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)
Registrants telephone number, including area code: (800) 343-1113
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2022 through August 31, 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.
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 Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
JPMorgan Core Bond Trust |
JPMorgan Intermediate Bond Trust |
|
|
1 | |
2 | |
| |
3 | |
5 | |
7 | |
55 | |
58 | |
62 | |
73 | |
74 |
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“Amid the challenges in financial markets, J.P. Morgan Asset Manage- ment will continue seeking to deliver strong client outcomes across a broad range of innovative solutions. Our fundamental practices and principles fuel the time-tested risk management process and research driven approach that have driven our success for decades.” — Andrea L. Lisher |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
1 |
2 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
REPORTING PERIOD RETURN: |
|
Fund * |
(7.08)% |
Bloomberg U.S. Aggregate Index |
(7.76)% |
Net Assets as of 8/31/2022 (In Thousands) |
$2,051,300 |
Duration as of 8/31/2022 |
6.2 Years |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF August 31,
2022 |
PERCENT OF TOTAL
INVESTMENTS |
U.S. Treasury Obligations |
28.6% |
Corporate Bonds |
23.1 |
Mortgage-Backed Securities |
17.6 |
Asset-Backed Securities |
11.8 |
Collateralized Mortgage Obligations |
8.2 |
Commercial Mortgage-Backed Securities |
3.9 |
Others (each less than 1.0%) |
1.6 |
Short-Term Investments |
5.2 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
3 |
|
INCEPTION
DATE OF FUND |
6 MONTH* |
1 YEAR |
5 YEAR |
10 YEAR |
|
February 7, 2005 |
(7.08)% |
(10.44)% |
1.28% |
2.01% |
| |
* |
Not annualized. |
4 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
REPORTING PERIOD RETURN: |
|
Fund * |
(4.74)% |
Bloomberg Intermediate U.S. Government/Credit Index |
(5.14)% |
Net Assets as of 8/31/2022 (In Thousands) |
$80,870 |
Duration as of 8/31/2022 |
3.6 Years |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF August 31,
2022 |
PERCENT OF TOTAL
INVESTMENTS |
U.S. Treasury Obligations |
33.4% |
Corporate Bonds |
25.7 |
Collateralized Mortgage Obligations |
14.0 |
Asset-Backed Securities |
9.3 |
Mortgage-Backed Securities |
7.9 |
Commercial Mortgage-Backed Securities |
7.5 |
Others (each less than 1.0%) |
0.3 |
Short-Term Investments |
1.9 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
5 |
|
INCEPTION
DATE OF FUND |
6 MONTH* |
1 YEAR |
5 YEAR |
10 YEAR |
|
February 7, 2005 |
(4.74)% |
(7.52)% |
1.18% |
1.68% |
| |
* |
Not annualized. |
6 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
U.S. Treasury Obligations — 29.6% | ||
U.S. Treasury Bonds |
|
|
4.38%, 2/15/2038 |
447 |
510 |
3.50%, 2/15/2039 |
961 |
984 |
4.25%, 5/15/2039 |
3,300 |
3,704 |
1.13%, 5/15/2040 |
11,555 |
7,865 |
4.38%, 5/15/2040 |
11,000 |
12,467 |
3.88%, 8/15/2040 |
21,115 |
22,350 |
1.88%, 2/15/2041 |
7,095 |
5,436 |
2.25%, 5/15/2041 |
18,355 |
14,968 |
1.75%, 8/15/2041 |
980 |
728 |
2.00%, 11/15/2041 |
1,160 |
901 |
2.38%, 2/15/2042 |
18,550 |
15,376 |
2.75%, 11/15/2042 |
3,800 |
3,331 |
3.63%, 8/15/2043 |
5,214 |
5,240 |
3.75%, 11/15/2043 |
238 |
244 |
3.00%, 11/15/2044 |
8,200 |
7,415 |
2.88%, 8/15/2045 |
2,795 |
2,471 |
2.25%, 8/15/2046 |
13,193 |
10,328 |
3.00%, 2/15/2047 |
548 |
497 |
3.13%, 5/15/2048 |
3,757 |
3,535 |
2.25%, 8/15/2049 |
8,965 |
7,180 |
2.38%, 11/15/2049 |
3,700 |
3,049 |
2.00%, 2/15/2050 |
5,329 |
4,031 |
1.25%, 5/15/2050 |
6,152 |
3,804 |
1.38%, 8/15/2050 |
565 |
361 |
1.63%, 11/15/2050 |
8,800 |
6,021 |
1.88%, 2/15/2051 |
18,386 |
13,416 |
2.00%, 8/15/2051 |
16,100 |
12,095 |
1.88%, 11/15/2051 |
7,225 |
5,261 |
2.25%, 2/15/2052 |
10,625 |
8,487 |
2.88%, 5/15/2052 |
2,025 |
1,866 |
3.00%, 8/15/2052 |
13,000 |
12,324 |
U.S. Treasury Inflation Indexed Bonds |
|
|
1.75%, 1/15/2028 |
300 |
445 |
3.63%, 4/15/2028 |
799 |
1,688 |
2.50%, 1/15/2029 |
300 |
458 |
U.S. Treasury Notes |
|
|
2.88%, 4/30/2025 |
21,212 |
20,871 |
2.13%, 5/15/2025 |
355 |
342 |
0.38%, 12/31/2025 |
10,000 |
9,026 |
0.38%, 1/31/2026 |
1,840 |
1,656 |
0.50%, 2/28/2026 |
7,870 |
7,101 |
2.50%, 2/28/2026 |
560 |
542 |
0.75%, 4/30/2026 |
1,130 |
1,025 |
0.88%, 6/30/2026 |
3,195 |
2,901 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
0.88%, 9/30/2026 |
21,887 |
19,773 |
1.75%, 12/31/2026 |
9,369 |
8,756 |
2.63%, 5/31/2027 |
12,000 |
11,622 |
3.25%, 6/30/2027 |
12,000 |
11,943 |
2.75%, 7/31/2027 |
7,950 |
7,737 |
3.13%, 8/31/2027 |
45,000 |
44,599 |
0.38%, 9/30/2027 |
4,690 |
4,043 |
0.75%, 1/31/2028 |
4,500 |
3,922 |
1.25%, 3/31/2028 |
9,800 |
8,747 |
1.25%, 4/30/2028 |
17,110 |
15,251 |
1.25%, 6/30/2028 |
27,020 |
24,009 |
1.00%, 7/31/2028 |
9,500 |
8,305 |
1.75%, 1/31/2029 |
3,850 |
3,501 |
1.88%, 2/28/2029 |
12,700 |
11,641 |
2.88%, 4/30/2029 |
30,400 |
29,562 |
2.75%, 5/31/2029 |
130 |
125 |
3.25%, 6/30/2029 |
30,000 |
29,878 |
3.13%, 8/31/2029 |
19,000 |
18,813 |
1.50%, 2/15/2030 |
895 |
794 |
1.25%, 8/15/2031 |
1,040 |
885 |
1.38%, 11/15/2031 |
1,174 |
1,005 |
1.88%, 2/15/2032 |
27,100 |
24,229 |
2.88%, 5/15/2032 |
5,725 |
5,580 |
2.75%, 8/15/2032 |
36,000 |
34,729 |
U.S. Treasury STRIPS Bonds |
|
|
4.36%, 2/15/2023 (a) |
23,462 |
23,161 |
1.87%, 8/15/2024 (a) |
10,600 |
9,930 |
7.90%, 5/15/2026 (a) |
1,500 |
1,323 |
3.83%, 8/15/2026 (a) |
1,592 |
1,394 |
2.48%, 11/15/2041 (a) |
500 |
246 |
Total U.S. Treasury Obligations (Cost $675,841) |
|
607,803 |
Corporate Bonds — 23.9% | ||
Aerospace & Defense — 0.8% | ||
Airbus SE (France) 3.95%, 4/10/2047 (b) |
150 |
129 |
BAE Systems plc (United Kingdom) |
|
|
1.90%, 2/15/2031 (b) |
1,007 |
808 |
3.00%, 9/15/2050 (b) |
502 |
356 |
Boeing Co. (The) |
|
|
1.17%, 2/4/2023 |
1,115 |
1,103 |
1.95%, 2/1/2024 |
1,030 |
997 |
1.43%, 2/4/2024 |
2,265 |
2,171 |
4.88%, 5/1/2025 |
605 |
607 |
2.75%, 2/1/2026 |
701 |
656 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
7 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Aerospace & Defense — continued | ||
2.20%, 2/4/2026 |
1,385 |
1,267 |
3.10%, 5/1/2026 |
320 |
302 |
5.04%, 5/1/2027 |
960 |
957 |
3.25%, 3/1/2028 |
840 |
765 |
5.15%, 5/1/2030 |
940 |
925 |
5.71%, 5/1/2040 |
745 |
711 |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 |
840 |
669 |
Leidos, Inc. 2.30%, 2/15/2031 |
465 |
365 |
Raytheon Technologies Corp. |
|
|
3.20%, 3/15/2024 |
350 |
346 |
4.50%, 6/1/2042 |
2,799 |
2,651 |
4.15%, 5/15/2045 |
543 |
477 |
4.35%, 4/15/2047 |
199 |
181 |
|
|
16,443 |
Airlines — 0.0% ^ | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 |
122 |
116 |
Auto Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 |
445 |
343 |
Automobiles — 0.5% | ||
General Motors Co. 6.13%, 10/1/2025 |
515 |
530 |
Hyundai Capital America |
|
|
1.15%, 11/10/2022 (b) |
1,500 |
1,493 |
1.80%, 10/15/2025 (b) |
490 |
445 |
1.30%, 1/8/2026 (b) |
425 |
376 |
1.50%, 6/15/2026 (b) |
775 |
678 |
3.00%, 2/10/2027 (b) |
355 |
324 |
2.38%, 10/15/2027 (b) |
530 |
462 |
1.80%, 1/10/2028 (b) |
805 |
669 |
Nissan Motor Co. Ltd. (Japan) |
|
|
4.35%, 9/17/2027 (b) |
2,393 |
2,215 |
4.81%, 9/17/2030 (b) |
1,102 |
987 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) |
785 |
622 |
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) |
705 |
598 |
|
|
9,399 |
Banks — 4.4% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) |
800 |
669 |
AIB Group plc (Ireland) 4.75%, 10/12/2023 (b) |
1,165 |
1,155 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Banks — continued | ||
ANZ New Zealand Int'l Ltd. (New Zealand) 2.55%, 2/13/2030 (b) |
778 |
669 |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) |
263 |
259 |
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b) |
1,250 |
1,003 |
Banco Santander SA (Spain) |
|
|
2.75%, 5/28/2025 |
2,000 |
1,881 |
5.15%, 8/18/2025 |
800 |
796 |
1.85%, 3/25/2026 |
1,000 |
890 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) |
400 |
344 |
2.75%, 12/3/2030 |
600 |
466 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (c) |
1,000 |
764 |
Bank of America Corp. |
|
|
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c) |
547 |
545 |
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (c) |
526 |
509 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) |
590 |
529 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) |
545 |
484 |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) |
1,700 |
1,615 |
(SOFR + 1.58%), 4.38%, 4/27/2028 (c) |
1,500 |
1,462 |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) |
6,211 |
5,753 |
(SOFR + 2.15%), 2.59%, 4/29/2031 (c) |
1,510 |
1,274 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (c) |
1,120 |
915 |
(SOFR + 1.33%), 2.97%, 2/4/2033 (c) |
435 |
365 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) |
3,685 |
2,639 |
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) (c) |
755 |
649 |
Bank of Montreal (Canada) 1.85%, 5/1/2025 |
950 |
895 |
Banque Federative du Credit Mutuel SA (France) 2.38%, 11/21/2024 (b) |
813 |
777 |
Barclays plc (United Kingdom) |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c) |
1,452 |
1,376 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (c) |
950 |
943 |
8 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) |
585 |
459 |
BNP Paribas SA (France) |
|
|
(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) |
832 |
767 |
(SOFR + 1.00%), 1.32%, 1/13/2027 (b) (c) |
323 |
283 |
(SOFR + 1.22%), 2.16%, 9/15/2029 (b) (c) |
1,746 |
1,437 |
(SOFR + 1.51%), 3.05%, 1/13/2031 (b) (c) |
765 |
646 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) |
1,200 |
929 |
Citigroup, Inc. |
|
|
4.40%, 6/10/2025 |
865 |
861 |
4.30%, 11/20/2026 |
1,200 |
1,183 |
6.63%, 1/15/2028 |
250 |
272 |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) |
1,573 |
1,481 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) |
2,145 |
1,754 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (c) |
885 |
715 |
(SOFR + 1.35%), 3.06%, 1/25/2033 (c) |
719 |
608 |
(SOFR + 1.38%), 2.90%, 11/3/2042 (c) |
298 |
218 |
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) |
525 |
392 |
Cooperatieve Rabobank UA (Netherlands) |
|
|
4.38%, 8/4/2025 |
783 |
770 |
3.75%, 7/21/2026 |
945 |
901 |
Credit Agricole SA (France) |
|
|
4.38%, 3/17/2025 (b) |
1,250 |
1,226 |
(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) |
500 |
459 |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) |
1,500 |
1,318 |
2.81%, 1/11/2041 (b) |
470 |
317 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (b) (c) |
2,110 |
2,088 |
Discover Bank 4.25%, 3/13/2026 |
1,205 |
1,179 |
HSBC Holdings plc (United Kingdom) |
|
|
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) |
1,054 |
1,048 |
3.90%, 5/25/2026 |
200 |
195 |
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (c) |
939 |
912 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) |
550 |
479 |
(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c) |
904 |
850 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) |
1,215 |
1,027 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Banks — continued | ||
(SOFR + 1.29%), 2.21%, 8/17/2029 (c) |
815 |
675 |
(SOFR + 1.95%), 2.36%, 8/18/2031 (c) |
1,160 |
917 |
6.10%, 1/14/2042 |
700 |
758 |
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c) |
705 |
624 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c) |
225 |
219 |
Lloyds Banking Group plc (United Kingdom) |
|
|
(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (c) |
612 |
610 |
4.58%, 12/10/2025 |
400 |
390 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c) |
770 |
742 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) |
980 |
866 |
4.38%, 3/22/2028 |
475 |
459 |
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.75%, 7/18/2039 |
760 |
654 |
Mizuho Financial Group, Inc. (Japan) |
|
|
(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (c) |
875 |
812 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) |
1,057 |
920 |
(SOFR + 1.57%), 2.87%, 9/13/2030 (c) |
720 |
620 |
National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (c) |
1,025 |
914 |
NatWest Group plc (United Kingdom) |
|
|
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) |
1,480 |
1,463 |
4.80%, 4/5/2026 |
2,010 |
1,999 |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) |
690 |
664 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c) |
900 |
853 |
(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) |
240 |
223 |
NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b) |
435 |
383 |
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 |
337 |
340 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
9 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (c) |
930 |
804 |
Societe Generale SA (France) |
|
|
5.00%, 1/17/2024 (b) |
370 |
370 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) |
3,947 |
3,440 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) |
395 |
342 |
3.00%, 1/22/2030 (b) |
235 |
197 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c) |
915 |
717 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (c) |
755 |
520 |
Standard Chartered plc (United Kingdom) |
|
|
(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (c) |
400 |
398 |
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (c) |
570 |
536 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) |
485 |
425 |
(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (c) |
200 |
185 |
Sumitomo Mitsui Financial Group, Inc. (Japan) |
|
|
4.44%, 4/2/2024 (b) |
500 |
497 |
1.47%, 7/8/2025 |
542 |
498 |
2.63%, 7/14/2026 |
872 |
812 |
3.04%, 7/16/2029 |
1,315 |
1,163 |
Truist Financial Corp. 4.00%, 5/1/2025 |
265 |
264 |
UniCredit SpA (Italy) |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (c) |
905 |
791 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) |
665 |
563 |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) |
200 |
172 |
(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (b) (c) |
300 |
269 |
US Bancorp 7.50%, 6/1/2026 |
1,277 |
1,417 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Banks — continued | ||
Wells Fargo & Co. |
|
|
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (c) |
2,927 |
2,757 |
4.65%, 11/4/2044 |
1,180 |
1,064 |
4.40%, 6/14/2046 |
300 |
263 |
Westpac Banking Corp. (Australia) 3.13%, 11/18/2041 |
882 |
637
|
|
|
89,606 |
Beverages — 0.3% | ||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 |
2,583 |
2,499 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044 |
70 |
65 |
Anheuser-Busch InBev Worldwide, Inc. |
|
|
4.44%, 10/6/2048 |
780 |
693 |
4.60%, 6/1/2060 |
375 |
333 |
Coca-Cola Femsa SAB de CV (Mexico) |
|
|
2.75%, 1/22/2030 |
790 |
704 |
1.85%, 9/1/2032 |
675 |
527 |
Constellation Brands, Inc. |
|
|
4.40%, 11/15/2025 |
325 |
325 |
5.25%, 11/15/2048 |
220 |
214 |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 |
1,060 |
825 |
Keurig Dr Pepper, Inc. 4.42%, 5/25/2025 |
36 |
36 |
|
|
6,221 |
Biotechnology — 0.4% | ||
AbbVie, Inc. |
|
|
3.20%, 11/21/2029 |
1,832 |
1,673 |
4.05%, 11/21/2039 |
1,809 |
1,595 |
4.63%, 10/1/2042 |
480 |
441 |
4.40%, 11/6/2042 |
790 |
715 |
4.45%, 5/14/2046 |
190 |
171 |
Amgen, Inc. 3.00%, 1/15/2052 |
845 |
595 |
Baxalta, Inc. (Japan) 5.25%, 6/23/2045 |
50 |
49 |
Biogen, Inc. 2.25%, 5/1/2030 |
609 |
497 |
Gilead Sciences, Inc. 2.60%, 10/1/2040 |
1,225 |
890 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 |
1,270 |
1,004 |
|
|
7,630 |
10 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Building Products — 0.0% ^ | ||
Masco Corp. |
|
|
2.00%, 10/1/2030 |
340 |
270 |
6.50%, 8/15/2032 |
600 |
640
|
|
|
910 |
Capital Markets — 2.2% | ||
Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026 |
254 |
246 |
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) |
429 |
385 |
Blackstone Secured Lending Fund 3.65%, 7/14/2023 |
795 |
788 |
Brookfield Finance, Inc. (Canada) |
|
|
3.90%, 1/25/2028 |
337 |
318 |
4.85%, 3/29/2029 |
411 |
402 |
4.70%, 9/20/2047 |
88 |
76 |
Credit Suisse AG (Switzerland) 3.63%, 9/9/2024 |
402 |
392 |
Credit Suisse Group AG (Switzerland) |
|
|
3.80%, 6/9/2023 |
800 |
796 |
(SOFR + 1.56%), 2.59%, 9/11/2025 (b) (c) |
250 |
231 |
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) |
490 |
438 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (b) (c) |
1,393 |
1,387 |
(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (c) |
1,360 |
1,144 |
4.28%, 1/9/2028 (b) |
1,162 |
1,043 |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c) |
840 |
635 |
Deutsche Bank AG (Germany) |
|
|
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) |
1,225 |
1,181 |
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) |
780 |
688 |
(SOFR + 1.32%), 2.55%, 1/7/2028 (c) |
1,300 |
1,108 |
FMR LLC 6.45%, 11/15/2039 (b) |
500 |
554 |
Goldman Sachs Group, Inc. (The) |
|
|
4.25%, 10/21/2025 |
1,415 |
1,396 |
3.50%, 11/16/2026 |
469 |
451 |
(SOFR + 0.80%), 1.43%, 3/9/2027 (c) |
2,900 |
2,580 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (c) |
780 |
693 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) |
1,260 |
1,143 |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) |
3,776 |
3,569 |
(SOFR + 1.09%), 1.99%, 1/27/2032 (c) |
880 |
696 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (c) |
1,000 |
826 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (c) |
2,255 |
1,825 |
6.75%, 10/1/2037 |
685 |
759 |
Jefferies Group LLC 6.45%, 6/8/2027 |
749 |
781 |
Macquarie Bank Ltd. (Australia) |
|
|
4.00%, 7/29/2025 (b) |
1,000 |
988 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Capital Markets — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) (c) |
575 |
448 |
Macquarie Group Ltd. (Australia) |
|
|
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) |
510 |
446 |
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (c) |
700 |
687 |
Morgan Stanley |
|
|
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) |
985 |
925 |
3.63%, 1/20/2027 |
2,470 |
2,400 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (c) |
960 |
872 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) |
1,740 |
1,366 |
(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (c) |
1,265 |
1,177 |
4.30%, 1/27/2045 |
485 |
433 |
Nomura Holdings, Inc. (Japan) |
|
|
2.65%, 1/16/2025 |
1,094 |
1,042 |
2.68%, 7/16/2030 |
700 |
571 |
S&P Global, Inc. 2.90%, 3/1/2032 (b) |
1,791 |
1,588 |
UBS Group AG (Switzerland) |
|
|
4.13%, 9/24/2025 (b) |
300 |
297 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (b) (c) |
1,838 |
1,819 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (c) |
975 |
957 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (b) (c) |
255 |
222 |
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (c) |
965 |
843 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) |
1,480 |
1,157 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) |
360 |
288 |
|
|
45,057 |
Chemicals — 0.2% | ||
Albemarle Corp. 5.45%, 12/1/2044 |
150 |
143 |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 |
980 |
977 |
International Flavors & Fragrances, Inc. 5.00%, 9/26/2048 |
365 |
335 |
Nutrien Ltd. (Canada) |
|
|
4.20%, 4/1/2029 |
175 |
170 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
11 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
4.13%, 3/15/2035 |
455 |
413 |
5.00%, 4/1/2049 |
230 |
228 |
Union Carbide Corp. 7.75%, 10/1/2096 |
850 |
1,074
|
|
|
3,340 |
Commercial Services & Supplies — 0.0% ^ | ||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 |
365 |
247
|
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. |
|
|
2.90%, 10/1/2030 |
1,440 |
1,230 |
2.35%, 1/15/2032 |
1,095 |
865
|
|
|
2,095 |
Construction Materials — 0.1% | ||
CRH America, Inc. (Ireland) |
|
|
3.88%, 5/18/2025 (b) |
417 |
410 |
5.13%, 5/18/2045 (b) |
893 |
856 |
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
770 |
734 |
|
|
2,000 |
Consumer Finance — 1.2% | ||
AerCap Ireland Capital DAC (Ireland) |
|
|
4.50%, 9/15/2023 |
2,420 |
2,407 |
2.88%, 8/14/2024 |
600 |
573 |
6.50%, 7/15/2025 |
246 |
252 |
1.75%, 1/30/2026 |
860 |
758 |
2.45%, 10/29/2026 |
560 |
494 |
3.00%, 10/29/2028 |
690 |
587 |
3.30%, 1/30/2032 |
655 |
529 |
Avolon Holdings Funding Ltd. (Ireland) |
|
|
2.88%, 2/15/2025 (b) |
450 |
413 |
5.50%, 1/15/2026 (b) |
1,000 |
964 |
2.13%, 2/21/2026 (b) |
620 |
534 |
4.25%, 4/15/2026 (b) |
1,200 |
1,106 |
4.38%, 5/1/2026 (b) |
820 |
758 |
2.53%, 11/18/2027 (b) |
7,294 |
5,957 |
Capital One Financial Corp. |
|
|
3.20%, 2/5/2025 |
1,069 |
1,042 |
4.20%, 10/29/2025 |
250 |
247 |
(SOFR + 2.06%), 4.93%, 5/10/2028 (c) |
782 |
773 |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) |
920 |
733 |
General Motors Financial Co., Inc. |
|
|
1.20%, 10/15/2024 |
470 |
439 |
3.80%, 4/7/2025 |
685 |
668 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Consumer Finance — continued | ||
1.25%, 1/8/2026 |
1,781 |
1,569 |
4.35%, 1/17/2027 |
430 |
415 |
2.35%, 1/8/2031 |
520 |
403 |
2.70%, 6/10/2031 |
910 |
714 |
Park Aerospace Holdings Ltd. (Ireland) |
|
|
4.50%, 3/15/2023 (b) |
1,385 |
1,377 |
5.50%, 2/15/2024 (b) |
1,626 |
1,606
|
|
|
25,318 |
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) |
1,246 |
1,114 |
Packaging Corp. of America 4.05%, 12/15/2049 |
845 |
711 |
WRKCo, Inc. |
|
|
3.75%, 3/15/2025 |
400 |
393 |
3.90%, 6/1/2028 |
170 |
163 |
|
|
2,381 |
Diversified Consumer Services — 0.1% | ||
Pepperdine University Series 2020, 3.30%, 12/1/2059 |
600 |
422 |
University of Miami Series 2022, 4.06%, 4/1/2052 |
480 |
424 |
University of Southern California Series A, 3.23%, 10/1/2120 |
570 |
367 |
|
|
1,213 |
Diversified Financial Services — 0.2% | ||
GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (b) |
1,436 |
1,377 |
Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (b) |
539 |
539 |
Mitsubishi HC Capital, Inc. (Japan) 2.65%, 9/19/2022 (b) |
606 |
605 |
Shell International Finance BV (Netherlands) 2.38%, 11/7/2029 |
2,280 |
2,010 |
Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b) |
513 |
492 |
|
|
5,023 |
Diversified Telecommunication Services — 0.6% | ||
AT&T, Inc. |
|
|
2.30%, 6/1/2027 |
2,340 |
2,129 |
1.65%, 2/1/2028 |
250 |
215 |
3.50%, 6/1/2041 |
1,646 |
1,297 |
3.55%, 9/15/2055 |
2,984 |
2,185 |
12 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) |
335 |
262 |
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) |
232 |
217 |
Verizon Communications, Inc. |
|
|
2.10%, 3/22/2028 |
795 |
703 |
4.33%, 9/21/2028 |
962 |
949 |
2.36%, 3/15/2032 |
1,787 |
1,466 |
2.65%, 11/20/2040 |
988 |
713 |
3.40%, 3/22/2041 |
1,060 |
854 |
3.70%, 3/22/2061 |
1,045 |
806
|
|
|
11,796 |
Electric Utilities — 1.8% | ||
Alabama Power Co. 6.13%, 5/15/2038 |
239 |
264 |
Arizona Public Service Co. 5.05%, 9/1/2041 |
200 |
189 |
Baltimore Gas and Electric Co. |
|
|
3.50%, 8/15/2046 |
376 |
309 |
2.90%, 6/15/2050 |
450 |
330 |
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) |
1,234 |
1,201 |
Duke Energy Carolinas LLC 4.25%, 12/15/2041 |
129 |
118 |
Duke Energy Corp. 3.75%, 9/1/2046 |
985 |
770 |
Duke Energy Progress LLC |
|
|
4.10%, 5/15/2042 |
273 |
244 |
4.10%, 3/15/2043 |
125 |
111 |
2.90%, 8/15/2051 |
820 |
600 |
Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b) |
750 |
691 |
Edison International 3.55%, 11/15/2024 |
1,591 |
1,555 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 |
700 |
610 |
Entergy Arkansas LLC |
|
|
3.50%, 4/1/2026 |
175 |
171 |
2.65%, 6/15/2051 |
415 |
283 |
Entergy Corp. 2.95%, 9/1/2026 |
336 |
317 |
Entergy Louisiana LLC |
|
|
3.05%, 6/1/2031 |
629 |
562 |
2.90%, 3/15/2051 |
490 |
352 |
Evergy Metro, Inc. 5.30%, 10/1/2041 |
1,400 |
1,422 |
Evergy, Inc. 2.90%, 9/15/2029 |
985 |
864 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) |
2,405 |
2,218 |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) |
240 |
