NPORT-EX 2 HG_TARR.htm HTML

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited)

 

Investments    Principal
Amount
    ($000)    		      Value ($000)  

 

   

 

 

     

 

 

  

MUNICIPAL BONDS - 85.3%(a)

 

Alabama - 0.8%

 

Alabama Public School and College Authority

      

Series 2016-A, Rev., 4.00%, 6/1/2031

      35        39  

Black Belt Energy Gas District, Gas Supply

      

Series 2021C, Rev., 4.00%, 12/1/2026(b)

      450        495  

Series 2021A, Rev., LIQ: Royal Bank of Canada, 4.00%, 12/1/2031(b)

      3,000        3,451  

Southeast Energy Authority A Cooperative District, Project No. 2

      

Series 2021B, Rev., 4.00%, 12/1/2031(b)

      1,055        1,207  
     

 

 

  

Total Alabama

         5,192  
     

 

 

  

Alaska - 1.1%

 

Borough of Matanuska-Susitna, Goose Creek Correctional Center Project

      

Series 2016, Rev., 5.00%, 9/1/2024

      15        16  

Rev., 5.25%, 9/1/2029

      3,490        3,900  

City and Borough of Juneau

      

GO, 4.00%, 6/1/2029

      800        926  

GO, 4.00%, 6/1/2030

      380        446  

GO, 4.00%, 6/1/2031

      250        297  

GO, 4.00%, 6/1/2032

      855        1,009  
     

 

 

  

Total Alaska

         6,594  
     

 

 

  

Arizona - 1.8%

 

Arizona Industrial Development Authority

      

Series 2021A, Rev., 4.00%, 7/15/2036(c)

      275        292  

Arizona Industrial Development Authority, Macombs Facility Project

      

Series 2021A, Rev., 4.00%, 7/1/2041

      135        147  

City of Phoenix Civic Improvement Corp., Junior Lien

      

Series 2021A, Rev., 5.00%, 7/1/2035

      1,200        1,539  

City of San Luis

      

Series A, Rev., AGM, 5.00%, 7/1/2025

      50        56  

County of Pima

      

Rev., 3.00%, 7/1/2023

      5        5  

Maricopa County Industrial Development Authority, Banner Health Obligation Group

      

Series 2016A, Rev., 5.00%, 1/1/2028

      5,345        6,406  

Maricopa County Industrial Development Authority, Honorhealth

      

Series 2021A, Rev., 5.00%, 9/1/2036

      750        930  

Series 2021A, Rev., 4.00%, 9/1/2037

      695        795  

Pima County Regional Transportation Authority, Excise Tax

      

Series 2014, Rev., 5.00%, 6/1/2025

      20        21  

Pima County Unified School District No. 16 Catalina Foothills, School Improvement Projects

      

Series 2018-B, GO, 5.00%, 7/1/2028

      10        12  

Pinal County Electric District No. 3

      

Rev., 5.00%, 7/1/2029

      200        244  

Rev., 5.00%, 7/1/2031

      400        504  

Salt River Project Agricultural Improvement & Power District, Electric System

      

Series A, Rev., 5.00%, 1/1/2028

      185        222  

Town of Queen Creek, Excise Tax

      

Series 2016, Rev., 4.00%, 8/1/2026

      25        27  

Rev., 5.00%, 8/1/2029

      10        12  
     

 

 

  

Total Arizona

                     11,212  
     

 

 

  

Arkansas - 0.1%

 

City of Cabot

      

Series 2021B, Rev., 5.00%, 12/1/2026

      300        350  

Series 2021B, Rev., 5.00%, 12/1/2027

      375        445  

City of Springdale Public Facilities Board Hospital, Arkansas Children’s Northwest Project

      

Series 2016, Rev., 5.00%, 3/1/2030

      10        11  
     

 

 

  

Total Arkansas

         806  
     

 

 

  

California - 11.5%

 

Briggs Elementary School District, Election of 2014

      

Series B, GO, 4.00%, 8/1/2030

      5        6  

California Community Choice Financing Authority, Clean Energy Project

      

Series 2021B-1, Rev., 4.00%, 8/1/2031(b)

      3,445        3,959  

California Health Facilities Financing Authority, Kaiser Permanente

      

Series 2017A, Subseries 2017A-2, Rev., 4.00%, 11/1/2038

      1,000        1,116  

California Infrastructure and Economic Development Bank, Bay Area Toll Bridges, First Lien

      

Series 2003A, Rev., AGM, 5.00%, 7/1/2022(d)

      340        346  

California Municipal Finance Authority, Lutheran University

      

Rev., 5.00%, 10/1/2029

      225        268  

Rev., 5.00%, 10/1/2030

      225        268  

Rev., 5.00%, 10/1/2031

      225        267  

California Public Finance Authority, Enso Village Project

      

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Series 2021B-3, Rev., 2.13%, 11/15/2027(c)

      150        150  

Series 2021B-2, Rev., 2.38%, 11/15/2028(c)

      260        261  

Series 2021B-1, Rev., 3.13%, 5/15/2029(c)

      100        101  

Series 2021A, Rev., 5.00%, 11/15/2036(c)

      100        114  

Series 2021A, Rev., 5.00%, 11/15/2046(c)

      100        112  

California Statewide Communities Development Authority, San Francisco Campus for Jewish Living Project

      

Rev., 4.00%, 11/1/2031

      100        117  

Rev., 4.00%, 11/1/2032

      160        187  

City of Culver City, Wastewater Facilities

      

Series A, Rev., 4.00%, 9/1/2035

      25        29  

City of Los Angeles, Department of Water and Power, Power System

      

Series B, Rev., 5.00%, 7/1/2029

      3,580        4,176  

Series A, Rev., 5.00%, 7/1/2030(d)

      15        16  

Series B, Rev., 5.00%, 7/1/2031

      2,100        2,251  

Series A, Rev., 5.00%, 7/1/2032

      2,550        2,969  

Series B, Rev., 5.00%, 7/1/2032

      1,925        2,063  

Series D, Rev., 5.00%, 7/1/2032

      3,300        3,597  

Series 2017A, Rev., 5.00%, 7/1/2033

      5,000        5,819  

Series 2019-C, Rev., 5.00%, 7/1/2034

      5        6  

Series A, Rev., 5.00%, 7/1/2034

      710        826  

City of Santa Rosa, Wastewater

      

Series B, Rev., AGM-CR, AMBAC, Zero Coupon, 9/1/2023

      4,750        4,675  

CSCDA Community Improvement Authority, Essential Housing, Orange Portfolio

      

Series 2021A-1, Rev., 2.80%, 3/1/2047(c)

      1,510        1,296  

CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio

      

Series 2021A-1, Rev., 2.65%, 12/1/2046(c)

      200        175  

CSCDA Community Improvement Authority, Essential Housing, Senior Lien

      

Series 2021A-1, Rev., 2.45%, 2/1/2047(c)

      1,425        1,203  

Golden State Tobacco Securitization Corp., Tobacco Settlement

      

Series 2015A, Rev., 5.00%, 6/1/2034(d)

      4,950        5,568  

Lompoc Valley Medical Center

      

GO, 5.00%, 8/1/2024

      15        16  

Los Angeles Community College District, Election of 2008

      

Series G, GO, 4.00%, 8/1/2039(d)

      145        155  

Los Angeles Unified School District, Headquarters Building Projects

      

Series B, COP, 5.00%, 10/1/2031

      80        82  

Sacramento Municipal Utility District, Financing Authority, Cosumnes Project

      

Rev., 5.00%, 7/1/2028

      1,290        1,454  

San Francisco Bay Area Rapid Transit District, Sales Tax

      

Series A, Rev., 5.00%, 7/1/2025

      395        445  

Series A, Rev., 5.00%, 7/1/2026

      225        254  

San Francisco City and County, Airport Commission, San Francisco International Airport

      

