UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21638
JPMorgan Institutional Trust
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 343-1113
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2023 through August 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
JPMorgan Core Bond Trust |
JPMorgan Intermediate Bond Trust |
1 | |
2 | |
3 | |
5 | |
7 | |
55 | |
58 | |
62 | |
73 | |
74 | |
75 |
October 19, 2023 (Unaudited)
“A properly diversified portfolio together with a long-term approach may help investors weather economic and geopolitical uncertainties.” — Brian S. Shlissel |
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
August 31, 2023 | JPMorgan Institutional Trust Funds | 1 |
SIX MONTHS ENDED August 31, 2023 (Unaudited)
2 | JPMorgan Institutional Trust Funds | August 31, 2023 |
SIX MONTHS ENDED August 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund * | 0.93% |
Bloomberg U.S. Aggregate Index | 0.95% |
Net Assets as of 8/31/2023 (In Thousands) | $2,097,760 |
Duration as of 8/31/2023 | 6.3 Years |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF August 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 26.7% |
Corporate Bonds | 23.3 |
Mortgage-Backed Securities | 21.2 |
Asset-Backed Securities | 14.5 |
Collateralized Mortgage Obligations | 5.8 |
Commercial Mortgage-Backed Securities | 4.3 |
Others (each less than 1.0%) | 1.4 |
Short-Term Investments | 2.8 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 3 |
SIX MONTHS ENDED August 31, 2023 (Unaudited) (continued)
INCEPTION DATE OF FUND | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | |
February 7, 2005 | 0.93 % | (0.68 )% | 1.26 % | 2.06 % |
* | Not annualized. |
4 | JPMorgan Institutional Trust Funds | August 31, 2023 |
SIX MONTHS ENDED August 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund * | 1.66% |
Bloomberg Intermediate U.S. Government/Credit Index | 1.71% |
Net Assets as of 8/31/2023 (In Thousands) | $82,894 |
Duration as of 8/31/2023 | 3.9 Years |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF August 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 34.1% |
Corporate Bonds | 25.3 |
Collateralized Mortgage Obligations | 11.9 |
Mortgage-Backed Securities | 10.2 |
Asset-Backed Securities | 9.3 |
Commercial Mortgage-Backed Securities | 6.3 |
Others (each less than 1.0%) | 0.3 |
Short-Term Investments | 2.6 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 5 |
SIX MONTHS ENDED August 31, 2023 (Unaudited) (continued)
INCEPTION DATE OF FUND | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | |
February 7, 2005 | 1.66 % | 0.84 % | 1.39 % | 1.83 % |
* | Not annualized. |
6 | JPMorgan Institutional Trust Funds | August 31, 2023 |
AS OF August 31, 2023 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — 26.8% | ||
U.S. Treasury Bonds | ||
1.13%, 5/15/2040 | 5,350 | 3,313 |
4.38%, 5/15/2040 | 11,000 | 11,133 |
3.88%, 8/15/2040 | 21,115 | 20,044 |
1.88%, 2/15/2041 | 7,095 | 4,924 |
2.25%, 5/15/2041 | 18,355 | 13,525 |
1.75%, 8/15/2041 | 980 | 658 |
2.00%, 11/15/2041 | 1,160 | 812 |
2.38%, 2/15/2042 | 48,290 | 35,925 |
2.75%, 11/15/2042 | 12,300 | 9,644 |
4.00%, 11/15/2042 | 4,400 | 4,175 |
3.63%, 8/15/2043 | 5,214 | 4,661 |
3.75%, 11/15/2043 | 238 | 216 |
3.00%, 11/15/2044 | 8,200 | 6,596 |
2.88%, 8/15/2045 | 2,795 | 2,187 |
2.25%, 8/15/2046 | 13,193 | 9,088 |
3.00%, 2/15/2047 | 548 | 436 |
3.13%, 5/15/2048 | 3,757 | 3,051 |
2.25%, 8/15/2049 | 8,965 | 6,099 |
2.38%, 11/15/2049 | 3,700 | 2,588 |
2.00%, 2/15/2050 | 5,329 | 3,412 |
1.25%, 5/15/2050 | 6,152 | 3,216 |
1.38%, 8/15/2050 | 565 | 305 |
1.63%, 11/15/2050 | 8,800 | 5,090 |
1.88%, 2/15/2051 | 18,387 | 11,343 |
2.00%, 8/15/2051 | 22,110 | 14,037 |
1.88%, 11/15/2051 | 7,225 | 4,439 |
2.25%, 2/15/2052 | 21,155 | 14,271 |
2.88%, 5/15/2052 | 2,025 | 1,572 |
U.S. Treasury Inflation Indexed Bonds | ||
1.75%, 1/15/2028 | 437 | 429 |
3.63%, 4/15/2028 | 1,507 | 1,605 |
2.50%, 1/15/2029 | 426 | 436 |
U.S. Treasury Notes | ||
0.88%, 9/30/2026 | 8,502 | 7,630 |
1.75%, 12/31/2026 | 9,369 | 8,588 |
2.63%, 5/31/2027 | 12,000 | 11,264 |
3.25%, 6/30/2027 | 12,000 | 11,520 |
2.75%, 7/31/2027 | 7,950 | 7,484 |
3.13%, 8/31/2027 | 43,850 | 41,842 |
0.38%, 9/30/2027 | 4,690 | 3,998 |
0.75%, 1/31/2028 | 4,500 | 3,860 |
1.25%, 3/31/2028 | 9,800 | 8,565 |
3.50%, 4/30/2028 | 50,370 | 48,698 |
1.25%, 6/30/2028 | 13,470 | 11,703 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
1.00%, 7/31/2028 | 9,500 | 8,130 |
4.13%, 7/31/2028 | 38,000 | 37,777 |
1.75%, 1/31/2029 | 3,850 | 3,385 |
1.88%, 2/28/2029 | 12,700 | 11,230 |
2.88%, 4/30/2029 | 30,400 | 28,295 |
2.75%, 5/31/2029 | 130 | 120 |
3.25%, 6/30/2029 | 30,000 | 28,451 |
1.50%, 2/15/2030 | 895 | 759 |
1.25%, 8/15/2031 | 1,040 | 840 |
1.38%, 11/15/2031 | 1,174 | 951 |
1.88%, 2/15/2032 | 27,100 | 22,778 |
2.88%, 5/15/2032 | 5,725 | 5,203 |
2.75%, 8/15/2032 | 26,425 | 23,720 |
3.38%, 5/15/2033 | 17,000 | 16,014 |
U.S. Treasury STRIPS Bonds | ||
2.00%, 8/15/2024 (a) | 6,895 | 6,561 |
8.27%, 5/15/2026 (a) | 1,500 | 1,326 |
3.94%, 8/15/2026 (a) | 1,592 | 1,395 |
2.54%, 11/15/2041 (a) | 500 | 219 |
Total U.S. Treasury Obligations (Cost $652,663) | 561,536 | |
Corporate Bonds — 23.4% | ||
Aerospace & Defense — 0.7% | ||
Airbus SE (France) 3.95%, 4/10/2047 (b) | 150 | 125 |
BAE Systems plc (United Kingdom) | ||
1.90%, 2/15/2031 (b) | 1,007 | 799 |
3.00%, 9/15/2050 (b) | 502 | 329 |
Boeing Co. (The) | ||
4.88%, 5/1/2025 | 605 | 597 |
2.75%, 2/1/2026 | 701 | 658 |
2.20%, 2/4/2026 | 1,385 | 1,278 |
3.10%, 5/1/2026 | 320 | 301 |
5.04%, 5/1/2027 | 960 | 950 |
3.25%, 3/1/2028 | 840 | 766 |
5.15%, 5/1/2030 | 1,540 | 1,515 |
5.71%, 5/1/2040 | 745 | 724 |
L3Harris Technologies, Inc. 5.40%, 7/31/2033 | 1,082 | 1,084 |
Leidos, Inc. | ||
2.30%, 2/15/2031 | 465 | 368 |
5.75%, 3/15/2033 | 630 | 626 |
RTX Corp. | ||
5.15%, 2/27/2033 | 934 | 923 |
4.50%, 6/1/2042 | 2,799 | 2,441 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 7 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Aerospace & Defense — continued | ||
4.15%, 5/15/2045 | 543 | 442 |
4.35%, 4/15/2047 | 199 | 168 |
14,094 | ||
Automobile Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 445 | 347 |
Automobiles — 0.2% | ||
Hyundai Capital America | ||
1.80%, 10/15/2025 (b) | 490 | 452 |
1.30%, 1/8/2026 (b) | 425 | 385 |
1.50%, 6/15/2026 (b) | 775 | 693 |
3.00%, 2/10/2027 (b) | 355 | 325 |
2.38%, 10/15/2027 (b) | 530 | 464 |
1.80%, 1/10/2028 (b) | 805 | 681 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | 785 | 615 |
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | 378 | 326 |
3,941 | ||
Banks — 5.7% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | 800 | 675 |
AIB Group plc (Ireland) (SOFR + 3.46%), 7.58%, 10/14/2026 (b) (c) | 1,955 | 2,003 |
ANZ New Zealand Int'l Ltd. (New Zealand) | ||
5.36%, 8/14/2028 (b) | 1,070 | 1,066 |
2.55%, 2/13/2030 (b) | 778 | 654 |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d) | 263 | 253 |
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b) | 1,250 | 995 |
Banco Santander SA (Spain) | ||
5.15%, 8/18/2025 | 400 | 393 |
1.85%, 3/25/2026 | 1,000 | 903 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | 200 | 176 |
5.59%, 8/8/2028 | 3,000 | 2,973 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (c) | 1,700 | 1,591 |
(SOFR + 1.58%), 4.38%, 4/27/2028 (c) | 1,500 | 1,440 |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (c) | 2,926 | 2,683 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (c) | 1,890 | 1,861 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
(SOFR + 2.15%), 2.59%, 4/29/2031 (c) | 1,510 | 1,256 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (c) | 1,120 | 898 |
(SOFR + 1.33%), 2.97%, 2/4/2033 (c) | 435 | 358 |
(SOFR + 1.91%), 5.29%, 4/25/2034 (c) | 2,000 | 1,952 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | 3,685 | 2,537 |
Bank of Ireland Group plc (Ireland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (b) (c) | 1,343 | 1,340 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | 755 | 664 |
Bank of Nova Scotia (The) (Canada) 4.85%, 2/1/2030 | 1,650 | 1,597 |
Banque Federative du Credit Mutuel SA (France) | ||
2.38%, 11/21/2024 (b) | 813 | 780 |
5.90%, 7/13/2026 (b) | 1,640 | 1,645 |
5.79%, 7/13/2028 (b) | 2,405 | 2,416 |
Barclays plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c) | 1,452 | 1,432 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | 585 | 457 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | 832 | 777 |
(SOFR + 1.00%), 1.32%, 1/13/2027 (b) (c) | 323 | 290 |
(SOFR + 1.56%), 3.13%, 1/20/2033 (b) (c) | 765 | 624 |
BPCE SA (France) | ||
4.63%, 7/11/2024 (b) | 800 | 786 |
1.00%, 1/20/2026 (b) | 2,205 | 1,977 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | 690 | 627 |
3.38%, 12/2/2026 | 400 | 372 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | 730 | 564 |
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (c) | 1,200 | 928 |
Citigroup, Inc. | ||
4.40%, 6/10/2025 | 865 | 843 |
4.30%, 11/20/2026 | 1,200 | 1,153 |
6.63%, 1/15/2028 | 250 | 264 |
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c) | 1,573 | 1,463 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (c) | 885 | 702 |
(SOFR + 1.35%), 3.06%, 1/25/2033 (c) | 719 | 593 |
(SOFR + 1.38%), 2.90%, 11/3/2042 (c) | 298 | 205 |
8 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) (d) | 525 | 357 |
Cooperatieve Rabobank UA (Netherlands) | ||
4.38%, 8/4/2025 | 783 | 759 |
3.75%, 7/21/2026 | 945 | 887 |
Credit Agricole SA (France) | ||
4.38%, 3/17/2025 (b) | 1,250 | 1,211 |
(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) | 500 | 465 |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | 2,500 | 2,241 |
2.81%, 1/11/2041 (b) | 470 | 306 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (c) | 705 | 705 |
Discover Bank 4.25%, 3/13/2026 | 1,205 | 1,146 |
Federation des Caisses Desjardins du Quebec (Canada) 5.70%, 3/14/2028 (b) | 1,280 | 1,282 |
HSBC Holdings plc (United Kingdom) | ||
3.90%, 5/25/2026 | 200 | 190 |
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c) | 939 | 906 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | 550 | 489 |
(3-MONTH CME TERM SOFR + 1.81%), 4.04%, 3/13/2028 (c) | 904 | 849 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | 1,215 | 1,044 |
(SOFR + 3.35%), 7.39%, 11/3/2028 (c) | 1,460 | 1,534 |
(SOFR + 1.29%), 2.21%, 8/17/2029 (c) | 815 | 683 |
(SOFR + 1.95%), 2.36%, 8/18/2031 (c) | 1,160 | 919 |
6.10%, 1/14/2042 | 700 | 733 |
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | 705 | 634 |
Lloyds Banking Group plc (United Kingdom) | ||
4.58%, 12/10/2025 | 400 | 385 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c) | 770 | 740 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | 980 | 874 |
4.38%, 3/22/2028 | 475 | 450 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | 940 | 838 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.24%, 4/19/2029 (c) | 945 | 933 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.63%), 5.44%, 2/22/2034 (c) | 880 | 871 |
3.75%, 7/18/2039 | 760 | 628 |
Mizuho Financial Group, Inc. (Japan) | ||
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (c) | 875 | 818 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | 1,057 | 936 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (c) | 1,550 | 1,553 |
(3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (c) | 720 | 610 |
National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (c) (d) | 1,025 | 887 |
NatWest Group plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) | 1,480 | 1,463 |
4.80%, 4/5/2026 | 2,010 | 1,957 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | 670 | 690 |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | 690 | 658 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c) | 900 | 859 |
(ICE LIBOR USD 3 Month + 1.87%), 4.45%, 5/8/2030 (c) | 1,240 | 1,138 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.02%, 3/2/2034 (c) | 905 | 901 |
NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b) | 435 | 384 |
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b) | 865 | 857 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 2.75%), 6.83%, 11/21/2026 (c) | 3,355 | 3,397 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | 2,100 | 2,117 |
Societe Generale SA (France) | ||
5.00%, 1/17/2024 (b) | 370 | 367 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) | 3,947 | 3,537 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 9 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | 395 | 350 |
3.00%, 1/22/2030 (b) | 235 | 196 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c) | 1,915 | 1,507 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (c) | 755 | 503 |
Standard Chartered plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (c) | 570 | 543 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | 485 | 434 |
(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (c) | 200 | 182 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
2.63%, 7/14/2026 | 872 | 805 |
5.52%, 1/13/2028 | 1,480 | 1,479 |
3.04%, 7/16/2029 | 1,315 | 1,148 |
5.71%, 1/13/2030 | 1,480 | 1,488 |
Toronto-Dominion Bank (The) (Canada) | ||
5.53%, 7/17/2026 | 1,305 | 1,308 |
5.16%, 1/10/2028 | 600 | 594 |
5.52%, 7/17/2028 | 490 | 492 |
Truist Financial Corp. | ||
4.00%, 5/1/2025 | 265 | 257 |
(SOFR + 2.05%), 6.05%, 6/8/2027 (c) | 720 | 720 |
(SOFR + 1.85%), 5.12%, 1/26/2034 (c) | 765 | 718 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (c) | 905 | 830 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | 665 | 591 |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | 200 | 184 |
(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (b) (c) | 300 | 289 |
Wells Fargo & Co. | ||
(SOFR + 1.74%), 5.57%, 7/25/2029 (c) | 4,000 | 3,983 |
(SOFR + 1.99%), 5.56%, 7/25/2034 (c) | 2,355 | 2,324 |
4.65%, 11/4/2044 | 1,180 | 976 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
4.40%, 6/14/2046 | 300 | 238 |
Wells Fargo Bank NA 5.45%, 8/7/2026 | 2,680 | 2,688 |
Westpac Banking Corp. (Australia) 3.13%, 11/18/2041 (d) | 882 | 576 |
118,757 | ||
Beverages — 0.3% | ||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | 2,583 | 2,472 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044 | 70 | 63 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.44%, 10/6/2048 | 780 | 683 |
Coca-Cola Femsa SAB de CV (Mexico) | ||
2.75%, 1/22/2030 | 357 | 310 |
1.85%, 9/1/2032 | 675 | 517 |
Constellation Brands, Inc. | ||
4.75%, 5/9/2032 | 300 | 288 |
5.25%, 11/15/2048 | 220 | 205 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 1,047 | 830 |
5,368 | ||
Biotechnology — 0.5% | ||
AbbVie, Inc. | ||
4.05%, 11/21/2039 | 4,909 | 4,208 |
4.63%, 10/1/2042 | 480 | 426 |
4.40%, 11/6/2042 | 790 | 690 |
4.45%, 5/14/2046 | 190 | 164 |
Amgen, Inc. | ||
5.25%, 3/2/2033 | 1,535 | 1,527 |
4.66%, 6/15/2051 | 1,300 | 1,121 |
3.00%, 1/15/2052 | 845 | 550 |
5.65%, 3/2/2053 | 825 | 818 |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | 1,225 | 856 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 1,270 | 1,011 |
11,371 | ||
Broadline Retail — 0.0% ^ | ||
Amazon.com, Inc. 3.88%, 8/22/2037 | 1,100 | 990 |
Building Products — 0.1% | ||
Masco Corp. | ||
2.00%, 10/1/2030 | 340 | 269 |
10 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Building Products — continued | ||
6.50%, 8/15/2032 | 600 | 612 |
Trane Technologies Financing Ltd. 5.25%, 3/3/2033 | 650 | 649 |
1,530 | ||
Capital Markets — 2.0% | ||
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | 429 | 336 |
Brookfield Finance, Inc. (Canada) | ||
3.90%, 1/25/2028 | 337 | 315 |
4.85%, 3/29/2029 | 411 | 393 |
4.70%, 9/20/2047 | 88 | 72 |
Credit Suisse AG (Switzerland) | ||
3.63%, 9/9/2024 | 402 | 391 |
7.95%, 1/9/2025 | 1,718 | 1,752 |
1.25%, 8/7/2026 | 2,095 | 1,835 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 1,225 | 1,223 |
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) | 1,780 | 1,615 |
(SOFR + 2.52%), 7.15%, 7/13/2027 (c) | 645 | 655 |
(SOFR + 1.32%), 2.55%, 1/7/2028 (c) | 1,300 | 1,149 |
(SOFR + 3.18%), 6.72%, 1/18/2029 (c) | 445 | 451 |
FMR LLC 6.45%, 11/15/2039 (b) | 500 | 509 |
Goldman Sachs Group, Inc. (The) | ||
4.25%, 10/21/2025 | 1,415 | 1,373 |
(SOFR + 1.08%), 5.80%, 8/10/2026 (c) | 1,200 | 1,196 |
3.50%, 11/16/2026 | 469 | 441 |
(SOFR + 0.80%), 1.43%, 3/9/2027 (c) | 2,900 | 2,600 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (c) | 780 | 694 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | 1,260 | 1,140 |
(SOFR + 1.09%), 1.99%, 1/27/2032 (c) | 880 | 685 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (c) | 1,000 | 809 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (c) | 2,255 | 1,783 |
6.75%, 10/1/2037 | 685 | 726 |
Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | 749 | 765 |
Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) (c) (d) | 575 | 439 |
Macquarie Group Ltd. (Australia) | ||
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | 510 | 458 |
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (c) | 700 | 682 |
Morgan Stanley | ||
3.63%, 1/20/2027 | 2,470 | 2,334 |
(SOFR + 1.59%), 5.16%, 4/20/2029 (c) | 1,975 | 1,937 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Capital Markets — continued | ||
(SOFR + 1.63%), 5.45%, 7/20/2029 (c) | 1,965 | 1,954 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) | 1,740 | 1,338 |
(SOFR + 1.88%), 5.42%, 7/21/2034 (c) | 1,820 | 1,790 |
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c) | 1,265 | 1,114 |
4.30%, 1/27/2045 | 485 | 412 |
Nasdaq, Inc. 5.55%, 2/15/2034 | 450 | 449 |
Nomura Holdings, Inc. (Japan) | ||
2.65%, 1/16/2025 | 1,094 | 1,045 |
2.68%, 7/16/2030 | 700 | 568 |
UBS Group AG (Switzerland) | ||
(SOFR + 1.56%), 2.59%, 9/11/2025 (b) (c) | 691 | 666 |
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | 490 | 456 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (b) (c) | 900 | 904 |
4.28%, 1/9/2028 (b) | 1,162 | 1,087 |
(ICE LIBOR USD 3 Month + 1.41%), 3.87%, 1/12/2029 (b) (c) | 1,200 | 1,103 |
41,644 | ||
Chemicals — 0.1% | ||
Albemarle Corp. 5.45%, 12/1/2044 | 150 | 136 |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 980 | 961 |
International Flavors & Fragrances, Inc. 5.00%, 9/26/2048 | 365 | 290 |
Nutrien Ltd. (Canada) | ||
4.20%, 4/1/2029 | 175 | 165 |
4.13%, 3/15/2035 | 455 | 395 |
5.00%, 4/1/2049 | 230 | 200 |
Union Carbide Corp. 7.75%, 10/1/2096 | 850 | 961 |
3,108 | ||
Commercial Services & Supplies — 0.0% ^ | ||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | 365 | 218 |
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 1,440 | 1,215 |
2.35%, 1/15/2032 | 1,095 | 866 |
2,081 | ||
Construction Materials — 0.1% | ||
CRH America, Inc. (Ireland) | ||
3.88%, 5/18/2025 (b) | 417 | 404 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 11 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Construction Materials — continued | ||
5.13%, 5/18/2045 (b) | 893 | 795 |
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | 770 | 722 |
1,921 | ||
Consumer Finance — 1.1% | ||
AerCap Ireland Capital DAC (Ireland) | ||
2.88%, 8/14/2024 | 600 | 582 |
6.50%, 7/15/2025 | 246 | 247 |
1.75%, 1/30/2026 | 860 | 778 |
2.45%, 10/29/2026 | 560 | 504 |
3.00%, 10/29/2028 | 690 | 598 |
3.30%, 1/30/2032 | 655 | 532 |
American Express Co. 5.85%, 11/5/2027 | 1,470 | 1,502 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.25%, 5/15/2024 (b) | 1,540 | 1,520 |
2.88%, 2/15/2025 (b) | 450 | 425 |
5.50%, 1/15/2026 (b) | 1,000 | 973 |
2.13%, 2/21/2026 (b) | 620 | 557 |
4.25%, 4/15/2026 (b) | 1,200 | 1,132 |
4.38%, 5/1/2026 (b) | 820 | 773 |
2.53%, 11/18/2027 (b) | 7,294 | 6,227 |
Capital One Financial Corp. | ||
4.20%, 10/29/2025 | 250 | 240 |
(SOFR + 2.64%), 6.31%, 6/8/2029 (c) | 780 | 779 |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) | 920 | 701 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 470 | 446 |
3.80%, 4/7/2025 | 685 | 662 |
1.25%, 1/8/2026 | 1,781 | 1,602 |
2.35%, 1/8/2031 | 520 | 404 |
2.70%, 6/10/2031 | 1,340 | 1,056 |
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (b) | 1,626 | 1,615 |
23,855 | ||
Consumer Staples Distribution & Retail — 0.2% | ||
7-Eleven, Inc. | ||
1.80%, 2/10/2031 (b) | 560 | 439 |
2.50%, 2/10/2041 (b) | 574 | 371 |
Alimentation Couche-Tard, Inc. (Canada) 3.63%, 5/13/2051 (b) | 1,420 | 935 |
CVS Pass-Through Trust | ||
5.93%, 1/10/2034 (b) | 701 | 661 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Consumer Staples Distribution & Retail — continued | ||
Series 2013, 4.70%, 1/10/2036 (b) | 549 | 505 |
Kroger Co. (The) 5.00%, 4/15/2042 | 1,100 | 982 |
3,893 | ||
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | 1,246 | 1,117 |
Packaging Corp. of America 4.05%, 12/15/2049 | 845 | 655 |
WRKCo, Inc. | ||
3.75%, 3/15/2025 | 400 | 388 |
3.90%, 6/1/2028 | 170 | 158 |
2,318 | ||
Diversified Consumer Services — 0.1% | ||
Pepperdine University Series 2020, 3.30%, 12/1/2059 | 600 | 399 |
University of Miami Series 2022, 4.06%, 4/1/2052 | 480 | 394 |
University of Southern California Series A, 3.23%, 10/1/2120 | 570 | 333 |
1,126 | ||
Diversified REITs — 0.2% | ||
Safehold GL Holdings LLC 2.80%, 6/15/2031 | 2,940 | 2,264 |
WP Carey, Inc. | ||
4.25%, 10/1/2026 | 350 | 336 |
2.25%, 4/1/2033 | 1,180 | 877 |
3,477 | ||
Diversified Telecommunication Services — 0.4% | ||
AT&T, Inc. | ||
1.65%, 2/1/2028 | 250 | 214 |
2.75%, 6/1/2031 | 1,900 | 1,570 |
3.50%, 6/1/2041 | 1,646 | 1,207 |
3.55%, 9/15/2055 | 2,984 | 1,947 |
Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) | 335 | 244 |
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) | 232 | 208 |
Sprint Capital Corp. 6.88%, 11/15/2028 | 591 | 624 |
Verizon Communications, Inc. | ||
2.65%, 11/20/2040 | 988 | 660 |
3.40%, 3/22/2041 | 1,060 | 787 |
3.70%, 3/22/2061 | 1,045 | 712 |
8,173 |
12 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — 2.3% | ||
Alabama Power Co. 6.13%, 5/15/2038 | 239 | 251 |
Arizona Public Service Co. 5.05%, 9/1/2041 | 200 | 178 |
Baltimore Gas and Electric Co. | ||
3.50%, 8/15/2046 | 376 | 275 |
2.90%, 6/15/2050 | 450 | 288 |
Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 129 | 109 |
Duke Energy Corp. 3.75%, 9/1/2046 | 985 | 721 |
Duke Energy Florida LLC 5.95%, 11/15/2052 | 1,414 | 1,476 |
Duke Energy Progress LLC | ||
4.10%, 5/15/2042 | 273 | 225 |
4.10%, 3/15/2043 | 125 | 102 |
2.90%, 8/15/2051 | 820 | 522 |
Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b) | 750 | 680 |
Edison International 6.95%, 11/15/2029 | 1,020 | 1,075 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 700 | 548 |
Entergy Arkansas LLC 2.65%, 6/15/2051 | 415 | 248 |
Entergy Corp. 2.95%, 9/1/2026 | 336 | 312 |
Entergy Louisiana LLC | ||
3.05%, 6/1/2031 | 629 | 540 |
2.90%, 3/15/2051 | 490 | 306 |
Entergy Texas, Inc. 5.80%, 9/1/2053 | 450 | 453 |
Evergy Metro, Inc. 5.30%, 10/1/2041 | 1,400 | 1,344 |
