UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04236

JPMorgan Trust II

(Exact name of registrant as specified in charter)

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (800) 480-4111

Date of fiscal year end: Last day of February

Date of reporting period: March 1, 2011 through February 29, 2012

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section  3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

Annual Report

J.P. Morgan Municipal Bond Funds

February 29, 2012

JPMorgan Arizona Municipal Bond Fund

JPMorgan Michigan Municipal Bond Fund

JPMorgan Municipal Income Fund

JPMorgan Ohio Municipal Bond Fund

JPMorgan Short-Intermediate Municipal Bond Fund

JPMorgan Tax Free Bond Fund

CONTENTS

CEO’s Letter	1
A Message From Gary J. Madich	2
Market Overview	3
Fund Commentaries:
JPMorgan Arizona Municipal Bond Fund	4
JPMorgan Michigan Municipal Bond Fund	6
JPMorgan Municipal Income Fund	8
JPMorgan Ohio Municipal Bond Fund	10
JPMorgan Short-Intermediate Municipal Bond Fund	12
JPMorgan Tax Free Bond Fund	14
Schedules of Portfolio Investments	16
Financial Statements	54
Financial Highlights	66
Notes to Financial Statements	78
Report of Independent Registered Public Accounting Firm	93
Trustees	94
Officers	96
Schedule of Shareholder Expenses	97
Tax Letter	99
Privacy Policy — Located at the back of this Annual Report

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

MARCH 14, 2012 (Unaudited)

Dear Shareholder:

“Risk on, risk off” was the mantra for 2011. Assets perceived as risky moved en masse as investors adjusted their portfolios in response to unexpected sources of distress and updates on known problems — the European debt crisis, political strife in the Middle East, the earthquake and subsequent tsunami in Japan and the credit rating of debt issued by the United States.

  “Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.”

So far in 2012, improving U.S. economic data and aggressive measures taken by the European Central Bank to curb the region’s debt crisis have sustained investors’ appetite for risk. Since January 1, 2012, equities have rallied strongly and outperformed fixed income securities.

U.S. stocks outperform

While the “risk on, risk off” market environment caused elevated correlations within individual asset classes, stock returns across market capitalizations, countries and investment styles varied during the twelve months ended February 29, 2012. Buoyed by stronger-than-expected economic data, U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.

During the reporting period, the S&P 500 Index gained 5.1% versus the -6.8% and 1.8% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index (gross of foreign withholding taxes) and the MSCI EM (Emerging Markets) Index (gross of foreign withholding taxes), respectively. Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed value stocks across all market capitalizations.

Yields for U.S. Treasuries remain near historical lows

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities. The yield for 10-year U.S. Treasury securities ended February 2012 below 2% and reached its lowest level since 1950 in September 2011. The yield on the 2-year U.S. Treasury note began the reporting period at 0.7% and dropped to 0.3% at the end of

February 2012. Meanwhile, the yield on the 30-year U.S. Treasury bond declined from 4.5% to 3.1% as of the end of the twelve months ended February 29, 2012.

Interest rates have increased in March 2012 but yields remain at historically low levels. Nonetheless, many investors have renewed their focus on the longer-term impact of rising interest rates on their fixed income investments. In addition, many investors view the unprecedented quantitative easing by the U.S. Federal Reserve as kindling for inflation if the U.S. economic recovery continues to take hold.

Maintain a diversified portfolio

Several indicators suggest that a U.S. economic recovery is gaining traction — the labor market has shown signs of healing, while recent retail and auto sales have been strong. Meanwhile, soaring year-to-date returns for emerging markets stocks reflect investors’ optimism surrounding the prospects for growth in these countries. Of course, risks remain. Many investors worry that the pace of China’s robust economic growth could decelerate, potentially resulting in a “hard landing” from measures aimed to control inflation and cool its surging property market. In addition, political turmoil in the Middle East persists, while Europe faces pockets of recession in the midst of its ongoing debt crisis.

Indeed, despite the recent rally in stock markets uncertainty in the current environment is widespread, making diversification even more critical to long-term investment success. Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 1

A MESSAGE FROM GARY J. MADICH, CFA

Global Chief Investment Officer for J.P. Morgan Asset Management’s Global Fixed Income Group

APRIL 3, 2012 (Unaudited)

Flows into bond funds remain strong, although decreased from the very high levels of the past two years. Investors still seem to be drawn to the perception of bonds’ relative safety versus other investments and continue to allocate assets to fixed income securities given the uncertainty prevalent in today’s marketplace. While we believe that bonds play an essential role in any well-diversified portfolio, we would like to take this opportunity to remind you about the risks associated with bond funds and the importance of diversification.

Bond prices generally decrease as interest rates rise and increase as interest rates fall. Currently, interest rates are at very low levels and most fixed income portfolios would be negatively impacted in an environment where interest rates may increase, as the fixed income securities held in the portfolios would likely decrease in value. This is a broad risk that applies to most portfolios of bonds across the spectrum of the fixed income market. Bond portfolios comprised mostly of municipal bonds share this risk and also carry other risks specific to the nature of their asset class.

The ability of states and municipalities to repay their debt could be hindered by unfavorable local economic or political events. Acknowledging the challenges facing many states and municipalities, our municipal and tax free funds have maintained their bias towards bonds with high credit quality and sectors that

have historically demonstrated lower volatility. However, it is important to note that, given their inherent geographic concentration, state-specific municipal bond funds may experience a disproportionately negative impact as a result of unfavorable economic or political developments in the state or region where the funds are primarily invested.

While we certainly believe that municipal bond funds are a valuable tool for many investors, the risks associated with these funds serve as a reminder about the importance of a well-diversified portfolio. As an investor, the best way to guard against any type of risk is to proactively build a well-diversified portfolio, a portfolio that is able to withstand and benefit from a variety of future outcomes.

On behalf of the Funds’ fixed income portfolio management team,

Gary J. Madich, CFA

2 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

J.P. Morgan Municipal Bond Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Despite the tragic earthquake and subsequent tsunami in Japan, investors’ appetite for risk was supported early in the reporting period by strong corporate earnings. However, investors’ uncertainty surrounding global economic growth and political turmoil in the Middle East began to weigh on capital markets in May 2011. This negative mood among investors worsened as they seemed to lack confidence in the ability of European governments to combat the region’s debt crisis, stoking fear about economic contagion. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors. Despite the credit downgrade, investors still sought safety in U.S. Treasury securities, helping trigger a sharp decline in interest rates for 2-, 5-, 10-, 15- and 30-year U.S. Treasury securities. Risk aversion lasted until October 2011, when U.S. economic data showed signs of improving and the European Central Bank implemented aggressive measures in an attempt to curb the region’s debt crisis.

Tax free interest rates declined during the reporting period, resulting in a rise in bond prices (generally, bond prices increase when interest rates decline). Initially, rates for tax free fixed income securities fell in response to slower than expected domestic economic growth and the ongoing debt crisis in Europe. Later in the reporting period, as U.S. economic growth began to improve, the decline in tax free interest rates gained further momentum from a positive technical environment within the municipal sector. A dramatic decline in new debt issuance coupled with renewed inflows into municipal bond funds helped support bond prices. These forces were further augmented by statements and policy initiatives by the U.S. Federal Reserve that suggested that monetary policy would remain accommodative for the next few years.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 3

JPMorgan Arizona Municipal Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	8.92%
Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index	9.58%
Net Assets as of 2/29/2012 (In Thousands)	$113,381
Duration as of 2/29/2012	5.0 years

INVESTMENT OBJECTIVE**

The JPMorgan Arizona Municipal Bond Fund (the “Fund”) seeks current income exempt from federal income tax and Arizona personal income tax, consistent with the preservation of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s underperformance of the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”) was driven mainly by its underweight of bonds with 12 to 17 year maturities, which benefited from the steep decline in interest rates.

In general, given the sharp decline in interest rates, the Fund’s bonds with shorter duration underperformed bonds with longer duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

Contributors to relative performance included the Fund’s overweight versus the Benchmark and security selection in the revenue bonds sector. Among revenue bonds, the Fund’s overweight and security selection in the water and sewer and electric sectors contributed the most to the Fund’s relative performance. Meanwhile, the Fund’s AAA- and AA-rated bonds outperformed A- and BBB-rated holdings.

HOW WAS THE FUND POSITIONED?

From a credit quality perspective, the Fund had an overweight position versus the Benchmark in AAA-rated securities. The

Fund was overweight the 6-to-8 year portion of the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds) and underweight the 12-to-17 year segment of the yield curve. Among revenue bond sectors, the Fund favored essential service bonds and was overweight the electric and water and sewer sectors.

CREDIT QUALITY ALLOCATIONS***
AAA	34.4	%
AA	47.2
A	13.5
BAA	4.9

J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

4 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012

	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		1/20/97
Without Sales Charge				8.66	%		4.64	%		4.09	%
With Sales Charge*				4.62			3.85			3.70
CLASS B SHARES		1/20/97
Without CDSC				7.89			4.00			3.56
With CDSC**				2.89			3.66			3.56
CLASS C SHARES		2/19/05
Without CDSC				7.93			3.99			3.42
With CDSC***				6.93			3.99			3.42
SELECT CLASS SHARES		1/20/97		8.92			4.91			4.35

    * Sales Charge for Class A Shares is 3.75%.

   ** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

 *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to their inception are based on the performance of Class B Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Arizona Municipal Bond Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with

maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Capital gains distributions are subject to federal income tax, a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 5

JPMorgan Michigan Municipal Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	9.79%
Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index	9.58%
Net Assets as of 2/29/2012 (In Thousands)	$98,560
Duration as of 2/29/2012	4.7 years

INVESTMENT OBJECTIVE**

The JPMorgan Michigan Municipal Bond Fund (the “Fund”) seeks current income exempt from federal income tax and Michigan personal income tax, consistent with the preservation of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the twelve months ended February 29, 2012, the Fund’s outperformance of the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”) was driven by its overweight and security selection in the water and sewer and hospital sectors and its holdings in bonds with maturities greater than 17 years.

The Fund invested a small percentage of its assets in bonds with maturities greater than 17 years, while the Benchmark only held bonds with maturities up to 17 years. Bonds with maturities greater than 17 years performed strongly during the reporting period as interest rates declined. In general, given the sharp decline in interest rates, the Fund’s bonds with longer duration outperformed holdings with shorter duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. Meanwhile, the Fund’s AAA- and AA-rated bonds outperformed its A- and BBB-rated holdings.

IDR/PCR (industrial development revenue/pollution control revenue) bonds outperformed and the Fund did not hold any bonds in this sector, which detracted from relative performance. In addition, the Fund was underweight bonds with 12 to 17 year maturities. These bonds performed strongly and the Fund’s underweight detracted from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund was overweight versus the Benchmark in pre-refunded bonds (bonds that are secured with U.S. government securities). The Fund was overweight the 4-to-12 year portion of the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds) and underweight the 12-to-17 year segment of the yield curve. Among revenue bond sectors, the Fund favored essential service bonds and was overweight the water and sewer sector.

CREDIT QUALITY ALLOCATIONS***
AAA	20.1	%
AA	49.2
A	19.4
BAA	11.3

J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

6 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		2/1/93
Without Sales Charge				9.58	%		4.59	%		4.14	%
With Sales Charge				5.47			3.80			3.74
CLASS B SHARES		9/23/96
Without CDSC				8.81			3.95			3.61
With CDSC				3.81			3.60			3.61
CLASS C SHARES		2/19/05
Without CDSC				8.85			3.96			3.49
With CDSC				7.85			3.96			3.49
SELECT CLASS SHARES		2/1/93		9.79			4.86			4.40

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to their inception are based on the performance of Class B Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Michigan Municipal Bond Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with

maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Capital gains distributions are subject to federal income tax, a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 7

JPMorgan Municipal Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	8.49%
Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index	9.58%
Net Assets as of 2/29/2012 (In Thousands)	$735,208
Duration as of 2/29/2012	4.6 years

INVESTMENT OBJECTIVE**

The JPMorgan Municipal Income Fund (the “Fund”) seeks current income exempt from federal income taxes.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the twelve months ended February 29, 2012, the Fund’s duration was shorter than the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”). This detracted from the Fund’s relative performance as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

The Fund’s investments in the housing sector, where the Fund had its largest overweight versus the Benchmark, detracted from relative performance as the Fund’s holdings had shorter duration. Meanwhile, the Fund used investments in money market funds to maintain liquidity in an effort to manage Fund flows. This was a net detractor from relative performance given the low yields available for money market funds during the reporting period.

The Fund’s underweight versus the Benchmark in the state-issued general obligation bonds sector contributed to relative performance. State-issued general obligation bonds tend to be higher quality and underperformed as investors preferred lower quality issuances during the reporting period. The Fund’s overweight versus the Benchmark in the IDR/PCR (industrial development revenue/pollution control revenue) sector, which was comprised of lower quality issuances, contributed to relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to emphasize higher yielding sectors, particularly the housing sector, and was underweight lower-yielding bonds, such as pre-refunded bonds. The majority of the Fund’s assets were invested in high credit quality securities and the Fund was overweight the AAA-rated segment of the market during the reporting period.

CREDIT QUALITY ALLOCATIONS***
AAA	27.6	%
AA	49.7
A	12.9
BAA	8.4
BA & NR	1.4

J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

8 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		2/23/93
Without Sales Charge				8.19	%		4.43	%		4.03	%
With Sales Charge*				4.17			3.64			3.63
CLASS B SHARES		1/14/94
Without CDSC				7.63			3.83			3.53
With CDSC**				2.63			3.49			3.53
CLASS C SHARES		11/4/97
Without CDSC				7.66			3.84			3.42
With CDSC***				6.66			3.84			3.42
SELECT CLASS SHARES		2/9/93		8.49			4.68			4.30

     * Sales Charge for Class A Shares is 3.75%.

   ** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

  *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Municipal Income Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is

an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Capital gains distributions are subject to federal income tax, a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 9

JPMorgan Ohio Municipal Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	8.77%
Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index	9.58%
Net Assets as of 2/29/2012 (In Thousands)	$240,905
Duration as of 2/29/2012	5.0 years

INVESTMENT OBJECTIVE**

The JPMorgan Ohio Municipal Bond Fund (the “Fund”) seeks current income exempt from federal income tax and Ohio personal income tax, consistent with the preservation of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

Duration drove the Fund’s underperformance versus the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”) during the twelve months ended February 29, 2012. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was shorter than the Benchmark and detracted from its relative performance as interest rates declined during the reporting period.

Among sectors, the Fund’s investments in the state general obligation bond and water and sewer sectors had shorter duration and underperformed, detracting from the Fund’s relative performance. The Fund’s investments in the education, leasing and local general obligation bond sectors had longer duration and outperformed, contributing to the Fund’s relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers preferred to invest in issuances from highly rated, large state and local municipalities. Among

revenue bond sectors, the Fund’s largest overweight versus the Benchmark was in the leasing sector. The Fund was also overweight versus the Benchmark in the local general obligation bond sector. In addition, new municipal bond issuance in Ohio was lower than prior reporting periods. Accordingly, the Fund held a percentage of its assets in money market instruments.

CREDIT QUALITY ALLOCATIONS***
AAA	26.8	%
AA	60.0
A	10.5
BAA	2.7

J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

10 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012

	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		2/18/92
Without Sales Charge				8.44	%		4.67	%		4.12	%
With Sales Charge *				4.34			3.88			3.72
CLASS B SHARES		1/14/94
Without CDSC				7.80			4.04			3.60
With CDSC **				2.80			3.70			3.60
CLASS C SHARES		2/19/05
Without CDSC				7.87			4.05			3.48
With CDSC ***				6.87			4.05			3.48
SELECT CLASS SHARES		7/2/91		8.77			4.94			4.38

     * Sales Charge for Class A Shares is 3.75%.

    ** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

  *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to its inception are based on the performance of Class B Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Ohio Municipal Bond Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with

maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Capital gains distributions are subject to federal income tax, a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 11

JPMorgan Short-Intermediate Municipal Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		3.32%
Barclays Capital 1–5 Year Municipal Blend Index		4.82%
Net Assets as of 2/29/2012 (In Thousands)	$	1,126,401
Duration as of 2/29/2012		2.6 years

INVESTMENT OBJECTIVE**

The JPMorgan Short-Intermediate Municipal Bond Fund (“the Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s preference for high-quality securities detracted from its relative performance versus the Barclays Capital 1–5 Year Municipal Blend Index (the “Benchmark”) during the twelve months ended February 29, 2012. The Fund was overweight the AAA-rated and AA-rated segments, which underperformed, and underweight the A-rated and BBB-rated segments. A-rated and BBB-rated securities outperformed during the reporting period, supported by investors’ search for yield in the low interest rate environment.

Meanwhile, the Fund invested a percentage of its assets in bonds maturing in 6 to 12 years, while the Benchmark was comprised only of bonds with maturities up to 6 years. The Fund’s investments in bonds maturing in 6 to 12 years performed strongly during the reporting period as interest rates declined (bond prices generally increase when interest rates decrease) and contributed to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund employed a bottom-up, security-selection-based investment approach. The Fund’s portfolio managers sought to take advantage of opportunities stemming from increased volatility, supply pressures and

headline credit risk, while maintaining the Fund’s bias toward higher quality issuances. From a state perspective, the Fund finished the reporting period underweight versus the Benchmark in California and New York.

CREDIT QUALITY ALLOCATIONS***
AAA	42.2	%
AA	48.7
A	7.8
BAA	1.2
BA & NR	0.1

J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

12 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		5/4/98
Without Sales Charge				3.05	%		2.92	%		2.66	%
With Sales Charge				0.73			2.46			2.43
CLASS B SHARES		5/4/98
Without CDSC				2.61			2.42			2.35
With CDSC				(0.39	)		2.42			2.35
CLASS C SHARES		11/1/01		2.54			2.41			2.16
INSTITUTIONAL CLASS SHARES		6/19/09		3.67			3.34			3.00
SELECT CLASS SHARES		5/4/98		3.32			3.18			2.92

* Sales Charge for Class A Shares is 2.25%.

** Assumes a 3% CDSC (contingent deferred sales charge) for the one year period, 0% CDSC for the five year period and thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

Returns for Institutional Class Shares prior to their inception are based on the performance of Select Class Shares. The actual returns of Institutional Class Shares would have been different than shown because Institutional Class Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short-Intermediate Municipal Bond Fund, the Barclays Capital 1–5 Year Municipal Blend Index and the Lipper Short Municipal Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–5 Year Municipal Blend Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital 1–5 Year Municipal Blend

Index is an unmanaged index of investment grade tax-exempt municipal bonds with maturities of 1–5.999 years. The Lipper Short Municipal Debt Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Capital gains distributions are subject to federal income tax, a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B shares automatically convert to Class A shares after 6 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 13

JPMorgan Tax Free Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*		10.12%
Barclays Capital Municipal Bond Index		12.42%
Net Assets as of 2/29/2012 (In Thousands)	$	435,644
Duration as of 2/29/2012		6.4 Years

INVESTMENT OBJECTIVE**

The JPMorgan Tax Free Bond Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

While the Fund posted a positive absolute return during the twelve months ended February 29, 2012, it underperformed the Barclays Capital Municipal Bond Index (the “Benchmark”) mainly due to its preference for high-quality securities, which underperformed lower-quality securities during the reporting period.

In addition, the Fund’s overweight pre-refunded bonds (bonds that are secured with U.S. government securities) detracted from relative performance. Pre-refunded bonds generally have a short duration and were hurt as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s overall duration was shorter than the Benchmark, which also detracted from its relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund continued to employ a bottom-up, security-selection-based investment approach and sought to take advantage of opportunities stemming from

increased volatility, supply pressures and headline credit risk. The Fund maintained its quality bias, as the Fund’s portfolio managers preferred higher-quality issuances. To enhance the Fund’s overall credit quality, the Fund maintained its overweight versus the Benchmark in pre-refunded bonds.

CREDIT QUALITY ALLOCATIONS***
AAA	16.7	%
AA	58.4
A	19.8
BAA	5.1

J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

14 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012

	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		3/1/88
Without Sales Charge				10.12	%		4.38	%		4.37	%
With Sales Charge*				5.99			3.58			3.97
CLASS B SHARES		4/4/95
Without CDSC				9.37			3.67			3.80
With CDSC**				4.37			3.32			3.80
CLASS C SHARES		7/1/08
Without CDSC				9.34			3.68			3.42
With CDSC***				8.34			3.68			3.42
SELECT CLASS SHARES		2/1/95		10.25			4.56			4.56

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to its inception date are based on the performance of Class B Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Tax Free Bond Fund, the Barclays Capital Municipal Bond Index and the Lipper General Municipal Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Barclays Capital Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper General Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Municipal Bond Index is a total return performance benchmark for the long-term, investment-grade tax-exempt bond market. The Lipper General Municipal Debt

Funds Index represents the total returns of the 30 largest mutual funds in the indicated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Capital gains distributions are subject to federal income tax, a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.

Class A Shares have a $1,000 minimum initial investment and carry a 3.75% sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 15

JPMorgan Arizona Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Municipal Bonds — 97.2%
		Arizona — 90.2%
		Certificate of Participation/Lease — 11.6%
		Arizona School Facilities Board,
	1,000	COP, 5.250%, 09/01/23		1,135
	1,500	Series A, COP, NATL-RE, 5.000%, 09/01/12		1,533
		Arizona State University, Board of Regents,
	2,000	COP, NATL-RE, 5.000%, 07/01/17		2,312
	1,000	COP, NATL-RE, 5.000%, 07/01/18		1,143
	1,570	Scottsdale Municipal Property Corp., Rev., COP, 5.000%, 07/01/26		2,002
	2,000	State of Arizona, Department of Administration, Series A, COP, AGM, 5.250%, 10/01/23		2,348
		University of Arizona,
	1,365	Series A, COP, AMBAC, 5.000%, 06/01/19		1,482
	1,000	Series B, COP, AMBAC, 5.000%, 06/01/21		1,071
	145	University of Arizona, Unrefunded Balance, Series A, COP, AMBAC, 5.500%, 06/01/17		147
				13,173
		Education — 5.9%
	2,700	Arizona School Facilities Board, State School Trust, Rev., AMBAC, 5.000%, 07/01/18		3,006
	2,000	Arizona State University, Rev., AGM, 5.250%, 07/01/15		2,052
	1,520	City of Glendale IDA, Midwestern University, Rev., 5.000%, 05/15/14		1,631
				6,689
		General Obligation — 11.7%
	1,090	City of Mesa, GO, NATL-RE, FGIC, 5.375%, 07/01/14		1,212
	1,500	City of Tucson, GO, NATL-RE, 5.000%, 07/01/18		1,816
	1,000	Maricopa County, High School District No. 210-Phoenix, GO, AGM, 5.250%, 07/01/19		1,229
	1,265	Maricopa County, School District No. 38-Madison Elementary, Project of 2004, Series A, GO, NATL-RE, 5.000%, 07/01/19		1,408
	1,020	Maricopa County, Unified School District No. 11-Peoria, Unrefunded Balance, School Improvement, GO, NATL-RE, FGIC, 4.750%, 07/01/14		1,034
	1,000	Maricopa County, Unified School District No. 69-Paradise Valley, Certificates of Ownership, Series A, GO, NATL-RE, FGIC, 5.250%, 07/01/14		1,103
	1,560	Pima County, Unified School District No. 12-Sunnyside, GO, AGM, 5.000%, 07/01/14		1,721
	1,000	Town of Gilbert, GO, NATL-RE, 5.000%, 07/01/16		1,184

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — Continued
	2,100	Town of Gilbert, Projects of 2006 & 2007, GO, 5.000%, 07/01/18		2,573
				13,280
		Hospital — 2.6%
	1,225	Arizona Health Facilities Authority, Banner Health, Series A, Rev., 5.000%, 01/01/14		1,323
	1,000	Scottsdale IDA, Healthcare, Series A, Rev., 5.000%, 09/01/15		1,095
	475	Yavapai County IDA, Yavapai Regional Medical Center, Series A, Rev., AGM, 5.125%, 12/01/13		476
				2,894
		Other Revenue — 10.4%
	2,500	Arizona Power Authority, Crossover, Series A, Rev., SO, 5.250%, 10/01/17		3,063
	2,500	Arizona Water Infrastructure Finance Authority, Series A, Rev., 5.000%, 10/01/17		3,058
	1,000	City of Glendale, Water & Sewer, Rev., 5.000%, 07/01/28		1,168
	1,000	Greater Arizona Development Authority, Series A, Rev., NATL-RE, 5.000%, 08/01/22		1,103
	2,000	Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/27		2,209
	1,000	Pima County, Sewer System, Series B, Rev., 5.000%, 07/01/24		1,170
				11,771
		Prerefunded — 6.5%
	1,000	Arizona School Facilities Board, Series A, COP, NATL-RE, 5.250%, 03/01/13 (p)		1,051
	6,450	Maricopa County IDA, Capital Appreciation, Series 1983 A, Rev., Zero Coupon, 12/31/14 (p)		6,325
				7,376
		Special Tax — 12.0%
	2,500	City of Phoenix, Street & Highway, Capital Appreciation, Junior Lien, Series A, Rev., NATL-RE, FGIC, Zero Coupon, 07/01/12		2,495
	1,125	City of Tempe, Excise Tax, Rev., 5.000%, 07/01/16		1,332
	3,000	Phoenix Civic Improvement Corp., Sub Lien, Series B, Rev., NATL-RE, 5.000%, 07/01/15		3,375
		Scottsdale Municipal Property Corp.,
	2,500	Rev., 5.000%, 07/01/14		2,772
	3,000	Rev., 5.000%, 07/01/17		3,647
				13,621

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Transportation — 7.3%
		Arizona Transportation Board,
	2,000	Series A, Rev., 5.000%, 07/01/24		2,345
	2,000	Series A, Rev., 5.250%, 07/01/12 (p)		2,074
	2,000	Series B, Rev., 5.250%, 07/01/12 (p)		2,035
	1,670	Tucson Airport Authority, Inc., Sub Lien, Rev., AMT, NATL-RE, 5.000%, 12/01/18		1,857
				8,311
		Utility — 7.9%
	3,000	City of Mesa, Utility Systems, Rev., NATL-RE, FGIC, 5.000%, 07/01/20		3,638
		Salt River Project Agricultural Improvement & Power District,
	3,600	Series A, Rev., 5.000%, 01/01/23		4,181
	1,000	Series A, Rev., 5.000%, 12/01/28		1,199
				9,018
		Water & Sewer — 14.3%
		Arizona Water Infrastructure Finance Authority, Water Quality,
	1,915	Series A, Rev., 5.000%, 10/01/23		2,310
	2,025	Series A, Rev., 5.000%, 10/01/24		2,368
	2,020	Series A, Rev., 5.000%, 10/01/29		2,361
		City of Scottsdale, Water & Sewer,
	1,430	Rev., 5.250%, 07/01/21		1,858
	1,875	Rev., 5.250%, 07/01/23		2,461
	2,000	Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/25		2,357
	2,000	Phoenix Civic Improvement Corp., Wastewater Systems, Senior Lien, Rev., 5.500%, 07/01/20		2,460
				16,175
		Total Arizona		102,308
		Illinois — 1.0%
		Other Revenue — 1.0%
	1,000	Railsplitter Tobacco Settlement Authority, Rev., 5.000%, 06/01/16		1,127
		Minnesota — 1.0%
		Other Revenue — 1.0%
	1,000	City of Rochester, Health Care Mayo Clinic, Series A, Rev., VAR, 4.000%, 11/15/18		1,159

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Pennsylvania — 1.0%
		Hospital — 1.0%
	1,000	Allegheny County Hospital Development Authority, University of Pittsburgh Medical Center, Series A, Rev., 5.000%, 09/01/14		1,103
		Texas — 1.8%
		General Obligation — 1.8%
	1,700	Eagle Mountain & Saginaw Independent School District, School Building, GO, PSF-GTD, 5.000%, 08/15/20		2,038
		Washington — 2.2%
		General Obligation — 1.1%
	1,000	State of Washington, Motor Vehicle Fuel Tax, Series B-1, GO, 5.000%, 08/01/24		1,216
		Other Revenue — 1.1%
	1,000	Washington Health Care Facilities Authority, Providence Health & Services, Series B, Rev., 5.000%, 10/01/20		1,208
		Total Washington		2,424
		Total Municipal Bonds (Cost $100,906)		110,159
SHARES
	Short-Term Investment — 2.1%
		Investment Company — 2.1%
	2,396	JPMorgan Tax Free Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $2,396)		2,396
		Total Investments — 99.3% (Cost $103,302)		112,555
		Other Assets in Excess of Liabilities — 0.7%		826
		NET ASSETS — 100.0%	$	113,381

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 17

JPMorgan Michigan Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Municipal Bonds — 99.2%
		Arizona — 2.4%
		Other Revenue — 1.2%
	1,000	Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/23		1,146
		Utility — 1.2%
	1,000	Salt River Project Agricultural Improvement & Power District, Series A, Rev., 5.000%, 01/01/23		1,161
		Total Arizona		2,307
		California — 1.2%
		Water & Sewer — 1.2%
	1,000	San Diego Public Facilities Financing Authority, Series B, Rev., 5.500%, 05/15/23		1,222
		Indiana — 1.2%
		Other Revenue — 1.2%
	1,000	Indiana Finance Authority, Wastewater Systems, First Lien, Series A, Rev., 5.250%, 10/01/31		1,144
		Michigan — 89.3%
		Certificate of Participation/Lease — 3.6%
	1,800	City of Detroit, Wayne County Stadium Authority, Rev., COP, NATL-RE, FGIC, 5.500%, 02/01/17		1,805
	1,500	Michigan Strategic Fund, House of Representatives Facilities, Series A, Rev., COP, AGC, 5.250%, 10/15/20		1,703
				3,508
		Education — 2.9%
	1,670	Oakland University, Rev., AMBAC, 5.250%, 05/15/19		1,825
	1,000	Western Michigan University, Rev., NATL-RE, 5.000%, 11/15/19		1,055
				2,880
		General Obligation — 27.0%
	1,675	Charles Stewart Mott Community College, Community College Facilities, GO, NATL-RE, 5.000%, 05/01/20		1,837
	1,000	City of Dearborn School District, GO, NATL-RE, FGIC, Q-SBLF, 5.000%, 05/01/18		1,163
		City of Jackson, Capital Appreciation, Downtown Development,
	1,710	GO, AGM, Zero Coupon, 06/01/17		1,436
	2,060	GO, AGM, Zero Coupon, 06/01/18		1,647
	1,075	East Grand Rapids Public School District, GO, AGM, Q-SBLF, 5.000%, 05/01/18		1,173
	1,000	Ecorse Public School District, GO, AGM, Q-SBLF, 5.250%, 05/01/20		1,104

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — Continued
	1,515	Healthsource Saginaw, Inc., GO, NATL-RE, 5.000%, 05/01/20		1,642
	1,250	Hudsonville Public Schools, School Building & Site, GO, Q-SBLF, 5.250%, 05/01/25		1,478
	1,620	Jackson Public Schools, School Building & Site, GO, AGM, Q-SBLF, 5.000%, 05/01/18		1,767
		Lowell Area Schools, Capital Appreciation,
	5,000	GO, NATL-RE, FGIC, Q-SBLF, Zero Coupon, 05/01/14		4,873
	1,425	GO, NATL-RE, FGIC, Q-SBLF, Zero Coupon, 05/01/16		1,322
	1,210	Newaygo Public Schools, GO, NATL-RE, Q-SBLF, 5.000%, 05/01/22		1,360
	1,910	Pinckney Community Schools, GO, AGM, Q-SBLF, 5.000%, 05/01/19		2,082
	1,935	South Lyon Community Schools, Series II, GO, NATL-RE, FGIC, Q-SBLF, 5.000%, 05/01/21		2,122
	1,500	South Redford School District, School Building & Site, GO, NATL-RE, Q-SBLF, 5.000%, 05/01/21		1,645
				26,651
		Hospital — 5.9%
		Chelsea Economic Development Corp., United Methodist Retirement,
	1,075	Rev., 5.400%, 11/15/18		1,076
	2,000	Rev., 5.400%, 11/15/27		2,001
	1,030	Michigan State Hospital Finance Authority, Oakwood Obligation Group, Series A, Rev., 5.000%, 07/15/17		1,151
	1,500	Michigan State Hospital Finance Authority, Sparrow Obligation Group, Rev., NATL-RE, 5.000%, 11/15/19		1,601
				5,829
		Housing — 2.6%
		Michigan State Housing Development Authority, Weston, Limited Obligation,
	590	Series A, Rev., GNMA COLL, 4.100%, 12/20/15		610
	1,880	Series A, Rev., GNMA COLL, 4.600%, 12/20/25		1,911
				2,521
		Other Revenue — 4.6%
		Lansing Board of Water & Light Utility Systems,
	1,000	Series A, Rev., 5.000%, 07/01/26		1,159
	1,000	Series A, Rev., 5.500%, 07/01/41		1,158
	1,000	Michigan Finance Authority, Trinity Health Group, Rev., 5.000%, 12/01/31		1,090

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Other Revenue — Continued
	1,055	Michigan Municipal Bond Authority, Local Government Lien Program, Series 4-A, Rev., AMBAC, 5.000%, 05/01/16		1,128
				4,535
		Prerefunded — 11.4%
		Michigan State Hospital Finance Authority, Mercy Health Services,
	855	Series R, Rev., AMBAC, 5.375%, 08/15/16 (p)		858
	3,245	Series U, Rev., 5.625%, 08/15/16 (p)		3,260
	6,875	Series W, Rev., AGM, 5.250%, 08/15/17 (p)		6,903
	220	Tawas City Hospital Finance Authority, St. Joseph, Series A, Rev., RADIAN-IBCC, 5.600%, 02/15/13 (p)		224
				11,245
		Special Tax — 6.4%
		State of Michigan Comprehensive Transportation,
	3,130	Rev., AGM, 5.250%, 05/15/18		3,842
	2,000	Rev., AGM, 5.250%, 05/15/21		2,492
				6,334
		Transportation — 5.7%
		Michigan State Trunk Line,
	2,185	Rev., 5.000%, 11/15/30		2,523
	1,500	Rev., AGM, 5.250%, 11/01/17		1,842
	1,000	Rev., AGM, 5.250%, 11/01/20		1,260
				5,625
		Utility — 1.6%
	1,170	Michigan Strategic Fund, Detroit Pollution Fund, Series BB, Rev., AMBAC, 7.000%, 05/01/21		1,526
		Water & Sewer — 17.6%
	5,000	City of Detroit, Sewer Disposal System, Capital Appreciation, Series A, Rev., NATL-RE, FGIC, Zero Coupon, 07/01/13		4,853

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Water & Sewer — Continued
	3,000	City of Detroit, Water Supply System, Senior Lien, Series A, Rev., AGM, 5.000%, 07/01/17		3,370
	1,670	City of Grand Rapids, Sanitation Sewer System, Rev., 5.000%, 01/01/23		2,046
	5,000	Michigan Municipal Bond Authority, Clean Water Revolving Fund, Rev., 5.000%, 10/01/24		5,996
	1,000	North Kent Sewer Authority, Rev., NATL-RE, 5.000%, 11/01/19		1,128
				17,393
		Total Michigan		88,047
		New York — 1.7%
		Industrial Development Revenue/Pollution Control Revenue — 1.7%
	1,425	New York State Dormitory Authority, Personal Income Tax, Series A, Rev., 5.250%, 02/15/27		1,680
		Texas — 1.7%
		Water & Sewer — 1.7%
	1,500	City of San Antonio, Rev., NATL-RE, 5.000%, 05/15/20		1,688
		Washington — 1.7%
		Water & Sewer — 1.7%
	1,500	City of Seattle, Water Systems, Rev., NATL-RE, 5.000%, 09/01/22		1,702
		Total Municipal Bonds (Cost $90,273)		97,790
		Total Investments — 99.2% (Cost $90,273)		97,790
		Other Assets in Excess of Liabilities — 0.8%		770
		NET ASSETS — 100.0%	$	98,560

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 19

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Municipal Bonds — 93.3%
		Alabama — 1.3%
		Other Revenue — 1.3%
		Alabama 21st Century Authority, Tobacco Settlement,
	1,790	Rev., 5.750%, 12/01/12		1,807
	2,000	Rev., 5.750%, 12/01/19		2,023
	2,290	Rev., 5.850%, 12/01/13		2,312
	3,000	Chatom Industrial Development Board, Power South Energy, Series B, Rev., 4.000%, 08/01/15		3,236
		Total Alabama		9,378
		Alaska — 0.6%
		Housing — 0.2%
	1,675	Alaska Housing Finance Corp., Home Mortgage, Series A, Rev., AMT, NATL-RE, 5.000%, 06/01/36		1,743
		Other Revenue — 0.4%
	750	City of Valdez, BP Pipelines Project, Series B, Rev., 5.000%, 01/01/16		843
	2,170	Northern Tobacco Securitization Corp., Series A, Rev., 4.625%, 06/01/23		2,128
				2,971
		Total Alaska		4,714
		Arizona — 3.4%
		Certificate of Participation/Lease — 0.7%
	2,100	Arizona State University, Board of Regents, COP, NATL-RE, 5.000%, 07/01/15		2,353
	2,910	Pinal County, COP, 5.250%, 12/01/19		3,097
				5,450
		Hospital — 0.6%
	1,000	Gila County IDA, Cobre Valley Community Hospital, Rev., ACA, 6.000%, 12/01/20		1,001
	3,000	Scottsdale IDA, Healthcare, Series A, Rev., 5.000%, 09/01/16		3,340
				4,341
		Housing — 0.2%
		Maricopa County IDA, Single Family Mortgage,
	890	Series 1B, Rev., VAR, GNMA/FNMA, 5.650%, 07/01/39		906
	135	Series 2B, Rev., GNMA/FNMA/FHLMC, 5.950%, 03/01/34		140
	130	Phoenix IDA, Single Family Mortgage, Series 2002-2, Rev., AMT, GNMA/FNMA/FHLMC, 5.950%, 03/01/34		136
				1,182

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Revenue — 1.4%
	1,250	Arizona School Facilities Board, State School Trust, Rev., AMBAC, 4.000%, 07/01/15		1,324
	4,790	Arizona Transportation Board, Maricopa County, Regional Area Road Fund, Rev., 5.000%, 07/01/16		5,671
	3,000	Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/23		3,437
				10,432
		Water & Sewer — 0.5%
	2,645	City of Scottsdale, Rev., 5.250%, 07/01/22		3,431
		Total Arizona		24,836
		Arkansas — 0.7%
		Housing — 0.1%
	560	Arkansas Development Finance Authority, Single Family Mortgage, Series D, Rev., AMT, GNMA/FNMA, 5.500%, 01/01/37		584
		Special Tax — 0.6%
	270	City of Fayetteville, Sales & Use Tax, Rev., AGM, 4.250%, 11/01/25		284
	950	City of Rogers, Capital Improvement, GO, XLCA, 4.250%, 03/01/31		1,032
	3,000	City of Springdale, Sales & Use Tax, Rev., AGM, 4.250%, 07/01/23		3,071
				4,387
		Total Arkansas		4,971
		California — 3.9%
		General Obligation — 1.1%
	1,000	Alum Rock Union Elementary School District, Election of 2008, Series A, GO, AGC, 5.250%, 08/01/29		1,132
	3,000	Escondido Union High School District, Election of 2008, Capital Appreciation, Series A, GO, AGC, Zero Coupon, 08/01/23		1,966
	3,000	Mount San Antonio Community College District, GO, Zero Coupon, 05/01/15		2,893
	2,000	State of California, GO, 5.000%, 10/01/15		2,292
				8,283
		Hospital — 0.6%
	4,375	Kaweah Delta Health Care District, Rev., 5.000%, 08/01/22		4,483
		Housing — 0.8%
	1,480	California Housing Finance Agency, Multi-Family Housing III, Series A, Rev., AMT, 5.375%, 08/01/28		1,480

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Housing — Continued
	1,050	California Rural Home Mortgage Finance Authority, Single Family Mortgage, Mortgage-Backed Security Program, Series A, Rev., GNMA/FNMA/FHLMC, 5.400%, 12/01/36		1,090
	3,000	State of California, Veterans, GO, 4.900%, 12/01/25		3,098
				5,668
		Other Revenue — 1.2%
	2,155	Bay Area Toll Authority, California Toll San Francisco Bay Area, Series F, Rev., 5.000%, 04/01/25		2,465
	2,575	California Statewide Communities Development Authority, Inland Regional Center Project, Rev., 5.000%, 12/01/17		2,646
	1,000	Golden State Tobacco Securitization Corp., Asset-Backed, Series A-1, Rev., 5.000%, 06/01/15		1,050
	2,000	San Diego Public Facilities Financing Authority, Series A, Rev., 5.250%, 08/01/26		2,393
				8,554
		Water & Sewer — 0.2%
	1,050	San Diego Public Facilities Financing Authority, Series B, Rev., 5.500%, 05/15/23		1,283
		Total California		28,271
		Colorado — 2.4%
		Certificate of Participation/Lease — 0.1%
	625	Pueblo County Judicial Complex Project, COP, AGM, 5.000%, 09/15/21 (w)		751
		General Obligation — 0.7%
	1,000	Adams & Arapahoe Joint School District 28J Aurora, GO, NATL-RE, 5.250%, 12/01/16 (p)		1,217
	2,925	Douglas County School District No. Re-1, Douglas & Elbert Counties, GO, 5.250%, 12/15/20		3,725
				4,942
		Hospital — 0.3%
	2,415	Colorado Health Facilities Authority, Parkview Medical Center Project, Series B, Rev., 5.000%, 09/01/22		2,592
		Housing — 0.9%
	885	Colorado Housing & Finance Authority, Capital Appreciation, Single Family Program, Series C-1, Rev., AMT, Zero Coupon, 11/01/29		332
		Colorado Housing & Finance Authority, Multi-Family Project,
	825	Series C-3, Class I, Rev., AMT, 4.550%, 10/01/12		838

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Housing — Continued
	820	Series C-3, Class I, Rev., AMT, 4.650%, 10/01/13		831
		Colorado Housing & Finance Authority, Single Family Program,
	60	Series B-2, Rev., NATL-RE-IBC, 6.800%, 04/01/30		61
	625	Series C-2, Rev., AMT, FHA/VA MTGS, 7.050%, 04/01/31		635
	1,695	Denver City & County, Single Family Mortgage, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.550%, 12/01/39		1,685
		Denver City & County, Single Family Mortgage, Metropolitan Mayors Caucus,
	85	Rev., GNMA/FNMA/FHLMC COLL, 6.000%, 05/01/27		86
	195	Rev., GNMA/FNMA/FHLMC COLL, 6.150%, 11/01/34		200
	110	Series A, Rev., GNMA/FNMA/FHLMC COLL, 7.300%, 11/01/31		112
	1,270	El Paso County, Single Family Mortgage, Series A, Rev., VAR, GNMA/FNMA, 5.350%, 06/01/39		1,364
	650	El Paso County, Single Family Mortgage, Southern Front Range, Series E, Rev., AMT, GNMA/FNMA/FHLMC, 5.850%, 04/01/41		682
	121	IDK Partners III Trust, Pass-Through Certificates, 5.100%, 08/01/23 (f) (i)		121
				6,947
		Other Revenue — 0.3%
	1,750	Colorado Water Resources & Power Development Authority, Series A, Rev., 5.000%, 09/01/21		1,916
		Prerefunded — 0.0% (g)
	135	Colorado Health Facilities Authority, Adventist Health, Series E, Rev., 5.000%, 11/15/13 (p)		146
		Transportation — 0.1%
	675	Denver City & County, Special Facilities, Airport, Rental Car Project, Series A, Rev., NATL-RE, 6.000%, 01/01/13		678
		Total Colorado		17,972
		Connecticut — 0.7%
		Other Revenue — 0.7%
		Connecticut State Higher Education Supplemental Loan Authority, Chesla Loan Program,
	1,385	Series A, Rev., 5.000%, 11/15/16		1,624
	1,560	Series A, Rev., 5.250%, 11/15/23		1,861
	1,500	Series A, Rev., 5.250%, 11/15/24		1,772
		Total Connecticut		5,257

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 21

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Delaware — 0.5%
		Housing — 0.5%
		Delaware State Housing Authority, Single Family Mortgage,
	3,075	Series C-1, Rev., AMT, GNMA/FNMA/FHLMC, 5.550%, 07/01/39		3,226
	505	Series D-1, Rev., AMT, 4.625%, 01/01/23		512
		Total Delaware		3,738
		District of Columbia — 1.7%
		Housing — 0.1%
	715	District of Columbia Housing Finance Agency, Single Family Mortgage, Series B, Rev., AMT, 5.625%, 06/01/35		727
		Other Revenue — 0.5%
		District of Columbia, Income Tax,
	1,500	Series A, Rev., 5.000%, 12/01/18		1,860
	1,650	Series B, Rev., 5.250%, 12/01/29		1,948
				3,808
		Transportation — 1.1%
	3,000	Metropolitan Washington Airports Authority, Series A, Rev., AMT, 5.500%, 10/01/21		3,482
	4,000	Washington Metropolitan Area Transit Authority, Series A, Rev., 5.250%, 07/01/25		4,660
				8,142
		Total District of Columbia		12,677
		Florida — 6.7%
		Certificate of Participation/Lease — 1.0%
	4,000	Collier County School Board, COP, AGM, 5.250%, 02/15/21		4,790
	2,000	Miami-Dade County School Board, Series A, COP, NATL-RE, FGIC, 5.000%, 05/01/15		2,226
				7,016
		Education — 0.7%
		Capital Projects Finance Authority, Capital Projects Loan Program, Student Housing,
	2,385	Series F-1, Rev., NATL-RE, 5.500%, 10/01/13		2,389
	2,880	Series F-1, Rev., NATL-RE, 5.500%, 10/01/14		2,883
				5,272
		General Obligation — 0.2%
	1,250	Florida State Board Education, Public Education Capital Outlay 2004, Series C, GO, 5.000%, 06/01/24		1,409
		Hospital — 0.1%
	500	Highlands County Health Facilities Authority, Adventist Health, Series A, Rev., VAR, 5.000%, 11/15/16		564

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Housing — 1.6%
	1,125	Broward County Housing Finance Authority, Series B, Rev., AMT, 4.500%, 04/01/27		1,145
	1,775	Escambia County, Housing Finance Authority, Single Family Mortgage, Multi-County Program, Series A, Rev., GNMA/FNMA/FHLMC FHA/VA GTD, 4.800%, 10/01/38		1,823
	1,885	Florida Housing Finance Corp., Homeowner Mortgage Special Program, Series A, Rev., GNMA/FNMA/FHLMC, 5.000%, 07/01/28		2,042
		Hillsborough County Housing Finance Authority, Single Family Mortgage,
	965	Rev., AMT, GNMA/FNMA/FHLMC, 5.200%, 04/01/38		1,003
	905	Series 2, Rev., AMT, GNMA/FNMA/FHLMC, 4.400%, 10/01/27		898
	540	Miami-Dade County Housing Finance Authority, Home Ownership Mortgage, Series A-1, Rev., GNMA/FNMA, 5.300%, 10/01/36		571
	385	Orange County Housing Finance Authority, Series B, Rev., AMT, GNMA/FNMA, 5.400%, 09/01/32		414
	1,305	Orange County Housing Finance Authority, Multi-County Program, Series A, Rev., AMT, GNMA, 5.125%, 09/01/38		1,361
		Pinellas County Housing Finance Authority, Multi-County Program,
	1,265	Series A-2, Rev., AMT, GNMA/FNMA/FHLMC, 4.900%, 09/01/27		1,357
	905	Series B-1, Rev., GNMA/FNMA, 5.200%, 03/01/36		938
				11,552
		Other Revenue — 1.4%
	1,970	Florida Housing Finance Corp., Homeowner Mortgage, Series B, Rev., GNMA, 4.500%, 01/01/29		2,137
	1,400	Florida Housing Finance Corp., Homeowner Mortgage Special Program, Series B, Rev., GNMA/FNMA/FHLMC, 4.500%, 01/01/29		1,538
	2,900	Florida Water Pollution Control Financing Corp., Series A, Rev., 5.000%, 07/15/22		3,564
	1,035	Highlands County Health Facilities Authority, Hospital, Adventist Health, Series I, Rev., 5.000%, 11/15/16		1,200
	690	Orlando Utilities Commission, Water & Electric Revenue, Series B, Rev., 5.000%, 10/01/22		723
	1,000	Pasco County, Solid Waste Disposal & Resource Recovery System, Rev., AMT, 5.000%, 10/01/20		1,143
				10,305

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Prerefunded — 0.0% (g)
	310	Orlando Utilities Commission, Water & Electric Revenue, Series B, Rev., 5.000%, 04/01/13 (p)		326
		Utility — 0.8%
	5,000	City of Port St. Lucie, Rev., NATL-RE, 5.250%, 09/01/24		6,102
		Water & Sewer — 0.9%
	5,000	Tampa Bay Water Utility System, Rev., NATL-RE, FGIC, 5.500%, 10/01/22		6,466
		Total Florida		49,012
		Georgia — 2.0%
		Certificate of Participation/Lease — 0.8%
	5,000	Gwinnett County Development Authority, Public Schools Project, COP, NATL-RE, 5.250%, 01/01/22		6,071
		General Obligation — 0.9%
	5,000	Fulton County School District, GO, 5.500%, 01/01/21		6,393
		Housing — 0.3%
	1,790	Atlanta Urban Residential Finance Authority, Single Family Mortgage, Mortgage-Backed Securities, Series B, Rev., GNMA/FNMA/FHLMC, 5.500%, 03/01/41		1,839
		Total Georgia		14,303
		Hawaii — 0.7%
		General Obligation — 0.7%
		City & County of Honolulu,
	1,470	Series D, GO, 5.250%, 09/01/26		1,749
	2,900	Series D, GO, 5.250%, 09/01/27		3,428
		Total Hawaii		5,177
		Idaho — 0.1%
		Housing — 0.1%
	565	Idaho Housing & Finance Association, Series A, Class III, Rev., 5.550%, 07/01/20		578
		Idaho Housing & Finance Association, Single Family Mortgage,
	20	Series D, Rev., FHA/VA/MTGS, 6.450%, 07/01/14		20
	60	Series E-2, Rev., 5.950%, 07/01/14		60
	65	Series H, Rev., FHA/VA MTGS, 6.050%, 07/01/14		65
		Total Idaho		723
		Illinois — 3.3%
		General Obligation — 1.0%
		Chicago Board of Education,
	3,000	Series C, GO, 5.250%, 12/01/24		3,382

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — Continued
	2,000	Series C, GO, AGC-ICC, 5.250%, 12/01/26		2,226
	350	City of Chicago Heights, Series A, GO, NATL-RE, FGIC, 5.650%, 06/01/12 (p)		355
	1,315	City of Chicago, Unrefunded Balance, Series A, GO, AGM, 5.250%, 01/01/19		1,393
				7,356
		Hospital — 0.2%
	1,500	Illinois Finance Authority, OSF Healthcare Systems, Rev., 5.250%, 11/15/23		1,552
		Housing — 1.5%
		City of Aurora, Single Family Mortgage,
	1,361	Series A, Rev., AMT, GNMA/FNMA/FHLMC FHA/VA GTD, 5.500%, 12/01/39		1,426
	1,457	Series B, Rev., GNMA/FNMA/FHLMC, 5.450%, 12/01/39		1,544
		City of Chicago, Single Family Mortgage,
	935	Series B, Rev., GNMA/FNMA/FHLMC COLL, 6.000%, 10/01/33		974
	1,820	Series C, Rev., GNMA/FNMA, 5.750%, 12/01/42		1,835
	2,290	Series E, Rev., GNMA/FNMA/FHLMC, 5.500%, 12/01/42		2,439
	2,055	Series K, Rev., GNMA/FNMA/FHLMC, 5.350%, 06/01/43		2,191
	35	City of Peoria, City of Moline & City of Freeport, Collateralized Single Family Mortgage, Series A, Rev., GNMA COLL/FHA/VA MTGS, 7.600%, 04/01/27		36
				10,445
		Other Revenue — 0.6%
	1,000	Illinois Finance Authority, Gas Supply, Peoples Gas Light & Coke Company Project, Rev., VAR, 2.125%, 07/01/14		1,014
		Railsplitter Tobacco Settlement Authority,
	1,500	Rev., 5.000%, 06/01/19		1,686
	1,500	Rev., 5.250%, 06/01/20		1,706
				4,406
		Transportation — 0.0% (g)
	100	City of Chicago, Midway Airport, Series A, Rev., AMT, AGM, 5.125%, 01/01/26		100
		Total Illinois		23,859
		Indiana — 2.7%
		General Obligation — 0.2%
	1,345	Indiana Housing & Community Development Authority, Home First Program, Series A, GO, GNMA/FNMA/COLL, 4.500%, 06/01/28		1,460

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 23

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Hospital — 0.6%
		Indiana Health & Educational Facilities Financing Authority, Baptist Homes of Indiana,
	410	Rev., 5.000%, 11/15/12		419
	1,095	Rev., 5.000%, 11/15/15		1,190
	1,000	Rev., 5.250%, 11/15/25		1,032
	1,750	Indiana Health Facility Financing Authority, Ascension Health, Series A-1, Rev., VAR, 5.000%, 05/01/13		1,845
				4,486
		Housing — 0.2%
	1,045	Indiana Housing & Community Development Authority, Single Family Mortgage, Series C-2, Rev., GNMA/FNMA, 5.000%, 01/01/36		1,069
		Other Revenue — 0.7%
	2,000	Indiana Finance Authority, Ascension Health, Series A-8, Rev., VAR, 5.000%, 07/28/16		2,317
	495	Indiana Housing & Community Development Authority, Home First Program, Series A, Rev., GNMA/FNMA/FHLMC, 4.500%, 06/01/28		542
	2,000	Indianapolis Local Public Improvement Bond Bank, Pilot Infrastructure Project, Series F, Rev., AGM, 5.000%, 01/01/27		2,273
				5,132
		Transportation — 0.4%
	3,000	Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series F, Rev., AMBAC, 5.250%, 01/01/14		3,205
		Water & Sewer — 0.6%
	4,050	Indianapolis Local Public Improvement Bond Bank, Waterworks Project, Series F, Rev., NATL-RE, 5.000%, 07/01/19		4,492
		Total Indiana		19,844
		Iowa — 0.4%
		Housing — 0.4%
	745	Iowa Finance Authority, Mortgage-Backed Securities Program, Single Family Mortgage, Series 1, Rev., GNMA/FNMA/FHLMC, 5.000%, 07/01/28		801
	2,345	Multi-Family Housing, Bond Pass-Through Certificates, Town Center Villas, Series 12, Rev., 5.800%, 11/01/15		2,346
		Total Iowa		3,147
		Kansas — 1.4%
		Housing — 1.4%
		Sedgwick & Shawnee Counties, Single Family Mortgage,
	1,685	Series A, Rev., GNMA/FNMA, 5.400%, 12/01/37		1,744

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Housing — Continued
	705	Series A-3, Rev., GNMA/FNMA, 5.500%, 06/01/28		751
	385	Series A-3, Rev., GNMA/FNMA, 5.650%, 06/01/37		423
		Sedgwick & Shawnee Counties, Single Family Mortgage-Backed Securities Program,
	525	Series A, Rev., GNMA/FNMA, 6.050%, 06/01/27		567
	2,295	Series A, Rev., GNMA/FNMA/FHLMC, 5.450%, 06/01/38		2,325
	1,780	Series A-4, Rev., GNMA/FNMA/FHLMC, 5.850%, 06/01/39		1,886
	1,625	Series B-2, Rev., GNMA/FNMA/FHLMC, 5.250%, 12/01/38		1,656
	825	Series B-3, Rev., GNMA/FNMA, 5.850%, 12/01/34		873
		Total Kansas		10,225
		Louisiana — 1.8%
		Certificate of Participation/Lease — 0.2%
	1,000	Louisiana State Military Department, CR, Rev., COP, 5.000%, 08/01/15		1,110
		Hospital — 0.1%
	360	St. Tammany Parish Finance Authority, Christwood Project, Rev., 5.700%, 11/15/18		353
	515	St. Tammany Parish Hospital Service District No. 2, Series B, GO, RADIAN, 5.250%, 03/01/12		515
				868
		Housing — 0.6%
		Calcasieu Parish Public Transportation Authority, Single Family Mortgage,
	100	Series B, Rev., GNMA/FNMA, 5.000%, 04/01/28		102
	1,900	Series B, Rev., AMT, GNMA/FNMA/FHLMC, 5.350%, 09/01/38		1,926
	468	East Baton Rouge Mortgage Finance Authority, Mortgage-Backed Securities Program, Single Family Mortgage, Series A-2, Rev., GNMA/FNMA/FHLMC, 5.250%, 10/01/39		511
	1,420	Jefferson Parish Finance Authority, Single Family Mortgage, Series C, Rev., GNMA/FNMA, 4.500%, 12/01/24		1,437
	625	Louisiana Housing Finance Agency, Home Ownership Program, Single Family Mortgage, Series A, Rev., GNMA/FNMA/FHLMC, 5.500%, 06/01/40		639
				4,615
		Other Revenue — 0.6%
	500	Louisiana Housing Finance Agency, Mortgage-Backed Securities Program, Single Family Mortgage, Series A, Rev., GNMA/FNMA, 4.600%, 12/01/28		545

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Other Revenue — Continued
	2,930	State of Louisiana, Gas & Fuels Tax, Second Lien, Series B, Rev., 5.000%, 05/01/26		3,472
				4,017
		Utility — 0.3%
	2,290	Louisiana Energy & Power Authority, Rev., AGM, 5.750%, 01/01/13		2,393
		Total Louisiana		13,003
		Maryland — 2.4%
		General Obligation — 2.2%
		State of Maryland,
	4,225	Series B, GO, 5.000%, 03/01/18		5,216
	3,000	Series B, GO, 5.000%, 03/01/19		3,755
	6,000	State of Maryland, State and Local Facilities Lien, Series 1, GO, 5.000%, 03/15/17 (p)		7,314
				16,285
		Housing — 0.2%
	655	Montgomery County Housing Opportunites Commission, Single Family Mortgage, Series D, Rev., AMT, 5.500%, 01/01/38		697
	500	Prince Georges County, Housing Authority, Bristol Pines Apartments Project, Rev., FNMA, 4.500%, 12/15/15		525
	100	Prince Georges County, Housing Authority, Single Family Mortgage, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.600%, 12/01/34		102
				1,324
		Total Maryland		17,609
		Massachusetts — 3.0%
		Education — 0.3%
		Massachusetts Health & Educational Facilities Authority, Springfield College,
	1,050	Rev., 5.000%, 10/15/15		1,147
	1,060	Rev., 5.000%, 10/15/17		1,187
				2,334
		General Obligation — 0.4%
	2,500	Commonwealth of Massachusetts, Series B, GO, AGM, 5.250%, 09/01/21		3,218
		Housing — 1.0%
	3,725	Boston Housing Authority, Rev., AGM, 5.000%, 04/01/16		4,188
	1,000	Massachusetts Housing Finance Agency, Single Family Housing, Series 124, Rev., AMT, 4.900%, 12/01/21		1,036

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Housing — Continued
		New Bedford Housing Authority, Capital Funding Program,
	700	Series A, Rev., 3.600%, 10/01/12		713
	725	Series A, Rev., 3.750%, 10/01/13		760
	750	Series A, Rev., 3.900%, 10/01/14		810
				7,507
		Other Revenue — 0.4%
	2,000	Massachusetts Water Resources Authority, Series B, Rev., AGM, 5.250%, 08/01/29		2,620
		Water & Sewer — 0.9%
	5,000	Massachusetts State Water Pollution Abatement, Pool Program, Rev., 5.250%, 08/01/24		6,597
		Total Massachusetts		22,276
		Michigan — 3.0%
		Education — 0.7%
	4,000	University of Michigan, Series C, Rev., 5.000%, 04/01/18		4,900
		Hospital — 0.5%
	1,000	Michigan State Hospital Finance Authority, Ascension Health, Senior Care Group, Rev., 5.000%, 11/15/16		1,162
	2,500	Saginaw Hospital Finance Authority, Covenant Medical Center, Series G, Rev., 5.125%, 07/01/22		2,673
				3,835
		Housing — 0.6%
	2,030	Michigan State Housing Development Authority, Rental Housing, Series D, Rev., AMT, AGM, 4.950%, 04/01/21		2,091
	1,950	Michigan State Housing Development Authority, Single Family Mortgage, Series A, Rev., AMT, 5.000%, 06/01/30		2,017
				4,108
		Other Revenue — 0.4%
	1,705	Saginaw County Economic Development Corp., BGI South LLC-Recovery Zone, Rev., 5.000%, 12/01/20		1,944
	1,215	Wayne County Airport Authority, Detroit Metropolitan Airport, Rev., NATL-RE, 5.250%, 12/01/16		1,337
				3,281
		Water & Sewer — 0.8%
	5,430	City of Detroit, Water Supply System, Senior Lien, Series A, Rev., AGM, 5.000%, 07/01/17		6,100
		Total Michigan		22,224

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 25

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Minnesota — 3.7%
		General Obligation — 0.8%
	4,465	State of Minnesota, Various Purpose, Series K, GO, 5.000%, 11/01/20		5,579
		Housing — 1.9%
		Dakota County Community Development Agency, Mortgage-Backed Securities Program, Single Family Mortgage,
	4,101	Series A, Rev., GNMA/FNMA/FHLMC, 5.125%, 12/01/40		4,372
	568	Series B, Rev., GNMA/FNMA/FHLMC, 5.150%, 12/01/38		587
	3,610	Minneapolis St. Paul Housing Finance Board, Mortgage-Backed Securities Program, City Living, Series A-2, Rev., GNMA/FNMA/FHLMC, 5.520%, 03/01/41		3,886
	2,929	Minneapolis St. Paul Housing Finance Board, Mortgage-Backed Securities Program, City Living, Series A-1, Rev., GNMA/FNMA/FHLMC, 5.250%, 12/01/40		3,136
	1,370	Minneapolis Community Development Agency, Multi-Family Housing, Riverside Homes Project, Rev., 6.100%, 09/01/19		1,371
	830	Minnesota Housing Finance Agency, Residential Housing Finance, Series D, Rev., VAR, AMT, 5.500%, 01/01/38		865
				14,217
		Other Revenue —1.0%
	990	Dakota County Community Development Agency, Mortgage-Backed Securities Program, Single Family Mortgage, Series A, Rev., GNMA/FNMA/FHLMC COLL, 4.500%, 06/01/35		1,083
	1,865	Minnesota Housing Finance Agency, Mortgage-Backed Securities Program, Rev., GNMA/FNMA/FHLMC COLL, 4.250%, 07/01/28		2,012
	745	Minnesota Housing Finance Agency, Mortgage-Backed Securities Program, Series D, Rev., GNMA/FNMA/FHLMC COLL, 4.500%, 07/01/34		819
		Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation,
	1,015	Rev., 5.250%, 08/01/24		1,227
	1,070	Rev., 5.250%, 08/01/25		1,284
	825	Rev., 5.250%, 08/01/26		959
				7,384
		Total Minnesota		27,180

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Mississippi — 0.9%
		Housing — 0.6%
	4,420	Mississippi Home Corp., Single Family Mortgage, Series B-1, Rev., GNMA/FNMA/FHLMC, 5.375%, 12/01/38		4,509
		Other Revenue — 0.3%
	1,905	Mississippi Home Corp., Series A, Rev., GNMA/FNMA/FHLMC, 4.500%, 12/01/31		2,049
		Total Mississippi		6,558
		Missouri — 1.3%
		Housing — 1.0%
		Missouri Housing Development Commission, Home Ownership Loan Program, Single Family Mortgage,
	1,295	Rev., AMT, GNMA, 6.000%, 03/01/36		1,364
	2,600	Series B, Rev., AMT, GNMA/FNMA, 5.800%, 09/01/35		2,794
	600	Series B-1, Rev., AMT, GNMA/FNMA/FHLMC, 5.050%, 03/01/38		609
	875	Series E-1, Rev., FHLMC, 5.000%, 11/01/27		954
	1,425	Series E-1, Rev., AMT, GNMA/FNMA, 5.600%, 03/01/37		1,536
				7,257
		Transportation — 0.3%
	2,105	City of St. Louis, Lambert-St. Louis International Airport, Series B, Rev., AMT, AGM, 5.000%, 07/01/19		2,307
		Total Missouri		9,564
		Montana — 0.0% (g)
		Housing — 0.0% (g)
	265	Montana Board of Housing, Single Family Mortgage, Series B, Rev., 5.500%, 12/01/37		281
		Nebraska — 0.2%
		Housing — 0.2%
		Nebraska Investment Finance Authority, Single Family Housing,
	1,105	Series C, Rev., 5.500%, 03/01/36		1,129
	575	Series C, Rev., GNMA/FNMA/FHLMC, 5.250%, 09/01/31		577
		Total Nebraska		1,706
		Nevada — 2.0%
		Education — 0.8%
	5,445	Nevada System of Higher Education, Series B, Rev., AMBAC, 5.000%, 07/01/19		6,027

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — 0.7%
	3,500	Clark County School District, Series B, GO, AGM, 5.000%, 06/15/18		3,829
	1,360	Las Vegas Convention & Visitors Authority, GO, AMBAC, 5.000%, 07/01/29		1,445
				5,274
		Housing — 0.3%
	640	Nevada Housing Division, Multi-Unit Housing, Citivista Project, Series A, Rev., FNMA COLL, 5.450%, 10/01/15		641
	1,272	Nevada Rural Housing Authority, Single Family Mortgage, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.200%, 11/01/40		1,352
				1,993
		Other Revenue — 0.2%
	1,620	Las Vegas Special Improvement District No. 707, Special Assessment, Series A, AGM, 5.400%, 06/01/14		1,633
		Total Nevada		14,927
		New Hampshire — 1.0%
		Housing — 0.2%
	1,395	New Hampshire Housing Finance Authority, Single Family Mortgage, Series E, Rev., 6.625%, 07/01/38		1,548
		Other Revenue — 0.8%
		City of Manchester, School Facilities,
	3,545	Rev., NATL-RE, 5.500%, 06/01/24		4,715
	900	Rev., NATL-RE, 5.500%, 06/01/27		1,221
				5,936
		Total New Hampshire		7,484
		New Jersey — 2.0%
		General Obligation — 0.2%
	1,215	Egg Harbor Township School District, GO, AGM, 5.750%, 07/15/24		1,553
		Other Revenue — 1.4%
	2,310	Casino Reinvestment Development Authority, Hotel Room Fee, Rev., AMBAC, 5.000%, 01/01/15		2,438
	1,300	New Jersey Higher Education Student Assistance Authority, Series 1, Rev., 5.000%, 12/01/16		1,463
		Tobacco Settlement Financing Corp.,
	2,500	Series 1A, Rev., 5.000%, 06/01/14		2,636
	1,155	Series 1A, Rev., 5.000%, 06/01/16		1,230
	2,550	Series 1A, Rev., 5.000%, 06/01/19		2,602
				10,369

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Transportation — 0.4%
	2,000	New Jersey Transportation Trust Fund Authority, Transportation System, Series A, Rev., 5.500%, 12/15/21		2,507
		Total New Jersey		14,429
		New Mexico — 1.1%
		General Obligation — 0.2%
	1,000	New Mexico Finance Authority, State Transportation, Senior Lien, GO, 5.000%, 06/15/17		1,214
		Housing — 0.9%
		New Mexico Mortgage Finance Authority, Single Family Mortgage,
	1,945	Series B-3, Rev., AMT, GNMA/FNMA/FHLMC, 4.200%, 07/01/28		1,973
	610	Series C, Rev., AMT, GNMA/FNMA/FHLMC, 5.850%, 01/01/37		648
	2,130	Series C-2, Rev., AMT, FNMA/GNMA, 4.700%, 09/01/33		2,174
	1,780	Series D-1, Class I, Rev., AMT, GNMA/FMNA/FHLMC, 5.850%, 01/01/37		1,928
				6,723
		Total New Mexico		7,937
		New York — 5.4%
		Certificate of Participation/Lease — 2.4%
	5,010	New York State Dormitory Authority, Court Facilities Lease, Series A, Rev., COP, AMBAC, 5.500%, 05/15/20		6,157
	2,800	New York State Dormitory Authority, Mental Health Services, Unrefunded Balance, Series B, Rev., COP, 6.000%, 08/15/16		3,123
	5,900	New York State Dormitory Authority, Personal Education, Series C, Rev., COP, 5.000%, 03/15/26		6,954
	1,675	Tobacco Settlement Financing Corp., Asset-Backed Securities, Series B-1, Rev., COP, XLCA-ICR, 4.000%, 06/01/12		1,691
				17,925
		Education — 1.3%
	2,000	New York Municipal Bond Bank Agency, Series C, Rev., 5.000%, 12/01/23		2,089
	5,000	New York State Dormitory Authority, Personal Education, Series A, Rev., 5.000%, 03/15/21		5,908
	1,295	New York State Dormitory Authority, University Educational Facilities, Series B, Rev., VAR, 5.250%, 05/15/12 (p)		1,309
				9,306

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 27

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — 0.3%
	1,700	New York City, Series D, GO, 5.000%, 11/01/22		1,885
		Housing — 0.3%
	2,000	New York State Mortgage Agency, Rev., 5.000%, 04/01/28		2,157
		Resource Recovery — 0.3%
	2,140	Islip Resource Recovery Agency, 1985 Facility, Series F, Rev., AGM, 5.000%, 07/01/13		2,262
		Special Tax — 0.3%
	2,000	New York State Dormitory Authority, Personal Education, Series A, Rev., 5.250%, 02/15/24		2,394
		Transportation — 0.5%
	3,145	Metropolitan Transportation Authority, Dedicated Tax Fund, Series B, Rev., 5.250%, 11/15/24		3,716
		Total New York		39,645
		North Carolina — 2.8%
		Education — 0.8%
	1,355	University of North Carolina System, Series A, Rev., 5.250%, 10/01/23		1,633
	3,300	University of North Carolina System, Appalachian State University, Series B1, Rev., 5.250%, 10/01/23		3,990
				5,623
		Housing — 0.7%
	390	Asheville Housing Authority, Multi-Family, Battery Park Apartment, Series A, Rev., GNMA, 3.900%, 08/20/15		420
		North Carolina Housing Finance Agency, Home Ownership,
	955	Series 23-A, Rev., VAR, AMT, 5.000%, 07/01/36		970
	1,090	Series 26-A, Rev., VAR, AMT, 5.500%, 01/01/38		1,117
	2,385	Series 30-A, Rev., AMT, 5.500%, 01/01/39		2,442
				4,949
		Other Revenue — 0.8%
	1,000	North Carolina Capital Facilities Finance Agency, Waste Management of Carolinas Project, Rev., VAR, 3.375%, 08/01/14		1,037
	3,000	State of North Carolina, Capital Improvement, Series A, Rev., 5.000%, 05/01/17		3,624
	1,250	Wake County, Hammond Road Detention Center, Rev., 5.000%, 06/01/24		1,495
				6,156

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Water & Sewer — 0.5%
	3,330	City of Charlotte, Water & Sewer System, Rev., 5.250%, 07/01/22		4,096
		Total North Carolina		20,824
		North Dakota — 1.0%
		General Obligation — 0.2%
	1,380	North Dakota Housing Finance Agency, Home Mortgage Finance Program, Series F, GO, 4.500%, 01/01/35		1,458
		Housing — 0.2%
	1,845	North Dakota Housing Finance Agency, Home Mortgage Finance Program, Series B, Rev., 5.000%, 07/01/28		1,993
		Industrial Development Revenue/Pollution Control Revenue — 0.3%
	2,000	McLean County, Solid Waste Facilities, Great River Energy Project, Series A, Rev., 4.875%, 07/01/26		2,183
		Other Revenue — 0.3%
	1,910	North Dakota Housing Finance Agency, Home Mortgage Finance Program, Series D, Rev., 4.500%, 01/01/29		2,050
		Total North Dakota		7,684
		Ohio — 3.7%
		General Obligation — 1.0%
	1,000	Lakota Local School District, Series A, GO, NATL-RE, FGIC, 5.250%, 12/01/25		1,305
	5,000	State of Ohio, Infrastructure Improvement, Series A, GO, 5.500%, 02/01/20		6,382
				7,687
		Housing — 0.3%
	350	Cuyahoga County, Carter Manor, Multi-Family Housing, Rev., GNMA, 4.000%, 09/20/14		359
	60	Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, Series B, Rev., AMT, GNMA COLL, 4.650%, 09/01/20		60
		Summit County Port Authority, Eastland Woods Project, Multi-Family Housing,
	270	Series A, Rev., FHA, GNMA COLL, 4.000%, 12/20/14		275
	580	Series A, Rev., FHA, GNMA COLL, 4.350%, 12/20/19		597
	1,020	Series A, Rev., FHA, GNMA COLL, 4.750%, 12/20/26		1,048
				2,339

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Industrial Development Revenue/Pollution Control Revenue — 0.3%
	1,105	Cleveland-Cuyahoga County Port Authority, Capital Improvement Project, Series A, Rev., 5.375%, 05/15/19		1,105
	385	Cleveland-Cuyahoga County Port Authority, Cleveland Bond Fund, Series A, Rev., LOC - Fifth Third Bank, 6.250%, 05/15/16		391
	370	Cleveland-Cuyahoga County Port Authority, Cleveland City Project, Tax Allocation, Series B, 4.500%, 05/15/30		315
				1,811
		Other Revenue — 1.2%
	1,300	American Municipal Power, Inc., Prairie Street Energy Campus Project, Series A, Rev., 5.250%, 02/15/21		1,505
	1,000	City of Columbus, Sewerage System, Series A, Rev., 5.000%, 06/01/23		1,155
	3,000	Franklin County, Facilities, Ohiohealth Corp., Series D, Rev., VAR, 4.000%, 08/01/16		3,316
	95	Ohio Housing Finance Agency, Single Family Mortgage, Series 1, Rev., 5.000%, 11/01/28		104
	2,430	RiverSouth Authority, RiverSouth Area Redevelopment, Series A, Rev., 5.000%, 12/01/16		2,806
				8,886
		Prerefunded — 0.1%
	350	Toledo-Lucas County Port Authority, Development, Northwest Ohio Bond Fund, Series C, Rev., 5.350%, 11/15/12 (p)		356
		Water & Sewer — 0.8%
	5,000	City of Cincinnati, Water System, Series A, Rev., 5.000%, 12/01/17		6,138
		Total Ohio		27,217
		Oklahoma — 0.8%
		Housing — 0.8%
	430	Canadian County Home Finance Authority, Mortgage-Backed Securities Program, Single Family Mortgage, Series A, Rev., GNMA COLL, 6.700%, 09/01/32		444
		Oklahoma County Home Finance Authority, Mortgage-Backed Securities,
	2,720	Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.400%, 10/01/38		2,834
	915	Series A-2, Rev., GNMA, 5.700%, 04/01/36		942

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Housing — Continued
	1,685	Oklahoma Housing Finance Agency, Homeownership Loan Program, Single Family Mortgage, Series A, GO, GNMA/FNMA/FHLMC, 4.375%, 09/01/27		1,822
		Total Oklahoma		6,042
		Oregon — 1.1%
		General Obligation — 0.3%
	1,840	Jackson County School District No. 549C, GO, School Board Guaranty, 5.250%, 06/15/16		2,212
		Housing — 0.3%
	2,555	Oregon State Facilities Authority, Cascadian Terrace Apartments, Series A, Rev., LOC - Bank of the West, 5.100%, 05/01/13		2,609
		Other Revenue — 0.5%
	3,260	Oregon State Housing & Community Services Department, Single Family Mortgage Program, Series B, Rev., AMT, 5.000%, 07/01/30		3,499
		Total Oregon		8,320
		Other Territories — 0.4%
		Housing — 0.4%
	1,965	Multi-Family Housing, Bond Pass-Through Certificates, Series 7, Rev., VAR, 5.850%, 11/01/21		1,931
	1,205	Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments, Series 8, Rev., VAR, 5.950%, 11/01/23		1,170
		Total Other Territories		3,101
		Pennsylvania — 3.5%
		Education — 0.9%
	2,000	Pennsylvania Higher Educational Facilities Authority, LaSalle University, Series A, Rev., 5.000%, 05/01/12		2,013
	4,000	University of Pittsburgh, University Capital Project, Series B, Rev., 5.250%, 09/15/26		4,759
				6,772
		General Obligation — 0.5%
	3,000	City of Philadelphia, Series A, GO, AGM, 5.000%, 08/01/14		3,264
		Housing — 0.1%
	775	Allegheny County Residential Finance Authority, Single Family, Series TT, Rev., GNMA/FNMA, 5.750%, 05/01/37		793
	80	Philadelphia Authority for Industrial Development, Senior Living, Arbor House Project, Series E, Rev., 4.700%, 07/01/13		81

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 29

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Housing — Continued
	60	Philadelphia Authority for Industrial Development, Senior Living, Rieder House Project, Series A, Rev., 4.700%, 07/01/13		60
	65	Philadelphia Authority for Industrial Development, Senior Living, Saligman House Project, Series C, Rev., 4.700%, 07/01/13		66
				1,000
		Industrial Development Revenue/Pollution Control Revenue — 0.6%
	3,000	Bucks County IDA, Waste Management, Inc. Project, Rev., VAR, 2.875%, 02/01/13		3,048
	1,500	Pennsylvania Economic Development Financing Authority, Solid Waste, Waste Management, Inc. Project, Series A, Rev., VAR, 3.700%, 05/01/15		1,573
				4,621
		Other Revenue — 0.9%
	3,000	Allegheny County Airport Authority, Series 2B, Rev., VAR, FGIC, 5.000%, 01/01/18		3,292
	3,000	Pennsylvania Economic Development Financing Authority, People Energy Supply, Series A, Rev., VAR, 3.000%, 09/01/15		3,072
				6,364
		Resource Recovery — 0.5%
	3,925	Harrisburg Authority, Resource Recovery Facility, Series D-2, Rev., VAR, AGM, 5.000%, 12/01/13		3,929
		Total Pennsylvania		25,950
		South Carolina — 2.8%
		Certificate of Participation/Lease — 0.9%
	3,500	Charleston Educational Excellence Finance Corp., Charleston County School District, Rev., COP, 5.250%, 12/01/22		3,988
	2,560	City of Columbia, Tourism Development Fee Pledge, COP, AMBAC, 5.250%, 06/01/20		2,664
				6,652
		General Obligation — 0.9%
	5,855	York County School District No. 1, Series A, GO, SCSDE, 5.250%, 03/01/24		6,959
		Hospital — 0.8%
	1,090	Lexington County Health Services District, Inc., Rev., 6.000%, 05/01/14		1,200
	4,125	Medical University Hospital Authority, FHA Insured Mortgage, Series A, Rev., NATL-RE, FHA, 5.250%, 02/15/23		4,470
				5,670

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Revenue — 0.2%
	1,145	South Carolina State Housing Finance & Development Authority, Series 1, Rev., GNMA/FNMA/FHLMC, 5.000%, 01/01/28		1,247
		Total South Carolina		20,528
		South Dakota — 0.4%
		Housing — 0.3%
	1,955	South Dakota Housing Development Authority, Home Ownership Mortgage, Series E, Rev., 6.000%, 11/01/38		2,083
		Other Revenue — 0.1%
	1,000	South Dakota Health & Educational Facilities Authority, Regional Health, Rev., 5.000%, 09/01/17		1,167
		Total South Dakota		3,250
		Tennessee — 3.5%
		General Obligation — 0.5%
	3,955	Tennessee Housing Development Agency, Home Ownership Program, Series 1C, GO, 3.750%, 01/01/25		3,952
		Housing — 1.2%
	2,000	Memphis Health Educational & Housing Facility Board, Hillcrest Apartments Project, Multi-Family Housing, Rev., VAR, AMT, FHLMC, LIQ: FHLMC, 5.000%, 10/01/17		2,180
		Tennessee Housing Development Agency,
	2,425	Series A-1, Rev., 5.000%, 01/01/27		2,631
	2,300	Series A-2, Rev., 4.200%, 07/01/25		2,411
	1,240	Tennessee Housing Development Agency, Home Ownership Program, Series 2007-1, Rev., AMT, 5.500%, 01/01/38		1,294
				8,516
		Transportation — 0.2%
	1,000	Memphis-Shelby County Airport Authority, Series B, Rev., AMT, 5.750%, 07/01/25		1,147
		Utility — 0.7%
	5,000	Tennessee Energy Acquisition Corp., Series A, Rev., 5.250%, 09/01/21		5,500
		Water & Sewer — 0.9%
	5,000	Metropolitan Government Nashville & Davidson County, Series A, Rev., AGM, 5.250%, 01/01/21		6,306
		Total Tennessee		25,421
		Texas — 8.2%
		General Obligation — 2.3%
	1,150	Conroe Independent School District, School Building, GO, PSF-GTD, 5.000%, 02/15/19		1,410

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — Continued
	4,000	Fort Bend County, GO, 5.250%, 03/01/28		4,598
	2,335	Keller Independent School District, School Building, GO, 5.250%, 02/15/26		2,807
		Little Elm Independent School District, Unrefunded Balance,
	5	GO, PSF-GTD, Zero Coupon, 08/15/30		2
	5	GO, PSF-GTD, Zero Coupon, 08/15/31		2
	5	GO, PSF-GTD, Zero Coupon, 08/15/32		1
	2,000	Port of Houston Authority, Series D-1, GO, 5.000%, 10/01/24		2,437
	1,895	State of Texas, College Student Loans, Series A, GO, 5.250%, 08/01/19		2,272
	2,500	Wichita Falls Independent School District, School Building, GO, PSF-GTD, 5.000%, 02/01/25		2,917
				16,446
		Hospital — 0.0% (g)
	100	Lufkin Health Facilities Development Corp., Memorial Health System, East Texas, Rev., 5.000%, 02/15/13		102
		Housing — 1.5%
	155	Houston Housing Finance Corp., Sterlingshire Apartments, Multi-Family Housing, Series A-2, Rev., 4.250%, 11/01/12		157
	1,495	Multi-Family Housing, Bond Pass-Through Certificates, Valencia Apartments of Bernalilo, Series 2, Rev., 5.850%, 05/01/16		1,495
	2,040	Nortex Housing Finance Corp., Mortgage-Backed Securities Program, Single Family Housing, Series A, Rev., GNMA/FNMA/FHLMC, 5.500%, 07/01/38		2,199
	675	Texas Department of Housing & Community Affairs, Series D, Rev., AMT, 4.400%, 03/01/28		689
	1,516	Texas State Affordable Housing Corp., Single Family Mortgage, Series C, Rev., GNMA/FNMA/FHLMC, 5.300%, 10/01/39		1,616
	3,426	Texas State Affordable Housing Corp., Single Family Mortgage, Professional Educators Home Loan Program, Series A, Rev., VAR, GNMA/FNMA/FHLMC, 5.350%, 09/01/39		3,565
	545	Texas State Affordable Housing Corp., Single Family Mortgage, Teachers Home Loan Program, Rev., GNMA/FNMA/COLL, 6.200%, 03/01/32		558
	564	West Central Regional Housing Finance Corp., Mortgage-Backed Securities Program, Single Family Mortgage, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.350%, 12/01/39		594
				10,873

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Industrial Development Revenue/Pollution Control Revenue — 0.4%
		Harris County Industrial Development Corp., Solid Waste Disposal, Deer Park Refining Project,
	900	Rev., 4.700%, 05/01/18		994
	2,000	Rev., 5.000%, 02/01/23		2,172
				3,166
		Other Revenue — 1.0%
	1,980	Texas Department of Housing & Community Affairs, Series A, Rev., GNMA/FNMA/FHLMC, 5.000%, 07/01/29		2,191
	4,175	Texas State Transportation Commission, First Tier, Rev., 5.000%, 04/01/26		4,889
				7,080
		Transportation — 1.9%
	3,000	City of Austin, Texas Airport System, Prior Lien, Rev., NATL-RE, 5.250%, 11/15/16		3,198
	2,000	Dallas Area Rapid Transit, Senior Lien, Rev., AMBAC, 5.000%, 12/01/18		2,370
	1,500	Dallas-Fort Worth International Airport Facilities Improvement Corp., Series A, Rev., 5.000%, 11/01/22		1,658
	6,000	Texas State Transportation Commission, First Tier, Series A, Rev., 5.000%, 04/01/23		6,903
				14,129
		Utility — 0.3%
		Harris County Cultural Education Facilities Finance Corp., Teco Project,
	950	Series A, Rev., 5.000%, 11/15/15		1,099
	1,025	Series B, Rev., 5.000%, 11/15/13		1,106
				2,205
		Water & Sewer — 0.8%
	5,000	Texas Water Development Board, Revolving Funds, Sub Lien, Series B, Rev., 5.250%, 07/15/24		5,974
		Total Texas		59,975
		Utah — 0.6%
		Education — 0.6%
	3,245	Utah State Board of Regents, Student Fee and Housing System, Rev., NATL-RE, 5.250%, 04/01/23		4,133
		Housing — 0.0% (g)
	80	Utah State Housing Finance Agency, Single Family Mortgage, Series D-2, Rev., FHA/VA MTGS, 5.350%, 07/01/18		80
		Total Utah		4,213

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 31

JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Vermont — 0.4%
		Other Revenue — 0.4%
	2,250	Vermont Municipal Bond Bank, Series 1, Rev., 5.000%, 12/01/23		2,680
		Virginia — 1.9%
		General Obligation — 0.5%
	3,000	City of Virginia Beach, Public Improvement, Series B, GO, 5.000%, 07/15/19		3,785
		Other Revenue — 0.4%
	2,050	Virginia Public Building Authority, Public Facilities, Series B, Rev., 5.250%, 08/01/21		2,478
		Resource Recovery — 0.4%
		Virginia Resources Authority, Pooled Financing,
	1,110	Series A, Rev., 5.000%, 11/01/17		1,368
	1,500	Series B, Rev., 5.000%, 11/01/16		1,801
				3,169
		Transportation — 0.6%
	4,000	Virginia Commonwealth Transportation Board, U.S. Route 58 Corridor Development Program, Series C, Rev., 5.000%, 05/15/24		4,616
		Total Virginia		14,048
		Washington — 0.4%
		General Obligation — 0.2%
	1,035	City of Tacoma, Limited Tax, Series B, GO, 5.000%, 12/01/17		1,257
		Other Revenue — 0.2%
	500	Chelan County Public Utility District No.1, Series A, Rev., AMT, 5.500%, 07/01/26		589
	1,000	Port of Seattle, Intermediate Lien, Series C, Rev., AMT, 5.000%, 02/01/16		1,133
				1,722
		Total Washington		2,979

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Wisconsin — 1.5%
		Education — 0.7%
	5,000	State of Wisconsin, Health & Education, Private Placement, Rev., 4.780%, 05/01/29 (f) (i)		5,191
		General Obligation — 0.8%
	3,500	City of Kenosha, Capital Appreciation, Series D, GO, AMBAC, Zero Coupon, 09/01/15		3,340
	2,335	State of Wisconsin, Series C, GO, 5.000%, 05/01/23		2,725
				6,065
		Total Wisconsin		11,256
		Total Municipal Bonds (Cost $643,885)		686,415
SHARES
	Investment Company — 0.8%
	389	Nuveen Premium Income Municipal Fund (Cost $5,430)		5,739
	Short-Term Investment — 5.1%
		Investment Company — 5.1%
	37,420	JPMorgan Tax Free Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $37,420)		37,420
		Total Investments — 99.2% (Cost $686,735)		729,574
		Other Assets in Excess of Liabilities — 0.8%		5,634
		NET ASSETS — 100.0%	$	735,208

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

JPMorgan Ohio Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Municipal Bonds — 97.3%
		California — 0.4%
		General Obligation — 0.4%
	1,500	Napa Valley Community College District, Election of 2002, Series C, GO, NATL-RE, Zero Coupon, 08/01/20		1,088
		Colorado — 2.1%
		Prerefunded — 2.1%
	2,350	Colorado Housing & Finance Authority, Capital Appreciation, Series A, Rev., Zero Coupon, 09/01/14 (p)		2,312
	2,810	El Paso County, Single Family Mortgage, Capital Appreciation, Series A, Rev., Zero Coupon, 05/01/15 (p)		2,741
		Total Colorado		5,053
		Florida — 0.4%
		Transportation — 0.4%
	1,000	Miami-Dade County, Aviation, Series B, Rev., AMT, AGM-CR, XLCA, 5.000%, 10/01/19		1,071
		Hawaii — 0.7%
		Water & Sewer — 0.7%
	1,500	Honolulu City & County Board of Water Supply, Series B, Rev., AMT, NATL-RE, 5.250%, 07/01/19		1,667
		Illinois — 1.6%
		General Obligation — 0.9%
	2,000	Chicago Park District, Alternative Revenue Source, Series D, GO, NATL-RE, FGIC, 5.000%, 01/01/21		2,238
		Water & Sewer — 0.7%
	1,500	City of Chicago, Water, Second Lien, Series A, Rev., AMBAC, 5.000%, 11/01/20		1,670
		Total Illinois		3,908
		Kansas — 1.0%
		Prerefunded — 1.0%
	1,000	Kansas City, Single Family Mortgage, Municipal Multiplier, Series A, Rev., FHLMC COLL, Zero Coupon, 12/01/14 (p)		982
	1,390	Saline County, Single Family Mortgage, Rev., Zero Coupon, 12/01/15 (p)		1,345
		Total Kansas		2,327
		Louisiana — 0.7%
		Prerefunded — 0.7%
	1,685	Jefferson Parish Finance Authority, Single Family Mortgage, Rev., FGIC, Zero Coupon, 05/01/17 (p)		1,584

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — 0.7%
		General Obligation — 0.7%
	1,500	New York City, Series E, GO, AGM, 5.000%, 11/01/17		1,667
		Ohio — 87.5%
		Certificate of Participation/Lease — 5.2%
		Ohio State Building Authority, Adult Correctional Facilities,
	1,745	Series A, Rev., COP, 5.000%, 10/01/22		2,018
	2,030	Series B, Rev., COP, 5.250%, 04/01/15		2,305
	1,835	Ohio State Building Authority, State Facilities, Administrative Building Fund, Series A, Rev., COP, 5.000%, 10/01/24		2,089
	1,800	Ohio State Department of Administrative Services, State Taxation Accounting & Revenue, COP, 5.000%, 09/01/18		2,131
	2,000	State of Ohio, Cultural & Sports Capital Appreciation, Series A, Rev., COP, 5.250%, 10/01/20		2,440
	1,235	State of Ohio, Parks & Recreation, Series II-A, Rev., COP, 5.000%, 12/01/20		1,510
				12,493
		Education — 3.2%
	180	Ohio State University, General Receipts, Unrefunded Balance, Series B, Rev., 5.250%, 06/01/16		190
	1,000	State of Ohio, Higher Educational Facility, Baldwin-Wallace College Project, Rev., 5.500%, 12/01/20		1,085
	1,650	State of Ohio, Higher Educational Facility, Case Western Reserve University Project, Rev., NATL-RE, 5.250%, 12/01/19		2,015
	2,185	State of Ohio, Higher Educational Facility, Otterbein College Project, Series A, Rev., 5.500%, 12/01/23		2,533
	1,500	University of Cincinnati, Series G, Rev., NATL-RE, 5.000%, 06/01/18		1,787
				7,610
		General Obligation — 32.9%
	1,530	Beavercreek City School District, School Improvement, GO, 5.000%, 12/01/23		1,792
		Cincinnati City School District, Classroom Construction & Improvement,
	1,000	GO, NATL-RE, FGIC, 5.250%, 12/01/20		1,259
	3,000	GO, NATL-RE, FGIC, 5.250%, 12/01/24		3,841
	1,800	GO, NATL-RE, FGIC, 5.250%, 12/01/25		2,313
	2,000	City of Akron, Various Purpose, Series A, GO, 5.000%, 12/01/16		2,357

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 33

JPMorgan Ohio Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — Continued
		City of Avon,
	1,000	Series B, GO, 5.000%, 12/01/24		1,155
	1,000	Series B, GO, 5.000%, 12/01/25		1,150
	1,500	City of Cincinnati, Various Purpose, Series C, GO, 5.000%, 12/01/18		1,791
	2,200	City of Cleveland, Various Purpose, Series A, GO, AGC, 5.000%, 12/01/22		2,457
	286	City of Columbus, Clintonville II Street Light Assessment, Private Placement, GO, 4.400%, 09/01/15		293
	1,500	City of Columbus, Series A, GO, 5.000%, 07/01/25		1,839
	1,000	City of Columbus School District, School Facilities Construction & Improvement, GO, 5.000%, 12/01/24		1,163
	1,255	City of Dayton, Various Purpose, Series A, GO, 3.250%, 12/01/16		1,398
		City of Dublin, Various Purpose,
	1,000	Series A, GO, 3.000%, 12/01/14		1,069
	1,030	Series A, GO, 4.000%, 12/01/16		1,190
		City of Strongsville, Various Purpose,
	1,000	GO, 5.000%, 12/01/24		1,159
	1,000	GO, 5.000%, 12/01/25		1,157
	1,000	City of Toledo School District, School Facilities Construction & Improvement, GO, 5.000%, 12/01/23		1,180
	1,475	City of Westerville, GO, 5.000%, 12/01/15		1,720
	1,775	Columbus City School District, Capital Appreciation, Construction & Improvement, Series B, GO, Zero Coupon, 12/01/18		1,496
	1,500	Cuyahoga County, Capital Appreciation, Series A, GO, NATL-RE, Zero Coupon, 10/01/13		1,484
	1,000	Dublin City School District, Capital Appreciation Bonds, GO, NATL-RE, FGIC, Zero Coupon, 12/01/15		961
		Dublin City School District, School Facilities, Construction & Improvement,
	1,000	GO, 5.000%, 12/01/24		1,163
	1,000	GO, NATL-RE, 5.000%, 12/01/18		1,152
	1,000	GO, NATL-RE, 5.000%, 12/01/18		1,203
	1,350	Hamilton County, GO, 5.000%, 12/01/15		1,536
		Lake County, Building Improvement,
	1,010	GO, NATL-RE, 5.000%, 12/01/21		1,097
	1,060	GO, NATL-RE, 5.000%, 12/01/22		1,146
	1,400	Lake Local School District/Stark County, School Improvement, GO, AGM, 5.000%, 12/01/19		1,578

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — Continued
	2,450	Lakewood City School District, Capital Appreciation, GO, AGM, Zero Coupon, 12/01/17		2,238
	2,500	Lakota Local School District, Series A, GO, NATL-RE, FGIC, 5.250%, 12/01/24		3,235
	1,120	Lebanon City School District, School Construction, GO, AGM, 5.000%, 12/01/21		1,260
	1,430	Marysville Exempt Village School District, GO, AGM, 5.000%, 12/01/21		1,633
	2,000	Olentangy Local School District, GO, AGM, 5.000%, 12/01/22		2,290
	1,405	Olentangy Local School District, School Facilities, Construction & Improvement, GO, 5.000%, 12/01/22		1,637
	1,260	Southwest Licking Local School District, GO, NATL-RE, FGIC, 5.750%, 12/01/14		1,400
	1,710	Springfield City School District, Clark County, Capital Appreciation, GO, AMBAC, Zero Coupon, 12/01/12		1,698
		State of Ohio,
	1,750	Series A, GO, 5.375%, 09/01/23		2,055
		State of Ohio, Common Schools
	1,000	Series A, GO, 5.000%, 09/15/18		1,231
	2,000	Series A, GO, 5.000%, 09/15/22		2,513
	1,000	Series A, GO, 5.000%, 09/15/23		1,266
	1,205	Series A, GO, 5.250%, 09/15/12		1,238
	1,250	Series B, GO, 5.000%, 03/15/19		1,358
	1,500	Series B, GO, 5.000%, 09/15/26		1,800
	2,720	State of Ohio, Conservation Projects, Series A, GO, 5.000%, 09/01/16		3,245
	1,000	State of Ohio, Cultural & Sports Capital Refunding, Series B, GO, AGM, 5.000%, 10/01/15		1,146
	1,500	State of Ohio, Infrastructure Improvements, Series D, GO, 5.000%, 03/01/20		1,626
	1,380	Sylvania City School District, School Improvement, GO, AGC, 5.000%, 12/01/23		1,529
	1,905	Westlake City School District, Capital Appreciation, School Improvement, Series A, GO, NATL-RE, FGIC, Zero Coupon, 12/01/15		1,815
				79,312
		Hospital — 5.5%
	2,500	Cuyahoga County, Series A, Rev., 5.500%, 01/01/13		2,599
	315	Cuyahoga County, W.O. Walker Center, Inc., Series I, Rev., AMBAC, 5.250%, 01/01/13		316

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Hospital — Continued
	1,000	Franklin County, Health Care Facilities, Ohio Presbyterian Services, Rev., 5.500%, 07/01/17		1,002
		Ohio Higher Educational Facility Commission, University Hospital Health System,
	1,000	Series A, Rev., 5.000%, 01/15/14		1,059
	550	Series A, Rev., 5.000%, 01/15/24		597
	1,000	Series A, Rev., 5.250%, 01/15/23		1,124
	2,500	Richland County, Hospital Facilities, Medcentral Health Systems, Rev., 5.125%, 11/15/21		2,713
	2,000	State of Ohio, Higher Educational Facility, Cleveland Clinic Health, Series A, Rev., 5.000%, 01/01/26		2,198
	1,500	State of Ohio, Hospital Facility, Cleveland Clinic Health, Rev., 5.000%, 01/01/25		1,683
				13,291
		Housing — 5.1%
	860	Cuyahoga County, Multi-Family Housing, Allerton Apartments, Series A, Rev., FHA, GNMA, 4.900%, 08/20/22		968
	390	Cuyahoga County, Multi-Family Housing, Clifton Plaza, Rev., GNMA COLL, 4.150%, 06/20/15		405
	445	Montgomery County, Multi-Family Housing, Chevy Chase Apartments, Rev., FHLMC, 4.600%, 11/01/15		466
	120	Ohio Capital Corp. For Housing, Mortgage, Section 8 Assisted, Series M, Rev., FHA, 5.900%, 02/01/14		120
		Ohio Housing Finance Agency,
	880	Series A, Rev., AGM, 4.500%, 04/01/12		883
	1,000	Series A, Rev., AGM, 5.000%, 04/01/22		1,111
	500	Series A, Rev., AGM, 5.000%, 04/01/27		540
	895	Ohio Housing Finance Agency, Mortgage-Backed Securities Program, Series F, Rev., GNMA/FNMA/FHLMC, 4.250%, 09/01/16		931
	1,390	Ohio Housing Finance Agency, Multi-Family Housing, Hillwood II Project, Rev., AMT, GNMA COLL, 4.850%, 05/20/21		1,472
	465	Ohio Housing Finance Agency, Multi-Family Housing, Warren Heights, Series C, Rev., AMT, GNMA COLL, FHA, 4.500%, 11/20/17		472
		Ohio Housing Finance Agency, Residential Mortgage-Backed Securities,
	610	Series A, Rev., AMT, GNMA COLL, 4.300%, 03/01/16		638
	1,455	Series J, Rev., GNMA/FNMA/FHLMC, 5.900%, 09/01/23		1,539

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Housing — Continued
	1,950	Summit County Port Authority, Callis Tower Apartments, Rev., GNMA COLL, FHA, 4.500%, 09/20/17		2,031
	760	Trumbull County, Multi-Family Housing, Royal Mall Apartments, Rev., FHA/GNMA, 4.800%, 05/20/17		803
				12,379
		Industrial Development Revenue/Pollution Control Revenue — 0.6%
	600	Cleveland-Cuyahoga County Port Authority, Capital Improvement Project, Series A, Rev., 5.375%, 05/15/19		600
	820	Summit County Port Authority, Twinsburg Project, Series D, Rev., 5.125%, 05/15/25		790
				1,390
		Other Revenue — 10.4%
	2,500	Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Series A-1, Rev., 5.000%, 06/01/15		2,653
		City of Cleveland, Parking Facilities,
	680	Rev., AGM, 5.000%, 09/15/14		736
	320	Rev., AGM, 5.000%, 09/15/14 (p)		356
	930	Rev., AGM, 5.250%, 09/15/21		1,104
	440	Rev., AGM, 5.250%, 09/15/21 (p)		566
	1,000	City of Toledo, Waterworks, Series A, Rev., 5.000%, 11/15/25		1,186
		Cuyahoga County, Cleveland Clinic,
	2,400	Series A, Rev., 6.000%, 07/01/13 (p)		2,583
	1,310	Cuyahoga County, Economic Development, Shaker Square, Series D, Rev., 5.000%, 12/01/25		1,503
	1,000	Franklin County, Convention Facilities Authority, Tax and Lease, Rev., 5.000%, 12/01/22		1,126
	1,000	Hamilton County, Series A, Rev., AMBAC, 5.000%, 12/01/18		1,157
	300	Miami University, Rev., 5.000%, 09/01/19		366
		Ohio State Building Authority, State Facilities, Administrative Building Fund,
	1,000	Series B, Rev., 5.000%, 10/01/23		1,156
	1,220	Series B, Rev., 5.000%, 10/01/24		1,400
		Ohio State University, General Receipts,
	2,000	Series D, Rev., 5.000%, 12/01/26		2,569
	2,000	Series D, Rev., 5.000%, 12/01/27		2,558
	75	Ohio State Water Development Authority, Unrefunded Balance, Drinking Water Assistance Fund, Rev., 5.000%, 12/01/18		82

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 35

JPMorgan Ohio Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Other Revenue — Continued
	2,550	RiverSouth Authority, RiverSouth Area Redevelopment, Series A, Rev., 5.000%, 12/01/17		2,919
	1,000	Wright State University, General Receipts, Series A, Rev., 5.000%, 05/01/26		1,124
				25,144
		Prerefunded — 3.3%
	1,015	City of Cleveland, GO, AMBAC, 5.250%, 12/01/14 (p)		1,150
	2,000	City of Columbus School District, School Facilities Construction & Improvement, GO, AGM, 5.250%, 12/01/14 (p)		2,260
	2,685	Ohio Housing Finance Agency, Single Family Mortgage, Rev., FGIC, FHA/VA/PRIV MTGS, Zero Coupon, 07/15/13 (p)		2,298
	820	Ohio State University, General Receipts, Series B, Rev., 5.250%, 06/01/13 (p)		871
	1,175	Ohio State Water Development Authority, Drinking Water Assistance Fund, Rev., 5.000%, 06/01/14 (p)		1,296
				7,875
		Special Tax — 1.7%
	1,000	City of Akron, Community Learning Centers, Series A, Rev., NATL-RE, FGIC, 5.250%, 12/01/19		1,063
		State of Ohio,
	1,500	Series A, Rev., 5.000%, 10/01/20		1,765
	1,000	Series A, Rev., 5.000%, 10/01/22		1,152
				3,980
		Transportation — 9.3%
		City of Cleveland, Airport System,
	2,000	Series A, Rev., AGM-CR, AMBAC, 5.250%, 01/01/20		2,312
	1,500	Series C, Rev., AGC, 4.000%, 01/01/16		1,636
	1,000	Series C, Rev., AGC, 5.000%, 01/01/16		1,128
	1,500	Series C, Rev., AGM, 5.000%, 01/01/19		1,628
	2,000	Columbus Regional Airport Authority, Rev., NATL-RE, 5.000%, 01/01/19		2,265
		Ohio State Turnpike Commission,
	2,000	Series A, Rev., 5.000%, 02/15/22		2,342
	1,185	Series A, Rev., 5.000%, 02/15/23		1,373
	2,000	Series A, Rev., 5.250%, 02/15/27		2,538
	5,155	Series A, Rev., NATL-RE, FGIC, 5.500%, 02/15/14		5,667
	1,250	State of Ohio, Major Infrastructure Project, Series 2007-1, Rev., AGM, 5.000%, 06/15/17		1,506
				22,395

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Utility — 3.0%
	1,000	American Municipal Power-Ohio, Inc., Prairie State Energy Campus, Series A, Rev., AGC, 5.000%, 02/15/24		1,131
		City of Cleveland, Public Power Systems,
	1,220	Rev., AMBAC, 5.500%, 11/15/16		1,225
	1,280	Series A, Rev., NATL-RE, FGIC, 5.000%, 11/15/15		1,445
	1,000	Series A-1, Rev., NATL-RE, FGIC, 5.000%, 11/15/20		1,104
		City of Hamilton, Electric Systems,
	950	Series A, Rev., AGC, 5.000%, 10/01/20		1,141
	1,000	Series A, Rev., AGC, 5.000%, 10/01/21		1,184
				7,230
		Water & Sewer — 7.3%
		City of Akron, Sanitation Sewer System,
	1,030	Rev., NATL-RE, FGIC, 5.375%, 12/01/13		1,082
	1,070	Rev., NATL-RE, FGIC, 5.500%, 12/01/12		1,098
	1,000	City of Akron, Waterworks, Rev., AGC, 5.000%, 03/01/18		1,198
		City of Cincinnati, Water Systems,
	1,500	Series A, Rev., 5.000%, 12/01/18		1,756
	1,000	Sub Series B, Rev., NATL-RE, 5.000%, 12/01/22		1,146
	1,220	City of Cleveland, Waterworks, Series O, Rev., NATL-RE, 5.000%, 01/01/19		1,407
	15	City of Cleveland, Waterworks, First Mortgage, Series G, Rev., NATL-RE, 5.500%, 01/01/13		15
	2,975	Clermont County, Sewer District, Rev., AMBAC, 5.250%, 08/01/16		3,160
	2,000	Ohio State Water Development Authority, Capital Appreciation, Water Quality Fund, Series B, Rev., Zero Coupon, 06/01/17		1,869
	2,000	Ohio State Water Development Authority, Drinking Water Assistance Fund, Rev., 5.000%, 12/01/23		2,348
	2,000	Ohio State Water Development Authority, Fresh Water, Rev., 5.500%, 12/01/21		2,603
				17,682
		Total Ohio		210,781
		Texas — 2.2%
		General Obligation — 1.2%
	1,000	Northside Independent School District, Series D, GO, PSF-GTD, 5.000%, 06/15/18		1,172
	1,500	State of Texas, Transition Community, Mobility Fund, GO, 5.000%, 04/01/19		1,726
				2,898

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Prerefunded — 1.0%
	2,500	Southeast Texas Housing Finance Corp., Rev., NATL-RE, Zero Coupon, 09/01/17 (p)		2,353
		Total Texas		5,251
		Total Municipal Bonds (Cost $214,515)		234,397

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 1.8%
		Investment Company — 1.8%
	4,260	JPMorgan Tax Free Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $4,260)		4,260
		Total Investments — 99.1% (Cost $218,775)		238,657
		Other Assets in Excess of Liabilities — 0.9%		2,248
		NET ASSETS — 100.0%	$	240,905

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 37

JPMorgan Short-Intermediate Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Collateralized Mortgage Obligation — 0.1%
		Agency CMO — 0.1%
	882	Federal National Mortgage Association REMICS, Series 2002-36, Class FS, VAR, 0.744%, 06/25/32 (Cost $883)		890
	Municipal Bonds — 97.5%
		Alabama — 0.1%
		Other Revenue — 0.1%
	1,000	Auburn University, General Fee, Series A, Rev., 5.000%, 06/01/15		1,142
		Alaska — 1.0%
		General Obligation — 0.9%
	8,230	State of Alaska, Series A, GO, 5.000%, 08/01/17		10,111
		Other Revenue — 0.1%
	1,000	Alaska Industrial Development & Export Authority, Revolving Fund, Series A, Rev., 5.000%, 04/01/12		1,004
		Total Alaska		11,115
		Arizona — 0.8%
		Certificate of Participation/Lease — 0.4%
	3,625	Salt River Project Agricultural Improvement & Power District, COP, NATL-RE, 5.000%, 12/01/18		3,863
		Hospital — 0.4%
	5,000	Arizona Health Facilities Authority, Phoenix Children’s Hospital, Series A, Rev., VAR, 1.160%, 02/02/15		4,678
		Total Arizona		8,541
		California — 1.1%
		General Obligation — 0.1%
	1,510	San Rafael City High School District, GO, 4.000%, 08/01/16		1,725
		Other Revenue — 0.3%
	3,000	California Infrastructure & Economic Development Bank, The J. Paul Getty Trust, Series A-1, Rev., VAR, 0.660%, 04/01/14		2,998
		Prerefunded — 0.7%
	5,250	Golden State Tobacco Securitization Corp., Asset-Backed, Series A-4, Rev., 7.800%, 06/01/13 (p)		5,735
	1,635	State of California, Economic Recovery, Series A, GO, NATL-RE, 5.250%, 07/01/13 (p)		1,745
				7,480
		Total California		12,203

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Colorado — 1.4%
		Housing — 0.0% (g)
	85	El Paso County, Single Family Mortgage, Series A, Rev., 6.200%, 11/01/24		86
		Prerefunded — 0.4%
	2,165	Douglas County School District No Re-1 Douglas & Elbert Counties, GO, NATL-RE, FGIC, 5.750%, 12/15/14 (p)		2,480
	2,295	El Paso County School District No. 20 Academy, GO, NATL-RE, FGIC, 5.250%, 12/15/12 (p)		2,387
				4,867
		Transportation — 1.0%
	10,000	Colorado Department of Transportation, Series B, Rev., NATL-RE, 5.500%, 06/15/14		11,177
		Total Colorado		16,130
		Connecticut — 2.5%
		Education — 0.2%
	2,195	Connecticut State Higher Education Supplement Loan Authority, Family Education Loan Program, Series A, Rev., NATL-RE, 4.375%, 11/15/13		2,283
		General Obligation — 1.1%
		State of Connecticut,
	5,000	GO, 5.000%, 03/15/12		5,010
	5,000	Series E, GO, AGM, 5.500%, 11/15/12		5,190
		Town of Glastonbury,
	1,320	GO, 5.000%, 05/15/13		1,396
	1,000	GO, 5.000%, 05/15/14		1,104
				12,700
		Other Revenue — 1.2%
	1,100	Connecticut Development Authority, Pollution Control, The Connecticut Light & Power Company Project, Series B, Rev., VAR, 1.250%, 09/03/13		1,107
		State of Connecticut, Transportation Infrastructure, Special Tax
	4,265	Series A, Rev., 5.000%, 12/01/17		5,239
	5,750	Series B, Rev., 5.000%, 12/01/17		7,063
				13,409
		Total Connecticut		28,392
		Delaware — 2.8%
		General Obligation — 2.1%
		State of Delaware,
	6,000	Series 2009C, GO, 5.000%, 10/01/16		7,207

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — Continued
	14,090	Series A, GO, 5.000%, 07/01/17		17,268
				24,475
		Transportation — 0.7%
	7,500	Delaware Transportation Authority, Motor Fuel Tax Revenue, Series B, Rev., AMBAC, 5.250%, 07/01/12		7,629
		Total Delaware		32,104
		District of Columbia — 0.2%
		Water & Sewer — 0.2%
	1,725	District of Columbia Water & Sewer Authority, Sub Lien, Series A, Rev., AGC, 5.000%, 10/01/13		1,852
		Florida — 2.9%
		Other Revenue — 1.0%
	2,000	Broward County, Main Court House Project, Series A, Rev., 5.000%, 10/01/15		2,279
	5,000	Citizens Property Insurance Corp., Senior Secured, High-Risk Account, Series A-1, Rev., 5.000%, 06/01/12		5,061
	3,000	Tampa Sports Authority, Sales Tax, Rev., AGM, 5.000%, 01/01/16		3,317
				10,657
		Prerefunded — 0.3%
	3,000	Orange County, Tourist Development, Senior Lien, Rev., AMBAC, 5.500%, 04/01/12 (p)		3,014
		Water & Sewer — 1.6%
		Miami-Dade County, Water & Sewer Systems,
	1,645	Series B, Rev., AGM, 5.000%, 10/01/13		1,760
	5,000	Series B, Rev., AGM, 5.000%, 10/01/14		5,549
		Tampa Bay Water Utility System, Water Supply Authority,
	5,000	Rev., NATL-RE, FGIC, 5.000%, 10/01/13		5,367
	5,000	Rev., NATL-RE, FGIC, 5.250%, 10/01/15		5,811
				18,487
		Total Florida		32,158
		Georgia — 7.1%
		General Obligation — 5.1%
	5,305	Atlanta Independent School System, Series B, GO, 5.000%, 03/01/15		5,903
	5,365	DeKalb County, Special Transportation Parks & Greenspace, GO, 5.000%, 12/01/15		6,017
	2,160	Floyd County, Sales Tax, GO, 5.000%, 04/01/12		2,169
	10,000	Gwinnett County School District, Sales Tax, Series A, GO, 4.500%, 10/01/17		12,018

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — Continued
	3,100	Henry County School District, GO, NATL-RE, FGIC, 5.000%, 08/01/14 (p)		3,438
		State of Georgia,
	5,000	Series G, GO, 4.000%, 11/01/12		5,129
	7,415	Series G, GO, 5.000%, 10/01/12		7,627
	2,100	Series I, GO, 5.000%, 07/01/17		2,572
	10,000	Series I, GO, 5.000%, 07/01/18		12,440
				57,313
		Other Revenue — 0.6%
	3,000	Burke County Development Authority, Georgia Power Company Plant Vogtle Project, Rev., VAR, 1.400%, 04/01/15		3,019
		Camden County Public Service Authority, St. Mary’s Project,
	1,230	Rev., 5.000%, 12/01/15		1,429
	1,685	Rev., 5.000%, 12/01/16		2,016
				6,464
		Prerefunded — 0.8%
	8,850	State of Georgia, Series B, GO, 5.000%, 05/01/12 (p)		8,924
		Special Tax — 0.6%
	6,870	Georgia State Road & Tollway Authority, Rev., 5.250%, 10/01/12		7,076
		Total Georgia		79,777
		Hawaii — 2.6%
		General Obligation — 2.4%
	5,000	City & County of Honolulu, Series A, GO, NATL-RE, 5.000%, 07/01/13		5,318
		State of Hawaii,
	2,205	Series D, GO, 5.000%, 06/01/16 (p)		2,616
	10,160	Series DY, GO, 5.000%, 02/01/20		12,661
	5,000	Series EA, GO, 5.000%, 12/01/16		6,012
				26,607
		Prerefunded — 0.2%
	2,750	State of Hawaii, Series CZ, GO, AGM, 5.000%, 07/01/12 (p)		2,795
		Total Hawaii		29,402
		Illinois — 4.5%
		Education — 0.4%
	5,000	Illinois Finance Authority, Educational Facilities, University of Chicago, Series B-1, Rev., VAR, 1.125%, 02/14/13		5,037

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 39

JPMorgan Short-Intermediate Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — 0.5%
	2,350	Chicago Park District, Series D, GO, 5.000%, 01/01/15 (w)		2,633
		Du Page Cook & Will Counties Community College District No. 502,
	1,530	Series B, GO, 4.000%, 01/01/15		1,677
	1,585	Series B, GO, 4.000%, 01/01/16		1,784
				6,094
		Hospital — 0.4%
		Illinois Finance Authority, Advocate Health Care,
	3,000	Series A-3, Rev., VAR, 3.875%, 05/01/12		3,019
	1,010	Sub Series C3B, Rev., VAR, 4.375%, 07/01/14		1,084
				4,103
		Industrial Development Revenue/Pollution Control Revenue — 0.1%
	1,350	City of Chicago, Pilsen Redevelopment, Tax Allocation, Series A, AMBAC, 4.350%, 06/01/13		1,346
		Other Revenue — 0.2%
	1,790	Illinois Educational Facilities Authority, Medical Term-Field Museum, Rev., VAR, 4.450%, 11/01/14		1,926
		Prerefunded — 2.6%
	2,295	Chicago Metropolitan Water Reclamation District-Greater Chicago, Capital Improvement, GO, 5.500%, 12/01/12 (p)		2,379
	6,775	City of Chicago, Series A, GO, AGM, 5.000%, 01/01/14 (p)		7,357
		Illinois State Toll Highway Authority, Senior Priority,
	14,425	Series A-2, Rev., AGM, 5.000%, 07/01/16 (p)		17,174
	2,000	Will & Kendall Counties Community Consolidated School District 202, School Building, Series A, GO, FGIC, 5.000%, 07/01/13 (p)		2,127
				29,037
		Transportation — 0.3%
	2,845	Chicago Transit Authority, Capital Grant, Federal Transit Administration, Section 5309, Rev., AGC, 5.000%, 06/01/14		3,064
		Total Illinois		50,607
		Indiana — 3.2%
		Education — 0.2%
	2,375	Indiana University, Student Fee, Series T-1, Rev., 5.000%, 08/01/14		2,642

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — 0.1%
	1,000	Indianapolis-Marion County Public Library, GO, 5.000%, 01/01/16		1,153
		Other Revenue — 1.3%
	1,000	Franklin Township-Marion County Multiple School Building Corp., First Mortgage, Rev., 5.000%, 07/10/14		1,096
	1,900	Indiana Finance Authority, Ascension Health, Series A-8, Rev., VAR, 5.000%, 07/28/16		2,201
	5,000	Indiana Finance Authority, State Revolving Fund Program, Series A, Rev., 4.000%, 02/01/15		5,502
		Indianapolis Local Public Improvement Bond Bank,
	2,100	Series D, Rev., 5.000%, 06/01/14		2,291
	3,320	Series D, Rev., 5.000%, 06/01/17		3,915
				15,005
		Prerefunded — 1.6%
	4,775	Carmel School Building Corp., First Mortgage, Rev., NATL-RE, 5.000%, 07/15/13 (p)		5,086
	2,100	Indiana Finance Authority, Series A, Rev., FGIC, 5.250%, 06/01/14 (p)		2,332
	9,000	Indiana Transportation Finance Authority, Series A, Rev., FGIC, 5.250%, 06/01/14 (p)		9,996
				17,414
		Total Indiana		36,214
		Iowa — 0.2%
		Other Revenue — 0.2%
	2,000	Iowa Higher Education Loan Authority, Private College Facility, Rev., 4.000%, 12/01/13		2,131
		Kansas — 0.4%
		General Obligation — 0.2%
	2,400	City of Olathe, Series 211, GO, 5.000%, 10/01/12		2,468
		Other Revenue — 0.2%
		City of Wichita, Hospital Facilities, Refunding and Improvement,
	450	Series IV-A, Rev., 4.000%, 11/15/13		474
	200	Series IV-A, Rev., 4.000%, 11/15/14		215
	1,000	Kansas Development Finance Authority, Kansas State Projects, Series E-1, Rev., 5.000%, 11/01/14		1,117
				1,806
		Total Kansas		4,274

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Kentucky — 1.8%
		Other Revenue — 0.6%
	3,820	Kentucky State Property & Buildings Commission, Project 95, Series A, Rev., 5.000%, 08/01/13		4,064
	2,500	Kentucky Turnpike Authority, Revitalization Projects, Series A, Rev., 5.000%, 07/01/16		2,952
				7,016
		Prerefunded — 0.6%
	5,310	Kentucky State Property & Buildings Commission, Project 85, Rev., AGM, 5.000%, 08/01/15 (p)		6,120
		Transportation — 0.6%
		Kenton County Airport Board,
	1,000	Rev., AMT, NATL-RE, 5.000%, 03/01/12		1,000
	5,830	Rev., AMT, XLCA, 5.000%, 03/01/12		5,831
				6,831
		Total Kentucky		19,967
		Louisiana — 1.4%
		Certificate of Participation/Lease — 0.4%
	5,000	City of Baton Rouge/Parish of East Baton Rouge, Public Improvement, Series ST, Rev., COP, NATL-RE, 5.000%, 02/01/13 (p)		5,270
		Other Revenue — 0.7%
	7,605	State of Louisiana, Gas & Fuel Tax Revenue, Second Lien, Series A, Rev., VAR, 0.910%, 06/01/13		7,615
		Prerefunded — 0.3%
	3,010	City of Baton Rouge/Parish of East Baton Rouge, Public Improvement, Series ST, Rev., AMBAC, 5.125%, 02/01/14 (p)		3,315
		Total Louisiana		16,200
		Maine — 1.6%
		General Obligation — 0.9%
		State of Maine,
	6,000	Series B, GO, 5.000%, 06/01/18		7,396
	2,675	Series C, GO, 4.000%, 06/01/13		2,803
				10,199
		Other Revenue — 0.5%
	5,215	University of Maine, Rev., AGM, 5.375%, 03/01/12 (p)		5,216
		Prerefunded — 0.2%
	2,000	Maine Municipal Bond Bank, Series B, Rev., 5.000%, 11/01/14 (p)		2,243
		Total Maine		17,658

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Maryland — 3.1%
		General Obligation — 2.3%
	2,475	Anne Arundel County, General Improvement, GO, 4.000%, 04/01/12		2,483
	1,590	Anne Arundel County, Water & Sewer System, GO, 5.000%, 04/01/15		1,811
	3,250	Harford County, Public Improvement, GO, 4.500%, 12/01/13		3,495
		Prince George’s County, Public Improvement,
	1,500	GO, 5.500%, 10/01/13		1,626
	3,000	Series A, GO, 5.000%, 07/15/13		3,198
	11,275	State of Maryland, State and Local Facilities, Series A, GO, 5.000%, 11/01/14		12,673
				25,286
		Other Revenue — 0.5%
	5,000	Maryland State Department of Transportation County Transportation, Rev., 5.000%, 03/01/16		5,882
		Special Tax — 0.3%
	3,190	Maryland State Department of Transportation County Transportation, Rev., 5.000%, 11/01/12		3,295
		Total Maryland		34,463
		Massachusetts — 5.0%
		Education — 1.4%
		Massachusetts School Building Authority,
	6,890	Series A, Rev., 4.000%, 05/15/13		7,206
	7,250	Series A, Rev., 5.000%, 05/15/15		8,286
				15,492
		General Obligation — 0.5%
	5,000	Commonwealth of Massachusetts, Series D, GO, NATL-RE, 5.500%, 11/01/13		5,441
		Industrial Development Revenue/Pollution Control Revenue — 0.1%
	1,500	Massachusetts Water Pollution Abatement, State Revolving Fund, Series 14, Rev., 5.000%, 08/01/13		1,602
		Other Revenue — 1.4%
	2,335	Commonwealth of Massachusetts, Special Obligation, Series A, Rev., AGM, 5.500%, 06/01/16		2,810
	5,735	Massachusetts Development Finance Agency, Harvard University, Series B-1, Rev., 5.000%, 10/15/20		7,327
	5,000	Massachusetts Health & Educational Facilities Authority, Various Amherst College, Series K-2, Rev., VAR, 1.700%, 11/01/16		5,125
				15,262

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 41

JPMorgan Short-Intermediate Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Prerefunded — 1.3%
		Commonwealth of Massachusetts,
	2,000	Series A, GO, AMBAC, 6.500%, 11/01/14 (p)		2,326
	500	Series B, GO, 5.000%, 08/01/14 (p)		556
	5,000	Series D, GO, 5.250%, 10/01/13 (p)		5,381
	2,345	University of Massachusetts Building Authority Project, Series 04-1, Rev., AMBAC, 5.375%, 11/01/14 (p)		2,651
	3,515	University of Massachusetts Building Authority, Commonwealth Guaranteed, Series 4-A, Rev., NATL-RE, 5.250%, 11/01/14 (p)		3,972
				14,886
		Special Tax — 0.3%
	3,360	Massachusetts Bay Transportation Authority, Series B, Rev., 5.250%, 07/01/14		3,749
		Total Massachusetts		56,432
		Michigan — 1.7%
		General Obligation — 0.6%
	1,645	Southfield Public Schools, GO, NATL-RE, Q-SBLF, 5.000%, 05/01/15		1,851
	4,400	State of Michigan, GO, 5.500%, 12/01/15		5,154
				7,005
		Prerefunded — 0.1%
	1,070	Van Buren Charter Township Local Development Finance Authority, Tax Increment, GO, FGIC, 5.250%, 04/01/13 (p)		1,128
		Transportation — 0.3%
	2,825	Wayne County Airport Authority, Rev., NATL-RE, FGIC, 5.000%, 12/01/14		3,044
		Water & Sewer — 0.7%
	10,870	City of Detroit, Sewer Disposal, Series D, Rev., VAR, AGM, 0.989%, 07/01/32		7,787
		Total Michigan		18,964
		Minnesota — 2.5%
		General Obligation — 1.2%
		State of Minnesota,
	6,565	GO, 5.000%, 08/01/13		7,010
	5,555	GO, 5.000%, 10/01/15		6,441
				13,451
		Hospital — 0.2%
	2,000	St. Paul Housing & Redevelopment Authority, Series A, Rev., NATL-RE, 5.000%, 11/15/14		2,224
		Prerefunded — 1.1%
	5,000	Minnesota Public Facilities Authority, Series A, Rev., 5.000%, 03/01/12 (p)		5,001

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Prerefunded — Continued
	7,305	State of Minnesota, GO, 5.250%, 11/01/12 (p)		7,554
				12,555
		Total Minnesota		28,230
		Missouri — 0.7%
		General Obligation — 0.4%
	5,000	Kansas City, Streetlight Project, Series A, GO, NATL-RE, 5.000%, 02/01/13		5,220
		Other Revenue — 0.3%
	2,895	Kansas City Industrial Development Authority, Series A, Rev., AMBAC, 5.000%, 12/01/20		3,281
		Total Missouri		8,501
		Montana — 0.2%
		General Obligation — 0.2%
	1,775	State of Montana, Long Range Building Program, Series A, GO, 3.000%, 08/01/12		1,796
		Nebraska — 0.3%
		Other Revenue — 0.3%
	1,750	Municipal Energy Agency of Nebraska, Series A, Rev., 5.000%, 04/01/17		2,072
	1,175	Nebraska Public Power District, Series A, Rev., 5.000%, 01/01/16		1,360
		Total Nebraska		3,432
		Nevada — 0.4%
		Certificate of Participation/Lease — 0.2%
	2,500	Clark County, Motor Vehicle Fuel Tax, Rev., COP, AMBAC, 5.250%, 07/01/13 (p)		2,667
		Other Revenue — 0.2%
	2,000	State of Nevada, Motor Vehicle Fuel Tax, Rev., NATL-RE, 5.000%, 12/01/13		2,144
		Total Nevada		4,811
		New Hampshire — 0.5%
		Other Revenue — 0.5%
	4,530	New Hampshire Municipal Bond Bank, Series A, Rev., 5.000%, 08/15/15		5,224
		New Jersey — 5.4%
		Education — 1.9%
		New Jersey EDA, School Facilities Construction,
	2,475	Series J3, Rev., VAR, AGM, 5.000%, 09/01/14		2,728
	4,500	Series J4, Rev., VAR, AGM, 5.000%, 09/01/14		4,961
	5,095	Series L, Rev., AGM, 5.250%, 03/01/15		5,749
	5,845	New Jersey Educational Facilities Authority, Princeton University, Series D, Rev., 5.250%, 07/01/14		6,519

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Education — Continued
	1,475	New Jersey State Educational Facilities Authority, Stevens Institute of Technology, Series A, Rev., 5.000%, 07/01/13		1,531
				21,488
		General Obligation — 1.3%
	410	New Jersey Transportation Trust Fund Authority, Transportation System, Series B, GO, NATL-RE, 5.250%, 12/15/13 (p)		446
	9,605	New Jersey Transportation Trust Fund Authority, Unrefunded Balance, Transportation System, GO, NATL-RE, 5.250%, 12/15/13		10,418
	3,000	State of New Jersey, Various Purpose, GO, AMBAC, 5.000%, 04/01/14 (p)		3,294
				14,158
		Other Revenue — 1.5%
	2,570	Middlesex County Improvement Authority, County-Guaranteed Open Space Trust Fund, Rev., 5.000%, 09/15/15		2,937
		New Jersey EDA, School Facilities Construction,
	7,895	Series C, Rev., VAR, 1.960%, 02/01/18		7,925
	5,000	Series K, Rev., NATL-RE, FGIC, 5.250%, 12/15/14		5,608
				16,470
		Prerefunded — 0.6%
	4,675	Garden State Preservation Trust, Series A, Rev., AGM, 5.250%, 11/01/13 (p)		5,062
	1,680	New Jersey Transportation Trust Fund Authority, Transportation System, Series A, Rev., 6.000%, 12/15/18 (p)		2,240
				7,302
		Transportation — 0.1%
	1,445	New Jersey Transportation Trust Fund Authority, Transportation System, Series B, Rev., NATL-RE, 5.500%, 12/15/15		1,693
		Total New Jersey		61,111
		New Mexico — 1.3%
		General Obligation — 0.3%
	1,335	Albuquerque Municipal School District No. 12, Education Technology, GO, 5.000%, 08/01/14		1,483
	2,000	New Mexico Finance Authority, Senior Lien, Series A, GO, NATL-RE, 5.250%, 06/15/14 (p)		2,228
				3,711

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Revenue — 1.0%
		New Mexico Finance Authority, Sub Lien,
	5,000	Series A-2, Rev., 5.000%, 12/15/13		5,413
	5,000	Series A-2, Rev., 5.000%, 12/15/14		5,624
				11,037
		Total New Mexico		14,748
		New York — 5.3%
		Education — 0.4%
	2,060	Erie County Industrial Development Agency, School District Buffalo Project, Series A, Rev., AGM, 5.000%, 05/01/12		2,077
	2,500	New York State Dormitory Authority, Series B, Rev., VAR, AGC, 6.000%, 05/15/12 (p)		2,531
				4,608
		General Obligation — 1.8%
		New York City,
	11,000	Series F, GO, 5.000%, 08/01/17 (w)		13,277
	1,000	Series F, GO, 5.500%, 12/15/12 (p)		1,042
	5,000	State of New York, Series C, GO, 5.000%, 09/01/13		5,370
				19,689
		Hospital — 0.1%
	1,055	New York State Dormitory Authority, Health Facilities, Series 1, Rev., 5.000%, 01/15/14		1,129
		Other Revenue — 2.4%
	1,050	Erie County Industrial Development Agency (The), Series A, Rev., 5.000%, 05/01/14		1,148
	2,000	Erie County Industrial Development Agency, School District Buffalo Project, Series B, Rev., 5.000%, 05/01/16		2,323
	6,250	New York City Transitional Finance Authority, New York City Recovery, Sub Series 3B-1, Rev., 5.000%, 11/01/15		7,265
	4,000	New York State Thruway Authority, Local Highway & Bridge, Rev., 5.000%, 04/01/15		4,541
	3,955	New York State Thruway Authority, State Personal Income Tax, Transportation, Series A, Rev., 5.000%, 03/15/15		4,498
	2,550	Syracuse Industrial Development Agency, City School, Series A, Rev., 5.000%, 05/01/16		2,949
	4,125	Tobacco Settlement Financing Corp., Asset-Backed, Series B, Rev., 5.000%, 06/01/16		4,801
				27,525
		Special Tax — 0.3%
	3,500	New York City Transitional Finance Authority, Sub Series 3B-1, Rev., 5.000%, 11/01/12		3,614

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 43

JPMorgan Short-Intermediate Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Utility — 0.3%
	3,000	Long Island Power Authority, Series B, Rev., 5.250%, 12/01/12		3,109
		Total New York		59,674
		North Carolina — 3.3%
		General Obligation — 1.8%
	1,445	City of Charlotte, Series C, GO, 5.000%, 06/01/12		1,463
	5,000	Mecklenburg County, Public Improvement, Series C, GO, 5.000%, 02/01/13		5,222
	2,215	New Hanover County, GO, 5.000%, 12/01/12		2,296
	5,000	State of North Carolina, Series B, GO, 5.000%, 04/01/16		5,899
	2,430	State of North Carolina, Public Improvement, Series A, GO, 5.000%, 05/01/17		2,962
	2,035	Wake County, Series C, GO, 5.000%, 03/01/14		2,228
				20,070
		Other Revenue — 1.2%
	1,650	North Carolina Infrastructure Finance Corp., North Carolina Facilities Project, Rev., 5.000%, 11/01/14 (p)		1,850
	10,000	State of North Carolina, Limited Obligation, Series B, Rev., 4.000%, 11/01/15		11,260
				13,110
		Water & Sewer — 0.3%
	3,160	City of Raleigh, Series A, Rev., 5.000%, 03/01/15		3,584
		Total North Carolina		36,764
		Ohio — 2.9%
		General Obligation — 1.0%
	5,000	State of Ohio, Higher Education, Series C, GO, 5.000%, 08/01/15		5,758
	5,050	State of Ohio, Infrastructure Improvement, Series C, GO, 5.000%, 09/01/15		5,824
				11,582
		Housing — 0.0% (g)
	205	Columbus Regional Airport Authority, Joseph Knight Towers Project, Series A, Rev., GNMA COLL, 4.300%, 02/20/14		212
		Other Revenue — 1.9%
	4,000	City of Cincinnati, Water System, Series A, Rev., 5.000%, 12/01/14		4,505
	5,000	Ohio State Building Authority, Series C, Rev., 5.000%, 10/01/14		5,575
	4,995	Ohio State Water Development Authority, Drinking Water Assistance, Series B, Rev., 5.000%, 12/01/13		5,417

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Revenue — Continued
	1,650	Ohio State Water Development Authority, Loan Fund, Water Quality, Rev., 5.000%, 12/01/15		1,930
	3,205	University of Cincinnati, Series F, Rev., 5.000%, 06/01/15		3,641
				21,068
		Total Ohio		32,862
		Oklahoma — 0.4%
		Other Revenue — 0.4%
	2,295	Oklahoma Capital Improvement Authority, Rev., 5.000%, 10/01/18		2,832
	1,670	Tulsa County Industrial Authority, Broken Arrow Public School Project, Rev., 4.000%, 09/01/14		1,798
		Total Oklahoma		4,630
		Oregon — 0.8%
		Certificate of Participation/Lease — 0.8%
		Oregon State Department of Administrative Services,
	2,850	Series A, COP, 5.000%, 05/01/15		3,235
	6,030	Series D, COP, 5.000%, 11/01/12		6,223
		Total Oregon		9,458
		Pennsylvania — 6.4%
		Education — 0.4%
	3,000	Pennsylvania Higher Educational Facilties Authority, Bryn Mawr College, Rev., 5.000%, 12/01/17		3,653
	1,000	Pennsylvania Higher Educational Facilities Authority, LaSalle University, Series A, Rev., 4.125%, 05/01/13		1,029
				4,682
		General Obligation — 1.8%
	1,040	Central Bucks School District, GO, NATL-RE, FGIC, 5.000%, 05/15/18 (p)		1,292
		Commonwealth of Pennsylvania, Second Series,
	5,675	GO, 5.000%, 03/01/17 (p)		6,924
	5,000	Series A, GO, 5.000%, 05/01/18		6,149
		Philadelphia School District,
	1,320	Series B, GO, 5.000%, 09/01/14		1,451
	3,020	Series C, GO, 5.000%, 09/01/12		3,093
	730	Series C, GO, 5.000%, 09/01/14		802
				19,711
		Other Revenue — 0.8%
	2,775	Lancaster County Solid Waste Management Authority, Rev., NATL-RE, 5.000%, 12/15/14		3,024

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Other Revenue — Continued
	3,000	Pennsylvania Economic Development Financing Authority, Waste Management Project, Rev., VAR, 2.625%, 12/03/12		3,041
	3,000	Pennsylvania Turnpike Commission, Series B, Rev., VAR, 0.810%, 06/01/14		3,000
				9,065
		Prerefunded — 3.2%
		Commonwealth of Pennsylvania, First Series,
	3,500	GO, NATL-RE, 5.000%, 01/01/13 (p)		3,640
	6,025	GO, NATL-RE, 5.000%, 02/01/14 (p)		6,568
	2,350	Philadelphia School District, Series D, GO, FGIC, 5.125%, 06/01/14 (p)		2,601
	5,000	State Public School Building Authority, Rev., FGIC, 5.000%, 11/15/14 (p)		5,622
	14,520	State Public School Building Authority, Philadelphia School District Project, Rev., AGM, 5.000%, 06/01/13 (p)		15,382
		Warwick School District,
	2,135	GO, FGIC, 5.000%, 03/01/14 (p)		2,333
				36,146
		Special Tax — 0.2%
	2,500	Pennsylvania Intergovernmental Cooperation Authority, Special Tax, 5.000%, 06/15/12		2,535
		Total Pennsylvania		72,139
		Puerto Rico — 0.5%
		Prerefunded — 0.5%
	2,750	Commonwealth of Puerto Rico, Public Improvement, Series A, GO, 5.000%, 07/01/14 (p)		3,042
	2,820	Puerto Rico Highway & Transportation Authority, Series G, Rev., 5.000%, 07/01/13 (p)		2,998
		Total Puerto Rico		6,040
		South Carolina — 0.7%
		General Obligation — 0.5%
	5,000	State of South Carolina, Series A, GO, 5.000%, 11/01/15		5,824
		Other Revenue — 0.2%
	2,430	Tobacco Settlement Revenue Management Authority, Rev., 5.000%, 06/01/18		2,433
		Total South Carolina		8,257
		Tennessee — 2.6%
		Education — 0.2%
	2,550	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Vanderbilt University, Series A, Rev., 5.000%, 10/01/13		2,742

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — 1.9%
	85	Shelby County, Series A, GO, AMBAC, 5.000%, 04/01/15 (p)		97
	6,325	Shelby County, Public Improvement & Schools, Series A, GO, 5.000%, 04/01/13		6,657
	6,915	Shelby County, Unrefunded Balance, Series A, GO, AMBAC, 5.000%, 04/01/15		7,867
	5,000	State of Tennessee, Series A, GO, 5.000%, 10/01/20		6,370
				20,991
		Other Revenue — 0.3%
	3,200	Metropolitan Nashville Airport Authority, Series B, Rev., AGM, 4.000%, 07/01/13		3,343
		Prerefunded — 0.2%
	2,195	Tennessee State School Bond Authority, Higher Educational Facilities, Series A, Rev., AGM, 5.000%, 05/01/12 (p)		2,214
		Total Tennessee		29,290
		Texas — 8.5%
		Education — 0.4%
	1,110	Austin Community College District, Round Rock Campus, Educational Facilities Project, Rev., 5.250%, 08/01/13		1,185
	685	San Leanna Educational Facilities Corp., Higher Education, Saint Edwards University Project, Rev., 4.500%, 06/01/12		690
		University of North Texas, Financing System,
	1,250	Series A, Rev., 5.000%, 04/15/15		1,424
	1,000	Series A, Rev., 5.000%, 04/15/16		1,178
				4,477
		General Obligation — 3.7%
	4,000	City of Dallas, Refunding and Improvement, Series A, GO, 5.000%, 02/15/17		4,810
	1,100	Dallas County Schools, Public Property Finance Contractual, GO, 4.000%, 12/01/15		1,235
	5,000	Eagle Mountain & Saginaw Independent School District, School Building, GO, VAR, PSF-GTD, 2.500%, 08/01/14		5,199
	1,435	Eanes Independent School District, School Building, GO, PSF-GTD, 3.000%, 08/01/14		1,528
	4,000	Georgetown Independent School District, Refunding, GO, VAR, 4.750%, 08/01/15		4,485
	1,500	Hurst-Euless-Bedford Independent School District, School Building, GO, PSF-GTD, 5.000%, 08/15/14		1,671
	2,500	Katy Independent School District, School Building, Series C, GO, PSF-GTD, 5.000%, 02/15/15		2,833

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 45

JPMorgan Short-Intermediate Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		General Obligation — Continued
	5,000	Northside Independent School District, Series A, GO, VAR, PSF-GTD, 1.350%, 06/01/14		5,081
	2,000	Nueces County, GO, 5.000%, 02/15/16		2,340
	1,530	San Jacinto College District, Capital Appreciation, Limited Tax, Building, GO, Zero Coupon, 02/15/16		1,478
	1,635	San Jacinto College District, Premium Capital Appreciation, Limited Tax, GO, Zero Coupon, 02/15/16		1,579
	2,515	State of Texas, Public Financing Authority, Series A, GO, 5.000%, 10/01/14		2,822
	1,000	State of Texas, Water Financial Assistance, Series E, GO, 4.000%, 08/01/14		1,091
		Township of Woodlands, Sales & Refunding,
	2,080	GO, AGM, 5.000%, 03/01/15		2,328
	2,180	GO, AGM, 5.000%, 03/01/16		2,541
				41,021
		Hospital — 0.1%
	1,500	Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources, Series A, Rev., 5.000%, 02/15/13		1,562
		Other Revenue — 2.6%
	2,000	City of Houston, Hotel Occupancy, Series A, Rev., 5.000%, 09/01/14		2,192
	1,500	City of San Antonio, Electric & Gas Systems, Rev., 5.000%, 02/01/17		1,804
	1,535	Dallas-Fort Worth International Airport Facilities Improvement Corp., Taxable Joint, Series A, Rev., 1.934%, 11/01/14		1,548
	500	Harris County Metropolitan Transit Authority, Series A, Rev., 5.000%, 11/01/16		599
	2,395	Harris County, Toll Road, Senior Lien, Series D, Rev., 5.000%, 08/15/15		2,736
		Lower Colorado River Authority,
	20	Rev., 5.000%, 05/15/14 (p)		22
	20	Rev., 5.000%, 05/15/16 (p)		24
		Lower Colorado River Authority, Unrefunded Balance,
	7,745	Rev., 5.000%, 05/15/14		8,490
	5,980	Rev., 5.000%, 05/15/16		6,983
	1,500	Matagorda County Navigation District No.1, Central Company Project, Rev., VAR, 1.125%, 06/01/12		1,501
	1,155	North Texas Tollway Authority, Special Projects System, Series A, Rev., 5.000%, 09/01/16		1,354

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Revenue — Continued
	2,200	Texas State University Systems, Financing System, Rev., 5.000%, 03/15/15		2,499
				29,752
		Prerefunded — 1.2%
	5,000	Harris County Flood Control District, Series A, GO, 5.250%, 10/01/14 (p)		5,609
		University of Texas,
	4,425	Series B, Rev., 4.750%, 07/01/14 (p)		4,879
	2,650	Series B, Rev., 5.000%, 07/01/15 (p)		3,046
				13,534
		Transportation — 0.5%
	5,025	Harris County, Toll Road, Senior Lien, Series B-1, Rev., NATL-RE, FGIC, 5.000%, 08/15/14		5,592
		Total Texas		95,938
		Utah — 0.5%
		General Obligation — 0.3%
	3,000	Salt Lake County, Series C, GO, 5.000%, 12/15/14		3,383
		Industrial Development Revenue/Pollution Control Revenue — 0.2%
	2,250	State of Utah, Recapitalization, Series B, Rev., 5.000%, 07/01/15		2,584
		Total Utah		5,967
		Virginia — 4.4%
		Education — 0.5%
	5,185	Virginia College Building Authority, 21st Century College Equipment, Series A, Rev., 5.000%, 02/01/14		5,654
		General Obligation — 1.2%
	1,450	City of Norfolk, Capital Improvement, Series C, GO, 5.000%, 04/01/17 (p)		1,770
	3,000	Fairfax County, Series A, GO, 5.000%, 10/01/13		3,228
	7,275	Fairfax County, Public Improvement, Series A, GO, 5.250%, 04/01/14		8,030
				13,028
		Industrial Development Revenue/Pollution Control Revenue — 0.5%
	5,090	Virginia Beach Development Authority, Series C, Rev., 5.000%, 08/01/18		6,255
		Other Revenue — 1.6%
	2,875	Fairfax County, Sewer, Rev., 5.000%, 07/15/19		3,627

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Other Revenue — Continued
		Roanoke EDA, Carilion Clinic Obligation Group,
	1,000	Rev., 4.000%, 07/01/13		1,049
	1,000	Rev., 4.000%, 07/01/14		1,074
	1,000	Rev., 5.000%, 07/01/15		1,128
		Virginia Commonwealth Transportation Board, Capital Projects,
	3,465	Rev., 5.000%, 05/15/20		4,342
	5,585	Series A-1, Rev., 5.000%, 05/15/16		6,603
				17,823
		Prerefunded — 0.1%
	1,015	Virginia College Building Authority, 21st Century College Equipment, Series A, Rev., 5.000%, 02/01/13 (p)		1,060
		Transportation — 0.4%
	4,500	Virginia Commonwealth Transportation Board, Federal Highway, Reimbursement Notes, Rev., 5.000%, 09/27/12		4,626
		Water & Sewer — 0.1%
	1,125	Virginia Resources Authority, Clean Water Revolving Fund, Rev., 5.000%, 10/01/14		1,259
		Total Virginia		49,705
		Washington — 3.2%
		General Obligation — 2.7%
		Snohomish County School District No. 201 Snohomish,
	1,865	GO, 5.000%, 12/01/15		2,166
	5,010	GO, 5.000%, 12/01/17		6,122
		State of Washington, Various Purpose
	2,000	Series D, GO, AMBAC, 5.000%, 01/01/14 (p)		2,172

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		General Obligation — Continued
	7,300	Series R, GO, 5.000%, 07/01/17		8,874
	7,905	State of Washington, Motor Vehicle Fuel Tax, Series C, GO, 5.000%, 07/01/16		9,381
	1,890	State of Washington, Unrefunded Balance, Series 1998-B & AT-7, GO, 6.000%, 06/01/13		2,026
				30,741
		Other Revenue — 0.5%
	5,000	Energy Northwest, Electric, Project 1, Series A, Rev., 5.000%, 07/01/13 (w)		5,296
		Total Washington		36,037
		Wisconsin — 1.3%
		General Obligation — 1.3%
	11,800	State of Wisconsin, Series B, GO, 5.000%, 05/01/17		14,255
		Total Municipal Bonds (Cost $1,071,851)		1,098,595
SHARES
	Short-Term Investment — 2.6%
		Investment Company — 2.6%
	28,761	JPMorgan Tax Free Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) (Cost $28,761)		28,761
		Total Investments — 100.2% (Cost $1,101,495)		1,128,246
		Liabilities in Excess of Other Assets — (0.2)%		(1,845	)
		NET ASSETS — 100.0%	$	1,126,401

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 47

JPMorgan Tax Free Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Municipal Bonds — 97.2%
		Alaska — 3.5%
		Certificate of Participation/Lease — 0.8%
	2,750	Boro of Matanuska-Susitna, Goose Creek Correctional Center, Rev., COP, AGC, 6.000%, 09/01/28		3,311
		Utility — 2.7%
		Alaska Energy Authority Power, Bradley Lake, Fourth Series,
	3,485	Rev., AGM, 6.000%, 07/01/17		4,226
	3,915	Rev., AGM, 6.000%, 07/01/19		4,873
	2,500	Alaska Municipal Bond Bank Authority, Series 1, Rev., 5.750%, 09/01/33		2,848
				11,947
		Total Alaska		15,258
		Arizona — 3.6%
		Special Tax — 3.6%
	15,000	Glendale Western Loop 101 Public Facilities Corp., Series A, Rev., 6.250%, 07/01/38		15,784
		California — 14.7%
		Certificate of Participation/Lease — 0.6%
	2,750	California State Public Works Board, Department of Corrections, Series C, Rev., COP, 5.500%, 06/01/21		2,854
		Education — 1.4%
	5,915	California State University, Systemwide, Series A, Rev., NATL-RE, FGIC, 5.000%, 11/01/35		6,150
		General Obligation — 2.7%
	5,000	Los Angeles Unified School District, Series D, GO, 5.000%, 01/01/34		5,526
	50	Pomona Unified School District, Series A, GO, NATL-RE, 6.100%, 02/01/20		61
	5,000	State of California, Various Purpose, GO, 6.500%, 04/01/33		6,149
				11,736
		Hospital — 2.7%
		California Health Facilities Financing Authority, Marshall Medical Center,
	2,200	Series A, Rev., MTG, 5.000%, 11/01/24		2,264
	2,000	Series A, Rev., MTG, 5.000%, 11/01/29		2,039
	3,000	California State Public Works Board, Department of Mental Health, Coalinga State Hospital, Series A, Rev., 5.500%, 06/01/21		3,218
	4,000	California Statewide Communities Development Authority, Insured Health Facilities, Los Angeles Jewish Home, Rev., MTG, 5.250%, 11/15/23		4,094
				11,615

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Revenue — 0.6%
	1,960	California Health Facilities Financing Authority, Unrefunded Balance, Providence Health, Rev., 6.500%, 10/01/38		2,303
	325	Golden West Schools Financing Authority, Series A, Rev., NATL-RE, 5.800%, 02/01/20		387
				2,690
		Prerefunded — 0.7%
	40	California Health Facilities Financing Authority, Providence Health, Rev., 6.500%, 10/01/18 (p)		54
	2,380	Los Angeles Harbor Department, Rev., 7.600%, 10/01/18 (p)		2,887
				2,941
		Special Tax — 1.6%
	1,805	Pomona Public Financing Authority, Merged Redevelopment, Unrefunded Balance, Series AH, Rev., AMBAC, 5.250%, 02/01/20		1,854
	160	San Mateo County Transportation District, Series A, Rev., NATL-RE, 5.250%, 06/01/19		196
	4,550	Sweetwater Union High School District, Special Tax, Series A, AGM, 5.000%, 09/01/27		4,732
				6,782
		Utility — 1.1%
	2,000	Long Beach Bond Finance Authority, Natural Gas, Series A, Rev., 5.250%, 11/15/21		2,166
	2,500	Los Angeles Department of Water & Power System, Sub Series A-1, Rev., 5.250%, 07/01/38		2,851
				5,017
		Water & Sewer — 3.3%
	2,555	City of Oakland, Sewer System, Series A, Rev., AGM, 5.000%, 06/15/27		2,663
	3,000	Metropolitan Water District of Southern California, Series A, Rev., 5.000%, 07/01/32		3,334
	7,500	San Diego Public Facilities Financing Authority, Series A, Rev., 5.250%, 05/15/39		8,416
				14,413
		Total California		64,198
		Colorado — 2.2%
		Education — 0.4%
	1,500	University of Colorado, Series A, Rev., 5.375%, 06/01/38		1,718
		General Obligation — 0.5%
	2,000	State of Colorado, Building Excellent Schools Today, Series G, GO, 5.000%, 03/15/32		2,231

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Prerefunded — 0.8%
	3,550	Adams County, Single Family Mortgage, Capital Appreciation, Series A, Rev., Zero Coupon, 06/01/16 (p)		3,405
		Utility — 0.5%
		Colorado Water Resources & Power Development Authority,
	1,000	Series A, Rev., AGC, 5.125%, 12/01/30		1,105
	1,000	Series A, Rev., AGC, 5.250%, 12/01/38		1,081
				2,186
		Total Colorado		9,540
		Delaware — 1.4%
		Prerefunded — 1.4%
	5,000	Delaware State EDA, Osteopathic Hospital Association, Series A, Rev., 6.900%, 01/01/18 (p)		6,038
		District of Columbia — 1.1%
		General Obligation — 1.1%
	3,965	District of Columbia, Series B, GO, NATL-RE, 6.000%, 06/01/19		4,984
		Florida — 2.6%
		General Obligation — 0.7%
	2,415	Hillsborough County, Parks & Recreation Program, GO, NATL-RE, 5.250%, 07/01/25		3,197
		Transportation — 0.9%
	3,205	Hillsborough County Aviation Authority, Tampa International Airport, Series B, Rev., NATL-RE, FGIC, 6.000%, 10/01/18		3,984
		Utility — 1.0%
	3,750	City of Lakeland, Electric & Water System, First Lien, Series B, Rev., AGM, 6.050%, 10/01/14		4,239
		Total Florida		11,420
		Georgia — 5.6%
		Hospital — 1.3%
	5,000	Dalton Development Authority, Hamilton Health Care System, Rev., NATL-RE, 5.500%, 08/15/26		5,623
		Other Revenue — 0.9%
	3,500	Fulton County, Water & Sewage, Rev., 5.000%, 01/01/28		4,075
		Special Tax — 2.9%
	10,485	Metropolitan Atlanta Rapid Transit Authority, Series P, Rev., AMBAC, 6.250%, 07/01/20		12,520

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Utility — 0.5%
	2,000	Municipal Electric Authority of Georgia, Series BB, Rev., NATL-RE-IBC, 5.250%, 01/01/25		2,344
		Total Georgia		24,562
		Hawaii — 0.3%
		Other Revenue — 0.3%
	1,000	State of Hawaii, Highway, Series A, Rev., 5.000%, 01/01/32		1,166
		Idaho — 0.3%
		Other Revenue — 0.3%
	1,000	Boise State University, General Project, Series A, Rev., 5.000%, 04/01/42 (w)		1,110
		Illinois — 8.3%
		Education — 1.7%
	2,510	Cook County Community High School District No. 219-Niles Township, Unrefunded Balance, GO, NATL-RE, FGIC, 8.000%, 12/01/15		3,109
	3,920	Illinois Health Facilities Authority, Revolving Fund, Series A, Rev., 5.500%, 08/01/20		4,106
				7,215
		Other Revenue — 1.3%
	1,500	Chicago O’Hare International Airport, General Airport,Third Lien, Series A, Rev., 5.750%, 01/01/39		1,722
	3,500	Illinois Finance Authority, University of Chicago, Series A, Rev., 5.000%, 10/01/51		3,820
				5,542
		Prerefunded — 1.0%
	1,750	Chicago Public Building, Commission Building, Series A, Rev., NATL-RE, 7.000%, 01/01/20 (p)		2,329
	1,480	Cook County Community High School District No. 219-Niles Township, GO, FGIC, 8.000%, 12/01/15 (p)		1,887
				4,216
		Special Tax — 1.3%
	4,725	State of Illinois, Series P, Rev., 6.500%, 06/15/22		5,808
		Transportation — 3.0%
		Regional Transportation Authority,
	6,000	Rev., NATL-RE, 6.500%, 07/01/30		8,271
	4,000	Series D, Rev., NATL-RE, FGIC, 7.750%, 06/01/19		5,029
				13,300
		Total Illinois		36,081

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 49

JPMorgan Tax Free Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Indiana — 4.0%
		Certificate of Participation/Lease — 0.3%
	1,220	Beech Grove School Building Corp., First Mortgage, Rev., COP, NATL-RE, 6.250%, 07/05/16		1,358
		Other Revenue — 1.3%
	5,000	Indiana Finance Authority, State Revolving Fund Program, Series A, Rev., 5.000%, 02/01/30		5,885
		Transportation — 2.4%
	6,640	Indiana Transportation Finance Authority, Highway, Series A, Rev., 6.800%, 12/01/16 (m)		7,602
	2,510	Indiana Transportation Finance Authority, Highway, Unrefunded Balance, Airport Facility, Series A, Rev., 7.250%, 06/01/15		2,761
				10,363
		Total Indiana		17,606
		Kansas — 0.8%
		General Obligation — 0.8%
	3,050	Johnson County Unified School District 232, Series A, GO, AGM, 5.250%, 09/01/23		3,479
		Louisiana — 0.2%
		Transportation — 0.2%
	1,040	State of Louisiana, Gas & Fuels Tax, Series A, Rev., AMBAC, 5.375%, 06/01/19		1,052
		Maine — 1.5%
		Transportation — 1.5%
		Maine Turnpike Authority,
	2,995	Rev., 6.000%, 07/01/34		3,522
	2,680	Rev., 6.000%, 07/01/38		3,124
		Total Maine		6,646
		Massachusetts — 0.4%
		Education — 0.4%
	1,495	Massachusetts School Building Authority, Series A, Rev., AMBAC, 5.000%, 08/15/37		1,611
		Michigan — 0.4%
		Transportation — 0.4%
	1,500	Michigan State Trunk Line, Rev., 5.000%, 11/15/36		1,689
		Minnesota — 0.1%
		Housing — 0.1%
	315	Minnesota Housing Finance Agency, Rental Housing, Series D, Rev., NATL-RE, 5.900%, 08/01/15		317

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Missouri — 0.2%
		Other Revenue — 0.2%
	590	University of Missouri, Curators University, Unrefunded Balance, Series B, Rev., 5.000%, 11/01/17		631
		Montana — 0.1%
		Certificate of Participation/Lease — 0.1%
	400	City of Helena, COP, 5.000%, 01/01/29		451
		New Jersey — 4.1%
		Housing — 1.2%
	4,615	New Jersey Housing & Mortgage Finance Agency, Series AA, Rev., 6.375%, 10/01/28		5,110
		Prerefunded — 1.3%
	5,000	New Jersey Transportation Trust Fund Authority, Transportation Systems, Series C, Rev., NATL-RE, 5.250%, 06/15/15 (k) (p)		5,799
		Transportation — 1.6%
	25,000	New Jersey Transportation Trust Fund Authority, Capital Appreciation, Transportation Systems, Series A, Rev., Zero Coupon, 12/15/36		6,933
		Total New Jersey		17,842
		New York — 20.4%
		Education — 0.5%
	1,900	New York Municipal Bond Bank Agency, Series C, Rev., 5.250%, 06/01/21		2,003
		General Obligation — 2.2%
	9,135	New York City, Unrefunded Balance, GO, 6.000%, 01/15/18		9,564
	10	Rome City School District, GO, NATL-RE, FGIC, 5.000%, 06/15/12		10
				9,574
		Housing — 1.5%
		Tobacco Settlement Financing Corp.,
	3,000	Series B-1C, Rev., 5.500%, 06/01/20		3,186
	3,000	Series B-1C, Rev., 5.500%, 06/01/21		3,187
				6,373
		Other Revenue — 7.5%
	4,000	New York City Municipal Water Finance Authority, Sewer, Second General Resolution, Series CC, Rev., 5.000%, 06/15/45		4,400
	1,000	New York State Dormitory Authority, State University, Third General Resolution, Rev., 5.000%, 05/15/30		1,165
		New York State Environmental Facilities Corp., Revolving Funds, Municipal Water Project,
	9,345	Series D, Rev., 5.375%, 06/15/19		9,484

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Other Revenue — Continued
	7,270	Series E, Rev., 5.375%, 06/15/17		7,379
	7,135	Series E, Rev., 5.375%, 06/15/18		7,241
	3,000	Tobacco Settlement Financing Corp., Asset-Backed, Series A-1, Rev., 5.500%, 06/01/19		3,186
				32,855
		Transportation — 6.9%
	24,750	Port Authority of New York & New Jersey, CONS, 93rd Series, Rev., 6.125%, 06/01/94 (m)		30,208
		Water & Sewer — 1.8%
	2,000	New York City Municipal Water Finance Authority, Second Generation Resolution, Sewer, Series DD, Rev., 5.000%, 06/15/39		2,008
	5,000	New York City Municipal Water Finance Authority, Water & Sewer System, Fiscal Year 2009, Series A, Rev., 5.750%, 06/15/40		5,805
				7,813
		Total New York		88,826
		Ohio — 1.9%
		General Obligation — 1.7%
	5,130	Northmont City School District, School Improvement, Series A, GO, 5.000%, 11/01/49		5,564
		Richland County, Correctional Facilities Improvement,
	500	GO, AGC, 5.875%, 12/01/24		590
	400	GO, AGC, 6.000%, 12/01/28		468
	250	GO, AGC, 6.125%, 12/01/33		287
	400	GO, AGC, 6.125%, 12/01/38		452
				7,361
		Industrial Development Revenue/Pollution Control Revenue — 0.2%
	1,000	RiverSouth Authority, Riverfront Area Redevelopment, Series A, Rev., 5.250%, 12/01/21		1,088
		Total Ohio		8,449
		Oklahoma — 0.5%
		Water & Sewer — 0.5%
	2,000	Oklahoma City Water Utilities Trust, Series A, Rev., 5.000%, 07/01/34		2,253
		Pennsylvania — 1.4%
		General Obligation — 1.4%
	5,000	Commonwealth of Pennsylvania, First Series, GO, 5.000%, 11/15/22		6,244

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		South Carolina — 5.2%
		General Obligation — 2.6%
	9,515	Laurens County School District, No. 056, GO, AGC, SCSDE, 6.125%, 03/01/33		11,306
		Prerefunded — 1.2%
	3,900	Piedmont Municipal Power Agency, Electric, Rev., FGIC, 6.750%, 01/01/20 (p)		5,309
		Utility — 1.4%
	4,615	Piedmont Municipal Power Agency, Electric, Unrefunded Balance, Rev., NATL-RE, FGIC, 6.750%, 01/01/20		6,046
		Total South Carolina		22,661
		South Dakota — 0.8%
		Other Revenue — 0.7%
	915	Heartland Consumers Power District, Rev., AGM, 6.000%, 01/01/17 (p)		978
	1,585	Heartland Consumers Power District, Unrefunded Balance, Rev., AGM, 6.000%, 01/01/17		1,830
				2,808
		Prerefunded — 0.1%
	416	Heartland Consumers Power District, Rev., 6.375%, 01/01/16 (p)		471
		Total South Dakota		3,279
		Texas — 8.8%
		General Obligation — 0.7%
	535	City of Carrollton, GO, 5.000%, 08/15/26		631
	2,200	City of Forney, Independent School District, School Building, Series A, GO, PSF-GTD, 5.750%, 08/15/33		2,566
				3,197
		Hospital — 1.0%
	3,500	Harris County Health Facilities Development Corp., Memorial Hermann Healthcare System, Series B, Rev., 7.250%, 12/01/35		4,181
		Other Revenue — 2.6%
	1,060	City of Fort Worth, Drainage Utility System, Rev., 4.000%, 02/15/36		1,092
	1,965	Dallas-Fort Worth International Airport Facilities Improvement Corp., Series A, Rev., 5.000%, 11/01/42		2,109
	5,000	Lower Colorado River Authority, Rev., 5.750%, 05/15/28		5,511
	2,000	North Texas Tollway Authority, Special Projects System, Series A, Rev., 6.000%, 09/01/41		2,405
				11,117

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 51

JPMorgan Tax Free Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Prerefunded — 2.2%
	2,500	City of Houston, Junior Lien, Series A, Rev., AGM, 5.750%, 12/01/32 (p)		3,595
	3,590	City of San Antonio, Electric & Gas, Rev., 5.000%, 02/01/17 (p)		4,003
	1,500	Harris County Health Facilities Development Corp., Children Hospital Project, Rev., 5.500%, 10/01/19 (p)		1,819
				9,417
		Utility — 1.2%
	5,000	SA Energy Acquisition Public Facility Corp., Gas Supply, Rev., 5.250%, 08/01/16		5,392
		Water & Sewer — 1.1%
	4,435	Canyon Regional Water Authority, Wells Ranch Project, Rev., AMBAC, 5.125%, 08/01/25		4,835
		Total Texas		38,139
		Washington — 2.8%
		Education — 1.6%
	5,430	Western Washington University, Housing & Dining, Junior Lien, Series A, Rev., AMBAC, 5.500%, 10/01/22		6,890
		Hospital — 1.2%
	5,000	Washington Health Care Facilities Authority, Multicare Health System, Series A, Rev., AGM, 5.000%, 08/15/34		5,270
		Total Washington		12,160

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Wisconsin — 0.0% (g)
		Hospital — 0.0% (g)
		Wisconsin Health & Educational Facilities Authority, Froedert & Community, Unrefunded Balance,
	90	Rev., 5.625%, 10/01/13		91
	30	Rev., 5.625%, 10/01/14		31
		Total Wisconsin		122
		Total Municipal Bonds (Cost $377,239)		423,598
SHARES
	Short-Term Investment — 2.1%
		Investment Company — 2.1%
	8,931	JPMorgan Tax Free Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (Cost $8,931)		8,931
		Total Investments — 99.3% (Cost $386,170)		432,529
		Other Assets in Excess of Liabilities — 0.7%		3,115
		NET ASSETS — 100.0%	$	435,644

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS			DESCRIPTION	EXPIRATION DATE		NOTIONAL VALUE AT 02/29/12			UNREALIZED APPRECIATION (DEPRECIATION)
			Short Futures Outstanding
	(57	)	30 Year U.S. Treasury Bond		03/21/12	$	(8,156	)	$	(156	)
	(85	)	30 Year U.S. Treasury Bond		06/20/12		(12,041	)		74
									$	(82	)

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

J.P. Morgan Municipal Bond Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

ACA	—  Insured by American Capital Access
AGC	—  Insured by Assured Guaranty Corp.
AGM	—  Insured by Assured Guaranty Municipal Corp.
AMBAC	—  Insured by American Municipal Bond Assurance Corp.*
AMT	—  Alternative Minimum Tax
CMO	—  Collateralized Mortgage Obligation
COLL	—  Collateral
CONS	—  Consolidated Bonds
COP	—  Certificate of Participation
CR	—  Custodial Receipts
EDA	—  Economic Development Authority
FGIC	—  Insured by Financial Guaranty Insurance Co.
FHA	—  Federal Housing Administration
FHLMC	—  Federal Home Loan Mortgage Corp.
FNMA	—  Federal National Mortgage Association
GNMA	—  Government National Mortgage Association
GO	—  General Obligation
GTD	—  Guaranteed
IBC	—  Insured Bond Certificates
IBCC	—  Insured Bond Custodial Certificate
ICC	—  Insured Custody Certificates
ICR	—  Insured Custodial Receipts
IDA	—  Industrial Development Authority
LIQ	—  Liquidity Agreement
LOC	—  Letter of Credit
MTG	—  Insured by California Mortgage Insurance
MTGS	—  Mortgages
NATL	—  Insured by National Public Finance Guarantee Corp.
PRIV	—  Private
PSF	—  Permanent School Fund
Q-SBLF	—  Qualified School Bond Loan Fund
RADIAN	—  Insured by Radian Asset Assurance
RE	—  Reinsured
REMICS	—  Real Estate Mortgage Investment Conduits
Rev.	—  Revenue
SCSDE	—  South Carolina School District Enhancement

SO	—  Special Obligation
VA	—  Veterans Administration
VAR	—  Variable Rate Security. The interest rate shown is the rate in effect as of February 29, 2012.
XLCA	—  Insured by XL Capital Assurance
(b)	—  Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(f)	—  Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands):
	Fund	Value		Percentage
	Municipal Income Fund	$	5,312		0.7	%
(g)	—  Amount rounds to less than 0.1%.
(i)	—  Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k)	—  All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)	—  The rate shown is the current yield as of February 29, 2012.
(m)	—  All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements and unfunded commitments.
(p)	—  Security is prerefunded or escrowed to maturity.
(t)	—  The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(w)	—  When-issued security.

* Filed for bankruptcy on November 8, 2010.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 53

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012

(Amounts in thousands, except per share amounts)

	Arizona Municipal Bond Fund			Michigan Municipal Bond Fund			Municipal Income Fund
ASSETS:
Investments in non-affiliates, at value	$	110,159		$	97,790		$	692,154
Investments in affiliates, at value		2,396			—			37,420
Total investment securities, at value		112,555			97,790			729,574
Receivables:
Fund shares sold		87			52			637
Interest and dividends from non-affiliates		1,025			965			8,239
Dividends from affiliates		—	(a)		—	(a)		1
Total Assets		113,667			98,807			738,451
LIABILITIES:
Payables:
Due to custodian		—			20			—
Dividends		60			78			1,455
Investment securities purchased		—			—			749
Fund shares redeemed		110			47			557
Accrued liabilities:
Investment advisory fees		27			23			172
Administration fees		8			7			52
Shareholder servicing fees		13			11			120
Distribution fees		18			14			35
Custodian and accounting fees		7			5			16
Trustees’ and Chief Compliance Officer’s fees		1			1			1
Audit fees		24			25			26
Other		18			16			60
Total Liabilities		286			247			3,243
Net Assets	$	113,381		$	98,560		$	735,208

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

	Arizona Municipal Bond Fund			Michigan Municipal Bond Fund			Municipal Income Fund
NET ASSETS:
Paid-in-Capital	$	103,647		$	90,130		$	700,582
Accumulated undistributed (distributions in excess of) net investment income		(7	)		(5	)		(64	)
Accumulated net realized gains (losses)		488			918			(8,149	)
Net unrealized appreciation (depreciation)		9,253			7,517			42,839
Total Net Assets	$	113,381		$	98,560		$	735,208
Net Assets:
Class A	$	32,591		$	45,013		$	90,497
Class B		794			1,418			1,252
Class C		18,249			7,486			26,863
Select Class		61,747			44,643			616,596
Total	$	113,381		$	98,560		$	735,208
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		3,264			4,137			8,744
Class B		78			138			121
Class C		1,814			730			2,616
Select Class		6,109			4,110			59,925
Net Asset Value: (a)
Class A — Redemption price per share	$	9.99		$	10.88		$	10.35
Class B — Offering price per share (b)		10.11			10.28			10.29
Class C — Offering price per share (b)		10.06			10.25			10.27
Select Class — Offering and redemption price per share		10.11			10.86			10.29
Class A maximum sales charge		3.75	%		3.75	%		3.75	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	10.38		$	11.30		$	10.75
Cost of investments in non-affiliates	$	100,906		$	90,273		$	649,315
Cost of investments in affiliates		2,396			—			37,420

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class B and Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 55

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands, except per share amounts)

	Ohio Municipal Bond Fund			Short-Intermediate Municipal Bond Fund			Tax Free Bond Fund
ASSETS:
Investments in non-affiliates, at value	$	234,397		$	1,099,485		$	423,598
Investments in affiliates, at value		4,260			28,761			8,931
Total investment securities, at value		238,657			1,128,246			432,529
Receivables:
Investment securities sold		—			4,579			252
Fund shares sold		305			3,918			449
Interest from non-affiliates		2,405			12,353			4,828
Dividends from affiliates		—	(a)		1			—	(a)
Variation margin on futures contracts		—			—			102
Total Assets		241,367			1,149,097			438,160
LIABILITIES:
Payables:
Dividends		129			914			606
Investment securities purchased		—			20,354			1,357
Fund shares redeemed		106			904			237
Accrued liabilities:
Investment advisory fees		56			134			101
Administration fees		17			78			30
Shareholder servicing fees		36			183			43
Distribution fees		50			43			61
Custodian and accounting fees		9			8			9
Trustees’ and Chief Compliance Officer’s fees		—	(a)		—	(a)		—	(a)
Audit fees		25			25			26
Other		34			53			46
Total Liabilities		462			22,696			2,516
Net Assets	$	240,905		$	1,126,401		$	435,644

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

56 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

	Ohio Municipal Bond Fund			Short-Intermediate Municipal Bond Fund			Tax Free Bond Fund
NET ASSETS:
Paid-in-Capital	$	220,908		$	1,123,921		$	390,610
Accumulated undistributed (distributions in excess of) net investment income		1			(42	)		(25	)
Accumulated net realized gains (losses)		114			(24,229	)		(1,218	)
Net unrealized appreciation (depreciation)		19,882			26,751			46,277
Total Net Assets	$	240,905		$	1,126,401		$	435,644
Net Assets:
Class A	$	86,982		$	80,858		$	183,329
Class B		2,220			172			1,575
Class C		51,690			43,532			40,523
Institutional Class		—			250,344			—
Select Class		100,013			751,495			210,217
Total	$	240,905		$	1,126,401		$	435,644
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		7,566			7,589			14,358
Class B		191			16			124
Class C		4,477			4,054			3,193
Institutional Class		—			23,384			—
Select Class		8,753			70,345			16,515
Net Asset Value: (a)
Class A — Redemption price per share	$	11.50		$	10.65		$	12.77
Class B — Offering price per share (b)		11.60			10.76			12.73
Class C — Offering price per share (b)		11.55			10.74			12.69
Institutional Class — Offering and redemption price per share		—			10.71			—
Select Class — Offering and redemption price per share		11.43			10.68			12.73
Class A maximum sales charge		3.75	%		2.25	%		3.75	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	11.95		$	10.90		$	13.27
Cost of investments in non-affiliates	$	214,515		$	1,072,734		$	377,239
Cost of investments in affiliates		4,260			28,761			8,931

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class B and Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 57

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED FEBRUARY 29, 2012

(Amounts in thousands)

	Arizona Municipal Bond Fund			Michigan Municipal Bond Fund			Municipal Income Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	4,284		$	4,534		$	32,439
Dividend income from non-affiliates		—			—			357
Dividend income from affiliates		—	(a)		—	(a)		25
Total investment income		4,284			4,534			32,821
EXPENSES:
Investment advisory fees		342			314			2,590
Administration fees		101			92			762
Distribution fees:
Class A		81			119			232
Class B		6			13			12
Class C		123			55			195
Shareholder servicing fees:
Class A		82			119			232
Class B		2			4			4
Class C		41			18			65
Select Class		160			121			1,858
Custodian and accounting fees		43			45			99
Interest expense to affiliates		—	(a)		—	(a)		—	(a)
Professional fees		50			49			64
Trustees’ and Chief Compliance Officer’s fees		1			1			8
Printing and mailing costs		8			8			31
Registration and filing fees		2			12			32
Transfer agent fees		23			25			60
Other		7			7			15
Total expenses		1,072			1,002			6,259
Less amounts waived		(124	)		(144	)		(539	)
Net expenses		948			858			5,720
Net investment income (loss)		3,336			3,676			27,101
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from
investments in non-affiliates		1,142			1,319			8,526
Change in net unrealized appreciation (depreciation) of
investments in non-affiliates		4,958			4,550			33,599
Net realized/unrealized gains (losses)		6,100			5,869			42,125
Change in net assets resulting from operations	$	9,436		$	9,545		$	69,226

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

58 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

	Ohio Municipal Bond Fund			Short-Intermediate Municipal Bond Fund			Tax Free Bond Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	9,493		$	20,200		$	21,379
Dividend income from affiliates		1			9			2
Total investment income		9,494			20,209			21,381
EXPENSES:
Investment advisory fees		719			2,848			1,335
Administration fees		212			1,005			393
Distribution fees:
Class A		241			248			448
Class B		21			2			15
Class C		355			335			268
Shareholder servicing fees:
Class A		241			248			448
Class B		7			1			5
Class C		118			112			89
Institutional Class		—			196			—
Select Class		233			1,996			570
Custodian and accounting fees		60			86			57
Interest expense to affiliates		1			—	(a)		—	(a)
Professional fees		51			22			58
Trustees’ and Chief Compliance Officer’s fees		2			12			5
Printing and mailing costs		18			6			25
Registration and filing fees		5			61			61
Transfer agent fees		60			95			85
Other		9			16			13
Total expenses		2,353			7,289			3,875
Less amounts waived		(183	)		(1,562	)		(684	)
Less earnings credits		—			—	(a)		—
Net expenses		2,170			5,727			3,191
Net investment income (loss)		7,324			14,482			18,190
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		682			2,478			5,473
Futures		—			—			(3,596	)
Net realized gain (loss)		682			2,478			1,877
Change in net unrealized appreciation (depreciation) of:
Investments in non-affiliates		11,164			20,355			22,459
Futures		—			—			(40	)
Change in net unrealized appreciation (depreciation)		11,164			20,355			22,419
Net realized/unrealized gains (losses)		11,846			22,833			24,296
Change in net assets resulting from operations	$	19,170		$	37,315		$	42,486

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 59

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Arizona Municipal Bond Fund						Michigan Municipal Bond Fund						Municipal Income Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	3,336		$	4,380		$	3,676		$	5,391		$	27,101		$	39,193
Net realized gain (loss)		1,142			1,512			1,319			1,705			8,526			3,493
Change in net unrealized appreciation (depreciation)		4,958			(4,192	)		4,550			(4,863	)		33,599			(22,486	)
Change in net assets resulting from operations		9,436			1,700			9,545			2,233			69,226			20,200
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(951	)		(1,315	)		(1,790	)		(1,851	)		(2,776	)		(3,090	)
From net realized gains		(374	)		(247	)		(908	)		(238	)		—			—
Class B
From net investment income		(18	)		(24	)		(59	)		(124	)		(38	)		(149	)
From net realized gains		(9	)		(5	)		(31	)		(13	)		—			—
Class C
From net investment income		(375	)		(531	)		(248	)		(307	)		(647	)		(867	)
From net realized gains		(190	)		(124	)		(136	)		(41	)		—			—
Select Class
From net investment income		(1,997	)		(2,509	)		(1,967	)		(2,722	)		(23,676	)		(35,053	)
From net realized gains		(736	)		(420	)		(879	)		(243	)		—			—
Total distributions to shareholders		(4,650	)		(5,175	)		(6,018	)		(5,539	)		(27,137	)		(39,159	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(15,113	)		(33,933	)		(22,297	)		(53,743	)		(396,375	)		(108,445	)
NET ASSETS:
Change in net assets		(10,327	)		(37,408	)		(18,770	)		(57,049	)		(354,286	)		(127,404	)
Beginning of period		123,708			161,116			117,330			174,379			1,089,494			1,216,898
End of period	$	113,381		$	123,708		$	98,560		$	117,330		$	735,208		$	1,089,494
Accumulated undistributed (distributions in excess of) net investment income	$	(7	)	$	(3	)	$	(5	)	$	383		$	(64	)	$	(27	)

SEE NOTES TO FINANCIAL STATEMENTS.

60 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

	Ohio Municipal Bond Fund						Short-Intermediate Municipal Bond Fund						Tax Free Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	7,324		$	9,170		$	14,482		$	18,534		$	18,190		$	27,106
Net realized gain (loss)		682			(218	)		2,478			3,215			1,877			472
Change in net unrealized appreciation (depreciation)		11,164			(5,772	)		20,355			(14,722	)		22,419			(21,820	)
Change in net assets resulting from operations		19,170			3,180			37,315			7,027			42,486			5,758
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(2,936	)		(3,679	)		(986	)		(1,646	)		(7,276	)		(8,914	)
From net realized gains		(111	)		(25	)		—			—			—			—
Class B
From net investment income		(68	)		(171	)		(1	)		(5	)		(67	)		(139	)
From net realized gains		(3	)		(1	)		—			—			—			—
Class C
From net investment income		(1,173	)		(1,628	)		(240	)		(423	)		(1,222	)		(1,613	)
From net realized gains		(55	)		(14	)		—			—			—			—
Institutional Class
From net investment income		—			—			(3,045	)		(3,670	)		—			—
Select Class
From net investment income		(3,130	)		(3,729	)		(10,179	)		(12,809	)		(9,612	)		(16,433	)
From net realized gains		(104	)		(24	)		—			—			—			—
Total distributions to shareholders		(7,580	)		(9,271	)		(14,451	)		(18,553	)		(18,177	)		(27,099	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(29,731	)		(47,351	)		(84,124	)		(89,669	)		(92,834	)		(202,668	)
NET ASSETS:
Change in net assets		(18,141	)		(53,442	)		(61,260	)		(101,195	)		(68,525	)		(224,009	)
Beginning of period		259,046			312,488			1,187,661			1,288,856			504,169			728,178
End of period	$	240,905		$	259,046		$	1,126,401		$	1,187,661		$	435,644		$	504,169
Accumulated undistributed (distributions in excess of) net investment income	$	1		$	(22	)	$	(42	)	$	(73	)	$	(25	)	$	(39	)

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 61

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Arizona Municipal Bond Fund						Michigan Municipal Bond Fund						Municipal Income Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	3,905		$	4,525		$	3,219		$	8,455		$	11,139		$	18,251
Dividends and distributions reinvested		1,156			1,089			2,358			1,582			2,350			2,206
Cost of shares redeemed		(9,251	)		(17,876	)		(14,381	)		(16,505	)		(21,685	)		(25,184	)
Change in net assets from Class A capital transactions	$	(4,190	)	$	(12,262	)	$	(8,804	)	$	(6,468	)	$	(8,196	)	$	(4,727	)
Class B
Proceeds from shares issued	$	39		$	32		$	14		$	1		$	51		$	40
Dividends and distributions reinvested		23			20			79			89			34			119
Cost of shares redeemed		(118	)		(407	)		(1,337	)		(4,079	)		(1,901	)		(6,181	)
Change in net assets from Class B capital transactions	$	(56	)	$	(355	)	$	(1,244	)	$	(3,989	)	$	(1,816	)	$	(6,022	)
Class C
Proceeds from shares issued	$	4,014		$	5,530		$	2,393		$	3,087		$	4,822		$	10,386
Dividends and distributions reinvested		529			531			367			297			530			654
Cost of shares redeemed		(5,126	)		(12,073	)		(3,673	)		(5,673	)		(7,161	)		(16,458	)
Change in net assets from Class C capital transactions	$	(583	)	$	(6,012	)	$	(913	)	$	(2,289	)	$	(1,809	)	$	(5,418	)
Select Class
Proceeds from shares issued	$	10,351		$	10,399		$	5,900		$	4,163		$	133,852		$	334,672
Dividends and distributions reinvested		1,582			1,461			1,152			1,386			1,247			1,607
Cost of shares redeemed		(22,217	)		(27,164	)		(18,388	)		(46,546	)		(519,653	)		(428,557	)
Change in net assets from Select Class capital transactions	$	(10,284	)	$	(15,304	)	$	(11,336	)	$	(40,997	)	$	(384,554	)	$	(92,278	)
Total change in net assets from capital transactions	$	(15,113	)	$	(33,933	)	$	(22,297	)	$	(53,743	)	$	(396,375	)	$	(108,445	)

SEE NOTES TO FINANCIAL STATEMENTS.

62 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

	Arizona Municipal Bond Fund						Michigan Municipal Bond Fund						Municipal Income Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class A
Issued		396			461			300			785			1,100			1,817
Reinvested		117			112			220			147			233			221
Redeemed		(946	)		(1,853	)		(1,347	)		(1,545	)		(2,142	)		(2,532	)
Change in Class A Shares		(433	)		(1,280	)		(827	)		(613	)		(809	)		(494	)
Class B
Issued		4			3			1			—	(a)		5			4
Reinvested		2			2			8			9			3			12
Redeemed		(12	)		(41	)		(133	)		(400	)		(192	)		(622	)
Change in Class B Shares		(6	)		(36	)		(124	)		(391	)		(184	)		(606	)
Class C
Issued		401			560			236			302			479			1,042
Reinvested		54			54			36			29			53			66
Redeemed		(523	)		(1,237	)		(363	)		(565	)		(720	)		(1,672	)
Change in Class C Shares		(68	)		(623	)		(91	)		(234	)		(188	)		(564	)
Select Class
Issued		1,045			1,051			552			389			13,404			33,704
Reinvested		159			148			108			129			125			162
Redeemed		(2,248	)		(2,766	)		(1,717	)		(4,360	)		(52,063	)		(43,425	)
Change in Select Class Shares		(1,044	)		(1,567	)		(1,057	)		(3,842	)		(38,534	)		(9,559	)

(a) Amount rounds to less than 1,000 (shares or dollars).

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 63

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Ohio Municipal Bond Fund						Short-Intermediate Municipal Bond Fund						Tax Free Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	12,578		$	24,603		$	18,976		$	44,765		$	32,603		$	66,770
Dividends and distributions reinvested		2,362			2,478			895			1,371			5,987			6,315
Cost of shares redeemed		(35,464	)		(44,867	)		(62,831	)		(79,100	)		(52,397	)		(88,630	)
Change in net assets from Class A capital transactions	$	(20,524	)	$	(17,786	)	$	(42,960	)	$	(32,964	)	$	(13,807	)	$	(15,545	)
Class B
Proceeds from shares issued	$	202		$	59		$	95		$	75		$	57		$	60
Dividends and distributions reinvested		61			130			1			3			51			97
Cost of shares redeemed		(2,765	)		(5,609	)		(324	)		(633	)		(1,477	)		(2,855	)
Change in net assets from Class B capital transactions	$	(2,502	)	$	(5,420	)	$	(228	)	$	(555	)	$	(1,369	)	$	(2,698	)
Class C
Proceeds from shares issued	$	11,065		$	18,960		$	12,751		$	28,135		$	14,307		$	27,079
Dividends and distributions reinvested		1,124			1,377			230			389			1,081			1,300
Cost of shares redeemed		(13,972	)		(30,609	)		(21,528	)		(42,007	)		(14,195	)		(28,776	)
Change in net assets from Class C capital transactions	$	(1,783	)	$	(10,272	)	$	(8,547	)	$	(13,483	)	$	1,193		$	(397	)
Institutional Class
Proceeds from shares issued	$	—		$	—		$	303,779		$	253,776		$	—		$	—
Dividends and distributions reinvested		—			—			189			330			—			—
Cost of shares redeemed		—			—			(256,979	)		(232,198	)		—			—
Change in net assets from Institutional Class capital transactions	$	—		$	—		$	46,989		$	21,908		$	—		$	—
Select Class
Proceeds from shares issued	$	25,276		$	27,523		$	364,423		$	685,549		$	17,886		$	20,488
Dividends and distributions reinvested		1,790			1,735			690			1,003			1,111			1,993
Cost of shares redeemed		(31,988	)		(43,131	)		(444,491	)		(751,127	)		(97,848	)		(206,509	)
Change in net assets from Select Class capital transactions	$	(4,922	)	$	(13,873	)	$	(79,378	)	$	(64,575	)	$	(78,851	)	$	(184,028	)
Total change in net assets from capital transactions	$	(29,731	)	$	(47,351	)	$	(84,124	)	$	(89,669	)	$	(92,834	)	$	(202,668	)

SEE NOTES TO FINANCIAL STATEMENTS.

64 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

	Ohio Municipal Bond Fund						Short-Intermediate Municipal Bond Fund						Tax Free Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class A
Issued		1,120			2,209			1,795			4,253			2,617			5,340
Reinvested		211			222			85			131			483			508
Redeemed		(3,159	)		(4,065	)		(5,945	)		(7,538	)		(4,238	)		(7,189	)
Change in Class A Shares		(1,828	)		(1,634	)		(4,065	)		(3,154	)		(1,138	)		(1,341	)
Class B
Issued		18			5			9			7			5			5
Reinvested		5			12			—	(a)		—	(a)		4			8
Redeemed		(248	)		(499	)		(30	)		(60	)		(121	)		(230	)
Change in Class B Shares		(225	)		(482	)		(21	)		(53	)		(112	)		(217	)
Class C
Issued		973			1,685			1,195			2,655			1,153			2,173
Reinvested		100			123			22			36			87			106
Redeemed		(1,251	)		(2,772	)		(2,027	)		(3,972	)		(1,159	)		(2,361	)
Change in Class C Shares		(178	)		(964	)		(810	)		(1,281	)		81			(82	)
Institutional Class
Issued		—			—			28,508			24,021			—			—
Reinvested		—			—			18			31			—			—
Redeemed		—			—			(24,179	)		(21,997	)		—			—
Change in Institutional Class Shares		—			—			4,347			2,055			—			—
Select Class
Issued		2,248			2,488			34,403			64,968			1,427			1,658
Reinvested		160			157			65			95			90			160
Redeemed		(2,886	)		(3,919	)		(41,915	)		(71,287	)		(7,968	)		(16,796	)
Change in Select Class Shares		(478	)		(1,274	)		(7,447	)		(6,224	)		(6,451	)		(14,978	)

(a) Amount rounds to less than 1,000 (shares or dollars).

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 65

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Arizona Municipal Bond Fund
Class A
Year Ended February 29, 2012	$	9.58	$	0.28	$	0.54		$	0.82	$	(0.29	)	$	(0.12	)	$	(0.41	)
Year Ended February 28, 2011		9.80		0.27		(0.15	)		0.12		(0.29	)		(0.05	)		(0.34	)
Year Ended February 28, 2010		9.58		0.31		0.22			0.53		(0.31	)		—			(0.31	)
Year Ended February 28, 2009		9.30		0.33		0.28			0.61		(0.33	)		—			(0.33	)
Year Ended February 29, 2008		9.54		0.34		(0.22	)		0.12		(0.34	)		(0.02	)		(0.36	)
Class B
Year Ended February 29, 2012		9.70		0.22		0.54			0.76		(0.23	)		(0.12	)		(0.35	)
Year Ended February 28, 2011		9.92		0.22		(0.16	)		0.06		(0.23	)		(0.05	)		(0.28	)
Year Ended February 28, 2010		9.69		0.25		0.22			0.47		(0.24	)		—			(0.24	)
Year Ended February 28, 2009		9.39		0.26		0.30			0.56		(0.26	)		—			(0.26	)
Year Ended February 29, 2008		9.62		0.28		(0.21	)		0.07		(0.28	)		(0.02	)		(0.30	)
Class C
Year Ended February 29, 2012		9.65		0.22		0.54			0.76		(0.23	)		(0.12	)		(0.35	)
Year Ended February 28, 2011		9.87		0.22		(0.16	)		0.06		(0.23	)		(0.05	)		(0.28	)
Year Ended February 28, 2010		9.65		0.25		0.22			0.47		(0.25	)		—			(0.25	)
Year Ended February 28, 2009		9.37		0.27		0.28			0.55		(0.27	)		—			(0.27	)
Year Ended February 29, 2008		9.60		0.28		(0.21	)		0.07		(0.28	)		(0.02	)		(0.30	)
Select Class
Year Ended February 29, 2012		9.69		0.32		0.53			0.85		(0.31	)		(0.12	)		(0.43	)
Year Ended February 28, 2011		9.91		0.32		(0.18	)		0.14		(0.31	)		(0.05	)		(0.36	)
Year Ended February 28, 2010		9.68		0.34		0.22			0.56		(0.33	)		—			(0.33	)
Year Ended February 28, 2009		9.39		0.35		0.29			0.64		(0.35	)		—			(0.35	)
Year Ended February 29, 2008		9.63		0.36		(0.22	)		0.14		(0.36	)		(0.02	)		(0.38	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

SEE NOTES TO FINANCIAL STATEMENTS.

66 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	9.99		8.66	%	$	32,591		0.88	%		2.89	%		1.01	%		6	%
	9.58		1.23			35,413		0.88			2.88			1.01			8
	9.80		5.59			48,783		0.87			3.14			1.01			14
	9.58		6.64			45,037		0.88			3.42			1.02			25
	9.30		1.30			37,232		0.88			3.55			1.02			19
	10.11		7.89			794		1.51			2.26			1.51			6
	9.70		0.58			818		1.50			2.26			1.51			8
	9.92		4.94			1,191		1.50			2.51			1.51			14
	9.69		6.09			1,243		1.51			2.79			1.52			25
	9.39		0.72			1,410		1.52			2.92			1.52			19
	10.06		7.93			18,249		1.51			2.26			1.51			6
	9.65		0.60			18,163		1.50			2.25			1.51			8
	9.87		4.90			24,729		1.50			2.48			1.51			14
	9.65		5.98			11,258		1.52			2.78			1.52			25
	9.37		0.78			3,309		1.52			2.91			1.52			19
	10.11		8.92			61,747		0.63			3.14			0.76			6
	9.69		1.46			69,314		0.63			3.13			0.76			8
	9.91		5.89			86,413		0.62			3.40			0.76			14
	9.68		6.94			95,546		0.63			3.68			0.77			25
	9.39		1.52			110,367		0.63			3.81			0.77			19

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 67

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Michigan Municipal Bond Fund
Class A
Year Ended February 29, 2012	$	10.52	$	0.37	(c)	$	0.61		$	0.98	$	(0.41	)	$	(0.21	)	$	(0.62	)
Year Ended February 28, 2011		10.77		0.37	(c)		(0.24	)		0.13		(0.34	)		(0.04	)		(0.38	)
Year Ended February 28, 2010		10.52		0.38	(c)		0.25			0.63		(0.38	)		—			(0.38	)
Year Ended February 28, 2009		10.36		0.38	(c)		0.16			0.54		(0.38	)		—			(0.38	)
Year Ended February 29, 2008		10.65		0.39	(c)		(0.29	)		0.10		(0.39	)		—			(0.39	)
Class B
Year Ended February 29, 2012		9.98		0.29	(c)		0.56			0.85		(0.34	)		(0.21	)		(0.55	)
Year Ended February 28, 2011		10.23		0.29	(c)		(0.22	)		0.07		(0.28	)		(0.04	)		(0.32	)
Year Ended February 28, 2010		10.01		0.30	(c)		0.24			0.54		(0.32	)		—			(0.32	)
Year Ended February 28, 2009		9.88		0.30	(c)		0.15			0.45		(0.32	)		—			(0.32	)
Year Ended February 29, 2008		10.17		0.31	(c)		(0.27	)		0.04		(0.33	)		—			(0.33	)
Class C
Year Ended February 29, 2012		9.95		0.28	(c)		0.58			0.86		(0.35	)		(0.21	)		(0.56	)
Year Ended February 28, 2011		10.20		0.29	(c)		(0.22	)		0.07		(0.28	)		(0.04	)		(0.32	)
Year Ended February 28, 2010		9.99		0.30	(c)		0.24			0.54		(0.33	)		—			(0.33	)
Year Ended February 28, 2009		9.86		0.30	(c)		0.15			0.45		(0.32	)		—			(0.32	)
Year Ended February 29, 2008		10.15		0.31	(c)		(0.27	)		0.04		(0.33	)		—			(0.33	)
Select Class
Year Ended February 29, 2012		10.51		0.40	(c)		0.60			1.00		(0.44	)		(0.21	)		(0.65	)
Year Ended February 28, 2011		10.75		0.39	(c)		(0.22	)		0.17		(0.37	)		(0.04	)		(0.41	)
Year Ended February 28, 2010		10.50		0.41	(c)		0.25			0.66		(0.41	)		—			(0.41	)
Year Ended February 28, 2009		10.35		0.40	(c)		0.15			0.55		(0.40	)		—			(0.40	)
Year Ended February 29, 2008		10.63		0.42	(c)		(0.28	)		0.14		(0.42	)		—			(0.42	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

68 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	10.88		9.58	%	$	45,013		0.88	%		3.46	%		1.03	%		8	%
	10.52		1.26			52,244		0.88			3.44			1.00			12
	10.77		6.13			60,059		0.88			3.61			0.99			5
	10.52		5.30			51,278		0.88			3.60			1.00			12
	10.36		0.93			49,175		0.88			3.68			0.99			4
	10.28		8.81			1,418		1.53			2.82			1.53			8
	9.98		0.70			2,610		1.50			2.81			1.50			12
	10.23		5.50			6,679		1.49			3.00			1.50			5
	10.01		4.59			12,444		1.50			2.98			1.50			12
	9.88		0.37			15,563		1.49			3.07			1.49			4
	10.25		8.85			7,486		1.53			2.81			1.53			8
	9.95		0.71			8,171		1.50			2.81			1.50			12
	10.20		5.46			10,768		1.49			3.00			1.49			5
	9.99		4.64			5,121		1.50			2.98			1.50			12
	9.86		0.37			3,457		1.49			3.07			1.49			4
	10.86		9.79			44,643		0.63			3.71			0.78			8
	10.51		1.59			54,305		0.63			3.67			0.75			12
	10.75		6.42			96,873		0.63			3.86			0.75			5
	10.50		5.46			132,082		0.63			3.85			0.75			12
	10.35		1.29			173,800		0.63			3.93			0.74			4

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 69

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income
Municipal Income Fund
Class A
Year Ended February 29, 2012	$	9.86	$	0.30	(c)	$	0.50		$	0.80	$	(0.31	)
Year Ended February 28, 2011		10.00		0.31	(c)		(0.14	)		0.17		(0.31	)
Year Ended February 28, 2010		9.57		0.32	(c)		0.43			0.75		(0.32	)
Year Ended February 28, 2009		9.55		0.34			0.02			0.36		(0.34	)
Year Ended February 29, 2008		9.81		0.34			(0.27	)		0.07		(0.33	)
Class B
Year Ended February 29, 2012		9.80		0.24	(c)		0.50			0.74		(0.25	)
Year Ended February 28, 2011		9.94		0.25	(c)		(0.14	)		0.11		(0.25	)
Year Ended February 28, 2010		9.52		0.27	(c)		0.42			0.69		(0.27	)
Year Ended February 28, 2009		9.50		0.29			0.01			0.30		(0.28	)
Year Ended February 29, 2008		9.76		0.30			(0.29	)		0.01		(0.27	)
Class C
Year Ended February 29, 2012		9.78		0.24	(c)		0.50			0.74		(0.25	)
Year Ended February 28, 2011		9.93		0.25	(c)		(0.15	)		0.10		(0.25	)
Year Ended February 28, 2010		9.51		0.27	(c)		0.42			0.69		(0.27	)
Year Ended February 28, 2009		9.48		0.28			0.03			0.31		(0.28	)
Year Ended February 29, 2008		9.75		0.28			(0.28	)		—		(0.27	)
Select Class
Year Ended February 29, 2012		9.80		0.32	(c)		0.50			0.82		(0.33	)
Year Ended February 28, 2011		9.94		0.33	(c)		(0.14	)		0.19		(0.33	)
Year Ended February 28, 2010		9.52		0.35	(c)		0.42			0.77		(0.35	)
Year Ended February 28, 2009		9.50		0.36			0.02			0.38		(0.36	)
Year Ended February 29, 2008		9.77		0.36			(0.27	)		0.09		(0.36	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

(d) See Note 2.H.

(e) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding imputed interest) for Class A are 0.87% and 0.94% for 2009 and 0.85% and 0.94% for 2008; for Class B and Class C are 1.44% and 1.44% for 2009 and 2008; for Select Class are 0.62% and 0.69% for 2009 and 0.60% and 0.69% for 2008, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

70 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (including imputed interest) (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits (including imputed interest)			Portfolio turnover rate
$	10.35		8.19	%	$	90,497		0.86	%		2.95	%		0.93	%		6	%
	9.86		1.67			94,167		0.87			3.07			0.93			18
	10.00		8.01			100,454		0.86			3.32			0.93			18
	9.57		3.81			91,082		0.88	(d)(e)		3.49			0.95	(d)(e)		12
	9.55		0.73			101,274		0.88	(d)(e)		3.44			0.97	(d)(e)		29
	10.29		7.63			1,252		1.42			2.38			1.43			6
	9.80		1.12			2,993		1.42			2.52			1.43			18
	9.94		7.32			9,058		1.43			2.77			1.43			18
	9.52		3.23			14,094		1.45	(d)(e)		2.91			1.45	(d)(e)		12
	9.50		0.10			19,530		1.47	(d)(e)		2.86			1.47	(d)(e)		29
	10.27		7.66			26,863		1.42			2.39			1.43			6
	9.78		1.04			27,426		1.42			2.51			1.42			18
	9.93		7.35			33,426		1.42			2.74			1.43			18
	9.51		3.36			18,906		1.45	(d)(e)		2.92			1.45	(d)(e)		12
	9.48		0.02			17,655		1.47	(d)(e)		2.86			1.47	(d)(e)		29
	10.29		8.49			616,596		0.61			3.20			0.68			6
	9.80		1.94			964,908		0.62			3.32			0.68			18
	9.94		8.22			1,073,960		0.62			3.57			0.68			18
	9.52		4.08			1,110,963		0.63	(d)(e)		3.73			0.70	(d)(e)		12
	9.50		0.89			1,512,691		0.63	(d)(e)		3.69			0.72	(d)(e)		29

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 71

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Ohio Municipal Bond Fund
Class A
Year Ended February 29, 2012	$	10.95	$	0.35	(c)	$	0.56		$	0.91	$	(0.35	)	$	(0.01	)	$	(0.36	)
Year Ended February 28, 2011		11.15		0.34	(c)		(0.19	)		0.15		(0.35	)		—	(d)		(0.35	)
Year Ended February 28, 2010		10.87		0.36	(c)		0.28			0.64		(0.36	)		—			(0.36	)
Year Ended February 28, 2009		10.58		0.40			0.29			0.69		(0.40	)		—			(0.40	)
Year Ended February 29, 2008		10.86		0.41			(0.28	)		0.13		(0.41	)		—			(0.41	)
Class B
Year Ended February 29, 2012		11.04		0.28	(c)		0.57			0.85		(0.28	)		(0.01	)		(0.29	)
Year Ended February 28, 2011		11.24		0.28	(c)		(0.20	)		0.08		(0.28	)		—	(d)		(0.28	)
Year Ended February 28, 2010		10.95		0.30	(c)		0.28			0.58		(0.29	)		—			(0.29	)
Year Ended February 28, 2009		10.66		0.35			0.27			0.62		(0.33	)		—			(0.33	)
Year Ended February 29, 2008		10.93		0.37			(0.30	)		0.07		(0.34	)		—			(0.34	)
Class C
Year Ended February 29, 2012		10.99		0.28	(c)		0.57			0.85		(0.28	)		(0.01	)		(0.29	)
Year Ended February 28, 2011		11.20		0.28	(c)		(0.21	)		0.07		(0.28	)		—	(d)		(0.28	)
Year Ended February 28, 2010		10.91		0.29	(c)		0.29			0.58		(0.29	)		—			(0.29	)
Year Ended February 28, 2009		10.63		0.34			0.28			0.62		(0.34	)		—			(0.34	)
Year Ended February 29, 2008		10.90		0.35			(0.28	)		0.07		(0.34	)		—			(0.34	)
Select Class
Year Ended February 29, 2012		10.88		0.37	(c)		0.57			0.94		(0.38	)		(0.01	)		(0.39	)
Year Ended February 28, 2011		11.09		0.37	(c)		(0.21	)		0.16		(0.37	)		—	(d)		(0.37	)
Year Ended February 28, 2010		10.81		0.39	(c)		0.28			0.67		(0.39	)		—			(0.39	)
Year Ended February 28, 2009		10.52		0.43			0.29			0.72		(0.43	)		—			(0.43	)
Year Ended February 29, 2008		10.80		0.43			(0.28	)		0.15		(0.43	)		—			(0.43	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

(d) Amount rounds to less than $0.01.

SEE NOTES TO FINANCIAL STATEMENTS.

72 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	11.50		8.44	%	$	86,982		0.88	%		3.09	%		0.98	%		6	%
	10.95		1.33			102,830		0.87			3.06			0.97			7
	11.15		5.94			122,990		0.87			3.27			0.98			7
	10.87		6.66			91,571		0.88			3.76			1.00			12
	10.58		1.18			69,138		0.88			3.79			1.00			15
	11.60		7.80			2,220		1.48			2.52			1.48			6
	11.04		0.69			4,591		1.46			2.48			1.47			7
	11.24		5.35			10,095		1.47			2.71			1.48			7
	10.95		5.95			15,896		1.50			3.13			1.50			12
	10.66		0.62			18,326		1.50			3.18			1.50			15
	11.55		7.87			51,690		1.48			2.49			1.48			6
	10.99		0.62			51,174		1.46			2.47			1.47			7
	11.20		5.41			62,918		1.46			2.64			1.48			7
	10.91		5.92			24,481		1.50			3.14			1.50			12
	10.63		0.64			8,959		1.50			3.17			1.50			15
	11.43		8.77			100,013		0.63			3.34			0.73			6
	10.88		1.49			100,451		0.62			3.32			0.72			7
	11.09		6.26			116,485		0.62			3.53			0.73			7
	10.81		6.98			102,013		0.63			4.00			0.75			12
	10.52		1.43			118,518		0.63			4.04			0.75			15

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 73

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income
Short-Intermediate Municipal Bond Fund
Class A
Year Ended February 29, 2012	$	10.44	$	0.11	(e)	$	0.21		$	0.32		$	(0.11	)
Year Ended February 28, 2011		10.53		0.12	(e)		(0.09	)		0.03			(0.12	)
Year Ended February 28, 2010		10.29		0.17	(e)		0.24			0.41			(0.17	)
Year Ended February 28, 2009		10.17		0.29			0.10			0.39			(0.27	)
Year Ended February 29, 2008		10.13		0.28			0.06			0.34			(0.30	)
Class B
Year Ended February 29, 2012		10.54		0.06	(e)		0.21			0.27			(0.05	)
Year Ended February 28, 2011		10.63		0.07	(e)		(0.09	)		(0.02	)		(0.07	)
Year Ended February 28, 2010		10.38		0.13	(e)		0.23			0.36			(0.11	)
Year Ended February 28, 2009		10.26		0.23			0.11			0.34			(0.22	)
Year Ended February 29, 2008		10.21		0.25			0.04			0.29			(0.24	)
Class C
Year Ended February 29, 2012		10.53		0.06	(e)		0.21			0.27			(0.06	)
Year Ended February 28, 2011		10.61		0.07	(e)		(0.08	)		(0.01	)		(0.07	)
Year Ended February 28, 2010		10.37		0.12	(e)		0.24			0.36			(0.12	)
Year Ended February 28, 2009		10.25		0.22			0.12			0.34			(0.22	)
Year Ended February 29, 2008		10.21		0.25			0.03			0.28			(0.24	)
Institutional Class
Year Ended February 29, 2012		10.49		0.16	(e)		0.22			0.38			(0.16	)
Year Ended February 28, 2011		10.58		0.18	(e)		(0.09	)		0.09			(0.18	)
June 19, 2009 (f) through February 28, 2010		10.36		0.15	(e)		0.21			0.36			(0.14	)
Select Class
Year Ended February 29, 2012		10.47		0.14	(e)		0.21			0.35			(0.14	)
Year Ended February 28, 2011		10.56		0.15	(e)		(0.09	)		0.06			(0.15	)
Year Ended February 28, 2010		10.32		0.19	(e)		0.24			0.43			(0.19	)
Year Ended February 28, 2009		10.20		0.30			0.12			0.42			(0.30	)
Year Ended February 29, 2008		10.16		0.32			0.04			0.36			(0.32	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Calculated based upon average shares outstanding.

(f) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

74 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	10.65		3.05	%	$	80,858		0.75	%		1.04	%		0.87	%		43	%
	10.44		0.32			121,687		0.74			1.18			0.88			42
	10.53		3.97			155,902		0.75			1.63			0.90			22
	10.29		3.92			73,101		0.80			2.62			0.95			40
	10.17		3.38			26,376		0.80			2.89			0.94			43
	10.76		2.61			172		1.25			0.55			1.37			43
	10.54		(0.18	)		394		1.24			0.69			1.38			42
	10.63		3.48			953		1.26			1.28			1.43			22
	10.38		3.36			3,305		1.30			2.17			1.45			40
	10.26		2.89			5,739		1.30			2.39			1.44			43
	10.74		2.54			43,532		1.25			0.53			1.37			43
	10.53		(0.07	)		51,202		1.24			0.68			1.38			42
	10.61		3.44			65,222		1.25			1.10			1.40			22
	10.37		3.40			21,616		1.30			2.14			1.45			40
	10.25		2.80			15,096		1.30			2.39			1.44			43
	10.71		3.67			250,344		0.24			1.53			0.46			43
	10.49		0.84			199,764		0.24			1.67			0.48			42
	10.58		3.49			179,648		0.24			2.01			0.48			22
	10.68		3.32			751,495		0.50			1.28			0.62			43
	10.47		0.59			814,614		0.49			1.43			0.63			42
	10.56		4.23			887,131		0.49			1.82			0.64			22
	10.32		4.17			170,295		0.55			2.90			0.70			40
	10.20		3.63			180,070		0.55			3.14			0.69			43

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 75

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Tax Free Bond Fund
Class A
Year Ended February 29, 2012	$	12.08	$	0.50	(e)	$	0.70		$	1.20		$	(0.51	)	$	—		$	(0.51	)
Year Ended February 28, 2011		12.49		0.50			(0.40	)		0.10			(0.51	)		—			(0.51	)
Year Ended February 28, 2010		12.15		0.53			0.34			0.87			(0.53	)		—			(0.53	)
Year Ended February 28, 2009		12.08		0.52			0.07			0.59			(0.52	)		—			(0.52	)
Year Ended February 29, 2008		12.72		0.52			(0.62	)		(0.10	)		(0.52	)		(0.02	)		(0.54	)
Class B
Year Ended February 29, 2012		12.04		0.42	(e)		0.69			1.11			(0.42	)		—			(0.42	)
Year Ended February 28, 2011		12.45		0.37			(0.36	)		0.01			(0.42	)		—			(0.42	)
Year Ended February 28, 2010		12.11		0.43			0.35			0.78			(0.44	)		—			(0.44	)
Year Ended February 28, 2009		12.04		0.43			0.08			0.51			(0.44	)		—			(0.44	)
Year Ended February 29, 2008		12.68		0.43			(0.62	)		(0.19	)		(0.43	)		(0.02	)		(0.45	)
Class C
Year Ended February 29, 2012		12.01		0.41	(e)		0.69			1.10			(0.42	)		—			(0.42	)
Year Ended February 28, 2011		12.42		0.41			(0.40	)		0.01			(0.42	)		—			(0.42	)
Year Ended February 28, 2010		12.09		0.45			0.34			0.79			(0.46	)		—			(0.46	)
July 1, 2008 (f) through February 28, 2009		12.24		0.30			(0.14	)		0.16			(0.31	)		—			(0.31	)
Select Class
Year Ended February 29, 2012		12.05		0.52	(e)		0.69			1.21			(0.53	)		—			(0.53	)
Year Ended February 28, 2011		12.45		0.54			(0.41	)		0.13			(0.53	)		—			(0.53	)
Year Ended February 28, 2010		12.11		0.56			0.33			0.89			(0.55	)		—			(0.55	)
Year Ended February 28, 2009		12.05		0.54			0.06			0.60			(0.54	)		—			(0.54	)
Year Ended February 29, 2008		12.69		0.54			(0.62	)		(0.08	)		(0.54	)		(0.02	)		(0.56	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Calculated based upon average shares outstanding.

(f) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

76 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	12.77		10.12	%	$	183,329		0.75	%		4.06	%		0.96	%		24	%
	12.08		0.78			187,253		0.75			4.04			0.94			1
	12.49		7.30			210,306		0.75			4.28			0.95			10
	12.15		4.98			151,732		0.75			4.28			0.95			30
	12.08		(0.85	)		127,232		0.75			4.11			0.95			29
	12.73		9.37			1,575		1.44			3.39			1.46			24
	12.04		0.07			2,836		1.44			3.35			1.44			1
	12.45		6.58			5,642		1.44			3.60			1.45			10
	12.11		4.28			7,832		1.44			3.58			1.45			30
	12.04		(1.55	)		9,213		1.44			3.42			1.45			29
	12.69		9.34			40,523		1.44			3.37			1.46			24
	12.01		0.08			37,380		1.44			3.35			1.44			1
	12.42		6.62			39,673		1.43			3.58			1.44			10
	12.09		1.40			5,583		1.44			3.67			1.47			30
	12.73		10.25			210,217		0.58			4.25			0.71			24
	12.05		1.02			276,700		0.58			4.20			0.69			1
	12.45		7.51			472,557		0.58			4.45			0.70			10
	12.11		5.11			628,520		0.58			4.43			0.70			30
	12.05		(0.67	)		751,440		0.58			4.28			0.70			29

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 77

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012

1. Organization

JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 6 separate funds of the Trust (collectively, the “Funds”) covered by this report:

	Classes Offered	Diversified/Non-Diversified
Arizona Municipal Bond Fund	Class A, Class B, Class C and Select Class	Diversified
Michigan Municipal Bond Fund	Class A, Class B, Class C and Select Class	Diversified
Municipal Income Fund	Class A, Class B, Class C and Select Class	Diversified
Ohio Municipal Bond Fund	Class A, Class B, Class C and Select Class	Diversified
Short-Intermediate Municipal Bond Fund	Class A, Class B, Class C, Institutional Class and Select Class	Diversified
Tax Free Bond Fund	Class A, Class B, Class C and Select Class	Diversified

The investment objective of Arizona Municipal Bond Fund is to seek current income exempt from federal income tax and Arizona personal income tax, consistent with the preservation of principal.

The investment objective of Michigan Municipal Bond Fund is to seek current income exempt from federal income tax and Michigan personal income tax, consistent with the preservation of principal.

The investment objective of Municipal Income Fund is to seek current income exempt from federal income taxes.

The Investment objective of Ohio Municipal Bond Fund is to seek current income exempt from federal income tax and Ohio personal income tax, consistent with the preservation of principal.

The investment objective of Short-Intermediate Municipal Bond Fund is to seek as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

The investment objective of Tax Free Bond Fund is to seek as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.

Effective November 1, 2009, Class B Shares may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.

Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”) (except for Class C Shares of Short-Intermediate Municipal Bond Fund). Class B Shares automatically convert to Class A Shares after eight years (except for Short-Intermediate Municipal Bond Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or

78 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.

Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate 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.

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 fair value of the Funds’ investments are summarized into the three broad levels listed below:

Ÿ Level 1 — quoted prices in active markets for identical securities

Ÿ Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Ÿ Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table represents each valuation input by municipal sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Arizona Municipal Bond Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	2,396	$	110,159	$	—	$	112,555

Michigan Municipal Bond Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (b)	$	—	$	97,790	$	—	$	97,790

Municipal Income Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Municipal Bonds
Alabama
Other Revenue	$	—	$	9,378	$	—	$	9,378
Alaska
Housing		—		1,743		—		1,743
Other Revenue		—		2,971		—		2,971
Total Alaska		—		4,714		—		4,714

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 79

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Municipal Income Fund (continued)

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Arizona
Certificate of Participation/Lease	$	—	$	5,450	$	—	$	5,450
Hospital		—		4,341		—		4,341
Housing		—		1,182		—		1,182
Other Revenue		—		10,432		—		10,432
Water & Sewer		—		3,431		—		3,431
Total Arizona		—		24,836		—		24,836
Arkansas
Housing		—		584		—		584
Special Tax		—		4,387		—		4,387
Total Arkansas		—		4,971		—		4,971
California
General Obligation		—		8,283		—		8,283
Hospital		—		4,483		—		4,483
Housing		—		5,668		—		5,668
Other Revenue		—		8,554		—		8,554
Water & Sewer		—		1,283		—		1,283
Total California		—		28,271		—		28,271
Colorado
Certificate of Participation/Lease		—		751		—		751
General Obligation		—		4,942		—		4,942
Hospital		—		2,592		—		2,592
Housing		—		6,826		121		6,947
Other Revenue		—		1,916		—		1,916
Prerefunded		—		146		—		146
Transportation		—		678		—		678
Total Colorado		—		17,851		121		17,972
Connecticut
Other Revenue		—		5,257		—		5,257
Delaware
Housing		—		3,738		—		3,738
District of Columbia
Housing		—		727		—		727
Other Revenue		—		3,808		—		3,808
Transportation		—		8,142		—		8,142
Total District of Columbia		—		12,677		—		12,677
Florida
Certificate of Participation/Lease		—		7,016		—		7,016
Education		—		5,272		—		5,272
General Obligation		—		1,409		—		1,409
Hospital		—		564		—		564
Housing		—		11,552		—		11,552
Other Revenue		—		10,305		—		10,305
Prerefunded		—		326		—		326
Utility		—		6,102		—		6,102
Water & Sewer		—		6,466		—		6,466
Total Florida		—		49,012		—		49,012
Georgia
Certificate of Participation/Lease		—		6,071		—		6,071
General Obligation		—		6,393		—		6,393
Housing		—		1,839		—		1,839
Total Georgia		—		14,303		—		14,303

80 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

Municipal Income Fund (continued)

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Hawaii
General Obligation	$	—	$	5,177	$	—	$	5,177
Idaho
Housing		—		723		—		723
Illinois
General Obligation		—		7,356		—		7,356
Hospital		—		1,552		—		1,552
Housing		—		10,445		—		10,445
Other Revenue		—		4,406		—		4,406
Transportation		—		100		—		100
Total Illinois		—		23,859		—		23,859
Indiana
General Obligation		—		1,460		—		1,460
Hospital		—		4,486		—		4,486
Housing		—		1,069		—		1,069
Other Revenue		—		5,132		—		5,132
Transportation		—		3,205		—		3,205
Water & Sewer		—		4,492		—		4,492
Total Indiana		—		19,844		—		19,844
Iowa
Housing		—		3,147		—		3,147
Kansas
Housing		—		10,225		—		10,225
Louisiana
Certificate of Participation/Lease		—		1,110		—		1,110
Hospital		—		868		—		868
Housing		—		4,615		—		4,615
Other Revenue		—		4,017		—		4,017
Utility		—		2,393		—		2,393
Total Louisiana		—		13,003		—		13,003
Maryland
General Obligation		—		16,285		—		16,285
Housing		—		1,324		—		1,324
Total Maryland		—		17,609		—		17,609
Massachusetts
Education		—		2,334		—		2,334
General Obligation		—		3,218		—		3,218
Housing		—		7,507		—		7,507
Other Revenue		—		2,620		—		2,620
Water & Sewer		—		6,597		—		6,597
Total Massachusetts		—		22,276		—		22,276
Michigan
Education		—		4,900		—		4,900
Hospital		—		3,835		—		3,835
Housing		—		4,108		—		4,108
Other Revenue		—		3,281		—		3,281
Water & Sewer		—		6,100		—		6,100
Total Michigan		—		22,224		—		22,224

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 81

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Municipal Income Fund (continued)

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Minnesota
General Obligation	$	—	$	5,579	$	—	$	5,579
Housing		—		14,217		—		14,217
Other Revenue		—		7,384		—		7,384
Total Minnesota		—		27,180		—		27,180
Mississippi
Housing		—		4,509		—		4,509
Other Revenue		—		2,049		—		2,049
Total Mississippi		—		6,558		—		6,558
Missouri
Housing		—		7,257		—		7,257
Transportation		—		2,307		—		2,307
Total Missouri		—		9,564		—		9,564
Montana
Housing		—		281		—		281
Nebraska
Housing		—		1,706		—		1,706
Nevada
Education		—		6,027		—		6,027
General Obligation		—		5,274		—		5,274
Housing		—		1,993		—		1,993
Other Revenue		—		1,633		—		1,633
Total Nevada		—		14,927		—		14,927
New Hampshire
Housing		—		1,548		—		1,548
Other Revenue		—		5,936		—		5,936
Total New Hampshire		—		7,484		—		7,484
New Jersey
General Obligation		—		1,553		—		1,553
Other Revenue		—		10,369		—		10,369
Transportation		—		2,507		—		2,507
Total New Jersey		—		14,429		—		14,429
New Mexico
General Obligation		—		1,214		—		1,214
Housing		—		6,723		—		6,723
Total New Mexico		—		7,937		—		7,937
New York
Certificate of Participation/Lease		—		17,925		—		17,925
Education		—		9,306		—		9,306
General Obligation		—		1,885		—		1,885
Housing		—		2,157		—		2,157
Resource Recovery		—		2,262		—		2,262
Special Tax		—		2,394		—		2,394
Transportation		—		3,716		—		3,716
Total New York		—		39,645		—		39,645
North Carolina
Education		—		5,623		—		5,623
Housing		—		4,949		—		4,949
Other Revenue		—		6,156		—		6,156
Water & Sewer		—		4,096		—		4,096
Total North Carolina		—		20,824		—		20,824

82 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

Municipal Income Fund (continued)

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
North Dakota
General Obligation	$	—	$	1,458	$	—	$	1,458
Housing		—		1,993		—		1,993
Industrial Development Revenue/Pollution Control Revenue		—		2,183		—		2,183
Other Revenue		—		2,050		—		2,050
Total North Dakota		—		7,684		—		7,684
Ohio
General Obligation		—		7,687		—		7,687
Housing		—		2,339		—		2,339
Industrial Development Revenue/Pollution Control Revenue		—		1,811		—		1,811
Other Revenue		—		8,886		—		8,886
Prerefunded		—		356		—		356
Water & Sewer		—		6,138		—		6,138
Total Ohio		—		27,217		—		27,217
Oklahoma
Housing		—		6,042		—		6,042
Oregon
General Obligation		—		2,212		—		2,212
Housing		—		2,609		—		2,609
Other Revenue		—		3,499		—		3,499
Total Oregon		—		8,320		—		8,320
Other Territories
Housing		—		3,101		—		3,101
Pennsylvania
Education		—		6,772		—		6,772
General Obligation		—		3,264		—		3,264
Housing		—		1,000		—		1,000
Industrial Development Revenue/Pollution Control Revenue		—		4,621		—		4,621
Other Revenue		—		6,364		—		6,364
Resource Recovery		—		3,929		—		3,929
Total Pennsylvania		—		25,950		—		25,950
South Carolina
Certificate of Participation/Lease		—		6,652		—		6,652
General Obligation		—		6,959		—		6,959
Hospital		—		5,670		—		5,670
Other Revenue		—		1,247		—		1,247
Total South Carolina		—		20,528		—		20,528
South Dakota
Housing		—		2,083		—		2,083
Other Revenue		—		1,167		—		1,167
Total South Dakota		—		3,250		—		3,250
Tennessee
General Obligation		—		3,952		—		3,952
Housing		—		8,516		—		8,516
Transportation		—		1,147		—		1,147
Utility		—		5,500		—		5,500
Water & Sewer		—		6,306		—		6,306
Total Tennessee		—		25,421		—		25,421

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 83

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Municipal Income Fund (continued)

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Texas
General Obligation	$	—	$	16,446	$	—	$	16,446
Hospital		—		102		—		102
Housing		—		10,873		—		10,873
Industrial Development Revenue/Pollution Control Revenue		—		3,166		—		3,166
Other Revenue		—		7,080		—		7,080
Transportation		—		14,129		—		14,129
Utility		—		2,205		—		2,205
Water & Sewer		—		5,974		—		5,974
Total Texas		—		59,975		—		59,975
Utah
Education		—		4,133		—		4,133
Housing		—		80		—		80
Total Utah		—		4,213		—		4,213
Vermont
Other Revenue		—		2,680		—		2,680
Virginia
General Obligation		—		3,785		—		3,785
Other Revenue		—		2,478		—		2,478
Resource Recovery		—		3,169		—		3,169
Transportation		—		4,616		—		4,616
Total Virginia		—		14,048		—		14,048
Washington
General Obligation		—		1,257		—		1,257
Other Revenue		—		1,722		—		1,722
Total Washington		—		2,979		—		2,979
Wisconsin
Education		—		—		5,191		5,191
General Obligation		—		6,065		—		6,065
Total Wisconsin		—		6,065		5,191		11,256
Total		—		681,103		5,312		686,415
Investment Company		5,739		—		—		5,739
Short-Term Investment
Investment Company		37,420		—		—		37,420
Total Investments in Securities	$	43,159	$	681,103	$	5,312	$	729,574

Ohio Municipal Bond Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	4,260	$	234,397	$	—	$	238,657

Short-Intermediate Municipal Bond Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	28,761	$	1,099,485	$	—	$	1,128,246

84 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

Tax Free Bond Fund

	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	8,931		$	423,598	$	—	$	432,529
Appreciation in Other Financial Instruments
Futures Contracts	$	74		$	—	$	—	$	74
Depreciation in Other Financial Instruments
Futures Contracts	$	(156	)	$	—	$	—	$	(156	)

(a) All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for industry specifics of the portfolio holdings.

(b) All portfolio holdings designated as Level 2 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of the portfolio holdings.

There were no transfers between Levels 1 and 2 during the year ended February 29, 2012.

The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):

Michigan Municipal Bond	Balance as of 02/28/11		Realized gain (loss)		Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases1		Sales2			Transfers into Level 3		Transfers out of Level 3			Balance as of 02/29/12
Investments in Securities
Michigan — Education	$	1,197	$	12	$	—		$	—		$	—	$	(1,209	)	$		$	—		$	—
Michigan — Hospital		2,854		—		—			—			—		—			—		(2,854	)		—
Total	$	4,051	$	12	$	—		$	—		$	—	$	(1,209	)	$	—	$	(2,854	)	$	—
Municipal Income Fund	Balance as of 02/28/11		Realized gain (loss)		Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases1		Sales2			Transfers into Level 3		Transfers out of Level 3			Balance as of 02/29/12
Investments in Securities
Colorado — Housing	$	132	$	—	$	—	(a)	$	—		$	—	$	(11	)	$	—	$	—		$	121
Pennsylvania — Hospital		2,489		—		35			(24	)		—		(2,500	)		—		—			—
Washington — Other Revenue		1,616		—		83			1			—		(1,700	)		—		—			—
Wisconsin — Education		5,017		—		174						—		—			—		—			5,191
Total	$	9,254	$	—	$	292		$	(23	)	$	—	$	(4,211	)	$	—	$	—		$	5,312

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 a corporate action.

(a) Amount rounds to less than $1,000.

Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.

Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.