Series 2019A, Rev., AMT, 5.00%, 5/1/2034

      25        30  

San Joaquin County Transportation Authority, Measure K Sales Tax

      

Rev., 5.00%, 3/1/2030

      2,000        2,335  

South Placer Wastewater Authority

      

Rev., 5.00%, 11/1/2024

      10        11  

State of California

      

GO, 5.00%, 9/1/2027

      12,000        14,262  

State of California, Various Purpose

      

GO, 5.00%, 8/1/2030

      5,370        5,937  

GO, 5.00%, 12/1/2035

      3,250        4,086  

Westminster School District

      

Series 2016, GO, 5.00%, 8/1/2030

      5        6  
     

 

 

  

Total California

                     71,014  
     

 

 

  

Colorado - 1.6%

 

City of Aurora

      

COP, 5.00%, 12/1/2031

      15        19  

City of Greeley

      

COP, 4.00%, 12/1/2034

      10        11  

Colorado Educational & Cultural Facilities Authority, Aspen View Academy Project

      

Rev., 4.00%, 5/1/2030

      35        38  

Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project

      

Rev., 4.00%, 5/1/2024

      25        26  

Rev., 4.00%, 5/1/2026

      30        32  

Rev., 4.00%, 5/1/2028

      35        38  

Rev., 4.00%, 5/1/2036

      85        93  

Colorado Health Facilities Authority

      

Series 2019A, Rev., 4.00%, 1/1/2035

      1,785        2,027  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Colorado Higher Education, Lease Purchase Financing Program

      

COP, 5.00%, 9/1/2031

      500        642  

Denver Health and Hospital Authority, Healthcare

      

Series 2019-A, Rev., 4.00%, 12/1/2038

      1,250        1,405  

Series 2019-A, Rev., 4.00%, 12/1/2039

      1,000        1,121  

El Paso County School District No. 49 Falcon

      

COP, 5.00%, 12/15/2026

      75        87  

COP, 5.00%, 12/15/2027

      110        131  

COP, 5.00%, 12/15/2028

      170        206  

Rampart Range Metropolitan District No. 5

      

Rev., 4.00%, 12/1/2036

      500        506  

Reunion Metropolitan District

      

Series 2021A, Rev., 3.63%, 12/1/2044

      500        467  

Third Creek Metropolitan District No. 1

      

Series 2022A-1, GO, 4.50%, 12/1/2037(c)

      825        800  

University of Colorado, Enterprise System

      

Series 2021C-3B, Rev., 2.00%, 10/15/2026(b)

      520        526  

Windler Public Improvement Authority, Limited Tax

      

Series 2021 A-1, Rev., 4.00%, 12/1/2036

      885        857  

Series 2021 A-1, Rev., 4.00%, 12/1/2041

      750        709  
     

 

 

  

Total Colorado

                     9,741  
     

 

 

  

Connecticut - 0.3%

 

Connecticut State Health and Educational Facilities Authority

      

Series 2020A, Rev., 5.00%, 7/1/2029

      100        123  

Town of South Windsor

      

Series 2021B, GO, 4.00%, 12/15/2027

      1,760        2,023  

Town of Southington

      

Series 2020C, GO, 5.00%, 6/1/2028

      5        6  

Town of Stafford

      

GO, 3.00%, 8/1/2026

      10        10  
     

 

 

  

Total Connecticut

         2,162  
     

 

 

  

District of Columbia - 0.7%

 

District of Columbia

      

Series 2017A, GO, 5.00%, 6/1/2029

      290        343  

Series 2017A, GO, 5.00%, 6/1/2030

      400        472  

Series 2017A, GO, 5.00%, 6/1/2031

      600        707  

Series 2017A, GO, 5.00%, 6/1/2032

      665        782  

District of Columbia, Gallaudet University Project

      

Series 2021A, Rev., 4.00%, 4/1/2033

      160        184  

Series 2021A, Rev., 4.00%, 4/1/2034

      165        190  

Series 2021A, Rev., 4.00%, 4/1/2035

      200        229  

Series 2021A, Rev., 4.00%, 4/1/2036

      200        229  

District of Columbia, Income Tax Secured

      

Series 2020C, Rev., 5.00%, 5/1/2037

      1,000        1,249  
     

 

 

  

Total District of Columbia

         4,385  
     

 

 

  

Florida - 5.5%

 

Broward County, Water and Sewer Utility

      

Series 2015B, Rev., 5.00%, 10/1/2030

      5,000        5,667  

Capital Trust Agency, Inc.

      

Rev., 4.00%, 6/15/2031(c)

      100        102  

Series 2021A, Rev., 5.00%, 12/1/2045(c)

      175        179  

City of Pompano Beach, John Knox Village Project

      

Rev., 3.50%, 9/1/2030

      1,900        1,998  

Rev., 3.50%, 9/1/2035

      2,250        2,325  

Series 2021A, Rev., 4.00%, 9/1/2036

      115        126  

Florida Atlantic University Finance Corp., Student Housing Project

      

Series 2019B, Rev., 5.00%, 7/1/2029

      250        305  

Florida Department of Management Services

      

Series 2018A, COP, 5.00%, 11/1/2026

      145        169  

Florida Development Finance Corp., The Mayflower Retirement Community Project

      

Series 2021B-2, Rev., 1.75%, 6/1/2026(c)

      100        98  

Series 2021B-1, Rev., 2.38%, 6/1/2027(c)

      100        98  

Series 2021A, Rev., 4.00%, 6/1/2029(c)

      1,375        1,523  

Series 2021A, Rev., 4.00%, 6/1/2030(c)

      1,435        1,591  

Series 2021A, Rev., 4.00%, 6/1/2031(c)

      1,395        1,541  

Series 2021A, Rev., 4.00%, 6/1/2036(c)

      2,105        2,298  

Florida Gulf Coast University Financing Corp., Housing Project

      

Series 2017A, Rev., 5.00%, 8/1/2032

      500        581  

Series 2020A, Rev., 4.00%, 2/1/2037

      200        226  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Florida Higher Educational Facilities Financial Authority, Rollins College Project

      

Series 2020A, Rev., 4.00%, 12/1/2037

      1,590        1,803  

Florida Municipal Power Agency

      

Series 2021A, Rev., 5.00%, 10/1/2031

      1,000        1,274  

JEA Electric System

      

Series D, Rev., 5.00%, 10/1/2024(d)

      110        115  

Series 2017B, Rev., 5.00%, 10/1/2033

      4,000        4,689  

Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai Residences of Boca Raton Expansion

      

Rev., 4.00%, 6/1/2036(e)

      400        409  

St. Johns County Industrial Development Authority, Vicar’s Landing Project

      

Series 2021A, Rev., 4.00%, 12/15/2029

      225        244  

State of Florida, Department of Transportation Right-of-Way Acquisition and Bridge Construction

      

Series 2021B, GO, 5.00%, 7/1/2031

      5,000        6,453  

University of Central Florida Housing Facility

      

Series 2021A, Rev., 5.00%, 10/1/2024

      150        165  

Wildwood Utility Dependent District

      

Rev., 5.00%, 10/1/2030

      125        154  
     

 

 

  

Total Florida

         34,133  
     

 

 

  

Georgia - 3.5%

 

Albany-Dougherty Inner City Authority, Albany State University Projects

      

Rev., 5.00%, 7/1/2032

      2,000        2,437  

City of Atlanta, Water & Wastewater

      

Rev., 5.00%, 11/1/2035(d)

      100        112  

City of Bainbridge, Utilities

      

Rev., 4.00%, 12/1/2033

      435        514  

City of Cartersville

      

GO, 5.00%, 10/1/2028

      3,130        3,820  

Clayton County Development Authority, Clayton State University Project

      

Rev., 5.00%, 7/1/2025

      105        118  

Rev., 5.00%, 7/1/2026

      50        58  

Rev., 5.00%, 7/1/2027

      100        118  

Rev., 5.00%, 7/1/2028

      125        150  

Henry County, Water & Sewerage Authority

      

Rev., 5.00%, 2/1/2029

      125        125  

Main Street Natural Gas, Inc.

