2210, Class Z, 8.00%, 1/15/2030 |
65 | 76 | ||||||
| Series 2224, Class CB, 8.00%, 3/15/2030 |
16 | 19 | ||||||
| Series 2230, Class Z, 8.00%, 4/15/2030 |
41 | 47 | ||||||
| Series 2234, Class PZ, 7.50%, 5/15/2030 |
30 | 35 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2247, Class Z, 7.50%, 8/15/2030 |
31 | 35 | ||||||
| Series 2256, Class MC, 7.25%, 9/15/2030 |
42 | 48 | ||||||
| Series 2259, Class ZM, 7.00%, 10/15/2030 |
60 | 68 | ||||||
| Series 2262, Class Z, 7.50%, 10/15/2030 |
7 | 8 | ||||||
| Series 2271, Class PC, 7.25%, 12/15/2030 |
69 | 78 | ||||||
| Series 2296, Class PD, 7.00%, 3/15/2031 |
40 | 45 | ||||||
| Series 2313, Class LA, 6.50%, 5/15/2031 |
28 | 31 | ||||||
| Series 2325, Class PM, 7.00%, 6/15/2031 |
35 | 40 | ||||||
| Series 2359, Class ZB, 8.50%, 6/15/2031 |
105 | 123 | ||||||
| Series 2344, Class ZD, 6.50%, 8/15/2031 |
350 | 390 | ||||||
| Series 2344, Class ZJ, 6.50%, 8/15/2031 |
35 | 40 | ||||||
| Series 2345, Class NE, 6.50%, 8/15/2031 |
27 | 31 | ||||||
| Series 2351, Class PZ, 6.50%, 8/15/2031 |
22 | 24 | ||||||
| Series 2353, Class AZ, 6.00%, 9/15/2031 |
200 | 216 | ||||||
| Series 2367, Class ME, 6.50%, 10/15/2031 |
64 | 70 | ||||||
| Series 2396, Class FM, 0.64%, 12/15/2031 (h) |
88 | 89 | ||||||
| Series 2399, Class OH, 6.50%, 1/15/2032 |
78 | 87 | ||||||
| Series 2399, Class TH, 6.50%, 1/15/2032 |
101 | 114 | ||||||
| Series 2410, Class OE, 6.38%, 2/15/2032 |
22 | 23 | ||||||
| Series 2410, Class NG, 6.50%, 2/15/2032 |
88 | 99 | ||||||
| Series 2420, Class XK, 6.50%, 2/15/2032 |
135 | 153 | ||||||
| Series 2464, Class SI, IF, IO, 7.81%, 2/15/2032 (h) |
171 | 24 | ||||||
| Series 2410, Class QX, IF, IO, 8.46%, 2/15/2032 (h) |
38 | 6 | ||||||
| Series 2412, Class SP, IF, 15.72%, 2/15/2032 (h) |
68 | 85 | ||||||
| Series 2410, Class QS, IF, 19.00%, 2/15/2032 (h) |
69 | 90 | ||||||
| Series 2430, Class WF, 6.50%, 3/15/2032 |
172 | 196 | ||||||
| Series 2423, Class MC, 7.00%, 3/15/2032 |
102 | 116 | ||||||
| Series 2423, Class MT, 7.00%, 3/15/2032 |
88 | 101 | ||||||
| Series 2444, Class ES, IF, IO, 7.76%, 3/15/2032 (h) |
66 | 9 | ||||||
| Series 2450, Class SW, IF, IO, 7.81%, 3/15/2032 (h) |
52 | 8 | ||||||
| Series 2435, Class CJ, 6.50%, 4/15/2032 |
120 | 135 | ||||||
| Series 2434, Class TC, 7.00%, 4/15/2032 |
97 | 111 | ||||||
| Series 2436, Class MC, 7.00%, 4/15/2032 |
58 | 64 | ||||||
| Series 2455, Class GK, 6.50%, 5/15/2032 |
202 | 223 | ||||||
| Series 2450, Class GZ, 7.00%, 5/15/2032 |
58 | 67 | ||||||
| Series 2462, Class JG, 6.50%, 6/15/2032 |
89 | 101 | ||||||
| Series 2466, Class PH, 6.50%, 6/15/2032 |
142 | 160 | ||||||
| Series 2474, Class NR, 6.50%, 7/15/2032 |
87 | 97 | ||||||
| Series 2484, Class LZ, 6.50%, 7/15/2032 |
97 | 109 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2500, Class MC, 6.00%, 9/15/2032 |
96 | 108 | ||||||
| Series 2835, Class QO, PO, 12/15/2032 |
13 | 12 | ||||||
| Series 2543, Class YX, 6.00%, 12/15/2032 |
174 | 194 | ||||||
| Series 2544, Class HC, 6.00%, 12/15/2032 |
109 | 125 | ||||||
| Series 2552, Class ME, 6.00%, 1/15/2033 |
202 | 227 | ||||||
| Series 2567, Class QD, 6.00%, 2/15/2033 |
226 | 255 | ||||||
| Series 2575, Class ME, 6.00%, 2/15/2033 |
510 | 570 | ||||||
| Series 2596, Class QG, 6.00%, 3/15/2033 |
124 | 135 | ||||||
| Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
59 | 11 | ||||||
| Series 2692, Class SC, IF, 12.90%, 7/15/2033 (h) |
35 | 42 | ||||||
| Series 4240, Class B, 3.00%, 8/15/2033 |
2,501 | 2,599 | ||||||
| Series 3920, Class LP, 5.00%, 1/15/2034 |
479 | 522 | ||||||
| Series 2744, Class PE, 5.50%, 2/15/2034 |
7 | 7 | ||||||
| Series 3611, PO, 7/15/2034 |
32 | 29 | ||||||
| Series 2990, Class UZ, 5.75%, 6/15/2035 |
1,252 | 1,392 | ||||||
| Series 3004, Class EK, 5.50%, 7/15/2035 |
1,233 | 1,436 | ||||||
| Series 3014, Class OD, PO, 8/15/2035 |
35 | 31 | ||||||
| Series 3085, Class WF, 0.99%, 8/15/2035 (h) |
80 | 82 | ||||||
| Series 3047, Class OD, 5.50%, 10/15/2035 |
576 | 621 | ||||||
| Series 3074, Class BH, 5.00%, 11/15/2035 |
177 | 188 | ||||||
| Series 3064, Class MC, 5.50%, 11/15/2035 |
3,095 | 3,468 | ||||||
| Series 3102, Class FB, 0.49%, 1/15/2036 (h) |
76 | 76 | ||||||
| Series 3102, Class HS, HB, IF, 23.87%, 1/15/2036 (h) |
22 | 29 | ||||||
| Series 3117, Class EO, PO, 2/15/2036 |
202 | 183 | ||||||
| Series 3117, Class OK, PO, 2/15/2036 |
120 | 108 | ||||||
| Series 3134, PO, 3/15/2036 |
30 | 28 | ||||||
| Series 3152, Class MO, PO, 3/15/2036 |
164 | 150 | ||||||
| Series 3122, Class ZB, 6.00%, 3/15/2036 |
28 | 39 | ||||||
| Series 3138, PO, 4/15/2036 |
134 | 121 | ||||||
| Series 3607, Class BO, PO, 4/15/2036 |
68 | 62 | ||||||
| Series 3219, Class DI, IO, 6.00%, 4/15/2036 |
101 | 21 | ||||||
| Series 3819, Class ZQ, 6.00%, 4/15/2036 |
637 | 726 | ||||||
| Series 3149, Class SO, PO, 5/15/2036 |
24 | 21 | ||||||
| Series 3233, Class OP, PO, 5/15/2036 |
41 | 37 | ||||||
| Series 3171, Class MO, PO, 6/15/2036 |
24 | 23 | ||||||
| Series 3179, Class OA, PO, 7/15/2036 |
114 | 101 | ||||||
| Series 3194, Class SA, IF, IO, 6.91%, 7/15/2036 (h) |
28 | 5 | ||||||
| Series 3211, Class SO, PO, 9/15/2036 |
135 | 122 | ||||||
| Series 3218, Class AO, PO, 9/15/2036 |
67 | 55 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 3232, Class ST, IF, IO, 6.51%, 10/15/2036 (h) |
144 | 26 | ||||||
| Series 3256, PO, 12/15/2036 |
95 | 85 | ||||||
| Series 3261, Class OA, PO, 1/15/2037 |
112 | 101 | ||||||
| Series 3260, Class CS, IF, IO, 5.95%, 1/15/2037 (h) |
180 | 31 | ||||||
| Series 3274, Class JO, PO, 2/15/2037 |
27 | 25 | ||||||
| Series 3275, Class FL, 0.63%, 2/15/2037 (h) |
30 | 31 | ||||||
| Series 3290, Class SB, IF, IO, 6.26%, 3/15/2037 (h) |
240 | 40 | ||||||
| Series 3318, Class AO, PO, 5/15/2037 |
6 | 6 | ||||||
| Series 3607, PO, 5/15/2037 |
140 | 123 | ||||||
| Series 3315, Class HZ, 6.00%, 5/15/2037 |
135 | 151 | ||||||
| Series 3326, Class JO, PO, 6/15/2037 |
8 | 7 | ||||||
| Series 3331, PO, 6/15/2037 |
101 | 91 | ||||||
| Series 3607, Class OP, PO, 7/15/2037 |
319 | 280 | ||||||
| Series 4048, Class FJ, 0.50%, 7/15/2037 (h) |
405 | 405 | ||||||
| Series 3385, Class SN, IF, IO, 5.81%, 11/15/2037 (h) |
30 | 4 | ||||||
| Series 3387, Class SA, IF, IO, 6.23%, 11/15/2037 (h) |
143 | 23 | ||||||
| Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e) |
817 | 5 | ||||||
| Series 3404, Class SC, IF, IO, 5.81%, 1/15/2038 (h) |
240 | 39 | ||||||
| Series 3424, Class PI, IF, IO, 6.61%, 4/15/2038 (h) |
199 | 42 | ||||||
| Series 3481, Class SJ, IF, IO, 5.66%, 8/15/2038 (h) |
272 | 45 | ||||||
| Series 3511, Class SA, IF, IO, 5.81%, 2/15/2039 (h) |
196 | 28 | ||||||
| Series 3549, Class FA, 1.39%, 7/15/2039 (h) |
20 | 21 | ||||||
| Series 3621, Class BO, PO, 1/15/2040 |
97 | 88 | ||||||
| Series 3747, Class PY, 4.00%, 10/15/2040 |
1,000 | 1,061 | ||||||
| Series 3925, Class FL, 0.64%, 1/15/2041 (h) |
115 | 116 | ||||||
| Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h) |
98 | 104 | ||||||
| Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h) |
290 | 307 | ||||||
| Series 3957, Class B, 4.00%, 11/15/2041 |
112 | 119 | ||||||
| Series 3966, Class NA, 4.00%, 12/15/2041 |
286 | 307 | ||||||
| Series 4217, Class KY, 3.00%, 6/15/2043 |
2,000 | 2,065 | ||||||
| FHLMC, STRIPS |
||||||||
| Series 233, Class 11, IO, 5.00%, 9/15/2035 |
216 | 42 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 27 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 233, Class 13, IO, 5.00%, 9/15/2035 |
316 | 61 | ||||||
| Series 299, Class 300, 3.00%, 1/15/2043 |
1,540 | 1,549 | ||||||
| Series 310, PO, 9/15/2043 |
750 | 673 | ||||||
| Series 323, Class 300, 3.00%, 1/15/2044 |
1,227 | 1,246 | ||||||
| FHLMC, Structured Pass-Through Certificates, Whole Loan |
||||||||
| Series T-41, Class 3A, 4.60%, 7/25/2032 (h) |
232 | 248 | ||||||
| Series T-76, Class 2A, 1.55%, 10/25/2037 (h) |
577 | 581 | ||||||
| Series T-51, Class 2A, 7.50%, 8/25/2042 (h) |
163 | 206 | ||||||
| Series T-54, Class 2A, 6.50%, 2/25/2043 |
922 | 1,082 | ||||||
| Series T-54, Class 3A, 7.00%, 2/25/2043 |
252 | 304 | ||||||
| Series T-58, Class A, PO, 9/25/2043 |
80 | 65 | ||||||
| Series T-59, Class 1AP, PO, 10/25/2043 |
185 | 121 | ||||||
| First Horizon Alternative Mortgage Securities Trust |
||||||||
| Series 2004-AA4, Class A1, 2.31%, 10/25/2034 (h) |
129 | 133 | ||||||
| Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 |
394 | 263 | ||||||
| Series 2007-FA4, Class 1A2, IF, IO, 5.46%, 8/25/2037 ‡ (h) |
930 | 174 | ||||||
| FMC GMSR Issuer Trust |
7,325 | 7,325 | ||||||
| Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (h) |
5,000 | 4,991 | ||||||
| Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (h) |
4,300 | 4,165 | ||||||
| Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (h) |
3,370 | 3,272 | ||||||
| FNMA Trust, Whole Loan |
||||||||
| Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 |
75 | 85 | ||||||
| Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
145 | 163 | ||||||
| Series 2004-W15, Class 2AF, 0.44%, 8/25/2044 (h) |
204 | 203 | ||||||
| Series 2005-W3, Class 2AF, 0.41%, 3/25/2045 (h) |
553 | 551 | ||||||
| Series 2006-W2, Class 1AF1, 0.41%, 2/25/2046 (h) |
187 | 187 | ||||||
| FNMA, Grantor Trust, Whole Loan |
||||||||
| Series 2002-T19, Class A2, 7.00%, 7/25/2042 |
430 | 493 | ||||||
| Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 |
241 | 274 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| FNMA, REMIC |
||||||||
| Series 1992-101, Class J, 7.50%, 6/25/2022 |
— | (i) | — | (i) | ||||
| Series G92-42, Class Z, 7.00%, 7/25/2022 |
— | (i) | — | (i) | ||||
| Series G92-35, Class E, 7.50%, 7/25/2022 |
— | (i) | — | (i) | ||||
| Series G92-35, Class G, HB, 1,184.78%, 7/25/2022 |
— | (i) | — | (i) | ||||
| Series 1992-136, Class PK, 6.00%, 8/25/2022 |
1 | 1 | ||||||
| Series 1996-59, Class J, 6.50%, 8/25/2022 |
— | (i) | — | (i) | ||||
| Series G92-52, Class FD, 0.13%, 9/25/2022 (h) |
— | (i) | — | (i) | ||||
| Series 1992-143, Class MA, 5.50%, 9/25/2022 |
— | (i) | — | (i) | ||||
| Series G92-54, Class ZQ, 7.50%, 9/25/2022 |
— | (i) | — | (i) | ||||
| Series 1992-163, Class M, 7.75%, 9/25/2022 |
1 | 1 | ||||||
| Series G92-62, Class B, PO, 10/25/2022 |
— | (i) | — | (i) | ||||
| Series G92-59, Class F, 0.92%, 10/25/2022 (h) |
— | (i) | — | (i) | ||||
| Series G92-61, Class Z, 7.00%, 10/25/2022 |
— | (i) | — | (i) | ||||
| Series 1992-188, Class PZ, 7.50%, 10/25/2022 |
3 | 3 | ||||||
| Series G93-1, Class KA, 7.90%, 1/25/2023 |
1 | 1 | ||||||
| Series G93-5, Class Z, 6.50%, 2/25/2023 |
1 | 1 | ||||||
| Series 1997-61, Class ZC, 7.00%, 2/25/2023 |
15 | 15 | ||||||
| Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h) |
1 | 1 | ||||||
| Series G93-14, Class J, 6.50%, 3/25/2023 |
1 | 1 | ||||||
| Series 1993-25, Class J, 7.50%, 3/25/2023 |
4 | 4 | ||||||
| Series 1993-21, Class KA, 7.70%, 3/25/2023 |
2 | 2 | ||||||
| Series 1998-4, Class C, PO, 4/25/2023 |
1 | 1 | ||||||
| Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h) |
3 | 3 | ||||||
| Series 1998-43, Class SA, IF, IO, 18.17%, 4/25/2023 (h) |
4 | — | (i) | |||||
| Series 1993-62, Class SA, HB, IF, 20.01%, 4/25/2023 (h) |
1 | 1 | ||||||
| Series 2003-39, Class LW, 5.50%, 5/25/2023 |
41 | 41 | ||||||
| Series 2003-41, Class PE, 5.50%, 5/25/2023 |
16 | 17 | ||||||
| Series G93-27, Class FD, 1.07%, 8/25/2023 (h) |
2 | 2 | ||||||
| Series 2002-83, Class CS, 6.88%, 8/25/2023 |
32 | 33 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 1999-38, Class SK, IF, IO, 7.86%, 8/25/2023 (h) |
— | (i) | — | (i) | ||||
| Series 1996-14, Class SE, IF, IO, 8.93%, 8/25/2023 (h) |
16 | 1 | ||||||
| Series 1993-205, Class H, PO, 9/25/2023 |
2 | 2 | ||||||
| Series G93-37, Class H, PO, 9/25/2023 |
1 | 1 | ||||||
| Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h) |
2 | 2 | ||||||
| Series 1993-165, Class SD, IF, 14.38%, 9/25/2023 (h) |
1 | 1 | ||||||
| Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h) |
1 | 1 | ||||||
| Series 1999-52, Class NS, HB, IF, 22.86%, 10/25/2023 (h) |
3 | 3 | ||||||
| Series 1993-179, Class SB, HB, IF, 28.77%, 10/25/2023 (h) |
2 | 2 | ||||||
| Series 1995-19, Class Z, 6.50%, 11/25/2023 |
20 | 21 | ||||||
| Series 1993-230, Class FA, 0.71%, 12/25/2023 (h) |
2 | 2 | ||||||
| Series 1993-247, Class FE, 1.19%, 12/25/2023 (h) |
4 | 4 | ||||||
| Series 1993-225, Class UB, 6.50%, 12/25/2023 |
5 | 6 | ||||||
| Series 1993-247, Class SU, IF, 12.73%, 12/25/2023 (h) |
2 | 2 | ||||||
| Series 2002-1, Class UD, HB, IF, 23.85%, 12/25/2023 (h) |
4 | 5 | ||||||
| Series 1994-37, Class L, 6.50%, 3/25/2024 |
18 | 18 | ||||||
| Series 1994-40, Class Z, 6.50%, 3/25/2024 |
114 | 119 | ||||||
| Series 2004-53, Class NC, 5.50%, 7/25/2024 |
14 | 14 | ||||||
| Series 1995-2, Class Z, 8.50%, 1/25/2025 |
5 | 6 | ||||||
| Series G95-1, Class C, 8.80%, 1/25/2025 |
6 | 7 | ||||||
| Series 1997-20, IO, 1.84%, 3/25/2027 (h) |
7 | — | (i) | |||||
| Series 1997-27, Class J, 7.50%, 4/18/2027 |
4 | 5 | ||||||
| Series 1997-29, Class J, 7.50%, 4/20/2027 |
9 | 9 | ||||||
| Series 1997-39, Class PD, 7.50%, 5/20/2027 |
50 | 54 | ||||||
| Series 1997-42, Class ZC, 6.50%, 7/18/2027 |
4 | 4 | ||||||
| Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
15 | 1 | ||||||
| Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
22 | 23 | ||||||
| Series 1998-66, Class SB, IF, IO, 7.96%, 12/25/2028 (h) |
1 | — | (i) | |||||
| Series 1999-18, Class Z, 5.50%, 4/18/2029 |
18 | 19 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 1999-17, Class C, 6.35%, 4/25/2029 |
16 | 18 | ||||||
| Series 1999-62, Class PB, 7.50%, 12/18/2029 |
26 | 28 | ||||||
| Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
84 | 94 | ||||||
| Series 2000-20, Class SA, IF, IO, 8.91%, 7/25/2030 (h) |
36 | 3 | ||||||
| Series 2000-52, IO, 8.50%, 1/25/2031 |
9 | 1 | ||||||
| Series 2001-7, Class PF, 7.00%, 3/25/2031 |
20 | 23 | ||||||
| Series 2011-31, Class DB, 3.50%, 4/25/2031 |
1,071 | 1,111 | ||||||
| Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
69 | 9 | ||||||
| Series 2001-30, Class PM, 7.00%, 7/25/2031 |
61 | 68 | ||||||
| Series 2001-36, Class DE, 7.00%, 8/25/2031 |
61 | 69 | ||||||
| Series 2001-49, Class Z, 6.50%, 9/25/2031 |
19 | 21 | ||||||
| Series 2001-44, Class MY, 7.00%, 9/25/2031 |
147 | 169 | ||||||
| Series 2001-44, Class PD, 7.00%, 9/25/2031 |
19 | 21 | ||||||
| Series 2001-44, Class PU, 7.00%, 9/25/2031 |
24 | 27 | ||||||
| Series 2001-52, Class KB, 6.50%, 10/25/2031 |
21 | 23 | ||||||
| Series 2003-52, Class SX, HB, IF, 22.39%, 10/25/2031 (h) |
34 | 44 | ||||||
| Series 2001-61, Class Z, 7.00%, 11/25/2031 |
227 | 261 | ||||||
| Series 2001-72, Class SX, IF, 17.03%, 12/25/2031 (h) |
6 | 7 | ||||||
| Series 2002-1, Class SA, HB, IF, 24.58%, 2/25/2032 (h) |
11 | 14 | ||||||
| Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h) |
189 | 6 | ||||||
| Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h) |
2 | 3 | ||||||
| Series 2002-21, Class LO, PO, 4/25/2032 |
6 | 6 | ||||||
| Series 2002-21, Class PE, 6.50%, 4/25/2032 |
59 | 66 | ||||||
| Series 2002-28, Class PK, 6.50%, 5/25/2032 |
149 | 167 | ||||||
| Series 2012-66, Class CB, 3.00%, 6/25/2032 |
3,000 | 3,098 | ||||||
| Series 2002-37, Class Z, 6.50%, 6/25/2032 |
42 | 46 | ||||||
| Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 |
159 | 20 | ||||||
| Series 2002-48, Class GH, 6.50%, 8/25/2032 |
223 | 253 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 29 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h) |
27 | 31 | ||||||
| Series 2004-59, Class BG, PO, 12/25/2032 |
75 | 69 | ||||||
| Series 2002-77, Class S, IF, 14.14%, 12/25/2032 (h) |
33 | 39 | ||||||
| Series 2003-22, Class UD, 4.00%, 4/25/2033 |
732 | 773 | ||||||
| Series 2003-35, Class UC, 3.75%, 5/25/2033 |
6 | 7 | ||||||
| Series 2003-42, Class GB, 4.00%, 5/25/2033 |
51 | 54 | ||||||
| Series 2003-34, Class AX, 6.00%, 5/25/2033 |
111 | 125 | ||||||
| Series 2003-34, Class ED, 6.00%, 5/25/2033 |
598 | 670 | ||||||
| Series 2003-39, IO, 6.00%, 5/25/2033 (h) |
29 | 4 | ||||||
| Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 |
224 | 42 | ||||||
| Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 |
417 | 41 | ||||||
| Series 2003-47, Class PE, 5.75%, 6/25/2033 |
110 | 121 | ||||||
| Series 2004-4, Class QI, IF, IO, 6.91%, 6/25/2033 (h) |
35 | 1 | ||||||
| Series 2004-4, Class QM, IF, 13.83%, 6/25/2033 (h) |
3 | 3 | ||||||
| Series 2003-64, Class SX, IF, 13.48%, 7/25/2033 (h) |
28 | 32 | ||||||
| Series 2003-132, Class OA, PO, 8/25/2033 |
10 | 10 | ||||||
| Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 |
207 | 33 | ||||||
| Series 2003-71, Class DS, IF, 7.32%, 8/25/2033 (h) |
247 | 255 | ||||||
| Series 2003-74, Class SH, IF, 9.83%, 8/25/2033 (h) |
56 | 62 | ||||||
| Series 2003-91, Class SD, IF, 12.19%, 9/25/2033 (h) |
52 | 61 | ||||||
| Series 2013-101, Class AE, 3.00%, 10/25/2033 |
3,349 | 3,445 | ||||||
| Series 2013-101, Class E, 3.00%, 10/25/2033 |
3,000 | 3,084 | ||||||
| Series 2013-108, Class GU, 3.00%, 10/25/2033 |
4,000 | 4,116 | ||||||
| Series 2003-116, Class SB, IF, IO, 7.41%, 11/25/2033 (h) |
319 | 53 | ||||||
| Series 2006-44, Class P, PO, 12/25/2033 |
564 | 514 | ||||||
| Series 2003-130, Class SX, IF, 11.24%, 1/25/2034 (h) |
6 | 6 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2004-25, Class SA, IF, 19.01%, 4/25/2034 (h) |
136 | 176 | ||||||
| Series 2004-46, Class SK, IF, 15.99%, 5/25/2034 (h) |
253 | 303 | ||||||
| Series 2004-36, Class SA, IF, 19.01%, 5/25/2034 (h) |
293 | 393 | ||||||
| Series 2004-46, Class QB, HB, IF, 23.25%, 5/25/2034 (h) |
112 | 152 | ||||||
| Series 2004-51, Class SY, IF, 13.87%, 7/25/2034 (h) |
56 | 62 | ||||||
| Series 2005-74, Class CS, IF, 19.51%, 5/25/2035 (h) |
80 | 91 | ||||||
| Series 2005-56, Class S, IF, IO, 6.52%, 7/25/2035 (h) |
260 | 45 | ||||||
| Series 2005-66, Class SG, IF, 16.91%, 7/25/2035 (h) |
94 | 122 | ||||||
| Series 2005-68, Class PG, 5.50%, 8/25/2035 |
262 | 287 | ||||||
| Series 2005-84, Class XM, 5.75%, 10/25/2035 |
728 | 793 | ||||||
| Series 2005-110, Class GL, 5.50%, 12/25/2035 |
2,130 | 2,340 | ||||||
| Series 2006-46, Class UC, 5.50%, 12/25/2035 |
165 | 172 | ||||||
| Series 2005-109, Class PC, 6.00%, 12/25/2035 |
236 | 256 | ||||||
| Series 2006-39, Class WC, 5.50%, 1/25/2036 |
164 | 171 | ||||||
| Series 2006-16, Class OA, PO, 3/25/2036 |
93 | 85 | ||||||
| Series 2006-22, Class AO, PO, 4/25/2036 |
165 | 150 | ||||||
| Series 2006-23, Class KO, PO, 4/25/2036 |
29 | 27 | ||||||
| Series 2006-44, Class GO, PO, 6/25/2036 |
225 | 206 | ||||||
| Series 2006-53, Class US, IF, IO, 6.39%, 6/25/2036 (h) |
330 | 56 | ||||||
| Series 2006-56, PO, 7/25/2036 |
185 | 169 | ||||||
| Series 2006-58, PO, 7/25/2036 |
99 | 90 | ||||||
| Series 2006-58, Class AP, PO, 7/25/2036 |
186 | 168 | ||||||
| Series 2006-65, Class QO, PO, 7/25/2036 |
153 | 141 | ||||||
| Series 2006-56, Class FC, 0.48%, 7/25/2036 (h) |
327 | 328 | ||||||
| Series 2006-58, Class FL, 0.65%, 7/25/2036 (h) |
25 | 25 | ||||||
| Series 2006-60, Class DZ, 6.50%, 7/25/2036 |
3,838 | 4,281 | ||||||
| Series 2006-72, Class TO, PO, 8/25/2036 |
27 | 24 | ||||||
| Series 2006-79, Class DO, PO, 8/25/2036 |
121 | 114 | ||||||
| Series 2007-7, Class SG, IF, IO, 6.31%, 8/25/2036 (h) |
