NPORT-EX 2 HG_INCOME.htm HTML

JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

CORPORATE BONDS — 33.3%

     

Aerospace & Defense — 0.3%

     

Bombardier, Inc. (Canada)

     

7.50%, 12/1/2024(a)

     589        611  

7.50%, 3/15/2025(a)

     5,000        5,096  

BWX Technologies, Inc.

     

4.13%, 6/30/2028(a)

     3,904        3,904  

4.13%, 4/15/2029(a)

     3,625        3,624  

Howmet Aerospace, Inc.

     

5.13%, 10/1/2024

     4,373        4,677  

6.88%, 5/1/2025

     27        31  

5.90%, 2/1/2027

     3,179        3,573  

6.75%, 1/15/2028

     118        139  

5.95%, 2/1/2037

     110        129  

Spirit AeroSystems, Inc. 5.50%, 1/15/2025(a)

     325        335  

TransDigm, Inc. 6.25%, 3/15/2026(a)

     7,267        7,539  

Triumph Group, Inc.

     

8.88%, 6/1/2024(a)

     945        1,035  

6.25%, 9/15/2024(a)

     2,566        2,576  

7.75%, 8/15/2025

     3,055        3,036  
     

 

 

 
        36,305  
     

 

 

 

Airlines — 0.2%

     

American Airlines, Inc.

     

5.50%, 4/20/2026(a)

     6,371        6,506  

5.75%, 4/20/2029(a)

     5,806        6,055  

Delta Air Lines, Inc.

     

4.50%, 10/20/2025(a)

     1,852        1,941  

4.75%, 10/20/2028(a)

     2,717        2,978  

United Airlines, Inc.

     

4.38%, 4/15/2026(a)

     3,833        3,848  

4.63%, 4/15/2029(a)

     1,273        1,266  
     

 

 

 
        22,594  
     

 

 

 

Auto Components — 0.8%

     

Adient Global Holdings Ltd. 4.88%, 8/15/2026(a)

     3,620        3,625  

Adient US LLC 9.00%, 4/15/2025(a)

     5,379        5,702  

Allison Transmission, Inc.

     

4.75%, 10/1/2027(a)

     3,298        3,405  

5.88%, 6/1/2029(a)

     8,796        9,399  

3.75%, 1/30/2031(a)

     11,027        10,541  

American Axle & Manufacturing, Inc.

     

6.25%, 3/15/2026

     5,066        5,180  

6.50%, 4/1/2027

     5,070        5,257  

6.88%, 7/1/2028

     2,380        2,543  

5.00%, 10/1/2029

     5,030        4,772  

Clarios Global LP

     

6.75%, 5/15/2025(a)

     2,915        3,043  

6.25%, 5/15/2026(a)

     6,437        6,689  

8.50%, 5/15/2027(a)

     5,435        5,720  

Cooper-Standard Automotive, Inc.

     

13.00%, 6/1/2024(a)

     265        286  

5.63%, 11/15/2026(a)

     884        721  

Dana, Inc.

     

5.38%, 11/15/2027

     2,745        2,865  

5.63%, 6/15/2028

     2,747        2,892  

4.25%, 9/1/2030

     724        719  

Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029(a)

     4,565        4,497  

Goodyear Tire & Rubber Co. (The)

     

5.00%, 5/31/2026

     3,473        3,551  

4.88%, 3/15/2027

     255        266  

5.00%, 7/15/2029(a)

     5,248        5,478  

5.25%, 4/30/2031

     8,465        8,926  

5.25%, 7/15/2031(a)

     2,132        2,224  

Icahn Enterprises LP

     

6.75%, 2/1/2024

     370        371  

4.75%, 9/15/2024

     500        506  

6.25%, 5/15/2026

     2,691        2,766  

IHO Verwaltungs GmbH (Germany) 4.75% (cash), 9/15/2026(a)(b)

     4,960        5,059  

Tenneco, Inc.

     

5.38%, 12/15/2024

     665        657  

5.00%, 7/15/2026

     2,718        2,595  

7.88%, 1/15/2029(a)

     1,459        1,559  

5.13%, 4/15/2029(a)

     1,663        1,601  
     

 

 

 
        113,415  
     

 

 

 

Automobiles — 0.0%(c)

     

General Motors Co. 5.00%, 4/1/2035

     240        285  

Jaguar Land Rover Automotive plc (United Kingdom) 4.50%, 10/1/2027(a)

     1,000        956  
     

 

 

 
        1,241  
     

 

 

 

Banks — 2.4%

     

Banco do Brasil SA (Brazil) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 6.36%), 9.00%, 6/18/2024(d)(e)(f)(g)

     8,400        8,795  

Banco Industrial SA (Guatemala) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.44%), 4.88%, 1/29/2031(e)(f)

     1,600        1,576  

Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029(d)(e)(f)(g)

     10,900        11,624  

Banco Santander SA (Spain) (USD ICE Swap Rate 5 Year + 4.99%), 7.50%, 2/8/2024(d)(e)(f)(g)

     5,000        5,363  

Bank of America Corp.

     

Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024(d)(e)(g)

     10,030        10,632  

Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025(d)(e)(g)

     716        771  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026(d)(e)(g)

     34        38  

(SOFR + 1.32%), 2.69%, 4/22/2032(e)

     34,390        34,825  

Banque Centrale de Tunisie International Bond (Tunisia) 5.75%, 1/30/2025(f)

     6,350        4,778  

Citigroup, Inc.

     

(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023(d)(e)(g)

     865        884  

Series U, (SOFR + 3.81%), 5.00%, 9/12/2024(d)(e)(g)

     9,905        10,103  

Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025(d)(e)(g)

     4,714        5,013  

Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%),
4.00%, 12/10/2025(d)(e)(g)

     21,230        21,176  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026(d)(e)(g)

     10,050        9,950  

Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026(d)(e)(g)

     83        93  

Credit Agricole SA (France) (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025(a)(d)(e)(g)

     20,050        23,610  

Development Bank of the Republic of Belarus JSC (Belarus) 6.75%, 5/2/2024(a)

     2,600        2,314  

HSBC Holdings plc (United Kingdom)

     

(USD ICE Swap Rate 5 Year + 4.37%), 6.37%, 3/30/2025(d)(e)(g)

     2,400        2,580  

(USD ICE Swap Rate 5 Year + 3.75%), 6.00%, 5/22/2027(d)(e)(g)

     3,551        3,764  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030(d)(e)(g)

     8,336        8,232  

ING Groep NV (Netherlands)

     

(USD ICE Swap Rate 5 Year + 4.20%), 6.75%, 4/16/2024(d)(e)(f)(g)

     12,000        12,870  

(USD Swap Semi 5 Year + 4.45%), 6.50%, 4/16/2025(d)(e)(g)

     1,800        1,945  

Intesa Sanpaolo SpA (Italy)

     

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.60%), 4.20%, 6/1/2032(a)(e)

     1,190        1,193  

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042(a)(e)

     6,402        6,608  

Lloyds Banking Group plc (United Kingdom)

     

(USD Swap Semi 5 Year + 4.76%), 7.50%, 6/27/2024(d)(e)(g)

     4,669        5,066  

(USD Swap Semi 5 Year + 4.50%), 7.50%, 9/27/2025(d)(e)(g)

     3,769        4,282  

National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034(a)(e)

     1,400        1,500  

NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025(d)(e)(g)

     22,706        24,653  

Nordea Bank Abp (Finland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026(a)(d)(e)(g)

     8,800        9,955  

Societe Generale SA (France)

     

(USD Swap Semi 5 Year + 4.30%), 7.37%, 10/4/2023(a)(d)(e)(g)

     6,742        7,147  

(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025(a)(d)(e)(g)

     14,270        16,441  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.93%), 4.75%, 5/26/2026(a)(d)(e)(g)

     6,480        6,537  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030(a)(d)(e)(g)

     5,000        5,229  

Standard Chartered plc (United Kingdom) (USD Swap Semi 5 Year + 6.30%), 7.50%, 4/2/2022(a)(d)(e)(g)

     500        508  

Truist Financial Corp. Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030(d)(e)(g)

     5,000        5,573  

UniCredit SpA (Italy)

     

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027(a)(e)

     9,140        8,921  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035(a)(e)

     5,096        5,531  

Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026(d)(e)(g)

     27,821        27,988  
     

 

 

 
        318,068  
     

 

 

 

Beverages — 0.0%(c)

     

Triton Water Holdings, Inc. 6.25%, 4/1/2029(a)

     5,690        5,526  
     

 

 

 

Biotechnology — 0.0%(c)

     

Emergent BioSolutions, Inc. 3.88%, 8/15/2028(a)

     4,033        3,830  

Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028(a)

     2,527        2,502  
     

 

 

 
        6,332  
     

 

 

 

Building Products — 0.3%

     

Advanced Drainage Systems, Inc. 5.00%, 9/30/2027(a)

     125        129  

Builders FirstSource, Inc.

     

6.75%, 6/1/2027(a)

     1,336        1,406  

4.25%, 2/1/2032(a)

     3,388        3,403  

James Hardie International Finance DAC 5.00%, 1/15/2028(a)

     2,000        2,073  

JELD-WEN, Inc.

     

6.25%, 5/15/2025(a)

     1,015        1,058  

4.63%, 12/15/2025(a)

     740        746  

4.88%, 12/15/2027(a)

     1,238        1,266  

Masonite International Corp.

     

5.38%, 2/1/2028(a)

     4,450        4,634  

3.50%, 2/15/2030(a)

     1,800        1,742  

Standard Industries, Inc.

     

5.00%, 2/15/2027(a)

     1,531        1,570  

4.75%, 1/15/2028(a)

     10,203        10,279  

4.38%, 7/15/2030(a)

     2,975        2,927  

3.38%, 1/15/2031(a)

     3,459        3,186  

Summit Materials LLC

     

6.50%, 3/15/2027(a)

     1,145        1,189  

5.25%, 1/15/2029(a)

     2,025        2,108  
     

 

 

 
        37,716  
     

 

 

 

Capital Markets — 0.8%

     

Charles Schwab Corp. (The)

     

Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026(d)(e)(g)

     32,590        32,467  

Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030(d)(e)(g)

     13,530        13,395  

Coinbase Global, Inc.

     

3.38%, 10/1/2028(a)

     1,372        1,289  

3.63%, 10/1/2031(a)

     1,372        1,273  

Credit Suisse Group AG (Switzerland)

     

(USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024(a)(d)(e)(g)

     19,000        20,069  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.89%), 5.25%, 2/11/2027(a)(d)(e)(g)

     4,760        4,831  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.55%), 4.50%, 9/3/2030(a)(d)(e)(g)

     1,447        1,388  

Goldman Sachs Group, Inc. (The)

     

Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022(d)(e)(g)

     5,070        5,015  

Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025(d)(e)(g)

     1,340        1,387  

Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026(d)(e)(g)

     2,240        2,182  

Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026(d)(e)(g)

     2,734        2,626  

MSCI, Inc.

     

4.00%, 11/15/2029(a)

     4,370        4,528  

3.63%, 9/1/2030(a)

     1,000        1,013  

UBS Group AG (Switzerland)

     

(USD Swap Semi 5 Year + 4.34%), 7.00%, 1/31/2024(a)(d)(e)(g)

     2,870        3,082  

(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025(d)(e)(f)(g)

     250        277  

(USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025(d)(e)(f)(g)

     13,061        14,459  
     

 

 

 
        109,281  
     

 

 

 

Chemicals — 1.1%

     

Axalta Coating Systems LLC

     

4.75%, 6/15/2027(a)

     11,542        11,927  

3.38%, 2/15/2029(a)

     7,473        7,101  

Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032(a)

     5,527        5,403  

Chemours Co. (The)

     

5.75%, 11/15/2028(a)

     8,468        8,680  

4.63%, 11/15/2029(a)

     3,025        2,923  

CVR Partners LP 9.25%, 6/15/2023(a)

     290        291  

Element Solutions, Inc. 3.88%, 9/1/2028(a)

     9,841        9,743  

Gates Global LLC 6.25%, 1/15/2026(a)

     950        974  

GCP Applied Technologies, Inc. 5.50%, 4/15/2026(a)

     3,610        3,692  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Hexion, Inc.

     

7.88%, 7/15/2027(a)

     5,990        6,350  

INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026(a)

     6,783        6,749  

NOVA Chemicals Corp. (Canada)

     

4.88%, 6/1/2024(a)

     4,470        4,632  

5.00%, 5/1/2025(a)

     2,802        2,935  

5.25%, 6/1/2027(a)

     15,590        16,369  

4.25%, 5/15/2029(a)

     2,690        2,636  

Olin Corp. 5.63%, 8/1/2029

     2,620        2,826  

Rain CII Carbon LLC 7.25%, 4/1/2025(a)

     150        153  

Sasol Financing USA LLC (South Africa) 5.50%, 3/18/2031

     2,900        2,833  

Scotts Miracle-Gro Co. (The)

     

5.25%, 12/15/2026

     2,625        2,691  

4.50%, 10/15/2029

     7,347        7,586  

4.00%, 4/1/2031(a)

     6,675        6,489  

4.38%, 2/1/2032(a)

     175        173  

Trinseo Materials Operating SCA

     

5.38%, 9/1/2025(a)

     5,396        5,456  

5.13%, 4/1/2029(a)

     11,110        11,124  

Venator Finance SARL 9.50%, 7/1/2025(a)

     2,955        3,228  

WR Grace Holdings LLC

     

4.88%, 6/15/2027(a)

     8,477       
8,410
 

5.63%, 8/15/2029(a)

     3,001        3,018  
     

 

 

 
        144,392  
     

 

 

 

Commercial Services & Supplies — 0.9%

     

ACCO Brands Corp. 4.25%, 3/15/2029(a)

     10,017        9,792  

ADT Security Corp. (The)

     

4.13%, 6/15/2023

     214        220  

4.13%, 8/1/2029(a)

     4,716        4,589  

4.88%, 7/15/2032(a)

     7,296        7,222  

Allied Universal Holdco LLC

     

6.63%, 7/15/2026(a)

     4,662        4,791  

9.75%, 7/15/2027(a)

     2,257        2,364  

4.63%, 6/1/2028(a)

     5,179        5,011  

Aramark Services, Inc.

     

5.00%, 4/1/2025(a)

     1,440        1,458  

5.00%, 2/1/2028(a)

     4,951        4,976  

Atento Luxco 1 SA (Brazil) 8.00%, 2/10/2026(f)

     3,200        3,318  

Bidvest Group UK plc (The) (South Africa) 3.63%, 9/23/2026(a)

     2,000        1,980  

Brink’s Co. (The) 4.63%, 10/15/2027(a)

     3,320        3,386  

Clean Harbors, Inc. 4.88%, 7/15/2027(a)

     4,965        5,102  

Garda World Security Corp. (Canada)

     

4.63%, 2/15/2027(a)

     795        777  

9.50%, 11/1/2027(a)

     4,065        4,237  

GFL Environmental, Inc. (Canada)

     

3.75%, 8/1/2025(a)

     8,694        8,802  

5.13%, 12/15/2026(a)

     2,085        2,160  

4.00%, 8/1/2028(a)

     4,588        4,451  

3.50%, 9/1/2028(a)

     1,400        1,356  

4.75%, 6/15/2029(a)

     305        305  

Madison IAQ LLC

     

4.13%, 6/30/2028(a)

     13,762        13,315  

5.88%, 6/30/2029(a)

     1,254        1,206  

Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025(a)

     146        148  

Nielsen Finance LLC

     

5.63%, 10/1/2028(a)

     5,956        6,079  

4.50%, 7/15/2029(a)

     2,195        2,123  

4.75%, 7/15/2031(a)

     1,311        1,272  

Prime Security Services Borrower LLC

     

5.75%, 4/15/2026(a)

     6,498        6,872  

3.38%, 8/31/2027(a)

     7,499        7,096  

Stericycle, Inc. 5.38%, 7/15/2024(a)

     630        644  

3.88%, 1/15/2029(a)

     7,010        6,835  
     

 

 

 
        121,887  
     

 

 

 

Communications Equipment — 0.3%

     

CommScope Technologies LLC 6.00%, 6/15/2025(a)

     4,288        4,138  

CommScope, Inc.

     

6.00%, 3/1/2026(a)

     13,901        14,219  

8.25%, 3/1/2027(a)

     7,725        7,571  

4.75%, 9/1/2029(a)

     4,980        4,818  

Nokia OYJ (Finland) 4.38%, 6/12/2027

     2,600        2,782  

Plantronics, Inc. 4.75%, 3/1/2029(a)

     8,369        7,539  
     

 

 

 
        41,067  
     

 

 

 

Construction & Engineering — 0.3%

     

AECOM 5.13%, 3/15/2027

     5,208        5,582  

Aeropuerto Internacional de Tocumen SA (Panama) 5.13%, 8/11/2061(a)

     3,830        3,961  

Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034(f)

     3,304        2,467  

Dycom Industries, Inc. 4.50%, 4/15/2029(a)

     2,585        2,603  

Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029(a)

     1,150        1,162  

International Airport Finance SA (Ecuador) 12.00%, 3/15/2033(f)

     8,500        9,137  

MasTec, Inc. 4.50%, 8/15/2028(a)

     8,104        8,347  

Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046(f)

     7,300        7,028  
     

 

 

 
        40,287  
     

 

 

 

Construction Materials — 0.1%

     

Cemex SAB de CV (Mexico)

     

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%, 6/8/2026(a)(d)(e)(g)

     4,707        4,760  

3.88%, 7/11/2031(a)

     7,155        6,952  
     

 

 

 
        11,712  
     

 

 

 


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Consumer Finance — 1.1%

     

AerCap Ireland Capital DAC (Ireland) 4.50%, 9/15/2023

     2,900        3,055  

Ally Financial, Inc.

     

5.75%, 11/20/2025

     6,835        7,741  

8.00%, 11/1/2031

     418        591  

Avolon Holdings Funding Ltd. (Ireland) 3.63%, 5/1/2022(a)

     5,500        5,554  

Ford Motor Credit Co. LLC

     

3.09%, 1/9/2023

     5,350        5,418  

4.14%, 2/15/2023

     1,000        1,021  

3.37%, 11/17/2023

     4,669        4,776  

5.58%, 3/18/2024

     2,763        2,948  

3.66%, 9/8/2024

     9,159        9,434  

4.06%, 11/1/2024

     20,997        21,899  

4.69%, 6/9/2025

     11,548        12,244  

5.13%, 6/16/2025

     2,000        2,162  

4.13%, 8/4/2025

     3,708        3,875  

3.38%, 11/13/2025

     5,271        5,383  

4.39%, 1/8/2026

     1,500        1,584  

4.54%, 8/1/2026

     3,245        3,466  

2.70%, 8/10/2026

     2,633        2,614  

4.27%, 1/9/2027

     22,907        24,214  

4.13%, 8/17/2027

     13,041        13,757  

3.82%, 11/2/2027

     245        253  

5.11%, 5/3/2029

     1,000        1,107  

4.00%, 11/13/2030

     2,133        2,237  

Navient Corp. 6.13%, 3/25/2024

     2,180        2,285  

OneMain Finance Corp.

     

6.13%, 5/15/2022

     245        251  

5.63%, 3/15/2023

     272        282  

6.88%, 3/15/2025

     1,883        2,071  

7.13%, 3/15/2026

     3,322        3,734  

3.50%, 1/15/2027

     515        497  

6.63%, 1/15/2028

     5,250        5,815  

Park Aerospace Holdings Ltd. (Ireland) 4.50%, 3/15/2023(a)

     2,146        2,226  
     

 

 

 
        152,494  
     

 

 

 

Containers & Packaging — 0.8%

     

Ardagh Packaging Finance plc

     

4.13%, 8/15/2026(a)

     5,250        5,309  

5.25%, 8/15/2027(a)

     13,442        13,174  

Ball Corp. 3.13%, 9/15/2031

     2,375        2,285  

Berry Global, Inc.

     

4.50%, 2/15/2026(a)

     1,051        1,055  

4.88%, 7/15/2026(a)

     7,076        7,342  

5.63%, 7/15/2027(a)

     940        974  

Crown Americas LLC 4.75%, 2/1/2026

     860        883  

Greif, Inc. 6.50%, 3/1/2027(a)

     3,560        3,698  

Klabin Austria GmbH (Brazil) 7.00%, 4/3/2049(f)

     5,630        6,288  

LABL, Inc.

     

6.75%, 7/15/2026(a)

     12,057        12,359  

10.50%, 7/15/2027(a)

     935        977  

Mauser Packaging Solutions Holding Co.

     

5.50%, 4/15/2024(a)

     12,782        12,793  

7.25%, 4/15/2025(a)

     6,329        6,206  

Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027(a)

     280        293  

Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027(a)

     17,860        17,146  

Sealed Air Corp.

     

5.13%, 12/1/2024(a)

     1,995        2,124  

5.50%, 9/15/2025(a)

     250        273  

Smurfit Kappa Treasury Funding DAC (Ireland) 7.50%, 11/20/2025

     950        1,166  

TriMas Corp. 4.13%, 4/15/2029(a)

     2,164        2,164  

Trivium Packaging Finance BV (Netherlands)

     

5.50%, 8/15/2026(a)(h)

     12,592        12,999  

8.50%, 8/15/2027(a)(h)

     1,965        2,053  
     

 

 

 
        111,561  
     

 

 

 

Distributors — 0.1%

     

Wolverine Escrow LLC

     

8.50%, 11/15/2024(a)

     2,536        2,371  

9.00%, 11/15/2026(a)

     5,834        5,499  
     

 

 

 
        7,870  
     

 

 

 

Diversified Consumer Services — 0.1%

     

Service Corp. International

     

7.50%, 4/1/2027

     535        641  

4.63%, 12/15/2027

     2,815        2,931  

5.13%, 6/1/2029

     5,309        5,653  

3.38%, 8/15/2030

     1,971        1,882  

4.00%, 5/15/2031

     1,300        1,297  
     

 

 

 
        12,404  
     

 

 

 

Diversified Telecommunication Services — 2.5%

     

Altice France Holding SA (Luxembourg)

     

10.50%, 5/15/2027(a)

     13,543        14,577  

6.00%, 2/15/2028(a)

     995        929  

Altice France SA (France)

     

8.13%, 2/1/2027(a)

     11,162        11,906  

5.50%, 1/15/2028(a)

     3,500        3,465  

5.13%, 1/15/2029(a)

     416        394  

5.13%, 7/15/2029(a)

     5,313        5,049  

5.50%, 10/15/2029(a)

     4,193        4,046  

CCO Holdings LLC

     

5.50%, 5/1/2026(a)

     2,368        2,444  

5.13%, 5/1/2027(a)

     36,046        37,102  

5.00%, 2/1/2028(a)

     45,576        46,944  

5.38%, 6/1/2029(a)

     10,014        10,593  

4.75%, 3/1/2030(a)

     8,701        8,915  

4.50%, 8/15/2030(a)

     4,494        4,530  

4.25%, 2/1/2031(a)

     5,973        5,884  

4.50%, 6/1/2033(a)

     7,604        7,490  

4.25%, 1/15/2034(a)

     5,270        5,070  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Cincinnati Bell, Inc.

     

7.00%, 7/15/2024(a)

     3,730        3,795  

8.00%, 10/15/2025(a)

     2,325        2,418  

DKT Finance ApS (Denmark) 9.38%, 6/17/2023(a)

     1,150        1,162  

Embarq Corp. 8.00%, 6/1/2036

     1,643        1,801  

Frontier Communications Holdings LLC

     

5.88%, 10/15/2027(a)

     13,823        14,275  

5.00%, 5/1/2028(a)

     4,967        4,981  

5.88%, 11/1/2029

     60        59  

6.00%, 1/15/2030(a)

     1,580        1,554  

Intelsat Jackson Holdings SA (Luxembourg)

     

5.50%, 8/1/2023(i)

     8,602        4,172  

8.00%, 2/15/2024(a)(h)(i)

     5,129        5,220  

8.50%, 10/15/2024(a)(i)

     5,163        2,594  

9.75%, 7/15/2025(a)(i)

     1,765        865  

Level 3 Financing, Inc.

     

5.38%, 5/1/2025

     4,436        4,529  

5.25%, 3/15/2026

     4,666        4,779  

4.63%, 9/15/2027(a)

     9,916        10,045  

4.25%, 7/1/2028(a)

     2,135        2,082  

3.63%, 1/15/2029(a)

     5,000        4,625  

3.75%, 7/15/2029(a)

     166        154  

Liquid Telecommunications Financing plc (South Africa) 5.50%, 9/4/2026(a)

     2,500        2,578  

Lumen Technologies, Inc.

     

Series W, 6.75%, 12/1/2023

     2,388        2,572  

Series Y, 7.50%, 4/1/2024

     10,252        11,123  

5.63%, 4/1/2025

     3,371        3,512  

5.13%, 12/15/2026(a)

     6,703        6,715  

4.00%, 2/15/2027(a)

     5,905        5,884  

Series G, 6.88%, 1/15/2028

     17        19  

4.50%, 1/15/2029(a)

     2,575        2,421  

5.38%, 6/15/2029(a)

     3,968        3,864  

SES GLOBAL Americas Holdings GP (Luxembourg) 5.30%, 3/25/2044(a)

     110        127  

Sprint Capital Corp.

     

6.88%, 11/15/2028

     148        183  

8.75%, 3/15/2032

     18,410        27,217  

Switch Ltd.

     

3.75%, 9/15/2028(a)

     1,547        1,532  

4.13%, 6/15/2029(a)

     5,773        5,799  

Telecom Italia Capital SA (Italy)

     

6.38%, 11/15/2033

     6,890        7,165  

6.00%, 9/30/2034

     2,211        2,228  

7.72%, 6/4/2038

     3,920        4,450  

Telecom Italia SpA (Italy) 5.30%, 5/30/2024(a)

     500        519  

Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029(a)

     6,015        6,237  

Zayo Group Holdings, Inc. 4.00%, 3/1/2027(a)

     8,099        7,714  
     

 

 

 
        340,307  
     

 

 

 

Electric Utilities — 0.7%

     

Cleveland Electric Illuminating Co. (The) 4.55%, 11/15/2030(a)

     500        577  

Comision Federal de Electricidad (Mexico) 4.68%, 2/9/2051(a)

     2,366        2,182  

Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026(a)

     1,400        1,364  

Eskom Holdings SOC Ltd. (South Africa)

     

6.75%, 8/6/2023(f)

     1,300        1,328  

7.13%, 2/11/2025(f)

     6,800        6,968  

8.45%, 8/10/2028(f)

     4,400        4,668  

FEL Energy VI SARL (Mexico) 5.75%, 12/1/2040(a)

     9,677        9,193  

Fenix Power Peru SA (Peru) 4.32%, 9/20/2027(f)

     3,223        3,281  

Instituto Costarricense de Electricidad (Costa Rica)

     

6.75%, 10/7/2031(a)

     8,210        8,286  

6.38%, 5/15/2043(f)

     690        576  

Jersey Central Power & Light Co. 4.70%, 4/1/2024(a)

     6,850        7,292  

NextEra Energy Operating Partners LP 4.25%, 9/15/2024(a)

     4        4  

NPC Ukrenergo (Ukraine) 6.88%, 11/9/2026(a)

     6,504        6,093  

NRG Energy, Inc.

     

6.63%, 1/15/2027

     1,256        1,298  

5.75%, 1/15/2028

     6,117        6,392  

3.38%, 2/15/2029(a)

     5,065        4,888  

5.25%, 6/15/2029(a)

     1,094        1,134  

3.63%, 2/15/2031(a)

     1,900        1,805  

3.88%, 2/15/2032(a)

     2,624        2,519  

PG&E Corp. 5.00%, 7/1/2028

     4,225        4,352  

Trinidad Generation UnLtd (Trinidad and Tobago) 5.25%, 11/4/2027(f)

     2,000        2,024  

Vistra Operations Co. LLC

     

5.50%, 9/1/2026(a)

     501        513  

5.63%, 2/15/2027(a)

     6,661        6,840  

5.00%, 7/31/2027(a)

     9,696        9,799  

4.38%, 5/1/2029(a)

     2,146        2,106  
     

 

 

 
        95,482  
     

 

 

 

Electrical Equipment — 0.1%

     

Sensata Technologies BV

     

4.88%, 10/15/2023(a)

     255        269  

5.63%, 11/1/2024(a)

     200        218  

5.00%, 10/1/2025(a)

     1,007        1,090  

4.00%, 4/15/2029(a)

     11,422        11,581  
     

 

 

 
        13,158  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.2%

     

CDW LLC

     

5.50%, 12/1/2024

     1,190        1,296  

4.13%, 5/1/2025

     255        261  

4.25%, 4/1/2028

     10,708        11,001  

3.25%, 2/15/2029

     1,000        1,000  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Sensata Technologies, Inc.

     

4.38%, 2/15/2030(a)

     6,374        6,611  

3.75%, 2/15/2031(a)

     3,990        3,920  
     

 

 

 
        24,089  
     

 

 

 

Energy Equipment & Services — 0.1%

 

Archrock Partners LP 6.88%, 4/1/2027(a)

     1,826        1,899  

Guara Norte SARL (Brazil) 5.20%, 6/15/2034(a)

     5,186        4,947  

Nabors Industries Ltd. 7.25%, 1/15/2026(a)

     3,575        3,075  

Nabors Industries, Inc. 5.75%, 2/1/2025

     414        346  

Precision Drilling Corp. (Canada) 7.13%, 1/15/2026(a)

     3,376        3,399  

Transocean Guardian Ltd. 5.88%, 1/15/2024(a)

     362        340  

Transocean Pontus Ltd. 6.13%, 8/1/2025(a)

     3,995        3,918  

Transocean Poseidon Ltd. 6.88%, 2/1/2027(a)

     259        246  

Transocean Proteus Ltd. 6.25%, 12/1/2024(a)

     241        238  

Transocean, Inc. 11.50%, 1/30/2027(a)

     966        908  
     

 

 

 
        19,316  
     

 

 

 

Entertainment — 0.5%

 

AMC Entertainment Holdings, Inc.

     

10.50%, 4/24/2026(a)

     915        958  

12.00% (PIK), 6/15/2026(a)(b)

     2,694        2,586  

Live Nation Entertainment, Inc.

     

4.88%, 11/1/2024(a)

     7,050        7,098  

5.63%, 3/15/2026(a)

     1,398        1,436  

6.50%, 5/15/2027(a)

     11,481        12,446  

4.75%, 10/15/2027(a)

     8,565        8,565  

3.75%, 1/15/2028(a)

     315        303  

Netflix, Inc.

     

5.88%, 2/15/2025

     50        56  

4.88%, 4/15/2028

     6,345        7,178  

5.88%, 11/15/2028

     9,585        11,472  

5.38%, 11/15/2029(a)

     952        1,126  

4.88%, 6/15/2030(a)

     2,855        3,306  

WMG Acquisition Corp.

     

3.88%, 7/15/2030(a)

     8,565        8,586  

3.00%, 2/15/2031(a)

     1,905        1,794  
     

 

 

 
        66,910  
     

 

 

 

Equity Real Estate Investment Trusts (REITs) — 0.6%

 

Iron Mountain, Inc.

     

4.88%, 9/15/2027(a)

     6,845        6,942  

5.25%, 3/15/2028(a)

     763        784  

5.00%, 7/15/2028(a)

     417        423  

4.88%, 9/15/2029(a)

     1,325        1,344  

MGM Growth Properties Operating Partnership LP

     

5.63%, 5/1/2024

     4,022        4,300  

4.63%, 6/15/2025(a)

     3,903        4,157  

4.50%, 9/1/2026

     1,000        1,073  

5.75%, 2/1/2027

     3,610        4,088  

3.88%, 2/15/2029(a)

     1,950        2,048  

MPT Operating Partnership LP 4.63%, 8/1/2029

     1,472        1,536  

RHP Hotel Properties LP

     

4.75%, 10/15/2027

     14,516        14,552  

4.50%, 2/15/2029(a)

     600        584  

SBA Communications Corp.

     

3.88%, 2/15/2027

     4,386        4,489  

3.13%, 2/1/2029(a)

     5,557        5,280  

Uniti Group LP 7.13%, 12/15/2024(a)

     65        66  

VICI Properties LP

     

3.50%, 2/15/2025(a)

     1,480        1,496  

4.25%, 12/1/2026(a)

     5,978        6,173  

3.75%, 2/15/2027(a)

     11,696        11,989  

4.63%, 12/1/2029(a)

     1,532        1,627  

4.13%, 8/15/2030(a)

     2,240        2,341  
     

 

 

 
        75,292  
     

 

 

 

Food & Staples Retailing — 0.5%

 

Albertsons Cos., Inc.

     

3.25%, 3/15/2026(a)

     6,587        6,571  

7.50%, 3/15/2026(a)

     2,682        2,863  

4.63%, 1/15/2027(a)

     11,918        12,355  

5.88%, 2/15/2028(a)

     1,317        1,386  

3.50%, 3/15/2029(a)

     7,184        7,120  

4.88%, 2/15/2030(a)

     1,957        2,080  

Cencosud SA (Chile) 6.63%, 2/12/2045(f)

     2,600        3,326  

New Albertsons LP

     

6.63%, 6/1/2028

     8        9  

7.45%, 8/1/2029

     113        129  

8.00%, 5/1/2031

     870        1,035  

Performance Food Group, Inc.

     

6.88%, 5/1/2025(a)

     2,168        2,271  

5.50%, 10/15/2027(a)

     6,507        6,702  

4.25%, 8/1/2029(a)

     2,331        2,245  

Rite Aid Corp.

     

7.50%, 7/1/2025(a)

     8,573        8,552  

8.00%, 11/15/2026(a)

     8,757        8,705  

Tesco plc (United Kingdom) 6.15%, 11/15/2037(a)

     870        1,135  

US Foods, Inc. 4.63%, 6/1/2030(a)

     1,983        1,993  
     

 

 

 
        68,477  
     

 

 

 

Food Products — 0.4%

 

B&G Foods, Inc.

     

5.25%, 4/1/2025

     2,741        2,782  

5.25%, 9/15/2027

     1,420        1,441  

Darling Ingredients, Inc. 5.25%, 4/15/2027(a)

     1,640        1,695  

JBS USA LUX SA

     

6.75%, 2/15/2028(a)

     1,253        1,351  

6.50%, 4/15/2029(a)

     757        830  

Lamb Weston Holdings, Inc.

     

4.88%, 5/15/2028(a)

     585        621  

4.13%, 1/31/2030(a)

     5,325        5,309  

4.38%, 1/31/2032(a)

     1,779        1,769  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

MARB BondCo plc (Brazil) 3.95%, 1/29/2031(a)

     6,242        5,847  

Pilgrim’s Pride Corp. 5.88%, 9/30/2027(a)

     397        417  

Post Holdings, Inc.

