JPMorgan Tax Aware Real Return Fund
Schedule of Portfolio Investments as of January 31, 2024
(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., 2024. |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — 92.5% (a) | ||
Alabama — 2.3% | ||
Alabama Public School and College Authority, Capital Improvement Series 2016A, Rev., 4.00%, 6/1/2031 | 35 | 36 |
Black Belt Energy Gas District | ||
Series 2022C-1, Rev., 5.25%, 6/1/2028 | 1,530 | 1,621 |
Series 2022C-1, Rev., 5.25%, 12/1/2028 | 1,275 | 1,358 |
County of Jefferson Sewer | ||
Rev., 5.00%, 10/1/2035 | 1,000 | 1,143 |
Rev., 5.00%, 10/1/2038 | 2,000 | 2,231 |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (b) | 3,825 | 3,788 |
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, 5.50%, 12/1/2029 (b) | 1,000 | 1,084 |
Total Alabama | 11,261 | |
Alaska — 0.0% ^ | ||
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project Rev., 5.00%, 9/1/2024 | 15 | 15 |
Arizona — 1.4% | ||
Arizona Industrial Development Authority | ||
Rev., 5.00%, 7/1/2038 (c) | 250 | 247 |
Rev., 5.25%, 7/1/2043 (c) | 250 | 246 |
Arizona Industrial Development Authority, Doral Academy of Northern Nevada Project Series 2021A, Rev., 4.00%, 7/15/2036 (c) | 275 | 247 |
City of Phoenix Civic Improvement Corp. Rev., AMT, 5.00%, 7/1/2030 | 1,475 | 1,582 |
City of San Luis Series 2017A, Rev., AGM, 5.00%, 7/1/2025 | 50 | 51 |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (c) | 500 | 501 |
Maricopa County Elementary School District No. 92-Pendergast Elementary Series 2023B, GO, 5.00%, 7/1/2035 | 375 | 437 |
Maricopa County Industrial Development Authority Series 2023A, Rev., 6.25%, 7/1/2053 (c) | 1,900 | 1,930 |
Maricopa County Industrial Development Authority, Valley Christian Schools Project Series 2023A, Rev., 5.25%, 7/1/2033 (c) | 200 | 204 |
Maricopa County Unified School District No. 41 Gilbert Series 2023C, GO, 5.00%, 7/1/2025 | 575 | 593 |
Maricopa County Unified School District No. 60 Higley | ||
COP, AGM, 5.00%, 6/1/2037 | 170 | 192 |
COP, AGM, 5.00%, 6/1/2038 | 250 | 281 |
Maricopa County Unified School District No. 69 Paradise Valley Series 2022D, GO, 5.00%, 7/1/2035 | 425 | 498 |
Pima County Unified School District No. 16 Catalina Foothills, School Improvement Projects Series 2018B, GO, 5.00%, 7/1/2028 | 10 | 11 |
Pinal County Electric District No. 3 Rev., 4.00%, 7/1/2034 | 150 | 153 |
Town of Queen Creek, Excise Tax Rev., 5.00%, 8/1/2029 | 10 | 11 |
Total Arizona | 7,184 | |
Arkansas — 0.4% | ||
City of Fort Smith, Water and Sewer Rev., 5.00%, 10/1/2027 | 1,305 | 1,393 |
City of Springdale Public Facilities Board Hospital, Arkansas Children's Northwest Project Rev., 5.00%, 3/1/2030 | 10 | 10 |
County of Pulaski | ||
Rev., 5.00%, 3/1/2037 | 500 | 565 |
Rev., 4.25%, 3/1/2048 | 250 | 249 |
Total Arkansas | 2,217 | |
California — 5.3% | ||
Briggs Elementary School District Series B, GO, 4.00%, 8/1/2030 | 5 | 5 |
California Community Choice Financing Authority, Clean Energy Project Series 2021B-1, 4.00%, 8/1/2031 (b) | 12,200 | 12,306 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
California — continued | ||
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020A, 3.95%, 1/30/2025 (b) (c) | 1,500 | 1,500 |
California Municipal Finance Authority, Lutheran University | ||
Rev., 5.00%, 10/1/2029 | 225 | 241 |
Rev., 5.00%, 10/1/2030 | 225 | 240 |
Rev., 5.00%, 10/1/2031 | 225 | 240 |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (c) | 500 | 536 |
California Public Finance Authority, Enso Village Project | ||
Series 2021B-3, Rev., 2.13%, 11/15/2027 (c) | 60 | 60 |
Series 2021B-2, Rev., 2.38%, 11/15/2028 (c) | 260 | 253 |
County of San Bernardino Series 2019A, COP, 5.00%, 10/1/2026 | 200 | 213 |
CSCDA Community Improvement Authority, Essential Housing, Orange Portfolio Series 2021A-1, Rev., 2.80%, 3/1/2047 (c) | 1,500 | 1,088 |
CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (c) | 200 | 152 |
CSCDA Community Improvement Authority, Essential Housing, Senior Lien Series 2021A-1, Rev., 2.45%, 2/1/2047 (c) | 1,395 | 1,097 |
Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-Backed Bonds Series 2015A, Rev., 5.00%, 6/1/2025 (d) | 4,950 | 5,094 |
Lompoc Valley Medical Center GO, 5.00%, 8/1/2024 | 15 | 15 |
Los Angeles Community College District, Election of 2008 Series G, GO, 4.00%, 8/1/2024 (d) | 145 | 146 |
Los Angeles Department of Water and Power, Power System | ||
Series 2017A, Rev., 5.00%, 7/1/2034 | 710 | 760 |
Series 2019C, Rev., 5.00%, 7/1/2034 | 5 | 6 |
Ontario Public Financing Authority | ||
Series 2022A, Rev., AGM, 5.00%, 11/1/2027 | 90 | 98 |
Series 2022A, Rev., AGM, 5.00%, 11/1/2029 | 100 | 114 |
Series 2022A, Rev., AGM, 5.00%, 11/1/2030 | 140 | 162 |
River Islands Public Financing Authority, Facilities District No. 2003 Series 2022A-1, AGM, 4.00%, 9/1/2037 | 250 | 263 |
Sacramento Municipal Utility District Financing Authority, Cosumnes Project Rev., 5.00%, 7/1/2028 | 1,290 | 1,331 |
San Francisco City and County Airport Commission, San Francisco International Airport Series 2019A, Rev., AMT, 5.00%, 5/1/2034 | 25 | 27 |
South Placer Wastewater Authority Rev., 5.00%, 11/1/2024 | 10 | 10 |
Vista Unified School District Series 2022B, GO, 5.00%, 8/1/2033 | 365 | 440 |
Westminster School District Series 2016, GO, 5.00%, 8/1/2030 | 5 | 5 |
Total California | 26,402 | |
Colorado — 3.6% | ||
