JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
CORPORATE BONDS 30.6% |
| |||||||
Aerospace & Defense 1.2% |
| |||||||
Airbus Finance BV (France) 2.70%, 4/17/2023 (a) |
557 | 579 | ||||||
Airbus SE (France) 3.95%, 4/10/2047 (a) |
150 | 162 | ||||||
BAE Systems plc (United Kingdom) |
||||||||
1.90%, 2/15/2031 (a) |
1,007 | 954 | ||||||
3.00%, 9/15/2050 (a) |
502 | 470 | ||||||
Boeing Co. (The) |
||||||||
1.17%, 2/4/2023 |
1,115 | 1,120 | ||||||
4.51%, 5/1/2023 |
2,503 | 2,675 | ||||||
1.95%, 2/1/2024 |
1,030 | 1,058 | ||||||
1.43%, 2/4/2024 |
2,265 | 2,273 | ||||||
4.88%, 5/1/2025 |
605 | 680 | ||||||
2.75%, 2/1/2026 |
995 | 1,036 | ||||||
2.20%, 2/4/2026 |
1,385 | 1,391 | ||||||
3.10%, 5/1/2026 |
320 | 340 | ||||||
5.04%, 5/1/2027 |
960 | 1,107 | ||||||
3.25%, 3/1/2028 |
840 | 880 | ||||||
5.15%, 5/1/2030 |
940 | 1,100 | ||||||
5.71%, 5/1/2040 |
745 | 927 | ||||||
L3Harris Technologies, Inc. |
||||||||
3.83%, 4/27/2025 |
850 | 935 | ||||||
1.80%, 1/15/2031 |
840 | 802 | ||||||
Leidos, Inc. 2.30%, 2/15/2031 (a) |
465 | 445 | ||||||
Northrop Grumman Corp. 3.25%, 1/15/2028 |
200 | 216 | ||||||
Precision Castparts Corp. 3.25%, 6/15/2025 |
897 | 977 | ||||||
Raytheon Technologies Corp. |
||||||||
3.20%, 3/15/2024 |
350 | 374 | ||||||
4.50%, 6/1/2042 |
2,799 | 3,347 | ||||||
4.15%, 5/15/2045 |
543 | 618 | ||||||
4.35%, 4/15/2047 |
199 | 234 | ||||||
|
|
|||||||
24,700 | ||||||||
|
|
|||||||
Airlines 0.0% (b) |
||||||||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 |
133 | 140 | ||||||
|
|
|||||||
Automobiles 0.4% |
||||||||
General Motors Co. 6.13%, 10/1/2025 |
515 | 612 | ||||||
Hyundai Capital America |
||||||||
1.15%, 11/10/2022 (a) |
1,500 | 1,509 | ||||||
1.80%, 10/15/2025 (a) |
490 | 496 | ||||||
1.30%, 1/8/2026 (a) |
425 | 421 | ||||||
3.00%, 2/10/2027 (a) |
355 | 376 | ||||||
2.38%, 10/15/2027 (a) |
530 | 540 | ||||||
1.80%, 1/10/2028 (a) |
805 | 788 | ||||||
Nissan Motor Co. Ltd. (Japan) |
||||||||
4.35%, 9/17/2027 (a) |
2,393 | 2,615 | ||||||
4.81%, 9/17/2030 (a) |
1,102 | 1,219 | ||||||
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (a) |
705 | 697 | ||||||
|
|
|||||||
9,273 | ||||||||
|
|
|||||||
Banks 5.6% |
||||||||
ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a) |
1,216 | 1,368 | ||||||
AIB Group plc (Ireland) 4.75%, 10/12/2023 (a) |
1,165 | 1,271 | ||||||
ANZ New Zealand Intl Ltd. (New Zealand) 2.55%, 2/13/2030 (a) |
778 | 802 | ||||||
ASB Bank Ltd. (New Zealand) 3.13%, 5/23/2024 (a) |
905 | 970 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a) |
263 | 298 | ||||||
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (a) |
1,250 | 1,206 | ||||||
Banco Santander SA (Spain) |
||||||||
3.13%, 2/23/2023 |
400 | 418 | ||||||
2.75%, 5/28/2025 |
800 | 848 | ||||||
1.85%, 3/25/2026 |
1,000 | 1,015 | ||||||
2.75%, 12/3/2030 |
600 | 589 | ||||||
Bank of America Corp. |
||||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c) |
547 | 577 | ||||||
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (c) |
526 | 564 | ||||||
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) |
590 | 598 | ||||||
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) |
642 | 650 | ||||||
3.25%, 10/21/2027 |
547 | 595 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) |
1,700 | 1,884 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) |
7,757 | 8,474 | ||||||
(SOFR + 2.15%), 2.59%, 4/29/2031 (c) |
1,510 | 1,537 | ||||||
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) |
4,685 | 4,427 | ||||||
Bank of Montreal (Canada) 1.85%, 5/1/2025 |
950 | 986 | ||||||
Bank of Nova Scotia (The) (Canada) 2.20%, 2/3/2025 |
1,256 | 1,314 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Banque Federative du Credit Mutuel SA (France) |
||||||||
3.75%, 7/20/2023 (a) |
540 | 578 | ||||||
2.38%, 11/21/2024 (a) |
813 | 854 | ||||||
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 | 1,460 | ||||||
3.65%, 3/16/2025 |
1,000 | 1,086 | ||||||
BNP Paribas SA (France) |
||||||||
3.38%, 1/9/2025 (a) |
425 | 459 | ||||||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c) |
407 | 421 | ||||||
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (c) |
323 | 320 | ||||||
(SOFR + 1.51%), 3.05%, 1/13/2031 (a) (c) |
1,065 | 1,105 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (a) (c) |
805 | 773 | ||||||
2.82%, 1/26/2041 (a) |
395 | 360 | ||||||
BNZ International Funding Ltd. (New Zealand) 2.65%, 11/3/2022 (a) |
632 | 654 | ||||||
Capital One Bank USA NA 3.38%, 2/15/2023 |
300 | 315 | ||||||
Citigroup, Inc. |
||||||||
4.40%, 6/10/2025 |
865 | 970 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (c) (d) (e) |
1,835 | 1,849 | ||||||
4.30%, 11/20/2026 |
1,200 | 1,360 | ||||||
6.63%, 1/15/2028 |
250 | 320 | ||||||
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) |
1,573 | 1,738 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (c) |
1,000 | 1,125 | ||||||
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) |
2,145 | 2,150 | ||||||
8.13%, 7/15/2039 |
223 | 374 | ||||||
Citizens Bank NA 3.70%, 3/29/2023 |
720 | 761 | ||||||
Cooperatieve Rabobank UA (Netherlands) |
||||||||
4.38%, 8/4/2025 |
783 | 874 | ||||||
3.75%, 7/21/2026 |
945 | 1,040 | ||||||
5.80%, 9/30/2110 (a) |
500 | 686 | ||||||
Credit Agricole SA (France) |
||||||||
4.38%, 3/17/2025 (a) |
1,250 | 1,378 | ||||||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) |
500 | 512 | ||||||
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c) |
1,500 | 1,481 | ||||||
2.81%, 1/11/2041 (a) |
470 | 430 | ||||||
Danske Bank A/S (Denmark) |
||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a) (c) |
2,110 | 2,121 | ||||||
Discover Bank |
||||||||
3.35%, 2/6/2023 |
343 | 359 | ||||||
4.25%, 3/13/2026 |
1,205 | 1,357 | ||||||
HSBC Holdings plc (United Kingdom) |
||||||||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) |
1,054 | 1,125 | ||||||
4.25%, 8/18/2025 |
939 | 1,042 | ||||||
3.90%, 5/25/2026 |
200 | 223 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c) |
904 | 1,005 | ||||||
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) |
1,215 | 1,217 | ||||||
(SOFR + 1.95%), 2.36%, 8/18/2031 (c) |
1,160 | 1,137 | ||||||
6.10%, 1/14/2042 |
700 | 985 | ||||||
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c) |
705 | 714 | ||||||
KeyBank NA 3.18%, 5/22/2022 |
729 | 750 | ||||||
Lloyds Banking Group plc (United Kingdom) |
||||||||
(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (c) |
612 | 633 | ||||||
4.58%, 12/10/2025 |
400 | 451 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) |
980 | 985 | ||||||
4.38%, 3/22/2028 |
475 | 543 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) |
||||||||
3.41%, 3/7/2024 |
1,260 | 1,357 | ||||||
3.75%, 7/18/2039 |
760 | 841 | ||||||
Mizuho Financial Group, Inc. (Japan) |
||||||||
(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (c) |
875 | 907 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) |
1,057 | 1,043 | ||||||
(SOFR + 1.57%), 2.87%, 9/13/2030 (c) |
720 | 745 | ||||||
National Australia Bank Ltd. (Australia) |
||||||||
3.38%, 1/14/2026 |
800 | 884 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a) (c) |
1,025 | 1,097 | ||||||
2.65%, 1/14/2041 (a) |
525 | 474 | ||||||
Natwest Group plc (United Kingdom) |
||||||||
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) |
480 | 524 | ||||||
4.80%, 4/5/2026 |
2,010 | 2,311 | ||||||
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) |
290 | 336 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c) |
900 | 960 | ||||||
(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) |
640 | 725 | ||||||
Nordea Bank Abp (Finland) 4.25%, 9/21/2022 (a) |
945 | 991 | ||||||
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 |
337 | 388 | ||||||
Santander UK Group Holdings plc (United Kingdom) 3.57%, 1/10/2023 |
200 | 204 | ||||||
Societe Generale SA (France) |
||||||||
5.00%, 1/17/2024 (a) |
370 | 405 | ||||||
3.88%, 3/28/2024 (a) |
815 | 882 | ||||||
2.63%, 10/16/2024 (a) |
1,000 | 1,051 | ||||||
4.25%, 8/19/2026 (a) |
1,950 | 2,148 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c) |
2,205 | 2,193 | ||||||
3.00%, 1/22/2030 (a) |
835 | 859 | ||||||
Standard Chartered plc (United Kingdom) |
||||||||
5.20%, 1/26/2024 (a) |
700 | 771 | ||||||
(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a) (c) |
400 | 422 | ||||||
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (c) |
570 | 600 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (c) |
485 | 480 | ||||||
(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (a) (c) |
200 | 220 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) |
||||||||
4.44%, 4/2/2024 (a) |
500 | 548 | ||||||
1.47%, 7/8/2025 |
542 | 550 | ||||||
2.63%, 7/14/2026 |
872 | 925 | ||||||
3.04%, 7/16/2029 |
1,315 | 1,393 | ||||||
SVB Financial Group Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026 (c) (d) (e) |
1,730 | 1,757 | ||||||
Truist Bank 3.30%, 5/15/2026 |
400 | 440 | ||||||
Truist Financial Corp. 4.00%, 5/1/2025 |
265 | 295 | ||||||
UniCredit SpA (Italy) |
||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (a) (c) |
905 | 919 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c) |
665 | 665 | ||||||
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c) |
200 | 223 | ||||||
(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (a) (c) |
300 | 358 | ||||||
US Bancorp 7.50%, 6/1/2026 |
1,277 | 1,650 | ||||||
Wells Fargo & Co. |
||||||||
4.48%, 1/16/2024 |
702 | 773 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (c) (d) (e) |
905 | 928 | ||||||
4.10%, 6/3/2026 |
637 | 717 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (c) |
3,570 | 3,881 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
(SOFR + 2.53%), 3.07%, 4/30/2041 (c) |
1,120 | 1,117 | ||||||
4.65%, 11/4/2044 |
1,180 | 1,398 | ||||||
4.40%, 6/14/2046 |
300 | 347 | ||||||
4.75%, 12/7/2046 |
325 | 395 | ||||||
Westpac Banking Corp. (Australia) 2.85%, 5/13/2026 |
690 | 746 | ||||||
|
|
|||||||
114,314 | ||||||||
|
|
|||||||
Beverages 0.7% |
||||||||
Anheuser-Busch Cos. LLC (Belgium) |
||||||||
4.70%, 2/1/2036 |
3,945 | 4,700 | ||||||
4.90%, 2/1/2046 |
2,235 | 2,679 | ||||||
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044 |
70 | 82 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
||||||||
4.35%, 6/1/2040 |
800 | 913 | ||||||
4.44%, 10/6/2048 |
780 | 886 | ||||||
4.50%, 6/1/2050 |
1,050 | 1,204 | ||||||
4.60%, 6/1/2060 |
375 | 431 | ||||||
Coca-Cola Femsa SAB de CV (Mexico) |
||||||||
2.75%, 1/22/2030 |
790 | 811 | ||||||
1.85%, 9/1/2032 |
675 | 633 | ||||||
Constellation Brands, Inc. |
||||||||
4.40%, 11/15/2025 |
325 | 370 | ||||||
5.25%, 11/15/2048 |
220 | 282 | ||||||
Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022 |
255 | 280 | ||||||
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 |
1,060 | 1,069 | ||||||
Keurig Dr Pepper, Inc. |
||||||||
3.13%, 12/15/2023 |
500 | 530 | ||||||
4.42%, 5/25/2025 |
149 | 168 | ||||||
3.43%, 6/15/2027 |
250 | 275 | ||||||
4.99%, 5/25/2038 |
215 | 266 | ||||||
|
|
|||||||
15,579 | ||||||||
|
|
|||||||
Biotechnology 0.6% |
||||||||
AbbVie, Inc. |
||||||||
3.45%, 3/15/2022 |
937 | 956 | ||||||
2.80%, 3/15/2023 |
525 | 543 | ||||||
3.85%, 6/15/2024 |
443 | 482 | ||||||
3.20%, 11/21/2029 |
1,832 | 1,964 | ||||||
4.05%, 11/21/2039 |
1,809 | 2,023 | ||||||
4.63%, 10/1/2042 |
480 | 571 | ||||||
4.40%, 11/6/2042 |
790 | 916 | ||||||
4.45%, 5/14/2046 |
190 | 222 | ||||||
Baxalta, Inc. |
||||||||
3.60%, 6/23/2022 |
149 | 154 | ||||||
5.25%, 6/23/2045 |
50 | 64 | ||||||
Biogen, Inc. |
||||||||
2.25%, 5/1/2030 |
1,150 | 1,134 | ||||||
3.15%, 5/1/2050 |
310 | 289 | ||||||
Gilead Sciences, Inc. 2.60%, 10/1/2040 |
1,225 | 1,145 | ||||||
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 |
1,270 | 1,190 | ||||||
|
|
|||||||
11,653 | ||||||||
|
|
|||||||
Building Products 0.1% |
||||||||
Masco Corp. |
||||||||
2.00%, 10/1/2030 |
340 | 327 | ||||||
6.50%, 8/15/2032 |
600 | 785 | ||||||
|
|
|||||||
1,112 | ||||||||
|
|
|||||||
Capital Markets 2.5% |
||||||||
Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026 |
254 | 275 | ||||||
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a) |
429 | 509 | ||||||
Blackstone Secured Lending Fund 3.65%, 7/14/2023 (a) |
795 | 832 | ||||||
Brookfield Finance, Inc. (Canada) |
||||||||
3.90%, 1/25/2028 |
337 | 371 | ||||||
4.85%, 3/29/2029 |
411 | 478 | ||||||
4.70%, 9/20/2047 |
427 | 499 | ||||||
Charles Schwab Corp. (The) |
||||||||
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (c) (d) (e) |
1,395 | 1,451 | ||||||
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (c) (d) (e) |
1,025 | 1,030 | ||||||
Credit Suisse AG (Switzerland) 3.63%, 9/9/2024 |
402 | 439 | ||||||
Credit Suisse Group AG (Switzerland) |
||||||||
3.57%, 1/9/2023 (a) |
729 | 742 | ||||||
3.80%, 6/9/2023 |
800 | 850 | ||||||
3.75%, 3/26/2025 |
340 | 369 | ||||||
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (c) |
250 | 261 | ||||||
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (c) |
490 | 503 | ||||||
(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (c) |
1,060 | 1,038 | ||||||
4.28%, 1/9/2028 (a) |
1,162 | 1,293 | ||||||
(SOFR + 1.73%), 3.09%, 5/14/2032 (a) (c) |
840 | 852 | ||||||
Deutsche Bank AG (Germany) |
||||||||
4.25%, 10/14/2021 |
1,000 | 1,014 | ||||||
3.30%, 11/16/2022 |
1,000 | 1,039 | ||||||
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) |
1,225 | 1,260 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) |
780 | 793 | ||||||
FMR LLC 6.45%, 11/15/2039 (a) |
500 | 709 | ||||||
Goldman Sachs Group, Inc. (The) |
||||||||
4.25%, 10/21/2025 |
1,415 | 1,591 | ||||||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (c) (d) (e) |
715 | 716 | ||||||
3.50%, 11/16/2026 |
469 | 512 | ||||||
(SOFR + 0.80%), 1.43%, 3/9/2027 (c) |
2,900 | 2,903 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) |
3,776 | 4,175 | ||||||
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c) |
505 | 573 | ||||||
(SOFR + 1.09%), 1.99%, 1/27/2032 (c) |
880 | 840 | ||||||
(SOFR + 1.28%), 2.62%, 4/22/2032 (c) |
1,000 | 1,008 | ||||||
6.75%, 10/1/2037 |
685 | 977 | ||||||
Invesco Finance plc 3.75%, 1/15/2026 |
390 | 432 | ||||||
Jefferies Group LLC 6.45%, 6/8/2027 |
749 | 937 | ||||||
Macquarie Bank Ltd. (Australia) |
||||||||
4.00%, 7/29/2025 (a) |
1,000 | 1,113 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (a) (c) |
575 | 559 | ||||||
Macquarie Group Ltd. (Australia) |
||||||||
(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (c) |
510 | 505 | ||||||
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c) |
700 | 823 | ||||||
Morgan Stanley |
||||||||
4.00%, 7/23/2025 |
2,873 | 3,212 | ||||||
3.88%, 1/27/2026 |
946 | 1,060 | ||||||
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) |
985 | 1,030 | ||||||
3.63%, 1/20/2027 |
3,430 | 3,820 | ||||||
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) |
440 | 415 | ||||||
(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (c) |
1,265 | 1,516 | ||||||
4.30%, 1/27/2045 |
485 | 574 | ||||||
Nomura Holdings, Inc. (Japan) |
||||||||
2.65%, 1/16/2025 |
1,094 | 1,148 | ||||||
2.68%, 7/16/2030 |
700 | 696 | ||||||
UBS Group AG (Switzerland) |
||||||||
3.49%, 5/23/2023 (a) |
269 | 277 | ||||||
(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (a) (c) |
200 | 206 | ||||||
4.13%, 9/24/2025 (a) |
300 | 336 | ||||||
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (c) |
965 | 1,019 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (a) (c) |
1,480 | 1,423 | ||||||
|
|
|||||||
51,003 | ||||||||
|
|
|||||||
Chemicals 0.3% |
||||||||
Albemarle Corp. 5.45%, 12/1/2044 |
150 | 181 | ||||||
DuPont de Nemours, Inc. 5.32%, 11/15/2038 |
980 | 1,254 | ||||||
International Flavors & Fragrances, Inc. |
||||||||
4.45%, 9/26/2028 |
300 | 342 | ||||||
2.30%, 11/1/2030 (a) |
2,030 | 1,993 | ||||||
5.00%, 9/26/2048 |
365 | 450 | ||||||
Nutrien Ltd. (Canada) |
||||||||
4.20%, 4/1/2029 |
175 | 200 | ||||||
4.13%, 3/15/2035 |
455 | 511 | ||||||
5.00%, 4/1/2049 |
230 | 293 | ||||||
PPG Industries, Inc. 1.20%, 3/15/2026 |
590 | 589 | ||||||
Union Carbide Corp. 7.75%, 10/1/2096 |
850 | 1,366 | ||||||
|
|
|||||||
7,179 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.1% |
||||||||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 |
365 | 347 | ||||||
Republic Services, Inc. 1.45%, 2/15/2031 |
910 | 837 | ||||||
|
|
|||||||
1,184 | ||||||||
|
|
|||||||
Construction & Engineering 0.1% |
||||||||
Quanta Services, Inc. 2.90%, 10/1/2030 |
1,440 | 1,482 | ||||||
|
|
|||||||
Construction Materials 0.1% |
||||||||
CRH America, Inc. (Ireland) |
||||||||
3.88%, 5/18/2025 (a) |
417 | 459 | ||||||
5.13%, 5/18/2045 (a) |
893 | 1,127 | ||||||
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
770 | 846 | ||||||
|
|
|||||||
2,432 | ||||||||
|
|
|||||||
Consumer Finance 1.2% |
||||||||
AerCap Ireland Capital DAC (Ireland) |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
4.45%, 12/16/2021 |
600 | 611 | ||||||
3.95%, 2/1/2022 |
775 | 790 | ||||||
4.50%, 9/15/2023 |
2,420 | 2,599 | ||||||
2.88%, 8/14/2024 |
600 | 628 | ||||||
6.50%, 7/15/2025 |
246 | 288 | ||||||
1.75%, 1/30/2026 |
860 | 847 | ||||||
Avolon Holdings Funding Ltd. (Ireland) |
||||||||
3.63%, 5/1/2022 (a) |
2,000 | 2,049 | ||||||
5.50%, 1/15/2023 (a) |
4,115 | 4,367 | ||||||