     

5.75%, 3/1/2027(a)

     6,877        7,084  

5.63%, 1/15/2028(a)

     8,103        8,340  

5.50%, 12/15/2029(a)

     8,020        8,296  

4.63%, 4/15/2030(a)

     3,130        3,091  

4.50%, 9/15/2031(a)

     2,000        1,930  

Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026(a)

     3,000        2,905  

TreeHouse Foods, Inc. 4.00%, 9/1/2028

     1,975        1,873  
     

 

 

 
        55,581  
     

 

 

 

Gas Utilities — 0.1%

 

AmeriGas Partners LP

     

5.63%, 5/20/2024

     189        201  

5.50%, 5/20/2025

     3,952        4,229  

5.88%, 8/20/2026

     2,163        2,360  

5.75%, 5/20/2027

     1,637        1,768  
     

 

 

 
        8,558  
     

 

 

 

Health Care Equipment & Supplies — 0.4%

 

Avantor Funding, Inc. 4.63%, 7/15/2028(a)

     9,579        9,892  

Hill-Rom Holdings, Inc. 4.38%, 9/15/2027(a)

     3,908        4,054  

Hologic, Inc.

     

4.63%, 2/1/2028(a)

     1,721        1,786  

3.25%, 2/15/2029(a)

     12,385        12,152  

Mozart Debt Merger Sub, Inc.

     

3.88%, 4/1/2029(a)

     10,738        10,604  

5.25%, 10/1/2029(a)

     8,737        8,726  

Teleflex, Inc. 4.25%, 6/1/2028(a)

     1,565        1,581  
     

 

 

 
        48,795  
     

 

 

 

Health Care Providers & Services — 1.9%

 

180 Medical, Inc. (United Kingdom) 3.88%, 10/15/2029(a)

     451        443  

Acadia Healthcare Co., Inc. 5.00%, 4/15/2029(a)

     165        167  

Centene Corp.

     

4.25%, 12/15/2027

     9,786        10,153  

4.63%, 12/15/2029

     23,902        25,575  

3.38%, 2/15/2030

     1,140        1,148  

Community Health Systems, Inc.

     

8.00%, 3/15/2026(a)

     7,215        7,539  

5.63%, 3/15/2027(a)

     4,991        5,116  

8.00%, 12/15/2027(a)

     1,405        1,503  

6.00%, 1/15/2029(a)

     1,194        1,242  

6.13%, 4/1/2030(a)

     1,450        1,388  

4.75%, 2/15/2031(a)

     2,165        2,133  

DaVita, Inc.

     

4.63%, 6/1/2030(a)

     9,163        9,048  

3.75%, 2/15/2031(a)

     8,287        7,684  

Encompass Health Corp.

     

5.75%, 9/15/2025

     1,960        1,992  

4.50%, 2/1/2028

     11,708        11,825  

4.75%, 2/1/2030

     1,912        1,924  

4.63%, 4/1/2031

     1,560        1,549  

Envision Healthcare Corp. 8.75%, 10/15/2026(a)

     1,122        682  

HCA, Inc.

     

5.38%, 2/1/2025

     8,413        9,175  

5.88%, 2/15/2026

     23,266        26,072  

5.25%, 6/15/2026

     145        163  

5.38%, 9/1/2026

     10,441        11,652  

5.63%, 9/1/2028

     15,341        17,729  

5.88%, 2/1/2029

     19,680        23,099  

3.50%, 9/1/2030

     3,765        3,919  

Owens & Minor, Inc. 4.50%, 3/31/2029(a)

     6,770        6,862  

Team Health Holdings, Inc. 6.38%, 2/1/2025(a)

     1,018        891  

Tenet Healthcare Corp.

     

4.63%, 7/15/2024

     3,090        3,117  

4.63%, 9/1/2024(a)

     686        698  

7.50%, 4/1/2025(a)

     549        577  

4.88%, 1/1/2026(a)

     14,933        15,269  

6.25%, 2/1/2027(a)

     15,603        16,169  

5.13%, 11/1/2027(a)

     21,034        21,599  

4.63%, 6/15/2028(a)

     5,843        5,962  

4.25%, 6/1/2029(a)

     3,027        2,997  
     

 

 

 
        257,061  
     

 

 

 

Health Care Technology — 0.1%

 

IQVIA, Inc.

     

5.00%, 10/15/2026(a)

     9,503        9,717  

5.00%, 5/15/2027(a)

     7,367        7,588  
     

 

 

 
        17,305  
     

 

 

 

Hotels, Restaurants & Leisure — 1.3%

 

1011778 BC ULC (Canada)

     

5.75%, 4/15/2025(a)

     1,971        2,046  

3.88%, 1/15/2028(a)

     6,554        6,471  

4.00%, 10/15/2030(a)

     4,385        4,190  

Boyne USA, Inc. 4.75%, 5/15/2029(a)

     3,413        3,439  

Caesars Entertainment, Inc.

     

6.25%, 7/1/2025(a)

     517        538  

4.63%, 10/15/2029(a)

     4,163        4,058  

Caesars Resort Collection LLC 5.75%, 7/1/2025(a)

     2,490        2,586  

Carnival Corp.

     

9.88%, 8/1/2027(a)

     4,440        4,998  

4.00%, 8/1/2028(a)

     3,391        3,298  

6.00%, 5/1/2029(a)

     6,464        6,282  

Cedar Fair LP

     

5.50%, 5/1/2025(a)

     6,235        6,439  

5.38%, 4/15/2027

     1,194        1,215  

5.25%, 7/15/2029

     3,600        3,696  

Constellation Merger Sub, Inc. 8.50%, 9/15/2025(a)

     726        690  

Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023(a)

     851        891  

Hilton Domestic Operating Co., Inc.

     

5.38%, 5/1/2025(a)

     3,907        4,041  

5.75%, 5/1/2028(a)

     3,500        3,702  

3.75%, 5/1/2029(a)

     4,090        4,052  

4.88%, 1/15/2030

     1,404        1,474  

4.00%, 5/1/2031(a)

     640        641  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Hilton Grand Vacations Borrower Escrow LLC 5.00%, 6/1/2029(a)

     925        918  

Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024

     459        473  

Hilton Worldwide Finance LLC 4.88%, 4/1/2027

     6,835        7,014  

International Game Technology plc

     

6.50%, 2/15/2025(a)

     1,825        1,980  

4.13%, 4/15/2026(a)

     200        204  

6.25%, 1/15/2027(a)

     3,445        3,789  

KFC Holding Co. 4.75%, 6/1/2027(a)

     1,440        1,480  

Marriott Ownership Resorts, Inc.

     

4.75%, 1/15/2028

     18        18  

4.50%, 6/15/2029(a)

     3,456        3,393  

Merlin Entertainments Ltd. (United Kingdom) 5.75%, 6/15/2026(a)

     3,050        3,149  

MGM Resorts International

     

6.00%, 3/15/2023

     745        776  

5.75%, 6/15/2025

     3,633        3,833  

4.63%, 9/1/2026

     1,954        1,974  

5.50%, 4/15/2027

     1,675        1,745  

Motion Bondco DAC (United Kingdom) 6.63%, 11/15/2027(a)

     500        499  

Royal Caribbean Cruises Ltd.

     

10.88%, 6/1/2023(a)

     1,180        1,283  

11.50%, 6/1/2025(a)

     3,143        3,509  

Scientific Games International, Inc. 5.00%, 10/15/2025(a)

     4,321        4,434  

Six Flags Entertainment Corp.

     

4.88%, 7/31/2024(a)

     10,727        10,807  

5.50%, 4/15/2027(a)

     4,723        4,806  

Six Flags Theme Parks, Inc. 7.00%, 7/1/2025(a)

     3,746        3,942  

Station Casinos LLC 4.50%, 2/15/2028(a)

     2,135        2,135  

Travel + Leisure Co. 6.00%, 4/1/2027(h)

     585        617  

Vail Resorts, Inc. 6.25%, 5/15/2025(a)

     8,647        9,036  

Wynn Las Vegas LLC

     

5.50%, 3/1/2025(a)

     5,314        5,321  

5.25%, 5/15/2027(a)

     670        657  

Wynn Resorts Finance LLC

     

7.75%, 4/15/2025(a)

     1,220        1,271  

5.13%, 10/1/2029(a)

     16,405        16,037  

Yum! Brands, Inc.

     

7.75%, 4/1/2025(a)

     560        590  

4.75%, 1/15/2030(a)

     4,363        4,600  

3.63%, 3/15/2031

     1,968        1,908  

4.63%, 1/31/2032

     2,654        2,713  
     

 

 

 
        169,658  
     

 

 

 

Household Durables — 0.3%

 

CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025(a)

     5,274        5,505  

Lennar Corp.

     

5.88%, 11/15/2024

     117        130  

4.75%, 5/30/2025

     874        959  

5.25%, 6/1/2026

     4,166        4,726  

5.00%, 6/15/2027

     1,100        1,254  

Newell Brands, Inc.

     

4.70%, 4/1/2026(h)

     10,112        10,829  

5.87%, 4/1/2036(h)

     2,780        3,394  

Tempur Sealy International, Inc. 4.00%, 4/15/2029(a)

     9,455        9,386  

Toll Brothers Finance Corp. 3.80%, 11/1/2029

     595        629  
     

 

 

 
        36,812  
     

 

 

 

Household Products — 0.4%

 

Central Garden & Pet Co.

     

5.13%, 2/1/2028

     8,220        8,534  

4.13%, 10/15/2030

     5,745        5,741  

Energizer Holdings, Inc.

     

4.75%, 6/15/2028(a)

     8,858        8,735  

4.38%, 3/31/2029(a)

     11,389        10,806  

Spectrum Brands, Inc.

     

5.75%, 7/15/2025

     1,474        1,500  

5.00%, 10/1/2029(a)

     7,976        8,395  

5.50%, 7/15/2030(a)

     3,764        4,010  

3.88%, 3/15/2031(a)

     3,105        2,981  
     

 

 

 
        50,702  
     

 

 

 

Independent Power and Renewable Electricity Producers — 0.1%

 

Calpine Corp.

     

5.25%, 6/1/2026(a)

     10,187        10,421  

4.50%, 2/15/2028(a)

     815        811  

4.63%, 2/1/2029(a)

     1,000        958  

5.00%, 2/1/2031(a)

     1,000        962  

Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029(f)

     6,105        6,029  
     

 

 

 
        19,181  
     

 

 

 

Insurance — 0.0%(c)

 

Massachusetts Mutual Life Insurance Co. (ICE LIBOR USD 3 Month + 3.19%), 5.08%, 2/15/2069(a)(e)

     600        766  
     

 

 

 

Internet & Direct Marketing Retail — 0.1%

 

Go Daddy Operating Co. LLC 5.25%, 12/1/2027(a)

     551        571  

Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026(a)

     8,508        8,536  
     

 

 

 
        9,107  
     

 

 

 

IT Services — 0.2%

 

Exela Intermediate LLC 10.00%, 7/15/2023(a)

     998        808  

Gartner, Inc.

     

4.50%, 7/1/2028(a)

     11,528        11,981  

3.75%, 10/1/2030(a)

     5,330        5,317  

Presidio Holdings, Inc. 4.88%, 2/1/2027(a)

     2,050        2,073  

Square, Inc.

     

2.75%, 6/1/2026(a)

     4,595        4,573  

3.50%, 6/1/2031(a)

     4,674        4,738  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

StoneCo Ltd. (Brazil) 3.95%, 6/16/2028(a)

     530        442  
     

 

 

 
        29,932  
     

 

 

 

Leisure Products — 0.1%

 

Mattel, Inc.

     

3.15%, 3/15/2023

     765        769  

3.38%, 4/1/2026(a)

     3,678        3,733  

5.88%, 12/15/2027(a)

     5,895        6,278  

3.75%, 4/1/2029(a)

     1,339        1,370  

Vista Outdoor, Inc. 4.50%, 3/15/2029(a)

     6,091        6,076  
     

 

 

 
        18,226  
     

 

 

 

Machinery — 0.1%

 

Colfax Corp. 6.38%, 2/15/2026(a)

     1,143        1,181  

Mueller Water Products, Inc. 4.00%, 6/15/2029(a)

     6,445        6,445  

Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029(a)

     2,072        2,067  

TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027(a)

     3,828        3,893  

Welbilt, Inc. 9.50%, 2/15/2024

     295        302  
     

 

 

 
        13,888  
     

 

 

 

Marine — 0.1%

 

MV24 Capital BV (Brazil)

     

6.75%, 6/1/2034(a)

     4,118        4,201  

6.75%, 6/1/2034(f)

     2,801        2,857  
     

 

 

 
        7,058  
     

 

 

 

Media — 2.9%

 

Altice Financing SA (Luxembourg) 5.75%, 8/15/2029(a)

     4,775        4,548  

AMC Networks, Inc.

     

5.00%, 4/1/2024

     1,086        1,091  

4.75%, 8/1/2025

     1,785        1,817  

Audacy Capital Corp. 6.50%, 5/1/2027(a)

     2,358        2,304  

Clear Channel Outdoor Holdings, Inc.

     

7.75%, 4/15/2028(a)

     4,238        4,417  

7.50%, 6/1/2029(a)

     7,069        7,264  

Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027(a)

     20,820        21,028  

CSC Holdings LLC

     

5.25%, 6/1/2024

     1,168        1,214  

5.50%, 4/15/2027(a)

     2,075        2,130  

5.38%, 2/1/2028(a)

     5,167        5,277  

6.50%, 2/1/2029(a)

     22,020        23,281  

4.13%, 12/1/2030(a)

     715        684  

4.50%, 11/15/2031(a)

     5,619        5,436  

Diamond Sports Group LLC 5.38%, 8/15/2026(a)

     4,545        2,011  

DIRECTV Holdings LLC 5.88%, 8/15/2027(a)

     5,896        5,999  

DISH DBS Corp.

     

5.88%, 7/15/2022

     1,830        1,853  

5.00%, 3/15/2023

     4,714        4,789  

5.88%, 11/15/2024

     52,650        53,253  

7.75%, 7/1/2026

     10,511        10,800  

5.25%, 12/1/2026(a)

     17,330        17,164  

5.75%, 12/1/2028(a)

     3,365        3,316  

GCI LLC 4.75%, 10/15/2028(a)

     4,586        4,694  

Gray Escrow II, Inc. 5.38%, 11/15/2031(a)

     4,001        4,010  

Gray Television, Inc.

     

5.88%, 7/15/2026(a)

     1,237        1,274  

7.00%, 5/15/2027(a)

     4,017        4,257  

4.75%, 10/15/2030(a)

     3,405        3,282  

iHeartCommunications, Inc.

     

6.38%, 5/1/2026

     6,843        7,083  

8.38%, 5/1/2027

     4,059        4,271  

5.25%, 8/15/2027(a)

     12,576        12,762  

4.75%, 1/15/2028(a)

     597        593  

Lamar Media Corp.

     

3.75%, 2/15/2028

     710        710  

4.88%, 1/15/2029

     3,591        3,726  

4.00%, 2/15/2030

     2,500        2,500  

3.63%, 1/15/2031

     410        392  

Liberty Interactive LLC 8.25%, 2/1/2030

     275        294  

Meredith Corp.

     

6.50%, 7/1/2025

     1,000        1,064  

6.88%, 2/1/2026

     6,710        6,940  

Midas OpCo Holdings LLC 5.63%, 8/15/2029(a)

     5,680        5,723  

Midcontinent Communications 5.38%, 8/15/2027(a)

     1,031        1,062  

News Corp. 3.88%, 5/15/2029(a)

     6,237        6,129  

Nexstar Media, Inc.

     

5.63%, 7/15/2027(a)

     13,248        13,745  

4.75%, 11/1/2028(a)

     14,046        14,026  

Outfront Media Capital LLC 5.00%, 8/15/2027(a)

     4,353        4,388  

Quebecor Media, Inc. (Canada) 5.75%, 1/15/2023

     220        229  

Scripps Escrow II, Inc. 3.88%, 1/15/2029(a)

     3,185        3,165  

Sinclair Television Group, Inc.

     

5.88%, 3/15/2026(a)

     184        185  

5.13%, 2/15/2027(a)

     3,985        3,690  

4.13%, 12/1/2030(a)

     4,925        4,469  

Sirius XM Radio, Inc.

     

5.00%, 8/1/2027(a)

     24,300        25,022  

4.00%, 7/15/2028(a)

     8,155        8,063  

5.50%, 7/1/2029(a)

     8,974        9,519  

4.13%, 7/1/2030(a)

     3,226        3,152  

Summer BC Bidco B LLC 5.50%, 10/31/2026(a)

     1,703        1,716  

TEGNA, Inc.

     

4.63%, 3/15/2028

     1,360        1,355  

5.00%, 9/15/2029

     2,757        2,764  

Telenet Finance Luxembourg Notes SARL (Belgium) 5.50%, 3/1/2028(a)

     2,400        2,473  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value ($000)  

Univision Communications, Inc.

     

5.13%, 2/15/2025(a)

     280        284  

6.63%, 6/1/2027(a)

     1,580        1,690  

4.50%, 5/1/2029(a)

     4,889        4,886  

UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031(a)

     3,685        3,722  

UPC Holding BV (Netherlands)

     

5.50%, 1/15/2028(a)

     2,900        2,969  

ViacomCBS, Inc.

     

(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057(e)

     530        527  

(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057(e)

     1,712        1,937  

Videotron Ltd. (Canada)

     

5.38%, 6/15/2024(a)

     190        203  

5.13%, 4/15/2027(a)

     9,212        9,453  

3.63%, 6/15/2029(a)

     3,146        3,150  

Ziggo Bond Co. BV (Netherlands) 6.00%, 1/15/2027(a)

     1,050        1,085  

Ziggo BV (Netherlands)

     

5.50%, 1/15/2027(a)

     2,063        2,123  

4.88%, 1/15/2030(a)

     2,750        2,783  
     

 

 

 
        383,215  
     

 

 

 

Metals & Mining — 0.7%

 

Alcoa Nederland Holding BV

     

5.50%, 12/15/2027(a)

     2,790        2,960  

6.13%, 5/15/2028(a)

     3,490        3,717  

Allegheny Technologies, Inc. 5.88%, 12/1/2027

     3,085        3,212  

ArcelorMittal SA (Luxembourg) 7.00%, 10/15/2039(h)

     200        273  

Arconic Corp.

     

6.00%, 5/15/2025(a)

     4,435        4,623  

6.13%, 2/15/2028(a)

     7,004        7,283  

Big River Steel LLC 6.63%, 1/31/2029(a)

     2,951        3,165  

Cleveland-Cliffs, Inc.

     

6.75%, 3/15/2026(a)

     3,498        3,695  

4.63%, 3/1/2029(a)

     3,797        3,822  

4.88%, 3/1/2031(a)

     3,725        3,753  

Commercial Metals Co.

     

4.88%, 5/15/2023

     40        41  

5.38%, 7/15/2027

     359        371  

Constellium SE

     

5.88%, 2/15/2026(f)

     2,150        2,174  

5.88%, 2/15/2026(a)

     588        595  

5.63%, 6/15/2028(a)

     700        730  

3.75%, 4/15/2029(a)

     1,000        950  

CSN Inova Ventures (Brazil) 6.75%, 1/28/2028(f)

     4,300        4,312  

FMG Resources August 2006 Pty. Ltd. (Australia)

     

4.50%, 9/15/2027(a)

     2,004        2,077  

4.38%, 4/1/2031(a)

     4,295        4,351  

Freeport-McMoRan, Inc.

     

4.55%, 11/14/2024

     1,000        1,070  

5.00%, 9/1/2027

     2,612        2,716  

4.13%, 3/1/2028

     2,688        2,762  

4.38%, 8/1/2028

     2,840        2,961  

4.25%, 3/1/2030

     1,930        2,001  

5.40%, 11/14/2034

     98        117  

5.45%, 3/15/2043

     2,072        2,554  

Glencore Finance Canada Ltd. (Switzerland) 6.00%, 11/15/2041(a)

     685        913  

Indonesia Asahan Aluminium Persero PT (Indonesia) 6.76%, 11/15/2048(f)

     7,500        9,562  

Kaiser Aluminum Corp.

     

4.63%, 3/1/2028(a)

     4,015        3,932  

4.50%, 6/1/2031(a)

     1,220        1,185  

Nexa Resources SA (Brazil) 5.38%, 5/4/2027(f)

     2,900        3,011  

Novelis Corp.

     

3.25%, 11/15/2026(a)

     2,786        2,784  

4.75%, 1/30/2030(a)

     3,245        3,276  

3.88%, 8/15/2031(a)

     2,935        2,832  
     

 

 

 
        93,780  
     

 

 

 

Mortgage Real Estate Investment Trusts (REITs) — 0.5%

 

Arbor Realty Trust, Inc.

     

REIT, 5.00%, 4/30/2026

     15,000        15,052  

Series QIB, REIT, 4.50%, 9/1/2026(a)

     14,500        14,532  

Series QIB, REIT, 4.50%, 3/15/2027(a)

     20,000        19,626  

ReadyCap Holdings LLC Series QIB, REIT, 4.50%, 10/20/2026(a)

     20,000        19,898  
     

 

 

 
        69,108  
     

 

 

 

Multiline Retail — 0.1%

 

NMG Holding Co., Inc. 7.13%, 4/1/2026(a)

     12,755        13,340  
     

 

 

 

Multi-Utilities — 0.1%

 

Empresas Publicas de Medellin ESP (Colombia) 4.25%, 7/18/2029(f)

     1,000        946  

Sempra Energy (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025(d)(e)(g)

     9,803        10,367  
     

 

 

 
        11,313  
     

 

 

 

Oil, Gas & Consumable Fuels — 3.6%

 

AI Candelaria Spain SLU (Colombia)

     

7.50%, 12/15/2028(f)

     2,304        2,428  

5.75%, 6/15/2033(a)

     5,974        5,705  

Antero Midstream Partners LP

     

7.88%, 5/15/2026(a)

     775        830  

5.75%, 3/1/2027(a)

     4,374        4,398  

5.75%, 1/15/2028(a)

     1,369        1,407  

5.38%, 6/15/2029(a)

     7,310        7,390  

Antero Resources Corp.

     

5.00%, 3/1/2025

     1,000        1,005  

8.38%, 7/15/2026(a)

     1,801        1,997  

7.63%, 2/1/2029(a)

     2,145        2,352  

Apache Corp.

     

4.63%, 11/15/2025

     2,304        2,436  

4.88%, 11/15/2027

     1,340        1,427  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value ($000)  

4.38%, 10/15/2028

     900        949  

Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026(a)

     3,495        3,547  

Blue Racer Midstream LLC 7.63%, 12/15/2025(a)

     3,390        3,568  

BP Capital Markets plc (United Kingdom)

     

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%),
4.38%, 6/22/2025(d)(e)(g)

     17,690        18,486  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%),
4.88%, 3/22/2030(d)(e)(g)

     7,880        8,481  

Buckeye Partners LP

     

4.15%, 7/1/2023

     2,211        2,261  

4.13%, 3/1/2025(a)

     1,931        1,943  

3.95%, 12/1/2026

     5,740        5,630  

4.13%, 12/1/2027

     4,490        4,433  

4.50%, 3/1/2028(a)

     1,972        1,913  

5.60%, 10/15/2044

     900        862  

California Resources Corp. 7.13%, 2/1/2026(a)

     5,534        5,703  

Callon Petroleum Co.

     

6.13%, 10/1/2024

     294        283  

6.38%, 7/1/2026

     159        148  

Cheniere Energy Partners LP

     

4.50%, 10/1/2029

     5,105        5,367  

4.00%, 3/1/2031(a)

     1,871        1,908  

3.25%, 1/31/2032(a)

     2,249        2,184  

Cheniere Energy, Inc. 4.63%, 10/15/2028

     9,310        9,589  

Comstock Resources, Inc.

     

7.50%, 5/15/2025(a)

     3,967        4,066  

6.75%, 3/1/2029(a)

     4,676        4,863  

5.88%, 1/15/2030(a)

     2,345        2,349  

Continental Resources, Inc.

     

4.50%, 4/15/2023

     1,000        1,033  

5.75%, 1/15/2031(a)

     1,513        1,762  

Crestwood Midstream Partners LP

     

5.75%, 4/1/2025

     1,329        1,333  

5.63%, 5/1/2027(a)

     4,235        4,235  

DCP Midstream LP Series A, (ICE LIBOR USD 3 Month + 5.15%), 7.37%, 12/15/2022(d)(e)(g)

     235        233  

DCP Midstream Operating LP

     

3.88%, 3/15/2023

     350        356  

5.38%, 7/15/2025

     4,290        4,577  

5.63%, 7/15/2027

     2,125        2,373  

6.75%, 9/15/2037(a)

     124        164  

5.60%, 4/1/2044

     25        30  

Devon Energy Corp.

     

5.88%, 6/15/2028(a)

     648        707  

4.50%, 1/15/2030(a)

     618        664  

DT Midstream, Inc.

     

4.13%, 6/15/2029(a)

     5,899        5,862  

4.38%, 6/15/2031(a)

     4,805        4,775  

Ecopetrol SA (Colombia) 5.88%, 5/28/2045

     5,145        4,753  

Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028(a)

     7,556        7,613  

Energean Israel Finance Ltd. (Israel)

     

4.50%, 3/30/2024(f)

     3,732        3,727  

4.88%, 3/30/2026(f)

     2,711        2,667  

Energy Transfer LP

     

Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028(d)(e)(g)

     223        208  

Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030(d)(e)(g)

     4,442        4,540  

5.35%, 5/15/2045

     740        859  

5.30%, 4/15/2047

     430        497  

EnLink Midstream Partners LP

     

Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022(d)(e)(g)

     460        363  

4.40%, 4/1/2024

     374        385  

4.15%, 6/1/2025

     4,417        4,521  

4.85%, 7/15/2026

     1,340        1,374  

EQM Midstream Partners LP

     

4.75%, 7/15/2023

     689        711  

6.00%, 7/1/2025(a)

     6,329        6,727  

6.50%, 7/1/2027(a)

     1,665        1,798  

5.50%, 7/15/2028

     2,115        2,242  

4.50%, 1/15/2029(a)

     2,094        2,078  

4.75%, 1/15/2031(a)

     6,133        6,194  

EQT Corp.

     

3.13%, 5/15/2026(a)

     1,594        1,593  

3.90%, 10/1/2027

     3,500        3,649  

5.00%, 1/15/2029

     1,000        1,095  

3.63%, 5/15/2031(a)

     1,305        1,330  

Genesis Energy LP

     

6.50%, 10/1/2025

     515        503  

6.25%, 5/15/2026

     1,675        1,613  

8.00%, 1/15/2027

     2,853        2,829  

7.75%, 2/1/2028

     2,665        2,605  

Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025(f)

     1,013        1,029  

Gulfport Energy Operating Corp.

     

6.63%, 5/1/2023‡(i)

     3,075        146  

6.00%, 10/15/2024‡(i)

     6,189        294  

6.38%, 1/15/2026‡(i)

     27        1  

8.00%, 5/17/2026(a)

     2,745        2,951  

Hess Midstream Operations LP

     

5.63%, 2/15/2026(a)

     7,710        7,884  

5.13%, 6/15/2028(a)

     3,610        3,691  

Holly Energy Partners LP 5.00%, 2/1/2028(a)

     75        75  

Leviathan Bond Ltd. (Israel)

     

6.13%, 6/30/2025(f)

     2,490        2,614  

6.50%, 6/30/2027(f)

     5,000        5,248  

6.75%, 6/30/2030(f)

     1,553        1,617  

Medco Bell Pte. Ltd. (Indonesia)

     


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

6.38%, 1/30/2027(f)

     3,800        3,639  

Medco Platinum Road Pte. Ltd. (Indonesia) 6.75%, 1/30/2025(f)

     2,900        2,930  

MEG Energy Corp. (Canada)

     

6.50%, 1/15/2025(a)

     4,751        4,805  

7.13%, 2/1/2027(a)

     2,460        2,515  

MPLX LP 4.50%, 4/15/2038

     750        832  

Murphy Oil Corp. 5.75%, 8/15/2025

     2,680        2,724  

NAK Naftogaz Ukraine via Kondor Finance PLC (Ukraine) 7.63%, 11/8/2026(f)

     4,700        4,171  

NGL Energy Operating LLC 7.50%, 2/1/2026(a)

     3,882        3,854  

NuStar Logistics LP

     

5.75%, 10/1/2025

     1,832        1,935  

6.00%, 6/1/2026

     2,278        2,412  

5.63%, 4/28/2027

     3,692        3,770  

6.38%, 10/1/2030

     1,799        1,916  

Oasis Midstream Partners LP 8.00%, 4/1/2029(a)

     3,340        3,557  

Occidental Petroleum Corp.

     

3.50%, 6/15/2025

     2,915        2,924  

8.00%, 7/15/2025

     2,719        3,095  

5.88%, 9/1/2025

     3,825        4,111  

5.50%, 12/1/2025

     1,000        1,069  

5.55%, 3/15/2026

     2,919        3,121  

3.40%, 4/15/2026

     12,400        12,282  

3.20%, 8/15/2026

     960        943  

3.00%, 2/15/2027

     1,348        1,303  

8.50%, 7/15/2027

     2,762        3,352  

6.38%, 9/1/2028

     2,225        2,537  

8.88%, 7/15/2030

     3,112        4,086  

6.63%, 9/1/2030

     1,225        1,470  

6.13%, 1/1/2031

     2,412        2,811  

4.50%, 7/15/2044

     900        900  

Oil and Gas Holding Co. BSCC (The) (Bahrain)

     

7.63%, 11/7/2024(f)

     1,400        1,505  

8.38%, 11/7/2028(f)

     3,200        3,624  

PBF Holding Co. LLC 6.00%, 2/15/2028

     3,001        1,790  

Peru LNG Srl (Peru) 5.38%, 3/22/2030(f)

     14,000        11,925  

Petrobras Global Finance BV (Brazil)

     

5.50%, 6/10/2051

     4,351        3,838  

6.85%, 6/5/2115

     1,000        965  

Petroleos del Peru SA (Peru) 5.63%, 6/19/2047(a)

     5,460        5,306  

Petroleos Mexicanos (Mexico)

     

6.88%, 8/4/2026

     7,100        7,495  

5.35%, 2/12/2028

     7,800        7,462  

6.38%, 1/23/2045

     5,548        4,417  

7.69%, 1/23/2050

     5,300        4,756  

6.95%, 1/28/2060

     22,590        18,467  

Plains All American Pipeline LP Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022(d)(e)(g)

     475        401  

Range Resources Corp.

     

5.00%, 3/15/2023

     5,295        5,368  

9.25%, 2/1/2026

     50        54  

8.25%, 1/15/2029(a)

     3,158        3,481  

SM Energy Co.

     

6.75%, 9/15/2026

     179        179  

6.63%, 1/15/2027

     2,903        2,918  

Southwestern Energy Co.

     

6.45%, 1/23/2025(h)

     2,265        2,458  

7.75%, 10/1/2027

     160        171  

8.38%, 9/15/2028

     285        314  

5.38%, 3/15/2030

     5,936        6,181  

Sunoco LP

     

6.00%, 4/15/2027

     1,250        1,295  

4.50%, 5/15/2029

     2,169        2,140  

Tallgrass Energy Partners LP

     

7.50%, 10/1/2025(a)

     4,955        5,251  

6.00%, 3/1/2027(a)

     2,600        2,665  

5.50%, 1/15/2028(a)

     1,699        1,659  

6.00%, 12/31/2030(a)

     700        692  

6.00%, 9/1/2031(a)

     2,255        2,182  

Targa Resources Partners LP

     

5.88%, 4/15/2026

     11,960        12,393  

5.38%, 2/1/2027

     3,765        3,850  

6.50%, 7/15/2027

     4,596        4,889  

5.00%, 1/15/2028

     4,425        4,575  

6.88%, 1/15/2029

     2,240        2,481  

5.50%, 3/1/2030

     4,190        4,557  

4.88%, 2/1/2031

     2,025        2,172  

4.00%, 1/15/2032(a)

     1,634        1,688  

TerraForm Power Operating LLC

     

4.25%, 1/31/2023(a)

     255        257  

5.00%, 1/31/2028(a)

     172        179  

Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079(e)

     6,000        6,360  

Trinidad Petroleum Holdings Ltd. (Trinidad and Tobago) 9.75%, 6/15/2026(a)

     4,100        4,470  

Uzbekneftegaz JSC (Uzbekistan) 4.75%, 11/16/2028(a)

     2,500        2,397  

Vine Energy Holdings LLC 6.75%, 4/15/2029(a)

     4,787        5,098  

Western Midstream Operating LP 4.65%, 7/1/2026

     572        611  
     

 

 

 
        488,036  
     

 

 

 

Paper & Forest Products — 0.0%(c)

     

Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047(f)

     3,000        3,663  
     

 

 

 

Personal Products — 0.2%

     

Edgewell Personal Care Co.

     

5.50%, 6/1/2028(a)

     12,635        13,172  

4.13%, 4/1/2029(a)

     2,698        2,662  

Natura Cosmeticos SA (Brazil) 4.13%, 5/3/2028(a)

     5,084        4,823  

Prestige Brands, Inc.

     


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

5.13%, 1/15/2028(a)

     4,088        4,242  

3.75%, 4/1/2031(a)

     900        862  
     

 

 

 
        25,761  
     

 

 

 

Pharmaceuticals — 1.2%

     

Bausch Health Americas, Inc.

     

9.25%, 4/1/2026(a)

     23,091        24,188  

8.50%, 1/31/2027(a)

     18,391        18,913  

Bausch Health Cos., Inc.

     

6.13%, 4/15/2025(a)

     6,507        6,572  

5.50%, 11/1/2025(a)

     15,180        15,343  

9.00%, 12/15/2025(a)

     13,624        14,219  

5.75%, 8/15/2027(a)

     6,600        6,723  

7.00%, 1/15/2028(a)

     3,590        3,464  

5.00%, 1/30/2028(a)

     9,184        8,167  

4.88%, 6/1/2028(a)

     4,978        4,903  

5.00%, 2/15/2029(a)

     2,216        1,900  

7.25%, 5/30/2029(a)

     256        243  

5.25%, 1/30/2030(a)

     2,673        2,292  

5.25%, 2/15/2031(a)

     1,777        1,525  

Catalent Pharma Solutions, Inc.

     

5.00%, 7/15/2027(a)

     980        1,013  

3.13%, 2/15/2029(a)

     1,440        1,373  

Elanco Animal Health, Inc. 5.90%, 8/28/2028(h)

     8,125        9,294  

Endo Dac

     

5.88%, 10/15/2024(a)

     700        684  

9.50%, 7/31/2027(a)

     135        136  

6.00%, 6/30/2028(a)

     171        131  

Endo Luxembourg Finance Co. I SARL 6.13%, 4/1/2029(a)

     1,520        1,489  

Jazz Securities DAC 4.38%, 1/15/2029(a)

     11,116        11,325  

Mallinckrodt International Finance SA

     

5.63%, 10/15/2023(a)(i)

     445        253  

5.50%, 4/15/2025(a)(i)

     225        133  

Organon & Co.

