THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
© J.P. Morgan Chase & Co., 2023.
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
U.S. Treasury Obligations — 67.6%
|
||
U.S. Treasury Bonds
|
|
|
6.13%, 8/15/2029
|
400
|
435
|
1.13%, 5/15/2040
|
750
|
445
|
U.S. Treasury Notes
|
|
|
2.00%, 5/31/2024
|
1,000
|
983
|
1.50%, 2/15/2025
|
250
|
240
|
0.25%, 7/31/2025
|
1,600
|
1,483
|
5.00%, 10/31/2025
|
8,200
|
8,237
|
0.75%, 5/31/2026
|
3,000
|
2,734
|
1.13%, 10/31/2026
|
3,000
|
2,729
|
4.63%, 11/15/2026
|
1,200
|
1,205
|
0.38%, 9/30/2027
|
580
|
499
|
0.50%, 10/31/2027
|
2,500
|
2,154
|
1.25%, 3/31/2028
|
2,000
|
1,756
|
2.88%, 5/15/2028
|
750
|
705
|
1.25%, 9/30/2028
|
4,200
|
3,638
|
4.88%, 10/31/2028
|
6,800
|
6,967
|
3.13%, 11/15/2028
|
700
|
662
|
1.50%, 11/30/2028
|
800
|
699
|
1.75%, 1/31/2029
|
1,000
|
881
|
3.25%, 6/30/2029
|
2,400
|
2,268
|
3.88%, 9/30/2029
|
3,300
|
3,215
|
4.88%, 10/31/2030
|
2,900
|
2,987
|
2.88%, 5/15/2032
|
6,000
|
5,369
|
2.75%, 8/15/2032
|
600
|
530
|
4.13%, 11/15/2032
|
1,000
|
982
|
4.50%, 11/15/2033
|
2,700
|
2,733
|
U.S. Treasury STRIPS Bonds
|
|
|
2.82%, 2/15/2024 (a)
|
606
|
599
|
2.43%, 5/15/2024 (a)
|
200
|
195
|
3.29%, 5/15/2025 (a)
|
200
|
186
|
2.59%, 5/15/2026 (a)
|
200
|
179
|
3.96%, 8/15/2026 (a)
|
47
|
42
|
4.18%, 11/15/2026 (a)
|
300
|
263
|
3.23%, 2/15/2027 (a)
|
100
|
87
|
4.48%, 8/15/2027 (a)
|
100
|
85
|
4.58%, 11/15/2027 (a)
|
140
|
118
|
3.41%, 2/15/2028 (a)
|
53
|
44
|
2.75%, 5/15/2028 (a)
|
10
|
8
|
3.66%, 8/15/2028 (a)
|
200
|
163
|
Total U.S. Treasury Obligations
(Cost $57,989)
|
|
56,505
|
Collateralized Mortgage Obligations — 9.2%
|
||
Alternative Loan Trust
|
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034
|
337
|
333
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
48
|
36
|
Banc of America Funding Trust Series 2004-1, PO, 3/25/2034
|
6
|
4
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
CHL Mortgage Pass-Through Trust
|
|
|
Series 2004-HYB3, Class 2A, 3.90%, 6/20/2034 (b)
|
5
|
4
|
Series 2004-5, Class 1A4, 5.50%, 6/25/2034
|
10
|
10
|
Series 2005-22, Class 2A1, 4.64%, 11/25/2035 (b)
|
61
|
48
|
Citigroup Global Markets Mortgage Securities VII, Inc.