The change in unrealized appreciation (depreciation) attributable to securities owned at February 29, 2012, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):

Municipal Income Fund $ 174

These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. An illiquid security is a

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 85

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

The following is the value and percentage of net assets of illiquid securities as of February 29, 2012 (amounts in thousands):

	Value		Percentage
Municipal Income Fund	$	5,312		0.7	%

C. Futures Contracts — Tax Free Bond Fund uses treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also uses futures contracts to lengthen or shorten the duration of the overall investment portfolio. The use of futures contracts exposes the Fund to interest rate risk.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

The table below discloses the volume of the Fund’s futures activities during the year ended February 29, 2012 (amounts in thousands):

Futures Contracts:
Average Notional Balance Short	$	18,916
Ending Notional Balance Short		20,197

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

Purchases of to be announced (“TBA”), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds’ policy to reserve assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments. As of February 29, 2012, Short-Intermediate Municipal Bond Fund had when-issued securities on its SOI.

E. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

86 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

G. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

	Paid-in-Capital			Accumulated Undistributed/ (Overdistributed) Net Investment Income			Accumulated Net Realized Gain (Loss) on Investments
Arizona Municipal Bond Fund	$	(1	)	$	1		$	—
Michigan Municipal Bond Fund		—	(a)		—	(a)		—	(a)
Municipal Income Fund		1			(1	)		—
Ohio Municipal Bond Fund		1			6			(7	)
Short-Intermediate Municipal Bond Fund		(8,613	)		—	(a)		8,613
Tax Free Bond Fund		(2	)		1			1

(a) Amount rounds to less than $1,000.

The reclassifications for the Funds relate primarily to distribution reclassifications (Ohio Municipal Bond Fund), expiration of capital loss carryforwards (Short-Intermediate Municipal Bond Fund), prior year undistributed income true-up (Arizona Municipal Bond Fund, Michigan Municipal Bond Fund, Municipal Income Fund and Tax Free Bond Fund) and prior year undistributed gain (loss) true-up (Michigan Municipal Bond Fund and Tax Free Bond Fund).

H. Floating-Rate Note Obligations Related to Securities Held — Municipal Income Fund may enter into transactions in which a fixed-rate note owned by the Fund is transferred to a trust in exchange for cash and residual interests in the trust’s assets and cash flows, which are in the form of inverse floating rate investments (the “Inverse Floater”). The trust funds the purchase of the fixed-rate notes by issuing floating-rate certificates to third parties and allowing the Fund to retain the residual interests in the fixed-rate notes. The Inverse Floater held by the Fund gives the Fund the right to (1) cause the holders of the floating-rate certificates to tender their notes at par at the next reset date, and (2) to transfer the fixed-rate notes from the trust to the Fund, causing the trust to collapse.

At February 29, 2012, Municipal Income Fund did not hold any Inverse Floaters.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:

Arizona Municipal Bond Fund	0.30	%
Michigan Municipal Bond Fund	0.30
Municipal Income Fund	0.30
Ohio Municipal Bond Fund	0.30
Short-Intermediate Municipal Bond Fund	0.25
Tax Free Bond Fund	0.30

The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended February 29, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 87

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

Class A	Class B			Class C
0.25%		0.75	%		0.75	%

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares (except for Class C Shares of the Short-Intermediate Municipal Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the year ended February 29, 2012, the Distributor retained the following (amounts in thousands):

	Front-End Sales Charge		CDSC
Arizona Municipal Bond Fund	$	9	$	1
Michigan Municipal Bond Fund		5		—	(a)
Municipal Income Fund		11		2
Ohio Municipal Bond Fund		16		9
Short-Intermediate Municipal Bond Fund		2		—
Tax Free Bond Fund		54		4

(a) Amount rounds to less than $1,000.

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	Class A			Class B			Class C			Institutional Class			Select Class
Arizona Municipal Bond Fund		0.25	%		0.25	%		0.25	%		n/a			0.25	%
Michigan Municipal Bond Fund		0.25			0.25			0.25			n/a			0.25
Municipal Income Fund		0.25			0.25			0.25			n/a			0.25
Ohio Municipal Bond Fund		0.25			0.25			0.25			n/a			0.25
Short-Intermediate Municipal Bond Fund		0.25			0.25			0.25			0.10	%		0.25
Tax Free Bond Fund		0.25			0.25			0.25			n/a			0.25

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest (which includes imputed interest), taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class B			Class C			Institutional Class			Select Class
Arizona Municipal Bond Fund		0.88	%		1.53	%		1.53	%		n/a			0.63	%
Michigan Municipal Bond Fund		0.88			1.53			1.53			n/a			0.63
Municipal Income Fund		0.87			1.52			1.52			n/a			0.62
Ohio Municipal Bond Fund		0.88			1.53			1.53			n/a			0.63
Short-Intermediate Municipal Bond Fund		0.75			1.25			1.25			0.25	%		0.50
Tax Free Bond Fund		0.75			1.44			1.44			n/a			0.58

Prior to July 1, 2011, the contractual expense limitation for Short-Intermediate Municipal Bond Fund was 1.30% for Class B and Class C Shares.

The expense limitation agreements were in effect for the year ended February 29, 2012. The contractual expense limitation percentages in the table above are in place until at least June 30, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended

February 29, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.

88 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

For the year ended February 29, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and/or reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Shareholder Servicing		Total
Arizona Municipal Bond Fund	$	—	$	122	$	122
Michigan Municipal Bond Fund		—		143		143
Municipal Income Fund		—		451		451
Ohio Municipal Bond Fund		—		178		178
Short-Intermediate Municipal Bond Fund		1,293		197		1,490
Tax Free Bond Fund		—		666		666

	Voluntary Waivers
	Investment Advisory		Total
Short-Intermediate Municipal Bond Fund	$	8	$	8

Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.

The amounts of waivers resulting from investments in the money market funds for the year ended February 29, 2012 was as follows (amounts in thousands):

Arizona Municipal Bond Fund	$	2
Michigan Municipal Bond Fund		1
Municipal Income Fund		88
Ohio Municipal Bond Fund		5
Short-Intermediate Municipal Bond Fund		64
Tax Free Bond Fund		18

G. Other — Certain officers of the Trust are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 29, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.

The Funds may use related party broker-dealers. For the year ended February 29, 2012, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Advisor.

The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.

4. Investment Transactions

During the year ended February 29, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)
Arizona Municipal Bond Fund	$	6,786	$	24,699
Michigan Municipal Bond Fund		7,917		30,777
Municipal Income Fund		51,206		451,685
Ohio Municipal Bond Fund		14,743		48,228
Short-Intermediate Municipal Bond Fund		482,266		551,623
Tax Free Bond Fund		103,865		194,408

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 89

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

During the year ended February 29, 2012, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at February 29, 2012, were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Arizona Municipal Bond Fund	$	103,302	$	9,263	$	10	$	9,253
Michigan Municipal Bond Fund		90,273		7,517		—		7,517
Municipal Income Fund		686,745		43,474		645		42,829
Ohio Municipal Bond Fund		218,775		19,932		50		19,882
Short-Intermediate Municipal Bond Fund		1,101,495		28,215		1,464		26,751
Tax Free Bond Fund		386,170		46,359		—		46,359

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals (Municipal

Income Fund).

The tax character of distributions paid during the fiscal year ended February 29, 2012 was as follows (amounts in thousands):

	Ordinary Income		Tax Exempt Income		Net Long Term Capital Gains		Total Distributions Paid
Arizona Municipal Bond Fund	$	—	$	3,341	$	1,309	$	4,650
Michigan Municipal Bond Fund		14		4,050		1,954		6,018
Municipal Income Fund		—		27,137		—		27,137
Ohio Municipal Bond Fund		—		7,300		280		7,580
Short-Intermediate Municipal Bond Fund		115		14,336		—		14,451
Tax Free Bond Fund		—		18,177		—		18,177

The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):

	Ordinary Income		Tax Exempt Income		Net Long Term Capital Gains		Total Distributions Paid
Arizona Municipal Bond Fund	$	6	$	4,373	$	796	$	5,175
Michigan Municipal Bond Fund		26		4,981		532		5,539
Municipal Income Fund		33		39,126		—		39,159
Ohio Municipal Bond Fund		142		9,072		57		9,271
Short-Intermediate Municipal Bond Fund		312		18,241		—		18,553
Tax Free Bond Fund		51		27,048		—		27,099

At February 29, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Tax Exempt Income		Current Distributable Ordinary Income		Current Distributable Long-Term Capital-Gain or (Tax Basis Capital Loss Carryover)			Unrealized Appreciation (Depreciation)
Arizona Municipal Bond Fund	$	55	$	—	$	488		$	9,253
Michigan Municipal Bond Fund		80		30		887			7,517
Municipal Income Fund		1,419		—		(8,139	)		42,829
Ohio Municipal Bond Fund		136		—		114			19,882
Short-Intermediate Municipal Bond Fund		910		—		(24,228	)		26,751
Tax Free Bond Fund		622		—		(1,196	)		46,359

For the Funds, the cumulative timing differences primarily consist of distributions payable, wash sale loss deferrals (Municipal Income Fund), mark to market of futures contracts (Tax Free Bond Fund) and post-October loss deferrals (Tax Free Bond Fund).

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

90 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

As of February 29, 2012, the Funds did not have post-enactment net capital loss carryforwards.

As of February 29, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

	2013		2014		2015		2016		2017		2018		Total
Municipal Income Fund	$	—	$	—	$	—	$	1,053	$	6,506	$	580		8,139
Short-Intermediate Municipal Bond Fund		4,569		11,664		2,707		3,672		969		647		24,228
Tax Free Bond Fund		—		—		—		—		—		1,196		1,196

During the year ended February 29, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):

Municipal Income Fund	$	8,530
Short-Intermediate Municipal Bond Fund		2,478
Tax Free Bond Fund		1,941

During the year ended February 29, 2012, the Funds had expired capital loss carryforwards as follows (amounts in thousands):

Short-Intermediate Municipal Bond Fund $ 8,614

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended February 29, 2012, the Funds deferred to March 1, 2012 post-October capital losses of (amounts in thousands):

	Post-October Capital Loss Character
	Short-Term		Long-Term
Tax Free Bond Fund	$	—	$	104

6. Borrowings

The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 29, 2012. Average borrowings from the Facility for the year ended February 29, 2012, were as follows (amounts in thousands):

	Average Borrowings		Number of Days Outstanding		Interest Paid
Short-Intermediate Municipal Bond Fund	$	8,991		5	$	—	(a)

(a) Amount rounds to less than $1,000.

Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Arizona Municipal Bond Fund, Michigan Municipal Bond Fund, Municipal Income Fund, Short-Intermediate Municipal Bond Fund and Tax Free Bond Fund.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 91

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

In addition, Arizona Municipal Bond Fund, Michigan Municipal Bond Fund, Ohio Municipal Bond Fund and Tax Free Bond Fund each have a shareholder or shareholders, which are accounts maintained by financial intermediaries on behalf of their clients, that own significant portions of the Funds’ outstanding shares.

Significant shareholder transactions, if any, may impact the Funds’ performance.

Municipal Income Fund, Short-Intermediate Municipal Bond Fund and Tax Free Bond Fund invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. The Arizona, Michigan and Ohio Municipal Bond Funds primarily invest in issuers in the States of Arizona, Michigan and Ohio, respectively. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and a Fund’s ability to collect principal and interest in the event of an issuer’s default may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

As of February 29, 2012, companies that insured greater than 20% of the total investments of the respective funds were as follows:

National Public Finance Guarantee Corp.:
Arizona Municipal Bond Fund	22.4	%
Michigan Municipal Bond Fund	30.5

Assured Guaranty Municipal Corp.:
Michigan Municipal Bond Fund	22.5	%

The concentration percentages presented above do not include insured bonds that have been pre-refunded as of February 29, 2012.

92 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust II and Shareholders of JPMorgan Arizona Municipal Bond Fund, JPMorgan Michigan Municipal Bond Fund, JPMorgan Municipal Income Fund, JPMorgan Ohio Municipal Bond Fund, JPMorgan Short-Intermediate Municipal Bond Fund and JPMorgan Tax Free Bond Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Arizona Municipal Bond Fund, JPMorgan Michigan Municipal Bond Fund, JPMorgan Municipal Income Fund, JPMorgan Ohio Municipal Bond Fund, JPMorgan Short-Intermediate Municipal Bond Fund and JPMorgan Tax Free Bond Fund (hereafter referred to as the “Funds”) at February 29, 2012, the results of their operations for the year ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

April 27, 2012

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 93

TRUSTEES

(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987.	Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000).	154	None.
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	154	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present).
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999).	154	Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	154	None.
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	154	Director, Center for Communication, Hearing, and Deafness (1990-present).
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	154	Trustee, Carleton College (2003-present).
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	154	Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	154	Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010).
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987.	Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002).	154	Trustee, Morgan Stanley Funds (107 portfolios) (1992-present).

94 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	154	Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present).
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	154	None.
Interested Trustees
Frankie D. Hughes** (1952), Trustee of Trust since 2008.	President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present).	154	Trustee, The Victory Portfolios (2000-2008).
Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998.	Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998).	154	Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present).

(1) Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012.

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (154 funds).

   * Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds.

  ** Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc.

*** Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 95

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trust (Since)	Principal Occupations During Past 5 Years
Patricia A. Maleski (1960), President and Principal Executive Officer (2010)	Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001.
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010)	Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Paul L. Gulinello (1950), AML Compliance Officer (2005)	Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011.
Carmine Lekstutis (1980) Assistant Secretary (2011)	Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980) Assistant Secretary (2010)	Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.
Brian L. Duncan (1965), Assistant Treasurer (2008)*	Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007.
Jeffrey D. House (1972), Assistant Treasurer (2006)*	Vice President, JPMorgan Funds Management, Inc. since July 2006.
Laura S. Melman (1966), Assistant Treasurer (2006)	Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August 2006 to February 2011, responsible for Taxation.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management.
Jeffery Reedy (1973), Assistant Treasurer (2011)*	Vice President, JPMorgan Funds Management, Inc. since February 2006.

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

* The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

96 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2011, and continued to hold your shares at the end of the reporting period, February 29, 2012.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Arizona Municipal Bond Fund
Class A
Actual	$	1,000.00	$	1,035.80	$	4.45		0.88	%
Hypothetical		1,000.00		1,020.49		4.42		0.88
Class B
Actual		1,000.00		1,032.10		7.68		1.52
Hypothetical		1,000.00		1,017.30		7.62		1.52
Class C
Actual		1,000.00		1,032.30		7.68		1.52
Hypothetical		1,000.00		1,017.30		7.62		1.52
Select Class
Actual		1,000.00		1,036.60		3.19		0.63
Hypothetical		1,000.00		1,021.73		3.17		0.63
Michigan Municipal Bond Fund
Class A
Actual		1,000.00		1,041.30		4.47		0.88
Hypothetical		1,000.00		1,020.49		4.42		0.88
Class B
Actual		1,000.00		1,038.40		7.70		1.52
Hypothetical		1,000.00		1,017.30		7.62		1.52
Class C
Actual		1,000.00		1,038.70		7.70		1.52
Hypothetical		1,000.00		1,017.30		7.62		1.52
Select Class
Actual		1,000.00		1,042.70		3.20		0.63
Hypothetical		1,000.00		1,021.73		3.17		0.63

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 97

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Municipal Income Fund
Class A
Actual	$	1,000.00	$	1,037.30	$	4.41		0.87	%
Hypothetical		1,000.00		1,020.54		4.37		0.87
Class B
Actual		1,000.00		1,033.70		7.18		1.42
Hypothetical		1,000.00		1,017.80		7.12		1.42
Class C
Actual		1,000.00		1,034.90		7.18		1.42
Hypothetical		1,000.00		1,017.80		7.12		1.42
Select Class
Actual		1,000.00		1,038.80		3.14		0.62
Hypothetical		1,000.00		1,021.78		3.12		0.62
Ohio Municipal Bond Fund
Class A
Actual		1,000.00		1,036.80		4.46		0.88
Hypothetical		1,000.00		1,020.49		4.42		0.88
Class B
Actual		1,000.00		1,032.50		7.48		1.48
Hypothetical		1,000.00		1,017.50		7.42		1.48
Class C
Actual		1,000.00		1,033.70		7.43		1.47
Hypothetical		1,000.00		1,017.55		7.37		1.47
Select Class
Actual		1,000.00		1,037.40		3.19		0.63
Hypothetical		1,000.00		1,021.73		3.17		0.63
Short-Intermediate Municipal Bond Fund
Class A
Actual		1,000.00		1,007.80		3.69		0.74
Hypothetical		1,000.00		1,021.18		3.72		0.74
Class B
Actual		1,000.00		1,005.20		6.23		1.25
Hypothetical		1,000.00		1,018.65		6.27		1.25
Class C
Actual		1,000.00		1,005.30		6.23		1.25
Hypothetical		1,000.00		1,018.65		6.27		1.25
Institutional Class
Actual		1,000.00		1,010.30		1.20		0.24
Hypothetical		1,000.00		1,023.67		1.21		0.24
Select Class
Actual		1,000.00		1,009.00		2.45		0.49
Hypothetical		1,000.00		1,022.43		2.46		0.49
Tax Free Bond Fund
Class A
Actual		1,000.00		1,051.00		3.82		0.75
Hypothetical		1,000.00		1,021.13		3.77		0.75
Class B
Actual		1,000.00		1,047.50		7.33		1.44
Hypothetical		1,000.00		1,017.70		7.22		1.44
Class C
Actual		1,000.00		1,047.90		7.33		1.44
Hypothetical		1,000.00		1,017.70		7.22		1.44
Select Class
Actual		1,000.00		1,052.00		2.96		0.58
Hypothetical		1,000.00		1,021.98		2.92		0.58

* Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

98 J.P. MORGAN MUNICIPAL BOND FUNDS FEBRUARY 29, 2012

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.

Long Term Capital Gain Designation — 15%

Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 29, 2012 (amounts in thousands):

	Long-Term Capital Gain Distribution
Arizona Municipal Bond Fund	$	1,309
Michigan Municipal Bond Fund		1,954
Ohio Municipal Bond Fund		279

Tax-Exempt Income

The following represents the percentage of distributions paid from net investment income that are exempt from federal income tax for the fiscal year ended February 29, 2012:

	Exempt Distributions Paid
Arizona Municipal Bond Fund		100.00	%
Michigan Municipal Bond Fund		99.63
Municipal Income Fund		100.00
Ohio Municipal Bond Fund		100.00
Short-Intermediate Municipal Bond Fund		99.21
Tax Free Bond Fund		100.00

FEBRUARY 29, 2012 J.P. MORGAN MUNICIPAL BOND FUNDS 99

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡Social Security number and account balances   ¡transaction history and account transactions   ¡checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡open an account or provide contact information ¡give us your account information or pay us by check ¡make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡affiliates from using your information to market to you ¡sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2012.  All rights reserved. February 2012. AN-MUNIBOND-212

Annual Report

J.P. Morgan Money Market Funds

February 29, 2012

JPMorgan California Municipal Money Market Fund

JPMorgan Michigan Municipal Money Market Fund

JPMorgan New York Municipal Money Market Fund

JPMorgan Ohio Municipal Money Market Fund

CONTENTS

CEO’s Letter	1
Fund Facts:
JPMorgan California Municipal Money Market Fund	2
JPMorgan Michigan Municipal Money Market Fund	3
JPMorgan New York Municipal Money Market Fund	4
JPMorgan Ohio Municipal Money Market Fund	5
Schedules of Portfolio Investments	6
Financial Statements	22
Financial Highlights	32
Notes to Financial Statements	40
Report of Independent Registered Public Accounting Firm	46
Trustees	47
Officers	49
Schedule of Shareholder Expenses	50
Tax Letter	52
Privacy Notice — Located at the back of this Annual Report

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. Although a Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a Fund.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

MARCH 14, 2012 (Unaudited)

Dear Shareholder:

“Risk on, risk off” was the mantra for 2011. Assets perceived as risky moved en masse as investors adjusted their portfolios in response to unexpected sources of distress and updates on known problems — the European debt crisis, political strife in the Middle East, the earthquake and subsequent tsunami in Japan and the credit rating of debt issued by the United States.

  “Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.”

So far in 2012, improving U.S. economic data and aggressive measures taken by the European Central Bank to curb the region’s debt crisis have sustained investors’ appetite for risk. Since January 1, 2012, equities have rallied strongly and outperformed fixed income securities.

U.S. Stocks Outperform

While the “risk on, risk off” market environment caused elevated correlations within individual asset classes, stock returns across market capitalizations, countries and investment styles varied during the twelve months ended February 29, 2012. Buoyed by stronger-than-expected economic data, U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.

During the reporting period, the S&P 500 Index gained 5.1% versus the -6.8% and 1.8% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index (gross of foreign withholding taxes) and the MSCI EM (Emerging Markets) Index (gross of foreign withholding taxes), respectively. Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed value stocks across all market capitalizations.

Yields for U.S. Treasuries Remain Near Historical Lows

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities. The yield for 10-year U.S. Treasury securities ended February 2012 below 2% and reached its lowest level since 1950 in September 2011. The yield on the 2-year U.S. Treasury note began the reporting period at 0.7% and dropped to 0.3% at the end of February

2012. Meanwhile, the yield on the 30-year U.S. Treasury bond declined from 4.5% to 3.1% as of the end of the twelve months ended February 29, 2012.

Interest rates have increased in March 2012 but yields remain at historically low levels. Nonetheless, many investors have renewed their focus on the longer-term impact of rising interest rates on their fixed income investments. In addition, many investors view the unprecedented quantitative easing by the U.S. Federal Reserve as kindling for inflation if the U.S. economic recovery continues to take hold.

Maintain a Diversified Portfolio

Several indicators suggest that a U.S. economic recovery is gaining traction — the labor market has shown signs of healing, while recent retail and auto sales have been strong. Meanwhile, soaring year-to-date returns for emerging markets stocks reflect investors’ optimism surrounding the prospects for growth in these countries. Of course, risks remain. Many investors worry that the pace of China’s robust economic growth could decelerate, potentially resulting in a “hard landing” from measures aimed to control inflation and cool its surging property market. In addition, political turmoil in the Middle East persists, while Europe faces pockets of recession in the midst of its ongoing debt crisis.

Indeed, despite the recent rally in stock markets uncertainty in the current environment is widespread, making diversification even more critical to long-term investment success. Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

Sincerely yours,

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 1

JPMorgan California Municipal Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Aims to provide the highest possible level of current income which is exempt from federal and California personal income taxes, while still preserving capital and maintaining liquidity*
Primary Investment	California short-term municipal obligations
Suggested investment time frame	Short-term
Share classes offered	E*Trade, Morgan and Service
Net Assets as of 2/29/2012	$1.4 Billion
Weighted Average Maturity^	22 days
Weighted Average Life^^	22 days

MATURITY SCHEDULE**^
1 day	0.4	%
2–7 days	83.8
8–30 days	1.2
31–60 days	3.4
61–90 days	1.7
91–180 days	7.9
181+ days	1.6

7-DAY SEC YIELD (1)
E*Trade Shares	0.01	%
Morgan Shares	0.00
Service Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

(1) The yields for E*Trade Shares, Morgan Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.81)%, (0.36)% and (0.81)% for E*Trade Shares, Morgan Shares and Service Shares, respectively.

* A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

** Percentages based on total value of investments as of February 29, 2012.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan California Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

2 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan Michigan Municipal Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Seeks as high a level of current interest income exempt from federal income tax and Michigan personal income tax as is consistent with capital preservation and stability of principal*
Primary Investment	High-quality short-term municipal securities issued in Michigan, which provide tax-exempt income
Suggested investment time frame	Short-term
Share classes offered	Morgan, Premier and Reserve
Net Assets as of 2/29/2012	$151.7 Million
Weighted Average Maturity^.	19 days
Weighted Average Life^^	19 days

MATURITY SCHEDULE**^
1 day	15.3	%
2–7 days	76.7
31–60 days	1.3
91–180 days	2.7
181+ days	4.0

7-DAY SEC YIELD (1)
Morgan Shares	0.00	%
Premier Shares	0.00
Reserve Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

(1) The yields for Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.39)%, (0.24)% and (0.49)% for Morgan Shares, Premier Shares and Reserve Shares, respectively.

* A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

** Percentages based on total value of investments as of February 29, 2012.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Michigan Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 3

JPMorgan New York Municipal Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Aims to provide the highest possible level of current income which is excluded from gross income and exempt from New York State and New York City personal income taxes, while still preserving capital and maintaining liquidity*
Primary Investment	New York short-term municipal obligations
Suggested investment time frame.	Short-term
Share classes offered	E*Trade, Morgan, Reserve and Service
Net Assets as of 2/29/2012	$1.4 Billion
Weighted Average Maturity^	22 days
Weighted Average Life^^	22 days

MATURITY SCHEDULE**^
1 day	3.4	%
2–7 days	87.4
91–180 days	6.4
181+ days	2.8

7-DAY SEC YIELD (1)
E*Trade Shares	0.01	%
Morgan Shares	0.00
Reserve Shares	0.00
Service Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

(1) The yields for E*Trade Shares, Morgan Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.79)%, (0.34)%, (0.44)% and (0.79)% for E*Trade Shares, Morgan Shares, Reserve Shares and Service Shares, respectively.

* A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

** Percentages based on total value of investments as of February 29, 2012.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan New York Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

4 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan Ohio Municipal Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Seeks as high a level of current interest income exempt from federal income tax and Ohio personal income tax as is consistent with capital preservation and stability of principal*
Primary Investment	High-quality short-term municipal securities issued in Ohio, which provide tax-exempt income
Suggested investment time frame	Short-term
Share classes offered	Morgan, Premier, Reserve and Service
Net Assets as of 2/29/2012	$76.8 Million
Weighted Average Maturity^	10 days
Weighted Average Life^^	10 days

MATURITY SCHEDULE**^
1 day	17.4	%
2–7 days	79.3
61–90 days	0.7
91–180 days	1.3
181+ days	1.3

7-DAY SEC YIELD (1)
Morgan Shares	0.00	%
Premier Shares	0.00
Reserve Shares	0.00
Service Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

(1) The yields for Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.54)%, (0.39)%, (0.64)% and (0.99)% for Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

* A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

** Percentages based on total value of investments as of February 29, 2012.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Ohio Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 5

JPMorgan California Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Commercial Paper — 8.5% (n)
		California — 8.5%
		California Statewide Communities Development Authority,
	20,000	0.240%, 05/01/12 - 08/12/12		20,000
	15,000	0.260%, 08/15/12		15,000
	20,000	0.270%, 11/01/12		20,000
	14,209	City of San Jose, 0.190%, 03/12/12		14,209
		San Diego County Water Authority,
	10,000	0.200%, 04/04/12		10,000
	28,600	0.220%, 04/12/12		28,600
	8,365	San Gabriel Valley Council of Governments, 0.220%, 04/12/12		8,365
	3,100	Woodland Finance Authority, 0.150%, 03/13/12		3,100
		Total Commercial Paper (Cost $119,274 )		119,274
	Daily Demand Notes — 0.4%
		California — 0.4%
	500	California Educational Facilities Authority, Chapman University, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/01/12		500
	400	California Health Facilities Financing Authority, Hospital Adventist, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/01/12		400
	1,900	California Municipal Finance Authority, Chevron USA, Recovery Zone, Rev., VRDO, 0.120%, 03/01/12		1,900
	400	City of Irvine, Improvement Bond Act of 1915, District No. 03-19, Special Assessment, Series B, VRDO, LOC: U.S. Bank N.A., 0.120%, 03/01/12		400
	2,700	Orange County Sanitation District, Series B, COP, VRDO, 0.120%, 03/01/12		2,700
		Total Daily Demand Notes (Cost $5,900 )		5,900
	Municipal Bonds — 7.3%
		California — 7.3%
	6,700	Ceres Unified School District, GO, TRAN, 3.000%, 05/01/12		6,727
	5,000	City of Los Angeles, GO, TRAN, 2.500%, 04/30/12		5,018
	8,000	City of Oakland, GO, TRAN, 2.000%, 06/29/12		8,042
	10,000	County of Riverside, Series B, GO, TRAN, 2.000%, 06/29/12		10,055
	10,000	Kern County, GO, TRAN, 3.000%, 06/29/12		10,089
	5,500	Los Angeles County, Series C, GO, TRAN, 2.500%, 06/29/12		5,538

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
	7,400	Petaluma City Elementary School District, GO, TRAN, 1.500%, 06/01/12		7,420
	2,150	San Bernardino County Transportation Authority, Series A, Rev., 4.000%, 05/01/12		2,163
	5,000	South Coast Local Education Agencies, Series A, Rev., TRAN, 2.000%, 06/29/12		5,027
	39,320	State of California, Series A-2, Rev., 2.000%, 06/26/12		39,527
	3,000	Western Placer Unified School District, GO, TRAN, 2.000%, 10/04/12		3,023
		Total Municipal Bonds (Cost $102,629 )		102,629
	Semi-Annual Demand Note — 0.6%
		California — 0.6%
	8,330	Deutsche Bank Spears/Lifers Trust Various States, Series DB-324, GO, VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12 Total Semi-Annual Demand Notes (Cost $8,330)		8,330
	Weekly Demand Notes — 75.9%
		California — 74.7%
	1,100	Abag Finance Authority for Nonprofit Corps. Housing, Arbors Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.150%, 03/07/12		1,100
	6,750	Abag Finance Authority for Nonprofit Corps., Branson School, Rev., VRDO, LOC: Northern Trust Co., 0.130%, 03/07/12		6,750
	7,280	Abag Finance Authority for Nonprofit Corps., San Francisco Friends School, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12		7,280
	9,795	Abag Finance Authority for Nonprofit Corps., YMCA San Francisco, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.160%, 03/07/12		9,795
	6,580	Abag Finance Authority for Nonprofit Corps., Zoological Society, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12		6,580
	20,000	Anaheim Public Financing Authority, Series ROCS-RR-II-R-861, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.310%, 03/07/12		20,000
		Austin Trust,
	3,180	Series 2008-1134, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.360%, 03/07/12		3,180
	5,315	Series 2008-1154, GO, VRDO, AGM, LIQ: Bank of America N.A., 0.260%, 03/07/12		5,315

SEE NOTES TO FINANCIAL STATEMENTS.

6 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		California — Continued
	6,665	Series 2008-3039X, GO, VRDO, AGM, LIQ: Bank of America N.A., 0.260%, 03/07/12		6,665
	8,680	Series 2008-3301, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.360%, 03/07/12		8,680
		Barclays Capital Municipal Trust Receipts,
	5,200	Series 11B, Rev., VRDO, LIQ: Barclays Bank plc, 0.140%, 03/07/12 (e)		5,200
	8,690	Series 22B, GO, VRDO, LIQ: Barclays Bank plc, 0.220%, 03/07/12 (e)		8,690
	8,945	Series 23B, Rev., VRDO, LIQ: Barclays Bank plc, 0.150%, 03/07/12 (e)		8,945
	3,750	Series 2W, Rev., VRDO, LIQ: Barclays Bank plc, 0.150%, 03/07/12 (e)		3,750
	4,700	Series 8B, Rev., VRDO, LIQ: Barclays Bank plc, 0.150%, 03/07/12 (e)		4,700
	2,000	Bay Area Toll Authority, California Toll Sanitary Francisco Bay Area, Series D-1, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.110%, 03/07/12		2,000
	2,000	Bay Area Toll Authority, Toll Bridge, San Francisco Bay Toll Bridge, Series C-4, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.140%, 03/07/12		2,000
	100	Beaumont Utility Authority, Wastewater Enterprise Project, Series A, Rev., VRDO, LOC: Union Bank of CA N.A., 0.120%, 03/07/12		100
		California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project,
	1,400	Rev., VRDO, LOC: U.S. Bank N.A., 0.170%, 03/07/12		1,400
	4,800	Rev., VRDO, LOC: Union Bank of CA N.A., 0.170%, 03/07/12		4,800
	20,000	California Health Facilities Financing Authority, St. Joseph Health System, Series A, Rev., VRDO, LOC: Union Bank N.A., 0.120%, 03/07/12		20,000
	7,950	California Housing Finance Agency, Series 3206, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.460%, 03/07/12 (e)		7,950
	3,425	California Housing Finance Agency, Multi-Family Housing, Series B, Rev., VRDO, LOC: FNMA, 0.130%, 03/07/12		3,425
	4,620	California Housing Finance Agency, Multi-Family Housing, Mission Apartments, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.170%, 03/07/12		4,620
	4,900	California Housing Finance Agency, Single-Family, Home Mortgage, Series K, Rev., VRDO, AMT, LOC: FHLMC, 0.120%, 03/07/12		4,900

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
	4,775	California Infrastructure & Economic Development Bank, IDR, Elite Leather Co. Project, Rev., VRDO, LOC: Union Bank of CA N.A., 0.180%, 03/07/12		4,775
	2,640	California Infrastructure & Economic Development Bank, Kruger & Sons, Inc. Project, Rev., VRDO, AMT, LOC: Bank of The West, 0.230%, 03/07/12		2,640
	4,540	California Infrastructure & Economic Development Bank, M.A. Silva Corks USA LLC Project, Rev., VRDO, LOC: Bank of America N.A., 0.380%, 03/07/12		4,540
	11,320	California Municipal Finance Authority, Boy Scouts America, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		11,320
	10,000	California Municipal Finance Authority, Westmont College, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.140%, 03/07/12		10,000
	5,000	California State Department of Veterans Affairs, Series ROCS-RR-II-R-11444, Rev., VRDO, LIQ: Citibank N.A., 0.220%, 03/07/12		5,000
	5,685	California State University, Series 3170X, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		5,685
		California Statewide Communities Development Authority,
	8,075	Series 2089, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.190%, 03/07/12		8,075
	9,590	Series 3048, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.280%, 03/07/12 (e)		9,590
	21,660	California Statewide Communities Development Authority, Cathedral High School Project, Rev., VRDO, 0.230%, 03/07/12		21,660
	14,900	California Statewide Communities Development Authority, Gas Supply, Rev., VRDO, 0.150%, 03/07/12		14,900
	8,500	California Statewide Communities Development Authority, Health Facility Community Hospital, Rev., VRDO, LOC: U.S. Bank N.A., 0.110%, 03/07/12		8,500
		California Statewide Communities Development Authority, Kaiser Permanente,
	10,000	Series A, Rev., VRDO, 0.130%, 03/07/12		10,000
	16,200	Series B, Rev., VRDO, 0.130%, 03/07/12		16,200
	400	Series L, Rev., VRDO, 0.130%, 03/07/12		400
	5,620	California Statewide Communities Development Authority, Multi-Family Housing, Golden Age Garden Apartments, Series H, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.150%, 03/07/12		5,620

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 7

JPMorgan California Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		California — Continued
	2,700	California Statewide Communities Development Authority, Multi-Family Housing, Hermosa Vista Apts, Series XX, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		2,700
	3,210	California Statewide Communities Development Authority, Multi-Family Housing, Horizons Indio, Series F, Rev., VRDO, LOC: Citibank N.A., 0.220%, 03/07/12		3,210
	6,500	California Statewide Communities Development Authority, Multi-Family Housing, Mariners Pointe, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.150%, 03/07/12		6,500
	6,000	California Statewide Communities Development Authority, Multi-Family Housing, Oakmont Concord Project, Series Q, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		6,000
	14,000	California Statewide Communities Development Authority, New Morgan Hill Country School, Rev., VRDO, LOC: Comerica Bank, 0.170%, 03/07/12		14,000
	9,585	City of Corcoran, Water System Project, COP, VRDO, LOC: Union Bank of CA N.A., 0.160%, 03/07/12		9,585
	3,180	City of Hayward, Multi-Family Housing, Shorewood, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.170%, 03/07/12		3,180
	4,750	City of Hemet, Multi-Family Housing, Sunwest Retirement, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.140%, 03/07/12		4,750
	600	City of Livermore, Capital Improvement Projects, COP, VRDO, LOC: U.S. Bank N.A., 0.140%, 03/07/12		600
	6,400	City of Livermore, Multi-Family Housing, Diablo Vista Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.110%, 03/07/12		6,400
	8,185	City of Los Angeles, Wastewater Systems, EAGLE, Series 2006-0013, Class A, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.160%, 03/07/12		8,185
	3,500	City of Manhattan Beach, COP, VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		3,500
	3,025	City of Modesto, Multi-Family Housing, Valley Oak Project, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		3,025
	4,000	City of Modesto, Multi-Family Housing, Westdale Commons, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.110%, 03/07/12		4,000
	9,700	City of Ontario, Multi-Family Housing, Park Centre Apartments, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.120%, 03/07/12		9,700

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
	8,200	City of Pasadena, Series A, COP, VRDO, LOC: Bank of America N.A., 0.180%, 03/07/12		8,200
	4,800	City of Riverside, Electric Revenue, Series 2008 A, Rev., VRDO, LOC: Bank of America N.A., 0.190%, 03/07/12		4,800
	900	City of Vacaville, Multi-Family Housing, Sycamores Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		900
	5,900	City of Walnut Creek, Multi-Family Housing, Creekside Drive, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		5,900
	5,600	Contra Costa County Housing Authority, Multi-Family Housing, Lakeshore, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.110%, 03/07/12		5,600
		Deutsche Bank Spears/Lifers Trust Various States,
	8,425	Series DB-304, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		8,425
	8,365	Series DB-419, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		8,365
	23,725	Series DB-422, GO, VRDO, AGM, NATL-RE, AMBAC, FGIC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		23,725
	11,600	Series DB-424, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12 (e)		11,600
	8,260	Series DB-429, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		8,260
	7,265	Series DB-629, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		7,265
	14,780	Series DB-634, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		14,780
	8,127	Series DB-648, GO, VRDO, AGM, NATL-RE, FGIC, LIQ: Deutsche Bank AG, 0.250%, 03/07/12		8,127
	12,549	Series DB-657, GO, VRDO, AGC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		12,549
	10,000	Series DB-665, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		10,000
	5,530	Series DB-681, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		5,530
	11,770	Series DBE-1011, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		11,770
	6,700	Deutsche Bank Spears/Lifers Trust Various States, Tax Allocation, Series DB-294, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		6,700
	7,990	Eclipse Funding Trust, Solar Eclipse, California, Series 2006-0065, Rev., VRDO, LIQ: U.S.Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		7,990

SEE NOTES TO FINANCIAL STATEMENTS.

8 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		California — Continued
	8,070	Eclipse Funding Trust, Solar Eclipse, Los Angeles, Series 2006-0037, Rev., VRDO, AGM, LIQ: U.S.Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		8,070
	13,330	Eclipse Funding Trust, Solar Eclipse, Sacramento, Series 2006-0079, COP, VRDO, LIQ: U.S.Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		13,330
	10,460	Eclipse Funding Trust, Solar Eclipse, San Jose, Series 2007-0037, Rev., VRDO, LIQ: U.S.Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,460
	10,535	Eclipse Funding Trust, Solar Eclipse, San Mateo, Tax Allocation, Series 2006-0052, VRDO, LIQ: U.S.Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,535
	7,015	Eclipse Funding Trust, Solar Eclipse, Santa Cruz, Tax Allocation, Series 2006-0031, VRDO, LIQ: U.S.Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		7,015
	5,000	Golden State Tobacco Securitization Corp, Series 2215, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.310%, 03/07/12		5,000
	7,425	Grossmont-Cuyamaca Community College District, Series ROCS-RR-II-R-11519, GO, VRDO, AGC, LIQ: Citibank N.A., 0.180%, 03/07/12		7,425
	490	Hesperia Public Financing Authority, Water & Administration Facilities, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/12		490
	4,100	Irvine Ranch Water District, Nos. 105, 140, 240, 250, GO, VRDO, LOC: Sumitomo Mitsui Banking, 0.120%, 03/07/12		4,100
	8,255	Lake Elsinore Recreation Authority, Public Facilities Project, Series A, Rev., VRDO, LOC: Citibank N.A., 0.160%, 03/07/12		8,255
	3,965	Long Beach Unified School District, Series 3022, GO, VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		3,965
		Los Angeles Community College District,
	10,800	Series ROCS-RR-II-R-11768, GO, VRDO, AGM-CR-FGIC, LIQ: Citibank N.A., 0.190%, 03/07/12 (e)		10,800
	5,750	Series ROCS-RR-II-R-11773, GO, VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		5,750
	2,700	Los Angeles Community Redevelopment Agency, Met Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.090%, 03/07/12		2,700

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
	1,586	Los Angeles Community Redevelopment Agency, Views at 270, Series A, Rev., VRDO, LOC: Citibank N.A., 0.180%, 03/07/12		1,586
	3,400	Los Angeles County Community Development Commission, Willowbrook Project, COP, VRDO, LOC: Wells Fargo Bank N.A., 0.190%, 03/07/12		3,400
	6,040	Los Angeles County Housing Authority, Multi-Family Housing, Sand Canyon, Series F, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.150%, 03/07/12		6,040
	3,200	Los Angeles County, Multi-Family Housing, 1984 Issue, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		3,200
	1,325	Los Angeles County, Multi-Family Housing, Valencia Housing Project, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.140%, 03/07/12		1,325
	20,000	Los Angeles Unified School District, Administration Building Project, Series A, COP, VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12		20,000
	13,000	Metropolitan Water District of Southern California, Series A-2, Rev., VRDO, 0.120%, 03/07/12		13,000
	14,750	Modesto Irrigation District Financing Authority, Municipal Securities Trust Receipts, Series A, Class A, Rev., VRDO, NATL-RE, LIQ: Societe Generale, LOC: Societe Generale, 0.750%, 03/07/12		14,750
	2,135	Orange County Housing Authority, Multi-Family Housing, Lantern Pines Project, Series CC, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		2,135
	5,900	Orange County, Riverbend, Series B, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.120%, 03/07/12		5,900
	1,810	Orange County, Villas La Paz, Series F, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		1,810
	5,250	Orange County, WLCO LF Partners, Series G3, Rev., VRDO, FNMA, LIQ: FNMA, 0.120%, 03/07/12		5,250
	5,800	Pittsburg Public Financing Authority, Rev., VRDO, LOC: Bank of The West, 0.420%, 03/07/12		5,800
		Puttable Floating Option Tax-Exempt Receipts,
	5,000	Series PT-4433, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.150%, 03/07/12		5,000
	6,960	Series PT-4574, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/12		6,960

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 9

JPMorgan California Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		California — Continued
	3,340	Series PT-4665, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		3,340
	5,000	Series PT-4671, Rev., VRDO, LIQ: Bank of America N.A., 0.360%, 03/07/12 (e)		5,000
	11,480	Series PT-4672, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.320%, 03/07/12 (e)		11,480
	4,000	Series PT-4694, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		4,000
	10,270	Series PT-4698, Rev., VRDO, AMBAC, LIQ: Bank of America N.A., 0.420%, 03/07/12 (e)		10,270
	20,000	RBC Municipal Products, Inc. Trust, Series E-21, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12 (e)		20,000
		Sacramento County Sanitation Districts Financing Authority, Municipal Securities Trust Receipts,
	23,900	Series SGC-48, Class A, Rev., VRDO, FGIC, LIQ: Societe Generale, LOC: Societe Generale, 0.750%, 03/07/12		23,900
	4,700	Series SGC-49, Class A, Rev., VRDO, FGIC, LIQ: Societe Generale, LOC: Societe Generale, 0.750%, 03/07/12 (e)		4,700
	5,000	Sacramento County, Airport Systems, Series ROCS-RR-II-R-11977, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.170%, 03/07/12 (e) (m)		5,000
	1,300	Sacramento Housing Authority, Multi-Family Housing, Lofts at Natomas Apartments, 0.140%, 03/07/12		1,300
	2,200	San Bernardino County, Multi-Family Housing, Rosewood Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		2,200
	800	San Bernardino County, Multi-Family Housing, Somerset Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		800
	3,700	San Diego County Foundation, COP, VRDO, LOC: U.S. Bank N.A., 0.140%, 03/07/12		3,700
	2,600	San Francisco City & County Airports Commission, Second Series, Series 36C, Rev., VRDO, LOC: U.S. Bank N.A., 0.110%, 03/07/12		2,600
	19,465	San Francisco City & County Public Utilities Commission, Series 2190, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.210%, 03/07/12		19,465
	30,865	San Francisco City & County Public Utilities Commission, MERLOTS, Series B20, Rev., VRDO, NATL-RE, 0.320%, 03/07/12		30,865

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
	1,000	San Francisco City & County Redevelopment Agency, Maria Manor Apartments, Series F, Rev., VRDO, LOC: Citibank N.A., 0.150%, 03/07/12		1,000
	1,000	San Francisco City & County, Multi-Family Housing, Folsom Dore Apartment Project, Rev., VRDO, LOC: Citibank N.A., 0.180%, 03/07/12		1,000
	2,169	San Jose, Multi-Family Housing, Sunset Square Apartments Project, Series E, Rev., VRDO, LOC: Citibank N.A., 0.200%, 03/07/12		2,169
	1,220	San Rafael Redevelopment Agency, Multi-Family Housing, Commons Apartments, Series A, Rev., VRDO, LOC: Citibank N.A., 0.180%, 03/07/12		1,220
	3,100	Santa Ana Housing Authority, Multi-Family Housing, Harbor Pointe Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		3,100
	1,200	Santa Clara County Financing Authority, Housing Authority Office Project, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.140%, 03/07/12		1,200
	14,000	Santa Clara County Financing Authority, Multiple Facilities Projects, Series M, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		14,000
	10,265	Santa Clara Valley Transportation Authority, Series C, Rev., VRDO, 0.130%, 03/07/12		10,265
	600	Southern California Public Power Authority, Palo Verde, Subseries B, Rev., VRDO, LOC: Citibank N.A., 0.150%, 03/07/12		600
	30,355	State of California, Economic Recovery, Series C-11, GO, VRDO, LOC: BNP Paribas, 0.300%, 03/07/12		30,355
		State of California, Kindergarten,
	9,800	Series A6, GO, VRDO, LOC: Citibank N.A., 0.140%, 03/07/12		9,800
	2,500	Series A8, GO, VRDO, LOC: Citibank N.A., 0.140%, 03/07/12		2,500
	2,015	Town of Windsor, Multi-Family Housing, Oakmont at Windsor, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		2,015
		University of California,
	4,495	Series 1119, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12		4,495
	42,980	Series 2902, Rev., VRDO, AMBAC, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12		42,980
	4,000	Upland Housing Authority, Multi-Family Housing, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.150%, 03/07/12		4,000

SEE NOTES TO FINANCIAL STATEMENTS.

10 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		California — Continued
		Wells Fargo Stage Trust,
	9,725	Series 2009-37C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		9,725
	8,700	Series 55C, GO, VRDO, AMBAC, LIQ: Wells Fargo Bank N.A., 0.270%, 03/07/12 (e)		8,700
	2,245	Series 68C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		2,245
	175	Series 75Z, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		175
	225	Series 91Z, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		225
				1,046,991
		Puerto Rico — 1.2%
	16,700	Commonwealth of Puerto Rico Public Improvement, Series C, GO, VRDO, AGM, LOC: Barclays Bank plc, 0.140%, 03/07/12		16,700
		Total Weekly Demand Notes (Cost $1,063,691 )		1,063,691
SHARES
	Variable Rate Demand Preferred Shares — 7.6%
	20,000	BlackRock MuniYield California Fund, Inc., LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		20,000
	35,000	Nuveen California Dividend Advantage Municipal Fund, Inc., LIQ: Citibank N.A., 0.310%, 03/07/12 # (e)		35,000

SHARES		SECURITY DESCRIPTION	VALUE($)
	Variable Rate Demand Preferred Shares — Continued
	10,000	Nuveen California Investment Quality Fund, Inc., VAR, LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		10,000
	9,000	Nuveen California Performance Plus Municipal Fund, Inc., VAR, LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		9,000
	26,500	Nuveen California Quality Premium Income Municipal Fund, Inc., VAR, LIQ: Deutsche Bank AG, 0.300%, 03/07/12 # (e)		26,500
	6,000	Nuveen California Quality Income Municipal Fund, Inc., LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		6,000
		Total Variable Rate Demand Preferred Shares (Cost $106,500)		106,500
		Total Investments — 100.3% (Cost $1,406,324)*		1,406,324
		Liabilities in Excess of Other Assets — (0.3)%		(3,603	)
		NET ASSETS — 100.0%	$	1,402,721

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 11

JPMorgan Michigan Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Daily Demand Notes — 15.3%
		Michigan — 15.3%
	1,970	Farmington Hills Hospital Finance Authority, Botsford Obligated, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.150%, 03/01/12		1,970
	2,720	Michigan State Hospital Finance Authority, Crittenton Hospital, Series A, Rev., VRDO, LOC: Comerica Bank, 0.160%, 03/01/12		2,720
	9,215	Michigan State Housing Development Authority, Multi-Family Housing, Jackson Project, Rev., VRDO, LOC: FHLB, 0.180%, 03/01/12		9,215
		Michigan State Housing Development Authority, Rental Housing,
	6,645	Series A, Rev., VRDO, AMT, AGM, 0.500%, 03/01/12		6,645
	1,385	Series C, Rev., VRDO, AMT, AGM, 0.500%, 03/01/12		1,385
		University of Michigan, Hospital,
	300	Series A, Rev., VRDO, 0.130%, 03/01/12		300
	900	Series A-2, Rev., VRDO, 0.130%, 03/01/12		900
		Total Daily Demand Notes (Cost $23,135)		23,135
	Municipal Bonds — 4.0%
		Michigan — 4.0%
	4,000	Michigan Finance Authority, Series C-1, Rev., 2.000%, 08/20/12		4,026
	2,000	Michigan State Housing Development Authority, Series A, Rev., 1.375%, 04/01/12		2,001
		Total Municipal Bonds (Cost $6,027)		6,027
	Weekly Demand Notes — 74.8%
		Michigan — 74.8%
		Austin Trust,
	1,575	Series 2007-1009, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.330%, 03/07/12 (m)		1,575
	830	Series 2008-1096, GO, VRDO, NATL-RE, Q-SBLF, LIQ: Bank of America N.A., 0.290%, 03/07/12		830
	1,000	City of Grand Rapids, Clipper Belt Lacer Co. Project, Rev., VRDO, LOC: Bank of America N.A., 0.470%, 03/07/12		1,000
		Detroit City School District,
	4,100	Series ROCS-RR-II-R-11784, GO, VRDO, AGM, Q-SBLF, LIQ: Citibank N.A., 0.310%, 03/07/12 (e)		4,100
	8,700	Series ROCS-RR-II-R-12251, GO, VRDO, BHAC-CR, AGM-CR, FGIC, Q-SBLF, 0.310%, 03/07/12 (e)		8,700
		Deutsche Bank Spears/Lifers Trust Various States,
	385	Series DB-302, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		385

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Michigan — Continued
	4,540	Series DBE-711, Rev., VRDO, LIQ: Deutsche Bank Trust Services, 0.220%, 03/07/12 (e)		4,540
	7,430	Series DBE-1010, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		7,430
	5,000	Eclipse Funding Trust, Solar Eclipse, Detroit, Series 2006-0001, GO, VRDO, AGM, Q-SBLF, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		5,000
	4,865	Holt Public Schools, GO, VRDO, Q-SBLF, 0.260%, 03/07/12		4,865
	1,935	Jackson County Economic Development Corp., Melling Tool Co. Project, Rev., VRDO, LOC: Comerica Bank, 0.260%, 03/07/12		1,935
	500	Lakeview School District, Calhoun, School Building & Site, Series B, GO, VRDO, Q-SBLF, LIQ: Landesbank Hessen-Thuringen, 0.260%, 03/07/12		500
	890	Michigan Higher Education Facilities Authority, Law School Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.120%, 03/07/12		890
	6,100	Michigan State Hospital Finance Authority, Ascension Health, Series F-8, Rev., VRDO, 0.250%, 09/26/12 (i)		6,100
	3,900	Michigan State Housing Development Authority, Canterbury Housing, Limited Obligation, Series A, Rev., VRDO, LOC: Lasalle Bank N.A., 0.280%, 03/07/12		3,900
	1,475	Michigan State Housing Development Authority, Multi-Family Housing, Series C, Rev., VRDO, AMT, 0.140%, 03/07/12		1,475
	2,960	Michigan State Housing Development Authority, Multi-Family Housing, Canton Club, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.170%, 03/07/12		2,960
	4,090	Michigan State Housing Development Authority, Multi-Family Housing, Courtyards of Taylor, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		4,090
	300	Michigan State Housing Development Authority, Multi-Family Housing, Parks of Taylor Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		300
	1,000	Michigan State Housing Development Authority, Non AMT, Non ACE, Series D, Rev., VRDO, LOC: FNMA, 0.130%, 03/07/12		1,000
		Michigan State Housing Development Authority, Rental Housing,
	1,500	Series C, Rev., VRDO, AMT, 0.130%, 03/07/12		1,500
	425	Series D, Rev., VRDO, AMT, 0.140%, 03/07/12		425

SEE NOTES TO FINANCIAL STATEMENTS.

12 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		Michigan — Continued
		Michigan State Housing Development Authority, Single Family Housing,
	6,180	Series B, Rev., VRDO, AMT, LOC: FNMA, 0.150%, 03/07/12		6,180
	800	Series D, Rev., VRDO, AMT, 0.160%, 03/07/12		800
	1,800	Michigan State University, Rev., VRDO, 0.210%, 03/07/12		1,800
	800	Michigan Strategic Fund, Artex Label & Graphics, Rev., VRDO, LOC: U.S. Bank N.A., 0.350%, 03/07/12		800
	1,400	Michigan Strategic Fund, B&C Leasing LLC Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.530%, 03/07/12		1,400
	1,000	Michigan Strategic Fund, Bayloff Properties LLC Project, Rev., VRDO, LOC: PNC Bank N.A., 0.270%, 03/07/12		1,000
	2,010	Michigan Strategic Fund, Enovateit LLC Project, Rev., VRDO, LOC: Comerica Bank, 0.210%, 03/07/12		2,010
	1,000	Michigan Strategic Fund, Grayling Generating Project, Rev., VRDO, LOC: Barclays Bank New York, 0.140%, 03/07/12		1,000
	970	Michigan Strategic Fund, Merchants LLC Project, Rev., VRDO, LOC: PNC Bank N.A., 0.210%, 03/07/12		970
	910	Michigan Strategic Fund, Printing System, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.260%, 03/07/12		910
	1,720	Michigan Strategic Fund, Southwest Ventures Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.300%, 03/07/12		1,720
	2,400	Michigan Strategic Fund, Sur-Flow Plastics, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.260%, 03/07/12		2,400
	500	Michigan Strategic Fund, Transnav Technologies, Inc., Rev., VRDO, LOC: Lasalle Bank Midwest, 0.530%, 03/07/12		500
	4,345	Milan Area Schools, GO, VRDO, Q-SBLF, LOC: Landesbank Hessen-Thuringen, 0.260%, 03/07/12		4,345
	1,630	Oakland County EDC, A&M Label Project, Rev., VRDO, LOC: PNC Bank N.A., 0.210%, 03/07/12		1,630

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Michigan — Continued
	2,300	Oakland County EDC, Exhibit Enterprises, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.260%, 03/07/12		2,300
		Puttable Floating Option Tax-Exempt Receipts,
	1,240	Series MT-631, Rev., VRDO, LIQ: Bank of America N.A., 1.250%, 03/07/12 (e)		1,240
	3,750	Series PT-4700, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		3,750
		RBC Municipal Products, Inc. Trust, Floater Certificates,
	4,420	Series L-26, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12		4,420
	5,950	Series L-29, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12		5,950
	400	Saline Area Schools, GO, VRDO, Q-SBLF, LOC: Landesbank Hessen-Thuringen, 0.260%, 03/07/12		400
	4,430	Wells Fargo Stage Trust, Floater Certificates, Series 33C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		4,430
		Total Weekly Demand Notes (Cost $113,455 )		113,455
SHARES
	Variable Rate Demand Preferred Shares — 5.9%
	5,000	BlackRock MuniYield Michigan Quality Fund II, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		5,000
	4,000	BlackRock MuniYield Michigan Quality Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		4,000
		Total Variable Rate Demand Preferred Shares (Cost $9,000)		9,000
		Total Investments — 100.0% (Cost $151,617)*		151,617
		Other Assets in Excess of Liabilities — 0.0% (g)		57
		NET ASSETS — 100.0%	$	151,674

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 13

JPMorgan New York Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Daily Demand Notes — 3.3%
		New York — 3.3%
	7,800	Long Island Power Authority, Electric Systems, Series 2, Subseries 2B, Rev., VRDO, LOC:Bayerische Landesbank, 0.180%, 03/01/12		7,800
	1,750	Metropolitan Transportation Authority, Subseries D-2, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.200%, 03/01/12		1,750
		New York City,
	9,150	Series A-3, GO, VRDO, LIQ:Landesbank Hessen-Thuringen, 0.180%, 03/01/12		9,150
	4,500	Subseries A-4, GO, VRDO, LOC:Bayerische Landesbank, 0.120%, 03/01/12		4,500
	1,300	Subseries E-4, GO, VRDO, LOC:BNP Paribas, 0.130%, 03/01/12		1,300
	5,825	New York City Municipal Water Finance Authority, Series F, Subseries F-2, Rev., VRDO, 0.180%, 03/01/12		5,825
	2,000	New York City Municipal Water Finance Authority, General Resolution, Subseries FF-1, Rev., VRDO, 0.190%, 03/01/12		2,000
	900	New York City Transitional Finance Authority, Future Tax Secured, Series B, Rev., VRDO, 0.120%, 03/01/12		900
	7,000	New York City Transitional Finance Authority, New York City Recovery, Series 3, Subseries 3-E, Rev., VRDO, 0.120%, 03/01/12		7,000
		New York City, Fiscal 2008,
	3,105	Subseries J-6, GO, VRDO, LOC:Landesbank Hessen-Thuringen, 0.180%, 03/01/12		3,105
	2,950	Subseries J-8, GO, VRDO, 0.210%, 03/01/12		2,950
	500	Trust for Cultural Resources, Lincoln Center, Series A-2, Rev., VRDO, LOC:Bank of America N.A., 0.210%, 03/01/12		500
		Total Daily Demand Notes (Cost $46,780 )		46,780
	Municipal Bonds — 9.0%
		New York — 9.0%
	15,000	Altmar-Parish-Williamstown Central School District, GO, BAN, 1.750%, 07/13/12 (m)		15,043
	12,470	Bath Central School District, GO, BAN, 1.500%, 06/15/12		12,470
	4,000	East Islip Union Free School District, GO, TAN, 1.500%, 06/29/12		4,008
	15,000	Enlarged City School District, GO, BAN, 1.500%, 11/21/12		15,078
	5,935	Essex Country, New York, GO, BAN, 1.500%, 11/16/12		5,974
	10,000	Franklinville Central School District, GO, BAN, 1.500%, 06/29/12		10,026

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	7,598	Geneva City, GO, BAN, 1.500%, 02/07/13		7,654
	3,330	Geneva City School District, GO, BAN, 1.750%, 06/22/12		3,339
	10,550	Gouverneur Central School District, GO, BAN, 1.500%, 06/22/12		10,571
	10,000	Hannibal Central School District, GO, BAN, 2.000%, 06/29/12		10,040
	2,000	Hudson Falls Central School District, GO, BAN, 1.250%, 06/29/12		2,001
	7,610	Lackawanna City School District, GO, BAN, 2.000%, 06/14/12		7,630
	5,469	Malone Central School District, GO, BAN, 1.500%, 12/28/12		5,499
	8,337	Odessa-Montour Central School District, GO, BAN, 1.500%, 06/15/12		8,356
	5,000	Schenectady City School District, GO, RAN, 2.000%, 01/18/13		5,044
	4,905	Walton Central School District, GO, BAN, 1.500%, 07/13/12		4,919
		Total Municipal Bonds (Cost $127,652 )		127,652
	Weekly Demand Notes — 77.7%
		New York — 77.0%
		Austin Trust, Various States,
	1,300	Series 2008-1067, Rev., VRDO, LIQ:Bank of America N.A., 0.290%, 03/07/12		1,300
	8,955	Series 2008-3004X, Class R, Rev., VRDO, NATL-RE, LIQ:Bank of America N.A., 0.290%, 03/07/12		8,955
	2,475	Series 2008-3506, Rev., VRDO, AGM-CR, LIQ:Bank of America N.A., 0.260%, 03/07/12		2,475
		Deutsche Bank Spears/Lifers Trust Various States,
	5,820	Series DB-1027X, Rev., VRDO, LIQ:Deutsche Bank A.G., 0.260%, 03/07/12 (e)		5,820
	6,265	Series DB-1028X, Rev., VRDO, LIQ:Deutsche Bank A.G., 0.260%, 03/07/12 (e)		6,265
	7,770	Series DB-1031X, Rev., VRDO, LIQ:Deutsche Bank A.G., 0.260%, 03/07/12 (e)		7,770
	10,000	Series DB-1033X, Rev., VRDO, LIQ:Deutsche Bank A.G., 0.260%, 03/07/12 (e)		10,000
	6,450	Series DB-1036X, Rev., VRDO, 0.260%, 03/07/12 (e)		6,450
	21,725	Series DBE-1029X, Rev., VRDO, LIQ:Deutsche Bank A.G., 0.260%, 03/07/12 (e)		21,725
	14,825	Dutchess County Industrial Development Agency, Marist College Civic Facilities, Series A, Rev., VRDO, LOC:TD Bank N.A., 0.130%, 03/07/12		14,825

SEE NOTES TO FINANCIAL STATEMENTS.

14 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		New York — Continued
	225	Eclipse Funding Trust, Solar Eclipse, Long Island, Series 2006-0119, Rev., VRDO, LIQ:U.S. Bank N.A., LOC:U.S. Bank N.A., 0.150%, 03/07/12		225
	2,415	Eclipse Funding Trust, Solar Eclipse, Metropolitan, Series 2006-0028, Rev., VRDO, LIQ:U.S. Bank N.A., LOC:U.S. Bank N.A., 0.150%, 03/07/12		2,415
	14,965	Eclipse Funding Trust, Solar Eclipse, New York, Series 2006-0045, Rev., VRDO, AGM, LIQ:U.S. Bank N.A., LOC:U.S. Bank N.A., 0.140%, 03/07/12		14,965
	6,035	Erie County Industrial Development Agency (The), Deutsche Bank Spears, Series DB-1054, Rev., VRDO, LIQ:Deutsche Bank A.G., 0.260%, 03/07/12 (e)		6,035
	1,640	Franklin County Industrial Development Agency, Trudeau Institute Inc. Project, Rev., VRDO, LOC:HSBC Bank USA N.A., 0.280%, 03/07/12		1,640
		Metropolitan Transportation Authority,
	7,400	Series A-1, Rev., VRDO, LOC:Morgan Stanley Bank, 0.150%, 03/07/12		7,400
	11,385	Series ROCS-RR-II-R-12299, Rev., VRDO, BHAC-CR, MBIA, 0.160%, 03/07/12 (e)		11,385
	27,300	Subseries D-1, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.190%, 03/07/12		27,300
	5,100	Nassau Health Care Corp., Rev., VRDO, LOC:TD Bank N.A., 0.120%, 03/07/12		5,100
		New York City,
	11,250	Series 3015, GO, VRDO, LIQ:Morgan Stanley Bank, 0.260%, 03/07/12 (e)		11,250
	10,230	Series B4, GO, VRDO, 0.200%, 03/07/12		10,230
	2,000	Series E, Subseries E-4, GO, VRDO, LOC:Bank of America N.A., 0.170%, 03/07/12		2,000
	3,800	Series F-5, GO, VRDO, LOC:Bayerische Landesbank, 0.190%, 03/07/12		3,800
	2,700	Subseries A-3, GO, VRDO, LOC:Morgan Stanley Bank, 0.120%, 03/07/12		2,700
	24,500	Subseries A-6, GO, VRDO, LOC:Mizuho Corporate Bank, 0.120%, 03/07/12		24,500
	15,560	Subseries A-6, GO, VRDO, LOC:Helaba, 0.190%, 03/07/12		15,560
	3,550	Subseries C-2, GO, VRDO, LOC:Bayerische Landesbank, 0.190%, 03/07/12		3,550
	14,670	Subseries H-2, GO, VRDO, LOC:Bank of NY Mellon, 0.100%, 03/07/12		14,670
	1,225	New York City Capital Resources Corp., Loan Enhanced Assistance, Series B, Rev., VRDO, LOC:Bank of America N.A., 0.280%, 03/07/12		1,225

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	9,950	New York City Housing Development Corp., Series 2899, Rev., VRDO, LIQ:Morgan Stanley Bank, 0.260%, 03/07/12		9,950
		New York City Housing Development Corp., Multi-Family Housing,
	6,900	Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		6,900
	6,970	Series ROCS-RR-II-R-13100, Rev., VRDO, LIQ:Citibank N.A., 0.180%, 03/07/12 (e)		6,970
	26,000	New York City Housing Development Corp., Multi-Family Housing, 20 Exchange Place, Series A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.200%, 03/07/12		26,000
	3,900	New York City Housing Development Corp., Multi-Family Housing, 90 Washington Street, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.090%, 03/07/12		3,900
	10,300	New York City Housing Development Corp., Multi-Family Housing, 90 West Street, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		10,300
	3,350	New York City Housing Development Corp., Multi-Family Housing, Bruckner, Series A, Rev., VRDO, LOC:Bank of America N.A., 0.250%, 03/07/12		3,350
	7,000	New York City Housing Development Corp., Multi-Family Housing, Elliott Chelsea Development, Series A, Rev., VRDO, LOC:Citibank N.A., 0.210%, 03/07/12		7,000
	10,500	New York City Housing Development Corp., Multi-Family Housing, Lexington Courts, Series A, Rev., VRDO, LIQ:FHLMC, 0.130%, 03/07/12		10,500
	100	New York City Housing Development Corp., Multi-Family Housing, Marseilles Apartments, Series A, Rev., VRDO, LOC:Citibank N.A., 0.140%, 03/07/12		100
	2,500	New York City Housing Development Corp., Multi-Family Housing, Mortgage-Odgen Avenue Apartments II, Series A, Rev., VRDO, FHLMC, LOC:FHLMC, 0.150%, 03/07/12		2,500
	7,200	New York City Housing Development Corp., Multi-Family Housing, Royal Properties, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.100%, 03/07/12		7,200
	1,605	New York City Housing Development Corp., Multi-Family Housing, The Plaza, Series A, Rev., VRDO, LOC:Citibank N.A., 0.180%, 03/07/12		1,605

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 15

JPMorgan New York Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		New York — Continued
	13,700	New York City Industrial Development Agency, Grace Church School Project, Rev., VRDO, LOC:M&T Bank, 0.180%, 03/07/12		13,700
	36,600	New York City Industrial Development Agency, Liberty Facilities Hanson Office, Rev., VRDO, LOC:ING Bank N.V., 0.140%, 03/07/12		36,600
	3,900	New York City Industrial Development Agency, New York Congregational Nursing, Series A, Rev., VRDO, LOC:HSBC Bank USA N.A., 0.160%, 03/07/12		3,900
	10,000	New York City Municipal Water Finance Authority, Water & Sewer Systems, 2nd Generation, Fiscal 2008, Series BB-4, Rev., VRDO, 0.440%, 03/07/12		10,000
		New York City Transitional Finance Authority,
	8,850	Series ROCS-RR-II-R-12054, Rev., VRDO, AGM-CR, FGIC, LIQ:Citibank N.A., 0.170%, 03/07/12		8,850
	7,935	Subseries 2-D, Rev., VRDO, LIQ:LLoyds TSB Bank plc, 0.120%, 03/07/12		7,935
	1,100	New York City Transitional Finance Authority, EAGLE, Series 2007-0004, Class A, Rev., VRDO, AGM-CR, FGIC, LIQ:Citibank N.A., 0.170%, 03/07/12		1,100
		New York City Transitional Finance Authority, Future Tax Secured,
	600	Series A-2, Rev., VRDO, 0.110%, 03/07/12		600
	4,800	Subseries F-5, Rev., VRDO, LOC:Sumitomo Mitsui Banking, 0.090%, 03/07/12		4,800
		New York City Transitional Finance Authority, New York City Recovery,
	20,635	Series 1, Subseries 1E, Rev., VRDO, LIQ:Bayerische Landesbank, 0.130%, 03/07/12		20,635
	9,750	Series 3, Subseries 3-G, Rev., VRDO, 0.110%, 03/07/12		9,750
		New York Liberty Development Corp.,
	10,000	Series 3226, Rev., VRDO, LIQ:Morgan Stanley Bank, 0.260%, 03/07/12 (e)		10,000
	20,420	Series 3232, Rev., VRDO, LIQ:Morgan Stanley Bank, 0.260%, 03/07/12 (e)		20,420
	1,700	Series ROCS-RR-II-R-11883, Rev., VRDO, LIQ:Citibank N.A., 0.160%, 03/07/12 (e)		1,700
	7,500	Series ROCS-RR-II-R-11937, Rev., VRDO, LIQ:Citibank N.A., 0.160%, 03/07/12 (e)		7,500
	2,525	New York Liberty Development Project, Series ROCS-RR-II-R-11868, Rev., VRDO, LIQ:Citibank N.A., 0.160%, 03/07/12 (e)		2,525

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	3,050	New York Local Government Assistance Corp., Series C, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.160%, 03/07/12		3,050
	3,350	New York Mortgage Agency, Series ROCS-RR-II-R-11708, Rev., VRDO, LIQ:Citibank N.A., 0.210%, 03/07/12 (e)		3,350
	17,700	New York Mortgage Agency, Homeowner Mortgage, Series 125, Rev., VRDO, AMT, 0.140%, 03/07/12		17,700
		New York State Dormitory Authority,
	2,900	Series ROCS-RR-II-R-11479, Rev., VRDO, LIQ:Citibank N.A., 0.170%, 03/07/12		2,900
	9,240	Series ROCS-RR-II-R-11559, Rev., VRDO, BHAC-CR, AGC, LIQ:Citibank N.A., 0.170%, 03/07/12		9,240
	6,175	Series ROCS-RR-II-R-11816, Rev., VRDO, LIQ:Citibank N.A., 0.180%, 03/07/12 (e)		6,175
	8,000	Series ROCS-RR-II-R-11843, Rev., VRDO, BHAC-CR, LIQ:Citibank N.A., 0.160%, 03/07/12 (e)		8,000
	15,830	Series ROCS-RR-II-R-12121, Rev., VRDO, LIQ:Citibank N.A., 0.190%, 03/07/12		15,830
	10,000	New York State Dormitory Authority, City University, Series C, Rev., VRDO, LOC:Bank of America N.A., 0.200%, 03/07/12		10,000
	18,025	New York State Dormitory Authority, Cornell University, Series B, Rev., VRDO, 0.130%, 03/07/12		18,025
	35,225	New York State Dormitory Authority, Court Facilities Lease, Series B, Rev., VRDO, LOC:Bayerische Landesbank, 0.230%, 03/07/12		35,225
	6,955	New York State Dormitory Authority, Fordham University, Series A-2, Rev., VRDO, LOC:Bank of America N.A., 0.170%, 03/07/12		6,955
		New York State Dormitory Authority, Long Island University,
	4,500	Series A-2, Rev., VRDO, LOC:TD Bank N.A., 0.150%, 03/07/12		4,500
	4,000	Series A-2, Rev., VRDO, LOC:TD Bank N.A., 0.150%, 03/07/12		4,000
	13,500	New York State Dormitory Authority, New York Law School, Rev., VRDO, LOC:TD Bank N.A., 0.120%, 03/07/12		13,500
		New York State Dormitory Authority, Rockefeller University,
	4,100	Series A, Rev., VRDO, 0.130%, 03/07/12		4,100
	7,000	Series A, Rev., VRDO, 0.130%, 03/07/12		7,000
	3,250	New York State Dormitory Authority, Samaritan Medical Center, Series B, Rev., VRDO, LOC:HSBC Bank USA N.A., 0.130%, 03/07/12		3,250

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		New York — Continued
	17,740	New York State Dormitory Authority, Teresian House, Rev., VRDO, LOC:Manufacturers and Traders, 0.210%, 03/07/12		17,740
		New York State Housing Finance Agency,
	2,000	Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		2,000
	10,000	Series A, Rev., VRDO, LOC:Landesbank Baden-Wuerttemberg, 0.650%, 03/07/12		10,000
	16,100	Series M-1, Rev., VRDO, LOC:Bank of America N.A., 0.140%, 03/07/12		16,100
	700	New York State Housing Finance Agency, 10 Barclay Street, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		700
	1,150	New York State Housing Finance Agency, 101 West End, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		1,150
	2,000	New York State Housing Finance Agency, 240 East 39th Street Housing, Series A, Rev., VRDO, 0.130%, 03/07/12		2,000
	1,400	New York State Housing Finance Agency, 250 West 93rd Street, Series 2005-A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.240%, 03/07/12		1,400
		New York State Housing Finance Agency, 345 East 94th Street Housing,
	13,100	Series A, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.130%, 03/07/12		13,100
	9,400	Series A, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.130%, 03/07/12		9,400
	5,400	New York State Housing Finance Agency, 350 West 43rd Street Housing, Series A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.300%, 03/07/12		5,400
	5,000	New York State Housing Finance Agency, 360 West 43rd Street, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		5,000
	13,100	New York State Housing Finance Agency, 42nd & 10th, Series A, Rev., VRDO, LOC:Landesbank Baden-Wuerttemberg, 1.000%, 03/07/12		13,100
	400	New York State Housing Finance Agency, 455 West 37th Street, Series A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.300%, 03/07/12		400
	2,700	New York State Housing Finance Agency, 70 Battery Place Housing, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		2,700
	6,900	New York State Housing Finance Agency, 8 East 102nd Street Housing, Series A, Rev., VRDO, LOC:Bank of America N.A., 0.160%, 03/07/12		6,900

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	5,300	New York State Housing Finance Agency, 88 Leonard Street Housing, Series A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.330%, 03/07/12		5,300
	1,450	New York State Housing Finance Agency, Chelsea Arms Housing, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		1,450
	4,085	New York State Housing Finance Agency, Clarkston Housing, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.110%, 03/07/12		4,085
	22,000	New York State Housing Finance Agency, Clinton Park Phase II, Series A-1, Rev., VRDO, LOC:Wells Fargo Bank N.A., 0.120%, 03/07/12		22,000
	15,750	New York State Housing Finance Agency, Historic Front Street Housing, Series A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.200%, 03/07/12		15,750
	5,800	New York State Housing Finance Agency, Kew Gardens Hills Housing, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		5,800
	3,800	New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage Program, Series A, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.130%, 03/07/12		3,800
	4,820	New York State Housing Finance Agency, Parkledge Apartments Housing, Series A, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.180%, 03/07/12		4,820
	3,820	New York State Housing Finance Agency, Talleyrand Crescent, Rev., VRDO, FNMA, LOC:FNMA, 0.140%, 03/07/12		3,820
	13,500	New York State Housing Finance Agency, Theater Row, Series A, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.130%, 03/07/12		13,500
	3,400	New York State Housing Finance Agency, Tribeca, Series A, Rev., VRDO, AMT, FNMA, LIQ:FNMA, 0.130%, 03/07/12		3,400
	37,210	New York State Housing Finance Agency, Tribeca Green Housing, Series A, Rev., VRDO, LOC:Landesbank Hessen-Thuringen, 0.330%, 03/07/12		37,210
		New York State Housing Finance Agency, Victory Housing,
	1,500	Series 2000-A, Rev., VRDO, FHLMC, 0.130%, 03/07/12		1,500
	5,000	Series 2001-A, Rev., VRDO, FHLMC, LIQ:FHLMC, 0.130%, 03/07/12		5,000
	6,700	New York State Housing Finance Agency, Warren Knolls Apartments Housing, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.140%, 03/07/12		6,700

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 17

JPMorgan New York Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		New York — Continued
	6,700	New York State Housing Finance Agency, West Haverstraw Housing, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.140%, 03/07/12		6,700
	1,600	New York State Housing Finance Agency, Worth Street, Series A, Rev., VRDO, FNMA, LIQ:FNMA, 0.130%, 03/07/12		1,600
	6,780	New York State Thruway Authority, Rev., VRDO, AGM, LIQ:Morgan Stanley Bank, 0.280%, 03/07/12 (e)		6,780
	2,400	Oneida County Industrial Development Agency, Rev., VRDO, LOC:NBT Bank N.A., 0.150%, 03/07/12		2,400
	800	Oneida County Industrial Development Agency, Industrial Development, Oriskany, Rev., VRDO, LOC:NBT Bank N.A., 0.150%, 03/07/12		800
	3,275	Onondaga County Industrial Development Agency, Albany Molecular Research Project, Rev., VRDO, LOC:Fleet National Bank, 0.630%, 03/07/12		3,275
		Puttable Floating Option Tax-Exempt Receipts,
	17,665	Series PT-4623, Rev., VRDO, LIQ:PB Capital Corp., 0.360%, 03/07/12		17,665
	2,590	Series PT-4725, Rev., VRDO, LIQ:Bank of America N.A., 0.220%, 03/07/12 (e)		2,590
	5,000	Seneca County Industrial Development Agency, Seneca Meadows, Inc. Project, Rev., VRDO, LOC:Bank of America N.A., 0.260%, 03/07/12		5,000
	5,000	Tompkins County Industrial Development Agency, Civic Facility Ithaca College, Series B, Rev., VRDO, XLCA, LOC:HSBC Bank USA N.A., 0.160%, 03/07/12		5,000
		Triborough Bridge & Tunnel Authority,
	11,000	Series B-1, Rev., VRDO, LOC:CA Public Employees Retirement System, 0.120%, 03/07/12		11,000
	7,060	Subseries B-3, Rev., VRDO, 0.200%, 03/07/12		7,060
	54,005	Subseries B-4, Rev., VRDO, 0.270%, 03/07/12		54,005
	37,185	Subseries CD, Rev., VRDO, AGM, 0.140%, 03/07/12		37,185
	10,400	Trust for Cultural Resources, Solomon R Guggenheim, Series B, Rev., VRDO, LOC:Bank of America N.A., 0.210%, 03/07/12		10,400
				1,093,310

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Territories — 0.7%
	10,630	Puttable Floating Option Tax-Exempt Receipts, Rev., VRDO, AGM, LIQ:Bank of America N.A., 0.800%, 03/07/12 (e)		10,630
		Total Weekly Demand Notes (Cost $1,103,940 )		1,103,940
SHARES
	Variable Rate Demand Preferred Shares — 7.4%
	13,300	BlackRock Muni Income Quality Trust Fund, Inc., 0.310%, 03/07/12 # (e)		13,300
	20,000	BlackRock MuniHoldings New York Quality Fund, Inc., LIQ:Bank of America N.A., 0.360%, 03/07/12 # (e)		20,000
	15,000	BlackRock MuniYield New Jersey Quality Fund, Inc., LIQ:Bank of America N.A., 0.280%, 03/07/12 # (e)		15,000
	20,000	Nuveen New York Investment Quality Muni Fund, Inc., LIQ:Citibank N.A., 0.280%, 03/07/12 # (e)		20,000
	20,000	Nuveen New York Performance Plus Muni Fund, Inc., LIQ:Deutsche Bank A.G., 0.300%, 03/07/12 # (e)		20,000
	17,700	Nuveen New York Quality Income Municipal Fund, Inc., LIQ:Citibank N.A., 0.280%, 03/07/12 # (e)		17,700
		Total Variable Rate Demand Preferred Shares (Cost $106,000 )		106,000
		Total Investments — 97.4% (Cost $1,384,372)*		1,384,372
		Other Assets in Excess of Liabilities — 2.6%		36,260
		NET ASSETS — 100.0%	$	1,420,632

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan Ohio Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Daily Demand Notes — 17.3%
		Ohio — 17.3%
	3,170	Allen County, Catholic Healthcare, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.140%, 03/01/12 (m)		3,170
	160	Montgomery County, Miami Valley Hospital, Series C, Rev., VRDO, 0.100%, 03/01/12		160
		Ohio State Higher Educational Facility Commission, Case Western Reserve University,
	590	Series A, Rev., VRDO, 0.170%, 03/01/12		590
	2,385	Series A, Rev., VRDO, 0.170%, 03/01/12		2,385
	2,200	Series A, Rev., VRDO, 0.170%, 03/01/12		2,200
		Ohio State Water Development Authority, Pollution Control, FirstEnergy Nuclear Generation Corp. Project,
	1,550	Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/12		1,550
	3,200	Series C, Rev., VRDO, LOC: UBS AG, 0.130%, 03/01/12		3,200
		Total Daily Demand Notes (Cost $13,255 )		13,255
	Municipal Bonds — 3.3%
		Ohio — 3.3%
	1,000	City of Marysville, Waste Water Treatment System, GO, 1.125%, 05/31/12		1,001
	1,000	Union Township, Clermont County, GO, BAN, 1.125%, 09/12/12		1,003
	550	Wright State University, Series 2011 A, Rev., 2.000%, 05/01/12		551
		Total Municipal Bonds (Cost $2,555 )		2,555
	Weekly Demand Notes — 78.9%
		Ohio — 71.6%
	2,785	Austin Trust, Series 2008-3310, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.220%, 03/07/12		2,785
	400	City of Grove City, Multi-Family Housing, Regency Arms Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		400
	1,530	City of Monroe, Tax Increment Revenue, Corridor 75, Park Limited Project, VRDO, LOC: PNC Bank N.A., 0.180%, 03/07/12		1,530
	680	Columbus Regional Airport Authority, Capital Funding, OASBO Program, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.170%, 03/07/12		680
	810	Columbus Regional Airport Authority, OASBO Expanded Asset, Rev., VRDO, LOC: U.S. Bank N.A., 0.170%, 03/07/12		810

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Ohio — Continued
	1,010	Columbus Regional Airport Authority, Pooled Financing Program, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.170%, 03/07/12		1,010
	1,300	Cuyahoga County, Airport Facilities, Corporate Wings Project, Rev., VRDO, LOC: Privatebank and Trust, 0.390%, 03/07/12		1,300
		Deutsche Bank Spears/Lifers Trust Various States,
	1,300	Series 488, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		1,300
	5,210	Series 570, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		5,210
	3,035	Eclipse Funding Trust, Solar Eclipse, Hamilton, Series 2006-0158, Rev., VRDO, LIQ: U.S. Bank N.A., 0.150%, 03/07/12		3,035
		Franklin County, Hospital Facilities, Ohio Health,
	2,900	Series A, Rev., VRDO, 0.120%, 03/07/12		2,900
	500	Series B, Rev., VRDO, 0.120%, 03/07/12		500
	5,550	Franklin County, Multi-Family Housing, Ashton Square Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		5,550
	2,000	Hamilton County, Boys/Girls Club, Inc. Project, Rev., VRDO, LOC: PNC Bank N.A., 0.190%, 03/07/12		2,000
	685	Hancock County, Multi-Family Housing, Crystal Glen Apartments, Series B, Rev.,VRDO, LOC: FHLB, 0.200%, 03/07/12		685
	2,815	Montgomery County, Multi-Family Housing, Cambridge Commons Apartments, Series A, Rev., VRDO, LOC: FHLB, 0.170%, 03/07/12		2,815
	486	Montgomery County, Multi-Family Housing, Pedcor Investments, Lyons Gate, Series B, Rev., VRDO, LOC: FHLB, 0.320%, 03/07/12		486
	1,000	Ohio Air Quality Development Authority, Pollution, FirstEnergy Generation Corp. Project, Series B, Rev., VRDO, LOC: UBS AG, 0.100%, 03/07/12		1,000
		Ohio Housing Finance Agency, Residential Mortgage-Backed Securities,
	300	Series B, Rev., VRDO, AMT, 0.180%, 03/07/12		300
	1,400	Series C, Rev., VRDO, AMT, GNMA COLL, 0.150%, 03/07/12		1,400
	1,600	Series J, Rev., VRDO, 0.160%, 03/07/12		1,600
	1,000	Ohio State University (The), Series B, Rev., VRDO, 0.100%, 03/07/12		1,000
	6,550	State of Ohio, Higher Educational Facility Commission, EAGLE, Series 2007-41, Class A, Rev., VRDO, BHAC-CR, AMBAC-TCRS, Bank of New York, LIQ: Citibank N.A., 0.260%, 03/07/12		6,550

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 19

JPMorgan Ohio Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		Ohio — Continued
	2,900	Toledo-Lucas County Port Authority, FlightSafety, Series 1, Rev., VRDO, 0.150%, 03/07/12		2,900
		Wells Fargo Stage Trust, Various States, Floater Certificates,
	2,345	Series 12-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		2,345
	2,655	Series 56-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		2,655
	2,273	Wood County, Reclamation Technologies, IDR, Rev., VRDO, LOC: PNC Bank N.A., 0.210%, 03/07/12		2,273
				55,019
		Oregon — 3.0%
	2,300	State of Oregon Economic Development, Georgia Pacific Corp. Project, Rev.,VRDO, LOC: BNP Paribas, 1.150%, 03/07/12		2,300

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Puerto Rico — 4.3%
	2,000	Commonwealth of Puerto Rico Public Improvement, Series C, GO, VRDO, AGM, LOC: Barclays Bank plc, 0.140%, 03/07/12		2,000
	1,310	Deutsche Bank Spears/Lifers Trust Various States, Series 462, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		1,310
				3,310
		Total Weekly Demand Notes (Cost $60,629)		60,629
		Total Investments — 99.5% (Cost $76,439)*		76,439
		Other Assets in Excess of Liabilities — 0.5%		399
		NET ASSETS — 100.0%	$	76,838

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

J.P. Morgan Money Market Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

ACE	—  Adjusted Current Earnings
AGC	—  Insured by Assured Guaranty Corp.
AGM	—  Insured by Assured Guaranty Municipal Corp.
AMBAC	—  Insured by American Municipal Bond Assurance Corp. †
AMT	—  Alternative Minimum Tax
BAN	—  Bond Anticipation Note
BHAC	—  Insured by Berkshire Hathaway Assurance Corp.
COLL	—  Collateral
COP	—  Certificate of Participation
CR	—  Custodial Receipts
EAGLE	—  Earnings of accrual generated on local tax-exempt securities
EDC	—  Economic Development Corp.
FGIC	—  Insured by Financial Guaranty Insurance Co.
FHLB	—  Federal Home Loan Bank
FHLMC	—  Federal Home Loan Mortgage Corp.
FNMA	—  Federal National Mortgage Association
GNMA	—  Government National Mortgage Association
GO	—  General Obligation
IDR	—  Industrial Development Revenue
LIQ	—  Liquidity Agreement
LOC	—  Letter of Credit
MBIA	—  Insured by Municipal Bond Insurance Corp.
MERLOTS	—  Municipal Exempt Receipts Liquidity Optional Tender
NATL	—  Insured by National Public Finance Guarantee Corp.
Q-SBLF	—  Qualified School Bond Loan Fund
RAN	—  Revenue Anticipation Note
RE	—  Reinsured
Rev.	—  Revenue
ROCS	—  Reset Option Certificates
TAN	—  Tax Anticipation Note

TCRS	—  Transferable Custodial Receipts
TRAN	—  Tax & Revenue Anticipation Note
VAR	—  Variable Rate Security. The interest rate shown is the rate in effect as of February 29, 2012.
VRDO	—  Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of February 29, 2012.
XLCA	—  Insured by XL Capital Assurance
(e)	—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(g)	—  Amount rounds to less than 0.1%.
(i)	—  Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	—  All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments, and/or forward foreign currency exchange contracts.
(n)	—  The rate shown is the effective yield at the date of purchase.
(t)	—  The date shown represents the earliest of the next demand date or final maturity date.
*	—  The cost of securities is substantially the same for federal income tax purposes.
#	—  Variable Rate Demand Preferred Shares of a closed-end investment company which have a weekly demand feature.
†	—  Filed for bankruptcy on November 8, 2010.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 21

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012

(Amounts in thousands, except per share amounts)

	California Municipal Money Market Fund			Michigan Municipal Money Market Fund			New York Municipal Money Market Fund			Ohio Municipal Money Market Fund
ASSETS:
Investments in non-affiliates, at value	$	1,406,324		$	151,617		$	1,384,372		$	76,439
Cash		43			2			14			9
Receivables:
Investment securities sold		—			—			35,165			400
Interest from non-affiliates		1,651			119			1,452			34
Total Assets		1,408,018			151,738			1,421,003			76,882
LIABILITIES:
Payables:
Dividends		—	(a)		—			—			—
Investment securities purchased		5,003			—			—			—
Accrued liabilities:
Investment advisory fees		81			10			90			—
Administration fees		75			8			77			2
Shareholder servicing fees		69			5			102			—	(a)
Custodian and accounting fees		8			4			9			4
Trustees’ and Chief Compliance Officer’s fees		—	(a)		—	(a)		5			—	(a)
Transfer agent fees		10			3			25			4
Registration fees		—	(a)		2			—	(a)		7
Printing & Postage fees		31			10			30			3
Audit fees		20			20			22			20
Other		—	(a)		2			11			4
Total Liabilities		5,297			64			371			44
Net Assets	$	1,402,721		$	151,674		$	1,420,632		$	76,838

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	California Municipal Money Market Fund			Michigan Municipal Money Market Fund			New York Municipal Money Market Fund			Ohio Municipal Money Market Fund
NET ASSETS:
Paid-in-Capital	$	1,402,716		$	151,664		$	1,420,646		$	76,842
Accumulated undistributed (distributions in excess of) net investment income		(21	)		(5	)		(81	)		(3	)
Accumulated net realized gains (losses)		26			15			67			(1	)
Total Net Assets	$	1,402,721		$	151,674		$	1,420,632		$	76,838
Net Assets:
E*Trade	$	889,873		$	—		$	326,423		$	—
Morgan		401,491			8,261			657,377			22,121
Premier		—			28,655			—			3,050
Reserve		—			114,758			372,876			20,665
Service		111,357			—			63,956			31,002
Total	$	1,402,721		$	151,674		$	1,420,632		$	76,838
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
E*Trade		889,676			—			326,421			—
Morgan		401,539			8,261			657,375			22,112
Premier		—			28,655			—			3,049
Reserve		—			114,758			372,872			20,657
Service		111,398			—			63,955			30,997
Net Asset Value offering and redemption price per share (all classes)	$	1.00		$	1.00		$	1.00		$	1.00
Cost of investments in non-affiliates	$	1,406,324		$	151,617		$	1,384,372		$	76,439

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 23

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED FEBRUARY 29, 2012

(Amounts in thousands)

	California Municipal Money Market Fund			Michigan Municipal Money Market Fund			New York Municipal Money Market Fund			Ohio Municipal Money Market Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	2,797		$	412		$	3,829		$	152
EXPENSES:
Investment advisory fees		1,064			136			1,180			58
Administration fees		924			118			1,025			51
Distribution fees:
E*Trade		4,942			—			1,850			—
Morgan		379			9			715			21
Reserve		—			326			936			58
Service		763			—			462			145
Shareholder servicing fees:
E*Trade		2,471			—			925			—
Morgan		1,326			32			2,505			76
Premier		—			93			—			12
Reserve		—			391			1,123			70
Service		381			—			231			72
Custodian and accounting fees		41			29			42			27
Interest expense to affiliates		—	(a)		—			—	(a)		—
Professional fees		46			33			50			34
Trustees’ and Chief Compliance Officer’s fees		14			1			6			1
Printing and mailing costs		88			17			67			10
Registration and filing fees		35			26			29			29
Transfer agent fees		32			10			105			10
Other		18			8			12			7
Total expenses		12,524			1,229			11,263			681
Less amounts waived		(9,822	)		(817	)		(7,473	)		(522	)
Less expense reimbursements		—			—			—			(7	)
Net expenses		2,702			412			3,790			152
Net investment income (loss)		95			—			39			—
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from non-affiliates		42			19			69			—
Change in net assets resulting from operations	$	137		$	19		$	108		$	—

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	California Municipal Money Market Fund						Michigan Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	95		$	76		$	—		$	6
Net realized gain (loss)		42			114			19			—
Change in net assets resulting from operations		137			190			19			6
DISTRIBUTIONS TO SHAREHOLDERS:
E*Trade
From net investment income		(82	)		(375	)		—			—
From net realized gains		(9	)		(152	)		—			—
Morgan
From net investment income		(10	)		(156	)		—			(4	)
From net realized gains		(4	)		(77	)		—			(1	)
Premier
From net investment income		—			—			—			(12	)
From net realized gains		—			—			—			(5	)
Reserve
From net investment income		—			—			—			(53	)
From net realized gains		—			—			—			(24	)
Service
From net investment income		(3	)		(55	)		—			—
From net realized gains		(1	)		(27	)		—			—
Total distributions to shareholders		(109	)		(842	)		—			(99	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		32,570			75,320			(26,433	)		(95,346	)
NET ASSETS:
Change in net assets		32,598			74,668			(26,414	)		(95,439	)
Beginning of period		1,370,123			1,295,455			178,088			273,527
End of period	$	1,402,721		$	1,370,123		$	151,674		$	178,088
Accumulated undistributed (distributions in excess of) net investment income	$	(22	)	$	(24	)	$	(5	)	$	(4	)

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 25

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	New York Municipal Money  Market Fund						Ohio Municipal Money Market  Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	39		$	111		$	—		$	3
Net realized gain (loss)		69			71			—			—
Change in net assets resulting from operations		108			182			—			3
DISTRIBUTIONS TO SHAREHOLDERS:
E*Trade
From net investment income		(31	)		(309	)		—			—
From net realized gains		—			(15	)		—			—
Morgan
From net investment income		(5	)		(761	)		(2	)		(16	)
From net realized gains		—			(41	)		—			(1	)
Premier
From net investment income		—			—			—	(a)		(3	)
From net realized gains		—			—			—			—	(a)
Reserve
From net investment income		(2	)		(363	)		(2	)		(18	)
From net realized gains		—			(20	)		—			(1	)
Service
From net investment income		(1	)		(92	)		(2	)		(12	)
From net realized gains		—			(5	)		—			(1	)
Total distributions to shareholders		(39	)		(1,606	)		(6	)		(52	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(208,048	)		123,462			(1,088	)		7,633
NET ASSETS:
Change in net assets		(207,979	)		122,038			(1,094	)		7,584
Beginning of period		1,628,611			1,506,573			77,932			70,348
End of period	$	1,420,632		$	1,628,611		$	76,838		$	77,932
Accumulated undistributed (distributions in excess of ) net investment income	$	(81	)	$	(83	)	$	(3	)	$	(4	)

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	California Municipal Money Market Fund						Michigan Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
E*Trade
Proceeds from shares issued	$	441,954		$	440,432		$	—		$	—
Dividends and distributions reinvested		90			527			—			—
Cost of shares redeemed		(399,688	)		(295,675	)		—			—
Change in net assets from E*Trade capital transactions	$	42,356		$	145,284		$	—		$	—
Morgan
Proceeds from shares issued	$	1,684,987		$	1,956,248		$	30,127		$	38,471
Dividends and distributions reinvested		10			175			—			5
Cost of shares redeemed		(1,683,208	)		(1,988,906	)		(31,208	)		(43,699	)
Change in net assets from Morgan capital transactions	$	1,789		$	(32,483	)	$	(1,081	)	$	(5,223	)
Premier
Proceeds from shares issued	$	—		$	—		$	35,985		$	30,455
Dividends and distributions reinvested		—			—			—			16
Cost of shares redeemed		—			—			(36,543	)		(39,411	)
Change in net assets from Premier capital transactions	$	—		$	—		$	(558	)	$	(8,940	)
Reserve
Proceeds from shares issued	$	—		$	—		$	173,480		$	144,360
Dividends and distributions reinvested		—			—			—			77
Cost of shares redeemed		—			—			(198,274	)		(225,620	)
Change in net assets from Reserve capital transactions	$	—		$	—		$	(24,794	)	$	(81,183	)
Service
Proceeds from shares issued	$	125,401		$	107,370		$	—		$	—
Dividends and distributions reinvested		4			82			—			—
Cost of shares redeemed		(136,980	)		(144,933	)		—			—
Change in net assets from Service capital transactions	$	(11,575	)	$	(37,481	)	$	—		$	—
Total change in net assets from capital transactions	$	32,570		$	75,320		$	(26,433	)	$	(95,346	)

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 27

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	California Municipal Money Market Fund						Michigan Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
E*Trade
Issued		441,954			440,432			—			—
Reinvested		90			527			—			—
Redeemed		(399,688	)		(295,675	)		—			—
Change in E*Trade Shares		42,356			145,284			—			—
Morgan
Issued		1,684,987			1,956,248			30,141			38,470
Reinvested		10			175			—			5
Redeemed		(1,683,208	)		(1,988,906	)		(31,208	)		(43,696	)
Change in Morgan Shares		1,789			(32,483	)		(1,067	)		(5,221	)
Premier
Issued		—			—			36,019			30,455
Reinvested		—			—			—			16
Redeemed		—			—			(36,543	)		(39,404	)
Change in Premier Shares		—			—			(524	)		(8,933	)
Reserve
Issued		—			—			173,424			144,352
Reinvested		—			—			—			77
Redeemed		—			—			(198,266	)		(225,621	)
Change in Reserve Shares		—			—			(24,842	)		(81,192	)
Service
Issued		125,401			107,370			—			—
Reinvested		4			82			—			—
Redeemed		(136,980	)		(144,933	)		—			—
Change in Service Shares		(11,575	)		(37,481	)		—			—

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	New York Municipal Money Market Fund						Ohio Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
E*Trade
Proceeds from shares issued	$	181,666		$	160,884		$	—		$	—
Dividends and distributions reinvested		31			324			—			—
Cost of shares redeemed		(165,325	)		(144,264	)		—			—
Change in net assets from E*Trade capital transactions	$	16,372		$	16,944		$	—		$	—
Morgan
Proceeds from shares issued	$	2,363,184		$	1,673,466		$	72,103		$	46,158
Dividends and distributions reinvested		4			644			2			17
Cost of shares redeemed		(2,535,993	)		(1,587,286	)		(72,154	)		(47,505	)
Change in net assets from Morgan capital transactions	$	(172,805	)	$	86,824		$	(49	)	$	(1,330	)
Premier
Proceeds from shares issued	$	—		$	—		$	4,079		$	6,096
Dividends and distributions reinvested		—			—			—	(a)		—	(a)
Cost of shares redeemed		—			—			(6,068	)		(4,636	)
Change in net assets from Premier capital transactions	$	—		$	—		$	(1,989	)	$	1,460
Reserve
Proceeds from shares issued	$	44,179,057		$	53,285,091		$	46,745		$	54,191
Dividends and distributions reinvested		1			175			2			18
Cost of shares redeemed		(44,201,501	)		(53,254,537	)		(56,098	)		(48,010	)
Change in net assets from Reserve capital transactions	$	(22,443	)	$	30,729		$	(9,351	)	$	6,199
Service
Proceeds from shares issued	$	59,232		$	80,003		$	44,270		$	29,839
Dividends and distributions reinvested		—			97			2			13
Cost of shares redeemed		(88,404	)		(91,135	)		(33,971	)		(28,548	)
Change in net assets from Service capital transactions	$	(29,172	)	$	(11,035	)	$	10,301		$	1,304
Total change in net assets from capital transactions	$	(208,048	)	$	123,462		$	(1,088	)	$	7,633

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 29

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	New York Municipal Money Market Fund						Ohio Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
E*Trade
Issued		181,540			160,874			—			—
Reinvested		31			324			—			—
Redeemed		(165,255	)		(144,264	)		—			—
Change in E*Trade Shares		16,316			16,934			—			—
Morgan
Issued		2,363,527			1,673,467			72,103			46,158
Reinvested		4			644			2			17
Redeemed		(2,535,993	)		(1,587,262	)		(72,154	)		(47,501	)
Change in Morgan Shares		(172,462	)		86,849			(49	)		(1,326	)
Premier
Issued		—			—			4,079			6,083
Reinvested		—			—			—	(a)		—	(a)
Redeemed		—			—			(6,068	)		(4,637	)
Change in Premier Shares		—			—			(1,989	)		1,446
Reserve
Issued		44,178,848			53,285,079			46,745			54,191
Reinvested		1			175			2			18
Redeemed		(44,201,501	)		(53,254,537	)		(56,098	)		(47,996	)
Change in Reserve Shares		(22,652	)		30,717			(9,351	)		6,213
Service
Issued		59,143			80,000			44,270			29,835
Reinvested		—			98			2			13
Redeemed		(88,393	)		(91,135	)		(33,971	)		(28,548	)
Change in Service Shares		(29,250	)		(11,037	)		10,301			1,300

(a) Amount rounds to less than 1,000 (shares or dollars).

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

THIS PAGE IS INTENTIONALLY LEFT BLANK

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 31

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
California Municipal Money Market Fund
E*Trade
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Service
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (g) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—			—

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Includes insurance expense of 0.02%.

(f) Amount rounds to less than 0.01%.

(g) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	889,873		0.20	%		0.01	%		1.07	%
	1.00		0.07			847,499		0.30			0.01			1.07
	1.00		0.01			702,599		0.43	(e)		0.01			1.09
	1.00		0.89			618,240		0.96	(e)		0.92			1.09
	1.00		2.50			812,635		1.00			2.49			1.09
	1.00		0.00	(f)		401,491		0.21			0.00	(f)		0.62
	1.00		0.06			399,696		0.31			0.00	(f)		0.62
	1.00		0.03			432,378		0.42	(e)		0.02			0.64
	1.00		1.28			406,431		0.57	(e)		1.16			0.65
	1.00		2.96			183,015		0.55			2.83			0.64
	1.00		0.00	(f)		111,357		0.20			0.00	(f)		1.07
	1.00		0.06			122,928		0.31			0.00	(f)		1.07
	1.00		0.00			160,478		0.26			0.00	(f)		1.06

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 33

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Michigan Municipal Money Market Fund
Morgan
Year Ended February 29, 2012	$	1.00	$	—		$	—	(b)	$	—	(b)	$	—		$	—		$	—
Year Ended February 28, 2011		1.00		—	(b)		—			—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—			(0.03	)
Premier
Year Ended February 29, 2012		1.00		—			—	(b)		—	(b)		—			—			—
Year Ended February 28, 2011		1.00		—	(b)		—			—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—			(0.03	)
Reserve
Year Ended February 29, 2012		1.00		—			—	(b)		—	(b)		—			—			—
Year Ended February 28, 2011		1.00		—	(b)		—			—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—			(0.03	)

(a) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(b) Amount rounds to less than $0.01.

(c) Amount rounds to less than 0.01%.

(d) Includes insurance expense of 0.03%.

(e) Includes insurance expense of 0.01%.

(f) Includes insurance expense of 0.02%.

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return			Net assets, end of period (000’s)		Net expenses (a)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.00	%	$	8,261		0.24	%		0.00	%		0.67	%
	1.00		0.05			9,341		0.35			0.00	(c)		0.67
	1.00		0.04			14,569		0.51	(d)		0.05			0.73
	1.00		1.44			26,507		0.60	(e)		1.48			0.71
	1.00		3.00			37,673		0.59			3.00			0.71
	1.00		0.00			28,655		0.24			0.00			0.52
	1.00		0.05			29,209		0.35			0.00	(c)		0.52
	1.00		0.10			38,165		0.42	(d)		0.11			0.57
	1.00		1.58			58,008		0.47	(f)		1.61			0.56
	1.00		3.14			71,758		0.45			3.17			0.55
	1.00		0.00			114,758		0.24			0.00			0.77
	1.00		0.05			139,538		0.35			0.00	(c)		0.77
	1.00		0.02			220,793		0.32	(e)		0.00	(c)		0.76
	1.00		1.33			23,050		0.72	(f)		1.26			0.81
	1.00		2.88			22,874		0.70			2.84			0.81

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 35

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
New York Municipal Money Market Fund
E*Trade
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—		$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Reserve
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Service
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—			—

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Includes insurance expense of 0.02%.

(f) Amount rounds to less than 0.01%.

(g) Includes insurance expense of 0.03%.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	326,423		0.25	%		0.01	%		1.07	%
	1.00		0.11			310,036		0.34			0.01			1.07
	1.00		0.01			293,356		0.57	(e)		0.01			1.09
	1.00		0.86			251,873		0.98	(e)		0.89			1.08
	1.00		2.50			320,928		1.00			2.52			1.08
	1.00		0.00	(f)		657,377		0.26			0.00	(f)		0.62
	1.00		0.10			830,150		0.34			0.01			0.62
	1.00		0.05			744,054		0.55	(g)		0.06			0.65
	1.00		1.23			1,283,154		0.61	(e)		1.21			0.64
	1.00		2.93			1,214,148		0.59			2.89			0.63
	1.00		0.00	(f)		372,876		0.26			0.00	(f)		0.72
	1.00		0.10			395,301		0.34			0.01			0.72
	1.00		0.02			364,918		0.58	(g)		0.02			0.74
	1.00		1.12			507,425		0.72	(e)		1.10			0.74
	1.00		2.81			410,594		0.70			2.79			0.73
	1.00		0.00	(f)		63,956		0.26			0.00	(f)		1.07
	1.00		0.10			93,124		0.34			0.00	(f)		1.07
	1.00		0.00			104,245		0.44			0.00	(f)		1.06

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 37

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Ohio Municipal Money Market Fund
Morgan
Year Ended February 29, 2012	$	1.00	$	—		$	—		$	—		$	—	(d)	$	—		$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03	(g)		—	(d)		0.03			(0.03	)		—	(d)		(0.03	)
Premier
Year Ended February 29, 2012		1.00		—			—			—			—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		(0.01	)		0.01			—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.03	(g)		—	(d)		0.03			(0.03	)		—	(d)		(0.03	)
Reserve
Year Ended February 29, 2012		1.00		—			—			—			—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03	(g)		—	(d)		0.03			(0.03	)		—	(d)		(0.03	)
Service
Year Ended February 29, 2012		1.00		—			—			—			—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (i) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—	(d)		—	(d)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Includes insurance expense of 0.03%.

(f) Includes insurance expense of 0.02%.

(g) Calculated based upon average shares outstanding.

(h) Includes insurance expense of 0.01%.

(ⁱ) Commencement of offering of class of shares.

(j) Amount rounds to less than 0.01%.

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	22,121		0.21	%		0.00	%		0.76	%
	1.00		0.08			22,172		0.36			0.01			0.79
	1.00		0.19			23,532		0.55	(e)		0.09			0.77
	1.00		1.39			44,250		0.61	(f)		1.35			0.71
	1.00		2.98			25,619		0.59			2.94			0.74
	1.00		0.01			3,050		0.20			0.00			0.61
	1.00		0.08			5,039		0.36			0.01			0.64
	1.00		0.27			3,589		0.40	(h)		0.08			0.62
	1.00		1.53			805		0.47	(f)		1.30			0.56
	1.00		3.12			626		0.45			3.28			0.57
	1.00		0.01			20,665		0.22			0.00			0.86
	1.00		0.08			30,018		0.36			0.01			0.89
	1.00		0.14			23,851		0.61	(e)		0.03			0.87
	1.00		1.28			58,532		0.72	(f)		1.27			0.81
	1.00		2.86			54,774		0.70			2.82			0.85
	1.00		0.01			31,002		0.20			0.00			1.22
	1.00		0.08			20,703		0.36			0.00	(j)		1.25
	1.00		0.11			19,376		0.34			0.00	(j)		1.22

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 39

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 4 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

	Classes Offered	Trust	Diversified/Non-Diversified
California Municipal Money Market Fund	E*Trade, Morgan and Service	JPM I	Diversified
Michigan Municipal Money Market Fund	Morgan, Premier and Reserve	JPM II	Non-Diversified
New York Municipal Money Market Fund	E*Trade, Morgan, Reserve and Service	JPM I	Diversified
Ohio Municipal Money Market Fund	Morgan, Premier, Reserve and Service	JPM II	Non-Diversified

The investment objective of California Municipal Money Market Fund is to provide the highest possible level of current income which is exempt from federal and California personal income taxes, while still preserving capital and maintaining liquidity.

The investment objective of Michigan Municipal Money Market Fund is to seek as high a level of current interest income exempt from federal income tax and Michigan personal income tax as is consistent with capital preservation and stability of principal.

The investment objective of New York Municipal Money Market Fund is to provide the highest possible level of current income which is excluded from gross income and exempt from New York State and New York City personal income taxes, while still preserving capital and maintaining liquidity.

The investment objective of Ohio Municipal Money Market Fund is to seek as high a level of current interest income exempt from federal income tax and Ohio personal income tax as is consistent with capital preservation and stability of principal.

All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A. Valuation of Investments — Each Fund has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act provided that certain conditions are met, including that the Fund’s Board of Trustees continues to believe that the amortized cost valuation method fairly reflects the market based net asset value per share of the Fund. This involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price each Fund would receive if it sold the security. The market value of securities in the Funds can be expected to vary inversely with changes in prevailing interest rates.

The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.

Ÿ Level 1 — quoted prices in active markets for identical securities

Ÿ Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Ÿ Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.

The following is a summary of the inputs used as of February 29, 2012, in valuing the Funds’ assets and liabilities carried at amortized cost which approximates fair value (amounts in thousands):

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
California Municipal Money Market Fund (a)
Total Investments in Securities	$	—	$	1,406,324	$	—	$	1,406,324
Michigan Municipal Money Market Fund (a)
Total Investments in Securities	$	—	$	151,617	$	—	$	151,617

40 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
New York Municipal Money Market Fund (a)
Total Investments in Securities	$	—	$	1,384,372	$	—	$	1,384,372
Ohio Municipal Money Market Fund (a)
Total Investments in Securities	$	—	$	76,439	$	—	$	76,439

(a) All portfolio holdings designated as Level 2 are disclosed individually in the Schedules of Portfolio of Investments (“SOIs”). Please refer to the SOIs for specifics of the major categories of portfolio holdings.

For each of the Funds, there were no transfers between Levels 1 and 2 during the year ended February 29, 2012.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

The following is the value and percentage of net assets of illiquid securities as of February 29, 2012 (amounts in thousands):

	Value	Percentage
Michigan Municipal Money Market Fund	$6,100	4.0%

C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts.

D. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.

E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

F. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared daily and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually.

The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/ tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

	Paid-in-Capital			Accumulated Undistributed/ (Overdistributed) Net Investment Income			Accumulated Net Realized Gain (Loss) on Investments
California Municipal Money Market Fund	$	—		$	3		$	(3	)
Michigan Municipal Money Market Fund		5			(1	)		(4	)
New York Municipal Money Market Fund		—			2			(2	)
Ohio Municipal Money Market Fund		(7	)		7			—

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 41

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

The reclassifications for the Funds relate primarily to prior year undistributed income and gain (loss) true up (California Municipal Money Market Fund and Michigan Municipal Money Market Fund), distribution reclassifications (California Municipal Money Market Fund and New York Municipal Money Market Fund), equalization (Michigan Municipal Money Market Fund) and taxable overdistributions (Ohio Municipal Money Market Fund).

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). The Advisor supervises the investments of each Fund and for such services is paid a fee. The Advisor’s fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is 0.08%.

The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.10% of the first $100 billion of the average daily net assets of all money market funds in the J.P. Morgan Funds Complex and 0.05% of the average daily net assets in excess of $100 billion of all such funds. For the year ended February 29, 2012, the annual effective rate was 0.07% of each Fund’s average daily net assets.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for E*Trade, Morgan, Reserve and Service Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

	E*Trade			Morgan			Reserve			Service
California Municipal Money Market Fund		0.60	%		0.10	%		n/a			0.60	%
Michigan Municipal Money Market Fund		n/a			0.10			0.25	%		n/a
New York Municipal Money Market Fund		0.60			0.10			0.25			0.60
Ohio Municipal Money Market Fund		n/a			0.10			0.25			0.60

The Distributor waived Distribution fees as outlined in Note 3.F.

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	E*Trade			Morgan			Premier			Reserve			Service
California Municipal Money Market Fund		0.30	%		0.35	%		n/a			n/a			0.30	%
Michigan Municipal Money Market Fund		n/a			0.35			0.30	%		0.30	%		n/a
New York Municipal Money Market Fund		0.30			0.35			n/a			0.30			0.30
Ohio Municipal Money Market Fund		n/a			0.35			0.30			0.30			0.30

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest,

42 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	E*Trade			Morgan			Premier			Reserve			Service
California Municipal Money Market Fund		1.00	%		0.59	%		n/a			n/a			1.05	%
Michigan Municipal Money Market Fund		n/a			0.59			0.45	%		0.70	%		n/a
New York Municipal Money Market Fund		1.00			0.59			n/a			0.70			1.05
Ohio Municipal Money Market Fund		n/a			0.59			0.45			0.70			1.05

The expense limitation agreements were in effect for the year ended February 29, 2012. The contractual expense limitation percentages in the table above are in place until at least June 30, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended February 29, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.

For the year ended February 29, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and/or reimbursed expenses in future years.

			Contractual Waivers
	Investment Advisory		Administration Fee		Shareholder Servicing		Total		Contractual Reimbursements
California Municipal Money Market Fund	$	128	$	—	$	707	$	835	$	—
Michigan Municipal Money Market Fund		26		—		123		149		—
New York Municipal Money Market Fund		14		—		530		544		—
Ohio Municipal Money Market Fund		43		27		119		189		7

	Voluntary Waivers
	Shareholder Servicing		Distribution		Total
California Municipal Money Market Fund	$	2,902	$	6,085	$	8,987
Michigan Municipal Money Market Fund		333		335		668
New York Municipal Money Market Fund		2,966		3,963		6,929
Ohio Municipal Money Market Fund		109		224		333

G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 29, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.

The Funds may use related party broker-dealers. For the year ended February 29, 2012, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Advisor.

The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.

4. Federal Income Tax Matters

The tax character of distributions paid during the fiscal year ended February 29, 2012 was as follows (amounts in thousands):

	Total Distributions Paid From:
	Ordinary Income		Net Long Term Capital Gains		Tax Exempt Income		Total Distributions Paid
California Municipal Money Market Fund	$	16	$	—	$	93	$	109
Michigan Municipal Money Market Fund		—		—		—		—
New York Municipal Money Market Fund		2		—		37		39
Ohio Municipal Money Market Fund		—		—		6		6

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 43

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):

	Total Distributions Paid From:
	Ordinary Income		Net Long Term Capital Gains		Tax Exempt Income		Total Distributions Paid
California Municipal Money Market Fund	$	575	$	—	$	267	$	842
Michigan Municipal Money Market Fund		30		—		69		99
New York Municipal Money Market Fund		798		3		805		1,606
Ohio Municipal Money Market Fund		7		—		45		52

At February 29, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover)			Current Distributable Tax-Exempt Income
California Municipal Money Market Fund	$	21	$	4		$	—
Michigan Municipal Money Market Fund		15		—			—	(a)
New York Municipal Money Market Fund		67		—			—
Ohio Municipal Money Market Fund		—		(1	)		—

(a) Amount rounds to less than $1,000.

For the Funds, the cumulative timing differences primarily consist of Trustee deferred compensation.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of February 29, 2012, the Funds did not have post-enactment net capital loss carryforwards.

As of February 29, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

	2019
Ohio Municipal Money Market Fund	$1

5. Borrowings

The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 29, 2012, or at any time during the year then ended.

Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.

6. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

44 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s outstanding shares for California Municipal Money Market Fund and New York Municipal Money Market Fund.

In addition, the Funds each have a shareholder or shareholders, which are accounts maintained by financial intermediaries on behalf of their clients, that own significant portions of the Funds’ outstanding shares.

Significant shareholder transactions, if any, may impact the Funds’ performance.

The Funds invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. The California Municipal Money Market Fund, Michigan Municipal Money Market Fund, New York Municipal Money Market Fund and Ohio Municipal Money Market Fund primarily invest in issuers in the States of California, Michigan, New York and Ohio, respectively. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. These securities generally have features that preserve their eligibility for investment under Rule 2a-7 under the 1940 Act without relying on the ratings or solvency of such bond insurers. The value of these investments may be impacted by changes to bond insurers’ ratings and a Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 45

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan California Municipal Money Market Fund, JPMorgan Michigan Municipal Money Market Fund, JPMorgan New York Municipal Money Market Fund and JPMorgan Ohio Municipal Money Market Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan California Municipal Money Market Fund, JPMorgan Michigan Municipal Money Market Fund, JPMorgan New York Municipal Money Market Fund and JPMorgan Ohio Municipal Money Market Fund (hereafter referred to as the "Funds") at February 29, 2012, the results of their operations for the year ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

April 27, 2012

46 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

TRUSTEES

(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987.	Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000).	154	None.
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	154	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present).
Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999).	154	Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	154	None.
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	154	Director, Center for Communication, Hearing, and Deafness (1990-present).
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	154	Trustee, Carleton College (2003-present).
William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	154	Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	154	Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010).
Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987.	Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002).	154	Trustee, Morgan Stanley Funds (107 portfolios) (1992-present).

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 47

TRUSTEES

(Unaudited) (continued)

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	154	Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	154	None.
Interested Trustees
Frankie D. Hughes** (1952), Trustee of Trusts since 2008.	President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present).	154	Trustee, The Victory Portfolios (2000-2008).
Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998.	Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998).	154	Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present).

(1) Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012.

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (154 funds).

   * Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds.

  ** Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc.

*** Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

48 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trusts (Since)	Principal Occupations During Past 5 Years
Patricia A. Maleski (1960), President and Principal Executive Officer (2010)	Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001.
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010)	Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Paul L. Gulinello (1950), AML Compliance Officer (2005)	Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011.
Carmine Lekstutis (1980) Assistant Secretary (2011)	Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980) Assistant Secretary (2010)	Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.
Brian L. Duncan (1965), Assistant Treasurer (2008)*	Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007.
Jeffrey D. House (1972), Assistant Treasurer (2006)*	Vice President, JPMorgan Funds Management, Inc. since July 2006.
Laura S. Melman (1966), Assistant Treasurer (2006)	Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August 2006 to February 2011, responsible for Taxation.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management.
Jeffery Reedy (1973), Assistant Treasurer (2011)*	Vice President, JPMorgan Funds Management, Inc. since February 2006.

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

* The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 49

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at September 1, 2011, and continued to hold your shares at the end of the reporting period, February 29, 2012.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value, September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
California Municipal Money Market Fund
E*Trade
Actual		$1,000.00		$1,000.00		$0.90		0.18	%
Hypothetical		1,000.00		1,023.97		0.91		0.18
Morgan
Actual		1,000.00		1,000.00		0.94		0.19
Hypothetical		1,000.00		1,023.92		0.96		0.19
Service
Actual		1,000.00		1,000.00		0.94		0.19
Hypothetical		1,000.00		1,023.92		0.96		0.19
Michigan Municipal Money Market Fund
Morgan
Actual		1,000.00		1,000.00		1.19		0.24
Hypothetical		1,000.00		1,023.67		1.21		0.24
Premier
Actual		1,000.00		1,000.00		1.19		0.24
Hypothetical		1,000.00		1,023.67		1.21		0.24
Reserve
Actual		1,000.00		1,000.00		1.19		0.24
Hypothetical		1,000.00		1,023.67		1.21		0.24
New York Municipal Money Market Fund
E*Trade
Actual		1,000.00		1,000.00		1.19		0.24
Hypothetical		1,000.00		1,023.67		1.21		0.24
Morgan
Actual		1,000.00		1,000.00		1.24		0.25
Hypothetical		1,000.00		1,023.62		1.26		0.25

50 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Beginning Account Value, September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
New York Municipal Money Market Fund (continued)
Reserve
Actual	$	1,000.00	$	1,000.00	$	1.24		0.25	%
Hypothetical		1,000.00		1,023.62		1.26		0.25
Service
Actual		1,000.00		1,000.00		1.24		0.25
Hypothetical		1,000.00		1,023.62		1.26		0.25
Ohio Municipal Money Market Fund
Morgan
Actual		1,000.00		1,000.00		0.94		0.19
Hypothetical		1,000.00		1,023.92		0.96		0.19
Premier
Actual		1,000.00		1,000.00		0.85		0.17
Hypothetical		1,000.00		1,024.02		0.86		0.17
Reserve
Actual		1,000.00		1,000.00		0.94		0.19
Hypothetical		1,000.00		1,023.92		0.96		0.19
Service
Actual		1,000.00		1,000.00		0.94		0.19
Hypothetical		1,000.00		1,023.92		0.96		0.19

* Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 51

Tax Letter

(Unaudited)

Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.

Tax-Exempt Income

The following represents the percentage of distributions paid from net investment income that are exempt from federal income tax for the fiscal year ended February 28, 2012:

	Exempt Distributions Paid
California Municipal Money Market Fund		100.00	%
Michigan Municipal Money Market Fund		100.00
New York Municipal Money Market Fund		100.00
Ohio Municipal Money Market Fund		100.00

52 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡ Social Security number and account balances   ¡ transaction history and account transactions   ¡ checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡   open an account or provide contact information ¡   give us your account information or pay us by check ¡   make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡   affiliates from using your information to market to you ¡   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡   J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2012.  All rights reserved. February 2012. AN-MMKTST-212

Annual Report

J.P. Morgan Money Market Funds

February 29, 2012

JPMorgan Prime Money Market Fund

JPMorgan Liquid Assets Money Market Fund

JPMorgan U.S. Government Money Market Fund

JPMorgan U.S. Treasury Plus Money Market Fund

JPMorgan Federal Money Market Fund

JPMorgan 100% U.S. Treasury Securities Money Market Fund

JPMorgan Tax Free Money Market Fund

JPMorgan Municipal Money Market Fund

CONTENTS

CEO’s Letter	1
Fund Facts:
JPMorgan Prime Money Market Fund	2
JPMorgan Liquid Assets Money Market Fund	3
JPMorgan U.S. Government Money Market Fund	4
JPMorgan U.S. Treasury Plus Money Market Fund	5
JPMorgan Federal Money Market Fund	6
JPMorgan 100% U.S. Treasury Securities Money Market Fund	7
JPMorgan Tax Free Money Market Fund	8
JPMorgan Municipal Money Market Fund	9
Schedules of Portfolio Investments	10
Financial Statements	68
Financial Highlights	90
Notes to Financial Statements	114
Report of Independent Registered Public Accounting Firm	125
Trustees	126
Officers	128
Schedule of Shareholder Expenses	129
Tax Letter	134
Privacy Notice — Located at the back of this Annual Report

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. Although a Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a Fund.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

MARCH 14, 2012 (Unaudited)

Dear Shareholder:

“Risk on, risk off” was the mantra for 2011. Assets perceived as risky moved en masse as investors adjusted their portfolios in response to unexpected sources of distress and updates on known problems — the European debt crisis, political strife in the Middle East, the earthquake and subsequent tsunami in Japan and the credit rating of debt issued by the United States.

  “Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.”

So far in 2012, improving U.S. economic data and aggressive measures taken by the European Central Bank to curb the region’s debt crisis have sustained investors’ appetite for risk. Since January 1, 2012, equities have rallied strongly and outperformed fixed income securities.

U.S. stocks outperform

While the “risk on, risk off” market environment caused elevated correlations within individual asset classes, stock returns across market capitalizations, countries and investment styles varied during the twelve months ended February 29, 2012. Buoyed by stronger-than-expected economic data, U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.

During the reporting period, the S&P 500 Index gained 5.1% versus the -6.8% and 1.8% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index (gross of foreign withholding taxes) and the MSCI EM (Emerging Markets) Index (gross of foreign withholding taxes), respectively. Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed value stocks across all market capitalizations.

Yields for U.S. Treasuries remain near historical lows

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities. The yield for 10-year U.S. Treasury securities ended February 2012 below 2% and reached its lowest level since 1950 in September 2011. The yield on the 2-year U.S. Treasury note began the reporting period at 0.7% and dropped to 0.3% at the end of February

2012. Meanwhile, the yield on the 30-year U.S. Treasury bond declined from 4.5% to 3.1% as of the end of the twelve months ended February 29, 2012.

Interest rates have increased in March 2012 but yields remain at historically low levels. Nonetheless, many investors have renewed their focus on the longer-term impact of rising interest rates on their fixed income investments. In addition, many investors view the unprecedented quantitative easing by the U.S. Federal Reserve as kindling for inflation if the U.S. economic recovery continues to take hold.

Maintain a diversified portfolio

Several indicators suggest that a U.S. economic recovery is gaining traction — the labor market has shown signs of healing, while recent retail and auto sales have been strong. Meanwhile, soaring year-to-date returns for emerging markets stocks reflect investors’ optimism surrounding the prospects for growth in these countries. Of course, risks remain. Many investors worry that the pace of China’s robust economic growth could decelerate, potentially resulting in a “hard landing” from measures aimed to control inflation and cool its surging property market. In addition, political turmoil in the Middle East persists, while Europe faces pockets of recession in the midst of its ongoing debt crisis.

Indeed, despite the recent rally in stock markets uncertainty in the current environment is widespread, making diversification even more critical to long-term investment success. Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

Sincerely yours,

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 1

JPMorgan Prime Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Aims to provide the highest possible level of current income while still maintaining liquidity and preserving capital
Primary Investments	High quality, short-term, U.S. dollar-denominated money market instruments
Suggested investment time frame	Short-term
Share classes offered	Class B, Class C, Agency, Capital, Cash Management, Direct, Eagle Class, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares
Net Assets as of 2/29/2012	$122.7 Billion
Weighted Average Maturity^	50 days
Weighted Average Life^^	74 days
S&P rating* (a)	AAAm
Moody’s rating* (b)	Aaa-mf

The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.

(a) Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value.

(b) Rating incorporates Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund.

MATURITY SCHEDULE**^
1 day	28.4	%
2–7 days	12.1
8–30 days	14.5
31–60 days	13.2
61–90 days	14.5
91–180 days	13.4
181+ days	3.9

7-DAY SEC YIELD (1)
Class B Shares	0.01	%
Class C Shares	0.01
Agency Shares	0.11
Capital Shares	0.19
Cash Management Shares	0.01
Direct Shares	0.07
Eagle Class Shares	0.01
Institutional Class Shares	0.16
Investor Shares	0.01
Morgan Shares	0.01
Premier Shares	0.01
Reserve Shares	0.01
Service Shares	0.01

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* This rating is historical and is based upon the Fund’s credit quality, market price exposure and management.

** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Class B Shares, Class C Shares, Agency Shares, Capital Shares, Cash Management Shares, Direct Shares, Eagle Class Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.78)%, (0.78)%, 0.07%, 0.17%, (0.59)%, 0.07%, (0.33)%, 0.12%, (0.13)%, (0.13)%, (0.08)%, (0.34)% and (0.68)% for Class B Shares, Class C Shares, Agency Shares, Capital Shares, Cash Management Shares, Direct Shares, Eagle Class Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Prime Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

2 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan Liquid Assets Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Seeks current income with liquidity and stability of principal
Primary Investments	High quality, short-term instruments including corporate notes, U.S. government securities, asset-backed securities, repurchase agreements, commercial paper, funding agreements, certificates of deposit, municipal obligations and bank obligations
Suggested investment time frame	Short-term
Share classes offered	Class B, Class C, Agency, Capital, E*Trade, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares
Net Assets as of 2/29/2012	$12.1 Billion
Weighted Average Maturity^	49 days
Weighted Average Life^^	67 days

MATURITY SCHEDULE*^
1 day	30.3	%
2–7 days	11.7
8–30 days	12.2
31–60 days	15.1
61–90 days	13.9
91–180 days	12.3
181+ days	4.5

7-DAY SEC YIELD (1)
Class B Shares	0.01	%
Class C Shares	0.01
Agency Shares	0.12
Capital Shares	0.20
E*Trade Shares	0.05
Institutional Class Shares	0.17
Investor Shares	0.01
Morgan Shares	0.01
Premier Shares	0.01
Reserve Shares	0.01
Service Shares	0.01

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Class B Shares, Class C Shares, Agency Shares, Capital Shares, E*Trade Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.78)%, (0.78)%, 0.06%, 0.16%, (0.68)%, 0.11%, (0.13)%, (0.23)%, (0.08)%, (0.34)% and (0.70)% for Class B Shares, Class C Shares, Agency Shares, Capital Shares, E*Trade Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Liquid Assets Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 3

JPMorgan U.S. Government Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Seeks high current income with liquidity and stability of principal
Primary Investments	High quality, short-term securities issued or guaranteed by the U.S. government or by U.S. government agencies or instrumentalities and repurchase agreements collateralized by such obligations
Suggested investment time frame	Short-term
Share classes offered	Agency, Capital, Direct, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares
Net Assets as of 2/29/2012	$65.2 Billion
Weighted Average Maturity^	52 days
Weighted Average Life^^	75 days
S&P rating* (a)	AAAm
Moody’s rating* (b)	Aaa-mf

The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.

(a) Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value.

(b) Rating incorporates Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund.

MATURITY SCHEDULE**^
1 day	21.9	%
2–7 days	14.7
8–30 days	12.9
31–60 days	25.7
61–90 days	5.3
91–180 days	14.5
181+ days	5.0

7-DAY SEC YIELD (1)
Agency Shares	0.01	%
Capital Shares	0.01
Direct Shares	0.01
Institutional Class Shares	0.01
Investor Shares	0.01
Morgan Shares	0.01
Premier Shares	0.01
Reserve Shares	0.01
Service Shares	0.01

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* This rating is historical and is based upon the Fund’s credit quality, market price exposure and management.

** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Agency Shares, Capital Shares, Direct Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.18)%, (0.08)%, (0.18)%, (0.13)%, (0.38)%, (0.48)%, (0.33)%, (0.59)% and (0.93)% for Agency Shares, Capital Shares, Direct Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan U.S. Government Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

4 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan U.S. Treasury Plus Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Seeks current income with liquidity and stability of principal
Primary Investments	Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury and repurchase agreements collateralized by U.S. Treasury securities
Suggested investment time frame	Short-term
Share classes offered	Class B, Class C, Agency, Direct, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares
Net Assets as of 2/29/2012	$12.8 Billion
Weighted Average Maturity^	49 days
Weighted Average Life^^	49 days
S&P rating* (a)	AAAm
Moody’s rating* (b)	Aaa-mf

The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.

(a) Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value.

(b) Rating incorporates Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund.

MATURITY SCHEDULE**^
1 day	29.3	%
2–7 days	17.1
8–30 days	17.5
31–60 days	7.0
61–90 days	6.3
91–180 days	16.7
181+ days	6.1

7-DAY SEC YIELD (1)
Class B Shares	0.00	%
Class C Shares	0.00
Agency Shares	0.00
Direct Shares	0.00
Institutional Class Shares	0.00
Investor Shares	0.00
Morgan Shares	0.00
Premier Shares	0.00
Reserve Shares	0.00
Service Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* This rating is historical and is based upon the Fund’s credit quality, market price exposure and management.

** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Class B Shares, Class C Shares, Agency Shares, Direct Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (1.07)%, (1.07)%, (0.22)%, (0.22)%, (0.17)%, (0.42)%, (0.52)%, (0.37)%, (0.62)% and (0.97)% for Class B Shares, Class C Shares, Agency Shares, Direct Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan U.S. Treasury Plus Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 5

JPMorgan Federal Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Aims to provide current income while still preserving capital and maintaining liquidity
Primary Investments	Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes as well as debt obligations issued or guaranteed by U.S. government agencies or instrumentalities
Suggested investment time frame	Short-term
Share classes offered	Agency, Institutional Class, Morgan, Premier and Reserve Shares
Net Assets as of 2/29/2012	$5.7 Billion
Weighted Average Maturity^	50 days
Weighted Average Life^^	70 days
S&P rating* (a)	AAAm
Moody’s rating* (b)	Aaa-mf

The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.

(a) Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value.

(b) Rating incorporates Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund.

MATURITY SCHEDULE**^
1 day	8.5	%
2–7 days	1.8
8–30 days	32.5
31–60 days	36.2
61–90 days	9.8
91–180 days	7.4
181+ days	3.8

7-DAY SEC YIELD (1)
Agency Shares	0.00	%
Institutional Class Shares	0.00
Morgan Shares	0.00
Premier Shares	0.00
Reserve Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* This rating is historical and is based upon the Fund’s credit quality, market price exposure and management.

** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.32)%, (0.27)%, (0.62)%, (0.47)% and (0.72)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Federal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

6 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan 100% U.S. Treasury Securities Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Aims to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal
Primary Investments	Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes
Suggested investment time frame	Short-term
Share classes offered	Agency, Capital, Institutional Class, Morgan, Premier, Reserve and Service Shares
Net Assets as of 2/29/2012	$20.5 Billion
Weighted Average Maturity^	45 days
Weighted Average Life^^	45 days
S&P rating* (a)	AAAm
Moody’s rating* (b)	Aaa-mf

The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.

(a) Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value.

(b) Rating incorporates Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund.

MATURITY SCHEDULE**^
1 day	11.7	%
8–30 days	25.2
31–60 days	33.0
61–90 days	17.5
91–180 days	10.9
181+ days	1.7

7-DAY SEC YIELD (1)
Agency Shares	0.00	%
Capital Shares	0.00
Institutional Class Shares	0.00
Morgan Shares	0.00
Premier Shares	0.00
Reserve Shares	0.00
Service Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* This rating is historical and is based upon the Fund’s credit quality, market price exposure and management.

** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Agency Shares, Capital Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.25)%, (0.15)%, (0.20)%, (0.55)%, (0.40)%, (0.65)% and (1.00)% for Agency Shares, Capital Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan 100% U.S. Treasury Securities Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 7

JPMorgan Tax Free Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Aims to provide the highest possible level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity*
Primary Investments	High quality short-term municipal securities, the interest on which is excluded from federal income taxes
Suggested investment time frame	Short-term
Share classes offered	Agency, Direct, Eagle Class, Institutional Class, Morgan, Premier and Reserve Shares
Net Assets as of 2/29/2012	$18.7 Billion
Weighted Average Maturity^	29 days
Weighted Average Life^^	29 days
S&P rating** (a)	AAAm

The S&P rating is historical and signifies that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.

(a) Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value.

MATURITY SCHEDULE***^
1 day	12.2	%
2–7 days	73.8
8–30 days	0.5
61–90 days	0.2
91–180 days	5.6
181+ days	7.7

7-DAY SEC YIELD (1)
Agency Shares	0.01	%
Direct Shares	0.01
Eagle Class Shares	0.02
Institutional Class Shares	0.02
Morgan Shares	0.01
Premier Shares	0.01
Reserve Shares	0.01

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

** This rating is historical and is based upon the Fund’s credit quality, market price exposure and management.

*** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Agency Shares, Direct Shares, Eagle Class Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.07)%, (0.07)%, (0.47)%, (0.03)%, (0.37)%, (0.22)% and (0.47)% for Agency Shares, Direct Shares, Eagle Class Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Tax Free Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

8 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan Municipal Money Market Fund

FUND FACTS

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Objective	Seeks as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal*
Primary Investments	High quality short-term municipal securities, the interest on which is excluded from federal income taxes
Suggested investment time frame	Short-term
Share classes offered	Agency, E*Trade, Institutional Class, Morgan, Premier, Reserve and Service Shares
Net Assets as of 2/29/2012	$3.1 Billion
Weighted Average Maturity^	25 days
Weighted Average Life^^	25 days

MATURITY SCHEDULE**^
1 day	8.7	%
2–7 days	76.9
8–30 days	1.8
31–60 days	1.6
61–90 days	1.8
91–180 days	4.1
181+ days	5.1

7-DAY SEC YIELD (1)
Agency Shares	0.06	%
E*Trade Shares	0.01
Institutional Class Shares	0.11
Morgan Shares	0.00
Premier Shares	0.00
Reserve Shares	0.00
Service Shares	0.00

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

* A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

** Percentages indicated are based upon total investments as of February 29, 2012.

(1) The yields for Agency Shares, E*Trade Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.00%, (0.75)%, 0.05%, (0.30)%, (0.15)%, (0.40)% and (0.75)% for Agency Shares, E*Trade Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 9

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Certificates of Deposit — 34.0%
	574,000	ABN AMRO Bank N.V., 0.350%, 3/05/12		574,000
		Australia & New Zealand Banking Group Ltd.,
	70,000	0.410%, 08/01/12		70,001
	226,000	0.490%, 04/30/12		226,000
	125,000	0.530%, 07/25/12		125,051
	62,000	0.530%, 07/30/12		62,023
	32,000	0.600%, 06/19/12		32,000
	70,000	0.610%, 06/21/12		70,000
		Bank of Montreal,
	105,000	0.240%, 04/12/12		105,001
	105,000	0.250%, 04/10/12		105,000
		Bank of Nova Scotia,
	1,000,000	0.260%, 03/21/12		1,000,000
	271,000	0.370%, 09/05/12		271,000
	490,000	0.420%, 04/19/12		490,000
	262,000	0.420%, 07/10/12		262,000
	294,500	0.450%, 06/22/12		294,500
	460,000	0.500%, 06/19/12		460,000
		Bank of Tokyo-Mitsubishi UFJ Ltd.,
	375,000	0.470%, 03/20/12		375,000
	58,000	0.530%, 08/31/12		58,000
	143,000	0.550%, 08/14/12		143,000
	189,000	0.550%, 08/31/12		189,000
	250,000	0.600%, 07/25/12		250,000
	39,200	0.600%, 07/26/12		39,200
	194,000	0.610%, 07/23/12		194,000
	400,000	0.640%, 07/27/12		400,000
		Barclays Bank plc,
	645,000	0.310%, 04/19/12		645,000
	100,000	0.380%, 03/21/12		100,000
	1,130,000	0.400%, 03/16/12		1,130,000
	75,000	Branch Banking & Trust Co., 0.250%, 03/30/12		75,000
	295,000	Caisse des Depots et Consignation, 0.360%, 03/09/12		295,000
		Credit Suisse,
	542,000	0.270%, 05/10/12		542,000
	411,000	0.560%, 04/04/12		411,000
	71,000	0.560%, 04/05/12		71,000
		Danske Bank A/S,
	481,000	0.320%, 03/06/12		481,000
	100,000	0.330%, 03/02/12		100,000
	824,000	0.330%, 03/05/12		824,001
		Deutsche Bank AG,
	374,000	0.455%, 05/11/12		374,000
	1,197,000	0.510%, 05/01/12		1,197,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		DnB NOR Bank ASA,
	542,000	0.300%, 05/23/12		542,000
	318,000	0.310%, 05/15/12		318,003
	262,000	0.475%, 04/10/12		262,002
	500,000	0.510%, 04/09/12		500,000
		DZ Bank AG,
	750,000	0.200%, 03/19/12		750,000
	161,000	0.200%, 03/21/12		161,000
	271,000	0.220%, 03/12/12		271,000
		HSBC Bank plc,
	133,000	0.300%, 04/05/12		133,000
	255,000	0.400%, 07/12/12		255,000
	250,000	0.470%, 04/30/12		250,000
	129,000	0.470%, 04/30/12		129,000
	421,000	0.490%, 04/24/12		421,000
	460,000	0.495%, 04/23/12		460,012
	130,000	0.520%, 07/09/12		130,002
	115,000	0.550%, 07/06/12		115,000
		ING Bank N.V.,
	526,000	0.260%, 03/15/12		526,000
	1,355,000	0.260%, 03/21/12		1,355,000
	505,000	0.270%, 03/09/12		505,000
	580,000	Lloyds TSB Bank plc, 0.200%, 03/12/12		580,000
		Mitsubishi UFJ Trust & Banking Corp.,
	69,350	0.460%, 03/01/12		69,350
	336,000	0.500%, 03/19/12		336,000
	76,000	0.500%, 03/23/12		76,000
	325,000	0.510%, 03/22/12		325,002
	108,000	0.530%, 09/04/12		108,000
	50,000	0.550%, 08/28/12		50,000
	133,000	0.560%, 08/23/12		133,000
	58,000	0.570%, 08/24/12		58,000
	269,410	0.650%, 05/08/12		269,410
	90,000	0.650%, 05/09/12		90,000
		Mizuho Co. Bank Ltd.,
	368,000	0.410%, 05/15/12		368,000
	500,000	0.420%, 05/11/12		500,000
	540,000	0.420%, 05/14/12		540,000
	529,000	0.560%, 04/13/12 (n)		528,647
		National Australia Bank Ltd.,
	60,000	0.370%, 08/14/12		60,000
	405,000	0.380%, 08/15/12		405,000
	300,000	0.445%, 03/22/12		300,001
	544,000	0.455%, 03/29/12		544,002
	334,000	0.455%, 04/03/12		334,002
	500,000	0.460%, 04/03/12		500,004

SEE NOTES TO FINANCIAL STATEMENTS.

10 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Certificates of Deposit — Continued
	544,000	0.455%, 03/29/12		544,002
	334,000	0.455%, 04/03/12		334,002
	500,000	0.460%, 04/03/12		500,004
	574,000	0.460%, 07/09/12		574,000
	79,000	0.500%, 04/11/12		79,000
	265,000	0.600%, 05/17/12		265,003
	635,000	0.660%, 06/19/12		635,010
	464,000	Natixis, 0.270%, 03/06/12		464,000
		Nordea Bank Finland plc,
	241,000	0.260%, 05/14/12		241,000
	100,000	0.610%, 05/07/12		100,063
		Norinchukin Bank-New York,
	110,000	0.470%, 05/29/12		110,000
	157,000	0.480%, 05/23/12 (n)		156,826
	432,000	0.490%, 05/18/12		432,000
	339,000	0.500%, 05/10/12		339,000
	471,000	0.500%, 05/15/12		471,000
	300,000	0.520%, 05/09/12		300,000
	240,000	0.525%, 05/14/12		240,003
	250,000	0.530%, 05/09/12		250,000
	210,000	0.550%, 05/11/12		210,000
	95,000	Oversea-Chinese Banking Corp. Ltd., 0.485%, 06/01/12 (n)		94,882
		Rabobank Nederland N.V.,
	402,000	0.453%, 04/24/12		402,002
	137,000	0.500%, 04/23/12 (n)		136,899
	1,340,000	0.500%, 04/23/12		1,340,000
	522,000	0.510%, 04/16/12		522,000
	250,000	0.660%, 07/26/12		250,000
	924,650	0.680%, 08/01/12		924,650
	305,000	0.685%, 08/01/12		305,006
	92,400	Royal Bank of Canada, 0.510%, 11/28/12		92,400
		Shizuoka Bank,
	30,000	0.240%, 04/03/12		30,000
	25,000	0.250%, 03/05/12		25,000
	35,000	0.250%, 04/02/12		35,000
	90,000	0.250%, 03/02/12		90,000
		Sumitomo Mitsui Banking Corp.,
	572,500	0.360%, 03/01/12		572,500
	114,000	0.470%, 03/22/12		114,000
	101,000	0.490%, 08/27/12		101,000
	244,000	0.510%, 08/20/12		244,000
	440,000	0.530%, 08/03/12		440,000
	90,000	0.540%, 07/27/12		90,000
	437,000	0.610%, 07/19/12		437,000
	254,000	0.680%, 07/09/12		254,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Sumitomo Trust & Banking Co., Ltd.,
	250,000	0.410%, 05/21/12 (n)		249,770
	127,000	0.410%, 05/16/12		127,000
	274,000	0.430%, 05/04/12		274,000
	109,000	0.495%, 05/03/12		109,001
	81,000	0.505%, 04/30/12		81,001
	231,000	0.530%, 04/20/12 (n)		230,830
	269,000	0.560%, 04/17/12 (n)		268,804
	130,000	0.580%, 04/16/12 (n)		129,904
		Svenska Handelsbanken AB,
	163,000	0.265%, 05/18/12		163,000
	269,000	0.270%, 05/15/12		269,000
	173,000	0.275%, 05/11/12		173,002
	524,100	0.300%, 06/01/12		524,100
	273,000	0.450%, 04/13/12		273,001
	190,000	0.500%, 03/22/12		190,000
	460,000	0.515%, 03/20/12		460,001
	90,000	0.515%, 04/05/12		90,001
		UBS AG,
	269,000	0.510%, 04/30/12		269,000
	1,085,000	0.530%, 04/27/12		1,085,000
	88,000	Westpac Banking Corp., 0.470%, 04/02/12		88,000
		Total Certificates of Deposit (Cost $41,718,873)		41,718,873
	Commercial Paper — 25.1% (n)
		ABN AMRO Funding USA LLC,
	63,000	0.260%, 03/20/12 (e) (m)		62,991
	98,000	0.270%, 04/02/12 (e) (m)		97,977
	87,000	Alpine Securitization Corp., 0.451%, 04/11/12 (e) (m)		86,955
	191,000	Antalis U.S. Funding Corp., 0.340%, 03/02/12 (e) (m)		190,998
	178,430	ANZ National (International) Ltd., 0.260%, 05/02/12 (e) (m)		178,350
		Argento Variable Funding Co. LLC,
	220,000	0.200%, 03/13/12 (e)		219,985
	255,000	0.200%, 03/06/12 (e)		254,993
	137,000	Aspen Funding Corp., 0.400%, 05/29/12 (e)		136,865
	466,000	Atlantic Asset Securitization LLC, 0.320%, 03/02/12 (e)		465,996
		Atlantis One Funding Corp.,
	138,000	0.501%, 04/12/12 (e)		137,919
	347,400	0.531%, 04/05/12 (e)		347,221
	193,000	0.582%, 08/09/12 (e)		192,499
	578,000	0.582%, 08/16/12 (e)		576,436

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 11

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Paper — Continued
		Australia & New Zealand Banking Group Ltd.,
	377,000	0.431%, 03/28/12 (e)		376,878
	187,000	0.461%, 04/16/12 (e)		186,890
	81,000	0.461%, 04/13/12 (e)		80,956
	170,000	0.521%, 05/21/12 (e)		169,801
	76,000	0.552%, 06/29/12 (e)		75,861
		Barclays Bank plc,
	213,000	0.350%, 04/19/12 (e)		212,899
	109,000	0.360%, 04/02/12 (e)		108,965
		Barclays U.S. Funding Corp.,
	90,652	0.120%, 03/01/12		90,652
	668,000	0.320%, 04/05/12		667,792
	26,000	Barton Capital LLC, 0.200%, 03/01/12 (e)		26,000
	872,575	BNP Paribas Finance, Inc., 0.280%, 03/06/12		872,541
	90,000	CAFCO LLC, 0.220%, 03/13/12 (e)		89,993
		Caisse d’Amortissement de la Dette Sociale,
	87,000	0.341%, 03/06/12 (e)		86,996
	625,000	1.278%, 08/02/12 (e)		621,604
		Cancara Asset Securitisation LLC,
	134,000	0.200%, 03/12/12 (e)		133,992
	494,800	0.200%, 03/15/12 (e)		494,761
	125,000	0.200%, 03/13/12 (e)		124,992
	350,000	0.200%, 03/14/12 (e)		349,975
	58,944	0.200%, 03/08/12 (e)		58,942
	82,000	Charta, LLC, 0.220%, 03/14/12 (e)		81,993
		Commonwealth Bank of Australia Ltd.,
	87,000	0.220%, 04/12/12 (e)		86,978
	50,000	0.386%, 03/02/12 (e)		49,999
	216,000	0.456%, 03/30/12 (e)		215,921
	153,000	0.461%, 04/16/12 (e)		152,910
	130,000	0.461%, 04/23/12 (e)		129,912
	219,130	0.463%, 04/17/12 (e)		218,998
	433,000	0.471%, 04/30/12 (e)		432,661
	28,000	0.481%, 03/19/12 (e)		27,993
	390,000	0.491%, 05/09/12 (e)		389,634
	307,000	0.496%, 07/12/12 (e)		306,438
	270,000	0.638%, 06/18/12 (e)		269,480
		CRC Funding, LLC,
	90,000	0.220%, 03/13/12 (e)		89,994
	90,000	0.220%, 03/15/12 (e)		89,992
	90,000	DBS Bank Ltd., 0.572%, 08/02/12 (e)		89,781
	193,000	Deutsche Bank Financial LLC, 0.380%, 06/01/12		192,813
		DnB NOR Bank ASA,
	172,000	0.451%, 04/13/12 (e)		171,908
	319,000	0.511%, 04/04/12 (e)		318,846

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Erste Abwicklungsanstalt,
	55,000	0.751%, 04/11/12 (e)		54,953
	76,000	0.751%, 04/04/12 (e)		75,946
	16,000	0.751%, 04/09/12 (e)		15,987
	40,000	0.751%, 04/16/12 (e)		39,962
	50,000	0.752%, 04/17/12 (e)		49,951
	40,000	0.854%, 07/23/12 (e)		39,864
	271,000	Fortis Funding LLC, 0.340%, 03/02/12 (e)		270,997
	141,905	Gemini Securitization Corp., 0.120%, 03/01/12 (e)		141,905
		General Electric Capital Corp.,
	325,000	0.230%, 04/30/12		324,875
	145,000	0.240%, 04/19/12		144,953
	125,000	0.280%, 03/30/12		124,972
	390,000	0.341%, 03/23/12		389,919
	163,000	0.351%, 03/26/12		162,960
	85,000	0.351%, 08/13/12		84,864
	312,000	0.351%, 08/14/12		311,496
		General Electric Capital Services, Inc.,
	66,000	0.250%, 05/08/12		65,969
	110,000	0.290%, 04/11/12		109,964
	125,000	Grampian Funding LLC, 0.200%, 03/07/12 (e)		124,996
		Kells Funding LLC,
	145,000	0.371%, 04/10/12		144,940
	163,000	0.682%, 08/20/12		162,470
	64,000	0.683%, 08/23/12		63,789
	140,000	0.693%, 09/07/12		139,490
	150,000	0.703%, 08/22/12		149,493
	90,000	0.718%, 07/30/12		89,730
	500,000	0.723%, 07/23/12		498,560
	412,000	0.723%, 07/19/12		410,847
	191,000	0.723%, 07/20/12		190,461
	100,000	KfW Bankengruppe, 0.401%, 08/07/12 (e)		99,823
	201,000	LMA Americas LLC, 0.350%, 03/06/12 (e)		200,990
		Macquarie Bank Ltd.,
	180,000	0.711%, 05/15/12 (e)		179,734
	79,000	0.711%, 05/18/12 (e)		78,878
	75,000	0.721%, 05/14/12 (e)		74,889
	70,000	0.721%, 05/08/12 (e)		69,905
	114,000	0.751%, 05/03/12 (e)		113,850
	175,000	0.771%, 04/17/12 (e)		174,824
	218,000	0.771%, 04/19/12 (e)		217,772
	200,000	0.772%, 04/23/12 (e)		199,773
	84,000	0.772%, 04/25/12 (e)		83,901

SEE NOTES TO FINANCIAL STATEMENTS.

12 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Paper — Continued
		MetLife Short Term Funding LLC,
	39,000	0.441%, 09/04/12 (e)		38,911
	35,000	0.471%, 08/20/12 (e)		34,921
		Mizuho Funding LLC,
	22,000	0.420%, 05/11/12 (e)		21,982
	98,150	0.430%, 05/10/12 (e)		98,068
	25,000	0.486%, 03/02/12 (e)		24,999
	160,700	National Australia Funding Delaware, Inc., 0.461%, 07/09/12 (e)		160,433
	354,930	Natixis U.S. Finance Co. LLC, 0.270%, 03/06/12		354,917
	85,131	Newport Funding Corp., 0.461%, 05/08/12 (e)		85,057
		Nordea North America, Inc.,
	127,000	0.130%, 03/02/12		126,999
	215,900	0.270%, 05/07/12		215,792
	149,000	0.270%, 05/15/12		148,916
		Northern Pines Funding LLC,
	259,000	0.471%, 05/11/12 (e)		258,760
	190,000	0.521%, 04/23/12 (e)		189,854
		NRW.BANK,
	329,000	0.335%, 05/08/12 (e)		328,792
	195,000	0.340%, 03/12/12 (e)		194,980
	500,000	0.350%, 05/04/12 (e)		499,689
	39,000	0.350%, 05/02/12 (e)		38,976
	277,200	0.416%, 04/10/12 (e)		277,072
	757,000	0.430%, 03/05/12 (e)		756,964
	750,000	0.481%, 04/13/12 (e)		749,570
	90,000	PB Finance Delaware, Inc., 0.660%, 03/06/12 (e)		89,992
		Rabobank USA Financial Corp.,
	200,000	0.572%, 08/29/12		199,427
	400,000	0.682%, 07/25/12		398,897
	147,000	Regency Markets No. 1 LLC, 0.200%, 03/15/12 (e)		146,989
	70,000	Rhein-Main Securitisation Ltd., 0.650%, 03/26/12 (e)		69,968
		Royal Park Investments Funding Corp.,
	90,000	1.051%, 03/07/12		89,984
	132,000	1.061%, 03/13/12		131,953
	60,000	1.071%, 03/07/12 (e)		59,989
	150,000	1.151%, 03/06/12 (e)		149,976
	28,000	1.151%, 03/06/12		27,996
	279,000	Scaldis Capital LLC, 0.330%, 03/01/12 (e)		279,000
	65,000	Skandinaviska Enskilda Banken AB, 0.200%, 03/01/12 (e)		65,000
	222,000	Starbird Funding Corp., 0.320%, 03/06/12 (e)		221,990

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Straight-A Funding LLC,
	138,500	0.180%, 05/07/12		138,453
	189,000	0.180%, 05/11/12		188,933
	18,500	0.180%, 05/09/12		18,494
		Sumitomo Mitsui Banking Corp.,
	388,000	0.511%, 08/24/12 (e)		387,033
	260,000	0.531%, 08/06/12 (e)		259,395
	444,000	0.542%, 08/01/12 (e)		442,981
	352,000	0.582%, 07/20/12 (e)		351,200
		Suncorp-Metway Ltd.,
	52,000	0.310%, 03/26/12 (e)		51,989
	175,000	0.310%, 03/28/12 (e)		174,959
	50,000	0.320%, 03/07/12 (e)		49,997
	40,000	0.320%, 03/12/12 (e)		39,996
	75,000	0.320%, 03/21/12 (e)		74,987
	100,000	0.330%, 03/01/12 (e)		100,000
	90,000	Svenska Handelsbanken, Inc., 0.501%, 03/15/12 (e)		89,983
		Swedbank AB,
	116,000	0.310%, 03/27/12		115,974
	180,000	0.320%, 03/28/12		179,957
	40,000	0.320%, 04/03/12		39,988
	200,000	0.320%, 03/30/12		199,949
	200,000	0.320%, 03/29/12		199,950
	67,032	Tasman Funding, Inc., 0.320%, 03/28/12 (e)		67,016
		Thames Asset Global Securitization No. 1, Inc.,
	82,000	0.270%, 04/02/12 (e)		81,980
	125,900	0.251%, 03/20/12 (e)		125,883
	78,323	0.270%, 03/19/12 (e)		78,313
	50,000	Toyota Credit Canada, Inc., 0.521%, 03/22/12		49,985
	27,000	Toyota Credit De Puerto Rico Corp., 0.501%, 07/16/12		26,949
		Toyota Motor Credit Corp.,
	125,000	0.501%, 03/19/12		124,969
	53,000	0.511%, 04/04/12		52,974
	66,000	0.562%, 04/12/12		65,957
		UBS Finance Delaware LLC,
	396,700	0.485%, 05/03/12		396,363
	176,750	0.501%, 05/02/12		176,598
		UOB Funding LLC,
	50,000	0.310%, 04/10/12		49,983
	15,500	0.320%, 04/24/12		15,492
	238,700	Versailles Commercial Paper LLC, 0.350%, 03/02/12 (e)		238,698

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 13

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Paper — Continued
		Westpac Banking Corp.,
	85,000	0.250%, 03/21/12 (e)		84,988
	74,000	0.401%, 08/06/12 (e)		73,870
	140,000	0.461%, 03/27/12 (e)		139,954
	15,000	0.461%, 04/05/12 (e)		14,993
	410,000	0.461%, 04/20/12 (e)		409,738
	514,000	0.464%, 05/03/12 (e)		513,584
	89,000	0.471%, 03/15/12 (e)		88,984
	269,000	0.471%, 03/29/12 (e)		268,902
	403,000	0.471%, 04/18/12 (e)		402,747
	419,000	0.501%, 05/16/12 (e)		418,558
	181,000	0.501%, 07/02/12 (e)		180,691
	39,471	Windmill Funding I Corp., 0.250%, 03/28/12 (e)		39,464
		Total Commercial Paper (Cost $30,803,242)		30,803,242
	Corporate Notes — 2.0%
		Financials — 2.0%
		Commercial Banks — 1.5%
	546,250	Australia & New Zealand Banking Group Ltd., VAR, 0.389%, 03/15/12 (e)		546,250
		Bank of America N.A.
	129,400	0.400%, 03/15/12		129,400
	598,000	0.430%, 03/06/12		598,000
	531,000	0.430%, 03/08/12		531,000
				1,804,650
		Insurance — 0.5%
	525,650	Metropolitan Life Global Funding I, VAR, 0.694%, 03/12/12 (e)		525,650
	92,500	New York Life Global Funding, VAR, 0.606%, 03/29/12 (e)		92,500
				618,150
		Total Corporate Notes (Cost $2,422,800)		2,422,800
	Foreign Government Securities — 0.2%
		Export Development Canada
	55,000	0.300%, 03/01/13 (e)		55,000
	157,000	0.300%, 03/07/13 (e)		157,000
		Total Foreign Government Securities (Cost $212,000)		212,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Repurchase Agreements — 9.4%
	799,047	Barclays Capital, Inc., VAR, 0.160%, dated 02/29/12, due 03/05/12, repurchase price $799,065, collateralized by Federal National Mortgage Association, 0.750% - 2.500%, due 06/22/12 - 12/19/14, Federal Home Loan Mortgage Corporation, 0.000% - 0.214%, due 03/26/12 - 06/03/13, Federal Home Loan Banks, 0.280% - 2.875%, due 08/22/12 - 06/12/15 and Federal Farm Credit Banks, 0.000% - 5.000%, due 02/20/13 - 12/05/31, with a value of $815,029.		799,047
	659,000	Barclays Capital, Inc., VAR, 0.620%, dated 02/29/12, due 03/26/12, repurchase price $659,295, collateralized by Corporate Notes and Bonds, 0.000% - 8.310%, due 02/25/22 - 10/15/48, with a value of $691,950. (i)		659,000
	723,000	Barclays Capital, Inc., 0.620%, dated 02/29/12, due 03/26/12, repurchase price $723,324, collateralized by Corporate Notes and Bonds, 0.374% - 6.000%, due 02/15/17 - 12/11/49, with a value of $759,150. (i)		723,000
	425,000	Citigroup Global Markets Holdings, Inc., 0.720%, dated 02/29/12, due 03/13/12, repurchase price $425,111, collateralized by Corporate Notes and Bonds, 0.000% - 14.796%, due 11/15/13 - 4/27/57, Federal National Mortgage Association, 0.000%, due 06/25/34, with a value of $446,227. (i)		425,000
	425,000	Citigroup Global Markets Holdings, Inc., 0.920%, dated 02/29/12, due 03/13/12, repurchase price $425,141, collateralized by Corporate Notes and Bonds, 0.000% - 34.280%, due 01/11/13 - 12/26/50 and Municipal Debt Securities, 7.546%, due 09/30/15, with a value of $446,257. (i)		425,000
	250,000	Credit Suisse USA, Inc., 0.150%, dated 02/29/12, due 03/01/12, repurchase price $250,001, collateralized by Corporate Notes and Bonds, 2.625% - 4.250%, due 11/15/17 - 08/15/20, with a value of $255,005.		250,000

SEE NOTES TO FINANCIAL STATEMENTS.

14 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Repurchase Agreements — Continued
	475,000	Credit Suisse USA, Inc., 0.900%, dated 02/29/12, due 05/15/12, repurchase price $475,903, collateralized by Corporate Notes and Bonds, 4.539% - 4.940%, due 02/25/47 - 08/27/47 and Municipal Debt Securities, 6.250%, due 07/15/28, with a value of $498,753. (i)		475,000
	500,000	Credit Suisse USA, Inc., 0.900%, dated 02/29/12, due 05/07/12, repurchase price $500,850, collateralized by Corporate Notes and Bonds, 0.000% - 7.000%, due 01/10/13 - 12/01/99, Federal National Mortgage Association, 129.321%, due 08/25/19, Federal Home Loan Mortgage Corporation, 10.000%, due 04/15/20 and Municipal Debt Securities, 6.250% - 6.950%, due 01/01/20 - 07/15/28, with a value of $525,000. (i)		500,000
	505,000	Credit Suisse USA, Inc., 0.900%, dated 02/29/12, due 05/04/12, repurchase price $505,821, collateralized by Corporate Notes and Bonds, 0.000% - 6.765%, due 10/20/18 - 07/25/57, with a value of $530,250. (i)		505,000
	460,000	Deutsche Bank Securities, Inc., VAR, 0.520%, dated 02/29/12, due 05/04/12, repurchase price $460,432, collateralized by Corporate Notes and Bonds, 0.000% - 53.800%, due 11/12/14 - 02/15/51 and Municipal Debt Securities, 5.500%, due 12/01/32, with a value of $483,000. (i)		460,000
	483,000	Deutsche Bank Securities, Inc., VAR, 0.520%, dated 02/29/12, due 04/25/12, repurchase price $483,391, collateralized by Corporate Notes and Bonds, 0.000% - 59.404%, due 10/15/15 - 10/12/52, with a value of $507,150. (i)		483,000
	250,000	HSBC Securities USA, Inc., 0.160%, dated 02/29/12, due 03/01/12, repurchase price $250,001, collateralized by U.S. Treasury Securities, 2.375% - 3.750%, due 02/28/15 - 08/15/41, with a value of $255,005.		250,000
	400,000	HSBC Securities USA, Inc., 0.240%, dated 02/29/12, due 03/01/12, repurchase price $400,003, collateralized by Corporate Notes and Bonds, 0.309% - 0.677%, due 10/15/20 - 05/15/45, with a value of $412,001.		400,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	381,042	Merrill Lynch PFS, Inc., 0.160%, dated 02/29/12, due 03/01/12, repurchase price $381,044, collateralized by U.S. Treasury Securities, 0.500% - 4.375%, due 10/15/13 - 11/15/39, with a value of $388,663.		381,042
	230,000	Merrill Lynch PFS, Inc., 0.320%, dated 02/29/12, due 03/01/12, repurchase price $230,002, collateralized by Corporate Notes and Bonds, 0.000% - 6.625%, due 03/15/12 - 12/01/41, Federal National Mortgage Association, 0.000% - 1.633%, due 05/17/36 - 12/25/43 and Federal Home Loan Mortgage Corporation, 0.000% - 7.855%, due 08/25/20 - 05/25/43, with a value of $240,728.		230,000
	900,000	Merrill Lynch PFS, Inc., 0.620%, dated 02/29/12, due 03/01/12, repurchase price $900,016, collateralized by Corporate Notes and Bonds, 0.000% - 10.000%, due 03/22/12 - 06/22/51 and Municipal Debt Securities, 0.000% - 8.250%, due 03/01/13 - 06/15/53, with a value of $945,000.		900,000
	500,000	Morgan Stanley, 0.190%, dated 02/29/12, due 03/01/12, repurchase price $500,003, collateralized by Federal National Mortgage Association, 3.000% - 6.000%, due 02/01/22 - 03/01/42, with a value of $515,000.		500,000
	1,879,000	RBS Securities, Inc., 0.420%, dated 02/29/12, due 03/01/12, repurchase price $1,879,022, collateralized by Corporate Notes and Bonds, 0.000% - 14.000%, due 03/16/12 - 02/16/51, Federal National Mortgage Association, 6.086%, due 11/25/38, Federal Home Loan Mortgage Corporation, 2.517%, due 05/15/37 and Municipal Debt Securities, 0.000% - 6.375%, due 12/01/37 - 07/15/38, Government National Mortgage Association, 3.000% - 9.000%, due 02/20/17 - 12/15/46, with a value of $1,934,226.		1,879,000
	300,000	Societe Generale, 0.190%, dated 02/29/12, due 03/01/12, repurchase price $300,002, collateralized by Federal National Mortgage Association, 3.500% - 5.500%, due 01/01/21- 03/01/42, Federal Home Loan Mortgage Corporation, 3.500% - 4.500%, due 01/01/26 - 07/01/40, with a value of $306,000.		300,000

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 15

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Repurchase Agreements — Continued
	1,000,000	Societe Generale, 0.190%, dated 02/29/12, due 03/01/12, repurchase price $1,000,005, collateralized by Federal National Mortgage Association, 3.500% - 6.000%, due 07/01/21- 03/01/47, Federal Home Loan Mortgage Corporation, 4.500% - 5.000%, due 12/01/30 - 02/01/41, with a value of $1,020,000.		1,000,000
		Total Repurchase Agreements (Cost $11,544,089)		11,544,089
	Time Deposits — 19.0%
	2,569,575	Bank of Nova Scotia, 0.130%, 03/01/12		2,569,575
	999,575	Bank of Tokyo-Mitsubishi UFJ Ltd., 0.130%, 03/01/12		999,575
	1,311,822	Barclays Bank plc, 0.130%, 03/01/12		1,311,822
	890,003	BNP Paribas, 0.130%, 03/01/12		890,003
	975,000	Citibank N.A., 0.130%, 03/07/12		975,000
		Commerzbank AG,
	400,000	0.140%, 03/01/12		400,000
	1,049,575	0.150%, 03/01/12		1,049,575
	742,000	Credit Agricole Corporate and Investment Bank, 0.330%, 03/02/12		742,000
	825,000	Danske Bank A/S, 0.170%, 03/01/12		825,000
	1,000,000	Deutsche Bank AG, 0.130%, 03/01/12		1,000,000
	1,700,000	DnB NOR Bank ASA, 0.130%, 03/01/12		1,700,000
	1,000,000	Lloyds TSB Bank plc, 0.130%, 03/01/12		1,000,000
	550,000	Natixis, 0.270%, 03/06/12		550,000
	2,000,000	Nordea Bank Finland plc, 0.130%, 03/01/12		2,000,000
		Royal Bank of Scotland plc,
	1,100,000	0.130%, 03/01/12		1,100,000
		Skandinaviska Enskilda Banken AB,
	1,000,000	0.120%, 03/01/12		1,000,000
	1,000,000	0.120%, 03/01/12		1,000,000
	1,211,575	Societe Generale, 0.310%, 03/02/12		1,211,575
	1,000,000	Sumitomo Mitsui Banking Corp., 0.120%, 03/01/12		1,000,000
	2,000,000	Svenska Handelsbanken, 0.130%, 03/01/12		2,000,000
		Total Time Deposits (Cost $23,324,125)		23,324,125
	U.S. Government Agency Securities — 10.5%
	197,000	Federal Farm Credit Bank, 0.210%, 10/03/12		196,986
		Federal Home Loan Bank,
	91,000	0.160%, 03/08/12		90,999
	37,750	0.170%, 04/02/12		37,750
	26,000	0.180%, 08/15/12		25,997

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	785,000	0.180%, 08/22/12		784,914
	240,000	0.190%, 02/28/13		239,929
	23,000	0.200%, 02/27/13		22,995
	267,700	0.200%, 03/05/13		267,638
	54,000	0.200%, 02/15/13		53,991
	77,500	0.200%, 08/16/12		77,499
	188,000	0.200%, 09/27/12		187,984
	93,000	0.200%, 02/25/13		92,974
	340,000	0.210%, 03/01/13		339,956
	133,000	0.220%, 07/20/12		132,967
	83,000	0.230%, 08/24/12		83,011
	343,950	0.230%, 08/13/12		343,944
	10,000	DN, 0.001%, 03/01/12 (n)		10,000
	450,000	VAR, 0.320%, 03/01/12		449,910
		Federal Home Loan Mortgage Corp.,
	100,000	VAR, 0.194%, 03/13/12		99,907
	870,000	VAR, 0.213%, 03/05/12		869,588
	466,550	VAR, 0.234%, 03/05/12		466,533
	687,000	VAR, 0.290%, 03/01/12		686,821
	1,895,000	VAR, 0.310%, 03/01/12		1,894,167
		Federal National Mortgage Association,
	79,000	0.500%, 10/30/12		79,134
	37,302	1.125%, 07/30/12		37,432
	680,000	1.250%, 05/07/12		681,304
	823,700	DN, 0.190%, 10/01/12 (n)		822,770
	185,000	VAR, 0.224%, 03/05/12		184,881
	416,000	VAR, 0.266%, 03/23/12		415,939
	900,000	VAR, 0.274%, 03/28/12		899,849
	423,000	VAR, 0.276%, 03/20/12		422,931
	1,082,250	VAR, 0.300%, 03/01/12		1,082,088
	835,000	VAR, 0.330%, 03/01/12		834,910
		Total U.S. Government Agency Securities (Cost $12,917,698)		12,917,698
	U.S. Treasury Obligations — 1.0%
		U.S. Treasury Notes — 1.0%
	64,500	0.375%, 09/30/12		64,577
	200,000	0.625%, 02/28/13		200,841
	567,230	1.375%, 09/15/12		570,926
	262,850	1.375%, 01/15/13		265,571
	69,000	2.750%, 02/28/13		70,750
		Total U.S. Treasury Obligations (Cost $1,172,665)		1,172,665

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Note — 0.3%
		Michigan — 0.3%
	390,400	Michigan Finance Authority, Unemployment Obligation Assessment, Rev., VRDO, LOC: Citibank N.A., 0.160%, 03/07/12 (Cost $390,400)		390,400
		Total Investments — 101.5% (Cost $124,505,892)*		124,505,892
		Liabilities in Excess of Other Assets — (1.5)%		(1,820,392	)
		NET ASSETS — 100.0%	$	122,685,500

Percentages indicated are based on net assets.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 17

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Certificates of Deposit — 31.7%
	50,000	ABN Amro Bank N.V., 0.350%, 03/05/12		50,000
		Australia & New Zealand Banking Group Ltd.,
	17,000	0.410%, 08/01/12		17,001
	21,000	0.490%, 04/30/12		21,000
	6,000	0.530%, 07/30/12		6,002
	10,000	0.610%, 06/21/12		10,000
		Bank of Montreal,
	10,000	0.240%, 04/12/12		10,000
	10,000	0.250%, 04/10/12		10,000
		Bank of Nova Scotia,
	93,000	0.260%, 03/23/12		93,000
	25,000	0.370%, 09/05/12		25,000
	10,000	0.420%, 04/19/12		10,000
	24,000	0.420%, 07/10/12		24,000
	20,000	0.450%, 06/22/12		20,000
	40,000	0.500%, 06/19/12		40,000
		Bank of Tokyo-Mitsubishi UFJ Ltd.,
	31,000	0.470%, 03/20/12		31,000
	100,000	0.530%, 08/31/12		100,000
	13,000	0.550%, 08/14/12		13,000
	20,000	0.550%, 08/31/12		20,000
	83,000	0.600%, 07/26/12		83,000
	17,000	0.610%, 07/23/12		17,000
		Barclays Bank plc,
	58,000	0.310%, 04/19/12		58,000
	15,000	0.380%, 03/21/12		15,000
	2,000	0.400%, 03/16/12		2,000
		Credit Suisse,
	48,000	0.270%, 05/10/12		48,000
	39,000	0.560%, 04/04/12		39,000
	7,000	0.560%, 04/05/12		7,000
		Danske Bank A/S,
	47,000	0.320%, 03/06/12		47,000
	78,000	0.330%, 03/05/12		78,000
		Deutsche Bank AG,
	34,000	0.455%, 05/11/12		34,000
	112,000	0.510%, 05/01/12		112,000
		DnB NOR Bank ASA,
	51,000	0.300%, 05/23/12		51,000
	28,000	0.310%, 05/15/12		28,000
	24,000	0.475%, 04/10/12		24,000
	40,000	0.520%, 03/13/12		40,000
		DZ Bank AG,
	69,000	0.200%, 03/19/12		69,000
	15,000	0.200%, 03/21/12		15,000
	24,000	0.220%, 03/12/12		24,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		HSBC Bank plc,
	27,000	0.300%, 03/22/12		27,000
	12,000	0.300%, 04/05/12		12,000
	24,000	0.400%, 07/12/12		24,000
	36,000	0.470%, 04/30/12		36,000
	36,000	0.490%, 04/24/12		36,000
	40,000	0.495%, 04/23/12		40,001
	12,000	0.520%, 07/09/12		12,000
	11,000	0.550%, 07/06/12		11,000
		ING Bank N.V.,
	47,000	0.260%, 03/15/12		47,000
	122,000	0.260%, 03/21/12		122,000
	48,000	0.270%, 03/09/12		48,000
		Mitsubishi UFJ Trust & Banking Corp.,
	50,000	0.455%, 03/06/12		50,000
	10,000	0.460%, 03/01/12		10,000
	33,000	0.470%, 03/22/12		33,000
	35,000	0.500%, 03/19/12		35,000
	40,000	0.510%, 03/22/12		40,000
	11,000	0.530%, 09/04/12		11,000
	13,000	0.560%, 08/23/12		13,000
	5,000	0.570%, 08/24/12		5,000
	5,000	0.615%, 04/27/12 (n)		4,995
	30,000	0.650%, 05/08/12		30,000
	5,000	0.650%, 05/09/12		5,000
		Mizuho Corporate Bank Ltd.,
	33,000	0.410%, 05/15/12		33,000
	48,000	0.420%, 05/14/12		48,000
	15,000	0.550%, 04/23/12 (n)		14,988
	48,000	0.560%, 04/13/12 (n)		47,968
		National Australia Bank Ltd.,
	20,000	0.370%, 08/14/12		20,000
	20,000	0.380%, 08/15/12		20,000
	15,000	0.445%, 03/22/12		15,000
	46,000	0.455%, 03/29/12		46,000
	67,000	0.455%, 04/03/12		67,001
	53,000	0.460%, 07/09/12		53,000
	10,000	0.500%, 04/11/12		10,000
	23,000	0.600%, 05/17/12		23,000
	100,000	Natixis, 0.270%, 03/06/12		100,000
	22,000	Nordea Bank Finland plc, 0.260%, 05/14/12		22,000
		Norinchukin Bank-New York,
	10,000	0.470%, 05/29/12		10,000
	15,000	0.480%, 05/23/12 (n)		14,984
	40,000	0.490%, 05/18/12		40,000
	33,000	0.500%, 05/10/12		33,000

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Certificates of Deposit — Continued
	45,000	0.500%, 05/15/12		45,000
	25,000	0.525%, 05/14/12		25,000
	37,000	0.530%, 05/09/12		37,000
	40,000	0.550%, 05/11/12		40,000
		Rabobank Nederland N.V.,
	36,000	0.453%, 04/24/12		36,000
	24,000	0.500%, 04/23/12		24,000
	114,000	0.500%, 04/23/12		114,000
	49,000	0.510%, 04/16/12		49,000
	35,000	0.680%, 08/01/12		35,000
	49,000	0.680%, 08/01/12		49,000
	9,000	Royal Bank of Canada, 0.510%, 11/28/12		9,000
		Shizuoka Bank,
	10,000	0.240%, 04/03/12		10,000
	5,000	0.250%, 04/02/12		5,000
		Sumitomo Mitsui Banking Corp.,
	45,000	0.360%, 03/01/12		45,000
	9,000	0.470%, 03/22/12		9,000
	9,000	0.490%, 08/27/12		9,000
	23,000	0.510%, 08/20/12		23,000
	38,000	0.510%, 08/24/12		38,000
	50,000	0.530%, 08/03/12		50,000
	63,000	0.610%, 07/19/12		63,000
	24,000	0.680%, 07/09/12		24,000
		Sumitomo Trust & Banking Co., Ltd.,
	35,000	0.410%, 05/16/12		35,000
	30,000	0.430%, 05/04/12		30,000
	10,000	0.495%, 05/03/12		10,000
	8,000	0.505%, 04/30/12		8,000
	9,000	0.530%, 04/20/12 (n)		8,994
		Svenska Handelsbanken AB,
	15,000	0.265%, 05/18/12		15,000
	24,000	0.270%, 05/15/12		24,000
	50,500	0.300%, 06/01/12		50,500
	12,000	0.450%, 04/13/12		12,000
	18,000	0.500%, 03/22/12		18,000
	40,000	0.515%, 03/20/12		40,000
	10,000	0.515%, 04/05/12		10,000
		UBS AG,
	100,000	0.480%, 05/04/12		100,000
	26,000	0.510%, 04/30/12		26,000
	98,000	0.530%, 04/27/12		98,000
		Westpac Banking Corp.,
	35,000	0.460%, 04/24/12		35,000
	5,000	0.470%, 04/02/12		5,000
		Total Certificates of Deposit (Cost $3,825,434)		3,825,434

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Paper — 28.8% (n)
	8,000	ABN Amro Funding USA LLC, 0.270%, 04/02/12 (e) (m)		7,998
	8,000	Alpine Securitization Corp., 0.451%, 04/11/12 (e) (m)		7,996
	18,000	Antalis U.S. Funding Corp., 0.340%, 03/02/12 (e) (m)		18,000
	26,000	Argento Variable Funding Co. LLC, 0.210%, 03/05/12 (e) (m)		25,999
	13,000	Aspen Funding Corp., 0.400%, 05/29/12 (e)		12,987
	43,000	Atlantic Asset Securitization LLC, 0.320%, 03/02/12 (e)		43,000
		Atlantis One Funding Corp.,
	35,000	0.531%, 04/05/12 (e)		34,982
	50,000	0.582%, 08/16/12 (e)		49,865
		Australia & New Zealand Banking Group Ltd.,
	31,000	0.431%, 03/28/12 (e)		30,990
	12,000	0.461%, 04/13/12 (e)		11,993
	107,000	0.461%, 04/18/12 (e)		106,934
	62,000	0.461%, 04/26/12 (e)		61,956
		Barclays Bank plc,
	19,000	0.350%, 04/19/12 (e)		18,991
	10,000	0.360%, 04/02/12 (e)		9,997
	65,000	Barclays U.S. Funding Corp., 0.320%, 04/05/12		64,980
	3,000	Barton Capital Corp., 0.200%, 03/01/12 (e)		3,000
	63,000	BNP Paribas Finance, Inc., 0.280%, 03/06/12		62,998
	15,000	BNZ International Funding Ltd., 0.300%, 04/05/12 (e)		14,996
	10,000	CAFCO LLC, 0.220%, 03/13/12 (e)		9,999
	66,000	Caisse d’Amortissement de la Dette Sociale, 1.278%, 08/01/12 (e)		65,644
		Cancara Asset Securitisation LLC,
	15,000	0.200%, 03/12/12 (e)		14,999
	50,000	0.200%, 03/16/12 (e)		49,996
		Commonwealth Bank of Australia Ltd.,
	8,000	0.220%, 04/12/12 (e)		7,998
	18,000	0.456%, 03/30/12 (e)		17,993
	27,000	0.461%, 04/16/12 (e)		26,984
	70,000	0.461%, 04/20/12 (e)		69,955
	15,000	0.461%, 04/23/12 (e)		14,990
	10,000	0.471%, 04/17/12 (e)		9,994
	45,000	0.471%, 04/30/12 (e)		44,965
	10,000	0.481%, 03/19/12 (e)		9,998
	10,000	0.491%, 05/09/12 (e)		9,991
	29,000	0.496%, 07/12/12 (e)		28,947
	24,000	0.642%, 06/18/12 (e)		23,953

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 19

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Paper — Continued
		CRC Funding, LLC,
	10,000	0.220%, 03/13/12 (e)		9,999
	10,000	0.220%, 03/15/12 (e)		9,999
	69,000	Credit Agricole North America, Inc., 0.330%, 03/02/12		68,999
	60,000	Danske Corp., 0.300%, 03/01/12 (e)		60,000
	10,000	DBS Bank Ltd., 0.572%, 08/02/12 (e)		9,976
	19,000	Deutsche Bank Financial LLC, 0.380%, 06/01/12		18,981
		DnB NOR Bank ASA,
	16,000	0.451%, 04/13/12 (e)		15,991
	77,000	0.511%, 04/04/12 (e)		76,963
		Erste Abwicklungsanstalt,
	10,000	0.751%, 04/04/12 (e)		9,993
	10,000	0.751%, 04/16/12 (e)		9,990
	20,000	0.854%, 07/23/12 (e)		19,932
	60,000	0.854%, 08/06/12 (e)		59,776
	25,000	Fortis Funding LLC, 0.340%, 03/02/12 (e)		25,000
		General Electric Capital Corp.,
	11,000	0.240%, 04/19/12		10,996
	10,000	0.280%, 03/30/12		9,998
	30,000	0.341%, 03/23/12		29,994
	14,000	0.351%, 03/26/12		13,997
	35,000	0.351%, 08/14/12		34,943
	6,000	General Electric Capital Services, Inc., 0.250%, 05/08/12		5,997
		Grampian Funding LLC,
	15,000	0.200%, 03/07/12 (e)		15,000
	36,000	0.200%, 03/09/12 (e)		35,998
	43,000	0.200%, 03/19/12 (e)		42,996
		Kells Funding LLC,
	55,000	0.371%, 04/10/12		54,977
	16,000	0.682%, 08/20/12		15,948
	5,000	0.682%, 08/23/12		4,983
	7,000	0.693%, 09/07/12		6,975
	60,000	0.703%, 08/22/12		59,797
	18,000	0.718%, 07/30/12		17,946
	75,000	0.723%, 07/20/12		74,789
	20,000	LMA Americas LLC, 0.350%, 03/06/12 (e)		19,999
		Macquarie Bank Ltd.,
	20,000	0.711%, 05/15/12 (e)		19,971
	7,000	0.711%, 05/18/12 (e)		6,989
	17,000	0.721%, 05/08/12 (e)		16,977
	11,000	0.751%, 05/03/12 (e)		10,985
	20,000	0.771%, 04/19/12 (e)		19,979

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	33,000	0.772%, 04/20/12 (e)		32,965
	8,000	0.772%, 04/25/12 (e)		7,990
		MetLife Short Term Funding LLC,
	5,000	0.441%, 09/04/12 (e)		4,989
	3,500	0.471%, 08/20/12 (e)		3,492
	47,000	Mizuho Funding LLC, 0.420%, 05/11/12 (e)		46,961
	20,000	National Australia Funding Delaware, Inc., 0.461%, 07/09/12 (e)		19,967
		Newport Funding Corp.,
	15,000	0.461%, 05/08/12 (e)		14,987
	25,000	0.501%, 04/23/12 (e)		24,982
	33,000	Nordea North America, Inc., 0.270%, 05/15/12		32,981
		Northern Pines Funding LLC,
	25,000	0.471%, 05/11/12 (e)		24,977
	17,000	0.521%, 04/23/12 (e)		16,987
		NRW.BANK,
	20,000	0.335%, 05/08/12 (e)		19,988
	50,000	0.350%, 04/25/12 (e)		49,973
	51,000	0.350%, 05/02/12 (e)		50,969
	68,000	0.430%, 03/05/12 (e)		67,997
		Oversea-Chinese Banking Corp. Ltd.,
	30,000	0.290%, 04/02/12		29,992
	4,000	0.561%, 04/10/12		3,998
	10,000	PB Finance Delaware, Inc., 0.660%, 03/06/12 (e)		9,999
		Rabobank USA Financial Corp.,
	15,000	0.572%, 08/29/12		14,957
	63,000	0.682%, 07/25/12		62,826
	13,000	Regency Markets No. 1 LLC, 0.200%, 03/15/12 (e)		12,999
	7,000	Rhein-Main Securitisation Ltd., 0.650%, 03/26/12 (e)		6,997
		Royal Park Investments Funding Corp.,
	10,000	1.051%, 03/07/12		9,998
	12,000	1.061%, 03/13/12		11,996
	20,000	1.071%, 03/07/12 (e)		19,997
	17,000	1.151%, 03/06/12		16,997
	30,000	Scaldis Capital LLC, 0.330%, 03/01/12 (e)		30,000
	20,000	Starbird Funding Corp., 0.320%, 03/06/12 (e)		19,999
	17,000	Straight-A Funding LLC, 0.180%, 05/11/12		16,994
		Suncorp-Metway Ltd.,
	5,000	0.310%, 03/26/12 (e)		4,999
	25,000	0.310%, 03/28/12 (e)		24,994
	10,000	0.320%, 03/12/12 (e)		9,999
	10,000	0.320%, 03/15/12 (e)		9,999

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Paper — Continued
	10,000	0.320%, 03/21/12 (e)		9,998
	50,000	0.330%, 03/01/12 (e)		50,000
		Svenska Handelsbanken, Inc.,
	15,000	0.270%, 05/01/12 (e)		14,993
	15,000	0.280%, 05/17/12 (e)		14,991
	10,000	0.501%, 03/15/12 (e)		9,998
	30,000	0.511%, 03/23/12 (e)		29,991
		Swedbank AB,
	60,000	0.320%, 04/03/12		59,982
	35,000	0.320%, 04/04/12		34,990
		Tasman Funding, Inc.,
	12,519	0.250%, 03/15/12 (e)		12,518
	15,000	0.320%, 03/28/12 (e)		14,996
		Thames Asset Global Securitization No. 1, Inc.,
	8,000	0.270%, 04/02/12 (e)		7,998
	30,000	0.250%, 03/19/12 (e)		29,996
	18,000	0.250%, 03/20/12 (e)		17,998
	3,000	Toyota Credit De Puerto Rico Corp., 0.501%, 07/16/12		2,994
		Toyota Motor Credit Corp.,
	5,000	0.491%, 03/26/12		4,998
	10,000	0.501%, 03/19/12		9,997
	5,000	0.511%, 04/04/12		4,998
	10,000	0.521%, 03/30/12		9,996
	18,000	0.562%, 04/12/12		17,988
		UOB Funding LLC,
	25,000	0.310%, 04/10/12		24,991
	25,000	0.330%, 06/18/12		24,975
	68,000	0.340%, 06/15/12		67,932
	15,000	0.370%, 05/17/12		14,988
	38,000	Versailles Commercial Paper LLC, 0.350%, 03/02/12 (e)		38,000
		Westpac Banking Corp.,
	11,000	0.250%, 03/21/12 (e)		10,998
	5,000	0.401%, 08/06/12 (e)		4,991
	34,000	0.461%, 04/20/12 (e)		33,978
	45,000	0.461%, 05/01/12 (e)		44,965
	44,000	0.464%, 05/03/12 (e)		43,964
	23,000	0.471%, 03/29/12 (e)		22,992
	33,000	0.471%, 04/18/12 (e)		32,979
	52,000	0.491%, 05/07/12 (e)		51,953
	36,000	0.501%, 05/16/12 (e)		35,962
	16,000	0.501%, 07/02/12 (e)		15,973
		Total Commercial Paper (Cost $3,486,907)		3,486,907

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Notes — 1.7%
		Financials — 1.7%
		Commercial Banks — 1.2%
	35,000	Australia & New Zealand Banking Group Ltd., VAR, 0.389%, 03/15/12 (e)		35,000
		Bank of America N.A.
	12,000	0.400%, 03/15/12		12,000
	55,000	0.430%, 03/06/12		55,000
	48,000	0.430%, 03/08/12		48,000
				150,000
		Insurance — 0.5%
	47,000	Metropolitan Life Global Funding I, VAR, 0.694%, 03/12/12 (e)		47,000
	8,000	New York Life Global Funding, VAR, 0.606%, 03/29/12 (e)		8,000
				55,000
		Total Corporate Notes (Cost $205,000)		205,000
	Foreign Government Securities — 0.1%
		Export Development Canada
	5,000	0.300%, 03/01/13 (e)		5,000
	15,000	0.300%, 03/07/13 (e)		15,000
		Total Foreign Government Securities (Cost $20,000)		20,000
	Repurchase Agreements — 10.9%
	200,000	Barclays Capital, Inc., 0.160%, dated 02/29/12, due 03/05/12, repurchase price $200,004, collateralized by Federal Home Loan Mortgage Corporation, 4.000%, due 11/25/26, and Federal Farm Credit Banks, 0.000% - 0.380%, due 08/27/13 - 05/29/14, with a value of $204,000.		200,000
	55,000	Barclays Capital, Inc., 0.620%, dated 02/29/12, due 04/02/12, repurchase price $55,031, collateralized by Corporate Notes and Bonds, 0.000% - 1.489%, due 01/15/20 - 12/25/46, with a value of $57,750. (i)		55,000
	25,000	Barclays Capital, Inc., 0.620%, dated 02/29/12, due 04/02/12, repurchase price $25,014, collateralized by Corporate Notes and Bonds, 0.374% - 8.300%, due 10/15/26 - 07/25/37, with a value of $26,250. (i)		25,000

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 21

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
Repurchase Agreements — Continued
	75,000	Citigroup Global Markets Holdings, Inc., 0.720%, dated 02/29/12, due 04/04/12, repurchase price $75,053, collateralized by Corporate Notes and Bonds, 0.000% - 6.544%, due 11/27/19 - 11/25/51, with a value of $79,261. (i)		75,000
	75,000	Citigroup Global Markets Holdings, Inc., 0.920%, dated 02/29/12, due 04/04/12, repurchase price $75,067, collateralized by Corporate Notes and Bonds, 0.000% - 10.500%, due 10/15/12 - 11/20/57, with a value of $78,925. (i)		75,000
	40,000	Credit Suisse First Boston USA, Inc., 0.900%, dated 02/29/12, due 05/15/12, repurchase price $40,076, collateralized by Corporate Notes and Bonds, 4.539%, due 02/25/47, and Municipal Debt Securities, 6.250%, due 07/15/28, with a value of $42,001. (i)		40,000
	125,000	Credit Suisse First Boston USA, Inc., 0.900%, dated 02/29/12, due 05/04/12, repurchase price $125,203, collateralized by Corporate Notes and Bonds, 4.539% - 4.940%, due 02/25/47 - 08/27/47, and Municipal Debt Securities, 6.250%, due 07/15/28, with a value of $131,252. (i)		125,000
	343,128	Deutsche Bank Securities, Inc., 0.200%, dated 02/29/12, due 03/01/12, repurchase price $343,130, collateralized by Federal National Mortgage Association, 3.500% - 6.500%, due 02/01/32 - 10/01/41, and Federal Home Loan Mortgage Corporation, 2.800% - 2.810%, due 12/01/41 - 02/01/42, with a value of $349,991.		343,128
	40,000	Deutsche Bank Securities, Inc., VAR, 0.520%, dated 02/29/12, due 05/04/12, repurchase price $40,038, collateralized by Corporate Notes and Bonds, 0.000% - 6.850%, due 12/15/15 - 02/12/51, with a value of $42,772. (i)		40,000
	20,000	Merrill Lynch PFS, Inc., 0.320%, dated 02/29/12, due 03/01/12, repurchase price $20,000, collateralized by Corporate Notes and Bonds, 0.000% - 6.000%, due 04/17/14 - 08/07/19, with a value of $21,000.		20,000
	100,000	Merrill Lynch PFS, Inc., 0.620%, dated 02/29/12, due 03/01/12, repurchase price $100,002, collateralized by Corporate Notes and Bonds, 0.000% - 8.311%, due 05/20/18 - 09/10/45, with a value of $105,000.		100,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	221,000	RBS Securities, Inc., 0.420%, dated 02/29/12, due 03/01/12, repurchase price $221,003, collateralized by Government National Mortgage Association, 3.500% - 4.500%, due 07/20/26 - 10/20/41, with a value of $225,424.		221,000
		Total Repurchase Agreements (Cost $1,319,128)		1,319,128
	Time Deposits — 20.0%
	350,000	Bank of Nova Scotia, 0.130%, 03/01/12		350,000
	300,000	Barclays Bank plc, 0.130%, 03/01/12		300,000
	100,000	Citibank N.A., 0.130%, 03/07/12		100,000
	450,000	Commerzbank AG, 0.150%, 03/01/12		450,000
	100,000	Credit Agricole Corporate & Investment Bank, 0.210%, 03/01/12		100,000
	300,000	Danske Bank A/S, 0.170%, 03/01/12		300,000
	250,000	Deutsche Bank AG, 0.130%, 03/01/12		250,000
	300,000	DnB NOR Bank ASA, 0.130%, 03/01/12		300,000
	150,000	Royal Bank of Scotland plc, 0.130%, 03/01/12		150,000
	112,000	Societe Generale, 0.310%, 03/02/12		112,000
		Total Time Deposits (Cost $2,412,000)		2,412,000
	U.S. Government Agency Securities — 7.1%
	16,000	Federal Farm Credit Bank, 0.210%, 10/03/12		15,999
		Federal Home Loan Bank,
	7,500	0.160%, 03/08/12		7,500
	42,000	0.180%, 08/15/12		41,996
	23,000	0.200%, 09/14/12		22,998
	20,000	0.200%, 10/03/12		19,997
	5,500	0.200%, 02/15/13		5,499
	8,000	0.200%, 02/25/13		7,998
	24,000	0.200%, 02/27/13		23,994
	26,200	0.200%, 03/05/13		26,194
	32,000	0.210%, 03/01/13		31,996
	29,000	0.230%, 08/13/12		28,999
	50,000	VAR, 0.320%, 03/01/12		49,990
		Federal Home Loan Mortgage Corp.,
	40,000	VAR, 0.213%, 03/04/12		39,981
	48,000	VAR, 0.290%, 03/01/12		47,988
	157,000	VAR, 0.310%, 03/01/12		156,931
		Federal National Mortgage Association,
	7,000	0.500%, 10/30/12		7,012
	14,000	1.125%, 07/30/12		14,048
	71,200	DN, 0.190%, 10/01/12 (n)		71,119
	25,000	VAR, 0.224%, 03/03/12		24,984

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — Continued
	50,000	VAR, 0.266%, 03/23/12		49,993
	50,000	VAR, 0.274%, 03/28/12		49,992
	76,000	VAR, 0.300%, 03/01/12		75,989
	33,000	VAR, 0.330%, 03/01/12		32,996
		Total U.S. Government Agency Securities (Cost $854,193)		854,193
	U.S. Treasury Obligations — 0.9%
		U.S. Treasury Notes — 0.9%
	22,000	0.375%, 09/30/12		22,026
	32,000	1.375%, 09/15/12		32,208
	25,000	1.375%, 01/15/13		25,259
	25,000	2.750%, 02/28/13		25,634
		Total U.S. Treasury Obligations (Cost $105,127)		105,127

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Note — 0.3%
		Michigan — 0.3%
	35,000	Michigan Finance Authority, Unemployment Obligation Assessment, Rev., VRDO, LOC: Citibank N.A., 0.160%, 03/07/12 (Cost $35,000)		35,000
		Total Investments — 101.5% (Cost $12,262,789)*		12,262,789
		Liabilities in Excess of Other Assets — (1.5)%		(183,083	)
		NET ASSETS — 100.0%	$	12,079,706

Percentages indicated are based on net assets.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 23

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	U.S. Government Agency Securities — 52.4%
		Federal Farm Credit Bank — 1.2%
	80,000	0.250%, 08/01/12		80,017
	100,000	DN, 0.060%, 07/03/12 (m) (n)		99,979
	250,000	VAR, 0.270%, 03/01/12		249,890
	50,000	VAR, 0.273%, 03/12/12		49,997
	250,000	VAR, 0.340%, 03/01/12		250,000
	75,000	VAR, 0.340%, 03/01/12		75,000
				804,883
		Federal Home Loan Bank — 29.4%
	250,000	0.070%, 07/12/12		249,981
	250,000	0.080%, 05/25/12		249,976
	386,000	0.090%, 03/01/12		386,000
	230,000	0.100%, 04/24/12		229,993
	250,000	0.100%, 06/07/12		249,985
	250,000	0.100%, 06/08/12		249,985
	322,000	0.120%, 08/16/12		321,998
	249,000	0.130%, 08/08/12		248,959
	400,000	0.150%, 05/01/12		399,965
	210,000	0.160%, 03/08/12		209,999
	185,000	0.180%, 08/22/12		184,980
	370,000	0.200%, 08/16/12		370,081
	250,000	0.200%, 11/15/12		249,995
	50,000	0.200%, 02/15/13		49,991
	75,000	0.200%, 02/25/13		74,979
	265,000	0.215%, 10/19/12		264,969
	450,000	0.220%, 10/09/12		449,962
	76,000	0.220%, 10/29/12		75,993
	725,000	DN, 0.027%, 04/11/12 (n)		724,978
	482,500	DN, 0.035%, 03/16/12 (n)		482,493
	608,000	DN, 0.035%, 03/21/12 (n)		607,988
	100,000	DN, 0.050%, 04/16/12 (n)		99,994
	475,000	DN, 0.070%, 03/07/12 (n)		474,994
	107,000	DN, 0.070%, 07/05/12 (n)		106,974
	116,000	DN, 0.075%, 04/04/12 (n)		115,992
	1,145,000	DN, 0.075%, 04/25/12 (n)		1,144,869
	83,000	DN, 0.080%, 07/06/12 (n)		82,976
	1,940,000	DN, 0.085%, 04/20/12 (n)		1,939,771
	1,330,000	DN, 0.085%, 04/27/12 (n)		1,329,821
	840,000	DN, 0.090%, 04/09/12 (n)		839,918
	2,115,300	DN, 0.100%, 03/28/12 (n)		2,115,141
	1,180,000	DN, 0.100%, 04/13/12 (n)		1,179,859
	196,000	DN, 0.100%, 08/01/12 (n)		195,917
	571,000	DN, 0.102%, 05/02/12 (n)		570,900
	200,000	DN, 0.105%, 04/18/12 (n)		199,972
	83,000	DN, 0.120%, 07/11/12 (n)		82,963

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Federal Home Loan Bank — Continued
	250,000	DN, 0.120%, 08/08/12 (n)		249,867
	199,200	DN, 0.130%, 03/14/12 (n)		199,191
	300,000	DN, 0.130%, 05/11/12 (n)		299,923
	274,500	DN, 0.140%, 08/10/12 (n)		274,327
	125,000	DN, 0.150%, 05/16/12 (n)		124,960
	329,000	DN, 0.160%, 05/15/12 (n)		328,890
	180,000	DN, 0.180%, 10/17/12 (n)		179,793
	170,000	DN, 0.190%, 10/15/12 (n)		169,795
	262,000	VAR, 0.285%, 03/01/12		261,963
	250,000	VAR, 0.320%, 03/01/12		249,950
				19,151,970
		Federal Home Loan Mortgage Corp. — 7.6%
	204,215	DN, 0.020%, 03/12/12 (n)		204,214
	100,000	DN, 0.030%, 04/02/12 (n)		99,997
	750,000	DN, 0.040%, 04/17/12 (n)		749,961
	250,000	DN, 0.070%, 04/10/12 (n)		249,981
	47,598	DN, 0.070%, 07/11/12 (n)		47,586
	675,000	DN, 0.070%, 08/07/12 (n)		674,791
	243,000	DN, 0.070%, 08/10/12 (n)		242,923
	739,253	DN, 0.072%, 07/02/12 (n)		739,072
	150,000	DN, 0.120%, 05/14/12 (n)		149,963
	202,033	DN, 0.120%, 08/06/12 (n)		201,927
	250,000	DN, 0.130%, 08/03/12 (n)		249,860
	500,000	DN, 0.180%, 10/17/12 (n)		499,425
	460,000	VAR, 0.310%, 03/01/12		459,798
	388,000	VAR, 0.310%, 03/01/12		387,833
				4,957,331
		Federal National Mortgage Association — 14.2%
	193,000	1.125%, 07/30/12		193,759
	102,886	1.875%, 04/20/12		103,117
	500,000	DN, 0.030%, 04/16/12 (n)		499,981
	460,000	DN, 0.040%, 04/27/12 (n)		459,971
	83,000	DN, 0.060%, 07/12/12 (n)		82,982
	500,000	DN, 0.070%, 06/18/12 (n)		499,894
	854,000	DN, 0.073%, 07/05/12 (n)		853,783
	260,000	DN, 0.100%, 04/18/12 (n)		259,966
	80,000	DN, 0.100%, 05/02/12 (n)		79,986
	83,500	DN, 0.110%, 03/14/12 (n)		83,497
	903,000	DN, 0.110%, 05/01/12 (n)		902,832
	31,000	DN, 0.115%, 03/07/12 (n)		30,999
	433,935	DN, 0.120%, 08/01/12 (n)		433,714
	437,000	DN, 0.150%, 07/02/12 (n)		436,776
	1,800,000	DN, 0.159%, 03/01/12 (n)		1,800,000
	331,000	VAR, 0.266%, 03/23/12		330,952

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — Continued
		Federal National Mortgage Association — Continued
	350,000	VAR, 0.274%, 03/28/12		349,941
	296,900	VAR, 0.276%, 03/18/12		296,862
	350,000	VAR, 0.276%, 03/20/12		349,943
	533,000	VAR, 0.300%, 03/01/12		532,921
	639,000	VAR, 0.300%, 03/01/12		638,937
				9,220,813
		Total U.S. Government Agency Securities (Cost $34,134,997 )		34,134,997
	U.S. Treasury Obligations — 21.3%
		U.S. Treasury Bills — 17.4% (n)
	150,000	0.001%, 03/08/12		150,000
	160,000	0.007%, 03/15/12		159,999
	1,400,000	0.007%, 03/29/12		1,399,916
	1,475,000	0.019%, 04/12/12		1,474,967
	700,000	0.025%, 04/05/12		699,983
	4,648,728	0.038%, 04/19/12		4,648,197
	440,000	0.046%, 04/26/12		439,969
	650,000	0.060%, 03/22/12		649,977
	1,100,000	0.060%, 07/05/12		1,099,769
	400,000	0.061%, 07/19/12		399,905
	200,000	0.080%, 08/02/12		199,932
				11,322,614
		U.S. Treasury Notes — 3.9%
	725,000	0.375%, 08/31/12		726,034
	325,000	0.375%, 09/30/12		325,505
	122,000	1.375%, 03/15/12		122,050
	500,000	1.375%, 05/15/12		501,321
	500,000	1.750%, 08/15/12		503,816
	349,000	3.875%, 10/31/12		357,618
				2,536,344
		Total U.S. Treasury Obligations (Cost $13,858,958 )		13,858,958
	Repurchase Agreements — 30.9%
	500,000	Barclays Capital, Inc., 0.140%, dated 02/29/12, due 03/06/12, repurchase price $500,012, collateralized by Federal National Mortgage Association, 0.000% - 8.000%, due 08/25/15 - 03/25/42, Federal Home Loan Mortgage Corporation, 0.000% - 7.000%, due 06/15/26 - 2/15/42 and Government National Mortgage Association, 0.000% - 6.389%, due 04/20/36 - 08/20/60, with a value of $515,000.		500,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	500,000	Barclays Capital, Inc., 0.140%, dated 02/29/12, due 03/02/12, repurchase price $500,004, collateralized by Federal National Mortgage Association, 0.744% - 12.671%, due 03/18/27 - 09/25/41, Federal Home Loan Mortgage Corporation, 0.000% - 5.750%, due 04/25/20 - 02/15/39 and Government National Mortgage Association, 1.750% - 6.553%, due 03/20/21 - 05/20/61, with a value of $515,009.		500,000
	1,000,000	Barclays Capital, Inc., 0.180%, dated 02/29/12, due 03/01/12, repurchase price $1,000,005, collateralized by U.S. Treasury Securities, 0.000% - 0.125%, due 04/05/15 - 04/15/16, with a value of $1,020,000.		1,000,000
	500,000	Barclays Capital, Inc., 0.190%, dated 02/29/12, due 03/07/12, repurchase price $500,018, collateralized by Federal National Mortgage Association, 0.000% - 14.309%, due 04/25/18 - 03/25/42, Federal Home Loan Mortgage Corporation, 0.000% - 80.085%, due 12/15/12 - 02/15/42 and Government National Mortgage Association, 0.000% - 8.310%, due 04/16/12 - 12/20/61, with a value of $515,000.		500,000
	481,000	Citibank N.A., 0.200%, dated 02/29/12, due 03/01/12, repurchase price $481,003, collateralized by Federal National Mortgage Association, 0.000% - 7.000%, due 02/01/18 - 02/01/42, and Federal Home Loan Mortgage Corporation, 2.498% - 6.500%, due 04/01/20 - 03/01/42, with a value of $490,620.		481,000
	500,000	Citigroup Global Markets, Inc., 0.200%, dated 02/29/12, due 03/01/12, repurchase price $500,003, collateralized by Federal National Mortgage Association, 0.000% - 8.209%, due 06/25/27 - 03/25/42, Federal Home Loan Mortgage Corporation, 0.000% - 16.000%, due 12/15/31 - 02/15/42 and Government National Mortgage Association, 0.000% - 20.212%, due 09/20/35 - 11/16/41, with a value of $510,000.		500,000
	500,000	Credit Suisse First Boston USA, Inc., 0.150%, dated 02/29/12, due 03/01/12, repurchase price $500,002, collateralized by U.S. Treasury Securities, 0.750% - 1.500%, due 05/15/14 - 07/31/16, with a value of $510,005.		500,000

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 25

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Repurchase Agreements — Continued
	1,000,000	Deutsche Bank Securities, Inc., 0.110%, dated 02/29/12, due 03/02/12, repurchase price $1,000,006, collateralized by Federal National Mortgage Association, 0.000% - 31.205%, due 05/25/18 - 01/25/42, Federal Home Loan Mortgage Corporation, 0.000% - 6.000%, due 06/01/32 - 02/01/41 and Government National Mortgage Association, 3.000%, due 12/20/34, with a value of $1,020,000.		1,000,000
	500,000	Deutsche Bank Securities, Inc., 0.140%, dated 02/29/12, due 03/06/12, repurchase price $500,012, collateralized by Federal Home Loan Mortgage Corporation, 0.100% - 80.619%, due 02/15/19 - 01/15/42 and Government National Mortgage Association, 0.745% - 6.741%, due 01/20/25 - 11/20/60, with a value of $510,000.		500,000
	1,000,000	Deutsche Bank Securities, Inc., 0.190%, dated 02/29/12, due 03/12/12, repurchase price $1,000,063, collateralized by Federal National Mortgage Association, 0.000% - 31.205%, due 03/25/18 - 01/25/49, Federal Home Loan Mortgage Corporation, 2.722% - 24.606%, due 11/01/19 - 12/15/41 and Government National Mortgage Association, 3.000%, due 12/20/34, with a value of $1,021,741. (i)		1,000,000
	1,000,000	Goldman Sachs & Co., 0.130%, dated 02/29/12, due 03/01/12, repurchase price $1,000,004, collateralized by Government National Mortgage Association 6.025%, due 12/16/39 - 12/20/39, with a value of $1,030,000.		1,000,000
	1,000,000	Goldman Sachs & Co., 0.140%, dated 02/29/12, due 03/06/12, repurchase price $1,000,023, collateralized by Federal National Mortgage Association, 2.854% - 46.251%, due 04/25/23 - 02/25/42, Federal Home Loan Mortgage Corporation, 2.469% - 43.235%, due 04/15/32 - 02/01/42 and Government National Mortgage Association, 9.209% - 21.090%, due 12/20/32 - 11/16/41, with a value of $1,026,273.		1,000,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,000,000	Goldman Sachs & Co., 0.140%, dated 02/29/12, due 03/02/12, repurchase price $1,000,008, collateralized by Federal National Mortgage Association, 0.000% - 9.000%, due 07/01/18 - 11/25/49, Federal Home Loan Mortgage Corporation, 0.000% - 7.000%, due 11/15/17 - 10/15/49 and Government National Mortgage Association, 0.000% - 6.000%, due 03/20/12 - 02/20/42, with a value of $1,026,371.		1,000,000
	1,500,000	Goldman Sachs & Co., 0.160%, dated 02/29/12, due 03/05/12, repurchase price $1,500,033, collateralized by Federal National Mortgage Association, 0.000% - 6.456%, due 06/25/21 - 03/25/42 and Federal Home Loan Mortgage Corporation, 0.000% - 18.979%, due 07/15/21 - 02/15/42, with a value of $1,545,000.		1,500,000
	1,500,000	Goldman Sachs & Co., 0.200%, dated 02/29/12, due 03/07/12, repurchase price $1,500,058, collateralized by Federal National Mortgage Association, 5.000%, due 01/25/26, Federal Home Loan Mortgage Corporation, 6.000%, due 05/15/36 and Government National Mortgage Association, 4.000% - 6.456%, due 04/20/34 - 11/16/41, with a value of $1,545,000.		1,500,000
	1,000,000	HSBC Securities USA, Inc., 0.200%, dated 02/29/12, due 03/01/12, repurchase price $1,000,006, collateralized by Federal National Mortgage Association, 3.500% - 7.000%, due 07/01/15 - 03/01/42, with a value of $1,020,002.		1,000,000
	19,780	Merrill Lynch & Co., 0.160%, dated 02/29/12, due 03/01/12, repurchase price $19,780, collateralized by U.S. Treasury Securities, 0.000%, due 09/20/12, with a value of $20,176.		19,780
	670,825	Merrill Lynch & Co., 0.190%, dated 02/29/12, due 03/01/12, repurchase price $670,829, collateralized by Federal National Mortgage Association, 0.000% - 7.004%, due 10/25/26 - 08/25/47, Federal Home Loan Mortgage Corporation, 4.210% - 6.910%, dated 06/15/25 - 09/15/41 and Government National Mortgage Association, 5.119% - 7.410%, due 05/16/34 - 07/20/41, with a value of $690,950.		670,825

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Repurchase Agreements — Continued
	1,500,000	Morgan Stanley & Co., 0.140%, dated 02/29/12, due 03/02/12, repurchase price $1,500,012, collateralized by Federal National Mortgage Association, 1.870% - 6.033%, due 12/01/19 - 03/01/42 and Federal Home Loan Mortgage Corporation, 1.970% - 6.562%, due 12/01/22 - 01/01/42, with a value of $1,530,000.		1,500,000
	1,000,000	Morgan Stanley & Co., 0.170%, dated 02/29/12, due 03/01/12, repurchase price $1,000,005, collateralized by Federal National Mortgage Association, 4.000% - 4.500%, due 03/01/31 - 02/01/42, with a value of $1,020,000.		1,000,000
	1,500,000	Societe Generale North America, Inc., 0.190%, dated 02/29/12, due 03/01/12, repurchase price $1,500,008, collateralized by Federal National Mortgage Association, 0.944% - 6.456%, due 08/01/25 - 12/25/41, Federal Home Loan Mortgage Corporation, 0.640% - 6.000%, due 06/15/18 - 09/01/40 and Government National Mortgage Association, 1.540% - 6.415%, due 09/20/21 - 07/20/41, with a value of $1,537,111.		1,500,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,000,000	UBS Securities LLC., 0.140%, dated 02/29/12, due 03/01/12, repurchase price $1,000,004, collateralized by U.S. Treasury Securities, 0.125% - 2.500%, due 09/30/13 - 02/15/41, with a value of $1,020,000.		1,000,000
	981,000	UBS Securities LLC., 0.200%, dated 02/29/12, due 03/01/12, repurchase price $981,005, collateralized by Federal National Mortgage Association, 3.000% - 7.000%, due 09/01/23 - 02/01/42 and Federal Home Loan Mortgage Corporation, 3.000% - 6.000%, due 11/01/24 - 03/01/42, with a value of $1,000,620.		981,000
		Total Repurchase Agreements (Cost $20,152,605)		20,152,605
		Total Investments — 104.6% (Cost $68,146,560)*		68,146,560
		Liabilities in Excess of Other Assets — (4.6)%		(2,994,428	)
		NET ASSETS — 100.0%	$	65,152,132

Percentages indicated are based on net assets.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 27

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan U.S. Treasury Plus Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	U.S. Treasury Obligations — 54.8%
		U.S. Treasury Bills — 16.9% (n)
	150	0.000%, 03/01/12		150
	300,000	0.000%, 05/31/12		299,915
	975,000	0.001%, 03/22/12		974,999
	250,000	0.002%, 03/15/12		250,000
	285,000	0.003%, 03/08/12 (m)		285,000
	200,000	0.007%, 03/29/12		199,996
	150,000	0.017%, 04/12/12		149,997
				2,160,057
		U.S. Treasury Notes — 37.9%
	275,000	0.375%, 09/30/12		275,439
	225,000	0.625%, 06/30/12		225,394
	100,000	0.625%, 07/31/12		100,216
	100,000	0.750%, 05/31/12		100,160
	350,000	1.000%, 03/31/12		350,267
	400,000	1.000%, 04/30/12		400,592
	570,000	1.375%, 03/15/12		570,295
	278,500	1.375%, 04/15/12		278,944
	325,000	1.375%, 05/15/12		325,880
	255,000	1.375%, 02/15/13		257,921
	200,000	1.500%, 07/15/12		201,055
	125,000	1.750%, 08/15/12		125,937
	75,000	1.875%, 06/15/12		75,385
	250,000	3.375%, 11/30/12		256,098
	200,000	4.375%, 08/15/12		203,901
	135,500	4.500%, 03/31/12		135,992
	100,000	4.500%, 04/30/12		100,726
	181,000	4.625%, 07/31/12		184,410
	250,000	4.750%, 05/31/12		252,888
	400,000	4.875%, 06/30/12		406,285
				4,827,785
		Total U.S. Treasury Obligations (Cost $6,987,842)		6,987,842
	Repurchase Agreements — 47.4%
	275,000	Barclays Capital, Inc., 0.090%, dated 02/29/12, due 03/07/12, repurchase price $275,005, collateralized by U.S. Treasury Securities, 0.000%, due 08/15/14 - 08/15/26, with a value of $280,500.		275,000
	600,000	Barclays Capital, Inc., 0.110%, dated 02/29/12, due 03/06/12, repurchase price $600,011, collateralized by U.S. Treasury Securities, 0.000% - 6.000%, due 09/15/14 - 11/15/34, with a value of $612,000.		600,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	500,000	Barclays Capital, Inc., 0.180%, dated 02/29/12, due 03/01/12, repurchase price $500,003, collateralized by U.S. Treasury Securities, 2.375% - 11.250%, due 02/15/15 - 02/28/15, with a value of $510,000.		500,000
	250,000	Credit Suisse First Boston USA, Inc., 0.140%, dated 02/29/12, due 03/07/12, repurchase price $250,007, collateralized by U.S. Treasury Securities, 1.750% - 4.000%, due 08/15/12 - 11/15/19, with a value of $255,003.		250,000
	1,000,000	Deutsche Bank Securities, Inc., 0.100%, dated 02/29/12, due 03/06/12, repurchase price $1,000,017, collateralized by U.S. Treasury Securities, 0.000% - 0.250, due 02/28/14 - 11/15/40, with a value of $1,020,000.		1,000,000
	100,000	Deutsche Bank Securities, Inc., 0.140%, dated 02/29/12, due 03/07/12, repurchase price $100,003, collateralized by U.S. Treasury Securities, 0.125%, due 12/31/13, with a value of $102,000.		100,000
	400,000	Deutsche Bank Securities, Inc., 0.170%, dated 02/29/12, due 03/01/12, repurchase price $400,002, collateralized by U.S. Treasury Securities, 2.375% -4.125%, due 02/28/15 - 05/15/15, with a value of $408,000.		400,000
	622,121	Merrill Lynch & Co., Inc., 0.160%, dated 02/29/12, due 03/01/12, repurchase price $622,124, collateralized by U.S. Treasury Securities, 1.750% - 2.125%, due 07/15/13 - 02/15/40, with a value of $634,563.		622,121
	1,000,000	RBS Securities, Inc., 0.160%, dated 02/29/12, due 03/01/12, repurchase price $1,000,004, collateralized by U.S. Treasury Securities, 1.375% - 1.500%, due 03/15/12 - 07/31/16, with a value of $1,020,001.		1,000,000

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Repurchase Agreements — Continued
	1,300,000	Societe Generale, 0.160%, dated 02/29/12, due 03/01/12, repurchase price $1,300,006, collateralized by U.S. Treasury Securities, 0.000% - 8.000%, due 01/15/13 - 11/15/21, with a value of $1,327,222.		1,300,000
		Total Repurchase Agreements (Cost $6,047,121)		6,047,121
		Total Investments — 102.2% (Cost $13,034,963)*		13,034,963
		Liabilities in Excess of Other Assets — (2.2)%		(276,661	)
		NET ASSETS — 100.0%	$	12,758,302

Percentages indicated are based on net assets.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 29

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Federal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	U.S. Government Agency Securities — 54.9%
		Federal Farm Credit Bank — 15.7%
	15,000	0.200%, 09/04/12		14,999
	30,000	0.210%, 10/25/12		29,997
	55,000	0.250%, 08/01/12		55,012
	5,050	2.250%, 04/24/12		5,066
	25,000	DN, 0.020%, 04/19/12 (n)		24,999
	25,000	DN, 0.020%, 04/20/12 (n)		24,999
	20,000	DN, 0.030%, 04/05/12 (n)		20,000
	30,000	DN, 0.060%, 03/02/12 (n)		30,000
	25,000	DN, 0.060%, 03/14/12 (n)		25,000
	25,000	DN, 0.060%, 03/15/12 (n)		24,999
	25,000	DN, 0.060%, 03/16/12 (n)		24,999
	25,000	DN, 0.070%, 03/23/12 (n)		24,999
	30,000	DN, 0.070%, 04/20/12 (n)		29,997
	50,000	DN, 0.070%, 07/30/12 (m) (n)		49,985
	75,000	DN, 0.087%, 03/13/12 (n)		74,998
	25,000	DN, 0.090%, 05/04/12 (n)		24,996
	25,000	DN, 0.100%, 03/09/12 (n)		25,000
	23,000	DN, 0.160%, 11/28/12 (n)		22,972
	15,000	DN, 0.180%, 10/12/12 (n)		14,983
	15,000	DN, 0.210%, 08/08/12 (n)		14,986
	40,000	VAR, 0.130%, 03/01/12		39,987
	49,000	VAR, 0.190%, 03/01/12		48,998
	50,000	VAR, 0.250%, 03/01/12		50,004
	30,000	VAR, 0.270%, 03/01/12		29,987
	50,000	VAR, 0.274%, 03/12/12		49,997
	37,800	VAR, 0.276%, 03/22/12		37,806
	25,000	VAR, 0.340%, 03/01/12		25,000
	50,000	VAR, 0.340%, 03/01/12		50,000
				894,765
		Federal Home Loan Bank — 39.2%
	25,000	0.080%, 05/30/12		24,998
	22,500	0.130%, 08/08/12		22,496
	20,000	0.160%, 03/08/12		20,000
	15,000	0.200%, 08/16/12		15,003
	25,000	0.200%, 02/15/13		24,995
	15,000	0.215%, 10/19/12		14,998
	25,000	0.220%, 10/09/12		24,998
	6,000	0.220%, 10/29/12		5,999
	153,522	DN, 0.010%, 03/01/12 (n)		153,522
	75,000	DN, 0.010%, 03/02/12 (n)		75,000
	235,000	DN, 0.015%, 03/14/12 (n)		234,999
	135,000	DN, 0.032%, 04/04/12 (n)		134,996
	250,000	DN, 0.035%, 03/16/12 (n)		249,996
	50,000	DN, 0.050%, 04/16/12 (n)		49,997
	11,600	DN, 0.060%, 04/20/12 (n)		11,599
	50,000	DN, 0.065%, 03/21/12 (n)		49,998
	153,000	DN, 0.073%, 03/28/12 (n)		152,992
	36,800	DN, 0.075%, 04/25/12 (n)		36,796

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Federal Home Loan Bank — Continued
	300,000	DN, 0.080%, 04/13/12 (n)		299,971
	372,000	DN, 0.080%, 04/27/12 (n)		371,953
	14,000	DN, 0.080%, 05/02/12 (n)		13,998
	73,600	DN, 0.090%, 04/09/12 (n)		73,593
	16,000	DN, 0.100%, 08/01/12 (n)		15,993
	50,000	DN, 0.120%, 04/18/12 (n)		49,992
	25,000	DN, 0.150%, 05/16/12 (n)		24,992
	30,000	DN, 0.160%, 05/15/12 (n)		29,990
	16,000	DN, 0.180%, 10/17/12 (n)		15,982
	15,000	DN, 0.190%, 10/15/12 (n)		14,982
	22,000	VAR, 0.320%, 03/01/12		21,996
				2,236,824
		Total U.S. Government Agency Securities (Cost $3,131,589)		3,131,589
	U.S. Treasury Obligations — 45.0%
		U.S. Treasury Bills — 42.1% (n)
	250,000	0.010%, 03/15/12		249,999
	100,000	0.020%, 04/12/12		99,998
	100,000	0.025%, 03/29/12		99,998
	50,000	0.025%, 04/05/12		49,999
	64,728	0.031%, 03/01/12		64,728
	306,244	0.050%, 03/08/12		306,241
	100,000	0.055%, 05/03/12		99,990
	150,000	0.060%, 07/05/12		149,969
	186,505	0.061%, 03/22/12		186,498
	25,000	0.066%, 07/26/12		24,993
	675,096	0.077%, 04/19/12		675,026
	150,000	0.079%, 05/10/12		149,977
	50,000	0.080%, 08/02/12		49,983
	190,000	0.090%, 05/24/12		189,960
				2,397,359
		U.S. Treasury Notes — 2.9%
	100,000	1.000%, 03/31/12		100,075
	25,000	1.000%, 04/30/12		25,037
	10,000	1.375%, 03/15/12		10,004
	30,000	3.875%, 10/31/12		30,741
				165,857
		Total U.S. Treasury Obligations (Cost $2,563,216)		2,563,216
		Total Investments — 99.9% (Cost $5,694,805)*		5,694,805
		Other Assets in Excess of Liabilities — 0.1%		4,168
		NET ASSETS — 100.0%	$	5,698,973

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

JPMorgan 100% U.S. Treasury Securities Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	U.S. Treasury Obligations — 114.5%
		U.S. Treasury Bills — 94.8% (n)
	1,000,000	0.000%, 03/29/12		999,926
	1,500,000	0.000%, 05/31/12		1,499,577
	1,000,000	0.010%, 03/15/12		999,996
	1,175,000	0.017%, 04/12/12		1,174,977
	2,700,000	0.022%, 04/05/12		2,699,942
	2,747,558	0.028%, 03/01/12		2,747,558
	500,000	0.046%, 04/26/12		499,965
	1,813,756	0.050%, 03/08/12 (m)		1,813,739
	2,809,009	0.053%, 04/19/12		2,808,729
	1,100,000	0.056%, 05/03/12		1,099,892
	1,200,000	0.063%, 03/22/12		1,199,956
	300,000	0.069%, 07/26/12		299,916
	500,000	0.079%, 05/10/12		499,923
	1,000,000	0.090%, 05/24/12		999,790
	73,000	0.105%, 08/09/12		72,966
				19,416,852

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		U.S. Treasury Notes — 19.7%
	100,000	0.375%, 08/31/12		100,142
	300,000	0.375%, 09/30/12		300,472
	100,000	0.625%, 06/30/12		100,168
	500,000	0.750%, 05/31/12		500,837
	550,000	1.000%, 03/31/12		550,417
	350,000	1.000%, 04/30/12		350,530
	885,000	1.375%, 03/15/12		885,441
	50,000	1.500%, 07/15/12		50,259
	50,000	1.875%, 06/15/12		50,255
	1,140,000	4.500%, 04/30/12		1,148,340
				4,036,861
		Total U.S. Treasury Obligations (Cost $23,453,713)		23,453,713
		Total Investments — 114.5% (Cost $23,453,713)*		23,453,713
		Liabilities in Excess of Other Assets — (14.5)%		(2,972,319	)
		NET ASSETS — 100.0%	$	20,481,394

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 31

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Municipal Bonds — 92.7%
		Alabama — 0.2%
	13,000	Columbia Industrial Development Board, Alabama Power Co., Project, Series D, Rev., VRDO, 0.120%, 03/01/12		13,000
	9,640	Eclipse Funding Trust, Solar Eclipse, Series 2007-0108, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		9,640
	7,000	Puttable Floating Option Tax-Exempt Receipts, Series PT-4680, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.290%, 03/07/12 (e)		7,000
				29,640
		Alaska — 1.4%
		Alaska Housing Finance Corp.,
	75,000	Series A, Rev., VRDO, 0.160%, 03/07/12		75,000
	74,000	Series B, Rev., VRDO, 0.160%, 03/07/12		74,000
	89,120	Series D, Rev., VRDO, 0.170%, 03/07/12		89,120
		City of Valdez, Marine Terminal, Exxon Pipeline Co. Project,
	1,300	Series A, Rev., VRDO, 0.120%, 03/01/12		1,300
	11,100	Series B, Rev., VRDO, 0.120%, 03/01/12		11,100
	200	Series C, Rev., VRDO, 0.120%, 03/01/12		200
	1,300	City of Valdez, Marine Terminal, Exxonmobil Project, Rev., VRDO, 0.120%, 03/01/12		1,300
				252,020
		Arizona — 1.0%
	42,300	Ak-Chin Indian Community, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/07/12 (m)		42,300
	29,685	Arizona Health Facilities Authority, Stars BNP, Series 2007-008, Rev., VRDO, LIQ: BNP Paribas, 0.460%, 03/07/12		29,685
	15,600	City of Mesa, Utility System, Series ROCS-RR-II-R-11032, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.180%, 03/07/12		15,600
	7,160	Maricopa County IDA, Multi-Family Housing, Las Gardenias Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.170%, 03/07/12		7,160
		Phoenix Civic Improvement Corp.,
	6,245	Series ROCS-RR-II R-11982X, Rev., VRDO, LIQ: Citibank N.A., 0.230%, 03/07/12 (e)		6,245
	15,760	Series ROCS-RR-II-R-11732, Rev., VRDO, NATL-RE, FGIC, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		15,760

