NPORT-EX 2 JPM_CORPBD.htm PART F EDGAR HTML
JPMorgan Corporate Bond Fund
Schedule of Portfolio Investments as of November 30, 2022
(Unaudited) 
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
J.P. Morgan Distribution Services, Inc., member FINRA.
© J.P. Morgan Chase & Co., 2022.
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
 
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — 93.8%
Aerospace & Defense — 3.0%
BAE Systems plc (United Kingdom) 3.40%, 4/15/2030  (a)
  685
    610
Boeing Co. (The)
 
 
2.20%, 2/4/2026
  934
    849
3.25%, 2/1/2035
  515
    390
3.83%, 3/1/2059
  190
    124
3.95%, 8/1/2059
  534
    368
L3Harris Technologies, Inc. 4.40%, 6/15/2028
  620
    599
Leidos, Inc. 2.30%, 2/15/2031
  292
    226
Lockheed Martin Corp.
 
 
5.25%, 1/15/2033
  566
    589
4.50%, 5/15/2036
  345
    332
5.70%, 11/15/2054
115
125
Raytheon Technologies Corp.
 
 
4.13%, 11/16/2028
660
640
1.90%, 9/1/2031
388
309
2.38%, 3/15/2032
652
535
3.75%, 11/1/2046
248
197
 
 
5,893
Air Freight & Logistics — 0.1%
FedEx Corp. 3.25%, 5/15/2041
258
187
Automobiles — 0.1%
General Motors Co. 5.15%, 4/1/2038
181
160
Banks — 20.6%
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%,
3/13/2037  (a) (b)
200
145
Banco Santander SA (Spain)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (b)
800
774
5.15%, 8/18/2025
800
795
5.29%, 8/18/2027
1,000
970
Bank of America Corp.
 
 
(SOFR + 1.75%), 4.83%, 7/22/2026 (b)
410
405
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (b)
519
488
(SOFR + 2.04%), 4.95%, 7/22/2028 (b)
230
225
(ICE LIBOR USD 3 Month + 1.21%), 3.97%, 2/7/2030 (b)
462
425
(ICE LIBOR USD 3 Month + 1.19%), 2.88%, 10/22/2030 (b)
664
567
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b)
170
138
(SOFR + 1.32%), 2.69%, 4/22/2032 (b)
1,012
820
(SOFR + 1.22%), 2.30%, 7/21/2032 (b)
1,324
1,037
(SOFR + 1.21%), 2.57%, 10/20/2032 (b)
648
516
(SOFR + 1.33%), 2.97%, 2/4/2033 (b)
540
441
(SOFR + 1.83%), 4.57%, 4/27/2033 (b)
250
233
(ICE LIBOR USD 3 Month + 1.81%), 4.24%, 4/24/2038 (b)
16
14
(SOFR + 1.93%), 2.68%, 6/19/2041 (b)
811
566
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%,
9/16/2026  (a) (b)
335
328
Bank of Montreal (Canada) Series H, 4.70%, 9/14/2027
645
638
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Banks — continued
Bank of Nova Scotia (The) (Canada)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (b)
  295
    254
Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 3.62%, 10/27/2081 (b)
  208
    150
Barclays plc (United Kingdom)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (b)
1,805
  1,775
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.30%), 7.39%, 11/2/2028 (b)
  340
    352
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 7.44%, 11/2/2033 (b)
  250
    265
BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 1.11%), 2.82%, 11/19/2025  (a) (b)
  600
    565
Citigroup, Inc.
 
 
(SOFR + 1.55%), 5.61%, 9/29/2026 (b)
  569
    571
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (b)
2,536
  2,392
(SOFR + 1.89%), 4.66%, 5/24/2028 (b)
296
288
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (b)
277
257
(SOFR + 1.42%), 2.98%, 11/5/2030 (b)
687
586
(SOFR + 2.11%), 2.57%, 6/3/2031 (b)
476
390
(SOFR + 1.18%), 2.52%, 11/3/2032 (b)
2
2
(SOFR + 2.09%), 4.91%, 5/24/2033 (b)
250
238
Commonwealth Bank of Australia (Australia)
 
 
2.69%, 3/11/2031 (a)
265
202
3.78%, 3/14/2032 (a)
395
324
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026
378
355
Credit Agricole SA (France) (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025  (a) (b) (c) (d)
202
205
Danske Bank A/S (Denmark)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 1.62%, 9/11/2026 (a) (b)
613
532
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.30%, 4/1/2028 (a) (b)
660
604
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026  (a) (b)
760
760
HSBC Holdings plc (United Kingdom)
 
 
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (b)
944
899
(SOFR + 3.03%), 7.34%, 11/3/2026 (b)
760
794
(SOFR + 1.10%), 2.25%, 11/22/2027 (b)
630
543
(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (b)
844
774
(SOFR + 2.11%), 4.75%, 6/9/2028 (b)
610
578
(SOFR + 2.61%), 5.21%, 8/11/2028 (b)
1,030
994
(SOFR + 3.35%), 7.39%, 11/3/2028 (b)
455
477
(SOFR + 1.29%), 2.21%, 8/17/2029 (b)
690
558
ING Groep NV (Netherlands) (SOFR + 1.64%), 3.87%, 3/28/2026  (b)
1,000
961
Intesa Sanpaolo SpA (Italy) 7.00%, 11/21/2025  (a)
258
262
KeyBank NA (SOFR + 0.34%), 0.42%, 1/3/2024  (b)
650
647
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%,
3/18/2026  (b)
715
675
Mitsubishi UFJ Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%,
7/20/2027  (b)
1,000
870
National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%,
8/2/2034  (a) (b)
385
323
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%,
11/10/2026  (b)
880
917
Nordea Bank Abp (Finland) (USD Swap Semi 5 Year + 1.69%), 4.62%, 9/13/2033  (a) (b)
1,368
1,266
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.75%), 6.83%, 11/21/2026  (b)
770
778
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Banks — continued
Societe Generale SA (France)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b)
  915
    791
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (b)
1,132
    982
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (b)
  350
    269
Standard Chartered plc (United Kingdom)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (a) (b)
  270
    279
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (b)
  635
    587
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (b)
  800
    844
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027  (a) (b)
  368
    312
Wells Fargo & Co.
 
