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JPMorgan Trust IV

Filed: 2 Nov 20, 5:11pm
Table of Contents

 

 

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: 811-23117

 

 

JPMorgan Trust IV

(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) 480-4111

Date of fiscal year end: Last day of February

Date of reporting period: March 1, 2020 through August 31, 2020

 

 

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.

 

 

 


Table of Contents

ITEM 1. REPORTS TO STOCKHOLDERS.

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).


Table of Contents

Semi-Annual Report

J.P. Morgan Money Market Funds

August 31, 2020 (Unaudited)

JPMorgan Prime Money Market Fund

JPMorgan Institutional Tax Free Money Market Fund

JPMorgan Securities Lending Money Market Fund

JPMorgan Liquid Assets Money Market Fund

JPMorgan U.S. Government Money Market Fund

JPMorgan U.S. Treasury Plus Money Market Fund

JPMorgan Federal Money Market Fund

JPMorgan 100% U.S. Treasury Securities Money Market Fund

JPMorgan Tax Free Money Market Fund

JPMorgan Municipal Money Market Fund

JPMorgan California Municipal Money Market Fund

JPMorgan New York Municipal Money Market Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

LOGO


Table of Contents

CONTENTS

 

Letter to Shareholders     1 
Funds Commentary     2 

Fund Facts:

    

JPMorgan Prime Money Market Fund

     3 

JPMorgan Institutional Tax Free Money Market Fund

     4 

JPMorgan Securities Lending Money Market Fund

     5 

JPMorgan Liquid Assets Money Market Fund

     6 

JPMorgan U.S. Government Money Market Fund

     7 

JPMorgan U.S. Treasury Plus Money Market Fund

     8 

JPMorgan Federal Money Market Fund

     9 

JPMorgan 100% U.S. Treasury Securities Money Market Fund

     10 

JPMorgan Tax Free Money Market Fund

     11 

JPMorgan Municipal Money Market Fund

     12 

JPMorgan California Municipal Money Market Fund

     13 

JPMorgan New York Municipal Money Market Fund

     14 
Schedules of Portfolio Investments     15 
Financial Statements     92 
Financial Highlights     126 
Notes to Financial Statements     158 
Schedule of Shareholder Expenses     172 
Board Approval of Investment Advisory Agreements     177 

The following disclosure applies to the JPMorgan Liquid Assets Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund.

You could lose money by investing in a Fund. Although each Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. A Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.

The following disclosure applies to the JPMorgan Prime Money Market Fund, JPMorgan Institutional Tax Free Money Market Fund and JPMorgan Securities Lending Money Market Fund.

You could lose money by investing in a Fund. Because the share price of each Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. A Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.

Any gain resulting from the sale or exchange of Fund shares will be taxable as long-term or short-term gain, depending upon how long you have held your shares.

The following disclosure applies to the JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund and the JPMorgan 100% U.S. Treasury Securities Money Market Fund.

You could lose money by investing in a Fund. Although each Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


Table of Contents

LETTER TO SHAREHOLDERS

OCTOBER 23, 2020 (Unaudited)

 

Dear Shareholders,

Even as the U.S. economy has endured a severe contraction since the start of the pandemic, financial markets have generally rebounded from lows seen in March 2020 amid unprecedented support from the Federal Reserve (the “Fed”) and investor optimism about efforts to contain the spread of COVID-19.

 

LOGO  

 

“Throughout this tumultuous year, J.P. Morgan Asset Management has responded to unprecedented conditions by continuing to seek to provide our clients with effective investment solutions and dependable service.”

— Andrea L. Lisher

In response to an acute sell-off in financial markets in February and March 2020, the Fed unveiled an array of lending and asset purchasing programs designed to head off a liquidity crisis in credit markets and maintain the flow of credit to the public and private sectors. The Fed also slashed interest rates in March 2020, as jobless claims spiked to record highs, which helped to bolster equity markets. In the following months, financial market volatility subsided and asset prices generally began to rebound, though global oil prices remained at historically low levels amid a steep drop off in demand and slower economic

activity. For the six months ended August 31, 2020, the S&P 500 Index returned 19.6% and the Bloomberg Barclays U.S. Aggregate Index returned 2.9%.

Our long-term view remains one of cautious optimism, but we recognize the near-term risks stemming from uncertainty surrounding additional fiscal support and efforts to contain COVID-19. The pace of economic activity looks set to slow into the end of the year as services remain under pressure, and additional stimulus may be required to keep the economy on track in 2021. That said, volatility in financial markets could begin to recede as the results of the November 3rd election provide clarity on the contours of the political landscape going forward. Throughout this tumultuous year, J.P. Morgan Asset Management has responded to unprecedented conditions by continuing to seek to provide our clients with effective investment solutions and dependable service.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    1 


Table of Contents

FUNDS COMMENTARY

October 27, 2020

 

Dear Shareholders,

The emergence of COVID-19 caused the deepest downturn in economic activity since World War II. The rapid spread of the COVID-19 virus led to a collapse in the economy that fed back into financial markets. Money market flows were shaped by investors’ need to preserve and build liquidity buffers. At the height of financial market uncertainty in early March, demand for liquidity strained short-term credit markets and spread into broader financial markets.

 

LOGO  

 

“Throughout this turbulent year, JPMorgan Global Liquidity has responded to unprecedented conditions by drawing on JPMorgan’s global resources and expertise to seek to deliver effective short-term fixed income strategies.”
— John T. Donohue

U.S. government money market funds served as the liquidity vehicle of choice for our Funds’ investors. Industry wide, hundreds of billions of dollars were allocated into these funds as investors of all types were seeking liquidity and government money market funds’ assets under management increased by $834 billion in March 2020. Conversely, prime money market funds experienced $139 billion in outflows during the month. If one were to assume that all prime money market outflows were inflows into government money market funds, an additional $695 billion had also flowed into government money market funds from other sources.