Evergy, Inc. 2.90%, 9/15/2029 | 985 | 857 |
Exelon Corp. 5.30%, 3/15/2033 | 1,000 | 987 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 2,405 | 2,199 |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | 240 | 194 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 500 | 464 |
ITC Holdings Corp. | ||
4.95%, 9/22/2027 (b) | 1,565 | 1,540 |
2.95%, 5/14/2030 (b) | 440 | 376 |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) | 560 | 543 |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | 315 | 298 |
Nevada Power Co. | ||
Series N, 6.65%, 4/1/2036 | 100 | 106 |
5.45%, 5/15/2041 | 305 | 289 |
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025 | 2,160 | 2,165 |
Niagara Mohawk Power Corp. | ||
3.51%, 10/1/2024 (b) | 493 | 478 |
1.96%, 6/27/2030 (b) | 1,000 | 794 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Electric Utilities — continued | ||
NRG Energy, Inc. | ||
2.00%, 12/2/2025 (b) | 710 | 645 |
2.45%, 12/2/2027 (b) | 795 | 675 |
4.45%, 6/15/2029 (b) | 615 | 546 |
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | 110 | 113 |
Pacific Gas and Electric Co. | ||
3.45%, 7/1/2025 | 795 | 755 |
2.95%, 3/1/2026 | 2,560 | 2,362 |
6.40%, 6/15/2033 | 710 | 700 |
4.20%, 6/1/2041 | 695 | 503 |
3.75%, 8/15/2042 (e) | 308 | 206 |
4.30%, 3/15/2045 | 525 | 367 |
PacifiCorp 5.50%, 5/15/2054 | 74 | 66 |
PECO Energy Co. 2.80%, 6/15/2050 | 410 | 260 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | 150 | 137 |
Pepco Holdings LLC 7.45%, 8/15/2032 | 316 | 337 |
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 | 1,360 | 1,363 |
PG&E Wildfire Recovery Funding LLC | ||
Series A-2, 4.26%, 6/1/2036 | 640 | 595 |
Series A-4, 5.21%, 12/1/2047 | 420 | 405 |
Series A-5, 5.10%, 6/1/2052 | 795 | 767 |
Potomac Electric Power Co. 6.50%, 11/15/2037 | 1,085 | 1,184 |
PPL Electric Utilities Corp. 5.25%, 5/15/2053 | 890 | 864 |
Progress Energy, Inc. 7.00%, 10/30/2031 | 300 | 324 |
Public Service Co. of Colorado 3.55%, 6/15/2046 | 214 | 148 |
Public Service Co. of Oklahoma | ||
5.25%, 1/15/2033 | 970 | 952 |
Series G, 6.63%, 11/15/2037 | 2,490 | 2,618 |
Public Service Electric and Gas Co. 5.38%, 11/1/2039 | 317 | 301 |
SCE Recovery Funding LLC | ||
Series A-1, 4.70%, 6/15/2040 | 1,060 | 1,025 |
Series A-2, 5.11%, 12/15/2047 | 505 | 477 |
Sigeco Securitization I LLC | ||
Series A1, 5.03%, 11/15/2036 | 923 | 909 |
Series A2, 5.17%, 5/15/2041 | 107 | 102 |
Southern California Edison Co. | ||
5.85%, 11/1/2027 | 1,695 | 1,735 |
Series B, 3.65%, 3/1/2028 | 400 | 374 |
Series 08-A, 5.95%, 2/1/2038 | 200 | 203 |
4.05%, 3/15/2042 | 552 | 436 |
5.88%, 12/1/2053 | 1,566 | 1,558 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 13 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Southwestern Public Service Co. 4.50%, 8/15/2041 | 200 | 168 |
Toledo Edison Co. (The) 6.15%, 5/15/2037 | 300 | 310 |
Virginia Electric and Power Co. 5.70%, 8/15/2053 | 2,120 | 2,104 |
47,537 | ||
Electrical Equipment — 0.0% ^ | ||
Eaton Corp. 4.15%, 3/15/2033 | 170 | 160 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. | ||
3.25%, 9/8/2024 | 219 | 213 |
3.88%, 1/12/2028 | 442 | 409 |
Corning, Inc. 3.90%, 11/15/2049 | 1,043 | 783 |
1,405 | ||
Energy Equipment & Services — 0.1% | ||
Halliburton Co. 4.75%, 8/1/2043 | 540 | 466 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b) | 1,126 | 1,068 |
1,534 | ||
Entertainment — 0.0% ^ | ||
Activision Blizzard, Inc. 1.35%, 9/15/2030 | 842 | 673 |
Walt Disney Co. (The) 6.20%, 12/15/2034 | 100 | 108 |
781 | ||
Financial Services — 0.2% | ||
Corebridge Financial, Inc. | ||
3.65%, 4/5/2027 | 770 | 724 |
3.85%, 4/5/2029 | 545 | 499 |
Fiserv, Inc. | ||
3.20%, 7/1/2026 | 395 | 372 |
4.40%, 7/1/2049 | 375 | 307 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 945 | 823 |
5.30%, 8/15/2029 | 371 | 362 |
2.90%, 5/15/2030 | 273 | 231 |
2.90%, 11/15/2031 | 522 | 428 |
Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b) | 1,000 | 876 |
Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b) | 513 | 458 |
5,080 | ||
Food Products — 0.2% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 1,565 | 1,309 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Food Products — continued | ||
Campbell Soup Co. 3.13%, 4/24/2050 | 315 | 205 |
Conagra Brands, Inc. 5.30%, 11/1/2038 | 220 | 203 |
Kellogg Co. 5.25%, 3/1/2033 | 1,109 | 1,096 |
Kraft Heinz Foods Co. | ||
4.63%, 10/1/2039 | 850 | 749 |
4.38%, 6/1/2046 | 629 | 520 |
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) | 1,500 | 1,179 |
5,261 | ||
Gas Utilities — 0.2% | ||
Atmos Energy Corp. | ||
4.15%, 1/15/2043 | 828 | 693 |
4.13%, 10/15/2044 | 125 | 103 |
Boston Gas Co. 4.49%, 2/15/2042 (b) | 308 | 248 |
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) | 440 | 324 |
Southern California Gas Co. 6.35%, 11/15/2052 | 1,370 | 1,470 |
Southern Natural Gas Co. LLC | ||
8.00%, 3/1/2032 | 351 | 396 |
4.80%, 3/15/2047 (b) | 367 | 298 |
3,532 | ||
Ground Transportation — 0.3% | ||
Burlington Northern Santa Fe LLC | ||
5.75%, 5/1/2040 | 425 | 444 |
4.38%, 9/1/2042 | 375 | 329 |
5.15%, 9/1/2043 | 769 | 747 |
3.55%, 2/15/2050 | 465 | 356 |
Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048 | 712 | 625 |
CSX Corp. | ||
4.10%, 3/15/2044 | 190 | 158 |
3.35%, 9/15/2049 | 95 | 67 |
Norfolk Southern Corp. 4.05%, 8/15/2052 | 600 | 476 |
Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (b) | 1,220 | 1,221 |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b) | 1,105 | 1,058 |
5,481 | ||
Health Care Equipment & Supplies — 0.1% | ||
Abbott Laboratories 4.75%, 11/30/2036 | 380 | 377 |
Becton Dickinson & Co. 4.67%, 6/6/2047 | 365 | 324 |
Boston Scientific Corp. 6.50%, 11/15/2035 (e) | 900 | 977 |
DH Europe Finance II SARL 3.25%, 11/15/2039 | 1,000 | 794 |
2,472 |
14 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Health Care Providers & Services — 0.8% | ||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | 710 | 588 |
Aetna, Inc. 6.75%, 12/15/2037 | 440 | 480 |
Ascension Health Series B, 2.53%, 11/15/2029 | 430 | 372 |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | 800 | 546 |
Children's Hospital Series 2020, 2.93%, 7/15/2050 | 650 | 411 |
Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 | 580 | 361 |
CommonSpirit Health | ||
1.55%, 10/1/2025 | 555 | 511 |
2.78%, 10/1/2030 | 550 | 462 |
3.91%, 10/1/2050 | 545 | 410 |
CVS Health Corp. | ||
4.30%, 3/25/2028 | 171 | 164 |
5.25%, 2/21/2033 | 1,400 | 1,369 |
5.05%, 3/25/2048 | 1,750 | 1,535 |
Elevance Health, Inc. | ||
4.63%, 5/15/2042 | 500 | 444 |
4.65%, 1/15/2043 | 535 | 475 |
4.65%, 8/15/2044 | 100 | 87 |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | 1,430 | 972 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 1,680 | 1,660 |
5.13%, 6/15/2039 | 725 | 658 |
5.50%, 6/15/2047 | 650 | 592 |
3.50%, 7/15/2051 | 414 | 276 |
Mayo Clinic Series 2016, 4.13%, 11/15/2052 | 225 | 191 |
Memorial Health Services 3.45%, 11/1/2049 | 1,340 | 972 |
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 | 200 | 165 |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | 310 | 213 |
Texas Health Resources 4.33%, 11/15/2055 | 300 | 255 |
UnitedHealth Group, Inc. | ||
3.50%, 8/15/2039 | 815 | 665 |
3.25%, 5/15/2051 | 560 | 398 |
5.88%, 2/15/2053 | 650 | 695 |
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | 780 | 452 |
16,379 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Health Care REITs — 0.2% | ||
Healthcare Realty Holdings LP | ||
3.10%, 2/15/2030 | 1,604 | 1,366 |
2.00%, 3/15/2031 | 610 | 470 |
Healthpeak OP LLC | ||
3.40%, 2/1/2025 | 17 | 17 |
3.50%, 7/15/2029 | 772 | 693 |
Physicians Realty LP 2.63%, 11/1/2031 | 505 | 392 |
Sabra Health Care LP 3.20%, 12/1/2031 | 825 | 630 |
Ventas Realty LP | ||
3.50%, 2/1/2025 | 242 | 233 |
4.13%, 1/15/2026 | 114 | 110 |
3.25%, 10/15/2026 | 292 | 270 |
3.85%, 4/1/2027 | 554 | 519 |
Welltower OP LLC 6.50%, 3/15/2041 | 350 | 358 |
5,058 | ||
Hotels, Restaurants & Leisure — 0.1% | ||
McDonald's Corp. | ||
4.70%, 12/9/2035 | 700 | 669 |
5.45%, 8/14/2053 | 1,060 | 1,061 |
1,730 | ||
Household Durables — 0.0% ^ | ||
MDC Holdings, Inc. 3.97%, 8/6/2061 | 1,100 | 644 |
Independent Power and Renewable Electricity Producers — 0.2% | ||
Alexander Funding Trust 1.84%, 11/15/2023 (b) | 1,000 | 990 |
Alexander Funding Trust II 7.47%, 7/31/2028 (b) | 1,280 | 1,296 |
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 1,269 | 1,293 |
5.75%, 10/1/2041 | 235 | 224 |
3,803 | ||
Industrial REITs — 0.0% ^ | ||
Prologis LP | ||
2.88%, 11/15/2029 | 380 | 333 |
3.00%, 4/15/2050 | 905 | 595 |
928 | ||
Insurance — 0.8% | ||
AIA Group Ltd. (Hong Kong) | ||
3.60%, 4/9/2029 (b) | 445 | 411 |
3.20%, 9/16/2040 (b) | 520 | 373 |
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) | 520 | 553 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 15 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Insurance — continued | ||
Athene Global Funding | ||
2.50%, 1/14/2025 (b) | 239 | 226 |
1.45%, 1/8/2026 (b) | 865 | 771 |
2.95%, 11/12/2026 (b) | 3,475 | 3,142 |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | 845 | 673 |
Brown & Brown, Inc. 2.38%, 3/15/2031 | 1,830 | 1,463 |
F&G Global Funding 1.75%, 6/30/2026 (b) | 750 | 667 |
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) | 208 | 167 |
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 | 500 | 393 |
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | 400 | 316 |
Liberty Mutual Group, Inc. | ||
4.57%, 2/1/2029 (b) | 408 | 394 |
3.95%, 10/15/2050 (b) | 900 | 641 |
Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b) | 100 | 102 |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | 795 | 680 |
Pacific Life Global Funding II 5.50%, 8/28/2026 (b) | 1,015 | 1,018 |
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (c) | 266 | 199 |
Pricoa Global Funding I 5.55%, 8/28/2026 (b) | 900 | 907 |
Prudential Financial, Inc. 3.91%, 12/7/2047 | 300 | 233 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | 1,750 | 1,806 |
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (c) | 600 | 567 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) | 400 | 324 |
16,026 | ||
Interactive Media & Services — 0.1% | ||
Meta Platforms, Inc. 5.60%, 5/15/2053 | 1,350 | 1,356 |
IT Services — 0.1% | ||
CGI, Inc. (Canada) | ||
1.45%, 9/14/2026 | 843 | 746 |
2.30%, 9/14/2031 | 1,515 | 1,177 |
1,923 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Machinery — 0.2% | ||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | 450 | 426 |
Otis Worldwide Corp. | ||
5.25%, 8/16/2028 | 1,280 | 1,288 |
2.57%, 2/15/2030 | 1,430 | 1,223 |
Parker-Hannifin Corp. 4.45%, 11/21/2044 | 592 | 509 |
3,446 | ||
Media — 0.6% | ||
Charter Communications Operating LLC | ||
4.20%, 3/15/2028 | 2,000 | 1,863 |
6.38%, 10/23/2035 | 528 | 512 |
4.80%, 3/1/2050 | 1,475 | 1,093 |
3.70%, 4/1/2051 | 1,120 | 696 |
Comcast Corp. | ||
3.25%, 11/1/2039 | 1,715 | 1,321 |
3.45%, 2/1/2050 | 609 | 444 |
2.89%, 11/1/2051 | 1,086 | 696 |
5.35%, 5/15/2053 | 1,095 | 1,071 |
2.94%, 11/1/2056 | 1,729 | 1,076 |
2.99%, 11/1/2063 | 259 | 157 |
Cox Communications, Inc. 2.95%, 10/1/2050 (b) | 635 | 377 |
Discovery Communications LLC | ||
5.20%, 9/20/2047 | 175 | 142 |
4.00%, 9/15/2055 | 784 | 511 |
Paramount Global | ||
2.90%, 1/15/2027 | 792 | 714 |
4.85%, 7/1/2042 | 140 | 102 |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | 700 | 780 |
Time Warner Cable LLC | ||
6.55%, 5/1/2037 | 400 | 380 |
5.50%, 9/1/2041 | 359 | 295 |
12,230 | ||
Metals & Mining — 0.1% | ||
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | 295 | 308 |
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 2,500 | 2,297 |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 675 | 590 |
3,195 | ||
Multi-Utilities — 0.2% | ||
CMS Energy Corp. 3.00%, 5/15/2026 | 475 | 446 |
Consolidated Edison Co. of New York, Inc. 6.15%, 11/15/2052 | 1,090 | 1,168 |
Delmarva Power & Light Co. 4.00%, 6/1/2042 | 235 | 182 |
16 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
Dominion Energy, Inc. Series F, 5.25%, 8/1/2033 | 920 | 887 |
NiSource, Inc. 1.70%, 2/15/2031 | 740 | 572 |
San Diego Gas & Electric Co. | ||
3.95%, 11/15/2041 | 379 | 288 |
2.95%, 8/15/2051 | 1,050 | 685 |
Southern Co. Gas Capital Corp. | ||
3.25%, 6/15/2026 | 254 | 240 |
Series 21A, 3.15%, 9/30/2051 | 420 | 271 |
4,739 | ||
Office REITs — 0.1% | ||
Alexandria Real Estate Equities, Inc. | ||
3.80%, 4/15/2026 | 135 | 130 |
2.00%, 5/18/2032 | 980 | 743 |
4.00%, 2/1/2050 | 653 | 489 |
Corporate Office Properties LP 2.00%, 1/15/2029 | 335 | 264 |
1,626 | ||
Oil, Gas & Consumable Fuels — 1.3% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | 335 | 301 |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | 732 | 698 |
BP Capital Markets America, Inc. 2.94%, 6/4/2051 | 1,995 | 1,302 |
Buckeye Partners LP 5.85%, 11/15/2043 | 770 | 598 |
Cameron LNG LLC 3.70%, 1/15/2039 (b) | 961 | 773 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 935 | 889 |
DT Midstream, Inc. 4.30%, 4/15/2032 (b) | 900 | 787 |
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | 807 | 563 |
Ecopetrol SA (Colombia) 4.13%, 1/16/2025 | 533 | 515 |
Enbridge, Inc. (Canada) 5.70%, 3/8/2033 | 1,090 | 1,090 |
Energy Transfer LP | ||
4.75%, 1/15/2026 | 917 | 898 |
3.90%, 7/15/2026 | 244 | 233 |
5.50%, 6/1/2027 | 115 | 114 |
4.95%, 5/15/2028 | 325 | 316 |
4.15%, 9/15/2029 | 1,444 | 1,328 |
6.10%, 2/15/2042 | 400 | 376 |
5.30%, 4/1/2044 | 170 | 145 |
6.25%, 4/15/2049 | 800 | 766 |
Eni SpA (Italy) 5.70%, 10/1/2040 (b) | 925 | 834 |
Exxon Mobil Corp. | ||
3.00%, 8/16/2039 | 895 | 689 |
3.57%, 3/6/2045 | 1,215 | 948 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Oil, Gas & Consumable Fuels — continued | ||
Flex Intermediate Holdco LLC | ||
3.36%, 6/30/2031 (b) | 1,425 | 1,128 |
4.32%, 12/30/2039 (b) | 545 | 390 |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | 1,045 | 820 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b) | 2,450 | 2,266 |
HF Sinclair Corp. 5.88%, 4/1/2026 | 577 | 580 |
Magellan Midstream Partners LP 3.20%, 3/15/2025 | 353 | 339 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | 380 | 373 |
MPLX LP 4.95%, 3/14/2052 | 520 | 428 |
ONEOK Partners LP 6.65%, 10/1/2036 | 350 | 361 |
Phillips 66 Co. | ||
3.15%, 12/15/2029 | 985 | 868 |
4.90%, 10/1/2046 | 300 | 262 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 1,050 | 847 |
Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025 (b) | 278 | 255 |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | 1,195 | 1,248 |
TotalEnergies Capital International SA (France) | ||
2.99%, 6/29/2041 | 1,200 | 879 |
3.46%, 7/12/2049 | 815 | 607 |
3.13%, 5/29/2050 | 1,180 | 816 |
Valero Energy Corp. | ||
2.15%, 9/15/2027 | 508 | 452 |
7.50%, 4/15/2032 | 175 | 196 |
27,278 | ||
Passenger Airlines — 0.1% | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 1,693 | 1,651 |
Personal Care Products — 0.0% ^ | ||
Haleon US Capital LLC 3.38%, 3/24/2029 | 1,075 | 983 |
Pharmaceuticals — 0.3% | ||
AstraZeneca plc (United Kingdom) | ||
6.45%, 9/15/2037 | 300 | 337 |
4.00%, 9/18/2042 | 240 | 207 |
Merck & Co., Inc. | ||
5.00%, 5/17/2053 | 865 | 845 |
5.15%, 5/17/2063 | 675 | 659 |
Mylan, Inc. 5.40%, 11/29/2043 | 520 | 432 |
Pfizer Investment Enterprises Pte. Ltd. 5.30%, 5/19/2053 | 2,060 | 2,061 |
Royalty Pharma plc 1.20%, 9/2/2025 | 353 | 321 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 17 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Takeda Pharmaceutical Co. Ltd. (Japan) | ||
3.03%, 7/9/2040 | 1,265 | 919 |
3.18%, 7/9/2050 | 590 | 396 |
Viatris, Inc. 3.85%, 6/22/2040 | 567 | 397 |
Zoetis, Inc. 2.00%, 5/15/2030 | 760 | 626 |
7,200 | ||
Residential REITs — 0.2% | ||
Essex Portfolio LP 2.65%, 3/15/2032 | 2,000 | 1,593 |
Mid-America Apartments LP 3.95%, 3/15/2029 | 920 | 864 |
UDR, Inc. | ||
2.95%, 9/1/2026 | 382 | 352 |
3.00%, 8/15/2031 | 305 | 256 |
2.10%, 8/1/2032 | 640 | 480 |
3,545 | ||
Retail REITs — 0.3% | ||
Brixmor Operating Partnership LP | ||
3.85%, 2/1/2025 | 400 | 386 |
2.25%, 4/1/2028 | 840 | 714 |
2.50%, 8/16/2031 | 425 | 334 |
NNN REIT, Inc. | ||
4.00%, 11/15/2025 | 783 | 754 |
4.30%, 10/15/2028 | 620 | 582 |
5.60%, 10/15/2033 | 600 | 588 |
Realty Income Corp. 1.80%, 3/15/2033 | 530 | 388 |
Regency Centers LP 2.95%, 9/15/2029 | 745 | 644 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | 420 | 405 |
Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (b) (c) | 1,320 | 1,186 |
SITE Centers Corp. 4.70%, 6/1/2027 | 330 | 310 |
6,291 | ||
Semiconductors & Semiconductor Equipment — 0.5% | ||
Analog Devices, Inc. 2.80%, 10/1/2041 | 896 | 636 |
Broadcom, Inc. | ||
1.95%, 2/15/2028 (b) | 2,500 | 2,168 |
3.14%, 11/15/2035 (b) | 1,413 | 1,079 |
Intel Corp. | ||
5.63%, 2/10/2043 | 1,150 | 1,145 |
5.70%, 2/10/2053 | 790 | 782 |
KLA Corp. 3.30%, 3/1/2050 | 600 | 431 |
NXP BV (China) | ||
2.50%, 5/11/2031 | 1,405 | 1,131 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Semiconductors & Semiconductor Equipment — continued | ||
3.25%, 5/11/2041 | 1,445 | 1,026 |
3.25%, 11/30/2051 | 682 | 440 |
Texas Instruments, Inc. 5.05%, 5/18/2063 | 1,109 | 1,063 |
TSMC Global Ltd. (Taiwan) 4.63%, 7/22/2032 (b) | 595 | 579 |
Xilinx, Inc. 2.38%, 6/1/2030 | 895 | 765 |
11,245 | ||
Software — 0.3% | ||
Oracle Corp. | ||
4.90%, 2/6/2033 | 1,300 | 1,242 |
3.60%, 4/1/2040 | 1,000 | 757 |
5.55%, 2/6/2053 | 920 | 855 |
4.38%, 5/15/2055 | 900 | 691 |
Roper Technologies, Inc. | ||
1.40%, 9/15/2027 | 1,370 | 1,186 |
2.00%, 6/30/2030 | 570 | 465 |
VMware, Inc. 4.65%, 5/15/2027 | 550 | 535 |
5,731 | ||
Specialized REITs — 0.3% | ||
American Tower Corp. | ||
3.38%, 10/15/2026 | 312 | 292 |
2.10%, 6/15/2030 | 630 | 503 |
1.88%, 10/15/2030 | 1,090 | 848 |
3.10%, 6/15/2050 | 496 | 309 |
2.95%, 1/15/2051 | 324 | 196 |
Crown Castle, Inc. | ||
4.00%, 3/1/2027 | 264 | 251 |
2.10%, 4/1/2031 | 2,000 | 1,577 |
Equinix, Inc. 2.90%, 11/18/2026 | 1,130 | 1,044 |
Extra Space Storage LP | ||
4.00%, 6/15/2029 | 859 | 786 |
2.40%, 10/15/2031 | 485 | 381 |
Public Storage Operating Co. | ||
1.95%, 11/9/2028 | 615 | 529 |
2.25%, 11/9/2031 | 516 | 417 |
7,133 | ||
Specialty Retail — 0.2% | ||
AutoZone, Inc. 1.65%, 1/15/2031 | 690 | 536 |
Lowe's Cos., Inc. 2.63%, 4/1/2031 | 2,760 | 2,313 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | 432 | 409 |
3,258 |
18 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Apple, Inc. | ||
4.85%, 5/10/2053 | 870 | 858 |
4.10%, 8/8/2062 | 1,200 | 1,004 |
Dell International LLC | ||
6.02%, 6/15/2026 | 728 | 736 |
5.25%, 2/1/2028 | 2,510 | 2,504 |
3.45%, 12/15/2051 (b) | 167 | 109 |
5,211 | ||
Tobacco — 0.2% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 1,700 | 1,327 |
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 780 | 671 |
4.39%, 8/15/2037 | 1,730 | 1,370 |
3.73%, 9/25/2040 | 520 | 362 |
Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 | 100 | 98 |
3,828 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
3.38%, 7/1/2025 | 476 | 453 |
2.88%, 1/15/2026 | 1,000 | 935 |
3.75%, 6/1/2026 | 526 | 500 |
1.88%, 8/15/2026 | 960 | 859 |
5.85%, 12/15/2027 | 710 | 710 |
3.25%, 10/1/2029 | 2,080 | 1,813 |
Aviation Capital Group LLC 5.50%, 12/15/2024 (b) | 1,047 | 1,031 |
6,301 | ||
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 3.45%, 5/1/2050 | 1,096 | 794 |
Wireless Telecommunication Services — 0.3% | ||
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 | 745 | 577 |
Sprint LLC 7.63%, 3/1/2026 | 405 | 420 |
T-Mobile USA, Inc. | ||
3.88%, 4/15/2030 | 2,980 | 2,720 |
3.60%, 11/15/2060 | 915 | 613 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Wireless Telecommunication Services — continued | ||
Vodafone Group plc (United Kingdom) | ||
4.88%, 6/19/2049 | 1,105 | 937 |
5.63%, 2/10/2053 | 250 | 236 |
5,503 | ||
Total Corporate Bonds (Cost $551,598) | 490,490 | |
Mortgage-Backed Securities — 21.3% | ||
FHLMC | ||
Pool # 846812, ARM, 4.51%, 4/1/2030 (f) | 3 | 3 |
Pool # 781087, ARM, 4.35%, 12/1/2033 (f) | 84 | 82 |
Pool # 1B1665, ARM, 4.80%, 4/1/2034 (f) | 50 | 48 |
Pool # 847356, ARM, 4.69%, 12/1/2034 (f) | 45 | 44 |
Pool # 782979, ARM, 4.38%, 1/1/2035 (f) | 72 | 73 |
Pool # 1Q0025, ARM, 4.23%, 2/1/2036 (f) | 25 | 25 |
Pool # 848431, ARM, 4.36%, 2/1/2036 (f) | 39 | 39 |
Pool # 1L1286, ARM, 5.25%, 5/1/2036 (f) | 8 | 8 |
Pool # 848365, ARM, 5.30%, 7/1/2036 (f) | 44 | 44 |
Pool # 1G2539, ARM, 3.85%, 10/1/2036 (f) | 10 | 10 |
Pool # 1J1348, ARM, 4.44%, 10/1/2036 (f) | 37 | 36 |
Pool # 1A1096, ARM, 6.31%, 10/1/2036 (f) | 81 | 82 |
Pool # 1G2671, ARM, 3.97%, 11/1/2036 (f) | 73 | 72 |
Pool # 782760, ARM, 4.31%, 11/1/2036 (f) | 43 | 43 |
Pool # 1J1634, ARM, 3.92%, 12/1/2036 (f) | 49 | 50 |
Pool # 1Q0739, ARM, 6.26%, 3/1/2037 (f) | 46 | 46 |
Pool # 848699, ARM, 5.09%, 7/1/2040 (f) | 85 | 87 |
FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032 | 98 | 93 |
FHLMC Gold Pools, 30 Year | ||
Pool # C68485, 7.00%, 7/1/2032 | 14 | 14 |
Pool # G01448, 7.00%, 8/1/2032 | 32 | 33 |
Pool # A13625, 5.50%, 10/1/2033 | 111 | 113 |
Pool # A16107, 6.00%, 12/1/2033 | 56 | 56 |
Pool # A17537, 6.00%, 1/1/2034 | 52 | 53 |
Pool # A61572, 5.00%, 9/1/2034 | 310 | 310 |
Pool # A28796, 6.50%, 11/1/2034 | 46 | 47 |
Pool # G03369, 6.50%, 1/1/2035 | 115 | 118 |
Pool # A46987, 5.50%, 7/1/2035 | 268 | 272 |
Pool # G01919, 4.00%, 9/1/2035 | 162 | 154 |
Pool # C02641, 7.00%, 10/1/2036 | 32 | 33 |
Pool # C02660, 6.50%, 11/1/2036 | 69 | 71 |
Pool # A93383, 5.00%, 8/1/2040 | 192 | 192 |
Pool # A93511, 5.00%, 8/1/2040 | 180 | 180 |
Pool # G06493, 4.50%, 5/1/2041 | 796 | 777 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 19 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # Z40179, 4.00%, 7/1/2048 | 1,989 | 1,874 |
FHLMC Gold Pools, Other | ||
Pool # P20570, 7.00%, 7/1/2029 | 30 | 30 |
Pool # G20027, 10.00%, 10/1/2030 | 1 | 1 |
Pool # U50105, 4.00%, 1/1/2032 | 273 | 257 |
Pool # U80254, 3.00%, 3/1/2033 | 202 | 183 |
Pool # P20409, 5.50%, 10/1/2033 | 45 | 45 |
Pool # U90975, 4.00%, 6/1/2042 | 830 | 784 |
Pool # U90673, 4.00%, 1/1/2043 | 219 | 207 |
Pool # U99134, 4.00%, 1/1/2046 | 4,171 | 3,930 |
Pool # U69030, 4.50%, 1/1/2046 | 1,491 | 1,451 |
FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 | 1,551 | 1,474 |
FHLMC UMBS, 30 Year | ||
Pool # RA6702, 3.00%, 2/1/2052 | 3,932 | 3,407 |
Pool # QF0379, 5.00%, 8/1/2052 | 1,735 | 1,682 |
Pool # SD1725, 4.00%, 10/1/2052 | 5,325 | 4,922 |
FNMA | ||
Pool # 54844, ARM, 3.98%, 9/1/2027 (f) | 5 | 5 |
Pool # 303532, ARM, 4.34%, 3/1/2029 (f) | 3 | 3 |
Pool # 555258, ARM, 4.65%, 1/1/2033 (f) | 145 | 142 |
Pool # 722985, ARM, 5.90%, 7/1/2033 (f) | 6 | 6 |
Pool # 686040, ARM, 5.96%, 7/1/2033 (f) | 44 | 43 |
Pool # 746299, ARM, 4.06%, 9/1/2033 (f) | 57 | 57 |
Pool # 766610, ARM, 3.93%, 1/1/2034 (f) | 13 | 13 |
Pool # 920467, ARM, 6.50%, 2/1/2034 (f) | 65 | 64 |
Pool # 770377, ARM, 4.39%, 4/1/2034 (f) | 26 | 25 |
Pool # 751531, ARM, 5.33%, 5/1/2034 (f) | 53 | 52 |