 
(SOFR + 1.51%), 3.53%, 3/24/2028 (b)
  375
    348
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b)
529
491
(SOFR + 1.98%), 4.81%, 7/25/2028 (b)
1,200
1,172
(SOFR + 1.50%), 3.35%, 3/2/2033 (b)
775
663
(SOFR + 2.10%), 4.90%, 7/25/2033 (b)
550
530
Westpac Banking Corp. (Australia)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.75%), 2.67%, 11/15/2035 (b)
307
226
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.53%), 3.02%, 11/18/2036 (b)
336
248
 
 
40,650
Beverages — 1.6%
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036
566
543
Anheuser-Busch InBev Finance, Inc. (Belgium)
 
 
4.70%, 2/1/2036
543
521
4.00%, 1/17/2043
243
209
Anheuser-Busch InBev Worldwide, Inc. (Belgium)
 
 
4.38%, 4/15/2038
375
343
4.35%, 6/1/2040
348
314
4.60%, 4/15/2048
21
19
4.50%, 6/1/2050
174
157
Coca-Cola Co. (The) 2.50%, 6/1/2040
193
143
Diageo Capital plc (United Kingdom) 5.50%, 1/24/2033
200
211
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050
488
347
Pernod Ricard International Finance LLC 1.63%, 4/1/2031  (a)
547
422
 
 
3,229
Biotechnology — 1.7%
AbbVie, Inc.
 
 
4.50%, 5/14/2035
275
260
4.05%, 11/21/2039
526
460
4.40%, 11/6/2042
386
345
4.25%, 11/21/2049
512
440
Amgen, Inc.
 
 
2.45%, 2/21/2030
240
205
3.15%, 2/21/2040
394
303
2.80%, 8/15/2041
192
138
3.00%, 1/15/2052
206
137
4.20%, 2/22/2052
180
147
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Biotechnology — continued
Biogen, Inc. 2.25%, 5/1/2030
  113
     93
Gilead Sciences, Inc. 2.60%, 10/1/2040
  353
    252
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030
  662
    520
 
 
3,300
Capital Markets — 8.3%
Credit Suisse Group AG (Switzerland)
 
 
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b)
  716
    634
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (b)
  645
    655
Deutsche Bank AG (Germany) (SOFR + 1.87%), 2.13%, 11/24/2026  (b)
  450
    394
Goldman Sachs Group, Inc. (The)
 
 
5.70%, 11/1/2024
  879
    889
(SOFR + 0.80%), 1.43%, 3/9/2027 (b)
243
214
(SOFR + 1.51%), 4.39%, 6/15/2027 (b)
1,050
1,013
(SOFR + 0.91%), 1.95%, 10/21/2027 (b)
340
298
(SOFR + 1.11%), 2.64%, 2/24/2028 (b)
884
789
(SOFR + 1.85%), 3.62%, 3/15/2028 (b)
1,131
1,052
(SOFR + 1.73%), 4.48%, 8/23/2028 (b)
735
706
(SOFR + 1.28%), 2.62%, 4/22/2032 (b)
53
43
(SOFR + 1.25%), 2.38%, 7/21/2032 (b)
392
310
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (b)
543
458
Intercontinental Exchange, Inc. 4.95%, 6/15/2052
170
163
Macquarie Group Ltd. (Australia)
 
 
(SOFR + 1.00%), 1.94%, 4/14/2028 (a) (b)
432
363
(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (a) (b)
35
31
Mellon Capital IV Series 1, (ICE LIBOR USD 3 Month + 0.57%), 4.09%, 12/31/2164  (b) (c) (d)
228
179
Moody's Corp. 2.55%, 8/18/2060
262
150
Morgan Stanley
 
 
(SOFR + 0.88%), 1.59%, 5/4/2027 (b)
1,385
1,220
(SOFR + 0.86%), 1.51%, 7/20/2027 (b)
668
581
(SOFR + 1.61%), 4.21%, 4/20/2028 (b)
988
941
(SOFR + 2.24%), 6.30%, 10/18/2028 (b)
505
523
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (b)
675
638
(SOFR + 1.02%), 1.93%, 4/28/2032 (b)
90
69
(SOFR + 1.18%), 2.24%, 7/21/2032 (b)
202
158
(SOFR + 1.20%), 2.51%, 10/20/2032 (b)
673
535
(SOFR + 1.36%), 2.48%, 9/16/2036 (b)
480
357
(SOFR + 1.43%), 2.80%, 1/25/2052 (b)
248
160
S&P Global, Inc.
 
 
2.90%, 3/1/2032 (a)
418
360
2.30%, 8/15/2060
124
71
State Street Corp. (SOFR + 1.72%), 5.82%, 11/4/2028  (b)
320
331
UBS Group AG (Switzerland)
 
 
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 4.49%, 8/5/2025 (a) (b)
1,445
1,415
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (b)
455
387
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (a) (b)
399
311
 
 
16,398
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Chemicals — 0.5%
Albemarle Corp. 5.05%, 6/1/2032
  100
     96
Celanese US Holdings LLC 6.05%, 3/15/2025
  230
    229
CF Industries, Inc. 5.15%, 3/15/2034
  402
    384
Nutrien Ltd. (Canada)
 
 
5.90%, 11/7/2024
   88
     89
5.95%, 11/7/2025
  151
    154
 
 
952
Commercial Services & Supplies — 0.0% ^
RELX Finance BV (United Kingdom) 0.88%, 3/10/2032  (e)
  100
     83
Consumer Finance — 1.4%
AerCap Ireland Capital DAC (Ireland)
 
 
1.75%, 1/30/2026
380
335
2.45%, 10/29/2026
219
192
3.88%, 1/23/2028
150
135
Avolon Holdings Funding Ltd. (Ireland)
 
 
5.25%, 5/15/2024 (a)
213
208
2.88%, 2/15/2025 (a)
343
315
2.13%, 2/21/2026 (a)
190
163
Capital One Financial Corp. (SOFR + 1.79%), 3.27%, 3/1/2030  (b)
948
812
General Motors Financial Co., Inc.
 