In response to the severe sell-off in financial markets in February and March 2020, the U.S. Federal Reserve (the “Fed”) introduced an array of facilities designed to restore liquidity and maintain the flow of credit to the public and private sectors, in addition to cutting interest rates. Primarily targeting the short-term markets, the Fed launched the Commercial

Paper Funding Facility and the Money Market Mutual Fund Liquidity Facility (MMLF). MMLF assets reached a high of $53 billion on April 8, 2020 and have since declined sharply. The Fed’s strong actions telegraphed to the financial market a willingness to take the necessary steps to ensure liquidity and the flow of credit to the financial markets.

Following the Fed’s actions, the return of investor confidence was evident as a rotation of assets from government money market funds and other sources found their way back to prime money market funds. Flows into prime money market funds were swift, with prime sector total assets under management rising above pre-pandemic levels. Additionally, as interest rates continued to drift lower, the yield spread between prime money market funds and government money market funds became a larger consideration for investors.

There remains great uncertainty regarding the path of the U.S. economy and financial markets given that efforts to contain COVID-19 have had mixed results, coupled with lack of a readily available and effective vaccine. Throughout this turbulent year, JPMorgan Global Liquidity has responded to unprecedented conditions by drawing on JPMorgan’s global resources and expertise to seek to deliver effective short-term fixed income strategies.

On behalf of JPMorgan Global Liquidity, we thank you for your continued partnership and trust in our company and our product.

Sincerely yours,

 

LOGO

John T. Donohue

CEO Asset Management Americas & Head of Global Liquidity

J.P. Morgan Asset Management

 

 

 
2   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan Prime Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Seeks current income while seeking to maintain liquidity and a low volatility of principal
Primary Investments  High quality, short-term, U.S. dollar-denominated money market instruments
Suggested investment time frame  Short-term
Share classes offered  Class C, Academy, Agency, Capital, IM, Institutional Class, Morgan, Premier and Reserve
Net Assets as of August 31, 2020  $87.5 Billion
Weighted Average Maturity^  54 calendar days
Weighted Average Life^^  81 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   32.6
2–7 calendar days   5.1 
8–30 calendar days   12.9 
31–60 calendar days   16.5 
61–90 calendar days   13.9 
91–180 calendar days   12.1 
181+ calendar days   6.9 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Class C Shares   0.01
Academy Shares   0.20 
Agency Shares   0.12 
Capital Shares   0.20 
IM Shares   0.24 
Institutional Class Shares   0.17 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Class C Shares, Academy Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (4.93)%, 0.18%, 0.09%, 0.19%, 0.24%, 0.14%, (0.13)%, (0.06)% and (2.57)% for Class C Shares, Academy Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Prime Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    3 


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Aims to provide current income, while seeking to maintain liquidity and a low volatility of principal
Primary Investments  High quality short-term municipal securities, the interest on which is excluded from federal income taxes
Suggested investment time frame  Short-term
Share classes offered  Agency, Capital, IM and Institutional Class
Net Assets as of August 31, 2020  $1.8 Billion
Weighted Average Maturity^  31 calendar days
Weighted Average Life^^  34 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   32.8
2–7 calendar days   0.1 
8–30 calendar days   50.8 
31–60 calendar days   2.3 
61–90 calendar days   2.1 
91–180 calendar days   6.1 
181+ calendar days   5.8 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.01
Capital Shares   0.02 
IM Shares   0.05 
Institutional Class Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Capital Shares, IM Shares and Institutional Class Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.13)%, (0.01)%, 0.05% and (0.06)% for Agency Shares, Capital Shares, IM Shares and Institutional Class Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Institutional Tax Free Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
4   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan Securities Lending Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Seeks current income while seeking to maintain liquidity and a low volatility of principal
Primary Investments  High quality, short-term, U.S. dollar-denominated money market instruments
Suggested investment time frame  Short-term
Share classes offered  Agency SL
Net Assets as of August 31, 2020  $3.7 Billion
Weighted Average Maturity^  40 calendar days
Weighted Average Life^^  79 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   45.0
2–7 calendar days   0.3 
8–30 calendar days   12.5 
31–60 calendar days   15.6 
61–90 calendar days   14.5 
91–180 calendar days   8.9 
181+ calendar days   3.2 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency SL Shares   0.32
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yield for Agency SL Shares reflects the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yield would have been 0.24% for Agency SL Shares.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Securities Lending Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    5 


Table of Contents

JPMorgan Liquid Assets Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Seeks current income with liquidity and stability of principal
Primary Investments  High quality, short-term instruments including corporate notes, U.S. government securities, asset-backed securities, repurchase agreements, commercial paper, funding agreements, certificates of deposit, municipal obligations and bank obligations
Suggested investment time frame  Short-term
Share classes offered  Class C, Agency, Capital, E*Trade^, Institutional Class, Investor, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2020  $12.5 Billion
Weighted Average Maturity^^  54 calendar days
Weighted Average Life^^^  85 calendar days

 

MATURITY SCHEDULE*^^

 
1 calendar day   31.7
2–7 calendar days   6.3 
8–30 calendar days   11.6 
31–60 calendar days   15.1 
61–90 calendar days   14.2 
91–180 calendar days   15.0 
181+ calendar days   6.1 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Class C Shares   0.01
Agency Shares   0.14 
Capital Shares   0.21 
Institutional Class Shares   0.19 
Investor Shares   0.01 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