|
|
|
Series 2003-UP2, Class 1, PO, 6/25/2033
|
—
|
—
|
Series 2003-HYB1, Class A, 6.24%, 9/25/2033 (b)
|
2
|
2
|
Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033
|
2
|
2
|
FHLMC, REMIC
|
|
|
Series 2033, Class SN, IF, IO, 17.90%, 3/15/2024 (b)
|
—
|
—
|
Series 2306, Class K, PO, 5/15/2024
|
—
|
—
|
Series 2306, Class SE, IF, IO, 5.73%, 5/15/2024 (b)
|
—
|
—
|
Series 1927, Class PH, 7.50%, 1/15/2027
|
12
|
12
|
Series 2038, Class PN, IO, 7.00%, 3/15/2028
|
2
|
—
|
Series 2063, Class PG, 6.50%, 6/15/2028
|
11
|
11
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
3
|
—
|
Series 2169, Class TB, 7.00%, 6/15/2029
|
24
|
25
|
Series 2163, Class PC, IO, 7.50%, 6/15/2029
|
1
|
—
|
Series 2172, Class QC, 7.00%, 7/15/2029
|
11
|
11
|
Series 2344, Class ZD, 6.50%, 8/15/2031
|
70
|
70
|
Series 2410, Class QX, IF, IO, 3.21%, 2/15/2032 (b)
|
3
|
—
|
Series 2412, Class SP, IF, 5.22%, 2/15/2032 (b)
|
14
|
15
|
Series 2444, Class ES, IF, IO, 2.51%, 3/15/2032 (b)
|
10
|
1
|
Series 2450, Class SW, IF, IO, 2.56%, 3/15/2032 (b)
|
4
|
—
|
Series 2435, Class CJ, 6.50%, 4/15/2032
|
32
|
33
|
Series 2441, Class GF, 6.50%, 4/15/2032
|
10
|
11
|
Series 2455, Class GK, 6.50%, 5/15/2032
|
14
|
14
|
Series 2466, Class DH, 6.50%, 6/15/2032
|
11
|
11
|
Series 2474, Class NR, 6.50%, 7/15/2032
|
13
|
13
|
Series 2500, Class MC, 6.00%, 9/15/2032
|
19
|
19
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
44
|
45
|
Series 2575, Class ME, 6.00%, 2/15/2033
|
80
|
81
|
Series 2586, Class WI, IO, 6.50%, 3/15/2033
|
6
|
1
|
Series 3611, PO, 7/15/2034
|
—
|
—
|
Series 2990, Class UZ, 5.75%, 6/15/2035
|
255
|
252
|
Series 3117, Class EO, PO, 2/15/2036
|
—
|
—
|
Series 3117, Class OK, PO, 2/15/2036
|
—
|
—
|
Series 3607, Class AO, PO, 4/15/2036
|
—
|
—
|
Series 3137, Class XP, 6.00%, 4/15/2036
|
37
|
38
|
Series 3819, Class ZQ, 6.00%, 4/15/2036
|
90
|
91
|
Series 3149, Class SO, PO, 5/15/2036
|
—
|
—
|
Series 3202, Class HI, IF, IO, 1.21%, 8/15/2036 (b)
|
72
|
6
|
Series 3232, Class ST, IF, IO, 1.26%, 10/15/2036 (b)
|
16
|
1
|
Series 3417, Class EO, PO, 11/15/2036
|
—
|
—
|
Series 3481, Class SJ, IF, IO, 0.41%, 8/15/2038 (b)
|
35
|
3
|
Series 4096, Class HA, 2.00%, 12/15/2041
|
81
|
73
|
Series 5008, Class LB, 1.50%, 8/25/2050
|
354
|
271
|
Series 5028, Class JG, 1.50%, 8/25/2050
|
369
|
281
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 5190, Class PH, 2.50%, 2/25/2052
|
282
|
247
|
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042
|
171
|
157
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
Series T-41, Class 3A, 4.36%, 7/25/2032 (b)
|
15
|
14
|
Series T-76, Class 2A, 2.33%, 10/25/2037 (b)
|
59
|
50
|
Series T-51, Class 2A, 7.50%, 8/25/2042 (b)
|
16
|
16
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
152
|
153
|
Series T-54, Class 3A, 7.00%, 2/25/2043
|
49
|
50
|
Series T-56, Class A5, 5.23%, 5/25/2043
|
348
|
321
|
Series T-58, Class A, PO, 9/25/2043
|
8
|
6
|
FNMA Trust, Whole Loan
|
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
11
|
12
|
Series 2005-W3, Class 2AF, 5.66%, 3/25/2045 (b)
|
40
|
39
|
FNMA, REMIC
|
|
|
Series 1993-247, Class SA, IF, 4.27%, 12/25/2023 (b)
|
—
|
—
|
Series 2005-121, Class DX, 5.50%, 1/25/2026
|
15
|
15
|
Series 1997-20, IO, 1.84%, 3/25/2027 (b)
|
—
|
—
|
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (b)
|
—
|
—
|
Series 2012-47, Class HF, 5.84%, 5/25/2027 (b)
|
16
|
16
|