785 | 175 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2006-77, Class PC, 6.50%, 8/25/2036 |
378 | 420 | ||||||
| Series 2006-90, Class AO, PO, 9/25/2036 |
84 | 77 | ||||||
| Series 2008-42, Class AO, PO, 9/25/2036 |
48 | 43 | ||||||
| Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 |
610 | 122 | ||||||
| Series 2006-109, PO, 11/25/2036 |
47 | 42 | ||||||
| Series 2006-110, PO, 11/25/2036 |
260 | 236 | ||||||
| Series 2006-111, Class EO, PO, 11/25/2036 |
33 | 30 | ||||||
| Series 2006-124, Class HB, 2.00%, 11/25/2036 (h) |
484 | 490 | ||||||
| Series 2006-119, PO, 12/25/2036 |
37 | 35 | ||||||
| Series 2006-118, Class A2, 0.17%, 12/25/2036 (h) |
143 | 141 | ||||||
| Series 2009-70, Class CO, PO, 1/25/2037 |
250 | 226 | ||||||
| Series 2006-128, Class BP, 5.50%, 1/25/2037 |
66 | 71 | ||||||
| Series 2007-77, Class FG, 0.69%, 3/25/2037 (h) |
41 | 41 | ||||||
| Series 2007-16, Class FC, 0.94%, 3/25/2037 (h) |
52 | 55 | ||||||
| Series 2007-14, Class ES, IF, IO, 6.25%, 3/25/2037 (h) |
394 | 64 | ||||||
| Series 2007-42, Class AO, PO, 5/25/2037 |
16 | 14 | ||||||
| Series 2007-48, PO, 5/25/2037 |
68 | 65 | ||||||
| Series 2007-60, Class AX, IF, IO, 6.96%, 7/25/2037 (h) |
1,211 | 274 | ||||||
| Series 2007-81, Class GE, 6.00%, 8/25/2037 |
136 | 153 | ||||||
| Series 2007-88, Class VI, IF, IO, 6.35%, 9/25/2037 (h) |
815 | 156 | ||||||
| Series 2007-91, Class ES, IF, IO, 6.27%, 10/25/2037 (h) |
571 | 108 | ||||||
| Series 2007-116, Class HI, IO, 1.25%, 1/25/2038 (h) |
375 | 16 | ||||||
| Series 2008-1, Class BI, IF, IO, 5.72%, 2/25/2038 (h) |
192 | 33 | ||||||
| Series 2008-16, Class IS, IF, IO, 6.01%, 3/25/2038 (h) |
72 | 11 | ||||||
| Series 2008-10, Class XI, IF, IO, 6.04%, 3/25/2038 (h) |
168 | 28 | ||||||
| Series 2008-27, Class SN, IF, IO, 6.71%, 4/25/2038 (h) |
103 | 16 | ||||||
| Series 2008-44, PO, 5/25/2038 |
6 | 5 | ||||||
| Series 2008-53, Class CI, IF, IO, 7.01%, 7/25/2038 (h) |
148 | 25 | ||||||
| Series 2008-80, Class SA, IF, IO, 5.66%, 9/25/2038 (h) |
292 | 47 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2008-81, Class SB, IF, IO, 5.66%, 9/25/2038 (h) |
339 | 49 | ||||||
| Series 2009-6, Class GS, IF, IO, 6.36%, 2/25/2039 (h) |
271 | 54 | ||||||
| Series 2009-62, Class HJ, 6.00%, 5/25/2039 |
49 | 51 | ||||||
| Series 2009-60, Class HT, 6.00%, 8/25/2039 |
248 | 280 | ||||||
| Series 2009-103, Class MB, 2.00%, 12/25/2039 (h) |
113 | 118 | ||||||
| Series 2009-99, Class SC, IF, IO, 5.99%, 12/25/2039 (h) |
67 | 10 | ||||||
| Series 2010-49, Class SC, IF, 12.29%, 3/25/2040 (h) |
189 | 229 | ||||||
| Series 2010-64, Class DM, 5.00%, 6/25/2040 |
109 | 118 | ||||||
| Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
159 | 177 | ||||||
| Series 2010-147, Class SA, IF, IO, 6.34%, 1/25/2041 (h) |
799 | 160 | ||||||
| Series 2011-30, Class LS, IO, 1.59%, 4/25/2041 (h) |
313 | 19 | ||||||
| Series 2011-75, Class FA, 0.74%, 8/25/2041 (h) |
88 | 88 | ||||||
| Series 2011-118, Class MT, 7.00%, 11/25/2041 |
233 | 272 | ||||||
| Series 2011-130, Class CA, 6.00%, 12/25/2041 |
499 | 564 | ||||||
| Series 2013-81, Class TA, 3.00%, 2/25/2043 |
1,230 | 1,247 | ||||||
| Series 2013-92, PO, 9/25/2043 |
630 | 552 | ||||||
| Series 2013-90, Class PM, 3.50%, 9/25/2043 |
1,694 | 1,750 | ||||||
| Series 2013-101, Class DO, PO, 10/25/2043 |
1,104 | 985 | ||||||
| Series 2013-128, PO, 12/25/2043 |
1,185 | 1,064 | ||||||
| Series 2011-2, Class WA, 5.84%, 2/25/2051 (h) |
178 | 197 | ||||||
| FNMA, REMIC Trust, Whole Loan |
||||||||
| Series 2007-W7, Class 1A4, HB, IF, 38.06%, 7/25/2037 (h) |
8 | 12 | ||||||
| Series 2003-W4, Class 2A, 5.42%, 10/25/2042 (h) |
38 | 42 | ||||||
| Series 2003-W1, Class 1A1, 4.97%, 12/25/2042 (h) |
334 | 350 | ||||||
| Series 2003-W1, Class 2A, 5.43%, 12/25/2042 (h) |
141 | 144 | ||||||
| Series 2009-W1, Class A, 6.00%, 12/25/2049 |
349 | 382 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 31 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| FNMA, REMIC, Whole Loan |
||||||||
| Series 2007-101, Class A2, 0.37%, 6/27/2036 (h) |
250 | 246 | ||||||
| Series 2007-54, Class FA, 0.59%, 6/25/2037 (h) |
130 | 131 | ||||||
| Series 2007-106, Class A7, 6.25%, 10/25/2037 (h) |
87 | 99 | ||||||
| FNMA, STRIPS |
||||||||
| Series 218, Class 2, IO, 7.50%, 4/25/2023 |
— | (i) | — | (i) | ||||
| Series 265, Class 2, 9.00%, 3/25/2024 |
1 | 1 | ||||||
| Series 329, Class 1, PO, 1/25/2033 |
25 | 23 | ||||||
| Series 345, Class 6, IO, 5.00%, 12/25/2033 (h) |
39 | 5 | ||||||
| Series 351, Class 7, IO, 5.00%, 4/25/2034 (h) |
126 | 15 | ||||||
| Series 355, Class 11, IO, 6.00%, 7/25/2034 |
104 | 17 | ||||||
| Series 365, Class 8, IO, 5.50%, 5/25/2036 |
157 | 31 | ||||||
| Series 374, Class 5, IO, 5.50%, 8/25/2036 |
92 | 16 | ||||||
| Series 393, Class 6, IO, 5.50%, 4/25/2037 |
29 | 4 | ||||||
| Series 383, Class 32, IO, 6.00%, 1/25/2038 |
40 | 10 | ||||||
| Series 383, Class 33, IO, 6.00%, 1/25/2038 |
106 | 21 | ||||||
| Freedom Series 2021-SAVF1, IO, 4.90%, 3/25/2022 (h) |
7,708 | 7,709 | ||||||
| GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 2.92%, 6/19/2035 (h) |
436 | 425 | ||||||
| GNMA |
||||||||
| Series 1999-4, Class ZB, 6.00%, 2/20/2029 |
170 | 170 | ||||||
| Series 2001-35, Class SA, IF, IO, 8.12%, 8/16/2031 (h) |
56 | — | (i) | |||||
| Series 2002-52, Class GH, 6.50%, 7/20/2032 |
269 | 269 | ||||||
| Series 2003-58, Class BE, 6.50%, 1/20/2033 |
363 | 377 | ||||||
| Series 2003-12, Class SP, IF, IO, 7.54%, 2/20/2033 (h) |
87 | 7 | ||||||
| Series 2003-24, PO, 3/16/2033 |
15 | 15 | ||||||
| Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
437 | 456 | ||||||
| Series 2003-46, Class TC, 6.50%, 3/20/2033 |
206 | 216 | ||||||
| Series 2003-46, Class MG, 6.50%, 5/20/2033 |
285 | 305 | ||||||
| Series 2003-52, Class AP, PO, 6/16/2033 |
85 | 80 | ||||||
| Series 2003-90, PO, 10/20/2033 |
23 | 23 | ||||||
| Series 2003-112, Class SA, IF, IO, 6.42%, 12/16/2033 (h) |
293 | 22 | ||||||
| Series 2004-28, Class S, IF, 19.32%, 4/16/2034 (h) |
125 | 162 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2004-90, Class SI, IF, IO, 5.94%, 10/20/2034 (h) |
400 | 45 | ||||||
| Series 2005-68, Class DP, IF, 16.13%, 6/17/2035 (h) |
42 | 48 | ||||||
| Series 2010-14, Class CO, PO, 8/20/2035 |
133 | 122 | ||||||
| Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h) |
606 | 82 | ||||||
| Series 2005-68, Class KI, IF, IO, 6.14%, 9/20/2035 (h) |
864 | 138 | ||||||
| Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 |
130 | 17 | ||||||
| Series 2006-16, Class OP, PO, 3/20/2036 |
59 | 54 | ||||||
| Series 2006-38, Class SW, IF, IO, 6.34%, 6/20/2036 (h) |
45 | 1 | ||||||
| Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
703 | 752 | ||||||
| Series 2006-59, Class SD, IF, IO, 6.54%, 10/20/2036 (h) |
198 | 21 | ||||||
| Series 2006-65, Class SA, IF, IO, 6.64%, 11/20/2036 (h) |
316 | 27 | ||||||
| Series 2011-22, Class WA, 5.90%, 2/20/2037 (h) |
300 | 333 | ||||||
| Series 2007-57, PO, 3/20/2037 |
68 | 66 | ||||||
| Series 2007-17, Class JO, PO, 4/16/2037 |
56 | 49 | ||||||
| Series 2007-17, Class JI, IF, IO, 6.68%, 4/16/2037 (h) |
518 | 98 | ||||||
| Series 2007-19, Class SD, IF, IO, 6.04%, 4/20/2037 (h) |
289 | 21 | ||||||
| Series 2007-28, Class BO, PO, 5/20/2037 |
60 | 54 | ||||||
| Series 2007-26, Class SC, IF, IO, 6.04%, 5/20/2037 (h) |
233 | 27 | ||||||
| Series 2007-27, Class SA, IF, IO, 6.04%, 5/20/2037 (h) |
248 | 24 | ||||||
| Series 2007-36, Class SE, IF, IO, 6.34%, 6/16/2037 (h) |
146 | 13 | ||||||
| Series 2007-47, Class PH, 6.00%, 7/16/2037 |
2,282 | 2,539 | ||||||
| Series 2007-40, Class SB, IF, IO, 6.59%, 7/20/2037 (h) |
504 | 68 | ||||||
| Series 2007-42, Class SB, IF, IO, 6.59%, 7/20/2037 (h) |
296 | 35 | ||||||
| Series 2007-53, Class SW, IF, 19.72%, 9/20/2037 (h) |
25 | 29 | ||||||
| Series 2008-32, Class PI, IO, 5.50%, 10/16/2037 |
34 | 1 | ||||||
| Series 2009-79, Class OK, PO, 11/16/2037 |
86 | 80 | ||||||
| Series 2007-73, Class MI, IF, IO, 5.84%, 11/20/2037 (h) |
167 | 14 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2007-76, Class SA, IF, IO, 6.37%, 11/20/2037 (h) |
327 | 30 | ||||||
| Series 2007-72, Class US, IF, IO, 6.39%, 11/20/2037 (h) |
159 | 14 | ||||||
| Series 2007-79, Class SY, IF, IO, 6.39%, 12/20/2037 (h) |
148 | 14 | ||||||
| Series 2008-2, Class NS, IF, IO, 6.41%, 1/16/2038 (h) |
300 | 31 | ||||||
| Series 2008-2, Class MS, IF, IO, 7.03%, 1/16/2038 (h) |
90 | 14 | ||||||
| Series 2008-10, Class S, IF, IO, 5.67%, 2/20/2038 (h) |
181 | 16 | ||||||
| Series 2008-36, Class SH, IF, IO, 6.14%, 4/20/2038 (h) |
243 | 1 | ||||||
| Series 2008-40, Class SA, IF, IO, 6.27%, 5/16/2038 (h) |
1,568 | 233 | ||||||
| Series 2008-55, Class SA, IF, IO, 6.04%, 6/20/2038 (h) |
135 | 14 | ||||||
| Series 2008-71, Class SC, IF, IO, 5.84%, 8/20/2038 (h) |
62 | 6 | ||||||
| Series 2009-25, Class SE, IF, IO, 7.44%, 9/20/2038 (h) |
117 | 14 | ||||||
| Series 2008-93, Class AS, IF, IO, 5.54%, 12/20/2038 (h) |
178 | 17 | ||||||
| Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038 |
14 | — | (i) | |||||
| Series 2009-6, Class SA, IF, IO, 5.97%, 2/16/2039 (h) |
172 | 10 | ||||||
| Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 |
368 | 35 | ||||||
| Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 |
166 | 27 | ||||||
| Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
161 | 32 | ||||||
| Series 2009-22, Class SA, IF, IO, 6.11%, 4/20/2039 (h) |
349 | 42 | ||||||
| Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 |
82 | 10 | ||||||
| Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 |
87 | 14 | ||||||
| Series 2009-43, Class SA, IF, IO, 5.79%, 6/20/2039 (h) |
155 | 13 | ||||||
| Series 2009-72, Class SM, IF, IO, 6.12%, 8/16/2039 (h) |
355 | 44 | ||||||
| Series 2010-31, Class NO, PO, 3/20/2040 |
560 | 516 | ||||||
| Series 2013-75, Class WA, 5.13%, 6/20/2040 (h) |
806 | 887 | ||||||
| Series 2010-130, Class CP, 7.00%, 10/16/2040 |
100 | 114 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2010-157, Class OP, PO, 12/20/2040 |
591 | 545 | ||||||
| Series 2011-75, Class SM, IF, IO, 6.44%, 5/20/2041 (h) |
506 | 58 | ||||||
| Series 2014-188, Class W, 4.57%, 10/20/2041 (h) |
330 | 354 | ||||||
| Series 2012-141, Class WC, 3.72%, 1/20/2042 (h) |
194 | 204 | ||||||
| Series 2013-54, Class WA, 4.88%, 11/20/2042 (h) |
1,246 | 1,370 | ||||||
| Series 2013-91, Class WA, 4.48%, 4/20/2043 (h) |
620 | 658 | ||||||
| Series 2013-116, Class JY, 4.00%, 8/16/2043 |
1,300 | 1,458 | ||||||
| Series 2018-160, Class PA, 3.50%, 7/20/2046 |
1,887 | 1,929 | ||||||
| Series 2012-H24, Class FG, 0.53%, 4/20/2060 (h) |
9 | 9 | ||||||
| Series 2013-H03, Class FA, 0.40%, 8/20/2060 (h) |
1 | 1 | ||||||
| Series 2012-H21, Class CF, 0.80%, 5/20/2061 (h) |
11 | 11 | ||||||
| Series 2013-H05, Class FB, 0.50%, 2/20/2062 (h) |
10 | 10 | ||||||
| Series 2012-H15, Class FA, 0.55%, 5/20/2062 (h) |
— | (i) | — | (i) | ||||
| Series 2012-H26, Class MA, 0.65%, 7/20/2062 (h) |
3 | 3 | ||||||
| Series 2012-H28, Class FA, 0.68%, 9/20/2062 (h) |
5 | 5 | ||||||
| Series 2012-H29, Class FA, 0.62%, 10/20/2062 (h) |
498 | 499 | ||||||
| Series 2012-H31, Class FD, 0.44%, 12/20/2062 (h) |
768 | 767 | ||||||
| Series 2013-H01, Class FA, 1.65%, 1/20/2063 |
4 | 4 | ||||||
| Series 2013-H08, Class FC, 0.55%, 2/20/2063 (h) |
613 | 613 | ||||||
| Series 2013-H04, Class BA, 1.65%, 2/20/2063 |
10 | 10 | ||||||
| Series 2013-H07, Class HA, 0.00%, 3/20/2063 (h) |
606 | 606 | ||||||
| Series 2013-H09, Class HA, 1.65%, 4/20/2063 |
12 | 12 | ||||||
| Series 2013-H18, Class JA, 0.70%, 8/20/2063 (h) |
1,172 | 1,175 | ||||||
| Series 2014-H01, Class FD, 0.75%, 1/20/2064 (h) |
919 | 922 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 33 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2014-H09, Class TA, 0.70%, 4/20/2064 (h) |
935 | 938 | ||||||
| Series 2015-H15, Class FD, 0.54%, 6/20/2065 (h) |
1,222 | 1,224 | ||||||
| Series 2015-H15, Class FJ, 0.54%, 6/20/2065 (h) |
2,785 | 2,789 | ||||||
| Series 2015-H16, Class FG, 0.54%, 7/20/2065 (h) |
1,793 | 1,795 | ||||||
| Series 2015-H23, Class FB, 0.62%, 9/20/2065 (h) |
1,840 | 1,846 | ||||||
| Series 2015-H32, Class FH, 0.76%, 12/20/2065 (h) |
1,394 | 1,405 | ||||||
| Series 2017-H08, Class XI, IO, 2.19%, 3/20/2067 (h) |
5,878 | 472 | ||||||
| GSMPS Mortgage Loan Trust |
||||||||
| Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (h) |
343 | 335 | ||||||
| Series 2005-RP3, Class 1AF, 0.54%, 9/25/2035 (b) (h) |
584 | 507 | ||||||
| Series 2005-RP3, Class 1AS, IO, 4.11%, 9/25/2035 ‡ (b) (h) |
441 | 35 | ||||||
| Series 2006-RP2, Class 1AS2, IF, IO, 4.18%, 4/25/2036 ‡ (b) (h) |
1,785 | 211 | ||||||
| GSR Mortgage Loan Trust |
||||||||
| Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 |
97 | 100 | ||||||
| Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 |
55 | 56 | ||||||
| Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 |
196 | 202 | ||||||
| Series 2005-4F, Class AP, PO, 5/25/2035 ‡ |
— | (i) | — | (i) | ||||
| Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 |
354 | 360 | ||||||
| Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 |
758 | 489 | ||||||
| Impac CMB Trust |
||||||||
| Series 2004-7, Class 1A1, 0.93%, 11/25/2034 (h) |
413 | 417 | ||||||
| Series 2005-4, Class 2A1, 0.79%, 5/25/2035 (h) |
100 | 99 | ||||||
| Impac Secured Assets Trust Series 2006-1, Class 2A1, 0.89%, 5/25/2036 (h) |
59 | 59 | ||||||
| JPMorgan Mortgage Trust |
||||||||
| Series 2006-A2, Class 5A3, 2.27%, 11/25/2033 (h) |
171 | 173 | ||||||
| Series 2006-A2, Class 4A1, 2.22%, 8/25/2034 (h) |
148 | 155 | ||||||
| Series 2006-A3, Class 6A1, 2.61%, 8/25/2034 (h) |
45 | 45 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Lehman Mortgage Trust |
||||||||
| Series 2006-2, Class 1A1, 5.93%, 4/25/2036 (h) |
215 | 175 | ||||||
| Series 2008-2, Class 1A6, 6.00%, 3/25/2038 |
451 | 209 | ||||||
| LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (h) |
2,075 | 2,024 | ||||||
| MASTR Adjustable Rate Mortgages Trust |
||||||||
| Series 2004-13, Class 2A1, 2.62%, 4/21/2034 (h) |
91 | 91 | ||||||
| Series 2004-4, Class 2A1, 1.94%, 5/25/2034 (h) |
30 | 30 | ||||||
| Series 2004-13, Class 3A7, 2.76%, 11/21/2034 (h) |
224 | 225 | ||||||
| Series 2004-15, Class 3A1, 2.43%, 12/25/2034 (h) |
49 | 48 | ||||||
| MASTR Alternative Loan Trust |
||||||||
| Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
3 | 3 | ||||||
| Series 2004-8, Class 6A1, 5.50%, 9/25/2019 |
2 | 2 | ||||||
| Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
78 | 78 | ||||||
| Series 2003-3, Class 1A1, 6.50%, 5/25/2033 |
97 | 100 | ||||||
| Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
196 | 202 | ||||||
| Series 2004-3, Class 2A1, 6.25%, 4/25/2034 |
135 | 139 | ||||||
| Series 2004-6, Class 30, PO, 7/25/2034 ‡ |
113 | 93 | ||||||
| Series 2004-6, Class 7A1, 6.00%, 7/25/2034 |
205 | 214 | ||||||
| Series 2004-7, Class 30, PO, 8/25/2034 ‡ |
66 | 54 | ||||||
| MASTR Asset Securitization Trust |
||||||||
| Series 2004-6, Class 15, PO, 7/25/2019 ‡ |
— | (i) | — | (i) | ||||
| Series 2003-12, Class 30, PO, 12/25/2033 ‡ |
10 | 10 | ||||||
| Series 2004-1, Class 30, PO, 2/25/2034 ‡ |
8 | 6 | ||||||
| MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 0.54%, 5/25/2035 (b) (h) |
1,257 | 646 | ||||||
| MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b) |
63 | 52 | ||||||
| Merrill Lynch Mortgage Investors Trust |
||||||||
| Series 2003-E, Class A1, 0.81%, 10/25/2028 (h) |
47 | 47 | ||||||
| Series 2003-F, Class A1, 0.83%, 10/25/2028 (h) |
408 | 401 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2004-A, Class A1, 0.65%, 4/25/2029 (h) |
79 | 77 | ||||||
| Series 2004-1, Class 2A1, 2.07%, 12/25/2034 (h) |
125 | 126 | ||||||
| MRA Issuance Trust |
||||||||
| Series 2021-EBO5, Class A1X, 1.83%, 2/15/2023 (b) (h) |
6,700 | 6,700 | ||||||
| Series 2021-EBO7, Class A1X, 2.86%, 2/15/2023 (b) (h) |
6,700 | 6,700 | ||||||
| Series 2021-EBO2, Class A, 2.84%, 12/31/2049 (b) (h) |
6,500 | 6,500 | ||||||
| NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (h) |
182 | 175 | ||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust |
||||||||
| Series 2003-A1, Class A5, 7.00%, 4/25/2033 |
34 | 37 | ||||||
| Series 2003-A1, Class A1, 5.50%, 5/25/2033 |
10 | 10 | ||||||
| Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
35 | 36 | ||||||
| P4 SFR Series 2019-STlA, 7.25%, 10/11/2026 ‡ |
2,600 | 2,600 | ||||||
| PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (h) |
3,594 | 3,530 | ||||||
| RALI Trust |
||||||||
| Series 2002-QS16, Class A3, IF, 16.23%, 10/25/2017 (h) |
— | (i) | — | (i) | ||||
| Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡ |
— | (i) | — | |||||
| Series 2003-QS12, Class A2A, IF, IO, 7.41%, 6/25/2018 ‡ (h) |
— | (i) | — | (i) | ||||
| Series 2003-QS14, Class A1, 5.00%, 7/25/2018 |
6 | 5 | ||||||
| Series 2004-QA6, Class NB2, 2.89%, 12/26/2034 (h) |
420 | 415 | ||||||
| RFMSI Trust |
||||||||
| Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 |
— | (i) | — | (i) | ||||
| Series 2005-SA4, Class 1A1, 2.26%, 9/25/2035 (h) |
40 | 34 | ||||||
| RMIP Series 2019-1B, 4.71%, 8/25/2023 ‡ |
1,126 | 1,109 | ||||||
| SART Series 2017-1, 4.75%, 7/15/2024 |
1,216 | 1,232 | ||||||
| Seasoned Credit Risk Transfer Trust |
||||||||
| Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡ |
2,955 | 3,089 | ||||||
| Series 2019-3, Class MB, 3.50%, 10/25/2058 ‡ |
1,722 | 1,833 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Sonoran Auto Receivables Trust Series 2018-1, 4.76%, 6/15/2025 |
1,276 | 1,297 | ||||||
| Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 0.82%, 10/19/2034 (h) |
177 | 174 | ||||||
| Thornburg Mortgage Securities Trust |
||||||||
| Series 2003-4, Class A1, 0.83%, 9/25/2043 (h) |
87 | 89 | ||||||
| Series 2004-4, Class 3A, 1.90%, 12/25/2044 (h) |
190 | 190 | ||||||
| Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (e) |
1,501 | 1,503 | ||||||
| Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (h) |
5,830 | 5,772 | ||||||
| Two Harbors Series 2021-FNTMSR1, Class A, IO, 4.00%, 3/25/2022 (h) |
6,600 | 6,603 | ||||||
| Vendee Mortgage Trust |
||||||||
| Series 1994-1, Class 1, 4.92%, 2/15/2024 (h) |
42 | 42 | ||||||
| Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 |
60 | 62 | ||||||
| Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
136 | 147 | ||||||
| Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
102 | 110 | ||||||
| Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
195 | 212 | ||||||
| Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
246 | 264 | ||||||
| Series 1999-1, Class 2Z, 6.50%, 1/15/2029 |
515 | 551 | ||||||
| Series 2003-2, Class Z, 5.00%, 5/15/2033 |
2,221 | 2,401 | ||||||
| vMobo, Inc. 7.50%, 5/31/2024 |
3,100 | 3,100 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033 |
377 | 382 | ||||||
| WaMu Mortgage Pass-Through Certificates Trust |
||||||||
| Series 2003-AR8, Class A, 2.70%, 8/25/2033 (h) |
28 | 29 | ||||||
| Series 2003-AR9, Class 2A, 2.37%, 9/25/2033 (h) |
38 | 38 | ||||||
| Series 2003-AR9, Class 1A6, 2.52%, 9/25/2033 (h) |
491 | 488 | ||||||
| Series 2003-S9, Class P, PO, 10/25/2033 ‡ |
17 | 15 | ||||||
| Series 2003-S9, Class A8, 5.25%, 10/25/2033 |
256 | 259 | ||||||
| Series 2004-AR3, Class A1, 2.60%, 6/25/2034 (h) |
34 | 35 | ||||||