E*Trade Shares had no assets from the close of business on October 19, 2016.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Class C Shares, Agency Shares, Capital Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.75)%, 0.11%, 0.21%, 0.16%, (0.28)%, (0.21)%, (0.05)% and (1.00)% for Class C Shares, Agency Shares, Capital Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Liquid Assets Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
6   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan U.S. Government Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Seeks high current income with liquidity and stability of principal
Primary Investments  High quality, short-term securities issued or guaranteed by the U.S. government or by U.S. government agencies or instrumentalities and repurchase agreements collateralized by such obligations
Suggested investment time frame  Short-term
Share classes offered  Academy, Agency, Capital, E*Trade, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares
Net Assets as of August 31, 2020  $180.9 Billion
Weighted Average Maturity^  32 calendar days
Weighted Average Life^^  101 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   35.0
2–7 calendar days   6.4 
8–30 calendar days   23.0 
31–60 calendar days   13.2 
61–90 calendar days   13.1 
91–180 calendar days   7.0 
181+ calendar days   2.3 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Academy Shares   0.03
Agency Shares   0.01 
Capital Shares   0.03 
E*Trade Shares   0.01 
IM Shares   0.08 
Institutional Class Shares   0.01 
Investor Shares   0.01 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
Service Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Academy Shares, Agency Shares, Capital Shares, E*Trade Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.03%, (0.07)%, 0.02%, (0.82)%, 0.08%, (0.02)%, (0.27)%, (0.37)%, (0.22)%, (0.49)% and (0.81)% for Academy Shares, Agency Shares, Capital Shares, E*Trade Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan U.S. Government Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    7 


Table of Contents

JPMorgan U.S. Treasury Plus Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Seeks current income with liquidity and stability of principal
Primary Investments  Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury and repurchase agreements collateralized by U.S. Treasury securities
Suggested investment time frame  Short-term
Share classes offered  Class C, Agency, Capital, IM, Institutional Class, Investor, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2020  $37.0 Billion
Weighted Average Maturity^  28 calendar days
Weighted Average Life^^  58 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   45.2
2–7 calendar days   1.3 
8–30 calendar days   24.6 
31–60 calendar days   5.9 
61–90 calendar days   13.1 
91–180 calendar days   9.0 
181+ calendar days   0.9 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Class C Shares   0.01
Agency Shares   0.01 
Capital Shares   0.06 
IM Shares   0.11 
Institutional Class Shares   0.03 
Investor Shares   0.01 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020 .

(1) 

The yields for Class C Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.89)%, (0.04)%, 0.05%, 0.11%, 0.00%, (0.24)%, (0.34)%, (0.19)% and (0.63)% for Class C Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan U.S. Treasury Plus Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
8   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan Federal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Aims to provide current income while still preserving capital and maintaining liquidity
Primary Investments  Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes as well as debt obligations issued or guaranteed by U.S. government agencies or instrumentalities
Suggested investment time frame  Short-term
Share classes offered  Agency, Institutional Class, Morgan and Premier Shares
Net Assets as of August 31, 2020  $3.2 Billion
Weighted Average Maturity^  38 calendar days
Weighted Average Life^^  88 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   30.1
8–30 calendar days   22.9 
31–60 calendar days   9.5 
61–90 calendar days   34.4 
91–180 calendar days   3.1 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.01
Institutional Class Shares   0.01 
Morgan Shares   0.01 
Premier Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Institutional Class Shares, Morgan Shares and Premier Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.08)%, (0.03)%, (0.41)% and (0.23)% for Agency Shares, Institutional Class Shares, Morgan Shares and Premier Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Federal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    9 


Table of Contents

JPMorgan 100% U.S. Treasury Securities Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Aims to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal
Primary Investments  Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes
Suggested investment time frame  Short-term
Share classes offered  Agency, Capital, IM, Institutional Class, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2020  $111.6 Billion
Weighted Average Maturity^  54 calendar days
Weighted Average Life^^  96 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   15.7
2–7 calendar days   0.6 
8–30 calendar days   16.1 
31–60 calendar days   12.9 
61–90 calendar days   38.2 
91–180 calendar days   16.5 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.01
Capital Shares   0.04 
IM Shares   0.07 
Institutional Class Shares   0.01 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.07)%, 0.03%, 0.07%, (0.03)%, (0.37)%, (0.22)% and (0.47)% for Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan 100% U.S. Treasury Securities Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
10   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan Tax Free Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Aims to provide the highest possible level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity*
Primary Investments  High quality short-term municipal securities, the interest on which is excluded from federal income taxes
Suggested investment time frame  Short-term
Share classes offered  Agency, Institutional Class, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2020  $10.7 Billion
Weighted Average Maturity^  41 calendar days
Weighted Average Life^^  41 calendar days

 

MATURITY SCHEDULE**^

 
1 calendar day   17.1
8–30 calendar days   63.1 
31–60 calendar days   4.0 
61–90 calendar days   0.9 
91–180 calendar days   5.9 
181+ calendar days   9.0 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.01
Institutional Class Shares   0.02 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

**

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.07)%, (0.02)%, (0.37)%, (0.22)% and (0.47)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Tax Free Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    11 


Table of Contents

JPMorgan Municipal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

Objective  Seeks as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal*
Primary Investments  High quality short-term municipal securities, the interest on which is excluded from federal income taxes
Suggested investment time frame  Short-term
Share classes offered  Agency, E*Trade^, Institutional Class, Morgan, Premier and Service Shares
Net Assets as of August 31, 2020  $1.2 Billion
Weighted Average Maturity^^  38 calendar days
Weighted Average Life^^^  38 calendar days

 

MATURITY SCHEDULE**^^

 
1 calendar day   21.4
2–7 calendar days   2.8 
8–30 calendar days   58.2 
31–60 calendar days   2.7 
61–90 calendar days   1.5 
91–180 calendar days   5.5 
181+ calendar days   7.9 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.05
Institutional Class Shares   0.10 
Morgan Shares   0.01 
Premier Shares   0.01 
Service Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

E*Trade Shares had no assets from the close of business on September 21, 2016.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

**

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.01%, 0.06%, (0.29)%, (0.14)% and (0.73)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
12   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan California Municipal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

 