5.50%, 1/15/2026 (a) |
1,000 | 1,124 | ||||||
2.13%, 2/21/2026 (a) |
620 | 613 | ||||||
4.25%, 4/15/2026 (a) |
1,200 | 1,291 | ||||||
4.38%, 5/1/2026 (a) |
820 | 884 | ||||||
Capital One Financial Corp. |
||||||||
3.20%, 2/5/2025 |
1,069 | 1,153 | ||||||
4.20%, 10/29/2025 |
250 | 281 | ||||||
General Motors Financial Co., Inc. |
||||||||
1.25%, 1/8/2026 |
2,211 | 2,194 | ||||||
2.35%, 1/8/2031 |
1,190 | 1,153 | ||||||
Park Aerospace Holdings Ltd. (Ireland) |
||||||||
5.25%, 8/15/2022 (a) |
3,550 | 3,732 | ||||||
4.50%, 3/15/2023 (a) |
235 | 247 | ||||||
5.50%, 2/15/2024 (a) |
900 | 989 | ||||||
|
|
|||||||
25,840 | ||||||||
|
|
|||||||
Containers & Packaging 0.1% |
||||||||
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) |
1,246 | 1,244 | ||||||
Packaging Corp. of America 4.05%, 12/15/2049 |
845 | 948 | ||||||
WRKCo, Inc. |
||||||||
3.75%, 3/15/2025 |
400 | 440 | ||||||
3.90%, 6/1/2028 |
170 | 190 | ||||||
|
|
|||||||
2,822 | ||||||||
|
|
|||||||
Diversified Consumer Services 0.1% |
||||||||
Pepperdine University Series 2020, 3.30%, 12/1/2059 |
600 | 585 | ||||||
University of Southern California Series A, 3.23%, 10/1/2120 |
570 | 527 | ||||||
|
|
|||||||
1,112 | ||||||||
|
|
|||||||
Diversified Financial Services 0.6% |
||||||||
CK Hutchison International 19 Ltd. (United Kingdom) 3.63%, 4/11/2029 (a) |
1,215 | 1,326 | ||||||
GE Capital Funding LLC 4.40%, 5/15/2030 |
540 | 621 | ||||||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 |
3,583 | 4,165 | ||||||
GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (a) |
1,436 | 1,533 | ||||||
Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (a) |
539 | 561 | ||||||
Mitsubishi HC Capital, Inc. (Japan) 2.65%, 9/19/2022 (a) |
606 | 621 | ||||||
ORIX Corp. (Japan) 2.90%, 7/18/2022 |
553 | 568 | ||||||
Shell International Finance BV (Netherlands) 2.38%, 11/7/2029 |
2,280 | 2,341 | ||||||
Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (a) |
513 | 628 | ||||||
|
|
|||||||
12,364 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 0.9% |
||||||||
AT&T, Inc. |
||||||||
2.30%, 6/1/2027 |
2,340 | 2,423 | ||||||
1.65%, 2/1/2028 |
1,000 | 986 | ||||||
3.50%, 6/1/2041 |
646 | 648 | ||||||
3.55%, 9/15/2055 (a) |
2,487 | 2,352 | ||||||
Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (a) |
335 | 340 | ||||||
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (a) |
232 | 277 | ||||||
Qwest Corp. 6.75%, 12/1/2021 |
741 | 761 | ||||||
Verizon Communications, Inc. |
||||||||
2.63%, 8/15/2026 |
306 | 325 | ||||||
2.10%, 3/22/2028 |
1,495 | 1,515 | ||||||
4.33%, 9/21/2028 |
962 | 1,106 | ||||||
4.40%, 11/1/2034 |
1,895 | 2,213 | ||||||
4.27%, 1/15/2036 |
1,445 | 1,668 | ||||||
2.65%, 11/20/2040 |
988 | 910 | ||||||
3.40%, 3/22/2041 |
1,060 | 1,078 | ||||||
4.86%, 8/21/2046 |
396 | 491 | ||||||
4.67%, 3/15/2055 |
400 | 493 | ||||||
2.99%, 10/30/2056 |
545 | 486 | ||||||
3.70%, 3/22/2061 |
1,045 | 1,055 | ||||||
|
|
|||||||
19,127 | ||||||||
|
|
|||||||
Electric Utilities 2.2% |
||||||||
Alabama Power Co. 6.13%, 5/15/2038 |
239 | 332 | ||||||
Arizona Public Service Co. 5.05%, 9/1/2041 |
200 | 251 | ||||||
Baltimore Gas and Electric Co. |
||||||||
3.50%, 8/15/2046 |
376 | 399 | ||||||
2.90%, 6/15/2050 |
450 | 429 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (a) |
1,234 | 1,352 | ||||||
Duke Energy Carolinas LLC 4.25%, 12/15/2041 |
129 | 152 | ||||||
Duke Energy Progress LLC |
||||||||
4.10%, 5/15/2042 |
273 | 313 | ||||||
4.10%, 3/15/2043 |
125 | 143 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (a) |
750 | 818 | ||||||
Edison International |
||||||||
3.55%, 11/15/2024 |
1,591 | 1,710 | ||||||
5.75%, 6/15/2027 |
400 | 459 | ||||||
Emera US Finance LP (Canada) 4.75%, 6/15/2046 |
700 | 801 | ||||||
Enel Finance International NV (Italy) |
||||||||
4.63%, 9/14/2025 (a) |
265 | 301 | ||||||
3.63%, 5/25/2027 (a) |
740 | 814 | ||||||
Entergy Arkansas LLC |
||||||||
3.50%, 4/1/2026 |
175 | 193 | ||||||
2.65%, 6/15/2051 |
415 | 376 | ||||||
Entergy Corp. 2.95%, 9/1/2026 |
336 | 359 | ||||||
Entergy Louisiana LLC |
||||||||
3.05%, 6/1/2031 |
629 | 672 | ||||||
2.90%, 3/15/2051 |
490 | 465 | ||||||
Evergy Metro, Inc. 5.30%, 10/1/2041 |
1,400 | 1,781 | ||||||
Evergy, Inc. 2.90%, 9/15/2029 |
985 | 1,017 | ||||||
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (a) |
240 | 268 | ||||||
Fortis, Inc. (Canada) 3.06%, 10/4/2026 |
500 | 539 | ||||||
Hydro-Quebec (Canada) |
||||||||
Series HY, 8.40%, 1/15/2022 |
1,000 | 1,050 | ||||||
Series IO, 8.05%, 7/7/2024 |
350 | 429 | ||||||
ITC Holdings Corp. |
||||||||
2.70%, 11/15/2022 |
900 | 927 | ||||||
2.95%, 5/14/2030 (a) |
440 | 458 | ||||||
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (a) |
560 | 621 | ||||||
John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 |
721 | 867 | ||||||
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a) |
315 | 350 | ||||||
Nevada Power Co. |
||||||||
Series N, 6.65%, 4/1/2036 |
100 | 143 | ||||||
5.45%, 5/15/2041 |
305 | 396 | ||||||
Niagara Mohawk Power Corp. |
||||||||
3.51%, 10/1/2024 (a) |
493 | 532 | ||||||
1.96%, 6/27/2030 (a) |
1,000 | 975 | ||||||
NRG Energy, Inc. |
||||||||
2.00%, 12/2/2025 (a) |
710 | 723 | ||||||
2.45%, 12/2/2027 (a) |
795 | 799 | ||||||
4.45%, 6/15/2029 (a) |
615 | 671 | ||||||
OGE Energy Corp. 0.70%, 5/26/2023 |
560 | 560 | ||||||
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 |
675 | 675 | ||||||
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 |
110 | 138 | ||||||
Pacific Gas and Electric Co. |
||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.53%, 11/15/2021 (c) |
3,005 | 3,012 | ||||||
1.75%, 6/16/2022 |
4,500 | 4,501 | ||||||
1.37%, 3/10/2023 |
2,135 | 2,137 | ||||||
3.45%, 7/1/2025 |
795 | 834 | ||||||
2.95%, 3/1/2026 |
500 | 512 | ||||||
4.20%, 6/1/2041 |
695 | 668 | ||||||
3.75%, 8/15/2042 (f) |
308 | 274 | ||||||
4.30%, 3/15/2045 |
525 | 486 | ||||||
PECO Energy Co. 2.80%, 6/15/2050 |
410 | 392 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028 (a) |
150 | 156 | ||||||
Pepco Holdings LLC 7.45%, 8/15/2032 |
316 | 438 | ||||||
Potomac Electric Power Co. 6.50%, 11/15/2037 |
1,085 | 1,568 | ||||||
PPL Capital Funding, Inc. 3.40%, 6/1/2023 |
200 | 210 | ||||||
Progress Energy, Inc. 7.00%, 10/30/2031 |
300 | 410 | ||||||
Public Service Co. of Colorado 3.55%, 6/15/2046 |
214 | 223 | ||||||
Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 |
2,490 | 3,480 | ||||||
Public Service Electric and Gas Co. 5.38%, 11/1/2039 |
317 | 416 | ||||||
Southern California Edison Co. |
||||||||
Series B, 3.65%, 3/1/2028 |
400 | 434 | ||||||
Series 08-A, 5.95%, 2/1/2038 |
200 | 258 | ||||||
4.05%, 3/15/2042 |
552 | 577 | ||||||
Southwestern Public Service Co. 4.50%, 8/15/2041 |
200 | 240 | ||||||
Toledo Edison Co. (The) 6.15%, 5/15/2037 |
300 | 396 | ||||||
|
|
|||||||
45,880 | ||||||||
|
|
|||||||
Electrical Equipment 0.0% (b) |
||||||||
Eaton Corp. |
||||||||
7.63%, 4/1/2024 |
300 | 356 | ||||||
4.00%, 11/2/2032 |
170 | 196 | ||||||
|
|
|||||||
552 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% |
||||||||
Arrow Electronics, Inc. |
||||||||
4.50%, 3/1/2023 |
190 | 200 | ||||||
3.25%, 9/8/2024 |
219 | 235 | ||||||
3.88%, 1/12/2028 |
442 | 489 | ||||||
Corning, Inc. 3.90%, 11/15/2049 |
1,043 | 1,138 | ||||||
|
|
|||||||
2,062 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Energy Equipment & Services 0.1% |
| |||||||
Baker Hughes Holdings LLC 5.13%, 9/15/2040 |
300 | 372 | ||||||
Halliburton Co. 4.75%, 8/1/2043 |
540 | 605 | ||||||
Schlumberger Holdings Corp. |
||||||||
4.00%, 12/21/2025 (a) |
13 | 15 | ||||||
3.90%, 5/17/2028 (a) |
1,126 | 1,241 | ||||||
Schlumberger Investment SA 2.65%, 6/26/2030 |
800 | 824 | ||||||
|
|
|||||||
3,057 | ||||||||
|
|
|||||||
Entertainment 0.1% |
||||||||
NBCUniversal Media LLC 5.95%, 4/1/2041 |
800 | 1,126 | ||||||
Walt Disney Co. (The) |
||||||||
8.88%, 4/26/2023 |
430 | 498 | ||||||
6.20%, 12/15/2034 |
100 | 139 | ||||||
|
|
|||||||
1,763 | ||||||||
|
|
|||||||
Equity Real Estate Investment Trusts (REITs) 1.8% |
||||||||
Alexandria Real Estate Equities, Inc. |
||||||||
3.80%, 4/15/2026 |
135 | 150 | ||||||
2.00%, 5/18/2032 |
980 | 933 | ||||||
4.00%, 2/1/2050 |
653 | 712 | ||||||
American Campus Communities Operating Partnership LP 3.63%, 11/15/2027 |
500 | 548 | ||||||
American Tower Corp. |
||||||||
5.00%, 2/15/2024 |
974 | 1,085 | ||||||
3.38%, 10/15/2026 |
312 | 341 | ||||||
1.50%, 1/31/2028 |
1,215 | 1,176 | ||||||
2.90%, 1/15/2030 |
350 | 362 | ||||||
2.10%, 6/15/2030 |
630 | 609 | ||||||
1.88%, 10/15/2030 |
1,090 | 1,035 | ||||||
3.70%, 10/15/2049 |
935 | 962 | ||||||
3.10%, 6/15/2050 |
496 | 461 | ||||||
2.95%, 1/15/2051 |
324 | 295 | ||||||
Boston Properties LP |
||||||||
3.20%, 1/15/2025 |
532 | 571 | ||||||
3.65%, 2/1/2026 |
483 | 534 | ||||||
Brixmor Operating Partnership LP |
||||||||
3.85%, 2/1/2025 |
400 | 435 | ||||||
2.25%, 4/1/2028 |
840 | 835 | ||||||
Crown Castle International Corp. |
||||||||
4.00%, 3/1/2027 |
264 | 295 | ||||||
2.25%, 1/15/2031 |
1,235 | 1,194 | ||||||
Digital Realty Trust LP 3.70%, 8/15/2027 |
252 | 282 | ||||||
Duke Realty LP |
||||||||
3.25%, 6/30/2026 |
239 | 259 | ||||||
2.88%, 11/15/2029 |
380 | 395 | ||||||
Equinix, Inc. 2.90%, 11/18/2026 |
1,130 | 1,203 | ||||||
Essex Portfolio LP 2.65%, 3/15/2032 |
2,000 | 1,987 | ||||||
Healthcare Trust of America Holdings LP |
||||||||
3.10%, 2/15/2030 |
1,604 | 1,675 | ||||||
2.00%, 3/15/2031 |
610 | 577 | ||||||
Healthpeak Properties, Inc. |
||||||||
3.40%, 2/1/2025 |
17 | 18 | ||||||
3.50%, 7/15/2029 |
772 | 843 | ||||||
Life Storage LP 4.00%, 6/15/2029 |
859 | 948 | ||||||
Mid-America Apartments LP 3.95%, 3/15/2029 |
920 | 1,029 | ||||||
National Retail Properties, Inc. |
||||||||
4.00%, 11/15/2025 |
783 | 867 | ||||||
4.30%, 10/15/2028 |
620 | 698 | ||||||
Office Properties Income Trust 4.00%, 7/15/2022 |
784 | 809 | ||||||
Prologis LP 3.00%, 4/15/2050 |
905 | 873 | ||||||
Realty Income Corp. 1.80%, 3/15/2033 |
530 | 490 | ||||||
Regency Centers LP 2.95%, 9/15/2029 |
745 | 769 | ||||||
Safehold Operating Partnership LP 2.80%, 6/15/2031 |
2,940 | 2,905 | ||||||
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) |
420 | 453 | ||||||
Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (a) (c) |
1,320 | 1,400 | ||||||
SITE Centers Corp. 4.70%, 6/1/2027 |
330 | 368 | ||||||
UDR, Inc. |
||||||||
2.95%, 9/1/2026 |
382 | 409 | ||||||
3.00%, 8/15/2031 |
305 | 315 | ||||||
2.10%, 8/1/2032 |
640 | 604 | ||||||
Ventas Realty LP |
||||||||
3.50%, 2/1/2025 |
242 | 262 | ||||||
4.13%, 1/15/2026 |
114 | 128 | ||||||
3.25%, 10/15/2026 |
292 | 318 | ||||||
3.85%, 4/1/2027 |
554 | 618 | ||||||
Welltower, Inc. |
||||||||
2.70%, 2/15/2027 |
414 | 440 | ||||||
6.50%, 3/15/2041 |
350 | 482 | ||||||
WP Carey, Inc. |
||||||||
4.25%, 10/1/2026 |
350 | 394 | ||||||
2.25%, 4/1/2033 |
1,180 | 1,111 | ||||||
|
|
|||||||
36,462 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.4% |
||||||||
7-Eleven, Inc. |
||||||||
1.30%, 2/10/2028 (a) |
565 | 545 | ||||||
2.50%, 2/10/2041 (a) |
574 | 516 | ||||||
Alimentation Couche-Tard, Inc. (Canada) |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
3.44%, 5/13/2041 (a) |
1,275 | 1,274 | ||||||
3.80%, 1/25/2050 (a) |
810 | 831 | ||||||
3.63%, 5/13/2051 (a) |
1,420 | 1,427 | ||||||
CVS Pass-Through Trust |
||||||||
5.93%, 1/10/2034 (a) |
804 | 960 | ||||||
Series 2013, 4.70%, 1/10/2036 (a) |
618 | 696 | ||||||
Kroger Co. (The) 5.00%, 4/15/2042 |
1,100 | 1,353 | ||||||
|
|
|||||||
7,602 | ||||||||
|
|
|||||||
Food Products 0.3% |
||||||||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 |
1,565 | 1,564 | ||||||
Campbell Soup Co. 3.13%, 4/24/2050 |
315 | 297 | ||||||
Cargill, Inc. 2.13%, 4/23/2030 (a) |
1,417 | 1,408 | ||||||
Conagra Brands, Inc. 5.30%, 11/1/2038 |
220 | 272 | ||||||
General Mills, Inc. 3.00%, 2/1/2051 (a) |
451 | 436 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 |
153 | 173 | ||||||
Mondelez International, Inc. 1.50%, 5/4/2025 |
370 | 378 | ||||||
Smithfield Foods, Inc. 3.00%, 10/15/2030 (a) |
1,500 | 1,496 | ||||||
Tyson Foods, Inc. |
||||||||
4.88%, 8/15/2034 |
300 | 368 | ||||||
5.15%, 8/15/2044 |
210 | 264 | ||||||
|
|
|||||||
6,656 | ||||||||
|
|
|||||||
Gas Utilities 0.2% |
||||||||
Atmos Energy Corp. |
||||||||
0.63%, 3/9/2023 |
430 | 430 | ||||||
4.15%, 1/15/2043 |
828 | 947 | ||||||
4.13%, 10/15/2044 |
125 | 142 | ||||||
Boston Gas Co. 4.49%, 2/15/2042 (a) |
308 | 353 | ||||||
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (a) |
440 | 494 | ||||||
Eastern Energy Gas Holdings LLC Series C, 3.90%, 11/15/2049 |
807 | 845 | ||||||
Korea Gas Corp. (South Korea) 1.88%, 7/18/2021 (a) |
653 | 655 | ||||||
Southern Natural Gas Co. LLC |
||||||||
8.00%, 3/1/2032 |
351 | 491 | ||||||
4.80%, 3/15/2047 (a) |
367 | 433 | ||||||
|
|
|||||||
4,790 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.1% |
||||||||
Abbott Laboratories 4.75%, 11/30/2036 |
380 | 476 | ||||||
Becton Dickinson and Co. 4.67%, 6/6/2047 |
600 | 718 | ||||||
Boston Scientific Corp. 4.00%, 3/1/2029 |
535 | 601 | ||||||
DH Europe Finance II SARL 3.25%, 11/15/2039 |
1,000 | 1,038 | ||||||
|
|
|||||||
2,833 | ||||||||
|
|
|||||||
Health Care Providers & Services 1.0% |
||||||||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 |
710 | 709 | ||||||
Aetna, Inc. 6.75%, 12/15/2037 |
440 | 633 | ||||||
Anthem, Inc. |
||||||||
4.63%, 5/15/2042 |
500 | 595 | ||||||
4.65%, 1/15/2043 |
535 | 641 | ||||||
4.65%, 8/15/2044 |
100 | 120 | ||||||
Ascension Health Series B, 2.53%, 11/15/2029 |
430 | 446 | ||||||
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 |
800 | 797 | ||||||
Childrens Hospital Series 2020, 2.93%, 7/15/2050 |
650 | 618 | ||||||
Childrens Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 |
580 | 528 | ||||||
Cigna Corp. 4.50%, 2/25/2026 |
300 | 343 | ||||||
CommonSpirit Health |
||||||||
1.55%, 10/1/2025 |
555 | 561 | ||||||
2.78%, 10/1/2030 |
550 | 562 | ||||||
3.91%, 10/1/2050 |
545 | 572 | ||||||
CVS Health Corp. |
||||||||
4.30%, 3/25/2028 |
440 | 504 | ||||||
3.25%, 8/15/2029 |
895 | 963 | ||||||
1.88%, 2/28/2031 |
1,238 | 1,180 | ||||||
2.70%, 8/21/2040 |
470 | 438 | ||||||
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 |
1,430 | 1,357 | ||||||
HCA, Inc. |
||||||||
5.25%, 6/15/2026 |
1,680 | 1,953 | ||||||
5.13%, 6/15/2039 |
725 | 882 | ||||||
5.50%, 6/15/2047 |
190 | 239 | ||||||
Mayo Clinic Series 2016, 4.13%, 11/15/2052 |
225 | 274 | ||||||
Memorial Health Services 3.45%, 11/1/2049 |
1,340 | 1,407 | ||||||
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 |
200 | 242 | ||||||
MidMichigan Health Series 2020, 3.41%, 6/1/2050 |
310 | 318 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Quest Diagnostics, Inc. 3.45%, 6/1/2026 |
150 | 165 | ||||||
Texas Health Resources 4.33%, 11/15/2055 |
300 | 376 | ||||||
UnitedHealth Group, Inc. |
||||||||
3.50%, 8/15/2039 |
815 | 882 | ||||||
3.25%, 5/15/2051 |
560 | 572 | ||||||
Universal Health Services, Inc. 2.65%, 10/15/2030 (a) |
690 | 682 | ||||||
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 |
780 | 692 | ||||||
|
|
|||||||
20,251 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.1% |
||||||||
McDonalds Corp. 4.70%, 12/9/2035 |
700 | 848 | ||||||
Starbucks Corp. 2.55%, 11/15/2030 |
780 | 790 | ||||||
|
|
|||||||
1,638 | ||||||||
|
|
|||||||
Household Durables 0.0% (b) |
||||||||
Lennar Corp. 4.50%, 4/30/2024 |
365 | 400 | ||||||
|
|
|||||||
Household Products 0.0% (b) |
||||||||
Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (a) |
700 | 714 | ||||||
|
|
|||||||
Independent Power and Renewable Electricity Producers 0.1% |
||||||||
Alexander Funding Trust 1.84%, 11/15/2023 (a) |
1,000 | 1,015 | ||||||
Exelon Generation Co. LLC 5.75%, 10/1/2041 |
235 | 267 | ||||||
Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 |
417 | 430 | ||||||
|
|
|||||||
1,712 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% |
||||||||
General Electric Co. |
||||||||
3.63%, 5/1/2030 |
780 | 856 | ||||||
5.88%, 1/14/2038 |
95 | 126 | ||||||
Roper Technologies, Inc. |
||||||||
1.40%, 9/15/2027 |
1,370 | 1,345 | ||||||
2.00%, 6/30/2030 |
570 | 551 | ||||||
|
|
|||||||
2,878 | ||||||||
|
|
|||||||
Insurance 1.0% |
||||||||
AIA Group Ltd. (Hong Kong) |
||||||||
3.60%, 4/9/2029 (a) |
445 | 486 | ||||||
3.20%, 9/16/2040 (a) |
520 | 518 | ||||||
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (a) |
520 | 731 | ||||||
American International Group, Inc. 3.88%, 1/15/2035 |
605 | 667 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 |
660 | 711 | ||||||
Athene Global Funding |
||||||||
0.95%, 1/8/2024 (a) |
1,145 | 1,151 | ||||||
1.45%, 1/8/2026 (a) |
865 | 864 | ||||||
2.95%, 11/12/2026 (a) |
2,800 | 2,987 | ||||||
Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042 |
1,000 | 1,219 | ||||||
Brown & Brown, Inc. 2.38%, 3/15/2031 |
1,830 | 1,796 | ||||||
CNA Financial Corp. 3.95%, 5/15/2024 |
463 | 504 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (a) (c) (d) (e) |
526 | 566 | ||||||
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (a) |
208 | 250 | ||||||
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 |
500 | 496 | ||||||
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 |
400 | 458 | ||||||