| Series 2004-AR3, Class A2, 2.60%, 6/25/2034 (h) |
28 | 29 | ||||||
| Series 2006-AR10, Class 2P, 2.74%, 9/25/2036 ‡ (h) |
54 | 51 | ||||||
| Series 2006-AR12, Class 2P, 2.59%, 10/25/2036 ‡ (h) |
44 | 42 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 35 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |
||||||||
| Series 2005-2, Class 2A3, IF, IO, 4.81%, 4/25/2035 ‡ (h) |
508 | 56 | ||||||
| Series 2005-2, Class 1A4, IF, IO, 4.86%, 4/25/2035 ‡ (h) |
2,342 | 238 | ||||||
| Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡ |
709 | 118 | ||||||
| Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
722 | 724 | ||||||
| Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡ |
623 | 102 | ||||||
| Series 2005-6, Class 2A4, 5.50%, 8/25/2035 |
122 | 118 | ||||||
| Series 2005-6, Class 2A9, 5.50%, 8/25/2035 |
782 | 757 | ||||||
| Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 |
117 | 115 | ||||||
| ZH Trust Series 2021-1, Class A, 2.25%, 2/18/2027 (b) |
1,830 | 1,814 | ||||||
| Zillow Cspa 0.00%, 7/15/2022 |
809 | 809 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations |
233,193 | |||||||
|
|
|
|||||||
| Asset-Backed Securities — 11.0% |
| |||||||
| Academic Loan Funding Trust Series 2013-1A, Class A, 0.99%, 12/26/2044 (b) (h) |
710 | 702 | ||||||
| Air Canada Pass-Through Trust (Canada) |
||||||||
| Series 2013-1, Class A, 4.13%, 5/15/2025 (b) |
520 | 523 | ||||||
| Series 2015-2, Class AA, 3.75%, 12/15/2027 (b) |
198 | 201 | ||||||
| Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) |
403 | 400 | ||||||
| Series 2017-1, Class A, 3.55%, 1/15/2030 (b) |
570 | 553 | ||||||
| American Airlines Pass-Through Trust |
||||||||
| Series 2016-3, Class AA, 3.00%, 10/15/2028 |
316 | 313 | ||||||
| Series 2017-1, Class AA, 3.65%, 2/15/2029 |
428 | 438 | ||||||
| American Homes 4 Rent |
||||||||
| Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b) |
3,714 | 3,784 | ||||||
| Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (b) |
1,275 | 1,335 | ||||||
| American Homes 4 Rent Trust |
||||||||
| Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b) |
3,472 | 3,537 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (b) |
2,000 | 2,063 | ||||||
| Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b) |
850 | 895 | ||||||
| Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) |
2,592 | 2,621 | ||||||
| Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b) |
500 | 510 | ||||||
| Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (b) |
2,380 | 2,505 | ||||||
| American Tower Trust #1 REIT, 3.07%, 3/15/2023 (b) |
750 | 752 | ||||||
| AMSR Trust |
||||||||
| Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (b) |
3,500 | 3,409 | ||||||
| Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (b) |
4,000 | 3,786 | ||||||
| Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 ‡ (b) |
2,168 | 2,015 | ||||||
| British Airways Pass-Through Trust (United Kingdom) |
||||||||
| Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) |
494 | 502 | ||||||
| Series 2018-1, Class A, 4.13%, 9/20/2031 (b) |
793 | 785 | ||||||
| Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) |
654 | 654 | ||||||
| Business Jet Securities LLC |
||||||||
| Series 2019-1, Class A, 4.21%, 7/15/2034 (b) |
869 | 868 | ||||||
| Series 2019-1, Class B, 5.19%, 7/15/2034 ‡ (b) |
1,927 | 1,901 | ||||||
| Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) |
949 | 946 | ||||||
| Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) |
3,146 | 3,030 | ||||||
| Camillo Issuer LLC Series 2016-SFR, |
4,742 | 4,836 | ||||||
| Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) |
800 | 785 | ||||||
| Carvana Auto Receivables Trust |
||||||||
| Series 2019-2A, Class C, 3.00%, 6/17/2024 (b) |
3,369 | 3,383 | ||||||
| Series 2019-3A, Class C, 2.71%, 10/15/2024 (b) |
5,240 | 5,264 | ||||||
| Cfine LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 (b) |
4,200 | 4,200 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Asset-Backed Securities — continued |
| |||||||
| CFMT LLC Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (h) |
2,609 | 2,596 | ||||||
| Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 ‡ (e) |
280 | 288 | ||||||
| Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 |
800 | 1,063 | ||||||
| Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 3.26%, 3/24/2023 (b) (h) |
2,810 | 2,781 | ||||||
| Continental Airlines Pass-Through Trust Series 2007-1, Class A, 5.98%, 4/19/2022 |
75 | 75 | ||||||
| Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) |
2,070 | 2,030 | ||||||
| CoreVest American Finance Trust |
||||||||
| Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (b) |
2,000 | 1,970 | ||||||
| Series 2020-3, Class B, 2.20%, 8/15/2053 ‡ (b) |
2,855 | 2,575 | ||||||
| CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (b) |
1,800 | 1,817 | ||||||
| Credit Acceptance Auto Loan Trust Series 2021-2A, Class C, 1.64%, 6/17/2030 (b) |
7,280 | 7,060 | ||||||
| Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (b) |
1,739 | 1,724 | ||||||
| CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 1.09%, 10/25/2034 (h) |
71 | 70 | ||||||
| DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) |
2,700 | 2,584 | ||||||
| Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 |
237 | 243 | ||||||
| Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (b) |
1,939 | 1,944 | ||||||
| Diversified Abs Phase III LLC 4.88%, 4/28/2039 ‡ |
5,750 | 5,750 | ||||||
| Drive Auto Receivables Trust Series 2019-4, Class C, 2.51%, 11/17/2025 |
1,157 | 1,162 | ||||||
| Exeter Automobile Receivables Trust |
||||||||
| Series 2019-4A, Class C, 2.44%, 9/16/2024 (b) |
1,214 | 1,217 | ||||||
| Series 2019-3A, Class D, 3.11%, 8/15/2025 (b) |
3,540 | 3,592 | ||||||
| FirstKey Homes Trust |
||||||||
| Series 2020-SFR2, Class E, 2.67%, 10/19/2037 ‡ (b) |
3,000 | 2,849 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (b) |
4,000 | 3,747 | ||||||
| FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 |
4,843 | 5,004 | ||||||
| Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b) |
541 | 550 | ||||||
| GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (h) |
50 | 44 | ||||||
| Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) |
88 | 88 | ||||||
| Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (b) |
1,697 | 1,665 | ||||||
| Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b) |
361 | 364 | ||||||
| HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (b) |
107 | 107 | ||||||
| HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b) |
997 | 1,006 | ||||||
| HERO Funding Trust (Cayman Islands) |
||||||||
| Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b) |
406 | 410 | ||||||
| Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b) |
1,004 | 1,031 | ||||||
| Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b) |
93 | 93 | ||||||
| KGS-Alpha SBA COOF Trust |
||||||||
| Series 2012-2, Class A, IO, 0.84%, 8/25/2038 ‡ (b) (h) |
1,782 | 33 | ||||||
| Series 2013-2, Class A, IO, 1.76%, 3/25/2039 ‡ (b) (h) |
1,734 | 65 | ||||||
| Series 2015-2, Class A, IO, 3.28%, 7/25/2041 ‡ (b) (h) |
689 | 74 | ||||||
| LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) |
5,537 | 5,517 | ||||||
| Lendmark Funding Trust Series 2019-1A, Class B, 3.40%, 12/20/2027 ‡ (b) |
3,319 | 3,341 | ||||||
| LP LMS Asset Securitization Trust 3.23%, 10/15/2028 |
3,026 | 3,031 | ||||||
| Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) |
2,330 | 2,306 | ||||||
| Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b) |
467 | 485 | ||||||
| MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (b) |
2,033 | 2,014 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 37 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Asset-Backed Securities — continued |
| |||||||
| New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.86%, 11/25/2033 ‡ (e) |
264 | 263 | ||||||
| NRZ Excess Spread-Collateralized Notes |
||||||||
| Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) |
1,407 | 1,395 | ||||||
| Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b) |
6,347 | 6,132 | ||||||
| Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) |
3,689 | 3,652 | ||||||
| OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (b) |
1,511 | 1,513 | ||||||
| Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b) |
3,010 | 3,027 | ||||||
| Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (b) |
5,067 | 5,026 | ||||||
| PRET LLC |
||||||||
| Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (b) (e) |
3,851 | 3,773 | ||||||
| Series 2021-RN3, Class A1, 1.84%, 9/25/2051 ‡ (b) (e) |
4,383 | 4,257 | ||||||
| Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (h) |
6,961 | 6,874 | ||||||
| Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (b) (e) |
4,238 | 4,151 | ||||||
| Progress Residential Trust |
||||||||
| Series 2020-SFR3, Class C, 1.70%, 10/17/2027 ‡ (b) |
3,250 | 3,033 | ||||||
| Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (b) |
5,000 | 4,895 | ||||||
| Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b) |
3,446 | 3,171 | ||||||
| Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (e) |
287 | 108 | ||||||
| Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b) |
446 | 449 | ||||||
| Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (b) |
3,955 | 3,970 | ||||||
| Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (e) |
163 | 164 | ||||||
| Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 ‡ (b) |
1,137 | 1,133 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
311 | 308 | ||||||
| Synchrony Card Funding LLC |
||||||||
| Series 2019-A1, Class A, 2.95%, 3/15/2025 |
4,681 | 4,686 | ||||||
| Series 2019-A2, Class A, 2.34%, 6/15/2025 |
5,000 | 5,022 | ||||||
| Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (b) |
1,007 | 1,010 | ||||||
| United Airlines Pass-Through Trust |
||||||||
| Series 2016-2, Class B, 3.65%, 10/7/2025 |
986 | 963 | ||||||
| Series 2018-1, Class B, 4.60%, 3/1/2026 |
563 | 567 | ||||||
| Series 2016-1, Class A, 3.45%, 7/7/2028 |
599 | 588 | ||||||
| Series 2016-2, Class A, 3.10%, 10/7/2028 |
1,053 | 1,027 | ||||||
| Series 2018-1, Class AA, 3.50%, 3/1/2030 |
911 | 924 | ||||||
| Series 2018-1, Class A, 3.70%, 3/1/2030 |
1,413 | 1,396 | ||||||
| Series 2019-1, Class AA, 4.15%, 8/25/2031 |
892 | 955 | ||||||
| Series 2019-1, Class A, 4.55%, 8/25/2031 |
797 | 847 | ||||||
| Series 2019-2, Class AA, 2.70%, 5/1/2032 |
1,229 | 1,188 | ||||||
| Upstart Securitization Trust Series 2020-1, Class A, 2.32%, 4/22/2030 (b) |
226 | 227 | ||||||
| VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e) |
2,184 | 2,145 | ||||||
| VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e) |
5,304 | 5,192 | ||||||
| VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e) |
3,786 | 3,719 | ||||||
| VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e) |
3,182 | 3,127 | ||||||
| VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e) |
3,236 | 3,178 | ||||||
| Westlake Automobile Receivables Trust Series 2019-2A, Class D, 3.20%, 11/15/2024 (b) |
2,500 | 2,529 | ||||||
| World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023 |
106 | 106 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
228,551 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 3.9% |
| |||||||
| BAMLL Commercial Mortgage Securities Trust |
||||||||
| Series 2012-PARK, Class A, 2.96%, 12/10/2030 (b) |
560 | 563 | ||||||
| Series 2014-520M, Class C, 4.21%, 8/15/2046 ‡ (b) (h) |
1,300 | 1,284 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Commercial Mortgage-Backed Securities — continued |
| |||||||
| BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) |
4,400 | 4,438 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 ‡ (b) (h) |
9 | - | (i) | |||||
| Commercial Mortgage Trust |
||||||||
| Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) |
3,500 | 3,573 | ||||||
| Series 2013-SFS, Class A2, 2.99%, 4/12/2035 (b) (h) |
1,060 | 1,062 | ||||||
| Series 2012-CR2, Class XA, IO, 1.61%, 8/15/2045 ‡ (h) |
2,147 | - | (i) | |||||
| FHLMC Multi-Family WI Certificates Series K138, Class AM, 1.89%, 3/25/2032 |
1,850 | 1,769 | ||||||
| FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 1.85%, 7/25/2041 (b) (h) |
6,256 | 5,964 | ||||||
| FHLMC, Multi-Family Structured Pass-Through Certificates |
||||||||
| Series KJ09, Class A2, 2.84%, 9/25/2022 |
543 | 546 | ||||||
| Series KS01, Class A2, 2.52%, 1/25/2023 |
787 | 790 | ||||||
| Series KPLB, Class A, 2.77%, 5/25/2025 |
353 | 361 | ||||||
| Series K052, Class A2, 3.15%, 11/25/2025 |
3,560 | 3,698 | ||||||
| Series K065, Class A2, 3.24%, 4/25/2027 |
2,467 | 2,593 | ||||||
| Series K065, Class AM, 3.33%, 5/25/2027 |
1,322 | 1,394 | ||||||
| Series K070, Class A2, 3.30%, 11/25/2027 (h) |
1,748 | 1,848 | ||||||
| FNMA ACES |
||||||||
| Series 2014-M3, Class A2, 3.50%, 1/25/2024 (h) |
700 | 716 | ||||||
| Series 2017-M3, Class A2, 2.47%, 12/25/2026 (h) |
1,000 | 1,020 | ||||||
| Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h) |
8,397 | 8,771 | ||||||
| Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h) |
3,716 | 3,876 | ||||||
| Series 2018-M8, Class A2, 3.32%, 6/25/2028 (h) |
2,580 | 2,747 | ||||||
| Series 2018-M10, Class A2, 3.36%, 7/25/2028 (h) |
3,335 | 3,561 | ||||||
| Series 2017-M5, Class A2, 3.12%, 4/25/2029 (h) |
3,152 | 3,330 | ||||||
| Series 2020-M50, Class A1, 0.67%, 10/25/2030 |
2,810 | 2,672 | ||||||
| Series 2020-M50, Class A2, 1.20%, 10/25/2030 |
1,325 | 1,254 | ||||||
| Series 2020-M50, Class X1, IO, 1.91%, 10/25/2030 (h) |
21,391 | 2,107 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 |
628 | 603 | ||||||
| Series 2021-M3, Class X1, IO, 1.98%, 11/25/2033 (h) |
3,734 | 465 | ||||||
| FREMF Mortgage Trust Series 2014-K39, Class C, 4.15%, 8/25/2047 (b) (h) |
4,650 | 4,793 | ||||||
| Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) |
998 | 1,040 | ||||||
| LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.64%, 11/15/2038 ‡ (b) (h) |
335 | - | (i) | |||||
| MRCD MARK Mortgage Trust |
||||||||
| Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) |
2,050 | 2,034 | ||||||
| Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b) |
2,685 | 2,563 | ||||||
| RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b) |
664 | 667 | ||||||
| SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) |
3,935 | 3,810 | ||||||
| UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) |
2,236 | 2,234 | ||||||
| UBS-Barclays Commercial Mortgage Trust |
||||||||
| Series 2013-C6, Class A4, 3.24%, 4/10/2046 |
857 | 865 | ||||||
| Series 2012-C2, Class XA, IO, 1.25%, 5/10/2063 ‡ (b) (h) |
5,610 | 8 | ||||||
| VNDO Mortgage Trust Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (b) |
1,398 | 1,408 | ||||||
| WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.24%, 3/15/2045 ‡ (b) (h) |
400 | 392 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities (Cost $80,264) |
80,819 | |||||||
|
|
|
|||||||
| U.S. Government Agency Securities — 0.7% |
| |||||||
| Tennessee Valley Authority |
||||||||
| 5.88%, 4/1/2036 |
6,839 | 9,646 | ||||||
| 4.63%, 9/15/2060 |
304 | 427 | ||||||
| Tennessee Valley Authority STRIPS |
||||||||
| DN, 3.95%, 11/1/2025 (a) |
5,000 | 4,634 | ||||||
| DN, 5.27%, 6/15/2035 (a) |
800 | 569 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Securities |
15,276 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 39 | ||||||||
Table of Contents
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Municipal Bonds — 0.6% (l) |
| |||||||
| California — 0.1% |
| |||||||
| City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, Rev., 6.58%, 5/15/2039 |
440 | 571 | ||||||
| State of California, Various Purpose GO, 7.30%, 10/1/2039 |
350 | 519 | ||||||
|
|
|
|||||||
| Total California |
1,090 | |||||||
|
|
|
|||||||
| New York — 0.3% |
| |||||||
| New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040 |
360 | 461 | ||||||
| Port Authority of New York and New Jersey, Consolidated |
||||||||
| Series 164, Rev., 5.65%, 11/1/2040 |
1,825 | 2,364 | ||||||
| Series 165, Rev., 5.65%, 11/1/2040 |
440 | 569 | ||||||
| Series 174, Rev., 4.46%, 10/1/2062 |
2,060 | 2,470 | ||||||
|
|
|
|||||||
| Total New York |
5,864 | |||||||
|
|
|
|||||||
| Ohio — 0.2% |
| |||||||
| American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 |
1,315 | 2,069 | ||||||
| Ohio State University (The), General Receipts |
||||||||
| Series 2016A, Rev., 4.05%, 12/1/2056 |
325 | 390 | ||||||
| Series 2011-A, Rev., 4.80%, 6/1/2111 |
1,563 | 2,132 | ||||||
| Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 |
200 | 297 | ||||||
|
|
|
|||||||
| Total Ohio |
4,888 | |||||||
|
|
|
|||||||
| Total Municipal Bonds |
11,842 | |||||||
|
|
|
|||||||
| Foreign Government Securities — 0.5% |
| |||||||
| Kingdom of Saudi Arabia (Saudi Arabia) |
||||||||
| 2.25%, 2/2/2033 (b) |
622 | 586 | ||||||
| 3.45%, 2/2/2061 (b) |
550 | 501 | ||||||
| Province of Quebec (Canada) 7.36%, 3/6/2026 (e) |
377 | 449 | ||||||
| Republic of Chile (Chile) 2.55%, 1/27/2032 |
497 | 467 | ||||||
| Republic of Panama (Panama) 4.50%, 4/16/2050 |
325 | 316 | ||||||
| Republic of Peru (Peru) 5.63%, 11/18/2050 |
88 | 110 | ||||||
| Republic of South Africa (South Africa) 5.88%, 9/16/2025 |
640 | 682 | ||||||
| United Mexican States (Mexico) |
||||||||
| 4.13%, 1/21/2026 |
316 | 334 | ||||||
| 3.75%, 1/11/2028 |
1,216 | 1,253 | ||||||
| 2.66%, 5/24/2031 |
1,075 | 985 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| 3.50%, 2/12/2034 |
1,252 | 1,173 | ||||||
| 4.60%, 1/23/2046 |
2,113 | 2,029 | ||||||
| 3.77%, 5/24/2061 |
772 | 622 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities |
9,507 | |||||||
|
|
|
|||||||
| Loan Assignments — 0.2% (m) |
| |||||||
| Diversified Financial Services — 0.2% |
| |||||||
| Onesky 1st Lien Term Loan |
3,500 | 3,514 | ||||||
|
|
|
|||||||
| SHARES (000) |
||||||||
| Short-Term Investments — 3.9% |
| |||||||
| Investment Companies — 3.9% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares,
0.05% (n) (o) |
80,963 | 80,987 | ||||||
|
|
|
|||||||
| Total Investments — 102.7% |
2,129,821 | |||||||
| Liabilities in Excess of |
(55,869 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
2,073,952 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
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 February 28, 2022. | |
| CSMC | Credit Suisse Mortgage Trust | |
| DN | Discount Notes | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| FNMA | Federal National Mortgage Association | |
| GNMA | Government National Mortgage Association | |
| GO | General Obligation | |
| HB | High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s 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 or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 28, 2022. 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. | |
| REIT | Real Estate Investment Trust | |
| REMIC | Real Estate Mortgage Investment Conduit | |
| Rev. | Revenue | |
| SOFR | Secured Overnight Financing Rate | |
| 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. | |
| TBA | To Be Announced; Security is subject to delayed delivery. | |
| UMBS | Uniform Mortgage-Backed Securities | |
| USD | United States Dollar | |
