|
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
|
© J.P. Morgan Chase & Co., 2024.
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — 34.8%
|
||
|
U.S. Treasury Bonds
|
|
|
|
5.25%, 11/15/2028
|
20,000
|
20,577
|
|
1.88%, 2/15/2041
|
14,500
|
9,793
|
|
2.00%, 11/15/2041
|
27,000
|
18,301
|
|
3.88%, 2/15/2043
|
15,000
|
13,409
|
|
3.88%, 5/15/2043
|
10,000
|
8,925
|
|
3.75%, 11/15/2043
|
75,300
|
65,823
|
|
3.00%, 5/15/2045
|
31,000
|
23,824
|
|
2.75%, 11/15/2047
|
35,000
|
25,136
|
|
2.00%, 2/15/2050
|
35,000
|
20,930
|
|
1.25%, 5/15/2050
|
10,000
|
4,869
|
|
U.S. Treasury Inflation Indexed Bonds
1.38%, 2/15/2044
|
36,854
|
31,496
|
|
U.S. Treasury Notes
|
|
|
|
0.38%, 8/15/2024
|
10,000
|
9,901
|
|
2.25%, 11/15/2024
|
35,000
|
34,523
|
|
1.13%, 2/28/2025
|
25,000
|
24,258
|
|
0.50%, 3/31/2025
|
50,000
|
48,119
|
|
0.38%, 4/30/2025
|
20,000
|
19,150
|
|
3.88%, 4/30/2025
|
10,000
|
9,881
|
|
2.00%, 8/15/2025
|
20,000
|
19,281
|
|
1.63%, 2/15/2026
|
20,000
|
18,919
|
|
3.63%, 5/15/2026
|
10,000
|
9,767
|
|
2.25%, 2/15/2027
|
35,000
|
32,841
|
|
0.63%, 3/31/2027
|
30,000
|
26,809
|
|
2.25%, 8/15/2027
|
30,000
|
27,880
|
|
1.25%, 4/30/2028
|
11,120
|
9,807
|
|
3.50%, 4/30/2028
|
5,000
|
4,809
|
|
4.00%, 6/30/2028
|
25,000
|
24,478
|
|
3.13%, 11/15/2028
|
25,000
|
23,584
|
|
3.50%, 4/30/2030
|
5,000
|
4,739
|
|
4.25%, 2/28/2031
|
25,000
|
24,640
|
|
1.88%, 2/15/2032
|
10,000
|
8,306
|
|
3.50%, 2/15/2033
|
20,000
|
18,569
|
|
Total U.S. Treasury Obligations
(Cost $722,279)
|
|
643,344
|
|
Mortgage-Backed Securities — 27.4%
|
||
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # C00354, 8.50%, 7/1/2024
|
—
|
—
|
|
Pool # C00376, 8.00%, 11/1/2024
|
1
|
1
|
|
Pool # C00414, 7.50%, 8/1/2025
|
1
|
1
|
|
Pool # D63303, 7.00%, 9/1/2025
|
—
|
—
|
|
Pool # G00981, 8.50%, 7/1/2028
|
3
|
3
|
|
Pool # C00742, 6.50%, 4/1/2029
|
28
|
28
|
|
Pool # C00785, 6.50%, 6/1/2029
|
10
|
10
|
|
Pool # C47318, 7.00%, 9/1/2029
|
153
|
157
|
|
Pool # C01292, 6.00%, 2/1/2032
|
14
|
14
|
|
Pool # A16155, 5.50%, 11/1/2033
|
45
|
45
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # C03589, 4.50%, 10/1/2040
|
284
|
275
|
|
Pool # Q41177, 3.50%, 6/1/2046
|
11,253
|
10,112
|
|
Pool # G61334, 4.00%, 3/1/2047
|
2,285
|
2,145
|
|
Pool # Q54902, 4.00%, 3/1/2048
|
2,404
|
2,224
|
|
Pool # Q54950, 4.00%, 3/1/2048
|
3,297
|
3,100
|
|
Pool # Q59727, 4.00%, 11/1/2048
|
3,663
|
3,382
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # ZT1593, 3.50%, 1/1/2049
|
923
|
825
|
|
Pool # RA2484, 3.00%, 6/1/2050
|
4,198
|
3,591
|
|
Pool # RA2904, 3.00%, 6/1/2050
|
6,803
|
5,813
|
|
Pool # RA2970, 2.50%, 7/1/2050
|
7,849
|
6,384
|
|
Pool # QB2020, 2.50%, 8/1/2050
|
5,429
|
4,439
|
|
Pool # SD7535, 2.50%, 2/1/2051