Intact US Holdings, Inc. 4.60%, 11/9/2022 |
500 | 525 | ||||||
Jackson National Life Global Funding 3.05%, 4/29/2026 (a) |
675 | 728 | ||||||
Liberty Mutual Group, Inc. |
||||||||
4.57%, 2/1/2029 (a) |
408 | 472 | ||||||
3.95%, 10/15/2050 (a) |
900 | 940 | ||||||
Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (a) |
100 | 124 | ||||||
Markel Corp. 3.50%, 11/1/2027 |
200 | 222 | ||||||
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (a) |
795 | 793 | ||||||
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c) |
266 | 294 | ||||||
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (c) (d) (e) |
360 | 378 | ||||||
Prudential Financial, Inc. 3.91%, 12/7/2047 |
300 | 333 | ||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a) |
1,750 | 2,212 | ||||||
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (a) (c) |
600 | 677 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) |
400 | 458 | ||||||
|
|
|||||||
21,560 | ||||||||
|
|
|||||||
IT Services 0.1% |
||||||||
DXC Technology Co. 4.25%, 4/15/2024 |
478 | 520 | ||||||
Fiserv, Inc. |
||||||||
3.20%, 7/1/2026 |
395 | 429 | ||||||
4.40%, 7/1/2049 |
375 | 434 | ||||||
Global Payments, Inc. 4.15%, 8/15/2049 |
795 | 871 | ||||||
|
|
|||||||
2,254 | ||||||||
|
|
|||||||
Machinery 0.1% |
||||||||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 |
450 | 485 | ||||||
Otis Worldwide Corp. 2.57%, 2/15/2030 |
1,430 | 1,459 | ||||||
Parker-Hannifin Corp. 4.45%, 11/21/2044 |
592 | 704 | ||||||
Xylem, Inc. 3.25%, 11/1/2026 |
197 | 216 | ||||||
|
|
|||||||
2,864 | ||||||||
|
|
|||||||
Media 0.8% |
||||||||
Charter Communications Operating LLC |
||||||||
6.38%, 10/23/2035 |
528 | 690 | ||||||
4.80%, 3/1/2050 |
1,475 | 1,618 | ||||||
3.70%, 4/1/2051 |
1,120 | 1,052 | ||||||
Comcast Corp. |
||||||||
3.95%, 10/15/2025 |
696 | 781 | ||||||
3.15%, 3/1/2026 |
740 | 808 | ||||||
3.55%, 5/1/2028 |
443 | 492 | ||||||
4.20%, 8/15/2034 |
555 | 644 | ||||||
4.60%, 10/15/2038 |
845 | 1,018 | ||||||
3.25%, 11/1/2039 |
715 | 737 | ||||||
3.45%, 2/1/2050 |
918 | 955 | ||||||
4.95%, 10/15/2058 |
620 | 819 | ||||||
Cox Communications, Inc. |
||||||||
4.60%, 8/15/2047 (a) |
275 | 321 | ||||||
2.95%, 10/1/2050 (a) |
635 | 569 | ||||||
Discovery Communications LLC |
||||||||
5.20%, 9/20/2047 |
175 | 206 | ||||||
4.00%, 9/15/2055 (a) |
784 | 776 | ||||||
Grupo Televisa SAB (Mexico) |
||||||||
4.63%, 1/30/2026 |
221 | 246 | ||||||
6.13%, 1/31/2046 |
200 | 266 | ||||||
Time Warner Cable LLC |
||||||||
6.55%, 5/1/2037 |
400 | 530 | ||||||
5.50%, 9/1/2041 |
359 | 432 | ||||||
Time Warner Entertainment Co. LP 8.38%, 7/15/2033 |
700 | 1,044 | ||||||
ViacomCBS, Inc. |
||||||||
4.00%, 1/15/2026 |
792 | 881 | ||||||
4.85%, 7/1/2042 |
140 | 162 | ||||||
4.38%, 3/15/2043 |
464 | 505 | ||||||
5.85%, 9/1/2043 |
230 | 298 | ||||||
|
|
|||||||
15,850 | ||||||||
|
|
|||||||
Metals & Mining 0.4% |
||||||||
Anglo American Capital plc (South Africa) |
||||||||
4.00%, 9/11/2027 (a) |
500 | 556 | ||||||
2.63%, 9/10/2030 (a) |
656 | 650 | ||||||
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 |
295 | 400 | ||||||
Glencore Funding LLC (Australia) |
||||||||
4.13%, 5/30/2023 (a) |
454 | 484 | ||||||
1.63%, 9/1/2025 (a) |
1,325 | 1,337 | ||||||
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 |
2,500 | 2,499 | ||||||
Steel Dynamics, Inc. 3.45%, 4/15/2030 |
909 | 982 | ||||||
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 |
1,275 | 1,348 | ||||||
|
|
|||||||
8,256 | ||||||||
|
|
|||||||
Multiline Retail 0.1% |
||||||||
Dollar General Corp. 4.13%, 5/1/2028 |
235 | 266 | ||||||
Nordstrom, Inc. 4.25%, 8/1/2031 (a) |
1,243 | 1,261 | ||||||
|
|
|||||||
1,527 | ||||||||
|
|
|||||||
Multi-Utilities 0.3% |
||||||||
CMS Energy Corp. 3.00%, 5/15/2026 |
475 | 511 | ||||||
Delmarva Power & Light Co. 4.00%, 6/1/2042 |
235 | 259 | ||||||
Dominion Energy, Inc. |
||||||||
Series B, 2.75%, 1/15/2022 |
331 | 335 | ||||||
Series F, 5.25%, 8/1/2033 |
920 | 1,140 | ||||||
NiSource, Inc. |
||||||||
1.70%, 2/15/2031 |
740 | 690 | ||||||
5.80%, 2/1/2042 |
1,256 | 1,651 | ||||||
San Diego Gas & Electric Co. |
||||||||
6.00%, 6/1/2026 |
275 | 338 | ||||||
3.95%, 11/15/2041 |
379 | 409 | ||||||
Southern Co. Gas Capital Corp. |
||||||||
3.50%, 9/15/2021 |
563 | 563 | ||||||
3.25%, 6/15/2026 |
254 | 276 | ||||||
|
|
|||||||
6,172 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.6% |
||||||||
APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a) |
732 | 819 | ||||||
Boardwalk Pipelines LP 4.80%, 5/3/2029 |
410 | 467 | ||||||
BP Capital Markets America, Inc. |
||||||||
1.75%, 8/10/2030 |
1,070 | 1,026 | ||||||
2.94%, 6/4/2051 |
1,995 | 1,844 | ||||||
BP Capital Markets plc (United Kingdom) 3.51%, 3/17/2025 |
451 | 497 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Buckeye Partners LP 5.85%, 11/15/2043 |
770 | 747 | ||||||
Cameron LNG LLC 3.70%, 1/15/2039 (a) |
961 | 1,033 | ||||||
Cheniere Corpus Christi Holdings LLC |
||||||||
5.88%, 3/31/2025 |
1,490 | 1,712 | ||||||
5.13%, 6/30/2027 |
605 | 702 | ||||||
Chevron USA, Inc. 6.00%, 3/1/2041 |
999 | 1,431 | ||||||
Cimarex Energy Co. 3.90%, 5/15/2027 |
935 | 1,027 | ||||||
ConocoPhillips 2.40%, 2/15/2031 (a) |
505 | 507 | ||||||
Diamondback Energy, Inc. |
||||||||
4.75%, 5/31/2025 |
1,085 | 1,228 | ||||||
3.25%, 12/1/2026 |
570 | 614 | ||||||
Ecopetrol SA (Colombia) |
||||||||
5.88%, 9/18/2023 |
226 | 244 | ||||||
4.13%, 1/16/2025 |
533 | 558 | ||||||
Enable Midstream Partners LP |
||||||||
4.95%, 5/15/2028 |
325 | 368 | ||||||
4.15%, 9/15/2029 |
594 | 640 | ||||||
5.00%, 5/15/2044 (f) |
620 | 646 | ||||||
Energy Transfer LP |
||||||||
4.75%, 1/15/2026 |
1,191 | 1,336 | ||||||
3.90%, 7/15/2026 |
244 | 267 | ||||||
6.10%, 2/15/2042 |
400 | 476 | ||||||
5.30%, 4/1/2044 |
170 | 188 | ||||||
6.25%, 4/15/2049 |
800 | 998 | ||||||
5.00%, 5/15/2050 |
500 | 552 | ||||||
Eni SpA (Italy) 5.70%, 10/1/2040 (a) |
925 | 1,156 | ||||||
Enterprise Products Operating LLC |
||||||||
3.90%, 2/15/2024 |
475 | 514 | ||||||
3.70%, 2/15/2026 |
506 | 562 | ||||||
Exxon Mobil Corp. |
||||||||
2.99%, 3/19/2025 |
1,410 | 1,522 | ||||||
3.00%, 8/16/2039 |
895 | 894 | ||||||
Flex Intermediate Holdco LLC |
||||||||
3.36%, 6/30/2031 (a) |
775 | 776 | ||||||
4.32%, 12/30/2039 (a) |
545 | 547 | ||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a) |
1,100 | 1,086 | ||||||
Gray Oak Pipeline LLC |
||||||||
2.00%, 9/15/2023 (a) |
535 | 546 | ||||||
2.60%, 10/15/2025 (a) |
650 | 670 | ||||||
Hess Corp. 6.00%, 1/15/2040 |
510 | 638 | ||||||
HollyFrontier Corp. |
||||||||
2.63%, 10/1/2023 |
1,275 | 1,318 | ||||||
5.88%, 4/1/2026 |
577 | 666 | ||||||
Kinder Morgan, Inc. |
||||||||
2.00%, 2/15/2031 |
590 | 558 | ||||||
3.25%, 8/1/2050 |
650 | 596 | ||||||
Magellan Midstream Partners LP |
||||||||
3.20%, 3/15/2025 |
353 | 374 | ||||||
5.15%, 10/15/2043 |
600 | 723 | ||||||
Marathon Petroleum Corp. |
||||||||
4.50%, 5/1/2023 |
304 | 326 | ||||||
3.63%, 9/15/2024 |
200 | 216 | ||||||
4.70%, 5/1/2025 |
180 | 204 | ||||||
MPLX LP |
||||||||
4.13%, 3/1/2027 |
259 | 290 | ||||||
2.65%, 8/15/2030 |
524 | 521 | ||||||
4.50%, 4/15/2038 |
338 | 375 | ||||||
5.20%, 3/1/2047 |
323 | 380 | ||||||
5.20%, 12/1/2047 |
585 | 684 | ||||||
ONEOK Partners LP |
||||||||
3.38%, 10/1/2022 |
151 | 156 | ||||||
5.00%, 9/15/2023 |
334 | 362 | ||||||
6.65%, 10/1/2036 |
350 | 459 | ||||||
ONEOK, Inc. 3.40%, 9/1/2029 |
615 | 647 | ||||||
Phillips 66 Partners LP 3.15%, 12/15/2029 |
985 | 1,021 | ||||||
Pioneer Natural Resources Co. 1.90%, 8/15/2030 |
1,050 | 988 | ||||||
Plains All American Pipeline LP |
||||||||
5.15%, 6/1/2042 |
460 | 490 | ||||||
4.70%, 6/15/2044 |
610 | 624 | ||||||
Saudi Arabian Oil Co. (Saudi Arabia) |
||||||||
1.25%, 11/24/2023 (a) |
200 | 202 | ||||||
1.63%, 11/24/2025 (a) |
278 | 282 | ||||||
Spectra Energy Partners LP 5.95%, 9/25/2043 |
452 | 593 | ||||||
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 |
1,195 | 1,674 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 |
391 | 431 | ||||||
Tennessee Gas Pipeline Co. LLC 2.90%, 3/1/2030 (a) |
930 | 947 | ||||||
Texas Eastern Transmission LP |
||||||||
2.80%, 10/15/2022 (a) |
554 | 567 | ||||||
3.50%, 1/15/2028 (a) |
90 | 97 | ||||||
Total Capital International SA (France) |
||||||||
2.99%, 6/29/2041 |
1,200 | 1,184 | ||||||
3.46%, 7/12/2049 |
815 | 846 | ||||||
3.13%, 5/29/2050 |
1,180 | 1,142 | ||||||
TransCanada PipeLines Ltd. (Canada) 4.88%, 1/15/2026 |
394 | 455 | ||||||
Valero Energy Corp. |
||||||||
2.70%, 4/15/2023 |
735 | 764 | ||||||
1.20%, 3/15/2024 |
920 | 931 | ||||||
2.15%, 9/15/2027 |
830 | 834 | ||||||
7.50%, 4/15/2032 |
175 | 240 | ||||||
Williams Cos., Inc. (The) |
||||||||
3.90%, 1/15/2025 |
512 | 561 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
4.85%, 3/1/2048 |
409 | 473 | ||||||
|
|
|||||||
53,039 | ||||||||
|
|
|||||||
Personal Products 0.1% |
||||||||
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 |
1,880 | 1,950 | ||||||
|
|
|||||||
Pharmaceuticals 0.6% |
||||||||
AstraZeneca plc (United Kingdom) |
||||||||
6.45%, 9/15/2037 |
300 | 437 | ||||||
4.00%, 9/18/2042 |
240 | 275 | ||||||
Bristol-Myers Squibb Co. |
||||||||
4.13%, 6/15/2039 |
545 | 643 | ||||||
5.00%, 8/15/2045 |
740 | 970 | ||||||
Mylan, Inc. 5.40%, 11/29/2043 |
520 | 626 | ||||||
Royalty Pharma plc |
||||||||
0.75%, 9/2/2023 (a) |
945 | 946 | ||||||
1.20%, 9/2/2025 (a) |
840 | 834 | ||||||
1.75%, 9/2/2027 (a) |
840 | 832 | ||||||
3.30%, 9/2/2040 (a) |
400 | 388 | ||||||
3.55%, 9/2/2050 (a) |
410 | 393 | ||||||
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 |
1,713 | 1,871 | ||||||
Takeda Pharmaceutical Co. Ltd. (Japan) |
||||||||
5.00%, 11/26/2028 |
895 | 1,069 | ||||||
3.03%, 7/9/2040 |
615 | 602 | ||||||
3.18%, 7/9/2050 |
590 | 565 | ||||||
3.38%, 7/9/2060 |
415 | 404 | ||||||
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 |
300 | 332 | ||||||
Viatris, Inc. 3.85%, 6/22/2040 (a) |
567 | 586 | ||||||
Zoetis, Inc. 2.00%, 5/15/2030 |
760 | 742 | ||||||
|
|
|||||||
12,515 | ||||||||
|
|
|||||||
Road & Rail 0.4% |
||||||||
Burlington Northern Santa Fe LLC |
||||||||
5.75%, 5/1/2040 |
425 | 582 | ||||||
4.38%, 9/1/2042 |
375 | 448 | ||||||
5.15%, 9/1/2043 |
769 | 1,016 | ||||||
3.55%, 2/15/2050 |
465 | 502 | ||||||
CSX Corp. |
||||||||
5.50%, 4/15/2041 |
150 | 196 | ||||||
4.75%, 5/30/2042 |
191 | 235 | ||||||
4.75%, 11/15/2048 |
600 | 739 | ||||||
3.35%, 9/15/2049 |
95 | 96 | ||||||
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 |
515 | 574 | ||||||
Kansas City Southern 4.70%, 5/1/2048 |
712 | 850 | ||||||
Norfolk Southern Corp. 4.05%, 8/15/2052 |
600 | 679 | ||||||
Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (a) |
1,131 | 1,212 | ||||||
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a) |
1,105 | 1,105 | ||||||
|
|
|||||||
8,234 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.6% |
||||||||
Analog Devices, Inc. 4.50%, 12/5/2036 |
300 | 346 | ||||||
Broadcom, Inc. |
||||||||
4.25%, 4/15/2026 |
1,000 | 1,120 | ||||||
1.95%, 2/15/2028 (a) |
2,500 | 2,478 | ||||||
4.11%, 9/15/2028 |
1,838 | 2,031 | ||||||
4.75%, 4/15/2029 |
1,575 | 1,801 | ||||||
Microchip Technology, Inc. |
||||||||
0.97%, 2/15/2024 (a) |
1,290 | 1,292 | ||||||
0.98%, 9/1/2024 (a) |
1,400 | 1,402 | ||||||
NXP BV (China) |
||||||||
2.50%, 5/11/2031 (a) |
1,405 | 1,412 | ||||||
3.25%, 5/11/2041 (a) |
1,445 | 1,445 | ||||||
|
|
|||||||
13,327 | ||||||||
|
|
|||||||
Software 0.4% |
||||||||
Citrix Systems, Inc. 1.25%, 3/1/2026 |
375 | 370 | ||||||
Microsoft Corp. |
||||||||
3.50%, 2/12/2035 |
291 | 329 | ||||||
2.92%, 3/17/2052 |
1,118 | 1,119 | ||||||
3.04%, 3/17/2062 |
268 | 270 | ||||||
Oracle Corp. |
||||||||
2.30%, 3/25/2028 |
1,405 | 1,436 | ||||||
4.30%, 7/8/2034 |
82 | 93 | ||||||
3.80%, 11/15/2037 |
500 | 531 | ||||||
3.60%, 4/1/2040 |
1,600 | 1,630 | ||||||
3.65%, 3/25/2041 |
1,155 | 1,177 | ||||||
4.38%, 5/15/2055 |
900 | 986 | ||||||
|
|
|||||||
7,941 | ||||||||
|
|
|||||||
Specialty Retail 0.2% |
||||||||
AutoZone, Inc. 1.65%, 1/15/2031 |
690 | 642 | ||||||
Lowes Cos., Inc. |
||||||||
3.65%, 4/5/2029 |
418 | 462 | ||||||
2.63%, 4/1/2031 |
2,760 | 2,805 | ||||||
OReilly Automotive, Inc. 3.60%, 9/1/2027 |
432 | 480 | ||||||
|
|
|||||||
4,389 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.2% |
||||||||
Apple, Inc. |
||||||||
3.45%, 2/9/2045 |
1,130 | 1,209 | ||||||
3.85%, 8/4/2046 |
569 | 644 | ||||||
3.75%, 11/13/2047 |
150 | 170 | ||||||
Dell International LLC |
||||||||
5.45%, 6/15/2023 (a) |
485 | 528 | ||||||
6.02%, 6/15/2026 (a) |
1,410 | 1,680 | ||||||
HP, Inc. 3.00%, 6/17/2027 |
665 | 714 | ||||||
|
|
|||||||
4,945 | ||||||||
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Thrifts & Mortgage Finance 0.2% |
| |||||||
BPCE SA (France) |
||||||||
4.63%, 7/11/2024 (a) |
800 | 884 | ||||||
1.00%, 1/20/2026 (a) |
1,005 | 994 | ||||||
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c) |
690 | 695 | ||||||
3.38%, 12/2/2026 |
400 | 439 | ||||||
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c) |
730 | 708 | ||||||
|
|
|||||||
3,720 | ||||||||
|
|
|||||||
Tobacco 0.2% |
||||||||
Altria Group, Inc. 2.45%, 2/4/2032 |
1,700 | 1,610 | ||||||
BAT Capital Corp. (United Kingdom) |
||||||||
2.26%, 3/25/2028 |
780 | 767 | ||||||
3.73%, 9/25/2040 |
520 | 489 | ||||||
4.54%, 8/15/2047 |
265 | 265 | ||||||
3.98%, 9/25/2050 |
815 | 757 | ||||||
Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 |
100 | 130 | ||||||
|
|
|||||||
4,018 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.4% |
||||||||
Air Lease Corp. |
||||||||
3.38%, 7/1/2025 |
476 | 511 | ||||||
2.88%, 1/15/2026 |
1,000 | 1,048 | ||||||
3.75%, 6/1/2026 |
526 | 569 | ||||||
1.88%, 8/15/2026 |
960 | 956 | ||||||
3.25%, 10/1/2029 |
2,080 | 2,118 | ||||||
Aviation Capital Group LLC |
||||||||
3.88%, 5/1/2023 (a) |
490 | 514 | ||||||
5.50%, 12/15/2024 (a) |
1,047 | 1,180 | ||||||
BOC Aviation Ltd. (Singapore) |
||||||||
2.75%, 9/18/2022 (a) |
450 | 459 | ||||||
3.50%, 10/10/2024 (a) |
310 | 331 | ||||||
International Lease Finance Corp. 5.88%, 8/15/2022 |
506 | 537 | ||||||
|
|
|||||||
8,223 | ||||||||
|
|
|||||||
Water Utilities 0.1% |
||||||||
American Water Capital Corp. |
||||||||
3.45%, 6/1/2029 |
795 | 874 | ||||||
3.45%, 5/1/2050 |
1,096 | 1,127 | ||||||
|
|
|||||||
2,001 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.6% |
||||||||
America Movil SAB de CV (Mexico) |
||||||||
3.63%, 4/22/2029 |
880 | 958 | ||||||
4.38%, 4/22/2049 |
441 | 521 | ||||||
Rogers Communications, Inc. (Canada) 4.35%, 5/1/2049 |
560 | 626 | ||||||
T-Mobile USA, Inc. |
||||||||
1.50%, 2/15/2026 |
2,105 | 2,110 | ||||||
3.75%, 4/15/2027 |
2,275 | 2,500 | ||||||
2.05%, 2/15/2028 |
1,550 | 1,543 | ||||||
3.88%, 4/15/2030 |
1,980 | 2,170 | ||||||
Vodafone Group plc (United Kingdom) |
||||||||
5.25%, 5/30/2048 |
496 | 625 | ||||||
4.88%, 6/19/2049 |
1,105 | 1,332 | ||||||
|
|
|||||||
12,385 | ||||||||
|
|
|||||||
TOTAL CORPORATE BONDS (Cost $603,213) |
|
635,736 | ||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS 21.4% |
||||||||
U.S. Treasury Bonds |
||||||||
4.38%, 2/15/2038 |
447 | 600 | ||||||
1.13%, 5/15/2040 |
1,615 | 1,346 | ||||||
3.88%, 8/15/2040 |
10,235 | 13,079 | ||||||
1.88%, 2/15/2041 |
6,600 | 6,250 | ||||||
2.75%, 11/15/2042 |
3,800 | 4,143 | ||||||
3.63%, 8/15/2043 |
5,214 | 6,506 | ||||||
3.75%, 11/15/2043 |
238 | 303 | ||||||
3.63%, 2/15/2044 |
7,780 | 9,732 | ||||||
3.00%, 11/15/2044 |
8,200 | 9,314 | ||||||
2.88%, 8/15/2045 |
2,300 | 2,562 | ||||||
2.25%, 8/15/2046 |
11,193 | 11,108 | ||||||
3.13%, 5/15/2048 |
3,757 | 4,399 | ||||||
2.25%, 8/15/2049 |
5,365 | 5,310 | ||||||
2.38%, 11/15/2049 |
3,700 | 3,763 | ||||||
2.00%, 2/15/2050 |
5,329 | 4,990 | ||||||
1.25%, 5/15/2050 |
6,080 | 4,712 | ||||||
1.38%, 8/15/2050 |
565 | 452 | ||||||
1.63%, 11/15/2050 |
8,500 | 7,262 | ||||||
1.88%, 2/15/2051 |
18,645 | 16,952 | ||||||
U.S. Treasury Inflation Indexed Bonds |
||||||||
1.75%, 1/15/2028 |
300 | 462 | ||||||
3.63%, 4/15/2028 |
799 | 1,780 | ||||||
2.50%, 1/15/2029 |
300 | 480 | ||||||
U.S. Treasury Inflation Indexed Notes 0.13%, 1/15/2022 |
2,453 | 2,941 | ||||||
U.S. Treasury Notes |
||||||||
2.13%, 5/15/2022 |
30,000 | 30,587 | ||||||
1.75%, 7/15/2022 |
5,000 | 5,093 | ||||||
1.63%, 8/31/2022 |
3,000 | 3,057 | ||||||
2.00%, 10/31/2022 |
1,650 | 1,694 | ||||||
1.50%, 2/28/2023 |
3,000 | 3,071 | ||||||
1.75%, 5/15/2023 |
2,221 | 2,290 | ||||||
2.13%, 3/31/2024 |
30,000 | 31,565 | ||||||
2.50%, 5/15/2024 |
8,840 | 9,414 | ||||||
1.88%, 8/31/2024 |
569 | 596 | ||||||
2.25%, 11/15/2024 |
400 | 425 | ||||||
1.75%, 12/31/2024 |
13,555 | 14,175 | ||||||
2.88%, 4/30/2025 |
21,212 | 23,138 | ||||||
0.38%, 12/31/2025 |
10,000 | 9,846 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
0.50%, 2/28/2026 |
4,820 | 4,763 | ||||||
1.75%, 12/31/2026 |
10,154 | 10,599 | ||||||
0.38%, 9/30/2027 |
4,690 | 4,472 | ||||||
0.75%, 1/31/2028 |
4,500 | 4,368 | ||||||
1.25%, 3/31/2028 |
9,090 | 9,097 | ||||||
1.25%, 4/30/2028 |
17,110 | 17,105 | ||||||
1.63%, 8/15/2029 |
130 | 132 | ||||||
0.63%, 8/15/2030 |
970 | 892 | ||||||
0.88%, 11/15/2030 |
2,800 | 2,628 | ||||||
U.S. Treasury STRIPS Bonds |
||||||||
3.95%, 2/15/2022 (g) |
5,793 | 5,791 | ||||||
2.63%, 5/15/2022 (g) |
9,795 | 9,790 | ||||||
3.26%, 8/15/2022 (g) |
1,905 | 1,903 | ||||||