      

Series 2021C, Rev., 4.00%, 12/1/2028(b)

      5,000        5,578  

Milledgeville and Baldwin County Development Authority, College & State University Projects

      

Rev., 5.00%, 6/15/2026

      450        517  

Rev., 5.00%, 6/15/2027

      415        490  

Rev., 5.00%, 6/15/2030

      1,075        1,325  

Rev., 5.00%, 6/15/2034

      1,600        1,996  

Rev., 5.00%, 6/15/2035

      1,000        1,248  

Oconee County School District

      

GO, 5.00%, 3/1/2030

      360        451  

GO, 5.00%, 3/1/2031

      175        223  

Polk School District, Sales Tax

      

GO, 5.00%, 3/1/2025

      325        363  

Savannah Economic Development Authority

      

Series 2021B, Rev., 5.00%, 6/15/2027

      295        348  

Series 2021B, Rev., 5.00%, 6/15/2028

      205        246  

Series 2021B, Rev., 5.00%, 6/15/2029

      320        389  

Series 2021B, Rev., 5.00%, 6/15/2030

      340        418  

State of Georgia

      

Series 2015A, GO, 5.00%, 2/1/2025

      130        145  

Walker County School District

      

GO, 5.00%, 10/1/2027

      550        655  
     

 

 

  

Total Georgia

                     21,844  
     

 

 

  

Idaho - 0.2%

 

Idaho Housing & Finance Association

      

Series 2021A, Rev., 5.00%, 7/15/2035

      750        948  
     

 

 

  

Illinois - 2.3%

 

City of Chicago, Second Lien Waterworks Project

      

Rev., 5.00%, 11/1/2022

      400        413  

Rev., 5.00%, 11/1/2029

      1,000        1,090  

City of Sterling

      

Series 2020A, GO, AGM, 4.00%, 1/1/2025

      65        70  

County of Cook

      

Series 2021A, GO, 5.00%, 11/15/2028

      2,300        2,740  

Illinois State Toll Highway Authority

      

Series 2014A, Rev., 5.00%, 12/1/2022

      3,000        3,108  

Northern Illinois University, Auxiliary Facilities System

      

Rev., 5.00%, 10/1/2026

      250        287  

Rev., 5.00%, 10/1/2027

      325        380  

Rev., 5.00%, 10/1/2028

      325        388  

Regional Transportation Authority

      

Series A, Rev., NATL-RE, 6.00%, 7/1/2024

      750        839  

State of Illinois

      

Series 2021 A, GO, 5.00%, 3/1/2030

      1,260        1,508  

Series 2021A, GO, 4.00%, 3/1/2038

      1,000        1,096  

Series 2021A, GO, 4.00%, 3/1/2039

      2,000        2,189  
     

 

 

  

Total Illinois

         14,108  
     

 

 

  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Indiana - 1.1%

      

City of Valparaiso, Green Oaks of Valparaiso LLC

      

Rev., 5.38%, 12/1/2041(c)

      200        190  

Fort Wayne Redevelopment Authority, Harrison Square Project

      

Rev., 5.00%, 2/1/2026

      1,110        1,192  

Indiana Finance Authority, Lutheran University Association, Inc. (The)

      

Rev., 5.00%, 10/1/2022

      200        206  

Rev., 5.00%, 10/1/2023

      215        228  

Indiana Finance Authority, Rose-Hulman Institute of Technology Project

      

Rev., 5.00%, 6/1/2029

      125        150  

Rev., 5.00%, 6/1/2031

      100        122  

Rev., 4.00%, 6/1/2033

      115        130  

Indianapolis Local Public Improvement Bond Bank, Stormwater Project

      

Series 2013D, Rev., 5.00%, 1/1/2026

      4,050        4,212  

Lake Ridge School Building Corp., First Mortgage

      

Rev., 4.00%, 7/15/2028

      125        132  

Lawrence Township School Building Corp., Ad Valorem Property Tax

      

Rev., 5.00%, 1/15/2030

      100        123  
     

 

 

  

Total Indiana

         6,685  
     

 

 

  

Iowa - 0.0%(f)

 

City of Bondurant

      

Series 2020A, GO, 3.00%, 6/1/2029

      100        106  

Iowa Finance Authority, State Revolving Fund

      

Rev., 5.00%, 8/1/2032

      20        23  
     

 

 

  

Total Iowa

         129  
     

 

 

  

Kentucky - 1.1%

 

City of Hazard, Appalachian Regional Healthcare, Inc.

      

Rev., 4.00%, 7/1/2036

      805        925  

County of Carroll, Kentucky Environmental Facilities

      

Series 2008A, Rev., AMT, 2.00%, 2/1/2032

      1,225        1,200  

Series 2006B, Rev., AMT, 2.13%, 10/1/2034

      1,000        986  

County of Trimble

      

Series 2001A, Rev., 0.63%, 9/1/2026

      3,250        3,067  

Kentucky Bond Development Corp., Centre College

      

Rev., 4.00%, 6/1/2027

      235        262  

Rev., 4.00%, 6/1/2028

      125        141  

Rev., 4.00%, 6/1/2029

      160        183  

Rev., 4.00%, 6/1/2030

      165        190  
     

 

 

  

Total Kentucky

                     6,954  
     

 

 

  

Louisiana - 0.7%

 

City of Alexandria

      

Series 2013A, Rev., 5.00%, 5/1/2043(d)

      1,250        1,316  

Lafayette Public Power Authority

      

Rev., 5.00%, 11/1/2025

      15        17  

Louisiana Local Government Environmental Facilities & Community Development Authority, Bossier City Project

      

Rev., 5.00%, 10/1/2027

      25        30  

Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project

      

Series 2020A, Rev., 5.00%, 5/15/2035

      650        800  

Series 2020A, Rev., 5.00%, 5/15/2036

      775        954  

Series 2020A, Rev., 5.00%, 5/15/2037

      500        614  

Louisiana Public Facilities Authority, School Master Project

      

Series 2021A, Rev., 4.00%, 6/1/2031(c)

      290        298  

St. Tammany Parish Hospital Service District No. 1

      

Series 2018-A, Rev., 5.00%, 7/1/2032

      15        18  

State of Louisiana, State Highway Improvement

      

Series 2013-A, Rev., 5.00%, 6/15/2023

      40        42  

Terrebonne Parish Recreation District No. 5

      

GO, 5.00%, 3/1/2027

      20        23  
     

 

 

  

Total Louisiana

         4,112  
     

 

 

  

Maine - 0.3%

 

Maine Municipal Bond Bank

      

Series 2021A, Rev., 5.00%, 11/1/2032

      1,235        1,584  
     

 

 

  

Maryland - 1.4%

 

City of Baltimore, Water Project

      

Series 2020A, Rev., 4.00%, 7/1/2038

      1,000        1,158  

County of Baltimore, Public Improvement

      

GO, 5.00%, 3/1/2036

      3,560        4,553  

County of Howard

      

Series 2019-B, GO, 5.00%, 8/15/2027

      15        18  

County of Montgomery, Consolidated Public Improvements

      

Series C, GO, 5.00%, 10/1/2027

      1,000        1,199  

Series A, GO, 4.00%, 12/1/2033

      5        5  

Maryland Health and Higher Educational Facilities Authority, Stevenson University Issue

      

Series 2021A, Rev., 5.00%, 6/1/2030

      395        480  

Series 2021A, Rev., 5.00%, 6/1/2032

      450        554  

Series 2021A, Rev., 4.00%, 6/1/2038

      790        889  
     

 

 

  

Total Maryland

         8,856  
     

 

 

  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Massachusetts - 1.8%

      

Commonwealth of Massachusetts

      

Series 2004C, GO, AGM, 5.50%, 12/1/2022

      200        208  

Massachusetts Bay Transportation Authority Assessment

      