|
4,655
|
3,843
|
|
Pool # RA5576, 2.50%, 7/1/2051
|
5,086
|
4,172
|
|
Pool # QC6209, 2.50%, 8/1/2051
|
4,990
|
4,075
|
|
Pool # QC7451, 2.00%, 9/1/2051
|
11,787
|
9,199
|
|
Pool # RA7683, 5.00%, 7/1/2052
|
6,986
|
6,735
|
|
Pool # RA7937, 5.00%, 9/1/2052
|
13,713
|
13,218
|
|
FNMA Pool # 620061 ARM, 5.76%, 11/1/2027 (a)
|
4
|
4
|
|
FNMA UMBS, 15 Year
|
|
|
|
Pool # MA0512, 4.00%, 9/1/2025
|
51
|
51
|
|
Pool # FM4449, 3.00%, 12/1/2034
|
6,134
|
5,831
|
|
Pool # CA7114, 2.50%, 9/1/2035
|
13,523
|
12,221
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 250575, 6.50%, 6/1/2026
|
3
|
3
|
|
Pool # 483802, 5.50%, 2/1/2029
|
53
|
54
|
|
Pool # 524949, 7.50%, 3/1/2030
|
5
|
5
|
|
Pool # 545639, 6.50%, 4/1/2032
|
61
|
63
|
|
Pool # 702435, 5.50%, 5/1/2033
|
410
|
412
|
|
Pool # 709441, 5.50%, 7/1/2033
|
118
|
118
|
|
Pool # 730711, 5.50%, 8/1/2033
|
189
|
190
|
|
Pool # 743127, 5.50%, 10/1/2033
|
171
|
172
|
|
Pool # 747628, 5.00%, 11/1/2033
|
325
|
320
|
|
Pool # 753662, 5.50%, 12/1/2033
|
215
|
214
|
|
Pool # 755615, 5.50%, 1/1/2034
|
257
|
258
|
|
Pool # 811755, 7.00%, 3/1/2035
|
627
|
644
|
|
Pool # 845834, 5.50%, 10/1/2035
|
136
|
136
|
|
Pool # 888201, 5.50%, 2/1/2036
|
63
|
64
|
|
Pool # 831409, 5.50%, 4/1/2036
|
332
|
333
|
|
Pool # 867420, 5.50%, 5/1/2036
|
182
|
183
|
|
Pool # 745802, 6.00%, 7/1/2036
|
329
|
338
|
|
Pool # 969708, 4.50%, 3/1/2038
|
34
|
33
|
|
Pool # AE1216, 3.50%, 1/1/2041
|
736
|
671
|
|
Pool # AE1260, 3.50%, 8/1/2041
|
474
|
424
|
|
Pool # AB5378, 3.50%, 5/1/2042
|
1,897
|
1,727
|
|
Pool # AO6710, 4.00%, 6/1/2042
|
1,907
|
1,790
|
|
Pool # AR5147, 3.00%, 3/1/2043
|
1,824
|
1,593
|
|
Pool # AT8192, 4.00%, 6/1/2043
|
1,261
|
1,175
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AS1112, 4.00%, 11/1/2043
|
3,083
|
2,876
|
|
Pool # BM1109, 4.00%, 10/1/2044
|
2,227
|
2,091
|
|
Pool # AS4073, 4.00%, 12/1/2044
|
1,474
|
1,369
|
|
Pool # AL8660, 4.00%, 6/1/2045
|
3,359
|
3,154
|
|
Pool # AS5648, 3.50%, 7/1/2045
|
1,891
|
1,697
|
|
Pool # AS6208, 3.50%, 10/1/2045
|
709
|
646
|
|
Pool # AS6344, 3.50%, 12/1/2045
|
2,060
|
1,849
|
|
Pool # BM5560, 4.00%, 1/1/2046
|
6,237
|
5,856
|
|
Pool # AL8030, 4.00%, 2/1/2046
|
2,082
|
1,952
|
|
Pool # AX5520, 3.00%, 5/1/2046
|
629
|
543
|
|
Pool # AX5546, 3.00%, 9/1/2046
|
1,195
|
1,035
|
|
Pool # AX5547, 3.50%, 9/1/2046
|
1,540
|
1,381
|
|
Pool # BM3744, 4.00%, 3/1/2047
|
6,497
|
6,101
|
|
Pool # BM1049, 4.00%, 4/1/2047
|
6,152
|
5,711
|
|
Pool # CA0411, 4.00%, 9/1/2047
|
4,395
|
4,127
|
|
Pool # CA0861, 3.50%, 11/1/2047
|
3,512
|
3,143
|
|
Pool # BJ1666, 4.00%, 12/1/2047
|
3,494
|
3,276
|
|
Pool # BM3477, 4.00%, 1/1/2048
|
3,064
|
2,847
|
|
Pool # CA1006, 4.00%, 1/1/2048
|
3,904
|
3,653
|
|
Pool # CA1361, 3.50%, 2/1/2048