Arapahoe County School District No. 5 Cherry Creek GO, 5.00%, 12/15/2037 | 425 | 479 |
Boulder Valley School District No. Re-2 Boulder GO, 4.13%, 12/1/2046 | 5,000 | 5,087 |
City and County of Denver, Airport System | ||
Series 2022D, Rev., AMT, 5.50%, 11/15/2032 | 2,250 | 2,655 |
Series 2022A, Rev., AMT, 5.50%, 11/15/2042 | 5,000 | 5,638 |
City of Greeley COP, 4.00%, 12/1/2034 | 10 | 11 |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project | ||
Rev., 4.00%, 5/1/2028 | 35 | 35 |
Rev., 4.00%, 5/1/2036 | 85 | 83 |
Denver Health and Hospital Authority Series 2019A, Rev., 4.00%, 12/1/2037 | 1,000 | 960 |
Dominion Water and Sanitation District Rev., 5.25%, 12/1/2032 | 500 | 508 |
Jefferson County School District R-1 GO, 5.00%, 12/15/2035 | 515 | 565 |
Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044 | 480 | 365 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Colorado — continued | ||
State of Colorado Series 2020-A, COP, 4.00%, 12/15/2034 | 25 | 27 |
Third Creek Metropolitan District No. 1, Limited Tax Series 2022A-1, GO, 4.50%, 12/1/2037 | 825 | 724 |
Windler Public Improvement Authority, Limited Tax | ||
Series 2021A-1, Rev., 4.00%, 12/1/2036 | 885 | 652 |
Series 2021A-1, Rev., 4.00%, 12/1/2041 | 750 | 485 |
Total Colorado | 18,274 | |
Connecticut — 1.3% | ||
City of Norwalk GO, 4.25%, 8/15/2048 | 1,100 | 1,121 |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (c) | 1,000 | 1,080 |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | ||
Series 2022A, Rev., 5.00%, 7/1/2031 | 1,250 | 1,456 |
Series 2022B, Rev., 5.00%, 7/1/2031 | 2,500 | 2,913 |
Town of Southington Series 2020C, GO, 5.00%, 6/1/2028 | 5 | 5 |
Town of Stafford GO, 3.00%, 8/1/2026 | 10 | 10 |
Total Connecticut | 6,585 | |
District of Columbia — 0.3% | ||
District of Columbia | ||
Series 2017A, GO, 5.00%, 6/1/2029 | 290 | 311 |
Series 2017A, GO, 5.00%, 6/1/2031 | 600 | 642 |
District of Columbia, Gallaudet University Project | ||
Series 2021A, Rev., 4.00%, 4/1/2033 | 160 | 165 |
Series 2021A, Rev., 4.00%, 4/1/2036 | 200 | 203 |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2019A, Rev., 5.00%, 10/1/2036 | 270 | 290 |
Total District of Columbia | 1,611 | |
Florida — 3.2% | ||
Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | 175 | 124 |
City of Melbourne Water and Sewer Rev., 5.00%, 11/15/2039 | 2,355 | 2,726 |
City of Pompano Beach, John Knox Village Project | ||
Rev., 3.50%, 9/1/2030 | 1,900 | 1,774 |
Series 2020, Rev., 3.50%, 9/1/2035 | 2,250 | 1,987 |
Series 2021A, Rev., 4.00%, 9/1/2041 | 115 | 98 |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects Series 2022B, Rev., 5.00%, 7/1/2031 | 165 | 174 |
Florida Development Finance Corp., IDEA Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (c) | 100 | 102 |
Florida Development Finance Corp., Mater Academy Miami-Dade Osceola County Facilities | ||
Series 2022A, Rev., 5.00%, 6/15/2028 | 180 | 186 |
Series 2022A, Rev., 5.00%, 6/15/2031 | 260 | 268 |
JEA Electric System Series 2017 B, Rev., 5.00%, 10/1/2031 | 4,000 | 4,288 |
Lee County Industrial Development Authority, Cypress Cove at Healthpeak Florida, Inc. Project Series 2022B2, Rev., 3.25%, 10/1/2026 | 1,500 | 1,441 |
Lee County School Board (The) COP, 5.00%, 8/1/2042 | 1,000 | 1,115 |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Rev., 5.00%, 11/1/2028 | 150 | 158 |
Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai Residences of Boca Raton Expansion Rev., 4.00%, 6/1/2041 | 500 | 419 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Florida — continued | ||
Palm Beach County School District Series 2023A, COP, 5.00%, 8/1/2036 | 1,000 | 1,182 |
Wildwood Utility Dependent District Rev., 5.00%, 10/1/2030 | 125 | 142 |
Total Florida | 16,184 | |
Georgia — 3.2% | ||
Brookhaven Urban Redevelopment Agency Series 2023A, Rev., 5.00%, 7/1/2040 | 2,920 | 3,392 |
Cherokee County Water and Sewer Authority Series 2023, Rev., 5.00%, 8/1/2037 | 135 | 159 |
City of Atlanta | ||
Series 2021C, Rev., AMT, 5.00%, 7/1/2029 | 1,160 | 1,260 |
Series 2021B, Rev., 4.00%, 7/1/2040 | 1,850 | 1,892 |
Columbia County School District | ||
GO, 5.00%, 10/1/2035 | 210 | 251 |
GO, 5.00%, 4/1/2036 | 700 | 833 |
GO, 5.00%, 10/1/2036 | 160 | 190 |
Development Authority of Monroe County (The) Series 2009-2, 3.88%, 3/6/2026 (b) | 1,250 | 1,253 |
Georgia Ports Authority Rev., 4.00%, 7/1/2052 | 1,500 | 1,479 |
Lee County School District GO, 5.00%, 2/1/2030 | 325 | 354 |
Main Street Natural Gas, Inc., Gas Supply | ||
Series 2023B, 5.00%, 3/1/2030 (b) | 1,000 | 1,060 |
Series 2023A, 5.00%, 6/1/2030 (b) | 1,300 | 1,374 |
Rome Building Authority, Rome City School Project | ||
Rev., 5.00%, 3/1/2037 | 600 | 708 |
Rev., 5.00%, 3/1/2038 | 1,375 | 1,600 |
Rev., 5.00%, 3/1/2039 | 185 | 214 |
State of Georgia Series 2015A, GO, 5.00%, 2/1/2025 | 130 | 133 |
Total Georgia | 16,152 | |
Illinois — 5.2% | ||
Chicago O'Hare International Airport, Senior Lien | ||
Series 2023A, Rev., AMT, 5.00%, 1/1/2030 | 4,000 | 4,380 |
Series 2023A, Rev., AMT, 5.00%, 1/1/2033 | 4,310 | 4,858 |
City of Chicago, Second Lien Waterworks Project Rev., 5.00%, 11/1/2029 | 1,000 | 1,012 |
Cook County Community Consolidated School District No. 15 Palatine GO, 5.00%, 12/1/2038 | 500 | 561 |
Illinois Finance Authority, Depaul College Prep Project Series 2023A, Rev., 4.50%, 8/1/2033 (c) | 775 | 782 |
Illinois Finance Authority, Plymouth Place, Inc. | ||