     

4.13%, 4/30/2028(a)

     16,786        16,747  

5.13%, 4/30/2031(a)

     3,905        3,988  

Par Pharmaceutical, Inc. 7.50%, 4/1/2027(a)

     7,330        7,390  

Teva Pharmaceutical Finance Netherlands III BV (Israel) 3.15%, 10/1/2026

     2,600        2,431  
     

 

 

 
        164,839  
     

 

 

 

Professional Services — 0.0%(c)

     

Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026(a)

     169        175  
     

 

 

 

Real Estate Management & Development — 0.0%(c)

     

RKPF Overseas Ltd. (China)

     

6.00%, 9/4/2025(f)

     3,600        3,258  

5.20%, 1/12/2026(f)

     1,900        1,663  
     

 

 

 
        4,921  
     

 

 

 

Road & Rail — 0.4%

     

Ashtead Capital, Inc. (United Kingdom)

     

4.38%, 8/15/2027(a)

     500        520  

4.00%, 5/1/2028(a)

     2,630        2,747  

Avis Budget Car Rental LLC

     

5.75%, 7/15/2027(a)

     5,636        5,831  

4.75%, 4/1/2028(a)

     5,410        5,498  

5.38%, 3/1/2029(a)

     7,175        7,342  

ESC GCBREGS EXIDE TECH

     

7.13%, 8/1/2026(i)

     2,755        179  

6.00%, 1/15/2028(i)

     1,450        94  

First Student Bidco, Inc. 4.00%, 7/31/2029(a)

     1,655        1,573  

Hertz Corp. (The)

     

6.25%, 10/15/2022(i)

     185        4  

5.50%, 10/15/2024(i)

     5,875        132  

4.63%, 12/1/2026(a)

     1,403        1,383  

5.00%, 12/1/2029(a)

     2,203        2,159  

NESCO Holdings II, Inc. 5.50%, 4/15/2029(a)

     2,650        2,689  

Prumo Participacoes e Investimentos S/A (Brazil)

     

7.50%, 12/31/2031(f)

     5,661        6,130  

7.50%, 12/31/2031(a)

     1,219        1,320  

Uber Technologies, Inc.

     

7.50%, 5/15/2025(a)

     1,900        2,002  

7.50%, 9/15/2027(a)

     4,055        4,400  

4.50%, 8/15/2029(a)

     5,404        5,350  
     

 

 

 
        49,353  
     

 

 

 

Semiconductors & Semiconductor Equipment — 0.2%

     

Amkor Technology, Inc. 6.63%, 9/15/2027(a)

     788        834  

Broadcom Corp. 3.50%, 1/15/2028

     870        930  

Entegris, Inc.

     

4.38%, 4/15/2028(a)

     6,018        6,130  

3.63%, 5/1/2029(a)

     2,046        2,031  

Microchip Technology, Inc. 4.25%, 9/1/2025

     6,475        6,726  

ON Semiconductor Corp. 3.88%, 9/1/2028(a)

     12,231        12,445  
     

 

 

 
        29,096  
     

 

 

 

Software — 0.5%

     

ACI Worldwide, Inc. 5.75%, 8/15/2026(a)

     605        631  

Ascend Learning LLC 6.88%, 8/1/2025(a)

     1,850        1,883  

CDK Global, Inc.

     

4.88%, 6/1/2027

     2,890        2,977  

5.25%, 5/15/2029(a)

     2,234        2,362  

Clarivate Science Holdings Corp.

     

3.88%, 7/1/2028(a)

     5,684        5,588  

4.88%, 7/1/2029(a)

     5,808        5,687  

NCR Corp.

     

5.75%, 9/1/2027(a)

     5,255        5,446  

5.00%, 10/1/2028(a)

     4,909        4,958  

5.13%, 4/15/2029(a)

     7,797        7,880  

6.13%, 9/1/2029(a)

     4,566        4,840  

5.25%, 10/1/2030(a)

     951        964  

Nuance Communications, Inc. 5.63%, 12/15/2026

     8,974        9,245  

Open Text Corp. (Canada)

     

5.88%, 6/1/2026(a)

     508        523  

3.88%, 2/15/2028(a)

     1,235        1,223  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

SS&C Technologies, Inc. 5.50%, 9/30/2027(a)

     11,485        11,937  
     

 

 

 
        66,144  
     

 

 

 

Specialty Retail — 0.7%

 

Asbury Automotive Group, Inc.

 

4.50%, 3/1/2028

     1,665        1,669  

4.63%, 11/15/2029(a)

     2,221        2,235  

4.75%, 3/1/2030

     2,672        2,678  

Bath & Body Works, Inc.

 

9.38%, 7/1/2025(a)

     843        1,024  

5.25%, 2/1/2028

     57        61  

7.50%, 6/15/2029

     3,254        3,626  

6.75%, 7/1/2036

     4,560        5,449  

eG Global Finance plc (United Kingdom) 6.75%, 2/7/2025(a)

     2,500        2,519  

Group 1 Automotive, Inc. 4.00%, 8/15/2028(a)

     4,120        4,076  

Lithia Motors, Inc.

 

4.63%, 12/15/2027(a)

     2,840        2,961  

3.88%, 6/1/2029(a)

     5,462        5,526  

Penske Automotive Group, Inc. 3.75%, 6/15/2029

     5,180        5,051  

PetSmart, Inc.

 

4.75%, 2/15/2028(a)

     16,478        16,678  

7.75%, 2/15/2029(a)

     8,482        9,066  

SRS Distribution, Inc.

 

4.63%, 7/1/2028(a)

     7,161        7,177  

6.13%, 7/1/2029(a)

     3,420        3,429  

Staples, Inc.

 

7.50%, 4/15/2026(a)

     10,613        10,537  

10.75%, 4/15/2027(a)

     4,249        3,867  
     

 

 

 
        87,629  
     

 

 

 

Technology Hardware, Storage & Peripherals — 0.1%

     

Dell International LLC 6.02%, 6/15/2026

     4,170        4,854  

Seagate HDD Cayman

 

3.13%, 7/15/2029(a)

     2,560        2,437  

4.13%, 1/15/2031

     2,515        2,534  

Western Digital Corp. 4.75%, 2/15/2026

     3,068        3,313  
     

 

 

 
        13,138  
     

 

 

 

Textiles, Apparel & Luxury Goods — 0.0%(c)

     

Hanesbrands, Inc.

 

4.63%, 5/15/2024(a)

     35        36  

4.88%, 5/15/2026(a)

     125        134  

William Carter Co. (The) 5.63%, 3/15/2027(a)

     3,640        3,747  
     

 

 

 
        3,917  
     

 

 

 

Thrifts & Mortgage Finance — 0.1%

     

Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028(a)

     2,050        2,042  

Rocket Mortgage LLC

 

2.88%, 10/15/2026(a)

     3,029        2,951  

3.63%, 3/1/2029(a)

     4,063        3,973  

3.88%, 3/1/2031(a)

     2,794        2,758  

4.00%, 10/15/2033(a)

     1,032        1,011  
     

 

 

 
        12,735  
     

 

 

 

Tobacco — 0.1%

     

BAT Capital Corp. (United Kingdom)

 

3.46%, 9/6/2029

     11,930        12,376  

4.39%, 8/15/2037

     1,230        1,306  

4.54%, 8/15/2047

     910        954  

Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045

     1,360        1,652  
     

 

 

 
        16,288  
     

 

 

 

Trading Companies & Distributors — 0.5%

     

Aviation Capital Group LLC 5.50%, 12/15/2024(a)

     2,710        2,984  

Herc Holdings, Inc. 5.50%, 7/15/2027(a)

     8,713        9,015  

Imola Merger Corp. 4.75%, 5/15/2029(a)

     18,593        18,701  

United Rentals North America, Inc.

 

5.50%, 5/15/2027

     9,442        9,808  

3.88%, 11/15/2027

     885        918  

4.88%, 1/15/2028

     9,725        10,187  

3.88%, 2/15/2031

     2,067        2,074  

WESCO Distribution, Inc.

 

7.13%, 6/15/2025(a)

     8,854        9,352  

7.25%, 6/15/2028(a)

     5,826        6,336  
     

 

 

 
        69,375  
     

 

 

 

Wireless Telecommunication Services — 1.0%

     

Hughes Satellite Systems Corp. 6.63%, 8/1/2026

     6,042        6,707  

Kenbourne Invest SA (Chile) 4.70%, 1/22/2028(f)

     5,500        5,369  

Millicom International Cellular SA (Colombia)

 

5.13%, 1/15/2028(f)

     3,240        3,339  

6.25%, 3/25/2029(a)

     900        954  

Oztel Holdings SPC Ltd. (Oman) 6.63%, 4/24/2028(f)

     1,700        1,832  

Sprint Corp.

 

7.88%, 9/15/2023

     8,107        8,908  

7.13%, 6/15/2024

     7,672        8,597  

7.63%, 2/15/2025

     10,459        11,976  

7.63%, 3/1/2026

     28,740        33,948  

T-Mobile USA, Inc.

 

3.50%, 4/15/2025

     1,216        1,286  

2.25%, 2/15/2026

     1,640        1,620  

3.75%, 4/15/2027

     1,995        2,145  

4.75%, 2/1/2028

     12,176        12,721  

3.88%, 4/15/2030

     1,995        2,168  

United States Cellular Corp. 6.70%, 12/15/2033

     1,708        2,077  

Vodafone Group plc (United Kingdom)

     

(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079(e)

     3,300        3,972  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 3.25%, 6/4/2081(e)

     5,135        5,029  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081(e)

     16,225        16,007  
     

 

 

 
        128,655  
     

 

 

 
TOTAL CORPORATE BONDS
(Cost $4,500,862)

 

     4,474,294  
  

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES -30.0%

 

20 Times Square Trust Series 2018-20TS, Class F, 3.20%, 5/15/2035‡(a)(j)

     600        567  

AREIT Trust Series 2021-CRE5, Class D, 2.74%, 8/17/2026(a)(j)

     12,500        12,515  

BAMLL Re-REMIC Trust Series 2013-FRR3, Class A, PO, 6/26/2023(a)

     7,500        6,981  

Banc of America Commercial Mortgage Trust Series 2007-5, Class AJ, 6.02%, 2/10/2051(j)

     188        192  

Series 2007-4, Class H, 6.07%, 2/10/2051‡(a)(j)

     2,723        2,738  

Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class D, 2.44%, 3/15/2036‡(a)(j)

     1,000        993  

BANK

 

  

Series 2019-BN16, Class D, 3.00%, 2/15/2052‡(a)

     8,795        8,114  

Series 2019-BN16, Class F, 3.85%, 2/15/2052‡(a)(j)

     3,000        2,314  

Series 2019-BN17, Class D, 3.00%, 4/15/2052‡(a)

     2,800        2,616  

Series 2019-BN17, Class E, 3.00%, 4/15/2052‡(a)

     2,500        2,186  

Series 2019-BN21, Class XA, IO, 0.99%, 10/17/2052(j)

     125,202        7,179  

Series 2019-BN21, Class E, 2.50%, 10/17/2052‡(a)

     8,600        7,204  

Series 2019-BN21, Class F, 2.68%, 10/17/2052‡(a)

     4,841        3,561  

Series 2019-BN23, Class XA, IO, 0.81%, 12/15/2052(j)

     38,862        1,924  

Series 2019-BN23, Class E, 2.50%, 12/15/2052‡(a)

     7,560        6,323  

Series 2019-BN23, Class F, 2.75%, 12/15/2052‡(a)

     3,000        2,200  

Series 2020-BN29, Class D, 2.50%, 11/15/2053‡(a)

     5,000        4,376  

Series 2020-BN29, Class E, 2.50%, 11/15/2053‡(a)

     3,500        2,941  

Series 2020-BN30, Class F, 2.00%, 12/15/2053‡(a)(j)

     5,000        3,438  

Series 2020-BN30, Class D, 2.50%, 12/15/2053‡(a)(j)

     5,231        4,751  

Series 2020-BN30, Class E, 2.50%, 12/15/2053‡(a)(j)

     4,145        3,565  

Series 2017-BNK9, Class D, 2.80%, 11/15/2054‡(a)

     2,149        1,884  

Series 2017-BNK5, Class D, 3.08%, 6/15/2060‡(a)(j)

     1,000        909  

Series 2017-BNK5, Class C, 4.40%, 6/15/2060‡(j)

     2,050        2,168  

Series 2018-BN14, Class XB, IO, 0.18%, 9/15/2060(j)

     132,263        854  

Series 2017-BNK7, Class D, 2.71%, 9/15/2060‡(a)

     3,000        2,637  

Series 2018-BN14, Class F, 3.94%, 9/15/2060‡(a)

     1,000        687  

Series 2018-BN10, Class D, 2.60%, 2/15/2061‡(a)

     1,500        1,301  

Series 2018-BN12, Class D, 3.00%, 5/15/2061‡(a)

     1,250        1,074  

Series 2019-BN19, Class XA, IO, 1.09%, 8/15/2061(j)

     22,134        1,382  

Series 2018-BN13, Class D, 3.00%, 8/15/2061‡(a)

     2,000        1,786  

Series 2018-BN15, Class E, 3.00%, 11/15/2061‡(a)

     2,000        1,637  

Series 2019-BN18, Class E, 3.00%, 5/15/2062‡(a)

     2,150        1,841  

Series 2019-BN18, Class F, 3.33%, 5/15/2062‡(a)

     3,000        2,292  

Series 2019-BN20, Class XA, IO, 0.96%, 9/15/2062(j)

     54,911        3,063  

Series 2019-BN20, Class D, 2.50%, 9/15/2062‡(a)

     6,721        5,886  

Series 2019-BN20, Class E, 2.50%, 9/15/2062‡(a)

     8,600        7,105  

Series 2019-BN24, Class XA, IO, 0.76%, 11/15/2062(j)

     100,114        4,663  

Series 2019-BN22, Class D, 2.50%, 11/15/2062‡(a)

     4,250        3,885  

Series 2019-BN24, Class D, 2.50%, 11/15/2062‡(a)

     7,380        6,269  

Series 2020-BN25, Class XA, IO, 1.00%, 1/15/2063(j)

     81,265        5,002  

Series 2020-BN25, Class D, 2.50%, 1/15/2063‡(a)

     14,250        12,721  

Series 2020-BN25, Class E, 2.50%, 1/15/2063‡(a)

     4,250        3,583  

Series 2020-BN26, Class D, 2.50%, 3/15/2063‡(a)

     3,250        2,905  

Series 2020-BN26, Class E, 2.50%, 3/15/2063‡(a)

     5,520        4,448  

Series 2021-BN34, Class XA, IO, 1.09%, 6/15/2063(j)

     173,849        12,982  

Series 2021-BN33, Class XA, IO, 1.18%, 5/15/2064(j)

     134,994        10,484  

Series 2021-BN33, Class D, 2.50%, 5/15/2064‡(a)

     3,700        3,284  

Series 2021-BN33, Class E, 2.50%, 5/15/2064‡(a)

     3,850        3,248  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2021-BN33, Class C, 3.30%, 5/15/2064‡

     7,609        7,788  

Series 2021-BN35, Class XB, IO, 0.70%, 6/15/2064(j)

     40,000        2,156  

Series 2021-BN35, Class XA, IO, 1.16%, 6/15/2064(j)

     27,969        2,225  

Series 2021-BN35, Class E, 2.50%, 6/15/2064‡(a)(j)

     5,300        4,451  

Barclays Commercial Mortgage Trust

 

  

Series 2019-C4, Class D, 3.25%, 8/15/2052‡(a)

     8,451        7,850  

Series 2019-C5, Class XA, IO, 1.02%, 11/15/2052(j)

     95,818        5,069  

BBCMS Mortgage Trust

 

  

Series 2018-TALL, Class E, 2.53%, 3/15/2037‡(a)(j)

     6,000        5,736  

Series 2021-C11, Class XB, IO, 1.08%, 9/15/2054(j)

     30,040        2,612  

Series 2021-C11, Class XA, IO, 1.51%, 9/15/2054(j)

     162,181        16,676  

BBCMS MORTGAGE TRUST Series 2017-C1, Class D, 3.66%, 2/15/2050‡(a)(j)

     1,000        921  

Benchmark Mortgage Trust

 

  

Series 2018-B1, Class D, 2.75%, 1/15/2051‡(a)

     2,000        1,744  

Series 2018-B1, Class C, 4.25%, 1/15/2051‡(j)

     1,000        1,070  

Series 2018-B2, Class XA, IO, 0.55%, 2/15/2051(j)

     48,359        895  

Series 2018-B3, Class A4, 3.76%, 4/10/2051

     16,500        17,972  

Series 2018-B5, Class C, 4.76%, 7/15/2051‡(j)

     3,500        3,871  

Series 2018-B8, Class D, 3.00%, 1/15/2052‡(a)

     3,050        2,783  

Series 2019-B9, Class F, 3.92%, 3/15/2052‡(a)(j)

     6,000        4,648  

Series 2019-B11, Class D, 3.00%, 5/15/2052‡(a)

     1,900        1,791  

Series 2020-B16, Class E, 2.50%, 2/15/2053‡(a)

     7,250        5,977  

Series 2020-B21, Class E, 2.00%, 12/17/2053‡(a)

     2,500        1,908  

Series 2020-B21, Class F, 2.00%, 12/17/2053‡(a)

     15,017        10,143  

Series 2021-B26, Class F, 1.98%, 6/15/2054‡(a)(j)

     9,851        6,507  

Series 2019-B14, Class E, 2.50%, 12/15/2062‡(a)

     3,000        2,503  

Series 2019-B15, Class E, 2.75%, 12/15/2072‡(a)

     9,150        8,036  

Series 2019-B15, Class F, 2.75%, 12/15/2072‡(a)(j)

     5,000        3,635  

BMD2 Re-REMIC Trust

 

  

Series 2019-FRR1, Class 2B10, PO, 5/25/2052(a)

     22,815        20,337  

Series 2019-FRR1, Class 3AB, PO, 5/25/2052(a)

     10,000        7,704  

Series 2019-FRR1, Class 4A, PO, 5/25/2052(a)

     5,000        3,856  

Series 2019-FRR1, Class 1A1, 2.59%, 5/25/2052(a)(j)

     5,290        5,256  

Series 2019-FRR1, Class 1A5, 4.29%, 5/25/2052(a)(j)

     2,924        2,914  

BX

 

  

Series 2021-MFM1, Class E, 2.34%, 1/15/2034‡(a)(j)

     3,250        3,231  

Series 2021-MFM1, Class F, 3.09%, 1/15/2034‡(a)(j)

     2,000        1,996  

BX Commercial Mortgage Trust

 

  

Series 2020-VIV4, Class X, IO, 0.70%, 11/10/2042(a)(j)

     211,200        10,878  

Series 2020-VIV4, Class A, 2.84%, 3/9/2044(a)

     15,000        15,383  

Series 2020-VIV2, Class C, 3.66%, 3/9/2044‡(a)(j)

     20,175        20,949  

Series 2020-VIV3, Class B, 3.66%, 3/9/2044‡(a)(j)

     19,350        20,396  

Series 2020-VIVA, Class D, 3.67%, 3/11/2044‡(a)(j)

     36,000        36,559  

BX Trust Series 2021-RISE, Class D, 11/15/2036‡(a)(j)(k)

     4,320        4,320  

California Housing Finance Agency Series 2021-2, Class X, IO, 0.82%, 3/25/2035(j)

     64,872        4,346  

Cantor Commercial Real Estate Lending

 

  

Series 2019-CF2, Class E, 2.50%, 11/15/2052‡(a)

     2,300        1,936  

Series 2019-CF2, Class F, 3.00%, 11/15/2052‡(a)(j)

     10,000        7,618  

Cascade Funding Mortgage Trust

 

  

Series 2021-FRR1, Class DK45, 2/28/2025‡(a)

     10,400        8,905  

Series 2021-FRR1, Class CK45, 1.63%, 2/28/2025(a)

     12,500        11,626  

Series 2021-FRR1, Class CKW1, 1/29/2026(a)

     8,200        6,712  

Series 2021-FRR1, Class BK54, 2/28/2026(a)

     20,000        16,132  

Series 2021-FRR1, Class CK54, 2/28/2026‡(a)

     6,700        5,461  

Series 2021-FRR1, Class DKW1, 2/28/2026‡(a)

     2,500        2,054  

Series 2021-FRR1, Class BK98, 8/29/2029(a)

     6,970        4,976  

Series 2021-FRR1, Class AK99, 9/29/2029(a)

     8,000        6,629  

Series 2021-FRR1, Class BK99, 9/29/2029‡(a)

     14,000        9,204  

Series 2021-FRR1, Class BK58, 2.51%, 9/29/2029(a)

     11,000        10,143  

CD Mortgage Trust

 

  

Series 2016-CD1, Class C, 3.63%, 8/10/2049‡(j)

     3,000        3,028  

Series 2017-CD3, Class D, 3.25%, 2/10/2050‡(a)

     700        565  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2017-CD4, Class D, 3.30%, 5/10/2050‡(a)

     1,550        1,434  

Series 2017-CD5, Class D, 3.35%, 8/15/2050‡(a)

     266        246  

Series 2017-CD6, Class C, 4.41%, 11/13/2050‡(j)

     914        969  

Series 2018-CD7, Class D, 3.26%, 8/15/2051‡(a)(j)

     1,629        1,521  

Series 2019-CD8, Class XB, IO, 0.85%, 8/15/2057(a)(j)

     78,512        4,071  

Series 2019-CD8, Class E, 3.00%, 8/15/2057‡(a)

     1,500        1,265  

Series 2019-CD8, Class F, 3.00%, 8/15/2057‡(a)

     3,500        2,371  

CFCRE Commercial Mortgage Trust

 

  

Series 2016-C6, Class B, 3.80%, 11/10/2049‡

     1,000        1,056  

Series 2016-C6, Class C, 4.34%, 11/10/2049‡(j)

     800        832  

Series 2016-C6, Class D, 4.34%, 11/10/2049‡(a)(j)

     1,900        1,737  

CGMS Commercial Mortgage Trust

 

  

Series 2017-B1, Class D, 3.00%, 8/15/2050‡(a)

     4,359        3,941  

Series 2017-B1, Class E, 3.30%, 8/15/2050‡(a)(j)

     2,809        2,133  

Citigroup Commercial Mortgage Trust

 

  

Series 2019-PRM, Class E, 4.89%, 5/10/2036‡(a)(j)

     4,500        4,609  

Series 2012-GC8, Class D, 5.04%, 9/10/2045‡(a)(j)

     1,875        1,718  

Series 2013-GC17, Class C, 5.26%, 11/10/2046‡(j)

     2,000        2,065  

Series 2014-GC23, Class C, 4.58%, 7/10/2047‡(j)

     6,500        6,795  

Series 2014-GC25, Class D, 3.55%, 10/10/2047‡(a)

     3,750        3,701  

Series 2015-GC29, Class D, 3.11%, 4/10/2048‡(a)

     4,500        4,344  

Series 2015-GC31, Class D, 4.19%, 6/10/2048‡(j)

     3,800        3,751  

Series 2015-P1, Class D, 3.23%, 9/15/2048‡(a)

     2,285        2,150  

Series 2016-P4, Class C, 4.10%, 7/10/2049‡(j)

     5,624        5,786  

Series 2016-C2, Class D, 3.25%, 8/10/2049‡(a)(j)

     1,500        1,362  

Series 2016-C2, Class C, 4.03%, 8/10/2049‡(j)

     7,434        7,470  

Series 2017-P7, Class D, 3.25%, 4/14/2050(a)

     1,294        1,093  

Series 2017-C4, Class D, 3.00%, 10/12/2050‡(a)

     5,453        4,995  

Series 2019-GC43, Class E, 3.00%, 11/10/2052‡(a)

     5,287        4,705  

Series 2020-GC46, Class XA, IO, 1.11%, 2/15/2053(j)

     165,497        11,094  

Series 2020-GC46, Class E, 2.60%, 2/15/2053‡(a)

     4,500        3,637  

Series 2019-GC41, Class E, 3.00%, 8/10/2056‡(a)

     5,000        4,358  

Series 2015-GC33, Class D, 3.17%, 9/10/2058‡

     8,000        7,193  

Series 2015-GC33, Class E, 4.73%, 9/10/2058‡(a)(j)

     4,330        3,148  

COMM Mortgage Trust

 

  

Series 2016-COR1, Class XB, IO, 0.59%, 10/10/2049(a)(j)

     27,554        561  

Series 2016-COR1, Class C, 4.48%, 10/10/2049‡(j)

     1,000        1,056  

Series 2017-COR2, Class A3, 3.51%, 9/10/2050

     4,740        5,137  

Commercial Mortgage Trust

 

  

Series 2020-CBM, Class D, 3.75%, 2/10/2037‡(a)(j)

     1,630        1,618  

Series 2020-CBM, Class E, 3.75%, 2/10/2037‡(a)(j)

     2,670        2,588  

Series 2020-CBM, Class F, 3.75%, 2/10/2037‡(a)(j)

     17,870        16,907  

Series 2013-CR8, Class D, 4.06%, 6/10/2046‡(a)(j)

     750        759  

Series 2013-CR13, Class E, 5.04%, 11/10/2046‡(a)(j)

     1,500        1,450  

Series 2014-UBS2, Class D, 5.17%, 3/10/2047‡(a)(j)

     3,210        3,187  

Series 2014-LC15, Class D, 5.17%, 4/10/2047‡(a)(j)

     3,500        3,515  

Series 2014-CR19, Class E, 4.36%, 8/10/2047‡(a)(j)

     6,000        5,565  

Series 2014-CR19, Class D, 4.86%, 8/10/2047‡(a)(j)

     2,500        2,461  

Series 2014-UBS5, Class D, 3.50%, 9/10/2047‡(a)

     3,760        3,132  

Series 2014-LC17, Class D, 3.69%, 10/10/2047‡(a)

     25,708        25,410  

Series 2014-CR20, Class E, 3.22%, 11/10/2047‡(a)

     1,000        729  

Series 2014-CR20, Class D, 3.22%, 11/10/2047‡(a)

     8,010        6,836  

Series 2014-CR21, Class D, 4.07%, 12/10/2047‡(a)(j)

     2,600        2,136  

Series 2015-LC19, Class D, 2.87%, 2/10/2048‡(a)

     3,000        2,889  

Series 2015-CR22, Class D, 4.24%, 3/10/2048‡(a)(j)

     4,174        4,159  

Series 2015-CR23, Class D, 4.43%, 5/10/2048‡(j)

     1,490        1,482  

Series 2015-LC21, Class E, 3.25%, 7/10/2048‡(a)

     3,000        2,150  

Series 2015-LC21, Class D, 4.48%, 7/10/2048‡(j)

     4,200        4,206  

Series 2015-CR24, Class D, 3.46%, 8/10/2048(j)

     1,458        1,350  

Series 2015-CR25, Class D, 3.93%, 8/10/2048‡(j)

     1,000        932  

Series 2015-CR27, Class D, 3.60%, 10/10/2048‡(a)(j)

     2,072        1,984  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2015-LC23, Class D, 3.76%, 10/10/2048‡(a)(j)

     2,000        1,997  

Series 2015-LC23, Class E, 3.76%, 10/10/2048‡(a)(j)

     3,500        3,187  

Series 2016-CR28, Class E, 4.29%, 2/10/2049‡(a)(j)

     3,588        3,498  

Series 2016-DC2, Class C, 4.83%, 2/10/2049‡(j)

     2,500        2,616  

Series 2013-CR11, Class D, 5.28%, 8/10/2050‡(a)(j)

     3,402        3,380  

Series 2018-COR3, Class D, 2.96%, 5/10/2051‡(a)(j)

     3,250        2,870  

Series 2019-GC44, Class E, 2.50%, 8/15/2057(a)

     8,493        7,288  

Credit Suisse Commercial Mortgage Trust Series 2007-C1, Class AM, 5.42%, 2/15/2040

     1        1  

Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class B, 1.32%, 5/15/2036‡(a)(j)

     4,400        4,389  

CSAIL Commercial Mortgage Trust

 

  

Series 2015-C4, Class E, 3.71%, 11/15/2048‡(j)

     3,298        3,212  

Series 2016-C5, Class D, 3.80%, 11/15/2048‡(a)(j)

     2,750        2,382  

Series 2018-CX11, Class C, 4.94%, 4/15/2051‡(j)

     6,734        7,105  

Series 2019-C16, Class C, 4.24%, 6/15/2052‡(j)

     5,500        5,806  

Series 2019-C17, Class D, 2.50%, 9/15/2052‡(a)

     5,500        4,907  

Series 2019-C18, Class XB, IO, 0.25%, 12/15/2052(j)

     61,932        801  

Series 2019-C18, Class XA, IO, 1.20%, 12/15/2052(j)

     52,872        3,285  

Series 2019-C18, Class E, 2.50%, 12/15/2052‡(a)

     10,015        8,702  

Series 2019-C18, Class C, 4.08%, 12/15/2052‡(j)

     4,327        4,535  

Series 2021-C20, Class E, 2.25%, 3/15/2054‡(a)

     5,659        4,570  

Series 2015-C2, Class B, 4.21%, 6/15/2057‡(j)

     11,500        11,850  

DBGS Mortgage Trust

 

  

Series 2018-C1, Class D, 3.03%, 10/15/2051‡(a)(j)

     1,000        919  

Series 2018-C1, Class A4, 4.47%, 10/15/2051

     2,800        3,198  

DBJPM Mortgage Trust

 

  

Series 2016-C3, Class D, 3.62%, 8/10/2049‡(a)(j)

     2,950        2,479  

Series 2016-C3, Class E, 4.37%, 8/10/2049‡(a)(j)

     1,250        929  

Series 2017-C6, Class D, 3.36%, 6/10/2050‡(a)(j)

     1,800        1,665  

FHLMC Multiclass Certificates

 

  

Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027

     80,000        8,554  

Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028(j)

     50,000        5,246  

Series 2020-RR11, Class BX, IO, 2.44%, 12/27/2028(j)

     15,068        1,844  

Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029

     38,620        4,906  

Series 2020-RR06, Class BX, IO, 1.84%, 5/27/2033(j)

     20,000        2,993  

Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034(j)

     36,687        7,840  

Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034(j)

     50,000        5,209  

Series 2021-P011, Class X1, IO, 1.85%, 9/25/2045(j)

     10,702        1,691  

FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.49%, 2/25/2040(a)(j)

     57,204        9,016  

FHLMC Multi-Family Structured Agency Credit Risk Series 2021-MN2, Class B1, 5.55%, 7/25/2041(a)(j)

     2,000        2,009  

FHLMC, Multi-Family Structured Credit Risk

 

  

Series 2021-MN2, Class M2, 3.40%, 7/25/2041(a)(j)

     14,070        13,996  

Series 2021-MN1, Class M1, 2.05%, 1/25/2051(a)(j)

     1,454        1,457  

Series 2021-MN1, Class M2, 3.80%, 1/25/2051(a)(j)

     14,640        15,048  

Series 2021-MN1, Class B1, 7.80%, 1/25/2051(a)(j)

     2,100        2,481  

Series 2021-MN3, Class B1, 6.90%, 11/25/2051(a)(j)

     3,500        3,543  

FHLMC, Multi-Family Structured Pass-Through Certificates

 

  

Series K721, Class X1, IO, 0.41%, 8/25/2022(j)

     57,141        93  

Series K033, Class X1, IO, 0.40%, 7/25/2023(j)

     6,397        27  

Series K729, Class X1, IO, 0.47%, 10/25/2024(j)

     17,220        143  

Series KC03, Class X1, IO, 0.63%, 11/25/2024(j)

     99,812        1,223  

Series K731, Class X3, IO, 2.18%, 5/25/2025(j)

     11,529        722  

Series K733, Class X3, IO, 2.26%, 1/25/2026(j)

     17,500        1,312  

Series KC06, Class X1, IO, 1.03%, 6/25/2026(j)

     39,694        1,033  

Series K736, Class X1, IO, 1.44%, 7/25/2026(j)

     91,794        4,561  

Series K734, Class X3, IO, 2.24%, 7/25/2026(j)

     33,910        2,879  

Series K737, Class X1, IO, 0.75%, 10/25/2026(j)

     147,764        3,947  

Series KC04, Class X1, IO, 1.41%, 12/25/2026(j)

     47,962        2,034  

Series K738, Class X1, IO, 1.63%, 1/25/2027(j)

     144,503        9,815  

Series K064, Class X3, IO, 2.21%, 5/25/2027(j)

     18,830        1,931  

Series KC05, Class X1, IO, 1.34%, 6/25/2027(j)

     107,083        4,810  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series K740, Class X1, IO, 0.84%, 9/25/2027(j)

     14,965        587  

Series K741, Class X1, IO, 0.66%, 12/25/2027(j)

     52,428        1,652  

Series K742, Class X1, IO, 0.87%, 3/25/2028(j)

     28,995        1,123  

Series K742, Class X3, IO, 2.69%, 4/25/2028(j)

     16,000        2,335  

Series K075, Class X3, IO, 2.20%, 5/25/2028(j)

     5,471        651  

Series K080, Class X1, IO, 0.26%, 7/25/2028(j)

     84,313        836  

Series K745, Class X1, IO, 0.77%, 8/25/2028(j)

     99,985        4,126  

Series K086, Class X1, IO, 0.39%, 11/25/2028(j)

     31,179        536  

Series K084, Class X3, IO, 2.31%, 11/25/2028(j)

     19,450        2,593  

Series K090, Class X1, IO, 0.85%, 2/25/2029(j)

     32,037        1,532  

Series K095, Class X1, IO, 1.08%, 6/25/2029(j)

     51,717        3,277  

Series K097, Class X1, IO, 1.22%, 7/25/2029(j)

     74,209        5,526  

Series K096, Class X3, IO, 2.11%, 7/25/2029(j)

     48,669        6,513  

Series K101, Class X3, IO, 1.95%, 10/25/2029(j)

     101,000        13,130  

Series K090, Class X3, IO, 2.39%, 10/25/2029(j)

     152,080        22,881  

Series K103, Class X1, IO, 0.76%, 11/25/2029(j)

     120,833        5,589  

Series K104, Class X1, IO, 1.25%, 1/25/2030(j)

     103,768        8,261  

Series K109, Class X1, IO, 1.70%, 4/25/2030(j)

     17,961        2,045  

Series K111, Class X1, IO, 1.68%, 5/25/2030(j)

     19,946        2,306  

Series K114, Class X1, IO, 1.21%, 6/25/2030(j)

     9,980        840  

Series K115, Class X1, IO, 1.43%, 6/25/2030(j)

     4,606        456  

Series K113, Class X1, IO, 1.49%, 6/25/2030(j)

     118,992        12,273  

Series K116, Class X1, IO, 1.53%, 7/25/2030(j)

     22,957        2,399  

Series K117, Class X1, IO, 1.34%, 8/25/2030(j)

     72,406        6,594  

Series K121, Class XAM, IO, 1.29%, 11/25/2030(j)

     21,236        2,073  

Series K124, Class XAM, IO, 1.03%, 1/25/2031(j)

     17,689        1,387  

Series K128, Class X1, IO, 0.63%, 3/25/2031(j)

     111,931        4,808  

Series K128, Class XAM, IO, 0.84%, 3/25/2031(j)

     30,467        1,951  

Series K128, Class X3, IO, 2.89%, 4/25/2031(j)

     35,600        7,636  

Series K129, Class X1, IO, 1.16%, 5/25/2031(j)