|
2,880
|
2,578
|
|
Pool # BD9074, 3.50%, 3/1/2048
|
1,126
|
1,009
|
|
Pool # BJ4640, 4.00%, 3/1/2048
|
1,464
|
1,373
|
|
Pool # BD9078, 4.00%, 4/1/2048
|
2,036
|
1,878
|
|
Pool # BD9077, 3.50%, 5/1/2048
|
240
|
216
|
|
Pool # BD9083, 4.00%, 7/1/2048
|
2,233
|
2,067
|
|
Pool # CA2489, 4.50%, 10/1/2048
|
975
|
917
|
|
Pool # BN7416, 3.50%, 9/1/2049
|
2,215
|
1,976
|
|
Pool # BO1418, 3.50%, 9/1/2049
|
2,477
|
2,207
|
|
Pool # BO1427, 3.50%, 9/1/2049
|
2,239
|
1,994
|
|
Pool # CA4431, 3.50%, 10/1/2049
|
3,360
|
2,990
|
|
Pool # MA3803, 3.50%, 10/1/2049
|
1,636
|
1,458
|
|
Pool # FM2014, 3.00%, 11/1/2049
|
7,023
|
6,031
|
|
Pool # BN0803, 3.50%, 12/1/2049
|
922
|
822
|
|
Pool # MA3872, 3.50%, 12/1/2049
|
1,631
|
1,453
|
|
Pool # BN0807, 3.50%, 1/1/2050
|
723
|
645
|
|
Pool # FM2437, 3.00%, 2/1/2050
|
9,006
|
7,703
|
|
Pool # CA6144, 2.50%, 6/1/2050
|
11,927
|
9,712
|
|
Pool # BP7345, 3.00%, 6/1/2050
|
11,488
|
9,787
|
|
Pool # CA6322, 2.50%, 7/1/2050
|
9,385
|
7,642
|
|
Pool # CA6361, 2.50%, 7/1/2050
|
5,381
|
4,443
|
|
Pool # BQ1645, 2.50%, 8/1/2050
|
5,948
|
4,874
|
|
Pool # BQ1911, 2.00%, 10/1/2050
|
4,153
|
3,271
|
|
Pool # BQ2999, 2.50%, 10/1/2050
|
6,432
|
5,250
|
|
Pool # BQ6118, 2.50%, 10/1/2050
|
7,007
|
5,703
|
|
Pool # FM8787, 2.50%, 10/1/2051
|
15,990
|
13,057
|
|
Pool # FS2559, 3.00%, 12/1/2051
|
4,093
|
3,478
|
|
Pool # CB3121, 3.00%, 2/1/2052 (b)
|
7,484
|
6,303
|
|
Pool # CB5131, 5.00%, 11/1/2052
|
13,353
|
12,871
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS3421, 5.00%, 12/1/2052
|
6,508
|
6,273
|
|
Pool # FS5027, 4.00%, 2/1/2053
|
4,711
|
4,284
|
|
Pool # BU4029, 5.00%, 6/1/2053
|
13,605
|
13,101
|
|
Pool # CB6842, 5.50%, 8/1/2053
|
13,048
|
12,852
|
|
FNMA, Other
|
|
|
|
Pool # AN0571, 3.10%, 1/1/2026
|
6,500
|
6,272
|
|
Pool # AM7199, 3.30%, 11/1/2026
|
2,869
|
2,754
|
|
Pool # FN0040, 3.02%, 6/1/2027 (a)
|
1,954
|
1,850
|
|
Pool # AN6800, 2.97%, 9/1/2027
|
3,245
|
3,056
|
|
Pool # AN6825, 2.80%, 10/1/2027
|
3,818
|
3,572
|
|
Pool # AN9486, 3.57%, 6/1/2028
|
12,281
|
11,678
|
|
Pool # 405220, 6.00%, 9/1/2028
|
2
|
2
|
|
Pool # AN3908, 3.12%, 1/1/2029
|
7,620
|
7,099
|
|
Pool # BL1950, 3.47%, 3/1/2029
|
12,686
|
11,920
|
|
Pool # AN8493, 3.30%, 2/1/2030
|
4,557
|
4,157
|
|
Pool # BM5425, 3.15%, 3/1/2030 (a)
|
2,008
|
1,835
|
|
Pool # BL9023, 1.22%, 11/1/2030
|
20,264
|
16,428
|
|
Pool # BL4576, 2.70%, 10/1/2031
|
15,000
|
12,917
|
|
Pool # AN8412, 3.39%, 2/1/2033
|
4,260
|
3,839
|
|
Pool # AN8464, 3.33%, 3/1/2033
|
6,124
|
5,495
|
|
Pool # BS3202, 1.94%, 9/1/2033
|
4,732
|
3,787
|
|
Pool # BL2944, 3.19%, 7/1/2034
|
1,700
|
1,461
|
|
Pool # BL3288, 2.52%, 9/1/2034
|
12,000
|
9,845
|
|
Pool # BL4331, 2.41%, 10/1/2034
|
15,276
|
12,445
|
|