Series 2022B-3, Rev., 4.75%, 2/25/2024 | 40 | 40 |
Series 2022B-2, Rev., 5.25%, 11/15/2027 | 200 | 200 |
Series 2022B-1, Rev., 6.00%, 11/15/2027 | 100 | 100 |
Illinois Finance Authority, Smith Crossing | ||
Rev., 4.00%, 10/15/2029 | 150 | 136 |
Rev., 4.00%, 10/15/2030 | 100 | 90 |
Illinois State Toll Highway Authority Series 2023A, Rev., 5.00%, 1/1/2042 | 1,000 | 1,131 |
Regional Transportation Authority Series 2002A, Rev., NATL - RE, 6.00%, 7/1/2024 | 750 | 758 |
State of Illinois | ||
Series 2017D, GO, 5.00%, 11/1/2025 | 5,000 | 5,149 |
Series 2022A, GO, 5.00%, 3/1/2033 | 6,000 | 6,784 |
Total Illinois | 25,981 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Indiana — 2.1% | ||
Avon Community School Building Corp. Rev., 4.00%, 7/15/2035 | 25 | 26 |
Carmel Local Public Improvement Bond Bank Series 2021A, Rev., 4.00%, 7/15/2037 | 25 | 26 |
City of Valparaiso Rev., 5.38%, 12/1/2041 (c) | 200 | 156 |
Fort Wayne Community School Building Corp., Fort Wayne Community Schools Rev., 5.00%, 7/15/2038 | 650 | 734 |
Fort Wayne Redevelopment Authority Lease Rental, Harrison Square Project Rev., 5.00%, 2/1/2026 | 1,000 | 1,001 |
Indiana Finance Authority Series 2023A, Rev., 5.00%, 6/1/2043 | 425 | 443 |
Indiana Finance Authority, DePauw University | ||
Series 2022A, Rev., 5.00%, 7/1/2027 | 200 | 208 |
Series 2022A, Rev., 5.00%, 7/1/2029 | 200 | 213 |
Series 2022A, Rev., 5.00%, 7/1/2030 | 230 | 247 |
Series 2022A, Rev., 5.00%, 7/1/2031 | 230 | 248 |
Series 2022A, Rev., 5.00%, 7/1/2032 | 230 | 249 |
Indiana Finance Authority, Wastewater Utility Series 2021-1, Rev., 5.00%, 10/1/2030 | 380 | 435 |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 | 2,000 | 1,993 |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 5.00%, 1/1/2026 | 4,050 | 4,057 |
Lake Ridge School Building Corp., First Mortgage Rev., 4.00%, 7/15/2028 | 25 | 25 |
Marion High School Building Corp. Rev., 4.00%, 7/15/2027 | 250 | 257 |
Total Indiana | 10,318 | |
Iowa — 0.0% ^ | ||
Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2032 | 20 | 21 |
Kansas — 0.1% | ||
City of Topeka, Kansas Health Care Facilities Series 2022B, Rev., 5.13%, 12/1/2026 | 250 | 249 |
City of Wichita Series 2016B, Rev., 4.00%, 10/1/2026 | 125 | 129 |
Total Kansas | 378 | |
Kentucky — 0.1% | ||
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 | 740 | 733 |
Louisiana — 2.9% | ||
Lafayette Public Power Authority Rev., 5.00%, 11/1/2025 | 15 | 15 |
Livingston Parish School Board Sales & Use Tax Series 2021A, Rev., 4.00%, 5/1/2027 | 25 | 26 |
Louisiana Local Government Environmental Facilities and Community Development Authority, Bossier City Project Rev., 5.00%, 10/1/2027 | 25 | 27 |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Series 2020A, Rev., 5.00%, 5/15/2037 | 65 | 70 |
Louisiana Public Facilities Authority, School Master Project Series 2021A, Rev., 4.00%, 6/1/2031 (c) | 290 | 268 |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, 4.05%, 7/1/2026 (b) | 3,500 | 3,465 |
St. Tammany Parish Hospital Service District No. 1 Series 2018A, Rev., 5.00%, 7/1/2032 | 15 | 16 |
State of Louisiana Gasoline and Fuels Tax Series A, Rev., 4.50%, 5/1/2025 (d) | 8,000 | 8,143 |
State of Louisiana Gasoline and Fuels Tax, Second Lien Series 2023 A-2, LOC : TD Bank NA, 1.25%, 2/1/2024 (b) | 2,500 | 2,500 |
Terrebonne Parish Recreation District No. 5 GO, 5.00%, 3/1/2027 | 20 | 21 |
Total Louisiana | 14,551 | |
Maine — 0.3% | ||
Maine Health & Higher Educational Facilities Authority | ||
Series 2023A, Rev., AGM, 5.00%, 7/1/2025 | 100 | 103 |
Series 2023A, Rev., AGM, 5.00%, 7/1/2026 | 200 | 209 |
Maine Municipal Bond Bank Series 2022A, Rev., 5.00%, 11/1/2033 | 800 | 949 |
Total Maine | 1,261 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Maryland — 1.0% | ||
County of Howard Series 2021A, GO, 5.00%, 8/15/2024 | 2,370 | 2,396 |
County of Montgomery, Consolidated Public Improvements Series 2016A, 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 | 421 |
Series 2021A, Rev., 5.00%, 6/1/2032 | 450 | 481 |
Series 2021A, Rev., 4.00%, 6/1/2038 | 790 | 752 |
State of Maryland Series 2021-A, GO, 4.00%, 8/1/2036 | 590 | 634 |
State of Maryland, Department of Transportation Rev., 5.00%, 10/1/2027 | 450 | 488 |
Total Maryland | 5,177 | |
Massachusetts — 2.6% | ||
City of Quincy | ||
Series 2023 B, GO, 5.00%, 12/15/2035 | 320 | 386 |
Series 2023 B, GO, 5.00%, 12/15/2037 | 365 | 432 |
Series 2023 B, GO, 5.00%, 12/15/2038 | 170 | 200 |
Series 2023 B, GO, 5.00%, 12/15/2039 | 65 | 75 |
Commonwealth of Massachusetts | ||
Series 2018B, GO, 5.00%, 1/1/2030 | 1,415 | 1,546 |
Series 2024A, GO, 5.00%, 1/1/2041 | 1,000 | 1,151 |
Series 2022 E, GO, 5.00%, 11/1/2049 | 3,030 | 3,321 |
Massachusetts Clean Water Trust (The) | ||
Rev., 5.00%, 2/1/2037 | 250 | 296 |
Series 25B, Rev., 5.00%, 2/1/2037 | 400 | 474 |
Rev., 5.00%, 2/1/2038 | 175 | 205 |
Series 25B, Rev., 5.00%, 2/1/2038 | 300 | 351 |
Series 25B, Rev., 5.00%, 2/1/2039 | 250 | 290 |
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.25%, 7/1/2048 | 1,000 | 1,094 |
Series 2023G, Rev., 4.38%, 7/1/2052 | 700 | 702 |
Massachusetts Development Finance Agency, Salem Community Corp. | ||
Rev., 5.00%, 1/1/2026 | 290 | 287 |
Rev., 5.00%, 1/1/2027 | 300 | 296 |
Rev., 5.00%, 1/1/2028 | 265 | 260 |
Rev., 5.00%, 1/1/2029 | 500 | 488 |
Rev., 5.00%, 1/1/2030 | 230 | 223 |
Rev., 5.00%, 1/1/2031 | 245 | 237 |