     290,936        24,285  

Series K129, Class XAM, IO, 1.33%, 5/25/2031(j)

     23,800        2,504  

Series K129, Class X3, IO, 3.28%, 5/25/2031(j)

     34,500        8,718  

Series K130, Class X1, IO, 1.14%, 6/25/2031(j)

     69,986        6,077  

Series K131, Class X1, IO, 0.83%, 7/25/2031(j)

     34,994        2,203  

Series K131, Class XAM, IO, 1.04%, 7/25/2031(j)

     47,926        4,007  

Series K131, Class X3, IO, 3.05%, 9/25/2031(j)

     19,369        4,559  

Series K159, Class X1, IO, 0.26%, 11/25/2033(j)

     56,586        786  

Series KX04, Class XFX, IO, 1.86%, 1/25/2034(j)

     91,635        8,824  

Series K-1511, Class X3, IO, 3.54%, 4/25/2034(j)

     30,261        9,974  

Series K723, Class X3, IO, 1.98%, 10/25/2034(j)

     6,850        235  

Series K-1515, Class X1, IO, 1.64%, 2/25/2035(j)

     19,956        3,116  

Series K153, Class X3, IO, 3.90%, 4/25/2035(j)

     9,945        3,030  

Series K-1516, Class X1, IO, 1.63%, 5/25/2035(j)

     41,859        6,871  

Series K-1517, Class X1, IO, 1.41%, 7/25/2035(j)

     51,112        7,386  

Series Q012, Class X, IO, 4.19%, 9/25/2035(j)

     35,767        8,593  

Series K-1518, Class X1, IO, 0.96%, 10/25/2035(j)

     41,276        3,755  

Series K155, Class X3, IO, 3.23%, 5/25/2036(j)

     5,560        1,595  

Series K-1521, Class X1, IO, 1.10%, 8/25/2036(j)

     37,698        4,161  

Series K-1510, Class X3, IO, 3.52%, 1/25/2037(j)

     27,488        8,826  

Series K-1517, Class X3, IO, 3.36%, 8/25/2038(j)

     15,750        5,374  

Series K-1518, Class X3, IO, 3.00%, 10/25/2038(j)

     26,265        8,063  

Series K-1516, Class X3, IO, 3.57%, 10/25/2038(j)

     22,000        7,876  

Series K-1519, Class X3, IO, 2.90%, 12/25/2038(j)

     17,700        5,275  

Series K-1520, Class X3, IO, 3.20%, 4/25/2039(j)

     19,000        6,269  

Series K-1521, Class X3, IO, 3.46%, 9/25/2039(j)

     10,834        3,995  

Series K036, Class X3, IO, 2.18%, 12/25/2041(j)

     3,253        129  

Series K720, Class X3, IO, 1.38%, 8/25/2042(j)

     16,800        138  

Series K721, Class X3, IO, 1.34%, 11/25/2042(j)

     12,550        127  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series K041, Class X3, IO, 1.70%, 11/25/2042(j)

     4,580        198  

Series K718, Class X3, IO, 1.47%, 2/25/2043(j)

     6,035        12  

Series K054, Class X3, IO, 1.65%, 4/25/2043(j)

     2,745        166  

Series K047, Class X3, IO, 1.55%, 6/25/2043(j)

     3,400        159  

Series K050, Class X3, IO, 1.61%, 10/25/2043(j)

     5,232        277  

Series K051, Class X3, IO, 1.67%, 10/25/2043(j)

     4,995        281  

Series K052, Class X3, IO, 1.67%, 1/25/2044(j)

     2,915        172  

Series K726, Class X3, IO, 2.22%, 7/25/2044(j)

     36,795        1,797  

Series K067, Class X3, IO, 2.19%, 9/25/2044(j)

     8,580        919  

Series K727, Class X3, IO, 2.07%, 10/25/2044(j)

     15,000        739  

Series K068, Class X3, IO, 2.13%, 10/25/2044(j)

     19,730        2,079  

Series K059, Class X3, IO, 1.98%, 11/25/2044(j)

     8,000        673  

Series K729, Class X3, IO, 2.04%, 11/25/2044(j)

     21,410        1,101  

Series K724, Class X3, IO, 1.95%, 12/25/2044(j)

     4,930        176  

Series K070, Class X3, IO, 2.11%, 12/25/2044(j)

     42,245        4,604  

Series K730, Class X3, IO, 2.10%, 2/25/2045(j)

     47,270        2,685  

Series K065, Class X3, IO, 2.26%, 7/25/2045(j)

     13,305        1,404  

Series K728, Class X3, IO, 2.02%, 11/25/2045(j)

     8,775        456  

Series K071, Class X3, IO, 2.08%, 11/25/2045(j)

     12,470        1,343  

Series K072, Class X3, IO, 2.21%, 12/25/2045(j)

     20,640        2,361  

Series K089, Class X3, IO, 2.37%, 1/25/2046(j)

     132,506        19,314  

Series K087, Class X3, IO, 2.39%, 1/25/2046(j)

     89,384        12,710  

Series K091, Class X3, IO, 2.36%, 4/25/2046(j)

     81,933        12,268  

Series K078, Class X3, IO, 2.29%, 6/25/2046(j)

     2,680        344  

Series K079, Class X3, IO, 2.33%, 7/25/2046(j)

     9,000        1,174  

Series K097, Class X3, IO, 2.09%, 9/25/2046(j)

     71,600        9,688  

Series K081, Class X3, IO, 2.31%, 9/25/2046(j)

     29,425        3,921  

Series K082, Class X3, IO, 2.29%, 10/25/2046(j)

     27,200        3,587  

Series K083, Class X3, IO, 2.37%, 11/25/2046(j)

     15,000        2,027  

Series K103, Class X3, IO, 1.91%, 12/25/2046(j)

     80,100        10,220  

Series K102, Class X3, IO, 1.96%, 12/25/2046(j)

     69,791        9,149  

Series K104, Class X3, IO, 1.96%, 2/25/2047(j)

     45,985        6,179  

Series K088, Class X3, IO, 2.42%, 2/25/2047(j)

     104,287        15,618  

Series K735, Class X3, IO, 2.23%, 5/25/2047(j)

     40,000        3,438  

Series K093, Class X3, IO, 2.28%, 5/25/2047(j)

     136,527        19,581  

Series K092, Class X3, IO, 2.32%, 5/25/2047(j)

     91,000        13,314  

Series K094, Class X3, IO, 2.20%, 7/25/2047(j)

     35,331        4,988  

Series K095, Class X3, IO, 2.17%, 8/25/2047(j)

     91,253        12,703  

Series K736, Class X3, IO, 2.08%, 9/25/2047(j)

     89,230        7,424  

Series K116, Class X3, IO, 3.12%, 9/25/2047(j)

     23,000        5,102  

Series K099, Class X3, IO, 2.02%, 10/25/2047(j)

     49,100        6,340  

Series K098, Class X3, IO, 2.07%, 10/25/2047(j)

     145,702        19,284  

Series K740, Class X3, IO, 2.57%, 11/25/2047(j)

     21,423        2,749  

Series K737, Class X3, IO, 1.83%, 1/25/2048(j)

     74,853        5,860  

Series K106, Class X3, IO, 1.99%, 3/25/2048(j)

     100,622        13,521  

Series K111, Class X3, IO, 3.29%, 4/25/2048(j)

     52,234        12,082  

Series K108, Class X3, IO, 3.61%, 4/25/2048(j)

     75,067        18,387  

Series K738, Class X3, IO, 3.43%, 5/25/2048(j)

     71,537        11,037  

Series K109, Class X3, IO, 3.50%, 5/25/2048(j)

     17,170        4,143  

Series K110, Class X3, IO, 3.52%, 6/25/2048(j)

     28,200        6,856  

Series K112, Class X3, IO, 3.10%, 7/25/2048(j)

     47,630        10,412  

Series K114, Class X3, IO, 2.83%, 8/25/2048(j)

     10,750        2,118  

Series K130, Class X3, IO, 3.20%, 8/25/2048(j)

     7,934        1,954  

Series K119, Class X3, IO, 2.82%, 9/25/2048(j)

     7,800        1,600  

Series K115, Class X3, IO, 3.06%, 9/25/2048(j)

     19,533        4,195  

Series K117, Class X3, IO, 2.97%, 10/25/2048(j)

     36,500        7,770  

Series K120, Class X3, IO, 2.83%, 11/25/2048(j)

     38,372        7,864  

Series K121, Class X3, IO, 2.87%, 11/25/2048(j)

     48,007        10,125  

Series K739, Class X3, IO, 2.95%, 11/25/2048(j)

     39,675        5,672  

Series K122, Class X3, IO, 2.72%, 1/25/2049(j)

     36,631        7,203  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series K124, Class X3, IO, 2.71%, 2/25/2049(j)

     20,255        4,057  

Series K123, Class X3, IO, 2.72%, 2/25/2049(j)

     20,167        4,018  

Series K125, Class X3, IO, 2.75%, 2/25/2049(j)

     9,230        1,878  

Series K127, Class X3, IO, 2.75%, 3/25/2049(j)

     7,443        1,525  

Series K743, Class X3, IO, 3.06%, 6/25/2049(j)

     5,000        841  

Series K105, Class X3, IO, 2.04%, 3/25/2053(j)

     118,746        16,705  

Series Q014, Class X, IO, 2.80%, 10/25/2055(j)

     5,670        1,315  

FNMA ACES

 

  

Series 2015-M1, Class X2, IO, 0.59%, 9/25/2024(j)

     25,336        354  

Series 2016-M12, Class X2, IO, 0.06%, 9/25/2026(j)

     78,316        555  

Series 2019-M28, Class XAV3, IO, 1.28%, 2/25/2027(j)

     33,778        1,437  

Series 2017-M8, Class X, IO, 0.20%, 5/25/2027(j)

     54,199        852  

Series 2020-M10, Class X7, IO, 1.81%, 11/25/2027(j)

     40,217        3,499  

Series 2020-M26, Class X3, IO, 1.81%, 1/25/2028(j)

     34,182        2,546  

Series 2020-M4, Class 1X2, IO, 0.84%, 2/25/2028(j)

     19,183        780  

Series 2020-M4, Class 1X3, IO, 1.12%, 2/25/2028(j)

     105,177        5,720  

Series 2020-M33, Class X, IO, 2.05%, 6/25/2028(j)

     42,586        3,743  

Series 2019-M2, Class X, IO, 0.72%, 8/25/2028(j)

     15,187        1,134  

Series 2019-M30, Class X4, IO, 1.08%, 8/25/2028(j)

     40,535        1,477  

Series 2020-M10, Class X6, IO, 1.50%, 8/25/2028(j)

     19,000        1,569  

Series 2019-M31, Class X, IO, 1.02%, 9/25/2028(j)

     49,064        3,067  

Series 2019-M30, Class X1, IO, 0.38%, 11/25/2028(j)

     130,016        2,532  

Series 2020-M10, Class X3, IO, 1.40%, 11/25/2028(j)

     65,215        4,834  

Series 2020-M10, Class X5, IO, 1.55%, 11/25/2028(j)

     59,900        5,236  

Series 2019-M12, Class X, IO, 0.70%, 6/25/2029(j)

     156,537        7,463  

Series 2019-M19, Class X2, IO, 0.76%, 9/25/2029(j)

     91,769        3,949  

Series 2019-M32, Class X2, IO, 1.20%, 10/25/2029(j)

     29,302        2,036  

Series 2019-M30, Class X2, IO, 0.30%, 12/25/2029(j)

     127,526        2,340  

Series 2019-M28, Class XA2, IO, 0.64%, 2/25/2030(j)

     25,447        912  

Series 2020-M6, Class XD, IO, 1.02%, 2/25/2030(j)

     20,260        1,056  

Series 2019-M28, Class XA3, IO, 1.03%, 2/25/2030(j)

     45,446        2,659  

Series 2020-M19, Class X1, IO, 0.52%, 5/25/2030(j)

     29,757        871  

Series 2020-M7, Class X, IO, 1.14%, 7/25/2030(j)

     36,440        2,376  

Series 2020-M10, Class X1, IO, 1.92%, 12/25/2030(j)

     111,970        14,276  

Series 2021-M16, Class X, IO, 0.84%, 1/1/2031(j)

     124,812        5,339  

Series 2019-M21, Class X2, IO, 1.46%, 2/25/2031(j)

     82,757        8,021  

Series 2020-M22, Class X, IO, 1.04%, 3/25/2031(j)

     82,248        5,095  

Series 2020-M39, Class X2, IO, 1.72%, 8/25/2031(j)

     45,307        4,576  

Series 2020-M21, Class XA, IO, 1.19%, 3/25/2032(j)

     79,916        6,767  

Series 2020-M26, Class X1, IO, 0.69%, 4/25/2032(j)

     23,586        1,028  

Series 2020-M47, Class X1, IO, 0.86%, 10/25/2032(j)

     71,050        2,966  

Series 2020-M31, Class X1, IO, 0.97%, 10/25/2032(j)

     99,260        4,529  

Series 2019-M30, Class X5, IO, 0.38%, 5/25/2033(j)

     185,425        4,919  

Series 2019-M31, Class X1, IO, 1.19%, 4/25/2034(j)

     40,313        3,771  

Series 2018-M15, Class X, IO, 0.82%, 1/25/2036(j)

     8,838        416  

Series 2020-M6, Class XL, IO, 1.22%, 11/25/2049(j)

     32,905        1,917  

FNMA, Multi-Family REMIC Trust Series 2020-M37, Class X, IO, 1.20%, 4/25/2032(j)

     105,527        7,737  

FREMF Mortgage Trust

 

  

Series 2015-K719, Class C, PO, 6/25/2022(a)

     22,000        21,391  

Series 2017-KF29, Class B, 3.64%, 2/25/2024(a)(j)

     110        110  

Series 2017-KF32, Class B, 2.64%, 5/25/2024(a)(j)

     219        219  

Series 2017-KF35, Class B, 2.84%, 8/25/2024(a)(j)

     128        128  

Series 2017-KF38, Class B, 2.59%, 9/25/2024(a)(j)

     247        247  

Series 2017-KF41, Class B, 2.59%, 11/25/2024(a)(j)

     134        133  

Series 2018-KL2B, Class CB, 3.83%, 1/25/2025(a)(j)

     15,000        15,662  

Series 2018-KF49, Class B, 1.99%, 6/25/2025(a)(j)

     333        327  

Series 2018-KC02, Class B, 4.22%, 7/25/2025(a)(j)

     2,520        2,550  

Series 2018-KL3W, Class CW, 4.23%, 8/25/2025(a)(j)

     15,000        14,798  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2018-KF51, Class C, 6.09%, 8/25/2025(a)(j)

     6,377        6,445  

Series 2018-KBF2, Class B, 2.09%, 10/25/2025(a)(j)

     1,712        1,708  

Series 2018-KF53, Class B, 2.14%, 10/25/2025(j)

     840        834  

Series 2017-KL1P, Class BP, 3.48%, 10/25/2025(a)(j)

     11,000        10,838  

Series 2019-KL4F, Class BAS, 4.40%, 10/25/2025(a)(j)

     7,998        8,122  

Series 2018-KSL1, Class C, 3.96%, 11/25/2025(a)(j)

     15,000        14,530  

Series 2019-KF58, Class B, 2.24%, 1/25/2026(a)(j)

     464        463  

Series 2018-KBX1, Class C, 3.69%, 1/25/2026(a)(j)

     7,500        6,456  

Series 2019-KC03, Class B, 4.51%, 1/25/2026(a)(j)

     5,000        5,281  

Series 2019-K735, Class C, 4.16%, 5/25/2026(a)(j)

     4,774        5,048  

Series 2019-KC06, Class B, 3.95%, 9/25/2026(a)(j)

     7,609        7,328  

Series 2016-KF24, Class B, 5.09%, 10/25/2026(a)(j)

     76        78  

Series 2020-KF74, Class B, 2.24%, 1/25/2027(a)(j)

     3,797        3,773  

Series 2017-KL1E, Class BE, 4.04%, 2/25/2027(a)(j)

     9,625        9,578  

Series 2017-KF33, Class B, 2.64%, 6/25/2027(a)(j)

     3,885        3,849  

Series 2017-KF40, Class B, 2.79%, 11/25/2027(a)(j)

     124        124  

Series 2018-KHG1, Class C, 3.94%, 12/25/2027(a)(j)

     26,000        25,773  

Series 2018-KW06, Class B, 4.37%, 6/25/2028(a)(j)

     6,326        6,729  

Series 21K-F116, Class CS, 6.45%, 6/25/2028(a)(j)

     52,000        53,235  

Series 2018-KF50, Class B, 1.99%, 7/25/2028(a)(j)

     193        190  

Series 2021-KHG3, Class BFX, 2.48%, 9/25/2028(a)

     11,071        10,465  

Series 2018-KF56, Class B, 2.54%, 11/25/2028(a)(j)

     820        820  

Series 2019-KF57, Class B, 2.34%, 1/25/2029(a)(j)

     2,281        2,267  

Series 2019-KW08, Class B, 4.38%, 1/25/2029(a)(j)

     16,320        17,471  

Series 2019-KBF3, Class C, 4.84%, 1/25/2029(a)(j)

     9,940        9,968  

Series 2019-KF59, Class B, 2.44%, 2/25/2029(a)(j)

     762        762  

Series 2019-KL05, Class CHG, 4.37%, 2/25/2029(a)

     10,000        9,887  

Series 2019-KL05, Class BHG, 4.52%, 2/25/2029(a)(j)

     3,600        3,630  

Series 2019-KF61, Class B, 2.29%, 4/25/2029(a)(j)

     3,381        3,389  

Series 2019-KG01, Class B, 4.31%, 4/25/2029(a)(j)

     3,000        3,161  

Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029(a)

     259,886        1,365  

Series 2019-KF63, Class B, 2.44%, 5/25/2029(a)(j)

     7,238        7,238  

Series 2019-KW09, Class B, 4.15%, 5/25/2029(a)(j)

     15,670        16,174  

Series 2019-KW09, Class C, PO, 6/25/2029(a)

     22,210        14,156  

Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029(a)

     20,000        117  

Series 2019-KF65, Class B, 2.49%, 7/25/2029(a)(j)

     7,729        7,752  

Series 2019-KF66, Class B, 2.49%, 7/25/2029(a)(j)

     3,887        3,913  

Series 2019-KC05, Class B, 4.29%, 7/25/2029(a)(j)

     16,737        16,383  

Series 2019-KF67, Class B, 2.34%, 8/25/2029(a)(j)

     3,816        3,798  

Series 2019-KF70, Class B, 2.39%, 9/25/2029(a)(j)

     1,696        1,700  

Series 2019-KF71, Class B, 2.39%, 10/25/2029(a)(j)

     4,555        4,479  

Series 2019-KF73, Class B, 2.54%, 11/25/2029(a)(j)

     11,095        11,069  

Series 2020-KF75, Class B, 2.34%, 12/25/2029(a)(j)

     6,511        6,458  

Series 2020-KF76, Class B, 2.84%, 1/25/2030(a)(j)

     3,471        3,461  

Series 21K-F102, Class CS, 6.05%, 1/25/2031(a)(j)

     15,458        15,632  

Series 2017-K153, Class B, PO, 4/25/2032(a)

     8,000        4,362  

Series 2018-K158, Class B, 4.41%, 10/25/2033(a)(j)

     1,750        1,909  

Series 19K-1510, Class X2B, IO, 0.10%, 1/25/2034(a)

     81,410        733  

Series 2018-K156, Class X2A, IO, 0.10%, 7/25/2036(a)

     149,276        1,234  

Series 2016-K53, Class B, 4.16%, 3/25/2049(a)(j)

     69        74  

Series 2017-K67, Class B, 4.08%, 9/25/2049(a)(j)

     145        157  

Series 2017-K67, Class C, 4.08%, 9/25/2049(a)(j)

     2,010        2,100  

Series 2017-K61, Class C, 3.81%, 12/25/2049(a)(j)

     1,000        1,035  

Series 2017-K70, Class C, 3.93%, 12/25/2049(a)(j)

     3,000        3,188  

Series 2018-K80, Class C, 4.37%, 8/25/2050(a)(j)

     2,660        2,872  

Series 2017-K728, Class B, 3.77%, 11/25/2050(a)(j)

     250        263  

Series 2017-K728, Class C, 3.77%, 11/25/2050(a)(j)

     105        109  

Series 2019-K89, Class C, 4.43%, 1/25/2051(a)(j)

     15,000        16,229  

Series 2019-K87, Class C, 4.47%, 1/25/2051(a)(j)

     4,250        4,647  

Series 2019-K734, Class C, 4.19%, 2/25/2051(a)(j)

     4,150        4,392  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2018-K75, Class D, PO, 4/25/2051(a)

     30,000        20,604  

Series 2018-K75, Class X2A, IO, 0.10%, 4/25/2051(a)

     489,833        2,195  

Series 2018-K75, Class X2B, IO, 0.10%, 4/25/2051(a)

     114,000        555  

Series 2019-K91, Class C, 4.40%, 4/25/2051(a)(j)

     14,591        15,845  

Series 2019-K97, Class C, 3.89%, 9/25/2051(a)(j)

     3,021        3,205  

Series 2019-K103, Class B, 3.57%, 12/25/2051(a)(j)

     2,303        2,417  

Series 2019-K102, Class B, 3.65%, 12/25/2051(a)(j)

     7,932        8,364  

Series 2019-K102, Class C, 3.65%, 12/25/2051(a)(j)

     9,100        9,305  

Series 2020-K104, Class C, 3.66%, 2/25/2052(a)(j)

     13,102        13,362  

Series 2019-K90, Class C, 4.46%, 2/25/2052(a)(j)

     3,375        3,676  

Series 2019-K88, Class C, 4.53%, 2/25/2052(a)(j)

     6,700        7,382  

Series 2019-K93, Class C, 4.26%, 5/25/2052(a)(j)

     10,500        11,268  

Series 2019-K92, Class C, 4.34%, 5/25/2052(a)(j)

     7,000        7,549  

Series 2019-K94, Class D, PO, 7/25/2052(a)

     99,772        64,242  

Series 2019-K94, Class X2A, IO, 0.10%, 7/25/2052(a)

     1,078,101        5,963  

Series 2019-K94, Class X2B, IO, 0.10%, 7/25/2052(a)

     249,429        1,443  

Series 2019-K94, Class C, 4.10%, 7/25/2052(a)(j)

     9,727        10,347  

Series 2019-K95, Class C, 4.05%, 8/25/2052(a)(j)

     8,250        8,835  

Series 2019-K99, Class C, 3.76%, 10/25/2052(a)(j)

     10,105        10,597  

Series 2019-K98, Class C, 3.86%, 10/25/2052(a)(j)

     6,000        6,333  

Series 2019-K100, Class B, 3.61%, 11/25/2052(a)(j)

     5,188        5,538  

Series 2019-K100, Class C, 3.61%, 11/25/2052(a)(j)

     16,140        16,686  

Series 2020-K737, Class B, 3.41%, 1/25/2053(a)(j)

     3,750        3,948  

Series 2020-K737, Class C, 3.41%, 1/25/2053(a)(j)

     6,000        6,171  

Series 2020-K105, Class B, 3.53%, 3/25/2053(a)(j)

     13,250        13,891  

Series 2020-K105, Class C, 3.53%, 3/25/2053(a)(j)

     13,485        13,694  

FRR Re-REMIC Trust

 

  

Series 2018-C1, Class C720, 0.00%, 8/27/2047‡(a)(j)

     7,000        6,822  

Series 2018-C1, Class CK43, 0.00%, 2/27/2048‡(a)(j)

     9,400        8,256  

Series 2018-C1, Class BK43, 2.84%, 2/27/2048‡(a)(j)

     12,434        12,235  

Series 2018-C1, Class A725, 2.76%, 2/27/2050(a)

     1,000        995  

Series 2018-C1, Class B725, 2.98%, 2/27/2050‡(a)(j)

     2,225        2,212  

GNMA

 

  

Series 2012-88, Class DI, IO, 0.55%, 8/16/2046(j)

     30,274        409  

Series 2013-72, IO, 0.38%, 11/16/2047(j)

     81,349        1,181  

Series 2014-9, IO, 0.28%, 2/16/2048(j)

     13,062        131  

Series 2014-172, IO, 0.44%, 1/16/2049(j)

     23,629        479  

Series 2012-44, IO, 0.03%, 3/16/2049(j)

     3,397        4  

Series 2015-48, IO, 0.60%, 2/16/2050(j)

     1,492        43  

Series 2013-15, IO, 0.54%, 8/16/2051(j)

     6,618        136  

Series 2013-80, IO, 0.90%, 3/16/2052(j)

     12,194        326  

Series 2015-86, IO, 0.46%, 5/16/2052(j)

     12,577        323  

Series 2013-35, IO, 0.37%, 1/16/2053(j)

     10,720        117  

Series 2012-125, IO, 0.20%, 2/16/2053(j)

     20,603        145  

Series 2013-7, IO, 0.30%, 5/16/2053(j)

     61,985        647  

Series 2012-89, IO, 0.19%, 12/16/2053(j)

     10,641        33  

Series 2012-115, IO, 0.42%, 4/16/2054(j)

     32,401        422  

Series 2014-124, Class IE, IO, 0.56%, 5/16/2054(j)

     12,536        263  

Series 2013-48, IO, 0.50%, 7/16/2054(j)

     6,320        119  

Series 2014-130, Class IB, IO, 0.37%, 8/16/2054(j)

     784        13  

Series 2014-186, IO, 0.49%, 8/16/2054(j)

     2,535        47  

Series 2013-194, IO, 0.33%, 9/16/2054(j)

     8,331        112  

Series 2015-93, IO, 0.34%, 11/16/2054(j)

     18,436        285  

Series 2013-179, IO, 0.05%, 1/16/2055(j)

     38,339        149  

Series 2015-104, IO, 0.10%, 5/16/2055(j)

     8,362        130  

Series 2013-178, IO, 0.15%, 6/16/2055(j)

     20,322        224  

Series 2016-102, IO, 0.62%, 10/16/2055(j)

     16,080        477  

Series 2015-33, IO, 0.67%, 2/16/2056(j)

     20,826        656  

Series 2015-59, IO, 0.91%, 6/16/2056(j)

     7,554        271  

Series 2016-97, IO, 0.96%, 7/16/2056(j)

     23,521        1,212  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2016-143, IO, 0.85%, 10/16/2056

     22,705        1,137  

Series 2017-53, IO, 0.55%, 11/16/2056(j)

     24,917        1,067  

Series 2017-76, IO, 0.87%, 12/16/2056(j)

     11,885        611  

Series 2014-89, IO, 0.31%, 1/16/2057(j)

     16,439        314  

Series 2014-110, IO, 0.39%, 1/16/2057(j)

     12,296        280  

Series 2016-177, IO, 0.50%, 1/16/2057(j)

     32,438        1,096  

Series 2015-172, IO, 0.60%, 3/16/2057(j)

     9,992        272  

Series 2017-72, IO, 0.61%, 4/16/2057(j)

     44,980        2,163  

Series 2016-13, IO, 0.74%, 4/16/2057(j)

     11,099        413  

Series 2015-188, IO, 0.39%, 7/16/2057(j)

     31,383        581  

Series 2015-115, IO, 0.46%, 7/16/2057(j)

     3,281        89  

Series 2016-40, IO, 0.62%, 7/16/2057(j)

     26,771        803  

Series 2016-36, IO, 0.75%, 8/16/2057(j)

     7,731        302  

Series 2017-146, IO, 0.54%, 9/16/2057(j)

     21,788        869  

Series 2017-151, IO, 0.71%, 9/16/2057(j)

     15,863        779  

Series 2017-173, IO, 0.85%, 9/16/2057(j)

     9,568        511  

Series 2016-105, IO, 0.78%, 10/16/2057(j)

     35,269        1,338  

Series 2016-56, IO, 0.89%, 11/16/2057(j)

     25,476        1,187  

Series 2016-157, IO, 0.89%, 11/16/2057(j)

     26,490        1,430  

Series 2016-71, Class QI, IO, 0.91%, 11/16/2057(j)

     58,545        2,831  

Series 2016-96, IO, 0.80%, 12/16/2057(j)

     33,744        1,537  

Series 2016-133, IO, 0.82%, 12/16/2057(j)

     31,976        1,349  

Series 2016-94, IO, 0.85%, 12/16/2057(j)

     2,486        103  

Series 2016-155, IO, 0.75%, 2/16/2058(j)

     50,189        2,341  

Series 2016-35, IO, 0.74%, 3/16/2058(j)

     16,229        684  

Series 2016-130, IO, 0.81%, 3/16/2058(j)

     26,845        1,155  

Series 2016-92, IO, 0.62%, 4/16/2058(j)

     508        20  

Series 2016-119, IO, 0.89%, 4/16/2058(j)

     92,101        3,972  

Series 2016-151, IO, 1.01%, 6/16/2058(j)

     80,268        4,379  

Series 2017-41, IO, 0.66%, 7/16/2058(j)

     12,333        477  

Series 2016-87, IO, 0.83%, 8/16/2058(j)

     25,932        1,109  

Series 2017-16, IO, 0.51%, 9/16/2058(j)

     28,613        1,059  

Series 2016-175, IO, 0.73%, 9/16/2058(j)

     26,126        1,169  

Series 2017-3, IO, 0.82%, 9/16/2058(j)

     47,397        2,220  

Series 2017-81, IO, 0.58%, 12/16/2058(j)

     7,515        306  

Series 2017-54, IO, 0.63%, 12/16/2058(j)

     12,996        623  

Series 2017-70, IO, 0.55%, 2/16/2059(j)

     6,952        328  

Series 2018-45, IO, 0.55%, 3/16/2059(j)

     16,708        795  

Series 2017-105, IO, 0.55%, 5/16/2059(j)

     22,913        1,161  

Series 2017-23, IO, 0.63%, 5/16/2059(j)

     14,839        651  

Series 2017-35, IO, 0.65%, 5/16/2059(j)

     12,360        578  

Series 2017-51, IO, 0.76%, 5/16/2059(j)

     7,958        398  

Series 2017-86, IO, 0.76%, 5/16/2059(j)

     5,634        286  

Series 2017-148, IO, 0.56%, 7/16/2059(j)

     18,953        823  

Series 2017-69, IO, 0.80%, 7/16/2059(j)

     8,245        428  

Series 2017-126, IO, 0.69%, 8/16/2059(j)

     28,833        1,452  

Series 2017-171, IO, 0.70%, 9/16/2059(j)

     3,008        154  

Series 2018-57, IO, 0.43%, 10/16/2059(j)

     80,264        3,585  

Series 2018-4, IO, 0.57%, 10/16/2059(j)

     5,444        270  

Series 2017-157, IO, 0.67%, 12/16/2059(j)

     15,358        822  

Series 2018-9, IO, 0.50%, 1/16/2060(j)

     117,852        5,509  

Series 2019-135, IO, 0.70%, 2/16/2060(j)

     25,724        1,490  

Series 2019-67, IO, 0.89%, 2/16/2060(j)

     16,299        1,074  

Series 2018-106, IO, 0.56%, 4/16/2060(j)

     10,521        672  

Series 2018-119, IO, 0.61%, 5/16/2060(j)

     10,257        668  

Series 2018-85, IO, 0.54%, 7/16/2060(j)

     10,325        565  

Series 2018-98, IO, 0.46%, 8/16/2060(j)

     59,701        2,564  

Series 2019-9, IO, 0.82%, 8/16/2060(j)

     15,135        970  

Series 2020-184, IO, 0.91%, 11/16/2060(j)

     9,810        795  

Series 2019-114, IO, 1.14%, 2/16/2061(j)

     46,978        3,725  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2021-82, Class TA, IF, IO, 3.60%, 4/16/2061(j)

     72,146        14,014  

Series 2019-32, IO, 0.60%, 5/16/2061(j)

     56,129        3,372  

Series 2021-95, Class TA, IF, IO, 3.60%, 6/1/2061(j)

     58,633        12,096  

Series 2019-53, Class IA, IO, 0.77%, 6/16/2061(j)

     5,122        351  

Series 2021-123, Class SA, IF, IO, 3.60%, 6/16/2061(j)

     49,730        10,581  

Series 2019-155, IO, 0.56%, 7/16/2061(j)

     141,771        7,771  

Series 2021-153, Class SA, IF, IO, 3.60%, 8/16/2061(j)

     54,894        15,268  

Series 2021-178, Class SA, IF, IO, 3.60%, 10/16/2061(j)

     80,000        17,965  

Series 2020-28, IO, 0.82%, 11/16/2061(j)

     18,670        1,324  

Series 2020-56, IO, 0.98%, 11/16/2061(j)

     50,793        3,630  

Series 2020-124, IO, 1.03%, 12/16/2061(j)

     10,563        841  

Series 2019-144, IO, 0.80%, 1/16/2062(j)

     20,151        1,508  

Series 2019-130, IO, 0.84%, 1/16/2062(j)

     14,594        1,141  

Series 2020-40, IO, 1.04%, 1/16/2062(j)

     51,786        4,066  

Series 2020-14, IO, 0.65%, 2/16/2062(j)

     123,668        7,598  

Series 2020-2, IO, 0.68%, 3/16/2062(j)

     65,278        3,793  

Series 2020-27, IO, 0.76%, 3/16/2062(j)

     29,853        1,948  

Series 2020-143, Class IB, IO, 0.87%, 3/16/2062(j)

     54,523        3,956  

Series 2020-94, IO, 1.03%, 3/16/2062(j)

     77,777        5,971  

Series 2020-110, IO, 1.05%, 3/16/2062(j)

     31,548        2,418  

Series 2020-143, IO, 1.12%, 3/16/2062(j)

     27,758        2,379  

Series 2020-73, IO, 1.21%, 3/16/2062(j)

     36,871        3,121  

Series 2020-10, IO, 0.65%, 4/16/2062(j)

     42,886        2,541  

Series 2020-23, IO, 0.71%, 4/16/2062(j)

     124,283        8,296  

Series 2020-70, IO, 0.83%, 4/16/2062(j)

     53,230        3,670  

Series 2020-38, IO, 0.86%, 4/16/2062(j)

     127,490        8,908  

Series 2020-54, IO, 0.96%, 4/16/2062(j)

     179,901        13,417  

Series 2020-89, Class IA, IO, 1.20%, 4/16/2062(j)

     54,605        4,979  

Series 2020-69, Class IA, IO, 1.32%, 4/16/2062(j)

     21,116        1,917  

Series 2020-120, IO, 0.83%, 5/16/2062(j)

     9,238        704  

Series 2020-91, Class IU, IO, 1.06%, 5/16/2062(j)

     174,648        13,917  

Series 2020-72, IO, 1.09%, 5/16/2062(j)

     118,602        9,813  

Series 2020-50, IO, 0.61%, 6/16/2062(j)

     53,045        3,253  

Series 2020-106, Class IC, IO, 0.81%, 6/16/2062(j)

     175,694        12,552  

Series 2020-108, IO, 0.88%, 6/16/2062(j)

     39,846        2,947  

Series 2020-118, IO, 0.91%, 6/16/2062(j)