Pool # BS2718, 1.95%, 8/1/2036
|
9,917
|
7,561
|
|
Pool # BL4215, 2.56%, 9/1/2036
|
6,816
|
5,472
|
|
Pool # BL7125, 2.04%, 6/1/2037
|
8,094
|
6,015
|
|
Pool # BF0617, 2.50%, 3/1/2062
|
5,267
|
4,125
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 401860, 7.50%, 6/15/2025
|
—
|
—
|
|
Pool # 377557, 8.00%, 7/15/2025
|
1
|
1
|
|
Pool # 472679, 7.00%, 6/15/2028
|
—
|
—
|
|
Pool # 784010, 4.00%, 3/15/2045
|
357
|
345
|
|
Pool # 626938, 4.00%, 4/15/2045
|
197
|
190
|
|
Pool # 784041, 4.00%, 8/15/2045
|
2,438
|
2,356
|
|
Pool # 784208, 4.00%, 7/15/2046
|
3,449
|
3,335
|
|
Pool # 784897, 2.50%, 10/15/2049
|
8,202
|
6,945
|
|
Pool # BU5359, 3.00%, 4/15/2050
|
9,634
|
8,419
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 2324, 8.00%, 11/20/2026
|
2
|
2
|
|
Pool # 2344, 8.00%, 12/20/2026
|
3
|
3
|
|
Pool # 2512, 8.00%, 11/20/2027
|
11
|
12
|
|
Pool # MA7589, 2.50%, 9/20/2051
|
5,009
|
4,176
|
|
Pool # CH2211, 3.50%, 9/20/2051
|
10,945
|
9,634
|
|
Total Mortgage-Backed Securities
(Cost $581,008)
|
|
505,346
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — 21.2%
|
||
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
1,410
|
1,281
|
|
Series 2020-1, Class M55G, 3.00%, 8/25/2059
|
12,529
|
10,927
|
|
FHLMC, REMIC
|
|
|
|
Series 3798, Class AY, 3.50%, 1/15/2026
|
277
|
273
|
|
Series 3809, Class BC, 3.50%, 2/15/2026
|
237
|
233
|
|
Series 3188, Class GE, 6.00%, 7/15/2026
|
134
|
134
|
|
Series 3926, Class MW, 4.50%, 9/15/2026
|
754
|
744
|
|
Series 1999, Class PU, 7.00%, 10/15/2027
|
8
|
8
|
|
Series 2031, Class PG, 7.00%, 2/15/2028
|
26
|
26
|
|
Series 2035, Class PC, 6.95%, 3/15/2028
|
76
|
76
|
|
Series 2064, Class PD, 6.50%, 6/15/2028
|
47
|
47
|
|
Series 2095, Class PE, 6.00%, 11/15/2028
|
40
|
40
|
|
Series 4314, Class DY, 3.50%, 3/15/2029
|
1,055
|
1,021
|
|
Series 4336, Class YB, 3.00%, 5/15/2029
|
1,298
|
1,269
|
|
Series 2152, Class BD, 6.50%, 5/15/2029
|
15
|
15
|
|
Series 2162, Class TH, 6.00%, 6/15/2029
|
97
|
97
|
|
Series 3737, Class DG, 5.00%, 10/15/2030
|
152
|
151
|
|
Series 3981, Class PA, 3.00%, 4/15/2031
|
861
|
847
|
|
Series 2367, Class ME, 6.50%, 10/15/2031
|
107
|
109
|
|
Series 2647, Class A, 3.25%, 4/15/2032
|
35
|
34
|
|
Series 2480, Class EJ, 6.00%, 8/15/2032
|
145
|
147
|
|
Series 4156, Class SB, IF, 4.91%, 1/15/2033 (a)
|
604
|
489
|
|
Series 4170, Class TS, IF, 5.17%, 2/15/2033 (a)
|
3,868
|
2,842
|
|
Series 4186, Class JE, 2.00%, 3/15/2033
|
4,866
|
4,464
|
|
Series 4188, Class JG, 2.00%, 4/15/2033
|
3,121
|
2,862
|
|
Series 4206, Class DA, 2.00%, 5/15/2033
|
2,285
|
2,097
|
|
Series 2611, Class QZ, 5.00%, 5/15/2033
|
907
|
882
|
|
Series 4429, Class HB, 3.00%, 1/15/2035
|
6,293
|
5,644
|
|
Series 2915, Class MU, 5.00%, 1/15/2035
|
772
|
766
|