Rev., 5.13%, 1/1/2040 | 100 | 92 |
Town of Arlington GO, 4.00%, 12/1/2049 | 630 | 634 |
Total Massachusetts | 13,040 | |
Michigan — 0.3% | ||
Avondale School District GO, Q-SBLF, 5.00%, 11/1/2027 | 15 | 16 |
City of Detroit, Unlimited Tax Series 2021A, GO, 5.00%, 4/1/2037 | 400 | 422 |
Eastern Michigan University, Board of Regents Series 2017A, Rev., 5.00%, 3/1/2033 | 1,000 | 1,057 |
Lakeview School District, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2028 | 10 | 10 |
Michigan Strategic Fund, Graphic Packaging International, LLC Coated Recycled Board Machine Project Rev., AMT, 4.00%, 10/1/2026 (b) | 125 | 124 |
Onekama Consolidated Schools GO, AGM, 4.00%, 5/1/2025 | 15 | 15 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Michigan — continued | ||
Watervliet Public Schools, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2025 | 10 | 10 |
Wayne-Westland Community Schools Series 2019, GO, Q-SBLF, 4.00%, 11/1/2031 | 10 | 11 |
Total Michigan | 1,665 | |
Minnesota — 2.2% | ||
Chisholm Independent School District No. 695 Series 2023A, GO, Zero Coupon, 2/1/2039 | 600 | 315 |
County of Hennepin Series 2018 A, GO, 5.00%, 12/1/2029 | 1,010 | 1,096 |
Metropolitan Council Series 2023C, GO, 4.00%, 3/1/2042 | 4,965 | 5,035 |
Minnesota Higher Education Facilities Authority, University of St. Thomas | ||
Series 2022A, Rev., 5.00%, 10/1/2025 | 170 | 175 |
Series 2022A, Rev., 5.00%, 10/1/2026 | 100 | 105 |
Series 2022A, Rev., 5.00%, 10/1/2027 | 275 | 294 |
Series 2022A, Rev., 5.00%, 10/1/2028 | 290 | 315 |
Series 2022B, Rev., 5.00%, 10/1/2028 | 655 | 712 |
Series 2022A, Rev., 5.00%, 10/1/2029 | 315 | 349 |
Series 2022A, Rev., 5.00%, 10/1/2030 | 225 | 252 |
Series 2022A, Rev., 5.00%, 10/1/2031 | 350 | 391 |
Series 2022A, Rev., 5.00%, 10/1/2032 | 245 | 273 |
Minnesota Municipal Gas Agency Series Subseries,2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2027 | 1,435 | 1,446 |
Moorhead Independent School District No. 152 Series 2020A, GO, 4.00%, 2/1/2028 | 10 | 11 |
Total Minnesota | 10,769 | |
Missouri — 0.1% | ||
Industrial Development Authority of the City of St Louis Missouri (The), Innovation District Rev., 5.00%, 5/15/2041 | 400 | 402 |
Montana — 0.0% ^ | ||
Silver Bow County School District No. 1 GO, 5.00%, 7/1/2029 | 5 | 6 |
Nebraska — 0.0% ^ | ||
Lancaster County School District 001 GO, 5.00%, 1/15/2026 | 110 | 115 |
Nevada — 0.5% | ||
County of Clark, Nevada Improvement District No. 158 5.00%, 8/1/2034 | 10 | 10 |
State of Nevada Series 2015B, GO, 5.00%, 11/1/2026 | 2,500 | 2,563 |
Total Nevada | 2,573 | |
New Hampshire — 1.0% | ||
New Hampshire Health and Education Facilities Authority Act, Trustees of Dartmouth College Series 2007B, LIQ : Bank of New York Mellon (The), 1.00%, 2/1/2024 (b) | 5,000 | 5,000 |
New Jersey — 2.6% | ||
Camden County Improvement Authority (The) | ||
Rev., GTD, 5.00%, 1/15/2037 | 300 | 340 |
Rev., 6.00%, 6/15/2042 | 525 | 582 |
Camden County Improvement Authority (The), Camden Prep High School Project | ||
Rev., 4.00%, 7/15/2027 (c) | 215 | 214 |
Rev., 5.00%, 7/15/2032 (c) | 285 | 302 |
Rev., 5.00%, 7/15/2042 (c) | 585 | 596 |
County of Morris GO, 3.00%, 2/1/2030 | 20 | 20 |
New Jersey Economic Development Authority Series 2023RRR, Rev., 5.00%, 3/1/2026 | 4,500 | 4,689 |
New Jersey Economic Development Authority, Department of the Treasury Series 2014PP, Rev., 5.00%, 6/15/2024 (d) | 5,000 | 5,028 |
New Jersey Transportation Trust Fund Authority, Transportation Program Series 2020AA, Rev., 4.00%, 6/15/2045 | 1,100 | 1,092 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New Jersey — continued | ||
New Jersey Turnpike Authority Series 2017B, Rev., 4.00%, 1/1/2035 | 5 | 5 |
Northvale School District GO, 4.00%, 8/1/2038 | 35 | 36 |
Total New Jersey | 12,904 | |
New Mexico — 0.9% | ||
Albuquerque Municipal School District No. 12 Series 2023A, GO, 5.00%, 8/1/2024 | 750 | 757 |
Loving Municipal School District No. 10 | ||
GO, 5.00%, 9/15/2024 | 430 | 434 |
GO, 5.00%, 9/15/2025 (d) | 300 | 310 |
GO, 5.00%, 9/15/2025 | 1,090 | 1,122 |
GO, 5.00%, 9/15/2026 | 360 | 379 |
GO, 5.00%, 9/15/2027 | 340 | 366 |
GO, 5.00%, 9/15/2028 | 300 | 323 |
State of New Mexico GO, 5.00%, 3/1/2031 | 755 | 878 |
Total New Mexico | 4,569 | |
New York — 16.3% | ||
Build NYC Resource Corp. Rev., 5.00%, 7/1/2030 | 510 | 553 |
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project Rev., 5.00%, 7/1/2034 | 210 | 230 |
Build NYC Resource Corp., New World Preparatory Charter School Project Series 2021A, Rev., 4.00%, 6/15/2031 (c) | 150 | 140 |
City of New York | ||
Series 2021A Subseries A1, GO, 4.00%, 8/1/2034 | 150 | 160 |
Series 2021F Subseries F-1, GO, 5.00%, 3/1/2036 | 1,000 | 1,143 |
City of New York, Fiscal Year 2014 Series 2014D-4, LOC : TD Bank NA, 1.25%, 2/1/2024 (b) | 2,500 | 2,500 |
City of New York, Fiscal Year 2021 Series 2021F, Subseries F-1, GO, 5.00%, 3/1/2037 | 2,000 | 2,269 |
County of St. Lawrence GO, AGM, 3.00%, 5/15/2034 | 10 | 10 |
Hudson Yards Infrastructure Corp. Series 2017 A, Rev., 5.00%, 2/15/2031 | 1,500 | 1,592 |
Long Island Power Authority, Electric System | ||
Series 2021A, Rev., 4.00%, 9/1/2033 | 30 | 33 |
Series 2019A, Rev., 3.00%, 9/1/2036 | 10 | 10 |
Metropolitan Transportation Authority Series C-1, Rev., 5.25%, 11/15/2028 | 5,000 | 5,145 |
Monroe County Water Authority Rev., 4.00%, 3/1/2050 | 4,510 | 4,399 |