     68,638        5,325  

Series 2020-147, IO, 0.94%, 6/16/2062(j)

     182,609        14,667  

Series 2020-169, IO, 0.91%, 7/16/2062(j)

     412,586        31,563  

Series 2020-161, IO, 1.05%, 8/16/2062(j)

     22,759        1,948  

Series 2020-136, IO, 1.10%, 8/16/2062(j)

     58,375        5,102  

Series 2020-111, IO, 0.97%, 9/15/2062(j)

     18,510        1,344  

Series 2020-158, IO, 0.79%, 9/16/2062(j)

     58,597        4,215  

Series 2020-114, IO, 0.82%, 9/16/2062(j)

     91,276        8,032  

Series 2021-88, IO, 0.82%, 9/16/2062(j)

     320,020        24,313  

Series 2021-3, IO, 0.92%, 9/16/2062(j)

     230,827        18,438  

Series 2020-192, IO, 0.98%, 9/16/2062(j)

     68,273        5,475  

Series 2020-172, IO, 1.15%, 9/16/2062(j)

     45,567        4,122  

Series 2021-102, IO, 0.88%, 10/16/2062(j)

     29,790        2,321  

Series 2021-71, IO, 0.89%, 10/16/2062(j)

     179,883        14,140  

Series 2021-33, IO, 0.97%, 10/16/2062(j)

     201,173        15,948  

Series 2020-128, IO, 0.97%, 10/16/2062(j)

     62,474        5,100  

Series 2020-159, IO, 1.04%, 10/16/2062(j)

     31,695        2,646  

Series 2020-190, IO, 1.06%, 11/16/2062(j)

     68,881        6,166  

Series 2021-80, IO, 0.91%, 12/16/2062(j)

     67,002        5,599  

Series 2020-195, IO, 0.97%, 12/16/2062(j)

     39,039        3,265  

Series 2020-150, IO, 0.98%, 12/16/2062(j)

     94,751        9,076  

Series 2021-35, IO, 1.02%, 12/16/2062(j)

     105,508        9,241  

Series 2021-11, IO, 1.02%, 12/16/2062(j)

     119,785        10,396  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2021-48, Class HT, IF, IO, 3.60%, 12/16/2062(j)

     101,870        25,339  

Series 2021-40, IO, 0.84%, 2/16/2063(j)

     54,308        4,147  

Series 2021-120, IO, 1.01%, 2/16/2063(j)

     57,698        5,088  

Series 2021-62, Class SA, IF, IO, 3.60%, 2/16/2063(j)

     122,735        29,000  

Series 2020-145, IO, 0.73%, 3/16/2063(j)

     36,657        2,457  

Series 2021-101, IO, 0.69%, 4/16/2063(j)

     93,212        6,550  

Series 2021-106, IO, 0.92%, 4/16/2063(j)

     200,625        16,050  

Series 2021-151, IO, 0.93%, 4/16/2063(j)

     110,140        9,373  

Series 2021-168, IO, 0.80%, 5/16/2063(j)

     149,557        11,474  

Series 2021-22, IO, 0.99%, 5/16/2063(j)

     58,804        5,055  

Series 2021-10, IO, 1.00%, 5/16/2063(j)

     78,657        6,760  

Series 2021-170, IO, 1.00%, 5/16/2063(j)

     30,894        2,690  

Series 2021-141, Class SA, IF, IO, 3.60%, 6/16/2063(j)

     46,227        9,383  

Series 2021-133, IO, 0.88%, 7/16/2063(j)

     98,867        7,968  

Series 2021-181, IO, 1.01%, 7/16/2063(j)

     235,687        20,869  

Series 2021-61, IO, 1.16%, 8/16/2063(j)

     53,716        4,921  

Series 2021-112, IO, 0.94%, 10/16/2063(j)

     20,835        1,761  

Series 2021-148, IO, 1.09%, 10/16/2063(j)

     69,667        6,625  

Series 2021-110, IO, 0.88%, 11/16/2063(j)

     2,960        246  

Series 2021-180, IO, 0.91%, 11/16/2063(j)

     21,971        1,905  

Series 2021-150, IO, 1.04%, 11/16/2063(j)

     29,819        2,693  

Series 2021-185, IO, 1.15%, 11/16/2063(j)

     40,853        3,982  

Series 2021-167, IO, 0.93%, 12/16/2063(j)

     69,086        6,007  

GNMA, STRIPS Series 3, Class 23, IO, 1.40%, 9/16/2045

     34,059        3,184  

GS Mortgage Securities Trust

 

  

Series 2012-GCJ9, Class D, 4.90%, 11/10/2045‡(a)(j)

     400        400  

Series 2013-GC12, Class E, 3.25%, 6/10/2046‡(a)

     3,550        3,245  

Series 2013-GC12, Class D, 4.59%, 6/10/2046‡(a)(j)

     4,880        4,827  

Series 2015-GC28, Class D, 4.46%, 2/10/2048‡(a)(j)

     2,000        1,993  

Series 2015-GC32, Class D, 3.35%, 7/10/2048‡

     4,521        4,269  

Series 2015-GC32, Class E, 4.57%, 7/10/2048‡(a)(j)

     4,000        3,210  

Series 2015-GC34, Class D, 2.98%, 10/10/2048‡

     12,874        11,542  

Series 2016-GS3, Class C, 4.12%, 10/10/2049‡(j)

     3,250        3,353  

Series 2017-GS5, Class D, 3.51%, 3/10/2050‡(a)(j)

     5,547        5,334  

Series 2015-GC30, Class D, 3.38%, 5/10/2050‡

     4,000        3,917  

Series 2019-GC40, Class E, 3.00%, 7/10/2052‡(a)

     2,250        1,939  

Series 2019-GC42, Class D, 2.80%, 9/1/2052‡(a)

     11,880        10,717  

Series 2019-GSA1, Class XB, IO, 0.42%, 11/10/2052(j)

     39,035        947  

Series 2020-GC45, Class XA, IO, 0.79%, 2/13/2053(j)

     74,760        3,358  

Series 2020-GC45, Class D, 2.85%, 2/13/2053‡(a)(j)

     3,000        2,703  

Series 2020-GC45, Class E, 2.85%, 2/13/2053‡(a)(j)

     7,000        5,867  

Series 2020-GC47, Class XA, IO, 1.25%, 5/12/2053(j)

     80,811        6,690  

Series 2020-GSA2, Class XA, IO, 1.85%, 12/12/2053(a)(j)

     187,347        22,885  

Series 2020-GSA2, Class D, 2.25%, 12/12/2053‡(a)

     18,158        16,017  

Series 2020-GSA2, Class E, 2.25%, 12/12/2053‡(a)

     4,000        3,245  

Harvest Commercial Capital Loan Trust Series 2019-1, Class A, 3.29%, 9/25/2046(a)(j)

     6,772        6,734  

Jackson Park Trust

 

  

Series 2019-LIC, Class E, 3.35%, 10/14/2039‡(a)(j)

     3,725        3,420  

Series 2019-LIC, Class F, 3.35%, 10/14/2039‡(a)(j)

     28,015        24,439  

JPMBB Commercial Mortgage Securities Trust

 

  

Series 2013-C15, Class E, 3.50%, 11/15/2045‡(a)

     3,000        2,848  

Series 2015-C31, Class B, 4.77%, 8/15/2048‡(j)

     2,000        2,145  

Series 2015-C31, Class C, 4.77%, 8/15/2048‡(j)

     5,000        5,223  

Series 2015-C33, Class D2, 4.26%, 12/15/2048‡(a)(j)

     1,000        929  

Series 2016-C1, Class D1, 4.30%, 3/15/2049‡(a)(j)

     1,500        1,527  

JPMCC Commercial Mortgage Securities Trust

 

  

Series 2017-JP5, Class XB, IO, 0.68%, 3/15/2050(j)

     31,917        903  

Series 2017-JP5, Class D, 4.75%, 3/15/2050‡(a)(j)

     1,000        1,003  

Series 2017-JP7, Class D, 4.54%, 9/15/2050‡(a)(j)

     367        368  

JPMCC Re-REMIC Trust Series 2015-FRR2, Class BK39, PO, 8/27/2047(a)

     1,500        1,364  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

JPMDB Commercial Mortgage Securities Trust

 

  

Series 2017-C7, Class C, 4.30%, 10/15/2050‡(j)

     5,000        5,334  

Series 2019-COR6, Class D, 2.50%, 11/13/2052‡(a)

     9,875        8,884  

JPMorgan Chase Commercial Mortgage Securities Trust

 

  

Series 2013-C16, Class D, 5.17%, 12/15/2046(a)(j)

     2,750        2,818  

Series 2015-JP1, Class E, 4.38%, 1/15/2049‡(a)(j)

     3,250        2,791  

Series 2015-JP1, Class C, 4.88%, 1/15/2049‡(j)

     1,000        1,066  

Series 2016-JP3, Class D, 3.59%, 8/15/2049‡(a)(j)

     8,122        7,097  

KKR Industrial Portfolio Trust Series 2021-KDIP, Class F, 2.14%, 12/15/2037‡(a)(j)

     3,938        3,859  

LB Commercial Mortgage Trust Series 2007-C3, Class AJ, 6.02%, 7/15/2044(j)

     3        3  

LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039‡(j)

     88        40  

MF1 Multi-Family Housing Mortgage Loan Trust Series 2019-Q009, Class B, 2.84%, 4/25/2024‡(a)(j)

     1,414        1,414  

MHC Commercial Mortgage Trust Series 2021-MHC, Class G, 3.29%, 4/15/2038‡(a)(j)

     9,600        9,612  

Morgan Stanley Bank of America Merrill Lynch Trust

 

  

Series 2012-C5, Class E, 4.81%, 8/15/2045‡(a)(j)

     2,530        2,540  

Series 2014-C14, Class D, 5.22%, 2/15/2047‡(a)(j)

     5,350        5,510  

Series 2014-C15, Class D, 5.06%, 4/15/2047(a)(j)

     1,000        1,020  

Series 2014-C16, Class B, 4.49%, 6/15/2047‡(j)

     11,000        11,235  

Series 2014-C16, Class C, 4.92%, 6/15/2047‡(j)

     2,300        2,269  

Series 2014-C17, Class C, 4.64%, 8/15/2047‡(j)

     4,000        4,147  

Series 2014-C17, Class D, 4.88%, 8/15/2047‡(a)(j)

     9,393        8,972  

Series 2014-C18, Class D, 3.39%, 10/15/2047‡(a)

     7,157        6,668  

Series 2015-C27, Class E, 3.24%, 12/15/2047‡(a)(j)

     2,500        1,954  

Series 2015-C27, Class F, 3.24%, 12/15/2047‡(a)(j)

     6,334        3,984  

Series 2014-C19, Class D, 3.25%, 12/15/2047‡(a)

     2,000        1,949  

Series 2014-C19, Class E, 3.25%, 12/15/2047‡(a)

     6,500        4,863  

Series 2015-C20, Class D, 3.07%, 2/15/2048(a)

     5,086        4,898  

Series 2015-C21, Class XA, IO, 1.01%, 3/15/2048(j)

     21,304        481  

Series 2015-C21, Class B, 3.85%, 3/15/2048‡(j)

     4,000        4,069  

Series 2015-C24, Class D, 3.26%, 5/15/2048(a)

     3,000        2,865  

Series 2015-C26, Class D, 3.06%, 10/15/2048‡(a)

     4,000        3,851  

Series 2016-C31, Class B, 3.88%, 11/15/2049‡(j)

     4,350        4,599  

Series 2015-C23, Class D, 4.28%, 7/15/2050‡(a)(j)

     1,500        1,491  

Morgan Stanley Capital I Series 2017-HR2, Class C, 4.36%, 12/15/2050‡(j)

     1,200        1,282  

Morgan Stanley Capital I Trust

 

  

Series 2018-MP, Class D, 4.42%, 7/11/2040‡(a)(j)

     1,000        967  

Series 2007-T27, Class C, 6.21%, 6/11/2042‡(a)(j)

     6,633        6,647  

Series 2015-UBS8, Class B, 4.31%, 12/15/2048‡(j)

     5,847        6,040  

Series 2016-UB11, Class C, 3.69%, 8/15/2049‡(j)

     2,000        2,014  

Series 2019-L3, Class D, 2.50%, 11/15/2052(a)

     4,500        4,056  

Series 2020-L4, Class D, 2.50%, 2/15/2053‡(a)

     10,000        8,865  

Series 2020-HR8, Class XA, IO, 1.97%, 7/15/2053(j)

     19,635        2,604  

Series 2021-L5, Class XB, IO, 0.84%, 5/15/2054(j)

     60,000        3,861  

Series 2021-L5, Class XA, IO, 1.42%, 5/15/2054(j)

     163,260        15,232  

Series 2021-L5, Class D, 2.50%, 5/15/2054‡(a)

     1,818        1,598  

Series 2021-L5, Class E, 2.50%, 5/15/2054‡(a)

     4,234        3,538  

Series 2021-L5, Class C, 3.16%, 5/15/2054‡

     6,000        6,062  

Series 2021-L6, Class A4, 2.44%, 6/15/2054

     14,994        15,258  

Series 2021-L6, Class D, 2.50%, 6/15/2054‡(a)

     13,685        11,998  

Series 2021-L6, Class E, 2.50%, 6/15/2054‡(a)

     5,500        4,550  

Series 2021-L6, Class C, 3.58%, 6/15/2054‡(j)

     4,500        4,607  

Series 2021-L7, Class E, 2.50%, 10/15/2054‡(a)

     11,091        8,792  

MRCD MARK Mortgage Trust

 

  

Series 2019-PARK, Class G, 2.72%, 12/15/2036‡(a)

     13,337        12,586  

Series 2019-PARK, Class J, 4.25%, 12/15/2036‡(a)

     20,000        19,230  

Multi-Family Connecticut Avenue Securities Trust

 

  

Series 2019-01, Class M7, 1.79%, 10/15/2049‡(a)(j)

     3,458        3,444  

Series 2019-01, Class M10, 3.34%, 10/15/2049‡(a)(j)

     31,463        31,657  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2020-01, Class M10, 3.84%, 3/25/2050‡(a)(j)

     30,000        31,197  

NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.31%, 4/10/2043‡(a)(j)

     5,000        4,273  

PFP Ltd. (Cayman Islands) Series 2019-5, Class D, 2.74%, 4/14/2036‡(a)(j)

     3,500        3,487  

SBALR Commercial Mortgage Trust

 

  

Series 2020-RR1, Class XA, IO, 1.40%, 2/13/2053(a)(j)

     92,930        7,755  

Series 2020-RR1, Class A2, 2.53%, 2/13/2053(a)

     4,000        4,073  

Series 2020-RR1, Class B, 3.48%, 2/13/2053‡(a)

     11,440        11,994  

Series 2020-RR1, Class C, 3.98%, 2/13/2053‡(a)(j)

     4,750        4,900  

Series 2020-RR1, Class D, 4.20%, 2/13/2053‡(a)(j)

     9,750        9,623  

Series RR Trust Series 2015-1, Class B, PO, 4/26/2048(a)

     14,737        13,192  

SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048‡

     2,000        2,063  

SLG Office Trust

 

  

Series 2021-OVA, Class A, 2.59%, 7/15/2041(a)

     32,123        32,968  

Series 2021-OVA, Class G, 2.85%, 7/15/2041‡(a)

     10,000        8,920  

TPGI Trust Series 2021-DGWD, Class A, 0.79%, 6/15/2026(a)(j)

     16,703        16,629  

UBS Commercial Mortgage Trust

 

  

Series 2017-C1, Class C, 4.44%, 6/15/2050‡

     5,330        5,220  

Series 2017-C2, Class C, 4.30%, 8/15/2050‡(j)

     7,250        7,537  

Series 2017-C5, Class C, 4.45%, 11/15/2050‡(j)

     1,000        1,036  

Series 2018-C11, Class XB, IO, 0.40%, 6/15/2051(j)

     100,000        2,220  

Series 2018-C11, Class B, 4.71%, 6/15/2051‡(j)

     5,000        5,460  

UBS-Barclays Commercial Mortgage Trust Series 2012-C3, Class D, 5.22%, 8/10/2049‡(a)(j)

     3,000        3,048  

Velocity Commercial Capital Loan Trust

 

  

Series 2018-2, Class A, 4.05%, 10/26/2048(a)(j)

     2,514        2,585  

Series 2018-2, Class M2, 4.51%, 10/26/2048‡(a)(j)

     193        199  

Series 2018-2, Class M3, 4.72%, 10/26/2048‡(a)(j)

     357        364  

Series 2019-1, Class A, 3.76%, 3/25/2049(a)(j)

     2,671        2,751  

Series 2019-1, Class M1, 3.94%, 3/25/2049‡(a)(j)

     5,392        5,578  

Series 2019-3, Class A, 3.03%, 10/25/2049(a)(j)

     5,127        5,212  

Series 2021-1, Class A, 1.40%, 5/25/2051(a)(j)

     14,091        13,822  

Series 2021-1, Class M1, 1.79%, 5/25/2051‡(a)(j)

     4,149        4,056  

Series 2021-1, Class M2, 2.26%, 5/25/2051‡(a)(j)

     2,382        2,328  

Series 2021-2, Class A, 1.52%, 8/25/2051(a)(j)

     5,953        5,849  

Washington State Housing Finance Commission Series 2021-1, Class X, IO, 0.73%, 12/20/2035(j)

     94,334        5,726  

Wells Fargo Commercial Mortgage Trust

 

  

Series 2014-LC18, Class D, 3.96%, 12/15/2047‡(a)(j)

     7,952        7,753  

Series 2015-C26, Class D, 3.59%, 2/15/2048‡(a)

     3,000        2,914  

Series 2015-C27, Class C, 3.89%, 2/15/2048‡

     3,500        3,462  

Series 2015-NXS1, Class E, 2.88%, 5/15/2048‡(a)(j)

     9,230        8,104  

Series 2015-C29, Class D, 4.36%, 6/15/2048(j)

     4,000        3,959  

Series 2016-C35, Class D, 3.14%, 7/15/2048‡(a)

     3,000        2,537  

Series 2016-C35, Class C, 4.18%, 7/15/2048‡(j)

     3,000        3,047  

Series 2016-NXS6, Class B, 3.81%, 11/15/2049‡

     450        471  

Series 2017-RB1, Class D, 3.40%, 3/15/2050‡(a)

     1,500        1,406  

Series 2017-C38, Class D, 3.00%, 7/15/2050‡(a)

     4,500        4,097  

Series 2017-C42, Class D, 2.80%, 12/15/2050‡(a)(j)

     1,185        1,058  

Series 2018-C44, Class XB, IO, 0.29%, 5/15/2051(j)

     70,000        823  

Series 2018-C46, Class D, 3.00%, 8/15/2051‡(a)

     1,890        1,653  

Series 2018-C48, Class A5, 4.30%, 1/15/2052

     4,700        5,342  

Series 2019-C49, Class C, 4.87%, 3/15/2052‡(j)

     2,000        2,208  

Series 2019-C52, Class XA, IO, 1.74%, 8/15/2052(j)

     16,171        1,548  

Series 2020-C55, Class D, 2.50%, 2/15/2053‡(a)

     4,500        3,960  

Series 2020-C55, Class E, 2.50%, 2/15/2053‡(a)

     6,850        5,300  

Series 2021-C59, Class D, 2.50%, 4/15/2054‡(a)

     2,500        2,227  

Series 2021-C59, Class E, 2.50%, 4/15/2054‡(a)

     5,000        4,174  

Series 2015-NXS3, Class D, 3.15%, 9/15/2057‡(a)

     2,000        1,944  

Series 2015-NXS2, Class D, 4.43%, 7/15/2058‡(j)

     2,226        2,073  

Series 2015-LC22, Class D, 4.71%, 9/15/2058‡(j)

     5,107        5,131  

Series 2016-C32, Class D, 3.79%, 1/15/2059‡(a)(j)

     4,000        3,853  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Wells Fargo Re-REMIC Trust Series 2013-FRR1, Class BK20, PO, 5/27/2045(a)

     8,000        7,886  

WFRBS Commercial Mortgage Trust Series 2014-C22, Class D, 4.05%, 9/15/2057‡(a)(j)

     6,540        6,089  
     

 

 

 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $4,020,376)

 

     4,024,310  
  

 

 

 

ASSET-BACKED SECURITIES -16.6%

 

ABFC Trust Series 2002-OPT1, Class M1, 1.19%, 5/25/2032‡(j)

     150        151  

ACC Trust

 

  

Series 2019-1, Class B, 4.47%, 10/20/2022(a)

     1,442        1,447  

Series 2020-A, Class A, 6.00%, 3/20/2023(a)

     2,141        2,170  

Series 2019-2, Class B, 3.63%, 8/21/2023(a)

     12,470        12,553  

Series 2019-1, Class C, 6.41%, 2/20/2024(a)

     5,732        5,828  

Series 2021-1, Class B, 1.43%, 7/22/2024(a)

     8,157        8,128  

Series 2019-2, Class C, 5.24%, 10/21/2024(a)

     11,285        11,549  

Series 2021-1, Class C, 2.08%, 12/20/2024(a)

     4,455        4,427  

Series 2021-1, Class D, 5.25%, 3/22/2027(a)

     13,004        12,868  

Accelerated Assets LLC

 

  

Series 2018-1, Class B, 4.51%, 12/2/2033‡(a)

     273        280  

Series 2018-1, Class C, 6.65%, 12/2/2033‡(a)

     592        617  

Accelerated LLC

 

  

Series 2021-1H, Class A, 1.35%, 10/20/2040(a)

     3,535        3,496  

Series 2021-1H, Class B, 1.90%, 10/20/2040(a)

     4,348        4,295  

Series 2021-1H, Class D, 3.58%, 10/20/2040‡(a)

     5,982        5,978  

Affirm Asset Securitization Trust

 

  

Series 2021-A, Class B, 1.06%, 8/15/2025‡(a)

     900        900  

Series 2021-A, Class C, 1.66%, 8/15/2025‡(a)

     630        632  

Series 2021-A, Class D, 3.49%, 8/15/2025‡(a)

     750        757  

American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030

     6,780        6,847  

American Credit Acceptance Receivables Trust

 

  

Series 2018-3, Class F, 6.44%, 6/12/2025(a)

     5,010        5,137  

Series 2019-3, Class E, 3.80%, 9/12/2025(a)

     4,673        4,811  

Series 2019-4, Class D, 2.97%, 12/12/2025(a)

     5,600        5,722  

Series 2019-4, Class E, 3.85%, 12/12/2025(a)

     13,050        13,459  

Series 2020-1, Class E, 3.32%, 3/13/2026(a)

     10,080        10,336  

Series 2020-2, Class C, 3.88%, 4/13/2026(a)

     2,000        2,059  

Series 2019-3, Class F, 5.42%, 5/12/2026(a)

     710        735  

Series 2020-2, Class D, 5.65%, 5/13/2026(a)

     2,400        2,560  

Series 2019-2, Class F, 5.81%, 6/12/2026(a)

     2,000        2,078  

Series 2020-3, Class E, 3.88%, 8/13/2026(a)

     3,000        3,075  

Series 2019-4, Class F, 5.37%, 9/14/2026(a)

     5,180        5,347  

Series 2020-1, Class F, 4.75%, 11/13/2026(a)

     13,460        13,763  

Series 2021-1, Class D, 1.14%, 3/15/2027(a)

     5,386        5,343  

Series 2021-1, Class E, 2.29%, 3/15/2027(a)

     4,500        4,459  

Series 2021-2, Class D, 1.34%, 7/13/2027(a)

     4,920        4,873  

Series 2021-2, Class E, 2.54%, 7/13/2027(a)

     17,000        16,814  

Series 2020-4, Class F, 5.22%, 8/13/2027(a)

     5,000        5,163  

Series 2021-3, Class C, 0.98%, 11/15/2027(a)

     9,433        9,344  

Series 2021-3, Class D, 1.34%, 11/15/2027(a)

     8,832        8,729  

Series 2021-3, Class E, 2.56%, 11/15/2027(a)

     12,406        12,194  

Series 2021-1, Class F, 4.01%, 11/15/2027(a)

     900        904  

Series 2021-2, Class F, 3.73%, 1/13/2028(a)

     5,425        5,363  

Series 2021-4, Class E, 3.12%, 2/14/2028(a)

     14,800        14,761  

Series 2021-3, Class F, 3.64%, 5/15/2028(a)

     10,175        10,003  

Series 2021-4, Class F, 4.21%, 7/13/2028(a)

     5,250        5,225  

AMSR Trust

 

  

Series 2020-SFR2, Class E2, 4.28%, 7/17/2037‡(a)

     10,005        10,326  

Series 2020-SFR2, Class H, 5.25%, 7/17/2037‡(a)

     7,500        7,677  

Series 2020-SFR4, Class E1, 2.21%, 11/17/2037‡(a)

     2,325        2,267  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2020-SFR5, Class F, 2.69%, 11/17/2037‡(a)

     18,177        17,676  

Series 2020-SFR4, Class F, 2.86%, 11/17/2037‡(a)

     15,556        15,202  

Series 2020-SFR5, Class G, 4.11%, 11/17/2037‡(a)

     7,300        7,314  

Series 2019-SFR1, Class F, 3.87%, 1/19/2039‡(a)

     5,310        5,303  

Series 2019-SFR1, Class G, 4.86%, 1/19/2039‡(a)

     2,125        2,170  

Series 2019-SFR1, Class H, 6.04%, 1/19/2039‡(a)

     2,125        2,234  

Applebee’s Funding LLC

 

  

Series 2019-1A, Class A2I, 4.19%, 6/5/2049(a)

     4,697        4,755  

Series 2019-1A, Class A2II, 4.72%, 6/5/2049(a)

     8,005        8,288  

Aqua Finance Trust

 

  

Series 2019-A, Class C, 4.01%, 7/16/2040‡(a)

     7,400        7,597  

Series 2020-AA, Class C, 3.97%, 7/17/2046‡(a)

     4,250        4,410  

Arivo Acceptance Auto Loan Receivables Trust

 

  

Series 2019-1, Class B, 3.37%, 6/15/2025(a)

     4,500        4,566  

Series 2019-1, Class C, 4.35%, 6/15/2026(a)

     1,500        1,525  

Avis Budget Rental Car Funding AESOP LLC

 

  

Series 2018-1A, Class C, 4.73%, 9/20/2024(a)

     560        588  

Series 2019-2A, Class C, 4.24%, 9/22/2025(a)

     3,000        3,163  

Series 2019-3A, Class B, 2.65%, 3/20/2026(a)

     3,000        3,080  

Series 2020-1A, Class D, 3.34%, 8/20/2026(a)

     8,000        7,902  

Ballyrock CLO Ltd. (Cayman Islands) Series 2020-2A, Class DR, 6.28%, 10/20/2031‡(a)(j)

     2,250        2,232  

BlueMountain CLO Ltd. (Cayman Islands) Series 2012-2A, Class DR2, 3.06%, 11/20/2028‡(a)(j)

     600        595  

Business Jet Securities LLC

 

  

Series 2019-1, Class A, 4.21%, 7/15/2034(a)

     6,327        6,437  

Series 2019-1, Class C, 6.95%, 7/15/2034‡(a)

     3,129        3,213  

Series 2020-1A, Class A, 2.98%, 11/15/2035(a)

     5,775        5,833  

Series 2020-1A, Class B, 3.97%, 11/15/2035‡(a)

     4,546        4,606  

Series 2020-1A, Class C, 7.14%, 11/15/2035‡(a)

     6,321        6,531  

Series 2021-1A, Class A, 2.16%, 4/15/2036(a)

     19,510        19,517  

Series 2021-1A, Class B, 2.92%, 4/15/2036‡(a)

     3,555        3,557  

Series 2021-1A, Class C, 5.07%, 4/15/2036‡(a)

     3,516        3,533  

BXG Receivables Note Trust Series 2018-A, Class C, 4.44%, 2/2/2034‡(a)

     1,406        1,456  

Camillo Issuer LLC Series 2017-SFR1, Class A, 5.50%, 6/5/2027‡(a)

     942        979  

Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050(a)

     2,787        2,820  

CARS-DB4 LP

 

  

Series 2020-1A, Class A4, 3.19%, 2/15/2050(a)

     3,491        3,525  

Series 2020-1A, Class A5, 3.48%, 2/15/2050(a)

     2,992        3,046  

Series 2020-1A, Class B1, 4.17%, 2/15/2050‡(a)

     3,500        3,561  

Series 2020-1A, Class B2, 4.52%, 2/15/2050‡(a)

     4,290        4,425  

Series 2020-1A, Class B3, 4.95%, 2/15/2050‡(a)

     4,510        4,673  

CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051(a)

     6,236        6,179  

Carvana Auto Receivables Trust

 

  

Series 2019-1A, Class D, 3.88%, 10/15/2024(a)

     2,000        2,041  

Series 2019-4A, Class D, 3.07%, 7/15/2025(a)

     4,591        4,713  

Series 2019-1A, Class E, 5.64%, 1/15/2026(a)

     500        529  

Series 2019-2A, Class E, 5.01%, 4/15/2026(a)

     3,000        3,154  

Series 2019-3A, Class E, 4.60%, 7/15/2026(a)

     9,700        10,032  

Series 2019-4A, Class E, 4.70%, 10/15/2026(a)

     6,990        7,238  

Series 2020-P1, Class N, 2.84%, 9/8/2027(a)

     104        104  

Cascade MH Asset Trust Series 2019-MH1, Class A, 4.00%, 11/25/2044(a)(j)

     7,011        7,294  

Centex Home Equity Loan Trust Series 2004-A, Class AF4, 5.01%, 8/25/2032‡(h)

     147        149  

CF Hippolyta LLC Series 2020-1, Class B1, 2.28%, 7/15/2060‡(a)

     4,147        4,156  

CIG Auto Receivables Trust Series 2019-1A, Class D, 4.85%, 5/15/2026(a)

     1,660        1,686  

Conn’s Receivables Funding LLC

 

  

Series 2019-B, Class C, 4.60%, 6/17/2024‡(a)

     3,523        3,533  

Series 2020-A, Class C, 4.20%, 6/16/2025‡(a)

     3,066        3,081  

Series 2021-A, Class A, 1.05%, 5/15/2026(a)

     7,000        6,999  

Series 2021-A, Class B, 2.87%, 5/15/2026‡(a)

     1,980        1,983  

Series 2021-A, Class C, 4.59%, 5/15/2026‡(a)

     1,800        1,800  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Consumer Loan Underlying Bond Credit Trust

 

  

Series 2018-P2, Class C, 5.21%, 10/15/2025‡(a)

     822        832  

Series 2019-P2, Class C, 4.41%, 10/15/2026‡(a)

     3,140        3,189  

Series 2020-P1, Class C, 4.61%, 3/15/2028‡(a)

     7,000        7,137  

CoreVest American Finance Trust

 

  

Series 2019-1, Class E, 5.49%, 3/15/2052‡(a)

     1,493        1,624  

Series 2019-2, Class E, 5.35%, 6/15/2052‡(a)(j)

     5,576        5,978  

Series 2019-3, Class XB, IO, 1.56%, 10/15/2052(a)(j)

     53,875        4,443  

Series 2019-3, Class XA, IO, 2.20%, 10/15/2052(a)(j)

     35,709        2,197  

Series 2019-3, Class D, 3.76%, 10/15/2052‡(a)

     8,689        9,049  

Series 2019-3, Class E, 4.91%, 10/15/2052‡(a)(j)

     5,810        6,094  

CPS Auto Receivables Trust

 

  

Series 2020-A, Class D, 2.90%, 12/15/2025(a)

     4,200        4,279  

Series 2021-A, Class D, 1.16%, 12/15/2026(a)

     2,875        2,848  

Series 2021-A, Class E, 2.53%, 3/15/2028(a)

     3,100        3,056  

Series 2021-B, Class E, 3.41%, 6/15/2028(a)

     6,750        6,717  

Credit Acceptance Auto Loan Trust

 

  

Series 2020-1A, Class B, 2.39%, 4/16/2029(a)

     4,550        4,623  

Series 2021-3A, Class A, 1.00%, 5/15/2030(a)

     4,681        4,652  

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-4, Class M1, 0.81%, 7/25/2034‡(j)

     1,003        997  

DataBank Issuer Series 2021-1A, Class C, 4.43%, 2/27/2051‡(a)

     3,800        3,805  

Diamond Resorts Owner Trust

     

Series 2018-1, Class D, 5.90%, 1/21/2031‡(a)

     479        483  

Series 2019-1A, Class D, 5.25%, 2/20/2032‡(a)

     1,697        1,734  

Drive Auto Receivables Trust

 

  

Series 2018-3, Class D, 4.30%, 9/16/2024

     753        764  

Series 2020-1, Class D, 2.70%, 5/17/2027

     2,000        2,042  

Driven Brands Funding LLC

 

  

Series 2019-1A, Class A2, 4.64%, 4/20/2049(a)

     1,945        2,057  

Series 2019-2A, Class A2, 3.98%, 10/20/2049(a)

     3,891        4,073  

Series 2020-1A, Class A2, 3.79%, 7/20/2050(a)

     494        514  

DT Auto Owner Trust

 

  

Series 2019-1A, Class D, 3.87%, 11/15/2024(a)

     1,000        1,020  

Series 2018-1A, Class E, 5.42%, 3/17/2025(a)

     1,055        1,062  

Series 2019-3A, Class D, 2.96%, 4/15/2025(a)

     2,300        2,354  

Series 2020-1A, Class D, 2.55%, 11/17/2025(a)

     5,260        5,367  

Series 2018-3A, Class E, 5.33%, 11/17/2025(a)

     1,340        1,388  

Series 2019-1A, Class E, 4.94%, 2/17/2026(a)

     4,520        4,711  

Series 2020-2A, Class C, 3.28%, 3/16/2026(a)

     3,437        3,539  

Series 2020-2A, Class D, 4.73%, 3/16/2026(a)

     3,770        4,007  

Series 2019-3A, Class E, 3.85%, 8/17/2026(a)

     10,500        10,823  

Series 2019-4A, Class E, 3.93%, 10/15/2026(a)

     13,080        13,458  

Series 2021-1A, Class D, 1.16%, 11/16/2026(a)

     2,633        2,599  

Series 2021-2A, Class D, 1.50%, 2/16/2027(a)

     2,022        2,000  

Series 2020-1A, Class E, 3.48%, 2/16/2027(a)

     10,750        11,032  

Series 2020-2A, Class E, 7.17%, 6/15/2027(a)

     6,880        7,513  

Series 2020-3A, Class E, 3.62%, 10/15/2027(a)

     5,300        5,443  

Series 2021-1A, Class E, 2.38%, 1/18/2028(a)

     2,000        1,973  

Series 2021-2A, Class E, 2.97%, 7/17/2028(a)

     6,500        6,481  

Series 2021-3A, Class E, 2.65%, 9/15/2028(a)

     3,405        3,334  

E3 (Cayman Islands) Series 2019-1, Class C, 5.00%, 9/20/2055‡(a)

     555        557  

Elara HGV Timeshare Issuer LLC

 

  

Series 2019-A, Class C, 3.45%, 1/25/2034‡(a)