Series 2006-A, Rev., 5.25%, 7/1/2031

      1,500        1,967  

Massachusetts Development Finance Agency

      

Series 2021A, Rev., 5.00%, 7/1/2028

      225        271  

Series 2021A, Rev., 5.00%, 7/1/2029

      650        798  

Series 2021A, Rev., 5.00%, 7/1/2030

      2,000        2,496  

Series 2021A, Rev., 5.00%, 7/1/2031

      500        633  

Series 2021A, Rev., 5.00%, 7/1/2032

      1,350        1,698  

Series 2021A, Rev., 5.00%, 7/1/2033

      1,265        1,592  

Series 2021G, Rev., 5.00%, 7/1/2036

      200        251  

University of Massachusetts Building Authority

      

Rev., 5.00%, 11/1/2032

      1,000        1,279  
     

 

 

  

Total Massachusetts

                     11,193  
     

 

 

  

Michigan - 0.7%

 

Avondale School District

      

GO, Q-SBLF, 5.00%, 11/1/2027

      15        17  

Eastern Michigan University, Board of Regents

      

Series 2017A, Rev., 5.00%, 3/1/2033

      1,000        1,158  

Grand Rapids Public Schools, Unlimited Tax

      

GO, AGM, 5.00%, 11/1/2029

      5        6  

Lakeview School District, School Building & Site

      

GO, Q-SBLF, 5.00%, 5/1/2028

      10        12  

Michigan Finance Authority, Lawrence Technological University Obligated Group

      

Rev., 4.00%, 2/1/2027

      45        48  

Rev., 4.00%, 2/1/2032

      95        104  

Michigan Strategic Fund, Graphic Packaging International LLC, Coated Recycled Board Machine Project

      

Rev., AMT, 4.00%, 10/1/2026(b)

      125        137  

Northern Michigan University

      

Rev., 5.00%, 6/1/2027

      110        129  

Rev., 5.00%, 6/1/2028

      100        120  

Rev., 5.00%, 6/1/2029

      325        396  

Rev., 5.00%, 6/1/2030

      415        515  

Rev., 5.00%, 6/1/2031

      190        239  

Rev., 5.00%, 6/1/2032

      300        377  

Onekama Consolidated Schools

      

GO, AGM, 4.00%, 5/1/2025

      15        16  

Watervliet Public Schools, School Building and Site

      

GO, Q-SBLF, 5.00%, 5/1/2025

      10        11  

Wayne-Westland Community Schools

      

Series 2019, GO, Q-SBLF, 4.00%, 11/1/2031

      10        12  

Western Michigan University

      

Series 2021A, Rev., AGM, 5.00%, 11/15/2034

      200        252  

Series 2021A, Rev., AGM, 5.00%, 11/15/2035

      200        252  

Series 2021A, Rev., AGM, 5.00%, 11/15/2036

      200        251  

Series 2021A, Rev., AGM, 5.00%, 11/15/2037

      350        438  
     

 

 

  

Total Michigan

         4,490  
     

 

 

  

Minnesota - 0.2%

 

City of Victoria

      

Series 2021 A, GO, 4.00%, 2/1/2029

      100        116  

County of Faribault

      

Series 2021B, GO, 4.00%, 2/1/2030

      215        253  

Duluth Economic Development Authority, Benedictine Health System

      

Series 2021A, Rev., 3.00%, 7/1/2025

      100        103  

Series 2021A, Rev., 3.00%, 7/1/2026

      180        186  

Three Rivers Park District

      

Series 2021A, GO, 5.00%, 2/1/2025

      320        356  
     

 

 

  

Total Minnesota

         1,014  
     

 

 

  

Missouri - 1.0%

 

City of Springfield, Public Utility

      

Rev., 5.00%, 8/1/2022

      100        102  

Health and Educational Facilities Authority of the State of Missouri

      

Rev., 5.00%, 2/15/2030

      670        826  

Rev., 5.00%, 2/15/2031

      705        883  

Rev., 5.00%, 2/15/2032

      500        631  

Rev., 5.00%, 2/15/2033

      500        631  

Rev., 4.00%, 2/15/2034

      400        464  

Health and Educational Facilities Authority of the State of Missouri, St. Luke’s Health System, Inc.

      

Rev., 5.00%, 11/15/2026

      750        875  

Rev., 5.00%, 11/15/2027

      175        209  

Rev., 5.00%, 11/15/2028

      500        608  

Rev., 5.00%, 11/15/2029

      1,000        1,239  
     

 

 

  

Total Missouri

         6,468  
     

 

 

  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Montana - 0.0%(f)

      

Silver Bow County School District No. 1

      

GO, 5.00%, 7/1/2029

      5        6  
     

 

 

  

Nebraska - 0.6%

 

Central Plains Energy Project, Gas Project No. 3

      

Series 2017A, Rev., 5.00%, 9/1/2042

      2,550        3,434  
     

 

 

  

Nevada - 0.2%

 

County of Clark, Nevada Improvement District No. 158

      

5.00%, 8/1/2034

      10        12  

County of Clark, Southern California Edison Co.

      

Rev., 2.10%, 6/1/2031

      1,215        1,158  
     

 

 

  

Total Nevada

         1,170  
     

 

 

  

New Hampshire - 0.4%

 

New Hampshire Business Finance Authority, St. Luke’s Hospital Obligated Group

      

Series 2021B, Rev., 5.00%, 8/15/2032

      1,475        1,842  

Series 2021B, Rev., 5.00%, 8/15/2035

      650        805  
     

 

 

  

Total New Hampshire

         2,647  
     

 

 

  

New Jersey - 4.1%

 

Burlington County Bridge Commission, Government Leasing Program

      

Rev., 5.00%, 4/1/2029

      510        625  

Rev., 5.00%, 4/1/2030

      435        544  

County of Morris

      

GO, 3.00%, 2/1/2030

      20        21  

New Jersey Economic Development Authority, School Facilities Construction

      

Series PP, Rev., 5.00%, 6/15/2029(d)

      5,000        5,445  

New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement

      

Series A, Rev., 5.00%, 6/15/2028

      3,000        3,432  

New Jersey Transportation Trust Fund Authority, Transportation Program

      

Series 2013AA, Rev., 5.00%, 6/15/2036

      2,500        2,622  

Series 2020AA, Rev., 4.00%, 6/15/2050

      1,125        1,221  

Series 2020AA, Rev., 5.00%, 6/15/2050

      1,000        1,181  

New Jersey Turnpike Authority

      

Series 2017B, Rev., 4.00%, 1/1/2035

      5        6  

North Hudson Sewerage Authority, Senior Lien

      

Rev., AGM, 5.00%, 6/1/2029

      940        1,152  

State of New Jersey, COVID-19 Emergency Bonds

      

Series 2020A, GO, 5.00%, 6/1/2029

      5,000        6,043  

Tobacco Settlement Financing Corp.

      

Series 2018A, Rev., 5.00%, 6/1/2027

      2,800        3,292  

Township of Branchburg

      

GO, 3.00%, 9/1/2028

      40        43  
     

 

 

  

Total New Jersey

                     25,627  
     

 

 

  

New Mexico - 0.0%(f)

 

State of New Mexico, Severance Tax Permanent Fund

      

Series 2018A, Rev., 5.00%, 7/1/2022

      25        25  
     

 

 

  

New York - 14.1%

 

Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc.