 
3.85%, 1/5/2028
22
20
2.40%, 10/15/2028
600
500
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024  (a)
21
21
 
 
2,701
Diversified Consumer Services — 0.2%
Pepperdine University Series 2020, 3.30%, 12/1/2059
50
32
Trustees of Boston University Series Ee, 3.17%, 10/1/2050
317
223
University of Chicago (The) Series 20B, 2.76%, 4/1/2045
127
97
University of Miami Series 2022, 4.06%, 4/1/2052
140
116
 
 
468
Diversified Financial Services — 1.3%
Corebridge Financial, Inc. 3.65%, 4/5/2027  (a)
390
365
EDP Finance BV (Portugal)
 
 
6.30%, 10/11/2027 (a)
300
305
1.71%, 1/24/2028 (a)
570
471
National Rural Utilities Cooperative Finance Corp.
 
 
1.35%, 3/15/2031
800
599
5.80%, 1/15/2033
145
153
NTT Finance Corp. (Japan) 4.37%, 7/27/2027  (a)
205
202
Pine Street Trust I 4.57%, 2/15/2029  (a)
330
307
Shell International Finance BV (Netherlands) 3.63%, 8/21/2042
200
164
 
 
2,566
Diversified Telecommunication Services — 3.1%
AT&T, Inc.
 
 
2.55%, 12/1/2033
770
605
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Diversified Telecommunication Services — continued
3.50%, 6/1/2041
  826
    631
3.55%, 9/15/2055
  791
    555
CCO Holdings LLC 4.50%, 8/15/2030  (a)
  240
    202
Sprint Capital Corp. 6.88%, 11/15/2028
  700
    742
Telefonica Emisiones SA (Spain) 4.67%, 3/6/2038
  613
    499
Verizon Communications, Inc.
 
 
1.75%, 1/20/2031
1,169
    916
2.55%, 3/21/2031
  688
    573
2.36%, 3/15/2032
  363
    291
4.27%, 1/15/2036
1,244
  1,110
 
 
6,124
Electric Utilities — 9.3%
AEP Texas, Inc. 4.70%, 5/15/2032
70
67
AEP Transmission Co. LLC
 
 
Series N, 2.75%, 8/15/2051
185
118
Series O, 4.50%, 6/15/2052
100
89
Alfa Desarrollo SpA (Chile) 4.55%, 9/27/2051  (a)
199
145
Alliant Energy Finance LLC 4.25%, 6/15/2028  (a)
181
170
American Electric Power Co., Inc.
 
 
5.75%, 11/1/2027
150
154
5.95%, 11/1/2032
210
222
American Transmission Systems, Inc. 2.65%, 1/15/2032  (a)
480
392
Appalachian Power Co.
 
 
Series AA, 2.70%, 4/1/2031
298
246
6.38%, 4/1/2036
22
23
Baltimore Gas and Electric Co.
 
 
3.20%, 9/15/2049
187
133
2.90%, 6/15/2050
294
198
4.55%, 6/1/2052
100
90
Commonwealth Edison Co. 3.70%, 3/1/2045
202
159
Duke Energy Carolinas LLC
 
 
4.25%, 12/15/2041
335
292
4.00%, 9/30/2042
488
410
Duke Energy Indiana LLC
 
 
3.75%, 5/15/2046
220
173
2.75%, 4/1/2050
190
122
Duke Energy Progress LLC
 
 
3.40%, 4/1/2032
180
160
2.90%, 8/15/2051
180
120
Duquesne Light Holdings, Inc. 3.62%, 8/1/2027  (a)
179
161
Edison International 4.95%, 4/15/2025
437
431
Emera US Finance LP (Canada)
 
 
3.55%, 6/15/2026
325
305
2.64%, 6/15/2031
254
200
4.75%, 6/15/2046
266
211
Emera, Inc. (Canada) Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076  (b)
348
329
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Electric Utilities — continued
Enel Finance International NV (Italy)
 
 
2.25%, 7/12/2031 (a)
  420
    313
5.00%, 6/15/2032 (a)
  570
    518
Entergy Arkansas LLC 4.95%, 12/15/2044
  153
    136
Entergy Louisiana LLC
 
 
2.35%, 6/15/2032
  414
    332
4.95%, 1/15/2045
  441
    400
Entergy Mississippi LLC 3.50%, 6/1/2051
   89
     65
Entergy Texas, Inc.
 
 
4.00%, 3/30/2029
   25
     24
1.75%, 3/15/2031
  155
    121
5.00%, 9/15/2052
270
249
Evergy, Inc. 2.90%, 9/15/2029
91
79
Fells Point Funding Trust 3.05%, 1/31/2027  (a)
1,438
1,309
FirstEnergy Transmission LLC 4.55%, 4/1/2049  (a)
210
171
Florida Power & Light Co. 4.05%, 6/1/2042
44
38
Indianapolis Power & Light Co. 5.65%, 12/1/2032  (a)
380
394
ITC Holdings Corp.
 
 
4.95%, 9/22/2027 (a)
370
368
2.95%, 5/14/2030 (a)
1,006
855
Jersey Central Power & Light Co.
 
 
4.30%, 1/15/2026 (a)
260
251
2.75%, 3/1/2032 (a)
329
268
Louisville Gas and Electric Co. 4.65%, 11/15/2043
65
56
Massachusetts Electric Co. 1.73%, 11/24/2030  (a)
510
385
Metropolitan Edison Co. 4.00%, 4/15/2025  (a)
46
44
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028  (a)
70
66
Monongahela Power Co. 3.55%, 5/15/2027  (a)
495
466
Nevada Power Co. Series CC, 3.70%, 5/1/2029
600
564
NextEra Energy Capital Holdings, Inc. 5.00%, 7/15/2032
115
115
Niagara Mohawk Power Corp. 4.28%, 12/15/2028  (a)
270
252
Ohio Power Co. Series R, 2.90%, 10/1/2051
328
218
Pacific Gas and Electric Co.
 