Objective  Aims to provide the highest possible level of current income which is exempt from federal and California personal income taxes, while still preserving capital and maintaining liquidity*
Primary Investment  California short-term municipal obligations
Suggested investment time frame  Short-term
Share classes offered  Agency, E*Trade^, Institutional Class, Morgan, Premier and Service
Net Assets as of August 31, 2020  $412.0 Million
Weighted Average Maturity^^  47 calendar days
Weighted Average Life^^^  47 calendar days

 

MATURITY SCHEDULE**^^

 
1 calendar day   11.4
2–7 calendar days   9.3 
8–30 calendar days   49.7 
31–60 calendar days   9.7 
61–90 calendar days   4.1 
91–180 calendar days   3.8 
181+ calendar days   12.0 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.01
Institutional Class Shares   0.01 
Morgan Shares   0.01 
Premier Shares   0.01 
Service Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

E*Trade Shares had no assets from the close of business on September 21, 2016.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

**

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.12)%, (0.06)%, (0.41)%, (0.27)% and (0.86)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan California Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    13 


Table of Contents

JPMorgan New York Municipal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2020 (Unaudited)

 

 

Objective  Aims to provide the highest possible level of current income which is excluded from gross income and exempt from New York State and New York City personal income taxes, while still preserving capital and maintaining liquidity*
Primary Investment  New York short-term municipal obligations
Suggested investment time frame.  Short-term
Share classes offered  Agency, E*Trade^, Institutional Class, Morgan, Premier, Reserve and Service
Net Assets as of August 31, 2020  $1.2 Billion
Weighted Average Maturity^^  40 calendar days
Weighted Average Life^^^  40 calendar days

 

MATURITY SCHEDULE**^^

 
1 calendar day   12.1
2–7 calendar days   0.1 
8–30 calendar days   73.5 
31–60 calendar days   2.1 
61–90 calendar days   0.2 
91–180 calendar days   0.4 
181+ calendar days   11.6 

7-DAY SEC YIELD AS OF AUGUST 31, 2020(1)

 
Agency Shares   0.01
Institutional Class Shares   0.04 
Morgan Shares   0.01 
Premier Shares   0.01 
Reserve Shares   0.01 
Service Shares   0.01 
 

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).

An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.

 

 

 

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

^

E*Trade Shares had no assets from the close of business on September 21, 2016.

^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities.

^^^

The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made.

*

A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes.

**

Percentages indicated are based upon total investments as of August 31, 2020.

(1) 

The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.06)%, (0.01)%, (0.39)%, (0.21)%, (0.46)% and (0.81)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively.

 

  

An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan New York Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings.

 

 
14   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — 29.8%

 

Bank of Montreal, 0.11%, dated 8/31/2020, due 9/7/2020, repurchase price $400,009, collateralized by FHLMC, 0.46% - 6.50%, due 5/15/2025 - 10/25/2049, FNMA, 0.43% - 6.00%, due 8/25/2024 - 9/25/2049 and GNMA, 1.50% - 4.00%, due 6/16/2028 - 1/20/2070, with a value of $412,079.

  400,000    400,000 

Barclays Capital, Inc., 0.36%, dated 8/31/2020, due 10/5/2020, repurchase price $400,138, collateralized by Collateralized Mortgage Obligations, 0.00% - 29.08%, due 10/25/2021 - 11/17/2062, FHLMC, 2.53% - 11.93%, due 10/25/2029 - 8/25/2056 and FNMA Connecticut Avenue Securities, 3.43% - 9.43%, due 10/25/2029 - 10/25/2049, with a value of $432,000.

  400,000    400,000 

Barclays Capital, Inc., 0.41%, dated 8/31/2020, due 10/5/2020, repurchase price $180,071, collateralized by Collateralized Mortgage Obligations, 0.00% - 6.05%, due 5/15/2028 - 3/25/2061, FHLMC, 1.83% - 5.28%, due 7/25/2030 - 6/27/2050 and FNMA Connecticut Avenue Securities, 2.18% - 4.33%, due 9/25/2029 - 1/25/2040, with a value of $194,400.

  180,000    180,000 

BMO Capital Markets Corp., 0.20%, dated 8/31/2020, due 9/1/2020, repurchase price $110,001, collateralized by Asset-Backed Securities, 0.00% - 4.34%, due 2/15/2022 - 8/15/2068, Collateralized Mortgage Obligations, 0.81% - 3.06%, due 7/25/2035 - 10/13/2048, Corporate Notes and Bonds, 0.91% - 9.38%, due 1/25/2021 - 2/1/2055, FHLMC, 2.54%, due 7/25/2026, FNMA, 6.30%, due 10/17/2038 and Sovereign Government Securities, 0.30% - 2.50%, due 10/16/2020 - 7/29/2025, with a value of $116,439.

  110,000    110,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

BMO Capital Markets Corp., 0.20%, dated 8/31/2020, due 9/1/2020, repurchase price $275,002, collateralized by Asset-Backed Securities, 0.00% - 6.18%, due 8/10/2022 - 1/25/2043, Collateralized Mortgage Obligations, 0.51% - 2.38%, due 7/25/2035 - 1/15/2049, Corporate Notes and Bonds, 0.44% - 9.81%, due 9/21/2020 - 12/31/2099, FHLMC, 1.50% - 5.33%, due 11/1/2030 - 8/1/2050, FNMA, 0.30% - 6.30%, due 3/1/2021 - 2/1/2048, GNMA, 2.50% - 4.50%, due 2/15/2022 - 8/20/2050 and Sovereign Government Securities, 0.30% - 0.38%, due 10/16/2020 - 7/29/2025 with a value of $289,748.

  275,000    275,000 

BMO Capital Markets Corp., 0.23%, dated 8/31/2020, due 9/7/2020, repurchase price $105,005, collateralized by Asset-Backed Securities, 0.00% - 4.23%, due 9/15/2022 - 1/25/2043, Collateralized Mortgage Obligations, 0.93% - 1.90%, due 8/12/2042 - 4/12/2049 and Corporate Notes and Bonds, 3.35%, due 10/22/2022, with a value of $110,315.