Series 2001-36, Class DE, 7.00%, 8/25/2031
|
14
|
14
|
Series 2003-52, Class SX, IF, 6.62%, 10/25/2031 (b)
|
4
|
4
|
Series 2004-74, Class SW, IF, 4.62%, 11/25/2031 (b)
|
10
|
11
|
Series 2001-81, Class LO, PO, 1/25/2032
|
1
|
1
|
Series 2002-1, Class SA, IF, 7.50%, 2/25/2032 (b)
|
2
|
2
|
Series 2004-61, Class SH, IF, 2.23%, 11/25/2032 (b)
|
12
|
12
|
Series 2003-22, Class UD, 4.00%, 4/25/2033
|
36
|
34
|
Series 2003-34, Class GE, 6.00%, 5/25/2033
|
98
|
99
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
43
|
43
|
Series 2003-64, Class SX, IF, 0.16%, 7/25/2033 (b)
|
4
|
4
|
Series 2003-71, Class DS, IF, 0.22%, 8/25/2033 (b)
|
43
|
38
|
Series 2005-56, Class TP, IF, 1.82%, 8/25/2033 (b)
|
8
|
8
|
Series 2003-91, Class SD, IF, 3.43%, 9/25/2033 (b)
|
3
|
3
|
Series 2006-44, Class P, PO, 12/25/2033
|
12
|
10
|
Series 2003-130, Class SX, IF, 3.36%, 1/25/2034 (b)
|
1
|
1
|
Series 2004-25, Class SA, IF, 4.56%, 4/25/2034 (b)
|
11
|
11
|
Series 2004-46, Class SK, IF, 1.53%, 5/25/2034 (b)
|
7
|
7
|
Series 2004-36, Class SA, IF, 4.56%, 5/25/2034 (b)
|
19
|
20
|
Series 2004-50, Class VZ, 5.50%, 7/25/2034
|
140
|
138
|
Series 2005-74, Class CS, IF, 5.05%, 5/25/2035 (b)
|
4
|
4
|
Series 2005-45, Class DC, IF, 4.35%, 6/25/2035 (b)
|
18
|
18
|
Series 2005-73, Class PS, IF, 3.09%, 8/25/2035 (b)
|
32
|
32
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
69
|
68
|
Series 2005-106, Class US, IF, 4.61%, 11/25/2035 (b)
|
17
|
18
|
Series 2006-27, Class OH, PO, 4/25/2036
|
14
|
12
|
Series 2006-65, Class QO, PO, 7/25/2036
|
11
|
9
|
Series 2006-56, Class FC, 5.73%, 7/25/2036 (b)
|
67
|
66
|
Series 2006-72, Class GO, PO, 8/25/2036
|
15
|
13
|
Series 2006-79, Class DO, PO, 8/25/2036
|
13
|
11
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
16
|
17
|
Series 2006-110, PO, 11/25/2036
|
19
|
16
|
Series 2006-124, Class HB, 5.26%, 11/25/2036 (b)
|
34
|
34
|
Series 2007-79, Class SB, IF, 4.06%, 8/25/2037 (b)
|
13
|
15
|
Series 2007-81, Class GE, 6.00%, 8/25/2037
|
31
|
32
|
Series 2008-28, Class QS, IF, 4.37%, 4/25/2038 (b)
|
12
|
12
|
Series 2013-25, Class DC, 2.50%, 6/25/2039
|
118
|
109
|
Series 2009-69, PO, 9/25/2039
|
20
|
15
|
Series 2009-103, Class MB, 5.27%, 12/25/2039 (b)
|
18
|
18
|
Series 2010-71, Class HJ, 5.50%, 7/25/2040
|
49
|
49
|
Series 2011-118, Class MT, 7.00%, 11/25/2041
|
56
|
58
|
Series 2011-118, Class NT, 7.00%, 11/25/2041
|
48
|
50
|
Series 2013-101, Class DO, PO, 10/25/2043
|
112
|
82
|
Series 2013-128, PO, 12/25/2043
|
88
|
64
|
Series 2019-65, Class PA, 2.50%, 5/25/2048
|
145
|
127
|
FNMA, REMIC Trust, Whole Loan
|
|
|
Series 2007-W7, Class 1A4, IF, 6.52%, 7/25/2037 (b)
|
3
|
3
|
Series 2003-W4, Class 2A, 5.16%, 10/25/2042 (b)
|
8
|
8
|
Series 2003-W1, Class 1A1, 4.80%, 12/25/2042 (b)
|
44
|
42
|
FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.03%, 10/25/2037 (b)
|
11
|
11
|
FNMA, STRIPS
|
|
|
Series 300, Class 1, PO, 9/25/2024
|
—
|
—
|
Series 329, Class 1, PO, 1/25/2033
|
2
|
2
|
GNMA
|
|
|
Series 2003-52, Class AP, PO, 6/16/2033
|
19
|
17
|
Series 2004-28, Class S, IF, 4.69%, 4/16/2034 (b)
|
5
|
6
|
Series 2004-71, Class SB, IF, 2.72%, 9/20/2034 (b)
|
9
|
9
|
Series 2004-90, Class SI, IF, IO, 0.65%, 10/20/2034 (b)
|
56
|
3
|
Series 2005-68, Class DP, IF, 3.32%, 6/17/2035 (b)
|
8
|
8
|
Series 2005-68, Class KI, IF, IO, 0.85%, 9/20/2035 (b)
|
100
|
8
|
Series 2006-38, Class ZK, 6.50%, 8/20/2036
|
173
|
172
|
