JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CORPORATE BONDS 31.6% |
| |||||||
Aerospace & Defense 1.2% |
| |||||||
Airbus Finance BV (France) 2.70%, 4/17/2023 (a) |
43 | 45 | ||||||
Boeing Co. (The) |
||||||||
1.43%, 2/4/2024 |
70 | 70 | ||||||
4.88%, 5/1/2025 |
54 | 61 | ||||||
2.20%, 2/4/2026 |
86 | 86 | ||||||
3.10%, 5/1/2026 |
250 | 266 | ||||||
L3Harris Technologies, Inc. 3.85%, 12/15/2026 |
70 | 78 | ||||||
Leidos, Inc. 2.30%, 2/15/2031 (a) |
100 | 96 | ||||||
Lockheed Martin Corp. 3.10%, 1/15/2023 |
174 | 181 | ||||||
Northrop Grumman Corp. 2.93%, 1/15/2025 |
150 | 160 | ||||||
Raytheon Technologies Corp. 4.13%, 11/16/2028 |
100 | 114 | ||||||
Textron, Inc. 3.00%, 6/1/2030 |
100 | 104 | ||||||
|
|
|||||||
1,261 | ||||||||
|
|
|||||||
Automobiles 0.6% |
||||||||
Daimler Finance North America LLC (Germany) 2.13%, 3/10/2025 (a) |
150 | 155 | ||||||
General Motors Co. 6.13%, 10/1/2025 |
50 | 59 | ||||||
Hyundai Capital America 2.85%, 11/1/2022 (a) |
200 | 206 | ||||||
Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (a) |
200 | 219 | ||||||
|
|
|||||||
639 | ||||||||
|
|
|||||||
Banks 4.6% |
||||||||
Bank of America Corp. |
||||||||
3.30%, 1/11/2023 |
90 | 94 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (b) |
42 | 44 | ||||||
Series L, 3.95%, 4/21/2025 |
154 | 170 | ||||||
(SOFR + 1.15%), 1.32%, 6/19/2026 (b) |
60 | 60 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (b) |
400 | 438 | ||||||
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b) |
250 | 253 | ||||||
Bank of Montreal (Canada) 2.35%, 9/11/2022 |
200 | 206 | ||||||
Bank of Nova Scotia (The) (Canada) 2.00%, 11/15/2022 |
150 | 154 | ||||||
Barclays plc (United Kingdom) 3.68%, 1/10/2023 |
100 | 102 | ||||||
Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024 |
150 | 160 | ||||||
Citigroup, Inc. |
||||||||
4.40%, 6/10/2025 |
115 | 129 | ||||||
4.45%, 9/29/2027 |
150 | 172 | ||||||
(SOFR + 1.15%), 2.67%, 1/29/2031 (b) |
350 | 356 | ||||||
Citizens Financial Group, Inc. 2.64%, 9/30/2032 (a) |
50 | 49 | ||||||
Cooperatieve Rabobank UA (Netherlands) 3.88%, 2/8/2022 |
118 | 121 | ||||||
Discover Bank 3.35%, 2/6/2023 |
250 | 262 | ||||||
Fifth Third Bancorp 2.38%, 1/28/2025 |
64 | 67 | ||||||
HSBC Holdings plc (United Kingdom) |
||||||||
(SOFR + 1.40%), 2.63%, 11/7/2025 (b) |
200 | 211 | ||||||
(SOFR + 1.29%), 1.59%, 5/24/2027 (b) |
200 | 201 | ||||||
Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027 |
250 | 277 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025 |
225 | 235 | ||||||
Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (a) |
200 | 220 | ||||||
US Bancorp Series X, 3.15%, 4/27/2027 |
68 | 74 | ||||||
Wells Fargo & Co. |
||||||||
3.00%, 2/19/2025 |
99 | 107 | ||||||
4.10%, 6/3/2026 |
21 | 24 | ||||||
4.30%, 7/22/2027 |
30 | 34 | ||||||
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b) |
250 | 276 | ||||||
Westpac Banking Corp. (Australia) 2.50%, 6/28/2022 |
300 | 307 | ||||||
|
|
|||||||
4,803 | ||||||||
|
|
|||||||
Beverages 0.5% |
||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029 |
265 | 313 | ||||||
Constellation Brands, Inc. 2.88%, 5/1/2030 |
11 | 11 | ||||||
Keurig Dr Pepper, Inc. |
||||||||
4.42%, 5/25/2025 |
75 | 85 | ||||||
4.60%, 5/25/2028 |
50 | 58 | ||||||
PepsiCo, Inc. 1.63%, 5/1/2030 |
33 | 32 | ||||||
|
|
|||||||
499 | ||||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Biotechnology 0.5% |
| |||||||
AbbVie, Inc. |
||||||||
3.45%, 3/15/2022 |
69 | 70 | ||||||
4.25%, 11/14/2028 |
100 | 115 | ||||||
Amgen, Inc. 2.20%, 2/21/2027 |
43 | 45 | ||||||
Baxalta, Inc. 3.60%, 6/23/2022 |
23 | 24 | ||||||
Biogen, Inc. |
||||||||
3.63%, 9/15/2022 |
30 | 31 | ||||||
2.25%, 5/1/2030 |
40 | 40 | ||||||
Gilead Sciences, Inc. |
||||||||
3.70%, 4/1/2024 |
36 | 39 | ||||||
3.50%, 2/1/2025 |
25 | 27 | ||||||
3.65%, 3/1/2026 |
57 | 63 | ||||||
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 |
28 | 26 | ||||||
|
|
|||||||
480 | ||||||||
|
|
|||||||
Building Products 0.0% (c) |
||||||||
Johnson Controls International plc 3.75%, 12/1/2021 |
3 | 3 | ||||||
|
|
|||||||
Capital Markets 1.8% |
||||||||
Blackstone Secured Lending Fund 3.65%, 7/14/2023 (a) |
55 | 58 | ||||||
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 |
47 | 55 | ||||||
Charles Schwab Corp. (The) |
||||||||
3.23%, 9/1/2022 |
40 | 41 | ||||||
3.20%, 1/25/2028 |
200 | 219 | ||||||
Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (b) |
150 | 149 | ||||||
Goldman Sachs Group, Inc. (The) |
||||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (b) |
249 | 275 | ||||||
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (b) |
80 | 91 | ||||||
Invesco Finance plc |
||||||||
4.00%, 1/30/2024 |
71 | 77 | ||||||
3.75%, 1/15/2026 |
125 | 139 | ||||||
Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (a) |
100 | 111 | ||||||
Morgan Stanley |
||||||||
5.50%, 7/28/2021 |
100 | 101 | ||||||
3.70%, 10/23/2024 |
83 | 91 | ||||||
(SOFR + 0.88%), 1.59%, 5/4/2027 (b) |
127 | 127 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (b) |
250 | 276 | ||||||
(SOFR + 1.03%), 1.79%, 2/13/2032 (b) |
90 | 85 | ||||||
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (b) |
17 | 19 | ||||||
|
|
|||||||
1,914 | ||||||||
|
|
|||||||
Chemicals 0.4% |
||||||||
Ecolab, Inc. 3.25%, 12/1/2027 |
43 | 48 | ||||||
International Flavors & Fragrances, Inc. |
||||||||
1.83%, 10/15/2027 (a) |
40 | 40 | ||||||
4.45%, 9/26/2028 |
9 | 10 | ||||||
LYB International Finance III LLC 2.25%, 10/1/2030 |
75 | 74 | ||||||
Mosaic Co. (The) 3.25%, 11/15/2022 |
21 | 22 | ||||||
Nutrien Ltd. (Canada) 3.38%, 3/15/2025 |
45 | 49 | ||||||
PPG Industries, Inc. 1.20%, 3/15/2026 |
37 | 37 | ||||||
Sherwin-Williams Co. (The) 3.30%, 2/1/2025 |
110 | 116 | ||||||
|
|
|||||||
396 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.2% |
||||||||
Republic Services, Inc. 3.38%, 11/15/2027 |
200 | 220 | ||||||
|
|
|||||||
Construction & Engineering 0.0% (c) |
||||||||
Quanta Services, Inc. 2.90%, 10/1/2030 |
21 | 22 | ||||||
|
|
|||||||
Construction Materials 0.1% |
||||||||
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 |
78 | 86 | ||||||
|
|
|||||||
Consumer Finance 1.3% |
||||||||
AerCap Ireland Capital DAC (Ireland) |
||||||||
3.50%, 5/26/2022 |
150 | 154 | ||||||
4.13%, 7/3/2023 |
200 | 212 | ||||||
Avolon Holdings Funding Ltd. (Ireland) |
||||||||
5.13%, 10/1/2023 (a) |
150 | 161 | ||||||
3.95%, 7/1/2024 (a) |
120 | 128 | ||||||
4.25%, 4/15/2026 (a) |
90 | 97 | ||||||
Caterpillar Financial Services Corp. 2.85%, 6/1/2022 |
58 | 60 | ||||||
General Motors Financial Co., Inc. 2.35%, 1/8/2031 |
200 | 194 | ||||||
John Deere Capital Corp. 2.65%, 6/24/2024 |
100 | 107 | ||||||
Park Aerospace Holdings Ltd. (Ireland) 5.25%, 8/15/2022 (a) |
200 | 210 | ||||||
|
|
|||||||
1,323 | ||||||||
|
|
|||||||
Containers & Packaging 0.2% |
||||||||
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) |
41 | 41 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Packaging Corp. of America 3.00%, 12/15/2029 |
100 | 106 | ||||||
WRKCo, Inc. 3.00%, 9/15/2024 |
80 | 85 | ||||||
|
|
|||||||
232 | ||||||||
|
|
|||||||
Diversified Financial Services 1.1% |
||||||||
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (a) |
10 | 10 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022 |
200 | 205 | ||||||
ORIX Corp. (Japan) 2.90%, 7/18/2022 |
81 | 83 | ||||||
Private Export Funding Corp. |
||||||||
Series EE, 2.80%, 5/15/2022 |
500 | 513 | ||||||
Series KK, 3.55%, 1/15/2024 |
200 | 217 | ||||||
Shell International Finance BV (Netherlands) 3.25%, 5/11/2025 |
100 | 109 | ||||||
|
|
|||||||
1,137 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 0.9% |
||||||||
AT&T, Inc. 7.88%, 2/15/2030 |
350 | 480 | ||||||
Qwest Corp. 6.75%, 12/1/2021 |
148 | 152 | ||||||
Verizon Communications, Inc. |
||||||||
2.10%, 3/22/2028 |
25 | 25 | ||||||
4.50%, 8/10/2033 |
208 | 245 | ||||||
|
|
|||||||
902 | ||||||||
|
|
|||||||
Electric Utilities 1.9% |
||||||||
American Electric Power Co., Inc. 2.30%, 3/1/2030 |
100 | 99 | ||||||
Baltimore Gas and Electric Co. 2.80%, 8/15/2022 |
43 | 44 | ||||||
Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027 |
200 | 217 | ||||||
DTE Electric Co. 2.65%, 6/15/2022 |
20 | 20 | ||||||
Duke Energy Corp. 3.75%, 4/15/2024 |
150 | 162 | ||||||
Duke Energy Progress LLC 2.80%, 5/15/2022 |
40 | 41 | ||||||
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a) |
51 | 49 | ||||||
Edison International 4.13%, 3/15/2028 |
150 | 159 | ||||||
Enel Finance International NV (Italy) 3.63%, 5/25/2027 (a) |
200 | 220 | ||||||