      

Rev., 4.00%, 7/1/2031

      100        110  

Rev., 4.00%, 7/1/2036

      160        176  

Build NYC Resource Corp., New World Preparatory Charter School Project

      

Series 2021A, Rev., 4.00%, 6/15/2031

      150        162  

Series 2021A, Rev., 4.00%, 6/15/2056

      225        235  

City of New York, Fiscal Year 2018

      

Series B, Subseries B-4, GO, VRDO, LIQ: Barclays Bank plc, 0.07%, 2/1/2022(b)

      5,000        5,000  

Series 2018-1, GO, 5.00%, 8/1/2030

      20        23  

City of New York, Fiscal Year 2021

      

SubseriesF-1, GO, 4.00%, 3/1/2040

      1,020        1,151  

County of St. Lawrence

      

GO, AGM, 3.00%, 5/15/2034

      10        10  

County of Suffolk

      

Series B, GO, AGM, 4.00%, 10/15/2024

      50        54  

Series B, GO, AGM, 5.00%, 10/15/2026

      25        29  

Erie County Industrial Development Agency (The), School District Buffalo Project

      

Series 2015A, Rev., 5.00%, 5/1/2024

      40        43  

Hudson Yards Infrastructure Corp., Second Indenture, Fiscal Year 2017

      

Series A, Rev., 5.00%, 2/15/2033

      1,500        1,743  

Series A, Rev., 5.00%, 2/15/2034

      40        46  

Island Park Union Free School District

      

Series 2019, GO, 4.00%, 7/15/2033

      40        45  

Long Island Power Authority

      

Series 2019-A, Rev., 3.00%, 9/1/2036

      10        10  

Metropolitan Transportation Authority

      

Series 2015F, Rev., 5.00%, 11/15/2025

      15        17  

Subseries C-1, Rev., 5.25%, 11/15/2028

      5,000        5,644  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Nassau County Interim Finance Authority

      

Series 2021A, Rev., 5.00%, 11/15/2034

      1,275        1,637  

New York City Transitional Finance Authority Future Tax Secured

      

Series I, Rev., 3.00%, 5/1/2022

      150        151  

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2019

      

Series S-2A, Rev., 5.00%, 7/15/2032

      40        48  

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2010

      

Subseries 2010G-6, Rev., VRDO, LIQ: Barclays Bank plc, 0.07%, 2/1/2022(b)

      4,200        4,200  

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015

      

Series FF, Rev., 5.00%, 6/15/2031

      3,000        3,356  

New York Convention Center Development Corp., Subordinate Lien, Hotel Unit Fee Secured

      

Series 2016B, Rev., AGM-CR, Zero Coupon, 11/15/2052

      10,000        3,606  

New York Liberty Development Corp.

      

Rev., 2.25%, 2/15/2041

      500        443  

Rev., 2.75%, 2/15/2044

      1,000        943  

New York State Dormitory Authority

      

Series 2018A, Rev., 5.00%, 7/1/2038

      3,500        4,236  

New York State Dormitory Authority, Personal Income Tax

      

Series 2021E, Rev., 5.00%, 3/15/2032

      165        213  

Series 2021E, Rev., 5.00%, 3/15/2033

      7,500        9,678  

Series D, Rev., 4.00%, 2/15/2037

      5,500        6,221  

New York State Dormitory Authority, School Districts Financing Program

      

Series 2018A, Rev., 5.00%, 10/1/2030

      875        1,012  

New York State Dormitory Authority, State Sales Tax

      

Series 2017-A, Rev., 5.00%, 3/15/2028

      5        6  

Series 2014A, Rev., 5.00%, 3/15/2033

      1,000        1,079  

New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, New York City Municipal Water Finance Authority

      

Series 2017A, Rev., 5.00%, 6/15/2027

      3,500        4,162  

Series 2017A, Rev., 5.00%, 6/15/2028

      2,000        2,373  

New York State Thruway Authority, Junior Lien

      

Series 2016-A, Rev., 5.00%, 1/1/2025

      25        28  

Series J, Rev., 5.00%, 1/1/2025

      5        5  

Series 2016A, Rev., 5.00%, 1/1/2027

      125        143  

New York State Urban Development Corp., State Personal Income Tax, General Purpose

      

Series 2017C, Rev., 5.00%, 3/15/2027

      5,475        6,442  

Port Authority of New York & New Jersey, Consolidated

      

Series 194, Rev., 5.00%, 10/15/2041

      6,500        7,249  

Rensselaer City School District

      

Series 2016, COP, AGM, 5.00%, 6/1/2028

      400        456  

Sales Tax Asset Receivable Corp., Fiscal Year 2015

      

Series A, Rev., 5.00%, 10/15/2031(d)

      1,890        2,088  

Syracuse Industrial Development Agency, School District

      

Series 2019-A, Rev., 4.00%, 5/1/2034

      10        11  

Utility Debt Securitization Authority

      

Series 2013TE, Rev., 5.00%, 12/15/2028

      4,000        4,294  

Utility Debt Securitization Authority, Federally Tax-Exempt

      

Series 2013TE, Rev., 5.00%, 12/15/2041

      4,250        4,539  

Village of Stewart Manor, Public Improvement

      

GO, 5.00%, 8/1/2026

      20        23  

GO, 4.00%, 8/1/2028

      20        23  

Wellsville Central School District

      

GO, AGM, 5.00%, 6/15/2023

      20        21  

Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project

      

Series 2021D, Rev., 2.88%, 7/1/2026(c)

      465        463  

Series 2021C, Rev., 3.20%, 7/1/2028(c)

      1,650        1,640  

Series 2021A, Rev., 5.00%, 7/1/2041(c)

      1,210        1,291  
     

 

 

  

Total New York

                     86,578  
     

 

 

  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

North Carolina - 0.9%

      

City of Raleigh

      

Series 2020A, Rev., 5.00%, 6/1/2025

      250        281  

City of Sanford, Enterprise System

      

Rev., 5.00%, 6/1/2031

      570        694  

County of Chatham

      

Series 2021A, Rev., 5.00%, 11/1/2032

      150        194  

Series 2021A, Rev., 5.00%, 11/1/2033

      275        354  

Series 2021A, Rev., 5.00%, 11/1/2034

      225        289  

Mecklenburg County Public Facilities Corp.

      

Rev., 5.00%, 2/1/2026

      10        11  

North Carolina Capital Facilities Finance Agency, High Point University

      

Rev., 5.00%, 5/1/2029

      525        632  

Rev., 5.00%, 5/1/2030

      560        684  

Rev., 4.00%, 5/1/2032

      1,000        1,140  

North Carolina Medical Care Commission, The Forest at Duke Project

      

Rev., 4.00%, 9/1/2034

      190        215  

North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien

      

Rev., AGM, 5.00%, 1/1/2029

      700        813  

University of North Carolina at Greensboro

      

Rev., 4.00%, 4/1/2035

      10        11  
     

 

 

  

Total North Carolina

         5,318  
     

 

 

  

North Dakota - 0.2%

 

City of Grand Forks

      

Rev., 4.00%, 12/1/2038

      1,200        1,367  
     

 

 

  

Ohio - 1.6%

 

American Municipal Power, Inc., Fremont Energy Center Project

      

Series 2021A, Rev., 5.00%, 2/15/2033

      1,250        1,570  

Butler County Port Authority, Community First Solutions

      

Series 2021A, Rev., 4.00%, 5/15/2038

      110        125  

Series 2021A, Rev., 4.00%, 5/15/2039

      110        124  

Series 2021A, Rev., 4.00%, 5/15/2040

      120        135  

Series 2021A, Rev., 4.00%, 5/15/2041

      125        141  

City of Lakewood, Limited Tax, Various Purpose

      

GO, 4.00%, 12/1/2025

      300        331  

GO, 5.00%, 12/1/2027

      350        419  

County of Hamilton

      

Series 2021A, GO, 5.00%, 12/1/2031

      1,190        1,529  

Miami University, General Receipts

      

Series 2021A, Rev., 5.00%, 9/1/2035

      760        967  

Northeast Ohio Medical University

      

Series 2021A, Rev., 5.00%, 12/1/2030

      70        84  

Series 2021A, Rev., 4.00%, 12/1/2035

      150        166  

Ohio Higher Educational Facility Commission, John Carroll University

      

Rev., 5.00%, 10/1/2028(e)