Pool # 782306, ARM, 4.17%, 7/1/2034 (f) | 5 | 5 |
Pool # 790235, ARM, 3.86%, 8/1/2034 (f) | 44 | 43 |
Pool # 735332, ARM, 4.86%, 8/1/2034 (f) | 71 | 71 |
Pool # 791961, ARM, 3.69%, 9/1/2034 (f) | 14 | 14 |
Pool # 803599, ARM, 3.83%, 10/1/2034 (f) | 64 | 63 |
Pool # 803594, ARM, 3.84%, 10/1/2034 (f) | 53 | 52 |
Pool # 896463, ARM, 5.10%, 10/1/2034 (f) | 45 | 46 |
Pool # 806778, ARM, 4.00%, 11/1/2034 (f) | 318 | 314 |
Pool # 806776, ARM, 6.77%, 11/1/2034 (f) | 59 | 59 |
Pool # 802692, ARM, 5.00%, 1/1/2035 (f) | 48 | 47 |
Pool # 810896, ARM, 6.62%, 1/1/2035 (f) | 119 | 120 |
Pool # 816597, ARM, 4.04%, 2/1/2035 (f) | 14 | 14 |
Pool # 735539, ARM, 4.62%, 4/1/2035 (f) | 323 | 326 |
Pool # 745862, ARM, 5.23%, 4/1/2035 (f) | 39 | 39 |
Pool # 821378, ARM, 5.04%, 5/1/2035 (f) | 35 | 34 |
Pool # 823660, ARM, 5.14%, 5/1/2035 (f) | 39 | 38 |
Pool # 745766, ARM, 4.37%, 6/1/2035 (f) | 99 | 97 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # 832801, ARM, 3.89%, 9/1/2035 (f) | 23 | 23 |
Pool # 843026, ARM, 5.96%, 9/1/2035 (f) | 108 | 109 |
Pool # 849251, ARM, 6.08%, 1/1/2036 (f) | 35 | 34 |
Pool # 895141, ARM, 6.94%, 7/1/2036 (f) | 48 | 49 |
Pool # 900197, ARM, 4.33%, 10/1/2036 (f) | 50 | 50 |
Pool # 966946, ARM, 4.29%, 1/1/2038 (f) | 15 | 15 |
FNMA UMBS, 15 Year | ||
Pool # 995381, 6.00%, 1/1/2024 | — | — |
Pool # 995425, 6.00%, 1/1/2024 | — | — |
Pool # AD0133, 5.00%, 8/1/2024 | 1 | 1 |
FNMA UMBS, 20 Year | ||
Pool # 255217, 4.50%, 4/1/2024 | 1 | 1 |
Pool # 888656, 6.50%, 4/1/2025 | 1 | 1 |
Pool # MA1138, 3.50%, 8/1/2032 | 243 | 231 |
FNMA UMBS, 30 Year | ||
Pool # 50966, 7.00%, 1/1/2024 | — | — |
Pool # 689977, 8.00%, 3/1/2027 | 16 | 16 |
Pool # 695533, 8.00%, 6/1/2027 | 7 | 7 |
Pool # 756024, 8.00%, 9/1/2028 | 9 | 9 |
Pool # 755973, 8.00%, 11/1/2028 | 42 | 42 |
Pool # 455759, 6.00%, 12/1/2028 | 5 | 5 |
Pool # 252211, 6.00%, 1/1/2029 | 7 | 7 |
Pool # 459097, 7.00%, 1/1/2029 | 2 | 2 |
Pool # 889020, 6.50%, 11/1/2029 | 106 | 108 |
Pool # 598559, 6.50%, 8/1/2031 | 21 | 21 |
Pool # 622542, 5.50%, 9/1/2031 | 108 | 108 |
Pool # 788150, 6.00%, 3/1/2032 | 12 | 12 |
Pool # 675555, 6.00%, 12/1/2032 | 29 | 29 |
Pool # AL0045, 6.00%, 12/1/2032 | 147 | 151 |
Pool # 674349, 6.00%, 3/1/2033 | 6 | 6 |
Pool # 688625, 6.00%, 3/1/2033 | 7 | 8 |
Pool # 688655, 6.00%, 3/1/2033 | 2 | 2 |
Pool # 695584, 6.00%, 3/1/2033 | 3 | 3 |
Pool # 702901, 6.00%, 5/1/2033 | 51 | 52 |
Pool # 723852, 5.00%, 7/1/2033 | 52 | 52 |
Pool # 729296, 5.00%, 7/1/2033 | 134 | 134 |
Pool # 729379, 6.00%, 8/1/2033 | 13 | 13 |
Pool # 737825, 6.00%, 9/1/2033 | 21 | 21 |
Pool # 750977, 4.50%, 11/1/2033 | 31 | 30 |
Pool # 725017, 5.50%, 12/1/2033 | 209 | 212 |
Pool # 751341, 5.50%, 3/1/2034 | 27 | 27 |
Pool # 888568, 5.00%, 12/1/2034 | 5 | 5 |
Pool # 815426, 4.50%, 2/1/2035 | — | — |
Pool # AD0755, 7.00%, 6/1/2035 | 1,477 | 1,540 |
Pool # 820347, 5.00%, 9/1/2035 | 39 | 39 |
20 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 833657, 7.50%, 8/1/2036 | 17 | 17 |
Pool # 986648, 6.00%, 9/1/2037 | 67 | 69 |
Pool # 888892, 7.50%, 11/1/2037 | 18 | 19 |
Pool # 257510, 7.00%, 12/1/2038 | 74 | 79 |
Pool # AD0753, 7.00%, 1/1/2039 | 50 | 53 |
Pool # AT5891, 3.00%, 6/1/2043 | 1,625 | 1,439 |
Pool # AL7527, 4.50%, 9/1/2043 | 584 | 569 |
Pool # BM3500, 4.00%, 9/1/2047 | 1,625 | 1,556 |
Pool # BJ1778, 4.50%, 10/1/2047 | 593 | 572 |
Pool # BN9180, 4.00%, 6/1/2049 | 339 | 318 |
Pool # BK8753, 4.50%, 6/1/2049 | 737 | 708 |
Pool # BO1219, 4.50%, 6/1/2049 | 1,951 | 1,879 |
Pool # BO7077, 3.00%, 9/1/2049 | 1,979 | 1,729 |
Pool # CA5549, 3.00%, 4/1/2050 | 4,717 | 4,120 |
Pool # CA5702, 2.50%, 5/1/2050 | 5,892 | 4,946 |
Pool # CA6079, 2.50%, 6/1/2050 | 3,180 | 2,654 |
Pool # BP6439, 2.50%, 7/1/2050 | 7,099 | 5,925 |
Pool # CA6361, 2.50%, 7/1/2050 | 4,319 | 3,635 |
Pool # FS0730, 4.00%, 2/1/2051 | 3,869 | 3,588 |
Pool # BU0070, 2.50%, 10/1/2051 | 4,823 | 4,006 |
Pool # MA4466, 2.50%, 11/1/2051 | 4,540 | 3,767 |
Pool # CB2637, 2.50%, 1/1/2052 | 3,978 | 3,307 |
Pool # CB2670, 3.00%, 1/1/2052 | 3,719 | 3,205 |
Pool # FS3345, 3.00%, 2/1/2052 | 4,711 | 4,066 |
Pool # FS5446, 2.50%, 3/1/2052 | 6,500 | 5,413 |
Pool # CB3383, 4.00%, 4/1/2052 | 4,570 | 4,225 |
Pool # CB3679, 4.00%, 5/1/2052 | 4,155 | 3,842 |
Pool # CB3913, 4.00%, 5/1/2052 | 1,657 | 1,532 |
Pool # CB4124, 4.00%, 6/1/2052 | 2,128 | 1,967 |
Pool # CB4608, 4.00%, 9/1/2052 | 4,794 | 4,426 |
Pool # BW8524, 5.00%, 9/1/2052 | 2,492 | 2,419 |
Pool # BW9985, 5.00%, 9/1/2052 | 3,719 | 3,607 |
Pool # BV6789, 4.00%, 10/1/2052 | 1,409 | 1,303 |
Pool # BX0091, 5.00%, 10/1/2052 | 1,883 | 1,828 |
Pool # BV6794, 5.00%, 11/1/2052 | 1,696 | 1,656 |
Pool # CB5896, 5.00%, 3/1/2053 | 2,768 | 2,684 |
Pool # BY4714, 5.00%, 6/1/2053 | 5,853 | 5,675 |
Pool # BY7027, 5.00%, 8/1/2053 | 5,000 | 4,848 |
FNMA, 30 Year | ||
Pool # 535183, 8.00%, 6/1/2028 | 1 | 1 |
Pool # 252409, 6.50%, 3/1/2029 | 21 | 21 |
Pool # 653815, 7.00%, 2/1/2033 | 5 | 5 |
Pool # 752786, 6.00%, 9/1/2033 | 39 | 39 |
Pool # 931717, 6.50%, 8/1/2039 | 163 | 164 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
FNMA, Other | ||
Pool # 470300, 3.64%, 1/1/2025 | 840 | 818 |
Pool # AM4991, 3.97%, 12/1/2025 | 1,576 | 1,535 |
Pool # AL6805, 3.81%, 1/1/2026 (f) | 1,740 | 1,691 |
Pool # 468645, 4.54%, 7/1/2026 | 2,359 | 2,327 |
Pool # AM7223, 3.11%, 12/1/2026 | 3,187 | 3,017 |
Pool # AM7515, 3.34%, 2/1/2027 | 2,000 | 1,896 |
Pool # AM8803, 2.78%, 6/1/2027 | 4,541 | 4,213 |
Pool # AM8987, 2.79%, 6/1/2027 | 1,679 | 1,556 |
Pool # BL9574, 1.00%, 12/1/2027 | 3,975 | 3,399 |
Pool # BL1040, 3.81%, 12/1/2028 | 3,000 | 2,857 |
Pool # BS8075, 5.00%, 9/1/2029 | 1,900 | 1,908 |
Pool # BL4364, 2.24%, 11/1/2029 | 5,387 | 4,673 |
Pool # BL4333, 2.52%, 11/1/2029 | 5,896 | 5,177 |
Pool # AM7785, 3.17%, 2/1/2030 | 2,699 | 2,479 |
Pool # AM7516, 3.55%, 2/1/2030 | 2,000 | 1,868 |
Pool # AM8544, 3.08%, 4/1/2030 | 7,203 | 6,570 |
Pool # AM8889, 2.92%, 5/1/2030 | 8,000 | 7,159 |
Pool # AM9020, 2.97%, 6/1/2030 | 3,618 | 3,273 |
Pool # BS7241, 5.05%, 9/1/2030 | 5,000 | 5,028 |
Pool # BL9251, 1.45%, 10/1/2030 | 4,441 | 3,572 |
Pool # BL4315, 2.39%, 9/1/2031 | 4,401 | 3,719 |
Pool # BS5153, 2.53%, 9/1/2031 | 971 | 819 |
Pool # BS5071, 2.63%, 9/1/2031 | 2,993 | 2,528 |
Pool # BS3637, 1.73%, 11/1/2031 | 3,880 | 3,093 |
Pool # BS4313, 1.98%, 1/1/2032 | 8,350 | 6,719 |
Pool # BS8294, 4.44%, 1/1/2032 | 2,494 | 2,414 |
Pool # BS8214, 4.62%, 1/1/2032 | 1,904 | 1,867 |
Pool # BM7037, 1.75%, 3/1/2032 (f) | 6,746 | 5,327 |
Pool # BS9519, IO, 5.44%, 4/1/2032 (g) | 4,077 | 4,167 |
Pool # BS5760, 2.43%, 5/1/2032 | 2,928 | 2,461 |
Pool # AN6149, 3.14%, 7/1/2032 | 3,050 | 2,681 |
Pool # BS6243, 3.87%, 8/1/2032 | 2,172 | 2,022 |
Pool # BS5887, 3.51%, 9/1/2032 | 2,000 | 1,804 |
Pool # BS6597, 3.67%, 9/1/2032 | 820 | 745 |
Pool # BS6339, 3.80%, 9/1/2032 | 3,844 | 3,549 |
Pool # BS6505, 3.54%, 10/1/2032 | 3,446 | 3,134 |
Pool # BS6822, 3.81%, 10/1/2032 | 5,575 | 5,150 |
Pool # BS6759, 3.97%, 10/1/2032 | 4,937 | 4,635 |
Pool # AP9632, 4.00%, 10/1/2032 | 126 | 120 |
Pool # AP9762, 4.00%, 10/1/2032 | 208 | 197 |
Pool # BS6926, 4.51%, 10/1/2032 | 4,000 | 3,903 |
Pool # BS6928, 4.55%, 10/1/2032 | 2,065 | 2,021 |
Pool # BS6601, 3.54%, 11/1/2032 | 6,715 | 6,067 |
Pool # BS7115, 3.81%, 11/1/2032 | 10,120 | 9,343 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 21 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # AQ7084, 3.50%, 12/1/2032 | 398 | 370 |
Pool # AT2703, 3.50%, 5/1/2033 | 665 | 620 |
Pool # AT2954, 3.50%, 5/1/2033 | 393 | 365 |
Pool # AT4180, 3.50%, 5/1/2033 | 363 | 337 |
Pool # AT4939, 3.50%, 5/1/2033 | 356 | 332 |
Pool # BS8470, 4.52%, 6/1/2033 | 1,972 | 1,919 |
Pool # BS9351, IO, 4.70%, 9/1/2033 (g) | 4,000 | 4,005 |
Pool # BS9384, 5.04%, 9/1/2033 (g) | 3,205 | 3,251 |
Pool # 754922, 5.50%, 9/1/2033 | 30 | 30 |
Pool # 762520, 4.00%, 11/1/2033 | 159 | 153 |
Pool # BS4198, 2.16%, 12/1/2033 | 9,000 | 7,200 |
Pool # BS4237, 2.16%, 12/1/2033 | 4,460 | 3,519 |
Pool # BS7097, 4.67%, 11/1/2034 | 7,251 | 7,083 |
Pool # AM8922, 3.03%, 6/1/2035 | 2,322 | 2,117 |
Pool # AM9188, 3.12%, 6/1/2035 | 7,000 | 6,040 |
Pool # BS7789, 4.62%, 1/1/2036 | 7,868 | 7,570 |
Pool # 849215, 6.50%, 1/1/2036 | 18 | 17 |
Pool # 872740, 6.50%, 6/1/2036 | 38 | 38 |
Pool # 886320, 6.50%, 7/1/2036 | 13 | 13 |
Pool # BS4368, 2.29%, 1/1/2037 | 5,167 | 4,030 |
Pool # 888796, 6.00%, 9/1/2037 | 46 | 46 |
Pool # AO7225, 4.00%, 7/1/2042 | 243 | 230 |
Pool # AO9352, 4.00%, 7/1/2042 | 356 | 336 |
Pool # MA1125, 4.00%, 7/1/2042 | 339 | 319 |
Pool # AR1397, 3.00%, 1/1/2043 | 758 | 673 |
Pool # MA1711, 4.50%, 12/1/2043 | 1,297 | 1,255 |
Pool # MA1828, 4.50%, 3/1/2044 | 990 | 958 |
Pool # BF0558, 5.00%, 12/1/2049 | 3,830 | 3,785 |
Pool # BF0091, 3.50%, 5/1/2056 | 982 | 883 |
Pool # BF0101, 3.50%, 6/1/2056 | 3,248 | 2,925 |
Pool # BF0300, 4.00%, 8/1/2058 (g) | 9,023 | 8,418 |
Pool # BF0464, 3.50%, 3/1/2060 | 2,686 | 2,401 |
Pool # BF0546, 2.50%, 7/1/2061 | 3,848 | 3,092 |
Pool # BF0560, 2.50%, 9/1/2061 | 4,858 | 3,904 |
Pool # BF0590, 2.50%, 12/1/2061 | 7,615 | 6,186 |
Pool # BF0579, 3.00%, 12/1/2061 | 6,475 | 5,489 |
Pool # BF0583, 4.00%, 12/1/2061 | 4,425 | 4,085 |
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 10/25/2053 (g) | 3,166 | 2,626 |
GNMA I, 30 Year | ||
Pool # 554108, 6.50%, 3/15/2028 | 17 | 17 |
Pool # 468149, 8.00%, 8/15/2028 | 1 | 1 |
Pool # 486537, 7.50%, 9/15/2028 | 5 | 5 |
Pool # 486631, 6.50%, 10/15/2028 | 2 | 2 |
Pool # 591882, 6.50%, 7/15/2032 | 11 | 11 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # 607645, 6.50%, 2/15/2033 | 23 | 24 |
Pool # 607724, 7.00%, 2/15/2033 | 28 | 29 |
Pool # 604209, 6.50%, 4/15/2033 | 31 | 31 |
Pool # 781614, 7.00%, 6/15/2033 | 38 | 40 |
Pool # BM2141, 5.00%, 7/15/2049 | 488 | 486 |
Pool # CO1916, 5.00%, 9/15/2052 | 2,953 | 2,923 |
GNMA II | ||
Pool # CE5524, ARM, 6.91%, 8/20/2071 (f) | 2,656 | 2,746 |
Pool # CE5546, ARM, 6.86%, 10/20/2071 (f) | 4,944 | 5,091 |
Pool # CK2783, ARM, 6.84%, 2/20/2072 (f) | 4,857 | 5,000 |
Pool # CK2799, ARM, 6.85%, 3/20/2072 (f) | 3,984 | 4,107 |
Pool # CK2810, ARM, 6.83%, 4/20/2072 (f) | 4,713 | 4,853 |
Pool # CP1819, ARM, 6.96%, 7/20/2072 (f) | 3,750 | 3,900 |
Pool # CG5357, ARM, 6.83%, 8/20/2072 (f) | 2,563 | 2,636 |
Pool # CP4923, ARM, 7.02%, 8/20/2072 (f) | 5,633 | 5,856 |
GNMA II, 30 Year | ||
Pool # 2006, 8.50%, 5/20/2025 | 1 | 1 |
Pool # 2141, 8.00%, 12/20/2025 | — | — |
Pool # 2234, 8.00%, 6/20/2026 | 1 | 1 |
Pool # 2270, 8.00%, 8/20/2026 | 1 | 1 |
Pool # 2285, 8.00%, 9/20/2026 | 1 | 1 |
Pool # 2324, 8.00%, 11/20/2026 | 1 | 1 |
Pool # 2499, 8.00%, 10/20/2027 | 2 | 2 |
Pool # 2512, 8.00%, 11/20/2027 | 3 | 3 |
Pool # 2525, 8.00%, 12/20/2027 | 2 | 2 |
Pool # 2549, 7.50%, 2/20/2028 | 2 | 2 |
Pool # 2646, 7.50%, 9/20/2028 | 5 | 5 |
Pool # 2647, 8.00%, 9/20/2028 | 1 | 1 |
Pool # 3427, 4.50%, 8/20/2033 | 49 | 48 |
Pool # 4245, 6.00%, 9/20/2038 | 348 | 365 |
Pool # AK8806, 4.25%, 3/20/2045 | 873 | 829 |
Pool # BM2118, 4.50%, 6/20/2049 | 150 | 143 |
Pool # BO0535, 4.00%, 7/20/2049 | 1,148 | 1,077 |
Pool # BO8227, 5.00%, 7/20/2049 | 876 | 875 |
Pool # BO8229, 5.00%, 7/20/2049 | 635 | 641 |
Pool # BM9734, 4.00%, 10/20/2049 | 1,507 | 1,427 |
Pool # BQ4115, 3.00%, 3/20/2050 | 3,168 | 2,786 |
Pool # 785294, 3.50%, 1/20/2051 | 3,675 | 3,264 |
Pool # CB1543, 3.00%, 2/20/2051 | 2,470 | 2,172 |
Pool # CK2698, 3.00%, 2/20/2052 | 1,255 | 1,103 |
Pool # CK2716, 3.50%, 2/20/2052 | 3,920 | 3,517 |
Pool # CM2161, 3.00%, 3/20/2052 | 2,430 | 2,136 |
Pool # CM2213, 3.00%, 3/20/2052 | 442 | 388 |
Pool # CN2859, 4.50%, 6/20/2052 | 4,076 | 3,884 |
Pool # CO4824, 5.00%, 6/20/2052 | 1,604 | 1,583 |
22 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # CO4865, 5.00%, 7/20/2052 | 1,862 | 1,816 |
Pool # MA8200, 4.00%, 8/20/2052 | 9,240 | 8,608 |
Pool # CO8413, 4.50%, 9/20/2052 | 4,932 | 4,699 |
Pool # CT7445, 6.00%, 4/20/2053 | 1,494 | 1,499 |
Total Mortgage-Backed Securities (Cost $478,726) | 447,162 | |
Asset-Backed Securities — 14.6% | ||
Academic Loan Funding Trust Series 2013-1A, Class A, 6.20%, 12/26/2044 (b) (f) | 532 | 514 |
ACC Frn Series 2019-AA, 0.25%, 6/15/2025 ‡ | 3,543 | 2,834 |
Air Canada Pass-Through Trust (Canada) | ||
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | 460 | 439 |
Series 2015-2, Class AA, 3.75%, 12/15/2027 (b) | 179 | 165 |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | 365 | 322 |
Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | 517 | 447 |
American Airlines Pass-Through Trust | ||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 154 | 137 |
Series 2019-1, Class A, 3.50%, 2/15/2032 | 2,430 | 1,990 |
American Homes 4 Rent Trust | ||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b) | 3,367 | 3,291 |
Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (b) | 2,000 | 1,966 |
Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b) | 850 | 842 |
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) | 2,513 | 2,446 |
Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b) | 500 | 488 |
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (b) | 2,380 | 2,363 |
Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b) | 3,580 | 3,452 |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (b) | 1,275 | 1,252 |
AMSR Trust | ||
Series 2020-SFR2, Class C, 2.53%, 7/17/2037 (b) | 3,500 | 3,255 |
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 (b) | 4,000 | 3,629 |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (b) | 1,600 | 1,389 |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (b) | 2,296 | 1,957 |
Bedrock Abs I LLC, 7.95%, 12/27/2037 ‡ | 2,815 | 2,844 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Bridge Trust | ||
Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (b) | 3,000 | 2,808 |
Series 2022-SFR1, Class C, 4.45%, 11/17/2037 (b) | 4,200 | 3,951 |
British Airways Pass-Through Trust (United Kingdom) | ||
Series 2013-1, Class A, 4.63%, 6/20/2024 (b) | 2,569 | 2,539 |
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | 423 | 393 |
Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | 680 | 611 |
Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) | 601 | 525 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (b) | 333 | 314 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (b) | 2,104 | 1,904 |
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) | 794 | 651 |
Carvana Auto Receivables Trust Series 2023-P3, Class A3, 5.82%, 8/10/2028 (b) | 1,100 | 1,101 |
CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (b) | 3,844 | 3,583 |
Chase Funding Trust Series 2003-6, Class 1A7, 4.83%, 11/25/2034 (e) | 226 | 217 |
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 | 800 | 861 |
Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 9.11%, 12/15/2024 (b) (f) | 622 | 624 |
Continental Finance Credit Card ABS Master Trust | ||
Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) | 2,070 | 2,001 |
Series 2022-A, Class A, 6.19%, 10/15/2030 (b) | 4,080 | 3,923 |
CoreVest American Finance Trust | ||
Series 2019-2, Class D, 4.22%, 6/15/2052 (b) | 2,000 | 1,775 |
Series 2020-3, Class B, 2.20%, 8/15/2053 (b) | 3,180 | 2,520 |
CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b) | 4,000 | 4,061 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-2A, Class C, 1.64%, 6/17/2030 (b) | 7,280 | 6,855 |
Series 2022-3A, Class C, 8.45%, 2/15/2033 (b) | 4,100 | 4,199 |
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b) | 3,205 | 3,219 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 23 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2023-3A, Class A, 6.39%, 8/15/2033 (b) | 2,500 | 2,505 |
Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (b) | 577 | 567 |
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 6.33%, 10/25/2034 (f) | 48 | 46 |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | 2,700 | 2,382 |
Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 | 215 | 202 |
Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (b) | 897 | 850 |
Diversified Abs Phase III LLC Series 2022-1, 4.88%, 4/28/2039 ‡ (b) | 4,554 | 4,054 |
Diversified Abs Phase LLC Series VI, Class A, 7.50%, 11/28/2039 ‡ | 2,603 | 2,531 |
DT Auto Owner Trust Series 2022-3A, Class D, 8.14%, 7/17/2028 (b) | 3,500 | 3,596 |
Exeter Automobile Receivables Trust Series 2019-3A, Class D, 3.11%, 8/15/2025 (b) | 1,098 | 1,088 |
FirstKey Homes Trust | ||
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b) | 3,000 | 2,737 |
Series 2022-SFR3, Class C, 4.50%, 7/17/2038 (b) | 3,466 | 3,278 |
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (b) | 4,000 | 3,475 |
Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 (b) | 3,700 | 3,315 |
Flagship Credit Auto Trust Series 2022-4, Class C, 7.71%, 10/16/2028 (b) | 5,190 | 5,358 |
FMC GMSR Issuer Trust | ||
Series 2021-SAT1, 3.65%, 2/25/2024 ‡ (b) (f) | 7,325 | 6,977 |
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (f) | 5,000 | 4,375 |
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f) | 4,300 | 3,593 |
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f) | 3,370 | 2,802 |
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b) | 6,000 | 5,612 |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 4,829 | 4,465 |
Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b) | 159 | 157 |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b) | 2,654 | 2,649 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f) | 33 | 28 |
GLS Auto Receivables Issuer Trust | ||
Series 2022-3A, Class C, 5.34%, 6/15/2028 (b) | 2,361 | 2,309 |
Series 2022-3A, Class D, 6.42%, 6/15/2028 (b) | 2,500 | 2,474 |
Series 2023-3A, Class C, 6.01%, 5/15/2029 (b) | 2,085 | 2,081 |
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) | 10 | 10 |
Goodgreen | ||
Series 2019-2A, Class A, 2.76%, 4/15/2055 ‡ (b) | 1,329 | 1,104 |
Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (b) | 3,157 | 3,001 |
Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (b) | 283 | 249 |
GTP Acquisition Partners I LLC, 3.48%, 6/16/2025 (b) | 1,436 | 1,374 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b) | 749 | 656 |
HERO Funding Trust | ||
Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (b) | 302 | 264 |
Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (b) | 755 | 679 |
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class B, 7.81%, 4/20/2037 (b) (f) | 1,500 | 1,459 |
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b) | 41 | 40 |
Jonah, 7.80%, 11/10/2037 ‡ (b) | 2,698 | 2,615 |
Jonah Energy Abs LLC Series 2022-1, Class A1, 7.20%, 12/10/2037 ‡ (b) | 2,166 | 2,121 |
KGS-Alpha SBA COOF Trust | ||
Series 2012-2, Class A, IO, 0.87%, 8/25/2038 (b) (f) | 1,169 | 21 |
Series 2013-2, Class A, IO, 1.89%, 3/25/2039 (b) (f) | 1,066 | 35 |
Series 2015-2, Class A, IO, 2.94%, 7/25/2041 (b) (f) | 461 | 47 |
Lending Funding Trust Series 2020-2A, Class C, 4.30%, 4/21/2031 (b) | 1,795 | 1,586 |
Lendingpoint Asset Securitization Trust | ||
Series 2022-B, Class B, 5.99%, 10/15/2029 (b) | 5,237 | 5,056 |
Series 2022-C, Class B, 7.46%, 2/15/2030 (b) | 4,000 | 3,972 |
24 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) | 405 | 404 |
LL ABS Trust Series 2022-1A, Class B, 5.05%, 11/15/2029 (b) | 2,900 | 2,806 |
LP LMS Asset Securitization Trust, 3.23%, 10/15/2028 ‡ | 5 | 5 |
Mariner Finance Issuance Trust Series 2022-AA, Class C, 7.90%, 10/20/2037 (b) | 2,033 | 2,031 |
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b) | 357 | 343 |
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 (b) | 1,189 | 1,101 |
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.80%, 11/25/2033 (e) | 210 | 195 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | 857 | 799 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b) | 4,077 | 3,637 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | 2,639 | 2,381 |
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (b) | 3,880 | 3,669 |
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b) | 997 | 981 |
Pagaya AI Technology in Housing Trust Series 2022-1, Class A, 4.25%, 8/25/2025 (b) | 2,667 | 2,544 |
Pendoor Proper, Zero Coupon, 2/15/2026 ‡ | 4,150 | 3,901 |
PNMAC GMSR Issuer Trust Series 2022-GT1, Class A, 9.54%, 5/25/2027 (b) (f) | 3,450 | 3,437 |
Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (b) | 4,000 | 4,006 |
PRET LLC | ||
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (e) | 1,969 | 1,881 |
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 (b) (e) | 3,394 | 3,098 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (f) | 5,289 | 4,858 |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (b) (e) | 2,672 | 2,582 |
Progress Residential Trust | ||
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b) | 4,000 | 3,650 |
Series 2020-SFR3, Class C, 1.70%, 10/17/2027 (b) | 3,250 | 2,962 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2019-SFR4, Class D, 3.14%, 10/17/2036 (b) | 5,000 | 4,791 |
Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b) | 3,446 | 2,982 |
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (b) | 2,685 | 2,486 |
Series 2022-SFR5, Class E1, 6.62%, 6/17/2039 (b) | 3,619 | 3,515 |
PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (f) | 2,561 | 2,427 |
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (e) | 287 | 81 |
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (b) | 364 | 325 |
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 | 4,829 | 4,782 |
SART Series 2018-1, 4.76%, 6/15/2025 ‡ | 380 | 377 |
SCF Equipment Leasing LLC Series 2022-2A, Class C, 6.50%, 8/20/2032 (b) | 3,688 | 3,614 |
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.85%, 1/25/2036 (e) | 149 | 119 |
Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 (b) | 567 | 547 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 277 | 244 |
Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 (b) | 1,837 | 1,702 |
United Airlines Pass-Through Trust | ||
Series 2016-2, Class B, 3.65%, 10/7/2025 | 793 | 748 |
Series 2018-1, Class B, 4.60%, 3/1/2026 | 444 | 420 |
Series 2016-1, Class A, 3.45%, 7/7/2028 | 536 | 477 |
Series 2016-2, Class A, 3.10%, 10/7/2028 | 947 | 821 |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | 830 | 745 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 1,287 | 1,116 |
Series 2019-1, Class AA, 4.15%, 8/25/2031 | 814 | 758 |
Series 2019-1, Class A, 4.55%, 8/25/2031 | 728 | 655 |
Series 2019-2, Class AA, 2.70%, 5/1/2032 | 1,129 | 951 |
UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b) | 1,979 | 1,970 |
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (b) | 1,097 | 1,098 |
US Airways Pass-Through Trust Series 2011-1, Class A, 7.13%, 10/22/2023 | 1,051 | 1,050 |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (b) | 4,700 | 4,344 |