2.21%, 11/15/2022 (g) |
18,375 | 18,343 | ||||||
3.73%, 2/15/2023 (g) |
38,462 | 38,376 | ||||||
3.20%, 5/15/2023 (g) |
14,070 | 14,033 | ||||||
2.46%, 8/15/2023 (g) |
13,900 | 13,844 | ||||||
2.71%, 11/15/2023 (g) |
1,052 | 1,046 | ||||||
1.89%, 2/15/2024 (g) |
11,355 | 11,271 | ||||||
1.74%, 8/15/2024 (g) |
20,600 | 20,329 | ||||||
7.45%, 5/15/2026 (g) |
1,500 | 1,435 | ||||||
3.76%, 8/15/2026 (g) |
1,592 | 1,513 | ||||||
2.41%, 11/15/2041 (g) |
500 | 306 | ||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $441,408) |
|
445,433 | ||||||
|
|
|||||||
MORTGAGE-BACKED SECURITIES 17.4% |
||||||||
FHLMC |
||||||||
Pool # 846812, ARM, 2.41%, 4/1/2030 (h) |
5 | 5 | ||||||
Pool # 781087, ARM, 2.36%, 12/1/2033 (h) |
129 | 131 | ||||||
Pool # 1B1665, ARM, 2.07%, 4/1/2034 (h) |
101 | 102 | ||||||
Pool # 847356, ARM, 2.69%, 12/1/2034 (h) |
52 | 52 | ||||||
Pool # 782979, ARM, 2.37%, 1/1/2035 (h) |
120 | 128 | ||||||
Pool # 1Q0025, ARM, 2.21%, 2/1/2036 (h) |
41 | 44 | ||||||
Pool # 848431, ARM, 2.41%, 2/1/2036 (h) |
65 | 69 | ||||||
Pool # 1L1286, ARM, 2.37%, 5/1/2036 (h) |
20 | 21 | ||||||
Pool # 848365, ARM, 2.56%, 7/1/2036 (h) |
65 | 69 | ||||||
Pool # 1A1096, ARM, 1.98%, 10/1/2036 (h) |
113 | 118 | ||||||
Pool # 1G2539, ARM, 2.15%, 10/1/2036 (h) |
11 | 11 | ||||||
Pool # 1J1348, ARM, 2.74%, 10/1/2036 (h) |
67 | 68 | ||||||
Pool # 1G2671, ARM, 2.07%, 11/1/2036 (h) |
86 | 87 | ||||||
Pool # 782760, ARM, 2.49%, 11/1/2036 (h) |
103 | 110 | ||||||
Pool # 1J1634, ARM, 2.27%, 12/1/2036 (h) |
69 | 73 | ||||||
Pool # 1J0282, ARM, 2.26%, 2/1/2037 (h) |
41 | 41 | ||||||
Pool # 1Q0739, ARM, 2.15%, 3/1/2037 (h) |
99 | 104 | ||||||
Pool # 848699, ARM, 2.55%, 7/1/2040 (h) |
167 | 176 | ||||||
FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032 |
170 | 182 | ||||||
FHLMC Gold Pools, 30 Year |
||||||||
Pool # C68485, 7.00%, 7/1/2032 |
18 | 21 | ||||||
Pool # G01448, 7.00%, 8/1/2032 |
42 | 49 | ||||||
Pool # A13625, 5.50%, 10/1/2033 |
183 | 213 | ||||||
Pool # A16107, 6.00%, 12/1/2033 |
69 | 78 | ||||||
Pool # A17537, 6.00%, 1/1/2034 |
79 | 94 | ||||||
Pool # A61572, 5.00%, 9/1/2034 |
468 | 536 | ||||||
Pool # A28796, 6.50%, 11/1/2034 |
97 | 114 | ||||||
Pool # G03369, 6.50%, 1/1/2035 |
195 | 220 | ||||||
Pool # A46987, 5.50%, 7/1/2035 |
409 | 472 | ||||||
Pool # G01919, 4.00%, 9/1/2035 |
190 | 208 | ||||||
Pool # C02641, 7.00%, 10/1/2036 |
79 | 93 | ||||||
Pool # C02660, 6.50%, 11/1/2036 |
125 | 148 | ||||||
Pool # A93383, 5.00%, 8/1/2040 |
291 | 331 | ||||||
Pool # A93511, 5.00%, 8/1/2040 |
324 | 370 | ||||||
Pool # G06493, 4.50%, 5/1/2041 |
1,389 | 1,554 | ||||||
FHLMC Gold Pools, Other |
||||||||
Pool # P20570, 7.00%, 7/1/2029 |
39 | 44 | ||||||
Pool # G20027, 10.00%, 10/1/2030 |
7 | 8 | ||||||
Pool # U50105, 4.00%, 1/1/2032 |
334 | 359 | ||||||
Pool # U80254, 3.00%, 3/1/2033 |
361 | 381 | ||||||
Pool # P20409, 5.50%, 10/1/2033 |
83 | 92 | ||||||
Pool # P50201, 5.50%, 1/1/2034 |
53 | 57 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Pool # U90975, 4.00%, 6/1/2042 |
1,328 | 1,461 | ||||||
Pool # U90673, 4.00%, 1/1/2043 |
348 | 384 | ||||||
Pool # U99134, 4.00%, 1/1/2046 |
6,789 | 7,491 | ||||||
Pool # U69030, 4.50%, 1/1/2046 |
2,601 | 2,874 | ||||||
FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 |
2,520 | 2,693 | ||||||
FNMA |
||||||||
Pool # 470623, ARM, 0.91%, 3/1/2022 (h) |
817 | 816 | ||||||
Pool # 54844, ARM, 2.25%, 9/1/2027 (h) |
10 | 11 | ||||||
Pool # 303532, ARM, 3.91%, 3/1/2029 (h) |
6 | 7 | ||||||
Pool # 555258, ARM, 1.65%, 1/1/2033 (h) |
251 | 253 | ||||||
Pool # 722421, ARM, 1.66%, 7/1/2033 (h) |
26 | 26 | ||||||
Pool # 686040, ARM, 2.49%, 7/1/2033 (h) |
123 | 124 | ||||||
Pool # 722985, ARM, 2.53%, 7/1/2033 (h) |
17 | 17 | ||||||
Pool # 746299, ARM, 2.39%, 9/1/2033 (h) |
94 | 99 | ||||||
Pool # 749923, ARM, 2.28%, 11/1/2033 (h) |
3 | 3 | ||||||
Pool # 766610, ARM, 2.06%, 1/1/2034 (h) |
51 | 52 | ||||||
Pool # 920467, ARM, 2.87%, 2/1/2034 (h) |
77 | 77 | ||||||
Pool # 770377, ARM, 1.67%, 4/1/2034 (h) |
66 | 66 | ||||||
Pool # 751531, ARM, 2.33%, 5/1/2034 (h) |
97 | 98 | ||||||
Pool # 782306, ARM, 2.17%, 7/1/2034 (h) |
6 | 6 | ||||||
Pool # 790235, ARM, 2.14%, 8/1/2034 (h) |
82 | 83 | ||||||
Pool # 735332, ARM, 2.32%, 8/1/2034 (h) |
161 | 166 | ||||||
Pool # 791961, ARM, 1.56%, 9/1/2034 (h) |
29 | 29 | ||||||
Pool # 725902, ARM, 2.15%, 9/1/2034 (h) |
13 | 13 | ||||||
Pool # 803594, ARM, 2.02%, 10/1/2034 (h) |
91 | 92 | ||||||
Pool # 803599, ARM, 2.10%, 10/1/2034 (h) |
98 | 98 | ||||||
Pool # 896463, ARM, 2.63%, 10/1/2034 (h) |
76 | 81 | ||||||
Pool # 806776, ARM, 1.81%, 11/1/2034 (h) |
137 | 138 | ||||||
Pool # 806778, ARM, 1.96%, 11/1/2034 (h) |
379 | 381 | ||||||
Pool # 810896, ARM, 1.76%, 1/1/2035 (h) |
226 | 235 | ||||||
Pool # 802692, ARM, 2.00%, 1/1/2035 (h) |
89 | 90 | ||||||
Pool # 816597, ARM, 1.92%, 2/1/2035 (h) |
17 | 17 | ||||||
Pool # 735539, ARM, 2.33%, 4/1/2035 (h) |
403 | 428 | ||||||
Pool # 745862, ARM, 2.40%, 4/1/2035 (h) |
70 | 71 | ||||||
Pool # 821378, ARM, 1.52%, 5/1/2035 (h) |
65 | 65 | ||||||
Pool # 823660, ARM, 1.97%, 5/1/2035 (h) |
63 | 63 | ||||||
Pool # 745766, ARM, 2.05%, 6/1/2035 (h) |
181 | 184 | ||||||
Pool # 843026, ARM, 1.78%, 9/1/2035 (h) |
305 | 317 | ||||||
Pool # 832801, ARM, 2.08%, 9/1/2035 (h) |
39 | 40 | ||||||
Pool # 849251, ARM, 2.13%, 1/1/2036 (h) |
70 | 74 | ||||||
Pool # 895141, ARM, 1.82%, 7/1/2036 (h) |
87 | 89 | ||||||
Pool # 900197, ARM, 2.58%, 10/1/2036 (h) |
61 | 66 | ||||||
Pool # 966946, ARM, 2.16%, 1/1/2038 (h) |
33 | 33 | ||||||
FNMA UMBS, 15 Year |
||||||||
Pool # 889634, 6.00%, 2/1/2023 |
63 | 65 | ||||||
Pool # 995381, 6.00%, 1/1/2024 |
20 | 20 | ||||||
Pool # 995425, 6.00%, 1/1/2024 |
50 | 52 | ||||||
Pool # AD0133, 5.00%, 8/1/2024 |
23 | 24 | ||||||
FNMA UMBS, 20 Year |
||||||||
Pool # 254305, 6.50%, 5/1/2022 |
4 | 4 | ||||||
Pool # 555791, 6.50%, 12/1/2022 |
7 | 8 | ||||||
Pool # 255217, 4.50%, 4/1/2024 |
12 | 13 | ||||||
Pool # 888656, 6.50%, 4/1/2025 |
17 | 19 | ||||||
Pool # MA1138, 3.50%, 8/1/2032 |
412 | 440 | ||||||
FNMA UMBS, 30 Year |
||||||||
Pool # 50966, 7.00%, 1/1/2024 |
1 | 1 | ||||||
Pool # 399269, 7.00%, 4/1/2026 |
4 | 4 | ||||||
Pool # 689977, 8.00%, 3/1/2027 |
29 | 32 | ||||||
Pool # 695533, 8.00%, 6/1/2027 |
11 | 13 | ||||||
Pool # 756024, 8.00%, 9/1/2028 |
34 | 37 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Pool # 755973, 8.00%, 11/1/2028 |
81 | 92 | ||||||
Pool # 455759, 6.00%, 12/1/2028 |
9 | 10 | ||||||
Pool # 252211, 6.00%, 1/1/2029 |
14 | 16 | ||||||
Pool # 459097, 7.00%, 1/1/2029 |
5 | 5 | ||||||
Pool # 889020, 6.50%, 11/1/2029 |
224 | 255 | ||||||
Pool # 598559, 6.50%, 8/1/2031 |
26 | 31 | ||||||
Pool # 622542, 5.50%, 9/1/2031 |
192 | 218 | ||||||
Pool # 788150, 6.00%, 3/1/2032 |
25 | 29 | ||||||
Pool # 649734, 7.00%, 6/1/2032 |
29 | 31 | ||||||
Pool # 675555, 6.00%, 12/1/2032 |
42 | 47 | ||||||
Pool # AL0045, 6.00%, 12/1/2032 |
236 | 279 | ||||||
Pool # 674349, 6.00%, 3/1/2033 |
11 | 13 | ||||||
Pool # 688625, 6.00%, 3/1/2033 |
20 | 23 | ||||||
Pool # 688655, 6.00%, 3/1/2033 |
9 | 10 | ||||||
Pool # 695584, 6.00%, 3/1/2033 |
5 | 6 | ||||||
Pool # 702901, 6.00%, 5/1/2033 |
79 | 94 | ||||||
Pool # 723852, 5.00%, 7/1/2033 |
81 | 92 | ||||||
Pool # 729296, 5.00%, 7/1/2033 |
217 | 247 | ||||||
Pool # 729379, 6.00%, 8/1/2033 |
17 | 19 | ||||||
Pool # 737825, 6.00%, 9/1/2033 |
29 | 34 | ||||||
Pool # 750977, 4.50%, 11/1/2033 |
55 | 60 | ||||||
Pool # 725017, 5.50%, 12/1/2033 |
327 | 380 | ||||||
Pool # 751341, 5.50%, 3/1/2034 |
40 | 45 | ||||||
Pool # 888568, 5.00%, 12/1/2034 |
7 | 8 | ||||||
Pool # 815426, 4.50%, 2/1/2035 |
1 | 1 | ||||||
Pool # AD0755, 7.00%, 6/1/2035 |
2,338 | 2,774 | ||||||
Pool # 820347, 5.00%, 9/1/2035 |
59 | 68 | ||||||
Pool # 833657, 7.50%, 8/1/2036 |
37 | 42 | ||||||
Pool # 986648, 6.00%, 9/1/2037 |
109 | 130 | ||||||
Pool # 888892, 7.50%, 11/1/2037 |
33 | 38 | ||||||
Pool # 257510, 7.00%, 12/1/2038 |
100 | 121 | ||||||
Pool # AD0753, 7.00%, 1/1/2039 |
75 | 91 | ||||||
Pool # AT5891, 3.00%, 6/1/2043 |
2,346 | 2,518 | ||||||
Pool # AL7527, 4.50%, 9/1/2043 |
1,028 | 1,149 | ||||||
Pool # BM3500, 4.00%, 9/1/2047 |
3,304 | 3,657 | ||||||
Pool # BJ1778, 4.50%, 10/1/2047 |
1,130 | 1,232 | ||||||
Pool # BN9180, 4.00%, 6/1/2049 |
1,240 | 1,335 | ||||||
Pool # BK8753, 4.50%, 6/1/2049 |
2,407 | 2,627 | ||||||
Pool # BO1219, 4.50%, 6/1/2049 |
3,111 | 3,373 | ||||||
Pool # BO7077, 3.00%, 9/1/2049 |
3,107 | 3,268 | ||||||
FNMA, 30 Year |
||||||||
Pool # 535183, 8.00%, 6/1/2028 |
4 | 4 | ||||||
Pool # 252409, 6.50%, 3/1/2029 |
42 | 47 | ||||||
Pool # 653815, 7.00%, 2/1/2033 |
8 | 8 | ||||||
Pool # 752786, 6.00%, 9/1/2033 |
58 | 65 | ||||||
Pool # 931717, 6.50%, 8/1/2039 |
253 | 289 | ||||||
FNMA, Other |
||||||||
Pool # 468102, 4.34%, 6/1/2021 |
5,000 | 5,000 | ||||||
Pool # AL0602, 4.14%, 7/1/2021 (h) |
152 | 152 | ||||||
Pool # 470622, 2.75%, 3/1/2022 |
500 | 507 | ||||||
Pool # AM3789, 3.02%, 7/1/2023 |
2,164 | 2,256 | ||||||
Pool # AM7245, 2.95%, 8/1/2023 |
4,288 | 4,493 | ||||||
Pool # AM4066, 3.59%, 8/1/2023 |
2,500 | 2,636 | ||||||
Pool # AM4628, 3.69%, 11/1/2023 |
1,448 | 1,554 | ||||||
Pool # AM4668, 3.76%, 11/1/2023 |
1,898 | 2,019 | ||||||
Pool # AM4716, 3.38%, 12/1/2023 |
1,887 | 2,025 | ||||||
Pool # AM7231, 2.92%, 12/1/2024 |
3,903 | 4,192 | ||||||
Pool # AM7589, 2.95%, 12/1/2024 |
1,505 | 1,618 | ||||||
Pool # AM7290, 2.97%, 12/1/2024 |
3,380 | 3,636 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Pool # AM7576, 3.04%, 12/1/2024 |
3,906 | 4,212 | ||||||
Pool # AM7124, 3.11%, 12/1/2024 |
2,440 | 2,636 | ||||||
Pool # 470300, 3.64%, 1/1/2025 |
879 | 963 | ||||||
Pool # AM3833, 3.25%, 7/1/2025 |
3,465 | 3,786 | ||||||
Pool # AM4991, 3.97%, 12/1/2025 |
1,666 | 1,868 | ||||||
Pool # AL6805, 3.78%, 1/1/2026 (h) |
3,393 | 3,788 | ||||||
Pool # 468645, 4.54%, 7/1/2026 |
2,513 | 2,851 | ||||||
Pool # AM6448, 3.25%, 9/1/2026 |
9,533 | 10,545 | ||||||
Pool # AM7223, 3.11%, 12/1/2026 |
3,376 | 3,715 | ||||||
Pool # AM7118, 3.14%, 12/1/2026 |
2,690 | 2,964 | ||||||
Pool # AM7390, 3.26%, 12/1/2026 |
3,691 | 4,077 | ||||||
Pool # AM7265, 3.30%, 12/1/2026 |
3,782 | 4,192 | ||||||
Pool # AM7515, 3.34%, 2/1/2027 |
3,000 | 3,332 | ||||||
Pool # AM8803, 2.78%, 6/1/2027 |
4,779 | 5,206 | ||||||
Pool # AM8987, 2.79%, 6/1/2027 |
1,778 | 1,937 | ||||||
Pool # BL1040, 3.81%, 12/1/2028 |
3,000 | 3,475 | ||||||
Pool # BL4364, 2.24%, 11/1/2029 |
5,456 | 5,739 | ||||||
Pool # BL4333, 2.52%, 11/1/2029 |
6,146 | 6,592 | ||||||
Pool # AM7785, 3.17%, 2/1/2030 |
2,831 | 3,131 | ||||||
Pool # AM7516, 3.55%, 2/1/2030 |
2,000 | 2,254 | ||||||
Pool # AM8544, 3.08%, 4/1/2030 |
7,560 | 8,343 | ||||||
Pool # AM8889, 2.92%, 5/1/2030 |
8,000 | 8,713 | ||||||
Pool # AM8804, 3.10%, 5/1/2030 |
3,599 | 3,977 | ||||||
Pool # AM9020, 2.97%, 6/1/2030 |
3,794 | 4,157 | ||||||
Pool # BL9251, 1.45%, 10/1/2030 |
4,500 | 4,443 | ||||||
Pool # BL4315, 2.39%, 9/1/2031 |
4,550 | 4,798 | ||||||
Pool # AP9632, 4.00%, 10/1/2032 |
257 | 277 | ||||||
Pool # AP9762, 4.00%, 10/1/2032 |
494 | 535 | ||||||
Pool # AQ7084, 3.50%, 12/1/2032 |
591 | 636 | ||||||
Pool # AT2703, 3.50%, 5/1/2033 |
1,112 | 1,191 | ||||||
Pool # AT2954, 3.50%, 5/1/2033 |
724 | 776 | ||||||
Pool # AT4180, 3.50%, 5/1/2033 |
653 | 702 | ||||||
Pool # AT4939, 3.50%, 5/1/2033 |
637 | 685 | ||||||
Pool # 754922, 5.50%, 9/1/2033 |
68 | 76 | ||||||
Pool # 762520, 4.00%, 11/1/2033 |
324 | 344 | ||||||
Pool # AM8922, 3.03%, 6/1/2035 |
2,629 | 2,867 | ||||||
Pool # AM9188, 3.12%, 6/1/2035 |
7,000 | 7,738 | ||||||
Pool # 849215, 6.50%, 1/1/2036 |
19 | 21 | ||||||
Pool # 872740, 6.50%, 6/1/2036 |
49 | 52 | ||||||
Pool # 886320, 6.50%, 7/1/2036 |
18 | 19 | ||||||
Pool # 888796, 6.00%, 9/1/2037 |
64 | 71 | ||||||
Pool # AO7225, 4.00%, 7/1/2042 |
427 | 468 | ||||||
Pool # AO9352, 4.00%, 7/1/2042 |
579 | 639 | ||||||
Pool # MA1125, 4.00%, 7/1/2042 |
624 | 682 | ||||||
Pool # AR1397, 3.00%, 1/1/2043 |
1,198 | 1,281 | ||||||
Pool # MA1711, 4.50%, 12/1/2043 |
2,293 | 2,552 | ||||||
Pool # MA1828, 4.50%, 3/1/2044 |
1,729 | 1,913 | ||||||
Pool # BF0464, 3.50%, 3/1/2060 |
4,148 | 4,520 | ||||||
FNMA/FHLMC UMBS, Single Family, 15 Year TBA, 2.00%, 7/25/2036 (i) |
5,320 | 5,489 | ||||||
FNMA/FHLMC UMBS, Single Family, 30 Year |
||||||||
TBA, 2.50%, 6/25/2051 (i) |
15,000 | 15,529 | ||||||
TBA, 2.00%, 7/25/2051 (i) |
24,330 | 24,519 | ||||||
TBA, 2.50%, 8/25/2051 (i) |
32,695 | 33,699 | ||||||
GNMA I, 30 Year |
||||||||
Pool # 345288, 7.50%, 3/15/2023 |
| (j) | | (j) | ||||
Pool # 782507, 9.50%, 10/15/2024 |
1 | 1 | ||||||
Pool # 554108, 6.50%, 3/15/2028 |
38 | 43 | ||||||
Pool # 481872, 7.50%, 7/15/2028 |
3 | 3 | ||||||
Pool # 468149, 8.00%, 8/15/2028 |
3 | 3 | ||||||
Pool # 486537, 7.50%, 9/15/2028 |
8 | 9 | ||||||
Pool # 486631, 6.50%, 10/15/2028 |
3 | 4 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Pool # 591882, 6.50%, 7/15/2032 |
14 | 15 | ||||||
Pool # 607645, 6.50%, 2/15/2033 |
30 | 34 | ||||||
Pool # 607724, 7.00%, 2/15/2033 |
33 | 38 | ||||||
Pool # 604209, 6.50%, 4/15/2033 |
36 | 40 | ||||||
Pool # 781614, 7.00%, 6/15/2033 |
55 | 67 | ||||||
Pool # BM2141, 5.00%, 7/15/2049 |
888 | 1,029 | ||||||
GNMA II, 30 Year |
||||||||
Pool # 2006, 8.50%, 5/20/2025 |
7 | 7 | ||||||
Pool # 2141, 8.00%, 12/20/2025 |
1 | 1 | ||||||
Pool # 2234, 8.00%, 6/20/2026 |
3 | 3 | ||||||
Pool # 2270, 8.00%, 8/20/2026 |
2 | 2 | ||||||
Pool # 2285, 8.00%, 9/20/2026 |
2 | 2 | ||||||
Pool # 2324, 8.00%, 11/20/2026 |
3 | 3 | ||||||
Pool # 2499, 8.00%, 10/20/2027 |
4 | 5 | ||||||
Pool # 2512, 8.00%, 11/20/2027 |
5 | 6 | ||||||
Pool # 2525, 8.00%, 12/20/2027 |
3 | 3 | ||||||
Pool # 2549, 7.50%, 2/20/2028 |
4 | 5 | ||||||
Pool # 2646, 7.50%, 9/20/2028 |
9 | 10 | ||||||
Pool # 2647, 8.00%, 9/20/2028 |
1 | 1 | ||||||
Pool # 3427, 4.50%, 8/20/2033 |
76 | 85 | ||||||
Pool # 4245, 6.00%, 9/20/2038 |
559 | 637 | ||||||
Pool # AK8806, 4.25%, 3/20/2045 |
1,379 | 1,552 | ||||||
Pool # BM2118, 4.50%, 6/20/2049 |
503 | 542 | ||||||
Pool # BO0535, 4.00%, 7/20/2049 |
1,633 | 1,752 | ||||||
Pool # BO8227, 5.00%, 7/20/2049 |
1,081 | 1,203 | ||||||
Pool # BO8228, 5.00%, 7/20/2049 |
404 | 445 | ||||||
Pool # BO8229, 5.00%, 7/20/2049 |
1,520 | 1,702 | ||||||
Pool # BM9734, 4.00%, 10/20/2049 |
3,862 | 4,165 | ||||||
Pool # BQ4115, 3.00%, 3/20/2050 |
4,926 | 5,142 | ||||||
Pool # MA7052, 2.50%, 12/20/2050 |
9,189 | 9,524 | ||||||
Pool # MA7136, 2.50%, 1/20/2051 |
23,397 | 24,243 | ||||||
Pool # 785294, 3.50%, 1/20/2051 |
4,927 | 5,418 | ||||||
Pool # CB1543, 3.00%, 2/20/2051 |
2,876 | 3,056 | ||||||
GNMA II, Other |
||||||||
Pool # AC0979, 3.95%, 4/20/2063 (h) |
48 | 48 | ||||||
Pool # AC0973, 4.48%, 5/20/2063 (h) |
12 | 13 | ||||||
|
|
|||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $348,919) |
|
361,981 | ||||||
|
|
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 14.3% |
||||||||
ACC 0.00%, 9/15/2022 |
4,450 | 4,450 | ||||||
Acre 6.25%, 12/22/2021 |
2,065 | 2,044 | ||||||
Alternative Loan Trust |
||||||||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
4,009 | 4,035 | ||||||
Series 2005-1CB, Class 1A6, IF, IO, 7.01%, 3/25/2035 (h) |
523 | 80 | ||||||
Series 2005-22T1, Class A2, IF, IO, 4.98%, 6/25/2035 (h) |
3,281 | 496 | ||||||
Series 2005-20CB, Class 3A8, IF, IO, 4.66%, 7/25/2035 (h) |
1,375 | 179 | ||||||
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 |
1,415 | 1,411 | ||||||
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 |
60 | 40 | ||||||
Series 2005-37T1, Class A2, IF, IO, 4.96%, 9/25/2035 (h) |
2,480 | 363 | ||||||
Series 2005-54CB, Class 1A2, IF, IO, 4.76%, 11/25/2035 (h) |
2,308 | 331 | ||||||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
917 | 866 | ||||||
Series 2005-57CB, Class 3A2, IF, IO, 5.01%, 12/25/2035 (h) |
571 | 71 | ||||||
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 |
433 | 429 | ||||||
Series 2006-26CB, Class A9, 6.50%, 9/25/2036 |
915 | 655 | ||||||
Banc of America Alternative Loan Trust |
||||||||
Series 2004-6, Class 15, PO, 7/25/2019 |
6 | 4 | ||||||
Series 2006-4, Class 1A4, 6.00%, 5/25/2046 |
279 | 276 | ||||||
Banc of America Funding Trust |
||||||||
Series 2004-1, PO, 3/25/2034 |
89 | 71 | ||||||
Series 2004-2, Class 30, PO, 9/20/2034 |
84 | 71 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2004-C, Class 1A1, 3.23%, 12/20/2034 (h) |
64 | 66 | ||||||
Series 2005-E, Class 4A1, 2.97%, 3/20/2035 (h) |
16 | 16 | ||||||
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 |
157 | 158 | ||||||
Series 2005-7, Class 30, PO, 11/25/2035 |
113 | 108 | ||||||
Series 2005-8, Class 30, PO, 1/25/2036 |
62 | 46 | ||||||
Series 2006-A, Class 3A2, 2.86%, 2/20/2036 (h) |
147 | 143 | ||||||
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 2.53%, 2/25/2034 (h) |
37 | 37 | ||||||
Bayview Financing Trust Series 2020-3F, Class A, 3.10%, 11/10/2022 (a) (h) |
3,733 | 3,733 | ||||||
Bear Stearns ARM Trust |
||||||||
Series 2003-7, Class 3A, 2.19%, 10/25/2033 (h) |
34 | 34 | ||||||
Series 2004-1, Class 12A1, 2.79%, 4/25/2034 (h) |
202 | 200 | ||||||
Series 2004-2, Class 14A, 2.70%, 5/25/2034 (h) |
32 | 31 | ||||||
Series 2006-1, Class A1, 2.37%, 2/25/2036 (h) |
494 | 512 | ||||||
CFMT LLC Series 2020-HB4, Class A, 0.95%, 12/26/2030 (a) (h) |
3,554 | 3,558 | ||||||
CHL Mortgage Pass-Through Trust |
||||||||