Series 2006-59, Class SD, IF, IO, 1.25%, 10/20/2036 (b)
|
12
|
1
|
Series 2007-17, Class JI, IF, IO, 1.37%, 4/16/2037 (b)
|
48
|
4
|
Series 2007-27, Class SA, IF, IO, 0.75%, 5/20/2037 (b)
|
58
|
2
|
Series 2007-45, Class QA, IF, IO, 1.19%, 7/20/2037 (b)
|
47
|
2
|
Series 2007-40, Class SB, IF, IO, 1.30%, 7/20/2037 (b)
|
78
|
4
|
Series 2007-53, Class ES, IF, IO, 1.10%, 9/20/2037 (b)
|
13
|
—
|
Series 2007-53, Class SW, IF, 3.87%, 9/20/2037 (b)
|
10
|
10
|
Series 2009-79, Class OK, PO, 11/16/2037
|
37
|
32
|
Series 2007-76, Class SA, IF, IO, 1.08%, 11/20/2037 (b)
|
25
|
1
|
Series 2007-72, Class US, IF, IO, 1.10%, 11/20/2037 (b)
|
25
|
—
|
Series 2009-106, Class ST, IF, IO, 0.55%, 2/20/2038 (b)
|
79
|
3
|
Series 2008-33, Class XS, IF, IO, 2.26%, 4/16/2038 (b)
|
18
|
1
|
Series 2008-40, Class SA, IF, IO, 0.96%, 5/16/2038 (b)
|
45
|
2
|
Series 2008-55, Class SA, IF, IO, 0.75%, 6/20/2038 (b)
|
30
|
1
|
Series 2008-50, Class KB, 6.00%, 6/20/2038
|
60
|
61
|
Series 2008-93, Class AS, IF, IO, 0.25%, 12/20/2038 (b)
|
35
|
2
|
Series 2009-6, Class SA, IF, IO, 0.66%, 2/16/2039 (b)
|
8
|
—
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2009-31, Class TS, IF, IO, 0.85%, 3/20/2039 (b)
|
19
|
—
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
15
|
1
|
Series 2009-22, Class SA, IF, IO, 0.82%, 4/20/2039 (b)
|
36
|
2
|
Series 2009-92, Class ZC, 5.00%, 10/20/2039
|
211
|
206
|
Series 2011-137, Class WA, 5.59%, 7/20/2040 (b)
|
100
|
102
|
Series 2010-105, Class B, 5.00%, 8/20/2040
|
271
|
264
|
Series 2010-130, Class CP, 7.00%, 10/16/2040
|
25
|
26
|
Series 2013-91, Class WA, 4.44%, 4/20/2043 (b)
|
252
|
236
|
Series 2012-H24, Class FA, 5.50%, 3/20/2060 (b)
|
4
|
4
|
Series 2013-H03, Class FA, 5.59%, 8/20/2060 (b)
|
—
|
—
|
Series 2012-H21, Class DF, 4.87%, 5/20/2061 (b)
|
1
|
1
|
Series 2012-H26, Class MA, 4.88%, 7/20/2062 (b)
|
1
|
1
|
Series 2012-H29, Class FA, 5.95%, 10/20/2062 (b)
|
86
|
86
|
Series 2014-H15, Class FA, 5.94%, 7/20/2064 (b)
|
395
|
392
|
Series 2015-H15, Class FJ, 5.88%, 6/20/2065 (b)
|
339
|
337
|
Series 2015-H18, Class FA, 5.89%, 6/20/2065 (b)
|
147
|
146
|
Series 2015-H20, Class FA, 5.91%, 8/20/2065 (b)
|
335
|
333
|
Series 2015-H26, Class FG, 5.96%, 10/20/2065 (b)
|
380
|
375
|
GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036
|
14
|
25
|
Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033
|
—
|
—
|
JPMorgan Mortgage Trust
|
|
|
Series 2003-A1, Class 1A1, 4.52%, 10/25/2033 (b)
|
55
|
49
|
Series 2006-A2, Class 5A3, 6.13%, 11/25/2033 (b)
|
11
|
11
|
Series 2006-A2, Class 4A1, 5.59%, 8/25/2034 (b)
|
6
|
6
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
Series 2004-13, Class 2A1, 5.87%, 4/21/2034 (b)
|
16
|
15
|
Series 2004-3, Class 4A2, 3.85%, 4/25/2034 (b)
|
7
|
6
|
MASTR Alternative Loan Trust
|
|
|
Series 2004-10, Class 1A1, 4.50%, 9/25/2019
|
—
|
—
|
Series 2004-4, Class 10A1, 5.00%, 5/25/2024
|
13
|
12
|
Series 2003-9, Class 8A1, 6.00%, 1/25/2034
|
45
|
42
|
Series 2004-7, Class 30, PO, 8/25/2034
|
4
|
3
|
Series 2005-6, Class 3A1, 5.50%, 12/25/2035
|
7
|
5
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (c)
|
3
|
2
|
Merrill Lynch Mortgage Investors Trust
|
|
|
Series 2003-E, Class A1, 6.08%, 10/25/2028 (b)
|
30
|
28
|
Series 2004-A, Class A1, 5.92%, 4/25/2029 (b)
|
10
|
9
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (c)
|
19
|
17
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033
|
7