 
3.50%, 6/15/2025
166
157
4.50%, 7/1/2040
252
201
4.25%, 3/15/2046
238
169
3.95%, 12/1/2047
508
354
PacifiCorp
 
 
2.70%, 9/15/2030
152
130
3.30%, 3/15/2051
197
142
2.90%, 6/15/2052
386
260
PECO Energy Co. 2.80%, 6/15/2050
296
197
Public Service Co. of Colorado
 
 
Series 36, 2.70%, 1/15/2051
185
121
Series 39, 4.50%, 6/1/2052
165
148
Public Service Electric and Gas Co. 2.05%, 8/1/2050
190
107
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Electric Utilities — continued
Southern California Edison Co.
 
 
5.85%, 11/1/2027
  270
    279
Series B, 3.65%, 3/1/2028
   54
     50
5.95%, 11/1/2032
  365
    387
Series 13-A, 3.90%, 3/15/2043
    5
      4
Series C, 3.60%, 2/1/2045
   86
     63
Southwestern Electric Power Co. Series J, 3.90%, 4/1/2045
   89
     68
Tucson Electric Power Co. 1.50%, 8/1/2030
  222
    171
Union Electric Co.
 
 
2.95%, 3/15/2030
  600
    529
3.90%, 4/1/2052
  100
     82
Virginia Electric and Power Co. 2.45%, 12/15/2050
698
423
Vistra Operations Co. LLC
 
 
4.88%, 5/13/2024 (a)
376
367
3.55%, 7/15/2024 (a)
372
357
3.70%, 1/30/2027 (a)
40
37
4.30%, 7/15/2029 (a)
427
386
 
 
18,366
Electrical Equipment — 0.0% ^
Rockwell Automation, Inc. 2.80%, 8/15/2061
160
97
Energy Equipment & Services — 0.1%
Schlumberger Holdings Corp. 3.90%, 5/17/2028  (a)
223
210
Entertainment — 2.3%
Activision Blizzard, Inc. 2.50%, 9/15/2050
360
228
Electronic Arts, Inc.
 
 
1.85%, 2/15/2031
262
210
2.95%, 2/15/2051
292
199
Netflix, Inc.
 
 
4.88%, 4/15/2028
199
193
3.88%, 11/15/2029 (e)
500
497
Take-Two Interactive Software, Inc.
 
 
3.70%, 4/14/2027
190
180
4.00%, 4/14/2032
120
107
Walt Disney Co. (The)
 
 
2.65%, 1/13/2031
700
602
3.50%, 5/13/2040
203
167
3.60%, 1/13/2051
100
79
Warnermedia Holdings, Inc.
 
 
3.76%, 3/15/2027 (a)
515
469
4.05%, 3/15/2029 (a)
292
256
4.28%, 3/15/2032 (a)
703
597
5.05%, 3/15/2042 (a)
426
341
WMG Acquisition Corp. 3.88%, 7/15/2030  (a)
500
433
 
 
4,558
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Equity Real Estate Investment Trusts (REITs) — 1.9%
American Tower Corp. 2.75%, 1/15/2027
  534
    483
Corporate Office Properties LP
 
 
2.00%, 1/15/2029
  100
     77
2.75%, 4/15/2031
  124
     94
Crown Castle, Inc. 3.10%, 11/15/2029
  269
    236
Essex Portfolio LP 2.65%, 9/1/2050
  396
    230
Life Storage LP 4.00%, 6/15/2029
  368
    330
National Retail Properties, Inc. 3.00%, 4/15/2052
  156
     95
Office Properties Income Trust 2.65%, 6/15/2026
  423
    316
Regency Centers LP
 
 
2.95%, 9/15/2029
  394
    331
3.70%, 6/15/2030
116
101
UDR, Inc. 3.00%, 8/15/2031
13
11
WEA Finance LLC (France) 2.88%, 1/15/2027  (a)
550
471
Welltower, Inc.
 
 
2.75%, 1/15/2032
320
254
3.85%, 6/15/2032
184
160
WP Carey, Inc.
 
 
2.40%, 2/1/2031
583
464
2.45%, 2/1/2032
110
85
 
 
3,738
Food & Staples Retailing — 0.1%
7-Eleven, Inc. 2.80%, 2/10/2051  (a)
452
282
Food Products — 0.5%
JBS USA LUX SA 5.75%, 4/1/2033  (a)
630
610
Smithfield Foods, Inc. 3.00%, 10/15/2030  (a)
403
311
 
 
921
Gas Utilities — 0.1%
Atmos Energy Corp. 5.45%, 10/15/2032
70
73
Southern California Gas Co.
 
 
4.45%, 3/15/2044
25
21
6.35%, 11/15/2052
140
158
 
 
252
Health Care Equipment & Supplies — 0.2%
Alcon Finance Corp. (Switzerland) 5.75%, 12/6/2052  (a)
265
268
Zimmer Biomet Holdings, Inc. 4.45%, 8/15/2045
152
122
 
 
390
Health Care Providers & Services — 4.0%
Aetna, Inc.
 
 
4.13%, 11/15/2042
178
146
4.75%, 3/15/2044
193
171
3.88%, 8/15/2047
372
289
Cigna Corp.
 
 
3.20%, 3/15/2040
245
188
3.40%, 3/15/2050
262
189
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Health Care Providers & Services — continued
Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049
   19
     14
CVS Health Corp.
 
 
1.75%, 8/21/2030
  681
    542
4.78%, 3/25/2038
  384
    355
2.70%, 8/21/2040
  449
    316
Elevance Health, Inc.
 
 
4.63%, 5/15/2042
  237
    216
4.65%, 1/15/2043
  269
    248
6.10%, 10/15/2052
   60
     65
HCA, Inc.
 
 
5.88%, 2/15/2026
  674
    680
5.38%, 9/1/2026
775
772
4.50%, 2/15/2027
687
660
5.63%, 9/1/2028
583
582
5.88%, 2/1/2029
162
163
4.13%, 6/15/2029
392
358
3.50%, 9/1/2030
369
317
Memorial Health Services 3.45%, 11/1/2049
44
33
New York and Presbyterian Hospital (The) 2.26%, 8/1/2040
482
321
Texas Health Resources Series 2019, 3.37%, 11/15/2051
35
25
UnitedHealth Group, Inc.
 