Entergy Mississippi LLC 2.85%, 6/1/2028 |
186 | 196 | ||||||
Evergy Metro, Inc. 3.15%, 3/15/2023 |
47 | 49 | ||||||
ITC Holdings Corp. 2.95%, 5/14/2030 (a) |
39 | 41 | ||||||
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 |
89 | 98 | ||||||
Niagara Mohawk Power Corp. |
||||||||
3.51%, 10/1/2024 (a) |
28 | 30 | ||||||
1.96%, 6/27/2030 (a) |
29 | 28 | ||||||
NRG Energy, Inc. 2.45%, 12/2/2027 (a) |
37 | 37 | ||||||
OGE Energy Corp. 0.70%, 5/26/2023 |
18 | 18 | ||||||
Pacific Gas and Electric Co. |
||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.53%, 11/15/2021 (b) |
81 | 81 | ||||||
4.55%, 7/1/2030 |
75 | 79 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028 (a) |
132 | 137 | ||||||
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 |
25 | 24 | ||||||
Southern California Edison Co. 1.85%, 2/1/2022 |
8 | 8 | ||||||
Southern Co. (The) 3.25%, 7/1/2026 |
167 | 182 | ||||||
Virginia Electric and Power Co. 3.45%, 2/15/2024 |
21 | 23 | ||||||
|
|
|||||||
2,042 | ||||||||
|
|
|||||||
Electrical Equipment 0.2% |
||||||||
ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022 |
41 | 42 | ||||||
Eaton Corp. 3.10%, 9/15/2027 |
140 | 153 | ||||||
|
|
|||||||
195 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% |
||||||||
Arrow Electronics, Inc. |
||||||||
4.50%, 3/1/2023 |
16 | 17 | ||||||
3.88%, 1/12/2028 |
100 | 110 | ||||||
|
|
|||||||
127 | ||||||||
|
|
|||||||
Energy Equipment & Services 0.3% |
||||||||
Baker Hughes a GE Co. LLC 2.77%, 12/15/2022 |
150 | 155 | ||||||
Halliburton Co. 3.80%, 11/15/2025 |
7 | 8 | ||||||
Schlumberger Investment SA 2.65%, 6/26/2030 |
94 | 97 | ||||||
|
|
|||||||
260 | ||||||||
|
|
|||||||
Entertainment 0.1% |
||||||||
Walt Disney Co. (The) 7.70%, 10/30/2025 |
50 | 64 | ||||||
|
|
|||||||
Equity Real Estate Investment Trusts (REITs) 1.7% |
||||||||
Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032 |
30 | 29 | ||||||
American Tower Corp. |
||||||||
3.50%, 1/31/2023 |
80 | 84 | ||||||
5.00%, 2/15/2024 |
38 | 42 | ||||||
1.50%, 1/31/2028 |
68 | 66 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
AvalonBay Communities, Inc. |
||||||||
3.35%, 5/15/2027 |
28 | 31 | ||||||
2.45%, 1/15/2031 |
100 | 100 | ||||||
Boston Properties LP 3.20%, 1/15/2025 |
152 | 163 | ||||||
Brixmor Operating Partnership LP |
||||||||
3.85%, 2/1/2025 |
50 | 54 | ||||||
2.25%, 4/1/2028 |
10 | 10 | ||||||
Crown Castle International Corp. 2.25%, 1/15/2031 |
72 | 70 | ||||||
Equinix, Inc. 2.00%, 5/15/2028 |
37 | 37 | ||||||
Essex Portfolio LP 1.65%, 1/15/2031 |
53 | 49 | ||||||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) |
52 | 56 | ||||||
Healthcare Trust of America Holdings LP |
||||||||
3.10%, 2/15/2030 |
68 | 71 | ||||||
2.00%, 3/15/2031 |
29 | 27 | ||||||
Healthpeak Properties, Inc. 3.40%, 2/1/2025 |
3 | 3 | ||||||
Life Storage LP 2.20%, 10/15/2030 |
25 | 24 | ||||||
Mid-America Apartments LP 1.70%, 2/15/2031 |
36 | 34 | ||||||
Office Properties Income Trust 2.65%, 6/15/2026 |
17 | 17 | ||||||
Realty Income Corp. |
||||||||
3.88%, 7/15/2024 |
50 | 55 | ||||||
3.65%, 1/15/2028 |
150 | 164 | ||||||
Safehold Operating Partnership LP 2.80%, 6/15/2031 |
88 | 87 | ||||||
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) |
150 | 162 | ||||||
SITE Centers Corp. 3.63%, 2/1/2025 |
12 | 13 | ||||||
UDR, Inc. 2.10%, 8/1/2032 |
48 | 45 | ||||||
Ventas Realty LP |
||||||||
3.75%, 5/1/2024 |
44 | 47 | ||||||
3.50%, 2/1/2025 |
27 | 29 | ||||||
4.13%, 1/15/2026 |
17 | 19 | ||||||
3.25%, 10/15/2026 |
45 | 50 | ||||||
Welltower, Inc. 4.50%, 1/15/2024 |
100 | 109 | ||||||
WP Carey, Inc. |
||||||||
2.40%, 2/1/2031 |
12 | 12 | ||||||
2.25%, 4/1/2033 |
100 | 94 | ||||||
|
|
|||||||
1,853 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.4% |
||||||||
7-Eleven, Inc. 1.30%, 2/10/2028 (a) |
80 | 77 | ||||||
Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030 (a) |
100 | 103 | ||||||
Costco Wholesale Corp. 1.60%, 4/20/2030 |
95 | 92 | ||||||
CVS Pass-Through Trust 5.93%, 1/10/2034 (a) |
41 | 48 | ||||||
Kroger Co. (The) 4.00%, 2/1/2024 |
90 | 98 | ||||||
|
|
|||||||
418 | ||||||||
|
|
|||||||
Food Products 0.6% |
||||||||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 |
53 | 58 | ||||||
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 |
50 | 51 | ||||||
Campbell Soup Co. |
||||||||
3.95%, 3/15/2025 |
50 | 55 | ||||||
2.38%, 4/24/2030 |
74 | 73 | ||||||
Kellogg Co. 3.40%, 11/15/2027 |
95 | 104 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 |
92 | 104 | ||||||
Mondelez International, Inc. 1.88%, 10/15/2032 |
125 | 119 | ||||||
Smithfield Foods, Inc. |
||||||||
5.20%, 4/1/2029 (a) |
7 | 8 | ||||||
3.00%, 10/15/2030 (a) |
18 | 18 | ||||||
Tyson Foods, Inc. 3.95%, 8/15/2024 |
73 | 80 | ||||||
|
|
|||||||
670 | ||||||||
|
|
|||||||
Gas Utilities 0.1% |
||||||||
Atmos Energy Corp. 2.63%, 9/15/2029 |
42 | 44 | ||||||
ONE Gas, Inc. 2.00%, 5/15/2030 |
26 | 25 | ||||||
|
|
|||||||
69 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.3% |
||||||||
Becton Dickinson and Co. 1.96%, 2/11/2031 |
150 | 143 | ||||||
Boston Scientific Corp. |
||||||||
3.75%, 3/1/2026 |
31 | 35 | ||||||
4.00%, 3/1/2029 |
19 | 21 | ||||||
Zimmer Biomet Holdings, Inc. |
||||||||
3.70%, 3/19/2023 |
19 | 20 | ||||||
3.55%, 4/1/2025 |
50 | 55 | ||||||
|
|
|||||||
274 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.6% |
||||||||
Aetna, Inc. 2.80%, 6/15/2023 |
200 | 209 | ||||||
Cigna Corp. 3.50%, 6/15/2024 |
72 | 78 | ||||||
CommonSpirit Health 2.78%, 10/1/2030 |
50 | 51 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
HCA, Inc. 4.13%, 6/15/2029 |
150 | 168 | ||||||
UnitedHealth Group, Inc. 2.30%, 5/15/2031 |
73 | 73 | ||||||
Universal Health Services, Inc. 2.65%, 10/15/2030 (a) |
56 | 55 | ||||||
|
|
|||||||
634 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.2% |
||||||||
McDonalds Corp. 2.13%, 3/1/2030 |
58 | 58 | ||||||
Starbucks Corp. 3.80%, 8/15/2025 |
150 | 167 | ||||||
|
|
|||||||
225 | ||||||||
|
|
|||||||
Household Durables 0.2% |
||||||||
Lennar Corp. 5.25%, 6/1/2026 |
140 | 162 | ||||||
|
|
|||||||
Industrial Conglomerates 0.2% |
||||||||
Roper Technologies, Inc. |
||||||||
3.80%, 12/15/2026 |
15 | 17 | ||||||
1.40%, 9/15/2027 |
174 | 170 | ||||||
Trane Technologies Global Holding Co. Ltd. 4.25%, 6/15/2023 |
34 | 37 | ||||||
|
|
|||||||
224 | ||||||||
|
|
|||||||
Insurance 1.6% |
||||||||
American International Group, Inc. 3.75%, 7/10/2025 |
161 | 178 | ||||||
Aon plc 3.88%, 12/15/2025 |
143 | 159 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 |
90 | 97 | ||||||
Athene Global Funding |
||||||||
1.45%, 1/8/2026 (a) |
68 | 68 | ||||||
2.95%, 11/12/2026 (a) |
82 | 87 | ||||||
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a) |
38 | 38 | ||||||
CNA Financial Corp. |
||||||||
3.95%, 5/15/2024 |
52 | 57 | ||||||
4.50%, 3/1/2026 |
38 | 43 | ||||||
Guardian Life Global Funding 2.50%, 5/8/2022 (a) |
125 | 128 | ||||||
Lincoln National Corp. 4.20%, 3/15/2022 |
35 | 36 | ||||||
Marsh & McLennan Cos., Inc. 3.30%, 3/14/2023 |
50 | 52 | ||||||
New York Life Global Funding 1.20%, 8/7/2030 (a) |
150 | 138 | ||||||
Principal Financial Group, Inc. 3.10%, 11/15/2026 |
150 | 163 | ||||||
Protective Life Global Funding 2.62%, 8/22/2022 (a) |
200 | 206 | ||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a) |
150 | 190 | ||||||
|
|
|||||||
1,640 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail 0.2% |
||||||||
Amazon.com, Inc. 1.20%, 6/3/2027 |
105 | 104 | ||||||
eBay, Inc. 2.60%, 5/10/2031 |
100 | 100 | ||||||
|
|
|||||||
204 | ||||||||
|
|
|||||||
IT Services 0.2% |
||||||||
Global Payments, Inc. 3.20%, 8/15/2029 |
50 | 53 | ||||||
International Business Machines Corp. 3.50%, 5/15/2029 |
100 | 110 | ||||||
|
|
|||||||
163 | ||||||||
|
|
|||||||
Leisure Products 0.1% |
||||||||
Hasbro, Inc. 3.90%, 11/19/2029 |
75 | 82 | ||||||
|
|
|||||||
Life Sciences Tools & Services 0.1% |
||||||||
Thermo Fisher Scientific, Inc. 3.20%, 8/15/2027 |
100 | 109 | ||||||
|
|
|||||||
Machinery 0.0% (c) |
||||||||
Otis Worldwide Corp. 2.57%, 2/15/2030 |
44 | 45 | ||||||
|
|
|||||||
Media 0.8% |
||||||||
Charter Communications Operating LLC |
||||||||
4.91%, 7/23/2025 |
160 | 181 | ||||||
2.30%, 2/1/2032 |
150 | 141 | ||||||
Comcast Corp. |
||||||||
3.00%, 2/1/2024 |
117 | 125 | ||||||
3.38%, 2/15/2025 |
77 | 84 | ||||||
3.38%, 8/15/2025 |
80 | 88 | ||||||
3.15%, 3/1/2026 |
16 | 17 | ||||||
Cox Communications, Inc. 1.80%, 10/1/2030 (a) |
67 | 63 | ||||||
Fox Corp. 4.71%, 1/25/2029 |
35 | 41 | ||||||
ViacomCBS, Inc. 4.00%, 1/15/2026 |
100 | 111 | ||||||