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 |
2 | | (j) | |||||
Series 2004-HYB1, Class 2A, 2.58%, 5/20/2034 (h) |
34 | 35 | ||||||
Series 2004-HYB3, Class 2A, 2.13%, 6/20/2034 (h) |
187 | 191 | ||||||
Series 2004-7, Class 2A1, 2.45%, 6/25/2034 (h) |
120 | 122 | ||||||
Series 2004-HYB6, Class A3, 2.77%, 11/20/2034 (h) |
156 | 161 | ||||||
Series 2005-16, Class A23, 5.50%, 9/25/2035 |
252 | 220 | ||||||
Series 2005-22, Class 2A1, 2.61%, 11/25/2035 (h) |
764 | 728 | ||||||
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust |
||||||||
Series 2005-5, Class A, PO, 8/25/2035 |
34 | 28 | ||||||
Series 2005-8, Class A, PO, 11/25/2035 |
54 | 46 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
Series 2003-UP2, Class 1, PO, 6/25/2033 |
1 | 1 | ||||||
Series 2003-HYB1, Class A, 2.59%, 9/25/2033 (h) |
25 | 25 | ||||||
Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (h) |
369 | 389 | ||||||
Citigroup Mortgage Loan Trust, Inc. |
||||||||
Series 2003-1, Class 3, PO, 9/25/2033 |
25 | 22 | ||||||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
10 | 10 | ||||||
Series 2003-1, Class 2, PO, 10/25/2033 |
3 | 3 | ||||||
Series 2003-1, Class 2A6, PO, 10/25/2033 |
11 | 10 | ||||||
Series 2003-1, Class 2A5, 5.25%, 10/25/2033 |
21 | 21 | ||||||
Series 2004-UST1, Class A6, 2.50%, 8/25/2034 (h) |
12 | 12 | ||||||
Series 2005-1, Class 2A1A, 2.34%, 2/25/2035 (h) |
160 | 154 | ||||||
Series 2005-2, Class 2A11, 5.50%, 5/25/2035 |
160 | 166 | ||||||
Series 2005-5, Class 1A2, 2.89%, 8/25/2035 (h) |
200 | 162 | ||||||
Conix Mortgage Asset Trust Series 2013-1, Class A, 0.00%, 12/25/2047 (h) (k) |
1,079 | 17 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. |
||||||||
Series 2003-1, Class DB1, 6.71%, 2/25/2033 (h) |
232 | 235 | ||||||
Series 2003-21, Class 1A4, 5.25%, 9/25/2033 |
58 | 60 | ||||||
Series 2003-25, Class 1P, PO, 10/25/2033 |
109 | 95 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates |
||||||||
Series 2005-4, Class 3A18, 5.50%, 6/25/2035 |
802 | 807 | ||||||
Series 2005-4, Class 3A23, 5.50%, 6/25/2035 |
1,691 | 1,702 | ||||||
CSMA SFR Holdings II 0.00%, 7/25/2023 |
2,965 | 2,962 | ||||||
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (h) |
7,501 | 7,500 | ||||||
FHLMC - GNMA Series 8, Class ZA, 7.00%, 3/25/2023 |
11 | 11 | ||||||
FHLMC, REMIC |
||||||||
Series 1144, Class KB, 8.50%, 9/15/2021 |
| (j) | | (j) | ||||
Series 1250, Class J, 7.00%, 5/15/2022 |
| (j) | | (j) | ||||
Series 1343, Class LB, 7.50%, 8/15/2022 |
1 | 1 | ||||||
Series 1343, Class LA, 8.00%, 8/15/2022 |
1 | 1 | ||||||
Series 1370, Class JA, 1.25%, 9/15/2022 (h) |
2 | 2 | ||||||
Series 2512, Class PG, 5.50%, 10/15/2022 |
25 | 26 | ||||||
Series 1455, Class WB, IF, 4.62%, 12/15/2022 (h) |
3 | 3 | ||||||
Series 2535, Class BK, 5.50%, 12/15/2022 |
12 | 12 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 1470, Class F, 1.41%, 2/15/2023 (h) |
| (j) | | (j) | ||||
Series 2568, Class KG, 5.50%, 2/15/2023 |
40 | 41 | ||||||
Series 1466, Class PZ, 7.50%, 2/15/2023 |
14 | 14 | ||||||
Series 1498, Class I, 1.25%, 4/15/2023 (h) |
18 | 18 | ||||||
Series 1502, Class PX, 7.00%, 4/15/2023 |
28 | 29 | ||||||
Series 1798, Class F, 5.00%, 5/15/2023 |
23 | 23 | ||||||
Series 1505, Class Q, 7.00%, 5/15/2023 |
3 | 4 | ||||||
Series 1518, Class G, IF, 8.89%, 5/15/2023 (h) |
7 | 8 | ||||||
Series 1541, Class O, 1.02%, 7/15/2023 (h) |
8 | 8 | ||||||
Series 2638, Class DS, IF, 8.50%, 7/15/2023 (h) |
5 | 5 | ||||||
Series 1541, Class M, HB, IF, 25.87%, 7/15/2023 (h) |
3 | 3 | ||||||
Series 1570, Class F, 1.88%, 8/15/2023 (h) |
1 | 1 | ||||||
Series 1608, Class L, 6.50%, 9/15/2023 |
78 | 83 | ||||||
Series 1573, Class PZ, 7.00%, 9/15/2023 |
24 | 26 | ||||||
Series 2571, Class SK, HB, IF, 34.06%, 9/15/2023 (h) |
11 | 13 | ||||||
Series 1591, Class PV, 6.25%, 10/15/2023 |
14 | 15 | ||||||
Series 1602, Class SA, HB, IF, 22.38%, 10/15/2023 (h) |
8 | 10 | ||||||
Series 2710, Class HB, 5.50%, 11/15/2023 |
125 | 129 | ||||||
Series 1642, Class PJ, 6.00%, 11/15/2023 |
38 | 40 | ||||||
Series 2716, Class UN, 4.50%, 12/15/2023 |
86 | 89 | ||||||
Series 1638, Class H, 6.50%, 12/15/2023 |
55 | 58 | ||||||
Series 2283, Class K, 6.50%, 12/15/2023 |
21 | 23 | ||||||
Series 1700, Class GA, PO, 2/15/2024 |
1 | 1 | ||||||
Series 1865, Class D, PO, 2/15/2024 |
26 | 26 | ||||||
Series 1760, Class ZD, 1.08%, 2/15/2024 (h) |
64 | 64 | ||||||
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h) |
10 | 10 | ||||||
Series 1686, Class SH, IF, 18.98%, 2/15/2024 (h) |
2 | 2 | ||||||
Series 1699, Class FC, 0.71%, 3/15/2024 (h) |
2 | 2 | ||||||
Series 1709, Class FA, 0.73%, 3/15/2024 (h) |
1 | 1 | ||||||
Series 1695, Class EB, 7.00%, 3/15/2024 |
13 | 13 | ||||||
Series 1706, Class K, 7.00%, 3/15/2024 |
34 | 36 | ||||||
Series 2033, Class SN, HB, IF, 29.74%, 3/15/2024 (h) |
6 | 1 | ||||||
Series 2306, Class K, PO, 5/15/2024 |
7 | 7 | ||||||
Series 2306, Class SE, IF, IO, 9.02%, 5/15/2024 (h) |
16 | 2 | ||||||
Series 1745, Class D, 7.50%, 8/15/2024 |
10 | 11 | ||||||
Series 3720, Class A, 4.50%, 9/15/2025 |
75 | 80 | ||||||
Series 3131, Class BK, 5.50%, 3/15/2026 |
274 | 293 | ||||||
Series 1829, Class ZB, 6.50%, 3/15/2026 |
7 | 7 | ||||||
Series 1863, Class Z, 6.50%, 7/15/2026 |
8 | 8 | ||||||
Series 1890, Class H, 7.50%, 9/15/2026 |
10 | 12 | ||||||
Series 1899, Class ZE, 8.00%, 9/15/2026 |
34 | 39 | ||||||
Series 3229, Class HE, 5.00%, 10/15/2026 |
286 | 304 | ||||||
Series 1963, Class Z, 7.50%, 1/15/2027 |
28 | 32 | ||||||
Series 1935, Class FL, 0.80%, 2/15/2027 (h) |
2 | 2 | ||||||
Series 1981, Class Z, 6.00%, 5/15/2027 |
41 | 44 | ||||||
Series 1970, Class PG, 7.25%, 7/15/2027 |
3 | 3 | ||||||
Series 1987, Class PE, 7.50%, 9/15/2027 |
17 | 20 | ||||||
Series 2019, Class Z, 6.50%, 12/15/2027 |
38 | 43 | ||||||
Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
32 | 4 | ||||||
Series 2040, Class PE, 7.50%, 3/15/2028 |
68 | 79 | ||||||
Series 4251, Class KW, 2.50%, 4/15/2028 |
3,684 | 3,852 | ||||||
Series 2043, Class CJ, 6.50%, 4/15/2028 |
9 | 11 | ||||||
Series 2054, Class PV, 7.50%, 5/15/2028 |
46 | 53 | ||||||
Series 2075, Class PM, 6.25%, 8/15/2028 |
105 | 118 | ||||||
Series 2075, Class PH, 6.50%, 8/15/2028 |
94 | 107 | ||||||
Series 2086, Class GB, 6.00%, 9/15/2028 |
26 | 29 | ||||||
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
46 | 4 | ||||||
Series 2095, Class PE, 6.00%, 11/15/2028 |
119 | 134 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2125, Class JZ, 6.00%, 2/15/2029 |
41 | 46 | ||||||
Series 2136, Class PG, 6.00%, 3/15/2029 |
47 | 54 | ||||||
Series 2132, Class SB, HB, IF, 30.07%, 3/15/2029 (h) |
9 | 13 | ||||||
Series 2141, IO, 7.00%, 4/15/2029 |
13 | 1 | ||||||
Series 2169, Class TB, 7.00%, 6/15/2029 |
159 | 183 | ||||||
Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
16 | 2 | ||||||
Series 2172, Class QC, 7.00%, 7/15/2029 |
107 | 125 | ||||||
Series 2176, Class OJ, 7.00%, 8/15/2029 |
78 | 91 | ||||||
Series 2201, Class C, 8.00%, 11/15/2029 |
39 | 45 | ||||||
Series 2209, Class TC, 8.00%, 1/15/2030 |
42 | 49 | ||||||
Series 2210, Class Z, 8.00%, 1/15/2030 |
77 | 93 | ||||||
Series 2224, Class CB, 8.00%, 3/15/2030 |
19 | 23 | ||||||
Series 2230, Class Z, 8.00%, 4/15/2030 |
48 | 58 | ||||||
Series 2234, Class PZ, 7.50%, 5/15/2030 |
34 | 40 | ||||||
Series 2247, Class Z, 7.50%, 8/15/2030 |
36 | 43 | ||||||
Series 2256, Class MC, 7.25%, 9/15/2030 |
48 | 57 | ||||||
Series 2259, Class ZM, 7.00%, 10/15/2030 |
71 | 84 | ||||||
Series 2262, Class Z, 7.50%, 10/15/2030 |
8 | 10 | ||||||
Series 2271, Class PC, 7.25%, 12/15/2030 |
80 | 95 | ||||||
Series 2296, Class PD, 7.00%, 3/15/2031 |
46 | 54 | ||||||
Series 2313, Class LA, 6.50%, 5/15/2031 |
36 | 41 | ||||||
Series 2325, Class PM, 7.00%, 6/15/2031 |
57 | 67 | ||||||
Series 2359, Class ZB, 8.50%, 6/15/2031 |
129 | 158 | ||||||
Series 2344, Class ZD, 6.50%, 8/15/2031 |
436 | 507 | ||||||
Series 2344, Class ZJ, 6.50%, 8/15/2031 |
39 | 46 | ||||||
Series 2345, Class NE, 6.50%, 8/15/2031 |
31 | 36 | ||||||
Series 2351, Class PZ, 6.50%, 8/15/2031 |
34 | 39 | ||||||
Series 2353, Class AZ, 6.00%, 9/15/2031 |
239 | 270 | ||||||
Series 2367, Class ME, 6.50%, 10/15/2031 |
72 | 82 | ||||||
Series 2396, Class FM, 0.55%, 12/15/2031 (h) |
111 | 111 | ||||||
Series 2399, Class OH, 6.50%, 1/15/2032 |
96 | 109 | ||||||
Series 2399, Class TH, 6.50%, 1/15/2032 |
114 | 134 | ||||||
Series 2410, Class OE, 6.38%, 2/15/2032 |
31 | 33 | ||||||
Series 2410, Class NG, 6.50%, 2/15/2032 |
107 | 125 | ||||||
Series 2420, Class XK, 6.50%, 2/15/2032 |
158 | 186 | ||||||
Series 2464, Class SI, IF, IO, 7.90%, 2/15/2032 (h) |
204 | 36 | ||||||
Series 2410, Class QX, IF, IO, 8.55%, 2/15/2032 (h) |
46 | 9 | ||||||
Series 2412, Class SP, IF, 15.90%, 2/15/2032 (h) |
94 | 124 | ||||||
Series 2410, Class QS, IF, 19.24%, 2/15/2032 (h) |
80 | 117 | ||||||
Series 2430, Class WF, 6.50%, 3/15/2032 |
209 | 247 | ||||||
Series 2423, Class MC, 7.00%, 3/15/2032 |
121 | 144 | ||||||
Series 2423, Class MT, 7.00%, 3/15/2032 |
104 | 124 | ||||||
Series 2444, Class ES, IF, IO, 7.85%, 3/15/2032 (h) |
83 | 15 | ||||||
Series 2450, Class SW, IF, IO, 7.90%, 3/15/2032 (h) |
66 | 12 | ||||||
Series 2435, Class CJ, 6.50%, 4/15/2032 |
151 | 177 | ||||||
Series 2434, Class TC, 7.00%, 4/15/2032 |
115 | 137 | ||||||
Series 2436, Class MC, 7.00%, 4/15/2032 |
72 | 82 | ||||||
Series 2455, Class GK, 6.50%, 5/15/2032 |
229 | 261 | ||||||
Series 2450, Class GZ, 7.00%, 5/15/2032 |
66 | 79 | ||||||
Series 2462, Class JG, 6.50%, 6/15/2032 |
103 | 121 | ||||||
Series 2466, Class PH, 6.50%, 6/15/2032 |
171 | 201 | ||||||
Series 2474, Class NR, 6.50%, 7/15/2032 |
97 | 112 | ||||||
Series 2484, Class LZ, 6.50%, 7/15/2032 |
118 | 141 | ||||||
Series 2500, Class MC, 6.00%, 9/15/2032 |
114 | 133 | ||||||
Series 2835, Class QO, PO, 12/15/2032 |
16 | 15 | ||||||
Series 2543, Class YX, 6.00%, 12/15/2032 |
210 | 244 | ||||||
Series 2544, Class HC, 6.00%, 12/15/2032 |
161 | 193 | ||||||
Series 2552, Class ME, 6.00%, 1/15/2033 |
237 | 278 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2567, Class QD, 6.00%, 2/15/2033 |
272 | 319 | ||||||
Series 2575, Class ME, 6.00%, 2/15/2033 |
597 | 694 | ||||||
Series 2596, Class QG, 6.00%, 3/15/2033 |
148 | 168 | ||||||
Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
73 | 14 | ||||||
Series 2692, Class SC, IF, 13.08%, 7/15/2033 (h) |
40 | 53 | ||||||
Series 4240, Class B, 3.00%, 8/15/2033 |
2,501 | 2,725 | ||||||
Series 3920, Class LP, 5.00%, 1/15/2034 |
589 | 678 | ||||||
Series 2744, Class PE, 5.50%, 2/15/2034 |
11 | 11 | ||||||
Series 3611, PO, 7/15/2034 |
39 | 37 | ||||||
Series 2990, Class UZ, 5.75%, 6/15/2035 |
1,465 | 1,697 | ||||||
Series 3004, Class EK, 5.50%, 7/15/2035 |
1,233 | 1,506 | ||||||
Series 3014, Class OD, PO, 8/15/2035 |
40 | 36 | ||||||
Series 3085, Class WF, 0.90%, 8/15/2035 (h) |
100 | 103 | ||||||
Series 3047, Class OD, 5.50%, 10/15/2035 |
738 | 827 | ||||||
Series 3074, Class BH, 5.00%, 11/15/2035 |
233 | 256 | ||||||
Series 3064, Class MC, 5.50%, 11/15/2035 |
3,095 | 3,669 | ||||||
Series 3102, Class FB, 0.40%, 1/15/2036 (h) |
101 | 102 | ||||||
Series 3102, Class HS, HB, IF, 24.20%, 1/15/2036 (h) |
31 | 44 | ||||||
Series 3117, Class EO, PO, 2/15/2036 |
251 | 232 | ||||||
Series 3117, Class OK, PO, 2/15/2036 |
147 | 136 | ||||||
Series 3134, PO, 3/15/2036 |
37 | 36 | ||||||
Series 3152, Class MO, PO, 3/15/2036 |
198 | 185 | ||||||
Series 3122, Class ZB, 6.00%, 3/15/2036 |
26 | 39 | ||||||
Series 3138, PO, 4/15/2036 |
155 | 142 | ||||||
Series 3607, Class BO, PO, 4/15/2036 |
82 | 77 | ||||||
Series 3219, Class DI, IO, 6.00%, 4/15/2036 |
125 | 26 | ||||||
Series 3819, Class ZQ, 6.00%, 4/15/2036 |
783 | 929 | ||||||
Series 3149, Class SO, PO, 5/15/2036 |
28 | 25 | ||||||
Series 3233, Class OP, PO, 5/15/2036 |
53 | 49 | ||||||
Series 3171, Class MO, PO, 6/15/2036 |
30 | 29 | ||||||
Series 3179, Class OA, PO, 7/15/2036 |
138 | 124 | ||||||
Series 3194, Class SA, IF, IO, 7.00%, 7/15/2036 (h) |
29 | 6 | ||||||
Series 3211, Class SO, PO, 9/15/2036 |
170 | 159 | ||||||
Series 3218, Class AO, PO, 9/15/2036 |
81 | 69 | ||||||
Series 3232, Class ST, IF, IO, 6.60%, 10/15/2036 (h) |
206 | 42 | ||||||
Series 3256, PO, 12/15/2036 |
111 | 102 | ||||||
Series 3261, Class OA, PO, 1/15/2037 |
133 | 122 | ||||||
Series 3260, Class CS, IF, IO, 6.04%, 1/15/2037 (h) |
216 | 43 | ||||||
Series 3274, Class JO, PO, 2/15/2037 |
28 | 27 | ||||||
Series 3275, Class FL, 0.54%, 2/15/2037 (h) |
36 | 36 | ||||||
Series 3290, Class SB, IF, IO, 6.35%, 3/15/2037 (h) |
277 | 49 | ||||||
Series 3318, Class AO, PO, 5/15/2037 |
9 | 8 | ||||||
Series 3607, PO, 5/15/2037 |
167 | 152 | ||||||
Series 3315, Class HZ, 6.00%, 5/15/2037 |
181 | 210 | ||||||
Series 3326, Class JO, PO, 6/15/2037 |
9 | 9 | ||||||
Series 3331, PO, 6/15/2037 |
119 | 111 | ||||||
Series 3607, Class OP, PO, 7/15/2037 |
365 | 327 | ||||||
Series 4048, Class FJ, 0.52%, 7/15/2037 (h) |
519 | 519 | ||||||
Series 3385, Class SN, IF, IO, 5.90%, 11/15/2037 (h) |
36 | 6 | ||||||
Series 3387, Class SA, IF, IO, 6.32%, 11/15/2037 (h) |
163 | 30 | ||||||
Series 3422, Class AI, IO, 0.25%, 1/15/2038 (f) |
1,069 | 8 | ||||||
Series 3404, Class SC, IF, IO, 5.90%, 1/15/2038 (h) |
299 | 59 | ||||||
Series 3424, Class PI, IF, IO, 6.70%, 4/15/2038 (h) |
234 | 56 | ||||||
Series 3481, Class SJ, IF, IO, 5.75%, 8/15/2038 (h) |
323 | 61 | ||||||
Series 3511, Class SA, IF, IO, 5.90%, 2/15/2039 (h) |
229 | 36 | ||||||
Series 3549, Class FA, 1.30%, 7/15/2039 (h) |
26 | 26 | ||||||
Series 3621, Class BO, PO, 1/15/2040 |
119 | 110 | ||||||
Series 3747, Class PY, 4.00%, 10/15/2040 |
1,000 | 1,129 | ||||||
Series 3925, Class FL, 0.55%, 1/15/2041 (h) |
222 | 223 | ||||||
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h) |
143 | 154 | ||||||
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h) |
425 | 455 | ||||||
Series 3957, Class B, 4.00%, 11/15/2041 |
171 | 189 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 3966, Class NA, 4.00%, 12/15/2041 |
372 | 415 | ||||||
Series 4217, Class KY, 3.00%, 6/15/2043 |
2,000 | 2,129 | ||||||
Series 4822, Class ZB, 4.00%, 7/15/2048 |
3,906 | 4,215 | ||||||
FHLMC, STRIPS |
||||||||
Series 134, Class B, IO, 9.00%, 4/1/2022 |
| (j) | | (j) | ||||
Series 233, Class 11, IO, 5.00%, 9/15/2035 |
267 | 50 | ||||||
Series 233, Class 13, IO, 5.00%, 9/15/2035 |
378 | 70 | ||||||
Series 299, Class 300, 3.00%, 1/15/2043 |
2,253 | 2,330 | ||||||
Series 310, PO, 9/15/2043 |
945 | 815 | ||||||
Series 323, Class 300, 3.00%, 1/15/2044 |
1,814 | 1,895 | ||||||
FHLMC, Structured Pass-Through Certificates, Whole Loan |
||||||||
Series T-41, Class 3A, 5.10%, 7/25/2032 (h) |
254 | 285 | ||||||
Series T-76, Class 2A, 1.73%, 10/25/2037 (h) |
733 | 745 | ||||||
Series T-51, Class 2A, 7.50%, 8/25/2042 (h) |
175 | 222 | ||||||
Series T-54, Class 2A, 6.50%, 2/25/2043 |
991 | 1,174 | ||||||
Series T-54, Class 3A, 7.00%, 2/25/2043 |
274 | 328 | ||||||
Series T-58, Class A, PO, 9/25/2043 |
90 | 76 | ||||||
Series T-59, Class 1AP, PO, 10/25/2043 |
210 | 144 | ||||||
First Horizon Alternative Mortgage Securities Trust |
||||||||
Series 2004-AA4, Class A1, 2.37%, 10/25/2034 (h) |
173 | 178 | ||||||
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 |
452 | 328 | ||||||
Series 2007-FA4, Class 1A2, IF, IO, 5.56%, 8/25/2037 (h) |
1,030 | 225 | ||||||
FMC GMSR Issuer Trust |
||||||||
3.69%, 2/25/2024 |
7,325 | 7,327 | ||||||
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (h) |
5,000 | 5,040 | ||||||
FNMA Trust, Whole Loan |
||||||||
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 |
85 | 100 | ||||||
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
170 | 201 | ||||||
Series 2004-W15, Class 2AF, 0.34%, 8/25/2044 (h) |
240 | 238 | ||||||
Series 2005-W3, Class 2AF, 0.31%, 3/25/2045 (h) |
696 | 694 | ||||||
Series 2006-W2, Class 1AF1, 0.31%, 2/25/2046 (h) |
220 | 220 | ||||||
FNMA, Grantor Trust, Whole Loan |
||||||||
Series 2002-T19, Class A2, 7.00%, 7/25/2042 |
510 | 611 | ||||||
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 |
274 | 328 | ||||||
FNMA, REMIC |
||||||||
Series 2001-48, Class Z, 6.50%, 9/25/2021 |
4 | 4 | ||||||
Series G-51, Class SA, HB, IF, 26.32%, 12/25/2021 (h) |
| (j) | | (j) | ||||
Series 2002-1, Class HC, 6.50%, 2/25/2022 |
1 | 1 | ||||||
Series 2007-15, Class NO, PO, 3/25/2022 |
2 | 2 | ||||||
Series 1992-101, Class J, 7.50%, 6/25/2022 |
| (j) | | (j) | ||||
Series G92-42, Class Z, 7.00%, 7/25/2022 |
| (j) | | (j) | ||||
Series G92-35, Class E, 7.50%, 7/25/2022 |
3 | 3 | ||||||
Series G92-44, Class ZQ, 8.00%, 7/25/2022 |
| (j) | | (j) | ||||
Series G92-35, Class G, HB, 1,184.78%, 7/25/2022 |
| (j) | | (j) | ||||
Series 1992-136, Class PK, 6.00%, 8/25/2022 |
3 | 3 | ||||||
Series 1996-59, Class J, 6.50%, 8/25/2022 |
1 | 2 | ||||||
Series G92-52, Class FD, 0.13%, 9/25/2022 (h) |
| (j) | | (j) | ||||
Series 1992-143, Class MA, 5.50%, 9/25/2022 |
1 | 1 | ||||||
Series G92-54, Class ZQ, 7.50%, 9/25/2022 |
1 | 1 | ||||||
Series 1992-163, Class M, 7.75%, 9/25/2022 |
4 | 4 | ||||||
Series G92-62, Class B, PO, 10/25/2022 |
1 | 1 | ||||||
Series G92-59, Class F, 1.08%, 10/25/2022 (h) |
| (j) | | (j) | ||||
Series G92-61, Class Z, 7.00%, 10/25/2022 |
1 | 1 | ||||||
Series 1992-188, Class PZ, 7.50%, 10/25/2022 |
11 | 11 | ||||||