209 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 |
500 |
468 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Electric Utilities — continued | ||
Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 |
350 |
376 |
ITC Holdings Corp. |
|
|
2.70%, 11/15/2022 |
900 |
898 |
2.95%, 5/14/2030 (b) |
440 |
384 |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) |
560 |
549 |
John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 |
696 |
688 |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) |
315 |
304 |
Nevada Power Co. |
|
|
Series N, 6.65%, 4/1/2036 |
100 |
115 |
5.45%, 5/15/2041 |
305 |
308 |
Niagara Mohawk Power Corp. |
|
|
3.51%, 10/1/2024 (b) |
493 |
478 |
1.96%, 6/27/2030 (b) |
1,000 |
817 |
NRG Energy, Inc. |
|
|
2.00%, 12/2/2025 (b) |
710 |
644 |
2.45%, 12/2/2027 (b) |
795 |
681 |
4.45%, 6/15/2029 (b) |
615 |
557 |
OGE Energy Corp. 0.70%, 5/26/2023 |
560 |
547 |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 |
675 |
660 |
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 |
110 |
119 |
Pacific Gas and Electric Co. |
|
|
1.70%, 11/15/2023 |
690 |
667 |
3.25%, 2/16/2024 |
2,060 |
2,015 |
3.45%, 7/1/2025 |
795 |
758 |
2.95%, 3/1/2026 |
500 |
454 |
4.20%, 6/1/2041 |
695 |
517 |
3.75%, 8/15/2042 (d) |
308 |
213 |
4.30%, 3/15/2045 |
525 |
381 |
PECO Energy Co. 2.80%, 6/15/2050 |
410 |
297 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) |
150 |
139 |
Pepco Holdings LLC 7.45%, 8/15/2032 |
316 |
371 |
PG&E Wildfire Recovery Funding LLC |
|
|
Series A-2, 4.26%, 6/1/2036 |
640 |
620 |
Series A-4, 5.21%, 12/1/2047 |
420 |
437 |
Series A-5, 5.10%, 6/1/2052 |
795 |
821 |
Potomac Electric Power Co. 6.50%, 11/15/2037 |
1,085 |
1,251 |
Progress Energy, Inc. 7.00%, 10/30/2031 |
300 |
333 |
Public Service Co. of Colorado 3.55%, 6/15/2046 |
214 |
176 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
13 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 |
2,490 |
2,752 |
Public Service Electric and Gas Co. 5.38%, 11/1/2039 |
317 |
325 |
Southern California Edison Co. |
|
|
Series B, 3.65%, 3/1/2028 |
400 |
380 |
Series 08-A, 5.95%, 2/1/2038 |
200 |
207 |
4.05%, 3/15/2042 |
552 |
460 |
Southwestern Public Service Co. 4.50%, 8/15/2041 |
200 |
188 |
Toledo Edison Co. (The) 6.15%, 5/15/2037 |
300 |
334
|
|
|
36,079 |
Electrical Equipment — 0.0% ^ | ||
Eaton Corp. |
|
|
7.63%, 4/1/2024 |
300 |
316 |
4.00%, 11/2/2032 |
170 |
163 |
|
|
479 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. |
|
|
4.50%, 3/1/2023 |
190 |
190 |
3.25%, 9/8/2024 |
219 |
214 |
3.88%, 1/12/2028 |
442 |
417 |
Corning, Inc. 3.90%, 11/15/2049 |
1,043 |
818 |
|
|
1,639 |
Energy Equipment & Services — 0.1% | ||
Baker Hughes Holdings LLC 5.13%, 9/15/2040 |
300 |
290 |
Halliburton Co. 4.75%, 8/1/2043 |
540 |
479 |
Schlumberger Holdings Corp. |
|
|
4.00%, 12/21/2025 (b) |
13 |
13 |
3.90%, 5/17/2028 (b) |
1,126 |
1,074 |
|
|
1,856 |
Entertainment — 0.1% | ||
Activision Blizzard, Inc. 1.35%, 9/15/2030 |
842 |
665 |
Walt Disney Co. (The) |
|
|
8.88%, 4/26/2023 |
430 |
445 |
6.20%, 12/15/2034 |
100 |
113 |
|
|
1,223 |
Equity Real Estate Investment Trusts (REITs) — 1.6% | ||
Alexandria Real Estate Equities, Inc. |
|
|
3.80%, 4/15/2026 |
135 |
132 |
2.00%, 5/18/2032 |
980 |
774 |
4.00%, 2/1/2050 |
653 |
537 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
American Tower Corp. |
|
|
5.00%, 2/15/2024 |
974 |
984 |
3.38%, 10/15/2026 |
312 |
294 |
1.50%, 1/31/2028 |
1,215 |
1,022 |
2.10%, 6/15/2030 |
630 |
508 |
1.88%, 10/15/2030 |
1,090 |
860 |
3.70%, 10/15/2049 |
935 |
708 |
3.10%, 6/15/2050 |
496 |
346 |
2.95%, 1/15/2051 |
324 |
218 |
Boston Properties LP |
|
|
3.20%, 1/15/2025 |
532 |
519 |
3.65%, 2/1/2026 |
483 |
469 |
Brixmor Operating Partnership LP |
|
|
3.85%, 2/1/2025 |
400 |
390 |
2.25%, 4/1/2028 |
840 |
710 |
2.50%, 8/16/2031 |
425 |
329 |
Corporate Office Properties LP 2.00%, 1/15/2029 |
335 |
265 |
Crown Castle, Inc. |
|
|
4.00%, 3/1/2027 |
264 |
256 |
2.10%, 4/1/2031 |
2,000 |
1,592 |
Digital Realty Trust LP 3.70%, 8/15/2027 |
252 |
241 |
Duke Realty LP |
|
|
3.25%, 6/30/2026 |
239 |
228 |
2.88%, 11/15/2029 |
380 |
340 |
Equinix, Inc. 2.90%, 11/18/2026 |
1,130 |
1,054 |
Essex Portfolio LP 2.65%, 3/15/2032 |
2,000 |
1,640 |
Healthcare Trust of America Holdings LP |
|
|
3.10%, 2/15/2030 |
1,604 |
1,382 |
2.00%, 3/15/2031 |
610 |
474 |
Healthpeak Properties, Inc. |
|
|
3.40%, 2/1/2025 |
17 |
17 |
3.50%, 7/15/2029 |
772 |
710 |
Life Storage LP |
|
|
4.00%, 6/15/2029 |
859 |
799 |
2.40%, 10/15/2031 |
485 |
387 |
Mid-America Apartments LP 3.95%, 3/15/2029 |
920 |
878 |
National Retail Properties, Inc. |
|
|
4.00%, 11/15/2025 |
783 |
768 |
4.30%, 10/15/2028 |
620 |
593 |
Office Properties Income Trust |
|
|
2.40%, 2/1/2027 |
980 |
741 |
3.45%, 10/15/2031 |
490 |
327 |
Physicians Realty LP 2.63%, 11/1/2031 |
505 |
405 |
14 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Prologis LP 3.00%, 4/15/2050 |
905 |
689 |
Public Storage |
|
|
1.95%, 11/9/2028 |
615 |
540 |
2.25%, 11/9/2031 |
516 |
432 |
Realty Income Corp. 1.80%, 3/15/2033 |
530 |
403 |
Regency Centers LP 2.95%, 9/15/2029 |
745 |
650 |
Sabra Health Care LP 3.20%, 12/1/2031 |
825 |
656 |
Safehold Operating Partnership LP 2.80%, 6/15/2031 |
2,940 |
2,363 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) |
420 |
407 |
Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (b) (c) |
1,320 |
1,219 |
SITE Centers Corp. 4.70%, 6/1/2027 |
330 |
318 |
UDR, Inc. |
|
|
2.95%, 9/1/2026 |
382 |
356 |
3.00%, 8/15/2031 |
305 |
260 |
2.10%, 8/1/2032 |
640 |
493 |
Ventas Realty LP |
|
|
3.50%, 2/1/2025 |
242 |
236 |
4.13%, 1/15/2026 |
114 |
112 |
3.25%, 10/15/2026 |
292 |
276 |
3.85%, 4/1/2027 |
554 |
532 |
Welltower, Inc. 6.50%, 3/15/2041 |
350 |
385 |
WP Carey, Inc. |
|
|
4.25%, 10/1/2026 |
350 |
341 |
2.25%, 4/1/2033 |
1,180 |
897 |
|
|
33,462 |
Food & Staples Retailing — 0.3% | ||
7-Eleven, Inc. |
|
|
1.30%, 2/10/2028 (b) |
565 |
472 |
2.50%, 2/10/2041 (b) |
574 |
391 |
Alimentation Couche-Tard, Inc. (Canada) |
|
|
3.44%, 5/13/2041 (b) |
1,275 |
947 |
3.63%, 5/13/2051 (b) |
1,420 |
1,018 |
CVS Pass-Through Trust |
|
|
5.93%, 1/10/2034 (b) |
749 |
757 |
Series 2013, 4.70%, 1/10/2036 (b) |
581 |
556 |
Kroger Co. (The) 5.00%, 4/15/2042 |
1,100 |
1,055 |
|
|
5,196 |
Food Products — 0.2% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 |
1,565 |
1,314 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Food Products — continued | ||
Campbell Soup Co. 3.13%, 4/24/2050 |
315 |
223 |
Conagra Brands, Inc. 5.30%, 11/1/2038 |
220 |
209 |
Kraft Heinz Foods Co. |
|
|
4.63%, 10/1/2039 |
850 |
757 |
4.38%, 6/1/2046 |
629 |
534 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 |
153 |
154 |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) |
1,500 |
1,222 |
Tyson Foods, Inc. |
|
|
4.88%, 8/15/2034 |
300 |
300 |
5.15%, 8/15/2044 |
210 |
205
|
|
|
4,918 |
Gas Utilities — 0.1% | ||
Atmos Energy Corp. |
|
|
0.63%, 3/9/2023 |
430 |
422 |
4.15%, 1/15/2043 |
828 |
735 |
4.13%, 10/15/2044 |
125 |
110 |
Boston Gas Co. 4.49%, 2/15/2042 (b) |
308 |
271 |
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) |
440 |
352 |
Southern Natural Gas Co. LLC |
|
|
8.00%, 3/1/2032 |
351 |
405 |
4.80%, 3/15/2047 (b) |
367 |
327 |
|
|
2,622 |
Health Care Equipment & Supplies — 0.1% | ||
Abbott Laboratories 4.75%, 11/30/2036 |
380 |
400 |
Becton Dickinson and Co. 4.67%, 6/6/2047 |
365 |
348 |
DH Europe Finance II SARL 3.25%, 11/15/2039 |
1,000 |
826 |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 |
1,137 |
949 |
|
|
2,523 |
Health Care Providers & Services — 0.7% | ||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 |
710 |
607 |
Aetna, Inc. 6.75%, 12/15/2037 |
440 |
494 |
Ascension Health Series B, 2.53%, 11/15/2029 |
430 |
384 |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 |
800 |
611 |
Children's Hospital Series 2020, 2.93%, 7/15/2050 |
650 |
451 |
Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 |
580 |
393 |
Cigna Corp. 4.50%, 2/25/2026 |
300 |
301 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
15 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
CommonSpirit Health |
|
|
1.55%, 10/1/2025 |
555 |
505 |
2.78%, 10/1/2030 |
550 |
460 |
3.91%, 10/1/2050 |
545 |
429 |
CVS Health Corp. 4.30%, 3/25/2028 |
171 |
169 |
Elevance Health, Inc. |
|
|
4.63%, 5/15/2042 |
500 |
475 |
4.65%, 1/15/2043 |
535 |
506 |
4.65%, 8/15/2044 |
100 |
94 |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 |
1,430 |
1,061 |
HCA, Inc. |
|
|
5.25%, 6/15/2026 |
1,680 |
1,688 |
5.13%, 6/15/2039 |
725 |
653 |
5.50%, 6/15/2047 |
190 |
175 |
3.50%, 7/15/2051 |
414 |
284 |
4.63%, 3/15/2052 (b) |
461 |
381 |
Mayo Clinic Series 2016, 4.13%, 11/15/2052 |
225 |
207 |
Memorial Health Services 3.45%, 11/1/2049 |
1,340 |
1,077 |
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 |
200 |
184 |
MidMichigan Health Series 2020, 3.41%, 6/1/2050 |
310 |
233 |
Quest Diagnostics, Inc. 3.45%, 6/1/2026 |
150 |
146 |
Texas Health Resources 4.33%, 11/15/2055 |
300 |
281 |
UnitedHealth Group, Inc. |
|
|
3.50%, 8/15/2039 |
815 |
702 |
3.25%, 5/15/2051 |
560 |
440 |
Universal Health Services, Inc. 2.65%, 10/15/2030 (b) |
1,366 |
1,077 |
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 |
780 |
512 |
|
|
14,980 |
Hotels, Restaurants & Leisure — 0.0% ^ | ||
McDonald's Corp. 4.70%, 12/9/2035 |
700 |
695 |
Household Durables — 0.0% ^ | ||
Lennar Corp. 4.50%, 4/30/2024 |
365 |
366 |
MDC Holdings, Inc. 3.97%, 8/6/2061 |
1,100 |
629 |
|
|
995 |
Independent Power and Renewable Electricity Producers — 0.1% | ||
Alexander Funding Trust 1.84%, 11/15/2023 (b) |
1,000 |
950 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Independent Power and Renewable Electricity Producers — continued | ||
Constellation Energy Generation LLC 5.75%, 10/1/2041 |
235 |
233 |
Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 |
417 |
335
|
|
|
1,518 |
Industrial Conglomerates — 0.1% | ||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 |
1,936 |
1,831
|
Insurance — 0.9% | ||
AIA Group Ltd. (Hong Kong) |
|
|
3.60%, 4/9/2029 (b) |
445 |
423 |
3.20%, 9/16/2040 (b) |
520 |
413 |
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) |
520 |
595 |
Assurant, Inc. 4.20%, 9/27/2023 |
496 |
495 |
Athene Global Funding |
|
|
2.50%, 1/14/2025 (b) |
239 |
225 |
1.45%, 1/8/2026 (b) |
865 |
768 |
2.95%, 11/12/2026 (b) |
3,475 |
3,155 |
Berkshire Hathaway Finance Corp. |
|
|
4.40%, 5/15/2042 |
1,000 |
964 |
3.85%, 3/15/2052 |
845 |
729 |
Brown & Brown, Inc. 2.38%, 3/15/2031 |
1,830 |
1,449 |
CNA Financial Corp. 3.95%, 5/15/2024 |
463 |
461 |
Corebridge Financial, Inc. |
|
|
3.65%, 4/5/2027 (b) |
770 |
724 |
3.85%, 4/5/2029 (b) |
545 |
502 |
F&G Global Funding 1.75%, 6/30/2026 (b) |
750 |
669 |
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) |
208 |
188 |
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 |
500 |
405 |
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 |
400 |
348 |
Intact US Holdings, Inc. 4.60%, 11/9/2022 |
500 |
501 |
Liberty Mutual Group, Inc. |
|
|
4.57%, 2/1/2029 (b) |
408 |
397 |
3.95%, 10/15/2050 (b) |
900 |
693 |
Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b) |
100 |
109 |
Markel Corp. 3.50%, 11/1/2027 |
200 |
188 |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) |
795 |
694 |
16 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Insurance — continued | ||
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (c) |
266 |
229 |
Prudential Financial, Inc. 3.91%, 12/7/2047 |
300 |
262 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) |
1,750 |
1,911 |
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) (c) |
600 |
570 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) |
400 |
360
|
|
|
18,427 |
Internet & Direct Marketing Retail — 0.1% | ||
Amazon.com, Inc. 3.95%, 4/13/2052 |
1,760 |
1,600
|
IT Services — 0.2% | ||
CGI, Inc. (Canada) |
|
|
1.45%, 9/14/2026 |
843 |
745 |
2.30%, 9/14/2031 |
1,515 |
1,205 |
Fiserv, Inc. |
|
|
3.20%, 7/1/2026 |
395 |
376 |
4.40%, 7/1/2049 |
375 |
325 |
Global Payments, Inc. |
|
|
3.20%, 8/15/2029 |
945 |
825 |
5.30%, 8/15/2029 |
371 |
367 |
2.90%, 5/15/2030 |
273 |
230 |
2.90%, 11/15/2031 |
522 |
423 |
|
|
4,496 |
Life Sciences Tools & Services — 0.1% | ||
Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 |
1,375 |
1,158 |
Machinery — 0.1% | ||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 |
450 |
426 |
Otis Worldwide Corp. 2.57%, 2/15/2030 |
1,430 |
1,230 |
Parker-Hannifin Corp. 4.45%, 11/21/2044 |
592 |
534 |
|
|
2,190 |
Media — 0.6% | ||
Charter Communications Operating LLC |
|
|
4.20%, 3/15/2028 |
2,000 |
1,886 |
6.38%, 10/23/2035 |
528 |
523 |
4.80%, 3/1/2050 |
1,475 |
1,158 |
3.70%, 4/1/2051 |
1,120 |
747 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Media — continued | ||
Comcast Corp. |
|
|
3.55%, 5/1/2028 |
443 |
427 |
4.20%, 8/15/2034 |
555 |
531 |
3.25%, 11/1/2039 |
1,715 |
1,397 |
3.45%, 2/1/2050 |
609 |
480 |
2.89%, 11/1/2051 |
1,086 |
765 |
2.94%, 11/1/2056 |
1,729 |
1,171 |
2.99%, 11/1/2063 |
259 |
173 |
Cox Communications, Inc. 2.95%, 10/1/2050 (b) |
635 |
429 |
Discovery Communications LLC |
|
|
5.20%, 9/20/2047 |
175 |
143 |
4.00%, 9/15/2055 |
784 |
519 |
Grupo Televisa SAB (Mexico) |
|
|
4.63%, 1/30/2026 |
221 |
220 |
6.13%, 1/31/2046 |
200 |
217 |
Paramount Global |
|
|
4.00%, 1/15/2026 |
792 |
779 |
4.85%, 7/1/2042 |
140 |
114 |
Time Warner Cable LLC |
|
|
6.55%, 5/1/2037 |
400 |
393 |
5.50%, 9/1/2041 |
359 |
308 |
Time Warner Entertainment Co. LP 8.38%, 7/15/2033 |
700 |
806 |
|
|
13,186 |
Metals & Mining — 0.2% | ||
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 |
295 |
322 |
Glencore Funding LLC (Australia) 4.13%, 5/30/2023 (b) |
454 |
453 |
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 |
2,500 |
2,289 |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 |
675 |
589 |
|
|
3,653 |
Multiline Retail — 0.0% ^ | ||
Nordstrom, Inc. 4.25%, 8/1/2031 |
1,243 |
910 |
Multi-Utilities — 0.3% | ||
CMS Energy Corp. 3.00%, 5/15/2026 |
475 |
450 |
Delmarva Power & Light Co. 4.00%, 6/1/2042 |
235 |
202 |
Dominion Energy, Inc. Series F, 5.25%, 8/1/2033 |
920 |
931 |
NiSource, Inc. |
|
|
1.70%, 2/15/2031 |
740 |
579 |
5.80%, 2/1/2042 |
1,256 |
1,253 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
17 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
San Diego Gas & Electric Co. |
|
|
6.00%, 6/1/2026 |
275 |
291 |
3.95%, 11/15/2041 |
379 |
321 |
2.95%, 8/15/2051 |
1,050 |
776 |
Southern Co. Gas Capital Corp. |
|
|
3.25%, 6/15/2026 |
254 |
243 |
Series 21A, 3.15%, 9/30/2051 |
420 |
292
|
|
|
5,338 |
Oil, Gas & Consumable Fuels — 1.7% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) |
497 |
443 |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) |
732 |
707 |
BP Capital Markets America, Inc. 2.94%, 6/4/2051 |
1,995 |
1,430 |
Buckeye Partners LP 5.85%, 11/15/2043 |
770 |
588 |
Cameron LNG LLC 3.70%, 1/15/2039 (b) |
961 |
811 |
Cheniere Corpus Christi Holdings LLC |
|
|
5.88%, 3/31/2025 |
1,490 |
1,520 |
5.13%, 6/30/2027 |
605 |
604 |
2.74%, 12/31/2039 |
515 |
402 |
Coterra Energy, Inc. 3.90%, 5/15/2027 (b) |
935 |
892 |
Devon Energy Corp. 5.25%, 9/15/2024 |
790 |
802 |
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 |
807 |
644 |
Ecopetrol SA (Colombia) |
|
|
5.88%, 9/18/2023 |
226 |
226 |
4.13%, 1/16/2025 |
533 |
501 |
Energy Transfer LP |
|
|
4.75%, 1/15/2026 |
917 |
909 |
3.90%, 7/15/2026 |
244 |
233 |
5.50%, 6/1/2027 |
115 |
116 |
4.95%, 5/15/2028 |
325 |
318 |
4.15%, 9/15/2029 |
594 |
547 |
6.10%, 2/15/2042 |
400 |
383 |
5.30%, 4/1/2044 |
170 |
149 |
6.25%, 4/15/2049 |
800 |
784 |
Eni SpA (Italy) 5.70%, 10/1/2040 (b) |
925 |
918 |
Enterprise Products Operating LLC |
|
|
3.90%, 2/15/2024 |
475 |
474 |
3.70%, 2/15/2026 |
506 |
500 |
Exxon Mobil Corp. |
|
|
3.00%, 8/16/2039 |
895 |
733 |
3.57%, 3/6/2045 |
1,215 |
1,028 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Oil, Gas & Consumable Fuels — continued | ||
Flex Intermediate Holdco LLC |
|
|
3.36%, 6/30/2031 (b) |
1,425 |
1,177 |
4.32%, 12/30/2039 (b) |
545 |
426 |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) |
1,081 |
895 |
Gray Oak Pipeline LLC |
|
|
2.00%, 9/15/2023 (b) |
535 |
521 |
2.60%, 10/15/2025 (b) |
2,450 |
2,254 |
HF Sinclair Corp. |
|
|
2.63%, 10/1/2023 (b) |
1,275 |
1,237 |
5.88%, 4/1/2026 (b) |
577 |
582 |
Magellan Midstream Partners LP 3.20%, 3/15/2025 |
353 |
340 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 |
380 |
382 |
ONEOK Partners LP |
|
|
5.00%, 9/15/2023 |
334 |
336 |
6.65%, 10/1/2036 |
350 |
359 |
Phillips 66 Co. 3.15%, 12/15/2029 (b) |
985 |
874 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 |
1,050 |
855 |
Plains All American Pipeline LP |
|
|
5.15%, 6/1/2042 |
460 |
387 |
4.70%, 6/15/2044 |
610 |
482 |
Saudi Arabian Oil Co. (Saudi Arabia) |
|
|
1.25%, 11/24/2023 (b) |
200 |
193 |
1.63%, 11/24/2025 (b) |
278 |
257 |
Spectra Energy Partners LP 4.50%, 3/15/2045 |
495 |
432 |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 |
1,195 |
1,317 |
Targa Resources Corp. 4.20%, 2/1/2033 |
400 |
359 |
Texas Eastern Transmission LP |
|
|
2.80%, 10/15/2022 (b) |
554 |
553 |
3.50%, 1/15/2028 (b) |
90 |
84 |
TotalEnergies Capital International SA (France) |
|
|
2.99%, 6/29/2041 |
1,200 |
952 |
3.46%, 7/12/2049 |
815 |
668 |
3.13%, 5/29/2050 |
1,180 |
910 |
Valero Energy Corp. |
|
|
2.15%, 9/15/2027 |
830 |
743 |
7.50%, 4/15/2032 |
175 |
202 |
|
|
34,439 |
18 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Personal Products — 0.1% | ||
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 |
1,880 |
1,680 |
GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2029 (b) |
1,075 |
976
|
|
|
2,656 |
Pharmaceuticals — 0.4% | ||
AstraZeneca plc (United Kingdom) |
|
|
6.45%, 9/15/2037 |
300 |
353 |
4.00%, 9/18/2042 |
240 |
220 |
Bristol-Myers Squibb Co. 4.13%, 6/15/2039 |
1,545 |
1,447 |
Mylan, Inc. 5.40%, 11/29/2043 |
520 |
426 |
Royalty Pharma plc 1.20%, 9/2/2025 |
353 |
321 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 |
1,713 |
1,637 |
Takeda Pharmaceutical Co. Ltd. (Japan) |
|
|
5.00%, 11/26/2028 |
895 |
907 |
3.03%, 7/9/2040 |
1,265 |
980 |
3.18%, 7/9/2050 |
590 |
433 |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 |
300 |
282 |
Viatris, Inc. 3.85%, 6/22/2040 |
567 |
394 |
Zoetis, Inc. 2.00%, 5/15/2030 |
760 |
639 |
|
|
8,039 |
Road & Rail — 0.3% | ||
Burlington Northern Santa Fe LLC |
|
|
5.75%, 5/1/2040 |
425 |
467 |
4.38%, 9/1/2042 |
375 |
354 |
5.15%, 9/1/2043 |
769 |
798 |
3.55%, 2/15/2050 |
465 |
388 |
CSX Corp. |
|
|
5.50%, 4/15/2041 |
150 |
157 |
4.10%, 3/15/2044 |
190 |
168 |
4.75%, 11/15/2048 |
600 |
584 |
3.35%, 9/15/2049 |
95 |
75 |
Kansas City Southern 4.70%, 5/1/2048 |
1,712 |
1,615 |
Norfolk Southern Corp. 4.05%, 8/15/2052 |
600 |
522 |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b) |
1,105 |
1,027 |
|
|
6,155 |
Semiconductors & Semiconductor Equipment — 0.5% | ||
Analog Devices, Inc. 2.80%, 10/1/2041 |
896 |
699 |
Broadcom, Inc. |
|
|
1.95%, 2/15/2028 (b) |
2,500 |
2,144 |
3.14%, 11/15/2035 (b) |
1,413 |
1,071 |
KLA Corp. 3.30%, 3/1/2050 |
600 |
469 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Semiconductors & Semiconductor Equipment — continued | ||
Microchip Technology, Inc. |
|
|
0.97%, 2/15/2024 |
350 |
333 |
0.98%, 9/1/2024 |
628 |
587 |
NXP BV (China) |
|
|
2.50%, 5/11/2031 |
1,405 |
1,123 |
3.25%, 5/11/2041 |
1,445 |
1,045 |
TSMC Arizona Corp. (Taiwan) 4.50%, 4/22/2052 |
680 |
659 |
TSMC Global Ltd. (Taiwan) 4.63%, 7/22/2032 (b) |
595 |
596 |
Xilinx, Inc. 2.38%, 6/1/2030 |
895 |
780
|
|
|
9,506 |
Software — 0.3% | ||
Microsoft Corp. |
|
|
3.50%, 2/12/2035 |
291 |
278 |
2.92%, 3/17/2052 |
1,118 |
880 |
3.04%, 3/17/2062 |
268 |
204 |
Oracle Corp. |
|
|
3.60%, 4/1/2040 |
1,000 |
727 |
4.38%, 5/15/2055 |
900 |
678 |
Roper Technologies, Inc. |
|
|
1.40%, 9/15/2027 |
1,370 |
1,173 |
2.00%, 6/30/2030 |
570 |
464 |
VMware, Inc. 4.65%, 5/15/2027 |
550 |
545 |
Workday, Inc. 3.50%, 4/1/2027 |
1,179 |
1,125 |
|
|
6,074 |
Specialty Retail — 0.2% | ||
AutoZone, Inc. 1.65%, 1/15/2031 |
690 |
544 |
Lowe's Cos., Inc. 2.63%, 4/1/2031 |
2,760 |
2,365 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 |
432 |
416 |
|
|
3,325 |
Technology Hardware, Storage & Peripherals — 0.3% | ||
Apple, Inc. |
|
|
3.45%, 2/9/2045 |
1,130 |
981 |
3.85%, 8/4/2046 |
569 |
517 |
3.75%, 11/13/2047 |
150 |
135 |
2.70%, 8/5/2051 |
1,855 |
1,361 |
Dell International LLC |
|
|
5.45%, 6/15/2023 |
127 |
128 |
6.02%, 6/15/2026 |
2,132 |
2,215 |
3.45%, 12/15/2051 (b) |
167 |
109 |
HP, Inc. 3.00%, 6/17/2027 |
665 |
616 |
|
|
6,062 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
19 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Thrifts & Mortgage Finance — 0.2% | ||
BPCE SA (France) |
|
|
4.63%, 7/11/2024 (b) |
800 |
790 |
1.00%, 1/20/2026 (b) |
2,205 |
1,944 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) |
690 |
614 |
3.38%, 12/2/2026 |
400 |
382 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) |
730 |
565 |
Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b) |
1,000 |
883
|
|
|
5,178 |
Tobacco — 0.2% | ||
Altria Group, Inc. 2.45%, 2/4/2032 |
1,700 |
1,285 |
BAT Capital Corp. (United Kingdom) |
|
|
2.26%, 3/25/2028 |
780 |
658 |
4.39%, 8/15/2037 |
1,730 |
1,369 |
3.73%, 9/25/2040 |
520 |
363 |
4.54%, 8/15/2047 |
832 |
607 |
3.98%, 9/25/2050 |
254 |
173 |
Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 |
100 |
101 |
|
|
4,556 |
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. |
|
|
3.38%, 7/1/2025 |
476 |
452 |
2.88%, 1/15/2026 |
1,000 |
922 |
3.75%, 6/1/2026 |
526 |
498 |
1.88%, 8/15/2026 |
960 |
840 |
3.25%, 10/1/2029 |
2,080 |
1,795 |
Aviation Capital Group LLC |
|
|
3.88%, 5/1/2023 (b) |
490 |
484 |
5.50%, 12/15/2024 (b) |
1,047 |
1,025 |
BOC Aviation Ltd. (Singapore) 3.50%, 10/10/2024 (b) |
310 |
302 |
|
|
6,318 |
Water Utilities — 0.1% | ||
American Water Capital Corp. |
|
|
3.45%, 6/1/2029 |
795 |
745 |
3.45%, 5/1/2050 |
1,096 |
858 |
|
|
1,603 |
Wireless Telecommunication Services — 0.3% | ||
America Movil SAB de CV (Mexico) |
|
|
3.63%, 4/22/2029 |
880 |
826 |
4.38%, 4/22/2049 |
441 |
407 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Wireless Telecommunication Services — continued | ||
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) |
745 |
654 |
T-Mobile USA, Inc. |
|
|
3.88%, 4/15/2030 |
2,980 |
2,754 |
3.60%, 11/15/2060 |
915 |
659 |
Vodafone Group plc (United Kingdom) |
|
|
5.25%, 5/30/2048 |
496 |
458 |
4.88%, 6/19/2049 |
1,105 |
983
|
|
|
6,741 |
Total Corporate Bonds (Cost $555,940) |
|
490,764 |
Mortgage-Backed Securities — 18.2% | ||
Awthorne at the CR , 3.54%, 4/1/2035 (e) |
6,700 |
6,570 |
FHLMC |
|
|
Pool # 846812, ARM, 2.67%, 4/1/2030 (f) |
4 |
4 |
Pool # 781087, ARM, 2.36%, 12/1/2033 (f) |
108 |
107 |
Pool # 1B1665, ARM, 2.86%, 4/1/2034 (f) |
66 |
66 |
Pool # 847356, ARM, 2.69%, 12/1/2034 (f) |
48 |
47 |
Pool # 782979, ARM, 2.37%, 1/1/2035 (f) |
89 |
91 |
Pool # 1Q0025, ARM, 2.33%, 2/1/2036 (f) |
29 |
30 |
Pool # 848431, ARM, 2.63%, 2/1/2036 (f) |
45 |
46 |
Pool # 1L1286, ARM, 3.25%, 5/1/2036 (f) |
8 |
8 |
Pool # 848365, ARM, 3.29%, 7/1/2036 (f) |
51 |
52 |
Pool # 1G2539, ARM, 1.85%, 10/1/2036 (f) |
10 |
10 |
Pool # 1J1348, ARM, 2.45%, 10/1/2036 (f) |
62 |
62 |
Pool # 1A1096, ARM, 2.52%, 10/1/2036 (f) |
96 |
99 |
Pool # 1G2671, ARM, 1.97%, 11/1/2036 (f) |
79 |
78 |
Pool # 782760, ARM, 3.01%, 11/1/2036 (f) |
58 |
60 |
Pool # 1J1634, ARM, 2.98%, 12/1/2036 (f) |
52 |
54 |
Pool # 1Q0739, ARM, 3.14%, 3/1/2037 (f) |
55 |
57 |
Pool # 848699, ARM, 3.29%, 7/1/2040 (f) |
107 |
109 |
FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032 |
118 |
117 |
FHLMC Gold Pools, 30 Year |
|
|
Pool # C68485, 7.00%, 7/1/2032 |
16 |
16 |
Pool # G01448, 7.00%, 8/1/2032 |
35 |
37 |
Pool # A13625, 5.50%, 10/1/2033 |
134 |
143 |
Pool # A16107, 6.00%, 12/1/2033 |