|
6
|
Series 2003-A1, Class A1, 5.50%, 5/25/2033
|
1
|
1
|
Series 2003-A1, Class A2, 6.00%, 5/25/2033
|
5
|
4
|
RALI Trust
|
|
|
Series 2002-QS16, Class A3, IF, 5.21%, 10/25/2017 ‡ (b)
|
—
|
—
|
Series 2003-QS9, Class A3, IF, IO, 2.09%, 5/25/2018 ‡ (b)
|
—
|
—
|
Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 (c)
|
26
|
14
|
Vendee Mortgage Trust
|
|
|
Series 1994-1, Class 1, 3.94%, 2/15/2024 (b)
|
2
|
2
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026
|
34
|
34
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
10
|
10
|
Series 1997-1, Class 2Z, 7.50%, 2/15/2027
|
47
|
48
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
14
|
14
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
Series 2003-AR5, Class A7, 4.82%, 6/25/2033 (b)
|
17
|
17
|
Series 2004-AR3, Class A2, 4.50%, 6/25/2034 (b)
|
8
|
7
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class
CB7, 5.50%, 6/25/2035
|
55
|
47
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class
P, PO, 3/25/2033
|
—
|
—
|
Total Collateralized Mortgage Obligations
(Cost $8,128)
|
|
7,694
|
Mortgage-Backed Securities — 7.3%
|
||
FHLMC
|
|
|
Pool # 1G2557, ARM, 5.48%, 6/1/2036 (b)
|
21
|
22
|
Pool # 1A1085, ARM, 7.46%, 8/1/2036 (b)
|
27
|
27
|
Pool # 1B7242, ARM, 5.57%, 9/1/2036 (b)
|
24
|
24
|
Pool # 1N1511, ARM, 7.54%, 1/1/2037 (b)
|
12
|
12
|
Pool # 1Q0722, ARM, 4.62%, 4/1/2038 (b)
|
11
|
11
|
FHLMC Gold Pools, 30 Year
|
|
|
Pool # G00245, 8.00%, 8/1/2024
|
—
|
—
|
Pool # A17537, 6.00%, 1/1/2034
|
13
|
13
|
Pool # G02682, 7.00%, 2/1/2037
|
10
|
10
|
Pool # Q58054, 4.50%, 11/1/2046
|
130
|
126
|
FHLMC Gold Pools, Other
|
|
|
Pool # U80336, 3.50%, 5/1/2033
|
241
|
230
|
Pool # U90690, 3.50%, 6/1/2042
|
81
|
74
|
Pool # U90975, 4.00%, 6/1/2042
|
75
|
70
|
Pool # U91427, 3.50%, 5/1/2043
|
301
|
275
|
FNMA
|
|
|
Pool # 745446, ARM, 5.30%, 4/1/2033 (b)
|
15
|
15
|
Pool # 746299, ARM, 6.06%, 9/1/2033 (b)
|
22
|
23
|
Pool # 743546, ARM, 5.73%, 11/1/2033 (b)
|
29
|
28
|
Pool # 735332, ARM, 5.56%, 8/1/2034 (b)
|
17
|
17
|
Pool # 790964, ARM, 5.90%, 9/1/2034 (b)
|
12
|
12
|
Pool # 896463, ARM, 6.30%, 10/1/2034 (b)
|
21
|
22
|
Pool # 816361, ARM, 5.19%, 1/1/2035 (b)
|
43
|
42
|
Pool # 810896, ARM, 7.21%, 1/1/2035 (b)
|
12
|
13
|
Pool # 745862, ARM, 5.26%, 4/1/2035 (b)
|
12
|
12
|
Pool # 832801, ARM, 5.89%, 9/1/2035 (b)
|
23
|
23
|
Pool # 843026, ARM, 7.29%, 9/1/2035 (b)
|
13
|
13
|
Pool # 920340, ARM, 6.25%, 2/1/2036 (b)
|
18
|
18
|
Pool # 893424, ARM, 5.83%, 9/1/2036 (b)
|
20
|
20
|
Pool # 887094, ARM, 5.54%, 7/1/2046 (b)
|
22
|
22
|
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024
|
—
|
—
|
FNMA UMBS, 30 Year
|
|
|
Pool # 250066, 8.00%, 5/1/2024
|
—
|
—
|
Pool # 303031, 7.50%, 10/1/2024
|
—
|
—
|
Pool # 308499, 8.50%, 5/1/2025
|
—
|
—
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # 995409, 8.00%, 11/1/2032
|
50
|
52
|
FNMA, Other
|
|
|
Pool # AM8317, 2.96%, 3/1/2025
|
169
|
164
|
Pool # AN2309, 2.21%, 7/1/2026
|
427
|
399
|
Pool # AM7515, 3.34%, 2/1/2027
|
500
|
475
|
Pool # BS8224, 4.10%, 5/1/2028
|
310
|
300
|
Pool # BL0907, 3.88%, 12/1/2028
|
300
|
286
|
Pool # BS4956, 2.27%, 4/1/2029
|
200
|
175
|
Pool # AM6892, 3.76%, 9/1/2029
|
212
|
200
|
Pool # BM4162, 3.12%, 10/1/2029 (b)
|
76
|
70
|
Pool # BL4333, 2.52%, 11/1/2029
|
379
|
334
|
Pool # BS8252, 4.36%, 4/1/2030
|
291
|
282
|
Pool # BS8846, 4.09%, 7/1/2030
|
300
|
285
|
Pool # BS4030, 1.96%, 1/1/2032