     1,433        1,432  

Series 2021-A, Class D, 3.32%, 8/27/2035‡(a)

     4,047        4,022  

Exeter Automobile Receivables Trust

 

  

Series 2017-3A, Class C, 3.68%, 7/17/2023(a)

     209        211  

Series 2017-2A, Class D, 6.39%, 2/15/2024(a)

     734        739  

Series 2018-3A, Class D, 4.35%, 6/17/2024(a)

     1,173        1,196  

Series 2018-3A, Class E, 5.43%, 8/15/2024(a)

     9,255        9,676  

Series 2018-1A, Class E, 4.64%, 10/15/2024(a)

     2,260        2,310  

Series 2017-3A, Class D, 5.28%, 10/15/2024(a)

     1,000        1,016  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2018-2A, Class E, 5.33%, 5/15/2025(a)

     2,900        3,023  

Series 2018-4A, Class E, 5.38%, 7/15/2025(a)

     5,555        5,757  

Series 2018-3A, Class F, 6.55%, 8/25/2025(a)

     5,130        5,352  

Series 2019-1A, Class E, 5.20%, 1/15/2026(a)

     9,375        9,843  

Series 2020-2A, Class D, 4.73%, 4/15/2026(a)

     10,000        10,527  

Series 2019-2A, Class E, 4.68%, 5/15/2026(a)

     9,160        9,596  

Series 2019-3A, Class E, 4.00%, 8/17/2026(a)

     20,572        21,338  

Series 2019-4A, Class E, 3.56%, 10/15/2026(a)

     36,335        37,166  

Series 2021-1A, Class D, 1.08%, 11/16/2026

     13,609        13,466  

Series 2020-1A, Class E, 3.74%, 1/15/2027(a)

     35,090        35,909  

Series 2021-2A, Class D, 1.40%, 4/15/2027

     14,798        14,640  

Series 2020-2A, Class E, 7.19%, 9/15/2027(a)

     10,510        11,625  

Series 2021-1A, Class E, 2.21%, 2/15/2028(a)

     33,320        32,851  

Series 2021-2A, Class E, 2.90%, 7/17/2028(a)

     11,717        11,587  

FirstKey Homes Trust

     

Series 2020-SFR1, Class F2, 4.28%, 8/17/2037‡(a)

     9,000        9,203  

Series 2021-SFR1, Class F1, 3.24%, 8/17/2038‡(a)

     7,333        7,177  

Flagship Credit Auto Trust

 

  

Series 2017-4, Class D, 3.58%, 1/15/2024(a)

     175        178  

Series 2017-2, Class E, 5.55%, 7/15/2024(a)

     530        536  

Series 2019-1, Class D, 4.08%, 2/18/2025(a)

     3,833        3,972  

Series 2020-1, Class D, 2.48%, 3/16/2026(a)

     4,000        4,063  

Series 2019-2, Class E, 4.52%, 12/15/2026(a)

     4,500        4,673  

Series 2021-3, Class E, 3.32%, 12/15/2028(a)

     6,401        6,307  

Foundation Finance Trust

 

  

Series 2019-1A, Class B, 4.22%, 11/15/2034(a)

     855        903  

Series 2019-1A, Class C, 5.66%, 11/15/2034‡(a)

     3,055        3,317  

FREED ABS Trust

 

  

Series 2019-1, Class C, 5.39%, 6/18/2026‡(a)

     15,453        15,633  

Series 2019-2, Class C, 4.86%, 11/18/2026‡(a)

     7,000        7,129  

Series 2020-FP1, Class B, 3.06%, 3/18/2027‡(a)

     6,150        6,191  

Series 2020-FP1, Class C, 4.37%, 3/18/2027‡(a)

     12,250        12,447  

Series 2020-2CP, Class B, 5.50%, 6/18/2027‡(a)

     1,822        1,849  

Series 2020-3FP, Class B, 4.18%, 9/20/2027‡(a)

     1,234        1,242  

Series 2021-1CP, Class B, 1.41%, 3/20/2028‡(a)

     3,250        3,245  

Series 2021-1CP, Class C, 2.83%, 3/20/2028‡(a)

     1,400        1,404  

Series 2021-2, Class C, 1.94%, 6/19/2028‡(a)

     2,796        2,801  

Series 2021-3FP, Class D, 2.37%, 11/20/2028‡(a)

     9,524        9,398  

Genesis Sales Finance Master Trust

 

  

Series 2020-AA, Class C, 2.99%, 9/22/2025(a)

     1,000        1,004  

GLS Auto Receivables Issuer Trust

 

  

Series 2020-1A, Class C, 2.72%, 11/17/2025(a)

     5,000        5,096  

Series 2019-1A, Class D, 4.94%, 12/15/2025(a)

     4,505        4,655  

Series 2019-2A, Class D, 4.52%, 2/17/2026(a)

     7,950        8,210  

Series 2019-3A, Class D, 3.84%, 5/15/2026(a)

     700        717  

Series 2019-4A, Class D, 4.09%, 8/17/2026(a)

     8,950        9,212  

Series 2020-4A, Class D, 1.64%, 10/15/2026(a)

     3,000        3,007  

Series 2020-1A, Class D, 3.68%, 11/16/2026(a)

     15,750        16,070  

Series 2020-3A, Class E, 4.31%, 7/15/2027(a)

     3,830        3,961  

Series 2020-4A, Class E, 3.51%, 10/15/2027(a)

     11,700        11,895  

GLS Auto Receivables Trust

 

  

Series 2018-3A, Class D, 5.34%, 8/15/2025(a)

     680        705  

Series 2021-2A, Class C, 1.08%, 6/15/2026(a)

     2,187        2,171  

Series 2021-2A, Class E, 2.87%, 5/15/2028(a)

     1,130        1,110  

Golden Bear LLC Series 2016-R, Class R, 5.65%, 9/20/2047(a)

     219        219  

HERO Funding II (Cayman Islands)

 

  

Series 2016-3B, Class B, 5.24%, 9/20/2042‡(a)

     154        154  

Series 2016-4B, Class B, 9/20/2047‡(a)

     193        196  

Hertz Vehicle Financing III LP

 

  

Series 2021-2A, Class B, 2.12%, 12/27/2027(a)

     2,695        2,680  

Series 2021-2A, Class D, 4.34%, 12/27/2027(a)

     12,000        12,011  

HIN Timeshare Trust

 

  

Series 2020-A, Class B, 2.23%, 10/9/2039‡(a)

     2,528        2,537  

Series 2020-A, Class D, 5.50%, 10/9/2039‡(a)

     2,199        2,276  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Lakeview CDO LLC 2.83%, 11/10/2032‡(j)

     6,650        6,543  

Lending Point Asset Securitization Trust Series 2020-1, Class C, 4.14%, 2/10/2026‡(a)

     2,588        2,598  

LendingClub Loan Certificate Issuer Trust Series 2021-NP1, Class CERT, 12/15/2036‡(a)

     900        22,785  

Lendingpoint Asset Securitization Trust

 

  

Series 2021-A, Class C, 2.75%, 12/15/2028‡(a)

     8,511        8,440  

Series 2021-A, Class D, 5.73%, 12/15/2028‡(a)

     11,540        11,410  

Series 2021-B, Class B, 1.68%, 2/15/2029‡(a)

     12,450        12,362  

Series 2021-B, Class C, 3.21%, 2/15/2029‡(a)

     27,348        27,095  

Series 2021-B, Class D, 6.12%, 2/15/2029‡(a)

     2,000        1,980  

LendingPoint Asset Securitization Trust Series 2021-1, Class C, 4.94%, 4/15/2027‡(a)

     10,628        10,628  

Lendmark Funding Trust

 

  

Series 2019-1A, Class D, 5.34%, 12/20/2027‡(a)

     6,000        6,110  

Series 2019-2A, Class C, 3.72%, 4/20/2028‡(a)

     3,040        3,090  

Series 2019-2A, Class D, 5.24%, 4/20/2028‡(a)

     16,710        17,149  

Series 2021-1A, Class A, 1.90%, 11/20/2031(a)

     3,729        3,710  

Series 2021-1A, Class B, 2.47%, 11/20/2031‡(a)

     1,326        1,338  

Series 2021-1A, Class C, 3.41%, 11/20/2031‡(a)

     1,312        1,338  

Series 2021-1A, Class D, 5.05%, 11/20/2031‡(a)

     6,750        7,032  

Series 2021-2A, Class D, 4.46%, 4/20/2032(a)

     15,000        15,107  

LFT CRE Ltd. (Cayman Islands)

 

  

Series 2021-FL1, Class D, 2.54%, 6/15/2039‡(a)(j)

     22,600        22,572  

Series 2021-FL1, Class E, 3.04%, 6/15/2039‡(a)(j)

     10,000        9,988  

LL ABS Trust

 

  

Series 2019-1A, Class C, 5.07%, 3/15/2027‡(a)

     11,117        11,341  

Series 2020-1A, Class A, 2.33%, 1/17/2028(a)

     1,766        1,772  

Series 2020-1A, Class C, 6.54%, 1/17/2028‡(a)

     5,410        5,740  

Series 2021-1A, Class A, 1.07%, 5/15/2029(a)

     9,189        9,152  

Series 2021-1A, Class B, 2.17%, 5/15/2029‡(a)

     2,269        2,243  

Series 2021-1A, Class C, 3.54%, 5/15/2029‡(a)

     5,120        5,058  

LP LMS Asset Securitization Trust Series 2021-2A, Class C, 3.85%, 1/15/2029‡(a)

     8,895        8,803  

Magnetite XXVII Ltd. (Cayman Islands) Series 2020-27A, Class ER, 6.13%, 10/20/2034‡(a)(j)

     7,000        6,939  

Mariner Finance Issuance Trust

 

  

Series 2019-AA, Class D, 5.44%, 7/20/2032‡(a)

     5,120        5,213  

Series 2021-BA, Class E, 4.68%, 11/20/2036(a)

     5,030        5,039  

Marlette Funding Trust Series 2017-3A, Class D, 5.03%, 12/15/2024‡(a)

     1,230        1,234  

ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049(a)

     27,558        28,959  

New Economy Assets Phase 1 Sponsor LLC Series 2021-1, Class B1, 2.41%, 10/20/2061(a)

     2,550        2,552  

New Residential Mortgage LLC

 

  

Series 2020-FNT1, Class A, 5.44%, 6/25/2025(a)

     17,439        17,684  

Series 2018-FNT2, Class D, 4.92%, 7/25/2054‡(a)

     281        281  

Series 2018-FNT2, Class E, 5.12%, 7/25/2054‡(a)

     422        422  

Series 2018-FNT2, Class F, 5.95%, 7/25/2054‡(a)

     1,406        1,406  

NRZ Excess Spread-Collateralized Notes

 

  

Series 2018-FNT1, Class D, 4.69%, 5/25/2023‡(a)

     458        457  

Series 2018-FNT1, Class E, 4.89%, 5/25/2023‡(a)

     655        653  

Series 2020-PLS1, Class A, 3.84%, 12/25/2025(a)

     8,997        9,031  

Series 2021-FNT1, Class A, 2.98%, 3/25/2026(a)

     6,822        6,777  

Series 2021-FNT2, Class A, 3.23%, 5/25/2026(a)

     15,261        15,156  

Series 2021-FHT1, Class A, 3.10%, 7/25/2026(a)

     37,126        37,054  

Series 2021-GNT1, Class A, 3.47%, 11/25/2026(a)

     20,778        20,777  

NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025(a)

     6,202        6,238  

Ocean Beach Spc (Cayman Islands) Series 2020-1I, Class A, 4.00%, 9/26/2022

     3,236        3,249  

Octane Receivables Trust

 

  

Series 2019-1A, Class A, 3.16%, 9/20/2023(a)

     1,429        1,438  

Series 2019-1A, Class B, 3.77%, 7/22/2024‡(a)

     12,591        12,809  

OnDeck Asset Securitization Trust III LLC

 

  

Series 2021-1A, Class A, 1.59%, 5/17/2027(a)

     2,685        2,676  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2021-1A, Class C, 2.97%, 5/17/2027‡(a)

     2,500        2,491  

Series 2021-1A, Class D, 4.94%, 5/17/2027‡(a)

     2,027        2,026  

OneMain Direct Auto Receivables Trust

 

  

Series 2018-1A, Class D, 4.40%, 1/14/2028(a)

     580        582  

Series 2019-1A, Class D, 4.68%, 4/14/2031(a)

     4,500        4,878  

OneMain Financial Issuance Trust

 

  

Series 2019-1A, Class B, 3.79%, 2/14/2031‡(a)

     745        746  

Series 2018-2A, Class D, 4.29%, 3/14/2033‡(a)

     1,500        1,575  

Series 2020-2A, Class A, 1.75%, 9/14/2035(a)

     6,822        6,788  

Series 2020-2A, Class B, 2.21%, 9/14/2035‡(a)

     4,000        4,025  

Series 2021-1A, Class A1, 1.55%, 6/16/2036(a)

     45,500        45,086  

Oportun Issuance Trust

 

  

Series 2021-B, Class C, 3.65%, 5/8/2031‡(a)

     1,077        1,081  

Series 2021-B, Class D, 5.41%, 5/8/2031‡(a)

     1,760        1,765  

Series 2021-C, Class A, 2.18%, 10/8/2031(a)

     8,663        8,629  

Orange Lake Timeshare Trust

 

  

Series 2018-A, Class C, 3.74%, 11/8/2030‡(a)

     1,617        1,644  

Series 2019-A, Class D, 4.93%, 4/9/2038‡(a)

     2,171        2,214  

Pagaya AI Debt Selection Trust

 

  

Series 2020-3, Class C, 6.43%, 5/17/2027‡(a)

     3,396        3,521  

Series 2021-1, Class B, 2.13%, 11/15/2027‡(a)

     5,998        6,012  

Series 2021-3, Class A, 1.15%, 5/15/2029(a)

     16,985        16,929  

Series 2021-3, Class B, 1.74%, 5/15/2029(a)

     11,340        11,215  

Series 2021-3, Class C, 3.27%, 5/15/2029‡(a)

     17,500        17,391  

Palmer Square Loan Funding Ltd. (Cayman Islands)

 

  

Series 2021-4A, Class C, 2.72%, 10/15/2029‡(a)(j)

     8,877        8,865  

Series 2021-4A, Class D, 5.12%, 10/15/2029‡(a)(j)

     12,000        11,907  

Planet Fitness Master Issuer LLC

 

  

Series 2018-1A, Class A2I, 4.26%, 9/5/2048(a)

     17,169        17,158  

Series 2018-1A, Class A2II, 4.67%, 9/5/2048(a)

     1,392        1,426  

PNMAC FMSR Issuer Trust Series 2018-FT1, Class A, 2.44%, 4/25/2023(a)(j)

     4,626        4,614  

PNMAC GMSR Issuer Trust

 

  

Series 2018-GT1, Class A, 2.94%, 2/25/2023(a)(j)

     4,655        4,663  

Series 2018-GT2, Class A, 2.74%, 8/25/2025(a)(j)

     4,320        4,317  

Popular ABS Mortgage Pass-Through Trust Series 2005-3, Class M1, 5.60%, 7/25/2035‡(h)

     190        190  

Prestige Auto Receivables Trust Series 2017-1A, Class E, 4.89%, 5/15/2024(a)

     1,160        1,165  

PRET LLC Series 2021-NPL3, Class A2, 3.72%, 7/25/2051(a)(h)

     3,333        3,293  

Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A2, 4.21%, 9/27/2060(a)(h)

     14,000        14,046  

Progress Residential Series 2021-SFR1, Class G, 3.86%, 4/17/2038‡(a)

     7,000        7,032  

Progress Residential Trust

 

  

Series 2020-SFR3, Class F, 2.80%, 10/17/2027‡(a)

     5,000        4,944  

Series 2020-SFR3, Class G, 4.11%, 10/17/2027(a)

     3,000        3,013  

Series 2019-SFR1, Class E, 4.47%, 8/17/2035‡(a)

     2,000        2,003  

Series 2019-SFR2, Class E, 4.14%, 5/17/2036‡(a)

     4,000        4,015  

Series 2019-SFR3, Class E, 3.37%, 9/17/2036‡(a)

     6,100        6,141  

Series 2021-SFR9, Class F, 4.05%, 11/17/2040‡(a)

     15,000        14,927  

Prosper Marketplace Issuance Trust Series 2019-2A, Class C, 5.05%, 9/15/2025‡(a)

     5,312        5,347  

PRPM LLC Series 2020-4, Class A2, 3.44%, 10/25/2025‡(a)(h)

     7,000        7,000  

RAMP Trust Series 2002-RS2, Class AI5, 6.03%, 3/25/2032‡(j)

     75        76  

ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 2.75%, 12/27/2044(a)(j)

     11,007        10,545  

Regional Management Issuance Trust

 

  

Series 2019-1, Class C, 4.11%, 11/15/2028‡(a)

     5,110        5,142  

Series 2020-1, Class A, 2.34%, 10/15/2030(a)

     6,000        6,058  

Series 2020-1, Class D, 6.77%, 10/15/2030‡(a)

     2,410        2,455  

Series 2021-1, Class A, 1.68%, 3/17/2031(a)

     5,728        5,669  

Series 2021-1, Class B, 2.42%, 3/17/2031‡(a)

     895        887  

Series 2021-1, Class C, 3.04%, 3/17/2031‡(a)

     2,500        2,493  

Series 2021-1, Class D, 5.07%, 3/17/2031‡(a)

     2,600        2,625  

Renaissance Home Equity Loan Trust

 

  

Series 2003-4, Class M2F, 6.24%, 3/25/2034‡(h)

     122        122  

Series 2005-2, Class M1, 5.05%, 8/25/2035‡(h)

     500        525  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Renew (Cayman Islands) Series 2017-1A, Class B, 5.75%, 9/20/2052‡(a)

     151        153  

Republic Finance Issuance Trust

     

Series 2020-A, Class A, 2.47%, 11/20/2030(a)

     2,857        2,901  

Series 2021-A, Class D, 5.23%, 12/22/2031‡(a)

     930        931  

Santander Drive Auto Receivables Trust

     

Series 2018-2, Class E, 5.02%, 9/15/2025

     5,584        5,686  

Series 2021-2, Class D, 1.35%, 7/15/2027

     5,360        5,340  

Santander Prime Auto Issuance Notes Trust

     

Series 2018-A, Class E, 5.04%, 9/15/2025(a)

     515        525  

Series 2018-A, Class F, 6.80%, 9/15/2025(a)

     1,048        1,059  

Santander Revolving Auto Loan Trust

     

Series 2019-A, Class C, 3.00%, 1/26/2032(a)

     880        912  

Series 2019-A, Class D, 3.45%, 1/26/2032(a)

     8,085        8,404  

SCF Equipment Leasing LLC

     

Series 2021-1A, Class E, 3.56%, 8/20/2032‡(a)

     3,300        3,213  

Series 2021-1A, Class F, 5.52%, 8/20/2032‡(a)

     20,757        20,579  

Service Experts Issuer LLC Series 2021-1A, Class A, 2.67%, 2/2/2032(a)

     900        898  

Sierra Timeshare Receivables Funding LLC

 

  

Series 2019-1A, Class D, 4.75%, 1/20/2036‡(a)

     419        427  

Series 2019-2A, Class D, 4.54%, 5/20/2036‡(a)

     1,149        1,167  

Series 2019-3A, Class D, 4.18%, 8/20/2036‡(a)

     2,636        2,652  

Series 2020-2A, Class D, 6.59%, 7/20/2037‡(a)

     2,416        2,521  

Series 2021-2A, Class D, 3.23%, 9/20/2038‡(a)

     4,108        4,087  

Small Business Lending Trust Series 2020-A, Class C, 5.01%, 12/15/2026‡(a)

     3,250        3,268  

SoFi Consumer Loan Program LLC Series 2017-6, Class C, 4.02%, 11/25/2026‡(a)

     100        100  

SoFi Consumer Loan Program Trust

 

  

Series 2018-1, Class C, 3.97%, 2/25/2027‡(a)

     450        454  

Series 2018-2, Class C, 4.25%, 4/26/2027‡(a)

     5,000        5,059  

Sonic Capital LLC Series 2021-1A, Class A2II, 2.64%, 8/20/2051(a)

     5,408        5,309  

Structured Asset Investment Loan Trust Series 2004-8, Class M3, 1.07%, 9/25/2034‡(j)

     115        115  

Tesla Auto Lease Trust

 

  

Series 2019-A, Class D, 3.37%, 1/20/2023(a)

     2,700        2,758  

Series 2019-A, Class E, 5.48%, 5/22/2023(a)

     18,790        19,397  

Series 2020-A, Class E, 4.64%, 8/20/2024(a)

     4,493        4,653  

Series 2021-A, Class E, 2.64%, 3/20/2025(a)

     11,000        11,037  

Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027(a)

     5,415        5,410  

Towd Point Mortgage Trust Series 2017-FRE2, Class M6, 4.00%, 11/25/2047‡(a)(h)

     4,094        4,115  

Tricolor Auto Securitization Trust

     

Series 2021-1A, Class E, 3.23%, 9/15/2026(a)

     500        496  

Series 2020-1A, Class B, 8.25%, 11/15/2026(a)

     6,349        6,456  

Series 2021-1A, Class F, 5.08%, 5/15/2028(a)

     500        494  

Upstart Pass-Through Trust

     

Series 2021-ST4, Class CERT, 7/20/2027‡(a)

     1,875        1,961  

Series 2021-ST6, Class CERT, 8/20/2027‡(a)

     2,900        3,290  

Series 2021-ST6, Class A, 1.85%, 8/20/2027(a)

     5,354        5,320  

Series 2021-PT1, Class A, HB, 20.00%, 9/20/2027(a)(j)

     8,209        8,161  

Series 2021-ST7, Class CERT, 9/20/2029‡(a)

     3,500        4,060  

Series 2021-ST7, Class A, 1.85%, 9/20/2029(a)

     6,142        6,104  

Series 2021-ST8, Class CERT, 10/20/2029‡(a)

     2,670        3,297  

Series 2021-ST8, Class A, 1.75%, 10/20/2029(a)

     3,326        3,305  

Series 2021-ST9, Class CERT, 11/20/2029‡(a)

     2,830        3,663  

Series 2021-PT2, Class A, HB, 20.95%, 11/20/2029(a)(j)

     11,853        11,861  

Series 2021-PT3, Class A, HB, 21.56%, 12/20/2029(a)(j)

     12,000        12,044  

Upstart Securitization Trust

     

Series 2020-1, Class C, 4.90%, 4/22/2030‡(a)

     6,100        6,294  

Series 2020-3, Class C, 6.25%, 11/20/2030‡(a)

     1,000        1,062  

Series 2021-1, Class C, 4.06%, 3/20/2031‡(a)

     2,500        2,532  

Series 2021-2, Class C, 3.61%, 6/20/2031(a)

     16,291        16,216  

Series 2021-3, Class C, 3.28%, 7/20/2031‡(a)

     6,518        6,473  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2021-4, Class C, 3.19%, 9/20/2031‡(a)

     6,604        6,512  

Series 2021-5, Class A, 1.31%, 11/20/2031(a)

     12,150        12,125  

Series 2021-5, Class C, 4.15%, 11/20/2031‡(a)

     12,636        12,630  

US Auto Funding

     

Series 2021-1A, Class A, 0.79%, 7/15/2024(a)

     6,372        6,363  

Series 2021-1A, Class B, 1.49%, 3/17/2025(a)

     3,407        3,385  

Series 2021-1A, Class C, 2.20%, 5/15/2026(a)

     8,054        7,946  

Series 2021-1A, Class D, 4.36%, 3/15/2027(a)

     10,392        10,389  

US Auto Funding LLC Series 2019-1A, Class C, 5.34%, 3/15/2023(a)

     7,000        7,053  

VCAT LLC Series 2021-NPL2, Class A2, 4.21%, 3/27/2051(a)(h)

     5,500        5,475  

VM DEBT TRUST Series 2019-1, 9.50%, 5/31/2024

     10,240        10,240  

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051(a)(h)

     14,110        14,078  

VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051‡(a)(h)

     5,747        5,728  

Voya CLO Ltd. (Cayman Islands) Series 2016-3A, Class CR, 3.37%, 10/18/2031‡(a)(j)

     535        520  

Welk Resorts LLC

     

Series 2019-AA, Class C, 3.34%, 6/15/2038‡(a)

     2,718        2,764  

Series 2019-AA, Class D, 4.03%, 6/15/2038‡(a)

     1,071        1,095  

Westgate Resorts LLC Series 2020-1A, Class C, 6.21%, 3/20/2034‡(a)

     7,429        7,766  

Westlake Automobile Receivables Trust

     

Series 2018-3A, Class E, 4.90%, 12/15/2023(a)

     670        685  

Series 2019-2A, Class D, 3.20%, 11/15/2024(a)

     1,013        1,034  

Series 2018-3A, Class F, 6.02%, 2/18/2025(a)

     3,690        3,793  

Series 2019-3A, Class E, 3.59%, 3/17/2025(a)

     600        619  

Series 2019-2A, Class E, 4.02%, 4/15/2025(a)

     4,815        4,992  

Series 2020-2A, Class C, 2.01%, 7/15/2025(a)

     1,000        1,015  

Series 2020-2A, Class D, 2.76%, 1/15/2026(a)

     2,000        2,048  

Series 2019-1A, Class F, 5.67%, 2/17/2026(a)

     3,009        3,101  

Series 2019-2A, Class F, 5.00%, 3/16/2026(a)

     1,880        1,938  

Series 2019-3A, Class F, 4.72%, 4/15/2026(a)

     3,400        3,479  

Series 2021-2A, Class D, 1.23%, 12/15/2026(a)

     1,380        1,361  

Series 2021-2A, Class E, 2.38%, 3/15/2027(a)

     1,700        1,683  

Series 2021-3A, Class E, 3.42%, 4/15/2027(a)

     3,400        3,394  

Series 2021-2A, Class F, 3.66%, 12/15/2027(a)

     2,975        2,939  

ZAXBY’S FUNDING LLC Series 2021-1A, Class A2, 3.24%, 7/30/2051(a)

     6,813        6,963  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost $2,213,472)

 

     2,223,138  
  

 

 

 

COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2%

 

ACC 0.00%, 9/15/2022‡

     11,226        11,226  

Acrc 0.00%, 11/15/2026‡

     35,000        35,000  

Adjustable Rate Mortgage Trust Series 2006-2, Class 1A4, 3.15%, 5/25/2036(j)

     1,229        1,191  

AG Mitt Frn 0.00%, 9/15/2023‡

     39,474        39,474  

Alternative Loan Trust

     

Series 2004-18CB, Class 5A1, 6.25%, 9/25/2034

     24        25  

Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034

     17        18  

Series 2005-23CB, Class A7, 5.25%, 7/25/2035

     22        20  

Series 2005-23CB, Class A16, 5.50%, 7/25/2035

     60        57  

Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035

     394        399  

Series 2005-J14, Class A3, 5.50%, 12/25/2035

     261        216  

Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037

     536        392  

Angel Oak Mortgage Trust

     

Series 2019-5, Class M1, 3.30%, 10/25/2049‡(a)(j)

     8,000        7,990  

Series 2019-5, Class B1, 3.96%, 10/25/2049‡(a)(j)

     2,470        2,466  

Series 2019-6, Class B3, 5.99%, 11/25/2059‡(a)(j)

     1,250        1,225  

Series 2020-1, Class M1, 3.16%, 12/25/2059‡(a)(j)

     4,400        4,408  

Series 2020-1, Class B1, 3.76%, 12/25/2059‡(a)(j)

     1,550        1,551  

Angel Oak Mortgage Trust I LLC Series 2018-3, Class B1, 5.04%, 9/25/2048‡(a)(j)

     1,000        1,001  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Areit Frn 0.00%, 8/17/2026‡

     29,000        29,000  

Arroyo Mortgage Trust

     

Series 2019-3, Class M1, 4.20%, 10/25/2048‡(a)(j)

     1,000        1,022  

Series 2019-2, Class A3, 3.80%, 4/25/2049(a)(j)

     805        809  

Banc of America Funding Trust Series 2007-5, Class 4A1, 0.46%, 7/25/2037(j)

     967        704  

Bear Stearns ALT-A Trust Series 2004-7, Class 2A1, 2.48%, 8/25/2034(j)

     105        109  

Bear Stearns Asset-Backed Securities Trust Series 2003-AC4, Class M1, 5.66%, 9/25/2033‡(h)

     96        92  

Bellemeade Re Ltd. (Bermuda)

     

Series 2019-1A, Class M2, 2.79%, 3/25/2029‡(a)(j)

     1,000        1,003  

Series 2019-3A, Class B1, 2.59%, 7/25/2029‡(a)(j)

     1,000        999  

Camden 0.00%, 9/15/2031‡

     1,619        1,619  

CHL GMSR Issuer Trust

     

Series 2018-GT1, Class A, 2.84%, 5/25/2023(a)(j)

     840        841  

Series 2018-GT1, Class B, 3.59%, 5/25/2023‡(a)(j)

     3,200        3,202  

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8, Class 1A5, 5.50%, 11/25/2035

     40        40  

Citigroup Mortgage Loan Trust, Inc.

     

Series 2004-NCM2, Class 3CB2, 6.50%, 8/25/2019‡

     6        6  

Series 2003-1, Class 3A5, 5.25%, 9/25/2033

     74        76  

COLT Mortgage Loan Trust Series 2020-1, Class A1, 2.49%, 2/25/2050(a)(j)

     591        591  

Connecticut Avenue Securities Trust

     

Series 2018-R07, Class 1B1, 4.44%, 4/25/2031‡(a)(j)

     8,186        8,411  

Series 2019-R01, Class 2M2, 2.54%, 7/25/2031‡(a)(j)

     6,092        6,118  

Series 2019-R01, Class 2B1, 4.44%, 7/25/2031(a)(j)

     4,606        4,716  

Series 2019-R02, Class 1B1, 4.24%, 8/25/2031‡(a)(j)

     7,130        7,282  

Series 2019-R04, Class 2B1, 5.34%, 6/25/2039‡(a)(j)

     5,000        5,131  

Series 2019-R05, Class 1M2, 2.09%, 7/25/2039‡(a)(j)

     203        203  

Series 2019-R05, Class 1B1, 4.19%, 7/25/2039(a)(j)

     8,750        8,860  

Series 2019-R06, Class 2B1, 3.84%, 9/25/2039(a)(j)

     31,974        32,113  

Series 2019-R07, Class 1M2, 2.19%, 10/25/2039‡(a)(j)

     4,090        4,098  

Series 2019-R07, Class 1B1, 3.49%, 10/25/2039(a)(j)

     10,047        10,093  

Series 2020-R01, Class 1M2, 2.14%, 1/25/2040‡(a)(j)

     2,018        2,026  

Series 2020-R02, Class 2B1, 3.09%, 1/25/2040(a)(j)

     2,834        2,820  

Series 2020-R01, Class 1B1, 3.34%, 1/25/2040‡(a)(j)

     2,000        2,001  

Series 2021-R01, Class 1B1, 3.15%, 10/25/2041(a)(j)

     2,600        2,610  

CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4, Class 2A5, 0.64%, 6/25/2035(j)

     227        170  

Deephaven Residential Mortgage Trust

     

Series 2020-1, Class A1, 2.34%, 1/25/2060(a)(j)

     1,725        1,727  

Series 2020-1, Class A3, 2.65%, 1/25/2060(a)(j)

     2,183        2,186  

Series 2020-1, Class M1, 3.01%, 1/25/2060‡(a)(j)

     9,500        9,464  

Series 2020-1, Class B1, 3.66%, 1/25/2060‡(a)(j)

     4,000        4,000  

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-1, Class 3A5, 6.16%, 12/25/2033(h)

     124        127  

Eagle RE Ltd. (Bermuda) Series 2019-1, Class M2, 3.39%, 4/25/2029‡(a)(j)

     6,240        6,316  

FARM Mortgage Trust Series 2021-1, Class B, 3.25%, 1/25/2051‡(a)(j)

     1,777        1,572  

FHLMC STACR REMIC Trust

     

Series 2021-DNA5, Class B2, 5.55%, 1/25/2034(a)(j)

     3,400        3,535  

Series 2020-HQA3, Class B1, 5.84%, 7/25/2050(a)(j)

     10,000        10,407  

Series 2020-DNA4, Class B1, 6.09%, 8/25/2050(a)(j)

     10,955        11,558  

Series 2021-DNA1, Class B2, 4.80%, 1/25/2051‡(a)(j)

     6,400        6,424  

FHLMC STACR Trust Series 2019-HQA2, Class M2, 2.14%, 4/25/2049(a)(j)

     1,453        1,460  

FHLMC Structured Agency Credit Risk Debt Notes

     

Series 2015-HQ1, Class B, 10.84%, 3/25/2025(j)

     1,665        1,709  

Series 2016-DNA1, Class M3, 5.64%, 7/25/2028(j)

     4,813        5,038  

Series 2016-HQA1, Class M3, 6.44%, 9/25/2028(j)

     1,554        1,631  

Series 2016-DNA2, Class M3, 4.74%, 10/25/2028(j)

     2,871        2,976  

Series 2016-HQA2, Class M3, 5.24%, 11/25/2028(j)

     13,104        13,515  

Series 2016-DNA4, Class M3, 3.89%, 3/25/2029(j)

     1,972        2,039  

Series 2017-DNA2, Class B1, 5.24%, 10/25/2029(j)

     7,000        7,640  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2017-HQA2, Class B1, 4.84%, 12/25/2029(j)

     2,500        2,709  

Series 2017-DNA3, Class B1, 4.54%, 3/25/2030(j)

     3,500        3,728  

Series 2017-HQA3, Class B1, 4.54%, 4/25/2030(j)

     1,000        1,051  

Series 2018-HQA1, Class M2, 2.39%, 9/25/2030(j)

     6,798        6,865  

Series 2018-HQA1, Class B1, 4.44%, 9/25/2030(j)

     37,510        38,819  

Series 2021-DNA2, Class M2, 2.35%, 8/25/2033(a)(j)

     3,400        3,462  

Series 2021-DNA2, Class B2, 6.05%, 8/25/2033(a)(j)

     9,500        10,446  

FHLMC, REMIC

 

  

Series 4102, Class BI, IO, 3.50%, 8/15/2027

     1,833        161  

Series 4149, IO, 3.00%, 1/15/2033

     393        35  

Series 4160, IO, 3.00%, 1/15/2033

     1,093        117  

Series 4212, Class MI, IO, 3.00%, 6/15/2033

     1,486        164  

Series 2916, Class S, IF, IO, 7.16%, 1/15/2035(j)

     2,109        393  

Series 3145, Class GI, IF, IO, 6.51%, 4/15/2036(j)

     2,040        354  

Series 4116, Class LS, IF, IO, 6.11%, 10/15/2042(j)