 
3.50%, 8/15/2039
434
359
2.75%, 5/15/2040
287
213
3.05%, 5/15/2041
152
116
2.90%, 5/15/2050
170
118
3.25%, 5/15/2051
103
76
4.75%, 5/15/2052
172
163
5.88%, 2/15/2053
250
277
 
 
7,972
Hotels, Restaurants & Leisure — 0.5%
Marriott International, Inc. Series FF, 4.63%, 6/15/2030
360
338
McDonald's Corp. 1.88%, 5/26/2027  (e)
600
591
 
 
929
Household Durables — 0.2%
MDC Holdings, Inc. 2.50%, 1/15/2031
521
370
Independent Power and Renewable Electricity Producers — 1.2%
AES Corp. (The)
 
 
3.30%, 7/15/2025 (a)
634
594
3.95%, 7/15/2030 (a)
223
195
Alexander Funding Trust 1.84%, 11/15/2023  (a)
1,045
985
Constellation Energy Generation LLC 5.60%, 6/15/2042
344
336
Southern Power Co.
 
 
5.15%, 9/15/2041
29
26
Series F, 4.95%, 12/15/2046
350
303
 
 
2,439
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Industrial Conglomerates — 0.7%
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035
  918
    867
Honeywell International, Inc. 5.00%, 2/15/2033
  455
    468
 
 
1,335
Insurance — 1.1%
Berkshire Hathaway Finance Corp.
 
 
2.88%, 3/15/2032
  513
    452
4.20%, 8/15/2048
  114
    103
2.85%, 10/15/2050
  406
    278
3.85%, 3/15/2052
  288
    235
Guardian Life Insurance Co. of America (The) 4.88%, 6/19/2064  (a)
  140
    120
MetLife, Inc. 4.13%, 8/13/2042
   54
     46
Nationwide Mutual Insurance Co. 4.35%, 4/30/2050  (a)
290
222
New York Life Global Funding 1.20%, 8/7/2030  (a)
320
247
New York Life Insurance Co. 4.45%, 5/15/2069  (a)
180
148
Northwestern Mutual Life Insurance Co. (The) 3.85%, 9/30/2047  (a)
80
62
Teachers Insurance & Annuity Association of America (ICE LIBOR USD 3 Month + 2.66%), 4.38%, 9/15/2054  (a) (b)
224
214
 
 
2,127
Interactive Media & Services — 0.1%
Meta Platforms, Inc. 3.85%, 8/15/2032  (a)
330
295
Internet & Direct Marketing Retail — 0.6%
Amazon.com, Inc.
 
 
3.88%, 8/22/2037
449
404
2.50%, 6/03/2050
401
262
3.10%, 5/12/2051
150
109
3.95%, 4/13/2052
175
150
2.70%, 6/3/2060
262
166
 
 
1,091
IT Services — 0.1%
Global Payments, Inc. 3.20%, 8/15/2029
338
289
Life Sciences Tools & Services — 0.1%
Danaher Corp. 2.80%, 12/10/2051
176
121
Media — 3.1%
Charter Communications Operating LLC
 
 
2.25%, 1/15/2029
1,055
863
6.38%, 10/23/2035
601
591
3.50%, 6/1/2041
322
218
3.50%, 3/1/2042
160
108
3.70%, 4/1/2051
159
101
3.90%, 6/1/2052
235
156
Comcast Corp.
 
 
2.65%, 2/1/2030
300
262
5.50%, 11/15/2032
385
404
3.20%, 7/15/2036
790
649
3.75%, 4/1/2040
6
5
2.80%, 1/15/2051
280
183
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Media — continued
2.45%, 8/15/2052
  934
    566
2.94%, 11/1/2056
  592
    384
Cox Communications, Inc. 4.80%, 2/1/2035  (a)
  184
    166
Discovery Communications LLC
 
 
3.95%, 3/20/2028
  921
    827
4.00%, 9/15/2055
  176
    113
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062  (b)
  135
    112
Time Warner Cable LLC
 
 
5.88%, 11/15/2040
  290
    257
4.50%, 9/15/2042
   89
     67
 
 
6,032
Metals & Mining — 1.4%
BHP Billiton Finance Ltd. (Australia) Series 10, 3.25%, 9/24/2027  (e)
650
683
Freeport-McMoRan, Inc.
 
 
4.13%, 3/1/2028
175
160
5.25%, 9/1/2029
808
772
4.25%, 3/1/2030
259
231
Glencore Funding LLC (Australia)
 
 
2.50%, 9/1/2030 (a)
172
139
2.85%, 4/27/2031 (a)
442
364
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030
529
461
 
 
2,810
Multiline Retail — 0.2%
Target Corp. 4.50%, 9/15/2032
335
328
Multi-Utilities — 2.0%
Ameren Corp.
 
 
1.75%, 3/15/2028
297
250
3.50%, 1/15/2031
172
153
Ameren Illinois Co. 5.90%, 12/1/2052
30
33
NiSource, Inc.
 
 
2.95%, 9/1/2029
446
391
1.70%, 2/15/2031
343
264
Public Service Enterprise Group, Inc. 5.85%, 11/15/2027
950
979
Puget Energy, Inc. 2.38%, 6/15/2028
320
274
San Diego Gas & Electric Co. Series XXX, 3.00%, 3/15/2032
468
404
Southern Co. Gas Capital Corp.
 
 
Series 20-A, 1.75%, 1/15/2031
354
271
5.15%, 9/15/2032
795
786
Series 21A, 3.15%, 9/30/2051
140
92
WEC Energy Group, Inc. 5.15%, 10/1/2027
37
37
 
 
3,934
Oil, Gas & Consumable Fuels — 6.5%
Aker BP ASA (Norway) 3.10%, 7/15/2031  (a)
769
634
BP Capital Markets America, Inc.
 