      370        437  

Rev., 5.00%, 10/1/2029(e)

      445        534  

Rev., 5.00%, 10/1/2030(e)

      425        518  

Rev., 5.00%, 10/1/2031(e)

      645        796  

Rev., 5.00%, 10/1/2032(e)

      700        861  

State of Ohio, Capital Facilities Lease Appropriation

      

Series 2018A, Rev., 5.00%, 4/1/2028

      1,020        1,229  
     

 

 

  

Total Ohio

                     9,966  
     

 

 

  

Oklahoma - 0.7%

 

Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project

      

Rev., 5.00%, 10/1/2022

      250        257  

Rev., 5.00%, 10/1/2023

      180        192  

Rev., 5.00%, 10/1/2025

      500        563  

Rev., 5.00%, 10/1/2026

      500        579  

Oklahoma Turnpike Authority, Turnpike System, Second Senior

      

Series 2017A, Rev., 5.00%, 1/1/2038

      2,000        2,261  

Oklahoma Water Resources Board

      

Series 2021A, Rev., 5.00%, 10/1/2029

      410        509  
     

 

 

  

Total Oklahoma

         4,361  
     

 

 

  

Oregon - 2.6%

 

City of Portland

      

Series 2021B, Rev., 5.00%, 5/1/2032

      3,685        4,715  

City of Portland, Second Lien Sewer System

      

Series B, Rev., 4.00%, 10/1/2036

      2,180        2,316  

County of Marion

      

GO, AMBAC, 5.50%, 6/1/2023

      100        106  

Hospital Facilities Authority of Multnomah County Oregon

      

Series 2021B-2, Rev., 0.95%, 6/1/2027

      5,800        5,483  

Series 2021B-1, Rev., 1.20%, 6/1/2028

      2,000        1,873  

Linn & Benton Counties, School District No. 8J, Greater Albany

      

GO, 5.00%, 6/15/2030

      500        590  

Tri-County Metropolitan Transportation District of Oregon

      

Series 2017A, Rev., 5.00%, 10/1/2023

      50        53  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Washington Counties, Hillsborough School District No. 1J

      

GO, 5.00%, 6/15/2027

      570        676  

Yamhill County Hospital Authority

      

Series 2021A, Rev., 5.00%, 11/15/2056

      240        270  
     

 

 

  

Total Oregon

         16,082  
     

 

 

  

Pennsylvania - 1.7%

 

Berks County Industrial Development Authority, Tower Health Project

      

Rev., 5.00%, 11/1/2027

      350        395  

Rev., 5.00%, 11/1/2028

      450        498  

Rev., 5.00%, 11/1/2029

      150        165  

Rev., 5.00%, 11/1/2030

      150        164  

Bucks County Industrial Development Authority, Grand View Hospital Project

      

Rev., 5.00%, 7/1/2036

      1,225        1,484  

Commonwealth Financing Authority, Tobacco Master Settlement Payment

      

Rev., 5.00%, 6/1/2024

      500        544  

Rev., 5.00%, 6/1/2025

      630        705  

Rev., 5.00%, 6/1/2026

      380        437  

Rev., 5.00%, 6/1/2027

      500        588  

Rev., 5.00%, 6/1/2028

      880        1,057  

Rev., 5.00%, 6/1/2029

      380        454  

County of Lancaster

      

Series 2016-A, GO, 4.00%, 5/1/2026

      15        16  

County of Montgomery Higher Education & Health Authority, Thomas Jefferson University

      

Series 2018A, Rev., 4.00%, 9/1/2043

      2,000        2,202  

Fairview School District

      

Series A, GO, 4.00%, 2/1/2028

      10        11  

Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living

      

Rev., 4.00%, 7/1/2030

      335        373  

Sayre Health Care Facilities Authority, Guthrie Health Issue

      

Rev., (ICE LIBOR USD 3 Month + 0.78%), 0.89%, 3/1/2022(g)

      1,475        1,479  

Township of Lower Paxton

      

Series 2020A, GO, 4.00%, 4/1/2032

      15        17  
     

 

 

  

Total Pennsylvania

                     10,589  
     

 

 

  

Rhode Island - 0.0%(f)

 

Rhode Island Turnpike and Bridge Authority, Motor Fuel Tax

      

Series 2016A, Rev., 5.00%, 10/1/2029

      10        11  
     

 

 

  

South Carolina - 0.0%(f)

 

City of Charleston, Waterworks & Sewer System

      

Rev., 5.00%, 1/1/2028

      15        17  

Spartanburg County Tourist Public Facilities Corp.

      

COP, 4.00%, 4/1/2028

      10        11  
     

 

 

  

Total South Carolina

         28  
     

 

 

  

Tennessee - 4.1%

 

County of Coffee

      

Series 2021A, GO, 5.00%, 6/1/2025

      105        118  

Series 2021C, GO, 5.00%, 6/1/2025

      110        124  

Series 2021B, GO, 5.00%, 6/1/2026

      150        173  

Series 2021A, GO, 5.00%, 6/1/2027

      120        142  

Series 2021B, GO, 5.00%, 6/1/2027

      160        189  

Series 2021A, GO, 5.00%, 6/1/2028

      125        151  

Series 2021B, GO, 5.00%, 6/1/2028

      165        199  

Series 2021C, GO, 5.00%, 6/1/2028

      460        556  

Series 2021A, GO, 5.00%, 6/1/2029

      135        166  

Series 2021B, GO, 5.00%, 6/1/2029

      175        216  

Series 2021C, GO, 5.00%, 6/1/2029

      490        604  

Series 2021B, GO, 5.00%, 6/1/2030

      180        226  

Series 2021C, GO, 5.00%, 6/1/2030

      215        270  

Series 2021A, GO, 5.00%, 6/1/2031

      100        128  

Metropolitan Government Nashville and Davidson County Health & Educational Facilities, The Blakeford at Green Hills Corp.

      

Series 2020A, Rev., 4.00%, 11/1/2038

      1,305        1,377  

Metropolitan Government Nashville and Davidson County Health & Educational Facilities, Trevecca Nazarene University Project

      

Series 2021B, Rev., 4.00%, 10/1/2030

      105        113  

Metropolitan Government Nashville and Davidson County Health and Educational Facilities, Trevecca Nazarene University Project

      

Series 2021B, Rev., 4.00%, 10/1/2026

      150        161  

Series 2021B, Rev., 4.00%, 10/1/2027

      195        211  

Series 2021B, Rev., 4.00%, 10/1/2028

      200        217  

Series 2021B, Rev., 4.00%, 10/1/2029

      200        216  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Metropolitan Nashville Airport Authority (The), Subordinate Airport

      

Series 2019A, Rev., 5.00%, 7/1/2034

      130        160  

Tennessee Energy Acquisition Corp., Commodity Project

      

Series 2021A, Rev., 5.00%, 11/1/2031(b)

      9,000        11,031  

Tennessee Energy Acquisition Corp., Gas Project

      

Rev., 4.00%, 11/1/2025(b)

      8,000        8,643  
     

 

 

  

Total Tennessee

                     25,391  
     

 

 

  

Texas - 7.8%

 

Baytown Municipal Development District

      

Series 2021C, Rev., 5.00%, 10/1/2028

      890        1,066  

Series 2021C, Rev., 5.00%, 10/1/2029

      465        567  

Series 2021C, Rev., 5.00%, 10/1/2030

      485        599  

Series 2021C, Rev., 5.00%, 10/1/2031

      515        645  

Series 2021C, Rev., 5.00%, 10/1/2032

      535        668  

Bexar County Hospital District

      

GO, 4.00%, 2/15/2035

      10        11  

Board of Regents of the University of Texas System Financing System

      

Series 2014B, Rev., 5.00%, 8/15/2026

      5,000        5,804  

Central Texas Regional Mobility Authority, Senior Lien

      

Series 2021D, Rev., 4.00%, 1/1/2044

      2,000        2,248  

City of Cibolo

      