New York City Municipal Water Finance Authority Fiscal Year 2022 Series 2022, SubseriesBB-1, Rev., 4.00%, 6/15/2045 | 3,000 | 3,014 |
New York City Municipal Water Finance Authority, Second General Resolution Series BB 1A, LIQ : State Street Bank & Trust , 1.25%, 2/1/2024 (b) | 2,700 | 2,700 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution Series 2009BB-2, LIQ : UBS AG, 1.40%, 2/1/2024 (b) | 3,900 | 3,900 |
New York City Transitional Finance Authority Future Tax Secured | ||
Series 2020B-1, Rev., 5.00%, 11/1/2025 | 900 | 934 |
Series 2023D, SubseriesD-1, Rev., 5.00%, 11/1/2046 | 10,000 | 11,092 |
New York City Transitional Finance Authority, Future Tax Secured Series 2022B, Subseries B-1, Rev., 4.00%, 8/1/2038 | 600 | 619 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2024 Series 2024C, Rev., 5.25%, 5/1/2050 | 1,500 | 1,701 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series 2022F, SubseriesF-1, Rev., 5.00%, 2/1/2036 | 1,005 | 1,171 |
New York Convention Center Development Corp. Series B, Rev., AGM-CR, Zero Coupon, 11/15/2049 | 8,770 | 2,520 |
New York Liberty Development Corp., Secured by Port Authority Series 1WTC-2021, Rev., 2.75%, 2/15/2044 | 1,000 | 775 |
New York Liberty Development Corp., World Trade Centre Series 1WTC-2021, Rev., 2.25%, 2/15/2041 | 500 | 374 |
New York Power Authority Series 2020A, Rev., 4.00%, 11/15/2045 | 2,250 | 2,259 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New York — continued | ||
New York State Dormitory Authority | ||
Series 2018C, Rev., 5.00%, 3/15/2033 | 15 | 16 |
Series 2017A, Rev., 4.00%, 2/15/2034 | 1,000 | 1,034 |
Series 2019D, Rev., 5.00%, 2/15/2035 | 100 | 113 |
New York State Dormitory Authority, Sales Tax Series A, Rev., 5.00%, 3/15/2033 | 1,000 | 1,002 |
New York State Dormitory Authority, School Districts Financing Program Series 2018A, Rev., 5.00%, 10/1/2030 | 875 | 924 |
New York State Dormitory Authority, State Personal Income Tax | ||
Series 2021 E, Rev., 4.00%, 3/15/2042 | 2,000 | 2,008 |
Series 2020A, Rev., 4.00%, 3/15/2047 | 1,930 | 1,907 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2020A, Rev., 4.00%, 3/15/2044 | 1,000 | 997 |
New York State Environmental Facilities Corp. | ||
Series 2022B, Rev., 5.00%, 9/15/2031 | 300 | 356 |
Series 2022B, Rev., 5.00%, 9/15/2032 | 400 | 483 |
Series 2022B, Rev., 5.00%, 9/15/2033 | 565 | 679 |
Series 2022B, Rev., 5.00%, 9/15/2034 | 300 | 359 |
Series 2022B, Rev., 5.00%, 9/15/2035 | 1,000 | 1,191 |
Series 2022B, Rev., 5.00%, 9/15/2036 | 950 | 1,122 |
Series 2022B, Rev., 5.00%, 9/15/2037 | 635 | 743 |
New York State Thruway Authority Series J, Rev., 5.00%, 5/14/2024 | 5 | 5 |
New York State Thruway Authority, Junior Lien Series 2016A, Rev., 5.00%, 1/1/2025 | 25 | 25 |
New York State Urban Development Corp., State Sales Tax Series 2021A, Rev., 4.00%, 3/15/2046 | 1,000 | 995 |
New York Transportation Development Corp. Rev., AMT, AGM, 5.00%, 6/30/2049 | 1,700 | 1,784 |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | ||
Rev., AMT, 5.00%, 1/1/2028 | 3,500 | 3,627 |
Series 2018, Rev., AMT, 5.00%, 1/1/2031 | 1,000 | 1,031 |
Series 2023, Rev., AMT, 6.00%, 4/1/2035 | 1,000 | 1,122 |
Port Authority of New York & New Jersey Series 222, Rev., 4.00%, 7/15/2038 | 100 | 104 |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series 2015A, Rev., 5.00%, 10/15/2024 (d) | 1,890 | 1,916 |
Syracuse Industrial Development Agency, Syracuse City School District Series 2019A, Rev., 4.00%, 5/1/2034 | 10 | 10 |
Triborough Bridge & Tunnel Authority Series 2022B, Rev., 5.00%, 5/15/2029 | 375 | 423 |
Utility Debt Securitization Authority Series 2013TE, Rev., 5.00%, 3/14/2024 | 4,250 | 4,259 |
Village of Stewart Manor, Public Improvement GO, 4.00%, 8/1/2028 | 20 | 21 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project | ||
Series 2021D, Rev., 2.88%, 7/1/2026 (c) | 465 | 459 |
Series 2021C-EFRB, Rev., 3.20%, 7/1/2028 (c) | 3,025 | 2,955 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc., Project Series 2021A, Rev., 5.00%, 7/1/2041 (c) | 1,000 | 900 |
Total New York | 81,813 | |
North Carolina — 1.1% | ||
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 570 | 610 |
County of Catawba | ||
Rev., 5.00%, 4/1/2038 | 650 | 752 |
Rev., 5.00%, 4/1/2039 | 425 | 488 |
County of Durham Series 2023A, Rev., 5.00%, 6/1/2026 | 1,285 | 1,352 |
County of Wake GO, 5.00%, 4/1/2028 | 1,315 | 1,446 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
North Carolina — continued | ||
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien Rev., AGM, 5.00%, 1/1/2029 | 700 | 741 |
University of North Carolina at Greensboro Rev., 4.00%, 4/1/2035 | 10 | 10 |
Total North Carolina | 5,399 | |
North Dakota — 0.1% | ||
North Dakota Building Authority Series 2020A, Rev., 5.00%, 12/1/2035 | 220 | 247 |
Ohio — 3.0% | ||
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron Series 2022A, Rev., 5.00%, 11/15/2029 | 650 | 726 |
Butler County Port Authority, Community First Solutions | ||
Series 2021A, Rev., 4.00%, 5/15/2038 | 110 | 109 |
Series 2021A, Rev., 4.00%, 5/15/2039 | 110 | 108 |
Series 2021A, Rev., 4.00%, 5/15/2040 | 120 | 117 |
Series 2021A, Rev., 4.00%, 5/15/2041 | 125 | 121 |
County of Cuyahoga, Eliza Jennings Senior Care Network Series 2022A, Rev., 5.00%, 5/15/2032 | 160 | 156 |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc. Project 5.00%, 12/1/2028 (b) (c) | 1,140 | 1,143 |