62 |
65 |
Pool # A17537, 6.00%, 1/1/2034 |
58 |
61 |
Pool # A61572, 5.00%, 9/1/2034 |
369 |
385 |
Pool # A28796, 6.50%, 11/1/2034 |
64 |
68 |
Pool # G03369, 6.50%, 1/1/2035 |
156 |
163 |
Pool # A46987, 5.50%, 7/1/2035 |
306 |
323 |
20 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # G01919, 4.00%, 9/1/2035 |
174 |
173 |
Pool # C02641, 7.00%, 10/1/2036 |
49 |
51 |
Pool # C02660, 6.50%, 11/1/2036 |
99 |
108 |
Pool # A93383, 5.00%, 8/1/2040 |
225 |
235 |
Pool # A93511, 5.00%, 8/1/2040 |
210 |
218 |
Pool # G06493, 4.50%, 5/1/2041 |
901 |
920 |
Pool # Z40179, 4.00%, 7/1/2048 |
2,244 |
2,230 |
FHLMC Gold Pools, Other |
|
|
Pool # P20570, 7.00%, 7/1/2029 |
34 |
35 |
Pool # G20027, 10.00%, 10/1/2030 |
4 |
4 |
Pool # U50105, 4.00%, 1/1/2032 |
301 |
296 |
Pool # U80254, 3.00%, 3/1/2033 |
256 |
244 |
Pool # P20409, 5.50%, 10/1/2033 |
75 |
76 |
Pool # U90975, 4.00%, 6/1/2042 |
919 |
914 |
Pool # U90673, 4.00%, 1/1/2043 |
228 |
227 |
Pool # U99134, 4.00%, 1/1/2046 |
4,874 |
4,850 |
Pool # U69030, 4.50%, 1/1/2046 |
1,681 |
1,706 |
FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 |
1,832 |
1,815 |
FHLMC UMBS, 30 Year Pool # RA6702, 3.00%, 2/1/2052 |
4,083 |
3,802 |
FNMA |
|
|
Pool # 54844, ARM, 2.35%, 9/1/2027 (f) |
7 |
7 |
Pool # 303532, ARM, 3.89%, 3/1/2029 (f) |
4 |
4 |
, 3.97%, 8/1/2032 (e) |
5,000 |
5,028 |
Pool # 555258, ARM, 2.65%, 1/1/2033 (f) |
165 |
163 |
Pool # 722421, ARM, 2.66%, 7/1/2033 (f) |
9 |
9 |
Pool # 686040, ARM, 3.67%, 7/1/2033 (f) |
97 |
97 |
Pool # 722985, ARM, 3.99%, 7/1/2033 (f) |
14 |
14 |
Pool # 746299, ARM, 3.39%, 9/1/2033 (f) |
75 |
78 |
Pool # 766610, ARM, 1.96%, 1/1/2034 (f) |
27 |
27 |
Pool # 920467, ARM, 4.50%, 2/1/2034 (f) |
70 |
69 |
Pool # 770377, ARM, 2.35%, 4/1/2034 (f) |
31 |
31 |
Pool # 751531, ARM, 3.34%, 5/1/2034 (f) |
89 |
89 |
Pool # 782306, ARM, 2.17%, 7/1/2034 (f) |
6 |
6 |
Pool # 735332, ARM, 2.90%, 8/1/2034 (f) |
102 |
102 |
Pool # 790235, ARM, 3.89%, 8/1/2034 (f) |
62 |
62 |
Pool # 725902, ARM, 1.91%, 9/1/2034 (f) |
12 |
12 |
Pool # 791961, ARM, 2.69%, 9/1/2034 (f) |
26 |
26 |
Pool # 803594, ARM, 1.83%, 10/1/2034 (f) |
57 |
56 |
Pool # 803599, ARM, 2.09%, 10/1/2034 (f) |
73 |
72 |
Pool # 896463, ARM, 3.84%, 10/1/2034 (f) |
61 |
63 |
Pool # 806778, ARM, 2.72%, 11/1/2034 (f) |
344 |
343 |
Pool # 806776, ARM, 2.86%, 11/1/2034 (f) |
63 |
63 |
Pool # 810896, ARM, 2.91%, 1/1/2035 (f) |
147 |
150 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Pool # 802692, ARM, 2.99%, 1/1/2035 (f) |
51 |
51 |
Pool # 816597, ARM, 2.05%, 2/1/2035 (f) |
15 |
15 |
Pool # 735539, ARM, 2.61%, 4/1/2035 (f) |
360 |
367 |
Pool # 745862, ARM, 3.27%, 4/1/2035 (f) |
51 |
51 |
Pool # 821378, ARM, 3.04%, 5/1/2035 (f) |
38 |
37 |
Pool # 823660, ARM, 3.17%, 5/1/2035 (f) |
50 |
50 |
Pool # 745766, ARM, 2.21%, 6/1/2035 (f) |
145 |
145 |
Pool # 832801, ARM, 3.01%, 9/1/2035 (f) |
30 |
30 |
Pool # 843026, ARM, 3.61%, 9/1/2035 (f) |
186 |
191 |
Pool # 849251, ARM, 2.74%, 1/1/2036 (f) |
41 |
43 |
Pool # 895141, ARM, 3.57%, 7/1/2036 (f) |
51 |
52 |
Pool # 900197, ARM, 2.32%, 10/1/2036 (f) |
53 |
54 |
Pool # 966946, ARM, 2.28%, 1/1/2038 (f) |
31 |
31 |
FNMA UMBS, 15 Year |
|
|
Pool # 889634, 6.00%, 2/1/2023 |
2 |
2 |
Pool # 995381, 6.00%, 1/1/2024 |
5 |
5 |
Pool # 995425, 6.00%, 1/1/2024 |
11 |
11 |
Pool # AD0133, 5.00%, 8/1/2024 |
6 |
6 |
FNMA UMBS, 20 Year |
|
|
Pool # 555791, 6.50%, 12/1/2022 |
— |
— |
Pool # 255217, 4.50%, 4/1/2024 |
4 |
4 |
Pool # 888656, 6.50%, 4/1/2025 |
4 |
4 |
Pool # MA1138, 3.50%, 8/1/2032 |
293 |
290 |
FNMA UMBS, 30 Year |
|
|
Pool # 50966, 7.00%, 1/1/2024 |
— |
— |
Pool # 689977, 8.00%, 3/1/2027 |
22 |
23 |
Pool # 695533, 8.00%, 6/1/2027 |
9 |
9 |
Pool # 756024, 8.00%, 9/1/2028 |
20 |
21 |
Pool # 755973, 8.00%, 11/1/2028 |
55 |
58 |
Pool # 455759, 6.00%, 12/1/2028 |
7 |
7 |
Pool # 252211, 6.00%, 1/1/2029 |
10 |
10 |
Pool # 459097, 7.00%, 1/1/2029 |
4 |
4 |
Pool # 889020, 6.50%, 11/1/2029 |
147 |
153 |
Pool # 598559, 6.50%, 8/1/2031 |
23 |
24 |
Pool # 622542, 5.50%, 9/1/2031 |
125 |
131 |
Pool # 788150, 6.00%, 3/1/2032 |
19 |
20 |
Pool # 649734, 7.00%, 6/1/2032 |
9 |
9 |
Pool # 675555, 6.00%, 12/1/2032 |
38 |
39 |
Pool # AL0045, 6.00%, 12/1/2032 |
178 |
191 |
Pool # 674349, 6.00%, 3/1/2033 |
10 |
11 |
Pool # 688625, 6.00%, 3/1/2033 |
13 |
13 |
Pool # 688655, 6.00%, 3/1/2033 |
4 |
4 |
Pool # 695584, 6.00%, 3/1/2033 |
4 |
4 |
Pool # 702901, 6.00%, 5/1/2033 |
63 |
68 |
Pool # 723852, 5.00%, 7/1/2033 |
62 |
65 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
21 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 729296, 5.00%, 7/1/2033 |
159 |
165 |
Pool # 729379, 6.00%, 8/1/2033 |
14 |
14 |
Pool # 737825, 6.00%, 9/1/2033 |
24 |
25 |
Pool # 750977, 4.50%, 11/1/2033 |
37 |
37 |
Pool # 725017, 5.50%, 12/1/2033 |
248 |
263 |
Pool # 751341, 5.50%, 3/1/2034 |
29 |
30 |
Pool # 888568, 5.00%, 12/1/2034 |
6 |
6 |
Pool # 815426, 4.50%, 2/1/2035 |
1 |
1 |
Pool # AD0755, 7.00%, 6/1/2035 |
1,748 |
1,899 |
Pool # 820347, 5.00%, 9/1/2035 |
44 |
46 |
Pool # 833657, 7.50%, 8/1/2036 |
25 |
26 |
Pool # 986648, 6.00%, 9/1/2037 |
78 |
84 |
Pool # 888892, 7.50%, 11/1/2037 |
22 |
24 |
Pool # 257510, 7.00%, 12/1/2038 |
77 |
85 |
Pool # AD0753, 7.00%, 1/1/2039 |
58 |
66 |
Pool # AT5891, 3.00%, 6/1/2043 |
1,847 |
1,756 |
Pool # AL7527, 4.50%, 9/1/2043 |
702 |
716 |
Pool # BM3500, 4.00%, 9/1/2047 |
1,883 |
1,901 |
Pool # BJ1778, 4.50%, 10/1/2047 |
670 |
676 |
Pool # BN9180, 4.00%, 6/1/2049 |
536 |
531 |
Pool # BK8753, 4.50%, 6/1/2049 |
1,038 |
1,037 |
Pool # BO1219, 4.50%, 6/1/2049 |
1,998 |
2,011 |
Pool # BO7077, 3.00%, 9/1/2049 |
2,034 |
1,899 |
Pool # CB2637, 2.50%, 1/1/2052 |
4,326 |
3,874 |
Pool # CB2670, 3.00%, 1/1/2052 |
3,889 |
3,621 |
FNMA, 30 Year |
|
|
Pool # 535183, 8.00%, 6/1/2028 |
3 |
3 |
Pool # 252409, 6.50%, 3/1/2029 |
26 |
27 |
Pool # 653815, 7.00%, 2/1/2033 |
6 |
6 |
Pool # 752786, 6.00%, 9/1/2033 |
42 |
43 |
Pool # 931717, 6.50%, 8/1/2039 |
220 |
229 |
FNMA, Other |
|
|
Pool # AM3789, 3.02%, 7/1/2023 |
2,097 |
2,088 |
Pool # AM4628, 3.69%, 11/1/2023 |
1,419 |
1,418 |
Pool # AM4668, 3.76%, 11/1/2023 |
1,857 |
1,853 |
Pool # AM4716, 3.38%, 12/1/2023 |
1,841 |
1,835 |
Pool # BS6339, 11.00%, 7/12/2024 (e) |
4,000 |
3,969 |
Pool # 470300, 3.64%, 1/1/2025 |
858 |
850 |
Pool # AM3833, 3.25%, 7/1/2025 |
3,358 |
3,297 |
Pool # AM4991, 3.97%, 12/1/2025 |
1,617 |
1,619 |
Pool # AL6805, 3.81%, 1/1/2026 (f) |
1,783 |
1,777 |
Pool # 468645, 4.54%, 7/1/2026 |
2,430 |
2,489 |
Pool # AM6448, 3.25%, 9/1/2026 |
9,298 |
9,098 |
Pool # AM7223, 3.11%, 12/1/2026 |
3,273 |
3,185 |
Pool # AM7515, 3.34%, 2/1/2027 |
2,000 |
1,978 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Pool # AM8803, 2.78%, 6/1/2027 |
4,649 |
4,443 |
Pool # AM8987, 2.79%, 6/1/2027 |
1,724 |
1,650 |
Pool # BL1040, 3.81%, 12/1/2028 |
3,000 |
3,001 |
Pool # BL4364, 2.24%, 11/1/2029 |
5,456 |
4,951 |
Pool # BL4333, 2.52%, 11/1/2029 |
6,011 |
5,559 |
Pool # AM7785, 3.17%, 2/1/2030 |
2,759 |
2,649 |
Pool # AM7516, 3.55%, 2/1/2030 |
2,000 |
1,965 |
Pool # AM8544, 3.08%, 4/1/2030 |
7,366 |
7,027 |
Pool # AM8889, 2.92%, 5/1/2030 |
8,000 |
7,499 |
Pool # AM8804, 3.10%, 5/1/2030 |
3,510 |
3,352 |
Pool # AM9020, 2.97%, 6/1/2030 |
3,699 |
3,501 |
Pool # BL9251, 1.45%, 10/1/2030 |
4,500 |
3,805 |
Pool # BL4315, 2.39%, 9/1/2031 |
4,480 |
4,025 |
Pool # BS4313, 1.98%, 1/1/2032 |
8,350 |
7,157 |
Pool # BM7037, 1.76%, 3/1/2032 (f) |
6,750 |
5,676 |
Pool # AN6149, 3.14%, 7/1/2032 |
3,050 |
2,882 |
Pool # BS6243, 3.87%, 8/1/2032 |
2,172 |
2,180 |
Pool # BS5887, 3.51%, 9/1/2032 (e) |
2,000 |
1,996 |
Pool # BS6597, IO, 3.67%, 9/1/2032 (e) |
2,850 |
2,808 |
Pool # BS6505, 3.54%, 10/1/2032 (e) |
3,491 |
3,389 |
Pool # AP9632, 4.00%, 10/1/2032 |
184 |
181 |
Pool # AP9762, 4.00%, 10/1/2032 |
274 |
270 |
Pool # AQ7084, 3.50%, 12/1/2032 |
437 |
429 |
Pool # AT2703, 3.50%, 5/1/2033 |
727 |
713 |
Pool # AT2954, 3.50%, 5/1/2033 |
471 |
462 |
Pool # AT4180, 3.50%, 5/1/2033 |
472 |
463 |
Pool # AT4939, 3.50%, 5/1/2033 |
405 |
397 |
Pool # 754922, 5.50%, 9/1/2033 |
61 |
62 |
Pool # 762520, 4.00%, 11/1/2033 |
194 |
191 |
Pool # BS4198, 2.16%, 12/1/2033 |
9,000 |
7,705 |
Pool # BS4237, 2.16%, 12/1/2033 |
4,460 |
3,742 |
Pool # AM8922, 3.03%, 6/1/2035 |
2,463 |
2,337 |
Pool # AM9188, 3.12%, 6/1/2035 |
7,000 |
6,384 |
Pool # 849215, 6.50%, 1/1/2036 |
18 |
18 |
Pool # 872740, 6.50%, 6/1/2036 |
43 |
44 |
Pool # 886320, 6.50%, 7/1/2036 |
14 |
14 |
Pool # BS4368, 2.29%, 1/1/2037 |
5,267 |
4,437 |
Pool # 888796, 6.00%, 9/1/2037 |
48 |
49 |
Pool # AO7225, 4.00%, 7/1/2042 |
261 |
259 |
Pool # AO9352, 4.00%, 7/1/2042 |
385 |
382 |
Pool # MA1125, 4.00%, 7/1/2042 |
382 |
380 |
Pool # AR1397, 3.00%, 1/1/2043 |
804 |
755 |
Pool # MA1711, 4.50%, 12/1/2043 |
1,446 |
1,466 |
Pool # MA1828, 4.50%, 3/1/2044 |
1,138 |
1,153 |
Pool # BF0464, 3.50%, 3/1/2060 |
3,155 |
3,032 |
22 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # BF0546, 2.50%, 7/1/2061 |
4,098 |
3,627 |
Pool # BF0560, 2.50%, 9/1/2061 |
5,309 |
4,680 |
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 3.50%, 9/25/2052 (e) |
53,760 |
51,219 |
GNMA I, 30 Year |
|
|
Pool # 345288, 7.50%, 3/15/2023 |
— |
— |
Pool # 554108, 6.50%, 3/15/2028 |
20 |
21 |
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 |
6 |
7 |
Pool # 486631, 6.50%, 10/15/2028 |
3 |
3 |
Pool # 591882, 6.50%, 7/15/2032 |
12 |
13 |
Pool # 607645, 6.50%, 2/15/2033 |
27 |
28 |
Pool # 607724, 7.00%, 2/15/2033 |
31 |
32 |
Pool # 604209, 6.50%, 4/15/2033 |
33 |
35 |
Pool # 781614, 7.00%, 6/15/2033 |
46 |
50 |
Pool # BM2141, 5.00%, 7/15/2049 |
524 |
551 |
GNMA II |
|
|
Pool # CE5524, ARM, 4.67%, 8/20/2071 (f) |
2,606 |
2,722 |
Pool # CE5546, ARM, 4.58%, 10/20/2071 (f) |
4,813 |
5,006 |
Pool # CK2783, ARM, 4.54%, 2/20/2072 (f) |
4,758 |
4,946 |
Pool # CK2799, ARM, 4.55%, 3/20/2072 (f) |
3,860 |
4,018 |
Pool # CK2810, ARM, 4.52%, 4/20/2072 (f) |
4,537 |
4,717 |
Pool # CP1819, ARM, 4.72%, 7/20/2072 (f) |
3,600 |
3,790 |
GNMA II, 30 Year |
|
|
Pool # 2006, 8.50%, 5/20/2025 |
1 |
1 |
Pool # 2141, 8.00%, 12/20/2025 |
— |
— |
Pool # 2234, 8.00%, 6/20/2026 |
2 |
2 |
Pool # 2270, 8.00%, 8/20/2026 |
1 |
1 |
Pool # 2285, 8.00%, 9/20/2026 |
1 |
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 |
4 |
4 |
Pool # 2525, 8.00%, 12/20/2027 |
2 |
2 |
Pool # 2549, 7.50%, 2/20/2028 |
2 |
2 |
Pool # 2646, 7.50%, 9/20/2028 |
7 |
7 |
Pool # 2647, 8.00%, 9/20/2028 |
1 |
1 |
Pool # 3427, 4.50%, 8/20/2033 |
58 |
59 |
Pool # 4245, 6.00%, 9/20/2038 |
401 |
436 |
Pool # AK8806, 4.25%, 3/20/2045 |
952 |
953 |
Pool # BM2118, 4.50%, 6/20/2049 |
153 |
153 |
Pool # BO0535, 4.00%, 7/20/2049 |
1,172 |
1,171 |
Pool # BO8227, 5.00%, 7/20/2049 |
891 |
932 |
Pool # BO8229, 5.00%, 7/20/2049 |
704 |
739 |
Pool # BM9734, 4.00%, 10/20/2049 |
1,856 |
1,863 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Pool # BQ4115, 3.00%, 3/20/2050 |
3,778 |
3,551 |
Pool # 785294, 3.50%, 1/20/2051 |
4,094 |
3,952 |
Pool # CB1543, 3.00%, 2/20/2051 |
2,676 |
2,515 |
Pool # MA7534, 2.50%, 8/20/2051 |
26,985 |
24,720 |
Pool # MA7649, 2.50%, 10/20/2051 |
4,956 |
4,529 |
Pool # CK2698, 3.00%, 2/20/2052 |
1,421 |
1,321 |
Pool # CK2716, 3.50%, 2/20/2052 |
3,993 |
3,853 |
Pool # CM2161, 3.00%, 3/20/2052 |
2,480 |
2,305 |
Pool # CM2213, 3.00%, 3/20/2052 |
475 |
442 |
Pool # CN2859, 4.50%, 6/20/2052 |
4,140 |
4,227 |
Pool # CO4824, 5.00%, 6/20/2052 |
1,632 |
1,699 |
Pool # CO4865, 5.00%, 7/20/2052 |
1,892 |
1,937 |
Pool # MA8200, 4.00%, 8/20/2052 |
9,675 |
9,555 |
Wesley Apartments , 3.81%, 8/1/2033 (e) |
10,000 |
10,006 |
Total Mortgage-Backed Securities (Cost $393,998) |
|
373,518 |
Asset-Backed Securities — 12.3% | ||
Academic Loan Funding Trust Series 2013-1A, Class A, 3.24%, 12/26/2044 (b) (f) |
646 |
630 |
ACC Series 2019-AA, 0.25%, 9/15/2022 ‡ |
3,023 |
3,013 |
Air Canada Pass-Through Trust (Canada) |
|
|
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) |
500 |
448 |
Series 2015-2, Class AA, 3.75%, 12/15/2027 (b) |
192 |
177 |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) |
390 |
348 |
Series 2017-1, Class A, 3.55%, 1/15/2030 (b) |
553 |
436 |
American Airlines Pass-Through Trust |
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028 |
305 |
274 |
Series 2017-1, Class AA, 3.65%, 2/15/2029 |
415 |
379 |
American Homes 4 Rent Trust |
|
|
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b) |
3,446 |
3,390 |
Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (b) |
2,000 |
1,988 |
Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b) |
850 |
861 |
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) |
2,570 |
2,524 |
Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b) |
500 |
496 |
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (b) |
2,380 |
2,416 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
23 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b) |
3,672 |
3,575 |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (b) |
1,275 |
1,281 |
American Tower Trust #1, 3.07%, 3/15/2023 (b) |
750 |
746 |
AMSR Trust |
|
|
Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (b) |
3,500 |
3,279 |
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (b) |
4,000 |
3,633 |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 ‡ (b) |
2,168 |
1,883 |
British Airways Pass-Through Trust (United Kingdom) |
|
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) |
471 |
437 |
Series 2018-1, Class A, 4.13%, 9/20/2031 (b) |
756 |
646 |
Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) |
637 |
560 |
Business Jet Securities LLC |
|
|
Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) |
796 |
744 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) |
2,963 |
2,665 |
Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡ |
4,698 |
4,691 |
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) |
798 |
724 |
Carvana Auto Receivables Trust Series 2019-3A, Class C, 2.71%, 10/15/2024 (b) |
1,467 |
1,466 |
CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (b) |
4,200 |
4,118 |
Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 ‡ (d) |
258 |
249 |
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 |
800 |
934 |
Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 5.72%, 3/24/2023 (b) (f) |
1,752 |
1,725 |
Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) |
2,070 |
1,953 |
CoreVest American Finance Trust |
|
|
Series 2019-2, Class D, 4.22%, 6/15/2052 ‡
(b) |
2,000 |
1,776 |
Series 2020-3, Class B, 2.20%, 8/15/2053 ‡
(b) |
3,180 |
2,558 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
CPS Auto Receivables Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (b) |
480 |
480 |
Credit Acceptance Auto Loan Trust Series 2021-2A, Class C, 1.64%, 6/17/2030 (b) |
7,280 |
6,617 |
Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (b) |
1,246 |
1,205 |
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 3.34%, 10/25/2034 (f) |
62 |
60 |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) |
2,700 |
2,403 |
Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 |
229 |
213 |
Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (b) |
1,511 |
1,478 |
Diversified Abs Phase III LLC Series 2022-1, 4.88%, 4/28/2039 (b) |
5,356 |
5,195 |
Drive Auto Receivables Trust Series 2019-4, Class C, 2.51%, 11/17/2025 |
234 |
234 |
Exeter Automobile Receivables Trust |
|
|
Series 2019-4A, Class C, 2.44%, 9/16/2024 (b) |
127 |
127 |
Series 2019-3A, Class D, 3.11%, 8/15/2025 (b) |
3,197 |
3,170 |
FirstKey Homes Trust |
|
|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 ‡ (b) |
3,000 |
2,754 |
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (b) |
4,000 |
3,494 |
Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 ‡ (b) |
3,700 |
3,318 |
FMC GMSR Issuer Trust |
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (f) |
5,000 |
4,446 |
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f) |
4,300 |
3,864 |
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f) |
3,370 |
2,931 |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 |
4,837 |
4,649 |
Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b) |
383 |
377 |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 ‡ (b) |
3,585 |
3,560 |
Freedom Series 2021-SAVF1, 4.90%, 3/25/2023 (f) |
4,395 |
4,362 |
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (f) |
45 |
37 |
24 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Asset-Backed Securities — continued | ||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) |
55 |
54 |
Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (b) |
1,522 |
1,370 |
Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b) |
323 |
304 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b) |
886 |
853 |
HERO Funding Trust |
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b) |
368 |
357 |
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b) |
890 |
869 |
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b) |
72 |
70 |
KGS-Alpha SBA COOF Trust |
|
|
Series 2012-2, Class A, IO, 0.82%, 8/25/2038 ‡ (b) (f) |
1,633 |
32 |
Series 2013-2, Class A, IO, 1.63%, 3/25/2039 ‡ (b) (f) |
1,564 |
56 |
Series 2015-2, Class A, IO, 2.86%, 7/25/2041 ‡ (b) (f) |
534 |
56 |
Lendingpoint Asset Securitization Trust Series 2022-B, Class B, 5.99%, 10/15/2029 ‡ (b) |
5,237 |
5,059 |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) |
5,537 |
5,441 |
LL ABS Trust Series 2022-1A, Class B, 5.05%, 11/15/2029 ‡ (b) |
2,900 |
2,820 |
LP LMS Asset Securitization Trust, 3.23%, 10/15/2028 |
1,717 |
1,694 |
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) |
2,330 |
2,207 |
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b) |
426 |
421 |
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (b) |
1,658 |
1,550 |
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.85%, 11/25/2033 ‡ (d) |
240 |
231 |
NRZ Excess Spread-Collateralized Notes |
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) |
1,189 |
1,120 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b) |
5,674 |
5,129 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) |
3,287 |
3,026 |
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b) |
3,010 |
2,995 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (b) |
2,767 |
2,706 |
Pagaya AI Technology in Housing Trust Series 2022-1, Class A, 4.25%, 8/25/2025 (b) |
2,667 |
2,556 |
Pendoor Proper0.00%, 2/15/2026 ‡ (b) |
4,150 |
4,077 |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 6.43%, 5/25/2027 (b) (f) |
3,450 |
3,443 |
PRET LLC |
|
|
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (d) |
3,119 |
2,935 |
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 ‡ (b) (d) |
3,936 |
3,668 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (f) |
5,910 |
5,549 |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (b)
(d) |
3,513 |
3,348 |
Progress Residential Trust |
|
|
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 |
4,000 |
3,637 |
Series 2020-SFR3, Class C, 1.70%, 10/17/2027 ‡ (b) |
3,250 |
2,948 |
Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (b) |
5,000 |
4,822 |
Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b) |
3,446 |
2,993 |
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 ‡ (b) |
2,685 |
2,497 |
Series 2022-SFR5, Class E1, 6.62%, 6/17/2039 ‡ (b) |
3,619 |
3,575 |
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (d) |
287 |
90 |
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b) |
407 |
370 |
RMIP Series 2019-1B, 4.71%, 8/25/2023 ‡ |
528 |
517 |
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 |
4,829 |
4,801 |
Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (b) |
3,955 |
3,944 |
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 ‡ (d) |
156 |
128 |
Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 ‡ (b) |
900 |
868 |
Sonoran Auto Receivables Trust Series 2018-1, 4.76%, 6/15/2025 |
921 |
906 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
300 |
265 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
25 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Asset-Backed Securities — continued | ||
Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (b) |
337 |
337 |
Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 ‡ (b) |
1,837 |
1,745 |
United Airlines Pass-Through Trust |
|
|
Series 2016-2, Class B, 3.65%, 10/7/2025 |
922 |
837 |
Series 2018-1, Class B, 4.60%, 3/1/2026 |
523 |
488 |
Series 2016-1, Class A, 3.45%, 7/7/2028 |
578 |
480 |
Series 2016-2, Class A, 3.10%, 10/7/2028 |
1,017 |
825 |
Series 2018-1, Class AA, 3.50%, 3/1/2030 |
884 |
791 |
Series 2018-1, Class A, 3.70%, 3/1/2030 |
1,372 |
1,153 |
Series 2019-1, Class AA, 4.15%, 8/25/2031 |
866 |
794 |
Series 2019-1, Class A, 4.55%, 8/25/2031 |
774 |
643 |
Series 2019-2, Class AA, 2.70%, 5/1/2032 |
1,196 |
1,008 |
US Airways Pass-Through Trust Series 2011-1, Class A, 7.13%, 10/22/2023 |
1,236 |
1,234 |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (b) |
4,700 |
4,544 |
vMobo, Inc., 7.46%, 7/18/2027 |
6,000 |
6,000 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (d) |
2,051 |
1,915 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (d) |
5,024 |
4,748 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (d) |
3,520 |
3,349 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 ‡ (b) (d) |
2,941 |
2,759 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (d) |
2,970 |
2,815 |
Westlake Automobile Receivables Trust |
|
|
Series 2019-2A, Class D, 3.20%, 11/15/2024 (b) |
1,897 |
1,894 |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (b) |
4,910 |
4,894 |
Total Asset-Backed Securities (Cost $265,389) |
|
251,607 |
Collateralized Mortgage Obligations — 8.5% | ||
Alternative Loan Trust |
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
2,993 |
3,002 |
Series 2005-1CB, Class 1A6, IF, IO, 4.66%, 3/25/2035 ‡ (f) |
393 |
33 |
Series 2005-22T1, Class A2, IF, IO, 2.63%, 6/25/2035 ‡ (f) |
2,894 |
216 |
Series 2005-20CB, Class 3A8, IF, IO, 2.31%, 7/25/2035 ‡ (f) |
1,116 |
63 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 |
1,053 |
955 |
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 |
51 |
27 |
Series 2005-37T1, Class A2, IF, IO, 2.61%, 9/25/2035 ‡ (f) |
2,161 |
174 |
Series 2005-54CB, Class 1A2, IF, IO, 2.41%, 11/25/2035 ‡ (f) |
1,709 |
113 |
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
679 |
556 |
Series 2005-57CB, Class 3A2, IF, IO, 2.66%, 12/25/2035 ‡ (f) |
453 |
52 |
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 |
333 |
304 |
Series 2006-26CB, Class A9, 6.50%, 9/25/2036 |
875 |
527 |
Banc of America Alternative Loan Trust |
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡ |
6 |
3 |
Series 2006-4, Class 1A4, 6.00%, 5/25/2046 |
246 |
209 |
Banc of America Funding Trust |
|
|
Series 2004-1, PO, 3/25/2034 ‡ |
66 |
48 |
Series 2004-2, Class 30, PO, 9/20/2034 ‡ |
76 |
57 |
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 |
144 |
129 |
Series 2005-7, Class 30, PO, 11/25/2035 ‡ |
77 |
73 |
Series 2005-8, Class 30, PO, 1/25/2036 ‡ |
35 |
23 |
Series 2006-A, Class 3A2, 3.18%, 2/20/2036 (f) |
105 |
98 |
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 2.63%, 2/25/2034 (f) |
28 |
27 |
Bayview Financing Trust Series 2020-3F, Class A, 3.08%, 11/10/2022 (b) (f) |
1,190 |
1,188 |
Bear Stearns ARM Trust |
|
|
Series 2003-7, Class 3A, 3.15%, 10/25/2033 (f) |
15 |
14 |
Series 2004-1, Class 12A1, 2.91%, 4/25/2034 (f) |
158 |
151 |
Series 2004-2, Class 14A, 3.08%, 5/25/2034 (f) |
19 |
18 |
Series 2006-1, Class A1, 2.40%, 2/25/2036 (f) |
293 |
287 |
CFMT LLC Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (f) |
1,827 |
1,800 |
CHL Mortgage Pass-Through Trust |
|
|
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 |
2 |
— |
Series 2004-HYB1, Class 2A, 3.02%, 5/20/2034 (f) |
32 |
30 |
26 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (f) |
116 |
112 |
Series 2004-7, Class 2A1, 3.16%, 6/25/2034 (f) |