| (a) | The rate shown is the effective yield as of February 28, 2022. | |
| (b) | Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended. | |
| (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 February 28, 2022. | |
| (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 February 28, 2022. | |
| (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 February 28, 2022. | |
| (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 February 28, 2022. | |
| (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) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| (n) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (o) | The rate shown is the current yield as of February 28, 2022. | |
| ‡ | Value determined using significant unobservable inputs. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 41 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — 29.2% |
| |||||||
| Aerospace & Defense — 1.1% |
| |||||||
| Boeing Co. (The) |
||||||||
| 1.43%, 2/4/2024 |
70 | 69 | ||||||
| 4.88%, 5/1/2025 |
54 | 57 | ||||||
| 2.20%, 2/4/2026 |
86 | 84 | ||||||
| 3.10%, 5/1/2026 |
250 | 252 | ||||||
| L3Harris Technologies, Inc. 3.85%, 12/15/2026 |
70 | 74 | ||||||
| Leidos, Inc. 2.30%, 2/15/2031 |
100 | 90 | ||||||
| Northrop Grumman Corp. 2.93%, 1/15/2025 |
150 | 153 | ||||||
| Raytheon Technologies Corp. 4.13%, 11/16/2028 |
100 | 108 | ||||||
| Textron, Inc. 3.00%, 6/1/2030 |
100 | 98 | ||||||
|
|
|
|||||||
| 985 | ||||||||
|
|
|
|||||||
| Auto Components — 0.0% (a) |
| |||||||
| Lear Corp. 2.60%, 1/15/2032 |
14 | 13 | ||||||
|
|
|
|||||||
| Automobiles — 0.7% |
| |||||||
| Daimler Finance North America LLC (Germany) 2.13%, 3/10/2025 (b) |
150 | 149 | ||||||
| General Motors Co. 6.13%, 10/1/2025 |
50 | 55 | ||||||
| Hyundai Capital America 2.85%, 11/1/2022 (b) |
200 | 201 | ||||||
| Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b) |
200 | 207 | ||||||
|
|
|
|||||||
| 612 | ||||||||
|
|
|
|||||||
| Banks — 3.8% |
| |||||||
| Bank of America Corp. |
||||||||
| 3.30%, 1/11/2023 |
90 | 92 | ||||||
| (ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c) |
42 | 43 | ||||||
| Series L, 3.95%, 4/21/2025 |
154 | 160 | ||||||
| (SOFR + 1.15%), 1.32%, 6/19/2026 (c) |
60 | 57 | ||||||
| (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) |
250 | 256 | ||||||
| Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) |
250 | 239 | ||||||
| Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024 |
150 | 153 | ||||||
| Citigroup, Inc. |
||||||||
| 4.40%, 6/10/2025 |
115 | 121 | ||||||
| 4.45%, 9/29/2027 |
50 | 53 | ||||||
| (SOFR + 1.15%), 2.67%, 1/29/2031 (c) |
350 | 338 | ||||||
| Citizens Financial Group, Inc. 2.64%, 9/30/2032 |
50 | 46 | ||||||
| Fifth Third Bancorp 2.38%, 1/28/2025 |
64 | 64 | ||||||
| HSBC Holdings plc (United Kingdom) |
200 | 199 | ||||||
| (SOFR + 1.29%), 1.59%, 5/24/2027 (c) |
200 | 189 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Banks — continued |
| |||||||
| Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027 |
250 | 259 | ||||||
| Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025 |
225 | 223 | ||||||
| Societe Generale SA (France) 4.25%, 4/14/2025 (b) |
200 | 205 | ||||||
| Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (b) |
200 | 208 | ||||||
| US Bancorp Series X, 3.15%, 4/27/2027 |
68 | 71 | ||||||
| Wells Fargo & Co. |
||||||||
| 3.00%, 2/19/2025 |
99 | 101 | ||||||
| 4.10%, 6/3/2026 |
21 | 22 | ||||||
| 4.30%, 7/22/2027 |
30 | 32 | ||||||
| (ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c) |
170 | 176 | ||||||
|
|
|
|||||||
| 3,307 | ||||||||
|
|
|
|||||||
| Beverages — 0.4% |
| |||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029 |
165 | 183 | ||||||
| Constellation Brands, Inc. 2.88%, 5/1/2030 |
11 | 11 | ||||||
| Keurig Dr Pepper, Inc. |
||||||||
| 4.42%, 5/25/2025 |
75 | 79 | ||||||
| 4.60%, 5/25/2028 |
50 | 55 | ||||||
| PepsiCo, Inc. 1.63%, 5/1/2030 |
33 | 31 | ||||||
|
|
|
|||||||
| 359 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.4% |
| |||||||
| AbbVie, Inc. 4.25%, 11/14/2028 |
100 | 108 | ||||||
| Amgen, Inc. |
||||||||
| 1.65%, 8/15/2028 |
43 | 40 | ||||||
| 3.35%, 2/22/2032 |
35 | 36 | ||||||
| Baxalta, Inc. 3.60%, 6/23/2022 |
23 | 23 | ||||||
| Biogen, Inc. 2.25%, 5/1/2030 |
40 | 37 | ||||||
| Gilead Sciences, Inc. |
||||||||
| 3.50%, 2/1/2025 |
25 | 26 | ||||||
| 3.65%, 3/1/2026 |
57 | 59 | ||||||
| Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 |
28 | 25 | ||||||
|
|
|
|||||||
| 354 | ||||||||
|
|
|
|||||||
| Capital Markets — 1.8% |
| |||||||
| Blackstone Secured Lending Fund 3.65%, 7/14/2023 |
55 | 56 | ||||||
| Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 |
47 | 52 | ||||||
| Charles Schwab Corp. (The) 3.23%, 9/1/2022 |
40 | 40 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Capital Markets — continued |
| |||||||
| Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (c) |
150 | 141 | ||||||
| Goldman Sachs Group, Inc. (The) |
150 | 141 | ||||||
| (ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) |
149 | 154 | ||||||
| (ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c) |
80 | 85 | ||||||
| Invesco Finance plc 3.75%, 1/15/2026 |
125 | 131 | ||||||
| Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b) |
100 | 105 | ||||||
| Morgan Stanley |
83 | 82 | ||||||
| (SOFR + 0.88%), 1.59%, 5/4/2027 (c) |
127 | 121 | ||||||
| (ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) |
150 | 156 | ||||||
| (SOFR + 1.03%), 1.79%, 2/13/2032 (c) |
90 | 80 | ||||||
| Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c) |
17 | 17 | ||||||
| UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) |
200 | 191 | ||||||
|
|
|
|||||||
| 1,552 | ||||||||
|
|
|
|||||||
| Chemicals — 0.3% |
| |||||||
| International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b) |
40 | 38 | ||||||
| LYB International Finance III LLC 2.25%, 10/1/2030 |
75 | 70 | ||||||
| Mosaic Co. (The) 3.25%, 11/15/2022 |
21 | 21 | ||||||
| PPG Industries, Inc. 1.20%, 3/15/2026 |
37 | 35 | ||||||
| RPM International, Inc. 2.95%, 1/15/2032 |
17 | 17 | ||||||
| Sherwin-Williams Co. (The) 3.30%, 2/1/2025 |
110 | 113 | ||||||
|
|
|
|||||||
| 294 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.2% |
| |||||||
| Republic Services, Inc. 3.38%, 11/15/2027 |
200 | 206 | ||||||
|
|
|
|||||||
| Construction & Engineering — 0.1% |
| |||||||
| Quanta Services, Inc. |
||||||||
| 2.90%, 10/1/2030 |
21 | 20 | ||||||
| 2.35%, 1/15/2032 |
69 | 63 | ||||||
|
|
|
|||||||
| 83 | ||||||||
|
|
|
|||||||
| Construction Materials — 0.1% |
| |||||||
| Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
78 | 81 | ||||||
|
|
|
|||||||
| Consumer Finance — 1.2% |
| |||||||
| AerCap Ireland Capital DAC (Ireland) |
||||||||
| 3.50%, 5/26/2022 |
150 | 151 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Consumer Finance — continued |
| |||||||
| 4.13%, 7/3/2023 |
200 | 204 | ||||||
| Avolon Holdings Funding Ltd. (Ireland) |
||||||||
| 3.95%, 7/1/2024 (b) |
120 | 123 | ||||||
| 4.25%, 4/15/2026 (b) |
90 | 92 | ||||||
| 2.53%, 11/18/2027 (b) |
334 | 314 | ||||||
| General Motors Financial Co., Inc. 2.35%, 1/8/2031 |
200 | 181 | ||||||
|
|
|
|||||||
| 1,065 | ||||||||
|
|
|
|||||||
| Containers & Packaging — 0.3% |
| |||||||
| Graphic Packaging International LLC 1.51%, 4/15/2026 (b) |
41 | 39 | ||||||
| Packaging Corp. of America 3.00%, 12/15/2029 |
100 | 101 | ||||||
| WRKCo, Inc. 3.00%, 9/15/2024 |
80 | 81 | ||||||
|
|
|
|||||||
| 221 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 1.2% |
| |||||||
| Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b) |
10 | 10 | ||||||
| National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022 |
200 | 201 | ||||||
| ORIX Corp. (Japan) 2.90%, 7/18/2022 |
81 | 82 | ||||||
| Private Export Funding Corp. |
||||||||
| Series EE, 2.80%, 5/15/2022 |
500 | 502 | ||||||
| Series KK, 3.55%, 1/15/2024 |
200 | 207 | ||||||
|
|
|
|||||||
| 1,002 | ||||||||
|
|
|
|||||||
| Diversified Telecommunication Services — 0.7% |
| |||||||
| AT&T, Inc. 7.88%, 2/15/2030 |
250 | 328 | ||||||
| Verizon Communications, Inc. |
||||||||
| 2.10%, 3/22/2028 |
25 | 24 | ||||||
| 4.50%, 8/10/2033 |
208 | 231 | ||||||
|
|
|
|||||||
| 583 | ||||||||
|
|
|
|||||||
| Electric Utilities — 2.0% |
| |||||||
| American Electric Power Co., Inc. 2.30%, 3/1/2030 |
100 | 94 | ||||||
| Baltimore Gas and Electric Co. 2.80%, 8/15/2022 |
43 | 43 | ||||||
| Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027 |
200 | 205 | ||||||
| DTE Electric Co. 2.65%, 6/15/2022 |
20 | 20 | ||||||
| Duke Energy Corp. 3.75%, 4/15/2024 |
150 | 155 | ||||||
| Duquesne Light Holdings, Inc. |
||||||||
| 2.53%, 10/1/2030 (b) |
51 | 48 | ||||||
| 2.78%, 1/7/2032 (b) |
14 | 13 | ||||||
| Edison International 4.13%, 3/15/2028 |
50 | 51 | ||||||
| Entergy Mississippi LLC 2.85%, 6/1/2028 |
186 | 186 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 43 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Electric Utilities — continued |
| |||||||
| Evergy Metro, Inc. 3.15%, 3/15/2023 |
47 | 48 | ||||||
| Fells Point Funding Trust 3.05%, 1/31/2027 (b) |
100 | 99 | ||||||
| ITC Holdings Corp. 2.95%, 5/14/2030 (b) |
39 | 38 | ||||||
| NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 |
89 | 92 | ||||||
| Niagara Mohawk Power Corp. |
||||||||
| 3.51%, 10/1/2024 (b) |
28 | 29 | ||||||
| 1.96%, 6/27/2030 (b) |
29 | 27 | ||||||
| NRG Energy, Inc. 2.45%, 12/2/2027 (b) |
37 | 35 | ||||||
| OGE Energy Corp. 0.70%, 5/26/2023 |
18 | 18 | ||||||
| Pacific Gas and Electric Co. |
||||||||
| 3.25%, 2/16/2024 |
100 | 101 | ||||||
| 4.55%, 7/1/2030 |
75 | 77 | ||||||
| Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) |
132 | 132 | ||||||
| SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 |
25 | 23 | ||||||
| Southern Co. (The) Series 21-B, 1.75%, 3/15/2028 |
167 | 156 | ||||||
| Virginia Electric and Power Co. 3.45%, 2/15/2024 |
21 | 22 | ||||||
|
|
|
|||||||
| 1,712 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.2% |
| |||||||
| Eaton Corp. 3.10%, 9/15/2027 |
140 | 144 | ||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
| Arrow Electronics, Inc. |
||||||||
| 4.50%, 3/1/2023 |
16 | 16 | ||||||
| 3.88%, 1/12/2028 |
100 | 104 | ||||||
|
|
|
|||||||
| 120 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 0.1% |
| |||||||
| Halliburton Co. 3.80%, 11/15/2025 |
2 | 2 | ||||||
| Schlumberger Investment SA 2.65%, 6/26/2030 |
94 | 91 | ||||||
|
|
|
|||||||
| 93 | ||||||||
|
|
|
|||||||
| Entertainment — 0.1% |
| |||||||
| Walt Disney Co. (The) 7.70%, 10/30/2025 |
50 | 59 | ||||||
|
|
|
|||||||
| Equity Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
| Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032 |
30 | 27 | ||||||
| American Campus Communities Operating Partnership LP 2.25%, 1/15/2029 |
57 | 54 | ||||||
| American Tower Corp. |
||||||||
| 5.00%, 2/15/2024 |
38 | 40 | ||||||
| 1.45%, 9/15/2026 |
72 | 69 | ||||||
| 1.50%, 1/31/2028 |
68 | 62 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
| AvalonBay Communities, Inc. |
||||||||
| 3.35%, 5/15/2027 |
28 | 29 | ||||||
| 2.45%, 1/15/2031 |
100 | 98 | ||||||
| Boston Properties LP 3.20%, 1/15/2025 |
152 | 155 | ||||||
| Brixmor Operating Partnership LP |
||||||||
| 3.85%, 2/1/2025 |
50 | 51 | ||||||
| 2.25%, 4/1/2028 |
10 | 10 | ||||||
| Corporate Office Properties LP 2.00%, 1/15/2029 |
26 | 24 | ||||||
| Crown Castle International Corp. 2.25%, 1/15/2031 |
72 | 65 | ||||||
| Equinix, Inc. 2.00%, 5/15/2028 |
37 | 35 | ||||||
| Essex Portfolio LP 1.65%, 1/15/2031 |
53 | 47 | ||||||
| Extra Space Storage LP 2.35%, 3/15/2032 |
100 | 92 | ||||||
| Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) |
52 | 54 | ||||||
| Healthcare Trust of America Holdings LP |
||||||||
| 3.10%, 2/15/2030 |
68 | 68 | ||||||
| 2.00%, 3/15/2031 |
29 | 26 | ||||||
| Healthpeak Properties, Inc. |
||||||||
| 3.40%, 2/1/2025 |
3 | 3 | ||||||
| 2.13%, 12/1/2028 |
28 | 27 | ||||||
| Kilroy Realty LP 2.65%, 11/15/2033 |
70 | 64 | ||||||
| Life Storage LP 2.20%, 10/15/2030 |
25 | 23 | ||||||
| Mid-America Apartments LP 1.70%, 2/15/2031 |
36 | 33 | ||||||
| Office Properties Income Trust |
||||||||
| 2.65%, 6/15/2026 |
17 | 16 | ||||||
| 2.40%, 2/1/2027 |
70 | 65 | ||||||
| 3.45%, 10/15/2031 |
29 | 27 | ||||||
| Physicians Realty LP 2.63%, 11/1/2031 |
37 | 35 | ||||||
| Public Storage 2.25%, 11/9/2031 |
36 | 34 | ||||||
| Realty Income Corp. 3.65%, 1/15/2028 |
150 | 157 | ||||||
| Sabra Health Care LP 3.20%, 12/1/2031 |
52 | 48 | ||||||
| Safehold Operating Partnership LP 2.80%, 6/15/2031 |
88 | 82 | ||||||
| Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) |
150 | 154 | ||||||
| SITE Centers Corp. 3.63%, 2/1/2025 |
12 | 12 | ||||||
| UDR, Inc. 2.10%, 8/1/2032 |
48 | 43 | ||||||
| Ventas Realty LP |
||||||||
| 3.75%, 5/1/2024 |
44 | 45 | ||||||
| 3.50%, 2/1/2025 |
27 | 28 | ||||||
| 4.13%, 1/15/2026 |
17 | 18 | ||||||
| 3.25%, 10/15/2026 |
45 | 46 | ||||||
| Welltower, Inc. 4.50%, 1/15/2024 |
100 | 104 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
| WP Carey, Inc. |
||||||||
| 2.40%, 2/1/2031 |
12 | 11 | ||||||
| 2.25%, 4/1/2033 |
100 | 90 | ||||||
|
|
|
|||||||
| 2,171 | ||||||||
|
|
|
|||||||
| Food & Staples Retailing — 0.2% |
| |||||||
| 7-Eleven, Inc. 1.30%, 2/10/2028 (b) |
80 | 73 | ||||||
| Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030 (b) |
50 | 49 | ||||||
| CVS Pass-Through Trust 5.93%, 1/10/2034 (b) |
39 | 45 | ||||||
|
|
|
|||||||
| 167 | ||||||||
|
|
|
|||||||
| Food Products — 0.5% |
| |||||||
| Archer-Daniels-Midland Co. 3.25%, 3/27/2030 |
53 | 55 | ||||||
| Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 |
50 | 49 | ||||||
| Campbell Soup Co. |
||||||||
| 3.95%, 3/15/2025 |
50 | 52 | ||||||
| 2.38%, 4/24/2030 |
74 | 70 | ||||||
| Kellogg Co. 3.40%, 11/15/2027 |
95 | 99 | ||||||
| Smithfield Foods, Inc. |
||||||||
| 5.20%, 4/1/2029 (b) |
7 | 8 | ||||||
| 3.00%, 10/15/2030 (b) |
18 | 17 | ||||||
| Tyson Foods, Inc. 3.95%, 8/15/2024 |
73 | 76 | ||||||
|
|
|
|||||||
| 426 | ||||||||
|
|
|
|||||||
| Gas Utilities — 0.1% |
| |||||||
| Atmos Energy Corp. 2.63%, 9/15/2029 |
42 | 41 | ||||||
| ONE Gas, Inc. 2.00%, 5/15/2030 |
26 | 24 | ||||||
|
|
|
|||||||
| 65 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 0.1% |
| |||||||
| Becton Dickinson and Co. 1.96%, 2/11/2031 |
50 | 45 | ||||||
| Boston Scientific Corp. |
||||||||
| 3.75%, 3/1/2026 |
31 | 33 | ||||||
| 4.00%, 3/1/2029 |
19 | 20 | ||||||
|
|
|
|||||||
| 98 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 0.6% |
| |||||||
| Cigna Corp. 3.50%, 6/15/2024 |
72 | 74 | ||||||
| CommonSpirit Health 2.78%, 10/1/2030 |
50 | 49 | ||||||
| HCA, Inc. 4.13%, 6/15/2029 |
150 | 157 | ||||||
| Humana, Inc. 3.95%, 3/15/2027 |
50 | 53 | ||||||
| UnitedHealth Group, Inc. 2.30%, 5/15/2031 |
73 | 70 | ||||||
| Universal Health Services, Inc. |
||||||||
| 2.65%, 10/15/2030 (b) |
56 | 53 | ||||||
| 2.65%, 1/15/2032 (b) |
25 | 23 | ||||||
|
|
|
|||||||
| 479 | ||||||||
|
|
|
|||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Hotels, Restaurants & Leisure — 0.2% |
| |||||||
| Expedia Group, Inc. 3.25%, 2/15/2030 |
100 | 99 | ||||||
| McDonald’s Corp. 2.13%, 3/1/2030 |
58 | 55 | ||||||
|
|
|
|||||||
| 154 | ||||||||
|
|
|
|||||||
| Household Durables — 0.2% |
| |||||||
| Lennar Corp. 5.25%, 6/1/2026 |
140 | 152 | ||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.2% |
| |||||||
| Roper Technologies, Inc. |
||||||||
| 3.80%, 12/15/2026 |
15 | 16 | ||||||
| 1.40%, 9/15/2027 |
174 | 162 | ||||||
|
|
|
|||||||
| 178 | ||||||||
|
|
|
|||||||
| Insurance — 1.2% |
| |||||||
| American International Group, Inc. 3.75%, 7/10/2025 |
161 | 167 | ||||||
| Aon plc 3.88%, 12/15/2025 |
143 | 149 | ||||||
| Assurant, Inc. 4.20%, 9/27/2023 |
90 | 93 | ||||||
| Athene Global Funding |
||||||||
| 1.45%, 1/8/2026 (b) |
68 | 65 | ||||||
| 1.73%, 10/2/2026 (b) |
82 | 78 | ||||||
| Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) |
38 | 37 | ||||||
| CNA Financial Corp. |
||||||||
| 3.95%, 5/15/2024 |
52 | 53 | ||||||
| 4.50%, 3/1/2026 |
38 | 41 | ||||||
| F&G Global Funding 2.30%, 4/11/2027 (b) |
50 | 48 | ||||||
| Principal Financial Group, Inc. 3.10%, 11/15/2026 |
150 | 153 | ||||||
| Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) |
150 | 176 | ||||||
|
|
|
|||||||
| 1,060 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 0.1% |
| |||||||
| eBay, Inc. 2.60%, 5/10/2031 |
100 | 95 | ||||||
|
|
|
|||||||
| IT Services — 0.1% |
| |||||||
| Global Payments, Inc. |
||||||||
| 2.15%, 1/15/2027 |
45 | 43 | ||||||
| 3.20%, 8/15/2029 |
50 | 50 | ||||||
|
|
|
|||||||
| 93 | ||||||||
|
|
|
|||||||
| Leisure Products — 0.1% |
| |||||||
| Hasbro, Inc. 3.90%, 11/19/2029 |
75 | 78 | ||||||
|
|
|
|||||||
| Machinery — 0.1% |
| |||||||
| Otis Worldwide Corp. 2.57%, 2/15/2030 |
44 | 43 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 45 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Media — 0.7% |
| |||||||
| Charter Communications Operating LLC |
||||||||
| 4.91%, 7/23/2025 |
160 | 171 | ||||||
| 2.30%, 2/1/2032 |
50 | 44 | ||||||
| Comcast Corp. |
||||||||
| 3.38%, 2/15/2025 |
77 | 79 | ||||||
| 3.38%, 8/15/2025 |
80 | 83 | ||||||
| 3.15%, 3/1/2026 |
16 | 16 | ||||||
| Cox Communications, Inc. 1.80%, 10/1/2030 (b) |
67 | 59 | ||||||
| Fox Corp. 4.71%, 1/25/2029 |
35 | 38 | ||||||
| Paramount Global 4.00%, 1/15/2026 |
100 | 103 | ||||||
|
|
|
|||||||
| 593 | ||||||||
|
|
|
|||||||
| Metals & Mining — 0.3% |
| |||||||
| Glencore Funding LLC (Australia) |
||||||||
| 2.50%, 9/1/2030 (b) |
60 | 55 | ||||||
| 2.85%, 4/27/2031 (b) |
150 | 141 | ||||||
| Steel Dynamics, Inc. 1.65%, 10/15/2027 |
33 | 31 | ||||||
|
|
|
|||||||
| 227 | ||||||||
|
|
|
|||||||
| Multiline Retail — 0.3% |
| |||||||
| Dollar General Corp. 4.13%, 5/1/2028 |
150 | 161 | ||||||
| Kohl’s Corp. 3.38%, 5/1/2031 |
100 | 98 | ||||||
|
|
|
|||||||
| 259 | ||||||||
|
|
|
|||||||
| Multi-Utilities — 0.4% |
| |||||||
| CenterPoint Energy, Inc. 1.45%, 6/1/2026 |
29 | 28 | ||||||
| Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 |
155 | 164 | ||||||
| PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 |
16 | 15 | ||||||
| Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 |
100 | 102 | ||||||
| Puget Energy, Inc. 2.38%, 6/15/2028 |
17 | 16 | ||||||
| WEC Energy Group, Inc. 3.55%, 6/15/2025 |
20 | 21 | ||||||
|
|
|
|||||||
| 346 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 2.3% |
| |||||||
| APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b) |
100 | 107 | ||||||
| BP Capital Markets America, Inc. 2.72%, 1/12/2032 |
150 | 144 | ||||||
| Cameron LNG LLC 2.90%, 7/15/2031 (b) |
84 | 83 | ||||||
| Cheniere Corpus Christi Holdings LLC |
||||||||
| 5.88%, 3/31/2025 |
50 | 54 | ||||||
| 5.13%, 6/30/2027 |
81 | 88 | ||||||
| Chevron USA, Inc. 3.85%, 1/15/2028 |
100 | 108 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Oil, Gas & Consumable Fuels — continued |
| |||||||
| ConocoPhillips |
||||||||
| 3.75%, 10/1/2027 (b) |
60 | 64 | ||||||
| 2.40%, 2/15/2031 (b) |
14 | 14 | ||||||
| Coterra Energy, Inc. 3.90%, 5/15/2027 (b) |
60 | 63 | ||||||
| Diamondback Energy, Inc. 3.25%, 12/1/2026 |
100 | 102 | ||||||
| Ecopetrol SA (Colombia) 4.13%, 1/16/2025 |
58 | 58 | ||||||
| Energy Transfer LP |
||||||||