|
Series 5000, Class CB, 1.25%, 1/25/2035
|
3,956
|
3,419
|
|
Series 4448, Class DY, 3.00%, 3/15/2035
|
5,542
|
5,062
|
|
Series 4458, Class BW, 3.00%, 4/15/2035
|
7,932
|
7,354
|
|
Series 3085, Class VS, IF, 6.97%, 12/15/2035 (a)
|
133
|
141
|
|
Series 3181, Class OP, PO, 7/15/2036
|
510
|
422
|
|
Series 3413, Class B, 5.50%, 4/15/2037
|
216
|
217
|
|
Series 4867, Class WF, 5.84%, 4/15/2037 (a)
|
3,517
|
3,533
|
|
Series 3325, Class JL, 5.50%, 6/15/2037
|
1,225
|
1,237
|
|
Series 3341, Class PE, 6.00%, 7/15/2037
|
857
|
877
|
|
Series 4365, Class HZ, 3.00%, 1/15/2040
|
3,112
|
2,816
|
|
Series 3699, Class QH, 5.50%, 7/15/2040
|
578
|
579
|
|
Series 3772, Class PE, 4.50%, 12/15/2040
|
3,031
|
2,954
|
|
Series 4047, Class PB, 3.50%, 1/15/2041
|
1,385
|
1,360
|
|
Series 3927, Class PC, 4.50%, 9/15/2041
|
3,939
|
3,770
|
|
Series 4002, Class CY, 3.50%, 2/15/2042
|
4,819
|
4,027
|
|
Series 4039, Class SA, IF, IO, 1.06%, 5/15/2042 (a)
|
2,486
|
224
|
|
Series 4061, Class LB, 3.50%, 6/15/2042
|
3,570
|
2,871
|
|
Series 4062, Class GY, 4.00%, 6/15/2042
|
6,109
|
5,667
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 4091, Class BQ, 2.00%, 8/15/2042
|
5,000
|
4,147
|
|
Series 4091, Class PB, 2.00%, 8/15/2042
|
3,672
|
2,898
|
|
Series 4122, Class PY, 3.00%, 10/15/2042
|
3,000
|
2,560
|
|
Series 4394, Class PL, 3.50%, 10/15/2044
|
5,000
|
4,391
|
|
Series 4594, Class GN, 2.50%, 2/15/2045
|
1,665
|
1,488
|
|
Series 4606, Class KP, 2.50%, 7/15/2046
|
9,862
|
8,354
|
|
Series 4748, Class HE, 3.00%, 1/15/2048
|
6,567
|
5,598
|
|
Series 4974, Class PH, 1.50%, 6/25/2048
|
1,225
|
948
|
|
Series 4933, Class PA, 2.50%, 10/25/2049
|
5,891
|
4,825
|
|
Series 4925, Class PA, 3.00%, 10/25/2049
|
8,572
|
7,422
|
|
Series 5072, Class QC, 1.00%, 10/25/2050
|
7,351
|
5,601
|
|
Series 5190, Class PH, 2.50%, 2/25/2052
|
6,045
|
5,325
|
|
FHLMC, STRIPS
|
|
|
|
Series 264, Class 30, 3.00%, 7/15/2042
|
2,971
|
2,640
|
|
Series 267, Class 30, 3.00%, 8/15/2042
|
1,733
|
1,535
|
|
Series 406, PO, 10/25/2053
|
9,169
|
7,257
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
924
|
923
|
|
Series T-56, Class A, PO, 5/25/2043
|
600
|
460
|
|
Series T-51, Class 1A, 6.50%, 9/25/2043 (a)
|
842
|
857
|
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
28,750
|
26,928
|
|
FNMA, Grantor Trust, Whole Loan Series 2004-T1, Class 1A2, 6.50%, 1/25/2044
|
119
|
120
|
|
FNMA, REMIC
|
|
|
|
Series 2010-117, Class DY, 4.50%, 10/25/2025
|
591
|
586
|
|
Series 2010-155, Class B, 3.50%, 1/25/2026
|
482
|
473
|
|
Series 1998-58, Class PC, 6.50%, 10/25/2028
|
113
|
113
|
|
Series 2000-8, Class Z, 7.50%, 2/20/2030
|
52
|
53
|
|
Series 2002-92, Class FB, 6.09%, 4/25/2030 (a)
|
128
|
128
|
|
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031