88 |
84 |
Series 2004-HYB6, Class A3, 2.91%, 11/20/2034 (f) |
125 |
120 |
Series 2005-16, Class A23, 5.50%, 9/25/2035 |
211 |
153 |
Series 2005-22, Class 2A1, 2.49%, 11/25/2035 (f) |
661 |
590 |
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust |
|
|
Series 2005-5, Class A, PO, 8/25/2035 ‡ |
28 |
20 |
Series 2005-8, Class A, PO, 11/25/2035 ‡ |
52 |
38 |
Citigroup Global Markets Mortgage Securities VII, Inc. |
|
|
Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ |
1 |
1 |
Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (f) |
16 |
17 |
Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f) |
251 |
240 |
Citigroup Mortgage Loan Trust, Inc. |
|
|
Series 2003-1, Class 3, PO, 9/25/2033 ‡ |
10 |
7 |
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
9 |
8 |
Series 2003-1, Class 2, PO, 10/25/2033 ‡ |
1 |
1 |
Series 2003-1, Class 2A6, PO, 10/25/2033 ‡ |
8 |
7 |
Series 2003-1, Class 2A5, 5.25%, 10/25/2033 |
15 |
14 |
Series 2004-UST1, Class A6, 3.91%, 8/25/2034 (f) |
11 |
10 |
Series 2005-1, Class 2A1A, 2.42%, 2/25/2035 (f) |
144 |
122 |
Series 2005-2, Class 2A11, 5.50%, 5/25/2035 |
104 |
98 |
Series 2005-5, Class 1A2, 3.76%, 8/25/2035 (f) |
175 |
131 |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |
|
|
Series 2003-1, Class DB1, 6.66%, 2/25/2033 (f) |
190 |
185 |
Series 2003-21, Class 1A4, 5.25%, 9/25/2033 |
49 |
46 |
Series 2003-25, Class 1P, PO, 10/25/2033 ‡ |
83 |
63 |
CSFB Mortgage-Backed Pass-Through Certificates |
|
|
Series 2005-4, Class 3A18, 5.50%, 6/25/2035 |
492 |
475 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2005-4, Class 3A23, 5.50%, 6/25/2035 |
1,038 |
1,001 |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (f) |
5,588 |
5,278 |
FHLMC - GNMA Series 8, Class ZA, 7.00%, 3/25/2023 |
1 |
1 |
FHLMC, REMIC |
|
|
Series 1370, Class JA, 3.54%, 9/15/2022 (f) |
— |
— |
Series 2512, Class PG, 5.50%, 10/15/2022 |
1 |
1 |
Series 1455, Class WB, IF, 3.68%, 12/15/2022 (f) |
— |
— |
Series 2535, Class BK, 5.50%, 12/15/2022 |
— |
— |
Series 1470, Class F, 1.37%, 2/15/2023 (f) |
— |
— |
Series 2568, Class KG, 5.50%, 2/15/2023 |
6 |
6 |
Series 1466, Class PZ, 7.50%, 2/15/2023 |
2 |
2 |
Series 1498, Class I, 3.54%, 4/15/2023 (f) |
4 |
4 |
Series 1502, Class PX, 7.00%, 4/15/2023 |
6 |
6 |
Series 1798, Class F, 5.00%, 5/15/2023 |
6 |
6 |
Series 1518, Class G, IF, 6.27%, 5/15/2023 (f) |
2 |
2 |
Series 1505, Class Q, 7.00%, 5/15/2023 |
1 |
1 |
Series 1541, Class O, 2.37%, 7/15/2023 (f) |
2 |
2 |
Series 2638, Class DS, IF, 6.21%, 7/15/2023 (f) |
1 |
1 |
Series 1541, Class M, HB, IF, 26.03%, 7/15/2023 (f) |
1 |
1 |
Series 1570, Class F, 2.05%, 8/15/2023 (f) |
— |
— |
Series 1608, Class L, 6.50%, 9/15/2023 |
30 |
30 |
Series 1573, Class PZ, 7.00%, 9/15/2023 |
7 |
7 |
Series 2571, Class SK, HB, IF, 24.19%, 9/15/2023 (f) |
3 |
3 |
Series 1591, Class PV, 6.25%, 10/15/2023 |
5 |
5 |
Series 1602, Class SA, IF, 16.25%, 10/15/2023 (f) |
3 |
3 |
Series 2710, Class HB, 5.50%, 11/15/2023 |
30 |
30 |
Series 1642, Class PJ, 6.00%, 11/15/2023 |
14 |
14 |
Series 2716, Class UN, 4.50%, 12/15/2023 |
27 |
27 |
Series 1638, Class H, 6.50%, 12/15/2023 |
21 |
22 |
Series 2283, Class K, 6.50%, 12/15/2023 |
8 |
8 |
Series 1865, Class D, PO, 2/15/2024 |
11 |
10 |
Series 1760, Class ZD, 2.44%, 2/15/2024 (f) |
22 |
21 |
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (f) |
4 |
4 |
Series 1686, Class SH, IF, 14.74%, 2/15/2024 (f) |
1 |
1 |
Series 1709, Class FA, 2.09%, 3/15/2024 (f) |
— |
— |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
27 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 1699, Class FC, 2.60%, 3/15/2024 (f) |
1 |
1 |
Series 1695, Class EB, 7.00%, 3/15/2024 |
5 |
5 |
Series 1706, Class K, 7.00%, 3/15/2024 |
14 |
14 |
Series 2033, Class SN, HB, IF, 28.94%, 3/15/2024 (f) |
2 |
— |
Series 2306, Class K, PO, 5/15/2024 |
3 |
3 |
Series 2306, Class SE, IF, IO, 7.66%, 5/15/2024 (f) |
7 |
— |
Series 1745, Class D, 7.50%, 8/15/2024 |
5 |
6 |
Series 3720, Class A, 4.50%, 9/15/2025 |
35 |
36 |
Series 3131, Class BK, 5.50%, 3/15/2026 |
147 |
149 |
Series 1829, Class ZB, 6.50%, 3/15/2026 |
3 |
3 |
Series 1863, Class Z, 6.50%, 7/15/2026 |
3 |
3 |
Series 1890, Class H, 7.50%, 9/15/2026 |
6 |
7 |
Series 1899, Class ZE, 8.00%, 9/15/2026 |
23 |
24 |
Series 3229, Class HE, 5.00%, 10/15/2026 |
160 |
161 |
Series 1963, Class Z, 7.50%, 1/15/2027 |
19 |
20 |
Series 1935, Class FL, 3.09%, 2/15/2027 (f) |
1 |
1 |
Series 1981, Class Z, 6.00%, 5/15/2027 |
25 |
26 |
Series 1970, Class PG, 7.25%, 7/15/2027 |
2 |
2 |
Series 1987, Class PE, 7.50%, 9/15/2027 |
13 |
13 |
Series 2019, Class Z, 6.50%, 12/15/2027 |
28 |
29 |
Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
21 |
2 |
Series 2040, Class PE, 7.50%, 3/15/2028 |
39 |
42 |
Series 4251, Class KW, 2.50%, 4/15/2028 |
2,947 |
2,870 |
Series 2043, Class CJ, 6.50%, 4/15/2028 |
6 |
7 |
Series 2054, Class PV, 7.50%, 5/15/2028 |
32 |
34 |
Series 2075, Class PM, 6.25%, 8/15/2028 |
73 |
75 |
Series 2075, Class PH, 6.50%, 8/15/2028 |
65 |
68 |
Series 2086, Class GB, 6.00%, 9/15/2028 |
11 |
11 |
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
32 |
3 |
Series 2095, Class PE, 6.00%, 11/15/2028 |
82 |
85 |
Series 2125, Class JZ, 6.00%, 2/15/2029 |
30 |
31 |
Series 2136, Class PG, 6.00%, 3/15/2029 |
33 |
34 |
Series 2132, Class SB, HB, IF, 20.27%, 3/15/2029 (f) |
6 |
7 |
Series 2141, IO, 7.00%, 4/15/2029 |
9 |
1 |
Series 2169, Class TB, 7.00%, 6/15/2029 |
105 |
111 |
Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
11 |
1 |
Series 2172, Class QC, 7.00%, 7/15/2029 |
66 |
71 |
Series 2176, Class OJ, 7.00%, 8/15/2029 |
53 |
58 |
Series 2201, Class C, 8.00%, 11/15/2029 |
24 |
26 |
Series 2209, Class TC, 8.00%, 1/15/2030 |
29 |
31 |
Series 2210, Class Z, 8.00%, 1/15/2030 |
56 |
62 |
Series 2224, Class CB, 8.00%, 3/15/2030 |
13 |
15 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2230, Class Z, 8.00%, 4/15/2030 |
35 |
38 |
Series 2234, Class PZ, 7.50%, 5/15/2030 |
27 |
30 |
Series 2247, Class Z, 7.50%, 8/15/2030 |
29 |
31 |
Series 2256, Class MC, 7.25%, 9/15/2030 |
29 |
31 |
Series 2259, Class ZM, 7.00%, 10/15/2030 |
50 |
54 |
Series 2262, Class Z, 7.50%, 10/15/2030 |
6 |
7 |
Series 2271, Class PC, 7.25%, 12/15/2030 |
60 |
65 |
Series 2296, Class PD, 7.00%, 3/15/2031 |
37 |
39 |
Series 2313, Class LA, 6.50%, 5/15/2031 |
20 |
22 |
Series 2325, Class PM, 7.00%, 6/15/2031 |
30 |
33 |
Series 2359, Class ZB, 8.50%, 6/15/2031 |
89 |
99 |
Series 2344, Class ZD, 6.50%, 8/15/2031 |
311 |
329 |
Series 2344, Class ZJ, 6.50%, 8/15/2031 |
32 |
35 |
Series 2345, Class NE, 6.50%, 8/15/2031 |
25 |
27 |
Series 2351, Class PZ, 6.50%, 8/15/2031 |
20 |
21 |
Series 2353, Class AZ, 6.00%, 9/15/2031 |
179 |
185 |
Series 2367, Class ME, 6.50%, 10/15/2031 |
60 |
63 |
Series 2396, Class FM, 2.84%, 12/15/2031 (f) |
76 |
76 |
Series 2399, Class OH, 6.50%, 1/15/2032 |
67 |
71 |
Series 2399, Class TH, 6.50%, 1/15/2032 |
82 |
88 |
Series 2464, Class SI, IF, IO, 5.61%, 2/15/2032 (f) |
149 |
14 |
Series 2410, Class QX, IF, IO, 6.26%, 2/15/2032 (f) |
33 |
3 |
Series 2410, Class OE, 6.38%, 2/15/2032 |
16 |
16 |
Series 2410, Class NG, 6.50%, 2/15/2032 |
75 |
80 |
Series 2420, Class XK, 6.50%, 2/15/2032 |
114 |
122 |
Series 2412, Class SP, IF, 11.32%, 2/15/2032 (f) |
59 |
64 |
Series 2410, Class QS, IF, 13.28%, 2/15/2032 (f) |
61 |
70 |
Series 2444, Class ES, IF, IO, 5.56%, 3/15/2032 (f) |
59 |
7 |
Series 2450, Class SW, IF, IO, 5.61%, 3/15/2032 (f) |
47 |
6 |
Series 2430, Class WF, 6.50%, 3/15/2032 |
154 |
166 |
Series 2423, Class MC, 7.00%, 3/15/2032 |
88 |
95 |
Series 2423, Class MT, 7.00%, 3/15/2032 |
75 |
82 |
Series 2435, Class CJ, 6.50%, 4/15/2032 |
108 |
116 |
Series 2434, Class TC, 7.00%, 4/15/2032 |
86 |
94 |
Series 2436, Class MC, 7.00%, 4/15/2032 |
49 |
52 |
Series 2455, Class GK, 6.50%, 5/15/2032 |
180 |
188 |
Series 2450, Class GZ, 7.00%, 5/15/2032 |
52 |
57 |
Series 2462, Class JG, 6.50%, 6/15/2032 |
78 |
84 |
Series 2466, Class PH, 6.50%, 6/15/2032 |
132 |
141 |
28 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2474, Class NR, 6.50%, 7/15/2032 |
80 |
85 |
Series 2484, Class LZ, 6.50%, 7/15/2032 |
87 |
92 |
Series 2500, Class MC, 6.00%, 9/15/2032 |
90 |
96 |
Series 2835, Class QO, PO, 12/15/2032 |
12 |
10 |
Series 2543, Class YX, 6.00%, 12/15/2032 |
161 |
169 |
Series 2544, Class HC, 6.00%, 12/15/2032 |
105 |
113 |
Series 2552, Class ME, 6.00%, 1/15/2033 |
186 |
197 |
Series 2567, Class QD, 6.00%, 2/15/2033 |
181 |
193 |
Series 2575, Class ME, 6.00%, 2/15/2033 |
449 |
475 |
Series 2596, Class QG, 6.00%, 3/15/2033 |
109 |
112 |
Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
51 |
9 |
Series 2692, Class SC, IF, 8.50%, 7/15/2033 (f) |
32 |
33 |
Series 4240, Class B, 3.00%, 8/15/2033 |
2,501 |
2,412 |
Series 3920, Class LP, 5.00%, 1/15/2034 |
425 |
437 |
Series 2744, Class PE, 5.50%, 2/15/2034 |
5 |
5 |
Series 3611, PO, 7/15/2034 |
28 |
25 |
Series 2990, Class UZ, 5.75%, 6/15/2035 |
1,089 |
1,141 |
Series 3004, Class EK, 5.50%, 7/15/2035 |
1,233 |
1,310 |
Series 3014, Class OD, PO, 8/15/2035 |
30 |
25 |
Series 3085, Class WF, 3.19%, 8/15/2035 (f) |
70 |
71 |
Series 3047, Class OD, 5.50%, 10/15/2035 |
486 |
499 |
Series 3074, Class BH, 5.00%, 11/15/2035 |
147 |
149 |
Series 3064, Class MC, 5.50%, 11/15/2035 |
3,095 |
3,240 |
Series 3102, Class FB, 2.69%, 1/15/2036 (f) |
61 |
61 |
Series 3102, Class HS, IF, 15.80%, 1/15/2036 (f) |
21 |
22 |
Series 3117, Class EO, PO, 2/15/2036 |
178 |
152 |
Series 3117, Class OK, PO, 2/15/2036 |
106 |
90 |
Series 3134, PO, 3/15/2036 |
27 |
23 |
Series 3152, Class MO, PO, 3/15/2036 |
144 |
124 |
Series 3122, Class ZB, 6.00%, 3/15/2036 |
29 |
33 |
Series 3138, PO, 4/15/2036 |
123 |
104 |
Series 3607, Class BO, PO, 4/15/2036 |
60 |
52 |
Series 3219, Class DI, IO, 6.00%, 4/15/2036 |
90 |
18 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 |
550 |
590 |
Series 3149, Class SO, PO, 5/15/2036 |
22 |
18 |
Series 3233, Class OP, PO, 5/15/2036 |
36 |
31 |
Series 3171, Class MO, PO, 6/15/2036 |
21 |
19 |
Series 3179, Class OA, PO, 7/15/2036 |
108 |
91 |
Series 3194, Class SA, IF, IO, 4.71%, 7/15/2036 (f) |
27 |
4 |
Series 3211, Class SO, PO, 9/15/2036 |
122 |
104 |
Series 3218, Class AO, PO, 9/15/2036 |
61 |
47 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 3232, Class ST, IF, IO, 4.31%, 10/15/2036 (f) |
140 |
17 |
Series 3256, PO, 12/15/2036 |
86 |
70 |
Series 3261, Class OA, PO, 1/15/2037 |
101 |
83 |
Series 3260, Class CS, IF, IO, 3.75%, 1/15/2037 (f) |
161 |
18 |
Series 3274, Class JO, PO, 2/15/2037 |
23 |
20 |
Series 3275, Class FL, 2.83%, 2/15/2037 (f) |
25 |
25 |
Series 3290, Class SB, IF, IO, 4.06%, 3/15/2037 (f) |
213 |
23 |
Series 3318, Class AO, PO, 5/15/2037 |
6 |
5 |
Series 3607, PO, 5/15/2037 |
129 |
106 |
Series 3315, Class HZ, 6.00%, 5/15/2037 |
111 |
116 |
Series 3326, Class JO, PO, 6/15/2037 |
7 |
6 |
Series 3331, PO, 6/15/2037 |
87 |
73 |
Series 3607, Class OP, PO, 7/15/2037 |
293 |
241 |
Series 4048, Class FJ, 2.11%, 7/15/2037 (f) |
354 |
351 |
Series 3385, Class SN, IF, IO, 3.61%, 11/15/2037 (f) |
29 |
3 |
Series 3387, Class SA, IF, IO, 4.03%, 11/15/2037 (f) |
129 |
14 |
Series 3422, Class AI, IO, 0.25%, 1/15/2038 (d) |
791 |
7 |
Series 3404, Class SC, IF, IO, 3.61%, 1/15/2038 (f) |
204 |
20 |
Series 3424, Class PI, IF, IO, 4.41%, 4/15/2038 (f) |
175 |
24 |
Series 3481, Class SJ, IF, IO, 3.46%, 8/15/2038 (f) |
219 |
21 |
Series 3511, Class SA, IF, IO, 3.61%, 2/15/2039 (f) |
165 |
15 |
Series 3549, Class FA, 3.59%, 7/15/2039 (f) |
13 |
13 |
Series 3621, Class BO, PO, 1/15/2040 |
84 |
71 |
Series 3747, Class PY, 4.00%, 10/15/2040 |
782 |
777 |
Series 3925, Class FL, 2.84%, 1/15/2041 (f) |
83 |
83 |
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f) |
85 |
83 |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) |
251 |
244 |
Series 3957, Class B, 4.00%, 11/15/2041 |
107 |
106 |
Series 3966, Class NA, 4.00%, 12/15/2041 |
249 |
251 |
Series 4217, Class KY, 3.00%, 6/15/2043 |
2,000 |
1,838 |
FHLMC, STRIPS |
|
|
Series 233, Class 11, IO, 5.00%, 9/15/2035 |
195 |
41 |
Series 233, Class 13, IO, 5.00%, 9/15/2035 |
282 |
59 |
Series 299, Class 300, 3.00%, 1/15/2043 |
1,315 |
1,224 |
Series 310, PO, 9/15/2043 |
674 |
546 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
29 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 323, Class 300, 3.00%, 1/15/2044 |
1,007 |
944 |
FHLMC, Structured Pass-Through Certificates, Whole Loan |
|
|
Series T-41, Class 3A, 4.46%, 7/25/2032 (f) |
221 |
219 |
Series T-76, Class 2A, 1.84%, 10/25/2037 (f) |
519 |
459 |
Series T-51, Class 2A, 7.50%, 8/25/2042 (f) |
158 |
166 |
Series T-54, Class 2A, 6.50%, 2/25/2043 |
890 |
970 |
Series T-54, Class 3A, 7.00%, 2/25/2043 |
246 |
263 |
Series T-58, Class A, PO, 9/25/2043 |
74 |
55 |
Series T-59, Class 1AP, PO, 10/25/2043 |
168 |
95 |
First Horizon Alternative Mortgage Securities Trust |
|
|
Series 2004-AA4, Class A1, 2.66%, 10/25/2034 (f) |
98 |
99 |
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 |
354 |
201 |
Series 2007-FA4, Class 1A2, IF, IO, 3.21%, 8/25/2037 ‡ (f) |
854 |
95 |
FMC GMSR Issuer Trust, 3.69%, 2/25/2024 |
7,325 |
7,142 |
FNMA Trust, Whole Loan |
|
|
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 |
69 |
75 |
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
129 |
139 |
Series 2004-W15, Class 2AF, 2.69%, 8/25/2044 (f) |
174 |
173 |
Series 2005-W3, Class 2AF, 2.66%, 3/25/2045 (f) |
504 |
503 |
Series 2006-W2, Class 1AF1, 2.66%, 2/25/2046 (f) |
166 |
164 |
FNMA, Grantor Trust, Whole Loan |
|
|
Series 2002-T19, Class A2, 7.00%, 7/25/2042 |
419 |
455 |
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 |
230 |
247 |
FNMA, REMIC |
|
|
Series 1992-163, Class M, 7.75%, 9/25/2022 |
— |
— |
Series G92-62, Class B, PO, 10/25/2022 |
— |
— |
Series 1992-188, Class PZ, 7.50%, 10/25/2022 |
— |
— |
Series G93-1, Class KA, 7.90%, 1/25/2023 |
— |
— |
Series G93-5, Class Z, 6.50%, 2/25/2023 |
— |
— |
Series 1997-61, Class ZC, 7.00%, 2/25/2023 |
4 |
4 |
Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (f) |
— |
— |
Series G93-14, Class J, 6.50%, 3/25/2023 |
— |
— |
Series 1993-25, Class J, 7.50%, 3/25/2023 |
1 |
1 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 1993-21, Class KA, 7.70%, 3/25/2023 |
1 |
1 |
Series 1998-4, Class C, PO, 4/25/2023 |
— |
— |
Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (f) |
1 |
1 |
Series 1993-62, Class SA, IF, 12.10%, 4/25/2023 (f) |
1 |
1 |
Series 1998-43, Class SA, IF, IO, 15.23%, 4/25/2023 (f) |
1 |
— |
Series 2003-39, Class LW, 5.50%, 5/25/2023 |
18 |
18 |
Series 2003-41, Class PE, 5.50%, 5/25/2023 |
7 |
7 |
Series G93-27, Class FD, 3.32%, 8/25/2023 (f) |
1 |
1 |
Series 1999-38, Class SK, IF, IO, 5.61%, 8/25/2023 (f) |
— |
— |
Series 2002-83, Class CS, 6.88%, 8/25/2023 |
18 |
18 |
Series 1996-14, Class SE, IF, IO, 7.81%, 8/25/2023 (f) |
9 |
— |
Series 1993-205, Class H, PO, 9/25/2023 |
1 |
1 |
Series G93-37, Class H, PO, 9/25/2023 |
— |
— |
Series 1993-165, Class SD, IF, 7.19%, 9/25/2023 (f) |
1 |
1 |
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (f) |
1 |
1 |
Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (f) |
1 |
1 |
Series 1993-179, Class SB, IF, 13.94%, 10/25/2023 (f) |
1 |
1 |
Series 1999-52, Class NS, IF, 16.54%, 10/25/2023 (f) |
2 |
2 |
Series 1995-19, Class Z, 6.50%, 11/25/2023 |
12 |
12 |
Series 1993-230, Class FA, 2.86%, 12/25/2023 (f) |
1 |
1 |
Series 1993-247, Class FE, 3.44%, 12/25/2023 (f) |
3 |
3 |
Series 1993-225, Class UB, 6.50%, 12/25/2023 |
3 |
3 |
Series 1993-247, Class SU, IF, 9.34%, 12/25/2023 (f) |
1 |
1 |
Series 2002-1, Class UD, IF, 15.95%, 12/25/2023 (f) |
3 |
3 |
Series 1994-37, Class L, 6.50%, 3/25/2024 |
11 |
11 |
Series 1994-40, Class Z, 6.50%, 3/25/2024 |
74 |
75 |
Series 2004-53, Class NC, 5.50%, 7/25/2024 |
7 |
7 |
Series 1995-2, Class Z, 8.50%, 1/25/2025 |
4 |
4 |
Series G95-1, Class C, 8.80%, 1/25/2025 |
5 |
5 |
Series 1997-20, IO, 1.84%, 3/25/2027 (f) |
4 |
— |
Series 1997-27, Class J, 7.50%, 4/18/2027 |
3 |
3 |
30 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 1997-29, Class J, 7.50%, 4/20/2027 |
8 |
8 |
Series 1997-39, Class PD, 7.50%, 5/20/2027 |
41 |
43 |
Series 1997-42, Class ZC, 6.50%, 7/18/2027 |
3 |
3 |
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
11 |
1 |
Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
19 |
20 |
Series 1999-18, Class Z, 5.50%, 4/18/2029 |
16 |
16 |
Series 1999-17, Class C, 6.35%, 4/25/2029 |
13 |
14 |
Series 1999-62, Class PB, 7.50%, 12/18/2029 |
22 |
23 |
Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
65 |
70 |
Series 2000-20, Class SA, IF, IO, 6.66%, 7/25/2030 (f) |
28 |
1 |
Series 2000-52, IO, 8.50%, 1/25/2031 |
8 |
1 |
Series 2001-7, Class PF, 7.00%, 3/25/2031 |
18 |
20 |
Series 2011-31, Class DB, 3.50%, 4/25/2031 |
955 |
943 |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
61 |
8 |
Series 2001-30, Class PM, 7.00%, 7/25/2031 |
53 |
57 |
Series 2001-36, Class DE, 7.00%, 8/25/2031 |
56 |
60 |
Series 2001-49, Class Z, 6.50%, 9/25/2031 |
16 |
17 |
Series 2001-44, Class MY, 7.00%, 9/25/2031 |
131 |
142 |
Series 2001-44, Class PD, 7.00%, 9/25/2031 |
16 |
17 |
Series 2001-44, Class PU, 7.00%, 9/25/2031 |
20 |
21 |
Series 2001-52, Class KB, 6.50%, 10/25/2031 |
19 |
20 |
Series 2003-52, Class SX, IF, 15.62%, 10/25/2031 (f) |
30 |
35 |
Series 2001-61, Class Z, 7.00%, 11/25/2031 |
203 |
220 |
Series 2001-72, Class SX, IF, 11.77%, 12/25/2031 (f) |
4 |
4 |
Series 2002-1, Class SA, IF, 17.25%, 2/25/2032 (f) |
10 |
11 |
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f) |
153 |
5 |
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f) |
2 |
2 |
Series 2002-21, Class LO, PO, 4/25/2032 |
5 |
5 |
Series 2002-21, Class PE, 6.50%, 4/25/2032 |
52 |
55 |
Series 2002-28, Class PK, 6.50%, 5/25/2032 |
131 |
139 |
Series 2012-66, Class CB, 3.00%, 6/25/2032 |
2,988 |
2,895 |
Series 2002-37, Class Z, 6.50%, 6/25/2032 |
37 |
38 |
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 |
137 |
16 |
Series 2002-48, Class GH, 6.50%, 8/25/2032 |
200 |
215 |
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f) |
24 |
25 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2004-59, Class BG, PO, 12/25/2032 |
66 |
57 |
Series 2002-77, Class S, IF, 10.00%, 12/25/2032 (f) |
29 |
31 |
Series 2003-22, Class UD, 4.00%, 4/25/2033 |
647 |
645 |
Series 2003-35, Class UC, 3.75%, 5/25/2033 |
5 |
5 |
Series 2003-42, Class GB, 4.00%, 5/25/2033 |
49 |
49 |
Series 2003-34, Class AX, 6.00%, 5/25/2033 |
106 |
112 |
Series 2003-34, Class ED, 6.00%, 5/25/2033 |
555 |
587 |
Series 2003-39, IO, 6.00%, 5/25/2033 (f) |
24 |
4 |
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 |
196 |
35 |
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 |
356 |
33 |
Series 2003-47, Class PE, 5.75%, 6/25/2033 |
103 |
108 |
Series 2003-64, Class SX, IF, 7.82%, 7/25/2033 (f) |
24 |
23 |
Series 2003-132, Class OA, PO, 8/25/2033 |
8 |
7 |
Series 2003-71, Class DS, IF, 4.30%, 8/25/2033 (f) |
231 |
214 |
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 |
192 |
30 |
Series 2003-74, Class SH, IF, 5.77%, 8/25/2033 (f) |
53 |
52 |
Series 2003-91, Class SD, IF, 8.43%, 9/25/2033 (f) |
45 |
46 |
Series 2013-101, Class AE, 3.00%, 10/25/2033 |
3,126 |
3,028 |
Series 2013-101, Class E, 3.00%, 10/25/2033 |
2,832 |
2,743 |
Series 2013-108, Class GU, 3.00%, 10/25/2033 |
3,692 |
3,575 |
Series 2003-116, Class SB, IF, IO, 5.16%, 11/25/2033 (f) |
271 |
29 |
Series 2006-44, Class P, PO, 12/25/2033 |
505 |
430 |
Series 2003-130, Class SX, IF, 7.85%, 1/25/2034 (f) |
5 |
5 |
Series 2004-25, Class SA, IF, 12.80%, 4/25/2034 (f) |
117 |
129 |
Series 2004-46, Class SK, IF, 9.78%, 5/25/2034 (f) |
217 |
222 |
Series 2004-36, Class SA, IF, 12.80%, 5/25/2034 (f) |
261 |
292 |
Series 2004-46, Class QB, IF, 14.23%, 5/25/2034 (f) |
100 |
110 |
Series 2004-51, Class SY, IF, 9.35%, 7/25/2034 (f) |
50 |
49 |
Series 2005-74, Class CS, IF, 13.30%, 5/25/2035 (f) |
63 |
63 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
31 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2005-56, Class S, IF, IO, 4.27%, 7/25/2035 (f) |
232 |
25 |
Series 2005-66, Class SG, IF, 11.27%, 7/25/2035 (f) |
84 |
95 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 |
231 |
240 |
Series 2005-84, Class XM, 5.75%, 10/25/2035 |
626 |
647 |
Series 2005-110, Class GL, 5.50%, 12/25/2035 |
1,894 |
1,994 |
Series 2006-46, Class UC, 5.50%, 12/25/2035 |
121 |
123 |
Series 2005-109, Class PC, 6.00%, 12/25/2035 |
198 |
205 |
Series 2006-39, Class WC, 5.50%, 1/25/2036 |
95 |
96 |
Series 2006-16, Class OA, PO, 3/25/2036 |
86 |
74 |
Series 2006-22, Class AO, PO, 4/25/2036 |
143 |
122 |
Series 2006-23, Class KO, PO, 4/25/2036 |
25 |
22 |
Series 2006-44, Class GO, PO, 6/25/2036 |
200 |
172 |
Series 2006-53, Class US, IF, IO, 4.14%, 6/25/2036 (f) |
292 |
33 |
Series 2006-56, PO, 7/25/2036 |
158 |
133 |
Series 2006-58, PO, 7/25/2036 |
88 |
75 |
Series 2006-58, Class AP, PO, 7/25/2036 |
173 |
146 |
Series 2006-65, Class QO, PO, 7/25/2036 |
134 |
116 |
Series 2006-56, Class FC, 2.73%, 7/25/2036 (f) |
286 |
285 |
Series 2006-58, Class FL, 2.90%, 7/25/2036 (f) |
22 |
22 |
Series 2006-60, Class DZ, 6.50%, 7/25/2036 |
3,380 |
3,568 |
Series 2006-72, Class TO, PO, 8/25/2036 |
24 |
20 |
Series 2006-79, Class DO, PO, 8/25/2036 |
108 |
96 |
Series 2007-7, Class SG, IF, IO, 4.06%, 8/25/2036 (f) |
785 |
110 |
Series 2006-77, Class PC, 6.50%, 8/25/2036 |
323 |
341 |
Series 2006-90, Class AO, PO, 9/25/2036 |
73 |
64 |
Series 2008-42, Class AO, PO, 9/25/2036 |
41 |
35 |
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 |
544 |
116 |
Series 2006-109, PO, 11/25/2036 |
44 |
36 |
Series 2006-110, PO, 11/25/2036 |
235 |
199 |
Series 2006-111, Class EO, PO, 11/25/2036 |
31 |
26 |
Series 2006-124, Class HB, 2.00%, 11/25/2036 (f) |
428 |
446 |
Series 2006-119, PO, 12/25/2036 |
36 |
32 |
Series 2006-118, Class A2, 2.32%, 12/25/2036 (f) |
128 |
127 |
Series 2009-70, Class CO, PO, 1/25/2037 |
217 |
186 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2006-128, Class BP, 5.50%, 1/25/2037 |
53 |
54 |
Series 2007-77, Class FG, 2.94%, 3/25/2037 (f) |
37 |
37 |
Series 2007-16, Class FC, 3.19%, 3/25/2037 (f) |
46 |
47 |
Series 2007-14, Class ES, IF, IO, 4.00%, 3/25/2037 (f) |
358 |
38 |
Series 2007-42, Class AO, PO, 5/25/2037 |
13 |
11 |
Series 2007-48, PO, 5/25/2037 |
59 |
54 |
Series 2007-60, Class AX, IF, IO, 4.71%, 7/25/2037 (f) |
1,074 |
168 |
Series 2007-81, Class GE, 6.00%, 8/25/2037 |
112 |
117 |
Series 2007-88, Class VI, IF, IO, 4.10%, 9/25/2037 (f) |
733 |
90 |
Series 2007-91, Class ES, IF, IO, 4.02%, 10/25/2037 (f) |
530 |
59 |
Series 2007-116, Class HI, IO, 0.00%, 1/25/2038 (f) |
300 |
10 |
Series 2008-1, Class BI, IF, IO, 3.47%, 2/25/2038 (f) |
172 |
17 |
Series 2008-16, Class IS, IF, IO, 3.76%, 3/25/2038 (f) |
68 |
6 |
Series 2008-10, Class XI, IF, IO, 3.79%, 3/25/2038 (f) |
151 |
15 |
Series 2008-27, Class SN, IF, IO, 4.46%, 4/25/2038 (f) |
75 |
10 |
Series 2008-44, PO, 5/25/2038 |
6 |
5 |
Series 2008-53, Class CI, IF, IO, 4.76%, 7/25/2038 (f) |
113 |
11 |
Series 2008-80, Class SA, IF, IO, 3.41%, 9/25/2038 (f) |
243 |
23 |
Series 2008-81, Class SB, IF, IO, 3.41%, 9/25/2038 (f) |
302 |
24 |
Series 2009-6, Class GS, IF, IO, 4.11%, 2/25/2039 (f) |
227 |
29 |
Series 2009-62, Class HJ, 6.00%, 5/25/2039 |
23 |
23 |
Series 2009-60, Class HT, 6.00%, 8/25/2039 |
222 |
235 |
Series 2009-103, Class MB, 2.86%, 12/25/2039 (f) |
105 |
108 |
Series 2009-99, Class SC, IF, IO, 3.74%, 12/25/2039 (f) |
61 |
5 |
Series 2010-49, Class SC, IF, 7.77%, 3/25/2040 (f) |
172 |
177 |
Series 2010-64, Class DM, 5.00%, 6/25/2040 |
93 |
96 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
140 |
148 |
Series 2010-147, Class SA, IF, IO, 4.09%, 1/25/2041 (f) |
710 |
98 |
32 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2011-30, Class LS, IO, 0.40%, 4/25/2041 (f) |