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Arizona — Continued
	2,000	Phoenix IDA, Multi-Family Housing, Del Mar Terrace, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.160%, 03/07/12		2,000
	21,800	Pima County IDA, Tucson Electric, Rev., VRDO, LOC: Bank of New York, 0.120%, 03/07/12		21,800
	21,700	Pima County IDA, Tucson Electric Irvington, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.140%, 03/07/12		21,700
	25,380	Salt River Pima-Maricopa Indian Community, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/07/12		25,380
	865	Yavapai County, Highway Construction, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.440%, 03/07/12		865
				188,495
		California — 8.6%
	710	Abag Finance Authority for Nonprofit Corps., Charleston Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.160%, 03/01/12 (m)		710
	10,850	Abag Finance Authority for Nonprofit Corps., On Lok Senior Health Services, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.100%, 03/07/12 (m)		10,850
	11,220	Abag Finance Authority for Nonprofit Corps., San Francisco Friends School, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12 (m)		11,220
	5,000	Austin Trust Various States, Series 2008-3305, Rev., VRDO, LIQ: Bank of America N.A., 0.260%, 03/07/12		5,000
	21,381	Bay Area Toll Authority, Series 2985, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		21,381
	9,865	California Educational Facilities Authority, Life Chiropractic College, Rev., VRDO, LOC: Bank of The West, 0.100%, 03/07/12		9,865
	1,610	California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.170%, 03/07/12		1,610
		California Infrastructure & Economic Development Bank, Pacific Gas Electric,
	19,220	Series A, Rev., VRDO, LOC: Mizhuo Corporate Bank, 0.130%, 03/01/12		19,220
	4,400	Series D, Rev., VRDO, LOC: Sumitomo Mitsui Banking, 0.070%, 03/01/12		4,400
	22,430	California Municipal Finance Authority, Chevron USA, Recovery Zone, Rev., VRDO, 0.120%, 03/01/12		22,430

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		California — Continued
	400	California Pollution Control Financing Authority, Exxon Project, Rev., VRDO, 0.080%, 03/01/12		400
	3,605	California State Department of Veterans Affairs, Series ROCS-RR-II-R-11444, Rev., VRDO, LIQ: Citibank N.A., 0.220%, 03/07/12		3,605
		California Statewide Communities Development Authority, Kaiser Permanente,
	47,200	Series A, Rev., VRDO, 0.130%, 03/07/12		47,200
	55,300	Series M, Rev., VRDO, 0.130%, 03/07/12		55,300
	3,420	California Statewide Communities Development Authority, Multi-Family Housing, Breezewood Apartments, Series F-1, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		3,420
	9,000	California Statewide Communities Development Authority, Multi-Family Housing, Oakmont Concord Project, Series Q, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		9,000
		California Statewide Communities Development Authority, Museum Art,
	27,840	Rev., VRDO, LOC: Union Bank N.A., 0.090%, 03/07/12		27,840
	57,475	Rev., VRDO, LOC: Union Bank N.A., 0.090%, 03/07/12		57,475
	4,175	California Statewide Communities Development Authority, North Peninsula Jewish Center, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		4,175
	3,950	City of Garden Grove, Multi-Family Housing, Malabar Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.180%, 03/07/12		3,950
	700	City of Hemet, Multi-Family Housing, Sunwest Retirement, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.140%, 03/07/12		700
	3,300	City of Irvine, Improvement Bond Act of 1915, District No. 00-18, Special Assessment, Series A, VRDO, LOC: State Street Bank & Trust Co., 0.130%, 03/01/12		3,300
		City of Irvine, Improvement Bond Act of 1915, District No. 03-19, Special Assessment,
	2,713	Series A, VRDO, LOC: U.S. Bank N.A., 0.120%, 03/01/12		2,713
	400	Series B, VRDO, LOC: U.S. Bank N.A., 0.120%, 03/01/12		400
	2,600	City of Irvine, Improvement Bond Act of 1915, District No. 05-21, Special Assessment, VRDO, LOC: U.S. Bank N.A., 0.120%, 03/01/12		2,600
	3,600	City of Livermore, Capital Projects, COP, VRDO, LOC: U.S. Bank N.A., 0.140%, 03/07/12		3,600

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
	4,800	City of Los Angeles, Multi-Family Housing, Fountain Park Project, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.150%, 03/07/12		4,800
	20,850	City of Los Angeles, Wastewater Systems, EAGLE, Series 2006-0013, Class A, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.160%, 03/07/12		20,850
	1,400	City of Modesto, Multi-Family Housing, Valley Oak Project, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		1,400
	4,750	Contra Costa County Housing Authority, Multi-Family Housing, Lakeshore, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.110%, 03/07/12		4,750
		Deutsche Bank Spears/Lifers Trust Various States,
	39,515	Series DB-287, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		39,515
	12,915	Series DB-324, GO, VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		12,915
	36,015	Series DB-332, GO, VRDO, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		36,015
	18,425	Series DB-362, GO, VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		18,425
	14,090	Series DB-363, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		14,090
	37,075	Series DB-364, Rev., VRDO, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		37,075
	25,670	Series DB-382, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		25,670
	10,275	Series DB-416, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		10,275
	12,345	Series DB-419, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		12,345
	19,825	Series DB-424, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12 (e)		19,825
	9,805	Series DB-429, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		9,805
	11,095	Series DB-432, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		11,095
	40,520	Series DB-474, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		40,520
	15,145	Series DB-479, Rev., VRDO, AGM-CR, AMBAC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		15,145
	50,000	Series DB-1020X, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		50,000
	30,550	Series DBE-625, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		30,550
	49,435	Series DBE-1011, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		49,435

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 33

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		California — Continued
		Deutsche Bank Spears/Lifers Trust Various States, Tax Allocation,
	37,360	Series DB-294, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		37,360
	7,785	Series DB-318, VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		7,785
	29,785	Eclipse Funding Trust, Solar Eclipse, Castai, Series 2007-0034, COP, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		29,785
	11,650	Eclipse Funding Trust, Solar Eclipse, Corona, Tax Allocation, Series 2006-0099, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		11,650
	13,725	Eclipse Funding Trust, Solar Eclipse, South San Francisco,Tax Allocation, Series 2006-0067, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		13,725
	20,500	Golden State Tobacco Securitization Corp., Series 2215, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.310%, 03/07/12		20,500
	2,500	Irvine Ranch Water District Nos. 105, 140, 240 & 250, GO, VRDO, LOC: Sumitomo Mitsui Banking, 0.120%, 03/07/12		2,500
	10,750	Los Angeles Community College District, Series ROCS-RR-II-R-11773, GO, VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		10,750
	7,160	Los Angeles County Housing Authority, Multi-Family Housing, Sand Canyon, Series F, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.150%, 03/07/12		7,160
	9,550	Los Angeles County Metropolitan Transportation Authority, Series ROCS-RR-II-R-12239, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.130%, 03/01/12 (e)		9,550
	5,000	Los Angeles County, Multi-Family Housing, Valencia Housing Project, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.140%, 03/07/12		5,000
		Metropolitan Water District of Southern California,
	1,000	Series B-3, Rev., VRDO, 0.060%, 03/01/12		1,000
	8,360	Series ROCS-RR-II-R-11565, Rev., VRDO, BHAC-CR, FGIC, LIQ: Citibank N.A., 0.160%, 03/07/12		8,360
	37,000	Orange County Sanitation District, Series B, COP, VRDO, 0.120%, 03/01/12		37,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
		Orange County, WLCO LF Partners,
	2,200	Series G1, Rev., VRDO, FNMA, LIQ: FNMA, 0.120%, 03/07/12		2,200
	13,300	Series G3, Rev., VRDO, FNMA, LIQ: FNMA, 0.120%, 03/07/12		13,300
		Puttable Floating Option Tax-Exempt Receipts,
	8,025	Series PT-4161, Rev., VRDO, 0.400%, 03/07/12		8,025
	10,555	Series PT-4433, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.150%, 03/07/12		10,555
	7,000	Series PT-4554, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.400%, 03/07/12		7,000
	6,795	Series PT-4555, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.400%, 03/07/12 (e)		6,795
	4,105	Series PT-4571, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.400%, 03/07/12		4,105
	3,425	Series PT-4585, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.400%, 03/07/12		3,425
	6,110	Series PT-4589, VRDO, FHLMC, LIQ: FHLMC, 0.400%, 03/07/12		6,110
	7,830	Series PT-4597, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.400%, 03/07/12		7,830
	6,250	Series PT-4647, Rev., VRDO, LIQ: Bank of America N.A., 0.260%, 03/07/12 (e)		6,250
	12,665	Series PT-4648, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		12,665
	5,000	Sacramento County Housing Authority, Multi-Family Housing, Ashford Heights Apartments, Series H, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		5,000
	12,300	Sacramento County Sanitation Districts Financing Authority, Sub Lien, Series B, Rev., VRDO, LOC: Morgan Stanley Bank, 0.150%, 03/01/12		12,300
	80	San Francisco City & County Public Utilities Commission, MERLOTS, Series B20, Rev., VRDO, NATL-RE, 0.320%, 03/07/12		80
	2,400	Southern California Public Power Authority, Palo Verde, Subseries B, Rev., VRDO, LOC: Citibank N.A., 0.150%, 03/07/12		2,400
	350,560	State of California, Series A-2, Rev., 2.000%, 06/26/12		352,373
	42,700	State of California, Economic Recovery, Series C-11, GO, VRDO, LOC: BNP Paribas, 0.300%, 03/07/12		42,700
	38,050	State of California, Kindergarten, Series A-1, GO, VRDO, LOC: Citibank N.A., 0.100%, 03/01/12		38,050

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		California — Continued
		Wells Fargo Stage Trust,
	19,750	Series 1C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		19,750
	9,780	Series 20C, COP, VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		9,780
	25,400	Series 38C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		25,400
	9,950	Series 56C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		9,950
				1,605,032
		Colorado — 1.7%
	15,010	Arapahoe County, Multi-Family Housing, Rental Housing, Hunters Run, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.150%, 03/07/12		15,010
	15,825	City of Colorado Springs, Utilities System Improvement, Series A, Rev., VRDO, 0.210%, 03/07/12		15,825
	1,000	City of Colorado Springs, Utilities, Sub Lien, Series A, Rev., VRDO, 0.280%, 03/07/12		1,000
	30,000	Colorado Educational & Cultural Facilities Authority, Nature Conservancy Project, Rev., VRDO, 0.140%, 03/07/12		30,000
	18,300	Colorado Educational & Cultural Facilities Authority, Oaks Christian School Project, Rev., VRDO, LOC: U.S. Bank N.A., 0.110%, 03/01/12		18,300
	300	Colorado Health Facilities Authority, Hospital, NCMC, Inc. Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/12		300
	17,330	Colorado Housing & Finance Authority, Series AA-3, Class I, Rev., VRDO, LOC: FNMA, 0.130%, 03/07/12		17,330
	2,610	Colorado Housing & Finance Authority, Multi-Family Housing Project, Series A-4, Class I, Rev., VRDO, 0.140%, 03/07/12		2,610
	1,500	Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Class I, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		1,500
	15,000	Colorado Housing & Finance Authority, Single Family Mortgage, Series C-2, Class I, Rev., VRDO, LIQ: FHLB, 0.130%, 03/07/12		15,000
		Denver City & County, Airport,
	21,835	Series 2365, Rev., VRDO, FGIC, LIQ: Morgan Stanley Bank, 0.310%, 03/07/12		21,835
	28,595	Subseries G1, Rev., VRDO, AGC, 0.160%, 03/01/12		28,595
	28,150	Midcities Metropolitan District No. 1, Series B, Rev., VRDO, LOC: BNP Paribas, 0.650%, 03/07/12		28,150

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Colorado — Continued
	39,150	Southglenn Metropolitan District, Rev., VRDO, LOC: BNP Paribas, 1.160%, 03/07/12		39,150
	86,200	University of Colorado Hospital Authority, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.110%, 03/07/12		86,200
				320,805
		Connecticut — 0.5%
	25,000	Capital City EDA, Series B, Rev., VRDO, 0.260%, 03/07/12		25,000
	800	Connecticut State Health & Educational Facility Authority, Community Renewal Team, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/12		800
	18,975	Connecticut State Health & Educational Facility Authority, Yale University, Series A-3, Rev., VAR, 4.000%, 02/07/13		19,647
	24,760	State of Connecticut, Series B, GO, VRDO, 0.140%, 03/07/12		24,760
	17,060	Wells Fargo Stage Trust, Series 61C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12 (e)		17,060
				87,267
		Delaware — 0.2%
	13,800	New Castle County, FlightSafety International, Inc. Project, Rev., VRDO, 0.150%, 03/07/12		13,800
	28,155	New Castle County, Multifamily Housing, Fairfield English Village Project, Series FA, Rev., VRDO, FNMA, LIQ: FNMA, 0.150%, 03/07/12		28,155
				41,955
		District of Columbia — 3.6%
	40,855	Anacostia Waterfront Corp., MERLOTS, Series F02, Rev., VRDO, 0.140%, 03/07/12		40,855
		District of Columbia,
	395,000	GO, TRAN, 2.000%, 09/28/12		398,941
	27,510	Series A, GO, VRDO, LOC: Bank of America N.A., 0.160%, 03/07/12		27,510
	2,900	District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		2,900
	11,450	District of Columbia Water & Sewer Authority, Series 2979, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		11,450
	2,120	District of Columbia, American Psychology Association, Rev., VRDO, LOC: Bank of America N.A., 0.360%, 03/07/12		2,120

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 35

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		District of Columbia — Continued
	21,350	District of Columbia, American University, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		21,350
	13,240	District of Columbia, Edmund Burke School, Rev., VRDO, LOC: Bank of America N.A., 0.360%, 03/07/12		13,240
	7,500	District of Columbia, Enterprise Zone, House on F Street Project, Rev., VRDO, LOC: Bank of New York, 0.190%, 03/07/12		7,500
	30,845	District of Columbia, MERLOTS, Series B-34, GO, VRDO, AGM, 0.140%, 03/07/12		30,845
	3,520	District of Columbia, National Children’s Center, Inc., Rev., VRDO, LOC: Bank of America N.A., 0.360%, 03/07/12		3,520
	11,788	District of Columbia, Pooled Loan Program, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.480%, 03/07/12		11,788
	15,215	District of Columbia, Trinity College Issue, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		15,215
	27,685	Eclipse Funding Trust, Solar Eclipse, Series 2007-0056, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		27,685
	15,190	Eclipse Funding Trust, Solar Eclipse, District of Columbia, Series 2006-0110, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		15,190
	35,000	Metropolitan Washington Airports Authority, Subseries C-2, Rev., VRDO, LOC: Barclays Bank plc, 0.140%, 03/07/12		35,000
				665,109
		Florida — 5.3%
	11,150	Alachua County IDA, Florida Rock Industrial, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.930%, 03/07/12		11,150
		Austin Trust Various States,
	16,575	Series 2007-1025, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12		16,575
	14,900	Series 2007-1030, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12		14,900
	15,065	Broward County Educational Facilities Authority, Nova Southeastern University, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		15,065
	32,820	Broward County School Board, COP, VRDO, AGM, 0.210%, 03/07/12		32,820
	53,620	Capital Trust Agency, Inc., Florida Multifamily Revenue, Series MT-194, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/12		53,620

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Florida — Continued
	8,845	City of Fort Myers, Series 2077, Rev., VRDO, NATL-RE, LIQ: Wells Fargo & Co., 0.160%, 03/07/12 (e)		8,845
		Deutsche Bank Spears/Lifers Trust Various States,
	6,010	Series DB-271, Rev., VRDO, FGIC, LIQ: Deutsche Bank AG, 0.200%, 03/07/12		6,010
	38,145	Series DB-451, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		38,145
	105,510	Series DB-459, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		105,510
	32,190	Series DB-471, COP, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		32,190
	28,690	Series DB-496, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		28,690
	17,415	Series DBE-1004, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		17,415
		Eclipse Funding Trust, Solar Eclipse,
	8,240	Series 2006-0043, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12 (e)		8,240
	20,690	Series 2007-0051, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		20,690
	23,900	Eclipse Funding Trust, Solar Eclipse, Golden, Series 2006-0125, COP, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12 (e)		23,900
		Eclipse Funding Trust, Solar Eclipse, Miami,
	11,105	Series 2006-0049, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		11,105
	18,335	Series 2006-0059, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		18,335
	10,545	Eclipse Funding Trust, Solar Eclipse, Palm Bay, Series 2006-0136, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,545
	18,705	Eclipse Funding Trust, Solar Eclipse, Peace, Series 2006-0144, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		18,705
	8,555	Eclipse Funding Trust, Solar Eclipse, Port S, Series 2006-0135, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		8,555

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Florida — Continued
	9,380	Florida Housing Finance Corp., Multi-Family Housing, Heron Park Project, Series U, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.140%, 03/07/12		9,380
	8,225	Florida Housing Finance Corp., Multi-Family Housing, Monterey Lake, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		8,225
	4,400	Florida Municipal Power Agency, All Requirements Supply, Series C, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		4,400
		Florida State Department of Environmental Protection, Everglades Restoration,
	19,120	Series A, Rev., VRDO, AGC, 0.250%, 03/07/12		19,120
	23,380	Series B, Rev., VRDO, AGC, 0.180%, 03/07/12		23,380
	5,935	Jacksonville Health Facilities Authority, Baptist Medical, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/12		5,935
	35,000	JEA Electric System Revenue, Subseries D, Rev., VRDO, 0.100%, 03/01/12		35,000
	25,000	Liberty County Florida Industrial Development Revenue Georgia-Pacific Corp., Rev., VRDO, 1.150%, 03/07/12		25,000
	51,300	Miami-Dade County School Board, Series 2982, COP, VRDO, AGC, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		51,300
	22,540	Miami-Dade County, Transit System, EAGLE, Series 2006-0101, Class A, Rev., VRDO, AGC-ICC, XLCA, LIQ: Citibank N.A., 0.170%, 03/07/12		22,540
	6,700	Nassau County, PCR, Private Activity, Rayonier, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.380%, 03/07/12		6,700
	24,535	North Broward Hospital District, Series A, Rev., VRDO, NATL-RE, LOC: Wells Fargo Bank N.A., 0.120%, 03/07/12		24,535
	7,445	Orange County Housing Finance Authority, Multi-Family Housing, Falcon Trace Apartments Project, Series D, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		7,445
	9,001	Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, LOC: Nationsbank N.A., 0.160%, 03/07/12		9,001
	3,420	Orange County Housing Finance Authority, Multi-Family Housing, Water View Club Apartments, Series D, Rev., VRDO, FNMA, LIQ: FNMA, 0.170%, 03/07/12		3,420

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Florida — Continued
	11,095	Orange County IDA, Diocese Orlando Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		11,095
	22,285	Orange County, Tourist Development, Series 2352, Rev., VRDO, FGIC, LIQ: Wells Fargo & Co., 0.160%, 03/07/12		22,285
	22,000	Orlando & Orange County Expressway Authority, Series D, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.110%, 03/07/12		22,000
	6,680	Osceola County Housing Finance Authority, Multi-Family Housing, Arrow Ridge Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		6,680
	22,950	Pinellas County Health Facilities Authority, Health System Baycare, Series B-2, Rev., VRDO, AGM, 0.210%, 03/07/12		22,950
		Sarasota County Public Hospital District, Sarasota Memorial Hospital,
	8,885	Series A, Rev., VRDO, LOC: Northern Trust Co., 0.120%, 03/01/12		8,885
	76,750	Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.140%, 03/07/12		76,750
	20,375	South Miami Health Facilities Authority, Series 2833, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12		20,375
	8,265	State of Florida, MERLOTS, Series C07, GO, VRDO, 0.140%, 03/07/12		8,265
	33,725	USF Financing Corp., Master Lease Program, Series B-1, COP, VRDO, AMBAC, LOC: Wells Fargo Bank N.A., 0.140%, 03/07/12		33,725
				989,401
		Georgia — 1.3%
	7,080	De Kalb County Development Authority, Inland Fresh Seafood Corp., Rev., VRDO, LOC: Bank of America N.A., 0.470%, 03/07/12		7,080
	8,260	De Kalb County Housing Authority, Multi-Family Housing, Chapel Run Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		8,260
	11,145	De Kalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		11,145
	10,735	De Kalb County Housing Authority, Multi-Family Housing, Timber Trace Apartments Project, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.150%, 03/07/12		10,735
	108,440	De Kalb Private Hospital Authority, Children’s Healthcare, Rev., VRDO, 0.210%, 03/07/12		108,440

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 37

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Georgia — Continued
	15,160	Eclipse Funding Trust, Solar Eclipse, Series 2007-0117, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		15,160
	18,645	Eclipse Funding Trust, Solar Eclipse, Atlanta, Series 2006-0024, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		18,645
	9,680	Eclipse Funding Trust, Solar Eclipse, De Kalb County, Series 2006-0074, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		9,680
	4,050	Griffin-Spaulding County Development Authority IDA, Norcom, Inc. Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.530%, 03/07/12		4,050
	5,940	Henry County Water & Sewer Authority, EAGLE, Series 2005-0008, Class A, Rev., VRDO, BHAC, AGM-CR, NATL-RE, LIQ: Citibank N.A., 0.160%, 03/07/12		5,940
	600	Marietta Housing Authority, Multi-Family Housing, Concepts 21 Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		600
	9,000	Private Colleges & Universities Authority, Emory University, Series B-1, Rev., VRDO, 0.110%, 03/07/12		9,000
	29,110	Wells Fargo Stage Trust, Series 57C, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		29,110
				237,845
		Hawaii — 0.1%
		Eclipse Funding Trust, Solar Eclipse, Honolulu,
	13,770	Series 2006-0096, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		13,770
	9,260	Series 2006-0123, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		9,260
				23,030
		Idaho — 0.5%
	16,600	City of Coeur d’Alene, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		16,600
	27,470	Eclipse Funding Trust, Solar Eclipse, Boise, Series 2007-0002, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		27,470

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Idaho — Continued
		Idaho Housing & Finance Association, Single Family Mortgage,
	12,720	Series D-1, Class I, Rev., VRDO, LOC: FNMA, 0.150%, 03/07/12		12,720
	27,495	Series F-1, Rev., VRDO, LIQ: Lloyds TSB Bank plc, 0.210%, 03/07/12		27,495
	8,940	Idaho State Building Authority, Prison Facilities Project, Series A, Rev., VRDO, 0.160%, 03/07/12		8,940
				93,225
		Illinois — 6.1%
	65,265	Chicago Midway Airport, Second Lien, Series C-2, Rev., VRDO, AMT, LOC: Wells Fargo Bank N.A., 0.170%, 03/07/12		65,265
	140,600	Chicago O’Hare International Airport, Third Lien, Series C, Rev., VRDO, LOC: Citibank N.A., 0.130%, 03/07/12		140,600
	10,380	City of Chicago, Neighborhoods Alive 21, Series B-4, GO, VRDO, LOC: Bank of New York, 0.110%, 03/01/12		10,380
		City of Chicago, Water, Senior Lien,
	19,570	Subseries 04-1, Rev., VRDO, LOC: California Public Employee Retirement Fund, 0.170%, 03/07/12		19,570
	9,785	Subseries 04-2, Rev., VRDO, LOC: California Public Employee Retirement Fund, 0.170%, 03/07/12		9,785
	4,300	City of Galesburg, Knox College Project, Rev., VRDO, LOC: Lasalle National Bank, 0.230%, 03/07/12		4,300
		Deutsche Bank Spears/Lifers Trust Various States,
	23,130	Series DB-288, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		23,130
	25,585	Series DB-300, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		25,585
	10,345	Series DB-307, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		10,345
	23,835	Series DB-309, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		23,835
	18,965	Series DB-315, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		18,965
	16,845	Series DB-322, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		16,845
	21,675	Series DB-365, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		21,675
	10,905	Series DB-368, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.200%, 03/07/12		10,905

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Illinois — Continued
	16,290	Series DB-393, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		16,290
	5,235	Series DB-400, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		5,235
	9,255	Series DB-472, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		9,255
	16,655	Series DB-475, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		16,655
	56,140	Series DB-476, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		56,140
	26,070	Series DB-483, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		26,070
	14,960	Series DB-494, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		14,960
	50,980	Series DB-601, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		50,980
	26,504	Series DB-623, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		26,504
	32,735	Series DB-1032, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		32,735
		Eclipse Funding Trust, Solar Eclipse, Chicago,
	9,010	Series 2006-0003, GO, VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		9,010
	10,230	Series 2006-0131, GO, VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,230
	27,305	Eclipse Funding Trust, Solar Eclipse, Illinois, Series 2006-0098, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		27,305
	28,630	Eclipse Funding Trust, Solar Eclipse, Springfield, Series 2006-0007, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		28,630
	3,200	Illinois Educational Facilities Authority, St. Xavier University Project, Series A, Rev., VRDO, LOC: Lasalle Bank N.A., 0.230%, 03/07/12		3,200
	3,286	Illinois Finance Authority, IDR, Metropolitan Family Services, Rev., VRDO, LOC: Bank of America N.A., 0.480%, 03/07/12		3,286
	10,000	Illinois Finance Authority, IDR, Residential Rental, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.180%, 03/07/12		10,000
	8,500	Illinois Finance Authority, North Central College, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/12		8,500
	14,810	Illinois Finance Authority, Northwestern Memorial Hospital, Series A-3, Rev., VRDO, 0.140%, 03/07/12		14,810

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Illinois — Continued
		Illinois Finance Authority, OSF Healthcare System,
	70,000	Series F, Rev., VRDO, AGM, 0.180%, 03/07/12		70,000
	6,480	Series G, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.140%, 03/01/12		6,480
	40,400	Illinois Finance Authority, Symphony Orchestra, Rev., VRDO, LOC: U.S. Bank N.A., 0.150%, 03/07/12		40,400
	11,250	Illinois Finance Authority, University of Chicago Medical Centre, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.120%, 03/01/12		11,250
		Illinois Housing Development Authority, Homeowner Mortgage,
	10,175	Series A-3, Rev., VRDO, AMT, 0.150%, 03/07/12		10,175
	7,500	Series C-3, Rev., VRDO, AMT, 0.130%, 03/07/12		7,500
	4,600	Illinois Housing Development Authority, Multi-Family Housing, Southern Hills/Orlando, Series B, Rev., VRDO, AGM, 0.170%, 03/07/12		4,600
		Illinois State Toll Highway Authority,
	57,900	Series A-1B, Rev., VRDO, AGM, 0.160%, 03/07/12		57,900
	33,100	Series B, Rev., VRDO, AGM, 0.260%, 03/07/12		33,100
	46,600	Series B, Rev., VRDO, AGM, 0.260%, 03/07/12		46,600
	20,000	Illinois State Toll Highway Authority, Senior Priority, Series A-2C, Rev., VRDO, LOC: Northern Trust Co., 0.140%, 03/07/12		20,000
	19,700	Jackson-Union Counties Regional Port District, Enron Transaction Services, Rev., VRDO, LOC: Wachovia Bank N.A., 0.130%, 03/07/12		19,700
	1,540	Lake County IDR, A.L. Hansen Manufacturing Co. Project, Class A, Rev., VRDO, LOC: Harris Trust & Savings Bank, 0.310%, 03/07/12		1,540
		Puttable Floating Option Tax-Exempt Receipts,
	13,635	Series PT-4681, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		13,635
	18,085	Series PT-4702, Rev., VRDO, LIQ: Bank of America N.A., 0.420%, 03/07/12 (e)		18,085
	10,700	Village of Justice, Multi-Family Housing, Candlewood Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		10,700
				1,142,645

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 39

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Indiana — 1.0%
	27,670	Deutsche Bank Spears/Lifers Trust Various States, Series DB-355, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		27,670
	9,455	Eclipse Funding Trust, Solar Eclipse, Series 2007-0098, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		9,455
	13,525	Eclipse Funding Trust, Solar Eclipse, Carmel, Series 2006-0120, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		13,525
	25,625	Eclipse Funding Trust, Solar Eclipse, Decatur, Series 2006-0162, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		25,625
		Eclipse Funding Trust, Solar Eclipse, Indiana,
	17,240	Series 2006-0092, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		17,240
	14,450	Series 2006-0100, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		14,450
	21,220	Series 2006-0138, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		21,220
	18,000	Indiana Finance Authority, Parkview Health System, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.110%, 03/07/12		18,000
	2,385	Indiana Health Facility Financing Authority, Community Hospitals Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		2,385
	10,020	Puttable Floating Option Tax-Exempt Receipts, Series PT-3986, Rev., VRDO, FGIC, LIQ: Wells Fargo & Co., 0.150%, 03/07/12		10,020
	19,405	Wells Fargo Stage Trust, Series 2009-77C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		19,405
				178,995
		Iowa — 0.3%
	23,800	City of Iowa Act, Inc., Rev., VRDO, 0.180%, 03/01/12		23,800
	18,330	Eclipse Funding Trust, Solar Eclipse, Series 2007-0109, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		18,330
	6,260	Iowa Finance Authority, Iowa Health Systems, Series D, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/01/12		6,260

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Iowa — Continued
		Iowa Finance Authority, Single Family Mortgage,
	3,400	Series F, Rev., VRDO, GNMA/FNMA, FHA/VA, 0.180%, 03/07/12		3,400
	4,790	Series I, Rev., VRDO, GNMA/FNMA/COLL, 0.180%, 03/07/12		4,790
				56,580
		Kansas — 0.4%
	6,450	Kansas Development Finance Authority, Sisters of Charity, Series D, Rev., VRDO, 0.160%, 03/01/12		6,450
	19,030	Wyandotte County-Kansas City Unified Government, Municipal Temporary Notes, Series I, GO, 0.240%, 03/01/13		19,030
	40,470	Wyandotte County-Kansas City Unified Government, Temporary Notes, GO, 0.400%, 03/01/12		40,470
				65,950
		Kentucky — 0.1%
	8,395	City of Jeffersontown, Lease Program, Kentucky League of Cities Funding Trust, Rev., VRDO, LOC: U.S. Bank N.A., 0.140%, 03/07/12		8,395
	7,990	Kentucky State Property & Buildings Commission, Series ROCS-RR-II-R-11767, Rev., VRDO, AGC, LIQ: Citibank N.A., 0.170%, 03/07/12 (e)		7,990
	10,000	Louisville Regional Airport Authority, Ohio LLC Project, Series A, Rev., VRDO, 0.140%, 03/01/12		10,000
				26,385
		Louisiana — 1.4%
	12,700	East Baton Rouge Parish Industrial Development Board, Inc., Rev., VRDO, LOC: Bank of America N.A., 0.310%, 03/07/12		12,700
	121,700	East Baton Rouge Parish Industrial Development Board, Inc., ExxonMobil Project, Series B, Rev., VRDO, 0.120%, 03/01/12		121,700
		Eclipse Funding Trust, Solar Eclipse,
	21,020	Series 2007-0042, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		21,020
	17,945	Series 2007-0112, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		17,945
	51,525	Parish of St. James, Texaco Project, Series B, Rev., VRDO, 0.130%, 03/01/12		51,525

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Louisiana — Continued
	19,760	Parish of St. John the Baptist, Series 2116, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.160%, 03/07/12		19,760
		State of Louisiana, Gas & Fuels Tax,
	10,000	Series ROCS-RR-II-R-11769, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		10,000
	7,240	Series ROCS-RR-II-R-11899, Rev., VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		7,240
				261,890
		Maine — 0.4%
	12,600	Finance Authority of Maine, Jackson Lab Issue, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/07/12		12,600
	68,300	Maine Health & Higher Educational Facilities Authority, Series H, Rev., VRDO, AGM, 0.130%, 03/07/12		68,300
				80,900
		Maryland — 1.1%
	2,635	Austin Trust Various States, Series 2007-1023, Rev., VRDO, LIQ: Bank of America N.A., 0.330%, 03/07/12		2,635
	19,440	Maryland Health & Higher Educational Facilities Authority, Villa Julie College, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/07/12		19,440
	20,000	Maryland Stadium Autority, Football Stadium, Rev., VRDO, 0.130%, 03/07/12		20,000
	3,135	Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Avalon Lea Apartment Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		3,135
	9,105	Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Fort Washington Development, Series A, Rev., VRDO, LOC: Citibank N.A., 0.200%, 03/07/12		9,105
	6,400	Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Parklane Apartments, Series C, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		6,400
	1,000	Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Residential, Series I, Rev., VRDO, AMT, 0.170%, 03/07/12		1,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Maryland — Continued
	11,700	Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Walker Mews Apartments, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.120%, 03/07/12		11,700
	15,200	Maryland State Community Development Administration, Multi-Family, Series E, Rev., VRDO, 0.140%, 03/07/12		15,200
	20,978	Maryland State Health & Higher Educational Facilities Authority, Pooled Loan Program, Series D, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/12		20,978
	2,000	Montgomery County Housing Opportunities Commission Housing Revenue, Oakfield Apartments, Issue I, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.100%, 03/07/12		2,000
	22,265	Montgomery County Housing Opportunities Commission Housing Revenue, The Grand-Issue I, Rev., VRDO, FNMA, LIQ: FNMA, 0.120%, 03/07/12		22,265
		Washington Suburban Sanitary District,
	7,500	Series A, BAN, GO, VRDO, 0.220%, 03/07/12		7,500
	26,800	Series A-7, BAN, GO, VRDO, 0.220%, 03/07/12		26,800
	18,100	Series A-10, BAN, GO, VRDO, 0.220%, 03/07/12		18,100
	4,600	Washington Suburban Sanitary District, Multimodal, Series A, BAN, GO, VRDO, 0.220%, 03/07/12		4,600
	21,000	Wells Fargo Stage Trust, Series 16C, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		21,000
				211,858
		Massachusetts — 1.5%
	6,030	Canton Housing Authority, Multi-Family Housing, Canton Arboretum Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.120%, 03/07/12		6,030
	2,000	Commonwealth of Massachusetts, Consolidated Lien, Series B, GO, VRDO, 0.190%, 03/01/12		2,000
		Eclipse Funding Trust, Solar Eclipse, Massachusetts,
	13,945	Series 2007-0001, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		13,945
	13,790	Series 2007-0010, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		13,790

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 41

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Massachusetts — Continued
	30,770	Series 2007-0032, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		30,770
	6,000	Massachusetts Development Finance Agency, Series PT-923, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/12		6,000
	9,200	Massachusetts Development Finance Agency, Eaglebrook School, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/12		9,200
	3,600	Massachusetts Development Finance Agency, First Mortgage Brookhaven, Series B, Rev., VRDO, LOC: Fleet National Bank, 0.360%, 03/07/12		3,600
	8,700	Massachusetts Development Finance Agency, Holy Cross College, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		8,700
	13,575	Massachusetts Educational Financing Authority, Series ROCS-RR-II-R-11649, Rev., VRDO, AGC, LIQ: Citibank N.A., 0.260%, 03/07/12 (e)		13,575
		Massachusetts Health & Educational Facilities Authority, Capital Asset Program,
	38,200	Series M-2, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12		38,200
	11,600	Series M-4A, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12		11,600
	5,500	Massachusetts Health & Educational Facilities Authority, Stonehill College, Series K, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		5,500
	12,500	Massachusetts Water Resources Authority, Series A-2, Rev., VRDO, 0.110%, 03/07/12		12,500
		Massachusetts Water Resources Authority, Multimodal,
	53,900	Series B, Rev., VRDO, LOC: Helaba, 0.140%, 03/07/12		53,900
	38,125	Subseries D, Rev., VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.200%, 03/01/12		38,125
	13,440	Puttable Floating Option Tax-Exempt Receipts, Series MT-558, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/12		13,440
				280,875
		Michigan — 2.8%
	51,230	Deutsche Bank Spears/Lifers Trust Various States, Series DBE-711, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12 (e)		51,230

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Michigan — Continued
	12,500	Lakeview School District, Calhoun, School Building & Site, Series B, GO, VRDO, Q-SBLF, LIQ: Landesbank Hessen-Thuringen, 0.260%, 03/07/12		12,500
	140,000	Michigan Finance Authority, Unemployment Obligation Assessment, Rev., VRDO, LOC: Citibank N.A., 0.160%, 03/07/12		140,000
	19,355	Michigan Higher Education Facilities Authority, Law School Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.120%, 03/07/12		19,355
		Michigan State Hospital Finance Authority, Ascension Health Senior Credit,
	30,000	Rev., VRDO, 0.450%, 03/01/12		30,000
	40,000	Rev., VRDO, 0.450%, 03/15/12		40,000
	64,290	Michigan State Housing Development Authority, Rental Housing, Series C, Rev., VRDO, AMT, 0.130%, 03/07/12		64,290
	6,490	Michigan State Housing Development Authority, Single Family Mortgage, Series C, Rev., VRDO, 0.160%, 03/07/12		6,490
	1,600	Michigan State University, Rev., VRDO, 0.210%, 03/07/12		1,600
	40,800	Michigan Strategic Fund, Van Andel Research, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/12		40,800
	17,860	Milan Area Schools, GO, VRDO, Q-SBLF, LOC: Landesbank Hessen-Thuringen, 0.260%, 03/07/12		17,860
	7,830	Puttable Floating Option Tax-Exempt Receipts, Series PT-4700, Rev., VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		7,830
		RBC Municipal Products, Inc. Trust, Floater Certificates,
	48,745	Series L-26, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12		48,745
	26,295	Series L-29, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12		26,295
	2,400	University of Michigan, Series A, Rev., VRDO, 0.120%, 03/01/12		2,400
		University of Michigan, Hospital,
	7,440	Series A, Rev., VRDO, 0.090%, 03/01/12		7,440
	5,300	Series A-2, Rev., VRDO, 0.130%, 03/01/12		5,300
				522,135

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Minnesota — 1.5%
	52,950	Hennepin County Sales Tax Revenue, Ballpark Project, Third Lien, Series C, Rev., VRDO, 0.150%, 03/07/12		52,950
	12,700	Midwest Consortium of Municipal Utilities, Draw Down Association Financing Project, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.150%, 03/07/12		12,700
	21,325	Minneapolis & St. Paul Housing & Redevelopment Authority, Children’s Health Care Facilities, Series A, Rev., VRDO, AGM, 0.170%, 03/01/12		21,325
		Minneapolis & St. Paul Housing & Redevelopment Authority, Children’s Hospital & Clinics,
	11,000	Series A, Rev., VRDO, AGM, 0.170%, 03/01/12		11,000
	19,450	Series A, Rev., VRDO, AGM, 0.170%, 03/01/12		19,450
		Minnesota Housing Finance Agency, Residential Housing,
	2,000	Series B, Rev., VRDO, AMT, 0.150%, 03/07/12		2,000
	4,665	Series C, Rev., VRDO, AMT, 0.150%, 03/07/12		4,665
	20,000	Series C, Rev., VRDO, AMT, 0.180%, 03/07/12		20,000
	4,595	Series J, Rev., VRDO, AMT, 0.150%, 03/07/12		4,595
		Minnesota School District Capital Equipment Borrowing Program,
	25,000	COP, 2.000%, 09/11/12		25,231
	48,000	Series B, COP, 2.000%, 09/09/12		48,433
	24,990	RBC Municipal Products, Inc. Trust, Floater Certificates, Series E-19, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.230%, 03/07/12 (e)		24,990
	20,040	Wayzata Independent School District No. 284, GO, 2.000%, 09/29/12		20,239
	14,005	Wells Fargo State Trust, Series 52C, Rev., VRDO, AMBAC, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		14,005
				281,583
		Mississippi — 0.9%
	42,155	Jackson County, Port Facility, Chevron USA, Inc. Project, Rev., VRDO, 0.130%, 03/01/12		42,155
		Mississippi Business Finance Corp., Chevron USA Inc.,
	39,560	Series A, Rev., VRDO, 0.100%, 03/01/12		39,560
	8,050	Series F, Rev., VRDO, 0.090%, 03/07/12		8,050

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Mississippi — Continued
		Mississippi Business Finance Corp., Chevron USA, Inc. Project,
	12,545	Series C, Rev., VRDO, 0.100%, 03/01/12		12,545
	7,600	Series E, Rev., VRDO, 0.130%, 03/01/12		7,600
	13,000	Series G, Rev., VRDO, 0.100%, 03/01/12		13,000
	43,000	Perry County Pollution Control, Leaf River Forest Product Project, Rev., VRDO, LOC: BNP Paribas, 1.050%, 03/07/12		43,000
				165,910
		Missouri — 0.5%
	19,360	City of St. Louis Missouri Airport, Series DB-161, Rev., VRDO, NATL-RE, 0.220%, 03/07/12		19,360
	11,830	Eclipse Funding Trust, Solar Eclipse, Series 2007-0062, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		11,830
	1,775	Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., VRDO, LOC: Bank of America N.A., 0.630%, 03/07/12		1,775
	20,000	Missouri State Health & Educational Facilities Authority, SSM Health Care Services, Series C-4, Rev., VRDO, 0.150%, 03/07/12		20,000
	7,375	Missouri State Health & Educational Facilities Authority, St. Francis Medical Center, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.120%, 03/01/12		7,375
		Missouri State Health & Educational Facilities Authority, Washington University,
	17,700	Series B, Rev., VRDO, 0.130%, 03/01/12		17,700
	5,100	Series B, Rev., VRDO, 0.130%, 03/01/12		5,100
	10,000	Series C, Rev., VRDO, 0.120%, 03/01/12		10,000
				93,140
		Nebraska — 0.2%
	18,855	Eclipse Funding Trust, Solar Eclipse, Omaha, Series 2006-0141, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12 (e)		18,855
	17,995	Nebraska Public Power District, EAGLE, Series 2007-0013, Class A, Rev., VRDO, BHAC, AGM-CR, FGIC, LIQ: Citibank N.A., 0.180%, 03/07/12		17,995
				36,850
		Nevada — 1.3%
	32,600	Austin Trust Various States, Series 2008-1153, GO, VRDO, LIQ: Bank of America N.A., 0.220%, 03/07/12		32,600

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 43

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Nevada — Continued
	42,750	City of Reno, Series 2634, Rev., VRDO, BHAC-CR, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12		42,750
	29,880	Clark County School District, Series 174, GO, VRDO, AMBAC, 0.180%, 03/07/12		29,880
		Deutsche Bank Spears/Lifers Trust Various States,
	22,820	Series DB-663, GO, VRDO, AGM-CR, AMBAC, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		22,820
	14,700	Series DBE-668, GO, VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		14,700
	12,750	Eclipse Funding Trust, Solar Eclipse, Henderson, Series 2006-0094, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		12,750
	19,970	Eclipse Funding Trust, Solar Eclipse, Truckee Meadows, Series 2007-0015, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		19,970
		Nevada Housing Division, Multi-Unit Housing,
	8,750	Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.190%, 03/07/12		8,750
	10,900	Series A, Rev., VRDO, LOC: Wachovia Bank N.A., 0.310%, 03/07/12		10,900
	3,135	Series M, Rev., VRDO, LOC: U.S. Bank N.A., 0.190%, 03/07/12		3,135
	9,500	Nevada Housing Division, Multi-Unit Housing, Flamingo Road, Series A, Rev., VRDO, LOC: Exchange Bank, 0.140%, 03/07/12 (e)		9,500
	7,800	Nevada Housing Division, Multi-Unit Housing, Fort Apache, Series A, Rev., VRDO, LOC: Exchange Bank, 0.140%, 03/07/12		7,800
	3,430	Nevada Housing Division, Multi-Unit Housing, Horizon, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		3,430
	17,850	Nevada Housing Division, Multi-Unit Housing, Reno Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		17,850
	12,710	Nevada Housing Division, Multi-Unit Housing, Silverado, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		12,710
				249,545
		New Hampshire — 0.1%
	11,300	New Hampshire Business Finance Authority, Mark H. Wentworth Home, Rev., VRDO, LOC: TD Banknorth N.A., 0.130%, 03/07/12		11,300
	12,485	New Hampshire Housing Finance Authority, Multi-Family Housing, Series 2034, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.310%, 03/07/12		12,485
				23,785

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New Jersey — 4.0%
		Deutsche Bank Spears/Lifers Trust Various States,
	37,175	Series DB-297, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		37,175
	33,855	Series DB-339, Rev., VRDO, AGM, AMBAC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		33,855
	35,165	Series DB-624, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		35,165
	37,910	New Jersey Health Care Facilities Financing Authority, Series 3018, Rev., VRDO, AGC, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		37,910
	10,925	New Jersey Health Care Facilities Financing Authority, MERLOTS, Series F01, Rev., VRDO, 0.140%, 03/07/12		10,925
	13,400	New Jersey Health Care Facilities Financing Authority, Somerset Medical Center, Rev., VRDO, LOC: TD Bank N.A., 0.120%, 03/07/12		13,400
	74,500	New Jersey State Housing & Mortgage Finance Agency, Single Family Housing, Series V, Rev., VRDO, AMT, 0.330%, 03/07/12		74,500
	12,000	Puttable Floating Option Tax-Exempt Receipts, Series PT-4643, Rev., VRDO, LIQ: Bank of America N.A., 0.250%, 03/07/12 (e)		12,000
	320,000	State of New Jersey, Series C, Rev., 2.000%, 06/21/12		321,709
	83,370	Township of Woodbridge, GO, BAN, 1.500%, 08/24/12		83,709
	83,840	Wells Fargo Stage Trust, Series 28C, Rev., VRDO, NATL-RE, AMBAC-TCRS, Bank of New York, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		83,840
				744,188
		New Mexico — 0.3%
	18,305	Eclipse Funding Trust, Solar Eclipse, New Mexico, Series 2006-0114, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		18,305
	42,520	Puttable Floating Option Tax-Exempt Receipts, Series MT-637, Rev., VRDO, 0.290%, 03/07/12		42,520
				60,825
		New York — 14.8%
		Austin Trust Various States,
	15,980	Series 2008-1092, Rev., VRDO, LIQ: Bank of America N.A., 0.290%, 03/07/12		15,980
	15,260	Series 2008-1198, GO, VRDO, AGM, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		15,260

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		New York — Continued
	19,620	Deutsche Bank Spears/Lifers Trust Various States, Series DB-1033X, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		19,620
	10,425	Eclipse Funding Trust, Solar Eclipse, Metropolitan, Series 2006-0028, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,425
	20,700	Eclipse Funding Trust, Solar Eclipse, New York, Series 2006-0159, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		20,700
		Metropolitan Transportation Authority,
	18,900	Series A-1, Rev., VRDO, LOC: Morgan Stanley Bank, 0.150%, 03/07/12		18,900
	113,500	Subseries D-1, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.190%, 03/07/12		113,500
	1,800	Subseries D-2, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.200%, 03/01/12		1,800
	41,550	Subseries E-1, Rev., VRDO, LOC: BNP Paribas, 0.440%, 03/07/12		41,550
		Metropolitan Transportation Authority, EAGLE,
	19,800	Series 2005-3019, Class A, Rev., VRDO, BHAC-CR, MBIA, LIQ: Citibank N.A., 0.170%, 03/07/12		19,800
	19,050	Series 2006-0103, Class A, Rev., VRDO, BHAC, AGM-CR, AMBAC, LIQ: Citibank N.A., 0.170%, 03/07/12		19,050
		New York City,
	29,100	Series B2, Subseries B-4, GO, VRDO, 0.200%, 03/07/12		29,100
	11,500	Series F-4, GO, VRDO, LOC: Landesbank Hessen-Thuringen, 0.190%, 03/07/12		11,500
	6,950	Series I, Subseries I-3, GO, VRDO, LOC: Bank of America N.A., 0.180%, 03/01/12		6,950
	2,300	Series I, Subseries I-5, GO, VRDO, LOC: California Public Employee Retirement Fund, 0.090%, 03/01/12		2,300
	17,850	Subseries A-3, GO, VRDO, LOC: Morgan Stanley Bank, 0.120%, 03/07/12		17,850
	11,000	Subseries A-4, GO, VRDO, LOC: Bank of Nova Scotia, 0.100%, 03/07/12		11,000
	5,100	Subseries A-6, GO, VRDO, LOC: Helaba, 0.190%, 03/07/12		5,100
	64,500	Subseries C-4, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.120%, 03/07/12		64,500
	13,090	Subseries C-5, GO, VRDO, LOC: Bank of New York, 0.100%, 03/07/12		13,090
	5,800	Subseries E-4, GO, VRDO, LOC: BNP Paribas, 0.130%, 03/01/12		5,800

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	200	Subseries E-4, GO, VRDO, LOC: BNP Paribas, 0.130%, 03/01/12		200
	16,500	Subseries F-3, GO, VRDO, LOC: Sumitomo Mitsui Banking, 0.160%, 03/07/12		16,500
	100	Subseries H-1, GO, VRDO, LOC: Bank of New York, 0.100%, 03/01/12		100
	1,325	Subseries H-4, GO, VRDO, LOC: Bank of New York, 0.100%, 03/01/12		1,325
	1,650	Subseries L-4, GO, VRDO, LOC: U.S. Bank N.A., 0.080%, 03/01/12		1,650
	9,200	New York City Capital Resources Corp., Loan Enhanced Assistance, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/07/12		9,200
	12,610	New York City Housing Development Corp., Multi-Family Housing, Series ROCS-RR-II-R-13100, Rev., VRDO, LIQ: Citibank N.A., 0.180%, 03/07/12 (e)		12,610
	22,000	New York City Housing Development Corp., Multi-Family Housing, 20 Exchange Place, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.200%, 03/07/12		22,000
	11,900	New York City Housing Development Corp., Multi-Family Housing, 245 East 124th Street, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.090%, 03/07/12		11,900
	7,255	New York City Housing Development Corp., Multi-Family Housing, 500 East 165th Street Apartments, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.180%, 03/07/12		7,255
	15,900	New York City Housing Development Corp., Multi-Family Housing, 90 Washington Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.090%, 03/07/12		15,900
	9,050	New York City Housing Development Corp., Multi-Family Housing, Bruckner, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/12		9,050
	3,070	New York City Housing Development Corp., Multi-Family Housing, Columbus Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.100%, 03/07/12		3,070
	13,600	New York City Housing Development Corp., Multi-Family Housing, Highbridge Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.100%, 03/07/12		13,600
	4,300	New York City Housing Development Corp., Multi-Family Housing, Monterey, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.100%, 03/07/12		4,300

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 45

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		New York — Continued
	4,760	New York City Housing Development Corp., Multi-Family Housing, Ogden Ave. Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.100%, 03/07/12		4,760
	7,800	New York City Housing Development Corp., Multi-Family Housing, Royal Properties, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.100%, 03/07/12		7,800
	8,730	New York City Housing Development Corp., Multi-Family Housing, The Plaza, Series A, Rev., VRDO, LOC: Citibank N.A., 0.180%, 03/07/12		8,730
	12,930	New York City Housing Development Corp., Multi-Family Housing, West 89th Street Development, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		12,930
	9,200	New York City Industrial Development Agency, Liberty Facilities Hanson Office, Rev., VRDO, LOC: ING Bank N.V., 0.140%, 03/07/12		9,200
		New York City Municipal Water Finance Authority,
	67,815	Series F, Subseries F-2, Rev., VRDO, 0.180%, 03/01/12		67,815
	15,020	Subseries A-2, Rev., VRDO, 0.080%, 03/01/12		15,020
	12,600	Subseries F1A, Rev., VRDO, 0.090%, 03/07/12		12,600
		New York City Municipal Water Finance Authority, 2nd Generation,
	42,100	Series DD-1, Rev., VRDO, 0.090%, 03/01/12		42,100
	5,700	Series DD-2, Rev., VRDO, 0.100%, 03/01/12		5,700
		New York City Municipal Water Finance Authority, 2nd Generation Resolution,
	37,480	Series BB-1, Rev., VRDO, 0.150%, 03/01/12		37,480
	22,230	Series BB-2, Rev., VRDO, 0.200%, 03/01/12		22,230
	16,500	Series CC-1, Rev., VRDO, 0.130%, 03/01/12		16,500
	78,180	New York City Municipal Water Finance Authority, 2nd Generation Resolution, Fiscal 2008, Series BB-1, Rev., VRDO, 0.100%, 03/01/12		78,180
		New York City Municipal Water Finance Authority, Water & Sewer Systems, 2nd Generation, Fiscal 2008,
	40,570	Series BB-3, Rev., VRDO, 0.120%, 03/01/12		40,570
	40,000	Series BB-4, Rev., VRDO, 0.440%, 03/07/12		40,000
		New York City Transitional Finance Authority,
	12,760	Series ROCS-RR-II-R-12054, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.170%, 03/07/12		12,760
	15,000	Series ROCS-RR-II-R-12319, Rev., VRDO, LIQ: Citibank N.A., 0.150%, 03/07/12 (e)		15,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	6,815	Subseries 2-D, Rev., VRDO, LIQ: Lloyds TSB Bank plc, 0.120%, 03/07/12		6,815
	21,065	Subseries 2-F, Rev., VRDO, LIQ: Bayerische Landesbank, 0.120%, 03/01/12		21,065
		New York City Transitional Finance Authority, EAGLE,
	3,360	Series 2007-0004, Class A, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.170%, 03/07/12		3,360
	36,060	Series 2007-0014, Class A, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.170%, 03/07/12		36,060
		New York City Transitional Finance Authority, Future Tax Secured,
	47,400	Series B, Rev., VRDO, 0.120%, 03/01/12		47,400
	5,300	Series C, Rev., VRDO, LOC: Morgan Stanley Bank, 0.140%, 03/01/12		5,300
	26,750	Subseries C-4, Rev., VRDO, 0.140%, 03/01/12		26,750
		New York City Transitional Finance Authority, New York City Recovery,
	3,360	Series 1, Subseries 1A, Rev., VRDO, LIQ: Landesbank Hessen-Thuringen, 0.190%, 03/07/12		3,360
	12,260	Series 3, Subseries 3-B, Rev., VRDO, 0.100%, 03/01/12		12,260
	21,000	Series 3, Subseries 3-E, Rev., VRDO, 0.120%, 03/01/12		21,000
	5,000	Series 3, Subseries 3-H, Rev., VRDO, 0.130%, 03/01/12		5,000
	1,380	New York City Trust for Cultural Resources, American Museum of Natural History, Series A1, Rev., VRDO, 0.150%, 03/01/12		1,380
		New York City, Fiscal 2008,
	52,940	Subseries J-6, GO, VRDO, LOC: Landesbank Hessen-Thuringen, 0.180%, 03/01/12		52,940
	58,500	Subseries J-7, GO, VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.330%, 03/07/12		58,500
	74,435	Subseries J-8, GO, VRDO, 0.210%, 03/01/12		74,435
	4,150	Subseries J-9, GO, VRDO, 0.120%, 03/07/12		4,150
	49,500	New York Convention Center Operating Corp., EAGLE, Series 2006-0072, Class A, Rev., VRDO, BHAC, AGC-ICC, AMBAC, LIQ: Citibank N.A., 0.170%, 03/07/12		49,500
		New York Liberty Development Corp.,
	10,750	Series 3232, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		10,750
	13,300	Series ROCS-RR-II-R-11883, Rev., VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		13,300

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		New York — Continued
		New York Liberty Development Corp., World Trade Center,
	17,400	Series A, Rev., VAR, 0.280%, 11/08/12		17,400
	290,000	Series A-3, Rev., VAR, 0.270%, 11/08/12		290,000
	16,160	New York Liberty Development Project, Series ROCS-RR-II-R-11868, Rev., VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		16,160
	11,421	New York Local Government Assistance Corp., Series C, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.160%, 03/07/12		11,421
	4,400	New York Mortgage Agency, Series ROCS-RR-II-R-11708, Rev., VRDO, LIQ: Citibank N.A., 0.210%, 03/07/12 (e)		4,400
	20,800	New York State Dormitory Authority, City University, Series D, Rev., VRDO, LOC: TD Bank N.A., 0.130%, 03/07/12		20,800
	85,175	New York State Dormitory Authority, Court Facilities Lease, Series B, Rev., VRDO, LOC: Bayerische Landesbank, 0.230%, 03/07/12		85,175
	15,680	New York State Dormitory Authority, EAGLE, Series 2006-0138, Class A, Rev., VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12		15,680
		New York State Dormitory Authority, Mental Health Services,
	10,755	Subseries D-2E, Rev., VRDO, LOC: Royal Bank of Canada, 0.140%, 03/07/12		10,755
	7,015	Subseries D-2H, Rev., VRDO, LOC: Royal Bank of Canada, 0.140%, 03/07/12		7,015
	10,490	New York State Dormitory Authority, Royal, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.100%, 03/07/12		10,490
	17,420	New York State Environmental Facilities Corp., MERLOTS, Series B-20, Rev., VRDO, 0.140%, 03/07/12		17,420
	1,800	New York State Housing Finance Agency, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		1,800
	2,755	New York State Housing Finance Agency, 10 Barclay Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		2,755
	8,000	New York State Housing Finance Agency, 101 West End, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		8,000
	4,100	New York State Housing Finance Agency, 150 East 44th Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		4,100
	33,900	New York State Housing Finance Agency, 188 Ludlow Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.330%, 03/07/12		33,900

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	4,200	New York State Housing Finance Agency, 240 East 39th Street Housing, Series A, Rev., VRDO, 0.130%, 03/07/12		4,200
	30,600	New York State Housing Finance Agency, 250 West 93rd Street, Series 2005-A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.240%, 03/07/12		30,600
	7,200	New York State Housing Finance Agency, 345 East 94th Street Housing, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		7,200
	3,200	New York State Housing Finance Agency, 360 West 43rd Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		3,200
	9,600	New York State Housing Finance Agency, 455 West 37th Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/12		9,600
	93,600	New York State Housing Finance Agency, 88 Leonard Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.330%, 03/07/12		93,600
	10,300	New York State Housing Finance Agency, Bennington Hills Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		10,300
	9,550	New York State Housing Finance Agency, Chelsea Arms Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		9,550
	7,400	New York State Housing Finance Agency, East 84th Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.140%, 03/07/12		7,400
	18,250	New York State Housing Finance Agency, Helena Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.120%, 03/07/12		18,250
	28,550	New York State Housing Finance Agency, Historic Front Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.200%, 03/07/12		28,550
	4,700	New York State Housing Finance Agency, Normandie Court I Project, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.140%, 03/07/12		4,700
	7,050	New York State Housing Finance Agency, North End, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		7,050
	21,980	New York State Housing Finance Agency, Parkledge Apartments Housing, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.180%, 03/07/12		21,980

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 47

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		New York — Continued
	6,680	New York State Housing Finance Agency, Talleyrand Crescent, Rev., VRDO, FNMA, LOC: FNMA, 0.140%, 03/07/12		6,680
	11,300	New York State Housing Finance Agency, Theater Row, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		11,300
	59,065	New York State Housing Finance Agency, Tribeca Green Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.330%, 03/07/12		59,065
	4,850	New York State Housing Finance Agency, Union Square South Housing, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		4,850
	10,000	New York State Housing Finance Agency, Victory Housing, Series 2002-A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.130%, 03/07/12		10,000
	7,700	New York State Housing Finance Agency, West 33rd Street Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		7,700
	2,500	New York State Housing Finance Agency, West 38th Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		2,500
	100	New York State Housing Finance Agency, Weyant Green Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		100
		New York State Housing Finance Agency, Worth Street,
	3,400	Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		3,400
	2,100	Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		2,100
	125,000	New York State Thruway Authority, Series A, Rev., BAN, 2.000%, 07/12/12		125,747
	18,275	New York State Urban Development Corp., Series ROCS-RR-II-R-12321, Rev., VRDO, 0.160%, 03/07/12 (e)		18,275
	9,665	Port Authority of New York & New Jersey, Series ROCS-RR-II-R-11770X, Rev., VRDO, LIQ: Citibank N.A., 0.220%, 03/07/12 (e)		9,665
	33,905	Sales Tax Asset Receivable Corp., Series ROCS-RR-II-R-10395, Rev., VRDO, AGM-CR, MBIA, 0.160%, 03/07/12 (e)		33,905
	25,000	Town of Oyster Bay, GO, BAN, 2.000%, 03/09/12		25,008
		Triborough Bridge & Tunnel Authority,
	7,685	Subseries B-3, Rev., VRDO, 0.200%, 03/07/12		7,685
	94,520	Subseries B-4, Rev., VRDO, 0.270%, 03/07/12		94,520

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	20,690	Subseries CD, Rev., VRDO, AGM, 0.140%, 03/07/12		20,690
	17,890	Wells Fargo Stage Trust, Series 2009-12C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		17,890
				2,769,666
		North Carolina — 3.9%
	11,045	City of Charlotte, Central Yard Project, Series A, COP, VRDO, 0.200%, 03/07/12		11,045
	30,920	City of Charlotte, Douglas International, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/07/12		30,920
	6,820	City of Charlotte, Governmental Facilities, Series F, COP, VRDO, 0.200%, 03/07/12		6,820
	1,700	City of Durham, Water & Sewer Utility Systems, Rev., VRDO, 0.140%, 03/07/12		1,700
	2,500	City of Greensboro, Combined Enterprise System, Series B, Rev., VRDO, 0.210%, 03/07/12		2,500
	47,000	City of Raleigh, DownTown Improvement Project, Series B-1, COP, VRDO, 0.110%, 03/07/12		47,000
		Mecklenburg County,
	29,440	Series B, GO, VRDO, 0.150%, 03/07/12		29,440
	28,920	Series D, GO, VRDO, 0.260%, 09/26/12 (i)		28,920
		New Hanover County, Hospital, New Hanover Regional Medical,
	5,835	Series A-2, Rev., VRDO, AGM, 0.250%, 03/07/12		5,835
	22,595	Series B-2, Rev., VRDO, AGM, 0.250%, 03/07/12		22,595
	48,000	North Carolina Capital Facilities Finance Agency, EAGLE, Series 2007-0016, Class A, Rev., VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12		48,000
	17,740	North Carolina Capital Facilities Finance Agency, NCCU Real Estate, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		17,740
	10,530	North Carolina Capital Facilities Finance Agency, Wolfpack Towers Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.150%, 03/07/12		10,530
	15,755	North Carolina Capital Facilities Finance Agency, YMCA of Greater Charlotte Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		15,755

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		North Carolina — Continued
	5,600	North Carolina Educational Facilities Finance Agency, Elon College, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		5,600
	4,025	North Carolina Housing Finance Agency, Appalachian Student Housing, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.240%, 03/07/12		4,025
	60,000	North Carolina Medical Care Commission, Duke University Health System, Series B, Rev., VRDO, 0.110%, 03/07/12		60,000
	16,920	North Carolina Medical Care Commission, Duke University Hospital Project, Series A, Rev., VRDO, 0.160%, 03/07/12		16,920
	28,900	North Carolina Medical Care Commission, FirstHealth Carolinas Project, Rev., VRDO, 0.140%, 03/07/12		28,900
	43,990	North Carolina Medical Care Commission, Hugh Chatham Memorial Hospital Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		43,990
		North Carolina Medical Care Commission, Moses Cone Health System,
	25,000	Series A, Rev., VRDO, 0.150%, 03/07/12		25,000
	42,600	Series A, Rev., VRDO, 0.150%, 03/07/12		42,600
	13,250	North Carolina Medical Care Commission, Union Regional Medical Center Project, Series B, Rev., VRDO, LOC: Wachovia Bank N.A., 0.130%, 03/07/12		13,250
	4,700	North Carolina Medical Care Commission, Wake Forest University, Series C, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/07/12		4,700
	24,265	North Carolina State University at Raleigh, Series B, Rev., VRDO, 0.120%, 03/07/12		24,265
		State of North Carolina, Public Improvement,
	25,160	Series D, GO, VRDO, 0.130%, 03/07/12		25,160
	40,655	Series G, GO, VRDO, 0.100%, 03/07/12		40,655
	19,800	University of North Carolina at Chapel Hill, EAGLE, Series 2006-0024, Class A, Rev., VRDO, LIQ: Citibank N.A., 0.160%, 03/07/12		19,800
		University of North Carolina at Chapel Hill, University Hospital,
	10,700	Series A, Rev., VRDO, 0.150%, 03/07/12		10,700
	39,290	Series A, Rev., VRDO, 0.170%, 03/01/12		39,290
	22,370	Series B, Rev., VRDO, 0.170%, 03/01/12		22,370
		Wake County, School,
	18,100	Series A, GO, VRDO, 0.120%, 03/07/12		18,100
	11,500	Series B, GO, VRDO, 0.120%, 03/07/12		11,500
				735,625

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		North Dakota — 0.1%
	5,500	City of Grand Forks, The United Hospital Obligation Group, Rev., VRDO, LOC: Lasalle National Bank, 0.250%, 03/01/12		5,500
		North Dakota State Housing Finance Agency, Home Mortgage,
	1,300	Series A, Rev., VRDO, 0.150%, 03/07/12		1,300
	12,000	Series C, Rev., VRDO, 0.150%, 03/07/12		12,000
				18,800
		Ohio — 0.8%
	5,361	Austin Trust Various States, Series 2008-3308, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Bank of America N.A., 0.330%, 03/07/12		5,361
	8,575	County of Cuyahoga, Cleveland Clinic, Subseries B1, Rev., VRDO, 0.120%, 03/01/12		8,575
	3,800	Deutsche Bank Spears/Lifers Trust Various States, Series DB-488, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		3,800
	11,440	Eclipse Funding Trust, Solar Eclipse, Chilli, Series 2007-0013, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		11,440
	8,710	Eclipse Funding Trust, Solar Eclipse, Hamilton, Series 2006-0158, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		8,710
	1,700	Franklin County, Holy Cross Health System, Rev., VRDO, 0.120%, 03/07/12		1,700
	21,900	Franklin County, Hospital Facilities, Ohio Health, Series B, Rev., VRDO, 0.120%, 03/07/12		21,900
	5,495	Montgomery County, Miami Valley Hospital, Series C, Rev., VRDO, 0.100%, 03/01/12		5,495
	2,340	Ohio Air Quality Development Authority, Pollution, FirstEnergy, Series B, Rev., VRDO, LOC: UBS AG, 0.100%, 03/07/12		2,340
	28,070	Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, Series F, Rev., VRDO, AMT, GNMA/FNMA, 0.270%, 03/07/12		28,070
		Ohio State Higher Educational Facility Commission, Case Western Reserve University,
	10,990	Series A, Rev., VRDO, 0.170%, 03/01/12		10,990
	5,100	Series B-1, Rev., VRDO, LOC: U.S. Bank N.A., 0.160%, 03/01/12		5,100
	37,100	Puttable Floating Option Tax-Exempt Receipts, Series MT-567, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.420%, 03/07/12		37,100
				150,581

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 49

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Oklahoma — 0.4%
		Oklahoma State Capital Improvement Authority, Higher Education,
	18,355	Series D1, Rev., VRDO, 0.250%, 03/01/12		18,355
	14,700	Series D2, Rev., VRDO, 0.250%, 03/01/12		14,700
	19,700	Series D3, Rev., VRDO, 0.250%, 03/01/12		19,700
	17,425	Series D4, Rev., VRDO, 0.250%, 03/01/12		17,425
	10,490	Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		10,490
				80,670
		Oregon — 0.4%
	7,800	City of Portland, Housing Authority, Multi-Family Housing, Civic Apartments Redevelopment, Rev., VRDO, AMT, FHLMC, 0.180%, 03/07/12		7,800
	15,450	Clackamas County Hospital Facility Authority, Legacy Health Systems, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.110%, 03/07/12		15,450
	14,000	Oregon State Department of Administrative Services, Series ROCS-RR-II-R-11742, COP, VRDO, NATL-RE, FGIC, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		14,000
	27,500	Port of Portland, Portland Bulk Terminal, Rev., VRDO, LOC: Canadian Imperial Bank, 0.130%, 03/07/12		27,500
	6,725	State of Oregon Housing & Community Services Department, Covenant Retirement, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.170%, 03/07/12		6,725
	10,000	State of Oregon, Georgia Pacific Corp., Project, Rev., VRDO, LOC: BNP Paribas, 1.150%, 03/07/12		10,000
				81,475
		Other Territories — 4.3%
	7,500	Austin Trust Various States, Series 2008-1091, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.260%, 03/07/12		7,500
	15,800	BB&T Municipal Trust, Various States, Series 2025, Rev., VRDO, LIQ: Branch Banking & Trust, LOC: Branch Banking & Trust, 0.150%, 03/07/12		15,800
		Deutsche Bank Spears/Lifers Trust Various States,
	13,665	Series DB-292, Rev., VRDO, LIQ: Deutsche Bank AG, 0.180%, 03/07/12		13,665
	9,615	Series DB-295, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		9,615

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Territories — Continued
	11,345	Series DB-325, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		11,345
	14,110	Series DB-327, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		14,110
	73,500	Series DB-331, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		73,500
	15,215	Series DB-340, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.200%, 03/07/12		15,215
	19,505	Series DBE-1001, Rev., VRDO, GNMA COLL, LIQ: Deutsche Bank AG, 0.280%, 03/07/12 (e)		19,505
	27,790	Eagle Tax-Exempt Trust, Rev., VRDO, FHLMC COLL, LIQ: FHLB, 0.210%, 03/07/12		27,790
		Federal Home Loan Mortgage Corp., Multi-Family Housing,
	93,074	Series M017, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.210%, 03/07/12		93,074
	18,727	Series M019, Class A, Rev., VRDO, FHLMC, 0.210%, 03/07/12		18,727
	24,691	Series M020, Class A, Rev., VRDO, FHLMC, 0.210%, 03/07/12		24,691
	19,460	Series M023, Class A, Rev., VRDO, FHLMC, 0.210%, 03/07/12		19,460
	18,970	Series M024, Class A, Rev., VRDO, LIQ: FHLMC, 0.210%, 03/07/12		18,970
	23,030	Series M025, Class A, Rev., VRDO, LIQ: FHLMC, 0.200%, 03/07/12		23,030
		Puttable Floating Option Tax-Exempt Receipts,
	50,890	Series MT-389, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.420%, 03/07/12		50,890
	25,935	Series MT-636, Rev., VRDO, LIQ: Bank of America N.A., 0.420%, 03/07/12 (e)		25,935
	38,620	Series PPT-34, Class A, FHLMC, LIQ: FHLMC, 0.410%, 03/07/12		38,620
	68,655	Series PPT-1001, Class C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.420%, 03/07/12		68,655
	84,595	Series PPT-1006, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.490%, 03/07/12		84,595
	95,000	Series PPT-1008, Class A, GO, VRDO, FHLMC, LIQ: FHLMC, 0.420%, 03/07/12		95,000
	11,250	Series PT-4704, Rev., VRDO, LIQ: Bank of America N.A., 0.290%, 03/07/12 (e)		11,250
	25,610	Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-2, Class A, Rev., LIQ: FHLMC, 0.450%, 03/07/12		25,610
	6,430	SunAmerica Trust, Various States, Series 2, Class A, Rev., VRDO, FHLMC, LOC: FHLMC, 0.220%, 03/07/12		6,430
				812,982

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Pennsylvania — 2.9%
	50,750	Allegheny County Higher Education Building Authority, Carnegie Mellon University, Rev., VRDO, 0.120%, 03/01/12		50,750
		Bucks County IDA, Grand View Hospital,
	12,700	Series A, Rev., VRDO, LOC: TD Bank N.A., 0.120%, 03/07/12		12,700
	8,105	Series B, Rev., VRDO, LOC: PNC Bank N.A., 0.140%, 03/07/12		8,105
	31,000	Dallastown Area School District, Series A, GO, 1.510%, 03/30/12		31,036
	1,900	Delaware County IDA, United Parcel Service Project, Rev., VRDO, 0.130%, 03/01/12		1,900
		Deutsche Bank Spears/Lifers Trust Various States,
	12,015	Series DB-247, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.200%, 03/07/12		12,015
	34,760	Series DB-469, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.280%, 03/07/12		34,760
	11,700	Doylestown Hospital Authority, Series B, Rev., VRDO, LOC: PNC Bank N.A., 0.140%, 03/07/12		11,700
	8,020	Lancaster County Hospital Authority, Health Systems, Lancaster General Hospital, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/01/12		8,020
		Montgomery County Redevelopment Authority, Multi-Family Housing, Brookside Manors Apartments Project,
	4,810	Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		4,810
	2,205	Series A-T2, Rev., VRDO, LIQ: FNMA, 0.160%, 03/07/12		2,205
	16,880	Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		16,880
	21,530	Pennsylvania Economic Development Financing Authority, MERLOTS, Series F01, Rev., VRDO, 0.140%, 03/07/12		21,530
	80,660	Pennsylvania Higher Educational Facilties Authority, Series DBE-1021, Rev., VRDO, LIQ: Deutsche Bank AG, 0.250%, 03/07/12 (e)		80,660
	1,835	Pennsylvania Housing Finance Agency, MERLOTS, Series C-32, Rev., VRDO, 0.140%, 03/07/12		1,835
	18,120	Pennsylvania Housing Finance Agency, Rental Housing, Series D, Rev., VRDO, 0.230%, 03/07/12		18,120
	15,000	Pennsylvania Housing Finance Agency, Single Family Mortgage, Series 85-B, Rev., VRDO, 0.120%, 03/07/12		15,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Pennsylvania — Continued
	42,870	Pennsylvania Housing Finance Agency, Single-Family Mortgage, Series 92-B, Rev., VRDO, AMT, 0.160%, 03/07/12		42,870
	35,265	Pennsylvania Turnpike Commission, Series ROCS-RR-II-R-12259, Rev., VRDO, BHAC-CR, AMBAC, 0.140%, 03/01/12 (e)		35,265
	10,400	Philadelphia Authority for Industrial Development, Regional Performing Arts Center Project, Rev., VRDO, LOC: Wachovia Bank N.A., 0.130%, 03/07/12		10,400
	30,100	Philadelphia Redevelopment Authority, Series DB-134, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		30,100
		RBC Municipal Products, Inc. Trust, Floater Certificates,
	19,600	Series E-15, Rev., VRDO, LIQ: Royal Bank of Canada, 0.170%, 03/07/12 (e)		19,600
	29,500	Series E-16, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.160%, 03/07/12 (e)		29,500
	19,900	Series E-22, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.160%, 03/07/12 (e)		19,900
	14,000	State Public School Building Authority, Series 1479, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12		14,000
	14,110	Wells Fargo Stage Trust, Series 2008-1C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		14,110
				547,771
		Rhode Island — 0.4%
	14,590	Narragansett Bay Commission Wastewater Systems, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.150%, 03/07/12		14,590
	9,275	Puttable Floating Option Tax-Exempt Receipts, Series PT-4670, Rev., VRDO, LIQ: Bank of America N.A., 0.330%, 03/07/12 (e)		9,275
	2,010	Rhode Island Health & Educational Building Corp., International Institute of Rhode Island, Rev., VRDO, LOC: Bank of America N.A., 0.530%, 03/07/12		2,010
		Rhode Island Health & Educational Building Corp., Rhode Island School of Design,
	10,700	Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/12		10,700
	6,650	Series B, Rev., VRDO, LOC: TD Bank N.A., 0.160%, 03/07/12		6,650
	7,000	Rhode Island Housing & Mortgage Finance Corp., Multi-Family Housing, Sutterfield, Rev., VRDO, AMT, FHLMC, LIQ: FHLMC, 0.200%, 03/07/12		7,000

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 51

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Rhode Island— Continued
	22,840	Rhode Island Housing & Mortgage Finance Corp., Multi-Family Housing, University Heights, Rev., VRDO, AMT, FHLMC, LIQ: FHLMC, 0.200%, 03/07/12		22,840
	2,850	Rhode Island Industrial Facilities Corp., ExxonMobil Project, Rev., VRDO, 0.120%, 03/01/12		2,850
				75,915
		South Carolina — 0.6%
	14,500	Charleston County, Hospital Facilities, Carealliance Health, Series B-2, Rev., VRDO, AGM, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/12		14,500
	15,075	Charleston Educational Excellence Finance Corp., Series ROCS-RR-II-R-481X, Rev., VRDO, AGC-IGC, LIQ: Citibank N.A., 0.180%, 03/07/12		15,075
	3,000	Cherokee County, Oshkosh Truck Project, Rev., VRDO, LOC: Bank of America N.A., 0.650%, 03/07/12		3,000
	12,015	City of North Charleston, Public Facilities Convention, COP, VRDO, LOC: Bank of America N.A., 0.140%, 03/07/12		12,015
	30,660	Eclipse Funding Trust, Solar Eclipse, SCAGO, Series 2007-0003, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		30,660
	23,590	South Carolina Educational Facilities Authority, Furman University, Series B, Rev., VRDO, 0.150%, 03/01/12		23,590
	800	South Carolina Educational Facilities Authority, Morris College Project, Rev., VRDO, LOC: Bank of America N.A., 0.480%, 03/07/12		800
	1,350	South Carolina Jobs & EDA, South Carolina Catholic Diocese Project, Rev., VRDO, LOC: Bank of America N.A., 0.480%, 03/07/12		1,350
	3,365	South Carolina Jobs & EDA, Thompson Steel Co., Inc., Project, Rev., VRDO, LOC: Bank of America N.A., 0.930%, 03/07/12		3,365
	10,000	South Carolina State Public Service Authority, EAGLE, Series 2006-0007, Class A, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.160%, 03/07/12		10,000
				114,355
		South Dakota — 0.6%
	13,210	Deutsche Bank Spears/Lifers Trust Various States, Series DBE-1018, Rev., VRDO, LIQ: Deutsche Bank AG, 0.210%, 03/07/12 (e)		13,210

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		South Dakota — Continued
		South Dakota Housing Development Authority, Home Ownership Mortgage,
	13,870	Series A, Rev., VRDO, 0.120%, 03/07/12		13,870
	12,000	Series C, Rev., VRDO, AMT, 0.180%, 03/07/12		12,000
	19,200	Series C-1, Rev., VRDO, 0.260%, 03/07/12		19,200
	12,900	Series C-2, Rev., VRDO, 0.220%, 03/07/12		12,900
	10,300	Series D, Rev., VRDO, 0.180%, 03/07/12		10,300
	5,000	Series F, Rev., VRDO, 0.260%, 03/07/12		5,000
	22,750	Series G, Rev., VRDO, 0.210%, 03/07/12		22,750
				109,230
		Tennessee — 1.2%
	27,565	Clarksville Public Building Authority, Metropolitan Government Nashville & Davidson, Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		27,565
		Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund,
	11,435	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		11,435
	8,400	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		8,400
	2,250	Rev., VRDO, 0.310%, 03/07/12		2,250
	14,675	Memphis Health Educational & Housing Facility Board, Multi-Family Housing, Watergrove Apartments Project, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.160%, 03/07/12		14,675
	6,205	Metropolitan Government Nashville & Davidson County, Health & Educational Facilities Board, Vanderbilt University, Series A, Rev., VRDO, 0.110%, 03/07/12		6,205
	18,280	Metropolitan Government Nashville & Davidson County, Industrial Development Board, YMCA Project, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/12		18,280
		Montgomery County Public Building Authority, Tennessee County Loan Pool,
	5,060	Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		5,060
	13,420	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		13,420
	27,450	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		27,450
	2,985	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		2,985
	4,735	Sevier County Public Building Authority, Local Government Public Improvement, Series M-1, Rev., VRDO, 0.310%, 03/07/12		4,735

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Tennessee — Continued
	4,425	Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/07/12		4,425
	67,585	Shelby County, Public Improvement School, Series B, GO, VRDO, 0.150%, 03/07/12		67,585
				214,470
		Texas — 6.9%
		Austin Trust Various States,
	5,605	Series 2008-3023X, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.260%, 03/07/12		5,605
	9,335	Series 2008-3315, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.260%, 03/07/12 (e)		9,335
	9,100	Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects, Rev., VRDO, FNMA, LIQ: FNMA, 0.130%, 03/07/12		9,100
	40,000	City of Houston, First Lien, Series B1, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/07/12		40,000
	64,665	City of Houston, MERLOTS, Series B17, Rev., VRDO, NATL-RE, 0.140%, 03/07/12 (e)		64,665
	50,180	Crawford Education Facilities Corp., Houston Baptist University, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/12		50,180
	11,600	Dallas Performing Arts Cultural Facilities Corp., Dallas Center Foundation Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/01/12		11,600
	5,000	Dallas-Fort Worth International Airport Facilities Improvement Corp., FlightSafety International, Inc. Project, Rev., VRDO, 0.150%, 03/07/12		5,000
		Deutsche Bank Spears/Lifers Trust Various States,
	5	Series DB-456, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		5
	31,000	Series DB-513, GO, VRDO, PSF-GTD, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		31,000
	65,265	Series DB-515, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		65,265
	22,490	Series DB-597, GO, VRDO, PSF-GTD, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		22,490
	41,120	Series DB-602, Rev., VRDO, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		41,120
	90,060	Series DB-620, Rev., VRDO, AGC, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		90,060
	10,965	Series DB-638, Rev., VRDO, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		10,965

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Texas — Continued
	27,955	Series DBE-526, Rev., VRDO, FGIC, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		27,955
	10,695	Eclipse Funding Trust, Solar Eclipse, El Paso, Series 2006-0032, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,695
	15,765	Eclipse Funding Trust, Solar Eclipse, Houston, Series 2007-0033, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		15,765
	19,155	Eclipse Funding Trust, Solar Eclipse, Texas, Series 2006-0088, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12		19,155
	9,935	Eclipse Funding Trust, Solar Eclipse, Waco, Series 2007-0040, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		9,935
	24,466	Garland Health Facilities Development Corp., Chambrel Club Hill, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		24,466
	50,600	Harris County Flood Control District, Series ROCS-RR-II-R-10396, GO, VRDO, 0.130%, 03/07/12 (e)		50,600
	30,000	Harris County, EAGLE, Series 2007-0078, Class A, Rev., VRDO, BHAC-CR, NATL-RE, LIQ: Citibank N.A., 0.160%, 03/07/12		30,000
	11,495	Judson Independent School District, Series ROCS-RR-II-R-11521, GO, VRDO, AGC, LIQ: Citibank N.A., 0.190%, 03/07/12		11,495
	24,445	Mansfield Independent School District, MERLOTS, Series B11, GO, VRDO, PSF-GTD, 0.140%, 03/07/12		24,445
	8,500	North Texas Higher Education Authority, Series A, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.260%, 03/07/12		8,500
	600	Port of Port Arthur Navigation District, Fina Oil & Chemical Co. Project, Rev., VRDO, 0.250%, 03/07/12		600
	15,335	Puttable Floating Option Tax-Exempt Receipts, Series MT-635, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.420%, 03/07/12 (e)		15,335
	20,000	RBC Municipal Products, Inc. Trust, Floater Certificates, Series E-14, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.160%, 03/07/12 (e)		20,000
	8,600	Southeast Texas Housing Finance Corp.,Wyndham Park Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		8,600

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 53

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Texas — Continued
	525,000	State of Texas, Series A, Rev., TRAN, 2.500%, 08/30/12		530,831
	9,875	Tarrant County Cultural Education Facilities Finance Corp., Series 1760, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12		9,875
	8,700	Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.180%, 03/07/12		8,700
	9,450	Texas Department of Housing & Community Affairs, Multi-Family Housing, Reading Pond Apartments, Senior, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.170%, 03/07/12		9,450
	970	Texas Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Series A-1, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.170%, 03/07/12		970
				1,293,762
		Utah — 1.6%
	74,000	Central Utah Water Conservancy District, Series A, Rev., VRDO, 0.180%, 03/07/12		74,000
	25,000	Emery County, Pacific Corp., Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.140%, 03/07/12		25,000
	10,080	Park City, U.S. Ski & Snowboard Association, Series U, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		10,080
	9,575	Salt Lake City, Valley Mental Health Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		9,575
		Utah Housing Corp., Single Family Mortgage,
	13,200	Series A, Class I, Rev., VRDO, 0.140%, 03/07/12		13,200
	4,825	Series A, Class I, Rev., VRDO, 0.160%, 03/07/12		4,825
	18,620	Series B, Class I, Rev., VRDO, 0.140%, 03/07/12		18,620
	6,350	Series E-1, Class I, Rev., VRDO, 0.160%, 03/07/12		6,350
	10,815	Series I, Rev., VRDO, 0.170%, 03/07/12		10,815
		Utah Housing Finance Agency, Single Family Mortgage,
	2,870	Series C-1, Class I, Rev., VRDO, 0.170%, 03/07/12		2,870
	7,335	Series D-1, Rev., VRDO, AMT, 0.160%, 03/07/12		7,335
	7,455	Series E-1, Rev., VRDO, AMT, 0.160%, 03/07/12		7,455

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Utah — Continued
	6,335	Series F-2, Class I, Rev., VRDO, 0.190%, 03/07/12		6,335
	62,570	Utah Transit Authority, Subseries A, Rev., VRDO, LOC: BNP Paribas, 0.130%, 03/01/12		62,570
	13,500	Utah Transit Authority, Sales Tax Revenue, Series 3006, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/12 (e)		13,500
	11,850	Washington County-St. George Interlocal Agency, Rev., VRDO, LOC: Bank of America N.A., 0.310%, 03/07/12		11,850
	6,000	Weber County, IHC Health Care Services, Series A, Rev., VRDO, 0.140%, 03/01/12		6,000
				290,380
		Vermont — 0.1%
	15,475	University of Vermont & State Agricultural College, EAGLE, Series 2006-0086, Class A, Rev., VRDO, BHAC-CR, MBIA, LIQ: Citibank N.A., 0.170%, 03/07/12		15,475
	8,345	Vermont Educational & Health Buildings Financing Agency, Norwich University Project, Rev., VRDO, LOC: TD Bank N.A., 0.120%, 03/07/12		8,345
				23,820
		Virginia — 1.0%
	5,045	City of Alexandria IDA, Pooled Loan Program, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/12		5,045
	34,025	Clarke County IDA, Winchester Medical Center Inc., Rev., VRDO, AGM, 0.190%, 03/07/12		34,025
	4,300	Fairfax County EDA, Public Broadcasting Services Project, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/12		4,300
	24,155	Fairfax County EDA, The Lorton Arts Foundation Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		24,155
	12,000	Harrisonburg Redevelopment & Housing Authority, Multi-family Housing, Series MT-323, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/12		12,000
	16,685	James City County EDA, United Methodist Homes, Series C, Rev., VRDO, LOC: Lasalle Bank N.A., 0.240%, 03/07/12		16,685
	9,500	James City County IDA, Housing Chambrel Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.160%, 03/07/12		9,500
	12,675	Smyth County IDA, Series D, Rev., VRDO, LOC: Mizhuo Corporate Bank, 0.100%, 03/07/12		12,675

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		Virginia — Continued
	3,745	Virginia College Building Authority, 21st Century College, Series C, Rev., VRDO, 0.150%, 03/01/12		3,745
	34,865	Virginia College Building Authority, University of Richmond Project, Rev., VRDO, 0.150%, 03/01/12		34,865
	25,000	Virginia Commonwealth University Health System Authority, Series A, Rev., VRDO, AMBAC, LOC: Wachovia Bank N.A., 0.150%, 03/01/12		25,000
	13,385	Virginia Small Business Financing Authority, Virginia State University Real Estate, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/01/12		13,385
				195,380
		Washington — 2.2%
	8,915	Eagle Tax-Exempt Trust, Series 2009-0049, Class A, Rev., VRDO, AGM-CR, NATL-RE, LIQ: Citibank N.A., 0.160%, 03/07/12 (e)		8,915
	35,810	Eclipse Funding Trust, Solar Eclipse, Port Seattle, Series 2006-0063, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.140%, 03/07/12 (e)		35,810
	10,640	Eclipse Funding Trust, Solar Eclipse, Washington, Series 2006-0009, GO, VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		10,640
	144,825	Port of Seattle, Sub Lien, Rev., VRDO, AMT, LOC: Landesbank Hessen-Thuringen, 0.240%, 03/07/12		144,825
	900	Port of Tacoma, Sub Lien, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/12		900
	695	Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.160%, 03/07/12		695
	39,400	State of Washington, Series VR-96A, GO, VRDO, 0.120%, 03/07/12		39,400
		State of Washington, MERLOTS,
	21,390	Series B-22, GO, VRDO, AGM, 0.140%, 03/07/12		21,390
	28,920	Series B-22, GO, VRDO, FGIC, MBIA, 0.140%, 03/07/12		28,920
	4,700	Washington Economic Development Finance Authority, Novelty Hill Properties LLC, Series C, Rev., VRDO, LOC: U.S. Bank N.A., 0.240%, 03/07/12		4,700

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Washington — Continued
	11,000	Washington Health Care Facilities Authority, Multicare Health System, Series C, Rev., VRDO, LOC: Barclays Bank plc, 0.100%, 03/07/12		11,000
	4,300	Washington State Housing Finance Commission, Bush School Project, Rev., VRDO, LOC: Bank of America N.A., 0.150%, 03/07/12		4,300
	2,935	Washington State Housing Finance Commission, Franke Tobey Jones Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/07/12		2,935
	2,545	Washington State Housing Finance Commission, Multi-Family Housing, Granite Falls Assisted Living Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.160%, 03/07/12		2,545
	275	Washington State Housing Finance Commission, Multi-Family Housing, JATC Educational Development Trust Project, Rev., VRDO, LOC: U.S. Bank N.A., 0.090%, 03/01/12		275
	13,600	Washington State Housing Finance Commission, Multi-Family Housing, Mallard Lakes Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.170%, 03/07/12		13,600
	16,500	Washington State Housing Finance Commission, Multi-Family Housing, Non AMT, Non ACE, Willow Tree, Rev., VRDO, FHLMC, LOC: Bank of America N.A., 0.210%, 03/07/12		16,500
	8,300	Washington State Housing Finance Commission, Seattle County Day School, Rev., VRDO, LOC: Bank of America N.A., 0.140%, 03/07/12		8,300
	11,875	Washington State Housing Finance Commission, Single Family Housing, Single Family Program, Series 1A, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, 0.150%, 03/07/12		11,875
	4,640	Washington State Housing Finance Commission, Spokane Community College Foundation, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.310%, 03/07/12		4,640
	13,165	Washington State Housing Finance Commission, YMCA Snohomish County Project, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/01/12		13,165
	20,425	Wells Fargo Stage Trust, Series 35-C, Rev., VRDO, LIQ: Wells Fargo & Co., 0.170%, 03/07/12 (e)		20,425
				405,755

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 55

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — Continued
		West Virginia — 0.1%
	19,220	Eclipse Funding Trust, Solar Eclipse, West Virginia, Series 2006-0132, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.150%, 03/07/12		19,220
		Wisconsin — 2.0%
	115,000	City of Milwaukee, Rev., RAN, 1.500%, 06/27/12		115,468
	19,260	Deutsche Bank Spears/Lifers Trust Various States, Series DBE-1019, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.210%, 03/07/12 (e)		19,260
	10,000	State of Wisconsin, Rev., 2.000%, 06/15/12		10,050
	19,940	Wells Fargo Stage Trust, Series 2009-10C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		19,940
		Wisconsin Health & Educational Facilities Authority, Foedtert & Community Health,
	14,900	Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.100%, 03/07/12		14,900
	2,000	Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.150%, 03/01/12		2,000
	76,650	Wisconsin Health & Educational Facilities Authority, Hospital Sister’s Services, Inc., Series B-1, Rev., VRDO, AGM, 0.150%, 03/07/12		76,650
		Wisconsin Housing & EDA,
	6,435	Series A, Rev., VRDO, 0.120%, 03/07/12		6,435
	6,920	Series A, Rev., VRDO, 0.120%, 03/07/12		6,920
	14,920	Series A, Rev., VRDO, 0.120%, 03/07/12		14,920
	60,400	Series D, Rev., VRDO, 0.190%, 03/07/12		60,400
	27,980	Series E, Rev., VRDO, AMT, 1.000%, 03/07/12		27,980
				374,923
		Wyoming — 0.1%
	1,600	Lincoln County, PCR, Exxon Project, Series B, Rev., VRDO, 0.080%, 03/01/12		1,600
	12,600	Platte County, PCR, Series A, Rev., VRDO, LOC: National Rural Utility Financing, 0.160%, 03/01/12		12,600
				14,200
		Total Municipal Bonds (Cost $17,346,843)		17,346,843
	Municipal Commercial Paper — 1.7% (n)
		Arizona — 0.1%
	18,800	Phoenix Civic Improvement Corp., 0.150%, 03/05/12		18,800

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — 0.5%
		California Statewide Communities Development Authority,
	15,865	0.260%, 07/16/12		15,865
	35,000	0.270%, 11/01/12		35,000
	22,500	Series 9B-1, 0.360%, 03/05/12		22,500
	27,000	Series B-5, 0.260%, 07/05/12		27,000
				100,365
		District of Columbia — 0.2%
	41,000	District of Columbia, 0.120%, 03/01/12		41,000
		Florida — 0.4%
	25,000	Alachua County Health Facilities Authority, 0.120%, 03/01/12		25,000
	40,000	Gainesville Utility Systems, 0.320%, 05/01/12		40,000
				65,000
		Maryland — 0.2%
	37,600	Maryland Health & Higher Educational Facilities Authority, 0.150%, 03/01/12		37,600
		Texas — 0.3%
	61,800	City of San Antonio, Electric & Gas Systems, 0.150%, 03/01/12		61,800
		Total Municipal Commercial Paper (Cost $324,565)		324,565
SHARES
	Variable Rate Demand Preferred Shares — 5.6%
	45,000	BlackRock MuniHoldings Investment Quality Fund, Inc., LIQ: Bank of America N.A., 0.360%, 03/07/12 # (e)		45,000
	29,100	BlackRock MuniIncome Investment Trust, Inc., LIQ: Citibank N.A., 0.310%, 03/07/12 # (e)		29,100
	6,200	BlackRock MuniYield Arizona Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		6,200
	15,000	BlackRock MuniYield California Fund, Inc., LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		15,000
	15,200	BlackRock MuniYield Investment Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		15,200
		BlackRock MuniYield New Jersey Quality Fund, Inc. # (e)
	16,000	LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		16,000
	25,000	LIQ: Bank of America N.A., 0.360%, 03/07/12 # (e)		25,000
		BlackRock MuniYield New York Quality Fund, Inc.
	33,000	LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		33,000
	49,700	LIQ: Morgan Stanley Bank, 0.310%, 03/07/12 # (e)		49,700

SEE NOTES TO FINANCIAL STATEMENTS.

56 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

SHARES		SECURITY DESCRIPTION	VALUE($)
	Variable Rate Demand Preferred Shares — Continued
		BlackRock MuniYield Quality Fund III, Inc.
	58,200	LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		58,200
	43,200	LIQ: Morgan Stanley Bank, 0.310%, 03/07/12 # (e)		43,200
	66,200	Nuveen California Dividend Advantage Municipal Fund, LIQ: Morgan Stanley Bank, 0.310%, 03/07/12 # (e)		66,200
	20,000	Nuveen California Quality Income Fund, LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		20,000
	26,000	Nuveen California Select Quality Municipal Fund, Inc., LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		26,000
	14,100	Nuveen Insured California Dividend Advantage Municipal Fund, LIQ: Morgan Stanley Bank, 0.310%, 03/07/12 # (e)		14,100
	20,000	Nuveen Insured California Premium Income Municipal Fund II, Inc., 0.280%, 03/07/12 # (e)		20,000
	143,800	Nuveen Insured Municipal Opportunity Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		143,800
	80,300	Nuveen Investment Quality Municipal Fund, Inc., LIQ: Barclays Bank plc, 0.310%, 03/07/12 # (e)		80,300
	94,500	Nuveen Municipal Market Opportunity Fund, Inc., LIQ: Deutsche Bank AG, 0.330%, 03/07/12 # (e)		94,500

SHARES		SECURITY DESCRIPTION	VALUE($)
	25,000	Nuveen New Jersey Investment Quality Municipal Fund, LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		25,000
	31,000	Nuveen New York Select Quality Municipal Fund, Inc., LIQ: Citibank N.A., 0.280%, 03/07/12 # (e)		31,000
	17,500	Nuveen Pennsylvania Investment Quality Municipal Fund, LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		17,500
	96,700	Nuveen Premier Municipal Income Fund, Inc., LIQ: Barclays Bank plc, 0.310%, 03/07/12 # (e)		96,700
	40,000	Nuveen Premium Income Municipal Fund II, LIQ: Barclays Bank plc, 0.310%, 03/07/12 # (e)		40,000
	35,000	Nuveen Select Quality Municipal Fund, Inc., LIQ: Barclays Bank plc, 0.310%, 03/07/12 # (e)		35,000
		Total Variable Rate Demand Preferred Shares (Cost $1,045,700)		1,045,700
		Total Investments — 100.0% (Cost $18,717,108)*		18,717,108
		Liabilities in Excess of Other Assets — 0.0% (g)		(4,535	)
		NET ASSETS — 100.0%	$	18,712,573

Percentages indicated are based on net assets.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 57

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION (t)	VALUE($)
	Commercial Paper — 3.6% (n)
		Florida — 0.7%
	22,000	Gainesville Utility Systems, 0.320%, 05/01/12		22,000
		Indiana — 1.8%
	58,000	Indiana Development Finance Authority, 0.380%, 03/20/12		58,000
		Massachusetts — 1.1%
	34,000	Massachusetts Water Resources Authority, 0.310%, 05/17/12		34,000
		Total Commercial Paper (Cost $114,000)		114,000
	Daily Demand Notes — 8.7%
		California — 0.2%
	7,150	Los Angeles County Metropolitan Transportation Authority, Second Senior, Series A2, Rev., VRDO, 0.100%, 03/01/12		7,150
		Michigan — 5.2%
	800	Farmington Hills Hospital Finance Authority, Botsford Obligated, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.150%, 03/01/12		800
	2,000	Michigan State Hospital Finance Authority, Crittenton Hospital, Series A, Rev., VRDO, LOC: Comerica Bank, 0.160%, 03/01/12		2,000
	2,040	Michigan State Housing Development Authority, Multi-Family Housing, Jackson Project, Rev., VRDO, LOC: FHLB, 0.180%, 03/01/12		2,040
		Michigan State Housing Development Authority, Rental Housing,
	67,010	Series A, Rev., VRDO, AMT, AGM, 0.500%, 03/01/12		67,010
	33,175	Series A, Rev., VRDO, AMT, AGM, 0.500%, 03/01/12		33,175
	59,065	Series C, Rev., VRDO, AMT, AGM, 0.500%, 03/01/12		59,065
	250	University of Michigan, Hospital, Series A-2, Rev., VRDO, 0.130%, 03/01/12		250
				164,340
		Missouri — 0.2%
	7,400	Missouri Development Finance Board, Kauffman Center for the Performing Arts, Series A, Rev., VRDO, 0.250%, 03/01/12		7,400
		New York — 0.8%
		New York City, Fiscal 2008,
	10,000	Subseries J-6, GO, VRDO, LOC: Landesbank Hessen-Thuringen, 0.180%, 03/01/12		10,000
	1,150	Subseries J-8, GO, VRDO, 0.210%, 03/01/12		1,150

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — Continued
	12,900	New York Mortgage Agency, Homeowner Mortgage, Series 135, Rev., VRDO, AMT, 0.130%, 03/01/12		12,900
				24,050
		Ohio — 0.3%
	1,700	County of Cuyahoga, Cleveland Clinic, Subseries B1, Rev., VRDO, 0.120%, 03/01/12		1,700
		Montgomery County, Miami Valley Hospital,
	750	Series B, Rev., VRDO, 0.100%, 03/01/12		750
	3,735	Series C, Rev., VRDO, 0.100%, 03/01/12		3,735
		Ohio State Higher Educational Facility Commission, Case Western Reserve,
	630	Series A, Rev., VRDO, 0.170%, 03/01/12		630
	2,355	Series A, Rev., VRDO, 0.170%, 03/01/12		2,355
	500	Ohio State Water Development Authority, Pollution Control, First Energy Nuclear Project, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/12		500
				9,670
		Oklahoma — 0.2%
	6,500	Oklahoma State Capital Improvement Authority, Higher Education, Series D2, Rev., VRDO, 0.250%, 03/01/12		6,500
		Pennsylvania — 0.1%
	2,800	Pennsylvania Turnpike Commission, Series ROCS-RR-II-R-12259, Rev., VRDO, BHAC-CR, AMBAC, 0.140%, 03/01/12 (e)		2,800
		South Carolina — 0.3%
	8,100	South Carolina Educational Facilities Authority, Furman University, Series B, Rev., VRDO, 0.150%, 03/01/12		8,100
		Tennessee — 1.1%
		Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund,
	18,305	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		18,305
	14,750	Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/12		14,750
				33,055
		Washington — 0.3%
	10,400	Washington Health Care Facilities Authority, Multicare Health Systems, Series D, Rev., VRDO, LOC: Barclays Bank plc, 0.120%, 03/01/12		10,400
		Total Daily Demand Notes (Cost $273,465)		273,465

SEE NOTES TO FINANCIAL STATEMENTS.

58 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Municipal Bonds — 6.5%
		California — 1.6%
	49,600	Abag Finance Authority for Nonprofit Corps., Multi-Family Housing, Paragon Apartments, Rev., VAR, 5.125%, 04/01/12 (p)		49,791
		Massachusetts — 0.2%
	5,383	Town of Saugus, GO, BAN, 1.500%, 11/15/12		5,423
		New Jersey — 2.3%
	50,182	Township of Monroe, Middlesex County, GO, BAN, 1.500%, 08/07/12		50,389
	20,645	Township of South Orange Village, Series A, GO, BAN, 2.000%, 01/30/13		20,928
				71,317
		New York — 1.9%
	14,880	Altmar-Parish-Williamstown Central School District, GO, BAN, 1.750%, 07/13/12		14,921
	17,792	Ausable Valley Central School District, Series F, GO, BAN, 1.500%, 06/08/12		17,828
	10,850	Downsville Central School District, GO, BAN, 1.750%, 06/29/12		10,885
	6,250	East Islip Union Free School District, GO, TAN, 1.500%, 06/29/12		6,263
	15	Ilion Central School District, GO, BAN, 1.350%, 06/29/12		15
	11,730	South Jefferson Central School District, GO, BAN, 2.000%, 06/22/12		11,761
				61,673
		Ohio — 0.5%
	16,000	City of Marysville, Waste Water Treatment System, GO, 1.125%, 05/31/12		16,019
		Total Municipal Bonds (Cost $204,223)		204,223
	Weekly Demand Notes — 72.5%
		Alaska — 0.5%
	16,790	Deutsche Bank Spears/Lifers Trust Various States, Series DB-507, Rev., VRDO, FGIC, LIQ: Deutsche Bank AG, 0.260%, 03/07/12		16,790
		Arizona — 0.7%
	20,400	Puttable Floating Option Tax-Exempt Receipts, Series PT-4605, Rev., VRDO, LIQ: PB Capital Corp., 0.360%, 03/07/12		20,400
		California — 3.9%
	15,000	California Pollution Control Financing Authority, Sanger Project, Series A, Rev., VRDO, LOC: National Bank of Canada, 0.160%, 03/07/12		15,000

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		California — Continued
		Deutsche Bank Spears/Lifers Trust Various States,
	20,000	Series DB-479, Rev., VRDO, AGM-CR, AMBAC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		20,000
	4,700	Series DBE-1011, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		4,700
		Puttable Floating Option Tax-Exempt Receipts,
	6,835	Series PT-4720, Rev., VRDO, LIQ: FHLMC, 0.380%, 03/07/12 (e)		6,835
	5,500	Series PT-4721, Rev., VRDO, LIQ: FHLMC, 0.380%, 03/07/12 (e)		5,500
	33,850	Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-1, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.560%, 03/07/12		33,850
		Wells Fargo Stage Trust, Floater Certificates,
	15,885	Series 15-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.210%, 03/07/12 (e)		15,885
	21,220	Series 49C, GO, VRDO, AGC, LIQ: Wells Fargo Bank N.A., 0.210%, 03/07/12 (e)		21,220
				122,990
		Colorado — 3.6%
		Colorado Housing & Finance Authority, Single Family Mortgage,
	20,100	Series A-2, Class I, Rev., VRDO, AMT, 0.150%, 03/07/12		20,100
	25,000	Series B-2, Class I, Rev., VRDO, AMT, 0.150%, 03/07/12		25,000
		Denver City & County, Airport,
	7,500	Series C, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.240%, 03/07/12		7,500
	13,200	Series F, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.240%, 03/07/12		13,200
		Deutsche Bank Spears/Lifers Trust Various States,
	18,200	Series DB-467, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		18,200
	7,970	Series DBE-510, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		7,970
	21,205	Series DBE-647, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		21,205
				113,175
		Delaware — 0.2%
	5,225	Delaware State Housing Authority, MERLOTS, Rev., VRDO, 0.440%, 03/07/12		5,225

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 59

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		District of Columbia — 0.4%
	13,150	Deutsche Bank Spears/Lifers Trust Various States, Series DBE-1006, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		13,150
		Florida — 4.5%
	17,800	Collier County IDA, Allete, Inc. Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.200%, 03/07/12		17,800
		Deutsche Bank Spears/Lifers Trust Various States,
	6,270	Series DB-547, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		6,270
	5,645	Series DB-563, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		5,645
	25,000	Series DB-642, Rev., VRDO, AGC, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		25,000
	16,145	Series DBE-530, COP, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		16,145
	15,775	Florida Housing Finance Corp., Boynton Bay Apartments, Multi-Family Housing, Rev., VRDO, LOC: Citibank N.A., 0.200%, 03/07/12		15,775
	6,905	Manatee County Housing Finance Authority, Centre Court Apartments Project, Series A, Rev., VRDO, LOC: Suntrust Bank, 0.160%, 03/07/12		6,905
	13,460	Orlando Utilities Commission, Window, Series A, Rev., VRDO, 0.270%, 09/26/12 (i)		13,460
	4,155	Palm Beach County Housing Development Corp., Multi-Family Housing, Caribbean Villas, Rev., VRDO, FNMA, LIQ: FNMA, 0.180%, 03/07/12		4,155
	7,705	Palm Beach County, Flight Safety Project, Rev., VRDO, 0.150%, 03/07/12		7,705
	10,500	Pinellas County Health Facilities Authority, Health System Baycare, Series B-2, Rev., VRDO, AGM, 0.210%, 03/07/12		10,500
	11,270	Sumter County IDA, American Cement Co. Project, Rev., VRDO, LOC: Bank of America N.A., 0.430%, 03/07/12		11,270
				140,630
		Georgia — 1.2%
	30,025	Fulton County Development Authority, FlightSafety International, Inc. Project, Series B, Rev., VRDO, 0.150%, 03/07/12		30,025
	8,045	Lehman Municipal Trust Receipts, Various States, Gwinnett County Housing, Series 06-K72, Rev., VRDO, FNMA, LIQ: Citibank N.A., 0.220%, 03/07/12		8,045
				38,070

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Idaho — 0.9%
	28,750	Idaho Housing & Finance Association, Single Family Mortgage, Series G-1, Class I, Rev., VRDO, LIQ: Lloyds TSB Bank plc, 0.210%, 03/07/12		28,750
		Illinois — 3.6%
		Deutsche Bank Spears/Lifers Trust Various States,
	31,100	Series DB-476, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		31,100
	31,420	Series DBE-1017, Rev., VRDO, LIQ: Deutsche Bank AG, 0.210%, 03/07/12 (e)		31,420
	10,000	Illinois Finance Authority, 700 Hickory Hills Drive LLC, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/12		10,000
	10,000	Illinois State Toll Highway Authority, Series B, Rev., VRDO, AGM, 0.260%, 03/07/12		10,000
	18,375	Puttable Floating Option Tax-Exempt Receipts, Series PT-4702, Rev., VRDO, LIQ: Bank of America N.A., 0.420%, 03/07/12 (e)		18,375
	4,800	Village of Carol Stream, Multi-Family Housing, St. Charles Square, Rev., VRDO, FNMA, LIQ: FNMA, 0.170%, 03/07/12		4,800
	830	Will & Kankakee Counties Regional Development Authority, JRS Realty Association LLC Project, Series A, Rev., VRDO, LOC: PNC Bank N.A., 0.200%, 03/07/12		830
	7,300	Will County, BASF Corp. Project, Rev., VRDO, 0.290%, 03/07/12		7,300
				113,825
		Indiana — 0.3%
	4,100	Indiana Finance Authority, Four-Leaf Clover Dairy LLC, Rev., VRDO, LOC: Lasalle Bank N.A., 0.530%, 03/07/12		4,100
	4,910	Indiana Finance Authority, Parkview Health System, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.110%, 03/07/12		4,910
				9,010
		Kansas — 1.0%
	26,000	City of Wichita, FlightSafety, Rev., VRDO, 0.150%, 03/07/12		26,000
	4,205	City of Wichita, FlightSafety International, Inc., Rev., VRDO, 0.150%, 03/07/12		4,205
				30,205
		Kentucky — 1.0%
		Kenton County Airport Board, Flight Safety International, Inc.,
	17,900	Series A, Rev., VRDO, 0.150%, 03/07/12		17,900

SEE NOTES TO FINANCIAL STATEMENTS.

60 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		Kentucky — Continued
	4,400	Series A, Rev., VRDO, 0.150%, 03/07/12		4,400
	9,730	Puttable Floating Option Tax-Exempt Receipts, Series PT-4710, Rev., VRDO, LIQ: Bank of America N.A., 0.360%, 03/07/12 (e)		9,730
				32,030
		Louisiana — 0.3%
	4,600	Ascension Parish, BASF Corp. Project, Rev., VRDO, 0.290%, 03/07/12		4,600
	4,730	East Baton Rouge Parish Industrial Development Board, Inc., Georgia-Pacific Corp. Project, Rev., VRDO, LOC: BNP Paribas, 1.100%, 03/07/12		4,730
				9,330
		Maine — 0.6%
	17,700	Maine State Housing Authority, Series G, Rev., VRDO, AMT, 0.200%, 03/07/12		17,700
		Maryland — 0.7%
	5,290	Austin Trust, Various States, Series 2007-1023, Rev., VRDO, LIQ: Bank of America N.A., 0.330%, 03/07/12		5,290
	15,645	Wells Fargo Stage Trust, Multi-Family Housing, Series 32-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.220%, 03/07/12 (e)		15,645
				20,935
		Massachusetts — 1.7%
	16,050	Massachusetts Bay Transportation Authority, Series A, Rev., VRDO, 0.250%, 09/26/12 (i)		16,050
	23,865	Massachusetts Housing Finance Agency, Series 2970, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.360%, 03/07/12 (e)		23,865
	14,500	University of Massachusetts Building Authority, Senior, Series 2, Rev., VRDO, 0.250%, 09/26/12 (i)		14,500
				54,415
		Michigan — 6.9%
	4,100	Austin Trust, Various States, Series 2008-1096, GO, VRDO, NATL-RE, Q-SBLF, LIQ: Bank of America N.A., 0.290%, 03/07/12		4,100
		Detroit City School District,
	10,000	Series ROCS-RR-II-R-11784, GO, VRDO, AGM, Q-SBLF, LIQ: Citibank N.A., 0.310%, 03/07/12 (e)		10,000
	3,675	Series ROCS-RR-II-R-12251, GO, VRDO, BHAC-CR, AGM-CR, FGIC, Q-SBLF, 0.310%, 03/07/12 (e)		3,675

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Michigan — Continued
	900	Deutsche Bank Spears/Lifers Trust Various States, Series DBE-1010, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		900
	9,665	Holt Public Schools, GO, VRDO, Q-SBLF, 0.260%, 03/07/12		9,665
	10,960	Michigan Higher Education Facilities Authority, Law School Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.120%, 03/07/12		10,960
	4,400	Michigan State Hospital Finance Authority, Series ROCS-RR-II-R-11869, Rev., VRDO, LIQ: Citibank N.A., 0.190%, 03/07/12 (e)		4,400
		Michigan State Hospital Finance Authority, Ascension Health Senior Credit,
	1,000	Rev., VRDO, 0.250%, 09/26/12 (i)		1,000
	10,000	Rev., VRDO, 0.250%, 09/26/12 (i)		10,000
	11,200	Rev., VRDO, 0.250%, 09/26/12 (i)		11,200
	10,900	Michigan State Housing Development Authority, Multi-Family Housing, Series C, Rev., VRDO, AMT, 0.140%, 03/07/12		10,900
	5,000	Michigan State Housing Development Authority, Rental Housing, Series C, Rev., VRDO, AMT, 0.130%, 03/07/12		5,000
		Michigan State Housing Development Authority, Single Family Housing,
	3,220	Series B, Rev., VRDO, AMT, LOC: FNMA, 0.150%, 03/07/12		3,220
	21,500	Series C, Rev., VRDO, 0.160%, 03/07/12		21,500
	33,000	Series D, Rev., VRDO, AMT, 0.160%, 03/07/12		33,000
	230	Milan Area Schools, GO, VRDO, Q-SBLF, LOC: Landesbank Hessen-Thuringen, 0.260%, 03/07/12		230
	2,450	Oakland County Economic Development Corp., Exhibit Enterprises, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.260%, 03/07/12		2,450
		Puttable Floating Option Tax-Exempt Receipts,
	10,860	Series MT-617, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.790%, 03/07/12		10,860
	14,115	Series PT-4697, GO, VRDO, AGM, Q-SBLF, LIQ: Bank of America N.A., 0.220%, 03/07/12 (e)		14,115
	4,630	Series PT-4701, Rev., VRDO, LIQ: Bank of America N.A., 0.260%, 03/07/12 (e)		4,630
		RBC Municipal Products, Inc. Trust, Floater Certificates,
	20,580	Series L-26, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12		20,580

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 61

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		Michigan — Continued
	18,750	Series L-29, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.200%, 03/07/12		18,750
	4,515	Wells Fargo Stage Trust, Floater Certificates, Series 33C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		4,515
				215,650
		Minnesota — 0.2%
	4,925	Minnesota Housing Finance Agency, MERLOTS, Series C-44, Rev., VRDO, 0.190%, 03/07/12		4,925
	2,875	Minnesota Housing Finance Agency, Residential Housing, Series J, Rev., VRDO, AMT, 0.150%, 03/07/12		2,875
				7,800
		Missouri — 0.1%
	4,595	Lehman Municipal Trust Receipts, Various States, St. Louis, Series 06-K50, Rev., VRDO, GNMA COLL, FHA, LIQ: Citibank N.A., 0.220%, 03/07/12		4,595
		Montana — 0.3%
	10,555	Montana Board of Housing, MERLOTS, Series C-41, Rev., VRDO, 0.190%, 03/07/12		10,555
		Nevada — 2.4%
	43,105	Clark County, Airport, Series A, GO, VRDO, AMT, 0.400%, 03/07/12		43,105
	31,350	Clark County, Airport, Sub Lien, Series C-3, Rev., VRDO, AMT, LOC: Landesbank Baden-Wuerttemberg, 0.400%, 03/07/12		31,350
				74,455
		New Jersey — 1.5%
	6,955	New Jersey EDA, Accurate Box Co., Inc. Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/12		6,955
		New Jersey State Housing & Mortgage Finance Agency, Single Family Housing,
	19,800	Series I, Rev., VRDO, AMT, 0.140%, 03/07/12		19,800
	21,875	Series V, Rev., VRDO, AMT, 0.330%, 03/07/12		21,875
				48,630
		New Mexico — 0.4%
		New Mexico Educational Assistance Foundation, Educational Loans,
	6,650	Series A-1, Rev., VRDO, LOC: Royal Bank of Canada, 0.160%, 03/07/12		6,650
	6,050	Series A-2, Rev., VRDO, AMT, LOC: Royal Bank of Canada, 0.160%, 03/07/12		6,050
				12,700

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		New York — 8.2%
	24,800	Deutsche Bank Spears/Lifers Trust Various States, Series DB-1036X, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/12 (e)		24,800
	20,000	New York City Housing Development Corp., Multi-Family Housing, Mortgage Related, Series A, Rev., VRDO, AMT, LOC: Landesbank Baden-Wuerttemberg, 0.240%, 03/07/12		20,000
	17,200	New York State Housing Finance Agency, 188 Ludlow Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.330%, 03/07/12		17,200
	22,500	New York State Housing Finance Agency, 350 West 43rd Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/12		22,500
	20,000	New York State Housing Finance Agency, 42nd & 10th, Series A, Rev., VRDO, LOC: Landesbank Baden-Wuerttemberg, 1.000%, 03/07/12		20,000
	101,850	New York State Housing Finance Agency, 455 West 37th Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/12		101,850
	36,900	New York State Housing Finance Agency, Multi-Family Housing, 505 West 37th Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.340%, 03/07/12		36,900
	16,020	Puttable Floating Option Tax-Exempt Receipts, Series MT-672, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.790%, 03/07/12 (e)		16,020
				259,270
		North Carolina — 3.9%
	12,925	City of Raleigh, Rev., VRDO, 0.260%, 09/26/12 (i)		12,925
	7,665	Mecklenburg County Industrial Facilities & Pollution Control Financing Authority, Ferguson Supply & Box Manufacturing Co., Rev., VRDO, LOC: Bank of America N.A., 0.580%, 03/07/12		7,665
		North Carolina Housing Finance Agency, Home Ownership,
	14,900	Series 16-C, Rev., VRDO, AMT, 0.170%, 03/07/12		14,900
	17,235	Series TR-18C, Rev., VRDO, 0.170%, 03/07/12		17,235
	26,615	North Carolina Housing Finance Agency, MERLOTS, Series B-12, Rev., VRDO, 0.190%, 03/07/12 (e)		26,615
	12,000	North Carolina Medical Care Commission, Cone Health, Series B, Rev., VRDO, 0.280%, 09/26/12 (i)		12,000

SEE NOTES TO FINANCIAL STATEMENTS.

62 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		North Carolina — Continued
	24,500	North Carolina Medical Care Commission, Duke University Health System, Series B, Rev., VRDO, 0.110%, 03/07/12		24,500
	6,400	University of North Carolina at Chapel Hill, Series B, Rev., VRDO, 0.120%, 03/07/12		6,400
				122,240
		Ohio — 1.3%
	28,640	County of Cuyahoga, Series MT-263, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.420%, 03/07/12		28,640
	3,300	Deutsche Bank Spears/Lifers Trust Various States, Series 488, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.220%, 03/07/12		3,300
	450	Ohio Higher Educational Facility Commission, EAGLE, Series 2007-41, Class A, Rev., VRDO, BHAC-CR, AMBAC-TCRS, Bank of New York, LIQ: Citibank N.A., 0.260%, 03/07/12		450
		Ohio Housing Finance Agency, Residential Mortgage-Backed Securities,
	1,150	Series D, Rev., VRDO, AMT, 0.140%, 03/07/12		1,150
	1,450	Series E, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, 0.150%, 03/07/12		1,450
	2,250	Toledo-Lucas County Port Authority, FlightSafety, Series 1, Rev., VRDO, 0.150%, 03/07/12		2,250
		Wells Fargo Stage Trust, Floater Certificates,
	1,600	Series 12-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		1,600
	730	Series 56C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		730
				39,570
		Oregon — 0.0% (g)
	1,055	Wells Fargo Stage Trust, Floater Certificates, Series 57C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		1,055
		Other Territories — 5.5%
	15,420	Eagle Tax-Exempt Trust, Rev., VRDO, FHLMC COLL, LIQ: FHLB, 0.210%, 03/07/12		15,420
		Federal Home Loan Mortgage Corp., Multi-Family Housing,
	9,260	Series M015, Class A, Rev., VRDO, FHLMC, 0.210%, 03/07/12		9,260
	50,353	Series M017, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.210%, 03/07/12		50,353
	17,990	Series M023, Class A, Rev., VRDO, FHLMC, 0.210%, 03/07/12		17,990
	18,460	Series M026, Class A, Rev., VRDO, LIQ: FHLMC, 0.200%, 03/07/12		18,460

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Other Territories — Continued
	25,055	Puttable Floating Option Tax-Exempt Receipts, Series PPT-1006, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.490%, 03/07/12		25,055
	25,515	Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-2, Class A, Rev., VAR, LIQ: FHLMC, 0.450%, 03/07/12		25,515
	12,170	SunAmerica Trust, Various States, Series 2, Class A, Rev., VRDO, FHLMC, LOC: FHLMC, 0.220%, 03/07/12		12,170
				174,223
		Pennsylvania — 2.7%
	13,645	Adams County IDA, Gettysburg Foundation Facility, Series A, Rev., VRDO, LOC: Manufacturers and Traders, 0.210%, 03/07/12 (m)		13,645
	11,195	Butler County General Authority, Canon McMillan School District Project, GO, VRDO, AGC, 0.200%, 03/07/12		11,195
	9,525	North Huntingdon Township Municipal Authority, Rev., VRDO, AGM, 0.200%, 03/07/12		9,525
		Pennsylvania Housing Finance Agency, Single Family Mortgage,
	15,000	Series 75A, Rev., VRDO, 0.140%, 03/07/12		15,000
	5,600	Series 79B, Rev., VRDO, 0.140%, 03/07/12		5,600
	20,000	Series 91B, Rev., VRDO, AMT, 0.140%, 03/07/12		20,000
	4,325	Shaler Area School District, GO, VRDO, AGM, 0.200%, 03/07/12		4,325
	4,740	Wells Fargo Stage Trust, Floater Certificates, Series 58C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		4,740
				84,030
		South Carolina — 0.2%
	5,700	Cherokee County, Oshkosh Truck Project, Rev., VRDO, LOC: Bank of America N.A., 0.650%, 03/07/12		5,700
		Tennessee — 0.3%
	9,000	Jackson Industrial Development Board, General Cable Corp. Project, Rev., VRDO, LOC: PNC Bank N.A., 0.190%, 03/07/12		9,000
		Texas — 5.8%
	9,935	City of San Antonio, Water System Revenue, Series SG-159, Rev., VRDO, AGM, 0.450%, 03/07/12		9,935
	19,040	Crawford Educational Facilities Corp., Southwestern University Project, Series B, Rev., VRDO, 0.260%, 03/07/12		19,040

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 63

SEE NOTES TO FINANCIAL STATEMENTS.

JPMorgan Municipal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Weekly Demand Notes — Continued
		Texas — Continued
	26,000	Dallas-Fort Worth International Airport Facilities Improvement Corp., FlightSafety International, Inc. Project, Rev., VRDO, 0.150%, 03/07/12		26,000
		Deutsche Bank Spears/Lifers Trust Various States,
	24,910	Series DB-456, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.240%, 03/07/12		24,910
	37,780	Series DBE-1015, Rev., VRDO, LIQ: Deutsche Bank AG, 0.210%, 03/07/12 (e)		37,780
	16,810	North Texas Municipal Water District, Series ROCS-RR-II-R-593PB, Rev., VRDO, NATL-RE, LIQ: PB Capital Corp., 0.390%, 03/07/12		16,810
	5,200	Port Freeport, Multi-Mode, BASF Corp., Rev., VRDO, 0.290%, 03/07/12		5,200
	11,470	Puttable Floating Option Tax-Exempt Receipts, Series PT-4591, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/12		11,470
	10,515	State of Texas, Veterans Housing Assistance Fund, Series A, GO, VRDO, 0.180%, 03/07/12		10,515
	12,500	Tarrant County Cultural Education Facilities Finance Corp., Baylor Health Care, Series B, Rev., VRDO, 0.290%, 09/26/12 (i)		12,500
	6,100	Texas Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Series A-1, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.170%, 03/07/12		6,100
	2,650	Wells Fargo Stage Trust, Floater Certificates, Series 55C, GO, VRDO, PSF-GTD, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		2,650
				182,910
		Utah — 0.3%
	8,980	Utah Housing Corp., Single Family Mortgage, Series F-1, Class I, Rev., VRDO, 0.170%, 03/07/12		8,980
		Virginia — 2.9%
	12,000	Fairfax County IDA, Inova Health System Project, Rev., VRDO, 0.280%, 09/26/12 (i)		12,000
	15,620	Lexington IDA, MERLOTS, Series E01, Rev., VRDO, 0.140%, 03/07/12		15,620
		Norfolk EDA, Sentra Healthcare,
	10,905	Rev., VRDO, 0.280%, 09/26/12 (i)		10,905
	9,250	Rev., VRDO, 0.280%, 09/26/12 (i)		9,250
		Virginia Housing Development Authority, MERLOTS,
	11,385	Series B-16, Rev., VRDO, 0.190%, 03/07/12		11,385

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Virginia — Continued
	19,995	Series B-18, Rev., VRDO, 0.190%, 03/07/12		19,995
	12,750	Series C-42, Rev., VRDO, 0.190%, 03/07/12		12,750
				91,905
		Washington — 1.2%
	7,200	Washington Economic Development Finance Authority, Specialty Chemical Products, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/12		7,200
	9,985	Washington State Housing Finance Commission, Barkley Ridge Apartments Project, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.170%, 03/07/12		9,985
	21,400	Wells Fargo Stage Trust, Floater Certificates, Series 16C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.170%, 03/07/12 (e)		21,400
				38,585
		West Virginia — 0.1%
	4,395	Marshall County IDR, Warren Distribution, Inc., Rev., VRDO, LOC: Bank of America N.A., 0.470%, 03/07/12		4,395
		Wisconsin — 3.2%
	16,795	Wells Fargo Stage Trust, Series 2009-2C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.220%, 03/07/12 (e)		16,795
		Wisconsin Housing & EDA,
	2,360	Series 2995, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.320%, 03/07/12 (e)		2,360
	9,550	Series A, Rev., VRDO, AMT, 0.140%, 03/07/12		9,550
	7,700	Series A, Rev., VRDO, 0.190%, 03/07/12		7,700
	15,200	Series C, Rev., VRDO, 0.190%, 03/07/12		15,200
	12,075	Series C, Rev., VRDO, 0.850%, 03/07/12		12,075
	24,900	Series C, Rev., VRDO, 0.850%, 03/07/12		24,900
	90	Series E, Rev., VRDO, 0.480%, 03/07/12		90
	11,770	Series ROCS-RR-II-R-11522, Rev., VRDO, LIQ: Citibank N.A., 0.220%, 03/07/12		11,770
				100,440
		Total Weekly Demand Notes (Cost $2,283,318)		2,283,318

SEE NOTES TO FINANCIAL STATEMENTS.

64 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

SHARES		SECURITY DESCRIPTION	VALUE($)
	Variable Rate Demand Preferred Shares — 8.8%
	42,500	BlackRock MuniYield Fund, Inc., LIQ: Bank of America N.A., 0.360%, 03/07/12 # (e)		42,500
	29,100	BlackRock MuniYield Michigan Quality Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		29,100
	8,500	BlackRock MuniYield Michigan Quality Funds II, Inc.,, LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		8,500
	35,400	BlackRock MuniYield New Jersey Quality Fund, Inc., LIQ: Bank of America N.A., 0.360%, 03/07/12 # (e)		35,400
	27,500	BlackRock MuniYield New York Quality Fund, Inc., LIQ: Bank of America N.A., 0.360%, 03/07/12 # (e)		27,500
	12,500	BlackRock MuniYield Pennsylvania Quality Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		12,500
	6,200	Nuveen Insured Municipal Opportunity Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		6,200
	20,000	Nuveen Municipal Market Opportunity Fund, Inc., LIQ: Deutsche Bank AG, 0.330%, 03/07/12 # (e)		20,000

SHARES		SECURITY DESCRIPTION	VALUE($)
	14,600	Nuveen New Jersey Premium Income Municipal Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		14,600
	14,000	Nuveen Pennsylvania Premier Income Municipal Fund 2, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		14,000
	50,000	Nuveen Premier Income Municipal Fund 2, Inc., LIQ: Barclays Bank plc, 0.310%, 03/07/12 # (e)		50,000
	15,000	Nuveen Premier Insured Municipal Income Fund, Inc., LIQ: Citibank N.A., 0.300%, 03/07/12 # (e)		15,000
		Total Variable Rate Demand Preferred Shares (Cost $275,300)		275,300
		Total Investments — 100.1% (Cost $3,150,306)*		3,150,306
		Liabilities in Excess of Other Assets — (0.1)%		(2,751	)
		NET ASSETS — 100.0%	$	3,147,555

Percentages indicated are based on net assets.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 65

SEE NOTES TO FINANCIAL STATEMENTS.

J.P. Morgan Money Market Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

ACE	—  Adjusted Current Earnings
AGC	—  Insured by Assured Guaranty Corp.
AGM	—  Insured by Assured Guaranty Municipal Corp.
AMBAC	—  Insured by American Municipal Bond Assurance Corp.†
AMT	—  Alternative Minimum Tax
BAN	—  Bond Anticipation Note
BHAC	—  Insured by Berkshire Hathaway Assurance Corp.
CCRC	—  Congregate Care Retirement Center
COLL	—  Collateral
COP	—  Certificate of Participation
CR	—  Custodial Receipts
DN	—  Discount Notes
EAGLE	—  Earnings of accrual generated on local tax-exempt securities
EDA	—  Economic Development Authority
FGIC	—  Insured by Financial Guaranty Insurance Co.
FHA	—  Federal Housing Administration
FHLB	—  Federal Home Loan Bank
FHLMC	—  Federal Home Loan Mortgage Corp.
FNMA	—  Federal National Mortgage Association
GNMA	—  Government National Mortgage Association
GO	—  General Obligation
GTD	—  Guaranteed
ICC	—  Insured Custody Certificates
IDA	—  Industrial Development Authority
IDR	—  Industrial Development Revenue
LIQ	—  Liquidity Agreement
LOC	—  Letter of Credit
MBIA	—  Insured by Municipal Bond Insurance Corp.
MERLOTS	—  Municipal Exempt Receipts Liquidity Optional Tender
NATL	—  Insured by National Public Finance Guarantee Corp.
PCR	—  Pollution Control Revenue
PSF	—  Permanent School Fund
Q-SBLF	—  Qualified School Bond Loan Fund
RAN	—  Revenue Anticipation Note

† Filed for bankruptcy on November 8, 2010.

RE	—  Reinsured
Rev.	—  Revenue

ROCS	—  Reset Option Certificates
SCAGO	—  South Carolina Association of Governmental Organizations
TAN	—  Tax Anticipation Note
TCRS	—  Transferable Custodial Receipts
TRAN	—  Tax & Revenue Anticipation Note
VA	—  Veterans Administration
VAR	—  Variable Rate Security. The interest rate shown is the rate in effect as of February 29, 2012.
VRDO	—  Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of February 29, 2012.
XLCA	—  Insured by XL Capital Assurance
(e)	—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)	—  Amount rounds to less than 0.1%.
(i)	—  Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(m)	—  All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts.
(n)	—  The rate shown is the effective yield at the date of purchase.
(p)	—  Security is prerefunded or escrowed to maturity.
(t)	—  The date shown represents the earliest of the next put date, next demand date or final maturity date.
*	—  The cost of securities is substantially the same for federal income tax purposes.
#	—  Variable Rate Demand Preferred Shares of a closed-end investment company which have a weekly demand feature.

SEE NOTES TO FINANCIAL STATEMENTS.

66 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

THIS PAGE IS INTENTIONALLY LEFT BLANK

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012

(Amounts in thousands, except per share amounts)

	Prime Money Market Fund		Liquid Assets Money Market Fund		U.S. Government Money Market Fund		U.S. Treasury Plus Money Market Fund
ASSETS:
Investments in non-affiliates, at value	$	112,961,803	$	10,943,661	$	47,993,955	$	6,987,842
Repurchase agreements, at value		11,544,089		1,319,128		20,152,605		6,047,121
Total investment securities, at value		124,505,892		12,262,789		68,146,560		13,034,963
Receivables:
Interest from non-affiliates		40,783		3,349		12,532		24,510
Total Assets		124,546,675		12,266,138		68,159,092		13,059,473
LIABILITIES:
Payables:
Dividends		9,689		571		261		—
Investment securities purchased		1,829,703		182,990		2,999,635		299,915
Fund shares redeemed		—		—		25		—
Accrued liabilities:
Investment advisory fees		7,621		708		2,068		26
Administration fees		6,477		601		3,615		763
Shareholder servicing fees		5,186		882		—		103
Distribution fees		139		54		4		2
Custodian and accounting fees		533		63		252		55
Other		1,827		563		1,100		307
Total Liabilities		1,861,175		186,432		3,006,960		301,171
Net Assets	$	122,685,500	$	12,079,706	$	65,152,132	$	12,758,302

SEE NOTES TO FINANCIAL STATEMENTS.

68 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Prime Money Market Fund			Liquid Assets Money Market Fund			U.S. Government Money Market Fund			U.S. Treasury Plus Money Market Fund
NET ASSETS:
Paid-in-Capital	$	122,684,472		$	12,079,959		$	65,152,880		$	12,758,726
Accumulated distributions in excess of net investment income		(364	)		(291	)		(870	)		(424	)
Accumulated net realized gains (losses)		1,392			38			122			—
Total Net Assets	$	122,685,500		$	12,079,706		$	65,152,132		$	12,758,302
Net Assets:
Class B	$	2,829		$	6,248		$	—		$	515
Class C		9,993			398,734			—			189,206
Agency		8,019,311			134,975			8,520,118			998,134
Capital		75,485,880			2,985,462			33,517,276			—
Cash Management		527,614			—			—			—
Direct		1,558,831			—			645,927			2,070,205
Eagle Class		838,513			—			—			—
E*Trade		—			199,806			—			—
Institutional Class		26,769,490			4,243,305			10,402,935			6,946,570
Investor		520,797			562,453			4,401,603			381,781
Morgan		2,667,326			2,975,898			1,931,164			554,548
Premier		3,338,000			166,487			4,841,573			618,249
Reserve		1,526,992			249,909			23,828			998,994
Service		1,419,924			156,429			867,708			100
Total	$	122,685,500		$	12,079,706		$	65,152,132		$	12,758,302
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class B		2,830			6,249			—			516
Class C		9,992			398,719			—			189,212
Agency		8,019,186			134,982			8,519,883			998,049
Capital		75,484,946			2,985,440			33,517,090			—
Cash Management		527,620			—			—			—
Direct		1,558,833			—			645,974			2,070,295
Eagle Class		838,521			—			—			—
E*Trade		—			199,813			—			—
Institutional Class		26,769,955			4,243,337			10,403,351			6,946,845
Investor		520,799			562,468			4,402,105			381,813
Morgan		2,666,931			2,975,862			1,931,078			554,627
Premier		3,337,817			166,473			4,841,754			618,341
Reserve		1,526,969			250,012			23,815			999,033
Service		1,419,928			156,436			867,801			100
Net Asset Value offering and redemption price per share (all classes)	$	1.00		$	1.00		$	1.00		$	1.00
Cost of investments in non-affiliates	$	112,961,803		$	10,943,661		$	47,993,955		$	6,987,842
Cost of repurchase agreements		11,544,089			1,319,128			20,152,605			6,047,121

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 69

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands, except per share amounts)

	Federal Money Market Fund		100% U.S. Treasury Securities Money Market Fund		Tax Free Money Market Fund		Municipal Money Market Fund
ASSETS:
Investments in non-affiliates, at value	$	5,694,805	$	23,453,713	$	18,717,108	$	3,150,306
Cash		1		1		—		10
Receivables:
Investment securities sold		—		—		17,835		—
Fund shares sold		6,378		—		—		—
Interest from non-affiliates		1,197		28,093		23,177		3,562
Due from Advisor		119		3		—		—
Total Assets		5,702,500		23,481,810		18,758,120		3,153,878
LIABILITIES:
Payables:
Due to custodian		—		—		19		—
Dividends		—		—		187		8
Investment securities purchased		—		2,999,427		41,907		5,423
Fund shares redeemed		3,108		—		—		—
Accrued liabilities:
Investment advisory fees		—		—		1,201		196
Administration fees		—		648		1,021		167
Shareholder servicing fees		—		—		795		304
Custodian and accounting fees		27		65		85		17
Trustees’ and Chief Compliance Officer’s fees		4		7		—		—	(a)
Printing & Postage fees		281		93		127		137
Other		107		176		205		71
Total Liabilities		3,527		3,000,416		45,547		6,323
Net Assets	$	5,698,973	$	20,481,394	$	18,712,573	$	3,147,555

SEE NOTES TO FINANCIAL STATEMENTS.

70 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Federal Money Market Fund			100% U.S. Treasury Securities Money Market Fund			Tax Free Money Market Fund		Municipal Money Market Fund
NET ASSETS:
Paid-in-Capital	$	5,699,089		$	20,481,555		$	18,711,114	$	3,147,961
Accumulated undistributed (distributions in excess of) net investment income		(155	)		(372	)		598		4
Accumulated net realized gains (losses)		39			211			861		(410	)
Total Net Assets	$	5,698,973		$	20,481,394		$	18,712,573	$	3,147,555
Net Assets:
Agency	$	786,165		$	1,914,902		$	693,197	$	121,010
Capital		—			8,254,673			—		—
Direct		—			—			100		—
Eagle Class		—			—			1,028,433		—
E*Trade		—			—			—		1,736,816
Institutional Class		4,325,820			7,246,605			6,362,480		548,856
Morgan		140,119			1,512,492			422,534		334,195
Premier		435,501			1,482,938			2,865,171		78,792
Reserve		11,368			69,684			7,340,658		54,714
Service		—			100			—		273,172
Total	$	5,698,973		$	20,481,394		$	18,712,573	$	3,147,555
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Agency		786,261			1,914,938			693,421		121,030
Capital		—			8,254,688			—		—
Direct		—			—			100		—
Eagle Class		—			—			1,028,649		—
E*Trade		—			—			—		1,736,919
Institutional Class		4,326,178			7,246,627			6,361,581		549,061
Morgan		140,147			1,512,489			422,719		334,191
Premier		435,539			1,482,941			2,864,729		78,814
Reserve		11,370			69,681			7,339,461		54,693
Service		—			100			—		273,242
Net Asset Value offering and redemption price per share (all classes)	$	1.00		$	1.00		$	1.00	$	1.00
Cost of investments in non-affiliates	$	5,694,805		$	23,453,713		$	18,717,108	$	3,150,306

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 71

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED FEBRUARY 29, 2012

(Amounts in thousands)

	Prime Money Market Fund			Liquid Assets Money Market Fund			U.S. Government Money  Market Fund			U.S. Treasury Plus Money Market Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	359,253		$	30,999		$	82,371		$	11,480
Interest from interfund lending (net)		—			1			—			—
Total investment income		359,253			31,000			82,371			11,480
EXPENSES:
Investment advisory fees		96,356			7,986			50,697			10,791
Administration fees		83,651			6,933			44,016			9,374
Distribution fees		17,332			8,923			6,461			4,776
Shareholder servicing fees		116,426			19,791			78,264			21,737
Custodian and accounting fees		3,057			333			1,444			307
Professional fees		1,186			166			713			207
Trustees’ and Chief Compliance Officer’s fees		1,008			99			513			140
Printing and mailing costs		1,743			849			321			81
Registration and filing fees		103			102			100			73
Transfer agent fees		3,024			448			1,308			353
Other		1,421			95			809			252
Total expenses		325,307			45,725			184,646			48,091
Less amounts waived		(78,026	)		(21,269	)		(108,482	)		(36,609	)
Less earnings credits		(23	)		—			(8	)		(4	)
Net expenses		247,258			24,456			76,156			11,478
Net investment income (loss)		111,995			6,544			6,215			2
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from investments in non-affiliates		1,392			120			453			32
Change in net assets resulting from operations	$	113,387		$	6,664		$	6,668		$	34

SEE NOTES TO FINANCIAL STATEMENTS.

72 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Federal Money Market Fund			100% U.S. Treasury Securities Money Market Fund			Tax Free Money Market Fund			Municipal Money Market Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	6,245		$	10,429		$	43,644		$	10,246
EXPENSES:
Investment advisory fees		4,852			15,543			15,763			2,534
Administration fees		4,213			13,500			13,684			2,201
Distribution fees		237			1,655			19,052			12,133
Shareholder servicing fees		8,077			23,543			41,052			8,190
Custodian and accounting fees		119			339			432			82
Interest expense to affiliates		—			—			3			—
Professional fees		109			233			286			60
Trustees’ and Chief Compliance Officer’s fees		56			134			162			37
Printing and mailing costs		897			160			103			317
Registration and filing fees		218			77			111			40
Transfer agent fees		152			484			442			77
Other		157			262			314			40
Total expenses		19,087			55,930			91,404			25,711
Less amounts waived		(12,723	)		(45,479	)		(50,425	)		(16,480	)
Less earnings credits		—	(a)		(22	)		(4	)		—
Less expense reimbursements		(119	)		—			—			—
Net expenses		6,245			10,429			40,975			9,231
Net investment income (loss)		—			—	(a)		2,669			1,015
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from investments in non-affiliates		39			212			861			92
Change in net assets resulting from operations	$	39		$	212		$	3,530		$	1,107

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 73

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Prime Money Market Fund						Liquid Assets Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	111,995		$	159,293		$	6,544		$	7,534
Net realized gain (loss)		1,392			720			120			76
Change in net assets resulting from operations		113,387			160,013			6,664			7,610
DISTRIBUTIONS TO SHAREHOLDERS:
Class B
From net investment income		(1	)		(1	)		(1	)		(2	)
From net realized gains		—	(a)		—	(a)		—	(a)		(1	)
Class C
From net investment income		(1	)		(1	)		(40	)		(53	)
From net realized gains		—	(a)		—	(a)		(3	)		(16	)
Agency
From net investment income		(3,877	)		(7,770	)		(101	)		(258	)
From net realized gains		(58	)		(80	)		(1	)		(13	)
Capital
From net investment income		(81,852	)		(113,469	)		(3,148	)		(3,857	)
From net realized gains		(413	)		(560	)		(21	)		(100	)
Cash Management
From net investment income		(55	)		(56	)		—			—
From net realized gains		(3	)		(3	)		—			—
Direct
From net investment income		(286	)		(334	)		—			—
From net realized gains		(8	)		(7	)		—			—
Eagle Class (b)
From net investment income		(102	)		(96	)		—			—
From net realized gains		(6	)		(9	)		—			—
E*Trade
From net investment income		—			—			(98	)		(99	)
From net realized gains		—			—			(2	)		(8	)
Institutional Class
From net investment income		(25,165	)		(36,951	)		(2,755	)		(2,692	)
From net realized gains		(169	)		(212	)		(22	)		(74	)
Investor
From net investment income		(59	)		(60	)		(54	)		(78	)
From net realized gains		(4	)		(4	)		(5	)		(27	)
Morgan
From net investment income		(286	)		(381	)		(299	)		(398	)
From net realized gains		(17	)		(23	)		(24	)		(127	)
Premier
From net investment income		(359	)		(585	)		(16	)		(40	)
From net realized gains		(21	)		(30	)		(1	)		(14	)
Reserve
From net investment income		(169	)		(226	)		(28	)		(43	)
From net realized gains		(10	)		(13	)		(2	)		(13	)
Service
From net investment income		(137	)		(119	)		(19	)		(34	)
From net realized gains		(10	)		(7	)		(1	)		(10	)
Total distributions to shareholders		(113,068	)		(160,997	)		(6,641	)		(7,957	)

SEE NOTES TO FINANCIAL STATEMENTS.

74 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Prime Money Market Fund						Liquid Assets Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions	$	(10,946,889	)	$	(18,924,024	)	$	2,378,057		$	(2,381,723	)
NET ASSETS:
Change in net assets		(10,946,570	)		(18,925,008	)		2,378,080			(2,382,070	)
Beginning of period		133,632,070			152,557,078			9,701,626			12,083,696
End of period	$	122,685,500		$	133,632,070		$	12,079,706		$	9,701,626
Accumulated distributions in excess of net investment income	$	(364	)	$	(10	)	$	(291	)	$	(277	)

(a) Amount rounds to less than $1,000.

(b) Commencement of offering of class of shares effective May 10, 2010 for Prime Money Market Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 75

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	U.S. Government Money Market Fund						U.S. Treasury Plus Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	6,215		$	28,242		$	2		$	1,135
Net realized gain (loss)		453			441			32			126
Change in net assets resulting from operations		6,668			28,683			34			1,261
DISTRIBUTIONS TO SHAREHOLDERS:
Class B
From net investment income		—			—			—	(a)		—	(a)
From net realized gains		—			—			—	(a)		—	(a)
Class C
From net investment income		—			—			(2	)		—	(a)
From net realized gains		—			—			—	(a)		(16	)
Agency
From net investment income		(654	)		(198	)		(12	)		(4	)
From net realized gains		(8	)		(1,457	)		(2	)		(218	)
Capital
From net investment income		(3,676	)		(22,818	)		—			—
From net realized gains		(42	)		(6,624	)		—			—
Direct
From net investment income		(49	)		(1	)		(23	)		(2	)
From net realized gains		(1	)		(39	)		(4	)		(131	)
Institutional Class
From net investment income		(926	)		(5,100	)		(89	)		(831	)
From net realized gains		(14	)		(2,916	)		(15	)		(958	)
Investor
From net investment income		(395	)		(17	)		(4	)		(1	)
From net realized gains		(5	)		(605	)		(1	)		(76	)
Morgan
From net investment income		(190	)		(12	)		(6	)		(2	)
From net realized gains		(2	)		(364	)		(1	)		(109	)
Premier
From net investment income		(399	)		(28	)		(5	)		(2	)
From net realized gains		(5	)		(884	)		(1	)		(92	)
Reserve
From net investment income		(3	)		(1	)		(11	)		(2	)
From net realized gains		—	(a)		(9	)		(2	)		(131	)
Service
From net investment income		(63	)		(3	)		—	(a)		—	(a)
From net realized gains		(1	)		(91	)		—	(a)		—	(a)
Total distributions to shareholders		(6,433	)		(41,167	)		(178	)		(2,575	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(338,655	)		(12,456,940	)		405,215			(2,793,045	)
NET ASSETS:
Change in net assets		(338,420	)		(12,469,424	)		405,071			(2,794,359	)
Beginning of period		65,490,552			77,959,976			12,353,231			15,147,590
End of period	$	65,152,132		$	65,490,552		$	12,758,302		$	12,353,231
Accumulated distributions in excess of net investment income	$	(870	)	$	(730	)	$	(424	)	$	(395	)

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

76 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Federal Money Market Fund						100% U.S. Treasury Securities Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	—		$	1,296		$	—	(a)	$	220
Net realized gain (loss)		39			189			212			146
Change in net assets resulting from operations		39			1,485			212			366
DISTRIBUTIONS TO SHAREHOLDERS:
Agency
From net investment income		(17	)		(13	)		(15	)		(3	)
From net realized gains		—			(214	)		(10	)		(250	)
Capital
From net investment income		—			—			(86	)		(10	)
From net realized gains		—			—			(59	)		(967	)
Institutional Class
From net investment income		(90	)		(1,273	)		(71	)		(9	)
From net realized gains		—			(1,805	)		(50	)		(768	)
Morgan
From net investment income		(3	)		(3	)		(14	)		(2	)
From net realized gains		—			(36	)		(10	)		(175	)
Premier
From net investment income		(8	)		(7	)		(14	)		(3	)
From net realized gains		—			(158	)		(10	)		(233	)
Reserve
From net investment income		—	(a)		—	(a)		(1	)		—	(a)
From net realized gains		—			(8	)		—	(a)		(15	)
Service
From net investment income		—			—			—	(a)		—	(a)
From net realized gains		—			—			—	(a)		—	(a)
Total distributions to shareholders		(118	)		(3,517	)		(340	)		(2,435	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(1,477,570	)		(4,491,612	)		3,673,186			611,416
NET ASSETS:
Change in net assets		(1,477,649	)		(4,493,644	)		3,673,058			609,347
Beginning of period		7,176,622			11,670,266			16,808,336			16,198,989
End of period	$	5,698,973		$	7,176,622		$	20,481,394		$	16,808,336
Accumulated distributions in excess of net investment income	$	(155	)	$	(37	)	$	(372	)	$	(170	)

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 77

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Tax Free Money Market Fund						Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	2,669		$	12,186		$	1,015		$	2,411
Net realized gain (loss)		861			2,021			92			(502	)
Change in net assets resulting from operations		3,530			14,207			1,107			1,909
DISTRIBUTIONS TO SHAREHOLDERS:
Agency
From net investment income		(107	)		(640	)		(50	)		(109	)
From net realized gains		—			(116	)		—			(1	)
Direct
From net investment income		—	(a)		—	(a)		—			—
From net realized gains		—			—	(a)		—			—
Eagle Class (b)
From net investment income		(164	)		(190	)		—			—
From net realized gains		—			(73	)		—			—
E*Trade
From net investment income		—			—			(186	)		(360	)
From net realized gains		—			—			—			(18	)
Institutional Class
From net investment income		(3,129	)		(14,613	)		(799	)		(2,257	)
From net realized gains		—			(1,501	)		—			(12	)
Morgan
From net investment income		(32	)		(112	)		(4	)		(40	)
From net realized gains		—			(57	)		—			(4	)
Premier
From net investment income		(183	)		(628	)		(1	)		(14	)
From net realized gains		—			(325	)		—			(1	)
Reserve
From net investment income		(477	)		(1,296	)		(1	)		(13	)
From net realized gains		—			(667	)		—			(1	)
Service
From net investment income		—			—			(4	)		(41	)
From net realized gains		—			—			—			(4	)
Total distributions to shareholders		(4,092	)		(20,218	)		(1,045	)		(2,875	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(3,699,609	)		(597,066	)		(330,459	)		(844,372	)
NET ASSETS:
Change in net assets		(3,700,171	)		(603,077	)		(330,397	)		(845,338	)
Beginning of period		22,412,744			23,015,821			3,477,952			4,323,290
End of period	$	18,712,573		$	22,412,744		$	3,147,555		$	3,477,952
Accumulated undistributed net investment income	$	598		$	2,019		$	4		$	34

(a) Amount rounds to less than $1,000.

(b) Commencement of offering of class of shares effective May 10, 2010 for Tax Free Money Market Fund

SEE NOTES TO FINANCIAL STATEMENTS.

78 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Prime Money Market Fund						Liquid Assets Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class B
Proceeds from shares issued	$	1,728		$	1,531		$	2,796		$	3,505
Dividends and distributions reinvested		—	(a)		1			1			2
Cost of shares redeemed		(3,372	)		(3,991	)		(5,651	)		(12,117	)
Change in net assets from Class B capital transactions	$	(1,644	)	$	(2,459	)	$	(2,854	)	$	(8,610	)
Class C
Proceeds from shares issued	$	21,212		$	18,179		$	264,210		$	374,134
Dividends and distributions reinvested		1			1			43			68
Cost of shares redeemed		(23,582	)		(12,542	)		(284,715	)		(375,542	)
Change in net assets from Class C capital transactions	$	(2,369	)	$	5,638		$	(20,462	)	$	(1,340	)
Agency
Proceeds from shares issued	$	404,671,094		$	418,124,009		$	2,664,493		$	3,449,716
Dividends and distributions reinvested		1,456			5,590			68			237
Cost of shares redeemed		(409,468,615	)		(416,655,301	)		(2,944,835	)		(3,343,284	)
Change in net assets from Agency capital transactions	$	(4,796,065	)	$	1,474,298		$	(280,274	)	$	106,669
Capital
Proceeds from shares issued	$	632,632,601		$	677,299,592		$	16,913,826		$	19,679,225
Dividends and distributions reinvested		39,792			61,294			2,845			3,652
Cost of shares redeemed		(633,834,961	)		(687,530,848	)		(16,227,994	)		(21,339,992	)
Change in net assets from Capital capital transactions	$	(1,162,568	)	$	(10,169,962	)	$	688,677		$	(1,657,115	)
Cash Management
Proceeds from shares issued	$	1,714,005		$	1,759,654		$	—		$	—
Dividends and distributions reinvested		53			54			—			—
Cost of shares redeemed		(1,752,352	)		(1,579,303	)		—			—
Change in net assets from Cash Management capital transactions	$	(38,294	)	$	180,405		$	—		$	—
Direct
Proceeds from shares issued	$	3,812,399		$	2,826,934		$	—		$	—
Cost of shares redeemed		(3,437,231	)		(2,652,624	)		—			—
Change in net assets from Direct capital transactions	$	375,168		$	174,310		$	—		$	—
Eagle Class (b)
Proceeds from shares issued	$	743,779		$	1,898,945		$	—		$	—
Dividends and distributions reinvested		105			103			—			—
Cost of shares redeemed		(1,112,418	)		(691,993	)		—			—
Change in net assets from Eagle Class capital transactions	$	(368,534	)	$	1,207,055		$	—		$	—
E*Trade
Proceeds from shares issued	$	—		$	—		$	111,670		$	104,150
Dividends and distributions reinvested		—			—			100			107
Cost of shares redeemed		—			—			(99,208	)		(96,386	)
Change in net assets from E*Trade capital transactions	$	—		$	—		$	12,562		$	7,871

(a) Amount rounds to less than $1,000.

(b) Commencement of offering of class of shares effective May 10, 2010 for Prime Money Market Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 79

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Prime Money Market Fund						Liquid Assets Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS: (continued)
Institutional Class
Proceeds from shares issued	$	249,050,777		$	203,208,964		$	26,712,251		$	14,259,388
Dividends and distributions reinvested		11,514			22,551			1,084			2,529
Cost of shares redeemed		(252,178,931	)		(212,398,322	)		(24,653,971	)		(14,516,598	)
Change in net assets from Institutional Class capital transactions	$	(3,116,640	)	$	(9,166,807	)	$	2,059,364		$	(254,681	)
Investor
Proceeds from shares issued	$	556,454		$	394,120		$	4,033,496		$	2,045,981
Dividends and distributions reinvested		63			64			40			52
Cost of shares redeemed		(516,638	)		(527,230	)		(3,962,676	)		(2,126,807	)
Change in net assets from Investor capital transactions	$	39,879		$	(133,046	)	$	70,860		$	(80,774	)
Morgan
Proceeds from shares issued	$	201,442,891		$	256,084,726		$	8,838,801		$	2,076,739
Dividends and distributions reinvested		153			245			305			513
Cost of shares redeemed		(201,712,139	)		(257,040,938	)		(8,827,990	)		(2,253,650	)
Change in net assets from Morgan capital transactions	$	(269,095	)	$	(955,967	)	$	11,116		$	(176,398	)
Premier
Proceeds from shares issued	$	95,701,598		$	151,410,376		$	981,715		$	1,151,750
Dividends and distributions reinvested		132			257			4			31
Cost of shares redeemed		(97,385,191	)		(152,241,517	)		(1,046,535	)		(1,237,871	)
Change in net assets from Premier capital transactions	$	(1,683,461	)	$	(830,884	)	$	(64,816	)	$	(86,090	)
Reserve
Proceeds from shares issued	$	132,449,659		$	161,933,209		$	60,591,810		$	70,806,417
Dividends and distributions reinvested		112			146			4			7
Cost of shares redeemed		(132,704,718	)		(162,720,918	)		(60,628,198	)		(70,901,067	)
Change in net assets from Reserve capital transactions	$	(254,947	)	$	(787,563	)	$	(36,384	)	$	(94,643	)
Service
Proceeds from shares issued	$	1,678,591		$	1,084,192		$	40,603,176		$	55,207,390
Dividends and distributions reinvested		147			125			2			6
Cost of shares redeemed		(1,347,057	)		(1,003,359	)		(40,662,910	)		(55,344,008	)
Change in net assets from Service capital transactions	$	331,681		$	80,958		$	(59,732	)	$	(136,612	)
Total change in net assets from capital transactions	$	(10,946,889	)	$	(18,924,024	)	$	2,378,057		$	(2,381,723	)

SEE NOTES TO FINANCIAL STATEMENTS.

80 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Prime Money Market Fund						Liquid Assets Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class B
Issued		1,728			1,531			2,796			3,505
Reinvested		—	(a)		1			1			2
Redeemed		(3,372	)		(3,991	)		(5,651	)		(12,117	)
Change in Class B Shares		(1,644	)		(2,459	)		(2,854	)		(8,610	)
Class C
Issued		21,212			18,179			264,210			374,134
Reinvested		1			1			43			68
Redeemed		(23,582	)		(12,542	)		(284,715	)		(375,542	)
Change in Class C Shares		(2,369	)		5,638			(20,462	)		(1,340	)
Agency
Issued		404,671,094			418,124,009			2,664,493			3,449,716
Reinvested		1,456			5,590			68			237
Redeemed		(409,468,615	)		(416,655,301	)		(2,944,835	)		(3,343,284	)
Change in Agency Shares		(4,796,065	)		1,474,298			(280,274	)		106,669
Capital
Issued		632,632,601			677,299,592			16,913,826			19,679,225
Reinvested		39,792			61,294			2,845			3,652
Redeemed		(633,834,961	)		(687,530,848	)		(16,227,994	)		(21,339,992	)
Change in Capital Shares		(1,162,568	)		(10,169,962	)		688,677			(1,657,115	)
Cash Management
Issued		1,714,005			1,759,654			—			—
Reinvested		53			54			—			—
Redeemed		(1,752,352	)		(1,579,303	)		—			—
Change in Cash Management Shares		(38,294	)		180,405			—			—
Direct
Issued		3,812,399			2,826,934			—			—
Redeemed		(3,437,231	)		(2,652,624	)		—			—
Change in Direct Shares		375,168			174,310			—			—
Eagle Class (b)
Issued		743,779			1,898,945			—			—
Reinvested		105			103			—			—
Redeemed		(1,112,418	)		(691,993	)		—			—
Change in Eagle Class Shares		(368,534	)		1,207,055			—			—
E*Trade
Issued		—			—			111,670			104,150
Reinvested		—			—			100			107
Redeemed		—			—			(99,208	)		(96,386	)
Change in E*Trade Shares		—			—			12,562			7,871
Institutional Class
Issued		249,050,777			203,208,964			26,712,251			14,259,388
Reinvested		11,514			22,551			1,084			2,529
Redeemed		(252,178,931	)		(212,398,322	)		(24,653,971	)		(14,516,598	)
Change in Institutional Class Shares		(3,116,640	)		(9,166,807	)		2,059,364			(254,681	)

(a) Amount rounds to less than 1,000 (shares or dollars).

(b) Commencement of offering of class of shares effective May 10, 2010 for Prime Money Market Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 81

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Prime Money Market Fund						Liquid Assets Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS: (continued)
Investor
Issued		556,454			394,120			4,033,496			2,045,981
Reinvested		63			64			40			52
Redeemed		(516,638	)		(527,230	)		(3,962,676	)		(2,126,807	)
Change in Investor Shares		39,879			(133,046	)		70,860			(80,774	)
Morgan
Issued		201,442,891			256,084,726			8,838,801			2,076,739
Reinvested		153			245			305			513
Redeemed		(201,712,139	)		(257,040,938	)		(8,827,990	)		(2,253,650	)
Change in Morgan Shares		(269,095	)		(955,967	)		11,116			(176,398	)
Premier
Issued		95,701,598			151,410,376			981,715			1,151,750
Reinvested		132			257			4			31
Redeemed		(97,385,191	)		(152,241,517	)		(1,046,535	)		(1,237,871	)
Change in Premier Shares		(1,683,461	)		(830,884	)		(64,816	)		(86,090	)
Reserve
Issued		132,449,659			161,933,209			60,591,810			70,806,417
Reinvested		112			146			4			7
Redeemed		(132,704,718	)		(162,720,918	)		(60,628,198	)		(70,901,067	)
Change in Reserve Shares		(254,947	)		(787,563	)		(36,384	)		(94,643	)
Service
Issued		1,678,591			1,084,192			40,603,176			55,207,390
Reinvested		147			125			2			6
Redeemed		(1,347,057	)		(1,003,359	)		(40,662,910	)		(55,344,008	)
Change in Service Shares		331,681			80,958			(59,732	)		(136,612	)

SEE NOTES TO FINANCIAL STATEMENTS.

82 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	U.S. Government Money Market Fund						U.S. Treasury Plus Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class B
Proceeds from shares issued	$	—		$	—		$	280		$	224
Dividends and distributions reinvested		—			—			—	(a)		—	(a)
Cost of shares redeemed		—			—			(382	)		(799	)
Change in net assets from Class B capital transactions	$	—		$	—		$	(102	)	$	(575	)
Class C
Proceeds from shares issued	$	—		$	—		$	149,495		$	191,826
Dividends and distributions reinvested		—			—			2			16
Cost of shares redeemed		—			—			(135,316	)		(108,613	)
Change in net assets from Class C capital transactions	$	—		$	—		$	14,181		$	83,229
Agency
Proceeds from shares issued	$	201,764,107		$	287,954,275		$	62,904,644		$	43,637,645
Dividends and distributions reinvested		167			1,374			2			183
Cost of shares redeemed		(200,964,396	)		(288,291,246	)		(63,959,078	)		(43,801,422	)
Change in net assets from Agency capital transactions	$	799,878		$	(335,597	)	$	(1,054,432	)	$	(163,594	)
Capital
Proceeds from shares issued	$	270,039,384		$	257,845,676		$	—		$	—
Dividends and distributions reinvested		2,633			19,739			—			—
Cost of shares redeemed		(271,301,711	)		(261,586,696	)		—			—
Change in net assets from Capital capital transactions	$	(1,259,694	)	$	(3,721,281	)	$	—		$	—
Direct
Proceeds from shares issued	$	1,244,089		$	747,482		$	3,856,057		$	2,020,624
Cost of shares redeemed		(975,971	)		(458,223	)		(2,982,926	)		(1,740,176	)
Change in net assets from Direct capital transactions	$	268,118		$	289,259		$	873,131		$	280,448
Institutional Class
Proceeds from shares issued	$	94,514,092		$	110,409,234		$	70,244,085		$	45,215,494
Dividends and distributions reinvested		224			5,228			42			946
Cost of shares redeemed		(95,702,714	)		(118,660,181	)		(69,094,225	)		(47,413,592	)
Change in net assets from Institutional Class capital transactions	$	(1,188,398	)	$	(8,245,719	)	$	1,149,902		$	(2,197,152	)
Investor
Proceeds from shares issued	$	4,602,358		$	2,359,155		$	765,035		$	1,047,386
Dividends and distributions reinvested		400			622			1			5
Cost of shares redeemed		(3,467,905	)		(2,531,009	)		(844,797	)		(1,447,081	)
Change in net assets from Investor capital transactions	$	1,134,853		$	(171,232	)	$	(79,761	)	$	(399,690	)
Morgan
Proceeds from shares issued	$	144,555,620		$	274,838,343		$	62,948,160		$	128,009,152
Dividends and distributions reinvested		86			125			1			32
Cost of shares redeemed		(145,006,370	)		(274,763,650	)		(63,268,656	)		(128,115,426	)
Change in net assets from Morgan capital transactions	$	(450,664	)	$	74,818		$	(320,495	)	$	(106,242	)

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 83

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	U.S. Government Money Market Fund						U.S. Treasury Plus Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS: (continued)
Premier
Proceeds from shares issued	$	59,184,295		$	78,306,222		$	20,129,600		$	31,350,675
Dividends and distributions reinvested		46			164			1			27
Cost of shares redeemed		(59,112,337	)		(78,698,992	)		(20,231,436	)		(31,491,046	)
Change in net assets from Premier capital transactions	$	72,004		$	(392,606	)	$	(101,835	)	$	(140,344	)
Reserve
Proceeds from shares issued	$	7,600,302		$	10,390,733		$	68,592,267		$	90,191,004
Dividends and distributions reinvested		—	(a)		2			9			88
Cost of shares redeemed		(7,620,850	)		(10,411,769	)		(68,667,650	)		(90,340,217	)
Change in net assets from Reserve capital transactions	$	(20,548	)	$	(21,034	)	$	(75,374	)	$	(149,125	)
Service
Proceeds from shares issued	$	7,371,714		$	8,375,190		$	—		$	—
Dividends and distributions reinvested		60			87			—	(a)		—	(a)
Cost of shares redeemed		(7,065,978	)		(8,308,825	)		—			—
Change in net assets from Service capital transactions	$	305,796		$	66,452		$	—	(a)	$	—	(a)
Total change in net assets from capital transactions	$	(338,655	)	$	(12,456,940	)	$	405,215		$	(2,793,045	)
SHARE TRANSACTIONS:
Class B
Issued		—			—			280			224
Reinvested		—			—			—	(a)		—	(a)
Redeemed		—			—			(382	)		(799	)
Change in Class B Shares		—			—			(102	)		(575	)
Class C
Issued		—			—			149,495			191,826
Reinvested		—			—			2			16
Redeemed		—			—			(135,316	)		(108,613	)
Change in Class C Shares		—			—			14,181			83,229
Agency
Issued		201,764,107			287,954,275			62,904,644			43,637,645
Reinvested		167			1,374			2			183
Redeemed		(200,964,396	)		(288,291,246	)		(63,959,078	)		(43,801,422	)
Change in Agency Shares		799,878			(335,597	)		(1,054,432	)		(163,594	)
Capital
Issued		270,039,384			257,845,676			—			—
Reinvested		2,633			19,739			—			—
Redeemed		(271,301,711	)		(261,586,696	)		—			—
Change in Capital Shares		(1,259,694	)		(3,721,281	)		—			—
Direct
Issued		1,244,089			747,482			3,856,057			2,020,624
Redeemed		(975,971	)		(458,223	)		(2,982,926	)		(1,740,176	)
Change in Direct Shares		268,118			289,259			873,131			280,448

SEE NOTES TO FINANCIAL STATEMENTS.

84 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	U.S. Government Money Market Fund						U.S. Treasury Plus Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS: (continued)
Institutional Class
Issued		94,514,092			110,409,234			70,244,085			45,215,494
Reinvested		224			5,228			42			946
Redeemed		(95,702,714	)		(118,660,181	)		(69,094,225	)		(47,413,592	)
Change in Institutional Class Shares		(1,188,398	)		(8,245,719	)		1,149,902			(2,197,152	)
Investor
Issued		4,602,358			2,359,155			765,035			1,047,386
Reinvested		400			622			1			5
Redeemed		(3,467,905	)		(2,531,009	)		(844,797	)		(1,447,081	)
Change in Investor Shares		1,134,853			(171,232	)		(79,761	)		(399,690	)
Morgan
Issued		144,555,620			274,838,343			62,948,160			128,009,152
Reinvested		86			125			1			32
Redeemed		(145,006,370	)		(274,763,650	)		(63,268,656	)		(128,115,426	)
Change in Morgan Shares		(450,664	)		74,818			(320,495	)		(106,242	)
Premier
Issued		59,184,295			78,306,222			20,129,600			31,350,675
Reinvested		46			164			1			27
Redeemed		(59,112,337	)		(78,698,992	)		(20,231,436	)		(31,491,046	)
Change in Premier Shares		72,004			(392,606	)		(101,835	)		(140,344	)
Reserve
Issued		7,600,302			10,390,733			68,592,267			90,191,004
Reinvested		—	(a)		2			9			88
Redeemed		(7,620,850	)		(10,411,769	)		(68,667,650	)		(90,340,217	)
Change in Reserve Shares		(20,548	)		(21,034	)		(75,374	)		(149,125	)
Service
Issued		7,371,714			8,375,190			—			—
Reinvested		60			87			—	(a)		—	(a)
Redeemed		(7,065,978	)		(8,308,825	)		—			—
Change in Service Shares		305,796			66,452			—	(a)		—	(a)

(a) Amount rounds to less than 1,000 (shares or dollars).

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 85

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Federal Money Market Fund						100% U.S. Treasury Securities Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Agency
Proceeds from shares issued	$	1,605,743		$	2,633,757		$	40,816,614		$	40,426,158
Dividends and distributions reinvested		—	(a)		175			11			145
Cost of shares redeemed		(1,890,248	)		(2,934,448	)		(40,730,290	)		(40,119,479	)
Change in net assets from Agency capital transactions	$	(284,505	)	$	(300,516	)	$	86,335		$	306,824
Capital
Proceeds from shares issued	$	—		$	—		$	21,705,500		$	21,338,966
Dividends and distributions reinvested		—			—			61			409
Cost of shares redeemed		—			—			(18,555,562	)		(22,338,688	)
Change in net assets from Capital capital transactions	$	—		$	—		$	3,149,999		$	(999,313	)
Institutional Class
Proceeds from shares issued	$	11,888,058		$	20,934,210		$	19,838,451		$	16,665,951
Dividends and distributions reinvested		32			1,373			51			249
Cost of shares redeemed		(12,731,439	)		(24,912,467	)		(19,269,119	)		(14,963,482	)
Change in net assets from Institutional Class capital transactions	$	(843,349	)	$	(3,976,884	)	$	569,383		$	1,702,718
Morgan
Proceeds from shares issued	$	4,232,558		$	4,953,566		$	108,754,446		$	76,469,637
Dividends and distributions reinvested		2			30			8			99
Cost of shares redeemed		(4,353,375	)		(4,863,686	)		(108,633,303	)		(76,391,551	)
Change in net assets from Morgan capital transactions	$	(120,815	)	$	89,910		$	121,151		$	78,185
Premier
Proceeds from shares issued	$	901,133		$	1,777,236		$	58,181,412		$	85,287,855
Dividends and distributions reinvested		4			81			5			87
Cost of shares redeemed		(1,134,951	)		(1,980,643	)		(58,458,539	)		(85,502,056	)
Change in net assets from Premier capital transactions	$	(233,814	)	$	(203,326	)	$	(277,122	)	$	(214,114	)
Reserve
Proceeds from shares issued	$	114,812		$	361,336		$	147,893		$	154,471
Dividends and distributions reinvested		—	(a)		6			—	(a)		9
Cost of shares redeemed		(109,899	)		(462,138	)		(124,453	)		(417,364	)
Change in net assets from Reserve capital transactions	$	4,913		$	(100,796	)	$	23,440		$	(262,884	)
Service
Dividends and distributions reinvested	$	—		$	—		$	—	(a)	$	—	(a)
Change in net assets from Service capital transactions	$	—		$	—		$	—	(a)	$	—	(a)
Total change in net assets from capital transactions	$	(1,477,570	)	$	(4,491,612	)	$	3,673,186		$	611,416

SEE NOTES TO FINANCIAL STATEMENTS.

86 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Federal Money Market Fund						100% U.S. Treasury Securities Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Agency
Issued		1,605,743			2,633,757			40,816,614			40,426,145
Reinvested		—	(a)		175			11			145
Redeemed		(1,890,248	)		(2,934,448	)		(40,730,290	)		(40,119,466	)
Change in Agency Shares		(284,505	)		(300,516	)		86,335			306,824
Capital
Issued		—			—			21,705,500			21,338,887
Reinvested		—			—			61			409
Redeemed		—			—			(18,555,562	)		(22,338,688	)
Change in Capital Shares		—			—			3,149,999			(999,392	)
Institutional Class
Issued		11,888,058			20,934,210			19,838,451			16,665,911
Reinvested		32			1,373			51			249
Redeemed		(12,731,439	)		(24,912,467	)		(19,269,119	)		(14,963,394	)
Change in Institutional Class Shares		(843,349	)		(3,976,884	)		569,383			1,702,766
Morgan
Issued		4,232,558			4,953,566			108,754,446			76,469,611
Reinvested		2			30			8			99
Redeemed		(4,353,375	)		(4,863,686	)		(108,633,303	)		(76,391,551	)
Change in Morgan Shares		(120,815	)		89,910			121,151			78,159
Premier
Issued		901,133			1,777,236			58,181,412			85,287,843
Reinvested		4			81			5			87
Redeemed		(1,134,951	)		(1,980,643	)		(58,458,539	)		(85,502,011	)
Change in Premier Shares		(233,814	)		(203,326	)		(277,122	)		(214,081	)
Reserve
Issued		114,812			361,336			147,893			154,372
Reinvested		—	(a)		6			—	(a)		9
Redeemed		(109,899	)		(462,138	)		(124,453	)		(417,240	)
Change in Reserve Shares		4,913			(100,796	)		23,440			(262,859	)
Service
Reinvested		—			—			—	(a)		—	(a)
Change in Service Shares		—			—			—	(a)		—	(a)

(a) Amount rounds to less than 1,000 (shares or dollars).

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 87

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Tax Free Money Market Fund						Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Agency
Proceeds from shares issued	$	2,412,983		$	2,281,248		$	459,586		$	91,864
Dividends and distributions reinvested		28			254			14			29
Cost of shares redeemed		(2,511,600	)		(2,551,888	)		(369,915	)		(190,351	)
Change in net assets from Agency capital transactions	$	(98,589	)	$	(270,386	)	$	89,685		$	(98,458	)
Direct
Dividends and distributions reinvested	$	—	(a)	$	—		$	—		$	—
Change in net assets from Direct capital transactions	$	—	(a)	$	—	(a)	$	—		$	—
Eagle Class (b)
Proceeds from shares issued	$	775,180		$	1,603,033		$	—		$	—
Dividends and distributions reinvested		163			261			—			—
Cost of shares redeemed		(878,338	)		(471,650	)		—			—
Change in net assets from Eagle Class capital transactions	$	(102,995	)	$	1,131,644		$	—		$	—
E*Trade
Proceeds from shares issued	$	—		$	—		$	682,293		$	648,507
Dividends and distributions reinvested		—			—			186			378
Cost of shares redeemed		—			—			(642,193	)		(509,534	)
Change in net assets from E*Trade capital transactions	$	—		$	—		$	40,286		$	139,351
Institutional Class
Proceeds from shares issued	$	38,432,686		$	65,230,649		$	1,302,748		$	3,306,063
Dividends and distributions reinvested		883			5,418			651			1,608
Cost of shares redeemed		(42,996,139	)		(66,112,487	)		(1,697,301	)		(3,944,633	)
Change in net assets from Institutional Class capital transactions	$	(4,562,570	)	$	(876,420	)	$	(393,902	)	$	(636,962	)
Morgan
Proceeds from shares issued	$	36,619,812		$	42,489,029		$	1,079,996		$	566,600
Dividends and distributions reinvested		15			84			4			43
Cost of shares redeemed		(36,732,902	)		(42,491,534	)		(1,066,680	)		(596,901	)
Change in net assets from Morgan capital transactions	$	(113,075	)	$	(2,421	)	$	13,320		$	(30,258	)
Premier
Proceeds from shares issued	$	15,502,579		$	11,237,738		$	179,452		$	198,265
Dividends and distributions reinvested		9			59			1			10
Cost of shares redeemed		(15,348,071	)		(11,912,760	)		(213,820	)		(250,665	)
Change in net assets from Premier capital transactions	$	154,517		$	(674,963	)	$	(34,367	)	$	(52,390	)
Reserve
Proceeds from shares issued	$	34,201,889		$	33,749,575		$	14,063,653		$	18,626,576
Dividends and distributions reinvested		24			113			—	(a)		3
Cost of shares redeemed		(33,178,810	)		(33,654,208	)		(14,068,543	)		(18,692,063	)
Change in net assets from Reserve capital transactions	$	1,023,103		$	95,480		$	(4,890	)	$	(65,484	)
Service
Proceeds from shares issued	$	—		$	—		$	7,377,557		$	6,862,664
Dividends and distributions reinvested		—			—			3			41
Cost of shares redeemed		—			—			(7,418,151	)		(6,962,876	)
Change in net assets from Service capital transactions	$	—		$	—		$	(40,591	)	$	(100,171	)
Total change in net assets from capital transactions	$	(3,699,609	)	$	(597,066	)	$	(330,459	)	$	(844,372	)

SEE NOTES TO FINANCIAL STATEMENTS.

88 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Tax Free Money Market Fund						Municipal Money Market Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Agency
Issued		2,412,983			2,281,248			459,586			91,864
Reinvested		28			254			14			29
Redeemed		(2,511,600	)		(2,551,888	)		(369,915	)		(190,351	)
Change in Agency Shares		(98,589	)		(270,386	)		89,685			(98,458	)
Direct
Reinvested		—	(a)		—	(a)		—			—
Change in Direct Shares		—	(a)		—	(a)		—			—
Eagle Class (b)
Issued		775,180			1,603,033			—			—
Reinvested		163			261			—			—
Redeemed		(878,338	)		(471,650	)		—			—
Change in Eagle Class Shares		(102,995	)		1,131,644			—			—
E*Trade
Issued		—			—			682,293			648,507
Reinvested		—			—			186			378
Redeemed		—			—			(642,193	)		(509,534	)
Change in E*Trade Shares		—			—			40,286			139,351
Institutional Class
Issued		38,432,686			65,230,649			1,302,748			3,306,063
Reinvested		883			5,418			651			1,608
Redeemed		(42,996,139	)		(66,112,487	)		(1,697,301	)		(3,944,633	)
Change in Institutional Class Shares		(4,562,570	)		(876,420	)		(393,902	)		(636,962	)
Morgan
Issued		36,619,812			42,489,029			1,079,996			566,600
Reinvested		15			84			4			43
Redeemed		(36,732,902	)		(42,491,534	)		(1,066,680	)		(596,901	)
Change in Morgan Shares		(113,075	)		(2,421	)		13,320			(30,258	)
Premier
Issued		15,502,579			11,237,738			179,452			198,265
Reinvested		9			59			1			10
Redeemed		(15,348,071	)		(11,912,761	)		(213,820	)		(250,665	)
Change in Premier Shares		154,517			(674,964	)		(34,367	)		(52,390	)
Reserve
Issued		34,201,889			33,749,575			14,063,653			18,626,576
Reinvested		24			113			—	(a)		3
Redeemed		(33,178,810	)		(33,654,208	)		(14,068,543	)		(18,692,063	)
Change in Reserve Shares		1,023,103			95,480			(4,890	)		(65,484	)
Service
Issued		—			—			7,377,557			6,862,664
Reinvested		—			—			3			41
Redeemed		—			—			(7,418,151	)		(6,962,876	)
Change in Service Shares		—			—			(40,591	)		(100,171	)

(a) Amount rounds to less than 1,000 (shares or dollars).

(b) Commencement of offering of class of shares effective May 10, 2010 for Tax Free Money Market Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 89

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Prime Money Market Fund
Class B
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Class C
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Agency
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Capital
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Cash Management
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Direct
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 17, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Eagle Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
May 10, 2010 (h) through February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.02%.

(g) Includes insurance expense of 0.01%.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

90 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	2,829		0.29	%		0.01	%		1.16	%
	1.00		0.01			4,473		0.31			0.01			1.16
	1.00		0.00	(e)		6,932		0.59	(f)		0.00	(e)		1.17
	1.00		1.62			13,709		0.99	(f)		1.52			1.17
	1.00		4.28			7,903		0.97			4.18			1.17
	1.00		0.01			9,993		0.29			0.01			1.16
	1.00		0.01			12,361		0.32			0.01			1.16
	1.00		0.00	(e)		6,723		0.58	(f)		0.00	(e)		1.17
	1.00		1.62			11,057		0.99	(f)		1.52			1.17
	1.00		4.28			5,887		0.97			4.11			1.17
	1.00		0.04			8,019,311		0.26			0.04			0.31
	1.00		0.07			12,815,353		0.26			0.07			0.31
	1.00		0.26			11,341,161		0.28	(f)		0.27			0.32
	1.00		2.34			14,591,611		0.27	(g)		2.27			0.32
	1.00		5.02			10,640,542		0.26			4.88			0.32
	1.00		0.12			75,485,880		0.18			0.12			0.21
	1.00		0.15			76,648,261		0.18			0.14			0.21
	1.00		0.35			86,818,790		0.18	(g)		0.35			0.22
	1.00		2.44			82,462,192		0.18	(f)		2.30			0.22
	1.00		5.12			43,128,647		0.16			4.98			0.22
	1.00		0.01			527,614		0.29			0.01			0.96
	1.00		0.01			565,910		0.32			0.01			0.96
	1.00		0.00	(e)		385,509		0.53	(g)		0.00	(e)		0.97
	1.00		1.63			334,078		0.97	(g)		1.52			0.97
	1.00		4.28			323,442		0.96			4.27			0.97
	1.00		0.02			1,558,831		0.28			0.02			0.31
	1.00		0.03			1,183,658		0.29			0.03			0.31
	1.00		0.04			1,009,356		0.30			0.04			0.30
	1.00		0.01			838,513		0.29			0.01			0.71
	1.00		0.01			1,207,045		0.41			0.01			0.88

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 91

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Prime Money Market Fund (continued)
Institutional Class
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Investor
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Premier
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Reserve
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Service
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.02%.

(g) Includes insurance expense of 0.01%.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

92 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.09	%	$	26,769,490		0.21	%		0.09	%		0.26	%
	1.00		0.12			29,886,053		0.21			0.11			0.26
	1.00		0.32			39,053,068		0.22	(g)		0.32			0.27
	1.00		2.40			45,721,168		0.22	(f)		2.28			0.27
	1.00		5.08			28,355,614		0.20			4.95			0.27
	1.00		0.01			520,797		0.29			0.01			0.51
	1.00		0.01			480,917		0.32			0.01			0.51
	1.00		0.00	(e)		613,967		0.32			0.00	(e)		0.50
	1.00		0.01			2,667,326		0.29			0.01			0.51
	1.00		0.01			2,936,414		0.31			0.01			0.51
	1.00		0.10			3,892,404		0.45	(f)		0.13			0.52
	1.00		2.09			7,939,483		0.52	(f)		2.05			0.52
	1.00		4.75			7,199,661		0.51			4.64			0.52
	1.00		0.01			3,338,000		0.29			0.01			0.46
	1.00		0.01			5,021,450		0.31			0.01			0.46
	1.00		0.13			5,852,367		0.42	(f)		0.14			0.47
	1.00		2.14			10,888,362		0.47	(f)		2.08			0.47
	1.00		4.82			9,105,808		0.45			4.72			0.47
	1.00		0.01			1,526,992		0.29			0.01			0.71
	1.00		0.01			1,781,936		0.31			0.01			0.71
	1.00		0.04			2,569,511		0.52	(f)		0.04			0.72
	1.00		1.89			3,927,075		0.72	(f)		1.74			0.72
	1.00		4.56			1,901,561		0.70			4.46			0.72
	1.00		0.01			1,419,924		0.29			0.01			1.06
	1.00		0.01			1,088,239		0.31			0.01			1.06
	1.00		0.00	(e)		1,007,290		0.32			0.00	(e)		1.05

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 93

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Liquid Assets Money Market Fund
Class B
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Class C
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Agency
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Capital
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
E*Trade
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
January 8, 2009 (i) through February 28, 2009		1.00		—	(d)		—			—	(d)		—	(d)		—			—	(d)
Institutional Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.02%.

(g) Includes interest expense of 0.01%.

(h) Includes insurance expense of 0.01%.

(i) Commencement of offering of class of shares.

(j) Includes insurance expense of 0.03%.

SEE NOTES TO FINANCIAL STATEMENTS.

94 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	6,248		0.30	%		0.01	%		1.17	%
	1.00		0.02			9,102		0.33			0.01			1.17
	1.00		0.00	(e)		17,713		0.63	(f)		0.00	(e)		1.18
	1.00		1.71			34,781		0.99	(f)		1.57			1.19
	1.00		4.29			19,010		0.98	(g)		4.20			1.18
	1.00		0.01			398,734		0.30			0.01			1.17
	1.00		0.02			419,195		0.33			0.01			1.18
	1.00		0.00	(e)		420,552		0.59	(f)		0.00	(e)		1.18
	1.00		1.71			468,725		0.98	(h)		1.74			1.18
	1.00		4.29			616,746		0.98	(g)		4.17			1.18
	1.00		0.05			134,975		0.26			0.05			0.32
	1.00		0.09			415,248		0.26			0.08			0.33
	1.00		0.30			308,594		0.28	(f)		0.31			0.33
	1.00		2.43			451,480		0.27	(h)		2.42			0.33
	1.00		5.03			499,591		0.26			4.86			0.33
	1.00		0.13			2,985,462		0.18			0.13			0.22
	1.00		0.17			2,296,780		0.18			0.16			0.22
	1.00		0.40			3,953,966		0.19	(f)		0.39			0.23
	1.00		2.53			3,953,504		0.18	(f)		2.40			0.23
	1.00		5.14			2,441,114		0.16			4.94			0.23
	1.00		0.05			199,806		0.26			0.05			1.07
	1.00		0.06			187,244		0.29			0.05			1.07
	1.00		0.03			179,380		0.32			0.05			1.06
	1.00		0.06			1,761		1.03	(j)		0.21			1.09
	1.00		0.10			4,243,305		0.21			0.10			0.27
	1.00		0.14			2,183,936		0.21			0.13			0.27
	1.00		0.36			2,438,682		0.22	(f)		0.33			0.28
	1.00		2.49			2,047,234		0.22	(f)		2.36			0.28
	1.00		5.10			1,211,750		0.20			5.01			0.28

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 95

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Liquid Assets Money Market Fund (continued)
Investor
Year Ended February 29, 2012	$	1.00	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(b)		0.05			(0.05	)		—			(0.05	)
Morgan
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(b)		0.05			(0.05	)		—			(0.05	)
Premier
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(b)		0.05			(0.05	)		—			(0.05	)
Reserve
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)
Service
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)

(a) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(b) Amount rounds to less than $0.01.

(c) Amount rounds to less than 0.01%.

(d) Includes insurance expense of 0.02%.

(e) Includes interest expense of 0.01%.

(f) Includes insurance expense of 0.01%.

SEE NOTES TO FINANCIAL STATEMENTS.

96 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return			Net assets, end of period (000’s)		Net expenses (a)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	562,453		0.30	%		0.01	%		0.52	%
	1.00		0.02			491,592		0.33			0.01			0.52
	1.00		0.12			572,388		0.47	(d)		0.14			0.53
	1.00		2.17			714,135		0.52	(f)		2.16			0.53
	1.00		4.77			745,382		0.51			4.74			0.53
	1.00		0.01			2,975,898		0.30			0.01			0.62
	1.00		0.02			2,964,774		0.33			0.01			0.62
	1.00		0.09			3,141,289		0.49	(d)		0.09			0.63
	1.00		2.09			3,567,073		0.60	(f)		2.05			0.63
	1.00		4.69			3,322,087		0.60	(e)		4.57			0.63
	1.00		0.01			166,487		0.30			0.01			0.47
	1.00		0.02			231,302		0.33			0.01			0.47
	1.00		0.15			317,407		0.44	(d)		0.16			0.48
	1.00		2.23			660,906		0.46	(f)		2.27			0.48
	1.00		4.84			754,089		0.45			4.68			0.48
	1.00		0.01			249,909		0.30			0.01			0.72
	1.00		0.02			286,293		0.33			0.01			0.72
	1.00		0.05			380,945		0.57	(d)		0.07			0.73
	1.00		1.98			832,849		0.71	(f)		2.09			0.73
	1.00		4.57			1,951,990		0.71	(e)		4.48			0.73
	1.00		0.01			156,429		0.30			0.01			1.07
	1.00		0.02			216,160		0.33			0.01			1.07
	1.00		0.00	(b)		352,780		0.64	(d)		0.00	(c)		1.08
	1.00		1.62			768,490		1.07	(d)		1.43			1.09
	1.00		4.23			17		1.04			4.14			1.08

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 97

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
U.S. Government Money Market Fund
Agency
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Capital
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Direct
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 17, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Institutional Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)
Investor
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—			—
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Premier
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(d)		0.05			(0.05	)		—			(0.05	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.01%.

(g) Includes insurance expense of 0.02%.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

98 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	8,520,118		0.12	%		0.01	%		0.31	%
	1.00		0.02			7,720,013		0.24			0.00	(e)		0.31
	1.00		0.13			8,057,013		0.26			0.14			0.31
	1.00		1.81			12,778,607		0.27	(f)		1.60			0.32
	1.00		4.82			5,168,268		0.26			4.65			0.32
	1.00		0.01			33,517,276		0.12			0.01			0.21
	1.00		0.08			34,776,795		0.18			0.06			0.21
	1.00		0.21			38,504,450		0.17			0.22			0.21
	1.00		1.92			53,014,849		0.18	(g)		1.58			0.22
	1.00		4.92			15,643,602		0.16			4.64			0.21
	1.00		0.01			645,927		0.12			0.01			0.31
	1.00		0.02			377,821		0.24			0.00	(e)		0.31
	1.00		0.01			88,599		0.27			0.01			0.30
	1.00		0.01			10,402,935		0.12			0.01			0.26
	1.00		0.05			11,591,430		0.21			0.03			0.26
	1.00		0.18			19,839,937		0.21			0.18			0.26
	1.00		1.88			24,864,451		0.22	(g)		1.56			0.27
	1.00		4.88			7,023,964		0.20			4.58			0.26
	1.00		0.01			4,401,603		0.12			0.01			0.51
	1.00		0.02			3,266,727		0.24			0.00	(e)		0.51
	1.00		0.00			3,438,538		0.25			0.00	(e)		0.50
	1.00		0.01			1,931,164		0.13			0.01			0.61
	1.00		0.02			2,381,884		0.24			0.00	(e)		0.61
	1.00		0.01			2,307,416		0.41			0.01			0.61
	1.00		1.48			4,990,436		0.60	(f)		1.39			0.62
	1.00		4.48			3,356,978		0.59			4.38			0.62
	1.00		0.01			4,841,573		0.12			0.01			0.46
	1.00		0.02			4,769,530		0.24			0.00	(e)		0.46
	1.00		0.04			5,162,992		0.35			0.03			0.46
	1.00		1.62			3,389,001		0.46	(f)		1.47			0.47
	1.00		4.62			1,856,533		0.45			4.49			0.47

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 99

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
U.S. Government Money Market Fund (continued)
Reserve
Year Ended February 29, 2012	$	1.00	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)
Service
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—			—			—
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)

(a) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(b) Amount rounds to less than $0.01.

(c) Amount rounds to less than 0.01%.

(d) Includes insurance expense of 0.01%.

SEE NOTES TO FINANCIAL STATEMENTS.

100 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return			Net assets, end of period (000’s)		Net expenses (a)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	23,828		0.14	%		0.00	%(c)		0.71	%
	1.00		0.02			44,382		0.24			0.00	(c)		0.71
	1.00		0.00	(c)		65,425		0.43			0.00	(c)		0.71
	1.00		1.37			181,072		0.71	(d)		1.47			0.71
	1.00		4.36			280,327		0.70			4.30			0.72
	1.00		0.01			867,708		0.13			0.00	(c)		1.06
	1.00		0.02			561,970		0.24			0.00	(c)		1.06
	1.00		0.00			495,606		0.39			0.00	(c)		1.06
	1.00		1.04			597,506		1.00	(d)		0.44			1.07
	1.00		4.01			252		1.05			3.00			1.06

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 101

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
U.S. Treasury Plus Money Market Fund
Class B
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—			—
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Class C
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—			—
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Agency
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Direct
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 17, 2009 (h) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Institutional Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Investor
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.01%.

(g) Includes insurance expense of 0.02%.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

102 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.00	%(e)	$	515		0.09	%		0.00	%(e)		1.16	%
	1.00		0.01			617		0.21			0.00	(e)		1.16
	1.00		0.00			1,192		0.28	(f)		0.00	(e)		1.16
	1.00		0.58			1,814		0.69	(g)		0.46			1.17
	1.00		3.63			1,542		0.97			3.60			1.17
	1.00		0.00	(e)		189,206		0.09			0.00	(e)		1.16
	1.00		0.01			175,024		0.21			0.00	(e)		1.16
	1.00		0.00			91,807		0.30	(f)		0.00	(e)		1.17
	1.00		0.58			161,891		0.68	(g)		0.44			1.18
	1.00		3.63			93,532		0.97			3.21			1.17
	1.00		0.00	(e)		998,134		0.09			0.00	(e)		0.31
	1.00		0.01			2,052,542		0.21			0.00	(e)		0.31
	1.00		0.05			2,216,299		0.23	(f)		0.05			0.31
	1.00		1.05			2,824,679		0.28	(g)		0.72			0.33
	1.00		4.37			1,019,655		0.26			4.13			0.32
	1.00		0.00	(e)		2,070,205		0.08			0.00	(e)		0.31
	1.00		0.01			1,197,068		0.21			0.00	(e)		0.31
	1.00		0.00	(e)		916,720		0.18			0.00	(e)		0.30
	1.00		0.00	(e)		6,946,570		0.08			0.00	(e)		0.26
	1.00		0.02			5,796,795		0.20			0.01			0.26
	1.00		0.08			7,994,678		0.20	(f)		0.09			0.26
	1.00		1.12			12,044,908		0.22	(g)		0.73			0.28
	1.00		4.43			6,073,940		0.20			3.92			0.27
	1.00		0.00	(e)		381,781		0.08			0.00	(e)		0.51
	1.00		0.01			461,529		0.21			0.00	(e)		0.51
	1.00		0.00	(e)		861,277		0.29	(f)		0.00	(e)		0.52
	1.00		0.84			1,126,084		0.49	(f)		0.84			0.52
	1.00		4.11			1,370,557		0.51			4.11			0.52
	1.00		0.00	(e)		554,548		0.10			0.00	(e)		0.61
	1.00		0.01			875,074		0.21			0.00	(e)		0.61
	1.00		0.00	(e)		981,399		0.29	(f)		0.00	(e)		0.61
	1.00		0.79			1,648,642		0.53	(g)		0.75			0.62
	1.00		4.02			1,939,331		0.59			3.95			0.62

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 103

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
U.S. Treasury Plus Money Market Fund (continued)
Premier
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Reserve
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Service
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (h) through February 28, 2010		1.00		—			—	(d)		—	(d)		—			—			—

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.01%.

(g) Includes insurance expense of 0.02%.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

104 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.00	%(e)	$	618,249		0.09	%		0.00	%(e)		0.46	%
	1.00		0.01			720,085		0.21			0.00	(e)		0.46
	1.00		0.00	(e)		860,500		0.28	(f)		0.00	(e)		0.46
	1.00		0.88			1,393,368		0.45	(g)		0.77			0.47
	1.00		4.17			1,132,622		0.45			4.07			0.47
	1.00		0.00	(e)		998,994		0.09			0.00	(e)		0.71
	1.00		0.01			1,074,397		0.21			0.00	(e)		0.71
	1.00		0.00	(e)		1,223,618		0.29	(f)		0.00	(e)		0.71
	1.00		0.72			2,020,603		0.57	(g)		0.54			0.73
	1.00		3.91			1,231,644		0.70			3.85			0.72
	1.00		0.00	(e)		100		0.09			0.00	(e)		1.06
	1.00		0.01			100		0.21			0.00	(e)		1.06
	1.00		0.00			100		0.21			0.00	(e)		1.05

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 105

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Federal Money Market Fund
Agency
Year Ended February 29, 2012	$	1.00	$	—		$	—	(b)	$	—	(b)	$	—	(b)	$	—		$	—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(b)		0.05			(0.05	)		—			(0.05	)
Institutional Class
Year Ended February 29, 2012		1.00		—			—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.05			—	(b)		0.05			(0.05	)		—			(0.05	)
Morgan
Year Ended February 29, 2012		1.00		—			—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)
Premier
Year Ended February 29, 2012		1.00		—			—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)
Reserve
Year Ended February 29, 2012		1.00		—			—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(b)		0.04			(0.04	)		—			(0.04	)

(a) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(b) Amount rounds to less than $0.01.

(c) Amount rounds to less than 0.01%.

(d) Includes insurance expense of 0.02%.

(e) Includes insurance expense of 0.01%.

SEE NOTES TO FINANCIAL STATEMENTS.

106 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return			Net assets, end of period (000’s)		Net expenses (a)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.00	%(c)	$	786,165		0.11	%		0.00	%(c)		0.33	%
	1.00		0.02			1,070,681		0.22			0.00	(c)		0.31
	1.00		0.11			1,371,397		0.26			0.11			0.31
	1.00		1.76			1,583,121		0.28	(d)		1.50			0.32
	1.00		4.77			570,445		0.26			4.47			0.32
	1.00		0.00	(c)		4,325,820		0.10			0.00	(c)		0.28
	1.00		0.04			5,169,215		0.21			0.02			0.26
	1.00		0.16			9,147,745		0.21	(e)		0.18			0.26
	1.00		1.82			18,216,366		0.21	(e)		1.70			0.27
	1.00		4.83			13,536,697		0.20			4.64			0.27
	1.00		0.00	(c)		140,119		0.11			0.00	(c)		0.63
	1.00		0.02			260,943		0.22			0.00	(c)		0.61
	1.00		0.00	(c)		171,067		0.38	(e)		0.00	(c)		0.61
	1.00		1.42			271,793		0.60	(e)		1.42			0.62
	1.00		4.42			295,739		0.59			4.29			0.62
	1.00		0.00	(c)		435,501		0.11			0.00	(c)		0.48
	1.00		0.02			669,328		0.22			0.00	(c)		0.46
	1.00		0.02			872,798		0.37	(e)		0.03			0.46
	1.00		1.57			1,648,481		0.46	(e)		1.47			0.47
	1.00		4.57			1,128,873		0.45			4.41			0.47
	1.00		0.00	(c)		11,368		0.09			0.01			0.73
	1.00		0.02			6,455		0.23			0.00	(c)		0.71
	1.00		0.00	(c)		107,259		0.38			0.00	(c)		0.71
	1.00		1.32			74,937		0.70	(d)		1.06			0.72
	1.00		4.31			28,485		0.70			4.08			0.72

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 107

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
100% U.S. Treasury Securities Money Market Fund
Agency
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Capital
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Institutional Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—			—	(d)		—	(d)		—			—			—
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Premier
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—			—	(d)		—	(d)		—			—			—
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Reserve
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—			—			—
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.04			—	(d)		0.04			(0.04	)		—			(0.04	)
Service
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 1, 2009 (f) through February 28, 2010		1.00		—			—	(d)		—	(d)		—			—			—

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Amount rounds to less than 0.01%.

(f) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

108 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

Ratios/Supplemental data
		Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.00	%(e)	$	1,914,902		0.06	%		0.00	%(e)		0.31	%
	1.00		0.01			1,828,609		0.16			0.00	(e)		0.31
	1.00		0.00	(e)		1,522,013		0.19			0.00	(e)		0.30
	1.00		1.03			2,172,668		0.25			0.97			0.31
	1.00		4.13			1,306,725		0.26			3.94			0.32
	1.00		0.00	(e)		8,254,673		0.05			0.00	(e)		0.21
	1.00		0.01			5,104,707		0.16			0.00	(e)		0.21
	1.00		0.05			6,104,553		0.14			0.05			0.20
	1.00		1.13			7,615,191		0.16			1.12			0.21
	1.00		4.24			7,761,701		0.16			3.75			0.22
	1.00		0.00	(e)		7,246,605		0.06			0.00	(e)		0.26
	1.00		0.01			6,677,266		0.16			0.00	(e)		0.26
	1.00		0.02			4,975,391		0.17			0.03			0.25
	1.00		1.09			12,766,575		0.20			1.06			0.26
	1.00		4.20			13,006,895		0.20			3.75			0.27
	1.00		0.00	(e)		1,512,492		0.05			0.00	(e)		0.61
	1.00		0.01			1,391,343		0.16			0.00	(e)		0.61
	1.00		0.00			1,313,218		0.19			0.00	(e)		0.60
	1.00		0.77			2,103,069		0.53			0.75			0.61
	1.00		3.79			2,359,306		0.59			3.67			0.62
	1.00		0.00	(e)		1,482,938		0.06			0.00	(e)		0.46
	1.00		0.01			1,760,070		0.16			0.00	(e)		0.46
	1.00		0.00			1,974,357		0.19			0.00	(e)		0.45
	1.00		0.87			3,629,348		0.41			0.80			0.46
	1.00		3.94			2,352,252		0.45			3.74			0.47
	1.00		0.00	(e)		69,684		0.05			0.01			0.71
	1.00		0.01			46,241		0.15			0.00	(e)		0.71
	1.00		0.00			309,357		0.22			0.00	(e)		0.70
	1.00		0.68			4,920,380		0.59			0.63			0.71
	1.00		3.68			3,763,803		0.70			3.33			0.72
	1.00		0.00	(e)		100		0.06			0.00	(e)		1.06
	1.00		0.01			100		0.16			0.00	(e)		1.06
	1.00		0.00			100		0.16			0.00	(e)		1.05

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 109

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Tax Free Money Market Fund
Agency
Year Ended February 29, 2012	$	1.00	$	—	(d)	$	—	(d)	$	—	(d)	$	—	(d)	$	—		$	—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Direct
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
July 17, 2009 (g) through February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Eagle Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
May 10, 2010 (g) through February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Institutional Class
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.02			—	(d)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Morgan
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Premier
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)
Reserve
Year Ended February 29, 2012		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2011		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)		—	(d)
Year Ended February 28, 2010		1.00		—	(d)		—	(d)		—	(d)		—	(d)		—			—	(d)
Year Ended February 28, 2009		1.00		0.01			—	(d)		0.01			(0.01	)		—			(0.01	)
Year Ended February 28, 2008		1.00		0.03			—	(d)		0.03			(0.03	)		—			(0.03	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(d) Amount rounds to less than $0.01.

(e) Includes insurance expense of 0.02%.

(f) Amount rounds to less than 0.01%.

(g) Commencement of offering of class of shares.

(h) Includes insurance expense of 0.03%.

SEE NOTES TO FINANCIAL STATEMENTS.

110 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.01	%	$	693,197		0.21	%		0.01	%		0.31	%
	1.00		0.08			791,812		0.26			0.04			0.31
	1.00		0.16			1,062,442		0.28	(e)		0.17			0.32
	1.00		1.64			1,412,071		0.28	(e)		1.57			0.33
	1.00		3.30			535,484		0.26			3.21			0.32
	1.00		0.01			100		0.22			0.00	(f)		0.31
	1.00		0.05			100		0.29			0.01			0.31
	1.00		0.02			100		0.30	(e)		0.04			0.31
	1.00		0.02			1,028,433		0.21			0.01			0.71
	1.00		0.03			1,131,461		0.36			0.01			0.87
	1.00		0.03			6,362,480		0.19			0.03			0.26
	1.00		0.13			10,925,258		0.21			0.09			0.26
	1.00		0.22			11,805,037		0.23	(e)		0.23			0.28
	1.00		1.70			13,741,504		0.22	(e)		1.72			0.27
	1.00		3.37			12,493,562		0.20			3.27			0.27
	1.00		0.01			422,534		0.22			0.00	(f)		0.61
	1.00		0.03			535,623		0.30			0.00	(f)		0.61
	1.00		0.02			538,168		0.45	(h)		0.03			0.63
	1.00		1.30			920,327		0.61	(e)		1.25			0.62
	1.00		2.96			758,385		0.59			2.93			0.62
	1.00		0.01			2,865,171		0.22			0.00	(f)		0.46
	1.00		0.03			2,710,731		0.30			0.00	(f)		0.46
	1.00		0.05			3,386,375		0.41	(h)		0.06			0.48
	1.00		1.45			5,420,621		0.47	(e)		1.40			0.47
	1.00		3.11			4,079,130		0.45			2.96			0.47
	1.00		0.01			7,340,658		0.22			0.00	(f)		0.71
	1.00		0.03			6,317,759		0.30			0.00	(f)		0.71
	1.00		0.00	(f)		6,223,699		0.45	(e)		0.01			0.73
	1.00		1.19			8,490,457		0.72	(e)		1.17			0.72
	1.00		2.85			7,246,804		0.70			2.75			0.72

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 111

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Municipal Money Market Fund
Agency
Year Ended February 29, 2012	$	1.00	$	—	(b)	$	—	(b)	$	—	(b)	$	—	(b)	$	—		$	—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—	(b)		(0.03	)
E*Trade
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—	(b)		(0.03	)
Institutional Class
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—			(0.02	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—	(b)		(0.03	)
Morgan
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—	(b)		(0.03	)
Premier
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.02			—	(b)		0.02			(0.02	)		—	(b)		(0.02	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—	(b)		(0.03	)
Reserve
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.03			—	(b)		0.03			(0.03	)		—	(b)		(0.03	)
Service
Year Ended February 29, 2012		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2011		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
Year Ended February 28, 2010		1.00		—	(b)		—	(b)		—	(b)		—	(b)		—			—	(b)
Year Ended February 28, 2009		1.00		0.01			—	(b)		0.01			(0.01	)		—			(0.01	)
Year Ended February 29, 2008		1.00		0.02			—	(b)		0.02			(0.02	)		—	(b)		(0.02	)

(a) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(b) Amount rounds to less than $0.01.

(c) Includes insurance expense of 0.01%.

(d) Includes insurance expense of 0.02%.

(e) Amount rounds to less than 0.01%.

(f) Includes insurance expense of 0.03%.

SEE NOTES TO FINANCIAL STATEMENTS.

112 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return			Net assets, end of period (000’s)		Net expenses (a)			Net investment income(loss)			Expenses without waivers, reimbursements and earnings credits
$	1.00		0.07	%	$	121,010		0.26	%		0.06	%		0.32	%
	1.00		0.13			31,324		0.26			0.12			0.32
	1.00		0.37			129,810		0.27	(c)		0.28			0.33
	1.00		1.78			72,466		0.28	(d)		1.69			0.34
	1.00		3.33			19,577		0.26			3.20			0.34
	1.00		0.01			1,736,816		0.31			0.01			1.07
	1.00		0.02			1,696,495		0.36			0.01			1.07
	1.00		0.01			1,557,507		0.63	(d)		0.01			1.09
	1.00		1.06			1,370,189		0.99	(d)		1.08			1.09
	1.00		2.57			1,603,907		1.00			2.55			1.09
	1.00		0.11			548,856		0.21			0.12			0.27
	1.00		0.18			942,748		0.21			0.17			0.27
	1.00		0.42			1,580,078		0.22	(c)		0.34			0.28
	1.00		1.84			465,898		0.22	(d)		1.83			0.29
	1.00		3.39			647,885		0.20			3.37			0.29
	1.00		0.00	(e)		334,195		0.32			0.00	(e)		0.62
	1.00		0.01			320,868		0.37			0.00	(e)		0.62
	1.00		0.11			351,200		0.54	(d)		0.12			0.64
	1.00		1.45			430,604		0.61	(d)		1.41			0.64
	1.00		2.99			313,132		0.59			2.94			0.64
	1.00		0.00	(e)		78,792		0.32			0.00	(e)		0.47
	1.00		0.01			113,158		0.37			0.00	(e)		0.47
	1.00		0.20			165,573		0.44	(c)		0.14			0.48
	1.00		1.59			76,975		0.47	(d)		1.60			0.49
	1.00		3.13			126,250		0.45			3.25			0.49
	1.00		0.00	(e)		54,714		0.32			0.00	(e)		0.72
	1.00		0.01			59,602		0.37			0.00	(e)		0.72
	1.00		0.06			125,114		0.59	(d)		0.06			0.74
	1.00		1.34			137,957		0.71	(c)		1.36			0.74
	1.00		2.87			225,916		0.70			2.85			0.74
	1.00		0.00	(e)		273,172		0.32			0.00	(e)		1.07
	1.00		0.01			313,757		0.37			0.00	(e)		1.07
	1.00		0.00	(e)		414,008		0.49	(c)		0.00	(e)		1.07
	1.00		1.01			89,126		1.03	(f)		0.78			1.10
	1.00		2.53			16		1.04			2.49			1.09

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 113

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 8 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

	Classes Offered	Trust	Diversified/Non-Diversified
Prime Money Market Fund	Class B, Class C, Agency, Capital, Cash Management, Direct, Eagle Class, Institutional Class, Investor, Morgan, Premier, Reserve and Service	JPM I	Diversified
Liquid Assets Money Market Fund	Class B, Class C, Agency, Capital, E*Trade, Institutional Class, Investor, Morgan, Premier, Reserve and Service	JPM II	Diversified
U.S. Government Money Market Fund	Agency, Capital, Direct, Eagle Class*, Institutional Class, Investor, Morgan, Premier, Reserve and Service	JPM II	Diversified
U.S. Treasury Plus Money Market Fund	Class B, Class C, Agency, Direct, Eagle Class*, Institutional Class, Investor, Morgan, Premier, Reserve and Service	JPM II	Diversified
Federal Money Market Fund	Agency, Institutional Class, Morgan, Premier and Reserve	JPM I	Diversified
100% U.S. Treasury Securities Money Market Fund	Agency, Capital, Institutional Class, Morgan, Premier, Reserve and Service	JPM I	Diversified
Tax Free Money Market Fund	Agency, Direct, Eagle Class, Institutional Class, Morgan, Premier and Reserve	JPM I	Diversified
Municipal Money Market Fund	Agency, E*Trade, Institutional Class, Morgan, Premier, Reserve and Service	JPM II	Diversified

The investment objective of Prime Money Market Fund is to provide the highest possible level of current income while still maintaining liquidity and preserving capital.

The investment objective of Liquid Assets Money Market Fund and U.S. Treasury Plus Money Market Fund is to seek current income with liquidity and stability of principal.

The investment objective of U.S. Government Money Market Fund is to seek high current income with liquidity and stability of principal.

The investment objective of Federal Money Market Fund is to provide current income while still preserving capital and maintaining liquidity.

The investment objective of 100% U.S. Treasury Securities Money Market Fund is to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal.

The investment objective of Tax Free Money Market Fund is to provide the highest level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity.

The investment objective of Municipal Money Market Fund is to seek as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal.

* Eagle Class Shares commenced operations on March 1, 2012, for U.S. Government Money Market Fund and U.S. Treasury Plus Money Market Fund.

Eagle Class Shares commenced operations on May 10, 2010, for Prime Money Market Fund and Tax Free Money Market Fund.

Effective November 1, 2009, Class B Shares of the Prime Money Market Fund, Liquid Assets Money Market Fund and U.S. Treasury Plus Money Market Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Morgan Shares.

Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Morgan Shares after eight years. No sales charges are assessed with respect to the Agency, Capital, Cash Management, Direct, Eagle Class, E*Trade, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A. Valuation of Investments — Each Fund has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act provided that certain conditions are met, including that the Fund’s Board of Trustees continues to believe that the amortized cost valuation method

114 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

fairly reflects the market based net asset value per share of the Fund. This involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price each Fund would receive if it sold the security. The market value of securities in the Funds can be expected to vary inversely with changes in prevailing interest rates.

The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.

Ÿ Level 1 — quoted prices in active markets for identical securities

Ÿ Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Ÿ Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.

The following is a summary of the inputs used as of February 29, 2012, in valuing the Funds’ assets and liabilities carried at amortized cost which approximates fair value (amounts in thousands):

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Prime Money Market Fund
Total Investments in Securities (a)	$	—	$	124,505,892	$	—	$	124,505,892
Liquid Assets Money Market Fund
Total Investments in Securities (a)	$	—	$	12,262,789	$	—	$	12,262,789
U.S. Government Money Market Fund
Total Investments in Securities (a)	$	—	$	68,146,560	$	—	$	68,146,560
U.S. Treasury Plus Money Market Fund
Total Investments in Securities (a)	$	—	$	13,034,963	$	—	$	13,034,963
Federal Money Market Fund
Total Investments in Securities (a)	$	—	$	5,694,805	$	—	$	5,694,805
100% U.S. Treasury Securities Money Market Fund
Total Investments in Securities (a)	$	—	$	23,453,713	$	—	$	23,453,713
Tax Free Money Market Fund
Total Investments in Securities (a)	$	—	$	18,717,108	$	—	$	18,717,108
Municipal Money Market Fund
Total Investments in Securities (a)	$	—	$	3,150,306	$	—	$	3,150,306

(a) All portfolio holdings designated as Level 2 are disclosed individually in the Schedules of Portfolio Investments (“SOIs”). Please refer to the SOIs for specifics of the major categories of portfolio holdings.

There were no transfers between Levels 1 and 2 during the year ended February 29, 2012.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 115

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

The following is the value and percentage of net assets of illiquid securities as of February 29, 2012 (amounts in thousands):

	Value		Percentage
Prime Money Market Fund	$	4,655,000		3.8	%
Liquid Assets Money Market Fund		435,000		3.6
U.S. Government Money Market Fund		1,000,000		1.5
Tax Free Money Market Fund		28,920		0.2
Municipal Money Market Fund		135,790		4.3

C. Repurchase Agreements — The Funds may enter into repurchase agreement transactions with institutions that meet the advisor’s credit guidelines. Each repurchase agreement is valued at amortized cost. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited.

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts.

E. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of a Trust are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

G. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared daily and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

	Paid-in-Capital			Accumulated Undistributed/ (Overdistributed) Net Investment Income			Accumulated Net Realized Gain (Loss) on Investments
Prime Money Market Fund	$	2		$	—		$	(2	)
Liquid Assets Money Market Fund		(1	)		1			—
U.S. Treasury Plus Money Market Fund		(115	)		121			(6	)
Federal Money Market Fund		(1	)		—			1
100% U.S. Treasury Securities Money Market Fund		1			(1	)		—
Tax Free Money Market Fund		(2	)		2			—
Municipal Money Market Fund		1			—	(a)		(1	)

(a) Amount rounds to less than $1,000.

The reclassifications for the Funds relate primarily to prior year undistributed income true up (Prime Money Market, Liquid Assets Money Market Fund, 100% U.S. Treasury Securities Money Market Fund, Tax Free Money Market Fund and Municipal Money Market Fund), prior year undistributed gain (loss) true up (Prime Money Market Fund, Federal Money Market Fund and Municipal Money Market Fund) and taxable overdistributions (U.S. Treasury Plus Money Market Fund).

116 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). The Advisor supervises the investments of each Fund and for such services is paid a fee. The Advisor’s fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is 0.08%.

The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.10% of the first $100 billion of the average daily net assets of all money market funds in the J.P. Morgan Funds Complex and 0.05% of the average daily net assets in excess of $100 billion of all such funds. For the year ended February 29, 2012, the annual effective rate was 0.07% of each Fund’s average daily net assets.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class B, Class C, Cash Management, Eagle Class, E*Trade, Morgan, Reserve, and Service Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Agency, Capital, Direct, Institutional Class, Investor and Premier Shares do not participate in the Distribution Plan. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

	Class B			Class C			Cash Management			Eagle Class			E*Trade			Morgan			Reserve			Service
Prime Money Market Fund		0.75	%		0.75	%		0.50	%		0.25	%		n/a			n/a			0.25	%		0.60	%
Liquid Assets Money Market Fund		0.75			0.75			n/a			n/a			0.60	%		0.10	%		0.25			0.60
U.S. Government Money Market Fund		n/a			n/a			n/a			n/a			n/a			0.10			0.25			0.60
U.S. Treasury Plus Money Market Fund		0.75			0.75			n/a			n/a			n/a			0.10			0.25			0.60
Federal Money Market Fund		n/a			n/a			n/a			n/a			n/a			0.10			0.25			n/a
100% U.S. Treasury Securities Money Market Fund		n/a			n/a			n/a			n/a			n/a			0.10			0.25			0.60
Tax Free Money Market Fund		n/a			n/a			n/a			0.25			n/a			0.10			0.25			n/a
Municipal Money Market Fund		n/a			n/a			n/a			n/a			0.60			0.10			0.25			0.60

The Distributor waived Distribution fees as outlined in Note 3.F.

In addition, the Distributor is entitled to receive the CDSC from redemptions of Class B and Class C Shares. For the year ended February 29, 2012, the Distributor retained the following amounts (in thousands):

	CDSC
Prime Money Market Fund	$	13
Liquid Assets Money Market Fund		16
U.S. Treasury Plus Money Market Fund		1

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 117

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	Class B			Class C			Agency			Capital			Cash Management			Direct			Eagle Class
Prime Money Market Fund		0.25	%		0.25	%		0.15	%		0.05	%		0.30	%		0.15	%		0.30	%
Liquid Assets Money Market Fund		0.25			0.25			0.15			0.05			n/a			n/a			n/a
U.S. Government Money Market Fund		n/a			n/a			0.15			0.05			n/a			0.15			n/a
U.S. Treasury Plus Money Market Fund		0.25			0.25			0.15			n/a			n/a			0.15			n/a
Federal Money Market Fund		n/a			n/a			0.15			n/a			n/a			n/a			n/a
100% U.S. Treasury Securities Money Market Fund		n/a			n/a			0.15			0.05			n/a			n/a			n/a
Tax Free Money Market Fund		n/a			n/a			0.15			n/a			n/a			0.15			0.30
Municipal Money Market Fund		n/a			n/a			0.15			n/a			n/a			n/a			n/a

	E*Trade			Institutional Class			Investor			Morgan			Premier			Reserve			Service
Prime Money Market Fund		n/a			0.10	%		0.35	%		0.35	%		0.30	%		0.30	%		0.30	%
Liquid Assets Money Market Fund		0.30	%		0.10			0.35			0.35			0.30			0.30			0.30
U.S. Government Money Market Fund		n/a			0.10			0.35			0.35			0.30			0.30			0.30
U.S. Treasury Plus Money Market Fund		n/a			0.10			0.35			0.35			0.30			0.30			0.30
Federal Money Market Fund		n/a			0.10			n/a			0.35			0.30			0.30			n/a
100% U.S. Treasury Securities Money Market Fund		n/a			0.10			n/a			0.35			0.30			0.30			0.30
Tax Free Money Market Fund		n/a			0.10			n/a			0.35			0.30			0.30			n/a
Municipal Money Market Fund		0.30			0.10			n/a			0.35			0.30			0.30			0.30

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB, an affiliate of the Funds, provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class B			Class C			Agency			Capital			Cash Management			Direct			Eagle Class
Prime Money Market Fund		0.97	%		0.97	%		0.26	%		0.18	%		0.96	%		0.30	%		0.70	%
Liquid Assets Money Market Fund		0.97			0.97			0.26			0.18			n/a			n/a			n/a
U.S. Government Money Market Fund		n/a			n/a			0.26			0.18			n/a			0.30			n/a
U.S. Treasury Plus Money Market Fund		0.97			0.97			0.26			n/a			n/a			0.30			n/a
Federal Money Market Fund		n/a			n/a			0.26			n/a			n/a			n/a			n/a
100% U.S. Treasury Securities Money Market Fund		n/a			n/a			0.26			0.18			n/a			n/a			n/a
Tax Free Money Market Fund		n/a			n/a			0.26			n/a			n/a			0.30			0.70
Municipal Money Market Fund		n/a			n/a			0.26			n/a			n/a			n/a			n/a

118 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	E*Trade			Institutional Class			Investor			Morgan			Premier			Reserve			Service
Prime Money Market Fund		n/a			0.21	%		0.51	%		0.52	%		0.45	%		0.70	%		1.05	%
Liquid Assets Money Market Fund		1.00	%		0.21			0.51			0.59			0.45			0.70			1.05
U.S. Government Money Market Fund		n/a			0.21			0.51			0.59			0.45			0.70			1.05
U.S. Treasury Plus Money Market Fund		n/a			0.21			0.51			0.59			0.45			0.70			1.05
Federal Money Market Fund		n/a			0.21			n/a			0.59			0.45			0.70			n/a
100% U.S. Treasury Securities Money Market Fund		n/a			0.21			n/a			0.59			0.45			0.70			1.05
Tax Free Money Market Fund		n/a			0.21			n/a			0.59			0.45			0.70			n/a
Municipal Money Market Fund		1.00			0.21			n/a			0.59			0.45			0.70			1.05

The expense limitation agreements were in effect for the year ended February 29, 2012. The contractual expense limitation percentages in the table above are in place until at least June 30, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended February 29, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.

For the year ended February 29, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and/or reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursements
Prime Money Market Fund	$	—	$	—	$	39,893	$	39,893	$	—
Liquid Assets Money Market Fund		—		—		4,732		4,732		—
U.S. Government Money Market Fund		26,061		115		18,566		44,742		—
U.S. Treasury Plus Money Market Fund		8,976		1,358		5,131		15,465		—
Federal Money Market Fund		3,666		797		3,665		8,128		119
100% U.S. Treasury Securities Money Market Fund		14,236		6,045		6,756		27,037		—
Tax Free Money Market Fund		501		—		5,513		6,014		—
Municipal Money Market Fund		—		—		1,799		1,799		—

	Voluntary Waivers
	Shareholder Servicing		Distribution		Total
Prime Money Market Fund	$	20,847	$	17,286	$	38,133
Liquid Assets Money Market Fund		7,995		8,542		16,537
U.S. Government Money Market Fund		57,342		6,398		63,740
U.S. Treasury Plus Money Market Fund		16,387		4,757		21,144
Federal Money Market Fund		4,358		237		4,595
100% U.S. Treasury Securities Money Market Fund		16,787		1,655		18,442
Tax Free Money Market Fund		25,359		19,052		44,411
Municipal Money Market Fund		2,614		12,067		14,681

G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 29, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.

The Funds may use related party broker-dealers. For the year ended February 29, 2012, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Advisor.

The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 119

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

4. Class Specific Expenses

The Funds’ class specific expenses for the year ended February 29, 2012 were as follows (amounts in thousands):

	Distribution		Shareholder Servicing
Prime Money Market Fund
Class B	$	25	$	8
Class C		96		32
Agency		—		15,425
Capital		—		34,229
Cash Management		2,683		1,610
Direct		—		2,176
Eagle Class		2,474		2,969
Institutional Class		—		28,913
Investor		—		1,999
Morgan		—		9,695
Premier		—		10,471
Reserve		4,102		4,923
Service		7,952		3,976
	$	17,332	$	116,426
Liquid Assets Money Market Fund
Class B	$	56	$	19
Class C		2,962		987
Agency		—		327
Capital		—		1,213
E*Trade		1,173		587
Institutional Class		—		2,650
Investor		—		1,864
Morgan		2,939		10,287
Premier		—		477
Reserve		691		829
Service		1,102		551
	$	8,923	$	19,791
U.S. Government Money Market Fund
Agency	$	—	$	11,397
Capital		—		16,354
Direct		—		797
Institutional Class		—		10,589
Investor		—		15,371
Morgan		2,189		7,660
Premier		—		13,895
Reserve		92		111
Service		4,180		2,090
	$	6,461	$	78,264

120 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Distribution			Shareholder Servicing
U.S. Treasury Plus Money Market Fund
Agency	$	—		$	2,213
Class B		4			1
Class C		1,378			459
Direct		—			2,819
Institutional Class		—			7,091
Investor		—			1,563
Morgan		705			2,468
Premier		—			1,897
Reserve		2,688			3,226
Service		1			—	(a)
	$	4,776		$	21,737
Federal Money Market Fund
Agency	$	—		$	1,429
Institutional Class		—			4,397
Morgan		210			735
Premier		—			1,484
Reserve		27			32
	$	237		$	8,077
100% U.S. Treasury Securities Money Market Fund
Agency	$	—		$	2,514
Capital		—			3,717
Institutional Class		—			7,204
Morgan		1,527			5,344
Premier		—			4,610
Reserve		128			154
Service		—	(a)		—	(a)
	$	1,655		$	23,543
Tax Free Money Market Fund
Agency	$	—		$	1,170
Direct		—			—	(a)
Eagle Class		2,658			3,190
Institutional Class		—			8,554
Morgan		437			1,530
Premier		—			7,460
Reserve		15,957			19,148
	$	19,052		$	41,052
Municipal Money Market Fund
Agency	$	—		$	122
E*Trade		9,969			4,984
Institutional Class		—			673
Morgan		306			1,072
Premier		—			303
Reserve		154			184
Service		1,704			852
	$	12,133		$	8,190

(a) Amount rounds to less than $1,000.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 121

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

5. Federal Income Tax Matters

The tax character of distributions paid during the fiscal year ended February 29, 2012 was as follows (amounts in thousands):

	Total Distributions Paid From:
	Ordinary Income		Long Term Capital Gains		Tax Exempt Income		Total Distributions Paid
Prime Money Market Fund	$	113,068	$	—	$	—	$	113,068
Liquid Assets Money Market Fund		6,641		—		—		6,641
U.S. Government Money Market Fund		6,433		—		—		6,433
U.S. Treasury Plus Money Market Fund		178		—		—		178
Federal Money Market Fund		118		—		—		118
100% U.S. Treasury Securities Money Market Fund		340		—		—		340
Tax Free Money Market Fund		—		—		4,092		4,092
Municipal Money Market Fund		—		—		1,045		1,045

The tax character of distributions paid during the fiscal year ended February, 28, 2011 was as follows (amounts in thousands):

	Total Distributions Paid From:
	Ordinary Income		Net Long Term Capital Gains		Tax Exempt Income		Total Distributions Paid
Prime Money Market Fund	$	160,997	$	—	$	—	$	160,997
Liquid Assets Money Market Fund		7,957		—		—		7,957
U.S. Government Money Market Fund		41,166		1		—		41,167
U.S. Treasury Plus Money Market Fund		2,575		—		—		2,575
Federal Money Market Fund		3,382		135		—		3,517
100% U.S. Treasury Securities Money Market Fund		2,435		—		—		2,435
Tax Free Money Market Fund		2,697		2,063		15,458		20,218
Municipal Money Market Fund		74		—		2,801		2,875

At February 29, 2012, the components of net assets (excluding Paid-in-Capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover)			Current Distributable Tax Exempt Income
Prime Money Market Fund	$	13,355	$	—		$	—
Liquid Assets Money Market Fund		604		—			—
U.S. Government Money Market Fund		392		—			—
Federal Money Market Fund		54		—			—
100% U.S. Treasury Securities Money Market Fund		268		—			—
Tax Free Money Market Fund		614		247			1,307
Municipal Money Market Fund		—		(410	)		71

For the Funds, the cumulative timing differences primarily consist of Trustee deferred compensation, distributions payable (Prime Money Market Fund, Liquid Assets Money Market Fund, U.S. Government Money Market Fund, Tax Free Money Market Fund and Municipal Money Market Fund) and post-October loss deferrals (100% U.S. Treasury Securities Money Market Fund).