vMobo, Inc., 7.46%, 7/18/2027 ‡ | 5,999 | 5,474 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 25 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e) | 1,759 | 1,612 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e) | 3,994 | 3,714 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e) | 2,799 | 2,642 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e) | 2,141 | 2,026 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e) | 2,344 | 2,188 |
Westlake Automobile Receivables Trust | ||
Series 2022-2A, Class D, 5.48%, 9/15/2027 (b) | 4,910 | 4,810 |
Series 2023-3A, Class C, 6.02%, 9/15/2028 (b) | 3,400 | 3,395 |
Series 2023-2A, Class D, 7.01%, 11/15/2028 (b) | 3,047 | 3,042 |
Total Asset-Backed Securities (Cost $321,528) | 305,771 | |
Collateralized Mortgage Obligations — 5.9% | ||
Alternative Loan Trust | ||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | 2,586 | 2,558 |
Series 2005-1CB, Class 1A6, IF, IO, 1.67%, 3/25/2035 (f) | 339 | 19 |
Series 2005-22T1, Class A2, IF, IO, 4.40%, 6/25/2035 (f) | 2,794 | 145 |
Series 2005-20CB, Class 3A8, IF, IO, 4.08%, 7/25/2035 (f) | 1,022 | 28 |
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | 949 | 804 |
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | 49 | 22 |
Series 2005-37T1, Class A2, IF, IO, 4.59%, 9/25/2035 (f) | 1,959 | 78 |
Series 2005-54CB, Class 1A2, IF, IO, 4.18%, 11/25/2035 (f) | 1,479 | 42 |
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 587 | 450 |
Series 2005-57CB, Class 3A2, IF, IO, 4.43%, 12/25/2035 (f) | 417 | 26 |
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | 289 | 249 |
Series 2006-26CB, Class A9, 6.50%, 9/25/2036 | 858 | 467 |
Banc of America Alternative Loan Trust | ||
Series 2004-6, Class 15, PO, 7/25/2019 | 6 | 2 |
Series 2006-4, Class 1A4, 6.00%, 5/25/2046 | 236 | 195 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banc of America Funding Trust | ||
Series 2004-1, PO, 3/25/2034 | 59 | 41 |
Series 2004-2, Class 30, PO, 9/20/2034 | 69 | 50 |
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 140 | 117 |
Series 2005-7, Class 30, PO, 11/25/2035 | 61 | 60 |
Series 2005-8, Class 30, PO, 1/25/2036 | 33 | 21 |
Series 2006-A, Class 3A2, 4.39%, 2/20/2036 (f) | 89 | 80 |
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 4.17%, 2/25/2034 (f) | 25 | 24 |
Bear Stearns ARM Trust | ||
Series 2003-7, Class 3A, 4.66%, 10/25/2033 (f) | 14 | 13 |
Series 2004-1, Class 12A1, 4.09%, 4/25/2034 (f) | 129 | 118 |
Series 2004-2, Class 14A, 3.86%, 5/25/2034 (f) | 18 | 17 |
Series 2006-1, Class A1, 6.80%, 2/25/2036 (f) | 263 | 251 |
CHL Mortgage Pass-Through Trust | ||
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | 2 | 1 |
Series 2004-HYB1, Class 2A, 4.70%, 5/20/2034 (f) | 30 | 28 |
Series 2004-HYB3, Class 2A, 3.91%, 6/20/2034 (f) | 111 | 102 |
Series 2004-7, Class 2A1, 2.52%, 6/25/2034 (f) | 77 | 72 |
Series 2004-HYB6, Class A3, 4.41%, 11/20/2034 (f) | 116 | 110 |
Series 2005-16, Class A23, 5.50%, 9/25/2035 | 192 | 125 |
Series 2005-22, Class 2A1, 3.65%, 11/25/2035 (f) | 632 | 513 |
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | ||
Series 2005-5, Class APO, PO, 8/25/2035 | 27 | 18 |
Series 2005-8, Class A, PO, 11/25/2035 | 50 | 30 |
Citigroup Global Markets Mortgage Securities VII, Inc. | ||
Series 2003-UP2, Class 1, PO, 6/25/2033 | 1 | 1 |
Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (f) | 11 | 11 |
Citigroup Mortgage Loan Trust | ||
Series 2004-UST1, Class A6, 5.91%, 8/25/2034 (f) | 10 | 9 |
Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f) | 203 | 190 |
Citigroup Mortgage Loan Trust, Inc. | ||
Series 2003-1, Class 3, PO, 9/25/2033 | 9 | 6 |
26 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 7 | 7 |
Series 2003-1, Class 2, PO, 10/25/2033 | — | — |
Series 2003-1, Class 2A6, PO, 10/25/2033 | 7 | 5 |
Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | 13 | 12 |
Series 2005-1, Class 2A1A, 3.14%, 2/25/2035 (f) | 143 | 120 |
Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | 93 | 89 |
Series 2005-5, Class 1A2, 4.60%, 8/25/2035 (f) | 157 | 128 |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) | ||
Series 2003-1, Class DB1, 6.65%, 2/25/2033 (f) | 175 | 171 |
Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | 34 | 32 |
Series 2003-25, Class 1P, PO, 10/25/2033 | 78 | 55 |
CSFB Mortgage-Backed Pass-Through Certificates | ||
Series 2005-4, Class 3A18, 5.50%, 6/25/2035 | 467 | 453 |
Series 2005-4, Class 3A23, 5.50%, 6/25/2035 | 985 | 955 |
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (f) | 4,903 | 4,557 |
FHLMC, REMIC | ||
Series 1608, Class L, 6.50%, 9/15/2023 | 3 | 3 |
Series 1573, Class PZ, 7.00%, 9/15/2023 | — | — |
Series 2571, Class SK, IF, 11.63%, 9/15/2023 (f) | — | — |
Series 1602, Class SA, IF, 5.52%, 10/15/2023 (f) | — | — |
Series 1591, Class PV, 6.25%, 10/15/2023 | — | — |
Series 2710, Class HB, 5.50%, 11/15/2023 | — | — |
Series 1642, Class PJ, 6.00%, 11/15/2023 | 1 | 1 |
Series 2716, Class UN, 4.50%, 12/15/2023 | 1 | 1 |
Series 1638, Class H, 6.50%, 12/15/2023 | 3 | 3 |
Series 2283, Class K, 6.50%, 12/15/2023 | 1 | 1 |
Series 1865, Class D, PO, 2/15/2024 | 2 | 2 |
Series 1760, Class ZD, 3.31%, 2/15/2024 (f) | 4 | 3 |
Series 1686, Class SH, IF, 7.31%, 2/15/2024 (f) | — | — |
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (f) | 1 | 1 |
Series 1709, Class FA, 2.96%, 3/15/2024 (f) | — | — |
Series 1699, Class FC, 5.90%, 3/15/2024 (f) | — | — |
Series 1695, Class EB, 7.00%, 3/15/2024 | 1 | 1 |
Series 1706, Class K, 7.00%, 3/15/2024 | 2 | 2 |
Series 2033, Class SN, IF, IO, 18.79%, 3/15/2024 (f) | — | — |
Series 2306, Class K, PO, 5/15/2024 | 1 | 1 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2306, Class SE, IF, IO, 6.79%, 5/15/2024 (f) | 2 | — |
Series 1745, Class D, 7.50%, 8/15/2024 | 3 | 3 |
Series 3720, Class A, 4.50%, 9/15/2025 | 16 | 16 |
Series 3131, Class BK, 5.50%, 3/15/2026 | 79 | 78 |
Series 1829, Class ZB, 6.50%, 3/15/2026 | — | — |
Series 1863, Class Z, 6.50%, 7/15/2026 | — | — |
Series 1890, Class H, 7.50%, 9/15/2026 | 4 | 4 |
Series 1899, Class ZE, 8.00%, 9/15/2026 | 16 | 16 |
Series 3229, Class HE, 5.00%, 10/15/2026 | 84 | 83 |
Series 1963, Class Z, 7.50%, 1/15/2027 | 12 | 12 |
Series 1935, Class FL, 6.00%, 2/15/2027 (f) | 1 | 1 |
Series 1981, Class Z, 6.00%, 5/15/2027 | 15 | 15 |
Series 1970, Class PG, 7.25%, 7/15/2027 | 2 | 2 |
Series 1987, Class PE, 7.50%, 9/15/2027 | 10 | 10 |
Series 2019, Class Z, 6.50%, 12/15/2027 | 20 | 20 |
Series 2038, Class PN, IO, 7.00%, 3/15/2028 | 15 | 1 |
Series 2040, Class PE, 7.50%, 3/15/2028 | 28 | 28 |
Series 4251, Class KW, 2.50%, 4/15/2028 | 2,030 | 1,936 |
Series 2043, Class CJ, 6.50%, 4/15/2028 | 5 | 5 |
Series 2054, Class PV, 7.50%, 5/15/2028 | 22 | 23 |
Series 2075, Class PM, 6.25%, 8/15/2028 | 54 | 54 |
Series 2075, Class PH, 6.50%, 8/15/2028 | 48 | 49 |
Series 2086, Class GB, 6.00%, 9/15/2028 | 9 | 9 |
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | 24 | 2 |
Series 2095, Class PE, 6.00%, 11/15/2028 | 59 | 59 |
Series 2125, Class JZ, 6.00%, 2/15/2029 | 23 | 23 |
Series 2136, Class PG, 6.00%, 3/15/2029 | 25 | 25 |
Series 2132, Class SB, IF, 8.05%, 3/15/2029 (f) | 5 | 5 |
Series 2141, IO, 7.00%, 4/15/2029 | 7 | — |
Series 2169, Class TB, 7.00%, 6/15/2029 | 77 | 79 |
Series 2163, Class PC, IO, 7.50%, 6/15/2029 | 8 | 1 |
Series 2172, Class QC, 7.00%, 7/15/2029 | 54 | 56 |
Series 2176, Class OJ, 7.00%, 8/15/2029 | 43 | 44 |
Series 2201, Class C, 8.00%, 11/15/2029 | 16 | 17 |
Series 2209, Class TC, 8.00%, 1/15/2030 | 21 | 22 |
Series 2210, Class Z, 8.00%, 1/15/2030 | 46 | 48 |
Series 2224, Class CB, 8.00%, 3/15/2030 | 11 | 11 |
Series 2230, Class Z, 8.00%, 4/15/2030 | 26 | 27 |
Series 2234, Class PZ, 7.50%, 5/15/2030 | 21 | 22 |
Series 2247, Class Z, 7.50%, 8/15/2030 | 23 | 24 |
Series 2256, Class MC, 7.25%, 9/15/2030 | 24 | 25 |
Series 2259, Class ZM, 7.00%, 10/15/2030 | 40 | 41 |
Series 2262, Class Z, 7.50%, 10/15/2030 | 5 | 6 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 27 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2271, Class PC, 7.25%, 12/15/2030 | 42 | 44 |
Series 2296, Class PD, 7.00%, 3/15/2031 | 31 | 32 |
Series 2313, Class LA, 6.50%, 5/15/2031 | 16 | 16 |
Series 2325, Class PM, 7.00%, 6/15/2031 | 24 | 25 |
Series 2359, Class ZB, 8.50%, 6/15/2031 | 72 | 76 |
Series 2344, Class ZD, 6.50%, 8/15/2031 | 245 | 248 |
Series 2344, Class ZJ, 6.50%, 8/15/2031 | 25 | 26 |
Series 2345, Class NE, 6.50%, 8/15/2031 | 22 | 23 |
Series 2351, Class PZ, 6.50%, 8/15/2031 | 18 | 18 |
Series 2353, Class AZ, 6.00%, 9/15/2031 | 130 | 130 |
Series 2367, Class ME, 6.50%, 10/15/2031 | 51 | 52 |
Series 2396, Class FM, 5.75%, 12/15/2031 (f) | 47 | 46 |
Series 2399, Class OH, 6.50%, 1/15/2032 | 55 | 56 |
Series 2399, Class TH, 6.50%, 1/15/2032 | 63 | 64 |
Series 2464, Class SI, IF, IO, 2.70%, 2/15/2032 (f) | 124 | 8 |
Series 2410, Class QX, IF, IO, 3.35%, 2/15/2032 (f) | 26 | 2 |
Series 2412, Class SP, IF, 5.49%, 2/15/2032 (f) | 50 | 52 |
Series 2410, Class QS, IF, 5.71%, 2/15/2032 (f) | 51 | 53 |
Series 2410, Class OE, 6.38%, 2/15/2032 | 7 | 7 |
Series 2410, Class NG, 6.50%, 2/15/2032 | 60 | 61 |
Series 2420, Class XK, 6.50%, 2/15/2032 | 96 | 98 |
Series 2444, Class ES, IF, IO, 2.65%, 3/15/2032 (f) | 47 | 4 |
Series 2450, Class SW, IF, IO, 2.70%, 3/15/2032 (f) | 38 | 3 |
Series 2430, Class WF, 6.50%, 3/15/2032 | 120 | 123 |
Series 2423, Class MC, 7.00%, 3/15/2032 | 66 | 69 |
Series 2423, Class MT, 7.00%, 3/15/2032 | 57 | 59 |
Series 2435, Class CJ, 6.50%, 4/15/2032 | 79 | 80 |
Series 2434, Class TC, 7.00%, 4/15/2032 | 67 | 70 |
Series 2436, Class MC, 7.00%, 4/15/2032 | 37 | 37 |
Series 2455, Class GK, 6.50%, 5/15/2032 | 145 | 145 |
Series 2450, Class GZ, 7.00%, 5/15/2032 | 43 | 45 |
Series 2462, Class JG, 6.50%, 6/15/2032 | 67 | 69 |
Series 2466, Class PH, 6.50%, 6/15/2032 | 108 | 111 |
Series 2474, Class NR, 6.50%, 7/15/2032 | 63 | 63 |
Series 2484, Class LZ, 6.50%, 7/15/2032 | 71 | 72 |
Series 2500, Class MC, 6.00%, 9/15/2032 | 78 | 79 |
Series 2835, Class QO, PO, 12/15/2032 | 9 | 8 |
Series 2543, Class YX, 6.00%, 12/15/2032 | 142 | 144 |
Series 2544, Class HC, 6.00%, 12/15/2032 | 96 | 97 |
Series 2552, Class ME, 6.00%, 1/15/2033 | 155 | 157 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2567, Class QD, 6.00%, 2/15/2033 | 164 | 167 |
Series 2575, Class ME, 6.00%, 2/15/2033 | 395 | 401 |
Series 2596, Class QG, 6.00%, 3/15/2033 | 90 | 90 |
Series 2586, Class WI, IO, 6.50%, 3/15/2033 | 42 | 7 |
Series 2692, Class SC, IF, 2.68%, 7/15/2033 (f) | 28 | 27 |
Series 4240, Class B, 3.00%, 8/15/2033 | 2,501 | 2,301 |
Series 3920, Class LP, 5.00%, 1/15/2034 | 361 | 357 |
Series 2744, Class PE, 5.50%, 2/15/2034 | 3 | 3 |
Series 3611, PO, 7/15/2034 | 24 | 20 |
Series 2990, Class UZ, 5.75%, 6/15/2035 | 923 | 918 |
Series 3004, Class EK, 5.50%, 7/15/2035 | 1,233 | 1,222 |
Series 3014, Class OD, PO, 8/15/2035 | 26 | 21 |
Series 3085, Class WF, 6.10%, 8/15/2035 (f) | 60 | 60 |
Series 3047, Class OD, 5.50%, 10/15/2035 | 345 | 342 |
Series 3074, Class BH, 5.00%, 11/15/2035 | 101 | 99 |
Series 3064, Class MC, 5.50%, 11/15/2035 | 3,061 | 3,018 |
Series 3102, Class HS, IF, 5.12%, 1/15/2036 (f) | 13 | 13 |
Series 3102, Class FB, 5.60%, 1/15/2036 (f) | 39 | 39 |
Series 3117, Class EO, PO, 2/15/2036 | 147 | 124 |
Series 3117, Class OK, PO, 2/15/2036 | 89 | 74 |
Series 3134, PO, 3/15/2036 | 23 | 20 |
Series 3152, Class MO, PO, 3/15/2036 | 124 | 104 |
Series 3122, Class ZB, 6.00%, 3/15/2036 | 30 | 32 |
Series 3138, PO, 4/15/2036 | 107 | 89 |
Series 3607, Class BO, PO, 4/15/2036 | 50 | 42 |
Series 3219, Class DI, IO, 6.00%, 4/15/2036 | 76 | 14 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | 469 | 478 |
Series 3149, Class SO, PO, 5/15/2036 | 19 | 15 |
Series 3233, Class OP, PO, 5/15/2036 | 32 | 26 |
Series 3171, Class MO, PO, 6/15/2036 | 16 | 14 |
Series 3179, Class OA, PO, 7/15/2036 | 90 | 74 |
Series 3194, Class SA, IF, IO, 1.80%, 7/15/2036 (f) | 19 | 2 |
Series 3211, Class SO, PO, 9/15/2036 | 109 | 92 |
Series 3218, Class AO, PO, 9/15/2036 | 55 | 42 |
Series 3232, Class ST, IF, IO, 1.40%, 10/15/2036 (f) | 132 | 10 |
Series 3256, PO, 12/15/2036 | 74 | 59 |
Series 3261, Class OA, PO, 1/15/2037 | 88 | 70 |
Series 3260, Class CS, IF, IO, 0.84%, 1/15/2037 (f) | 144 | 10 |
Series 3274, Class JO, PO, 2/15/2037 | 22 | 19 |
Series 3275, Class FL, 5.74%, 2/15/2037 (f) | 19 | 19 |
28 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 3290, Class SB, IF, IO, 1.15%, 3/15/2037 (f) | 199 | 12 |
Series 3318, Class AO, PO, 5/15/2037 | 3 | 3 |
Series 3607, PO, 5/15/2037 | 110 | 88 |
Series 3315, Class HZ, 6.00%, 5/15/2037 | 80 | 80 |
Series 3326, Class JO, PO, 6/15/2037 | 6 | 5 |
Series 3331, PO, 6/15/2037 | 75 | 62 |
Series 3607, Class OP, PO, 7/15/2037 | 249 | 200 |
Series 4048, Class FJ, 4.40%, 7/15/2037 (f) | 279 | 270 |
Series 3385, Class SN, IF, IO, 0.70%, 11/15/2037 (f) | 27 | 1 |
Series 3387, Class SA, IF, IO, 1.12%, 11/15/2037 (f) | 117 | 8 |
Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e) | 612 | 5 |
Series 3404, Class SC, IF, IO, 0.70%, 1/15/2038 (f) | 182 | 11 |
Series 3424, Class PI, IF, IO, 1.50%, 4/15/2038 (f) | 158 | 14 |
Series 3481, Class SJ, IF, IO, 0.55%, 8/15/2038 (f) | 194 | 13 |
Series 3511, Class SA, IF, IO, 0.70%, 2/15/2039 (f) | 132 | 7 |
Series 3549, Class FA, 6.50%, 7/15/2039 (f) | 9 | 9 |
Series 3621, Class BO, PO, 1/15/2040 | 74 | 61 |
Series 3747, Class PY, 4.00%, 10/15/2040 | 695 | 657 |
Series 3925, Class FL, 5.75%, 1/15/2041 (f) | 59 | 58 |
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f) | 76 | 72 |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) | 218 | 217 |
Series 3957, Class B, 4.00%, 11/15/2041 | 79 | 74 |
Series 3966, Class NA, 4.00%, 12/15/2041 | 213 | 203 |
Series 4217, Class KY, 3.00%, 6/15/2043 | 2,300 | 1,961 |
Series 4928, Class PB, 2.50%, 9/25/2048 | 454 | 399 |
FHLMC, STRIPS | ||
Series 233, Class 11, IO, 5.00%, 9/15/2035 | 166 | 32 |
Series 233, Class 13, IO, 5.00%, 9/15/2035 | 242 | 41 |
Series 299, Class 300, 3.00%, 1/15/2043 | 1,144 | 1,025 |
Series 310, PO, 9/15/2043 | 599 | 441 |
Series 323, Class 300, 3.00%, 1/15/2044 | 846 | 760 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-41, Class 3A, 4.35%, 7/25/2032 (f) | 197 | 185 |
Series T-76, Class 2A, 2.26%, 10/25/2037 (f) | 476 | 403 |
Series T-51, Class 2A, 7.50%, 8/25/2042 (f) | 153 | 151 |
Series T-54, Class 2A, 6.50%, 2/25/2043 | 832 | 852 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series T-54, Class 3A, 7.00%, 2/25/2043 | 230 | 237 |
Series T-58, Class A, PO, 9/25/2043 | 65 | 51 |
Series T-59, Class 1AP, PO, 10/25/2043 | 148 | 78 |
First Horizon Alternative Mortgage Securities Trust | ||
Series 2004-AA4, Class A1, 5.39%, 10/25/2034 (f) | 82 | 80 |
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | 338 | 170 |
Series 2007-FA4, Class 1A2, IF, IO, 0.22%, 8/25/2037 (f) | 823 | 59 |
FNMA Trust, Whole Loan | ||
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | 60 | 62 |
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 101 | 104 |
Series 2004-W15, Class 2AF, 5.65%, 8/25/2044 (f) | 143 | 141 |
Series 2005-W3, Class 2AF, 5.62%, 3/25/2045 (f) | 409 | 404 |
Series 2006-W2, Class 1AF1, 5.62%, 2/25/2046 (f) | 133 | 131 |
FNMA, Grantor Trust, Whole Loan | ||
Series 2002-T19, Class A2, 7.00%, 7/25/2042 | 353 | 366 |
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 | 204 | 209 |
FNMA, REMIC | ||
Series 1993-205, Class H, PO, 9/25/2023 | — | — |
Series 1993-165, Class SD, IF, 2.56%, 9/25/2023 (f) | — | — |
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (f) | — | — |
Series 1993-179, Class SB, IF, 4.40%, 10/25/2023 (f) | — | — |
Series 1999-52, Class NS, IF, 8.25%, 10/25/2023 (f) | — | — |
Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (f) | — | — |
Series 1995-19, Class Z, 6.50%, 11/25/2023 | 1 | 1 |
Series 2002-1, Class UD, IF, 5.59%, 12/25/2023 (f) | — | — |
Series 1993-230, Class FA, 6.00%, 12/25/2023 (f) | — | — |
Series 1993-247, Class FE, 6.40%, 12/25/2023 (f) | — | — |
Series 1993-225, Class UB, 6.50%, 12/25/2023 | — | — |
Series 1993-247, Class SU, IF, 7.16%, 12/25/2023 (f) | — | — |
Series 1994-37, Class L, 6.50%, 3/25/2024 | 2 | 2 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 29 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 1994-40, Class Z, 6.50%, 3/25/2024 | 17 | 17 |
Series 2004-53, Class NC, 5.50%, 7/25/2024 | 1 | 1 |
Series 1995-2, Class Z, 8.50%, 1/25/2025 | 2 | 2 |
Series G95-1, Class C, 8.80%, 1/25/2025 | 1 | 1 |
Series 1997-20, IO, 1.84%, 3/25/2027 (f) | 1 | — |
Series 1997-27, Class J, 7.50%, 4/18/2027 | 2 | 2 |
Series 1997-29, Class J, 7.50%, 4/20/2027 | 5 | 6 |
Series 1997-39, Class PD, 7.50%, 5/20/2027 | 27 | 27 |
Series 1997-42, Class ZC, 6.50%, 7/18/2027 | 2 | 2 |
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | 8 | — |
Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 13 | 13 |
Series 1999-18, Class Z, 5.50%, 4/18/2029 | 12 | 12 |
Series 1999-17, Class C, 6.35%, 4/25/2029 | 10 | 10 |
Series 1999-62, Class PB, 7.50%, 12/18/2029 | 15 | 16 |
Series 2000-2, Class ZE, 7.50%, 2/25/2030 | 48 | 50 |
Series 2000-20, Class SA, IF, IO, 3.70%, 7/25/2030 (f) | 11 | — |
Series 2000-52, IO, 8.50%, 1/25/2031 | 6 | 1 |
Series 2001-7, Class PF, 7.00%, 3/25/2031 | 11 | 12 |
Series 2011-31, Class DB, 3.50%, 4/25/2031 | 773 | 736 |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 51 | 6 |
Series 2001-30, Class PM, 7.00%, 7/25/2031 | 43 | 43 |
Series 2001-36, Class DE, 7.00%, 8/25/2031 | 44 | 46 |
Series 2001-49, Class Z, 6.50%, 9/25/2031 | 14 | 14 |
Series 2001-44, Class MY, 7.00%, 9/25/2031 | 109 | 113 |
Series 2001-44, Class PD, 7.00%, 9/25/2031 | 12 | 13 |
Series 2001-44, Class PU, 7.00%, 9/25/2031 | 16 | 16 |
Series 2001-52, Class KB, 6.50%, 10/25/2031 | 16 | 16 |
Series 2003-52, Class SX, IF, 6.74%, 10/25/2031 (f) | 24 | 26 |
Series 2001-61, Class Z, 7.00%, 11/25/2031 | 164 | 169 |
Series 2001-72, Class SX, IF, 4.89%, 12/25/2031 (f) | 3 | 3 |
Series 2002-1, Class SA, IF, 7.63%, 2/25/2032 (f) | 9 | 10 |
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f) | 107 | 3 |
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f) | 2 | 2 |
Series 2002-21, Class LO, PO, 4/25/2032 | 4 | 4 |
Series 2002-21, Class PE, 6.50%, 4/25/2032 | 41 | 42 |
Series 2002-28, Class PK, 6.50%, 5/25/2032 | 107 | 108 |
Series 2012-66, Class CB, 3.00%, 6/25/2032 | 2,452 | 2,289 |
Series 2002-37, Class Z, 6.50%, 6/25/2032 | 31 | 31 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | 104 | 10 |
Series 2002-48, Class GH, 6.50%, 8/25/2032 | 164 | 168 |
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f) | 20 | 20 |
Series 2004-59, Class BG, PO, 12/25/2032 | 55 | 46 |
Series 2002-77, Class S, IF, 4.58%, 12/25/2032 (f) | 24 | 24 |
Series 2003-22, Class UD, 4.00%, 4/25/2033 | 535 | 509 |
Series 2003-35, Class UC, 3.75%, 5/25/2033 | 4 | 4 |
Series 2003-42, Class GB, 4.00%, 5/25/2033 | 44 | 42 |
Series 2003-34, Class AX, 6.00%, 5/25/2033 | 96 | 98 |
Series 2003-34, Class ED, 6.00%, 5/25/2033 | 419 | 422 |
Series 2003-39, IO, 6.00%, 5/25/2033 (f) | 19 | 3 |
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | 159 | 29 |
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 | 302 | 25 |
Series 2003-47, Class PE, 5.75%, 6/25/2033 | 90 | 90 |
Series 2003-64, Class SX, IF, 0.77%, 7/25/2033 (f) | 20 | 18 |
Series 2003-132, Class OA, PO, 8/25/2033 | 4 | 4 |
Series 2003-74, Class SH, IF, 0.45%, 8/25/2033 (f) | 45 | 41 |
Series 2003-71, Class DS, IF, 0.54%, 8/25/2033 (f) | 198 | 171 |
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | 170 | 25 |
Series 2003-91, Class SD, IF, 3.50%, 9/25/2033 (f) | 35 | 34 |
Series 2013-101, Class AE, 3.00%, 10/25/2033 | 2,587 | 2,409 |
Series 2013-101, Class E, 3.00%, 10/25/2033 | 2,354 | 2,199 |
Series 2013-108, Class GU, 3.00%, 10/25/2033 | 2,984 | 2,784 |
Series 2003-116, Class SB, IF, IO, 2.20%, 11/25/2033 (f) | 220 | 16 |
Series 2006-44, Class P, PO, 12/25/2033 | 428 | 354 |
Series 2003-130, Class SX, IF, 3.42%, 1/25/2034 (f) | 3 | 3 |
Series 2004-25, Class SA, IF, 4.67%, 4/25/2034 (f) | 87 | 88 |
Series 2004-46, Class SK, IF, 1.64%, 5/25/2034 (f) | 158 | 150 |
Series 2004-46, Class QB, IF, 2.39%, 5/25/2034 (f) | 80 | 83 |
Series 2004-36, Class SA, IF, 4.67%, 5/25/2034 (f) | 211 | 221 |
30 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2004-51, Class SY, IF, 3.44%, 7/25/2034 (f) | 41 | 38 |
Series 2005-74, Class CS, IF, 5.16%, 5/25/2035 (f) | 33 | 33 |
Series 2005-56, Class S, IF, IO, 1.31%, 7/25/2035 (f) | 200 | 15 |
Series 2005-66, Class SG, IF, 3.87%, 7/25/2035 (f) | 66 | 68 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | 187 | 186 |
Series 2005-84, Class XM, 5.75%, 10/25/2035 | 460 | 458 |
Series 2005-110, Class GL, 5.50%, 12/25/2035 | 1,648 | 1,653 |
Series 2006-46, Class UC, 5.50%, 12/25/2035 | 47 | 47 |
Series 2005-109, Class PC, 6.00%, 12/25/2035 | 137 | 137 |
Series 2006-39, Class WC, 5.50%, 1/25/2036 | 26 | 26 |
Series 2006-16, Class OA, PO, 3/25/2036 | 66 | 56 |
Series 2006-22, Class AO, PO, 4/25/2036 | 119 | 100 |
Series 2006-23, Class KO, PO, 4/25/2036 | 19 | 17 |
Series 2006-44, Class GO, PO, 6/25/2036 | 170 | 143 |
Series 2006-53, Class US, IF, IO, 1.18%, 6/25/2036 (f) | 248 | 19 |
Series 2006-56, PO, 7/25/2036 | 129 | 107 |
Series 2006-58, PO, 7/25/2036 | 73 | 60 |
Series 2006-58, Class AP, PO, 7/25/2036 | 153 | 127 |
Series 2006-65, Class QO, PO, 7/25/2036 | 114 | 96 |
Series 2006-56, Class FC, 5.69%, 7/25/2036 (f) | 234 | 232 |
Series 2006-58, Class FL, 5.86%, 7/25/2036 (f) | 18 | 18 |
Series 2006-60, Class DZ, 6.50%, 7/25/2036 | 2,860 | 2,877 |
Series 2006-72, Class TO, PO, 8/25/2036 | 18 | 15 |
Series 2006-79, Class DO, PO, 8/25/2036 | 92 | 80 |
Series 2007-7, Class SG, IF, IO, 1.10%, 8/25/2036 (f) | 785 | 89 |
Series 2006-77, Class PC, 6.50%, 8/25/2036 | 234 | 238 |
Series 2006-90, Class AO, PO, 9/25/2036 | 55 | 47 |
Series 2008-42, Class AO, PO, 9/25/2036 | 37 | 30 |
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 | 459 | 93 |
Series 2006-109, PO, 11/25/2036 | 40 | 32 |
Series 2006-110, PO, 11/25/2036 | 198 | 163 |
Series 2006-111, Class EO, PO, 11/25/2036 | 26 | 22 |
Series 2006-124, Class HB, 3.95%, 11/25/2036 (f) | 340 | 351 |
Series 2006-119, PO, 12/25/2036 | 30 | 26 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2006-118, Class A2, 5.57%, 12/25/2036 (f) | 114 | 111 |
Series 2009-70, Class CO, PO, 1/25/2037 | 189 | 157 |
Series 2006-128, Class BP, 5.50%, 1/25/2037 | 34 | 34 |
Series 2007-14, Class ES, IF, IO, 1.04%, 3/25/2037 (f) | 314 | 23 |
Series 2007-77, Class FG, 5.90%, 3/25/2037 (f) | 32 | 32 |
Series 2007-16, Class FC, 6.15%, 3/25/2037 (f) | 41 | 40 |
Series 2007-42, Class AO, PO, 5/25/2037 | 9 | 7 |
Series 2007-48, PO, 5/25/2037 | 49 | 41 |
Series 2007-60, Class AX, IF, IO, 1.75%, 7/25/2037 (f) | 880 | 98 |
Series 2007-81, Class GE, 6.00%, 8/25/2037 | 88 | 91 |
Series 2007-88, Class VI, IF, IO, 1.14%, 9/25/2037 (f) | 625 | 52 |
Series 2007-91, Class ES, IF, IO, 1.06%, 10/25/2037 (f) | 454 | 35 |
Series 2007-116, Class HI, IO, 0.17%, 1/25/2038 (f) | 246 | 9 |