|
400
|
323
|
Pool # BS5117, 2.58%, 3/1/2032
|
199
|
166
|
Pool # MA1125, 4.00%, 7/1/2042
|
110
|
103
|
Pool # BM6734, 4.00%, 8/1/2059
|
363
|
332
|
Pool # BF0617, 2.50%, 3/1/2062
|
189
|
148
|
GNMA I, 30 Year
|
|
|
Pool # 782615, 7.00%, 6/15/2035
|
17
|
18
|
Pool # 782025, 6.50%, 12/15/2035
|
25
|
25
|
Pool # 681638, 6.00%, 12/15/2038
|
60
|
61
|
GNMA II, 30 Year
|
|
|
Pool # 1989, 8.50%, 4/20/2025
|
—
|
—
|
Pool # 2270, 8.00%, 8/20/2026
|
—
|
—
|
Pool # 2499, 8.00%, 10/20/2027
|
—
|
—
|
Pool # BA7567, 4.50%, 5/20/2048
|
63
|
59
|
Pool # BI0416, 4.50%, 11/20/2048
|
92
|
88
|
Pool # BM9692, 4.50%, 7/20/2049
|
45
|
43
|
Pool # BQ3224, 4.50%, 9/20/2049
|
304
|
290
|
GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033
|
254
|
234
|
Total Mortgage-Backed Securities
(Cost $6,530)
|
|
6,086
|
Asset-Backed Securities — 5.6%
|
||
American Credit Acceptance Receivables Trust
|
|
|
Series 2023-2, Class A, 5.89%, 10/13/2026 (c)
|
27
|
27
|
Series 2023-1, Class C, 5.59%, 4/12/2029 (c)
|
133
|
131
|
AmeriCredit Automobile Receivables Trust
|
|
|
Series 2020-3, Class B, 0.76%, 12/18/2025
|
45
|
44
|
Series 2021-2, Class B, 0.69%, 1/19/2027
|
55
|
53
|
Series 2022-2, Class A3, 4.38%, 4/18/2028
|
31
|
31
|
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (c)
|
53
|
52
|
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (c)
|
100
|
95
|
BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026
|
88
|
88
|
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025
|
16
|
16
|
Carvana Auto Receivables Trust Series 2023-N1, Class A, 6.36%, 4/12/2027 (c)
|
69
|
69
|
CPS Auto Receivables Trust Series 2022-C, Class B, 4.88%, 4/15/2030 (c)
|
200
|
198
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Credit Acceptance Auto Loan Trust
|
|
|
Series 2021-2A, Class A, 0.96%, 2/15/2030 (c)
|
49
|
48
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (c)
|
250
|
250
|
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026
|
4
|
4
|
DT Auto Owner Trust
|
|
|
Series 2022-1A, Class A, 1.58%, 4/15/2026 (c)
|
6
|
6
|
Series 2022-2A, Class A, 2.88%, 6/15/2026 (c)
|
16
|
16
|
Series 2021-3A, Class C, 0.87%, 5/17/2027 (c)
|
95
|
93
|
Series 2021-4A, Class D, 1.99%, 9/15/2027 (c)
|
57
|
52
|
Series 2023-1A, Class C, 5.55%, 10/16/2028 (c)
|
176
|
173
|
Series 2023-2A, Class B, 5.41%, 2/15/2029 (c)
|
92
|
91
|
Exeter Automobile Receivables Trust
|
|
|
Series 2022-3A, Class A3, 4.21%, 1/15/2026
|
36
|
35
|
Series 2021-4A, Class B, 1.05%, 5/15/2026
|
8
|
8
|
Series 2022-5A, Class B, 5.97%, 3/15/2027
|
107
|
107
|
Series 2023-2A, Class B, 5.61%, 9/15/2027
|
75
|
74
|
Series 2022-2A, Class D, 4.56%, 7/17/2028
|
75
|
72
|
Series 2022-4A, Class C, 4.92%, 12/15/2028
|
82
|
80
|
Series 2023-1A, Class D, 6.69%, 6/15/2029
|
21
|
21
|
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (c)
|
66
|
66
|
Flagship Credit Auto Trust
|
|
|
Series 2019-4, Class C, 2.77%, 12/15/2025 (c)
|
2
|
2
|
Series 2021-4, Class A, 0.81%, 7/17/2026 (c)
|
23
|
23
|
Series 2022-1, Class A, 1.79%, 10/15/2026 (c)
|
49
|
48
|
Series 2022-2, Class A3, 4.03%, 12/15/2026 (c)
|
200
|
198
|
Series 2023-1, Class A2, 5.38%, 12/15/2026 (c)
|
12
|
12
|
Series 2023-2, Class A2, 5.76%, 4/15/2027 (c)
|
130
|
129
|
Series 2021-3, Class A, 0.36%, 7/15/2027 (c)
|
18
|
18
|
Series 2023-1, Class C, 5.43%, 5/15/2029 (c)
|
200
|
195
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (b)
|
7
|
6
|