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of February 29, 2012, the Funds did not have post-enactment net capital loss carryforwards.

122 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

As of February 29, 2012, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

	2019
Municipal Money Market Fund	$	410
During the year ended February 29, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):

Municipal Money Market Fund $  92

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 29, 2012, the following Fund deferred to March 1, 2012 post-October capital losses of (amounts in thousands):

100% U.S. Treasury Securities Money Market Fund $  12

6. Borrowings

The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.

As of February 29, 2012, the Liquid Assets Money Market Fund had no outstanding loans to another fund. Average loans for the year ended February 29, 2012, were as follows (amounts in thousands):

	Average Loans		Average Number of Days Outstanding		Interest Earned
Liquid Assets Money Market Fund	$	11,295		1	$	1

Interest earned, if any, as a result of lending money to another fund as of February 29, 2012 is included in Income from interfund lending (net) in the Statements of Operations.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 29, 2012, or at any time during the year then ended.

Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ outstanding shares for Federal Money Market Fund, 100% U.S. Treasury Securities Money Market Fund and Tax Free Money Market Fund.

In addition, Liquid Assets Money Market Fund, Municipal Money Market Fund and Tax Free Money Market Fund each have a shareholder or shareholders, which are accounts maintained by a financial intermediaries on behalf of its clients, that own significant portions of the Funds’ outstanding shares.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 123

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Significant shareholder transactions, if any, may impact the Funds’ performance.

The Municipal Money Market Fund and Tax Free Money Market Fund invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. These securities generally have features that preserve their eligibility for investment under Rule 2a-7 under the 1940 Act without relying on the ratings or solvency of such bond insurers. The value of these investments may be impacted by changes to bond insurers’ ratings and the Municipal Money Market Fund’s and Tax Free Money Market Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

The profitability of banks depends largely on the availability and cost of funds, which can change depending upon economic conditions. Banks are also exposed to losses if borrowers cannot repay their loans.

124 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan Prime Money Market Fund, JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax Free Money Market Fund and JPMorgan Municipal Money Market Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Prime Money Market Fund, JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax Free Money Market Fund and JPMorgan Municipal Money Market Fund (hereafter referred to as the “Fund”) at February 29, 2012, the results of their operations for the year ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

April 27, 2012

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 125

TRUSTEES

(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987.	Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000).	154	None.
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	154	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present).
Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999).	154	Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	154	None.
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	154	Director, Center for Communication, Hearing, and Deafness (1990-present).
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	154	Trustee, Carleton College (2003-present).
William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	154	Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	154	Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010).
Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987.	Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002).	154	Trustee, Morgan Stanley Funds (107 portfolios) (1992-present).

126 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	154	Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	154	None.
Interested Trustees
Frankie D. Hughes** (1952), Trustee of Trusts since 2008.	President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present).	154	Trustee, The Victory Portfolios (2000-2008).
Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998.	Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998).	154	Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present).

(1) Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012.

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (154 funds).

   * Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds.

  ** Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc.

*** Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 127

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trusts (Since)	Principal Occupations During Past 5 Years
Patricia A. Maleski (1960), President and Principal Executive Officer (2010)	Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001.
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010)	Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Paul L. Gulinello (1950), AML Compliance Officer (2005)	Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011.
Carmine Lekstutis (1980) Assistant Secretary (2011)	Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980) Assistant Secretary (2010)	Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.
Brian L. Duncan (1965), Assistant Treasurer (2008)*	Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007.
Jeffrey D. House (1972), Assistant Treasurer (2006)*	Vice President, JPMorgan Funds Management, Inc. since July 2006.
Laura S. Melman (1966), Assistant Treasurer (2006)	Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August 2006 to February 2011, responsible for Taxation.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management.
Jeffery Reedy (1973), Assistant Treasurer (2011)*	Vice President, JPMorgan Funds Management, Inc. since February 2006.

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

* The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

128 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees,

distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2011, and continued to hold your shares at the end of the reporting period, February 29, 2012.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Prime Money Market Fund
Class B
Actual	$	1,000.00	$	1,000.10	$	1.49		0.30	%
Hypothetical		1,000.00		1,023.37		1.51		0.30
Class C
Actual		1,000.00		1,000.10		1.49		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30
Agency
Actual		1,000.00		1,000.30		1.29		0.26
Hypothetical		1,000.00		1,023.57		1.31		0.26
Capital
Actual		1,000.00		1,000.70		0.90		0.18
Hypothetical		1,000.00		1,023.97		0.91		0.18
Cash Management
Actual		1,000.00		1,000.10		1.49		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30
Direct
Actual		1,000.00		1,000.20		1.39		0.28
Hypothetical		1,000.00		1,023.47		1.41		0.28
Eagle Class
Actual		1,000.00		1,000.10		1.49		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30
Institutional Class
Actual		1,000.00		1,000.50		1.04		0.21
Hypothetical		1,000.00		1,023.82		1.06		0.21
Investor
Actual		1,000.00		1,000.10		1.49		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 129

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Prime Money Market Fund (continued)
Morgan
Actual	$	1,000.00	$	1,000.10	$	1.49		0.30	%
Hypothetical		1,000.00		1,023.37		1.51		0.30
Premier
Actual		1,000.00		1,000.10		1.54		0.31
Hypothetical		1,000.00		1,023.32		1.56		0.31
Reserve
Actual		1,000.00		1,000.10		1.49		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30
Service
Actual		1,000.00		1,000.10		1.49		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30
Liquid Assets Money Market Fund
Class B
Actual		1,000.00		1,000.10		1.54		0.31
Hypothetical		1,000.00		1,023.32		1.56		0.31
Class C
Actual		1,000.00		1,000.10		1.59		0.32
Hypothetical		1,000.00		1,023.27		1.61		0.32
Agency
Actual		1,000.00		1,000.30		1.29		0.26
Hypothetical		1,000.00		1,023.57		1.31		0.26
Capital
Actual		1,000.00		1,000.70		0.90		0.18
Hypothetical		1,000.00		1,023.97		0.91		0.18
E*Trade
Actual		1,000.00		1,000.30		1.39		0.28
Hypothetical		1,000.00		1,023.47		1.41		0.28
Institutional Class
Actual		1,000.00		1,000.60		1.04		0.21
Hypothetical		1,000.00		1,023.82		1.06		0.21
Investor
Actual		1,000.00		1,000.10		1.59		0.32
Hypothetical		1,000.00		1,023.27		1.61		0.32
Morgan
Actual		1,000.00		1,000.10		1.59		0.32
Hypothetical		1,000.00		1,023.27		1.61		0.32
Premier
Actual		1,000.00		1,000.10		1.59		0.32
Hypothetical		1,000.00		1,023.27		1.61		0.32
Reserve
Actual		1,000.00		1,000.10		1.59		0.32
Hypothetical		1,000.00		1,023.27		1.61		0.32
Service
Actual		1,000.00		1,000.10		1.54		0.31
Hypothetical		1,000.00		1,023.32		1.56		0.31
U.S. Government Money Market Fund
Agency
Actual		1,000.00		1,000.10		0.50		0.10
Hypothetical		1,000.00		1,024.37		0.50		0.10
Capital
Actual		1,000.00		1,000.10		0.50		0.10
Hypothetical		1,000.00		1,024.37		0.50		0.10

130 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Beginning Account Value September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
U.S. Government Money Market Fund (continued)
Direct
Actual	$	1,000.00	$	1,000.10	$	0.55		0.11	%
Hypothetical		1,000.00		1,024.32		0.55		0.11
Institutional Class
Actual		1,000.00		1,000.10		0.50		0.10
Hypothetical		1,000.00		1,024.37		0.50		0.10
Investor
Actual		1,000.00		1,000.10		0.50		0.10
Hypothetical		1,000.00		1,024.37		0.50		0.10
Morgan
Actual		1,000.00		1,000.10		0.55		0.11
Hypothetical		1,000.00		1,024.32		0.55		0.11
Premier
Actual		1,000.00		1,000.10		0.50		0.10
Hypothetical		1,000.00		1,024.37		0.50		0.10
Reserve
Actual		1,000.00		1,000.10		0.45		0.09
Hypothetical		1,000.00		1,024.42		0.45		0.09
Service
Actual		1,000.00		1,000.10		0.55		0.11
Hypothetical		1,000.00		1,024.32		0.55		0.11
U.S. Treasury Plus Money Market Fund
Class B
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Class C
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Agency
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Direct
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Institutional Class
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Investor
Actual		1,000.00		1,000.00		0.30		0.06
Hypothetical		1,000.00		1,024.57		0.30		0.06
Morgan
Actual		1,000.00		1,000.00		0.40		0.08
Hypothetical		1,000.00		1,024.47		0.40		0.08
Premier
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Reserve
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Service
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 131

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Federal Money Market Fund
Agency
Actual	$	1,000.00	$	1,000.00	$	0.35		0.07	%
Hypothetical		1,000.00		1,024.52		0.35		0.07
Institutional Class
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Morgan
Actual		1,000.00		1,000.00		0.40		0.08
Hypothetical		1,000.00		1,024.47		0.40		0.08
Premier
Actual		1,000.00		1,000.00		0.40		0.08
Hypothetical		1,000.00		1,024.47		0.40		0.08
Reserve
Actual		1,000.00		1,000.00		0.30		0.06
Hypothetical		1,000.00		1,024.57		0.30		0.06
100% U.S. Treasury Securities Money Market Fund
Agency
Actual		1,000.00		1,000.00		0.20		0.04
Hypothetical		1,000.00		1,024.66		0.20		0.04
Capital
Actual		1,000.00		1,000.00		0.15		0.03
Hypothetical		1,000.00		1,024.71		0.15		0.03
Institutional Class
Actual		1,000.00		1,000.00		0.15		0.03
Hypothetical		1,000.00		1,024.71		0.15		0.03
Morgan
Actual		1,000.00		1,000.00		0.15		0.03
Hypothetical		1,000.00		1,024.71		0.15		0.03
Premier
Actual		1,000.00		1,000.00		0.20		0.04
Hypothetical		1,000.00		1,024.66		0.20		0.04
Reserve
Actual		1,000.00		1,000.00		0.15		0.03
Hypothetical		1,000.00		1,024.71		0.15		0.03
Service
Actual		1,000.00		1,000.00		0.15		0.03
Hypothetical		1,000.00		1,024.71		0.15		0.03
Tax Free Money Market Fund
Agency
Actual		1,000.00		1,000.00		0.35		0.07
Hypothetical		1,000.00		1,024.52		0.35		0.07
Direct
Actual		1,000.00		1,000.10		0.75		0.15
Hypothetical		1,000.00		1,024.12		0.75		0.15
Eagle Class
Actual		1,000.00		1,000.10		1.74		0.35
Hypothetical		1,000.00		1,023.12		1.76		0.35
Institutional Class
Actual		1,000.00		1,000.10		0.45		0.09
Hypothetical		1,000.00		1,024.42		0.45		0.09

132 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

	Beginning Account Value September 1, 2011		Ending Account Value, February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Tax Free Money Market Fund (continued)
Morgan
Actual	$	1,000.00	$	1,000.00	$	0.50		0.10	%
Hypothetical		1,000.00		1,024.37		0.50		0.10
Premier
Actual		1,000.00		1,000.00		0.40		0.08
Hypothetical		1,000.00		1,024.47		0.40		0.08
Reserve
Actual		1,000.00		1,000.00		0.80		0.16
Hypothetical		1,000.00		1,024.07		0.81		0.16
Municipal Money Market Fund
Agency
Actual		1,000.00		1,000.30		1.29		0.26
Hypothetical		1,000.00		1,023.57		1.31		0.26
E*Trade
Actual		1,000.00		1,000.00		1.54		0.31
Hypothetical		1,000.00		1,023.32		1.56		0.31
Institutional Class
Actual		1,000.00		1,000.60		1.04		0.21
Hypothetical		1,000.00		1,023.82		1.06		0.21
Morgan
Actual		1,000.00		1,000.00		1.64		0.33
Hypothetical		1,000.00		1,023.22		1.66		0.33
Premier
Actual		1,000.00		1,000.00		1.64		0.33
Hypothetical		1,000.00		1,023.22		1.66		0.33
Reserve
Actual		1,000.00		1,000.00		1.64		0.33
Hypothetical		1,000.00		1,023.22		1.66		0.33
Service
Actual		1,000.00		1,000.00		1.64		0.33
Hypothetical		1,000.00		1,023.22		1.66		0.33

* Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

FEBRUARY 29, 2012 J.P. MORGAN MONEY MARKET FUNDS 133

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.

Qualified Interest Income (QII)

For the fiscal year ended February 29, 2012 the Funds designate the following amounts of ordinary distributions paid during the Funds’ fiscal year that are from qualified interest income (amounts in thousands):

	Qualified Interest Income
Prime Money Market Fund	$	59,109
Liquid Assets Money Market Fund		3,722
U.S. Government Money Market Fund		6,491
U.S. Treasury Plus Money Market Fund		32
Federal Money Market Fund		5,504
100% U.S. Treasury Securities Money Market Fund		228

Tax-Exempt Income

The following represents the percentage of distributions paid from net investment income that are exempt from federal income tax for the fiscal year ended February 29, 2012:

	Exempt Distributions Paid
Tax Free Money Market Fund		100.00	%
Municipal Money Market Fund		100.00

Treasury Income

The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2012:

	Income from U.S. Treasury Obligations
Prime Money Market Fund		10.52	%
Liquid Assets Money Market Fund		4.52
U.S. Government Money Market Fund		33.66
U.S. Treasury Plus Money Market Fund		63.10
Federal Money Market Fund		89.86
100% U.S. Treasury Securities Money Market Fund		100.00

134 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2012

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡ Social Security number and account balances   ¡ transaction history and account transactions   ¡ checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡   open an account or provide contact information ¡   give us your account information or pay us by check ¡   make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡   affiliates from using your information to market to you ¡   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡   J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2012.  All rights reserved. February 2012. AN-MMKT-212

Annual Report

J.P. Morgan Income Funds

February 29, 2012

JPMorgan Core Bond Fund

JPMorgan Core Plus Bond Fund

JPMorgan Government Bond Fund

JPMorgan High Yield Fund

JPMorgan Inflation Managed Bond Fund

JPMorgan Limited Duration Bond Fund

JPMorgan Mortgage-Backed Securities Fund

JPMorgan Short Duration Bond Fund

JPMorgan Short Term Bond Fund II

JPMorgan Treasury & Agency Fund

CONTENTS

CEO’s Letter	1
Market Overview	2
Fund Commentaries:
JPMorgan Core Bond Fund	3
JPMorgan Core Plus Bond Fund	5
JPMorgan Government Bond Fund	8
JPMorgan High Yield Fund	10
JPMorgan Inflation Managed Bond Fund	12
JPMorgan Limited Duration Bond Fund	14
JPMorgan Mortgage-Backed Securities Fund	16
JPMorgan Short Duration Bond Fund	18
JPMorgan Short Term Bond Fund II	20
JPMorgan Treasury & Agency Fund	22
Schedules of Portfolio Investments	24
Financial Statements	238
Financial Highlights	262
Notes to Financial Statements	282
Report of Independent Registered Public Accounting Firm	305
Trustees	306
Officers	308
Schedule of Shareholder Expenses	309
Tax Letter	313
Privacy Policy — Located at the back of this Annual Report

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

March 14, 2012 (Unaudited)

Dear Shareholder:

“Risk on, risk off” was the mantra for 2011. Assets perceived as risky moved en masse as investors adjusted their portfolios in response to unexpected sources of distress and updates on known problems — the European debt crisis, political strife in the Middle East, the earthquake and subsequent tsunami in Japan and the credit rating of debt issued by the United States.

  “Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.”

So far in 2012, improving U.S. economic data and aggressive measures taken by the European Central Bank to curb the region’s debt crisis have sustained investors’ appetite for risk. Since January 1, 2012, equities have rallied strongly and outperformed fixed income securities.

U.S. stocks outperform

While the “risk on, risk off” market environment caused elevated correlations within individual asset classes, stock returns across market capitalizations, countries and investment styles varied during the twelve months ended February 29, 2012. Buoyed by stronger-than-expected economic data, U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.

During the reporting period, the S&P 500 Index gained 5.1% versus the -6.8% and 1.8% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index (gross of foreign withholding taxes) and the MSCI EM (Emerging Markets) Index (gross of foreign withholding taxes), respectively. Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed value stocks across all market capitalizations.

Yields for U.S. Treasuries remain near historical lows

Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities. The yield for 10-year U.S. Treasury securities ended February 2012 below 2% and reached its lowest level since 1950 in September 2011. The yield on the 2-year U.S. Treasury note began the reporting period at 0.7% and dropped to 0.3% at the end of

February 2012. Meanwhile, the yield on the 30-year U.S. Treasury bond declined from 4.5% to 3.1% as of the end of the twelve months ended February 29, 2012.

Interest rates have increased in March 2012 but yields remain at historically low levels. Nonetheless, many investors have renewed their focus on the longer-term impact of rising interest rates on their fixed income investments. In addition, many investors view the unprecedented quantitative easing by the U.S. Federal Reserve as kindling for inflation if the U.S. economic recovery continues to take hold.

Maintain a diversified portfolio

Several indicators suggest that a U.S. economic recovery is gaining traction — the labor market has shown signs of healing, while recent retail and auto sales have been strong. Meanwhile, soaring year-to-date returns for emerging markets stocks reflect investors’ optimism surrounding the prospects for growth in these countries. Of course, risks remain. Many investors worry that the pace of China’s robust economic growth could decelerate, potentially resulting in a “hard landing” from measures aimed to control inflation and cool its surging property market. In addition, political turmoil in the Middle East persists, while Europe faces pockets of recession in the midst of its ongoing debt crisis.

Indeed, despite the recent rally in stock markets uncertainty in the current environment is widespread, making diversification even more critical to long-term investment success. Exposure to a variety of asset classes within fixed income, equity and alternative investments can help safeguard portfolios from the current risks in the marketplace and any unexpected shocks along the way.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 1

J.P. Morgan Income Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

Despite the tragic earthquake and subsequent tsunami in Japan, investors’ appetite for risk was supported early in the reporting period by strong corporate earnings. However, investors’ uncertainty surrounding global economic growth and political turmoil in the Middle East began to weigh on capital markets in May 2011. This negative mood among investors worsened as they seemed to lack confidence in the ability of European governments to combat the region’s debt crisis, stoking fear about economic contagion. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors. Despite the credit downgrade, investors still sought safety in U.S. Treasury securities, helping trigger a sharp decline in interest rates for 2-, 5-, 10-, 15- and 30-year U.S. Treasury securities. Risk aversion lasted until October 2011, when U.S. economic data showed signs of improving and the European Central Bank implemented aggressive measures in an attempt to curb the region’s debt crisis.

Among fixed income securities, U.S. Treasuries performed strongly, buoyed by the sharp decline in interest rates. Although high yield bonds (also known as “junk bonds”) were susceptible to periods of market volatility, the asset class finished the reporting period with a positive absolute return. Investment grade U.S. corporate debt and mortgage-backed securities also performed well during the reporting period. Emerging markets debt securities were supported by a beneficial technical environment, as the asset class experienced strong inflows due, in part, to investors’ search for yield in a low interest rate environment.

2 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

JPMorgan Core Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		8.09%
Barclays Capital U.S. Aggregate Index		8.37%
Net Assets as of 2/29/2012 (In Thousands)	$	24,588,549
Duration as of 2/29/2012		4.6 years

INVESTMENT OBJECTIVE**

The JPMorgan Core Bond Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the twelve months ended February 29, 2012, the Fund’s relative underperformance versus the Barclays Capital U.S. Aggregate Index (the “Benchmark”) was caused, in part, by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark, which detracted from its relative performance as interest rates declined during the reporting period.

The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) contributed to relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.

Among mortgage-backed securities, the Fund’s investments in agency collateralized mortgage obligations (“CMOs”) outperformed comparable duration mortgage pass-through securities held in the Benchmark. In addition, the Fund’s investments in non-agency principal only CMOs and inverse interest only CMOs contributed to relative performance. The Fund’s allocation to non-agency floating rate CMOs detracted from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and overweight mortgage-backed securities. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve.

PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	32.1	%
U.S. Treasury Obligations	23.4
Corporate Bonds	16.1
Mortgage Pass-Through Securities	14.0
Asset-Backed Securities	4.4
Commercial Mortgage-Backed Securities	2.2
U.S. Government Agency Securities	1.7
Others (each less than 1.0%)	0.7
Short-Term Investment	5.4

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 3

JPMorgan Core Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		5/1/92
Without Sales Charge				7.89	%		6.77	%		5.69	%
With Sales Charge*				3.81			5.95			5.29
CLASS B SHARES		8/26/96
Without CDSC				7.17			6.07			5.15
With CDSC**				2.17			5.75			5.15
CLASS C SHARES		3/22/99
Without CDSC				7.15			6.05			5.00
With CDSC***				6.15			6.05			5.00
CLASS R2 SHARES		11/3/08		7.54			6.48			5.43
CLASS R5 SHARES		5/15/06		8.21			7.07			5.95
CLASS R6 SHARES		2/22/05		8.16			7.12			6.02
SELECT CLASS SHARES		6/1/91		8.09			6.93			5.88

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S.

Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

4 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

JPMorgan Core Plus Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		7.28%
Barclays Capital U.S. Aggregate Index		8.37%
Net Assets as of 2/29/2012 (In Thousands)	$	2,272,627
Duration as of 2/29/2012		4.7 years

INVESTMENT OBJECTIVE**

The JPMorgan Core Plus Bond Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the twelve months ended February 29, 2012, the Fund invested a percentage of its assets in high yield bonds including distressed debt securities (also known as “junk bonds”), which are not held in the Barclays Capital U.S. Aggregate Index (the “Benchmark”). While high yield bonds and distressed debt securities posted a positive absolute return during the reporting period, they underperformed other areas of the fixed income market and detracted from the Fund’s relative performance versus the Benchmark. The Fund also invested a small portion of its assets in emerging market debt securities, which outperformed other areas of the fixed income market and contributed to relative performance.

The Fund’s relative underperformance versus the Benchmark was also hurt by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark, which detracted from its relative performance as interest rates declined during the reporting period.

The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) contributed to relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period. The Fund’s security selection among agency collateralized mortgage obligations also contributed to the Fund’s relative performance.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve. The Fund also invested in mortgage-backed securities, asset-backed securities, investment grade corporate bonds, emerging markets debt and high yield bonds including distressed debt fixed income securities during the reporting period.

PORTFOLIO COMPOSITION***
Corporate Bonds	37.3	%
Collateralized Mortgage Obligations	20.5
U.S. Treasury Obligations	16.7
Mortgage Pass-Through Securities	5.1
Commercial Mortgage-Backed Securities	3.9
Asset-Backed Securities	2.4
Loan Participations & Assignments	1.9
Foreign Government Securities	1.8
U.S. Government Agency Securities	1.0
Others (each less than 1.0%)	1.9
Short-Term Investment	7.5

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 5

JPMorgan Core Plus Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		3/5/93
Without Sales Charge				7.19	%		6.74	%		5.80	%
With Sales Charge*				3.16			5.94			5.39
CLASS B SHARES		5/31/95
Without CDSC				6.44			6.10			5.29
With CDSC**				1.44			5.79			5.29
CLASS C SHARES		5/30/00
Without CDSC				6.48			6.12			5.18
With CDSC***				5.48			6.12			5.18
CLASS R2 SHARES		11/3/08		6.66			6.38			5.46
CLASS R6 SHARES		2/22/05		7.57			7.18			6.19
INSTITUTIONAL CLASS SHARES		6/19/09		7.47			7.03			6.07
SELECT CLASS SHARES		3/5/93		7.28			6.93			6.02

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective September 15, 2007, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.

Returns shown for Class R2, Class R6 and Institutional Class Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R6, Institutional Class, and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Plus Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate Investment Grade Debt Funds Index from February 28, 2002 to February 29, 2012. The performance of

the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Investment Grade Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate Investment Grade Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

6 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 7

JPMorgan Government Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		10.96%
Barclays Capital U.S. Government Bond Index		8.85%
Net Assets as of 2/29/2012 (In Thousands)	$	1,623,056
Duration as of 2/29/2012		5.1 years

INVESTMENT OBJECTIVE**

The JPMorgan Government Bond Fund (the “Fund”) seeks a high level of current income with liquidity and safety of principal.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the reporting period, the Fund’s assets were invested in securities issued or guaranteed by the U.S. government and its agencies, including agency collateralized mortgage obligations and U.S. Treasury securities. U.S. Treasury securities rallied during the reporting period as interest rates fell significantly (generally, bond prices increase when interest rates decline). While the Fund was underweight U.S. Treasuries relative to the Barclays Capital U.S. Government Bond Index (the “Benchmark”), the longer duration of its zero coupon agency and U.S. Treasury securities caused it to outperform the Benchmark during the twelve months ended February 29, 2012. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s portfolio managers aimed to keep the duration of the Fund around five years and focused on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.

PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	39.5	%
U.S. Treasury Obligations	25.9
U.S. Government Agency Securities	18.5
Mortgage Pass-Through Securities	6.9
Foreign Government Security	0.4
Short-Term Investment	8.8

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

8 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		3/5/93
Without Sales Charge				10.67	%		6.77	%		5.69	%
With Sales Charge*				6.53			5.95			5.28
CLASS B SHARES		1/14/94
Without CDSC				9.87			5.99			5.10
With CDSC**				4.87			5.68			5.10
CLASS C SHARES		3/22/99
Without CDSC				9.81			5.99			4.94
With CDSC***				8.81			5.99			4.94
CLASS R2 SHARES		11/3/08		10.41			6.48			5.43
SELECT CLASS SHARES		2/8/93		10.96			7.03			5.94

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns shown for Class R2 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Government Bond Fund, the Barclays Capital U.S. Government Bond Index and the Lipper General U.S. Government Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Government Bond Index does not include expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper General U.S. Government Funds Index includes

expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Government Bond Index is an unmanaged index composed of securities issued by the U.S. Government. The Lipper General U.S. Government Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 9

JPMorgan High Yield Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		3.95%
Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index		6.92%
Net Assets as of 2/29/2012 (In Thousands)	$	11,530,598
Duration as of 2/29/2012		4.4 years

INVESTMENT OBJECTIVE**

The JPMorgan High Yield Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of debt securities which are rated below investment grade or unrated. Capital appreciation is a secondary objective.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund underperformed the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”) for the twelve months ended February 29, 2012. The Fund’s underperformance was driven, in part, by its larger exposure to lower quality securities versus the Benchmark, as lower quality securities underperformed due to the market volatility during the reporting period. In addition, the Fund’s positions in loan participations and assignments (“bank loans”), which are not held in the Benchmark, detracted from relative performance, as did the Fund’s underweight versus the Benchmark in longer-dated BB-rated bonds that benefited from declining interest rates (generally bond prices increase when interest rates decline) and investors’ flight to quality during the reporting period.

The Fund’s security selection in the basic and utilities sectors detracted from relative performance. The Fund’s security selection in the energy and industrial other sectors contributed to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, although the Fund had larger exposure to lower quality securities versus the Benchmark, the Fund migrated up in credit quality versus the Benchmark,

decreasing its holdings among Caa and lower-rated securities and increasing its exposure to Ba- and B-rated securities. As of the end of the reporting period the Fund was underweight versus the Benchmark in the Ba- and Caa- and lower-rated sectors, and overweight versus the Benchmark in the B-, Baa-, and Not Rated sectors.

The Fund’s portfolio managers believed that bank loans represented attractive investment opportunities based on the following factors: their spread over LIBOR remains attractive, they tend to have better covenants than high yield bonds, they are senior in the capital structure and are secured by tangible assets, and their coupons tend to adjust upward in the event of rising interest rates (although they may not adjust at the same rate or as much as general interest rates).

PORTFOLIO COMPOSITION***
Corporate Bonds	79.5	%
Loan Participations & Assignments	13.0
Common Stocks	1.0
Others (each less than 1.0%)	1.7
Short-Term Investments	4.8

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

10 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		11/13/98
Without Sales Charge				3.69	%		6.91	%		8.79	%
With Sales Charge*				(0.15	)		6.09			8.37
CLASS B SHARES		11/13/98
Without CDSC				3.02			6.22			8.23
With CDSC**				(1.98	)		5.91			8.23
CLASS C SHARES		3/22/99
Without CDSC				3.03			6.22			8.08
With CDSC***				2.03			6.22			8.08
CLASS R2 SHARES		11/3/08		3.46			6.61			8.48
CLASS R5 SHARES		5/15/06		4.11			7.24			9.10
CLASS R6 SHARES		2/22/05		4.01			7.27			9.12
SELECT CLASS SHARES		11/13/98		3.95			7.18			9.07

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter.

*** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective September 14, 2009, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.

Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan High Yield Fund, the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index and the Lipper High Current Yield Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper High

Current Yield Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. The Lipper High Current Yield Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 11

JPMorgan Inflation Managed Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		6.56%
Barclays Capital 1-10 Year U.S. TIPS Index		9.30%
Barclays Capital Intermediate Aggregate Bond Index		6.44%
Inflation Managed Bond Composite Benchmark		6.40%
Net Assets as of 2/29/2012 (In Thousands)	$	1,188,028
Duration as of 2/29/2012		2.2 years

INVESTMENT OBJECTIVE**

The JPMorgan Inflation Managed Bond Fund (the “Fund”) seeks to maximize inflation protected total return.

HOW DID THE FUND’S CORE FIXED INCOME HOLDINGS IMPACT PERFORMANCE?

The duration of the Fund’s core fixed income holdings was shorter than the Barclays Capital 1-10 Year U.S. TIPS Index and detracted from relative performance as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

Effective July 1, 2011, the Fund added a composite benchmark, which is calculated by adding the performance return of the Barclays Capital Intermediate Government/Credit Index and 80% of the Barclays Capital Inflation Swap 5 Year Zero Coupon Index. The Barclays Capital Inflation Swap 5 Year Zero Coupon Index is multiplied by 80% in an attempt to reflect the shorter duration of the Fund’s bond portfolio. The Fund’s relative performance versus the composite benchmark benefited as its investments in agency securities, investment grade corporate debt securities and mortgage-backed securities performed strongly during the reporting period. The strong performance of these investments also helped the Fund outperform the Barclays Capital Intermediate Aggregate Bond Index.

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. At the end of the reporting period, the Fund held corporate bonds, mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities and U.S. agency securities in conjunction with its investments in zero-coupon inflation-linked swaps.

HOW DID THE FUND’S INFLATION PROTECTION IMPACT PERFORMANCE?

The Fund used zero-coupon inflation-linked swaps in combination with fixed income securities to create a synthetic portfolio of inflation protected securities. The Fund was designed to

protect the total return generated by its core fixed income holdings from inflation risk.

While inflation, as measured by the Non-Seasonally Adjusted Consumer Price Index for All Urban Consumers, ended the reporting period higher, concerns about economic contagion from Europe’s debt crisis caused investors to lower their expectations for future inflation across most of the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time). 5-, 10-, 20- and 30- year breakeven inflation rates (the difference between the nominal yield on a U.S. Treasury security and the real yield on a Treasury Inflation Protected Security of the same maturity) declined, while the 2-year breakeven inflation rate modestly increased by 4 basis points. The Barclays Capital 5-Year and 10-Year Zero Coupon Swap Indices generated total returns of -0.10% and -1.11% respectively over the reporting period, as intermediate and longer-term inflation expectations decreased. The Fund was overweight the front-end of the zero-coupon inflation-linked swap curve throughout the reporting period, which contributed positively to performance versus the Fund’s composite benchmark, as the Barclays Capital 2-Year Zero Coupon Swap Index generated a total return of 0.84%.

PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	37.6	%
Corporate Bonds	21.8
U.S. Government Agency Securities	20.2
U.S. Treasury Obligations	7.7
Mortgage Pass-Through Securities	4.7
Asset-Backed Securities	2.4
Commercial Mortgage-Backed Securities	1.2
Supranational	0.1
Short-Term Investment	4.3

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

12 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			SINCE INCEPTION
CLASS A SHARES		3/31/10
Without Sales Charge				6.42	%		6.30	%
With Sales Charge*				2.46			4.20
CLASS C SHARES		3/31/10
Without CDSC				5.68			5.59
With CDSC**				4.68			5.59
CLASS R2 SHARES		3/31/10		6.04			5.98
CLASS R5 SHARES		3/31/10		6.57			6.49
CLASS R6 SHARES		11/30/10		6.68			6.49
SELECT CLASS SHARES		3/31/10		6.56			6.41

* Sales Charge for Class A Shares is 3.75%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (3/31/2010 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on March 31, 2010.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual return of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Inflation Managed Bond Fund, the Barclays Capital 1–10 Year U.S. TIPS Index, the Barclays Capital Intermediate U.S. Aggregate Index, the Inflation Managed Bond Composite Benchmark and the Lipper Treasury Inflation-Protected Securities Funds Index from March 31, 2010 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–10 Year U.S. TIPS Index and the Barclays Capital Intermediate U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of securities included in the benchmarks. The performance of the Lipper Treasury Inflation-

Protected Securities Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital 1–10 Year U.S. TIPS Index represents the performance of intermediate (1–10 year) U.S. Treasury Inflation Protection Securities. The Barclays Capital Intermediate U.S. Aggregate Index is an unmanaged index comprised of U.S. government, mortgage, corporate and asset-backed securities with maturities of one to 10 years. The Inflation Managed Bond Composite Benchmark is determined by adding the Barclays Capital Intermediate Government/Credit Index and 80% of the Barclays Capital Inflation Swap 5 Year Zero Coupon Index. The Lipper Treasury Inflation-Protected Securities Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 13

JPMorgan Limited Duration Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	2.08%
Barclays Capital 1–3 Year U.S. Government/Credit Bond Index	1.75%
Net Assets as of 2/29/2012 (In Thousands)	$398,690
Duration as of 2/29/2012	2.4 years

INVESTMENT OBJECTIVE**

The JPMorgan Limited Duration Bond Fund (the “Fund”) seeks a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The housing market has not returned to normal conditions since the subprime crisis began in 2007. Delinquencies remain elevated compared to historical levels and a lack of liquidity persists, which has kept housing prices depressed. Government Sponsored Entities Freddie Mac and Fannie Mae remain in conservatorship and have become the primary source of housing finance in the U.S.

In an attempt to reduce mortgage interest rates, increase refinancing and add liquidity to the mortgage market, the Federal Reserve has become one of the largest investors in agency mortgage-backed securities. While mortgage interest rates have decreased and the liquidity in the mortgage market has improved, increased refinancing has yet to materialize due to large declines in home ownership equity and the inability of borrowers to qualify for refinancing under stricter credit underwriting guidelines. As a result, the federal government has continued to implement measures to stimulate home purchases and refinancing, which has distorted the analysis and valuation of mortgage-backed securities. Meanwhile, the issuance of non-agency mortgage-backed securities, which has declined sharply since 2008, remained extremely low. These factors individually and on the whole contributed to the inability of these markets to return to a level of “normalcy”.

The Fund invested primarily in floating rate mortgage and asset backed securities in an attempt to generate increased returns while minimizing its sensitivity to changes in interest rates. During the reporting period, the Fund’s duration was kept between 1.5 to 2.5 years (duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates), while the weighted average life of the portfolio fluctuated between 3.1 and 4.2 years.

The Fund’s outperformance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index was due, in part, to the Fund’s investments in agency and non-agency mortgage backed securities, which are not held in Benchmark and performed strongly during the reporting period. The Fund’s investments in commercial mortgage-backed securities, which are also not held in the Benchmark, performed poorly during the reporting period and detracted from the Fund’s relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund continued to invest its assets in mortgage- and asset-backed securities, which the Fund’s portfolio managers believed offered attractive investment opportunities with relatively higher yield. During the reporting period, the Fund’s portfolio managers used a money market fund to maintain a high degree of liquidity for the Fund.

PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	54.1	%
Mortgage Pass-Through Securities	15.5
Asset-Backed Securities	12.9
Commercial Mortgage-Backed Securities	2.8
Corporate Bonds	0.5
Short-Term Investment	14.2

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

14 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		3/10/93
Without Sales Charge				1.80	%		2.63	%		2.81	%
With Sales Charge*				(0.52	)		2.17			2.58
CLASS B SHARES		1/14/94
Without CDSC				1.30			2.13			2.50
With CDSC**				(1.70	)		2.13			2.50
CLASS C SHARES		11/1/01		1.33			2.14			2.31
CLASS R6 SHARES		2/22/05		2.27			3.12			3.22
SELECT CLASS SHARES		2/2/93		2.08			2.90			3.07

* Sales Charge for Class A Shares is 2.25%.

** Assumes a 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns shown for Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Limited Duration Bond Fund, the Barclay’s Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or sales charges associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses

charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. The Fund’s Lipper Index changed to Lipper Short U.S. Government Funds Index because Lipper recategorized the Fund. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 15

JPMorgan Mortgage-Backed Securities Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		6.89%
Barclays Capital U.S. MBS Index		6.44%
Net Assets as of 2/29/2012 (In Thousands)	$	3,059,219
Duration as of 2/29/2012		3.4 years

INVESTMENT OBJECTIVE**

The JPMorgan Mortgage-Backed Securities Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund invested in both agency collateralized mortgage obligations (“CMOs”) and non-agency CMOs, while the Barclays Capital U.S. MBS Index (the “Benchmark”) consisted almost entirely of agency securities (“index passthroughs”). Agency CMOs outperformed index passthroughs and contributed to relative performance, while non-agency CMOs underperformed index passthroughs and detracted from relative performance during the reporting period.

The Fund invested a small percentage of its assets in U.S. Treasury securities, mostly on the intermediate part of the yield curve (5-10 year portion). The yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time. These investments contributed to relative performance as interest rates for U.S. Treasuries declined during the reporting period and their prices increased (bond prices generally increase when interest rates decline).

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.

PORTFOLIO COMPOSITION***
Collateralized Mortgage Obligations	58.3	%
Mortgage Pass-Through Securities	29.8
Asset-Backed Securities	2.7
Commercial Mortgage-Backed Securities	1.3
Others (each less than 1.0%)	0.7
Short-Term Investment	7.2

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

16 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		8/18/00
Without Sales Charge				6.57	%		7.42	%		5.97	%
With Sales Charge*				2.56			6.61			5.57
CLASS R6 SHARES		2/22/05		6.96			7.85			6.32
SELECT CLASS SHARES		8/18/00		6.89			7.69			6.21

* Sales Charge for Class A Shares is 3.75%.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns shown for Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mortgage-Backed Securities Fund, the Barclays Capital U.S. MBS Index and the Lipper U.S. Mortgage Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. MBS Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the

Lipper U.S. Mortgage Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index includes fixed-rate and hybrid adjustable rate mortgage (ARM) pass-through securities. The Lipper U.S. Mortgage Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 17

JPMorgan Short Duration Bond Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		2.10%
Barclays Capital 1–3 Year U.S. Government/Credit Bond Index		1.75%
Net Assets as of 2/29/2012 (In Thousands)	$	11,035,176
Duration as of 2/29/2012		1.9 years

INVESTMENT OBJECTIVE**

The JPMorgan Short Duration Bond Fund (the “Fund”) seeks current income consistent with preservation of capital through investments in high- and medium-grade fixed income securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the twelve months ended February 29, 2012, the Fund’s outperformance versus the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index (the “Benchmark”) was driven by its overweight to spread sectors (non-U.S. Treasury securities) and security selection among mortgage-backed securities (“MBS”), asset-backed securities (“ABS”), commercial-mortgage-backed securities (“CMBS”) and corporate holdings.

The Fund’s investments in agency collateralized mortgage obligations and mortgage pass-through securities were particularly strong contributors to relative performance, as these two assets classes performed well and were not represented in the Benchmark. The Fund’s security selection in the corporate sector relative to the Benchmark was also strong during the reporting period. The Fund used ABS and CMBS in an attempt to produce higher quality and higher yielding alternatives to sectors of the credit sector that the Fund’s portfolio managers felt were not attractive. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also contributed to relative performance. The Fund was overweight in the 3-5-year segment of the yield curve, which performed well during the reporting period, and underweight the 2-year portion of the yield curve, which did not perform as well.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund was positioned with an underweight to U.S. Treasuries and an overweight to spread sectors. The Fund was overweight in MBS, ABS and CMBS, which are not in the Benchmark, and was underweight the credit sector. The Fund’s portfolio managers substituted ABS, CMBS and non-agency mortgage-backed securities for areas of the credit sector that they believed were less attractive. The Fund’s total position in ABS, CMBS, non-agency mortgage-backed securities and credit securities resulted in an overweight relative to the credit portion of the Benchmark.

PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	30.4	%
U.S. Government Agency Securities	20.9
Corporate Bonds	17.5
Collateralized Mortgage Obligations	10.5
Mortgage Pass-Through Securities	7.8
Asset-Backed Securities	7.3
Commercial Mortgage-Backed Securities	2.5
Others (each less than 1.0%)	0.5
Short-Term Investment	2.6

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 29, 2012. The Fund’s composition is subject to change.

18 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		2/18/92
Without Sales Charge				1.76	%		3.51	%		3.22	%
With Sales Charge*				(0.51	)		3.05			2.98
CLASS B SHARES		1/14/94
Without CDSC				1.21			2.99			2.92
With CDSC**				(1.79	)		2.99			2.92
CLASS C SHARES		11/1/01		1.23			2.98			2.70
CLASS R6 SHARES		2/22/05		2.28			4.04			3.66
SELECT CLASS SHARES		9/4/90		2.10			3.78			3.48

* Sales Charge for Class A Shares is 2.25%.

** Assumes a 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns shown for Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short Duration Bond Fund, the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund,

such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/ Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 19

JPMorgan Short Term Bond Fund II

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	1.90%
Barclays Capital 1–3 Year U.S. Government Bond Index	1.50%
Net Assets as of 2/29/2012 (In Thousands)	$65,295
Duration as of 2/29/2012	1.8 years

INVESTMENT OBJECTIVE**

The JPMorgan Short Term Bond Fund II (the “Fund”) seeks a high level of income, consistent with preservation of capital.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the twelve months ended February 29, 2012, the Fund’s outperformance versus the Barclays Capital 1–3 Year U.S. Government Bond Index (the “Benchmark”) was driven by its overweight to spread sectors (non-U.S. Treasury securities).

The Fund’s investments in spread sectors and security selection were the main contributors to relative performance. The Fund’s mortgage-backed securities (“MBS”), asset-backed securities (“ABS”), and exposure to the credit sector all produced strong performance relative to the Benchmark — these sectors are not included in the Benchmark. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also contributed to relative performance. The Fund was overweight the 3-5-year segment of the yield curve, which performed well during the reporting period, and underweight the 2-year portion of the yield curve, which did not perform as well.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund was positioned with an underweight to U.S. Treasuries and an overweight to spread sectors. The Fund was overweight in MBS, ABS, and the credit sector, which are not in the Benchmark.

PORTFOLIO COMPOSITION***
U.S. Government Agency Securities	32.0	%
U.S. Treasury Obligations	29.5
Corporate Bonds	24.9
Asset-Backed Securities	6.9
Collateralized Mortgage Obligations	5.1
Mortgage Pass-Through Securities	1.1
Others (each less than 1.0%)	0.5

* The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

20 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		5/6/96
Without Sales Charge				1.52	%		0.64	%		1.58	%
With Sales Charge*				(0.73	)		0.18			1.36
CLASS M SHARES		7/1/99
Without Sales Charge				1.27			0.37			1.33
With Sales Charge**				(0.20	)		0.07			1.18
SELECT CLASS SHARES		11/30/90		1.90			0.88			1.84

* Sales Charge for Class A Shares is 2.25%.

** Sales charge for Class M Shares is 1.50%.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Short Term Bond Fund II, the Barclays Capital 1–3 Year U.S. Government Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestments of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the

expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government Bond Index is an unmanaged index composed of securities in the U.S. Government Bond Index with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 21

JPMorgan Treasury & Agency Fund

FUND COMMENTARY

TWELVE MONTHS ENDED FEBRUARY 29, 2012 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	1.97%
Barclays Capital 1–5 Year U.S. Treasury Index	3.31%
Net Assets as of 2/29/2012 (In Thousands)	$405,000
Duration as of 2/29/2012	2.1 years

INVESTMENT OBJECTIVE**

The JPMorgan Treasury & Agency Fund (the “Fund”) seeks a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the twelve months ended February 29, 2012, the Fund’s underperformance versus the Barclays Capital 1-5 Year U.S. Treasury Index (“Benchmark”) was driven by the Fund’s shorter duration, as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.

The Fund allocated a portion of its assets to agency securities, which performed well and contributed to the Fund’s absolute return during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund invested in U.S. Treasury securities as well as U.S. agency securities, which are not held in the Benchmark.

PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	78.5	%
U.S. Government Agency Securities	21.0
Short-Term Investment	0.5

* The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

** The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based upon total investments as of February 29, 2012. The Fund’s composition is subject to change.

22 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2012
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		1/20/97
Without Sales Charge				1.72	%		3.40	%		3.38	%
With Sales Charge*				(0.62	)		2.94			3.14
CLASS B SHARES		1/20/97
Without CDSC				1.33			2.90			3.08
With CDSC**				(1.67	)		2.90			3.08
SELECT CLASS SHARES		1/20/97		1.97			3.68			3.65

* Sales Charge for Class A Shares is 2.25%.

** Assumes a 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/02 TO 2/29/12)

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Treasury & Agency Fund, the Barclays Capital 1–5 Year U.S. Treasury Index, the Barclays Capital 1–3 Year U.S. Treasury Index and the Lipper Short U.S. Treasury Funds Average from February 28, 2002 to February 29, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–5 Year U.S. Treasury Index and the Barclays Capital 1–3 Year U.S. Treasury Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Treasury Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–5 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury issued securities with maturities

of one to five years. The Barclays Capital 1–3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities with maturities of one to three years. The Lipper Short U.S. Treasury Funds Average is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 23

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 4.5%
		AH Mortgage Advance Trust, (Cayman Islands),
	15,083	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		15,036
	49,850	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		49,950
	23,366	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		23,399
	7,000	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		7,070
	16,471	Series SART-3, Class 1A1, 2.980%, 03/13/43 (e)		16,507
	32,446	Series SART-3, Class 1A2, 3.720%, 03/13/44 (e)		32,547
		Ally Auto Receivables Trust,
	2,998	Series 2010-1, Class A3, 1.450%, 05/15/14		3,015
	10,410	Series 2010-3, Class A3, 1.110%, 10/15/14		10,462
	5,804	Series 2010-3, Class A4, 1.550%, 08/17/15		5,891
	5,977	Series 2010-4, Class A3, 0.910%, 11/17/14		5,998
	2,814	Series 2011-1, Class A2, 0.810%, 10/15/13		2,816
	4,100	Series 2011-1, Class A3, 1.380%, 01/15/15		4,136
	9,057	Series 2012-1, Class A3, 0.930%, 02/16/16		9,075
	2,222	Series 2012-1, Class A4, 1.210%, 07/15/16		2,227
		American Credit Acceptance Receivables Trust,
	7,714	Series 2012-1, Class A1, 1.960%, 01/15/14 (e)		7,714
	7,680	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		7,679
		AmeriCredit Automobile Receivables Trust,
	1,747	Series 2008-AF, Class A4, 6.960%, 10/14/14		1,797
	839	Series 2009-1, Class A3, 3.040%, 10/15/13		843
	868	Series 2010-1, Class A3, 1.660%, 03/17/14		869
	8,000	Series 2010-3, Class A3, 1.140%, 04/08/15		8,033
	6,368	Series 2010-4, Class A2, 0.960%, 05/08/14		6,370
	3,375	Series 2010-4, Class A3, 1.270%, 04/08/15		3,385
	4,503	Series 2011-1, Class A2, 0.840%, 06/09/14		4,506
	3,400	Series 2011-1, Class A3, 1.390%, 09/08/15		3,421
	12,644	Series 2011-3, Class A2, 0.840%, 11/10/14		12,653
	3,167	Series 2011-4, Class A2, 0.920%, 03/09/15		3,170
	11,311	Series 2011-4, Class A3, 1.170%, 05/09/16		11,333
	12,349	Series 2011-5, Class A3, 1.550%, 07/08/16		12,453
	9,395	Series 2012-1, Class A2, 0.910%, 10/08/15		9,408
	2,353	Series 2012-1, Class A3, 1.230%, 09/08/16		2,359
	462	Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34		463
	3,090	Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e)		3,078

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	12,104	Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35		11,128
		Bank of America Auto Trust,
	350	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		350
	3,235	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		3,283
	1,100	Series 2009-2A, Class A3, 2.130%, 09/15/13 (e)		1,102
	2,031	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		2,036
	4,255	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		4,328
	3,124	Series 2010-2, Class A3, 1.310%, 07/15/14		3,135
	7,795	Series 2010-2, Class A4, 1.940%, 06/15/17		7,926
	1,375	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.614%, 04/25/36		1,072
	7,600	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		7,597
		CarMax Auto Owner Trust,
	2,835	Series 2010-1, Class A3, 1.560%, 07/15/14		2,849
	11,080	Series 2011-1, Class A3, 1.290%, 09/15/15		11,167
	11,120	Series 2011-1, Class A4, 2.160%, 09/15/16		11,405
	10,801	Series 2011-3, Class A3, 1.070%, 06/15/16		10,800
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	3,390	Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33		3,259
	4,250	Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34		3,692
	11,768	Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		11,115
		Chrysler Financial Auto Securitization Trust,
	823	Series 2009-A, Class A3, 2.820%, 01/15/16		827
	16,500	Series 2010-A, Class A3, 0.910%, 08/08/13		16,519
	5,400	Series 2010-A, Class B, 1.650%, 11/08/13		5,396
	950	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,266
	3,049	CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e)		3,066
	2,334	Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33		2,250
		Citigroup Mortgage Loan Trust, Inc.,
	1,521	Series 2003-HE3, Class A, VAR, 0.624%, 12/25/33		1,323

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	15,630	Series 2011-5, Class 1A1, VAR, 0.434%, 02/25/46 (e) (f) (i)		14,256
		CNH Equipment Trust,
	1,683	Series 2010-A, Class A3, 1.540%, 07/15/14		1,688
	13,117	Series 2010-C, Class A3, 1.170%, 05/15/15		13,147
	5,888	Series 2011-A, Class A3, 1.200%, 05/16/16		5,928
	4,801	Series 2011-A, Class A4, 2.040%, 10/17/16		4,929
		Countrywide Asset-Backed Certificates,
	816	Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34		565
	11	Series 2004-1, Class 3A, VAR, 0.804%, 04/25/34		9
	1,290	Series 2004-1, Class M1, VAR, 0.994%, 03/25/34		914
	805	Series 2004-1, Class M2, VAR, 1.069%, 03/25/34		689
	1,065	Series 2004-6, Class M1, VAR, 0.844%, 10/25/34		567
	14,444	CPS Auto Trust, Series 2011-C, Class A, 4.210%, 03/15/19 (e)		14,445
	9,207	Credit Acceptance Auto Loan Trust, Series 2011-1, Class A, 2.610%, 03/15/19 (e)		9,201
	463	Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.554%, 11/25/35		430
	942	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.748%, 01/25/36		525
		Discover Card Master Trust,
	2,400	Series 2008-A4, Class A4, 5.650%, 12/15/15		2,559
	5,078	Series 2012-A1, Class A1, 0.810%, 08/15/17		5,078
	1,221	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.344%, 12/25/36		1,141
	10,200	Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13		10,202
		Ford Credit Auto Owner Trust,
	1,038	Series 2009-B, Class A3, 2.790%, 08/15/13		1,042
	5,000	Series 2009-B, Class A4, 4.500%, 07/15/14		5,158
	1,659	Series 2009-D, Class A3, 2.170%, 10/15/13		1,667
	5,385	Series 2011-B, Class A2, 0.680%, 01/15/14		5,396
	14,025	Series 2012-A, Class A3, 0.840%, 08/15/16		14,061
	25,545	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		25,641

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Freedom Trust,
	8,685	Series 2011-1, Class A13, VAR, 0.435%, 11/30/37 (e) (f) (i)		8,207
	10,467	Series 2011-2, Class A11, VAR, 6.809%, 08/01/46 (e)		10,484
	16,000	GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15		16,198
	1,004	GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		908
	211	GSAA Trust, Series 2006-3, Class A1, VAR, 0.324%, 03/25/36		91
		Harley-Davidson Motorcycle Trust,
	1,151	Series 2009-3, Class A3, 1.740%, 09/15/13		1,152
	1,356	Series 2010-1, Class A2, 0.830%, 11/15/13		1,356
	5,904	Series 2010-1, Class A3, 1.160%, 02/15/15		5,924
		Honda Auto Receivables Owner Trust,
	25	Series 2009-2, Class A3, 2.790%, 01/15/13		25
	3,500	Series 2009-2, Class A4, 4.430%, 07/15/15		3,551
	487	Series 2009-3, Class A3, 2.310%, 05/15/13		489
	4,200	Series 2009-3, Class A4, 3.300%, 09/15/15		4,269
	5,200	Series 2011-1, Class A4, 1.800%, 04/17/17		5,307
	5,399	Series 2012-1, Class A3, 0.770%, 01/15/16		5,399
	3,377	Series 2012-1, Class A4, 0.970%, 04/16/18		3,377
		HSBC Home Equity Loan Trust,
	2,774	Series 2005-2, Class A1, VAR, 0.515%, 01/20/35		2,591
	2,260	Series 2005-2, Class M2, VAR, 0.736%, 01/20/35		2,028
	4,851	Series 2006-1, Class A1, VAR, 0.406%, 01/20/36		4,397
	2,127	Series 2006-2, Class A1, VAR, 0.395%, 03/20/36		1,961
	6,106	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		6,134
	916	Series 2007-1, Class AS, VAR, 0.446%, 03/20/36		782
	11,375	Series 2007-3, Class APT, VAR, 1.446%, 11/20/36		10,029
		Huntington Auto Trust,
	7,200	Series 2011-1A, Class A2, 0.760%, 04/15/14 (e)		7,203
	8,000	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		7,983
	8,600	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		8,591
		Hyundai Auto Receivables Trust,
	704	Series 2009-A, Class A3, 2.030%, 08/15/13		706

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 25

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	4,590	Series 2010-B, Class A3, 0.970%, 04/15/15		4,607
	6,300	Series 2010-B, Class A4, 1.630%, 03/15/17		6,421
	5,675	Series 2011-A, Class A3, 1.160%, 04/15/15		5,714
	4,680	Series 2011-A, Class A4, 1.780%, 12/15/15		4,778
	3,880	Series 2011-B, Class A3, 1.040%, 09/15/15		3,904
	5,798	Series 2011-B, Class A4, 1.650%, 02/15/17		5,909
	8,655	Series 2012-A, Class A3, 0.720%, 03/15/16		8,654
	1,389	Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.444%, 03/25/36		768
		John Deere Owner Trust,
	768	Series 2009-B, Class A3, 1.570%, 10/15/13		769
	5,015	Series 2011-A, Class A3, 1.290%, 01/15/16		5,058
	3,915	Series 2011-A, Class A4, 1.960%, 04/16/18		4,011
	7,699	LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i)		7,694
	13,273	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.594%, 07/25/34 (e)		12,702
		Long Beach Mortgage Loan Trust,
	5,600	Series 2004-1, Class M1, VAR, 0.994%, 02/25/34		4,120
	1,500	Series 2004-3, Class M1, VAR, 1.099%, 07/25/34		1,063
	1,295	Series 2006-8, Class 2A2, VAR, 0.334%, 09/25/36		379
	1,660	Series 2006-WL2, Class 2A3, VAR, 0.444%, 01/25/36		1,253
	8,666	Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.494%, 03/25/32		7,716
		Mercedes-Benz Auto Receivables Trust,
	1,227	Series 2009-1, Class A3, 1.670%, 01/15/14		1,233
	4,040	Series 2010-1, Class A3, 1.420%, 08/15/14		4,063
	3,273	Series 2011-1, Class A3, 0.850%, 03/16/15		3,284
		Mid-State Trust,
	6,716	Series 2010-1, Class A, 3.500%, 12/15/45 (e)		6,878
	5,597	Series 2010-1, Class M, 5.250%, 12/15/45 (e)		5,635
	21,300	MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		21,608
	1,217	Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 0.994%, 01/25/35		1,200
	11,033	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.607%, 12/07/20		11,070

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	4,000	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.303%, 11/25/33		3,811
	5,491	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		5,547
		Nissan Auto Receivables Owner Trust,
	7,420	Series 2010-A, Class A3, 0.870%, 07/15/14		7,440
	4,740	Series 2010-A, Class A4, 1.310%, 09/15/16		4,790
	6,594	Series 2012-A, Class A3, 0.730%, 05/16/16		6,592
	3,329	Series 2012-A, Class A4, 1.000%, 07/16/18		3,325
	245	Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.084%, 02/25/33		193
	15,913	Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.869%, 10/25/34		15,083
		PennyMac Loan Trust,
	8,374	Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e)		8,249
	15,920	Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i)		15,961
	4,341	RBSSP Resecuritization Trust, Series 2010-4, Class 2A1, SUB, 5.749%, 11/26/35 (e)		4,420
		Real Estate Asset Trust,
	6,437	Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i)		6,437
	17,705	Series 2012-1A, Class A1, 4.950%, 02/25/32 (e) (f) (i)		17,706
	2,571	Series 2012-1A, Class A2, 7.140%, 02/25/32 (e) (f) (i)		2,571
	100	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		41
		Residential Asset Mortgage Products, Inc.,
	10,000	Series 2005-EFC5, Class A3, VAR, 0.584%, 10/25/35		8,525
	26,339	Series 2006-RZ1, Class A3, VAR, 0.544%, 03/25/36		22,454
		Residential Asset Securities Corp.,
	70	Series 2002-KS4, Class AIIB, VAR, 0.744%, 07/25/32		39
	91	Series 2003-KS5, Class AIIB, VAR, 0.824%, 07/25/33		56
	111	Series 2003-KS9, Class A2B, VAR, 0.884%, 11/25/33		49
	2,500	Series 2005-KS9, Class A3, VAR, 0.614%, 10/25/35		2,394
	18,485	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		18,481

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	1,461	Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e)		1,236
		Santander Drive Auto Receivables Trust,
	2,738	Series 2010-3, Class A2, 0.930%, 06/17/13		2,738
	6,100	Series 2010-3, Class A3, 1.200%, 06/16/14		6,101
	1,200	Series 2010-A, Class A3, 1.830%, 11/17/14 (e)		1,209
	4,595	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		4,683
	3,346	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		3,343
	4,823	Series 2011-S2A, Class D, 3.350%, 06/15/17 (e)		4,817
	12,584	Series 2012-1, Class A2, 1.250%, 04/15/15		12,606
	2,753	Series 2012-1, Class A3, 1.490%, 10/15/15		2,766
	4,636	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		4,637
	5,000	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.514%, 06/25/35		4,714
		Structured Asset Securities Corp.,
	2,534	Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		2,569
	1,074	Series 2002-AL1, Class A2, 3.450%, 02/25/32		981
	3,168	Series 2002-AL1, Class A3, 3.450%, 02/25/32		2,861
	4,398	Series 2004-6XS, Class A5A, SUB, 5.530%, 03/25/34		4,402
	3,518	Series 2004-6XS, Class A5B, SUB, 5.550%, 03/25/34		3,524
		Toyota Auto Receivables Owner Trust,
	12,510	Series 2010-C, Class A3, 0.770%, 04/15/14		12,529
	11,810	Series 2011-A, Class A3, 0.980%, 10/15/14		11,864
	4,585	Series 2011-A, Class A4, 1.560%, 05/15/15		4,661
	324	Union Pacific Railroad Co. 2003 Pass-Through Trust, 4.698%, 01/02/24		359
		USAA Auto Owner Trust,
	1,365	Series 2009-2, Class A3, 1.540%, 02/18/14		1,368
	3,080	Series 2009-2, Class A4, 2.530%, 07/15/15		3,139
	17,021	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		17,064
		Westlake Automobile Receivables Trust,
	1,949	Series 2011-1A, Class A2, 1.080%, 07/15/13 (e)		1,949
	4,154	Series 2011-1A, Class A3, 1.490%, 06/16/14 (e)		4,157

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	7,045		World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.210%, 05/15/15		7,175
			Total Asset-Backed Securities (Cost $1,094,232)		1,095,041
	Collateralized Mortgage Obligations — 32.3%
			Agency CMO — 21.6%
			Federal Home Loan Bank,
	1,021		Series 2000-0606, Class Y, 5.270%, 12/28/12		1,058
	21,195		Series 2000-1067, Class 1, 5.300%, 06/15/12		21,363
	8,980		Series 9M-2012, Class A, 4.720%, 09/20/12		9,171
	9,890		Series TQ-2015, Class A, 5.065%, 10/20/15		10,755
			Federal Home Loan Mortgage Corp. - Government National Mortgage Association,
	501		Series 8, Class ZA, 7.000%, 03/25/23		569
	303		Series 24, Class ZE, 6.250%, 11/25/23		341
	2,222		Series 29, Class L, 7.500%, 04/25/24		2,556
			Federal Home Loan Mortgage Corp. REMICS,
	68		Series 11, Class D, 9.500%, 07/15/19		73
	23		Series 22, Class C, 9.500%, 04/15/20		25
	36		Series 23, Class F, 9.600%, 04/15/20		40
	1		Series 41, Class I, HB, 84.000%, 05/15/20		2
	14		Series 46, Class B, 7.800%, 09/15/20		16
	7		Series 47, Class F, 10.000%, 06/15/20		8
	—	(h)	Series 85, Class C, 8.600%, 01/15/21		—	(h)
	26		Series 99, Class Z, 9.500%, 01/15/21		29
	73		Series 114, Class H, 6.950%, 01/15/21		82
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		15
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		1
	14		Series 1065, Class J, 9.000%, 04/15/21		17
	8		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		15
	19		Series 1084, Class F, VAR, 1.200%, 05/15/21		19
	14		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		27
	22		Series 1116, Class I, 5.500%, 08/15/21		24
	67		Series 1144, Class KB, 8.500%, 09/15/21		77
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		2
	1		Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		22
	48		Series 1206, Class IA, 7.000%, 03/15/22		55
	63		Series 1250, Class J, 7.000%, 05/15/22		76

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 27

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	152	Series 1343, Class LA, 8.000%, 08/15/22		183
	61	Series 1343, Class LB, 7.500%, 08/15/22		73
	104	Series 1370, Class JA, VAR, 1.400%, 09/15/22		105
	100	Series 1455, Class WB, IF, 4.550%, 12/15/22		102
	953	Series 1466, Class PZ, 7.500%, 02/15/23		1,108
	14	Series 1470, Class F, VAR, 2.221%, 02/15/23		15
	165	Series 1491, Class I, 7.500%, 04/15/23		191
	534	Series 1498, Class I, VAR, 1.400%, 04/15/23		534
	727	Series 1502, Class PX, 7.000%, 04/15/23		842
	95	Series 1505, Class Q, 7.000%, 05/15/23		110
	384	Series 1518, Class G, IF, 8.819%, 05/15/23		427
	73	Series 1541, Class M, HB, IF, 22.679%, 07/15/23		118
	348	Series 1541, Class O, VAR, 1.180%, 07/15/23		356
	20	Series 1570, Class F, VAR, 2.721%, 08/15/23		21
	712	Series 1573, Class PZ, 7.000%, 09/15/23		823
	440	Series 1591, Class PV, 6.250%, 10/15/23		460
	16	Series 1595, Class D, 7.000%, 10/15/13		17
	57	Series 1596, Class D, 6.500%, 10/15/13		59
	51	Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		96
	13	Series 1607, Class SA, HB, IF, 20.321%, 10/15/13		14
	2,454	Series 1608, Class L, 6.500%, 09/15/23		2,761
	831	Series 1609, Class LG, IF, 16.792%, 11/15/23		980
	876	Series 1642, Class PJ, 6.000%, 11/15/23		902
	380	Series 1658, Class GZ, 7.000%, 01/15/24		441
	16	Series 1671, Class L, 7.000%, 02/15/24		20
	21	Series 1671, Class QC, IF, 10.000%, 02/15/24		28
	24	Series 1686, Class SH, IF, 18.675%, 02/15/24		39
	306	Series 1695, Class EB, 7.000%, 03/15/24		356
	59	Series 1699, Class FC, VAR, 0.850%, 03/15/24		59
	395	Series 1700, Class GA, PO, 02/15/24		382
	1,657	Series 1706, Class K, 7.000%, 03/15/24		1,916
	28	Series 1709, Class FA, VAR, 1.110%, 03/15/24		29
	1,085	Series 1720, Class PL, 7.500%, 04/15/24		1,263
	1,163	Series 1737, Class L, 6.000%, 06/15/24		1,262
	158	Series 1745, Class D, 7.500%, 08/15/24		187

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	868	Series 1798, Class F, 5.000%, 05/15/23		964
	19	Series 1807, Class G, 9.000%, 10/15/20		21
	198	Series 1829, Class ZB, 6.500%, 03/15/26		222
	14	Series 1844, Class E, 6.500%, 10/15/13		14
	1,262	Series 1863, Class Z, 6.500%, 07/15/26		1,421
	58	Series 1865, Class D, PO, 02/15/24		50
	128	Series 1890, Class H, 7.500%, 09/15/26		152
	347	Series 1899, Class ZE, 8.000%, 09/15/26		412
	816	Series 1927, Class PH, 7.500%, 01/15/27		966
	783	Series 1927, Class ZA, 6.500%, 01/15/27		783
	21	Series 1935, Class FL, VAR, 0.950%, 02/15/27		21
	281	Series 1963, Class Z, 7.500%, 01/15/27		332
	41	Series 1970, Class PG, 7.250%, 07/15/27		48
	786	Series 1981, Class Z, 6.000%, 05/15/27		868
	511	Series 1983, Class Z, 6.500%, 12/15/23		575
	295	Series 1987, Class PE, 7.500%, 09/15/27		350
	477	Series 2019, Class Z, 6.500%, 12/15/27		544
	61	Series 2025, Class PE, 6.300%, 01/15/13		61
	1,738	Series 2033, Class J, 5.600%, 06/15/23		1,903
	202	Series 2033, Class SN, HB, IF, 25.948%, 03/15/24		137
	532	Series 2038, Class PN, IO, 7.000%, 03/15/28		87
	1,534	Series 2040, Class PE, 7.500%, 03/15/28		1,819
	612	Series 2054, Class PV, 7.500%, 05/15/28		725
	74	Series 2055, Class OE, 6.500%, 05/15/13		74
	194	Series 2056, Class TD, 6.500%, 05/15/18		211
	895	Series 2063, Class PG, 6.500%, 06/15/28		1,019
	142	Series 2064, Class TE, 7.000%, 06/15/28		167
	520	Series 2070, Class C, 6.000%, 07/15/28		565
	1,822	Series 2075, Class PH, 6.500%, 08/15/28		2,074
	1,950	Series 2075, Class PM, 6.250%, 08/15/28		2,022
	442	Series 2086, Class GB, 6.000%, 09/15/28		453
	658	Series 2089, Class PJ, IO, 7.000%, 10/15/28		109
	1,858	Series 2095, Class PE, 6.000%, 11/15/28		2,083
	296	Series 2102, Class TC, 6.000%, 12/15/13		306
	165	Series 2102, Class TU, 6.000%, 12/15/13		171
	2,786	Series 2106, Class ZD, 6.000%, 12/15/28		3,010
	4,949	Series 2110, Class PG, 6.000%, 01/15/29		5,337
	672	Series 2115, Class PE, 6.000%, 01/15/14		679
	1,023	Series 2125, Class JZ, 6.000%, 02/15/29		1,071
	2,710	Series 2126, Class CB, 6.250%, 02/15/29		2,839
	129	Series 2132, Class SB, HB, IF, 29.390%, 03/15/29		227
	85	Series 2134, Class PI, IO, 6.500%, 03/15/19		12

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	19	Series 2135, Class UK, IO, 6.500%, 03/15/14		1
	69	Series 2141, Class IO, IO, 7.000%, 04/15/29		11
	236	Series 2163, Class PC, IO, 7.500%, 06/15/29		51
	3,720	Series 2169, Class TB, 7.000%, 06/15/29		4,383
	1,339	Series 2172, Class QC, 7.000%, 07/15/29		1,580
	808	Series 2176, Class OJ, 7.000%, 08/15/29		936
	4	Series 2196, Class TL, 7.500%, 11/15/29		5
	711	Series 2201, Class C, 8.000%, 11/15/29		850
	1,843	Series 2208, Class PG, 7.000%, 01/15/30		2,174
	365	Series 2209, Class TC, 8.000%, 01/15/30		434
	1,209	Series 2210, Class Z, 8.000%, 01/15/30		1,461
	333	Series 2224, Class CB, 8.000%, 03/15/30		402
	384	Series 2230, Class Z, 8.000%, 04/15/30		458
	316	Series 2234, Class PZ, 7.500%, 05/15/30		377
	273	Series 2247, Class Z, 7.500%, 08/15/30		325
	695	Series 2256, Class MC, 7.250%, 09/15/30		823
	1,227	Series 2259, Class ZM, 7.000%, 10/15/30		1,449
	23	Series 2261, Class ZY, 7.500%, 10/15/30		27
	87	Series 2262, Class Z, 7.500%, 10/15/30		104
	1,187	Series 2271, Class PC, 7.250%, 12/15/30		1,407
	1,856	Series 2283, Class K, 6.500%, 12/15/23		2,090
	602	Series 2296, Class PD, 7.000%, 03/15/31		711
	1,629	Series 2301, Class PA, 6.000%, 10/15/13		1,669
	227	Series 2306, Class K, PO, 05/15/24		211
	543	Series 2306, Class SE, IF, IO, 8.640%, 05/15/24		120
	403	Series 2313, Class LA, 6.500%, 05/15/31		459
	849	Series 2325, Class PM, 7.000%, 06/15/31		928
	1,562	Series 2332, Class ZH, 7.000%, 07/15/31		1,669
	274	Series 2333, Class HC, 6.000%, 07/15/31		274
	1,491	Series 2344, Class QG, 6.000%, 08/15/16		1,587
	8,780	Series 2344, Class ZD, 6.500%, 08/15/31		9,600
	987	Series 2344, Class ZJ, 6.500%, 08/15/31		1,080
	727	Series 2345, Class NE, 6.500%, 08/15/31		756
	779	Series 2345, Class PQ, 6.500%, 08/15/16		809
	313	Series 2347, Class VP, 6.500%, 03/15/20		313
	981	Series 2351, Class PZ, 6.500%, 08/15/31		1,105
	2,012	Series 2353, Class TD, 6.000%, 09/15/16		2,106
	676	Series 2355, Class BP, 6.000%, 09/15/16		715
	208	Series 2359, Class PM, 6.000%, 09/15/16		216
	1,848	Series 2359, Class ZB, 8.500%, 06/15/31		2,160
	1,043	Series 2360, Class PG, 6.000%, 09/15/16		1,115
	180	Series 2363, Class PF, 6.000%, 09/15/16		192
	552	Series 2366, Class MD, 6.000%, 10/15/16		590
	732	Series 2367, Class ME, 6.500%, 10/15/31		794

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	842	Series 2388, Class FB, VAR, 0.849%, 01/15/29		847
	1,615	Series 2391, Class QR, 5.500%, 12/15/16		1,725
	464	Series 2394, Class MC, 6.000%, 12/15/16		496
	901	Series 2399, Class OH, 6.500%, 01/15/32		986
	1,507	Series 2399, Class TH, 6.500%, 01/15/32		1,648
	1,620	Series 2410, Class NG, 6.500%, 02/15/32		1,788
	909	Series 2410, Class OE, 6.375%, 02/15/32		1,002
	2,004	Series 2410, Class QS, IF, 18.854%, 02/15/32		2,996
	583	Series 2410, Class QX, IF, IO, 8.402%, 02/15/32		145
	1,969	Series 2412, Class SP, IF, 15.603%, 02/15/32		2,585
	4,237	Series 2418, Class FO, VAR, 1.149%, 02/15/32		4,280
	1,823	Series 2420, Class XK, 6.500%, 02/15/32		1,988
	1,082	Series 2423, Class MC, 7.000%, 03/15/32		1,281
	1,427	Series 2423, Class MT, 7.000%, 03/15/32		1,600
	1,697	Series 2423, Class TB, 6.500%, 03/15/32		1,860
	445	Series 2425, Class OB, 6.000%, 03/15/17		477
	2,276	Series 2430, Class WF, 6.500%, 03/15/32		2,604
	2,849	Series 2434, Class TC, 7.000%, 04/15/32		3,260
	5,804	Series 2434, Class ZA, 6.500%, 04/15/32		6,612
	1,797	Series 2435, Class CJ, 6.500%, 04/15/32		2,083
	1,071	Series 2436, Class MC, 7.000%, 04/15/32		1,260
	582	Series 2441, Class GF, 6.500%, 04/15/32		666
	1,328	Series 2444, Class ES, IF, IO, 7.702%, 03/15/32		271
	1,101	Series 2450, Class GZ, 7.000%, 05/15/32		1,304
	866	Series 2450, Class SW, IF, IO, 7.751%, 03/15/32		177
	2,148	Series 2455, Class GK, 6.500%, 05/15/32		2,442
	320	Series 2458, Class QE, 5.500%, 06/15/17		342
	1,646	Series 2458, Class ZM, 6.500%, 06/15/32		1,828
	1,528	Series 2463, Class CE, 6.000%, 06/15/17		1,631
	1,401	Series 2466, Class DH, 6.500%, 06/15/32		1,547
	1,656	Series 2466, Class PG, 6.500%, 04/15/32		1,727
	1,400	Series 2466, Class PH, 6.500%, 06/15/32		1,604
	1,774	Series 2474, Class NR, 6.500%, 07/15/32		1,988
	4,459	Series 2475, Class S, IF, IO, 7.751%, 02/15/32		728
	2,754	Series 2484, Class LZ, 6.500%, 07/15/32		3,148
	206	Series 2488, Class WS, IF, 16.173%, 08/15/17		249
	4,499	Series 2500, Class MC, 6.000%, 09/15/32		4,921

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 29

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	575	Series 2508, Class AQ, 5.500%, 10/15/17		619
	4,073	Series 2512, Class PG, 5.500%, 10/15/22		4,439
	902	Series 2515, Class DE, 4.000%, 03/15/32		919
	1,019	Series 2515, Class MG, 4.000%, 09/15/17		1,056
	609	Series 2518, Class PX, 5.500%, 09/15/13		619
	1,385	Series 2535, Class BK, 5.500%, 12/15/22		1,521
	2,848	Series 2537, Class TE, 5.500%, 12/15/17		3,050
	1,342	Series 2543, Class LX, 5.000%, 12/15/17		1,433
	5,462	Series 2543, Class YX, 6.000%, 12/15/32		6,104
	2,932	Series 2544, Class HC, 6.000%, 12/15/32		3,258
	2,730	Series 2549, Class ZG, 5.000%, 01/15/18		2,836
	3,626	Series 2552, Class ME, 6.000%, 01/15/33		4,003
	1,904	Series 2567, Class QD, 6.000%, 02/15/33		2,158
	15,000	Series 2568, Class KG, 5.500%, 02/15/23		16,398
	1,787	Series 2571, Class FY, VAR, 0.998%, 12/15/32		1,804
	298	Series 2571, Class SK, HB, IF, 33.428%, 09/15/23		547
	1,054	Series 2571, Class SY, IF, 18.004%, 12/15/32		1,773
	1,790	Series 2574, Class HP, 5.000%, 02/15/18		1,912
	8,791	Series 2575, Class ME, 6.000%, 02/15/33		9,940
	1,416	Series 2586, Class HD, 5.500%, 03/15/23		1,657
	1,302	Series 2586, Class WI, IO, 6.500%, 03/15/33		240
	288	Series 2594, Class VQ, 6.000%, 08/15/20		288
	1,420	Series 2595, Class HC, 5.500%, 04/15/23		1,675
	2,051	Series 2596, Class QG, 6.000%, 03/15/33		2,290
	704	Series 2597, Class AD, 6.500%, 03/15/32		718
	264	Series 2597, Class DS, IF, IO, 7.301%, 02/15/33		12
	332	Series 2599, Class DS, IF, IO, 6.752%, 02/15/33		13
	771	Series 2610, Class DS, IF, IO, 6.851%, 03/15/33		18
	1,214	Series 2611, Class UH, 4.500%, 05/15/18		1,284
	3,018	Series 2617, Class GR, 4.500%, 05/15/18		3,216
	99	Series 2619, Class HR, 3.500%, 11/15/31		101
	14	Series 2619, Class IM, IO, 5.000%, 10/15/21		—	(h)
	3,672	Series 2626, Class NS, IF, IO, 6.302%, 06/15/23		269
	1,460	Series 2629, Class BY, IO, 4.500%, 03/15/18		83
	6,370	Series 2631, Class LC, 4.500%, 06/15/18		6,808
	5,482	Series 2631, Class SA, IF, 14.394%, 06/15/33		6,813
	10,037	Series 2636, Class Z, 4.500%, 06/15/18		10,690
	1,326	Series 2637, Class SA, IF, IO, 5.852%, 06/15/18		140

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	733	Series 2638, Class DS, IF, 8.351%, 07/15/23		785
	939	Series 2640, Class UG, IO, 5.000%, 01/15/32		50
	3,759	Series 2640, Class UP, IO, 5.000%, 01/15/32		186
	11	Series 2640, Class UR, IO, 4.500%, 08/15/17		—	(h)
	798	Series 2640, Class VE, 3.250%, 07/15/22		811
	525	Series 2642, Class SL, IF, 6.666%, 07/15/33		532
	379	Series 2649, Class QE, 4.500%, 08/15/17		379
	620	Series 2650, Class PO, PO, 12/15/32		588
	2,903	Series 2650, Class SO, PO, 12/15/32		2,755
	9,756	Series 2651, Class VZ, 4.500%, 07/15/18		10,381
	7,827	Series 2653, Class PZ, 5.000%, 07/15/33		9,432
	3,337	Series 2655, Class EO, PO, 02/15/33		3,265
	529	Series 2658, Class PE, 4.500%, 11/15/16		532
	270	Series 2667, Class SW, IF, 6.561%, 01/15/18		272
	1,749	Series 2671, Class S, IF, 14.303%, 09/15/33		2,171
	3,598	Series 2672, Class ME, 5.000%, 11/15/22		3,806
	10,137	Series 2675, Class CK, 4.000%, 09/15/18		10,747
	8,000	Series 2677, Class LE, 4.500%, 09/15/18		8,750
	1,632	Series 2682, Class YS, IF, 8.598%, 10/15/33		1,621
	16,709	Series 2684, Class PO, PO, 01/15/33		16,367
	253	Series 2686, Class NS, IF, IO, 7.351%, 10/15/21		3
	8,786	Series 2690, Class SJ, IF, 8.777%, 10/15/33		8,792
	395	Series 2691, Class SM, IF, 8.777%, 10/15/33		396
	540	Series 2691, Class WS, IF, 8.627%, 10/15/33		540
	1,884	Series 2692, Class SC, IF, 12.790%, 07/15/33		2,210
	71	Series 2694, Class SQ, IF, 8.598%, 10/15/33		71
	605	Series 2695, Class DE, 4.000%, 01/15/17		610
	1,255	Series 2695, Class OB, PO, 10/15/33		1,218
	343	Series 2696, Class CO, PO, 10/15/18		337
	432	Series 2698, Class SV, IF, 8.627%, 11/15/33		434
	2,770	Series 2700, Class S, IF, 8.627%, 11/15/33		2,762
	1,703	Series 2702, Class PC, 5.000%, 01/15/23		1,788
	678	Series 2705, Class SC, IF, 8.627%, 11/15/33		676
	1,087	Series 2705, Class SD, IF, 8.680%, 11/15/33		1,075
	7,400	Series 2707, Class QE, 4.500%, 11/15/18		8,122
	5,000	Series 2709, Class PG, 5.000%, 11/15/23		5,665
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,251
	2,240	Series 2715, Class OG, 5.000%, 01/15/23		2,372
	3,811	Series 2716, Class UN, 4.500%, 12/15/23		4,176
	1,677	Series 2720, Class PC, 5.000%, 12/15/23		1,817
	2,670	Series 2725, Class OP, PO, 10/15/33		2,614
	8,274	Series 2727, Class BS, IF, 8.702%, 01/15/34		8,254
	10,505	Series 2733, Class SB, IF, 7.786%, 10/15/33		11,224

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,014	Series 2743, Class HD, 4.500%, 08/15/17		1,031
	5,000	Series 2743, Class HE, 4.500%, 02/15/19		5,452
	2,471	Series 2744, Class PE, 5.500%, 02/15/34		2,685
	4,412	Series 2744, Class TU, 5.500%, 05/15/32		4,661
	2,332	Series 2748, Class KO, PO, 10/15/23		2,256
	781	Series 2755, Class PA, PO, 02/15/29		776
	1,479	Series 2755, Class SA, IF, 13.703%, 05/15/30		1,611
	3,637	Series 2758, Class AO, PO, 03/15/19		3,510
	2,370	Series 2770, Class TW, 4.500%, 03/15/19		2,610
	22	Series 2771, Class FG, VAR, 0.000%, 03/15/34		22
	4,416	Series 2777, Class KO, PO, 02/15/33		4,359
	801	Series 2778, Class US, IF, IO, 6.951%, 06/15/33		11
	249	Series 2780, Class JG, 4.500%, 04/15/19		254
	895	Series 2780, Class SY, IF, 15.953%, 11/15/33		1,147
	5,672	Series 2802, Class OH, 6.000%, 05/15/34		6,639
	329	Series 2809, Class UB, 4.000%, 09/15/17		331
	2,000	Series 2809, Class UC, 4.000%, 06/15/19		2,135
	535	Series 2812, Class AB, 4.500%, 10/15/18		547
	2,346	Series 2812, Class NO, PO, 10/15/33		2,237
	4,751	Series 2827, Class QE, 5.500%, 03/15/33		4,974
	2,388	Series 2835, Class BO, PO, 12/15/28		2,339
	472	Series 2835, Class QO, PO, 12/15/32		448
	397	Series 2840, Class JO, PO, 06/15/23		388
	412	Series 2863, Class JA, 4.500%, 09/15/19		422
	1,482	Series 2864, Class GB, 4.000%, 09/15/19		1,573
	216	Series 2903, Class UZ, 5.500%, 07/15/31		216
	2,860	Series 2903, Class Z, 5.000%, 12/15/24		3,156
	6,102	Series 2921, Class MD, 5.000%, 06/15/33		6,293
	7,690	Series 2922, Class JN, 4.500%, 02/15/20		8,064
	1,856	Series 2929, Class MS, HB, IF, 27.067%, 02/15/35		3,080
	11,613	Series 2934, Class EC, PO, 02/15/20		11,218
	511	Series 2934, Class EN, PO, 02/15/18		505
	3,459	Series 2934, Class HI, IO, 5.000%, 02/15/20		342
	2,412	Series 2934, Class KI, IO, 5.000%, 02/15/20		238
	1,283	Series 2945, Class SA, IF, 11.847%, 03/15/20		1,508
	2,319	Series 2965, Class GD, 4.500%, 04/15/20		2,561
	1,132	Series 2967, Class S, HB, IF, 32.458%, 04/15/25		1,860
	10,244	Series 2968, Class EH, 6.000%, 04/15/35		12,342
	5,000	Series 2968, Class MD, 5.500%, 12/15/33		5,433

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	3,372	Series 2981, Class FA, VAR, 0.649%, 05/15/35		3,365
	3,207	Series 2988, Class AF, VAR, 0.549%, 06/15/35		3,190
	1,138	Series 2988, Class GS, IF, 16.004%, 06/15/35		1,291
	128	Series 2988, Class SD, IF, 15.879%, 03/15/35		136
	546	Series 2989, Class PO, PO, 06/15/23		534
	1,772	Series 2990, Class GO, PO, 02/15/35		1,639
	4,721	Series 2990, Class LK, VAR, 0.619%, 10/15/34		4,716
	3,723	Series 2990, Class SL, HB, IF, 23.582%, 06/15/34		5,704
	1,307	Series 2990, Class WP, IF, 16.387%, 06/15/35		1,656
	3,614	Series 2991, Class EG, 5.500%, 11/15/34		3,764
	5,000	Series 2992, Class LB, 5.000%, 06/15/20		5,635
	9,117	Series 2995, Class FK, VAR, 0.498%, 05/15/34		9,095
	215	Series 2996, Class SL, IF, 15.148%, 06/15/35		218
	5,394	Series 2999, Class NC, 4.500%, 12/15/18		5,491
	4,500	Series 2999, Class ND, 4.500%, 07/15/20		4,919
	382	Series 3007, Class AI, IO, 5.500%, 07/15/24		26
	8,143	Series 3013, Class AF, VAR, 0.498%, 05/15/35		8,108
	272	Series 3014, Class OD, PO, 08/15/35		261
	631	Series 3022, Class SX, IF, 16.254%, 08/15/25		887
	1,694	Series 3029, Class SO, PO, 09/15/35		1,623
	113	Series 3034, Class FB, VAR, 0.000%, 09/15/35		112
	4,120	Series 3042, Class PF, VAR, 0.498%, 08/15/35		4,099
	4	Series 3044, Class GU, VAR, 0.000%, 10/15/35		4
	38	Series 3044, Class VO, PO, 10/15/35		38
	1,548	Series 3047, Class OB, 5.500%, 12/15/33		1,628
	17,943	Series 3049, Class XF, VAR, 0.599%, 05/15/33		17,912
	1,356	Series 3051, Class DP, HB, IF, 26.935%, 10/15/25		2,145
	62	Series 3058, Class YO, PO, 10/15/35		61
	873	Series 3064, Class OB, 5.500%, 07/15/29		888
	1,509	Series 3064, Class SG, IF, 19.172%, 11/15/35		2,286
	5,744	Series 3065, Class DF, VAR, 0.628%, 04/15/35		5,739

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 31

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	717	Series 3068, Class AO, PO, 01/15/35		707
	3,761	Series 3077, Class TO, PO, 04/15/35		3,483
	5,886	Series 3085, Class WF, VAR, 1.048%, 08/15/35		5,930
	352	Series 3100, Class MA, VAR, 3.808%, 12/15/35		345
	7,916	Series 3101, Class UZ, 6.000%, 01/15/36		9,092
	6,407	Series 3102, Class FB, VAR, 0.549%, 01/15/36		6,394
	697	Series 3102, Class HS, HB, IF, 23.655%, 01/15/36		1,097
	7,567	Series 3117, Class AO, PO, 02/15/36		7,269
	1,553	Series 3117, Class EO, PO, 02/15/36		1,472
	2,423	Series 3117, Class OG, PO, 02/15/36		2,319
	1,485	Series 3117, Class OK, PO, 02/15/36		1,428
	4,616	Series 3122, Class OH, PO, 03/15/36		4,421
	4,311	Series 3122, Class OP, PO, 03/15/36		4,039
	131	Series 3122, Class ZB, 6.000%, 03/15/36		151
	602	Series 3134, Class PO, PO, 03/15/36		573
	4,335	Series 3137, Class XP, 6.000%, 04/15/36		4,888
	3,277	Series 3138, Class PO, PO, 04/15/36		3,129
	8,662	Series 3147, Class PO, PO, 04/15/36		8,289
	515	Series 3149, Class SO, PO, 05/15/36		478
	1,915	Series 3151, Class PO, PO, 05/15/36		1,811
	3,839	Series 3153, Class EO, PO, 05/15/36		3,653
	794	Series 3162, Class OB, 6.000%, 11/15/30		800
	2,400	Series 3164, Class MG, 6.000%, 06/15/36		2,733
	6,360	Series 3171, Class MO, PO, 06/15/36		6,035
	1,104	Series 3174, Class PX, 5.000%, 06/15/17		1,211
	2,799	Series 3179, Class OA, PO, 07/15/36		2,656
	3,949	Series 3181, Class AZ, 6.500%, 07/15/36		4,673
	6,490	Series 3184, Class OA, PO, 02/15/33		6,379
	7,300	Series 3189, Class PC, 6.000%, 08/15/35		8,024
	2,540	Series 3194, Class SA, IF, IO, 6.851%, 07/15/36		391
	6,218	Series 3195, Class PD, 6.500%, 07/15/36		6,962
	13,250	Series 3200, Class AY, 5.500%, 08/15/36		14,996
	2,771	Series 3200, Class PO, PO, 08/15/36		2,640
	27,540	Series 3202, Class HI, IF, IO, 6.401%, 08/15/36		4,681
	1,315	Series 3213, Class OA, PO, 09/15/36		1,248
	1,006	Series 3218, Class AO, PO, 09/15/36		959
	7,000	Series 3218, Class BE, 6.000%, 09/15/35		7,812
	8,956	Series 3219, Class DI, IO, 6.000%, 04/15/36		1,313
	2,874	Series 3225, Class EO, PO, 10/15/36		2,731
	3,773	Series 3232, Class ST, IF, IO, 6.451%, 10/15/36		576

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,117	Series 3233, Class OP, PO, 05/15/36		1,050
	358	Series 3253, Class A, 5.000%, 08/15/20		368
	15,657	Series 3253, Class PO, PO, 12/15/21		15,145
	1,149	Series 3256, Class PO, PO, 12/15/36		1,091
	2,223	Series 3260, Class CS, IF, IO, 5.892%, 01/15/37		311
	1,115	Series 3261, Class OA, PO, 01/15/37		1,059
	9,000	Series 3266, Class D, 5.000%, 01/15/22		9,886
	8,200	Series 3274, Class B, 6.000%, 02/15/37		9,153
	1,617	Series 3274, Class JO, PO, 02/15/37		1,490
	4,548	Series 3275, Class FL, VAR, 0.689%, 02/15/37		4,537
	5,500	Series 3284, Class CB, 5.000%, 03/15/22		6,287
	2,368	Series 3286, Class PO, PO, 03/15/37		2,183
	4,276	Series 3290, Class SB, IF, IO, 6.202%, 03/15/37		690
	3,000	Series 3302, Class UT, 6.000%, 04/15/37		3,464
	3,430	Series 3305, Class MG, IF, 2.468%, 07/15/34		3,563
	6,644	Series 3315, Class HZ, 6.000%, 05/15/37		7,831
	3,157	Series 3316, Class PO, PO, 05/15/37		2,973
	266	Series 3318, Class AO, PO, 05/15/37		249
	1,492	Series 3326, Class JO, PO, 06/15/37		1,377
	5,000	Series 3329, Class JD, 6.000%, 06/15/36		5,718
	2,258	Series 3329, Class WK, 6.000%, 12/15/31		2,304
	2,039	Series 3331, Class PO, PO, 06/15/37		1,937
	565	Series 3334, Class MC, 5.000%, 04/15/33		566
	7,436	Series 3344, Class FT, VAR, 0.599%, 07/15/34		7,424
	3,389	Series 3344, Class SL, IF, IO, 6.352%, 07/15/37		514
	1,496	Series 3365, Class PO, PO, 09/15/37		1,407
	2,977	Series 3369, Class VA, 6.000%, 07/15/18		3,141
	1,264	Series 3371, Class FA, VAR, 0.849%, 09/15/37		1,268
	1,880	Series 3373, Class TO, PO, 04/15/37		1,794
	14,845	Series 3383, Class SA, IF, IO, 6.202%, 11/15/37		2,276
	19,383	Series 3387, Class SA, IF, IO, 6.172%, 11/15/37		2,925
	2,214	Series 3389, Class DQ, 5.750%, 10/15/35		2,389
	4,740	Series 3393, Class JO, PO, 09/15/32		4,360
	4,742	Series 3398, Class PO, PO, 01/15/36		4,599
	4,000	Series 3402, Class NC, 5.000%, 12/15/22		4,464
	20,055	Series 3404, Class SC, IF, IO, 5.752%, 01/15/38		2,718
	1,069	Series 3422, Class SE, IF, 16.829%, 02/15/38		1,469

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,500	Series 3423, Class PB, 5.500%, 03/15/38		6,458
	9,463	Series 3424, Class PI, IF, IO, 6.551%, 04/15/38		1,403
	10,813	Series 3430, Class AI, IO, 1.417%, 09/15/12		52
	495	Series 3443, Class SY, IF, 9.000%, 03/15/37		534
	14,500	Series 3453, Class B, 5.500%, 05/15/38		15,873
	6,554	Series 3455, Class SE, IF, IO, 5.951%, 06/15/38		917
	2,553	Series 3461, Class LZ, 6.000%, 06/15/38		2,887
	7,472	Series 3461, Class Z, 6.000%, 06/15/38		8,887
	12,143	Series 3481, Class SJ, IF, IO, 5.601%, 08/15/38		1,624
	7,500	Series 3493, Class LA, 4.000%, 10/15/23		8,152
	6,500	Series 3501, Class CB, 5.500%, 01/15/39		7,115
	9,923	Series 3505, Class SA, IF, IO, 5.752%, 01/15/39		1,250
	2,711	Series 3510, Class OD, PO, 02/15/37		2,562
	9,609	Series 3511, Class SA, IF, IO, 5.752%, 02/15/39		1,215
	2,056	Series 3515, Class PI, IO, 5.500%, 07/15/37		236
	2,605	Series 3523, Class SD, IF, 18.979%, 06/15/36		3,469
	14,119	Series 3531, Class SA, IF, IO, 6.051%, 05/15/39		1,715
	9,739	Series 3531, Class SM, IF, IO, 5.852%, 05/15/39		1,330
	3,351	Series 3546, Class A, VAR, 5.345%, 02/15/39		3,571
	11,027	Series 3549, Class FA, VAR, 1.449%, 07/15/39		11,091
	4,842	Series 3564, Class JA, 4.000%, 01/15/18		5,114
	5,750	Series 3607, Class AO, PO, 04/15/36		5,262
	10,538	Series 3607, Class BO, PO, 04/15/36		9,644
	4,440	Series 3607, Class EO, PO, 02/15/33		4,344
	6,812	Series 3607, Class OP, PO, 07/15/37		6,336
	12,031	Series 3607, Class PO, PO, 05/15/37		11,190
	4,868	Series 3607, Class TO, PO, 10/15/39		4,581
	15,240	Series 3608, Class SC, IF, IO, 6.001%, 12/15/39		2,125
	9,966	Series 3611, Class PO, PO, 07/15/34		9,264
	2,000	Series 3614, Class QB, 4.000%, 12/15/24		2,169
	7,103	Series 3621, Class BO, PO, 01/15/40		6,739
	4,600	Series 3632, Class BS, IF, 16.672%, 02/15/40		7,468
	2,888	Series 3645, Class KZ, 5.500%, 08/15/36		3,306
	6,800	Series 3654, Class DC, 5.000%, 04/15/30		7,727
	4,039	Series 3654, Class VB, 5.500%, 10/15/27		4,625
	3,766	Series 3659, Class VE, 5.000%, 03/15/26		4,204

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	11,677	Series 3666, Class VA, 5.500%, 12/15/22		12,946
	23,930	Series 3680, Class MA, 4.500%, 07/15/39		25,949
	7,000	Series 3684, Class CY, 4.500%, 06/15/25		7,796
	17,873	Series 3687, Class MA, 4.500%, 02/15/37		19,121
	7,927	Series 3688, Class CU, VAR, 6.801%, 11/15/21		9,130
	29,530	Series 3688, Class GT, VAR, 7.158%, 11/15/46		34,887
	79,456	Series 3704, Class CT, 7.000%, 12/15/36		93,255
	35,497	Series 3704, Class DT, 7.500%, 11/15/36		41,529
	32,989	Series 3704, Class ET, 7.500%, 12/15/36		37,924
	21,660	Series 3740, Class SB, IF, IO, 5.752%, 10/15/40		4,288
	22,161	Series 3740, Class SC, IF, IO, 5.752%, 10/15/40		4,391
	50,068	Series 3747, Class HI, IO, 4.500%, 07/15/37		6,754
	28,874	Series 3756, Class IP, IO, 4.000%, 08/15/35		2,010
	38,720	Series 3759, Class HI, IO, 4.000%, 08/15/37		4,358
	32,138	Series 3760, Class GI, IO, 4.000%, 10/15/37		3,137
	23,010	Series 3760, Class NI, IO, 4.000%, 10/15/37		2,236
	18,119	Series 3779, Class IH, IO, 4.000%, 11/15/34		1,798
	14,618	Series 3795, Class EI, IO, 5.000%, 10/15/39		2,202
	7,003	Series 3798, Class BF, VAR, 0.549%, 06/15/24		7,003
	11,669	Series 3800, Class AI, IO, 4.000%, 11/15/29		1,149
	66,964	Series 3802, Class LS, IF, IO, 4.270%, 01/15/40		3,386
	33,398	Series 3804, Class FN, VAR, 0.698%, 03/15/39		33,424
	31,692	Series 3819, Class ZQ, 6.000%, 04/15/36		36,907
	9,729	Series 3852, Class QN, IF, 5.500%, 05/15/41		11,113
	24,202	Series 3852, Class TP, IF, 5.500%, 05/15/41		28,086
	8,536	Series 3860, Class PZ, 5.000%, 05/15/41		9,916
	8,733	Series 3895, Class WA, VAR, 5.702%, 10/15/38		9,748
	9,200	Series 3920, Class LP, 5.000%, 01/15/34		10,319
	29,378	Series 3925, Class FL, VAR, 0.698%, 01/15/41		29,326
	25,552	Series 3957, Class B, 4.000%, 11/15/41		27,151
	10,888	Series 3966, Class NA, 4.000%, 12/15/41		11,585
	14,604	Series R006, Class ZA, 6.000%, 04/15/36		17,007
	19,751	Series R007, Class ZA, 6.000%, 05/15/36		23,171
		Federal Home Loan Mortgage Corp. STRIPS,
	6	Series 134, Class B, IO, 9.000%, 04/01/22		1
	3,985	Series 197, Class PO, PO, 04/01/28		3,677
	11,144	Series 233, Class 11, IO, 5.000%, 09/15/35		1,376

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 33

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	9,024	Series 233, Class 12, IO, 5.000%, 09/15/35		1,120
	17,549	Series 233, Class 13, IO, 5.000%, 09/15/35		2,160
	51,388	Series 239, Class S30, IF, IO, 7.451%, 08/15/36		7,728
	5,072	Series 243, Class 16, IO, 4.500%, 11/15/20		448
	3,241	Series 243, Class 17, IO, 4.500%, 12/15/20		294
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	1,248	Series T-41, Class 3A, VAR, 6.987%, 07/25/32		1,436
	5,197	Series T-42, Class A5, 7.500%, 02/25/42		6,256
	3,685	Series T-48, Class 1A, VAR, 6.294%, 07/25/33		4,163
	803	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		949
	4,862	Series T-54, Class 2A, 6.500%, 02/25/43		5,427
	1,686	Series T-54, Class 3A, 7.000%, 02/25/43		1,971
	11,895	Series T-56, Class A5, 5.231%, 05/25/43		12,954
	1,341	Series T-57, Class 1A3, 7.500%, 07/25/43		1,547
	510	Series T-57, Class 1AP, PO, 07/25/43		371
	6,650	Series T-58, Class 4A, 7.500%, 09/25/43		7,818
	622	Series T-58, Class APO, PO, 09/25/43		517
	6,468	Series T-59, Class 1A2, 7.000%, 10/25/43		7,336
	705	Series T-59, Class 1AP, PO, 10/25/43		501
	32,358	Series T-76, Class 2A, VAR, 4.749%, 10/25/37		33,148
		Federal National Mortgage Association - ACES,
	21,500	Series 2010-M1, Class A2, 4.450%, 09/25/19		23,883
	8,000	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		8,851
	6,910	Series 2010-M7, Class A2, 3.655%, 11/25/20		7,411
	10,000	Series 2011-M1, Class A3, 3.763%, 06/25/21		10,724
	8,664	Series 2011-M2, Class A2, 3.645%, 07/25/21		9,316
	58,500	Series 2011-M2, Class A3, 3.764%, 07/25/21		63,565
	32,200	Series 2011-M4, Class A2, 3.726%, 06/25/21		34,878
	6,845	Series 2011-M8, Class A2, 2.922%, 08/25/21		7,017
		Federal National Mortgage Association Grantor Trust,
	2,331	Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39		2,638

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Agency CMO — Continued
	2,810		Series 2001-T10, Class A2, 7.500%, 12/25/41		3,254
	2,678		Series 2001-T3, Class A1, 7.500%, 11/25/40		3,138
	3,044		Series 2002-T16, Class A2, 7.000%, 07/25/42		3,557
	917		Series 2004-T1, Class 1A2, 6.500%, 01/25/44		1,035
	6,731		Series 2004-T2, Class 1A4, 7.500%, 11/25/43		7,970
	3,665		Series 2004-T2, Class 2A, VAR, 3.459%, 07/25/43		3,915
	9,387		Series 2004-T3, Class 1A2, 6.500%, 02/25/44		10,869
	3,704		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		4,281
	971		Series 2004-T3, Class PT1, VAR, 8.102%, 01/25/44		1,131
			Federal National Mortgage Association REMICS,
	17		Series 1988-7, Class Z, 9.250%, 04/25/18		20
	75		Series 1989-70, Class G, 8.000%, 10/25/19		86
	28		Series 1989-78, Class H, 9.400%, 11/25/19		32
	32		Series 1989-83, Class H, 8.500%, 11/25/19		37
	31		Series 1989-89, Class H, 9.000%, 11/25/19		37
	19		Series 1990-1, Class D, 8.800%, 01/25/20		22
	9		Series 1990-7, Class B, 8.500%, 01/25/20		10
	10		Series 1990-60, Class K, 5.500%, 06/25/20		11
	17		Series 1990-63, Class H, 9.500%, 06/25/20		19
	12		Series 1990-93, Class G, 5.500%, 08/25/20		13
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		2
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		6
	86		Series 1990-102, Class J, 6.500%, 08/25/20		95
	67		Series 1990-120, Class H, 9.000%, 10/25/20		78
	10		Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20		15
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		9
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		1
	20		Series 1991-24, Class Z, 5.000%, 03/25/21		22
	21		Series 1991-42, Class S, IF, 17.238%, 05/25/21		29
	2		Series 1992-101, Class J, 7.500%, 06/25/22		2
	570		Series 1992-117, Class MA, 8.000%, 07/25/22		662

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	95	Series 1992-136, Class PK, 6.000%, 08/25/22		106
	105	Series 1992-143, Class MA, 5.500%, 09/25/22		117
	656	Series 1992-150, Class M, 8.000%, 09/25/22		760
	234	Series 1992-163, Class M, 7.750%, 09/25/22		273
	328	Series 1992-188, Class PZ, 7.500%, 10/25/22		380
	159	Series 1993-21, Class KA, 7.700%, 03/25/23		185
	404	Series 1993-25, Class J, 7.500%, 03/25/23		470
	62	Series 1993-27, Class SA, IF, 15.500%, 02/25/23		90
	978	Series 1993-37, Class PX, 7.000%, 03/25/23		1,124
	347	Series 1993-54, Class Z, 7.000%, 04/25/23		399
	3,912	Series 1993-56, Class PZ, 7.000%, 05/25/23		4,522
	167	Series 1993-62, Class SA, IF, 17.684%, 04/25/23		246
	2,018	Series 1993-99, Class Z, 7.000%, 07/25/23		2,299
	93	Series 1993-122, Class M, 6.500%, 07/25/23		105
	1,908	Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23		2,180
	2,962	Series 1993-141, Class Z, 7.000%, 08/25/23		3,375
	86	Series 1993-165, Class SD, IF, 12.266%, 09/25/23		109
	108	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		137
	14	Series 1993-167, Class GA, 7.000%, 09/25/23		14
	155	Series 1993-178, Class PK, 6.500%, 09/25/23		175
	72	Series 1993-179, Class SB, HB, IF, 24.408%, 10/25/23		121
	48	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		59
	2,853	Series 1993-183, Class KA, 6.500%, 10/25/23		3,202
	1,164	Series 1993-189, Class PL, 6.500%, 10/25/23		1,307
	190	Series 1993-199, Class FA, VAR, 0.800%, 10/25/23		191
	137	Series 1993-205, Class H, PO, 09/25/23		130
	98	Series 1993-220, Class SG, IF, 15.500%, 11/25/13		108
	69	Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13		79

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	213	Series 1993-225, Class UB, 6.500%, 12/25/23		233
	61	Series 1993-230, Class FA, VAR, 0.850%, 12/25/23		61
	202	Series 1993-247, Class FE, VAR, 1.250%, 12/25/23		206
	247	Series 1993-247, Class SA, HB, IF, 25.603%, 12/25/23		412
	94	Series 1993-247, Class SU, IF, 11.729%, 12/25/23		110
	702	Series 1993-250, Class Z, 7.000%, 12/25/23		743
	734	Series 1993-257, Class C, PO, 06/25/23		733
	15	Series 1994-9, Class E, PO, 11/25/23		15
	811	Series 1994-37, Class L, 6.500%, 03/25/24		932
	3,877	Series 1994-40, Class Z, 6.500%, 03/25/24		4,369
	5,986	Series 1994-62, Class PK, 7.000%, 04/25/24		6,982
	2,731	Series 1994-63, Class PK, 7.000%, 04/25/24		3,067
	121	Series 1995-2, Class Z, 8.500%, 01/25/25		141
	373	Series 1995-19, Class Z, 6.500%, 11/25/23		444
	1,468	Series 1996-14, Class SE, IF, IO, 8.740%, 08/25/23		319
	57	Series 1996-27, Class FC, VAR, 0.750%, 03/25/17		58
	1,169	Series 1996-48, Class Z, 7.000%, 11/25/26		1,362
	150	Series 1996-59, Class J, 6.500%, 08/25/22		168
	99	Series 1996-59, Class K, 6.500%, 07/25/23		101
	332	Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		14
	1,137	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		53
	242	Series 1997-27, Class J, 7.500%, 04/18/27		272
	262	Series 1997-29, Class J, 7.500%, 04/20/27		297
	799	Series 1997-32, Class PG, 6.500%, 04/25/27		922
	1,025	Series 1997-39, Class PD, 7.500%, 05/20/27		1,195
	153	Series 1997-42, Class EN, 7.250%, 07/18/27		157
	83	Series 1997-42, Class ZC, 6.500%, 07/18/27		94
	1,379	Series 1997-61, Class ZC, 7.000%, 02/25/23		1,565
	376	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		63
	39	Series 1998-4, Class C, PO, 04/25/23		37
	882	Series 1998-36, Class ZB, 6.000%, 07/18/28		966
	283	Series 1998-43, Class SA, IF, IO, 19.010%, 04/25/23		132
	430	Series 1998-66, Class SB, IF, IO, 7.906%, 12/25/28		87

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 35

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	270	Series 1999-17, Class C, 6.350%, 04/25/29		308
	1,607	Series 1999-18, Class Z, 5.500%, 04/18/29		1,761
	447	Series 1999-38, Class SK, IF, IO, 7.806%, 08/25/23		63
	134	Series 1999-52, Class NS, HB, IF, 22.697%, 10/25/23		216
	356	Series 1999-62, Class PB, 7.500%, 12/18/29		422
	1,909	Series 2000-2, Class ZE, 7.500%, 02/25/30		2,261
	530	Series 2000-20, Class SA, IF, IO, 8.856%, 07/25/30		146
	85	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		20
	660	Series 2001-4, Class PC, 7.000%, 03/25/21		718
	232	Series 2001-5, Class OW, 6.000%, 03/25/16		239
	304	Series 2001-7, Class PF, 7.000%, 03/25/31		359
	686	Series 2001-7, Class PR, 6.000%, 03/25/16		711
	671	Series 2001-10, Class PR, 6.000%, 04/25/16		694
	804	Series 2001-30, Class PM, 7.000%, 07/25/31		950
	1,899	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		424
	1,476	Series 2001-36, Class DE, 7.000%, 08/25/31		1,745
	1,851	Series 2001-44, Class MY, 7.000%, 09/25/31		2,187
	538	Series 2001-44, Class PD, 7.000%, 09/25/31		636
	345	Series 2001-44, Class PU, 7.000%, 09/25/31		408
	4,450	Series 2001-48, Class Z, 6.500%, 09/25/21		4,946
	496	Series 2001-49, Class Z, 6.500%, 09/25/31		567
	237	Series 2001-52, Class KB, 6.500%, 10/25/31		271
	583	Series 2001-52, Class XN, 6.500%, 11/25/15		622
	3,848	Series 2001-60, Class PX, 6.000%, 11/25/31		4,340
	1,088	Series 2001-60, Class QS, HB, IF, 23.646%, 09/25/31		1,858
	2,746	Series 2001-61, Class Z, 7.000%, 11/25/31		3,246
	726	Series 2001-71, Class MB, 6.000%, 12/25/16		776
	1,281	Series 2001-71, Class QE, 6.000%, 12/25/16		1,366
	169	Series 2001-72, Class SX, IF, 16.898%, 12/25/31		251
	4,092	Series 2001-74, Class MB, 6.000%, 12/25/16		4,372
	140	Series 2001-81, Class LO, PO, 01/25/32		135
	1,332	Series 2002-1, Class G, 7.000%, 07/25/23		1,541
	671	Series 2002-1, Class HC, 6.500%, 02/25/22		717

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	476	Series 2002-1, Class SA, HB, IF, 24.395%, 02/25/32		835
	202	Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23		331
	1,080	Series 2002-2, Class UC, 6.000%, 02/25/17		1,156
	2,823	Series 2002-3, Class OG, 6.000%, 02/25/17		3,011
	2,840	Series 2002-5, Class PK, 6.000%, 02/25/22		3,241
	494	Series 2002-7, Class OG, 6.000%, 03/25/17		527
	1,641	Series 2002-7, Class TG, 6.000%, 03/25/17		1,749
	525	Series 2002-11, Class QG, 5.500%, 03/25/17		558
	2,501	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		110
	42	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		50
	8,492	Series 2002-15, Class ZA, 6.000%, 04/25/32		9,532
	2,668	Series 2002-16, Class PG, 6.000%, 04/25/17		2,889
	2,751	Series 2002-18, Class PC, 5.500%, 04/25/17		2,843
	499	Series 2002-19, Class PE, 6.000%, 04/25/17		532
	109	Series 2002-21, Class LO, PO, 04/25/32		100
	1,503	Series 2002-21, Class PE, 6.500%, 04/25/32		1,672
	1,937	Series 2002-24, Class AJ, 6.000%, 04/25/17		2,105
	2,828	Series 2002-28, Class PK, 6.500%, 05/25/32		3,233
	998	Series 2002-31, Class S, IF, 18.734%, 05/25/17		1,275
	1,271	Series 2002-37, Class Z, 6.500%, 06/25/32		1,401
	5,847	Series 2002-38, Class QE, 6.000%, 06/25/17		6,232
	769	Series 2002-42, Class C, 6.000%, 07/25/17		827
	3,353	Series 2002-48, Class GH, 6.500%, 08/25/32		3,738
	5,000	Series 2002-54, Class PG, 6.000%, 09/25/22		5,530
	379	Series 2002-55, Class QE, 5.500%, 09/25/17		407
	5,417	Series 2002-56, Class UC, 5.500%, 09/25/17		5,824
	2,152	Series 2002-57, Class AE, 5.500%, 09/25/17		2,309
	513	Series 2002-63, Class KC, 5.000%, 10/25/17		547
	679	Series 2002-71, Class AP, 5.000%, 11/25/32		761
	4,639	Series 2002-71, Class KM, 5.000%, 11/25/17		4,948
	712	Series 2002-77, Class S, IF, 14.036%, 12/25/32		881
	12,425	Series 2002-78, Class Z, 5.500%, 12/25/32		13,840
	4,704	Series 2002-81, Class JO, PO, 04/25/32		4,667
	1,615	Series 2002-83, Class CS, 6.881%, 08/25/23		1,858
	1,743	Series 2002-84, Class VB, 5.500%, 04/25/15		1,813

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,296	Series 2002-90, Class A1, 6.500%, 06/25/42		1,510
	111	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		3
	5,256	Series 2002-94, Class BK, 5.500%, 01/25/18		5,644
	1,091	Series 2003-9, Class NZ, 6.500%, 02/25/33		1,246
	1,404	Series 2003-14, Class TI, IO, 5.000%, 03/25/33		237
	5,000	Series 2003-17, Class EQ, 5.500%, 03/25/23		5,724
	4,550	Series 2003-22, Class UD, 4.000%, 04/25/33		4,949
	8,000	Series 2003-23, Class EQ, 5.500%, 04/25/23		9,133
	3,048	Series 2003-23, Class PG, 5.500%, 01/25/32		3,124
	316	Series 2003-27, Class DW, 4.500%, 04/25/17		320
	1,349	Series 2003-32, Class KC, 5.000%, 05/25/18		1,445
	5,065	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		1,025
	2,325	Series 2003-34, Class AX, 6.000%, 05/25/33		2,615
	2,256	Series 2003-34, Class ED, 6.000%, 05/25/33		2,712
	640	Series 2003-34, Class GB, 6.000%, 03/25/33		746
	1,199	Series 2003-34, Class GE, 6.000%, 05/25/33		1,442
	615	Series 2003-35, Class EA, PO, 05/25/33		589
	587	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		105
	1,960	Series 2003-39, Class LW, 5.500%, 05/25/23		2,222
	2,800	Series 2003-41, Class PE, 5.500%, 05/25/23		3,133
	987	Series 2003-42, Class GB, 4.000%, 05/25/33		1,057
	573	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		27
	2,715	Series 2003-47, Class PE, 5.750%, 06/25/33		3,138
	999	Series 2003-52, Class SX, HB, IF, 22.218%, 10/25/31		1,642
	3,285	Series 2003-56, Class AZ, 5.500%, 08/25/31		3,371
	1,685	Series 2003-64, Class SX, IF, 13.081%, 07/25/33		2,104
	5,000	Series 2003-67, Class TJ, 4.750%, 07/25/18		5,426
	5	Series 2003-67, Class VQ, 7.000%, 01/25/19		5
	94	Series 2003-68, Class QP, 3.000%, 07/25/22		95
	3,251	Series 2003-71, Class DS, IF, 7.110%, 08/25/33		3,180
	14,259	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		2,092

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	5,000	Series 2003-73, Class HC, 5.500%, 08/25/33		5,751
	1,582	Series 2003-73, Class HF, VAR, 0.694%, 01/25/31		1,583
	349	Series 2003-74, Class SH, IF, 9.731%, 08/25/33		385
	1,957	Series 2003-76, Class SH, IF, 13.712%, 09/25/31		2,242
	4,473	Series 2003-80, Class SY, IF, IO, 7.406%, 06/25/23		549
	6,199	Series 2003-81, Class HC, 4.750%, 09/25/18		6,627
	1,580	Series 2003-81, Class LC, 4.500%, 09/25/18		1,695
	1,866	Series 2003-82, Class VB, 5.500%, 08/25/33		2,049
	6,907	Series 2003-83, Class PG, 5.000%, 06/25/23		7,376
	1,099	Series 2003-91, Class SD, IF, 12.093%, 09/25/33		1,243
	290	Series 2003-92, Class GA, 4.500%, 09/25/18		291
	21	Series 2003-92, Class SH, IF, 9.201%, 09/25/18		21
	19,044	Series 2003-105, Class AZ, 5.500%, 10/25/33		21,805
	5,691	Series 2003-116, Class SB, IF, IO, 7.356%, 11/25/33		1,089
	5,361	Series 2003-117, Class JB, 3.500%, 06/25/33		5,610
	2,240	Series 2003-122, Class TE, 5.000%, 12/25/22		2,371
	561	Series 2003-128, Class KE, 4.500%, 01/25/14		575
	3,300	Series 2003-128, Class NG, 4.000%, 01/25/19		3,526
	1,908	Series 2003-130, Class CS, IF, 13.612%, 12/25/33		2,302
	938	Series 2003-130, Class SX, IF, 11.154%, 01/25/34		1,051
	960	Series 2003-131, Class SK, IF, 15.712%, 01/25/34		1,226
	479	Series 2003-132, Class OA, PO, 08/25/33		451
	5,895	Series 2004-3, Class BE, 4.000%, 02/25/19		6,301
	3,773	Series 2004-4, Class QI, IF, IO, 6.856%, 06/25/33		583
	2,806	Series 2004-4, Class QM, IF, 13.712%, 06/25/33		3,448
	2,484	Series 2004-10, Class SC, HB, IF, 27.624%, 02/25/34		3,586
	768	Series 2004-14, Class SD, IF, 8.709%, 03/25/34		769

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 37

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	4,433	Series 2004-17, Class H, 5.500%, 04/25/34		5,019
	1,000	Series 2004-21, Class AE, 4.000%, 04/25/19		1,071
	1,113	Series 2004-21, Class CO, PO, 04/25/34		1,081
	297	Series 2004-22, Class A, 4.000%, 04/25/19		300
	3,275	Series 2004-25, Class PC, 5.500%, 01/25/34		3,704
	3,692	Series 2004-25, Class SA, IF, 18.854%, 04/25/34		5,256
	8,100	Series 2004-27, Class HB, 4.000%, 05/25/19		8,693
	6,197	Series 2004-28, Class PF, VAR, 0.644%, 03/25/34		6,200
	9,638	Series 2004-36, Class FA, VAR, 0.644%, 05/25/34		9,641
	2,157	Series 2004-36, Class PC, 5.500%, 02/25/34		2,444
	4,121	Series 2004-36, Class SA, IF, 18.854%, 05/25/34		5,820
	1,482	Series 2004-36, Class SN, IF, 13.712%, 07/25/33		1,719
	6,756	Series 2004-46, Class EP, PO, 03/25/34		6,456
	2,171	Series 2004-46, Class HS, IF, IO, 5.756%, 05/25/30		65
	996	Series 2004-46, Class QB, HB, IF, 23.024%, 05/25/34		1,468
	864	Series 2004-46, Class SK, IF, 15.829%, 05/25/34		1,113
	9,138	Series 2004-50, Class VZ, 5.500%, 07/25/34		10,634
	957	Series 2004-51, Class SY, IF, 13.752%, 07/25/34		1,194
	1,078	Series 2004-53, Class NC, 5.500%, 07/25/24		1,153
	867	Series 2004-59, Class BG, PO, 12/25/32		825
	465	Series 2004-61, Class CO, PO, 10/25/31		464
	257	Series 2004-61, Class SH, HB, IF, 23.012%, 11/25/32		410
	772	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		880
	5,000	Series 2004-65, Class EY, 5.500%, 08/25/24		5,635
	12,000	Series 2004-72, Class CB, 4.000%, 09/25/19		12,890
	903	Series 2004-74, Class SW, IF, 15.009%, 11/25/31		1,222
	2,064	Series 2004-76, Class CL, 4.000%, 10/25/19		2,187
	3,630	Series 2004-79, Class S, IF, 19.129%, 08/25/32		4,981
	1,218	Series 2004-79, Class SP, IF, 19.129%, 11/25/34		1,684
	1,815	Series 2004-81, Class AC, 4.000%, 11/25/19		1,922
	9,600	Series 2004-81, Class JG, 5.000%, 11/25/24		10,730

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	671	Series 2004-89, Class EA, IF, 12.776%, 01/25/34		766
	1,285	Series 2004-92, Class BX, 5.500%, 09/25/34		1,428
	83	Series 2004-92, Class JO, PO, 12/25/34		82
	2,120	Series 2004-101, Class HD, 5.000%, 01/25/20		2,342
	764	Series 2005-14, Class BA, 4.500%, 04/25/19		781
	5,600	Series 2005-16, Class LE, 5.500%, 07/25/33		6,159
	4,239	Series 2005-25, Class PF, VAR, 0.594%, 04/25/35		4,229
	393	Series 2005-27, Class TH, 5.500%, 07/25/31		401
	825	Series 2005-42, Class PS, IF, 16.390%, 05/25/35		1,121
	471	Series 2005-45, Class BG, 4.500%, 06/25/25		475
	274	Series 2005-52, Class PA, 6.500%, 06/25/35		298
	3,816	Series 2005-56, Class S, IF, IO, 6.466%, 07/25/35		613
	1,868	Series 2005-56, Class TP, IF, 17.418%, 08/25/33		2,600
	1,247	Series 2005-57, Class CD, HB, IF, 24.210%, 01/25/35		1,836
	348	Series 2005-57, Class DC, HB, IF, 20.982%, 12/25/34		447
	6,213	Series 2005-57, Class EG, VAR, 0.544%, 03/25/35		6,201
	1,000	Series 2005-59, Class SU, HB, IF, 24.280%, 06/25/35		1,779
	1,103	Series 2005-66, Class SG, IF, 16.765%, 07/25/35		1,548
	8,500	Series 2005-67, Class EY, 5.500%, 08/25/25		9,360
	1,500	Series 2005-68, Class BC, 5.250%, 06/25/35		1,658
	5,497	Series 2005-68, Class PG, 5.500%, 08/25/35		6,251
	2,500	Series 2005-68, Class UC, 5.000%, 06/25/35		2,751
	5,750	Series 2005-72, Class SB, IF, 16.265%, 08/25/35		7,558
	1,680	Series 2005-73, Class PS, IF, 16.090%, 08/25/35		2,354
	9,804	Series 2005-73, Class ZB, 5.500%, 08/25/35		11,088
	1,436	Series 2005-74, Class CP, HB, IF, 23.855%, 05/25/35		2,290
	6,259	Series 2005-74, Class CS, IF, 19.349%, 05/25/35		8,890
	4,303	Series 2005-74, Class SK, IF, 19.459%, 05/25/35		6,126
	907	Series 2005-75, Class SV, HB, IF, 23.224%, 09/25/35		1,391

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	6,576	Series 2005-84, Class XM, 5.750%, 10/25/35		7,447
	2,218	Series 2005-90, Class ES, IF, 16.265%, 10/25/35		3,139
	1,316	Series 2005-90, Class PO, PO, 09/25/35		1,256
	5,292	Series 2005-93, Class MF, VAR, 0.494%, 08/25/34		5,271
	11,471	Series 2005-106, Class US, HB, IF, 23.672%, 11/25/35		18,584
	3,032	Series 2005-109, Class PB, 6.000%, 01/25/34		3,127
	1,000	Series 2005-109, Class PC, 6.000%, 12/25/35		1,169
	10,025	Series 2005-110, Class GJ, 5.500%, 11/25/30		10,348
	17,500	Series 2005-110, Class GK, 5.500%, 08/25/34		19,375
	5,659	Series 2005-110, Class GL, 5.500%, 12/25/35		6,669
	1,757	Series 2005-110, Class MJ, 5.500%, 01/25/33		1,820
	2,840	Series 2005-110, Class MN, 5.500%, 06/25/35		3,250
	1,098	Series 2005-116, Class PB, 6.000%, 04/25/34		1,181
	21,979	Series 2005-118, Class PN, 6.000%, 01/25/32		22,844
	3,350	Series 2005-121, Class DX, 5.500%, 01/25/26		3,772
	4,104	Series 2005-123, Class FG, VAR, 0.694%, 07/25/34		4,097
	4,000	Series 2006-7, Class TC, 6.000%, 09/25/33		4,137
	6,950	Series 2006-8, Class JZ, 5.500%, 03/25/36		8,039
	1,128	Series 2006-11, Class PS, HB, IF, 23.672%, 03/25/36		1,672
	6,950	Series 2006-12, Class BZ, 5.500%, 03/25/36		8,003
	1,793	Series 2006-15, Class OT, PO, 01/25/36		1,735
	3,908	Series 2006-16, Class FC, VAR, 0.544%, 03/25/36		3,900
	6,950	Series 2006-16, Class HZ, 5.500%, 03/25/36		7,848
	932	Series 2006-16, Class OA, PO, 03/25/36		890
	2,231	Series 2006-22, Class AO, PO, 04/25/36		2,099
	3,082	Series 2006-23, Class FK, VAR, 0.494%, 04/25/36		3,065
	1,666	Series 2006-23, Class KO, PO, 04/25/36		1,594
	4,395	Series 2006-27, Class OH, PO, 04/25/36		4,128
	979	Series 2006-33, Class LS, HB, IF, 29.052%, 05/25/36		1,701

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	17,000	Series 2006-35, Class GD, 6.000%, 12/25/34		18,598
	2,000	Series 2006-39, Class WC, 5.500%, 01/25/36		2,268
	1,871	Series 2006-42, Class CF, VAR, 0.694%, 06/25/36		1,872
	3,558	Series 2006-43, Class DO, PO, 06/25/36		3,391
	1,228	Series 2006-43, Class PO, PO, 06/25/36		1,168
	3,196	Series 2006-43, Class VB, 6.500%, 10/25/17		3,276
	11,655	Series 2006-44, Class FP, VAR, 0.644%, 06/25/36		11,648
	2,193	Series 2006-44, Class GO, PO, 06/25/36		2,059
	6,511	Series 2006-44, Class P, PO, 12/25/33		6,207
	2,846	Series 2006-46, Class FW, VAR, 0.644%, 06/25/36		2,844
	455	Series 2006-46, Class SW, HB, IF, 23.305%, 06/25/36		670
	2,000	Series 2006-46, Class UC, 5.500%, 12/25/35		2,265
	7,800	Series 2006-50, Class JO, PO, 06/25/36		7,434
	10,656	Series 2006-50, Class PS, PO, 06/25/36		10,154
	10,412	Series 2006-53, Class US, IF, IO, 6.336%, 06/25/36		1,393
	16,768	Series 2006-56, Class FC, VAR, 0.534%, 07/25/36		16,717
	6,217	Series 2006-56, Class PF, VAR, 0.594%, 07/25/36		6,211
	836	Series 2006-58, Class AP, PO, 07/25/36		768
	2,185	Series 2006-58, Class FL, VAR, 0.704%, 07/25/36		2,186
	7,507	Series 2006-58, Class IG, IF, IO, 6.276%, 07/25/36		1,133
	1,351	Series 2006-58, Class PO, PO, 07/25/36		1,273
	43	Series 2006-59, Class CO, PO, 08/25/35		43
	3,567	Series 2006-59, Class QO, PO, 01/25/33		3,463
	1,007	Series 2006-60, Class AK, HB, IF, 27.824%, 07/25/36		1,676
	5,605	Series 2006-60, Class DO, PO, 04/25/35		5,267
	1,078	Series 2006-62, Class PS, HB, IF, 38.436%, 07/25/36		1,907
	10,107	Series 2006-63, Class ZH, 6.500%, 07/25/36		11,909
	2,577	Series 2006-65, Class QO, PO, 07/25/36		2,420
	1,718	Series 2006-66, Class NV, 6.500%, 02/25/24		1,759
	16,063	Series 2006-71, Class ZL, 6.000%, 07/25/36		18,862
	4,510	Series 2006-72, Class GO, PO, 08/25/36		4,264

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 39

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,271	Series 2006-72, Class TO, PO, 08/25/36		1,206
	9,597	Series 2006-77, Class PC, 6.500%, 08/25/36		10,912
	2,872	Series 2006-78, Class BZ, 6.500%, 08/25/36		3,366
	8,020	Series 2006-79, Class DF, VAR, 0.594%, 08/25/36		8,008
	1,899	Series 2006-79, Class DO, PO, 08/25/36		1,801
	1,731	Series 2006-79, Class OP, PO, 08/25/36		1,596
	1,428	Series 2006-85, Class MZ, 6.500%, 09/25/36		1,683
	1,936	Series 2006-86, Class OB, PO, 09/25/36		1,830
	1,807	Series 2006-90, Class AO, PO, 09/25/36		1,759
	1,008	Series 2006-94, Class GK, HB, IF, 32.030%, 10/25/26		1,801
	1,675	Series 2006-95, Class SG, HB, IF, 25.224%, 10/25/36		2,546
	4,700	Series 2006-102, Class MD, 6.000%, 01/25/35		5,114
	519	Series 2006-109, Class PO, PO, 11/25/36		492
	5,320	Series 2006-110, Class PO, PO, 11/25/36		5,047
	1,818	Series 2006-111, Class EO, PO, 11/25/36		1,726
	2,730	Series 2006-113, Class PO, PO, 07/25/36		2,610
	458	Series 2006-115, Class ES, HB, IF, 25.584%, 12/25/36		733
	1,689	Series 2006-115, Class OK, PO, 12/25/36		1,607
	13,031	Series 2006-117, Class GS, IF, IO, 6.406%, 12/25/36		2,289
	4,341	Series 2006-118, Class A1, VAR, 0.304%, 12/25/36		4,293
	14,268	Series 2006-118, Class A2, VAR, 0.304%, 12/25/36		13,578
	1,741	Series 2006-119, Class PO, PO, 12/25/36		1,670
	1,300	Series 2006-128, Class BP, 5.500%, 01/25/37		1,551
	1,277	Series 2006-128, Class PO, PO, 01/25/37		1,200
	5,589	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		838
	724	Series 2007-1, Class SD, HB, IF, 37.536%, 02/25/37		1,172
	192	Series 2007-2, Class FA, VAR, 0.444%, 02/25/37		191
	1,760	Series 2007-2, Class HF, VAR, 0.594%, 08/25/36		1,757
	5,478	Series 2007-7, Class SG, IF, IO, 6.256%, 08/25/36		835
	6,713	Series 2007-10, Class FD, VAR, 0.494%, 02/25/37		6,682
	22,878	Series 2007-14, Class ES, IF, IO, 6.196%, 03/25/37		3,283

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	2,184	Series 2007-14, Class OP, PO, 03/25/37		2,056
	5,047	Series 2007-14, Class QD, 5.500%, 11/25/35		5,527
	1,723	Series 2007-15, Class NO, PO, 03/25/22		1,646
	12,766	Series 2007-16, Class FC, VAR, 0.994%, 03/25/37		12,732
	2,698	Series 2007-18, Class MZ, 6.000%, 03/25/37		3,220
	1,625	Series 2007-22, Class SC, IF, IO, 5.836%, 03/25/37		240
	1,750	Series 2007-24, Class GW, 5.500%, 03/25/29		1,898
	4,706	Series 2007-28, Class EO, PO, 04/25/37		4,344
	3,728	Series 2007-29, Class SG, HB, IF, 21.853%, 04/25/37		5,920
	12,803	Series 2007-35, Class SI, IF, IO, 5.856%, 04/25/37		1,768
	1,819	Series 2007-42, Class AO, PO, 05/25/37		1,734
	11,000	Series 2007-42, Class B, 6.000%, 05/25/37		12,800
	4,778	Series 2007-43, Class FL, VAR, 0.544%, 05/25/37		4,761
	815	Series 2007-47, Class PC, 5.000%, 07/25/33		827
	19,807	Series 2007-53, Class SH, IF, IO, 5.856%, 06/25/37		2,850
	27,402	Series 2007-54, Class FA, VAR, 0.644%, 06/25/37		27,394
	4,064	Series 2007-54, Class WI, IF, IO, 5.856%, 06/25/37		573
	35,683	Series 2007-60, Class AX, IF, IO, 6.906%, 07/25/37		6,345
	2,812	Series 2007-62, Class SE, IF, 15.890%, 07/25/37		3,856
	4,330	Series 2007-64, Class FB, VAR, 0.614%, 07/25/37		4,330
	28,017	Series 2007-65, Class KI, IF, IO, 6.376%, 07/25/37		4,165
	74	Series 2007-65, Class PA, 6.000%, 03/25/31		74
	5,518	Series 2007-67, Class PO, PO, 07/25/37		5,188
	3,876	Series 2007-70, Class Z, 5.500%, 07/25/37		4,456
	36,038	Series 2007-72, Class EK, IF, IO, 6.156%, 07/25/37		5,475
	1,245	Series 2007-75, Class EO, PO, 01/25/36		1,219
	5,787	Series 2007-76, Class AZ, 5.500%, 08/25/37		6,645
	3,947	Series 2007-76, Class ZG, 6.000%, 08/25/37		4,623
	6,380	Series 2007-77, Class FG, VAR, 0.744%, 03/25/37		6,390
	2,000	Series 2007-78, Class CB, 6.000%, 08/25/37		2,308

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	4,601	Series 2007-78, Class PE, 6.000%, 08/25/37		5,358
	2,000	Series 2007-79, Class PC, 5.000%, 01/25/32		2,046
	3,754	Series 2007-79, Class SB, HB, IF, 23.122%, 08/25/37		5,704
	4,000	Series 2007-81, Class GE, 6.000%, 08/25/37		4,675
	4,464	Series 2007-84, Class PG, 6.000%, 12/25/36		5,017
	1,409	Series 2007-85, Class SL, IF, 15.540%, 09/25/37		1,960
	9,078	Series 2007-88, Class VI, IF, IO, 6.296%, 09/25/37		1,554
	9,116	Series 2007-91, Class ES, IF, IO, 6.216%, 10/25/37		1,435
	2,636	Series 2007-92, Class YA, 6.500%, 06/25/37		2,975
	4,393	Series 2007-92, Class YS, IF, IO, 5.536%, 06/25/37		631
	3,237	Series 2007-97, Class FC, VAR, 0.744%, 07/25/37		3,242
	6,558	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		1,212
	60	Series 2007-97, Class MS, IF, 14.219%, 12/25/31		60
	2,048	Series 2007-98, Class FB, VAR, 0.694%, 06/25/37		2,004
	3,184	Series 2007-98, Class VA, 6.000%, 11/25/17		3,338
	16,869	Series 2007-100, Class SM, IF, IO, 6.206%, 10/25/37		2,461
	60,142	Series 2007-101, Class A2, VAR, 0.494%, 06/27/36		60,029
	4,649	Series 2007-106, Class A7, VAR, 5.955%, 10/25/37		5,177
	8,614	Series 2007-108, Class AN, VAR, 8.559%, 11/25/37		10,601
	2,082	Series 2007-108, Class SA, IF, IO, 6.116%, 12/25/37		272
	21,637	Series 2007-109, Class AI, IF, IO, 6.156%, 12/25/37		3,199
	6,180	Series 2007-112, Class MJ, 6.500%, 12/25/37		7,320
	11,367	Series 2007-112, Class SA, IF, IO, 6.206%, 12/25/37		1,869
	44,000	Series 2007-114, Class A6, VAR, 0.444%, 10/27/37		43,742
	18,634	Series 2007-116, Class HI, IO, VAR, 6.078%, 01/25/38		1,301
	414	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		50
	20,462	Series 2008-1, Class BI, IF, IO, 5.666%, 02/25/38		2,803

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	21,719	Series 2008-4, Class SD, IF, IO, 5.756%, 02/25/38		2,783
	5,188	Series 2008-10, Class XI, IF, IO, 5.986%, 03/25/38		755
	9,137	Series 2008-16, Class IS, IF, IO, 5.956%, 03/25/38		1,262
	1,971	Series 2008-18, Class SP, IF, 13.512%, 03/25/38		2,423
	7,805	Series 2008-20, Class SA, IF, IO, 6.746%, 03/25/38		1,169
	15,902	Series 2008-24, Class PF, VAR, 0.894%, 02/25/38		16,012
	7,020	Series 2008-27, Class SN, IF, IO, 6.656%, 04/25/38		1,185
	2,317	Series 2008-28, Class QS, IF, 19.968%, 04/25/38		3,310
	10,689	Series 2008-32, Class SA, IF, IO, 6.606%, 04/25/38		1,629
	28,534	Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16		388
	1,797	Series 2008-42, Class AO, PO, 09/25/36		1,732
	410	Series 2008-44, Class PO, PO, 05/25/38		389
	8,197	Series 2008-46, Class HI, IO, VAR, 6.468%, 06/25/38		547
	4,287	Series 2008-47, Class SI, IF, IO, 6.256%, 06/25/23		535
	2,649	Series 2008-53, Class CA, 5.000%, 07/25/23		2,920
	4,744	Series 2008-53, Class CI, IF, IO, 6.956%, 07/25/38		737
	21,725	Series 2008-55, Class S, IF, IO, 7.356%, 07/25/28		3,452
	4,766	Series 2008-56, Class AC, 5.000%, 07/25/38		5,299
	447	Series 2008-59, Class IG, IO, 5.500%, 11/25/34		14
	1,500	Series 2008-60, Class JC, 5.000%, 07/25/38		1,646
	2,778	Series 2008-61, Class BH, 4.500%, 07/25/23		3,072
	3,778	Series 2008-61, Class CB, 5.000%, 07/25/23		4,282
	143	Series 2008-66, Class GD, 6.000%, 06/25/30		146
	6,097	Series 2008-76, Class GF, VAR, 0.894%, 09/25/23		6,160
	16,379	Series 2008-80, Class SA, IF, IO, 5.606%, 09/25/38		2,246
	8,108	Series 2008-81, Class SB, IF, IO, 5.606%, 09/25/38		1,156
	1,205	Series 2009-4, Class BD, 4.500%, 02/25/39		1,295
	10,291	Series 2009-6, Class GS, IF, IO, 6.306%, 02/25/39		1,637

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 41

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	6,097	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		618
	8,000	Series 2009-11, Class NB, 5.000%, 03/25/29		9,025
	7,526	Series 2009-15, Class MI, IO, 5.000%, 03/25/24		658
	12,929	Series 2009-17, Class QS, IF, IO, 6.406%, 03/25/39		1,771
	2,973	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		284
	4,000	Series 2009-19, Class PW, 4.500%, 10/25/36		4,369
	860	Series 2009-47, Class MT, 7.000%, 07/25/39		984
	7,655	Series 2009-52, Class PI, IO, 5.000%, 07/25/39		1,078
	10,000	Series 2009-59, Class HB, 5.000%, 08/25/39		11,323
	25,634	Series 2009-60, Class HT, 6.000%, 08/25/39		28,709
	812	Series 2009-63, Class P, 5.000%, 03/25/37		912
	7,883	Series 2009-69, Class WA, VAR, 6.026%, 09/25/39		8,790
	6,046	Series 2009-70, Class CO, PO, 01/25/37		5,743
	13,750	Series 2009-84, Class WS, IF, IO, 5.656%, 10/25/39		1,755
	26,209	Series 2009-86, Class IP, IO, 5.500%, 10/25/39		3,756
	29,986	Series 2009-86, Class OT, PO, 10/25/37		27,987
	25,938	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		1,500
	13,139	Series 2009-99, Class SC, IF, IO, 5.936%, 12/25/39		1,982
	8,703	Series 2009-99, Class WA, VAR, 6.309%, 12/25/39		9,986
	13,749	Series 2009-103, Class MB, VAR, 4.000%, 12/25/39		14,651
	17,489	Series 2009-112, Class ST, IF, IO, 6.006%, 01/25/40		2,188
	2,937	Series 2009-113, Class AO, PO, 01/25/40		2,797
	2,789	Series 2010-1, Class WA, VAR, 6.153%, 02/25/40		3,202
	8,192	Series 2010-14, Class FJ, VAR, 0.844%, 03/25/40		8,213
	7,171	Series 2010-16, Class WA, VAR, 6.437%, 03/25/40		8,276
	6,551	Series 2010-16, Class WB, VAR, 6.214%, 03/25/40		7,553
	16,067	Series 2010-35, Class SB, IF, IO, 6.176%, 04/25/40		2,252

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	3,000	Series 2010-35, Class SJ, IF, 16.853%, 04/25/40		4,828
	1,555	Series 2010-39, Class OT, PO, 10/25/35		1,477
	6,470	Series 2010-40, Class FJ, VAR, 0.844%, 04/25/40		6,492
	12,656	Series 2010-42, Class S, IF, IO, 6.156%, 05/25/40		1,711
	2,134	Series 2010-45, Class BD, 4.500%, 11/25/38		2,317
	2,604	Series 2010-47, Class AV, 5.000%, 05/25/21		2,886
	15,762	Series 2010-49, Class SC, IF, 12.172%, 03/25/40		19,234
	9,760	Series 2010-58, Class MB, 5.500%, 06/25/40		11,468
	6,270	Series 2010-63, Class AP, PO, 06/25/40		5,967
	53,287	Series 2010-64, Class DM, 5.000%, 06/25/40		58,072
	20,347	Series 2010-71, Class HJ, 5.500%, 07/25/40		22,557
	2,000	Series 2010-102, Class PN, 5.000%, 09/25/40		2,327
	11,087	Series 2010-103, Class SB, IF, IO, 5.856%, 11/25/49		1,531
	61,133	Series 2010-111, Class AE, 5.500%, 04/25/38		64,857
	19,500	Series 2010-111, Class AM, 5.500%, 10/25/40		22,886
	36,375	Series 2010-125, Class SA, IF, IO, 4.196%, 11/25/40		4,245
	42,643	Series 2010-133, Class A, 5.500%, 05/25/38		45,424
	20,357	Series 2010-148, Class MA, 4.000%, 02/25/39		21,599
	13,513	Series 2011-2, Class WA, VAR, 5.739%, 02/25/51		14,661
	5,625	Series 2011-17, Class EF, VAR, 0.544%, 07/25/25		5,625
	13,393	Series 2011-19, Class ZY, 6.500%, 07/25/36		15,780
	2,679	Series 2011-22, Class MA, 6.500%, 04/25/38		3,089
	89,918	Series 2011-30, Class LS, IO, VAR, 4.627%, 04/25/41		6,583
	23,059	Series 2011-39, Class ZA, 6.000%, 11/25/32		25,757
	10,420	Series 2011-47, Class ZA, 5.500%, 07/25/38		12,021
	4,437	Series 2011-58, Class WA, VAR, 5.419%, 07/25/51		4,881
	11,915	Series 2011-75, Class FA, VAR, 0.794%, 08/25/41		11,930

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	47,970		Series 2011-118, Class LB, 7.000%, 11/25/41		57,358
	73,312		Series 2011-118, Class MT, 7.000%, 11/25/41		88,599
	69,239		Series 2011-118, Class NT, 7.000%, 11/25/41		81,158
	18,685		Series 2011-124, Class JF, VAR, 0.644%, 02/25/41		18,666
	2,974		Series 2011-149, Class EF, VAR, 0.744%, 07/25/41		2,967
	10,854		Series 2011-149, Class MF, VAR, 0.744%, 11/25/41		10,832
	16		Series G-14, Class L, 8.500%, 06/25/21		18
	1		Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21		22
	75		Series G-18, Class Z, 8.750%, 06/25/21		88
	18		Series G-22, Class G, 6.000%, 12/25/16		19
	69		Series G-28, Class S, IF, 14.850%, 09/25/21		88
	121		Series G-35, Class M, 8.750%, 10/25/21		138
	22		Series G-51, Class SA, HB, IF, 26.040%, 12/25/21		37
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22		48
	531		Series G92-35, Class E, 7.500%, 07/25/22		594
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		6
	49		Series G92-42, Class Z, 7.000%, 07/25/22		55
	1,450		Series G92-44, Class ZQ, 8.000%, 07/25/22		1,644
	644		Series G92-45, Class Z, 6.000%, 08/25/22		694
	48		Series G92-52, Class FD, VAR, 0.271%, 09/25/22		47
	651		Series G92-54, Class ZQ, 7.500%, 09/25/22		736
	49		Series G92-59, Class F, VAR, 1.921%, 10/25/22		50
	95		Series G92-61, Class Z, 7.000%, 10/25/22		113
	71		Series G92-62, Class B, PO, 10/25/22		66
	331		Series G93-1, Class KA, 7.900%, 01/25/23		380
	128		Series G93-5, Class Z, 6.500%, 02/25/23		144
	95		Series G93-14, Class J, 6.500%, 03/25/23		105
	231		Series G93-17, Class SI, IF, 6.000%, 04/25/23		267
	213		Series G93-27, Class FD, VAR, 1.130%, 08/25/23		216
	53		Series G93-37, Class H, PO, 09/25/23		51
	159		Series G95-1, Class C, 8.800%, 01/25/25		185
			Federal National Mortgage Association STRIPS,
	5		Series 23, Class 2, IO, 10.000%, 09/01/17		1

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	3	Series 50, Class 2, IO, 10.500%, 03/01/19		1
	49	Series 218, Class 2, IO, 7.500%, 04/01/23		10
	29	Series 265, Class 2, 9.000%, 03/01/24		35
	4,379	Series 300, Class 1, PO, 09/01/24		4,131
	759	Series 329, Class 1, PO, 01/01/33		722
	2,429	Series 339, Class 18, IO, 4.500%, 07/01/18		176
	3,393	Series 339, Class 21, IO, 4.500%, 07/01/18		262
	1,802	Series 339, Class 28, IO, 5.500%, 07/01/18		171
	1,089	Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		134
	4,463	Series 365, Class 8, IO, 5.500%, 05/01/36		612
	489	Series 368, Class 3, IO, 4.500%, 11/01/20		41
	3,054	Series 374, Class 5, IO, 5.500%, 08/01/36		415
	3,951	Series 383, Class 33, IO, 6.000%, 01/01/38		595
	1,009	Series 393, Class 6, IO, 5.500%, 04/25/37		95
		Federal National Mortgage Association Whole Loan,
	2,652	Series 2003-W1, Class 1A1, VAR, 6.273%, 12/25/42		3,029
	642	Series 2003-W1, Class 2A, VAR, 7.084%, 12/25/42		750
	2,278	Series 2003-W2, Class 1A1, 6.500%, 07/25/42		2,630
	1,377	Series 2003-W2, Class 2A9, 5.900%, 07/25/42		1,531
	556	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		624
	9,502	Series 2003-W6, Class 2A4, 5.204%, 09/25/42		10,553
	4,341	Series 2003-W6, Class 3A, 6.500%, 09/25/42		4,958
	5,112	Series 2003-W8, Class 2A, 7.000%, 10/25/42		5,926
	1,063	Series 2003-W8, Class 3F1, VAR, 0.644%, 05/25/42		1,058
	13,285	Series 2004-W1, Class 1A6, 5.040%, 11/25/43		14,074
	6,847	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		7,974
	6,800	Series 2004-W10, Class A6, 5.750%, 08/25/34		7,472
	2,184	Series 2004-W11, Class 1A1, 6.000%, 05/25/44		2,460
	6,729	Series 2004-W15, Class 2AF, VAR, 0.494%, 08/25/44		6,689
	2,292	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		2,622

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 43

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,153	Series 2004-W8, Class 3A, 7.500%, 06/25/44		2,531
	4,110	Series 2005-W1, Class 1A2, 6.500%, 10/25/44		4,862
	50,003	Series 2005-W3, Class 2AF, VAR, 0.464%, 03/25/45		49,770
	2,993	Series 2005-W4, Class 1A1, 6.000%, 08/25/35		3,337
	24,089	Series 2006-W2, Class 1AF1, VAR, 0.464%, 02/25/36		23,977
	5,687	Series 2006-W2, Class 2A, VAR, 2.489%, 11/25/35		5,866
	5,518	Series 2006-W3, Class 2A, 6.000%, 09/25/46		6,165
	49,812	Series 2007-W1, Class 1AF1, VAR, 0.504%, 11/25/46		49,604
	844	Series 2007-W10, Class 2A, VAR, 6.206%, 08/25/47		952
	3,931	Series 2007-W3, Class 1A3, 6.750%, 04/25/37		4,487
	2,307	Series 2007-W5, Class PO, PO, 06/25/37		2,136
	2,780	Series 2007-W7, Class 1A4, HB, IF, 37.716%, 07/25/37		5,373
	29,166	Series 2009-W1, Class A, 6.000%, 12/25/49		32,945
		Government National Mortgage Association,
	1,403	Series 1994-3, Class PQ, 7.488%, 07/16/24		1,696
	1,333	Series 1994-4, Class KQ, 7.988%, 07/16/24		1,540
	4,804	Series 1994-7, Class PQ, 6.500%, 10/16/24		5,637
	302	Series 1995-3, Class DQ, 8.050%, 06/16/25		350
	73	Series 1995-7, Class CQ, 7.500%, 09/16/25		84
	1,172	Series 1996-16, Class E, 7.500%, 08/16/26		1,345
	881	Series 1997-8, Class PN, 7.500%, 05/16/27		1,005
	195	Series 1997-11, Class D, 7.500%, 07/20/27		225
	556	Series 1998-26, Class K, 7.500%, 09/17/25		639
	4,188	Series 1999-4, Class ZB, 6.000%, 02/20/29		4,736
	3,990	Series 1999-10, Class ZC, 6.500%, 04/20/29		4,673
	540	Series 1999-30, Class S, IF, IO, 8.353%, 08/16/29		121
	29	Series 1999-33, Class SM, IF, 9.200%, 09/16/29		39
	446	Series 1999-40, Class ZW, 7.500%, 11/20/29		487
	835	Series 1999-41, Class Z, 8.000%, 11/16/29		974
	380	Series 1999-44, Class PC, 7.500%, 12/20/29		438
	4,435	Series 1999-44, Class ZC, 8.500%, 12/16/29		5,589
	696	Series 1999-44, Class ZG, 8.000%, 12/20/29		812
	903	Series 2000-6, Class Z, 7.500%, 02/20/30		1,051

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	351	Series 2000-9, Class Z, 8.000%, 06/20/30		410
	4,370	Series 2000-9, Class ZJ, 8.500%, 02/16/30		5,294
	506	Series 2000-12, Class ST, HB, IF, 38.161%, 02/16/30		1,085
	1,170	Series 2000-14, Class PD, 7.000%, 02/16/30		1,380
	327	Series 2000-16, Class ZN, 7.500%, 02/16/30		345
	4,043	Series 2000-21, Class Z, 9.000%, 03/16/30		5,157
	733	Series 2000-26, Class TZ, 8.500%, 09/20/30		858
	179	Series 2000-26, Class Z, 7.750%, 09/20/30		208
	34	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		41
	557	Series 2000-31, Class Z, 9.000%, 10/20/30		657
	327	Series 2000-35, Class ZA, 9.000%, 11/20/30		361
	50	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		23
	1,116	Series 2000-37, Class B, 8.000%, 12/20/30		1,302
	301	Series 2001-4, Class SJ, IF, IO, 7.904%, 01/19/30		83
	243	Series 2001-6, Class SD, IF, IO, 8.303%, 03/16/31		73
	996	Series 2001-7, Class PK, 6.500%, 03/20/31		1,075
	1,489	Series 2001-8, Class Z, 6.500%, 03/20/31		1,744
	2,157	Series 2001-22, Class PS, HB, IF, 20.368%, 03/17/31		3,370
	55	Series 2001-32, Class WA, IF, 19.511%, 07/20/31		92
	435	Series 2001-35, Class SA, IF, IO, 8.003%, 08/16/31		122
	334	Series 2001-36, Class S, IF, IO, 7.802%, 08/16/31		84
	4,500	Series 2001-53, Class PB, 6.500%, 11/20/31		5,553
	2,865	Series 2001-64, Class MQ, 6.500%, 12/20/31		3,044
	431	Series 2002-3, Class SP, IF, IO, 7.143%, 01/16/32		99
	789	Series 2002-7, Class PG, 6.500%, 01/20/32		928
	1,786	Series 2002-24, Class AG, IF, IO, 7.702%, 04/16/32		398
	159	Series 2002-24, Class SB, IF, 11.554%, 04/16/32		192
	241	Series 2002-31, Class S, IF, IO, 8.453%, 01/16/31		73
	4,128	Series 2002-31, Class SE, IF, IO, 7.252%, 04/16/30		802
	1,903	Series 2002-40, Class UK, 6.500%, 06/20/32		2,237

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	66	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		81
	7,558	Series 2002-45, Class QE, 6.500%, 06/20/32		8,657
	2,281	Series 2002-47, Class PG, 6.500%, 07/16/32		2,682
	840	Series 2002-47, Class PY, 6.000%, 07/20/32		945
	3,826	Series 2002-47, Class ZA, 6.500%, 07/20/32		4,391
	152	Series 2002-51, Class SG, HB, IF, 31.436%, 04/20/31		276
	2,575	Series 2002-52, Class GH, 6.500%, 07/20/32		2,964
	1,110	Series 2002-54, Class GB, 6.500%, 08/20/32		1,279
	1,668	Series 2002-69, Class PO, PO, 02/20/32		1,646
	1,931	Series 2002-70, Class PS, IF, IO, 7.454%, 08/20/32		224
	1,411	Series 2002-75, Class PB, 6.000%, 11/20/32		1,733
	730	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		24
	796	Series 2003-4, Class NY, 5.500%, 12/20/13		829
	541	Series 2003-8, Class PO, PO, 01/16/32		535
	2,076	Series 2003-11, Class SK, IF, IO, 7.453%, 02/16/33		439
	856	Series 2003-12, Class SP, IF, IO, 7.454%, 02/20/33		184
	335	Series 2003-24, Class PO, PO, 03/16/33		303
	5,683	Series 2003-25, Class PZ, 5.500%, 04/20/33		6,609
	493	Series 2003-34, Class TO, PO, 02/16/32		488
	1,283	Series 2003-40, Class TC, 7.500%, 03/20/33		1,332
	3,156	Series 2003-40, Class TJ, 6.500%, 03/20/33		3,872
	1,120	Series 2003-46, Class MG, 6.500%, 05/20/33		1,379
	2,072	Series 2003-46, Class TC, 6.500%, 03/20/33		2,434
	1,447	Series 2003-52, Class AP, PO, 06/16/33		1,331
	3,196	Series 2003-58, Class BE, 6.500%, 01/20/33		3,811
	289	Series 2003-60, Class NS, IF, 15.956%, 07/16/33		305
	5,677	Series 2003-75, Class ZX, 6.000%, 09/16/33		6,478
	1,166	Series 2003-76, Class LS, IF, IO, 6.955%, 09/20/31		72
	231	Series 2003-90, Class PO, PO, 10/20/33		204
	3,222	Series 2003-97, Class SA, IF, IO, 6.302%, 11/16/33		591
	2,890	Series 2003-112, Class SA, IF, IO, 6.302%, 12/16/33		549
	20,000	Series 2003-112, Class TS, IF, IO, 6.704%, 10/20/32		2,431

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	780	Series 2003-114, Class SH, IF, 14.252%, 11/17/32		988
	8,874	Series 2004-11, Class SW, IF, IO, 5.254%, 02/20/34		1,151
	3,760	Series 2004-15, Class SA, IF, 18.987%, 12/20/32		4,627
	1,079	Series 2004-28, Class S, IF, 18.982%, 04/16/34		1,582
	3,321	Series 2004-34, Class JO, PO, 02/20/34		3,293
	3,204	Series 2004-46, Class PO, PO, 06/20/34		2,930
	5,694	Series 2004-49, Class Z, 6.000%, 06/20/34		6,787
	1,487	Series 2004-68, Class PO, PO, 05/20/31		1,466
	1,698	Series 2004-71, Class SB, HB, IF, 28.259%, 09/20/34		2,806
	1,698	Series 2004-71, Class ST, IF, 7.000%, 09/20/34		1,818
	1,569	Series 2004-73, Class AE, IF, 14.348%, 08/17/34		2,006
	8,828	Series 2004-73, Class JL, IF, IO, 6.302%, 09/16/34		1,560
	945	Series 2004-83, Class AP, IF, 13.721%, 10/16/34		1,135
	594	Series 2004-85, Class PO, PO, 01/17/33		584
	992	Series 2004-87, Class SB, IF, 7.389%, 03/17/33		1,028
	977	Series 2004-89, Class LS, HB, IF, 23.476%, 10/16/34		1,573
	19,200	Series 2004-90, Class SI, IF, IO, 5.855%, 10/20/34		2,924
	8,678	Series 2004-96, Class SC, IF, IO, 5.834%, 11/20/34		1,307
	9,399	Series 2005-3, Class SB, IF, IO, 5.855%, 01/20/35		1,435
	13,925	Series 2005-3, Class SK, IF, IO, 6.505%, 01/20/35		2,498
	1,288	Series 2005-6, Class GS, IF, 13.009%, 12/20/32		1,460
	3,795	Series 2005-7, Class JM, IF, 16.180%, 05/18/34		4,689
	14,493	Series 2005-17, Class SL, IF, IO, 6.455%, 07/20/34		2,536
	2,093	Series 2005-35, Class FL, VAR, 0.596%, 03/20/32		2,085
	1,400	Series 2005-44, Class SP, IF, 11.709%, 10/20/34		1,663
	1,582	Series 2005-56, Class IC, IO, 5.500%, 07/20/35		273
	191	Series 2005-65, Class SA, HB, IF, 21.802%, 08/20/35		246

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 45

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	543	Series 2005-66, Class SP, IF, 20.008%, 08/16/35		830
	6,594	Series 2005-68, Class DP, IF, 15.841%, 06/17/35		8,553
	31,678	Series 2005-68, Class KI, IF, IO, 6.055%, 09/20/35		5,092
	6,402	Series 2005-69, Class SY, IF, IO, 6.505%, 11/20/33		1,021
	2,844	Series 2005-72, Class AZ, 5.500%, 09/20/35		3,373
	1,412	Series 2005-82, Class PO, PO, 10/20/35		1,293
	2,792	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		495
	697	Series 2005-93, Class JO, PO, 03/20/31		692
	2,645	Series 2006-16, Class OP, PO, 03/20/36		2,423
	3,109	Series 2006-20, Class QA, 5.750%, 02/20/36		3,435
	4,089	Series 2006-22, Class AO, PO, 05/20/36		3,747
	5,744	Series 2006-33, Class Z, 6.500%, 07/20/36		6,975
	651	Series 2006-34, Class PO, PO, 07/20/36		598
	795	Series 2006-38, Class SW, IF, IO, 6.254%, 06/20/36		103
	5,999	Series 2006-38, Class ZK, 6.500%, 08/20/36		7,398
	7,456	Series 2006-40, Class VB, 6.000%, 11/20/26		7,691
	2,017	Series 2006-57, Class PZ, 5.565%, 10/20/36		2,347
	4,821	Series 2006-59, Class SD, IF, IO, 6.455%, 10/20/36		795
	9,593	Series 2006-65, Class SA, IF, IO, 6.554%, 11/20/36		1,528
	7,146	Series 2007-9, Class CI, IF, IO, 5.955%, 03/20/37		1,017
	12,109	Series 2007-9, Class DI, IF, IO, 6.265%, 03/20/37		1,838
	16,213	Series 2007-17, Class AF, VAR, 0.448%, 04/16/37		16,138
	10,916	Series 2007-17, Class JI, IF, IO, 6.563%, 04/16/37		1,738
	4,235	Series 2007-17, Class JO, PO, 04/16/37		3,868
	5,312	Series 2007-19, Class SD, IF, IO, 5.955%, 04/20/37		753
	3,467	Series 2007-25, Class FN, VAR, 0.548%, 05/16/37		3,453
	12,857	Series 2007-26, Class SC, IF, IO, 5.955%, 05/20/37		1,864
	28,019	Series 2007-26, Class SW, IF, IO, 5.955%, 05/20/37		4,055
	9,017	Series 2007-27, Class SD, IF, IO, 5.955%, 05/20/37		1,384

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	973	Series 2007-28, Class BO, PO, 05/20/37		891
	11,651	Series 2007-35, Class PO, PO, 06/16/37		10,684
	654	Series 2007-35, Class TO, PO, 04/20/35		648
	1,694	Series 2007-36, Class HO, PO, 06/16/37		1,543
	7,258	Series 2007-36, Class SE, IF, IO, 6.222%, 06/16/37		1,178
	9,684	Series 2007-36, Class SJ, IF, IO, 6.005%, 06/20/37		1,409
	7,481	Series 2007-40, Class SD, IF, IO, 6.505%, 07/20/37		1,234
	12,778	Series 2007-40, Class SN, IF, IO, 6.434%, 07/20/37		1,970
	18,266	Series 2007-42, Class SC, IF, IO, 6.505%, 07/20/37		3,079
	11,202	Series 2007-45, Class QA, IF, IO, 6.395%, 07/20/37		1,835
	2,080	Series 2007-49, Class NO, PO, 12/20/35		2,048
	3,839	Series 2007-50, Class AI, IF, IO, 6.530%, 08/20/37		619
	7,171	Series 2007-53, Class ES, IF, IO, 6.305%, 09/20/37		1,148
	2,700	Series 2007-53, Class SW, IF, 19.469%, 09/20/37		3,748
	11,230	Series 2007-57, Class PO, PO, 03/20/37		10,420
	9,998	Series 2007-57, Class QA, IF, IO, 6.254%, 10/20/37		1,524
	10,314	Series 2007-67, Class SI, IF, IO, 6.265%, 11/20/37		1,570
	5,740	Series 2007-70, Class TA, 5.750%, 08/20/36		6,004
	7,771	Series 2007-71, Class SB, IF, IO, 6.455%, 07/20/36		911
	8,701	Series 2007-72, Class US, IF, IO, 6.305%, 11/20/37		1,341
	9,640	Series 2007-73, Class MI, IF, IO, 5.754%, 11/20/37		1,374
	5,970	Series 2007-74, Class SL, IF, IO, 6.293%, 11/16/37		891
	18,733	Series 2007-76, Class SB, IF, IO, 6.254%, 11/20/37		2,820
	13,970	Series 2007-79, Class SY, IF, IO, 6.305%, 12/20/37		2,174
	10,790	Series 2007-82, Class SA, IF, IO, 6.284%, 12/20/37		1,638
	737	Series 2008-1, Class PO, PO, 01/20/38		678
	1,023	Series 2008-7, Class SK, IF, 19.214%, 11/20/37		1,418
	1,439	Series 2008-7, Class SP, IF, 12.909%, 10/20/37		1,765

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,959	Series 2008-17, Class IO, IO, 5.500%, 02/20/38		498
	2,805	Series 2008-20, Class PO, PO, 09/20/37		2,610
	1,305	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		127
	6,479	Series 2008-25, Class SB, IF, IO, 6.654%, 03/20/38		1,131
	3,024	Series 2008-29, Class PO, PO, 02/17/33		2,895
	15,392	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		2,199
	4,470	Series 2008-33, Class XS, IF, IO, 7.453%, 04/16/38		651
	6,000	Series 2008-36, Class AY, 5.000%, 04/16/23		6,971
	12,114	Series 2008-36, Class SH, IF, IO, 6.055%, 04/20/38		1,780
	25,817	Series 2008-40, Class SA, IF, IO, 6.153%, 05/16/38		5,512
	10,430	Series 2008-41, Class SA, IF, IO, 6.095%, 05/20/38		1,530
	1,224	Series 2008-43, Class NA, 5.500%, 11/20/37		1,312
	3,500	Series 2008-50, Class KB, 6.000%, 06/20/38		4,041
	3,770	Series 2008-55, Class SA, IF, IO, 5.955%, 06/20/38		563
	15,205	Series 2008-60, Class CS, IF, IO, 5.905%, 07/20/38		2,160
	2,659	Series 2008-60, Class PO, PO, 01/20/38		2,532
	1,505	Series 2008-64, Class ED, 6.500%, 04/20/28		1,661
	10,000	Series 2008-65, Class ME, 5.750%, 09/20/37		11,085
	10,798	Series 2008-69, Class QD, 5.750%, 07/20/38		12,136
	5,911	Series 2008-71, Class SC, IF, IO, 5.754%, 08/20/38		800
	15,236	Series 2008-76, Class US, IF, IO, 5.654%, 09/20/38		2,016
	7,622	Series 2008-79, Class CS, IF, 6.554%, 06/20/35		7,810
	28,620	Series 2008-81, Class S, IF, IO, 5.955%, 09/20/38		4,054
	13,023	Series 2008-93, Class AS, IF, IO, 5.455%, 12/20/38		1,612
	28,276	Series 2008-95, Class DS, IF, IO, 7.054%, 12/20/38		4,780
	8,324	Series 2008-96, Class SL, IF, IO, 5.754%, 12/20/38		1,185
	9,117	Series 2009-6, Class SA, IF, IO, 5.852%, 02/16/39		1,128

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	8,863	Series 2009-6, Class SH, IF, IO, 5.794%, 02/20/39		1,176
	13,992	Series 2009-10, Class SA, IF, IO, 5.704%, 02/20/39		1,988
	5,197	Series 2009-10, Class SL, IF, IO, 6.253%, 03/16/34		588
	10,551	Series 2009-11, Class SC, IF, IO, 5.902%, 02/16/39		1,489
	3,807	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		694
	7,842	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		1,389
	24,883	Series 2009-22, Class SA, IF, IO, 6.024%, 04/20/39		3,481
	13,260	Series 2009-24, Class DS, IF, IO, 6.055%, 03/20/39		1,615
	6,697	Series 2009-25, Class SE, IF, IO, 7.355%, 09/20/38		1,064
	13,751	Series 2009-31, Class ST, IF, IO, 6.104%, 03/20/39		1,947
	16,552	Series 2009-31, Class TS, IF, IO, 6.055%, 03/20/39		2,354
	4,106	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		655
	4,135	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		756
	10,258	Series 2009-35, Class SN, IF, IO, 6.153%, 12/16/38		1,303
	21,092	Series 2009-42, Class SC, IF, IO, 5.834%, 06/20/39		3,097
	14,644	Series 2009-43, Class SA, IF, IO, 5.704%, 06/20/39		1,952
	10,281	Series 2009-44, Class MV, 6.000%, 04/20/20		11,425
	3,693	Series 2009-44, Class VA, 5.500%, 05/16/20		4,053
	29,736	Series 2009-64, Class SN, IF, IO, 5.852%, 07/16/39		3,773
	5,330	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		873
	18,535	Series 2009-72, Class SM, IF, IO, 6.002%, 08/16/39		2,604
	3,070	Series 2009-75, Class MN, 5.500%, 09/20/39		3,628
	14,072	Series 2009-79, Class OK, PO, 11/16/37		13,016
	28,117	Series 2009-81, Class SB, IF, IO, 5.844%, 09/20/39		3,933
	12,992	Series 2009-83, Class TS, IF, IO, 5.855%, 08/20/39		1,894

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 47

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	4,345	Series 2009-89, Class VA, 5.000%, 07/20/20		4,912
	46,396	Series 2009-102, Class SM, IF, IO, 6.153%, 06/16/39		5,901
	3,569	Series 2009-104, Class AB, 7.000%, 08/16/39		4,330
	18,985	Series 2009-106, Class AS, IF, IO, 6.153%, 11/16/39		3,032
	71,126	Series 2009-106, Class ST, IF, IO, 5.754%, 02/20/38		10,633
	5,917	Series 2009-121, Class VA, 5.500%, 11/20/20		6,825
	6,521	Series 2010-14, Class AO, PO, 12/20/32		6,201
	2,529	Series 2010-14, Class BO, PO, 11/20/35		2,338
	4,500	Series 2010-14, Class CO, PO, 08/20/35		3,919
	911	Series 2010-14, Class EO, PO, 06/16/33		898
	31,554	Series 2010-14, Class QP, 6.000%, 12/20/39		34,195
	4,841	Series 2010-41, Class WA, VAR, 5.851%, 10/20/33		5,494
	3,076	Series 2010-103, Class WA, VAR, 5.762%, 08/20/34		3,497
	3,984	Series 2010-129, Class AW, VAR, 6.150%, 04/20/37		4,552
	27,406	Series 2010-130, Class CP, 7.000%, 10/16/40		31,943
	21,218	Series 2010-157, Class OP, PO, 12/20/40		18,679
	1,768	Series 2011-22, Class WA, VAR, 5.947%, 02/20/37		2,016
	5,784	Series 2011-43, Class ZQ, 5.500%, 01/16/33		6,840
	24,897	Series 2011-75, Class SM, IF, IO, 6.355%, 05/20/41		3,833
	7,213	Series 2011-97, Class WA, VAR, 6.069%, 11/20/38		8,197
	9,649	Series 2011-137, Class WA, VAR, 5.541%, 07/20/40		10,797
	20,327	Series 2011-163, Class WA, VAR, 5.762%, 12/20/38		22,966
		NCUA Guaranteed Notes,
	71,138	Series 2010-C1, Class APT, 2.650%, 10/29/20		74,250
	30,172	Series 2010-R3, Class 1A, VAR, 0.822%, 12/08/20		30,285
	8,527	Series 2010-R3, Class 3A, 2.400%, 12/08/20		8,751
		Vendee Mortgage Trust,
	11,232	Series 1993-1, Class ZB, 7.250%, 02/15/23		12,797

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	2,192	Series 1994-1, Class 1, VAR, 5.628%, 02/15/24		2,466
	8,024	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		8,984
	3,225	Series 1996-1, Class 1Z, 6.750%, 02/15/26		3,710
	1,532	Series 1996-2, Class 1Z, 6.750%, 06/15/26		1,799
	4,565	Series 1997-1, Class 2Z, 7.500%, 02/15/27		5,371
	3,096	Series 1998-1, Class 2E, 7.000%, 03/15/28		3,627
				5,299,085
		Non-Agency CMO — 10.7%
	5,522	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e)		5,218
		American General Mortgage Loan Trust,
	3,516	Series 2006-1, Class A5, VAR, 5.670%, 12/25/35 (e)		3,713
	24,489	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		24,818
	16,389	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		16,721
	33,300	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		34,350
	9,472	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		9,782
	4,487	Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		4,729
	9,499	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		9,875
	4,500	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		4,545
	8,500	American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.378%, 09/25/35		3,612
		ASG Resecuritization Trust,
	6,228	Series 2009-1, Class A60, VAR, 4.938%, 06/26/37 (e)		6,197
	15,741	Series 2009-2, Class A55, VAR, 5.196%, 05/24/36 (e)		15,592
	5,300	Series 2009-2, Class G60, VAR, 5.196%, 05/24/36 (e)		5,151
	35,420	Series 2009-3, Class A65, VAR, 4.839%, 03/26/37 (e)		34,860
	18,636	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		19,195
	4,115	Series 2009-5, Class A50, VAR, 3.795%, 02/28/37 (e)		4,095
	8,053	Series 2010-1, Class A85, VAR, 0.644%, 02/27/36 (e)		7,610
	14,985	Series 2010-2, Class A60, VAR, 2.218%, 01/28/37 (e)		14,686

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	12,252	Series 2010-3, Class 2A22, VAR, 0.472%, 10/28/36 (e)		11,884
	7,294	Series 2010-4, Class 1A22, VAR, 0.431%, 07/28/36 (e) (f) (i)		7,093
	3,635	Series 2010-4, Class 2A20, VAR, 0.424%, 11/28/36 (e)		3,535
	5,947	Series 2011-1, Class 1A85, 4.000%, 09/28/20 (e)		5,934
	9,203	Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e)		9,480
	8,597	Series 2011-1, Class 3A50, VAR, 2.485%, 11/28/35 (e) (f) (i)		8,336
	2,112	Series 2011-2, Class A48S, HB, IF, 23.258%, 02/28/36 (e)		2,894
		Banc of America Alternative Loan Trust,
	375	Series 2003-1, Class APO, PO, 02/25/33		300
	8,061	Series 2003-7, Class 1CB1, 5.500%, 09/25/33		8,202
	5,849	Series 2003-7, Class 2A4, 5.000%, 09/25/18		5,977
	6,797	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		6,964
	8,343	Series 2003-11, Class 1A1, 6.000%, 01/25/34		8,382
	6,870	Series 2003-11, Class 2A1, 6.000%, 01/25/34		6,909
	893	Series 2003-11, Class PO, PO, 01/25/34		621
	2,433	Series 2004-1, Class 1A1, 6.000%, 02/25/34		2,562
	2,158	Series 2004-1, Class 5A1, 5.500%, 02/25/19		2,208
	450	Series 2004-6, Class 15PO, PO, 07/25/19		402
	1,013	Series 2004-6, Class 3A2, 6.000%, 07/25/34		1,031
	3,524	Series 2004-8, Class 3A1, 5.500%, 09/25/19		3,527
	1,346	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,183
	3,938	Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35		765
		Banc of America Funding Corp.,
	1,212	Series 2004-1, Class PO, PO, 03/25/34		985
	1,507	Series 2004-2, Class 1CB1, 5.750%, 09/20/34		1,584
	873	Series 2004-3, Class 1A7, 5.500%, 10/25/34		872
	2,999	Series 2004-C, Class 1A1, VAR, 5.040%, 12/20/34		2,917

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	1,752	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,766
	1,530	Series 2005-7, Class 30PO, PO, 11/25/35		1,169
	682	Series 2005-8, Class 30PO, PO, 01/25/36		542
	3,156	Series 2005-E, Class 4A1, VAR, 2.661%, 03/20/35		2,922
	1,813	Series 2006-1, Class XPO, PO, 01/25/36		1,215
	16,782	Series 2010-R11A, Class 1A6, VAR, 5.362%, 08/26/35 (e)		17,041
	3,043	Series 2010-R4, Class 5A1, VAR, 0.394%, 07/26/36 (e)		2,961
	7,403	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		7,673
		Banc of America Mortgage Securities, Inc.,
	9,237	Series 2003-3, Class 1A7, 5.500%, 05/25/33		9,469
	3,037	Series 2003-3, Class 2A1, VAR, 0.794%, 05/25/18		2,894
	1,159	Series 2003-5, Class 3A1, 7.500%, 02/25/31		1,212
	1,453	Series 2003-6, Class 2A1, VAR, 0.694%, 08/25/18		1,388
	185	Series 2003-7, Class A2, 4.750%, 09/25/18		191
	633	Series 2003-8, Class APO, PO, 11/25/33		494
	1,294	Series 2003-C, Class 3A1, VAR, 2.902%, 04/25/33		1,315
	4,307	Series 2003-E, Class 2A2, VAR, 2.888%, 06/25/33		4,178
	278	Series 2004-1, Class APO, PO, 02/25/34		211
	4,080	Series 2004-3, Class 15IO, IO, VAR, 0.246%, 04/25/19		17
	16,500	Series 2004-3, Class 1A26, 5.500%, 04/25/34		16,862
	234	Series 2004-4, Class APO, PO, 05/25/34		177
	3,978	Series 2004-5, Class 2A2, 5.500%, 06/25/34		4,107
	1,535	Series 2004-5, Class 4A1, 4.750%, 06/25/19		1,581
	687	Series 2004-6, Class 2A7, 5.500%, 07/25/34		715
	1,199	Series 2004-6, Class APO, PO, 07/25/34		875
	84	Series 2004-8, Class 5PO, PO, 05/25/32		66
	479	Series 2004-8, Class XPO, PO, 10/25/34		359
	1,844	Series 2004-9, Class 3A1, 6.500%, 09/25/32		1,938
	196	Series 2004-9, Class 3PO, PO, 09/25/32		156
	2,476	Series 2004-J, Class 3A1, VAR, 2.912%, 11/25/34		2,179

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 49

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	4,483	Series 2005-1, Class 2A1, 5.000%, 02/25/20		4,541
		BCAP LLC Trust,
	11,983	Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e)		12,003
	1,597	Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)		1,587
	15,047	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		14,746
	6,912	Series 2009-RR14, Class 3A2, VAR, 2.713%, 08/26/35 (e)		6,290
	2,260	Series 2009-RR14, Class 4A1, VAR, 2.778%, 03/26/36 (e)		2,254
	9,598	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		9,778
	2,722	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		2,771
	3,115	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i)		3,135
	3,007	Series 2010-RR4, Class 2A1, VAR, 0.994%, 06/26/37 (e)		2,797
	2,075	Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e)		2,047
	11,625	Series 2010-RR5, Class 2A5, VAR, 5.213%, 04/26/37 (e)		11,552
	6,820	Series 2010-RR6, Class 22A3, VAR, 5.041%, 06/26/36 (e)		6,792
	2,826	Series 2010-RR6, Class 5A1, VAR, 5.141%, 11/26/37 (e)		2,822
	6,426	Series 2010-RR7, Class 15A1, VAR, 1.044%, 01/26/36 (e)		5,956
	10,552	Series 2010-RR7, Class 16A1, VAR, 0.882%, 02/26/47 (e)		9,785
	13,543	Series 2010-RR7, Class 1A5, VAR, 5.008%, 04/26/35 (e)		13,270
	28,640	Series 2010-RR7, Class 2A1, VAR, 4.624%, 07/26/45 (e)		27,015
	6,846	Series 2010-RR8, Class 3A3, VAR, 5.078%, 05/26/35 (e)		6,809
	10,000	Series 2010-RR8, Class 3A4, VAR, 5.078%, 05/26/35 (e)		8,959
	9,524	Series 2011-R11, Class 24A5, VAR, 3.000%, 08/26/22 (e)		9,530
	9,268	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		9,285
	23,146	Series 2011-RR10, Class 2A1, VAR, 0.525%, 09/26/37 (e)		19,847
	7,411	Series 2011-RR2, Class 3A3, VAR, 3.040%, 11/21/35 (e)		7,408

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	16,629	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		15,797
	17,497	Series 2011-RR5, Class 14A3, VAR, 1.414%, 07/26/36 (e) (f) (i)		16,578
	23,957	Series 2011-RR5-I, Class 11A3, VAR, 0.394%, 05/28/36 (e)		21,148
	8,807	Series 2012-RR1, Class 5A1, VAR, 6.500%, 07/26/37 (e) (f) (i)		9,099
	24,573	Series 2012-RR2, Class 1A1, VAR, 0.000%, 08/26/36 (f) (i)		22,746
		Bear Stearns Adjustable Rate Mortgage Trust,
	4,140	Series 2003-2, Class A5, VAR, 2.481%, 01/25/33 (e)		3,865
	431	Series 2003-7, Class 3A, VAR, 2.625%, 10/25/33		421
	5,430	Series 2004-2, Class 14A, VAR, 5.037%, 05/25/34		5,425
	14,464	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		13,832
	10,680	Series 2006-1, Class A1, VAR, 2.520%, 02/25/36		9,346
	6,527	Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.744%, 03/25/35		5,422
		Cendant Mortgage Corp.,
	879	Series 2003-8, Class 1P, PO, 10/25/33		642
	314	Series 2004-1, Class P, PO, 02/25/34		225
		Chase Mortgage Finance Corp.,
	2,882	Series 2003-S10, Class A1, 4.750%, 11/25/18		2,968
	1,028	Series 2003-S2, Class A1, 5.000%, 03/25/18		1,041
	607	Series 2003-S6, Class A1, 5.000%, 06/25/18		617
	1,708	Series 2003-S9, Class AP, PO, 10/25/18		1,478
	6,030	Series 2007-A1, Class 2A1, VAR, 2.757%, 02/25/37		5,914
	911	Series 2007-A1, Class 7A1, VAR, 2.748%, 02/25/37		890
	2,575	Series 2007-A1, Class 9A1, VAR, 2.770%, 02/25/37		2,589
	2,387	Series 2007-A2, Class 1A1, VAR, 2.778%, 07/25/37		2,150
	3,439	Series 2007-A2, Class 2A1, VAR, 2.764%, 07/25/37		3,482
		Citicorp Mortgage Securities, Inc.,
	132	Series 1993-14, Class A3, VAR, 1.444%, 11/25/23		125
	2,296	Series 2004-1, Class 3A1, 4.750%, 01/25/34		2,334
	7,233	Series 2004-4, Class A4, 5.500%, 06/25/34		7,566

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	712	Series 2004-5, Class 2A5, 4.500%, 08/25/34		736
	1,262	Series 2006-1, Class 2A1, 5.000%, 02/25/21		1,281
	4,759	Series 2006-4, Class 1A2, 6.000%, 08/25/36		4,577
		Citigroup Mortgage Loan Trust, Inc.,
	3,434	Series 2003-1, Class 2A5, 5.250%, 10/25/33		3,493
	568	Series 2003-1, Class 2A6, PO, 10/25/33		503
	455	Series 2003-1, Class PO2, PO, 10/25/33		352
	342	Series 2003-1, Class PO3, PO, 09/25/33		248
	26	Series 2003-1, Class WPO1, PO, 06/25/16		25
	325	Series 2003-UP3, Class A3, 7.000%, 09/25/33		334
	1,776	Series 2003-UST1, Class A1, 5.500%, 12/25/18		1,860
	390	Series 2003-UST1, Class PO1, PO, 12/25/18		325
	231	Series 2003-UST1, Class PO3, PO, 12/25/18		196
	1,625	Series 2004-UST1, Class A6, VAR, 5.079%, 08/25/34		1,655
	608	Series 2005-1, Class 2A1A, VAR, 2.731%, 04/25/35		391
	4,083	Series 2005-2, Class 2A11, 5.500%, 05/25/35		4,053
	1,671	Series 2005-5, Class 1A2, VAR, 3.537%, 08/25/35		938
	21,009	Series 2008-AR4, Class 1A1A, VAR, 3.075%, 11/25/38 (e)		20,888
	4,533	Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e)		4,718
	13,918	Series 2009-10, Class 1A1, VAR, 2.460%, 09/25/33 (e)		13,451
	10,633	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		11,124
	13,000	Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e)		13,211
	5,905	Series 2010-7, Class 10A1, VAR, 2.612%, 02/25/35 (e)		5,734
	87,542	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		89,467
	87,901	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		90,622
	5,692	Series 2010-10, Class 2A1, VAR, 2.589%, 02/25/36 (e)		5,648
	5,223	Series 2011-3, Class 1A1, VAR, 0.324%, 02/25/47 (e)		5,121
	7,100	Series 2011-10, Class 4A1, VAR, 0.484%, 02/25/46 (e) (f) (i)		6,350

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
		Countrywide Alternative Loan Trust,
	1,966	Series 2002-8, Class A4, 6.500%, 07/25/32		2,061
	322	Series 2002-12, Class PO, PO, 11/25/32		253
	3,262	Series 2002-18, Class M, 6.000%, 02/25/33		3,150
	539	Series 2003-6T2, Class A6, 5.500%, 06/25/33		506
	11,289	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		10,800
	2,630	Series 2004-14T2, Class A5, 5.500%, 08/25/34		2,609
	6,621	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		6,773
	8,362	Series 2005-1CB, Class 1A6, IF, IO, 6.856%, 03/25/35		1,102
	871	Series 2005-5R, Class A1, 5.250%, 12/25/18		882
	18,846	Series 2005-20CB, Class 3A8, IF, IO, 4.506%, 07/25/35		2,254
	19,244	Series 2005-22T1, Class A2, IF, IO, 4.826%, 06/25/35		2,357
	86	Series 2005-26CB, Class A10, IF, 12.608%, 07/25/35		86
	7,568	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		6,315
	62	Series 2005-28CB, Class 1A5, 5.500%, 08/25/35		62
	274	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		230
	63,148	Series 2005-37T1, Class A2, IF, IO, 4.806%, 09/25/35		9,153
	9,064	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		7,178
	37,648	Series 2005-54CB, Class 1A2, IF, IO, 4.606%, 11/25/35		5,706
	106	Series 2005-54CB, Class 1A7, 5.500%, 11/25/35		98
	3,611	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		2,537
	13,961	Series 2005-J1, Class 1A4, IF, IO, 4.856%, 02/25/35		1,611
	1,182	Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i)		97
		Countrywide Home Loan Mortgage Pass-Through Trust,
	404	Series 2002-18, Class PO, PO, 11/25/32		289
	1,774	Series 2002-22, Class A20, 6.250%, 10/25/32		1,845
	3,785	Series 2003-26, Class 1A6, 3.500%, 08/25/33		3,766

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 51

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,395	Series 2003-29, Class A1, 5.500%, 08/25/33		1,437
	1,225	Series 2003-34, Class A6, 5.250%, 09/25/33		1,228
	9,170	Series 2003-39, Class A6, 5.000%, 10/25/33		9,061
	1,081	Series 2003-44, Class A9, PO, 10/25/33		933
	9,243	Series 2003-J13, Class 1A7, 5.250%, 01/25/34		9,452
	205	Series 2003-J13, Class PO, PO, 01/25/34		152
	1,453	Series 2003-J7, Class 4A3, IF, 9.458%, 08/25/18		1,460
	1,929	Series 2004-3, Class A26, 5.500%, 04/25/34		1,991
	1,310	Series 2004-3, Class A4, 5.750%, 04/25/34		1,351
	7,609	Series 2004-5, Class 1A4, 5.500%, 06/25/34		7,889
	351	Series 2004-7, Class 2A1, VAR, 2.288%, 06/25/34		317
	6,223	Series 2004-8, Class 2A1, 4.500%, 06/25/19		6,365
	630	Series 2004-HYB1, Class 2A, VAR, 2.945%, 05/20/34		549
	2,729	Series 2004-HYB3, Class 2A, VAR, 2.559%, 06/20/34		2,208
	1,696	Series 2004-HYB6, Class A3, VAR, 2.715%, 11/20/34		1,352
	517	Series 2004-J6, Class 2A1, 4.750%, 07/25/14		523
	541	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		555
	1,022	Series 2005-14, Class A2, 5.500%, 07/25/35		960
	1,000	Series 2005-16, Class A23, 5.500%, 09/25/35		997
	6,539	Series 2005-22, Class 2A1, VAR, 2.713%, 11/25/35		4,557
	318	Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		234
		Credit Suisse Mortgage Capital Certificates,
	9,735	Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e)		9,735
	3,363	Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)		3,362
	7,500	Series 2010-16, Class A3, VAR, 3.965%, 06/25/50 (e)		6,694
	3,148	Series 2010-16, Class A4, VAR, 4.250%, 06/25/50 (e)		2,476

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	5,222	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		5,231
	5,230	Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e)		5,356
	11,189	Series 2010-11R, Class A1, VAR, 1.271%, 06/28/47 (e)		10,734
	6,700	Series 2010-12R, Class 14A1, VAR, 2.689%, 09/26/46 (e)		6,590
	5,248	Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e)		5,186
	3,890	Series 2010-15R, Class 7A1, VAR, 4.748%, 10/26/37 (e)		3,878
	3,010	Series 2010-15R, Class 7A2, VAR, 4.748%, 10/26/37 (e)		2,709
	6,911	Series 2010-17R, Class 1A1, VAR, 2.496%, 06/26/36 (e)		6,539
	7,641	Series 2010-17R, Class 5A1, VAR, 2.849%, 07/26/36 (e)		7,393
	34,312	Series 2011-1R, Class A1, VAR, 1.244%, 02/27/47 (e)		33,754
	7,857	Series 2011-6R, Class 3A1, VAR, 2.849%, 07/28/36 (e)		7,218
	42,532	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		41,733
	53,505	Series 2011-9R, Class A1, VAR, 2.244%, 03/27/46 (e)		52,769
	33,166	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		33,229
		CS First Boston Mortgage Securities Corp.,
	61	Series 1997-2, Class A, 7.500%, 06/25/20 (e)		63
	1,945	Series 2003-1, Class DB1, 6.564%, 02/25/33		1,696
	4,587	Series 2003-21, Class 1A4, 5.250%, 09/25/33		4,649
	2,571	Series 2003-23, Class 1P, PO, 10/25/33		1,847
	2,109	Series 2003-23, Class 2A5, 5.000%, 10/25/18		2,168
	479	Series 2003-25, Class 2A1, 4.500%, 10/25/18		486
	6,933	Series 2003-27, Class 5A3, 5.250%, 11/25/33		7,162
	2,470	Series 2003-27, Class 5A4, 5.250%, 11/25/33		2,557
	1,253	Series 2003-AR15, Class 3A1, VAR, 2.852%, 06/25/33		1,219
	3,598	Series 2004-4, Class 2A4, 5.500%, 09/25/34		3,795

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	3,116	Series 2004-5, Class 3A1, 5.250%, 08/25/19		3,218
	123	Series 2004-5, Class 5P, PO, 08/25/19		104
	5,471	Series 2004-8, Class 1A4, 5.500%, 12/25/34		5,756
	2,393	Series 2004-8, Class 3A5, 5.500%, 12/25/34		2,478
	640	Series 2005-4, Class 3A24, IF, 18.101%, 06/25/35		645
	943	Series 2005-9, Class AP, PO, 10/25/35		562
	7,172	Series 2005-9, Class DX, IO, 5.500%, 10/25/35		1,060
	466	Series 2005-10, Class AP, PO, 11/25/35		368
		Deutsche ALT-A Securities, Inc., Alternate Loan Trust,
	2,344	Series 2005-1, Class 2A1, VAR, 5.591%, 02/25/20		2,410
	3,412	Series 2005-3, Class 1A1, VAR, 5.296%, 06/25/20		3,368
		Deutsche Mortgage Securities, Inc.,
	179	Series 2004-1, Class 2APO, PO, 10/25/18		164
	4,760	Series 2009-RS2, Class 4A1, VAR, 0.406%, 04/26/37 (e)		4,579
	3,988	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		3,975
	8,941	Series 2010-RS2, Class A1, VAR, 1.520%, 06/28/47 (e)		8,941
	6,815	FDIC Trust, Series 2011-N1, Class A1, 4.500%, 12/25/16 (e) (f) (i)		6,815
		First Boston Mortgage Securities Corp. 1987 STRIPS,
	37	Series C, Class IO, IO, 10.965%, 04/25/17		6
	21	Series C, Class PO, PO, 04/25/17		21
		First Horizon Alternative Mortgage Securities,
	3,555	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		2,397
	24,357	Series 2007-FA4, Class 1A2, IF, IO, 5.406%, 08/25/37		4,347
		First Horizon Asset Securities, Inc.,
	206	Series 2003-7, Class 2A1, 4.500%, 09/25/18		212
	2,412	Series 2003-8, Class 2A1, 4.500%, 09/25/18		2,435
	3,333	Series 2003-9, Class 1A6, 5.500%, 11/25/33		3,375
	2,292	Series 2004-AR2, Class 2A1, VAR, 2.746%, 05/25/34		2,168
	982	Series 2004-AR7, Class 2A1, VAR, 2.617%, 02/25/35		943

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	798	Series 2004-AR7, Class 2A2, VAR, 2.617%, 02/25/35		724
	5,952	Series 2005-AR1, Class 2A2, VAR, 2.673%, 04/25/35		5,601
		Freedom Trust,
	4,157	Series 2011-3, Class A11, VAR, 4.766%, 09/01/51 (e)		4,074
	12,000	Series 2011-4, Class A18, VAR, 3.901%, 03/25/37 (e)		11,829
		GMAC Mortgage Corp. Loan Trust,
	12,991	Series 2003-AR1, Class A4, VAR, 3.030%, 10/19/33		12,777
	7,948	Series 2003-AR2, Class 2A4, VAR, 2.994%, 12/19/33		7,794
	991	Series 2003-J7, Class A10, 5.500%, 11/25/33		1,039
	11,865	Series 2003-J7, Class A7, 5.000%, 11/25/33		12,274
	572	Series 2003-J8, Class A, 5.250%, 12/25/33		587
	6,406	Series 2004-J5, Class A7, 6.500%, 01/25/35		6,722
	3,198	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		3,275
	1,092	Series 2005-AR3, Class 3A3, VAR, 3.061%, 06/19/35		1,077
	5,000	Series 2005-AR3, Class 3A4, VAR, 3.061%, 06/19/35		4,251
		GSMPS Mortgage Loan Trust,
	1,271	Series 2004-4, Class 1AF, VAR, 0.644%, 06/25/34 (e)		1,088
	2,350	Series 2005-RP2, Class 1AF, VAR, 0.594%, 03/25/35 (e)		1,900
	13,832	Series 2005-RP3, Class 1AF, VAR, 0.594%, 09/25/35 (e)		10,467
	10,196	Series 2005-RP3, Class 1AS, IO, VAR, 5.080%, 09/25/35 (e)		1,536
		GSR Mortgage Loan Trust,
	1,436	Series 2003-3F, Class 4A3, 5.750%, 04/25/33		1,448
	718	Series 2003-6F, Class A2, VAR, 0.644%, 09/25/32		678
	8,102	Series 2004-6F, Class 2A4, 5.500%, 05/25/34		8,472
	2,943	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		3,133
	228	Series 2004-10F, Class 2A1, 5.000%, 08/25/19		231
	1,034	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		1,020
	108	Series 2004-15F, Class AP, PO, 12/25/34		86

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 53

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	223	Series 2005-5F, Class 2A3, 5.500%, 06/25/35		223
	5,245	Series 2005-5F, Class 8A3, VAR, 0.744%, 06/25/35		4,629
	9,747	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		9,565
	469	Series 2005-AR6, Class 3A1, VAR, 2.690%, 09/25/35		421
	4,000	Series 2006-1F, Class 1A3, 5.500%, 02/25/36		3,585
	12,033	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		10,641
	13,000	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		12,573
	4,469	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.544%, 05/25/35		3,975
		Impac Secured Assets CMN Owner Trust,
	2,217	Series 2003-2, Class A1, 5.500%, 08/25/33		2,308
	97	Series 2004-3, Class 1A4, VAR, 1.044%, 11/25/34		89
	11,011	Series 2006-1, Class 2A1, VAR, 0.594%, 05/25/36		9,862
	22,794	Series 2006-2, Class 2A1, VAR, 0.594%, 08/25/36		21,180
	29,567	Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.122%, 08/25/35		148
	8,610	Jefferies & Co., Inc., Series 2011-R2, Class A1, VAR, 4.500%, 10/26/36 (e)		8,664
		JP Morgan Mortgage Trust,
	1,660	Series 2004-A3, Class 4A1, VAR, 2.749%, 07/25/34		1,596
	3,351	Series 2004-A4, Class 1A1, VAR, 2.761%, 09/25/34		3,368
	2,320	Series 2004-S1, Class 1A7, 5.000%, 09/25/34		2,392
	7,550	Series 2005-A1, Class 3A4, VAR, 5.011%, 02/25/35		7,463
	1,205	Series 2005-A1, Class 5A1, VAR, 4.436%, 02/25/35		1,211
	39,448	Series 2006-A2, Class 4A1, VAR, 2.747%, 08/25/34		38,001
	22,536	Series 2006-A2, Class 5A3, VAR, 2.647%, 11/25/33		21,984
	5,524	Series 2006-A3, Class 6A1, VAR, 2.762%, 08/25/34		4,894
	3,720	Series 2007-A1, Class 5A1, VAR, 2.852%, 07/25/35		3,414

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	1,488	Series 2007-A1, Class 5A2, VAR, 2.852%, 07/25/35		1,365
		JP Morgan Reremic,
	6,862	Series 2009-6, Class 4A1, VAR, 5.698%, 09/26/36 (e)		7,137
	6,715	Series 2010-4, Class 7A1, VAR, 4.274%, 08/26/35 (e)		6,535
		Lehman Mortgage Trust,
	2,239	Series 2006-2, Class 1A1, VAR, 6.494%, 04/25/36		2,164
	1,930	Series 2007-6, Class 1A8, 6.000%, 07/25/37		1,494
	10,000	Series 2008-2, Class 1A6, 6.000%, 03/25/38		7,318
		LVII Resecuritization Trust,
	5,239	Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e)		5,111
	16,500	Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e)		16,418
		MASTR Adjustable Rate Mortgages Trust,
	1,451	Series 2004-3, Class 4A2, VAR, 2.392%, 04/25/34		1,347
	11,331	Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		11,175
	8,673	Series 2004-13, Class 3A6, VAR, 2.718%, 11/21/34		8,682
	754	Series 2004-15, Class 3A1, VAR, 3.041%, 12/25/34		594
		MASTR Alternative Loans Trust,
	3,941	Series 2003-9, Class 2A1, 6.000%, 12/25/33		3,950
	631	Series 2003-9, Class 8A1, 6.000%, 01/25/34		633
	1,834	Series 2004-3, Class 2A1, 6.250%, 04/25/34		1,859
	5,389	Series 2004-3, Class 3A1, 6.000%, 04/25/34		5,550
	1,092	Series 2004-6, Class 30PO, PO, 07/25/34		837
	594	Series 2004-6, Class 7A1, 6.000%, 07/25/34		591
	932	Series 2004-7, Class 30PO, PO, 08/25/34		718
	2,730	Series 2004-8, Class 6A1, 5.500%, 09/25/19		2,772
	893	Series 2004-10, Class 1A1, 4.500%, 09/25/19		916
	3,294	Series 2005-6, Class 3A1, 5.500%, 11/25/20		3,173

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		MASTR Asset Securitization Trust,
	592	Series 2003-2, Class 1A1, 5.000%, 03/25/18		610
	374	Series 2003-2, Class 2A1, 4.500%, 03/25/18		381
	1,190	Series 2003-2, Class 2A10, 4.500%, 03/25/18		1,210
	384	Series 2003-8, Class 1A1, 5.500%, 09/25/33		400
	713	Series 2003-9, Class 15PO, PO, 10/25/18		602
	667	Series 2003-9, Class 2A7, 5.500%, 10/25/33		693
	440	Series 2003-11, Class 3A1, 4.500%, 12/25/18		449
	492	Series 2003-12, Class 30PO, PO, 12/25/33		394
	1,082	Series 2003-12, Class 6A1, 5.000%, 12/25/33		1,105
	312	Series 2004-1, Class 30PO, PO, 02/25/34		246
	5,299	Series 2004-4, Class 1A6, 5.250%, 12/26/33		5,458
	155	Series 2004-4, Class 3A1, 4.500%, 04/25/19		158
	441	Series 2004-6, Class 15PO, PO, 05/25/19		364
	1,499	Series 2004-8, Class 1A1, 4.750%, 08/25/19		1,543
	299	Series 2004-8, Class PO, PO, 08/25/19		252
	1,133	Series 2004-9, Class 5A1, 5.250%, 09/25/19		1,169
	3,596	Series 2004-P7, Class A6, 5.500%, 12/27/33 (e)		3,800
	2,300	Series 2006-2, Class 1A30, 6.000%, 06/25/36		1,957
		MASTR Reperforming Loan Trust,
	19,319	Series 2005-2, Class 1A1F, VAR, 0.594%, 05/25/35 (e)		14,486
	2,301	Series 2006-2, Class 1A1, VAR, 5.291%, 05/25/36 (e)		2,121
	5,186	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		4,045
	352	Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.621%, 05/25/35		334
		Mellon Residential Funding Corp.,
	8,717	Series 2000-TBC2, Class A1, VAR, 0.728%, 06/15/30		8,115
	1,930	Series 2000-TBC3, Class A1, VAR, 0.689%, 12/15/30		1,868

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Non-Agency CMO — Continued
			Merrill Lynch Mortgage Investors, Inc.,
	2,404		Series 2003-A5, Class 2A6, VAR, 2.499%, 08/25/33		2,347
	3,887		Series 2004-A4, Class A2, VAR, 2.603%, 08/25/34		3,701
	7,134		Series 2005-A2, Class A1, VAR, 2.582%, 02/25/35		6,033
	5,576		Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.468%, 06/25/37		5,061
	99		Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20		111
			MLCC Mortgage Investors, Inc.,
	2,919		Series 2003-E, Class A1, VAR, 0.864%, 10/25/28		2,549
	4,129		Series 2004-1, Class 2A1, VAR, 2.195%, 12/25/34		4,063
	4,427		Series 2004-C, Class A2, VAR, 1.401%, 07/25/29		4,108
			Morgan Stanley Mortgage Loan Trust,
	8,780		Series 2004-3, Class 4A, VAR, 5.654%, 04/25/34		8,906
	2,607		Series 2004-9, Class 4A, VAR, 5.416%, 11/25/19		2,681
	—	(h)	Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,205.250%, 04/20/21		16
	2,333		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.564%, 02/25/35		1,859
			Nomura Asset Acceptance Corp.,
	1,103		Series 2003-A1, Class A1, 5.500%, 05/25/33		1,151
	318		Series 2003-A1, Class A2, 6.000%, 05/25/33		319
	147		Series 2003-A1, Class A5, 7.000%, 04/25/33		154
	30		Series 2003-A1, Class A7, 5.000%, 04/25/18		31
	1,337		Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		1,314
			Paine Webber CMO Trust,
	5		Series H, Class 4, 8.750%, 04/01/18		5
	23		Series P, Class 4, 8.500%, 08/01/19		26
	4,024		Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34		4,272
	1,917		Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.700%, 05/25/35		1,847

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 55

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		RBSSP Resecuritization Trust,
	7,154	Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e)		7,262
	3,228	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		3,391
	3,988	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		4,011
	6,462	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		6,450
	3,641	Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e)		3,640
	6,550	Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		6,723
	18,489	Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		19,472
	2,914	Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e)		2,906
	1,195	Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e)		1,201
	8,888	Series 2010-9, Class 3A1, VAR, 5.000%, 10/26/34 (e)		8,888
	25,568	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		25,376
	3,068	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		3,085
		Residential Accredit Loans, Inc.,
	1,383	Series 2001-QS19, Class A2, 6.000%, 12/25/16		1,410
	606	Series 2002-QS16, Class A3, IF, 16.113%, 10/25/17		688
	2,678	Series 2002-QS8, Class A5, 6.250%, 06/25/17		2,741
	3,210	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		3,163
	1,760	Series 2003-QR24, Class A5, 4.000%, 07/25/33		1,761
	663	Series 2003-QS1, Class A6, 4.250%, 01/25/33		667
	1,889	Series 2003-QS12, Class A2A, IF, IO, 7.356%, 06/25/18		282
	575	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		57
	4,446	Series 2003-QS14, Class A1, 5.000%, 07/25/18		4,530
	7,971	Series 2003-QS15, Class A7, 5.500%, 08/25/33		8,021
	1,421	Series 2003-QS18, Class A1, 5.000%, 09/25/18		1,464

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	11,158	Series 2003-QS19, Class A1, 5.750%, 10/25/33		11,567
	1,257	Series 2003-QS3, Class A2, IF, 15.963%, 02/25/18		1,350
	1,183	Series 2003-QS3, Class A8, IF, IO, 7.356%, 02/25/18		122
	3,542	Series 2003-QS9, Class A3, IF, IO, 7.306%, 05/25/18		530
	11,668	Series 2004-QS7, Class A4, 5.500%, 05/25/34		10,297
	285	Series 2004-QS8, Class A2, 5.000%, 06/25/34		286
	3,000	Series 2005-QA6, Class A32, VAR, 5.606%, 05/25/35		1,689
	498	Series 2007-QS1, Class 1A1, 6.000%, 01/25/37		338
		Residential Asset Securitization Trust,
	1,348	Series 2003-A13, Class A3, 5.500%, 01/25/34		1,349
	130	Series 2003-A14, Class A1, 4.750%, 02/25/19		131
	2,628	Series 2003-A8, Class A5, 4.250%, 10/25/18		2,692
	20,356	Series 2005-A2, Class A4, IF, IO, 4.806%, 03/25/35		2,101
	2,378	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		1,587
		Residential Funding Mortgage Securities I,
	1,680	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,736
	481	Series 2003-S14, Class A4, PO, 07/25/18		416
	1,368	Series 2003-S16, Class A3, 5.000%, 09/25/18		1,411
	2,036	Series 2003-S20, Class 2A1, 4.750%, 12/25/18		2,084
	266	Series 2004-S6, Class 2A6, PO, 06/25/34		196
	1,401	Series 2005-S1, Class 2A1, 4.750%, 02/25/20		1,443
	2,033	Series 2005-SA4, Class 1A1, VAR, 2.884%, 09/25/35		1,444
	75	Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33		54
		Salomon Brothers Mortgage Securities VII, Inc.,
	7,391	Series 2003-HYB1, Class A, VAR, 2.736%, 09/25/33		7,079
	239	Series 2003-UP2, Class PO1, PO, 12/25/18		216

SEE NOTES TO FINANCIAL STATEMENTS.

56 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Sequoia Mortgage Trust,
	3,002	Series 2004-8, Class A1, VAR, 0.596%, 09/20/34		2,624
	4,708	Series 2004-8, Class A2, VAR, 1.122%, 09/20/34		4,171
	1,417	Series 2004-10, Class A1A, VAR, 0.555%, 11/20/34		1,268
	5,606	Series 2004-12, Class A3, VAR, 1.108%, 01/20/35		4,301
		Springleaf Mortgage Loan Trust,
	18,143	Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		18,420
	14,225	Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		14,227
	4,200	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.916%, 06/25/34		4,145
	3,661	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.905%, 10/19/34		3,253
		Structured Asset Securities Corp.,
	971	Series 2002-17, Class B1, VAR, 6.098%, 09/25/32		958
	115	Series 2002-10H, Class 1AP, PO, 05/25/32		85
	715	Series 2003-8, Class 1A2, 5.000%, 04/25/18		732
	4,668	Series 2003-16, Class A3, VAR, 0.744%, 06/25/33		4,445
	117	Series 2003-21, Class 1A3, 5.500%, 07/25/33		117
	3,892	Series 2003-29, Class 1A1, 4.750%, 09/25/18		3,991
	1,085	Series 2003-30, Class 1A1, 5.500%, 10/25/33		1,118
	590	Series 2003-30, Class 3A2, VAR, 0.744%, 10/25/33		588
	953	Series 2003-32, Class 1A1, VAR, 5.268%, 11/25/33		998
	1,399	Series 2003-31A, Class B1, VAR, 2.512%, 10/25/33		566
	7,495	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		7,584
	1,864	Series 2003-34A, Class 3A3, VAR, 2.512%, 11/25/33		1,726
	6,901	Series 2003-37A, Class 2A, VAR, 5.028%, 12/25/33		6,932
	1,420	Series 2004-20, Class 1A3, 5.250%, 11/25/34		1,426

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	15,909	Series 2004-5H, Class A4, 5.540%, 12/25/33		15,524
	5,567	Series 2004-4XS, Class 1A5, SUB, 5.490%, 02/25/34		5,645
	2,618	Series 2005-6, Class 4A1, 5.000%, 05/25/35		2,580
	1,838	Series 2005-RF3, Class 1A, VAR, 0.594%, 06/25/35 (e)		1,372
	3,408	Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.884%, 09/25/43		3,226
		Vericrest Opportunity Loan Transferee,
	9,656	Series 2011-NL1A, Class A1, VAR, 5.926%, 12/26/50 (e) (f) (i)		9,719
	18,000	Series 2011-NL1A, Class A2, VAR, 9.077%, 12/26/50 (e) (f) (i)		18,196
	7,835	Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i)		7,862
	14,400	Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i)		14,517
	11,434	Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e)		11,463
	6,985	Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e)		7,010
		WaMu Mortgage Pass-Through Certificates,
	3,822	Series 2003-AR7, Class A7, VAR, 2.443%, 08/25/33		3,782
	20,293	Series 2003-AR9, Class 1A6, VAR, 2.461%, 09/25/33		20,122
	4,062	Series 2003-AR9, Class 2A, VAR, 2.545%, 09/25/33		4,102
	4,493	Series 2003-S1, Class A5, 5.500%, 04/25/33		4,727
	710	Series 2003-S10, Class A2, 5.000%, 10/25/18		737
	3,521	Series 2003-S11, Class 2A5, IF, 16.379%, 11/25/33		3,682
	1,803	Series 2003-S13, Class 23A1, VAR, 0.794%, 12/25/18		1,742
	1,384	Series 2003-S4, Class 2A10, IF, 16.792%, 06/25/33		1,534
	1,888	Series 2003-S8, Class A4, 4.500%, 09/25/18		1,906
	1,946	Series 2003-S8, Class A5, 4.500%, 09/25/18		1,977
	1,165	Series 2003-S8, Class A6, 4.500%, 09/25/18		1,211
	21,756	Series 2003-S9, Class A8, 5.250%, 10/25/33		22,395
	520	Series 2003-S9, Class P, PO, 10/25/33		403
	5,220	Series 2004-AR3, Class A1, VAR, 2.549%, 06/25/34		5,138

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 57

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	6,707	Series 2004-AR3, Class A2, VAR, 2.549%, 06/25/34		6,603
	2,600	Series 2004-CB2, Class 5A, 5.000%, 07/25/19		2,672
	2,870	Series 2004-CB2, Class 7A, 5.500%, 08/25/19		2,998
	1,478	Series 2004-RS2, Class A4, 5.000%, 11/25/33		1,479
	737	Series 2004-S1, Class 1A3, VAR, 0.644%, 03/25/34		717
	10,403	Series 2004-S2, Class 2A4, 5.500%, 06/25/34		10,663
	4,579	Series 2004-S3, Class 1A5, 5.000%, 07/25/34		4,736
	552	Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36		308
	1,929	Series 2006-AR8, Class 1A2, VAR, 2.531%, 08/25/46		1,262
		Washington Mutual Alternative Mortgage Pass-Through Certificates,
	5,591	Series 2005-1, Class 1A1, 5.500%, 03/25/35		4,973
	400	Series 2005-1, Class CP, PO, 03/25/35		295
	23,082	Series 2005-2, Class 1A4, IF, IO, 4.806%, 04/25/35		2,803
	6,069	Series 2005-2, Class 2A3, IF, IO, 4.756%, 04/25/35		690
	7,292	Series 2005-4, Class CB7, 5.500%, 06/25/35		6,209
	7,585	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		1,017
	1,912	Series 2005-6, Class 2A4, 5.500%, 08/25/35		1,541
	769	Series 2006-1, Class 3A2, 5.750%, 02/25/36		586
		Washington Mutual MSC Mortgage Pass-Through Certificates,
	670	Series 2003-MS5, Class 1A4, VAR, 0.744%, 03/25/18		655
	84	Series 2003-MS7, Class P, PO, 03/25/33		68
		Wells Fargo Alternative Loan Trust,
	388	Series 2003-1, Class APO, PO, 09/25/33		318
	1,125	Series 2007-PA3, Class 1A2, 5.750%, 07/25/37		872
	19,722	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		19,725

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
		Wells Fargo Mortgage-Backed Securities Trust,
	693	Series 2003-8, Class A9, 4.500%, 08/25/18		721
	200	Series 2003-11, Class 1A4, 4.750%, 10/25/18		199
	510	Series 2003-11, Class 1APO, PO, 10/25/18		432
	1,967	Series 2003-13, Class A7, 4.500%, 11/25/18		1,997
	9,052	Series 2003-15, Class 1A1, 4.750%, 12/25/18		9,354
	205	Series 2003-15, Class APO, PO, 12/25/18		175
	610	Series 2003-16, Class 2A1, 4.500%, 12/25/18		623
	658	Series 2003-J, Class 2A5, VAR, 4.421%, 10/25/33		661
	11,757	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33		11,908
	450	Series 2003-K, Class 1A2, VAR, 4.430%, 11/25/33		465
	1,499	Series 2003-L, Class 2A1, VAR, 4.508%, 11/25/33		1,501
	2,045	Series 2004-4, Class A9, 5.500%, 05/25/34		2,106
	698	Series 2004-7, Class 2A1, 4.500%, 07/25/19		713
	819	Series 2004-7, Class 2A2, 5.000%, 07/25/19		845
	1,049	Series 2004-8, Class APO, PO, 08/25/19		876
	3,500	Series 2004-B, Class A1, VAR, 4.914%, 02/25/34		3,581
	2,460	Series 2004-BB, Class A4, VAR, 2.618%, 01/25/35		2,455
	7,212	Series 2004-EE, Class 2A1, VAR, 2.707%, 12/25/34		7,065
	4,906	Series 2004-EE, Class 2A2, VAR, 2.707%, 12/25/34		4,860
	7,331	Series 2004-EE, Class 3A1, VAR, 2.749%, 12/25/34		7,322
	2,393	Series 2004-EE, Class 3A2, VAR, 2.749%, 12/25/34		2,401
	9,340	Series 2004-I, Class 1A1, VAR, 2.692%, 07/25/34		9,118
	30,073	Series 2004-P, Class 2A1, VAR, 2.677%, 09/25/34		29,621
	4,956	Series 2004-V, Class 1A1, VAR, 2.710%, 10/25/34		4,816
	6,358	Series 2004-V, Class 1A2, VAR, 2.710%, 10/25/34		6,265
	5,050	Series 2005-1, Class 2A1, 5.000%, 01/25/20		5,178

SEE NOTES TO FINANCIAL STATEMENTS.

58 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	3,651	Series 2005-13, Class A1, 5.000%, 11/25/20		3,833
	2,962	Series 2005-14, Class 1A1, 5.500%, 12/25/35		3,079
	1,008	Series 2005-14, Class 2APO, PO, 12/25/35		791
	6,574	Series 2005-AR8, Class 2A1, VAR, 2.686%, 06/25/35		6,214
	1,550	Series 2007-7, Class A7, 6.000%, 06/25/37		1,462
	11,000	Series 2007-9, Class 1A8, 5.500%, 07/25/37		10,970
	8,535	Series 2007-11, Class A14, 6.000%, 08/25/37		8,014
				2,624,102
		Total Collateralized Mortgage Obligations (Cost $7,487,298)		7,923,187
	Commercial Mortgage-Backed Securities — 2.2%
		Banc of America Commercial Mortgage, Inc.,
	5,000	Series 2005-1, Class AJ, VAR, 5.194%, 11/10/42		5,086
	5,000	Series 2005-3, Class A4, 4.668%, 07/10/43		5,496
	10,625	Series 2005-3, Class AM, 4.727%, 07/10/43		11,236
	2,500	Series 2005-5, Class A4, VAR, 5.115%, 10/10/45		2,788
	638,680	Series 2005-5, Class XC, IO, VAR, 0.069%, 10/10/45 (e)		2,239
	7,628	Series 2005-6, Class ASB, VAR, 5.193%, 09/10/47		8,019
	2,855	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		3,202
	7,000	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		7,882
	11,500	Series 2006-4, Class A4, 5.634%, 07/10/46		13,045
	2,500	Series 2006-5, Class A4, 5.414%, 09/10/47		2,796
	258,294	Series 2006-5, Class XC, IO, VAR, 0.255%, 09/10/47 (e)		3,617
	9,500	Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.604%, 06/24/50 (e)		10,607
		Bear Stearns Commercial Mortgage Securities,
	9,145	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		9,855
	2,725	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		2,865
	8,560	Series 2006-PW11, Class A4, VAR, 5.459%, 03/11/39		9,682
	257,775	Series 2006-PW14, Class X1, IO, VAR, 0.185%, 12/11/38 (e)		4,190

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	2,700	Series 2006-T24, Class A4, 5.537%, 10/12/41		3,067
	711,537	Series 2007-T26, Class X1, IO, VAR, 0.077%, 01/12/45 (e)		3,955
		Citigroup Commercial Mortgage Trust,
	7,200	Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		7,632
	7	Series 2006-C4, Class A1, VAR, 5.730%, 03/15/49		7
		Citigroup/Deutsche Bank Commercial Mortgage Trust,
	180,450	Series 2006-CD3, Class XS, IO, VAR, 0.119%, 10/15/48 (e)		2,386
	278,990	Series 2007-CD4, Class XC, IO, VAR, 0.188%, 12/11/49 (e)		2,434
	4,700	Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32		5,092
	6,300	Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43		6,921
		Credit Suisse Mortgage Capital Certificates,
	7,150	Series 2006-C2, Class A3, VAR, 5.663%, 03/15/39		7,877
	268,297	Series 2007-C2, Class AX, IO, VAR, 0.101%, 01/15/49 (e)		1,405
	1,700	CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37		1,812
	257,480	CW Capital Cobalt Ltd., Series 2006-C1, Class IO, IO, VAR, 0.722%, 08/15/48		6,435
	15,293	Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e)		15,749
	32,218	FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		33,559
	11,500	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		11,862
		GMAC Commercial Mortgage Securities, Inc.,
	134	Series 2003-C1, Class A1, 3.337%, 05/10/36		135
	14,000	Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		15,384
	3,500	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		3,641
		GS Mortgage Securities Corp. II,
	11,100	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		11,989

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 59

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	7,300	Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		8,130
	161,739	Series 2006-GG8, Class X, IO, VAR, 0.619%, 11/10/39 (e)		3,511
	5,500	Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		5,550
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	8,300	Series 2004-CB8, Class A4, 4.404%, 01/12/39		8,767
	6,000	Series 2004-CB9, Class A4, VAR, 5.579%, 06/12/41		6,506
	5,150	Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		5,309
	628,118	Series 2005-CB11, Class X1, IO, VAR, 0.071%, 08/12/37 (e)		2,675
	683,748	Series 2005-LDP5, Class X1, IO, VAR, 0.084%, 12/15/44 (e)		2,085
	2,000	Series 2006-CB15, Class A4, VAR, 5.814%, 06/12/43		2,245
	458,541	Series 2006-CB15, Class X1, IO, VAR, 0.076%, 06/12/43		3,139
	2,195	Series 2006-CB16, Class A4, 5.552%, 05/12/45		2,461
	1,600	Series 2006-LDP8, Class A4, 5.399%, 05/15/45		1,814
	6,000	Series 2006-LDP9, Class A3SF, VAR, 0.403%, 05/15/47		5,511
	487,199	Series 2007-LD12, Class X, IO, VAR, 0.144%, 02/15/51		2,090
		LB-UBS Commercial Mortgage Trust,
	11,528	Series 2004-C2, Class A4, 4.367%, 03/15/36		12,119
	5,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		5,577
	1,470	Series 2006-C4, Class A4, VAR, 5.874%, 06/15/38		1,686
	190,487	Series 2007-C2, Class XW, IO, VAR, 0.528%, 02/15/40		3,865
		Merrill Lynch Mortgage Trust,
	2,500	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		2,798
	3,325	Series 2005-LC1, Class AJ, VAR, 5.327%, 01/12/44		3,288
	4,466	Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		4,501
	2,200	Series 2006-C1, Class A4, VAR, 5.661%, 05/12/39		2,504
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	4,950	Series 2006-1, Class A4, VAR, 5.429%, 02/12/39		5,538

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	444,970	Series 2006-4, Class XC, IO, VAR, 0.211%, 12/12/49 (e)		5,709
		Morgan Stanley Capital I,
	3,700	Series 2004-HQ4, Class A7, 4.970%, 04/14/40		3,941
	239,494	Series 2006-IQ12, Class X1, IO, VAR, 0.142%, 12/15/43 (e)		3,410
	459,540	Series 2007-HQ11, Class X, IO, VAR, 0.230%, 02/12/44 (e)		3,431
	116,471	Series 2007-HQ13, Class X1, IO, VAR, 0.413%, 12/15/44 (e)		1,896
	356,274	Series 2007-IQ13, Class X, IO, VAR, 0.440%, 03/15/44 (e)		5,400
	6,107	Series 2011-C3, Class A3, 4.054%, 07/15/49		6,567
	8	Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39		8
		Morgan Stanley Reremic Trust,
	5,923	Series 2009-IO, Class A1, 3.000%, 07/17/56 (e)		5,952
	23,300	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		23,853
	3,878	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		3,874
	26,000	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		27,644
	31,373	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		31,471
	1,452	Multi Security Asset Trust, Series 2005-RR4A, Class A3, 5.000%, 11/28/35 (e)		1,445
	6,060	RBSCF Trust, Series 2010-RR3, Class MS4A, VAR, 4.970%, 04/16/40 (e)		6,443
	27,950	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.707%, 08/15/39		30,227
		Wachovia Bank Commercial Mortgage Trust,
	6,628	Series 2003-C9, Class A4, VAR, 5.012%, 12/15/35		7,013
	10,719	Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		11,558
	1,004,956	Series 2006-C24, Class XC, IO, VAR, 0.041%, 03/15/45 (e)		4,132
	10,265	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		11,178
		Total Commercial Mortgage-Backed Securities (Cost $514,370)		540,768

SEE NOTES TO FINANCIAL STATEMENTS.