Series G93-1, Class KA, 7.90%, 1/25/2023 |
7 | 7 | ||||||
Series G93-5, Class Z, 6.50%, 2/25/2023 |
2 | 2 | ||||||
Series 1997-61, Class ZC, 7.00%, 2/25/2023 |
41 | 43 | ||||||
Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h) |
2 | 2 | ||||||
Series G93-14, Class J, 6.50%, 3/25/2023 |
3 | 3 | ||||||
Series 1993-25, Class J, 7.50%, 3/25/2023 |
7 | 8 | ||||||
Series 1993-21, Class KA, 7.70%, 3/25/2023 |
5 | 5 | ||||||
Series 1998-4, Class C, PO, 4/25/2023 |
1 | 1 | ||||||
Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h) |
7 | 7 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 1998-43, Class SA, IF, IO, 19.38%, 4/25/2023 (h) |
8 | 1 | ||||||
Series 1993-62, Class SA, IF, 19.65%, 4/25/2023 (h) |
3 | 3 | ||||||
Series 2003-39, Class LW, 5.50%, 5/25/2023 |
86 | 89 | ||||||
Series 2003-41, Class PE, 5.50%, 5/25/2023 |
36 | 37 | ||||||
Series 2008-47, Class SI, IF, IO, 6.41%, 6/25/2023 (h) |
2 | | (j) | |||||
Series G93-27, Class FD, 0.97%, 8/25/2023 (h) |
5 | 5 | ||||||
Series 2002-83, Class CS, 6.88%, 8/25/2023 |
61 | 64 | ||||||
Series 1999-38, Class SK, IF, IO, 7.96%, 8/25/2023 (h) |
2 | | (j) | |||||
Series 1996-14, Class SE, IF, IO, 9.17%, 8/25/2023 (h) |
31 | 2 | ||||||
Series 1993-205, Class H, PO, 9/25/2023 |
5 | 5 | ||||||
Series G93-37, Class H, PO, 9/25/2023 |
1 | 1 | ||||||
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h) |
4 | 4 | ||||||
Series 1993-165, Class SD, IF, 14.06%, 9/25/2023 (h) |
2 | 2 | ||||||
Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h) |
2 | 2 | ||||||
Series 1999-52, Class NS, HB, IF, 23.12%, 10/25/2023 (h) |
5 | 6 | ||||||
Series 1993-179, Class SB, HB, IF, 28.10%, 10/25/2023 (h) |
3 | 3 | ||||||
Series 1995-19, Class Z, 6.50%, 11/25/2023 |
36 | 38 | ||||||
Series 1993-230, Class FA, 0.71%, 12/25/2023 (h) |
3 | 3 | ||||||
Series 1993-247, Class FE, 1.09%, 12/25/2023 (h) |
7 | 7 | ||||||
Series 1993-225, Class UB, 6.50%, 12/25/2023 |
9 | 10 | ||||||
Series 1993-247, Class SU, IF, 12.57%, 12/25/2023 (h) |
3 | 4 | ||||||
Series 2002-1, Class UD, HB, IF, 24.18%, 12/25/2023 (h) |
7 | 9 | ||||||
Series 1994-37, Class L, 6.50%, 3/25/2024 |
29 | 31 | ||||||
Series 1994-40, Class Z, 6.50%, 3/25/2024 |
181 | 193 | ||||||
Series 2004-53, Class NC, 5.50%, 7/25/2024 |
27 | 28 | ||||||
Series 1995-2, Class Z, 8.50%, 1/25/2025 |
7 | 8 | ||||||
Series G95-1, Class C, 8.80%, 1/25/2025 |
8 | 9 | ||||||
Series 1997-20, IO, 1.84%, 3/25/2027 (h) |
14 | | (j) | |||||
Series 1997-27, Class J, 7.50%, 4/18/2027 |
5 | 6 | ||||||
Series 1997-29, Class J, 7.50%, 4/20/2027 |
12 | 13 | ||||||
Series 1997-39, Class PD, 7.50%, 5/20/2027 |
66 | 75 | ||||||
Series 1997-42, Class ZC, 6.50%, 7/18/2027 |
5 | 6 | ||||||
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
19 | 1 | ||||||
Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
25 | 28 | ||||||
Series 1998-66, Class SB, IF, IO, 8.06%, 12/25/2028 (h) |
9 | | (j) | |||||
Series 1999-18, Class Z, 5.50%, 4/18/2029 |
40 | 44 | ||||||
Series 1999-17, Class C, 6.35%, 4/25/2029 |
20 | 23 | ||||||
Series 1999-62, Class PB, 7.50%, 12/18/2029 |
32 | 37 | ||||||
Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
101 | 119 | ||||||
Series 2013-103, Class VG, 3.00%, 3/25/2030 |
3,500 | 3,550 | ||||||
Series 2000-20, Class SA, IF, IO, 9.01%, 7/25/2030 (h) |
46 | 5 | ||||||
Series 2000-52, IO, 8.50%, 1/25/2031 |
10 | 2 | ||||||
Series 2001-7, Class PF, 7.00%, 3/25/2031 |
23 | 27 | ||||||
Series 2011-31, Class DB, 3.50%, 4/25/2031 |
1,382 | 1,495 | ||||||
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
82 | 11 | ||||||
Series 2001-30, Class PM, 7.00%, 7/25/2031 |
71 | 85 | ||||||
Series 2001-36, Class DE, 7.00%, 8/25/2031 |
77 | 91 | ||||||
Series 2001-49, Class Z, 6.50%, 9/25/2031 |
21 | 24 | ||||||
Series 2001-44, Class MY, 7.00%, 9/25/2031 |
192 | 229 | ||||||
Series 2001-44, Class PD, 7.00%, 9/25/2031 |
26 | 31 | ||||||
Series 2001-44, Class PU, 7.00%, 9/25/2031 |
25 | 30 | ||||||
Series 2001-52, Class KB, 6.50%, 10/25/2031 |
26 | 31 | ||||||
Series 2003-52, Class SX, HB, IF, 22.68%, 10/25/2031 (h) |
41 | 60 | ||||||
Series 2001-61, Class Z, 7.00%, 11/25/2031 |
277 | 332 | ||||||
Series 2001-72, Class SX, IF, 17.25%, 12/25/2031 (h) |
7 | 9 | ||||||
Series 2002-1, Class SA, HB, IF, 24.89%, 2/25/2032 (h) |
11 | 17 | ||||||
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h) |
227 | 8 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h) |
3 | 4 | ||||||
Series 2002-21, Class LO, PO, 4/25/2032 |
7 | 7 | ||||||
Series 2002-21, Class PE, 6.50%, 4/25/2032 |
70 | 82 | ||||||
Series 2002-28, Class PK, 6.50%, 5/25/2032 |
177 | 208 | ||||||
Series 2012-66, Class CB, 3.00%, 6/25/2032 |
3,000 | 3,267 | ||||||
Series 2002-37, Class Z, 6.50%, 6/25/2032 |
49 | 56 | ||||||
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 |
196 | 28 | ||||||
Series 2002-48, Class GH, 6.50%, 8/25/2032 |
265 | 314 | ||||||
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h) |
33 | 38 | ||||||
Series 2004-59, Class BG, PO, 12/25/2032 |
88 | 83 | ||||||
Series 2002-77, Class S, IF, 14.32%, 12/25/2032 (h) |
39 | 49 | ||||||
Series 2003-22, Class UD, 4.00%, 4/25/2033 |
839 | 925 | ||||||
Series 2003-35, Class UC, 3.75%, 5/25/2033 |
8 | 9 | ||||||
Series 2003-42, Class GB, 4.00%, 5/25/2033 |
60 | 67 | ||||||
Series 2003-34, Class AX, 6.00%, 5/25/2033 |
142 | 166 | ||||||
Series 2003-34, Class ED, 6.00%, 5/25/2033 |
729 | 852 | ||||||
Series 2003-39, IO, 6.00%, 5/25/2033 (h) |
33 | 5 | ||||||
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 |
272 | 57 | ||||||
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 |
488 | 50 | ||||||
Series 2003-47, Class PE, 5.75%, 6/25/2033 |
130 | 149 | ||||||
Series 2004-4, Class QI, IF, IO, 7.01%, 6/25/2033 (h) |
119 | 4 | ||||||
Series 2004-4, Class QM, IF, 14.02%, 6/25/2033 (h) |
11 | 12 | ||||||
Series 2003-64, Class SX, IF, 13.47%, 7/25/2033 (h) |
38 | 48 | ||||||
Series 2003-132, Class OA, PO, 8/25/2033 |
15 | 15 | ||||||
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 |
245 | 41 | ||||||
Series 2003-71, Class DS, IF, 7.32%, 8/25/2033 (h) |
287 | 319 | ||||||
Series 2003-74, Class SH, IF, 10.01%, 8/25/2033 (h) |
61 | 71 | ||||||
Series 2003-91, Class SD, IF, 12.35%, 9/25/2033 (h) |
59 | 72 | ||||||
Series 2013-101, Class AE, 3.00%, 10/25/2033 |
3,349 | 3,632 | ||||||
Series 2013-101, Class E, 3.00%, 10/25/2033 |
3,000 | 3,248 | ||||||
Series 2013-108, Class GU, 3.00%, 10/25/2033 |
4,000 | 4,336 | ||||||
Series 2003-116, Class SB, IF, IO, 7.51%, 11/25/2033 (h) |
377 | 73 | ||||||
Series 2006-44, Class P, PO, 12/25/2033 |
647 | 604 | ||||||
Series 2003-130, Class SX, IF, 11.38%, 1/25/2034 (h) |
8 | 9 | ||||||
Series 2004-25, Class SA, IF, 19.27%, 4/25/2034 (h) |
169 | 241 | ||||||
Series 2004-46, Class SK, IF, 16.25%, 5/25/2034 (h) |
316 | 419 | ||||||
Series 2004-36, Class SA, IF, 19.27%, 5/25/2034 (h) |
365 | 534 | ||||||
Series 2004-46, Class QB, HB, IF, 23.63%, 5/25/2034 (h) |
127 | 189 | ||||||
Series 2004-51, Class SY, IF, 14.06%, 7/25/2034 (h) |
67 | 80 | ||||||
Series 2005-74, Class CS, IF, 19.77%, 5/25/2035 (h) |
108 | 135 | ||||||
Series 2005-56, Class S, IF, IO, 6.62%, 7/25/2035 (h) |
332 | 67 | ||||||
Series 2005-66, Class SG, IF, 17.15%, 7/25/2035 (h) |
108 | 150 | ||||||
Series 2005-68, Class PG, 5.50%, 8/25/2035 |
324 | 371 | ||||||
Series 2005-84, Class XM, 5.75%, 10/25/2035 |
909 | 1,032 | ||||||
Series 2005-110, Class GL, 5.50%, 12/25/2035 |
2,608 | 2,985 | ||||||
Series 2006-46, Class UC, 5.50%, 12/25/2035 |
236 | 254 | ||||||
Series 2005-109, Class PC, 6.00%, 12/25/2035 |
306 | 344 | ||||||
Series 2006-39, Class WC, 5.50%, 1/25/2036 |
256 | 273 | ||||||
Series 2006-16, Class OA, PO, 3/25/2036 |
124 | 116 | ||||||
Series 2006-22, Class AO, PO, 4/25/2036 |
207 | 193 | ||||||
Series 2006-23, Class KO, PO, 4/25/2036 |
35 | 34 | ||||||
Series 2006-44, Class GO, PO, 6/25/2036 |
268 | 251 | ||||||
Series 2006-53, Class US, IF, IO, 6.49%, 6/25/2036 (h) |
407 | 79 | ||||||
Series 2006-56, PO, 7/25/2036 |
220 | 205 | ||||||
Series 2006-58, PO, 7/25/2036 |
115 | 107 | ||||||
Series 2006-58, Class AP, PO, 7/25/2036 |
223 | 205 | ||||||
Series 2006-65, Class QO, PO, 7/25/2036 |
181 | 171 | ||||||
Series 2006-56, Class FC, 0.38%, 7/25/2036 (h) |
396 | 398 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2006-58, Class FL, 0.55%, 7/25/2036 (h) |
29 | 29 | ||||||
Series 2006-60, Class DZ, 6.50%, 7/25/2036 |
4,514 | 5,246 | ||||||
Series 2006-72, Class TO, PO, 8/25/2036 |
33 | 30 | ||||||
Series 2006-79, Class DO, PO, 8/25/2036 |
145 | 139 | ||||||
Series 2007-7, Class SG, IF, IO, 6.41%, 8/25/2036 (h) |
785 | 219 | ||||||
Series 2006-77, Class PC, 6.50%, 8/25/2036 |
476 | 551 | ||||||
Series 2006-90, Class AO, PO, 9/25/2036 |
102 | 97 | ||||||
Series 2008-42, Class AO, PO, 9/25/2036 |
56 | 51 | ||||||
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 |
724 | 148 | ||||||
Series 2006-109, PO, 11/25/2036 |
54 | 49 | ||||||
Series 2006-110, PO, 11/25/2036 |
338 | 315 | ||||||
Series 2006-111, Class EO, PO, 11/25/2036 |
38 | 35 | ||||||
Series 2006-124, Class HB, 2.20%, 11/25/2036 (h) |
511 | 521 | ||||||
Series 2006-119, PO, 12/25/2036 |
41 | 39 | ||||||
Series 2006-118, Class A2, 0.17%, 12/25/2036 (h) |
179 | 177 | ||||||
Series 2009-70, Class CO, PO, 1/25/2037 |
294 | 274 | ||||||
Series 2006-128, Class BP, 5.50%, 1/25/2037 |
92 | 101 | ||||||
Series 2007-77, Class FG, 0.59%, 3/25/2037 (h) |
52 | 53 | ||||||
Series 2007-16, Class FC, 0.84%, 3/25/2037 (h) |
69 | 71 | ||||||
Series 2007-14, Class ES, IF, IO, 6.35%, 3/25/2037 (h) |
502 | 92 | ||||||
Series 2007-42, Class AO, PO, 5/25/2037 |
21 | 20 | ||||||
Series 2007-48, PO, 5/25/2037 |
83 | 81 | ||||||
Series 2007-60, Class AX, IF, IO, 7.06%, 7/25/2037 (h) |
1,440 | 366 | ||||||
Series 2007-81, Class GE, 6.00%, 8/25/2037 |
176 | 204 | ||||||
Series 2007-88, Class VI, IF, IO, 6.45%, 9/25/2037 (h) |
942 | 204 | ||||||
Series 2007-91, Class ES, IF, IO, 6.37%, 10/25/2037 (h) |
675 | 144 | ||||||
Series 2007-116, Class HI, IO, 1.49%, 1/25/2038 (h) |
424 | 18 | ||||||
Series 2008-1, Class BI, IF, IO, 5.82%, 2/25/2038 (h) |
227 | 44 | ||||||
Series 2008-16, Class IS, IF, IO, 6.11%, 3/25/2038 (h) |
85 | 14 | ||||||
Series 2008-10, Class XI, IF, IO, 6.14%, 3/25/2038 (h) |
213 | 40 | ||||||
Series 2008-27, Class SN, IF, IO, 6.81%, 4/25/2038 (h) |
122 | 22 | ||||||
Series 2008-44, PO, 5/25/2038 |
7 | 6 | ||||||
Series 2008-53, Class CI, IF, IO, 7.11%, 7/25/2038 (h) |
157 | 29 | ||||||
Series 2008-80, Class SA, IF, IO, 5.76%, 9/25/2038 (h) |
426 | 78 | ||||||
Series 2008-81, Class SB, IF, IO, 5.76%, 9/25/2038 (h) |
404 | 68 | ||||||
Series 2009-6, Class GS, IF, IO, 6.46%, 2/25/2039 (h) |
355 | 79 | ||||||
Series 2009-62, Class HJ, 6.00%, 5/25/2039 |
79 | 83 | ||||||
Series 2009-60, Class HT, 6.00%, 8/25/2039 |
301 | 354 | ||||||
Series 2009-103, Class MB, 2.22%, 12/25/2039 (h) |
144 | 151 | ||||||
Series 2009-99, Class SC, IF, IO, 6.09%, 12/25/2039 (h) |
88 | 14 | ||||||
Series 2010-49, Class SC, IF, 12.48%, 3/25/2040 (h) |
263 | 335 | ||||||
Series 2010-64, Class DM, 5.00%, 6/25/2040 |
137 | 154 | ||||||
Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
215 | 250 | ||||||
Series 2010-147, Class SA, IF, IO, 6.44%, 1/25/2041 (h) |
955 | 209 | ||||||
Series 2011-30, Class LS, IO, 1.62%, 4/25/2041 (h) |
403 | 27 | ||||||
Series 2011-75, Class FA, 0.64%, 8/25/2041 (h) |
115 | 116 | ||||||
Series 2011-118, Class MT, 7.00%, 11/25/2041 |
306 | 373 | ||||||
Series 2011-130, Class CA, 6.00%, 12/25/2041 |
561 | 660 | ||||||
Series 2013-81, Class TA, 3.00%, 2/25/2043 |
1,915 | 1,984 | ||||||
Series 2013-92, PO, 9/25/2043 |
867 | 781 | ||||||
Series 2013-90, Class PM, 3.50%, 9/25/2043 |
1,694 | 1,797 | ||||||
Series 2013-101, Class DO, PO, 10/25/2043 |
1,402 | 1,208 | ||||||
Series 2013-128, PO, 12/25/2043 |
1,596 | 1,406 | ||||||
Series 2011-2, Class WA, 5.85%, 2/25/2051 (h) |
199 | 228 | ||||||
FNMA, REMIC Trust, Whole Loan |
||||||||
Series 2007-W7, Class 1A4, HB, IF, 38.63%, 7/25/2037 (h) |
9 | 17 | ||||||
Series 2003-W4, Class 2A, 5.68%, 10/25/2042 (h) |
43 | 50 | ||||||
Series 2003-W1, Class 1A1, 5.12%, 12/25/2042 (h) |
377 | 413 | ||||||
Series 2003-W1, Class 2A, 5.60%, 12/25/2042 (h) |
156 | 174 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2009-W1, Class A, 6.00%, 12/25/2049 |
455 | 528 | ||||||
FNMA, REMIC, Whole Loan |
||||||||
Series 2007-101, Class A2, 0.33%, 6/27/2036 (h) |
259 | 256 | ||||||
Series 2007-54, Class FA, 0.49%, 6/25/2037 (h) |
184 | 187 | ||||||
Series 2007-106, Class A7, 6.25%, 10/25/2037 (h) |
103 | 121 | ||||||
FNMA, STRIPS |
||||||||
Series 218, Class 2, IO, 7.50%, 4/25/2023 |
1 | | (j) | |||||
Series 265, Class 2, 9.00%, 3/25/2024 |
1 | 1 | ||||||
Series 329, Class 1, PO, 1/25/2033 |
32 | 30 | ||||||
Series 345, Class 6, IO, 5.00%, 12/25/2033 (h) |
46 | 6 | ||||||
Series 351, Class 7, IO, 5.00%, 4/25/2034 (h) |
154 | 19 | ||||||
Series 355, Class 11, IO, 6.00%, 7/25/2034 |
129 | 22 | ||||||
Series 365, Class 8, IO, 5.50%, 5/25/2036 |
194 | 40 | ||||||
Series 374, Class 5, IO, 5.50%, 8/25/2036 |
107 | 19 | ||||||
Series 393, Class 6, IO, 5.50%, 4/25/2037 |
38 | 5 | ||||||
Series 383, Class 32, IO, 6.00%, 1/25/2038 |
50 | 12 | ||||||
Series 383, Class 33, IO, 6.00%, 1/25/2038 |
129 | 25 | ||||||
Freedom Frn 0.00%, 3/25/2022 |
4,400 | 4,400 | ||||||
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.31%, 6/19/2035 (h) |
578 | 564 | ||||||
GNMA |
||||||||
Series 1999-4, Class ZB, 6.00%, 2/20/2029 |
208 | 208 | ||||||
Series 2001-35, Class SA, IF, IO, 8.15%, 8/16/2031 (h) |
71 | | (j) | |||||
Series 2002-52, Class GH, 6.50%, 7/20/2032 |
309 | 309 | ||||||
Series 2002-75, Class PB, 6.00%, 11/20/2032 |
606 | 606 | ||||||
Series 2003-58, Class BE, 6.50%, 1/20/2033 |
441 | 475 | ||||||
Series 2003-12, Class SP, IF, IO, 7.58%, 2/20/2033 (h) |
102 | 12 | ||||||
Series 2003-24, PO, 3/16/2033 |
20 | 20 | ||||||
Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
537 | 581 | ||||||
Series 2003-46, Class TC, 6.50%, 3/20/2033 |
254 | 277 | ||||||
Series 2003-46, Class MG, 6.50%, 5/20/2033 |
338 | 377 | ||||||
Series 2003-52, Class AP, PO, 6/16/2033 |
97 | 93 | ||||||
Series 2003-90, PO, 10/20/2033 |
27 | 27 | ||||||
Series 2003-112, Class SA, IF, IO, 6.45%, 12/16/2033 (h) |
349 | 38 | ||||||
Series 2004-28, Class S, IF, 19.39%, 4/16/2034 (h) |
158 | 225 | ||||||
Series 2004-73, Class AE, IF, 14.65%, 8/17/2034 (h) |
6 | 6 | ||||||
Series 2004-90, Class SI, IF, IO, 6.00%, 10/20/2034 (h) |
478 | 76 | ||||||
Series 2005-68, Class DP, IF, 16.19%, 6/17/2035 (h) |
52 | 65 | ||||||
Series 2010-14, Class CO, PO, 8/20/2035 |
164 | 152 | ||||||
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h) |
748 | 115 | ||||||
Series 2005-68, Class KI, IF, IO, 6.20%, 9/20/2035 (h) |
1,072 | 222 | ||||||
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 |
155 | 23 | ||||||
Series 2006-16, Class OP, PO, 3/20/2036 |
70 | 66 | ||||||
Series 2006-38, Class SW, IF, IO, 6.40%, 6/20/2036 (h) |
84 | 5 | ||||||
Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
835 | 939 | ||||||
Series 2006-59, Class SD, IF, IO, 6.60%, 10/20/2036 (h) |
226 | 33 | ||||||
Series 2006-65, Class SA, IF, IO, 6.70%, 11/20/2036 (h) |
375 | 48 | ||||||
Series 2011-22, Class WA, 5.87%, 2/20/2037 (h) |
363 | 419 | ||||||
Series 2007-57, PO, 3/20/2037 |
105 | 102 | ||||||
Series 2007-17, Class JO, PO, 4/16/2037 |
66 | 60 | ||||||
Series 2007-17, Class JI, IF, IO, 6.71%, 4/16/2037 (h) |
617 | 136 | ||||||
Series 2007-19, Class SD, IF, IO, 6.10%, 4/20/2037 (h) |
342 | 35 | ||||||
Series 2007-28, Class BO, PO, 5/20/2037 |
72 | 67 | ||||||
Series 2007-26, Class SC, IF, IO, 6.10%, 5/20/2037 (h) |
278 | 46 | ||||||
Series 2007-27, Class SA, IF, IO, 6.10%, 5/20/2037 (h) |
296 | 42 | ||||||
Series 2007-36, Class SE, IF, IO, 6.37%, 6/16/2037 (h) |
190 | 24 | ||||||
Series 2007-47, Class PH, 6.00%, 7/16/2037 |
2,500 | 2,886 | ||||||
Series 2007-40, Class SB, IF, IO, 6.65%, 7/20/2037 (h) |
603 | 115 | ||||||
Series 2007-42, Class SB, IF, IO, 6.65%, 7/20/2037 (h) |
361 | 58 | ||||||
Series 2007-50, Class AI, IF, IO, 6.68%, 8/20/2037 (h) |
213 | 7 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2007-53, Class SW, IF, 19.91%, 9/20/2037 (h) |
30 | 40 | ||||||
Series 2008-32, Class PI, IO, 5.50%, 10/16/2037 |
64 | 3 | ||||||
Series 2009-79, Class OK, PO, 11/16/2037 |
100 | 94 | ||||||
Series 2007-73, Class MI, IF, IO, 5.90%, 11/20/2037 (h) |
200 | 25 | ||||||
Series 2007-76, Class SA, IF, IO, 6.43%, 11/20/2037 (h) |
393 | 52 | ||||||
Series 2007-72, Class US, IF, IO, 6.45%, 11/20/2037 (h) |
191 | 25 | ||||||
Series 2007-79, Class SY, IF, IO, 6.45%, 12/20/2037 (h) |
176 | 25 | ||||||
Series 2008-2, Class NS, IF, IO, 6.44%, 1/16/2038 (h) |
346 | 47 | ||||||
Series 2008-2, Class MS, IF, IO, 7.06%, 1/16/2038 (h) |
104 | 19 | ||||||
Series 2008-10, Class S, IF, IO, 5.73%, 2/20/2038 (h) |
213 | 27 | ||||||
Series 2008-36, Class SH, IF, IO, 6.20%, 4/20/2038 (h) |
294 | 1 | ||||||
Series 2008-40, Class SA, IF, IO, 6.30%, 5/16/2038 (h) |
1,831 | 331 | ||||||
Series 2008-55, Class SA, IF, IO, 6.10%, 6/20/2038 (h) |
160 | 26 | ||||||
Series 2008-71, Class SC, IF, IO, 5.90%, 8/20/2038 (h) |
77 | 11 | ||||||
Series 2009-25, Class SE, IF, IO, 7.50%, 9/20/2038 (h) |