|
|
|||||||
851 | ||||||||
|
|
|||||||
Metals & Mining 0.3% |
||||||||
Glencore Funding LLC (Australia) |
||||||||
2.50%, 9/1/2030 (a) |
60 | 59 | ||||||
2.85%, 4/27/2031 (a) |
150 | 149 | ||||||
Nucor Corp. 4.00%, 8/1/2023 |
27 | 29 | ||||||
Steel Dynamics, Inc. |
||||||||
1.65%, 10/15/2027 |
33 | 32 | ||||||
3.45%, 4/15/2030 |
21 | 23 | ||||||
|
|
|||||||
292 | ||||||||
|
|
|||||||
Multiline Retail 0.3% |
||||||||
Dollar General Corp. 4.13%, 5/1/2028 |
150 | 170 | ||||||
Kohls Corp. 3.38%, 5/1/2031 |
100 | 103 | ||||||
|
|
|||||||
273 | ||||||||
|
|
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Multi-Utilities 0.4% |
| |||||||
CenterPoint Energy, Inc. 1.45%, 6/1/2026 |
29 | 29 | ||||||
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 |
155 | 173 | ||||||
Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 |
100 | 106 | ||||||
Sempra Energy 4.05%, 12/1/2023 |
48 | 52 | ||||||
WEC Energy Group, Inc. 3.55%, 6/15/2025 |
73 | 80 | ||||||
|
|
|||||||
440 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.5% |
||||||||
APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a) |
100 | 112 | ||||||
BP Capital Markets plc (United Kingdom) 3.81%, 2/10/2024 |
166 | 181 | ||||||
Cameron LNG LLC 2.90%, 7/15/2031 (a) |
84 | 87 | ||||||
Cheniere Corpus Christi Holdings LLC |
||||||||
5.88%, 3/31/2025 |
50 | 57 | ||||||
5.13%, 6/30/2027 |
81 | 94 | ||||||
Chevron Corp. |
||||||||
2.36%, 12/5/2022 |
40 | 41 | ||||||
2.00%, 5/11/2027 |
19 | 20 | ||||||
Chevron USA, Inc. 3.85%, 1/15/2028 |
100 | 114 | ||||||
Cimarex Energy Co. 3.90%, 5/15/2027 |
60 | 66 | ||||||
ConocoPhillips |
||||||||
3.75%, 10/1/2027 (a) |
60 | 68 | ||||||
2.40%, 2/15/2031 (a) |
14 | 14 | ||||||
Diamondback Energy, Inc. 3.25%, 12/1/2026 |
100 | 108 | ||||||
Ecopetrol SA (Colombia) 4.13%, 1/16/2025 |
58 | 61 | ||||||
Energy Transfer LP |
||||||||
3.60%, 2/1/2023 |
28 | 29 | ||||||
4.90%, 2/1/2024 |
61 | 67 | ||||||
4.05%, 3/15/2025 |
91 | 98 | ||||||
Enterprise Products Operating LLC 3.90%, 2/15/2024 |
49 | 53 | ||||||
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (a) |
114 | 114 | ||||||
Gray Oak Pipeline LLC |
||||||||
2.60%, 10/15/2025 (a) |
40 | 41 | ||||||
3.45%, 10/15/2027 (a) |
50 | 53 | ||||||
Gulf South Pipeline Co. LP 4.00%, 6/15/2022 |
50 | 51 | ||||||
HollyFrontier Corp. |
||||||||
2.63%, 10/1/2023 |
12 | 12 | ||||||
5.88%, 4/1/2026 |
40 | 47 | ||||||
Marathon Petroleum Corp. |
||||||||
4.50%, 5/1/2023 |
62 | 66 | ||||||
3.63%, 9/15/2024 |
67 | 73 | ||||||
4.70%, 5/1/2025 |
38 | 43 | ||||||
MPLX LP |
||||||||
3.38%, 3/15/2023 |
32 | 33 | ||||||
4.25%, 12/1/2027 |
27 | 31 | ||||||
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) |
22 | 22 | ||||||
ONEOK Partners LP |
||||||||
3.38%, 10/1/2022 |
12 | 12 | ||||||
5.00%, 9/15/2023 |
28 | 31 | ||||||
ONEOK, Inc. 3.40%, 9/1/2029 |
150 | 158 | ||||||
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 |
40 | 45 | ||||||
Phillips 66 1.30%, 2/15/2026 |
28 | 28 | ||||||
Pioneer Natural Resources Co. |
||||||||
1.13%, 1/15/2026 |
50 | 50 | ||||||
1.90%, 8/15/2030 |
72 | 67 | ||||||
Plains All American Pipeline LP 4.65%, 10/15/2025 |
100 | 112 | ||||||
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 |
20 | 23 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 |
42 | 46 | ||||||
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023 |
172 | 183 | ||||||
Williams Cos., Inc. (The) 3.90%, 1/15/2025 |
86 | 94 | ||||||
|
|
|||||||
2,705 | ||||||||
|
|
|||||||
Pharmaceuticals 0.7% |
||||||||
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 |
77 | 72 | ||||||
Bristol-Myers Squibb Co. |
||||||||
3.40%, 7/26/2029 |
71 | 79 | ||||||
1.45%, 11/13/2030 |
100 | 95 | ||||||
Eli Lilly & Co. 3.38%, 3/15/2029 |
70 | 78 | ||||||
Mylan, Inc. 4.55%, 4/15/2028 |
75 | 86 | ||||||
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 |
200 | 194 | ||||||
Zoetis, Inc. 2.00%, 5/15/2030 |
80 | 78 | ||||||
|
|
|||||||
682 | ||||||||
|
|
|||||||
Real Estate Management & Development 0.2% |
||||||||
Ontario Teachers Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (a) |
200 | 204 | ||||||
|
|
|||||||
Road & Rail 0.8% |
||||||||
Canadian Pacific Railway Co. (Canada) 4.50%, 1/15/2022 |
55 | 56 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
CSX Corp. 3.25%, 6/1/2027 |
162 | 177 | ||||||
ERAC USA Finance LLC 4.50%, 8/16/2021 (a) |
27 | 27 | ||||||
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 |
60 | 67 | ||||||
Norfolk Southern Corp. 2.55%, 11/1/2029 |
150 | 155 | ||||||
Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (a) |
200 | 215 | ||||||
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (a) |
110 | 111 | ||||||
|
|
|||||||
808 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.6% |
||||||||
Broadcom, Inc. |
||||||||
4.75%, 4/15/2029 |
50 | 57 | ||||||
4.15%, 11/15/2030 |
150 | 165 | ||||||
Marvell Technology, Inc. 2.45%, 4/15/2028 (a) |
52 | 52 | ||||||
Microchip Technology, Inc. |
||||||||
0.97%, 2/15/2024 (a) |
72 | 72 | ||||||
0.98%, 9/1/2024 (a) |
50 | 50 | ||||||
NXP BV (China) 2.50%, 5/11/2031 (a) |
100 | 100 | ||||||
QUALCOMM, Inc. 3.25%, 5/20/2027 |
94 | 104 | ||||||
|
|
|||||||
600 | ||||||||
|
|
|||||||
Software 0.3% |
||||||||
Citrix Systems, Inc. 1.25%, 3/1/2026 |
25 | 25 | ||||||
Intuit, Inc. 1.65%, 7/15/2030 |
125 | 121 | ||||||
Oracle Corp. 2.88%, 3/25/2031 |
168 | 172 | ||||||
|
|
|||||||
318 | ||||||||
|
|
|||||||
Specialty Retail 0.6% |
||||||||
AutoZone, Inc. 4.00%, 4/15/2030 |
83 | 93 | ||||||
Home Depot, Inc. (The) 2.50%, 4/15/2027 |
88 | 94 | ||||||
Lowes Cos., Inc. 3.65%, 4/5/2029 |
200 | 221 | ||||||
OReilly Automotive, Inc. |
||||||||
3.55%, 3/15/2026 |
100 | 111 | ||||||
3.60%, 9/1/2027 |
62 | 69 | ||||||
|
|
|||||||
588 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.2% |
||||||||
Apple, Inc. 2.38%, 2/8/2041 |
100 | 93 | ||||||
Dell International LLC 5.30%, 10/1/2029 (a) |
100 | 118 | ||||||
|
|
|||||||
211 | ||||||||
|
|
|||||||
Tobacco 0.4% |
||||||||
Altria Group, Inc. 2.45%, 2/4/2032 |
84 | 80 | ||||||
BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024 |
200 | 212 | ||||||
Philip Morris International, Inc. 3.38%, 8/11/2025 |
150 | 164 | ||||||
|
|
|||||||
456 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.5% |
||||||||
Air Lease Corp. |
||||||||
3.00%, 9/15/2023 |
250 | 262 | ||||||
3.63%, 12/1/2027 |
100 | 106 | ||||||
Aviation Capital Group LLC 3.88%, 5/1/2023 (a) |
100 | 105 | ||||||
|
|
|||||||
473 | ||||||||
|
|
|||||||
Water Utilities 0.2% |
||||||||
American Water Capital Corp. 3.85%, 3/1/2024 |
150 | 162 | ||||||
|
|
|||||||
Wireless Telecommunication Services 0.3% |
||||||||
T-Mobile USA, Inc. |
||||||||
3.88%, 4/15/2030 |
150 | 164 | ||||||
2.25%, 11/15/2031 |
100 | 96 | ||||||
|
|
|||||||
260 | ||||||||
|
|
|||||||
TOTAL CORPORATE BONDS (Cost $31,073) |
32,700 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS 24.0% | ||||||||
U.S. Treasury Bonds 6.13%, 8/15/2029 |
500 | 685 | ||||||
U.S. Treasury Notes |
||||||||
1.50%, 9/15/2022 |
2,500 | 2,545 | ||||||
1.13%, 2/28/2025 |
3,000 | 3,068 | ||||||
0.38%, 9/30/2027 |
580 | 553 | ||||||
0.50%, 10/31/2027 |
1,500 | 1,439 | ||||||
1.25%, 3/31/2028 |
450 | 450 | ||||||
3.13%, 11/15/2028 |
1,000 | 1,127 | ||||||
2.63%, 2/15/2029 |
1,600 | 1,747 | ||||||
1.50%, 2/15/2030 |
2,200 | 2,200 | ||||||
0.63%, 8/15/2030 |
2,550 | 2,346 | ||||||
0.88%, 11/15/2030 |
80 | 75 | ||||||
U.S. Treasury STRIPS Bonds |
||||||||
2.94%, 11/15/2022 (d) |
1,300 | 1,298 | ||||||
2.84%, 5/15/2023 (d) |
685 | 683 | ||||||
2.29%, 8/15/2023 (d) |
1,890 | 1,882 | ||||||
2.54%, 2/15/2024 (d) |
3,206 | 3,183 | ||||||
2.29%, 5/15/2024 (d) |
200 | 198 | ||||||
3.05%, 5/15/2025 (d) |
200 | 195 | ||||||
2.43%, 5/15/2026 (d) |
200 | 191 | ||||||
3.75%, 8/15/2026 (d) |
47 | 45 | ||||||
3.84%, 11/15/2026 (d) |
300 | 284 | ||||||
3.08%, 2/15/2027 (d) |
100 | 94 | ||||||
4.20%, 8/15/2027 (d) |
100 | 93 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
4.17%, 11/15/2027 (d) |
140 | 129 | ||||||
3.24%, 2/15/2028 (d) |
53 | 48 | ||||||
2.56%, 5/15/2028 (d) |
10 | 9 | ||||||
3.46%, 8/15/2028 (d) |
200 | 180 | ||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,546) |
24,747 | |||||||
|
|
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 16.8% |
||||||||
Alternative Loan Trust |
||||||||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 |
538 | 542 | ||||||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 |
75 | 71 | ||||||
Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 |
9 | 7 | ||||||
CHL Mortgage Pass-Through Trust |