| 3.60%, 2/1/2023 |
28 | 28 | ||||||
| 4.90%, 2/1/2024 |
61 | 63 | ||||||
| 4.05%, 3/15/2025 |
91 | 94 | ||||||
| Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) |
114 | 109 | ||||||
| Gray Oak Pipeline LLC |
||||||||
| 2.60%, 10/15/2025 (b) |
40 | 40 | ||||||
| 3.45%, 10/15/2027 (b) |
50 | 50 | ||||||
| Gulf South Pipeline Co. LP 4.00%, 6/15/2022 |
50 | 50 | ||||||
| HollyFrontier Corp. |
||||||||
| 2.63%, 10/1/2023 |
12 | 12 | ||||||
| 5.88%, 4/1/2026 |
40 | 43 | ||||||
| Marathon Petroleum Corp. 4.70%, 5/1/2025 |
105 | 112 | ||||||
| MPLX LP |
||||||||
| 3.38%, 3/15/2023 |
32 | 33 | ||||||
| 4.25%, 12/1/2027 |
27 | 28 | ||||||
| NGPL PipeCo LLC 3.25%, 7/15/2031 (b) |
22 | 21 | ||||||
| ONEOK Partners LP |
||||||||
| 3.38%, 10/1/2022 |
12 | 12 | ||||||
| 5.00%, 9/15/2023 |
28 | 29 | ||||||
| Ovintiv Exploration, Inc. 5.38%, 1/1/2026 |
40 | 43 | ||||||
| Phillips 66 1.30%, 2/15/2026 |
28 | 27 | ||||||
| Pioneer Natural Resources Co. |
||||||||
| 1.13%, 1/15/2026 |
50 | 48 | ||||||
| 1.90%, 8/15/2030 |
72 | 65 | ||||||
| Plains All American Pipeline LP 4.65%, 10/15/2025 |
100 | 106 | ||||||
| Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 |
20 | 22 | ||||||
| Williams Cos., Inc. (The) 2.60%, 3/15/2031 |
50 | 47 | ||||||
|
|
|
|||||||
| 1,967 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 0.7% |
| |||||||
| AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 |
77 | 69 | ||||||
| Bristol-Myers Squibb Co. |
||||||||
| 3.40%, 7/26/2029 |
71 | 75 | ||||||
| 1.45%, 11/13/2030 |
100 | 90 | ||||||
| Mylan, Inc. 4.55%, 4/15/2028 |
75 | 80 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Corporate Bonds — continued |
| |||||||
| Pharmaceuticals — continued |
| |||||||
| Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 |
200 | 186 | ||||||
| Zoetis, Inc. 2.00%, 5/15/2030 |
80 | 74 | ||||||
|
|
|
|||||||
| 574 | ||||||||
|
|
|
|||||||
| Real Estate Management & Development — 0.2% |
| |||||||
| Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (b) |
200 | 200 | ||||||
|
|
|
|||||||
| Road & Rail — 0.9% |
| |||||||
| CSX Corp. 3.25%, 6/1/2027 |
162 | 168 | ||||||
| JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 |
60 | 63 | ||||||
| Norfolk Southern Corp. 2.55%, 11/1/2029 |
150 | 148 | ||||||
| Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b) |
200 | 205 | ||||||
| Triton Container International Ltd. (Bermuda) |
||||||||
| 2.05%, 4/15/2026 (b) |
110 | 107 | ||||||
| 3.25%, 3/15/2032 |
51 | 49 | ||||||
|
|
|
|||||||
| 740 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 0.6% |
| |||||||
| Broadcom, Inc. |
||||||||
| 4.15%, 11/15/2030 |
143 | 150 | ||||||
| 3.19%, 11/15/2036 (b) |
57 | 53 | ||||||
| Marvell Technology, Inc. 2.95%, 4/15/2031 |
52 | 50 | ||||||
| Microchip Technology, Inc. |
||||||||
| 0.97%, 2/15/2024 |
72 | 70 | ||||||
| 0.98%, 9/1/2024 (b) |
50 | 48 | ||||||
| NXP BV (China) 2.50%, 5/11/2031 (b) |
100 | 93 | ||||||
| Xilinx, Inc. 2.38%, 6/1/2030 |
50 | 48 | ||||||
|
|
|
|||||||
| 512 | ||||||||
|
|
|
|||||||
| Software — 0.4% |
| |||||||
| Citrix Systems, Inc. 1.25%, 3/1/2026 |
20 | 20 | ||||||
| Intuit, Inc. 1.65%, 7/15/2030 |
125 | 115 | ||||||
| Oracle Corp. 2.88%, 3/25/2031 |
168 | 159 | ||||||
| VMware, Inc. |
||||||||
| 1.40%, 8/15/2026 |
25 | 24 | ||||||
| 1.80%, 8/15/2028 |
15 | 14 | ||||||
|
|
|
|||||||
| 332 | ||||||||
|
|
|
|||||||
| Specialty Retail — 0.2% |
| |||||||
| AutoZone, Inc. 1.65%, 1/15/2031 |
83 | 73 | ||||||
| O’Reilly Automotive, Inc. 3.60%, 9/1/2027 |
62 | 65 | ||||||
|
|
|
|||||||
| 138 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 0.1% |
| |||||||
| Dell International LLC 5.30%, 10/1/2029 |
100 | 112 | ||||||
|
|
|
|||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Tobacco — 0.3% |
| |||||||
| Altria Group, Inc. 2.45%, 2/4/2032 |
84 | 75 | ||||||
| BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024 |
200 | 202 | ||||||
|
|
|
|||||||
| 277 | ||||||||
|
|
|
|||||||
| Trading Companies & Distributors — 0.5% |
| |||||||
| Air Lease Corp. |
||||||||
| 3.00%, 9/15/2023 |
250 | 253 | ||||||
| 3.63%, 12/1/2027 |
100 | 101 | ||||||
| Aviation Capital Group LLC 3.88%, 5/1/2023 (b) |
100 | 101 | ||||||
|
|
|
|||||||
| 455 | ||||||||
|
|
|
|||||||
| Wireless Telecommunication Services — 0.3% |
| |||||||
| T-Mobile USA, Inc. |
||||||||
| 3.88%, 4/15/2030 |
150 | 155 | ||||||
| 2.25%, 11/15/2031 |
100 | 91 | ||||||
|
|
|
|||||||
| 246 | ||||||||
|
|
|
|||||||
| Total Corporate Bonds |
25,082 | |||||||
|
|
|
|||||||
| U.S. Treasury Obligations — 25.3% |
| |||||||
| U.S. Treasury Bonds 6.13%, 8/15/2029 |
500 | 651 | ||||||
| U.S. Treasury Notes |
||||||||
| 0.13%, 6/30/2023 |
1,600 | 1,575 | ||||||
| 1.13%, 2/28/2025 |
1,500 | 1,478 | ||||||
| 0.25%, 7/31/2025 |
1,600 | 1,524 | ||||||
| 2.25%, 11/15/2025 |
500 | 510 | ||||||
| 0.75%, 5/31/2026 |
3,000 | 2,877 | ||||||
| 1.13%, 10/31/2026 |
3,000 | 2,914 | ||||||
| 0.38%, 9/30/2027 |
580 | 537 | ||||||
| 0.50%, 10/31/2027 |
1,500 | 1,396 | ||||||
| 1.25%, 3/31/2028 |
450 | 436 | ||||||
| 3.13%, 11/15/2028 |
1,000 | 1,082 | ||||||
| 0.63%, 5/15/2030 |
1,000 | 909 | ||||||
| 0.63%, 8/15/2030 |
600 | 544 | ||||||
| 0.88%, 11/15/2030 |
80 | 74 | ||||||
| U.S. Treasury STRIPS Bonds |
||||||||
| 3.09%, 11/15/2022 (d) |
700 | 696 | ||||||
| 2.33%, 8/15/2023 (d) |
1,890 | 1,855 | ||||||
| 2.72%, 2/15/2024 (d) |
1,206 | 1,172 | ||||||
| 2.36%, 5/15/2024 (d) |
200 | 193 | ||||||
| 3.16%, 5/15/2025 (d) |
200 | 190 | ||||||
| 2.51%, 5/15/2026 (d) |
200 | 186 | ||||||
| 3.83%, 8/15/2026 (d) |
47 | 44 | ||||||
| 3.99%, 11/15/2026 (d) |
300 | 276 | ||||||
| 3.14%, 2/15/2027 (d) |
100 | 92 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 47 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| U.S. Treasury Obligations — continued |
| |||||||
| 4.31%, 8/15/2027 (d) |
100 | 91 | ||||||
| 4.35%, 11/15/2027 (d) |
140 | 126 | ||||||
| 3.31%, 2/15/2028 (d) |
53 | 48 | ||||||
| 2.66%, 5/15/2028 (d) |
10 | 9 | ||||||
| 3.54%, 8/15/2028 (d) |
200 | 178 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
21,663 | |||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 16.1% |
| |||||||
| Alternative Loan Trust |
||||||||
| Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
441 | 459 | ||||||
| Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
63 | 57 | ||||||
| Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡ |
7 | 5 | ||||||
| CHL Mortgage Pass-Through Trust |
||||||||
| Series 2004-HYB3, Class 2A, 1.98%, 6/20/2034 (e) |
6 | 6 | ||||||
| Series 2004-5, Class 1A4, 5.50%, 6/25/2034 |
14 | 14 | ||||||
| Series 2005-22, Class 2A1, 2.48%, 11/25/2035 (e) |
66 | 63 | ||||||
| Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
| Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ |
— | (f) | — | (f) | ||||
| Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (e) |
4 | 4 | ||||||
| Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
2 | 3 | ||||||
| FHLMC — GNMA Series 24, Class ZE, 6.25%, 11/25/2023 |
3 | 3 | ||||||
| FHLMC, REMIC |
||||||||
| Series 1206, Class IA, 7.00%, 3/15/2022 |
— | (f) | — | (f) | ||||
| Series 1250, Class J, 7.00%, 5/15/2022 |
— | (f) | — | (f) | ||||
| Series 1343, Class LA, 8.00%, 8/15/2022 |
— | (f) | — | (f) | ||||
| Series 2512, Class PG, 5.50%, 10/15/2022 |
5 | 5 | ||||||
| Series 2535, Class BK, 5.50%, 12/15/2022 |
— | (f) | — | (f) | ||||
| Series 1470, Class F, 1.22%, 2/15/2023 (e) |
— | (f) | — | (f) | ||||
| Series 2568, Class KG, 5.50%, 2/15/2023 |
10 | 10 | ||||||
| Series 1466, Class PZ, 7.50%, 2/15/2023 |
2 | 2 | ||||||
| Series 1491, Class I, 7.50%, 4/15/2023 |
1 | 1 | ||||||
| Series 1798, Class F, 5.00%, 5/15/2023 |
1 | 1 | ||||||
| Series 1518, Class G, IF, 8.61%, 5/15/2023 (e) |
1 | 1 | ||||||
| Series 1541, Class O, 1.00%, 7/15/2023 (e) |
1 | 1 | ||||||
| Series 1608, Class L, 6.50%, 9/15/2023 |
5 | 5 | ||||||
| Series 1602, Class SA, HB, IF, 22.40%, 10/15/2023 (e) |
1 | 1 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2283, Class K, 6.50%, 12/15/2023 |
2 | 2 | ||||||
| Series 1700, Class GA, PO, 2/15/2024 |
— | (f) | — | (f) | ||||
| Series 1671, Class L, 7.00%, 2/15/2024 |
2 | 2 | ||||||
| Series 1706, Class K, 7.00%, 3/15/2024 |
9 | 9 | ||||||
| Series 2033, Class SN, HB, IF, 30.43%, 3/15/2024 (e) |
1 | — | (f) | |||||
| Series 1720, Class PL, 7.50%, 4/15/2024 |
21 | 22 | ||||||
| Series 2306, Class K, PO, 5/15/2024 |
1 | 1 | ||||||
| Series 2306, Class SE, IF, IO, 8.78%, 5/15/2024 (e) |
3 | — | (f) | |||||
| Series 1745, Class D, 7.50%, 8/15/2024 |
3 | 3 | ||||||
| Series 1927, Class PH, 7.50%, 1/15/2027 |
22 | 25 | ||||||
| Series 1981, Class Z, 6.00%, 5/15/2027 |
8 | 9 | ||||||
| Series 1987, Class PE, 7.50%, 9/15/2027 |
3 | 3 | ||||||
| Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
4 | — | (f) | |||||
| Series 2040, Class PE, 7.50%, 3/15/2028 |
16 | 18 | ||||||
| Series 2063, Class PG, 6.50%, 6/15/2028 |
20 | 22 | ||||||
| Series 2064, Class TE, 7.00%, 6/15/2028 |
3 | 3 | ||||||
| Series 2075, Class PM, 6.25%, 8/15/2028 |
14 | 15 | ||||||
| Series 2075, Class PH, 6.50%, 8/15/2028 |
15 | 16 | ||||||
| Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
5 | — | (f) | |||||
| Series 2125, Class JZ, 6.00%, 2/15/2029 |
9 | 10 | ||||||
| Series 2169, Class TB, 7.00%, 6/15/2029 |
44 | 48 | ||||||
| Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
2 | — | (f) | |||||
| Series 2172, Class QC, 7.00%, 7/15/2029 |
19 | 22 | ||||||
| Series 2196, Class TL, 7.50%, 11/15/2029 |
— | (f) | — | (f) | ||||
| Series 2201, Class C, 8.00%, 11/15/2029 |
6 | 7 | ||||||
| Series 2210, Class Z, 8.00%, 1/15/2030 |
22 | 25 | ||||||
| Series 2224, Class CB, 8.00%, 3/15/2030 |
7 | 8 | ||||||
| Series 2256, Class MC, 7.25%, 9/15/2030 |
13 | 15 | ||||||
| Series 2259, Class ZM, 7.00%, 10/15/2030 |
13 | 15 | ||||||
| Series 2271, Class PC, 7.25%, 12/15/2030 |
11 | 13 | ||||||
| Series 2296, Class PD, 7.00%, 3/15/2031 |
6 | 7 | ||||||
| Series 2344, Class ZD, 6.50%, 8/15/2031 |
106 | 119 | ||||||
| Series 2344, Class ZJ, 6.50%, 8/15/2031 |
16 | 18 | ||||||
| Series 2345, Class NE, 6.50%, 8/15/2031 |
9 | 10 | ||||||
| Series 2351, Class PZ, 6.50%, 8/15/2031 |
8 | 9 | ||||||
| Series 2410, Class OE, 6.38%, 2/15/2032 |
8 | 9 | ||||||
| Series 2410, Class NG, 6.50%, 2/15/2032 |
8 | 9 | ||||||
| Series 2410, Class QX, IF, IO, 8.46%, 2/15/2032 (e) |
6 | 1 | ||||||
| Series 2412, Class SP, IF, 15.72%, 2/15/2032 (e) |
20 | 25 | ||||||
| Series 2423, Class MC, 7.00%, 3/15/2032 |
7 | 8 | ||||||
| Series 2423, Class MT, 7.00%, 3/15/2032 |
14 | 16 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2444, Class ES, IF, IO, 7.76%, 3/15/2032 (e) |
14 | 2 | ||||||
| Series 2450, Class SW, IF, IO, 7.81%, 3/15/2032 (e) |
6 | 1 | ||||||
| Series 2435, Class CJ, 6.50%, 4/15/2032 |
52 | 58 | ||||||
| Series 2441, Class GF, 6.50%, 4/15/2032 |
15 | 17 | ||||||
| Series 2455, Class GK, 6.50%, 5/15/2032 |
21 | 23 | ||||||
| Series 2450, Class GZ, 7.00%, 5/15/2032 |
23 | 27 | ||||||
| Series 2466, Class DH, 6.50%, 6/15/2032 |
18 | 20 | ||||||
| Series 2474, Class NR, 6.50%, 7/15/2032 |
19 | 21 | ||||||
| Series 2484, Class LZ, 6.50%, 7/15/2032 |
29 | 32 | ||||||
| Series 2500, Class MC, 6.00%, 9/15/2032 |
26 | 29 | ||||||
| Series 2543, Class YX, 6.00%, 12/15/2032 |
56 | 63 | ||||||
| Series 2575, Class ME, 6.00%, 2/15/2033 |
110 | 123 | ||||||
| Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
8 | 2 | ||||||
| Series 2990, Class SL, HB, IF, 23.79%, 6/15/2034 (e) |
7 | 7 | ||||||
| Series 3611, PO, 7/15/2034 |
13 | 12 | ||||||
| Series 2990, Class UZ, 5.75%, 6/15/2035 |
361 | 402 | ||||||
| Series 3117, Class EO, PO, 2/15/2036 |
32 | 29 | ||||||
| Series 3117, Class OK, PO, 2/15/2036 |
4 | 3 | ||||||
| Series 3122, Class OH, PO, 3/15/2036 |
25 | 23 | ||||||
| Series 3152, Class MO, PO, 3/15/2036 |
82 | 75 | ||||||
| Series 3607, Class AO, PO, 4/15/2036 |
20 | 17 | ||||||
| Series 3137, Class XP, 6.00%, 4/15/2036 |
46 | 53 | ||||||
| Series 3819, Class ZQ, 6.00%, 4/15/2036 |
127 | 145 | ||||||
| Series 3149, Class SO, PO, 5/15/2036 |
5 | 4 | ||||||
| Series 3171, Class MO, PO, 6/15/2036 |
19 | 18 | ||||||
| Series 3179, Class OA, PO, 7/15/2036 |
10 | 9 | ||||||
| Series 3202, Class HI, IF, IO, 6.46%, 8/15/2036 (e) |
102 | 18 | ||||||
| Series 3232, Class ST, IF, IO, 6.51%, 10/15/2036 (e) |
18 | 3 | ||||||
| Series 3417, Class EO, PO, 11/15/2036 |
178 | 165 | ||||||
| Series 3316, Class JO, PO, 5/15/2037 |
3 | 3 | ||||||
| Series 3607, Class OP, PO, 7/15/2037 |
102 | 90 | ||||||
| Series 3481, Class SJ, IF, IO, 5.66%, 8/15/2038 (e) |
54 | 9 | ||||||
| Series 3680, Class MA, 4.50%, 7/15/2039 |
24 | 25 | ||||||
| Series 4096, Class HA, 2.00%, 12/15/2041 |
121 | 120 | ||||||
| FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 |
228 | 238 | ||||||
| FHLMC, Structured Pass-Through Certificates, Whole Loan |
||||||||
| Series T-41, Class 3A, 4.60%, 7/25/2032 (e) |
18 | 19 | ||||||
| Series T-76, Class 2A, 1.55%, 10/25/2037 (e) |
72 | 73 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series T-51, Class 2A, 7.50%, 8/25/2042 (e) |
17 | 22 | ||||||
| Series T-54, Class 2A, 6.50%, 2/25/2043 |
171 | 201 | ||||||
| Series T-54, Class 3A, 7.00%, 2/25/2043 |
54 | 65 | ||||||
| Series T-56, Class A5, 5.23%, 5/25/2043 |
405 | 446 | ||||||
| Series T-58, Class A, PO, 9/25/2043 |
11 | 9 | ||||||
| FNMA Trust, Whole Loan |
||||||||
| Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
17 | 20 | ||||||
| Series 2005-W3, Class 2AF, 0.41%, 3/25/2045 (e) |
57 | 56 | ||||||
| FNMA, REMIC |
||||||||
| Series 1992-107, Class SB, HB, IF, 29.75%, 6/25/2022 (e) |
— | (f) | — | (f) | ||||
| Series G92-42, Class Z, 7.00%, 7/25/2022 |
— | (f) | — | (f) | ||||
| Series G92-35, Class E, 7.50%, 7/25/2022 |
— | (f) | — | (f) | ||||
| Series 1996-59, Class J, 6.50%, 8/25/2022 |
— | (f) | — | (f) | ||||
| Series 1992-143, Class MA, 5.50%, 9/25/2022 |
— | (f) | — | (f) | ||||
| Series G92-54, Class ZQ, 7.50%, 9/25/2022 |
— | (f) | — | (f) | ||||
| Series G93-5, Class Z, 6.50%, 2/25/2023 |
— | (f) | — | (f) | ||||
| Series 1993-37, Class PX, 7.00%, 3/25/2023 |
5 | 5 | ||||||
| Series 1993-25, Class J, 7.50%, 3/25/2023 |
1 | 1 | ||||||
| Series 1998-4, Class C, PO, 4/25/2023 |
— | (f) | — | (f) | ||||
| Series 1998-43, Class EA, PO, 4/25/2023 |
7 | 7 | ||||||
| Series 1993-54, Class Z, 7.00%, 4/25/2023 |
2 | 2 | ||||||
| Series 1993-62, Class SA, HB, IF, 20.01%, 4/25/2023 (e) |
— | (f) | — | (f) | ||||
| Series 1993-122, Class M, 6.50%, 7/25/2023 |
1 | 1 | ||||||
| Series 1996-14, Class SE, IF, IO, 8.93%, 8/25/2023 (e) |
5 | — | (f) | |||||
| Series 1993-178, Class PK, 6.50%, 9/25/2023 |
1 | 1 | ||||||
| Series 1993-165, Class SD, IF, 14.38%, 9/25/2023 (e) |
— | (f) | — | (f) | ||||
| Series 1993-183, Class KA, 6.50%, 10/25/2023 |
17 | 17 | ||||||
| Series 1993-189, Class PL, 6.50%, 10/25/2023 |
6 | 7 | ||||||
| Series 1994-9, Class E, PO, 11/25/2023 |
— | (f) | — | (f) | ||||
| Series 1993-247, Class SA, HB, IF, 30.02%, 12/25/2023 (e) |
2 | 2 | ||||||
| Series G95-1, Class C, 8.80%, 1/25/2025 |
2 | 2 | ||||||
| Series 2005-121, Class DX, 5.50%, 1/25/2026 |
67 | 70 | ||||||
| Series 1997-20, IO, 1.84%, 3/25/2027 (e) |
1 | — | (f) | |||||
| Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e) |
2 | — | (f) | |||||
| Series 1997-27, Class J, 7.50%, 4/18/2027 |
5 | 5 | ||||||
| Series 1997-29, Class J, 7.50%, 4/20/2027 |
5 | 6 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 49 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 1997-39, Class PD, 7.50%, 5/20/2027 |
10 | 10 | ||||||
| Series 2012-47, Class HF, 0.59%, 5/25/2027 (e) |
39 | 39 | ||||||
| Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
3 | — | (f) | |||||
| Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
2 | 2 | ||||||
| Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
22 | 25 | ||||||
| Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
17 | 2 | ||||||
| Series 2001-36, Class DE, 7.00%, 8/25/2031 |
20 | 23 | ||||||
| Series 2001-49, Class Z, 6.50%, 9/25/2031 |
4 | 5 | ||||||
| Series 2001-44, Class PD, 7.00%, 9/25/2031 |
4 | 4 | ||||||
| Series 2003-52, Class SX, HB, IF, 22.39%, 10/25/2031 (e) |
5 | 7 | ||||||
| Series 2004-74, Class SW, IF, 15.23%, 11/25/2031 (e) |
15 | 18 | ||||||
| Series 2001-81, Class LO, PO, 1/25/2032 |
3 | 2 | ||||||
| Series 2002-1, Class SA, HB, IF, 24.58%, 2/25/2032 (e) |
2 | 3 | ||||||
| Series 2002-21, Class PE, 6.50%, 4/25/2032 |
11 | 13 | ||||||
| Series 2002-28, Class PK, 6.50%, 5/25/2032 |
11 | 13 | ||||||
| Series 2002-37, Class Z, 6.50%, 6/25/2032 |
15 | 17 | ||||||
| Series 2004-61, Class SH, HB, IF, 23.24%, 11/25/2032 (e) |
17 | 24 | ||||||
| Series 2003-22, Class UD, 4.00%, 4/25/2033 |
53 | 56 | ||||||
| Series 2003-34, Class GE, 6.00%, 5/25/2033 |
120 | 134 | ||||||
| Series 2003-39, IO, 6.00%, 5/25/2033 (e) |
3 | — | (f) | |||||
| Series 2003-47, Class PE, 5.75%, 6/25/2033 |
54 | 59 | ||||||
| Series 2003-64, Class SX, IF, 13.48%, 7/25/2033 (e) |
6 | 7 | ||||||
| Series 2003-71, Class DS, IF, 7.32%, 8/25/2033 (e) |
55 | 57 | ||||||
| Series 2005-56, Class TP, IF, 17.59%, 8/25/2033 (e) |
21 | 23 | ||||||
| Series 2003-91, Class SD, IF, 12.19%, 9/25/2033 (e) |
5 | 5 | ||||||
| Series 2003-116, Class SB, IF, IO, 7.41%, 11/25/2033 (e) |
43 | 7 | ||||||
| Series 2006-44, Class P, PO, 12/25/2033 |
16 | 15 | ||||||
| Series 2003-130, Class SX, IF, 11.24%, 1/25/2034 (e) |
1 | 1 | ||||||
| Series 2004-25, Class SA, IF, 19.01%, 4/25/2034 (e) |
18 | 24 | ||||||
| Series 2004-46, Class SK, IF, 15.99%, 5/25/2034 (e) |
13 | 15 | ||||||
| Series 2004-36, Class SA, IF, 19.01%, 5/25/2034 (e) |
29 | 39 | ||||||
| Series 2004-50, Class VZ, 5.50%, 7/25/2034 |
179 | 197 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2005-74, Class CS, IF, 19.51%, 5/25/2035 (e) |
13 | 15 | ||||||
| Series 2005-45, Class DC, HB, IF, 23.62%, 6/25/2035 (e) |
27 | 36 | ||||||
| Series 2005-56, Class S, IF, IO, 6.52%, 7/25/2035 (e) |
17 | 3 | ||||||
| Series 2005-68, Class PG, 5.50%, 8/25/2035 |
103 | 113 | ||||||
| Series 2005-73, Class PS, IF, 16.23%, 8/25/2035 (e) |
49 | 60 | ||||||
| Series 2005-106, Class US, HB, IF, 23.88%, 11/25/2035 (e) |
31 | 40 | ||||||
| Series 2006-27, Class OH, PO, 4/25/2036 |
24 | 22 | ||||||
| Series 2006-65, Class QO, PO, 7/25/2036 |
15 | 14 | ||||||
| Series 2006-56, Class FC, 0.48%, 7/25/2036 (e) |
98 | 98 | ||||||
| Series 2006-72, Class GO, PO, 8/25/2036 |
22 | 21 | ||||||
| Series 2006-79, Class DO, PO, 8/25/2036 |
17 | 16 | ||||||
| Series 2006-77, Class PC, 6.50%, 8/25/2036 |
29 | 32 | ||||||
| Series 2006-110, PO, 11/25/2036 |
26 | 23 | ||||||
| Series 2006-124, Class HB, 2.00%, 11/25/2036 (e) |
48 | 49 | ||||||
| Series 2007-14, Class ES, IF, IO, 6.25%, 3/25/2037 (e) |
20 | 3 | ||||||
| Series 2007-81, Class GE, 6.00%, 8/25/2037 |
49 | 54 | ||||||
| Series 2007-79, Class SB, HB, IF, 23.33%, 8/25/2037 (e) |
20 | 29 | ||||||
| Series 2007-88, Class VI, IF, IO, 6.35%, 9/25/2037 (e) |
54 | 10 | ||||||
| Series 2007-91, Class ES, IF, IO, 6.27%, 10/25/2037 (e) |
143 | 27 | ||||||
| Series 2007-116, Class HI, IO, 1.25%, 1/25/2038 (e) |
27 | 1 | ||||||
| Series 2008-16, Class IS, IF, IO, 6.01%, 3/25/2038 (e) |
7 | 1 | ||||||
| Series 2008-10, Class XI, IF, IO, 6.04%, 3/25/2038 (e) |
12 | 2 | ||||||