Series 2008-1, Class BI, IF, IO, 0.51%, 2/25/2038 (f) | 147 | 9 |
Series 2008-16, Class IS, IF, IO, 0.80%, 3/25/2038 (f) | 61 | 4 |
Series 2008-10, Class XI, IF, IO, 0.83%, 3/25/2038 (f) | 134 | 10 |
Series 2008-27, Class SN, IF, IO, 1.50%, 4/25/2038 (f) | 70 | 6 |
Series 2008-44, PO, 5/25/2038 | 6 | 5 |
Series 2008-53, Class CI, IF, IO, 1.80%, 7/25/2038 (f) | 87 | 8 |
Series 2008-80, Class SA, IF, IO, 0.45%, 9/25/2038 (f) | 203 | 13 |
Series 2008-81, Class SB, IF, IO, 0.45%, 9/25/2038 (f) | 263 | 12 |
Series 2009-6, Class GS, IF, IO, 1.15%, 2/25/2039 (f) | 187 | 16 |
Series 2009-60, Class HT, 6.00%, 8/25/2039 | 184 | 189 |
Series 2009-99, Class SC, IF, IO, 0.78%, 12/25/2039 (f) | 54 | 3 |
Series 2009-103, Class MB, 4.89%, 12/25/2039 (f) | 77 | 77 |
Series 2010-49, Class SC, IF, 1.86%, 3/25/2040 (f) | 138 | 130 |
Series 2010-64, Class DM, 5.00%, 6/25/2040 | 68 | 67 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 126 | 127 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 31 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2010-147, Class SA, IF, IO, 1.13%, 1/25/2041 (f) | 614 | 66 |
Series 2011-30, Class LS, IO, 1.56%, 4/25/2041 (f) | 213 | 11 |
Series 2011-75, Class FA, 5.95%, 8/25/2041 (f) | 50 | 49 |
Series 2011-118, Class MT, 7.00%, 11/25/2041 | 176 | 183 |
Series 2011-130, Class CA, 6.00%, 12/25/2041 | 411 | 415 |
Series 2013-81, Class TA, 3.00%, 2/25/2043 | 773 | 734 |
Series 2013-92, PO, 9/25/2043 | 495 | 366 |
Series 2013-90, Class PM, 3.50%, 9/25/2043 | 1,694 | 1,505 |
Series 2013-101, Class DO, PO, 10/25/2043 | 874 | 630 |
Series 2013-128, PO, 12/25/2043 | 896 | 674 |
Series 2011-2, Class WA, 5.86%, 2/25/2051 (f) | 105 | 104 |
FNMA, REMIC Trust, Whole Loan | ||
Series 2007-W7, Class 1A4, IF, 6.77%, 7/25/2037 (f) | 5 | 6 |
Series 2003-W4, Class 2A, 5.10%, 10/25/2042 (f) | 31 | 31 |
Series 2003-W1, Class 1A1, 4.80%, 12/25/2042 (f) | 270 | 255 |
Series 2003-W1, Class 2A, 5.21%, 12/25/2042 (f) | 116 | 111 |
Series 2009-W1, Class A, 6.00%, 12/25/2049 | 221 | 221 |
FNMA, REMIC, Whole Loan | ||
Series 2007-101, Class A2, 4.61%, 6/27/2036 (f) | 181 | 179 |
Series 2007-54, Class FA, 5.80%, 6/25/2037 (f) | 103 | 101 |
Series 2007-106, Class A7, 6.04%, 10/25/2037 (f) | 55 | 56 |
FNMA, STRIPS | ||
Series 265, Class 2, 9.00%, 3/25/2024 | — | — |
Series 329, Class 1, PO, 1/25/2033 | 19 | 16 |
Series 345, Class 6, IO, 5.00%, 12/25/2033 (f) | 28 | 4 |
Series 351, Class 7, IO, 5.00%, 4/25/2034 (f) | 92 | 11 |
Series 355, Class 11, IO, 6.00%, 7/25/2034 | 79 | 11 |
Series 365, Class 8, IO, 5.50%, 5/25/2036 | 121 | 25 |
Series 374, Class 5, IO, 5.50%, 8/25/2036 | 64 | 11 |
Series 393, Class 6, IO, 5.50%, 4/25/2037 | 21 | 2 |
Series 383, Class 32, IO, 6.00%, 1/25/2038 | 30 | 6 |
Series 383, Class 33, IO, 6.00%, 1/25/2038 | 79 | 16 |
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.87%, 6/19/2035 (f) | 293 | 274 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
GNMA | ||
Series 2001-35, Class SA, IF, IO, 2.82%, 8/16/2031 (f) | 43 | — |
Series 2002-52, Class GH, 6.50%, 7/20/2032 | 208 | 207 |
Series 2003-58, Class BE, 6.50%, 1/20/2033 | 273 | 272 |
Series 2003-12, Class SP, IF, IO, 2.27%, 2/20/2033 (f) | 66 | 1 |
Series 2003-46, Class MG, 6.50%, 5/20/2033 | 212 | 212 |
Series 2003-52, Class AP, PO, 6/16/2033 | 61 | 55 |
Series 2003-112, Class SA, IF, IO, 1.12%, 12/16/2033 (f) | 225 | 3 |
Series 2004-28, Class S, IF, 4.74%, 4/16/2034 (f) | 93 | 95 |
Series 2004-90, Class SI, IF, IO, 0.67%, 10/20/2034 (f) | 301 | 13 |
Series 2005-68, Class DP, IF, 3.36%, 6/17/2035 (f) | 27 | 27 |
Series 2010-14, Class CO, PO, 8/20/2035 | 101 | 86 |
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (f) | 462 | 64 |
Series 2005-68, Class KI, IF, IO, 0.87%, 9/20/2035 (f) | 659 | 47 |
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 | 99 | 12 |
Series 2006-16, Class OP, PO, 3/20/2036 | 45 | 39 |
Series 2006-38, Class ZK, 6.50%, 8/20/2036 | 539 | 538 |
Series 2006-59, Class SD, IF, IO, 1.27%, 10/20/2036 (f) | 153 | 8 |
Series 2006-65, Class SA, IF, IO, 1.37%, 11/20/2036 (f) | 244 | 3 |
Series 2011-22, Class WA, 5.87%, 2/20/2037 (f) | 233 | 235 |
Series 2007-57, PO, 3/20/2037 | 25 | 24 |
Series 2007-17, Class JO, PO, 4/16/2037 | 45 | 37 |
Series 2007-17, Class JI, IF, IO, 1.38%, 4/16/2037 (f) | 420 | 31 |
Series 2007-19, Class SD, IF, IO, 0.77%, 4/20/2037 (f) | 220 | 4 |
Series 2007-28, Class BO, PO, 5/20/2037 | 46 | 39 |
Series 2007-26, Class SC, IF, IO, 0.77%, 5/20/2037 (f) | 183 | 5 |
Series 2007-27, Class SA, IF, IO, 0.77%, 5/20/2037 (f) | 202 | 7 |
Series 2007-36, Class SE, IF, IO, 1.04%, 6/16/2037 (f) | 113 | 3 |
Series 2007-47, Class PH, 6.00%, 7/16/2037 | 1,711 | 1,729 |
Series 2007-40, Class SB, IF, IO, 1.32%, 7/20/2037 (f) | 405 | 18 |
32 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2007-42, Class SB, IF, IO, 1.32%, 7/20/2037 (f) | 235 | 10 |
Series 2007-53, Class SW, IF, 3.92%, 9/20/2037 (f) | 20 | 20 |
Series 2009-79, Class OK, PO, 11/16/2037 | 68 | 57 |
Series 2007-73, Class MI, IF, IO, 0.57%, 11/20/2037 (f) | 133 | 2 |
Series 2007-76, Class SA, IF, IO, 1.10%, 11/20/2037 (f) | 261 | 7 |
Series 2007-72, Class US, IF, IO, 1.12%, 11/20/2037 (f) | 127 | 2 |
Series 2007-79, Class SY, IF, IO, 1.12%, 12/20/2037 (f) | 119 | 3 |
Series 2008-2, Class NS, IF, IO, 1.11%, 1/16/2038 (f) | 226 | 8 |
Series 2008-2, Class MS, IF, IO, 1.73%, 1/16/2038 (f) | 68 | 5 |
Series 2008-10, Class S, IF, IO, 0.40%, 2/20/2038 (f) | 142 | 2 |
Series 2008-36, Class SH, IF, IO, 0.87%, 4/20/2038 (f) | 193 | — |
Series 2008-40, Class SA, IF, IO, 0.97%, 5/16/2038 (f) | 1,148 | 55 |
Series 2008-55, Class SA, IF, IO, 0.77%, 6/20/2038 (f) | 109 | 3 |
Series 2008-71, Class SC, IF, IO, 0.57%, 8/20/2038 (f) | 49 | 1 |
Series 2009-25, Class SE, IF, IO, 2.17%, 9/20/2038 (f) | 91 | 3 |
Series 2008-93, Class AS, IF, IO, 0.27%, 12/20/2038 (f) | 143 | 6 |
Series 2009-6, Class SA, IF, IO, 0.67%, 2/16/2039 (f) | 123 | — |
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 | 292 | 19 |
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | 130 | 14 |
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 126 | 13 |
Series 2009-22, Class SA, IF, IO, 0.84%, 4/20/2039 (f) | 257 | 11 |
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | 64 | 7 |
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | 68 | 9 |
Series 2009-43, Class SA, IF, IO, 0.52%, 6/20/2039 (f) | 122 | 3 |
Series 2009-72, Class SM, IF, IO, 0.82%, 8/16/2039 (f) | 274 | 14 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2010-31, Class NO, PO, 3/20/2040 | 439 | 360 |
Series 2013-75, Class WA, 5.11%, 6/20/2040 (f) | 624 | 615 |
Series 2010-130, Class CP, 7.00%, 10/16/2040 | 78 | 82 |
Series 2010-157, Class OP, PO, 12/20/2040 | 478 | 393 |
Series 2011-75, Class SM, IF, IO, 1.17%, 5/20/2041 (f) | 380 | 18 |
Series 2014-188, Class W, 4.56%, 10/20/2041 (f) | 253 | 244 |
Series 2012-141, Class WC, 3.71%, 1/20/2042 (f) | 160 | 150 |
Series 2013-54, Class WA, 4.90%, 11/20/2042 (f) | 973 | 947 |
Series 2013-91, Class WA, 4.44%, 4/20/2043 (f) | 522 | 493 |
Series 2013-116, Class JY, 4.00%, 8/16/2043 | 1,300 | 1,209 |
Series 2018-160, Class PA, 3.50%, 7/20/2046 | 1,032 | 986 |
Series 2012-H24, Class FG, 5.59%, 4/20/2060 (f) | 9 | 9 |
Series 2013-H03, Class FA, 5.56%, 8/20/2060 (f) | — | — |
Series 2012-H21, Class CF, 4.87%, 5/20/2061 (f) | 7 | 7 |
Series 2013-H05, Class FB, 4.96%, 2/20/2062 (f) | 9 | 9 |
Series 2012-H15, Class FA, 5.50%, 5/20/2062 (f) | — | — |
Series 2012-H26, Class MA, 4.88%, 7/20/2062 (f) | 3 | 3 |
Series 2012-H28, Class FA, 4.97%, 9/20/2062 (f) | 3 | 3 |
Series 2012-H29, Class FA, 5.77%, 10/20/2062 (f) | 222 | 221 |
Series 2012-H31, Class FD, 5.60%, 12/20/2062 (f) | 524 | 520 |
Series 2013-H01, Class FA, 1.65%, 1/20/2063 | 1 | 1 |
Series 2013-H04, Class BA, 1.65%, 2/20/2063 | 2 | 2 |
Series 2013-H08, Class FC, 5.71%, 2/20/2063 (f) | 307 | 305 |
Series 2013-H07, Class HA, 5.67%, 3/20/2063 (f) | 323 | 320 |
Series 2013-H09, Class HA, 1.65%, 4/20/2063 | 10 | 10 |
Series 2013-H18, Class JA, 5.86%, 8/20/2063 (f) | 652 | 650 |
Series 2014-H01, Class FD, 5.87%, 1/20/2064 (f) | 340 | 339 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 33 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2014-H09, Class TA, 5.82%, 4/20/2064 (f) | 303 | 302 |
Series 2015-H15, Class FD, 5.66%, 6/20/2065 (f) | 986 | 979 |
Series 2015-H15, Class FJ, 5.66%, 6/20/2065 (f) | 2,178 | 2,164 |
Series 2015-H16, Class FG, 5.66%, 7/20/2065 (f) | 1,533 | 1,522 |
Series 2015-H23, Class FB, 5.74%, 9/20/2065 (f) | 1,430 | 1,421 |
Series 2015-H32, Class FH, 5.88%, 12/20/2065 (f) | 1,109 | 1,104 |
Series 2017-H08, Class XI, IO, 0.07%, 3/20/2067 (f) | 4,705 | 196 |
Series 2021-H14, Class CF, 6.64%, 9/20/2071 (f) | 4,283 | 4,361 |
GSMPS Mortgage Loan Trust | ||
Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (f) | 280 | 255 |
Series 2005-RP3, Class 1AS, IO, 3.73%, 9/25/2035 (b) (f) | 378 | 2 |
Series 2005-RP3, Class 1AF, 5.78%, 9/25/2035 (b) (f) | 500 | 418 |
Series 2006-RP2, Class 1AS2, IF, IO, 0.61%, 4/25/2036 ‡ (b) (f) | 1,489 | 66 |
GSR Mortgage Loan Trust | ||
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | 90 | 90 |
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 | 44 | 44 |
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | 55 | 53 |
Series 2005-4F, Class AP, PO, 5/25/2035 | — | — |
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | 259 | 246 |
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | 676 | 336 |
Impac CMB Trust | ||
Series 2004-7, Class 1A1, 6.17%, 11/25/2034 (f) | 261 | 255 |
Series 2005-4, Class 2A1, 6.03%, 5/25/2035 (f) | 85 | 79 |
Impac Secured Assets Trust Series 2006-1, Class 2A1, 6.13%, 5/25/2036 (f) | 50 | 45 |
JPMorgan Mortgage Trust | ||
Series 2006-A2, Class 5A3, 4.59%, 11/25/2033 (f) | 93 | 90 |
Series 2006-A3, Class 6A1, 4.73%, 8/25/2034 (f) | 25 | 24 |
Series 2006-A2, Class 4A1, 5.59%, 8/25/2034 (f) | 118 | 118 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Lehman Mortgage Trust | ||
Series 2006-2, Class 1A1, 5.88%, 4/25/2036 (f) | 197 | 126 |
Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | 430 | 149 |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 2/25/2026 (b) (f) | 646 | 641 |
MASTR Adjustable Rate Mortgages Trust | ||
Series 2004-13, Class 2A1, 4.71%, 4/21/2034 (f) | 68 | 64 |
Series 2004-4, Class 2A1, 3.81%, 5/25/2034 (f) | 24 | 22 |
Series 2004-13, Class 3A7, 5.21%, 11/21/2034 (f) | 158 | 148 |
Series 2004-15, Class 3A1, 4.44%, 12/25/2034 (f) | 42 | 39 |
MASTR Alternative Loan Trust | ||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | 1 | 1 |
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | 1 | 1 |
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 36 | 34 |
Series 2003-3, Class 1A1, 6.50%, 5/25/2033 | 78 | 79 |
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 160 | 152 |
Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | 88 | 87 |
Series 2004-6, Class 30, PO, 7/25/2034 | 90 | 67 |
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | 168 | 159 |
Series 2004-7, Class 30, PO, 8/25/2034 | 53 | 37 |
MASTR Asset Securitization Trust | ||
Series 2004-6, Class 15, PO, 7/25/2019 ‡ | — | — |
Series 2003-12, Class 30, PO, 12/25/2033 | 6 | 4 |
Series 2004-1, Class 30, PO, 2/25/2034 | 7 | 4 |
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 5.78%, 5/25/2035 (b) (f) | 1,116 | 585 |
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) | 48 | 29 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2003-E, Class A1, 6.05%, 10/25/2028 (f) | 29 | 27 |
Series 2003-F, Class A1, 6.07%, 10/25/2028 (f) | 212 | 198 |
Series 2004-A, Class A1, 5.89%, 4/25/2029 (f) | 50 | 46 |
Series 2004-1, Class 2A1, 4.39%, 12/25/2034 (f) | 91 | 85 |
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f) | 148 | 128 |
Nomura Asset Acceptance Corp. Alternative Loan Trust | ||
Series 2003-A1, Class A5, 7.00%, 4/25/2033 | 33 | 33 |
Series 2003-A1, Class A1, 5.50%, 5/25/2033 | 8 | 8 |
34 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2003-A1, Class A2, 6.00%, 5/25/2033 | 24 | 23 |
RALI Trust | ||
Series 2002-QS16, Class A3, IF, 5.27%, 10/25/2017 ‡ (f) | — | — |
Series 2003-QS9, Class A3, IF, IO, 2.12%, 5/25/2018 ‡ (f) | 1 | — |
Series 2003-QS12, Class A2A, IF, IO, 2.17%, 6/25/2018 ‡ (f) | — | — |
Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡ (h) | — | — |
Series 2004-QA6, Class NB2, 3.98%, 12/26/2034 (f) | 215 | 196 |
SART Series 2017-1, 4.75%, 7/15/2024 ‡ | 242 | 237 |
Seasoned Credit Risk Transfer Trust | ||
Series 2019-1, Class MT, 3.50%, 7/25/2058 | 2,524 | 2,188 |
Series 2019-3, Class MB, 3.50%, 10/25/2058 | 1,725 | 1,404 |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 | 3,313 | 2,805 |
Series 2023-1, Class MT, 3.00%, 10/25/2062 | 4,900 | 4,104 |
Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 6.09%, 10/19/2034 (f) | 121 | 113 |
Thornburg Mortgage Securities Trust | ||
Series 2003-4, Class A1, 6.07%, 9/25/2043 (f) | 67 | 63 |
Series 2004-4, Class 3A, 3.75%, 12/25/2044 (f) | 154 | 143 |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f) | 5,448 | 4,400 |
Vendee Mortgage Trust | ||
Series 1994-1, Class 1, 4.43%, 2/15/2024 (f) | 5 | 5 |
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | 14 | 14 |
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | 76 | 76 |
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | 54 | 55 |
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | 108 | 110 |
Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 156 | 156 |
Series 1999-1, Class 2Z, 6.50%, 1/15/2029 | 345 | 341 |
Series 2003-2, Class Z, 5.00%, 5/15/2033 | 1,560 | 1,541 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (f) | 4,000 | 3,934 |
WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033 | 286 | 250 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2003-AR8, Class A, 5.63%, 8/25/2033 (f) | 21 | 20 |
Series 2003-AR9, Class 1A6, 4.85%, 9/25/2033 (f) | 359 | 331 |
Series 2003-AR9, Class 2A, 5.91%, 9/25/2033 (f) | 26 | 23 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2003-S9, Class P, PO, 10/25/2033 | 9 | 6 |
Series 2003-S9, Class A8, 5.25%, 10/25/2033 | 167 | 159 |
Series 2004-AR3, Class A1, 4.52%, 6/25/2034 (f) | 26 | 23 |
Series 2004-AR3, Class A2, 4.52%, 6/25/2034 (f) | 22 | 20 |
Series 2006-AR10, Class 2P, 4.04%, 9/25/2036 (f) | 41 | 35 |
Series 2006-AR12, Class 2P, 3.38%, 10/25/2036 (f) | 41 | 35 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||
Series 2005-2, Class 2A3, IF, IO, 4.54%, 4/25/2035 (f) | 347 | 10 |
Series 2005-2, Class 1A4, IF, IO, 4.59%, 4/25/2035 (f) | 1,879 | 50 |
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 | 582 | 94 |
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 597 | 524 |
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 | 504 | 78 |
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | 103 | 86 |
Series 2005-6, Class 2A9, 5.50%, 8/25/2035 | 659 | 551 |
Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 | 87 | 76 |
Total Collateralized Mortgage Obligations (Cost $129,848) | 122,695 | |
Commercial Mortgage-Backed Securities — 4.3% | ||
BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 (b) (f) | 1,300 | 841 |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) | 4,400 | 4,010 |
Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 (b) (f) | 3 | — |
Commercial Mortgage Trust Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) | 3,500 | 3,211 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 7.09%, 7/25/2041 (b) (f) | 5,870 | 5,481 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K065, Class A2, 3.24%, 4/25/2027 | 2,467 | 2,328 |
Series K065, Class AM, 3.33%, 5/25/2027 | 1,322 | 1,244 |
Series K070, Class A2, 3.30%, 11/25/2027 (f) | 1,748 | 1,648 |
Series K138, Class AM, 1.89%, 1/25/2032 | 1,850 | 1,464 |
Series K146, Class A2, 2.92%, 6/25/2032 | 4,200 | 3,633 |
Series K-150, Class A2, 3.71%, 9/25/2032 (f) | 4,145 | 3,810 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 35 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Series K-151, Class A2, 3.80%, 10/25/2032 (f) | 5,200 | 4,811 |
Series K-153, Class A2, 3.82%, 12/25/2032 (f) | 4,500 | 4,166 |
FNMA ACES | ||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (f) | 150 | 148 |
Series 2017-M3, Class A2, 2.55%, 12/25/2026 (f) | 881 | 817 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) | 5,691 | 5,373 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) | 3,058 | 2,869 |
Series 2018-M8, Class A2, 3.41%, 6/25/2028 (f) | 2,340 | 2,202 |
Series 2018-M10, Class A2, 3.47%, 7/25/2028 (f) | 3,335 | 3,145 |
Series 2017-M5, Class A2, 3.17%, 4/25/2029 (f) | 2,379 | 2,203 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 1,312 | 1,160 |
Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (f) | 18,517 | 1,138 |
Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (f) | 5,230 | 4,238 |
Series 2022-M13, Class A2, 2.68%, 6/25/2032 (f) | 6,802 | 5,757 |
Series 2022-M2S, Class A2, 3.88%, 8/25/2032 (f) | 4,225 | 3,923 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 280 | 264 |
Series 2021-M3, Class X1, IO, 2.05%, 11/25/2033 (f) | 3,387 | 286 |
FREMF Mortgage Trust | ||
Series 2019-KBF3, Class B, 7.72%, 1/25/2029 (b) (f) | 3,397 | 3,146 |
Series 2014-K39, Class C, 4.28%, 8/25/2047 (b) (f) | 4,650 | 4,536 |
Series 2020-K737, Class B, 3.42%, 1/25/2053 (b) (f) | 550 | 509 |
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) | 998 | 875 |
MRCD MARK Mortgage Trust | ||
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | 2,050 | 1,850 |
Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b) | 2,685 | 2,175 |
P4 SFR Series 2019-STl A7.25%, 10/11/2026 ‡ | 2,600 | 2,467 |
RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b) | 652 | 592 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | 3,935 | 3,155 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | 71 | 66 |
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA, IO, 0.71%, 5/10/2063 (b) (f) | 572 | — |
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.13%, 3/15/2045 (b) (f) | 400 | 280 |
Total Commercial Mortgage-Backed Securities (Cost $96,976) | 89,821 | |
Municipal Bonds — 0.5% (i) | ||
California — 0.0% ^ | ||
City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, Rev., 6.58%, 5/15/2039 | 400 | 435 |
State of California, Various Purpose GO, 7.30%, 10/1/2039 | 350 | 415 |
Total California | 850 | |
New York — 0.2% | ||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010D, Rev., 5.60%, 3/15/2040 | 360 | 368 |
Port Authority of New York and New Jersey, Consolidated | ||
Series 164, Rev., 5.65%, 11/1/2040 | 1,825 | 1,910 |
Series 165, Rev., 5.65%, 11/1/2040 | 440 | 460 |
Series 174, Rev., 4.46%, 10/1/2062 | 2,060 | 1,832 |
Total New York | 4,570 | |
Ohio — 0.2% | ||
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 | 1,315 | 1,590 |
Ohio State University (The), General Receipts | ||
Series 2016A, Rev., 4.05%, 12/1/2056 | 325 | 260 |
Series 2011A, Rev., 4.80%, 6/1/2111 | 1,563 | 1,361 |
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 | 200 | 185 |
Total Ohio | 3,396 | |
Oklahoma — 0.0% ^ | ||
Oklahoma Development Finance Authority, Natural Gas Co. Series 2022, Rev., 4.71%, 5/1/2052 | 575 | 552 |
36 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Texas — 0.1% | ||
Texas Natural Gas Securitization Finance Corp., Winter Storm URI | ||
Series 2023A-1, Rev., 5.10%, 4/1/2035 | 685 | 683 |
Series 2023A-2, Rev., 5.17%, 4/1/2041 | 1,155 | 1,151 |
Total Texas | 1,834 | |
Total Municipal Bonds (Cost $11,493) | 11,202 | |
U.S. Government Agency Securities — 0.4% | ||
Tennessee Valley Authority | ||
5.88%, 4/1/2036 | 6,839 | 7,609 |
4.63%, 9/15/2060 | 304 | 283 |
Tennessee Valley Authority STRIPS DN, 5.55%, 6/15/2035 (a) | 800 | 450 |
Total U.S. Government Agency Securities (Cost $9,329) | 8,342 | |
Foreign Government Securities — 0.3% | ||
Kingdom of Saudi Arabia | ||
2.25%, 2/2/2033 (b) | 622 | 492 |
3.45%, 2/2/2061 (b) | 550 | 364 |
Republic of Chile 2.55%, 1/27/2032 | 497 | 417 |
Republic of Panama 4.50%, 4/16/2050 | 325 | 242 |
Republic of Peru 5.63%, 11/18/2050 | 88 | 88 |
United Mexican States | ||
3.75%, 1/11/2028 | 1,216 | 1,150 |
2.66%, 5/24/2031 | 1,075 | 890 |
3.50%, 2/12/2034 | 1,252 | 1,038 |
4.60%, 1/23/2046 | 2,113 | 1,705 |
6.34%, 5/4/2053 | 310 | 309 |
3.77%, 5/24/2061 | 772 | 507 |
Total Foreign Government Securities (Cost $8,947) | 7,202 | |
Loan Assignments — 0.1% (c) (j) | ||
Consumer Finance — 0.1% | ||
OneSky Loan Trust, 1st Lien Term Loan (3-MONTH SOFR + 3.00%), 3.88%, 1/15/2031 (Cost $2,999) | 2,970 | 2,712 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short-Term Investments — 2.8% | ||
Investment Companies — 2.8% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.38% (k) (l) (Cost $58,285) | 58,273 | 58,290 |
Total Investments — 100.4% (Cost $2,322,392) | 2,105,223 | |
Liabilities in Excess of Other Assets — (0.4)% | (7,463 ) | |
NET ASSETS — 100.0% | 2,097,760 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2023. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
DN | Discount Notes |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
FRN | Floating Rate Note |
GNMA | Government National Mortgage Association |
GO | General Obligation |
ICE | Intercontinental Exchange |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2023. The rate may be subject to a cap and floor. |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
LIBOR | London Interbank Offered Rate |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
August 31, 2023 | JPMorgan Institutional Trust Funds | 37 |
AS OF August 31, 2023 (Unaudited) (continued)
REMIC | Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | The rate shown is the effective yield as of August 31, 2023. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2023. | |
(d) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at August 31, 2023 is $2,512 or 0.12% of the Fund’s net assets as of August 31, 2023. | |
(e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2023. | |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2023. | |
(g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(h) | Value is zero. | |
(i) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(j) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(k) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(l) | The rate shown is the current yield as of August 31, 2023. |
38 | JPMorgan Institutional Trust Funds | August 31, 2023 |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 517 | 12/19/2023 | USD | 57,395 | 448 |
U.S. Treasury 10 Year Ultra Note | 169 | 12/19/2023 | USD | 19,617 | 162 |
U.S. Treasury Ultra Bond | 62 | 12/19/2023 | USD | 8,025 | 97 |
U.S. Treasury 2 Year Note | 145 | 12/29/2023 | USD | 29,558 | 59 |
U.S. Treasury 5 Year Note | 759 | 12/29/2023 | USD | 81,177 | 441 |
1,207 | |||||