||||||||
Series 2004-HYB3, Class 2A, 2.13%, 6/20/2034 (e) |
8 | 8 | ||||||
Series 2004-5, Class 1A4, 5.50%, 6/25/2034 |
17 | 18 | ||||||
Series 2005-22, Class 2A1, 2.61%, 11/25/2035 (e) |
74 | 71 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
Series 2003-UP2, Class 1, PO, 6/25/2033 |
| (f) | | (f) | ||||
Series 2003-HYB1, Class A, 2.59%, 9/25/2033 (e) |
6 | 6 | ||||||
Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033 |
3 | 3 | ||||||
FHLMC - GNMA Series 24, Class ZE, 6.25%, 11/25/2023 |
5 | 5 | ||||||
FHLMC, REMIC |
||||||||
Series 1144, Class KB, 8.50%, 9/15/2021 |
| (f) | | (f) | ||||
Series 1206, Class IA, 7.00%, 3/15/2022 |
| (f) | | (f) | ||||
Series 1250, Class J, 7.00%, 5/15/2022 |
| (f) | | (f) | ||||
Series 1343, Class LA, 8.00%, 8/15/2022 |
1 | 1 | ||||||
Series 2512, Class PG, 5.50%, 10/15/2022 |
14 | 14 | ||||||
Series 2535, Class BK, 5.50%, 12/15/2022 |
2 | 2 | ||||||
Series 1470, Class F, 1.41%, 2/15/2023 (e) |
| (f) | | (f) | ||||
Series 2568, Class KG, 5.50%, 2/15/2023 |
24 | 24 | ||||||
Series 1466, Class PZ, 7.50%, 2/15/2023 |
5 | 5 | ||||||
Series 1491, Class I, 7.50%, 4/15/2023 |
2 | 2 | ||||||
Series 1798, Class F, 5.00%, 5/15/2023 |
2 | 2 | ||||||
Series 1518, Class G, IF, 8.89%, 5/15/2023 (e) |
2 | 2 | ||||||
Series 1541, Class O, 1.02%, 7/15/2023 (e) |
2 | 2 | ||||||
Series 1608, Class L, 6.50%, 9/15/2023 |
8 | 9 | ||||||
Series 1602, Class SA, HB, IF, 22.38%, 10/15/2023 (e) |
1 | 1 | ||||||
Series 2283, Class K, 6.50%, 12/15/2023 |
3 | 3 | ||||||
Series 1700, Class GA, PO, 2/15/2024 |
| (f) | | (f) | ||||
Series 1671, Class L, 7.00%, 2/15/2024 |
3 | 3 | ||||||
Series 1706, Class K, 7.00%, 3/15/2024 |
14 | 14 | ||||||
Series 2033, Class SN, HB, IF, 29.74%, 3/15/2024 (e) |
1 | | (f) | |||||
Series 1720, Class PL, 7.50%, 4/15/2024 |
42 | 44 | ||||||
Series 2306, Class K, PO, 5/15/2024 |
2 | 2 | ||||||
Series 2306, Class SE, IF, IO, 9.02%, 5/15/2024 (e) |
5 | | (f) | |||||
Series 1745, Class D, 7.50%, 8/15/2024 |
4 | 4 | ||||||
Series 1927, Class PH, 7.50%, 1/15/2027 |
27 | 31 | ||||||
Series 1981, Class Z, 6.00%, 5/15/2027 |
11 | 11 | ||||||
Series 1987, Class PE, 7.50%, 9/15/2027 |
4 | 4 | ||||||
Series 2038, Class PN, IO, 7.00%, 3/15/2028 |
5 | 1 | ||||||
Series 2040, Class PE, 7.50%, 3/15/2028 |
24 | 28 | ||||||
Series 2063, Class PG, 6.50%, 6/15/2028 |
25 | 28 | ||||||
Series 2064, Class TE, 7.00%, 6/15/2028 |
3 | 4 | ||||||
Series 2075, Class PM, 6.25%, 8/15/2028 |
18 | 20 | ||||||
Series 2075, Class PH, 6.50%, 8/15/2028 |
18 | 21 | ||||||
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 |
6 | 1 | ||||||
Series 2125, Class JZ, 6.00%, 2/15/2029 |
11 | 12 | ||||||
Series 2169, Class TB, 7.00%, 6/15/2029 |
53 | 61 | ||||||
Series 2163, Class PC, IO, 7.50%, 6/15/2029 |
3 | | (f) | |||||
Series 2172, Class QC, 7.00%, 7/15/2029 |
23 | 27 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Series 2196, Class TL, 7.50%, 11/15/2029 |
| (f) | | (f) | ||||
Series 2201, Class C, 8.00%, 11/15/2029 |
8 | 10 | ||||||
Series 2210, Class Z, 8.00%, 1/15/2030 |
26 | 31 | ||||||
Series 2224, Class CB, 8.00%, 3/15/2030 |
9 | 10 | ||||||
Series 2256, Class MC, 7.25%, 9/15/2030 |
14 | 17 | ||||||
Series 2259, Class ZM, 7.00%, 10/15/2030 |
15 | 18 | ||||||
Series 2271, Class PC, 7.25%, 12/15/2030 |
13 | 16 | ||||||
Series 2296, Class PD, 7.00%, 3/15/2031 |
7 | 9 | ||||||
Series 2344, Class ZD, 6.50%, 8/15/2031 |
133 | 155 | ||||||
Series 2344, Class ZJ, 6.50%, 8/15/2031 |
17 | 20 | ||||||
Series 2345, Class NE, 6.50%, 8/15/2031 |
10 | 12 | ||||||
Series 2351, Class PZ, 6.50%, 8/15/2031 |
13 | 15 | ||||||
Series 2410, Class OE, 6.38%, 2/15/2032 |
11 | 12 | ||||||
Series 2410, Class NG, 6.50%, 2/15/2032 |
10 | 11 | ||||||
Series 2410, Class QX, IF, IO, 8.55%, 2/15/2032 (e) |
7 | 1 | ||||||
Series 2412, Class SP, IF, 15.90%, 2/15/2032 (e) |
28 | 37 | ||||||
Series 2423, Class MC, 7.00%, 3/15/2032 |
9 | 10 | ||||||
Series 2423, Class MT, 7.00%, 3/15/2032 |
17 | 20 | ||||||
Series 2444, Class ES, IF, IO, 7.85%, 3/15/2032 (e) |
18 | 3 | ||||||
Series 2450, Class SW, IF, IO, 7.90%, 3/15/2032 (e) |
7 | 1 | ||||||
Series 2435, Class CJ, 6.50%, 4/15/2032 |
65 | 76 | ||||||
Series 2441, Class GF, 6.50%, 4/15/2032 |
17 | 20 | ||||||
Series 2455, Class GK, 6.50%, 5/15/2032 |
24 | 27 | ||||||
Series 2450, Class GZ, 7.00%, 5/15/2032 |
26 | 31 | ||||||
Series 2466, Class DH, 6.50%, 6/15/2032 |
36 | 42 | ||||||
Series 2474, Class NR, 6.50%, 7/15/2032 |
21 | 24 | ||||||
Series 2484, Class LZ, 6.50%, 7/15/2032 |
35 | 42 | ||||||
Series 2500, Class MC, 6.00%, 9/15/2032 |
31 | 36 | ||||||
Series 2543, Class YX, 6.00%, 12/15/2032 |
68 | 79 | ||||||
Series 2575, Class ME, 6.00%, 2/15/2033 |
128 | 150 | ||||||
Series 2586, Class WI, IO, 6.50%, 3/15/2033 |
10 | 2 | ||||||
Series 2990, Class SL, HB, IF, 24.12%, 6/15/2034 (e) |
13 | 16 | ||||||
Series 3611, PO, 7/15/2034 |
16 | 15 | ||||||
Series 2990, Class UZ, 5.75%, 6/15/2035 |
423 | 490 | ||||||
Series 3117, Class EO, PO, 2/15/2036 |
40 | 37 | ||||||
Series 3117, Class OK, PO, 2/15/2036 |
4 | 4 | ||||||
Series 3122, Class OH, PO, 3/15/2036 |
32 | 29 | ||||||
Series 3152, Class MO, PO, 3/15/2036 |
99 | 93 | ||||||
Series 3607, Class AO, PO, 4/15/2036 |
24 | 21 | ||||||
Series 3137, Class XP, 6.00%, 4/15/2036 |
55 | 65 | ||||||
Series 3819, Class ZQ, 6.00%, 4/15/2036 |
157 | 187 | ||||||
Series 3149, Class SO, PO, 5/15/2036 |
6 | 5 | ||||||
Series 3171, Class MO, PO, 6/15/2036 |
23 | 22 | ||||||
Series 3179, Class OA, PO, 7/15/2036 |
13 | 11 | ||||||
Series 3202, Class HI, IF, IO, 6.55%, 8/15/2036 (e) |
126 | 26 | ||||||
Series 3232, Class ST, IF, IO, 6.60%, 10/15/2036 (e) |
26 | 5 | ||||||
Series 3417, Class EO, PO, 11/15/2036 |
217 | 206 | ||||||
Series 3316, Class JO, PO, 5/15/2037 |
3 | 3 | ||||||
Series 3607, Class OP, PO, 7/15/2037 |
117 | 106 | ||||||
Series 3481, Class SJ, IF, IO, 5.75%, 8/15/2038 (e) |
65 | 12 | ||||||
Series 3680, Class MA, 4.50%, 7/15/2039 |
75 | 79 | ||||||
Series 4219, Class JA, 3.50%, 8/15/2039 |
80 | 81 | ||||||
Series 4096, Class HA, 2.00%, 12/15/2041 |
166 | 172 | ||||||
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 |
293 | 315 | ||||||
FHLMC, Structured Pass-Through Certificates, Whole Loan |
||||||||
Series T-41, Class 3A, 5.10%, 7/25/2032 (e) |
20 | 22 | ||||||
Series T-76, Class 2A, 1.73%, 10/25/2037 (e) |
92 | 93 | ||||||
Series T-51, Class 2A, 7.50%, 8/25/2042 (e) |
19 | 24 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Series T-54, Class 2A, 6.50%, 2/25/2043 |
184 | 218 | ||||||
Series T-54, Class 3A, 7.00%, 2/25/2043 |
59 | 71 | ||||||
Series T-56, Class A5, 5.23%, 5/25/2043 |
439 | 501 | ||||||
Series T-58, Class A, PO, 9/25/2043 |
12 | 10 | ||||||
FNMA Trust, Whole Loan |
||||||||
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 |
20 | 24 | ||||||
Series 2005-W3, Class 2AF, 0.31%, 3/25/2045 (e) |
72 | 72 | ||||||
FNMA, REMIC |
||||||||
Series 2001-48, Class Z, 6.50%, 9/25/2021 |
1 | 1 | ||||||
Series 2002-1, Class HC, 6.50%, 2/25/2022 |
1 | 1 | ||||||
Series 1992-107, Class SB, HB, IF, 29.75%, 6/25/2022 (e) |
1 | 1 | ||||||
Series G92-42, Class Z, 7.00%, 7/25/2022 |
| (f) | | (f) | ||||
Series G92-35, Class E, 7.50%, 7/25/2022 |
1 | 1 | ||||||
Series G92-44, Class ZQ, 8.00%, 7/25/2022 |
| (f) | | (f) | ||||
Series 1996-59, Class J, 6.50%, 8/25/2022 |
1 | 1 | ||||||
Series 1992-143, Class MA, 5.50%, 9/25/2022 |
| (f) | | (f) | ||||
Series G92-54, Class ZQ, 7.50%, 9/25/2022 |
| (f) | | (f) | ||||
Series G93-5, Class Z, 6.50%, 2/25/2023 |
1 | 1 | ||||||
Series 1993-37, Class PX, 7.00%, 3/25/2023 |
12 | 13 | ||||||
Series 1993-25, Class J, 7.50%, 3/25/2023 |
2 | 2 | ||||||
Series 1998-4, Class C, PO, 4/25/2023 |
| (f) | | (f) | ||||
Series 1998-43, Class EA, PO, 4/25/2023 |
16 | 16 | ||||||
Series 1993-54, Class Z, 7.00%, 4/25/2023 |
4 | 4 | ||||||
Series 1993-62, Class SA, IF, 19.65%, 4/25/2023 (e) |
1 | 1 | ||||||
Series 1993-122, Class M, 6.50%, 7/25/2023 |
1 | 1 | ||||||
Series 1996-14, Class SE, IF, IO, 9.17%, 8/25/2023 (e) |
9 | 1 | ||||||
Series 1993-178, Class PK, 6.50%, 9/25/2023 |
2 | 2 | ||||||
Series 1993-165, Class SD, IF, 14.06%, 9/25/2023 (e) |
1 | 1 | ||||||
Series 1993-183, Class KA, 6.50%, 10/25/2023 |
31 | 33 | ||||||
Series 1993-189, Class PL, 6.50%, 10/25/2023 |
11 | 12 | ||||||
Series 1994-9, Class E, PO, 11/25/2023 |
| (f) | | (f) | ||||
Series 1993-247, Class SA, HB, IF, 29.34%, 12/25/2023 (e) |
3 | 4 | ||||||
Series G95-1, Class C, 8.80%, 1/25/2025 |
2 | 3 | ||||||
Series 2005-121, Class DX, 5.50%, 1/25/2026 |
103 | 110 | ||||||