 
2.72%, 1/12/2032
419
355
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — continued
3.06%, 6/17/2041
  165
    126
2.77%, 11/10/2050
  136
     90
2.94%, 6/4/2051
  241
    165
Buckeye Partners LP 5.60%, 10/15/2044
   25
     19
Cheniere Energy Partners LP 3.25%, 1/31/2032
  647
    527
Chevron USA, Inc. 2.34%, 8/12/2050
  237
    154
Columbia Pipeline Group, Inc. 5.80%, 6/1/2045
  180
    178
ConocoPhillips Co. 4.03%, 3/15/2062
  181
    148
Continental Resources, Inc. 2.27%, 11/15/2026  (a)
  256
    221
Devon Energy Corp. 4.50%, 1/15/2030
  527
    494
Diamondback Energy, Inc. 3.50%, 12/1/2029
  243
    216
Energy Transfer LP
 
 
4.00%, 10/1/2027
262
246
5.80%, 6/15/2038
648
601
5.30%, 4/1/2044
95
81
Enterprise Products Operating LLC
 
 
3.20%, 2/15/2052
401
271
3.30%, 2/15/2053
264
181
EQT Corp. 3.90%, 10/1/2027
256
237
Exxon Mobil Corp.
 
 
3.00%, 8/16/2039
492
385
3.10%, 8/16/2049
185
136
Flex Intermediate Holdco LLC 3.36%, 6/30/2031  (a)
579
462
Gray Oak Pipeline LLC 2.00%, 9/15/2023  (a)
508
494
Kinder Morgan Energy Partners LP 4.70%, 11/1/2042
564
474
Kinder Morgan, Inc.
 
 
4.80%, 2/1/2033
670
630
3.25%, 8/1/2050
112
74
ONEOK, Inc. 6.10%, 11/15/2032
268
273
Petroleos Mexicanos (Mexico) 6.50%, 3/13/2027
385
347
Phillips 66 2.15%, 12/15/2030
218
177
Phillips 66 Co. 3.15%, 12/15/2029  (a)
750
664
Pioneer Natural Resources Co. 1.90%, 8/15/2030
296
237
Sabine Pass Liquefaction LLC
 
 
5.00%, 3/15/2027
273
269
4.20%, 3/15/2028
1,620
1,529
Santos Finance Ltd. (Australia) 3.65%, 4/29/2031  (a)
482
385
TotalEnergies Capital International SA (France)
 
 
2.99%, 6/29/2041
558
425
3.13%, 5/29/2050
105
76
TransCanada PipeLines Ltd. (Canada) 4.63%, 3/1/2034
686
633
Williams Cos., Inc. (The) 2.60%, 3/15/2031
260
214
 
 
12,828
Personal Products — 0.2%
GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2027
370
345
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Pharmaceuticals — 2.2%
Bristol-Myers Squibb Co.
 
 
2.35%, 11/13/2040
   55
     39
2.55%, 11/13/2050
  587
    386
3.70%, 3/15/2052
  516
    419
Merck & Co., Inc.
 
 
2.15%, 12/10/2031
  332
    276
2.75%, 12/10/2051
  357
    247
Pfizer, Inc. 2.70%, 5/28/2050
   88
     62
Roche Holdings, Inc.
 
 
2.08%, 12/13/2031 (a)
  873
    721
2.61%, 12/13/2051 (a)
  265
    177
Royalty Pharma plc 3.35%, 9/2/2051
324
209
Takeda Pharmaceutical Co. Ltd. (Japan)
 
 
5.00%, 11/26/2028
630
630
2.05%, 3/31/2030
655
539
Zoetis, Inc.
 
 
2.00%, 5/15/2030
401
330
5.60%, 11/16/2032
180
189
4.70%, 2/1/2043
176
163
 
 
4,387
Real Estate Management & Development — 0.0% ^
Country Garden Holdings Co. Ltd. (China) 4.80%, 8/6/2030  (e)
200
73
Road & Rail — 1.7%
Burlington Northern Santa Fe LLC
 
 
4.15%, 4/1/2045
312
273
3.90%, 8/1/2046
105
88
3.05%, 2/15/2051
167
119
Canadian Pacific Railway Co. (Canada)
 
 
2.05%, 3/05/2030
519
429
3.10%, 12/2/2051
190
133
CSX Corp. 2.50%, 5/15/2051
692
432
Kansas City Southern
 
 
2.88%, 11/15/2029
392
342
4.95%, 8/15/2045
130
119
3.50%, 5/1/2050
280
203
Norfolk Southern Corp.
 
 
3.95%, 10/1/2042
98
82
3.05%, 5/15/2050
329
226
4.55%, 6/1/2053
95
84
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024  (a)
155
143
Union Pacific Corp.
 
 
3.60%, 9/15/2037
529
457
4.38%, 9/10/2038
48
44
3.55%, 8/15/2039
222
187
 
 
3,361
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Semiconductors & Semiconductor Equipment — 3.2%
Advanced Micro Devices, Inc.
 
 
3.92%, 6/1/2032
  305
    288
4.39%, 6/1/2052
   65
     58
Broadcom Corp.
 
 
3.88%, 1/15/2027
  214
    203
3.50%, 1/15/2028
1,193
  1,091
Broadcom, Inc. 4.11%, 9/15/2028
  312
    292
Intel Corp. 3.05%, 8/12/2051
  440
    299
KLA Corp. 4.95%, 7/15/2052
  240
    231
NXP BV (China)
 
 
5.35%, 3/1/2026
  799
    794
4.40%, 6/1/2027
160
153
5.00%, 1/15/2033
497
472
3.25%, 5/11/2041
101
71
Qorvo, Inc. 4.38%, 10/15/2029
618
548
QUALCOMM, Inc. 6.00%, 5/20/2053
370
403
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031
250
206
TSMC Global Ltd. (Taiwan) 2.25%, 4/23/2031  (a)
940
764
Xilinx, Inc. 2.38%, 6/1/2030
454
386
 
 
6,259
Software — 2.1%
Microsoft Corp.
 
 
3.70%, 8/8/2046
130
115
2.92%, 3/17/2052
176
130
2.68%, 6/1/2060
174
118
Oracle Corp.
 