GLS Auto Receivables Issuer Trust
|
|
|
Series 2021-3A, Class C, 1.11%, 9/15/2026 (c)
|
66
|
64
|
Series 2023-2A, Class A2, 5.70%, 1/15/2027 (c)
|
54
|
54
|
Series 2023-3A, Class B, 5.89%, 1/18/2028 (c)
|
115
|
115
|
GM Financial Automobile Leasing Trust
|
|
|
Series 2022-2, Class A3, 3.42%, 6/20/2025
|
81
|
80
|
Series 2023-1, Class A3, 5.16%, 4/20/2026
|
44
|
44
|
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (c)
|
—
|
—
|
Kubota Credit Owner Trust Series 2023-1A, Class A3, 5.02%, 6/15/2027 (c)
|
111
|
110
|
MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (c)
|
58
|
52
|
Nissan Auto Lease Trust Series 2023-A, Class A3, 4.91%, 1/15/2026
|
72
|
71
|
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (c)
|
140
|
139
|
Santander Drive Auto Receivables Trust
|
|
|
Series 2021-2, Class C, 0.90%, 6/15/2026
|
15
|
15
|
Series 2022-3, Class A3, 3.40%, 12/15/2026
|
40
|
40
|
Series 2022-4, Class A3, 4.14%, 2/16/2027
|
86
|
85
|
Series 2022-5, Class B, 4.43%, 3/15/2027
|
44
|
43
|
Series 2023-2, Class A3, 5.21%, 7/15/2027
|
66
|
66
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2023-3, Class A3, 5.61%, 10/15/2027
|
28
|
28
|
Series 2023-1, Class B, 4.98%, 2/15/2028
|
43
|
42
|
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (c)
|
31
|
30
|
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (c)
|
150
|
151
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%,
1/25/2036 (d)
|
20
|
16
|
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (c)
|
34
|
31
|
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (c)
|
51
|
50
|
Toyota Lease Owner Trust Series 2023-A, Class A3, 4.93%, 4/20/2026 (c)
|
200
|
198
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 ‡ (c)
|
31
|
30
|
Westlake Automobile Receivables Trust
|
|
|
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (c)
|
183
|
182
|
Series 2021-3A, Class D, 2.12%, 1/15/2027 (c)
|
72
|
68
|
Series 2023-3A, Class A3, 5.82%, 5/17/2027 (c)
|
200
|
200
|
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (c)
|
50
|
50
|
Total Asset-Backed Securities
(Cost $4,753)
|
|
4,685
|
Commercial Mortgage-Backed Securities — 5.6%
|
||
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (b) (c)
|
86
|
77
|
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (c)
|
100
|
91
|
Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048
|
281
|
270
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (b)
|
500
|
483
|
Series KLU2, Class A7, 2.23%, 9/25/2025 (b)
|
213
|
201
|
Series K737, Class AM, 2.10%, 10/25/2026
|
305
|
281
|
Series K069, Class A2, 3.19%, 9/25/2027 (b)
|
480
|
453
|
Series K081, Class A1, 3.88%, 2/25/2028
|
84
|
82
|
Series K083, Class A2, 4.05%, 9/25/2028 (b)
|
297
|
287
|
Series K088, Class A2, 3.69%, 1/25/2029
|
480
|
455
|
FNMA ACES
|
|
|
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (b)
|
34
|
34
|
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (b)
|
271
|
266
|
Series 2015-M7, Class A2, 2.59%, 12/25/2024
|
478
|
464
|
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (b)
|
456
|
425
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
162
|
144
|
Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (b)
|
2,306
|
145
|
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (b)
|
117
|
91
|
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033
|
5
|
5
|
Series 2021-M3, Class X1, IO, 2.05%, 11/25/2033 (b)
|
94
|
8
|