Ohio Higher Educational Facility Commission, Capital University 2022 Project Rev., 5.00%, 9/1/2030 | 275 | 278 |
Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Series 2008-B4, LIQ : Barclays Bank plc, 1.35%, 2/1/2024 (b) | 5,000 | 5,000 |
Ohio Higher Educational Facility Commission, John Carroll University | ||
Rev., 5.00%, 10/1/2030 | 425 | 461 |
Rev., 5.00%, 10/1/2031 | 645 | 704 |
Rev., 5.00%, 10/1/2032 | 700 | 763 |
Ohio Water Development Authority Series 2021A, Rev., 5.00%, 12/1/2039 | 1,025 | 1,159 |
Ohio Water Development Authority Water Pollution Control Loan Fund | ||
Series 2023B, Rev., 5.00%, 12/1/2038 | 1,000 | 1,166 |
Series 2021A, Rev., 4.00%, 12/1/2041 | 1,195 | 1,224 |
State of Ohio | ||
Series 2016A, GO, 5.00%, 9/1/2025 | 385 | 398 |
Series Y, GO, 5.00%, 5/1/2038 | 1,000 | 1,169 |
Total Ohio | 14,802 | |
Oklahoma — 0.8% | ||
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | ||
Rev., 5.00%, 10/1/2025 | 500 | 514 |
Rev., 5.00%, 10/1/2026 | 500 | 525 |
Oklahoma State University Series 2021A, Rev., 4.00%, 9/1/2036 | 25 | 26 |
Oklahoma Turnpike Authority, Turnpike System, Second Senior Series 2017A, Rev., 5.00%, 1/1/2038 | 2,000 | 2,046 |
Oklahoma Water Resources Board Series 2023 C, Rev., 5.00%, 10/1/2037 | 810 | 938 |
Total Oklahoma | 4,049 | |
Oregon — 3.5% | ||
City of Portland, Second Lien Sewer System Series 2014B, Rev., 4.00%, 10/1/2036 | 2,180 | 2,191 |
Hillsboro School District No. 1J GO, 4.00%, 6/15/2035 | 100 | 106 |
Hospital Facilities Authority of Multnomah County Oregon, Terwilliger Plaza, Inc. | ||
Series 2021B-2, Rev., 0.95%, 6/1/2027 | 1,805 | 1,624 |
Series 2021B1, Rev., 1.20%, 6/1/2028 | 2,000 | 1,749 |
Oregon State Facilities Authority, Peacehealth Series 2018A, LOC : US Bank NA, 1.10%, 2/1/2024 (b) | 10,000 | 10,000 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Oregon — continued | ||
Washington & Multnomah Counties School District No. 48J Beaverton Series B, GO, 5.00%, 6/15/2025 | 1,455 | 1,498 |
Yamhill County Hospital Authority, Friendsview Manor Series 2021A, Rev., 5.00%, 11/15/2056 | 210 | 161 |
Total Oregon | 17,329 | |
Pennsylvania — 2.2% | ||
Allegheny County Airport Authority, Pittsburgh International Airport Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2043 | 1,500 | 1,682 |
Allegheny County Higher Education Building Authority, Chatham University Rev., 5.00%, 9/1/2029 | 100 | 101 |
Bucks County Water and Sewer Authority Series 2022A, Rev., AGM, 5.00%, 12/1/2039 | 425 | 477 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | ||
Rev., 5.00%, 6/1/2025 | 630 | 642 |
Rev., 5.00%, 6/1/2026 | 380 | 394 |
Rev., 5.00%, 6/1/2027 | 500 | 528 |
Rev., 5.00%, 6/1/2028 | 880 | 945 |
Rev., 5.00%, 6/1/2029 | 380 | 409 |
Fairview School District Series A, GO, 4.00%, 2/1/2028 | 10 | 10 |
Health Care Facilities Authority of Sayre, Guthrie Clinic (The) Rev., (3-MONTH SOFR + 1.04%), 4.56%, 3/1/2024 (e) | 500 | 500 |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 4.00%, 9/1/2043 | 2,000 | 1,953 |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 | 1,695 | 1,794 |
Pennsylvania Turnpike Commission Series 2023, Rev., 5.00%, 12/1/2038 | 500 | 568 |
Pennsylvania Turnpike Commission Oil Franchise Tax Series 2021B, Rev., 5.00%, 12/1/2025 | 165 | 171 |
Philadelphia Authority for Industrial Development, Holy Family University Rev., 5.00%, 9/1/2029 | 675 | 721 |
Total Pennsylvania | 10,895 | |
South Carolina — 0.3% | ||
City of Charleston, Waterworks & Sewer System Rev., 5.00%, 1/1/2028 | 15 | 16 |
County of Oconee GO, 5.00%, 4/1/2035 | 1,240 | 1,480 |
Spartanburg County Tourist Public Facilities Corp. COP, 4.00%, 4/1/2028 | 10 | 10 |
Total South Carolina | 1,506 | |
Tennessee — 4.7% | ||
City of Clarksville Series 2021A, Rev., 4.00%, 2/1/2051 | 2,000 | 1,979 |
City of Knoxville Series 2021A, Rev., 4.00%, 4/1/2038 | 25 | 26 |
City of Memphis, Electric System Rev., 5.00%, 12/1/2026 | 345 | 367 |
City of Murfreesboro GO, 5.00%, 6/1/2029 | 725 | 816 |
County of Sumner, Tennessee General Obligation GO, 5.00%, 6/1/2025 | 1,750 | 1,799 |
Knox County Health Educational and Housing Facility Board, University of Tennessee Project Series 2024A-1, Rev., 5.50%, 7/1/2054 | 500 | 550 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Blakeford at Green Hills Series 2020A, Rev., 4.00%, 11/1/2038 | 1,305 | 1,098 |
Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Belmont University Rev., 5.00%, 5/1/2037 | 250 | 280 |
Metropolitan Government of Nashville and Davidson County Series 2024 A, Rev., 5.00%, 5/15/2037 (f) | 1,000 | 1,189 |
Metropolitan Nashville Airport Authority (The) | ||
Series 2022B, Rev., AMT, 5.50%, 7/1/2038 | 1,500 | 1,703 |
Series 2022B, Rev., AMT, 5.25%, 7/1/2047 | 1,400 | 1,499 |
Tennergy Corp., Gas Supply Series 2021 A, 4.00%, 9/1/2028 (b) | 7,265 | 7,278 |
Tennessee Energy Acquisition Corp., Gas Project Series 2023A-1, 5.00%, 5/1/2028 (b) | 4,685 | 4,869 |
Total Tennessee | 23,453 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Texas — 8.4% | ||
Aledo Independent School District GO, PSF-GTD, 5.00%, 2/15/2043 | 2,600 | 2,885 |
Aledo Independent School District, Unlimited Tax | ||
GO, PSF-GTD, 5.00%, 2/15/2042 | 500 | 558 |
GO, PSF-GTD, 5.00%, 2/15/2048 | 2,000 | 2,182 |
Allen Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 (d) | 1,770 | 1,847 |
Bexar County Hospital District GO, 4.00%, 2/15/2035 | 10 | 10 |