60 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — 16.2%
		Consumer Discretionary — 1.2%
		Auto Components — 0.0% (g)
		Johnson Controls, Inc.,
	4,599	3.750%, 12/01/21		4,856
	3,335	4.250%, 03/01/21		3,599
	7,000	5.250%, 12/01/41		7,455
				15,910
		Automobiles — 0.1%
		Daimler Finance North America LLC,
	5,248	2.625%, 09/15/16 (e)		5,372
	9,800	2.950%, 01/11/17 (e)		10,125
	1,500	8.500%, 01/18/31		2,227
				17,724
		Broadcasting & Cable TV — 0.1%
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	5,600	4.600%, 02/15/21		6,075
	4,322	5.000%, 03/01/21		4,802
	12,465	6.000%, 08/15/40		14,300
				25,177
		Hotels, Restaurants & Leisure — 0.0% (g)
	2,025	McDonald’s Corp., 4.300%, 03/01/13		2,098
		Household Durables — 0.0% (g)
	3,000	Newell Rubbermaid, Inc., 4.700%, 08/15/20		3,255
		Media — 0.8%
		CBS Corp.,
	750	5.500%, 05/15/33		806
	1,426	5.750%, 04/15/20		1,642
	6,025	7.875%, 07/30/30		8,021
	1,500	8.875%, 05/15/19		2,000
		Comcast Cable Communications Holdings, Inc.,
	6,417	8.375%, 03/15/13		6,919
	5,250	9.455%, 11/15/22		7,764
		Comcast Cable Communications LLC,
	2,200	7.125%, 06/15/13		2,371
	1,000	8.875%, 05/01/17		1,305
	1,800	Comcast Cable Holdings LLC, 10.125%, 04/15/22		2,657
		Comcast Corp.,
	1,300	5.900%, 03/15/16		1,512
	3,000	6.450%, 03/15/37		3,746
	1,000	6.500%, 01/15/17		1,204
	4,600	6.500%, 11/15/35		5,713

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Media — Continued
		Cox Communications, Inc.,
	2,600	5.450%, 12/15/14		2,901
	1,300	8.375%, 03/01/39 (e)		1,838
	2,650	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		3,182
	6,674	Discovery Communications LLC, 4.375%, 06/15/21		7,397
	3,365	Historic TW, Inc., 9.150%, 02/01/23		4,674
		NBCUniversal Media LLC,
	4,000	4.375%, 04/01/21		4,382
	2,780	5.150%, 04/30/20		3,214
	5,102	5.950%, 04/01/41		6,198
		News America, Inc.,
	2,500	6.200%, 12/15/34		2,900
	3,000	6.650%, 11/15/37		3,656
	1,500	6.900%, 08/15/39		1,862
	1,965	7.250%, 05/18/18		2,382
	4,400	7.300%, 04/30/28		5,095
	3,000	7.625%, 11/30/28		3,587
	1,100	8.000%, 10/17/16		1,348
	1,050	8.875%, 04/26/23		1,356
		TCI Communications, Inc.,
	1,337	7.125%, 02/15/28		1,696
	426	8.750%, 08/01/15		520
		Thomson Reuters Corp., (Canada),
	9,049	3.950%, 09/30/21		9,576
	2,150	4.700%, 10/15/19		2,370
	1,125	5.950%, 07/15/13		1,192
		Time Warner Cable, Inc.,
	3,735	5.500%, 09/01/41		4,113
	1,700	5.850%, 05/01/17		2,000
	4,600	5.875%, 11/15/40		5,223
	2,595	6.550%, 05/01/37		3,132
	4,550	6.750%, 07/01/18		5,592
	2,000	6.750%, 06/15/39		2,493
	2,450	7.300%, 07/01/38		3,149
	1,590	8.250%, 02/14/14		1,808
	2,150	8.250%, 04/01/19		2,788
	1,785	8.750%, 02/14/19		2,361
		Time Warner Entertainment Co. LP,
	2,020	8.375%, 03/15/23		2,763
	6,500	8.375%, 07/15/33		8,523
	2,165	10.150%, 05/01/12		2,195
		Time Warner, Inc.,
	5,670	4.750%, 03/29/21		6,344
	1,754	5.375%, 10/15/41		1,948

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 61

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Media — Continued
	3,125	6.200%, 03/15/40		3,713
	4,139	6.250%, 03/29/41		4,991
	3,825	7.625%, 04/15/31		5,130
	1,255	7.700%, 05/01/32		1,709
		Viacom, Inc.,
	1,672	1.250%, 02/27/15		1,674
	5,627	3.875%, 12/15/21		5,931
	600	4.500%, 03/01/21		659
	2,022	4.500%, 02/27/42		2,008
	4,500	Walt Disney Co. (The), 4.125%, 12/01/41		4,611
				201,844
		Multiline Retail — 0.1%
		Kohl’s Corp.,
	2,800	4.000%, 11/01/21		2,928
	1,000	6.250%, 12/15/17		1,184
		Macy’s Retail Holdings, Inc.,
	1,200	3.875%, 01/15/22		1,234
	978	5.125%, 01/15/42		999
	1,300	7.450%, 07/15/17		1,596
	3,856	Nordstrom, Inc., 4.000%, 10/15/21		4,216
		Target Corp.,
	2,100	6.000%, 01/15/18		2,572
	1,900	7.000%, 01/15/38		2,703
				17,432
		Specialty Retail — 0.1%
	3,788	Gap, Inc. (The), 5.950%, 04/12/21		3,799
	4,600	Home Depot, Inc., 5.400%, 03/01/16		5,342
		Lowe’s Cos., Inc.,
	2,153	3.800%, 11/15/21		2,325
	2,305	5.125%, 11/15/41		2,637
	3,500	7.110%, 05/15/37		4,686
	1,775	Staples, Inc., 9.750%, 01/15/14		2,036
				20,825
		Total Consumer Discretionary		304,265
		Consumer Staples — 0.7%
		Beverages — 0.2%
		Anheuser-Busch Cos. LLC,
	1,000	5.500%, 01/15/18		1,182
	1,100	5.750%, 04/01/36		1,339
		Anheuser-Busch InBev Worldwide, Inc.,
	3,615	1.500%, 07/14/14		3,672
	7,050	7.750%, 01/15/19		9,283

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Beverages — Continued
		Coca-Cola Co. (The),
	1,550	3.625%, 03/15/14		1,647
	1,550	4.875%, 03/15/19		1,816
	2,780	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		3,214
		Diageo Finance B.V., (Netherlands),
	2,150	5.300%, 10/28/15		2,462
	3,600	5.500%, 04/01/13		3,792
	3,975	FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e)		4,384
		PepsiCo, Inc.,
	935	0.800%, 08/25/14		941
	2,503	3.000%, 08/25/21		2,581
	231	7.900%, 11/01/18		315
		SABMiller Holdings, Inc.,
	3,784	1.850%, 01/15/15 (e)		3,846
	4,660	3.750%, 01/15/22 (e)		4,860
		SABMiller plc, (United Kingdom),
	1,900	5.500%, 08/15/13 (e)		2,014
	4,600	5.700%, 01/15/14 (e)		4,951
	850	6.500%, 07/01/16 (e)		985
				53,284
		Food & Staples Retailing — 0.2%
		CVS Caremark Corp.,
	6,794	5.750%, 05/15/41		8,126
	2,000	6.125%, 09/15/39		2,498
	7,211	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		7,839
		Kroger Co. (The),
	3,867	2.200%, 01/15/17		3,938
	924	5.400%, 07/15/40		1,012
	2,000	6.150%, 01/15/20		2,468
	600	6.400%, 08/15/17		728
	2,225	7.500%, 01/15/14		2,489
		Wal-Mart Stores, Inc.,
	1,820	4.550%, 05/01/13		1,907
	1,200	5.250%, 09/01/35		1,416
	1,050	6.200%, 04/15/38		1,385
	700	7.550%, 02/15/30		1,030
				34,836
		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	2,125	5.875%, 05/15/13		2,219
	7,760	8.500%, 06/15/19		9,598
	605	Bunge N.A. Finance LP, 5.900%, 04/01/17		663

SEE NOTES TO FINANCIAL STATEMENTS.

62 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Food Products — Continued
		Cargill, Inc.,
	7,750	3.300%, 03/01/22 (e)		7,798
	2,724	4.307%, 05/14/21 (e)		2,945
	1,550	6.000%, 11/27/17 (e)		1,836
	2,850	7.350%, 03/06/19 (e)		3,583
	1,900	H.J. Heinz Co., 6.375%, 07/15/28		2,339
		Kellogg Co.,
	2,270	3.250%, 05/21/18		2,387
	1,500	4.250%, 03/06/13		1,554
	2,600	5.125%, 12/03/12		2,689
		Kraft Foods, Inc.,
	5,888	5.375%, 02/10/20		6,865
	4,250	6.125%, 02/01/18		5,095
	2,000	6.125%, 08/23/18		2,411
	9,705	6.500%, 08/11/17		11,778
	3,000	6.500%, 02/09/40		3,901
	1,600	6.875%, 02/01/38		2,124
	2,700	6.875%, 01/26/39		3,565
	1,200	7.000%, 08/11/37		1,589
				74,939
		Household Products — 0.0% (g)
		Kimberly-Clark Corp.,
	1,360	2.400%, 03/01/22		1,339
	500	7.500%, 11/01/18		662
	2,120	Procter & Gamble - ESOP, 9.360%, 01/01/21		2,850
	1,000	Procter & Gamble Co. (The), 5.500%, 02/01/34		1,272
				6,123
		Total Consumer Staples		169,182
		Energy — 0.9%
		Energy Equipment & Services — 0.1%
		Halliburton Co.,
	750	6.150%, 09/15/19		909
	5,050	7.450%, 09/15/39		7,407
	2,500	7.600%, 08/15/96 (e)		3,456
		Noble Holding International Ltd., (Cayman Islands),
	871	3.950%, 03/15/22		896
	621	5.250%, 03/15/42		657
	3,268	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		3,374
		Transocean, Inc., (Cayman Islands),
	1,888	6.375%, 12/15/21		2,228
	6,750	6.500%, 11/15/20		7,872

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Energy Equipment & Services — Continued
	1,487	7.350%, 12/15/41		1,897
	500	7.500%, 04/15/31		602
				29,298
		Oil, Gas & Consumable Fuels — 0.8%
	2,655	Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31		3,201
		Anadarko Petroleum Corp.,
	405	5.750%, 06/15/14		441
	8,500	7.625%, 03/15/14		9,438
	1,100	8.700%, 03/15/19		1,465
	2,500	Apache Corp., 6.900%, 09/15/18		3,173
		BP Capital Markets plc, (United Kingdom),
	1,380	3.125%, 03/10/12		1,381
	5,500	3.875%, 03/10/15		5,965
	6,200	4.742%, 03/11/21		7,144
	9,100	5.250%, 11/07/13		9,776
		Canadian Natural Resources Ltd., (Canada),
	400	5.900%, 02/01/18		477
	1,450	6.450%, 06/30/33		1,827
	2,000	6.750%, 02/01/39		2,686
	400	7.200%, 01/15/32		523
	5,100	Chevron Corp., 4.950%, 03/03/19		6,141
	1,040	Conoco Funding Co., (Canada), 7.250%, 10/15/31		1,454
		ConocoPhillips,
	1,500	5.200%, 05/15/18		1,793
	2,000	5.750%, 02/01/19		2,462
	1,450	6.000%, 01/15/20		1,825
	1,450	6.500%, 02/01/39		2,049
	1,280	Devon Energy Corp., 6.300%, 01/15/19		1,587
		Encana Corp., (Canada),
	2,330	6.500%, 05/15/19		2,767
	1,145	6.500%, 08/15/34		1,294
	5,400	ENI S.p.A., (Italy), 5.700%, 10/01/40 (e)		5,756
		EOG Resources, Inc.,
	5,300	4.100%, 02/01/21		5,858
	1,800	6.875%, 10/01/18		2,253
	1,155	Husky Energy, Inc., (Canada), 6.150%, 06/15/19		1,358
	1,230	Kerr-McGee Corp., 6.950%, 07/01/24		1,517
		Marathon Oil Corp.,
	2,819	5.900%, 03/15/18		3,322
	2,800	6.000%, 10/01/17		3,303
	2,430	Occidental Petroleum Corp., 1.750%, 02/15/17		2,462

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 63

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	1,150	PC Financial Partnership, 5.000%, 11/15/14		1,264
	7,202	Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21		7,743
		Petro-Canada, (Canada),
	2,549	6.050%, 05/15/18		3,086
	3,200	6.800%, 05/15/38		4,312
	2,045	Pioneer Natural Resources Co., 5.875%, 07/15/16		2,272
		Shell International Finance B.V., (Netherlands),
	2,330	1.875%, 03/25/13		2,368
	994	3.100%, 06/28/15		1,070
	2,330	4.000%, 03/21/14		2,489
	3,000	4.300%, 09/22/19		3,464
	8,580	4.375%, 03/25/20		10,036
	6,000	6.375%, 12/15/38		8,401
		Statoil ASA, (Norway),
	2,950	3.125%, 08/17/17		3,172
	2,301	3.150%, 01/23/22		2,389
	1,866	4.250%, 11/23/41		1,936
	3,700	5.250%, 04/15/19		4,378
		Suncor Energy, Inc., (Canada),
	2,400	5.950%, 12/01/34		2,841
	1,900	6.100%, 06/01/18		2,318
	900	6.850%, 06/01/39		1,221
	5,355	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		6,710
		Tosco Corp.,
	300	7.800%, 01/01/27		415
	3,500	8.125%, 02/15/30		5,060
		Total Capital International S.A., (France),
	2,112	1.500%, 02/17/17		2,116
	1,400	2.875%, 02/17/22		1,425
		Total Capital S.A., (France),
	10,000	2.300%, 03/15/16		10,425
	2,218	4.125%, 01/28/21		2,490
	2,800	XTO Energy, Inc., 5.750%, 12/15/13		3,041
				191,140
		Total Energy		220,438
		Financials — 8.7%
		Capital Markets — 1.7%
		Bank of New York Mellon Corp. (The),
	2,857	1.200%, 02/20/15		2,859
	9,791	2.400%, 01/17/17		10,057
	8,000	2.950%, 06/18/15		8,439

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Capital Markets — Continued
	2,500	3.100%, 01/15/15		2,632
	3,444	3.550%, 09/23/21		3,574
	3,750	4.600%, 01/15/20		4,182
	1,000	5.125%, 08/27/13		1,065
		BlackRock, Inc.,
	3,245	3.500%, 12/10/14		3,475
	9,294	5.000%, 12/10/19		10,609
	10,200	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		10,305
	1,600	Charles Schwab Corp. (The), 4.950%, 06/01/14		1,743
		Credit Suisse USA, Inc.,
	1,200	4.875%, 01/15/15		1,286
	1,803	5.125%, 08/15/15		1,959
	2,500	FMR LLC, 6.450%, 11/15/39 (e)		2,766
	2,095	Goldman Sachs Capital I, 6.345%, 02/15/34		1,962
	1,000	Goldman Sachs Group LP, 8.000%, 03/01/13 (e)		1,050
		Goldman Sachs Group, Inc. (The),
	6,465	3.625%, 02/07/16		6,488
	4,020	3.700%, 08/01/15		4,100
	2,694	4.750%, 07/15/13		2,793
	12,876	5.250%, 10/15/13		13,483
	3,927	5.250%, 07/27/21		3,934
	9,757	5.375%, 03/15/20		9,998
	5,300	5.750%, 01/24/22		5,532
	12,900	5.950%, 01/18/18		13,941
	14,670	6.000%, 06/15/20		15,595
	2,200	6.150%, 04/01/18		2,384
	7,470	6.250%, 09/01/17		8,204
	1,600	6.750%, 10/01/37		1,604
	32,760	7.500%, 02/15/19		37,294
		Jefferies Group, Inc.,
	3,075	3.875%, 11/09/15		2,921
	2,750	5.125%, 04/13/18		2,571
	5,600	6.450%, 06/08/27		5,264
	8,900	8.500%, 07/15/19		9,568
		Lehman Brothers Holdings, Inc.,
	151	3.950%, 11/10/09 (d)		41
	3,480	4.800%, 03/13/14 (d)		944
	800	5.750%, 05/17/13 (d)		217
	3,000	6.000%, 07/19/12 (d)		814
	3,962	6.625%, 01/18/13 (d)		1,075
	450	6.750%, 12/28/17 (d)		—	(h)
	219	7.875%, 11/01/09 (d)		59

SEE NOTES TO FINANCIAL STATEMENTS.

64 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Capital Markets — Continued
		Macquarie Group Ltd., (Australia),
	4,600	6.000%, 01/14/20 (e)		4,521
	10,015	6.250%, 01/14/21 (e)		9,996
	6,992	7.300%, 08/01/14 (e)		7,368
	745	7.625%, 08/13/19 (e)		768
		Merrill Lynch & Co., Inc.,
	700	5.000%, 01/15/15		721
	3,723	5.450%, 07/15/14		3,873
	6,929	6.150%, 04/25/13		7,202
	21,186	6.400%, 08/28/17		22,307
	6,348	6.875%, 04/25/18		6,909
		Morgan Stanley,
	6,626	4.000%, 07/24/15		6,632
	4,263	4.200%, 11/20/14		4,279
	2,711	4.750%, 04/01/14		2,743
	9,078	5.300%, 03/01/13		9,346
	5,200	5.450%, 01/09/17		5,350
	7,503	5.500%, 07/24/20		7,390
	14,220	5.625%, 09/23/19		14,218
	1,300	5.750%, 08/31/12		1,330
	3,245	5.750%, 01/25/21		3,216
	5,800	6.000%, 05/13/14		6,077
	3,294	6.000%, 04/28/15		3,470
	1,070	6.250%, 08/28/17		1,122
	4,425	6.625%, 04/01/18		4,692
	8,400	7.300%, 05/13/19		9,066
		Nomura Holdings, Inc., (Japan),
	8,375	4.125%, 01/19/16		8,501
	2,828	5.000%, 03/04/15		2,967
	6,114	6.700%, 03/04/20		6,626
	887	Northern Trust Corp., 5.500%, 08/15/13		945
	1,250	State Street Corp., 4.300%, 05/30/14		1,337
		UBS AG, (Switzerland),
	2,927	2.250%, 08/12/13		2,936
	13,050	3.875%, 01/15/15		13,535
	2,000	4.875%, 08/04/20		2,078
	3,755	5.750%, 04/25/18		4,147
	1,025	5.875%, 12/20/17		1,137
				403,592
		Commercial Banks — 2.9%
	2,930	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		2,965
		Australia & New Zealand Banking Group Ltd., (Australia),
	9,960	2.400%, 11/23/16 (e)		10,030

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Commercial Banks — Continued
	6,200	3.250%, 03/01/16 (e)		6,334
	2,867	4.875%, 01/12/21 (e)		3,097
	7,402	Bank of Montreal, (Canada), 1.300%, 10/31/14 (e)		7,480
		Bank of Nova Scotia, (Canada),
	8,206	1.650%, 10/29/15 (e)		8,358
	8,400	2.550%, 01/12/17		8,694
	7,071	3.400%, 01/22/15		7,516
		Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan),
	9,498	2.350%, 02/23/17 (e)		9,545
	4,367	3.850%, 01/22/15 (e)		4,637
		Barclays Bank plc, (United Kingdom),
	9,400	2.500%, 01/23/13		9,481
	8,375	2.500%, 09/21/15 (e)		8,489
	7,700	2.750%, 02/23/15		7,739
	3,858	3.900%, 04/07/15		3,999
	1,100	5.000%, 09/22/16		1,185
	4,500	5.125%, 01/08/20		4,758
	9,300	5.200%, 07/10/14		9,875
	3,700	6.050%, 12/04/17 (e)		3,767
	500	6.750%, 05/22/19		574
		BB&T Corp.,
	4,855	3.375%, 09/25/13		5,038
	5,945	3.850%, 07/27/12		6,024
	6,250	3.950%, 04/29/16		6,786
	2,750	4.900%, 06/30/17		3,009
	7,358	5.700%, 04/30/14		8,089
	1,650	6.850%, 04/30/19		2,028
		Branch Banking & Trust Co.,
	598	4.875%, 01/15/13		618
	4,650	5.625%, 09/15/16		5,295
	1,500	Cadets Trust, 4.800%, 07/15/13 (e) (f) (i)		1,564
	37,250	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		39,130
	1,250	Comerica Bank, 5.200%, 08/22/17		1,370
	1,960	Comerica, Inc., 3.000%, 09/16/15		2,030
		Credit Suisse, (Switzerland),
	3,290	4.375%, 08/05/20		3,345
	2,700	5.000%, 05/15/13		2,806
	6,300	5.300%, 08/13/19		6,715
	4,000	5.400%, 01/14/20		4,018
	4,995	5.500%, 05/01/14		5,347
	5,150	6.000%, 02/15/18		5,424
		Deutsche Bank AG, (Germany),
	7,800	3.250%, 01/11/16		7,992

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 65

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
	3,520	3.875%, 08/18/14		3,677
	14,418	DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		14,571
	1,450	Fifth Third Bancorp, 5.450%, 01/15/17		1,583
		HSBC Bank plc, (United Kingdom),
	10,761	1.625%, 07/07/14 (e)		10,795
	9,146	3.100%, 05/24/16 (e)		9,355
	4,624	3.500%, 06/28/15 (e)		4,794
	5,961	4.125%, 08/12/20 (e)		6,114
	10,000	4.750%, 01/19/21 (e)		10,685
	6,805	HSBC Bank USA N.A., 4.625%, 04/01/14		7,194
		HSBC Holdings plc, (United Kingdom),
	7,200	4.875%, 01/14/22		7,801
	4,669	5.100%, 04/05/21		5,110
	7,200	6.100%, 01/14/42		8,582
	10,000	HSBC USA, Inc., 2.375%, 02/13/15		10,141
	11,028	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		10,971
	3,150	KeyBank N.A., 5.500%, 09/17/12		3,231
	3,750	KeyCorp, 6.500%, 05/14/13		3,975
	14,349	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		14,503
		Manufacturers & Traders Trust Co.,
	4,500	6.625%, 12/04/17		5,220
	6,250	VAR, 2.081%, 04/01/13		6,236
		National Australia Bank Ltd., (Australia),
	18,650	2.500%, 01/08/13 (e)		18,895
	7,800	2.750%, 09/28/15 (e)		7,927
	7,000	3.000%, 07/27/16 (e)		7,137
	3,455	3.750%, 03/02/15 (e)		3,620
	8,677	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		8,833
	4,000	National City Bank, 5.800%, 06/07/17		4,467
		Nordea Bank AB, (Sweden),
	5,000	1.750%, 10/04/13 (e)		4,981
	6,198	4.875%, 05/13/21 (e)		5,961
	2,000	PNC Bank N.A., 6.875%, 04/01/18		2,369
		PNC Funding Corp.,
	1,284	2.700%, 09/19/16		1,335
	1,015	3.000%, 05/19/14		1,055
	4,534	4.375%, 08/11/20		5,003
	5,700	5.125%, 02/08/20		6,576
	1,200	5.250%, 11/15/15		1,339
	1,230	5.625%, 02/01/17		1,366
	4,100	6.700%, 06/10/19		5,069

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Commercial Banks — Continued
		Rabobank Nederland N.V., (Netherlands),
	2,340	2.125%, 10/13/15		2,340
	12,700	3.200%, 03/11/15 (e)		13,069
	2,501	3.375%, 01/19/17		2,575
	5,921	3.875%, 02/08/22		5,905
	6,900	4.500%, 01/11/21		7,246
	3,500	5.800%, 09/30/10 (e)		3,451
	4,000	Royal Bank of Canada, (Canada), 2.300%, 07/20/16		4,097
	2,450	SouthTrust Bank, 7.690%, 05/15/25		2,927
		SunTrust Banks, Inc.,
	4,015	5.250%, 11/05/12		4,125
	1,000	6.000%, 09/11/17		1,115
	505	7.250%, 03/15/18		583
	6,699	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		6,890
		Toronto-Dominion Bank (The), (Canada),
	9,045	2.200%, 07/29/15 (e)		9,392
	5,384	2.500%, 07/14/16		5,588
		U.S. Bancorp,
	4,680	2.450%, 07/27/15		4,874
	4,299	2.875%, 11/20/14		4,496
	3,667	3.000%, 03/15/22		3,674
	3,558	4.125%, 05/24/21		3,915
	1,400	7.500%, 06/01/26		1,733
	690	U.S. Bank N.A., 6.300%, 02/04/14		757
		Wachovia Bank N.A.,
	4,700	5.000%, 08/15/15		5,089
	15,190	6.000%, 11/15/17		17,468
	2,700	6.600%, 01/15/38		3,286
	4,430	VAR, 0.876%, 03/15/16		4,152
		Wachovia Corp.,
	2,130	4.875%, 02/15/14		2,246
	8,400	5.500%, 05/01/13		8,853
	3,050	5.750%, 06/15/17		3,545
	18,075	5.750%, 02/01/18		20,974
		Wells Fargo & Co.,
	15,339	2.625%, 12/15/16		15,791
	8,500	4.600%, 04/01/21		9,376
	9,185	5.625%, 12/11/17		10,634
	16,700	SUB, 3.676%, 06/15/16		17,896
		Wells Fargo Bank N.A.,
	4,870	4.750%, 02/09/15		5,239
	2,000	5.750%, 05/16/16		2,255

SEE NOTES TO FINANCIAL STATEMENTS.

66 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
		Westpac Banking Corp., (Australia),
	6,550	2.450%, 11/28/16 (e)		6,610
	4,800	4.200%, 02/27/15		5,131
	10,711	4.875%, 11/19/19		11,490
				704,409
		Consumer Finance — 0.7%
	4,900	American Express Centurion Bank, 6.000%, 09/13/17		5,748
	2,750	American Express Co., 7.000%, 03/19/18		3,387
		American Express Credit Corp.,
	8,055	2.800%, 09/19/16		8,346
	9,100	5.875%, 05/02/13		9,599
	5,650	7.300%, 08/20/13		6,141
	1,479	American General Finance Corp., 5.375%, 10/01/12		1,398
		American Honda Finance Corp.,
	8,000	1.450%, 02/27/15 (e)		8,023
	4,121	2.125%, 02/28/17 (e)		4,146
	2,060	2.375%, 03/18/13 (e)		2,097
	11,476	2.600%, 09/20/16 (e)		11,812
	1,335	7.625%, 10/01/18 (e)		1,712
	17,474	Capital One Bank USA N.A., 8.800%, 07/15/19		21,354
		Capital One Financial Corp.,
	2,502	4.750%, 07/15/21		2,638
	8,300	6.750%, 09/15/17		9,642
	6,075	7.375%, 05/23/14		6,761
		HSBC Finance Corp.,
	311	4.750%, 07/15/13		322
	6,500	5.000%, 06/30/15		6,889
	1,600	5.250%, 01/15/14		1,685
	200	5.500%, 01/19/16		215
	1,078	6.375%, 11/27/12		1,116
	308	7.350%, 11/27/32		328
	1,700	VAR, 0.821%, 01/15/14		1,643
		John Deere Capital Corp.,
	2,491	3.150%, 10/15/21		2,586
	450	4.500%, 04/03/13		468
	4,750	5.250%, 10/01/12		4,885
	2,437	SLM Corp., 5.375%, 01/15/13		2,498
		Toyota Motor Credit Corp.,
	8,000	1.000%, 02/17/15		7,988
	15,500	2.000%, 09/15/16		15,787
	3,900	2.050%, 01/12/17		3,977
	5,538	3.200%, 06/17/15		5,892

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Consumer Finance — Continued
	2,002	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		2,016
				161,099
		Diversified Financial Services — 1.9%
	11,300	Associates Corp. of North America, 6.950%, 11/01/18		12,782
	18,700	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		18,943
		Bank of America Corp.,
	2,385	3.625%, 03/17/16		2,359
	5,500	4.900%, 05/01/13		5,652
	2,715	5.000%, 05/13/21		2,704
	6,500	5.625%, 10/14/16		6,786
	15,500	5.625%, 07/01/20		16,080
	7,980	5.650%, 05/01/18		8,279
	9,255	5.700%, 01/24/22		9,809
	4,635	5.750%, 12/01/17		4,852
	3,300	5.875%, 01/05/21		3,473
	5,000	6.500%, 08/01/16		5,405
	3,000	7.375%, 05/15/14		3,243
	3,500	7.625%, 06/01/19		3,957
	7,420	Bank of America N.A., 5.300%, 03/15/17		7,542
	1,552	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		1,759
	6,049	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		6,292
		Caterpillar Financial Services Corp.,
	1,900	4.900%, 08/15/13		2,015
	1,000	5.450%, 04/15/18		1,186
	900	5.500%, 03/15/16		1,043
	4,800	6.200%, 09/30/13		5,216
	3,500	7.050%, 10/01/18		4,473
	600	7.150%, 02/15/19		779
		Citigroup, Inc.,
	5,628	2.650%, 03/02/15		5,630
	8,500	4.450%, 01/10/17		8,971
	11,602	4.587%, 12/15/15		12,289
	1,500	4.700%, 05/29/15		1,585
	5,400	4.750%, 05/19/15		5,722
	5,286	5.000%, 09/15/14		5,503
	5,470	5.375%, 08/09/20		5,956
	1,000	5.500%, 02/15/17		1,051
	2,054	5.875%, 01/30/42		2,188
	1,575	6.000%, 12/13/13		1,671
	13,500	6.000%, 08/15/17		15,036

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 67

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	7,525	6.010%, 01/15/15		8,195
	5,350	6.125%, 11/21/17		5,993
	3,675	6.375%, 08/12/14		3,987
	2,400	6.500%, 08/19/13		2,543
	700	6.875%, 03/05/38		821
	2,850	8.125%, 07/15/39		3,723
	13,075	8.500%, 05/22/19		16,222
		CME Group, Inc.,
	4,050	5.400%, 08/01/13		4,308
	3,850	5.750%, 02/15/14		4,211
	1,225	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,460
		ERAC USA Finance LLC,
	2,728	2.250%, 01/10/14 (e)		2,731
	3,874	4.500%, 08/16/21 (e)		3,971
	400	6.375%, 10/15/17 (e)		460
		FUEL Trust,
	12,102	3.984%, 06/15/16 (e)		12,359
	3,346	4.207%, 04/15/16 (e)		3,433
		General Electric Capital Corp.,
	4,131	2.250%, 11/09/15		4,249
	14,400	4.375%, 09/16/20		15,358
	6,050	4.625%, 01/07/21		6,570
	13,000	4.650%, 10/17/21		14,137
	16,000	5.250%, 10/19/12		16,476
	1,787	5.300%, 02/11/21		1,969
	1,500	5.400%, 02/15/17		1,722
	2,000	5.500%, 06/04/14		2,183
	10,250	5.500%, 01/08/20		11,700
	7,400	5.625%, 09/15/17		8,531
	32,425	5.625%, 05/01/18		37,432
	1,900	5.875%, 01/14/38		2,124
	4,700	5.900%, 05/13/14		5,187
	24,792	6.000%, 06/15/12		25,176
	5,300	6.000%, 08/07/19		6,183
	9,241	6.750%, 03/15/32		11,230
	900	6.875%, 01/10/39		1,111
	3,500	VAR, 0.673%, 02/15/17		3,292
	2,625	VAR, 0.701%, 04/10/12		2,626
	10,530	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		10,557
		National Rural Utilities Cooperative Finance Corp.,
	530	2.625%, 09/16/12		536
	3,550	4.750%, 03/01/14		3,826

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Diversified Financial Services — Continued
	2,155	10.375%, 11/01/18		3,146
	2,400	Textron Financial Corp., 5.400%, 04/28/13		2,496
				472,465
		Insurance — 1.2%
		ACE INA Holdings, Inc.,
	3,636	2.600%, 11/23/15		3,767
	2,000	5.600%, 05/15/15		2,265
		Aflac, Inc.,
	2,077	2.650%, 02/15/17		2,109
	2,371	4.000%, 02/15/22		2,405
	2,118	6.450%, 08/15/40		2,449
	1,500	8.500%, 05/15/19		1,952
	1,150	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		1,339
	5,000	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		5,270
		American International Group, Inc.,
	3,284	4.250%, 05/15/13		3,352
	2,800	5.450%, 05/18/17		2,976
	1,425	5.600%, 10/18/16		1,529
		Aon Corp.,
	2,483	3.125%, 05/27/16		2,563
	2,012	3.500%, 09/30/15		2,103
	1,668	6.250%, 09/30/40		2,078
	16,966	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		17,305
		Berkshire Hathaway Finance Corp.,
	3,000	2.450%, 12/15/15		3,136
	3,500	4.000%, 04/15/12		3,513
	3,800	4.600%, 05/15/13		3,981
	750	5.000%, 08/15/13		798
	11,700	5.400%, 05/15/18		13,913
	1,300	5.750%, 01/15/40		1,575
		Berkshire Hathaway, Inc.,
	11,564	3.400%, 01/31/22		11,811
	5,859	3.750%, 08/15/21		6,155
	1,130	Chubb Corp., 5.750%, 05/15/18		1,356
		CNA Financial Corp.,
	6,800	5.850%, 12/15/14		7,273
	5,063	5.875%, 08/15/20		5,500
		Jackson National Life Global Funding,
	3,000	4.700%, 06/01/18 (e)		3,200
	3,400	5.375%, 05/08/13 (e)		3,537
	4,115	6.125%, 05/30/12 (e)		4,161

SEE NOTES TO FINANCIAL STATEMENTS.

68 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Insurance — Continued
	2,980	Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e)		3,137
	1,625	Lincoln National Corp., 4.850%, 06/24/21		1,734
	1,970	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		2,096
		MassMutual Global Funding II,
	2,714	2.300%, 09/28/15 (e)		2,787
	1,628	2.875%, 04/21/14 (e)		1,682
	5,150	3.625%, 07/16/12 (e)		5,206
	7,358	MetLife Institutional Funding II, VAR, 1.481%, 04/04/14 (e)		7,355
	815	MetLife, Inc., 6.817%, 08/15/18		997
		Metropolitan Life Global Funding I,
	2,500	2.000%, 01/10/14 (e)		2,527
	10,000	2.000%, 01/09/15 (e)		10,105
	17,335	2.500%, 01/11/13 (e)		17,539
	3,235	3.125%, 01/11/16 (e)		3,312
	13,300	3.650%, 06/14/18 (e)		13,674
	3,000	5.125%, 04/10/13 (e)		3,131
	2,497	5.200%, 09/18/13 (e)		2,649
	1,000	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		1,042
	1,130	Nationwide Financial Services, 5.900%, 07/01/12		1,139
		Nationwide Mutual Insurance Co.,
	1,000	6.600%, 04/15/34 (e)		979
	12,430	9.375%, 08/15/39 (e)		15,949
		New York Life Global Funding,
	6,200	1.300%, 01/12/15 (e)		6,249
	3,000	3.000%, 05/04/15 (e)		3,170
	5,910	4.650%, 05/09/13 (e)		6,183
	5,914	5.375%, 09/15/13 (e)		6,329
		Pacific Life Global Funding,
	4,000	5.000%, 05/15/17 (e)		4,229
	2,500	5.150%, 04/15/13 (e)		2,616
	4,100	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		5,445
	6,400	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		6,874
	1,600	Principal Life Global Funding I, 5.050%, 03/15/15 (e)		1,718
		Principal Life Income Funding Trusts,
	5,900	5.100%, 04/15/14		6,313
	2,215	5.300%, 12/14/12		2,292
	2,900	5.300%, 04/24/13		3,047

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Insurance — Continued
	11,540	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		15,444
	1,070	Travelers Cos., Inc. (The), 5.800%, 05/15/18		1,303
	3,200	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		3,485
	890	Travelers Property Casualty Corp., 5.000%, 03/15/13		929
				296,037
		Real Estate Investment Trusts (REITs) — 0.2%
		CommonWealth REIT,
	7,010	5.875%, 09/15/20		7,198
	3,890	6.650%, 01/15/18		4,187
	2,909	ERP Operating LP, 4.625%, 12/15/21		3,117
		HCP, Inc.,
	1,445	3.750%, 02/01/19		1,456
	6,185	5.375%, 02/01/21		6,779
		Simon Property Group LP,
	4,280	4.125%, 12/01/21		4,625
	450	4.200%, 02/01/15		480
	2,400	4.375%, 03/01/21		2,623
	1,775	5.625%, 08/15/14		1,921
	1,100	5.650%, 02/01/20		1,295
	2,120	6.100%, 05/01/16		2,438
	3,675	6.125%, 05/30/18		4,384
	1,645	6.750%, 05/15/14		1,812
	2,600	WEA Finance LLC, 7.125%, 04/15/18 (e)		3,107
	10,077	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		11,801
				57,223
		Thrifts & Mortgage Finance — 0.1%
	8,600	Countrywide Financial Corp., 6.250%, 05/15/16		8,648
	24,170	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		24,353
				33,001
		Total Financials		2,127,826
		Health Care — 0.3%
		Biotechnology — 0.2%
		Amgen, Inc.,
	7,000	3.875%, 11/15/21		7,274
	1,188	4.500%, 03/15/20		1,288
	4,500	4.950%, 10/01/41		4,569
	14,500	5.150%, 11/15/41		15,175
	2,348	5.650%, 06/15/42		2,627

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 69

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Biotechnology — Continued
	1,975	5.700%, 02/01/19		2,291
	3,541	5.750%, 03/15/40		3,955
				37,179
		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	1,150	4.000%, 03/01/14		1,226
	500	4.625%, 03/15/15		556
	700	Becton Dickinson and Co., 5.000%, 05/15/19		817
				2,599
		Health Care Providers & Services — 0.0% (g)
	2,158	Medco Health Solutions, Inc., 2.750%, 09/15/15		2,186
	6,640	UnitedHealth Group, Inc., 3.375%, 11/15/21		6,996
		WellPoint, Inc.,
	492	5.875%, 06/15/17		578
	340	7.000%, 02/15/19		433
				10,193
		Pharmaceuticals — 0.1%
	350	Abbott Laboratories, 6.150%, 11/30/37		458
	3,200	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		3,548
	1,095	Eli Lilly & Co., 3.550%, 03/06/12		1,095
		GlaxoSmithKline Capital, Inc.,
	1,000	4.375%, 04/15/14		1,080
	3,100	5.650%, 05/15/18		3,792
	2,100	6.375%, 05/15/38		2,891
	1,040	Merck & Co., Inc., 6.000%, 09/15/17		1,289
	790	Wyeth, 6.450%, 02/01/24		1,043
				15,196
		Total Health Care		65,167
		Industrials — 0.8%
		Aerospace & Defense — 0.1%
	5,328	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		5,823
		Boeing Co. (The),
	250	3.500%, 02/15/15		271
	500	4.875%, 02/15/20		596
	1,500	Honeywell International, Inc., 5.300%, 03/01/18		1,800
		Lockheed Martin Corp.,
	3,084	2.125%, 09/15/16		3,137
	1,000	4.250%, 11/15/19		1,091
	1,750	4.850%, 09/15/41		1,876

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Aerospace & Defense — Continued
	3,993	5.720%, 06/01/40		4,716
	8,400	United Technologies Corp., 6.125%, 02/01/19		10,394
				29,704
		Airlines — 0.1%
	1,632	American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		1,624
	5,863	American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		6,215
	543	Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		592
	4,043	Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		4,427
	4,337	Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		4,598
	1,522	Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		1,613
				19,069
		Commercial Services & Supplies — 0.1%
	2,850	Allied Waste North America, Inc., 6.875%, 06/01/17		2,989
		Pitney Bowes, Inc.,
	4,300	4.875%, 08/15/14		4,583
	7,170	5.000%, 03/15/15		7,653
	1,700	5.600%, 03/15/18		1,804
		Waste Management, Inc.,
	1,885	4.750%, 06/30/20		2,107
	1,365	7.375%, 03/11/19		1,723
	800	7.750%, 05/15/32		1,138
				21,997
		Construction & Engineering — 0.0% (g)
	5,475	Fluor Corp., 3.375%, 09/15/21		5,577
		Industrial Conglomerates — 0.1%
	3,748	Danaher Corp., 3.900%, 06/23/21		4,143
		Koninklijke Philips Electronics N.V., (Netherlands),
	1,666	5.750%, 03/11/18		1,958
	550	7.200%, 06/01/26		709
	1,350	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		1,580
	2,650	Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19		3,407
	3,100	Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19		3,855
				15,652

SEE NOTES TO FINANCIAL STATEMENTS.

70 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Machinery — 0.0% (g)
		Eaton Corp.,
	2,650	5.600%, 05/15/18		3,112
	2,000	7.625%, 04/01/24		2,746
	775	Ingersoll-Rand Co., 6.391%, 11/15/27		931
	775	Parker Hannifin Corp., 5.500%, 05/15/18		911
				7,700
		Road & Rail — 0.4%
		Burlington Northern Santa Fe LLC,
	4,261	3.050%, 03/15/22		4,247
	2,080	3.450%, 09/15/21		2,159
	1,418	3.600%, 09/01/20		1,495
	5,250	5.400%, 06/01/41		6,174
	3,660	5.650%, 05/01/17		4,287
	1,675	5.750%, 03/15/18		1,986
	3,617	5.750%, 05/01/40		4,386
	600	6.700%, 08/01/28		753
	1,300	7.000%, 02/01/14		1,442
	1,300	7.290%, 06/01/36		1,819
		CSX Corp.,
	1,986	4.250%, 06/01/21		2,174
	3,900	5.500%, 04/15/41		4,507
	1,700	6.250%, 04/01/15		1,962
	850	6.300%, 03/15/12		852
	700	7.375%, 02/01/19		882
	4,000	7.900%, 05/01/17		5,033
	2,420	Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22		2,892
		Norfolk Southern Corp.,
	5,527	3.250%, 12/01/21		5,697
	299	5.590%, 05/17/25		353
	871	5.640%, 05/17/29		1,026
	1,500	6.000%, 03/15/05		1,752
	12,345	6.000%, 05/23/11		14,502
	326	7.250%, 02/15/31		451
	135	7.700%, 05/15/17		170
	34	7.800%, 05/15/27		48
		Ryder System, Inc.,
	3,197	2.500%, 03/01/17		3,206
	2,690	3.600%, 03/01/16		2,815
		Union Pacific Corp.,
	4,388	4.163%, 07/15/22		4,840
	175	4.875%, 01/15/15		192
	1,484	5.650%, 05/01/17		1,750
	1,000	5.780%, 07/15/40		1,245

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Road & Rail — Continued
		United Parcel Service of America, Inc.,
	2,350	8.375%, 04/01/20		3,285
	600	SUB, 8.375%, 04/01/30		875
				89,257
		Total Industrials		188,956
		Information Technology — 0.7%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	1,500	5.500%, 02/22/16		1,758
	4,660	5.500%, 01/15/40		5,683
	4,990	5.900%, 02/15/39		6,320
				13,761
		Computers & Peripherals — 0.2%
		Dell, Inc.,
	6,526	3.100%, 04/01/16		6,970
	2,200	4.625%, 04/01/21		2,468
	570	5.650%, 04/15/18		667
	1,900	7.100%, 04/15/28		2,416
		Hewlett-Packard Co.,
	650	2.950%, 08/15/12		655
	7,667	4.300%, 06/01/21		8,032
	4,687	4.375%, 09/15/21		4,944
	1,900	4.750%, 06/02/14		2,041
	2,525	5.400%, 03/01/17		2,849
	20,000	6.000%, 09/15/41		23,165
	5,400	6.125%, 03/01/14		5,901
				60,108
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	855	3.375%, 11/01/15		877
	4,635	6.000%, 04/01/20		5,060
	5,270	6.875%, 07/01/13		5,639
	3,600	7.500%, 01/15/27		3,953
				15,529
		IT Services — 0.1%
		HP Enterprise Services LLC,
	2,950	6.000%, 08/01/13		3,147
	2,420	7.450%, 10/15/29		2,985
		International Business Machines Corp.,
	5,532	1.250%, 02/06/17		5,512
	5,151	1.950%, 07/22/16		5,326
	3,950	5.700%, 09/14/17		4,800

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 71

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		IT Services — Continued
	660	6.220%, 08/01/27		863
	4,500	7.625%, 10/15/18		6,095
	450	8.000%, 10/15/38		714
				29,442
		Office Electronics — 0.0% (g)
		Xerox Corp.,
	1,770	4.500%, 05/15/21		1,806
	3,450	5.625%, 12/15/19		3,803
	3,200	6.750%, 02/01/17		3,708
	310	8.250%, 05/15/14		348
				9,665
		Semiconductors & Semiconductor Equipment — 0.1%
	4,883	Intel Corp., 3.300%, 10/01/21		5,181
	8,285	National Semiconductor Corp., 6.600%, 06/15/17		10,267
	5,000	Texas Instruments, Inc., 1.375%, 05/15/14		5,084
				20,532
		Software — 0.1%
	1,796	Intuit, Inc., 5.750%, 03/15/17		2,041
		Microsoft Corp.,
	7,590	1.625%, 09/25/15		7,831
	1,214	4.500%, 10/01/40		1,356
		Oracle Corp.,
	5,300	5.000%, 07/08/19		6,318
	2,320	5.250%, 01/15/16		2,690
	3,400	5.750%, 04/15/18		4,168
	2,565	6.125%, 07/08/39		3,372
	1,950	6.500%, 04/15/38		2,607
				30,383
		Total Information Technology		179,420
		Materials — 0.4%
		Chemicals — 0.3%
	850	Air Products & Chemicals, Inc., 4.150%, 02/01/13		878
		Dow Chemical Co. (The),
	3,156	4.125%, 11/15/21		3,359
	4,831	4.250%, 11/15/20		5,172
	1,926	5.250%, 11/15/41		2,122
	650	6.000%, 10/01/12		669
	1,345	7.375%, 11/01/29		1,767
	6,770	7.600%, 05/15/14		7,694
	2,044	8.550%, 05/15/19		2,719

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Chemicals — Continued
		E.I. du Pont de Nemours & Co.,
	3,706	1.950%, 01/15/16		3,821
	125	4.125%, 03/06/13		129
	500	4.875%, 04/30/14		544
	2,150	4.900%, 01/15/41		2,483
	1,500	5.600%, 12/15/36		1,839
	5,000	6.000%, 07/15/18		6,242
	3,750	Monsanto Co., 7.375%, 08/15/12		3,859
		Mosaic Co. (The),
	2,201	3.750%, 11/15/21		2,296
	501	4.875%, 11/15/41		515
		Potash Corp. of Saskatchewan, Inc., (Canada),
	1,450	4.875%, 03/01/13		1,510
	3,800	6.500%, 05/15/19		4,711
		PPG Industries, Inc.,
	1,144	5.500%, 11/15/40		1,317
	2,150	5.750%, 03/15/13		2,249
	3,150	6.650%, 03/15/18		3,862
	2,100	9.000%, 05/01/21		2,903
		Praxair, Inc.,
	850	4.375%, 03/31/14		916
	1,900	4.625%, 03/30/15		2,113
	480	5.200%, 03/15/17		562
	1,295	5.250%, 11/15/14		1,442
		Union Carbide Corp.,
	6,050	7.500%, 06/01/25		7,191
	6,600	7.750%, 10/01/96		7,100
				81,984
		Construction Materials — 0.0% (g)
	1,666	CRH America, Inc., 6.000%, 09/30/16		1,817
		Metals & Mining — 0.1%
		BHP Billiton Finance USA Ltd., (Australia),
	1,877	1.000%, 02/24/15		1,883
	6,223	1.625%, 02/24/17		6,241
	1,600	5.400%, 03/29/17		1,880
	1,150	5.500%, 04/01/14		1,263
	2,750	6.500%, 04/01/19		3,461
		Rio Tinto Finance USA Ltd., (Australia),
	1,280	3.500%, 11/02/20		1,338
	3,755	3.750%, 09/20/21		4,004
	1,585	8.950%, 05/01/14		1,850
	2,000	9.000%, 05/01/19		2,759
				24,679
		Total Materials		108,480

SEE NOTES TO FINANCIAL STATEMENTS.

72 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 0.9%
	270	AT&T Corp., 8.000%, 11/15/31		389
		AT&T, Inc.,
	7,000	4.450%, 05/15/21		7,854
	8,300	4.950%, 01/15/13		8,612
	1,120	5.100%, 09/15/14		1,239
	10,603	5.350%, 09/01/40		11,946
	2,925	5.500%, 02/01/18		3,479
	1,300	5.600%, 05/15/18		1,553
	2,295	5.625%, 06/15/16		2,678
	7,200	6.300%, 01/15/38		8,898
	500	6.800%, 05/15/36		639
	2,350	Bellsouth Capital Funding Corp., 7.120%, 07/15/97		2,841
		BellSouth Corp.,
	4,550	5.200%, 09/15/14		5,032
	1,000	6.550%, 06/15/34		1,179
	3,840	6.875%, 10/15/31		4,716
		BellSouth Telecommunications, Inc.,
	1,390	6.300%, 12/15/15		1,480
	1,200	6.375%, 06/01/28		1,396
	1,200	7.000%, 10/01/25		1,491
	2,300	7.000%, 12/01/95		2,757
		British Telecommunications plc, (United Kingdom),
	5,000	5.150%, 01/15/13		5,191
	2,800	5.950%, 01/15/18		3,271
	300	9.875%, 12/15/30		456
	4,500	Centel Capital Corp., 9.000%, 10/15/19		5,173
		CenturyLink, Inc.,
	9,400	6.450%, 06/15/21		9,952
	6,000	Series P, 7.600%, 09/15/39		6,153
		Deutsche Telekom International Finance B.V., (Netherlands),
	2,555	2.250%, 03/06/17 (e)		2,539
	4,200	4.875%, 07/08/14		4,510
	2,327	4.875%, 03/06/42 (e)		2,288
	785	5.250%, 07/22/13		826
	2,025	6.000%, 07/08/19		2,382
	5,800	8.750%, 06/15/30		8,269
		France Telecom S.A., (France),
	4,236	2.750%, 09/14/16		4,405
	1,000	8.500%, 03/01/31		1,461
		GTE Corp.,
	18,000	6.840%, 04/15/18		22,258

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Diversified Telecommunication Services — Continued
	1,000	8.750%, 11/01/21		1,389
	8,149	Qwest Corp., 6.750%, 12/01/21		9,310
		Telecom Italia Capital S.A., (Luxembourg),
	4,360	4.950%, 09/30/14		4,398
	2,300	5.250%, 11/15/13		2,335
	2,650	6.175%, 06/18/14		2,729
	2,125	6.999%, 06/04/18		2,189
		Telefonica Emisiones S.A.U., (Spain),
	2,258	5.462%, 02/16/21		2,271
	4,000	5.855%, 02/04/13		4,134
	1,500	5.877%, 07/15/19		1,564
	3,250	6.221%, 07/03/17		3,461
	2,400	6.421%, 06/20/16		2,585
		Verizon Communications, Inc.,
	1,440	4.750%, 11/01/41		1,542
	2,175	5.500%, 02/15/18		2,583
	250	5.550%, 02/15/16		290
	1,443	5.850%, 09/15/35		1,738
	1,100	6.400%, 02/15/38		1,378
	4,400	7.350%, 04/01/39		6,063
	1,500	8.750%, 11/01/18		2,065
	8,025	Verizon Global Funding Corp., 7.750%, 12/01/30		11,300
	3,100	Verizon Maryland, Inc., 7.150%, 05/01/23		3,279
	900	Verizon New England, Inc., 4.750%, 10/01/13		947
	880	Verizon New York, Inc., 7.375%, 04/01/32		1,051
	5,232	Verizon Pennsylvania, Inc., 8.350%, 12/15/30		6,549
	2,788	Verizon Virginia, Inc., 4.625%, 03/15/13		2,898
				225,361
		Wireless Telecommunication Services — 0.1%
	4,274	America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16		4,364
	1,500	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		1,631
	2,780	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		2,853
		Vodafone Group plc, (United Kingdom),
	5,125	5.000%, 09/15/15		5,782
	753	5.450%, 06/10/19		896
				15,526
		Total Telecommunication Services		240,887

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 73

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Utilities — 1.5%
		Electric Utilities — 1.1%
	2,123	Alabama Power Co., 6.125%, 05/15/38		2,796
	2,250	Appalachian Power Co., 6.700%, 08/15/37		2,929
		Arizona Public Service Co.,
	2,144	4.500%, 04/01/42		2,193
	1,110	4.650%, 05/15/15		1,218
	3,385	5.050%, 09/01/41		3,757
		Carolina Power & Light Co.,
	3,602	3.000%, 09/15/21		3,708
	2,177	5.125%, 09/15/13		2,325
	2,000	5.300%, 01/15/19		2,361
		CenterPoint Energy Houston Electric LLC,
	3,100	5.750%, 01/15/14		3,362
	3,725	7.000%, 03/01/14		4,152
	3,450	Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17		4,325
	5,342	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		5,629
	925	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		1,100
	3,078	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		3,878
		Duke Energy Carolinas LLC,
	1,369	4.250%, 12/15/41		1,445
	1,991	4.300%, 06/15/20		2,261
	1,400	5.100%, 04/15/18		1,633
	1,795	5.625%, 11/30/12		1,861
		Duke Energy Corp.,
	4,251	2.150%, 11/15/16		4,342
	2,966	3.550%, 09/15/21		3,118
	1,875	3.950%, 09/15/14		2,013
		Duke Energy Indiana, Inc.,
	2,260	3.750%, 07/15/20		2,432
	3,100	6.350%, 08/15/38		4,200
		Enel Finance International N.V., (Netherlands),
	6,030	5.125%, 10/07/19 (e)		5,984
	1,000	6.000%, 10/07/39 (e)		915
		Exelon Generation Co. LLC,
	6,000	4.000%, 10/01/20		6,276
	1,857	5.750%, 10/01/41		2,140
		Florida Power & Light Co.,
	550	5.625%, 04/01/34		682
	3,900	5.950%, 10/01/33		5,004
	1,000	5.950%, 02/01/38		1,316
		Florida Power Corp.,
	500	4.800%, 03/01/13		521

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Electric Utilities — Continued
	1,125	5.650%, 06/15/18		1,353
	700	6.400%, 06/15/38		953
		Georgia Power Co.,
	400	5.950%, 02/01/39		510
	1,100	6.000%, 11/01/13		1,197
	1,507	Great Plains Energy, Inc., 4.850%, 06/01/21		1,614
	1,085	Indiana Michigan Power Co., 7.000%, 03/15/19		1,351
	300	Jersey Central Power & Light Co., 7.350%, 02/01/19		380
	4,718	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		5,066
	10,000	Kansas City Power & Light Co., 5.300%, 10/01/41		10,815
	154	Kiowa Power Partners LLC, 4.811%, 12/30/13 (e)		155
	700	MidAmerican Energy Co., 5.300%, 03/15/18		821
		Nevada Power Co.,
	367	5.375%, 09/15/40		429
	3,740	5.450%, 05/15/41		4,429
	2,250	6.500%, 08/01/18		2,753
	1,825	7.125%, 03/15/19		2,302
		NextEra Energy Capital Holdings, Inc.,
	900	5.350%, 06/15/13		942
	1,200	6.000%, 03/01/19		1,407
	1,600	7.875%, 12/15/15		1,920
	1,625	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		1,802
		Nisource Finance Corp.,
	1,800	4.450%, 12/01/21		1,906
	7,500	5.800%, 02/01/42		8,018
	1,164	6.150%, 03/01/13		1,226
	2,500	Northern States Power Co., 6.250%, 06/01/36		3,371
		Ohio Power Co.,
	2,400	5.750%, 09/01/13		2,568
	1,550	6.050%, 05/01/18		1,835
		Oncor Electric Delivery Co. LLC,
	820	5.950%, 09/01/13		878
	6,150	6.800%, 09/01/18		7,529
	1,200	7.000%, 09/01/22		1,520
		Pacific Gas & Electric Co.,
	1,411	3.250%, 09/15/21		1,456
	7,260	4.500%, 12/15/41		7,587
	1,980	5.625%, 11/30/17		2,364
	750	8.250%, 10/15/18		996

SEE NOTES TO FINANCIAL STATEMENTS.

74 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Electric Utilities — Continued
		PacifiCorp,
	250	5.500%, 01/15/19		298
	2,850	5.650%, 07/15/18		3,436
	900	Peco Energy Co., 5.350%, 03/01/18		1,065
	900	Pennsylvania Electric Co., 6.050%, 09/01/17		1,034
	1,320	Potomac Electric Power Co., 6.500%, 11/15/37		1,774
		Progress Energy, Inc.,
	3,778	4.400%, 01/15/21		4,154
	730	6.050%, 03/15/14		804
	1,480	7.750%, 03/01/31		2,059
		PSEG Power LLC,
	800	4.150%, 09/15/21		843
	2,411	5.125%, 04/15/20		2,681
	2,190	5.500%, 12/01/15		2,472
	1,255	8.625%, 04/15/31		1,865
		Public Service Co. of Colorado,
	1,160	3.200%, 11/15/20		1,230
	275	5.800%, 08/01/18		332
		Public Service Co. of Oklahoma,
	1,964	4.400%, 02/01/21		2,133
	3,350	6.625%, 11/15/37		4,305
		Public Service Electric & Gas Co.,
	825	5.300%, 05/01/18		986
	1,138	5.375%, 11/01/39		1,391
	5,300	6.330%, 11/01/13		5,767
	3,000	San Diego Gas & Electric Co., 3.950%, 11/15/41		3,062
		Southern California Edison Co.,
	988	3.875%, 06/01/21		1,093
	3,800	3.900%, 12/01/41		3,798
	1,200	4.150%, 09/15/14		1,296
	1,400	5.500%, 08/15/18		1,697
	1,650	5.750%, 03/15/14		1,815
	645	5.950%, 02/01/38		849
	2,450	6.050%, 03/15/39		3,284
		Southern Co.,
	2,973	1.950%, 09/01/16		3,015
	580	4.150%, 05/15/14		621
	1,417	Southern Power Co., 5.150%, 09/15/41		1,535
	3,400	Southwestern Public Service Co., 8.750%, 12/01/18		4,605
		Spectra Energy Capital LLC,
	2,900	5.500%, 03/01/14		3,079
	350	5.668%, 08/15/14		379

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Electric Utilities — Continued
	3,645	6.250%, 02/15/13		3,825
	1,000	7.500%, 09/15/38		1,294
	3,850	8.000%, 10/01/19		4,929
		Virginia Electric and Power Co.,
	776	2.950%, 01/15/22		787
	2,550	5.100%, 11/30/12		2,636
	4,600	5.400%, 04/30/18		5,479
	800	5.950%, 09/15/17		966
				260,002
		Gas Utilities — 0.2%
		AGL Capital Corp.,
	5,139	3.500%, 09/15/21		5,189
	1,700	4.450%, 04/15/13		1,749
	11,728	5.875%, 03/15/41		14,171
	6,700	6.375%, 07/15/16		7,840
	3,270	ANR Pipeline Co., 9.625%, 11/01/21		4,889
		Atmos Energy Corp.,
	320	5.125%, 01/15/13		332
	690	8.500%, 03/15/19		912
	2,454	Boston Gas Co., 4.487%, 02/15/42 (e)		2,492
		CenterPoint Energy Resources Corp.,
	1,000	4.500%, 01/15/21		1,070
	530	6.125%, 11/01/17		619
	1,037	Southern California Gas Co., 4.800%, 10/01/12		1,063
		TransCanada PipeLines Ltd., (Canada),
	1,515	4.000%, 06/15/13		1,569
	1,500	6.200%, 10/15/37		1,904
	1,900	6.500%, 08/15/18		2,374
	2,650	7.125%, 01/15/19		3,401
	2,100	7.250%, 08/15/38		2,995
				52,569
		Independent Power Producers & Energy Traders — 0.0% (g)
	9,500	PPL Energy Supply LLC, 4.600%, 12/15/21		9,858
		Multi-Utilities — 0.2%
	3,780	CenterPoint Energy, Inc., 6.500%, 05/01/18		4,466
		Dominion Resources, Inc.,
	2,052	4.900%, 08/01/41		2,281
	5,000	5.250%, 08/01/33		5,562
	590	6.000%, 11/30/17		713
	1,879	6.250%, 06/30/12		1,913
	1,200	7.000%, 06/15/38		1,652
	1,600	8.875%, 01/15/19		2,158

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 75

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Multi-Utilities — Continued
	4,650	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		4,813
	1,625	MidAmerican Energy Holdings Co., 5.750%, 04/01/18		1,928
	1,550	PG&E Corp., 5.750%, 04/01/14		1,694
		Sempra Energy,
	1,500	6.000%, 10/15/39		1,872
	2,300	6.150%, 06/15/18		2,759
	900	6.500%, 06/01/16		1,069
	2,760	8.900%, 11/15/13		3,083
	4,900	9.800%, 02/15/19		6,706
		Wisconsin Electric Power Co.,
	261	2.950%, 09/15/21		267
	1,400	6.000%, 04/01/14		1,546
	1,295	6.250%, 12/01/15		1,522
		Xcel Energy, Inc.,
	601	4.700%, 05/15/20		680
	924	4.800%, 09/15/41		1,004
				47,688
		Water Utilities — 0.0% (g)
		American Water Capital Corp.,
	4,625	6.085%, 10/15/17		5,415
	3,740	6.593%, 10/15/37		4,514
				9,929
		Total Utilities		380,046
		Total Corporate Bonds (Cost $3,732,946)		3,984,667
	Foreign Government Securities — 0.4%
		Israel Government AID Bond, (Israel),
	12,000	Zero Coupon, 08/15/17		11,078
	10,000	Zero Coupon, 03/15/18		9,057
	33,638	Zero Coupon, 08/15/18		30,017
	3,345	Zero Coupon, 11/01/19		2,853
	5,010	Zero Coupon, 08/15/20		4,134
	4,000	Zero Coupon, 11/01/23		2,797
	2,500	Zero Coupon, 11/15/26		1,504
	3,040	Province of Manitoba, (Canada), 2.125%, 04/22/13		3,094
		Province of Ontario, (Canada),
	5,500	2.700%, 06/16/15		5,808
	12,250	2.950%, 02/05/15		12,990
	560	Province of Quebec, (Canada), SUB, 7.365%, 03/06/26		798

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		United Mexican States, (Mexico),
	5,706	5.750%, 10/12/10		6,077
	2,035	5.875%, 01/15/14		2,198
	3,398	6.375%, 01/16/13		3,540
	850	6.625%, 03/03/15		970
	4,881	7.500%, 04/08/33		6,858
	2,925	8.300%, 08/15/31		4,395
		Total Foreign Government Securities (Cost $101,348)		108,168
	Mortgage Pass-Through Securities — 14.0%
		Federal Home Loan Mortgage Corp.,
	84	ARM, 2.104%, 07/01/19		88
	5,455	ARM, 2.117%, 10/01/36		5,718
	3,407	ARM, 2.189%, 10/01/36		3,587
	599	ARM, 2.203%, 01/01/37		631
	189	ARM, 2.210%, 01/01/27		199
	2,250	ARM, 2.244%, 10/01/36		2,375
	2,015	ARM, 2.289%, 08/01/36		2,125
	10,249	ARM, 2.308%, 08/01/36		10,813
	712	ARM, 2.310%, 08/01/36		757
	2,180	ARM, 2.345%, 10/01/36		2,324
	934	ARM, 2.355%, 12/01/33		982
	84	ARM, 2.356%, 04/01/30		89
	1,851	ARM, 2.375%, 07/01/26 - 01/01/35		1,937
	1,572	ARM, 2.405%, 07/01/36		1,675
	720	ARM, 2.410%, 10/01/36		752
	8,924	ARM, 2.415%, 08/01/35 - 12/01/36		9,519
	12,834	ARM, 2.470%, 05/01/33 - 12/01/36		13,640
	804	ARM, 2.473%, 11/01/36		857
	8,652	ARM, 2.486%, 03/01/37		9,246
	2,480	ARM, 2.488%, 10/01/36		2,625
	4,841	ARM, 2.492%, 05/01/36		5,102
	1,675	ARM, 2.496%, 07/01/36		1,767
	180	ARM, 2.498%, 09/01/32		190
	3,643	ARM, 2.499%, 11/01/36		3,885
	1,677	ARM, 2.506%, 04/01/34		1,769
	3,330	ARM, 2.534%, 09/01/34		3,519
	3,286	ARM, 2.538%, 09/01/36		3,509
	1,037	ARM, 2.579%, 02/01/36		1,102
	1,311	ARM, 2.617%, 07/01/37		1,405
	2,348	ARM, 2.649%, 12/01/35		2,491
	4,898	ARM, 2.669%, 09/01/36		5,243
	5,056	ARM, 2.799%, 03/01/36		5,305
	2,763	ARM, 2.882%, 10/01/36		2,943
	6,905	ARM, 2.955%, 12/01/36		7,307

SEE NOTES TO FINANCIAL STATEMENTS.

76 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	2,944	ARM, 2.958%, 01/01/37		3,098
	1,372	ARM, 3.067%, 05/01/36		1,439
	513	ARM, 3.088%, 12/01/36		544
	280	ARM, 3.158%, 02/01/37		298
	5,690	ARM, 3.270%, 03/01/36		6,090
	2,451	ARM, 3.475%, 11/01/36		2,584
	5,009	ARM, 3.883%, 02/01/37		5,206
	1,018	ARM, 4.359%, 03/01/37		1,076
	3,255	ARM, 4.435%, 02/01/37		3,436
	5,977	ARM, 4.456%, 05/01/37		6,331
	2,720	ARM, 4.617%, 05/01/38		2,877
	3,407	ARM, 4.831%, 04/01/38		3,614
	6,481	ARM, 4.912%, 02/01/36		6,929
	11,332	ARM, 4.994%, 01/01/35		12,126
	4,145	ARM, 5.069%, 07/01/36		4,436
	1,772	ARM, 5.135%, 03/01/37		1,883
	685	ARM, 5.471%, 02/01/37		724
	4,515	ARM, 5.577%, 05/01/36		4,837
	4,119	ARM, 5.610%, 06/01/37		4,447
	1,206	ARM, 5.621%, 04/01/37		1,279
	2,401	ARM, 5.707%, 05/01/37		2,548
	3,355	ARM, 5.717%, 05/01/37		3,544
	2,844	ARM, 5.752%, 06/01/36		3,055
	2,714	ARM, 5.772%, 04/01/37		2,846
	835	ARM, 5.861%, 05/01/37		885
	1,181	ARM, 5.903%, 04/01/37		1,282
	11,796	ARM, 6.006%, 11/01/36		12,555
	11,005	ARM, 6.024%, 06/01/36		11,834
	1,357	ARM, 6.071%, 05/01/37		1,439
	3,338	ARM, 6.270%, 05/01/37		3,501
	1,047	ARM, 6.385%, 02/01/37		1,139
	1,137	ARM, 6.415%, 11/01/37		1,228
	891	ARM, 6.432%, 12/01/36		965
	3,196	ARM, 6.664%, 11/01/36		3,445
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	2,650	4.000%, 06/01/18 - 05/01/19		2,810
	2,617	4.500%, 08/01/18 - 10/01/18		2,797
	12,054	5.000%, 10/01/17 - 12/01/18		12,948
	55,380	5.500%, 06/01/17 - 02/01/24		60,136
	26,968	6.000%, 04/01/17 - 03/01/22		28,953
	4,330	6.500%, 07/01/16 - 03/01/22		4,674
	43	7.000%, 09/01/12 - 04/01/17		46
	3	7.500%, 10/01/14 - 11/01/15		3
	6	8.500%, 11/01/15		6

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	4,755	5.500%, 01/01/23 - 11/01/23		5,183
	370	6.000%, 12/01/22		406
	2,628	6.500%, 12/01/13 - 01/01/28		2,935
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	4,377	4.000%, 10/01/33		4,617
	76,266	4.500%, 05/01/41		81,072
	97,331	5.000%, 01/01/34 - 08/01/40		104,973
	35,053	5.500%, 01/01/33 - 03/01/40		38,193
	3,494	6.000%, 10/01/29 - 12/01/36		3,887
	18,240	6.500%, 08/01/29 - 03/01/38		20,684
	4,663	7.000%, 04/01/22 - 02/01/37		5,387
	10,211	7.500%, 08/01/25 - 09/01/38		12,352
	46	8.000%, 07/01/20 - 11/01/24		54
	125	8.500%, 07/01/28		152
		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	15,726	7.500%, 01/01/32 - 12/01/36		18,483
	8,904	10.000%, 10/01/30		10,677
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	12,005	5.500%, 04/01/18		13,004
	11,577	6.000%, 02/01/33 - 11/01/36		12,694
	37,889	6.500%, 12/01/35 - 06/01/37		42,479
	831	7.000%, 07/01/29 - 08/01/47		940
	1,796	10.000%, 03/17/26		2,100
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	21	12.000%, 08/01/15 - 07/01/19		23
		Federal National Mortgage Association,
	7,000	ARM, 0.844%, 03/01/22		7,004
	15,895	ARM, 0.864%, 12/01/20		15,895
	60	ARM, 1.911%, 03/01/19		60
	5,066	ARM, 1.912%, 09/01/36		5,307
	731	ARM, 1.918%, 08/01/34		764
	1,051	ARM, 1.987%, 09/01/36		1,098
	9,622	ARM, 2.056%, 01/01/35		10,166
	3,379	ARM, 2.092%, 09/01/33 - 01/01/37		3,536
	1,406	ARM, 2.120%, 05/01/35		1,484
	462	ARM, 2.124%, 11/01/34		480
	4,818	ARM, 2.126%, 01/01/36		5,021
	319	ARM, 2.135%, 08/01/35		336
	2,665	ARM, 2.192%, 02/01/37		2,816
	201	ARM, 2.235%, 07/01/34		211
	825	ARM, 2.237%, 10/01/34		870
	1,979	ARM, 2.254%, 07/01/35		2,084

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 77

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	2,273	ARM, 2.273%, 02/01/35 - 08/01/36		2,413
	1,161	ARM, 2.297%, 11/01/33		1,229
	735	ARM, 2.310%, 04/01/34		771
	930	ARM, 2.340%, 09/01/35		989
	1,092	ARM, 2.345%, 08/01/33		1,156
	189	ARM, 2.352%, 09/01/34		201
	749	ARM, 2.358%, 11/01/34		795
	1,437	ARM, 2.373%, 09/01/36		1,531
	633	ARM, 2.386%, 08/01/34		672
	1,997	ARM, 2.401%, 01/01/36		2,107
	2,528	ARM, 2.417%, 10/01/36		2,693
	608	ARM, 2.445%, 01/01/35		637
	1,399	ARM, 2.453%, 03/01/35		1,487
	221	ARM, 2.470%, 05/01/35		235
	1,422	ARM, 2.516%, 06/01/36		1,514
	1,978	ARM, 2.520%, 07/01/36		2,102
	1,987	ARM, 2.545%, 06/01/34		2,092
	1,374	ARM, 2.547%, 10/01/34		1,453
	585	ARM, 2.560%, 09/01/33		622
	304	ARM, 2.565%, 01/01/34		323
	1,964	ARM, 2.570%, 09/01/36		2,098
	6,156	ARM, 2.572%, 06/01/36		6,581
	12	ARM, 2.576%, 01/01/19		13
	4,349	ARM, 2.592%, 08/01/36		4,632
	1,109	ARM, 2.612%, 05/01/36		1,176
	7,827	ARM, 2.651%, 12/01/36		8,358
	2,095	ARM, 2.671%, 04/01/35		2,200
	2,464	ARM, 2.673%, 02/01/37		2,618
	1,919	ARM, 2.685%, 06/01/36		2,051
	1,312	ARM, 2.761%, 01/01/37		1,398
	2,211	ARM, 2.794%, 12/01/36		2,362
	9	ARM, 2.796%, 08/01/19		9
	8,960	ARM, 2.825%, 10/01/36		9,543
	2,736	ARM, 2.921%, 11/01/36		2,910
	684	ARM, 3.031%, 02/01/36		722
	18,817	ARM, 3.071%, 03/01/36		19,861
	245	ARM, 3.084%, 09/01/27		256
	147	ARM, 3.199%, 01/01/36		155
	6,158	ARM, 3.830%, 11/01/37		6,582
	227	ARM, 3.898%, 03/01/29		241
	1,752	ARM, 3.926%, 11/01/36		1,857
	8,847	ARM, 4.326%, 07/01/37		9,342
	11,279	ARM, 4.851%, 12/01/37		11,983
	2,558	ARM, 4.992%, 10/01/35		2,696
	469	ARM, 5.004%, 01/01/34		503
	4,622	ARM, 5.051%, 04/01/37		4,933

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,970	ARM, 5.226%, 11/01/37		2,092
	3,609	ARM, 5.236%, 01/01/38		3,856
	1,941	ARM, 5.514%, 07/01/37		2,073
	1,367	ARM, 5.527%, 08/01/36		1,471
	19,298	ARM, 5.611%, 01/01/23		21,001
	7,122	ARM, 5.732%, 08/01/37		7,597
	336	ARM, 5.799%, 07/01/37		358
	2,573	ARM, 5.864%, 09/01/37		2,787
	1,934	ARM, 5.971%, 09/01/37		2,117
	869	ARM, 5.986%, 09/01/37		927
	2,445	ARM, 6.003%, 09/01/37		2,616
	1,995	ARM, 6.029%, 07/01/37		2,135
	7,265	ARM, 6.082%, 09/01/36		7,819
	4,275	ARM, 6.239%, 08/01/36		4,647
	1,260	ARM, 6.301%, 09/01/37		1,364
		Federal National Mortgage Association, 15 Year, Single Family,
	639	3.500%, 04/01/19		672
	8,116	4.000%, 07/01/18 - 12/01/20		8,655
	30,230	4.500%, 05/01/18 - 12/01/19		32,604
	33,938	5.000%, 12/01/16 - 08/01/24		36,907
	31,261	5.500%, 02/01/18 - 07/01/20		34,169
	67,807	6.000%, 06/01/16 - 07/01/24		73,303
	8,372	6.500%, 05/01/13 - 02/01/24		9,240
	983	7.000%, 03/01/17 - 11/01/17		1,057
	37	7.500%, 10/01/12 - 03/01/17		39
	16	8.000%, 11/01/12 - 11/01/15		17
		Federal National Mortgage Association, 20 Year, Single Family,
	1,259	5.000%, 10/01/25		1,372
	4,152	5.500%, 07/01/25		4,558
	41,977	6.000%, 04/01/24 - 09/01/29		46,262
	8,116	6.500%, 05/01/22 - 08/01/26		9,107
		Federal National Mortgage Association, 30 Year, FHA/VA,
	262	6.000%, 09/01/33		293
	478	6.500%, 03/01/29		554
	72	7.000%, 02/01/33		84
	105	8.000%, 06/01/28		126
	105	8.500%, 08/01/27 - 02/01/30		118
	124	9.000%, 05/01/18 - 12/01/30		131
	36	9.500%, 12/01/18		42
		Federal National Mortgage Association, 30 Year, Single Family,
	1,408	4.000%, 12/01/33		1,489
	2,935	4.500%, 11/01/33 - 09/01/34		3,137

SEE NOTES TO FINANCIAL STATEMENTS.

78 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	82,976	5.000%, 06/01/33 - 08/01/40		89,989
	130,960	5.500%, 11/01/32 - 12/01/39		143,196
	55,645	6.000%, 12/01/28 - 04/01/38		61,755
	119,367	6.500%, 11/01/29 - 10/01/38		135,827
	58,376	7.000%, 01/01/24 - 01/01/39		66,978
	32,775	7.500%, 11/01/22 - 04/01/39		39,571
	1,642	8.000%, 03/01/21 - 01/01/38		1,988
	43	8.500%, 07/01/24 - 06/01/25		51
	5	9.000%, 04/01/26		5
	25	9.500%, 07/01/28		29
	19	10.000%, 02/01/24		20
	22	12.500%, 01/01/16		24
		Federal National Mortgage Association, Other,
	10,000	VAR, 1.000%, 03/01/22		10,000
	13,984	VAR, 1.031%, 01/01/19		13,984
	606	VAR, 2.500%, 08/01/34		643
	5,946	VAR, 6.070%, 11/01/18		6,443
	9,984	1.940%, 01/01/17		10,221
	10,000	1.990%, 01/01/17		9,997
	20,000	2.140%, 04/01/19		20,025
	4,782	2.490%, 10/01/17		4,956
	5,800	2.620%, 10/01/17		6,034
	4,000	2.690%, 10/01/17		4,177
	17,460	2.700%, 04/01/22		17,547
	12,000	2.740%, 05/18/42		12,045
	10,000	2.750%, 03/01/22		10,063
	26,044	2.970%, 11/01/18 - 03/01/22		26,980
	2,989	2.990%, 02/01/22		3,056
	5,000	3.000%, 02/01/22		5,100
	8,360	3.060%, 02/01/22		8,590
	7,990	3.069%, 01/01/22		8,244
	14,400	3.080%, 03/01/22 - 04/01/22		14,807
	11,500	3.090%, 02/01/22		11,954
	12,000	3.120%, 01/01/22		12,505
	9,527	3.131%, 01/01/22		9,839
	28,093	3.140%, 02/01/22 - 03/01/22		28,995
	13,957	3.193%, 01/01/22		14,522
	3,000	3.210%, 03/01/22		3,105
	6,000	3.230%, 11/01/20		6,339
	8,000	3.290%, 10/01/20		8,525
	8,000	3.306%, 01/01/22		8,386
	7,880	3.379%, 11/01/20		8,335
	3,991	3.420%, 12/01/21		4,215
	6,500	3.461%, 11/01/20		6,915
	8,000	3.472%, 10/01/20		8,521
	10,000	3.492%, 01/01/18		10,760

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	2,655	3.503%, 08/01/17		2,852
	3,632	3.513%, 10/01/21		3,865
	6,493	3.520%, 01/01/18		7,024
	19,805	3.544%, 09/01/20 - 11/01/21		21,140
	25,150	3.590%, 10/01/20 - 10/01/21		27,053
	8,500	3.596%, 12/01/20		9,116
	1,965	3.600%, 09/01/20		2,119
	20,174	3.616%, 09/01/20 - 10/01/20		21,667
	29,347	3.621%, 09/01/20		31,536
	10,000	3.638%, 12/01/20		10,790
	5,795	3.640%, 01/01/25		6,118
	24,358	3.658%, 01/01/18 - 10/01/20		26,236
	19,907	3.730%, 06/01/18		21,770
	19,065	3.740%, 07/01/20 - 08/01/20		20,700
	3,000	3.751%, 01/01/18		3,255
	7,000	3.761%, 06/01/18		7,610
	5,926	3.800%, 03/01/18		6,474
	3,643	3.802%, 09/01/20		3,943
	3,928	3.823%, 12/01/20		4,257
	14,000	3.890%, 09/01/21		15,312
	12,088	3.895%, 01/01/21		13,143
	7,556	3.906%, 09/01/21		8,211
	10,000	3.926%, 08/01/20		10,877
	15,000	3.930%, 07/01/20		16,451
	24,340	3.957%, 12/01/20 - 12/01/21		26,470
	10,000	3.960%, 08/01/20		10,985
	26,220	3.978%, 09/01/20 - 09/01/21		28,622
	10,000	3.980%, 11/01/16		10,658
	9,922	3.988%, 07/01/21		10,834
	11,400	3.999%, 01/01/21		12,463
	948	4.000%, 04/01/20		998
	17,914	4.009%, 09/01/21		19,665
	21,371	4.019%, 08/01/20 - 07/01/21		23,384
	7,000	4.045%, 10/01/20		7,672
	6,755	4.050%, 09/01/21		7,399
	4,000	4.061%, 01/01/21		4,390
	15,000	4.081%, 07/01/20		16,460
	6,460	4.102%, 06/01/21		7,094
	5,552	4.123%, 07/01/21		6,108
	15,198	4.130%, 07/01/20 - 08/01/21		16,883
	17,778	4.160%, 03/01/21		19,757
	6,807	4.185%, 01/01/21 - 08/01/21		7,510
	9,667	4.195%, 07/01/21		10,679
	32,000	4.201%, 07/01/20		34,894
	18,000	4.205%, 10/01/21		19,891
	7,007	4.236%, 06/01/21		7,755

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 79

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	10,000	4.250%, 04/01/21		11,167
	21,826	4.260%, 07/01/21		24,400
	8,500	4.267%, 11/01/19		9,411
	9,951	4.291%, 06/01/21		11,193
	19,240	4.319%, 12/01/19 - 09/01/23		21,482
	5,500	4.329%, 06/01/21		6,123
	5,000	4.330%, 02/01/21		5,610
	15,000	4.350%, 04/01/20		16,831
	24,671	4.380%, 01/01/21		27,753
	20,765	4.381%, 11/01/19 - 06/01/21		23,162
	7,600	4.390%, 05/01/21		8,557
	7,600	4.391%, 04/01/21		8,487
	61,500	4.399%, 02/01/20		69,207
	19,429	4.424%, 01/01/20		21,689
	7,900	4.443%, 08/01/20 - 04/01/21		8,744
	8,898	4.444%, 01/01/21		10,009
	7,434	4.474%, 04/01/21		8,337
	18,000	4.484%, 06/01/21		20,206
	30,403	4.500%, 03/01/20 - 08/01/21		34,403
	15,000	4.505%, 05/01/21		17,336
	23,318	4.514%, 04/01/20		26,269
	11,765	4.515%, 02/01/20		13,241
	23,532	4.530%, 12/01/19		26,631
	3,410	4.540%, 01/01/20		3,855
	2,800	4.546%, 02/01/20		3,149
	11,836	4.552%, 08/01/26		13,294
	4,343	4.598%, 01/01/21		4,903
	9,000	4.629%, 06/01/21		10,185
	11,875	4.660%, 12/01/26		13,263
	10,932	4.762%, 08/01/26		12,502
	6,957	4.766%, 08/01/26		7,771
	12,863	4.794%, 01/01/21		14,617
	4,180	5.000%, 04/01/31 - 12/01/32		4,608
	9,000	5.414%, 05/01/17		10,135
	14,840	5.500%, 03/01/17 - 06/01/39		15,903
	19,882	6.000%, 02/01/36 - 11/01/48		21,682
	7,031	6.500%, 04/01/36 - 05/01/37		7,786
	5,654	7.000%, 02/01/36 - 01/01/38		6,430
	388	7.500%, 10/01/37		446
	1,754	8.000%, 11/01/37		2,026
	172	10.890%, 04/15/19		196
		Government National Mortgage Association II, 30 Year, Single Family,
	9,574	5.500%, 09/20/39		10,618
	69,170	6.000%, 03/20/28 - 08/20/39		77,676
	3,024	6.500%, 07/20/29		3,472

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,747	7.000%, 08/20/38		2,038
	192	7.500%, 02/20/28 - 09/20/28		229
	374	8.000%, 12/20/25 - 10/20/28		449
	174	8.500%, 03/20/25 - 05/20/25		211
	915	Government National Mortgage Association II, Other, 6.000%, 11/20/38		1,002
		Government National Mortgage Association, 15 Year, Single Family,
	161	6.000%, 10/15/17		178
	172	6.500%, 06/15/17		189
	291	8.000%, 01/15/16		317
		Government National Mortgage Association, 30 Year, Single Family,
	11,517	5.500%, 04/15/33 - 09/15/34		12,992
	447	6.000%, 11/15/28		506
	7,515	6.500%, 01/15/24 - 12/15/35		8,704
	12,359	7.000%, 08/15/23 - 04/15/37		14,300
	2,789	7.500%, 11/15/22 - 10/15/37		3,261
	77	8.000%, 05/15/22 - 08/15/28		84
	31	8.500%, 03/15/17 - 11/15/17		34
	61	9.000%, 08/15/16 - 11/15/24		71
	3,609	9.500%, 09/15/18 - 12/15/25		4,307
	24	12.000%, 11/15/19		27
		Total Mortgage Pass-Through Securities (Cost $3,322,942)		3,456,709
	Municipal Bonds — 0.2%
		Illinois — 0.0% (g)
	5,450	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		5,236
		New York — 0.1%
	2,500	New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40		3,041
	12,225	Port Authority of New York & New Jersey, Construction 164, Rev., 5.647%, 11/01/40		14,626
				17,667
		Ohio — 0.1%
	13,075	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		16,968
	10,678	Ohio State University (The), Series A, Rev., 4.800%, 06/01/11		11,331
				28,299
		Total Municipal Bonds (Cost $43,571)		51,202

SEE NOTES TO FINANCIAL STATEMENTS.

80 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Supranational — 0.1%
		Corp. Andina de Fomento,
	9,103	3.750%, 01/15/16		9,358
	720	5.200%, 05/21/13		748
	9,500	International Bank for Reconstruction & Development, Zero Coupon, 02/15/16		9,071
		Total Supranational (Cost $18,837)		19,177
	U.S. Government Agency Securities — 1.7%
		Federal Farm Credit Bank,
	5,000	1.875%, 12/07/12		5,064
	10,000	5.125%, 11/15/18		12,105
	11,000	Federal Home Loan Bank, 5.500%, 07/15/36		14,112
		Federal Home Loan Mortgage Corp.,
	38,500	4.125%, 12/21/12		39,704
	4,000	5.125%, 11/17/17		4,859
	25,500	5.500%, 08/23/17		31,290
		Federal National Mortgage Association,
	45,000	Zero Coupon, 07/05/14		44,052
	26,500	Zero Coupon, 06/01/17		24,559
	26,700	5.000%, 05/11/17		31,855
	33,400	5.375%, 06/12/17		40,626
	2,735	6.125%, 03/15/12		2,742
	11,500	Federal National Mortgage Association STRIPS, 11/15/21		8,820
		Financing Corp. Fico,
	6,281	Zero Coupon, 08/03/18		5,579
	2,000	Zero Coupon, 03/07/19		1,740
	16,800	Zero Coupon, 04/05/19		14,571
	13,200	Zero Coupon, 09/26/19		11,245
		Government Trust Certificate,
	4,488	Zero Coupon, 10/01/15		4,255
	5,741	Zero Coupon, 04/01/16		5,377
	13,319	Zero Coupon, 04/01/19		11,256
	76,000	Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20		63,314
	16,000	Residual Funding Corp., STRIPS, Zero Coupon, 10/15/20		13,151
		Tennessee Valley Authority,
	2,935	4.625%, 09/15/60		3,346
	1,195	5.250%, 09/15/39		1,496
	9,500	5.500%, 07/18/17		11,571
		Tennessee Valley Authority STRIPS,
	4,138	12/15/17		3,730
	7,506	01/15/19		6,508
	12,000	05/01/19		10,294
		Total U.S. Government Agency Securities (Cost $406,205)		427,221

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — 23.5%
		U.S. Treasury Bonds,
	44,300	4.500%, 02/15/36		56,330
	2,000	4.500%, 08/15/39		2,562
	2,000	4.750%, 02/15/37		2,639
	650	5.250%, 11/15/28		878
	4,000	5.250%, 02/15/29		5,414
	9,000	5.375%, 02/15/31		12,541
	12,350	5.500%, 08/15/28		17,089
	4,300	6.000%, 02/15/26		6,107
	4,550	6.125%, 11/15/27		6,637
	2,500	6.125%, 08/15/29		3,710
	7,650	6.250%, 05/15/30		11,581
	4,750	6.375%, 08/15/27		7,070
	7,550	6.500%, 11/15/26		11,268
	6,100	6.625%, 02/15/27		9,227
	7,800	6.750%, 08/15/26		11,858
	14,620	7.125%, 02/15/23		21,937
	19,490	7.250%, 08/15/22 (m)		29,266
	56,392	7.500%, 11/15/16 (m)		73,821
	8,717	7.875%, 02/15/21 (m)		13,204
	8,000	8.000%, 11/15/21		12,405
	16,650	8.125%, 05/15/21		25,713
	48,180	8.500%, 02/15/20		73,580
	25,150	8.750%, 05/15/20		39,136
	73,089	8.750%, 08/15/20		114,487
	196,750	8.875%, 08/15/17 (m)		279,862
		U.S. Treasury Bonds STRIPS,
	399	08/15/12		399
	29,374	08/15/13		29,262
	38,855	02/15/14 (m)		38,613
	11,132	05/15/14 (m)		11,045
	48,062	08/15/14 (m)		47,600
	33,961	11/15/14		33,568
	40,209	02/15/15 (m)		39,629
	9,895	05/15/15		9,729
	4,941	08/15/15		4,845
	15,750	08/15/15		15,446
	38,361	11/15/15		37,505
	7,010	11/15/15		6,886
	94,812	02/15/16 (m)		92,365
	32,950	05/15/16		31,913
	54,427	08/15/16		52,468
	46,981	11/15/16		45,060
	118,866	02/15/17		113,396
	40,461	08/15/17		38,189
	90,980	11/15/17		85,315

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 81

JPMorgan Core Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
	35,450	02/15/18		33,001
	15,500	05/15/18		14,329
	56,581	08/15/18		51,897
	11,897	02/15/19		10,756
	105,365	05/15/19 (m)		94,440
	182,720	08/15/19		162,545
	11,000	02/15/20		9,608
	444,596	05/15/20 (m)		384,912
	4,550	05/15/20		3,964
	197,150	08/15/20 (m)		169,204
	17,050	11/15/20		14,485
	1,000	02/15/21		841
	36,000	05/15/21		30,002
	46,300	08/15/21		38,201
	55,600	11/15/21		45,446
	17,208	02/15/22		13,918
	7,869	02/15/23		6,103
	25,000	05/15/23		19,177
	1,200	02/15/24		890
	7,000	05/15/24		5,136
	12,925	08/15/24		9,375
	20,400	11/15/24		14,630
	5,800	02/15/25		4,110
	2,700	05/15/25		1,892
	7,300	02/15/26		4,943
	22,300	05/15/26		14,941
	29,100	08/15/26		19,289
	99,050	11/15/26		64,954
	89,900	02/15/27		58,343
	20,725	05/15/27		13,318
	31,300	08/15/27		19,912
	32,450	11/15/27		20,442
	46,650	02/15/28		29,094
	9,300	05/15/28		5,747
	5,900	08/15/28		3,613
	19,300	11/15/28		11,704
	21,115	02/15/29		12,693
	3,200	05/15/29		1,904
	11,200	08/15/29		6,600
	16,120	11/15/29		9,406
	102,900	02/15/30		59,544
	41,000	05/15/30		23,507
	33,550	08/15/30		19,048
	20,000	11/15/30		11,250
	12,100	02/15/31		6,744
	12,875	05/15/31		7,096

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	14,125	08/15/31		7,712
	15,400	11/15/31		8,331
	9,425	02/15/32		5,047
	1,700	08/15/32		893
	31,500	11/15/32		16,394
	31,350	05/15/33		16,002
	21,875	08/15/33		11,056
	32,500	11/15/33		16,262
	18,675	02/15/34		9,256
	14,050	05/15/34		6,892
	22,550	08/15/34		10,945
	12,100	11/15/34		5,825
	14,500	02/15/35		6,908
	1,700	08/15/35		793
	1,175	05/15/36		534
		U.S. Treasury Inflation Indexed Bonds,
	4,000	2.500%, 01/15/29		5,715
	10,109	3.625%, 04/15/28 (m)		21,381
		U.S. Treasury Inflation Indexed Notes,
	4,000	0.500%, 04/15/15		4,438
	4,750	1.125%, 01/15/21		5,600
	14,600	2.000%, 04/15/12		16,325
	12,000	2.000%, 01/15/14		15,757
	2,000	2.000%, 07/15/14		2,624
		U.S. Treasury Notes,
	10,000	1.250%, 02/15/14		10,183
	7,050	1.375%, 09/15/12		7,096
	15,990	1.375%, 11/15/12		16,125
	2,700	1.375%, 02/15/13		2,730
	189,040	1.375%, 11/30/18		189,513
	7,000	1.375%, 12/31/18		7,009
	8,500	1.500%, 08/31/18		8,619
	15,000	1.750%, 04/15/13		15,257
	20,500	1.750%, 03/31/14		21,107
	18,700	1.750%, 10/31/18		19,220
	12,000	1.875%, 02/28/14		12,371
	25,000	2.000%, 04/30/16		26,336
	35,980	2.125%, 12/31/15		38,049
	5,475	2.250%, 11/30/17		5,836
	20,000	2.375%, 10/31/14		21,038
	6,000	2.375%, 02/28/15		6,342
	10,000	2.500%, 06/30/17		10,799
	72,900	2.625%, 07/31/14		76,858
	221,500	2.625%, 12/31/14		235,136
	19,000	2.625%, 02/29/16		20,483
	36,325	2.625%, 04/30/16		39,197

SEE NOTES TO FINANCIAL STATEMENTS.

82 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
	26,000	2.625%, 01/31/18		28,269
	2,500	2.750%, 11/30/16		2,723
	218,675	2.750%, 05/31/17		238,937
	34,140	2.750%, 12/31/17		37,354
	30,610	2.875%, 03/31/18		33,736
	169,500	3.125%, 10/31/16		187,509
	20,000	3.125%, 01/31/17		22,173
	143,855	3.125%, 04/30/17		159,859
	216,292	3.125%, 05/15/19		241,503
	247,500	3.250%, 12/31/16		275,730
	77,000	3.250%, 03/31/17		85,975
	5,000	3.375%, 11/15/19		5,674
	5,000	3.500%, 02/15/18		5,686
	63,800	4.250%, 11/15/17		75,105
	5,400	4.500%, 11/15/15		6,175
	55,060	4.500%, 05/15/17		65,057
	9,500	4.625%, 02/15/17		11,227
	136,865	4.750%, 08/15/17		164,313
		Total U.S. Treasury Obligations (Cost $5,208,278)		5,775,508

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 5.4%
		Investment Company — 5.4%
	1,334,403	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $1,334,403)		1,334,403
		Total Investments — 100.5% (Cost $23,264,430)		24,716,051
		Liabilities in Excess of Other Assets — (0.5)%		(127,502	)
		NET ASSETS — 100.0%	$	24,588,549

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 83

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Asset-Backed Securities — 2.4%
		Accredited Mortgage Loan Trust,
	1,670	Series 2006-1, Class A3, VAR, 0.424%, 04/25/36		1,412
	1,518	Series 2006-2, Class A3, VAR, 0.394%, 09/25/36		1,274
		AH Mortgage Advance Trust, (Cayman Islands),
	4,583	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		4,592
	787	Series SART-3, Class 1A2, 3.720%, 03/13/44 (e)		790
		Ally Auto Receivables Trust,
	784	Series 2010-1, Class A3, 1.450%, 05/15/14		788
	565	Series 2010-3, Class A4, 1.550%, 08/17/15		573
	355	Series 2011-1, Class A3, 1.380%, 01/15/15		358
	444	Series 2012-1, Class A4, 1.210%, 07/15/16		445
		AmeriCredit Automobile Receivables Trust,
	988	Series 2008-AF, Class A4, 6.960%, 10/14/14		1,016
	107	Series 2010-1, Class A3, 1.660%, 03/17/14		107
	353	Series 2012-1, Class A3, 1.230%, 09/08/16		354
		Ameriquest Mortgage Securities, Inc.,
	1,105	Series 2003-5, Class A6, SUB, 4.541%, 04/25/33		1,033
	452	Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34		452
	20	BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13		18
		Bear Stearns Asset-Backed Securities Trust,
	805	Series 2003-SD2, Class 2A, VAR, 2.997%, 06/25/43		749
	1,203	Series 2006-SD1, Class A, VAR, 0.614%, 04/25/36		938
		Centex Home Equity,
	445	Series 2001-B, Class A6, 6.360%, 07/25/32		440
	435	Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31		405
	135	Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32		118
	999	Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		1,014
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	447	Series 2003-5, Class 1A4, 4.396%, 02/25/30		450
	546	Series 2003-6, Class 1A4, 4.499%, 11/25/34		550
	1,372	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		1,829

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	966	Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33		931
		CNH Equipment Trust,
	405	Series 2010-A, Class A3, 1.540%, 07/15/14		406
	791	Series 2011-B, Class A3, 0.910%, 08/15/16		792
		Countrywide Asset-Backed Certificates,
	8	Series 2004-1, Class 3A, VAR, 0.804%, 04/25/34		6
	590	Series 2004-1, Class M1, VAR, 0.994%, 03/25/34		418
	365	Series 2004-1, Class M2, VAR, 1.069%, 03/25/34		312
	1,539	Series 2004-6, Class M1, VAR, 0.844%, 10/25/34		820
	230	Series 2004-13, Class MV8, VAR, 1.944%, 01/25/35 (f) (i)		10
	306	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.748%, 01/25/36		171
	99	CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32		93
	635	Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15		677
	1,412	Distressed Asset Portfolio I, LLC, 3.500%, 12/31/15 (f) (i)		1,621
	1,317	Equity One ABS, Inc., Series 2003-2, Class M1, VAR, 5.050%, 09/25/33		1,075
		Federal National Mortgage Association Whole Loan,
	59	Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25		62
	108	Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25		109
	1,091	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF9, Class A3, VAR, 0.524%, 10/25/35		1,071
	500	Ford Credit Auto Owner Trust, Series 2012-A, Class A4, 1.150%, 06/15/17		501
	852	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		855
	1,305	GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29		1,343
	84	Honda Auto Receivables Owner Trust, Series 2012-1, Class A4, 0.970%, 04/16/18		84
		HSBC Home Equity Loan Trust,
	205	Series 2005-2, Class A1, VAR, 0.515%, 01/20/35		192

SEE NOTES TO FINANCIAL STATEMENTS.

84 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Asset-Backed Securities — Continued
	822	Series 2005-2, Class M1, VAR, 0.705%, 01/20/35		748
	822	Series 2005-2, Class M2, VAR, 0.736%, 01/20/35		737
	306	Series 2006-1, Class A1, VAR, 0.406%, 01/20/36		278
	729	Series 2006-2, Class A1, VAR, 0.395%, 03/20/36		672
	1,055	Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36		1,071
	170	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		170
	1,455	Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36		1,441
	929	Series 2007-3, Class APT, VAR, 1.446%, 11/20/36		819
	272	Hyundai Auto Receivables Trust, Series 2012-A, Class A4, 0.950%, 12/15/16		272
	1,106	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.594%, 07/25/34 (e)		1,058
		Long Beach Mortgage Loan Trust,
	156	Series 2004-1, Class M3, VAR, 1.294%, 02/25/34		116
	46	Series 2004-5, Class M6, VAR, 2.744%, 09/25/34 (f) (i)		8
		Mid-State Trust,
	227	Series 2005-1, Class A, 5.745%, 01/15/40		231
	982	Series 2006-1, Class A, 5.787%, 10/15/40 (e)		1,014
	974	Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.494%, 03/25/33		422
		New Century Home Equity Loan Trust,
	1,000	Series 2003-5, Class AI6, SUB, 5.303%, 11/25/33		953
	610	Series 2005-1, Class M1, VAR, 0.694%, 03/25/35		428
	2,400	Park Place Securities, Inc., Series 2004-WCW1, Class M2, VAR, 0.924%, 09/25/34		2,166
	2,100	Residential Asset Securities Corp., Series 2005-EMX3, Class M1, VAR, 0.674%, 09/25/35		1,948
	548	Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28		535
	1,024	Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e)		867
		Santander Drive Auto Receivables Trust,
	556	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		556

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	665	Series 2011-S2A, Class D, 3.350%, 06/15/17 (e)		664
	411	Series 2012-1, Class A3, 1.490%, 10/15/15		413
	73	Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, VAR, 0.324%, 06/25/37		58
		Structured Asset Investment Loan Trust,
	2,500	Series 2003-BC10, Class A4, VAR, 1.244%, 10/25/33		1,999
	1,500	Series 2005-5, Class A9, VAR, 0.514%, 06/25/35		1,414
	35	Structured Asset Securities Corp., Series 2007-OSI, Class A2, VAR, 0.334%, 06/25/37		29
	202	Union Pacific Railroad Co. 2003 Pass-Through Trust, 4.698%, 01/02/24		224
	1,500	Unipac IX LLC, 13.000%, 04/11/13 (f) (i)		1,486
	295	USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15		301
	1,000	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A4, 1.150%, 07/20/18		1,001
		Total Asset-Backed Securities (Cost $56,162)		55,353
	Collateralized Mortgage Obligations — 20.5%
		Agency CMO — 13.5%
	511	Federal Home Loan Bank, Series 2000-0606, Class Y, 5.270%, 12/28/12		529
		Federal Home Loan Mortgage Corp. — Government National Mortgage Association,
	182	Series 23, Class KZ, 6.500%, 11/25/23		208
	1,276	Series 24, Class J, 6.250%, 11/25/23		1,357
	226	Series 31, Class Z, 8.000%, 04/25/24		259
		Federal Home Loan Mortgage Corp. REMICS,
	24	Series 11, Class D, 9.500%, 07/15/19		25
	16	Series 38, Class D, 9.500%, 05/15/20		18
	7	Series 81, Class A, 8.125%, 11/15/20		8
	19	Series 84, Class F, 9.200%, 10/15/20		21
	10	Series 109, Class I, 9.100%, 01/15/21		11
	3	Series 198, Class Z, 8.500%, 09/15/22		3
	126	Series 1316, Class Z, 8.000%, 06/15/22		146
	43	Series 1343, Class LB, 7.500%, 08/15/22		52
	1	Series 1351, Class TF, HB, IO, 1,010.000%, 08/15/22		37
	89	Series 1456, Class Z, 7.500%, 01/15/23		104
	628	Series 1543, Class VN, 7.000%, 07/15/23		727
	7	Series 1556, Class H, 6.500%, 08/15/13		8
	420	Series 1577, Class PV, 6.500%, 09/15/23		442
	25	Series 1595, Class D, 7.000%, 10/15/13		26

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 85

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,137	Series 1608, Class L, 6.500%, 09/15/23		1,279
	1,042	Series 1611, Class Z, 6.500%, 11/15/23		1,175
	1,026	Series 1628, Class LZ, 6.500%, 12/15/23		1,147
	494	Series 1630, Class PK, 6.000%, 11/15/23		553
	1,000	Series 1671, Class I, 7.000%, 02/15/24		1,184
	16	Series 1671, Class QC, IF, 10.000%, 02/15/24		21
	89	Series 1695, Class G, HB, IF, 25.948%, 03/15/24		152
	57	Series 1710, Class GB, HB, IF, 39.093%, 04/15/24		113
	231	Series 1911, Class SD, IF, IO, 10.169%, 07/15/23		68
	117	Series 2022, Class PE, 6.500%, 01/15/28		132
	881	Series 2033, Class K, 6.050%, 08/15/23		888
	717	Series 2036, Class PG, 6.500%, 01/15/28		817
	127	Series 2055, Class OE, 6.500%, 05/15/13		127
	111	Series 2089, Class PJ, IO, 7.000%, 10/15/28		18
	2,428	Series 2091, Class PG, 6.000%, 11/15/28		2,724
	1,547	Series 2113, Class MW, 6.500%, 01/15/29		1,762
	537	Series 2116, Class ZA, 6.000%, 01/15/29		603
	164	Series 2148, Class ZA, 6.000%, 04/15/29		181
	323	Series 2201, Class C, 8.000%, 11/15/29		387
	74	Series 2261, Class ZY, 7.500%, 10/15/30		88
	828	Series 2293, Class ZA, 6.000%, 03/15/31		929
	70	Series 2297, Class NB, 6.000%, 03/15/16		74
	130	Series 2310, Class Z, 6.000%, 04/15/31		143
	54	Series 2313, Class LA, 6.500%, 05/15/31		62
	463	Series 2325, Class JO, PO, 06/15/31		442
	1,209	Series 2330, Class PE, 6.500%, 06/15/31		1,261
	309	Series 2344, Class QG, 6.000%, 08/15/16		329
	388	Series 2345, Class PQ, 6.500%, 08/15/16		403
	282	Series 2368, Class TG, 6.000%, 10/15/16		298
	608	Series 2394, Class MC, 6.000%, 12/15/16		649
	220	Series 2399, Class PG, 6.000%, 01/15/17		235
	300	Series 2410, Class QB, 6.250%, 02/15/32		347
	678	Series 2430, Class WF, 6.500%, 03/15/32		775
	702	Series 2466, Class DH, 6.500%, 06/15/32		776
	2,031	Series 2530, Class SK, IF, IO, 7.851%, 06/15/29		414
	238	Series 2534, Class SI, HB, IF, 20.414%, 02/15/32		377
	2,000	Series 2543, Class YX, 6.000%, 12/15/32		2,235
	1,016	Series 2545, Class SQ, IF, IO, 7.351%, 05/15/17		23
	817	Series 2557, Class HL, 5.300%, 01/15/33		920
	1,573	Series 2586, Class IO, IO, 6.500%, 03/15/33		340

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Agency CMO — Continued
	791	Series 2587, Class XS, IF, IO, 7.401%, 09/15/17		27
	448	Series 2594, Class IV, IO, 7.000%, 03/15/32		97
	90	Series 2602, Class BX, 3.500%, 12/15/22		92
	1,344	Series 2610, Class UI, IO, 6.500%, 05/15/33		249
	1,515	Series 2613, Class H, 4.500%, 05/15/18		1,642
	1,574	Series 2617, Class GR, 4.500%, 05/15/18		1,677
	3,029	Series 2636, Class Z, 4.500%, 06/15/18		3,226
	2,119	Series 2641, Class SK, IF, IO, 6.901%, 01/15/18		134
	125	Series 2643, Class SA, HB, IF, 43.885%, 03/15/32		252
	145	Series 2650, Class PO, PO, 12/15/32		137
	145	Series 2650, Class SO, PO, 12/15/32		138
	497	Series 2656, Class AC, 6.000%, 08/15/33		560
	1,375	Series 2656, Class PE, 4.500%, 07/15/18		1,507
	514	Series 2658, Class A, 4.500%, 08/15/18		524
	404	Series 2695, Class OB, PO, 10/15/33		392
	1,833	Series 2699, Class W, 5.500%, 11/15/33		1,988
	385	Series 2701, Class ST, IF, IO, 6.752%, 08/15/21		6
	1,121	Series 2707, Class KA, 4.500%, 11/15/18		1,201
	381	Series 2707, Class KJ, 5.000%, 11/15/18		394
	4,512	Series 2708, Class N, 4.000%, 11/15/18		4,780
	63	Series 2717, Class BA, 6.000%, 11/15/30		64
	705	Series 2733, Class SB, IF, 7.786%, 10/15/33		753
	824	Series 2736, Class PD, 5.000%, 03/15/32		852
	179	Series 2755, Class SA, IF, 13.703%, 05/15/30		195
	1,033	Series 2756, Class NA, 5.000%, 02/15/24		1,130
	2,000	Series 2764, Class OE, 4.500%, 03/15/19		2,198
	274	Series 2764, Class S, IF, 13.129%, 07/15/33		347
	506	Series 2779, Class SM, IF, IO, 6.901%, 10/15/18		27
	1,039	Series 2801, Class JN, 5.000%, 06/15/33		1,131
	2,000	Series 2843, Class BC, 5.000%, 08/15/19		2,186
	1,000	Series 2845, Class QH, 5.000%, 08/15/34		1,121
	1,540	Series 2864, Class NB, 5.500%, 07/15/33		1,740
	3,030	Series 2864, Class NS, IF, IO, 6.851%, 09/15/34		234
	802	Series 2888, Class IN, IO, 5.000%, 10/15/18		20
	1,502	Series 2912, Class EH, 5.500%, 01/15/35		1,792
	42	Series 2931, Class GA, 5.000%, 11/15/28		42
	1,000	Series 2934, Class CI, 5.000%, 01/15/34		1,059
	107	Series 2980, Class QB, 6.500%, 05/15/35		122
	1,663	Series 2989, Class TG, 5.000%, 06/15/25		1,802

SEE NOTES TO FINANCIAL STATEMENTS.

86 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	279	Series 2990, Class SL, HB, IF, 23.582%, 06/15/34		428
	3,331	Series 2994, Class SC, IF, IO, 5.352%, 02/15/33		303
	617	Series 2995, Class FT, VAR, 0.498%, 05/15/29		615
	286	Series 3005, Class PV, IF, 12.338%, 10/15/33		325
	1,287	Series 3028, Class ME, 5.000%, 02/15/34		1,402
	488	Series 3031, Class BN, HB, IF, 20.901%, 08/15/35		739
	982	Series 3059, Class B, 5.000%, 02/15/35		1,110
	1,000	Series 3062, Class HE, 5.000%, 01/15/34		1,083
	1,000	Series 3064, Class OG, 5.500%, 06/15/34		1,089
	120	Series 3068, Class AO, PO, 01/15/35		118
	2,106	Series 3080, Class TZ, 5.500%, 02/15/33		2,145
	776	Series 3117, Class EO, PO, 02/15/36		736
	371	Series 3134, Class PO, PO, 03/15/36		353
	431	Series 3138, Class PO, PO, 04/15/36		412
	1,505	Series 3151, Class PD, 6.000%, 11/15/34		1,595
	1,083	Series 3152, Class MO, PO, 03/15/36		1,014
	1,428	Series 3184, Class YO, PO, 03/15/36		1,303
	1,800	Series 3189, Class PC, 6.000%, 08/15/35		1,979
	4,765	Series 3201, Class IN, IF, IO, 6.001%, 08/15/36		781
	5,164	Series 3202, Class HI, IF, IO, 6.401%, 08/15/36		878
	785	Series 3219, Class OD, 6.000%, 06/15/33		829
	1,581	Series 3219, Class PD, 6.000%, 11/15/35		1,783
	2,000	Series 3274, Class B, 6.000%, 02/15/37		2,232
	851	Series 3292, Class DO, PO, 03/15/37		809
	4,205	Series 3305, Class IW, IF, IO, 6.202%, 04/15/37		593
	220	Series 3306, Class TB, IF, 2.999%, 04/15/37		231
	194	Series 3306, Class TC, IF, 2.459%, 04/15/37		201
	510	Series 3331, Class PO, PO, 06/15/37		484
	1,036	Series 3336, Class GD, 5.000%, 04/15/36		1,080
	940	Series 3383, Class OP, PO, 11/15/37		872
	1,948	Series 3531, Class SM, IF, IO, 5.852%, 05/15/39		266
	371	Series 3542, Class TN, IF, 6.000%, 07/15/36		349
	457	Series 3546, Class A, VAR, 5.345%, 02/15/39		487
	1,147	Series 3572, Class JS, IF, IO, 6.551%, 09/15/39		233
	1,086	Series 3605, Class NC, 5.500%, 06/15/37		1,292
	2,683	Series 3609, Class SA, IF, IO, 6.091%, 12/15/39		632

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Agency CMO — Continued
	1,030	Series 3610, Class CA, 4.500%, 12/15/39		1,128
	666	Series 3611, Class PO, PO, 07/15/34		619
	1,704	Series 3620, Class TV, 5.500%, 12/15/20		1,797
	1,063	Series 3653, Class HJ, 5.000%, 04/15/40		1,174
	920	Series 3688, Class GT, VAR, 7.158%, 11/15/46		1,087
	2,672	Series 3747, Class HI, IO, 4.500%, 07/15/37		360
	1,347	Series 3819, Class ZQ, 6.000%, 04/15/36		1,569
	1,682	Series 3827, Class BD, 4.000%, 08/15/39		1,766
	1,031	Series 3852, Class TP, IF, 5.500%, 05/15/41		1,196
	1,412	Series 3855, Class AM, 6.500%, 11/15/36		1,600
	1,805	Series 3890, Class ET, 5.500%, 11/15/23		1,982
	1,633	Series 3895, Class PW, 4.500%, 07/15/41		1,778
	603	Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27		525
	857	Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-76, Class 2A, VAR, 4.749%, 10/25/37		879
		Federal National Mortgage Association - ACES,
	2,270	Series 2011-M2, Class A2, 3.645%, 07/25/21		2,441
	1,680	Series 2011-M4, Class A2, 3.726%, 06/25/21		1,819
	631	Series 2011-M8, Class A2, 2.922%, 08/25/21		647
		Federal National Mortgage Association Grantor Trust,
	49,164	Series 2001-T12, Class IO, IO, VAR, 0.539%, 08/25/41		600
	1,489	Series 2002-T16, Class A2, 7.000%, 07/25/42		1,740
	1,181	Series 2002-T19, Class A1, 6.500%, 07/25/42		1,356
	1,018	Series 2002-T4, Class A2, 7.000%, 12/25/41		1,153
	2,002	Series 2002-T4, Class A4, 9.500%, 12/25/41		2,424
	94,624	Series 2002-T4, Class IO, IO, VAR, 0.441%, 12/25/41		902
	957	Series 2004-T1, Class 1A1, 6.000%, 01/25/44		1,066
	645	Series 2004-T2, Class 1A3, 7.000%, 11/25/43		754
	764	Series 2004-T2, Class 1A4, 7.500%, 11/25/43		905
	11,269	Series 2004-T3, Class 1IO4, IO, VAR, 0.631%, 02/25/44		197
		Federal National Mortgage Association REMICS,
	12	Series 1988-13, Class C, 9.300%, 05/25/18		14
	119	Series 1989-72, Class E, 9.350%, 10/25/19		138
	5	Series 1989-98, Class H, 11.500%, 12/25/19		6
	7	Series 1990-1, Class D, 8.800%, 01/25/20		8
	9	Series 1990-110, Class H, 8.750%, 09/25/20		10
	7	Series 1990-117, Class E, 8.950%, 10/25/20		8
	71	Series 1991-141, Class PZ, 8.000%, 10/25/21		82
	37	Series 1992-31, Class M, 7.750%, 03/25/22		42

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 87

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	39	Series 1992-79, Class Z, 9.000%, 06/25/22		45
	20	Series 1992-101, Class J, 7.500%, 06/25/22		21
	355	Series 1992-188, Class PZ, 7.500%, 10/25/22		411
	413	Series 1992-200, Class SK, HB, IF, 22.437%, 11/25/22		678
	32	Series 1993-23, Class PZ, 7.500%, 03/25/23		37
	247	Series 1993-56, Class PZ, 7.000%, 05/25/23		285
	134	Series 1993-60, Class Z, 7.000%, 05/25/23		154
	276	Series 1993-79, Class PL, 7.000%, 06/25/23		320
	444	Series 1993-141, Class Z, 7.000%, 08/25/23		506
	218	Series 1993-149, Class M, 7.000%, 08/25/23		252
	770	Series 1993-160, Class ZA, 6.500%, 09/25/23		870
	78	Series 1993-165, Class SA, IF, 19.240%, 09/25/23		122
	8	Series 1993-205, Class H, PO, 09/25/23		8
	72	Series 1993-247, Class SM, HB, IF, 25.442%, 12/25/23		122
	80	Series 1993-255, Class E, 7.100%, 12/25/23		92
	58	Series 1993-257, Class C, PO, 06/25/23		58
	104	Series 1994-1, Class L, 6.500%, 01/25/14		108
	1,667	Series 1994-23, Class PX, 6.000%, 08/25/23		1,752
	111	Series 1994-65, Class PK, PO, 04/25/24		103
	433	Series 1995-4, Class Z, 7.500%, 10/25/22		517
	649	Series 1995-19, Class Z, 6.500%, 11/25/23		773
	25	Series 1996-59, Class K, 6.500%, 07/25/23		25
	122	Series 1997-11, Class E, 7.000%, 03/18/27		143
	454	Series 1997-20, Class D, 7.000%, 03/17/27		529
	56	Series 1997-27, Class J, 7.500%, 04/18/27		63
	1,295	Series 1997-37, Class SM, IF, IO, 7.750%, 12/25/22		241
	500	Series 1997-42, Class EG, 8.000%, 07/18/27		610
	687	Series 1997-63, Class ZA, 6.500%, 09/18/27		775
	615	Series 1998-66, Class FB, VAR, 0.594%, 12/25/28		617
	1,232	Series 1999-47, Class JZ, 8.000%, 09/18/29		1,499
	370	Series 2000-8, Class Z, 7.500%, 02/20/30		433
	493	Series 2001-4, Class PC, 7.000%, 03/25/21		536
	92	Series 2001-5, Class OW, 6.000%, 03/25/16		95
	774	Series 2001-14, Class Z, 6.000%, 05/25/31		869
	946	Series 2001-16, Class Z, 6.000%, 05/25/31		1,061
	705	Series 2001-36, Class ST, IF, IO, 8.256%, 11/25/30		176
	2,253	Series 2001-72, Class SB, IF, IO, 7.256%, 12/25/31		403
	3,720	Series 2001-81, Class HE, 6.500%, 01/25/32		4,204
	407	Series 2002-11, Class QG, 5.500%, 03/25/17		433

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Agency CMO — Continued
	190	Series 2002-19, Class SC, IF, 13.745%, 03/17/32		260
	376	Series 2002-55, Class QE, 5.500%, 09/25/17		404
	427	Series 2002-63, Class KC, 5.000%, 10/25/17		455
	182	Series 2002-73, Class AN, 5.000%, 11/25/17		194
	1,389	Series 2003-14, Class EH, IF, IO, 7.356%, 03/25/18		163
	1,100	Series 2003-17, Class EQ, 5.500%, 03/25/23		1,259
	1,000	Series 2003-18, Class GT, 5.000%, 03/25/18		1,084
	1,448	Series 2003-30, Class IP, IO, 5.750%, 08/25/32		73
	2,000	Series 2003-47, Class PE, 5.750%, 06/25/33		2,312
	1,050	Series 2003-58, Class TB, 5.000%, 03/25/32		1,132
	1,000	Series 2003-64, Class KS, IF, 9.299%, 07/25/18		1,103
	225	Series 2003-64, Class SX, IF, 13.081%, 07/25/33		281
	573	Series 2003-73, Class GA, 3.500%, 05/25/31		581
	1,556	Series 2003-83, Class PG, 5.000%, 06/25/23		1,662
	53	Series 2003-91, Class SD, IF, 12.093%, 09/25/33		60
	1,000	Series 2003-92, Class VH, 5.000%, 02/25/19		1,109
	2,000	Series 2003-106, Class WE, 4.500%, 11/25/22		2,101
	1,707	Series 2003-109, Class TS, IF, IO, 6.856%, 08/25/22		81
	226	Series 2003-128, Class KE, 4.500%, 01/25/14		232
	9,247	Series 2003-128, Class NG, 4.000%, 01/25/19		9,881
	1,000	Series 2004-8, Class GD, 4.500%, 10/25/32		1,060
	1,000	Series 2004-21, Class AE, 4.000%, 04/25/19		1,071
	66	Series 2004-22, Class A, 4.000%, 04/25/19		67
	770	Series 2004-53, Class NC, 5.500%, 07/25/24		823
	563	Series 2004-72, Class F, VAR, 0.744%, 09/25/34		565
	127	Series 2004-87, Class JI, IO, 5.000%, 11/25/30		2
	1,000	Series 2004-101, Class PD, 5.000%, 06/25/30		1,009
	140	Series 2005-42, Class PS, IF, 16.390%, 05/25/35		190
	826	Series 2005-51, Class MO, PO, 06/25/35		803
	3,359	Series 2005-53, Class CS, IF, IO, 6.456%, 06/25/35		841
	2,275	Series 2005-59, Class PC, 5.500%, 03/25/31		2,344
	470	Series 2005-65, Class KO, PO, 08/25/35		443
	6,800	Series 2005-68, Class BC, 5.250%, 06/25/35		7,518

SEE NOTES TO FINANCIAL STATEMENTS.

88 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,030	Series 2005-72, Class WS, IF, IO, 6.506%, 08/25/35		662
	1,096	Series 2005-84, Class XM, 5.750%, 10/25/35		1,241
	360	Series 2005-90, Class ES, IF, 16.265%, 10/25/35		510
	1,094	Series 2005-97, Class B, 5.500%, 11/25/35		1,273
	384	Series 2005-106, Class US, HB, IF, 23.672%, 11/25/35		622
	439	Series 2005-116, Class PB, 6.000%, 04/25/34		472
	2,249	Series 2006-20, Class IB, IF, IO, 6.346%, 04/25/36		328
	620	Series 2006-22, Class AO, PO, 04/25/36		583
	623	Series 2006-27, Class OH, PO, 04/25/36		585
	592	Series 2006-46, Class LI, IO, 6.000%, 02/25/34		15
	985	Series 2006-59, Class QO, PO, 01/25/33		957
	847	Series 2006-61, Class AP, 6.000%, 08/25/35		922
	2,285	Series 2006-77, Class PC, 6.500%, 08/25/36		2,598
	1,441	Series 2006-110, Class PO, PO, 11/25/36		1,367
	377	Series 2006-114, Class DS, VAR, 12/25/36		374
	1,860	Series 2006-114, Class HD, 5.500%, 10/25/35		2,060
	11	Series 2006-115, Class OM, PO, 12/25/36		11
	581	Series 2006-128, Class PO, PO, 01/25/37		546
	908	Series 2007-10, Class Z, 6.000%, 02/25/37		1,057
	1,950	Series 2007-22, Class SC, IF, IO, 5.836%, 03/25/37		288
	1,082	Series 2007-47, Class PC, 5.000%, 07/25/33		1,097
	694	Series 2007-68, Class IA, IO, 6.500%, 06/25/37		110
	1,600	Series 2007-79, Class PC, 5.000%, 01/25/32		1,637
	842	Series 2007-100, Class ND, 5.750%, 10/25/35		900
	444	Series 2007-100, Class SM, IF, IO, 6.206%, 10/25/37		65
	1,165	Series 2008-24, Class VB, 5.000%, 09/25/25		1,281
	5,358	Series 2008-62, Class SM, IF, IO, 5.956%, 07/25/38		850
	852	Series 2008-68, Class VK, 5.500%, 03/25/27		947
	1,075	Series 2008-68, Class VN, 5.500%, 03/25/27		1,170
	14,983	Series 2008-91, Class SI, IF, IO, 5.756%, 03/25/38		1,886
	1,704	Series 2008-93, Class AM, 5.500%, 06/25/37		1,883
	1,051	Series 2008-95, Class AI, IO, 5.000%, 12/25/23		87
	1,047	Series 2009-17, Class AI, IO, 5.000%, 03/25/24		101

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Agency CMO — Continued
	2,584	Series 2009-23, Class MI, IO, 4.500%, 04/25/24		215
	1,392	Series 2009-29, Class LA, VAR, 4.196%, 05/25/39		1,439
	3,001	Series 2009-52, Class PI, IO, 5.000%, 07/25/39		423
	1,475	Series 2009-108, Class VN, 5.000%, 09/25/39		1,613
	6,743	Series 2009-112, Class ST, IF, IO, 6.006%, 01/25/40		844
	4,433	Series 2009-112, Class SW, IF, IO, 6.006%, 01/25/40		555
	1,381	Series 2010-10, Class NT, 5.000%, 02/25/40		1,606
	1,710	Series 2010-19, Class VA, 5.000%, 02/25/21		1,866
	9,259	Series 2010-35, Class SB, IF, IO, 6.176%, 04/25/40		1,298
	2,062	Series 2010-43, Class CI, IO, 4.500%, 02/25/25		146
	1,385	Series 2010-49, Class SC, IF, 12.172%, 03/25/40		1,690
	902	Series 2010-64, Class DM, 5.000%, 06/25/40		983
	1,819	Series 2010-71, Class HJ, 5.500%, 07/25/40		2,017
	1,428	Series 2010-111, Class AE, 5.500%, 04/25/38		1,515
	1,414	Series 2011-19, Class ZY, 6.500%, 07/25/36		1,666
	1,768	Series 2011-22, Class MA, 6.500%, 04/25/38		2,039
	30	Series G-29, Class O, 8.500%, 09/25/21		34
	18	Series G92-30, Class Z, 7.000%, 06/25/22		20
	38	Series G92-62, Class B, PO, 10/25/22		35
		Federal National Mortgage Association STRIPS,
	3,739	Series 203, Class 2, IO, 8.000%, 02/01/23		792
	635	Series 266, Class 2, IO, 7.500%, 08/01/24		131
	1,071	Series 348, Class 30, IO, 5.500%, 12/01/18		106
	1,027	Series 348, Class 31, IO, VAR, 5.500%, 12/01/18		108
	871	Series 356, Class 42, IO, 5.500%, 12/01/19		94
	2,021	Series 380, Class S36, IF, IO, 7.656%, 07/25/37		282
	1,165	Series 383, Class 68, IO, 6.500%, 09/01/37		226
	1,808	Series 383, Class 69, IO, VAR, 6.500%, 10/01/37		326
	520	Series 383, Class 86, IO, VAR, 7.000%, 09/01/37		103
		Federal National Mortgage Association Whole Loan,
	898	Series 2001-W3, Class A, VAR, 7.000%, 09/25/41		1,033
	12,498	Series 2002-W10, Class IO, IO, VAR, 0.983%, 08/25/42		360

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 89

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	18,146	Series 2002-W7, Class IO1, IO, VAR, 0.943%, 06/25/29		591
	38	Series 2003-W3, Class 2A5, 5.356%, 06/25/42		42
	394	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		442
	502	Series 2003-W6, Class 1A41, 5.398%, 10/25/42		552
	36,136	Series 2004-W11, Class 1IO1, IO, VAR, 0.356%, 05/25/44		392
	1,150	Series 2004-W2, Class 1A, 6.000%, 02/25/44		1,282
	187	Series 2004-W2, Class 1A3F, VAR, 0.594%, 02/25/44		185
	308	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		353
	1,124	Series 2004-W6, Class 3A4, 6.500%, 07/25/34		1,260
	724	Series 2004-W8, Class 3A, 7.500%, 06/25/44		851
	1,202	Series 2004-W9, Class 1A3, 6.050%, 02/25/44		1,328
	1,289	Series 2005-W4, Class 1A1, 6.000%, 08/25/35		1,437
		Government National Mortgage Association,
	161	Series 1997-7, Class ZA, 9.000%, 05/16/27		189
	192	Series 1997-8, Class PN, 7.500%, 05/16/27		219
	2,451	Series 1999-15, Class S, IF, IO, 7.953%, 05/16/29		533
	40	Series 1999-43, Class TA, IF, 9.350%, 11/16/29		44
	467	Series 1999-44, Class ZG, 8.000%, 12/20/29		545
	292	Series 2000-9, Class Z, 8.000%, 06/20/30		341
	210	Series 2000-26, Class Z, 7.750%, 09/20/30		244
	2,616	Series 2002-4, Class TD, 7.000%, 01/20/32		3,042
	1,740	Series 2002-13, Class QA, IF, IO, 7.802%, 02/16/32		367
	996	Series 2002-45, Class QE, 6.500%, 06/20/32		1,140
	56	Series 2002-47, Class HM, 6.000%, 07/16/32		63
	6,061	Series 2002-68, Class SC, IF, IO, 5.452%, 10/16/32		1,158
	1,880	Series 2002-84, Class PH, 6.000%, 11/16/32		2,204
	364	Series 2003-4, Class TI, IO, 5.500%, 05/16/31		5
	1,174	Series 2003-18, Class PG, 5.500%, 03/20/33		1,385
	285	Series 2003-52, Class SB, IF, 11.117%, 06/16/33		350
	864	Series 2003-79, Class PV, 5.500%, 10/20/23		979
	4,963	Series 2003-101, Class SK, IF, IO, 6.314%, 10/17/33		1,020

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Agency CMO — Continued
	240	Series 2004-2, Class SA, IF, 19.551%, 01/16/34		434
	6,999	Series 2004-59, Class SG, IF, IO, 6.254%, 07/20/34		1,122
	53	Series 2004-73, Class AE, IF, 14.348%, 08/17/34		68
	3,337	Series 2004-86, Class SP, IF, IO, 5.855%, 09/20/34		453
	2,304	Series 2004-90, Class SI, IF, IO, 5.855%, 10/20/34		351
	4,300	Series 2004-105, Class SN, IF, IO, 5.855%, 12/20/34		684
	5,060	Series 2005-3, Class SD, IF, IO, 5.855%, 01/20/31		218
	4,429	Series 2005-48, Class CS, IF, IO, 6.055%, 04/20/33		324
	425	Series 2005-56, Class IC, IO, 5.500%, 07/20/35		73
	7,360	Series 2006-23, Class S, IF, IO, 6.254%, 01/20/36		920
	5,491	Series 2006-26, Class S, IF, IO, 6.254%, 06/20/36		789
	926	Series 2006-33, Class PK, 6.000%, 07/20/36		1,059
	723	Series 2006-59, Class PC, 5.500%, 04/20/35		782
	6,909	Series 2007-7, Class EI, IF, IO, 5.955%, 02/20/37		980
	3,061	Series 2007-9, Class CI, IF, IO, 5.955%, 03/20/37		436
	5,425	Series 2007-16, Class KU, IF, IO, 6.405%, 04/20/37		802
	395	Series 2007-17, Class JO, PO, 04/16/37		361
	1,000	Series 2007-22, Class PK, 5.500%, 04/20/37		1,176
	6,461	Series 2007-24, Class SA, IF, IO, 6.265%, 05/20/37		985
	2,015	Series 2007-26, Class SC, IF, IO, 5.955%, 05/20/37		292
	1,830	Series 2007-35, Class TE, 6.000%, 06/20/37		2,195
	1,444	Series 2007-67, Class SI, IF, IO, 6.265%, 11/20/37		220
	420	Series 2008-29, Class PO, PO, 02/17/33		402
	226	Series 2008-34, Class OC, PO, 06/20/37		118
	1,838	Series 2008-40, Class PS, IF, IO, 6.253%, 05/16/38		303
	3,415	Series 2008-40, Class SA, IF, IO, 6.153%, 05/16/38		729
	440	Series 2008-43, Class NA, 5.500%, 11/20/37		472
	1,657	Series 2008-49, Class PH, 5.250%, 06/20/38		1,928

SEE NOTES TO FINANCIAL STATEMENTS.

90 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	9,549	Series 2008-50, Class SA, IF, IO, 5.984%, 06/20/38		1,479
	1,980	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		605
	6,025	Series 2009-16, Class SJ, IF, IO, 6.554%, 05/20/37		1,030
	3,238	Series 2009-72, Class SM, IF, IO, 6.002%, 08/16/39		455
	293	Series 2009-75, Class IY, IO, 5.500%, 06/20/39		107
	4,898	Series 2009-77, Class CS, IF, IO, 6.752%, 06/16/38		739
	1,026	Series 2009-79, Class OK, PO, 11/16/37		949
	908	Series 2009-81, Class A, 5.750%, 09/20/36		1,016
	2,088	Series 2009-83, Class TS, IF, IO, 5.855%, 08/20/39		304
	3,479	Series 2009-106, Class XL, IF, IO, 6.505%, 06/20/37		567
	5,097	Series 2010-4, Class SB, IF, IO, 6.253%, 08/16/39		675
	670	Series 2010-14, Class DO, PO, 03/20/36		650
	855	Series 2010-14, Class QP, 6.000%, 12/20/39		926
	1,359	Series 2010-31, Class SK, IF, IO, 5.855%, 11/20/34		211
	1,500	Series 2010-107, Class AY, 5.000%, 10/20/36		1,655
	1,551	Series 2010-157, Class OP, PO, 12/20/40		1,366
		NCUA Guaranteed Notes,
	3,799	Series 2010-C1, Class APT, 2.650%, 10/29/20		3,965
	398	Series 2010-R3, Class 3A, 2.400%, 12/08/20		409
		Vendee Mortgage Trust,
	1,104	Series 1996-2, Class 1Z, 6.750%, 06/15/26		1,296
	2,874	Series 1998-1, Class 2E, 7.000%, 03/15/28		3,368
	401	Series 1999-1, Class 2Z, 6.500%, 01/15/29		472
				305,445
		Non-Agency CMO — 7.0%
		ABN Amro Mortgage Corp.,
	506	Series 2003-7, Class A3, 4.500%, 07/25/18		509
	927	Series 2003-9, Class A1, 4.500%, 08/25/18		943
	278	Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21, VAR, 0.474%, 09/25/35		208
		American General Mortgage Loan Trust,
	1,406	Series 2006-1, Class A5, VAR, 5.670%, 12/25/35 (e)		1,485
	2,540	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		2,574
	3,000	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		3,095

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Non-Agency CMO — Continued
	760	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		790
	300	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		303
	198	ASG Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.196%, 05/24/36 (e)		196
		Banc of America Alternative Loan Trust,
	621	Series 2003-11, Class 2A1, 6.000%, 01/25/34		624
	593	Series 2004-6, Class 4A1, 5.000%, 07/25/19		602
		Banc of America Funding Corp.,
	1,500	Series 2005-5, Class 3A5, 5.500%, 08/25/35		1,283
	396	Series 2005-7, Class 30PO, PO, 11/25/35		302
	1,785	Series 2005-E, Class 4A1, VAR, 2.661%, 03/20/35		1,652
		Banc of America Mortgage Securities, Inc.,
	1,875	Series 2003-3, Class 1A7, 5.500%, 05/25/33		1,922
	727	Series 2003-4, Class 1B1, 5.500%, 06/25/33		677
	330	Series 2003-7, Class A2, 4.750%, 09/25/18		341
	339	Series 2004-2, Class 2A4, 5.500%, 03/25/34		317
	2,690	Series 2004-3, Class 2A1, 5.500%, 04/25/34		2,737
	909	Series 2004-5, Class 3A3, 5.000%, 06/25/19		940
	394	Series 2004-5, Class 4A1, 4.750%, 06/25/19		406
	580	Series 2004-7, Class 2A2, 5.750%, 08/25/34		593
	209	Series 2004-8, Class XPO, PO, 10/25/34		157
	3	Series 2004-11, Class 15PO, PO, 01/25/20		2
	854	Series 2004-F, Class 1A1, VAR, 2.748%, 07/25/34		748
	185	Series 2005-1, Class 15PO, PO, 02/25/20		147
	504	Series 2005-1, Class 1A17, 5.500%, 02/25/35		453
	1,099	Series 2005-1, Class 2A1, 5.000%, 02/25/20		1,113
	127	Series 2005-10, Class 15PO, PO, 11/25/20		105
	194	Series 2005-11, Class 15PO, PO, 12/25/20		159
		BCAP LLC Trust,
	387	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		394
	1,149	Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e)		1,151
	1,319	Series 2010-RR7, Class 16A1, VAR, 0.882%, 02/26/47 (e)		1,223
	1,205	Series 2010-RR8, Class 3A3, VAR, 5.078%, 05/26/35 (e)		1,198
	1,827	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		1,736
	287	Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.625%, 10/25/33		281

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 91

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	7	Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 7.231%, 03/25/31		8
		Chase Mortgage Finance Corp.,
	357	Series 2003-S10, Class A1, 4.750%, 11/25/18		368
	504	Series 2003-S13, Class A2, 5.000%, 11/25/33		529
	953	Series 2004-S1, Class M, VAR, 5.096%, 02/25/19		844
		Citicorp Mortgage Securities, Inc.,
	499	Series 2004-1, Class 3A1, 4.750%, 01/25/34		507
	886	Series 2004-4, Class A4, 5.500%, 06/25/34		926
	561	Series 2006-1, Class 2A1, 5.000%, 02/25/21		570
		Citigroup Mortgage Loan Trust, Inc.,
	64	Series 2003-UST1, Class PO3, PO, 12/25/18		54
	221	Series 2004-HYB4, Class AA, VAR, 0.574%, 12/25/34		188
	589	Series 2004-UST1, Class A3, VAR, 2.390%, 08/25/34		587
	1,450	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		1,482
	1,293	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		1,333
	84	Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18		85
		Countrywide Alternative Loan Trust,
	355	Series 2003-J3, Class 2A1, 6.250%, 12/25/33		368
	1,163	Series 2004-16CB, Class 2A2, 5.000%, 08/25/19		1,175
	331	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		339
	1,394	Series 2004-22CB, Class 1A1, 6.000%, 10/25/34		1,377
	1,007	Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35		1,011
	390	Series 2005-5R, Class A1, 5.250%, 12/25/18		395
	800	Series 2005-23CB, Class A2, 5.500%, 07/25/35		672
	5,360	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		4,245
	1,861	Series 2005-86CB, Class A11, 5.500%, 02/25/36		1,302
	216	Series 2005-J6, Class 2A1, 5.500%, 07/25/25		206
	92	Series 2005-J7, Class 1A9, 5.500%, 07/25/35		17
	480	Series 2006-26CB, Class A9, 6.500%, 09/25/36		301
		Countrywide Home Loan Mortgage Pass-Through Trust,
	230	Series 2002-22, Class A20, 6.250%, 10/25/32		239

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Non-Agency CMO — Continued
	800	Series 2003-40, Class A3, 4.500%, 10/25/18		818
	838	Series 2003-50, Class A1, 5.000%, 11/25/18		862
	165	Series 2003-J7, Class 2A13, 5.000%, 08/25/33		158
	1,059	Series 2004-3, Class A25, 5.750%, 04/25/34		1,009
	2,150	Series 2004-4, Class A13, 5.250%, 05/25/34		2,204
	1,197	Series 2004-5, Class 2A9, 5.250%, 05/25/34		1,228
	1,666	Series 2004-8, Class 2A1, 4.500%, 06/25/19		1,703
	1,075	Series 2004-J1, Class 2A1, 4.750%, 01/25/19		1,101
	1,102	Series 2004-J7, Class 2A2, 4.500%, 08/25/19		1,139
	272	Series 2005-13, Class A2, 5.500%, 06/25/35		273
	1,280	Series 2005-22, Class 2A1, VAR, 2.713%, 11/25/35		892
		Credit Suisse Mortgage Capital Certificates,
	676	Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e)		676
	1,500	Series 2010-16, Class A3, VAR, 3.965%, 06/25/50 (e)		1,339
	997	Series 2010-20R, Class 2A3, VAR, 3.500%, 06/27/37 (e)		822
	1,558	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		1,529
		CS First Boston Mortgage Securities Corp.,
	325	Series 2003-29, Class 8A1, 6.000%, 11/25/18		334
	2,998	Series 2004-4, Class 5A4, IF, IO, 7.306%, 08/25/34		418
	1,000	Series 2005-1, Class 1A16, 5.500%, 02/25/35		830
	490	Series 2005-7, Class 5A1, 4.750%, 08/25/20		507
	448	Series 2005-10, Class 10A4, 6.000%, 11/25/35		261
	881	Series 2005-10, Class 6A13, 5.500%, 11/25/35		742
	163	Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35		117
	845	DLJ Mortgage Acceptance Corp., Series 1993-19, Class A7, 6.750%, 01/25/24		857
	691	First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.547%, 09/25/34		625
		First Horizon Asset Securities, Inc.,
	168	Series 2003-8, Class 1A43, PO, 10/25/33		104
	1,175	Series 2004-AR6, Class 2A1, VAR, 2.628%, 12/25/34		1,101
	127	Series 2004-AR7, Class 2A1, VAR, 2.617%, 02/25/35		122

SEE NOTES TO FINANCIAL STATEMENTS.

92 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		GMAC Mortgage Corp. Loan Trust,
	1,672	Series 2003-J10, Class A1, 4.750%, 01/25/19		1,721
	538	Series 2004-J5, Class A7, 6.500%, 01/25/35		564
	325	Series 2005-AR3, Class 3A4, VAR, 3.061%, 06/19/35		277
		GSR Mortgage Loan Trust,
	589	Series 2003-7F, Class 1A4, 5.250%, 06/25/33		584
	1,476	Series 2004-6F, Class 2A4, 5.500%, 05/25/34		1,543
	821	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		874
	720	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		755
	3,280	Series 2005-2F, Class 1A5, 5.500%, 03/25/35		3,327
	542	Series 2005-5F, Class 8A1, VAR, 0.744%, 06/25/35		478
	1,000	Series 2007-2F, Class 2A7, 5.750%, 02/25/37		939
		Impac CMB Trust,
	1,552	Series 2004-10, Class 3A1, VAR, 0.944%, 03/25/35		1,234
	941	Series 2004-10, Class 3A2, VAR, 1.044%, 03/25/35		565
	27	Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33		28
		JP Morgan Mortgage Trust,
	1,960	Series 2004-S1, Class 3A1, 5.500%, 09/25/34		2,030
	1,272	Series 2004-S2, Class 4A5, 6.000%, 11/25/34		1,255
	1,203	Series 2004-S2, Class 5A1, 5.500%, 12/25/19		1,218
	1,631	Series 2006-A2, Class 4A1, VAR, 2.747%, 08/25/34		1,571
	1,226	Series 2006-A2, Class 5A3, VAR, 2.647%, 11/25/33		1,196
	372	Series 2007-A1, Class 5A2, VAR, 2.852%, 07/25/35		341
	810	JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.274%, 08/26/35 (e)		788
		MASTR Adjustable Rate Mortgages Trust,
	422	Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		416
	227	Series 2004-13, Class 3A6, VAR, 2.718%, 11/21/34		228
		MASTR Alternative Loans Trust,
	597	Series 2003-7, Class 4A3, 8.000%, 11/25/18		636
	306	Series 2003-8, Class 3A1, 5.500%, 12/25/33		311
	789	Series 2003-9, Class 5A1, 4.500%, 12/25/18		809
	1,230	Series 2004-6, Class 6A1, 6.500%, 07/25/34		1,288
	179	Series 2004-7, Class 30PO, PO, 08/25/34		138
	94	Series 2004-7, Class 3A1, 6.500%, 08/25/34		97
	819	Series 2004-8, Class 6A1, 5.500%, 09/25/19		832

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Non-Agency CMO — Continued
	1,251	Series 2004-10, Class 1A1, 4.500%, 09/25/19		1,283
	362	Series 2004-11, Class 8A3, 5.500%, 11/25/19		364
	62	Series 2005-1, Class 5A1, 5.500%, 01/25/20		63
		MASTR Asset Securitization Trust,
	65	Series 2003-6, Class 8A1, 5.500%, 07/25/33		67
	430	Series 2003-10, Class 3A1, 5.500%, 11/25/33		449
	167	Series 2003-11, Class 10A1, 5.000%, 12/25/18		172
	293	Series 2003-11, Class 3A1, 4.500%, 12/25/18		300
	104	Series 2004-6, Class 15PO, PO, 05/25/19		86
	757	Series 2004-6, Class 3A1, 5.250%, 07/25/19		776
	382	Series 2004-6, Class 4A1, 5.000%, 07/25/19		395
	151	Series 2004-8, Class PO, PO, 08/25/19		128
	249	Series 2004-10, Class 1A1, 4.500%, 10/25/19		259
	1,498	Series 2004-P7, Class A6, 5.500%, 12/27/33 (e)		1,583
	253	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		197
		MLCC Mortgage Investors, Inc.,
	1,011	Series 2004-C, Class A2, VAR, 1.401%, 07/25/29		938
	790	Series 2004-D, Class A3, VAR, 2.405%, 08/25/29		775
		Morgan Stanley Mortgage Loan Trust,
	1,405	Series 2004-3, Class 4A, VAR, 5.654%, 04/25/34		1,425
	520	Series 2004-7AR, Class 2A6, VAR, 2.640%, 09/25/34		447
	413	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.564%, 02/25/35		329
		Nomura Asset Acceptance Corp.,
	330	Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		324
	1,129	Series 2005-AR1, Class 1A1, VAR, 2.726%, 02/25/35		979
		Paine Webber CMO Trust,
	7	Series H, Class 4, 8.750%, 04/01/18		7
	7	Series L, Class 4, 8.950%, 07/01/18		8
	2,185	PHH Mortgage Capital LLC, Series 2008-CIM2, Class 5A1, 6.000%, 07/25/38		2,292
	732	Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34		777

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 93

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		Residential Accredit Loans, Inc.,
	780	Series 2003-QS14, Class A1, 5.000%, 07/25/18		795
	1,498	Series 2003-QS19, Class NB2, 5.750%, 10/25/33		1,416
	178	Series 2004-QS8, Class A2, 5.000%, 06/25/34		179
	4,000	Series 2005-QS5, Class A4, 5.750%, 04/25/35		2,970
	391	Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36		289
		Residential Funding Mortgage Securities I,
	628	Series 2004-S4, Class 2A7, 4.500%, 04/25/19		635
	508	Series 2005-SA4, Class 1A1, VAR, 2.884%, 09/25/35		361
	4,302	Series 2006-S1, Class 1A8, 5.750%, 01/25/36		3,612
	254	Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18		261
	91	SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e)		93
	1,601	Sequoia Mortgage Trust, Series 2004-8, Class A2, VAR, 1.122%, 09/20/34		1,418
	1,500	Springleaf Mortgage Loan Trust, Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		1,500
		Structured Adjustable Rate Mortgage Loan Trust,
	636	Series 2004-14, Class 1A, VAR, 2.579%, 10/25/34		500
	572	Series 2005-5, Class A1, VAR, 0.474%, 05/25/35		516
	266	Series 2005-5, Class A2, VAR, 0.474%, 05/25/35		241
		Structured Asset Securities Corp.,
	28	Series 2003-21, Class 1A3, 5.500%, 07/25/33		28
	4,361	Series 2003-26A, Class 3A5, VAR, 2.684%, 09/25/33		3,882
	931	Series 2003-31A, Class B1, VAR, 2.512%, 10/25/33		377
	672	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		680
	562	Series 2003-37A, Class 2A, VAR, 5.028%, 12/25/33		564
	511	Series 2004-7, Class 2A1, VAR, 5.439%, 05/25/24		530

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Non-Agency CMO — Continued
	1,108	Series 2005-5, Class 2A1, 5.500%, 04/25/35		1,107
		Vericrest Opportunity Loan Transferee,
	743	Series 2011-NL1A, Class A1, VAR, 5.926%, 12/26/50 (e) (f) (i)		748
	233	Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e)		234
	279	Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e)		280
		WaMu Mortgage Pass-Through Certificates,
	307	Series 2002-S4, Class A4, 6.500%, 10/19/29		321
	294	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		302
	832	Series 2003-AR8, Class A, VAR, 2.486%, 08/25/33		831
	602	Series 2003-AR9, Class 1A6, VAR, 2.461%, 09/25/33		597
	129	Series 2003-S4, Class 3A, 5.500%, 06/25/33		135
	261	Series 2004-AR3, Class A1, VAR, 2.549%, 06/25/34		257
	2,410	Series 2004-AR3, Class A2, VAR, 2.549%, 06/25/34		2,373
	603	Series 2004-CB2, Class 7A, 5.500%, 08/25/19		630
	578	Series 2004-CB3, Class 4A, 6.000%, 10/25/19		600
	1,874	Series 2004-S2, Class 2A4, 5.500%, 06/25/34		1,921
	182	Series 2005-AR2, Class 2A21, VAR, 0.574%, 01/25/45		143
	1,732	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35		1,475
	1,728	Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.000%, 03/25/34		1,843
	1,298	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		1,298
		Wells Fargo Mortgage-Backed Securities Trust,
	351	Series 2003-8, Class A9, 4.500%, 08/25/18		365
	107	Series 2003-10, Class A1, 4.500%, 09/25/18		110
	30	Series 2003-11, Class 1A4, 4.750%, 10/25/18		30
	457	Series 2003-12, Class A2, 4.500%, 11/25/18		470
	897	Series 2003-15, Class 1A1, 4.750%, 12/25/18		927
	388	Series 2003-17, Class 2A9, PO, 01/25/34		307
	290	Series 2003-18, Class A1, 5.500%, 12/25/33		303
	547	Series 2003-F, Class A1, VAR, 4.868%, 06/25/33		549
	149	Series 2003-J, Class 2A5, VAR, 4.421%, 10/25/33		150

SEE NOTES TO FINANCIAL STATEMENTS.

94 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	650	Series 2003-M, Class A1, VAR, 4.692%, 12/25/33		659
	419	Series 2004-B, Class A1, VAR, 4.914%, 02/25/34		428
	320	Series 2004-DD, Class 2A8, VAR, 2.619%, 01/25/35		224
	399	Series 2004-EE, Class 3A1, VAR, 2.749%, 12/25/34		398
	550	Series 2004-EE, Class 3A2, VAR, 2.749%, 12/25/34		552
	1,221	Series 2004-K, Class 1A2, VAR, 2.733%, 07/25/34		1,205
	119	Series 2004-Q, Class 1A3, VAR, 2.636%, 09/25/34		117
	401	Series 2004-Q, Class 2A2, VAR, 2.649%, 09/25/34		361
	481	Series 2004-U, Class A1, VAR, 2.716%, 10/25/34		474
	414	Series 2005-1, Class 1A1, 4.750%, 01/25/20		424
	968	Series 2005-1, Class B1, VAR, 4.923%, 01/25/20		920
	2,175	Series 2005-9, Class 2A10, 5.250%, 10/25/35		1,865
	563	Series 2005-13, Class A1, 5.000%, 11/25/20		591
	91	Series 2005-AR13, Class A1, VAR, 5.242%, 05/25/35		90
	476	Series 2006-5, Class 1A2, 5.250%, 04/25/36		475
				160,667
		Total Collateralized Mortgage Obligations (Cost $440,184)		466,112
	Commercial Mortgage-Backed Securities — 3.9%
		Banc of America Large Loan, Inc.,
	500	Series 2009-UB1, Class A4A, VAR, 5.604%, 06/24/50 (e)		558
	3,184	Series 2010-HLTN, Class HLTN, VAR, 1.999%, 11/15/15 (e)		2,972
		Banc of America Commercial Mortgage, Inc.,
	1,730	Series 2005-1, Class AJ, VAR, 5.194%, 11/10/42		1,760
	1,050	Series 2005-3, Class A4, 4.668%, 07/10/43		1,154
	2,435	Series 2005-3, Class AM, 4.727%, 07/10/43		2,575
	1,050	Series 2005-5, Class A4, VAR, 5.115%, 10/10/45		1,171
	1,573	Series 2005-6, Class ASB, VAR, 5.193%, 09/10/47		1,654
	485	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		544

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	3,010	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		3,389
	1,005	Series 2006-4, Class A4, 5.634%, 07/10/46		1,140
	2,056	Series 2006-5, Class A4, 5.414%, 09/10/47		2,299
		Bear Stearns Commercial Mortgage Securities,
	1,655	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		1,783
	354	Series 2004-T14, Class A3, 4.800%, 01/12/41		358
	640	Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41		701
	2,570	Series 2006-PW11, Class A4, VAR, 5.459%, 03/11/39		2,907
	75	Series 2006-PW12, Class A4, VAR, 5.719%, 09/11/38		86
	250	Series 2006-T24, Class A4, 5.537%, 10/12/41		284
	1,973	Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		2,091
		Citigroup/Deutsche Bank Commercial Mortgage Trust,
	1,500	Series 2005-CD1, Class AM, VAR, 5.226%, 07/15/44		1,629
	99,643	Series 2007-CD4, Class XC, IO, VAR, 0.188%, 12/11/49 (e)		869
		Credit Suisse Mortgage Capital Certificates,
	1,500	Series 2006-C2, Class A3, VAR, 5.663%, 03/15/39		1,653
	142,694	Series 2007-C2, Class AX, IO, VAR, 0.101%, 01/15/49 (e)		747
	2,321	CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37		2,474
	2,180	CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48		2,410
	2,505	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		2,584
		GMAC Commercial Mortgage Securities, Inc.,
	45	Series 2003-C1, Class A1, 3.337%, 05/10/36		45
	645	Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		709
	2,330	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		2,424
		GS Mortgage Securities Corp. II,
	2,150	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		2,322
	465	Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		518

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 95

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Commercial Mortgage-Backed Securities — Continued
	793	Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		800
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	2,500	Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		2,577
	201,457	Series 2005-CB11, Class X1, IO, VAR, 0.071%, 08/12/37 (e)		858
	2,000	Series 2005-CB13, Class A4, VAR, 5.278%, 01/12/43		2,194
	200	Series 2005-LDP2, Class AM, 4.780%, 07/15/42		213
	295,031	Series 2005-LDP5, Class X1, IO, VAR, 0.084%, 12/15/44 (e)		900
	1,000	Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44		1,111
	91,708	Series 2006-CB15, Class X1, IO, VAR, 0.076%, 06/12/43		628
	2,060	Series 2006-CB16, Class A4, 5.552%, 05/12/45		2,310
	285	Series 2006-CB17, Class A4, 5.429%, 12/12/43		314
	620	Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43		694
	160	Series 2006-LDP7, Class A4, VAR, 5.871%, 04/15/45		183
	26,146	Series 2006-LDP8, Class X, IO, VAR, 0.554%, 05/15/45		542
		LB-UBS Commercial Mortgage Trust,
	1,212	Series 2004-C2, Class A4, 4.367%, 03/15/36		1,274
	405	Series 2006-C1, Class A4, 5.156%, 02/15/31		452
	1,060	Series 2006-C4, Class A4, VAR, 5.874%, 06/15/38		1,216
	560	Series 2006-C6, Class A4, 5.372%, 09/15/39		634
		Merrill Lynch Mortgage Trust,
	602	Series 2005-CKI1, Class A6, VAR, 5.220%, 11/12/37		675
	1,425	Series 2005-CKI1, Class AM, VAR, 5.220%, 11/12/37		1,518
	1,750	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		1,958
	1,750	Series 2005-LC1, Class AJ, VAR, 5.327%, 01/12/44		1,731
	2,000	Series 2005-LC1, Class AM, VAR, 5.268%, 01/12/44		2,154
	1,755	Series 2006-C1, Class A4, VAR, 5.661%, 05/12/39		1,997
		Merrill Lynch/Countrywide Commercial Mortgage Trust,
	1,725	Series 2006-1, Class A4, VAR, 5.429%, 02/12/39		1,930

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	250	Series 2006-4, Class A3, VAR, 5.172%, 12/12/49		276
		Morgan Stanley Capital I,
	645	Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52		718
	1,575	Series 2006-T23, Class AM, VAR, 5.812%, 08/12/41		1,728
	96,990	Series 2007-HQ11, Class X, IO, VAR, 0.230%, 02/12/44 (e)		724
	699	Series 2011-C3, Class A3, 4.054%, 07/15/49		752
	785	Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35		807
	3,000	Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		3,190
	1,290	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.707%, 08/15/39		1,395
		Wachovia Bank Commercial Mortgage Trust,
	932	Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		1,005
	193	Series 2005-C16, Class AJ, VAR, 4.896%, 10/15/41		209
	170	Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42		186
	250	Series 2006-C25, Class A4, VAR, 5.736%, 05/15/43		283
	2,500	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		2,722
		Total Commercial Mortgage-Backed Securities (Cost $82,578)		88,668
	Convertible Bonds — 0.0% (g)
		Consumer Discretionary — 0.0% (g)
		Diversified Consumer Services — 0.0% (g)
	165	Stewart Enterprises, Inc., 3.125%, 07/15/14		162
		Materials — 0.0% (g)
		Construction Materials — 0.0% (g)
	665	U.S. Concrete, Inc., 9.500%, 08/31/15 (e)		647
		Total Convertible Bonds (Cost $786)		809
	Corporate Bonds — 37.3%
		Consumer Discretionary — 5.0%
		Auto Components — 0.1%
	47	Dana Holding Corp., 6.750%, 02/15/21		51
	890	Johnson Controls, Inc., 5.700%, 03/01/41		1,010
	800	Lear Corp., 8.125%, 03/15/20		902
				1,963

SEE NOTES TO FINANCIAL STATEMENTS.

96 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Automobiles — 0.1%
	320	Daimler Finance North America LLC, 8.500%, 01/18/31		475
		Ford Motor Co.,
	220	7.450%, 07/16/31		283
	400	9.215%, 09/15/21		484
		Motors Liquidation Co.,
	120	5.250%, 03/06/32 (f) (i)		30
	385	6.250%, 07/15/33 (f) (i)		96
	21	7.250%, 04/15/41 (f) (i)		5
	1	7.250%, 07/15/41 (f) (i)		—	(h)
	42	7.250%, 02/15/52 (f) (i)		11
	55	7.375%, 05/15/48 (f) (i)		14
	1	7.375%, 10/01/51 (f) (i)		—	(h)
	2,500	7.700%, 04/15/16 (d) (f) (i)		25
	226	Navistar International Corp., 8.250%, 11/01/21		247
				1,670
		Broadcasting & Cable TV — 0.9%
	2,004	Adelphia Communications Corp., 9.375%, 11/15/09 (d)		12
		Cablevision Systems Corp.,
	500	7.750%, 04/15/18		545
	80	8.000%, 04/15/20		90
		CCO Holdings LLC/CCO Holdings Capital Corp.,
	1,210	6.500%, 04/30/21		1,286
	653	6.625%, 01/31/22		697
	1,500	7.000%, 01/15/19		1,620
	480	7.250%, 10/30/17		521
	725	7.375%, 06/01/20		797
	330	8.125%, 04/30/20		370
	1,080	Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e)		1,158
		CSC Holdings LLC,
	900	7.625%, 07/15/18		1,017
	139	7.875%, 02/15/18		157
	625	8.625%, 02/15/19		738
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	530	5.000%, 03/01/21		589
	580	6.000%, 08/15/40		665
		DISH DBS Corp.,
	1,310	6.750%, 06/01/21		1,454
	80	7.125%, 02/01/16		88
	1,175	7.875%, 09/01/19		1,381

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Broadcasting & Cable TV — Continued
		Mediacom LLC/Mediacom Capital Corp.,
	160	7.250%, 02/15/22 (e)		162
	872	9.125%, 08/15/19		953
	1,750	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e)		1,899
	340	UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e)		350
	400	UPCB Finance V Ltd., (Cayman Islands), 7.250%, 11/15/21 (e)		421
	160	UPCB Finance VI Ltd., (Cayman Islands), 6.875%, 01/15/22 (e)		165
	300	Videotron Ltee, (Canada), 5.000%, 07/15/22 (e)		300
		Virgin Media Finance plc, (United Kingdom),
	605	5.250%, 02/15/22		617
	500	8.375%, 10/15/19		567
	1,000	Virgin Media Secured Finance plc, (United Kingdom), 5.250%, 01/15/21		1,095
				19,714
		Diversified Consumer Services — 0.2%
	750	Knowledge Learning Corp., 7.750%, 02/01/15 (e)		630
	334	Mac-Gray Corp., 7.625%, 08/15/15		343
		Service Corp. International,
	495	7.000%, 06/15/17		554
	700	7.000%, 05/15/19		774
	2,073	7.625%, 10/01/18		2,412
	615	Stewart Enterprises, Inc., 6.500%, 04/15/19		646
				5,359
		Gaming — 0.7%
	2,502	Chukchansi Economic Development Authority, 8.000%, 11/15/13 (e)		1,726
		CityCenter Holdings LLC/CityCenter Finance Corp.,
	350	7.625%, 01/15/16		369
	2,791	PIK, 11.500%, 01/15/17		3,018
	961	MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18		1,074
		MGM Resorts International,
	1,000	6.875%, 04/01/16		1,000
	1,650	9.000%, 03/15/20		1,844
	825	11.375%, 03/01/18		973
	875	Peninsula Gaming LLC/Peninsula Gaming Corp., 8.375%, 08/15/15		930

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 97

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Gaming — Continued
	870	Pinnacle Entertainment, Inc., 8.625%, 08/01/17		946
	500	Seminole Hard Rock Entertainment, Inc., VAR, 3.046%, 03/15/14 (e)		477
	700	Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e)		760
	775	Seneca Gaming Corp., 8.250%, 12/01/18 (e)		794
	2,000	Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e)		1,370
	1,000	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.875%, 05/01/20		1,120
	400	Yonkers Racing Corp., 11.375%, 07/15/16 (e)		434
				16,835
		Hotels, Restaurants & Leisure — 0.5%
	713	Cinemark USA, Inc., 8.625%, 06/15/19		793
		Host Hotels & Resorts LP,
	2,625	6.000%, 11/01/20		2,852
	250	6.000%, 10/01/21 (e)		272
	750	6.875%, 11/01/14		765
	25	Landry’s Holdings, Inc., 11.500%, 06/01/14 (e)		25
	3,675	MGM Resorts International, 10.000%, 11/01/16		4,052
	500	Real Mex Restaurants, Inc., 14.000%, 01/01/13 (d) (f) (i)		225
	308	Royal Caribbean Cruises Ltd., (Liberia), 11.875%, 07/15/15		375
	1,900	Speedway Motorsports, Inc., 6.750%, 02/01/19		1,981
	910	Vail Resorts, Inc., 6.500%, 05/01/19		946
				12,286
		Household Durables — 0.4%
	175	American Standard Americas, 10.750%, 01/15/16 (e)		122
		D.R. Horton, Inc.,
	1,770	5.625%, 01/15/16		1,859
	1,080	6.500%, 04/15/16		1,166
	249	K Hovnanian Enterprises, Inc., 10.625%, 10/15/16		232
		KB Home,
	1,000	5.750%, 02/01/14		1,009
	615	5.875%, 01/15/15		612
	875	Lennar Corp., 6.950%, 06/01/18		927
	375	MDC Holdings, Inc., 5.625%, 02/01/20		370
	420	Newell Rubbermaid, Inc., 4.700%, 08/15/20		456
	400	PulteGroup, Inc., 7.625%, 10/15/17		424

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Household Durables — Continued
		Standard Pacific Corp.,
	1,050	8.375%, 05/15/18		1,123
	165	10.750%, 09/15/16		190
				8,490
		Leisure Equipment & Products — 0.0% (g)
	125	FGI Holding Co., Inc., PIK, 13.000%, 10/01/15		127
		Media — 1.4%
	500	Belo Corp., 8.000%, 11/15/16		557
		CBS Corp.,
	200	7.875%, 07/30/30		266
	160	8.875%, 05/15/19		214
	1,500	Clear Channel Communications, Inc., 9.000%, 03/01/21		1,380
		Clear Channel Worldwide Holdings, Inc.,
	360	9.250%, 12/15/17		394
	650	9.250%, 12/15/17		715
	240	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		355
		Comcast Corp.,
	850	5.900%, 03/15/16		988
	240	6.300%, 11/15/17		293
		Gannett Co., Inc.,
	270	6.375%, 09/01/15		286
	750	7.125%, 09/01/18		782
	500	8.750%, 11/15/14		562
	245	9.375%, 11/15/17		277
	1,000	Historic TW, Inc., 9.150%, 02/01/23		1,389
		Hughes Satellite Systems Corp.,
	500	6.500%, 06/15/19		530
	150	7.625%, 06/15/21		163
		Intelsat Jackson Holdings S.A., (Luxembourg),
	300	7.250%, 04/01/19		315
	700	7.250%, 10/15/20		737
	500	7.500%, 04/01/21		529
	475	8.500%, 11/01/19		521
		Lamar Media Corp.,
	150	5.875%, 02/01/22 (e)		156
	750	6.625%, 08/15/15		767
	700	NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e)		770
	810	NBCUniversal Media LLC, 5.950%, 04/01/41		984
		News America, Inc.,
	600	6.750%, 01/09/38		680
	800	7.750%, 01/20/24		980

SEE NOTES TO FINANCIAL STATEMENTS.

98 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Media — Continued
	200	7.850%, 03/01/39		253
	147	8.875%, 04/26/23		190
	900	Nielsen Finance LLC/Nielsen Finance Co., 7.750%, 10/15/18		1,001
	2,045	Radio One, Inc., PIK, 15.000%, 05/24/16		1,472
	525	Regal Cinemas Corp., 8.625%, 07/15/19		573
	865	Sinclair Television Group, Inc., 9.250%, 11/01/17 (e)		967
		Thomson Reuters Corp., (Canada),
	1,960	3.950%, 09/30/21		2,074
	280	4.700%, 10/15/19		309
	410	5.950%, 07/15/13		434
	200	6.500%, 07/15/18		247
	335	Time Warner Cable, Inc., 7.300%, 07/01/38		430
		Time Warner Entertainment Co. LP,
	415	8.375%, 03/15/23		568
	1,445	8.375%, 07/15/33		1,895
	750	10.150%, 05/01/12		760
	182	Time Warner, Inc., 5.375%, 10/15/41		202
		Univision Communications, Inc.,
	735	6.875%, 05/15/19 (e)		750
	1,000	7.875%, 11/01/20 (e)		1,065
	925	Valassis Communications, Inc., 6.625%, 02/01/21		948
	50	Viacom, Inc., 6.875%, 04/30/36		65
		Walt Disney Co. (The),
	500	0.875%, 12/01/14		502
	500	5.875%, 12/15/17		602
		WMG Acquisition Corp.,
	903	9.500%, 06/15/16		998
	60	11.500%, 10/01/18 (e)		64
				31,959
		Multiline Retail — 0.2%
	2,050	HSN, Inc., 11.250%, 08/01/16		2,248
	200	Kohl’s Corp., 4.000%, 11/01/21		209
		QVC, Inc.,
	75	7.125%, 04/15/17 (e)		81
	75	7.375%, 10/15/20 (e)		83
	2,050	7.500%, 10/01/19 (e)		2,275
	310	Target Corp., 7.000%, 01/15/38		441
				5,337
		Specialty Retail — 0.5%
	3,170	ACE Hardware Corp., 9.125%, 06/01/16 (e)		3,356
	220	AutoNation, Inc., 5.500%, 02/01/20		228

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Specialty Retail — Continued
		Limited Brands, Inc.,
	400	5.625%, 02/15/22		412
	1,600	8.500%, 06/15/19		1,912
		Lowe’s Cos., Inc.,
	116	5.125%, 11/15/41		133
	951	7.110%, 05/15/37		1,273
	1,950	NBC Acquisition Corp., 11.000%, 03/15/13 (d)		20
		Nebraska Book Co., Inc.,
	1,039	8.625%, 03/15/12 (d)		121
	102	10.000%, 12/1/11		74
	200	Staples, Inc., 9.750%, 01/15/14		229
	1,000	Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e)		1,027
	1,750	Toys R Us Property Co. II LLC, 8.500%, 12/01/17		1,851
				10,636
		Total Consumer Discretionary		114,376
		Consumer Staples — 1.8%
		Beverages — 0.5%
		Anheuser-Busch Cos. LLC,
	325	5.500%, 01/15/18		384
	550	5.750%, 04/01/36		670
	280	7.550%, 10/01/30		376
		Anheuser-Busch InBev Worldwide, Inc.,
	160	6.875%, 11/15/19		207
	275	7.750%, 01/15/19		362
		Constellation Brands, Inc.,
	1,340	7.250%, 09/01/16		1,514
	1,000	7.250%, 05/15/17		1,129
		Diageo Finance B.V., (Netherlands),
	575	5.300%, 10/28/15		659
	325	5.500%, 04/01/13		342
	1,000	Diageo Investment Corp., 7.450%, 04/15/35		1,371
		PepsiCo, Inc.,
	572	3.000%, 08/25/21		590
	800	3.750%, 03/01/14		851
	70	7.900%, 11/01/18		95
	1,290	Pernod-Ricard S.A., (France), 5.750%, 04/07/21 (e)		1,466
	1,235	SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e)		1,309
				11,325

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 99

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Food & Staples Retailing — 0.8%
		CVS Caremark Corp.,
	225	5.750%, 06/01/17		269
	555	6.125%, 09/15/39		693
	1,610	Ingles Markets, Inc., 8.875%, 05/15/17		1,767
		Kroger Co. (The),
	215	6.400%, 08/15/17		261
	712	7.500%, 04/01/31		926
	300	7.700%, 06/01/29		389
		Rite Aid Corp.,
	64	7.500%, 03/01/17		65
	1,500	8.000%, 08/15/20		1,710
	6,000	9.500%, 06/15/17		6,090
		SUPERVALU, Inc.,
	135	7.500%, 11/15/14		138
	2,000	8.000%, 05/01/16		2,077
		Wal-Mart Stores, Inc.,
	1,500	3.625%, 07/08/20		1,641
	160	5.250%, 09/01/35		189
	1,000	6.200%, 04/15/38		1,319
	260	7.550%, 02/15/30		382
				17,916
		Food Products — 0.4%
	380	Bumble Bee Acquisition Corp., 9.000%, 12/15/17 (e)		399
		Bunge Ltd. Finance Corp.,
	370	5.875%, 05/15/13		387
	655	8.500%, 06/15/19		810
	148	Bunge N.A. Finance LP, 5.900%, 04/01/17		162
		Cargill, Inc.,
	350	1.900%, 03/01/17 (e)		351
	800	3.300%, 03/01/22 (e)		805
	200	6.000%, 11/27/17 (e)		237
	1,000	7.350%, 03/06/19 (e)		1,257
	135	ConAgra Foods, Inc., 7.000%, 04/15/19		161
	178	Eurofresh, Inc., 15.000%, 11/18/16 (f) (i)		92
		JBS USA LLC/JBS USA Finance, Inc.,
	135	7.250%, 06/01/21 (e)		132
	746	8.250%, 02/01/20 (e)		770
	917	11.625%, 05/01/14		1,063
		Kraft Foods, Inc.,
	810	6.125%, 02/01/18		971
	335	6.500%, 08/11/17		407
	575	6.875%, 02/01/38		763
	650	Smithfield Foods, Inc., 7.750%, 07/01/17		743
				9,510

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Household Products — 0.1%
	1,000	Kimberly-Clark Corp., 6.125%, 08/01/17		1,220
	757	Procter & Gamble — ESOP, 9.360%, 01/01/21		1,018
	567	Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19		623
				2,861
		Tobacco — 0.0% (g)
	250	Alliance One International, Inc., 10.000%, 07/15/16		251
		Total Consumer Staples		41,863
		Energy — 3.6%
		Energy Equipment & Services — 0.4%
	720	Baker Hughes, Inc., 5.125%, 09/15/40		857
	860	Cie Generale de Geophysique — Veritas, (France), 6.500%, 06/01/21		881
	70	Diamond Offshore Drilling, Inc., 5.875%, 05/01/19		82
		Halliburton Co.,
	250	7.450%, 09/15/39		367
	275	7.600%, 08/15/96 (e)		380
	700	8.750%, 02/15/21		975
	445	Key Energy Services, Inc., 6.750%, 03/01/21		466
	98	Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22		101
	850	Oil States International, Inc., 6.500%, 06/01/19		914
	450	Petroleum Geo-Services ASA, (Norway), 7.375%, 12/15/18 (e)		472
	550	PHI, Inc., 8.625%, 10/15/18		564
		Precision Drilling Corp., (Canada),
	210	6.500%, 12/15/21 (e)		224
	360	6.625%, 11/15/20		386
	219	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		226
	700	Seadrill Ltd., (Bermuda), 6.500%, 10/05/15		695
	2,110	Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20		2,461
	280	Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e)		299
				10,350
		Oil, Gas & Consumable Fuels — 3.2%
	175	Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31		211
		Alpha Natural Resources, Inc.,
	275	6.000%, 06/01/19		268
	475	6.250%, 06/01/21		461

SEE NOTES TO FINANCIAL STATEMENTS.

100 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		AmeriGas Finance LLC/AmeriGas Finance Corp.,
	315	6.750%, 05/20/20		324
	405	7.000%, 05/20/22		416
		AmeriGas Partners LP/AmeriGas Finance Corp.,
	1,315	6.250%, 08/20/19		1,328
	1,360	6.500%, 05/20/21		1,374
	278	Anadarko Holding Co., 7.150%, 05/15/28		327
		Anadarko Petroleum Corp.,
	350	6.950%, 06/15/19		431
	125	7.625%, 03/15/14		139
	100	7.950%, 06/15/39		138
	225	8.700%, 03/15/19		299
	775	Apache Corp., 6.900%, 09/15/18		984
		Arch Coal, Inc.,
	1,250	7.000%, 06/15/19 (e)		1,250
	190	7.250%, 10/01/20		189
	500	7.250%, 06/15/21 (e)		499
	1,075	Bill Barrett Corp., 9.875%, 07/15/16		1,188
		BP Capital Markets plc, (United Kingdom),
	1,835	3.875%, 03/10/15		1,990
	515	4.750%, 03/10/19		587
	325	5.250%, 11/07/13		349
	330	Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38		425
		Chesapeake Energy Corp.,
	520	6.500%, 08/15/17		546
	800	6.775%, 03/15/19		804
	285	6.875%, 08/15/18		297
	250	9.500%, 02/15/15		288
	500	Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 (e)		510
	450	Citgo Petroleum Corp., 11.500%, 07/01/17 (e)		504
		Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp.,
	450	8.250%, 12/15/17		480
	500	8.500%, 12/15/19		544
		Comstock Resources, Inc.,
	400	7.750%, 04/01/19		370
	1,000	8.375%, 10/15/17		972
		Concho Resources, Inc.,
	545	6.500%, 01/15/22		605
	1,460	7.000%, 01/15/21		1,642
	425	Conoco Funding Co., (Canada), 7.250%, 10/15/31		594

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Oil, Gas & Consumable Fuels — Continued
		ConocoPhillips,
	275	5.750%, 02/01/19		338
	750	6.500%, 02/01/39		1,060
	410	7.000%, 03/30/29		527
	300	ConocoPhillips Holding Co., 6.950%, 04/15/29		410
		Consol Energy, Inc.,
	750	8.000%, 04/01/17		816
	750	8.250%, 04/01/20		817
	160	Continental Resources, Inc., 7.125%, 04/01/21		178
	480	Copano Energy LLC/Copano Energy Finance Corp., 7.125%, 04/01/21		509
	454	Denbury Resources, Inc., 8.250%, 02/15/20		518
	270	Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31		388
		El Paso Corp.,
	1,900	6.875%, 06/15/14		2,056
	150	7.000%, 06/15/17		168
	150	El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20		167
		Encana Corp., (Canada),
	150	6.500%, 05/15/19		178
	215	6.625%, 08/15/37		252
	157	Energy Transfer Partners LP, 5.200%, 02/01/22		169
	1,210	ENI S.p.A., (Italy), 5.700%, 10/01/40 (e)		1,290
		EOG Resources, Inc.,
	1,700	4.100%, 02/01/21		1,879
	200	6.875%, 10/01/18		250
	300	Ferrellgas LP/Ferrellgas Finance Corp., 6.500%, 05/01/21		265
	500	Forest Oil Corp., 7.250%, 06/15/19		504
	1,000	Frontier Oil Corp., 8.500%, 09/15/16		1,070
		Hilcorp Energy I LP/Hilcorp Finance Co.,
	220	7.625%, 04/15/21 (e)		240
	1,370	8.000%, 02/15/20 (e)		1,507
		Holly Energy Partners LP/Holly Energy Finance Corp.,
	675	6.250%, 03/01/15		675
	337	6.500%, 03/01/20 (e)		344
	150	8.250%, 03/15/18		159
	650	HollyFrontier Corp., 9.875%, 06/15/17		726
	550	Inergy LP/Inergy Finance Corp., 7.000%, 10/01/18		542

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 101

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		KazMunayGas National Co., (Kazakhstan),
	545	6.375%, 04/09/21 (e)		598
	200	Reg. S., 6.375%, 04/09/21		219
	610	Reg. S., 7.000%, 05/05/20		700
	220	Reg. S., 8.375%, 07/02/13		235
	410	Marathon Oil Corp., 6.000%, 10/01/17		484
		MarkWest Energy Partners LP/MarkWest Energy Finance Corp.,
	500	6.250% 06/15/22		536
	415	6.750% 11/01/20		453
		Newfield Exploration Co.,
	625	5.750%, 01/30/22		676
	750	6.875%, 02/01/20		810
	890	7.125%, 05/15/18		948
	862	PBF Holding Co. LLC/PBF Finance Corp., 8.250%, 02/15/20 (e)		862
		Peabody Energy Corp.,
	775	6.000%, 11/15/18 (e)		812
	675	6.250%, 11/15/21 (e)		707
		Pemex Project Funding Master Trust,
	78	5.750%, 03/01/18		87
	97	6.625%, 06/15/35		111
	210	Penn Virginia Corp., 7.250%, 04/15/19		192
		Pertamina Persero PT, (Indonesia),
	200	5.250%, 05/23/21 (e)		213
	200	6.500%, 05/27/41 (e)		221
		Petro-Canada, (Canada),
	400	6.800%, 05/15/38		539
	335	7.875%, 06/15/26		452
	610	Petrohawk Energy Corp., 6.250%, 06/01/19		689
		Petroleos de Venezuela S.A., (Venezuela),
	274	4.900%, 10/28/14		241
	260	5.000%, 10/28/15		216
	101	5.375%, 04/12/27		63
	139	8.500%, 11/02/17 (e)		126
		Petroleos Mexicanos, (Mexico),
	370	4.875%, 01/24/22 (e)		388
	55	5.500%, 01/21/21		60
	100	6.500%, 06/02/41 (e)		113
	MXN 1,840	7.650%, 11/24/21 (e)		145
	125	Petronas Capital Ltd., (Malaysia), Reg. S., 5.250%, 08/12/19		141
		Pioneer Natural Resources Co.,
	5	5.875%, 07/15/16		6
	150	6.650%, 03/15/17		173
	1,075	7.500%, 01/15/20		1,328

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Oil, Gas & Consumable Fuels — Continued
	150	Plains Exploration & Production Co., 7.625%, 04/01/20		166
		QEP Resources, Inc.,
	475	5.375%, 10/01/22		480
	1,315	6.875%, 03/01/21		1,453
		Range Resources Corp.,
	456	5.000%, 08/15/22		461
	375	5.750%, 06/01/21		401
	45	6.750%, 08/01/20		49
	25	7.250%, 05/01/18		27
	770	Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21		837
	740	Samson Investment Co., 9.750%, 02/15/20 (e)		779
		Shell International Finance B.V., (Netherlands),
	1,030	1.875%, 03/25/13		1,047
	679	3.100%, 06/28/15		731
	500	4.300%, 09/22/19		577
		SM Energy Co.,
	350	6.500%, 11/15/21 (e)		378
	1,790	6.625%, 02/15/19		1,920
	375	Southern Star Central Corp., 6.750%, 03/01/16		381
		Statoil ASA, (Norway),
	417	3.150%, 01/23/22		433
	435	7.150%, 11/15/25		591
	815	Suncor Energy, Inc., (Canada), 6.850%, 06/01/39		1,106
	1,000	Swift Energy Co., 7.125%, 06/01/17		1,027
	120	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		150
		Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
	400	6.375%, 08/01/22 (e)		421
	400	6.875%, 02/01/21		427
	295	7.875%, 10/15/18		323
	640	Tosco Corp., 8.125%, 02/15/30		925
	1,900	Total Capital S.A., (France), 2.300%, 03/15/16		1,981
	165	Unit Corp., 6.625%, 05/15/21		169
	1,282	Western Refining, Inc., 11.250%, 06/15/17 (e)		1,458
		WPX Energy, Inc.,
	475	5.250%, 01/15/17 (e)		485
	475	6.000%, 01/15/22 (e)		490
				72,552
		Total Energy		82,902

SEE NOTES TO FINANCIAL STATEMENTS.

102 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Financials — 11.7%
		Capital Markets — 1.6%
		Bank of New York Mellon Corp. (The),
	1,033	2.400%, 01/17/17		1,061
	440	2.500%, 01/15/16		453
	525	2.950%, 06/18/15		554
	530	4.600%, 01/15/20		591
	978	BlackRock, Inc., 5.000%, 12/10/19		1,117
	1,000	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		1,010
	750	Charles Schwab Corp. (The), 4.950%, 06/01/14		817
	1,000	FMR LLC, 4.750%, 03/01/13 (e)		1,026
		Goldman Sachs Group, Inc. (The),
	920	3.625%, 02/07/16		923
	326	3.700%, 08/01/15		333
	2,780	5.250%, 10/15/13		2,911
	1,191	5.250%, 07/27/21		1,193
	819	5.375%, 03/15/20		839
	450	5.750%, 10/01/16		485
	2,100	5.950%, 01/18/18		2,270
	102	6.000%, 06/15/20		108
	115	6.250%, 09/01/17		126
	965	6.750%, 10/01/37		967
	205	7.500%, 02/15/19		233
		Jefferies Group, Inc.,
	950	6.250%, 01/15/36		834
	140	6.450%, 06/08/27		131
	880	8.500%, 07/15/19		946
		Lehman Brothers Holdings, Inc.,
	235	3.600%, 03/13/09 (d)		64
	1,000	5.750%, 05/17/13 (d)		271
	950	6.500%, 07/19/17 (d)		—	(h)
	750	6.875%, 07/17/37 (d)		—	(h)
	295	8.500%, 08/01/15 (d)		80
		Macquarie Group Ltd., (Australia),
	639	6.250%, 01/14/21 (e)		638
	2,125	7.300%, 08/01/14 (e)		2,239
		Merrill Lynch & Co., Inc.,
	500	6.400%, 08/28/17		527
	1,710	6.875%, 04/25/18		1,861
		Morgan Stanley,
	198	4.000%, 07/24/15		198
	505	4.200%, 11/20/14		507
	1,690	5.300%, 03/01/13		1,740
	243	5.500%, 07/24/20		239

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Capital Markets — Continued
	310	5.625%, 09/23/19		310
	920	5.750%, 01/25/21		912
	150	6.000%, 05/13/14		157
	1,315	6.000%, 04/28/15		1,385
	320	6.250%, 08/28/17		336
	1,250	6.625%, 04/01/18		1,325
		Nomura Holdings, Inc., (Japan),
	200	5.000%, 03/04/15		210
	407	6.700%, 03/04/20		441
	740	Northern Trust Co. (The), 5.850%, 11/09/17		865
	113	Northern Trust Corp., 5.500%, 08/15/13		120
	200	State Street Corp., 4.300%, 05/30/14		214
		UBS AG, (Switzerland),
	305	2.250%, 08/12/13		306
	650	3.875%, 01/15/15		674
	900	5.750%, 04/25/18		994
	450	5.875%, 12/20/17		499
				36,040
		Commercial Banks — 3.3%
	705	ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e)		713
	544	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		548
	190	Banco del Estado de Chile, (Chile), Reg. S., 4.125%, 10/07/20		196
	1,037	Bank of Montreal, (Canada), 1.300%, 10/31/14 (e)		1,048
		Bank of Nova Scotia, (Canada),
	1,082	1.650%, 10/29/15 (e)		1,102
	614	3.400%, 01/22/15		653
	679	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e)		721
		Barclays Bank plc, (United Kingdom),
	1,615	2.500%, 01/23/13		1,629
	1,280	5.125%, 01/08/20		1,353
	980	6.050%, 12/04/17 (e)		998
	305	6.750%, 05/22/19		350
		BB&T Corp.,
	225	3.375%, 09/25/13		234
	275	3.850%, 07/27/12		279
	1,250	3.950%, 04/29/16		1,357
	500	4.900%, 06/30/17		547
	150	6.850%, 04/30/19		184
	1,750	Branch Banking & Trust Co., 4.875%, 01/15/13		1,808

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 103

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Commercial Banks — Continued
	2,250	Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e)		2,363
	1,225	Capital One Capital V, 10.250%, 08/15/39		1,277
	500	Capital One Capital VI, 8.875%, 05/15/40		517
		Capital One Financial Corp.,
	485	6.750%, 09/15/17		564
	1,190	7.375%, 05/23/14		1,324
	1,045	Comerica Bank, 5.200%, 08/22/17		1,145
	185	Comerica, Inc., 3.000%, 09/16/15		192
	400	Countrywide Capital III, 8.050%, 06/15/27		401
	2,660	Credit Suisse, (Switzerland), 5.500%, 05/01/14		2,847
		Deutsche Bank AG, (Germany),
	1,475	2.375%, 01/11/13		1,487
	375	3.875%, 08/18/14		392
	674	DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		681
	500	Fifth Third Bancorp, 5.450%, 01/15/17		546
	395	HSBC Bank, 6.000%, 08/09/17		434
		HSBC Bank plc, (United Kingdom),
	728	1.625%, 07/07/14 (e)		730
	927	4.125%, 08/12/20 (e)		951
	650	4.750%, 01/19/21 (e)		695
	415	HSBC Holdings plc, (United Kingdom), 4.875%, 01/14/22		450
	250	HSBC USA, Inc., 2.375%, 02/13/15		253
	761	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		757
	700	KeyBank N.A., 5.700%, 08/15/12		715
	725	KeyCorp, 6.500%, 05/14/13		768
	995	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		1,006
	1,250	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		1,450
		National Australia Bank Ltd., (Australia),
	3,010	2.500%, 01/08/13 (e)		3,050
	255	3.750%, 03/02/15 (e)		267
	1,420	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		1,446
	1,500	National City Bank, 4.625%, 05/01/13		1,559
	500	NB Capital Trust II, 7.830%, 12/15/26		494
	886	Nordea Bank AB, (Sweden), 4.875%, 05/13/21 (e)		852
		PNC Funding Corp.,
	1,115	3.000%, 05/19/14		1,159
	1,057	4.375%, 08/11/20		1,166

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Commercial Banks — Continued
	625	5.250%, 11/15/15		698
	625	5.625%, 02/01/17		694
		Rabobank Nederland N.V., (Netherlands),
	2,150	3.200%, 03/11/15 (e)		2,213
	1,045	4.500%, 01/11/21		1,097
	1,200	Royal Bank of Canada, (Canada), 2.300%, 07/20/16		1,229
		Russian Agricultural Bank OJSC Via RSHB Capital S.A., (Luxembourg),
	180	7.750%, 05/29/18		202
	300	9.000%, 06/11/14		332
	225	Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e)		242
	2,500	SunTrust Banks, Inc., 6.000%, 02/15/26		2,505
	2,500	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		2,596
	2,000	U.S. Bancorp, 7.500%, 06/01/26		2,475
	500	UnionBanCal Corp., 5.250%, 12/16/13		518
		Wachovia Bank N.A.,
	2,110	5.600%, 03/15/16		2,357
	750	6.000%, 11/15/17		862
	750	6.600%, 01/15/38		913
	1,995	Wachovia Capital Trust III, VAR, 5.570%, 04/02/12 (x)		1,828
		Wachovia Corp.,
	760	5.500%, 05/01/13		801
	1,555	5.750%, 02/01/18		1,804
	515	SUB, 7.574%, 08/01/26		619
		Wells Fargo & Co.,
	1,665	5.625%, 12/11/17		1,928
	1,025	SUB, 3.676%, 06/15/16		1,098
		Westpac Banking Corp., (Australia),
	670	4.200%, 02/27/15		716
	942	4.875%, 11/19/19		1,011
				74,396
		Consumer Finance — 1.4%
		Ally Financial, Inc.,
	1,500	6.250%, 12/01/17		1,551
	2,025	8.000%, 11/01/31		2,260
	475	American Express Co., 7.250%, 05/20/14		535
		American Express Credit Corp.,
	861	2.800%, 09/19/16		892
	2,225	5.875%, 05/02/13		2,347
	1,100	7.300%, 08/20/13		1,196

SEE NOTES TO FINANCIAL STATEMENTS.

104 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Consumer Finance — Continued
		American Honda Finance Corp.,
	200	2.125%, 02/28/17 (e)		201
	375	2.375%, 03/18/13 (e)		382
	810	4.625%, 04/02/13 (e)		845
	835	7.625%, 10/01/18 (e)		1,071
		Ford Motor Credit Co. LLC,
	700	3.875%, 01/15/15		717
	200	5.000%, 05/15/18		211
	325	5.750%, 02/01/21		363
	1,250	5.875%, 08/02/21		1,395
	125	6.625%, 08/15/17		142
	3,000	8.125%, 01/15/20		3,741
		HSBC Finance Corp.,
	1,000	5.000%, 06/30/15		1,060
	500	6.375%, 11/27/12		518
	400	7.350%, 11/27/32		425
		John Deere Capital Corp.,
	230	5.250%, 10/01/12		236
	515	5.350%, 04/03/18		615
	700	PACCAR Financial Corp., 1.550%, 09/29/14		709
	1,750	Springleaf Finance Corp., 6.900%, 12/15/17		1,356
		Toyota Motor Credit Corp.,
	7,230	2.000%, 09/15/16		7,363
	670	3.200%, 06/17/15		713
	662	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		667
				31,511
		Diversified Financial Services — 2.4%
	2,465	ACE Cash Express, Inc., 11.000%, 02/01/19 (e)		2,280
		Aircastle Ltd., (Bermuda),
	325	9.750%, 08/01/18 (e)		365
	875	9.750%, 08/01/18		986
	1,000	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		1,013
		Bank of America Corp.,
	500	5.625%, 07/01/20		519
	695	5.650%, 05/01/18		721
	1,398	5.700%, 01/24/22		1,482
	1,500	6.975%, 03/07/37		1,478
	1,005	7.375%, 05/15/14		1,086
	500	7.800%, 09/15/16		543
	2,000	VAR, 8.000%, 01/30/18 (x)		2,031

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Diversified Financial Services — Continued
		Block Financial LLC,
	500	5.125%, 10/30/14		510
	500	7.875%, 01/15/13		522
		Capmark Financial Group, Inc.,
	15,277	VAR, 0.000%, 05/10/10 (d)		115
	1,005	VAR, 9.000%, 09/30/15		1,017
	852	Cardtronics, Inc., 8.250%, 09/01/18		939
		Caterpillar Financial Services Corp.,
	800	1.550%, 12/20/13		812
	850	5.450%, 04/15/18		1,008
		CIT Group, Inc.,
	155	6.625%, 04/01/18 (e)		167
	3,600	7.000%, 05/02/17 (e)		3,605
		Citigroup, Inc.,
	382	2.650%, 03/02/15		382
	1,117	4.587%, 12/15/15		1,183
	291	5.375%, 08/09/20		317
	1,550	5.500%, 02/15/17		1,629
	510	6.000%, 12/13/13		541
	1,350	6.000%, 08/15/17		1,504
	865	6.010%, 01/15/15		942
	260	6.375%, 08/12/14		282
	645	6.875%, 06/01/25		685
	1,115	7.000%, 12/01/25		1,260
	1,260	8.500%, 05/22/19		1,563
		CME Group, Inc.,
	845	5.400%, 08/01/13		899
	855	5.750%, 02/15/14		935
	1,000	CNG Holdings, Inc., 13.750%, 08/15/15 (e)		1,065
	250	ERAC USA Finance LLC, 6.375%, 10/15/17 (e)		287
		FUEL Trust,
	505	3.984%, 06/15/16 (e)		516
	639	4.207%, 04/15/16 (e)		655
		General Electric Capital Corp.,
	294	5.300%, 02/11/21		324
	1,115	5.625%, 05/01/18		1,287
	3,370	5.875%, 01/14/38		3,768
	130	5.900%, 05/13/14		144
	1,000	6.000%, 06/15/12		1,015
	1,100	6.750%, 03/15/32		1,337
	145	6.875%, 01/10/39		179
	2,205	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		2,211
	600	ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e)		435

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 105

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Diversified Financial Services — Continued
		International Lease Finance Corp.,
	845	8.250%, 12/15/20		942
	320	8.625%, 09/15/15		355
	1,820	8.750%, 03/15/17		2,057
	600	8.875%, 09/01/17		680
		National Rural Utilities Cooperative Finance Corp.,
	385	4.750%, 03/01/14		415
	267	7.250%, 03/01/12		267
	170	10.375%, 11/01/18		248
	2,450	SquareTwo Financial Corp., 11.625%, 04/01/17		2,398
	505	Textron Financial Corp., 5.400%, 04/28/13		525
	180	Ukreximbank Via Biz Finance plc, (United Kingdom), Reg. S., 8.375%, 04/27/15		166
	100	Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e)		118
				54,715
		FDIC Guaranteed Securities (~) — 0.1%
	735	Bank of America Corp., 3.125%, 06/15/12		741
	750	Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12		757
				1,498
		Insurance — 1.9%
	1,310	ACE INA Holdings, Inc., 5.600%, 05/15/15		1,484
		Aflac, Inc.,
	199	2.650%, 02/15/17		202
	78	4.000%, 02/15/22		79
	558	6.450%, 08/15/40		645
	190	Allstate Corp. (The), 7.450%, 05/16/19		241
	1,132	Allstate Life Global Funding Trusts, 5.375%, 04/30/13		1,193
		American International Group, Inc.,
	435	5.600%, 10/18/16		467
	2,850	VAR, 8.175%, 05/15/58		3,017
		Aon Corp.,
	191	3.500%, 09/30/15		200
	240	6.250%, 09/30/40		299
		Berkshire Hathaway Finance Corp.,
	1,000	5.400%, 05/15/18		1,189
	500	5.750%, 01/15/40		606
	1,075	Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x)		962
	315	Chubb Corp., 5.750%, 05/15/18		378
	642	CNA Financial Corp., 5.875%, 08/15/20		697

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Insurance — Continued
	355	CNO Financial Group, Inc., 9.000%, 01/15/18 (e)		382
	2,725	Hartford Financial Services Group, Inc., VAR, 8.125%, 06/15/38		2,895
	2,000	HUB International Holdings, Inc., 10.250%, 06/15/15 (e)		2,050
	1,400	ILFC E-Capital Trust I, VAR, 4.340%, 12/21/65 (e)		969
	1,950	Jackson National Life Global Funding, 5.375%, 05/08/13 (e)		2,028
		Liberty Mutual Group, Inc.,
	1,535	7.800%, 03/15/37 (e)		1,497
	1,771	VAR, 10.750%, 06/15/58 (e)		2,311
	152	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		162
		MassMutual Global Funding II,
	382	2.300%, 09/28/15 (e)		392
	600	3.625%, 07/16/12 (e)		607
	160	MetLife, Inc., 6.750%, 06/01/16		191
		Metropolitan Life Global Funding I,
	400	3.650%, 06/14/18 (e)		411
	190	5.125%, 04/10/13 (e)		199
	875	5.200%, 09/18/13 (e)		928
	315	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		328
		Nationwide Mutual Insurance Co.,
	1,465	7.875%, 04/01/33 (e)		1,608
	1,720	9.375%, 08/15/39 (e)		2,207
		New York Life Global Funding,
	250	3.000%, 05/04/15 (e)		264
	1,680	4.650%, 05/09/13 (e)		1,758
		Pacific Life Global Funding,
	400	5.000%, 05/15/17 (e)		423
	770	5.150%, 04/15/13 (e)		805
	1,000	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		1,328
	800	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		859
	175	Principal Financial Group, Inc., 8.875%, 05/15/19		226
	300	Principal Life Global Funding I, 5.250%, 01/15/13 (e)		311
		Principal Life Income Funding Trusts,
	1,165	5.300%, 12/14/12		1,206
	1,025	5.300%, 04/24/13		1,077
	205	Prudential Financial, Inc., 7.375%, 06/15/19		254
	405	Travelers Cos., Inc. (The), 5.800%, 05/15/18		493

SEE NOTES TO FINANCIAL STATEMENTS.

106 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Insurance — Continued
	2,550	Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e)		2,777
	700	Travelers Property Casualty Corp., 7.750%, 04/15/26		925
	460	XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x)		390
				43,920
		Real Estate Investment Trusts (REITs) — 0.8%
	405	CB Richard Ellis Services, Inc., 6.625%, 10/15/20		430
	870	CNL Lifestyle Properties, Inc., 7.250%, 04/15/19		824
		CommonWealth REIT,
	1,865	5.875%, 09/15/20		1,915
	375	6.250%, 08/15/16		402
	300	6.650%, 01/15/18		323
	820	Developers Diversified Realty Corp., 7.875%, 09/01/20		980
	500	DuPont Fabros Technology LP, 8.500%, 12/15/17		553
	2,300	First Industrial LP, 6.420%, 06/01/14		2,305
		HCP, Inc.,
	222	3.750%, 02/01/19		224
	500	5.375%, 02/01/21		548
	3,000	Rouse Co. LP (The), 5.375%, 11/26/13		3,011
		Simon Property Group LP,
	340	5.625%, 08/15/14		368
	492	5.650%, 02/01/20		579
	915	6.100%, 05/01/16		1,052
	675	6.125%, 05/30/18		805
	310	6.750%, 05/15/14		342
	1,341	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		1,570
		Weyerhaeuser Co.,
	350	7.375%, 10/01/19		401
	1,750	7.375%, 03/15/32		1,903
				18,535
		Real Estate Management & Development — 0.0% (g)
	335	Kennedy-Wilson, Inc., 8.750%, 04/01/19		346
		Thrifts & Mortgage Finance — 0.2%
	525	Countrywide Financial Corp., 6.250%, 05/15/16		528
	3,065	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		3,088
				3,616
		Total Financials		264,577

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Health Care — 2.1%
		Biotechnology — 0.2%
		Amgen, Inc.,
	640	3.875%, 11/15/21		665
	289	5.650%, 06/15/42		323
	150	5.700%, 02/01/19		174
	618	5.750%, 03/15/40		690
	300	6.375%, 06/01/37		356
	130	6.900%, 06/01/38		165
	1,250	Bio-Rad Laboratories, Inc., 8.000%, 09/15/16		1,394
				3,767
		Health Care Equipment & Supplies — 0.1%
		Baxter International, Inc.,
	250	4.000%, 03/01/14		266
	550	4.625%, 03/15/15		612
		Becton Dickinson and Co.,
	100	5.000%, 05/15/19		117
	400	6.000%, 05/15/39		498
				1,493
		Health Care Providers & Services — 1.2%
		DaVita, Inc.,
	600	6.375%, 11/01/18		636
	600	6.625%, 11/01/20		644
		Fresenius Medical Care U.S. Finance II, Inc.,
	346	5.625%, 07/31/19 (e)		368
	286	5.875%, 01/31/22 (e)		302
		Fresenius Medical Care U.S. Finance, Inc.,
	500	5.750%, 02/15/21 (e)		524
	1,250	6.500%, 09/15/18 (e)		1,384
	1,000	6.875%, 07/15/17		1,110
		HCA, Inc.,
	3,600	5.875%, 03/15/22		3,690
	1,260	6.500%, 02/15/20		1,351
	750	7.250%, 09/15/20		818
	200	8.500%, 04/15/19		224
	2,028	Health Management Associates, Inc., 6.125%, 04/15/16		2,117
	800	LifePoint Hospitals, Inc., 6.625%, 10/01/20		860
	305	Medco Health Solutions, Inc., 2.750%, 09/15/15		309
	1,250	National Mentor Holdings, Inc., 12.500%, 02/15/18 (e)		1,222
	805	Omega Healthcare Investors, Inc., 6.750%, 10/15/22		870
	3,600	Omnicare, Inc., 7.750%, 06/01/20		4,010

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 107

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Health Care Providers & Services — Continued
		Roche Holdings, Inc.,
	635	5.000%, 03/01/14 (e)		687
	1,220	6.000%, 03/01/19 (e)		1,499
		Tenet Healthcare Corp.,
	440	6.250%, 11/01/18 (e)		469
	1,395	8.875%, 07/01/19		1,590
	806	UnitedHealth Group, Inc., 3.375%, 11/15/21		849
	250	Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16		258
	1,550	WellPoint, Inc., 6.800%, 08/01/12		1,589
				27,380
		Pharmaceuticals — 0.6%
	400	Abbott Laboratories, 6.150%, 11/30/37		523
	504	AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12		517
	910	Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16		1,001
		Endo Pharmaceuticals Holdings, Inc.,
	450	7.000%, 07/15/19		495
	600	7.250%, 01/15/22		667
	920	GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38		1,267
	1,000	Merck & Co., Inc., 6.550%, 09/15/37		1,419
		Mylan, Inc.,
	1,125	7.625%, 07/15/17 (e)		1,245
	899	7.875%, 07/15/20 (e)		1,005
		Novartis Capital Corp.,
	435	4.125%, 02/10/14		465
	335	4.400%, 04/24/20		387
	250	Pfizer, Inc., 6.200%, 03/15/19		316
		Valeant Pharmaceuticals International,
	1,500	6.500%, 07/15/16 (e)		1,530
	250	6.750%, 10/01/17 (e)		256
		Wyeth,
	2,350	5.500%, 02/01/14		2,569
	555	5.500%, 02/15/16		648
				14,310
		Total Health Care		46,950
		Industrials — 3.4%
		Aerospace & Defense — 0.5%
	400	Alliant Techsystems, Inc., 6.875%, 09/15/20		425
		BAE Systems Holdings, Inc.,
	850	5.200%, 08/15/15 (e)		914
	145	6.375%, 06/01/19 (e)		167

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Aerospace & Defense — Continued
	725	BE Aerospace, Inc., 6.875%, 10/01/20		808
	826	Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17		566
		Esterline Technologies Corp.,
	1,000	6.625%, 03/01/17		1,035
	250	7.000%, 08/01/20		276
	167	Hexcel Corp., 6.750%, 02/01/15		168
	810	Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17		873
	952	Lockheed Martin Corp., 5.720%, 06/01/40		1,124
	1,900	McDonnell Douglas Corp., 9.750%, 04/01/12		1,915
	750	Moog, Inc., 6.250%, 01/15/15		760
	643	Spirit Aerosystems, Inc., 6.750%, 12/15/20		698
		Triumph Group, Inc.,
	232	8.000%, 11/15/17		252
	575	8.625%, 07/15/18		647
	735	United Technologies Corp., 6.125%, 02/01/19		910
				11,538
		Air Freight & Logistics — 0.1%
	1,000	Federal Express Corp., 9.650%, 06/15/12		1,024
		Airlines — 0.4%
	225	American Airlines Pass-Through Trust 2009-1A, 10.375%, 07/02/19		244
	631	American Airlines 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		669
	2,062	Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18		2,072
	651	Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19		674
	351	Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21		365
	1,091	Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e)		1,112
	610	Delta Airlines 1991 Series K Pass-Through Trust, 10.000%, 12/05/14 (d) (e) (f) (i)		152
	68	Delta Airlines 2007-1 Class B Pass-Through Trust, 8.021%, 08/10/22		69
	66	Delta Airlines 2007-1 Class C Pass-Through Trust, 8.954%, 08/10/14		68
	332	Delta Airlines 2009-1 Series B Pass-Through Trust, 9.750%, 12/17/16		352
	39	Delta Airlines, Inc., 9.500%, 09/15/14 (e)		42
	1,191	Northwest Airlines 2007-1 Class A Pass-Through Trust, 7.027%, 11/01/19		1,227
	1,299	UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19		1,221

SEE NOTES TO FINANCIAL STATEMENTS.

108 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Airlines — Continued
	192	UAL 2009-1 Pass-Through Trust, 10.400%, 11/01/16		219
				8,486
		Building Products — 0.2%
		Building Materials Corp. of America,
	2,235	6.750%, 05/01/21 (e)		2,431
	750	6.875%, 08/15/18 (e)		806
	700	7.000%, 02/15/20 (e)		759
				3,996
		Commercial Services & Supplies — 0.5%
	1,030	Clean Harbors, Inc., 7.625%, 08/15/16		1,092
	1,050	Corrections Corp. of America, 6.750%, 01/31/14		1,053
		Deluxe Corp.,
	1,000	7.000%, 03/15/19		1,012
	1,075	7.375%, 06/01/15		1,105
		FTI Consulting, Inc.,
	290	6.750%, 10/01/20		314
	1,750	7.750%, 10/01/16		1,822
	271	Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e)		286
		Harland Clarke Holdings Corp.,
	565	9.500%, 05/15/15		445
	935	VAR, 6.000%, 05/15/15		638
	1,673	Pitney Bowes, Inc., 5.250%, 01/15/37		1,687
		Power Sector Assets & Liabilities Management Corp., (Philippines),
	130	7.250%, 05/27/19 (e)		161
	100	7.390%, 12/02/24 (e)		128
		Quebecor World Capital Corp., (Canada),
	1,145	6.125%, 11/15/13 (d)		11
	1,160	6.500%, 08/01/27 (d)		12
	265	9.750%, 01/15/15 (d)		3
		R.R. Donnelley & Sons Co.,
	125	7.250%, 05/15/18		124
	1,125	7.625%, 06/15/20		1,091
	240	8.250%, 03/15/19		244
				11,228
		Construction & Engineering — 0.3%
	1,450	Dycom Investments, Inc., 7.125%, 01/15/21		1,490
	360	Fluor Corp., 3.375%, 09/15/21		367
	1,150	New Enterprise Stone & Lime Co., 11.000%, 09/01/18		972

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Construction & Engineering — Continued
	158	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14		163
	2,475	Tutor Perini Corp., 7.625%, 11/01/18		2,487
		United Rentals North America, Inc.,
	650	9.250%, 12/15/19		718
	100	10.875%, 06/15/16		114
	215	UR Financing Escrow Corp., 5.750%, 07/15/18 (e)		221
				6,532
		Electrical Equipment — 0.0% (g)
		Belden, Inc.,
	500	7.000%, 03/15/17		515
	250	9.250%, 06/15/19		270
	185	International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e)		194
				979
		Industrial Conglomerates — 0.1%
	459	Danaher Corp., 3.900%, 06/23/21		507
	215	Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26		277
		Siemens Financieringsmaatschappij N.V., (Netherlands),
	1,830	5.750%, 10/17/16 (e)		2,142
	300	6.125%, 08/17/26 (e)		374
				3,300
		Machinery — 0.6%
	2,725	AGCO Corp., 5.875%, 12/01/21 (e)		2,879
	310	Altra Holdings, Inc., 8.125%, 12/01/16		336
	500	Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e)		526
	3,000	Briggs & Stratton Corp., 6.875%, 12/15/20		3,172
	640	Caterpillar, Inc., 5.200%, 05/27/41		774
	450	CNH Capital LLC, 6.250%, 11/01/16 (e)		484
	550	Eaton Corp., 5.600%, 05/15/18		646
	1,000	Griffon Corp., 7.125%, 04/01/18		1,040
	210	Ingersoll-Rand Co., 7.200%, 06/01/25		241
	440	Parker Hannifin Corp., 6.250%, 05/15/38		544
		SPX Corp.,
	1,500	6.875%, 09/01/17		1,665
	250	7.625%, 12/15/14		281
	320	Titan International, Inc., 7.875%, 10/01/17		340
	750	Wabtec Corp., 6.875%, 07/31/13		788
				13,716

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 109

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Marine — 0.2%
	1,700	Bluewater Holding B.V., (Netherlands), VAR, 3.567%, 07/17/14 (e)		1,394
	440	CMA CGM S.A., (France), 8.500%, 04/15/17 (e)		249
	832	General Maritime Corp., 12.000%, 11/15/17 (d)		12
	74	Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17		62
	783	Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17		775
	995	Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 9.250%, 04/15/19 (e)		826
	486	Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14		443
				3,761
		Road & Rail — 0.5%
	1,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 03/15/18		1,090
	593	Burlington Northern and Santa Fe Railway Co. 2000 Pass-Through Trust, 7.908%, 01/15/20		712
		Burlington Northern Santa Fe LLC,
	220	5.650%, 05/01/17		258
	1,150	6.700%, 08/01/28		1,443
	927	Canadian National Railway Co., (Canada), 6.375%, 11/15/37		1,227
		Canadian Pacific Railway Co., (Canada),
	165	7.250%, 05/15/19		198
	280	9.450%, 08/01/21		381
	1,075	CSX Corp., 7.375%, 02/01/19		1,355
	800	ERAC USA Finance LLC, 6.700%, 06/01/34 (e)		908
		Kansas City Southern de Mexico S.A. de C.V., (Mexico),
	221	6.125%, 06/15/21		239
	375	6.625%, 12/15/20		412
		Norfolk Southern Corp.,
	1,415	3.250%, 12/01/21		1,458
	595	6.000%, 05/23/11		699
	191	RailAmerica, Inc., 9.250%, 07/01/17		213
	576	Ryder System, Inc., 3.600%, 03/01/16		603
	341	Union Pacific Corp., 4.163%, 07/15/22		376
	235	United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30		343
				11,915

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Transportation Services — 0.0% (g)
	228	CEVA Group plc, (United Kingdom), 8.375%, 12/01/17 (e)		227
		Total Industrials		76,702
		Information Technology — 1.6%
		Communications Equipment — 0.1%
	540	Brightstar Corp., 9.500%, 12/01/16 (e)		561
		Cisco Systems, Inc.,
	500	5.500%, 01/15/40		610
	375	5.900%, 02/15/39		475
				1,646
		Computers & Peripherals — 0.4%
		Dell, Inc.,
	981	3.100%, 04/01/16		1,048
	1,000	7.100%, 04/15/28		1,271
		Hewlett-Packard Co.,
	80	2.950%, 08/15/12		81
	1,113	4.300%, 06/01/21		1,166
	480	4.375%, 09/15/21		506
	500	5.400%, 03/01/17		564
	250	5.500%, 03/01/18		289
	600	6.000%, 09/15/41		695
		Seagate HDD Cayman, (Cayman Islands),
	230	6.875%, 05/01/20		252
	2,000	7.750%, 12/15/18		2,250
	1,000	Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16		1,113
	500	Sealed Air Corp., 7.875%, 06/15/17		540
				9,775
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	250	6.000%, 04/01/20		273
	769	6.875%, 07/01/13		823
	100	7.500%, 01/15/27		110
	50	Intcomex, Inc., 13.250%, 12/15/14		49
	750	Sanmina-SCI Corp., VAR, 3.296%, 06/15/14 (e)		744
				1,999
		Internet Software & Services — 0.1%
	750	eAccess Ltd., (Japan), 8.250%, 04/01/18 (e)		724
		Equinix, Inc.,
	480	7.000%, 07/15/21		530
	575	8.125%, 03/01/18		642
				1,896

SEE NOTES TO FINANCIAL STATEMENTS.

110 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		IT Services — 0.4%
		Fidelity National Information Services, Inc.,
	185	7.625%, 07/15/17 (e)		201
	106	7.625%, 07/15/17		116
		First Data Corp.,
	600	8.875%, 08/15/20 (e)		650
	180	12.625%, 01/15/21		189
	900	HP Enterprise Services LLC, 6.000%, 08/01/13		960
	875	iGate Corp., 9.000%, 05/01/16		952
		International Business Machines Corp.,
	214	1.250%, 02/06/17		213
	744	1.950%, 07/22/16		769
	770	5.875%, 11/29/32		974
	650	7.000%, 10/30/25		897
	425	8.000%, 10/15/38		675
	3,860	Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (f) (i)		2,856
				9,452
		Semiconductors & Semiconductor Equipment — 0.3%
		Advanced Micro Devices, Inc.,
	500	7.750%, 08/01/20		554
	415	8.125%, 12/15/17		456
	1,830	Amkor Technology, Inc., 7.375%, 05/01/18		1,976
	1,239	Intel Corp., 3.300%, 10/01/21		1,315
		National Semiconductor Corp.,
	575	3.950%, 04/15/15		628
	475	6.600%, 06/15/17		589
	96	NXP B.V./NXP Funding LLC, (Netherlands), VAR, 3.322%, 10/15/13		96
	150	STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e)		162
	1,400	Texas Instruments, Inc., 2.375%, 05/16/16		1,471
				7,247
		Software — 0.2%
	660	Audatex North America, Inc., 6.750%, 06/15/18 (e)		687
	115	Intuit, Inc., 5.750%, 03/15/17		131
	595	Microsoft Corp., 4.500%, 10/01/40		665
		Oracle Corp.,
	1,000	5.250%, 01/15/16		1,159
	241	5.375%, 07/15/40		293
	1,030	6.500%, 04/15/38		1,377
				4,312
		Total Information Technology		36,327

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Materials — 3.3%
		Chemicals — 0.8%
	310	Celanese US Holdings LLC, 6.625%, 10/15/18		340
		CF Industries, Inc.,
	650	6.875%, 05/01/18		765
	340	7.125%, 05/01/20		417
	885	Chemtura Corp., 7.875%, 09/01/18		951
	242	Dow Chemical Co. (The), 4.250%, 11/15/20		259
		E.I. du Pont de Nemours & Co.,
	721	1.950%, 01/15/16		743
	410	3.250%, 01/15/15		439
	1,175	4.900%, 01/15/41		1,357
	130	5.000%, 07/15/13		137
	300	J.M. Huber Corp., 9.875%, 11/01/19 (e)		312
		Lyondell Chemical Co.,
	300	8.000%, 11/01/17		335
	1,617	11.000%, 05/01/18		1,773
	850	LyondellBasell Industries N.V., (Netherlands), 6.000%, 11/15/21 (e)		933
	525	Monsanto Co., 7.375%, 08/15/12		540
		Mosaic Co. (The),
	429	3.750%, 11/15/21		447
	429	4.875%, 11/15/41		441
	1,106	PolyOne Corp., 7.375%, 09/15/20		1,192
	450	Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13		469
	200	PPG Industries, Inc., 9.000%, 05/01/21		276
		Praxair, Inc.,
	1,535	4.625%, 03/30/15		1,707
	375	5.200%, 03/15/17		439
	650	5.250%, 11/15/14		724
	200	Rhodia S.A., (France), 6.875%, 09/15/20 (e)		221
	1,750	Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e)		1,846
	1,305	Union Carbide Corp., 7.750%, 10/01/96		1,404
				18,467
		Construction Materials — 0.3%
	2,500	Cemex Espana Finance LLC, Series A, 8.910%, 02/14/14 (f) (i)		2,312
	75	Hanson Ltd., (United Kingdom), 6.125%, 08/15/16		79
		Vulcan Materials Co.,
	535	6.500%, 12/01/16		567
	1,050	7.000%, 06/15/18		1,129
	2,110	7.500%, 06/15/21		2,350
				6,437

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 111

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Containers & Packaging — 0.8%
	1,100	Ardagh Packaging Finance plc, (Ireland), 7.375%, 10/15/17 (e)		1,183
		Ball Corp.,
	1,500	5.000%, 03/15/22		1,534
	1,465	5.750%, 05/15/21		1,575
	1,500	6.750%, 09/15/20		1,672
	125	7.125%, 09/01/16		137
	125	7.375%, 09/01/19		139
	672	Constar International, Inc., 11.000%, 12/31/17 (f) (i)		672
	20	Crown Americas LLC/Crown Americas Capital Corp. II, 7.625%, 05/15/17		22
	725	Crown Americas LLC/Crown Americas Capital Corp. III, 6.250%, 02/01/21		803
	675	Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16		764
		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC,
	1,000	6.875%, 02/15/21 (e)		1,060
	1,975	7.125%, 04/15/19 (e)		2,089
	2,500	7.875%, 08/15/19 (e)		2,738
	700	8.750%, 10/15/16 (e)		745
		Rock-Tenn Co.,
	1,175	4.450%, 03/01/19 (e)		1,194
	1,175	4.900%, 03/01/22 (e)		1,196
	700	Silgan Holdings, Inc., 7.250%, 08/15/16		756
				18,279
		Metals & Mining — 0.6%
	375	AK Steel Corp., 7.625%, 05/15/20		377
	450	APERAM, (Luxembourg), 7.750%, 04/01/18 (e)		427
		BHP Billiton Finance USA Ltd., (Australia),
	163	1.000%, 02/24/15		164
	235	1.625%, 02/24/17		236
	570	4.800%, 04/15/13		597
	575	5.400%, 03/29/17		676
	1,110	5.500%, 04/01/14		1,219
	120	6.500%, 04/01/19		151
	230	Corp. Nacional del Cobre de Chile, (Chile), Reg. S., 7.500%, 01/15/19		293
	1,000	Edgen Murray Corp., 12.250%, 01/15/15		1,020
	1,075	FMG Resources August 2006 Pty Ltd., (Australia), 6.875%, 02/01/18 (e)		1,134
	1,510	Nucor Corp., 6.400%, 12/01/37		2,041
		Rio Tinto Finance USA Ltd., (Australia),
	538	3.500%, 11/02/20		562
	1,121	3.750%, 09/20/21		1,195

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Metals & Mining — Continued
	500	9.000%, 05/01/19		690
	270	Severstal Columbus LLC, 10.250%, 02/15/18		296
		Steel Dynamics, Inc.,
	1,500	6.750%, 04/01/15		1,526
	10	7.750%, 04/15/16		11
		United States Steel Corp.,
	474	6.050%, 06/01/17		483
	280	7.000%, 02/01/18		291
	250	7.375%, 04/01/20		261
	188	Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i)		188
				13,838
		Paper & Forest Products — 0.8%
	620	AbitibiBowater, Inc., 10.250%, 10/15/18 (e)		708
		Abitibi-Consolidated Co. of Canada, (Canada),
	14,926	6.000%, 06/20/13 (d)		75
	1,999	7.750%, 06/15/11 (d)		10
	7,648	8.375%, 04/01/15 (d)		38
		Abitibi-Consolidated, Inc., (Canada),
	1,199	7.500%, 04/01/28 (d)		6
	730	8.850%, 08/01/30 (d)		4
	2,978	Appleton Papers, Inc., 10.500%, 06/15/15 (e)		3,045
	500	Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20		549
	537	Cascades, Inc., (Canada), 7.750%, 12/15/17		550
	950	Domtar Corp., 10.750%, 06/01/17		1,235
		Georgia-Pacific LLC,
	1,000	5.400%, 11/01/20 (e)		1,127
	1,200	7.750%, 11/15/29		1,523
	400	8.250%, 05/01/16 (e)		443
	1,154	Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) (f) (i)		25
	5,650	NewPage Corp., 11.375%, 12/31/14 (d)		3,404
	750	P.H. Glatfelter Co., 7.125%, 05/01/16		767
	1,000	PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e)		1,090
	1,650	Potlatch Corp., 7.500%, 11/01/19		1,749
	300	Sappi Papier Holding GmbH, (Austria), 6.625%, 04/15/21 (e) (f) (i)		281
		Smurfit-Stone Container Enterprises, Inc.,
	1,640	8.000%, 03/15/17 (d) (f) (i)		35
	2,656	8.375%, 07/01/12 (d) (f) (i)		56
	1,006	Verso Paper Holdings LLC/Verso Paper, Inc., 4.297%, 08/01/14		697
				17,417
		Total Materials		74,438

SEE NOTES TO FINANCIAL STATEMENTS.

112 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Telecommunication Services — 1.9%
		Diversified Telecommunication Services — 1.3%
	31	AT&T Corp., 8.000%, 11/15/31		45
		AT&T, Inc.,
	1,030	5.350%, 09/01/40		1,160
	220	5.600%, 05/15/18		263
	465	5.800%, 02/15/19		561
	1,500	6.300%, 01/15/38		1,854
	890	Bellsouth Capital Funding Corp., 7.120%, 07/15/97		1,076
		BellSouth Corp.,
	2,090	5.200%, 09/15/14		2,311
	100	6.875%, 10/15/31		123
		BellSouth Telecommunications, Inc.,
	371	6.300%, 12/15/15		395
	330	7.000%, 12/01/95		396
		Cincinnati Bell, Inc.,
	800	8.250%, 10/15/17		826
	145	8.750%, 03/15/18		138
		Deutsche Telekom International Finance B.V., (Netherlands),
	100	6.750%, 08/20/18		121
	1,000	8.750%, 06/15/30		1,426
		Frontier Communications Corp.,
	785	7.125%, 03/15/19		803
	1,165	8.125%, 10/01/18		1,255
	215	8.500%, 04/15/20		233
	15	8.750%, 04/15/22		16
	800	GTE Corp., 6.840%, 04/15/18		989
	2,750	Level 3 Communications, Inc., 11.875%, 02/01/19		3,128
		Qwest Communications International, Inc.,
	1,000	7.125%, 04/01/18		1,070
	90	8.000%, 10/01/15		97
		Telecom Italia Capital S.A., (Luxembourg),
	562	5.250%, 11/15/13		570
	190	7.721%, 06/04/38		180
		Telefonica Emisiones S.A.U., (Spain),
	138	5.462%, 02/16/21		139
	600	5.855%, 02/04/13		620
	80	5.877%, 07/15/19		83
		Verizon Communications, Inc.,
	89	4.750%, 11/01/41		95
	585	6.900%, 04/15/38		774
	75	7.350%, 04/01/39		104

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Diversified Telecommunication Services — Continued
		Verizon Global Funding Corp.,
	820	7.750%, 12/01/30		1,155
	290	7.750%, 06/15/32		403
	2,000	Verizon Pennsylvania, Inc., 8.350%, 12/15/30		2,503
		Windstream Corp.,
	955	7.500%, 06/01/22 (e)		1,029
	500	7.750%, 10/15/20		546
	1,963	7.750%, 10/01/21		2,145
	525	8.125%, 08/01/13		563
	125	8.125%, 09/01/18		137
				29,332
		Wireless Telecommunication Services — 0.6%
	732	America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16		747
	450	CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e)		491
	144	Cricket Communications, Inc., 7.750%, 05/15/16		153
	1,260	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		1,293
	75	MetroPCS Wireless, Inc., 7.875%, 09/01/18		80
	2,750	Nextel Communications, Inc., 7.375%, 08/01/15		2,716
		NII Capital Corp.,
	365	8.875%, 12/15/19		393
	185	10.000%, 08/15/16		211
	240	Rogers Communications, Inc., (Canada), 6.800%, 08/15/18		303
	800	Sprint Capital Corp., 8.750%, 03/15/32		712
		Sprint Nextel Corp.,
	125	8.375%, 08/15/17		123
	1,638	9.000%, 11/15/18 (e)		1,826
	177	11.500%, 11/15/21 (e)		193
	1,650	Vimpel Communications Via VIP Finance Ireland Ltd., OJSC, (Ireland), 7.748%, 02/02/21 (e)		1,643
	250	VimpelCom Holdings B.V., (Netherlands), 6.255%, 03/01/17 (e)		246
	870	Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15		982
		Wind Acquisition Finance S.A., (Luxembourg),
	775	7.250%, 02/15/18 (e)		756
	1,175	11.750%, 07/15/17 (e)		1,204
	475	PIK, 12.250%, 07/15/17 (e)		415
				14,487
		Total Telecommunication Services		43,819

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 113

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Utilities — 2.9%
		Electric Utilities — 1.7%
	891	Alabama Power Co., 6.125%, 05/15/38		1,173
		Carolina Power & Light Co.,
	90	5.300%, 01/15/19		106
	500	6.300%, 04/01/38		678
	1,000	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		1,084
	300	Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39		367
	925	Consumers Energy Co., 6.700%, 09/15/19		1,177
	340	Detroit Edison Co. (The), 3.900%, 06/01/21		371
		DPL, Inc.,
	300	6.500%, 10/15/16 (e)		327
	255	7.250%, 10/15/21 (e)		291
	80	Dubai Electricity & Water Authority, (United Arab Emirates), 8.500%, 04/22/15 (e)		88
		Duke Energy Carolinas LLC,
	780	4.300%, 06/15/20		886
	200	5.250%, 01/15/18		235
	500	5.625%, 11/30/12		518
	1,100	6.050%, 04/15/38		1,457
	280	Duke Energy Indiana, Inc., 3.750%, 07/15/20		301
	1,200	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		1,191
	115	Florida Power Corp., 5.650%, 06/15/18		138
		Georgia Power Co.,
	562	5.250%, 12/15/15		641
	140	5.950%, 02/01/39		178
	2,000	Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e)		2,220
	483	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		519
	988	Massachusetts Electric Co., 5.900%, 11/15/39 (e)		1,200
	860	MidAmerican Energy Co., 5.300%, 03/15/18		1,008
		Nevada Power Co.,
	446	5.375%, 09/15/40		522
	600	7.125%, 03/15/19		757
		NextEra Energy Capital Holdings, Inc.,
	275	5.350%, 06/15/13		288
	265	7.875%, 12/15/15		318
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		333
		Nisource Finance Corp.,
	1,470	6.400%, 03/15/18		1,736
	150	6.800%, 01/15/19		180

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Electric Utilities — Continued
		Northern States Power Co.,
	173	5.350%, 11/01/39		212
	765	6.250%, 06/01/36		1,032
		Pacific Gas & Electric Co.,
	267	4.500%, 12/15/41		279
	1,010	5.625%, 11/30/17		1,206
		PacifiCorp,
	1,900	5.750%, 04/01/37		2,384
	250	7.240%, 08/16/23		319
	1,880	Peco Energy Co., 5.350%, 03/01/18		2,225
	360	Potomac Electric Power Co., 6.500%, 11/15/37		484
	50	Progress Energy, Inc., 6.050%, 03/15/14		55
	1,121	PSEG Power LLC, 5.125%, 04/15/20		1,246
		Public Service Co. of Colorado,
	198	3.200%, 11/15/20		210
	35	6.500%, 08/01/38		49
	1,050	Public Service Co. of New Mexico, 7.950%, 05/15/18		1,261
		Public Service Co. of Oklahoma,
	88	5.150%, 12/01/19		100
	1,100	6.625%, 11/15/37		1,413
		Public Service Electric & Gas Co.,
	350	2.700%, 05/01/15		369
	155	5.300%, 05/01/18		185
	416	5.375%, 11/01/39		509
		San Diego Gas & Electric Co.,
	249	4.500%, 08/15/40		275
	500	6.000%, 06/01/39		672
		Southern California Edison Co.,
	450	5.550%, 01/15/37		561
	285	5.950%, 02/01/38		375
	292	Southern Co. (The), 1.950%, 09/01/16		296
	145	Spectra Energy Capital LLC, 7.500%, 09/15/38		188
	120	Union Electric Co., 8.450%, 03/15/39		192
		Virginia Electric and Power Co.,
	235	6.350%, 11/30/37		317
	670	8.875%, 11/15/38		1,110
				37,812
		Gas Utilities — 0.3%
	250	ANR Pipeline Co., 9.625%, 11/01/21		374
	600	Atmos Energy Corp., 5.125%, 01/15/13		623
	369	Boston Gas Co., 4.487%, 02/15/42 (e)		375

SEE NOTES TO FINANCIAL STATEMENTS.