139 | 22 | ||||||
Series 2008-93, Class AS, IF, IO, 5.60%, 12/20/2038 (h) |
208 | 27 | ||||||
Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038 |
62 | 2 | ||||||
Series 2009-6, Class SA, IF, IO, 6.00%, 2/16/2039 (h) |
209 | 21 | ||||||
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 |
459 | 65 | ||||||
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 |
201 | 36 | ||||||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
193 | 43 | ||||||
Series 2009-22, Class SA, IF, IO, 6.17%, 4/20/2039 (h) |
433 | 69 | ||||||
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 |
100 | 14 | ||||||
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 |
107 | 19 | ||||||
Series 2009-43, Class SA, IF, IO, 5.85%, 6/20/2039 (h) |
190 | 25 | ||||||
Series 2009-72, Class SM, IF, IO, 6.15%, 8/16/2039 (h) |
432 | 65 | ||||||
Series 2010-31, Class NO, PO, 3/20/2040 |
738 | 693 | ||||||
Series 2013-75, Class WA, 5.14%, 6/20/2040 (h) |
931 | 1,064 | ||||||
Series 2010-130, Class CP, 7.00%, 10/16/2040 |
120 | 144 | ||||||
Series 2010-157, Class OP, PO, 12/20/2040 |
773 | 727 | ||||||
Series 2011-75, Class SM, IF, IO, 6.50%, 5/20/2041 (h) |
576 | 80 | ||||||
Series 2014-188, Class W, 4.60%, 10/20/2041 (h) |
394 | 440 | ||||||
Series 2012-141, Class WC, 3.67%, 1/20/2042 (h) |
241 | 265 | ||||||
Series 2013-54, Class WA, 4.84%, 11/20/2042 (h) |
1,435 | 1,636 | ||||||
Series 2013-91, Class WA, 4.48%, 4/20/2043 (h) |
676 | 749 | ||||||
Series 2013-116, Class JY, 4.00%, 8/16/2043 |
1,300 | 1,498 | ||||||
Series 2018-160, Class PA, 3.50%, 7/20/2046 |
3,409 | 3,544 | ||||||
Series 2012-H24, Class FG, 0.54%, 4/20/2060 (h) |
9 | 9 | ||||||
Series 2013-H03, Class FA, 0.41%, 8/20/2060 (h) |
1 | 1 | ||||||
Series 2012-H21, Class CF, 0.81%, 5/20/2061 (h) |
11 | 11 | ||||||
Series 2013-H05, Class FB, 0.51%, 2/20/2062 (h) |
67 | 67 | ||||||
Series 2012-H15, Class FA, 0.56%, 5/20/2062 (h) |
| (j) | | (j) | ||||
Series 2012-H26, Class MA, 0.66%, 7/20/2062 (h) |
3 | 3 | ||||||
Series 2012-H28, Class FA, 0.69%, 9/20/2062 (h) |
9 | 9 | ||||||
Series 2012-H29, Class FA, 0.62%, 10/20/2062 (h) |
688 | 691 | ||||||
Series 2012-H31, Class FD, 0.45%, 12/20/2062 (h) |
903 | 905 | ||||||
Series 2013-H01, Class FA, 1.65%, 1/20/2063 |
89 | 89 | ||||||
Series 2013-H08, Class FC, 0.56%, 2/20/2063 (h) |
806 | 809 | ||||||
Series 2013-H04, Class BA, 1.65%, 2/20/2063 |
37 | 38 | ||||||
Series 2013-H07, Class HA, 0.52%, 3/20/2063 (h) |
810 | 813 | ||||||
Series 2013-H09, Class HA, 1.65%, 4/20/2063 |
67 | 68 | ||||||
Series 2013-H18, Class JA, 0.71%, 8/20/2063 (h) |
1,487 | 1,497 | ||||||
Series 2014-H01, Class FD, 0.76%, 1/20/2064 (h) |
1,075 | 1,084 | ||||||
Series 2014-H09, Class TA, 0.71%, 4/20/2064 (h) |
1,097 | 1,104 | ||||||
Series 2015-H15, Class FD, 0.55%, 6/20/2065 (h) |
1,409 | 1,417 | ||||||
Series 2015-H15, Class FJ, 0.55%, 6/20/2065 (h) |
3,131 | 3,147 | ||||||
Series 2015-H16, Class FG, 0.55%, 7/20/2065 (h) |
2,036 | 2,047 | ||||||
Series 2015-H23, Class FB, 0.63%, 9/20/2065 (h) |
2,093 | 2,110 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2015-H32, Class FH, 0.77%, 12/20/2065 (h) |
1,579 | 1,600 | ||||||
Series 2017-H08, Class XI, IO, 2.18%, 3/20/2067 (h) |
7,240 | 691 | ||||||
GSMPS Mortgage Loan Trust |
||||||||
Series 2001-2, Class A, 7.50%, 6/19/2032 (a) (h) |
383 | 384 | ||||||
Series 2005-RP3, Class 1AF, 0.44%, 9/25/2035 (a) (h) |
649 | 555 | ||||||
Series 2005-RP3, Class 1AS, IO, 4.25%, 9/25/2035 (a) (h) |
491 | 57 | ||||||
Series 2006-RP2, Class 1AS2, IF, IO, 5.95%, 4/25/2036 (a) (h) |
2,017 | 299 | ||||||
GSR Mortgage Loan Trust |
||||||||
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 |
119 | 129 | ||||||
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 |
73 | 75 | ||||||
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 |
210 | 219 | ||||||
Series 2005-4F, Class AP, PO, 5/25/2035 |
3 | 3 | ||||||
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 |
394 | 410 | ||||||
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 |
919 | 659 | ||||||
Headlands Residential LLC Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (a) (f) |
4,600 | 4,620 | ||||||
Impac CMB Trust |
||||||||
Series 2004-7, Class 1A1, 0.83%, 11/25/2034 (h) |
647 | 654 | ||||||
Series 2005-4, Class 2A1, 0.69%, 5/25/2035 (h) |
102 | 102 | ||||||
Impac Secured Assets Trust Series 2006-1, Class 2A1, 0.79%, 5/25/2036 (h) |
67 | 67 | ||||||
JPMorgan Mortgage Trust |
||||||||
Series 2006-A2, Class 5A3, 2.52%, 11/25/2033 (h) |
232 | 233 | ||||||
Series 2006-A2, Class 4A1, 2.74%, 8/25/2034 (h) |
188 | 197 | ||||||
Series 2006-A3, Class 6A1, 2.91%, 8/25/2034 (h) |
54 | 55 | ||||||
Lehman Mortgage Trust |
||||||||
Series 2006-2, Class 1A1, 5.95%, 4/25/2036 (h) |
220 | 184 | ||||||
Series 2008-2, Class 1A6, 6.00%, 3/25/2038 |
498 | 268 | ||||||
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (h) |
2,075 | 2,080 | ||||||
MASTR Adjustable Rate Mortgages Trust |
||||||||
Series 2004-13, Class 2A1, 2.70%, 4/21/2034 (h) |
111 | 112 | ||||||
Series 2004-4, Class 2A1, 2.22%, 5/25/2034 (h) |
31 | 31 | ||||||
Series 2004-13, Class 3A7, 2.97%, 11/21/2034 (h) |
271 | 273 | ||||||
Series 2004-15, Class 3A1, 2.62%, 12/25/2034 (h) |
52 | 51 | ||||||
MASTR Alternative Loan Trust |
||||||||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
3 | 3 | ||||||
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 |
2 | 3 | ||||||
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
124 | 126 | ||||||
Series 2003-3, Class 1A1, 6.50%, 5/25/2033 |
101 | 104 | ||||||
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
225 | 233 | ||||||
Series 2004-3, Class 2A1, 6.25%, 4/25/2034 |
175 | 177 | ||||||
Series 2004-6, Class 30, PO, 7/25/2034 |
155 | 130 | ||||||
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 |
269 | 280 | ||||||
Series 2004-7, Class 30, PO, 8/25/2034 |
76 | 64 | ||||||
MASTR Asset Securitization Trust |
||||||||
Series 2004-6, Class 15, PO, 7/25/2019 |
| (j) | | (j) | ||||
Series 2003-12, Class 30, PO, 12/25/2033 |
11 | 11 | ||||||
Series 2004-1, Class 30, PO, 2/25/2034 |
9 | 7 | ||||||
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 0.44%, 5/25/2035 (a) (h) |
1,362 | 739 | ||||||
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (a) |
85 | 71 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
Series 2003-E, Class A1, 0.71%, 10/25/2028 (h) |
58 | 58 | ||||||
Series 2003-F, Class A1, 0.73%, 10/25/2028 (h) |
500 | 504 | ||||||
Series 2004-A, Class A1, 0.55%, 4/25/2029 (h) |
103 | 102 | ||||||
Series 2004-1, Class 2A1, 2.12%, 12/25/2034 (h) |
158 | 161 | ||||||
MRA Issuance Trust |
||||||||
Series 2021-EBO5, Class A1X, 1.84%, 2/16/2022 (a) (h) |
6,700 | 6,700 | ||||||
Series 2021-EBO2, Class A, 0.00%, 12/31/2049 (a) (h) |
6,500 | 6,500 | ||||||
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (h) |
208 | 206 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
||||||||
Series 2003-A1, Class A5, 7.00%, 4/25/2033 |
34 | 35 | ||||||
Series 2003-A1, Class A1, 5.50%, 5/25/2033 |
10 | 10 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
38 | 38 | ||||||
P -stla 7.25%, 10/11/2026 |
2,600 | 2,600 | ||||||
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (f) |
5,265 | 5,271 | ||||||
PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (a) (h) |
4,035 | 4,047 | ||||||
RALI Trust |
||||||||
Series 2002-QS16, Class A3, IF, 16.43%, 10/25/2017 (h) |
| (j) | | (j) | ||||
Series 2003-QS9, Class A3, IF, IO, 7.46%, 5/25/2018 (h) |
3 | | (j) | |||||
Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 |
| (j) | | |||||
Series 2003-QS12, Class A2A, IF, IO, 7.51%, 6/25/2018 (h) |
| (j) | | (j) | ||||
Series 2003-QS14, Class A1, 5.00%, 7/25/2018 |
6 | 5 | ||||||
Series 2004-QA6, Class NB2, 2.94%, 12/26/2034 (h) |
523 | 470 | ||||||
RBSSP Resecuritization Trust Series 2009-12, Class 1A1, 5.21%, 11/25/2033 (a) (h) |
31 | 31 | ||||||
Residential Asset Securitization Trust |
||||||||
Series 2005-A2, Class A4, IF, IO, 4.96%, 3/25/2035 (h) |
1,063 | 187 | ||||||
Series 2006-A4, Class 2A5, 6.00%, 5/25/2036 |
229 | 229 | ||||||
RFMSI Trust |
||||||||
Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 |
| (j) | | (j) | ||||
Series 2005-SA4, Class 1A1, 2.92%, 9/25/2035 (h) |
94 | 85 | ||||||
RMIP 5.60%, 8/25/2021 |
1,643 | 1,615 | ||||||
SART |
||||||||
4.75%, 7/15/2024 |
1,951 | 1,961 | ||||||
4.76%, 6/15/2025 |
2,074 | 2,084 | ||||||
Seasoned Credit Risk Transfer Trust |
||||||||
Series 2019-1, Class MT, 3.50%, 7/25/2058 |
3,485 | 3,811 | ||||||
Series 2019-3, Class MB, 3.50%, 10/25/2058 |
1,722 | 1,930 | ||||||
Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 0.76%, 10/19/2034 (h) |
238 | 234 | ||||||
Thornburg Mortgage Securities Trust |
||||||||
Series 2003-4, Class A1, 0.73%, 9/25/2043 (h) |
105 | 107 | ||||||
Series 2004-4, Class 3A, 1.94%, 12/25/2044 (h) |
233 | 232 | ||||||
Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (f) |
2,795 | 2,833 | ||||||
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (h) |
6,000 | 6,123 | ||||||
Vendee Mortgage Trust |
||||||||
Series 1994-1, Class 1, 5.15%, 2/15/2024 (h) |
69 | 72 | ||||||
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 |
98 | 104 | ||||||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
171 | 192 | ||||||
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
131 | 146 | ||||||
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
263 | 296 | ||||||
Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
312 | 348 | ||||||
Series 1999-1, Class 2Z, 6.50%, 1/15/2029 |
623 | 694 | ||||||
Series 2003-2, Class Z, 5.00%, 5/15/2033 |
2,844 | 3,214 | ||||||
vMobo, Inc. 7.50%, 5/31/2024 |
3,100 | 3,100 | ||||||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (f) |
2,613 | 2,614 | ||||||
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (f) |
6,214 | 6,188 | ||||||
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (f) |
4,440 | 4,448 | ||||||
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (f) |
3,729 | 3,729 | ||||||
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (f) |
3,833 | 3,836 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033 |
450 | 462 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
||||||||
Series 2003-AR8, Class A, 2.91%, 8/25/2033 (h) |
34 | 35 | ||||||
Series 2003-AR9, Class 1A6, 2.74%, 9/25/2033 (h) |
544 | 553 | ||||||
Series 2003-AR9, Class 2A, 2.79%, 9/25/2033 (h) |
68 | 67 | ||||||
Series 2003-S9, Class P, PO, 10/25/2033 |
18 | 16 | ||||||
Series 2003-S9, Class A8, 5.25%, 10/25/2033 |
275 | 282 | ||||||
Series 2004-AR3, Class A1, 2.60%, 6/25/2034 (h) |
40 | 41 | ||||||
Series 2004-AR3, Class A2, 2.60%, 6/25/2034 (h) |
33 | 34 | ||||||
Series 2006-AR10, Class 2P, 3.07%, 9/25/2036 (h) |
60 | 48 | ||||||
Series 2006-AR12, Class 2P, 2.64%, 10/25/2036 (h) |
56 | 56 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |
||||||||
Series 2005-2, Class 2A3, IF, IO, 4.91%, 4/25/2035 (h) |
655 | 93 | ||||||
Series 2005-2, Class 1A4, IF, IO, 4.96%, 4/25/2035 (h) |
2,720 | 357 | ||||||
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 |
810 | 138 | ||||||
Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
869 | 875 | ||||||
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 |
736 | 126 | ||||||
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 |
156 | 154 | ||||||
Series 2005-6, Class 2A9, 5.50%, 8/25/2035 |
999 | 991 | ||||||
Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 |
162 | 161 | ||||||
|
|
|||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $282,299) |
|
298,498 | ||||||
|
|
|||||||
ASSET-BACKED SECURITIES 9.6% |
||||||||
Academic Loan Funding Trust Series 2013-1A, Class A, 0.89%, 12/26/2044 (a) (h) |
813 | 810 | ||||||
ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (a) |
629 | 633 | ||||||
Air Canada Pass-Through Trust (Canada) |
||||||||
Series 2013-1, Class A, 4.13%, 5/15/2025 (a) |
540 | 552 | ||||||
Series 2015-2, Class AA, 3.75%, 12/15/2027 (a) |
211 | 218 | ||||||
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) |
428 | 432 | ||||||
Series 2017-1, Class A, 3.55%, 1/15/2030 (a) |
606 | 589 | ||||||
American Airlines Pass-Through Trust |
||||||||
Series 2016-3, Class AA, 3.00%, 10/15/2028 |
326 | 332 | ||||||
Series 2017-1, Class AA, 3.65%, 2/15/2029 |
455 | 465 | ||||||
American Homes 4 Rent |
||||||||
Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (a) |
3,772 | 4,037 | ||||||
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (a) |
1,275 | 1,404 | ||||||
American Homes 4 Rent Trust |
||||||||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (a) |
3,541 | 3,819 | ||||||
Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (a) |
2,000 | 2,160 | ||||||
Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (a) |
850 | 928 | ||||||
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (a) |
2,648 | 2,848 | ||||||
Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (a) |
500 | 540 | ||||||
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (a) |
2,380 | 2,620 | ||||||
American Tower Trust #1 3.07%, 3/15/2023 (a) |
750 | 756 | ||||||
AMSR Trust |
||||||||
Series 2020-SFR2, Class C, 2.53%, 7/17/2037 (a) |
3,500 | 3,566 | ||||||
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 (a) |
4,000 | 3,996 | ||||||
British Airways Pass-Through Trust (United Kingdom) |
||||||||
Series 2018-1, Class AA, 3.80%, 9/20/2031 (a) |
528 | 555 | ||||||
Series 2018-1, Class A, 4.13%, 9/20/2031 (a) |
847 | 857 | ||||||
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a) |
679 | 689 | ||||||
Business Jet Securities LLC |
||||||||
Series 2019-1, Class A, 4.21%, 7/15/2034 (a) |
1,385 | 1,416 | ||||||
Series 2019-1, Class B, 5.19%, 7/15/2034 (a) |
2,893 | 2,916 | ||||||
Series 2020-1A, Class A, 2.98%, 11/15/2035 (a) |
1,161 | 1,185 | ||||||
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) |
2,282 | 2,291 | ||||||
Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 |
4,805 | 4,931 | ||||||
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a) |
803 | 828 | ||||||
Carvana Auto Receivables Trust |
||||||||
Series 2019-4A, Class A3, 2.30%, 9/15/2023 (a) |
678 | 681 | ||||||
Series 2019-2A, Class C, 3.00%, 6/17/2024 (a) |
4,675 | 4,783 | ||||||
Series 2019-3A, Class C, 2.71%, 10/15/2024 (a) |
5,240 | 5,363 | ||||||
Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 (f) |
339 | 357 | ||||||
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 |
800 | 1,100 | ||||||
Continental Airlines Pass-Through Trust Series 2007-1, Class A, 5.98%, 4/19/2022 |
179 | 184 | ||||||
Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (a) |
2,070 | 2,093 | ||||||
CoreVest American Finance Trust |
||||||||
Series 2019-2, Class D, 4.22%, 6/15/2052 (a) |
2,000 | 2,139 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series 2020-3, Class B, 2.20%, 8/15/2053 (a) |
2,855 | 2,740 | ||||||
CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (a) |
2,964 | 3,040 | ||||||
Credit Acceptance Auto Loan Trust |
||||||||
Series 2018-3A, Class B, 3.89%, 10/15/2027 (a) |
2,097 | 2,117 | ||||||
Series 2021-2A, Class C, 1.64%, 6/17/2030 (a) |
7,280 | 7,317 | ||||||
Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (a) |
2,778 | 2,820 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 0.99%, 10/25/2034 (h) |
71 | 70 | ||||||
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) |
2,700 | 2,729 | ||||||
Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 |
251 | 271 | ||||||
Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (a) |
3,055 | 3,168 | ||||||
Drive Auto Receivables Trust |
||||||||
Series 2017-1, Class D, 3.84%, 3/15/2023 |
467 | 470 | ||||||
Series 2017-3, Class D, 3.53%, 12/15/2023 (a) |
1,365 | 1,379 | ||||||
Series 2019-4, Class C, 2.51%, 11/17/2025 |
1,960 | 1,993 | ||||||
Exeter Automobile Receivables Trust |
||||||||
Series 2019-4A, Class C, 2.44%, 9/16/2024 (a) |
2,170 | 2,202 | ||||||
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) |
3,540 | 3,662 | ||||||
FirstKey Homes Trust Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) |
3,000 | 3,057 | ||||||
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 |
4,847 | 5,284 | ||||||
Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (a) |
804 | 831 | ||||||
FREED ABS Trust Series 2019-2, Class A, 2.62%, 11/18/2026 (a) |
201 | 202 | ||||||
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (h) |
57 | 52 | ||||||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a) |
153 | 155 | ||||||
Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (a) |
2,043 | 2,086 | ||||||
Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (a) |
431 | 458 | ||||||
HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (a) |
493 | 469 | ||||||
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a) |
1,308 | 1,387 | ||||||
HERO Funding Trust (Cayman Islands) |
||||||||
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a) |
563 | 582 | ||||||
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a) |
1,295 | 1,366 | ||||||
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (a) |
128 | 131 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series 2006-A, Class A3, 0.49%, 3/25/2036 (h) |
19 | 19 | ||||||
KGS-Alpha SBA COOF Trust |
||||||||
Series 2012-2, Class A, IO, 0.98%, 8/25/2038 (a) (h) |