Bryan Independent School District GO, PSF-GTD, 4.00%, 2/15/2032 | 1,000 | 1,066 |
City of Austin, Airport System Rev., AMT, 5.00%, 11/15/2034 | 1,500 | 1,683 |
City of Houston, Combined Utility System, Junior Lien Series 2002A, Rev., AGM, 5.75%, 12/1/2032 (d) | 5,550 | 7,002 |
City of Mesquite, Waterworks & Sewer System | ||
Rev., 5.00%, 3/1/2029 | 655 | 725 |
Rev., 5.00%, 3/1/2035 | 1,000 | 1,156 |
Clifton Higher Education Finance Corp., IDEA Public Schools Series 2021 T, Rev., PSF-GTD, 5.00%, 8/15/2030 | 460 | 522 |
County of El Paso GO, 5.00%, 2/15/2032 | 1,490 | 1,598 |
County of Tarrant GO, 5.00%, 7/15/2033 | 500 | 579 |
Crowley Independent School District | ||
GO, PSF-GTD, 4.25%, 2/1/2053 | 500 | 506 |
GO, PSF-GTD, 5.25%, 2/1/2053 | 500 | 556 |
Denton Independent School District GO, PSF-GTD, 5.00%, 8/15/2030 | 460 | 517 |
Irving Independent School District | ||
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2037 | 1,000 | 1,160 |
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2039 | 1,000 | 1,141 |
McKinney Independent School District GO, PSF-GTD, 5.00%, 2/15/2033 | 2,650 | 3,036 |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Rev., 4.00%, 1/1/2037 | 100 | 78 |
Newark Higher Education Finance Corp., The Hughen Center, Inc. | ||
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2037 | 250 | 286 |
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2042 | 340 | 379 |
North Texas Tollway Authority System, First Tier Series 2023 A, Rev., 5.00%, 1/1/2026 | 1,000 | 1,038 |
North Texas Tollway Authority, First Tier | ||
Series A, Rev., 5.00%, 1/1/2026 | 10 | 10 |
Series A, Rev., 5.00%, 1/1/2030 | 360 | 374 |
North Texas Tollway Authority, North Texas Tollway System Series A, Rev., 5.00%, 1/1/2035 | 600 | 634 |
North Texas Tollway Authority, Second Tier Series B, Rev., 5.00%, 1/1/2030 | 400 | 415 |
Northwest Independent School District, Denton, Tarrant And Wise Counties Texas, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2024 | 3,850 | 3,852 |
Northwest Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2044 | 1,000 | 1,116 |
Plano Independent School District, Unlimited Tax GO, 5.00%, 2/15/2041 | 600 | 673 |
Round Rock Independent School District GO, 5.00%, 8/1/2029 | 115 | 124 |
Taylor Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 (d) | 1,150 | 1,200 |
Texas Water Development Board Series 2018B, Rev., 5.00%, 10/15/2029 | 1,000 | 1,104 |
Trinity River Authority Rev., 5.00%, 2/1/2038 | 300 | 342 |
Trinity River Authority, Walker-Calloway System | ||
Rev., 5.00%, 2/1/2027 | 290 | 308 |
Rev., 5.00%, 2/1/2028 | 305 | 331 |
Rev., 5.00%, 2/1/2029 | 320 | 347 |
Rev., 5.00%, 2/1/2030 | 340 | 371 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Texas — continued | ||
Rev., 5.00%, 2/1/2031 | 355 | 387 |
Tyler Independent School District GO, PSF-GTD, 5.00%, 2/15/2028 | 175 | 187 |
Total Texas | 42,285 | |
Utah — 0.7% | ||
City of Salt Lake City Series 2018A, Rev., AMT, 5.00%, 7/1/2029 | 2,000 | 2,136 |
Utah Charter School Finance Authority, Wallace Stegner Academy | ||
Series 2022A, Rev., 5.25%, 6/15/2032 (c) | 500 | 503 |
Series 2022A, Rev., 5.63%, 6/15/2042 (c) | 805 | 798 |
Total Utah | 3,437 | |
Virginia — 1.2% | ||
Henrico County Economic Development Authority, Westminster-Canterbury Corp. Rev., 4.00%, 10/1/2040 | 330 | 319 |
Virginia Public School Authority, Prince William County Rev., 4.25%, 10/1/2039 | 5,525 | 5,860 |
Total Virginia | 6,179 | |
Washington — 4.7% | ||
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2039 | 4,610 | 4,750 |
Port of Seattle, Intermediate Lien | ||
Series B, Rev., 5.00%, 3/1/2033 | 3,750 | 3,776 |
Series B, Rev., 5.00%, 3/1/2034 | 1,000 | 1,007 |
State of Washington Series R-2022A, GO, 4.00%, 2/1/2036 | 4,335 | 4,661 |
State of Washington Motor Vehicle Fuel Tax Series 2024 B, GO, 5.00%, 6/1/2045 | 2,000 | 2,243 |
State of Washington, Various Purpose Series 2023C, GO, 5.00%, 6/1/2041 | 2,000 | 2,288 |
State of Washington, Various Purpose General Obligation Series 2022C, GO, 5.00%, 2/1/2042 | 2,000 | 2,243 |
Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2025 | 1,250 | 1,283 |
Washington State Housing Finance Commission, Bitter Lake Village Associates 1 LP LOC : FNMA, 3.89%, 2/9/2024 (b) | 250 | 250 |
Washington State Housing Finance Commission, Rockwood Retirement Communities Project Series 2020A, Rev., 5.00%, 1/1/2041 (c) | 1,415 | 1,269 |
Total Washington | 23,770 | |
Wisconsin — 2.6% | ||
Public Finance Authority, Ascend Leadership Academy Project Series 2021A, Rev., 5.00%, 6/15/2041 (c) | 130 | 111 |
Public Finance Authority, Carmelite System, Inc. (The) Rev., 3.25%, 1/1/2029 | 860 | 806 |
Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2041 | 500 | 433 |
Public Finance Authority, Coral Academy of Science Las Vegas Series 2021A, Rev., 4.00%, 7/1/2030 | 305 | 298 |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.25%, 7/1/2033 | 500 | 583 |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (c) | 105 | 92 |
Public Finance Authority, Triad Educational Services, Inc. Rev., 5.00%, 6/15/2032 | 360 | 372 |
Public Finance Authority, Triad Math & Science Academy Co. | ||
Series 2021A, Rev., 4.00%, 6/15/2024 | 340 | 339 |
Series 2021A, Rev., 4.00%, 6/15/2026 | 370 | 365 |
Series 2021A, Rev., 4.00%, 6/15/2028 | 400 | 392 |
Series 2021A, Rev., 4.00%, 6/15/2030 | 435 | 423 |
Public Finance Authority, Viticus Group Project | ||