114 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Corporate Bonds — Continued
		Gas Utilities — Continued
	570	CenterPoint Energy Resources Corp., 6.625%, 11/01/37		709
	388	Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125%, 07/15/22 (e)		401
	325	Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18		335
		TransCanada PipeLines Ltd., (Canada),
	1,505	4.000%, 06/15/13		1,559
	1,000	6.200%, 10/15/37		1,269
				5,645
		Independent Power Producers & Energy Traders — 0.8%
		AES Eastern Energy LP,
	481	9.000%, 01/02/17 (d)		144
	1,612	9.670%, 01/02/29 (d)		516
	3,450	Calpine Construction Finance Co. LP/CCFC Finance Corp., 8.000%, 06/01/16 (e)		3,752
		Calpine Corp.,
	1,341	7.875%, 07/31/20 (e)		1,482
	1,659	7.875%, 01/15/23 (e)		1,808
		Dynegy Holdings LLC,
	105	7.625%, 10/15/26 (d)		67
	4,770	7.750%, 06/01/19 (d)		3,100
		Edison Mission Energy,
	2,500	7.000%, 05/15/17		1,675
	800	7.200%, 05/15/19		520
	243	FPL Energy National Wind, 6.125%, 03/25/19 (e)		239
	255	FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e)		204
	698	Homer City Funding LLC, 8.137%, 10/01/19		636
	1,364	Midwest Generation LLC, 8.560%, 01/02/16		1,392
	2,750	NRG Energy, Inc., 7.625%, 01/15/18		2,784
	333	Ormat Funding Corp., 8.250%, 12/30/20		313
	235	Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15		64
				18,696
		Multi-Utilities — 0.1%
		Dominion Resources, Inc.,
	46	4.900%, 08/01/41		51
	365	5.250%, 08/01/33		406
	400	7.000%, 06/15/38		551
	160	DTE Energy Co., 7.625%, 05/15/14		181
		Sempra Energy,
	255	6.150%, 06/15/18		306
	75	6.500%, 06/01/16		89

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Multi-Utilities — Continued
	220	8.900%, 11/15/13		245
	420	9.800%, 02/15/19		575
	73	Wisconsin Electric Power Co., 2.950%, 09/15/21		75
	36	Xcel Energy, Inc., 4.800%, 09/15/41		39
				2,518
		Water Utilities — 0.0% (g)
	925	American Water Capital Corp., 6.085%, 10/15/17		1,083
		Total Utilities		65,754
		Total Corporate Bonds (Cost $803,175)		847,708
	Foreign Government Securities — 1.8%
	200	Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e)		230
BRL	70	Brazil Notas do Tesouro Nacional Serie B, (Brazil), 6.000%, 05/15/13		90
BRL	630	Brazil Notas do Tesouro Nacional Serie F, (Brazil), 10.000%, 01/01/14		367
	220	Citigroup Funding, Inc., CLN, 13.300%, 10/02/13 (linked to Republic of Ghana, 13.300%, 10/02/13; credit rating BBB+), (Ghana) (e) (f) (i)		177
	100	Citigroup Funding, Inc., CLN, 14.250%, 06/19/13 (linked to Indonesia Government Bond, 14.250%, 06/15/13; credit rating BB+), (Indonesia) (e) (f) (i)		92
	130	Citigroup Funding, Inc., CLN, 14.990%, 03/13/13 (linked to Government of Ghana 3-Year Bond, 14.990%, 03/11/13; credit rating B), (Ghana) (e) (f) (i)		106
	220	Eskom Holdings SOC Ltd., (South Africa), Reg. S., 5.750%, 01/26/21		236
		Federal Republic of Brazil, (Brazil),
	133	8.000%, 01/15/18		160
	400	8.250%, 01/20/34		613
	380	11.000%, 08/17/40		506
	299	12.250%, 03/06/30		577
BRL	565	12.500%, 01/05/22		422
		Government of Dominican Republic, (Dominican Republic),
	100	Reg. S., 7.500%, 05/06/21		102
	316	Reg. S., 9.040%, 01/23/18		346
DOP	8,500	15.950%, 06/04/21 (e)		210
		Government of Ukraine, (Ukraine),
	670	6.580%, 11/21/16 (e)		609

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 115

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Foreign Government Securities — Continued
	105	IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24 (f) (i)		121
	6,000	Israel Government AID Bond, (Israel), Zero Coupon, 08/15/17		5,539
	200	Namibia International Bonds, (Namibia), 5.500%, 11/03/21 (e)		206
	339	Poland Government Bond, (Poland), 5.000%, 03/23/22		360
	200	Province of Manitoba, (Canada), 2.125%, 04/22/13		204
	655	Province of Nova Scotia, (Canada), 9.250%, 03/01/20		947
		Province of Ontario, (Canada),
	780	2.700%, 06/16/15		824
	1,635	2.950%, 02/05/15		1,733
	300	Province of Quebec, (Canada), 6.350%, 01/30/26		401
		Republic of Argentina, (Argentina),
	1,828	SUB, 2.500%, 12/31/38		686
	24	7.000%, 10/03/15		23
	53	8.280%, 12/31/33		42
	1,321	8.750%, 06/02/17		1,301
	520	Republic of Belarus, (Belarus), 8.750%, 08/03/15		494
		Republic of Colombia, (Colombia),
	100	6.125%, 01/18/41		123
	100	7.375%, 01/27/17		123
	240	8.125%, 05/21/24		338
	270	10.375%, 01/28/33		454
		Republic of Croatia, (Croatia),
	200	6.375%, 03/24/21 (e)		189
	190	Reg. S., 6.625%, 07/14/20		184
	230	Reg. S., 6.750%, 11/05/19		226
	200	Republic of Ecuador, (Ecuador), 9.375%, 12/15/15		203
		Republic of El Salvador, (El Salvador),
	130	Reg. S., 7.375%, 12/01/19		140
	240	Reg. S., 7.650%, 06/15/35		245
	140	Reg. S., 8.250%, 04/10/32		153
		Republic of Hungary, (Hungary),
	481	6.250%, 01/29/20		453
	190	6.375%, 03/29/21		179
	268	7.625%, 03/29/41		251
		Republic of Indonesia, (Indonesia),
	190	Reg. S., 5.875%, 03/13/20		221
	255	Reg. S., 6.750%, 03/10/14		278
	50	Reg. S., 7.750%, 01/17/38		70

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	340	Reg. S., 8.500%, 10/12/35		508
	350	11.625%, 03/04/19 (e)		526
	750	Republic of Iraq, (Iraq), Reg. S., 5.800%, 01/15/28		583
	320	Republic of Ivory Coast, (Ivory Coast), Reg. S., 0.000%, 12/31/32 (d)		197
		Republic of Lithuania, (Lithuania),
	565	5.125%, 09/14/17 (e)		573
	40	6.125%, 03/09/21 (e)		41
	160	Reg. S., 6.750%, 01/15/15		172
	170	Republic of Pakistan, (Pakistan), Reg. S., 7.125%, 03/31/16		133
		Republic of Panama, (Panama),
	140	7.250%, 03/15/15		162
	350	9.375%, 04/01/29		559
		Republic of Peru, (Peru),
	519	5.625%, 11/18/50		568
	PEN 455	6.950%, 08/12/31 (e)		185
	330	7.350%, 07/21/25		445
	60	8.375%, 05/03/16		75
	218	8.750%, 11/21/33		334
	88	9.875%, 02/06/15		108
		Republic of Philippines, (Philippines),
	170	4.000%, 01/15/21		178
	200	5.000%, 01/13/37		213
	300	6.500%, 01/20/20		367
	390	7.750%, 01/14/31		546
	100	9.500%, 02/02/30		160
	470	10.625%, 03/16/25		767
	280	Republic of Romania, (Romania), 6.750%, 02/07/22 (e)		287
		Republic of Serbia, (Serbia),
	87	Reg. S., SUB, 6.750%, 11/01/24		84
	200	7.250%, 09/28/21 (e)		203
		Republic of South Africa, (South Africa),
	100	4.665%, 01/17/24		105
	430	5.500%, 03/09/20		488
	470	Republic of Sri Lanka, (Sri Lanka), 6.250%, 10/04/20 (e)		458
		Republic of Turkey, (Turkey),
	TRY 110	VAR, 0.000%, 02/11/15		78
	500	6.750%, 04/03/18		560
	115	6.875%, 03/17/36		125
	335	7.250%, 03/15/15		371
	317	7.250%, 03/05/38		362
	100	7.500%, 07/14/17		115
	TRY 396	10.500%, 01/15/20		243

SEE NOTES TO FINANCIAL STATEMENTS.

116 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Foreign Government Securities — Continued
		Republic of Uruguay, (Uruguay),
	UYU    584	3.751%, 06/26/37		41
	UYU 3,000	5.999%, 04/05/27		239
	430	7.625%, 03/21/36		594
	55	PIK, 7.875%, 01/15/33		76
		Republic of Venezuela, (Venezuela),
	604	Reg. S., 5.750%, 02/26/16		539
	471	Reg. S., 6.000%, 12/09/20		353
	370	Reg. S., 7.000%, 03/31/38		264
	60	7.650%, 04/21/25		46
	460	Reg. S., 7.750%, 10/13/19		389
	155	Reg. S., 8.250%, 10/13/24		126
	100	Reg. S., 9.000%, 05/07/23		85
	145	9.250%, 09/15/27		130
	40	Reg. S., 11.950%, 08/05/31		40
		Russian Federation, (Russia),
	2,109	Reg. S., SUB, 7.500%, 03/31/30		2,512
	130	12.750%, 06/24/28		232
	200	State of Qatar, (Qatar), Reg. S., 5.750%, 01/20/42		217
		United Mexican States, (Mexico),
	640	5.625%, 01/15/17		738
	650	5.750%, 10/12/10		692
	188	5.950%, 03/19/19		225
	160	6.050%, 01/11/40		194
	100	6.750%, 09/27/34		130
	MXN 3,000	7.750%, 12/14/17		260
	100	8.300%, 08/15/31		150
	MXN 2,100	10.000%, 11/20/36		206
		Total Foreign Government Securities (Cost $39,390)		40,911
	Mortgage Pass-Through Securities — 5.1%
		Federal Home Loan Mortgage Corp.,
	105	ARM, 2.289%, 08/01/36		112
	321	ARM, 2.328%, 10/01/36		342
	360	ARM, 2.799%, 03/01/36		378
	761	ARM, 3.270%, 03/01/36		814
	592	ARM, 5.285%, 10/01/37		632
	121	ARM, 5.877%, 05/01/37		128
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	1,524	4.000%, 08/01/18 - 05/01/19		1,617
	783	4.500%, 10/01/18		833
	92	5.000%, 05/01/18		99
	705	5.500%, 01/01/21		771
	622	6.000%, 11/01/21		672

PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE
	330		6.500%, 07/01/14		347
	61		7.500%, 01/01/17		67
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	1,329		6.500%, 11/01/22 - 03/01/26		1,484
	411		7.000%, 01/01/27		474
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	405		4.000%, 09/01/33		427
	2,714		4.500%, 05/01/41		2,886
	88		6.000%, 02/01/29		97
	1,041		6.500%, 01/01/24 - 11/01/36		1,176
	1,122		7.000%, 09/01/24 - 10/01/36 (m)		1,295
	134		7.500%, 10/01/19 - 02/01/27		152
	138		8.000%, 08/01/27 - 03/01/30		166
			Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	2,388		7.500%, 01/01/32 - 12/01/36		2,822
	534		10.000%, 10/01/30		640
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	109		7.000%, 12/01/14 - 03/01/16		116
			Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	4		7.500%, 02/01/17		4
	5		12.000%, 08/01/15 - 07/01/19		6
	—	(h)	13.000%, 06/01/14		—	(h)
			Federal National Mortgage Association,
	331		ARM, 2.470%, 05/01/35		353
	203		ARM, 2.565%, 01/01/34		215
	24		ARM, 2.750%, 10/01/33		25
	596		ARM, 3.460%, 04/01/37		628
	430		ARM, 3.679%, 03/01/37		460
	112		ARM, 4.770%, 04/01/37		119
	289		ARM, 5.543%, 07/01/37		301
	1,287		ARM, 5.611%, 01/01/23		1,400
	482		ARM, 6.000%, 02/01/37		525
	153		ARM, 6.029%, 07/01/37		164
			Federal National Mortgage Association, 15 Year, Single Family,
	4,768		3.500%, 09/01/18 - 07/01/19		5,012
	2,862		4.000%, 07/01/18 - 12/01/18		3,052
	357		4.500%, 07/01/18		390
	3,493		5.000%, 05/01/18 - 07/01/25		3,794
	937		5.500%, 08/01/17 - 07/01/20		1,022
	1,782		6.000%, 01/01/14 - 08/01/22		1,927
	32		6.500%, 05/01/13		33

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 117

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE
	Mortgage Pass-Through Securities — Continued
	—	(h)	7.000%, 03/01/15		—	(h)
	14		8.000%, 01/01/16		15
			Federal National Mortgage Association, 20 Year, Single Family,
	1,761		3.500%, 12/01/30		1,844
	1,891		6.000%, 04/01/24 - 08/01/27		2,088
	795		6.500%, 11/01/18		892
	281		Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34		307
			Federal National Mortgage Association, 30 Year, Single Family,
	2,047		5.000%, 08/01/40		2,212
	1,983		5.500%, 12/01/28 - 09/01/34		2,169
	2,816		6.000%, 03/01/34 - 08/01/37		3,143
	3,317		6.500%, 04/01/28 - 10/01/38		3,764
	1,848		7.000%, 03/01/28 - 04/01/37		2,149
	738		7.500%, 09/01/25 - 11/01/38		881
	—	(h)	8.000%, 08/01/22		—	(h)
	62		8.500%, 10/01/25 - 12/01/25		73
	4		9.000%, 01/01/19 - 04/01/25		5
	15		12.500%, 01/01/16		17
			Federal National Mortgage Association, Other,
	1,860		2.140%, 04/01/19		1,862
	1,874		2.490%, 10/01/17		1,942
	1,540		2.750%, 03/01/22		1,550
	1,750		3.482%, 11/01/20		1,865
	1,680		3.492%, 01/01/18		1,808
	1,575		3.590%, 10/01/20		1,699
	1,508		3.730%, 06/01/18		1,649
	1,651		3.782%, 12/01/21		1,782
	1,640		3.810%, 01/01/19		1,791
	1,275		4.195%, 07/01/21		1,408
	2,144		4.319%, 12/01/19		2,380
	3,000		4.399%, 02/01/20		3,376
	1,320		4.500%, 01/01/20		1,413
	2,451		4.515%, 02/01/20		2,758
	1,979		4.794%, 01/01/21		2,249
	1,361		5.000%, 12/01/32 - 08/01/33		1,451
	775		5.500%, 09/01/17		839
	476		6.500%, 04/01/36 - 07/01/36		533
			Government National Mortgage Association II, 30 Year, Single Family,
	9,581		6.000%, 11/20/32 - 09/20/38		10,781
	2,698		6.500%, 02/20/29 - 10/20/39		3,088
	5,767		7.000%, 06/20/32 - 01/20/39		6,775
	578		7.500%, 08/20/25 - 05/20/32		693
	1,027		8.000%, 08/20/26 - 09/20/31		1,246

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	975	Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23		1,078
		Government National Mortgage Association, 30 Year, Single Family,
	398	6.500%, 02/15/28 - 10/15/29		459
	142	7.000%, 02/15/24 - 02/15/28		165
	124	7.250%, 07/15/21 - 01/15/28		142
	77	7.500%, 10/15/22 - 09/15/29		84
	6	7.750%, 02/15/27		6
	3	8.500%, 11/15/25		4
	110	9.000%, 04/15/16 - 01/15/25		122
	4	10.000%, 11/15/20		5
	2	13.000%, 01/15/15		2
		Total Mortgage Pass-Through Securities (Cost $108,647)		114.541
	Municipal Bonds — 0.6%
		California — 0.1%
	1,000	Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39		1,226
		Illinois — 0.1%
	780	Railsplitter Tobacco Settlement Authority, Rev., 5.250%, 06/01/21		893
	1,960	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		1,883
				2,776
		New York — 0.2%
	900	New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.375%, 06/15/43		1,021
		New York State Dormitory Authority, State Personal Taxable General Purpose, Build America Bonds,
	560	Series H, Rev., 5.289%, 03/15/33		637
	1,165	Series H, Rev., 5.389%, 03/15/40		1,352
	1,450	Port Authority of New York & New Jersey, Rev., Construction 164, 5.647%, 11/01/40		1,735
				4,745
		Ohio — 0.1%
	1,040	American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50		1,350
	1,563	Ohio State University (The), Series A, Rev., 4.800%, 06/01/11		1,658
				3,008
		Oklahoma — 0.1%
	900	Oklahoma City Water Utilities Trust, Water & Sewer, Rev., 5.375%, 07/01/40		1,060

SEE NOTES TO FINANCIAL STATEMENTS.

118 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Municipal Bonds — Continued
		Washington — 0.0% (g)
	900	City of Seattle, Light & Power Imrovement, Series A, Rev., 5.250%, 02/01/33		1,043
		Total Municipal Bonds (Cost $12,105)		13,858
	Supranational — 0.1%
	1,260	Corp. Andina de Fomento, 3.750%, 01/15/16		1,295
	330	Eurasian Development Bank, Reg. S, 7.375%, 09/29/14		358
		Total Supranational (Cost $1,609)		1,653
	U.S. Government Agency Securities — 1.1%
	1,500	Federal Home Loan Bank, 1.750%, 12/14/12		1,518
		Federal Home Loan Mortgage Corp.,
	915	1.350%, 04/29/14		933
	635	5.250%, 04/18/16		746
	385	6.750%, 09/15/29		562
		Federal National Mortgage Association,
	7,360	Zero Coupon, 06/01/17		6,821
	825	5.000%, 05/11/17		984
	1,500	5.625%, 07/15/37		2,063
	1,000	8.200%, 03/10/16		1,285
	1,000	Federal National Mortgage Association STRIPS, 11/15/21		767
		Financing Corp. Fico,
	1,285	Zero Coupon, 04/05/19		1,115
	500	Zero Coupon, 09/26/19		426
	426	New Valley Generation II, 5.572%, 05/01/20		489
	633	New Valley Generation III, 4.929%, 01/15/21		721
	3,870	Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20		3,224
		Tennessee Valley Authority,
	902	4.625%, 09/15/60		1,028
	869	5.250%, 09/15/39		1,088
	500	Tennessee Valley Authority STRIPS, Zero Coupon, 11/01/25		317
		Total U.S. Government Agency Securities (Cost $21,347)		24,087
	U.S. Treasury Obligations — 16.6%
		U.S. Treasury Bonds,
	85	3.500%, 02/15/39		92
	555	4.375%, 02/15/38		696
	5,000	4.500%, 02/15/36		6,358
	3,890	4.500%, 05/15/38		4,974
	2,500	5.250%, 02/15/29		3,384
	1,000	5.500%, 08/15/28		1,384

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	2,340	6.000%, 02/15/26		3,324
	5,000	6.250%, 08/15/23		7,096
	4,250	6.375%, 08/15/27		6,326
	7,600	7.125%, 02/15/23		11,404
	7,200	7.250%, 08/15/22		10,811
	17,000	7.500%, 11/15/16 (m)		22,254
	4,800	7.500%, 11/15/24		7,573
	2,625	7.875%, 02/15/21		3,976
	13,600	8.125%, 05/15/21 (m)		21,002
	10,000	8.125%, 08/15/21		15,532
	5,000	8.500%, 02/15/20		7,636
	6,000	8.750%, 08/15/20		9,398
	22,210	8.875%, 08/15/17 (m)		31,592
	1,000	U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28		2,115
		U.S. Treasury Notes,
	45	1.375%, 04/15/12 (k)		45
	4,000	1.375%, 09/15/12		4,026
	6,625	1.375%, 10/15/12 (m)		6,675
	5,275	1.375%, 11/15/12		5,320
	2,665	1.375%, 11/30/18		2,672
	10,000	1.875%, 06/15/12		10,051
	100	2.000%, 04/30/16		105
	225	2.250%, 05/31/14		235
	335	2.250%, 01/31/15		353
	11,000	2.250%, 11/30/17		11,726
	2,780	2.625%, 02/29/16		2,997
	130	2.625%, 04/30/16		140
	12,940	2.750%, 05/31/17 (m)		14,139
	7,115	2.875%, 03/31/18		7,841
	1,000	3.125%, 10/31/16		1,106
	10,654	3.125%, 05/15/19		11,896
	2,250	3.250%, 03/31/17		2,512
	7,860	4.750%, 08/15/17		9,436
		U.S. Treasury STRIPS,
	308	05/15/14		306
	2,000	11/15/14		1,977
	2,425	11/15/15		2,371
	6,980	05/15/16		6,760
	6,916	02/15/17		6,598
	12,239	08/15/17		11,552
	19,170	11/15/17		17,976
	6,000	02/15/18		5,585
	1,606	08/15/18		1,473
	185	08/15/19		164
	4,701	05/15/20		4,070

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 119

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE
	U.S. Treasury Obligations — Continued
	5,185		11/15/20		4,405
	5,000		05/15/21		4,167
	22,000		11/15/21 (m)		17,982
	5,000		08/15/22		3,962
	5,000		11/15/22		3,921
	4,000		08/15/24		2,901
	5,000		11/15/24		3,586
	2,900		02/15/25		2,055
	2,550		02/15/27		1,655
	8,000		11/15/27		5,040
	2,615		02/15/28		1,631
			Total U.S. Treasury Obligations (Cost $338,031)		378,339
SHARES
	Common Stocks — 0.5%
			Consumer Discretionary — 0.1%
			Automobiles — 0.1%
	73		General Motors Co. (a)		1,909
			Leisure Equipment & Products — 0.0% (g)
	31		New True Temper Holdings Corp., Inc. (a) (f) (i)		369
			Total Consumer Discretionary		2,278
			Consumer Staples — 0.0%
			Food Products — 0.0%
	40		Eurofresh, Inc., ADR (a) (f) (i)		—
			Financials — 0.2%
			Diversified Financial Services — 0.2%
	208		Capmark Financial Group, Inc. (a)		4,106
			Industrials — 0.0% (g)
			Commercial Services & Supplies — 0.0% (g)
	—	(h)	Quad/Graphics, Inc.		5
			Information Technology — 0.0% (g)
			Semiconductors & Semiconductor Equipment — 0.0% (g)
	11		Magnachip Semiconductor Corp., (Luxembourg) (a)		126
			Materials — 0.2%
			Chemicals — 0.1%
	26		LyondellBasell Industries N.V., (Netherlands), Class A		1,128
			Construction Materials — 0.0% (g)
	264		U.S. Concrete, Inc. (a)		1,110
			Containers & Packaging — 0.0% (g)
	9		Constar International, Inc., ADR (a) (f) (i)		4
			Metals & Mining — 0.0% (g)
	8		Wolverine Tube, Inc., ADR (a) (f) (i)		208

SHARES			SECURITY DESCRIPTION	VALUE
			Paper & Forest Products — 0.1%
	188		AbitibiBowater, Inc., (Canada) (a)		2,875
			Total Materials		5,325
			Telecommunication Services — 0.0% (g)
			Diversified Telecommunication Services — 0.0%
	—	(h)	XO Holdings, Inc. (a) (f) (i)		—
			Wireless Telecommunication Services — 0.0% (g)
	—	(h)	Sprint Nextel Corp. (a)		—	(h)
			Total Telecommunication Services		—	(h)
			Utilities — 0.0% (g)
			Independent Power Producers & Energy Traders — 0.0% (g)
	1		NRG Energy, Inc. (a)		17
			Total Common Stocks (Cost $14,536)		11,857
	Preferred Stocks — 0.5%
			Consumer Discretionary — 0.2%
			Automobiles — 0.1%
	35		General Motors Co., 4.750%, 12/01/13		1,494
			Diversified Consumer Services — 0.0% (g)
	34		Carriage Services Capital Trust, 7.000%, 06/01/29		1,476
			Household Durables — 0.1%
	153		M/I Homes, Inc., 9.750%, 04/17/12 ($25.00 par value)@ (a)		2,330
			Total Consumer Discretionary		5,300
			Consumer Staples — 0.0%
			Food Products — 0.0%
	—	(h)	Eurofresh, Inc., ADR, 15.000%, 11/18/16 (a) (f) (i)		—
			Financials — 0.3%
			Commercial Banks — 0.1%
	10		CoBank ACB, Series C, 11.000%, 07/01/13 ($50.00 par value)@ (e)		545
	15		CoBank ACB, Series D, 11.000%, 10/01/14 ($50.00 par value)@		803
	8		CoBank ACB, 7.000%, 04/02/12 ($50.00 par value)@ (e)		388
					1,736
			Consumer Finance — 0.2%
	4		Ally Financial, Inc., 7.000%, 04/02/12 ($1,000.00 par value)@ (e)		3,450
	14		Citigroup Capital XIII, VAR, 7.875%, 10/30/40		389
					3,839
			Total Financials		5,575

SEE NOTES TO FINANCIAL STATEMENTS.

120 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

SHARES		SECURITY DESCRIPTION	VALUE
	Preferred Stocks — Continued
		Materials — 0.0% (g)
		Containers & Packaging — 0.0% (g)
	1	Constar International, Inc., 11.000% (a) (f) (i)		204
		Total Preferred Stocks (Cost $11,802)		11,079
PRINCIPAL AMOUNT
	Loan Participations & Assignments — 1.9%
		Consumer Discretionary — 1.2%
		Automobiles — 0.2%
	3,537	Chrysler, Term Loan B, VAR, 6.000%, 05/24/17		3,546
		Broadcasting & Cable TV — 0.1%
	968	Atlantic Broadband, Term Loan B, VAR, 4.000%, 03/08/16		964
	200	Kabel Deutschland, Facility F Loan, VAR, 02/01/19^		199
		Midcontinent Communications, Term Loan B,
	298	VAR, 4.000%, 12/31/16		293
				1,456
		Diversified Consumer Services — 0.0% (g)
	215	Tishman Speyer Office, Term Loan, VAR, 8.000%, 05/20/12 ^		214
		Gaming — 0.3%
		Caesars Entertainment Operating Co., Inc., Term B-2 Loan,
	2,602	VAR, 3.244%, 01/28/15		2,438
	1,398	VAR, 3.244%, 01/28/15		1,310
	1,968	CCM Merger, Inc., Term Loan, VAR, 7.000%, 03/01/17		1,966
	1,400	Mohegan Tribal Gaming Authority, Term Loan, VAR, 03/31/16 ^		1,372
				7,086
		Hotels, Restaurants & Leisure — 0.0% (g)
	531	Burger King Corp., Tranche B Term Loan, VAR, 4.500%, 10/19/16		529
		Media — 0.4%
	441	Bresnan Communications, Term Loan B, VAR, 4.500%, 12/14/17		440
	1,013	Cengage Learning Acquisitions, Term Loan, VAR, 2.490%, 07/03/14		940
	2,382	Clear Channel Communications, Inc., Term Loan B, VAR, 3.894%, 01/29/16		1,955
	388	High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16		386

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Media — Continued
		Media General, Inc., Term Loan,
	827	VAR, 5.243%, 03/29/13		780
	244	VAR, 5.321%, 03/29/13		231
	1,451	Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16		1,445
	1,750	Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13		1,800
		R.H. Donnelley, Inc., Exit Term Loan,
	537	VAR, 9.000%, 10/24/14		205
	428	VAR, 9.000%, 10/24/14		164
	114	VAR, 9.000%, 10/24/14		44
	126	VAR, 9.000%, 10/24/14		48
	873	Radio One, Inc., 1st Lien Term Loan B, VAR, 7.500%, 03/31/16		858
	190	Univision Communications, Inc., Initial Term Loan, VAR, 2.244%, 09/29/14		187
		Vertis, Inc., 1st Lien Term Loan,
	2,952	VAR, 11.750%, 12/21/15		1,028
	41	VAR, 11.750%, 12/21/15		14
				10,525
		Specialty Retail — 0.2%
		Claire’s Stores, Term Loan B,
	2,880	VAR, 2.994%, 05/29/14		2,728
	604	VAR, 3.301%, 05/29/14		571
	718	Gymboree Corp., 1st Lien Term Loan, VAR, 5.000%, 02/23/18		675
				3,974
		Total Consumer Discretionary		27,330
		Consumer Staples — 0.0% (g)
		Food Products — 0.0% (g)
		Bolthouse Farms, 1st Lien Term Loan,
	128	VAR, 5.500%, 02/11/16		128
	3	VAR, 5.750%, 02/11/16		3
	240	High Liner Foods, Inc., Term Loan, VAR, 7.000%, 12/19/17		240
		Total Consumer Staples		371
		Energy — 0.1%
		Oil, Gas & Consumable Fuels — 0.1%
	574	MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18		572
	238	Western Refining, Inc., Term Loan B, VAR, 7.500%, 03/15/17		240
		Total Energy		812

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 121

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
	Loan Participations & Assignments — Continued
		Financials — 0.1%
		Capital Markets — 0.1%
	1,916	Pinafore LLC/Pinafore, Inc., Term Loan B1, VAR, 4.250%, 09/29/16		1,914
		Insurance — 0.0% (g)
	88	USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14		87
		Real Estate Investment Trusts (REITs) — 0.0% (g)
		I-Star, Term Loan A-1,
	654	VAR, 5.000%, 06/28/13		651
	404	VAR, 5.000%, 06/28/13		403
				1,054
		Total Financials		3,055
		Health Care — 0.0% (g)
		Health Care Providers & Services — 0.0% (g)
	173	inVentiv Health, Consolidated Term Loan, VAR, 6.500%, 08/04/16		166
		Health Care Technology — 0.0% (g)
		Emdeon Inc., Term Loan B,
	2	VAR, 6.750%, 11/02/18		2
	3	VAR, 6.750%, 11/02/18		3
	23	VAR, 6.750%, 11/02/18		24
	56	VAR, 6.750%, 11/02/18		57
	15	VAR, 6.750%, 11/02/18		15
				101
		Pharmaceuticals — 0.0% (g)
		Aptalis Pharma, Inc., Term Loan,
	347	VAR, 5.500%, 02/10/17		345
	37	VAR, 5.500%, 02/10/17		37
				382
		Total Health Care		649
		Industrials — 0.2%
		Aerospace & Defense — 0.0% (g)
	547	Ducommun, Inc., Term Loan B, VAR, 5.500%, 06/28/17		544
		Building Products — 0.1%
	290	Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.479%, 02/07/14		153
		Jacuzzi Brands, Inc., 1st Lien Term Loan B,
	2,487	VAR, 2.653%, 02/07/14		1,311
	5	VAR, 2.653%, 02/07/14		3
				1,467

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Commercial Services & Supplies — 0.1%
	325	AZ Chem U.S., Inc., Term Loan, VAR, 7.250%, 12/22/17		328
	348	Baker Corp. International, Term Loan, VAR, 5.000%, 06/01/18		348
	388	Cenveo Corp., Term B Loan, VAR, 6.250%, 12/21/16		385
	447	SCH Group, 1st Lien Term Loan, VAR, 6.625%, 04/28/17		405
				1,466
		Electrical Equipment — 0.0% (g)
	149	Sensata Technologies B.V., Term Loan, VAR, 4.000%, 05/12/18		149
		Machinery — 0.0% (g)
	349	Terex Corp., Term Loan, VAR, 5.500%, 04/28/17		352
		Road & Rail — 0.0% (g)
		Swift Transportation Co., Term Loan,
	137	VAR, 6.000%, 12/21/16		137
	8	VAR, 6.000%, 12/21/16		8
	24	VAR, 6.000%, 12/21/16		24
	108	VAR, 6.000%, 12/21/16		108
				277
		Total Industrials		4,255
		Information Technology — 0.1%
		Communications Equipment — 0.0% (g)
		Syniverse Holdings, Inc., Term Loan B,
	318	VAR, 5.250%, 12/21/17		319
	77	VAR, 5.250%, 12/21/17		77
	1	VAR, 5.250%, 12/21/17		1
				397
		Computers & Peripherals — 0.0% (g)
		Sealed Air Corp., Term Loan B,
	230	VAR, 4.750%, 10/03/18		232
	263	VAR, 4.750%, 10/03/18		265
				497
		IT Services — 0.1%
		EVERTEC, Inc. Term Loan B1,
	892	VAR, 5.250%, 09/30/16		889
	28	VAR, 5.250%, 09/30/16		28
	380	First Data Corp., Initial Tranche B1, VAR, 2.995%, 09/24/14^		363

SEE NOTES TO FINANCIAL STATEMENTS.

122 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT			SECURITY DESCRIPTION	VALUE
	Loan Participations & Assignments — Continued
			IT Services — Continued
	361		First Data Corp., Initial Tranche B3, VAR, 2.995%, 09/24/14^		345
					1,625
			Total Information Technology		2,519
			Materials — 0.1%
			Chemicals — 0.1%
	—	(h)	Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.829%, 05/15/14		—	(h)
			HARKO CV, Term Loan B,
	157		VAR, 5.750%, 08/02/17		158
	117		VAR, 5.750%, 08/02/17		117
			Nexeo Solutions, Term Loan,
	70		VAR, 5.000%, 09/08/17^		69
	57		VAR, 5.000%, 09/08/17^		57
	57		VAR, 5.000%, 09/08/17^		56
			PolyOne Corp., Term Loan B,
	295		VAR, 5.000%, 12/20/17		296
	5		VAR, 5.000%, 12/20/17		5
			Trinseo S.A., 1st Lien Term Loan,
	528		VAR, 6.000%, 08/02/17		476
	7		VAR, 6.750%, 08/02/17		6
					1,240
			Construction Materials — 0.0% (g)
	325		Summit Materials LLC, Term Loan, VAR, 6.000%, 01/30/19		325
			Metals & Mining — 0.0% (g)
	298		American Rock Salt, 1st Lien Term Loan, VAR, 5.500%, 04/25/17		277
	309		Noranda Aluminum, Term B Loan, VAR, 02/24/19^		309
					586
			Total Materials		2,151

PRINCIPAL AMOUNT		SECURITY DESCRIPTION	VALUE
		Utilities — 0.1%
		Independent Power Producers & Energy Traders — 0.1%
	2,117	Texas Competitive Electric Holdings Co. LLC, Extended-Term Loan, VAR, 4.757%, 10/10/17		1,181
	2,117	Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan, VAR, 3.757%, 10/10/14		1,288
		Total Utilities		2,469
		Total Loan Participations & Assignments (Cost $47,900)		43,611
NUMBER OF WARRANTS
	Warrant — 0.1%
		Consumer Discretionary — 0.1%
		Automobiles — 0.1%
		General Motors Co.,
	67	expiring 7/10/2016 (Strike Price $10.00) (a)		1,132
	67	expiring 7/10/2019 (Strike Price $18.33) (a)		766
		Total Warrants (Cost $2,389)		1,898
SHARES
	Short-Term Investment — 7.5%
		Investment Company — 7.5%
	170,014	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $170,014)		170,014
		Total Investments — 99.9% (Cost $2,150,655)		2,270,498
		Other Assets in Excess of Liabilities — 0.1%		2,129
		NET ASSETS — 100.0%	$	2,272,627

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 123

JPMorgan Core Plus Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of contracts)

Futures Contracts
NUMBER OF CONTRACTS			DESCRIPTION	EXPIRATION DATE		NOTIONAL VALUE AT 02/29/12			UNREALIZED APPRECIATION (DEPRECIATION)
			Long Futures Outstanding
	24		10 Year U.S. Treasury Note		06/20/12		3,143			2
			Short Futures Outstanding
	(13	)	30 Year U.S. Treasury Bond		06/20/12		(1,842	)		(3	)
	(1	)	5 Year U.S. Treasury Note		06/29/12		(123	)		—	(h)
										(1	)

Forward Foreign Currency Exchange Contracts
CONTRACTS TO BUY		CURRENCY	COUNTERPARTY	SETTLEMENT DATE		SETTLEMENT VALUE		VALUE AT 02/29/12		NET UNREALIZED APPRECIATION (DEPRECIATION)
	280,000	EUR	BNP Paribas		03/30/12		359		373		14
	3,750,000	MXN	Deutsche Bank AG		03/21/12		267		291		24
							626		664		38
CONTRACTS TO SELL		CURRENCY	COUNTERPARTY	SETTLEMENT DATE		SETTLEMENT VALUE		VALUE AT 02/29/12		NET UNREALIZED APPRECIATION (DEPRECIATION)
	145,000	EUR	BNP Paribas		03/30/12		190		193		(3	)
	270,000	EUR	Credit Suisse International		03/30/12		361		360		1
	10,000	EUR	Morgan Stanley		03/30/12		13		13		—	(h)
	3,750,000	MXN	Credit Suisse International		03/21/12		273		291		(18	)
							837		857		(20	)

Credit Default Swaps—Sell Protection [1]

Corporate and Sovereign Issuers:

SWAP COUNTERPARTY/ REFERENCE OBLIGATION

FUND RECEIVES FIXED RATE (r)

TERMINATION DATE

IMPLIED CREDIT SPREAD AS OF 02/29/12 [2]

NOTIONAL AMOUNT [3]

VALUE

Goldman Sachs Capital Management:

FSA Global Funding Ltd., 6.110%, 06/29/15

1.950% quarterly

03/20/13

3.125

%

1,000

(8

)

[1] The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay any upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts.

[2] Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

[3] The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event.

SEE NOTES TO FINANCIAL STATEMENTS.

124 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

JPMorgan Government Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — 39.2%
		Agency CMO — 39.2%
		Federal Home Loan Mortgage Corp. REMICS,
	87	Series 1343, Class LA, 8.000%, 08/15/22		104
	596	Series 1367, Class K, 5.500%, 09/15/22		665
	120	Series 1591, Class E, 10.000%, 10/15/23		129
	1,013	Series 1633, Class Z, 6.500%, 12/15/23		1,074
	1,216	Series 1694, Class PK, 6.500%, 03/15/24		1,291
	5,942	Series 1785, Class A, 6.000%, 10/15/23		6,010
	320	Series 1999, Class PU, 7.000%, 10/15/27		375
	542	Series 2031, Class PG, 7.000%, 02/15/28		638
	1,556	Series 2035, Class PC, 6.950%, 03/15/28		1,825
	1,238	Series 2064, Class PD, 6.500%, 06/15/28 (m)		1,237
	1,095	Series 2095, Class PE, 6.000%, 11/15/28		1,228
	407	Series 2152, Class BD, 6.500%, 05/15/29		443
	2,418	Series 2162, Class TH, 6.000%, 06/15/29		2,708
	178	Series 2345, Class PQ, 6.500%, 08/15/16		185
	1,245	Series 2367, Class ME, 6.500%, 10/15/31		1,350
	2,692	Series 2480, Class EJ, 6.000%, 08/15/32		2,985
	5,859	Series 2562, Class PG, 5.000%, 01/15/18		6,301
	2,193	Series 2571, Class PV, 5.500%, 01/15/14		2,267
	881	Series 2580, Class QM, 5.000%, 10/15/31		888
	3,095	Series 2611, Class QZ, 5.000%, 05/15/33		3,608
	1,527	Series 2630, Class KS, 4.000%, 01/15/17		1,534
	596	Series 2647, Class A, 3.250%, 04/15/32		616
	2,887	Series 2651, Class VZ, 4.500%, 07/15/18		3,072
	9,000	Series 2656, Class BG, 5.000%, 10/15/32		9,731
	2,500	Series 2688, Class DG, 4.500%, 10/15/23		2,711
	8,588	Series 2727, Class PE, 4.500%, 07/15/32		9,137
	1,183	Series 2749, Class TD, 5.000%, 06/15/21		1,192
	6,000	Series 2773, Class TB, 4.000%, 04/15/19		6,446
	7,450	Series 2841, Class AT, 4.000%, 08/15/19		8,018
	2,428	Series 2882, Class QD, 4.500%, 07/15/34		2,650
	6,342	Series 2915, Class MU, 5.000%, 01/15/35		7,187
	3,198	Series 2927, Class GA, 5.500%, 10/15/34		3,589
	5,500	Series 2931, Class QD, 4.500%, 02/15/20		6,127
	7,267	Series 2976, Class HP, 4.500%, 01/15/33		7,676
	10,600	Series 3036, Class ND, 5.000%, 05/15/34 (m)		11,543
	2,216	Series 3045, Class HN, 4.500%, 09/15/33		2,365
	2,172	Series 3085, Class VS, HB, IF, 27.726%, 12/15/35		3,504
	5,034	Series 3181, Class OP, PO, 07/15/36		4,804
	4,500	Series 3188, Class GE, 6.000%, 07/15/26		5,005
	13,422	Series 3325, Class JL, 5.500%, 06/15/37		14,783
	6,000	Series 3341, Class PE, 6.000%, 07/15/37		7,050
	7,000	Series 3413, Class B, 5.500%, 04/15/37		8,104
	6,000	Series 3544, Class PC, 5.000%, 05/15/37		6,525

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	4,000	Series 3699, Class QH, 5.500%, 07/15/40		4,778
	20,632	Series 3737, Class DG, 5.000%, 10/15/30		22,397
	7,000	Series 3798, Class AY, 3.500%, 01/15/26		7,395
	5,000	Series 3809, Class BC, 3.500%, 02/15/26		5,290
	6,351	Series 3926, Class MW, 4.500%, 09/15/26		7,072
	45,807	Series 3981, Class PA, 3.000%, 04/15/31		47,690
	87	Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23		17
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	2,461	Series T-51, Class 1A, VAR, 6.500%, 09/25/43		2,789
	2,807	Series T-54, Class 2A, 6.500%, 02/25/43		3,133
	1,150	Series T-56, Class APO, PO, 05/25/43		835
	1,128	Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44		1,274
		Federal National Mortgage Association Interest STRIPS,
	3,515	Series 278, Class 1, VAR, 1.007%, 08/01/25		3,419
	1,513	Series 278, Class 3, VAR, 1.024%, 11/01/23		1,476
	1,988	Series 343, Class 23, IO, 4.000%, 10/01/18		125
		Federal National Mortgage Association REMICS,
	117	Series 1988-16, Class B, 9.500%, 06/25/18 (m)		132
	55	Series 1990-57, Class J, 7.000%, 05/25/20 (m)		58
	290	Series 1993-110, Class H, 6.500%, 05/25/23		336
	224	Series 1993-146, Class E, PO, 05/25/23		203
	3,753	Series 1993-155, Class PJ, 7.000%, 09/25/23		4,350
	41	Series 1993-205, Class H, PO, 09/25/23		39
	61	Series 1993-217, Class H, PO, 08/25/23		58
	48	Series 1993-228, Class G, PO, 09/25/23		46
	1,303	Series 1994-37, Class L, 6.500%, 03/25/24		1,498
	476	Series 1994-43, Class PJ, 6.350%, 12/25/23		477
	4,697	Series 1994-51, Class PV, 6.000%, 03/25/24		5,261
	249	Series 1994-62, Class PJ, 7.000%, 01/25/24		249
	2,420	Series 1998-58, Class PC, 6.500%, 10/25/28		2,691
	493	Series 2000-8, Class Z, 7.500%, 02/20/30		578
	1,483	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		331
	511	Series 2002-2, Class UC, 6.000%, 02/25/17		546
	821	Series 2002-3, Class PG, 5.500%, 02/25/17		867
	4,337	Series 2002-73, Class OE, 5.000%, 11/25/17		4,717
	1,583	Series 2002-92, Class FB, VAR, 0.894%, 04/25/30		1,596
	7,491	Series 2003-21, Class PZ, 4.500%, 03/25/33		8,273

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 125

JPMorgan Government Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	521	Series 2003-67, Class SA, HB, IF, 43.914%, 10/25/31		1,072
	5,000	Series 2003-74, Class VL, 5.500%, 11/25/22		5,391
	19,296	Series 2003-81, Class MC, 5.000%, 12/25/32 (m)		20,737
	5,000	Series 2003-92, Class VH, 5.000%, 02/25/19		5,544
	9,303	Series 2003-128, Class DY, 4.500%, 01/25/24 (m)		10,036
	16,000	Series 2004-7, Class JK, 4.000%, 02/25/19		17,109
	3,286	Series 2004-46, Class QD, HB, IF, 23.024%, 03/25/34		4,777
	3,500	Series 2004-54, Class FL, VAR, 0.644%, 07/25/34		3,506
	6,928	Series 2004-60, Class PA, 5.500%, 04/25/34		7,503
	15,000	Series 2004-97, Class B, 5.500%, 01/25/35		16,648
	7,805	Series 2005-22, Class EH, 5.000%, 04/25/35		8,845
	2,431	Series 2005-29, Class AK, 4.500%, 04/25/35		2,564
	4,439	Series 2005-58, Class EP, 5.500%, 07/25/35		5,044
	7,000	Series 2005-62, Class DX, 5.000%, 05/25/34		7,605
	4,342	Series 2005-83, Class LA, 5.500%, 10/25/35		4,962
	5,498	Series 2005-116, Class PC, 6.000%, 01/25/36		6,130
	14,525	Series 2006-3, Class SB, IF, IO, 6.456%, 07/25/35		2,158
	24,814	Series 2006-51, Class FP, VAR, 0.594%, 03/25/36		24,766
	770	Series 2006-69, Class SP, IF, 14.499%, 05/25/30		829
	355	Series 2006-81, Class FA, VAR, 0.594%, 09/25/36		355
	4,433	Series 2006-110, Class PO, PO, 11/25/36		4,206
	7,773	Series 2007-76, Class PE, 6.000%, 08/25/37		9,059
	1,919	Series 2009-89, Class A1, 5.410%, 05/25/35		2,022
	1,451	Series 2010-4, Class SL, IF, 11.039%, 02/25/40		1,557
	7,518	Series 2010-11, Class CB, 4.500%, 02/25/40		7,852
	6,000	Series 2010-47, Class MB, 5.000%, 09/25/39		6,780
	10,111	Series 2010-68, Class EP, 4.500%, 12/25/39		10,977
	5,000	Series 2010-117, Class DY, 4.500%, 10/25/25		5,621
	4,274	Series 2010-155, Class B, 3.500%, 01/25/26		4,530
	25	Series G92-35, Class EB, 7.500%, 07/25/22		29
	249	Series G92-44, Class ZQ, 8.000%, 07/25/22		283
		Federal National Mortgage Association Whole Loan,
	394	Series 1999-W4, Class A9, 6.250%, 02/25/29		447
	3,035	Series 2002-W7, Class A4, 6.000%, 06/25/29		3,399

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,301	Series 2003-W1, Class 1A1, VAR, 6.273%, 12/25/42		1,486
	637	Series 2003-W1, Class 2A, VAR, 7.084%, 12/25/42		744
	3,713	Series 2003-W18, Class 1A6, 5.370%, 08/25/43		3,842
	4,638	Series 2005-W1, Class 1A2, 6.500%, 10/25/44		5,488
	4,344	Series 2009-W1, Class A, 6.000%, 12/25/49		4,907
		Government National Mortgage Association,
	744	Series 1998-22, Class PD, 6.500%, 09/20/28		815
	425	Series 1999-17, Class L, 6.000%, 05/20/29		467
	4,264	Series 2001-10, Class PE, 6.500%, 03/16/31		4,860
	5,838	Series 2001-64, Class PB, 6.500%, 12/20/31		6,355
	23,601	Series 2003-59, Class XA, IO, VAR, 1.528%, 06/16/34		818
	3,285	Series 2004-27, Class PD, 5.500%, 04/20/34		3,945
	1,882	Series 2004-62, Class VA, 5.500%, 07/20/15		1,946
	12,987	Series 2005-28, Class AJ, 5.500%, 04/20/35		14,705
	3,633	Series 2008-15, Class NB, 4.500%, 02/20/38		3,916
	11,323	Series 2008-40, Class SA, IF, IO, 6.153%, 05/16/38		2,417
	28,693	Series 2009-42, Class TX, 4.500%, 06/20/39 (m)		32,439
	7,665	Series 2009-52, Class MA, 5.000%, 11/20/36		8,114
	4,752	Series 2009-69, Class WM, 5.500%, 08/20/39		5,546
	10,512	Series 2011-29, Class Z, 5.000%, 05/20/40		12,021
		Total Collateralized Mortgage Obligations (Cost $589,831)		635,850
	Foreign Government Security — 0.4%
	7,527	Israel Government AID Bond, (Israel), 09/15/19 (Cost $6,278)		6,455
	Mortgage Pass-Through Securities — 6.9%
		Federal Home Loan Mortgage Corp.,
	231	ARM, 2.210%, 01/01/27		242
	30	ARM, 2.356%, 04/01/30		32
	18	ARM, 2.451%, 02/01/19		18
	14	ARM, 2.520%, 07/01/30		14
	88	ARM, 2.734%, 08/01/18		93
	32	ARM, 2.780%, 03/01/18		32
	40	ARM, 3.125%, 06/01/18		40
	3	ARM, 3.166%, 01/01/20		3
	2,578	ARM, 3.178%, 03/01/37		2,744
	116	ARM, 3.188%, 01/01/21		116
	55	ARM, 3.330%, 11/01/18		58

SEE NOTES TO FINANCIAL STATEMENTS.

126 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	455		5.000%, 12/01/13 - 12/01/16		489
	272		6.000%, 04/01/14		293
	420		6.500%, 12/01/12 - 06/01/14		441
	—	(h)	7.000%, 12/01/14		—	(h)
	1,196		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24		1,291
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	3,022		4.500%, 10/01/40		3,241
	1,565		5.500%, 11/01/33		1,726
	290		6.000%, 02/01/32		324
	1,215		6.500%, 01/01/24 - 07/01/29		1,383
	1,407		7.000%, 08/01/25 - 09/01/29 (m)		1,662
	84		7.500%, 09/01/24 - 08/01/25		94
	91		8.000%, 11/01/24 - 09/01/25		103
	208		8.500%, 05/01/24 - 07/01/28		251
	6		9.000%, 10/01/17 - 11/01/21		6
	—	(h)	Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16		—	(h)
			Federal National Mortgage Association,
	215		ARM, 2.471%, 11/01/27 - 08/01/41		223
	166		ARM, 2.500%, 08/01/30		171
	98		ARM, 2.510%, 07/01/17		100
	48		ARM, 2.552%, 06/01/29		49
	38		ARM, 2.591%, 06/01/20		38
	50		ARM, 2.625%, 06/01/17 - 09/01/17		50
	75		ARM, 2.776%, 09/01/14		76
	180		ARM, 3.000%, 06/01/15 - 01/01/29		187
	14		ARM, 3.027%, 10/01/16		14
	114		ARM, 3.343%, 08/01/19		114
	7		ARM, 3.380%, 10/01/14		7
	36		ARM, 3.450%, 08/01/19		37
	92		ARM, 3.721%, 09/01/27		93
	26		ARM, 5.890%, 04/01/19		27
	20		ARM, 6.000%, 12/01/18		20
			Federal National Mortgage Association, 15 Year, Single Family,
	12,140		4.000%, 04/01/19 - 09/01/25		12,881
	2,609		4.500%, 03/01/19		2,805
	1,692		5.500%, 11/01/16 - 03/01/18		1,854
	60		6.000%, 04/01/13 - 08/01/14		64
	5		8.000%, 11/01/12		5
			Federal National Mortgage Association, 20 Year, Single Family,
	1,153		5.000%, 11/01/23		1,264

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,402	6.000%, 03/01/22		1,544
	50	7.500%, 06/01/14 - 07/01/14		53
		Federal National Mortgage Association, 30 Year, Single Family,
	2,467	4.500%, 03/01/38		2,630
	4,760	5.000%, 11/01/33		5,295
	28,596	5.500%, 02/01/29 - 05/01/36 (m)		31,664
	4,292	6.000%, 07/01/36		4,809
	848	6.500%, 06/01/26 - 04/01/32		976
	5,071	7.000%, 02/01/24 - 03/01/35		5,907
	222	7.500%, 03/01/30 - 04/01/30		245
	170	10.000%, 10/01/16 - 11/01/21		195
		Federal National Mortgage Association, Other,
	8,000	3.118%, 01/01/22		8,367
	9,988	3.373%, 01/01/22		10,561
	164	6.000%, 09/01/28		182
		Government National Mortgage Association II, 30 Year, Single Family,
	349	8.000%, 11/20/26 - 11/20/27		421
		Government National Mortgage Association, 30 Year, Single Family,
	46	6.000%, 10/15/23		52
	1,042	6.500%, 06/15/23 - 02/15/24 (m)		1,197
	427	7.000%, 12/15/22 - 06/15/28		494
	496	7.500%, 02/15/22 - 02/15/28		567
	239	8.000%, 07/15/22 - 08/15/26		285
	519	9.000%, 06/15/16 - 11/15/24		612
	26	9.500%, 08/15/16 - 12/15/20		28
		Total Mortgage Pass-Through Securities (Cost $102,939)		110,859
	U.S. Government Agency Securities — 18.3%
	12,824	Federal Farm Credit Bank, 5.750%, 12/07/28		16,901
		Federal National Mortgage Association,
	30,000	Zero Coupon, 10/09/19		23,342
	10,000	6.250%, 05/15/29		13,927
		Federal National Mortgage Association STRIPS,
	34,750	11/15/20		27,856
	8,000	05/15/23		5,617
	9,200	05/29/26		5,568
	26,153	Financing Corp., Principal STRIPS, 12/06/18		22,490
		Residual Funding Corp., Principal STRIPS,
	34,520	10/15/19		29,880
	90,500	07/15/20		75,394
	10,000	01/15/30		5,564
	5,000	04/15/30		2,756

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 127

JPMorgan Government Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — Continued
		Resolution Funding Corp. Interest STRIPS,
	50,000	07/15/20		41,441
	15,000	04/15/28		8,735
	14,740	Tennessee Valley Authority Principal STRIPS, 12/15/17		13,287
	4,500	Tennessee Valley Authority STRIPS, 07/15/16		4,237
		Total U.S. Government Agency Securities (Cost $228,551)		296,995
	U.S. Treasury Obligations — 25.7%
		U.S. Treasury Bonds,
	20,000	5.250%, 11/15/28		27,019
	20,000	5.250%, 02/15/29		27,072
	2,500	7.125%, 02/15/23		3,751
	13,140	7.250%, 05/15/16		16,715
	3,935	7.250%, 08/15/22		5,909
	3,635	8.000%, 11/15/21		5,636
	3,190	8.875%, 08/15/17		4,538
	1,020	9.000%, 11/15/18		1,531
		U.S. Treasury Inflation Indexed Notes,
	25,000	1.375%, 07/15/18		30,261
	26,450	1.625%, 01/15/15		34,267
		U.S. Treasury Notes,
	25,000	2.000%, 04/30/16		26,336
	20,000	2.000%, 11/15/21		20,100
	25,000	2.625%, 08/15/20		26,846
	50,000	2.625%, 11/15/20		53,574

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	25,000	3.750%, 11/15/18		28,961
	25,000	4.250%, 11/15/17		29,430
	1,020	4.750%, 08/15/17		1,224
		U.S. Treasury STRIPS,
	5,845	02/15/15		5,761
	1,655	05/15/15		1,627
	600	08/15/15		588
	1,900	08/15/15		1,863
	1,190	05/15/16		1,153
	72,500	05/15/20		63,164
		Total U.S. Treasury Obligations (Cost $363,557)		417,326
SHARES
	Short-Term Investment — 8.7%
		Investment Company — 8.7%
	141,918	JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (Cost $141,918)		141,918
		Total Investments — 99.2% (Cost $1,433,074)		1,609,403
		Other Assets in Excess of Liabilities — 0.8%		13,653
		NET ASSETS — 100.0%	$	1,623,056

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

128 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 0.1%
	460	Countrywide Asset-Backed Certificates, Series 2004-13, Class MV8, VAR, 1.944%, 01/25/35 (f) (i)		20
	211	GSAA Trust, Series 2006-3, Class A1, VAR, 0.324%, 03/25/36		91
	93	Long Beach Mortgage Loan Trust, Series 2004-5, Class M6, VAR, 2.744%, 09/25/34 (f) (i)		17
	7,000	Unipac IX LLC, 13.000%, 04/11/13 (f) (i)		6,935
		Total Asset-Backed Securities (Cost $7,683)		7,063
	Commercial Mortgage-Backed Security — 0.7%
	87,703	Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN, VAR, 1.999%, 11/15/15 (e) (Cost $80,245)		81,852
	Convertible Bonds — 0.1%
		Consumer Discretionary — 0.1%
		Diversified Consumer Services — 0.1%
		Stewart Enterprises, Inc.,
	6,435	3.125%, 07/15/14		6,315
	5,625	3.375%, 07/15/16		5,470
		Total Consumer Discretionary		11,785
		Materials — 0.0% (g)
		Construction Materials — 0.0% (g)
	1,839	U.S. Concrete, Inc., 9.500%, 08/31/15 (e)		1,788
		Total Convertible Bonds (Cost $11,761)		13,573
	Corporate Bonds — 79.6%
		Consumer Discretionary — 17.7%
		Auto Components — 0.3%
	1,174	Dana Holding Corp., 6.750%, 02/15/21		1,271
	22,929	Goodyear Tire & Rubber Co. (The), 7.000%, 05/15/22		23,216
	51	Meritor, Inc., 8.750%, 03/01/12		51
	1,380	Pittsburgh Glass Works LLC, 8.500%, 04/15/16 (e)		1,397
	5,200	UCI International, Inc., 8.625%, 02/15/19		5,317
				31,252
		Automobiles — 1.2%
		Chrysler Group LLC/CG Co-Issuer, Inc.,
	13,000	8.000%, 06/15/19		13,098
	28,850	8.250%, 06/15/21		29,138
		Ford Holdings LLC,
	37,822	9.300%, 03/01/30 (m)		48,412
	7,750	9.375%, 03/01/20		9,572

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Automobiles — Continued
		Ford Motor Co.,
	5,500	7.450%, 07/16/31		7,061
	325	7.500%, 08/01/26		362
	4,545	7.750%, 06/15/43		4,863
	3,425	8.900%, 01/15/32		4,367
	3,529	9.215%, 09/15/21		4,270
	6,228	9.980%, 02/15/47		8,236
		Motors Liquidation Co.,
	50	0.000%, 06/01/49 (f) (i)		13
	973	5.250%, 03/06/32 (f) (i)		243
	953	6.250%, 07/15/33 (f) (i)		238
	10,255	6.750%, 05/01/28 (d) (f) (i)		103
	246	7.250%, 04/15/41 (f) (i)		61
	284	7.250%, 07/15/41 (f) (i)		71
	548	7.250%, 02/15/52 (f) (i)		137
	404	7.375%, 05/15/48 (f) (i)		101
	6,000	7.375%, 05/23/48 (d) (f) (i)		60
	47	7.375%, 10/01/51 (f) (i)		12
	9,300	7.400%, 09/01/25 (d) (f) (i)		93
	25,800	7.700%, 04/15/16 (d) (f) (i)		258
	3,415	7.750%, 03/15/36 (d) (f) (i)		17
	12,550	8.100%, 06/15/24 (d) (f) (i)		125
	20,000	8.250%, 07/15/23 (d) (f) (i)		200
	34,006	8.375%, 07/15/33 (d) (f) (i)		340
	2,700	Navistar International Corp., 8.250%, 11/01/21		2,953
				134,404
		Broadcasting & Cable TV — 3.6%
		Adelphia Communications Corp.,
	1,075	7.750%, 01/15/09 (d)		6
	1,450	8.125%, 07/15/03 (d)		9
	3,175	9.375%, 11/15/09 (d)		20
	3,500	10.875%, 10/01/10 (d)		22
		Cablevision Systems Corp.,
	18,780	7.750%, 04/15/18		20,470
	13,172	8.000%, 04/15/20		14,786
	3,515	8.625%, 09/15/17		3,963
		CCO Holdings LLC/CCO Holdings Capital Corp.,
	23,840	6.500%, 04/30/21		25,330
	26,935	6.625%, 01/31/22		28,753
	19,362	7.000%, 01/15/19		20,911
	10,918	7.250%, 10/30/17		11,846
	17,845	7.375%, 06/01/20		19,629
	8,300	8.125%, 04/30/20		9,296

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 129

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Broadcasting & Cable TV — Continued
	30,499	Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e)		32,710
		CSC Holdings LLC,
	3,329	7.875%, 02/15/18		3,762
	9,055	8.625%, 02/15/19		10,685
		DISH DBS Corp.,
	29,895	6.750%, 06/01/21		33,183
	18,060	7.875%, 09/01/19		21,221
	6,852	Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15		7,075
		Mediacom LLC/Mediacom Capital Corp.,
	11,035	7.250%, 02/15/22 (e)		11,173
	17,770	9.125%, 08/15/19		19,413
	2,844	Sirius XM Radio, Inc., 8.750%, 04/01/15 (e)		3,228
	25,390	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e)		27,548
	23,575	UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e)		24,282
	9,340	UPCB Finance V Ltd., (Cayman Islands), 7.250%, 11/15/21 (e)		9,830
	5,390	Videotron Ltee, (Canada), 5.000%, 07/15/22 (e)		5,390
		Virgin Media Finance plc, (United Kingdom),
	6,685	5.250%, 02/15/22		6,819
	17,675	8.375%, 10/15/19		20,061
		XM Satellite Radio, Inc.,
	8,300	7.625%, 11/01/18 (e)		9,089
	12,578	13.000%, 08/01/13 (e)		14,323
				414,833
		Diversified Consumer Services — 0.6%
	5,174	Carriage Services, Inc., 7.875%, 01/15/15		5,226
	21,575	Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m)		18,123
	4,050	Mac-Gray Corp., 7.625%, 08/15/15		4,161
		Service Corp. International,
	925	6.750%, 04/01/15		1,021
	3,025	6.750%, 04/01/16		3,358
	11,755	7.000%, 06/15/17 (m)		13,166
	6,630	7.000%, 05/15/19		7,326
	3,850	7.625%, 10/01/18		4,480
	7,650	8.000%, 11/15/21		8,898
	3,435	Stewart Enterprises, Inc., 6.500%, 04/15/19		3,607
				69,366

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Gaming — 4.0%
	2,940	American Casino & Entertainment Properties LLC, 11.000%, 06/15/14		3,109
	25,000	Ameristar Casinos, Inc., 7.500%, 04/15/21		27,000
	2,345	Caesars Entertainment Operating Co., Inc., 11.250%, 06/01/17		2,568
		Chukchansi Economic Development Authority,
	13,768	8.000%, 11/15/13 (e)		9,500
	12,450	VAR, 4.159%, 11/15/12 (e)		8,590
		CityCenter Holdings LLC/CityCenter Finance Corp.,
	6,165	7.625%, 01/15/16		6,504
	53,240	PIK, 11.500%, 01/15/17		57,566
	13,750	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19 (e)		14,094
		Isle of Capri Casinos, Inc.,
	19,288	7.000%, 03/01/14 (m)		19,216
	22,220	7.750%, 03/15/19		22,164
	8,750	Mandalay Resort Group, 7.625%, 07/15/13		8,903
	21,325	MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18		23,831
		MGM Resorts International,
	3,940	7.500%, 06/01/16		4,009
	33,251	7.625%, 01/15/17		33,916
	18,110	8.625%, 02/01/19 (e)		19,287
	2,000	9.000%, 03/15/20		2,235
	19,375	10.000%, 11/01/16		21,361
	15,150	11.375%, 03/01/18		17,877
	23,834	Peninsula Gaming Corp., 10.750%, 08/15/17		26,188
		Pinnacle Entertainment, Inc.,
	5,144	8.625%, 08/01/17		5,594
	23,400	8.750%, 05/15/20		24,745
	22,500	ROC Finance LLC/ROC Finance 1 Corp., 12.125%, 09/01/18 (e)		24,862
	19,600	Seminole Hard Rock Entertainment, Inc., VAR, 3.046%, 03/15/14 (e)		18,718
	11,640	Seneca Gaming Corp., 8.250%, 12/01/18 (e)		11,931
	15,350	Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m)		10,515
	9,206	Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 8.625%, 04/15/16 (e)		9,632
		Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
	8,225	7.750%, 08/15/20		9,274
	8,450	7.875%, 05/01/20		9,464

SEE NOTES TO FINANCIAL STATEMENTS.

130 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Gaming — Continued
	10,925	Yonkers Racing Corp., 11.375%, 07/15/16 (e)		11,840
				464,493
		Hotels, Restaurants & Leisure — 1.4%
	7,905	AMC Entertainment, Inc., 8.750%, 06/01/19 (m)		8,241
	10,000	Burger King Corp., 9.875%, 10/15/18		11,300
	9,285	Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 9.125%, 08/01/18		10,376
		Cinemark USA, Inc.,
	1,000	7.375%, 06/15/21		1,067
	13,571	8.625%, 06/15/19		15,098
	2,108	CKE Holdings, Inc., PIK, 10.500%, 03/14/16 (e)		2,213
	22,776	CKE Restaurants, Inc., 11.375%, 07/15/18		25,965
	9,650	DineEquity, Inc., 9.500%, 10/30/18		10,639
	7,380	Felcor Lodging LP, 6.750%, 06/01/19		7,546
		Host Hotels & Resorts LP,
	8,500	6.000%, 11/01/20		9,233
	2,500	6.000%, 10/01/21 (e)		2,722
	20,360	Landry’s, Inc., 11.625%, 12/01/15		22,243
	900	Landry’s Holdings, Inc., 11.500%, 06/01/14 (e)		898
	7,940	Real Mex Restaurants, Inc., 14.000%, 01/01/13 (d) (f) (i)		3,573
	4,466	Royal Caribbean Cruises Ltd., (Liberia), 11.875%, 07/15/15 (m)		5,437
		Speedway Motorsports, Inc.,
	2,250	6.750%, 02/01/19		2,346
	7,000	8.750%, 06/01/16		7,674
	10,000	Vail Resorts, Inc., 6.500%, 05/01/19		10,400
	3,504	Wendy’s Co. (The), 10.000%, 07/15/16		3,859
				160,830
		Household Durables — 1.0%
	3,250	American Standard Americas, 10.750%, 01/15/16 (e)		2,275
	4,648	D.R. Horton, Inc., 6.500%, 04/15/16		5,020
	4,139	K. Hovnanian Enterprises, Inc., 10.625%, 10/15/16		3,855
		KB Home,
	7,221	5.875%, 01/15/15		7,185
	3,744	6.250%, 06/15/15		3,744
		Lennar Corp.,
	6,600	5.600%, 05/31/15		6,881

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Household Durables — Continued
	14,053	6.950%, 06/01/18		14,896
	5,315	12.250%, 06/01/17		6,843
	11,534	M/I Homes, Inc., 8.625%, 11/15/18		11,130
	10,751	MDC Holdings, Inc., 5.625%, 02/01/20		10,614
	8,440	PulteGroup, Inc., 7.625%, 10/15/17		8,946
		Standard Pacific Corp.,
	21,545	8.375%, 05/15/18		23,053
	10,250	8.375%, 01/15/21		10,891
	3,940	10.750%, 09/15/16		4,526
				119,859
		Internet & Catalog Retail — 0.1%
	7,260	Affinion Group, Inc., 7.875%, 12/15/18		6,498
		Leisure Equipment & Products — 0.3%
	17,257	Eastman Kodak Co., 9.750%, 03/01/18 (d) (e)		15,574
	11,709	FGI Holding Co., Inc., PIK, 13.000%, 10/01/15		11,885
	11,440	Icon Health & Fitness, 11.875%, 10/15/16 (e)		9,638
				37,097
		Media — 3.5%
	10,740	Allbritton Communications Co., 8.000%, 05/15/18		11,358
	470	Belo Corp., 8.000%, 11/15/16		523
	24,745	Clear Channel Communications, Inc., 9.000%, 03/01/21		22,765
		Clear Channel Worldwide Holdings, Inc.,
	21,185	7.625%, 03/15/20 (e)		21,185
	4,500	9.250%, 12/15/17		4,927
	22,760	9.250%, 12/15/17		25,036
	1,985	Entravision Communications Corp., 8.750%, 08/01/17		2,099
		Gannett Co., Inc.,
	4,510	7.125%, 09/01/18		4,702
	3,525	8.750%, 11/15/14		3,966
	1,348	9.375%, 11/15/17		1,523
	2,356	10.000%, 04/01/16		2,709
		Hughes Satellite Systems Corp.,
	3,253	6.500%, 06/15/19		3,448
	1,708	7.625%, 06/15/21		1,853
		Intelsat Jackson Holdings S.A., (Luxembourg),
	7,400	7.250%, 04/01/19		7,770
	7,940	7.250%, 10/15/20		8,357
	700	7.500%, 04/01/21		740
	7,100	8.500%, 11/01/19		7,792

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 131

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Media — Continued
		Intelsat Luxembourg S.A., (Luxembourg),
	24,500	PIK, 12.500%, 02/04/17 (e)		24,990
	81,099	PIK, 12.500%, 02/04/17		83,532
		Lamar Media Corp.,
	1,970	5.875%, 02/01/22 (e)		2,056
	1,000	7.875%, 04/15/18		1,100
	10,465	McClatchy Co. (The), 11.500%, 02/15/17		11,224
	22,525	Media General, Inc., 11.750%, 02/15/17		22,356
	9,000	NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e)		9,900
		Nexstar Broadcasting, Inc.,
	1,498	7.000%, 01/15/14		1,496
	3,062	PIK, 7.000%, 01/15/14		3,058
	4,956	Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 04/15/17		5,303
	13,980	Nielsen Finance LLC/Nielsen Finance Co., 7.750%, 10/15/18		15,553
	3,750	Quebecor Media, Inc., (Canada), 7.750%, 03/15/16		3,863
	11,165	Radio One, Inc., PIK, 15.000%, 05/24/16		8,039
	14,375	Regal Cinemas Corp., 8.625%, 07/15/19		15,705
	4,025	Regal Entertainment Group, 9.125%, 08/15/18		4,407
		Sinclair Television Group, Inc.,
	675	8.375%, 10/15/18		734
	4,215	9.250%, 11/01/17 (e)		4,710
	13,862	Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15		14,780
		Univision Communications, Inc.,
	9,920	6.875%, 05/15/19 (e)		10,119
	1,588	7.875%, 11/01/20 (e)		1,691
	10,794	Valassis Communications, Inc., 6.625%, 02/01/21		11,064
		WMG Acquisition Corp.,
	8,900	9.500%, 06/15/16		9,835
	2,270	9.500%, 06/15/16 (e)		2,508
	5,200	11.500%, 10/01/18 (e)		5,525
				404,301
		Multiline Retail — 0.4%
		QVC, Inc.,
	2,425	7.125%, 04/15/17 (e)		2,607
	17,915	7.375%, 10/15/20 (e)		19,841
	14,550	7.500%, 10/01/19 (e)		16,150
	12,000	Sears Holdings Corp., 6.625%, 10/15/18		10,350
				48,948

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Specialty Retail — 1.1%
	8,235	99 Cents Only Stores, 11.000%, 12/15/19 (e)		8,709
	4,118	Asbury Automotive Group, Inc., 8.375%, 11/15/20		4,416
	6,051	AutoNation, Inc., 5.500%, 02/01/20		6,263
	1,400	Claire’s Escrow II Corp., 9.000%, 03/15/19 (e)		1,442
	21,215	Claire’s Stores, Inc., 8.875%, 03/15/19		18,510
	25,327	Gymboree Corp., 9.125%, 12/01/18		22,668
	16,667	J. Crew Group, Inc., 8.125%, 03/01/19		16,688
	2,800	Jo-Ann Stores, Inc., 8.125%, 03/15/19 (e)		2,803
	10,165	NBC Acquisition Corp., 11.000%, 03/15/13 (d)		102
		Nebraska Book Co., Inc.,
	13,173	8.625%, 03/15/12 (d)		1,531
	3,907	10.000%, 12/1/11		2,833
	11,850	Penske Automotive Group, Inc., 7.750%, 12/15/16 (m)		12,354
	26,420	Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e)		27,146
				125,465
		Textiles, Apparel & Luxury Goods — 0.2%
	18,235	Quiksilver, Inc., 6.875%, 04/15/15 (m)		18,280
		Total Consumer Discretionary		2,035,626
		Consumer Staples — 3.4%
		Beverages — 0.2%
		Constellation Brands, Inc.,
	10,060	7.250%, 09/01/16		11,368
	1,375	7.250%, 05/15/17		1,552
	6,240	8.375%, 12/15/14		7,082
	1,120	Cott Beverages, Inc., 8.125%, 09/01/18		1,235
				21,237
		Food & Staples Retailing — 1.7%
	2,000	American Stores Co., 8.000%, 06/01/26		1,682
	22,665	Ingles Markets, Inc., 8.875%, 05/15/17 (m)		24,875
		New Albertsons, Inc.,
	500	7.450%, 08/01/29		389
	500	8.000%, 05/01/31		388
		Rite Aid Corp.,
	59,769	9.500%, 06/15/17		60,666
	13,400	9.750%, 06/12/16		14,807
	20,025	10.250%, 10/15/19		22,803
	8,750	10.375%, 07/15/16		9,330
		SUPERVALU, Inc.,
	15,525	7.500%, 11/15/14		15,816
	38,725	8.000%, 05/01/16		40,226
				190,982

SEE NOTES TO FINANCIAL STATEMENTS.

132 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Food Products — 1.0%
	11,627	Bumble Bee Acquisition Corp., 9.000%, 12/15/17 (e)		12,208
		Dean Foods Co.,
	12,375	7.000%, 06/01/16		12,715
	1,740	9.750%, 12/15/18		1,923
	309	Dole Food Co., Inc., 13.875%, 03/15/14		354
	2,602	Eurofresh, Inc., 15.000%, 11/18/16 (f) (i)		1,353
		JBS USA LLC/JBS USA Finance, Inc.,
	13,860	7.250%, 06/01/21 (e)		13,583
	7,743	8.250%, 02/01/20 (e)		7,995
	8,256	11.625%, 05/01/14		9,566
	5,029	Michael Foods, Inc., 9.750%, 07/15/18		5,507
	9,825	Pilgrim’s Pride Corp., 7.875%, 12/15/18		9,727
	12,651	Simmons Foods, Inc., 10.500%, 11/01/17 (e)		12,082
	16,000	Smithfield Foods, Inc., 7.750%, 07/01/17		18,280
	960	TreeHouse Foods, Inc., 7.750%, 03/01/18		1,051
	7,014	Tyson Foods, Inc., 6.850%, 04/01/16 (m)		7,996
				114,340
		Household Products — 0.2%
	5,160	Armored Autogroup, Inc., 9.250%, 11/01/18 (e)		4,334
	2,857	Prestige Brands, Inc., 8.125%, 02/01/20 (e)		3,129
	19,814	Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19		21,771
				29,234
		Personal Products — 0.1%
	18,695	American Achievement Corp., 10.875%, 04/15/16 (e)		13,320
		Tobacco — 0.2%
	15,275	Alliance One International, Inc., 10.000%, 07/15/16		15,313
	7,000	Vector Group Ltd., 11.000%, 08/15/15		7,350
				22,663
		Total Consumer Staples		391,776
		Energy — 11.4%
		Energy Equipment & Services — 1.5%
		Cie Generale de Geophysique - Veritas, (France),
	8,205	6.500%, 06/01/21		8,410
	1,694	9.500%, 05/15/16		1,855
	3,235	Global Geophysical Services, Inc., 10.500%, 05/01/17		3,203
	5,513	Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m)		5,789

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Energy Equipment & Services — Continued
	20,850	Key Energy Services, Inc., 6.750%, 03/01/21		21,840
	16,355	McJunkin Red Man Corp., 9.500%, 12/15/16		17,582
	20,200	Ocean Rig UDW, Inc., 9.500%, 04/27/16		20,099
	23,600	Oil States International, Inc., 6.500%, 06/01/19		25,370
	12,900	Petroleum Geo-Services ASA, (Norway), 7.375%, 12/15/18 (e)		13,545
	11,000	PHI, Inc., 8.625%, 10/15/18		11,275
		Precision Drilling Corp., (Canada),
	5,550	6.500%, 12/15/21 (e)		5,925
	9,845	6.625%, 11/15/20		10,546
	16,200	Seadrill Ltd., (Bermuda), 6.500%, 10/05/15		16,078
	8,605	Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e)		9,207
				170,724
		Oil, Gas & Consumable Fuels — 9.9%
		Alpha Natural Resources, Inc.,
	5,175	6.000%, 06/01/19		5,046
	9,325	6.250%, 06/01/21		9,045
	14,950	Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 9.625%, 10/15/18		14,277
		AmeriGas Finance LLC/AmeriGas Finance Corp.,
	9,104	6.750%, 05/20/20		9,377
	11,705	7.000%, 05/20/22		12,012
		AmeriGas Partners LP/AmeriGas Finance Corp.,
	10,125	6.250%, 08/20/19		10,226
	6,270	6.500%, 05/20/21		6,333
	5,755	Antero Resources Finance Corp., 9.375%, 12/01/17		6,331
		Arch Coal, Inc.,
	11,625	7.000%, 06/15/19 (e)		11,625
	6,120	7.250%, 10/01/20		6,105
	15,345	7.250%, 06/15/21 (e)		15,306
		Bill Barrett Corp.,
	1,167	7.625%, 10/01/19		1,219
	36,817	9.875%, 07/15/16 (m)		40,683
		Calumet Specialty Products Partners LP/Calumet Finance Corp.,
	14,395	9.375%, 05/01/19		15,007
		Chesapeake Energy Corp.,
	2,100	6.625%, 08/15/20		2,195
	13,480	6.775%, 03/15/19		13,547
	7,560	6.875%, 08/15/18		7,881
	8,120	6.875%, 11/15/20		8,526

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 133

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	6,880	7.250%, 12/15/18		7,465
	12,740	9.500%, 02/15/15		14,651
	11,089	Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125%, 07/15/22 (e)		11,477
	13,750	Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 (e)		14,025
	18,587	Citgo Petroleum Corp., 11.500%, 07/01/17 (e)		20,817
		Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp.,
	11,455	8.250%, 12/15/17		12,228
	8,310	8.500%, 12/15/19		9,037
		Comstock Resources, Inc.,
	1,650	7.750%, 04/01/19		1,526
	29,663	8.375%, 10/15/17		28,848
		Concho Resources, Inc.,
	7,855	6.500%, 01/15/22		8,719
	9,054	7.000%, 01/15/21		10,186
		Consol Energy, Inc.,
	1,410	6.375%, 03/01/21 (e)		1,421
	14,663	8.000%, 04/01/17		15,946
	8,760	8.250%, 04/01/20		9,548
	3,575	Continental Resources, Inc., 7.125%, 04/01/21		3,968
	4,841	Copano Energy LLC/Copano Energy Finance Corp., 7.125%, 04/01/21		5,131
	6,718	Denbury Resources, Inc., 8.250%, 02/15/20		7,659
		El Paso Corp.,
	4,950	6.500%, 09/15/20		5,469
	4,305	6.875%, 06/15/14		4,659
	950	7.000%, 06/15/17		1,062
	3,869	7.250%, 06/01/18		4,380
	4,800	El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20		5,348
	2,000	Encore Acquisition Co., 9.500%, 05/01/16		2,235
	4,642	Energy Transfer Partners LP, 5.200%, 02/01/22		4,997
		Energy XXI Gulf Coast, Inc.,
	16,851	7.750%, 06/15/19		17,778
	7,064	9.250%, 12/15/17		7,823
		Ferrellgas LP/Ferrellgas Finance Corp.,
	8,050	6.500%, 05/01/21		7,124
	3,750	9.125%, 10/01/17		3,975
	8,870	Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 (e)		9,447

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Oil, Gas & Consumable Fuels — Continued
		Forest Oil Corp.,
	28,168	7.250%, 06/15/19 (m)		28,379
	8,225	8.500%, 02/15/14		8,924
		Frontier Oil Corp.,
	2,500	6.875%, 11/15/18		2,587
	7,355	8.500%, 09/15/16		7,870
		Hilcorp Energy I LP/Hilcorp Finance Co.,
	17,835	7.625%, 04/15/21 (e)		19,440
	10,990	8.000%, 02/15/20 (e)		12,089
		Holly Energy Partners LP/Holly Energy Finance Corp.,
	11,575	6.250%, 03/01/15 (m)		11,575
	7,994	6.500%, 03/01/20 (e)		8,164
	5,700	8.250%, 03/15/18		6,042
	7,270	HollyFrontier Corp., 9.875%, 06/15/17		8,124
		Inergy LP/Inergy Finance Corp.,
	5,489	6.875%, 08/01/21		5,297
	14,000	7.000%, 10/01/18		13,790
		MarkWest Energy Partners LP/MarkWest Energy Finance Corp.,
	14,000	6.250%, 06/15/22		15,015
	500	6.500%, 08/15/21		540
	17,060	6.750%, 11/01/20		18,638
		Newfield Exploration Co.,
	12,000	5.750%, 01/30/22		12,990
	6,180	6.625%, 09/01/14		6,273
	14,645	6.875%, 02/01/20		15,817
	9,070	7.125%, 05/15/18		9,659
		NFR Energy LLC/NFR Energy Finance Corp.,
	28,541	9.750%, 02/15/17 (e)		22,547
	6,305	Patriot Coal Corp., 8.250%, 04/30/18		5,675
	23,988	PBF Holding Co. LLC/PBF Finance Corp., 8.250%, 02/15/20 (e)		23,988
		Peabody Energy Corp.,
	16,650	6.000%, 11/15/18 (e)		17,441
	12,250	6.250%, 11/15/21 (e)		12,832
		Penn Virginia Corp.,
	4,525	7.250%, 04/15/19		4,141
	16,786	10.375%, 06/15/16 (m)		16,660
	4,800	Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18		5,016
	16,000	Petrohawk Energy Corp., 6.250%, 06/01/19		18,080
		Pioneer Drilling Co.,
	7,000	9.875%, 03/15/18		7,490

SEE NOTES TO FINANCIAL STATEMENTS.

134 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	5,975	9.875%, 03/15/18 (e)		6,393
		Pioneer Natural Resources Co.,
	2,539	5.875%, 07/15/16		2,821
	4,635	6.650%, 03/15/17		5,332
	4,950	6.875%, 05/01/18		5,815
	19,722	7.500%, 01/15/20		24,372
	5,040	Plains Exploration & Production Co., 7.625%, 04/01/20		5,569
		QEP Resources, Inc.,
	13,950	5.375%, 10/01/22		14,089
	20,569	6.875%, 03/01/21		22,729
		Range Resources Corp.,
	8,502	5.000%, 08/15/22		8,587
	5,330	5.750%, 06/01/21		5,703
	1,080	6.750%, 08/01/20		1,183
	3,270	7.250%, 05/01/18		3,507
	2,000	7.500%, 10/01/17		2,115
	2,000	8.000%, 05/15/19		2,230
	12,345	Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21		13,425
	20,750	Samson Investment Co., 9.750%, 02/15/20 (e)		21,839
		SM Energy Co.,
	9,700	6.500%, 11/15/21 (e)		10,476
	22,659	6.625%, 02/15/19		24,302
		Swift Energy Co.,
	16,772	7.125%, 06/01/17		17,233
	14,945	7.875%, 03/01/22 (e)		15,618
	13,336	8.875%, 01/15/20		14,403
		Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
	4,800	6.375%, 08/01/22 (e)		5,052
	16,385	6.875%, 02/01/21		17,491
	9,090	7.875%, 10/15/18		9,954
	10,956	8.250%, 07/01/16		11,586
	6,375	Unit Corp., 6.625%, 05/15/21		6,526
	2,334	Venoco, Inc., 8.875%, 02/15/19		2,112
	24,015	W&T Offshore, Inc., 8.500%, 06/15/19		25,846
	5,967	Western Refining, Inc., 11.250%, 06/15/17 (e)		6,788
		WPX Energy, Inc.,
	18,045	5.250%, 01/15/17 (e)		18,406
	14,220	6.000%, 01/15/22 (e)		14,682
				1,142,957
		Total Energy		1,313,681

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Financials — 11.0%
		Capital Markets — 0.0% (g)
	4,320	Oppenheimer Holdings, Inc., 8.750%, 04/15/18		4,406
		Commercial Banks — 0.9%
	1,100	BankAmerica Capital II, 8.000%, 12/15/26		1,104
	17,775	BankAmerica Institutional Capital B, 7.700%, 12/31/26 (e)		17,220
	12,671	Countrywide Capital III, 8.050%, 06/15/27		12,719
	6,732	NB Capital Trust II, 7.830%, 12/15/26		6,656
	4,750	NB Capital Trust IV, 8.250%, 04/15/27		4,803
		Royal Bank of Scotland Group plc, (United Kingdom),
	3,000	5.000%, 10/01/14		2,943
	95	5.050%, 01/08/15		92
	3,040	Royal Bank of Scotland N.V., (Netherlands), VAR, 1.240%, 03/09/15		2,619
		Royal Bank of Scotland plc (The), (United Kingdom),
	3,020	VAR, 1.281%, 04/11/16 (a)		2,578
	4,000	VAR, 1.316%, 09/29/15 (a)		3,520
	55,845	Wachovia Capital Trust III, VAR, 5.570%, 04/02/12 (m) (x)		51,168
				105,422
		Consumer Finance — 3.0%
		Ally Financial, Inc.,
	22,880	6.250%, 12/01/17		23,649
	465	7.500%, 12/31/13		495
	28,085	7.500%, 09/15/20		30,929
	5,765	8.000%, 03/15/20		6,529
	118,189	8.000%, 11/01/31		131,928
	3,920	Citigroup Capital XXI, VAR, 8.300%, 12/21/57		4,034
		Ford Motor Credit Co. LLC,
	5,543	3.875%, 01/15/15		5,682
	6,777	5.000%, 05/15/18		7,143
	5,750	5.625%, 09/15/15		6,218
	8,250	5.750%, 02/01/21		9,213
	8,250	5.875%, 08/02/21		9,207
	5,525	6.625%, 08/15/17		6,261
	5,500	8.000%, 06/01/14 (m)		6,089
	29,945	8.000%, 12/15/16 (m)		35,586
	10,500	8.125%, 01/15/20		13,093
	6,850	8.700%, 10/01/14		7,791
	47,767	Springleaf Finance Corp., 6.900%, 12/15/17		37,020
				340,867

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 135

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Diversified Financial Services — 3.9%
	8,565	ACE Cash Express, Inc., 11.000%, 02/01/19 (e)		7,923
		Aircastle Ltd., (Bermuda),
	6,610	9.750%, 08/01/18 (e)		7,420
	3,640	9.750%, 08/01/18		4,104
		Bank of America Corp.,
	100	5.420%, 03/15/17		100
	3,550	5.625%, 07/01/20		3,683
	10,921	5.750%, 08/15/16		11,154
	4,580	5.875%, 01/05/21		4,821
	44,661	VAR, 8.000%, 01/30/18 (x)		45,345
	20,170	VAR, 8.125%, 05/15/18 (x)		20,533
		Capmark Financial Group, Inc.,
	144,695	0.000% 05/10/10 (d)		1,085
	12,810	VAR, 9.000%, 09/30/15		12,970
	6,495	Cardtronics, Inc., 8.250%, 09/01/18		7,161
		CIT Group, Inc.,
	33,925	6.625%, 04/01/18 (e)		36,554
	15,600	7.000%, 05/02/16 (e)		15,619
	1,450	7.000%, 05/01/17		1,450
	55,653	7.000%, 05/02/17 (e)		55,723
		CNG Holdings, Inc.,
	6,200	12.250%, 02/15/15 (e)		6,634
	1,300	13.750%, 08/15/15 (e)		1,384
	5,695	Community Choice Financial, Inc., 10.750%, 05/01/19 (e)		5,524
	10,878	Highland Ranch, 6.700%, 09/01/20 (f) (i)		9,899
	15,055	ILFC E-Capital Trust I, VAR, 4.340%, 12/21/65 (e)		10,416
	16,645	ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e)		12,068
		International Lease Finance Corp.,
	400	5.625%, 09/20/13		408
	24,055	6.250%, 05/15/19		24,388
	36,006	8.250%, 12/15/20		40,147
	700	8.625%, 09/15/15		777
	46,740	8.625%, 01/15/22		52,553
	13,045	8.750%, 03/15/17		14,741
	10,600	8.875%, 09/01/17		12,004
	130	Speedy Cash, Inc., 10.750%, 05/15/18 (e)		133
	5,851	SquareTwo Financial Corp., 11.625%, 04/01/17		5,727
	12,950	Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15		13,970
				446,418

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Insurance — 2.4%
	59,075	American International Group, Inc., VAR, 8.175%, 05/15/58		62,546
	27,550	Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x)		24,657
	13,204	CNO Financial Group, Inc., 9.000%, 01/15/18 (e)		14,211
	5,000	Hartford Financial Services Group, Inc., VAR, 8.125%, 06/15/38		5,312
	27,529	HUB International Holdings, Inc., 10.250%, 06/15/15 (e) (m)		28,217
		Liberty Mutual Group, Inc.,
	15,375	7.800%, 03/15/37 (e)		14,991
	78,543	VAR, 10.750%, 06/15/58 (e)		102,498
		USI Holdings Corp.,
	17,386	9.750%, 05/15/15 (e) (m)		17,430
	7,032	VAR, 4.378%, 11/15/14 (e)		6,522
	6,500	XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x)		5,509
				281,893
		Real Estate Investment Trusts (REITs) — 0.7%
	15,100	Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.750%, 02/15/19		15,440
	14,425	CB Richard Ellis Services, Inc., 6.625%, 10/15/20		15,327
	21,840	CNL Lifestyle Properties, Inc., 7.250%, 04/15/19		20,693
	10,511	DuPont Fabros Technology LP, 8.500%, 12/15/17		11,615
	12,229	First Industrial LP, 6.420%, 06/01/14		12,257
	950	Weyerhaeuser Co., 7.375%, 03/15/32		1,033
				76,365
		Real Estate Management & Development — 0.1%
	9,190	Kennedy-Wilson, Inc., 8.750%, 04/01/19		9,489
		Total Financials		1,264,860
		Health Care — 6.3%
		Biotechnology — 0.0% (g)
	1,925	Bio-Rad Laboratories, Inc., 8.000%, 09/15/16		2,146
		Health Care Equipment & Supplies — 0.4%
		Biomet, Inc.,
	17,450	10.000%, 10/15/17 (m)		18,955
	5,582	PIK, 10.375%, 10/15/17		6,078
	8,400	Physio-Control International Inc., 9.875%, 01/15/19 (e)		8,820

SEE NOTES TO FINANCIAL STATEMENTS.

136 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Health Care Equipment & Supplies — Continued
	3,500	Teleflex, Inc., 6.875%, 06/01/19		3,771
	2,286	VWR Funding, Inc., 10.750%, 06/30/17 (e)		2,240
				39,864
		Health Care Providers & Services — 4.7%
	14,511	Capella Healthcare, Inc., 9.250%, 07/01/17		14,983
	45,923	CHS/Community Health Systems, Inc., 8.875%, 07/15/15		48,104
		DaVita, Inc.,
	13,500	6.375%, 11/01/18		14,310
	8,800	6.625%, 11/01/20		9,438
	10,825	Emergency Medical Services Corp., 8.125%, 06/01/19		11,366
		Fresenius Medical Care U.S. Finance II, Inc.,
	9,131	5.625%, 07/31/19 (e)		9,725
	7,587	5.875%, 01/31/22 (e)		8,004
		Fresenius Medical Care U.S. Finance, Inc.,
	6,000	5.750%, 02/15/21 (e)		6,285
	3,075	6.500%, 09/15/18 (e)		3,405
	8,669	6.875%, 07/15/17		9,623
		HCA, Inc.,
	3,776	5.750%, 03/15/14		3,922
	34,000	5.875%, 03/15/22		34,850
	2,550	6.300%, 10/01/12 (m)		2,604
	8,053	6.375%, 01/15/15		8,536
	31,235	6.500%, 02/15/20		33,500
	1,315	6.750%, 07/15/13		1,377
	8,825	7.250%, 09/15/20		9,619
	38,848	7.500%, 02/15/22		42,053
	1,580	7.875%, 02/15/20		1,742
	22,600	8.000%, 10/01/18		24,917
	8,556	8.500%, 04/15/19		9,583
	3,765	9.875%, 02/15/17		4,118
		Health Management Associates, Inc.,
	13,117	6.125%, 04/15/16		13,691
	14,900	7.375%, 01/15/20 (e)		15,533
	24,577	IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19		23,471
		inVentiv Health, Inc.,
	5,521	10.000%, 08/15/18 (e)		4,997
	20,006	10.000%, 08/15/18 (e)		18,205
	5,250	Kindred Healthcare, Inc., 8.250%, 06/01/19		4,929
	5,200	LifePoint Hospitals, Inc., 6.625%, 10/01/20		5,590
	20,123	Multiplan, Inc., 9.875%, 09/01/18 (e)		21,871
	6,380	Omega Healthcare Investors, Inc., 6.750%, 10/15/22		6,898

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Health Care Providers & Services — Continued
	11,593	Omnicare, Inc., 7.750%, 06/01/20		12,912
	8,400	OnCure Holdings, Inc., 11.750%, 05/15/17		6,552
	2,570	Radiation Therapy Services, Inc., 9.875%, 04/15/17		1,921
		Tenet Healthcare Corp.,
	16,000	6.250%, 11/01/18 (e)		17,060
	21,178	8.000%, 08/01/20		22,449
	13,394	8.875%, 07/01/19		15,269
	1,800	9.250%, 02/01/15		1,998
	425	10.000%, 05/01/18		495
		Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.,
	10,482	7.750%, 02/01/19		10,744
	19,987	8.000%, 02/01/18		21,036
		Ventas Realty LP/Ventas Capital Corp.,
	1,899	6.500%, 06/01/16		1,961
	3,000	6.750%, 04/01/17		3,105
				542,751
		Pharmaceuticals — 1.2%
	1,500	Aptalis Pharma, Inc., 12.750%, 03/01/16		1,600
	18,878	Catalent Pharma Solutions, Inc., VAR, 9.500%, 04/15/15		19,492
	10,980	Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 (f) (i)		1,537
		Elan Finance plc/Elan Finance Corp., (Ireland),
	38,600	8.750%, 10/15/16		42,460
		Endo Pharmaceuticals Holdings, Inc.,
	5,300	7.000%, 07/15/19		5,830
	6,000	7.250%, 01/15/22		6,675
	3,650	Grifols, Inc., 8.250%, 02/01/18		3,960
	17,637	Mylan, Inc., 7.875%, 07/15/20 (e)		19,709
		Valeant Pharmaceuticals International,
	10,225	6.500%, 07/15/16 (e)		10,430
	5,450	6.750%, 10/01/17 (e)		5,586
	9,400	6.875%, 12/01/18 (e)		9,612
	12,670	7.000%, 10/01/20 (e)		12,844
	950	7.250%, 07/15/22 (e)		956
				140,691
		Total Health Care		725,452
		Industrials — 7.7%
		Aerospace & Defense — 0.9%
	6,380	Alliant Techsystems, Inc., 6.875%, 09/15/20		6,779
	6,575	BE Aerospace, Inc., 6.875%, 10/01/20		7,331
	2,887	Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17		1,977

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 137

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Aerospace & Defense — Continued
	13,830	CPI International, Inc., 8.000%, 02/15/18		11,997
		Esterline Technologies Corp.,
	4,910	6.625%, 03/01/17		5,082
	1,865	7.000%, 08/01/20		2,061
	1,250	Hexcel Corp., 6.750%, 02/01/15		1,261
	22,590	Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17		24,341
	1,777	Moog, Inc., 7.250%, 06/15/18		1,897
		Spirit Aerosystems, Inc.,
	13,558	6.750%, 12/15/20		14,710
	4,500	7.500%, 10/01/17		4,894
		Triumph Group, Inc.,
	9,066	8.000%, 11/15/17		9,859
	8,380	8.625%, 07/15/18		9,428
				101,617
		Airlines — 1.0%
	2,326	American Airlines 2011-1 Class B Pass-Through Trust, 7.000%, 01/31/18 (e)		2,279
	16,252	Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18		16,333
	1,913	Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19		1,980
	17,138	Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m)		17,823
	2,561	Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.879%, 06/02/13		2,446
	5,159	Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e)		5,263
	588	Continental Airlines 2010-1 Class A Pass-Through Trust, 4.750%, 01/12/21		615
	3,200	Continental Airlines, Inc., 6.750%, 09/15/15 (e)		3,232
	4,722	Delta Air Lines 2007-1 Class B Pass-Through Trust, 8.021%, 08/10/22		4,793
	6,027	Delta Air Lines 2007-1 Class C Pass-Through Trust, 8.954%, 08/10/14		6,186
	332	Delta Air Lines 2009-1 Series B Pass-Through Trust, 9.750%, 12/17/16		352
	531	Delta Air Lines, Inc., 9.500%, 09/15/14 (e)		569
	32,033	Northwest Airlines 2007-1 Class A Pass-Through Trust, 7.027%, 11/01/19		32,994
	1,783	Northwest Airlines 2007-1 Class B Pass-Through Trust, 8.028%, 11/01/17		1,801
	1,223	UAL 2007-1 Class C Pass-Through Trust, VAR, 3.059%, 07/02/14		1,162

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Airlines — Continued
		UAL 2007-1 Pass-Through Trust,
	8,552	6.636%, 07/02/22		8,894
	965	7.336%, 07/02/19		907
	4,158	UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17		4,761
				112,390
		Building Products — 0.5%
		Building Materials Corp. of America,
	12,940	6.750%, 05/01/21 (e)		14,072
	19,475	6.875%, 08/15/18 (e)		20,936
	5,265	7.000%, 02/15/20 (e)		5,712
	8,225	Calcipar S.A., (Luxembourg), 6.875%, 05/01/18 (e)		8,102
	15,300	Nortek Inc., 8.500%, 04/15/21		14,803
				63,625
		Commercial Services & Supplies — 1.4%
	5,975	B-Corp. Merger Sub, Inc., 8.250%, 06/01/19 (e)		6,094
		Cenveo Corp.,
	28,393	8.875%, 02/01/18		27,541
	3,035	10.500%, 08/15/16 (e)		2,975
		Deluxe Corp.,
	3,203	7.000%, 03/15/19		3,243
	8,075	7.375%, 06/01/15		8,297
		FTI Consulting, Inc.,
	8,500	6.750%, 10/01/20		9,191
	2,000	7.750%, 10/01/16		2,082
	17,614	Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e)		18,583
	3,936	Geo Group, Inc. (The), 6.625%, 02/15/21		4,118
		Harland Clarke Holdings Corp.,
	8,297	9.500%, 05/15/15		6,534
	24,840	VAR, 6.000%, 05/15/15		16,953
		Iron Mountain, Inc.,
	2,675	7.750%, 10/01/19		2,956
	6,563	8.000%, 06/15/20		7,006
	631	8.375%, 08/15/21		701
	3,205	8.750%, 07/15/18		3,341
	2,485	Liberty Tire Recycling, 11.000%, 10/01/16 (e)		2,299
	2,465	Mobile Mini, Inc., 7.875%, 12/01/20		2,588
		Quebecor World Capital Corp., (Canada),
	8,325	6.125%, 11/15/13 (d)		83
	6,815	6.500%, 08/01/27 (d)		68

SEE NOTES TO FINANCIAL STATEMENTS.

138 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Services & Supplies — Continued
	3,825	9.750%, 01/15/15 (d)		39
		R.R. Donnelley & Sons Co.,
	9,174	6.125%, 01/15/17		8,876
	8,100	7.250%, 05/15/18		8,039
	7,220	7.625%, 06/15/20		7,004
	3,605	8.250%, 03/15/19		3,659
	5,210	WCA Waste Corp., 7.500%, 06/15/19 (e)		5,275
				157,545
		Construction & Engineering — 1.1%
	2,200	Dycom Investments, Inc., 7.125%, 01/15/21		2,261
	600	Goodman Networks, Inc., 12.125%, 07/01/18 (e)		609
	2,520	Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19		2,627
	1,000	New Enterprise Stone & Lime Co., Inc., 11.000%, 09/01/18		845
		RSC Equipment Rental, Inc./RSC Holdings III LLC,
	13,240	8.250%, 02/01/21		14,034
	9,782	9.500%, 12/01/14 (m)		10,100
	18,240	Tutor Perini Corp., 7.625%, 11/01/18		18,331
		United Rentals North America, Inc.,
	15,750	8.375%, 09/15/20		16,301
	12,250	9.250%, 12/15/19 (m)		13,536
	8,905	10.875%, 06/15/16		10,174
		UR Financing Escrow Corp.,
	6,176	5.750%, 07/15/18 (e)		6,346
	9,595	7.375%, 05/15/20 (e)		9,847
	15,994	7.625%, 04/15/22 (e)		16,553
				121,564
		Electrical Equipment — 0.2%
		Belden, Inc.,
	5,358	7.000%, 03/15/17		5,519
	5,315	9.250%, 06/15/19		5,740
	1,350	Dynacast International LLC/Dynacast Finance, Inc., 9.250%, 07/15/19 (e)		1,407
	5,910	International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e)		6,195
				18,861
		Environmental Services — 0.1%
		Casella Waste Systems, Inc.,
	2,395	7.750%, 02/15/19		2,383
	7,455	11.000%, 07/15/14		8,079
				10,462

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Industrial Conglomerates — 0.3%
	22,670	JB Poindexter & Co., Inc., 8.750%, 03/15/14 (m)		22,783
		Schaeffler Finance B.V., (Netherlands),
	1,375	7.750%, 02/15/17 (e)		1,463
	1,374	8.500%, 02/15/19 (e)		1,487
	13,325	Trimas Corp., 9.750%, 12/15/17 (m)		14,758
				40,491
		Machinery — 0.5%
	5,940	Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e)		6,252
	9,000	Briggs & Stratton Corp., 6.875%, 12/15/20		9,517
	8,480	CNH Capital LLC, 6.250%, 11/01/16 (e)		9,116
	4,207	Columbus McKinnon Corp., 7.875%, 02/01/19		4,407
	4,518	Commercial Vehicle Group, Inc., 7.875%, 04/15/19 (e)		4,563
	4,765	Griffon Corp., 7.125%, 04/01/18		4,956
		SPX Corp.,
	5,275	6.875%, 09/01/17		5,855
	1,325	7.625%, 12/15/14		1,488
	4,550	Thermadyne Holdings Corp., 9.000%, 12/15/17		4,755
	8,165	Titan International, Inc., 7.875%, 10/01/17		8,675
				59,584
		Marine — 0.8%
	15,420	ACL I Corp., PIK, 11.375%, 02/15/16 (e)		14,765
	9,400	Bluewater Holding B.V., (Netherlands), VAR, 3.567%, 07/17/14 (e)		7,708
	7,445	CMA CGM S.A., (France), 8.500%, 04/15/17 (e)		4,206
	19,538	Commercial Barge Line Co., 12.500%, 07/15/17		21,760
	22,860	General Maritime Corp., 12.000%, 11/15/17 (d)		343
	4,037	Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17		3,361
	20,838	Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17		20,629
	9,982	Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 9.250%, 04/15/19 (e)		8,285
	13,387	Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14		12,216
				93,273

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 139

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Road & Rail — 0.8%
		Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
	4,195	7.750%, 05/15/16		4,331
	3,385	8.250%, 01/15/19		3,529
	15,812	9.625%, 03/15/18		17,235
	8,500	9.750%, 03/15/20		9,308
	1,475	VAR, 3.003%, 05/15/14		1,431
		Hertz Corp. (The),
	12,829	6.750%, 04/15/19		13,439
	4,925	7.375%, 01/15/21		5,331
	10,531	7.500%, 10/15/18		11,360
		Kansas City Southern de Mexico S.A. de C.V., (Mexico),
	7,255	6.125%, 06/15/21		7,835
	7,178	6.625%, 12/15/20		7,896
	9,715	Quality Distribution LLC/QD Capital Corp., 9.875%, 11/01/18		10,626
	3,375	RailAmerica, Inc., 9.250%, 07/01/17		3,763
				96,084
		Transportation Services — 0.1%
	13,905	CEVA Group plc (United Kingdom), 8.375%, 12/01/17 (e)		13,870
		Total Industrials		889,366
		Information Technology — 4.1%
		Communications Equipment — 0.6%
		Avaya, Inc.,
	21,985	7.000%, 04/01/19 (e)		22,287
	28,780	9.750%, 11/01/15		28,780
	20,995	Brightstar Corp., 9.500%, 12/01/16 (e)		21,835
				72,902
		Computers & Peripherals — 0.6%
		Seagate HDD Cayman, (Cayman Islands),
	7,890	6.875%, 05/01/20		8,640
	6,665	7.000%, 11/01/21 (e)		7,381
	13,570	7.750%, 12/15/18		15,266
	18,370	Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16		20,437
		Sealed Air Corp.,
	7,500	8.125%, 09/15/19 (e)		8,475
	4,500	8.375%, 09/15/21 (e)		5,152
	8,193	Stratus Technologies Bermuda Ltd./Stratus Technologies, Inc., (Bermuda), 12.000%, 03/29/15		7,210
				72,561

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Electronic Equipment, Instruments & Components — 0.5%
		CDW LLC/CDW Finance Corp.,
	3,060	8.500%, 04/01/19		3,274
	13,254	8.500%, 04/01/19 (e)		14,182
	15,559	Intcomex, Inc., 13.250%, 12/15/14		15,253
	960	Jabil Circuit, Inc., 7.750%, 07/15/16		1,114
	12,358	Kemet Corp., 10.500%, 05/01/18		13,470
		Sanmina-SCI Corp.,
	520	8.125%, 03/01/16		538
	3,200	VAR, 3.296%, 06/15/14 (e)		3,176
	9,527	Viasystems, Inc., 12.000%, 01/15/15 (e)		10,265
				61,272
		Internet Software & Services — 0.3%
	23,333	eAccess Ltd., (Japan), 8.250%, 04/01/18 (e)		22,516
		Equinix, Inc.,
	3,085	7.000%, 07/15/21		3,409
	7,225	8.125%, 03/01/18		8,065
				33,990
		IT Services — 1.0%
	1,815	Fidelity National Information Services, Inc., 7.625%, 07/15/17 (e)		1,972
		First Data Corp.,
	15,760	8.250%, 01/15/21 (e)		15,248
	1,080	8.875%, 08/15/20 (e)		1,169
	1,073	9.875%, 09/24/15		1,092
	4,400	10.550%, 09/24/15		4,532
	15,807	12.625%, 01/15/21		16,597
	26,070	iGate Corp., 9.000%, 05/01/16		28,351
	3,645	Interactive Data Corp., 10.250%, 08/01/18		4,046
	22,490	Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (f) (i)		16,643
	15,310	Stream Global Services, Inc., 11.250%, 10/01/14		15,789
	520	SunGard Data Systems, Inc., 10.625%, 05/15/15		551
	2,395	Unisys Corp., 12.750%, 10/15/14 (e)		2,688
				108,678
		Semiconductors & Semiconductor Equipment — 1.1%
		Advanced Micro Devices, Inc.,
	17,640	7.750%, 08/01/20		19,558
	13,170	8.125%, 12/15/17		14,454
		Amkor Technology, Inc.,
	13,120	6.625%, 06/01/21		13,710
	12,550	7.375%, 05/01/18		13,554

SEE NOTES TO FINANCIAL STATEMENTS.

140 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Semiconductors & Semiconductor Equipment — Continued
		Freescale Semiconductor, Inc.,
	22,425	8.050%, 02/01/20		22,201
	3,000	9.250%, 04/15/18 (e)		3,300
	8,169	10.125%, 03/15/18 (e)		9,129
	1,009	10.750%, 08/01/20		1,115
	18,478	MEMC Electronic Materials, Inc., 7.750%, 04/01/19		15,660
		NXP B.V./NXP Funding LLC, (Netherlands),
	7,600	9.750%, 08/01/18 (e)		8,598
	25	VAR, 3.322%, 10/15/13 (e)		25
	715	VAR, 3.322%, 10/15/13		715
	2,850	STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e)		3,078
				125,097
		Software — 0.0% (g)
	2,500	Audatex North America, Inc., 6.750%, 06/15/18 (e)		2,603
		Total Information Technology		477,103
		Materials — 8.3%
		Chemicals — 1.8%
	11,219	Celanese US Holdings LLC, 6.625%, 10/15/18		12,285
		CF Industries, Inc.,
	10,150	6.875%, 05/01/18		11,952
	5,085	7.125%, 05/01/20		6,229
	21,825	Chemtura Corp., 7.875%, 09/01/18		23,462
	12,240	J.M. Huber Corp., 9.875%, 11/01/19 (e)		12,730
		Lyondell Chemical Co.,
	11,163	8.000%, 11/01/17		12,475
	37,068	11.000%, 05/01/18		40,635
	24,800	LyondellBasell Industries N.V., (Netherlands), 6.000%, 11/15/21 (e)		27,218
	4,185	Momentive Performance Materials, Inc., 12.500%, 06/15/14		4,467
	15,110	Omnova Solutions, Inc., 7.875%, 11/01/18		14,052
	32,403	PolyOne Corp., 7.375%, 09/15/20		34,914
	4,510	Rhodia S.A., (France), 6.875%, 09/15/20 (e)		4,984
				205,403
		Construction Materials — 1.1%
	6,728	Cemex Espana Finance LLC, Series A, 8.910%, 02/14/14 (f) (i)		6,224
	49,445	Cemex Finance LLC, 9.500%, 12/14/16 (e)		48,703
		Cemex S.A.B. de C.V., (Mexico),
	2,350	9.000%, 01/11/18 (e)		2,174

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Construction Materials — Continued
	12,000	VAR, 5.579%, 09/30/15 (e)		10,590
	13,560	Hanson Ltd., (United Kingdom), 6.125%, 08/15/16		14,204
		Vulcan Materials Co.,
	11,015	6.500%, 12/01/16		11,676
	33,460	7.500%, 06/15/21		37,266
				130,837
		Containers & Packaging — 2.2%
		Ardagh Packaging Finance plc, (Ireland),
	8,100	7.375%, 10/15/17 (e)		8,707
	10,675	9.125%, 10/15/20 (e)		11,289
	3,500	Ardagh Packaging Finance Plc/Ardagh MP Holdings USA Inc, (Ireland), 9.125%, 10/15/20 (e)		3,614
		Ball Corp.,
	9,945	5.000%, 03/15/22		10,169
	9,450	5.750%, 05/15/21		10,159
	4,125	6.750%, 09/15/20		4,599
	1,710	7.125%, 09/01/16		1,872
	1,650	7.375%, 09/01/19		1,840
		Berry Plastics Corp.,
	6,490	8.250%, 11/15/15		6,977
	19,243	9.500%, 05/15/18		20,542
	10,750	9.750%, 01/15/21		11,503
	5,450	VAR, 5.322%, 02/15/15		5,470
	1,500	BWAY Holding Co., 10.000%, 06/15/18		1,665
		Constar International, Inc.,
	1,853	8.268%, 05/31/15 (f) (i)		1,854
	4,322	11.000%, 12/31/17 (f) (i)		4,322
	5,375	Crown Americas LLC/Crown Americas Capital Corp. III, 6.250%, 02/01/21		5,953
		Graphic Packaging International, Inc.,
	5,200	7.875%, 10/01/18		5,720
	4,275	9.500%, 06/15/17		4,756
	1,000	Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16		1,132
		Plastipak Holdings, Inc.,
	4,116	8.500%, 12/15/15 (e)		4,239
	8,500	10.625%, 08/15/19 (e)		9,605
		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC,
	11,100	6.875%, 02/15/21 (e)		11,766
	7,633	7.125%, 04/15/19 (e)		8,072
	21,801	7.875%, 08/15/19 (e)		23,872
	11,540	8.250%, 02/15/21 (e)		11,021

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 141

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Containers & Packaging — Continued
	6,600	8.750%, 10/15/16 (e)		7,029
	11,125	9.000%, 04/15/19 (e)		11,125
	13,525	9.250%, 05/15/18 (e)		13,592
	28,704	9.875%, 08/15/19 (e)		29,673
		Rock-Tenn Co.,
	2,700	4.450%, 03/01/19 (e)		2,744
	2,700	4.900%, 03/01/22 (e)		2,747
				257,628
		Metals & Mining — 1.9%
	5,392	AK Steel Corp., 7.625%, 05/15/20		5,426
	2,785	Aleris International, Inc., 7.625%, 02/15/18		2,924
		APERAM, (Luxembourg),
	5,450	7.375%, 04/01/16 (e)		5,286
	6,243	7.750%, 04/01/18 (e)		5,931
	8,420	Atkore International, Inc., 9.875%, 01/01/18		8,967
		Commercial Metals Co.,
	2,000	6.500%, 07/15/17		2,010
	2,595	7.350%, 08/15/18		2,647
	1,000	Edgen Murray Corp., 12.250%, 01/15/15		1,020
	5,933	Essar Steel Algoma, Inc., (Canada), 9.375%, 03/15/15 (e)		6,111
		FMG Resources August 2006 Pty Ltd., (Australia),
	13,188	6.375%, 02/01/16 (e)		13,650
	7,537	6.875%, 02/01/18 (e)		7,951
	22,462	7.000%, 11/01/15 (e)		23,754
	3,875	Gibraltar Industries, Inc., 8.000%, 12/01/15		3,983
	2,880	James River Coal Co., 7.875%, 04/01/19		1,944
	8,475	JMC Steel Group, 8.250%, 03/15/18 (e)		8,846
	10,795	Murray Energy Corp., 10.250%, 10/15/15 (e)		11,011
	8,574	Noranda Aluminum Acquisition Corp., PIK, 4.659%, 05/15/15		8,253
		Novelis, Inc., (Canada),
	17,820	8.375%, 12/15/17		19,513
	8,905	8.750%, 12/15/20		9,929
	5,835	Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e)		6,141
	4,500	Ryerson, Inc., 12.000%, 11/01/15		4,635
	12,525	Severstal Columbus LLC, 10.250%, 02/15/18		13,746
		Steel Dynamics, Inc.,
	6,700	7.625%, 03/15/20		7,487
	360	7.750%, 04/15/16		375

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Metals & Mining — Continued
	6,975	Taseko Mines Ltd., (Canada), 7.750%, 04/15/19		6,696
	9,265	Thompson Creek Metals Co., Inc., (Canada), 7.375%, 06/01/18		8,871
		United States Steel Corp.,
	1,075	6.050%, 06/01/17		1,097
	5,467	7.000%, 02/01/18		5,672
	11,440	7.375%, 04/01/20		11,926
	1,047	Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i)		1,047
	6,675	Xinergy Corp., 9.250%, 05/15/19 (e)		4,673
				221,522
		Paper & Forest Products — 1.3%
	33,111	AbitibiBowater, Inc., 10.250%, 10/15/18 (e)		37,829
		Abitibi-Consolidated Co. of Canada, (Canada),
	8,431	6.000%, 06/20/13 (d)		42
	15,841	7.750%, 06/15/11 (d)		79
	20,371	8.375%, 04/01/15 (d)		102
		Abitibi-Consolidated, Inc.,
	3,880	7.400%, 04/01/18 (d)		19
	2,425	7.500%, 04/01/28 (d)		12
	680	8.550%, 08/01/10 (d)		3
	44,081	8.850%, 08/01/30 (d)		221
	17,760	Appleton Papers, Inc., 10.500%, 06/15/15 (e)		18,160
	5,250	Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20		5,762
		Cascades, Inc., (Canada),
	7,757	7.750%, 12/15/17		7,951
	5,449	7.875%, 01/15/20		5,503
	5,377	Domtar Corp., 10.750%, 06/01/17		6,990
	3,800	Georgia-Pacific LLC, 8.250%, 05/01/16 (e)		4,210
	4,200	Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 (e)		4,316
	78,532	NewPage Corp., 11.375%, 12/31/14 (d)		47,316
	950	P.H. Glatfelter Co., 7.125%, 05/01/16		971
	3,200	Potlatch Corp., 7.500%, 11/01/19		3,392
	1,100	Sappi Papier Holding GmbH, (Austria), 6.625%, 04/15/21 (e) (f) (i)		1,031
		Smurfit-Stone Container Enterprises, Inc.,
	25,818	8.000%, 03/15/17 (d) (f) (i)		549
	19,431	8.375%, 07/01/12 (d) (f) (i)		413
				144,871
		Total Materials		960,261

SEE NOTES TO FINANCIAL STATEMENTS.

142 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Telecommunication Services — 6.0%
		Diversified Telecommunication Services — 2.3%
		Cincinnati Bell, Inc.,
	37	7.000%, 02/15/15		37
	7,125	8.250%, 10/15/17		7,357
	6,061	8.375%, 10/15/20		6,197
	4,840	8.750%, 03/15/18		4,610
	39,920	Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/15 (e)		38,822
		Frontier Communications Corp.,
	6,340	7.125%, 03/15/19		6,483
	800	8.125%, 10/01/18		862
	520	8.250%, 05/01/14		565
	3,945	8.250%, 04/15/17		4,261
	23,945	8.500%, 04/15/20		25,920
	3,945	8.750%, 04/15/22		4,290
	7,800	Level 3 Communications, Inc., 11.875%, 02/01/19		8,873
		Level 3 Financing, Inc.,
	19,870	8.125%, 07/01/19 (e)		20,814
	11,550	8.625%, 07/15/20 (e)		12,330
	5,500	8.750%, 02/15/17		5,747
	22,220	9.375%, 04/01/19		24,553
	14,015	PAETEC Holding Corp., 8.875%, 06/30/17 (m)		15,276
		Qwest Communications International, Inc.,
	15,705	7.125%, 04/01/18		16,805
	4,115	8.000%, 10/01/15		4,417
		Qwest Corp.,
	996	7.625%, 06/15/15 (m)		1,133
	1,000	8.375%, 05/01/16		1,171
		Windstream Corp.,
	950	7.000%, 03/15/19		983
	9,695	7.500%, 06/01/22 (e)		10,446
	3,500	7.750%, 10/15/20		3,824
	9,000	7.750%, 10/01/21		9,833
	13,235	7.875%, 11/01/17		14,923
	210	8.125%, 08/01/13		225
	10,190	8.125%, 09/01/18		11,158
				261,915
		Wireless Telecommunication Services — 3.7%
	6,160	CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e)		6,714
		Cricket Communications, Inc.,
	6,845	7.750%, 05/15/16		7,290
	35,870	7.750%, 10/15/20		35,691

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Wireless Telecommunication Services — Continued
	1,370	Crown Castle International Corp., 9.000%, 01/15/15		1,510
	3,583	Digicel Ltd., (Bermuda), 7.000%, 02/15/20 (e)		3,619
	4,270	iPCS, Inc., VAR, 2.672%, 05/01/13		4,110
		MetroPCS Wireless, Inc.,
	29,680	6.625%, 11/15/20		30,570
	10,580	7.875%, 09/01/18		11,347
	78,745	Nextel Communications, Inc., 7.375%, 08/01/15 (m)		77,761
		NII Capital Corp.,
	6,170	7.625%, 04/01/21		6,309
	21,080	8.875%, 12/15/19		22,714
	7,455	10.000%, 08/15/16		8,498
	1,025	SBA Telecommunications, Inc., 8.250%, 08/15/19		1,127
	4,300	Sprint Capital Corp., 6.900%, 05/01/19		3,806
		Sprint Nextel Corp.,
	67,435	6.000%, 12/01/16 (m)		61,366
	5,120	7.000%, 03/01/20 (e)		5,203
	5,425	8.375%, 08/15/17		5,317
	41,472	9.000%, 11/15/18 (e)		46,241
	16,785	9.125%, 03/01/17 (e)		16,869
	5,758	11.500%, 11/15/21 (e)		6,276
	8,197	Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, (Ireland), 7.748%, 02/02/21 (e)		8,164
		VimpelCom Holdings B.V., (Netherlands),
	4,550	6.255%, 03/01/17 (e)		4,482
	11,900	7.504%, 03/01/22 (e)		11,668
	1,300	VAR, 4.576%, 06/29/14 (e)		1,264
		Wind Acquisition Finance S.A., (Luxembourg),
	9,025	7.250%, 02/15/18 (e)		8,800
	26,735	11.750%, 07/15/17 (e)		27,403
	10,880	Wind Acquisition Holdings Finance S.A., PIK, 12.250%, 07/15/17 (e)		9,493
				433,612
		Total Telecommunication Services		695,527
		Utilities — 3.7%
		Electric Utilities — 0.3%
		DPL, Inc.,
	12,794	6.500%, 10/15/16 (e)		13,946
	6,430	7.250%, 10/15/21 (e)		7,330
	1,509	PNM Resources, Inc., 9.250%, 05/15/15		1,724

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 143

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Electric Utilities — Continued
	4,000	Public Service Co. of New Mexico, 7.950%, 05/15/18		4,804
				27,804
		Gas Utilities — 0.1%
		Genesis Energy LP/Genesis Energy Finance Corp.,
	4,800	7.875%, 12/15/18 (e)		4,920
	9,420	7.875%, 12/15/18		9,703
				14,623
		Independent Power Producers & Energy Traders — 2.6%
		AES Eastern Energy LP,
	2,688	9.000%, 01/02/17 (d)		806
	28,331	9.670%, 01/02/29 (d)		9,066
	8,275	Calpine Construction Finance Co. LP/CCFC Finance Corp., 8.000%, 06/01/16 (e)		8,999
		Calpine Corp.,
	10,011	7.250%, 10/15/17 (e)		10,612
	45,750	7.500%, 02/15/21 (e)		49,639
	6,500	7.875%, 07/31/20 (e)		7,182
	19,100	7.875%, 01/15/23 (e)		20,819
		Dynegy Holdings LLC,
	12,200	7.125%, 05/15/18 (d)		7,930
	3,900	7.500%, 06/01/15 (d)		2,545
	48,825	7.750%, 06/01/19 (d)		31,736
	151	8.375%, 05/01/16 (d)		99
	41,590	Dynegy Roseton LLC/Dynegy Danskammer LLC Pass-Through Trust, Series B, 7.670%, 11/08/16 (d)		24,954
		Edison Mission Energy,
	13,102	7.000%, 05/15/17		8,778
	58,706	7.200%, 05/15/19 (m)		38,159
	646	FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e)		517
		GenOn Energy, Inc.,
	2,600	7.875%, 06/15/17 (m)		2,411
	19,285	9.875%, 10/15/20		18,080
		Homer City Funding LLC,
	4,717	8.137%, 10/01/19		4,292
	8,992	8.734%, 10/01/26		8,093
	11,465	Midwest Generation LLC, 8.560%, 01/02/16		11,694
		NRG Energy, Inc.,
	9,145	7.625%, 05/15/19		9,053
	9,740	7.875%, 05/15/21		9,667
	11,050	8.500%, 06/15/19		11,299

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Independent Power Producers & Energy Traders — Continued
	2,062		Ormat Funding Corp., 8.250%, 12/30/20 (m)		1,938
	13,903		Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15		3,754
					302,122
			Multi-Utilities — 0.7%
	14,006		Energy Future Holdings Corp., 9.750%, 10/15/19		14,426
	1,300		Energy Future Intermediate Holding Co. LLC, 9.750%, 10/15/19		1,339
	61,540		Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20		66,848
					82,613
			Total Utilities		427,162
			Total Corporate Bonds (Cost $8,814,964)		9,180,814
SHARES
	Common Stocks — 1.0%
			Consumer Discretionary — 0.3%
			Automobiles — 0.3%
	1,318		General Motors Co. (a)		34,306
			Broadcasting & Cable TV — 0.0% (g)
	9,055		Adelphia Recovery Trust		23
			Leisure Equipment & Products — 0.0% (g)
	458		New True Temper Holdings Corp., Inc. (a) (f) (i)		5,453
			Total Consumer Discretionary		39,782
			Consumer Staples — 0.0%
			Food Products — 0.0%
	585		Eurofresh, Inc., ADR (a) (f) (i)		—
			Financials — 0.3%
			Diversified Financial Services — 0.3%
	1,967		Capmark Financial Group, Inc. (a)		38,853
			Health Care — 0.0% (g)
			Health Care Providers & Services — 0.0% (g)
	—	(h)	Magellan Health Services, Inc. (a)		5
			Industrials — 0.0% (g)
			Commercial Services & Supplies — 0.0% (g)
	2		Quad/Graphics, Inc.		37

SEE NOTES TO FINANCIAL STATEMENTS.

144 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — Continued
		Information Technology — 0.1%
		Computers & Peripherals — 0.0%
	616	Stratus Technologies Bermuda Holdings, Ltd., (Bermuda) (a) (f) (i)		—
		IT Services — 0.0% (g)
	92	Unisys Corp. (a)		1,718
		Semiconductors & Semiconductor Equipment — 0.1%
	561	Magnachip Semiconductor Corp., (Luxembourg) (a)		6,493
		Total Information Technology		8,211
		Materials — 0.3%
		Chemicals — 0.2%
	389	LyondellBasell Industries N.V., (Netherlands), Class A		16,795
		Construction Materials — 0.0% (g)
	399	U.S. Concrete, Inc. (a)		1,676
		Containers & Packaging — 0.0% (g)
	58	Constar International, Inc., ADR (a) (f) (i)		27
		Metals & Mining — 0.0% (g)
	46	Wolverine Tube, Inc., ADR (a) (f) (i)		1,160
		Paper & Forest Products — 0.1%
	708	AbitibiBowater, Inc., (Canada) (a)		10,838
		Total Materials		30,496
		Telecommunication Services — 0.0%
		Diversified Telecommunication Services — 0.0%
	1	XO Holdings, Inc., (Canada) (a) (f) (i)		—
		Utilities — 0.0% (g)
		Independent Power Producers & Energy Traders — 0.0% (g)
	19	GenOn Energy, Inc. (a)		48
		Total Common Stocks (Cost $111,799)		117,432
	Preferred Stocks — 0.7%
		Consumer Discretionary — 0.1%
		Automobiles — 0.1%
	342	General Motors Co., 4.750%, 12/01/13		14,609
		Media — 0.0% (g)
	77	Spanish Broadcasting System, Inc. (a) (f) (i)		—	(h)
	1	Spanish Broadcasting System, Inc., PIK, 10.750%, 04/02/12 ($1,000 par value)@ (a) (f) (i)		645
				645
		Total Consumer Discretionary		15,254

SHARES		SECURITY DESCRIPTION	VALUE($)
		Consumer Staples — 0.0%
		Food Products — 0.0%
	1	Eurofresh, Inc., ADR, 15.000%, 11/18/16 (a) (f) (i)		—
		Financials — 0.6%
		Commercial Banks — 0.2%
	95	CoBank ACB, 11.000%, 07/01/13 ($50 par value)@ (e)		5,178
	161	CoBank ACB, 11.000%, 10/01/14 ($50 par value)@		8,608
	112	CoBank ACB, 7.000%, 04/02/12 ($50 par value)@ (e)		5,432
				19,218
		Consumer Finance — 0.3%
	20	Ally Financial, Inc., 7.000%, 04/02/12 ($1,000 par value)@ (e)		17,245
	326	Citigroup Capital XIII, VAR, 7.875%, 10/30/40		8,829
	226	GMAC Capital Trust I, VAR, 8.125%, 02/15/40		5,306
				31,380
		Diversified Financial Services — 0.0% (g)
	5	Bank of America Corp., 7.250%, 04/09/12 ($1,000 par value)@		4.713
		Insurance — 0.1%
	10	XLIT Ltd., (Cayman Islands), VAR, 3.687%, 10/29/49		7,213
		Total Financials		62,524
		Information Technology — 0.0%
		Computers & Peripherals — 0.0%
	140	Stratus Technologies Bermuda Holdings, Ltd., (Bermuda) (a) (f) (i)		—
		Materials — 0.0% (g)
		Containers & Packaging — 0.0% (g)
	6	Constar International, Inc., 11.000% (a) (f) (i)		1,311
		Total Preferred Stocks (Cost $87,259)		79,089
PRINCIPAL AMOUNT($)
	Loan Participations & Assignments — 13.0%
		Consumer Discretionary — 5.8%
		Auto Components — 0.2%
		Autoparts Holdings Ltd., Term Loan,
	3,229	VAR, 6.500%, 07/29/17		3,237
	1,646	VAR, 6.500%, 07/29/17		1,651
	8	VAR, 6.500%, 07/29/17		8

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 145

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Loan Participations & Assignments — Continued
		Auto Components — Continued
	4	VAR, 6.500%, 07/29/17		4
	19,874	Remy International, Term Loan B, VAR, 6.250%, 12/16/16		19,750
		UCI International, Inc., Term Loan,
	2,913	VAR, 5.500%, 07/26/17		2,921
	7	VAR, 5.500%, 07/26/17		7
				27,578
		Automobiles — 0.4%
	47,729	Chrysler, Term Loan B, VAR, 6.000%, 05/24/17		47,843
		Broadcasting & Cable TV — 0.1%
	5,825	Kabel Deutschland, Facility F Loan, VAR, 02/01/19 ^		5,796
		Diversified Consumer Services — 0.3%
	887	Realogy Corp., Extended Synthetic Commitments, VAR, 0.094%, 10/10/16		823
	21,707	Realogy Corp., Extended Term Loan, VAR, 4.770%, 10/10/16 ^		20,142
	140	Realogy Corp., Non-Extended Synthetic Commitments, VAR, 0.094%, 10/10/13		131
	8,691	Tishman Speyer Office, Term Loan, VAR, 8.000%, 05/20/12 ^		8,669
				29,765
		Gaming — 1.3%
		Caesars Entertainment Operating Co., Inc., Term B-2 Loan,
	55,207	VAR, 3.244%, 01/28/15 ^		51,729
	30,994	VAR, 3.244%, 01/28/15		29,042
	23,040	CCM Merger, Inc., Term Loan, VAR, 7.000%, 03/01/17		23,011
	70	Citycenter Holdings LLC, Term Loan, VAR, 7.500%, 01/21/15		70
		MGM Resorts International, Class B Term Loan, Non-Extending,
	2,829	VAR, 7.000%, 02/21/14		2,836
	13,846	VAR, 7.000%, 02/21/14		13,881
	13,000	MGM Resorts International, Class D Term Loan, Non-Extending, VAR, 7.000%, 02/21/14 ^		13,032
	14,950	Mohegan Tribal Gaming Authority, Term Loan, VAR, 03/31/16 ^		14,651
				148,252
		Hotels, Restaurants & Leisure — 0.2%
	6,020	Burger King Corp., Tranche B Term Loan, VAR, 4.500%, 10/19/16		5,998
	248	Outback (OSI Restaurant), Prefunded Revolving Credit Commitment,, VAR, 2.563%, 06/14/13 ^		242

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Hotels, Restaurants & Leisure — Continued
	4,553	Outback (OSI Restaurant), Term Loan B, VAR, 2.563%, 06/14/14 ^		4,443
	12,825	ROC Finance LLC, Funded Term B Loan, VAR, 8.500%, 08/19/17		12,921
	2,216	Wendy’s/Arby’s Restaurants LLC, Term Loan, VAR, 5.000%, 05/24/17		2,218
				25,822
		Leisure Equipment & Products — 0.1%
	8,030	Eastman Kodak Co., DIP Loan, VAR, 07/20/13 ^		8,128
		Media — 1.9%
	8,179	Barrington Broadcasting Group LLC, Tranche 2 Term Loan, VAR, 7.500%, 06/14/17		8,207
	17,046	Cengage Learning Acquisitions, Term Loan, VAR, 2.490%, 07/03/14		15,818
	49,490	Clear Channel Communications, Inc., Term Loan B, VAR, 3.894%, 01/29/16		40,622
	16,901	Cumulus Media, Term Loan, VAR, 5.750%, 09/17/18 ^		16,915
		Entercom Radio, Term Loan,
	6,849	VAR, 6.250%, 11/23/18		6,862
	113	VAR, 7.250%, 11/23/18		113
	3,631	Gray Television, Inc., 1st Lien Term Loan, VAR, 3.770%, 12/31/14		3,587
	5,202	High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16		5,178
	5,099	Hubbard Radio LLC, 1st Lien Term Loan B, VAR, 5.250%, 04/28/17		5,104
	2,425	Hubbard Radio LLC, 2nd Lien Term Loan C, VAR, 8.750%, 04/30/18		2,467
		Media General, Inc., Term Loan,
	6,677	VAR, 5.243%, 03/29/13		6,302
	1,974	VAR, 5.321%, 03/29/13		1,863
	19,464	Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16		19,374
	3,820	Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13		3,930
	3,985	Nielsen Finance LLC, Class B Dollar Term Loan, VAR, 4.007%, 05/02/16		3,998
		R.H. Donnelley, Inc., Exit Term Loan,
	2,407	VAR, 9.000%, 10/24/14		922
	2,663	VAR, 9.000%, 10/24/14		1,020
	11,369	VAR, 9.000%, 10/24/14		4,354
	9,065	VAR, 9.000%, 10/24/14		3,472
	16,281	Radio One, 1st Lien Term Loan B, VAR, 7.500%, 03/31/16		15,997

SEE NOTES TO FINANCIAL STATEMENTS.

146 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Loan Participations & Assignments — Continued
			Media — Continued
	40,958		Univision Communications, Inc., Extended 1st Lien Term Loan, VAR, 4.494%, 03/31/17 ^		38,035
	11,228		Univision Communications, Inc., Initial Term Loan, VAR, 2.244%, 09/29/14		11,049
			Vertis, Inc., 1st Lien Term Loan,
	16,631		VAR, 11.750%, 12/21/15		5,793
	232		VAR, 11.750%, 12/21/15		81
					221,063
			Specialty Retail — 1.3%
			Academy, Ltd., Initial Term Loan,
	—	(h)	VAR, 6.000%, 08/03/18 ^		—	(h)
	—	(h)	VAR, 6.000%, 08/03/18 ^		—	(h)
	—	(h)	VAR, 6.000%, 08/03/18 ^		—	(h)
	—	(h)	VAR, 6.000%, 08/03/18 ^		—	(h)
	—	(h)	VAR, 6.000%, 08/03/18 ^		—	(h)
			Claire’s Stores, Term Loan B,
	72,700		VAR, 2.994%, 05/29/14		68,862
	15,236		VAR, 3.301%, 05/29/14		14,432
	40,685		Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/23/18 ^		38,255
			J. Crew, 1st Lien Term Loan,
	6,732		VAR, 4.750%, 03/07/18		6,589
	6,905		VAR, 4.750%, 03/07/18		6,759
	13,845		VAR, 4.750%, 03/07/18		13,551
			Michael’s Stores, Term B1 Loan,
	—	(h)	VAR, 2.875%, 10/31/13 ^		—	(h)
	—	(h)	VAR, 2.875%, 10/31/13 ^		—	(h)
	—	(h)	VAR, 2.875%, 10/31/13 ^		—	(h)
	—	(h)	VAR, 2.875%, 10/31/13 ^		—	(h)
					148,448
			Textiles, Apparel & Luxury Goods — 0.0% (g)
	2,239		BCBG Max Azria, 1st Lien Term Loan, VAR, 13.750%, 06/09/15		2,115
			Total Consumer Discretionary		664,810
			Consumer Staples — 1.0%
			Food & Staples Retailing — 0.4%
	15,759		Rite Aid Corp., 1st Lien Term Loan 5, VAR, 4.500%, 03/03/18		15,496
			Rite Aid Corp., Tranche 2 Term Loan,
	8,467		VAR, 2.000%, 06/04/14		8,244
	10,012		VAR, 2.000%, 06/04/14		9,748
	9,936		VAR, 2.020%, 06/04/14		9,673
					43,161

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Food Products — 0.4%
		Bolthouse Farms, 1st Lien,
	8,711	VAR, 5.500%, 02/11/16		8,716
	186	VAR, 5.750%, 02/11/16		186
	3,787	Del Monte Corp., Term Loan, VAR, 4.500%, 03/08/18		3,714
		Dole Food Co., Inc., Tranche B-2 Term Loan,
	471	VAR, 5.000%, 07/08/18		472
	471	VAR, 5.000%, 07/08/18		472
	471	VAR, 5.000%, 07/08/18		473
	471	VAR, 5.000%, 07/08/18		473
	471	VAR, 5.000%, 07/08/18		473
	471	VAR, 5.000%, 07/08/18		472
	126	VAR, 5.000%, 07/08/18		127
		Dole Food Co., Inc., Tranche C-2 Term Loan,
	707	VAR, 5.000%, 07/08/18		709
	707	VAR, 5.000%, 07/08/18		709
	707	VAR, 5.000%, 07/08/18		709
	707	VAR, 5.000%, 07/08/18		709
	471	VAR, 5.000%, 07/08/18		473
	707	VAR, 5.000%, 07/08/18		709
	707	VAR, 5.000%, 07/08/18		709
	612	VAR, 5.000%, 07/08/18		614
	161	VAR, 6.000%, 07/08/18		161
	6,180	High Liner Foods, Inc., Term Loan, VAR, 7.000%, 12/19/17		6,188
		Pierre Foods, Inc., 1st Lien Term Loan,
	10,276	VAR, 7.000%, 09/30/16		10,276
	26	VAR, 7.000%, 09/30/16		26
	6,160	Pierre Foods, Inc., 2nd Lien Term Loan, VAR, 11.250%, 09/29/17		6,165
				43,735
		Personal Products — 0.2%
		NBTY, Inc., Term B-1 Loan,
	6,826	VAR, 4.250%, 10/01/17		6,823
	251	VAR, 4.250%, 10/01/17		251
	503	VAR, 4.250%, 10/01/17		503
		Targus, 1st Lien Term Loan,
	11	VAR, 11.000%, 05/24/16		11
	4,466	VAR, 11.000%, 05/24/16		4,321
	16,247	Visant Corp., 1st Lien Term Loan, VAR, 5.250%, 12/22/16		15,580
				27,489
		Total Consumer Staples		114,385

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 147

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Loan Participations & Assignments — Continued
		Energy — 0.1%
		Oil, Gas & Consumable Fuels — 0.1%
	15,741	MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18		15,708
		Financials — 0.9%
		Capital Markets — 0.2%
	19,029	Pinafore LLC/Pinafore, Inc., Term Loan B1, VAR, 4.250%, 09/29/16		19,014
		Consumer Finance — 0.0% (g)
	325	Springleaf Financial Funding, Term Loan, VAR, 5.500%, 05/10/17		296
		Diversified Financial Services — 0.5%
		Harland Clarke Holdings Corp., Term Loan B,
	6,206	VAR, 2.744%, 06/30/14		5,671
	8,859	VAR, 2.744%, 06/30/14		8,095
	8,518	VAR, 2.744%, 06/30/14		7,783
	7,021	VAR, 2.744%, 06/30/14		6,416
	5,147	VAR, 2.744%, 06/30/14		4,703
	6,084	VAR, 3.079%, 06/30/14		5,560
	3,350	International Lease Finance Corp., Term Loan 1, VAR, 6.750%, 03/17/15		3,356
	2,700	Nuveen Investments, Inc., 1st Lien Term Loan, VAR, 7.250%, 05/13/17		2,719
	20,650	Ocwen Financial Corp., Term Loan, VAR, 7.000%, 09/01/16		20,650
				64,953
		Insurance — 0.0% (g)
	2,061	CNO Financial Group, Inc., B-1 Term Loan, VAR, 6.250%, 09/30/16		2,070
	978	USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14		970
				3,040
		Real Estate Investment Trusts (REITs) — 0.2%
		I-Star, Term Loan A-1,
	7,490	VAR, 5.000%, 06/28/13		7,456
	12,122	VAR, 5.000%, 06/28/13		12,067
				19,523
		Total Financials		106,826
		Health Care — 0.5%
		Health Care Equipment & Supplies — 0.0% (g)
		Biomet, Inc., Dollar Term Loan,
	125	VAR, 3.244%, 03/25/15		124
	1,313	VAR, 3.244%, 03/25/15		1,299
	2,563	VAR, 3.574%, 03/25/15		2,534
				3,957

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Health Care Providers & Services — 0.2%
		Community Health Systems, Inc., Extended Term Loan,
	945	VAR, 3.989%, 01/25/17		933
	50	VAR, 5.750%, 01/25/17		50
		Community Health Systems, Inc., Non Extended B-1 Term Loan,
	575	VAR, 2.494%, 07/25/14		568
	720	VAR, 2.739%, 07/25/14		710
	316	VAR, 4.500%, 07/25/14		311
	83	Community Health Systems, Inc., Non Extended Delay Draw, VAR, 4.500%, 07/25/14		81
	3,000	HCA, Inc., Term Loan B-3, VAR, 3.494%, 05/01/18		2,950
	5,450	HMA, Term Loan B, VAR, 4.500%, 11/16/18		5,415
	995	IASIS Healthcare, 1st Lien Term Loan B, VAR, 5.000%, 05/03/18		989
	3,561	inVentiv Health, Inc., Consolidated Term Loan, VAR, 6.500%, 08/04/16		3,423
	2,466	National Mentor Holdings, Inc., Tranche B Term Loan, VAR, 02/09/17 ^		2,427
	7,275	Vanguard Health Systems, Term Loan B, VAR, 5.000%, 01/29/16		7,257
				25,114
		Health Care Technology — 0.0% (g)
		Emdeon Inc., Term Loan B,
	287	VAR, 6.750%, 11/02/18		290
	45	VAR, 6.750%, 11/02/18		45
	65	VAR, 6.750%, 11/02/18		66
	454	VAR, 6.750%, 11/02/18		459
	1,099	VAR, 6.750%, 11/02/18		1,112
				1,972
		Pharmaceuticals — 0.3%
		Aptalis Pharma, Inc., Term Loan,
	1,987	VAR, 5.500%, 02/10/17		1,970
	18,431	VAR, 5.500%, 02/10/17		18,275
		Capsugel Holdings, Inc., Term Loan,
	4,040	VAR, 5.250%, 08/01/18		4,063
	10	VAR, 5.250%, 08/01/18		10
	3,625	Catalent Pharma Solutions, Inc., 1st Lien Incremental Term Loan B, VAR, 09/15/17 ^		3,634
	2,418	Catalent Pharma Solutions, Inc., Dollar Term Loan, VAR, 4.244%, 09/15/16		2,384
				30,336
		Total Health Care		61,379

SEE NOTES TO FINANCIAL STATEMENTS.

148 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Loan Participations & Assignments — Continued
		Industrials — 1.2%
		Aerospace & Defense — 0.1%
	7,662	Ducommun, Inc., Term Loan B, VAR, 5.500%, 06/28/17		7,623
		Airlines — 0.1%
	10,372	Delta Air Lines, Inc., New Term Loan, VAR, 4.250%, 03/07/16		9,970
	1,985	United Airlines, Term Loan B, VAR, 2.250%, 02/01/14		1,929
				11,899
		Building Products — 0.1%
	561	Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.479%, 02/07/14		296
		Jacuzzi Brands, Inc., 1st Lien Term Loan B,
	6,104	VAR, 2.653%, 02/07/14		3,220
	13	VAR, 2.653%, 02/07/14		6
		Nortek, Inc., 1st Lien Term Loan,
	11,813	VAR, 5.250%, 04/26/17		11,710
	34	VAR, 5.250%, 04/26/17		34
	13	VAR, 6.250%, 04/26/17		13
				15,279
		Commercial Services & Supplies — 0.4%
	9,075	AZ Chem U.S., Inc., Term Loan, VAR, 7.250%, 12/22/17		9,148
	4,129	Baker Corp. International, Term Loan, VAR, 5.000%, 06/01/18		4,123
	13,152	Cenveo Corp., Term B Loan, VAR, 6.250%, 12/21/16		13,066
	14,377	SCH Group, 1st Lien Term Loan, VAR, 6.625%, 04/28/17		13,029
	7,680	SCH Group, 2nd Lien Term Loan, VAR, 10.500%, 04/30/18		6,182
				45,548
		Communications Equipment — 0.0% (g)
	1,995	Norit Holding B.V., Term Loan, VAR, 6.750%, 07/10/17		1,990
		Industrial Conglomerates — 0.1%
	12,726	BOC Edwards, Extended Term Loan, VAR, 5.500%, 05/31/16		12,416
	396	BOC Edwards, New Term Loan, VAR, 5.500%, 05/31/16		387
				12,803
		Industrial Machinery — 0.1%
	12,801	Intelligrated Inc., Term Loan, VAR, 7.500%, 02/17/17		12,705

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Machinery — 0.2%
		Milacron Holdings, Inc., Term Loan,
	17,355	VAR, 7.500%, 05/15/17		17,225
	2,100	VAR, 7.500%, 05/15/17		2,084
				19,309
		Road & Rail — 0.1%
		Swift Transportation Co., Term Loan,
	2,074	VAR, 6.000%, 12/21/16		2,074
	2,649	VAR, 6.000%, 12/21/16		2,649
	152	VAR, 6.000%, 12/21/16		153
	457	VAR, 6.000%, 12/21/16		457
				5,333
		Total Industrials		132,489
		Information Technology — 1.2%
		Communications Equipment — 0.3%
	7,700	Avaya, Inc., Term Loan B-1, VAR, 3.241%, 10/24/14		7,534
	15,467	Avaya, Inc., Term Loan B-3 Extending Tranche, VAR, 4.991%, 10/26/17		14,999
		Syniverse Holdings, Inc., Term Loan B,
	2,780	VAR, 5.250%, 12/21/17		2,785
	36	VAR, 5.250%, 12/21/17		36
	11,471	VAR, 5.250%, 12/21/17		11,491
				36,845
		Computers & Peripherals — 0.0% (g)
		Sealed Air Corp., Term Loan B,
	804	VAR, 4.750%, 10/03/18		812
	919	VAR, 4.750%, 10/03/18		928
	81	Stratus Technologies, Inc., 2nd Lien Term Loan, VAR, 5.250%, 06/30/15 ^		44
				1,784
		Electronic Equipment, Instruments & Components — 0.1%
	10,575	CDW Corp., Extended Term Loan, VAR, 4.000%, 07/15/17		10,335
	3,696	CDW Corp., Non Extended B-1 Term Loan, VAR, 3.751%, 10/10/14		3,682
	1,430	Sensus USA, Inc., 2nd Lien Term Loan, VAR, 8.500%, 05/09/18		1,414
				15,431
		Internet Software & Services — 0.2%
	18,693	Go Daddy Group, Inc. (The), Term Loan B, VAR, 7.000%, 12/17/18		18,831
	6,732	Softlayer Technologies, Inc., Term Loan, VAR, 7.250%, 11/09/16		6,743
				25,574

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 149

JPMorgan High Yield Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Loan Participations & Assignments — Continued
		IT Services — 0.3%
	1,147	CompuCom Systems, Term Loan, VAR, 3.750%, 08/25/14 (f) (i)		1,116
	5,273	First Data Corp., Initial Tranche B-1, VAR, 2.994%, 09/24/14 ^		5,041
	15,749	First Data Corp., Initial Tranche B3, VAR, 2.994%, 09/24/14 ^		15,056
	4,489	Interactive Data Corp., Term Loan B, VAR, 4.500%, 02/11/18		4,479
	4,959	Sitel, Inc., Tranche A Extended U.S. Term Loan, VAR, 7.331%, 01/30/17 (f) (i)		4,756
				30,448
		Semiconductors & Semiconductor Equipment — 0.3%
	13,713	Freescale Semiconductor, Inc., Extended Maturity Term Loan, VAR, 4.518%, 12/01/16		13,362
	11,375	NXP B.V., Term Loan B, VAR, 02/16/19 ^		11,172
		NXP B.V., Tranche A-2 Loan,
	20	VAR, 5.500%, 03/04/17		20
	7,831	VAR, 5.500%, 03/04/17		7,772
				32,326
		Total Information Technology		142,408
		Materials — 1.1%
		Chemicals — 0.6%
	7,925	Cristal Inorganic Chemicals (Millennium), 2nd Lien Term Loan, VAR, 6.329%, 11/15/14		7,905
		HARKO CV, Term Loan B,
	3,121	VAR, 5.750%, 08/02/17		3,129
	4,186	VAR, 5.750%, 08/02/17		4,196
	29,302	Momentive Performance, Tranche B-1B Term Loan, VAR, 3.750%, 05/05/15		28,472
		Nexeo Solutions, Term Loan,
	2,659	VAR, 5.000%, 09/08/17 ^		2,618
	2,244	VAR, 5.000%, 09/08/17 ^		2,210
	2,244	VAR, 5.000%, 09/08/17 ^		2,209
		PolyOne Corp., Term Loan B,
	138	VAR, 5.000%, 12/20/17		138
	8,113	VAR, 5.000%, 12/20/17		8,124
		Trinseo S.A., 1st Lien Term Loan,
	20,050	VAR, 6.000%, 08/02/17		18,079
	264	VAR, 6.750%, 08/02/17		238
				77,318
		Containers & Packaging — 0.3%
		BWAY Holding Co., Replacement Term Loan B,
	605	VAR, 4.500%, 02/23/18		603

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Containers & Packaging — Continued
	33	VAR, 4.500%, 02/23/18		33
		BWAY Holding Co., Replacement Term Loan C,
	52	VAR, 4.500%, 02/23/18		51
	7	VAR, 4.500%, 02/23/18		7
		Reynolds Group Holdings, Term Loan C,
	13,119	VAR, 6.500%, 08/09/18		13,256
	178	VAR, 6.500%, 08/09/18		180
		Reynolds Group Holdings, U.S. Term Loan,
	5,779	VAR, 6.500%, 02/09/18		5,831
	70	VAR, 6.500%, 02/09/18		71
	79	VAR, 6.500%, 02/09/18		79
	2,989	VAR, 6.500%, 02/09/18		3,016
	5,132	VAR, 6.500%, 02/09/18		5,178
	41	VAR, 6.500%, 02/09/18		41
				28,346
		Metals & Mining — 0.2%
	7,245	American Rock Salt, 1st Lien Term Loan, VAR, 5.500%, 04/25/17		6,733
	9,418	Noranda Aluminum, Term B Loan, VAR, 6.750%, 02/24/19 ^		9,424
	2,478	Novelis, Inc., Term Loan, VAR, 4.000%, 03/10/17 ^		2,466
				18,623
		Total Materials		124,287
		Telecommunication Services — 0.4%
		Diversified Telecommunication Services — 0.4%
		Level 3 Communications, Inc., Tranche A Term Loan,
	8,679	VAR, 2.504%, 03/13/14		8,535
	21,696	VAR, 2.827%, 03/13/14		21,339
	12,300	Level 3 Communications, Inc., Tranche B II Term Loan, VAR, 5.750%, 09/01/18		12,385
	5,000	Level 3 Financing, Inc., Term Loan B3, VAR, 5.750%, 09/01/18		5,034
		Total Telecommunication Services		47,293
		Utilities — 0.8%
		Independent Power Producers & Energy Traders — 0.8%
	7,077	Dynegy Midwest Generation, Inc., Term Loan, VAR, 9.250%, 08/05/16		7,037
	19,955	Dynegy Power LLC, Term Loan, VAR, 9.250%, 08/05/16		20,584
	2,151	GenOn Energy, Inc., Term Loan B, VAR, 6.000%, 12/04/17		2,121

SEE NOTES TO FINANCIAL STATEMENTS.

150 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Loan Participations & Assignments — Continued
		Independent Power Producers & Energy Traders — Continued
	47,495	Texas Competitive Electric Holdings Co. LLC, Extended-Term Loan, VAR, 4.757%, 10/10/17		26,493
	45,999	Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan, VAR, 3.757%, 10/10/14		27,997
	5,500	TPF Generation Holdings LLC, 2nd Lien Term Loan, VAR, 4.829%, 12/15/14		5,292
		Total Utilities		89,524
		Total Loan Participations & Assignments (Cost $1,524,277)		1,499,109
NUMBER OF WARRANTS
	Warrant — 0.2%
		Consumer Discretionary — 0.2%
		Automobiles — 0.2%
		General Motors Co.,
	763	expiring 7/10/16 (Strike Price $10.00) (a)		12,941

NUMBER OF WARRANTS		SECURITY DESCRIPTION	VALUE($)
		Automobiles — Continued
	763	expiring 7/10/19 (Strike Price $18.33) (a)		8,754
		Total Warrants (Cost $27,304)		21,695
SHARES
	Short-Term Investments — 4.8%
		Investment Companies — 4.8%
	493,230	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% † (b) (l)		493,230
	60,002	JPMorgan U.S. Government Money Market Fund, Capital Shares, 0.010% (b) (l)		60,002
		Total Short-Term Investments (Cost $553,232)		553,232
		Total Investments — 100.2% (Cost $11,218,524)		11,553,859
		Liabilities in Excess of Other Assets — (0.2)%		(23,261	)
		NET ASSETS — 100.0%	$	11,530,598

Percentages indicated are based on net assets.

Credit Default Swaps—Sell Protection [1]

Credit Indices:

SWAP COUNTERPARTY/ REFERENCE OBLIGATION	FUND RECEIVES FIXED RATE (r)	TERMINATION DATE		IMPLIED CREDIT SPREAD AS OF 02/29/12 [2]			NOTIONAL AMOUNT [3]		VALUE			UPFRONT PREMIUMS (PAID)/ RECEIVED [4]
Barclays Bank plc
CDX.NA.HY.17-V.4	5.000% quarterly		12/20/16		5.441	%		25,000	$	(184	)	$	2,294
Citibank, N.A.
CDX.NA.HY.17-V.4	5.000% quarterly		12/20/16		5.441	%		25,000		(184	)		1,972
									$	(368	)	$	4,266

[1] The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay any upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts.

[2] Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

[3] The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event.

[4] Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 151

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 2.4%
		AH Mortgage Advance Trust, (Cayman Islands),
	412	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		411
	706	Series SART-3, Class 1A1, 2.980%, 03/13/43 (e)		707
		Ally Auto Receivables Trust,
	98	Series 2010-3, Class A4, 1.550%, 08/17/15		100
	195	Series 2010-4, Class A3, 0.910%, 11/17/14		196
	750	Series 2010-4, Class A4, 1.350%, 12/15/15		758
	992	Series 2011-3, Class A3, 0.970%, 08/17/15		996
	1,053	Series 2011-4, Class A4, 1.140%, 06/15/16		1,055
	889	Series 2012-1, Class A4, 1.210%, 07/15/16		891
		AmeriCredit Automobile Receivables Trust,
	652	Series 2011-3, Class A3, 1.170%, 01/08/16		654
	1,992	Series 2011-5, Class A3, 1.550%, 07/08/16		2,009
	471	Series 2012-1, Class A3, 1.230%, 09/08/16		472
	37	Bank of America Auto Trust, Series 2010-2, Class A3, 1.310%, 07/15/14		37
	600	Chrysler Financial Auto Securitization Trust, Series 2010-A, Class A3, 0.910%, 08/08/13		601
		CNH Equipment Trust,
	1,151	Series 2011-A, Class A3, 1.200%, 05/16/16		1,159
	1,001	Series 2011-B, Class A3, 0.910%, 08/15/16		1,003
	269	CS First Boston Mortgage Securities Corp., Series 2004-CF2, Class 1A2, SUB, 5.150%, 01/25/43 (e)		263
	407	Discover Card Master Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		407
		Ford Credit Auto Owner Trust,
	724	Series 2011-B, Class A3, 0.840%, 06/15/15		726
	1,052	Series 2012-A, Class A3, 0.840%, 08/15/16		1,055
		Honda Auto Receivables Owner Trust,
	310	Series 2011-1, Class A4, 1.800%, 04/17/17		316
	337	Series 2012-1, Class A4, 0.970%, 04/16/18		337
	2,000	Huntington Auto Trust, Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		1,998
		Hyundai Auto Receivables Trust,
	185	Series 2010-B, Class A4, 1.630%, 03/15/17		189
	810	Series 2011-B, Class A4, 1.650%, 02/15/17		825
		John Deere Owner Trust,
	490	Series 2011-A, Class A3, 1.290%, 01/15/16		494
	957	Series 2012-A, Class A3, 0.750%, 03/15/16		957
		Mercedes-Benz Auto Receivables Trust,
	10	Series 2010-1, Class A3, 1.420%, 08/15/14		10
	682	Series 2011-1, Class A3, 0.850%, 03/16/15		684
	916	Nissan Auto Receivables Owner Trust, Series 2012-A, Class A4, 1.000%, 07/16/18		915

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	2,785	Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.869%, 10/25/34		2,639
	900	Residential Asset Mortgage Products, Inc., Series 2006-RZ1, Class A3, VAR, 0.544%, 03/25/36		767
		Santander Drive Auto Receivables Trust,
	998	Series 2011-S2A, Class D, 3.350%, 06/15/17 (e)		996
	822	Series 2012-1, Class A3, 1.490%, 10/15/15		826
	773	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		773
	250	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.514%, 06/25/35		236
	1,276	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		1,279
		Total Asset-Backed Securities (Cost $27,655)		27,741
	Collateralized Mortgage Obligations — 37.1%
		Agency CMO — 35.8%
	396	Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15		430
		Federal Home Loan Mortgage Corp. REMICS,
	85	Series 1578, Class K, 6.900%, 09/15/23		98
	495	Series 2110, Class PG, 6.000%, 01/15/29		534
	102	Series 2355, Class BP, 6.000%, 09/15/16		108
	169	Series 2391, Class QR, 5.500%, 12/15/16		181
	124	Series 2427, Class LW, 6.000%, 03/15/17		133
	111	Series 2436, Class MC, 7.000%, 04/15/32		131
	146	Series 2441, Class GF, 6.500%, 04/15/32		167
	199	Series 2505, Class D, 5.500%, 09/15/32		232
	88	Series 2525, Class AM, 4.500%, 04/15/32		98
	452	Series 2544, Class KE, 5.500%, 12/15/32		512
	806	Series 2557, Class HL, 5.300%, 01/15/33		909
	100	Series 2558, Class BD, 5.000%, 01/15/18		107
	489	Series 2564, Class NK, 5.000%, 02/15/18		522
	500	Series 2575, Class PE, 5.500%, 02/15/33		551
	800	Series 2586, Class WG, 4.000%, 03/15/33		865
	72	Series 2594, Class JB, 4.500%, 04/15/18		76
	400	Series 2594, Class VU, 5.500%, 03/15/21		422
	123	Series 2595, Class HJ, 5.000%, 03/15/23		132
	1,000	Series 2596, Class QD, 4.000%, 03/15/33		1,062
	141	Series 2602, Class BD, 4.000%, 12/15/22		146
	1,519	Series 2611, Class KH, 5.000%, 05/15/18		1,629
	830	Series 2621, Class QH, 5.000%, 05/15/33		894
	805	Series 2624, Class QH, 5.000%, 06/15/33		905

SEE NOTES TO FINANCIAL STATEMENTS.

152 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,687	Series 2626, Class JC, 5.000%, 06/15/23		1,910
	2,180	Series 2632, Class AB, 4.500%, 06/15/18		2,421
	146	Series 2648, Class BK, 5.000%, 07/15/33		154
	148	Series 2649, Class PJ, 3.500%, 06/15/33		155
	175	Series 2649, Class QH, 4.500%, 07/15/18		189
	227	Series 2649, Class WB, 3.500%, 07/15/23		242
	56	Series 2685, Class CF, 4.000%, 11/15/16		56
	2,100	Series 2685, Class DT, 5.000%, 10/15/23		2,394
	87	Series 2685, Class MB, 4.000%, 03/15/17		87
	350	Series 2687, Class JH, 5.000%, 10/15/23		397
	400	Series 2692, Class QD, 5.000%, 12/15/22		420
	95	Series 2694, Class QG, 4.500%, 01/15/29		96
	272	Series 2696, Class DG, 5.500%, 10/15/33		318
	100	Series 2698, Class PG, 5.000%, 06/15/32		105
	500	Series 2699, Class TC, 4.000%, 11/15/18		536
	5,000	Series 2701, Class AC, 5.000%, 11/15/23		5,498
	89	Series 2707, Class KJ, 5.000%, 11/15/18		92
	150	Series 2709, Class PE, 5.000%, 12/15/22		159
	130	Series 2725, Class TA, 4.500%, 12/15/33		143
	1,380	Series 2733, Class ME, 5.000%, 01/15/34		1,563
	344	Series 2744, Class TU, 5.500%, 05/15/32		363
	121	Series 2750, Class JB, 4.500%, 02/15/19		125
	1,000	Series 2752, Class JB, 4.500%, 02/15/19		1,103
	327	Series 2760, Class KT, 4.500%, 09/15/32		348
	500	Series 2764, Class TE, 5.000%, 10/15/32		526
	1,390	Series 2764, Class UE, 5.000%, 10/15/32		1,503
	393	Series 2770, Class EV, 4.500%, 09/15/28		428
	400	Series 2772, Class VG, 5.000%, 11/15/22		427
	150	Series 2773, Class OC, 5.000%, 04/15/19		171
	54	Series 2783, Class AB, 4.000%, 10/15/17		55
	43	Series 2788, Class DA, 5.000%, 10/15/22		43
	1,967	Series 2804, Class AM, 5.000%, 03/15/34		2,182
	342	Series 2827, Class TE, 5.000%, 04/15/33		365
	510	Series 2828, Class JE, 4.500%, 07/15/19		553
	100	Series 2843, Class BC, 5.000%, 08/15/19		109
	6,700	Series 2852, Class NY, 5.000%, 09/15/33		7,374
	635	Series 2864, Class NB, 5.500%, 07/15/33		717
	584	Series 2875, Class HB, 4.000%, 10/15/19		632
	123	Series 2886, Class HE, 5.000%, 01/15/33		129
	305	Series 2888, Class CG, 5.000%, 08/15/33		323
	390	Series 2890, Class PD, 5.000%, 03/15/33		413
	246	Series 2891, Class LD, 5.000%, 08/15/33		258
	700	Series 2896, Class VB, 5.000%, 12/15/25		753
	180	Series 2898, Class PE, 5.000%, 05/15/33		191
	850	Series 2899, Class HB, 4.000%, 12/15/19		925

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	200	Series 2899, Class KB, 4.500%, 03/15/19		208
	540	Series 2904, Class PD, 5.500%, 03/15/33		566
	500	Series 2910, Class BE, 4.500%, 12/15/19		547
	383	Series 2920, Class KT, 4.500%, 01/15/20		425
	78	Series 2921, Class MD, 5.000%, 06/15/33		80
	285	Series 2928, Class NE, 5.000%, 04/15/33		301
	500	Series 2929, Class KG, 4.500%, 02/15/20		550
	1,000	Series 2934, Class KG, 5.000%, 02/15/35		1,133
	197	Series 2948, Class YD, 5.500%, 08/15/33		206
	1,000	Series 2957, Class VW, 5.000%, 08/15/24		1,109
	1,000	Series 2958, Class ME, 5.500%, 10/15/33		1,071
	100	Series 2966, Class XD, 5.500%, 09/15/33		105
	520	Series 2968, Class MD, 5.500%, 12/15/33		565
	500	Series 2981, Class BC, 4.500%, 05/15/20		552
	8,500	Series 2987, Class KG, 5.000%, 12/15/34		9,087
	200	Series 2988, Class TY, 5.500%, 06/15/25		221
	4,951	Series 2989, Class TG, 5.000%, 06/15/25		5,364
	379	Series 2993, Class PM, 4.500%, 05/15/35		399
	251	Series 3004, Class HK, 5.500%, 07/15/35		278
	195	Series 3017, Class MK, 5.000%, 12/15/34		210
	541	Series 3028, Class ME, 5.000%, 02/15/34		589
	502	Series 3036, Class TE, 5.500%, 12/15/34		549
	2,770	Series 3037, Class ND, 5.000%, 01/15/34		2,987
	750	Series 3057, Class LD, 5.000%, 07/15/31		767
	449	Series 3057, Class PE, 5.500%, 11/15/34		499
	1,000	Series 3059, Class CE, 5.000%, 02/15/34		1,076
	85	Series 3059, Class PC, 5.500%, 01/15/32		86
	4,000	Series 3062, Class HE, 5.000%, 01/15/34		4,331
	1,000	Series 3067, Class PK, 5.500%, 05/15/34		1,084
	150	Series 3077, Class TO, PO, 04/15/35		139
	500	Series 3078, Class PD, 5.500%, 07/15/34		546
	151	Series 3080, Class VB, 5.000%, 06/15/25		167
	126	Series 3082, Class PW, 5.500%, 12/15/35		146
	4,500	Series 3084, Class BH, 5.500%, 12/15/35		5,286
	115	Series 3087, Class JB, 5.500%, 03/15/24		118
	500	Series 3087, Class KX, 5.500%, 12/15/25		552
	401	Series 3095, Class GB, 5.000%, 04/15/24		411
	121	Series 3098, Class KE, 5.500%, 09/15/34		130
	3,601	Series 3098, Class KG, 5.500%, 01/15/36		4,235
	3,800	Series 3102, Class CE, 5.500%, 01/15/26		4,333
	64	Series 3115, Class MB, 5.500%, 12/15/20		65
	5,500	Series 3117, Class PL, 5.000%, 08/15/34		5,971
	276	Series 3121, Class JD, 5.500%, 03/15/26		304
	495	Series 3123, Class HT, 5.000%, 03/15/26		555
	187	Series 3128, Class BD, 5.000%, 03/15/30		189

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 153

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,775	Series 3128, Class BE, 5.000%, 05/15/33		1,906
	420	Series 3130, Class QD, 5.500%, 07/15/34		448
	360	Series 3135, Class JC, 6.000%, 08/15/33		379
	498	Series 3136, Class CO, PO, 04/15/36		473
	500	Series 3145, Class AJ, 5.500%, 04/15/36		556
	119	Series 3147, Class YE, 5.500%, 07/15/24		121
	1,125	Series 3150, Class EQ, 5.000%, 05/15/26		1,268
	100	Series 3151, Class PD, 6.000%, 11/15/34		106
	56	Series 3164, Class QV, 6.500%, 03/15/17		58
	1,228	Series 3165, Class JD, 5.500%, 08/15/34		1,319
	378	Series 3165, Class ND, 5.500%, 10/15/34		393
	26	Series 3166, Class GB, 6.000%, 06/15/21		26
	1,076	Series 3184, Class PD, 5.500%, 07/15/34		1,133
	652	Series 3200, Class PO, PO, 08/15/36		621
	617	Series 3204, Class NV, 5.000%, 08/15/17		674
	152	Series 3216, Class JA, 5.500%, 11/15/24		153
	1,500	Series 3219, Class PD, 6.000%, 11/15/35		1,692
	239	Series 3261, Class MA, 5.500%, 01/15/17		249
	455	Series 3270, Class AT, 5.500%, 01/15/37		525
	87	Series 3272, Class PA, 6.000%, 02/15/37		97
	2,000	Series 3289, Class ND, 5.500%, 06/15/35		2,172
	7,400	Series 3294, Class DB, 4.500%, 03/15/22		8,164
	299	Series 3312, Class LB, 5.500%, 11/15/25		313
	750	Series 3334, Class CD, 6.000%, 07/15/34		779
	490	Series 3337, Class MD, 5.500%, 06/15/27		540
	100	Series 3348, Class HT, 6.000%, 07/15/37		116
	1,165	Series 3349, Class HE, 5.500%, 07/15/36		1,308
	100	Series 3372, Class BD, 4.500%, 10/15/22		111
	265	Series 3414, Class A, 4.500%, 07/15/22		279
	485	Series 3476, Class VB, 5.500%, 02/15/27		517
	350	Series 3493, Class LA, 4.000%, 10/15/23		380
	193	Series 3508, Class PK, 4.000%, 02/15/39		203
	222	Series 3513, Class A, 4.500%, 02/15/39		244
	545	Series 3521, Class B, 4.000%, 04/15/24		582
	250	Series 3544, Class BC, 4.000%, 06/15/24		268
	5,262	Series 3546, Class NB, 4.000%, 06/15/24		5,683
	5,000	Series 3562, Class JC, 4.000%, 08/15/24		5,373
	5,000	Series 3563, Class BD, 4.000%, 08/15/24		5,362
	175	Series 3563, Class LB, 4.000%, 08/15/29		185
	265	Series 3571, Class MY, 4.000%, 09/15/24		289
	3,000	Series 3575, Class EB, 4.000%, 09/15/24		3,221
	5,000	Series 3577, Class B, 4.000%, 09/15/24		5,386
	800	Series 3578, Class KB, 4.000%, 09/15/24		860
	407	Series 3593, Class PC, 5.000%, 05/15/38		453
	3,053	Series 3605, Class NB, 5.500%, 06/15/37		3,420

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	233	Series 3652, Class A, 4.500%, 11/15/24		245
	530	Series 3653, Class B, 4.500%, 04/15/30		585
	7,134	Series 3653, Class HJ, 5.000%, 04/15/40		7,882
	135	Series 3659, Class BD, 5.000%, 01/15/37		148
	530	Series 3659, Class VG, 5.000%, 09/15/34		597
	1,185	Series 3677, Class KB, 4.500%, 05/15/40		1,308
	214	Series 3688, Class GT, VAR, 7.158%, 11/15/46		252
	260	Series 3715, Class PC, 4.500%, 08/15/40		287
	1,000	Series 3730, Class PL, 4.500%, 01/15/33		1,039
	3,033	Series 3740, Class BP, 4.500%, 04/15/38		3,256
	894	Series 3747, Class HI, IO, 4.500%, 07/15/37		121
	1,826	Series 3747, Class PA, 4.000%, 04/15/38		1,943
	445	Series 3755, Class ML, 5.500%, 06/15/29		481
	1,275	Series 3794, Class LB, 3.500%, 01/15/26		1,348
	4,014	Series 3819, Class ZQ, 6.000%, 04/15/36		4,675
	1,646	Series 3852, Class TP, IF, 5.500%, 05/15/41		1,910
	2,800	Series 3874, Class DW, 3.500%, 06/15/21		3,055
	1,600	Series 3885, Class AC, 4.000%, 06/15/26		1,727
		Federal National Mortgage Association - ACES,
	1,732	Series 2011-M2, Class A2, 3.645%, 07/25/21		1,862
	3,593	Series 2011-M4, Class A1, 2.548%, 06/25/21		3,710
		Federal National Mortgage Association REMICS,
	789	Series 1997-57, Class PN, 5.000%, 09/18/27		882
	512	Series 1999-51, Class PH, 6.000%, 10/25/29		550
	539	Series 2001-63, Class TC, 6.000%, 12/25/31		606
	1,092	Series 2001-81, Class HE, 6.500%, 01/25/32		1,234
	59	Series 2002-24, Class AJ, 6.000%, 04/25/17		64
	1,037	Series 2002-75, Class GB, 5.500%, 11/25/32		1,194
	335	Series 2002-85, Class PE, 5.500%, 12/25/32		374
	300	Series 2003-5, Class EQ, 5.500%, 02/25/23		339
	350	Series 2003-21, Class OU, 5.500%, 03/25/33		389
	75	Series 2003-22, Class UH, 4.000%, 12/25/32		78
	244	Series 2003-23, Class CH, 5.000%, 04/25/33		272
	84	Series 2003-28, Class KA, 4.250%, 03/25/22		85
	47	Series 2003-32, Class BW, 5.500%, 03/25/32		49
	925	Series 2003-41, Class BK, 5.000%, 05/25/18		1,020
	400	Series 2003-48, Class TC, 5.000%, 06/25/23		446
	569	Series 2003-55, Class HY, 5.000%, 06/25/23		620
	913	Series 2003-63, Class YB, 5.000%, 07/25/33		1,026
	267	Series 2003-64, Class VC, 5.000%, 03/25/16		274
	1,204	Series 2003-69, Class N, 5.000%, 07/25/33		1,342
	230	Series 2003-80, Class QG, 5.000%, 08/25/33		270
	42	Series 2003-81, Class CB, 4.750%, 09/25/18		43
	600	Series 2003-84, Class GE, 4.500%, 09/25/18		652

SEE NOTES TO FINANCIAL STATEMENTS.

154 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,400	Series 2003-84, Class PG, 5.000%, 03/25/32		1,475
	180	Series 2003-85, Class QD, 5.500%, 09/25/33		213
	1,154	Series 2003-86, Class VH, 5.500%, 04/25/22		1,246
	200	Series 2003-87, Class TJ, 4.500%, 09/25/18		214
	97	Series 2003-90, Class LA, 4.250%, 02/25/22		98
	318	Series 2003-94, Class CE, 5.000%, 10/25/33		343
	41	Series 2003-109, Class BT, 4.500%, 08/25/22		42
	173	Series 2003-113, Class KA, 4.500%, 11/25/18		175
	5,000	Series 2003-129, Class ME, 5.000%, 08/25/23		5,373
	96	Series 2003-131, Class CG, 5.500%, 05/25/33		101
	698	Series 2003-134, Class MH, 5.000%, 06/25/33		750
	211	Series 2004-30, Class CK, 4.500%, 05/25/19		212
	1,000	Series 2004-44, Class KT, 6.000%, 06/25/24		1,163
	770	Series 2004-53, Class NC, 5.500%, 07/25/24		823
	1,815	Series 2004-70, Class EB, 5.000%, 10/25/24		1,972
	148	Series 2004-81, Class HA, 4.250%, 10/25/24		157
	51	Series 2004-89, Class MA, 4.250%, 09/25/24		51
	212	Series 2004-91, Class VL, 5.000%, 05/25/23		227
	1,482	Series 2005-5, Class CK, 5.000%, 01/25/35		1,641
	7,593	Series 2005-22, Class HE, 5.000%, 10/25/33		8,122
	213	Series 2005-28, Class BC, 5.000%, 03/25/31		216
	4,101	Series 2005-29, Class WC, 4.750%, 04/25/35		4,551
	1,400	Series 2005-33, Class QD, 5.000%, 01/25/34		1,516
	9,225	Series 2005-44, Class PE, 5.000%, 07/25/33		9,862
	1,000	Series 2005-46, Class CE, 5.000%, 03/25/24		1,044
	100	Series 2005-48, Class TD, 5.500%, 06/25/35		117
	865	Series 2005-51, Class ND, 5.500%, 11/25/33		922
	1,000	Series 2005-53, Class MJ, 5.500%, 06/25/35		1,175
	404	Series 2005-58, Class EP, 5.500%, 07/25/35		459
	191	Series 2005-62, Class CP, 4.750%, 07/25/35		212
	100	Series 2005-68, Class BE, 5.250%, 08/25/35		111
	935	Series 2005-68, Class PG, 5.500%, 08/25/35		1,063
	336	Series 2005-84, Class TK, 5.250%, 09/25/35		348
	894	Series 2005-86, Class AX, 5.500%, 10/25/35		957
	690	Series 2005-86, Class WD, 5.000%, 03/25/34		745
	211	Series 2005-91, Class DA, 4.500%, 10/25/20		217
	558	Series 2005-99, Class AE, 5.500%, 12/25/35		593
	580	Series 2005-101, Class ND, 5.000%, 06/25/34		620
	1,375	Series 2005-102, Class PG, 5.000%, 11/25/35		1,544
	350	Series 2005-110, Class GJ, 5.500%, 11/25/30		362
	150	Series 2005-110, Class GL, 5.500%, 12/25/35		177

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	143	Series 2005-110, Class MB, 5.500%, 09/25/35		160
	121	Series 2005-116, Class PB, 6.000%, 04/25/34		130
	286	Series 2005-121, Class V, 4.500%, 06/25/29		306
	216	Series 2006-4, Class MB, 6.000%, 01/25/31		220
	950	Series 2006-7, Class TD, 6.000%, 04/25/35		1,071
	48	Series 2006-9, Class DB, 5.500%, 07/25/29		49
	1,085	Series 2006-22, Class CE, 4.500%, 08/25/23		1,194
	212	Series 2006-30, Class GA, 5.500%, 07/25/20		224
	500	Series 2006-41, Class MC, 5.500%, 07/25/35		548
	5,000	Series 2006-44, Class OG, 5.500%, 12/25/34		5,449
	1,695	Series 2006-45, Class NW, 5.500%, 01/25/35		1,863
	550	Series 2006-49, Class PA, 6.000%, 06/25/36		620
	5,000	Series 2006-53, Class CM, 5.000%, 01/25/35		5,370
	949	Series 2006-56, Class PF, VAR, 0.594%, 07/25/36		948
	1,135	Series 2006-57, Class PD, 5.500%, 01/25/35		1,242
	455	Series 2006-63, Class QE, 5.500%, 11/25/32		468
	1,735	Series 2006-65, Class TE, 5.500%, 05/25/35		1,922
	355	Series 2006-78, Class AV, 6.500%, 05/25/17		360
	170	Series 2006-112, Class QA, 5.500%, 03/25/33		175
	59	Series 2006-129, Class PB, 5.500%, 04/25/32		60
	198	Series 2007-33, Class HE, 5.500%, 04/25/37		225
	6,852	Series 2007-63, Class PC, 5.500%, 07/25/36		7,531
	178	Series 2007-65, Class KI, IF, IO, 6.376%, 07/25/37		27
	443	Series 2007-68, Class KA, 6.000%, 12/25/33		465
	1,000	Series 2007-68, Class PB, 5.500%, 06/25/36		1,087
	1,500	Series 2007-71, Class GB, 6.000%, 07/25/37		1,735
	1,163	Series 2007-71, Class KP, 5.500%, 07/25/37		1,297
	452	Series 2007-75, Class VA, 5.000%, 08/25/18		476
	7,200	Series 2007-76, Class PK, 6.000%, 06/25/36		7,901
	640	Series 2007-77, Class TC, 5.500%, 09/25/34		675
	452	Series 2007-77, Class TD, 5.500%, 01/25/36		504
	3,000	Series 2007-80, Class PB, 5.500%, 05/25/34		3,145
	288	Series 2007-113, Class DB, 4.500%, 12/25/22		320
	600	Series 2008-65, Class CD, 4.500%, 08/25/23		657
	1,815	Series 2008-68, Class VB, 6.000%, 03/25/27		1,979
	220	Series 2008-68, Class VJ, 5.500%, 07/25/19		236
	825	Series 2008-68, Class VK, 5.500%, 03/25/27		917
	2,820	Series 2008-68, Class VN, 5.500%, 03/25/27		3,069
	4,500	Series 2008-70, Class BY, 4.000%, 08/25/23		4,890
	101	Series 2008-74, Class B, 5.500%, 09/25/38		112
	32	Series 2008-85, Class EA, 5.000%, 03/25/26		32

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 155

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	136	Series 2008-89, Class AH, 4.500%, 11/25/34		139
	323	Series 2009-20, Class AM, 5.500%, 10/25/36		331
	220	Series 2009-37, Class KI, IF, IO, 5.756%, 06/25/39		28
	390	Series 2009-39, Class LB, 4.500%, 06/25/29		427
	4,607	Series 2009-62, Class HJ, 6.000%, 05/25/39		5,070
	370	Series 2009-71, Class MB, 4.500%, 09/25/24		406
	3,750	Series 2009-71, Class XB, 5.000%, 03/25/38		4,154
	529	Series 2009-78, Class J, 5.000%, 09/25/19		576
	230	Series 2009-86, Class IP, IO, 5.500%, 10/25/39		33
	291	Series 2009-86, Class OT, PO, 10/25/37		272
	150	Series 2009-86, Class PC, 5.000%, 03/25/37		161
	7,256	Series 2009-92, Class AD, 6.000%, 11/25/39		8,153
	400	Series 2009-96, Class CB, 4.000%, 11/25/49		420
	675	Series 2009-96, Class DB, 4.000%, 11/25/29		726
	1,581	Series 2009-112, Class ST, IF, IO, 6.006%, 01/25/40		198
	120	Series 2010-9, Class MD, 5.000%, 02/25/38		134
	3,520	Series 2010-10, Class MA, 4.500%, 04/25/34		3,658
	3,880	Series 2010-22, Class PE, 5.000%, 03/25/40		4,404
	803	Series 2010-35, Class SB, IF, IO, 6.176%, 04/25/40		113
	5,000	Series 2010-37, Class CY, 5.000%, 04/25/40		5,658
	700	Series 2010-41, Class DC, 4.500%, 05/25/25		780
	230	Series 2010-48, Class UB, 5.000%, 06/25/36		248
	429	Series 2010-54, Class EA, 4.500%, 06/25/40		462
	525	Series 2010-56, Class BD, 5.000%, 12/25/38		580
	75	Series 2010-64, Class DM, 5.000%, 06/25/40		81
	312	Series 2010-64, Class EH, 5.000%, 10/25/35		330
	1,221	Series 2010-71, Class HJ, 5.500%, 07/25/40		1,353
	4,000	Series 2010-103, Class GB, 4.000%, 09/25/20		4,476
	694	Series 2010-111, Class AE, 5.500%, 04/25/38		736
	6,752	Series 2010-135, Class HE, 3.000%, 01/25/21		7,026
	1,234	Series 2011-22, Class MA, 6.500%, 04/25/38		1,423
	4,612	Series 2011-39, Class ZA, 6.000%, 11/25/32		5,152
	2,726	Series 2011-60, Class C, 4.000%, 10/25/39		2,707
	3,515	Series 2011-61, Class V, 4.500%, 08/25/22		3,866
	3,000	Series 2011-75, Class BL, 3.500%, 08/25/21		3,245
		Federal National Mortgage Association STRIPS,
	173	Series 293, Class 1, PO, 12/01/24		163
	357	Series 314, Class 1, PO, 07/01/31		337
		Government National Mortgage Association,
	139	Series 2002-44, Class JC, 6.000%, 07/20/32		160

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	420	Series 2002-79, Class KL, 5.500%, 11/20/32		494
	164	Series 2002-88, Class PH, 5.500%, 12/16/31		174
	100	Series 2003-10, Class KJ, 5.500%, 02/20/33		117
	364	Series 2003-29, Class PD, 5.500%, 04/16/33		430
	1,000	Series 2003-33, Class NE, 5.500%, 04/16/33		1,145
	277	Series 2003-40, Class TD, 5.000%, 03/20/33		304
	355	Series 2003-65, Class AP, 5.500%, 08/20/33		409
	2,000	Series 2003-77, Class TK, 5.000%, 09/16/33		2,287
	445	Series 2004-16, Class GC, 5.500%, 02/20/34		526
	109	Series 2004-54, Class BG, 5.500%, 07/20/34		125
	172	Series 2004-75, Class NG, 5.500%, 09/20/33		185
	453	Series 2004-93, Class PD, 5.000%, 11/16/34		527
	450	Series 2004-101, Class BE, 5.000%, 11/20/34		521
	350	Series 2005-11, Class PL, 5.000%, 02/20/35		405
	2,058	Series 2005-26, Class XY, 5.500%, 03/20/35		2,319
	982	Series 2005-33, Class AY, 5.500%, 04/16/35		1,123
	200	Series 2005-49, Class B, 5.500%, 06/20/35		232
	419	Series 2005-51, Class DC, 5.000%, 07/20/35		454
	106	Series 2005-56, Class BD, 5.000%, 07/20/35		122
	1,033	Series 2006-38, Class SG, IF, IO, 6.405%, 09/20/33		94
	182	Series 2007-26, Class SW, IF, IO, 5.955%, 05/20/37		26
	526	Series 2007-37, Class LB, 5.500%, 06/16/37		589
	320	Series 2007-79, Class BL, 5.750%, 08/20/37		379
	450	Series 2008-7, Class PQ, 5.000%, 02/20/38		522
	815	Series 2008-9, Class PW, 5.250%, 02/20/38		929
	132	Series 2008-23, Class YA, 5.250%, 03/20/38		146
	101	Series 2008-30, Class AB, 4.200%, 02/20/37		105
	269	Series 2008-31, Class PK, 4.000%, 06/20/36		278
	1,994	Series 2008-33, Class PB, 5.500%, 04/20/38		2,232
	177	Series 2008-34, Class PG, 5.250%, 04/20/38		207
	400	Series 2008-35, Class NF, 5.000%, 04/20/38		462
	365	Series 2008-38, Class BE, 5.000%, 07/16/36		414
	665	Series 2008-38, Class BG, 5.000%, 05/16/38		771
	154	Series 2008-43, Class NB, 5.500%, 05/20/38		181
	655	Series 2008-56, Class PX, 5.500%, 06/20/38		765
	1,372	Series 2008-58, Class PD, 5.500%, 08/16/37		1,578
	1,000	Series 2008-58, Class PE, 5.500%, 07/16/38		1,178
	22	Series 2008-62, Class SA, IF, IO, 5.905%, 07/20/38		4
	817	Series 2008-76, Class US, IF, IO, 5.654%, 09/20/38		108
	785	Series 2008-95, Class DS, IF, IO, 7.054%, 12/20/38		133
	1,120	Series 2009-14, Class AG, 4.500%, 03/20/39		1,233

SEE NOTES TO FINANCIAL STATEMENTS.

156 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	408	Series 2009-15, Class NA, 5.000%, 12/20/38		442
	238	Series 2009-61, Class AP, 4.000%, 08/20/39		253
	1,862	Series 2009-72, Class SM, IF, IO, 6.002%, 08/16/39		262
	1,103	Series 2009-106, Class ST, IF, IO, 5.754%, 02/20/38		165
	175	Series 2010-7, Class EA, 5.000%, 06/16/38		197
	526	Series 2010-14, Class QP, 6.000%, 12/20/39		570
	540	Series 2010-51, Class DA, 5.000%, 01/20/40		546
	754	Series 2010-157, Class OP, PO, 12/20/40		664
	5,410	Series 2011-97, Class WA, VAR, 6.069%, 11/20/38		6,147
	299	NCUA Guaranteed Notes, Series 2010-C1, Class APT, 2.650%, 10/29/20		312
				425,377
		Non-Agency CMO — 1.3%
	508	Banc of America Mortgage Securities, Inc., Series 2003-3, Class 1A7, 5.500%, 05/25/33		521
	337	Citicorp Mortgage Securities, Inc., Series 2004-4, Class A4, 5.500%, 06/25/34		353
		Citigroup Mortgage Loan Trust, Inc.,
	160	Series 2003-1, Class 3A4, 5.250%, 09/25/33		169
	210	Series 2004-HYB4, Class WA, VAR, 2.780%, 12/25/34		203
	2,249	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		2,299
	183	Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-8, Class 2A1, 4.500%, 06/25/19		187
		Credit Suisse Mortgage Capital Certificates,
	291	Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e)		297
	1,402	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		1,376
	167	CS First Boston Mortgage Securities Corp., Series 2003-27, Class 5A4, 5.250%, 11/25/33		173
	915	GMAC Mortgage Corp. Loan Trust, Series 2004-J5, Class A7, 6.500%, 01/25/35		960
	1,424	GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4, 5.500%, 05/25/34		1,489
		JP Morgan Mortgage Trust,
	2,678	Series 2006-A2, Class 5A3, VAR, 2.647%, 11/25/33		2,612
	409	Series 2007-A1, Class 5A5, VAR, 2.852%, 07/25/35		389

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	755	MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		745
	97	MASTR Alternative Loans Trust, Series 2004-5, Class 5A1, 4.750%, 06/25/19		99
	211	Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A, VAR, 5.654%, 04/25/34		214
	480	PHH Mortgage Capital LLC, Series 2008-CIM2, Class 5A1, 6.000%, 07/25/38		504
	70	Prime Mortgage Trust, Series 2004-2, Class A2, 4.750%, 11/25/19		73
	92	Residential Accredit Loans, Inc., Series 2004-QS3, Class CB, 5.000%, 03/25/19		93
	50	WaMu Mortgage Pass-Through Certificates, Series 2003-S6, Class 2A1, 5.000%, 07/25/18		52
	2,658	Wells Fargo Mortgage-Backed Securities Trust, Series 2004-P, Class 2A1, VAR, 2.677%, 09/25/34		2,618
				15,426
		Total Collateralized Mortgage Obligations (Cost $435,867)		440,803
	Commercial Mortgage-Backed Securities — 1.2%
		Banc of America Commercial Mortgage, Inc.,
	200	Series 2005-3, Class AM, 4.727%, 07/10/43		212
	50	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		56
	200	Series 2006-5, Class A4, 5.414%, 09/10/47		224
	1,300	Bear Stearns Commercial Mortgage Securities, Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		1,401
	400	Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		424
	50	CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48		55
	1,000	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		1,032
	1,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		1,080
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	1,400	Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37		1,443
	1,000	Series 2006-CB15, Class A4, VAR, 5.814%, 06/12/43		1,123

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 157

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	1,878	LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4, 4.367%, 03/15/36		1,974
	36,425	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class XC, IO, VAR, 0.211%, 12/12/49 (e)		467
		Morgan Stanley Capital I,
	1,000	Series 2004-HQ4, Class A7, 4.970%, 04/14/40		1,065
	61,861	Series 2007-HQ11, Class X, IO, VAR, 0.230%, 02/12/44 (e)		462
	577	Series 2011-C3, Class A3, 4.054%, 07/15/49		620
		Morgan Stanley Reremic Trust,
	1,500	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		1,536
	250	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		250
	984	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e)		997
		Total Commercial Mortgage-Backed Securities (Cost $14,378)		14,421
	Corporate Bonds — 21.5%
		Consumer Discretionary — 1.3%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	1,135	4.250%, 03/01/21		1,225
	40	5.000%, 03/30/20		46
				1,271
		Automobiles — 0.1%
		Daimler Finance North America LLC,
	584	2.625%, 09/15/16 (e)		598
	450	6.500%, 11/15/13		491
				1,089
		Household Durables — 0.0% (g)
	83	Newell Rubbermaid, Inc., 4.700%, 08/15/20		90
		Media — 1.1%
		CBS Corp.,
	30	7.875%, 07/30/30		40
	1,100	8.875%, 05/15/19		1,467
	450	Comcast Cable Communications LLC, 8.875%, 05/01/17		587
		Comcast Corp.,
	400	5.700%, 07/01/19		476
	335	5.900%, 03/15/16		390
	335	6.500%, 01/15/17		403
	550	Cox Communications, Inc., 5.450%, 12/15/14		614
	287	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.000%, 03/01/21		319

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Media — Continued
	422	Discovery Communications LLC, 4.375%, 06/15/21		468
		News America, Inc.,
	30	7.250%, 05/18/18		36
	600	7.430%, 10/01/26		704
	400	7.600%, 10/11/15		452
	200	7.700%, 10/30/25		244
		Time Warner Cable, Inc.,
	500	4.125%, 02/15/21		531
	50	8.250%, 04/01/19		65
	3,425	8.750%, 02/14/19		4,530
	500	Time Warner Entertainment Co. LP, 8.375%, 07/15/33		655
		Viacom, Inc.,
	75	1.250%, 02/27/15		75
	361	3.875%, 12/15/21		380
	200	4.500%, 03/01/21		220
				12,656
		Multiline Retail — 0.0% (g)
	300	Macy’s Retail Holdings, Inc., 7.450%, 07/15/17		368
	175	Nordstrom, Inc., 4.000%, 10/15/21		191
				559
		Total Consumer Discretionary		15,665
		Consumer Staples — 1.1%
		Beverages — 0.2%
	773	Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14		785
		Coca-Cola Co. (The),
	1,000	1.800%, 09/01/16		1,028
	400	4.875%, 03/15/19		469
	400	PepsiCo, Inc., 0.800%, 08/25/14		402
				2,684
		Food & Staples Retailing — 0.3%
	1,100	CVS Caremark Corp., 4.125%, 05/15/21		1,210
		Kroger Co. (The),
	92	5.400%, 07/15/40		101
	700	6.150%, 01/15/20		864
	1,000	6.400%, 08/15/17		1,213
				3,388
		Food Products — 0.4%
		Bunge Ltd. Finance Corp.,
	40	5.875%, 05/15/13		42
	1,192	8.500%, 06/15/19		1,474

SEE NOTES TO FINANCIAL STATEMENTS.

158 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Food Products — Continued
		Cargill, Inc.,
	400	6.000%, 11/27/17 (e)		474
	1,000	7.350%, 03/06/19 (e)		1,257
	100	General Mills, Inc., 5.650%, 02/15/19		120
	513	Kellogg Co., 3.250%, 05/21/18		539
		Kraft Foods, Inc.,
	50	6.500%, 08/11/17		61
	425	7.000%, 08/11/37		563
				4,530
		Household Products — 0.2%
	200	Kimberly-Clark Corp., 2.400%, 03/01/22		197
	1,800	Procter & Gamble Co. (The), 1.450%, 08/15/16		1,829
				2,026
		Total Consumer Staples		12,628
		Energy — 1.0%
		Energy Equipment & Services — 0.1%
	750	Halliburton Co., 8.750%, 02/15/21		1,045
	19	Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22		19
	233	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		241
		Transocean, Inc., (Cayman Islands),
	100	6.500%, 11/15/20		116
	460	7.375%, 04/15/18		527
				1,948
		Oil, Gas & Consumable Fuels — 0.9%
	50	Anadarko Petroleum Corp., 8.700%, 03/15/19		67
		Apache Corp.,
	550	6.000%, 09/15/13		596
	400	6.900%, 09/15/18		507
		Canadian Natural Resources Ltd., (Canada),
	800	5.700%, 05/15/17		957
	500	5.900%, 02/01/18		597
	375	ConocoPhillips Holding Co., 6.950%, 04/15/29		512
	1,250	Devon Energy Corp., 6.300%, 01/15/19		1,550
	550	Encana Corp., (Canada), 5.900%, 12/01/17		637
	139	Occidental Petroleum Corp., 1.750%, 02/15/17		141
	1,000	Petrobras International Finance Co., (Cayman Islands), 3.500%, 02/06/17		1,022
		Shell International Finance B.V., (Netherlands),
	44	3.100%, 06/28/15		47

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Oil, Gas & Consumable Fuels — Continued
	1,555	4.300%, 09/22/19		1,795
	40	4.375%, 03/25/20		47
	1,200	Statoil ASA, (Norway), 3.125%, 08/17/17		1,290
	200	Suncor Energy, Inc., (Canada), 6.100%, 06/01/18		244
	200	Total Capital International S.A., (France), 2.875%, 02/17/22		204
		Total Capital S.A., (France),
	240	2.300%, 03/15/16		250
	148	4.125%, 01/28/21		166
				10,629
		Total Energy		12,577
		Financials — 10.1%
		Capital Markets — 2.3%
		Bank of New York Mellon Corp. (The),
	80	2.950%, 06/18/15		84
	1,340	4.150%, 02/01/21		1,446
	155	4.600%, 01/15/20		173
	200	BlackRock, Inc., 6.250%, 09/15/17		236
	40	Charles Schwab Corp. (The), 4.950%, 06/01/14		44
		Credit Suisse USA, Inc.,
	80	5.125%, 08/15/15		87
	350	5.850%, 08/16/16		391
		Goldman Sachs Group, Inc. (The),
	90	3.625%, 02/07/16		90
	112	3.700%, 08/01/15		114
	196	5.250%, 07/27/21		196
	900	5.375%, 03/15/20		922
	1,195	6.000%, 06/15/20		1,271
	5,150	7.500%, 02/15/19		5,863
	1,600	Jefferies Group, Inc., 8.500%, 07/15/19		1,720
		Macquarie Group Ltd., (Australia),
	200	7.300%, 08/01/14 (e)		211
	800	7.625%, 08/13/19 (e)		825
		Merrill Lynch & Co., Inc.,
	600	6.400%, 08/28/17		632
	2,000	6.875%, 04/25/18		2,176
		Morgan Stanley,
	323	3.450%, 11/02/15		317
	50	5.300%, 03/01/13		51
	1,000	5.450%, 01/09/17		1,029
	331	5.500%, 07/24/20		326
	2,500	5.625%, 09/23/19		2,500
	510	5.750%, 01/25/21		505

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 159

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Capital Markets — Continued
	1,400	6.000%, 04/28/15		1,475
	1,700	7.300%, 05/13/19		1,835
		Nomura Holdings, Inc., (Japan),
	275	4.125%, 01/19/16		279
	300	5.000%, 03/04/15		315
	1,900	UBS AG, (Switzerland), 5.750%, 04/25/18		2,098
				27,211
		Commercial Banks — 3.3%
	494	Bank of Montreal, (Canada), 1.300%, 10/31/14 (e)		499
		Bank of Nova Scotia, (Canada),
	500	2.550%, 01/12/17		518
	400	4.375%, 01/13/21		439
		Barclays Bank plc, (United Kingdom),
	250	5.125%, 01/08/20		264
	475	5.200%, 07/10/14		505
	2,650	6.750%, 05/22/19		3,044
		BB&T Corp.,
	705	3.200%, 03/15/16		747
	45	3.375%, 09/25/13		46
	55	3.850%, 07/27/12		56
	60	3.950%, 04/29/16		65
	500	5.200%, 12/23/15		552
	319	5.700%, 04/30/14		351
		Credit Suisse, (Switzerland),
	250	4.375%, 08/05/20		254
	1,000	5.400%, 01/14/20		1,005
	3,900	6.000%, 02/15/18		4,107
	500	Deutsche Bank AG, (Germany), 3.250%, 01/11/16		512
	300	Deutsche Bank Financial LLC, 5.375%, 03/02/15		309
	1,400	DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		1,415
	1,400	Fifth Third Bancorp, 3.625%, 01/25/16		1,479
		HSBC Bank plc, (United Kingdom),
	946	1.625%, 07/07/14 (e)		949
	523	3.100%, 05/24/16 (e)		535
	1,100	4.750%, 01/19/21 (e)		1,175
	1,000	HSBC Holdings plc, (United Kingdom), 5.100%, 04/05/21		1,095
	900	KeyCorp, 6.500%, 05/14/13		954
		Manufacturers & Traders Trust Co.,
	1,000	6.625%, 12/04/17		1,160
	700	VAR, 2.081%, 04/01/13		698

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Commercial Banks — Continued
	1,000	National Australia Bank Ltd., (Australia), 3.000%, 07/27/16 (e)		1,020
	250	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		255
		National City Corp.,
	400	4.900%, 01/15/15		439
	100	6.875%, 05/15/19		117
	591	Nordea Bank AB, (Sweden), 4.875%, 05/13/21 (e)		568
		PNC Funding Corp.,
	100	3.000%, 05/19/14		104
	50	5.125%, 02/08/20		58
	50	5.250%, 11/15/15		56
	50	5.625%, 02/01/17		55
	725	6.700%, 06/10/19		896
		Rabobank Nederland N.V., (Netherlands),
	114	2.125%, 10/13/15		114
	553	3.875%, 02/08/22		552
	350	4.500%, 01/11/21		367
		SunTrust Banks, Inc.,
	800	3.600%, 04/15/16		829
	280	5.250%, 11/05/12		288
	706	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		726
	1,041	Toronto-Dominion Bank (The), (Canada), 2.500%, 07/14/16		1,081
		U.S. Bancorp,
	60	2.450%, 07/27/15		62
	732	4.125%, 05/24/21		806
		Wachovia Bank N.A.,
	500	5.000%, 08/15/15		541
	1,000	6.000%, 11/15/17		1,150
		Wachovia Corp.,
	1,000	5.750%, 06/15/17		1,162
	3,895	5.750%, 02/01/18		4,520
				38,499
		Consumer Finance — 1.0%
	400	American Express Centurion Bank, 6.000%, 09/13/17		469
		American Express Co.,
	200	6.150%, 08/28/17		236
	1,820	7.000%, 03/19/18		2,241
	1,450	American Honda Finance Corp., 7.625%, 10/01/18 (e)		1,860
	2,800	Capital One Bank USA N.A., 8.800%, 07/15/19		3,422
	460	HSBC Finance Corp., 5.000%, 06/30/15		487

SEE NOTES TO FINANCIAL STATEMENTS.

160 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Consumer Finance — Continued
	250	John Deere Capital Corp., 3.150%, 10/15/21		260
	400	PACCAR Financial Corp., 1.550%, 09/29/14		405
	1,700	Toyota Motor Credit Corp., 2.000%, 09/15/16		1,731
				11,111
		Diversified Financial Services — 2.7%
		Bank of America Corp.,
	360	3.625%, 03/17/16		356
	1,050	4.900%, 05/01/13		1,079
	865	5.625%, 07/01/20		897
	585	5.650%, 05/01/18		607
	710	5.700%, 01/24/22		752
	600	7.375%, 05/15/14		649
	2,600	7.625%, 06/01/19		2,940
	800	BP Capital Markets plc, (United Kingdom), 3.875%, 03/10/15		868
	675	Caterpillar Financial Services Corp., 7.150%, 02/15/19		876
		Citigroup, Inc.,
	619	4.587%, 12/15/15		656
	490	4.750%, 05/19/15		519
	829	5.375%, 08/09/20		902
	5,400	8.500%, 05/22/19		6,700
	131	CME Group, Inc., 5.750%, 02/15/14		143
	315	ERAC USA Finance LLC, 4.500%, 08/16/21 (e)		323
		FUEL Trust,
	757	3.984%, 06/15/16 (e)		773
	240	4.207%, 04/15/16 (e)		246
		General Electric Capital Corp.,
	337	2.250%, 11/09/15		347
	125	4.375%, 09/16/20		133
	6,700	4.625%, 01/07/21		7,276
	331	5.300%, 02/11/21		365
	1,600	5.500%, 01/08/20		1,826
	80	5.625%, 09/15/17		92
	850	5.625%, 05/01/18		981
	70	5.875%, 01/14/38		78
	1,061	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,064
	650	National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18		949
				32,397
		Insurance — 0.7%
	500	Aflac, Inc., 8.500%, 05/15/19		651
		Aon Corp.,
	621	3.125%, 05/27/16		641
	94	3.500%, 09/30/15		98

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Insurance — Continued
	1,372	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		1,399
		Berkshire Hathaway Finance Corp.,
	267	2.450%, 12/15/15		279
	2,160	5.400%, 05/15/18		2,569
		CNA Financial Corp.,
	50	5.850%, 12/15/14		54
	860	5.875%, 08/15/20		934
	420	6.500%, 08/15/16		471
	268	Lincoln National Corp., 4.850%, 06/24/21		286
	400	Metropolitan Life Global Funding I, 3.125%, 01/11/16 (e)		410
	800	New York Life Global Funding, 5.375%, 09/15/13 (e)		856
				8,648
		Real Estate Investment Trusts (REITs) — 0.1%
	272	ERP Operating LP, 4.625%, 12/15/21		291
	50	HCP, Inc., 3.750%, 02/01/19		50
	200	Simon Property Group LP, 6.125%, 05/30/18		239
	700	WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e)		820
				1,400
		Thrifts & Mortgage Finance — 0.0% (g)
	400	Countrywide Financial Corp., 6.250%, 05/15/16		402
		Total Financials		119,668
		Health Care — 0.3%
		Biotechnology — 0.1%
	1,350	Amgen, Inc., 4.100%, 06/15/21		1,428
		Health Care Providers & Services — 0.2%
	1,250	Medco Health Solutions, Inc., 7.125%, 03/15/18		1,487
	187	UnitedHealth Group, Inc., 3.375%, 11/15/21		197
	100	WellPoint, Inc., 2.375%, 02/15/17		101
				1,785
		Total Health Care		3,213
		Industrials — 1.9%
		Aerospace & Defense — 0.4%
	1,200	Honeywell International, Inc., 4.250%, 03/01/21		1,383
	850	Lockheed Martin Corp., 4.250%, 11/15/19		927
	325	Northrop Grumman Corp., 5.050%, 08/01/19		364
	1,550	United Technologies Corp., 6.125%, 02/01/19		1,918
				4,592

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 161

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Airlines — 0.1%
	106	American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		105
	698	American Airlines 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21		740
	372	Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		407
	57	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		61
	104	Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		110
				1,423
		Commercial Services & Supplies — 0.1%
		Pitney Bowes, Inc.,
	200	5.000%, 03/15/15		213
	100	6.250%, 03/15/19		108
		Waste Management, Inc.,
	242	4.600%, 03/01/21		270
	150	4.750%, 06/30/20		168
				759
		Construction & Engineering — 0.0% (g)
	526	Fluor Corp., 3.375%, 09/15/21		536
		Industrial Conglomerates — 0.2%
	784	Danaher Corp., 3.900%, 06/23/21		866
	480	Koninklijke Philips Electronics N.V., (Netherlands), 5.750%, 03/11/18		564
	1,000	Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19		1,244
				2,674
		Machinery — 0.2%
		Caterpillar, Inc.,
	900	3.900%, 05/27/21		997
	30	7.900%, 12/15/18		41
	700	Deere & Co., 4.375%, 10/16/19		807
				1,845
		Road & Rail — 0.9%
		Burlington Northern Santa Fe LLC,
	125	3.600%, 09/01/20		132
	2,000	4.100%, 06/01/21		2,151
		CSX Corp.,
	3,000	6.250%, 03/15/18		3,603
	230	7.375%, 02/01/19		290
		Norfolk Southern Corp.,
	829	3.250%, 12/01/21		854
	300	7.800%, 05/15/27		426

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Road & Rail — Continued
		Ryder System, Inc.,
	290	2.500%, 03/01/17		291
	535	3.500%, 06/01/17		558
	100	3.600%, 03/01/16		104
		Union Pacific Corp.,
	1,931	4.163%, 07/15/22		2,130
	142	5.450%, 01/31/13		148
				10,687
		Total Industrials		22,516
		Information Technology — 1.1%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	180	4.450%, 01/15/20		209
	250	5.500%, 02/22/16		293
				502
		Computers & Peripherals — 0.3%
	1,400	Dell, Inc., 4.625%, 04/01/21		1,571
		Hewlett-Packard Co.,
	937	4.375%, 09/15/21		988
	1,100	4.750%, 06/02/14		1,182
	30	6.125%, 03/01/14		33
				3,774
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	350	3.375%, 11/01/15		359
	155	6.000%, 04/01/20		169
	200	6.875%, 07/01/13		214
	500	7.500%, 01/15/27		549
				1,291
		Internet Software & Services — 0.1%
	1,250	eBay, Inc., 3.250%, 10/15/20		1,294
		IT Services — 0.1%
		International Business Machines Corp.,
	252	1.250%, 02/06/17		251
	629	1.950%, 07/22/16		650
	40	8.375%, 11/01/19		58
				959
		Office Electronics — 0.1%
	1,250	Xerox Corp., 5.625%, 12/15/19		1,378
		Semiconductors & Semiconductor Equipment — 0.1%
	651	Intel Corp., 3.300%, 10/01/21		690
	837	Texas Instruments, Inc., 2.375%, 05/16/16		880
				1,570

SEE NOTES TO FINANCIAL STATEMENTS.

162 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Software — 0.2%
	185	Intuit, Inc., 5.750%, 03/15/17		210
	1,500	Microsoft Corp., 4.200%, 06/01/19		1,735
	50	Oracle Corp., 6.500%, 04/15/38		67
				2,012
		Total Information Technology		12,780
		Materials — 0.8%
		Chemicals — 0.6%
		Dow Chemical Co. (The),
	89	4.250%, 11/15/20		95
	325	5.900%, 02/15/15		367
	32	8.550%, 05/15/19		43
		E.I. du Pont de Nemours & Co.,
	200	5.750%, 03/15/19		243
	1,500	6.000%, 07/15/18		1,872
	660	Mosaic Co. (The), 3.750%, 11/15/21		689
	650	Potash Corp. of Saskatchewan, Inc., (Canada), 6.500%, 05/15/19		806
		PPG Industries, Inc.,
	550	3.600%, 11/15/20		578
	50	5.750%, 03/15/13		52
	1,325	6.650%, 03/15/18		1,625
	25	7.400%, 08/15/19		31
		Praxair, Inc.,
	100	4.625%, 03/30/15		111
	240	5.200%, 03/15/17		281
	400	Union Carbide Corp., 7.500%, 06/01/25		475
				7,268
		Construction Materials — 0.0% (g)
	309	CRH America, Inc., 6.000%, 09/30/16		337
		Metals & Mining — 0.2%
	650	BHP Billiton Finance USA Ltd., (Australia), 5.500%, 04/01/14		714
	172	Nucor Corp., 5.850%, 06/01/18		207
		Rio Tinto Finance USA Ltd., (Australia),
	38	3.500%, 11/02/20		40
	800	4.125%, 05/20/21		874
	120	8.950%, 05/01/14		140
				1,975
		Total Materials		9,580
		Telecommunication Services — 1.2%
		Diversified Telecommunication Services — 1.1%
		AT&T, Inc.,
	1,500	4.450%, 05/15/21		1,683

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Diversified Telecommunication Services — Continued
	1,000	5.500%, 02/01/18		1,189
	850	5.600%, 05/15/18		1,015
	1,200	CenturyLink, Inc., 6.450%, 06/15/21		1,271
	900	Deutsche Telekom International Finance B.V., (Netherlands), 6.750%, 08/20/18		1,092
		France Telecom S.A., (France),
	525	2.750%, 09/14/16		546
	50	8.500%, 03/01/31		73
	400	Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14		412
		Telefonica Emisiones S.A.U., (Spain),
	114	5.462%, 02/16/21		115
	400	6.221%, 07/03/17		426
		Verizon Communications, Inc.,
	1,750	5.500%, 02/15/18		2,078
	245	5.550%, 02/15/16		284
	2,055	8.750%, 11/01/18		2,829
				13,013
		Wireless Telecommunication Services — 0.1%
	1,000	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		1,026
	500	Vodafone Group plc, (United Kingdom), 5.625%, 02/27/17		593
				1,619
		Total Telecommunication Services		14,632
		Utilities — 2.7%
		Electric Utilities — 2.0%
	800	Appalachian Power Co., 4.600%, 03/30/21		881
	800	CenterPoint Energy Houston Electric LLC, 7.000%, 03/01/14		892
	843	CenterPoint Energy Resources Corp., 4.500%, 01/15/21		901
	237	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		250
	2,150	Commonwealth Edison Co., 1.625%, 01/15/14		2,185
	200	Detroit Edison Co. (The), 3.900%, 06/01/21		218
		Duke Energy Carolinas LLC,
	1,250	3.900%, 06/15/21		1,380
	50	6.450%, 10/15/32		64
	233	Duke Energy Corp., 3.550%, 09/15/21		245
	160	Duke Energy Indiana, Inc., 3.750%, 07/15/20		172
	400	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		397
	180	Exelon Generation Co. LLC, 4.000%, 10/01/20		188

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 163

JPMorgan Inflation Managed Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Electric Utilities — Continued
	3,700	Georgia Power Co., 4.250%, 12/01/19		4,118
	263	Great Plains Energy, Inc., 4.850%, 06/01/21		282
	25	Indiana Michigan Power Co., 7.000%, 03/15/19		31
	1,000	Nevada Power Co., 6.500%, 08/01/18		1,224
	40	NextEra Energy Capital Holdings, Inc., 7.875%, 12/15/15		48
	100	Nisource Finance Corp., 6.800%, 01/15/19		120
	300	Oncor Electric Delivery Co. LLC, 7.000%, 09/01/22		380
		Pacific Gas & Electric Co.,
	424	3.250%, 09/15/21		437
	50	6.050%, 03/01/34		63
	200	PacifiCorp, 5.650%, 07/15/18		241
	1,500	Pennsylvania Electric Co., 6.050%, 09/01/17		1,724
	490	Progress Energy, Inc., 4.400%, 01/15/21		539
	74	Public Service Co. of Colorado, 3.200%, 11/15/20		78
	220	Public Service Co. of Oklahoma, 4.400%, 02/01/21		239
	25	Public Service Electric & Gas Co., 2.700%, 05/01/15		26
		Southern California Edison Co.,
	958	3.875%, 06/01/21		1,060
	650	5.500%, 08/15/18		788
	1,860	Southwestern Electric Power Co., 6.450%, 01/15/19		2,213
	1,500	Southwestern Public Service Co., 8.750%, 12/01/18		2,032
		Spectra Energy Capital LLC,
	50	6.200%, 04/15/18		58
	70	8.000%, 10/01/19		90
	429	Virginia Electric and Power Co., 2.950%, 01/15/22		435
				23,999
		Gas Utilities — 0.2%
	939	AGL Capital Corp., 3.500%, 09/15/21		948
	380	Atmos Energy Corp., 4.950%, 10/15/14		415
		TransCanada PipeLines Ltd., (Canada),
	500	3.800%, 10/01/20		543
	300	7.125%, 01/15/19		385
				2,291
		Independent Power Producers & Energy Traders — 0.0% (g)
	500	PSEG Power LLC, 4.150%, 09/15/21		527

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Multi-Utilities — 0.3%
	500	CenterPoint Energy, Inc., 6.500%, 05/01/18		591
	350	Dominion Resources, Inc., 5.200%, 08/15/19		408
	175	KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12		181
	6	San Diego Gas & Electric Co., 5.350%, 05/15/40		8
		Sempra Energy,
	500	2.000%, 03/15/14		510
	1,400	9.800%, 02/15/19		1,916
				3,614
		Water Utilities — 0.2%
	1,700	American Water Capital Corp., 6.085%, 10/15/17		1,991
		Total Utilities		32,422
		Total Corporate Bonds (Cost $246,180)		255,681
	Mortgage Pass-Through Securities — 4.6%
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	11,236	5.500%, 01/01/24 - 02/01/24		12,203
	921	Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 5.500%, 05/01/27		1,003
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	4,263	4.500%, 05/01/41		4,532
	768	5.000%, 10/01/33		852
	25	6.000%, 12/01/36		28
		Federal National Mortgage Association, 15 Year, Single Family,
	331	6.000%, 10/01/19 - 01/01/24		358
		Federal National Mortgage Association, 30 Year, Single Family,
	3,678	5.000%, 03/01/36 - 08/01/40		3,974
	760	5.500%, 02/01/38		830
	2,816	6.000%, 12/01/32 - 04/01/35		3,142
	538	6.500%, 10/01/37 - 10/01/38		609
	323	7.000%, 04/01/37		374
		Federal National Mortgage Association, Other,
	1,500	2.140%, 04/01/19		1,502
	1,366	2.490%, 10/01/17		1,416
	1,500	3.482%, 11/01/20		1,599
	3,500	3.492%, 01/01/18		3,766
	1,750	3.590%, 10/01/20		1,888
	1,000	3.596%, 12/01/20		1,072
	4,977	3.730%, 06/01/18		5,442
	1,724	3.810%, 01/01/19		1,882

SEE NOTES TO FINANCIAL STATEMENTS.

164 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	1,290	3.988%, 07/01/21		1,409
	1,000	4.260%, 07/01/21		1,118
	1,982	4.474%, 04/01/21		2,223
	784	4.515%, 02/01/20		883
	989	4.794%, 01/01/21		1,124
	1,689	Government National Mortgage Association II, 30 Year, Single Family, 6.000%, 09/20/38		1,894
		Total Mortgage Pass-Through Securities (Cost $53,489)		55,123
	Supranational — 0.1%
	641	Corp. Andina de Fomento, 3.750%, 01/15/16 (Cost $646)		659
	U.S. Government Agency Securities — 19.9%
	25,655	Federal Home Loan Bank, 1.750%, 09/11/15		26,450
		Federal Home Loan Mortgage Corp.,
	30,000	1.375%, 02/25/14		30,668
	5,000	2.125%, 03/23/12		5,006
	28,800	2.875%, 02/09/15		30,914
	8,700	3.750%, 03/27/19		9,988
	20,000	4.500%, 01/15/14		21,600
		Federal National Mortgage Association,
	30,000	0.500%, 10/30/12		30,062
	11,000	1.000%, 04/04/12		11,009
	14,000	1.500%, 06/26/13		14,226

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	12,600	1.625%, 10/26/15		13,011
	36,500	5.000%, 02/13/17		43,404
		Total U.S. Government Agency Securities (Cost $232,435)		236,338
	U.S. Treasury Obligations — 7.6%
		U.S. Treasury Inflation Indexed Notes,
	62,500	0.125%, 01/15/22		64,897
	20,000	1.625%, 01/15/18		25,002
		Total U.S. Treasury Obligations (Cost $89,461)		89,899
SHARES
	Short-Term Investment — 4.2%
		Investment Company — 4.2%
	50,241	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.170% † (b) (l) (m) (Cost $50,241)		50,241
		Total Investments — 98.6% (Cost $1,150,352)		1,170,906
		Other Assets in Excess of Liabilities — 1.4%		17,122
		NET ASSETS — 100.0%	$	1,188,028

Percentages indicated are based on net assets.

Inflation-Linked Swaps
	RATE TYPE (r)
SWAP COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	TERMINATION DATE	NOTIONAL AMOUNT		VALUE
Barclays Bank plc	1.740% at termination	CPI-U at termination	06/24/14	$	15,000	$	383
Barclays Bank plc	2.095% at termination	CPI-U at termination	05/24/16		7,000		121
BNP Paribas S.A.	1.970% at termination	CPI-U at termination	01/31/14		47,000		897
BNP Paribas S.A.	2.125% at termination	CPI-U at termination	01/25/15		60,000		939
Citibank, N.A.	1.470% at termination	CPI-U at termination	08/26/15		40,000		2,062
Deutsche Bank AG, New York	1.990% at termination	CPI-U at termination	06/08/15		8,000		143
Deutsche Bank AG, New York	2.380% at termination	CPI-U at termination	06/02/16		120,000		(531	)
Deutsche Bank AG, New York	2.625% at termination	CPI-U at termination	06/27/21		25,000		(172	)
Morgan Stanley Capital Services	2.610% at termination	CPI-U at termination	04/28/16		104,000		(1,181	)
Morgan Stanley Capital Services	1.970% at termination	CPI-U at termination	08/30/16		75,000		1,186
Royal Bank of Scotland	2.050% at termination	CPI-U at termination	02/16/14		50,000		734
Royal Bank of Scotland	2.150% at termination	CPI-U at termination	02/16/15		50,000		641
Royal Bank of Scotland	2.270% at termination	CPI-U at termination	08/02/15		77,000		(562	)
UBS Warburg	1.840% at termination	CPI-U at termination	06/24/13		25,000		161
UBS Warburg	1.770% at termination	CPI-U at termination	06/27/13		25,000		188
UBS Warburg	2.438% at termination	CPI-U at termination	03/02/16		20,000		2
						$	5,011

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 165

JPMorgan Limited Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 12.9%
	2,770	Accredited Mortgage Loan Trust, Series 2003-3, Class A1, SUB, 4.460%, 01/25/34		2,222
	1,114	AH Mortgage Advance Trust, (Cayman Islands), Series SART-1, Class A1, 2.630%, 05/10/42 (e)		1,111
		AmeriCredit Automobile Receivables Trust,
	2,790	Series 2011-1, Class A3, 1.390%, 09/08/15		2,807
	1,935	Series 2011-3, Class A3, 1.170%, 01/08/16		1,941
	1,910	Ameriquest Mortgage Securities, Inc., Series 2003-7, Class M1, VAR, 1.519%, 08/25/33		1,567
		Amortizing Residential Collateral Trust,
	91	Series 2002-BC4, Class A, VAR, 0.824%, 07/25/32		68
	1,272	Series 2002-BC6, Class M1, VAR, 1.369%, 08/25/32		804
	4,000	Series 2002-BC9, Class M1, VAR, 1.894%, 12/25/32		2,771
		Amresco Residential Securities Mortgage Loan Trust,
	256	Series 1997-2, Class M1A, VAR, 0.799%, 06/25/27		235
	1,189	Series 1998-1, Class M1A, VAR, 0.889%, 01/25/28		945
	1,409	Series 1998-3, Class M1A, VAR, 0.874%, 09/25/28		1,050
	1,264	Asset-Backed Securities Corp. Home Equity, Series 2003-HE7, Class M2, VAR, 2.874%, 12/15/33		817
		Bear Stearns Asset-Backed Securities Trust,
	2,306	Series 2003-SD1, Class A, VAR, 0.694%, 12/25/33		1,923
	9,348	Series 2005-CL1, Class M1, VAR, 0.874%, 09/25/34 (f) (i)		748
	2,860	Series 2005-HE1, Class M2, VAR, 1.074%, 01/25/35		2,096
	932	BNC Mortgage Loan Trust, Series 2007-2, Class A2, VAR, 0.344%, 05/25/37		844
	377	Centex Home Equity, Series 2002-A, Class MV1, VAR, 1.094%, 01/25/32		219
	855	CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e)		860
		Countrywide Asset-Backed Certificates,
	203	Series 2002-1, Class A, VAR, 0.804%, 08/25/32		124
	184	Series 2002-BC1, Class A, VAR, 0.904%, 04/25/32		96
	228	Series 2002-BC2, Class A, VAR, 0.784%, 04/25/32		108

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	61	Series 2003-BC2, Class 2A1, VAR, 0.844%, 06/25/33		46
	2,131	Series 2003-BC5, Class M1, VAR, 1.294%, 09/25/33		1,018
	530	Series 2004-2, Class M4, VAR, 1.744%, 03/25/34		104
	517	Series 2004-S1, Class M2, SUB, 5.084%, 02/25/35		415
		Countrywide Home Equity Loan Trust,
	1,290	Series 2004-A, Class A, VAR, 0.469%, 04/15/30		958
	906	Series 2005-E, Class 2A, VAR, 0.469%, 11/15/35		587
	3,847	Series 2005-M, Class A1, VAR, 0.489%, 02/15/36		2,297
		First Franklin Mortgage Loan Asset-Backed Certificates,
	204	Series 2002-FF1, Class M1, VAR, 1.294%, 04/25/32		127
	1,383	Series 2002-FF4, Class M1, VAR, 1.819%, 02/25/33		456
	583	Series 2003-FFH1, Class M2, VAR, 2.869%, 09/25/33		67
	703	Series 2004-FF8, Class M4, VAR, 1.850%, 10/25/34		55
	1,000	First NLC Trust, Series 2005-2, Class M1, VAR, 0.724%, 09/25/35		682
	3,580	Fremont Home Loan Trust, Series 2005-C, Class M2, VAR, 0.734%, 07/25/35		2,286
	579	Greenpoint Mortgage Funding Trust, Series 2005-HE3, Class A, VAR, 0.429%, 09/15/30		298
	1,500	Harley-Davidson Motorcycle Trust, Series 2009-2, Class A4, 3.320%, 02/15/17		1,517
	377	Irwin Home Equity Corp., Series 2004-1, Class 1A1, VAR, 0.884%, 12/25/24		208
	40	Lehman Home Equity Loan Trust, Series 1998-1, Class A1, 7.000%, 05/25/28		39
	352	Long Beach Mortgage Loan Trust, Series 2004-1, Class M3, VAR, 1.294%, 02/25/34		261
		Morgan Stanley ABS Capital I,
	2,370	Series 2003-NC6, Class M1, VAR, 1.444%, 06/25/33		1,837
	7,500	Series 2005-WMC4, Class M5, VAR, 0.894%, 04/25/35		4,423
	315	New Century Home Equity Loan Trust, Series 2003-5, Class AII, VAR, 0.644%, 11/25/33		207
	1,268	Option One Mortgage Loan Trust, Series 2002-4, Class M1, VAR, 1.144%, 07/25/32		1,034

SEE NOTES TO FINANCIAL STATEMENTS.