  105,000    105,000 

BMO Capital Markets Corp., 0.33%, dated 8/31/2020, due 9/7/2020, repurchase price $20,001, collateralized by Asset-Backed Securities, 0.00% - 3.68%, due 8/10/2022 - 2/18/2042, Collateralized Mortgage Obligations, 0.11% - 4.01%, due 6/10/2038 - 3/17/2048, Corporate Notes and Bonds, 2.20% - 6.25%, due 11/22/2020 - 3/25/2040 and FHLMC, 2.00% - 2.50%, due 8/1/2050 - 9/1/2050 with a value of $21,597.

  20,000    20,000 

BMO Capital Markets Corp., 0.33%, dated 8/31/2020, due 9/8/2020, repurchase price $25,002, collateralized by Asset-Backed Securities, 0.00% - 8.10%, due 2/15/2022 - 1/25/2057, Collateralized Mortgage Obligations, 0.37% - 7.39%, due 11/25/2032 - 11/25/2058, Corporate Notes and Bonds, 0.91% - 6.88%, due 3/22/2022 - 1/1/2099, FHLMC, 2.00% - 2.50%, due 8/1/2040 - 9/1/2050, FNMA, 1.21% - 4.00%, due 8/1/2030 - 8/1/2050, GNMA, 2.27% - 5.50%, due 2/20/2049 - 8/20/2062 and Sovereign Government Securities, 0.38%, due 7/29/2025 with a value of $26,578.

  25,000    25,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    15 


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

BNP Paribas SA, 0.26%, dated 8/31/2020, due 9/1/2020, repurchase price $205,001, collateralized by Asset-Backed Securities, 0.56% - 5.72%, due 3/15/2027 - 6/20/2047, Collateralized Mortgage Obligations, 0.71% - 5.30%, due 11/26/2029 - 1/25/2066, Corporate Notes and Bonds, 0.00% - 7.00%, due 11/15/2022 - 4/6/2050 and U.S. Treasury Securities, 0.00% - 2.13%, due 9/1/2020 - 11/30/2024 with a value of $218,658.

  205,000    205,000 

Bofa Securities, Inc., 0.18%, dated 8/31/2020, due 9/1/2020, repurchase price $200,001, collateralized by Common Stocks, 0.00%, due 1/1/2099 and Preferred Stocks, 0.00% - 10.88%, due 10/30/2020 - 11/1/2102, with a value of $216,000.

  200,000    200,000 

Bofa Securities, Inc., 0.36%, dated 8/31/2020, due 10/5/2020, repurchase price $250,088, collateralized by Common Stocks, 0.00%, due 1/1/2099 and Preferred Stocks, 5.15% - 10.00%, due 8/1/2042 - 1/1/2099, with a value of $270,000.

  250,000    250,000 

Bofa Securities, Inc., 0.49%, dated 8/31/2020, due 10/5/2020, repurchase price $200,095, collateralized by Asset-Backed Securities, 0.46% - 4.50%, due 7/20/2027 - 10/15/2048 and Collateralized Mortgage Obligations, 1.56% - 4.98%, due 7/12/2030 - 4/17/2063, with a value of $214,649.

  200,000    200,000 

Bofa Securities, Inc., 0.49%, dated 8/31/2020, due 10/20/2020, repurchase price $342,033, collateralized by Corporate Notes and Bonds, 0.00% - 13.00%, due 1/15/2021 - 12/31/2099, with a value of $369,144.

  341,800    341,800 

Credit Suisse Securities USA LLC, 0.29%, dated 8/31/2020, due 9/2/2020, repurchase price $60,001, collateralized by Collateralized Mortgage Obligations, 0.00%, due 4/25/2045, with a value of $64,804.

  60,000    60,000 

Credit Suisse Securities USA LLC, 0.51%, dated 8/31/2020, due 10/5/2020, repurchase price $150,074, collateralized by Asset-Backed Securities, 0.44% - 15.00%, due 8/28/2023 - 5/29/2059 and Collateralized Mortgage Obligations, 0.00% - 45.34%, due 4/7/2033 - 1/26/2051, with a value of $162,998.

  150,000    150,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Fixed Income Clearing Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $5,000,013, collateralized by U.S. Treasury Securities, 0.13% - 4.50%, due 4/15/2022 - 11/15/2049, with a value of $5,100,000.

  5,000,000    5,000,000 

Fixed Income Clearing Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $5,000,013, collateralized by U.S. Treasury Securities, 0.50% - 3.13%, due 8/15/2027 - 8/15/2040, with a value of $5,100,000.

  5,000,000    5,000,000 

Fixed Income Clearing Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $7,000,018, collateralized by U.S. Treasury Securities, 0.13% - 0.75%, due 7/15/2023 - 2/15/2042, with a value of $7,140,000.

  7,000,000    7,000,000 

HSBC Securities USA, Inc., 0.19%, dated 8/31/2020, due 9/1/2020, repurchase price $20,000, collateralized by Asset-Backed Securities, 0.64%, due 6/15/2039 and Municipal Debt Securities, 0.00%, due 8/1/2031, with a value of $21,200.

  20,000    20,000 

HSBC Securities USA, Inc., 0.19%, dated 8/31/2020, due 9/1/2020, repurchase price $75,000, collateralized by Corporate Notes and Bonds, 2.25% - 6.75%, due 1/8/2021 - 12/15/2066 and Sovereign Government Securities, 0.96% - 4.50%, due 2/27/2022 - 4/15/2070, with a value of $78,750.

  75,000    75,000 

ING Financial Markets LLC, 0.23%, dated 8/31/2020, due 9/1/2020, repurchase price $75,000, collateralized by Sovereign Government Securities, 6.84% - 6.88%, due 8/4/2026 - 1/23/2030, with a value of $81,001.