| Series 2008-28, Class QS, HB, IF, 20.14%, 4/25/2038 (e) |
18 | 22 | ||||||
| Series 2008-46, Class HI, IO, 1.66%, 6/25/2038 (e) |
17 | 1 | ||||||
| Series 2013-25, Class DC, 2.50%, 6/25/2039 |
179 | 182 | ||||||
| Series 2009-69, PO, 9/25/2039 |
27 | 24 | ||||||
| Series 2009-103, Class MB, 2.00%, 12/25/2039 (e) |
28 | 29 | ||||||
| Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
64 | 71 | ||||||
| Series 2011-118, Class MT, 7.00%, 11/25/2041 |
78 | 91 | ||||||
| Series 2011-118, Class NT, 7.00%, 11/25/2041 |
73 | 85 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2013-101, Class DO, PO, 10/25/2043 |
147 | 132 | ||||||
| Series 2013-128, PO, 12/25/2043 |
119 | 106 | ||||||
| Series 2019-65, Class PA, 2.50%, 5/25/2048 |
204 | 206 | ||||||
| FNMA, REMIC Trust, Whole Loan |
||||||||
| Series 2007-W7, Class 1A4, HB, IF, 38.06%, 7/25/2037 (e) |
5 | 7 | ||||||
| Series 2003-W4, Class 2A, 5.42%, 10/25/2042 (e) |
11 | 12 | ||||||
| Series 2003-W1, Class 1A1, 4.97%, 12/25/2042 (e) |
57 | 59 | ||||||
| FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.25%, 10/25/2037 (e) |
17 | 20 | ||||||
| FNMA, STRIPS |
||||||||
| Series 218, Class 2, IO, 7.50%, 4/25/2023 |
— | (f) | — | (f) | ||||
| Series 300, Class 1, PO, 9/25/2024 |
5 | 5 | ||||||
| Series 329, Class 1, PO, 1/25/2033 |
3 | 2 | ||||||
| GNMA |
||||||||
| Series 2003-24, PO, 3/16/2033 |
4 | 4 | ||||||
| Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
101 | 105 | ||||||
| Series 2003-52, Class AP, PO, 6/16/2033 |
28 | 27 | ||||||
| Series 2004-28, Class S, IF, 19.32%, 4/16/2034 (e) |
7 | 10 | ||||||
| Series 2004-71, Class SB, HB, IF, 28.67%, 9/20/2034 (e) |
13 | 17 | ||||||
| Series 2004-90, Class SI, IF, IO, 5.94%, 10/20/2034 (e) |
78 | 9 | ||||||
| Series 2005-68, Class DP, IF, 16.13%, 6/17/2035 (e) |
14 | 16 | ||||||
| Series 2005-68, Class KI, IF, IO, 6.14%, 9/20/2035 (e) |
135 | 22 | ||||||
| Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
234 | 251 | ||||||
| Series 2006-59, Class SD, IF, IO, 6.54%, 10/20/2036 (e) |
15 | 2 | ||||||
| Series 2007-17, Class JI, IF, IO, 6.68%, 4/16/2037 (e) |
60 | 11 | ||||||
| Series 2007-27, Class SA, IF, IO, 6.04%, 5/20/2037 (e) |
75 | 7 | ||||||
| Series 2007-45, Class QA, IF, IO, 6.48%, 7/20/2037 (e) |
63 | 7 | ||||||
| Series 2007-40, Class SB, IF, IO, 6.59%, 7/20/2037 (e) |
101 | 14 | ||||||
| Series 2007-53, Class ES, IF, IO, 6.39%, 9/20/2037 (e) |
17 | 2 | ||||||
| Series 2007-53, Class SW, IF, 19.72%, 9/20/2037 (e) |
12 | 15 | ||||||
| Series 2009-79, Class OK, PO, 11/16/2037 |
49 | 45 | ||||||
| Series 2007-76, Class SA, IF, IO, 6.37%, 11/20/2037 (e) |
33 | 3 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2007-72, Class US, IF, IO, 6.39%, 11/20/2037 (e) |
32 | 3 | ||||||
| Series 2009-106, Class ST, IF, IO, 5.84%, 2/20/2038 (e) |
106 | 13 | ||||||
| Series 2008-33, Class XS, IF, IO, 7.57%, 4/16/2038 (e) |
25 | 3 | ||||||
| Series 2008-40, Class SA, IF, IO, 6.27%, 5/16/2038 (e) |
65 | 10 | ||||||
| Series 2008-50, Class KB, 6.00%, 6/20/2038 |
80 | 87 | ||||||
| Series 2008-55, Class SA, IF, IO, 6.04%, 6/20/2038 (e) |
39 | 4 | ||||||
| Series 2008-93, Class AS, IF, IO, 5.54%, 12/20/2038 (e) |
45 | 4 | ||||||
| Series 2009-6, Class SA, IF, IO, 5.97%, 2/16/2039 (e) |
11 | 1 | ||||||
| Series 2009-31, Class TS, IF, IO, 6.14%, 3/20/2039 (e) |
33 | 2 | ||||||
| Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
19 | 4 | ||||||
| Series 2009-22, Class SA, IF, IO, 6.11%, 4/20/2039 (e) |
52 | 6 | ||||||
| Series 2009-92, Class ZC, 5.00%, 10/20/2039 |
278 | 299 | ||||||
| Series 2011-137, Class WA, 5.59%, 7/20/2040 (e) |
130 | 145 | ||||||
| Series 2010-105, Class B, 5.00%, 8/20/2040 |
356 | 385 | ||||||
| Series 2010-130, Class CP, 7.00%, 10/16/2040 |
33 | 38 | ||||||
| Series 2013-91, Class WA, 4.48%, 4/20/2043 (e) |
310 | 329 | ||||||
| Series 2012-H24, Class FA, 0.55%, 3/20/2060 (e) |
4 | 4 | ||||||
| Series 2013-H03, Class FA, 0.40%, 8/20/2060 (e) |
— | (f) | — | (f) | ||||
| Series 2012-H21, Class DF, 0.75%, 5/20/2061 (e) |
2 | 2 | ||||||
| Series 2012-H26, Class MA, 0.65%, 7/20/2062 (e) |
1 | 1 | ||||||
| Series 2012-H29, Class FA, 0.62%, 10/20/2062 (e) |
224 | 225 | ||||||
| Series 2014-H15, Class FA, 0.60%, 7/20/2064 (e) |
488 | 489 | ||||||
| Series 2014-H17, Class FC, 0.60%, 7/20/2064 (e) |
387 | 388 | ||||||
| Series 2015-H15, Class FJ, 0.54%, 6/20/2065 (e) |
464 | 465 | ||||||
| Series 2015-H18, Class FA, 0.55%, 6/20/2065 (e) |
282 | 282 | ||||||
| Series 2015-H20, Class FA, 0.57%, 8/20/2065 (e) |
417 | 418 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 51 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Collateralized Mortgage Obligations — continued |
| |||||||
| Series 2015-H26, Class FG, 0.62%, 10/20/2065 (e) |
481 | 481 | ||||||
| GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 |
22 | 37 | ||||||
| Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 ‡ |
— | (f) | — | (f) | ||||
| JPMorgan Mortgage Trust |
||||||||
| Series 2003-A1, Class 1A1, 1.85%, 10/25/2033 (e) |
103 | 104 | ||||||
| Series 2006-A2, Class 5A3, 2.27%, 11/25/2033 (e) |
22 | 22 | ||||||
| Series 2006-A2, Class 4A1, 2.22%, 8/25/2034 (e) |
7 | 8 | ||||||
| MASTR Adjustable Rate Mortgages Trust |
||||||||
| Series 2004-13, Class 2A1, 2.62%, 4/21/2034 (e) |
23 | 23 | ||||||
| Series 2004-3, Class 4A2, 2.23%, 4/25/2034 (e) |
7 | 7 | ||||||
| MASTR Alternative Loan Trust |
||||||||
| Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
— | (f) | — | (f) | ||||
| Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
33 | 33 | ||||||
| Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
56 | 57 | ||||||
| Series 2004-7, Class 30, PO, 8/25/2034 ‡ |
6 | 5 | ||||||
| Series 2005-6, Class 3A1, 5.50%, 12/25/2035 |
7 | 7 | ||||||
| MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b) |
4 | 4 | ||||||
| Merrill Lynch Mortgage Investors Trust |
||||||||
| Series 2003-E, Class A1, 0.81%, 10/25/2028 (e) |
51 | 51 | ||||||
| Series 2004-A, Class A1, 0.65%, 4/25/2029 (e) |
16 | 15 | ||||||
| NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (e) |
24 | 23 | ||||||
| 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 |
2 | 2 | ||||||
| Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
7 | 7 | ||||||
| RALI Trust Series 2002-QS16, Class A3, IF, 16.23%, 10/25/2017 (e) |
— | (f) | — | (f) | ||||
| Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (b) |
31 | 20 | ||||||
| Seasoned Credit Risk Transfer Trust |
||||||||
| Series 2018-1, Class M60C, 3.50%, 5/25/2057 |
203 | 209 | ||||||
| Series 2017-4, Class M60C, 3.50%, 6/25/2057 |
281 | 290 | ||||||
| Series 2018-2, Class M55D, 4.00%, 11/25/2057 |
202 | 212 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡ |
377 | 395 | ||||||
| Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ |
64 | 67 | ||||||
| Series 2019-4, Class M55D, 4.00%, 2/25/2059 |
223 | 234 | ||||||
| Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 |
272 | 279 | ||||||
| Vendee Mortgage Trust |
||||||||
| Series 1993-1, Class ZB, 7.25%, 2/15/2023 |
17 | 17 | ||||||
| Series 1994-1, Class 1, 4.92%, 2/15/2024 (e) |
21 | 21 | ||||||
| Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
68 | 73 | ||||||
| Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
21 | 23 | ||||||
| Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
93 | 102 | ||||||
| Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
24 | 26 | ||||||
| WaMu Mortgage Pass-Through Certificates Trust |
||||||||
| Series 2003-AR5, Class A7, 2.58%, 6/25/2033 (e) |
23 | 24 | ||||||
| Series 2004-AR3, Class A2, 2.60%, 6/25/2034 (e) |
11 | 11 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
67 | 68 | ||||||
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡ |
— | (f) | — | (f) | ||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations |
13,815 | |||||||
|
|
|
|||||||
| Mortgage-Backed Securities — 9.9% |
| |||||||
| FHLMC |
||||||||
| Pool # 785618, ARM, 2.13%, 7/1/2026 (e) |
5 | 5 | ||||||
| Pool # 611141, ARM, 2.23%, 1/1/2027 (e) |
5 | 5 | ||||||
| Pool # 1G2557, ARM, 2.22%, 6/1/2036 (e) |
30 | 32 | ||||||
| Pool # 1A1085, ARM, 1.93%, 8/1/2036 (e) |
42 | 44 | ||||||
| Pool # 1Q0105, ARM, 2.00%, 9/1/2036 (e) |
12 | 12 | ||||||
| Pool # 1B7242, ARM, 2.18%, 9/1/2036 (e) |
32 | 34 | ||||||
| Pool # 1Q0737, ARM, 2.01%, 11/1/2036 (e) |
16 | 16 | ||||||
| Pool # 1N1511, ARM, 1.79%, 1/1/2037 (e) |
14 | 14 | ||||||
| Pool # 1Q0739, ARM, 2.13%, 3/1/2037 (e) |
16 | 17 | ||||||
| Pool # 1Q0722, ARM, 2.35%, 4/1/2038 (e) |
17 | 18 | ||||||
| FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026 |
4 | 4 | ||||||
| FHLMC Gold Pools, 30 Year |
||||||||
| Pool # G00245, 8.00%, 8/1/2024 |
— | (f) | — | (f) | ||||
| Pool # C00376, 8.00%, 11/1/2024 |
— | (f) | — | (f) | ||||
| Pool # C00414, 7.50%, 8/1/2025 |
1 | 1 | ||||||
| Pool # C00452, 7.00%, 4/1/2026 |
1 | 1 | ||||||
| Pool # G00981, 8.50%, 7/1/2028 |
3 | 3 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Mortgage-Backed Securities — continued |
| |||||||
| Pool # A17537, 6.00%, 1/1/2034 |
18 | 21 | ||||||
| Pool # G02682, 7.00%, 2/1/2037 |
14 | 15 | ||||||
| Pool # Q58054, 4.50%, 11/1/2046 |
162 | 177 | ||||||
| FHLMC Gold Pools, Other |
||||||||
| Pool # G20027, 10.00%, 10/1/2030 |
2 | 2 | ||||||
| Pool # U80336, 3.50%, 5/1/2033 |
279 | 289 | ||||||
| Pool # U90690, 3.50%, 6/1/2042 |
107 | 113 | ||||||
| Pool # U90975, 4.00%, 6/1/2042 |
94 | 101 | ||||||
| Pool # U91427, 3.50%, 5/1/2043 |
325 | 340 | ||||||
| FNMA |
||||||||
| Pool # 54844, ARM, 2.18%, 9/1/2027 (e) |
2 | 2 | ||||||
| Pool # 303532, ARM, 3.85%, 3/1/2029 (e) |
1 | 1 | ||||||
| Pool # BS5117, 2.58% 3/1/2032 (g) |
200 | 203 | ||||||
| Pool # 745446, ARM, 2.42%, 4/1/2033 (e) |
19 | 19 | ||||||
| Pool # 746299, ARM, 2.06%, 9/1/2033 (e) |
31 | 33 | ||||||
| Pool # 743546, ARM, 1.74%, 11/1/2033 (e) |
34 | 35 | ||||||
| Pool # 735332, ARM, 2.27%, 8/1/2034 (e) |
28 | 28 | ||||||
| Pool # 790964, ARM, 1.90%, 9/1/2034 (e) |
14 | 14 | ||||||
| Pool # 896463, ARM, 2.42%, 10/1/2034 (e) |
34 | 35 | ||||||
| Pool # 810896, ARM, 1.69%, 1/1/2035 (e) |
20 | 20 | ||||||
| Pool # 816361, ARM, 1.69%, 1/1/2035 (e) |
71 | 70 | ||||||
| Pool # 816594, ARM, 1.86%, 2/1/2035 (e) |
11 | 12 | ||||||
| Pool # 816597, ARM, 2.05%, 2/1/2035 (e) |
11 | 11 | ||||||
| Pool # 745862, ARM, 2.35%, 4/1/2035 (e) |
20 | 20 | ||||||
| Pool # 843026, ARM, 1.83%, 9/1/2035 (e) |
34 | 35 | ||||||
| Pool # 832801, ARM, 1.90%, 9/1/2035 (e) |
31 | 31 | ||||||
| Pool # 920340, ARM, 2.63%, 2/1/2036 (e) |
21 | 21 | ||||||
| Pool # 886558, ARM, 2.02%, 8/1/2036 (e) |
8 | 9 | ||||||
| Pool # 893424, ARM, 1.83%, 9/1/2036 (e) |
24 | 25 | ||||||
| Pool # 913984, ARM, 1.77%, 2/1/2037 (e) |
12 | 12 | ||||||
| Pool # 915645, ARM, 2.27%, 2/1/2037 (e) |
21 | 22 | ||||||
| Pool # 887094, ARM, 2.19%, 7/1/2046 (e) |
38 | 40 | ||||||
| FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 |
3 | 3 | ||||||
| FNMA UMBS, 20 Year Pool # 254305, 6.50%, 5/1/2022 |
— | (f) | — | (f) | ||||
| FNMA UMBS, 30 Year |
||||||||
| Pool # 250066, 8.00%, 5/1/2024 |
— | (f) | — | (f) | ||||
| Pool # 250103, 8.50%, 7/1/2024 |
1 | 1 | ||||||
| Pool # 303031, 7.50%, 10/1/2024 |
— | (f) | — | (f) | ||||
| Pool # 308499, 8.50%, 5/1/2025 |
— | (f) | — | (f) | ||||
| Pool # 695533, 8.00%, 6/1/2027 |
5 | 5 | ||||||
| Pool # 313687, 7.00%, 9/1/2027 |
1 | 1 | ||||||
| Pool # 755973, 8.00%, 11/1/2028 |
6 | 6 | ||||||
| Pool # 598559, 6.50%, 8/1/2031 |
10 | 12 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Pool # 995409, 8.00%, 11/1/2032 |
75 | 84 | ||||||
| Pool # 675555, 6.00%, 12/1/2032 |
12 | 14 | ||||||
| Pool # 674349, 6.00%, 3/1/2033 |
8 | 9 | ||||||
| Pool # 702901, 6.00%, 5/1/2033 |
27 | 30 | ||||||
| Pool # 721535, 5.00%, 7/1/2033 |
39 | 44 | ||||||
| Pool # 723852, 5.00%, 7/1/2033 |
13 | 14 | ||||||
| Pool # 729296, 5.00%, 7/1/2033 |
29 | 33 | ||||||
| Pool # 713700, 4.50%, 8/1/2033 |
13 | 14 | ||||||
| Pool # 737825, 6.00%, 9/1/2033 |
7 | 8 | ||||||
| Pool # 725027, 5.00%, 11/1/2033 |
26 | 29 | ||||||
| Pool # 725017, 5.50%, 12/1/2033 |
28 | 31 | ||||||
| Pool # AA0922, 6.00%, 9/1/2036 |
35 | 40 | ||||||
| Pool # 986648, 6.00%, 9/1/2037 |
18 | 20 | ||||||
| Pool # AD9151, 5.00%, 8/1/2040 |
71 | 79 | ||||||
| Pool # BM3375, 4.00%, 1/1/2048 |
157 | 167 | ||||||
| Pool # BK8753, 4.50%, 6/1/2049 |
145 | 153 | ||||||
| Pool # BP6363, 3.00%, 4/1/2050 |
339 | 343 | ||||||
| Pool # CB2637, 2.50%, 1/1/2052 |
80 | 79 | ||||||
| FNMA, 30 Year |
||||||||
| Pool # 252409, 6.50%, 3/1/2029 |
6 | 6 | ||||||
| Pool # 752786, 6.00%, 9/1/2033 |
7 | 8 | ||||||
| FNMA, Other |
||||||||
| Pool # AM8317, 2.96%, 3/1/2025 |
176 | 182 | ||||||
| Pool # AN2309, 2.21%, 7/1/2026 |
447 | 451 | ||||||
| Pool # AM6381, 3.29%, 8/1/2026 |
974 | 1,020 | ||||||
| Pool # AM7515, 3.34%, 2/1/2027 |
500 | 527 | ||||||
| Pool # BL1040, 3.81%, 12/1/2028 |
150 | 164 | ||||||
| Pool # BL0907, 3.88%, 12/1/2028 |
300 | 330 | ||||||
| Pool # AM6892, 3.76%, 9/1/2029 |
221 | 242 | ||||||
| Pool # BM4162, 3.20%, 10/1/2029 (e) |
279 | 296 | ||||||
| Pool # BL4333, 2.52%, 11/1/2029 |
391 | 400 | ||||||
| Pool # 888408, 6.00%, 3/1/2037 |
9 | 9 | ||||||
| Pool # 257172, 5.50%, 4/1/2038 |
5 | 6 | ||||||
| Pool # MA1125, 4.00%, 7/1/2042 |
147 | 157 | ||||||
| GNMA I, 30 Year |
||||||||
| Pool # 352108, 7.00%, 8/15/2023 |
— | (f) | — | (f) | ||||
| Pool # 363030, 7.00%, 9/15/2023 |
3 | 3 | ||||||
| Pool # 352022, 7.00%, 11/15/2023 |
— | (f) | — | (f) | ||||
| Pool # 366706, 6.50%, 1/15/2024 |
3 | 3 | ||||||
| Pool # 371281, 7.00%, 2/15/2024 |
1 | 1 | ||||||
| Pool # 782507, 9.50%, 10/15/2024 |
— | (f) | — | (f) | ||||
| Pool # 780965, 9.50%, 12/15/2025 |
— | (f) | — | (f) | ||||
| Pool # 442119, 7.50%, 11/15/2026 |
1 | 1 | ||||||
| Pool # 411829, 7.50%, 7/15/2027 |
2 | 2 | ||||||
| Pool # 468149, 8.00%, 8/15/2028 |
1 | 1 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 53 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Mortgage-Backed Securities — continued |
| |||||||
| Pool # 468236, 6.50%, 9/15/2028 |
28 | 31 | ||||||
| Pool # 486537, 7.50%, 9/15/2028 |
2 | 2 | ||||||
| Pool # 466406, 6.00%, 11/15/2028 |
10 | 11 | ||||||
| Pool # 607645, 6.50%, 2/15/2033 |
8 | 8 | ||||||
| Pool # 781614, 7.00%, 6/15/2033 |
12 | 14 | ||||||
| Pool # 782615, 7.00%, 6/15/2035 |
28 | 32 | ||||||
| Pool # 782025, 6.50%, 12/15/2035 |
38 | 43 | ||||||
| Pool # 681638, 6.00%, 12/15/2038 |
64 | 69 | ||||||
| GNMA II, 30 Year |
||||||||
| Pool # 1974, 8.50%, 3/20/2025 |
— | (f) | — | (f) | ||||
| Pool # 1989, 8.50%, 4/20/2025 |
1 | 1 | ||||||
| Pool # 2006, 8.50%, 5/20/2025 |
1 | 1 | ||||||
| Pool # 2141, 8.00%, 12/20/2025 |
— | (f) | — | (f) | ||||
| Pool # 2234, 8.00%, 6/20/2026 |
1 | 1 | ||||||
| Pool # 2270, 8.00%, 8/20/2026 |
1 | 1 | ||||||
| Pool # 2285, 8.00%, 9/20/2026 |
1 | 1 | ||||||
| Pool # 2324, 8.00%, 11/20/2026 |
— | (f) | — | (f) | ||||
| Pool # 2499, 8.00%, 10/20/2027 |
1 | 1 | ||||||
| Pool # 2512, 8.00%, 11/20/2027 |
1 | 1 | ||||||
| Pool # 2525, 8.00%, 12/20/2027 |
1 | 1 | ||||||
| Pool # 2549, 7.50%, 2/20/2028 |
— | (f) | 1 | |||||
| Pool # 2562, 6.00%, 3/20/2028 |
7 | 8 | ||||||
| Pool # 2633, 8.00%, 8/20/2028 |
— | (f) | — | (f) | ||||
| Pool # 2646, 7.50%, 9/20/2028 |
2 | 2 | ||||||
| Pool # 4245, 6.00%, 9/20/2038 |
40 | 45 | ||||||
| Pool # BA7567, 4.50%, 5/20/2048 |
85 | 89 | ||||||
| Pool # BI0416, 4.50%, 11/20/2048 |
117 | 124 | ||||||
| Pool # BM9692, 4.50%, 7/20/2049 |
79 | 83 | ||||||
| Pool # BQ3224, 4.50%, 9/20/2049 |
402 | 430 | ||||||
| Pool # MA7534, 2.50%, 8/20/2051 |
125 | 125 | ||||||
| Pool # MA7649, 2.50%, 10/20/2051 |
39 | 39 | ||||||
| GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033 |
301 | 315 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Securities |
8,469 | |||||||
|
|
|
|||||||
| Asset-Backed Securities — 9.6% |
| |||||||
| Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) |
82 | 81 | ||||||
| Ally Auto Receivables Trust Series 2019-1, Class A3, 2.91%, 9/15/2023 |
10 | 10 | ||||||
| American Airlines Pass-Through Trust |
||||||||
| Series 2016-3, Class AA, 3.00%, 10/15/2028 |
63 | 63 | ||||||
| Series 2021-1, Class B, 3.95%, 7/11/2030 |
75 | 71 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| American Credit Acceptance Receivables Trust |
||||||||
| Series 2021-1, Class A, 0.35%, 5/13/2024 (b) |
6 | 6 | ||||||
| Series 2022-1, Class A, 0.99%, 12/15/2025 (b) |
113 | 113 | ||||||
| American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024 |
135 | 135 | ||||||
| AmeriCredit Automobile Receivables Trust |
||||||||
| Series 2019-2, Class A3, 2.28%, 1/18/2024 |
20 | 20 | ||||||
| Series 2020-1, Class A3, 1.11%, 8/19/2024 |
33 | 33 | ||||||
| Series 2020-2, Class A3, 0.66%, 12/18/2024 |
21 | 21 | ||||||
| Series 2021-1, Class A3, 0.37%, 8/18/2025 |
86 | 85 | ||||||
| Series 2020-3, Class B, 0.76%, 12/18/2025 |
75 | 74 | ||||||
| Series 2021-2, Class B, 0.69%, 1/19/2027 |
55 | 54 | ||||||
| AMSR Trust Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) |
100 | 96 | ||||||
| Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) |
116 | 115 | ||||||
| Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) |
100 | 100 | ||||||
| BA Credit Card Trust |
||||||||
| Series 2019-A1, Class A1, 1.74%, 1/15/2025 |
230 | 231 | ||||||
| Series 2020-A1, Class A1, 0.34%, 5/15/2026 |
88 | 86 | ||||||
| British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) |
52 | 53 | ||||||
| CarMax Auto Owner Trust |
||||||||
| Series 2018-3, Class A3, 3.13%, 6/15/2023 |
5 | 5 | ||||||
| Series 2019-1, Class A3, 3.05%, 3/15/2024 |
52 | 53 | ||||||
| Series 2020-1, Class A3, 1.89%, 12/16/2024 |
70 | 70 | ||||||
| Series 2020-3, Class A3, 0.62%, 3/17/2025 |
78 | 78 | ||||||
| Series 2021-1, Class A3, 0.34%, 12/15/2025 |
41 | 40 | ||||||
| Carvana Auto Receivables Trust |
||||||||
| Series 2021-P3, Class A3, 0.70%, 11/10/2026 |
90 | 88 | ||||||
| Series 2021-P4, Class A4, 1.64%, 12/10/2027 |
150 | 147 | ||||||
| CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b) |
60 | 59 | ||||||
| CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052 (b) |
74 | 74 | ||||||
| CPS Auto Receivables Trust Series 2021-B, Class B, 0.81%, 12/15/2025 (b) |
100 | 99 | ||||||
| Credit Acceptance Auto Loan Trust |
||||||||
| Series 2019-3A, Class A, 2.38%, 11/15/2028 (b) |
167 | 168 | ||||||
| Series 2020-1A, Class A, 2.01%, 2/15/2029 (b) |
250 | 250 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Asset-Backed Securities — continued |
| |||||||
| Series 2021-2A, Class A, 0.96%, 2/15/2030 (b) |
250 | 245 | ||||||
| Drive Auto Receivables Trust |
||||||||
| Series 2021-1, Class A3, 0.44%, 11/15/2024 |
44 | 44 | ||||||
| Series 2020-2, Class B, 1.42%, 3/17/2025 |
15 | 15 | ||||||
| Series 2021-3, Class B, 1.11%, 5/15/2026 |
28 | 28 | ||||||
| DT Auto Owner Trust |
||||||||
| Series 2020-3A, Class B, 0.91%, 12/16/2024 (b) |
65 | 65 | ||||||
| Series 2021-1A, Class B, 0.62%, 9/15/2025 (b) |
20 | 20 | ||||||
| Series 2022-1A, Class A, 1.58%, 4/15/2026 (b) |
200 | 200 | ||||||
| Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) |
95 | 92 | ||||||
| Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) |
57 | 55 | ||||||
| Exeter Automobile Receivables Trust |
||||||||
| Series 2022-1A, Class A2, 1.15%, 6/17/2024 |