166 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
			Park Place Securities, Inc.,
	3,075		Series 2004-WHQ2, Class M2, VAR, 0.874%, 02/25/35		2,489
	2,500		Series 2005-WHQ3, Class M2, VAR, 0.694%, 06/25/35		1,686
	414		Residential Asset Mortgage Products, Inc., Series 2003-RS2, Class AII, VAR, 0.924%, 03/25/33		282
			Residential Asset Securities Corp.,
	549		Series 2003-KS4, Class MI2, SUB, 5.010%, 06/25/33		120
	133		Series 2005-EMX4, Class A2, VAR, 0.504%, 11/25/35		132
			Residential Funding Mortgage Securities II, Inc.,
	558		Series 2001-HI2, Class AI7, SUB, 6.940%, 04/25/26		531
	600		Series 2001-HI4, Class A7, SUB, 6.740%, 10/25/26		571
	141		Series 2003-HS1, Class AII, VAR, 0.534%, 12/25/32		105
	3,175		Santander Drive Auto Receivables Trust, Series 2010-1, Class A3, 1.840%, 11/17/14		3,198
	168		Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3, VAR, 0.944%, 04/25/33		136
	175		Structured Asset Securities Corp., Series 2002-HF1, Class A, VAR, 0.824%, 01/25/33		140
			Total Asset-Backed Securities (Cost $78,414)		51,668
	Collateralized Mortgage Obligations — 54.2%
			Agency CMO — 31.7%
	842		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 1, Class S, IF, IO, 8.711%, 10/25/22		164
			Federal Home Loan Mortgage Corp. REMICS,
	21		Series 1071, Class F, VAR, 1.200%, 04/15/21		21
	31		Series 1343, Class LA, 8.000%, 08/15/22		38
	27		Series 1370, Class JA, VAR, 1.400%, 09/15/22		27
	23		Series 1379, Class W, VAR, 1.230%, 10/15/22		24
	6		Series 1508, Class KA, VAR, 1.821%, 05/15/23		6
	14		Series 1607, Class SA, HB, IF, 20.321%, 10/15/13		14
	414		Series 1689, Class M, PO, 03/15/24		386
	175		Series 1771, Class PK, 8.000%, 02/15/25		206
	325		Series 1974, Class ZA, 7.000%, 07/15/27		381
	57		Series 1981, Class Z, 6.000%, 05/15/27		63
	—	(h)	Series 2006, Class I, IO, 8.000%, 10/15/12		—	(h)

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	223		Series 2033, Class PR, PO, 03/15/24		208
	29		Series 2261, Class ZY, 7.500%, 10/15/30		35
	11		Series 2289, Class NA, VAR, 11.574%, 05/15/20		12
	116		Series 2338, Class FN, VAR, 0.749%, 08/15/28		117
	218		Series 2416, Class SA, IF, 15.114%, 02/15/32		295
	179		Series 2416, Class SH, IF, 15.508%, 02/17/32		253
	52		Series 2477, Class FZ, VAR, 0.799%, 06/15/31		52
	2,108		Series 2649, Class FK, VAR, 0.799%, 07/15/33 (m)		2,105
	901		Series 2661, Class FG, VAR, 0.699%, 03/15/17		904
	1,488		Series 3085, Class VS, HB, IF, 27.726%, 12/15/35		2,401
	2,596		Series 3300, Class FA, VAR, 0.549%, 08/15/35 (m)		2,589
	6,877		Series 3737, Class DG, 5.000%, 10/15/30		7,466
	9,166		Series 3832, Class PL, 5.000%, 08/15/39		10,013
	5,490		Series 3841, Class JF, VAR, 0.649%, 10/15/38		5,486
	19,198		Series 3860, Class FP, VAR, 0.649%, 06/15/40		19,160
			Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	100		Series T-51, Class 1APO, PO, 09/25/42		85
	1,462		Series T-54, Class 4A, VAR, 3.356%, 02/25/43		1,460
			Federal National Mortgage Association Grantor Trust,
	731		Series 2001-T8, Class A1, 7.500%, 07/25/41		807
	1,979		Series 2002-T6, Class A4, VAR, 3.264%, 03/25/41		2,036
			Federal National Mortgage Association Interest STRIPS,
	1,957		Series 343, Class 23, IO, 4.000%, 10/01/18		123
	2,757		Series 343, Class 27, IO, 4.500%, 01/01/19		218
			Federal National Mortgage Association REMICS,
	30		Series 1988-15, Class B, VAR, 0.800%, 06/25/18		30
	4		Series 1989-77, Class J, 8.750%, 11/25/19		5
	1		Series 1989-89, Class H, 9.000%, 11/25/19		1
	100		Series 1990-64, Class Z, 10.000%, 06/25/20		117
	218		Series 1990-145, Class A, VAR, 1.145%, 12/25/20 (m)		221
	136		Series 1991-142, Class PL, 8.000%, 10/25/21		158
	144		Series 1991-156, Class F, VAR, 1.550%, 11/25/21		148
	—	(h)	Series 1992-91, Class SQ, HB, IF, 9,260.000%, 05/25/22		83
	283		Series 1992-112, Class GB, 7.000%, 07/25/22		325
	7		Series 1992-154, Class SA, IF, IO, 5.400%, 08/25/22		1

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 167

JPMorgan Limited Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	111	Series 1992-200, Class FK, VAR, 2.521%, 11/25/22		116
	123	Series 1993-27, Class S, IF, 9.376%, 02/25/23		145
	249	Series 1993-110, Class H, 6.500%, 05/25/23		289
	28	Series 1993-119, Class H, 6.500%, 07/25/23		32
	243	Series 1993-146, Class E, PO, 05/25/23		220
	110	Series 1993-165, Class FH, VAR, 1.400%, 09/25/23		113
	531	Series 1993-179, Class FM, VAR, 2.471%, 10/25/23		553
	72	Series 1997-74, Class E, 7.500%, 10/20/27		84
	1,234	Series 2001-9, Class F, VAR, 0.496%, 02/17/31		1,234
	319	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		71
	1,384	Series 2002-77, Class FY, VAR, 0.644%, 12/25/17		1,391
	2,318	Series 2003-17, Class FN, VAR, 0.544%, 03/25/18 (m)		2,327
	110	Series 2003-21, Class FK, VAR, 0.644%, 03/25/33		111
	964	Series 2003-34, Class BS, IF, IO, 7.406%, 05/25/22		21
	2,120	Series 2004-17, Class BF, VAR, 0.594%, 01/25/34		2,117
	4,150	Series 2006-3, Class SB, IF, IO, 6.456%, 07/25/35		616
	15,621	Series 2006-124, Class FC, VAR, 0.594%, 01/25/37		15,568
	902	Series 2007-2, Class FA, VAR, 0.444%, 02/25/37		898
	17,152	Series 2010-42, Class PD, 4.500%, 07/25/39		17,938
	75	Series G92-44, Class ZQ, 8.000%, 07/25/22		85
	1,348	Series G94-9, Class PJ, 6.500%, 08/17/24		1,540
		Federal National Mortgage Association Whole Loan,
	456	Series 2003-W1, Class 2A, VAR, 7.084%, 12/25/42		533
	2,350	Series 2003-W4, Class 5A, VAR, 3.422%, 10/25/42 (m)		2,507
	2,515	Series 2003-W15, Class 3A, VAR, 3.881%, 12/25/42 (m)		2,661
	313	Series 2004-W2, Class 1A3F, VAR, 0.594%, 02/25/44		311
	1,174	Series 2004-W2, Class 4A, VAR, 3.183%, 02/25/44		1,210
	2,274	Series 2009-W1, Class A, 6.000%, 12/25/49		2,569
		Government National Mortgage Association,
	914	Series 1999-27, Class ZA, 7.500%, 04/17/29		978

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	24	Series 2000-35, Class F, VAR, 0.798%, 12/16/25		24
	577	Series 2002-31, Class FC, VAR, 0.494%, 09/26/21		578
	1,457	Series 2003-21, Class PI, IO, 5.500%, 06/20/32		69
	16,471	Series 2003-59, Class XA, IO, VAR, 1.528%, 06/16/34		571
	9,320	Series 2010-166, Class GP, 3.000%, 04/20/39		9,702
	849	NCUA Guaranteed Notes, Series 2010-C1, Class A1, 1.600%, 10/29/20		860
				126,286
		Non-Agency CMO — 22.5%
	1,944	Banc of America Alternative Loan Trust, Series 2004-8, Class 3A1, 5.500%, 09/25/19		1,946
		Banc of America Funding Corp.,
	1,276	Series 2005-E, Class 5A1, VAR, 5.059%, 05/20/35		1,171
	1,998	Series 2006-1, Class 2A1, 5.500%, 01/25/36		1,919
		Banc of America Mortgage Securities, Inc.,
	35	Series 2003-5, Class 2A8, VAR, 0.694%, 07/25/18		31
	2,335	Series 2004-D, Class 2A2, VAR, 2.881%, 05/25/34		2,041
	1,216	Series 2005-10, Class 1A13, 5.500%, 11/25/35		1,204
	1,512	Series 2005-A, Class 3A1, VAR, 2.990%, 02/25/35		1,234
	839	Bear Stearns Asset-Backed Securities Trust, Series 2004-AC6, Class M1, VAR, 0.914%, 11/25/34		450
	461	Chase Mortgage Finance Corp., Series 2003-S7, Class A4, VAR, 0.644%, 08/25/18		420
	99	Citicorp Mortgage Securities, Inc., Series 1988-17, Class A1, VAR, 1.901%, 11/25/18		99
	27	Collateralized Mortgage Obligation Trust, Series 50, Class B, PO, 10/01/18		26
		Countrywide Alternative Loan Trust,
	1,485	Series 2003-J1, Class 1A8, 5.250%, 10/25/33		1,503
	1,762	Series 2004-33, Class 3A3, VAR, 2.716%, 12/25/34		842
	696	Series 2004-J4, Class 1A6, SUB, 4.900%, 06/25/34		705
		Countrywide Home Loan Mortgage Pass-Through Trust,
	711	Series 2002-38, Class A1, 5.000%, 02/25/18		731
	1,007	Series 2003-21, Class A1, VAR, 2.801%, 05/25/33		985

SEE NOTES TO FINANCIAL STATEMENTS.

168 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	549	Series 2004-HYB8, Class 1A1, VAR, 0.596%, 01/20/35		437
	715	Series 2005-1, Class 1A2, VAR, 0.594%, 03/25/35		110
		CS First Boston Mortgage Securities Corp.,
	13	Series 2002-AR2, Class 1B2, VAR, 3.552%, 02/25/32		1
	2,206	Series 2003-AR24, Class 2A4, VAR, 2.676%, 10/25/33		1,971
	1,748	Series 2004-5, Class 4A1, 6.000%, 09/25/34		1,803
	935	Series 2004-AR3, Class 6M1, VAR, 1.344%, 04/25/34		859
	694	Series 2005-5, Class 1A1, 5.000%, 07/25/20		709
	1,465	Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.591%, 02/25/20		1,506
		First Horizon Alternative Mortgage Securities,
	116	Series 2005-AA7, Class 1A2, VAR, 2.553%, 09/25/35		1
	1,140	Series 2005-FA10, Class 2A1, 5.250%, 12/25/20		1,117
		First Horizon Asset Securities, Inc.,
	1,962	Series 2004-AR6, Class 2A1, VAR, 2.628%, 12/25/34		1,838
	293	Series 2004-AR7, Class 2A1, VAR, 2.617%, 02/25/35		281
	649	Series 2005-6, Class 1A1, 5.500%, 11/25/35		657
		First Republic Mortgage Loan Trust,
	130	Series 2000-FRB1, Class B1, VAR, 0.744%, 06/25/30		99
	677	Series 2000-FRB2, Class A1, VAR, 0.749%, 11/15/30		626
	4,031	GSAA Home Equity Trust, Series 2004-CW1, Class 1A1, 5.500%, 04/01/34		4,141
	2,512	GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1, 5.500%, 09/25/34		2,551
		Impac CMB Trust,
	911	Series 2004-3, Class 3A, VAR, 0.884%, 03/25/34		752
	568	Series 2004-6, Class 1A2, VAR, 1.024%, 10/25/34		440
	2,285	Series 2005-5, Class A1, VAR, 0.884%, 08/25/35		1,512
	1,896	Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1, VAR, 3.519%, 03/25/37		1,277
		JPMorgan Mortgage Trust,
	397	Series 2003-A1, Class 1A1, VAR, 2.108%, 10/25/33		401

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	365	Series 2005-A2, Class 5A1, VAR, 4.310%, 04/25/35		366
		MASTR Adjustable Rate Mortgages Trust,
	1,844	Series 2003-5, Class 5A1, VAR, 2.349%, 10/25/33		1,835
	92	Series 2004-7, Class 6A1, VAR, 0.684%, 08/25/34		92
	1,355	Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		1,336
	3,220	Series 2004-13, Class 3A7B, VAR, 2.110%, 11/21/34		3,123
	358	MASTR Seasoned Securities Trust, Series 2003-1, Class 3A2, VAR, 0.644%, 02/25/33		320
		Mellon Residential Funding Corp.,
	998	Series 2001-TBC1, Class B1, VAR, 1.129%, 11/15/31		685
	217	Series 2002-TBC1, Class B1, VAR, 1.249%, 09/15/30		166
	108	Series 2002-TBC1, Class B2, VAR, 1.649%, 09/15/30		80
	684	Series 2002-TBC2, Class B1, VAR, 1.099%, 08/15/32		512
	169	Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20		188
		MLCC Mortgage Investors, Inc.,
	1,017	Series 2004-1, Class 2A3, VAR, 2.195%, 12/25/34		917
	1,751	Series 2004-D, Class A1, VAR, 0.904%, 08/25/29		1,604
		Morgan Stanley Dean Witter Capital I,
	666	Series 2003-HYB1, Class A4, VAR, 1.830%, 03/25/33		570
	468	Series 2003-HYB1, Class B1, VAR, 1.830%, 03/25/33		273
		Morgan Stanley Mortgage Loan Trust,
	803	Series 2004-5AR, Class 3A3, VAR, 2.435%, 07/25/34		487
	4,527	Series 2004-5AR, Class 3A5, VAR, 2.435%, 07/25/34		3,884
	1,966	Series 2004-11AR, Class 1A2A, VAR, 0.554%, 01/25/35		1,669
		Nomura Asset Acceptance Corp.,
	395	Series 2003-A3, Class A1, SUB, 5.500%, 08/25/33		389
	123	Series 2004-AR1, Class 5A1, VAR, 1.004%, 08/25/34		98
	2,123	Series 2004-R3, Class AF, VAR, 0.694%, 02/25/35 (e)		1,651

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 169

JPMorgan Limited Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	48	Series 2005-AR1, Class 2A1, VAR, 0.524%, 02/25/35		45
	1,862	Prime Mortgage Trust, Series 2005-2, Class 2A1, VAR, 7.098%, 10/25/32		1,851
	1,120	Residential Accredit Loans, Inc., Series 2003-QS16, Class A1, 5.000%, 08/25/18		1,139
		Residential Funding Mortgage Securities I,
	1,704	Series 2005-S1, Class 1A6, 5.500%, 02/25/35		1,704
	4,500	Series 2005-SA2, Class 2A2, VAR, 3.017%, 06/25/35		3,585
	1,321	Series 2006-SA4, Class 2A1, VAR, 3.707%, 11/25/36		921
	6	Securitized Asset Sales, Inc., Series 1993-7, Class TA3, 6.250%, 12/25/23		7
		Sequoia Mortgage Trust,
	175	Series 11, Class A, VAR, 1.146%, 12/20/32		162
	350	Series 2003-3, Class A2, VAR, 1.488%, 07/20/33		315
	3,126	Series 2004-11, Class A2, VAR, 1.009%, 12/20/34		2,829
		Structured Asset Mortgage Investments, Inc.,
	1,757	Series 2002-AR2, Class A3, VAR, 0.746%, 07/19/32		1,223
	285	Series 2004-AR1, Class 1A1, VAR, 0.596%, 03/19/34		245
		Structured Asset Securities Corp.,
	752	Series 2003-8, Class 2A9, VAR, 0.744%, 04/25/33		724
	1,946	Series 2003-40A, Class 4A, VAR, 2.581%, 01/25/34		1,718
		WaMu Mortgage Pass-Through Certificates,
	3,737	Series 2004-AR3, Class A1, VAR, 2.549%, 06/25/34		3,679
	1,597	Series 2004-AR11, Class A, VAR, 2.490%, 10/25/34		1,523
		Wells Fargo Mortgage-Backed Securities Trust,
	512	Series 2003-F, Class A1, VAR, 4.868%, 06/25/33		514
	1,455	Series 2003-K, Class 1A2, VAR, 4.430%, 11/25/33		1,502
	1,275	Series 2004-2, Class A1, 5.000%, 01/25/19		1,315
	669	Series 2004-H, Class A2, VAR, 2.738%, 06/25/34		647
	1,679	Series 2005-16, Class A16, 5.750%, 01/25/36		1,684
	1,212	Series 2005-AR16, Class 3A2, VAR, 2.666%, 03/25/35		1,147
	756	Series 2006-17, Class A1, 5.500%, 11/25/21		766

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	1,703	Series 2007-3, Class 3A1, 5.500%, 04/25/22		1,780
				89,666
		Total Collateralized Mortgage Obligations (Cost $225,146)		215,952
	Commercial Mortgage-Backed Securities — 2.8%
	2,000	Banc of America Commercial Mortgage, Inc., Series 2005-2, Class A5, VAR, 4.857%, 07/10/43		2,190
		Bayview Commercial Asset Trust,
	757	Series 2004-3, Class A2, VAR, 0.664%, 01/25/35 (e)		559
	2,679	Series 2005-2A, Class A2, VAR, 0.594%, 08/25/35 (e)		1,853
	535	Series 2005-2A, Class M1, VAR, 0.674%, 08/25/35 (e)		306
	1,597	Series 2007-2A, Class A2, VAR, 0.564%, 07/25/37 (e)		618
	795	Series 2007-2A, Class M4, VAR, 0.894%, 07/25/37 (e)		62
	2,371	Series 2007-3, Class A2, VAR, 0.534%, 07/25/37 (e)		984
	2,000	Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4, VAR, 5.204%, 10/15/44		2,214
	2,461	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e)		2,495
		Total Commercial Mortgage-Backed Securities (Cost $15,522)		11,281
	Corporate Bonds — 0.5%
		Financials — 0.5%
		Capital Markets — 0.4%
	6,355	Lehman Brothers Holdings, Inc., 5.884%, 02/17/15 (d) (f) (i)		1,644
		Consumer Finance — 0.1%
	250	SLM Corp., VAR, 5.514%, 01/31/14		255
		Total Corporate Bonds (Cost $6,570)		1,899
	Mortgage Pass-Through Securities — 15.5%
		Federal Home Loan Mortgage Corp.,
	19	ARM, 2.095%, 12/01/21		19
	107	ARM, 2.104%, 07/01/19		112
	99	ARM, 2.210%, 01/01/27		104
	15	ARM, 2.250%, 06/01/26 (m)		16
	38	ARM, 2.292%, 06/01/22		38
	64	ARM, 2.320%, 12/01/26		68
	690	ARM, 2.339%, 01/01/23		721

SEE NOTES TO FINANCIAL STATEMENTS.

170 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	30	ARM, 2.340%, 10/01/29		30
	64	ARM, 2.356%, 04/01/30		68
	1,136	ARM, 2.359%, 04/01/32		1,200
	311	ARM, 2.381%, 08/01/27		330
	244	ARM, 2.384%, 12/01/27 (m)		258
	154	ARM, 2.393%, 07/01/28		163
	29	ARM, 2.405%, 11/01/27		30
	433	ARM, 2.411%, 07/01/30 (m)		456
	27	ARM, 2.438%, 12/01/29		28
	114	ARM, 2.442%, 02/01/23		116
	50	ARM, 2.450%, 05/01/18		54
	263	ARM, 2.461%, 12/01/26		279
	418	ARM, 2.622%, 01/01/23 (m)		444
	67	ARM, 2.646%, 04/01/24		71
	17	ARM, 2.768%, 06/01/25		17
	108	ARM, 3.020%, 01/01/30		114
	32	Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 8.000%, 06/01/17		35
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	11	7.500%, 05/01/28		13
	47	8.500%, 07/01/28		57
	24	9.000%, 02/01/25		30
		Federal National Mortgage Association,
	24	ARM, 1.778%, 04/01/24		24
	18	ARM, 1.815%, 06/01/18		18
	289	ARM, 1.901%, 11/01/18		295
	136	ARM, 1.924%, 07/01/20 (m)		138
	71	ARM, 1.925%, 12/01/20		73
	54	ARM, 1.926%, 04/01/21		55
	49	ARM, 2.050%, 05/01/18		49
	1,072	ARM, 2.111%, 05/01/33		1,114
	38	ARM, 2.150%, 05/01/30		38
	13	ARM, 2.230%, 07/01/25		13
	19	ARM, 2.235%, 11/01/21		20
	15	ARM, 2.250%, 03/01/17		15
	12	ARM, 2.340%, 05/01/29		13
	91	ARM, 2.347%, 01/01/31 (m)		97
	398	ARM, 2.372%, 09/01/33		422
	168	ARM, 2.415%, 09/01/19		178
	63	ARM, 2.439%, 06/01/26		67
	28	ARM, 2.446%, 03/01/38		30
	50	ARM, 2.450%, 05/01/31		50
	25	ARM, 2.470%, 12/01/26		26
	61	ARM, 2.472%, 11/01/23		63
	783	ARM, 2.497%, 01/01/25		832
	200	ARM, 2.558%, 08/01/26		213

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	85		ARM, 2.600%, 03/01/29		90
	161		ARM, 2.935%, 12/01/28		162
	96		ARM, 2.973%, 07/01/27		102
	91		ARM, 3.829%, 11/01/30		97
	75		ARM, 3.925%, 03/01/15		75
	344		ARM, 4.212%, 02/01/34		361
	9		ARM, 4.340%, 05/01/20		9
	70		ARM, 6.000%, 01/01/20		72
	—	(h)	Federal National Mortgage Association, 10 Year, Single Family, 4.500%, 01/01/13		—	(h)
			Federal National Mortgage Association, 15 Year, Single Family,
	14,618		4.000%, 02/01/25		15,487
	5		6.000%, 08/01/14		5
	125		7.000%, 03/01/16 (m)		127
	10,016		Federal National Mortgage Association, 20 Year, Single Family, 5.000%, 10/01/23		10,981
			Federal National Mortgage Association, 30 Year, FHA/VA,
	27		7.000%, 03/01/27		31
	24		8.000%, 11/01/27		29
	27		8.500%, 10/01/24		27
	12		9.000%, 08/01/25		12
			Federal National Mortgage Association, 30 Year, Single Family,
	5,798		5.000%, 12/01/39		6,449
	5,647		5.500%, 08/01/40		6,172
	4,018		6.000%, 04/01/39		4,454
	36		7.250%, 09/01/22		41
	159		7.500%, 06/01/23 - 10/01/30		181
	9		8.500%, 08/01/17		10
			Federal National Mortgage Association, Other,
	30		6.500%, 04/01/16		32
	60		12.000%, 11/01/30		68
			Government National Mortgage Association II, 30 Year, Single Family,
	61		7.250%, 08/20/22 - 11/20/22		69
	91		7.400%, 10/20/21 - 03/20/22		105
	23		7.500%, 10/20/23		27
	23		7.850%, 12/20/21		23
	77		8.000%, 07/20/25 - 08/20/26		93
	6,870		Government National Mortgage Association, 15 Year, Single Family, 4.500%, 10/15/24		7,451
			Government National Mortgage Association, 30 Year, Single Family,
	59		7.000%, 06/15/24		68
	33		8.000%, 10/15/27		39

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 171

JPMorgan Limited Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	29	9.000%, 11/15/24		34
	188	9.500%, 07/15/25		221
		Total Mortgage Pass-Through Securities (Cost $59,568)		61,918
SHARES
	Short-Term Investment — 14.2%
		Investment Company — 14.2%
	56,538	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $56,538)		56,538
		Total Investments — 100.1% (Cost $441,758)		399,256
		Liabilities in Excess of Other Assets — (0.1)%		(566	)
		NET ASSETS — 100.0%	$	398,690

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

172 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 2.7%
	1,113	Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.424%, 04/25/36		942
		AH Mortgage Advance Trust, (Cayman Islands),
	1,894	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		1,888
	7,667	Series SART-1, Class A2, 3.370%, 05/10/43 (e)		7,682
	3,201	Series SART-2, Class A1, 3.270%, 09/15/43 (e)		3,206
	1,000	Series SART-2, Class B1, 6.900%, 09/15/43 (e)		1,010
	2,824	Series SART-3, Class 1A1, 2.980%, 03/13/43 (e)		2,830
	5,119	Series SART-3, Class 1A2, 3.720%, 03/13/44 (e)		5,135
	558	Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e)		556
	1,793	Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35		1,649
	344	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.614%, 04/25/36		268
		Chase Funding Mortgage Loan Asset-Backed Certificates,
	2,275	Series 2002-3, Class 1A5, SUB, 5.407%, 06/25/32		2,225
	1,291	Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33		1,241
	1,378	Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,301
		Citigroup Mortgage Loan Trust, Inc.,
	271	Series 2003-HE3, Class A, VAR, 0.624%, 12/25/33		235
	1,735	Series 2004-HE1, Class A, VAR, 0.574%, 09/25/33 (e)		1,614
	2,415	Series 2011-5, Class 1A1, VAR, 0.434%, 02/25/46 (e) (f) (i)		2,202
	122	Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.748%, 01/25/36		68
	333	Federal National Mortgage Association Whole Loan, Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32		364
	174	First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.344%, 12/25/36		163
	3,832	Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e)		3,846

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Freedom Trust,
	1,042	Series 2011-1, Class A13, VAR, 0.435%, 11/30/37 (e) (f) (i)		985
	1,799	Series 2011-2, Class A11, VAR, 6.809%, 08/01/46 (e)		1,802
		HSBC Home Equity Loan Trust,
	411	Series 2005-2, Class A1, VAR, 0.515%, 01/20/35		384
	546	Series 2006-1, Class A1, VAR, 0.406%, 01/20/36		495
	395	Series 2006-2, Class A1, VAR, 0.395%, 03/20/36		364
	611	Series 2007-1, Class AS, VAR, 0.446%, 03/20/36		522
	1,625	Series 2007-3, Class APT, VAR, 1.446%, 11/20/36		1,432
	323	Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.444%, 03/25/36		179
	3,208	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.594%, 07/25/34 (e)		3,070
		Long Beach Mortgage Loan Trust,
	2,200	Series 2004-1, Class M1, VAR, 0.994%, 02/25/34		1,619
	355	Series 2006-8, Class 2A2, VAR, 0.334%, 09/25/36		104
	593	Series 2006-WL2, Class 2A3, VAR, 0.444%, 01/25/36		447
		Madison Avenue Manufactured Housing Contract,
	183,261	Series 2002-A, Class IO, IO, 0.300%, 03/25/32		1,647
	1,684	Series 2002-A, Class M2, VAR, 2.494%, 03/25/32		1,499
		Mid-State Trust,
	1,679	Series 2010-1, Class A, 3.500%, 12/15/45 (e)		1,719
	508	Series 2010-1, Class M, 5.250%, 12/15/45 (e)		512
	1,327	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.607%, 12/07/20		1,332
	700	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.303%, 11/25/33		667
	738	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		746
	2,387	Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.869%, 10/25/34		2,262
		PennyMac Loan Trust,
	960	Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e)		946

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 173

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	2,300	Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i)		2,305
		Real Estate Asset Trust,
	623	Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i)		623
	3,541	Series 2012-1A, Class A1, 4.950%, 02/25/32 (e) (f) (i)		3,541
	429	Series 2012-1A, Class A2, 7.140%, 02/25/32 (e) (f) (i)		429
	500	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		204
		Residential Asset Mortgage Products, Inc.,
	999	Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32		992
	306	Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34		290
	1,200	Series 2005-EFC5, Class A3, VAR, 0.584%, 10/25/35		1,023
	4,000	Series 2006-RZ1, Class A3, VAR, 0.544%, 03/25/36		3,410
	1,500	Residential Asset Securities Corp., Series 2005-KS9, Class A3, VAR, 0.614%, 10/25/35		1,436
	2,629	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i)		2,628
	292	Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e)		247
	1,159	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		1,159
	1,000	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.514%, 06/25/35		943
		Structured Asset Securities Corp.,
	724	Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		734
	640	Series 2002-AL1, Class A2, 3.450%, 02/25/32		584
	2,112	Series 2002-AL1, Class A3, 3.450%, 02/25/32		1,907
		Total Asset-Backed Securities (Cost $85,059)		83,613
	Collateralized Mortgage Obligations — 59.4%
		Agency CMO — 40.1%
	1,590	Federal Home Loan Bank, Series 9M-2012, Class A, 4.720%, 09/20/12		1,624
	1,788	Federal Home Loan Bank System, Series 2000-1067, Class 1, 5.300%, 06/15/12		1,802

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Agency CMO — Continued
			Federal Home Loan Mortgage Corp. REMICS,
	24		Series 11, Class D, 9.500%, 07/15/19		26
	15		Series 22, Class C, 9.500%, 04/15/20		16
	21		Series 23, Class F, 9.600%, 04/15/20		23
	13		Series 30, Class D, 9.500%, 02/15/20		14
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		1
	7		Series 47, Class F, 10.000%, 06/15/20		8
	76		Series 77, Class H, 8.500%, 09/15/20		85
	3		Series 81, Class A, 8.125%, 11/15/20		3
	7		Series 84, Class F, 9.200%, 10/15/20		8
	7		Series 99, Class Z, 9.500%, 01/15/21		8
	—	(h)	Series 180, Class J, HB, 1,010.000%, 09/15/21		—	(h)
	—	(h)	Series 186, Class I, HB, 1,009.500%, 08/15/21		1
	—	(h)	Series 189, Class K, HB, 1,009.500%, 10/15/21		1
	—	(h)	Series 204, Class E, HB, IF, 1,838.732%, 05/15/23		8
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		2
	5		Series 1065, Class J, 9.000%, 04/15/21		6
	9		Series 1079, Class S, HB, IF, 33.150%, 05/15/21		18
	—	(h)	Series 1082, Class D, HB, 1,007.780%, 05/15/21		1
	6		Series 1084, Class F, VAR, 1.200%, 05/15/21		6
	4		Series 1084, Class S, HB, IF, 44.100%, 05/15/21		8
	6		Series 1133, Class H, 7.000%, 09/15/21		7
	18		Series 1144, Class KB, 8.500%, 09/15/21		20
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		1
	—	(h)	Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22		7
	45		Series 1343, Class LA, 8.000%, 08/15/22		54
	22		Series 1343, Class LB, 7.500%, 08/15/22		27
	75		Series 1374, Class Z, 7.000%, 10/15/22		86
	21		Series 1395, Class G, 6.000%, 10/15/22		24
	185		Series 1401, Class J, 7.000%, 10/15/22		211
	275		Series 1466, Class PZ, 7.500%, 02/15/23		319
	8		Series 1470, Class F, VAR, 2.221%, 02/15/23		8
	8		Series 1505, Class QB, HB, IF, 20.183%, 05/15/23		13
	79		Series 1518, Class G, IF, 8.819%, 05/15/23		88
	62		Series 1526, Class L, 6.500%, 06/15/23		64
	11		Series 1540, Class IA, 7.000%, 06/15/13		11

SEE NOTES TO FINANCIAL STATEMENTS.

174 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	87	Series 1541, Class O, VAR, 1.180%, 07/15/23		89
	814	Series 1552, Class IA, IF, 17.745%, 08/15/23		1,141
	21	Series 1570, Class F, VAR, 2.721%, 08/15/23		22
	52	Series 1570, Class SA, HB, IF, 22.110%, 08/15/23		81
	221	Series 1578, Class K, 6.900%, 09/15/23		254
	25	Series 1578, Class V, IO, 7.000%, 09/15/23		5
	509	Series 1591, Class PV, 6.250%, 10/15/23		531
	53	Series 1596, Class D, 6.500%, 10/15/13		54
	15	Series 1602, Class SA, HB, IF, 21.937%, 10/15/23		28
	130	Series 1609, Class LG, IF, 16.792%, 11/15/23		153
	646	Series 1628, Class LZ, 6.500%, 12/15/23		722
	595	Series 1638, Class H, 6.500%, 12/15/23		677
	749	Series 1644, Class K, 6.750%, 12/15/23		768
	759	Series 1658, Class GZ, 7.000%, 01/15/24		882
	6	Series 1671, Class QC, IF, 10.000%, 02/15/24		8
	314	Series 1677, Class Z, 7.500%, 07/15/23		367
	10	Series 1686, Class SH, IF, 18.675%, 02/15/24		16
	19	Series 1688, Class W, 7.250%, 03/15/14		19
	283	Series 1695, Class EB, 7.000%, 03/15/24		329
	37	Series 1699, Class FC, VAR, 0.850%, 03/15/24		37
	50	Series 1745, Class D, 7.500%, 08/15/24		59
	1,133	Series 1760, Class ZD, VAR, 1.460%, 02/15/24		1,179
	119	Series 1798, Class F, 5.000%, 05/15/23		132
	7	Series 1807, Class G, 9.000%, 10/15/20		8
	1,044	Series 1813, Class I, PO, 11/15/23		978
	4,036	Series 1813, Class J, IF, IO, 5.750%, 11/15/23		545
	229	Series 1829, Class ZB, 6.500%, 03/15/26		257
	8	Series 1844, Class E, 6.500%, 10/15/13		8
	404	Series 1863, Class Z, 6.500%, 07/15/26		454
	6	Series 1865, Class D, PO, 02/15/24		5
	120	Series 1899, Class ZE, 8.000%, 09/15/26		142
	104	Series 1963, Class Z, 7.500%, 01/15/27		123
	34	Series 1985, Class PR, IO, 8.000%, 07/15/27		9
	48	Series 1987, Class PE, 7.500%, 09/15/27		57
	5	Series 2025, Class PE, 6.300%, 01/15/13		5
	434	Series 2033, Class J, 5.600%, 06/15/23		476
	23	Series 2033, Class SN, HB, IF, 25.948%, 03/15/24		16
	30	Series 2038, Class PN, IO, 7.000%, 03/15/28		5
	267	Series 2040, Class PE, 7.500%, 03/15/28		317
	36	Series 2042, Class T, 7.000%, 03/15/28		42
	40	Series 2055, Class OE, 6.500%, 05/15/13		40

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	109	Series 2060, Class Z, 6.500%, 05/15/28		125
	278	Series 2061, Class DC, IO, 6.500%, 06/15/28		53
	21,359	Series 2065, Class PX, IO, 0.750%, 08/17/27		448
	676	Series 2075, Class PH, 6.500%, 08/15/28		770
	136	Series 2086, Class GB, 6.000%, 09/15/28		140
	47	Series 2089, Class PJ, IO, 7.000%, 10/15/28		8
	202	Series 2102, Class TC, 6.000%, 12/15/13 (m)		208
	131	Series 2102, Class TU, 6.000%, 12/15/13 (m)		136
	528	Series 2110, Class PG, 6.000%, 01/15/29		569
	504	Series 2111, Class SB, IF, IO, 7.252%, 01/15/29		106
	122	Series 2115, Class PE, 6.000%, 01/15/14		123
	184	Series 2125, Class JZ, 6.000%, 02/15/29		193
	418	Series 2130, Class QS, 6.000%, 03/15/29		468
	76	Series 2132, Class SB, HB, IF, 29.390%, 03/15/29		133
	113	Series 2132, Class ZL, 6.500%, 03/15/29		122
	5	Series 2135, Class UK, IO, 6.500%, 03/15/14		—	(h)
	16	Series 2141, Class IO, IO, 7.000%, 04/15/29		3
	40	Series 2163, Class PC, IO, 7.500%, 06/15/29		9
	86	Series 2178, Class PB, 7.000%, 08/15/29		101
	134	Series 2201, Class C, 8.000%, 11/15/29		160
	419	Series 2209, Class TC, 8.000%, 01/15/30		499
	222	Series 2210, Class Z, 8.000%, 01/15/30		268
	83	Series 2224, Class CB, 8.000%, 03/15/30		100
	51	Series 2247, Class Z, 7.500%, 08/15/30		60
	282	Series 2254, Class Z, 9.000%, 09/15/30		340
	237	Series 2256, Class MC, 7.250%, 09/15/30		281
	378	Series 2259, Class ZM, 7.000%, 10/15/30		447
	419	Series 2271, Class PC, 7.250%, 12/15/30		496
	322	Series 2283, Class K, 6.500%, 12/15/23		363
	117	Series 2296, Class PD, 7.000%, 03/15/31		138
	81	Series 2301, Class PA, 6.000%, 10/15/13		83
	1,626	Series 2303, Class ZD, 7.000%, 04/15/31		1,728
	969	Series 2303, Class ZN, 8.500%, 04/15/29		1,042
	54	Series 2306, Class K, PO, 05/15/24		50
	135	Series 2306, Class SE, IF, IO, 8.640%, 05/15/24		30
	427	Series 2344, Class QG, 6.000%, 08/15/16		454
	917	Series 2344, Class ZD, 6.500%, 08/15/31		1,002
	105	Series 2344, Class ZJ, 6.500%, 08/15/31		115
	65	Series 2345, Class NE, 6.500%, 08/15/31		68
	203	Series 2347, Class VP, 6.500%, 03/15/20		203
	171	Series 2353, Class TD, 6.000%, 09/15/16		179
	177	Series 2355, Class BP, 6.000%, 09/15/16		187

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 175

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	136	Series 2358, Class PD, 6.000%, 09/15/16		145
	289	Series 2359, Class PM, 6.000%, 09/15/16		299
	409	Series 2359, Class ZB, 8.500%, 06/15/31		478
	310	Series 2360, Class PG, 6.000%, 09/15/16		331
	87	Series 2363, Class PF, 6.000%, 09/15/16		92
	163	Series 2366, Class MD, 6.000%, 10/15/16		174
	1,851	Series 2367, Class ZK, 6.000%, 10/15/31		2,082
	57	Series 2368, Class AS, HB, IF, 20.284%, 10/15/31		83
	117	Series 2368, Class TG, 6.000%, 10/15/16		124
	71	Series 2372, Class F, VAR, 0.748%, 10/15/31		71
	77	Series 2383, Class FD, VAR, 0.748%, 11/15/31		77
	122	Series 2388, Class UZ, 8.500%, 06/15/31		144
	744	Series 2391, Class QR, 5.500%, 12/15/16		795
	79	Series 2394, Class MC, 6.000%, 12/15/16		84
	1,189	Series 2399, Class TH, 6.500%, 01/15/32		1,301
	213	Series 2410, Class OE, 6.375%, 02/15/32		234
	258	Series 2410, Class QS, IF, 18.854%, 02/15/32		386
	145	Series 2410, Class QX, IF, IO, 8.402%, 02/15/32		36
	217	Series 2423, Class MC, 7.000%, 03/15/32		257
	277	Series 2423, Class MT, 7.000%, 03/15/32		311
	206	Series 2425, Class OB, 6.000%, 03/15/17		221
	3,420	Series 2431, Class F, VAR, 0.748%, 03/15/32		3,441
	538	Series 2433, Class SA, HB, IF, 20.284%, 02/15/32		853
	339	Series 2434, Class TC, 7.000%, 04/15/32		388
	576	Series 2436, Class MC, 7.000%, 04/15/32		677
	191	Series 2444, Class ES, IF, IO, 7.702%, 03/15/32		39
	198	Series 2450, Class GZ, 7.000%, 05/15/32		235
	217	Series 2450, Class SW, IF, IO, 7.751%, 03/15/32		44
	389	Series 2458, Class QE, 5.500%, 06/15/17		415
	518	Series 2462, Class NB, 6.500%, 06/15/22		575
	996	Series 2464, Class FE, VAR, 1.248%, 03/15/32		1,006
	62	Series 2470, Class SL, IF, 9.000%, 01/15/27		70
	268	Series 2474, Class SJ, IF, IO, 7.401%, 07/15/17		24
	3,215	Series 2494, Class SX, IF, IO, 6.752%, 02/15/32		587
	1,033	Series 2513, Class ZC, 5.500%, 10/15/32		1,128
	175	Series 2515, Class DE, 4.000%, 03/15/32		179
	1,134	Series 2517, Class Z, 5.500%, 10/15/32		1,261

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	670	Series 2533, Class HB, 5.500%, 12/15/17		724
	309	Series 2535, Class BK, 5.500%, 12/15/22		339
	1,092	Series 2549, Class ZG, 5.000%, 01/15/18		1,134
	2,330	Series 2557, Class HL, 5.300%, 01/15/33		2,625
	10,000	Series 2568, Class KG, 5.500%, 02/15/23		10,932
	137	Series 2571, Class SK, HB, IF, 33.428%, 09/15/23		251
	1,061	Series 2574, Class HP, 5.000%, 02/15/18		1,134
	936	Series 2586, Class WI, IO, 6.500%, 03/15/33		173
	447	Series 2587, Class CO, PO, 03/15/32		445
	1,296	Series 2590, Class IP, IO, 5.500%, 08/15/31		30
	1,293	Series 2591, Class QO, 4.500%, 03/15/18		1,378
	356	Series 2594, Class DJ, 4.250%, 10/15/30		359
	26	Series 2597, Class DS, IF, IO, 7.301%, 02/15/33		1
	34	Series 2599, Class DS, IF, IO, 6.752%, 02/15/33		1
	60	Series 2610, Class DS, IF, IO, 6.851%, 03/15/33		1
	2,016	Series 2610, Class DZ, 5.500%, 05/15/33		2,265
	296	Series 2611, Class SQ, IF, 12.503%, 05/15/33		335
	749	Series 2611, Class UH, 4.500%, 05/15/18		791
	1,834	Series 2617, Class GR, 4.500%, 05/15/18		1,954
	2,037	Series 2626, Class NS, IF, IO, 6.302%, 06/15/23		149
	2,482	Series 2627, Class GY, 4.500%, 06/15/18		2,646
	1,542	Series 2631, Class LC, 4.500%, 06/15/18		1,648
	199	Series 2631, Class SA, IF, 14.394%, 06/15/33		247
	802	Series 2637, Class SA, IF, IO, 5.852%, 06/15/18		85
	374	Series 2640, Class UG, IO, 5.000%, 01/15/32		20
	940	Series 2640, Class UP, IO, 5.000%, 01/15/32		47
	7	Series 2640, Class UR, IO, 4.500%, 08/15/17		—	(h)
	1,975	Series 2641, Class WI, IO, 5.000%, 01/15/33		208
	809	Series 2649, Class IG, IO, 5.000%, 11/15/31		39
	923	Series 2650, Class PO, PO, 12/15/32		876
	1,562	Series 2650, Class SO, PO, 12/15/32		1,482
	264	Series 2657, Class MD, 5.000%, 12/15/20		266
	374	Series 2671, Class S, IF, 14.303%, 09/15/33		464
	1,036	Series 2672, Class ME, 5.000%, 11/15/22		1,096
	6,015	Series 2675, Class CK, 4.000%, 09/15/18 (m)		6,377
	7,000	Series 2677, Class LE, 4.500%, 09/15/18		7,656
	409	Series 2682, Class YS, IF, 8.598%, 10/15/33		406
	10,732	Series 2684, Class PO, PO, 01/15/33		10,513
	103	Series 2686, Class NS, IF, IO, 7.351%, 10/15/21		1

SEE NOTES TO FINANCIAL STATEMENTS.

176 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	355	Series 2690, Class SJ, IF, 8.777%, 10/15/33		355
	158	Series 2691, Class WS, IF, 8.627%, 10/15/33		158
	707	Series 2692, Class SC, IF, 12.790%, 07/15/33		829
	149	Series 2694, Class BA, 4.000%, 06/15/31		159
	230	Series 2695, Class OB, PO, 10/15/33		223
	420	Series 2695, Class SX, IF, 15.901%, 10/15/33		465
	210	Series 2695, Class WS, IF, 15.764%, 10/15/33		232
	1,478	Series 2702, Class PC, 5.000%, 01/15/23		1,552
	142	Series 2705, Class SC, IF, 8.627%, 11/15/33		141
	336	Series 2705, Class SD, IF, 8.680%, 11/15/33		332
	2,000	Series 2710, Class HB, 5.500%, 11/15/23		2,251
	2,589	Series 2715, Class OG, 5.000%, 01/15/23		2,742
	3,129	Series 2716, Class UN, 4.500%, 12/15/23		3,430
	1,551	Series 2720, Class PC, 5.000%, 12/15/23		1,680
	548	Series 2725, Class SC, IF, 8.673%, 11/15/33		595
	1,486	Series 2727, Class BS, IF, 8.702%, 01/15/34		1,483
	1,423	Series 2744, Class TU, 5.500%, 05/15/32		1,503
	1,036	Series 2755, Class PA, PO, 02/15/29		1,030
	324	Series 2755, Class SA, IF, 13.703%, 05/15/30		353
	401	Series 2756, Class NA, 5.000%, 02/15/24		439
	685	Series 2764, Class OE, 4.500%, 03/15/19		753
	10	Series 2777, Class DV, 6.500%, 11/15/17		10
	3,500	Series 2780, Class BE, 4.500%, 04/15/19		3,738
	404	Series 2780, Class JG, 4.500%, 04/15/19		412
	1,678	Series 2780, Class YC, 5.000%, 04/15/19		1,834
	1,322	Series 2802, Class ZY, 6.000%, 05/15/34		1,498
	267	Series 2812, Class AB, 4.500%, 10/15/18		273
	1,130	Series 2812, Class NO, PO, 10/15/33		1,078
	2,245	Series 2827, Class QE, 5.500%, 03/15/33		2,350
	516	Series 2835, Class BO, PO, 12/15/28		505
	472	Series 2835, Class QO, PO, 12/15/32		448
	137	Series 2863, Class JA, 4.500%, 09/15/19		141
	1,015	Series 2864, Class GB, 4.000%, 09/15/19		1,078
	253	Series 2877, Class KO, PO, 03/15/19		246
	142	Series 2903, Class UZ, 5.500%, 07/15/31		142
	1,550	Series 2921, Class MD, 5.000%, 06/15/33		1,599
	1,538	Series 2922, Class JN, 4.500%, 02/15/20		1,613
	1,000	Series 2930, Class AN, 4.500%, 06/15/19		1,051
	2,471	Series 2934, Class EC, PO, 02/15/20		2,387
	167	Series 2934, Class EN, PO, 02/15/18		165
	2,570	Series 2934, Class HI, IO, 5.000%, 02/15/20		254
	1,688	Series 2934, Class KI, IO, 5.000%, 02/15/20		167
	642	Series 2945, Class SA, IF, 11.847%, 03/15/20		754
	730	Series 2967, Class JI, IO, 5.000%, 04/15/20		66

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	267	Series 2967, Class S, HB, IF, 32.458%, 04/15/25		440
	139	Series 2971, Class GB, 5.000%, 11/15/16		140
	685	Series 2971, Class GC, 5.000%, 07/15/18		712
	1,250	Series 2979, Class BC, 5.000%, 04/15/20		1,353
	299	Series 2989, Class PO, PO, 06/15/23		293
	472	Series 2990, Class LK, VAR, 0.619%, 10/15/34		472
	465	Series 2990, Class SL, HB, IF, 23.582%, 06/15/34		713
	187	Series 2990, Class WP, IF, 16.387%, 06/15/35		237
	1,665	Series 2994, Class FC, VAR, 0.649%, 02/15/33		1,656
	107	Series 2996, Class FD, VAR, 0.498%, 06/15/35		107
	899	Series 2999, Class NC, 4.500%, 12/15/18		915
	2,961	Series 3013, Class AF, VAR, 0.498%, 05/15/35		2,948
	442	Series 3022, Class SX, IF, 16.254%, 08/15/25		623
	2,653	Series 3035, Class Z, 5.850%, 09/15/35		2,961
	848	Series 3047, Class OB, 5.500%, 12/15/33		892
	1,447	Series 3049, Class XF, VAR, 0.599%, 05/15/33		1,445
	1,108	Series 3054, Class MI, IO, 5.500%, 05/15/34		88
	1,792	Series 3068, Class QB, 4.500%, 06/15/20		1,874
	1,254	Series 3077, Class TO, PO, 04/15/35		1,161
	171	Series 3100, Class MA, VAR, 3.808%, 12/15/35		168
	4,318	Series 3101, Class UZ, 6.000%, 01/15/36		4,959
	797	Series 3117, Class EO, PO, 02/15/36		756
	1,163	Series 3117, Class OG, PO, 02/15/36		1,113
	890	Series 3117, Class OK, PO, 02/15/36		856
	4,000	Series 3117, Class PL, 5.000%, 08/15/34		4,342
	248	Series 3122, Class OH, PO, 03/15/36		238
	88	Series 3122, Class ZB, 6.000%, 03/15/36		102
	1,384	Series 3130, Class KZ, 5.500%, 12/15/34		1,583
	185	Series 3134, Class PO, PO, 03/15/36		176
	4,335	Series 3137, Class XP, 6.000%, 04/15/36		4,888
	786	Series 3138, Class PO, PO, 04/15/36		750
	1,500	Series 3143, Class BC, 5.500%, 02/15/36		1,709
	226	Series 3149, Class SO, PO, 05/15/36		210
	2,000	Series 3151, Class PD, 6.000%, 11/15/34		2,119
	1,197	Series 3151, Class PO, PO, 05/15/36		1,132
	1,083	Series 3152, Class MO, PO, 03/15/36		1,014
	932	Series 3153, Class EO, PO, 05/15/36		887
	4,371	Series 3155, Class CG, 6.000%, 11/15/24		4,496

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 177

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,210	Series 3156, Class AZ, 5.500%, 05/15/36		5,903
	265	Series 3162, Class OB, 6.000%, 11/15/30		267
	8,000	Series 3166, Class AC, 5.000%, 06/15/21 (m)		9,155
	6	Series 3170, Class FM, VAR, 0.599%, 09/15/33		6
	811	Series 3171, Class MO, PO, 06/15/36		769
	717	Series 3174, Class PX, 5.000%, 06/15/17		786
	1,131	Series 3179, Class OA, PO, 07/15/36		1,073
	406	Series 3184, Class OA, PO, 02/15/33		399
	1,411	Series 3194, Class SA, IF, IO, 6.851%, 07/15/36		217
	1,309	Series 3195, Class PD, 6.500%, 07/15/36		1,466
	1,304	Series 3200, Class PO, PO, 08/15/36		1,242
	2,180	Series 3210, Class PO, PO, 05/15/36		2,087
	2,000	Series 3218, Class BE, 6.000%, 09/15/35		2,232
	1,666	Series 3219, Class DI, IO, 6.000%, 04/15/36		244
	1,187	Series 3232, Class ST, IF, IO, 6.451%, 10/15/36		181
	1,459	Series 3237, Class AO, PO, 11/15/36		1,386
	1,393	Series 3253, Class PO, PO, 12/15/21		1,347
	758	Series 3260, Class CS, IF, IO, 5.892%, 01/15/37		106
	956	Series 3262, Class SG, IF, IO, 6.152%, 01/15/37		137
	1,010	Series 3274, Class JO, PO, 02/15/37		931
	756	Series 3274, Class MO, PO, 02/15/37		715
	455	Series 3275, Class FL, VAR, 0.689%, 02/15/37		454
	3,500	Series 3282, Class YD, 5.500%, 02/15/22		4,028
	223	Series 3285, Class PC, 5.500%, 09/15/30		224
	302	Series 3288, Class GS, IF, 1.320%, 03/15/37		308
	2,303	Series 3290, Class SB, IF, IO, 6.202%, 03/15/37		371
	624	Series 3305, Class MB, IF, 2.729%, 07/15/34		652
	779	Series 3316, Class JO, PO, 05/15/37		717
	2,500	Series 3329, Class JD, 6.000%, 06/15/36		2,859
	423	Series 3334, Class MC, 5.000%, 04/15/33		425
	4,400	Series 3342, Class VG, 6.000%, 11/15/23		4,843
	3,718	Series 3344, Class FT, VAR, 0.599%, 07/15/34		3,712
	421	Series 3371, Class FA, VAR, 0.849%, 09/15/37		423
	1,226	Series 3373, Class TO, PO, 04/15/37		1,170
	3,140	Series 3385, Class SN, IF, IO, 5.752%, 11/15/37		399
	1,829	Series 3387, Class SA, IF, IO, 6.172%, 11/15/37		276

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,384	Series 3389, Class DQ, 5.750%, 10/15/35		1,493
	790	Series 3393, Class JO, PO, 09/15/32		727
	2,000	Series 3402, Class NC, 5.000%, 12/15/22		2,232
	2,206	Series 3404, Class SC, IF, IO, 5.752%, 01/15/38		299
	4,816	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		29
	1,140	Series 3422, Class LI, IO, 5.000%, 02/15/23		107
	4,541	Series 3430, Class AI, IO, 1.417%, 09/15/12		22
	2,144	Series 3451, Class SA, IF, IO, 5.802%, 05/15/38		280
	2,242	Series 3461, Class LZ, 6.000%, 06/15/38		2,535
	2,530	Series 3481, Class SJ, IF, IO, 5.601%, 08/15/38		338
	2,302	Series 3505, Class SA, IF, IO, 5.752%, 01/15/39		290
	1,694	Series 3511, Class IO, IO, 5.000%, 12/15/21		151
	1,172	Series 3511, Class SA, IF, IO, 5.752%, 02/15/39		148
	2,660	Series 3515, Class PI, IO, 5.500%, 07/15/37		306
	4,344	Series 3531, Class SA, IF, IO, 6.051%, 05/15/39		528
	2,713	Series 3537, Class MI, IO, 5.000%, 06/15/38		584
	305	Series 3546, Class A, VAR, 5.345%, 02/15/39		325
	2,042	Series 3549, Class FA, VAR, 1.449%, 07/15/39		2,054
	2,118	Series 3564, Class JA, 4.000%, 01/15/18		2,237
	2,988	Series 3572, Class JS, IF, IO, 6.551%, 09/15/39		607
	1,310	Series 3604, Class PO, PO, 05/15/36		1,237
	1,600	Series 3607, Class AO, PO, 04/15/36		1,464
	1,600	Series 3607, Class BO, PO, 04/15/36		1,464
	1,110	Series 3607, Class EO, PO, 02/15/33		1,086
	2,482	Series 3607, Class PO, PO, 05/15/37		2,308
	2,050	Series 3611, Class PO, PO, 07/15/34		1,905
	1,700	Series 3614, Class QB, 4.000%, 12/15/24		1,843
	1,608	Series 3621, Class BO, PO, 01/15/40		1,526
	1,652	Series 3621, Class PO, PO, 01/15/40		1,561
	2,285	Series 3623, Class LO, PO, 01/15/40		2,165
	1,343	Series 3632, Class BS, IF, 16.672%, 02/15/40		2,180
	3,567	Series 3653, Class HJ, 5.000%, 04/15/40		3,941
	2,695	Series 3666, Class VA, 5.500%, 12/15/22		2,988
	7,219	Series 3680, Class MA, 4.500%, 07/15/39		7,828
	1,903	Series 3688, Class CU, VAR, 6.801%, 11/15/21		2,192
	4,188	Series 3688, Class GT, VAR, 7.158%, 11/15/46		4,948

SEE NOTES TO FINANCIAL STATEMENTS.

178 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	7,582	Series 3688, Class NI, IO, 5.000%, 04/15/32		900
	10,364	Series 3704, Class CT, 7.000%, 12/15/36		12,164
	6,804	Series 3704, Class DT, 7.500%, 11/15/36		7,961
	5,464	Series 3704, Class ET, 7.500%, 12/15/36		6,281
	8,140	Series 3714, Class IP, IO, 5.000%, 08/15/40		1,317
	6,550	Series 3739, Class LI, IO, 4.000%, 03/15/34		499
	4,775	Series 3740, Class SC, IF, IO, 5.752%, 10/15/40		946
	2,373	Series 3747, Class CY, 4.500%, 10/15/40		2,576
	1,500	Series 3747, Class PY, 4.000%, 10/15/40		1,591
	7,191	Series 3759, Class HI, IO, 4.000%, 08/15/37		809
	5,509	Series 3760, Class GI, IO, 4.000%, 10/15/37		538
	1,500	Series 3770, Class PY, 5.000%, 12/15/40		1,773
	4,568	Series 3795, Class EI, IO, 5.000%, 10/15/39		688
	6,680	Series 3804, Class FN, VAR, 0.698%, 03/15/39		6,685
	10,089	Series 3819, Class ZQ, 6.000%, 04/15/36		11,750
	968	Series 3852, Class TP, IF, 5.500%, 05/15/41		1,123
	2,076	Series 3860, Class PZ, 5.000%, 05/15/41		2,412
	2,466	Series 3895, Class WA, VAR, 5.702%, 10/15/38		2,752
	5,000	Series 3920, Class LP, 5.000%, 01/15/34		5,608
	5,876	Series 3925, Class FL, VAR, 0.698%, 01/15/41		5,865
	6,929	Series 3966, Class NA, 4.000%, 12/15/41		7,372
	2,000	Series R004, Class VG, 6.000%, 08/15/21		2,104
	7,089	Series R006, Class ZA, 6.000%, 04/15/36		8,256
	6,066	Series R007, Class ZA, 6.000%, 05/15/36		7,117
	363	Series R012, Class AI, IO, 5.500%, 12/15/20		9
		Federal Home Loan Mortgage Corp. STRIPS,
	3	Series 1, Class B, IO, 8.000%, 10/15/18		—	(h)
	1	Series 16, Class B, IO, 10.000%, 06/01/20		—	(h)
	13	Series 134, Class B, IO, 9.000%, 04/01/22		3
	2,275	Series 191, Class IO, IO, 8.000%, 01/01/28		531
	1,594	Series 197, Class PO, PO, 04/01/28		1,471
	2,600	Series 233, Class 11, IO, 5.000%, 09/15/35		321
	1,444	Series 233, Class 12, IO, 5.000%, 09/15/35		179
	3,510	Series 233, Class 13, IO, 5.000%, 09/15/35		432
	7,742	Series 239, Class S30, IF, IO, 7.451%, 08/15/36		1,164
	1,186	Series 243, Class 16, IO, 4.500%, 11/15/20		105
	1,945	Series 243, Class 17, IO, 4.500%, 12/15/20		176
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	443	Series T-41, Class 3A, VAR, 6.987%, 07/25/32 (m)		509

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Agency CMO — Continued
	1,614		Series T-42, Class A5, 7.500%, 02/25/42		1,943
	96		Series T-51, Class 1A, VAR, 6.500%, 09/25/43		109
	116		Series T-51, Class 2A, VAR, 7.500%, 08/25/42		136
	2,590		Series T-54, Class 2A, 6.500%, 02/25/43		2,891
	1,288		Series T-54, Class 3A, 7.000%, 02/25/43		1,505
	2,379		Series T-56, Class A5, 5.231%, 05/25/43		2,591
	239		Series T-58, Class APO, PO, 09/25/43		199
	235		Series T-59, Class 1AP, PO, 10/25/43		167
	6,472		Series T-76, Class 2A, VAR, 4.749%, 10/25/37		6,630
			Federal National Mortgage Association - ACES,
	4,000		Series 2010-M1, Class A2, 4.450%, 09/25/19		4,443
	5,000		Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		5,531
	1,700		Series 2011-M1, Class A3, 3.763%, 06/25/21		1,823
	9,480		Series 2011-M2, Class A3, 3.764%, 07/25/21		10,301
	5,000		Series 2011-M4, Class A2, 3.726%, 06/25/21		5,416
			Federal National Mortgage Association Grantor Trust,
	42		Series 2001-T10, Class PO, PO, 12/25/41		40
	964		Series 2001-T12, Class A2, 7.500%, 08/25/41		1,123
	1,130		Series 2001-T7, Class A1, 7.500%, 02/25/41		1,286
	458		Series 2002-T4, Class A2, 7.000%, 12/25/41		519
	1,247		Series 2002-T4, Class A3, 7.500%, 12/25/41		1,438
	365		Series 2002-T16, Class A2, 7.000%, 07/25/42		427
	655		Series 2002-T19, Class A2, 7.000%, 07/25/42		738
	998		Series 2004-T1, Class 1A1, 6.000%, 01/25/44		1,113
	785		Series 2004-T3, Class PT1, VAR, 8.102%, 01/25/44		915
			Federal National Mortgage Association REMICS,
	61		Series 1988-7, Class Z, 9.250%, 04/25/18		68
	4		Series 1988-11, Class D, PO, 05/25/18		4
	339		Series 1988-21, Class G, 9.500%, 08/25/18		396
	3		Series 1988-29, Class B, 9.500%, 12/25/18		4
	—	(h)	Series 1989-19, Class A, 10.300%, 04/25/19		—	(h)
	4		Series 1989-21, Class G, 10.450%, 04/25/19		5
	16		Series 1989-27, Class Y, 6.900%, 06/25/19		18
	14		Series 1989-70, Class G, 8.000%, 10/25/19		16
	6		Series 1989-78, Class H, 9.400%, 11/25/19		7
	6		Series 1989-89, Class H, 9.000%, 11/25/19		7
	5		Series 1990-60, Class K, 5.500%, 06/25/20		5
	4		Series 1990-93, Class G, 5.500%, 08/25/20		5
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		5
	38		Series 1990-102, Class J, 6.500%, 08/25/20		41
	5		Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20		8

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 179

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		7
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		1
	260		Series 1991-44, Class G, 8.500%, 05/25/21		296
	—	(h)	Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21		2
	7		Series 1992-101, Class J, 7.500%, 06/25/22		7
	230		Series 1992-188, Class PZ, 7.500%, 10/25/22		266
	262		Series 1993-25, Class J, 7.500%, 03/25/23		305
	115		Series 1993-27, Class S, IF, 9.376%, 02/25/23		135
	55		Series 1993-31, Class K, 7.500%, 03/25/23		64
	492		Series 1993-54, Class Z, 7.000%, 04/25/23		566
	26		Series 1993-62, Class SA, IF, 17.684%, 04/25/23		39
	26		Series 1993-97, Class FA, VAR, 1.500%, 05/25/23		26
	6		Series 1993-108, Class D, PO, 02/25/23		5
	62		Series 1993-162, Class F, VAR, 1.200%, 08/25/23		63
	10		Series 1993-165, Class SD, IF, 12.266%, 09/25/23		13
	10		Series 1993-167, Class GA, 7.000%, 09/25/23		10
	96		Series 1993-179, Class SB, HB, IF, 24.408%, 10/25/23		161
	72		Series 1993-220, Class SG, IF, 15.500%, 11/25/13		80
	20		Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13		23
	20		Series 1993-228, Class G, PO, 09/25/23		19
	16		Series 1993-230, Class FA, VAR, 0.850%, 12/25/23		16
	268		Series 1993-250, Class Z, 7.000%, 12/25/23		284
	53		Series 1993-257, Class C, PO, 06/25/23		53
	1,309		Series 1994-26, Class J, PO, 01/25/24		1,246
	150		Series 1994-37, Class L, 6.500%, 03/25/24		172
	38		Series 1995-2, Class Z, 8.500%, 01/25/25		45
	313		Series 1996-14, Class SE, IF, IO, 8.740%, 08/25/23		68
	15		Series 1996-59, Class J, 6.500%, 08/25/22		17
	106		Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		5
	28		Series 1997-24, Class Z, 8.000%, 04/18/27		33
	29		Series 1997-27, Class J, 7.500%, 04/18/27		33
	521		Series 1997-46, Class Z, 7.500%, 06/17/27		607

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	25	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		4
	1,358	Series 1998-30, Class ZA, 6.500%, 05/20/28		1,574
	47	Series 1998-36, Class J, 6.000%, 07/18/28		50
	448	Series 1998-36, Class ZB, 6.000%, 07/18/28		491
	196	Series 1998-43, Class SA, IF, IO, 19.010%, 04/25/23		92
	163	Series 1999-57, Class Z, 7.500%, 12/25/19		182
	165	Series 1999-62, Class PB, 7.500%, 12/18/29		195
	587	Series 2000-18, Class EC, PO, 10/25/23		549
	25	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		6
	1,243	Series 2001-4, Class ZA, 6.500%, 03/25/31		1,415
	48	Series 2001-5, Class OW, 6.000%, 03/25/16		49
	144	Series 2001-7, Class PF, 7.000%, 03/25/31		170
	231	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		51
	257	Series 2001-36, Class DE, 7.000%, 08/25/31		304
	766	Series 2001-38, Class FB, VAR, 0.744%, 08/25/31		772
	158	Series 2001-44, Class PD, 7.000%, 09/25/31		187
	255	Series 2001-44, Class PU, 7.000%, 09/25/31		302
	423	Series 2001-49, Class LZ, 8.500%, 07/25/31		507
	135	Series 2001-52, Class XN, 6.500%, 11/25/15		144
	934	Series 2001-53, Class FX, VAR, 0.594%, 10/25/31		936
	726	Series 2001-61, Class Z, 7.000%, 11/25/31		858
	280	Series 2001-71, Class QE, 6.000%, 12/25/16		299
	156	Series 2001-72, Class SX, IF, 16.898%, 12/25/31		232
	145	Series 2001-74, Class MB, 6.000%, 12/25/16		155
	171	Series 2002-1, Class HC, 6.500%, 02/25/22		182
	93	Series 2002-1, Class SA, HB, IF, 24.395%, 02/25/32		163
	150	Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23		245
	284	Series 2002-3, Class PG, 5.500%, 02/25/17		299
	589	Series 2002-7, Class FD, VAR, 0.944%, 04/25/29		595
	113	Series 2002-9, Class ST, IF, 18.734%, 03/25/17		145
	843	Series 2002-11, Class QG, 5.500%, 03/25/17		898
	865	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		38
	54	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		65
	866	Series 2002-18, Class PC, 5.500%, 04/25/17		895

SEE NOTES TO FINANCIAL STATEMENTS.

180 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	277	Series 2002-19, Class PE, 6.000%, 04/25/17		295
	1,687	Series 2002-30, Class Z, 6.000%, 05/25/32		1,894
	101	Series 2002-37, Class Z, 6.500%, 06/25/32		111
	2,060	Series 2002-42, Class C, 6.000%, 07/25/17		2,214
	3,433	Series 2002-50, Class ZA, 6.000%, 05/25/31		3,852
	585	Series 2002-55, Class QE, 5.500%, 09/25/17		628
	1,808	Series 2002-56, Class UC, 5.500%, 09/25/17 (m)		1,944
	799	Series 2002-62, Class ZE, 5.500%, 11/25/17		861
	342	Series 2002-63, Class KC, 5.000%, 10/25/17		364
	382	Series 2002-63, Class LB, 5.500%, 10/25/17		411
	1,221	Series 2002-71, Class KM, 5.000%, 11/25/17		1,302
	307	Series 2002-77, Class S, IF, 14.036%, 12/25/32		380
	786	Series 2002-81, Class JO, PO, 04/25/32		780
	12	Series 2002-91, Class UH, IO, 5.500%, 06/25/22		—	(h)
	693	Series 2002-95, Class XD, 5.000%, 01/25/18		754
	582	Series 2003-7, Class A1, 6.500%, 12/25/42		682
	2,153	Series 2003-14, Class TI, IO, 5.000%, 03/25/33		364
	1,036	Series 2003-22, Class UD, 4.000%, 04/25/33		1,127
	287	Series 2003-23, Class CS, IF, IO, 7.856%, 05/25/31		8
	1,683	Series 2003-26, Class XS, IF, IO, 6.806%, 03/25/23		216
	344	Series 2003-27, Class DW, 4.500%, 04/25/17		348
	3,223	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		652
	163	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		29
	2,408	Series 2003-41, Class PE, 5.500%, 05/25/23		2,694
	3,162	Series 2003-44, Class IU, IO, 7.000%, 06/25/33		688
	393	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		19
	109	Series 2003-52, Class SX, HB, IF, 22.218%, 10/25/31		179
	680	Series 2003-55, Class CD, 5.000%, 06/25/23		737
	2	Series 2003-67, Class VQ, 7.000%, 01/25/19		2
	243	Series 2003-68, Class QP, 3.000%, 07/25/22		246
	1,920	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		151
	1,677	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		246
	123	Series 2003-73, Class GA, 3.500%, 05/25/31		124

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	253	Series 2003-73, Class HF, VAR, 0.694%, 01/25/31		253
	50	Series 2003-73, Class PB, 4.500%, 08/25/18		50
	105	Series 2003-74, Class SH, IF, 9.731%, 08/25/33		116
	1,223	Series 2003-76, Class SH, IF, 13.712%, 09/25/31		1,401
	29	Series 2003-79, Class NM, 4.000%, 05/25/22		29
	1,519	Series 2003-80, Class SY, IF, IO, 7.406%, 06/25/23		187
	1,036	Series 2003-81, Class LC, 4.500%, 09/25/18		1,112
	2,335	Series 2003-83, Class PG, 5.000%, 06/25/23		2,494
	128	Series 2003-86, Class PX, 4.500%, 02/25/17		129
	1,355	Series 2003-86, Class ZA, 5.500%, 09/25/33		1,513
	1,000	Series 2003-88, Class TH, 4.500%, 09/25/18		1,076
	274	Series 2003-91, Class SD, IF, 12.093%, 09/25/33		310
	12	Series 2003-92, Class SH, IF, 9.201%, 09/25/18		12
	3,968	Series 2003-105, Class AZ, 5.500%, 10/25/33		4,543
	156	Series 2003-106, Class PO, PO, 08/25/17		151
	3,985	Series 2003-106, Class WE, 4.500%, 11/25/22		4,186
	1,475	Series 2003-116, Class SB, IF, IO, 7.356%, 11/25/33		282
	1,799	Series 2003-117, Class JB, 3.500%, 06/25/33		1,883
	3,000	Series 2003-120, Class BL, 3.500%, 12/25/18		3,172
	777	Series 2003-122, Class TE, 5.000%, 12/25/22		823
	234	Series 2003-128, Class KE, 4.500%, 01/25/14		240
	421	Series 2003-130, Class SX, IF, 11.154%, 01/25/34		472
	288	Series 2003-131, Class SK, IF, 15.712%, 01/25/34		368
	274	Series 2003-132, Class OA, PO, 08/25/33		258
	799	Series 2003-132, Class PI, IO, 5.500%, 08/25/33		109
	1,269	Series 2004-4, Class QI, IF, IO, 6.856%, 06/25/33		196
	317	Series 2004-4, Class QM, IF, 13.712%, 06/25/33		390
	723	Series 2004-10, Class SC, HB, IF, 27.624%, 02/25/34		1,044
	215	Series 2004-14, Class SD, IF, 8.709%, 03/25/34		215
	887	Series 2004-17, Class H, 5.500%, 04/25/34		1,004
	587	Series 2004-21, Class CO, PO, 04/25/34		570
	275	Series 2004-22, Class A, 4.000%, 04/25/19		277

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 181

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	440	Series 2004-25, Class PB, 5.500%, 05/25/32		448
	777	Series 2004-25, Class PC, 5.500%, 01/25/34		879
	872	Series 2004-25, Class SA, IF, 18.854%, 04/25/34		1,241
	1,370	Series 2004-27, Class HB, 4.000%, 05/25/19		1,470
	3,068	Series 2004-28, Class PF, VAR, 0.644%, 03/25/34		3,069
	364	Series 2004-36, Class PB, 5.500%, 05/25/32		372
	775	Series 2004-36, Class SA, IF, 18.854%, 05/25/34		1,095
	257	Series 2004-36, Class SN, IF, 13.712%, 07/25/33		298
	1,228	Series 2004-46, Class EP, PO, 03/25/34		1,174
	905	Series 2004-46, Class HS, IF, IO, 5.756%, 05/25/30		27
	415	Series 2004-46, Class QB, HB, IF, 23.024%, 05/25/34		612
	332	Series 2004-46, Class SK, IF, 15.829%, 05/25/34		428
	4,569	Series 2004-50, Class VZ, 5.500%, 07/25/34		5,317
	161	Series 2004-51, Class SY, IF, 13.752%, 07/25/34		201
	1,196	Series 2004-53, Class NC, 5.500%, 07/25/24		1,279
	650	Series 2004-59, Class BG, PO, 12/25/32		619
	98	Series 2004-61, Class CO, PO, 10/25/31		98
	246	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		280
	55	Series 2004-92, Class JO, PO, 12/25/34		54
	2,355	Series 2005-7, Class LO, PO, 02/25/35		2,160
	507	Series 2005-13, Class FL, VAR, 0.644%, 03/25/35		506
	191	Series 2005-14, Class BA, 4.500%, 04/25/19		195
	390	Series 2005-15, Class MO, PO, 03/25/35		370
	314	Series 2005-45, Class BG, 4.500%, 06/25/25		317
	4,945	Series 2005-47, Class AK, 5.000%, 06/25/20		5,358
	300	Series 2005-52, Class PA, 6.500%, 06/25/35		327
	1,908	Series 2005-56, Class S, IF, IO, 6.466%, 07/25/35		306
	2,019	Series 2005-57, Class EG, VAR, 0.544%, 03/25/35		2,016
	347	Series 2005-58, Class PO, PO, 07/25/35		337
	478	Series 2005-66, Class SG, IF, 16.765%, 07/25/35		671
	3,267	Series 2005-66, Class SV, IF, IO, 6.506%, 07/25/35		447
	1,250	Series 2005-67, Class HG, 5.500%, 01/25/35		1,398
	1,027	Series 2005-68, Class BC, 5.250%, 06/25/35		1,135

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,882	Series 2005-68, Class PG, 5.500%, 08/25/35		2,140
	206	Series 2005-70, Class KI, IO, 5.500%, 08/25/35		8
	420	Series 2005-73, Class PS, IF, 16.090%, 08/25/35		588
	1,614	Series 2005-74, Class SK, IF, 19.459%, 05/25/35		2,297
	1,501	Series 2005-84, Class XM, 5.750%, 10/25/35		1,700
	2,000	Series 2005-87, Class NH, 5.000%, 10/25/25		2,225
	657	Series 2005-90, Class AO, PO, 10/25/35		618
	1,848	Series 2005-90, Class ES, IF, 16.265%, 10/25/35		2,616
	1,316	Series 2005-90, Class PO, PO, 09/25/35		1,256
	1,500	Series 2005-100, Class BQ, 5.500%, 11/25/25		1,669
	689	Series 2005-103, Class SC, IF, 10.819%, 07/25/35		749
	1,279	Series 2005-106, Class US, HB, IF, 23.672%, 11/25/35		2,072
	758	Series 2005-109, Class PB, 6.000%, 01/25/34		782
	1,735	Series 2005-110, Class GJ, 5.500%, 11/25/30		1,791
	2,739	Series 2005-110, Class GK, 5.500%, 08/25/34		3,033
	934	Series 2005-110, Class MJ, 5.500%, 01/25/33		967
	2,397	Series 2005-110, Class MN, 5.500%, 06/25/35		2,743
	902	Series 2005-116, Class PB, 6.000%, 04/25/34		970
	5,994	Series 2005-118, Class PN, 6.000%, 01/25/32		6,230
	1,010	Series 2005-123, Class FG, VAR, 0.694%, 07/25/34		1,009
	526	Series 2006-15, Class OT, PO, 01/25/36		509
	920	Series 2006-16, Class FC, VAR, 0.544%, 03/25/36		918
	2,085	Series 2006-16, Class HZ, 5.500%, 03/25/36		2,354
	625	Series 2006-23, Class KO, PO, 04/25/36		598
	1,807	Series 2006-27, Class OH, PO, 04/25/36		1,697
	1,151	Series 2006-33, Class ZB, 6.000%, 05/25/36		1,290
	2,500	Series 2006-35, Class GD, 6.000%, 12/25/34		2,735
	2,054	Series 2006-39, Class WC, 5.500%, 01/25/36		2,329
	624	Series 2006-42, Class CF, VAR, 0.694%, 06/25/36		624
	2,912	Series 2006-43, Class VB, 6.500%, 10/25/17		2,985
	728	Series 2006-44, Class FP, VAR, 0.644%, 06/25/36		728
	1,502	Series 2006-44, Class GO, PO, 06/25/36		1,410
	4,161	Series 2006-44, Class P, PO, 12/25/33		3,967

SEE NOTES TO FINANCIAL STATEMENTS.

182 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,712	Series 2006-46, Class UC, 5.500%, 12/25/35		1,939
	891	Series 2006-50, Class JO, PO, 06/25/36		850
	1,438	Series 2006-50, Class PS, PO, 06/25/36		1,370
	2,633	Series 2006-53, Class US, IF, IO, 6.336%, 06/25/36		352
	1,524	Series 2006-56, Class FC, VAR, 0.534%, 07/25/36		1,520
	1,829	Series 2006-56, Class FT, VAR, 0.994%, 07/25/36		1,794
	636	Series 2006-58, Class AP, PO, 07/25/36		584
	728	Series 2006-58, Class FL, VAR, 0.704%, 07/25/36		729
	1,542	Series 2006-58, Class PO, PO, 07/25/36		1,452
	27	Series 2006-59, Class CO, PO, 08/25/35		27
	2,037	Series 2006-59, Class QO, PO, 01/25/33		1,977
	841	Series 2006-60, Class DO, PO, 04/25/35		790
	1,444	Series 2006-63, Class ZH, 6.500%, 07/25/36		1,701
	622	Series 2006-65, Class QO, PO, 07/25/36		584
	1,074	Series 2006-72, Class GO, PO, 08/25/36		1,015
	653	Series 2006-72, Class HO, PO, 08/25/26		613
	1,017	Series 2006-72, Class TO, PO, 08/25/36		965
	6,259	Series 2006-77, Class PC, 6.500%, 08/25/36		7,117
	1,908	Series 2006-78, Class BZ, 6.500%, 08/25/36		2,236
	1,010	Series 2006-79, Class DO, PO, 08/25/36		958
	968	Series 2006-86, Class OB, PO, 09/25/36		915
	904	Series 2006-90, Class AO, PO, 09/25/36		880
	5,798	Series 2006-94, Class GI, IF, IO, 6.406%, 10/25/26		954
	243	Series 2006-94, Class GK, HB, IF, 32.030%, 10/25/26		434
	1,000	Series 2006-102, Class MD, 6.000%, 01/25/35		1,088
	2,059	Series 2006-105, Class ME, 5.500%, 11/25/36		2,421
	1,017	Series 2006-110, Class PO, PO, 11/25/36		965
	436	Series 2006-111, Class EO, PO, 11/25/36		414
	1,170	Series 2006-113, Class PO, PO, 07/25/36		1,119
	1,207	Series 2006-115, Class OK, PO, 12/25/36		1,148
	2,406	Series 2006-117, Class GS, IF, IO, 6.406%, 12/25/36		423
	659	Series 2006-118, Class A2, VAR, 0.304%, 12/25/36		627
	871	Series 2006-119, Class PO, PO, 12/25/36		835
	1,841	Series 2006-120, Class IO, IO, 6.500%, 12/25/36		354
	1,970	Series 2006-120, Class PF, VAR, 0.494%, 12/25/36		1,964

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,821	Series 2006-126, Class AO, PO, 01/25/37		1,676
	2,173	Series 2006-130, Class GI, IO, 6.500%, 07/25/32		326
	290	Series 2007-1, Class SD, HB, IF, 37.536%, 02/25/37		469
	1,541	Series 2007-7, Class SG, IF, IO, 6.256%, 08/25/36		235
	5,447	Series 2007-14, Class ES, IF, IO, 6.196%, 03/25/37		782
	1,092	Series 2007-14, Class OP, PO, 03/25/37		1,028
	414	Series 2007-15, Class NO, PO, 03/25/22		395
	1,660	Series 2007-16, Class FC, VAR, 0.994%, 03/25/37		1,655
	2,706	Series 2007-16, Class FM, VAR, 0.474%, 03/25/37		2,692
	3,283	Series 2007-18, Class BD, 5.750%, 05/25/36		3,755
	1,737	Series 2007-18, Class MZ, 6.000%, 03/25/37		2,074
	1,625	Series 2007-22, Class SC, IF, IO, 5.836%, 03/25/37		240
	1,500	Series 2007-24, Class GW, 5.500%, 03/25/29		1,627
	251	Series 2007-39, Class EF, VAR, 0.494%, 05/25/37		250
	531	Series 2007-43, Class FL, VAR, 0.544%, 05/25/37		529
	815	Series 2007-47, Class PC, 5.000%, 07/25/33		827
	1,921	Series 2007-54, Class FA, VAR, 0.644%, 06/25/37		1,920
	4,064	Series 2007-54, Class WI, IF, IO, 5.856%, 06/25/37		573
	2,258	Series 2007-60, Class AX, IF, IO, 6.906%, 07/25/37		402
	2,500	Series 2007-61, Class PC, 5.500%, 07/25/34		2,686
	4,000	Series 2007-63, Class PC, 5.500%, 07/25/36		4,396
	1,732	Series 2007-64, Class FB, VAR, 0.614%, 07/25/37		1,732
	5,094	Series 2007-65, Class KI, IF, IO, 6.376%, 07/25/37		757
	10,704	Series 2007-72, Class EK, IF, IO, 6.156%, 07/25/37		1,626
	1,627	Series 2007-75, Class EO, PO, 01/25/36		1,595
	2,631	Series 2007-76, Class ZG, 6.000%, 08/25/37		3,082
	2,248	Series 2007-77, Class FG, VAR, 0.744%, 03/25/37		2,252
	1,500	Series 2007-78, Class CB, 6.000%, 08/25/37		1,731
	148	Series 2007-79, Class PB, 5.000%, 04/25/29		148
	281	Series 2007-79, Class SB, HB, IF, 23.122%, 08/25/37		427

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 183

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	807	Series 2007-88, Class VI, IF, IO, 6.296%, 09/25/37		138
	2,486	Series 2007-91, Class ES, IF, IO, 6.216%, 10/25/37		391
	15	Series 2007-97, Class MS, IF, 14.219%, 12/25/31		15
	637	Series 2007-98, Class VA, 6.000%, 11/25/17		668
	4,654	Series 2007-100, Class SM, IF, IO, 6.206%, 10/25/37		679
	4,770	Series 2007-101, Class A2, VAR, 0.494%, 06/27/36		4,761
	646	Series 2007-106, Class A7, VAR, 5.955%, 10/25/37		719
	7,000	Series 2007-112, Class GB, 5.500%, 12/25/22		8,064
	5,930	Series 2007-112, Class SA, IF, IO, 6.206%, 12/25/37		975
	8,000	Series 2007-114, Class A6, VAR, 0.444%, 10/27/37		7,953
	4,798	Series 2007-116, Class HI, IO, VAR, 6.078%, 01/25/38		335
	207	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		25
	4,012	Series 2008-1, Class BI, IF, IO, 5.666%, 02/25/38		550
	1,436	Series 2008-10, Class XI, IF, IO, 5.986%, 03/25/38		209
	1,068	Series 2008-12, Class IV, IO, 6.500%, 04/25/31		82
	3,481	Series 2008-16, Class IS, IF, IO, 5.956%, 03/25/38		481
	1,929	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		166
	2,655	Series 2008-20, Class SA, IF, IO, 6.746%, 03/25/38		398
	2,544	Series 2008-24, Class PF, VAR, 0.894%, 02/25/38		2,562
	975	Series 2008-27, Class SN, IF, IO, 6.656%, 04/25/38		165
	1,425	Series 2008-32, Class SA, IF, IO, 6.606%, 04/25/38		217
	3,795	Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16		52
	2,884	Series 2008-36, Class IA, IO, 4.500%, 10/25/22		179
	410	Series 2008-44, Class PO, PO, 05/25/38		389
	2,522	Series 2008-47, Class SI, IF, IO, 6.256%, 06/25/23		315
	6,000	Series 2008-51, Class BC, 4.500%, 06/25/23		6,469

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,444	Series 2008-53, Class CI, IF, IO, 6.956%, 07/25/38		224
	218	Series 2008-59, Class IG, IO, 5.500%, 11/25/34		7
	2,000	Series 2008-70, Class BY, 4.000%, 08/25/23		2,173
	1,793	Series 2008-76, Class GF, VAR, 0.894%, 09/25/23		1,812
	3,526	Series 2008-77, Class DG, 5.000%, 09/25/23		3,905
	644	Series 2008-80, Class GP, 6.250%, 09/25/38		721
	2,698	Series 2008-80, Class SA, IF, IO, 5.606%, 09/25/38		370
	1,198	Series 2008-81, Class SB, IF, IO, 5.606%, 09/25/38		171
	2,000	Series 2008-95, Class BA, 5.000%, 01/25/24		2,304
	621	Series 2009-4, Class BD, 4.500%, 02/25/39		667
	1,211	Series 2009-6, Class GS, IF, IO, 6.306%, 02/25/39		193
	2,667	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		271
	2,129	Series 2009-12, Class IO, IO, 4.500%, 03/25/24		174
	700	Series 2009-12, Class NI, IO, 5.500%, 08/25/22		28
	1,323	Series 2009-14, Class YI, IO, 5.000%, 07/25/22		55
	4,310	Series 2009-17, Class QS, IF, IO, 6.406%, 03/25/39		590
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		762
	860	Series 2009-47, Class MT, 7.000%, 07/25/39		984
	3,508	Series 2009-52, Class PI, IO, 5.000%, 07/25/39		494
	10,126	Series 2009-60, Class HT, 6.000%, 08/25/39		11,341
	2,304	Series 2009-62, Class HJ, 6.000%, 05/25/39		2,535
	487	Series 2009-63, Class P, 5.000%, 03/25/37		547
	877	Series 2009-69, Class PO, PO, 09/25/39		832
	645	Series 2009-79, Class UA, 7.000%, 03/25/38		740
	3,486	Series 2009-84, Class WS, IF, IO, 5.656%, 10/25/39		445
	3,358	Series 2009-86, Class IP, IO, 5.500%, 10/25/39		481
	3,377	Series 2009-86, Class OT, PO, 10/25/37		3,152
	6,594	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		381
	1,814	Series 2009-92, Class AD, 6.000%, 11/25/39		2,038
	2,031	Series 2009-99, Class SC, IF, IO, 5.936%, 12/25/39		306
	1,514	Series 2009-99, Class WA, VAR, 6.309%, 12/25/39		1,737

SEE NOTES TO FINANCIAL STATEMENTS.

184 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	5,833	Series 2009-103, Class MB, VAR, 4.000%, 12/25/39		6,216
	3,952	Series 2009-112, Class ST, IF, IO, 6.006%, 01/25/40		495
	8,117	Series 2009-113, Class LB, VAR, 6.325%, 01/25/40		9,213
	5,021	Series 2010-1, Class WA, VAR, 6.153%, 02/25/40 (m)		5,764
	4,477	Series 2010-9, Class MB, 5.000%, 05/25/32		4,815
	2,919	Series 2010-16, Class WA, VAR, 6.437%, 03/25/40		3,369
	5,685	Series 2010-16, Class WB, VAR, 6.214%, 03/25/40		6,555
	3,288	Series 2010-23, Class KS, IF, IO, 6.856%, 02/25/40		465
	4,177	Series 2010-35, Class SB, IF, IO, 6.176%, 04/25/40		585
	1,196	Series 2010-39, Class OT, PO, 10/25/35		1,136
	2,426	Series 2010-40, Class FJ, VAR, 0.844%, 04/25/40		2,435
	2,344	Series 2010-42, Class S, IF, IO, 6.156%, 05/25/40		317
	2,000	Series 2010-45, Class BD, 4.500%, 11/25/38		2,172
	2,170	Series 2010-47, Class AV, 5.000%, 05/25/21		2,405
	2,447	Series 2010-49, Class SC, IF, 12.172%, 03/25/40		2,986
	1,550	Series 2010-61, Class WA, VAR, 5.950%, 06/25/40		1,736
	9,689	Series 2010-64, Class DM, 5.000%, 06/25/40 (m)		10,559
	7,364	Series 2010-68, Class SA, IF, IO, 4.756%, 07/25/40		961
	2,035	Series 2010-71, Class HJ, 5.500%, 07/25/40		2,256
	354	Series 2010-102, Class HZ, 4.000%, 09/25/50		354
	10,538	Series 2010-103, Class SB, IF, IO, 5.856%, 11/25/49		1,455
	12,243	Series 2010-111, Class AE, 5.500%, 04/25/38		12,989
	2,000	Series 2010-111, Class AM, 5.500%, 10/25/40		2,347
	7,644	Series 2010-111, Class WA, VAR, 6.030%, 10/25/40		8,677
	7,281	Series 2010-125, Class SA, IF, IO, 4.196%, 11/25/40		850
	2,721	Series 2010-130, Class CY, 4.500%, 11/25/40		2,921
	5,222	Series 2010-133, Class A, 5.500%, 05/25/38		5,562
	3,647	Series 2010-148, Class MA, 4.000%, 02/25/39		3,869

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Agency CMO — Continued
	2,662		Series 2011-2, Class WA, VAR, 5.739%, 02/25/51		2,888
	1,896		Series 2011-18, Class VN, 4.000%, 10/25/25		2,051
	1,674		Series 2011-20, Class MW, 5.000%, 03/25/41		1,981
	10,015		Series 2011-21, Class CV, 4.500%, 09/25/26		11,248
	9,741		Series 2011-30, Class LS, IO, VAR, 4.627%, 04/25/41		713
	9,224		Series 2011-39, Class ZA, 6.000%, 11/25/32		10,303
	2,517		Series 2011-43, Class WA, VAR, 5.887%, 05/25/51		2,800
	3,126		Series 2011-47, Class ZA, 5.500%, 07/25/38		3,606
	3,789		Series 2011-56, Class VA, 5.000%, 09/25/40		4,283
	8,580		Series 2011-58, Class WA, VAR, 5.419%, 07/25/51		9,439
	1,218		Series 2011-75, Class FA, VAR, 0.794%, 08/25/41		1,220
	5,009		Series 2011-118, Class LB, 7.000%, 11/25/41		5,990
	10,256		Series 2011-118, Class MT, 7.000%, 11/25/41		12,395
	11,078		Series 2011-118, Class NT, 7.000%, 11/25/41		12,985
	9,146		Series 2011-124, Class JF, VAR, 0.644%, 02/25/41		9,137
	2,640		Series 2011-149, Class EF, VAR, 0.744%, 07/25/41		2,634
	3,947		Series 2011-149, Class MF, VAR, 0.744%, 11/25/41		3,939
	10,000		Series 2012-21, Class WA, VAR, 5.617%, 03/25/52		11,132
	96		Series G92-7, Class JQ, 8.500%, 01/25/22		110
	18		Series G92-12, Class B, 7.700%, 02/25/22		20
	27		Series G92-14, Class Z, 7.000%, 02/25/22		30
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22		14
	20		Series G92-42, Class Z, 7.000%, 07/25/22		23
	538		Series G92-44, Class ZQ, 8.000%, 07/25/22		610
	107		Series G92-54, Class ZQ, 7.500%, 09/25/22		121
	187		Series G92-61, Class Z, 7.000%, 10/25/22		222
	20		Series G92-62, Class B, PO, 10/25/22		18
	125		Series G93-1, Class KA, 7.900%, 01/25/23		144
	85		Series G93-17, Class SI, IF, 6.000%, 04/25/23		99
	663		Series G94-7, Class PJ, 7.500%, 05/17/24		785
	118		Series G97-2, Class ZA, 8.500%, 02/17/27		137
			Federal National Mortgage Association STRIPS,
	8		Series 23, Class 2, IO, 10.000%, 09/01/17		1
	6		Series 59, Class 2, IO, 9.500%, 07/01/17		1
	441		Series 213, Class 2, IO, 8.000%, 03/01/23		97
	15		Series 265, Class 2, 9.000%, 03/01/24		17

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 185

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	32	Series 285, Class 1, PO, 02/01/27		28
	936	Series 293, Class 1, PO, 12/01/24		882
	847	Series 300, Class 1, PO, 09/01/24		798
	782	Series 331, Class 13, IO, 7.000%, 11/01/32		156
	1,772	Series 339, Class 18, IO, 4.500%, 07/01/18		129
	1,765	Series 339, Class 21, IO, 4.500%, 07/01/18		136
	1,561	Series 339, Class 28, IO, 5.500%, 07/01/18		149
	726	Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		90
	3,172	Series 345, Class 24, IO, VAR, 5.000%, 08/01/22		274
	1,251	Series 351, Class 7, IO, VAR, 5.000%, 04/01/34		166
	1,752	Series 356, Class 3, IO, 5.000%, 01/01/35		212
	2,755	Series 356, Class 39, IO, 5.000%, 01/01/20		254
	2,746	Series 365, Class 8, IO, 5.500%, 05/01/36		377
	489	Series 368, Class 3, IO, 4.500%, 11/01/20		41
	1,018	Series 374, Class 5, IO, 5.500%, 08/01/36		138
	3,130	Series 383, Class 32, IO, 6.000%, 01/01/38		471
	370	Series 393, Class 6, IO, 5.500%, 04/25/37		35
		Federal National Mortgage Association Whole Loan,
	1,894	Series 2001-W3, Class A, VAR, 7.000%, 09/25/41		2,178
	8,807	Series 2002-W10, Class IO, IO, VAR, 0.983%, 08/25/42		254
	566	Series 2003-W1, Class 1A1, VAR, 6.273%, 12/25/42		646
	330	Series 2003-W1, Class 2A, VAR, 7.084%, 12/25/42		385
	562	Series 2003-W2, Class 1A1, 6.500%, 07/25/42		649
	116	Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42		130
	568	Series 2003-W8, Class 2A, 7.000%, 10/25/42		658
	638	Series 2003-W8, Class 3F1, VAR, 0.644%, 05/25/42		635
	590	Series 2003-W18, Class 1A6, 5.370%, 08/25/43		611
	856	Series 2004-W1, Class 2A2, 7.000%, 12/25/33		997
	1,107	Series 2004-W2, Class 2A2, 7.000%, 02/25/44		1,266
	1,310	Series 2004-W11, Class 1A1, 6.000%, 05/25/44		1,476
	2,161	Series 2005-W3, Class 2AF, VAR, 0.464%, 03/25/45		2,151

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	898	Series 2005-W4, Class 1A1, 6.000%, 08/25/35		1,001
	4,002	Series 2005-W4, Class 3A, VAR, 2.521%, 06/25/35		4,190
	1,204	Series 2006-W2, Class 1AF1, VAR, 0.464%, 02/25/36		1,199
	808	Series 2006-W3, Class 1AF1, VAR, 0.484%, 10/25/46		805
	951	Series 2006-W3, Class 2A, 6.000%, 09/25/46		1,063
	11,706	Series 2007-W1, Class 1AF1, VAR, 0.504%, 11/25/46 (m)		11,657
	3,086	Series 2007-W2, Class 1A1, VAR, 0.564%, 03/25/37		3,058
	1,845	Series 2007-W3, Class 1A3, 6.750%, 04/25/37		2,105
	297	Series 2007-W7, Class 1A4, HB, IF, 37.716%, 07/25/37		573
	6,206	Series 2009-W1, Class A, 6.000%, 12/25/49		7,010
		Government National Mortgage Association,
	86	Series 1994-4, Class KQ, 7.988%, 07/16/24		99
	1,297	Series 1994-7, Class PQ, 6.500%, 10/16/24		1,522
	194	Series 1996-16, Class E, 7.500%, 08/16/26 (m)		222
	38	Series 1997-2, Class E, 7.500%, 02/20/27		44
	44	Series 1997-11, Class D, 7.500%, 07/20/27		51
	75	Series 1998-26, Class K, 7.500%, 09/17/25		87
	426	Series 1999-4, Class ZB, 6.000%, 02/20/29		481
	135	Series 1999-41, Class Z, 8.000%, 11/16/29		158
	16	Series 1999-43, Class TA, IF, 9.350%, 11/16/29		18
	82	Series 1999-44, Class PC, 7.500%, 12/20/29		95
	387	Series 1999-44, Class ZG, 8.000%, 12/20/29		452
	232	Series 2000-6, Class Z, 7.500%, 02/20/30		270
	357	Series 2000-7, Class ST, HB, IF, 38.161%, 01/16/30		764
	162	Series 2000-9, Class Z, 8.000%, 06/20/30		189
	885	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,072
	656	Series 2000-10, Class ZP, 7.500%, 02/16/30		718
	350	Series 2000-12, Class ST, HB, IF, 38.161%, 02/16/30		751
	86	Series 2000-16, Class ZN, 7.500%, 02/16/30		91
	818	Series 2000-21, Class Z, 9.000%, 03/16/30		1,043
	122	Series 2000-26, Class Z, 7.750%, 09/20/30		141
	48	Series 2000-36, Class HC, 7.330%, 11/20/30		56
	28	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		13
	1,446	Series 2001-21, Class PE, 6.500%, 05/16/31		1,693

SEE NOTES TO FINANCIAL STATEMENTS.

186 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	244	Series 2001-31, Class SJ, HB, IF, 27.141%, 02/20/31		461
	19	Series 2001-32, Class WA, IF, 19.511%, 07/20/31		31
	172	Series 2001-35, Class SA, IF, IO, 8.003%, 08/16/31		48
	154	Series 2001-36, Class S, IF, IO, 7.802%, 08/16/31		39
	802	Series 2001-53, Class SR, IF, IO, 7.904%, 10/20/31		83
	55	Series 2001-55, Class SF, HB, IF, 25.430%, 11/20/31		93
	736	Series 2002-4, Class TD, 7.000%, 01/20/32		856
	170	Series 2002-7, Class PG, 6.500%, 01/20/32		200
	675	Series 2002-24, Class AG, IF, IO, 7.702%, 04/16/32		151
	177	Series 2002-24, Class SB, IF, 11.554%, 04/16/32		213
	513	Series 2002-24, Class Z, 8.500%, 04/16/32		599
	1,326	Series 2002-31, Class SE, IF, IO, 7.252%, 04/16/30		258
	55	Series 2002-33, Class SY, IF, 9.000%, 02/26/23		61
	437	Series 2002-40, Class UK, 6.500%, 06/20/32		514
	123	Series 2002-41, Class LS, IF, 9.000%, 06/16/32		154
	258	Series 2002-45, Class QE, 6.500%, 06/20/32		295
	318	Series 2002-47, Class PG, 6.500%, 07/16/32		374
	43	Series 2002-51, Class SG, HB, IF, 31.436%, 04/20/31		78
	170	Series 2002-54, Class GB, 6.500%, 08/20/32		195
	196	Series 2002-69, Class PO, PO, 02/20/32		194
	357	Series 2002-70, Class PS, IF, IO, 7.454%, 08/20/32		41
	388	Series 2002-92, Class TK, IO, 5.500%, 05/16/31		6
	198	Series 2003-4, Class NI, IO, 5.500%, 01/20/32		6
	215	Series 2003-4, Class NY, 5.500%, 12/20/13		224
	366	Series 2003-8, Class PO, PO, 01/16/32		361
	1,535	Series 2003-11, Class SK, IF, IO, 7.453%, 02/16/33		325
	4,539	Series 2003-12, Class VI, IO, 5.500%, 10/17/22		563
	40	Series 2003-24, Class PO, PO, 03/16/33		36
	369	Series 2003-34, Class TO, PO, 02/16/32		366
	1,430	Series 2003-41, Class ID, IO, 5.500%, 05/20/33		254

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,971	Series 2003-46, Class IH, IO, 5.500%, 12/20/32		175
	1,842	Series 2003-60, Class ZN, 5.000%, 07/16/33		2,155
	365	Series 2003-76, Class LS, IF, IO, 6.955%, 09/20/31		22
	92	Series 2003-90, Class PO, PO, 10/20/33		81
	1,336	Series 2003-112, Class SA, IF, IO, 6.302%, 12/16/33		254
	6,000	Series 2003-112, Class TS, IF, IO, 6.704%, 10/20/32		729
	3,961	Series 2004-11, Class SW, IF, IO, 5.254%, 02/20/34		514
	232	Series 2004-15, Class SA, IF, 18.987%, 12/20/32		286
	256	Series 2004-28, Class S, IF, 18.982%, 04/16/34		375
	727	Series 2004-34, Class SZ, IF, 7.500%, 02/20/34		741
	526	Series 2004-46, Class AO, PO, 06/20/34		481
	3,204	Series 2004-59, Class SG, IF, IO, 6.254%, 07/20/34		513
	687	Series 2004-68, Class PO, PO, 05/20/31		677
	170	Series 2004-71, Class ST, IF, 7.000%, 09/20/34		182
	259	Series 2004-73, Class AE, IF, 14.348%, 08/17/34		331
	3,975	Series 2004-73, Class JL, IF, IO, 6.302%, 09/16/34		702
	876	Series 2004-85, Class PO, PO, 01/17/33		861
	1,882	Series 2004-90, Class SI, IF, IO, 5.855%, 10/20/34		287
	1,566	Series 2005-3, Class SB, IF, IO, 5.855%, 01/20/35		239
	3,162	Series 2005-17, Class SL, IF, IO, 6.455%, 07/20/34		553
	700	Series 2005-26, Class VI, IO, 5.500%, 01/20/35		154
	262	Series 2005-35, Class FL, VAR, 0.596%, 03/20/32		261
	3,287	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		946
	799	Series 2005-68, Class DP, IF, 15.841%, 06/17/35		1,037
	4,160	Series 2005-68, Class KI, IF, IO, 6.055%, 09/20/35		669
	1,113	Series 2005-69, Class SY, IF, IO, 6.505%, 11/20/33		178
	1,422	Series 2005-72, Class AZ, 5.500%, 09/20/35		1,686

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 187

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,601	Series 2005-85, Class IO, IO, 5.500%, 01/16/35		272
	199	Series 2005-93, Class JO, PO, 03/20/31		198
	756	Series 2006-16, Class OP, PO, 03/20/36		692
	570	Series 2006-22, Class AO, PO, 05/20/36		522
	554	Series 2006-34, Class PO, PO, 07/20/36		509
	3,786	Series 2006-38, Class SG, IF, IO, 6.405%, 09/20/33		344
	2,120	Series 2006-38, Class SW, IF, IO, 6.254%, 06/20/36		274
	643	Series 2006-59, Class SD, IF, IO, 6.455%, 10/20/36		106
	2,192	Series 2007-9, Class DI, IF, IO, 6.265%, 03/20/37		333
	780	Series 2007-17, Class AF, VAR, 0.448%, 04/16/37		776
	3,589	Series 2007-17, Class JI, IF, IO, 6.563%, 04/16/37		572
	493	Series 2007-17, Class JO, PO, 04/16/37		451
	433	Series 2007-25, Class FN, VAR, 0.548%, 05/16/37		432
	2,829	Series 2007-26, Class SC, IF, IO, 5.955%, 05/20/37		410
	6,834	Series 2007-26, Class SW, IF, IO, 5.955%, 05/20/37		989
	1,027	Series 2007-27, Class MI, IO, 5.500%, 09/20/36		115
	130	Series 2007-28, Class BO, PO, 05/20/37		119
	3,209	Series 2007-31, Class AO, PO, 05/16/37		2,862
	195	Series 2007-35, Class TO, PO, 04/20/35		193
	121	Series 2007-36, Class HO, PO, 06/16/37		110
	2,419	Series 2007-36, Class SE, IF, IO, 6.222%, 06/16/37		393
	3,823	Series 2007-36, Class SG, IF, IO, 6.225%, 06/20/37		559
	2,137	Series 2007-40, Class SD, IF, IO, 6.505%, 07/20/37		353
	2,149	Series 2007-42, Class SB, IF, IO, 6.505%, 07/20/37		362
	896	Series 2007-45, Class QA, IF, IO, 6.395%, 07/20/37		147
	2,020	Series 2007-50, Class AI, IF, IO, 6.530%, 08/20/37		326
	405	Series 2007-53, Class SW, IF, 19.469%, 09/20/37		562
	2,427	Series 2007-57, Class PO, PO, 03/20/37		2,252
	2,000	Series 2007-57, Class QA, IF, IO, 6.254%, 10/20/37		305

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1,913	Series 2007-70, Class TA, 5.750%, 08/20/36		2,001
	2,727	Series 2007-71, Class SB, IF, IO, 6.455%, 07/20/36		320
	3,980	Series 2007-74, Class SL, IF, IO, 6.293%, 11/16/37		594
	1,933	Series 2007-76, Class SA, IF, IO, 6.284%, 11/20/37		292
	2,911	Series 2007-79, Class SY, IF, IO, 6.305%, 12/20/37		453
	999	Series 2007-81, Class SP, IF, IO, 6.405%, 12/20/37		159
	785	Series 2007-82, Class SA, IF, IO, 6.284%, 12/20/37		119
	421	Series 2008-1, Class PO, PO, 01/20/38		387
	1,366	Series 2008-2, Class MS, IF, IO, 6.913%, 01/16/38		193
	1,021	Series 2008-10, Class S, IF, IO, 5.585%, 02/20/38		138
	3,849	Series 2008-13, Class PI, IO, 5.500%, 02/16/38		666
	913	Series 2008-20, Class PO, PO, 09/20/37		849
	870	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		85
	2,090	Series 2008-25, Class SB, IF, IO, 6.654%, 03/20/38		365
	922	Series 2008-29, Class PO, PO, 02/17/33		883
	2,323	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		332
	894	Series 2008-33, Class XS, IF, IO, 7.453%, 04/16/38		130
	1,500	Series 2008-36, Class AY, 5.000%, 04/16/23		1,743
	2,203	Series 2008-36, Class SH, IF, IO, 6.055%, 04/20/38		324
	5,435	Series 2008-40, Class SA, IF, IO, 6.153%, 05/16/38		1,160
	2,384	Series 2008-41, Class SA, IF, IO, 6.095%, 05/20/38		350
	727	Series 2008-47, Class V, 5.500%, 05/16/19		838
	1,396	Series 2008-55, Class SA, IF, IO, 5.955%, 06/20/38		209
	1,140	Series 2008-60, Class PO, PO, 01/20/38		1,085
	6,067	Series 2008-62, Class SA, IF, IO, 5.905%, 07/20/38		1,007
	2,508	Series 2008-64, Class ED, 6.500%, 04/20/28		2,769
	3,000	Series 2008-65, Class ME, 5.750%, 09/20/37		3,325
	650	Series 2008-71, Class SC, IF, IO, 5.754%, 08/20/38		88

SEE NOTES TO FINANCIAL STATEMENTS.

188 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,657	Series 2008-93, Class AS, IF, IO, 5.455%, 12/20/38		205
	5,236	Series 2008-95, Class DS, IF, IO, 7.054%, 12/20/38		885
	1,387	Series 2008-96, Class SL, IF, IO, 5.754%, 12/20/38		197
	2,171	Series 2009-6, Class SA, IF, IO, 5.852%, 02/16/39		269
	3,216	Series 2009-10, Class SA, IF, IO, 5.704%, 02/20/39		457
	2,598	Series 2009-10, Class SL, IF, IO, 6.253%, 03/16/34		294
	5,000	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		1,529
	1,713	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		312
	1,867	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		331
	2,533	Series 2009-24, Class DS, IF, IO, 6.055%, 03/20/39		308
	1,300	Series 2009-25, Class SE, IF, IO, 7.355%, 09/20/38		207
	1,026	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		164
	1,746	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		319
	1,355	Series 2009-38, Class IO, IO, 5.000%, 09/16/31		103
	4,440	Series 2009-42, Class SC, IF, IO, 5.834%, 06/20/39		652
	2,282	Series 2009-43, Class SA, IF, IO, 5.704%, 06/20/39		304
	807	Series 2009-44, Class VA, 5.500%, 05/16/20		886
	4,875	Series 2009-64, Class SN, IF, IO, 5.852%, 07/16/39		619
	928	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		152
	3,951	Series 2009-67, Class SA, IF, IO, 5.803%, 08/16/39		561
	4,899	Series 2009-72, Class SM, IF, IO, 6.002%, 08/16/39		688
	804	Series 2009-79, Class OK, PO, 11/16/37		744
	4,640	Series 2009-83, Class TS, IF, IO, 5.855%, 08/20/39		676
	9,279	Series 2009-102, Class SM, IF, IO, 6.153%, 06/16/39		1,180
	1,530	Series 2009-104, Class AB, 7.000%, 08/16/39		1,856

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	4,315	Series 2009-106, Class AS, IF, IO, 6.153%, 11/16/39		689
	5,514	Series 2009-106, Class ST, IF, IO, 5.754%, 02/20/38		824
	2,638	Series 2009-121, Class VA, 5.500%, 11/20/20		3,043
	652	Series 2010-14, Class AO, PO, 12/20/32		620
	687	Series 2010-14, Class BO, PO, 11/20/35		636
	2,500	Series 2010-14, Class CO, PO, 08/20/35		2,177
	5,259	Series 2010-14, Class QP, 6.000%, 12/20/39		5,699
	3,724	Series 2010-41, Class WA, VAR, 5.851%, 10/20/33		4,226
	2,307	Series 2010-103, Class WA, VAR, 5.762%, 08/20/34		2,623
	2,390	Series 2010-129, Class AW, VAR, 6.150%, 04/20/37		2,731
	3,045	Series 2010-130, Class CP, 7.000%, 10/16/40		3,549
	5,187	Series 2010-157, Class OP, PO, 12/20/40		4,566
	5,305	Series 2011-22, Class WA, VAR, 5.947%, 02/20/37		6,048
	2,124	Series 2011-56, Class BI, IO, 4.500%, 04/16/41		76
	7,575	Series 2011-97, Class WA, VAR, 6.069%, 11/20/38		8,608
	9,649	Series 2011-137, Class WA, VAR, 5.541%, 07/20/40		10,797
	2,033	Series 2011-163, Class WA, VAR, 5.762%, 12/20/38		2,297
	12,000	Series 2012-24, Class WA, VAR, 5.613%, 07/20/41		13,635
		NCUA Guaranteed Notes,
	7,598	Series 2010-C1, Class APT, 2.650%, 10/29/20		7,930
	3,550	Series 2010-R3, Class 1A, VAR, 0.822%, 12/08/20		3,563
	1,208	Series 2010-R3, Class 3A, 2.400%, 12/08/20		1,240
		Vendee Mortgage Trust,
	5,731	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		6,417
	738	Series 1996-1, Class 1Z, 6.750%, 02/15/26		849
	420	Series 1996-2, Class 1Z, 6.750%, 06/15/26		493
	828	Series 1997-1, Class 2Z, 7.500%, 02/15/27		974
	620	Series 1998-1, Class 2E, 7.000%, 03/15/28		727
				1,228,359
		Non-Agency CMO — 19.3%
	57	ABN Amro Mortgage Corp., Series 2003-7, Class A3, 4.500%, 07/25/18		57

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 189

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		American General Mortgage Loan Trust,
	1,406	Series 2006-1, Class A5, VAR, 5.670%, 12/25/35 (e)		1,485
	4,000	Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		4,054
	3,000	Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e)		3,061
	5,300	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		5,467
	2,006	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		2,071
	1,346	Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		1,419
	1,900	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		1,975
	900	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		909
	1,712	American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.378%, 09/25/35		727
		ASG Resecuritization Trust,
	1,132	Series 2009-1, Class A60, VAR, 4.938%, 06/26/37 (e)		1,126
	1,348	Series 2009-2, Class A55, VAR, 5.196%, 05/24/36 (e)		1,335
	1,288	Series 2009-2, Class G60, VAR, 5.196%, 05/24/36 (e)		1,252
	3,858	Series 2009-3, Class A65, VAR, 4.839%, 03/26/37 (e)		3,797
	3,835	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		3,950
	2,761	Series 2010-1, Class A85, VAR, 0.644%, 02/27/36 (e)		2,609
	7,493	Series 2010-2, Class A60, VAR, 2.218%, 01/28/37 (e)		7,343
	1,983	Series 2010-3, Class 2A22, VAR, 0.326%, 10/28/36 (e)		1,924
	527	Series 2010-4, Class 2A20, VAR, 0.424%, 11/28/36 (e)		512
	1,013	Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e)		1,043
	2,284	Series 2011-1, Class 3A50, VAR, 2.485%, 11/28/35 (e) (f) (i)		2,214
	1,630	Series 2011-2, Class A48S, HB, IF, 23.258%, 02/28/36 (e)		2,232
		Banc of America Alternative Loan Trust,
	285	Series 2003-3, Class APO, PO, 05/25/33		224
	1,250	Series 2003-7, Class 1CB1, 5.500%, 09/25/33		1,272

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	1,819	Series 2003-7, Class 2A4, 5.000%, 09/25/18		1,859
	723	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		741
	768	Series 2003-11, Class 2A1, 6.000%, 01/25/34		772
	381	Series 2003-11, Class PO, PO, 01/25/34		265
	1,028	Series 2004-1, Class 1A1, 6.000%, 02/25/34		1,083
	302	Series 2004-1, Class 5A1, 5.500%, 02/25/19		309
	724	Series 2004-6, Class 3A2, 6.000%, 07/25/34		736
	3,925	Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35		695
	3,346	Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36		656
		Banc of America Funding Corp.,
	324	Series 2004-1, Class PO, PO, 03/25/34		263
	1,519	Series 2004-3, Class 1A1, 5.500%, 10/25/34		1,560
	36	Series 2004-3, Class 1A7, 5.500%, 10/25/34		36
	1,060	Series 2004-C, Class 1A1, VAR, 5.040%, 12/20/34		1,031
	1,782	Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35		265
	379	Series 2005-4, Class 30PO, PO, 08/25/35		285
	1,016	Series 2005-6, Class 2A7, 5.500%, 10/25/35		1,024
	131	Series 2005-7, Class 30PO, PO, 11/25/35		100
	666	Series 2005-8, Class 30PO, PO, 01/25/36		530
	2,817	Series 2005-E, Class 4A1, VAR, 2.661%, 03/20/35		2,608
	571	Series 2010-R4, Class 5A1, VAR, 0.394%, 07/26/36 (e)		555
	2,468	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		2,558
	3,273	Series 2010-R11A, Class 1A6, VAR, 5.362%, 08/26/35 (e)		3,323
		Banc of America Mortgage Securities, Inc.,
	1,847	Series 2003-3, Class 1A7, 5.500%, 05/25/33		1,894
	331	Series 2003-3, Class 2A1, VAR, 0.794%, 05/25/18		316
	968	Series 2003-6, Class 2A1, VAR, 0.694%, 08/25/18		925
	753	Series 2003-8, Class 2A5, 5.000%, 11/25/18		779
	149	Series 2003-8, Class APO, PO, 11/25/33		116
	176	Series 2003-9, Class 1A2, PO, 12/25/33		129
	1,275	Series 2003-A, Class 4A1, VAR, 2.997%, 02/25/33		1,115
	874	Series 2003-C, Class 3A1, VAR, 2.902%, 04/25/33		888
	1,988	Series 2003-E, Class 2A2, VAR, 2.888%, 06/25/33		1,928

SEE NOTES TO FINANCIAL STATEMENTS.

190 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	3,000	Series 2004-3, Class 1A26, 5.500%, 04/25/34		3,066
	2,832	Series 2004-3, Class 15IO, IO, VAR, 0.246%, 04/25/19		12
	28	Series 2004-4, Class 1A9, 5.000%, 05/25/34		28
	189	Series 2004-4, Class APO, PO, 05/25/34		143
	21,691	Series 2004-5, Class 15IO, IO, VAR, 0.251%, 06/25/19		104
	250	Series 2004-6, Class APO, PO, 07/25/34		182
	142	Series 2004-9, Class 3A1, 6.500%, 09/25/32		149
	1,402	Series 2004-C, Class 2A2, VAR, 2.890%, 04/25/34		1,359
	1,182	Series 2004-J, Class 3A1, VAR, 2.912%, 11/25/34		1,040
		BCAP LLC Trust,
	1,781	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		1,815
	1,097	Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e)		1,099
	269	Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e)		267
	1,755	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		1,720
	2,000	Series 2009-RR14, Class 3A2, VAR, 2.713%, 08/26/35 (e)		1,820
	982	Series 2009-RR14, Class 4A1, VAR, 2.778%, 03/26/36 (e)		979
	902	Series 2010-RR4, Class 2A1, VAR, 0.994%, 06/26/37 (e)		839
	810	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i)		815
	570	Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e)		562
	3,201	Series 2010-RR5, Class 2A5, VAR, 5.213%, 04/26/37 (e)		3,181
	848	Series 2010-RR6, Class 5A1, VAR, 5.141%, 11/26/37 (e)		847
	3,386	Series 2010-RR7, Class 1A5, VAR, 5.008%, 04/26/35 (e)		3,317
	6,839	Series 2010-RR7, Class 2A1, VAR, 4.624%, 07/26/45 (e)		6,451
	1,836	Series 2010-RR7, Class 15A1, VAR, 1.044%, 01/26/36 (e)		1,702
	1,649	Series 2010-RR7, Class 16A1, VAR, 0.882%, 02/26/47 (e)		1,529
	1,205	Series 2010-RR8, Class 3A3, VAR, 5.078%, 05/26/35 (e)		1,198

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	1,500	Series 2010-RR8, Class 3A4, VAR, 5.078%, 05/26/35 (e)		1,344
	881	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		897
	2,178	Series 2011-R11, Class 24A5, VAR, 3.000%, 08/26/22 (e)		2,180
	2,303	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		2,307
	2,193	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i)		2,083
	3,508	Series 2011-RR5, Class 11A3, VAR, 0.394%, 05/28/36 (e)		3,097
	2,500	Series 2011-RR5, Class 14A3, VAR, 1.414%, 07/26/36 (e) (f) (i)		2,368
	3,320	Series 2011-RR10, Class 2A1, VAR, 0.525%, 09/26/37 (e)		2,847
	1,981	Series 2012-RR1, Class 5A1, VAR, 6.500%, 07/26/37 (e) (f) (i)		2,047
	5,495	Series 2012-RR2, Class 1A1, VAR, 08/26/36 (f) (i)		5,087
		Bear Stearns Adjustable Rate Mortgage Trust,
	817	Series 2003-4, Class 3A1, VAR, 4.990%, 07/25/33		819
	328	Series 2003-7, Class 3A, VAR, 2.625%, 10/25/33		321
	886	Series 2004-1, Class 12A1, VAR, 2.882%, 04/25/34		746
	1,086	Series 2004-2, Class 14A, VAR, 5.037%, 05/25/34		1,085
	2,242	Series 2005-5, Class A1, VAR, 2.220%, 08/25/35		2,144
	2,925	Series 2006-1, Class A1, VAR, 2.520%, 02/25/36		2,560
	932	Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.744%, 03/25/35		775
	1,405	Bear Stearns Asset Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.250%, 10/25/33		1,420
	371	Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33		271
		Chase Mortgage Finance Corp.,
	363	Series 2003-S2, Class A1, 5.000%, 03/25/18		367
	280	Series 2003-S6, Class A1, 5.000%, 06/25/18		285
	409	Series 2003-S10, Class AP, PO, 11/25/18		385
	595	Series 2004-S3, Class 2A5, 5.500%, 03/25/34		620
	4,044	Series 2007-A1, Class 1A3, VAR, 2.776%, 02/25/37		4,088

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 191

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	705	Series 2007-A1, Class 2A1, VAR, 2.757%, 02/25/37		692
	885	Series 2007-A1, Class 7A1, VAR, 2.748%, 02/25/37		864
	966	Series 2007-A1, Class 9A1, VAR, 2.770%, 02/25/37		971
	1,719	Series 2007-A2, Class 2A1, VAR, 2.764%, 07/25/37		1,741
		Citicorp Mortgage Securities, Inc.,
	244	Series 2003-8, Class APO, PO, 08/25/33		180
	850	Series 2004-1, Class 3A1, 4.750%, 01/25/34		865
	1,532	Series 2004-4, Class A4, 5.500%, 06/25/34		1,603
	1,137	Series 2004-5, Class 2A5, 4.500%, 08/25/34		1,176
	245	Series 2005-6, Class APO, PO, 09/25/35		198
		Citigroup Mortgage Loan Trust, Inc.,
	742	Series 2003-1, Class 2A5, 5.250%, 10/25/33		755
	269	Series 2003-1, Class PO3, PO, 09/25/33		195
	44	Series 2003-1, Class WA2, 6.500%, 06/25/31		46
	53	Series 2003-1, Class WPO2, PO, 06/25/31		40
	76	Series 2003-UP3, Class A3, 7.000%, 09/25/33		78
	454	Series 2003-UST1, Class A1, 5.500%, 12/25/18		476
	78	Series 2003-UST1, Class PO1, PO, 12/25/18		65
	85	Series 2003-UST1, Class PO2, PO, 12/25/18		68
	35	Series 2003-UST1, Class PO3, PO, 12/25/18		30
	660	Series 2004-UST1, Class A3, VAR, 2.390%, 08/25/34		658
	565	Series 2004-UST1, Class A6, VAR, 5.079%, 08/25/34		576
	364	Series 2005-1, Class 2A1A, VAR, 2.731%, 04/25/35		234
	1,225	Series 2005-2, Class 2A11, 5.500%, 05/25/35		1,216
	1,013	Series 2005-5, Class 1A2, VAR, 3.537%, 08/25/35		568
	2,891	Series 2008-AR4, Class 1A1A, VAR, 3.075%, 11/25/38 (e)		2,874
	2,019	Series 2009-10, Class 1A1, VAR, 2.460%, 09/25/33 (e)		1,952
	1,994	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		2,086
	2,851	Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e)		2,897
	1,069	Series 2010-7, Class 10A1, VAR, 2.612%, 02/25/35 (e)		1,038
	15,441	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		15,781

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	14,866	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		15,326
	1,075	Series 2011-3, Class 1A1, VAR, 0.324%, 02/25/47 (e)		1,054
	1,775	Series 2011-10, Class 4A1, VAR, 0.484%, 02/25/46 (e) (f) (i)		1,588
		Countrywide Alternative Loan Trust,
	250	Series 2002-8, Class A4, 6.500%, 07/25/32		262
	962	Series 2002-11, Class M, 6.500%, 10/25/32		925
	323	Series 2003-6T2, Class A6, 5.500%, 06/25/33		303
	274	Series 2003-J1, Class PO, PO, 10/25/33		232
	1,633	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,562
	1,788	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		1,829
	146	Series 2004-J3, Class 4A1, 4.750%, 04/25/19		150
	2,389	Series 2005-1CB, Class 1A6, IF, IO, 6.856%, 03/25/35		315
	329	Series 2005-5R, Class A1, 5.250%, 12/25/18		334
	8,566	Series 2005-20CB, Class 3A8, IF, IO, 4.506%, 07/25/35		1,024
	6,589	Series 2005-22T1, Class A2, IF, IO, 4.826%, 06/25/35		807
	90	Series 2005-26CB, Class A10, IF, 12.608%, 07/25/35		90
	62	Series 2005-28CB, Class 1A5, 5.500%, 08/25/35		62
	297	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		250
	11,622	Series 2005-37T1, Class A2, IF, IO, 4.806%, 09/25/35		1,685
	12,549	Series 2005-54CB, Class 1A2, IF, IO, 4.606%, 11/25/35		1,902
	53	Series 2005-54CB, Class 1A7, 5.500%, 11/25/35		49
	2,002	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		1,585
	1,437	Series 2005-57CB, Class 3A2, IF, IO, 4.856%, 12/25/35		160
	970	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		682
	1,159	Series 2005-86CB, Class A11, 5.500%, 02/25/36		811
	4,696	Series 2005-J1, Class 1A4, IF, IO, 4.856%, 02/25/35		542
	28,616	Series 2006-7CB, Class 1A2, IF, IO, 5.056%, 05/25/36		4,775

SEE NOTES TO FINANCIAL STATEMENTS.

192 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,244	Series 2006-26CB, Class A9, 6.500%, 09/25/36		780
		Countrywide Home Loan Mortgage Pass-Through Trust,
	1,183	Series 2002-36, Class A22, 6.000%, 01/25/33		1,218
	167	Series 2003-18, Class A12, 5.500%, 07/25/33		160
	729	Series 2003-26, Class 1A6, 3.500%, 08/25/33		726
	127	Series 2003-34, Class A6, 5.250%, 09/25/33		127
	3,057	Series 2003-39, Class A6, 5.000%, 10/25/33		3,020
	204	Series 2003-44, Class A9, PO, 10/25/33		176
	366	Series 2003-J7, Class 4A3, IF, 9.458%, 08/25/18		368
	128	Series 2003-J10, Class 2A1, 5.000%, 11/25/18		131
	2,311	Series 2003-J13, Class 1A7, 5.250%, 01/25/34		2,363
	1,092	Series 2004-3, Class A26, 5.500%, 04/25/34		1,127
	255	Series 2004-3, Class PO, PO, 04/25/34		209
	2,283	Series 2004-5, Class 1A4, 5.500%, 06/25/34		2,367
	240	Series 2004-7, Class 2A1, VAR, 2.288%, 06/25/34		217
	1,458	Series 2004-13, Class 1A4, 5.500%, 08/25/34		1,483
	545	Series 2004-28R, Class A1, 5.500%, 08/25/33		547
	353	Series 2004-HYB1, Class 2A, VAR, 2.945%, 05/20/34		307
	1,429	Series 2004-HYB3, Class 2A, VAR, 2.559%, 06/20/34		1,156
	942	Series 2004-HYB6, Class A3, VAR, 2.715%, 11/20/34		751
	424	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		434
	1,166	Series 2005-16, Class A23, 5.500%, 09/25/35		1,163
	2,559	Series 2005-22, Class 2A1, VAR, 2.713%, 11/25/35		1,783
	7,683	Series 2007-4, Class 1A52, IF, IO, 5.156%, 05/25/37		1,273
		Credit Suisse Mortgage Capital Certificates,
	2,704	Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e)		2,704
	451	Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e)		451
	1,150	Series 2010-16, Class A3, VAR, 3.965%, 06/25/50 (e)		1,026

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	2,250	Series 2010-16, Class A4, VAR, 4.250%, 06/25/50 (e)		1,770
	872	Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e)		893
	1,179	Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e)		1,181
	1,882	Series 2010-11R, Class A1, VAR, 1.271%, 06/28/47 (e)		1,806
	1,050	Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e)		1,037
	558	Series 2010-12R, Class 14A1, VAR, 2.689%, 09/26/46 (e)		549
	665	Series 2010-15R, Class 7A1, VAR, 4.748%, 10/26/37 (e)		663
	500	Series 2010-15R, Class 7A2, VAR, 4.748%, 10/26/37 (e)		450
	2,490	Series 2011-1R, Class A1, VAR, 1.244%, 02/27/47 (e)		2,450
	1,672	Series 2011-6R, Class 3A1, VAR, 2.849%, 07/28/36 (e)		1,536
	6,582	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		6,459
	7,767	Series 2011-9R, Class A1, VAR, 2.244%, 03/27/46 (e)		7,660
	6,423	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		6,435
		CS First Boston Mortgage Securities Corp.,
	1,264	Series 2003-1, Class DB1, 6.564%, 02/25/33		1,103
	1,054	Series 2003-21, Class 1A4, 5.250%, 09/25/33		1,069
	3,852	Series 2003-27, Class 5A3, 5.250%, 11/25/33		3,979
	1,675	Series 2003-27, Class 5A4, 5.250%, 11/25/33		1,734
	894	Series 2003-29, Class 1A1, 6.500%, 12/25/33		926
	585	Series 2003-29, Class 5A1, 7.000%, 12/25/33		625
	1,253	Series 2003-AR15, Class 3A1, VAR, 2.852%, 06/25/33		1,219
	1,439	Series 2004-4, Class 2A4, 5.500%, 09/25/34		1,518
	1,091	Series 2004-5, Class 3A1, 5.250%, 08/25/19		1,126
	1,563	Series 2004-8, Class 1A4, 5.500%, 12/25/34		1,644
	1,465	Series 2004-8, Class 3A5, 5.500%, 12/25/34		1,517
	2,985	Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35		453
	2,152	Series 2005-9, Class DX, IO, 5.500%, 10/25/35		318

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 193

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	879	Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.591%, 02/25/20		904
		Deutsche Mortgage Securities, Inc.,
	777	Series 2009-RS2, Class 4A1, VAR, 0.406%, 04/26/37 (e)		748
	380	Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e)		378
	1,204	Series 2010-RS2, Class A1, VAR, 1.520%, 06/28/47 (e)		1,204
	1,217	FDIC Trust, Series 2011-N1, Class A1, 4.500%, 12/25/16 (e) (f) (i)		1,217
		First Horizon Alternative Mortgage Securities,
	1,530	Series 2004-AA4, Class A1, VAR, 2.247%, 10/25/34		1,235
	441	Series 2005-AA5, Class 1A2, VAR, 2.374%, 07/25/35		85
	974	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		657
	11,599	Series 2007-FA4, Class 1A2, IF, IO, 5.406%, 08/25/37		2,070
		First Horizon Asset Securities, Inc.,
	209	Series 2003-7, Class 2A1, 4.500%, 09/25/18		215
	301	Series 2003-8, Class 2A1, 4.500%, 09/25/18		304
	2,174	Series 2003-9, Class 1A6, 5.500%, 11/25/33		2,202
	625	Series 2004-AR2, Class 2A1, VAR, 2.746%, 05/25/34		591
	319	Series 2004-AR7, Class 2A1, VAR, 2.617%, 02/25/35 (m)		307
	685	Series 2004-AR7, Class 2A2, VAR, 2.617%, 02/25/35		621
	1,392	Series 2005-AR1, Class 2A2, VAR, 2.673%, 04/25/35		1,310
		Freedom Trust,
	931	Series 2011-3, Class A11, VAR, 4.766%, 09/01/51 (e)		913
	2,500	Series 2011-4, Class A18, VAR, 3.901%, 03/25/37 (e)		2,464
		GMAC Mortgage Corp. Loan Trust,
	928	Series 2003-AR1, Class A4, VAR, 3.030%, 10/19/33		913
	2,548	Series 2003-AR2, Class 2A4, VAR, 2.994%, 12/19/33		2,499
	1,318	Series 2003-J7, Class A7, 5.000%, 11/25/33		1,364
	181	Series 2003-J7, Class A10, 5.500%, 11/25/33		189
	191	Series 2003-J8, Class A, 5.250%, 12/25/33		195
	1,296	Series 2004-J1, Class A20, 5.500%, 04/25/34		1,329

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	31	Series 2004-J2, Class A2, VAR, 0.744%, 06/25/34		31
	3,203	Series 2004-J5, Class A7, 6.500%, 01/25/35		3,361
	1,135	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		1,162
	408	Series 2005-AR3, Class 3A3, VAR, 3.061%, 06/19/35		402
	3,424	Series 2005-AR3, Class 3A4, VAR, 3.061%, 06/19/35		2,911
		GSMPS Mortgage Loan Trust,
	687	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		696
	338	Series 2004-4, Class 1AF, VAR, 0.644%, 06/25/34 (e)		289
	677	Series 2005-RP2, Class 1AF, VAR, 0.594%, 03/25/35 (e)		547
	3,913	Series 2005-RP3, Class 1AF, VAR, 0.594%, 09/25/35 (e)		2,961
	1,778	Series 2005-RP3, Class 1AS, IO, VAR, 5.080%, 09/25/35 (e)		268
	3,702	Series 2006-RP2, Class 1AS2, IF, IO, 5.228%, 04/25/36 (e)		543
		GSR Mortgage Loan Trust,
	473	Series 2003-13, Class 1A1, VAR, 4.442%, 10/25/33		476
	180	Series 2003-6F, Class A2, VAR, 0.644%, 09/25/32		170
	1,568	Series 2003-7F, Class 1A4, 5.250%, 06/25/33		1,554
	161	Series 2004-3F, Class 3A8, 13.500%, 02/25/34		161
	3,884	Series 2004-6F, Class 2A4, 5.500%, 05/25/34		4,061
	3,903	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		4,095
	88	Series 2004-10F, Class 2A1, 5.000%, 08/25/19		89
	324	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		320
	70	Series 2005-5F, Class 2A3, 5.500%, 06/25/35		70
	1,312	Series 2005-5F, Class 8A3, VAR, 0.744%, 06/25/35		1,157
	5,312	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		5,213
	949	Series 2006-1F, Class 1AP, PO, 02/25/36		730
	8,423	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		7,449
	3,100	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		2,998
	503	Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.764%, 04/25/35		302
		Impac Secured Assets CMN Owner Trust,
	1,396	Series 2001-8, Class A6, 6.440%, 01/25/32		1,430
	1,449	Series 2006-1, Class 2A1, VAR, 0.594%, 05/25/36		1,298

SEE NOTES TO FINANCIAL STATEMENTS.

194 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,978	Series 2006-2, Class 2A1, VAR, 0.594%, 08/25/36		2,767
		Indymac Index Mortgage Loan Trust,
	9,600	Series 2005-AR11, Class A7, IO, VAR, 0.122%, 08/25/35		48
	312	Series 2006-AR3, Class 2A1A, VAR, 2.778%, 03/25/36		162
		JP Morgan Mortgage Trust,
	714	Series 2004-A3, Class 4A1, VAR, 2.749%, 07/25/34		686
	728	Series 2004-A4, Class 1A1, VAR, 2.761%, 09/25/34		732
	446	Series 2004-S1, Class 1A7, 5.000%, 09/25/34		460
	2,000	Series 2005-A1, Class 3A4, VAR, 5.011%, 02/25/35		1,977
	404	Series 2005-A1, Class 5A1, VAR, 4.436%, 02/25/35		406
	2,761	Series 2006-A2, Class 4A1, VAR, 2.747%, 08/25/34		2,660
	4,074	Series 2006-A2, Class 5A3, VAR, 2.647%, 11/25/33		3,975
	967	Series 2006-A3, Class 6A1, VAR, 2.762%, 08/25/34		856
	930	Series 2007-A1, Class 5A2, VAR, 2.852%, 07/25/35		853
	1,045	JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.274%, 08/26/35 (e)		1,017
	48	Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18		47
		Lehman Mortgage Trust,
	1,120	Series 2006-2, Class 1A1, VAR, 6.494%, 04/25/36		1,082
	772	Series 2007-6, Class 1A8, 6.000%, 07/25/37		597
	1,500	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,098
		LVII Resecuritization Trust,
	707	Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e)		690
	3,150	Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e)		3,134
		MASTR Adjustable Rate Mortgages Trust,
	223	Series 2004-3, Class 4A2, VAR, 2.392%, 04/25/34		207
	55	Series 2004-4, Class 2A1, VAR, 1.850%, 05/25/34		35
	815	Series 2004-13, Class 2A1, VAR, 2.662%, 04/21/34		804
	2,241	Series 2004-13, Class 3A6, VAR, 2.718%, 11/21/34		2,244

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	3,000	Series 2004-13, Class 3A7, VAR, 2.718%, 11/21/34		2,907
	312	Series 2004-15, Class 3A1, VAR, 3.041%, 12/25/34		246
		MASTR Alternative Loans Trust,
	488	Series 2003-4, Class 2A1, 6.250%, 06/25/33		495
	475	Series 2003-8, Class 3A1, 5.500%, 12/25/33		483
	1,042	Series 2003-8, Class 5A1, 5.000%, 11/25/18		1,080
	204	Series 2003-9, Class 8A1, 6.000%, 01/25/34		205
	160	Series 2004-1, Class 30PO, PO, 02/25/34		127
	815	Series 2004-3, Class 2A1, 6.250%, 04/25/34		826
	344	Series 2004-3, Class 30PO, PO, 04/25/34		273
	339	Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34		55
	427	Series 2004-5, Class 30PO, PO, 06/25/34		337
	201	Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34		39
	2,035	Series 2004-6, Class 7A1, 6.000%, 07/25/34		2,025
	235	Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34		44
	185	Series 2004-7, Class 30PO, PO, 08/25/34		143
	766	Series 2004-7, Class AX1, IO, 5.500%, 08/25/34		147
	579	Series 2004-10, Class 1A1, 4.500%, 09/25/19		593
	3,198	Series 2005-3, Class AX2, IO, 6.000%, 04/25/35		539
		MASTR Asset Securitization Trust,
	474	Series 2003-2, Class 1A1, 5.000%, 03/25/18		488
	187	Series 2003-2, Class 2A1, 4.500%, 03/25/18		190
	832	Series 2003-3, Class 3A18, 5.500%, 04/25/33		858
	161	Series 2003-4, Class 3A2, 5.000%, 05/25/18		165
	215	Series 2003-4, Class 5A1, 5.500%, 05/25/33		228
	308	Series 2003-8, Class 1A1, 5.500%, 09/25/33		320
	340	Series 2003-9, Class 15PO, PO, 10/25/18		287
	141	Series 2003-10, Class 15PO, PO, 11/25/18		119
	75	Series 2003-11, Class 15PO, PO, 12/25/18		63
	541	Series 2003-12, Class 6A1, 5.000%, 12/25/33		552
	144	Series 2004-1, Class 30PO, PO, 02/25/34		114
	166	Series 2004-3, Class PO, PO, 03/25/34		123
	387	Series 2004-4, Class 3A1, 4.500%, 04/25/19		396
	526	Series 2004-6, Class 2A9, 5.250%, 11/26/16		526
	214	Series 2004-8, Class 1A1, 4.750%, 08/25/19		220
	235	Series 2004-8, Class PO, PO, 08/25/19		198

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 195

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Non-Agency CMO — Continued
	113		Series 2004-9, Class 5A1, 5.250%, 09/25/19		117
	1,199		Series 2004-P7, Class A6, 5.500%, 12/27/33 (e)		1,267
	1,000		Series 2006-2, Class 1A30, 6.000%, 06/25/36		851
	3,622		MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.594%, 05/25/35 (e)		2,716
	2,595		MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		2,024
			Merrill Lynch Mortgage Investors, Inc.,
	337		Series 2003-A4, Class 2A, VAR, 2.730%, 07/25/33		333
	1,202		Series 2003-A5, Class 2A6, VAR, 2.499%, 08/25/33		1,174
	1,555		Series 2004-A4, Class A2, VAR, 2.603%, 08/25/34		1,480
	215		Series 2005-A1, Class 3A, VAR, 2.791%, 12/25/34		204
			Merrill Lynch Trust,
	—	(h)	Series 7, Class B, PO, 04/20/18		1
	46		Series 47, Class Z, 8.985%, 10/20/20		51
			MLCC Mortgage Investors, Inc.,
	1,027		Series 2003-A, Class 2A2, VAR, 1.163%, 03/25/28		926
	912		Series 2003-E, Class A1, VAR, 0.864%, 10/25/28		797
	1,290		Series 2004-1, Class 2A1, VAR, 2.195%, 12/25/34		1,270
	1,183		Series 2004-D, Class A2, VAR, 1.113%, 08/25/29		1,073
	1,085		Series 2004-E, Class A2A, VAR, 0.887%, 11/25/29		1,002
	1,756		Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A, VAR, 5.654%, 04/25/34		1,781
	—	(h)	Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,205.250%, 04/20/21		7
			MortgageIT Trust,
	768		Series 2005-1, Class 1A1, VAR, 0.564%, 02/25/35		612
	299		Series 2005-5, Class A1, VAR, 0.504%, 12/25/35		197
			Nomura Asset Acceptance Corp.,
	275		Series 2003-A1, Class A1, 5.500%, 05/25/33		287
	57		Series 2003-A1, Class A2, 6.000%, 05/25/33		58
	44		Series 2003-A1, Class A5, 7.000%, 04/25/33		46
	35		Series 2003-A1, Class A7, 5.000%, 04/25/18		35

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	741	Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		728
		Prime Mortgage Trust,
	155	Series 2004-1, Class 2A3, 5.250%, 08/25/34		160
	1,610	Series 2004-CL1, Class 1A1, 6.000%, 02/25/34		1,709
	777	Series 2005-4, Class 2PO, PO, 10/25/35		626
	1,150	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.700%, 05/25/35		1,108
		RBSSP Resecuritization Trust,
	1,249	Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e)		1,268
	538	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		565
	1,196	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		1,203
	1,246	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		1,244
	1,983	Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e)		2,089
	1,283	Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e)		1,316
	1,845	Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e)		1,841
	678	Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e)		682
	2,509	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		2,490
		Residential Accredit Loans, Inc.,
	271	Series 2001-QS19, Class A2, 6.000%, 12/25/16		276
	71	Series 2002-QS16, Class A3, IF, 16.113%, 10/25/17		81
	1,100	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		1,083
	240	Series 2003-QR24, Class A5, 4.000%, 07/25/33		241
	276	Series 2003-QS1, Class A6, 4.250%, 01/25/33		278
	243	Series 2003-QS3, Class A2, IF, 15.963%, 02/25/18		261
	424	Series 2003-QS3, Class A8, IF, IO, 7.356%, 02/25/18		44
	620	Series 2003-QS9, Class A3, IF, IO, 7.306%, 05/25/18		93
	759	Series 2003-QS12, Class A2A, IF, IO, 7.356%, 06/25/18		113

SEE NOTES TO FINANCIAL STATEMENTS.

196 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	333	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		33
	1,145	Series 2003-QS13, Class A5, VAR, 0.894%, 07/25/33		987
	6,802	Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33		169
	855	Series 2003-QS14, Class A1, 5.000%, 07/25/18		871
	876	Series 2003-QS18, Class A1, 5.000%, 09/25/18		902
	858	Series 2003-QS19, Class A1, 5.750%, 10/25/33		890
	1,076	Series 2004-QA4, Class NB3, VAR, 3.747%, 09/25/34		1,007
	387	Series 2004-QA6, Class NB2, VAR, 3.100%, 12/26/34		264
	1,530	Series 2004-QS7, Class A4, 5.500%, 05/25/34		1,350
	194	Series 2004-QS8, Class A2, 5.000%, 06/25/34		195
	665	Series 2004-QS10, Class A6, 6.000%, 07/25/34		686
	2,000	Series 2005-QA6, Class A32, VAR, 5.606%, 05/25/35		1,126
	309	Series 2005-QA10, Class A31, VAR, 3.677%, 09/25/35		199
	631	Series 2007-QS1, Class 1A1, 6.000%, 01/25/37		429
		Residential Asset Securitization Trust,
	87	Series 2002-A13, Class A4, 5.250%, 12/25/17		89
	665	Series 2003-A5, Class A1, 5.500%, 06/25/33		679
	499	Series 2003-A13, Class A3, 5.500%, 01/25/34		499
	133	Series 2003-A14, Class A1, 4.750%, 02/25/19		135
	964	Series 2004-IP2, Class 1A1, VAR, 2.552%, 12/25/34		864
	6,785	Series 2005-A2, Class A4, IF, IO, 4.806%, 03/25/35		700
	3,586	Series 2005-A16, Class AX, IO, 5.750%, 02/25/36		730
	1,257	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		839
	781	Series 2006-A6, Class 2A13, 6.000%, 07/25/36		578
		Residential Funding Mortgage Securities I,
	1,556	Series 2003-S4, Class A4, 5.750%, 03/25/33		1,636
	1,554	Series 2003-S13, Class A3, 5.500%, 06/25/33		1,606

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	252	Series 2003-S14, Class A4, PO, 07/25/18		218
	684	Series 2003-S16, Class A3, 5.000%, 09/25/18		706
	679	Series 2003-S20, Class 2A1, 4.750%, 12/25/18		695
	616	Series 2004-S6, Class 2A6, PO, 06/25/34		452
	870	Series 2005-SA4, Class 1A1, VAR, 2.884%, 09/25/35		618
		Residential Funding Securities LLC,
	29	Series 2002-RM1, Class API, PO, 12/25/17		28
	52	Series 2003-RM2, Class AP-3, PO, 05/25/33		37
		Salomon Brothers Mortgage Securities VII, Inc.,
	1,501	Series 2003-HYB1, Class A, VAR, 2.736%, 09/25/33		1,438
	91	Series 2003-UP2, Class PO1, PO, 12/25/18		82
		Sequoia Mortgage Trust,
	1,787	Series 2003-1, Class 1A, VAR, 0.625%, 04/20/33		1,696
	1,201	Series 2004-8, Class A1, VAR, 0.596%, 09/20/34		1,050
	1,883	Series 2004-8, Class A2, VAR, 1.122%, 09/20/34		1,668
	1,559	Series 2004-10, Class A1A, VAR, 0.555%, 11/20/34		1,395
		Springleaf Mortgage Loan Trust,
	3,557	Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		3,612
	2,650	Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		2,650
	2,934	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.916%, 06/25/34		2,895
	1,938	Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.905%, 10/19/34		1,722
		Structured Asset Securities Corp.,
	65	Series 2002-10H, Class 1AP, PO, 05/25/32		48
	237	Series 2003-8, Class 1A2, 5.000%, 04/25/18		243
	505	Series 2003-16, Class A3, VAR, 0.744%, 06/25/33		481
	17	Series 2003-21, Class 1A3, 5.500%, 07/25/33		17
	622	Series 2003-32, Class 1A1, VAR, 5.268%, 11/25/33		651
	400	Series 2003-31A, Class B1, VAR, 2.512%, 10/25/33		162
	1,168	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		1,182
	602	Series 2003-33H, Class 1APO, PO, 10/25/33		456

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 197

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	1,044	Series 2003-34A, Class 3A3, VAR, 2.512%, 11/25/33		966
	4,175	Series 2003-37A, Class 2A, VAR, 5.028%, 12/25/33		4,194
	984	Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m)		987
	3,000	Series 2004-5H, Class A4, 5.540%, 12/25/33		2,927
	714	Series 2005-6, Class 4A1, 5.000%, 05/25/35		704
		Thornburg Mortgage Securities Trust,
	251	Series 2003-4, Class A1, VAR, 0.884%, 09/25/43		238
	240	Series 2004-1, Class II2A, VAR, 1.791%, 03/25/44		219
		Vericrest Opportunity Loan Transferee,
	1,273	Series 2011-NL1A, Class A1, VAR, 5.926%, 12/26/50 (e) (f) (i)		1,281
	2,200	Series 2011-NL1A, Class A2, VAR, 9.077%, 12/26/50 (e) (f) (i)		2,224
	1,088	Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i)		1,092
	2,000	Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i)		2,016
	1,400	Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e)		1,404
	671	Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e)		673
		WaMu Mortgage Pass-Through Certificates,
	122	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		125
	1,433	Series 2003-AR7, Class A7, VAR, 2.443%, 08/25/33		1,418
	1,052	Series 2003-AR8, Class A, VAR, 2.486%, 08/25/33		1,050
	4,038	Series 2003-AR9, Class 1A6, VAR, 2.461%, 09/25/33		4,004
	1,037	Series 2003-AR9, Class 2A, VAR, 2.545%, 09/25/33		1,047
	1,573	Series 2003-S1, Class A5, 5.500%, 04/25/33		1,654
	381	Series 2003-S3, Class 1A4, 5.500%, 06/25/33		389
	203	Series 2003-S7, Class A1, 4.500%, 08/25/18		208
	610	Series 2003-S8, Class A4, 4.500%, 09/25/18		616
	808	Series 2003-S8, Class A6, 4.500%, 09/25/18		840
	4,662	Series 2003-S9, Class A8, 5.250%, 10/25/33		4,799
	160	Series 2003-S9, Class P, PO, 10/25/33		124
	313	Series 2003-S11, Class 2A5, IF, 16.379%, 11/25/33		327
	261	Series 2004-AR3, Class A1, VAR, 2.549%, 06/25/34		257

PRINCIPAL AMOUNT($)	SECURITY DESCRIPTION	VALUE($)
	Non-Agency CMO — Continued
1,769	Series 2004-AR3, Class A2, VAR, 2.549%, 06/25/34	1,741
1,507	Series 2004-CB2, Class 5A, 5.000%, 07/25/19	1,548
417	Series 2004-CB2, Class 7A, 5.500%, 08/25/19	436
690	Series 2004-CB3, Class 4A, 6.000%, 10/25/19	716
663	Series 2004-S1, Class 1A3, VAR, 0.644%, 03/25/34	646
3,672	Series 2004-S2, Class 2A4, 5.500%, 06/25/34	3,764
378	Series 2006-AR10, Class 2P, VAR, 09/25/36	211
	Washington Mutual Alternative Mortgage Pass-Through Certificates,
419	Series 2005-1, Class 1A1, 5.500%, 03/25/35	373
11,742	Series 2005-2, Class 1A4, IF, IO, 4.806%, 04/25/35	1,426
1,357	Series 2005-4, Class CB7, 5.500%, 06/25/35	1,156
331	Series 2005-4, Class DP, PO, 06/25/20	291
1,571	Series 2005-6, Class 2A4, 5.500%, 08/25/35	1,266
15,153	Series 2005-11, Class A4, IF, IO, 4.706%, 01/25/36	2,369
	Washington Mutual MSC Mortgage Pass-Through Certificates,
910	Series 2004-RA2, Class 2A, 7.000%, 07/25/33	951
132	Series 2004-RA4, Class 1P, PO, 04/25/19	115
3,633	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)	3,633
	Wells Fargo Mortgage-Backed Securities Trust,
590	Series 2003-8, Class A9, 4.500%, 08/25/18	614
215	Series 2003-11, Class 1A4, 4.750%, 10/25/18	215
965	Series 2003-11, Class 1A10, 4.750%, 10/25/18	993
302	Series 2003-11, Class 1APO, PO, 10/25/18	256
628	Series 2003-13, Class A7, 4.500%, 11/25/18	638
123	Series 2003-14, Class 1A1, 4.750%, 12/25/18	127
1,014	Series 2003-15, Class 1A1, 4.750%, 12/25/18	1,048
298	Series 2003-16, Class 2A1, 4.500%, 12/25/18	305
8,394	Series 2003-16, Class 2AIO, IO, VAR, 0.115%, 12/25/18	18
609	Series 2003-17, Class APO, PO, 01/25/34	457
751	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33	760
206	Series 2003-K, Class 1A2, VAR, 4.430%, 11/25/33	212

SEE NOTES TO FINANCIAL STATEMENTS.

198 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	470	Series 2004-1, Class A11, PO, 02/25/34		354
	312	Series 2004-2, Class APO, PO, 01/25/19		267
	223	Series 2004-7, Class 2A1, 4.500%, 07/25/19		228
	770	Series 2004-7, Class 2A2, 5.000%, 07/25/19		794
	375	Series 2004-B, Class A1, VAR, 4.914%, 02/25/34		384
	845	Series 2004-BB, Class A4, VAR, 2.618%, 01/25/35		844
	1,963	Series 2004-EE, Class 2A1, VAR, 2.707%, 12/25/34		1,922
	245	Series 2004-EE, Class 2A2, VAR, 2.707%, 12/25/34		243
	1,058	Series 2004-EE, Class 3A1, VAR, 2.749%, 12/25/34		1,056
	2,433	Series 2004-I, Class 1A1, VAR, 2.692%, 07/25/34		2,375
	5,656	Series 2004-P, Class 2A1, VAR, 2.677%, 09/25/34		5,571
	170	Series 2004-Q, Class 1A3, VAR, 2.636%, 09/25/34		168
	3,206	Series 2004-U, Class A1, VAR, 2.716%, 10/25/34		3,162
	1,427	Series 2004-V, Class 1A1, VAR, 2.710%, 10/25/34		1,387
	710	Series 2005-1, Class 2A1, 5.000%, 01/25/20		728
	387	Series 2005-9, Class 1APO, PO, 10/25/35		310
	913	Series 2005-13, Class A1, 5.000%, 11/25/20		958
	77	Series 2005-15, Class APO, PO, 12/25/20		65
	1,354	Series 2005-AR8, Class 2A1, VAR, 2.686%, 06/25/35		1,279
	652	Series 2005-AR16, Class 2A1, VAR, 2.652%, 02/25/34		618
	2,200	Series 2007-7, Class A7, 6.000%, 06/25/37		2,074
	1,422	Series 2007-11, Class A14, 6.000%, 08/25/37		1,336
				588,453
		Total Collateralized Mortgage Obligations (Cost $1,713,412)		1,816,812
	Commercial Mortgage-Backed Securities — 1.4%
		Banc of America Commercial Mortgage, Inc.,
	700	Series 2005-3, Class A4, 4.668%, 07/10/43		769
	800	Series 2005-3, Class AM, 4.727%, 07/10/43		846
	500	Series 2005-5, Class A4, VAR, 5.115%, 10/10/45		558
	1,000	Series 2006-3, Class A4, VAR, 5.889%, 07/10/44		1,126
	2,000	Series 2006-4, Class A4, 5.634%, 07/10/46		2,269

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Bear Stearns Commercial Mortgage Securities,
	1,000	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		1,078
	500	Series 2006-PW11, Class A4, VAR, 5.459%, 03/11/39		565
	1,446	CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48		1,599
	4,027	FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e)		4,195
	26,687	GS Mortgage Securities Corp. II, Series 2006-GG8, Class X, IO, VAR, 0.619%, 11/10/39 (e)		579
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	2,000	Series 2003-PM1A, Class A4, VAR, 5.326%, 08/12/40		2,102
	1,200	Series 2004-CB8, Class A4, 4.404%, 01/12/39		1,268
	105,464	Series 2006-CB15, Class X1, IO, VAR, 0.076%, 06/12/43		722
		LB-UBS Commercial Mortgage Trust,
	1,708	Series 2004-C2, Class A4, 4.367%, 03/15/36		1,796
	65,533	Series 2006-C1, Class XCL, IO, VAR, 0.154%, 02/15/41 (e)		763
	500	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.661%, 05/12/39		569
		Morgan Stanley Capital I,
	2,500	Series 2004-HQ4, Class A7, 4.970%, 04/14/40		2,663
	250	Series 2007-T27, Class A4, VAR, 5.638%, 06/11/42		290
	1,213	Series 2011-C3, Class A3, 4.054%, 07/15/49		1,304
		Morgan Stanley Reremic Trust,
	740	Series 2009-IO, Class A1, 3.000%, 07/17/56 (e)		744
	4,000	Series 2009-IO, Class A2, 5.000%, 07/17/56 (e)		4,095
	375	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		375
	4,500	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		4,784
	3,738	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		3,750
		Wachovia Bank Commercial Mortgage Trust,
	1,118	Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		1,206
	139,148	Series 2006-C24, Class XC, IO, VAR, 0.041%, 03/15/45 (e)		572

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 199

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	1,250	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,361
		Total Commercial Mortgage-Backed Securities (Cost $40,610)		41,948
	Mortgage Pass-Through Securities — 30.3%
		Federal Home Loan Mortgage Corp.,
	254	ARM, 2.117%, 10/01/36		266
	568	ARM, 2.189%, 10/01/36		598
	336	ARM, 2.289%, 08/01/36		354
	295	ARM, 2.355%, 12/01/33		310
	189	ARM, 2.387%, 03/01/35		200
	353	ARM, 2.473%, 11/01/36		376
	1,065	ARM, 2.486%, 03/01/37		1,138
	435	ARM, 2.492%, 05/01/36		458
	546	ARM, 2.499%, 11/01/36		583
	344	ARM, 2.506%, 04/01/34		363
	286	ARM, 2.538%, 09/01/36		305
	440	ARM, 2.649%, 12/01/35		467
	150	ARM, 2.657%, 07/01/37		161
	338	ARM, 2.839%, 03/01/36		359
	1,330	ARM, 2.882%, 10/01/36		1,416
	370	ARM, 2.955%, 12/01/36		392
	70	ARM, 3.020%, 01/01/30		74
	280	ARM, 3.158%, 02/01/37		298
	680	ARM, 3.270%, 03/01/36		728
	298	ARM, 4.394%, 02/01/37		316
	322	ARM, 4.617%, 05/01/38		340
	402	ARM, 4.831%, 04/01/38		426
	809	ARM, 4.994%, 01/01/35		866
	147	ARM, 5.471%, 02/01/37		155
	240	ARM, 5.707%, 05/01/37		255
	207	ARM, 6.002%, 10/01/37		221
	1,685	ARM, 6.006%, 11/01/36		1,794
	847	ARM, 6.024%, 06/01/36		910
	194	ARM, 6.066%, 10/01/36		210
	364	ARM, 6.168%, 09/01/37		385
	262	ARM, 6.385%, 02/01/37		285
	639	ARM, 6.664%, 11/01/36		689
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	220	3.500%, 05/01/19		231
	4,608	4.000%, 07/01/18 - 06/01/19 (m)		4,888
	1,864	4.500%, 07/01/14 - 10/01/18		1,942
	311	5.000%, 12/01/18		335
	14,688	5.500%, 06/01/17 - 01/01/24		15,953
	3,170	6.000%, 06/01/17 - 03/01/22		3,415

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	730	6.500%, 01/01/13 - 03/01/22		795
	337	7.000%, 01/01/17 - 07/01/17		364
	2	7.500%, 10/01/14 - 12/01/15		2
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	4,495	5.500%, 04/01/27 - 03/01/28		4,895
	1,002	6.000%, 01/01/14 - 02/01/24		1,102
	1,933	6.500%, 05/01/22 - 01/01/28		2,159
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	1,762	4.000%, 10/01/33		1,858
	9,474	4.500%, 05/01/41		10,071
	11,979	5.000%, 05/01/36 - 08/01/40		12,913
	8,346	5.500%, 01/01/33 - 03/01/40		9,121
	1,059	6.000%, 11/01/28 - 12/01/33		1,185
	7,389	6.500%, 05/01/24 - 03/01/38 (m)		8,371
	1,557	7.000%, 07/01/29 - 10/01/36		1,805
	233	7.500%, 09/01/38		282
	44	8.500%, 08/01/30		51
		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	1,619	7.500%, 01/01/32 - 12/01/36		1,915
	1,074	10.000%, 10/01/30		1,288
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	8,007	5.500%, 02/01/18 - 12/01/35		8,655
	4,242	6.000%, 02/01/33 - 12/01/34		4,655
	7,777	6.500%, 11/01/36 - 10/17/38		8,759
	433	7.000%, 12/01/14 - 08/01/47		481
	103	10.500%, 07/20/21		117
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	9	7.500%, 03/01/17 - 05/01/17		9
	8	8.750%, 06/01/17		8
	4	10.500%, 05/01/19		4
	8	12.000%, 08/01/15 - 07/01/19		9
		Federal National Mortgage Association,
	2,300	ARM, 0.844%, 03/01/22		2,301
	5,000	ARM, 0.864%, 12/01/20		5,000
	4,000	ARM, 1.000%, 03/01/22		4,000
	3,096	ARM, 1.031%, 01/01/19		3,096
	19	ARM, 1.911%, 03/01/19		19
	689	ARM, 1.918%, 08/01/34		720
	525	ARM, 1.987%, 09/01/36		549
	273	ARM, 2.051%, 01/01/33		285
	3,709	ARM, 2.056%, 01/01/35 (m)		3,918

SEE NOTES TO FINANCIAL STATEMENTS.

200 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	400	ARM, 2.062%, 10/01/34		421
	618	ARM, 2.120%, 02/01/35		652
	1,098	ARM, 2.120%, 05/01/35		1,159
	338	ARM, 2.126%, 01/01/36		352
	244	ARM, 2.236%, 04/01/34		254
	331	ARM, 2.273%, 02/01/35		350
	150	ARM, 2.277%, 11/01/33		158
	581	ARM, 2.297%, 11/01/33		615
	388	ARM, 2.315%, 10/01/34		412
	530	ARM, 2.320%, 10/01/34		562
	425	ARM, 2.332%, 06/01/34		448
	286	ARM, 2.340%, 09/01/35		304
	351	ARM, 2.347%, 08/01/34		369
	378	ARM, 2.352%, 09/01/34		401
	327	ARM, 2.379%, 06/01/35		347
	794	ARM, 2.381%, 07/01/33		842
	1,134	ARM, 2.405%, 04/01/35		1,198
	586	ARM, 2.409%, 10/01/34		622
	433	ARM, 2.417%, 10/01/36		461
	479	ARM, 2.452%, 05/01/34		504
	163	ARM, 2.466%, 05/01/35		173
	192	ARM, 2.470%, 05/01/35		205
	247	ARM, 2.498%, 04/01/34		262
	505	ARM, 2.500%, 08/01/34		536
	469	ARM, 2.514%, 02/01/34		498
	397	ARM, 2.520%, 07/01/36		422
	687	ARM, 2.547%, 10/01/34		726
	401	ARM, 2.560%, 09/01/33		426
	139	ARM, 2.565%, 01/01/34		147
	821	ARM, 2.572%, 06/01/36		878
	400	ARM, 2.592%, 08/01/36		426
	584	ARM, 2.651%, 12/01/36		624
	780	ARM, 2.671%, 04/01/35		819
	236	ARM, 2.794%, 12/01/36		252
	288	ARM, 2.825%, 10/01/36		305
	7,109	ARM, 3.071%, 03/01/36		7,503
	29	ARM, 3.084%, 09/01/27		31
	493	ARM, 3.830%, 11/01/37		527
	104	ARM, 3.898%, 03/01/29		110
	350	ARM, 3.926%, 11/01/36		371
	1,005	ARM, 4.326%, 07/01/37		1,062
	908	ARM, 4.851%, 12/01/37		964
	656	ARM, 4.935%, 07/01/33		700
	355	ARM, 5.236%, 01/01/38		379
	162	ARM, 5.514%, 07/01/37		173
	3,860	ARM, 5.611%, 01/01/23		4,200

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	2,474	ARM, 6.070%, 11/01/18		2,681
		Federal National Mortgage Association, 15 Year, Single Family,
	918	3.500%, 08/01/18		965
	8,369	4.000%, 07/01/18 - 12/01/18 (m)		8,925
	4,231	4.500%, 07/01/18 - 09/01/20		4,590
	3,671	5.000%, 12/01/16 - 08/01/24		3,984
	7,323	5.500%, 11/01/18 - 11/01/23		7,991
	12,669	6.000%, 06/01/16 - 07/01/24		13,695
	2,473	6.500%, 09/01/13 - 02/01/24		2,729
	1,417	7.000%, 12/01/16 - 08/01/21		1,543
	76	7.500%, 03/01/17 - 10/01/17		83
	58	8.000%, 11/01/12 - 01/01/16		61
		Federal National Mortgage Association, 20 Year, Single Family,
	7,926	3.500%, 12/01/30		8,296
	2,797	5.000%, 10/01/25		3,049
	1,306	5.500%, 02/01/23 - 08/01/23		1,433
	9,737	6.000%, 04/01/24 - 09/01/29		10,733
	2,575	6.500%, 06/01/16 - 12/01/27		2,890
	60	7.500%, 09/01/21		70
		Federal National Mortgage Association, 30 Year, FHA/VA,
	78	6.000%, 09/01/33		87
	6,217	6.500%, 02/01/29 - 08/01/39		7,119
	245	7.000%, 10/01/28 - 02/01/33		287
	75	8.000%, 06/01/28		90
	20	8.500%, 03/01/30 - 06/01/30		24
	322	9.000%, 05/01/18 - 06/01/31		379
	14	10.000%, 07/01/19		15
	14	10.500%, 11/01/18		14
	28	11.000%, 04/01/19		30
		Federal National Mortgage Association, 30 Year, Single Family,
	4,263	4.000%, 08/01/33 - 04/01/34		4,535
	2,594	4.500%, 05/01/29 - 09/01/34		2,777
	17,622	5.000%, 05/01/33 - 08/01/40		19,098
	37,163	5.500%, 11/01/32 - 10/01/39		40,664
	7,278	6.000%, 12/01/28 - 09/01/36		8,109
	32	6.250%, 07/01/23		35
	19,645	6.500%, 11/01/29 - 10/01/38		22,283
	8,897	7.000%, 04/01/20 - 01/01/39		10,222
	5,174	7.500%, 08/01/36 - 04/01/39		6,251
	1,073	8.000%, 03/01/27 - 10/01/36		1,301
	134	8.500%, 12/01/27 - 02/01/30		162
	1	9.000%, 04/01/26		1

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 201

JPMorgan Mortgage-Backed Securities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	9	9.500%, 07/01/28		10
	9	10.000%, 02/01/24		10
	9	12.500%, 01/01/16		10
		Federal National Mortgage Association, Other,
	4,992	1.940%, 01/01/17		5,111
	5,000	1.990%, 01/01/17		4,998
	8,212	2.140%, 04/01/19		8,223
	1,464	2.490%, 10/01/17		1,517
	5,000	2.620%, 10/01/17		5,202
	3,000	2.690%, 10/01/17		3,133
	3,000	2.740%, 05/18/42		3,011
	5,000	2.750%, 03/01/22		5,031
	2,449	2.970%, 11/01/18		2,573
	2,600	2.990%, 02/01/22		2,692
	7,000	3.063%, 09/01/17		7,390
	5,000	3.120%, 01/01/22		5,211
	4,991	3.131%, 01/01/22		5,154
	9,496	3.140%, 02/01/22		9,818
	8,210	3.193%, 01/01/22		8,566
	3,900	3.200%, 02/01/22		4,071
	2,650	3.230%, 11/01/20		2,800
	1,997	3.234%, 01/01/22		2,084
	5,247	3.240%, 01/01/22		5,511
	2,000	3.290%, 10/01/20		2,131
	2,000	3.379%, 11/01/20		2,115
	3,000	3.389%, 10/01/20		3,175
	4,100	3.461%, 11/01/20		4,362
	3,692	3.472%, 10/01/20		3,932
	3,600	3.482%, 11/01/20		3,836
	2,830	3.492%, 01/01/18		3,045
	2,052	3.500%, 11/01/40		2,127
	2,000	3.503%, 08/01/17		2,148
	8,402	3.544%, 09/01/20 - 11/01/21		8,974
	1,986	3.590%, 12/01/20 - 10/01/21		2,133
	2,500	3.596%, 12/01/20		2,681
	2,947	3.600%, 09/01/20		3,179
	6,848	3.621%, 09/01/20		7,358
	5,000	3.638%, 12/01/20		5,395
	10,022	3.658%, 01/01/18 - 10/01/20		10,806
	14,930	3.730%, 06/01/18 (m)		16,327
	20,020	3.740%, 07/01/20 - 09/01/20 (m)		21,660
	1,500	3.751%, 01/01/18		1,627
	3,000	3.802%, 09/01/20		3,247
	2,463	3.810%, 01/01/19		2,689
	5,000	3.890%, 09/01/21		5,468
	7,000	3.895%, 01/01/21 - 08/01/21		7,605

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	2,600	3.926%, 08/01/20		2,828
	1,600	3.930%, 07/01/20		1,755
	6,200	3.957%, 12/01/21		6,729
	3,000	3.960%, 08/01/20		3,296
	2,000	3.980%, 11/01/16		2,132
	2,480	3.988%, 07/01/21		2,709
	3,000	3.999%, 01/01/21		3,280
	995	4.000%, 11/01/33		1,021
	1,600	4.040%, 10/01/20		1,765
	2,000	4.061%, 01/01/21		2,195
	20,175	4.081%, 07/01/20 - 07/01/21 (m)		22,143
	5,952	4.102%, 06/01/21 - 07/01/21		6,536
	2,380	4.123%, 07/01/21		2,618
	2,448	4.130%, 07/01/20		2,725
	2,370	4.160%, 03/01/21		2,634
	3,979	4.185%, 08/01/21		4,390
	8,000	4.195%, 07/01/21		8,838
	8,000	4.201%, 07/01/20		8,723
	2,300	4.205%, 10/01/21		2,542
	11,364	4.216%, 11/01/26		11,850
	1,959	4.257%, 04/01/20		2,168
	4,698	4.288%, 08/01/21		5,218
	4,000	4.290%, 06/01/20		4,473
	6,403	4.298%, 07/01/21		7,115
	5,821	4.319%, 12/01/19		6,462
	2,705	4.330%, 02/01/21 - 07/01/21		3,036
	4,000	4.350%, 04/01/20		4,488
	4,579	4.371%, 03/01/20		5,098
	4,067	4.380%, 01/01/21 - 04/01/21		4,575
	4,500	4.381%, 06/01/21		5,022
	2,000	4.391%, 04/01/21		2,233
	7,286	4.399%, 02/01/20		8,199
	24,286	4.424%, 01/01/20 (m)		27,112
	4,930	4.443%, 08/01/20 - 04/01/21		5,448
	989	4.444%, 01/01/21		1,112
	7,933	4.453%, 06/01/21		8,894
	2,482	4.464%, 06/01/21		2,784
	9,000	4.484%, 06/01/21		10,103
	2,069	4.495%, 02/01/21		2,322
	159	4.500%, 08/01/33		169
	3,918	4.514%, 04/01/20		4,414
	4,902	4.515%, 02/01/20		5,517
	4,903	4.530%, 12/01/19		5,548
	4,482	4.540%, 01/01/20		5,067
	5,800	4.546%, 02/01/20		6,524
	3,781	4.552%, 08/01/26		4,247

SEE NOTES TO FINANCIAL STATEMENTS.

202 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	5,979	4.629%, 02/01/21 - 06/01/21		6,763
	1,500	4.701%, 04/01/21		1,702
	2,981	4.762%, 08/01/26		3,410
	4,947	4.794%, 01/01/21		5,622
	2,862	5.000%, 04/01/22 - 01/01/36		3,131
	4,238	5.135%, 02/01/31		4,764
	4,761	5.500%, 03/01/17 - 04/01/38		5,085
	7,281	6.000%, 02/01/36 - 11/01/39		7,857
	788	6.500%, 10/01/35 - 06/01/36		883
	2,258	7.000%, 12/01/36 - 10/01/46		2,557
	26	10.195%, 06/15/21		30
	1	10.250%, 07/15/13		1
	6	11.000%, 08/20/20		7
	111	Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 04/20/17		121
		Government National Mortgage Association II, 30 Year, Single Family,
	411	3.500%, 09/20/33		434
	1,741	5.500%, 09/20/39		1,931
	23,267	6.000%, 09/20/38 - 08/20/39		26,146
	4,069	6.500%, 10/20/33 - 01/20/39		4,665
	24	7.500%, 02/20/28 - 09/20/28		29
	38	8.000%, 06/20/26 - 11/20/28		45
	22	8.500%, 03/20/25 - 05/20/25		27
		Government National Mortgage Association II, Other,
	1,144	6.000%, 11/20/38		1,252
	1,341	6.500%, 09/20/34		1,540
		Government National Mortgage Association, 15 Year, Single Family,
	305	6.000%, 06/15/18		337
	68	7.000%, 09/15/14 - 10/15/16		73
	56	7.500%, 11/15/17		63
	149	8.000%, 01/15/16		162
		Government National Mortgage Association, 20 Year, Single Family,
	564	6.500%, 08/15/22 - 11/15/23		656
	57	7.000%, 08/15/23		65
		Government National Mortgage Association, 30 Year, Single Family,
	98	6.375%, 08/15/26		113
	3,934	6.500%, 10/15/27 - 04/15/33		4,549
	3,098	7.000%, 09/15/31 - 03/15/37		3,654
	113	7.500%, 11/15/22 - 01/15/33		123
	11	8.000%, 09/15/22 - 04/15/28		12
	14	9.000%, 02/15/30 - 01/15/31		14

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,002	9.500%, 10/15/24		1,196
	9	11.000%, 01/15/21		10
		Total Mortgage Pass-Through Securities (Cost $889,286)		928,807
	U.S. Government Agency Securities — 0.3%
	1,000	Federal Home Loan Mortgage Corp., 5.500%, 08/23/17		1,227
		Federal National Mortgage Association,
	3,000	Zero Coupon, 06/01/17		2,780
	3,000	Zero Coupon, 07/05/14		2,937
	2,000	5.375%, 06/12/17		2,433
		Total U.S. Government Agency Securities (Cost $8,664)		9,377
	U.S. Treasury Obligations — 0.5%
	350	U.S. Treasury Bonds, 8.500%, 02/15/20		534
		U.S. Treasury Notes,
	470	1.375%, 11/30/18		471
	1,737	3.125%, 05/15/19		1,940
		U.S. Treasury STRIPS,
	3,000	02/15/15		2,957
	129	02/15/16		126
	486	02/15/17		464
	700	05/15/19		627
	6,339	05/15/20		5,488
	500	08/15/20		429
	150	02/15/25		106
	200	08/15/28		122
	500	02/15/29		300
	650	11/15/30		366
		Total U.S. Treasury Obligations (Cost $12,655)		13,930
	Short-Term Investment — 7.3%
		Investment Company — 7.3%
	223,214	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $223,214)		223,214
		Total Investments — 101.9% (Cost $2,972,900)		3,117,701
		Liabilities in Excess of Other Assets — (1.9)%		(58,482	)
		NET ASSETS — 100.0%	$	3,059,219

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 203

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 7.3%
	9,130	Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.424%, 04/25/36		7,720
		AH Mortgage Advance Trust, (Cayman Islands),
	5,014	Series SART-1, Class A1, 2.630%, 05/10/42 (e)		4,999
	9,094	Series SART-3, Class 1A1, 2.980%, 03/13/43 (e)		9,114
		Ally Auto Receivables Trust,
	1,813	Series 2009-A, Class A3, 2.330%, 06/17/13 (e)		1,821
	3,413	Series 2009-B, Class A3, 1.980%, 10/15/13 (e)		3,428
	2,833	Series 2010-1, Class A3, 1.450%, 05/15/14		2,848
	2,000	Series 2010-1, Class A4, 2.300%, 12/15/14		2,048
	11,850	Series 2010-1, Class C, 3.610%, 08/15/16 (e)		12,305
	1,443	Series 2010-2, Class A3, 1.380%, 07/15/14		1,450
	6,076	Series 2010-3, Class A3, 1.110%, 10/15/14		6,106
	8,860	Series 2010-3, Class A4, 1.550%, 08/17/15		8,993
	2,500	Series 2010-4, Class A4, 1.350%, 12/15/15		2,526
	5,000	Series 2010-5, Class A4, 1.750%, 03/15/16		5,081
	8,800	Series 2011-1, Class A3, 1.380%, 01/15/15		8,877
	2,350	Series 2011-3, Class A3, 0.970%, 08/17/15		2,360
	6,877	Series 2012-1, Class A3, 0.930%, 02/16/16		6,891
	4,312	Series 2012-1, Class A4, 1.210%, 07/15/16		4,321
	3,200	American Credit Acceptance Receivables Trust, Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		3,200
		AmeriCredit Automobile Receivables Trust,
	2,714	Series 2009-1, Class A3, 3.040%, 10/15/13		2,728
	2,193	Series 2010-1, Class A3, 1.660%, 03/17/14		2,197
	6,600	Series 2010-3, Class A3, 1.140%, 04/08/15		6,627
	6,404	Series 2010-A, Class A3, 3.510%, 07/06/17		6,594
	1,113	Series 2010-B, Class A2, 1.180%, 02/06/14		1,113
	2,000	Series 2010-B, Class A3, 2.490%, 11/06/17		2,046
	761	Series 2011-1, Class A2, 0.840%, 06/09/14		762
	8,245	Series 2011-1, Class A3, 1.390%, 09/08/15		8,296
	3,599	Series 2011-3, Class A3, 1.170%, 01/08/16		3,610
	9,214	Series 2011-4, Class A3, 1.170%, 05/09/16		9,232
	11,788	Series 2011-5, Class A3, 1.550%, 07/08/16		11,887
	3,827	Series 2012-1, Class A2, 0.910%, 10/08/15		3,832
	2,277	Series 2012-1, Class A3, 1.230%, 09/08/16		2,282
	89	Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.369%, 08/25/32		56

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Bank of America Auto Trust,
	249	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		249
	24,552	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		24,912
	2,440	Series 2009-2A, Class A3, 2.130%, 09/15/13 (e)		2,444
	21,649	Series 2009-2A, Class A4, 3.030%, 10/15/16 (e)		21,971
	1,983	Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)		1,987
	4,154	Series 2009-3A, Class A4, 2.670%, 12/15/16 (e)		4,228
	2,613	Series 2010-1A, Class A3, 1.390%, 03/15/14 (e)		2,620
	4,120	Series 2010-1A, Class A4, 2.180%, 02/15/17 (e)		4,190
	2,690	Series 2010-2, Class A3, 1.310%, 07/15/14		2,700
	5,100	Series 2010-2, Class A4, 1.940%, 06/15/17		5,186
		Bear Stearns Asset-Backed Securities Trust,
	770	Series 2003-SD2, Class 2A, VAR, 2.997%, 06/25/43		715
	842	Series 2006-SD1, Class A, VAR, 0.614%, 04/25/36		657
	16,600	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		16,594
	4,863	Capital Auto Receivables Asset Trust, Series 2008-1, Class A4A, 4.460%, 07/15/14		4,901
		CarMax Auto Owner Trust,
	208	Series 2008-1, Class A4A, 4.790%, 02/15/13		209
	2,405	Series 2010-1, Class A3, 1.560%, 07/15/14		2,417
	6,895	Series 2010-1, Class A4, 2.400%, 04/15/15		7,048
	10,626	Series 2010-2, Class A3, 1.410%, 02/16/15		10,689
	27,905	Series 2010-3, Class A4, 1.410%, 02/16/16		28,234
	3,200	Series 2011-1, Class A3, 1.290%, 09/15/15		3,225
	8,900	Series 2011-1, Class A4, 2.160%, 09/15/16		9,128
	1,736	Series 2011-2, Class A4, 1.350%, 02/15/17		1,750
	9,788	Series 2011-3, Class A3, 1.070%, 06/15/16		9,787
	4,703	Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31		4,371
		Chrysler Financial Auto Securitization Trust,
	8,481	Series 2009-A, Class A3, 2.820%, 01/15/16		8,530
	5,632	Series 2010-A, Class A3, 0.910%, 08/08/13		5,638
	5,450	Series 2010-A, Class B, 1.650%, 11/08/13		5,446

SEE NOTES TO FINANCIAL STATEMENTS.

204 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	2,500	Citibank Credit Card Issuance Trust, Series 2008-A5, Class A5, 4.850%, 04/22/15		2,623
		CitiFinancial Auto Issuance Trust,
	13,477	Series 2009-1, Class A3, 2.590%, 10/15/13 (e)		13,554
	18,780	Series 2009-1, Class A4, 3.150%, 08/15/16 (e)		19,152
		CNH Equipment Trust,
	2,276	Series 2010-A, Class A3, 1.540%, 07/15/14		2,282
	3,575	Series 2011-B, Class A4, 1.290%, 09/15/17		3,575
	1,581	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.844%, 10/25/34		841
	1,388	Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.554%, 11/25/35		1,291
	109	CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32		102
	640	Daimler Chrysler Auto Trust, Series 2008-A, Class A4, 4.480%, 08/08/14		640
		Discover Card Master Trust,
	1,255	Series 2008-A4, Class A4, 5.650%, 12/15/15		1,339
	7,405	Series 2012-A1, Class A1, 0.810%, 08/15/17		7,404
		Ford Credit Auto Owner Trust,
	22,877	Series 2009-A, Class A4, 6.070%, 05/15/14		23,510
	1,867	Series 2009-B, Class A3, 2.790%, 08/15/13		1,874
	6,600	Series 2009-B, Class A4, 4.500%, 07/15/14		6,809
	1,286	Series 2009-D, Class A3, 2.170%, 10/15/13		1,292
	2,997	Series 2009-E, Class A3, 1.510%, 01/15/14		3,007
	647	Series 2010-B, Class A3, 0.980%, 10/15/14		649
	5,250	Series 2010-B, Class A4, 1.580%, 09/15/15		5,333
	5,394	Series 2011-B, Class A3, 0.840%, 06/15/15		5,412
	10,500	Series 2011-B, Class A4, 1.350%, 12/15/16		10,621
	7,364	Series 2012-A, Class A3, 0.840%, 08/15/16		7,383
	9,620	GE Capital Credit Card Master Note Trust, Series 2009-4, Class A, 3.800%, 11/15/17		10,363
	105	GSAA Trust, Series 2006-3, Class A1, VAR, 0.324%, 03/25/36		45
		Harley-Davidson Motorcycle Trust,
	1,557	Series 2007-2, Class A4, 5.120%, 08/15/13		1,563
	224	Series 2007-3, Class A4, 5.520%, 11/15/13		225
	31	Series 2009-1, Class A3, 3.190%, 11/15/13		31
	7,640	Series 2009-1, Class A4, 4.550%, 01/15/17		7,723

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	1,467	Series 2009-3, Class A3, 1.740%, 09/15/13		1,469
	3,000	Series 2011-1, Class A3, 0.960%, 05/16/16		3,008
		Honda Auto Receivables Owner Trust,
	22	Series 2009-2, Class A3, 2.790%, 01/15/13		22
	467	Series 2009-3, Class A3, 2.310%, 05/15/13		468
	1,430	Series 2009-3, Class A4, 3.300%, 09/15/15		1,453
	2,728	Series 2010-1, Class A3, 1.250%, 10/21/13		2,736
	4,270	Series 2012-1, Class A3, 0.770%, 01/15/16		4,270
	2,747	Series 2012-1, Class A4, 0.970%, 04/16/18		2,747
		HSBC Home Equity Loan Trust,
	9,192	Series 2005-2, Class A1, VAR, 0.515%, 01/20/35		8,588
	10,767	Series 2005-2, Class M1, VAR, 0.706%, 01/20/35		9,797
	4,996	Series 2005-2, Class M2, VAR, 0.736%, 01/20/35		4,483
	7,349	Series 2006-1, Class A1, VAR, 0.406%, 01/20/36		6,661
	7,777	Series 2006-2, Class A1, VAR, 0.395%, 03/20/36		7,171
	14,642	Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36		14,866
	8,237	Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36		8,460
	6,798	Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36		6,829
	4,242	Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36		4,279
	7,728	Series 2007-3, Class APT, VAR, 1.446%, 11/20/36		6,813
		Hyundai Auto Receivables Trust,
	2,111	Series 2009-A, Class A3, 2.030%, 08/15/13		2,118
	585	Series 2010-A, Class A3, 1.500%, 10/15/14		589
	4,300	Series 2010-B, Class A3, 0.970%, 04/15/15		4,316
	34,640	Series 2010-B, Class A4, 1.630%, 03/15/17		35,306
	2,395	Series 2011-A, Class A3, 1.160%, 04/15/15		2,412
	9,185	Series 2011-A, Class A4, 1.780%, 12/15/15		9,377
	1,522	Series 2011-B, Class A3, 1.040%, 09/15/15		1,531
	1,422	Series 2011-B, Class A4, 1.650%, 02/15/17		1,449
	11,770	Series 2012-A, Class A3, 0.720%, 03/15/16		11,769
	5,436	Series 2012-A, Class A4, 0.950%, 12/15/16		5,435
		John Deere Owner Trust,
	684	Series 2009-B, Class A3, 1.570%, 10/15/13		684
	7,660	Series 2012-A, Class A3, 0.750%, 03/15/16		7,659
	1,909	Series 2012-A, Class A4, 0.990%, 06/15/18		1,909
	99	Mastr Asset-Backed Securities Trust, Series 2005-HE2, Class A3, VAR, 0.514%, 10/25/35		98

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 205

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	5,050	Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14		5,079
	1,179	Mid-State Trust, Series 6, Class A1, 7.340%, 07/01/35		1,227
	960	Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.494%, 03/25/33		416
	1,032	MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.344%, 12/25/31		782
	13,464	NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.607%, 12/07/20		13,508
		Nissan Auto Receivables Owner Trust,
	477	Series 2009-1, Class A3, 5.000%, 09/15/14		482
	5,670	Series 2010-A, Class A3, 0.870%, 07/15/14		5,685
	1,500	Series 2010-A, Class A4, 1.310%, 09/15/16		1,516
	4,978	Series 2012-A, Class A3, 0.730%, 05/16/16		4,976
	1,798	Series 2012-A, Class A4, 1.000%, 07/16/18		1,796
	42	Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32		38
	16	Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25		15
		Santander Drive Auto Receivables Trust,
	313	Series 2010-2, Class A2, 0.950%, 08/15/13		313
	16,200	Series 2010-3, Class A3, 1.200%, 06/16/14		16,202
	2,440	Series 2010-A, Class A3, 1.830%, 11/17/14 (e)		2,459
	7,018	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		7,152
	1,482	Series 2011-1, Class A3, 1.280%, 01/15/15		1,485
	2,786	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		2,784
	9,117	Series 2011-S2A, Class C, 2.860%, 06/15/17 (e)		9,110
	8,515	Series 2011-S2A, Class D, 3.350%, 06/15/17 (e)		8,504
	6,742	Series 2012-1, Class A2, 1.250%, 04/15/15		6,754
	8,183	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.514%, 06/25/35		7,714
		Toyota Auto Receivables Owner Trust,
	7,710	Series 2010-C, Class A3, 0.770%, 04/15/14		7,722
	8,300	Series 2011-A, Class A4, 1.560%, 05/15/15		8,437
		USAA Auto Owner Trust,
	2,013	Series 2009-2, Class A3, 1.540%, 02/18/14		2,017
	1,570	Series 2009-2, Class A4, 2.530%, 07/15/15		1,600

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	8,936		Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		8,959
			World Omni Auto Receivables Trust,
	1,137		Series 2008-A, Class A4, 4.740%, 10/15/13		1,148
	1,156		Series 2008-B, Class A4, 5.580%, 04/15/14		1,178
	1,705		Series 2010-A, Class A3, 1.340%, 12/16/13		1,708
	11,865		Series 2010-A, Class A4, 2.210%, 05/15/15		12,084
			Total Asset-Backed Securities (Cost $801,418)		805,441
	Collateralized Mortgage Obligations — 10.6%
			Agency CMO — 7.6%
			Federal Home Loan Mortgage Corp. - Government National Mortgage Association,
	1,227		Series 31, Class Z, 8.000%, 04/25/24		1,407
	181		Series 56, Class Z, 7.500%, 09/20/26		211
			Federal Home Loan Mortgage Corp. REMICS,
	13		Series 2, Class Z, 9.300%, 03/15/19		14
	7		Series 12, Class A, 9.250%, 11/15/19		8
	17		Series 16, Class D, 10.000%, 10/15/19		19
	29		Series 17, Class I, 9.900%, 10/15/19		32
	48		Series 23, Class F, 9.600%, 04/15/20		53
	18		Series 26, Class F, 9.500%, 02/15/20		21
	3		Series 81, Class A, 8.125%, 11/15/20		4
	21		Series 85, Class C, 8.600%, 01/15/21		23
	18		Series 99, Class Z, 9.500%, 01/15/21		20
	3		Series 159, Class H, 4.500%, 09/15/21		3
	5		Series 189, Class D, 6.500%, 10/15/21		5
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		1
	5		Series 1053, Class G, 7.000%, 03/15/21		6
	12		Series 1056, Class KZ, 6.500%, 03/15/21		12
	6		Series 1074, Class H, 8.500%, 05/15/21		7
	19		Series 1082, Class C, 9.000%, 05/15/21		21
	7		Series 1087, Class I, 8.500%, 06/15/21		8
	23		Series 1125, Class Z, 8.250%, 08/15/21		26
	21		Series 1142, Class IA, 7.000%, 10/15/21		24
	3		Series 1169, Class G, 7.000%, 11/15/21		3
	43		Series 1343, Class LA, 8.000%, 08/15/22		52
	10		Series 1424, Class F, VAR, 1.771%, 11/15/22		10
	220		Series 1480, Class LZ, 7.500%, 03/15/23		256
	548		Series 1560, Class Z, 7.000%, 08/15/23		635
	25		Series 1641, Class FA, VAR, 1.200%, 12/15/13		25
	150		Series 1754, Class Z, 8.500%, 09/15/24		169
	349		Series 1779, Class Z, 8.500%, 04/15/25		409

SEE NOTES TO FINANCIAL STATEMENTS.

206 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	7	Series 1807, Class G, 9.000%, 10/15/20		7
	875	Series 1888, Class Z, 7.000%, 08/15/26		1,023
	1,067	Series 2358, Class PD, 6.000%, 09/15/16		1,139
	1,388	Series 2363, Class PF, 6.000%, 09/15/16		1,480
	674	Series 2390, Class CH, 5.500%, 12/15/16		719
	1,448	Series 2418, Class MF, 6.000%, 02/15/22		1,566
	302	Series 2425, Class JH, 6.000%, 03/15/17		328
	1,131	Series 2453, Class BD, 6.000%, 05/15/17		1,203
	742	Series 2458, Class OE, 6.000%, 06/15/17		796
	538	Series 2496, Class BK, 5.500%, 09/15/17		578
	391	Series 2503, Class TG, 5.500%, 09/15/17		421
	431	Series 2508, Class AQ, 5.500%, 10/15/17		465
	1,804	Series 2513, Class DB, 5.000%, 10/15/17		1,922
	43	Series 2533, Class PE, 5.500%, 12/15/21		43
	5,082	Series 2542, Class ES, 5.000%, 12/15/17		5,426
	4,757	Series 2546, Class C, 5.000%, 12/15/17		5,061
	2,277	Series 2561, Class UE, 5.500%, 06/15/22		2,348
	192	Series 2575, Class KA, 5.000%, 11/15/17		197
	10,150	Series 2600, Class MD, 5.500%, 06/15/32		10,637
	906	Series 2617, Class VN, 5.500%, 04/15/14		930
	2,999	Series 2635, Class MS, IF, IO, 7.502%, 02/15/18		254
	6,367	Series 2638, Class JG, 5.000%, 02/15/33		6,943
	15,286	Series 2638, Class MH, 5.000%, 04/15/32		15,999
	21	Series 2640, Class VM, 4.500%, 12/15/21		21
	1,712	Series 2641, Class KJ, 4.000%, 01/15/18		1,762
	441	Series 2643, Class ME, 3.500%, 03/15/18		454
	494	Series 2666, Class OC, 5.500%, 01/15/22		508
	16,903	Series 2682, Class JG, 4.500%, 10/15/23		18,191
	1,535	Series 2692, Class QD, 5.000%, 12/15/22		1,613
	9,990	Series 2707, Class PE, 5.000%, 11/15/18		10,919
	15,000	Series 2707, Class XE, 5.000%, 12/15/22		15,829
	35,000	Series 2750, Class DE, 4.500%, 02/15/19		37,640
	195	Series 2755, Class PA, PO, 02/15/29		194
	3,860	Series 2761, Class CB, 4.000%, 03/15/19		4,141
	2,161	Series 2763, Class PD, 4.500%, 12/15/17		2,200
	816	Series 2765, Class CA, 4.000%, 07/15/17		823
	3,500	Series 2773, Class OB, 5.000%, 02/15/19		3,748
	136	Series 2780, Class YP, 7.500%, 08/15/18		140
	135	Series 2782, Class HE, 4.000%, 09/15/17		137
	900	Series 2812, Class AB, 4.500%, 10/15/18		920
	451	Series 2825, Class VP, 5.500%, 06/15/15		482
	2,539	Series 2836, Class PX, 4.000%, 05/15/18		2,630
	16,891	Series 2843, Class BC, 5.000%, 08/15/19		18,462

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	3,019	Series 2859, Class SA, IF, IO, 7.002%, 11/15/18		136
	4,573	Series 2864, Class NB, 5.500%, 07/15/33		5,167
	1,690	Series 2875, Class HA, 4.000%, 11/15/18		1,739
	1,017	Series 2924, Class DA, 4.500%, 02/15/19		1,042
	349	Series 2927, Class YN, 4.500%, 10/15/32		363
	18,401	Series 2928, Class ND, 5.000%, 10/15/30		18,603
	474	Series 2962, Class WJ, 5.500%, 06/15/24		486
	13,063	Series 2989, Class MU, IF, IO, 6.752%, 07/15/34		2,817
	19,802	Series 2989, Class TG, 5.000%, 06/15/25		21,456
	523	Series 2993, Class MN, 5.000%, 06/15/23		528
	1,266	Series 2995, Class FT, VAR, 0.498%, 05/15/29		1,262
	435	Series 3001, Class YN, 4.500%, 06/15/33		465
	2,823	Series 3002, Class BN, 5.000%, 07/15/35		3,158
	555	Series 3005, Class PV, IF, 12.338%, 10/15/33		632
	1,504	Series 3036, Class NB, 5.000%, 01/15/29		1,520
	310	Series 3047, Class OB, 5.500%, 12/15/33		326
	11,611	Series 3080, Class TZ, 5.500%, 02/15/33		11,827
	375	Series 3197, Class AB, 5.500%, 08/15/13		375
	504	Series 3242, Class PA, 5.750%, 11/15/29		507
	7,008	Series 3305, Class IW, IF, IO, 6.202%, 04/15/37		988
	154	Series 3329, Class JA, 6.000%, 08/15/28		156
	352	Series 3363, Class A, 5.000%, 07/15/16		358
	42,680	Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37		1,013
	11,030	Series 3429, Class S, IF, IO, 6.572%, 03/15/38		1,769
	4,351	Series 3546, Class A, VAR, 5.345%, 02/15/39		4,636
	20,320	Series 3562, Class KA, 4.000%, 11/15/22		20,970
	3,147	Series 3564, Class JA, 4.000%, 01/15/18		3,324
	6,872	Series 3572, Class JS, IF, IO, 6.551%, 09/15/39		1,396
	15,432	Series 3609, Class SA, IF, IO, 6.092%, 12/15/39		3,636
	50,994	Series 3747, Class HI, IO, 4.500%, 07/15/37		6,879
	16,057	Series 3784, Class S, IF, IO, 6.352%, 07/15/23		2,180
	23,741	Series 3855, Class AM, 6.500%, 11/15/36		26,897
	704	Series R008, Class FK, VAR, 0.649%, 07/15/23		704

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 207

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	36		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 6.783%, 09/25/29		38
	10,425		Federal National Mortgage Association, Series 2011-M2, Class A1, 2.019%, 07/25/21		10,599
			Federal National Mortgage Association REMICS,
	14		Series 1988-7, Class Z, 9.250%, 04/25/18		15
	17		Series 1988-13, Class C, 9.300%, 05/25/18		19
	12		Series 1988-15, Class A, 9.000%, 06/25/18		14
	14		Series 1988-16, Class B, 9.500%, 06/25/18		16
	11		Series 1989-2, Class D, 8.800%, 01/25/19		12
	33		Series 1989-27, Class Y, 6.900%, 06/25/19		36
	9		Series 1989-54, Class E, 8.400%, 08/25/19		10
	9		Series 1989-66, Class J, 7.000%, 09/25/19		10
	6		Series 1989-70, Class G, 8.000%, 10/25/19		7
	119		Series 1989-72, Class E, 9.350%, 10/25/19		138
	13		Series 1989-89, Class H, 9.000%, 11/25/19		16
	5		Series 1989-96, Class H, 9.000%, 12/25/19		6
	11		Series 1990-7, Class B, 8.500%, 01/25/20		12
	7		Series 1990-12, Class G, 4.500%, 02/25/20		8
	132		Series 1990-19, Class G, 9.750%, 02/25/20		150
	34		Series 1990-58, Class J, 7.000%, 05/25/20		38
	32		Series 1990-61, Class H, 7.000%, 06/25/20		37
	16		Series 1990-106, Class J, 8.500%, 09/25/20		18
	7		Series 1990-109, Class J, 7.000%, 09/25/20		8
	20		Series 1990-111, Class Z, 8.750%, 09/25/20		22
	9		Series 1990-117, Class E, 8.950%, 10/25/20		10
	10		Series 1990-123, Class G, 7.000%, 10/25/20		12
	11		Series 1990-132, Class Z, 7.000%, 11/25/20		13
	313		Series 1990-137, Class X, 9.000%, 12/25/20		363
	3		Series 1991-53, Class J, 7.000%, 05/25/21		4
	19		Series 1991-130, Class C, 9.000%, 09/25/21		22
	2		Series 1992-96, Class B, PO, 05/25/22		2
	1,960		Series 1992-131, Class KB, 8.000%, 08/25/22		2,279
	1,861		Series 1992-185, Class L, 8.000%, 10/25/22		2,153
	7		Series 1993-165, Class SN, IF, 11.471%, 09/25/23		8
	51		Series 1993-235, Class G, PO, 09/25/23		48
	3,527		Series 1994-15, Class ZK, 5.500%, 02/25/24		3,963
	6,376		Series 1994-43, Class PK, 6.350%, 02/25/24		7,094
	—	(h)	Series 1997-46, Class PN, 6.500%, 07/18/12		—	(h)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	1	Series 1997-55, Class B, 7.000%, 02/18/27		1
	5,701	Series 1999-6, Class PB, 6.000%, 03/25/19		6,193
	22,143	Series 2001-81, Class HE, 6.500%, 01/25/32		25,025
	1,253	Series 2002-2, Class MG, 6.000%, 02/25/17		1,341
	656	Series 2002-3, Class OG, 6.000%, 02/25/17		700
	1,203	Series 2002-28, Class LD, 6.000%, 05/25/17		1,285
	685	Series 2002-58, Class HC, 5.500%, 09/25/17		730
	1,390	Series 2002-59, Class UC, 5.500%, 09/25/17		1,495
	427	Series 2002-63, Class KC, 5.000%, 10/25/17		455
	3,587	Series 2003-5, Class SE, IF, IO, 7.406%, 08/25/22		187
	1,994	Series 2003-16, Class LJ, 5.000%, 03/25/18		2,132
	10,955	Series 2003-23, Class PG, 5.500%, 01/25/32		11,230
	17,636	Series 2003-24, Class PD, 5.000%, 04/25/18		18,867
	1,864	Series 2003-42, Class CI, IO, 6.500%, 05/25/33		377
	2,648	Series 2003-49, Class IO, IO, 6.500%, 06/25/33		536
	4,262	Series 2003-57, Class IB, IO, 5.000%, 06/25/18		366
	4,457	Series 2003-69, Class GI, IO, 5.000%, 12/25/31		221
	5,153	Series 2003-89, Class DC, 5.000%, 12/25/32		5,450
	2,548	Series 2003-92, Class HP, 4.500%, 09/25/18		2,750
	3,221	Series 2003-129, Class ME, 5.000%, 08/25/23		3,461
	10,077	Series 2004-53, Class P, 5.500%, 07/25/33		10,720
	5,935	Series 2004-60, Class PA, 5.500%, 04/25/34		6,428
	3,525	Series 2004-65, Class EJ, 5.000%, 05/25/23		3,604
	1,126	Series 2004-72, Class F, VAR, 0.744%, 09/25/34		1,130
	278	Series 2004-101, Class AR, 5.500%, 01/25/35		316
	12,590	Series 2005-19, Class PA, 5.500%, 07/25/34		13,980
	1,138	Series 2005-19, Class SK, IF, IO, 6.506%, 11/25/22		19
	389	Series 2005-27, Class TH, 5.500%, 07/25/31		397
	2,768	Series 2005-29, Class QD, 5.000%, 08/25/33		2,959
	3,932	Series 2005-38, Class FK, VAR, 0.544%, 05/25/35		3,924

SEE NOTES TO FINANCIAL STATEMENTS.

208 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	294	Series 2005-40, Class YA, 5.000%, 09/25/20		298
	123	Series 2005-48, Class OM, 5.000%, 03/25/30		123
	381	Series 2005-84, Class MB, 5.750%, 10/25/35		432
	5,376	Series 2006-22, Class DV, 5.500%, 03/25/17		5,584
	1,848	Series 2006-39, Class WB, 5.500%, 10/25/30		1,895
	5,583	Series 2006-58, Class ST, IF, IO, 6.906%, 07/25/36		621
	14,970	Series 2006-122, Class A, 6.000%, 05/25/25		15,326
	1,021	Series 2007-16, Class FC, VAR, 0.994%, 03/25/37		1,018
	2,112	Series 2007-22, Class SC, IF, IO, 5.836%, 03/25/37		312
	1,179	Series 2007-26, Class BA, 5.500%, 05/25/29		1,181
	14,661	Series 2007-33, Class MS, IF, IO, 6.346%, 04/25/37		2,421
	3,201	Series 2007-54, Class FA, VAR, 0.644%, 06/25/37		3,200
	3,797	Series 2007-76, Class DB, 6.000%, 05/25/33		3,997
	15,663	Series 2007-85, Class SH, IF, IO, 6.256%, 09/25/37		2,411
	11,826	Series 2007-95, Class A1, VAR, 0.494%, 08/27/36		11,758
	2,706	Series 2007-106, Class A7, VAR, 5.955%, 10/25/37		3,013
	4,606	Series 2008-18, Class SE, IF, IO, 6.026%, 03/25/38		623
	49,326	Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12		15
	1,198	Series 2008-72, Class IO, IO, 5.000%, 08/25/28		135
	2,079	Series 2008-77, Class VA, 6.000%, 07/25/19		2,313
	10,199	Series 2008-81, Class KA, 5.000%, 10/25/22		10,617
	7,568	Series 2008-93, Class AM, 5.500%, 06/25/37		8,367
	20,485	Series 2008-95, Class AI, IO, 5.000%, 12/25/23		1,695
	15,490	Series 2009-15, Class AC, 5.500%, 03/25/29		16,993
	6,136	Series 2009-29, Class LA, VAR, 4.196%, 05/25/39		6,343
	8,224	Series 2009-62, Class HJ, 6.000%, 05/25/39		9,050

PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
			Agency CMO — Continued
	41,383		Series 2009-70, Class IN, IO, 4.500%, 08/25/19		3,199
	8,596		Series 2009-108, Class VN, 5.000%, 09/25/39		9,404
	60,374		Series 2009-112, Class SW, IF, IO, 6.006%, 01/25/40		7,555
	4,696		Series 2010-9, Class PA, 4.500%, 10/25/39		4,752
	8,325		Series 2010-19, Class VA, 5.000%, 02/25/21		9,083
	5,950		Series 2010-58, Class MA, 5.500%, 12/25/38		6,446
	13,143		Series 2010-60, Class IO, IO, 4.000%, 06/25/20		1,071
	14,905		Series 2010-64, Class DM, 5.000%, 06/25/40		16,244
	10,729		Series 2010-64, Class EH, 5.000%, 10/25/35		11,366
	20,258		Series 2010-111, Class AE, 5.500%, 04/25/38		21,492
	51,891		Series 2010-126, Class LI, IO, 4.000%, 11/25/40		5,510
	14		Series G-11, Class Z, 8.500%, 05/25/21		17
	5		Series G-22, Class ZT, 8.000%, 12/25/16		6
	1		Series G-41, Class PT, 7.500%, 10/25/21		1
	926		Series G92-19, Class M, 8.500%, 04/25/22		1,100
	28		Series G92-35, Class E, 7.500%, 07/25/22		31
	869		Series G92-35, Class EA, 8.000%, 07/25/22		974
	13		Series G92-40, Class ZC, 7.000%, 07/25/22		15
	104		Series G92-44, Class ZQ, 8.000%, 07/25/22		118
	31		Series G92-54, Class ZQ, 7.500%, 09/25/22		35
	4,560		Series G92-64, Class J, 8.000%, 11/25/22		5,222
	1,877		Series G92-66, Class K, 8.000%, 12/25/22		2,153
	1,744		Series G94-6, Class PJ, 8.000%, 05/17/24		1,995
			Federal National Mortgage Association STRIPS,
	—	(h)	Series 25, Class 1, 6.000%, 02/01/13		—	(h)
	68		Series 108, Class 1, PO, 03/01/20		67
	2		Series 268, Class 2, IO, 9.000%, 02/01/23		—	(h)
	1,575		Series 334, Class 13, IO, VAR, 6.000%, 03/01/33		263
	1,437		Series 334, Class 17, IO, VAR, 6.500%, 02/01/33		302
	1,629		Series 334, Class 24, IO, VAR, 5.000%, 02/01/18		138
	3,179		Series 334, Class 9, IO, 6.000%, 03/01/33		698
	9,854		Series 343, Class 21, IO, 4.000%, 09/01/18		572
	3,630		Series 345, Class 22, IO, VAR, 4.500%, 05/01/20		299

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 209

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,835	Series 351, Class 28, IO, VAR, 5.000%, 04/01/19		181
	1,326	Series 356, Class 16, IO, VAR, 5.500%, 06/01/35		190
	1,348	Series 359, Class 16, IO, VAR, 5.500%, 10/01/35		194
	1,718	Series 369, Class 19, IO, VAR, 6.000%, 10/01/36		263
	956	Series 369, Class 26, IO, VAR, 6.500%, 10/01/36		174
	4,912	Series 386, Class 20, IO, VAR, 6.500%, 08/25/38		880
	7,096	Series 394, Class C3, IO, 6.500%, 09/25/38		1,195
		Federal National Mortgage Association Whole Loan,
	2	Series 1995-W3, Class A, 9.000%, 04/25/25		2
	13,283	Series 2007-W1, Class 1AF1, VAR, 0.504%, 11/25/46		13,228
		Government National Mortgage Association,
	100	Series 1997-12, Class D, 7.500%, 09/20/27		116
	12,800	Series 2004-32, Class VH, 5.000%, 04/20/22		13,920
	1,789	Series 2004-39, Class IN, IO, 5.500%, 06/20/33		290
	30,731	Series 2006-23, Class S, IF, IO, 6.254%, 01/20/36		3,839
	52,198	Series 2006-26, Class S, IF, IO, 6.254%, 06/20/36		7,502
	30,224	Series 2007-16, Class KU, IF, IO, 6.405%, 04/20/37		4,467
	9,205	Series 2008-75, Class SP, IF, IO, 7.225%, 08/20/38		1,471
	12,834	Series 2009-14, Class KS, IF, IO, 6.055%, 03/20/39		1,852
	3,547	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		628
	30,956	Series 2009-14, Class SA, IF, IO, 5.834%, 03/20/39		4,324
	5,000	Series 2009-45, Class PB, 4.500%, 07/16/33		5,337
	9,600	Series 2009-61, Class PD, 5.000%, 03/16/38		10,775
	36,203	Series 2009-106, Class XL, IF, IO, 6.505%, 06/20/37		5,905
	3,865	Series 2010-14, Class QP, 6.000%, 12/20/39		4,189
		NCUA Guaranteed Notes,
	27,519	Series 2010-C1, Class A1, 1.600%, 10/29/20		27,851

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Agency CMO — Continued
	17,722	Series 2010-R3, Class 1A, VAR, 0.822%, 12/08/20		17,788
	9,777	Series 2010-R3, Class 3A, 2.400%, 12/08/20		10,034
	17	Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21		20
				841,061
		Non-Agency CMO — 3.0%
		ABN Amro Mortgage Corp.,
	3,578	Series 2003-7, Class A3, 4.500%, 07/25/18		3,595
	1,555	Series 2003-9, Class A1, 4.500%, 08/25/18		1,582
	20,000	American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e)		20,269
		Banc of America Mortgage Securities, Inc.,
	187	Series 2004-4, Class 1A9, 5.000%, 05/25/34		186
	5,017	Series 2004-4, Class 4A1, 4.750%, 05/25/19		5,166
	7,437	Series 2004-5, Class 4A1, 4.750%, 06/25/19		7,660
	9,888	Series 2005-1, Class 2A1, 5.000%, 02/25/20		10,017
		BCAP LLC Trust,
	5,518	Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e)		5,679
	5,829	Series 2010-RR4, Class 5A7, VAR, 0.564%, 05/26/37 (e)		5,598
	3,991	Series 2010-RR6, Class 23A7, VAR, 0.454%, 06/26/37 (e)		3,867
	18,533	Series 2010-RR9, Class 1A3, VAR, 4.355%, 08/28/37 (e)		18,718
	3,655	Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e)		3,659
	3,457	Series 2010-RR10, Class 4A5, VAR, 4.000%, 09/26/37 (e)		3,465
	9,437	Series 2011-RR2, Class 3A3, VAR, 3.040%, 11/21/35 (e)		9,433
	287	Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.625%, 10/25/33		281
		Chase Mortgage Finance Corp.,
	3,623	Series 2003-S10, Class A1, 4.750%, 11/25/18		3,732
	1,287	Series 2003-S13, Class A2, 5.000%, 11/25/33		1,350

SEE NOTES TO FINANCIAL STATEMENTS.

210 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,188	Citicorp Mortgage Securities, Inc., Series 2006-1, Class 2A1, 5.000%, 02/25/21		2,221
		Citigroup Mortgage Loan Trust, Inc.,
	1,513	Series 2003-UP3, Class A1, 7.000%, 09/25/33		1,576
	3,897	Series 2004-UST1, Class A6, VAR, 5.079%, 08/25/34		3,968
	7,710	Series 2008-AR4, Class 1A1A, VAR, 3.075%, 11/25/38 (e)		7,665
	19,461	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		20,064
	84	Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18		85
	206	Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33		214
		Countrywide Home Loan Mortgage Pass-Through Trust,
	2,308	Series 2003-34, Class A6, 5.250%, 09/25/33		2,315
	3,614	Series 2003-J15, Class 3A1, 5.000%, 01/25/19		3,724
	1,009	Series 2004-8, Class 2A1, 4.500%, 06/25/19		1,032
		Credit Suisse Mortgage Capital Certificates,
	960	Series 2007-5, Class 5A5, VAR, 5.360%, 12/25/14		956
	7,160	Series 2010-1R, Class 9A1, VAR, 5.000%, 06/27/37 (e)		6,975
	7,790	Series 2011-7R, Class A1, VAR, 1.494%, 08/28/47 (e)		7,643
		CS First Boston Mortgage Securities Corp.,
	1,052	Series 2003-17, Class 2A6, 3.500%, 07/25/18		1,075
	3,232	Series 2003-23, Class 8A1, 5.000%, 09/25/18		3,305
	4,578	Series 2004-8, Class 6A1, 4.500%, 12/25/19		4,762
		First Horizon Asset Securities, Inc.,
	5,125	Series 2003-8, Class 2A1, 4.500%, 09/25/18		5,174
	3,140	Series 2004-7, Class 2A1, 4.750%, 12/25/19		3,156
	6,495	GMAC Mortgage Corp. Loan Trust, Series 2003-AR1, Class A4, VAR, 3.030%, 10/19/33		6,389

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Non-Agency CMO — Continued
	620	GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19		620
	2,832	Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.604%, 02/25/35		2,428
		JP Morgan Mortgage Trust,
	7,085	Series 2004-S2, Class 5A1, 5.500%, 12/25/19		7,172
	8,389	Series 2006-A2, Class 4A1, VAR, 2.747%, 08/25/34		8,082
	9	Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17		10
	2,222	MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.718%, 11/21/34		2,224
		MASTR Alternative Loans Trust,
	273	Series 2004-8, Class 6A1, 5.500%, 09/25/19		277
	4,154	Series 2004-8, Class 7A1, 5.000%, 09/25/19		4,330
		MASTR Asset Securitization Trust,
	1,060	Series 2002-7, Class 1A1, 5.500%, 11/25/17		1,095
	2,847	Series 2003-2, Class 1A1, 5.000%, 03/25/18		2,928
	1,683	Series 2003-11, Class 10A1, 5.000%, 12/25/18		1,741
	4,313	Series 2004-6, Class 6A1, 4.500%, 07/25/19		4,361
	5	Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20		6
	422	Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18		434
		Nomura Asset Acceptance Corp.,
	1,508	Series 2005-AR1, Class 1A1, VAR, 2.726%, 02/25/35		1,306
	763	Series 2005-AR2, Class 3A1, VAR, 0.494%, 05/25/35		660
	2,416	Series 2005-AR6, Class 4A1, VAR, 0.504%, 12/25/35		1,136
	6	Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18		6
	5,576	Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20		5,832
		Residential Accredit Loans, Inc.,
	273	Series 2003-QR24, Class A7, 4.000%, 07/25/33		267

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 211

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	2,455	Series 2003-QS1, Class A6, 4.250%, 01/25/33		2,470
	384	Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31		382
	3,438	Structured Asset Securities Corp., Series 2003-8, Class 1A2, 5.000%, 04/25/18		3,519
	4,800	WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18		5,000
	13,805	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		13,807
		Wells Fargo Mortgage-Backed Securities Trust,
	4,905	Series 2003-10, Class A1, 4.500%, 09/25/18		5,045
	4,211	Series 2003-11, Class 2A1, 4.750%, 10/25/18		4,333
	4,096	Series 2003-12, Class A1, 4.750%, 11/25/18		4,233
	4,719	Series 2003-12, Class A2, 4.500%, 11/25/18		4,853
	429	Series 2003-12, Class A3, 5.000%, 11/25/18		445
	3,668	Series 2003-15, Class 1A1, 4.750%, 12/25/18		3,790
	5,230	Series 2003-16, Class 2A1, 4.500%, 12/25/18		5,341
	3,544	Series 2003-K, Class 1A1, VAR, 4.430%, 11/25/33		3,589
	56	Series 2003-K, Class 1A2, VAR, 4.430%, 11/25/33		58
	8,553	Series 2003-M, Class A1, VAR, 4.692%, 12/25/33		8,676
	3,715	Series 2004-7, Class 2A1, 4.500%, 07/25/19		3,793
	2,392	Series 2004-EE, Class 2A2, VAR, 2.707%, 12/25/34		2,369
	3,227	Series 2004-EE, Class 3A2, VAR, 2.749%, 12/25/34		3,238
	5,601	Series 2004-O, Class A1, VAR, 4.900%, 08/25/34		5,754
	7,670	Series 2005-1, Class 1A1, 4.750%, 01/25/20		7,859
	6,866	Series 2005-13, Class A1, 5.000%, 11/25/20		7,209
				327,234
		Total Collateralized Mortgage Obligations (Cost $1,150,686)		1,168,295

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — 2.5%
		Banc of America Commercial Mortgage, Inc.,
	2,172	Series 2004-2, Class A3, 4.050%, 11/10/38		2,204
	72	Series 2004-5, Class A3, 4.561%, 11/10/41		72
		Bear Stearns Commercial Mortgage Securities,
	814	Series 2002-TOP6, Class A2, 6.460%, 10/15/36		814
	32,335	Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41		34,846
	2,825	Series 2005-PWR8, Class A4, 4.674%, 06/11/41		3,079
	2	Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.730%, 03/15/49		2
	1,393	Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, VAR, 5.440%, 09/15/30 (e)		1,450
	1,253	Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32		1,294
	2,334	Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43		2,335
	15,315	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.663%, 03/15/39		16,873
	15,463	Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e)		15,924
		GMAC Commercial Mortgage Securities, Inc.,
	417	Series 2003-C1, Class A1, 3.337%, 05/10/36		418
	47	Series 2003-C3, Class A3, 4.646%, 04/10/40		48
	27,750	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		29,971
		JP Morgan Chase Commercial Mortgage Securities Corp.,
	17,900	Series 2004-C2, Class A3, VAR, 5.216%, 05/15/41		19,279
	1,915	Series 2004-LN2, Class A1, 4.475%, 07/15/41		1,935
		LB-UBS Commercial Mortgage Trust,
	5,528	Series 2002-C2, Class A4, 5.594%, 06/15/31		5,554
	15,372	Series 2004-C2, Class A4, 4.367%, 03/15/36		16,160
	4,622	Morgan Stanley Capital I, Series 1998-CF1, Class E, VAR, 7.350%, 07/15/32		4,845
		Morgan Stanley Re-REMIC Trust,
	7,652	Series 2009-IO, Class A1, 3.000%, 07/17/56 (e)		7,691
	3,315	Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e)		3,311

SEE NOTES TO FINANCIAL STATEMENTS.

212 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	9,955	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		10,584
	15,687	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		15,736
	1,308	Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30		1,334
	13,144	Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36		13,278
		TIAA Retail Commercial Trust,
	8,964	Series 2001-C1A, Class H, 5.770%, 06/19/33 (e)		9,191
	14,650	Series 2001-C1A, Class J, 5.770%, 06/19/33 (e)		15,126
	18,325	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.707%, 08/15/39		19,818
	8,388	Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		9,045
	13,321	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e)		13,504
		Total Commercial Mortgage-Backed Securities (Cost $274,874)		275,721
	Corporate Bonds — 17.6%
		Consumer Discretionary — 0.9%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	1,484	1.750%, 03/01/14		1,510
	1,500	2.600%, 12/01/16		1,556
	4,435	4.875%, 09/15/13		4,671
				7,737
		Automobiles — 0.1%
		Daimler Finance North America LLC,
	3,350	2.300%, 01/09/15 (e)		3,408
	6,555	6.500%, 11/15/13		7,153
	3,330	Nissan Motor Acceptance Corp., 4.500%, 01/30/15 (e)		3,516
				14,077
		Broadcasting & Cable TV — 0.1%
	5,865	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.500%, 03/01/16		6,207
		Household Durables — 0.0% (g)
	1,700	Emerson Electric Co., 5.000%, 12/15/14		1,893

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Media — 0.5%
	4,882	CBS Corp., 8.200%, 05/15/14		5,575
	310	Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13		334
		Comcast Corp.,
	1,935	5.300%, 01/15/14		2,091
	1,465	5.850%, 11/15/15		1,690
	1,370	5.900%, 03/15/16		1,594
	6,220	Cox Communications, Inc., 5.450%, 12/15/14		6,940
	8,640	NBCUniversal Media LLC, 2.875%, 04/01/16		9,012
		News America, Inc.,
	170	5.300%, 12/15/14		189
	1,495	7.600%, 10/11/15		1,689
	300	9.250%, 02/01/13		321
	4,275	TCI Communications, Inc., 8.750%, 08/01/15		5,225
		Time Warner Cable, Inc.,
	3,990	3.500%, 02/01/15		4,243
	1,400	6.200%, 07/01/13		1,499
	2,795	7.500%, 04/01/14		3,160
	3,021	8.250%, 02/14/14		3,435
		Viacom, Inc.,
	1,550	1.250%, 02/27/15		1,552
	1,800	2.500%, 12/15/16		1,855
	2,050	4.375%, 09/15/14		2,217
		Walt Disney Co. (The),
	2,910	0.875%, 12/01/14		2,924
	585	4.700%, 12/01/12		602
				56,147
		Multiline Retail — 0.0% (g)
		Macy’s Retail Holdings, Inc.,
	385	5.750%, 07/15/14		424
	940	5.900%, 12/01/16		1,082
	2,220	7.875%, 07/15/15		2,620
	1,190	Target Corp., 5.125%, 01/15/13		1,236
				5,362
		Specialty Retail — 0.1%
	2,555	Home Depot, Inc., 5.250%, 12/16/13		2,767
	2,675	Staples, Inc., 9.750%, 01/15/14		3,068
				5,835
		Total Consumer Discretionary		97,258

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 213

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Consumer Staples — 0.7%
		Beverages — 0.3%
	1,525	Anheuser-Busch Cos. LLC, 5.050%, 10/15/16		1,754
		Anheuser-Busch InBev Worldwide, Inc.,
	1,420	1.500%, 07/14/14		1,442
	1,370	5.375%, 11/15/14		1,533
	480	Bottling Group LLC, 6.950%, 03/15/14		541
		Coca-Cola Co. (The),
	1,385	1.500%, 11/15/15		1,422
	1,773	1.800%, 09/01/16		1,823
	5,050	3.625%, 03/15/14		5,366
	475	Diageo Capital plc, (United Kingdom), 5.200%, 01/30/13		495
	5,035	Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13		5,304
		PepsiCo, Inc.,
	1,300	0.800%, 08/25/14		1,308
	2,975	3.750%, 03/01/14		3,166
	980	4.650%, 02/15/13		1,019
		SABMiller plc, (United Kingdom),
	5,325	5.500%, 08/15/13 (e)		5,644
	1,000	5.700%, 01/15/14 (e)		1,076
				31,893
		Food & Staples Retailing — 0.1%
	1,250	CVS Caremark Corp., 3.250%, 05/18/15		1,330
		Kroger Co. (The),
	2,835	2.200%, 01/15/17		2,887
	890	3.900%, 10/01/15		971
	660	5.500%, 02/01/13		688
	4,975	7.500%, 01/15/14		5,565
		Wal-Mart Stores, Inc.,
	1,900	2.250%, 07/08/15		1,988
	695	4.550%, 05/01/13		728
	2,780	7.250%, 06/01/13		3,010
				17,167
		Food Products — 0.3%
		Bunge Ltd. Finance Corp.,
	500	5.100%, 07/15/15		533
	4,570	5.875%, 05/15/13		4,772
	1,835	Cadbury Schweppes US Finance LLC, 5.125%, 10/01/13 (e)		1,948
		Cargill, Inc.,
	1,555	1.900%, 03/01/17 (e)		1,561
	1,215	4.375%, 06/01/13 (e)		1,263

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Food Products — Continued
	1,385	5.000%, 11/15/13 (e)		1,472
	2,200	5.200%, 01/22/13 (e)		2,285
		General Mills, Inc.,
	185	1.550%, 05/16/14		188
	3,105	5.250%, 08/15/13		3,305
	1,770	5.650%, 09/10/12		1,817
	1,670	HJ Heinz Co., 2.000%, 09/12/16		1,695
		Kellogg Co.,
	2,460	1.875%, 11/17/16		2,477
	710	4.250%, 03/06/13		735
		Kraft Foods, Inc.,
	1,210	4.125%, 02/09/16		1,322
	1,500	5.250%, 10/01/13		1,596
	150	6.000%, 02/11/13		157
	1,081	6.250%, 06/01/12		1,095
	965	6.750%, 02/19/14		1,070
	1,815	Nabisco, Inc., 7.550%, 06/15/15		2,153
				31,444
		Household Products — 0.0% (g)
	425	Clorox Co. (The), 5.000%, 01/15/15		464
		Total Consumer Staples		80,968
		Energy — 0.5%
		Energy Equipment & Services — 0.0% (g)
	545	Noble Holding International Ltd., (Cayman Islands), 2.500%, 03/15/17		550
	2,980	Transocean, Inc., (Cayman Islands), 5.050%, 12/15/16		3,260
				3,810
		Oil, Gas & Consumable Fuels — 0.5%
		Anadarko Petroleum Corp.,
	435	5.750%, 06/15/14		474
	2,000	7.625%, 03/15/14		2,220
	1,795	BG Energy Capital plc, (United Kingdom), 2.875%, 10/15/16 (e)		1,862
		Canadian Natural Resources Ltd., (Canada),
	565	1.450%, 11/14/14		575
	3,660	4.900%, 12/01/14		4,045
	2,080	Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14		2,253
	800	Chevron Corp., 3.950%, 03/03/14		855
	1,145	ConocoPhillips, 4.750%, 02/01/14		1,236
	3,158	ConocoPhillips Australia Funding Co., 5.500%, 04/15/13		3,327
	3,075	Devon Energy Corp., 2.400%, 07/15/16		3,186

SEE NOTES TO FINANCIAL STATEMENTS.

214 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
	3,721	PC Financial Partnership, 5.000%, 11/15/14		4,089
	6,667	Petrobras International Finance Co. - Pifco, (Cayman Islands), 3.500%, 02/06/17		6,811
		Shell International Finance B.V., (Netherlands),
	2,615	1.875%, 03/25/13		2,658
	2,452	3.100%, 06/28/15		2,640
	849	3.250%, 09/22/15		921
	5,225	4.000%, 03/21/14		5,582
		Statoil ASA, (Norway),
	235	1.800%, 11/23/16		240
	2,400	5.125%, 04/30/14 (e)		2,618
	924	Total Capital International S.A., (France), 1.500%, 02/17/17		925
	3,237	Total Capital S.A., (France), 3.000%, 06/24/15		3,448
				49,965
		Total Energy		53,775
		Financials — 10.6%
		Capital Markets — 2.2%
		Bank of New York Mellon Corp. (The),
	636	1.200%, 02/20/15		637
	1,858	2.300%, 07/28/16		1,909
	6,277	2.500%, 01/15/16		6,460
	2,730	2.950%, 06/18/15		2,880
	1,870	3.100%, 01/15/15		1,969
	3,300	4.500%, 04/01/13		3,437
	6,900	BlackRock, Inc., 3.500%, 12/10/14		7,388
	5,380	Charles Schwab Corp. (The), 4.950%, 06/01/14		5,862
		Credit Suisse USA, Inc.,
	765	4.875%, 01/15/15		820
	8,877	5.125%, 08/15/15		9,644
	5,225	5.500%, 08/15/13		5,492
	580	FMR LLC, 4.750%, 03/01/13 (e)		595
		Goldman Sachs Group, Inc. (The),
	10,415	3.625%, 02/07/16		10,453
	6,895	3.700%, 08/01/15		7,032
	2,000	4.750%, 07/15/13		2,074
	7,250	5.125%, 01/15/15		7,706
	1,860	5.150%, 01/15/14		1,959
	950	5.250%, 04/01/13		984
	8,955	5.250%, 10/15/13		9,377
	3,000	5.500%, 11/15/14		3,221
	18,840	6.000%, 05/01/14		20,247

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Capital Markets — Continued
		Jefferies Group, Inc.,
	9,275	3.875%, 11/09/15		8,811
	2,050	5.875%, 06/08/14		2,109
		Lehman Brothers Holdings, Inc.,
	2,225	3.950%, 11/10/09 (d)		603
	500	5.750%, 07/18/11 (d)		136
	1,062	6.625%, 01/18/13 (d)		288
	1,063	Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e)		1,074
	5,485	Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e)		5,780
		Merrill Lynch & Co., Inc.,
	968	5.000%, 01/15/15		997
	3,275	5.300%, 09/30/15		3,402
	4,376	5.450%, 02/05/13		4,494
	4,591	5.450%, 07/15/14		4,776
	13,651	6.150%, 04/25/13		14,189
		Morgan Stanley,
	1,936	2.875%, 07/28/14		1,921
	6,250	4.100%, 01/26/15		6,260
	12,242	4.200%, 11/20/14		12,288
	915	4.750%, 04/01/14		926
	8,805	5.300%, 03/01/13		9,065
	13,150	6.000%, 05/13/14		13,779
	5,100	6.000%, 04/28/15		5,372
		Nomura Holdings, Inc., (Japan),
	2,345	4.125%, 01/19/16		2,380
	8,505	5.000%, 03/04/15		8,925
		Northern Trust Corp.,
	2,760	4.625%, 05/01/14		2,976
	3,220	5.500%, 08/15/13		3,429
		State Street Corp.,
	5,370	2.875%, 03/07/16		5,608
	6,213	4.300%, 05/30/14		6,645
		UBS AG, (Switzerland),
	488	2.250%, 08/12/13		489
	6,670	3.875%, 01/15/15		6,918
				243,786
		Commercial Banks — 3.3%
	500	Abbey National Treasury Services plc, (United Kingdom), 4.000%, 04/27/16		491
	1,000	American Express Bank FSB, 5.500%, 04/16/13		1,050

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 215

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
		ANZ National (International) Ltd., (New Zealand),
	1,190	2.375%, 12/21/12 (e)		1,204
	531	3.125%, 08/10/15 (e)		539
		Australia & New Zealand Banking Group Ltd., (Australia),
	1,700	2.125%, 01/10/14 (e)		1,711
	2,800	3.250%, 03/01/16		2,861
	6,034	Bank of Montreal, (Canada), 1.300%, 10/31/14 (e)		6,098
		Bank of Nova Scotia, (Canada),
	5,236	1.650%, 10/29/15 (e)		5,333
	1,645	2.050%, 10/07/15		1,690
	5,300	3.400%, 01/22/15		5,634
	2,782	Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e)		2,819
		Barclays Bank plc, (United Kingdom),
	650	Series 1, 5.000%, 09/22/16		700
	9,495	2.500%, 01/23/13		9,577
	10,925	2.500%, 09/21/15 (e)		11,073
	4,450	3.900%, 04/07/15		4,612
	3,280	5.200%, 07/10/14		3,483
		BB&T Corp.,
	900	2.050%, 04/28/14		918
	6,970	3.200%, 03/15/16		7,383
	1,535	3.375%, 09/25/13		1,593
	1,875	3.850%, 07/27/12		1,900
	312	3.950%, 04/29/16		339
	4,555	4.750%, 10/01/12		4,650
	1,878	5.200%, 12/23/15		2,074
	6,154	5.700%, 04/30/14		6,765
	5,000	BNY Mellon N.A., 4.750%, 12/15/14		5,419
	3,385	Branch Banking & Trust Co., 4.875%, 01/15/13		3,498
		Canadian Imperial Bank of Commerce, (Canada),
	2,330	2.350%, 12/11/15		2,381
	3,000	2.600%, 07/02/15 (e)		3,151
	1,290	Comerica, Inc., 3.000%, 09/16/15		1,336
		Credit Suisse, (Switzerland),
	9,420	3.500%, 03/23/15		9,776
	10,114	5.500%, 05/01/14		10,826
		Deutsche Bank AG, (Germany),
	8,290	2.375%, 01/11/13		8,357
	5,500	3.250%, 01/11/16		5,635
	3,890	3.875%, 08/18/14		4,064

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Commercial Banks — Continued
	2,045	4.875%, 05/20/13		2,122
	6,640	Deutsche Bank Financial LLC, 5.375%, 03/02/15		6,844
	12,209	DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e)		12,339
		Fifth Third Bancorp,
	3,206	3.625%, 01/25/16		3,387
	1,800	6.250%, 05/01/13		1,901
		HSBC Bank plc, (United Kingdom),
	2,836	1.625%, 07/07/14 (e)		2,845
	1,350	2.000%, 01/19/14 (e)		1,355
	4,700	HSBC Bank USA N.A., 4.625%, 04/01/14		4,969
	1,650	HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12		1,699
		KeyBank N.A.,
	1,778	5.500%, 09/17/12		1,824
	750	5.700%, 08/15/12		766
	1,290	5.800%, 07/01/14		1,396
	6,328	KeyCorp, 6.500%, 05/14/13		6,708
	805	M&T Bank Corp., 5.375%, 05/24/12		813
	500	Manufacturers & Traders Trust Co., VAR, 2.081%, 04/01/13		499
	2,128	Mellon Funding Corp., 5.000%, 12/01/14		2,313
		National Australia Bank Ltd., (Australia),
	1,695	2.250%, 04/11/14 (e)		1,721
	5,070	2.500%, 01/08/13 (e)		5,137
	7,480	National Bank of Canada, (Canada), 1.650%, 01/30/14 (e)		7,615
	8,105	National City Corp., 4.900%, 01/15/15		8,898
	2,500	Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e)		2,490
		PNC Funding Corp.,
	1,840	3.625%, 02/08/15		1,966
	380	5.400%, 06/10/14		416
	10,000	Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e)		10,290
		Royal Bank of Canada, (Canada),
	4,130	2.300%, 07/20/16		4,230
	4,970	2.625%, 12/15/15		5,208
	5,788	SouthTrust Corp., 5.800%, 06/15/14		6,260
		SunTrust Banks, Inc.,
	5,000	3.500%, 01/20/17		5,118
	5,111	3.600%, 04/15/16		5,298
	3,272	5.250%, 11/05/12		3,362
	6,100	Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e)		6,334

SEE NOTES TO FINANCIAL STATEMENTS.