 
2.95%, 4/1/2030
219
188
3.80%, 11/15/2037
424
336
3.60%, 4/1/2040
942
707
3.60%, 4/1/2050
502
349
Roper Technologies, Inc. 2.95%, 9/15/2029
1,208
1,058
VMware, Inc. 4.70%, 5/15/2030
1,313
1,233
 
 
4,234
Specialty Retail — 0.7%
Home Depot, Inc. (The)
 
 
1.88%, 9/15/2031
274
222
3.30%, 4/15/2040
191
155
2.38%, 3/15/2051
269
168
2.75%, 9/15/2051
200
136
4.95%, 9/15/2052
308
305
Lowe's Cos., Inc.
 
 
2.80%, 9/15/2041
288
203
3.70%, 4/15/2046
250
191
3.00%, 10/15/2050
113
76
 
 
1,456
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Corporate Bonds — continued
Technology Hardware, Storage & Peripherals — 1.0%
Apple, Inc.
 
 
2.38%, 2/8/2041
  305
    224
3.45%, 2/9/2045
  141
    117
2.65%, 2/8/2051
  401
    274
2.70%, 8/5/2051
  268
    185
3.95%, 8/8/2052
  165
    144
2.80%, 2/8/2061
  221
    147
2.85%, 8/5/2061
  155
    105
Dell International LLC 5.30%, 10/1/2029
  721
    713
 
 
1,909
Thrifts & Mortgage Finance — 0.9%
BPCE SA (France)
 
 
4.00%, 9/12/2023 (a)
500
492
5.15%, 7/21/2024 (a)
555
544
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b)
818
720
 
 
1,756
Tobacco — 2.0%
Altria Group, Inc.
 
 
3.40%, 2/4/2041
485
330
3.88%, 9/16/2046
206
140
BAT Capital Corp. (United Kingdom) 3.56%, 8/15/2027
1,257
1,147
BAT International Finance plc (United Kingdom)
 
 
4.45%, 3/16/2028
472
440
2.25%, 9/9/2052 (e)
600
330
Imperial Brands Finance plc (United Kingdom) 6.13%, 7/27/2027  (a)
370
370
JT International Financial Services BV (Japan) 6.88%, 10/24/2032  (a)
315
335
Philip Morris International, Inc.
 
 
2.10%, 5/1/2030
388
314
5.75%, 11/17/2032
265
273
4.38%, 11/15/2041
262
214
3.88%, 8/21/2042
170
128
 
 
4,021
Trading Companies & Distributors — 0.3%
Air Lease Corp. 5.85%, 12/15/2027
471
468
Aviation Capital Group LLC 1.95%, 1/30/2026  (a)
238
207
 
 
675
Wireless Telecommunication Services — 1.3%
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032  (a)
567
502
T-Mobile USA, Inc.
 
 
2.63%, 2/15/2029
770
656
3.38%, 4/15/2029
505
446
3.88%, 4/15/2030
1,013
930
 
 
2,534
Total Corporate Bonds
(Cost $210,618)
 
185,435
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT
($000)
VALUE
($000)
Asset-Backed Securities — 0.8%
Air Canada Pass-Through Trust (Canada)
 
 
Series 2020-2, Class B, 9.00%, 10/1/2025 (a)
  161
    160
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)
   38
     33
American Airlines Pass-Through Trust
 
 
Series 2016-1, Class A, 4.10%, 1/15/2028
  157
    125
Series 2021-1, Class B, 3.95%, 7/11/2030
   80
     65
British Airways Pass-Through Trust (United Kingdom) Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)
   17
     15
Delta Air Lines Pass-Through Trust Series 2019-1, Class AA, 3.20%, 4/25/2024
   25
     24
JetBlue Pass-Through Trust Series 2019-1, Class B, 8.00%, 11/15/2027
  352
    343
United Airlines Pass-Through Trust
 
 
Series 2013-1, Class A, 4.30%, 8/15/2025
  196
    183
Series 2018-1, Class AA, 3.50%, 3/1/2030
  578
    495
Series 2019-1, Class AA, 4.15%, 8/25/2031
31
28
Series 2019-2, Class AA, 2.70%, 5/1/2032
17
14
Total Asset-Backed Securities
(Cost $1,717)
 
1,485
U.S. Treasury Obligations — 0.2%
U.S. Treasury Bonds
 
 
2.00%, 8/15/2051
80
54
1.88%, 11/15/2051
30
20
2.25%, 2/15/2052
60
43
2.88%, 5/15/2052
66
55
3.00%, 8/15/2052
285
244
Total U.S. Treasury Obligations
(Cost $458)
 
416
Municipal Bonds — 0.1% (f)
Colorado — 0.1%
Colorado Health Facilities Authority, Sanford Health Series 2019B, Rev., 3.80%, 11/1/2044(Cost $326)
320
253
 
SHARES
(000)
 
Short-Term Investments — 4.1%
Investment Companies — 3.6%
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (g) (h)
(Cost $7,054)
7,052
7,054
 
PRINCIPAL
AMOUNT
($000)
 
U.S. Treasury Obligations — 0.5%
U.S. Treasury Bills, 3.22%, 7/13/2023 (i) (j)(Cost $1,128)
1,150
1,119
Total Short-Term Investments
(Cost $8,182)
 
8,173
Total Investments — 99.0%
(Cost $221,301)
 
195,762
Other Assets Less Liabilities — 1.0%
 
1,982
NET ASSETS — 100.0%
 
197,744
 
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
Percentages indicated are based on net assets.
 
Abbreviations
 
ICE
Intercontinental Exchange
LIBOR
London Interbank Offered Rate
Rev.
Revenue
SOFR
Secured Overnight Financing Rate
SOFRINDX
Compounding index of the Secured Overnight Financing Rate
USD
United States Dollar
 
^
Amount rounds to less than 0.1% of net assets.
(a)
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
 
(b)
Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022.
 
(c)
Security is an interest bearing note with preferred security characteristics.
 
(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, 2022.
 
(e)
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.
 
(f)
The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
 
(g)
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.
 
(h)
The rate shown is the current yield as of November 30, 2022.
 
(i)
The rate shown is the effective yield as of November 30, 2022.
 
(j)
All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps.
 