257 |
12 |
Series 2011-75, Class FA, 2.99%, 8/25/2041 (f) |
74 |
74 |
Series 2011-118, Class MT, 7.00%, 11/25/2041 |
204 |
224 |
Series 2011-130, Class CA, 6.00%, 12/25/2041 |
455 |
484 |
Series 2013-81, Class TA, 3.00%, 2/25/2043 |
1,019 |
1,000 |
Series 2013-92, PO, 9/25/2043 |
558 |
456 |
Series 2013-90, Class PM, 3.50%, 9/25/2043 |
1,694 |
1,581 |
Series 2013-101, Class DO, PO, 10/25/2043 |
999 |
806 |
Series 2013-128, PO, 12/25/2043 |
1,031 |
831 |
Series 2011-2, Class WA, 5.88%, 2/25/2051 (f) |
133 |
139 |
FNMA, REMIC Trust, Whole Loan |
|
|
Series 2007-W7, Class 1A4, HB, IF, 25.63%, 7/25/2037 (f) |
6 |
8 |
Series 2003-W4, Class 2A, 5.06%, 10/25/2042 (f) |
35 |
37 |
Series 2003-W1, Class 1A1, 4.87%, 12/25/2042 (f) |
308 |
304 |
Series 2003-W1, Class 2A, 5.33%, 12/25/2042 (f) |
130 |
129 |
Series 2009-W1, Class A, 6.00%, 12/25/2049 |
302 |
314 |
FNMA, REMIC, Whole Loan |
|
|
Series 2007-101, Class A2, 2.68%, 6/27/2036 (f) |
216 |
213 |
Series 2007-54, Class FA, 2.84%, 6/25/2037 (f) |
123 |
123 |
Series 2007-106, Class A7, 6.25%, 10/25/2037 (f) |
69 |
74 |
FNMA, STRIPS |
|
|
Series 218, Class 2, IO, 7.50%, 4/25/2023 |
— |
— |
Series 265, Class 2, 9.00%, 3/25/2024 |
— |
— |
Series 329, Class 1, PO, 1/25/2033 |
23 |
20 |
Series 345, Class 6, IO, 5.00%, 12/25/2033 (f) |
35 |
5 |
Series 351, Class 7, IO, 5.00%, 4/25/2034 (f) |
113 |
15 |
Series 355, Class 11, IO, 6.00%, 7/25/2034 |
95 |
15 |
Series 365, Class 8, IO, 5.50%, 5/25/2036 |
141 |
30 |
Series 374, Class 5, IO, 5.50%, 8/25/2036 |
79 |
15 |
Series 393, Class 6, IO, 5.50%, 4/25/2037 |
24 |
3 |
Series 383, Class 32, IO, 6.00%, 1/25/2038 |
35 |
10 |
Series 383, Class 33, IO, 6.00%, 1/25/2038 |
91 |
19 |
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.18%, 6/19/2035 (f) |
400 |
376 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
GNMA |
|
|
Series 1999-4, Class ZB, 6.00%, 2/20/2029 |
146 |
146 |
Series 2001-35, Class SA, IF, IO, 5.86%, 8/16/2031 (f) |
52 |
— |
Series 2002-52, Class GH, 6.50%, 7/20/2032 |
247 |
246 |
Series 2003-58, Class BE, 6.50%, 1/20/2033 |
325 |
328 |
Series 2003-12, Class SP, IF, IO, 5.33%, 2/20/2033 (f) |
79 |
3 |
Series 2003-24, PO, 3/16/2033 |
13 |
13 |
Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
386 |
390 |
Series 2003-46, Class TC, 6.50%, 3/20/2033 |
182 |
185 |
Series 2003-46, Class MG, 6.50%, 5/20/2033 |
255 |
263 |
Series 2003-52, Class AP, PO, 6/16/2033 |
76 |
69 |
Series 2003-90, PO, 10/20/2033 |
21 |
20 |
Series 2003-112, Class SA, IF, IO, 4.16%, 12/16/2033 (f) |
263 |
10 |
Series 2004-28, Class S, IF, 13.10%, 4/16/2034 (f) |
111 |
123 |
Series 2004-90, Class SI, IF, IO, 3.73%, 10/20/2034 (f) |
357 |
25 |
Series 2005-68, Class DP, IF, 10.68%, 6/17/2035 (f) |
36 |
36 |
Series 2010-14, Class CO, PO, 8/20/2035 |
119 |
103 |
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (f) |
543 |
76 |
Series 2005-68, Class KI, IF, IO, 3.93%, 9/20/2035 (f) |
776 |
84 |
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 |
116 |
15 |
Series 2006-16, Class OP, PO, 3/20/2036 |
52 |
46 |
Series 2006-38, Class SW, IF, IO, 4.13%, 6/20/2036 (f) |
25 |
— |
Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
636 |
658 |
Series 2006-59, Class SD, IF, IO, 4.33%, 10/20/2036 (f) |
180 |
14 |
Series 2006-65, Class SA, IF, IO, 4.43%, 11/20/2036 (f) |
283 |
11 |
Series 2011-22, Class WA, 5.89%, 2/20/2037 (f) |
269 |
282 |
Series 2007-57, PO, 3/20/2037 |
50 |
48 |
Series 2007-17, Class JO, PO, 4/16/2037 |
51 |
43 |
Series 2007-17, Class JI, IF, IO, 4.42%, 4/16/2037 (f) |
476 |
49 |
Series 2007-19, Class SD, IF, IO, 3.83%, 4/20/2037 (f) |
259 |
9 |
Series 2007-28, Class BO, PO, 5/20/2037 |
53 |
46 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
33 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2007-26, Class SC, IF, IO, 3.83%, 5/20/2037 (f) |
207 |
8 |
Series 2007-27, Class SA, IF, IO, 3.83%, 5/20/2037 (f) |
226 |
15 |
Series 2007-36, Class SE, IF, IO, 4.08%, 6/16/2037 (f) |
126 |
6 |
Series 2007-47, Class PH, 6.00%, 7/16/2037 |
2,030 |
2,133 |
Series 2007-40, Class SB, IF, IO, 4.38%, 7/20/2037 (f) |
465 |
36 |
Series 2007-42, Class SB, IF, IO, 4.38%, 7/20/2037 (f) |
273 |
17 |
Series 2007-53, Class SW, IF, 13.10%, 9/20/2037 (f) |
22 |
25 |
Series 2008-32, Class PI, IO, 5.50%, 10/16/2037 |
19 |
— |
Series 2009-79, Class OK, PO, 11/16/2037 |
78 |
69 |
Series 2007-73, Class MI, IF, IO, 3.63%, 11/20/2037 (f) |
150 |
6 |
Series 2007-76, Class SA, IF, IO, 4.16%, 11/20/2037 (f) |
296 |
21 |
Series 2007-72, Class US, IF, IO, 4.18%, 11/20/2037 (f) |
144 |
6 |
Series 2007-79, Class SY, IF, IO, 4.18%, 12/20/2037 (f) |
135 |
4 |
Series 2008-2, Class NS, IF, IO, 4.15%, 1/16/2038 (f) |
269 |
15 |
Series 2008-2, Class MS, IF, IO, 4.77%, 1/16/2038 (f) |
81 |
3 |
Series 2008-10, Class S, IF, IO, 3.46%, 2/20/2038 (f) |
164 |
8 |
Series 2008-36, Class SH, IF, IO, 3.93%, 4/20/2038 (f) |
222 |
— |
Series 2008-40, Class SA, IF, IO, 4.01%, 5/16/2038 (f) |
1,401 |
108 |
Series 2008-55, Class SA, IF, IO, 3.83%, 6/20/2038 (f) |
124 |
7 |
Series 2008-71, Class SC, IF, IO, 3.63%, 8/20/2038 (f) |
56 |
3 |
Series 2009-25, Class SE, IF, IO, 5.23%, 9/20/2038 (f) |
104 |
7 |
Series 2008-93, Class AS, IF, IO, 3.33%, 12/20/2038 (f) |
160 |
11 |
Series 2009-6, Class SA, IF, IO, 3.71%, 2/16/2039 (f) |
147 |
1 |
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 |
330 |
33 |
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 |
147 |
22 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
144 |
25 |
Series 2009-22, Class SA, IF, IO, 3.90%, 4/20/2039 (f) |
308 |
21 |
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 |
74 |
9 |
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 |
77 |
12 |
Series 2009-43, Class SA, IF, IO, 3.58%, 6/20/2039 (f) |
140 |
6 |
Series 2009-72, Class SM, IF, IO, 3.86%, 8/16/2039 (f) |
318 |
26 |
Series 2010-31, Class NO, PO, 3/20/2040 |
501 |
426 |
Series 2013-75, Class WA, 5.13%, 6/20/2040 (f) |
720 |
743 |
Series 2010-130, Class CP, 7.00%, 10/16/2040 |
90 |
98 |
Series 2010-157, Class OP, PO, 12/20/2040 |
536 |
456 |
Series 2011-75, Class SM, IF, IO, 4.23%, 5/20/2041 (f) |
461 |
38 |
Series 2014-188, Class W, 4.55%, 10/20/2041 (f) |
303 |
306 |
Series 2012-141, Class WC, 3.71%, 1/20/2042 (f) |
176 |
174 |
Series 2013-54, Class WA, 4.87%, 11/20/2042 (f) |
1,111 |
1,140 |
Series 2013-91, Class WA, 4.46%, 4/20/2043 (f) |
579 |
578 |
Series 2013-116, Class JY, 4.00%, 8/16/2043 |
1,300 |
1,312 |
Series 2018-160, Class PA, 3.50%, 7/20/2046 |
1,392 |
1,380 |
Series 2012-H24, Class FG, 2.23%, 4/20/2060 (f) |
9 |
8 |
Series 2013-H03, Class FA, 2.10%, 8/20/2060 (f) |
1 |
1 |
Series 2012-H21, Class CF, 2.50%, 5/20/2061 (f) |
9 |
9 |
Series 2013-H05, Class FB, 2.20%, 2/20/2062 (f) |
9 |
9 |
Series 2012-H15, Class FA, 2.25%, 5/20/2062 (f) |
— |
— |
Series 2012-H26, Class MA, 2.35%, 7/20/2062 (f) |
3 |
3 |
Series 2012-H28, Class FA, 2.38%, 9/20/2062 (f) |
3 |
3 |
Series 2012-H29, Class FA, 2.31%, 10/20/2062 (f) |
402 |
400 |
34 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2012-H31, Class FD, 2.14%, 12/20/2062 (f) |
685 |
679 |
Series 2013-H01, Class FA, 1.65%, 1/20/2063 |
4 |
4 |
Series 2013-H04, Class BA, 1.65%, 2/20/2063 |
6 |
5 |
Series 2013-H08, Class FC, 2.25%, 2/20/2063 (f) |
535 |
531 |
Series 2013-H07, Class HA, 2.21%, 3/20/2063 (f) |
536 |
532 |
Series 2013-H09, Class HA, 1.65%, 4/20/2063 |
11 |
10 |
Series 2013-H18, Class JA, 2.40%, 8/20/2063 (f) |
992 |
988 |
Series 2014-H01, Class FD, 2.45%, 1/20/2064 (f) |
725 |
723 |
Series 2014-H09, Class TA, 2.40%, 4/20/2064 (f) |
744 |
741 |
Series 2015-H15, Class FD, 2.24%, 6/20/2065 (f) |
1,145 |
1,134 |
Series 2015-H15, Class FJ, 2.24%, 6/20/2065 (f) |
2,552 |
2,529 |
Series 2015-H16, Class FG, 2.24%, 7/20/2065 (f) |
1,668 |
1,652 |
Series 2015-H23, Class FB, 2.32%, 9/20/2065 (f) |
1,581 |
1,569 |
Series 2015-H32, Class FH, 2.46%, 12/20/2065 (f) |
1,303 |
1,298 |
Series 2017-H08, Class XI, IO, 1.89%, 3/20/2067 (f) |
5,295 |
346 |
GSMPS Mortgage Loan Trust |
|
|
Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (f) |
315 |
292 |
Series 2005-RP3, Class 1AS, IO, 1.87%, 9/25/2035 (b) (f) |
417 |
12 |
Series 2005-RP3, Class 1AF, 2.79%, 9/25/2035 (b) (f) |
551 |
474 |
Series 2006-RP2, Class 1AS2, IF, IO, 3.82%, 4/25/2036 ‡ (b) (f) |
1,645 |
129 |
GSR Mortgage Loan Trust |
|
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 |
95 |
92 |
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 |
53 |
53 |
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 |
126 |
121 |
Series 2005-4F, Class AP, PO, 5/25/2035 ‡ |
— |
— |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 |
330 |
319 |
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 |
721 |
408 |
Impac CMB Trust |
|
|
Series 2004-7, Class 1A1, 3.18%, 11/25/2034 (f) |
353 |
349 |
Series 2005-4, Class 2A1, 3.04%, 5/25/2035 (f) |
95 |
86 |
Impac Secured Assets Trust Series 2006-1, Class 2A1, 3.14%, 5/25/2036 (f) |
51 |
47 |
JPMorgan Mortgage Trust |
|
|
Series 2006-A2, Class 5A3, 2.68%, 11/25/2033 (f) |
144 |
141 |
Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (f) |
131 |
133 |
Series 2006-A3, Class 6A1, 3.75%, 8/25/2034 (f) |
31 |
31 |
Lehman Mortgage Trust |
|
|
Series 2006-2, Class 1A1, 5.92%, 4/25/2036 (f) |
211 |
150 |
Series 2008-2, Class 1A6, 6.00%, 3/25/2038 |
430 |
161 |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (f) |
2,075 |
2,001 |
MASTR Adjustable Rate Mortgages Trust |
|
|
Series 2004-13, Class 2A1, 2.86%, 4/21/2034 (f) |
83 |
80 |
Series 2004-4, Class 2A1, 1.93%, 5/25/2034 (f) |
29 |
27 |
Series 2004-13, Class 3A7, 3.70%, 11/21/2034 (f) |
183 |
175 |
Series 2004-15, Class 3A1, 2.44%, 12/25/2034 (f) |
47 |
44 |
MASTR Alternative Loan Trust |
|
|
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
2 |
2 |
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 |
2 |
2 |
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
62 |
61 |
Series 2003-3, Class 1A1, 6.50%, 5/25/2033 |
95 |
89 |
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
189 |
181 |
Series 2004-3, Class 2A1, 6.25%, 4/25/2034 |
110 |
106 |
Series 2004-6, Class 30, PO, 7/25/2034 ‡ |
96 |
73 |
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 |
188 |
177 |
Series 2004-7, Class 30, PO, 8/25/2034 ‡ |
59 |
45 |
MASTR Asset Securitization Trust |
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡ |
— |
— |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
35 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2003-12, Class 30, PO, 12/25/2033 ‡ |
7 |
5 |
Series 2004-1, Class 30, PO, 2/25/2034 ‡ |
8 |
5 |
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 2.79%, 5/25/2035 (b) (f) |
1,209 |
659 |
Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) |
56 |
45 |
Merrill Lynch Mortgage Investors Trust |
|
|
Series 2003-E, Class A1, 3.06%, 10/25/2028 (f) |
41 |
39 |
Series 2003-F, Class A1, 3.08%, 10/25/2028 (f) |
330 |
314 |
Series 2004-A, Class A1, 2.90%, 4/25/2029 (f) |
65 |
60 |
Series 2004-1, Class 2A1, 2.71%, 12/25/2034 (f) |
109 |
105 |
MRA Issuance Trust |
|
|
Series 2021-EBO2, Class A, 4.26%, 4/1/2022 (b) (f) |
6,217 |
6,065 |
Series 2021-EBO7, Class A1X, 2.86%, 2/15/2023 (b) (f) |
5,627 |
5,455 |
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b)
(f) |
165 |
146 |
Nomura Asset Acceptance Corp. Alternative Loan Trust |
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033 |
33 |
33 |
Series 2003-A1, Class A1, 5.50%, 5/25/2033 |
9 |
9 |
Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
33 |
32 |
PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (f) |
3,122 |
2,985 |
RALI Trust |
|
|
Series 2002-QS16, Class A3, IF, 11.51%, 10/25/2017 (f) |
— |
— |
Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡ |
— |
— |
Series 2003-QS12, Class A2A, IF, IO, 5.16%, 6/25/2018 ‡ (f) |
— |
— |
Series 2004-QA6, Class NB2, 3.25%, 12/26/2034 (f) |
299 |
277 |
RFMSI Trust Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 |
— |
— |
SART Series 2017-1, 4.75%, 7/15/2024 |
844 |
830 |
Seasoned Credit Risk Transfer Trust |
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058 |
2,739 |
2,619 |
Series 2019-3, Class MB, 3.50%, 10/25/2058 |
1,722 |
1,580 |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 |
3,532 |
3,320 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 3.03%, 10/19/2034 (f) |
154 |
146 |
Thornburg Mortgage Securities Trust |
|
|
Series 2003-4, Class A1, 3.08%, 9/25/2043 (f) |
78 |
76 |
Series 2004-4, Class 3A, 2.03%, 12/25/2044 (f) |
179 |
171 |
Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (d) |
451 |
450 |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f) |
5,691 |
5,085 |
Two Harbors Series 2019-VF1, Class A, IO, 4.00%, 2/8/2023 (f) |
6,600 |
6,600 |
Vendee Mortgage Trust |
|
|
Series 1994-1, Class 1, 4.79%, 2/15/2024 (f) |
27 |
27 |
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 |
38 |
39 |
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
114 |
119 |
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
81 |
84 |
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
168 |
176 |
Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
213 |
219 |
Series 1999-1, Class 2Z, 6.50%, 1/15/2029 |
454 |
463 |
Series 2003-2, Class Z, 5.00%, 5/15/2033 ‡ |
1,917 |
1,943 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 (b) (f) |
4,000 |
3,985 |
WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033 |
335 |
319 |
WaMu Mortgage Pass-Through Certificates Trust |
|
|
Series 2003-AR8, Class A, 4.15%, 8/25/2033 (f) |
26 |
26 |
Series 2003-AR9, Class 1A6, 3.19%, 9/25/2033 (f) |
427 |
407 |
Series 2003-AR9, Class 2A, 4.02%, 9/25/2033 (f) |
33 |
31 |
Series 2003-S9, Class P, PO, 10/25/2033 ‡ |
10 |
8 |
Series 2003-S9, Class A8, 5.25%, 10/25/2033 |
182 |
178 |
Series 2004-AR3, Class A1, 3.10%, 6/25/2034 (f) |
30 |
28 |
Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (f) |
25 |
23 |
Series 2006-AR10, Class 2P, 3.44%, 9/25/2036 ‡ (f) |
43 |
41 |
Series 2006-AR12, Class 2P, 2.67%, 10/25/2036 ‡ (f) |
43 |
38 |
36 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
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, 2.56%, 4/25/2035 ‡ (f) |
391 |
24 |
Series 2005-2, Class 1A4, IF, IO, 2.61%, 4/25/2035 ‡ (f) |
2,111 |
118 |
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡ |
657 |
107 |
Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
672 |
625 |
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡ |
584 |
92 |
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 |
114 |
99 |
Series 2005-6, Class 2A9, 5.50%, 8/25/2035 |
729 |
637 |
Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 |
104 |
89
|
Total Collateralized Mortgage Obligations (Cost $175,912) |
|
173,779 |
Commercial Mortgage-Backed Securities — 4.1% | ||
BAMLL Commercial Mortgage Securities Trust |
|
|
Series 2012-PARK, Class A, 2.96%, 12/10/2030 (b) |
560 |
559 |
Series 2014-520M, Class C, 4.35%, 8/15/2046 ‡ (b) (f) |
1,300 |
1,069 |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) |
4,400 |
4,201 |
Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 ‡ (b) (f) |
7 |
— |
Commercial Mortgage Trust |
|
|
Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) |
3,500 |
3,462 |
Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (b) (f) |
1,060 |
1,042 |
FHLMC Multi-Family WI Certificates Series K150, Class A2, 3.71%, 11/25/2032 |
4,145 |
4,091 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 3.98%, 7/25/2041 (b)
(f) |
6,142 |
5,768 |
FHLMC, Multi-Family Structured Pass-Through Certificates |
|
|
Series KS01, Class A2, 2.52%, 1/25/2023 |
340 |
339 |
Series K052, Class A2, 3.15%, 11/25/2025 |
3,560 |
3,487 |
Series K065, Class A2, 3.24%, 4/25/2027 |
2,467 |
2,407 |
Series K065, Class AM, 3.33%, 5/25/2027 |
1,322 |
1,291 |
Series K070, Class A2, 3.30%, 11/25/2027 (f) |
1,748 |
1,709 |
Series K138, Class AM, 1.89%, 1/25/2032 |
1,850 |
1,558 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series K146, Class A2, 2.92%, 6/25/2032 |
4,200 |
3,896 |
FNMA ACES |
|
|
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (f) |
581 |
576 |
Series 2017-M3, Class A2, 2.55%, 12/25/2026 (f) |
909 |
864 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) |
7,439 |
7,224 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) |
3,579 |
3,467 |
Series 2018-M8, Class A2, 3.41%, 6/25/2028 (f) |
2,346 |
2,285 |
Series 2018-M10, Class A2, 3.48%, 7/25/2028 (f) |
3,335 |
3,274 |
Series 2017-M5, Class A2, 3.20%, 4/25/2029 (f) |
2,772 |
2,666 |
Series 2020-M50, Class A1, 0.67%, 10/25/2030 |
2,190 |
1,994 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 |
1,325 |
1,175 |
Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (f) |
20,771 |
1,852 |
Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (f) |
5,230 |
4,507 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 |
413 |
393 |
Series 2021-M3, Class X1, IO, 2.07%, 11/25/2033 (f) |
3,520 |
391 |
FREMF Mortgage Trust |
|
|
Series 2014-K39, Class C, 4.28%, 8/25/2047 (b) (f) |
4,650 |
4,553 |
Series 2020-K737, Class B, 3.42%, 1/25/2053 (b) (f) |
550 |
516 |
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) |
998 |
941 |
MRCD MARK Mortgage Trust |
|
|
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) |
2,050 |
1,933 |
Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b) |
2,685 |
2,420 |
P4 SFR Series 2019-STl A7.25%, 10/11/2026 ‡ |
2,600 |
2,600 |
RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b) |
664 |
654 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) |
3,935 |
3,334 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) |
71 |
71 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
37 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
UBS-Barclays Commercial Mortgage Trust |
|
|
Series 2013-C6, Class A4, 3.24%, 4/10/2046 |
857 |
850 |
Series 2012-C2, Class XA, IO, 0.81%, 5/10/2063 ‡ (b) (f) |
1,276 |
— |
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.37%, 3/15/2045 ‡ (b)
(f) |
400 |
389
|
Total Commercial Mortgage-Backed Securities (Cost $87,805) |
|
83,808 |
U.S. Government Agency Securities — 0.7% | ||
Tennessee Valley Authority |
|
|
5.88%, 4/1/2036 |
6,839 |
8,149 |
4.63%, 9/15/2060 |
304 |
329 |
Tennessee Valley Authority STRIPS |
|
|
DN, 3.94%, 11/1/2025 (a) |
5,000 |
4,433 |
DN, 5.34%, 6/15/2035 (a) |
800 |
484
|
Total U.S. Government Agency Securities (Cost $13,956) |
|
13,395 |
Municipal Bonds — 0.5% (g) | ||
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 |
420 |
480 |
State of California, Build America Bonds 7.30%, 10/1/2039 |
350 |
445 |
Total California |
|
925 |
New York — 0.2% | ||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040 |
360 |
396 |
Port Authority of New York and New Jersey, Consolidated |
|
|
Series 164, Rev., 5.65%, 11/1/2040 |
1,825 |
2,036 |
Series 165, Rev., 5.65%, 11/1/2040 |
440 |
491 |
Series 174, Rev., 4.46%, 10/1/2062 |
2,060 |
1,991 |
Total New York |
|
4,914 |
Ohio — 0.2% | ||
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, 7.50%, 2/15/2050 |
1,315 |
1,687 |
Ohio State University (The), General Receipts |
|
|
Series 2016A, Rev., 4.05%, 12/1/2056 |
325 |
299 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Ohio — continued | ||
Series 2011-A, Rev., 4.80%, 6/1/2111 |
1,563 |
1,458 |
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 |
200 |
195
|
Total Ohio |
|
3,639 |
Oklahoma — 0.0% ^ | ||
Oklahoma Development Finance Authority, Natural Gas Company Series 2022, Rev., 4.71%, 5/1/2052 |
575 |
570
|
Total Municipal Bonds (Cost $9,688) |
|
10,048 |
Foreign Government Securities — 0.4% | ||
Kingdom of Saudi Arabia |
|
|
2.25%, 2/2/2033 (b) |
622 |
532 |
3.45%, 2/2/2061 (b) |
550 |
419 |
Province of Quebec 7.36%, 3/6/2026 (d) |
377 |
416 |
Republic of Chile 2.55%, 1/27/2032 |
497 |
413 |
Republic of Panama 4.50%, 4/16/2050 |
325 |
256 |
Republic of Peru 5.63%, 11/18/2050 |
88 |
91 |
Republic of South Africa 5.88%, 9/16/2025 |
640 |
648 |
United Mexican States |
|
|
4.13%, 1/21/2026 |
316 |
315 |
3.75%, 1/11/2028 |
1,216 |
1,169 |
2.66%, 5/24/2031 |
1,075 |
889 |
3.50%, 2/12/2034 |
1,252 |
1,043 |
4.60%, 1/23/2046 |
2,113 |
1,728 |
3.77%, 5/24/2061 |
772 |
515 |
Total Foreign Government Securities (Cost $10,013) |
|
8,434 |
Loan Assignments — 0.1% (c) (h) |
||
Diversified Financial Services — 0.1% | ||
OneSky, 1st Lien Term Loan (3-MONTH SOFR + 3.00%), 3.88%, 1/15/2031(Cost $3,538) |
3,500 |
3,047 |
38 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
SHARES
(000) |
VALUE ($000) |
Short-Term Investments — 5.4% | ||
Investment Companies — 5.4% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.24% (i) (j)
(Cost $111,430) |
111,413 |
111,458 |
Total Investments — 103.7% (Cost $2,303,510) |
|
2,127,661 |
Liabilities in Excess of Other Assets — (3.7)% |
|
(76,361) |
NET ASSETS — 100.0% |
|
2,051,300 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
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 August 31, 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 |
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 August 31, 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 |
Rev. |
Revenue |
SOFR |
Secured Overnight Financing Rate |
SOFRINDX |
Compounding index of the 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 |
^ |
Amount rounds to less than 0.1% of net assets. | |
‡ |
Value determined using significant unobservable inputs. |
|
(a) |
The rate shown is the effective yield as of August 31, 2022. |
|
(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 August 31, 2022. |
|
(d) |
Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2022. |
|
(e) |
All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
|
(f) |
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2022. |
|
(g) |
The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
|
(h) |
Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. |
|
(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 August 31, 2022. |
|
August 31, 2022 |
JPMorgan Institutional Trust Funds |
39 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
U.S. Treasury Obligations — 33.3% | ||
U.S. Treasury Bonds 6.13%, 8/15/2029 |
500 |
588 |
U.S. Treasury Notes |
|
|
0.13%, 6/30/2023 |
1,600 |
1,557 |
1.50%, 2/15/2025 |
500 |
477 |
1.13%, 2/28/2025 |
1,500 |
1,416 |
0.25%, 7/31/2025 |
1,600 |
1,457 |
2.25%, 11/15/2025 |
500 |
481 |
0.75%, 5/31/2026 |
3,000 |
2,716 |
1.13%, 10/31/2026 |
3,000 |
2,733 |
0.38%, 9/30/2027 |
580 |
500 |
0.50%, 10/31/2027 |
2,500 |
2,164 |
1.25%, 3/31/2028 |
1,000 |
893 |
1.25%, 9/30/2028 |
3,000 |
2,653 |
3.13%, 11/15/2028 |
1,600 |
1,580 |
0.63%, 5/15/2030 |
1,600 |
1,319 |
0.63%, 8/15/2030 |
1,600 |
1,313 |
0.88%, 11/15/2030 |
80 |
67 |
U.S. Treasury STRIPS Bonds |
|
|
3.09%, 11/15/2022 (a) |
700 |
696 |
2.31%, 8/15/2023 (a) |
1,890 |
1,832 |
2.71%, 2/15/2024 (a) |
1,206 |
1,149 |
2.35%, 5/15/2024 (a) |
200 |
189 |
3.15%, 5/15/2025 (a) |
200 |
182 |
2.50%, 5/15/2026 (a) |
200 |
176 |
3.82%, 8/15/2026 (a) |
47 |
41 |
3.98%, 11/15/2026 (a) |
300 |
260 |
3.13%, 2/15/2027 (a) |
100 |
86 |
4.31%, 8/15/2027 (a) |
100 |
85 |
4.35%, 11/15/2027 (a) |
140 |
117 |
3.30%, 2/15/2028 (a) |
53 |
44 |
2.66%, 5/15/2028 (a) |
10 |
8 |
3.53%, 8/15/2028 (a) |
200 |
164 |
Total U.S. Treasury Obligations (Cost $28,535) |
|
26,943 |
Corporate Bonds — 25.6% | ||
Aerospace & Defense — 1.1% | ||
Boeing Co. (The) |
|
|
1.43%, 2/4/2024 |
70 |
67 |
4.88%, 5/1/2025 |
54 |
54 |
2.20%, 2/4/2026 |
86 |
79 |
3.10%, 5/1/2026 |
250 |
236 |
L3Harris Technologies, Inc. 3.85%, 12/15/2026 |
70 |
68 |
Leidos, Inc. 2.30%, 2/15/2031 |
100 |
78 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Aerospace & Defense — continued | ||
Northrop Grumman Corp. 2.93%, 1/15/2025 |
150 |
146 |
Raytheon Technologies Corp. 4.13%, 11/16/2028 |
100 |
98 |
Textron, Inc. 3.00%, 6/1/2030 |