  75,000    75,000 

ING Financial Markets LLC, 0.23%, dated 8/31/2020, due 9/1/2020, repurchase price $400,003, collateralized by Corporate Notes and Bonds, 4.56% - 7.00%, due 3/17/2024 - 1/1/2099 and Sovereign Government Securities, 4.63% - 8.88%, due 1/22/2021 - 1/14/2041, with a value of $432,004.

  400,000    400,000 

ING Financial Markets LLC, 0.32%, dated 8/31/2020, due 9/2/2020, repurchase price $100,002, collateralized by Corporate Notes and Bonds, 4.56% - 7.00%, due 1/27/2025 - 1/1/2099 and Sovereign Government Securities, 5.63% - 6.88%, due 8/4/2026 - 2/21/2047, with a value of $108,028.

  100,000    100,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

ING Financial Markets LLC, 0.32%, dated 8/31/2020, due 9/4/2020, repurchase price $10,000, collateralized by Corporate Notes and Bonds, 5.30% - 6.75%, due 1/27/2025 - 6/3/2050 and Sovereign Government Securities, 6.84%, due 1/23/2030, with a value of $10,803.

  10,000    10,000 

ING Financial Markets LLC, 0.32%, dated 8/31/2020, due 9/10/2020, repurchase price $50,004, collateralized by Corporate Notes and Bonds, 4.56% - 6.75%, due 3/17/2024 - 6/3/2050 and Sovereign Government Securities, 6.84%, due 1/23/2030, with a value of $54,015.

  50,000    50,000 

ING Financial Markets LLC, 0.28%, dated 8/31/2020, due 9/28/2020, repurchase price $50,011, collateralized by Corporate Notes and Bonds, 4.38% - 6.75%, due 5/20/2023 - 6/3/2050 and Sovereign Government Securities, 6.84%, due 1/23/2030, with a value of $54,013.

  50,000    50,000 

Mitsubishi UFJ Trust & Banking Corp., 0.28%, dated 8/31/2020, due 9/2/2020, repurchase price $1,000,016, collateralized by Corporate Notes and Bonds, 0.00% - 4.15%, due 5/13/2022 - 5/1/2030, with a value of $1,042,997.

  1,000,000    1,000,000 

Societe Generale SA, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $1,000,003, collateralized by FHLMC, 0.00% - 5.55%, due 10/15/2022 - 9/1/2050, FNMA, 0.88% - 5.70%, due 5/25/2023 - 8/1/2050, GNMA, 0.41% - 3.50%, due 12/20/2026 - 8/20/2050 and U.S. Treasury Securities, 0.00% - 8.13%, due 9/17/2020 - 2/15/2050 with a value of $1,020,055.

  1,000,000    1,000,000 

Societe Generale SA, 0.20%, dated 8/31/2020, due 9/1/2020, repurchase price $736,004, collateralized by Asset-Backed Securities, 2.70% - 8.00%, due 2/15/2027 - 11/1/2033, Corporate Notes and Bonds, 0.40% - 8.63%, due 1/19/2021 - 12/31/2099 and Sovereign Government Securities, 0.82% - 5.35%, due 9/14/2021 - 5/15/2051, with a value of $772,943.

  736,000    736,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Societe Generale SA, 0.30%, dated 8/31/2020, due 9/1/2020, repurchase price $700,006, collateralized by Asset-Backed Securities, 0.28% - 8.09%, due 1/25/2030 - 2/28/2041, Collateralized Mortgage Obligations, 0.37% - 6.21%, due 1/12/2034 - 8/17/2049, Corporate Notes and Bonds, 4.63%, due 1/15/2025, FHLMC, 0.83% - 3.73%, due 8/27/2029 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.18% - 3.83%, due 9/25/2029 - 1/25/2040 and Sovereign Government Securities, 2.63% - 11.88%, due 1/22/2021 - 1/23/2050, with a value of $756,006.

  700,000    700,000 

Societe Generale SA, 0.32%, dated 8/31/2020, due 9/1/2020, repurchase price $200,002, collateralized by Asset-Backed Securities, 0.32% - 5.02%, due 7/15/2030 - 3/25/2037, Collateralized Mortgage Obligations, 0.37% - 6.00%, due 1/12/2034 - 12/16/2072, Corporate Notes and Bonds, 3.88% - 12.00%, due 6/1/2021 - 7/23/2048, FHLMC, 2.03% - 3.28%, due 2/25/2050 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.18% - 3.18%, due 10/25/2029 - 1/25/2040 and Sovereign Government Securities, 4.25% - 11.88%, due 4/15/2024 - 2/17/2045, with a value of $215,409.

  200,000    200,000 

Societe Generale SA, 0.32%, dated 8/31/2020, due 9/3/2020, repurchase price $365,010, collateralized by Asset-Backed Securities, 0.32% - 8.09%, due 3/17/2025 - 10/25/2046, Collateralized Mortgage Obligations, 0.37% - 6.21%, due 11/15/2032 - 12/16/2072, Corporate Notes and Bonds, 4.25% - 12.00%, due 11/15/2022 - 2/1/2031, FHLMC, 2.03% - 3.28%, due 12/26/2029 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.18% - 3.83%, due 9/25/2029 - 1/25/2040 and Sovereign Government Securities, 2.63% - 11.88%, due 1/22/2021 - 5/11/2047, with a value of $394,225.

  365,000    365,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    17 


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

Societe Generale SA, 0.33%, dated 8/31/2020, due 10/1/2020, repurchase price $400,114, collateralized by Collateralized Mortgage Obligations, 2.75%, due 12/16/2072, Corporate Notes and Bonds, 4.25% - 11.75%, due 11/1/2023 - 2/1/2031, FHLMC, 2.08%, due 1/25/2050, FNMA Connecticut Avenue Securities, 2.33%, due 11/25/2039 and Sovereign Government Securities, 4.25% - 11.88%, due 3/25/2022 - 5/11/2047, with a value of $432,123.