Futures contracts outstanding as of November 30, 2022 (amounts in thousands, except number of contracts):
 
DESCRIPTION
NUMBER OF
CONTRACTS
EXPIRATION DATE
TRADING CURRENCY
NOTIONAL
AMOUNT ($)
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
Long Contracts
 
 
 
 
 
Euro-Bund
13
12/08/2022
EUR
1,917
58
U.S. Treasury 10 Year Ultra Note
4
03/22/2023
USD
481
3
U.S. Treasury Long Bond
113
03/22/2023
USD
14,425
140
U.S. Treasury Ultra Bond
59
03/22/2023
USD
8,096
153
U.S. Treasury 2 Year Note
74
03/31/2023
USD
15,211
49
 
 
 
 
 
403
Short Contracts
 
 
 
 
 
Euro-Bobl
(12)
12/08/2022
EUR
(1,504)
26
Euro-Buxl
(14)
12/08/2022
EUR
(2,317)
(150)
U.S. Treasury 10 Year Note
(74)
03/22/2023
USD
(8,421)
(49)
U.S. Treasury 10 Year Ultra Note
(128)
03/22/2023
USD
(15,386)
(155)
Long Gilt
(5)
03/29/2023
GBP
(633)
2
U.S. Treasury 2 Year Note
(7)
03/31/2023
USD
(1,439)
(5)
U.S. Treasury 5 Year Note
(37)
03/31/2023
USD
(4,025)
(27)
 
 
 
 
 
(358)
 
 
 
 
 
45
 
Abbreviations
 
EUR
Euro
GBP
British Pound
USD
United States Dollar
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of November 30, 2022 (amounts in thousands):
 
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
AUD
72
USD
49
Morgan Stanley
12/5/2022
—(a)
CAD
48
USD
35
BNP Paribas
12/5/2022
—(a)
CAD
76
USD
56
State Street Corp.
12/5/2022
—(a)
EUR
1,459
USD
1,448
BNP Paribas
12/5/2022
71
EUR
1,682
USD
1,742
HSBC Bank, NA
12/5/2022
8
GBP
296
USD
355
Merrill Lynch International
12/5/2022
1
GBP
12
USD
14
Royal Bank of Canada
12/5/2022
—(a)
USD
9
CAD
12
HSBC Bank, NA
12/5/2022
—(a)
USD
19
CAD
25
Morgan Stanley
12/5/2022
—(a)
USD
57
EUR
55
Morgan Stanley
1/4/2023
—(a)
USD
9
GBP
8
Royal Bank of Canada
1/4/2023
—(a)
Total unrealized appreciation
80
CAD
12
USD
9
BNP Paribas
12/5/2022
—(a)
CAD
44
USD
33
HSBC Bank, NA
12/5/2022
—(a)
CAD
25
USD
19
Morgan Stanley
12/5/2022
—(a)
USD
34
AUD
50
Goldman Sachs International
12/5/2022
—(a)
USD
15
AUD
22
Standard Chartered Bank
12/5/2022
—(a)
USD
35
CAD
48
BNP Paribas
12/5/2022
—(a)
USD
88
CAD
120
Merrill Lynch International
12/5/2022
(1)
USD
3,125
EUR
3,141
BNP Paribas
12/5/2022
(145)
USD
306
GBP
264
HSBC Bank, NA
12/5/2022
(13)
USD
52
GBP
44
Royal Bank of Canada
12/5/2022
(1)
USD
1,684
EUR
1,619
HSBC Bank, NA
1/4/2023
(5)
USD
356
GBP
296
Merrill Lynch International
1/4/2023
(1)
Total unrealized depreciation
(166)
Net unrealized depreciation
(86)
 
Abbreviations
 
AUD
Australian Dollar
CAD
Canadian Dollar
EUR
Euro
GBP
British Pound
USD
United States Dollar
 
(a)
Amount rounds to less than one thousand.
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of November 30, 2022 (amounts in thousands):
 
REFERENCE
OBLIGATION/INDEX
FINANCING
RATE PAID
BY THE FUND
(%)
PAYMENT
FREQUENCY
MATURITY
DATE
IMPLIED
CREDIT
SPREAD
(%)(a)
NOTIONAL
AMOUNT(b)
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
VALUE
($)
CDX.NA.IG.39-V1
1.00
Quarterly
12/20/2027
0.77
USD 13,250
(17)
(154)
(171)
 
(*)
The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from
the protection seller, in exchange for the right to receive 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.
(a)
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.
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(b)
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.
(c)
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
USD
United States Dollar
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 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.
Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of Investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations. 
This oversight by the AVC 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 ("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.
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
 
 
 
 
Asset-Backed Securities
$—
$1,485
$—
$1,485
Corporate Bonds
—
185,435
—
185,435
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
 
 
 
 
 
 
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Municipal Bonds
$—
$253
$—
$253
U.S. Treasury Obligations
—
416
—
416
Short-Term Investments
 
 
 
 
Investment Companies
7,054
—
—
7,054
U.S. Treasury Obligations
—
1,119
—
1,119
Total Short-Term Investments
7,054
1,119
—
8,173
Total Investments in Securities
$7,054
$188,708
$—
$195,762
Appreciation in Other Financial Instruments
 
 
 
 
Forward Foreign Currency Exchange Contracts
$—
$80
$—
$80
Futures Contracts
431
—
—
431
Depreciation in Other Financial Instruments
 
 
 
 
Forward Foreign Currency Exchange Contracts
—
(166)
—
(166)
Futures Contracts
(386)
—
—
(386)
Swaps
—
(154)
—
(154)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$45
$(240)
$—
$(195)
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 amounts in the table below. 
 
For the period ended November 30, 2022
Security Description
Value at
February 28,
2022
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
November 30,
2022
Shares at
November 30,
2022
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund
Class Institutional Shares, 3.94%  (a) (b)
$18,643
$173,936
$185,521
$(5)
$1
$7,054
7,052
$154
$—(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, 2022.
(c)
Amount rounds to less than one thousand.
C. Derivatives — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange 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
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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) — (3) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used currency, index, interest rate, treasury or other financial 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. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
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). Forward Foreign Currency Exchange Contracts— The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
The Fund's forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Swaps — The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and total return risks 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
JPMorgan Corporate Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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.
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.