     290        62  

Series 4495, Class PI, IO, 4.00%, 9/15/2043

     345        26  

Series 4321, Class PI, IO, 4.50%, 1/15/2044

     359        54  

Series 4670, Class TI, IO, 4.50%, 1/15/2044

     595        56  

Series 4550, Class DI, IO, 4.00%, 3/15/2044

     264        19  

Series 4612, Class QI, IO, 3.50%, 5/15/2044

     430        42  

Series 4612, Class PI, IO, 3.50%, 6/15/2044

     40        4  

Series 4657, Class QI, IO, 4.00%, 9/15/2044

     451        32  

Series 4585, Class JI, IO, 4.00%, 5/15/2045

     370        48  

Series 4628, Class PI, IO, 4.00%, 7/15/2045

     277        26  

Series 4599, Class SA, IF, IO, 5.91%, 7/15/2046(j)

     253        53  

Series 5147, Class ZN, 3.00%, 10/25/2046

     5,612        5,661  

Series 4681, Class SD, IF, IO, 6.06%, 5/15/2047(j)

     538        120  

Series 4694, Class SA, IF, IO, 6.01%, 6/15/2047(j)

     889        157  

Series 4689, Class SD, IF, IO, 6.06%, 6/15/2047(j)

     808        175  

Series 4717, Class SP, IF, IO, 6.01%, 8/15/2047(j)

     24,301        5,598  

Series 4707, Class SA, IF, IO, 6.06%, 8/15/2047(j)

     811        200  

Series 4714, Class SA, IF, IO, 6.06%, 8/15/2047(j)

     633        132  

Series 4746, Class SC, IF, IO, 6.06%, 1/15/2048(j)

     9,579        2,161  

Series 5158, Class ZP, 3.00%, 1/25/2049

     7,296        7,355  

Series 4910, Class PI, IO, 5.00%, 7/25/2049

     2,716        437  

Series 4919, Class SH, IF, IO, 5.91%, 9/25/2049(j)

     14,376        2,158  

Series 4906, Class QS, IF, IO, 5.96%, 9/25/2049(j)

     17,330        3,257  

Series 4925, Class SA, IF, IO, 5.96%, 10/25/2049(j)

     26,590        4,858  

Series 4932, Class SA, IF, IO, 5.91%, 11/25/2049(j)

     22,710        3,942  

Series 4937, Class MS, IF, IO, 5.96%, 12/25/2049(j)

     40,578        7,302  

Series 4954, Class SY, IF, IO, 5.96%, 2/25/2050(j)

     25,530        4,684  

Series 4983, Class SY, IF, IO, 6.01%, 5/25/2050(j)

     17,985        3,569  

Series 4983, Class SA, IF, IO, 6.01%, 6/25/2050(j)

     15,308        2,952  

Series 4995, Class SB, IF, IO, 6.01%, 7/25/2050(j)

     16,046        3,451  

Series 5011, Class MI, IO, 3.00%, 9/25/2050

     45,437        6,609  

Series 5023, Class HI, IO, 3.00%, 10/25/2050

     12,586        1,876  

Series 5052, Class EI, IO, 3.00%, 12/25/2050

     36,325        5,698  

Series 5072, Class BI, IO, 3.00%, 2/25/2051

     44,137        6,977  

Series 5143, Class PI, IO, 2.50%, 5/25/2051

     3,526        296  

Series 5143, Class Z, 2.50%, 5/25/2051

     2,704        2,717  

Series 5148, Class PI, IO, 2.50%, 10/25/2051

     9,923        979  

Series 5148, Class PZ, 2.50%, 10/25/2051

     7,908        7,861  

Series 5151, Class KZ, 2.50%, 10/25/2051

     5,851        5,912  

Series 5154, Class QI, IO, 2.50%, 10/25/2051

     13,472        1,331  

Series 5154, Class ZQ, 2.50%, 10/25/2051

     11,593        11,384  

Series 5149, Class ZB, 3.00%, 10/25/2051

     2,298        2,313  

Series 4839, Class WS, IF, IO, 6.01%, 8/15/2056(j)

     31,622        7,006  

FHLMC, STRIPS

 

  

Series 304, Class C32, IO, 3.00%, 10/15/2026

     235        13  

Series 342, Class S7, IF, IO, 6.02%, 2/15/2045(j)

     10,087        2,005  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

FMC GMSR Issuer Trust

     

3.69%, 2/25/2024

     29,500        28,911  

Series 2020-GT1, Class A, 4.45%, 1/25/2026(a)(j)

     7,000        7,016  

Series 2021-GT1, Class A, 3.62%, 7/25/2026(a)(j)

     25,000        24,775  

Series 2021-GT2, Class B, 4.44%, 10/25/2026‡(a)(j)

     19,140        19,113  

FNMA, Connecticut Avenue Securities

 

  

Series 2015-C03, Class 1M2, 5.09%, 7/25/2025‡(j)

     1,722        1,770  

Series 2016-C01, Class 1M2, 6.84%, 8/25/2028(j)

     5,873        6,179  

Series 2016-C02, Class 1M2, 6.09%, 9/25/2028(j)

     1,345        1,399  

Series 2016-C03, Class 1M2, 5.39%, 10/25/2028(j)

     1,995        2,074  

Series 2016-C05, Class 2M2, 4.54%, 1/25/2029(j)

     1,678        1,740  

Series 2016-C06, Class 1M2, 4.34%, 4/25/2029(j)

     21,474        22,276  

Series 2016-C07, Class 2M2, 4.44%, 5/25/2029(j)

     5,904        6,141  

Series 2017-C01, Class 1M2, 3.64%, 7/25/2029(j)

     965        990  

Series 2017-C01, Class 1B1, 5.84%, 7/25/2029(j)

     16,485        18,077  

Series 2017-C02, Class 2B1, 5.59%, 9/25/2029(j)

     5,500        6,024  

Series 2017-C03, Class 1B1, 4.94%, 10/25/2029(j)

     3,000        3,259  

Series 2017-C05, Class 1B1, 3.69%, 1/25/2030(j)

     2,760        2,865  

Series 2017-C06, Class 2B1, 4.54%, 2/25/2030(j)

     8,015        8,456  

Series 2017-C07, Class 2M2, 2.59%, 5/25/2030(j)

     4,755        4,824  

Series 2017-C07, Class 1B1, 4.09%, 5/25/2030(j)

     5,200        5,397  

Series 2018-C01, Class 1B1, 3.64%, 7/25/2030(j)

     2,870        2,961  

Series 2018-C03, Class 1M2, 2.24%, 10/25/2030(j)

     287        290  

Series 2018-C04, Class 2B1, 4.59%, 12/25/2030(j)

     4,250        4,463  

Series 2018-C05, Class 1B1, 4.34%, 1/25/2031(j)

     3,000        3,136  

Series 2018-C06, Class 1M2, 2.09%, 3/25/2031(j)

     1,325        1,333  

Series 2018-C06, Class 2M2, 2.19%, 3/25/2031(j)

     921        927  

Series 2018-C06, Class 1B1, 3.84%, 3/25/2031(j)

     15,310        15,665  

Series 2018-C06, Class 2B1, 4.19%, 3/25/2031(j)

     2,860        2,956  

Series 2021-R02, Class 2B1, 1.00%, 11/25/2041(a)(j)

     4,983        5,003  

Series 2021-R02, Class 2B2, 1.00%, 11/25/2041(a)(j)

     2,032        2,087  

FNMA, REMIC

 

  

Series 2016-68, Class BI, IO, 3.00%, 10/25/2031

     861        71  

Series 2012-93, Class FS, IF, IO, 6.06%, 9/25/2032(j)

     2,860        461  

Series 2013-55, Class AI, IO, 3.00%, 6/25/2033

     2,284        238  

Series 2003-76, Class SB, IF, IO, 6.96%, 8/25/2033(j)

     2,176        340  

Series 2021-13, Class DI, IO, 3.50%, 1/25/2036

     9,369        1,205  

Series 2006-42, Class LI, IF, IO, 6.47%, 6/25/2036(j)

     1,709        317  

Series 2011-79, Class SD, IF, IO, 5.81%, 8/25/2041(j)

     4,508        828  

Series 2011-78, Class JS, IF, IO, 5.91%, 8/25/2041(j)

     2,269        373  

Series 2012-133, Class HS, IF, IO, 6.06%, 12/25/2042(j)

     264        65  

Series 2012-133, Class NS, IF, IO, 6.06%, 12/25/2042(j)

     1,161        227  

Series 2012-148, Class US, IF, 7.71%, 1/25/2043(j)

     1,102        1,227  

Series 2016-6, Class KI, IO, 4.00%, 2/25/2044

     476        52  

Series 2015-35, Class SA, IF, IO, 5.51%, 6/25/2045(j)

     10,958        1,802  

Series 2016-43, Class MI, IO, 4.00%, 10/25/2045

     421        62  

Series 2016-56, Class ST, IF, IO, 5.91%, 8/25/2046(j)

     6,537        1,443  

Series 2016-63, Class AS, IF, IO, 5.91%, 9/25/2046(j)

     132        28  

Series 2016-75, Class SC, IF, IO, 6.01%, 10/25/2046(j)

     9,366        1,667  

Series 2016-90, Class IN, IO, 3.50%, 12/25/2046

     408        66  

Series 2016-95, Class ES, IF, IO, 5.91%, 12/25/2046(j)

     2,226        420  

Series 2017-13, Class AS, IF, IO, 5.96%, 2/25/2047(j)

     786        174  

Series 2017-6, Class SB, IF, IO, 5.96%, 2/25/2047(j)

     140        26  

Series 2017-16, Class SM, IF, IO, 5.96%, 3/25/2047(j)

     4,503        972  

Series 2017-39, Class ST, IF, IO, 6.01%, 5/25/2047(j)

     1,832        398  

Series 2017-70, Class SA, IF, IO, 6.06%, 9/25/2047(j)

     1,202        249  

Series 2017-69, Class SH, IF, IO, 6.11%, 9/25/2047(j)

     965        208  

Series 2017-81, Class SM, IF, IO, 6.11%, 10/25/2047(j)

     21,425        5,029  

Series 2017-90, Class SP, IF, IO, 6.06%, 11/25/2047(j)

     3,441        803  

Series 2017-112, Class SC, IF, IO, 6.06%, 1/25/2048(j)

     4,087        734  

Series 2018-16, Class SN, IF, IO, 6.16%, 3/25/2048(j)

     2,058        374  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2018-27, Class SE, IF, IO, 6.11%, 5/25/2048(j)

     3,830        824  

Series 2018-67, Class SN, IF, IO, 6.11%, 9/25/2048(j)

     7,764        1,533  

Series 2019-32, Class PI, IO, 5.00%, 10/25/2048

     1,446        232  

Series 2018-73, Class SC, IF, IO, 6.11%, 10/25/2048(j)

     4,961        932  

Series 2019-47, Class QI, IO, 4.50%, 6/25/2049

     2,532        425  

Series 2019-37, Class CS, IF, IO, 5.96%, 7/25/2049(j)

     4,759        1,063  

Series 2019-42, Class SK, IF, IO, 5.96%, 8/25/2049(j)

     9,150        1,595  

Series 2019-62, Class SP, IF, IO, 5.96%, 11/25/2049(j)

     21,008        4,459  

Series 2020-54, Class AS, IF, IO, 6.06%, 8/25/2050(j)

     36,728        7,496  

Series 2020-89, Class GI, IO, 3.00%, 12/25/2050

     66,238        10,050  

Series 2020-100, Class IA, IO, 3.00%, 1/25/2051

     110,425        17,485  

Series 2021-8, Class GI, IO, 3.00%, 3/25/2051

     15,057        2,529  

Series 2021-56, Class GZ, 3.00%, 7/25/2051

     4,585        4,611  

Series 2017-57, Class SA, IF, IO, 6.01%, 8/25/2057(j)

     999        229  

FNMA, STRIPS

 

  

Series 421, Class 7, IO, 3.50%, 5/25/2030

     166        10  

Series 421, Class C3, IO, 4.00%, 7/25/2030

     369        32  

FTF 8.00%, 8/15/2024

     6,500        5,265  

GCAT Trust

 

  

Series 2020-NQM1, Class M1, 2.93%, 1/25/2060‡(a)(j)

     10,871        10,996  

Series 2020-NQM1, Class B1, 3.64%, 1/25/2060‡(a)(j)

     3,000        3,018  

GMACM Mortgage Loan Trust Series 2004-J2, Class A8, 5.75%, 6/25/2034

     42        43  

GNMA

 

  

Series 2013-182, Class MS, IF, IO, 6.05%, 12/20/2043(j)

     10,805        2,006  

Series 2015-110, Class MS, IF, IO, 5.62%, 8/20/2045(j)

     6,627        1,018  

Series 2016-49, Class SB, IF, IO, 5.96%, 4/20/2046(j)

     4,457        834  

Series 2016-83, Class SA, IF, IO, 6.01%, 6/20/2046(j)

     2,953        577  

Series 2016-108, Class SN, IF, IO, 5.99%, 8/20/2046(j)

     15,258        3,394  

Series 2016-108, Class SM, IF, IO, 6.01%, 8/20/2046(j)

     3,564        731  

Series 2016-111, Class SA, IF, IO, 6.01%, 8/20/2046(j)

     5,636        1,253  

Series 2016-120, Class NS, IF, IO, 6.01%, 9/20/2046(j)

     3,989        805  

Series 2016-120, Class SA, IF, IO, 6.01%, 9/20/2046(j)

     18,228        3,442  

Series 2016-146, Class NS, IF, IO, 6.01%, 10/20/2046(j)

     4,998        1,122  

Series 2016-147, Class AS, IF, IO, 6.01%, 10/20/2046(j)

     6,641        976  

Series 2017-36, Class SL, IF, IO, 6.11%, 3/16/2047(j)

     8,086        1,509  

Series 2019-132, Class KI, IO, 3.50%, 3/20/2047

     972        31  

Series 2017-68, Class DS, IF, IO, 6.06%, 5/20/2047(j)

     14,256        2,687  

Series 2017-68, Class SA, IF, IO, 6.06%, 5/20/2047(j)

     3,342        645  

Series 2017-80, Class AS, IF, IO, 6.11%, 5/20/2047(j)

     3,383        668  

Series 2017-85, Class SA, IF, IO, 6.06%, 6/20/2047(j)

     4,402        642  

Series 2017-107, Class KS, IF, IO, 6.11%, 7/20/2047(j)

     6,191        1,100  

Series 2017-120, Class ES, IF, IO, 6.11%, 8/20/2047(j)

     6,208        1,321  

Series 2017-134, Class SB, IF, IO, 6.11%, 9/20/2047(j)

     4,408        715  

Series 2017-134, Class SD, IF, IO, 6.11%, 9/20/2047(j)

     8,031        1,464  

Series 2017-155, Class KS, IF, IO, 6.11%, 10/20/2047(j)

     5,223        917  

Series 2017-161, Class DS, IF, IO, 6.16%, 10/20/2047(j)

     4,055        770  

Series 2017-163, Class HS, IF, IO, 6.11%, 11/20/2047(j)

     9,705        1,720  

Series 2017-180, Class SD, IF, IO, 6.11%, 12/20/2047(j)

     5,575        977  

Series 2018-7, Class DS, IF, IO, 5.61%, 1/20/2048(j)

     3,464        615  

Series 2018-6, Class CS, IF, IO, 6.11%, 1/20/2048(j)

     4,628        994  

Series 2018-36, Class SG, IF, IO, 6.11%, 3/20/2048(j)

     3,844        803  

Series 2018-46, Class AS, IF, IO, 6.11%, 3/20/2048(j)

     14,555        2,918  

Series 2018-63, Class BS, IF, IO, 6.11%, 4/20/2048(j)

     8,986        1,815  

Series 2018-63, Class SB, IF, IO, 6.11%, 4/20/2048(j)

     4,242        806  

Series 2018-65, Class DS, IF, IO, 6.11%, 5/20/2048(j)

     5,169        1,027  

Series 2018-125, Class SU, IF, IO, 6.11%, 9/20/2048(j)

     15,467        2,610  

Series 2018-147, Class SD, IF, IO, 6.06%, 10/20/2048(j)

     3,095        582  

Series 2019-33, Class PI, IO, 4.00%, 11/20/2048

     120        25  

Series 2019-1, Class SG, IF, IO, 5.96%, 1/20/2049(j)

     11,954        2,155  

Series 2019-49, Class SB, IF, IO, 5.45%, 4/20/2049(j)

     6,541        894  

Series 2019-42, Class SJ, IF, IO, 5.96%, 4/20/2049(j)

     6,526        965  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2019-43, Class LS, IF, IO, 5.96%, 4/20/2049(j)

     3,550        650  

Series 2019-65, Class ST, IF, IO, 5.96%, 5/20/2049(j)

     13,460        1,784  

Series 2019-56, Class GS, IF, IO, 6.06%, 5/20/2049(j)

     6,190        883  

Series 2019-71, Class SA, IF, IO, 6.06%, 6/20/2049(j)

     14,828        2,648  

Series 2019-71, Class SK, IF, IO, 6.06%, 6/20/2049(j)

     10,868        1,762  

Series 2019-85, Class CS, IF, IO, 6.01%, 7/20/2049(j)

     22,751        3,519  

Series 2019-86, Class ST, IF, IO, 6.01%, 7/20/2049(j)

     7,175        845  

Series 2019-89, Class KS, IF, IO, 6.01%, 7/20/2049(j)

     15,424        2,052  

Series 2019-103, Class SC, IF, IO, 5.96%, 8/20/2049(j)

     21,287        3,396  

Series 2019-99, Class SJ, IF, IO, 5.96%, 8/20/2049(j)

     10,303        1,586  

Series 2019-97, Class GS, IF, IO, 6.01%, 8/20/2049(j)

     25,346        4,266  

Series 2019-115, Class SA, IF, IO, 5.96%, 9/20/2049(j)

     10,492        1,697  

Series 2019-115, Class US, IF, IO, 5.96%, 9/20/2049(j)

     14,945        2,196  

Series 2019-119, Class SA, IF, IO, 5.96%, 9/20/2049(j)

     20,217        3,282  

Series 2019-120, Class DS, IF, IO, 5.96%, 9/20/2049(j)

     12,492        2,314  

Series 2019-115, Class SW, IF, IO, 6.01%, 9/20/2049(j)

     23,653        3,673  

Series 2019-117, Class SA, IF, IO, 6.01%, 9/20/2049(j)

     17,868        3,329  

Series 2019-132, Class SK, IF, IO, 5.96%, 10/20/2049(j)

     11,471        1,433  

Series 2019-138, Class SW, IF, IO, 5.96%, 10/20/2049(j)

     3,040        547  

Series 2019-158, Class SG, IF, IO, 5.96%, 12/20/2049(j)

     16,001        2,444  

Series 2020-33, Class SB, IF, IO, 5.96%, 3/20/2050(j)

     23,906        4,466  

Series 2020-86, Class TS, IF, IO, 5.51%, 6/20/2050(j)

     14,787        2,112  

Series 2020-101, Class SA, IF, IO, 6.11%, 7/20/2050(j)

     78,285        15,205  

Series 2020-101, Class SJ, IF, IO, 6.11%, 7/20/2050(j)

     53,276        9,900  

Series 2020-140, Class SG, IF, IO, 6.26%, 9/20/2050(j)

     74,939        14,845  

Series 2021-42, Class SD, IF, IO, 6.21%, 11/20/2050(j)

     47,054        11,670  

Series 2021-9, Class MI, IO, 2.50%, 1/20/2051

     203,457        23,646  

Series 2021-23, Class IA, IO, 2.50%, 2/20/2051

     100,059        11,464  

Series 2021-81, Class IC, IO, 3.00%, 5/20/2051

     25,272        3,492  

Series 2021-91, Class CI, IO, 3.00%, 5/20/2051

     21,514        2,986  

Series 2021-116, Class EZ, 3.00%, 7/20/2051

     3,900        3,959  

Series 2021-117, Class NI, IO, 3.00%, 7/20/2051

     68,780        8,560  

Series 2021-117, Class ES, IF, IO, 6.21%, 7/20/2051(j)

     28,767        5,552  

Series 2021-136, Class YZ, 3.00%, 8/20/2051

     7,440        7,541  

Series 2021-142, Class XI, IO, 3.00%, 8/20/2051

     79,732        10,933  

Series 2021-162, Class NZ, 2.50%, 9/20/2051

     5,003        4,954  

Series 2021-162, Class Z, 2.50%, 9/20/2051

     5,009        5,000  

Series 2021-165, Class ZJ, 2.50%, 9/20/2051

     5,935        5,901  

Series 2021-154, Class SD, IF, IO, 6.21%, 9/20/2051(j)

     49,639        10,963  

Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051

     24,425        3,449  

Series 2015-H13, Class GI, IO, 1.58%, 4/20/2065(j)

     1,883        68  

Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051

     217        201  

GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036(a)(j)

     169        70  

GSR Mortgage Loan Trust Series 2005-AR6, Class 2A1, 2.86%, 9/25/2035(j)

     139        142  

HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 0.27%, 1/25/2047(j)

     7,743        7,738  

Homeward Opportunities Fund I Trust Series 2019-3, Class B1, 4.02%, 11/25/2059‡(a)(j)

     5,000        5,179  

Homeward Opportunities Fund Trust Series 2020-BPL1, Class A2, 5.44%, 8/25/2025(a)(h)

     7,620        7,823  

Hunt Companies Finance Trust, Inc. 7.25%, 2/13/2025

     7,000        7,000  

Impac CMB Trust Series 2005-1, Class 1A2, 0.71%, 4/25/2035(j)

     220        216  

IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, 2.71%, 9/25/2037(j)

     13,967        11,846  

JPMorgan Alternative Loan Trust Series 2006-S3, Class A4, 6.81%, 8/25/2036(h)

     2,181        2,127  

JPMorgan Mortgage Trust Series 2006-S1, Class 1A1, 6.00%, 4/25/2036

     41        43  

Lehman Mortgage Trust Series 2007-7, Class 5A7, 6.50%, 8/25/2037

     12,408        8,342  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

LHOME Mortgage Trust

 

  

Series 2019-RTL2, Class A2, 4.34%, 3/25/2024(a)(h)

     6,500        6,557  

Series 2019-RTL3, Class A1, 3.87%, 7/25/2024(a)

     12,000        12,043  

Series 2019-RTL3, Class A2, 4.34%, 7/25/2024(a)(h)

     9,300        9,374  

Series 2020-RTL1, Class A2, 3.72%, 10/25/2024(a)(h)

     4,250        4,265  

MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.92%, 8/25/2033‡(j)

     47        40  

MASTR Asset Securitization Trust Series 2003-11, Class 7A2, 5.25%, 12/25/2033

     31        29  

Merrill Lynch Mortgage Investors Trust Series 2003-A5, Class 2A6, 2.00%, 8/25/2033(j)

     45        45  

Mill City Securities Ltd. (Cayman Islands) Series 2021-RS1, Class A2, 3.95%, 4/28/2066(a)(j)

     14,000        13,993  

New Residential Mortgage Loan Trust

     

Series 2019-2A, Class A1IB, IO, 1.00%, 12/25/2057(a)(j)

     12,837        291  

Series 2018-3A, Class A1IC, IO, 1.50%, 5/25/2058(a)(j)

     30,144        1,166  

Series 2019-NQM5, Class B1, 4.04%, 11/25/2059(a)(j)

     3,042        3,069  

OBX Trust Series 2020-EXP1, Class 2A1, 0.84%, 2/25/2060(a)(j)

     1,875        1,872  

Ocwen Series 2021-GNMSR1, 5.00%, 3/15/2022

     23,000        23,000  

P-stlb 9.25%, 10/11/2026‡

     7,700        7,700  

PMT Credit Risk Transfer Trust

     

Series 2021-1R, Class A, 2.99%, 2/27/2024(a)(j)

     15,221        15,433  

Series 2019-1R, Class A, 2.09%, 3/27/2024(a)(j)

     2,706        2,706  

PRPM LLC

     

Series 2021-1, Class A2, 3.72%, 1/25/2026(a)(j)

     5,000        4,969  

Series 2021-6, Class A1, 1.79%, 7/25/2026(a)(h)

     31,362        31,144  

Series 2021-6, Class A2, 3.47%, 7/25/2026(a)(h)

     2,749        2,719  

Series 2021-7, Class A2, 3.67%, 8/25/2026(a)(h)

     11,837        11,699  

Series 2021-8, Class A2, 3.60%, 9/25/2026(a)(j)

     5,500        5,433  

Series 2021-10, Class A2, 4.83%, 10/25/2026(a)(h)

     5,000        4,989  

RAAC Trust Series 2005-SP1, Class 4A1, 7.00%, 9/25/2034

     62        64  

RCO VII Mortgage LLC Series 2021-1, Class A2, 3.97%, 5/26/2026(a)(h)

     2,500        2,478  

Repo Buyer Series 2019-PC, 8.32%, 5/14/2022‡

     3,999        3,999  

Repo Buyer RRI Trust 3.06%, 4/14/2055‡

     7,696        7,621  

RSFR Series 2020-1, Class PT, 4.21%, 2/17/2025(a)(h)

     19,690        19,631  

SART 5.64%, 2/15/2024‡

     1,001        973  

Series 2017-1, 4.75%, 7/15/2024

     219        219  

Series 2018-1, 4.76%, 6/15/2025

     542        542  

SART CRR

 

  

Series 4, Class B, 4.70%, 10/15/2024‡

     2,004        1,945  

5.01%, 4/15/2026‡

     1,526        1,483  

4.60%, 7/15/2026‡

     1,888        1,832  

Seasoned Credit Risk Transfer Trust

 

  

Series 2017-3, Class A, IO, 0.00%, 7/25/2056(j)

     21,968        11  

Series 2021-2, Class BXS, 13.10%, 11/25/2060‡(a)(j)

     4,998        4,780  

STACR Trust

 

  

Series 2018-HRP1, Class M2, 1.74%, 4/25/2043‡(a)(j)

     843        843  

Series 2018-HRP1, Class B1, 3.84%, 4/25/2043‡(a)(j)

     5,230        5,359  

Series 2018-HRP2, Class M3, 2.49%, 2/25/2047‡(a)(j)

     13,859        14,084  

Series 2018-HRP2, Class B1, 4.29%, 2/25/2047(a)(j)

     2,825        2,982  

Series 2018-DNA3, Class B1, 3.99%, 9/25/2048‡(a)(j)

     2,300        2,386  

Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026(a)(h)

     7,500        7,432  

Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 1.69%, 10/25/2037(j)

     2,143        2,199  

Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1, 0.94%, 5/25/2047(j)

     14,459        12,728  

Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060(a)

     30,000        30,181  

TVC Mortgage Trust Series 2020-RTL1, Class A2, 3.97%, 9/25/2024(a)(h)

     5,500        5,434  

Verus Securitization Trust

 

  

Series 2019-4, Class M1, 3.21%, 11/25/2059‡(a)(j)

     5,200        5,264  

Series 2019-INV3, Class B1, 3.73%, 11/25/2059‡(a)(j)

     7,606        7,626  

Series 2019-4, Class B1, 3.86%, 11/25/2059‡(a)(j)

     2,200        2,219  

Series 2020-1, Class A2, 2.64%, 1/25/2060(a)(h)

     6,307        6,337  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Series 2020-1, Class A3, 2.72%, 1/25/2060(a)(h)

     4,483        4,498  

Series 2020-1, Class M1, 3.02%, 1/25/2060‡(a)(j)

     1,990        1,997  

Series 2020-2, Class A1, 2.23%, 5/25/2060(a)(j)

     290        291  

Visio Trust Series 2019-2, Class B1, 3.91%, 11/25/2054‡(a)(j)

     820        845  

WaMu Mortgage Pass-Through Certificates Series 2003-S4, Class 2A2, 5.50%, 6/25/2033

     80        82  

WaMu Mortgage Pass-Through Certificates Trust

     

Series 2003-AR8, Class A, 2.67%, 8/25/2033(j)

     112        115  

Series 2004-S2, Class 2A4, 5.50%, 6/25/2034

     68        70  

Series 2005-AR7, Class A3, 2.53%, 8/25/2035(j)

     71        74  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2006-AR8, Class 2A, 0.93%, 10/25/2046(j)

     2,501        2,270  

ZH Trust

 

  

Series 2021-1, Class A, 2.25%, 2/18/2027(a)

     11,853        11,721  

Series 2021-1, Class B, 3.26%, 2/18/2027‡(a)

     7,655        7,368  

Series 2021-2, Class B, 3.51%, 10/17/2027‡(a)

     15,525        14,945  
     

 

 

 

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $1,541,356)

 

 

     1,496,109  
  

 

 

 

FOREIGN GOVERNMENT SECURITIES — 4.1%

 

Arab Republic of Egypt (Egypt)

     

7.50%, 1/31/2027(f)

     4,400        4,417  

5.80%, 9/30/2027(a)

     6,700        6,248  

5.88%, 2/16/2031(a)

     3,091        2,623  

5.88%, 2/16/2031(f)

     3,000        2,546  

7.05%, 1/15/2032(f)

     12,800        11,280  

7.90%, 2/21/2048(f)

     1,000        806  

8.88%, 5/29/2050(f)

     16,200        14,013  

Dominican Republic Government Bond (Dominican Republic)

     

5.30%, 1/21/2041(a)

     10,822        10,362  

7.45%, 4/30/2044(f)

     1,000        1,158  

6.40%, 6/5/2049(f)

     1,600        1,631  

5.88%, 1/30/2060(a)

     13,650        12,693  

5.88%, 1/30/2060(f)

     13,200        12,274  

Federal Democratic Republic of Ethiopia (Ethiopia) 6.63%, 12/11/2024(f)

     9,900        6,435  

Federal Republic of Nigeria (Nigeria)

     

6.50%, 11/28/2027(f)

     7,400        7,206  

6.13%, 9/28/2028(a)

     5,347        4,995  

7.14%, 2/23/2030(f)

     21,500        20,372  

7.38%, 9/28/2033(a)

     4,405        4,009  

7.70%, 2/23/2038(f)

     5,700        5,073  

7.63%, 11/28/2047(f)

     4,800        4,116  

8.25%, 9/28/2051(a)

     4,263        3,858  

Gabonese Republic (Gabon) 7.00%, 11/24/2031(a)

     5,100        4,800  

Hashemite Kingdom of Jordan (Jordan)

     

5.85%, 7/7/2030(f)

     5,600        5,488  

7.38%, 10/10/2047(f)

     9,100        8,780  

Islamic Republic of Pakistan (Pakistan)

     

8.25%, 4/15/2024(f)

     1,600        1,694  

8.25%, 9/30/2025(f)

     3,100        3,332  

6.00%, 4/8/2026(a)

     19,530        19,239  

7.38%, 4/8/2031(a)

     8,513        8,237  

Kingdom of Bahrain (Bahrain)

     

7.00%, 10/12/2028(f)

     1,900        2,035  

6.75%, 9/20/2029(f)

     1,700        1,801  

5.45%, 9/16/2032(a)

     9,389        8,873  

Republic of Angola (Angola)

     

9.50%, 11/12/2025(f)

     700        711  

8.00%, 11/26/2029(f)

     8,100        7,438  

8.00%, 11/26/2029(a)

     5,720        5,253  

9.13%, 11/26/2049(f)

     6,700        5,950  

Republic of Armenia (Armenia)

     

3.60%, 2/2/2031(a)

     6,100        5,584  

3.60%, 2/2/2031(f)

     1,200        1,099  

Republic of Belarus (Belarus)

     

6.88%, 2/28/2023(f)

     2,600        2,587  

5.88%, 2/24/2026(f)

     800        716  

6.38%, 2/24/2031(f)

     4,000        3,254  

Republic of Costa Rica (Costa Rica)

     

4.38%, 4/30/2025(f)

     2,100        2,124  

6.13%, 2/19/2031(f)

     17,500        17,493  

5.63%, 4/30/2043(f)

     1,200        1,010  

7.00%, 4/4/2044(f)

     1,000        946  

Republic of Cote d’Ivoire (Ivory Coast)

     

6.38%, 3/3/2028(f)

     16,537        17,744  

5.75%, 12/31/2032(f)(h)

     2,088        2,042  

6.13%, 6/15/2033(f)

     14,400        14,673  

Republic of Ecuador (Ecuador) 5.00%, 7/31/2030(f)(h)

     5,100        4,157  

Republic of El Salvador (El Salvador)

     

6.38%, 1/18/2027(f)

     500        323  

8.63%, 2/28/2029(f)

     7,700        5,271  

7.63%, 2/1/2041(f)

     4,400        2,675  

7.12%, 1/20/2050(f)

     13,900        8,221  

Republic of Ghana (Ghana)

 

  

Zero Coupon, 4/7/2025(a)

     4,100        2,739  

8.13%, 1/18/2026(f)

     2,800        2,492  

6.38%, 2/11/2027(f)

     10,700        8,787  

8.63%, 4/7/2034(a)

     3,966        3,123  

7.88%, 2/11/2035(a)

     7,220        5,451  

8.88%, 5/7/2042(f)

     1,100        853  

8.95%, 3/26/2051(f)

     2,000        1,535  

8.75%, 3/11/2061(f)

     8,000        6,039  

8.75%, 3/11/2061(a)

     3,300        2,491  

Republic of Guatemala (Guatemala) 4.65%, 10/7/2041(a)

     3,400        3,359  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
     Value
($000)
 

Republic of Iraq (Iraq)

     

6.75%, 3/9/2023(f)

     8,400        8,268  

5.80%, 1/15/2028(f)

     12,513        11,439  

Republic of Kenya (Kenya) 6.88%, 6/24/2024(f)

     1,700        1,788  

7.00%, 5/22/2027(f)

     1,200        1,242  

7.25%, 2/28/2028(f)

     10,900        11,418  

8.00%, 5/22/2032(f)

     15,300        16,141  

8.00%, 5/22/2032(a)

     1,780        1,878  

6.30%, 1/23/2034(a)

     6,093        5,743  

6.30%, 1/23/2034(f)

     700        660  

8.25%, 2/28/2048(f)

     6,600        6,476  

Republic of Namibia (Namibia) 5.25%, 10/29/2025(f)

     4,900        5,137  

Republic of Paraguay (Paraguay) 6.10%, 8/11/2044(f)

     9,675        11,363  

5.40%, 3/30/2050(a)

     3,970        4,362  

Republic of Rwanda (Rwanda) 5.50%, 8/9/2031(a)

     9,000        8,960  

Republic of Senegal (Senegal) 6.25%, 5/23/2033(f)

     8,400        8,484  

6.75%, 3/13/2048(f)

     18,800        18,095  

Republic of South Africa (South Africa) 5.00%, 10/12/2046

     3,600        3,105  

5.75%, 9/30/2049

     8,406        7,798  

Republic of Turkey (Turkey) 4.25%, 4/14/2026

     3,800        3,457  

4.25%, 4/14/2026

     2,600        2,366  

4.88%, 4/16/2043

     5,000        3,765  

State of Mongolia (Mongolia) 4.45%, 7/7/2031(a)

     7,800        7,352  

Sultanate of Oman Government Bond (Oman) 4.88%, 2/1/2025(f)

     4,100        4,223  

5.38%, 3/8/2027(f)

     6,500        6,679  

6.25%, 1/25/2031(a)

     6,559        6,861  

6.25%, 1/25/2031(f)