100 |
87 |
|
|
913 |
Auto Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 |
14 |
11 |
Automobiles — 0.7% | ||
General Motors Co. 6.13%, 10/1/2025 |
50 |
51 |
Hyundai Capital America 2.85%, 11/1/2022 (b) |
200 |
200 |
Mercedes-Benz Finance North America LLC (Germany) 2.13%, 3/10/2025 (b) |
150 |
142 |
Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b) |
200 |
185 |
|
|
578 |
Banks — 3.5% | ||
Bank of America Corp. |
|
|
3.30%, 1/11/2023 |
90 |
90 |
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c) |
42 |
42 |
(SOFR + 0.67%), 1.84%, 2/4/2025 (c) |
154 |
148 |
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) |
60 |
55 |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) |
250 |
232 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) |
250 |
207 |
Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024 |
150 |
148 |
Citigroup, Inc. |
|
|
4.40%, 6/10/2025 |
115 |
114 |
4.45%, 9/29/2027 |
50 |
49 |
(SOFR + 1.15%), 2.67%, 1/29/2031 (c) |
350 |
295 |
Citizens Financial Group, Inc. 2.64%, 9/30/2032 |
50 |
40 |
Fifth Third Bancorp 2.38%, 1/28/2025 |
64 |
61 |
HSBC Holdings plc (United Kingdom) |
|
|
(SOFR + 0.71%), 0.98%, 5/24/2025 (c) |
200 |
186 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) |
200 |
174 |
Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027 |
250 |
238 |
Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025 |
225 |
213 |
Societe Generale SA (France) 4.25%, 4/14/2025 (b) |
200 |
196 |
US Bancorp Series X, 3.15%, 4/27/2027 |
68 |
66 |
Wells Fargo & Co. |
|
|
3.00%, 2/19/2025 |
99 |
96 |
4.10%, 6/3/2026 |
21 |
21 |
40 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
4.30%, 7/22/2027 |
30 |
30 |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c) |
170 |
160 |
|
|
2,861 |
Beverages — 0.3% | ||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029 |
165 |
168 |
Constellation Brands, Inc. 2.88%, 5/1/2030 |
11 |
10 |
Keurig Dr Pepper, Inc. 4.42%, 5/25/2025 |
18 |
18 |
PepsiCo, Inc. 1.63%, 5/1/2030 |
33 |
28 |
|
|
224 |
Biotechnology — 0.4% | ||
AbbVie, Inc. 4.25%, 11/14/2028 |
100 |
98 |
Amgen, Inc. |
|
|
1.65%, 8/15/2028 |
43 |
37 |
3.35%, 2/22/2032 |
35 |
31 |
Biogen, Inc. 2.25%, 5/1/2030 |
40 |
33 |
Gilead Sciences, Inc. |
|
|
3.50%, 2/1/2025 |
25 |
25 |
3.65%, 3/1/2026 |
57 |
56 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 |
28 |
22 |
|
|
302 |
Capital Markets — 1.8% | ||
Blackstone Secured Lending Fund 3.65%, 7/14/2023 |
55 |
54 |
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 |
47 |
46 |
Charles Schwab Corp. (The) 3.23%, 9/1/2022 |
40 |
40 |
Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (c) |
150 |
116 |
Goldman Sachs Group, Inc. (The) |
|
|
(SOFR + 0.82%), 1.54%, 9/10/2027 (c) |
150 |
132 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) |
80 |
73 |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) |
149 |
141 |
Invesco Finance plc 3.75%, 1/15/2026 |
125 |
122 |
Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b) |
100 |
99 |
Morgan Stanley |
|
|
(SOFR + 0.47%), 0.56%, 11/10/2023 (c) |
83 |
82 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (c) |
127 |
113 |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) |
150 |
142 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) |
90 |
71 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Capital Markets — continued | ||
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c) |
17 |
16 |
S&P Global, Inc. 2.90%, 3/1/2032 (b) |
44 |
39 |
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 |
160 |
|
|
1,446 |
Chemicals — 0.3% | ||
International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b) |
40 |
34 |
LYB International Finance III LLC 2.25%, 10/1/2030 |
75 |
62 |
Mosaic Co. (The) 3.25%, 11/15/2022 |
21 |
21 |
PPG Industries, Inc. 1.20%, 3/15/2026 |
37 |
33 |
RPM International, Inc. 2.95%, 1/15/2032 |
17 |
14 |
Sherwin-Williams Co. (The) 3.30%, 2/1/2025 |
110 |
108 |
|
|
272 |
Commercial Services & Supplies — 0.2% | ||
Republic Services, Inc. 3.38%, 11/15/2027 |
200 |
191 |
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. |
|
|
2.90%, 10/1/2030 |
21 |
18 |
2.35%, 1/15/2032 |
69 |
54 |
|
|
72 |
Construction Materials — 0.1% | ||
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
78 |
74 |
Consumer Finance — 1.1% | ||
AerCap Ireland Capital DAC (Ireland) 4.13%, 7/3/2023 |
200 |
199 |
American Express Co. 2.55%, 3/4/2027 |
38 |
35 |
Avolon Holdings Funding Ltd. (Ireland) |
|
|
3.95%, 7/1/2024 (b) |
120 |
115 |
4.25%, 4/15/2026 (b) |
90 |
83 |
2.53%, 11/18/2027 (b) |
334 |
273 |
Capital One Financial Corp. (SOFR + 1.37%), 4.17%, 5/9/2025 (c) |
42 |
42 |
General Motors Financial Co., Inc. 2.35%, 1/8/2031 |
200 |
155 |
|
|
902 |
Containers & Packaging — 0.3% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) |
41 |
37 |
Packaging Corp. of America 3.00%, 12/15/2029 |
100 |
89 |
WRKCo, Inc. 3.00%, 9/15/2024 |
80 |
78 |
|
|
204 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
41 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Diversified Financial Services — 0.5% | ||
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b) |
10 |
9 |
National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022 |
200 |
200 |
Private Export Funding Corp. Series KK, 3.55%, 1/15/2024 |
200 |
200 |
|
|
409 |
Diversified Telecommunication Services — 0.0% ^ | ||
Verizon Communications, Inc. 2.10%, 3/22/2028 |
25 |
22 |
Electric Utilities — 2.2% | ||
American Electric Power Co., Inc. 2.30%, 3/1/2030 |
100 |
84 |
Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027 |
200 |
189 |
Duke Energy Corp. 3.75%, 4/15/2024 |
150 |
149 |
Duquesne Light Holdings, Inc. |
|
|
2.53%, 10/1/2030 (b) |
51 |
42 |
2.78%, 1/7/2032 (b) |
14 |
11 |
Edison International 4.13%, 3/15/2028 |
50 |
47 |
Entergy Mississippi LLC 2.85%, 6/1/2028 |
186 |
169 |
Evergy Metro, Inc. 3.15%, 3/15/2023 |
47 |
47 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) |
200 |
184 |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) |
39 |
34 |
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 |
89 |
86 |
Niagara Mohawk Power Corp. |
|
|
3.51%, 10/1/2024 (b) |
28 |
27 |
1.96%, 6/27/2030 (b) |
29 |
24 |
NRG Energy, Inc. 2.45%, 12/2/2027 (b) |
37 |
32 |
OGE Energy Corp. 0.70%, 5/26/2023 |
18 |
18 |
Pacific Gas and Electric Co. |
|
|
3.25%, 2/16/2024 |
100 |
98 |
4.55%, 7/1/2030 |
75 |
67 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) |
132 |
122 |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 |
83 |
80 |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 |
25 |
19 |
Southern Co. (The) Series 21-B, 1.75%, 3/15/2028 |
167 |
143 |
Virginia Electric and Power Co. 3.45%, 2/15/2024 |
21 |
21 |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) |
100 |
99 |
|
|
1,792 |
Electrical Equipment — 0.2% | ||
Eaton Corp. 3.10%, 9/15/2027 |
140 |
133 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. |
|
|
4.50%, 3/1/2023 |
16 |
16 |
3.88%, 1/12/2028 |
100 |
94 |
|
|
110 |
Energy Equipment & Services — 0.1% | ||
Schlumberger Investment SA 2.65%, 6/26/2030 |
94 |
83 |
Entertainment — 0.1% | ||
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 |
22 |
21 |
Walt Disney Co. (The) 7.70%, 10/30/2025 |
50 |
55 |
|
|
76 |
Equity Real Estate Investment Trusts (REITs) — 2.4% | ||
Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032 |
30 |
24 |
American Tower Corp. |
|
|
5.00%, 2/15/2024 |
38 |
38 |
1.45%, 9/15/2026 |
72 |
63 |
1.50%, 1/31/2028 |
68 |
57 |
AvalonBay Communities, Inc. |
|
|
3.35%, 5/15/2027 |
28 |
27 |
2.45%, 1/15/2031 |
100 |
87 |
Boston Properties LP 3.20%, 1/15/2025 |
152 |
148 |
Brixmor Operating Partnership LP |
|
|
3.85%, 2/1/2025 |
50 |
49 |
2.25%, 4/1/2028 |
10 |
8 |
Corporate Office Properties LP 2.00%, 1/15/2029 |
26 |
21 |
Crown Castle, Inc. 2.25%, 1/15/2031 |
72 |
58 |
Equinix, Inc. 2.00%, 5/15/2028 |
37 |
32 |
Essex Portfolio LP 1.65%, 1/15/2031 |
53 |
41 |
Extra Space Storage LP 2.35%, 3/15/2032 |
100 |
78 |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) |
52 |
49 |
Healthcare Trust of America Holdings LP |
|
|
3.10%, 2/15/2030 |
68 |
59 |
2.00%, 3/15/2031 |
29 |
23 |
Healthpeak Properties, Inc. |
|
|
3.40%, 2/1/2025 |
3 |
3 |
2.13%, 12/1/2028 |
28 |
24 |
Kilroy Realty LP 2.65%, 11/15/2033 |
70 |
53 |
Life Storage LP 2.20%, 10/15/2030 |
25 |
20 |
Mid-America Apartments LP 1.70%, 2/15/2031 |
36 |
29 |
Office Properties Income Trust |
|
|
2.65%, 6/15/2026 |
17 |
14 |
2.40%, 2/1/2027 |
70 |
53 |
42 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
3.45%, 10/15/2031 |
29 |
19 |
Physicians Realty LP 2.63%, 11/1/2031 |
37 |
30 |
Public Storage 2.25%, 11/9/2031 |
36 |
30 |
Realty Income Corp. 3.65%, 1/15/2028 |
150 |
144 |
Sabra Health Care LP 3.20%, 12/1/2031 |
52 |
41 |
Safehold Operating Partnership LP 2.80%, 6/15/2031 |
88 |
71 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) |
150 |
145 |
SITE Centers Corp. 3.63%, 2/1/2025 |
12 |
12 |
UDR, Inc. 2.10%, 8/1/2032 |
48 |
37 |
Ventas Realty LP |
|
|
3.75%, 5/1/2024 |
44 |
43 |
3.50%, 2/1/2025 |
27 |
26 |
4.13%, 1/15/2026 |
17 |
17 |
3.25%, 10/15/2026 |
45 |
42 |
Welltower, Inc. 4.50%, 1/15/2024 |
100 |
100 |
WP Carey, Inc. |
|
|
2.40%, 2/1/2031 |
12 |
10 |
2.25%, 4/1/2033 |
100 |
76 |
|
|
1,901 |
Food & Staples Retailing — 0.2% | ||
7-Eleven, Inc. 1.30%, 2/10/2028 (b) |
80 |
67 |
Alimentation Couche-Tard, Inc. (Canada) 3.55%, 7/26/2027 (b) |
50 |
47 |
CVS Pass-Through Trust 5.93%, 1/10/2034 (b) |
38 |
38 |
|
|
152 |
Food Products — 0.6% | ||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 |
53 |
50 |
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 |
50 |
46 |
Campbell Soup Co. |
|
|
3.95%, 3/15/2025 |
50 |
50 |
2.38%, 4/24/2030 |
74 |
62 |
Cargill, Inc. 1.70%, 2/2/2031 (b) |
75 |
61 |
Kellogg Co. 3.40%, 11/15/2027 |
95 |
90 |
Smithfield Foods, Inc. |
|
|
5.20%, 4/1/2029 (b) |
7 |
7 |
3.00%, 10/15/2030 (b) |
18 |
15 |
Tyson Foods, Inc. 3.95%, 8/15/2024 |
73 |
73 |
|
|
454 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 2.63%, 9/15/2029 |
42 |
38 |
ONE Gas, Inc. 2.00%, 5/15/2030 |
26 |
21 |
|
|
59 |
Health Care Equipment & Supplies — 0.1% | ||
Becton Dickinson and Co. 1.96%, 2/11/2031 |
50 |
41 |
Health Care Providers & Services — 0.5% | ||
Cigna Corp. 3.50%, 6/15/2024 |
72 |
71 |
CommonSpirit Health 2.78%, 10/1/2030 |
50 |
42 |
HCA, Inc. 4.13%, 6/15/2029 |
150 |
138 |
Humana, Inc. 3.95%, 3/15/2027 |
50 |
49 |
UnitedHealth Group, Inc. 2.30%, 5/15/2031 |
73 |
62 |
Universal Health Services, Inc. 2.65%, 10/15/2030 (b) |
40 |
32 |
|
|
394 |
Hotels, Restaurants & Leisure — 0.2% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 |
100 |
86 |
McDonald's Corp. 2.13%, 3/1/2030 |
58 |
50 |
|
|
136 |
Household Durables — 0.2% | ||
Lennar Corp. 5.25%, 6/1/2026 |
140 |
141 |
Insurance — 1.1% | ||
Aon Global Ltd. 3.88%, 12/15/2025 |
143 |
141 |
Assurant, Inc. 4.20%, 9/27/2023 |
68 |
68 |
Athene Global Funding |
|
|
1.45%, 1/8/2026 (b) |
68 |
60 |
1.73%, 10/2/2026 (b) |
82 |
71 |
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) |
38 |
36 |
CNA Financial Corp. |
|
|
3.95%, 5/15/2024 |
52 |
52 |
4.50%, 3/1/2026 |
38 |
38 |
Corebridge Financial, Inc. 3.65%, 4/5/2027 (b) |
80 |
75 |
F&G Global Funding 2.30%, 4/11/2027 (b) |
50 |
45 |
Principal Financial Group, Inc. 3.10%, 11/15/2026 |
150 |
142 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) |
150 |
164 |
|
|
892 |
Internet & Direct Marketing Retail — 0.2% | ||
Amazon.com, Inc. 3.60%, 4/13/2032 |
100 |
96 |
eBay, Inc. 2.60%, 5/10/2031 |
100 |
83 |
|
|
179 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
43 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
IT Services — 0.1% | ||
Global Payments, Inc. |
|
|
2.15%, 1/15/2027 |
45 |
40 |
3.20%, 8/15/2029 |
50 |
44 |
|
|
84 |
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 |
75 |
69 |
Machinery — 0.0% ^ | ||
Otis Worldwide Corp. 2.57%, 2/15/2030 |
44 |
38 |
Media — 0.7% | ||
Charter Communications Operating LLC |
|
|
4.91%, 7/23/2025 |
160 |
159 |
2.30%, 2/1/2032 |
50 |
38 |
Comcast Corp. |
|
|
3.38%, 2/15/2025 |
77 |
76 |
3.38%, 8/15/2025 |
80 |
79 |
3.15%, 3/1/2026 |
16 |
16 |
Cox Communications, Inc. 1.80%, 10/1/2030 (b) |
67 |
53 |
Fox Corp. 4.71%, 1/25/2029 |
35 |
35 |
Paramount Global 4.00%, 1/15/2026 |
100 |
98 |
|
|
554 |
Metals & Mining — 0.1% | ||
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) |
60 |
49 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 |
33 |
28 |
|
|
77 |
Multiline Retail — 0.1% | ||
Dollar General Corp. 4.13%, 5/1/2028 |
109 |
107 |
Multi-Utilities — 0.4% | ||
CenterPoint Energy, Inc. 1.45%, 6/1/2026 |
29 |
26 |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 |
155 |
151 |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 |
16 |
13 |
Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 |
100 |
97 |
Puget Energy, Inc. 2.38%, 6/15/2028 |
17 |
15 |
WEC Energy Group, Inc. 3.55%, 6/15/2025 |
20 |
19 |
|
|
321 |
Oil, Gas & Consumable Fuels — 1.7% | ||
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) |
100 |
96 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Oil, Gas & Consumable Fuels — continued | ||
BP Capital Markets America, Inc. 2.72%, 1/12/2032 |
150 |
131 |
Cameron LNG LLC 2.90%, 7/15/2031 (b) |
84 |
74 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 |
50 |
51 |
Chevron USA, Inc. 3.85%, 1/15/2028 |
100 |
99 |
Coterra Energy, Inc. 3.90%, 5/15/2027 (b) |
60 |
57 |
Ecopetrol SA (Colombia) 4.13%, 1/16/2025 |
58 |
54 |
Energy Transfer LP |
|
|
3.60%, 2/1/2023 |
28 |
28 |
4.90%, 2/1/2024 |
61 |
61 |
4.05%, 3/15/2025 |
50 |
49 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) |
114 |
94 |
Gray Oak Pipeline LLC |
|
|
2.60%, 10/15/2025 (b) |
40 |
37 |
3.45%, 10/15/2027 (b) |
50 |
46 |
HF Sinclair Corp. |
|
|
2.63%, 10/1/2023 (b) |
12 |
12 |
5.88%, 4/1/2026 (b) |
40 |
40 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 |
105 |
106 |
MPLX LP |
|
|
3.38%, 3/15/2023 |
32 |
32 |
4.25%, 12/1/2027 |
27 |
26 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) |
22 |
18 |
ONEOK Partners LP 5.00%, 9/15/2023 |
28 |
28 |
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 |
40 |
41 |
Phillips 66 1.30%, 2/15/2026 |
28 |
25 |
Pioneer Natural Resources Co. |
|
|
1.13%, 1/15/2026 |
50 |
45 |
1.90%, 8/15/2030 |
72 |
59 |
Plains All American Pipeline LP 4.65%, 10/15/2025 |
30 |
30 |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 |
20 |
19 |
Targa Resources Partners LP 4.00%, 1/15/2032 |
14 |
12 |
Williams Cos., Inc. (The) 2.60%, 3/15/2031 |
50 |
42 |
|
|
1,412 |
Pharmaceuticals — 0.6% | ||
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 |
77 |
63 |
Bristol-Myers Squibb Co. |
|
|
3.40%, 7/26/2029 |
22 |
21 |
1.45%, 11/13/2030 |
100 |
82 |
Mylan, Inc. 4.55%, 4/15/2028 |
75 |
71 |
44 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 |
200 |
167 |
Zoetis, Inc. 2.00%, 5/15/2030 |
80 |
67 |
|
|
471 |
Road & Rail — 0.6% | ||
CSX Corp. 3.25%, 6/1/2027 |
162 |
156 |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 |
60 |
59 |
Norfolk Southern Corp. 2.55%, 11/1/2029 |
150 |
133 |
Triton Container International Ltd. (Bermuda) |
|
|
2.05%, 4/15/2026 (b) |
110 |
97 |
3.25%, 3/15/2032 |
51 |
40 |
|
|
485 |
Semiconductors & Semiconductor Equipment — 0.4% | ||
Broadcom, Inc. 3.19%, 11/15/2036 (b) |
57 |
42 |
Marvell Technology, Inc. 2.95%, 4/15/2031 |
52 |
43 |
Microchip Technology, Inc. |
|
|
0.97%, 2/15/2024 |
72 |
68 |
0.98%, 9/1/2024 |
22 |
21 |
NXP BV (China) 2.50%, 5/11/2031 |
100 |
80 |
QUALCOMM, Inc. 4.25%, 5/20/2032 |
32 |
32 |
Xilinx, Inc. 2.38%, 6/1/2030 |
50 |
44 |
|
|
330 |
Software — 0.6% | ||
Intuit, Inc. 1.65%, 7/15/2030 |
125 |
103 |
Oracle Corp. 2.88%, 3/25/2031 |
168 |
139 |
Roper Technologies, Inc. |
|
|
3.80%, 12/15/2026 |
15 |
15 |
1.40%, 9/15/2027 |
174 |
149 |
VMware, Inc. |
|
|
1.40%, 8/15/2026 |
25 |
22 |
1.80%, 8/15/2028 |
15 |
12 |
Workday, Inc. 3.50%, 4/1/2027 |
30 |
29 |
|
|
469 |
Specialty Retail — 0.2% | ||
Advance Auto Parts, Inc. 3.50%, 3/15/2032 |
50 |
43 |
AutoZone, Inc. 1.65%, 1/15/2031 |
83 |
65 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 |
62 |
60 |
|
|
168 |
Technology Hardware, Storage & Peripherals — 0.1% | ||
Dell International LLC 5.30%, 10/1/2029 |
100 |
99 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Tobacco — 0.3% | ||
Altria Group, Inc. 2.45%, 2/4/2032 |
84 |
64 |
BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024 |
200 |
195 |
|
|
259 |
Trading Companies & Distributors — 0.5% | ||
Air Lease Corp. |
|
|
3.00%, 9/15/2023 |
250 |
246 |
3.63%, 12/1/2027 |
100 |
91 |
Aviation Capital Group LLC 3.88%, 5/1/2023 (b) |
100 |
99 |
|
|
436 |
Wireless Telecommunication Services — 0.4% | ||
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 (b) |
100 |
91 |
T-Mobile USA, Inc. |
|
|
3.88%, 4/15/2030 |
150 |
139 |
2.25%, 11/15/2031 |
100 |
80 |
|
|
310 |
Total Corporate Bonds (Cost $22,694) |
|
20,713 |
Collateralized Mortgage Obligations — 13.9% | ||
Alternative Loan Trust |
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
402 |
403 |
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
56 |
46 |
Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡ |
6 |
5 |
CHL Mortgage Pass-Through Trust |
|
|
Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (d) |
5 |
5 |
Series 2004-5, Class 1A4, 5.50%, 6/25/2034 |
12 |
12 |
Series 2005-22, Class 2A1, 2.49%, 11/25/2035 (d) |
64 |
57 |
Citigroup Global Markets Mortgage Securities VII, Inc. |
|
|
Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ |
— |
— |
Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (d) |
4 |
4 |
Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
2 |
2 |
FHLMC - GNMA Series 24, Class ZE, 6.25%, 11/25/2023 |
2 |
2 |
FHLMC, REMIC |
|
|
Series 2512, Class PG, 5.50%, 10/15/2022 |
1 |
1 |
Series 2535, Class BK, 5.50%, 12/15/2022 |
— |
— |
Series 1470, Class F, 1.37%, 2/15/2023 (d) |
— |
— |
Series 2568, Class KG, 5.50%, 2/15/2023 |
3 |
3 |
Series 1466, Class PZ, 7.50%, 2/15/2023 |
1 |
1 |
Series 1491, Class I, 7.50%, 4/15/2023 |
— |
— |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
45 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 1798, Class F, 5.00%, 5/15/2023 |
1 |
1 |
Series 1518, Class G, IF, 6.27%, 5/15/2023 (d) |
1 |
1 |
Series 1541, Class O, 2.37%, 7/15/2023 (d) |
1 |
1 |
Series 1608, Class L, 6.50%, 9/15/2023 |
3 |
3 |
Series 1602, Class SA, IF, 16.25%, 10/15/2023 (d) |
— |
— |
Series 2283, Class K, 6.50%, 12/15/2023 |
1 |
1 |
Series 1671, Class L, 7.00%, 2/15/2024 |
1 |
1 |
Series 1706, Class K, 7.00%, 3/15/2024 |
5 |
5 |
Series 2033, Class SN, HB, IF, 28.94%, 3/15/2024 (d) |
— |
— |
Series 1720, Class PL, 7.50%, 4/15/2024 |
12 |
12 |
Series 2306, Class K, PO, 5/15/2024 |
1 |
1 |
Series 2306, Class SE, IF, IO, 7.66%, 5/15/2024 (d) |
2 |
— |
Series 1745, Class D, 7.50%, 8/15/2024 |
2 |
2 |
Series 1927, Class PH, 7.50%, 1/15/2027 |
19 |
20 |
Series 1981, Class Z, 6.00%, 5/15/2027 |
7 |
7 |
Series 1987, Class PE, 7.50%, 9/15/2027 |
3 |
3 |
Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
3 |
— |
Series 2040, Class PE, 7.50%, 3/15/2028 |
14 |
15 |
Series 2063, Class PG, 6.50%, 6/15/2028 |
16 |
17 |
Series 2064, Class TE, 7.00%, 6/15/2028 |
3 |
3 |
Series 2075, Class PM, 6.25%, 8/15/2028 |
12 |
13 |
Series 2075, Class PH, 6.50%, 8/15/2028 |
13 |
13 |
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
4 |
— |
Series 2125, Class JZ, 6.00%, 2/15/2029 |
8 |
8 |
Series 2169, Class TB, 7.00%, 6/15/2029 |
35 |
37 |
Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
2 |
— |
Series 2172, Class QC, 7.00%, 7/15/2029 |
14 |
15 |
Series 2196, Class TL, 7.50%, 11/15/2029 |
— |
— |
Series 2201, Class C, 8.00%, 11/15/2029 |
5 |
6 |
Series 2210, Class Z, 8.00%, 1/15/2030 |
19 |
21 |
Series 2224, Class CB, 8.00%, 3/15/2030 |
6 |
7 |
Series 2256, Class MC, 7.25%, 9/15/2030 |
9 |
9 |
Series 2259, Class ZM, 7.00%, 10/15/2030 |
11 |
12 |
Series 2271, Class PC, 7.25%, 12/15/2030 |
10 |
11 |
Series 2296, Class PD, 7.00%, 3/15/2031 |
6 |
6 |
Series 2344, Class ZD, 6.50%, 8/15/2031 |
94 |
100 |
Series 2344, Class ZJ, 6.50%, 8/15/2031 |
14 |
15 |
Series 2345, Class NE, 6.50%, 8/15/2031 |
8 |
9 |
Series 2351, Class PZ, 6.50%, 8/15/2031 |
8 |
8 |
Series 2410, Class QX, IF, IO, 6.26%, 2/15/2032 (d) |
5 |
1 |
Series 2410, Class OE, 6.38%, 2/15/2032 |
6 |
6 |
Series 2410, Class NG, 6.50%, 2/15/2032 |
7 |
7 |
Series 2412, Class SP, IF, 11.32%, 2/15/2032 (d) |
17 |
19 |
Series 2444, Class ES, IF, IO, 5.56%, 3/15/2032 (d) |
13 |
1 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2450, Class SW, IF, IO, 5.61%, 3/15/2032 (d) |
5 |
1 |
Series 2423, Class MC, 7.00%, 3/15/2032 |
6 |
7 |
Series 2423, Class MT, 7.00%, 3/15/2032 |
12 |
13 |
Series 2435, Class CJ, 6.50%, 4/15/2032 |
47 |
50 |
Series 2441, Class GF, 6.50%, 4/15/2032 |
13 |
14 |
Series 2455, Class GK, 6.50%, 5/15/2032 |
19 |
19 |
Series 2450, Class GZ, 7.00%, 5/15/2032 |
21 |
23 |
Series 2466, Class DH, 6.50%, 6/15/2032 |
17 |
18 |
Series 2474, Class NR, 6.50%, 7/15/2032 |
17 |
18 |
Series 2484, Class LZ, 6.50%, 7/15/2032 |
26 |
27 |
Series 2500, Class MC, 6.00%, 9/15/2032 |
24 |
26 |
Series 2543, Class YX, 6.00%, 12/15/2032 |
52 |
55 |
Series 2575, Class ME, 6.00%, 2/15/2033 |
97 |
102 |
Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
7 |
1 |
Series 2990, Class SL, IF, 15.73%, 6/15/2034 (d) |
3 |
3 |
Series 3611, PO, 7/15/2034 |
11 |
10 |
Series 2990, Class UZ, 5.75%, 6/15/2035 |
314 |
329 |
Series 3117, Class EO, PO, 2/15/2036 |
28 |
24 |
Series 3117, Class OK, PO, 2/15/2036 |
3 |
3 |
Series 3122, Class OH, PO, 3/15/2036 |
21 |
19 |
Series 3152, Class MO, PO, 3/15/2036 |
72 |
62 |
Series 3607, Class AO, PO, 4/15/2036 |
17 |
14 |
Series 3137, Class XP, 6.00%, 4/15/2036 |
43 |
47 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 |
110 |
118 |
Series 3149, Class SO, PO, 5/15/2036 |
4 |
4 |
Series 3171, Class MO, PO, 6/15/2036 |
16 |
15 |
Series 3179, Class OA, PO, 7/15/2036 |
10 |
8 |
Series 3202, Class HI, IF, IO, 4.26%, 8/15/2036 (d) |
91 |
11 |
Series 3232, Class ST, IF, IO, 4.31%, 10/15/2036 (d) |
18 |
2 |
Series 3417, Class EO, PO, 11/15/2036 |
156 |
136 |
Series 3316, Class JO, PO, 5/15/2037 |
2 |
2 |
Series 3607, Class OP, PO, 7/15/2037 |
94 |
77 |
Series 3481, Class SJ, IF, IO, 3.46%, 8/15/2038 (d) |
44 |
4 |
Series 3680, Class MA, 4.50%, 7/15/2039 |
3 |
3 |
Series 4096, Class HA, 2.00%, 12/15/2041 |
101 |
94 |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 |
202 |
194 |
FHLMC, Structured Pass-Through Certificates, Whole Loan |
|
|
Series T-41, Class 3A, 4.46%, 7/25/2032 (d) |
17 |
17 |
Series T-76, Class 2A, 1.84%, 10/25/2037 (d) |
65 |
57 |
Series T-51, Class 2A, 7.50%, 8/25/2042 (d) |
17 |
18 |
Series T-54, Class 2A, 6.50%, 2/25/2043 |
165 |
180 |
Series T-54, Class 3A, 7.00%, 2/25/2043 |
53 |
56 |
46 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series T-56, Class A5, 5.23%, 5/25/2043 |
390 |
391 |
Series T-58, Class A, PO, 9/25/2043 |
10 |
7 |
FNMA Trust, Whole Loan |
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
15 |
17 |
Series 2005-W3, Class 2AF, 2.66%, 3/25/2045 (d) |
52 |
52 |
FNMA, REMIC |
|
|
Series G93-5, Class Z, 6.50%, 2/25/2023 |
— |
— |
Series 1993-37, Class PX, 7.00%, 3/25/2023 |
2 |
2 |
Series 1993-25, Class J, 7.50%, 3/25/2023 |
— |
— |
Series 1998-4, Class C, PO, 4/25/2023 |
— |
— |
Series 1998-43, Class EA, PO, 4/25/2023 |
3 |
3 |
Series 1993-54, Class Z, 7.00%, 4/25/2023 |
1 |
1 |
Series 1993-62, Class SA, IF, 12.10%, 4/25/2023 (d) |
— |
— |
Series 1993-122, Class M, 6.50%, 7/25/2023 |
— |
— |
Series 1996-14, Class SE, IF, IO, 7.81%, 8/25/2023 (d) |
3 |
— |
Series 1993-178, Class PK, 6.50%, 9/25/2023 |
1 |
1 |
Series 1993-165, Class SD, IF, 7.19%, 9/25/2023 (d) |
— |
— |
Series 1993-183, Class KA, 6.50%, 10/25/2023 |
10 |
10 |
Series 1993-189, Class PL, 6.50%, 10/25/2023 |