Series 1997-20, IO, 1.84%, 3/25/2027 (e) |
2 | | (f) | |||||
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e) |
3 | | (f) | |||||
Series 1997-27, Class J, 7.50%, 4/18/2027 |
5 | 6 | ||||||
Series 1997-29, Class J, 7.50%, 4/20/2027 |
7 | 8 | ||||||
Series 1997-39, Class PD, 7.50%, 5/20/2027 |
13 | 15 | ||||||
Series 2012-47, Class HF, 0.49%, 5/25/2027 (e) |
55 | 55 | ||||||
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 |
4 | | (f) | |||||
Series 1998-36, Class ZB, 6.00%, 7/18/2028 |
3 | 3 | ||||||
Series 2000-2, Class ZE, 7.50%, 2/25/2030 |
27 | 32 | ||||||
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 |
20 | 3 | ||||||
Series 2001-36, Class DE, 7.00%, 8/25/2031 |
25 | 30 | ||||||
Series 2001-49, Class Z, 6.50%, 9/25/2031 |
5 | 6 | ||||||
Series 2001-44, Class PD, 7.00%, 9/25/2031 |
5 | 6 | ||||||
Series 2003-52, Class SX, HB, IF, 22.68%, 10/25/2031 (e) |
6 | 9 | ||||||
Series 2004-74, Class SW, IF, 15.31%, 11/25/2031 (e) |
19 | 24 | ||||||
Series 2001-81, Class LO, PO, 1/25/2032 |
3 | 3 | ||||||
Series 2002-1, Class SA, HB, IF, 24.89%, 2/25/2032 (e) |
2 | 4 | ||||||
Series 2002-21, Class PE, 6.50%, 4/25/2032 |
13 | 16 | ||||||
Series 2002-28, Class PK, 6.50%, 5/25/2032 |
14 | 16 | ||||||
Series 2002-37, Class Z, 6.50%, 6/25/2032 |
17 | 20 | ||||||
Series 2004-61, Class SH, HB, IF, 23.62%, 11/25/2032 (e) |
21 | 31 | ||||||
Series 2003-22, Class UD, 4.00%, 4/25/2033 |
61 | 67 | ||||||
Series 2003-34, Class GE, 6.00%, 5/25/2033 |
131 | 152 | ||||||
Series 2003-39, IO, 6.00%, 5/25/2033 (e) |
3 | 1 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Series 2003-47, Class PE, 5.75%, 6/25/2033 |
64 | 73 | ||||||
Series 2003-64, Class SX, IF, 13.47%, 7/25/2033 (e) |
8 | 10 | ||||||
Series 2003-71, Class DS, IF, 7.32%, 8/25/2033 (e) |
64 | 71 | ||||||
Series 2005-56, Class TP, IF, 17.88%, 8/25/2033 (e) |
28 | 34 | ||||||
Series 2003-91, Class SD, IF, 12.35%, 9/25/2033 (e) |
5 | 6 | ||||||
Series 2003-116, Class SB, IF, IO, 7.51%, 11/25/2033 (e) |
51 | 10 | ||||||
Series 2006-44, Class P, PO, 12/25/2033 |
19 | 17 | ||||||
Series 2003-130, Class SX, IF, 11.38%, 1/25/2034 (e) |
2 | 2 | ||||||
Series 2004-25, Class SA, IF, 19.27%, 4/25/2034 (e) |
22 | 32 | ||||||
Series 2004-46, Class SK, IF, 16.25%, 5/25/2034 (e) |
16 | 21 | ||||||
Series 2004-36, Class SA, IF, 19.27%, 5/25/2034 (e) |
36 | 52 | ||||||
Series 2004-50, Class VZ, 5.50%, 7/25/2034 |
215 | 245 | ||||||
Series 2005-74, Class CS, IF, 19.77%, 5/25/2035 (e) |
18 | 23 | ||||||
Series 2005-45, Class DC, HB, IF, 23.97%, 6/25/2035 (e) |
35 | 51 | ||||||
Series 2005-56, Class S, IF, IO, 6.62%, 7/25/2035 (e) |
22 | 4 | ||||||
Series 2005-68, Class PG, 5.50%, 8/25/2035 |
128 | 146 | ||||||
Series 2005-73, Class PS, IF, 16.47%, 8/25/2035 (e) |
62 | 82 | ||||||
Series 2005-106, Class US, HB, IF, 24.23%, 11/25/2035 (e) |
39 | 57 | ||||||
Series 2006-27, Class OH, PO, 4/25/2036 |
31 | 29 | ||||||
Series 2006-65, Class QO, PO, 7/25/2036 |
18 | 17 | ||||||
Series 2006-56, Class FC, 0.38%, 7/25/2036 (e) |
119 | 119 | ||||||
Series 2006-72, Class GO, PO, 8/25/2036 |
26 | 25 | ||||||
Series 2006-79, Class DO, PO, 8/25/2036 |
21 | 20 | ||||||
Series 2006-77, Class PC, 6.50%, 8/25/2036 |
36 | 42 | ||||||
Series 2006-110, PO, 11/25/2036 |
33 | 31 | ||||||
Series 2006-124, Class HB, 2.20%, 11/25/2036 (e) |
51 | 52 | ||||||
Series 2007-14, Class ES, IF, IO, 6.35%, 3/25/2037 (e) |
25 | 5 | ||||||
Series 2007-81, Class GE, 6.00%, 8/25/2037 |
63 | 73 | ||||||
Series 2007-79, Class SB, HB, IF, 23.68%, 8/25/2037 (e) |
24 | 39 | ||||||
Series 2007-88, Class VI, IF, IO, 6.45%, 9/25/2037 (e) |
63 | 14 | ||||||
Series 2007-91, Class ES, IF, IO, 6.37%, 10/25/2037 (e) |
169 | 36 | ||||||
Series 2007-116, Class HI, IO, 1.49%, 1/25/2038 (e) |
31 | 1 | ||||||
Series 2008-16, Class IS, IF, IO, 6.11%, 3/25/2038 (e) |
8 | 1 | ||||||
Series 2008-10, Class XI, IF, IO, 6.14%, 3/25/2038 (e) |
15 | 3 | ||||||
Series 2008-28, Class QS, HB, IF, 20.43%, 4/25/2038 (e) |
19 | 28 | ||||||
Series 2008-46, Class HI, IO, 1.75%, 6/25/2038 (e) |
28 | 2 | ||||||
Series 2013-25, Class DC, 2.50%, 6/25/2039 |
227 | 235 | ||||||
Series 2009-69, PO, 9/25/2039 |
32 | 29 | ||||||
Series 2009-103, Class MB, 2.22%, 12/25/2039 (e) |
36 | 38 | ||||||
Series 2010-71, Class HJ, 5.50%, 7/25/2040 |
86 | 100 | ||||||
Series 2011-118, Class MT, 7.00%, 11/25/2041 |
102 | 124 | ||||||
Series 2011-118, Class NT, 7.00%, 11/25/2041 |
92 | 111 | ||||||
Series 2013-101, Class DO, PO, 10/25/2043 |
186 | 160 | ||||||
Series 2013-128, PO, 12/25/2043 |
160 | 141 | ||||||
Series 2019-65, Class PA, 2.50%, 5/25/2048 |
280 | 291 | ||||||
FNMA, REMIC Trust, Whole Loan |
||||||||
Series 2007-W7, Class 1A4, HB, IF, 38.63%, 7/25/2037 (e) |
6 | 10 | ||||||
Series 2003-W4, Class 2A, 5.68%, 10/25/2042 (e) |
12 | 14 | ||||||
Series 2003-W1, Class 1A1, 5.12%, 12/25/2042 (e) |
64 | 70 | ||||||
FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.25%, 10/25/2037 (e) |
21 | 24 | ||||||
FNMA, STRIPS |
||||||||
Series 218, Class 2, IO, 7.50%, 4/25/2023 |
| (f) | | (f) | ||||
Series 300, Class 1, PO, 9/25/2024 |
9 | 9 | ||||||
Series 329, Class 1, PO, 1/25/2033 |
3 | 3 | ||||||
GNMA |
||||||||
Series 2003-24, PO, 3/16/2033 |
5 | 5 | ||||||
Series 2003-40, Class TJ, 6.50%, 3/20/2033 |
124 | 134 | ||||||
Series 2003-52, Class AP, PO, 6/16/2033 |
32 | 31 | ||||||
Series 2004-28, Class S, IF, 19.39%, 4/16/2034 (e) |
9 | 13 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Series 2004-73, Class AE, IF, 14.65%, 8/17/2034 (e) |
2 | 2 | ||||||
Series 2004-71, Class SB, HB, IF, 28.98%, 9/20/2034 (e) |
15 | 24 | ||||||
Series 2004-90, Class SI, IF, IO, 6.00%, 10/20/2034 (e) |
93 | 15 | ||||||
Series 2005-68, Class DP, IF, 16.19%, 6/17/2035 (e) |
17 | 22 | ||||||
Series 2005-68, Class KI, IF, IO, 6.20%, 9/20/2035 (e) |
167 | 35 | ||||||
Series 2006-38, Class ZK, 6.50%, 8/20/2036 |
278 | 313 | ||||||
Series 2006-59, Class SD, IF, IO, 6.60%, 10/20/2036 (e) |
18 | 3 | ||||||
Series 2007-17, Class JI, IF, IO, 6.71%, 4/16/2037 (e) |
71 | 16 | ||||||
Series 2007-27, Class SA, IF, IO, 6.10%, 5/20/2037 (e) |
89 | 12 | ||||||
Series 2007-45, Class QA, IF, IO, 6.54%, 7/20/2037 (e) |
74 | 11 | ||||||
Series 2007-40, Class SB, IF, IO, 6.65%, 7/20/2037 (e) |
121 | 23 | ||||||
Series 2007-50, Class AI, IF, IO, 6.68%, 8/20/2037 (e) |
61 | 2 | ||||||
Series 2007-53, Class ES, IF, IO, 6.45%, 9/20/2037 (e) |
20 | 3 | ||||||
Series 2007-53, Class SW, IF, 19.91%, 9/20/2037 (e) |
15 | 20 | ||||||
Series 2009-79, Class OK, PO, 11/16/2037 |
57 | 54 | ||||||
Series 2007-76, Class SA, IF, IO, 6.43%, 11/20/2037 (e) |
39 | 5 | ||||||
Series 2007-72, Class US, IF, IO, 6.45%, 11/20/2037 (e) |
38 | 5 | ||||||
Series 2009-106, Class ST, IF, IO, 5.90%, 2/20/2038 (e) |
127 | 21 | ||||||
Series 2008-33, Class XS, IF, IO, 7.60%, 4/16/2038 (e) |
28 | 5 | ||||||
Series 2008-40, Class SA, IF, IO, 6.30%, 5/16/2038 (e) |
76 | 14 | ||||||
Series 2008-50, Class KB, 6.00%, 6/20/2038 |
96 | 111 | ||||||
Series 2008-55, Class SA, IF, IO, 6.10%, 6/20/2038 (e) |
46 | 7 | ||||||
Series 2008-93, Class AS, IF, IO, 5.60%, 12/20/2038 (e) |
52 | 7 | ||||||
Series 2009-6, Class SA, IF, IO, 6.00%, 2/16/2039 (e) |
14 | 1 | ||||||
Series 2009-31, Class TS, IF, IO, 6.20%, 3/20/2039 (e) |
46 | 3 | ||||||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 |
23 | 5 | ||||||
Series 2009-22, Class SA, IF, IO, 6.17%, 4/20/2039 (e) |
64 | 10 | ||||||
Series 2009-92, Class ZC, 5.00%, 10/20/2039 |
352 | 400 | ||||||
Series 2011-137, Class WA, 5.58%, 7/20/2040 (e) |
163 | 192 | ||||||
Series 2010-105, Class B, 5.00%, 8/20/2040 |
454 | 520 | ||||||
Series 2010-130, Class CP, 7.00%, 10/16/2040 |
40 | 48 | ||||||
Series 2013-91, Class WA, 4.48%, 4/20/2043 (e) |
338 | 375 | ||||||
Series 2012-H24, Class FA, 0.56%, 3/20/2060 (e) |
5 | 5 | ||||||
Series 2013-H03, Class FA, 0.41%, 8/20/2060 (e) |
| (f) | | (f) | ||||
Series 2012-H21, Class DF, 0.76%, 5/20/2061 (e) |
2 | 2 | ||||||
Series 2012-H26, Class MA, 0.66%, 7/20/2062 (e) |
1 | 1 | ||||||
Series 2012-H29, Class FA, 0.62%, 10/20/2062 (e) |
310 | 311 | ||||||
Series 2014-H15, Class FA, 0.61%, 7/20/2064 (e) |
545 | 548 | ||||||
Series 2014-H17, Class FC, 0.61%, 7/20/2064 (e) |
453 | 454 | ||||||
Series 2015-H15, Class FJ, 0.55%, 6/20/2065 (e) |
522 | 525 | ||||||
Series 2015-H18, Class FA, 0.56%, 6/20/2065 (e) |
348 | 349 | ||||||
Series 2015-H20, Class FA, 0.58%, 8/20/2065 (e) |
463 | 466 | ||||||
Series 2015-H26, Class FG, 0.63%, 10/20/2065 (e) |
537 | 539 | ||||||
GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 |