|
81
|
11
|
|
Series 2003-67, Class SA, IF, 10.15%, 10/25/2031 (a)
|
16
|
17
|
|
Series 2011-145, Class PB, 3.50%, 1/25/2032
|
6,928
|
6,635
|
|
Series 2012-100, Class AY, 3.00%, 9/25/2032
|
5,750
|
5,393
|
|
Series 2013-50, Class YO, PO, 1/25/2033
|
1,874
|
1,498
|
|
Series 2003-21, Class PZ, 4.50%, 3/25/2033
|
640
|
609
|
|
Series 2013-106, Class PY, 3.00%, 10/25/2033
|
3,548
|
3,315
|
|
Series 2013-130, Class GY, 3.50%, 1/25/2034
|
3,699
|
3,432
|
|
Series 2014-2, Class QB, 3.00%, 2/25/2034
|
2,745
|
2,540
|
|
Series 2004-46, Class QD, IF, 2.25%, 3/25/2034 (a)
|
70
|
67
|
|
Series 2004-54, Class FL, 5.84%, 7/25/2034 (a)
|
242
|
241
|
|
Series 2015-11, Class AQ, 3.00%, 3/25/2035
|
4,913
|
4,508
|
|
Series 2005-22, Class EH, 5.00%, 4/25/2035
|
1,298
|
1,285
|
|
Series 2015-28, Class GB, 3.50%, 5/25/2035
|
4,000
|
3,738
|
|
Series 2015-41, Class AY, 3.00%, 6/25/2035
|
4,653
|
4,146
|
|
Series 2006-3, Class SB, IF, IO, 1.26%, 7/25/2035 (a)
|
194
|
2
|
|
Series 2015-51, Class LY, 3.00%, 7/25/2035
|
3,092
|
2,864
|
|
Series 2005-58, Class EP, 5.50%, 7/25/2035
|
97
|
98
|
|
Series 2015-59, Class EB, 3.00%, 8/25/2035
|
4,871
|
4,503
|
|
Series 2005-83, Class LA, 5.50%, 10/25/2035
|
169
|
169
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2015-65, Class LD, 3.50%, 1/25/2036
|
7,057
|
6,469
|
|
Series 2005-116, Class PC, 6.00%, 1/25/2036
|
654
|
656
|
|
Series 2006-51, Class FP, 5.79%, 3/25/2036 (a)
|
852
|
848
|
|
Series 2016-28, Class DW, 3.50%, 5/25/2036
|
4,491
|
4,044
|
|
Series 2006-81, Class FA, 5.79%, 9/25/2036 (a)
|
16
|
16
|
|
Series 2006-110, PO, 11/25/2036
|
175
|
145
|
|
Series 2007-76, Class PE, 6.00%, 8/25/2037
|
519
|
532
|
|
Series 2010-47, Class MB, 5.00%, 9/25/2039
|
1,237
|
1,226
|
|
Series 2010-11, Class CB, 4.50%, 2/25/2040
|
65
|
62
|
|
Series 2010-4, Class SL, IF, 10.08%, 2/25/2040 (a)
|
46
|
34
|
|
Series 2012-115, Class ME, 1.75%, 3/25/2042
|
1,568
|
1,423
|
|
Series 2012-60, Class EP, 3.00%, 4/25/2042
|
687
|
631
|
|
Series 2012-50, Class HY, 4.00%, 5/25/2042
|
5,566
|
4,786
|
|
Series 2012-141, Class PB, 2.50%, 12/25/2042
|
3,305
|
2,593
|
|
Series 2012-139, Class JA, 3.50%, 12/25/2042
|
2,588
|
2,369
|
|
Series 2013-128, Class AO, PO, 12/25/2043
|
4,031
|
2,967
|
|
Series 2024-6, Class AL, 2.00%, 3/25/2044
|
11,863
|
8,492
|
|
Series 2015-48, Class DE, 3.00%, 10/25/2044
|
11,897
|
10,579
|
|
Series 2016-45, Class PC, 3.00%, 9/25/2045
|
5,007
|
4,465
|
|
Series 2016-38, Class NA, 3.00%, 1/25/2046
|
5,842
|
5,242
|
|
Series 2019-71, Class CA, 2.50%, 7/25/2046
|
10,682
|
9,566
|
|
Series 2019-38, Class PC, 3.00%, 2/25/2048
|
5,154
|
4,675
|
|
Series 2019-65, Class PA, 2.50%, 5/25/2048
|
5,802
|
5,080
|
|
Series 2019-34, Class WA, 3.50%, 8/25/2048