4 |
4 |
Series 1994-9, Class E, PO, 11/25/2023 |
— |
— |
Series 1993-247, Class SA, IF, 15.00%, 12/25/2023 (d) |
1 |
1 |
Series G95-1, Class C, 8.80%, 1/25/2025 |
2 |
2 |
Series 2005-121, Class DX, 5.50%, 1/25/2026 |
49 |
49 |
Series 1997-20, IO, 1.84%, 3/25/2027 (d) |
1 |
— |
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (d) |
1 |
— |
Series 1997-27, Class J, 7.50%, 4/18/2027 |
3 |
4 |
Series 1997-29, Class J, 7.50%, 4/20/2027 |
5 |
5 |
Series 1997-39, Class PD, 7.50%, 5/20/2027 |
8 |
8 |
Series 2012-47, Class HF, 2.84%, 5/25/2027 (d) |
31 |
31 |
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
2 |
— |
Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
2 |
2 |
Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
17 |
19 |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
15 |
2 |
Series 2001-36, Class DE, 7.00%, 8/25/2031 |
18 |
20 |
Series 2001-49, Class Z, 6.50%, 9/25/2031 |
4 |
4 |
Series 2001-44, Class PD, 7.00%, 9/25/2031 |
3 |
3 |
Series 2003-52, Class SX, IF, 15.62%, 10/25/2031 (d) |
5 |
5 |
Series 2004-74, Class SW, IF, 10.75%, 11/25/2031 (d) |
13 |
14 |
Series 2001-81, Class LO, PO, 1/25/2032 |
2 |
2 |
Series 2002-1, Class SA, IF, 17.25%, 2/25/2032 (d) |
2 |
2 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2002-21, Class PE, 6.50%, 4/25/2032 |
10 |
11 |
Series 2002-28, Class PK, 6.50%, 5/25/2032 |
10 |
11 |
Series 2002-37, Class Z, 6.50%, 6/25/2032 |
13 |
14 |
Series 2004-61, Class SH, IF, 14.22%, 11/25/2032 (d) |
15 |
17 |
Series 2003-22, Class UD, 4.00%, 4/25/2033 |
47 |
47 |
Series 2003-34, Class GE, 6.00%, 5/25/2033 |
115 |
121 |
Series 2003-39, IO, 6.00%, 5/25/2033 (d) |
2 |
— |
Series 2003-47, Class PE, 5.75%, 6/25/2033 |
51 |
53 |
Series 2003-64, Class SX, IF, 7.82%, 7/25/2033 (d) |
5 |
5 |
Series 2003-71, Class DS, IF, 4.30%, 8/25/2033 (d) |
52 |
48 |
Series 2005-56, Class TP, IF, 10.82%, 8/25/2033 (d) |
17 |
17 |
Series 2003-91, Class SD, IF, 8.43%, 9/25/2033 (d) |
4 |
4 |
Series 2003-116, Class SB, IF, IO, 5.16%, 11/25/2033 (d) |
36 |
4 |
Series 2006-44, Class P, PO, 12/25/2033 |
14 |
12 |
Series 2003-130, Class SX, IF, 7.85%, 1/25/2034 (d) |
1 |
1 |
Series 2004-25, Class SA, IF, 12.80%, 4/25/2034 (d) |
16 |
17 |
Series 2004-46, Class SK, IF, 9.78%, 5/25/2034 (d) |
11 |
11 |
Series 2004-36, Class SA, IF, 12.80%, 5/25/2034 (d) |
26 |
29 |
Series 2004-50, Class VZ, 5.50%, 7/25/2034 |
163 |
170 |
Series 2005-74, Class CS, IF, 13.30%, 5/25/2035 (d) |
10 |
11 |
Series 2005-45, Class DC, IF, 15.35%, 6/25/2035 (d) |
24 |
26 |
Series 2005-56, Class S, IF, IO, 4.27%, 7/25/2035 (d) |
16 |
2 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 |
91 |
94 |
Series 2005-73, Class PS, IF, 10.59%, 8/25/2035 (d) |
41 |
44 |
Series 2005-106, Class US, IF, 15.61%, 11/25/2035 (d) |
26 |
28 |
Series 2006-27, Class OH, PO, 4/25/2036 |
21 |
18 |
Series 2006-65, Class QO, PO, 7/25/2036 |
13 |
11 |
Series 2006-56, Class FC, 2.73%, 7/25/2036 (d) |
86 |
85 |
Series 2006-72, Class GO, PO, 8/25/2036 |
19 |
17 |
Series 2006-79, Class DO, PO, 8/25/2036 |
15 |
14 |
Series 2006-77, Class PC, 6.50%, 8/25/2036 |
24 |
26 |
Series 2006-110, PO, 11/25/2036 |
23 |
20 |
Series 2006-124, Class HB, 2.00%, 11/25/2036 (d) |
43 |
45 |
Series 2007-14, Class ES, IF, IO, 4.00%, 3/25/2037 (d) |
18 |
2 |
Series 2007-81, Class GE, 6.00%, 8/25/2037 |
40 |
42 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
47 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2007-79, Class SB, IF, 15.06%, 8/25/2037 (d) |
17 |
20 |
Series 2007-88, Class VI, IF, IO, 4.10%, 9/25/2037 (d) |
49 |
6 |
Series 2007-91, Class ES, IF, IO, 4.02%, 10/25/2037 (d) |
132 |
15 |
Series 2007-116, Class HI, IO, 0.00%, 1/25/2038 (d) |
22 |
1 |
Series 2008-16, Class IS, IF, IO, 3.76%, 3/25/2038 (d) |
7 |
1 |
Series 2008-10, Class XI, IF, IO, 3.79%, 3/25/2038 (d) |
11 |
1 |
Series 2008-28, Class QS, IF, 13.37%, 4/25/2038 (d) |
16 |
18 |
Series 2008-46, Class HI, IO, 1.18%, 6/25/2038 (d) |
15 |
1 |
Series 2013-25, Class DC, 2.50%, 6/25/2039 |
156 |
150 |
Series 2009-69, PO, 9/25/2039 |
25 |
20 |
Series 2009-103, Class MB, 2.86%, 12/25/2039 (d) |
26 |
27 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
56 |
59 |
Series 2011-118, Class MT, 7.00%, 11/25/2041 |
68 |
75 |
Series 2011-118, Class NT, 7.00%, 11/25/2041 |
63 |
68 |
Series 2013-101, Class DO, PO, 10/25/2043 |
133 |
107 |
Series 2013-128, PO, 12/25/2043 |
103 |
83 |
Series 2019-65, Class PA, 2.50%, 5/25/2048 |
178 |
168 |
FNMA, REMIC Trust, Whole Loan |
|
|
Series 2007-W7, Class 1A4, HB, IF, 25.63%, 7/25/2037 (d) |
4 |
5 |
Series 2003-W4, Class 2A, 5.06%, 10/25/2042 (d) |
10 |
10 |
Series 2003-W1, Class 1A1, 4.87%, 12/25/2042 (d) |
53 |
52 |
FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.25%, 10/25/2037 (d) |
14 |
15 |
FNMA, STRIPS |
|
|
Series 218, Class 2, IO, 7.50%, 4/25/2023 |
— |
— |
Series 300, Class 1, PO, 9/25/2024 |
3 |
3 |
Series 329, Class 1, PO, 1/25/2033 |
2 |
2 |
GNMA |
|
|
Series 2003-24, PO, 3/16/2033 |
4 |
4 |
Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
89 |
90 |
Series 2003-52, Class AP, PO, 6/16/2033 |
25 |
23 |
Series 2004-28, Class S, IF, 13.10%, 4/16/2034 (d) |
7 |
7 |
Series 2004-71, Class SB, IF, 17.84%, 9/20/2034 (d) |
11 |
13 |
Series 2004-90, Class SI, IF, IO, 3.73%, 10/20/2034 (d) |
69 |
5 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2005-68, Class DP, IF, 10.68%, 6/17/2035 (d) |
12 |
12 |
Series 2005-68, Class KI, IF, IO, 3.93%, 9/20/2035 (d) |
121 |
13 |
Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
212 |
219 |
Series 2006-59, Class SD, IF, IO, 4.33%, 10/20/2036 (d) |
14 |
1 |
Series 2007-17, Class JI, IF, IO, 4.42%, 4/16/2037 (d) |
55 |
6 |
Series 2007-27, Class SA, IF, IO, 3.83%, 5/20/2037 (d) |
68 |
5 |
Series 2007-45, Class QA, IF, IO, 4.27%, 7/20/2037 (d) |
57 |
4 |
Series 2007-40, Class SB, IF, IO, 4.38%, 7/20/2037 (d) |
93 |
7 |
Series 2007-53, Class ES, IF, IO, 4.18%, 9/20/2037 (d) |
15 |
1 |
Series 2007-53, Class SW, IF, 13.10%, 9/20/2037 (d) |
11 |
12 |
Series 2009-79, Class OK, PO, 11/16/2037 |
44 |
39 |
Series 2007-76, Class SA, IF, IO, 4.16%, 11/20/2037 (d) |
30 |
2 |
Series 2007-72, Class US, IF, IO, 4.18%, 11/20/2037 (d) |
29 |
1 |
Series 2009-106, Class ST, IF, IO, 3.63%, 2/20/2038 (d) |
95 |
6 |
Series 2008-33, Class XS, IF, IO, 5.31%, 4/16/2038 (d) |
20 |
2 |
Series 2008-40, Class SA, IF, IO, 4.01%, 5/16/2038 (d) |
58 |
5 |
Series 2008-55, Class SA, IF, IO, 3.83%, 6/20/2038 (d) |
36 |
2 |
Series 2008-50, Class KB, 6.00%, 6/20/2038 |
71 |
75 |
Series 2008-93, Class AS, IF, IO, 3.33%, 12/20/2038 (d) |
40 |
3 |
Series 2009-6, Class SA, IF, IO, 3.71%, 2/16/2039 (d) |
10 |
— |
Series 2009-31, Class TS, IF, IO, 3.93%, 3/20/2039 (d) |
27 |
1 |
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
17 |
3 |
Series 2009-22, Class SA, IF, IO, 3.90%, 4/20/2039 (d) |
46 |
3 |
Series 2009-92, Class ZC, 5.00%, 10/20/2039 |
247 |
253 |
Series 2011-137, Class WA, 5.60%, 7/20/2040 (d) |
119 |
126 |
Series 2010-105, Class B, 5.00%, 8/20/2040 |
314 |
322 |
Series 2010-130, Class CP, 7.00%, 10/16/2040 |
30 |
33 |
Series 2013-91, Class WA, 4.46%, 4/20/2043 (d) |
290 |
289 |
Series 2012-H24, Class FA, 2.25%, 3/20/2060 (d) |
4 |
4 |
48 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2013-H03, Class FA, 2.10%, 8/20/2060 (d) |
— |
— |
Series 2012-H21, Class DF, 2.45%, 5/20/2061 (d) |
1 |
1 |
Series 2012-H26, Class MA, 2.35%, 7/20/2062 (d) |
1 |
1 |
Series 2012-H29, Class FA, 2.31%, 10/20/2062 (d) |
181 |
180 |
Series 2014-H15, Class FA, 2.30%, 7/20/2064 (d) |
451 |
447 |
Series 2015-H15, Class FJ, 2.24%, 6/20/2065 (d) |
425 |
421 |
Series 2015-H18, Class FA, 2.25%, 6/20/2065 (d) |
249 |
247 |
Series 2015-H20, Class FA, 2.27%, 8/20/2065 (d) |
386 |
383 |
Series 2015-H26, Class FG, 2.32%, 10/20/2065 (d) |
434 |
431 |
GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 |
18 |
31 |
Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 ‡ |
— |
— |
JPMorgan Mortgage Trust |
|
|
Series 2003-A1, Class 1A1, 2.27%, 10/25/2033 (d) |
99 |
92 |
Series 2006-A2, Class 5A3, 2.68%, 11/25/2033 (d) |
18 |
18 |
Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (d) |
7 |
7 |
MASTR Adjustable Rate Mortgages Trust |
|
|
Series 2004-13, Class 2A1, 2.86%, 4/21/2034 (d) |
21 |
20 |
Series 2004-3, Class 4A2, 2.49%, 4/25/2034 (d) |
7 |
6 |
MASTR Alternative Loan Trust |
|
|
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
— |
— |
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
27 |
26 |
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
54 |
52 |
Series 2004-7, Class 30, PO, 8/25/2034 ‡ |
5 |
4 |
Series 2005-6, Class 3A1, 5.50%, 12/25/2035 |
7 |
6 |
Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) |
4 |
3 |
Merrill Lynch Mortgage Investors Trust |
|
|
Series 2003-E, Class A1, 3.06%, 10/25/2028 (d) |
45 |
42 |
Series 2004-A, Class A1, 2.90%, 4/25/2029 (d) |
13 |
12 |
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (d) |
22 |
20 |
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 |
6 |
RALI Trust Series 2002-QS16, Class A3, IF, 11.51%, 10/25/2017 (d) |
— |
— |
Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (b) |
30 |
17 |
Seasoned Credit Risk Transfer Trust |
|
|
Series 2018-1, Class M60C, 3.50%, 5/25/2057 |
181 |
175 |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 |
256 |
249 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 |
182 |
179 |
Series 2019-1, Class MT, 3.50%, 7/25/2058 |
350 |
334 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡ |
57 |
56 |
Series 2019-4, Class M55D, 4.00%, 2/25/2059 |
205 |
202 |
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 |
245 |
240 |
Vendee Mortgage Trust |
|
|
Series 1993-1, Class ZB, 7.25%, 2/15/2023 |
8 |
8 |
Series 1994-1, Class 1, 4.79%, 2/15/2024 (d) |
14 |
13 |
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
57 |
59 |
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
17 |
18 |
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
80 |
84 |
Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
21 |
21 |
WaMu Mortgage Pass-Through Certificates Trust |
|
|
Series 2003-AR5, Class A7, 3.21%, 6/25/2033 (d) |
19 |
18 |
Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (d) |
10 |
9 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
63 |
58 |
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡ |
— |
— |
Total Collateralized Mortgage Obligations (Cost $11,547) |
|
11,280 |
Asset-Backed Securities — 9.3% | ||
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) |
80 |
71 |
American Airlines Pass-Through Trust |
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028 |
61 |
55 |
Series 2021-1, Class B, 3.95%, 7/11/2030 |
75 |
62 |
American Credit Acceptance Receivables Trust |
|
|
Series 2022-1, Class A, 0.99%, 12/15/2025 (b) |
62 |
61 |
Series 2022-2, Class A, 2.66%, 2/13/2026 (b) |
56 |
55 |
AmeriCredit Automobile Receivables Trust |
|
|
Series 2020-1, Class A3, 1.11%, 8/19/2024 |
6 |
6 |
Series 2020-2, Class A3, 0.66%, 12/18/2024 |
9 |
9 |
Series 2021-1, Class A3, 0.37%, 8/18/2025 |
76 |
75 |
Series 2020-3, Class B, 0.76%, 12/18/2025 |
75 |
72 |
Series 2021-2, Class B, 0.69%, 1/19/2027 |
55 |
52 |
Series 2022-2, Class A3, 4.38%, 4/18/2028 |
31 |
31 |
AMSR Trust Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) |
100 |
92 |
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) |
109 |
104 |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) |
100 |
94 |
BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026 |
88 |
84 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
49 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Asset-Backed Securities — continued | ||
British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) |
50 |
46 |
CarMax Auto Owner Trust |
|
|
Series 2019-1, Class A3, 3.05%, 3/15/2024 |
4 |
4 |
Series 2020-1, Class A3, 1.89%, 12/16/2024 |
43 |
42 |
Series 2020-3, Class A3, 0.62%, 3/17/2025 |
48 |
48 |
Series 2021-1, Class A3, 0.34%, 12/15/2025 |
38 |
37 |
Series 2022-2, Class A3, 3.49%, 2/16/2027 |
76 |
75 |
Carvana Auto Receivables Trust |
|
|
Series 2021-P3, Class A3, 0.70%, 11/10/2026 |
90 |
85 |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 (e) |
22 |
22 |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 |
150 |
138 |
CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b) |
35 |
35 |
CoreVest American Finance Trust |
|
|
Series 2019-3, Class A, 2.71%, 10/15/2052 (b) |
58 |
56 |
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (d) |
100 |
100 |
CPS Auto Receivables Trust |
|
|
Series 2021-B, Class B, 0.81%, 12/15/2025 (b) |
100 |
98 |
Series 2022-C, Class B, 4.88%, 4/15/2030 (b) |
200 |
198 |
Credit Acceptance Auto Loan Trust |
|
|
Series 2019-3A, Class A, 2.38%, 11/15/2028 (b) |
19 |
19 |
Series 2020-1A, Class A, 2.01%, 2/15/2029 (b) |
66 |
66 |
Series 2021-2A, Class A, 0.96%, 2/15/2030 |
250 |
240 |
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026 |
28 |
27 |
DT Auto Owner Trust |
|
|
Series 2020-3A, Class B, 0.91%, 12/16/2024 (b) |
47 |
46 |
Series 2021-1A, Class B, 0.62%, 9/15/2025 (b) |
20 |
20 |
Series 2022-1A, Class A, 1.58%, 4/15/2026 (b) |
128 |
126 |
Series 2022-2A, Class A, 2.88%, 6/15/2026 (b) |
103 |
102 |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) |
95 |
90 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) |
57 |
51 |
Exeter Automobile Receivables Trust |
|
|
Series 2022-1A, Class A2, 1.15%, 6/17/2024 |
78 |
78 |
Series 2021-1A, Class B, 0.50%, 2/18/2025 |
16 |
16 |
Series 2021-2A, Class B, 0.57%, 9/15/2025 |
54 |
53 |
Series 2022-3A, Class A3, 4.21%, 1/15/2026 |
150 |
149 |
Series 2021-4A, Class B, 1.05%, 5/15/2026 |
74 |
72 |
Series 2022-2A, Class D, 4.56%, 7/17/2028 |
75 |
71 |
Series 2022-4A, Class C, 4.92%, 12/15/2028 |
82 |
82 |
First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b) |
9 |
9 |
Flagship Credit Auto Trust |
|
|
Series 2020-4, Class A, 0.53%, 4/15/2025 (b) |
29 |
29 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2019-4, Class C, 2.77%, 12/15/2025 (b) |
105 |
104 |
Series 2021-4, Class A, 0.81%, 7/17/2026 (b) |
78 |
76 |
Series 2022-1, Class A, 1.79%, 10/15/2026 (b) |
137 |
133 |
Series 2022-2, Class A3, 4.03%, 12/15/2026 (b) |
200 |
198 |
Series 2021-3, Class A, 0.36%, 7/15/2027 (b) |
78 |
76 |
Ford Credit Auto Lease Trust |
|
|
Series 2020-B, Class A4, 0.69%, 10/15/2023 |
40 |
40 |
Series 2021-A, Class A3, 0.26%, 2/15/2024 |
49 |
49 |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) |
156 |
138 |
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (d) |
10 |
8 |
GLS Auto Receivables Issuer Trust |
|
|
Series 2021-4A, Class A, 0.84%, 7/15/2025 (b) |
79 |
77 |
Series 2021-2A, Class B, 0.77%, 9/15/2025 (b) |
32 |
31 |
Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) |
66 |
62 |
GM Financial Automobile Leasing Trust |
|
|
Series 2021-1, Class A4, 0.33%, 2/20/2025 |
78 |
76 |
Series 2022-2, Class A3, 3.42%, 6/20/2025 |
82 |
81 |
GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%, 10/16/2025 |
30 |
29 |
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) |
5 |
5 |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 ‡ (b) |
99 |
94 |
Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024 |
49 |
49 |
Hyundai Auto Lease Securitization Trust Series 2020-B, Class A3, 0.51%, 9/15/2023 (b) |
53 |
53 |
Mercedes-Benz Auto Lease Trust Series 2021-A, Class A3, 0.25%, 1/16/2024 |
44 |
44 |
MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) |
91 |
82 |
Progress Residential Trust |
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡
(b) |
100 |
86 |
Series 2022-SFR3, Class A, 3.20%, 4/17/2039 (b) |
130 |
121 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b) |
28 |
28 |
Santander Drive Auto Receivables Trust |
|
|
Series 2022-1, Class A2, 1.36%, 12/16/2024 |
117 |
117 |
Series 2021-1, Class B, 0.50%, 4/15/2025 |
67 |
67 |
Series 2021-3, Class B, 0.60%, 12/15/2025 |
102 |
101 |
Series 2020-4, Class C, 1.01%, 1/15/2026 |
50 |
49 |
Series 2021-2, Class C, 0.90%, 6/15/2026 |
74 |
72 |
Series 2022-3, Class A3, 3.40%, 12/15/2026 |
73 |
72 |
50 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2022-4, Class A3, 4.14%, 2/16/2027 |
110 |
109 |
Series 2022-5, Class B, 4.43%, 3/15/2027 |
44 |
44 |
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b) |
34 |
32 |
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 ‡ (f) |
21 |
17 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
35 |
31 |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b) |
50 |
46 |
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (b) |
51 |
48 |
Toyota Auto Receivables Owner Trust |
|
|
Series 2020-A, Class A3, 1.66%, 5/15/2024 |
68 |
68 |
Series 2021-A, Class A3, 0.26%, 5/15/2025 |
119 |
116 |
Series 2020-C, Class A4, 0.57%, 10/15/2025 |
56 |
53 |
United Airlines Pass-Through Trust |
|
|
Series 2016-2, Class AA, 2.88%, 10/7/2028 |
91 |
80 |
Series 2018-1, Class A, 3.70%, 3/1/2030 |
101 |
85 |
United Auto Credit Securitization Trust 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) |
31 |
31 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b) |
95 |
94 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (f) |
52 |
48 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (f) |
75 |
70 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (f) |
70 |
66 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (f) |
95 |
90 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (b) (f) |
71 |
67 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 ‡ (b) (f) |
99 |
93 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (f) |
106 |
101 |
Westlake Automobile Receivables Trust |
|
|
Series 2020-3A, Class B, 0.78%, 11/17/2025 (b) |
90 |
89 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) |
72 |
67 |
World Omni Auto Receivables Trust |
|
|
Series 2021-A, Class A3, 0.30%, 1/15/2026 |
117 |
114 |
Series 2022-B, Class A3, 3.25%, 7/15/2027 |
140 |
138 |
World Omni Automobile Lease Securitization Trust |
|
|
Series 2020-A, Class A3, 1.70%, 1/17/2023 |
2 |
2 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
Series 2021-A, Class A3, 0.42%, 8/15/2024 |
67 |
65 |
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 |
34 |
34 |
Total Asset-Backed Securities (Cost $7,785) |
|
7,497 |
Mortgage-Backed Securities — 7.9% | ||
FHLMC |
|
|
Pool # 785618, ARM, 3.88%, 7/1/2026 (d) |
5 |
5 |
Pool # 611141, ARM, 2.34%, 1/1/2027 (d) |
4 |
4 |
Pool # 1G2557, ARM, 3.34%, 6/1/2036 (d) |
27 |
28 |
Pool # 1A1085, ARM, 3.18%, 8/1/2036 (d) |
35 |
35 |
Pool # 1Q0105, ARM, 3.50%, 9/1/2036 (d) |
11 |
11 |
Pool # 1B7242, ARM, 3.57%, 9/1/2036 (d) |
26 |
26 |
Pool # 1Q0737, ARM, 2.21%, 11/1/2036 (d) |
13 |
13 |
Pool # 1N1511, ARM, 2.41%, 1/1/2037 (d) |
13 |
13 |
Pool # 1Q0739, ARM, 3.14%, 3/1/2037 (d) |
11 |
11 |
Pool # 1Q0722, ARM, 2.57%, 4/1/2038 (d) |
16 |
16 |
FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026 |
3 |
3 |
FHLMC Gold Pools, 30 Year |
|
|
Pool # G00245, 8.00%, 8/1/2024 |
— |
— |
Pool # C00376, 8.00%, 11/1/2024 |
— |
— |
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 |
2 |
3 |
Pool # A17537, 6.00%, 1/1/2034 |
15 |
16 |
Pool # G02682, 7.00%, 2/1/2037 |
12 |
13 |
Pool # Q58054, 4.50%, 11/1/2046 |
143 |
146 |
FHLMC Gold Pools, Other |
|
|
Pool # G20027, 10.00%, 10/1/2030 |
2 |
2 |
Pool # U80336, 3.50%, 5/1/2033 |
268 |
262 |
Pool # U90690, 3.50%, 6/1/2042 |
94 |
92 |
Pool # U90975, 4.00%, 6/1/2042 |
85 |
85 |
Pool # U91427, 3.50%, 5/1/2043 |
319 |
309 |
FNMA |
|
|
Pool # 54844, ARM, 2.35%, 9/1/2027 (d) |
1 |
1 |
Pool # 303532, ARM, 3.89%, 3/1/2029 (d) |
1 |
1 |
Pool # 745446, ARM, 2.72%, 4/1/2033 (d) |
17 |
18 |
Pool # 746299, ARM, 3.39%, 9/1/2033 (d) |
30 |
31 |
Pool # 743546, ARM, 1.73%, 11/1/2033 (d) |
31 |
31 |
Pool # 735332, ARM, 2.90%, 8/1/2034 (d) |
25 |
25 |
Pool # 790964, ARM, 3.90%, 9/1/2034 (d) |
13 |
13 |
Pool # 896463, ARM, 3.84%, 10/1/2034 (d) |
31 |
31 |
Pool # 816361, ARM, 1.69%, 1/1/2035 (d) |
47 |
46 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
51 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 810896, ARM, 2.91%, 1/1/2035 (d) |
16 |
16 |
Pool # 816597, ARM, 2.05%, 2/1/2035 (d) |
10 |
10 |
Pool # 816594, ARM, 3.79%, 2/1/2035 (d) |
11 |
11 |
Pool # 745862, ARM, 3.27%, 4/1/2035 (d) |
17 |
17 |
Pool # 832801, ARM, 3.01%, 9/1/2035 (d) |
30 |
30 |
Pool # 843026, ARM, 3.61%, 9/1/2035 (d) |
23 |
24 |
Pool # 920340, ARM, 3.25%, 2/1/2036 (d) |
20 |
20 |
Pool # 886558, ARM, 4.02%, 8/1/2036 (d) |
8 |
8 |
Pool # 893424, ARM, 3.48%, 9/1/2036 (d) |
23 |
24 |
Pool # 915645, ARM, 3.26%, 2/1/2037 (d) |
17 |
18 |
Pool # 913984, ARM, 3.69%, 2/1/2037 (d) |
10 |
10 |
Pool # 887094, ARM, 3.65%, 7/1/2046 (d) |
30 |
32 |
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 |
2 |
2 |
FNMA UMBS, 30 Year |
|
|
Pool # 250066, 8.00%, 5/1/2024 |
— |
— |
Pool # 250103, 8.50%, 7/1/2024 |
— |
1 |
Pool # 303031, 7.50%, 10/1/2024 |
— |
— |
Pool # 308499, 8.50%, 5/1/2025 |
— |
— |
Pool # 695533, 8.00%, 6/1/2027 |
4 |
4 |
Pool # 313687, 7.00%, 9/1/2027 |
1 |
1 |
Pool # 755973, 8.00%, 11/1/2028 |
5 |
5 |
Pool # 598559, 6.50%, 8/1/2031 |
10 |
10 |
Pool # 995409, 8.00%, 11/1/2032 |
68 |
72 |
Pool # 675555, 6.00%, 12/1/2032 |
12 |
12 |
Pool # 674349, 6.00%, 3/1/2033 |
8 |
8 |
Pool # 702901, 6.00%, 5/1/2033 |
25 |
27 |
Pool # 721535, 5.00%, 7/1/2033 |
37 |
38 |
Pool # 723852, 5.00%, 7/1/2033 |
12 |
12 |
Pool # 729296, 5.00%, 7/1/2033 |
27 |
28 |
Pool # 713700, 4.50%, 8/1/2033 |
13 |
13 |
Pool # 737825, 6.00%, 9/1/2033 |
6 |
7 |
Pool # 725027, 5.00%, 11/1/2033 |
23 |
24 |
Pool # 725017, 5.50%, 12/1/2033 |
25 |
26 |
Pool # AA0922, 6.00%, 9/1/2036 |
31 |
33 |
Pool # 986648, 6.00%, 9/1/2037 |
16 |
17 |
Pool # AD9151, 5.00%, 8/1/2040 |
64 |
67 |
Pool # BM3375, 4.00%, 1/1/2048 |
136 |
135 |
Pool # BK8753, 4.50%, 6/1/2049 |
110 |
110 |
Pool # BP6363, 3.00%, 4/1/2050 |
309 |
287 |
Pool # CB2637, 2.50%, 1/1/2052 |
77 |
69 |
FNMA, 30 Year |
|
|
Pool # 252409, 6.50%, 3/1/2029 |
5 |
5 |
Pool # 752786, 6.00%, 9/1/2033 |
7 |
7 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
FNMA, Other |
|
|
Pool # AM8317, 2.96%, 3/1/2025 |
174 |
170 |
Pool # AN2309, 2.21%, 7/1/2026 |
441 |
417 |
Pool # AM7515, 3.34%, 2/1/2027 |
500 |
495 |
Pool # BL1040, 3.81%, 12/1/2028 |
150 |
150 |
Pool # BL0907, 3.88%, 12/1/2028 |
300 |
301 |
Pool # AM6892, 3.76%, 9/1/2029 |
218 |
218 |
Pool # BM4162, 3.27%, 10/1/2029 (d) |
153 |
148 |
Pool # BL4333, 2.52%, 11/1/2029 |
388 |
359 |
Pool # BS5117, 2.58%, 3/1/2032 |
199 |
179 |
Pool # 888408, 6.00%, 3/1/2037 |
9 |
9 |
Pool # 257172, 5.50%, 4/1/2038 |
5 |
5 |
Pool # MA1125, 4.00%, 7/1/2042 |
127 |
127 |
GNMA I, 30 Year |
|
|
Pool # 363030, 7.00%, 9/15/2023 |
1 |
1 |
Pool # 352022, 7.00%, 11/15/2023 |
— |
— |
Pool # 366706, 6.50%, 1/15/2024 |
2 |
2 |
Pool # 371281, 7.00%, 2/15/2024 |
— |
— |
Pool # 780965, 9.50%, 12/15/2025 |
— |
— |
Pool # 442119, 7.50%, 11/15/2026 |
1 |
1 |
Pool # 411829, 7.50%, 7/15/2027 |
1 |
1 |
Pool # 468149, 8.00%, 8/15/2028 |
1 |
1 |
Pool # 468236, 6.50%, 9/15/2028 |
26 |
28 |
Pool # 486537, 7.50%, 9/15/2028 |
2 |
2 |
Pool # 466406, 6.00%, 11/15/2028 |
5 |
5 |
Pool # 607645, 6.50%, 2/15/2033 |
7 |
7 |
Pool # 781614, 7.00%, 6/15/2033 |
11 |
12 |
Pool # 782615, 7.00%, 6/15/2035 |
24 |
26 |
Pool # 782025, 6.50%, 12/15/2035 |
34 |
36 |
Pool # 681638, 6.00%, 12/15/2038 |
63 |
66 |
GNMA II, 30 Year |
|
|
Pool # 1974, 8.50%, 3/20/2025 |
— |
— |
Pool # 1989, 8.50%, 4/20/2025 |
1 |
1 |
Pool # 2006, 8.50%, 5/20/2025 |
— |
— |
Pool # 2141, 8.00%, 12/20/2025 |
— |
— |
Pool # 2234, 8.00%, 6/20/2026 |
— |
— |
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 |
— |
— |
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 |
— |
— |
Pool # 2562, 6.00%, 3/20/2028 |
6 |
6 |
Pool # 2633, 8.00%, 8/20/2028 |
— |
— |
52 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 2646, 7.50%, 9/20/2028 |
1 |
2 |