GO, 4.00%, 2/1/2026

      1,345        1,484  

City of Edinburg

      

Series 2021A, GO, AGM, 5.00%, 3/1/2030

      500        621  

City of Ennis

      

GO, 4.00%, 2/1/2031

      775        892  

City of Houston, Airport System, United Airlines, Inc., Terminal Improvements Projects

      

Series 2021B-1, Rev., AMT, 4.00%, 7/15/2041

      400        416  

City of Houston, Combined Utility System, Junior Lien

      

Series A, Rev., AGM, 5.75%, 12/1/2032(d)

      5,550        7,771  

City of Houston, Public Improvement

      

Series 2014A, GO, 5.00%, 3/1/2030(d)

      4,000        4,327  

City of Portland

      

GO, 3.00%, 8/15/2029

      100        108  

Conroe Local Government Corp., Conroe Convention Center Hotel

      

Series 2021A, Rev., 2.50%, 10/1/2031

      100        95  

County of El Paso

      

GO, 5.00%, 2/15/2032

      1,490        1,759  

Fort Bend County Municipal Utility District No. 169

      

Series 2021A, GO, AGM, 4.00%, 12/1/2025

      250        273  

Series 2021A, GO, AGM, 4.00%, 12/1/2026

      250        278  

Lower Colorado River Authority

      

Rev., 5.00%, 5/15/2031

      2,760        3,440  

Lower Colorado River Authority, LCRA Transmission Services Corp. Project

      

Rev., 5.00%, 5/15/2034

      220        273  

Series 2020A, Rev., 5.00%, 5/15/2035

      1,000        1,238  

Rev., 5.00%, 5/15/2036

      1,495        1,818  

Series 2020A, Rev., 5.00%, 5/15/2036

      1,000        1,236  

Rev., 5.00%, 5/15/2037

      1,250        1,544  

Rev., 5.00%, 5/15/2038

      1,500        1,819  

New Hope Cultural Education Facilities Finance Corp., Jubilee Academic Center, Inc.

      

Rev., 4.00%, 8/15/2031(c)

      485        527  

New Hope Cultural Education Facilities Finance Corp., Westminster Project

      

Rev., 4.00%, 11/1/2049

      100        109  

North Texas Tollway Authority System, First Tier

      

Series 2017A, Rev., 5.00%, 1/1/2027

      550        626  

Series 2017A, Rev., 5.00%, 1/1/2035

      600        696  

North Texas Tollway Authority, First Tier

      

Series A, Rev., 5.00%, 1/1/2026

      200        207  

Series 2017A, Rev., 5.00%, 1/1/2030

      360        407  

North Texas Tollway Authority, Second Tier

      

Series 2017B, Rev., 5.00%, 1/1/2026

      150        156  

Series 2017B, Rev., 5.00%, 1/1/2027

      300        341  

Series 2017B, Rev., 5.00%, 1/1/2030

      400        451  

San Antonio Education Facilities Corp., Hallmark University Project

      

Series 2021A, Rev., 5.00%, 10/1/2041

      200        210  

San Antonio Education Facilities Corp., University of the Incarnate Word

      

Series 2021A, Rev., 4.00%, 4/1/2037

      600        662  

San Jacinto Community College District, Limited Tax

      

Series 2019-A, GO, 5.00%, 2/15/2029

      120        147  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Stephen F Austin State University

      

Rev., 5.00%, 10/15/2024

      200        220  

Trinity River Authority, Walker-Calloway System

      

Rev., 5.00%, 2/1/2026

      275        313  

Rev., 5.00%, 2/1/2027

      290        339  

Rev., 5.00%, 2/1/2028

      305        364  

Rev., 5.00%, 2/1/2029

      320        379  

Rev., 5.00%, 2/1/2030

      340        402  

Rev., 5.00%, 2/1/2031

      355        420  

Tyler Independent School District

      

GO, PSF-GTD, 5.00%, 2/15/2028

      175        206  
     

 

 

  

Total Texas

                     48,182  
     

 

 

  

Utah - 0.7%

 

Mida Golf and Equestrian Center Public Infrastructure District, Limited Tax

      

GO, 4.13%, 6/1/2036(c)

      895        864  

Military Installation Development Authority, Tax Allocation and Hotel Tax

      

Series 2021A-1, Rev., 4.00%, 6/1/2036

      100        97  

Series 2021A-2, Rev., 4.00%, 6/1/2036

      100        96  

Series 2021A-1, Rev., 4.00%, 6/1/2041

      100        96  

University of Utah (The)

      

Series 2019-A, Rev., 5.00%, 8/1/2035

      500        620  

Utah Infrastructure Agency Telecommunications and Franchise Tax

      

Rev., 4.00%, 10/15/2040(d)

      250        275  

Utah Infrastructure Agency, Tax-Exempt

      

Rev., 4.00%, 10/15/2031

      500        566  

Rev., 4.00%, 10/15/2033

      525        592  

Weber Basin Water Conservancy District

      

Series 2017B, Rev., 5.00%, 10/1/2030

      250        297  

Series 2017B, Rev., 5.00%, 10/1/2031

      470        558  
     

 

 

  

Total Utah

         4,061  
     

 

 

  

Virginia - 1.6%

 

Fairfax County Economic Development Authority

      

Series 2021 A, Rev., 5.00%, 10/1/2034

      1,520        1,955  

Henrico County Economic Development Authority, Westminster Canterbury Richmond

      

Rev., 4.00%, 10/1/2040

      330        365  

Lynchburg Economic Development Authority, Central Health, Inc.

      

Rev., 4.00%, 1/1/2037

      825        950  

Virginia Public School Authority

      

Series 2017C, Rev., 5.00%, 8/1/2028

      500        597  

Series 2021A, Rev., 5.00%, 8/1/2031

      3,560        4,573  

Virginia Small Business Financing Authority, The Obligated Group of National Senior Campuses, Inc.

      

Series 2020A, Rev., 5.00%, 1/1/2034

      1,200        1,420  
     

 

 

  

Total Virginia

         9,860  
     

 

 

  

Washington - 4.5%

 

Energy Northwest

      

Rev., 5.00%, 7/1/2026

      10        11  

Port of Seattle, Intermediate Lien

      

Series 2015B, Rev., 5.00%, 3/1/2033

      3,750        4,083  

Series 2015B, Rev., 5.00%, 3/1/2034

      1,000        1,088  

State of Washington

      

Series 2021C, COP, 5.00%, 1/1/2026

      2,180        2,482  

State of Washington, Various Purpose

      

Series R-2018C, GO, 5.00%, 8/1/2034

      900        1,061  

Series 2021C, GO, 5.00%, 2/1/2037

      5,170        6,509  

University of Washington

      

Series 2020C, Rev., 5.00%, 4/1/2034

      3,695        4,614  

Series 2020C, Rev., 5.00%, 4/1/2035

      500        623  

Washington Health Care Facilities Authority, Providence St. Joseph Health

      

Series 2018B, Rev., 5.00%, 10/1/2025

      1,250        1,416  

Series 2018B, Rev., 5.00%, 10/1/2026

      1,500        1,742  

Series 2018B, Rev., 5.00%, 10/1/2027

      2,500        2,970  

Washington State Housing Finance Commission, Rockwood Retirement Communities Project

      

Series 2020A, Rev., 5.00%, 1/1/2041(c)

      1,415        1,487  
     

 

 

  

Total Washington

         28,086  
     

 

 

  

West Virginia - 0.5%

 

State of West Virginia

      

Series 2021A, GO, 5.00%, 6/1/2032

      2,600        3,330  
     

 

 

  

Wisconsin - 1.3%

 

City of Milwaukee, Sewerage System

      

Series 2021-S2, Rev., 5.00%, 6/1/2029

      580        716  

Series 2021-S2, Rev., 5.00%, 6/1/2030

      750        939  

Public Finance Authority

      

Rev., 4.00%, 4/1/2032(c)(e)

      100        107  

Public Finance Authority, Ascend Leadership Academy Project

      

Series 2021A, Rev., 5.00%, 6/15/2041(c)

      130        133  

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Investments

    Principal
Amount
    ($000)    		      Value ($000)  

Public Finance Authority, Coral Academy of Science

      

Series 2021A, Rev., 4.00%, 7/1/2030

      305        331  

Series 2021A, Rev., 4.00%, 7/1/2041

      500        533  

Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project

      

Series 2021B2, Rev., 2.25%, 6/1/2027

      215        212  

Public Finance Authority, Scotland Healthcare System

      

Series 2021A, Rev., 5.00%, 10/1/2025

      695        781  

Series 2021A, Rev., 5.00%, 10/1/2026

      730        839  

Public Finance Authority, The Carmelite System, Inc., Obligated Group

      

Rev., 3.25%, 1/1/2029

      860        928  

Public Finance Authority, Triad Math & Science Academy Co.