Short Contracts | |||||
U.S. Treasury Long Bond | (184 ) | 12/19/2023 | USD | (22,368 ) | (239 ) |
968 |
Abbreviations | |
USD | United States Dollar |
August 31, 2023 | JPMorgan Institutional Trust Funds | 39 |
AS OF August 31, 2023 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — 33.9% | ||
U.S. Treasury Bonds | ||
6.13%, 8/15/2029 | 400 | 439 |
1.13%, 5/15/2040 | 750 | 464 |
U.S. Treasury Notes | ||
1.50%, 2/15/2025 | 250 | 237 |
0.25%, 7/31/2025 | 1,600 | 1,466 |
0.75%, 5/31/2026 | 3,000 | 2,706 |
1.13%, 10/31/2026 | 2,000 | 1,803 |
0.38%, 9/30/2027 | 580 | 494 |
0.50%, 10/31/2027 | 2,500 | 2,136 |
1.25%, 3/31/2028 | 2,000 | 1,748 |
2.88%, 5/15/2028 | 750 | 705 |
1.25%, 9/30/2028 | 4,200 | 3,625 |
3.13%, 11/15/2028 | 700 | 663 |
1.50%, 11/30/2028 | 800 | 697 |
1.75%, 1/31/2029 | 1,000 | 879 |
3.25%, 6/30/2029 | 1,200 | 1,138 |
2.88%, 5/15/2032 | 6,000 | 5,453 |
2.75%, 8/15/2032 | 600 | 538 |
4.13%, 11/15/2032 | 1,000 | 999 |
U.S. Treasury STRIPS Bonds | ||
2.79%, 2/15/2024 (a) | 606 | 592 |
2.40%, 5/15/2024 (a) | 200 | 193 |
3.23%, 5/15/2025 (a) | 200 | 184 |
2.55%, 5/15/2026 (a) | 200 | 177 |
3.93%, 8/15/2026 (a) | 47 | 41 |
4.10%, 11/15/2026 (a) | 300 | 260 |
3.22%, 2/15/2027 (a) | 100 | 86 |
4.45%, 8/15/2027 (a) | 100 | 84 |
4.49%, 11/15/2027 (a) | 140 | 117 |
3.39%, 2/15/2028 (a) | 53 | 44 |
2.70%, 5/15/2028 (a) | 10 | 8 |
3.63%, 8/15/2028 (a) | 200 | 162 |
Total U.S. Treasury Obligations (Cost $29,719) | 28,138 | |
Corporate Bonds — 25.2% | ||
Aerospace & Defense — 0.8% | ||
Boeing Co. (The) | ||
4.88%, 5/1/2025 | 54 | 53 |
2.20%, 2/4/2026 | 86 | 79 |
3.10%, 5/1/2026 | 100 | 94 |
L3Harris Technologies, Inc. 3.85%, 12/15/2026 | 70 | 67 |
Leidos, Inc. 2.30%, 2/15/2031 | 100 | 79 |
Northrop Grumman Corp. 2.93%, 1/15/2025 | 150 | 145 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Aerospace & Defense — continued | ||
RTX Corp. 4.13%, 11/16/2028 | 100 | 96 |
Textron, Inc. 3.00%, 6/1/2030 | 100 | 87 |
700 | ||
Automobile Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 14 | 11 |
Automobiles — 0.5% | ||
General Motors Co. 6.13%, 10/1/2025 | 50 | 50 |
Mercedes-Benz Finance North America LLC (Germany) 2.13%, 3/10/2025 (b) | 150 | 143 |
Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b) | 200 | 183 |
376 | ||
Banks — 4.2% | ||
Bank of America Corp. | ||
(SOFR + 0.67%), 1.84%, 2/4/2025 (c) | 154 | 151 |
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) | 60 | 55 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (c) | 168 | 166 |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (c) | 250 | 229 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (c) | 73 | 72 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) | 250 | 204 |
Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024 | 150 | 148 |
Citigroup, Inc. | ||
4.40%, 6/10/2025 | 115 | 112 |
4.45%, 9/29/2027 | 50 | 48 |
(SOFR + 1.15%), 2.67%, 1/29/2031 (c) | 350 | 293 |
Fifth Third Bancorp 2.38%, 1/28/2025 | 64 | 61 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 0.71%), 0.98%, 5/24/2025 (c) | 200 | 192 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | 200 | 178 |
Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027 | 250 | 235 |
Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025 | 225 | 213 |
Morgan Stanley Bank NA 5.48%, 7/16/2025 | 250 | 250 |
PNC Financial Services Group, Inc. (The) (SOFR + 1.09%), 4.76%, 1/26/2027 (c) | 74 | 73 |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.60%), 6.53%, 1/10/2029 (c) | 200 | 202 |
Societe Generale SA (France) 4.25%, 4/14/2025 (b) | 200 | 193 |
Toronto-Dominion Bank (The) (Canada) 5.53%, 7/17/2026 | 100 | 100 |
Wells Fargo & Co. | ||
3.00%, 2/19/2025 | 99 | 95 |
40 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
4.10%, 6/3/2026 | 21 | 20 |
4.30%, 7/22/2027 | 30 | 29 |
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (c) | 170 | 158 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (c) | 39 | 39 |
3,516 | ||
Beverages — 0.3% | ||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029 | 165 | 163 |
Constellation Brands, Inc. 2.88%, 5/1/2030 | 11 | 10 |
Keurig Dr Pepper, Inc. 4.42%, 5/25/2025 | 18 | 18 |
PepsiCo, Inc. 1.63%, 5/1/2030 | 33 | 27 |
218 | ||
Biotechnology — 0.4% | ||
AbbVie, Inc. 4.25%, 11/14/2028 | 100 | 97 |
Amgen, Inc. | ||
1.65%, 8/15/2028 | 43 | 37 |
5.25%, 3/2/2030 | 46 | 46 |
3.35%, 2/22/2032 | 35 | 31 |
Gilead Sciences, Inc. | ||
3.50%, 2/1/2025 | 25 | 24 |
3.65%, 3/1/2026 | 57 | 55 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 28 | 22 |
312 | ||
Broadline Retail — 0.2% | ||
Amazon.com, Inc. 3.60%, 4/13/2032 | 100 | 92 |
eBay, Inc. 2.60%, 5/10/2031 | 100 | 83 |
175 | ||
Capital Markets — 1.6% | ||
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 | 47 | 45 |
Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (c) | 150 | 119 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.82%), 1.54%, 9/10/2027 (c) | 150 | 132 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | 80 | 72 |
(3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (c) | 149 | 140 |
Invesco Finance plc 3.75%, 1/15/2026 | 125 | 120 |
Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b) | 100 | 97 |
Morgan Stanley | ||
(SOFR + 0.47%), 5.79%, 11/10/2023 (c) | 83 | 83 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Capital Markets — continued | ||
(SOFR + 0.88%), 1.59%, 5/4/2027 (c) | 127 | 114 |
3.59%, 7/22/2028 (d) | 150 | 139 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) | 90 | 69 |
Nasdaq, Inc. 5.55%, 2/15/2034 | 20 | 20 |
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c) | 17 | 15 |
S&P Global, Inc. 2.90%, 3/1/2032 | 44 | 38 |
UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) | 200 | 158 |
1,361 | ||
Chemicals — 0.3% | ||
Albemarle Corp. 5.05%, 6/1/2032 | 50 | 47 |
EIDP, Inc. 4.50%, 5/15/2026 | 43 | 42 |
International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b) | 40 | 34 |
PPG Industries, Inc. 1.20%, 3/15/2026 | 37 | 33 |
RPM International, Inc. 2.95%, 1/15/2032 | 17 | 14 |
Sherwin-Williams Co. (The) 3.30%, 2/1/2025 | 110 | 106 |
276 | ||
Commercial Services & Supplies — 0.2% | ||
Republic Services, Inc. 3.38%, 11/15/2027 | 200 | 186 |
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 21 | 18 |
2.35%, 1/15/2032 | 69 | 54 |
72 | ||
Construction Materials — 0.1% | ||
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | 78 | 73 |
Consumer Finance — 1.2% | ||
AerCap Ireland Capital DAC (Ireland) 5.75%, 6/6/2028 | 200 | 198 |
Avolon Holdings Funding Ltd. (Ireland) | ||
3.95%, 7/1/2024 (b) | 120 | 117 |
4.25%, 4/15/2026 (b) | 190 | 179 |
2.53%, 11/18/2027 (b) | 334 | 285 |
Capital One Financial Corp. (SOFR + 1.37%), 4.17%, 5/9/2025 (c) | 42 | 41 |
General Motors Financial Co., Inc. 2.35%, 1/8/2031 | 200 | 156 |
976 | ||
Consumer Staples Distribution & Retail — 0.4% | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (b) | 100 | 78 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 41 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Staples Distribution & Retail — continued | ||
Alimentation Couche-Tard, Inc. (Canada) 3.55%, 7/26/2027 (b) | 50 | 47 |
CVS Pass-Through Trust 5.93%, 1/10/2034 (b) | 36 | 33 |
Dollar General Corp. 4.13%, 5/1/2028 | 109 | 104 |
Walmart, Inc. 4.10%, 4/15/2033 | 66 | 63 |
325 | ||
Containers & Packaging — 0.2% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | 41 | 37 |
Packaging Corp. of America 3.00%, 12/15/2029 | 100 | 87 |
WRKCo, Inc. 3.00%, 9/15/2024 | 80 | 78 |
202 | ||
Diversified REITs — 0.2% | ||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | 52 | 47 |
Safehold GL Holdings LLC 2.80%, 6/15/2031 | 88 | 68 |
WP Carey, Inc. | ||
2.40%, 2/1/2031 | 12 | 10 |
2.25%, 4/1/2033 | 100 | 74 |
199 | ||
Diversified Telecommunication Services — 0.2% | ||
AT&T, Inc. 2.75%, 6/1/2031 | 200 | 165 |
Verizon Communications, Inc. 2.10%, 3/22/2028 | 25 | 22 |
187 | ||
Electric Utilities — 2.2% | ||
American Electric Power Co., Inc. 2.30%, 3/1/2030 | 100 | 82 |
Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027 | 200 | 186 |
Duke Energy Corp. 3.75%, 4/15/2024 | 150 | 148 |
Duquesne Light Holdings, Inc. | ||
2.53%, 10/1/2030 (b) | 51 | 41 |
2.78%, 1/7/2032 (b) | 14 | 11 |
Edison International 4.13%, 3/15/2028 | 50 | 47 |
Entergy Mississippi LLC 2.85%, 6/1/2028 | 186 | 168 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 200 | 183 |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | 39 | 33 |
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | 89 | 84 |
Niagara Mohawk Power Corp. | ||
3.51%, 10/1/2024 (b) | 28 | 27 |
1.96%, 6/27/2030 (b) | 29 | 23 |
NRG Energy, Inc. 2.45%, 12/2/2027 (b) | 37 | 31 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Electric Utilities — continued | ||
Pacific Gas and Electric Co. | ||
2.95%, 3/1/2026 | 100 | 92 |
6.10%, 1/15/2029 | 17 | 17 |
4.55%, 7/1/2030 | 75 | 67 |
6.40%, 6/15/2033 | 36 | 36 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | 132 | 120 |
PG&E Recovery Funding LLC Series A-1, 5.05%, 7/15/2032 | 70 | 70 |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | 83 | 77 |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | 25 | 18 |
Southern Co. (The) Series 21-B, 1.75%, 3/15/2028 | 167 | 143 |
Virginia Electric and Power Co. 3.45%, 2/15/2024 | 21 | 21 |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | 100 | 98 |
1,823 | ||
Electrical Equipment — 0.2% | ||
Eaton Corp. 3.10%, 9/15/2027 | 140 | 131 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 100 | 93 |
Energy Equipment & Services — 0.1% | ||
Schlumberger Holdings Corp. 4.30%, 5/1/2029 (b) | 94 | 90 |
Entertainment — 0.1% | ||
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | 22 | 21 |
Walt Disney Co. (The) 7.70%, 10/30/2025 | 50 | 52 |
73 | ||
Financial Services — 0.4% | ||
Corebridge Financial, Inc. 3.65%, 4/5/2027 | 80 | 75 |
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b) | 10 | 10 |
Global Payments, Inc. | ||
2.15%, 1/15/2027 | 45 | 40 |
3.20%, 8/15/2029 | 50 | 44 |
Private Export Funding Corp. Series KK, 3.55%, 1/15/2024 | 200 | 198 |
367 | ||
Food Products — 0.5% | ||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 | 53 | 48 |
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | 50 | 46 |
Campbell Soup Co. | ||
3.95%, 3/15/2025 | 50 | 49 |
42 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Food Products — continued | ||
2.38%, 4/24/2030 | 74 | 62 |
Cargill, Inc. 1.70%, 2/2/2031 (b) | 75 | 59 |
General Mills, Inc. 4.95%, 3/29/2033 | 31 | 30 |
Kellogg Co. 3.40%, 11/15/2027 | 95 | 88 |
Smithfield Foods, Inc. | ||
5.20%, 4/1/2029 (b) | 7 | 7 |
3.00%, 10/15/2030 (b) | 18 | 14 |
403 | ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 2.63%, 9/15/2029 | 42 | 37 |
ONE Gas, Inc. 2.00%, 5/15/2030 | 26 | 21 |
58 | ||
Ground Transportation — 0.6% | ||
CSX Corp. 3.25%, 6/1/2027 | 162 | 152 |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | 60 | 58 |
Norfolk Southern Corp. 2.55%, 11/1/2029 | 150 | 129 |
Penske Truck Leasing Co. LP 5.75%, 5/24/2026 (b) | 37 | 37 |
Triton Container International Ltd. (Bermuda) | ||
2.05%, 4/15/2026 (b) | 110 | 98 |
3.25%, 3/15/2032 | 51 | 40 |
514 | ||
Health Care Equipment & Supplies — 0.1% | ||
Becton Dickinson & Co. 1.96%, 2/11/2031 | 50 | 40 |
Health Care Providers & Services — 0.5% | ||
Cigna Group (The) 3.50%, 6/15/2024 | 72 | 71 |
CommonSpirit Health 2.78%, 10/1/2030 | 50 | 42 |
CVS Health Corp. 5.25%, 1/30/2031 | 29 | 29 |
HCA, Inc. 4.13%, 6/15/2029 | 150 | 138 |
Humana, Inc. 3.95%, 3/15/2027 | 50 | 48 |
UnitedHealth Group, Inc. 2.30%, 5/15/2031 | 73 | 61 |
389 | ||
Health Care REITs — 0.5% | ||
Healthcare Realty Holdings LP | ||
3.10%, 2/15/2030 | 68 | 58 |
2.00%, 3/15/2031 | 29 | 22 |
Healthpeak OP LLC | ||
3.40%, 2/1/2025 | 3 | 3 |
2.13%, 12/1/2028 | 28 | 24 |
Physicians Realty LP 2.63%, 11/1/2031 | 37 | 29 |
Sabra Health Care LP 3.20%, 12/1/2031 | 52 | 40 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Health Care REITs — continued | ||
Ventas Realty LP | ||
3.75%, 5/1/2024 | 44 | 43 |
3.50%, 2/1/2025 | 27 | 26 |
4.13%, 1/15/2026 | 17 | 16 |
3.25%, 10/15/2026 | 45 | 42 |
Welltower OP LLC 4.50%, 1/15/2024 | 100 | 99 |
402 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 | 100 | 87 |
McDonald's Corp. 2.13%, 3/1/2030 | 58 | 49 |
136 | ||
Household Durables — 0.2% | ||
Lennar Corp. 5.25%, 6/1/2026 | 140 | 139 |
Industrial REITs — 0.1% | ||
Prologis LP 4.75%, 6/15/2033 | 100 | 96 |
Insurance — 0.9% | ||
Aon Global Ltd. 3.88%, 12/15/2025 | 143 | 138 |
Assurant, Inc. 4.20%, 9/27/2023 | 14 | 14 |
Athene Global Funding | ||
1.45%, 1/8/2026 (b) | 68 | 61 |
1.73%, 10/2/2026 (b) | 82 | 71 |
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) | 38 | 37 |
CNA Financial Corp. | ||
3.95%, 5/15/2024 | 52 | 51 |
4.50%, 3/1/2026 | 38 | 37 |
F&G Global Funding 2.30%, 4/11/2027 (b) | 50 | 44 |
Principal Financial Group, Inc. 3.10%, 11/15/2026 | 150 | 140 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | 150 | 155 |
748 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 75 | 68 |
Machinery — 0.1% | ||
Otis Worldwide Corp. 2.57%, 2/15/2030 | 44 | 38 |
Media — 0.6% | ||
Charter Communications Operating LLC | ||
4.91%, 7/23/2025 | 160 | 157 |
2.30%, 2/1/2032 | 50 | 38 |
Comcast Corp. | ||
3.38%, 8/15/2025 | 80 | 77 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 43 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Media — continued | ||
3.15%, 3/1/2026 | 16 | 16 |
Cox Communications, Inc. 1.80%, 10/1/2030 (b) | 67 | 52 |
Fox Corp. 4.71%, 1/25/2029 | 35 | 34 |
Paramount Global 2.90%, 1/15/2027 | 100 | 90 |
464 | ||
Metals & Mining — 0.1% | ||
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) | 60 | 49 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | 33 | 28 |
77 | ||
Multi-Utilities — 0.4% | ||
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 29 | 26 |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | 155 | 147 |
NiSource, Inc. 5.25%, 3/30/2028 | 18 | 18 |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | 16 | 12 |
Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 | 100 | 97 |
Puget Energy, Inc. 2.38%, 6/15/2028 | 17 | 15 |
WEC Energy Group, Inc. 3.55%, 6/15/2025 | 20 | 19 |
334 | ||
Office REITs — 0.1% | ||
Alexandria Real Estate Equities, Inc. | ||
2.00%, 5/18/2032 | 30 | 23 |
4.75%, 4/15/2035 | 18 | 17 |
Corporate Office Properties LP 2.00%, 1/15/2029 | 26 | 20 |
Kilroy Realty LP 2.65%, 11/15/2033 | 70 | 48 |
108 | ||
Oil, Gas & Consumable Fuels — 1.5% | ||
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | 100 | 95 |
BP Capital Markets America, Inc. 2.72%, 1/12/2032 | 150 | 126 |
Cameron LNG LLC 2.90%, 7/15/2031 (b) | 84 | 72 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 50 | 50 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 60 | 57 |
Ecopetrol SA (Colombia) 4.13%, 1/16/2025 | 58 | 56 |
Enbridge, Inc. (Canada) 5.70%, 3/8/2033 | 44 | 44 |
Energy Transfer LP | ||
4.90%, 2/1/2024 | 61 | 61 |
5.50%, 6/1/2027 | 50 | 50 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) | 114 | 90 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Oil, Gas & Consumable Fuels — continued | ||
Gray Oak Pipeline LLC | ||
2.60%, 10/15/2025 (b) | 40 | 37 |
3.45%, 10/15/2027 (b) | 50 | 45 |
HF Sinclair Corp. | ||
2.63%, 10/1/2023 | 12 | 12 |
5.88%, 4/1/2026 | 40 | 40 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | 105 | 103 |
MPLX LP 4.25%, 12/1/2027 | 27 | 26 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | 22 | 18 |
Ovintiv, Inc. 5.38%, 1/1/2026 | 40 | 40 |
Phillips 66 1.30%, 2/15/2026 | 28 | 25 |
Pioneer Natural Resources Co. | ||
1.13%, 1/15/2026 | 50 | 45 |
1.90%, 8/15/2030 | 72 | 58 |
Plains All American Pipeline LP 4.65%, 10/15/2025 | 30 | 29 |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | 20 | 19 |
Targa Resources Partners LP 4.00%, 1/15/2032 | 14 | 12 |
Williams Cos., Inc. (The) 2.60%, 3/15/2031 | 50 | 41 |
1,251 | ||
Personal Care Products — 0.1% | ||
Kenvue, Inc. 5.00%, 3/22/2030 (b) | 100 | 100 |
Pharmaceuticals — 0.7% | ||
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 | 77 | 61 |
Bristol-Myers Squibb Co. | ||
3.40%, 7/26/2029 | 22 | 20 |
1.45%, 11/13/2030 | 100 | 79 |
Merck & Co., Inc. 4.50%, 5/17/2033 | 59 | 57 |
Mylan, Inc. 4.55%, 4/15/2028 | 75 | 71 |
Pfizer Investment Enterprises Pte. Ltd. 4.75%, 5/19/2033 | 87 | 86 |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 200 | 165 |
Zoetis, Inc. 2.00%, 5/15/2030 | 80 | 66 |
605 | ||
Residential REITs — 0.3% | ||
AvalonBay Communities, Inc. | ||
3.35%, 5/15/2027 | 28 | 26 |
2.45%, 1/15/2031 | 100 | 83 |
Essex Portfolio LP 1.65%, 1/15/2031 | 53 | 40 |
Mid-America Apartments LP | ||
4.20%, 6/15/2028 | 50 | 48 |
44 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Residential REITs — continued | ||
1.70%, 2/15/2031 | 36 | 28 |
UDR, Inc. 2.10%, 8/1/2032 | 48 | 36 |
261 | ||
Retail REITs — 0.4% | ||
Brixmor Operating Partnership LP | ||
3.85%, 2/1/2025 | 50 | 48 |
2.25%, 4/1/2028 | 10 | 9 |
Realty Income Corp. 3.65%, 1/15/2028 | 150 | 140 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | 150 | 145 |
SITE Centers Corp. 3.63%, 2/1/2025 | 12 | 11 |
353 | ||
Semiconductors & Semiconductor Equipment — 0.6% | ||
Broadcom, Inc. 3.19%, 11/15/2036 (b) | 57 | 43 |
Intel Corp. 4.88%, 2/10/2028 | 100 | 99 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 52 | 43 |
Microchip Technology, Inc. | ||
0.97%, 2/15/2024 | 72 | 70 |
0.98%, 9/1/2024 | 22 | 21 |
NXP BV (China) 2.50%, 5/11/2031 | 100 | 81 |
QUALCOMM, Inc. 4.25%, 5/20/2032 | 32 | 31 |
Texas Instruments, Inc. | ||
4.60%, 2/15/2028 | 23 | 23 |
4.90%, 3/14/2033 | 42 | 42 |
Xilinx, Inc. 2.38%, 6/1/2030 | 50 | 43 |
496 | ||
Software — 0.6% | ||
Intuit, Inc. 1.65%, 7/15/2030 | 125 | 101 |
Oracle Corp. | ||
4.50%, 5/6/2028 | 33 | 32 |
2.88%, 3/25/2031 | 168 | 142 |
Roper Technologies, Inc. | ||
3.80%, 12/15/2026 | 15 | 14 |
1.40%, 9/15/2027 | 174 | 151 |
VMware, Inc. | ||
1.40%, 8/15/2026 | 25 | 22 |
1.80%, 8/15/2028 | 15 | 13 |
Workday, Inc. 3.50%, 4/1/2027 | 30 | 28 |
503 | ||
Specialized REITs — 0.5% | ||
American Tower Corp. | ||
5.00%, 2/15/2024 | 38 | 38 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Specialized REITs — continued | ||
1.45%, 9/15/2026 | 72 | 64 |
1.50%, 1/31/2028 | 68 | 57 |
Crown Castle, Inc. 2.25%, 1/15/2031 | 72 | 58 |
Equinix, Inc. 2.00%, 5/15/2028 | 37 | 31 |
Extra Space Storage LP | ||
2.20%, 10/15/2030 | 25 | 20 |
2.35%, 3/15/2032 | 100 | 78 |
Public Storage Operating Co. 2.25%, 11/9/2031 | 36 | 29 |
375 | ||
Specialty Retail — 0.2% | ||
Advance Auto Parts, Inc. 3.50%, 3/15/2032 | 50 | 40 |
AutoZone, Inc. 1.65%, 1/15/2031 | 83 | 65 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | 62 | 59 |
164 | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Apple, Inc. 4.30%, 5/10/2033 | 100 | 98 |
Dell International LLC 5.30%, 10/1/2029 | 100 | 99 |
197 | ||
Tobacco — 0.2% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 84 | 66 |
BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024 | 116 | 113 |
179 | ||
Trading Companies & Distributors — 0.4% | ||
Air Lease Corp. | ||
3.00%, 9/15/2023 | 250 | 250 |
5.85%, 12/15/2027 | 100 | 100 |
350 | ||
Wireless Telecommunication Services — 0.4% | ||
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 | 100 | 86 |
T-Mobile USA, Inc. | ||
3.88%, 4/15/2030 | 150 | 137 |
2.25%, 11/15/2031 | 100 | 79 |
302 | ||
Total Corporate Bonds (Cost $22,929) | 20,892 | |
Collateralized Mortgage Obligations — 11.9% | ||
Alternative Loan Trust | ||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | 347 | 343 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 45 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 48 | 37 |
Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 | 6 | 4 |
CHL Mortgage Pass-Through Trust | ||
Series 2004-HYB3, Class 2A, 3.91%, 6/20/2034 (d) | 5 | 4 |
Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | 11 | 11 |
Series 2005-22, Class 2A1, 3.65%, 11/25/2035 (d) | 61 | 50 |
Citigroup Global Markets Mortgage Securities VII, Inc. | ||
Series 2003-UP2, Class 1, PO, 6/25/2033 | — | — |
Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (d) | 3 | 3 |
Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 2 | 2 |
FHLMC - GNMA Series 24, Class ZE, 6.25%, 11/25/2023 | — | — |
FHLMC, REMIC | ||
Series 1608, Class L, 6.50%, 9/15/2023 | — | — |
Series 1602, Class SA, IF, 5.52%, 10/15/2023 (d) | — | — |
Series 2283, Class K, 6.50%, 12/15/2023 | — | — |
Series 1671, Class L, 7.00%, 2/15/2024 | — | — |
Series 1706, Class K, 7.00%, 3/15/2024 | 1 | 1 |
Series 2033, Class SN, IF, IO, 18.79%, 3/15/2024 (d) | — | — |
Series 1720, Class PL, 7.50%, 4/15/2024 | 2 | 2 |
Series 2306, Class K, PO, 5/15/2024 | — | — |
Series 2306, Class SE, IF, IO, 6.79%, 5/15/2024 (d) | 1 | — |
Series 1745, Class D, 7.50%, 8/15/2024 | 1 | 1 |
Series 1927, Class PH, 7.50%, 1/15/2027 | 13 | 13 |
Series 1981, Class Z, 6.00%, 5/15/2027 | 4 | 4 |
Series 1987, Class PE, 7.50%, 9/15/2027 | 2 | 2 |
Series 2038, Class PN, IO, 7.00%, 3/15/2028 | 2 | — |
Series 2040, Class PE, 7.50%, 3/15/2028 | 10 | 10 |
Series 2063, Class PG, 6.50%, 6/15/2028 | 12 | 12 |
Series 2064, Class TE, 7.00%, 6/15/2028 | 2 | 2 |
Series 2075, Class PM, 6.25%, 8/15/2028 | 9 | 9 |
Series 2075, Class PH, 6.50%, 8/15/2028 | 10 | 10 |
Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | 3 | — |
Series 2125, Class JZ, 6.00%, 2/15/2029 | 6 | 6 |
Series 2169, Class TB, 7.00%, 6/15/2029 | 26 | 26 |
Series 2163, Class PC, IO, 7.50%, 6/15/2029 | 1 | — |
Series 2172, Class QC, 7.00%, 7/15/2029 | 12 | 12 |
Series 2196, Class TL, 7.50%, 11/15/2029 | — | — |
Series 2201, Class C, 8.00%, 11/15/2029 | 3 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2210, Class Z, 8.00%, 1/15/2030 | 15 | 16 |
Series 2224, Class CB, 8.00%, 3/15/2030 | 5 | 5 |
Series 2256, Class MC, 7.25%, 9/15/2030 | 7 | 8 |
Series 2259, Class ZM, 7.00%, 10/15/2030 | 9 | 9 |
Series 2271, Class PC, 7.25%, 12/15/2030 | 7 | 7 |
Series 2296, Class PD, 7.00%, 3/15/2031 | 5 | 5 |
Series 2344, Class ZD, 6.50%, 8/15/2031 | 74 | 75 |
Series 2344, Class ZJ, 6.50%, 8/15/2031 | 11 | 12 |
Series 2345, Class NE, 6.50%, 8/15/2031 | 7 | 7 |
Series 2351, Class PZ, 6.50%, 8/15/2031 | 7 | 7 |
Series 2410, Class QX, IF, IO, 3.35%, 2/15/2032 (d) | 4 | — |
Series 2412, Class SP, IF, 5.49%, 2/15/2032 (d) | 15 | 15 |
Series 2410, Class OE, 6.38%, 2/15/2032 | 3 | 3 |
Series 2410, Class NG, 6.50%, 2/15/2032 | 5 | 6 |
Series 2444, Class ES, IF, IO, 2.65%, 3/15/2032 (d) | 10 | 1 |
Series 2450, Class SW, IF, IO, 2.70%, 3/15/2032 (d) | 4 | — |
Series 2423, Class MC, 7.00%, 3/15/2032 | 5 | 5 |
Series 2423, Class MT, 7.00%, 3/15/2032 | 9 | 10 |
Series 2435, Class CJ, 6.50%, 4/15/2032 | 34 | 35 |
Series 2441, Class GF, 6.50%, 4/15/2032 | 11 | 11 |
Series 2455, Class GK, 6.50%, 5/15/2032 | 15 | 15 |
Series 2450, Class GZ, 7.00%, 5/15/2032 | 17 | 18 |