Pool # 4245, 6.00%, 9/20/2038 |
36 |
39 |
Pool # BA7567, 4.50%, 5/20/2048 |
68 |
68 |
Pool # BI0416, 4.50%, 11/20/2048 |
99 |
100 |
Pool # BM9692, 4.50%, 7/20/2049 |
64 |
64 |
Pool # BQ3224, 4.50%, 9/20/2049 |
341 |
346 |
Pool # MA7534, 2.50%, 8/20/2051 |
117 |
107 |
Pool # MA7649, 2.50%, 10/20/2051 |
37 |
34 |
GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033 |
293 |
290 |
Total Mortgage-Backed Securities (Cost $6,605) |
|
6,360 |
Commercial Mortgage-Backed Securities — 7.5% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (b) (d) |
145 |
142 |
Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048 |
281 |
275 |
FHLMC, Multi-Family Structured Pass-Through Certificates |
|
|
Series KSMC, Class A2, 2.62%, 1/25/2023 |
500 |
497 |
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (d) |
500 |
490 |
Series KLU2, Class A7, 2.23%, 9/25/2025 (d) |
213 |
202 |
Series K737, Class AM, 2.10%, 10/25/2026 |
305 |
283 |
Series K069, Class A2, 3.19%, 9/25/2027 (d) |
480 |
467 |
Series K081, Class A1, 3.88%, 2/25/2028 |
96 |
97 |
Series K083, Class A2, 4.05%, 9/25/2028 (d) |
297 |
301 |
Series K088, Class A2, 3.69%, 1/25/2029 |
480 |
478 |
FNMA ACES |
|
|
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (d) |
222 |
220 |
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (d) |
390 |
384 |
Series 2015-M7, Class A2, 2.59%, 12/25/2024 |
562 |
547 |
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (d) |
486 |
467 |
Series 2020-M50, Class A1, 0.67%, 10/25/2030 |
274 |
250 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 |
165 |
146 |
Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (d) |
2,596 |
231 |
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (d) |
117 |
98 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 |
11 |
11 |
Series 2021-M3, Class X1, IO, 2.07%, 11/25/2033 (d) |
101 |
11 |
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b) |
147 |
118 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) |
200 |
189 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) |
155 |
131 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE ($000) |
| ||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) |
4 |
4 |
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 |
4 |
4
|
Total Commercial Mortgage-Backed Securities (Cost $6,307) |
|
6,043 |
Foreign Government Securities — 0.2% | ||
United Mexican States 2.66%, 5/24/2031(Cost $199) |
200 |
166 |
U.S. Government Agency Securities — 0.1% | ||
Resolution Funding Corp. STRIPS DN,3.28%, 1/15/2026 (a)(Cost $55) |
60 |
53 |
|
SHARES
(000) |
|
Short-Term Investments — 1.9% | ||
Investment Companies — 1.9% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.24% (g) (h)
(Cost $1,542) |
1,542 |
1,542 |
Total Investments — 99.7% (Cost $85,269) |
|
80,597 |
Other Assets Less Liabilities — 0.3% |
|
273 |
NET ASSETS — 100.0% |
|
80,870 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations |
|
ACES |
Alternative Credit Enhancement Securities |
ARM |
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 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 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
53 |
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 August 31, 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 |
^ |
Amount rounds to less than 0.1% of net assets. |
‡ |
Value determined using significant unobservable inputs. |
|
(a) |
The rate shown is the effective yield as of August 31, 2022. |
|
(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 August 31, 2022. |
|
(d) |
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 August 31, 2022. |
|
(e) |
All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
|
(f) |
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 August 31, 2022. |
|
(g) |
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. |
|
(h) |
The rate shown is the current yield as of August 31, 2022. |
|
54 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
JPMorgan
Core Bond
Trust |
JPMorgan
Intermediate Bond Trust |
ASSETS: |
|
|
Investments in non-affiliates, at value |
$2,016,203 |
$79,055 |
Investments in affiliates, at value |
111,458 |
1,542 |
Receivables: |
|
|
Due from custodian |
1,386 |
— |
Investment securities sold |
132 |
11 |
Interest from non-affiliates |
10,055 |
333 |
Dividends from affiliates |
156 |
2 |
Due from adviser |
— |
12 |
Other assets |
57 |
— |
Total Assets |
2,139,447 |
80,955 |
LIABILITIES: |
|
|
Payables: |
|
|
Due to custodian |
— |
17 |
Investment securities purchased |
1,634 |
22 |
Investment securities purchased — delayed delivery securities |
86,249 |
— |
Accrued liabilities: |
|
|
Investment advisory fees |
184 |
— |
Custodian and accounting fees |
26 |
12 |
Other |
54 |
34 |
Total Liabilities |
88,147 |
85 |
Net Assets |
$2,051,300 |
$80,870 |
NET ASSETS: |
|
|
Paid-in-Capital |
$2,239,779 |
$85,814 |
Total distributable earnings (loss) |
(188,479)
|
(4,944) |
Total Net Assets |
$2,051,300 |
$80,870 |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
224,610 |
9,078 |
Net asset value, offering and redemption price per share (a) |
$9.13 |
$8.91 |
Cost of investments in non-affiliates |
$2,192,080 |
$83,727 |
Cost of investments in affiliates |
111,430 |
1,542 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
55 |
|
JPMorgan
Core Bond
Trust |
JPMorgan
Intermediate Bond Trust |
INVESTMENT INCOME: |
|
|
Interest income from non-affiliates |
$28,648 |
$1,063 |
Dividend income from affiliates |
484 |
8 |
Total investment income |
29,132 |
1,071 |
EXPENSES: |
|
|
Investment advisory fees |
2,745 |
116 |
Administration fees |
980 |
41 |
Custodian and accounting fees |
82 |
36 |
Interest expense to affiliates |
1 |
— |
Professional fees |
53 |
32 |
Trustees’ and Chief Compliance Officer’s fees |
16 |
13 |
Printing and mailing costs |
11 |
7 |
Transfer agency fees |
7 |
—(a) |
Other |
67 |
8 |
Total expenses |
3,962 |
253 |
Less fees waived |
(2,566) |
(159) |
Less expense reimbursements |
— |
(33) |
Net expenses |
1,396 |
61 |
Net investment income (loss) |
27,736 |
1,010 |
REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
Net realized gain (loss) on transactions from: |
|
|
Investments in non-affiliates |
(11,509) |
(34) |
Investments in affiliates |
(20)
|
—(a) |
Net realized gain (loss) |
(11,529)
|
(34) |
Change in net unrealized appreciation/depreciation on: |
|
|
Investments in non-affiliates |
(166,010) |
(5,041) |
Investments in affiliates |
23 |
—(a) |
Change in net unrealized appreciation/depreciation |
(165,987)
|
(5,041) |
Net realized/unrealized gains (losses) |
(177,516)
|
(5,075) |
Change in net assets resulting from operations |
$(149,780) |
$(4,065) |
56 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
JPMorgan Core Bond
Trust |
JPMorgan
Intermediate Bond Trust | ||
|
Six Months Ended
August 31, 2022
(Unaudited) |
Year Ended
February 28, 2022 |
Six Months Ended
August 31, 2022
(Unaudited) |
Year Ended
February 28, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
Net investment income (loss) |
$27,736 |
$52,268 |
$1,010 |
$2,199 |
Net realized gain (loss) |
(11,529) |
6,261 |
(34) |
299 |
Change in net unrealized appreciation/depreciation |
(165,987)
|
(99,791)
|
(5,041)
|
(4,311) |
Change in net assets resulting from operations |
(149,780)
|
(41,262)
|
(4,065)
|
(1,813) |
DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
Total distributions to shareholders |
(28,097)
|
(67,247)
|
(1,019)
|
(3,003) |
CAPITAL TRANSACTIONS: |
|
|
|
|
Change in net assets resulting from capital transactions |
155,225 |
(38,225)
|
292 |
(14,672) |
NET ASSETS: |
|
|
|
|
Change in net assets |
(22,652) |
(146,734) |
(4,792) |
(19,488) |
Beginning of period |
2,073,952 |
2,220,686 |
85,662 |
105,150 |
End of period |
$2,051,300 |
$2,073,952 |
$80,870 |
$85,662
|
CAPITAL TRANSACTIONS: |
|
|
|
|
Proceeds from shares issued |
$336,377
|
$372,391
|
$—
|
$3,085 |
Distributions reinvested |
25,224 |
62,290 |
682 |
2,025 |
Cost of shares redeemed |
(206,376)
|
(472,906)
|
(390)
|
(19,782) |
Change in net assets resulting from capital transactions |
$155,225 |
$(38,225) |
$292 |
$(14,672) |
SHARE TRANSACTIONS: |
|
|
|
|
Issued |
36,333 |
35,822 |
— |
311 |
Reinvested |
2,700 |
6,006 |
75 |
207 |
Redeemed |
(22,172)
|
(45,563)
|
(41)
|
(1,987) |
Change in Shares |
16,861 |
(3,735)
|
34 |
(1,469) |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
57 |
|
Per share
operating performance | ||||||
|
|
Investment
operations |
Distributions
| ||||
|
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(b) |
Net realized
and unrealized
gains
(losses) on
investments |
Total from
investment
operations |
Net
investment
income |
Net
realized
gain |
Total
distributions |
JPMorgan Core Bond Trust |
|
|
|
|
|
|
|
Six Months Ended August 31, 2022 (Unaudited) |
$9.98 |
$0.13 |
$(0.84) |
$(0.71) |
$(0.14) |
$— |
$(0.14) |
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) |
Annualized for periods less than one year, unless otherwise noted. |
(b) |
Calculated based upon average shares outstanding. |
(c) |
Not annualized for periods less than one year. |
(d) |
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. |
(e) |
Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) |
Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
58 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
Ratios/Supplemental data | |||||
|
|
|
Ratios to
average net assets(a) | |||
Net asset
value,
end of
period |
Total
return(c)(d) |
Net assets,
end of
period
(000's) |
Net
expenses(e)
|
Net
investment
income
(loss) |
Expenses without
waivers,
reimbursements,
and earnings
credits |
Portfolio turnover
rate(c) |
|
|
|
|
|
|
|
$9.13 |
(7.18)% |
$2,051,300 |
0.14%(f) |
2.83%(f) |
0.40%(f) |
39% |
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 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
59 |
|
Per share
operating performance | ||||||
|
|
Investment
operations |
Distributions
| ||||
|
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(b) |
Net realized
and unrealized
gains
(losses) on
investments |
Total from
investment
operations |
Net
investment
income |
Net
realized
gain |
Total
distributions |
JPMorgan Intermediate Bond Trust |
|
|
|
|
|
|
|
Six Months Ended August 31, 2022 (Unaudited) |
$9.47 |
$0.11 |
$(0.56) |
$(0.45) |
$(0.11) |
$— |
$(0.11) |
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)(g) |
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) |
Annualized for periods less than one year, unless otherwise noted. |
(b) |
Calculated based upon average shares outstanding. |
(c) |
Not annualized for periods less than one year. |
(d) |
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. |
(e) |
Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) |
Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
(g) |
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. |
60 |
|
|
|
Ratios/Supplemental data | |||||
|
|
|
Ratios to
average net assets(a) | |||
Net asset
value,
end of
period |
Total
return(c)(d) |
Net assets,
end of
period
(000's) |
Net
expenses(e)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements |
Portfolio turnover
rate(c) |
|
|
|
|
|
|
|
$8.91 |
(4.74)% |
$80,870 |
0.14%(f) |
2.44%(f) |
0.61%(f) |
12% |
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 |
|
|
61 |
62 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
Core Bond Trust |
|
|
|
|
|
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
Investments in Securities |
|
|
|
|
Asset-Backed Securities |
$— |
$173,337 |
$78,270 |
$251,607 |
Collateralized Mortgage Obligations |
— |
170,064 |
3,715 |
173,779 |
Commercial Mortgage-Backed Securities |
— |
79,750 |
4,058 |
83,808 |
Corporate Bonds |
— |
490,764 |
— |
490,764 |
Foreign Government Securities |
— |
8,434 |
— |
8,434 |
Loan Assignments |
— |
3,047 |
— |
3,047 |
Mortgage-Backed Securities |
— |
373,518 |
— |
373,518 |
Municipal Bonds |
— |
10,048 |
— |
10,048 |
U.S. Government Agency Securities |
— |
13,395 |
— |
13,395 |
U.S. Treasury Obligations |
— |
607,803 |
— |
607,803 |
Short-Term Investments |
|
|
|
|
Investment Companies |
111,458 |
— |
— |
111,458 |
Total Investments in Securities
|
$111,458 |
$1,930,160 |
$86,043 |
$2,127,661 |
Intermediate Bond Trust |
|
|
|
|
|
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
Investments in Securities |
|
|
|
|
Asset-Backed Securities |
$— |
$7,132 |
$365 |
$7,497 |
Collateralized Mortgage Obligations |
— |
11,198 |
82 |
11,280 |
Commercial Mortgage-Backed Securities |
— |
6,043 |
— |
6,043 |
Corporate Bonds |
— |
20,713 |
— |
20,713 |
Foreign Government Securities |
— |
166 |
— |
166 |
Mortgage-Backed Securities |
— |
6,360 |
— |
6,360 |
U.S. Government Agency Securities |
— |
53 |
— |
53 |
U.S. Treasury Obligations |
— |
26,943 |
— |
26,943 |
Short-Term Investments |
|
|
|
|
Investment Companies |
1,542 |
— |
— |
1,542 |
Total Investments in Securities
|
$1,542 |
$78,608 |
$447 |
$80,597 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
63 |
Core Bond Trust |
Balance as of
February 28,
2022 |
Realized
gain (loss) |
Change in net
unrealized
appreciation
(depreciation) |
Net
accretion
(amortization) |
Purchases1 |
Sales2 |
Transfers
into
Level 3 |
Transfers
out of
Level 3 |
Other(a) |
Balance as of
August 31, 2022 |
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
$59,313 |
$— |
$(2,467) |
$(63) |
$25,352 |
$(7,426) |
$9,390 |
$(12,027) |
$6,198 |
$78,270 |
Collateralized Mortgage Obligations |
14,123 |
(1,068) |
46 |
(301) |
321 |
(456) |
2,402 |
(6,631) |
(4,721) |
3,715 |
Commercial Mortgage-Backed Securities |
1,684 |
— |
(279)
|
(20)
|
4,151 |
(1) |
— |
— |
(1,477)
|
4,058 |
Total |
$75,120 |
$(1,068) |
$(2,700) |
$(384) |
$29,824 |
$(7,883) |
$11,792 |
$(18,658) |
$— |
$86,043
|
| |||||||||
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) |
Certain Level 3 investments were re-classified between Collateralized Mortgage Obligations, Asset-Backed Securities and Commercial
Mortgage-Backed Securities. |
Intermediate Bond Trust |
Balance as of
February 28,
2022 |
Realized
gain (loss) |
Change in net
unrealized
appreciation
(depreciation) |
Net
accretion
(amortization) |
Purchases1 |
Sales2 |
Transfers
into
Level 3 |
Transfers
out of
Level 3 |
Balance as of
August 31, 2022 |
Investments in Securities: |
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
$124 |
$— |
$(19) |
$—(a) |
$97 |
$(16) |
$179 |
$— |
$365 |
Collateralized Mortgage Obligations |
496 |
— |
(6)
|
—(a) |
1 |
(11) |
— |
(398)
|
82 |
Total |
$620 |
$— |
$(25) |
$—(a) |
$98 |
$(27) |
$179 |
$(398) |
$447 |
| |||||||||
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. |
64 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
Fair Value at
August 31, 2022 |
Valuation
Technique(s) |
Unobservable
Input |
Range (Weighted
Average) (a) |
|
$61,711
|
Discounted Cash Flow |
Constant Prepayment Rate |
0.00% - 25.00% (6.49%) |
|
|
|
Constant Default Rate |
0.00% - 5.03% (0.05%) |
|
|
|
Yield (Discount Rate of Cash Flows) |
4.88% - 8.01% (6.06%) |
|
|
|
|
|
Asset-Backed Securities |
61,711 |
|
|
|
|
3,637 |
|
Constant Prepayment Rate |
0.00% - 150.00% (86.02%) |
|
|
|
Constant Default Rate |
0.00% - 6.69% (0.82%) |
|
|
|
Yield (Discount Rate of Cash Flows) |
3.76% - 21.07% (8.29%) |
|
|
|
|
|
Collateralized Mortgage Obligations |
3,637 |
|
|
|
|
1,458 |
|
Constant Prepayment Rate |
0.00% - 100.00% (0.00%) |
|
|
|
Yield (Discount Rate of Cash Flows) |
4.43% 11.79% (7.89%) |
|
|
|
|
|
Commercial Mortgage-Backed Securities |
1,458 |
|
|
|
|
|
|
|
|
Total |
$66,806 |
|
|
|
# |
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2022, the value of
these investments was $19,237. 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. |
|
Fair Value at
August 31, 2022 |
Valuation
Technique(s) |
Unobservable
Input |
Range (Weighted
Average) (a) |
|
$365
|
Discounted Cash Flow |
Constant Prepayment Rate |
0.00% - 10.00% (4.83%) |
|
|
|
Constant Default Rate |
0.00% - 5.03% (0.21%) |
|
|
|
Yield (Discount Rate of Cash Flows) |
5.69% - 7.12% (6.35%) |
|
|
|
|
|
Asset-Backed Securities |
365 |
|
|
|
|
82 |
|
Constant Prepayment Rate |
1.00% - 100.00% (69.70%) |
|
|
|
Constant Default Rate |
0.00% - 2.20% (0.41%) |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
65 |
|
Fair Value at
August 31, 2022 |
Valuation
Technique(s) |
Unobservable
Input |
Range (Weighted
Average) (a) |
|
|
|
Yield (Discount Rate of Cash Flows) |
4.34% - 9.48% (5.24%) |
|
|
|
|
|
Collateralized Mortgage Obligations |
82 |
|
|
|
|
|
|
|
|
Total |
$447 |
|
|
|
(a) |
Unobservable inputs were weighted by the relative fair value of the instruments. |
66 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
Core Bond Trust
| |||||||||
For the six months ended August 31, 2022 | |||||||||
Security Description |
Value at
February 28,
2022 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
August 31,
2022 |
Shares at
August 31,
2022 |
Dividend
Income |
Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.24% (a) (b) |
$80,987 |
$641,767 |
$611,299 |
$(20) |
$23 |
$111,458 |
111,413 |
$484 |
$—
|
| |
(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 August 31, 2022. |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
67 |
Intermediate Bond
Trust | |||||||||
For the six months ended August 31, 2022 | |||||||||
Security Description |
Value at
February 28,
2022 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
August 31,
2022 |
Shares at
August 31,
2022 |
Dividend
Income |
Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.24% (a) (b) |
$1,357 |
$11,097 |
$10,912 |
$—(c) |
$—(c) |
$1,542
|
1,542 |
$8 |
$—
|
| |
(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 August 31, 2022. |
(c) |
Amount rounds to less than one thousand. |
68 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
|
Core Bond Trust |
0.15% |
Intermediate Bond Trust |
0.15 |
|
Contractual
Waivers |
| ||
|
Investment
Advisory Fees |
Administration
Fees |
Total |
Contractual
Reimbursements |
Core Bond Trust |
$1,504 |
$980 |
$2,484 |
$— |
Intermediate Bond Trust |
116 |
41 |
157 |
33 |
|
|
Core Bond Trust |
$81 |
Intermediate Bond Trust |
1 |
|
|
Core Bond Trust |
$1 |
Intermediate Bond Trust |
1 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
69 |
|
Purchases
(excluding
U.S. Government) |
Sales
(excluding
U.S. Government) |
Purchases
of U.S.
Government |
Sales of
U.S. Government |
Core Bond Trust |
$645,045 |
$588,526 |
$277,407 |
$176,515 |
Intermediate Bond Trust |
3,460 |
10,272 |
6,566 |
— |
|
Aggregate
Cost |
Gross
Unrealized
Appreciation |
Gross
Unrealized
Depreciation |
Net Unrealized
Appreciation (Depreciation) |
Core Bond Trust |
$2,303,510
|
$6,928 |
$182,777
|
$(175,849) |
Intermediate Bond Trust |
85,269 |
153 |
4,825 |
(4,672) |
|
Net Capital
Losses (Gains) | |
|
Short-Term |
Long-Term |
Core Bond Trust |
$1,735 |
$(1,730) |
Intermediate Bond Trust |
156 |
(25) |
70 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
Number of
Individual Shareholder
and/or Non-Affiliated
Omnibus Accounts |
% of the Fund |
Core Bond Trust |
1 |
14.3% |
Intermediate Bond Trust |
4 |
82.8 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
71 |
72 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
|
Beginning
Account Value
March 1, 2022 |
Ending
Account Value
August 31, 2022 |
Expenses
Paid During
the Period* |
Annualized
Expense Ratio |
JPMorgan Core Bond Trust |
|
|
|
|
Actual |
$1,000.00 |
$928.20 |
$0.68 |
0.14% |
Hypothetical |
1,000.00 |
1,024.50 |
0.71 |
0.14 |
JPMorgan Intermediate Bond Trust |
|
|
|
|
Actual |
1,000.00 |
952.60 |
0.69 |
0.14 |
Hypothetical |
1,000.00 |
1,024.50 |
0.71 |
0.14 |
| |
* |
Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by
184/365 (to reflect the one-half year period). |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
73 |
74 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
75 |
76 |
JPMorgan Institutional Trust Funds |
August 31, 2022 |
August 31, 2022 |
JPMorgan Institutional Trust Funds |
77 |
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to a semi-annual report.
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 registrants 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 registrants principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrants 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 Registrants principal executive and principal financial officers have concluded, based on their evaluation of the Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrants disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-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 Registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
There were no changes in the Registrants internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
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.
Not applicable.
(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), exactly as set forth below:
(1) 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.
(2) Change in the registrants independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
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. |
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 | ||
November 3, 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 | ||
November 3, 2022 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
November 3, 2022 |
EXHIBIT (B)(1)
CERTIFICATIONS
I, Brian S. Shlissel, certify that:
1. | I have reviewed this report on Form N-CSR of the JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provided reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Funds disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d) | Disclosed in this report any change in the Funds internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Funds auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds internal control over financial reporting. |
Date: November 3, 2022 | /s/ Brian S. Shlissel | |||
Brian S. Shlissel | ||||
President and Principal Executive Officer |
CERTIFICATIONS
I, Timothy J. Clemens, certify that:
1. | I have reviewed this report on Form N-CSR of the JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provided reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Funds disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d) | Disclosed in this report any change in the Funds internal control over financial reporting that occurred during the last fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Funds auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds internal control over financial reporting. |
Date: November 3, 2022
/s/ Timothy J. Clemens |
Timothy J. Clemens |
Treasurer and Principal Financial Officer |
Certification Pursuant to Rule 30a-2(b) under the Investment Company Act of 1940
This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant);
I, Brian S. Shlissel, certify that:
1. | The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Funds. |
/s/ Brian S. Shlissel |
Brian S. Shlissel |
President and Principal Executive Officer |
November 3, 2022
This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed filed for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
Certification Pursuant to Rule 30a-2(b) under the Investment Company Act of 1940
This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (the Funds), each a series of JPMorgan Institutional Trust (the Registrant);
I, Timothy J. Clemens, certify that:
1. | The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Funds. |
/s/ Timothy J. Clemens |
Timothy J. Clemens |
Treasurer and Principal Financial Officer |
November 3, 2022
This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed filed for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
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