|
5,367
|
5,050
|
|
Series 2019-42, Class KA, 3.00%, 7/25/2049
|
9,084
|
7,991
|
|
Series 2019-81, Class JA, 2.50%, 9/25/2049
|
9,543
|
7,953
|
|
Series 2019-77, Class ZL, 3.00%, 1/25/2050
|
20,146
|
17,089
|
|
Series 2020-12, Class JC, 2.00%, 3/25/2050
|
18,487
|
15,044
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 1999-W4, Class A9, 6.25%, 2/25/2029
|
27
|
26
|
|
Series 2002-W7, Class A4, 6.00%, 6/25/2029
|
403
|
396
|
|
Series 2003-W1, Class 1A1, 4.76%, 12/25/2042 (a)
|
255
|
248
|
|
Series 2003-W1, Class 2A, 5.27%, 12/25/2042 (a)
|
148
|
145
|
|
Series 2005-W1, Class 1A2, 6.50%, 10/25/2044
|
838
|
847
|
|
Series 2009-W1, Class A, 6.00%, 12/25/2049
|
209
|
211
|
|
GNMA
|
|
|
|
Series 2004-27, Class PD, 5.50%, 4/20/2034
|
691
|
688
|
|
Series 2008-15, Class NB, 4.50%, 2/20/2038
|
184
|
181
|
|
Series 2008-40, Class SA, IF, IO, 0.97%, 5/16/2038 (a)
|
1,019
|
51
|
|
Series 2009-42, Class TX, 4.50%, 6/20/2039
|
2,965
|
2,891
|
|
Series 2009-69, Class WM, 5.50%, 8/20/2039
|
782
|
785
|
|
Series 2011-29, Class Z, 5.00%, 5/20/2040
|
12,104
|
11,753
|
|
Series 2012-126, Class BE, 2.00%, 10/20/2042
|
4,000
|
3,050
|
|
Series 2019-123, Class MA, 3.00%, 10/20/2049
|
10,372
|
9,045
|
|
Series 2020-133, Class KB, 1.00%, 8/20/2050
|
8,705
|
6,741
|
|
Total Collateralized Mortgage Obligations
(Cost $439,724)
|
|
391,841
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — 9.6%
|
||
|
FHLMC Series K753, Class A2, 4.40%, 10/25/2030
|
7,805
|
7,576
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K067, Class A2, 3.19%, 7/25/2027
|
6,558
|
6,215
|
|
Series K087, Class A1, 3.59%, 10/25/2027
|
3,813
|
3,706
|
|
Series W5FX, Class AFX, 3.21%, 4/25/2028 (a)
|
3,436
|
3,206
|
|
Series K078, Class A2, 3.85%, 6/25/2028
|
5,779
|
5,548
|
|
Series K088, Class A2, 3.69%, 1/25/2029
|
8,700
|
8,263
|
|
Series K158, Class A1, 3.90%, 7/25/2030
|
8,207
|
7,940
|
|
Series K-1511, Class A1, 3.28%, 10/25/2030
|
8,587
|
8,117
|
|
Series K149, Class A2, 3.53%, 8/25/2032
|
6,000
|
5,437
|
|
Series K-1511, Class A3, 3.54%, 3/25/2034
|
10,000
|
8,877
|
|
Series K-1512, Class A3, 3.06%, 4/25/2034
|
10,000
|
8,471
|
|
Series Q007, Class APT2, 3.61%, 10/25/2047 (a)
|
1,876
|
1,857
|
|
Series Q013, Class APT2, 1.16%, 5/25/2050 (a)
|
9,662
|
8,728
|
|
FNMA ACES
|
|
|
|
Series 2017-M3, Class A2, 2.46%, 12/25/2026 (a)
|
4,401
|
4,129
|
|
Series 2017-M4, Class A2, 2.55%, 12/25/2026 (a)
|
4,287
|
4,031
|
|
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (a)
|
3,614
|
3,422
|
|
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (a)
|
11,322
|
10,619
|
|
Series 2018-M8, Class A2, 3.30%, 6/25/2028 (a)
|
8,970
|
8,450
|
|
Series 2019-M1, Class A2, 3.55%, 9/25/2028 (a)
|
9,160
|
8,715
|