216 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
		U.S. Bancorp,
	1,075	2.450%, 07/27/15		1,120
	5,938	2.875%, 11/20/14		6,210
	3,366	4.200%, 05/15/14		3,610
		U.S. Bank N.A.,
	5,020	4.950%, 10/30/14		5,496
	6,202	6.300%, 02/04/14		6,800
		Wachovia Bank N.A.,
	18,328	4.800%, 11/01/14		19,722
	1,500	5.000%, 08/15/15		1,624
	3,375	5.600%, 03/15/16		3,770
		Wachovia Corp.,
	1,155	4.875%, 02/15/14		1,218
	3,000	5.250%, 08/01/14		3,239
	3,130	5.500%, 05/01/13		3,299
		Wells Fargo & Co.,
	540	2.625%, 12/15/16		556
	6,780	3.750%, 10/01/14		7,234
	5,770	4.625%, 04/15/14		6,111
	2,500	4.950%, 10/16/13		2,638
	560	5.000%, 11/15/14		601
	5,185	SUB, 3.676%, 06/15/16		5,556
	4,310	Wells Fargo Bank N.A., 4.750%, 02/09/15		4,636
		Westpac Banking Corp., (Australia),
	6,973	2.100%, 08/02/13		7,062
	795	3.000%, 08/04/15		819
	3,560	4.200%, 02/27/15		3,806
				360,190
		Consumer Finance — 1.2%
		American Express Co.,
	720	5.500%, 09/12/16		808
	6,262	7.250%, 05/20/14		7,056
		American Express Credit Corp.,
	2,165	2.750%, 09/15/15		2,252
	5,532	2.800%, 09/19/16		5,732
	530	5.125%, 08/25/14		581
	2,150	5.300%, 12/02/15		2,395
	4,964	5.875%, 05/02/13		5,236
	10,305	7.300%, 08/20/13		11,201
		American Honda Finance Corp.,
	1,725	1.850%, 09/19/14 (e)		1,751
	5,730	2.375%, 03/18/13 (e)		5,832
	2,200	3.500%, 03/16/15 (e)		2,318
	5,940	4.625%, 04/02/13 (e)		6,196

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Consumer Finance — Continued
		Boeing Capital Corp.,
	500	2.125%, 08/15/16		521
	1,192	5.800%, 01/15/13		1,247
	2,000	Capital One Bank USA N.A., 5.125%, 02/15/14		2,102
		Capital One Financial Corp.,
	5,125	3.150%, 07/15/16		5,235
	1,330	5.500%, 06/01/15		1,438
	1,725	6.250%, 11/15/13		1,845
	6,452	7.375%, 05/23/14		7,180
	1,490	FIA Card Services N.A., 7.125%, 11/15/12		1,528
		HSBC Finance Corp.,
	10,100	4.750%, 07/15/13		10,464
	15,901	5.000%, 06/30/15		16,852
	1,625	5.250%, 04/15/15		1,741
		John Deere Capital Corp.,
	995	1.600%, 03/03/14		1,013
	790	1.850%, 09/15/16		807
	2,400	2.250%, 06/07/16		2,507
	1,335	2.950%, 03/09/15		1,421
	2,450	4.500%, 04/03/13		2,552
	325	4.950%, 12/17/12		337
		MBNA Corp.,
	1,860	6.125%, 03/01/13		1,925
	500	7.500%, 03/15/12		501
	2,716	PACCAR Financial Corp., 1.550%, 09/29/14		2,750
		Toyota Motor Credit Corp.,
	5,843	1.250%, 11/17/14		5,921
	3,100	2.050%, 01/12/17		3,161
	2,737	3.200%, 06/17/15		2,912
	993	Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e)		1,000
				128,318
		Diversified Financial Services — 2.5%
	4,110	ABB Treasury Center USA, Inc., 2.500%, 06/15/16 (e)		4,151
	3,000	BA Covered Bond Issuer, 5.500%, 06/14/12 (e)		3,039
		Bank of America Corp.,
	715	3.625%, 03/17/16		707
	6,005	4.900%, 05/01/13		6,171
	975	5.125%, 11/15/14		1,009
	2,345	5.375%, 09/11/12		2,387
	1,695	5.625%, 10/14/16		1,769
	1,350	6.500%, 08/01/16		1,459

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 217

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Diversified Financial Services — Continued
	15,480	7.375%, 05/15/14		16,732
		BP Capital Markets plc, (United Kingdom),
	4,605	2.248%, 11/01/16		4,760
	1,190	3.125%, 03/10/12		1,191
	3,000	3.200%, 03/11/16		3,206
	1,870	3.625%, 05/08/14		1,979
	4,375	3.875%, 03/10/15		4,745
	3,015	5.250%, 11/07/13		3,239
	4,838	Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e)		5,032
		Caterpillar Financial Services Corp.,
	2,935	1.125%, 12/15/14		2,963
	6,700	1.550%, 12/20/13		6,799
	760	2.050%, 08/01/16		785
	2,265	4.900%, 08/15/13		2,401
	1,700	5.500%, 03/15/16		1,970
	3,080	6.125%, 02/17/14		3,400
	1,880	6.200%, 09/30/13		2,043
		Citigroup, Inc.,
	1,958	3.953%, 06/15/16		2,024
	4,000	4.450%, 01/10/17		4,222
	5,275	4.750%, 05/19/15		5,590
	6,000	5.850%, 07/02/13		6,290
	21,650	6.000%, 12/13/13		22,974
	12,000	6.010%, 01/15/15		13,069
	10,445	6.375%, 08/12/14		11,331
	19,289	6.500%, 08/19/13		20,440
	1,813	CME Group, Inc., 5.750%, 02/15/14		1,983
	3,710	ERAC USA Finance LLC, 2.750%, 07/01/13 (e)		3,763
		FUEL Trust,
	10,086	3.984%, 06/15/16 (e)		10,301
	6,080	4.207%, 04/15/16 (e)		6,237
		General Electric Capital Corp.,
	12,870	3.500%, 06/29/15		13,712
	5,000	3.750%, 11/14/14		5,345
	2,170	4.375%, 09/21/15		2,375
	5,000	4.750%, 09/15/14		5,429
	5,541	4.875%, 03/04/15		6,072
	13,757	5.450%, 01/15/13		14,336
	11,926	5.500%, 06/04/14		13,017
	3,225	5.650%, 06/09/14		3,535
	18,712	5.900%, 05/13/14		20,653
	4,365	NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15		4,544

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Diversified Financial Services — Continued
		National Rural Utilities Cooperative Finance Corp.,
	490	1.900%, 11/01/15		503
	885	2.625%, 09/16/12		895
				280,577
		FDIC Guaranteed Securities (~) — 0.0% (g)
	2,500	General Electric Capital Corp., 2.625%, 12/28/12		2,551
		Insurance — 1.0%
		ACE INA Holdings, Inc.,
	3,000	2.600%, 11/23/15		3,108
	5,000	5.600%, 05/15/15		5,663
		Aflac, Inc.,
	2,745	2.650%, 02/15/17		2,788
	1,965	3.450%, 08/15/15		2,062
	1,420	Allstate Corp. (The), 5.000%, 08/15/14		1,546
	2,343	Aon Corp., 3.500%, 09/30/15		2,449
	1,454	ASIF Global Financing XIX, 4.900%, 01/17/13 (e)		1,483
		Berkshire Hathaway Finance Corp.,
	2,770	5.000%, 08/15/13		2,948
	6,615	5.100%, 07/15/14		7,279
	5,250	Berkshire Hathaway, Inc., 1.900%, 01/31/17		5,348
	4,840	CNA Financial Corp., 5.850%, 12/15/14		5,177
	7,061	Jackson National Life Global Funding, 5.375%, 05/08/13 (e)		7,344
		MassMutual Global Funding II,
	1,084	2.300%, 09/28/15 (e)		1,113
	700	2.875%, 04/21/14 (e)		723
	105	3.625%, 07/16/12 (e)		106
		Metropolitan Life Global Funding I,
	2,400	2.000%, 01/10/14 (e)		2,426
	3,463	2.500%, 01/11/13 (e)		3,504
	2,701	2.500%, 09/29/15 (e)		2,773
	1,900	3.125%, 01/11/16 (e)		1,945
	14,495	5.125%, 04/10/13 (e)		15,128
	1,200	5.200%, 09/18/13 (e)		1,273
	4,000	Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e)		4,169
		New York Life Global Funding,
	620	2.450%, 07/14/16 (e)		643
	2,730	3.000%, 05/04/15 (e)		2,885
	3,350	4.650%, 05/09/13 (e)		3,505
	285	5.250%, 10/16/12 (e)		293
	1,000	5.375%, 09/15/13 (e)		1,070

SEE NOTES TO FINANCIAL STATEMENTS.

218 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Insurance — Continued
	3,240	Pacific Life Global Funding, 5.150%, 04/15/13 (e)		3,390
		Pricoa Global Funding I,
	500	4.625%, 06/25/12 (e)		506
	1,975	5.400%, 10/18/12 (e)		2,032
	5,995	5.450%, 06/11/14 (e)		6,440
		Principal Life Income Funding Trusts,
	1,110	5.300%, 12/14/12		1,149
	4,933	5.300%, 04/24/13		5,183
	2,561	Travelers Cos., Inc. (The), 6.250%, 06/20/16		3,021
	1,380	Travelers Property Casualty Corp., 5.000%, 03/15/13		1,440
				111,912
		Real Estate Investment Trusts (REITs) — 0.2%
	1,185	CommonWealth REIT, 6.500%, 01/15/13		1,194
	2,000	ERP Operating LP, 5.200%, 04/01/13		2,067
		HCP, Inc.,
	1,300	2.700%, 02/01/14		1,315
	3,852	7.072%, 06/08/15		4,307
		Simon Property Group LP,
	673	4.200%, 02/01/15		718
	1,850	4.900%, 01/30/14		1,964
	1,125	6.750%, 05/15/14		1,239
	3,050	WCI Finance LLC/WEA Finance LLC, 5.700%, 10/01/16 (e)		3,396
	4,980	WEA Finance LLC/WT Finance Aust Pty Ltd., 7.500%, 06/02/14 (e)		5,519
				21,719
		Thrifts & Mortgage Finance — 0.2%
	2,150	Countrywide Financial Corp., 5.800%, 06/07/12		2,167
	1,100	Golden West Financial Corp., 4.750%, 10/01/12		1,124
	15,324	Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e)		15,440
				18,731
		Total Financials		1,167,784
		Health Care — 0.3%
		Biotechnology — 0.1%
		Amgen, Inc.,
	2,200	2.300%, 06/15/16		2,250
	1,065	2.500%, 11/15/16		1,099
	2,086	Celgene Corp., 2.450%, 10/15/15		2,143
				5,492

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	1,650	1.800%, 03/15/13		1,673
	255	4.000%, 03/01/14		272
	1,925	Medtronic, Inc., 3.000%, 03/15/15		2,047
				3,992
		Health Care Providers & Services — 0.1%
	2,800	Laboratory Corp. of America Holdings, 5.625%, 12/15/15		3,138
	820	Medco Health Solutions, Inc., 2.750%, 09/15/15		831
	2,095	UnitedHealth Group, Inc., 5.000%, 08/15/14		2,300
		WellPoint, Inc.,
	380	5.000%, 12/15/14		414
	935	5.250%, 01/15/16		1,057
	215	6.000%, 02/15/14		235
				7,975
		Pharmaceuticals — 0.1%
	2,635	Abbott Laboratories, 2.700%, 05/27/15		2,788
	2,000	GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13		2,105
	2,525	Merck & Co., Inc., 4.750%, 03/01/15		2,820
	2,793	Wyeth, 5.500%, 02/01/14		3,054
				10,767
		Total Health Care		28,226
		Industrials — 0.6%
		Aerospace & Defense — 0.2%
		BAE Systems Holdings, Inc.,
	1,817	4.950%, 06/01/14 (e)		1,917
	3,510	5.200%, 08/15/15 (e)		3,777
		Boeing Co. (The),
	1,000	3.500%, 02/15/15		1,084
	3,085	5.000%, 03/15/14		3,368
	2,190	5.125%, 02/15/13		2,286
	2,460	General Dynamics Corp., 5.250%, 02/01/14		2,679
	1,115	Honeywell International, Inc., 3.875%, 02/15/14		1,182
		Lockheed Martin Corp.,
	360	2.125%, 09/15/16		366
	1,300	7.650%, 05/01/16		1,593
	1,000	Northrop Grumman Corp., 3.700%, 08/01/14		1,053
				19,305

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 219

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Services & Supplies — 0.0% (g)
		Pitney Bowes, Inc.,
	685	3.875%, 06/15/13		704
	2,375	4.875%, 08/15/14		2,531
		Waste Management, Inc.,
	1,100	6.375%, 11/15/12		1,142
	675	6.375%, 03/11/15		770
				5,147
		Industrial Conglomerates — 0.1%
	3,767	General Electric Co., 5.000%, 02/01/13		3,920
	1,285	Honeywell International, Inc., 4.250%, 03/01/13		1,334
	5,000	Ingersoll-Rand Global Holding Co. Ltd., (Bermuda), 9.500%, 04/15/14		5,783
				11,037
		Machinery — 0.1%
	745	Caterpillar, Inc., 7.000%, 12/15/13		822
	4,323	Danaher Corp., 1.300%, 06/23/14		4,387
	1,475	Deere & Co., 6.950%, 04/25/14		1,669
	1,150	PACCAR, Inc., 6.875%, 02/15/14		1,284
				8,162
		Road & Rail — 0.2%
	2,000	Burlington Northern Santa Fe LLC, 7.000%, 02/01/14		2,219
		Canadian National Railway Co., (Canada),
	4,485	4.400%, 03/15/13		4,666
	2,852	4.950%, 01/15/14		3,078
		CSX Corp.,
	500	5.300%, 02/15/14		541
	1,215	6.250%, 04/01/15		1,403
	3,330	6.300%, 03/15/12		3,336
	1,100	Norfolk Southern Corp., 5.750%, 01/15/16		1,274
		Ryder System, Inc.,
	799	2.500%, 03/01/17		802
	1,000	3.600%, 03/01/16		1,046
	2,145	6.000%, 03/01/13		2,241
		Union Pacific Corp.,
	1,588	5.125%, 02/15/14		1,714
	4,235	5.450%, 01/31/13		4,418
	1,455	7.000%, 02/01/16		1,737
				28,475
		Total Industrials		72,126

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Information Technology — 0.9%
		Communications Equipment — 0.0% (g)
		Cisco Systems, Inc.,
	2,500	1.625%, 03/14/14		2,556
	1,230	5.500%, 02/22/16		1,442
				3,998
		Computers & Peripherals — 0.4%
		Dell, Inc.,
	1,075	2.300%, 09/10/15		1,115
	5,353	3.100%, 04/01/16		5,717
	2,310	4.700%, 04/15/13		2,407
	600	5.625%, 04/15/14		658
		Hewlett-Packard Co.,
	4,472	2.125%, 09/13/15		4,540
	3,232	2.200%, 12/01/15		3,282
	8,565	2.350%, 03/15/15		8,764
	1,535	3.000%, 09/15/16		1,604
	3,650	4.500%, 03/01/13		3,783
	2,500	4.750%, 06/02/14		2,686
	7,505	6.125%, 03/01/14		8,201
				42,757
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	805	3.375%, 11/01/15		826
	7,721	6.875%, 07/01/13		8,262
				9,088
		IT Services — 0.1%
		International Business Machines Corp.,
	1,375	0.875%, 10/31/14		1,381
	3,081	1.250%, 02/06/17		3,070
	5,860	1.950%, 07/22/16		6,059
	3,025	2.100%, 05/06/13		3,085
	1,250	6.500%, 10/15/13		1,369
	650	7.500%, 06/15/13		706
				15,670
		Office Electronics — 0.1%
		Xerox Corp.,
	3,425	4.250%, 02/15/15		3,647
	2,505	8.250%, 05/15/14		2,814
				6,461
		Semiconductors & Semiconductor Equipment — 0.1%
	2,943	Intel Corp., 1.950%, 10/01/16		3,058

SEE NOTES TO FINANCIAL STATEMENTS.

220 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Semiconductors & Semiconductor Equipment — Continued
	6,197	National Semiconductor Corp., 3.950%, 04/15/15		6,771
	4,610	Texas Instruments, Inc., 2.375%, 05/16/16		4,846
				14,675
		Software — 0.1%
	3,155	Microsoft Corp., 2.950%, 06/01/14		3,334
	4,025	Oracle Corp., 5.250%, 01/15/16		4,667
				8,001
		Total Information Technology		100,650
		Materials — 0.7%
		Chemicals — 0.4%
	845	Air Products & Chemicals, Inc., 4.150%, 02/01/13		873
		Dow Chemical Co. (The),
	900	2.500%, 02/15/16		927
	4,314	5.900%, 02/15/15		4,869
	2,469	7.600%, 05/15/14		2,806
		EI du Pont de Nemours & Co.,
	2,856	1.950%, 01/15/16		2,945
	3,225	3.250%, 01/15/15		3,451
	1,708	5.000%, 01/15/13		1,772
	2,840	5.250%, 12/15/16		3,340
	960	Monsanto Co., 2.750%, 04/15/16		1,013
		Potash Corp. of Saskatchewan, Inc., (Canada),
	3,153	3.750%, 09/30/15		3,404
	2,650	5.250%, 05/15/14		2,901
		PPG Industries, Inc.,
	410	1.900%, 01/15/16		414
	5,994	5.750%, 03/15/13		6,271
		Praxair, Inc.,
	2,240	2.125%, 06/14/13		2,278
	1,920	3.950%, 06/01/13		1,997
	830	4.625%, 03/30/15		923
	3,390	5.375%, 11/01/16		3,958
				44,142
		Construction Materials — 0.0% (g)
	975	CRH America, Inc., 6.000%, 09/30/16		1,063
		Metals & Mining — 0.3%
		BHP Billiton Finance USA Ltd., (Australia),
	4,679	1.125%, 11/21/14		4,721
	1,295	1.875%, 11/21/16		1,320
	1,900	4.800%, 04/15/13		1,991
	2,443	5.125%, 03/29/12		2,452

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Metals & Mining — Continued
	950	6.750%, 11/01/13		1,041
	4,120	8.500%, 12/01/12		4,362
		Nucor Corp.,
	635	4.875%, 10/01/12		649
	650	5.000%, 06/01/13		682
		Rio Tinto Finance USA Ltd., (Australia),
	1,160	1.875%, 11/02/15		1,187
	897	2.250%, 09/20/16		933
	8,900	8.950%, 05/01/14		10,390
				29,728
		Total Materials		74,933
		Telecommunication Services — 1.1%
		Diversified Telecommunication Services — 0.9%
		AT&T, Inc.,
	1,875	4.850%, 02/15/14		2,023
	11,875	4.950%, 01/15/13		12,321
	16,135	6.700%, 11/15/13		17,748
	7,126	BellSouth Corp., 5.200%, 09/15/14		7,880
	4,050	British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13		4,205
		Deutsche Telekom International Finance B.V., (Netherlands),
	2,015	2.250%, 03/06/17 (e)		2,002
	3,380	4.875%, 07/08/14		3,629
	1,000	5.750%, 03/23/16		1,134
	550	5.875%, 08/20/13		586
	8,745	France Telecom S.A., (France), 4.375%, 07/08/14		9,352
		Telecom Italia Capital S.A., (Luxembourg),
	1,700	4.950%, 09/30/14		1,715
	1,450	6.175%, 06/18/14		1,493
		Telefonica Emisiones S.A.U., (Spain),
	500	3.729%, 04/27/15		502
	1,121	3.992%, 02/16/16		1,128
	1,280	4.949%, 01/15/15		1,326
	2,110	5.855%, 02/04/13		2,181
		Verizon Communications, Inc.,
	2,340	1.250%, 11/03/14		2,371
	3,445	2.000%, 11/01/16		3,521
	1,320	5.250%, 04/15/13		1,389
	15,000	5.550%, 02/15/16		17,365
	3,482	Verizon Global Funding Corp., 4.375%, 06/01/13		3,644
				97,515

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 221

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Wireless Telecommunication Services — 0.2%
	3,170	Alltel Corp., 7.000%, 03/15/16		3,811
	15,094	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		16,417
	4,075	Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14		4,366
				24,594
		Total Telecommunication Services		122,109
		Utilities — 1.3%
		Electric Utilities — 0.9%
	555	AEP Texas North Co., 5.500%, 03/01/13		580
	490	Alabama Power Co., 4.850%, 12/15/12		506
	2,160	Arizona Public Service Co., 6.250%, 08/01/16		2,558
		CenterPoint Energy Houston Electric LLC,
	700	5.700%, 03/15/13		731
	610	5.750%, 01/15/14		662
	6,325	7.000%, 03/01/14		7,050
	415	Commonwealth Edison Co., 1.950%, 09/01/16		421
		Consolidated Edison Co. of New York, Inc.,
	2,000	3.850%, 06/15/13		2,082
	2,725	5.500%, 09/15/16		3,191
	1,645	Duke Energy Carolinas LLC, 5.750%, 11/15/13		1,785
		Duke Energy Corp.,
	1,565	3.350%, 04/01/15		1,668
	1,095	3.950%, 09/15/14		1,175
	5,085	5.650%, 06/15/13		5,391
	2,133	6.300%, 02/01/14		2,350
	537	Duke Energy Ohio, Inc., 2.100%, 06/15/13		547
	1,019	Entergy Corp., 3.625%, 09/15/15		1,038
	1,000	Exelon Corp., 4.900%, 06/15/15		1,089
	1,539	Exelon Generation Co. LLC, 5.350%, 01/15/14		1,655
	2,075	Florida Power Corp., 4.800%, 03/01/13		2,162
	4,803	Georgia Power Co., 6.000%, 11/01/13		5,229
	817	LG&E and KU Energy LLC, 2.125%, 11/15/15		814
		MidAmerican Energy Co.,
	2,800	4.650%, 10/01/14		3,066
	225	5.125%, 01/15/13		234
		Midamerican Energy Holdings Co.,
	1,025	3.150%, 07/15/12		1,035
	1,567	5.875%, 10/01/12		1,611
		NextEra Energy Capital Holdings, Inc.,
	1,239	5.350%, 06/15/13		1,298

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Electric Utilities — Continued
	3,220	7.875%, 12/15/15		3,863
	5,935	Nisource Finance Corp., 6.150%, 03/01/13		6,250
	1,060	Northern States Power Co., 8.000%, 08/28/12		1,098
		Ohio Power Co.,
	3,230	5.750%, 09/01/13		3,456
	530	6.000%, 06/01/16		611
	1,650	Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15		1,873
	3,195	Pacific Gas & Electric Co., 4.800%, 03/01/14		3,447
	750	PacifiCorp, 4.950%, 08/15/14		823
	2,076	Peco Energy Co., 5.000%, 10/01/14		2,276
		Progress Energy, Inc.,
	370	5.625%, 01/15/16		424
	295	6.050%, 03/15/14		325
		PSEG Power LLC,
	1,683	2.500%, 04/15/13		1,715
	960	2.750%, 09/15/16		975
		Public Service Electric & Gas Co.,
	1,150	2.700%, 05/01/15		1,212
	1,200	5.000%, 08/15/14		1,317
		Sierra Pacific Power Co.,
	890	5.450%, 09/01/13		944
	2,330	Series M, 6.000%, 05/15/16		2,721
	745	Southern California Edison Co., 4.150%, 09/15/14		804
		Southern Co. (The),
	560	1.950%, 09/01/16		568
	2,952	4.150%, 05/15/14		3,160
		Spectra Energy Capital LLC,
	4,155	5.668%, 08/15/14		4,503
	1,544	6.250%, 02/15/13		1,620
		Virginia Electric and Power Co.,
	1,000	4.750%, 03/01/13		1,040
	4,460	5.100%, 11/30/12		4,611
				99,564
		Gas Utilities — 0.3%
		AGL Capital Corp.,
	810	4.450%, 04/15/13		833
	1,000	4.950%, 01/15/15		1,077
	1,320	6.375%, 07/15/16		1,545
		Atmos Energy Corp.,
	6,038	4.950%, 10/15/14		6,593
	760	5.125%, 01/15/13		789

SEE NOTES TO FINANCIAL STATEMENTS.

222 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Gas Utilities — Continued
		CenterPoint Energy Resources Corp.,
	1,000	5.950%, 01/15/14		1,075
	425	6.150%, 05/01/16		490
	2,270	7.875%, 04/01/13		2,423
	2,000	Consolidated Natural Gas Co., 5.000%, 03/01/14		2,145
	668	Southern California Gas Co., 5.500%, 03/15/14		726
		TransCanada PipeLines Ltd., (Canada),
	400	3.400%, 06/01/15		428
	10,025	4.000%, 06/15/13		10,382
	249	7.690%, 06/30/16		301
				28,807
		Multi-Utilities — 0.1%
	1,515	PG&E Corp., 5.750%, 04/01/14		1,656
		Sempra Energy,
	1,210	6.000%, 02/01/13		1,268
	6,010	8.900%, 11/15/13		6,713
		Wisconsin Electric Power Co.,
	1,815	6.000%, 04/01/14		2,004
	460	6.250%, 12/01/15		541
				12,182
		Total Utilities		140,553
		Total Corporate Bonds (Cost $1,900,307)		1,938,382
	Foreign Government Securities — 0.5%
	29,787	Egypt Government AID Bonds, (Egypt), 4.450%, 09/15/15		33,595
	247	Province of Manitoba, (Canada), 2.125%, 04/22/13		251
		Province of Ontario, (Canada),
	1,370	2.300%, 05/10/16		1,421
	8,655	2.700%, 06/16/15		9,140
	6,530	2.950%, 02/05/15		6,924
	1,250	4.100%, 06/16/14		1,349
	3,420	United Mexican States, (Mexico), 6.375%, 01/16/13		3,564
		Total Foreign Government Securities (Cost $55,006)		56,244
	Mortgage Pass-Through Securities — 7.8%
		Federal Home Loan Mortgage Corp.,
	2,517	ARM, 2.176%, 12/01/36		2,665
	92	ARM, 2.210%, 01/01/27		97
	628	ARM, 2.282%, 06/01/36		664

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	4,499	ARM, 2.328%, 10/01/36		4,788
	129	ARM, 2.384%, 12/01/27		136
	320	ARM, 2.387%, 03/01/35		339
	1,931	ARM, 2.480%, 08/01/36		2,042
	1,666	ARM, 2.499%, 11/01/36		1,776
	1,207	ARM, 2.510%, 12/01/36		1,285
	1,849	ARM, 2.517%, 08/01/36		1,985
	503	ARM, 2.578%, 07/01/36		538
	3,154	ARM, 2.655%, 01/01/37		3,312
	6	ARM, 2.768%, 12/01/17		6
	3,842	ARM, 2.799%, 03/01/36		4,031
	6,260	ARM, 2.882%, 03/01/35		6,635
	4,596	ARM, 2.954%, 10/01/35		4,858
	7,926	ARM, 3.270%, 03/01/36		8,483
	290	ARM, 3.980%, 04/01/37		308
	576	ARM, 4.139%, 08/01/37		610
	2,233	ARM, 4.696%, 03/01/37		2,367
	3,407	ARM, 4.831%, 04/01/38		3,614
	2,916	ARM, 4.946%, 01/01/38		3,100
	1,474	ARM, 5.000%, 03/01/37		1,565
	1,005	ARM, 5.285%, 10/01/37		1,073
	1,295	ARM, 5.471%, 02/01/37		1,369
	1,263	ARM, 5.490%, 03/01/37		1,339
	5,300	ARM, 5.690%, 06/01/37		5,639
	11,360	ARM, 5.698%, 06/01/37		12,089
	2,998	ARM, 5.707%, 05/01/37		3,181
	2,149	ARM, 5.831%, 08/01/37		2,294
	642	ARM, 5.989%, 08/01/36		690
	5	ARM, 6.070%, 01/01/27		5
	1,637	ARM, 6.077%, 04/01/37		1,714
	916	ARM, 6.385%, 02/01/37		997
	1,241	ARM, 6.415%, 11/01/37		1,340
	1,671	ARM, 6.432%, 12/01/36		1,810
	564	ARM, 7.022%, 08/01/37		593
		Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	4,640	4.000%, 07/01/18 - 07/01/19		4,943
	1,859	4.500%, 04/01/16 - 10/01/18		1,995
	26,063	5.000%, 03/01/18 - 01/01/21		28,144
	23,949	5.500%, 11/01/12 - 01/01/24		26,012
	21,601	6.000%, 08/01/16 - 12/01/23		23,282
	23,110	6.500%, 07/01/14 - 08/01/21		24,951
	11,222	7.000%, 03/01/15 - 03/01/17		12,056
		Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	2,709	6.000%, 01/01/19 - 10/01/24		2,979

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 223

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	8,594	6.500%, 08/01/18 - 03/01/26		9,600
	25	7.000%, 03/01/14		27
	191	7.500%, 10/01/16 - 07/01/18		208
		Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	1,011	6.000%, 09/01/17 - 07/01/32		1,104
	1,849	7.000%, 08/01/38		2,110
		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA,
	17,528	7.500%, 12/01/36		20,459
	6,367	10.000%, 10/01/30		7,634
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	50	8.000%, 04/01/17 - 05/01/19		55
	10	8.250%, 08/01/17		10
		Federal National Mortgage Association,
	50	ARM, 1.911%, 03/01/19		50
	314	ARM, 2.056%, 01/01/35		331
	3,506	ARM, 2.092%, 01/01/37		3,709
	2,304	ARM, 2.192%, 02/01/37		2,434
	643	ARM, 2.198%, 05/01/36		680
	2,115	ARM, 2.273%, 08/01/36		2,247
	125	ARM, 2.306%, 04/01/36		130
	677	ARM, 2.323%, 10/01/36		716
	20	ARM, 2.325%, 05/01/25		21
	1	ARM, 2.345%, 10/01/27		1
	1,051	ARM, 2.349%, 12/01/35		1,118
	23	ARM, 2.365%, 06/01/27		24
	1,646	ARM, 2.383%, 09/01/34		1,746
	836	ARM, 2.405%, 10/01/36		890
	4,165	ARM, 2.455%, 12/01/36		4,457
	241	ARM, 2.472%, 12/01/36		257
	480	ARM, 2.500%, 08/01/36		510
	31	ARM, 2.541%, 07/01/27		32
	27	ARM, 2.576%, 01/01/19		27
	1,817	ARM, 2.592%, 08/01/36		1,935
	533	ARM, 2.607%, 01/01/37		566
	531	ARM, 2.640%, 12/01/36		567
	1,875	ARM, 2.646%, 08/01/36		1,995
	11	ARM, 2.722%, 10/01/25		11
	9	ARM, 2.796%, 08/01/19		9
	648	ARM, 2.896%, 12/01/36		692
	4,436	ARM, 3.019%, 03/01/36		4,706
	7,886	ARM, 3.186%, 03/01/36		8,343
	5,082	ARM, 3.206%, 10/01/35		5,375
	6,619	ARM, 3.220%, 03/01/36		7,010

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	25	ARM, 3.250%, 11/01/16		25
	889	ARM, 3.442%, 07/01/36		938
	1,012	ARM, 3.460%, 04/01/37		1,066
	9	ARM, 3.918%, 08/01/17		9
	3,497	ARM, 4.017%, 03/01/37		3,730
	2,263	ARM, 4.125%, 11/01/37		2,401
	3,560	ARM, 5.226%, 11/01/37		3,780
	1,492	ARM, 5.525%, 04/01/37		1,580
	483	ARM, 5.543%, 07/01/37		504
	133	ARM, 5.584%, 06/01/36		143
	6,706	ARM, 5.611%, 01/01/23		7,298
	2,145	ARM, 5.701%, 12/01/37		2,291
	989	ARM, 5.702%, 03/01/47		1,064
	72	ARM, 5.782%, 08/01/37		77
	2,726	ARM, 5.783%, 11/01/37		2,912
	60	ARM, 5.835%, 07/01/37		64
	71	ARM, 5.932%, 08/01/36		76
	2,884	ARM, 6.029%, 07/01/37		3,086
	1,577	ARM, 6.036%, 04/01/38		1,681
	3,429	ARM, 6.169%, 08/01/37		3,618
		Federal National Mortgage Association, 15 Year, Single Family,
	5,445	4.000%, 07/01/18 - 01/01/19		5,839
	8,734	4.500%, 05/01/18 - 05/01/19		9,388
	13,219	5.000%, 12/01/13 - 07/01/20		14,307
	78,736	5.500%, 01/01/18 - 01/01/25		85,896
	59,973	6.000%, 06/01/13 - 07/01/24		64,907
	35,332	6.500%, 09/01/13 - 03/01/23		38,903
	7,826	7.000%, 03/01/15 - 01/01/18		8,376
	36	7.500%, 05/01/15		38
	429	8.000%, 11/01/15 - 10/01/16		462
		Federal National Mortgage Association, 20 Year, Single Family,
	3,421	5.500%, 05/01/27		3,732
	3,924	6.000%, 03/01/18 - 04/01/24		4,339
	5,877	6.500%, 01/01/14 - 03/01/25		6,595
	1,687	7.000%, 08/01/20 - 08/01/21		1,911
	17	7.500%, 11/01/13 - 06/01/16		18
	43	8.000%, 07/01/14 - 11/01/15		46
		Federal National Mortgage Association, 30 Year, FHA/VA,
	281	5.500%, 08/01/34		307
	49	6.000%, 07/01/17		53
	16	8.500%, 03/01/27		17

SEE NOTES TO FINANCIAL STATEMENTS.

224 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
		Federal National Mortgage Association, 30 Year, Single Family,
	57,582	5.500%, 05/01/33 - 09/01/38		63,187
	60,135	6.000%, 04/01/35 - 01/01/38		66,928
	54,684	6.500%, 03/01/26 - 10/01/38		61,914
	18,704	7.000%, 04/01/37 - 08/01/37		21,687
	151	8.000%, 12/01/30		180
	12	8.500%, 09/01/21		14
	150	9.000%, 02/01/31		187
	30	9.500%, 07/01/28		35
	12	10.000%, 02/01/24		13
		Federal National Mortgage Association, Other,
	951	4.000%, 07/01/13 - 07/01/17		1,008
	1,228	4.500%, 11/01/13 - 12/01/19		1,295
	1,314	5.000%, 01/01/14 - 05/01/14		1,351
	2,379	5.500%, 06/01/16 - 09/01/17		2,590
	1,577	6.000%, 09/01/17		1,691
		Government National Mortgage Association II,
	171	ARM, 1.625%, 07/20/21 - 11/20/25		176
	69	ARM, 2.000%, 08/20/16 - 09/20/22		71
	85	ARM, 2.375%, 05/20/17 - 01/20/28		88
	18	ARM, 2.500%, 12/20/17 - 05/20/21		19
	53	ARM, 3.000%, 01/20/16 - 05/20/20		55
	9	ARM, 3.500%, 10/20/17 - 12/20/17		10
	22	ARM, 4.000%, 11/20/15 - 08/20/18		23
		Government National Mortgage Association II, 30 Year, Single Family,
	17,402	6.000%, 09/20/38		19,512
	26,282	7.000%, 08/20/38 - 09/20/38		30,650
	22	7.500%, 09/20/28		26
	48	8.000%, 09/20/26 - 12/20/27		58
	62	8.500%, 03/20/25 - 04/20/25		75
		Government National Mortgage Association, 15 Year, Single Family,
	7	6.000%, 04/15/14		8
	5,248	6.500%, 10/15/23		5,805
		Government National Mortgage Association, 30 Year, Single Family,
	18	8.500%, 04/15/25		21
	10	9.000%, 09/15/24 - 10/15/26		13
	408	9.500%, 07/15/20 - 12/15/25		484
	20	12.000%, 11/15/19		22
		Total Mortgage Pass-Through Securities (Cost $847,075)		866,168

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Supranational — 0.0% (g)
	881	Corp. Andina de Fomento, 3.750%, 01/15/16 (Cost $888)		906
	U.S. Government Agency Securities — 21.0%
		Federal Farm Credit Bank,
	26,150	1.875%, 12/07/12		26,485
	4,000	2.200%, 04/08/13		4,086
	36,025	2.350%, 09/23/13		37,146
	25,000	2.500%, 03/26/13		25,602
	10,000	2.600%, 03/04/13		10,238
	8,000	2.625%, 04/17/14		8,358
	2,769	2.700%, 08/19/13		2,862
	1,580	3.000%, 02/12/14		1,659
	5,000	3.000%, 09/22/14		5,305
	16,493	3.875%, 01/10/13		17,003
	2,000	5.100%, 09/18/12		2,054
	1,400	5.250%, 08/21/13		1,501
	5,000	5.450%, 12/11/13		5,445
		Federal Home Loan Bank,
	22,000	1.125%, 05/18/12		22,047
	4,800	1.375%, 06/08/12		4,816
	34,125	1.625%, 06/14/13		34,710
	30,785	1.750%, 12/14/12		31,146
	85,000	1.875%, 06/21/13		86,763
	10,000	2.000%, 09/14/12		10,099
	25,865	2.375%, 03/14/14		26,891
	15,085	2.500%, 06/13/14		15,781
	74,350	2.625%, 09/13/13		76,950
	16,705	2.750%, 12/12/14		17,682
	36,830	2.750%, 03/13/15		39,123
	18,800	3.000%, 06/24/13		19,467
	10,000	3.050%, 06/28/13		10,344
	2,980	3.125%, 03/08/13		3,068
	153,715	3.125%, 12/13/13		161,218
	21,685	3.125%, 03/11/16		23,645
	16,230	3.500%, 03/08/13		16,769
	18,825	3.875%, 03/08/13		19,522
	15,895	4.250%, 06/14/13		16,703
	10,000	4.500%, 09/14/12		10,229
	5,000	4.875%, 12/14/12		5,180
	10,000	4.875%, 11/27/13		10,782
	44,470	4.875%, 12/13/13		47,997
	24,980	5.000%, 03/14/14		27,245
	20,025	5.250%, 09/13/13		21,519
	17,575	5.375%, 06/14/13		18,722
	29,755	5.375%, 06/13/14		33,053

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 225

JPMorgan Short Duration Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — Continued
	6,670	7.000%, 08/15/14		7,716
		Federal Home Loan Mortgage Corp.,
	57,900	0.500%, 10/15/13		57,904
	30,000	0.750%, 12/28/12		30,134
	50,100	1.000%, 08/20/14		50,746
	50,000	1.000%, 08/27/14		50,807
	25,100	1.350%, 04/29/14		25,598
	20,000	1.750%, 06/15/12		20,095
	10,000	1.750%, 09/10/15		10,397
	45,000	2.000%, 08/25/16		47,127
	10,000	2.125%, 09/21/12		10,109
	20,000	2.500%, 05/27/16		21,341
	11,038	4.000%, 06/12/13		11,561
	25,000	4.125%, 12/21/12		25,782
	15,000	4.500%, 01/15/13		15,560
	25,000	4.500%, 01/15/14		27,000
	15,960	4.500%, 04/02/14		17,287
	75,196	5.000%, 01/30/14		81,814
	65,505	5.000%, 07/15/14		72,493
	25,000	5.125%, 07/15/12		25,475
	20,000	5.250%, 04/18/16		23,505
		Federal National Mortgage Association,
	5,700	Zero Coupon, 07/05/14		5,580
	30,000	0.375%, 03/16/15		29,845
	25,000	0.500%, 08/09/13		25,065
	7,100	1.125%, 10/08/13		7,188
	20,000	1.250%, 09/28/16		20,290
	5,000	1.250%, 01/30/17		5,061
	65,000	1.375%, 11/15/16		66,245
	35,000	1.750%, 02/22/13		35,505
	22,000	2.250%, 03/15/16		23,110
	5,000	2.500%, 05/15/14		5,230
	25,000	3.625%, 02/12/13		25,799
	3,245	4.000%, 03/27/13		3,375
	11,310	4.000%, 04/15/13		11,784
	6,135	4.050%, 04/18/13		6,397
	5,000	4.125%, 04/29/13		5,224
	7,892	4.125%, 07/11/13		8,299
	25,000	4.375%, 09/15/12		25,567
	17,000	4.375%, 03/15/13		17,729
	107,600	4.375%, 07/17/13		113,553
	40,000	4.625%, 10/15/13		42,768
	75,750	4.750%, 11/19/12		78,219
	87,497	4.750%, 02/21/13		91,302
	35,750	4.875%, 05/18/12		36,124
	10,000	5.000%, 04/15/15		11,346

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	3,315	5.000%, 03/15/16		3,857
	6,000	6.260%, 11/26/12		6,264
	11,200	Federal National Mortgage Association Principal Strips, Zero Coupon, 07/15/16		10,602
		Total U.S. Government Agency Securities (Cost $2,275,984)		2,312,994
	U.S. Treasury Obligations — 30.5%
	9,775	U.S. Treasury Inflation Indexed Notes, 2.000%, 04/15/12		10,930
		U.S. Treasury Notes,
	10,000	0.250%, 11/30/13		9,994
	45,000	0.250%, 09/15/14		44,845
	40,000	0.375%, 10/31/12		40,053
	30,000	0.375%, 06/30/13		30,052
	65,000	0.375%, 07/31/13		65,112
	10,000	0.375%, 11/15/14		9,992
	10,000	0.500%, 11/30/12		10,024
	10,000	0.500%, 05/31/13		10,034
	35,000	0.500%, 11/15/13		35,127
	75,000	0.500%, 08/15/14		75,234
	25,000	0.500%, 10/15/14		25,070
	30,000	0.625%, 06/30/12		30,049
	155,000	0.625%, 07/31/12 (m)		155,321
	35,000	0.625%, 12/31/12		35,127
	30,000	0.625%, 01/31/13		30,118
	5,000	0.625%, 02/28/13		5,021
	15,000	0.625%, 04/30/13		15,070
	40,000	0.625%, 07/15/14		40,247
	73,000	0.750%, 05/31/12		73,114
	25,000	0.750%, 03/31/13		25,145
	20,000	0.750%, 08/15/13		20,142
	76,000	0.750%, 09/15/13		76,555
	65,000	0.875%, 11/30/16		65,168
	85,000	0.875%, 12/31/16		85,139
	75,000	0.875%, 01/31/17		75,070
	35,000	1.000%, 07/15/13		35,358
	90,000	1.000%, 05/15/14		91,301
	100,000	1.000%, 08/31/16 (m)		101,024
	75,000	1.000%, 09/30/16		75,727
	105,000	1.000%, 10/31/16		105,952
	46,000	1.125%, 12/15/12		46,340
	170,600	1.125%, 06/15/13 (m)		172,533
	140,000	1.250%, 02/15/14 (m)		142,565
	15,000	1.250%, 04/15/14		15,291
	20,000	1.250%, 08/31/15		20,494
	20,000	1.250%, 09/30/15		20,483

SEE NOTES TO FINANCIAL STATEMENTS.

226 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
	28,300	1.375%, 05/15/12		28,374
	136,565	1.375%, 09/15/12		137,461
	85,000	1.375%, 10/15/12 (m)		85,637
	104,680	1.375%, 11/15/12		105,563
	15,000	1.375%, 01/15/13		15,155
	30,000	1.375%, 02/15/13		30,336
	72,000	1.375%, 03/15/13		72,869
	30,000	1.375%, 05/15/13		30,411
	40,000	1.500%, 06/30/16		41,303
	81,620	1.500%, 07/31/16 (m)		84,266
	78,210	1.750%, 08/15/12		78,784
	25,000	1.750%, 01/31/14		25,688
	35,000	1.750%, 07/31/15		36,444
	100,000	1.750%, 05/31/16		104,352
	10,000	1.875%, 06/15/12		10,051
	75,000	1.875%, 02/28/14		77,320
	30,750	1.875%, 04/30/14		31,769
	20,000	1.875%, 06/30/15		20,900
	40,000	2.000%, 04/30/16		42,138
	25,000	2.125%, 12/31/15		26,438
	75,000	2.125%, 02/29/16		79,359
	30,250	2.250%, 01/31/15		31,833
	40,000	2.375%, 10/31/14		42,075

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	50,000	2.375%, 03/31/16		53,437
	15,000	2.500%, 04/30/15		15,949
	5,000	2.750%, 11/30/16		5,447
	4,300	3.125%, 09/30/13		4,494
	35,000	3.250%, 12/31/16		38,992
	50,000	4.000%, 02/15/15		55,219
	25,000	4.500%, 02/15/16		28,762
		Total U.S. Treasury Obligations (Cost $3,336,228)		3,365,647
SHARES
	Short-Term Investment — 2.6%
		Investment Company — 2.6%
	286,458	JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (Cost $286,458)		286,458
		Total Investments — 100.4% (Cost $10,928,924)		11,076,256
		Liabilities in Excess of Other Assets — (0.4)%		(41,080	)
		NET ASSETS — 100.0%	$	11,035,176

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 227

JPMorgan Short Term Bond Fund II

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 6.8%
		Ally Auto Receivables Trust,
	160	Series 2010-1, Class A3, 1.450%, 05/15/14		162
	89	Series 2010-3, Class A4, 1.550%, 08/17/15		90
	137	Series 2011-3, Class A3, 0.970%, 08/17/15		138
	126	Series 2011-4, Class A4, 1.140%, 06/15/16		126
		AmeriCredit Automobile Receivables Trust,
	35	Series 2009-1, Class A3, 3.040%, 10/15/13		35
	185	Series 2010-3, Class A3, 1.140%, 04/08/15		186
	90	Series 2011-3, Class A3, 1.170%, 01/08/16		90
	71	Series 2011-4, Class A3, 1.170%, 05/09/16		71
		Bank of America Auto Trust,
	5	Series 2009-1A, Class A3, 2.670%, 07/15/13 (e)		6
	100	Series 2009-1A, Class A4, 3.520%, 06/15/16 (e)		101
	38	Series 2009-3A, Class A3, 1.670%, 12/15/13 (e)		38
		CarMax Auto Owner Trust,
	37	Series 2010-1, Class A3, 1.560%, 07/15/14		37
	202	Series 2010-1, Class A4, 2.400%, 04/15/15		206
	113	Series 2011-2, Class A4, 1.350%, 02/15/17		114
		Chrysler Financial Auto Securitization Trust,
	44	Series 2009-A, Class A3, 2.820%, 01/15/16		44
	196	Series 2010-A, Class A3, 0.910%, 08/08/13		196
		CNH Equipment Trust,
	21	Series 2010-A, Class A3, 1.540%, 07/15/14		21
	155	Series 2011-A, Class A3, 1.200%, 05/16/16		156
	131	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35		126
		Ford Credit Auto Owner Trust,
	31	Series 2009-B, Class A3, 2.790%, 08/15/13		31
	100	Series 2010-B, Class A4, 1.580%, 09/15/15		102
	291	GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.424%, 02/25/36		232
	26	Harley-Davidson Motorcycle Trust, Series 2009-4, Class A3, 1.870%, 02/15/14		26
	236	Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.424%, 07/25/36		228
	15	Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 05/15/13		16
	100	Huntington Auto Trust, Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		100
		Hyundai Auto Receivables Trust,
	161	Series 2010-A, Class A3, 1.500%, 10/15/14		162
	260	Series 2010-B, Class A4, 1.630%, 03/15/17		265
	35	John Deere Owner Trust, Series 2011-A, Class A3, 1.290%, 01/15/16		35
	123	Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14		123

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	57	Nissan Auto Receivables Owner Trust, Series 2009-1, Class A3, 5.000%, 09/15/14		58
	193	Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.444%, 02/25/36		185
	202	Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.434%, 03/25/36		189
		Santander Drive Auto Receivables Trust,
	150	Series 2010-1, Class A3, 1.840%, 11/17/14		151
	35	Series 2010-3, Class A3, 1.200%, 06/16/14		35
	300	Series 2010-B, Class A3, 1.310%, 02/17/14 (e)		301
	200	Volkswagen Auto Loan Enhanced Trust, Series 2011-1, Class A4, 1.980%, 09/20/17		206
		World Omni Auto Receivables Trust,
	17	Series 2010-A, Class A3, 1.340%, 12/16/13		17
	45	Series 2010-A, Class A4, 2.210%, 05/15/15		46
		Total Asset-Backed Securities (Cost $4,522)		4,451
	Collateralized Mortgage Obligations — 5.0%
		Agency CMO — 5.0%
		Federal Home Loan Mortgage Corp. REMICS,
	247	Series 2594, Class QP, 4.000%, 03/15/33		261
	160	Series 2686, Class VP, 5.000%, 09/15/17		165
	200	Series 3209, Class EG, 4.500%, 08/15/20		219
		Federal National Mortgage Association REMICS,
	84	Series 2003-42, Class EP, 4.000%, 11/25/22		86
	350	Series 2003-92, Class PE, 4.500%, 09/25/18		379
	163	Series 2005-31, Class PA, 5.500%, 10/25/34		181
	200	Series 2005-48, Class MD, 5.000%, 04/25/34		217
	99	Series 2007-76, Class DB, 6.000%, 05/25/33		104
	200	Series 2008-68, Class VN, 5.500%, 03/25/27		218
	224	Series 2010-64, Class DM, 5.000%, 06/25/40		244
	281	Series 2010-64, Class EH, 5.000%, 10/25/35		297
		Government National Mortgage Association,
	5	Series 2002-24, Class FA, VAR, 0.748%, 04/16/32 (m)		5
	50	Series 2003-86, Class PE, 5.000%, 09/20/32		54
	296	Series 2003-105, Class VH, 4.500%, 01/16/28		311
	239	Series 2009-31, Class BV, 4.500%, 06/20/20		267
	149	Series 2009-67, Class GK, 4.500%, 01/16/37		160
	78	NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.400%, 12/08/20		80
				3,248
		Non-Agency CMO — 0.0% (g)
	40	MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.000%, 09/25/19		42
		Total Collateralized Mortgage Obligations (Cost $3,250)		3,290

SEE NOTES TO FINANCIAL STATEMENTS.

228 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — 0.3%
	100	Nomura Asset Securities Corp., Series 1998-D6, Class A4, VAR, 7.897%, 03/15/30		105
	56	Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41		60
		Total Commercial Mortgage-Backed Securities (Cost $168)		165
	Corporate Bonds — 24.7%
		Consumer Discretionary — 0.6%
		Auto Components — 0.1%
	65	Johnson Controls, Inc., 4.875%, 09/15/13		68
		Automobiles — 0.1%
	70	Daimler Finance North America LLC, 6.500%, 11/15/13		76
		Broadcasting & Cable TV — 0.1%
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	24	3.125%, 02/15/16		25
	45	3.500%, 03/01/16		48
				73
		Internet Retail — 0.0% (g)
	30	eBay, Inc., 1.625%, 10/15/15		31
		Media — 0.3%
	40	Comcast Corp., 6.500%, 01/15/15		46
	40	Discovery Communications LLC, 3.700%, 06/01/15		43
	50	NBCUniversal Media LLC, 2.875%, 04/01/16		52
	30	Viacom, Inc., 6.250%, 04/30/16		35
				176
		Total Consumer Discretionary		424
		Consumer Staples — 2.2%
		Beverages — 0.7%
	16	Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14		16
		Bottling Group LLC,
	45	5.000%, 11/15/13		49
	65	6.950%, 03/15/14		73
	160	Coca-Cola Co. (The), 3.625%, 03/15/14		170
	85	PepsiCo, Inc., 3.750%, 03/01/14		90
	50	SABMiller plc, (United Kingdom), 5.700%, 01/15/14 (e)		54
				452
		Food & Staples Retailing — 0.1%
		Kroger Co. (The),
	20	3.900%, 10/01/15		22

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Food & Staples Retailing — Continued
	20	7.500%, 01/15/14		22
	45	Wal-Mart Stores, Inc., 7.250%, 06/01/13		49
				93
		Food Products — 1.4%
	120	Bunge Ltd. Finance Corp., 5.875%, 05/15/13		126
	50	Cargill, Inc., 4.375%, 06/01/13 (e)		52
	35	General Mills, Inc., 5.250%, 08/15/13		37
		Kraft Foods, Inc.,
	600	4.125%, 02/09/16		655
	37	6.250%, 06/01/12		38
				908
		Total Consumer Staples		1,453
		Energy — 0.6%
		Energy Equipment & Services — 0.0% (g)
	3	Noble Holding International Ltd., (Cayman Islands), 2.500%, 03/15/17		3
	20	Transocean, Inc., (Cayman Islands), 5.050%, 12/15/16		22
				25
		Oil, Gas & Consumable Fuels — 0.6%
	15	Anadarko Petroleum Corp., 5.750%, 06/15/14		16
	35	Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14		38
	40	ConocoPhillips Australia Funding Co., 5.500%, 04/15/13		42
	30	PC Financial Partnership, 5.000%, 11/15/14		33
	43	Petrobras International Finance Co., (Cayman Islands), 3.500%, 02/06/17		44
		Shell International Finance B.V., (Netherlands),
	30	1.875%, 03/25/13		31
	15	3.100%, 06/28/15		16
	35	4.000%, 03/21/14		37
	100	Statoil ASA, (Norway), 5.125%, 04/30/14 (e)		109
	29	Total Capital S.A., (France), 3.000%, 06/24/15		31
				397
		Total Energy		422
		Financials — 15.1%
		Capital Markets — 3.0%
	200	Bank of New York Mellon Corp. (The), 4.500%, 04/01/13		208
	100	BlackRock, Inc., 3.500%, 12/10/14		107
	45	Charles Schwab Corp. (The), 4.950%, 06/01/14		49

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 229

JPMorgan Short Term Bond Fund II

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Capital Markets — Continued
		Credit Suisse USA, Inc.,
	200	4.875%, 01/15/15		215
	50	5.125%, 08/15/15		54
	600	Goldman Sachs Group, Inc. (The), 4.750%, 07/15/13		622
	85	Jefferies Group, Inc., 3.875%, 11/09/15		81
		Morgan Stanley,
	100	5.375%, 10/15/15		104
	280	6.750%, 10/15/13		297
	15	Nomura Holdings, Inc., (Japan), 4.125%, 01/19/16		15
	60	Northern Trust Corp., 5.500%, 08/15/13		64
	135	State Street Corp., 4.300%, 05/30/14		144
				1,960
		Commercial Banks — 3.3%
	45	Bank of Nova Scotia, (Canada), 3.400%, 01/22/15		48
	110	Barclays Bank plc, (United Kingdom), 5.200%, 07/10/14		117
	240	BB&T Corp., 5.200%, 12/23/15		265
	20	Canadian Imperial Bank of Commerce, (Canada), 2.350%, 12/11/15		20
		Deutsche Bank AG, (Germany),
	175	3.875%, 08/18/14		183
	100	4.875%, 05/20/13		103
	30	Fifth Third Bancorp, 3.625%, 01/25/16		32
	20	M&T Bank Corp., 5.375%, 05/24/12		20
	100	National City Corp., 4.900%, 01/15/15		110
	50	SunTrust Banks, Inc., 3.600%, 04/15/16		52
	250	U.S. Bank N.A., 6.300%, 02/04/14		274
	800	Wachovia Corp., 5.500%, 05/01/13		843
	128	Westpac Banking Corp., (Australia), 2.100%, 08/02/13		130
				2,197
		Consumer Finance — 2.2%
		American Express Credit Corp.,
	130	5.875%, 05/02/13		137
	150	7.300%, 08/20/13		163
		Capital One Financial Corp.,
	70	3.150%, 07/15/16		72
	20	7.375%, 05/23/14		22
	720	HSBC Finance Corp., 5.000%, 06/30/15		763
	200	John Deere Capital Corp., 5.250%, 10/01/12		206
	55	Toyota Motor Credit Corp., 3.200%, 06/17/15		58
				1,421

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		Diversified Financial Services — 3.9%
	50	Bank of America Corp., 4.900%, 05/01/13		51
		BP Capital Markets plc, (United Kingdom),
	60	3.125%, 03/10/12		60
	80	3.625%, 05/08/14		85
		Caterpillar Financial Services Corp.,
	150	4.900%, 08/15/13		159
	50	6.125%, 02/17/14		55
		Citigroup, Inc.,
	45	6.375%, 08/12/14		49
	520	6.500%, 08/19/13		551
		CME Group, Inc.,
	110	5.400%, 08/01/13		117
	90	5.750%, 02/15/14		99
	20	ERAC USA Finance LLC, 2.750%, 07/01/13 (e)		20
		General Electric Capital Corp.,
	1,000	4.750%, 09/15/14		1,086
	125	5.900%, 05/13/14		138
	50	NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15		52
	20	National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12		20
				2,542
		FDIC Guaranteed Securities (~) — 1.1%
	700	General Electric Capital Corp., 2.125%, 12/21/12		711
		Insurance — 0.3%
	50	Allstate Corp. (The), 6.200%, 05/16/14		55
	40	CNA Financial Corp., 5.850%, 12/15/14		43
	100	Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e)		104
	20	Travelers Cos., Inc. (The), 6.250%, 06/20/16		24
				226
		Real Estate Investment Trusts (REITs) — 0.2%
	35	ERP Operating LP, 5.250%, 09/15/14		38
	50	HCP, Inc., 7.072%, 06/08/15		56
	13	Simon Property Group LP, 4.200%, 02/01/15		14
				108
		Thrifts & Mortgage Finance — 1.1%
	700	Countrywide Financial Corp., 5.800%, 06/07/12		706
		Total Financials		9,871
		Health Care — 0.0% (g)
		Biotechnology — 0.0% (g)
	19	Amgen, Inc., 2.300%, 06/15/16		19

SEE NOTES TO FINANCIAL STATEMENTS.

230 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Industrials — 1.1%
		Aerospace & Defense — 0.4%
	150	Boeing Co. (The), 5.125%, 02/15/13		156
	100	Honeywell International, Inc., 3.875%, 02/15/14		106
				262
		Commercial Services & Supplies — 0.0% (g)
	10	Pitney Bowes, Inc., 4.875%, 08/15/14		11
		Industrial Conglomerates — 0.1%
	34	Danaher Corp., 1.300%, 06/23/14		34
	30	Ingersoll-Rand Global Holding Co. Ltd., (Bermuda), 9.500%, 04/15/14		35
				69
		Machinery — 0.1%
	40	PACCAR, Inc., 6.875%, 02/15/14		45
		Road & Rail — 0.5%
	100	Burlington Northern Santa Fe LLC, 5.900%, 07/01/12		102
		Canadian National Railway Co., (Canada),
	20	4.400%, 03/15/13		21
	30	4.950%, 01/15/14		32
	80	CSX Corp., 6.300%, 03/15/12		80
	70	Union Pacific Corp., 5.450%, 01/31/13		73
				308
		Total Industrials		695
		Information Technology — 1.5%
		Communications Equipment — 0.1%
	50	Cisco Systems, Inc., 5.500%, 02/22/16		59
		Computers & Peripherals — 0.3%
	59	Dell, Inc., 3.100%, 04/01/16		63
		Hewlett-Packard Co.,
	20	2.950%, 08/15/12		20
	120	6.125%, 03/01/14		131
				214
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	15	3.375%, 11/01/15		15
	40	6.875%, 07/01/13		43
				58
		IT Services — 0.2%
	50	HP Enterprise Services LLC, 6.000%, 08/01/13		53

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
		IT Services — Continued
	60	International Business Machines Corp., 4.750%, 11/29/12		62
				115
		Office Electronics — 0.2%
	110	Xerox Corp., 8.250%, 05/15/14		124
		Semiconductors & Semiconductor Equipment — 0.2%
	37	Intel Corp., 1.950%, 10/01/16		38
	40	National Semiconductor Corp., 3.950%, 04/15/15		44
	34	Texas Instruments, Inc., 2.375%, 05/16/16		36
				118
		Software — 0.4%
	140	Microsoft Corp., 2.950%, 06/01/14		148
	140	Oracle Corp., 4.950%, 04/15/13		147
				295
		Total Information Technology		983
		Materials — 0.6%
		Chemicals — 0.3%
	40	Dow Chemical Co. (The), 7.600%, 05/15/14		46
		E.I. du Pont de Nemours & Co.,
	29	1.950%, 01/15/16		30
	45	3.250%, 01/15/15		48
	33	5.000%, 01/15/13		34
	50	Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15		54
				212
		Metals & Mining — 0.3%
	71	BHP Billiton Finance USA Ltd., (Australia), 1.125%, 11/21/14		71
	70	Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14		82
				153
		Total Materials		365
		Telecommunication Services — 1.6%
		Diversified Telecommunication Services — 1.3%
	450	AT&T, Inc., 6.700%, 11/15/13		495
	130	France Telecom S.A., (France), 4.375%, 07/08/14		139
	50	Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14		51
	125	Verizon Communications, Inc., 2.000%, 11/01/16		128
				813

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 231

JPMorgan Short Term Bond Fund II

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Wireless Telecommunication Services — 0.3%
	120	Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14		131
	70	Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14		75
				206
		Total Telecommunication Services		1,019
		Utilities — 1.4%
		Electric Utilities — 0.8%
	200	Appalachian Power Co., 5.650%, 08/15/12		204
	50	CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14		54
	17	Commonwealth Edison Co., 1.950%, 09/01/16		17
		Duke Energy Corp.,
	30	3.950%, 09/15/14		32
	38	6.300%, 02/01/14		42
	50	Nisource Finance Corp., 6.150%, 03/01/13		53
	15	Progress Energy, Inc., 6.050%, 03/15/14		17
	20	Southern California Edison Co., 4.150%, 09/15/14		22
		Southern Co. (The),
	12	1.950%, 09/01/16		12
	10	4.150%, 05/15/14		11
	50	Spectra Energy Capital LLC, 5.668%, 08/15/14		54
				518
		Gas Utilities — 0.3%
	85	Atmos Energy Corp., 4.950%, 10/15/14		93
	80	Southern California Gas Co., 5.500%, 03/15/14		87
	35	TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13		36
				216
		Multi-Utilities — 0.3%
	130	Dominion Resources, Inc., 5.700%, 09/17/12		133
	20	PG&E Corp., 5.750%, 04/01/14		22
				155
		Total Utilities		889
		Total Corporate Bonds (Cost $15,783)		16,140
	Foreign Government Securities — 0.2%
		Province of Ontario, (Canada),
	100	2.950%, 02/05/15		106
	45	4.100%, 06/16/14		49
		Total Foreign Government Securities (Cost $145)		155

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — 1.1%
	203	Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 6.000%, 10/01/24		223
	155	Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, 6.000%, 06/01/34		173
	134	Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21		144
	150	Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23		165
		Total Mortgage Pass-Through Securities (Cost $693)		705
	Supranational — 0.1%
	38	Corp. Andina de Fomento, 3.750%, 01/15/16 (Cost $38)		39
	U.S. Government Agency Securities — 31.8%
		Federal Farm Credit Bank,
	400	2.625%, 04/17/14		418
	685	4.900%, 03/06/13		717
		Federal Home Loan Bank,
	2,500	1.875%, 06/21/13		2,552
	4,000	3.125%, 12/13/13		4,195
		Federal Home Loan Mortgage Corp.,
	900	0.750%, 12/28/12		904
	1,350	1.000%, 08/20/14		1,367
	650	2.500%, 05/27/16		694
		Federal National Mortgage Association,
	300	1.250%, 09/28/16		304
	500	2.375%, 07/28/15		530
	200	2.500%, 05/15/14		209
	2,703	4.000%, 03/27/13		2,812
	4,000	4.375%, 03/15/13		4,172
	1,400	4.625%, 10/15/13		1,497
	400	4.750%, 02/21/13		417
		Total U.S. Government Agency Securities (Cost $20,403)		20,788
	U.S. Treasury Obligations — 29.4%
		U.S. Treasury Notes,
	2,500	0.500%, 11/15/13 (m)		2,509
	500	0.625%, 02/28/13		502
	300	0.750%, 08/15/13		302
	1,000	0.875%, 11/30/16		1,003
	500	0.875%, 01/31/17		500
	350	1.000%, 05/15/14		355
	350	1.000%, 08/31/16		354
	1,000	1.000%, 10/31/16		1,009
	310	1.250%, 04/15/14		316
	2,550	1.375%, 09/15/12		2,567

SEE NOTES TO FINANCIAL STATEMENTS.

232 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
	1,420	1.375%, 02/15/13		1,436
	400	1.375%, 11/30/15		411
	290	1.500%, 06/30/16		299
	200	1.500%, 07/31/16		206
	1,700	1.750%, 08/15/12		1,713
	700	1.750%, 07/31/15		729
	260	1.750%, 05/31/16		271
	2,500	2.000%, 11/30/13 (m)		2,574
	800	2.000%, 04/30/16		843
	415	2.125%, 02/29/16		439
	300	2.375%, 03/31/16		321
	215	2.500%, 04/30/15		229
	250	2.625%, 04/30/16		270
		Total U.S. Treasury Obligations (Cost $18,934)		19,158

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 0.0% (g)
		Investment Company — 0.0% (g)
	20	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $20)		20
		Total Investments — 99.4% (Cost $63,956)		64,911
		Other Assets in Excess of Liabilities — 0.6%		384
		NET ASSETS — 100.0%	$	65,295

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 233

JPMorgan Treasury & Agency Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

(Amounts in thousands)

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — 20.8%
		Federal Farm Credit Bank,
	24,000	3.875%, 06/04/12 (m)		24,233
	9,745	4.000%, 05/21/13		10,187
	25,000	4.350%, 09/02/14 (m)		27,337
	500	6.270%, 01/26/16		600
		Federal Home Loan Bank,
	5,000	1.125%, 05/18/12		5,011
	9,400	5.310%, 12/28/12		9,795
	1,772	New Valley Generation I, 7.299%, 03/15/19		2,145
	4,498	New Valley Generation II, 5.572%, 05/01/20		5,169
		Total U.S. Government Agency Securities (Cost $80,345)		84,477
	U.S. Treasury Obligations — 78.1%
		U.S. Treasury Notes,
	20,000	0.625%, 06/30/12		20,033
	23,000	0.875%, 12/31/16		23,038
	28,000	1.250%, 08/31/15		28,691
	6,000	1.375%, 05/15/12		6,016
	21,040	1.375%, 02/15/13		21,276
	4,000	1.375%, 11/30/15		4,114
	7,000	1.750%, 04/15/13		7,120
	20,000	1.750%, 07/31/15		20,825
	40,000	1.875%, 06/15/12		40,203

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	12,000	1.875%, 04/30/14		12,397
	70,000	2.000%, 11/30/13		72,081
	15,000	2.000%, 01/31/16		15,792
	10,000	2.000%, 04/30/16		10,534
	5,000	2.125%, 11/30/14		5,232
	8,000	2.375%, 10/31/14		8,415
	15,000	2.625%, 04/30/16		16,186
	4,000	3.250%, 12/31/16		4,456
		Total U.S. Treasury Obligations (Cost $311,394)		316,409
SHARES
	Short-Term Investment — 0.6%
		Investment Company — 0.6%
	2,230	JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.000% (b) (l) (Cost $2,230)		2,230
		Total Investments — 99.5% (Cost $393,969)		403,116
		Other Assets in Excess of Liabilities — 0.5%		1,884
		NET ASSETS — 100.0%	$	405,000

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

234 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

J.P. Morgan Income Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012

ADR	—  American Depositary Receipt
ARM	—  Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2012.
BRL	—  Brazilian Real
CDX	—  Credit Default Swap Index
CLN	—  Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of February 29, 2012. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate.
CMO	—  Collateralized Mortgage Obligation
CPI-U	—  Consumer Price Index for All Urban Customers
DIP	—  Debtor-in-Possession
DOP	—  Dominican Peso
ESOP	—  Employee Stock Ownership Program
EUR	—  Euro
FGIC	—  Insured by Financial Guaranty Insurance Co.
FHA	—  Federal Housing Administration
GO	—  General Obligation
HB	—  High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF	—  Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 29, 2012. 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.
MXN	—  Mexican Peso
PEN	—  Peru Nuevo Sol
PIK	—  Payment-in-Kind
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.
Reg. S.	—  Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.

REMICS —  Real Estate Mortgage Investment Conduits

Rev. —  Revenue

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.
SUB	—  Step-Up Bond. The interest rate shown is the rate in effect as of February 29, 2012.
TRY	—  New Turkish Lira
UYU	—  Uruguayan Peso
VA	—  Veterans Administration
VAR	—  Variable Rate Security. The interest rate shown is the rate in effect as of February 29, 2012.
(a)	—  Non-income producing security.
(b)	—  Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(d)	—  Defaulted security.
(e)	—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f)	—  Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands):
	Fund	Value		Percentage
	Core Bond Fund	$	239,217		0.97	%
	Core Plus Bond Fund		13,965		0.62
	High Yield Fund		71,957		0.62
	Limited Duration Bond Fund		2,392		0.60
	Mortgage-Backed Securities Fund		36,745		1.18
(g)	—  Amount rounds to less than 0.1%.
(h)	—  Amount rounds to less than one thousand (shares or dollars).
(i)	—  Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k)	—  All or portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)	—  The rate shown is the current yield as of February 29, 2012.
(m)	—  All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign exchange currency contracts.
(r)	—  Rates shown are per annum and payments are as described.
(x)	—  Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 29, 2012.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 235

J.P. Morgan Income Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF FEBRUARY 29, 2012 (continued)

@	—  The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is currently in effect as of February 29, 2012.
~	—  Securities are guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP). Under this program, the FDIC guarantees, with the full faith and credit of the U.S. government, the payment of principal and interest. The expiration of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012.
^	—  All or a portion of the security is unsettled as of February 29, 2012. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.
†	—  The following approximates the value of investments restricted as collateral for swaps to various brokers (amounts in thousands):

Fund	Value
High Yield Fund	$	920
Inflation Managed Bond Fund		140

SEE NOTES TO FINANCIAL STATEMENTS.

236 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

THIS PAGE IS INTENTIONALLY LEFT BLANK

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 237

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012

(Amounts in thousands, except per share amounts)

	Core Bond Fund		Core Plus Bond Fund			Government Bond Fund
ASSETS:
Investments in non-affiliates, at value	$	23,381,648	$	2,100,484		$	1,467,485
Investments in affiliates, at value		1,334,403		170,014			141,918
Total investment securities, at value		24,716,051		2,270,498			1,609,403
Cash		2,047		122			—
Foreign currency, at value		—		17			—
Receivables:
Investment securities sold		25,009		3,851			145
Fund shares sold		121,632		8,050			14,439
Interest and dividends from non-affiliates		116,777		19,629			5,240
Dividends from affiliates		186		19			1
Unrealized appreciation on forward foreign currency exchange contracts		—		39			—
Other assets (See Note 9)		—		253			—
Total Assets		24,981,702		2,302,478			1,629,228
LIABILITIES:
Payables:
Dividends		6,921		3,840			1,988
Investment securities purchased		339,572		15,771			—
Fund shares redeemed		32,631		5,587			2,949
Variation margin on futures contracts		—		2			—
Unrealized depreciation on forward foreign currency exchange contracts		—		21			—
Outstanding swap contracts, at value		—		8			—
Accrued liabilities:
Investment advisory fees		4,000		510			368
Administration fees		1,687		91			78
Shareholder servicing fees		2,739		376			52
Distribution fees		2,625		315			256
Custodian and accounting fees		171		42			15
Collateral management fees		—		—	(a)		—
Trustees’ and Chief Compliance Officer’s fees		15		2			3
Transfer agent fees		1,748		239			372
Other		1,044		3,047	(b)		91
Total Liabilities		393,153		29,851			6,172
Net Assets	$	24,588,549	$	2,272,627		$	1,623,056

SEE NOTES TO FINANCIAL STATEMENTS.

238 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Core Bond Fund			Core Plus Bond Fund			Government Bond Fund
NET ASSETS:
Paid-in-Capital	$	23,107,152		$	2,420,066		$	1,446,878
Accumulated undistributed (distributions in excess of) net investment income		1,207			301			(35	)
Accumulated net realized gains (losses)		28,569			(267,592	)		(116	)
Net unrealized appreciation (depreciation)		1,451,621			119,852			176,329
Total Net Assets	$	24,588,549		$	2,272,627		$	1,623,056
Net Assets:
Class A	$	5,937,341		$	424,254		$	615,219
Class B		53,729			4,990			11,661
Class C		2,400,830			398,777			201,498
Class R2		67,044			927			25,147
Class R5		190,711			—			—
Class R6		3,221,144			64,170			—
Institutional Class		—			39,168			—
Select Class		12,717,750			1,340,341			769,531
Total	$	24,588,549		$	2,272,627		$	1,623,056
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		497,836			50,612			53,273
Class B		4,507			592			1,011
Class C		200,332			47,385			17,508
Class R2		5,628			111			2,179
Class R5		16,013			—			—
Class R6		270,128			7,657			—
Institutional Class		—			4,670			—
Select Class		1,067,348			159,969			66,674
Net Asset Value (c):
Class A — Redemption price per share	$	11.93		$	8.38		$	11.55
Class B — Offering price per share (d)		11.92			8.43			11.54
Class C — Offering price per share (d)		11.98			8.42			11.51
Class R2 — Offering and redemption price per share		11.91			8.38			11.54
Class R5 — Offering and redemption price per share		11.91			—			—
Class R6 — Offering and redemption price per share		11.92			8.38			—
Institutional Class — Offering and redemption price per share		—			8.39			—
Select Class — Offering and redemption price per share		11.92			8.38			11.54
Class A maximum sales charge		3.75	%		3.75	%		3.75	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	12.39		$	8.71		$	12.00
Cost of investments in non-affiliates	$	21,930,027		$	1,980,641		$	1,291,156
Cost of investments in affiliates		1,334,403			170,014			141,918
Cost of foreign currency		—			16			—

(a) Amount rounds to less than $1,000.

(b) See Note 9.

(c) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(d) Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 239

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands, except per share amounts)

	High Yield Fund		Inflation Managed Bond Fund			Limited Duration Bond Fund
ASSETS:
Investments in non-affiliates, at value	$	11,000,627	$	1,120,665		$	342,718
Investments in affiliates, at value		552,312		50,101			56,538
Investments in affiliates — restricted, at value		920		140			—
Total investment securities, at value		11,553,859		1,170,906			399,256
Cash		3,626		—			—
Receivables:
Investment securities sold		94,519		—			48
Fund shares sold		38,737		11,793			359
Interest and dividends from non-affiliates		189,937		5,750			853
Dividends from affiliates		62		7			8
Outstanding swap contracts, at value		—		7,457			—
Total Assets		11,880,740		1,195,913			400,524
LIABILITIES:
Payables:
Dividends		29,547		1,221			407
Investment securities purchased		305,205		3,295			—
Fund shares redeemed		6,283		385			1,175
Outstanding swap contracts, at value		368		2,446			—
Accrued liabilities:
Investment advisory fees		5,559		219			37
Administration fees		277		—			—
Shareholder servicing fees		741		72			63
Distribution fees		387		29			43
Custodian and accounting fees		70		9			9
Collateral management fees		1		3			—
Trustees’ and Chief Compliance Officer’s fees		14		—	(a)		2
Other		1,690		206			98
Total Liabilities		350,142		7,885			1,834
Net Assets	$	11,530,598	$	1,188,028		$	398,690

SEE NOTES TO FINANCIAL STATEMENTS.

240 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	High Yield Fund			Inflation Managed Bond Fund			Limited Duration Bond Fund
NET ASSETS:
Paid-in-Capital	$	11,195,006		$	1,157,247		$	517,309
Accumulated undistributed (distributions in excess of) net investment income		427			(49	)		(638	)
Accumulated net realized gains (losses)		(4,068	)		5,265			(75,479	)
Net unrealized appreciation (depreciation)		339,233			25,565			(42,502	)
Total Net Assets	$	11,530,598		$	1,188,028		$	398,690
Net Assets:
Class A	$	1,103,966		$	134,099		$	48,120
Class B		11,060			—			286
Class C		280,078			4,302			54,348
Class R2		6,968			11,174			—
Class R5		50,747			56			—
Class R6		1,461,496			167,997			3,642
Select Class		8,616,283			870,400			292,294
Total	$	11,530,598		$	1,188,028		$	398,690
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		139,901			12,488			5,085
Class B		1,398			—			30
Class C		35,458			401			5,802
Class R2		884			1,040			—
Class R5		6,400			5			—
Class R6		184,655			15,642			384
Select Class		1,087,866			81,052			30,896
Net Asset Value (b):
Class A — Redemption price per share	$	7.89		$	10.74		$	9.46
Class B — Offering price per share (c)		7.91			—			9.39
Class C — Offering price per share (c)		7.90			10.73			9.37
Class R2 — Offering and redemption price per share		7.88			10.74			—
Class R5 — Offering and redemption price per share		7.93			10.77			—
Class R6 — Offering and redemption price per share		7.91			10.74			9.47
Select Class — Offering and redemption price per share		7.92			10.74			9.46
Class A maximum sales charge		3.75	%		3.75	%		2.25	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	8.20		$	11.16		$	9.68
Cost of investments in non-affiliates	$	10,665,292		$	1,100,111		$	385,220
Cost of investments in affiliates		552,312			50,101			56,538
Cost of investments in affiliates — restricted		920			140			—
Premiums received on swaps		4,266			—			—

(a) Amount rounds to less than $1,000.

(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(c) Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 241

STATEMENTS OF ASSETS AND LIABILITIES

AS OF FEBRUARY 29, 2012 (continued)

(Amounts in thousands, except per share amounts)

	Mortgage-Backed Securities Fund		Short Duration Bond Fund		Short Term Bond Fund II			Treasury & Agency Fund
ASSETS:
Investments in non-affiliates, at value	$	2,894,487	$	10,789,798	$	64,891		$	400,886
Investments in affiliates, at value		223,214		286,458		20			2,230
Total investment securities, at value		3,117,701		11,076,256		64,911			403,116
Cash		305		134		—			—
Receivables:
Investment securities sold		3,541		1,774		101			—
Fund shares sold		10,710		41,157		1			301
Interest from non-affiliates		10,937		58,789		477			2,224
Dividends from affiliates		39		1		—	(a)		—
Other assets (See Note 9)		—		—		9			—
Total Assets		3,143,233		11,178,111		65,499			405,641
LIABILITIES:
Payables:
Dividends		1,716		8,930		49			220
Investment securities purchased		68,804		115,977		—			—
Fund shares redeemed		12,618		13,436		31			181
Accrued liabilities:
Investment advisory fees		270		1,686		19			97
Administration fees		157		586		—	(a)		24
Shareholder servicing fees		177		1,403		7			1
Distribution fees		50		230		18			18
Custodian and accounting fees		55		84		6			6
Trustees’ and Chief Compliance Officer’s fees		1		3		—	(a)		—	(a)
Transfer agent fees		63		250		4			40
Audit fees		29		36		51			28
Other		74		314		19			26
Total Liabilities		84,014		142,935		204			641
Net Assets	$	3,059,219	$	11,035,176	$	65,295		$	405,000

SEE NOTES TO FINANCIAL STATEMENTS.

242 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Mortgage-Backed Securities Fund			Short Duration Bond Fund			Short Term Bond Fund II			Treasury & Agency Fund
NET ASSETS:
Paid-in-Capital	$	2,920,620		$	10,885,165		$	124,040		$	395,741
Accumulated undistributed (distributions in excess of) net investment income		238			489			(69	)		(27	)
Accumulated net realized gains (losses)		(6,440	)		2,190			(59,631	)		139
Net unrealized appreciation (depreciation)		144,801			147,332			955			9,147
Total Net Assets	$	3,059,219		$	11,035,176		$	65,295		$	405,000
Net Assets:
Class A	$	255,946		$	260,098		$	3,943		$	90,893
Class B		—			1,409			—			408
Class C		—			297,098			—			—
Class M		—			—			59,970			—
Class R6		1,538,507			3,530,135			—			—
Select Class		1,264,766			6,946,436			1,382			313,699
Total	$	3,059,219		$	11,035,176		$	65,295		$	405,000
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		21,780			23,702			451			9,328
Class B		—			127			—			42
Class C		—			26,901			—			—
Class M		—			—			6,864			—
Class R6		133,677			321,324			—			—
Select Class		109,896			632,291			158			32,234
Net Asset Value (b):
Class A — Redemption price per share	$	11.75		$	10.97		$	8.74		$	9.74
Class B — Offering price per share (c)		—			11.08			—			9.73
Class C — Offering price per share (c)		—			11.04			—			—
Class M — Redemption price per share		—			—			8.74			—
Class R6 — Offering and redemption price per share		11.51			10.99			—			—
Select Class — Offering and redemption price per share		11.51			10.99			8.76			9.73
Class A maximum sales charge		3.75	%		2.25	%		2.25	%		2.25	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	12.21		$	11.22		$	8.94		$	9.96
Class M maximum sales charge		—			—			1.50			—
Class M maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	—		$	—		$	8.87		$	—
Cost of investments in non-affiliates	$	2,749,686		$	10,642,466		$	63,936		$	391,739
Cost of investments in affiliates		223,214			286,458			20			2,230

(a) Amount rounds to less than $1,000.

(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(c) Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 243

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED FEBRUARY 29, 2012

(Amounts in thousands)

	Core Bond Fund			Core Plus Bond Fund			Government Bond Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	895,961		$	112,607		$	58,243
Dividend income from non-affiliates		—			681			—
Dividend income from affiliates		1,029			48			11
Foreign taxes withheld		—			(1	)		—
Total investment income		896,990			113,335			58,254
EXPENSES:
Investment advisory fees		64,952			6,334			4,287
Administration fees		19,107			1,863			1,261
Distribution fees:
Class A		12,305			894			1,318
Class B		452			41			104
Class C		15,903			2,366			1,265
Class R2		245			3			90
Shareholder servicing fees:
Class A		12,305			894			1,318
Class B		150			13			35
Class C		5,301			789			421
Class R2		123			1			45
Class R5		83			—			—
Institutional Class		—			37			—
Select Class		29,044			3,205			1,753
Custodian and accounting fees		1,206			300			99
Collateral management fees		—			4			—
Professional fees		269			108			68
Trustees’ and Chief Compliance Officer’s fees		233			22			19
Printing and mailing costs		2,526			200			86
Registration and filing fees		653			103			57
Transfer agent fees		14,010			825			1,594
Other		218			34			26
Total expenses		179,085			18,036			13,846
Less amounts waived		(33,292	)		(2,030	)		(3,779	)
Less earnings credits		(1	)		—	(a)		—
Net expenses		145,792			16,006			10,067
Net investment income (loss)		751,198			97,329			48,187
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		95,877			5,153			2,828
Futures		—			114			—
Foreign currency transactions		—			119			—
Swaps		—			233			—
Net realized gain (loss)		95,877			5,619			2,828
Change in net unrealized appreciation (depreciation) of:
Investments in non-affiliates		802,652			43,325			87,815
Futures		—			(2	)		—
Foreign currency translations		—			(1	)		—
Swaps		—			43			—
Unfunded commitments		—			—	(a)		—
Change in net unrealized appreciation (depreciation)		802,652			43,365			87,815
Net realized/unrealized gains (losses)		898,529			48,984			90,643
Change in net assets resulting from operations	$	1,649,727		$	146,313		$	138,830

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

244 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	High Yield Fund			Inflation Managed Bond Fund			Limited Duration Bond Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	815,158		$	25,207		$	10,533
Interest income from affiliates		—			4			—
Dividend income from non-affiliates		5,783			—			—
Dividend income from affiliates		371			42			53
Income from securities lending (net)		1			—			—
Foreign taxes withheld		(36	)		—			—
Total investment income		821,277			25,253			10,586
EXPENSES:
Investment advisory fees		65,816			3,139			1,035
Administration fees		8,935			792			365
Distribution fees:
Class A		2,377			268			150
Class B		98			—			4
Class C		1,893			23			452
Class R2		25			56			—
Shareholder servicing fees:
Class A		2,377			268			150
Class B		33			—			1
Class C		631			8			151
Class R2		12			28			—
Class R5		20			—	(a)		—
Select Class		19,425			1,689			724
Custodian and accounting fees		459			73			78
Collateral management fees		2			17			—
Interest expense to affiliates		—	(a)		—			—
Professional fees		416			102			55
Trustees’ and Chief Compliance Officer’s fees		91			8			4
Printing and mailing costs		1,390			40			42
Registration and filing fees		237			140			40
Transfer agent fees		7,368			340			175
Other		108			20			9
Total expenses		111,713			7,011			3,435
Less amounts waived		(17,458	)		(1,567	)		(1,073	)
Less earnings credits		(3	)		—			—
Less expense reimbursements		—			(27	)		—
Net expenses		94,252			5,417			2,362
Net investment income (loss)		727,025			19,836			8,224
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		92,427			9,894			20
Swaps		17			59			—
Net realized gain (loss)		92,444			9,953			20
Change in net unrealized appreciation (depreciation) of:
Investments in non-affiliates		(365,243	)		21,298			(605	)
Swaps		3,898			383			—
Unfunded commitments		(3	)		—			—
Change in net unrealized appreciation (depreciation)		(361,348	)		21,681			(605	)
Net realized/unrealized gains (losses)		(268,904	)		31,634			(585	)
Change in net assets resulting from operations	$	458,121		$	51,470		$	7,639

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 245

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED FEBRUARY 29, 2012 (continued)

(Amounts in thousands)

	Mortgage-Backed Securities Fund			Short Duration Bond Fund			Short Term Bond Fund II			Treasury & Agency Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	128,883		$	220,130		$	1,507		$	7,900
Dividend income from affiliates		45			10			—	(a)		—	(a)
Income from securities lending (net)		—			2			—			—
Other income		—			—			18			—
Total investment income		128,928			220,142			1,525			7,900
EXPENSES:
Investment advisory fees		9,157			25,556			188			1,270
Administration fees		2,309			9,020			66			374
Distribution fees:
Class A		515			631			14			232
Class B		—			13			—			4
Class C		—			2,237			—			—
Class M		—			—			239			—
Shareholder servicing fees:
Class A		515			631			14			232
Class B		—			4			—			2
Class C		—			746			—			—
Class M		—			—			171			—
Select Class		2,185			16,085			4			825
Custodian and accounting fees		375			538			47			35
Professional fees		77			159			83			62
Trustees’ and Chief Compliance Officer’s fees		26			102			1			4
Printing and mailing costs		147			619			30			11
Registration and filing fees		97			18			35			46
Transfer agent fees		314			925			10			103
Other		28			87			38			9
Total expenses		15,745			57,371			940			3,209
Less amounts waived		(7,255	)		(6,660	)		(210	)		(1,075	)
Less earnings credits		—	(a)		—	(a)		—			—
Net expenses		8,490			50,711			730			2,134
Net investment income (loss)		120,438			169,431			795			5,766
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from investments in non-affiliates		3,426			21,965			408			3,459
Change in net unrealized appreciation (depreciation) of investments in non-affiliates		49,883			21,681			(208	)		(883	)
Net realized/unrealized gains (losses)		53,309			43,646			200			2,576
Change in net assets resulting from operations	$	173,747		$	213,077		$	995		$	8,342

(a) Amount rounds to less than $1,000.

SEE NOTES TO FINANCIAL STATEMENTS.

246 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Core Bond Fund						Core Plus Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	751,198		$	638,350		$	97,329		$	82,299
Net realized gain (loss)		95,877			59,497			5,619			15,238
Change in net unrealized appreciation (depreciation)		802,652			228,514			43,365			53,441
Change in net assets resulting from operations		1,649,727			926,361			146,313			150,978
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(167,204	)		(134,985	)		(16,667	)		(12,510	)
From net realized gains		(10,390	)		—			(66	)		—
Class B
From net investment income		(1,627	)		(2,838	)		(212	)		(287	)
From net realized gains		(102	)		—			(1	)		—
Class C
From net investment income		(57,590	)		(74,656	)		(12,642	)		(10,137	)
From net realized gains		(4,104	)		—			(60	)		—
Class R2
From net investment income		(1,556	)		(945	)		(25	)		(13	)
From net realized gains		(104	)		—			—	(a)		—
Class R5
From net investment income		(6,125	)		(18,323	)		—			—
From net realized gains		(344	)		—			—			—
Class R6 (b)
From net investment income		(101,474	)		(62,965	)		(5,451	)		(4,752	)
From net realized gains		(5,323	)		—			(13	)		—
Institutional Class
From net investment income		—			—			(1,794	)		(2,250	)
From net realized gains		—			—			(6	)		—
Select Class
From net investment income		(415,417	)		(344,559	)		(60,457	)		(52,405	)
From net realized gains		(21,935	)		—			(224	)		—
Total distributions to shareholders		(793,295	)		(639,271	)		(97,618	)		(82,354	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		4,473,640			4,713,330			156,718			666,336
NET ASSETS:
Change in net assets		5,330,072			5,000,420			205,413			734,960
Beginning of period		19,258,477			14,258,057			2,067,214			1,332,254
End of period	$	24,588,549		$	19,258,477		$	2,272,627		$	2,067,214
Accumulated undistributed (distributions in excess of) net investment income	$	1,207		$	1,016		$	301		$	(180	)

(a) Amount rounds to less than $1,000.

(b) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 247

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Government Bond Fund						High Yield Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	48,187		$	53,969		$	727,025		$	603,943
Net realized gain (loss)		2,828			2,101			92,444			178,644
Change in net unrealized appreciation (depreciation)		87,815			8,867			(361,348	)		438,198
Change in net assets resulting from operations		138,830			64,937			458,121			1,220,785
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(17,585	)		(17,400	)		(67,049	)		(51,366	)
From net realized gains		(929	)		—			(20,119	)		(2,548	)
Class B
From net investment income		(367	)		(782	)		(823	)		(1,431	)
From net realized gains		(19	)		—			(223	)		(65	)
Class C
From net investment income		(4,430	)		(5,593	)		(16,077	)		(14,363	)
From net realized gains		(289	)		—			(4,993	)		(767	)
Class R2
From net investment income		(555	)		(322	)		(343	)		(162	)
From net realized gains		(31	)		—			(105	)		(9	)
Class R5
From net investment income		—			—			(2,854	)		(13,053	)
From net realized gains		—			—			(911	)		(918	)
Class R6 (a)
From net investment income		—			—			(80,546	)		(46,034	)
From net realized gains		—			—			(24,047	)		(2,110	)
Select Class
From net investment income		(25,246	)		(29,919	)		(564,218	)		(480,731	)
From net realized gains		(1,151	)		—			(160,198	)		(23,094	)
Total distributions to shareholders		(50,602	)		(54,016	)		(942,506	)		(636,651	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		44,573			88,010			2,452,261			3,140,534
NET ASSETS:
Change in net assets		132,801			98,931			1,967,876			3,724,668
Beginning of period		1,490,255			1,391,324			9,562,722			5,838,054
End of period	$	1,623,056		$	1,490,255		$	11,530,598		$	9,562,722
Accumulated undistributed (distributions in excess of) net investment income	$	(35	)	$	(36	)	$	427		$	2,909

(a) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

248 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Inflation Managed Bond Fund						Limited Duration Bond Fund
	Year Ended 2/29/2012			Period Ended 2/28/2011 (a)			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	19,836		$	2,259		$	8,224		$	8,638
Net realized gain (loss)		9,953			845			20			(2,518	)
Change in net unrealized appreciation (depreciation)		21,681			3,884			(605	)		24,133
Change in net assets resulting from operations		51,470			6,988			7,639			30,253
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(2,260	)		(45	)		(1,046	)		(1,704	)
From net realized gains		(558	)		(1	)		—			—
Class B
From net investment income		—			—			(6	)		(24	)
Class C
From net investment income		(47	)		(1	)		(782	)		(1,262	)
From net realized gains		(18	)		(1	)		—			—
Class R2
From net investment income		(202	)		(1	)		—			—
From net realized gains		(55	)		—	(b)		—			—
Class R5
From net investment income		(1	)		(47	)		—			—
From net realized gains		—	(b)		(127	)		—			—
Class R6 (c)(d)
From net investment income		(2,475	)		(180	)		(85	)		(40	)
From net realized gains		(664	)		—	(b)		—			—
Select Class
From net investment income		(14,952	)		(1,939	)		(5,955	)		(5,612	)
From net realized gains		(3,346	)		(757	)		—			—
Total distributions to shareholders		(24,578	)		(3,099	)		(7,874	)		(8,642	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		733,633			423,614			1,632			48,768
NET ASSETS:
Change in net assets		760,525			427,503			1,397			70,379
Beginning of period		427,503			—			397,293			326,914
End of period	$	1,188,028		$	427,503		$	398,690		$	397,293
Accumulated undistributed (distributions in excess of) net investment income	$	(49	)	$	52		$	(638	)	$	(988	)

(a) Commencement of operations was March 31, 2010.

(b) Amount rounds to less than $1,000.

(c) Commencement of offering of class of shares effective November 30, 2010 for Inflation Managed Bond Fund

(d) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares for Limited Duration Bond Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 249

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Mortgage-Backed Securities Fund						Short Duration Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	120,438		$	108,897		$	169,431		$	162,775
Net realized gain (loss)		3,426			6,272			21,965			14,779
Change in net unrealized appreciation (depreciation)		49,883			40,214			21,681			31,764
Change in net assets resulting from operations		173,747			155,383			213,077			209,318
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(8,707	)		(7,630	)		(3,453	)		(3,963	)
From net realized gains		—			—			(509	)		(385	)
Class B
From net investment income		—			—			(14	)		(26	)
From net realized gains		—			—			(3	)		(3	)
Class C
From net investment income		—			—			(2,492	)		(3,309	)
From net realized gains		—			—			(580	)		(459	)
Class R6 (a)
From net investment income		(71,956	)		(73,620	)		(60,494	)		(48,325	)
From net realized gains		—			—			(6,372	)		(3,598	)
Select Class
From net investment income		(39,985	)		(27,805	)		(102,925	)		(107,143	)
From net realized gains		—			—			(12,400	)		(8,462	)
Total distributions to shareholders		(120,648	)		(109,055	)		(189,242	)		(175,673	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		783,092			377,268			700,670			2,465,685
NET ASSETS:
Change in net assets		836,191			423,596			724,505			2,499,330
Beginning of period		2,223,028			1,799,432			10,310,671			7,811,341
End of period	$	3,059,219		$	2,223,028		$	11,035,176		$	10,310,671
Accumulated undistributed (distributions in excess of) net investment income	$	238		$	448		$	489		$	435

(a) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

250 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Short Term Bond Fund II						Treasury & Agency Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	795		$	1,397		$	5,766		$	7,662
Net realized gain (loss)		408			843			3,459			1,956
Change in net unrealized appreciation (depreciation)		(208	)		(1,062	)		(883	)		(2,734	)
Change in net assets resulting from operations		995			1,178			8,342			6,884
Net equalization credits (debits)		(9	)		(14	)		—			—
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(89	)		(128	)		(1,011	)		(1,322	)
Return of capital		(28	)		—			—			—
From net realized gains		—			—			(866	)		(1,585	)
Class B
From net investment income		—			—			(3	)		(9	)
From net realized gains		—			—			(5	)		(14	)
Class M
From net investment income		(1,132	)		(1,277	)		—			—
Return of capital		(350	)		—			—			—
Select Class
From net investment income		(31	)		(41	)		(4,411	)		(6,315	)
Return of capital		(7	)		—			—			—
From net realized gains		—			—			(3,255	)		(6,363	)
Total distributions to shareholders		(1,637	)		(1,446	)		(9,551	)		(15,608	)
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions		(18,657	)		(18,560	)		(65,660	)		(48,468	)
NET ASSETS:
Change in net assets		(19,308	)		(18,842	)		(66,869	)		(57,192	)
Beginning of period		84,603			103,445			471,869			529,061
End of period	$	65,295		$	84,603		$	405,000		$	471,869
Accumulated undistributed (distributions in excess of) net investment income	$	(69	)	$	(20	)	$	(27	)	$	(369	)

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 251

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Core Bond Fund						Core Plus Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	3,237,584		$	2,139,903		$	213,708		$	277,715
Dividends and distributions reinvested		167,616			118,480			14,788			9,618
Cost of shares redeemed		(1,636,587	)		(1,490,961	)		(139,858	)		(138,398	)
Change in net assets from Class A capital transactions	$	1,768,613		$	767,422		$	88,638		$	148,935
Class B
Proceeds from shares issued	$	3,665		$	3,711		$	1,052		$	1,742
Dividends and distributions reinvested		1,550			2,348			183			224
Cost of shares redeemed		(29,945	)		(51,098	)		(2,636	)		(3,695	)
Change in net assets from Class B capital transactions	$	(24,730	)	$	(45,039	)	$	(1,401	)	$	(1,729	)
Class C
Proceeds from shares issued	$	787,975		$	954,029		$	203,046		$	236,555
Dividends and distributions reinvested		54,239			59,474			11,288			7,516
Cost of shares redeemed		(705,633	)		(1,208,984	)		(110,440	)		(118,713	)
Change in net assets from Class C capital transactions	$	136,581		$	(195,481	)	$	103,894		$	125,358
Class R2
Proceeds from shares issued	$	38,188		$	30,218		$	596		$	246
Dividends and distributions reinvested		1,353			672			17			9
Cost of shares redeemed		(11,441	)		(8,714	)		(58	)		(119	)
Change in net assets from Class R2 capital transactions	$	28,100		$	22,176		$	555		$	136
Class R5
Proceeds from shares issued	$	110,448		$	362,412		$	—		$	—
Dividends and distributions reinvested		4,516			16,135			—			—
Cost of shares redeemed		(53,846	)		(735,436	)(a)		—			—
Change in net assets from Class R5 capital transactions	$	61,118		$	(356,889	)	$	—		$	—
Class R6 (b)
Proceeds from shares issued	$	1,224,327		$	1,558,178	(a)	$	27,195		$	144,324
Dividends and distributions reinvested		100,309			52,872			2,676			1,610
Cost of shares redeemed		(546,737	)		(444,955	)		(125,950	)		(8,529	)
Change in net assets from Class R6 capital transactions	$	777,899		$	1,166,095		$	(96,079	)	$	137,405
Institutional Class
Proceeds from shares issued	$	—		$	—		$	42,118		$	14,917
Dividends and distributions reinvested		—			—			1,304			1,229
Cost of shares redeemed		—			—			(32,382	)		(37,401	)
Change in net assets from Institutional Class capital transactions	$	—		$	—		$	11,040		$	(21,255	)
Select Class
Proceeds from shares issued	$	5,238,417		$	5,174,077		$	202,775		$	416,851
Dividends and distributions reinvested		340,290			236,091			12,287			8,172
Cost of shares redeemed		(3,852,648	)		(2,055,122	)		(164,991	)		(147,537	)
Change in net assets from Select Class capital transactions	$	1,726,059		$	3,355,046		$	50,071		$	277,486
Total change in net assets from capital transactions	$	4,473,640		$	4,713,330		$	156,718		$	666,336

SEE NOTES TO FINANCIAL STATEMENTS.

252 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Core Bond Fund						Core Plus Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class A
Issued		275,296			186,141			25,844			34,292
Reinvested		14,259			10,303			1,792			1,185
Redeemed		(139,217	)		(129,866	)		(16,943	)		(17,059	)
Change in Class A Shares		150,338			66,578			10,693			18,418
Class B
Issued		311			324			127			215
Reinvested		132			204			22			28
Redeemed		(2,574	)		(4,459	)		(318	)		(455	)
Change in Class B Shares		(2,131	)		(3,931	)		(169	)		(212	)
Class C
Issued		66,384			82,813			24,461			29,147
Reinvested		4,594			5,149			1,361			923
Redeemed		(60,129	)		(104,770	)		(13,331	)		(14,555	)
Change in Class C Shares		10,849			(16,808	)		12,491			15,515
Class R2
Issued		3,246			2,638			72			30
Reinvested		115			59			2			1
Redeemed		(974	)		(758	)		(7	)		(14	)
Change in Class R2 Shares		2,387			1,939			67			17
Class R5
Issued		9,425			31,579			—			—
Reinvested		384			1,403			—			—
Redeemed		(4,573	)		(64,141	)(a)		—			—
Change in Class R5 Shares		5,236			(31,159	)		—			—
Class R6 (b)
Issued		104,207			135,996	(a)		3,327			17,806
Reinvested		8,545			4,596			324			198
Redeemed		(46,397	)		(38,775	)		(15,306	)		(1,046	)
Change in Class R6 Shares		66,355			101,817			(11,655	)		16,958
Institutional Class
Issued		—			—			5,076			1,867
Reinvested		—			—			158			152
Redeemed		—			—			(3,902	)		(4,609	)
Change in Institutional Class Shares		—			—			1,332			(2,590	)
Select Class
Issued		446,527			451,100			24,525			51,622
Reinvested		28,973			20,540			1,489			1,009
Redeemed		(327,134	)		(179,057	)		(20,005	)		(18,203	)
Change in Select Class Shares		148,366			292,583			6,009			34,428

(a) On December 23, 2010, certain affiliated shareholders of the Core Bond Fund exchanged approximately 51,670,000 Class R5 Shares for 51,625,000 Class R6 Shares. This exchange amounted to approximately $592,658,000.

(b) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 253

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Government Bond Fund						High Yield Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	326,590		$	234,332		$	738,348		$	556,378
Dividends and distributions reinvested		12,481			10,735			76,054			44,269
Cost of shares redeemed		(230,354	)		(227,639	)		(521,842	)		(373,147	)
Redemption fees		—			—			9			40
Change in net assets from Class A capital transactions	$	108,717		$	17,428		$	292,569		$	227,540
Class B
Proceeds from shares issued	$	481		$	581		$	658		$	1,261
Dividends and distributions reinvested		292			588			816			908
Cost of shares redeemed		(9,587	)		(17,120	)		(7,655	)		(8,159	)
Redemption fees		—			—			—	(a)		1
Change in net assets from Class B capital transactions	$	(8,814	)	$	(15,951	)	$	(6,181	)	$	(5,989	)
Class C
Proceeds from shares issued	$	89,298		$	103,239		$	115,009		$	118,174
Dividends and distributions reinvested		4,163			4,594			16,966			10,595
Cost of shares redeemed		(73,235	)		(122,817	)		(86,722	)		(54,088	)
Redemption fees		—			—			3			13
Change in net assets from Class C capital transactions	$	20,226		$	(14,984	)	$	45,256		$	74,694
Class R2
Proceeds from shares issued	$	18,405		$	16,555		$	5,073		$	3,549
Dividends and distributions reinvested		227			123			293			107
Cost of shares redeemed		(10,359	)		(4,002	)		(1,780	)		(1,234	)
Redemption fees		—			—			—	(a)		—	(a)
Change in net assets from Class R2 capital transactions	$	8,273		$	12,676		$	3,586		$	2,422
Class R5
Proceeds from shares issued	$	—		$	—		$	43,132		$	117,517
Dividends and distributions reinvested		—			—			3,545			13,762
Cost of shares redeemed		—			—			(21,763	)		(262,979	)(b)
Redemption fees		—			—			—	(a)		12
Change in net assets from Class R5 capital transactions	$	—		$	—		$	24,914		$	(131,688	)
Class R6 (c)
Proceeds from shares issued	$	—		$	—		$	827,721		$	645,616	(b)
Dividends and distributions reinvested		—			—			75,212			18,515
Cost of shares redeemed		—			—			(329,773	)		(141,844	)
Redemption fees		—			—			10			33
Change in net assets from Class R6 capital transactions	$	—		$	—		$	573,170		$	522,320
Select Class
Proceeds from shares issued	$	195,915		$	251,390		$	3,634,423		$	3,512,844
Dividends and distributions reinvested		4,870			8,855			285,758			139,863
Cost of shares redeemed		(284,614	)		(171,404	)		(2,401,309	)		(1,201,843	)
Redemption fees		—			—			75			371
Change in net assets from Select Class capital transactions	$	(83,829	)	$	88,841		$	1,518,947		$	2,451,235
Total change in net assets from capital transactions	$	44,573		$	88,010		$	2,452,261		$	3,140,534

SEE NOTES TO FINANCIAL STATEMENTS.

254 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Government Bond Fund						High Yield Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class A
Issued		28,622			21,332			93,473			69,145
Reinvested		1,102			978			9,736			5,525
Redeemed		(20,333	)		(20,838	)		(66,177	)		(47,068	)
Change in Class A Shares		9,391			1,472			37,032			27,602
Class B
Issued		43			53			82			157
Reinvested		26			54			104			113
Redeemed		(865	)		(1,571	)		(943	)		(1,016	)
Change in Class B Shares		(796	)		(1,464	)		(757	)		(746	)
Class C
Issued		7,814			9,380			14,486			14,691
Reinvested		369			420			2,168			1,322
Redeemed		(6,553	)		(11,320	)		(11,002	)		(6,732	)
Change in Class C Shares		1,630			(1,520	)		5,652			9,281
Class R2
Issued		1,616			1,522			639			443
Reinvested		20			11			37			14
Redeemed		(918	)		(367	)		(226	)		(153	)
Change in Class R2 Shares		718			1,166			450			304
Class R5
Issued		—			—			5,338			14,667
Reinvested		—			—			452			1,725
Redeemed		—			—			(2,692	)		(32,225	)(b)
Change in Class R5 Shares		—			—			3,098			(15,833	)
Class R6 (c)
Issued		—			—			104,498			80,090	(b)
Reinvested		—			—			9,625			2,285
Redeemed		—			—			(40,812	)		(17,524	)
Change in Class R6 Shares		—			—			73,311			64,851
Select Class
Issued		17,287			22,987			458,009			436,489
Reinvested		430			807			36,602			17,411
Redeemed		(25,960	)		(15,684	)		(301,621	)		(149,268	)
Change in Select Class Shares		(8,243	)		8,110			192,990			304,632

(a) Amount rounds to less than 1,000 (shares or dollars).

(b) On December 23, 2010, certain affiliated shareholders of the High Yield Fund exchanged approximately 30,054,000 Class R5 Shares for 30,090,000 Class R6 Shares. This exchange amounted to approximately $245,237,000.

(c) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 255

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Inflation Managed Bond Fund						Limited Duration Bond Fund
	Year Ended 2/29/2012			Period Ended 2/28/2011 (a)			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	124,848		$	28,146		$	15,799		$	38,234
Dividends and distributions reinvested		2,448			30			838			1,296
Cost of shares redeemed		(24,314	)		(168	)		(37,965	)		(49,142	)
Change in net assets from Class A capital transactions	$	102,982		$	28,008		$	(21,328	)	$	(9,612	)
Class B
Proceeds from shares issued	$	—		$	—		$	146		$	120
Dividends and distributions reinvested		—			—			5			20
Cost of shares redeemed		—			—			(684	)		(1,253	)
Change in net assets from Class B capital transactions	$	—		$	—		$	(533	)	$	(1,113	)
Class C
Proceeds from shares issued	$	4,750		$	358		$	10,688		$	18,131
Dividends and distributions reinvested		65			2			711			1,099
Cost of shares redeemed		(881	)		(77	)		(23,666	)		(22,525	)
Change in net assets from Class C capital transactions	$	3,934		$	283		$	(12,267	)	$	(3,295	)
Class R2
Proceeds from shares issued	$	16,176		$	50		$	—		$	—
Dividends and distributions reinvested		257			1			—			—
Cost of shares redeemed		(5,493	)		—			—			—
Change in net assets from Class R2 capital transactions	$	10,940		$	51		$	—		$	—
Class R5
Proceeds from shares issued	$	—		$	38,487		$	—		$	—
Dividends and distributions reinvested		1			174			—			—
Cost of shares redeemed		—			(38,197	)(b)		—			—
Change in net assets from Class R5 capital transactions	$	1		$	464		$	—		$	—
Class R6 (c)(d)
Proceeds from shares issued	$	127,370		$	52,301	(b)	$	241		$	2,715
Dividends and distributions reinvested		2,020			180			60			5
Cost of shares redeemed		(17,281	)		(1,114	)		(531	)		(180	)
Change in net assets from Class R6 capital transactions	$	112,109		$	51,367		$	(230	)	$	2,540
Select Class
Proceeds from shares issued	$	673,454		$	359,069		$	77,630		$	105,331
Dividends and distributions reinvested		5,771			1,617			1,247			1,549
Cost of shares redeemed		(175,558	)		(17,245	)		(42,887	)		(46,632	)
Change in net assets from Select Class capital transactions	$	503,667		$	343,441		$	35,990		$	60,248
Total change in net assets from capital transactions	$	733,633		$	423,614		$	1,632		$	48,768

SEE NOTES TO FINANCIAL STATEMENTS.

256 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Inflation Managed Bond Fund						Limited Duration Bond Fund
	Year Ended 2/29/2012			Period Ended 2/28/2011 (a)			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class A
Issued		11,820			2,745			1,673			4,141
Reinvested		232			3			89			140
Redeemed		(2,295	)		(17	)		(4,018	)		(5,310	)
Change in Class A Shares		9,757			2,731			(2,256	)		(1,029	)
Class B
Issued		—			—			15			13
Reinvested		—			—			1			2
Redeemed		—			—			(73	)		(137	)
Change in Class B Shares		—			—			(57	)		(122	)
Class C
Issued		450			35			1,143			1,981
Reinvested		6			—	(e)		76			120
Redeemed		(83	)		(7	)		(2,532	)		(2,449	)
Change in Class C Shares		373			28			(1,313	)		(348	)
Class R2
Issued		1,532			5			—			—
Reinvested		24			—	(e)		—			—
Redeemed		(521	)		—			—			—
Change in Class R2 Shares		1,035			5			—			—
Class R5
Issued		—			3,725			—			—
Reinvested		—	(e)		17			—			—
Redeemed		—			(3,737	)(b)		—			—
Change in Class R5 Shares		—	(e)		5			—			—
Class R6 (c)(d)
Issued		12,071			5,111	(b)		25			287
Reinvested		191			18			6			—	(e)
Redeemed		(1,642	)		(107	)		(56	)		(19	)
Change in Class R6 Shares		10,620			5,022			(25	)		268
Select Class
Issued		63,575			35,068			8,200			11,348
Reinvested		546			158			132			168
Redeemed		(16,617	)		(1,678	)		(4,545	)		(5,017	)
Change in Select Class Shares		47,504			33,548			3,787			6,499

(a) Commencement of operations was March 31, 2010.

(b) On December 23, 2010, certain affiliated shareholders of the Inflation Managed Bond Fund exchanged approximately 3,737,000 Class R5 Shares for 3,737,000 Class R6 Shares. This exchange amounted to approximately $38,189,000.

(c) Commencement of offering of class of shares effective November 30, 2010 for Inflation Managed Bond Fund

(d) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares for Limited Duration Bond Fund.

(e) Amount rounds to less than 1,000 (shares or dollars).

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 257

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Mortgage-Backed Securities Fund						Short Duration Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	179,183		$	165,286		$	156,917		$	207,816
Dividends and distributions reinvested		7,956			6,761			3,566			3,609
Cost of shares redeemed		(111,826	)		(101,004	)		(151,573	)		(217,210	)
Change in net assets from Class A capital transactions	$	75,313		$	71,043		$	8,910		$	(5,785	)
Class B
Proceeds from shares issued	$	—		$	—		$	485		$	825
Dividends and distributions reinvested		—			—			14			23
Cost of shares redeemed		—			—			(1,229	)		(2,190	)
Change in net assets from Class B capital transactions	$	—		$	—		$	(730	)	$	(1,342	)
Class C
Proceeds from shares issued	$	—		$	—		$	136,801		$	235,112
Dividends and distributions reinvested		—			—			2,901			3,348
Cost of shares redeemed		—			—			(164,985	)		(263,450	)
Change in net assets from Class C capital transactions	$	—		$	—		$	(25,283	)	$	(24,990	)
Class R6 (a)
Proceeds from shares issued	$	109,623		$	222,666		$	2,828,419		$	1,993,867
Subscriptions in-kind (See Note 8)		—			—			—			11,698
Dividends and distributions reinvested		68,234			66,963			34,592			24,050
Cost of shares redeemed		(137,520	)		(126,219	)		(2,246,411	)		(1,173,029	)
Change in net assets from Class R6 capital transactions	$	40,337		$	163,410		$	616,600		$	856,586
Select Class
Proceeds from shares issued	$	1,030,428		$	362,624		$	3,966,568		$	4,834,205
Dividends and distributions reinvested		26,656			19,795			13,530			8,205
Cost of shares redeemed		(389,642	)		(239,604	)		(3,878,925	)		(3,201,194	)
Change in net assets from Select Class capital transactions	$	667,442		$	142,815		$	101,173		$	1,641,216
Total change in net assets from capital transactions	$	783,092		$	377,268		$	700,670		$	2,465,685

SEE NOTES TO FINANCIAL STATEMENTS.

258 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Mortgage-Backed Securities Fund						Short Duration Bond Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
SHARE TRANSACTIONS:
Class A
Issued		15,364			14,441			14,292			18,959
Reinvested		684			590			325			329
Redeemed		(9,598	)		(8,784	)		(13,803	)		(19,817	)
Change in Class A Shares		6,450			6,247			814			(529	)
Class B
Issued		—			—			44			75
Reinvested		—			—			1			2
Redeemed		—			—			(111	)		(198	)
Change in Class B Shares		—			—			(66	)		(121	)
Class C
Issued		—			—			12,382			21,331
Reinvested		—			—			263			304
Redeemed		—			—			(14,930	)		(23,892	)
Change in Class C Shares		—			—			(2,285	)		(2,257	)
Class R6 (a)
Issued		9,610			19,857			257,324			181,535
Subscriptions in-kind (See Note 8)		—			—			—			1,064
Reinvested		5,992			5,958			3,148			2,189
Redeemed		(11,987	)		(11,228	)		(204,160	)		(106,968	)
Change in Class R6 Shares		3,615			14,587			56,312			77,820
Select Class
Issued		90,151			32,322			360,863			440,703
Reinvested		2,337			1,763			1,232			747
Redeemed		(34,058	)		(21,276	)		(352,693	)		(291,617	)
Change in Select Class Shares		58,430			12,809			9,402			149,833

(a) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 259

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Short Term Bond Fund II						Treasury & Agency Fund
	Year Ended 2/29/2012			Year Ended 2/28/2011			Year Ended 2/29/2012			Year Ended 2/28/2011
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	1,251		$	925		$	36,901		$	41,401
Dividends and distributions reinvested		105			119			1,689			2,258
Cost of shares redeemed		(4,607	)		(1,060	)		(47,250	)		(41,712	)
Change in net assets from Class A capital transactions	$	(3,251	)	$	(16	)	$	(8,660	)	$	1,947
Class B
Proceeds from shares issued	$	—		$	—		$	76		$	98
Dividends and distributions reinvested		—			—			7			20
Cost of shares redeemed		—			—			(446	)		(922	)
Change in net assets from Class B capital transactions	$	—		$	—		$	(363	)	$	(804	)
Class M
Cost of shares redeemed	$	(15,132	)	$	(17,852	)	$	—		$	—
Change in net assets from Class M capital transactions	$	(15,132	)	$	(17,852	)	$	—		$	—
Select Class
Proceeds from shares issued	$	257		$	691		$	101,413		$	173,426
Dividends and distributions reinvested		18			20			2,735			3,163
Cost of shares redeemed		(549	)		(1,403	)		(160,785	)		(226,200	)
Change in net assets from Select Class capital transactions	$	(274	)	$	(692	)	$	(56,637	)	$	(49,611	)
Total change in net assets from capital transactions	$	(18,657	)	$	(18,560	)	$	(65,660	)	$	(48,468	)
SHARE TRANSACTIONS:
Class A
Issued		142			105			3,755			4,167
Reinvested		12			13			172			229
Redeemed		(521	)		(120	)		(4,794	)		(4,200	)
Change in Class A Shares		(367	)		(2	)		(867	)		196
Class B
Issued		—			—			8			10
Reinvested		—			—			1			2
Redeemed		—			—			(46	)		(93	)
Change in Class B Shares		—			—			(37	)		(81	)
Class M
Redeemed		(1,714	)		(2,018	)		—			—
Change in Class M Shares		(1,714	)		(2,018	)		—			—
Select Class
Issued		29			78			10,307			17,423
Reinvested		2			2			279			321
Redeemed		(62	)		(158	)		(16,370	)		(22,735	)
Change in Select Class Shares		(31	)		(78	)		(5,784	)		(4,991	)

SEE NOTES TO FINANCIAL STATEMENTS.

260 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

THIS PAGE IS INTENTIONALLY LEFT BLANK

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 261

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Core Bond Fund
Class A
Year Ended February 29, 2012	$	11.46	$	0.40	(e)	$	0.49		$	0.89	$	(0.40	)	$	(0.02	)	$	(0.42	)
Year Ended February 28, 2011		11.23		0.42	(e)		0.22			0.64		(0.41	)		—			(0.41	)
Year Ended February 28, 2010		10.59		0.55	(e)		0.64			1.19		(0.55	)		—			(0.55	)
Year Ended February 28, 2009		11.04		0.55	(e)		(0.46	)		0.09		(0.54	)		—			(0.54	)
Year Ended February 29, 2008		10.67		0.48	(e)		0.37			0.85		(0.48	)		—			(0.48	)
Class B
Year Ended February 29, 2012		11.45		0.33	(e)		0.48			0.81		(0.32	)		(0.02	)		(0.34	)
Year Ended February 28, 2011		11.22		0.34	(e)		0.22			0.56		(0.33	)		—			(0.33	)
Year Ended February 28, 2010		10.58		0.48	(e)		0.63			1.11		(0.47	)		—			(0.47	)
Year Ended February 28, 2009		11.03		0.47	(e)		(0.45	)		0.02		(0.47	)		—			(0.47	)
Year Ended February 29, 2008		10.66		0.41	(e)		0.37			0.78		(0.41	)		—			(0.41	)
Class C
Year Ended February 29, 2012		11.51		0.33	(e)		0.48			0.81		(0.32	)		(0.02	)		(0.34	)
Year Ended February 28, 2011		11.28		0.34	(e)		0.23			0.57		(0.34	)		—			(0.34	)
Year Ended February 28, 2010		10.65		0.46	(e)		0.65			1.11		(0.48	)		—			(0.48	)
Year Ended February 28, 2009		11.09		0.48	(e)		(0.45	)		0.03		(0.47	)		—			(0.47	)
Year Ended February 29, 2008		10.73		0.42	(e)		0.35			0.77		(0.41	)		—			(0.41	)
Class R2
Year Ended February 29, 2012		11.45		0.37	(e)		0.48			0.85		(0.37	)		(0.02	)		(0.39	)
Year Ended February 28, 2011		11.22		0.39	(e)		0.22			0.61		(0.38	)		—			(0.38	)
Year Ended February 28, 2010		10.59		0.49	(e)		0.67			1.16		(0.53	)		—			(0.53	)
November 3, 2008 (f) through February 28, 2009		10.26		0.17	(e)		0.34			0.51		(0.18	)		—			(0.18	)
Class R5 (g)
Year Ended February 29, 2012		11.44		0.43	(e)		0.49			0.92		(0.43	)		(0.02	)		(0.45	)
Year Ended February 28, 2011		11.21		0.45	(e)		0.22			0.67		(0.44	)		—			(0.44	)
Year Ended February 28, 2010		10.58		0.58	(e)		0.63			1.21		(0.58	)		—			(0.58	)
Year Ended February 28, 2009		11.02		0.58	(e)		(0.45	)		0.13		(0.57	)		—			(0.57	)
Year Ended February 29, 2008		10.66		0.52	(e)		0.35			0.87		(0.51	)		—			(0.51	)
Class R6 (h)
Year Ended February 29, 2012		11.46		0.44	(e)		0.48			0.92		(0.44	)		(0.02	)		(0.46	)
Year Ended February 28, 2011		11.22		0.46	(e)		0.23			0.69		(0.45	)		—			(0.45	)
Year Ended February 28, 2010		10.59		0.59	(e)		0.63			1.22		(0.59	)		—			(0.59	)
Year Ended February 28, 2009		11.03		0.58	(e)		(0.45	)		0.13		(0.57	)		—			(0.57	)
Year Ended February 29, 2008		10.67		0.52	(e)		0.36			0.88		(0.52	)		—			(0.52	)
Select Class
Year Ended February 29, 2012		11.45		0.42	(e)		0.49			0.91		(0.42	)		(0.02	)		(0.44	)
Year Ended February 28, 2011		11.22		0.44	(e)		0.22			0.66		(0.43	)		—			(0.43	)
Year Ended February 28, 2010		10.58		0.56	(e)		0.64			1.20		(0.56	)		—			(0.56	)
Year Ended February 28, 2009		11.03		0.56	(e)		(0.46	)		0.10		(0.55	)		—			(0.55	)
Year Ended February 29, 2008		10.67		0.50	(e)		0.35			0.85		(0.49	)		—			(0.49	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Calculated based upon average shares outstanding.

(f) Commencement of offering of class of shares.

(g) Effective November 30, 2007, R Class Shares were renamed Class R5 Shares.

(h) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

262 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	11.93		7.89	%	$	5,937,341		0.75	%		3.40	%		0.98	%		20	%
	11.46		5.75			3,982,404		0.74			3.62			0.97			24
	11.23		11.45			3,154,129		0.73			4.94			0.97			18
	10.59		0.87			1,322,130		0.75			5.12			0.98			18
	11.04		8.21			780,006		0.75			4.51			0.99			14
	11.92		7.17			53,729		1.40			2.78			1.48			20
	11.45		5.06			76,034		1.39			2.98			1.46			24
	11.22		10.71			118,596		1.38			4.37			1.47			18
	10.58		0.21			80,648		1.40			4.42			1.48			18
	11.03		7.49			78,048		1.40			3.86			1.49			14
	11.98		7.15			2,400,830		1.40			2.76			1.48			20
	11.51		5.04			2,181,719		1.39			2.97			1.47			24
	11.28		10.65			2,326,774		1.38			4.12			1.47			18
	10.65		0.33			250,444		1.40			4.46			1.48			18
	11.09		7.38			133,975		1.40			3.86			1.49			14
	11.91		7.54			67,044		1.00			3.14			1.23			20
	11.45		5.51			37,096		0.99			3.36			1.22			24
	11.22		11.16			14,608		0.98			4.41			1.22			18
	10.59		5.00			63		1.00			4.96			1.25			18
	11.91		8.21			190,711		0.45			3.70			0.53			20
	11.44		6.06			123,327		0.44			3.91			0.51			24
	11.21		11.69			470,155		0.43			5.26			0.53			18
	10.58		1.26			259,552		0.45			5.43			0.53			18
	11.02		8.41			177,019		0.45			4.82			0.54			14
	11.92		8.16			3,221,144		0.40			3.75			0.48			20
	11.46		6.22			2,334,504		0.39			3.98			0.47			24
	11.22		11.72			1,144,420		0.39			5.36			0.47			18
	10.59		1.30			754,336		0.40			5.41			0.48			18
	11.03		8.48			782,067		0.40			4.86			0.48			14
	11.92		8.09			12,717,750		0.58			3.58			0.73			20
	11.45		5.96			10,523,393		0.57			3.79			0.72			24
	11.22		11.61			7,029,375		0.57			5.08			0.72			18
	10.58		1.03			2,699,976		0.60			5.21			0.73			18
	11.03		8.25			2,456,097		0.60			4.66			0.73			14

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 263

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Core Plus Bond Fund
Class A
Year Ended February 29, 2012	$	8.19	$	0.38	(e)	$	0.19		$	0.57		$	(0.38	)	$	—	(f)	$	(0.38	)
Year Ended February 28, 2011		7.85		0.37	(e)		0.34			0.71			(0.37	)		—			(0.37	)
Year Ended February 28, 2010		7.03		0.43	(e)		0.82			1.25			(0.43	)		—			(0.43	)
Year Ended February 28, 2009		7.85		0.41	(e)		(0.82	)		(0.41	)		(0.41	)		—			(0.41	)
Year Ended February 29, 2008		7.78		0.37			0.07			0.44			(0.37	)		—			(0.37	)
Class B
Year Ended February 29, 2012		8.24		0.33	(e)		0.19			0.52			(0.33	)		—	(f)		(0.33	)
Year Ended February 28, 2011		7.89		0.33	(e)		0.34			0.67			(0.32	)		—			(0.32	)
Year Ended February 28, 2010		7.06		0.38	(e)		0.83			1.21			(0.38	)		—			(0.38	)
Year Ended February 28, 2009		7.89		0.37	(e)		(0.83	)		(0.46	)		(0.37	)		—			(0.37	)
Year Ended February 29, 2008		7.82		0.32			0.08			0.40			(0.33	)		—			(0.33	)
Class C
Year Ended February 29, 2012		8.23		0.33	(e)		0.19			0.52			(0.33	)		—	(f)		(0.33	)
Year Ended February 28, 2011		7.88		0.32	(e)		0.35			0.67			(0.32	)		—			(0.32	)
Year Ended February 28, 2010		7.05		0.38	(e)		0.84			1.22			(0.39	)		—			(0.39	)
Year Ended February 28, 2009		7.89		0.37	(e)		(0.84	)		(0.47	)		(0.37	)		—			(0.37	)
Year Ended February 29, 2008		7.82		0.34			0.06			0.40			(0.33	)		—			(0.33	)
Class R2
Year Ended February 29, 2012		8.20		0.35	(e)		0.18			0.53			(0.35	)		—	(f)		(0.35	)
Year Ended February 28, 2011		7.85		0.34	(e)		0.35			0.69			(0.34	)		—			(0.34	)
Year Ended February 28, 2010		7.03		0.40	(e)		0.82			1.22			(0.40	)		—			(0.40	)
November 3, 2008 (g) through February 28, 2009		6.90		0.13	(e)		0.12			0.25			(0.12	)		—			(0.12	)
Class R6 (h)
Year Ended February 29, 2012		8.19		0.41	(e)		0.19			0.60			(0.41	)		—	(f)		(0.41	)
Year Ended February 28, 2011		7.85		0.40	(e)		0.34			0.74			(0.40	)		—			(0.40	)
Year Ended February 28, 2010		7.02		0.45	(e)		0.84			1.29			(0.46	)		—			(0.46	)
Year Ended February 28, 2009		7.85		0.44	(e)		(0.82	)		(0.38	)		(0.45	)		—			(0.45	)
Year Ended February 29, 2008		7.78		0.42			0.06			0.48			(0.41	)		—			(0.41	)
Institutional Class
Year Ended February 29, 2012		8.20		0.40	(e)		0.20			0.60			(0.41	)		—	(f)		(0.41	)
Year Ended February 28, 2011		7.85		0.40	(e)		0.34			0.74			(0.39	)		—			(0.39	)
June 19, 2009 (g) through February 28, 2010		7.38		0.31	(e)		0.48			0.79			(0.32	)		—			(0.32	)
Select Class
Year Ended February 29, 2012		8.19		0.39	(e)		0.19			0.58			(0.39	)		—	(f)		(0.39	)
Year Ended February 28, 2011		7.85		0.38	(e)		0.34			0.72			(0.38	)		—			(0.38	)
Year Ended February 28, 2010		7.02		0.44	(e)		0.83			1.27			(0.44	)		—			(0.44	)
Year Ended February 28, 2009		7.85		0.42	(e)		(0.82	)		(0.40	)		(0.43	)		—			(0.43	)
Year Ended February 29, 2008		7.78		0.39			0.07			0.46			(0.39	)		—			(0.39	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Calculated based upon average shares outstanding.

(f) Amount rounds to less than $0.01.

(g) Commencement of offering of class of shares.

(h) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

264 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	8.38		7.19	%	$	424,254		0.75	%		4.63	%		0.97	%		23	%
	8.19		9.23			327,106		0.73			4.62			0.97			22
	7.85		18.14			168,775		0.77			5.59			0.97			26
	7.03		(5.32	)		50,659		0.92			5.51			0.99			17
	7.85		5.81			52,808		0.92			4.81			0.97			31
	8.43		6.44			4,990		1.40			3.99			1.47			23
	8.24		8.60			6,270		1.38			4.03			1.47			22
	7.89		17.49			7,674		1.40			5.00			1.48			26
	7.06		(5.93	)		4,295		1.45			4.93			1.49			17
	7.89		5.26			6,665		1.45			4.28			1.47			31
	8.42		6.48			398,777		1.40			3.97			1.47			23
	8.23		8.63			287,042		1.38			3.97			1.47			22
	7.88		17.58			152,695		1.39			4.90			1.46			26
	7.05		(5.99	)		16,495		1.45			5.08			1.50			17
	7.89		5.27			5,737		1.45			4.27			1.47			31
	8.38		6.66			927		1.15			4.21			1.22			23
	8.20		8.93			357		1.13			4.22			1.22			22
	7.85		17.71			210		1.14			5.21			1.22			26
	7.03		3.68			52		1.17			5.83			1.29			17
	8.38		7.57			64,170		0.39			5.01			0.46			23
	8.19		9.60			158,216		0.38			4.92			0.47			22
	7.85		18.76			18,465		0.40			5.94			0.48			26
	7.02		(4.98	)		15,642		0.45			5.95			0.49			17
	7.85		6.31			17,985		0.45			5.26			0.47			31
	8.39		7.47			39,168		0.48			4.90			0.57			23
	8.20		9.63			27,374		0.47			4.93			0.57			22
	7.85		10.89			46,561		0.48			5.73			0.56			26
	8.38		7.28			1,340,341		0.64			4.74			0.72			23
	8.19		9.35			1,260,849		0.63			4.75			0.72			22
	7.85		18.46			937,874		0.65			5.81			0.73			26
	7.02		(5.21	)		662,140		0.67			5.73			0.74			17
	7.85		6.11			925,240		0.67			5.05			0.72			31

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 265

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Government Bond Fund
Class A
Year Ended February 29, 2012	$	10.81	$	0.38	$	0.76		$	1.14	$	(0.38	)	$	(0.02	)	$	(0.40	)
Year Ended February 28, 2011		10.70		0.39		0.11			0.50		(0.39	)		—			(0.39	)
Year Ended February 28, 2010		10.56		0.42		0.14			0.56		(0.42	)		—			(0.42	)
Year Ended February 28, 2009		10.55		0.42		0.01			0.43		(0.42	)		—			(0.42	)
Year Ended February 29, 2008		10.15		0.48		0.40			0.88		(0.48	)		—			(0.48	)
Class B
Year Ended February 29, 2012		10.80		0.30		0.76			1.06		(0.30	)		(0.02	)		(0.32	)
Year Ended February 28, 2011		10.69		0.31		0.11			0.42		(0.31	)		—			(0.31	)
Year Ended February 28, 2010		10.55		0.34		0.14			0.48		(0.34	)		—			(0.34	)
Year Ended February 28, 2009		10.54		0.35		0.01			0.36		(0.35	)		—			(0.35	)
Year Ended February 29, 2008		10.14		0.41		0.40			0.81		(0.41	)		—			(0.41	)
Class C
Year Ended February 29, 2012		10.78		0.30		0.75			1.05		(0.30	)		(0.02	)		(0.32	)
Year Ended February 28, 2011		10.66		0.31		0.12			0.43		(0.31	)		—			(0.31	)
Year Ended February 28, 2010		10.53		0.35		0.13			0.48		(0.35	)		—			(0.35	)
Year Ended February 28, 2009		10.53		0.34		0.01			0.35		(0.35	)		—			(0.35	)
Year Ended February 29, 2008		10.13		0.42		0.39			0.81		(0.41	)		—			(0.41	)
Class R2
Year Ended February 29, 2012		10.80		0.35		0.76			1.11		(0.35	)		(0.02	)		(0.37	)
Year Ended February 28, 2011		10.69		0.37		0.11			0.48		(0.37	)		—			(0.37	)
Year Ended February 28, 2010		10.56		0.41		0.12			0.53		(0.40	)		—			(0.40	)
November 3, 2008 (e) through February 28, 2009		10.07		0.09		0.51			0.60		(0.11	)		—			(0.11	)
Select Class
Year Ended February 29, 2012		10.80		0.41		0.76			1.17		(0.41	)		(0.02	)		(0.43	)
Year Ended February 28, 2011		10.69		0.42		0.11			0.53		(0.42	)		—			(0.42	)
Year Ended February 28, 2010		10.56		0.45		0.13			0.58		(0.45	)		—			(0.45	)
Year Ended February 28, 2009		10.55		0.46		—	(f)		0.46		(0.45	)		—			(0.45	)
Year Ended February 29, 2008		10.15		0.52		0.39			0.91		(0.51	)		—			(0.51	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Commencement of offering of class of shares.

(f) Amount rounds to less than $0.01.

SEE NOTES TO FINANCIAL STATEMENTS.

266 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	11.55		10.67	%	$	615,219		0.74	%		3.33	%		1.03	%		15	%
	10.81		4.69			474,402		0.74			3.56			0.99			18
	10.70		5.42			453,605		0.74			3.96			1.03			12
	10.56		4.27			372,703		0.75			4.04			1.02			13
	10.55		8.98			220,780		0.75			4.70			0.98			2
	11.54		9.87			11,661		1.47			2.68			1.53			15
	10.80		3.92			19,524		1.47			2.85			1.49			18
	10.69		4.64			34,957		1.47			3.26			1.53			12
	10.55		3.50			48,296		1.48			3.34			1.52			13
	10.54		8.20			43,513		1.46			4.02			1.48			2
	11.51		9.81			201,498		1.47			2.61			1.53			15
	10.78		4.02			171,114		1.47			2.83			1.49			18
	10.66		4.58			185,498		1.47			3.23			1.53			12
	10.53		3.46			136,707		1.48			3.24			1.52			13
	10.53		8.25			46,407		1.46			3.99			1.48			2
	11.54		10.41			25,147		0.99			3.07			1.28			15
	10.80		4.45			15,782		0.99			3.28			1.24			18
	10.69		5.09			3,151		0.99			3.62			1.27			12
	10.56		5.97			164		1.00			2.59			1.30			13
	11.54		10.96			769,531		0.47			3.62			0.78			15
	10.80		4.97			809,433		0.47			3.83			0.74			18
	10.69		5.59			714,113		0.47			4.23			0.78			12
	10.56		4.54			605,421		0.48			4.38			0.77			13
	10.55		9.26			616,581		0.48			5.01			0.73			2

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 267

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
	Investment operations											Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions			Redemption fees
High Yield Fund
Class A
Year Ended February 29, 2012	$	8.33	$	0.55	(e)	$	(0.27	)	$	0.28		$	(0.56	)	$	(0.16	)	$	(0.72	)	$	—	(f)
Year Ended February 28, 2011		7.72		0.63	(e)		0.64			1.27			(0.63	)		(0.03	)		(0.66	)		—	(f)
Year Ended February 28, 2010		5.79		0.58			1.94			2.52			(0.59	)		—			(0.59	)		—	(f)
Year Ended February 28, 2009		7.59		0.52			(1.78	)		(1.26	)		(0.54	)		—			(0.54	)		—	(f)
Year Ended February 29, 2008		8.60		0.62			(0.93	)		(0.31	)		(0.61	)		(0.09	)		(0.70	)		—	(f)
Class B
Year Ended February 29, 2012		8.35		0.51	(e)		(0.28	)		0.23			(0.51	)		(0.16	)		(0.67	)		—	(f)
Year Ended February 28, 2011		7.73		0.58	(e)		0.64			1.22			(0.57	)		(0.03	)		(0.60	)		—	(f)
Year Ended February 28, 2010		5.81		0.55			1.91			2.46			(0.54	)		—			(0.54	)		—	(f)
Year Ended February 28, 2009		7.60		0.51			(1.80	)		(1.29	)		(0.50	)		—			(0.50	)		—	(f)
Year Ended February 29, 2008		8.61		0.58			(0.94	)		(0.36	)		(0.56	)		(0.09	)		(0.65	)		—	(f)
Class C
Year Ended February 29, 2012		8.34		0.50	(e)		(0.27	)		0.23			(0.51	)		(0.16	)		(0.67	)		—	(f)
Year Ended February 28, 2011		7.72		0.58	(e)		0.64			1.22			(0.57	)		(0.03	)		(0.60	)		—	(f)
Year Ended February 28, 2010		5.80		0.53			1.93			2.46			(0.54	)		—			(0.54	)		—	(f)
Year Ended February 28, 2009		7.59		0.50			(1.79	)		(1.29	)		(0.50	)		—			(0.50	)		—	(f)
Year Ended February 29, 2008		8.61		0.57			(0.94	)		(0.37	)		(0.56	)		(0.09	)		(0.65	)		—	(f)
Class R2
Year Ended February 29, 2012		8.32		0.53	(e)		(0.27	)		0.26			(0.54	)		(0.16	)		(0.70	)		—	(f)
Year Ended February 28, 2011		7.71		0.60	(e)		0.65			1.25			(0.61	)		(0.03	)		(0.64	)		—	(f)
Year Ended February 28, 2010		5.79		0.55			1.94			2.49			(0.57	)		—			(0.57	)		—	(f)
November 3, 2008 (g) through February 28, 2009		5.96		0.16			(0.17	)		(0.01	)		(0.16	)		—			(0.16	)		—	(f)
Class R5 (h)
Year Ended February 29, 2012		8.36		0.58	(e)		(0.27	)		0.31			(0.58	)		(0.16	)		(0.74	)		—	(f)
Year Ended February 28, 2011		7.74		0.68	(e)		0.62			1.30			(0.65	)		(0.03	)		(0.68	)		—	(f)
Year Ended February 28, 2010		5.81		0.61			1.93			2.54			(0.61	)		—			(0.61	)		—	(f)
Year Ended February 28, 2009		7.61		0.55			(1.79	)		(1.24	)		(0.56	)		—			(0.56	)		—	(f)
Year Ended February 29, 2008		8.63		0.66			(0.95	)		(0.29	)		(0.64	)		(0.09	)		(0.73	)		—	(f)
Class R6 (i)
Year Ended February 29, 2012		8.35		0.58	(e)		(0.28	)		0.30			(0.58	)		(0.16	)		(0.74	)		—	(f)
Year Ended February 28, 2011		7.73		0.65	(e)		0.65			1.30			(0.65	)		(0.03	)		(0.68	)		—	(f)
Year Ended February 28, 2010		5.81		0.61			1.92			2.53			(0.61	)		—			(0.61	)		—	(f)
Year Ended February 28, 2009		7.60		0.57			(1.80	)		(1.23	)		(0.56	)		—			(0.56	)		—	(f)
Year Ended February 29, 2008		8.61		0.65			(0.93	)		(0.28	)		(0.64	)		(0.09	)		(0.73	)		—	(f)
Select Class
Year Ended February 29, 2012		8.36		0.58	(e)		(0.28	)		0.30			(0.58	)		(0.16	)		(0.74	)		—	(f)
Year Ended February 28, 2011		7.74		0.65	(e)		0.65			1.30			(0.65	)		(0.03	)		(0.68	)		—	(f)
Year Ended February 28, 2010		5.81		0.60			1.93			2.53			(0.60	)		—			(0.60	)		—	(f)
Year Ended February 28, 2009		7.60		0.56			(1.79	)		(1.23	)		(0.56	)		—			(0.56	)		—	(f)
Year Ended February 29, 2008		8.62		0.63			(0.92	)		(0.29	)		(0.64	)		(0.09	)		(0.73	)		—	(f)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Calculated based upon average shares outstanding.

(f) Amount rounds to less than $0.01.

(g) Commencement of offering of class of shares.

(h) Effective November 30, 2007, R Class Shares were renamed Class R5 Shares.

(i) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

268 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	7.89		3.69	%	$	1,103,966		1.15	%		6.98	%		1.34	%		41	%
	8.33		17.07			856,717		1.14			7.81			1.32			45
	7.72		44.71			580,690		1.14			8.40			1.32			45
	5.79		(17.28	)		184,739		1.15			8.10			1.31			18
	7.59		(3.87	)		79,217		1.12			7.54			1.32			48
	7.91		3.02			11,060		1.80			6.34			1.84			41
	8.35		16.40			17,991		1.79			7.24			1.82			45
	7.73		43.46			22,430		1.79			7.80			1.82			45
	5.81		(17.68	)		16,720		1.80			7.33			1.81			18
	7.60		(4.51	)		26,052		1.78			6.88			1.82			48
	7.90		3.03			280,078		1.80			6.33			1.84			41
	8.34		16.45			248,488		1.79			7.17			1.82			45
	7.72		43.58			158,503		1.79			7.75			1.83			45
	5.80		(17.69	)		36,872		1.80			7.37			1.81			18
	7.59		(4.61	)		29,517		1.78			6.88			1.82			48
	7.88		3.46			6,968		1.40			6.72			1.59			41
	8.32		16.82			3,609		1.39			7.49			1.58			45
	7.71		44.25			1,004		1.39			8.10			1.60			45
	5.79		(0.05	)		50		1.40			8.84			1.59			18
	7.93		4.11			50,747		0.86			7.28			0.89			41
	8.36		17.45			27,619		0.85			8.54			0.87			45
	7.74		44.95			148,162		0.84			8.71			0.87			45
	5.81		(16.99	)		53,497		0.85			8.55			0.87			18
	7.61		(3.71	)		18,807		0.86			7.83			0.86			48
	7.91		4.01			1,461,496		0.81			7.32			0.84			41
	8.35		17.59			929,762		0.80			7.99			0.83			45
	7.73		44.84			359,553		0.79			8.76			0.83			45
	5.81		(16.84	)		91,880		0.80			8.44			0.81			18
	7.60		(3.58	)		77,356		0.81			7.87			0.81			48
	7.92		3.95			8,616,283		0.90			7.23			1.09			41
	8.36		17.44			7,478,536		0.89			8.06			1.07			45
	7.74		44.86			4,567,712		0.89			8.67			1.08			45
	5.81		(16.93	)		1,837,745		0.90			8.36			1.06			18
	7.60		(3.73	)		1,544,252		0.87			7.81			1.06			48

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 269

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments		Total from investment operations		Net investment income			Net realized gain			Total distributions
Inflation Managed Bond Fund
Class A
Year Ended February 29, 2012	$	10.34	$	0.22	(e)	$	0.44	$	0.66	$	(0.21	)	$	(0.05	)	$	(0.26	)
March 31, 2010 (f) through February 28, 2011		10.00		0.15	(e)		0.41		0.56		(0.16	)		(0.06	)		(0.22	)
Class C
Year Ended February 29, 2012		10.34		0.16	(e)		0.43		0.59		(0.15	)		(0.05	)		(0.20	)
March 31, 2010 (f) through February 28, 2011		10.00		0.11	(e)		0.39		0.50		(0.10	)		(0.06	)		(0.16	)
Class R2
Year Ended February 29, 2012		10.35		0.20	(e)		0.42		0.62		(0.18	)		(0.05	)		(0.23	)
March 31, 2010 (f) through February 28, 2011		10.00		0.15	(e)		0.39		0.54		(0.13	)		(0.06	)		(0.19	)
Class R5
Year Ended February 29, 2012		10.37		0.24	(e)		0.44		0.68		(0.23	)		(0.05	)		(0.28	)
March 31, 2010 (f) through February 28, 2011		10.00		0.24	(e)		0.34		0.58		(0.15	)		(0.06	)		(0.21	)
Class R6
Year Ended February 29, 2012		10.34		0.25	(e)		0.44		0.69		(0.24	)		(0.05	)		(0.29	)
November 30, 2010 (g) through February 28, 2011		10.39		0.04	(e)		0.01		0.05		(0.04	)		(0.06	)		(0.10	)
Select Class
Year Ended February 29, 2012		10.34		0.24	(e)		0.44		0.68		(0.23	)		(0.05	)		(0.28	)
March 31, 2010 (f) through February 28, 2011		10.00		0.19	(e)		0.38		0.57		(0.17	)		(0.06	)		(0.23	)

(a) Annualized for periods less than one year.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(e) Calculated based upon average shares outstanding.

(f) Commencement of operations.

(g) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

270 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)
$	10.74		6.42	%	$	134,099		0.74	%		2.09	%		1.02	%		36	%
	10.34		5.62			28,242		0.73			1.60			1.24			69
	10.73		5.68			4,302		1.39			1.47			1.53			36
	10.34		5.01			284		1.39			1.17			2.78			69
	10.74		6.04			11,174		0.99			1.85			1.27			36
	10.35		5.40			53		1.00			1.54			3.66			69
	10.77		6.57			56		0.53			2.23			0.57			36
	10.37		5.85			53		0.55			2.46			0.72			69
	10.74		6.68			167,997		0.49			2.37			0.53			36
	10.34		0.49			51,944		0.49			1.99			0.57			69
	10.74		6.56			870,400		0.59			2.22			0.77			36
	10.34		5.70			346,927		0.59			1.97			1.18			69

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 271

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income
Limited Duration Bond Fund
Class A
Year Ended February 29, 2012	$	9.46	$	0.18	(c)	$	(0.01	)	$	0.17		$	(0.17	)
Year Ended February 28, 2011		8.90		0.21	(c)		0.56			0.77			(0.21	)
Year Ended February 28, 2010		7.80		0.24	(c)		1.11			1.35			(0.25	)
Year Ended February 28, 2009		9.31		0.36	(c)		(1.50	)		(1.14	)		(0.37	)
Year Ended February 29, 2008		9.77		0.46			(0.46	)		—			(0.46	)
Class B
Year Ended February 29, 2012		9.39		0.13	(c)		(0.01	)		0.12			(0.12	)
Year Ended February 28, 2011		8.83		0.17	(c)		0.56			0.73			(0.17	)
Year Ended February 28, 2010		7.74		0.21	(c)		1.09			1.30			(0.21	)
Year Ended February 28, 2009		9.24		0.31	(c)		(1.49	)		(1.18	)		(0.32	)
Year Ended February 29, 2008		9.70		0.38			(0.43	)		(0.05	)		(0.41	)
Class C
Year Ended February 29, 2012		9.37		0.13	(c)		(0.01	)		0.12			(0.12	)
Year Ended February 28, 2011		8.82		0.17	(c)		0.55			0.72			(0.17	)
Year Ended February 28, 2010		7.72		0.20	(c)		1.11			1.31			(0.21	)
Year Ended February 28, 2009		9.23		0.31	(c)		(1.50	)		(1.19	)		(0.32	)
Year Ended February 29, 2008		9.68		0.38			(0.42	)		(0.04	)		(0.41	)
Class R6 (d)
Year Ended February 29, 2012		9.47		0.22	(c)		(0.01	)		0.21			(0.21	)
Year Ended February 28, 2011		8.91		0.26	(c)		0.56			0.82			(0.26	)
Year Ended February 28, 2010		7.80		0.31	(c)		1.09			1.40			(0.29	)
Year Ended February 28, 2009		9.32		0.40	(c)		(1.51	)		(1.11	)		(0.41	)
Year Ended February 29, 2008		9.77		0.50			(0.45	)		0.05			(0.50	)
Select Class
Year Ended February 29, 2012		9.46		0.20	(c)		(0.01	)		0.19			(0.19	)
Year Ended February 28, 2011		8.90		0.24	(c)		0.56			0.80			(0.24	)
Year Ended February 28, 2010		7.80		0.26	(c)		1.11			1.37			(0.27	)
Year Ended February 28, 2009		9.31		0.38	(c)		(1.50	)		(1.12	)		(0.39	)
Year Ended February 29, 2008		9.77		0.49			(0.47	)		0.02			(0.48	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

(d) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

272 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	9.46		1.80	%	$	48,120		0.68	%		1.89	%		0.94	%		21	%
	9.46		8.78			69,464		0.67			2.32			0.95			28
	8.90		17.61			74,529		0.67			2.88			0.98			23
	7.80		(12.52	)		52,560		0.70			4.12			0.95			—
	9.31		(0.06	)		104,590		0.70			4.70			0.91			15
	9.39		1.30			286		1.18			1.39			1.44			21
	9.39		8.29			820		1.17			1.82			1.45			28
	8.83		17.01			1,845		1.17			2.58			1.49			23
	7.74		(12.97	)		6,423		1.20			3.62			1.44			—
	9.24		(0.56	)		18,797		1.20			4.20			1.41			15
	9.37		1.33			54,348		1.18			1.39			1.44			21
	9.37		8.20			66,659		1.17			1.82			1.45			28
	8.82		17.22			65,806		1.17			2.41			1.48			23
	7.72		(13.09	)		65,241		1.20			3.63			1.44			—
	9.23		(0.47	)		145,000		1.20			4.20			1.41			15
	9.47		2.27			3,642		0.23			2.34			0.44			21
	9.47		9.25			3,873		0.22			2.78			0.45			28
	8.91		18.26			1,253		0.23			3.92			0.51			23
	7.80		(12.21	)		137,474		0.25			4.56			0.44			—
	9.32		0.51			573,714		0.25			5.15			0.41			15
	9.46		2.08			292,294		0.43			2.13			0.69			21
	9.46		9.05			256,477		0.42			2.57			0.70			28
	8.90		17.91			183,481		0.42			3.14			0.73			23
	7.80		(12.27	)		179,116		0.45			4.37			0.70			—
	9.31		0.18			352,600		0.45			4.95			0.66			15

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 273

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income
Mortgage-Backed Securities Fund
Class A
Year Ended February 29, 2012	$	11.50	$	0.49	$	0.25		$	0.74	$	(0.49	)
Year Ended February 28, 2011		11.22		0.55		0.28			0.83		(0.55	)
Year Ended February 28, 2010		10.42		0.73		0.82			1.55		(0.75	)
Year Ended February 28, 2009		10.97		0.61		(0.57	)		0.04		(0.59	)
Year Ended February 29, 2008		10.65		0.50		0.31			0.81		(0.49	)
Class R6 (c)
Year Ended February 29, 2012		11.28		0.54		0.23			0.77		(0.54	)
Year Ended February 28, 2011		11.01		0.59		0.27			0.86		(0.59	)
Year Ended February 28, 2010		10.23		0.79		0.78			1.57		(0.79	)
Year Ended February 28, 2009		10.79		0.63		(0.56	)		0.07		(0.63	)
Year Ended February 29, 2008		10.48		0.54		0.31			0.85		(0.54	)
Select Class
Year Ended February 29, 2012		11.27		0.53		0.23			0.76		(0.52	)
Year Ended February 28, 2011		11.01		0.57		0.26			0.83		(0.57	)
Year Ended February 28, 2010		10.23		0.76		0.79			1.55		(0.77	)
Year Ended February 28, 2009		10.79		0.62		(0.57	)		0.05		(0.61	)
Year Ended February 29, 2008		10.48		0.52		0.31			0.83		(0.52	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

274 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	11.75		6.57	%	$	255,946		0.64	%		4.29	%		0.98	%		21	%
	11.50		7.48			176,334		0.64			4.84			0.98			30
	11.22		15.26			101,955		0.64			6.58			0.99			21
	10.42		0.41			16,189		0.65			5.69			0.99			15
	10.97		7.88			18,011		0.65			4.70			0.98			16
	11.51		6.96			1,538,507		0.24			4.72			0.48			21
	11.28		7.97			1,466,482		0.24			5.26			0.48			30
	11.01		15.79			1,271,776		0.24			7.35			0.49			21
	10.23		0.74			916,201		0.25			6.12			0.50			15
	10.79		8.33			882,626		0.25			5.09			0.48			16
	11.51		6.89			1,264,766		0.39			4.51			0.73			21
	11.27		7.71			580,212		0.39			5.12			0.73			30
	11.01		15.64			425,701		0.39			6.87			0.74			21
	10.23		0.58			88,231		0.40			5.93			0.74			15
	10.79		8.18			96,870		0.40			4.94			0.73			16

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 275

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Short Duration Bond Fund
Class A
Year Ended February 29, 2012	$	10.95	$	0.15	(c)	$	0.04		$	0.19	$	(0.15	)	$	(0.02	)	$	(0.17	)
Year Ended February 28, 2011		10.90		0.16	(c)		0.06			0.22		(0.16	)		(0.01	)		(0.17	)
Year Ended February 28, 2010		10.61		0.26	(c)		0.29			0.55		(0.26	)		—			(0.26	)
Year Ended February 28, 2009		10.80		0.38			(0.19	)		0.19		(0.38	)		—			(0.38	)
Year Ended February 29, 2008		10.52		0.44	(c)		0.26			0.70		(0.42	)		—			(0.42	)
Class B
Year Ended February 29, 2012		11.06		0.10	(c)		0.03			0.13		(0.09	)		(0.02	)		(0.11	)
Year Ended February 28, 2011		11.00		0.11	(c)		0.06			0.17		(0.10	)		(0.01	)		(0.11	)
Year Ended February 28, 2010		10.70		0.22	(c)		0.28			0.50		(0.20	)		—			(0.20	)
Year Ended February 28, 2009		10.88		0.35			(0.21	)		0.14		(0.32	)		—			(0.32	)
Year Ended February 29, 2008		10.60		0.39	(c)		0.26			0.65		(0.37	)		—			(0.37	)
Class C
Year Ended February 29, 2012		11.02		0.09	(c)		0.04			0.13		(0.09	)		(0.02	)		(0.11	)
Year Ended February 28, 2011		10.97		0.10	(c)		0.06			0.16		(0.10	)		(0.01	)		(0.11	)
Year Ended February 28, 2010		10.68		0.20	(c)		0.30			0.50		(0.21	)		—			(0.21	)
Year Ended February 28, 2009		10.87		0.33			(0.20	)		0.13		(0.32	)		—			(0.32	)
Year Ended February 29, 2008		10.59		0.39	(c)		0.26			0.65		(0.37	)		—			(0.37	)
Class R6 (d)
Year Ended February 29, 2012		10.97		0.20	(c)		0.05			0.25		(0.21	)		(0.02	)		(0.23	)
Year Ended February 28, 2011		10.92		0.21	(c)		0.06			0.27		(0.21	)		(0.01	)		(0.22	)
Year Ended February 28, 2010		10.62		0.31	(c)		0.30			0.61		(0.31	)		—			(0.31	)
Year Ended February 28, 2009		10.81		0.43			(0.19	)		0.24		(0.43	)		—			(0.43	)
Year Ended February 29, 2008		10.53		0.49	(c)		0.27			0.76		(0.48	)		—			(0.48	)
Select Class
Year Ended February 29, 2012		10.96		0.18	(c)		0.05			0.23		(0.18	)		(0.02	)		(0.20	)
Year Ended February 28, 2011		10.92		0.19	(c)		0.05			0.24		(0.19	)		(0.01	)		(0.20	)
Year Ended February 28, 2010		10.62		0.29	(c)		0.30			0.59		(0.29	)		—			(0.29	)
Year Ended February 28, 2009		10.80		0.40			(0.18	)		0.22		(0.40	)		—			(0.40	)
Year Ended February 29, 2008		10.53		0.46	(c)		0.26			0.72		(0.45	)		—			(0.45	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

(d) Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares.

SEE NOTES TO FINANCIAL STATEMENTS.

276 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	10.97		1.76	%	$	260,098		0.80	%		1.36	%		0.86	%		40	%
	10.95		2.04			250,706		0.79			1.45			0.86			36
	10.90		5.23			255,356		0.79			2.43			0.88			31
	10.61		1.79			90,891		0.80			3.55			0.89			51
	10.80		6.84			56,496		0.80			4.14			0.91			40
	11.08		1.21			1,409		1.30			0.86			1.37			40
	11.06		1.58			2,134		1.29			0.96			1.36			36
	11.00		4.71			3,458		1.29			2.05			1.38			31
	10.70		1.32			6,668		1.30			3.09			1.39			51
	10.88		6.23			11,328		1.30			3.65			1.41			40
	11.04		1.23			297,098		1.30			0.86			1.37			40
	11.02		1.51			321,680		1.29			0.95			1.36			36
	10.97		4.76			344,957		1.29			1.83			1.38			31
	10.68		1.27			22,625		1.30			3.06			1.39			51
	10.87		6.26			19,135		1.30			3.64			1.41			40
	10.99		2.28			3,530,135		0.30			1.86			0.36			40
	10.97		2.54			2,906,329		0.29			1.94			0.36			36
	10.92		5.81			2,043,695		0.29			2.87			0.38			31
	10.62		2.27			322,907		0.30			4.07			0.39			51
	10.81		7.39			321,055		0.30			4.64			0.41			40
	10.99		2.10			6,946,436		0.55			1.61			0.61			40
	10.96		2.20			6,829,822		0.54			1.70			0.61			36
	10.92		5.57			5,163,875		0.54			2.67			0.63			31
	10.62		2.12			2,029,713		0.55			3.80			0.64			51
	10.80		7.03			1,255,422		0.55			4.31			0.64			40

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 277

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Return of capital			Total distributions
Short Term Bond Fund II
Class A
Year Ended February 29, 2012	$	8.83	$	0.11	(c)	$	0.02		$	0.13		$	(0.18	)	$	(0.04	)	$	(0.22	)
Year Ended February 28, 2011		8.85		0.15	(c)		(0.01	)		0.14			(0.16	)		—			(0.16	)
Year Ended February 28, 2010		8.76		0.20	(c)		0.11			0.31			(0.22	)		—			(0.22	)
Year Ended February 28, 2009		9.66		0.34	(c)		(0.90	)		(0.56	)		(0.34	)		—			(0.34	)
Year Ended February 29, 2008		9.84		0.45			(0.18	)		0.27			(0.45	)		—			(0.45	)
Class M
Year Ended February 29, 2012		8.83		0.09	(c)		0.02			0.11			(0.16	)		(0.04	)		(0.20	)
Year Ended February 28, 2011		8.85		0.13	(c)		(0.02	)		0.11			(0.13	)		—			(0.13	)
Year Ended February 28, 2010		8.76		0.18	(c)		0.11			0.29			(0.20	)		—			(0.20	)
Year Ended February 28, 2009		9.66		0.29	(c)		(0.88	)		(0.59	)		(0.31	)		—			(0.31	)
Year Ended February 29, 2008		9.85		0.41			(0.18	)		0.23			(0.42	)		—			(0.42	)
Select Class
Year Ended February 29, 2012		8.84		0.14	(c)		0.03			0.17			(0.21	)		(0.04	)		(0.25	)
Year Ended February 28, 2011		8.87		0.17	(c)		(0.02	)		0.15			(0.18	)		—			(0.18	)
Year Ended February 28, 2010		8.77		0.22	(c)		0.12			0.34			(0.24	)		—			(0.24	)
Year Ended February 28, 2009		9.68		0.37	(c)		(0.92	)		(0.55	)		(0.36	)		—			(0.36	)
Year Ended February 29, 2008		9.86		0.51			(0.22	)		0.29			(0.47	)		—			(0.47	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

278 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	8.74		1.52	%	$	3,943		0.75	%		1.30	%		1.16	%		27	%
	8.83		1.54			7,222		0.75			1.67			1.12			49
	8.85		3.61			7,263		0.74			2.26			1.05			48
	8.76		(5.93	)		6,456		0.75			3.61			1.09			91
	9.66		2.78			22,655		0.75			4.51			1.01			338
	8.74		1.27			59,970		1.00			1.03			1.27			27
	8.83		1.26			75,712		1.00			1.43			1.22			49
	8.85		3.36			93,816		0.99			2.01			1.16			48
	8.76		(6.15	)		113,828		1.00			3.19			1.19			91
	9.66		2.42			144,078		1.00			4.26			1.11			338
	8.76		1.90			1,382		0.50			1.53			0.92			27
	8.84		1.68			1,669		0.50			1.95			0.87			49
	8.87		3.98			2,366		0.49			2.51			0.84			48
	8.77		(5.76	)		5,611		0.50			3.92			0.83			91
	9.68		3.02			83,064		0.50			4.76			0.75			338

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 279

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Treasury & Agency Fund
Class A
Year Ended February 29, 2012	$	9.78	$	0.12	(c)	$	0.05		$	0.17	$	(0.11	)	$	(0.10	)	$	(0.21	)
Year Ended February 28, 2011		9.96		0.13	(c)		(0.02	)		0.11		(0.13	)		(0.16	)		(0.29	)
Year Ended February 28, 2010		10.17		0.22	(c)		0.12			0.34		(0.22	)		(0.33	)		(0.55	)
Year Ended February 28, 2009		10.04		0.11			0.20			0.31		(0.18	)		—			(0.18	)
Year Ended February 29, 2008		9.72		0.42			0.31			0.73		(0.41	)		—			(0.41	)
Class B
Year Ended February 29, 2012		9.76		0.07	(c)		0.06			0.13		(0.06	)		(0.10	)		(0.16	)
Year Ended February 28, 2011		9.94		0.08	(c)		(0.02	)		0.06		(0.08	)		(0.16	)		(0.24	)
Year Ended February 28, 2010		10.15		0.18	(c)		0.11			0.29		(0.17	)		(0.33	)		(0.50	)
Year Ended February 28, 2009		10.03		0.16			0.10			0.26		(0.14	)		—			(0.14	)
Year Ended February 29, 2008		9.71		0.42			0.26			0.68		(0.36	)		—			(0.36	)
Select Class
Year Ended February 29, 2012		9.77		0.14	(c)		0.05			0.19		(0.13	)		(0.10	)		(0.23	)
Year Ended February 28, 2011		9.95		0.16	(c)		(0.02	)		0.14		(0.16	)		(0.16	)		(0.32	)
Year Ended February 28, 2010		10.16		0.24	(c)		0.12			0.36		(0.24	)		(0.33	)		(0.57	)
Year Ended February 28, 2009		10.02		0.13			0.22			0.35		(0.21	)		—			(0.21	)
Year Ended February 29, 2008		9.70		0.44			0.31			0.75		(0.43	)		—			(0.43	)

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

(b) Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted.

(c) Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

280 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate
$	9.74		1.72	%	$	90,893		0.70	%		1.17	%		0.95	%		35	%
	9.78		1.15			99,714		0.70			1.32			0.95			26
	9.96		3.39			99,593		0.69			2.12			0.97			51
	10.17		3.18			114,609		0.70			0.99			0.94			154
	10.04		7.71			77,234		0.69			4.33			1.01			83
	9.73		1.33			408		1.20			0.68			1.45			35
	9.76		0.63			771		1.20			0.82			1.45			26
	9.94		2.86			1,588		1.19			1.75			1.47			51
	10.15		2.64			3,538		1.20			1.07			1.43			154
	10.03		7.17			6,691		1.20			3.96			1.52			83
	9.73		1.97			313,699		0.45			1.42			0.70			35
	9.77		1.40			371,384		0.45			1.57			0.70			26
	9.95		3.63			427,880		0.44			2.40			0.72			51
	10.16		3.52			552,538		0.45			1.54			0.69			154
	10.02		8.01			620,461		0.43			3.98			0.74			83

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 281

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) were each formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004. J.P. Morgan Mutual Fund Group (“MFG”) was organized as a Massachusetts business trust on May 11, 1987. Each of JPM I, JPM II and MFG (the “Trusts”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 10 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

	Classes Offered	Trust	Diversified/Non-Diversified
Core Bond Fund	Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Core Plus Bond Fund	Class A, Class B, Class C, Class R2, Class R6, Institutional Class and Select Class	JPM II	Diversified
Government Bond Fund	Class A, Class B, Class C, Class R2 and Select Class	JPM II	Diversified
High Yield Fund	Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Inflation Managed Bond Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM I	Diversified
Limited Duration Bond Fund	Class A, Class B, Class C, Class R6 and Select Class	JPM II	Diversified
Mortgage-Backed Securities Fund	Class A, Class R6 and Select Class	JPM II	Diversified
Short Duration Bond Fund	Class A, Class B, Class C, Class R6 and Select Class	JPM II	Diversified
Short Term Bond Fund II	Class A, Class M and Select Class	MFG	Diversified
Treasury & Agency Fund	Class A, Class B and Select Class	JPM II	Diversified

The investment objective of Core Bond Fund is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

The investment objective of Core Plus Bond Fund is to seek a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.

The investment objective of Government Bond Fund is to seek a high level of current income with liquidity and safety of principal.

The investment objective of High Yield Fund is to seek a high level of current income by investing primarily in a diversified portfolio of debt securities that are rated below investment grade or unrated. Capital appreciation is a secondary objective.

The investment objective of Inflation Managed Bond Fund is to seek to maximize inflation protected total return.

The investment objective of Limited Duration Bond Fund is to seek a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities.

The investment objective of Mortgage-Backed Securities Fund is to seek to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.

The investment objective of Short Duration Bond Fund is to seek current income consistent with preservation of capital through investment in high- and medium-grade fixed income securities.

The investment objective of Short-Term Bond Fund II is to seek a high level of income, consistent with preservation of capital.

The investment objective of Treasury & Agency Fund is to seek a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes.

Inflation Managed Bond Fund commenced operations on March 31, 2010. Prior to April 30, 2010, Class A, Class C, Class R5 and Select Class Shares were not publicly offered for investment. Class R6 Shares commenced operations November 30, 2010.

Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares for the Core Bond Fund, Core Plus Bond Fund, High Yield Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund.

Effective November 1, 2009, Class B Shares of the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.

Class A and Class M Shares generally provide for a front-end sales charge while Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years (except for Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

282 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.

Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate 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.

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 fair value of the Funds’ investments are summarized into the three broad levels listed below.

Ÿ Level 1 — quoted prices in active markets for identical securities

Ÿ Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Ÿ Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following tables represent each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Core Bond Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset Backed Securities	$	—	$	1,003,728	$	91,313	$	1,095,041
Collateralized Mortgage Obligations
Agency CMO		—		5,299,085		—		5,299,085
Non-Agency CMO		—		2,477,762		146,340		2,624,102
Total Collateralized Mortgage Obligations		—		7,776,847		146,340		7,923,187

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 283

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Core Bond Fund (continued)
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Commercial Mortgage-Backed Securities	$	—		$	540,768	$	—		$	540,768
Corporate Bonds
Consumer Discretionary		—			304,265		—			304,265
Consumer Staples		—			169,182		—			169,182
Energy		—			220,438		—			220,438
Financials		—			2,126,262		1,564			2,127,826
Health Care		—			65,167		—			65,167
Industrials		—			188,956		—			188,956
Information Technology		—			179,420		—			179,420
Materials		—			108,480		—			108,480
Telecommunication Services		—			240,887		—			240,887
Utilities		—			380,046		—			380,046
Total Corporate Bonds		—			3,983,103		1,564			3,984,667
Foreign Government Securities		—			108,168		—			108,168
Mortgage Pass-Through Securities		—			3,456,709		—			3,456,709
Municipal Bonds		—			51,202		—			51,202
Supranational		—			19,177		—			19,177
U.S. Government Agency Securities		—			427,221		—			427,221
U.S. Treasury Obligations		—			5,775,508		—			5,775,508
Short-Term Investment
Investment Company		1,334,403			—		—			1,334,403
Total Investments in Securities	$	1,334,403		$	23,142,431	$	239,217		$	24,716,051
Core Plus Bond Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Investments in Securities
Common Stocks
Consumer Discretionary	$	1,909		$	—	$	369		$	2,278
Consumer Staples		—			—		—	(a)		—	(a)
Financials		4,106			—		—			4,106
Industrials		5			—		—			5
Information Technology		126			—		—			126
Materials		5,113			—		212			5,325
Telecommunication Services		—	(b)		—		—	(a)		—	(b)
Utilities		17			—		—			17
Total Common Stocks		11,276			—		581			11,857
Preferred Stocks
Consumer Discretionary		—			5,300		—			5,300
Consumer Staples		—			—		—	(a)		—	(a)
Financials		—			5,575		—			5,575
Materials		—			—		204			204
Total Preferred Stocks		—			10,875		204			11,079
Debt Securities
Asset Backed Securities		—			52,228		3,125			55,353
Collateralized Mortgage Obligations
Agency CMO		—			305,445		—			305,445
Non-Agency CMO		—			158,183		2,484			160,667
Total Collateralized Mortgage Obligations		—			463,628		2,484			466,112

284 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

Core Plus Bond Fund (continued)
	Level 1 Quoted prices			Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs		Total
Commercial Mortgage-Backed Securities	$	—		$	88,668		$	—	$	88,668
Convertible Bonds
Consumer Discretionary		—			162			—		162
Materials		—			647			—		647
Total Convertible Bonds		—			809			—		809
Corporate Bonds
Consumer Discretionary		—			113,970			406		114,376
Consumer Staples		—			41,771			92		41,863
Energy		—			82,902			—		82,902
Financials		—			264,577			—		264,577
Health Care		—			46,950			—		46,950
Industrials		—			76,550			152		76,702
Information Technology		—			33,471			2,856		36,327
Materials		—			70,869			3,569		74,438
Telecommunication Services		—			43,819			—		43,819
Utilities		—			65,754			—		65,754
Total Corporate Bonds		—			840,633			7,075		847,708
Foreign Government Securities		—			40,415			496		40,911
Mortgage Pass-Through Securities		—			114,541			—		114,541
Municipal Bonds		—			13,858			—		13,858
Supranational		—			1,653			—		1,653
U.S. Government Agency Securities		—			24,087			—		24,087
U.S. Treasury Obligations		—			378,339			—		378,339
Loan Participations & Assignments
Consumer Discretionary		—			27,330			—		27,330
Consumer Staples		—			371			—		371
Energy		—			812			—		812
Financials		—			3,055			—		3,055
Health Care		—			649			—		649
Industrials		—			4,255			—		4,255
Information Technology		—			2,519			—		2,519
Materials		—			2,151			—		2,151
Utilities		—			2,469			—		2,469
Total Loan Participations & Assignments		—			43,611			—		43,611
Warrants
Consumer Discretionary		—			1,898			—		1,898
Short-Term Investment
Investment Company		170,014			—			—		170,014
Total Investments in Securities	$	181,290		$	2,075,243		$	13,965	$	2,270,498
Appreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts		—			39			—		39
Futures Contracts		2			—			—		2
Total Appreciation in Other Financial Instruments	$	2		$	39		$	—	$	41
Depreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts		—			(21	)		—		(21	)
Futures Contracts		(3	)		—			—		(3	)
Swaps		—			(8	)		—		(8	)
Total Depreciation in Other Financial Instruments	$	(3	)	$	(29	)	$	—	$	(32	)

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 285

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Government Bond Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (c)	$	141,918	$	1,467,485	$	—	$	1,609,403

High Yield Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Investments in Securities
Common Stocks
Consumer Discretionary	$	34,329	$	—	$	5,453		$	39,782
Consumer Staples		—		—		—	(a)		—	(a)
Financials		38,853		—		—			38,853
Health Care		5		—		—			5
Industrials		37		—		—			37
Information Technology		8,211		—		—	(a)		8,211
Materials		29,309		—		1,187			30,496
Telecommunication Services		—		—		—	(a)		—	(a)
Utilities		48		—		—			48
Total Common Stocks		110,792		—		6,640			117,432
Preferred Stocks
Consumer Discretionary		—		14,609		645			15,254
Consumer Staples		—		—		—	(a)		—	(a)
Financials		—		62,524		—			62,524
Information Technology		—		—		—	(a)		—	(a)
Materials		—		—		1,311			1,311
Total Preferred Stocks		—		77,133		1,956			79,089
Debt Securities
Asset Backed Securities		—		91		6,972			7,063
Commercial Mortgage-Backed Security		—		81,852		—			81,852
Convertible Bonds
Materials		—		13,573		—			13,573
Corporate Bonds
Consumer Discretionary		—		2,029,981		5,645			2,035,626
Consumer Staples		—		390,423		1,353			391,776
Energy		—		1,313,681		—			1,313,681
Financials		—		1,254,961		9,899			1,264,860
Health Care		—		723,915		1,537			725,452
Industrials		—		889,366		—			889,366
Information Technology		—		460,460		16,643			477,103
Materials		—		944,821		15,440			960,261
Telecommunication Services		—		695,527		—			695,527
Utilities		—		427,162		—			427,162
Total Corporate Bonds		—		9,130,297		50,517			9,180,814
Loan Participations & Assignments
Consumer Discretionary		—		664,810		—			664,810
Consumer Staples		—		114,385		—			114,385
Energy		—		15,708		—			15,708
Financials		—		106,826		—			106,826
Health Care		—		61,379		—			61,379
Industrials		—		132,489		—			132,489
Information Technology		—		136,536		5,872			142,408
Materials		—		124,287		—			124,287
Telecommunication Services		—		47,293		—			47,293
Utilities		—		89,524		—			89,524
Total Loan Participations & Assignments		—		1,493,237		5,872			1,499,109

286 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

High Yield Fund (continued)
	Level 1 Quoted prices		Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs		Total
Warrants
Consumer Discretionary	$	—	$	21,695		$	—	$	21,695
Short-Term Investments
Investment Companies		553,232		—			—		553,232
Total Investments in Securities	$	664,024	$	10,817,878		$	71,957	$	11,553,859
Appreciation in Other Financial Instruments
Swaps	$	—	$	3,898		$	—	$	3,898
Inflation Managed Bond Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs		Total
Total Investments in Securities (c)	$	50,241	$	1,120,665		$	—	$	1,170,906
Appreciation in Other Financial Instruments
Swaps	$	—	$	7,457		$	—	$	7,457
Depreciation in Other Financial Instruments
Swaps	$	—	$	(2,446	)	$	—	$	(2,446	)
Limited Duration Bond Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset Backed Securities	$	—	$	50,920		$	748	$	51,668
Collateralized Mortgage Obligations
Agency CMO		—		126,286			—		126,286
Non-Agency CMO		—		89,666			—		89,666
Total Collateralized Mortgage Obligations		—		215,952			—		215,952
Commercial Mortgage-Backed Securities		—		11,281					11,281
Corporate Bonds
Financials		—		255			1,644		1,899
Total Corporate Bonds		—		255			1,644		1,899
Mortgage Pass-Through Securities		—		61,918			—		61,918
Short-Term Investment
Investment Company		56,538		—			—		56,538
Total Investments in Securities	$	56,538	$	340,326		$	2,392	$	399,256
Mortgage-Backed Securities Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs			Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset Backed Securities	$	—	$	70,900		$	12,713	$	83,613
Collateralized Mortgage Obligations
Agency CMO		—		1,228,359			—		1,228,359
Non-Agency CMO		—		564,421			24,032		588,453
Total Collateralized Mortgage Obligations		—		1,792,780			24,032		1,816,812

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 287

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Mortgage-Backed Securities Fund (continued)
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Commercial Mortgage-Backed Securities	$	—	$	41,948	$	—	$	41,948
Mortgage Pass-Through Securities		—		928,807		—		928,807
U.S. Government Agency Securities		—		9,377		—		9,377
U.S. Treasury Obligations		—		13,930		—		13,930
Short-Term Investment
Investment Company		223,214		—		—		223,214
Total Investment Securities	$	223,214	$	2,857,742	$	36,745	$	3,117,701
Short Duration Bond Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (c)	$	286,458	$	10,789,798	$	—	$	11,076,256
Short Term Bond Fund II
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (c)	$	20	$	64,891	$	—	$	64,911
Treasury & Agency Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (c)	$	2,230	$	400,886	$	—	$	403,116

(a) Security has zero value.

(b) Amount rounds to less than $1,000.

(c) Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for industry specifics of the portfolio holdings.

There were no transfers between Levels 1 and 2 during the year ended February 29, 2012.

The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):

Core Bond Fund	Balance as of 2/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)		Purchases1		Sales2			Transfers into Level 3		Transfers out of Level 3			Balance as of 2/29/12
Investments in Securities
Asset-Backed Securities	$	20,798	$	—		$	(8	)	$	45	$	101,384	$	(46,011	)	$	15,105	$	—		$	91,313
Collateralized Mortgage Obligations
Agency CMO		13,778		—			—			—		—		—			—		(13,778	)		—
Non-Agency CMO		28,884		(3,979	)		3,497			96		167,486		(49,644	)		—		—			146,340
Corporate Bonds — Financials		1,572		—			(9	)		1		—		—			—		—			1,564
Total	$	65,032	$	(3,979	)	$	3,480		$	142	$	268,870	$	(95,655	)	$	15,105	$	(13,778	)	$	239,217

288 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

Core Plus Bond Fund	Balance as of 2/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases1			Sales2			Transfers into Level 3		Transfers out of Level 3			Balance as of 2/29/12
Investments in Securities
Asset-Backed Securities	$	4,502	$	—	(a)	$	229		$	10		$	—		$	(1,616	)	$	—	$	—		$	3,125
Collateralized Mortgage Obligations
Non-Agency CMOs		—		—			(14	)		—			3,287			(789	)		—		—			2,484
Common Stocks — Consumer Discretionary		248		—			121			—			—			—			—		—			369
Common Stocks — Consumer Staples		30		—			(30	)		—			—			—			—		—			—	(b)
Common Stocks — Information Technology		1,688		—			(414	)		—			—			(1,274	)		—		—			—
Common Stocks — Materials		—		—			(36	)		—			248			—			—		—			212
Common Stocks — Telecommunication Services		—		—			—			—			—	(b)		—			—		—			—	(b)
Corporate Bonds — Consumer Discretionary		—		—			(105	)		17			494			—			—		—			406
Corporate Bonds — Consumer Staples		153		—			(85	)		—			24			—			—		—			92
Corporate Bonds — Industrials		311		—			(44	)		—			—			—			—		(115	)		152
Corporate Bonds — Information Technology		—		—			(384	)		77			3,163			—			—		—			2,856
Corporate Bonds — Materials		368		—			(335	)		14			3,559			(37	)		—		—			3,569
Foreign Government Securities		503		20			(69	)		(7	)		—			(288	)		337		—			496
Loan Participations & Assignment — Information Technology		867		(13	)		4			5			—			(863	)		—		—			—
Preferred Stocks — Consumer Staples		56		—			(62	)					6			—			—		—			—	(b)
Preferred Stocks — Financials		1,784		—			—			—			—			—			—		(1,784	)		—
Preferred Stocks — Materials		—		—			13			—			191			—			—		—			204
Total	$	10,510	$	7		$	(1,211	)	$	116		$	10,972		$	(4,867	)	$	337	$	(1,899	)	$	13,965

Government Bond Fund	Balance as of 2/28/11		Realized gain (loss)		Change in unrealized appreciation (depreciation)		Net amortization (accretion)		Purchases1		Sales2		Transfers into Level 3		Transfers out of Level 3			Balance as of 2/29/12
Investments in Securities
Collateralized Mortgage Obligations
Agency CMO	$	864	$	—	$	—	$	—	$	—	$	—	$	—	$	(864	)	$	—
Total	$	864	$	—	$	—	$	—	$	—	$	—	$	—	$	(864	)	$	—

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 289

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

High Yield Fund	Balance as of 2/28/11			Realized gain (loss)		Change in unrealized appreciation (depreciation)			Net amortization (accretion)			Purchases1			Sales2			Transfers into Level 3		Transfers out of Level 3			Balance as of 2/29/12
Investments in Securities
Asset-Backed Securities	$	6,960		$	1	$	116		$	46		$	—		$	(151	)	$	—	$	—		$	6,972
Common Stocks — Consumer Discretionary		3,666			—		1,787			—			—			—			—		—			5,453
Common Stocks — Consumer Staples		439			—		(439	)		—			—			—			—		—			—	(b)
Common Stocks — Information Technology		10,896			—		(2,544	)		—			—			(8,352	)		—		—			—	(b)
Common Stock — Materials		—			—		(202	)		—			1,389			—			—		—			1,187
Common Stock — Telecommunication Services		—			—		—			—			—	(b)		—			—		—			—	(b)
Corporate Bonds — Consumer Discretionary		2,735			34		(2,613	)		22			—			(2,791	)		8,258		—			5,645
Corporate Bonds — Consumer Staples		2,246			—		(1,249	)		—			356			—			—		—			1,353
Corporate Bonds — Financials		17,696			—		(774	)		12			10,661			—			—		(17,696	)		9,899
Corporate Bonds — Health Care		4,662			—		(4,779	)		(3	)		1,657			—			—		—			1,537
Corporate Bonds — Industrials		1,650			15		(207	)		1			1			(703	)		—		(757	)		—
Corporate Bonds — Information Technology		2,194			—		(3,912	)		196			20,384			(2,219	)		—		—			16,643
Corporate Bonds — Materials		3,054			—		(2,289	)		32			14,848			(205	)		—		—			15,440
Loan Participations & Assignment — Financials		3,773			38		437			(6	)		910			(5,152	)		—		—			—
Loan Participations & Assignment — Information Technology		3,490			—		(48	)		7			4,798			(185	)		—		(2,190	)		5,872
Loan Participations & Assignment — Materials		13,717			—		—			—			618			(6,425	)		—		(7,910	)		—
Preferred Stocks — Consumer Discretionary		618			—		27			—			—			—			—		—			645
Preferred Stocks — Consumer Staples		817			—		(898	)		—			81			—			—		—			—	(b)
Preferred Stocks — Financials		14,335			—		—			—			—			—			—		(14,335	)		—
Preferred Stocks — Information Technology		—	(b)		—		—			—			—			—			—		—			—	(b)
Preferred Stocks — Materials		—			—		83			—			1,228			—			—		—			1,311
Rights — Consumer Discretionary		—	(b)		—		—			—			—			—	(b)		—		—			—
Total	$	92,948		$	88	$	(17,504	)	$	307		$	56,931		$	(26,183	)	$	8,258	$	(42,888	)	$	71,957

Limited Duration Bond Fund	Balance as of 2/28/11		Realized gain (loss)		Change in unrealized appreciation (depreciation)		Net amortization (accretion)		Purchases1		Sales2		Transfers into Level 3		Transfers out of Level 3		Balance as of 2/29/12
Investments in Securities
Asset Backed Securities	$	748	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	748
Corporate Bonds — Financials		1,509		—		135		—		—		—		—		—		1,644
Total	$	2,257	$	—	$	135	$	—	$	—	$	—	$	—	$	—	$	2,392

290 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

Mortgage-Backed Securites Fund	Balance as of 2/28/11		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net amortization (accretion)		Purchases1		Sales2			Transfers into Level 3		Transfers out of Level 3			Balance as of 2/29/12
Investments in Securities
Asset-Backed Securities	$	3,327	$	—		$	(4	)	$	6	$	14,839	$	(5,455	)	$	—	$	—		$	12,713
Collateralized Mortgage Obligations
Agency CMO		2,756		—			—			—		—		—			—		(2,756	)		—
Non-Agency CMO		3,357		(1,339	)		1,083			4		28,398		(7,471	)		—		—			24,032
Total	$	9,440	$	(1,339	)	$	1,079		$	10	$	43,237	$	(12,926	)	$	—	$	(2,756	)	$	36,745

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 a corporate action.

(a) Amount rounds to less than $1,000.

(b) Security has zero value.

Transfers into, or out of, Level 3 are valued utilizing values as of the beginning of the period.

Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.

The change in unrealized appreciation (depreciation) attributable to securities owned at February 29, 2012, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):

Core Bond Fund	$	359
Core Plus Bond Fund		(800	)
High Yield Fund		(15,321	)
Limited Duration Bond Fund		135
Mortgage-Backed Securities Fund		30

These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

The following is the value and percentage of net assets of illiquid securities as of February 29, 2012 (amounts in thousands):

	Value		Percentage
Core Bond Fund	$	239,217		1.0	%
Core Plus Bond Fund		13,965		0.6
High Yield Fund		71,957		0.6
Limited Duration Bond Fund		2,392		0.6
Mortgage-Backed Securities Fund		36,745		1.2

C. Loan Participations and Assignments — Core Plus Bond Fund and High Yield Fund invest in loan participations and assignments of all or a portion of the loans. When the Funds purchase a loan participation, the Funds typically enter into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. In contrast, the Funds have direct rights against the borrower on a loan when they purchase an assignment; provided, however, that the Funds’ rights may be more limited than the lender from which it acquired the assignment and the Funds may be able to enforce their rights only through an administrative agent. As a result, the Funds assume the credit risk of the Borrower and the Selling Participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). Although certain loan participations or assignments are secured by collateral, the Funds could experience delays or limitations in realizing on such collateral or have their interest subordinated to other indebtedness of the obligor. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

D. Unfunded Commitments — Core Plus Bond Fund and High Yield Fund may enter into commitments to buy and sell investments including commitments to buy loan participations and assignments to settle on future dates as part of their normal investment activities. Unfunded

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 291

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

commitments are generally traded and priced as part of a related loan participation or assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. The Funds segregate security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risks exist on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.

At February 29, 2012, the Funds did not have any outstanding unfunded loan commitments.

E. Derivatives — Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund use instruments including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund also use derivatives to manage duration, sector and yield curve exposures and credit and spread volatility.

The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Funds.

Notes E(1) — E(3) below describe the various derivatives used by the Funds.

(1). Futures — Core Plus Bond Fund uses treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. Core Plus Bond Fund also uses futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

(2). Swaps — Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund engage in various swap transactions, including interest rate and credit default swaps, to provide inflation protection and to manage credit risks within their respective portfolios. The Funds also use swaps as alternatives to direct investments. Swap transactions are negotiated contracts between a Fund and a counterparty to exchange swap investment cash flows or assets at specified, future intervals.

Upfront payments made and/or received by the Funds are recognized as a realized gain or loss when the contract matures or is terminated. The value of a swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is recognized as unrealized appreciation or depreciation in the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

These Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding swap contracts with the counterparty in the form of cash or securities. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. Cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.G.) and is reported on the Statements of Assets and Liabilities as Investments in affiliates — restricted. Collateral received by the Funds is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A.

292 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

(“JPMCB”), an affiliate of the Funds, which provides collateral management services to the Funds (See Note 3.F.). These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.

The Funds’ swap contracts at net value and collateral posted or received by counterparty as of February 29, 2012 is as follows (amounts in thousands):

Fund		Counterparty	Value of swap contracts			Collateral amount
High Yield Fund	Collateral Posted
		Barclays Bank, plc	$	(184	)	$	400
		Citibank, N.A.		(184	)		520
Inflation Managed Bond Fund	Collateral Posted
		Deutsche Bank AG, New York		(560	)		140
	Collateral Received
		Barclays Bank, plc		504			(78	)
		BNP Paribas		1,836			(1,669	)
		Citibank, N.A.		2,062			(1,880	)
		Morgan Stanley Capital Services		5			(440	)
		Royal Bank of Scotland		813			(720	)

Credit Default Swaps

Core Plus Bond Fund and High Yield Fund enter into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected in the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

Interest Rate Swaps

Inflation Managed Bond Fund uses inflation-linked swaps to provide inflation protection within its portfolio.

The use of swaps exposes the Fund to interest rate risk. The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and, (iv) documentation risk relating to disagreement over contract terms.

(3). Forward Foreign Currency Exchange Contracts

Core Plus Bond Fund may be exposed to foreign currency risks associated with portfolio investments and therefore uses forward foreign currency exchange contracts to hedge or manage these exposures. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 293

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

(4). Summary of Derivatives Information

The following tables present the value of derivatives held as of February 29, 2012, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

Core Plus Bond Fund

Derivative Contract	Statements of Assets and Liabilities Location
Assets:		Futures Contracts (a)			Forward Foreign Currency Exchange Contracts			Swaps
Interest rate contracts	Receivables, Net Assets — Unrealized Appreciation	$	2		$	—		$	—
Foreign exchange contracts	Receivables		—			39			—
Total		$	2		$	39		$	—
Liabilities:
Interest rate contracts	Payables, Net Assets — Unrealized Depreciation	$	(3	)	$	—		$	—
Foreign Exchange contracts	Payables		—			(21	)		—
Credit contracts	Payables		—			—			(8	)
Total		$	(3	)	$	(21	)	$	(8	)

High Yield Fund

Derivative Contract	Statements of Assets and Liabilities Location
Liabilities:		Swaps
Credit contracts	Payables	$	(368	)
Total		$	(368	)

Inflation Managed Bond Fund

Derivative Contract	Statements of Assets and Liabilities Location
Assets:		Swaps
Interest rate contracts	Receivables	$	7,457
Total		$	7,457
Liabilities:		Swaps
Interest rate contracts	Payables	$	(2,446	)
Total		$	(2,446	)

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported in the SOIs. The Statements of Assets and Liabilities only reflects the current day variation margin receivable/payable to brokers.

The following tables present the effect of derivatives on the Statements of Operations for the year ended February 29, 2012, by primary underlying risk exposure (amounts in thousands):

Core Plus Bond Fund

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivative Contract	Futures Contracts			Forward Foreign Currency Exchange Contracts			Swaps		Total
Interest rate contracts	$	114		$	—		$	—	$	114
Foreign exchange contracts		—			79			—		79
Credit contracts		—			—			233		233
Total	$	114		$	79		$	233	$	426
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivative Contract	Futures Contracts			Forward Foreign Currency Exchange Contracts			Swaps		Total
Interest rate contracts	$	(2	)	$	—		$	—	$	(2	)
Foreign exchange contracts		—			(1	)		—		(1	)
Credit contracts		—			—			43		43
Total	$	(2	)	$	(1	)	$	43	$	40

294 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

High Yield Fund

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivative Contract	Swaps
Credit contracts	$	17
Total	$	17

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivative Contract	Swaps
Credit contracts	$	3,898
Total	$	3,898

Inflation Managed Bond Fund

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivative Contract	Swaps
Interest rate contracts	$	59
Total	$	59

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivative Contract	Swaps
Interest rate contracts	$	383
Total	$	383

The Funds’ derivatives contracts held at February 29, 2012 are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

Derivatives Volume

The table below discloses the volume of the Funds’ futures contracts, foreign currency exchange contracts and swaps activities during the year ended February 29, 2012 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.

	Core Plus Bond Fund			High Yield Fund			Inflation Managed Bond Fund
Futures Contracts:
Average Notional Balance Long	$	3,159		$	—		$	—
Average Notional Balance Short		1,035			—			—
Ending Notional Balance Long		3,143			—			—
Ending Notional Balance Short		1,965			—			—
Forward Foreign Currency Exchange Contracts:
Average Settlement Value Purchased		795			—			—
Average Settlement Value Sold		1,136			—			—
Ending Settlement Value Purchased		626			—			—
Ending Settlement Value Sold		837			—			—
Credit Default Swaps:
Average Notional Balance — Buy Protection		29,688	(a)		—			—
Average Notional Balance — Sell Protection		1,000			37,143	(b)		—
Ending Notional Balance — Buy Protection		—			—			—
Ending Notional Balance — Sell Protection		1,000			50,000			—
Interest Rate-Related Swaps (Inflation-Linked Swaps)
Average Notional Balance — Pays Fixed Rate		—			—			674,000
Ending Notional Balance — Pays Fixed Rate		—			—			748,000

(a) Average for the period May 1, 2011 through December 31, 2011.

(b) Average for the period September 1, 2011 through February 29, 2012.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 295

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the year, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions on the Statements of Operations.

Reported realized foreign currency gains or losses arise from the disposition of foreign currency, purchase of foreign currency in certain countries (such as Brazil) that impose a tax on such purchases, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end.

G. Securities Lending — Each Fund (except Short Term Bond Fund II) may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. JPMCB serves as lending agent for the Funds pursuant to an Amended and Restated Securities Lending Agreement effective February 9, 2010 (“JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.

Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

For the year ended February 29, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):

High Yield Fund	$	1
Short Duration Bond Fund		1

At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% and 105% of the value of loaned U.S. dollar-denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.

The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. The Funds did not have any securities out on loan at February 29, 2012.

The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, JPMCB has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

The Advisor waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):

High Yield Fund	$	1
Short Duration Bond Fund		1

These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.

Under the JPMCB Securities Lending Agreement, JPMCB is entitled to a fee, paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar denominated securities outstanding during a given month.

296 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

The Funds incurred lending agent fees to JPMCB as follows for the year ended February 29, 2012 (amounts in thousands):

High Yield Fund	$	—	(a)
Short Duration Bond Fund		—	(a)

(a) Amount rounds to less than $1,000.

H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

Purchases of to be announced (“TBA”), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds’ policy to reserve assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments.

I. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.

J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

L. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

	Paid-in-Capital			Accumulated Undistributed/ (Overdistributed) Net Investment Income			Accumulated Net Realized Gain (Loss) on Investments
Core Bond Fund	$	(1	)	$	(14	)	$	15
Core Plus Bond Fund		—	(a)		400			(400	)
Government Bond Fund		1			(3	)		2
High Yield Fund		—			2,403			(2,403	)
Inflation Managed Bond Fund		—	(a)		—	(a)		—
Limited Duration Bond Fund		(10,749	)		—	(a)		10,749
Short Duration Bond Fund		(1	)		1			—	(a)
Short Term Bond Fund II		(835	)		408			427
Treasury & Agency Fund		(1	)		1			—	(a)

(a) Amount rounds to less than $1,000.

The reclassifications for the Funds relate primarily to interest only high-coupon bond reclass (Core Bond Fund), defaulted bond interest reclass (Core Plus Bond Fund and High Yield Fund), foreign currency gains or losses (Core Plus Bond Fund), dirty priced bonds sales adjustment (Core Plus

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 297

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Bond Fund), distribution reclassifications (Government Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund), expiration of capital loss carryforwards (Limited Duration Bond Fund and Short Term Bond Fund II), taxable overdistribution (Short Term Bond Fund II), prior year undistributed income true-up (Inflation Managed Bond Fund and Treasury & Agency Fund) and prior year undistributed income and gain (loss) true-up (Government Bond Fund and Short Duration Bond Fund).

M. Equalization — Short Term Bond Fund II uses the accounting practice known as equalization by which a portion of the proceeds from sales and costs of redemptions of Fund shares of beneficial interest equivalent, on a per-share basis, to the amount of undistributed net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or redemptions of Fund shares.

N. Redemption Fees — Prior to May 2, 2011, shares of the High Yield Fund held for less than 60 days were generally subject to a redemption fee of 2.00%, based on the redeemed share’s market value. Redemption fees were paid directly to the High Yield Fund and were credited to paid in capital. Effective May 2, 2011, shares of the High Yield Fund are no longer subject to a redemption fee regardless of how long such shares have been held.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:

Core Bond Fund	0.30	%
Core Plus Bond Fund	0.30
Government Bond Fund	0.30
High Yield Fund	0.65
Inflation Managed Bond Fund	0.35
Limited Duration Bond Fund	0.25
Mortgage-Backed Securities Fund	0.35
Short Duration Bond Fund	0.25
Short Term Bond Fund II	0.25
Treasury & Agency Fund	0.30

The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.G.

B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended February 29, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets.

The Administrator waived Administration fees as outlined in Note 3.G.

JPMCB, a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares. The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C, Class M and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

Class A	Class B			Class C			Class M			Class R2
0.25%		0.75	%		0.75	%		0.35	%		0.50	%

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A and Class M Shares and the CDSC from redemptions of Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the year ended February 29, 2012, the Distributor retained the following amounts (in thousands):

	Front-end Sales Charge		CDSC
Core Bond Fund	$	1,698	$	114
Core Plus Bond Fund		400		32
Government Bond Fund		175		6
High Yield Fund		231		27

298 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Front-end Sales Charge			CDSC
Inflation Managed Bond Fund	$	3		$	—	(a)
Limited Duration Bond Fund		3			—	(a)
Mortgage-Backed Securities Fund		85			—
Short Duration Bond Fund		13			36
Short Term Bond Fund II		—	(a)		—
Treasury & Agency Fund		4			—	(a)

(a) Amount rounds to less than $1,000.

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	Class A			Class B			Class C			Class M			Class R2			Class R5			Institutional Class			Select Class
Core Bond Fund		0.25	%		0.25	%		0.25	%		n/a			0.25	%		0.05	%		n/a			0.25	%
Core Plus Bond Fund		0.25			0.25			0.25			n/a			0.25			n/a			0.10	%		0.25
Government Bond Fund		0.25			0.25			0.25			n/a			0.25			n/a			n/a			0.25
High Yield Fund		0.25			0.25			0.25			n/a			0.25			0.05			n/a			0.25
Inflation Managed Bond Fund		0.25			n/a			0.25			n/a			0.25			0.05			n/a			0.25
Limited Duration Bond Fund		0.25			0.25			0.25			n/a			n/a			n/a			n/a			0.25
Mortgage-Backed Securities Fund		0.25			n/a			n/a			n/a			n/a			n/a			n/a			0.25
Short Duration Bond Fund		0.25			0.25			0.25			n/a			n/a			n/a			n/a			0.25
Short Term Bond Fund II		0.25			n/a			n/a			0.25	%		n/a			n/a			n/a			0.25
Treasury & Agency Fund		0.25			0.25			n/a			n/a			n/a			n/a			n/a			0.25

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived Shareholder Servicing fees as outlined in Note 3.G.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund. The amounts paid directly to JPMCB by the Funds for these services are included in Collateral Management fees on the Statements of Operations.

G. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class B			Class C			Class M			Class R2			Class R5			Class R6			Institutional Class			Select Class
Core Bond Fund		0.75	%		1.40	%		1.40	%		n/a			1.00	%		0.45	%		0.40	%		n/a			0.58	%
Core Plus Bond Fund		0.75			1.40			1.40			n/a			1.15			n/a			0.40			0.49	%		0.65
Government Bond Fund		0.75			1.48			1.48			n/a			1.00			n/a			n/a			n/a			0.48
High Yield Fund		1.15			1.80			1.80			n/a			1.40			0.86			0.81			n/a			0.90
Inflation Managed Bond Fund		0.75			n/a			1.40			n/a			1.00			0.55			0.50			n/a			0.60
Limited Duration Bond Fund		0.70			1.20			1.20			n/a			n/a			n/a			0.25			n/a			0.45
Mortgage-Backed Securities Fund		0.65			n/a			n/a			n/a			n/a			n/a			0.25			n/a			0.40
Short Duration Bond Fund		0.80			1.30			1.30			n/a			n/a			n/a			0.30			n/a			0.55
Short Term Bond Fund II		0.75			n/a			n/a			1.00	%		n/a			n/a			n/a			n/a			0.50
Treasury & Agency Fund		0.70			1.20			n/a			n/a			n/a			n/a			n/a			n/a			0.45

Prior to July 1, 2011 the contractual expense limitation for Core Plus Bond Fund was 1.17% for Class R2 Shares.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 299

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Prior to July 1, 2011 the contractual expense limitation for Government Bond Fund was 0.55% for Select Class Shares.

Prior to July 1, 2011 the contractual expense limitation for Limited Duration Bond Fund was 0.44% for Class R6 Shares.

Except as noted above, the expense limitation agreements were in effect for the year ended February 29, 2012. The contractual expense limitation percentages in the table above are in place until at least June 30, 2012. In addition, the Government Bond Fund’s and the Limited Duration Bond Fund’s service providers have voluntarily waived fees during the year ended February 29, 2012. However, the Government Bond Fund’s and Limited Duration Bond Fund’s service providers are under no obligation to do so and may discontinue such waivers at any time.

For the year ended February 29, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and/or reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursements
Core Bond Fund	$	16,569	$	—	$	15,589	$	32,158	$	—
Core Plus Bond Fund		560		789		540		1,889		—
Government Bond Fund		—		637		2,846		3,483		—
High Yield Fund		198		2,605		13,988		16,791		—
Inflation Managed Bond Fund		93		134		1,248		1,475		27
Limited Duration Bond Fund		415		351		206		972		—
Mortgage-Backed Securities Fund		5,381		609		1,080		7,070		—
Short Duration Bond Fund		4,720		1,635		—		6,355		—
Short Term Bond Fund II		119		5		85		209		—
Treasury & Agency Fund		—		32		1,035		1,067		—

	Voluntary Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total
Government Bond Fund	$	—	$	—	$	161	$	161
Limited Duration Bond Fund		1		1		—		2

Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.

The amounts of these waivers resulting from investments in the money market funds for the year ended February 29, 2012 were as follows (excluding the waiver disclosed in Note 2.G. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):

Core Bond Fund	$	1,134
Core Plus Bond Fund		141
Government Bond Fund		135
High Yield Fund		667
Inflation Managed Bond Fund		92
Limited Duration Bond Fund		99
Mortgage-Backed Securities Fund		185
Short Duration Bond Fund		305
Short Term Bond Fund II		1
Treasury & Agency Fund		8

H. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 29, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.

300 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

The Funds may use related party broker-dealers. For the year ended February 29, 2012, the Core Plus Bond Fund and High Yield Fund incurred approximately $2,000 and $9,000, respectively, in brokerage commissions with broker-dealers affiliated with the Advisor.

The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.

4. Investment Transactions

During the year ended February 29, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Fund	$	6,563,971	$	2,850,637	$	1,258,228	$	1,204,395
Core Plus Bond Fund		563,540		418,950		26,753		44,500
Government Bond Fund		136,890		126,496		104,419		70,016
High Yield Fund		5,961,090		4,020,884		—		—
Inflation Managed Bond Fund		918,195		296,697		89,662		—
Limited Duration Bond Fund		111,801		74,017		—		—
Mortgage-Backed Securities Fund		1,199,727		479,214		6,522		53,384
Short Duration Bond Fund		2,991,501		2,358,204		1,886,038		1,652,942
Short Term Bond Fund II		9,379		18,337		10,305		19,325
Treasury & Agency Fund		—		20,546		145,257		189,636

5. Federal Income Tax Matters

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at February 29, 2012, were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Fund	$	23,264,694	$	1,550,119	$	98,762	$	1,451,357
Core Plus Bond Fund		2,150,804		159,192		39,498		119,694
Government Bond Fund		1,433,192		179,311		3,100		176,211
High Yield Fund		11,222,963		678,747		347,851		330,896
Inflation Managed Bond Fund		1,150,529		23,794		3,417		20,377
Limited Duration Bond Fund		442,125		6,176		49,045		(42,869	)
Mortgage-Backed Securities Fund		2,972,941		168,343		23,583		144,760
Short Duration Bond Fund		10,928,956		170,826		23,526		147,300
Short Term Bond Fund II		63,956		1,077		122		955
Treasury & Agency Fund		393,969		9,151		4		9,147

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to outstanding treasury inflation-protected securities deflationary adjustment (Core Bond Fund, Inflation Managed Bond Fund and Short Duration Bond Fund), interest only high-coupon bond write-off remaining (Core Bond Fund), wash sale loss deferrals (Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund and Mortgage-Backed Securities Fund), non-taxable special dividends (High Yield Fund) and interest only bond adjustment remaining (Limited Duration Bond Fund).

The tax character of distributions paid during the fiscal year ended February 29, 2012 was as follows (amounts in thousands):

	Ordinary Income		Net Long Term Capital Gains		Return of Capital		Total Distributions Paid
Core Bond Fund	$	750,993	$	42,302	$	—	$	793,295
Core Plus Bond Fund		97,248		370		—		97,618
Government Bond Fund		48,858		1,744		—		50,602
High Yield Fund		811,940		130,566		—		942,506
Inflation Managed Bond Fund		24,298		280		—		24,578
Limited Duration Bond Fund		7,874		—		—		7,874
Mortgage-Backed Securities Fund		120,648		—		—		120,648
Short Duration Bond Fund		176,481		12,761		—		189,242
Short Term Bond Fund II		1,252		—		385		1,637
Treasury & Agency Fund		5,464		4,087		—		9,551

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 301

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):

	Ordinary Income		Net Long Term Capital Gains		Total Distributions Paid
Core Bond Fund	$	639,271	$	—	$	639,271
Core Plus Bond Fund		82,354		—		82,354
Government Bond Fund		54,016		—		54,016
High Yield Fund		622,337		14,314		636,651
Inflation Managed Bond Fund		3,099		—		3,099
Limited Duration Bond Fund		8,642		—		8,642
Mortgage-Backed Securities Fund		109,055		—		109,055
Short Duration Bond Fund		170,685		4,988		175,673
Short Term Bond Fund II		1,446		—		1,446
Treasury & Agency Fund		7,999		7,609		15,608

At February 29, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover)			Unrealized Appreciation (Depreciation)
Core Bond Fund	$	8,398	$	28,801		$	1,451,357
Core Plus Bond Fund		4,254		1,667			119,652
Government Bond Fund		1,994		—			176,211
High Yield Fund		30,099		11,351			334,794
Inflation Managed Bond Fund		5,508		1,110			25,388
Limited Duration Bond Fund		172		(75,461	)		(42,869	)
Mortgage-Backed Securities Fund		1,991		(6,388	)		144,760
Short Duration Bond Fund		9,524		2,239			147,300
Short Term Bond Fund II		—		(59,631	)		955
Treasury & Agency Fund		200		140			9,147

For the Funds, the cumulative timing differences primarily consist of distributions payable, interest only high-coupon bond write-off remaining (Core Bond Fund), wash sale loss deferrals (Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Inflation Managed Bond Fund and Mortgage-Backed Securities Fund), post-October loss deferrals (Core Plus Bond Fund, High Yield Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund and Treasury & Agency Fund), outstanding treasury inflation-protected securities deflationary adjustment (Inflation Managed Bond Fund), interest only bond adjustment remaining (Limited Duration Bond Fund) and trustee deferred compensation (Short Term Bond Fund II).

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of February 29, 2012, the Funds did not have post-enactment net capital loss carryforwards.

As of February 29, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

	2013		2014		2015		2016		2017		2018		2019		Total
Core Plus Bond Fund	$	—	$	—	$	10,748		26,467	$	231,594	$	—	$	—	$	268,809	*
Limited Duration Bond Fund		5,666		2,597		2,757		4,374		42,572		10,532		6,963		75,461
Mortgage-Backed Securities Fund		4,538		1,459		—		391		—		—		—		6,388
Short Term Bond Fund II		657		14,799		10,312		2,292		6,859		24,712		—		59,631

* The entire amount is comprised of capital loss carryforwards from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384.

302 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

During the year ended February 29, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):

Core Bond Fund	$	24,757
Core Plus Bond Fund		3,905
Government Bond Fund		376
Limited Duration Bond Fund		31
Mortgage-Backed Securities Fund		3,438
Short Term Bond Fund II		407

During the year ended February 29, 2012, the Funds had expired capital loss carryforwards as follows (amounts in thousands):

Limited Duration Bond Fund	$	10,749
Short Term Bond Fund II		427

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 29, 2012, the Funds deferred to March 1, 2012 post-October capital losses of (amounts in thousands):

	Post-October Capital Loss Character
	Short-term		Long-term
Core Plus Bond Fund	$	305	$	—
High Yield Fund		11,035		—
Limited Duration Bond Fund		13		7
Mortgage-Backed Securities Fund		12		—
Short Duration Bond Fund		49		—
Treasury & Agency Fund		1		—

6. Borrowings

The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 29, 2012, or at any time during the year then ended.

Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for High Yield Fund, Inflation Managed Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund.

In addition J.P. Morgan Investor Funds, which are affiliated funds of funds, own in the aggregate more than 10% of the net assets of the Funds as follows:

	J.P. Morgan Investor Funds
Core Plus Bond Fund		42.64	%
Government Bond Fund		19.33
Inflation Managed Bond Fund		13.65
Limited Duration Bond Fund		53.16

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 303

NOTES TO FINANCIAL STATEMENTS

AS OF FEBRUARY 29, 2012 (continued)

Additionally, Short Term Bond Fund II has a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Fund’s outstanding shares.

Significant shareholder transactions, if any, may impact the Funds’ performance.

The High Yield Fund and to a lesser extent, the Core Plus Bond Fund invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. The High Yield Fund invests at least 80% of its net assets plus the amount of borrowings for investment purposes in such investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, credit linked notes and TBA securities.

The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage related securities such as collateralized mortgage obligations, mortgage pass through securities and commercial mortgage backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.

A significant portion of the Funds’ (except High Yield Fund and Treasury & Agency Fund) investments are comprised of asset-backed or mortgage related securities, including securities backed by sub-prime mortgages.

The Funds are subject to the risk that should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.

The Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against the counterparties (i.e. decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds. The ISDA agreements with certain counterparties allow the Funds and counterparty to offset certain derivative instruments’ payables or receivables with collateral posted to a segregated custody account as described in Note 2.C.

8. Transfers-In-Kind

During the year ended February 28, 2011, certain shareholders of Short Duration Bond Fund purchased Class R6 Shares and the Short Duration Bond Fund received portfolio securities primarily by means of a subscription-in-kind for Class R6 Shares of the Short Duration Bond Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):

	Date		Value		Type
Short Duration Bond Fund		07/28/10	$	11,698		Subscription in-kind

9. Other

Lehman Brothers Holdings, Inc. (“Lehman”) filed for bankruptcy on September 15, 2008. As of February 29, 2012, the Core Plus Bond Fund and Short Term Bond Fund II have an outstanding receivable from a subsidiary of Lehman, Lehman Brothers Special Financing, Inc. (“LBSF”) of approximately $253,000 and $9,000, respectively, included in Other assets in the Statements of Assets and Liabilities.

As of February 29, 2012, Core Plus Bond Fund had an outstanding payable to a subsidiary of Lehman, Lehman Brothers, Inc., of approximately $2,916,000, included in Other payable in the Statements of Assets and Liabilities.

On February 16, 2012, the Board of Trustees of the JPM II approved the amendment of the investment objective of the Limited Duration Bond Fund by deleting the requirement that the Fund meet its objective “by investing in a diversified portfolio of short-term Investment-grade securities”. The amendment to the investment objective is subject to approval by the shareholders of the Limited Duration Bond Fund, which will be sought at a shareholder meeting to be held on May 2, 2012. If approved by shareholders, the amendment to the investment objective will go into effect on the date the amendment is approved.

304 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Mutual Fund Group, JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan Core Bond Fund, JPMorgan Core Plus Bond Fund, JPMorgan Government Bond Fund, JPMorgan High Yield Fund, JPMorgan Inflation Managed Bond, JPMorgan Limited Duration Bond Fund, JPMorgan Mortgage-Backed Securities Fund, JPMorgan Short Duration Bond Fund, JPMorgan Short Term Bond Fund II and JPMorgan Treasury & Agency Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Core Bond Fund, JPMorgan Core Plus Bond Fund, JPMorgan Government Bond Fund, JPMorgan High Yield Fund, JPMorgan Inflation Managed Bond Fund, JPMorgan Limited Duration Bond Fund, JPMorgan Mortgage-Backed Securities Fund, JPMorgan Short Duration Bond Fund, JPMorgan Short Term Bond Fund II and JPMorgan Treasury & Agency Fund (hereafter referred to as the “Funds”) at February 29, 2012, the results of their operations for the year then ended, the changes in their net assets and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 29, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

April 27, 2012

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 305

TRUSTEES

(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987.	Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000).	154	None.
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	154	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present).
Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999).	154	Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	154	None.
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	154	Director, Center for Communication, Hearing, and Deafness (1990-present).
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	154	Trustee, Carleton College (2003-present).
William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	154	Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	154	Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010).
Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987.	Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002).	154	Trustee, Morgan Stanley Funds (107 portfolios) (1992-present).

306 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	154	Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	154	None.
Interested Trustees
Frankie D. Hughes** (1952), Trustee of Trusts since 2008.	President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present).	154	Trustee, The Victory Portfolios (2000-2008).
Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998.	Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998).	154	Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present).

(1) Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012.

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (154 funds).

   * Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds.

  ** Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc.

*** Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 307

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trusts (Since)	Principal Occupations During Past 5 Years
Patricia A. Maleski (1960), President and Principal Executive Officer (2010)	Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001.
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010)	Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Paul L. Gulinello (1950), AML Compliance Officer (2005)	Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011.
Carmine Lekstutis (1980) Assistant Secretary (2011)	Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980) Assistant Secretary (2010)	Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.
Brian L. Duncan (1965), Assistant Treasurer (2008)*	Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007.
Jeffrey D. House (1972), Assistant Treasurer (2006)*	Vice President, JPMorgan Funds Management, Inc. since July 2006.
Laura S. Melman (1966), Assistant Treasurer (2006)	Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August 2006 to February 2011, responsible for Taxation.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management.
Jeffery Reedy (1973), Assistant Treasurer (2011)*	Vice President, JPMorgan Funds Management, Inc. since February 2006.

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

* The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

308 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2011, and continued to hold your shares at the end of the reporting period, February 29, 2012.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Core Bond Fund
Class A
Actual	$	1,000.00	$	1,027.70	$	3.78		0.75	%
Hypothetical		1,000.00		1,021.13		3.77		0.75
Class B
Actual		1,000.00		1,024.30		7.05		1.40
Hypothetical		1,000.00		1,017.90		7.02		1.40
Class C
Actual		1,000.00		1,023.50		7.04		1.40
Hypothetical		1,000.00		1,017.90		7.02		1.40
Class R2
Actual		1,000.00		1,025.70		5.04		1.00
Hypothetical		1,000.00		1,019.89		5.02		1.00
Class R5
Actual		1,000.00		1,029.30		2.27		0.45
Hypothetical		1,000.00		1,022.63		2.26		0.45
Class R6
Actual		1,000.00		1,028.50		2.02		0.40
Hypothetical		1,000.00		1,022.87		2.01		0.40
Select Class
Actual		1,000.00		1,028.70		2.93		0.58
Hypothetical		1,000.00		1,021.98		2.92		0.58
Core Plus Bond Fund
Class A
Actual		1,000.00		1,041.50		3.81		0.75
Hypothetical		1,000.00		1,021.13		3.77		0.75

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 309

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Core Plus Bond Fund (continued)
Class B
Actual	$	1,000.00	$	1,039.20	$	7.10		1.40	%
Hypothetical		1,000.00		1,017.90		7.02		1.40
Class C
Actual		1,000.00		1,039.50		7.10		1.40
Hypothetical		1,000.00		1,017.90		7.02		1.40
Class R2
Actual		1,000.00		1,039.50		5.83		1.15
Hypothetical		1,000.00		1,019.14		5.77		1.15
Institutional Class
Actual		1,000.00		1,044.10		2.49		0.49
Hypothetical		1,000.00		1,022.43		2.46		0.49
Class R6
Actual		1,000.00		1,043.40		2.03		0.40
Hypothetical		1,000.00		1,022.87		2.01		0.40
Select Class
Actual		1,000.00		1,042.00		3.30		0.65
Hypothetical		1,000.00		1,021.63		3.27		0.65
Government Bond Fund
Class A
Actual		1,000.00		1,023.70		3.72		0.74
Hypothetical		1,000.00		1,021.18		3.72		0.74
Class B
Actual		1,000.00		1,019.10		7.38		1.47
Hypothetical		1,000.00		1,017.55		7.37		1.47
Class C
Actual		1,000.00		1,019.40		7.38		1.47
Hypothetical		1,000.00		1,017.55		7.37		1.47
Class R2
Actual		1,000.00		1,021.60		4.98		0.99
Hypothetical		1,000.00		1,019.94		4.97		0.99
Select Class
Actual		1,000.00		1,024.10		2.37		0.47
Hypothetical		1,000.00		1,022.53		2.36		0.47
High Yield Fund
Class A
Actual		1,000.00		1,075.40		5.93		1.15
Hypothetical		1,000.00		1,019.14		5.77		1.15
Class B
Actual		1,000.00		1,073.10		9.28		1.80
Hypothetical		1,000.00		1,015.91		9.02		1.80
Class C
Actual		1,000.00		1,073.30		9.28		1.80
Hypothetical		1,000.00		1,015.91		9.02		1.80
Class R2
Actual		1,000.00		1,074.20		7.22		1.40
Hypothetical		1,000.00		1,017.90		7.02		1.40
Class R5
Actual		1,000.00		1,078.00		4.44		0.86
Hypothetical		1,000.00		1,020.59		4.32		0.86
Class R6
Actual		1,000.00		1,076.80		4.18		0.81
Hypothetical		1,000.00		1,020.84		4.07		0.81

310 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
High Yield Fund (continued)
Select Class
Actual	$	1,000.00	$	1,078.00	$	4.65		0.90	%
Hypothetical		1,000.00		1,020.39		4.52		0.90
Inflation Managed Bond Fund
Class A
Actual		1,000.00		1,030.10		3.74		0.74
Hypothetical		1,000.00		1,021.18		3.72		0.74
Class C
Actual		1,000.00		1,026.70		7.00		1.39
Hypothetical		1,000.00		1,017.95		6.97		1.39
Class R2
Actual		1,000.00		1,027.80		4.99		0.99
Hypothetical		1,000.00		1,019.94		4.97		0.99
Class R5
Actual		1,000.00		1,029.90		2.73		0.54
Hypothetical		1,000.00		1,022.18		2.72		0.54
Class R6
Actual		1,000.00		1,030.40		2.47		0.49
Hypothetical		1,000.00		1,022.43		2.46		0.49
Select Class
Actual		1,000.00		1,030.80		2.98		0.59
Hypothetical		1,000.00		1,021.93		2.97		0.59
Limited Duration Bond Fund
Class A
Actual		1,000.00		1,013.70		3.40		0.68
Hypothetical		1,000.00		1,021.48		3.42		0.68
Class B
Actual		1,000.00		1,011.30		5.90		1.18
Hypothetical		1,000.00		1,019.00		5.92		1.18
Class C
Actual		1,000.00		1,011.40		5.90		1.18
Hypothetical		1,000.00		1,019.00		5.92		1.18
Class R6
Actual		1,000.00		1,015.90		1.15		0.23
Hypothetical		1,000.00		1,023.72		1.16		0.23
Select Class
Actual		1,000.00		1,015.20		2.15		0.43
Hypothetical		1,000.00		1,022.73		2.16		0.43
Mortgage-Backed Securities Fund
Class A
Actual		1,000.00		1,027.10		3.23		0.64
Hypothetical		1,000.00		1,021.68		3.22		0.64
Class R6
Actual		1,000.00		1,028.90		1.21		0.24
Hypothetical		1,000.00		1,023.67		1.21		0.24
Select Class
Actual		1,000.00		1,029.00		1.97		0.39
Hypothetical		1,000.00		1,022.92		1.96		0.39
Short Duration Bond Fund
Class A
Actual		1,000.00		1,004.90		3.99		0.80
Hypothetical		1,000.00		1,020.89		4.02		0.80

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 311

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value, September 1, 2011		Ending Account Value February 29, 2012		Expenses Paid During September 1, 2011 to February 29, 2012*		Annualized Expense Ratio
Short Duration Bond Fund (continued)
Class B
Actual	$	1,000.00	$	1,002.10	$	6.47		1.30	%
Hypothetical		1,000.00		1,018.40		6.52		1.30
Class C
Actual		1,000.00		1,002.40		6.47		1.30
Hypothetical		1,000.00		1,018.40		6.52		1.30
Class R6
Actual		1,000.00		1,008.30		1.50		0.30
Hypothetical		1,000.00		1,023.37		1.51		0.30
Select Class
Actual		1,000.00		1,007.00		2.74		0.55
Hypothetical		1,000.00		1,022.13		2.77		0.55
Short Term Bond Fund II
Class A
Actual		1,000.00		1,005.10		3.74		0.75
Hypothetical		1,000.00		1,021.13		3.77		0.75
Class M
Actual		1,000.00		1,002.70		4.98		1.00
Hypothetical		1,000.00		1,019.89		5.02		1.00
Select Class
Actual		1,000.00		1,006.30		2.49		0.50
Hypothetical		1,000.00		1,022.38		2.51		0.50
Treasury & Agency Fund
Class A
Actual		1,000.00		998.50		3.48		0.70
Hypothetical		1,000.00		1,021.38		3.52		0.70
Class B
Actual		1,000.00		996.90		5.96		1.20
Hypothetical		1,000.00		1,018.90		6.02		1.20
Select Class
Actual		1,000.00		999.70		2.24		0.45
Hypothetical		1,000.00		1,022.63		2.26		0.45

* Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

312 J.P. MORGAN INCOME FUNDS FEBRUARY 29, 2012

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.

Long Term Capital Gain Designation — 15%

Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 29, 2012 (amounts in thousands):

	Long-Term Capital Gain Distribution
Core Bond Fund	$	42,302
Core Plus Bond Fund		370
Government Bond Fund		1,744
High Yield Fund		130,566
Inflation Managed Bond Fund		280
Short Duration Bond Fund		12,761
Treasury & Agency Fund		4,087

Qualified Interest Income (QII)

For the fiscal year ended February 29, 2012, The Funds designate the following amounts of ordinary distributions paid during the Fund’s fiscal year that are from qualified interest income and short-term capital gain (amounts in thousands):

	Qualified Interest Income
Core Bond Fund	$	725,888
Core Plus Bond Fund		89,496
Government Bond Fund		49,518
High Yield Fund		659,359
Limited Duration Bond Fund		8,208
Short Duration Bond Fund		162,434
Short Term Bond Fund II		1,384
Treasury & Agency Fund		5,766

Treasury Income

The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2012:

	Income from U.S. Treasury Obligations
Core Bond Fund		31.69	%
Core Plus Bond Fund		15.86
Government Bond Fund		44.55
Inflation Managed Bond Fund		3.56
Short Duration Bond Fund		23.69
Short Term Bond Fund II		26.38
Treasury & Agency Fund		95.63

FEBRUARY 29, 2012 J.P. MORGAN INCOME FUNDS 313

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡Social Security number and account balances   ¡transaction history and account transactions   ¡checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡open an account or provide contact information ¡give us your account information or pay us by check ¡make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡affiliates from using your information to market to you ¡sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2012.  All rights reserved. February 2012. AN-INC2-212

ITEM 2. CODE OF ETHICS.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

The audit committee financial expert is John F. Finn. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

AUDIT FEES

2012 – $802,500

2011 – $779,700

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

AUDIT-RELATED FEES

2012 – $255,580

2011 – $250,500

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

TAX FEES

2012 – $170,900

2011 – $164,500

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 29, 2012 and February 28, 2011, respectively.

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

ALL OTHER FEES

2012 – Not applicable

2011 – Not applicable

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the

services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

2012 – 0.0%

2011 – 0.0%

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

None.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:

2011 - $28.9 million

2010 - $32.3 million

These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Included in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

No material changes to report.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Not applicable.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

JPMorgan Trust II
By:	/s/ Patricia A. Maleski
	Patricia A. Maleski
	President and Principal Executive Officer
	May 7, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Patricia A. Maleski
	Patricia A. Maleski
	President and Principal Executive Officer
	May 7, 2012

By:	/s/ Joy C. Dowd
	Joy C. Dowd
	Treasurer and Principal Financial Officer
	May 7, 2012