31 | 47 | ||||||
Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 |
1 | | (f) | |||||
JPMorgan Mortgage Trust |
||||||||
Series 2003-A1, Class 1A1, 1.95%, 10/25/2033 (e) |
125 | 127 | ||||||
Series 2006-A2, Class 5A3, 2.52%, 11/25/2033 (e) |
30 | 30 | ||||||
Series 2006-A2, Class 4A1, 2.74%, 8/25/2034 (e) |
9 | 10 | ||||||
MASTR Adjustable Rate Mortgages Trust |
||||||||
Series 2004-13, Class 2A1, 2.70%, 4/21/2034 (e) |
28 | 28 | ||||||
Series 2004-3, Class 4A2, 2.25%, 4/25/2034 (e) |
7 | 7 | ||||||
MASTR Alternative Loan Trust |
||||||||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |
1 | 1 | ||||||
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 |
53 | 53 | ||||||
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 |
64 | 67 | ||||||
Series 2004-7, Class 30, PO, 8/25/2034 |
6 | 5 | ||||||
Series 2005-6, Class 3A1, 5.50%, 12/25/2035 |
13 | 12 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (a) |
6 | 5 | ||||||
Merrill Lynch Mortgage Investors Trust |
||||||||
Series 2003-E, Class A1, 0.71%, 10/25/2028 (e) |
63 | 64 | ||||||
Series 2004-A, Class A1, 0.55%, 4/25/2029 (e) |
21 | 20 | ||||||
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (e) |
28 | 28 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
||||||||
Series 2003-A1, Class A5, 7.00%, 4/25/2033 |
7 | 7 | ||||||
Series 2003-A1, Class A1, 5.50%, 5/25/2033 |
2 | 2 | ||||||
Series 2003-A1, Class A2, 6.00%, 5/25/2033 |
8 | 8 | ||||||
RALI Trust |
||||||||
Series 2002-QS16, Class A3, IF, 16.43%, 10/25/2017 (e) |
| (f) | | (f) | ||||
Series 2003-QS9, Class A3, IF, IO, 7.46%, 5/25/2018 (e) |
1 | | (f) | |||||
Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 (a) |
41 | 29 | ||||||
Seasoned Credit Risk Transfer Trust |
||||||||
Series 2019-1, Class MT, 3.50%, 7/25/2058 |
445 | 486 | ||||||
Series 2019-3, Class M55D, 4.00%, 10/25/2058 |
79 | 88 | ||||||
Series 2019-4, Class M55D, 4.00%, 2/25/2059 |
279 | 308 | ||||||
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 |
334 | 351 | ||||||
Vendee Mortgage Trust |
||||||||
Series 1993-1, Class ZB, 7.25%, 2/15/2023 |
39 | 41 | ||||||
Series 1994-1, Class 1, 5.15%, 2/15/2024 (e) |
34 | 36 | ||||||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 |
85 | 95 | ||||||
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 |
27 | 31 | ||||||
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 |
125 | 141 | ||||||
Series 1998-1, Class 2E, 7.00%, 3/15/2028 |
31 | 34 | ||||||
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (g) |
93 | 93 | ||||||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (g) |
95 | 95 | ||||||
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (g) |
87 | 86 | ||||||
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (g) |
120 | 120 | ||||||
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (g) |
89 | 89 | ||||||
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (g) |
126 | 126 | ||||||
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (g) |
137 | 137 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
||||||||
Series 2003-AR5, Class A7, 2.58%, 6/25/2033 (e) |
26 | 26 | ||||||
Series 2004-AR3, Class A2, 2.60%, 6/25/2034 (e) |
13 | 14 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035 |
81 | 82 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 |
| (f) | | (f) | ||||
|
|
|||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $16,270) |
17,330 | |||||||
|
|
|||||||
MORTGAGE-BACKED SECURITIES 10.0% |
||||||||
FHLMC |
||||||||
Pool # 785618, ARM, 2.50%, 7/1/2026 (e) |
6 | 6 | ||||||
Pool # 611141, ARM, 2.23%, 1/1/2027 (e) |
6 | 6 | ||||||
Pool # 1B2656, ARM, 2.29%, 12/1/2034 (e) |
8 | 8 | ||||||
Pool # 1G2557, ARM, 2.45%, 6/1/2036 (e) |
48 | 51 | ||||||
Pool # 1A1085, ARM, 1.97%, 8/1/2036 (e) |
51 | 53 | ||||||
Pool # 1B7242, ARM, 2.47%, 9/1/2036 (e) |
37 | 40 | ||||||
Pool # 1Q0105, ARM, 2.60%, 9/1/2036 (e) |
17 | 18 | ||||||
Pool # 1Q0737, ARM, 2.33%, 11/1/2036 (e) |
19 | 19 | ||||||
Pool # 1N1511, ARM, 1.91%, 1/1/2037 (e) |
26 | 26 | ||||||
Pool # 1J1543, ARM, 2.48%, 2/1/2037 (e) |
5 | 5 | ||||||
Pool # 1Q0739, ARM, 2.15%, 3/1/2037 (e) |
20 | 21 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Pool # 1Q0722, ARM, 2.46%, 4/1/2038 (e) |
21 | 23 | ||||||
FHLMC Gold Pools, 15 Year Pool # G12825, 6.50%, 3/1/2022 |
| (f) | | (f) | ||||
FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026 |
5 | 6 | ||||||
FHLMC Gold Pools, 30 Year |
||||||||
Pool # G00245, 8.00%, 8/1/2024 |
1 | 1 | ||||||
Pool # C00376, 8.00%, 11/1/2024 |
| (f) | | (f) | ||||
Pool # C00414, 7.50%, 8/1/2025 |
1 | 2 | ||||||
Pool # C00452, 7.00%, 4/1/2026 |
2 | 2 | ||||||
Pool # G00981, 8.50%, 7/1/2028 |
4 | 4 | ||||||
Pool # A17537, 6.00%, 1/1/2034 |
20 | 24 | ||||||
Pool # G02682, 7.00%, 2/1/2037 |
17 | 20 | ||||||
Pool # Q58054, 4.50%, 11/1/2046 |
186 | 206 | ||||||
FHLMC Gold Pools, Other |
||||||||
Pool # G20027, 10.00%, 10/1/2030 |
3 | 4 | ||||||
Pool # U80336, 3.50%, 5/1/2033 |
347 | 371 | ||||||
Pool # U90690, 3.50%, 6/1/2042 |
147 | 160 | ||||||
Pool # U90975, 4.00%, 6/1/2042 |
123 | 135 | ||||||
Pool # U91427, 3.50%, 5/1/2043 |
451 | 492 | ||||||
FNMA |
||||||||
Pool # 54844, ARM, 2.25%, 9/1/2027 (e) |
2 | 2 | ||||||
Pool # 303532, ARM, 3.91%, 3/1/2029 (e) |
1 | 1 | ||||||
Pool # 745446, ARM, 2.42%, 4/1/2033 (e) |
22 | 23 | ||||||
Pool # 746299, ARM, 2.39%, 9/1/2033 (e) |
38 | 40 | ||||||
Pool # 743546, ARM, 1.99%, 11/1/2033 (e) |
36 | 37 | ||||||
Pool # 735332, ARM, 2.32%, 8/1/2034 (e) |
40 | 41 | ||||||
Pool # 790964, ARM, 2.27%, 9/1/2034 (e) |
15 | 15 | ||||||
Pool # 896463, ARM, 2.63%, 10/1/2034 (e) |
38 | 40 | ||||||
Pool # 810896, ARM, 1.76%, 1/1/2035 (e) |
24 | 25 | ||||||
Pool # 816361, ARM, 1.82%, 1/1/2035 (e) |
89 | 91 | ||||||
Pool # 816594, ARM, 1.80%, 2/1/2035 (e) |
15 | 15 | ||||||
Pool # 816597, ARM, 1.92%, 2/1/2035 (e) |
11 | 11 | ||||||
Pool # 745862, ARM, 2.40%, 4/1/2035 (e) |
23 | 24 | ||||||
Pool # 843026, ARM, 1.78%, 9/1/2035 (e) |
38 | 40 | ||||||
Pool # 832801, ARM, 2.08%, 9/1/2035 (e) |
39 | 40 | ||||||
Pool # 920340, ARM, 2.75%, 2/1/2036 (e) |
22 | 22 | ||||||
Pool # 886558, ARM, 2.40%, 8/1/2036 (e) |
9 | 9 | ||||||
Pool # 893424, ARM, 2.18%, 9/1/2036 (e) |
25 | 26 | ||||||
Pool # 913984, ARM, 1.71%, 2/1/2037 (e) |
13 | 13 | ||||||
Pool # 915645, ARM, 2.28%, 2/1/2037 (e) |
36 | 38 | ||||||
Pool # 887094, ARM, 2.41%, 7/1/2046 (e) |
46 | 49 | ||||||
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 |
7 | 7 | ||||||
FNMA UMBS, 20 Year Pool # 254305, 6.50%, 5/1/2022 |
3 | 4 | ||||||
FNMA UMBS, 30 Year |
||||||||
Pool # 189190, 7.50%, 11/1/2022 |
1 | 1 | ||||||
Pool # 250066, 8.00%, 5/1/2024 |
| (f) | | (f) | ||||
Pool # 250103, 8.50%, 7/1/2024 |
1 | 1 | ||||||
Pool # 303031, 7.50%, 10/1/2024 |
| (f) | 1 | |||||
Pool # 308499, 8.50%, 5/1/2025 |
| (f) | | (f) | ||||
Pool # 695533, 8.00%, 6/1/2027 |
5 | 6 | ||||||
Pool # 313687, 7.00%, 9/1/2027 |
1 | 1 | ||||||
Pool # 755973, 8.00%, 11/1/2028 |
7 | 8 | ||||||
Pool # 598559, 6.50%, 8/1/2031 |
11 | 13 | ||||||
Pool # 995409, 8.00%, 11/1/2032 |
93 | 109 | ||||||
Pool # 675555, 6.00%, 12/1/2032 |
13 | 15 | ||||||
Pool # 674349, 6.00%, 3/1/2033 |
9 | 10 | ||||||
Pool # 702901, 6.00%, 5/1/2033 |
31 | 37 | ||||||
Pool # 721535, 5.00%, 7/1/2033 |
52 | 60 | ||||||
Pool # 723852, 5.00%, 7/1/2033 |
15 | 17 | ||||||
Pool # 729296, 5.00%, 7/1/2033 |
37 | 42 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Pool # 713700, 4.50%, 8/1/2033 |
21 | 23 | ||||||
Pool # 737825, 6.00%, 9/1/2033 |
8 | 9 | ||||||
Pool # 725027, 5.00%, 11/1/2033 |
32 | 36 | ||||||
Pool # 725017, 5.50%, 12/1/2033 |
33 | 38 | ||||||
Pool # AA0922, 6.00%, 9/1/2036 |
43 | 50 | ||||||
Pool # 986648, 6.00%, 9/1/2037 |
22 | 26 | ||||||
Pool # AD9151, 5.00%, 8/1/2040 |
96 | 108 | ||||||
Pool # BM3375, 4.00%, 1/1/2048 |
219 | 239 | ||||||
Pool # BK8753, 4.50%, 6/1/2049 |
256 | 279 | ||||||
Pool # BP6363, 3.00%, 4/1/2050 |
413 | 435 | ||||||
FNMA, 30 Year |
||||||||
Pool # 252409, 6.50%, 3/1/2029 |
8 | 8 | ||||||
Pool # 752786, 6.00%, 9/1/2033 |
10 | 11 | ||||||
FNMA, Other |
||||||||
Pool # AL0569, 4.45%, 6/1/2021 (e) |
92 | 92 | ||||||
Pool # AM8317, 2.96%, 3/1/2025 |
179 | 193 | ||||||
Pool # AN2309, 2.21%, 7/1/2026 |
454 | 481 | ||||||
Pool # AM6381, 3.29%, 8/1/2026 |
987 | 1,088 | ||||||
Pool # AM7515, 3.34%, 2/ 1/2027 |
500 | 555 | ||||||
Pool # BL1211, 4.01%, 2/1/2027 |
195 | 223 | ||||||
Pool # BL1040, 3.81%, 12/1/2028 |
150 | 174 | ||||||
Pool # BL0907, 3.88%, 12/1/2028 |
300 | 347 | ||||||
Pool # AM6892, 3.76%, 9/1/2029 |
224 | 257 | ||||||
Pool # BM4162, 3.20%, 10/1/2029 (e) |