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 ‡ (c)
|
147
|
109
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (c)
|
200
|
183
|
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (c)
|
155
|
123
|
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (c)
|
4
|
3
|
Total Commercial Mortgage-Backed Securities
(Cost $5,061)
|
|
4,680
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — 0.3%
|
||
Electric Utilities — 0.2%
|
||
PG&E Recovery Funding LLC Series A-1, 5.05%, 7/15/2032
|
70
|
69
|
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036
|
83
|
76
|
|
|
145
|
Multi-Utilities — 0.0% ^
|
||
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036
|
16
|
12
|
Oil, Gas & Consumable Fuels — 0.1%
|
||
Cameron LNG LLC 2.90%, 7/15/2031 (c)
|
84
|
71
|
Total Corporate Bonds
(Cost $253)
|
|
228
|
U.S. Government Agency Securities — 0.0% ^
|
||
Resolution Funding Corp. STRIPS
DN, 3.40%, 1/15/2026 (a) (Cost $57)
|
60
|
54
|
|
SHARES
(000)
|
|
Short-Term Investments — 2.5%
|
||
Investment Companies — 2.5%
|
||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.39% (e) (f)
(Cost $2,074)
|
2,074
|
2,075
|
Total Investments — 98.1%
(Cost $84,845)
|
|
82,007
|
Other Assets Less Liabilities — 1.9%
|
|
1,607
|
NET ASSETS — 100.0%
|
|
83,614
|
Percentages indicated are based on net assets.
|
||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
Abbreviations
|
|
ACES
|
Alternative Credit Enhancement Securities
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November
30, 2023.
|
DN
|
Discount Notes
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
GNMA
|
Government National Mortgage Association
|
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 November 30, 2023. 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.
|
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
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
UMBS
|
Uniform Mortgage-Backed Securities
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
(a)
|
The rate shown is the effective yield as of November 30, 2023.
|
|
(b)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
November 30, 2023.
|
|
(c)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
(d)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of November
30, 2023.
|
|
(e)
|
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.
|
|
(f)
|
The rate shown is the current yield as of November 30, 2023.
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$4,655
|
$30
|
$4,685
|
Collateralized Mortgage Obligations
|
—
|
7,694
|
—
|
7,694
|
Commercial Mortgage-Backed Securities
|
—
|
4,571
|
109
|
4,680
|
Corporate Bonds
|
—
|
228
|
—
|
228
|
Mortgage-Backed Securities
|
—
|
6,086
|
—
|
6,086
|
U.S. Government Agency Securities
|
—
|
54
|
—
|
54
|
U.S. Treasury Obligations
|
—
|
56,505
|
—
|
56,505
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
2,075
|
—
|
—
|
2,075
|
Total Investments in Securities
|
$2,075
|
$79,793
|
$139
|
$82,007
|
|
|||||||||
For the period ended November 30, 2023
|
|||||||||
Security Description
|
Value at
February 28,
2023
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2023
|
Shares at
November 30,
2023
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 5.39% (a) (b)
|
$980
|
$15,915
|
$14,819
|
$(1
)
|
$—
(c)
|
$2,075
|
2,074
|
$55
|
$—
|
|
|
(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 November 30, 2023.
|
(c)
|
Amount rounds to less than one thousand.
|