      

Series 2021A, Rev., 4.00%, 6/15/2024

      340        358  

Series 2021A, Rev., 4.00%, 6/15/2026

      370        399  

Series 2021A, Rev., 4.00%, 6/15/2028

      400        437  

Series 2021A, Rev., 4.00%, 6/15/2030

      435        480  

Series 2021A, Rev., 4.00%, 6/15/2041

      280        304  

Wisconsin Health and Educational Facilities Authority, Hope Christian Schools

      

Rev., 4.00%, 12/1/2041

      160        165  

Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries

      

Rev., 4.00%, 1/1/2037

      325        344  
     

 

 

  

Total Wisconsin

         8,006  
     

 

 

  

TOTAL MUNICIPAL BONDS
(Cost $525,779)

 

      527,749  
  

 

 

  

Investments

    Shares (000)      Value ($000)  

SHORT-TERM INVESTMENTS - 11.4%

 

INVESTMENT COMPANIES - 11.4%

 

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02%(h)(i)(Cost $70,649)

      70,620        70,641  
     

 

 

  

Total Investments - 96.7%
(Cost $596,428)

 

                  598,390  

Other Assets Less Liabilities - 3.3%

 

      20,638  
  

 

 

  

Net Assets - 100.0%

 

      619,028  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Abbreviations

   
AGM    Insured by Assured Guaranty Municipal Corp.
AMBAC    Insured by American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax
COP    Certificate of Participation
CR    Custodial Receipts
GO    General Obligation
ICE    Intercontinental Exchange
LIBOR    London Interbank Offered Rate
LIQ    Liquidity Agreement
NATL    Insured by National Public Finance Guarantee Corp.
PSF-GTD    Permanent School Fund Guaranteed
Q-SBLF    Qualified School Bond Loan Fund
RE    Reinsured
Rev.    Revenue
USD    United States Dollar
VRDO    Variable Rate Demand Obligation
(a)    The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(b)    Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of January 31, 2022.
(c)    Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(d)    Security is prerefunded or escrowed to maturity.
(e)    All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(f)    Amount rounds to less than 0.1% of net assets.
(g)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of January 31, 2022.
(h)    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.
(i)    The rate shown is the current yield as of January 31, 2022.

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

 

Centrally Cleared Inflation-linked swap contracts outstanding as of January 31, 2022 (amounts in thousands):

Floating Rate Index(a)

   

Fixed Rate

    Pay/
Receive
Floating
Rate		      Maturity
Date		     

Notional Amount

    Value and
Unrealized
Appreciation
(Depreciation)
($)		  

CPI-U at termination

    2.48% at termination      Receive        9/3/2031      USD 423      20  

CPI-U at termination

    2.53% at termination      Receive        9/2/2031      USD 4,680      196  

CPI-U at termination

    2.59% at termination      Receive        8/13/2031      USD 4,237      175  

CPI-U at termination

    2.59% at termination      Receive        10/1/2031      USD 30,366      966  

CPI-U at termination

    2.65% at termination      Receive        1/26/2032      USD 14,349      134  

CPI-U at termination

    2.75% at termination      Receive        9/13/2026      USD 52,860      1,504  

CPI-U at termination

    2.74% at termination      Receive        10/1/2026      USD 26,360      706  

CPI-U at termination

    2.76% at termination      Receive        12/6/2028      USD 15,540      276  

CPI-U at termination

    2.77% at termination      Receive        12/3/2028      USD 21,477      382  

CPI-U at termination

    2.87% at termination      Receive        11/15/2031      USD 5,005      1  

CPI-U at termination

    2.94% at termination      Receive        1/13/2027      USD 30,770      114  

CPI-U at termination

    2.94% at termination      Receive        12/8/2026      USD 17,731      220  

CPI-U at termination

    2.95% at termination      Receive        1/28/2027      USD 14,096      1  

CPI-U at termination

    2.96% at termination      Receive        12/20/2026      USD 22,132      179  

CPI-U at termination

    2.97% at termination      Receive        10/22/2026      USD 79,308      1,140  

CPI-U at termination

    3.13% at termination      Receive        12/1/2026      USD 5,328      24  

CPI-U at termination

    3.16% at termination      Receive        11/29/2026      USD 15,165      52  

CPI-U at termination

    3.20% at termination      Receive        11/29/2026      USD 17,340      20  
              

 

 

  
                 6,110  
              

 

 

  

CPI-U at termination

    2.91% at termination      Receive        11/15/2031      USD 15,822      (64 ) 

CPI-U at termination

    2.92% at termination      Receive        11/15/2031      USD 5,028      (27 ) 

CPI-U at termination

    3.36% at termination      Receive        11/18/2026      USD 11,656      (82 ) 

CPI-U at termination

    3.37% at termination      Receive        11/18/2026      USD 58,807      (448 ) 

CPI-U at termination

    3.38% at termination      Receive        11/18/2026      USD 2,797      (22 ) 
              

 

 

  
                 (643 ) 
              

 

 

  
                 5,467  
              

 

 

  

 

Abbreviations

CPI-U    Consumer Price Index for All Urban Consumers
USD    United States Dollar

(a) Value of floating rate index at January 31, 2022 was as follows:

 

Floating Rate Index

    Value  

CPI-U

      2.81%  

There are no upfront payments (receipts) on the swap contracts listed above.

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (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.

Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.

Swaps are valued utilizing market quotations from approved Pricing Services.

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.

  ·  

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

           

Municipal Bonds

      $                             –        $     527,749       $ –            $ 527,749       

Short-Term Investments

           

Investment Companies

      70,641        –         –              70,641       
  

 

 

  

Total Investments in Securities

      $ 70,641        $ 527,749       $ –            $ 598,390       
  

 

 

  

Appreciation in Other Financial Instruments

 

        

Swaps

      $ –          $ 6,110       $ –            $ 6,110       

Depreciation in Other Financial Instruments

 

        

Swaps

      –          (643 )      –              (643)      
  

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

      $ –          $ 5,467       $
 		 –
      
 		    $ 5,467       
  

 

 

  

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 purchases at cost amount in the table below.

 

For the period ended January 31, 2022

  

Security Description

    Value at
October 31,
2021		      Purchases
at Cost		      Proceeds from
Sales		      Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
January 31,
2022		      Shares at
January 31,
2022		      Dividend
Income		      Capital
Gain
Distributions		  

JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.02%(a)(b)

    $ 56,696      $ 74,351      $ 60,392      $ (6 )    $ (8 )    $ 70,641        70,620      $ 6      $ 1  
  

 

 

        

 

 

  

 

(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 January 31, 2022.

C. Derivatives — The Fund used derivative instruments including 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.

 

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2022 (Unaudited) (continued)

(Dollar values in thousands)

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.

Notes (1) below describe the various derivatives used by the Fund.

(1). Swaps — The Fund engaged in various swap transactions to manage inflation 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.

Inflation-Linked Swaps

The Fund used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.