294 | 328 | ||||||
Pool # BL4333, 2.52%, 11/1/2029 |
397 | 425 | ||||||
Pool # 888408, 6.00%, 3/1/2037 |
19 | 21 | ||||||
Pool # 257172, 5.50%, 4/1/2038 |
7 | 8 | ||||||
Pool # MA1125, 4.00%, 7/1/2042 |
208 | 227 | ||||||
FNMA/FHLMC UMBS, Single Family, 15 Year TBA, 2.00%, 7/25/2036 (h) |
40 | 41 | ||||||
FNMA/FHLMC UMBS, Single Family, 30 Year |
||||||||
TBA, 2.00%, 7/25/2051 (h) |
75 | 76 | ||||||
TBA, 2.50%, 8/25/2051 (h) |
5 | 5 | ||||||
GNMA I, 30 Year |
||||||||
Pool # 352108, 7.00%, 8/15/2023 |
| (f) | | (f) | ||||
Pool # 363030, 7.00%, 9/15/2023 |
8 | 9 | ||||||
Pool # 352022, 7.00%, 11/15/2023 |
1 | 1 | ||||||
Pool # 366706, 6.50%, 1/15/2024 |
4 | 5 | ||||||
Pool # 371281, 7.00%, 2/15/2024 |
2 | 2 | ||||||
Pool # 782507, 9.50%, 10/15/2024 |
| (f) | | (f) | ||||
Pool # 780029, 9.00%, 11/15/2024 |
| (f) | | (f) | ||||
Pool # 780965, 9.50%, 12/15/2025 |
| (f) | | (f) | ||||
Pool # 442119, 7.50%, 11/15/2026 |
1 | 1 | ||||||
Pool # 411829, 7.50%, 7/15/2027 |
2 | 2 | ||||||
Pool # 468149, 8.00%, 8/15/2028 |
1 | 1 | ||||||
Pool # 468236, 6.50%, 9/15/2028 |
31 | 34 | ||||||
Pool # 486537, 7.50%, 9/15/2028 |
2 | 2 | ||||||
Pool # 466406, 6.00%, 11/15/2028 |
11 | 13 | ||||||
Pool # 607645, 6.50%, 2/15/2033 |
8 | 9 | ||||||
Pool # 781614, 7.00%, 6/15/2033 |
13 | 16 | ||||||
Pool # 782615, 7.00%, 6/15/2035 |
35 | 41 | ||||||
Pool # 782025, 6.50%, 12/15/2035 |
45 | 53 | ||||||
Pool # 681638, 6.00%, 12/15/2038 |
65 | 73 | ||||||
GNMA II, 30 Year |
||||||||
Pool # 1974, 8.50%, 3/20/2025 |
| (f) | | (f) | ||||
Pool # 1989, 8.50%, 4/20/2025 |
1 | 2 | ||||||
Pool # 2006, 8.50%, 5/20/2025 |
2 | 2 | ||||||
Pool # 2141, 8.00%, 12/20/2025 |
| (f) | | (f) | ||||
Pool # 2234, 8.00%, 6/20/2026 |
1 | 1 | ||||||
Pool # 2270, 8.00%, 8/20/2026 |
1 | 1 | ||||||
Pool # 2285, 8.00%, 9/20/2026 |
1 | 1 | ||||||
Pool # 2324, 8.00%, 11/20/2026 |
1 | 1 | ||||||
Pool # 2499, 8.00%, 10/20/2027 |
2 | 2 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
Pool # 2512, 8.00%, 11/20/2027 |
2 | 2 | ||||||
Pool # 2525, 8.00%, 12/20/2027 |
1 | 1 | ||||||
Pool # 2549, 7.50%, 2/20/2028 |
1 | 1 | ||||||
Pool # 2562, 6.00%, 3/20/2028 |
10 | 11 | ||||||
Pool # 2606, 8.00%, 6/20/2028 |
1 | 1 | ||||||
Pool # 2633, 8.00%, 8/20/2028 |
| (f) | | (f) | ||||
Pool # 2646, 7.50%, 9/20/2028 |
2 | 2 | ||||||
Pool # 4245, 6.00%, 9/20/2038 |
50 | 58 | ||||||
Pool # BA7567, 4.50%, 5/20/2048 |
152 | 164 | ||||||
Pool # BI0416, 4.50%, 11/20/2048 |
195 | 211 | ||||||
Pool # BM9692, 4.50%, 7/20/2049 |
141 | 152 | ||||||
Pool # BQ3224, 4.50%, 9/20/2049 |
472 | 523 | ||||||
Pool # MA7136, 2.50%, 1/20/2051 |
133 | 138 | ||||||
GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033 |
346 | 369 | ||||||
|
|
|||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $9,707) |
10,345 | |||||||
|
|
|||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 7.8% |
||||||||
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (a) (e) |
145 | 148 | ||||||
Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048 |
281 | 311 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates |
||||||||
Series KF12, Class A, 0.81%, 9/25/2022 (e) |
9 | 9 | ||||||
Series KSMC, Class A2, 2.62%, 1/25/2023 |
500 | 519 | ||||||
Series KL3L, Class ALNZ, 3.32%, 4/25/2025 (e) |
500 | 544 | ||||||
Series KLU2, Class A7, 2.23%, 9/25/2025 (e) |
350 | 368 | ||||||
Series K737, Class AM, 2.10%, 10/25/2026 |
305 | 321 | ||||||
Series K069, Class A2, 3.19%, 9/25/2027 (e) |
500 | 558 | ||||||
Series K081, Class A1, 3.88%, 2/25/2028 |
111 | 125 | ||||||
Series K083, Class A2, 4.05%, 9/25/2028 (e) |
297 | 350 | ||||||
Series K088, Class A2, 3.69%, 1/25/2029 |
480 | 554 | ||||||
FNMA ACES |
||||||||
Series 2015-M17, Class FA, 1.05%, 11/25/2022 (e) |
120 | 120 | ||||||
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e) |
448 | 478 | ||||||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e) |
565 | 604 | ||||||
Series 2015-M7, Class A2, 2.59%, 12/25/2024 |
676 | 716 | ||||||
Series 2018-M2, Class A2, 2.90%, 1/25/2028 (e) |
500 | 550 | ||||||
Series 2018-M13, Class A1, 3.70%, 3/25/2030 (e) |
219 | 249 | ||||||
Series 2020-M50, Class A1, 0.67%, 10/25/2030 |
482 | 473 | ||||||
Series 2020-M50, Class A2, 1.20%, 10/25/2030 |
165 | 163 | ||||||
Series 2020-M50, Class X1, IO, 1.92%, 10/25/2030 (e) |
2,802 | 316 | ||||||
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (e) |
117 | 115 | ||||||
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 |
25 | 24 | ||||||
Series 2021-M3, Class X1, IO, 2.01%, 11/25/2033 (e) |
115 | 16 | ||||||
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) |
200 | 209 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) |
116 | 117 | ||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 |
104 | 106 | ||||||
|
|
|||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $7,566) |
8,063 | |||||||
|
|
|||||||
ASSET-BACKED SECURITIES 7.6% |
||||||||
ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (a) |
34 | 34 | ||||||
Ally Auto Receivables Trust |
||||||||
Series 2018-2, Class A3, 2.92%, 11/15/2022 |
27 | 27 | ||||||
Series 2019-1, Class A3, 2.91%, 9/15/2023 |
37 | 38 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
American Airlines Pass-Through Trust Series 2016-3, Class AA, 3.00%, 10/15/2028 |
65 | 66 | ||||||
American Credit Acceptance Receivables Trust |
||||||||
Series 2019-4, Class B, 2.43%, 10/12/2023 (a) |
80 | 80 | ||||||
Series 2020-3, Class A, 0.62%, 10/13/2023 (a) |
32 | 32 | ||||||
Series 2021-1, Class A, 0.35%, 5/13/2024 (a) |
50 | 50 | ||||||
American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024 |
135 | 138 | ||||||
AmeriCredit Automobile Receivables Trust |
||||||||
Series 2018-2, Class A3, 3.15%, 3/20/2023 |
20 | 20 | ||||||
Series 2019-1, Class A3, 2.97%, 11/20/2023 |
30 | 30 | ||||||
Series 2019-2, Class A3, 2.28%, 1/18/2024 |
181 | 183 | ||||||
Series 2020-1, Class A3, 1.11%, 8/19/2024 |
70 | 70 | ||||||
Series 2020-2, Class A3, 0.66%, 12/18/2024 |
21 | 21 | ||||||
Series 2021-1, Class A3, 0.37%, 8/18/2025 |
86 | 87 | ||||||
Series 2020-3, Class B, 0.76%, 12/18/2025 |
75 | 75 | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (a) |
100 | 105 | ||||||
BA Credit Card Trust |
||||||||
Series 2019-A1, Class A1, 1.74%, 1/15/2025 |
230 | 234 | ||||||
Series 2020-A1, Class A1, 0.34%, 5/15/2026 |
88 | 88 | ||||||
British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (a) |
56 | 59 | ||||||
CarMax Auto Owner Trust |
||||||||
Series 2018-2, Class A3, 2.98%, 1/17/2023 |
32 | 32 | ||||||
Series 2018-3, Class A3, 3.13%, 6/15/2023 |
92 | 93 | ||||||
Series 2019-1, Class A3, 3.05%, 3/15/2024 |
145 | 148 | ||||||
Series 2020-1, Class A3, 1.89%, 12/16/2024 |
87 | 89 | ||||||
Series 2020-3, Class A3, 0.62%, 3/17/2025 |
85 | 85 | ||||||
Series 2021-1, Class A3, 0.34%, 12/15/2025 |
41 | 41 | ||||||
CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052 (a) |
85 | 89 | ||||||
CPS Auto Receivables Trust |
||||||||
Series 2020-A, Class A, 2.09%, 5/15/2023 (a) |
13 | 13 | ||||||
Series 2021-B, Class B, 0.81%, 12/15/2025 (a) |
100 | 100 | ||||||
Credit Acceptance Auto Loan Trust |
||||||||
Series 2019-3A, Class A, 2.38%, 11/15/2028 (a) |
250 | 256 | ||||||
Series 2020-1A, Class A, 2.01%, 2/15/2029 (a) |
250 | 255 | ||||||
Series 2021-2A, Class A, 0.96%, 2/15/2030 (a) |
250 | 251 | ||||||
Drive Auto Receivables Trust |
||||||||
Series 2020-1, Class A3, 2.02%, 11/15/2023 |
25 | 25 | ||||||
Series 2021-1, Class A3, 0.44%, 11/15/2024 |
49 | 50 | ||||||
Series 2020-2, Class B, 1.42%, 3/17/2025 |
20 | 20 | ||||||
DT Auto Owner Trust |
||||||||
Series 2020-3A, Class B, 0.91%, 12/16/2024 (a) |
65 | 65 | ||||||
Series 2021-1A, Class B, 0.62%, 9/15/2025 (a) |
20 | 20 | ||||||
Exeter Automobile Receivables Trust |
||||||||
Series 2020-1A, Class A, 2.05%, 6/15/2023 (a) |
4 | 4 | ||||||
Series 2020-3A, Class B, 0.79%, 9/16/2024 |
40 | 40 | ||||||
Series 2021-1A, Class B, 0.50%, 2/18/2025 |
78 | 78 | ||||||
Series 2021-2A, Class B, 0.57%, 9/15/2025 |
55 | 55 | ||||||
Federal Express Corp. Pass-Through Trust Series 1998, 6.72%, 1/15/2022 |
27 | 28 | ||||||
First Investors Auto Owner Trust |
||||||||
Series 2019-1A, Class A, 2.89%, 3/15/2024 (a) |
12 | 12 | ||||||
Series 2021-1A, Class A, 0.45%, 3/16/2026 (a) |
36 | 36 | ||||||
Flagship Credit Auto Trust |
||||||||
Series 2020-4, Class A, 0.53%, 4/15/2025 (a) |
212 | 212 | ||||||
Series 2019-4, Class C, 2.77%, 12/15/2025 (a) |
105 | 109 | ||||||
Ford Credit Auto Lease Trust |
||||||||
Series 2020-A, Class A3, 1.85%, 3/15/2023 |
55 | 55 | ||||||
Series 2020-B, Class A4, 0.69%, 10/15/2023 |