135 | 135 | ||||||
| Series 2020-3A, Class B, 0.79%, 9/16/2024 |
24 | 24 | ||||||
| Series 2021-1A, Class B, 0.50%, 2/18/2025 |
78 | 78 | ||||||
| Series 2021-2A, Class B, 0.57%, 9/15/2025 |
55 | 55 | ||||||
| Series 2021-4A, Class B, 1.05%, 5/15/2026 |
74 | 73 | ||||||
| First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b) |
17 | 17 | ||||||
| Flagship Credit Auto Trust |
||||||||
| Series 2020-4, Class A, 0.53%, 4/15/2025 (b) |
89 | 89 | ||||||
| Series 2019-4, Class C, 2.77%, 12/15/2025 (b) |
105 | 106 | ||||||
| Series 2021-4, Class A, 0.81%, 7/17/2026 (b) |
110 | 109 | ||||||
| Series 2022-1, Class A, 1.79%, 10/15/2026 (b) |
180 | 178 | ||||||
| Series 2021-3, Class A, 0.36%, 7/15/2027 (b) |
115 | 113 | ||||||
| Ford Credit Auto Lease Trust |
||||||||
| Series 2020-A, Class A3, 1.85%, 3/15/2023 |
3 | 3 | ||||||
| Series 2020-B, Class A4, 0.69%, 10/15/2023 |
47 | 47 | ||||||
| Series 2021-A, Class A3, 0.26%, 2/15/2024 |
72 | 72 | ||||||
| FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) |
156 | 148 | ||||||
| GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e) |
12 | 10 | ||||||
| GLS Auto Receivables Issuer Trust |
||||||||
| Series 2020-4A, Class A, 0.52%, 2/15/2024 (b) |
6 | 6 | ||||||
| Series 2021-4A, Class A, 0.84%, 7/15/2025 (b) |
135 | 135 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) |
66 | 64 | ||||||
| GLS Auto Receivables Trust Series 2021-2A, Class B, 0.77%, 9/15/2025 (b) |
32 | 32 | ||||||
| GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%, 10/16/2025 |
34 | 34 | ||||||
| GM Financial Leasing Trust Series 2021-1, Class A4, 0.33%, 2/20/2025 |
78 | 77 | ||||||
| Gold Key Resorts LLC |
||||||||
| Series 2014-A, Class A, 3.22%, 3/17/2031 (b) |
8 | 8 | ||||||
| Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024 |
101 | 102 | ||||||
| Hyundai Auto Lease Securitization Trust Series 2020-B, Class A3, 0.51%, 9/15/2023 (b) |
135 | 135 | ||||||
| Mercedes-Benz Auto Lease Trust |
||||||||
| Series 2019-B, Class A3, 2.00%, 10/17/2022 |
3 | 3 | ||||||
| Series 2020-A, Class A3, 1.84%, 12/15/2022 |
16 | 16 | ||||||
| Series 2021-A, Class A3, 0.25%, 1/16/2024 |
59 | 59 | ||||||
| MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) |
105 | 101 | ||||||
| Progress Residential Trust Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡ (b) |
100 | 92 | ||||||
| Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b) |
35 | 35 | ||||||
| Santander Drive Auto Receivables Trust |
||||||||
| Series 2022-1, Class A2, 1.36%, 12/16/2024 |
175 | 174 | ||||||
| Series 2020-3, Class B, 0.69%, 3/17/2025 |
62 | 62 | ||||||
| Series 2021-1, Class B, 0.50%, 4/15/2025 |
146 | 146 | ||||||
| Series 2021-3, Class B, 0.60%, 12/15/2025 |
102 | 101 | ||||||
| Series 2020-4, Class C, 1.01%, 1/15/2026 |
50 | 50 | ||||||
| Series 2021-2, Class C, 0.90%, 6/15/2026 |
74 | 73 | ||||||
| Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b) |
34 | 34 | ||||||
| Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (h) |
22 | 22 | ||||||
| Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
36 | 36 | ||||||
| Tesla Auto Lease Trust |
||||||||
| Series 2019-A, Class A3, 2.16%, 10/20/2022 (b) |
107 | 107 | ||||||
| Series 2021-B, Class A4, 0.63%, 9/22/2025 (b) |
51 | 50 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 55 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Asset-Backed Securities — continued |
| |||||||
| Toyota Auto Receivables Owner Trust |
||||||||
| Series 2020-A, Class A3, 1.66%, 5/15/2024 |
130 | 131 | ||||||
| Series 2021-A, Class A3, 0.26%, 5/15/2025 |
131 | 129 | ||||||
| Series 2020-C, Class A4, 0.57%, 10/15/2025 |
56 | 55 | ||||||
| United Airlines Pass-Through Trust |
||||||||
| Series 2016-2, Class AA, 2.88%, 10/7/2028 |
95 | 94 | ||||||
| Series 2018-1, Class A, 3.70%, 3/1/2030 |
104 | 103 | ||||||
| United Auto Credit Securitization Trust |
||||||||
| Series 2021-1, Class A, 0.34%, 7/10/2023 (b) |
8 | 8 | ||||||
| Series 2021-1, Class C, 0.84%, 6/10/2026 (b) |
70 | 69 | ||||||
| US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (b) |
80 | 80 | ||||||
| VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (h) |
64 | 62 | ||||||
| VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (h) |
79 | 78 | ||||||
| VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (h) |
74 | 73 | ||||||
| VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (h) |
102 | 100 | ||||||
| VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (h) |
75 | 74 | ||||||
| VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (h) |
107 | 105 | ||||||
| VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (h) |
116 | 113 | ||||||
| Westlake Automobile Receivables Trust |
||||||||
| Series 2020-2A, Class A2A, 0.93%, 2/15/2024 (b) |
15 | 15 | ||||||
| Series 2020-3A, Class B, 0.78%, 11/17/2025 (b) |
90 | 90 | ||||||
| Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) |
72 | 71 | ||||||
| World Omni Auto Receivables Trust |
||||||||
| Series 2020-A, Class A3, 1.70%, 1/17/2023 |
110 | 110 | ||||||
| Series 2021-A, Class A3, 0.30%, 1/15/2026 |
123 | 122 | ||||||
| World Omni Automobile Lease Securitization Trust |
||||||||
| Series 2021-A, Class A3, 0.42%, 8/15/2024 |
67 | 66 | ||||||
| Series 2020-B, Class A4, 0.52%, 2/17/2026 |
60 | 59 | ||||||
| World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025 |
60 | 60 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
8,220 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 8.1% |
| |||||||
| 20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (b) (e) |
145 | 145 | ||||||
| Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048 |
281 | 292 | ||||||
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| FHLMC, Multi-Family Structured Pass-Through Certificates |
||||||||
| Series KSMC, Class A2, 2.62%, 1/25/2023 |
500 | 506 | ||||||
| Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (e) |
500 | 515 | ||||||
| Series KLU2, Class A7, 2.23%, 9/25/2025 (e) |
213 | 214 | ||||||
| Series K737, Class AM, 2.10%, 10/25/2026 |
305 | 304 | ||||||
| Series K069, Class A2, 3.19%, 9/25/2027 (e) |
480 | 505 | ||||||
| Series K081, Class A1, 3.88%, 2/25/2028 |
100 | 106 | ||||||
| Series K083, Class A2, 4.05%, 9/25/2028 (e) |
297 | 329 | ||||||
| Series K088, Class A2, 3.69%, 1/25/2029 |
480 | 522 | ||||||
| FNMA ACES |
||||||||
| Series 2015-M17, Class FA, 1.03%, 11/25/2022 (e) |
61 | 61 | ||||||
| Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e) |
291 | 297 | ||||||
| Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e) |
429 | 439 | ||||||
| Series 2015-M7, Class A2, 2.59%, 12/25/2024 |
571 | 578 | ||||||
| Series 2018-M2, Class A2, 2.90%, 1/25/2028 (e) |
500 | 517 | ||||||
| Series 2020-M50, Class A1, 0.67%, 10/25/2030 |
352 | 335 | ||||||
| Series 2020-M50, Class A2, 1.20%, 10/25/2030 |
165 | 156 | ||||||
| Series 2020-M50, Class X1, IO, 1.91%, 10/25/2030 (e) |
2,673 | 263 | ||||||
| Series 2021-M11, Class A2, 1.46%, 3/25/2031 (e) |
117 | 109 | ||||||
| Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 |
17 | 16 | ||||||
| Series 2021-M3, Class X1, IO, 1.98%, 11/25/2033 (e) |
107 | 13 | ||||||
| Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b) |
147 | 141 | ||||||
| MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) |
200 | 198 | ||||||
| SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) |
155 | 150 | ||||||
| UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) |
116 | 116 | ||||||
| UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 |
88 | 88 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities |
6,915 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| INVESTMENTS | PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
||||||
| Foreign Government Securities — 0.2% |
| |||||||
| United Mexican States (Mexico) 2.66%, 5/24/2031 |
200 | 183 | ||||||
|
|
|
|||||||
| U.S. Government Agency Securities — 0.1% |
| |||||||
| Resolution Funding Corp. STRIPS DN, 3.29%, 1/15/2026 (d) |
60 | 56 | ||||||
|
|
|
|||||||
| SHARES (000) |
||||||||
| Short-Term Investments — 1.6% |
| |||||||
| Investment Companies — 1.6% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares,
0.05% (i) (j) |
1,357 | 1,357 | ||||||
|
|
|
|||||||
| Total Investments — 100.1% |
85,760 | |||||||
| Liabilities in Excess of |
(98 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
85,662 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Abbreviations
| ACES | Alternative Credit Enhancement Securities | |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2022. | |
| DN | Discount Notes | |
| 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 IO’s 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 or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 28, 2022. 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 | |
| SOFR | Secured Overnight Financing Rate | |
| 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. | |
| UMBS | Uniform Mortgage-Backed Securities | |
| USD | United States Dollar | |
| (a) | Amount rounds to less than 0.1% of net assets. | |
| (b) | Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended. | |
| (c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2022. | |
| (d) | The rate shown is the effective yield as of February 28, 2022. | |
| (e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and | |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 57 | ||||||||
Table of Contents
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2022 (continued)
| prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2022. | ||
| (f) | Amount rounds to less than one thousand. | |
| (g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| (h) | 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 February 28, 2022. | |
| (i) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (j) | The rate shown is the current yield as of February 28, 2022. | |
| ‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2022
(Amounts in thousands, except per share amounts)
| JPMorgan Core Bond Trust |
JPMorgan Intermediate Bond Trust |
|||||||
| ASSETS: |
| |||||||
| Investments in non-affiliates, at value |
$ | 2,048,834 | $ | 84,403 | ||||
| Investments in affiliates, at value |
80,987 | 1,357 | ||||||
| Restricted cash for delayed delivery securities |
550 | — | ||||||
| Cash |
3,556 | 7 | ||||||
| Receivables: |
||||||||
| Investment securities sold |
2,654 | 5 | ||||||
| Investment securities sold — delayed delivery securities |
8,515 | 159 | ||||||
| Interest from non-affiliates |
9,215 | 332 | ||||||
| Dividends from affiliates |
4 | — | (a) | |||||
| Due from adviser |
— | 3 | ||||||
|
|
|
|
|
|||||
| Total Assets |
2,154,315 | 86,266 | ||||||
|
|
|
|
|
|||||
| LIABILITIES: |
||||||||
| Payables: |
||||||||
| Investment securities purchased |
3,567 | 200 | ||||||
| Investment securities purchased — delayed delivery securities |
76,545 | 363 | ||||||
| Accrued liabilities: |
||||||||
| Investment advisory fees |
179 | — | ||||||
| Custodian and accounting fees |
21 | 8 | ||||||
| Other |
51 | 33 | ||||||
|
|
|
|
|
|||||
| Total Liabilities |
80,363 | 604 | ||||||
|
|
|
|
|
|||||
| Net Assets |
$ | 2,073,952 | $ | 85,662 | ||||
|
|
|
|
|
|||||
| NET ASSETS: |
| |||||||
|
Paid-in-Capital |
$ | 2,084,554 | $ | 85,522 | ||||
| Total distributable earnings (loss) |
(10,602 | ) | 140 | |||||
|
|
|
|
|
|||||
| Total Net Assets |
$ | 2,073,952 | $ | 85,662 | ||||
|
|
|
|
|
|||||
| Outstanding units of beneficial interest (shares) |
||||||||
| ($0.0001 par value; unlimited number of shares authorized): |
207,749 | 9,044 | ||||||
| Net asset value, offering and redemption price per share (b) |
$ | 9.98 | $ | 9.47 | ||||
|
|
|
|
|
|||||
| Cost of investments in non-affiliates |
$ | 2,058,701 | $ | 84,034 | ||||
| Cost of investments in affiliates |
80,982 | 1,357 | ||||||
| (a) | Amount rounds to less than one thousand. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 59 | ||||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2022
(Amounts in thousands)
| JPMorgan Core Bond Trust |
JPMorgan Intermediate Bond Trust |
|||||||
| INVESTMENT INCOME: |
| |||||||
| Interest income from non-affiliates |
$ | 55,263 | $ | 2,335 | ||||
| Dividend income from affiliates |
61 | 1 | ||||||
|
|
|
|
|
|||||
| Total investment income |
55,324 | 2,336 | ||||||
|
|
|
|
|
|||||
| EXPENSES: |
||||||||
| Investment advisory fees |
5,944 | 259 | ||||||
| Administration fees |
2,123 | 93 | ||||||
| Custodian and accounting fees |
167 | 71 | ||||||
| Interest expense to affiliates |
— | (a) | — | |||||
| Professional fees |
116 | 64 | ||||||
| Trustees’ and Chief Compliance Officer’s fees |
31 | 25 | ||||||
| Printing and mailing costs |
23 | 1 | ||||||
| Transfer agency fees |
14 | 1 | ||||||
| Other |
120 | 11 | ||||||
|
|
|
|
|
|||||
| Total expenses |
8,538 | 525 | ||||||
|
|
|
|
|
|||||
| Less fees waived |
(5,482 | ) | (355 | ) | ||||
| Less expense reimbursements |
— | (33 | ) | |||||
|
|
|
|
|
|||||
| Net expenses |
3,056 | 137 | ||||||
|
|
|
|
|
|||||
| Net investment income (loss) |
52,268 | 2,199 | ||||||
|
|
|
|
|
|||||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||
| Net realized gain (loss) on transactions from: |
||||||||
| Investments in non-affiliates |
6,279 | 299 | ||||||
| Investments in affiliates |
(18 | ) | — | (a) | ||||
|
|
|
|
|
|||||
| Net realized gain (loss) |
6,261 | 299 | ||||||
|
|
|
|
|
|||||
| Change in net unrealized appreciation/depreciation on: |
||||||||
| Investments in non-affiliates |
(99,786 | ) | (4,311 | ) | ||||
| Investments in affiliates |
(5 | ) | — | (a) | ||||
|
|
|
|
|
|||||
| Change in net unrealized appreciation/depreciation |
(99,791 | ) | (4,311 | ) | ||||
|
|
|
|
|
|||||
| Net realized/unrealized gains (losses) |
(93,530 | ) | (4,012 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
$ | (41,262 | ) | $ | (1,813 | ) | ||
|
|
|
|
|
|||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Core Bond Trust | JPMorgan Intermediate Bond Trust | |||||||||||||||
| Year Ended February 28, 2022 |
Year Ended February 28, 2021 |
Year Ended February 28, 2022 |
Year Ended February 28, 2021 |
|||||||||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 52,268 | $ | 58,263 | $ | 2,199 | $ | 3,307 | ||||||||
| Net realized gain (loss) |
6,261 | 48,621 | 299 | 2,760 | ||||||||||||
| Change in net unrealized appreciation/depreciation |
(99,791 | ) | (62,702 | ) | (4,311 | ) | (2,546 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
(41,262 | ) | 44,182 | (1,813 | ) | 3,521 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Total distributions to shareholders |
(67,247 | ) | (108,836 | ) | (3,003 | ) | (4,940 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Proceeds from shares issued |
372,391 | 784,534 | 3,085 | 5,450 | ||||||||||||
| Distributions reinvested |
62,290 | 103,812 | 2,025 | 3,651 | ||||||||||||
| Cost of shares redeemed |
(472,906 | ) | (662,720 | ) | (19,782 | ) | (42,534 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from capital transactions |
(38,225 | ) | 225,626 | (14,672 | ) | (33,433 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS: |
||||||||||||||||
| Change in net assets |
(146,734 | ) | 160,972 | (19,488 | ) | (34,852 | ) | |||||||||
| Beginning of period |
2,220,686 | 2,059,714 | 105,150 | 140,002 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 2,073,952 | $ | 2,220,686 | $ | 85,662 | $ | 105,150 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| SHARE TRANSACTIONS: |
||||||||||||||||
| Issued |
35,822 | 72,882 | 311 | 535 | ||||||||||||
| Reinvested |
6,006 | 9,653 | 207 | 358 | ||||||||||||
| Redeemed |
(45,563 | ) | (61,771 | ) | (1,987 | ) | (4,135 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Shares |
(3,735 | ) | 20,764 | (1,469 | ) | (3,242 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 61 | ||||||||
Table of Contents
FOR THE PERIODS INDICATED
|
|
Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Core Bond Trust |
| |||||||||||||||||||||||||||
| Year Ended February 28, 2022 |
$ | 10.50 | $ | 0.26 | $ | (0.45 | ) | $ | (0.19 | ) | $ | (0.26 | ) | $ | (0.07 | ) | $ | (0.33 | ) | |||||||||
| Year Ended February 28, 2021 |
10.80 | 0.31 | (0.03 | ) | 0.28 | (0.31 | ) | (0.27 | ) | (0.58 | ) | |||||||||||||||||
| Year Ended February 29, 2020 |
9.97 | 0.34 | 0.87 | 1.21 | (0.34 | ) | (0.04 | ) | (0.38 | ) | ||||||||||||||||||
| Year Ended February 28, 2019 |
10.03 | 0.34 | (0.03 | ) | 0.31 | (0.34 | ) | (0.03 | ) | (0.37 | ) | |||||||||||||||||
| Year Ended February 28, 2018 |
10.33 | 0.35 | (0.18 | ) | 0.17 | (0.35 | ) | (0.12 | ) | (0.47 | ) | |||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (b) |
Net assets, end of period (000’s) |
Net expenses (c) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits |
Portfolio turnover rate |
||||||||||||||||||||
| $ | 9.98 | (1.92 | )% | $ | 2,073,952 | 0.14 | % | 2.46 | % | 0.40 | % | 66 | % | |||||||||||||
| 10.50 | 2.57 | 2,220,686 | 0.14 | 2.89 | 0.40 | 66 | ||||||||||||||||||||
| 10.80 | 12.32 | 2,059,714 | 0.14 | 3.25 | 0.41 | 32 | ||||||||||||||||||||
| 9.97 | 3.16 | 1,876,288 | 0.15 | 3.42 | 0.42 | 17 | ||||||||||||||||||||
| 10.03 | 1.59 | 2,218,802 | 0.15 | 3.36 | 0.43 | 18 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 63 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Intermediate Bond Trust |
| |||||||||||||||||||||||||||
| Year Ended February 28, 2022 |
$ | 10.00 | $ | 0.23 | $ | (0.43 | ) | $ | (0.20 | ) | $ | (0.24 | ) | $ | (0.09 | ) | $ | (0.33 | ) | |||||||||
| Year Ended February 28, 2021 |
10.18 | 0.27 | (0.02 | )(d) | 0.25 | (0.27 | ) | (0.16 | ) | (0.43 | ) | |||||||||||||||||
| Year Ended February 29, 2020 |
9.65 | 0.31 | 0.53 | 0.84 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
| Year Ended February 28, 2019 |
9.63 | 0.31 | 0.02 | 0.33 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
| Year Ended February 28, 2018 |
9.87 | 0.30 | (0.20 | ) | 0.10 | (0.30 | ) | (0.04 | ) | (0.34 | ) | |||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | Calculation of the net realized and unrealized gains (losses) per share does not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (b) |
Net assets, end of period (000’s) |
Net expenses (c) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits |
Portfolio turnover rate |
||||||||||||||||||||
| $ | 9.47 | (2.10 | )% | $ | 85,662 | 0.15 | % | 2.38 | % | 0.57 | % | 36 | % | |||||||||||||
| 10.00 | 2.42 | 105,150 | 0.15 | 2.63 | 0.52 | 40 | ||||||||||||||||||||
| 10.18 | 8.79 | 140,002 | 0.15 | 3.08 | 0.54 | 23 | ||||||||||||||||||||
| 9.65 | 3.47 | 143,173 | 0.15 | 3.18 | 0.53 | 32 | ||||||||||||||||||||
| 9.63 | 1.00 | 162,046 | 0.15 | 3.00 | 0.53 | 56 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 65 | ||||||||
Table of Contents
AS OF FEBRUARY 28, 2022
(Dollar values in thousands)
1. Organization
JPMorgan Institutional Trust (the “Trust”) was organized on September 14, 2004 as a Delaware statutory trust, pursuant to a Declaration of Trust dated September 14, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The following are two separate diversified series of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report: JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust.