Series 2022A, Rev., 4.00%, 12/1/2031 (c) | 100 | 92 |
Series 2022A, Rev., 4.00%, 12/1/2041 (c) | 290 | 239 |
State of Wisconsin Series 2021A, GO, 5.00%, 5/1/2036 | 3,470 | 3,752 |
Wisconsin Department of Transportation Series 2017-1, Rev., 5.00%, 7/1/2025 | 2,000 | 2,061 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Wisconsin Health and Educational Facilities Authority, Marquette University Rev., 5.00%, 10/1/2032 | 400 | 438 |
Wisconsin Health and Educational Facilities Authority, Medical College of Wisconsin, Inc., (The) Series 2008B, LOC : TD Bank NA, 1.25%, 2/1/2024 (b) | 2,200 | 2,200 |
Total Wisconsin | 12,996 | |
Total Municipal Bonds (Cost $455,605) | 463,508 | |
SHARES (000) | ||
Short-Term Investments — 4.6% | ||
Investment Companies — 4.6% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.57% (g) (h) (Cost $23,080) | 23,079 | 23,081 |
Total Investments — 97.1% (Cost $478,685) | 486,589 | |
Other Assets Less Liabilities — 2.9% | 14,453 | |
NET ASSETS — 100.0% | 501,042 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
COP | Certificate of Participation |
CR | Custodial Receipts |
FNMA | Federal National Mortgage Association |
GO | General Obligation |
GTD | Guaranteed |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
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 |
SOFR | Secured Overnight Financing Rate |
^ | Amount rounds to less than 0.1% of net assets. | |
(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, 2024. | |
(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) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of January 31, 2024. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(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 January 31, 2024. |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)Centrally Cleared Inflation-linked swap contracts outstanding as of January 31, 2024 (amounts in thousands):
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CPI-U at termination | 2.28% at termination | Receive | 12/12/2028 | USD22,519 | — | 32 | 32 |
CPI-U at termination | 2.34% at termination | Receive | 1/5/2029 | USD4,323 | — | (3 ) | (3 ) |
CPI-U at termination | 2.36% at termination | Receive | 12/4/2028 | USD19,925 | — | (50 ) | (50 ) |
CPI-U at termination | 2.38% at termination | Receive | 12/4/2028 | USD53,116 | (3 ) | (157 ) | (160 ) |
CPI-U at termination | 2.41% at termination | Receive | 11/28/2028 | USD18,395 | — | (89 ) | (89 ) |
CPI-U at termination | 2.43% at termination | Receive | 11/17/2028 | USD30,580 | — | (166 ) | (166 ) |
CPI-U at termination | 2.48% at termination | Receive | 11/15/2028 | USD65,338 | — | (481 ) | (481 ) |
CPI-U at termination | 2.49% at termination | Receive | 9/5/2028 | USD44,365 | 28 | (239 ) | (211 ) |
CPI-U at termination | 2.50% at termination | Receive | 9/6/2028 | USD35,658 | — | (202 ) | (202 ) |
CPI-U at termination | 2.54% at termination | Receive | 11/15/2030 | USD48,193 | — | (430 ) | (430 ) |
CPI-U at termination | 2.56% at termination | Receive | 11/17/2033 | USD13,201 | — | (122 ) | (122 ) |
CPI-U at termination | 2.59% at termination | Receive | 7/24/2033 | USD12,390 | 20 | (123 ) | (103 ) |
CPI-U at termination | 2.60% at termination | Receive | 7/25/2033 | USD13,349 | 4 | (128 ) | (124 ) |
CPI-U at termination | 2.61% at termination | Receive | 7/24/2033 | USD12,522 | 2 | (122 ) | (120 ) |
CPI-U at termination | 2.68% at termination | Receive | 10/23/2028 | USD22,184 | (32 ) | (317 ) | (349 ) |
19 | (2,629 ) | (2,610 ) | |||||
19 | (2,597 ) | (2,578 ) |
Abbreviations | |
CPI-U | Consumer Price Index for All Urban Consumers |
USD | United States Dollar |
(a) | Value of floating rate index at January 31, 2024 was as follows: |
FLOATING RATE INDEX | VALUE |
CPI-U | 3.08% |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (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 Funds 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 Funds. 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.
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 | $— | $463,508 | $— | $463,508 |
Short-Term Investments | ||||
Investment Companies | 23,081 | — | — | 23,081 |
Total Investments in Securities | $23,081 | $463,508 | $— | $486,589 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Appreciation in Other Financial Instruments | ||||
Swaps | $— | $32 | $— | $32 |
Depreciation in Other Financial Instruments | ||||
Swaps | — | (2,629 ) | — | (2,629 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $— | $(2,597 ) | $— | $(2,597 ) |
B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund 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 January 31, 2024 | |||||||||
Security Description | Value at October 31, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at January 31, 2024 | Shares at January 31, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.57% (a) (b) | $35,872 | $72,111 | $84,906 | $3 | $1 | $23,081 | 23,079 | $204 | $— |
(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, 2024. |
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 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.
(1). 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.
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF January 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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.