  400,000    400,000 

TD Securities (USA) LLC, 0.20%, dated 8/31/2020, due 9/1/2020, repurchase price $250,001, collateralized by Asset-Backed Securities, 4.80%, due 2/15/2029 and Corporate Notes and Bonds, 1.10% - 6.50%, due 2/4/2021 - 7/1/2050, with a value of $262,581.

  250,000    250,000 

UBS Securities LLC, 0.29%, dated 8/31/2020, due 9/7/2020, repurchase price $300,017, collateralized by Asset-Backed Securities, 0.99%, due 11/9/2020, Collateralized Mortgage Obligations, 3.44%, due 9/17/2048, Commercial Paper, 0.00%, due 1/28/2021 and Corporate Notes and Bonds, 0.73% - 11.50%, due 9/15/2020 - 12/31/2099 with a value of $321,044.

  300,000    300,000 

Wells Fargo Securities LLC, 0.23%, dated 8/31/2020, due 9/2/2020, repurchase price $52,001, collateralized by Certificates of Deposit, 0.00%, due 12/21/2020 - 10/3/2025, with a value of $54,602.

  52,000    52,000 

Wells Fargo Securities LLC, 0.23%, dated 8/31/2020, due 9/3/2020, repurchase price $104,002, collateralized by Sovereign Government Securities, 2.38% - 10.63%, due 1/15/2021 - 9/20/2048, with a value of $109,219.

  104,000    104,000 

Wells Fargo Securities LLC, 0.55%, dated 8/31/2020, due 9/21/2020, repurchase price $250,080, collateralized by Certificates of Deposit, 0.00% - 0.28%, due 9/15/2020 - 8/25/2021, with a value of $262,861.

  250,000    250,000 
   

 

 

 

Total Repurchase Agreements
(Cost $26,058,800)

    26,058,800 
   

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

U.S. Treasury Obligations — 0.7%

 

U.S. Treasury Floating Rate Notes (US Treasury 3 Month Bill Money Market Yield + 0.12%), 0.22%, 9/1/2020 (b)
(Cost $649,943)

  650,000    649,943 
   

 

 

 

Corporate Notes — 0.4%

 

Banks — 0.4%

 

Barclays Bank plc (United Kingdom)

 

  

(OBFR + 0.15%), 0.23%, 9/1/2020 (b) (c)

  125,000    125,000 

(OBFR + 0.30%), 0.38%, 9/1/2020 (b) (c)

  200,000    200,000 
   

 

 

 

Total Corporate Notes
(Cost $325,000)

 

   325,000 
  

 

 

 

Municipal Bonds — 0.2%

 

Alaska — 0.1%

 

Alaska Housing Finance Corp., State Capital Project Series 2018A, Rev., VRDO, 0.17%, 9/8/2020 (d)

  65,000    65,000 
   

 

 

 

New York — 0.1%

 

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2020B, Rev., RAN, 5.00%, 3/31/2021

  110,000    113,103 
   

 

 

 

Total Municipal Bonds
(Cost $177,827)

 

   178,103 
  

 

 

 

Short-Term Investments — 68.5%

 

Certificates of Deposit — 41.7%

 

ABN Amro Bank NV (Netherlands) 0.25%, 2/22/2021 (e)

  65,000    64,919 

Agricultural Bank of China Ltd. (China) 0.65%, 10/20/2020

  100,000    100,049 

Banco Del Estado De Chile (Chile)

   

0.35%, 9/14/2020

  50,000    50,004 

0.32%, 9/25/2020

  24,000    24,003 

0.30%, 10/6/2020

  100,000    100,014 

0.28%, 10/23/2020

  150,000    150,023 

Bank of Montreal (Canada)

   

1.53%, 9/28/2020

  200,000    200,000 

1.40%, 10/1/2020

  200,000    200,222 

0.20%, 10/30/2020

  100,000    100,010 

(ICE LIBOR USD 3 Month + 0.03%), 0.29%, 11/27/2020 (b)

  100,000    100,000 

0.23%, 2/12/2021

  200,000    200,014 

0.23%, 5/26/2021

  200,000    200,000 

Bank of Nova Scotia (The) (Canada)

   

(ICE LIBOR USD 1 Month + 0.17%), 0.35%, 9/24/2020 (b)

  165,000    165,058 

(ICE LIBOR USD 3 Month + 0.10%), 0.40%, 10/6/2020 (b)

  110,000    110,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.11%), 0.41%, 10/6/2020 (b)

  60,000    60,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.33%, 10/8/2020 (b)

  60,000    60,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.36%, 10/8/2020 (b)

  180,000    180,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.34%, 10/23/2020 (b)

  70,000    70,031 

(ICE LIBOR USD 3 Month + 0.05%), 0.30%, 10/28/2020 (b)

  85,000    85,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.35%, 10/29/2020 (b)

  25,000    25,011 

(ICE LIBOR USD 3 Month + 0.13%), 0.38%, 11/6/2020 (b)

  150,000    150,000 

(ICE LIBOR USD 3 Month + 0.10%), 0.36%, 11/14/2020 (b)

  200,000    200,126 

0.57%, 11/30/2020

  200,000    200,183 

BNP Paribas SA (France)

   

(ICE LIBOR USD 3 Month + 0.08%), 0.38%, 10/3/2020(b)

  180,000    180,000 

0.40%, 3/3/2021

  553,000    553,475 

0.24%, 5/24/2021

  100,000    99,993 

0.24%, 5/25/2021

  75,000    74,995 

Canadian Imperial Bank of Commerce (Canada)

   

(ICE LIBOR USD 3 Month + 0.11%), 0.43%, 9/10/2020(b)

  260,000    260,201 

1.65%, 10/1/2020

  500,000    500,000 

0.42%, 7/7/2021

  330,000    330,462 

China Construction Bank Corp. (China)

   