Series 2466, Class DH, 6.50%, 6/15/2032 | 11 | 12 |
Series 2474, Class NR, 6.50%, 7/15/2032 | 13 | 14 |
Series 2484, Class LZ, 6.50%, 7/15/2032 | 21 | 22 |
Series 2500, Class MC, 6.00%, 9/15/2032 | 21 | 21 |
Series 2543, Class YX, 6.00%, 12/15/2032 | 46 | 47 |
Series 2575, Class ME, 6.00%, 2/15/2033 | 85 | 86 |
Series 2586, Class WI, IO, 6.50%, 3/15/2033 | 6 | 1 |
Series 3611, PO, 7/15/2034 | 10 | 8 |
Series 2990, Class UZ, 5.75%, 6/15/2035 | 266 | 265 |
Series 3117, Class EO, PO, 2/15/2036 | 24 | 20 |
Series 3117, Class OK, PO, 2/15/2036 | 3 | 2 |
Series 3122, Class OH, PO, 3/15/2036 | 15 | 13 |
Series 3152, Class MO, PO, 3/15/2036 | 62 | 52 |
Series 3607, Class AO, PO, 4/15/2036 | 15 | 12 |
Series 3137, Class XP, 6.00%, 4/15/2036 | 38 | 39 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | 94 | 96 |
Series 3149, Class SO, PO, 5/15/2036 | 4 | 3 |
Series 3171, Class MO, PO, 6/15/2036 | 12 | 11 |
Series 3179, Class OA, PO, 7/15/2036 | 8 | 7 |
Series 3202, Class HI, IF, IO, 1.35%, 8/15/2036 (d) | 75 | 6 |
46 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 3232, Class ST, IF, IO, 1.40%, 10/15/2036 (d) | 17 | 1 |
Series 3417, Class EO, PO, 11/15/2036 | 137 | 117 |
Series 3316, Class JO, PO, 5/15/2037 | 2 | 2 |
Series 3607, Class OP, PO, 7/15/2037 | 80 | 64 |
Series 3481, Class SJ, IF, IO, 0.55%, 8/15/2038 (d) | 39 | 3 |
Series 4096, Class HA, 2.00%, 12/15/2041 | 85 | 76 |
Series 5008, Class LB, 1.50%, 8/25/2050 | 359 | 281 |
Series 5028, Class JG, 1.50%, 8/25/2050 | 378 | 295 |
Series 5190, Class PH, 2.50%, 2/25/2052 | 292 | 258 |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | 176 | 162 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-41, Class 3A, 4.35%, 7/25/2032 (d) | 15 | 14 |
Series T-76, Class 2A, 2.26%, 10/25/2037 (d) | 60 | 50 |
Series T-51, Class 2A, 7.50%, 8/25/2042 (d) | 16 | 16 |
Series T-54, Class 2A, 6.50%, 2/25/2043 | 154 | 158 |
Series T-54, Class 3A, 7.00%, 2/25/2043 | 49 | 51 |
Series T-56, Class A5, 5.23%, 5/25/2043 | 356 | 338 |
Series T-58, Class A, PO, 9/25/2043 | 9 | 7 |
FNMA Trust, Whole Loan | ||
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 12 | 12 |
Series 2005-W3, Class 2AF, 5.62%, 3/25/2045 (d) | 42 | 42 |
FNMA, REMIC | ||
Series 1993-165, Class SD, IF, 2.56%, 9/25/2023 (d) | — | — |
Series 1993-178, Class PK, 6.50%, 9/25/2023 | — | — |
Series 1993-183, Class KA, 6.50%, 10/25/2023 | — | — |
Series 1993-189, Class PL, 6.50%, 10/25/2023 | — | — |
Series 1993-247, Class SA, IF, 5.35%, 12/25/2023 (d) | — | — |
Series G95-1, Class C, 8.80%, 1/25/2025 | — | — |
Series 2005-121, Class DX, 5.50%, 1/25/2026 | 21 | 20 |
Series 1997-20, IO, 1.84%, 3/25/2027 (d) | — | — |
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (d) | — | — |
Series 1997-27, Class J, 7.50%, 4/18/2027 | 3 | 3 |
Series 1997-29, Class J, 7.50%, 4/20/2027 | 3 | 3 |
Series 1997-39, Class PD, 7.50%, 5/20/2027 | 5 | 5 |
Series 2012-47, Class HF, 5.80%, 5/25/2027 (d) | 19 | 19 |
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | 2 | — |
Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 1 | 1 |
Series 2000-2, Class ZE, 7.50%, 2/25/2030 | 13 | 13 |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 13 | 1 |
Series 2001-36, Class DE, 7.00%, 8/25/2031 | 15 | 15 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2001-49, Class Z, 6.50%, 9/25/2031 | 3 | 3 |
Series 2001-44, Class PD, 7.00%, 9/25/2031 | 2 | 3 |
Series 2003-52, Class SX, IF, 6.74%, 10/25/2031 (d) | 4 | 4 |
Series 2004-74, Class SW, IF, 4.81%, 11/25/2031 (d) | 11 | 11 |
Series 2001-81, Class LO, PO, 1/25/2032 | 1 | 1 |
Series 2002-1, Class SA, IF, 7.63%, 2/25/2032 (d) | 2 | 2 |
Series 2002-21, Class PE, 6.50%, 4/25/2032 | 8 | 8 |
Series 2002-28, Class PK, 6.50%, 5/25/2032 | 8 | 8 |
Series 2002-37, Class Z, 6.50%, 6/25/2032 | 11 | 11 |
Series 2004-61, Class SH, IF, 2.39%, 11/25/2032 (d) | 12 | 12 |
Series 2003-22, Class UD, 4.00%, 4/25/2033 | 39 | 37 |
Series 2003-34, Class GE, 6.00%, 5/25/2033 | 104 | 106 |
Series 2003-39, IO, 6.00%, 5/25/2033 (d) | 2 | — |
Series 2003-47, Class PE, 5.75%, 6/25/2033 | 44 | 44 |
Series 2003-64, Class SX, IF, 0.77%, 7/25/2033 (d) | 4 | 4 |
Series 2003-71, Class DS, IF, 0.54%, 8/25/2033 (d) | 44 | 38 |
Series 2005-56, Class TP, IF, 1.94%, 8/25/2033 (d) | 9 | 9 |
Series 2003-91, Class SD, IF, 3.50%, 9/25/2033 (d) | 3 | 3 |
Series 2003-116, Class SB, IF, IO, 2.20%, 11/25/2033 (d) | 30 | 2 |
Series 2006-44, Class P, PO, 12/25/2033 | 12 | 10 |
Series 2003-130, Class SX, IF, 3.42%, 1/25/2034 (d) | 1 | 1 |
Series 2004-25, Class SA, IF, 4.67%, 4/25/2034 (d) | 12 | 12 |
Series 2004-46, Class SK, IF, 1.64%, 5/25/2034 (d) | 8 | 7 |
Series 2004-36, Class SA, IF, 4.67%, 5/25/2034 (d) | 21 | 22 |
Series 2004-50, Class VZ, 5.50%, 7/25/2034 | 145 | 143 |
Series 2005-74, Class CS, IF, 5.16%, 5/25/2035 (d) | 6 | 6 |
Series 2005-45, Class DC, IF, 4.50%, 6/25/2035 (d) | 20 | 19 |
Series 2005-56, Class S, IF, IO, 1.31%, 7/25/2035 (d) | 13 | 1 |
Series 2005-73, Class PS, IF, 3.19%, 8/25/2035 (d) | 34 | 34 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | 73 | 73 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 47 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2005-106, Class US, IF, 4.76%, 11/25/2035 (d) | 19 | 19 |
Series 2006-27, Class OH, PO, 4/25/2036 | 15 | 13 |
Series 2006-65, Class QO, PO, 7/25/2036 | 11 | 9 |
Series 2006-56, Class FC, 5.69%, 7/25/2036 (d) | 70 | 70 |
Series 2006-72, Class GO, PO, 8/25/2036 | 16 | 14 |
Series 2006-79, Class DO, PO, 8/25/2036 | 13 | 11 |
Series 2006-77, Class PC, 6.50%, 8/25/2036 | 18 | 18 |
Series 2006-110, PO, 11/25/2036 | 20 | 16 |
Series 2006-124, Class HB, 3.95%, 11/25/2036 (d) | 34 | 35 |
Series 2007-14, Class ES, IF, IO, 1.04%, 3/25/2037 (d) | 16 | 1 |
Series 2007-79, Class SB, IF, 4.21%, 8/25/2037 (d) | 14 | 15 |
Series 2007-81, Class GE, 6.00%, 8/25/2037 | 32 | 33 |
Series 2007-88, Class VI, IF, IO, 1.14%, 9/25/2037 (d) | 42 | 3 |
Series 2007-91, Class ES, IF, IO, 1.06%, 10/25/2037 (d) | 114 | 9 |
Series 2007-116, Class HI, IO, 0.17%, 1/25/2038 (d) | 18 | 1 |
Series 2008-16, Class IS, IF, IO, 0.80%, 3/25/2038 (d) | 6 | — |
Series 2008-10, Class XI, IF, IO, 0.83%, 3/25/2038 (d) | 10 | 1 |
Series 2008-28, Class QS, IF, 4.49%, 4/25/2038 (d) | 12 | 12 |
Series 2008-46, Class HI, IO, 1.65%, 6/25/2038 (d) | 7 | — |
Series 2013-25, Class DC, 2.50%, 6/25/2039 | 124 | 115 |
Series 2009-69, PO, 9/25/2039 | 21 | 16 |
Series 2009-103, Class MB, 4.89%, 12/25/2039 (d) | 19 | 19 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 50 | 51 |
Series 2011-118, Class MT, 7.00%, 11/25/2041 | 59 | 61 |
Series 2011-118, Class NT, 7.00%, 11/25/2041 | 52 | 53 |
Series 2013-101, Class DO, PO, 10/25/2043 | 116 | 84 |
Series 2013-128, PO, 12/25/2043 | 90 | 67 |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | 151 | 134 |
FNMA, REMIC Trust, Whole Loan | ||
Series 2007-W7, Class 1A4, IF, 6.77%, 7/25/2037 (d) | 3 | 3 |
Series 2003-W4, Class 2A, 5.10%, 10/25/2042 (d) | 9 | 9 |
Series 2003-W1, Class 1A1, 4.80%, 12/25/2042 (d) | 46 | 43 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.04%, 10/25/2037 (d) | 11 | 11 |
FNMA, STRIPS | ||
Series 300, Class 1, PO, 9/25/2024 | — | — |
Series 329, Class 1, PO, 1/25/2033 | 2 | 2 |
GNMA | ||
Series 2003-52, Class AP, PO, 6/16/2033 | 20 | 18 |
Series 2004-28, Class S, IF, 4.74%, 4/16/2034 (d) | 5 | 6 |
Series 2004-71, Class SB, IF, 2.81%, 9/20/2034 (d) | 10 | 10 |
Series 2004-90, Class SI, IF, IO, 0.67%, 10/20/2034 (d) | 58 | 3 |
Series 2005-68, Class DP, IF, 3.36%, 6/17/2035 (d) | 9 | 9 |
Series 2005-68, Class KI, IF, IO, 0.87%, 9/20/2035 (d) | 103 | 7 |
Series 2006-38, Class ZK, 6.50%, 8/20/2036 | 180 | 179 |
Series 2006-59, Class SD, IF, IO, 1.27%, 10/20/2036 (d) | 12 | 1 |
Series 2007-17, Class JI, IF, IO, 1.38%, 4/16/2037 (d) | 48 | 4 |
Series 2007-27, Class SA, IF, IO, 0.77%, 5/20/2037 (d) | 61 | 2 |
Series 2007-45, Class QA, IF, IO, 1.21%, 7/20/2037 (d) | 49 | 2 |
Series 2007-40, Class SB, IF, IO, 1.32%, 7/20/2037 (d) | 81 | 4 |
Series 2007-53, Class ES, IF, IO, 1.12%, 9/20/2037 (d) | 13 | — |
Series 2007-53, Class SW, IF, 3.92%, 9/20/2037 (d) | 10 | 10 |
Series 2009-79, Class OK, PO, 11/16/2037 | 38 | 32 |
Series 2007-76, Class SA, IF, IO, 1.10%, 11/20/2037 (d) | 26 | 1 |
Series 2007-72, Class US, IF, IO, 1.12%, 11/20/2037 (d) | 25 | — |
Series 2009-106, Class ST, IF, IO, 0.57%, 2/20/2038 (d) | 82 | 3 |
Series 2008-33, Class XS, IF, IO, 2.27%, 4/16/2038 (d) | 18 | 1 |
Series 2008-40, Class SA, IF, IO, 0.97%, 5/16/2038 (d) | 48 | 2 |
Series 2008-55, Class SA, IF, IO, 0.77%, 6/20/2038 (d) | 31 | 1 |
Series 2008-50, Class KB, 6.00%, 6/20/2038 | 62 | 63 |
Series 2008-93, Class AS, IF, IO, 0.27%, 12/20/2038 (d) | 36 | 1 |
48 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2009-6, Class SA, IF, IO, 0.67%, 2/16/2039 (d) | 8 | — |
Series 2009-31, Class TS, IF, IO, 0.87%, 3/20/2039 (d) | 20 | — |
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 15 | 2 |
Series 2009-22, Class SA, IF, IO, 0.84%, 4/20/2039 (d) | 38 | 2 |
Series 2009-92, Class ZC, 5.00%, 10/20/2039 | 218 | 213 |
Series 2011-137, Class WA, 5.59%, 7/20/2040 (d) | 104 | 106 |
Series 2010-105, Class B, 5.00%, 8/20/2040 | 278 | 272 |
Series 2010-130, Class CP, 7.00%, 10/16/2040 | 26 | 27 |
Series 2013-91, Class WA, 4.44%, 4/20/2043 (d) | 261 | 247 |
Series 2012-H24, Class FA, 5.50%, 3/20/2060 (d) | 4 | 4 |
Series 2013-H03, Class FA, 5.56%, 8/20/2060 (d) | — | — |
Series 2012-H21, Class DF, 4.87%, 5/20/2061 (d) | 1 | 1 |
Series 2012-H26, Class MA, 4.88%, 7/20/2062 (d) | 1 | 1 |
Series 2012-H29, Class FA, 5.77%, 10/20/2062 (d) | 100 | 99 |
Series 2014-H15, Class FA, 5.72%, 7/20/2064 (d) | 410 | 408 |
Series 2015-H15, Class FJ, 5.66%, 6/20/2065 (d) | 363 | 361 |
Series 2015-H18, Class FA, 5.67%, 6/20/2065 (d) | 159 | 158 |
Series 2015-H20, Class FA, 5.69%, 8/20/2065 (d) | 345 | 343 |
Series 2015-H26, Class FG, 5.74%, 10/20/2065 (d) | 389 | 387 |
GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 | 16 | 26 |
Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 | — | — |
JPMorgan Mortgage Trust | ||
Series 2003-A1, Class 1A1, 3.90%, 10/25/2033 (d) | 56 | 51 |
Series 2006-A2, Class 5A3, 4.59%, 11/25/2033 (d) | 12 | 11 |
Series 2006-A2, Class 4A1, 5.59%, 8/25/2034 (d) | 6 | 6 |
MASTR Adjustable Rate Mortgages Trust | ||
Series 2004-13, Class 2A1, 4.71%, 4/21/2034 (d) | 17 | 16 |
Series 2004-3, Class 4A2, 3.65%, 4/25/2034 (d) | 7 | 6 |
MASTR Alternative Loan Trust | ||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | — | — |
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 15 | 14 |
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 46 | 43 |
Series 2004-7, Class 30, PO, 8/25/2034 | 4 | 3 |
Series 2005-6, Class 3A1, 5.50%, 12/25/2035 | 7 | 6 |
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) | 3 | 2 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Merrill Lynch Mortgage Investors Trust | ||
Series 2003-E, Class A1, 6.05%, 10/25/2028 (d) | 31 | 29 |
Series 2004-A, Class A1, 5.89%, 4/25/2029 (d) | 10 | 9 |
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (d) | 20 | 17 |
Nomura Asset Acceptance Corp. Alternative Loan Trust | ||
Series 2003-A1, Class A5, 7.00%, 4/25/2033 | 7 | 7 |
Series 2003-A1, Class A1, 5.50%, 5/25/2033 | 1 | 1 |
Series 2003-A1, Class A2, 6.00%, 5/25/2033 | 5 | 5 |
RALI Trust | ||
Series 2002-QS16, Class A3, IF, 5.27%, 10/25/2017 ‡ (d) | — | — |
Series 2003-QS9, Class A3, IF, IO, 2.12%, 5/25/2018 ‡ (d) | — | — (e) |
Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 (b) | 26 | 14 |
Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 158 | 147 |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 233 | 215 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | 164 | 153 |
Series 2019-1, Class MT, 3.50%, 7/25/2058 | 322 | 279 |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | 51 | 48 |
Series 2019-4, Class M55D, 4.00%, 2/25/2059 | 185 | 173 |
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | 218 | 205 |
Vendee Mortgage Trust | ||
Series 1994-1, Class 1, 4.43%, 2/15/2024 (d) | 2 | 2 |
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | 38 | 38 |
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | 11 | 12 |
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | 52 | 52 |
Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 15 | 15 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2003-AR5, Class A7, 4.83%, 6/25/2033 (d) | 18 | 18 |
Series 2004-AR3, Class A2, 4.52%, 6/25/2034 (d) | 9 | 8 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 56 | 49 |
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 | — | — |
Total Collateralized Mortgage Obligations (Cost $10,456) | 9,854 | |
Mortgage-Backed Securities — 10.1% | ||
FHLMC | ||
Pool # 785618, ARM, 5.87%, 7/1/2026 (d) | 4 | 4 |
Pool # 611141, ARM, 4.30%, 1/1/2027 (d) | 3 | 2 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 49 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 1G2557, ARM, 5.48%, 6/1/2036 (d) | 22 | 22 |
Pool # 1A1085, ARM, 6.11%, 8/1/2036 (d) | 27 | 27 |
Pool # 1B7242, ARM, 5.10%, 9/1/2036 (d) | 24 | 24 |
Pool # 1Q0105, ARM, 5.33%, 9/1/2036 (d) | 6 | 6 |
Pool # 1Q0737, ARM, 3.99%, 11/1/2036 (d) | 8 | 8 |
Pool # 1N1511, ARM, 6.41%, 1/1/2037 (d) | 12 | 12 |
Pool # 1Q0739, ARM, 6.26%, 3/1/2037 (d) | 9 | 9 |
Pool # 1Q0722, ARM, 4.63%, 4/1/2038 (d) | 12 | 12 |
FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026 | 2 | 2 |
FHLMC Gold Pools, 30 Year | ||
Pool # G00245, 8.00%, 8/1/2024 | — | — |
Pool # C00376, 8.00%, 11/1/2024 | — | — |
Pool # C00414, 7.50%, 8/1/2025 | — | — |
Pool # C00452, 7.00%, 4/1/2026 | 1 | 1 |
Pool # G00981, 8.50%, 7/1/2028 | 1 | 1 |
Pool # A17537, 6.00%, 1/1/2034 | 13 | 13 |
Pool # G02682, 7.00%, 2/1/2037 | 10 | 11 |
Pool # Q58054, 4.50%, 11/1/2046 | 132 | 129 |
FHLMC Gold Pools, Other | ||
Pool # WN1157, 1.80%, 11/1/2028 | 400 | 345 |
Pool # G20027, 10.00%, 10/1/2030 | 1 | 1 |
Pool # U80336, 3.50%, 5/1/2033 | 246 | 229 |
Pool # U90690, 3.50%, 6/1/2042 | 83 | 76 |
Pool # U90975, 4.00%, 6/1/2042 | 77 | 73 |
Pool # U91427, 3.50%, 5/1/2043 | 305 | 279 |
FHLMC UMBS, 30 Year Pool # RA7937, 5.00%, 9/1/2052 | 373 | 362 |
FNMA | ||
Pool # 54844, ARM, 3.98%, 9/1/2027 (d) | 1 | 1 |
Pool # 303532, ARM, 4.34%, 3/1/2029 (d) | 1 | 1 |
Pool # 745446, ARM, 4.93%, 4/1/2033 (d) | 15 | 15 |
Pool # 746299, ARM, 4.06%, 9/1/2033 (d) | 23 | 23 |
Pool # 743546, ARM, 3.73%, 11/1/2033 (d) | 29 | 29 |
Pool # 735332, ARM, 4.86%, 8/1/2034 (d) | 18 | 18 |
Pool # 790964, ARM, 3.90%, 9/1/2034 (d) | 12 | 12 |
Pool # 896463, ARM, 5.10%, 10/1/2034 (d) | 23 | 23 |
Pool # 816361, ARM, 3.70%, 1/1/2035 (d) | 44 | 43 |
Pool # 810896, ARM, 6.62%, 1/1/2035 (d) | 13 | 13 |
Pool # 816597, ARM, 4.04%, 2/1/2035 (d) | 10 | 9 |
Pool # 816594, ARM, 6.64%, 2/1/2035 (d) | 9 | 9 |
Pool # 745862, ARM, 5.23%, 4/1/2035 (d) | 13 | 13 |
Pool # 832801, ARM, 3.89%, 9/1/2035 (d) | 23 | 23 |
Pool # 843026, ARM, 5.96%, 9/1/2035 (d) | 13 | 14 |
Pool # 920340, ARM, 5.25%, 2/1/2036 (d) | 18 | 18 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # 886558, ARM, 4.02%, 8/1/2036 (d) | 8 | 8 |
Pool # 893424, ARM, 3.83%, 9/1/2036 (d) | 20 | 20 |
Pool # 915645, ARM, 4.93%, 2/1/2037 (d) | 13 | 13 |
Pool # 913984, ARM, 6.72%, 2/1/2037 (d) | 6 | 7 |
Pool # 887094, ARM, 5.54%, 7/1/2046 (d) | 22 | 22 |
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 | — | — |
FNMA UMBS, 30 Year | ||
Pool # 250066, 8.00%, 5/1/2024 | — | — |
Pool # 250103, 8.50%, 7/1/2024 | — | — |
Pool # 303031, 7.50%, 10/1/2024 | — | — |
Pool # 308499, 8.50%, 5/1/2025 | — | — |
Pool # 695533, 8.00%, 6/1/2027 | 3 | 3 |
Pool # 313687, 7.00%, 9/1/2027 | — | — |
Pool # 755973, 8.00%, 11/1/2028 | 4 | 4 |
Pool # 598559, 6.50%, 8/1/2031 | 9 | 9 |
Pool # 995409, 8.00%, 11/1/2032 | 52 | 53 |
Pool # 675555, 6.00%, 12/1/2032 | 9 | 9 |
Pool # 674349, 6.00%, 3/1/2033 | 5 | 5 |
Pool # 702901, 6.00%, 5/1/2033 | 20 | 20 |
Pool # 721535, 5.00%, 7/1/2033 | 32 | 32 |
Pool # 723852, 5.00%, 7/1/2033 | 10 | 10 |
Pool # 729296, 5.00%, 7/1/2033 | 23 | 23 |
Pool # 713700, 4.50%, 8/1/2033 | 10 | 10 |
Pool # 737825, 6.00%, 9/1/2033 | 6 | 6 |
Pool # 725027, 5.00%, 11/1/2033 | 19 | 19 |
Pool # 725017, 5.50%, 12/1/2033 | 21 | 21 |
Pool # AA0922, 6.00%, 9/1/2036 | 27 | 28 |
Pool # 986648, 6.00%, 9/1/2037 | 13 | 14 |
Pool # AD9151, 5.00%, 8/1/2040 | 58 | 58 |
Pool # BM3375, 4.00%, 1/1/2048 | 122 | 115 |
Pool # BK8753, 4.50%, 6/1/2049 | 78 | 75 |
Pool # BP6363, 3.00%, 4/1/2050 | 280 | 243 |
Pool # CB2637, 2.50%, 1/1/2052 | 71 | 59 |
Pool # FS0882, 2.50%, 3/1/2052 | 362 | 303 |
FNMA, 30 Year | ||
Pool # 252409, 6.50%, 3/1/2029 | 4 | 4 |
Pool # 752786, 6.00%, 9/1/2033 | 7 | 6 |
FNMA, Other | ||
Pool # AM8317, 2.96%, 3/1/2025 | 170 | 164 |
Pool # AN2309, 2.21%, 7/1/2026 | 430 | 399 |
Pool # AM7515, 3.34%, 2/1/2027 | 500 | 474 |
Pool # BS8224, 4.10%, 5/1/2028 | 310 | 300 |
Pool # BL1040, 3.81%, 12/1/2028 | 150 | 143 |
Pool # BL0907, 3.88%, 12/1/2028 | 300 | 287 |
50 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # BS4956, 2.27%, 4/1/2029 | 200 | 175 |
Pool # AM6892, 3.76%, 9/1/2029 | 213 | 202 |
Pool # BM4162, 3.12%, 10/1/2029 (d) | 77 | 71 |
Pool # BL4333, 2.52%, 11/1/2029 | 380 | 334 |
Pool # BS8252, 4.36%, 4/1/2030 | 291 | 283 |
Pool # BS8846, 4.09%, 7/1/2030 | 300 | 287 |
Pool # BS4030, 1.96%, 1/1/2032 | 400 | 323 |
Pool # BS5117, 2.58%, 3/1/2032 | 200 | 167 |
Pool # 888408, 6.00%, 3/1/2037 | 8 | 8 |
Pool # 257172, 5.50%, 4/1/2038 | 4 | 4 |
Pool # MA1125, 4.00%, 7/1/2042 | 113 | 106 |
Pool # BM6734, 4.00%, 8/1/2059 | 373 | 346 |
Pool # BF0617, 2.50%, 3/1/2062 | 192 | 154 |
GNMA I, 30 Year | ||
Pool # 352022, 7.00%, 11/15/2023 | — | — |
Pool # 366706, 6.50%, 1/15/2024 | — | — |
Pool # 442119, 7.50%, 11/15/2026 | — | — |
Pool # 411829, 7.50%, 7/15/2027 | 1 | 1 |
Pool # 468149, 8.00%, 8/15/2028 | — | — |
Pool # 468236, 6.50%, 9/15/2028 | 17 | 17 |
Pool # 486537, 7.50%, 9/15/2028 | 1 | 1 |
Pool # 466406, 6.00%, 11/15/2028 | 2 | 2 |
Pool # 607645, 6.50%, 2/15/2033 | 6 | 6 |
Pool # 781614, 7.00%, 6/15/2033 | 9 | 10 |
Pool # 782615, 7.00%, 6/15/2035 | 18 | 19 |
Pool # 782025, 6.50%, 12/15/2035 | 27 | 27 |
Pool # 681638, 6.00%, 12/15/2038 | 61 | 61 |
GNMA II, 30 Year | ||
Pool # 1974, 8.50%, 3/20/2025 | — | — |
Pool # 1989, 8.50%, 4/20/2025 | 1 | — |
Pool # 2006, 8.50%, 5/20/2025 | — | — |
Pool # 2141, 8.00%, 12/20/2025 | — | — |
Pool # 2234, 8.00%, 6/20/2026 | — | — |
Pool # 2270, 8.00%, 8/20/2026 | — | — |
Pool # 2285, 8.00%, 9/20/2026 | — | — |
Pool # 2324, 8.00%, 11/20/2026 | — | — |
Pool # 2499, 8.00%, 10/20/2027 | 1 | 1 |
Pool # 2512, 8.00%, 11/20/2027 | 1 | 1 |
Pool # 2525, 8.00%, 12/20/2027 | 1 | 1 |
Pool # 2549, 7.50%, 2/20/2028 | — | — |
Pool # 2562, 6.00%, 3/20/2028 | 4 | 4 |
Pool # 2646, 7.50%, 9/20/2028 | 1 | 1 |
Pool # 4245, 6.00%, 9/20/2038 | 31 | 33 |
Pool # BA7567, 4.50%, 5/20/2048 | 65 | 62 |
Pool # BI0416, 4.50%, 11/20/2048 | 93 | 89 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # BM9692, 4.50%, 7/20/2049 | 51 | 49 |
Pool # BQ3224, 4.50%, 9/20/2049 | 309 | 297 |
Pool # MA7534, 2.50%, 8/20/2051 | 107 | 91 |
Pool # MA7649, 2.50%, 10/20/2051 | 34 | 29 |
GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033 | 267 | 251 |
Total Mortgage-Backed Securities (Cost $8,981) | 8,391 | |
Asset-Backed Securities — 9.2% | ||
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | 74 | 66 |
Ally Auto Receivables Trust Series 2023-1, Class A3, 5.46%, 5/15/2028 | 77 | 77 |
American Airlines Pass-Through Trust | ||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 31 | 27 |
Series 2021-1, Class B, 3.95%, 7/11/2030 | 68 | 60 |
American Credit Acceptance Receivables Trust | ||
Series 2023-2, Class A, 5.89%, 10/13/2026 (b) | 37 | 37 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | 133 | 131 |
AmeriCredit Automobile Receivables Trust | ||
Series 2021-1, Class A3, 0.37%, 8/18/2025 | 10 | 10 |
Series 2020-3, Class B, 0.76%, 12/18/2025 | 73 | 71 |
Series 2021-2, Class B, 0.69%, 1/19/2027 | 55 | 52 |
Series 2022-2, Class A3, 4.38%, 4/18/2028 | 31 | 31 |
AMSR Trust Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) | 100 | 91 |
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) | 63 | 61 |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | 100 | 94 |
BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026 | 88 | 87 |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | 16 | 16 |
BMW Vehicle Owner Trust Series 2023-A, Class A3, 5.47%, 2/25/2028 | 35 | 35 |
British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | 45 | 42 |
CarMax Auto Owner Trust | ||
Series 2020-1, Class A3, 1.89%, 12/16/2024 | 4 | 4 |
Series 2020-3, Class A3, 0.62%, 3/17/2025 | 7 | 7 |
Series 2021-1, Class A3, 0.34%, 12/15/2025 | 17 | 17 |
Series 2022-2, Class A3, 3.49%, 2/16/2027 | 76 | 74 |
Carvana Auto Receivables Trust | ||
Series 2021-P3, Class A3, 0.70%, 11/10/2026 | 78 | 75 |
Series 2023-N1, Class A, 6.36%, 4/12/2027 (b) | 85 | 85 |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 22 | 22 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 51 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | 150 | 136 |
CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b) | 2 | 2 |
CoreVest American Finance Trust | ||
Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | 51 | 49 |
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (d) | 97 | 94 |
CPS Auto Receivables Trust Series 2022-C, Class B, 4.88%, 4/15/2030 (b) | 200 | 197 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-2A, Class A, 0.96%, 2/15/2030 (b) | 109 | 107 |
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b) | 250 | 251 |
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026 | 16 | 15 |
DT Auto Owner Trust | ||
Series 2022-1A, Class A, 1.58%, 4/15/2026 (b) | 28 | 28 |
Series 2022-2A, Class A, 2.88%, 6/15/2026 (b) | 32 | 31 |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) | 95 | 91 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) | 57 | 52 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (b) | 176 | 173 |
Series 2023-2A, Class B, 5.41%, 2/15/2029 (b) | 92 | 91 |
Exeter Automobile Receivables Trust | ||
Series 2022-3A, Class A3, 4.21%, 1/15/2026 | 85 | 84 |
Series 2021-4A, Class B, 1.05%, 5/15/2026 | 31 | 30 |
Series 2022-5A, Class B, 5.97%, 3/15/2027 | 107 | 107 |
Series 2023-2A, Class B, 5.61%, 9/15/2027 | 75 | 74 |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | 75 | 72 |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | 82 | 80 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 21 | 21 |
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (b) | 72 | 71 |
Flagship Credit Auto Trust | ||
Series 2019-4, Class C, 2.77%, 12/15/2025 (b) | 25 | 25 |
Series 2021-4, Class A, 0.81%, 7/17/2026 (b) | 32 | 31 |
Series 2022-1, Class A, 1.79%, 10/15/2026 (b) | 63 | 62 |
Series 2022-2, Class A3, 4.03%, 12/15/2026 (b) | 200 | 197 |