47 | 47 | ||||||
Series 2021-A, Class A3, 0.26%, 2/15/2024 |
72 | 73 | ||||||
FREED ABS Trust Series 2020-FP1, Class A, 2.52%, 3/18/2027 (a) |
24 | 24 | ||||||
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (e) |
13 | 12 | ||||||
GLS Auto Receivables Issuer Trust Series 2020-4A, Class A, 0.52%, 2/15/2024 (a) |
55 | 55 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
GM Financial Consumer Automobile Receivables Trust |
||||||||
Series 2018-2, Class A3, 2.81%, 12/16/2022 |
30 | 31 | ||||||
Series 2021-1, Class A3, 0.35%, 10/16/2025 |
34 | 34 | ||||||
GM Financial Leasing Trust Series 2021-1, Class A4, 0.33%, 2/20/2025 |
78 | 78 | ||||||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a) |
13 | 14 | ||||||
Honda Auto Receivables Owner Trust |
||||||||
Series 2018-2, Class A3, 3.01%, 5/18/2022 |
13 | 13 | ||||||
Series 2019-4, Class A3, 1.83%, 1/18/2024 |
180 | 183 | ||||||
Hyundai Auto Lease Securitization Trust |
||||||||
Series 2019-A, Class A3, 2.98%, 7/15/2022 (a) |
19 | 19 | ||||||
Series 2020-B, Class A3, 0.51%, 9/15/2023 (a) |
135 | 135 | ||||||
Hyundai Auto Receivables Trust Series 2018-A, Class A3, 2.79%, 7/15/2022 |
4 | 4 | ||||||
LV Tower 52 Issuer Series 2013-1, Class A, 5.75%, 7/15/2019 (a) |
525 | 530 | ||||||
Mercedes-Benz Auto Lease Trust |
||||||||
Series 2019-B, Class A3, 2.00%, 10/17/2022 |
45 | 45 | ||||||
Series 2020-A, Class A3, 1.84%, 12/15/2022 |
68 | 68 | ||||||
Series 2021-A, Class A3, 0.25%, 1/16/2024 |
59 | 59 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024 (a) |
53 | 53 | ||||||
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (a) |
35 | 35 | ||||||
Santander Drive Auto Receivables Trust |
||||||||
Series 2020-2, Class A3, 0.67%, 4/15/2024 |
33 | 33 | ||||||
Series 2020-3, Class B, 0.69%, 3/17/2025 |
65 | 65 | ||||||
Series 2021-1, Class B, 0.50%, 4/15/2025 |
146 | 147 | ||||||
Series 2020-4, Class C, 1.01%, 1/15/2026 |
50 | 50 | ||||||
Series 2021-2, Class C, 0.90%, 6/15/2026 |
74 | 74 | ||||||
Santander Retail Auto Lease Trust Series 2019-A, Class A3, 2.77%, 6/20/2022 (a) |
148 | 149 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%, 1/25/2036 (g) |
23 | 24 | ||||||
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 |
39 | 39 | ||||||
Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024 |
260 | 262 | ||||||
Tesla Auto Lease Trust Series 2019-A, Class A3, 2.16%, 10/20/2022 (a) |
168 | 171 | ||||||
Toyota Auto Receivables Owner Trust |
||||||||
Series 2020-A, Class A2, 1.67%, 11/15/2022 |
74 | 75 | ||||||
Series 2020-A, Class A3, 1.66%, 5/15/2024 |
180 | 183 | ||||||
Series 2021-A, Class A3, 0.26%, 5/15/2025 |
131 | 131 | ||||||
Series 2020-C, Class A4, 0.57%, 10/15/2025 |
56 | 56 | ||||||
United Airlines Pass-Through Trust |
||||||||
Series 2016-2, Class AA, 2.88%, 10/7/2028 |
98 | 101 | ||||||
Series 2018-1, Class A, 3.70%, 3/1/2030 |
110 | 112 | ||||||
United Auto Credit Securitization Trust |
||||||||
Series 2021-1, Class A, 0.34%, 7/10/2023 (a) |
41 | 41 | ||||||
Series 2021-1, Class C, 0.84%, 6/10/2026 (a) |
70 | 70 | ||||||
US Auto Funding LLC Series 2019-1A, Class B, 3.99%, 12/15/2022 (a) |
63 | 64 | ||||||
Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023 |
36 | 36 | ||||||
Westlake Automobile Receivables Trust |
||||||||
Series 2020-2A, Class A2A, 0.93%, 2/15/2024 (a) |
73 | 73 | ||||||
Series 2020-3A, Class B, 0.78%, 11/17/2025 (a) |
90 | 91 | ||||||
World Financial Network Credit Card Master Trust Series 2018-B, Class A, 3.46%, 7/15/2025 |
156 | 157 | ||||||
World Omni Auto Receivables Trust |
||||||||
Series 2020-A, Class A3, 1.70%, 1/17/2023 |
130 | 132 | ||||||
Series 2017-B, Class A3, 1.95%, 2/15/2023 |
16 | 16 | ||||||
Series 2021-A, Class A3, 0.30%, 1/15/2026 |
123 | 123 | ||||||
World Omni Automobile Lease Securitization Trust |
||||||||
Series 2019-A, Class A3, 2.94%, 5/16/2022 |
40 | 40 | ||||||
Series 2020-B, Class A4, 0.52%, 2/17/2026 |
60 | 60 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
Investments |
Principal Amount ($000) |
Value ($000) |
||||||
World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025 |
60 | 60 | ||||||
|
|
|||||||
TOTAL ASSET-BACKED SECURITIES (Cost $7,765) |
7,845 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY SECURITIES 0.1% |
||||||||
Resolution Funding Corp. STRIPS DN, 3.22%, 1/15/2026 (d) (Cost $53) |
60 | 57 | ||||||
|
|
|||||||
Shares (000) |
||||||||
SHORT-TERM INVESTMENTS 1.9% |
||||||||
INVESTMENT COMPANIES 1.9% |
||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (i) (j) (Cost $1,982) |
1,981 | 1,982 | ||||||
|
|
|||||||
Total Investments 99.8% (Cost $98,962) |
103,069 | |||||||
Other Assets Less Liabilities 0.2% |
|
173 | ||||||
|
|
|||||||
Net Assets 100.0% |
|
103,242 | ||||||
|
|
Percentages indicated are based on net assets.
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. | |
DN | Discount Notes | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
HB | High Coupon Bonds (a.k.a. IOettes) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike 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 |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited) (continued)
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 | |
SOFR | Secured Overnight Financing Rate | |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | |
TBA | To Be Announced; Security is subject to delayed delivery. | |
UMBS | Uniform Mortgage-Backed Securities | |
USD | United States Dollar | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2021. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | The rate shown is the effective yield as of May 31, 2021. | |
(e) | 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. | |
(f) | Amount rounds to less than one thousand. | |
(g) | 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. | |
(h) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(i) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(j) | The rate shown is the current yield as of May 31, 2021. | |
| Value determined using significant unobservable inputs. |
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited)
(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.
JPMorgan Intermediate Bond Trust
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MAY 31, 2021 (Unaudited)
(Dollar values in thousands)
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 |
$ | | $ | 7,279 | $ | 566 | $ | 7,845 | ||||||||
Collateralized Mortgage Obligations |
| 16,710 | 620 | 17,330 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 8,063 | | 8,063 | ||||||||||||
Corporate Bonds |
| 32,700 | | 32,700 | ||||||||||||
Mortgage-Backed Securities |
| 10,345 | | 10,345 | ||||||||||||
U.S. Government Agency Securities |
| 57 | | 57 | ||||||||||||
U.S. Treasury Obligations |
| 24,747 | | 24,747 | ||||||||||||
Short-Term Investments |
|
|||||||||||||||
Investment Companies |
1,982 | | | 1,982 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,982 | $ | 99,901 | $ | 1,186 | $ | 103,069 | ||||||||
|
|
|
|
|
|
|
|
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 |
$ | 894 | $ | | $ | (2 | ) | $ | | (a) | $ | | $ | (326 | ) | $ | | $ | | $ | 566 | |||||||||||||||
Collateralized Mortgage Obligations |
654 | | (2 | ) | | (a) | | (a) | (32 | ) | | | 620 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 1,548 | $ | | $ | (4 | ) | $ | | (a) | $ | | (a) | $ | (358 | ) | $ | | $ | | $ | 1,186 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $(3).
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) | |||||||||
$ | 35 | Discounted Cash Flow | Constant Prepayment Rate |
3.60% - 4.20% (4.00%) | ||||||||
Constant Default Rate |
1.58% - 4.92% (2.70%) | |||||||||||
Yield (Discount Rate of Cash Flows) |
3.15% - 3.53% (3.40%) | |||||||||||
|
|
|||||||||||
Asset-Backed Securities |
35 | |||||||||||
|
|
|||||||||||
616 | Discounted Cash Flow | Constant Prepayment Rate |
0.00% - 100.00% (93.74%) | |||||||||
Constant Default Rate |
0.00% - 2.90% (0.16%) | |||||||||||
Yield (Discount Rate of Cash Flows) |
1.39% - 8.07% (2.05%) | |||||||||||
|
|
|||||||||||
Collateralized Mortgage Obligations |
616 | |||||||||||
|
|
|||||||||||
Total |
$ | 651 | ||||||||||
|
|
# | 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 $535. 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.
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) |
$ | 3,631 | $ | 5,244 | $ | 6,893 | $ | | (c) | $ | | (c) | $ | 1,982 | 1,981 | $ | | (c) | $ | | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
(c) | Amount rounds to less than one thousand. |