The investment objective of JPMorgan Core Bond Trust (“Core Bond Trust”) is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
The investment objective of JPMorgan Intermediate Bond Trust (“Intermediate Bond Trust”) is to seek current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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.
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 Funds. 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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“Underlying Funds”) are valued at each Underlying Fund’s net asset values (“NAV”) per share as of the report date.
See the tables 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 Funds at February 28, 2022.
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. |
| 66 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
| • | 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 instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):
Core Bond Trust
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
|
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| Asset-Backed Securities |
$ | — | $ | 169,238 | $ | 59,313 | $ | 228,551 | ||||||||
| Collateralized Mortgage Obligations |
— | 219,070 | 14,123 | 233,193 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 79,135 | 1,684 | 80,819 | ||||||||||||
| Corporate Bonds |
— | 563,008 | — | 563,008 | ||||||||||||
| Foreign Government Securities |
— | 9,507 | — | 9,507 | ||||||||||||
| Loan Assignments |
— | 3,514 | — | 3,514 | ||||||||||||
| Mortgage-Backed Securities |
— | 337,515 | — | 337,515 | ||||||||||||
| Municipal Bonds |
— | 11,842 | — | 11,842 | ||||||||||||
| U.S. Government Agency Securities |
— | 15,276 | — | 15,276 | ||||||||||||
| U.S. Treasury Obligations |
— | 565,609 | — | 565,609 | ||||||||||||
| Short-Term Investments |
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| Investment Companies |
80,987 | — | — | 80,987 | ||||||||||||
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| Total Investments in Securities |
$ | 80,987 | $ | 1,973,714 | $ | 75,120 | $ | 2,129,821 | ||||||||
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Intermediate Bond Trust
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
|
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| Asset-Backed Securities |
$ | — | $ | 8,096 | $ | 124 | $ | 8,220 | ||||||||
| Collateralized Mortgage Obligations |
— | 13,319 | 496 | 13,815 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 6,915 | — | 6,915 | ||||||||||||
| Corporate Bonds |
— | 25,082 | — | 25,082 | ||||||||||||
| Foreign Government Securities |
— | 183 | — | 183 | ||||||||||||
| Mortgage-Backed Securities |
— | 8,469 | — | 8,469 | ||||||||||||
| U.S. Government Agency Securities |
— | 56 | — | 56 | ||||||||||||
| U.S. Treasury Obligations |
— | 21,663 | — | 21,663 | ||||||||||||
| Short-Term Investments |
|
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| Investment Companies |
1,357 | — | — | 1,357 | ||||||||||||
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| Total Investments in Securities |
$ | 1,357 | $ | 83,783 | $ | 620 | $ | 85,760 | ||||||||
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The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| Core Bond Trust | Balance as of February 28, 2021 |
Realized gain (loss) |
Change in net unrealized appreciation (depreciation) |
Net accretion |
Purchases1 | Sales2 | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of February 28, 2022 |
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| Investments in Securities: |
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| Asset-Backed Securities |
$ | 58,045 | $ | — | $ | (2,462 | ) | $ | (106 | ) | $ | 20,387 | $ | (12,984 | ) | $ | — | $ | (3,567 | ) | $ | 59,313 | ||||||||||||||
| Collateralized Mortgage Obligations |
32,493 | — | (a) | (1,295 | ) | (845 | ) | 5,620 | (21,850 | ) | — | — | 14,123 | |||||||||||||||||||||||
| Commercial Mortgage-Backed Securities |
4,574 | — | (77 | ) | (115 | ) | 4 | — | (a) | — | (2,702 | ) | 1,684 | |||||||||||||||||||||||
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| Total |
$ | 95,112 | $ | — | (a) | $ | (3,834 | ) | $ | (1,066 | ) | $ | 26,011 | $ | (34,834 | ) | $ | — | $ | (6,269 | ) | $ | 75,120 | |||||||||||||
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| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 67 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2022 (continued)
(Dollar values in thousands)
| 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 February 28, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(3,629). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
There were no significant transfers into or out of level 3 for the year ended February 28, 2022.
| Intermediate Bond Trust | Balance as of February 28, 2021 |
Realized gain (loss) |
Change in net unrealized appreciation (depreciation) |
Net accretion |
Purchases1 | Sales2 | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of February 28, 2022 |
|||||||||||||||||||||||||||
| Investments in Securities: |
||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities |
$ | 894 | $ | — | $ | (14 | ) | $ | — | (a) | $ | 100 | $ | (856 | ) | $ | — | $ | — | $ | 124 | |||||||||||||||
| Collateralized Mortgage Obligations |
654 | — | (29 | ) | — | (a) | 1 | (130 | ) | — | — | 496 | ||||||||||||||||||||||||
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| Total |
$ | 1,548 | $ | — | $ | (43 | ) | $ | — | (a) | $ | 101 | $ | (986 | ) | $ | — | $ | — | $ | 620 | |||||||||||||||
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| 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| 2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| (a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(38). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
The significant unobservable inputs used in the fair value measurement of the Funds’ investments are listed below. 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 enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Core Bond Trust
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at February 28, 2022 |
Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
| $ | 48,555 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (5.98%) | ||||||||
| Constant Default Rate | 0.00% - 4.92% (0.07%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 1.26% - 5.73% (3.64%) | |||||||||||
|
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| Asset-Backed Securities | 48,555 | |||||||||||
|
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|
|
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|
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| 7,632 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (69.62%) | |||||||||
| Constant Default Rate | 0.00% - 6.69% (0.89%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 1.91% - 19.30% (6.12%) | |||||||||||
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| Collateralized Mortgage Obligations | 7,632 | |||||||||||
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| 1,684 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (0.46%) | |||||||||
| Yield (Discount Rate of Cash Flows) | -0.87% - 6.53% (4.90%) | |||||||||||
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|
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| Commercial Mortgage-Backed Securities | 1,684 | |||||||||||
|
|
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| Total | $ | 57,871 | ||||||||||
|
|
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| # | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2022, the value of these investments was $17,249. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| (a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
| 68 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
Intermediate Bond Trust
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at February 28, 2022 |
Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
| $ | 124 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 5.00% (1.19%) | ||||||||
| Constant Default Rate | 0.00% - 4.92% (0.66%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 2.72% - 4.28% (3.98%) | |||||||||||
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| Asset-Backed Securities | 124 | |||||||||||
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|
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| 492 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (94.38%) | |||||||||
| Constant Default Rate | 0.00% - 2.85% (0.14%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 2.70% - 9.44% (2.94%) | |||||||||||
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| Collateralized Mortgage Obligations | 492 | |||||||||||
|
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| Total | $ | 616 | ||||||||||
|
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| # | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2022, the value of these investments was $4. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| (a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of February 28, 2022, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Loan Assignments — Core Bond Trust invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The above Fund invested in loan assignments of all or a portion of the loans. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan, provided, however, the Fund’s rights may be more limited than the Lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, a Fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). A Fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to claims by their creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower.
Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid when purchased, may become illiquid and difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a Fund may not receive the proceeds from a sale of such investments for a period after the sale.
D. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 69 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2022 (continued)
(Dollar values in thousands)
The Funds may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Fund’s transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Fund is held in a segregated account at the Fund’s custodian bank and is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan. These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.
The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of February 28, 2022, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at February 28, 2022 are detailed on the SOIs.
The Funds’ delayed delivery securities collateral requirements and collateral posted or received by counterparty as of February 28, 2022 are as follows:
| Fund |
Counterparty | Collateral amount |
||||||||
| Core Bond Trust |
Collateral Posted | Goldman Sachs & Co. LLC | $ | 550 | ||||||
E. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
The Funds did not have any securities out on loan at February 28, 2022.
F. Investment Transactions with Affiliates — The Funds invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuer listed in the tables below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Core Bond Trust
| For the year ended February 28, 2022 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at February 28, 2021 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at February 28, 2022 |
Shares at February 28, 2022 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 108,295 | $ | 720,581 | $ | 747,866 | $ | (18 | ) | $ | (5 | ) | $ | 80,987 | 80,963 | $ | 61 | $ | — | |||||||||||||||||
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| 70 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
Table of Contents
Intermediate Bond Trust
| For the year ended February 28, 2022 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at February 28, 2021 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at February 28, 2022 |
Shares at February 28, 2022 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, |
$ | 3,631 | $ | 20,406 | $ | 22,680 | $ | — | (c) | $ | — | (c) | $ | 1,357 | 1,357 | $ | 1 | $ | — | |||||||||||||||||
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| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of February 28, 2022. |
| (c) | Amount rounds to less than one thousand. |
G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Core Bond Trust invests in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statements of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
H. Allocation of Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds.
I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 28, 2022, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
J. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income |
Accumulated net realized gains (losses) |
||||||||||
| Core Bond Trust |
$ | — | $ | (12 | ) | $ | 12 | |||||
| Intermediate Bond Trust |
— | 1 | (1 | ) | ||||||||
The reclassifications for the Funds relate primarily to callable bond adjustments and investments in perpetual bonds.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 71 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2022 (continued)
(Dollar values in thousands)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.28% of each Fund’s respective average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at a rate of 0.10% of the Funds’ average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
D. Placement Agent — J.P. Morgan Institutional Investments, Inc. (the “Placement Agent”), a registered broker-dealer affiliated with the Adviser, serves as the Funds’ Placement Agent. The Placement Agent processes subscriptions for shares and provides various sales support activities in connection with the Funds’ private placement of its shares.
E. Waivers and Reimbursements — The Adviser and Administrator have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ average daily net assets as shown in the table below:
| Core Bond Trust |
0.15 | % | ||
| Intermediate Bond Trust |
0.15 |
The expense limitation agreements were in effect for the year ended February 28, 2022 and the contractual expense limitation percentages in the table above are in place until at least June 30, 2022.
For the year ended February 28, 2022, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Total | Contractual Reimbursements |
|||||||||||||
| Core Bond Trust |
$ | 3,225 | $ | 2,123 | $ | 5,348 | $ | — | ||||||||
| Intermediate Bond Trust |
259 | 93 | 352 | 33 | ||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser and Administrator have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the year ended February 28, 2022 were as follows:
| Core Bond Trust |
$ | 134 | ||
| Intermediate Bond Trust |
3 |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through February 28, 2022 the amount of these waivers were as follows:
| Core Bond Trust |
$ | — | (a) | |
| Intermediate Bond Trust |
— | (a) |
| (a) | Amount rounds to less than one thousand. |
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F. Other — Certain officers of the Trust are affiliated with the Adviser and the Administrator. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2022, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 28, 2022, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases (excluding U.S. Government) |
Sales (excluding U.S. Government) |
Purchases of U.S. Government |
Sales of U.S. Government |
|||||||||||||
| Core Bond Trust |
$ | 1,047,195 | $ | 1,135,105 | $ | 321,149 | $ | 315,451 | ||||||||
| Intermediate Bond Trust |
13,820 | 25,845 | 18,626 | 19,526 | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2022 were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| Core Bond Trust |
$ | 2,140,864 | $ | 40,759 | $ | 51,802 | $ | (11,043 | ) | |||||||
| Intermediate Bond Trust |
85,465 | 1,556 | 1,261 | 295 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bond adjustments.
The tax character of distributions paid during the year ended February 28, 2022 was as follows:
| Ordinary Income* |
Net Long-Term Capital Gains |
Total Distributions Paid |
||||||||||
| Core Bond Trust |
$ | 52,729 | $ | 14,518 | $ | 67,247 | ||||||
| Intermediate Bond Trust |
2,208 | 795 | 3,003 | |||||||||
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended February 28, 2021 was as follows:
| Ordinary Income* |
Net Long-Term Capital Gains |
Total |
||||||||||
| Core Bond Trust |
$ | 64,267 | $ | 44,569 | $ | 108,836 | ||||||
| Intermediate Bond Trust |
3,308 | 1,632 | 4,940 | |||||||||
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 28, 2022, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current Distributable Ordinary Income |
Unrealized Appreciation (Depreciation) |
|||||||
| Core Bond Trust |
$ | 519 | $ | (11,043 | ) | |||
| Intermediate Bond Trust |
14 | 295 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2022 (continued)
(Dollar values in thousands)
The cumulative timing differences primarily consist of callable bond adjustments.
Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 28, 2022, the Funds deferred to March 1, 2022 the following net capital losses of:
| Net Capital Losses (Gains) | ||||||||
| Short-Term | Long-Term | |||||||
| Core Bond Trust |
$ | 1,735 | $ | (1,730 | ) | |||
| Intermediate Bond Trust |
156 | (25 | ) | |||||
At February 28, 2022, the Funds did not have any net capital loss carryforwards.
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended February 28, 2022.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 28, 2022.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, which was decreased from 1.25% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month London Interbank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended February 28, 2022.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
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As of February 28, 2022, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| Number
of Individual Shareholder and/or Non-Affiliated Omnibus Accounts |
% of the Fund |
|||||||
| Core Bond Trust |
1 | 16.4 | % | |||||
| Intermediate Bond Trust |
4 | 82.5 | ||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Funds are subject to the risk that, should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Funds’ yield (and total return) also may be low or the Funds may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund’s investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 75 | ||||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Institutional Trust and Shareholders of JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (constituting JPMorgan Institutional Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2022, the related statements of operations for the year ended February 28, 2022, the statements of changes in net assets for each of the two years in the period ended February 28, 2022, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2022 and each of the financial highlights for each of the five years in the period ended February 28, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
April 27, 2022
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| 76 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
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(Unaudited)
The following table includes additional information on the Funds’ Trustees.
| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees |
||||||
| John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 172 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). | |||
| Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 172 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
| Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 172 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). | |||
| Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 172 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
| Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 172 | None | |||
| Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 172 | None | |||
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 77 | ||||||||
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TRUSTEES
(Unaudited) (continued)
| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees (continued) |
||||||
| Raymond Kanner (1953); Trustee since 2017. |
Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 172 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
| Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 172 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). | |||
| Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 172 | Director, ICI Mutual Insurance Company (1999-2013). | |||
| Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 172 | None | |||
| Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 172 | None | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 172 | Trustee, The Coldwater Conservation Fund; Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth-Hitchcock Medical Center (2011-2020). | |||
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| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees (continued) |
||||||
| Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 172 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013-present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 172 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). | |||
| Independent Trustees |
||||||
| Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of the Global ETF Business for JPMorgan Asset Management (2013-2017); Head of the Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 172 | Treasurer and Director of the JUST Capital Foundation (2017-present). | |||
| Nina O. Shenker** (1957) Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 172 | Director and Member of Executive Committee and Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). | |||
| (1) | The year shown is the first year in which a Trustee became a member of any of the following: the Mutual Fund Board, the ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (172 J.P. Morgan Funds). |
| * | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
| ** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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(Unaudited)
| Name (Year of Birth), Positions Held with the Trust (Since) |
Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* |
Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
| Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) |
Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
| Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019)** |
Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) |
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Kiesha Astwood-Smith (1973), Assistant Secretary (2021)** |
Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from 2015 to 2021. | |
| Matthew Beck (1988), Assistant Secretary (2021)*** |
Vice President and Assistant General Counsel, JPMorgan Chase since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. | |
| Elizabeth A. Davin (1964), Assistant Secretary (2005)*** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)*** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| Anthony Geron (1971), Assistant Secretary (2018)** |
Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011)** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
| Max Vogel (1990), Assistant Secretary (2021)** |
Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 through June 2021; Associate, Stroock & Stroock & Lavan LLP (law firm) from October 2015 through March 2017. | |
| Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** |
Vice President and Assistant General Counsel, JPMorgan Chase since September 2016. | |
| Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) |
Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
| Aleksandr Fleytekh (1972), Assistant Treasurer (2019) |
Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
| Shannon Gaines (1977), Assistant Treasurer (2018)*** |
Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
| Jeffrey D. House (1972), Assistant Treasurer (2017)*** |
Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
| Michael Mannarino (1985), Assistant Treasurer (2020) |
Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011)* |
Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. | |
| Gillian I. Sands (1969), Assistant Treasurer (2012) |
Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. | |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| ** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| *** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| 80 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, September 1, 2021, and continued to hold your shares at the end of the reporting period, February 28, 2022.
Actual Expenses
For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Fund under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs or the costs associated with the investment advisory accounts through which the Fund is held. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value September 1, 2021 |
Ending Account Value February 28, 2022 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Core Bond Trust |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 963.80 | $ | 0.68 | 0.14 | % | ||||||||
| Hypothetical |
1,000.00 | 1,024.10 | 0.70 | 0.14 | ||||||||||||
| JPMorgan Intermediate Bond Trust |
||||||||||||||||
| Actual |
1,000.00 | 970.80 | 0.73 | 0.15 | ||||||||||||
| Hypothetical |
1,000.00 | 1,024.05 | 0.75 | 0.15 | ||||||||||||
| * | Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 81 | ||||||||
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity
Rule in some respects. The Report discussed the implementation of these changes. No other material changes were made to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined or modified under the Program) and the procedures for monitoring for this limit; ; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| 82 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
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(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2022. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2022. The information necessary to complete your income tax returns for the calendar year ending December 31, 2022 will be provided under separate cover.
Long-Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 28, 2022:
| Long-Term Capital Gain Distribution |
||||
| JPMorgan Core Bond Trust |
$ | 14,518 | ||
| JPMorgan Intermediate Bond Trust |
795 | |||
Treasury Income
Each Fund listed below had the following percentage, or maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2022:
| Income from U.S. Treasury Obligations |
||||
| JPMorgan Core Bond Trust |
14.8 | % | ||
| JPMorgan Intermediate Bond Trust |
12.2 | |||
| FEBRUARY 28, 2022 | JPMORGAN INSTITUTIONAL TRUST FUNDS | 83 | ||||||||
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPMorgan Institutional Trust ( the “Trust”) held a special meeting of shareholders on October 27, 2021, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the Trust, including each of the Funds. The results of the voting were as follows:
| Votes Received (Amounts in thousands) |
||||
| Independent Nominee |
||||
| John F. Finn | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Steven P. Fisher | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Gary L. French | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Kathleen M. Gallagher | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Robert J. Grassi | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Frankie D. Hughes | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Raymond Kanner | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Thomas P. Lemke | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Votes Received (Amounts in thousands) |
||||
| Lawrence R. Maffia | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Mary E. Martinez | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Marilyn McCoy | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Dr. Robert A. Oden, Jr. | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Marian U. Pardo | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Emily A. Youssouf | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Interested Nominee |
||||
| Robert F. Deutsch | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| Nina O. Shenker | ||||
| In Favor |
206,256 | |||
| Withheld |
0 | |||
| 84 | JPMORGAN INSTITUTIONAL TRUST FUNDS | FEBRUARY 28, 2022 | ||||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? | |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? |
Can you limit
this sharing? | ||
| For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus |
Yes | No | ||
| For marketing purposes — to offer our products and services to you |
Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
| For our affiliates’ everyday business purposes — information about your transactions and experiences |
No | We don’t share | ||
| For our affiliates’ everyday business purposes — information about your creditworthiness |
No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share | ||
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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|
Page 2 |
||
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
| How does J.P. Morgan Funds collect my personal information? |
We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. | |
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FOR MORE INFORMATION:
INVESTMENT ADVISER
J.P. Morgan Investment Management Inc.
277 Park Avenue
New York, New York 10172
PLACEMENT AGENT
JPMorgan Institutional Investments, Inc.
277 Park Avenue
New York, New York 10172
This report is open and authorized for distribution only to qualified and accredited investors who have received a copy of the Funds’ Confidential Offering Memorandum. This document may not be copied, faxed or otherwise distributed to the general public.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. Each Fund’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-343-1113 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record is available on the SEC’s website at www.sec.gov. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2022. All rights reserved. February 2022. | AN-INSTT-222 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is Kathleen M. Gallagher. She is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
On April 1, 2021, Kathleen M. Gallagher replaced Dennis P. Harrington as the audit committee financial expert. Mr. Harrington was not an “interested person” of the Registrant and was “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
| AUDIT FEES |
| 2022 – $111,221 |
| 2021 – $111,823 |
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
| AUDIT-RELATED FEES |
| 2022 – $13,310 |
| 2021 – $13,311 |
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
| TAX FEES |
| 2022 – $17,425 |
| 2021 – $17,429 |
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2022 and 2021, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
| ALL OTHER FEES |
| 2022 – Not applicable |
| 2021 – Not applicable |
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the
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“Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
| 2022 – 0.0% 2021 – 0.0% |
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable – Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
| 2021 – $30.5 million 2020 – $30.0 million |
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
| (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Institutional Trust
| By: | /s/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| May 4, 2022 |
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 | ||
| May 4, 2022 | ||
| By: | /s/ Timothy J. Clemens | |
| Timothy J. Clemens | ||
| Treasurer and Principal Financial Officer | ||
| May 4, 2022 | ||