Series 2023-1, Class A2, 5.38%, 12/15/2026 (b) | 15 | 15 |
Series 2023-2, Class A2, 5.76%, 4/15/2027 (b) | 145 | 144 |
Series 2021-3, Class A, 0.36%, 7/15/2027 (b) | 28 | 28 |
Series 2023-1, Class C, 5.43%, 5/15/2029 (b) | 200 | 196 |
Ford Credit Auto Owner Trust Series 2023-A, Class A3, 4.65%, 2/15/2028 | 55 | 54 |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) | 156 | 137 |
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (d) | 8 | 6 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
GLS Auto Receivables Issuer Trust | ||
Series 2021-4A, Class A, 0.84%, 7/15/2025 (b) | 4 | 4 |
Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) | 66 | 63 |
Series 2023-2A, Class A2, 5.70%, 1/15/2027 (b) | 63 | 63 |
Series 2023-3A, Class B, 5.89%, 1/18/2028 (b) | 115 | 115 |
GM Financial Automobile Leasing Trust | ||
Series 2022-2, Class A3, 3.42%, 6/20/2025 | 82 | 81 |
Series 2023-1, Class A3, 5.16%, 4/20/2026 | 44 | 44 |
GM Financial Consumer Automobile Receivables Trust | ||
Series 2021-1, Class A3, 0.35%, 10/16/2025 | 12 | 12 |
Series 2023-3, Class A3, 5.45%, 6/16/2028 | 43 | 43 |
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) | 1 | 1 |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (b) | 97 | 89 |
Honda Auto Receivables Owner Trust Series 2023-1, Class A3, 5.04%, 4/21/2027 | 34 | 34 |
Hyundai Auto Receivables Trust Series 2023-B, Class A3, 5.48%, 4/17/2028 | 58 | 58 |
Kubota Credit Owner Trust Series 2023-1A, Class A3, 5.02%, 6/15/2027 (b) | 111 | 110 |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A3, 4.51%, 11/15/2027 | 63 | 62 |
MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) | 63 | 58 |
Nissan Auto Lease Trust Series 2023-A, Class A3, 4.91%, 1/15/2026 | 72 | 71 |
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (b) | 140 | 139 |
Progress Residential Trust | ||
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b) | 100 | 86 |
Series 2022-SFR3, Class A, 3.20%, 4/17/2039 (b) | 129 | 118 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b) | 6 | 6 |
Santander Drive Auto Receivables Trust | ||
Series 2020-4, Class C, 1.01%, 1/15/2026 | — | — |
Series 2021-2, Class C, 0.90%, 6/15/2026 | 32 | 32 |
Series 2022-3, Class A3, 3.40%, 12/15/2026 | 57 | 56 |
Series 2022-4, Class A3, 4.14%, 2/16/2027 | 110 | 109 |
Series 2022-5, Class B, 4.43%, 3/15/2027 | 44 | 43 |
Series 2023-2, Class A3, 5.21%, 7/15/2027 | 66 | 66 |
Series 2023-3, Class A3, 5.61%, 10/15/2027 | 28 | 28 |
Series 2023-1, Class B, 4.98%, 2/15/2028 | 43 | 42 |
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b) | 34 | 33 |
52 | JPMorgan Institutional Trust Funds | August 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b) | 150 | 151 |
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.85%, 1/25/2036 (f) | 20 | 16 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 32 | 28 |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b) | 36 | 33 |
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (b) | 51 | 49 |
Toyota Auto Receivables Owner Trust | ||
Series 2021-A, Class A3, 0.26%, 5/15/2025 | 42 | 41 |
Series 2020-C, Class A4, 0.57%, 10/15/2025 | 56 | 55 |
Toyota Lease Owner Trust Series 2023-A, Class A3, 4.93%, 4/20/2026 (b) | 200 | 198 |
United Airlines Pass-Through Trust | ||
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 85 | 76 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 95 | 82 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b) | 44 | 43 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (f) | 39 | 36 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (f) | 64 | 59 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (f) | 56 | 52 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (f) | 75 | 71 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (f) | 56 | 52 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (f) | 72 | 68 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (f) | 84 | 78 |
Westlake Automobile Receivables Trust | ||
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b) | 183 | 182 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | 72 | 67 |
Series 2023-3A, Class A3, 5.82%, 5/17/2027 (b) | 200 | 200 |
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (b) | 50 | 50 |
World Omni Auto Receivables Trust | ||
Series 2021-A, Class A3, 0.30%, 1/15/2026 | 53 | 52 |
Series 2022-B, Class A3, 3.25%, 7/15/2027 | 140 | 136 |
Series 2023-A, Class A3, 4.83%, 5/15/2028 | 58 | 57 |
World Omni Automobile Lease Securitization Trust Series 2021-A, Class A3, 0.42%, 8/15/2024 | 30 | 30 |
Total Asset-Backed Securities (Cost $7,897) | 7,651 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — 6.3% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (b) (d) | 145 | 123 |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b) | 100 | 90 |
Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 281 | 269 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (d) | 500 | 480 |
Series KLU2, Class A7, 2.23%, 9/25/2025 (d) | 213 | 199 |
Series K737, Class AM, 2.10%, 10/25/2026 | 305 | 279 |
Series K069, Class A2, 3.19%, 9/25/2027 (d) | 480 | 450 |
Series K081, Class A1, 3.88%, 2/25/2028 | 88 | 86 |
Series K083, Class A2, 4.05%, 9/25/2028 (d) | 297 | 287 |
Series K088, Class A2, 3.69%, 1/25/2029 | 480 | 456 |
Series K-151, Class A2, 3.80%, 10/25/2032 (d) | 300 | 278 |
FNMA ACES | ||
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (d) | 145 | 144 |
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (d) | 297 | 290 |
Series 2015-M7, Class A2, 2.59%, 12/25/2024 | 517 | 498 |
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (d) | 473 | 437 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 163 | 145 |
Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (d) | 2,314 | 142 |
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (d) | 117 | 92 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 8 | 7 |
Series 2021-M3, Class X1, IO, 2.05%, 11/25/2033 (d) | 97 | 8 |
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 ‡ (b) | 147 | 112 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | 200 | 181 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | 155 | 124 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | 4 | 3 |
Total Commercial Mortgage-Backed Securities (Cost $5,615) | 5,180 | |
Foreign Government Securities — 0.2% | ||
United Mexican States 2.66%, 5/24/2031 (Cost $199) | 200 | 166 |
U.S. Government Agency Securities — 0.1% | ||
Resolution Funding Corp. STRIPS DN, 3.36%, 1/15/2026 (a) (Cost $56) | 60 | 53 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 53 |
AS OF August 31, 2023 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short-Term Investments — 2.6% | ||
Investment Companies — 2.6% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.38% (g) (h) (Cost $2,171) | 2,170 | 2,171 |
Total Investments — 99.5% (Cost $88,023) | 82,496 | |
Other Assets Less Liabilities — 0.5% | 398 | |
NET ASSETS — 100.0% | 82,894 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2023. |
CME | Chicago Mercantile Exchange |
DN | Discount Notes |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of August 31, 2023. The rate may be subject to a cap and floor. |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
LIBOR | London Interbank Offered Rate |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | The rate shown is the effective yield as of August 31, 2023. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2023. | |
(d) | 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 August 31, 2023. | |
(e) | Value is zero. | |
(f) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2023. | |
(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 August 31, 2023. |
54 | JPMorgan Institutional Trust Funds | August 31, 2023 |
AS OF August 31, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Core Bond Trust | JPMorgan Intermediate Bond Trust | |
ASSETS: | ||
Investments in non-affiliates, at value | $2,046,933 | $80,325 |
Investments in affiliates, at value | 58,290 | 2,171 |
Deposits at broker for futures contracts | 2,709 | — |
Receivables: | ||
Investment securities sold | 159 | 7 |
Interest from non-affiliates | 11,770 | 430 |
Dividends from affiliates | 275 | 7 |
Variation margin on futures contracts | 229 | — |
Due from adviser | — | 6 |
Total Assets | 2,120,365 | 82,946 |
LIABILITIES: | ||
Payables: | ||
Due to custodian | 61 | — |
Investment securities purchased — delayed delivery securities | 22,275 | — |
Accrued liabilities: | ||
Investment advisory fees | 175 | — |
Custodian and accounting fees | 34 | 14 |
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 |
Other | 59 | 37 |
Total Liabilities | 22,605 | 52 |
Net Assets | $2,097,760 | $82,894 |
NET ASSETS: | ||
Paid-in-Capital | $2,373,315 | $89,684 |
Total distributable earnings (loss) | (275,555 ) | (6,790 ) |
Total Net Assets | $2,097,760 | $82,894 |
Net Assets: | ||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | 239,672 | 9,518 |
Net asset value, offering and redemption price per share (a) | $8.75 | $8.71 |
Cost of investments in non-affiliates | $2,264,107 | $85,852 |
Cost of investments in affiliates | 58,285 | 2,171 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 55 |
FOR THE SIX MONTHS ENDED August 31, 2023 (Unaudited)
(Amounts in thousands)
JPMorgan Core Bond Trust | JPMorgan Intermediate Bond Trust | |
INVESTMENT INCOME: | ||
Interest income from non-affiliates | $40,805 | $1,364 |
Interest income from affiliates | 2 | — |
Dividend income from affiliates | 776 | 31 |
Total investment income | 41,583 | 1,395 |
EXPENSES: | ||
Investment advisory fees | 2,946 | 116 |
Administration fees | 1,052 | 42 |
Custodian and accounting fees | 81 | 34 |
Interest expense to affiliates | — (a) | — |
Professional fees | 46 | 32 |
Trustees’ and Chief Compliance Officer’s fees | 18 | 14 |
Printing and mailing costs | 13 | 10 |
Transfer agency fees | 8 | — (a) |
Other | 116 | 6 |
Total expenses | 4,280 | 254 |
Less fees waived | (2,726 ) | (159 ) |
Less expense reimbursements | (1 ) | (34 ) |
Net expenses | 1,553 | 61 |
Net investment income (loss) | 40,030 | 1,334 |
REALIZED/UNREALIZED GAINS (LOSSES): | ||
Net realized gain (loss) on transactions from: | ||
Investments in non-affiliates | (28,265 ) | (356 ) |
Investments in affiliates | (10 ) | (1 ) |
Futures contracts | (3,766 ) | — |
Net realized gain (loss) | (32,041 ) | (357 ) |
Change in net unrealized appreciation/depreciation on: | ||
Investments in non-affiliates | 12,787 | 296 |
Investments in affiliates | 10 | — (a) |
Futures contracts | 1,141 | — |
Change in net unrealized appreciation/depreciation | 13,938 | 296 |
Net realized/unrealized gains (losses) | (18,103 ) | (61 ) |
Change in net assets resulting from operations | $21,927 | $1,273 |
56 | JPMorgan Institutional Trust Funds | August 31, 2023 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Core Bond Trust | JPMorgan Intermediate Bond Trust | |||
Six Months Ended August 31, 2023 (Unaudited) | Year Ended February 28, 2023 | Six Months Ended August 31, 2023 (Unaudited) | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $40,030 | $64,554 | $1,334 | $2,206 |
Net realized gain (loss) | (32,041 ) | (26,012 ) | (357 ) | (668 ) |
Change in net unrealized appreciation/depreciation | 13,938 | (220,277 ) | 296 | (6,192 ) |
Change in net assets resulting from operations | 21,927 | (181,735 ) | 1,273 | (4,654 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (40,789 ) | (64,356 ) | (1,357 ) | (2,192 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (14,809 ) | 303,570 | 2,507 | 1,655 |
NET ASSETS: | ||||
Change in net assets | (33,671 ) | 57,479 | 2,423 | (5,191 ) |
Beginning of period | 2,131,431 | 2,073,952 | 80,471 | 85,662 |
End of period | $2,097,760 | $2,131,431 | $82,894 | $80,471 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $267,380 | $541,443 | $2,024 | $1,975 |
Distributions reinvested | 37,210 | 58,385 | 925 | 1,473 |
Cost of shares redeemed | (319,399 ) | (296,258 ) | (442 ) | (1,793 ) |
Change in net assets resulting from capital transactions | $(14,809 ) | $303,570 | $2,507 | $1,655 |
SHARE TRANSACTIONS: | ||||
Issued | 30,242 | 59,161 | 228 | 227 |
Reinvested | 4,188 | 6,454 | 105 | 166 |
Redeemed | (35,804 ) | (32,318 ) | (50 ) | (202 ) |
Change in Shares | (1,374 ) | 33,297 | 283 | 191 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 57 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Core Bond Trust | |||||||
Six Months Ended August 31, 2023 (Unaudited) | $8.84 | $0.17 | $(0.09 ) | $0.08 | $(0.17 ) | $— | $(0.17 ) |
Year Ended February 28, 2023 | 9.98 | 0.29 | (1.14 ) | (0.85 ) | (0.29 ) | — | (0.29 ) |
Year Ended February 28, 2022 | 10.50 | 0.26 | (0.45 ) | (0.19 ) | (0.26 ) | (0.07 ) | (0.33 ) |
Year Ended February 28, 2021 | 10.80 | 0.31 | (0.03 ) | 0.28 | (0.31 ) | (0.27 ) | (0.58 ) |
Year Ended February 29, 2020 | 9.97 | 0.34 | 0.87 | 1.21 | (0.34 ) | (0.04 ) | (0.38 ) |
Year Ended February 28, 2019 | 10.03 | 0.34 | (0.03 ) | 0.31 | (0.34 ) | (0.03 ) | (0.37 ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
58 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets(a) | ||||||
Net asset value, end of period | Total return(c)(d) | Net assets, end of period (000's) | Net expenses(e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate(c) |
$8.75 | 0.93 % | $2,097,760 | 0.15 % | 3.82 % | 0.41 % | 19 % |
8.84 | (8.57 ) | 2,131,431 | 0.14 | 3.19 | 0.41 | 53 |
9.98 | (1.92 ) | 2,073,952 | 0.14 | 2.46 | 0.40 | 66 |
10.50 | 2.57 | 2,220,686 | 0.14 | 2.89 | 0.40 | 66 |
10.80 | 12.32 | 2,059,714 | 0.14 | 3.25 | 0.41 | 32 |
9.97 | 3.16 | 1,876,288 | 0.15 | 3.42 | 0.42 | 17 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 59 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Intermediate Bond Trust | |||||||
Six Months Ended August 31, 2023 (Unaudited) | $8.71 | $0.14 | $— (f) | $0.14 | $(0.14 ) | $— | $(0.14 ) |
Year Ended February 28, 2023 | 9.47 | 0.24 | (0.76 ) | (0.52 ) | (0.24 ) | — | (0.24 ) |
Year Ended February 28, 2022 | 10.00 | 0.23 | (0.43 ) | (0.20 ) | (0.24 ) | (0.09 ) | (0.33 ) |
Year Ended February 28, 2021 | 10.18 | 0.27 | (0.02 )(g) | 0.25 | (0.27 ) | (0.16 ) | (0.43 ) |
Year Ended February 29, 2020 | 9.65 | 0.31 | 0.53 | 0.84 | (0.31 ) | — | (0.31 ) |
Year Ended February 28, 2019 | 9.63 | 0.31 | 0.02 | 0.33 | (0.31 ) | — | (0.31 ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Calculation of the net realized and unrealized gains (losses) per share does not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
60 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets(a) | ||||||
Net asset value, end of period | Total return(c)(d) | Net assets, end of period (000's) | Net expenses(e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate(c) |
$8.71 | 1.66 % | $82,894 | 0.15 % | 3.21 % | 0.61 % | 13 % |
8.71 | (5.51 ) | 80,471 | 0.15 | 2.71 | 0.62 | 30 |
9.47 | (2.10 ) | 85,662 | 0.15 | 2.38 | 0.57 | 36 |
10.00 | 2.42 | 105,150 | 0.15 | 2.63 | 0.52 | 40 |
10.18 | 8.79 | 140,002 | 0.15 | 3.08 | 0.54 | 23 |
9.65 | 3.47 | 143,173 | 0.15 | 3.18 | 0.53 | 32 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 61 |
AS OF August 31, 2023 (Unaudited)
(Dollar values in thousands)
62 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Core Bond Trust | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $257,989 | $47,782 | $305,771 |
Collateralized Mortgage Obligations | — | 118,457 | 4,238 | 122,695 |
Commercial Mortgage-Backed Securities | — | 87,354 | 2,467 | 89,821 |
Corporate Bonds | — | 490,490 | — | 490,490 |
Foreign Government Securities | — | 7,202 | — | 7,202 |
Loan Assignments | — | 2,712 | — | 2,712 |
Mortgage-Backed Securities | — | 447,162 | — | 447,162 |
Municipal Bonds | — | 11,202 | — | 11,202 |
U.S. Government Agency Securities | — | 8,342 | — | 8,342 |
U.S. Treasury Obligations | — | 561,536 | — | 561,536 |
Short-Term Investments | ||||
Investment Companies | 58,290 | — | — | 58,290 |
Total Investments in Securities | $58,290 | $1,992,446 | $54,487 | $2,105,223 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $1,207 | $— | $— | $1,207 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (239 ) | — | — | (239 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $968 | $— | $— | $968 |
Intermediate Bond Trust | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $7,651 | $— | $7,651 |
Collateralized Mortgage Obligations | — | 9,854 | — | 9,854 |
Commercial Mortgage-Backed Securities | — | 5,068 | 112 | 5,180 |
Corporate Bonds | — | 20,892 | — | 20,892 |
Foreign Government Securities | — | 166 | — | 166 |
Mortgage-Backed Securities | — | 8,391 | — | 8,391 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 63 |
AS OF August 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Intermediate Bond Trust (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
U.S. Government Agency Securities | $— | $53 | $— | $53 |
U.S. Treasury Obligations | — | 28,138 | — | 28,138 |
Short-Term Investments | ||||
Investment Companies | 2,171 | — | — | 2,171 |
Total Investments in Securities | $2,171 | $80,213 | $112 | $82,496 |
Core Bond Trust | Balance as of February 28, 2023 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of August 31, 2023 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $62,369 | $— (a) | $(1,291 ) | $2 | $8,095 | $(21,393 ) | $— | $— | $47,782 |
Collateralized Mortgage Obligations | 5,720 | — | 213 | (7 ) | 7 | (1,695 ) | — | — | 4,238 |
Commercial Mortgage-Backed Securities | 2,483 | — | (16 ) | — | — | — | — | — | 2,467 |
Total | $70,572 | $— (a) | $(1,094 ) | $(5 ) | $8,102 | $(23,088 ) | $— | $— | $54,487 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
Fair Value at August 31, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$10,618 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 12.00% (6.67%) | |
Yield (Discount Rate of Cash Flows) | 6.62% - 8.25% (7.44%) | |||
64 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Fair Value at August 31, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
Asset-Backed Securities | 10,618 | |||
4,000 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 7.00% (0.12%) | |
Constant Default Rate | 0.00% - 2.99% (0.05%) | |||
Yield (Discount Rate of Cash Flows) | 0.00% - 11.69% (11.66%) | |||
Collateralized Mortgage Obligations | 4,000 | |||
Total | $14,618 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2023, the value of these investments was $39,869. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
August 31, 2023 | JPMorgan Institutional Trust Funds | 65 |
AS OF August 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Core Bond Trust | |||||||||
For the six months ended August 31, 2023 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at August 31, 2023 | Shares at August 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.38% (a) (b) | $63,390 | $210,902 | $216,002 | $(10 ) | $10 | $58,290 | 58,273 | $776 | $— |
(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 August 31, 2023. |
66 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Intermediate Bond Trust | |||||||||
For the six months ended August 31, 2023 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at August 31, 2023 | Shares at August 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.38% (a) (b) | $980 | $10,268 | $9,076 | $(1 ) | $— (c) | $2,171 | 2,170 | $31 | $— |
(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 August 31, 2023. |
(c) | Amount rounds to less than one thousand. |
Core Bond Trust | |
Futures Contracts: | |
Average Notional Balance Long | $141,147 |
Average Notional Balance Short | (6,472 ) |
Ending Notional Balance Long | 195,772 |
Ending Notional Balance Short | (22,368 ) |
August 31, 2023 | JPMorgan Institutional Trust Funds | 67 |
AS OF August 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Core Bond Trust | 0.15 % |
Intermediate Bond Trust | 0.15 |
68 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Contractual Waivers | ||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | |
Core Bond Trust | $1,643 | $1,052 | $2,695 | $— |
Intermediate Bond Trust | 116 | 42 | 158 | 33 |
Core Bond Trust | $31 |
Intermediate Bond Trust | 1 |
Core Bond Trust | $1 |
Intermediate Bond Trust | 1 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
Core Bond Trust | $194,992 | $223,291 | $197,374 | $181,403 |
Intermediate Bond Trust | 5,638 | 4,008 | 6,079 | 6,815 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 69 |
AS OF August 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Core Bond Trust | $2,322,392 | $6,341 | $222,542 | $(216,201 ) |
Intermediate Bond Trust | 88,023 | 38 | 5,565 | (5,527 ) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Core Bond Trust | $11,639 | $8,549 |
Intermediate Bond Trust | 175 | — |
Net Capital Losses (Gains) | ||
Short-Term | Long-Term | |
Core Bond Trust | $966 | $4,782 |
Intermediate Bond Trust | 203 | 422 |
70 | JPMorgan Institutional Trust Funds | August 31, 2023 |
Number of Individual Shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |
Core Bond Trust | 2 | 23.7 % |
Intermediate Bond Trust | 3 | 74.5 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 71 |
AS OF August 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
72 | JPMorgan Institutional Trust Funds | August 31, 2023 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Core Bond Trust | ||||
Actual | $1,000.00 | $1,009.30 | $0.76 | 0.15 % |
Hypothetical | 1,000.00 | 1,024.38 | 0.76 | 0.15 |
JPMorgan Intermediate Bond Trust | ||||
Actual | 1,000.00 | 1,016.60 | 0.76 | 0.15 |
Hypothetical | 1,000.00 | 1,024.38 | 0.76 | 0.15 |
* | Expenses are equal to each Fund’s respective annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
August 31, 2023 | JPMorgan Institutional Trust Funds | 73 |
(Unaudited)
74 | JPMorgan Institutional Trust Funds | August 31, 2023 |
(Unaudited)
August 31, 2023 | JPMorgan Institutional Trust Funds | 75 |
(Unaudited) (continued)
76 | JPMorgan Institutional Trust Funds | August 31, 2023 |
August 31, 2023 | JPMorgan Institutional Trust Funds | 77 |
(Unaudited) (continued)
78 | JPMorgan Institutional Trust Funds | August 31, 2023 |
J.P. Morgan Investment Management Inc.
277 Park Avenue
New York, New York 10172
JPMorgan Institutional Investments, Inc.
277 Park Avenue
New York, New York 10172
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to a semi-annual report.
ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2), exactly as set forth below:
(1) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
Not applicable.
(b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Institutional Trust
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
November 2, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
November 2, 2023 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
November 2, 2023 |