     900        942  

7.38%, 10/28/2032(a)

     7,291        8,138  

6.50%, 3/8/2047(f)

     600        566  

6.75%, 1/17/2048(f)

     5,400        5,198  

Ukraine Government Bond (Ukraine) 8.99%, 2/1/2024(f)

     4,800        4,932  

7.75%, 9/1/2025(f)

     5,600        5,600  

7.75%, 9/1/2027(f)

     3,000        2,993  

9.75%, 11/1/2028(f)

     6,700        7,226  

6.88%, 5/21/2029(f)

     2,100        1,960  
     

 

 

 

TOTAL FOREIGN GOVERNMENT SECURITIES

(Cost $607,228)

        551,149  
  

 

 

 

MORTGAGE-BACKED SECURITIES -2.1%

 

GNMA II, 30 Year

 

  

Pool # BF2605, 5.50%, 5/20/2048

     511        575  

Pool # BN2462, 4.50%, 6/20/2048

     108        114  

Pool # BH2761, 4.50%, 9/20/2048

     1,295        1,425  

Pool # BJ4027, 4.50%, 9/20/2048

     369        405  

Pool # BJ4052, 4.50%, 9/20/2048

     213        233  

Pool # BH5219, 4.50%, 10/20/2048

     360        395  

Pool # BI9909, 4.50%, 10/20/2048

     809        892  

Pool # BJ0977, 4.50%, 10/20/2048

     352        385  

Pool # BJ4126, 4.50%, 10/20/2048

     424        461  

Pool # BJ4168, 4.50%, 10/20/2048

     668        737  

Pool # BJ4297, 4.50%, 10/20/2048

     279        304  

Pool # BJ4354, 4.50%, 10/20/2048

     569        625  

Pool # BJ4396, 4.50%, 10/20/2048

     514        565  

Pool # BJ9835, 4.50%, 1/20/2049

     1,066        1,182  

Pool # BJ9839, 4.38%, 4/20/2049

     402        436  

Pool # BL9253, 4.50%, 6/20/2049

     299        321  

Pool # BJ9846, 4.50%, 7/20/2049

     1,304        1,448  

Pool # BM5450, 4.50%, 7/20/2049

     554        599  

Pool # BJ9850, 4.50%, 8/20/2049

     735        817  

Pool # BJ9854, 4.50%, 9/20/2049

     847        942  

Pool # BJ9863, 4.50%, 11/20/2049

     1,460        1,623  

Pool # BQ8922, 4.50%, 12/20/2049

     682        780  

Pool # MA7650, 3.00%, 10/20/2051

     120,447        125,391  

GNMA II, Single Family, 30 Year

 

  

TBA, 2.50%, 12/15/2051(k)

     132,800        136,442  
     

 

 

 

TOTAL MORTGAGE-BACKED SECURITIES

(Cost $277,437)

        277,097  
  

 

 

 
     Shares
(000)
        

EXCHANGE-TRADED FUNDS — 1.9%

 

Fixed Income — 1.9%

     

iShares iBoxx High Yield Corporate Bond ETF

     1,471        125,992  

SPDR Blackstone Senior Loan ETF

     2,395        108,637  

SPDR Bloomberg High Yield Bond ETF

     154        16,448  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Shares
(000)
     Value
($000)
 

Total Fixed Income

        251,077  
     

 

 

 

TOTAL EXCHANGE-TRADED FUNDS

(Cost $253,198)

        251,077  
  

 

 

 
     Principal
Amount
($000)
        

LOAN ASSIGNMENTS — 0.4%(l)

 

Aerospace & Defense — 0.0%(c)

 

MacDonald Dettwiler and Associates Ltd., Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.85%, 10/4/2024(e)

     4        4  
     

 

 

 

Auto Components — 0.1%

 

Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.59%, 4/10/2028(e)

     3,520        3,507  

Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 4.00%, 1/31/2028(e)

     1,990        1,973  
     

 

 

 
        5,480  
     

 

 

 

Beverages — 0.0%(c)

 

Triton Water Holdings, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 3/31/2028(e)

     1,995        1,984  
     

 

 

 

Chemicals — 0.0%(c)

 

Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.88%, 6/1/2024(e)

     256        254  

Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 3.25%, 3/31/2027(e)

     2,439        2,416  
     

 

 

 
        2,670  
     

 

 

 

Construction & Engineering — 0.0%(c)

 

Thor, 1st Lien Term Loan C Series 2018, Class C Shares, (ICE LIBOR USD 1 Month + 4.25%), 4.50%, 5/15/2025‡(e)

     607        609  
     

 

 

 

Containers & Packaging — 0.0%(c)

 

Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.35%, 4/3/2024(e)

     1,484        1,454  

Graham Packaging, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.75%, 8/4/2027(e)

     3,265        3,237  
     

 

 

 
        4,691  
     

 

 

 

Diversified Consumer Services — 0.0%(c)

 

Ensemble RCM LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 3.88%, 8/3/2026(e)

     88        88  
     

 

 

 

Diversified Telecommunication Services — 0.0%(c)

 

Intelsat Jackson Holdings SA, 1st Lien Term Loan (Luxembourg) (1-MONTH PRIME + 4.75%), 8.00%, 11/27/2023(e)

     50        50  
     

 

 

 

Electronic Equipment, Instruments & Components — 0.0%(c)

 

Ingram Micro, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.00%, 6/30/2028(e)

     2,494        2,488  
     

 

 

 

Food & Staples Retailing — 0.0%(c)

 

Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038(e)

     315        322  

Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 6.00%), 8.00%, 4/1/2024‡(e)

     2,352        2,399  

Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 2 Month + 10.75%), 11.75%, 10/1/2024(e)

     89        76  
     

 

 

 
        2,797  
     

 

 

 

Health Care Equipment & Supplies — 0.0%(c)

 

Medline, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 10/23/2028(e)(m)

     3,098        3,086  
     

 

 

 

Hotels, Restaurants & Leisure — 0.0%(c)

 

Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%), 2.84%, 8/14/2024(e)

     98        97  
     

 

 

 

IT Services — 0.0%(c)

 

Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.09%, 3/9/2027(e)

     1,791        1,750  
     

 

 

 

Leisure Products — 0.0%(c)

 

FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022‡(e) (i)

     45        5  

FGI Operating Co. LLC, 1st Lien Term Loan B 12/31/2100(i)

     253         
     

 

 

 
        5  
     

 

 

 

Life Sciences Tools & Services — 0.0%(c)

 

Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.75%, 11/8/2027(e)

     1,493        1,484  

PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 11/15/2028(e)(m)

     3,200        3,185  
     

 

 

 
        4,669  
     

 

 

 


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
    Value
($000)
 

Machinery — 0.0%(c)

 

Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 10/8/2027(e)

     1,964       1,961  
    

 

 

 

Media — 0.0%(c)

 

Directv Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 8/2/2027(e)

     3,000       2,993  
    

 

 

 

Personal Products — 0.1%

 

Nestle Skin Health, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/1/2026(e)

     5,970       5,943  
    

 

 

 

Pharmaceuticals — 0.0%(c)

 

Elanco Animal Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.85%, 8/1/2027(e)

     2,156       2,120  
    

 

 

 

Software — 0.0%(c)

 

Ascend Learning LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024(e)

     1,485       1,485  
    

 

 

 

Specialty Retail — 0.2%

 

Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 6.59%, 12/18/2026(e)(n)

     12       12  

Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 3/3/2028(e)

     2,985       2,966  

Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.59%, 12/22/2025(e)

     4,969       4,803  
    

 

 

 
       7,781  
    

 

 

 

Wireless Telecommunication Services — 0.0%(c)

 

CCI Buyer, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 12/17/2027(e)

     1,990       1,984  
    

 

 

 

TOTAL LOAN ASSIGNMENTS

(Cost $54,533)

 

 

    54,735  
 

 

 

 
     Shares
(000)
       

COMMON STOCKS — 0.2%

 

Diversified Telecommunication Services — 0.0%(c)

 

Frontier Communications Parent, Inc.*

     20       659  
    

 

 

 

Food & Staples Retailing — 0.0%(c)

 

Moran Foods Backstop Equity*‡

     45       182  
    

 

 

 

Media — 0.0%(c)

 

Clear Channel Outdoor Holdings, Inc.*

     6       17  

iHeartMedia, Inc., Class A*

     2       46  
    

 

 

 
       63  
    

 

 

 

Oil, Gas & Consumable Fuels — 0.2%

 

Battalion Oil Corp.*

     1       8  

Chesapeake Energy Corp.

     5       307  

EP Energy Corp.*

     11       951  

Gulfport Energy Corp.*

     103       7,524  

Oasis Petroleum, Inc.

     90       10,733  

Whiting Petroleum Corp.*

     98       6,366  
    

 

 

 
       25,889  
    

 

 

 

Professional Services — 0.0%(c)

 

NMG, Inc.*

     —   (o)      1  
    

 

 

 

Specialty Retail — 0.0%(c)

 

Claire’s Stores, Inc.*‡

     —   (o)      3  
    

 

 

 

TOTAL COMMON STOCKS

(Cost $16,521)

 

 

    26,797  
 

 

 

 

PREFERRED STOCKS — 0.1%

 

Electric Utilities — 0.1%

 

SCE Trust VI 5.00%, 6/26/2022 ($25 par value)(p)

     240       5,957  

Southern Co. (The)

    

Series 2020, 4.95%, 1/30/2080 ($25 par value)

     193       5,120  
    

 

 

 
       11,077  
    

 

 

 

Insurance — 0.0%(c)

 

MetLife, Inc.

    

Series F, 4.75%, 3/15/2025 ($25 par value)(p)

     97       2,482  
    

 

 

 

Internet & Direct Marketing Retail — 0.0%(c)

 

MYT Holding LLC

    

Series A, 10.00%, 6/6/2029‡

     14       15  
    

 

 

 

TOTAL PREFERRED STOCKS
(Cost $12,914)

 

    13,574  
 

 

 

 
     Principal
Amount
($000)
       

MUNICIPAL BONDS — 0.0%(c)(q)

 

California — 0.0%(c)

 

Los Angeles Community College District, Election of 2008 Series E, GO, 6.75%, 8/1/2049

     100       176  

Orange County Water District Series 2017B, Rev., 4.06%, 8/15/2041

     290       320  

Regents of the University of California Medical Center Pooled Series F, Rev., 6.58%, 5/15/2049

     255       403  

University of California, Taxable Build America Series R, Rev., 5.77%, 5/15/2043

     140       196  


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

   Principal
Amount
($000)
    Value
($000)
 

University of California, Taxable Limited Project Series J, Rev., 4.13%, 5/15/2045

     100       121  
    

 

 

 

Total California

       1,216  
    

 

 

 

Colorado — 0.0%(c)

 

Colorado Health Facilities Authority, Vail Valley Medical Centre Project Rev., 4.00%, 1/15/2045

     175       192  
    

 

 

 

Illinois — 0.0%(c)

 

Illinois Finance Authority, The University of Chicago Series A, Rev., 4.00%, 4/1/2023(r)

     25       26  
    

 

 

 

Indiana — 0.0%(c)

 

Indianapolis Local Public Improvement Bond Bank, Marion County Health and Hospital Series B-2, Rev., 6.12%, 1/15/2040

     240       341  
    

 

 

 

New Jersey — 0.0%(c)

 

New Jersey Transportation Trust Fund Authority, Transportation System Series 2012A, Rev., 5.00%, 6/15/2042

     25       26  
    

 

 

 

Texas — 0.0%(c)

 

North Texas Tollway Authority, First Tier Series B, Rev., 6.72%, 1/1/2049

     131       225  
    

 

 

 

TOTAL MUNICIPAL BONDS

(Cost $1,733)

 

 

    2,026  
 

 

 

 

CONVERTIBLE BONDS — 0.0%(c)

 

Oil, Gas & Consumable Fuels — 0.0%(c)

 

Gulfport Energy Operating Corp.

    

15.00% (PIK), 12/30/2021‡(b)(d)(g)(Cost $258)

     —   (o)      1,418  
    

 

 

 
     No. of
Warrants
(000)
       

WARRANTS— 0.0%(c)

 

Diversified Telecommunication Services — 0.0%(c)

 

Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD*‡

     —   (o)      7  
    

 

 

 

Media — 0.0%(c)

 

Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom)*‡

     —   (o)      6  
    

 

 

 

Oil, Gas & Consumable Fuels — 0.0%(c)

 

Chesapeake Energy Corp.

    

expiring 2/9/2026, price 27.27 USD*

     16       550  

expiring 2/9/2026, price 31.71 USD*

     18       535  

expiring 2/9/2026, price 35.71 USD*

     10       267  
    

 

 

 
       1,352  
    

 

 

 

TOTAL WARRANTS

(Cost $–  (o))

 

 

    1,365  
 

 

 

 
     Shares
(000)
       

SHORT-TERM INVESTMENTS — 0.3%

 

INVESTMENT COMPANIES — 0.3%

 

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(s)(t)(Cost $34,116)

     34,103       34,116  
    

 

 

 

Total Investments — 100.2%

(Cost $13,534,004)

 

 

    13,431,205  

Liabilities in Excess of Other Assets — (0.2)%

 

    (29,064
 

 

 

 

Net Assets — 100.0%

 

    13,402,141  
 

 

 

 

 

Percentages indicated are based on net assets.


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Abbreviations

 

ABS

   Asset-Backed Securities

ACES

   Alternative Credit Enhancement Securities

CDO

   Collateralized Debt Obligations

CLO

   Collateralized Loan Obligations

ETF

   Exchange-Traded Fund

FHLMC

   Federal Home Loan Mortgage Corp.

FNMA

   Federal National Mortgage Association

GNMA

   Government National Mortgage Association

GO

   General Obligation

HB

   High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike 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.

ICE

   Intercontinental Exchange

IF

   Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of November 30, 2021. The rate may be subject to a cap and floor.

IO

   Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.

JSC

   Joint Stock Company

LIBOR

   London Interbank Offered Rate

OYJ

   Public Limited Company

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.

PT

   Limited liability company

REIT

   Real Estate Investment Trust

REMIC

   Real Estate Mortgage Investment Conduit

Re-REMIC

   Combined Real Estate Mortgage Investment Conduit

Rev.

   Revenue

SCA

   Limited partnership with share capital

SOFR

   Secured Overnight Financing Rate

SPC

   Special purpose company

SPDR

   Standard & Poor’s Depository Receipts

STRIPS

   Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.

TBA

   To Be Announced; Security is subject to delayed delivery.


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

USD

   United States Dollar

(a)

   Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.

(b)

   Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.

(c)

   Amount rounds to less than 0.1% of net assets.

(d)

   Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of November 30, 2021.

(e)

   Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2021.

(f)

   Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.

(g)

   Security is an interest bearing note with preferred security characteristics.

(h)

   Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2021.

(i)

   Defaulted security.

(j)

   Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2021.

(k)

   All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.

(l)

   Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.

(m)

   All or a portion of this security is unsettled as of November 30, 2021. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.

(n)

   Fund is subject to legal or contractual restrictions on the resale of the security.

(o)

   Amount rounds to less than one thousand.

(p)

   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 in effect as of November 30, 2021.

(q)

   The date shown represents the earliest of the prerefunded date, next put date or final maturity date.

(r)

   Security is prerefunded or escrowed to maturity.

(s)

   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.

(t)

   The rate shown is the current yield as of November 30, 2021.

*

   Non-income producing security.

   Value determined using significant unobservable inputs.


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Futures contracts outstanding as of November 30, 2021 (amounts in thousands, except number of contracts):

 

Description

  Number of
Contracts
    Expiration
Date
    Trading
Currency
    Notional
Amount ($)
    Value and
Unrealized
Appreciation
(Depreciation) ($)
 

Long Contracts

 

U.S. Treasury 2 Year Note

    3,236       03/2022       USD       707,420       882  

U.S. Treasury 5 Year Note

    4,699       03/2022       USD       570,268       3,389  

U.S. Treasury 10 Year Note

    491       03/2022       USD       64,214       588  

U.S. Treasury 10 Year Ultra Note

    842       03/2022       USD       123,735       1,630  

U.S. Treasury Long Bond

    39       03/2022       USD       6,324       90  

U.S. Treasury Ultra Bond

    61       03/2022       USD       12,225       235  
         

 

 

 
           

 

6,814

 

 

 

Short Contracts

         

U.S. Treasury 2 Year Note

    (4,900     03/2022       USD       (1,071,186     (1,503

U.S. Treasury 5 Year Note

    (5,276     03/2022       USD       (640,292     (4,004

U.S. Treasury 10 Year Note

    (8,841     03/2022       USD       (1,156,237     (11,761

U.S. Treasury 10 Year Ultra Note

    (5,177     03/2022       USD       (760,777     (11,758

U.S. Treasury Long Bond

    (2     03/2022       USD       (324     (6

U.S. Treasury Ultra Bond

    (3,159     03/2022       USD       (633,084     (17,090
         

 

 

 
            (46,122
         

 

 

 
            (39,308
         

 

 

 

 

Abbreviations
USD    United States Dollar


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Over-the-Counter (“OTC”) Credit default swap contracts outstanding — sell protection(a) as of November 30, 2021 (amounts in thousands):

 

Reference Obligation/
Index

   Financing
Rate Received
by the Fund
(%)
     Payment
Frequency
     Counterparty      Maturity
Date
     Implied
Credit
Spread
(%)(b)
     Notional
Amount(c)
     Upfront
Payments
(Receipts)
($)(d)
    Unrealized
Appreciation
(Depreciation)
($)
    Value ($)  

CMBX.NA.BBB-.11

     3.00        Monthly        Citibank, NA        11/18/2054        4.26        USD   5,000        (276     (23     (299

CMBX.NA.BBB-.11

     3.00        Monthly        Morgan Stanley        11/18/2054        4.26        USD 10,000        (468     (128     (596

CMBX.NA.BBB-.11

     3.00        Monthly        Morgan Stanley        11/18/2054        4.26        USD 20,000        (792     (403     (1,195

CMBX.NA.BBB-.11

     3.00        Monthly        Morgan Stanley        11/18/2054        4.26        USD 15,000        (525     (370     (895

CMBX.NA.BBB-.11

     3.00        Monthly        Morgan Stanley        11/18/2054        4.26        USD 12,500        (658     (88     (746

CMBX.NA.BBB-.12

     3.00        Monthly        Citibank, NA        8/17/2061        4.23        USD 20,000        (925     (383     (1,308

CMBX.NA.BBB-.12

     3.00        Monthly        Citibank, NA        8/17/2061        4.23        USD 12,500        (1,079     261       (818

CMBX.NA.BBB-.12

     3.00        Monthly        Merrill Lynch International        8/17/2061        4.23        USD   7,500        (40     (451     (491

CMBX.NA.BBB-.12

     3.00        Monthly        Merrill Lynch International        8/17/2061        4.23        USD   5,000        (55     (272     (327

CMBX.NA.BBB-.12

     3.00        Monthly        Merrill Lynch International        8/17/2061        4.23        USD   5,000        (245     (82     (327

CMBX.NA.BBB-.12

     3.00        Monthly        Merrill Lynch International        8/17/2061        4.23        USD   5,000        (171     (156     (327

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD   8,017        (94     (430     (524

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD 12,500        (58     (758     (816

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD 12,500        (137     (681     (818

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD 12,500        (367     (451     (818

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD   2,500        (122     (42     (164

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD   5,000        (243     (84     (327

CMBX.NA.BBB-.12

     3.00        Monthly        Morgan Stanley        8/17/2061        4.23        USD   5,500        (64     (295     (359

CMBX.NA.BBB-.9

     3.00        Monthly        Citibank, NA        9/17/2058        5.88        USD   8,000        (645     (112     (757

CMBX.NA.BBB-.9

     3.00        Monthly        Citibank, NA        9/17/2058        5.88        USD   2,500        (288     52       (236

CMBX.NA.BBB-.9

     3.00        Monthly        Merrill Lynch International        9/17/2058        5.88        USD   5,000        (574     101       (473

CMBX.NA.BBB-.9

     3.00        Monthly        Morgan Stanley        9/17/2058        5.88        USD   7,500        (865     156       (709

CMBX.NA.BBB-.9

     3.00        Monthly        Morgan Stanley        9/17/2058        5.88        USD   5,000        (499     26       (473

CMBX.NA.BBB-.9

     3.00        Monthly        Morgan Stanley        9/17/2058        5.88        USD 12,500        (1,385     202       (1,183

CMBX.NA.BBB-.9

     3.00        Monthly        Morgan Stanley        9/17/2058        5.88        USD 12,500        (1,888     704       (1,184

CMBX.NA.BBB-.9

     3.00        Monthly        Morgan Stanley        9/17/2058        5.88        USD 12,500        (1,341     157       (1,184

CMBX.NA.BBB-.9

     3.00        Monthly        Morgan Stanley        9/17/2058        5.88        USD   7,500        (861     151       (710

CMBX.NA.BBB-.9

     3.00        Monthly        Citibank, NA        9/17/2058        5.88        USD 10,000        (958     11       (947
                    

 

 

   

 

 

   

 

 

 
                       (15,623     (3,388     (19,011
                    

 

 

   

 

 

   

 

 

 


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Centrally Cleared Credit default swap contracts outstanding — sell protection(a) as of November 30, 2021 (amounts in thousands):

 

Reference Obligation/Index

   Financing
Rate Paid
by the
Fund (%)
     Payment
Frequency
     Maturity
Date
     Implied
Credit
Spread
(%)(b)
     Notional
Amount(c)
     Upfront
Payments
(Receipts)
($)(d)
     Unrealized
Appreciation
(Depreciation)
($)
    Value ($)  

CDX.NA.HY.36-V1

     5.00        Quarterly        6/20/2026        3.13        USD 77,500        6,068        637       6,705  

CDX.NA.HY.36-V1

     5.00        Quarterly        6/20/2026        3.13        USD 12,750        1,081        22       1,103  

CDX.NA.HY.37-V1

     5.00        Quarterly        12/20/2026        3.30        USD 135,000        12,256        (638     11,618  
                 

 

 

    

 

 

   

 

 

 
                    19,405        21       19,426  
                 

 

 

    

 

 

   

 

 

 

 

(a)

The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an 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.

(b)

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 indices are linked to the weighted average spread across the underlying reference obligations included in a particular index.

(c)

The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event.

(d)

Upfront payments and receipts generally represent premiums paid 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).

 

Abbreviations
CDX    Credit Default Swap Index
CMBX    Commercial Mortgage-Backed Securities Index
USD    United States Dollar

Summary of total OTC swap contracts outstanding as of November 30, 2021 (amounts in thousands):

 

     Net Upfront
Payments
(Receipts) ($)
    Value ($)  

Liabilities

 

OTC Credit default swap contracts outstanding - sell protection

     (15,623     (19,011
  

 

 

   

 

 

 


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.

Investments in open-end investment companies, excluding exchange-traded funds (“ETFs”) (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.

Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2021.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s 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 instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

     Level 1
Quoted prices
    Level 2
Other significant
observable
inputs
    Level 3
Significant unobservable
inputs
     Total  

Investments in Securities

 

    

Asset-Backed Securities

   $ —       $ 1,459,720     $ 763,418      $ 2,223,138  

Collateralized Mortgage Obligations

     —         1,158,394       337,715        1,496,109  

Commercial Mortgage-Backed Securities

     —         2,841,024       1,183,286        4,024,310  

Common Stocks

 

    

Diversified Telecommunication Services

     659       —         —          659  

Food & Staples Retailing

     —         —         182        182  

Media

     63       —         —          63  

Oil, Gas & Consumable Fuels

     24,938       951       —          25,889  

Professional Services

     —         1       —          1  

Specialty Retail

     —         —         3        3  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Common Stocks

     25,660       952       185        26,797  
  

 

 

   

 

 

   

 

 

    

 

 

 

Convertible Bonds

     —         —         1,418        1,418  

Corporate Bonds

         

Aerospace & Defense

     —         36,305       —          36,305  

Airlines

     —         22,594       —          22,594  

Auto Components

     —         113,415       —          113,415  

Automobiles

     —         1,241       —          1,241  

Banks

     —         318,068       —          318,068  

Beverages

     —         5,526       —          5,526  

Biotechnology

     —         6,332       —          6,332  

Building Products

     —         37,716       —          37,716  

Capital Markets

     —         109,281       —          109,281  

Chemicals

     —         144,392       —          144,392  

Commercial Services & Supplies

     —         121,887       —          121,887  

Communications Equipment

     —         41,067       —          41,067  

Construction & Engineering

     —         40,287       —          40,287  

Construction Materials

     —         11,712       —          11,712  

Consumer Finance

     —         152,494       —          152,494  

Containers & Packaging

     —         111,561       —          111,561  

Distributors

     —         7,870       —          7,870  

Diversified Consumer Services

     —         12,404       —          12,404  

Diversified Telecommunication Services

     —         340,307       —          340,307  

Electric Utilities

     —         95,482       —          95,482  

Electrical Equipment

     —         13,158       —          13,158  

Electronic Equipment, Instruments & Components

     —         24,089       —          24,089  

Energy Equipment & Services

     —         19,316       —          19,316  

Entertainment

     —         66,910       —          66,910  

Equity Real Estate Investment Trusts (REITs)

     —         75,292       —          75,292  

Food & Staples Retailing

     —         68,477       —          68,477  

Food Products

     —         55,581       —          55,581  

Gas Utilities

     —         8,558       —          8,558  

Health Care Equipment & Supplies

     —         48,795       —          48,795  

Health Care Providers & Services

     —         257,061       —          257,061  

Health Care Technology

     —         17,305       —          17,305  

Hotels, Restaurants & Leisure

     —         169,658       —          169,658  

Household Durables

     —         36,812       —          36,812  

Household Products

     —         50,702       —          50,702  

Independent Power and Renewable Electricity Producers

     —         19,181       —          19,181  

Insurance

     —         766       —          766  

Internet & Direct Marketing Retail

     —         9,107       —          9,107  

IT Services

     —         29,932       —          29,932  

Leisure Products

     —         18,226       —          18,226  

Machinery

     —         13,888       —          13,888  

Marine

     —         7,058       —          7,058  

Media

     —         383,215       —          383,215  

Metals & Mining

     —         93,780       —          93,780  

Mortgage Real Estate Investment Trusts (REITs)

     —         69,108       —          69,108  

Multiline Retail

     —         13,340       —          13,340  

Multi-Utilities

     —         11,313       —          11,313  

Oil, Gas & Consumable Fuels

     —         487,595       441        488,036  

Paper & Forest Products

     —         3,663       —          3,663  

Personal Products

     —         25,761       —          25,761  

Pharmaceuticals

     —         164,839       —          164,839  

Professional Services

     —         175       —          175  

Real Estate Management & Development

     —         4,921       —          4,921  

Road & Rail

     —         49,353       —          49,353  

Semiconductors & Semiconductor Equipment

     —         29,096       —          29,096  

Software

     —         66,144       —          66,144  

Specialty Retail

     —         87,629       —          87,629  

Technology Hardware, Storage & Peripherals

     —         13,138       —          13,138  

Textiles, Apparel & Luxury Goods

     —         3,917       —          3,917  

Thrifts & Mortgage Finance

     —         12,735       —          12,735  

Tobacco

     —         16,288       —          16,288  

Trading Companies & Distributors

     —         69,375       —          69,375  

Wireless Telecommunication Services

     —         128,655       —          128,655  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Corporate Bonds

     —         4,473,853       441        4,474,294  
  

 

 

   

 

 

   

 

 

    

 

 

 

Exchange-Traded Funds

     251,077       —         —          251,077  

Foreign Government Securities

     —         551,149       —          551,149  

Loan Assignments

 

    

Aerospace & Defense

     —         4       —          4  

Auto Components

     —         5,480       —          5,480  

Beverages

     —         1,984       —          1,984  

Chemicals

     —         2,670       —          2,670  

Construction & Engineering

     —         —         609        609  

Containers & Packaging

     —         4,691       —          4,691  

Diversified Consumer Services

     —         88       —          88  

Diversified Telecommunication Services

     —         50       —          50  

Electronic Equipment, Instruments & Components

     —         2,488       —          2,488  

Food & Staples Retailing

     —         398       2,399        2,797  

Health Care Equipment & Supplies

     —         3,086       —          3,086  

Hotels, Restaurants & Leisure

     —         97       —          97  

IT Services

     —         1,750       —          1,750  

Leisure Products

     —         —   (a)      5        5  

Life Sciences Tools & Services

     —         4,669       —          4,669  

Machinery

     —         1,961       —          1,961  

Media

     —         2,993       —          2,993  

Personal Products

     —         5,943       —          5,943  

Pharmaceuticals

     —         2,120       —          2,120  

Software

     —         1,485       —          1,485  

Specialty Retail

     —         7,781       —          7,781  

Wireless Telecommunication Services

     —         1,984       —          1,984  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Loan Assignments

     —         51,722       3,013        54,735  
  

 

 

   

 

 

   

 

 

    

 

 

 

Mortgage-Backed Securities

     —         277,097       —          277,097  

Municipal Bonds

     —         2,026       —          2,026  

Preferred Stocks

 

    

Electric Utilities

     11,077       —         —          11,077  

Insurance

     2,482       —         —          2,482  

Internet & Direct Marketing Retail

     —         —         15        15  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Preferred Stocks

     13,559       —         15        13,574  
  

 

 

   

 

 

   

 

 

    

 

 

 

Warrants

 

    

Diversified Telecommunication Services

     —         —         7        7  

Media

     —         —         6        6  

Oil, Gas & Consumable Fuels

     1,352       —         —          1,352  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Warrants

     1,352       —         13        1,365  
  

 

 

   

 

 

   

 

 

    

 

 

 

Short-Term Investments

 

    

Investment Companies

     34,116       —         —          34,116  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Investments in Securities

   $ 325,764     $ 10,815,937     $ 2,289,504      $ 13,431,205  
  

 

 

   

 

 

   

 

 

    

 

 

 

Appreciation in Other Financial Instruments

 

    

Futures Contracts

   $ 6,814     $ —       $ —        $ 6,814  

Swaps

     —         2,480       —          2,480  

Depreciation in Other Financial Instruments

 

    

Futures Contracts

     (46,122     —         —          (46,122

Swaps

     —         (5,847     —          (5,847
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Net Appreciation/Depreciation in Other Financial Instruments

   $ (39,308 )    $ (3,367 )    $ —        $ (42,675 ) 
  

 

 

   

 

 

   

 

 

    

 

 

 

 

(a)

Value is zero.

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

 

    Balance as of
February 28,
2021
    Realized
gain
(loss)
    Change in
net
unrealized
appreciation
(depreciation)
    Net
accretion
(amortization)
    Purchases1     Sales2     Transfers
into

Level 3
    Transfers
out of
Level 3
    Balance as of
November 30,
2021
 

Investments in Securities:

 

               

Asset-Backed Securities

  $ 497,037     $ 64       (5,237.00   $ (244   $ 448,116     $ (215,871   $ 40,127     $ (574   $ 763,418  

Collateralized Mortgage Obligations

    272,048       (99     (1,191     (90     171,585       (102,320     5,112       (7,330     337,715  

Commercial Mortgage-Backed Securities

    782,211       261       12,547       1,613       337,271       (12,360     68,525       (6,782     1,183,286  

Common Stocks

    265       (57     (23     —         —         —         —         —         185  

Convertible Bonds

    —         (1,349     1,160       —         1,609       (2     —         —         1,418  

Corporate Bonds

    —         —         440       —         1       —         —         —         441  

Loan Assignments

    3,227       —         (149     41       3,360       (3,466     —         —         3,013  

Preferred Stocks

    21       —   (a)      (4     —         —         (2     —         —         15  

Warrants

    7       —         6       —         —         —         —         —         13  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,554,816     $ (1,180   $ 7,549     $ 1,320     $ 961,942     $ (334,021   $ 113,764     $ (14,686   $ 2,289,504  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

1 

Purchases include all purchases of securities and securities received in corporate actions.

2 

Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

(a)

Amount rounds to less than one thousand.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2021, which were valued using significant unobservable inputs (level 3) amounted to $8,215.

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the period ended November 30, 2021.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

Income Fund

Quantitative Information about Level 3 Fair Value Measurements #

 

     Fair Value at
November 30,
2021
           

Valuation Technique(s)

  

Unobservable Input

  

Range (Weighted Average) (a)

   $ 618,989         Discounted Cash Flow    Constant Prepayment Rate    0.00% - 100.00% (14.59%)
            Constant Default Rate    0.00% - 4.14% (0.01%)
            Yield (Discount Rate of Cash Flows)    1.02% - 6.58% (3.46%)
  

 

 

             

Asset-Backed Securities

     618,989              
  

 

 

             
     152,849         Discounted Cash Flow    Constant Prepayment Rate    0.00% - 100.00% (19.52%)
            Constant Default Rate    0.00% - 1.42% (0.06%)
            Yield (Discount Rate of Cash Flows)    1.60% - 8.70% (3.21%)
  

 

 

             

Collateralized Mortgage Obligations

     152,849              
  

 

 

             
     1,134,738         Discounted Cash Flow    Constant Prepayment Rate    0.00% - 100.00% (0.56%)
            Constant Default Rate    0.00% - 5.00% (0.04%)
            Yield (Discount Rate of Cash Flows)    1.92% - 16.80% (4.71%)
  

 

 

             

Commercial Mortgage-Backed Securities

     1,134,738              
  

 

 

             
     3,008         Terms of Exchange Offer    Expected Recovery    100.00% (100.00%)

Loan Assignments

     3,008              
     7         Market Comparable Companies    EBITDA Multiple (b)    5.3x (5.3x)

Warrants

     7              
  

 

 

             

Total

   $ 1,909,591              
  

 

 

             

 

#

The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30 2021, the value of these investments was $379,913. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A.

 

(a)

Unobservable inputs were weighted by the relative fair value of the instruments.

(b)

Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments.

B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer

which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.

 

For the period ended November 30, 2021

 

Security Description

  Value at
February 28,
2021
    Purchases at
Cost
    Proceeds
from Sales
    Net
Realized
Gain

(Loss)
    Change in
Unrealized
Appreciation/
(Depreciation)
    Value at
November 30,
2021
    Shares at
November 30,
2021
    Dividend
Income
    Capital Gain
Distributions
 

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(a)(b)

  $ 404,898     $ 4,593,862     $ 4,964,643     $ (1   $ —  (c)     $ 34,116       34,103     $ 63     $ —  (c)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of November 30, 2021.

(c)

Amount rounds to less than one thousand.

C. Derivatives — The Fund used derivative instruments including futures contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Fund 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 potential 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 Fund’s risk of loss associated with these instruments may exceed their value.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s 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 Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

Notes (1) — (2) below describe the various derivatives used by the Fund.

(1). Futures Contracts — The Fund used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used 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 are settled 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 change in net unrealized appreciation/depreciation on futures contracts. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.

The Fund may be exposed 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 subject the Fund to risk of loss 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 positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(2). Swaps — The Fund engaged in various swap transactions to manage credit risk within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank.

The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.

The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

Credit Default Swaps

The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/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.


JPMorgan Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

If a credit event occurs, the Fund, as a protection seller, 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 the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. 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.