2,362 | 49 | ||||||
Series 2013-2, Class A, IO, 1.78%, 3/25/2039 (a) (h) |
2,261 | 91 | ||||||
Series 2015-2, Class A, IO, 3.03%, 7/25/2041 (a) (h) |
844 | 96 | ||||||
Lendmark Funding Trust Series 2019-1A, Class B, 3.40%, 12/20/2027 (a) |
3,319 | 3,412 | ||||||
LP LMS Asset Securitization Trust 3.23%, 10/15/2028 |
4,946 | 4,948 | ||||||
LV Tower 52 Issuer |
||||||||
Series 2013-1, Class A, 5.75%, 7/15/2019 (a) |
2,361 | 2,381 | ||||||
Series 2013-1, Class M, 7.75%, 7/15/2019 (a) |
869 | 877 | ||||||
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (a) |
2,330 | 2,339 | ||||||
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (a) |
541 | 576 | ||||||
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 (a) |
2,870 | 2,923 | ||||||
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.93%, 11/25/2033 (f) |
296 | 303 | ||||||
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) |
1,806 | 1,828 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (a) |
1,863 | 1,887 | ||||||
Oportun Funding X LLC Series 2018-C, Class A, 4.10%, 10/8/2024 (a) |
5,756 | 5,777 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (a) |
3,010 | 3,090 | ||||||
Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (a) |
7,650 | 7,665 | ||||||
Progress Residential Trust |
||||||||
Series 2020-SFR3, Class C, 1.70%, 10/17/2027 (a) |
3,250 | 3,232 | ||||||
Series 2019-SFR4, Class D, 3.14%, 10/17/2036 (a) |
5,000 | 5,087 | ||||||
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (f) |
287 | 109 | ||||||
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (a) |
554 | 592 | ||||||
Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (a) |
3,955 | 4,047 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 (f) |
171 | 173 | ||||||
Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 (a) |
1,628 | 1,675 | ||||||
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
334 | 335 | ||||||
Spruce ABS Trust Series 2016-E1, Class A, 4.32%, 6/15/2028 (a) |
8 | 8 | ||||||
Synchrony Card Funding LLC |
||||||||
Series 2019-A1, Class A, 2.95%, 3/15/2025 |
4,681 | 4,785 | ||||||
Series 2019-A2, Class A, 2.34%, 6/15/2025 |
5,000 | 5,114 | ||||||
Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024 |
2,600 | 2,624 | ||||||
Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (a) |
2,506 | 2,510 | ||||||
United Airlines Pass-Through Trust |
||||||||
Series 2016-2, Class B, 3.65%, 10/7/2025 |
1,050 | 1,041 | ||||||
Series 2018-1, Class B, 4.60%, 3/1/2026 |
176 | 179 | ||||||
Series 2016-1, Class A, 3.45%, 7/7/2028 |
640 | 660 | ||||||
Series 2016-2, Class A, 3.10%, 10/7/2028 |
1,088 | 1,100 | ||||||
Series 2018-1, Class AA, 3.50%, 3/1/2030 |
966 | 1,008 | ||||||
Series 2018-1, Class A, 3.70%, 3/1/2030 |
1,497 | 1,525 | ||||||
Series 2019-1, Class AA, 4.15%, 8/25/2031 |
944 | 1,019 | ||||||
Series 2019-1, Class A, 4.55%, 8/25/2031 |
843 | 899 | ||||||
Series 2019-2, Class AA, 2.70%, 5/1/2032 |
1,263 | 1,254 | ||||||
Upstart Securitization Trust Series 2020-1, Class A, 2.32%, 4/22/2030 (a) |
2,114 | 2,130 | ||||||
Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023 |
859 | 868 | ||||||
Westgate Resorts LLC Series 2017-1A, Class A, 3.05%, 12/20/2030 (a) |
277 | 277 | ||||||
Westlake Automobile Receivables Trust Series 2019-2A, Class D, 3.20%, 11/15/2024 (a) |
2,500 | 2,585 | ||||||
World Financial Network Credit Card Master Trust Series 2019-A, Class A, 3.14%, 12/15/2025 |
2,245 | 2,292 | ||||||
World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023 |
2,120 | 2,138 | ||||||
|
|
|||||||
TOTAL ASSET-BACKED SECURITIES (Cost $196,721) |
|
200,638 | ||||||
|
|
|||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 3.7% |
||||||||
BAMLL Commercial Mortgage Securities Trust |
||||||||
Series 2012-PARK, Class A, 2.96%, 12/10/2030 (a) |
560 | 579 | ||||||
Series 2014-520M, Class C, 4.21%, 8/15/2046 (a) (h) |
1,300 | 1,365 | ||||||
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a) |
4,400 | 4,683 | ||||||
Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 (a) (h) |
12 | | (j) | |||||
Commercial Mortgage Trust |
||||||||
Series 2013-300P, Class A1, 4.35%, 8/10/2030 (a) |
3,500 | 3,723 | ||||||
Series 2013-SFS, Class A2, 2.99%, 4/12/2035 (a) (h) |
1,060 | 1,086 | ||||||
Series 2012-CR2, Class XA, IO, 1.62%, 8/15/2045 (h) |
2,268 | 25 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates |
||||||||
Series KJ09, Class A2, 2.84%, 9/25/2022 |
894 | 914 | ||||||
Series KS01, Class A2, 2.52%, 1/25/2023 |
811 | 829 | ||||||
Series KPLB, Class A, 2.77%, 5/25/2025 |
353 | 380 | ||||||
Series K052, Class A2, 3.15%, 11/25/2025 |
3,560 | 3,900 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
Series K065, Class A2, 3.24%, 4/25/2027 |
2,467 | 2,753 | ||||||
Series K065, Class AM, 3.33%, 5/25/2027 |
1,322 | 1,479 | ||||||
Series K070, Class A2, 3.30%, 11/25/2027 (h) |
1,748 | 1,963 | ||||||
FNMA ACES |
||||||||
Series 2014-M3, Class A2, 3.49%, 1/25/2024 (h) |
1,493 | 1,594 | ||||||
Series 2017-M3, Class A2, 2.48%, 12/25/2026 (h) |
1,181 | 1,265 | ||||||
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h) |
8,495 | 9,340 | ||||||
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h) |
3,815 | 4,199 | ||||||
Series 2018-M8, Class A2, 3.32%, 6/25/2028 (h) |
2,580 | 2,911 | ||||||
Series 2018-M10, Class A2, 3.37%, 7/25/2028 (h) |
3,335 | 3,756 | ||||||
Series 2017-M5, Class A2, 3.16%, 4/25/2029 (h) |
3,376 | 3,776 | ||||||
Series 2020-M50, Class A1, 0.67%, 10/25/2030 |
3,843 | 3,776 | ||||||
Series 2020-M50, Class A2, 1.20%, 10/25/2030 |
1,325 | 1,309 | ||||||
Series 2020-M50, Class X1, IO, 1.92%, 10/25/2030 (h) |
22,423 | 2,531 | ||||||
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 |
901 | 894 | ||||||
Series 2021-M3, Class X1, IO, 2.01%, 11/25/2033 (h) |
4,006 | 553 | ||||||
FREMF Mortgage Trust Series 2014-K39, Class C, 4.15%, 8/25/2047 (a) (h) |
4,650 | 5,051 | ||||||
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (a) |
998 | 1,117 | ||||||
LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.51%, 11/15/2038 (a) (h) |
1,164 | | (j) | |||||
ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 1.18%, 12/12/2049 (a) (h) |
19 | | (j) | |||||
Morgan Stanley Capital I Trust |
||||||||
Series 2006-IQ12, Class X1, IO, 0.29%, 12/15/2043 (a) (h) |
313 | | (j) | |||||
Series 2007-HQ11, Class X, IO, 0.49%, 2/12/2044 (a) (h) |
233 | | (j) | |||||
MRCD MARK Mortgage Trust |
||||||||
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) |
2,050 | 2,145 | ||||||
Series 2019-PARK, Class D, 2.72%, 12/15/2036 (a) |
2,685 | 2,711 | ||||||
RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (a) |
664 | 681 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) |
2,236 | 2,254 | ||||||
UBS-Barclays Commercial Mortgage Trust |
||||||||
Series 2013-C6, Class A4, 3.24%, 4/10/2046 |
857 | 891 | ||||||
Series 2012-C2, Class XA, IO, 1.28%, 5/10/2063 (a) (h) |
6,729 | 69 | ||||||
VNDO Mortgage Trust Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (a) |
1,398 | 1,440 | ||||||
WFRBS Commercial Mortgage Trust |
||||||||
Series 2013-C11, Class D, 4.24%, 3/15/2045 (a) (h) |
400 | 393 | ||||||
Series 2012-C6, Class A4, 3.44%, 4/15/2045 |
501 | 503 | ||||||
|
|
|||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $72,363) |
|
76,838 | ||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY SECURITIES 0.8% |
||||||||
Tennessee Valley Authority |
||||||||
5.88%, 4/1/2036 |
6,839 | 10,019 | ||||||
4.63%, 9/15/2060 |
304 | 426 | ||||||
Tennessee Valley Authority STRIPS |
||||||||
DN, 3.80%, 11/1/2025 (g) |
5,000 | 4,829 | ||||||
DN, 5.12%, 6/15/2035 (g) |
800 | 575 | ||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $13,890) |
|
15,849 | ||||||
|
|
|||||||
FOREIGN GOVERNMENT SECURITIES 0.6% |
||||||||
Kingdom of Saudi Arabia (Saudi Arabia) |
||||||||
2.25%, 2/2/2033 (a) |
622 | 595 | ||||||
3.45%, 2/2/2061 (a) |
550 | 529 | ||||||
Province of Quebec (Canada) 7.36%, 3/6/2026 (f) |
377 | 482 | ||||||
Republic of Chile (Chile) 2.55%, 1/27/2032 |
497 | 500 | ||||||
Republic of Colombia (Colombia) |
||||||||
4.00%, 2/26/2024 |
922 | 978 | ||||||
4.50%, 1/28/2026 |
581 | 633 | ||||||
7.38%, 9/18/2037 |
200 | 258 | ||||||
5.63%, 2/26/2044 |
200 | 220 | ||||||
5.00%, 6/15/2045 |
515 | 531 | ||||||
Republic of Panama (Panama) 4.50%, 4/16/2050 |
325 | 360 | ||||||
Republic of Peru (Peru) 5.63%, 11/18/2050 |
88 | 115 | ||||||
Republic of South Africa (South Africa) 5.88%, 9/16/2025 |
640 | 723 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) | ||||||
United Mexican States (Mexico) |
||||||||
3.60%, 1/30/2025 |
788 | 871 | ||||||
4.13%, 1/21/2026 |
316 | 358 | ||||||
3.75%, 1/11/2028 |
1,216 | 1,329 | ||||||
2.66%, 5/24/2031 |
1,075 | 1,046 | ||||||
4.60%, 1/23/2046 |
2,113 | 2,246 | ||||||
3.77%, 5/24/2061 |
772 | 707 | ||||||
|
|
|||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $12,053) |
|
12,481 | ||||||
|
|
|||||||
MUNICIPAL BONDS 0.6%(l) |
||||||||
California 0.1% |
||||||||
City of Los Angeles Department of Airports, International Airport Subordinate Series 2009C, Rev., 6.58%, 5/15/2039 |
440 | 578 | ||||||
State of California, Various Purpose, Build America Bonds GO, 7.30%, 10/1/2039 |
350 | 544 | ||||||
|
|
|||||||
Total California |
1,122 | |||||||
|
|
|||||||
New York 0.3% |
||||||||
New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040 |
360 | 475 | ||||||
Port Authority of New York & New Jersey |
||||||||
Series 164, Rev., 5.65%, 11/1/2040 |
1,825 | 2,498 | ||||||
Series 165, Rev., 5.65%, 11/1/2040 |
440 | 602 | ||||||
Series 174, Rev., 4.46%, 10/1/2062 |
2,060 | 2,605 | ||||||
|
|
|||||||
Total New York |
6,180 | |||||||
|
|
|||||||
Ohio 0.2% |
||||||||
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 |
1,315 | 2,131 | ||||||
Ohio State University (The), General Receipts |
||||||||
Series 2016A, Rev., 4.05%, 12/1/2056 |
325 | 401 | ||||||
Series 2011-A, Rev., 4.80%, 6/1/2111 |
1,563 | 2,103 | ||||||
Rev., 5.59%, 12/1/2114 |
200 | 262 | ||||||
|
|
|||||||
Total Ohio |
4,897 | |||||||
|
|
|||||||
TOTAL MUNICIPAL BONDS (Cost $9,150) |
|
12,199 | ||||||
|
|
|||||||
Shares (000) |
||||||||
SHORT-TERM INVESTMENTS 4.3% |
||||||||
INVESTMENT COMPANIES 4.3% |
||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (m) (n) (Cost $88,465) |
88,432 | 88,477 | ||||||
|
|
|||||||
Total Investments 103.3% (Cost $2,068,481) |
|
2,148,130 | ||||||
Liabilities in Excess of Other Assets (3.3)% |
|
(67,864 | ) | |||||
|
|
|||||||
Net Assets 100.0% |
|
2,080,266 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Abbreviations | ||
ABS |
Asset-Backed Securities | |
ACES |
Alternative Credit Enhancement Securities | |
ARM |
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2021. | |
CSMC |
Credit Suisse Mortgage Trust | |
DN |
Discount Notes | |
FHLMC |
Federal Home Loan Mortgage Corp. | |
FNMA |
Federal National Mortgage Association | |
GNMA |
Government National Mortgage Association | |
GO |
General Obligation | |
HB |
High Coupon Bonds (a.k.a. IOettes) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | |
ICE |
Intercontinental Exchange | |
IF |
Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index 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 May 31, 2021. 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 | |
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 |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(b) | Amount rounds to less than 0.1% of net assets. |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2021. |
(d) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of May 31, 2021. |
(e) | Security is an interest bearing note with preferred security characteristics. |
(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 May 31, 2021. |
(g) | The rate shown is the effective yield as of May 31, 2021. |
(h) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2021. |
(i) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(j) | Amount rounds to less than one thousand. |
(k) | Defaulted security. |
(l) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
(m) | 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. |
(n) | The rate shown is the current yield as of May 31, 2021. |
| Value determined using significant unobservable inputs. |
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
(Dollar values in thousands)
A. Valuation of Investments Investments are valued in accordance with U.S. generally accepted accounting principles (GAAP) and the Funds valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the Board), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
J.P. Morgan Investment Management Inc. (the Administrator) has established the J.P. Morgan Asset Management Americas Valuation Committee (AVC) to assist the Board with the oversight and monitoring of the valuation of the Funds investments. The Administrator implements the valuation policies of the Funds investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board. A market-based approach is primarily used to value the Funds investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as Pricing Services) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Investments in open-end investment companies (Underlying Funds) are valued at each Underlying Funds net asset values per share as of the report date.
See the table on Quantitative Information about Level 3 Fair Value Measurements for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at May 31, 2021.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
|
|||||||||||||||
Asset-Backed Securities |
$ | | $ | 149,697 | $ | 50,941 | $ | 200,638 | ||||||||
Collateralized Mortgage Obligations |
| 271,423 | 27,075 | 298,498 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 72,275 | 4,563 | 76,838 | ||||||||||||
Corporate Bonds |
| 635,736 | | 635,736 | ||||||||||||
Foreign Government Securities |
| 12,481 | | 12,481 | ||||||||||||
Mortgage-Backed Securities |
| 361,981 | | 361,981 | ||||||||||||
Municipal Bonds |
| 12,199 | | 12,199 | ||||||||||||
U.S. Government Agency Securities |
| 15,849 | | 15,849 | ||||||||||||
U.S. Treasury Obligations |
| 445,433 | | 445,433 | ||||||||||||
Short-Term Investments |
||||||||||||||||
Investment Companies |
88,477 | | | 88,477 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 88,477 | $ | 1,977,074 | $ | 82,579 | $ | 2,148,130 | ||||||||
|
|
|
|
|
|
|
|
JPMorgan Core Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
(Dollar values in thousands)
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of February 28, 2021 |
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 May 31, 2021 |
||||||||||||||||||||||||||||
Investments in Securities: |
||||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 58,045 | $ | | $ | (158 | ) | $ | (19 | ) | $ | | $ | (6,927 | ) | $ | | $ | | $ | 50,941 | |||||||||||||||
Collateralized Mortgage Obligations |
32,493 | | (124 | ) | (231 | ) | 1,937 | (7,000 | ) | | | 27,075 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
4,574 | | 17 | (29 | ) | 1 | | (a) | | | 4,563 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 95,112 | $ | | $ | (265 | ) | $ | (279 | ) | $ | 1,938 | $ | (13,927 | ) | $ | | $ | | $ | 82,579 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at May 31, 2021, which were valued using significant unobservable inputs (level 3), amounted to $(245).
The significant unobservable inputs used in the fair value measurement of the Funds investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at May 31, 2021 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) (a) | |||||||||
$ | 42,517 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 30.00% (4.31%) | ||||||||
Constant Default Rate |
0.00% - 4.92% (0.11%) | |||||||||||
Yield (Discount Rate of Cash Flows) |
0.75% - 5.00% (2.47%) | |||||||||||
|
|
|||||||||||
Asset-Backed Securities |
42,517 | |||||||||||
|
|
|||||||||||
9,497 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 100.00% (64.46%) | |||||||||
Constant Default Rate |
0.00% - 4.45% (0.86%) | |||||||||||
Yield (Discount Rate of Cash Flows) |
1.27% - 24.89% (6.48%) | |||||||||||
|
|
|||||||||||
Collateralized Mortgage Obligations |
9,497 | |||||||||||
|
|
|||||||||||
4,563 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 100.00% (2.00%) | |||||||||
Yield (Discount Rate of Cash Flows) |
-1.09% - 7.75% (3.04%) | |||||||||||
|
|
|||||||||||
Commercial Mortgage-Backed Securities |
4,563 | |||||||||||
|
|
|||||||||||
Total |
$ | 56,577 | ||||||||||
|
|
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2021, the value of these investments was $26,002. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Investment Transactions with Affiliates The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Funds distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below. Amounts in the table below are in thousands.
For the period ended May 31, 2021 |
||||||||||||||||||||||||||||||||||||
Security Description |
Value at February 28, 2021 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at May 31, 2021 |
Shares at May 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 108,295 | $ | 115,902 | $ | 135,720 | $ | (2 | ) | $ | 2 | $ | 88,477 | 88,432 | $ | 19 | $ | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 May 31, 2021. |