|
Series 2019-M5, Class A2, 3.27%, 2/25/2029
|
8,463
|
7,890
|
|
Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (a)
|
4,800
|
4,416
|
|
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (a)
|
6,000
|
5,786
|
|
Series 2019-M31, Class A2, 2.85%, 4/25/2034
|
5,500
|
4,552
|
|
Series 2020-M8, Class AL, 2.01%, 3/25/2035
|
17,896
|
13,484
|
|
Series 2020-M24, Class A3, 1.75%, 1/25/2037
|
15,000
|
11,370
|
|
Series 2019-M14, Class AL2, 3.07%, 4/25/2048
|
7,806
|
6,868
|
|
Total Commercial Mortgage-Backed Securities
(Cost $199,992)
|
|
177,673
|
|
U.S. Government Agency Securities — 3.3%
|
||
|
FFCB Funding Corp.
|
|
|
|
5.75%, 5/11/2026
|
10,000
|
10,153
|
|
3.33%, 4/28/2037
|
15,000
|
12,678
|
|
FNMA
6.25%, 5/15/2029
|
10,000
|
10,748
|
|
Resolution Funding Corp. STRIPS
|
|
|
|
DN, 25.91%, 4/15/2028 (c)
|
15,000
|
12,534
|
|
DN, 6.78%, 1/15/2030 (c)
|
15,700
|
11,981
|
|
DN, 24.82%, 4/15/2030 (c)
|
5,000
|
3,766
|
|
Total U.S. Government Agency Securities
(Cost $64,830)
|
|
61,860
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Short-Term Investments — 3.7%
|
||
|
Investment Companies — 3.7%
|
||
|
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.17% (d) (e)
(Cost $67,743)
|
67,743
|
67,743
|
|
Total Investments — 100.0%
(Cost $2,075,576)
|
|
1,847,807
|
|
Liabilities in Excess of Other Assets — (0.0)% ^
|
|
(634
)
|
|
NET ASSETS — 100.0%
|
|
1,847,173
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2024.
|
|
DN
|
Discount Notes
|
|
FFCB
|
Federal Farm Credit Bank
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2024. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
(a)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2024.
|
|
|
(b)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(c)
|
The rate shown is the effective yield as of May 31, 2024.
|
|
|
(d)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(e)
|
The rate shown is the current yield as of May 31, 2024.
|
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Collateralized Mortgage Obligations
|
$—
|
$391,841
|
$—
|
$391,841
|
|
Commercial Mortgage-Backed Securities
|
—
|
177,673
|
—
|
177,673
|
|
Mortgage-Backed Securities
|
—
|
505,346
|
—
|
505,346
|
|
U.S. Government Agency Securities
|
—
|
61,860
|
—
|
61,860
|
|
U.S. Treasury Obligations
|
—
|
643,344
|
—
|
643,344
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
$67,743
|
$—
|
$—
|
$67,743
|
|
Total Investments in Securities
|
$67,743
|
$1,780,064
|
$—
|
$1,847,807
|
|
|
|||||||||
|
For the period ended May 31, 2024
|
|||||||||
|
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 5.17% (a) (b)
|
$48,936
|
$83,806
|
$64,999
|
$—
|
$—
|
$67,743
|
67,743
|
$719
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2024.
|