0.65%, 10/21/2020

  50,000    50,021 

0.65%, 10/22/2020

  55,000    55,023 

0.65%, 10/23/2020

  45,000    45,019 

0.61%, 10/26/2020

  100,000    100,037 

0.61%, 11/2/2020

  100,000    100,037 

0.61%, 11/3/2020

  75,000    75,027 

Cooperatieve Rabobank UA (Netherlands)

   

(ICE LIBOR USD 3 Month + 0.09%), 0.43%, 9/2/2020 (b)

  200,000    200,000 

(ICE LIBOR USD 1 Month + 0.10%), 0.26%, 9/28/2020 (b)

  50,000    50,017 

1.35%, 10/6/2020

  100,000    100,126 

1.10%, 10/14/2020

  80,000    80,097 

(ICE LIBOR USD 3 Month + 0.08%), 0.35%, 10/30/2020 (b)

  170,000    169,969 

(ICE LIBOR USD 3 Month + 0.15%), 0.40%, 11/6/2020 (b)

  45,000    45,040 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.32%), 0.56%, 11/7/2020 (b)

  133,000    133,216 

(ICE LIBOR USD 3 Month + 0.04%), 0.32%, 11/17/2020 (b)

  430,000    430,000 

Credit Agricole Corporate and Investment Bank (France)

   

(ICE LIBOR USD 3 Month + 0.11%), 0.39%, 10/8/2020 (b)

  162,000    162,039 

0.39%, 3/16/2021

  102,000    102,108 

Credit Industriel et Commercial (France)

   

1.84%, 9/10/2020 (e)

  450,000    449,974 

1.40%, 10/1/2020

  130,000    130,147 

1.35%, 10/5/2020

  200,000    200,245 

(ICE LIBOR USD 3 Month + 0.08%), 0.38%, 10/5/2020 (b)

  150,000    150,000 

1.71%, 11/16/2020 (e)

  195,000    194,901 

0.65%, 11/20/2020 (e)

  185,000    184,901 

0.58%, 11/23/2020 (e)

  340,000    339,809 

0.50%, 12/1/2020 (e)

  225,000    224,859 

0.34%, 1/4/2021

  120,000    120,066 

0.31%, 1/7/2021

  135,000    135,061 

0.26%, 6/2/2021

  125,000    125,000 

Credit Suisse AG (Switzerland)

   

1.40%, 10/2/2020

  75,000    75,082 

1.55%, 10/6/2020

  70,000    70,000 

1.33%, 11/24/2020

  350,000    350,934 

1.45%, 1/7/2021

  385,000    386,690 

0.47%, 2/26/2021

  240,000    240,274 

0.39%, 4/8/2021

  100,000    100,078 

0.39%, 4/9/2021

  75,000    75,058 

0.38%, 4/12/2021

  300,000    300,216 

0.29%, 5/11/2021

  200,000    200,014 

0.29%, 5/17/2021

  300,000    300,013 

0.28%, 6/4/2021

  190,000    189,980 

DNB Bank ASA (Norway) (ICE LIBOR USD 3 Month + 0.15%), 0.40%, 11/6/2020(b)

  100,000    100,068 

DZ Bank AG (Germany)

   

0.72%, 10/29/2020 (e)

  210,000    209,944 

0.30%, 11/12/2020 (e)

  70,000    69,976 

0.50%, 11/13/2020 (e)

  100,000    99,965 

0.22%, 5/28/2021 (e)

  100,000    99,836 

HSBC Bank USA NA

   

1.25%, 10/7/2020

  335,000    335,357 

1.15%, 10/14/2020

  192,000    192,215 

0.95%, 10/20/2020

  60,000    60,058 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    19 


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

Industrial & Commercial Bank of China Ltd. (China)

   

0.63%, 10/23/2020

  102,000    102,060 

0.60%, 10/26/2020

  185,000    185,106 

ING Bank Australia Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.18%), 0.42%, 11/8/2020 (b)

  295,000    295,100 

ING Bank NV (Netherlands)

   

(ICE LIBOR USD 3 Month + 0.12%), 0.40%, 10/8/2020 (b)

  583,000    583,082 

(ICE LIBOR USD 3 Month + 0.10%), 0.35%, 11/5/2020 (b)

  331,000    331,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.33%, 11/6/2020 (b)

  185,000    185,000 

0.54%, 2/11/2021

  135,000    135,151 

KBC Bank NV (Cayman Islands)

   

0.10%, 9/1/2020

  100,000    100,000 

0.31%, 1/8/2021 (e)

  255,000    254,795 

Landesbank Hessen-Thueringen Girozentrale (Germany)

   

0.67%, 11/4/2020 (e)

  200,000    199,961 

0.65%, 11/5/2020 (e)

  200,000    199,961 

0.64%, 11/6/2020 (e)

  125,000    124,975 

0.58%, 11/16/2020 (e)

  150,000    149,964 

Mitsubishi UFJ Trust & Banking Corp. (Japan)

   

0.39%, 10/5/2020 (e)

  60,000    59,991 

0.36%, 1/15/2021

  50,000    50,030 

0.36%, 1/19/2021

  100,000    100,061 

0.37%, 1/20/2021

  150,000    150,097 

0.36%, 1/28/2021

  150,000    150,094 

Mizuho Bank Ltd. (Japan)

   

0.36%, 9/2/2020 (e)

  100,000    99,999 

(ICE LIBOR USD 1 Month + 0.10%), 0.26%, 9/10/2020 (b)

  150,000    150,000 

0.31%, 9/15/2020

  173,000    173,014 

(ICE LIBOR USD 1 Month + 0.18%), 0.34%, 9/20/2020 (b)

  100,000    100,026 

(ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/29/2020 (b)

  173,000    173,028 

(ICE LIBOR USD 3 Month + 0.06%), 0.31%, 11/3/2020 (b)

  50,000    50,004 

(ICE LIBOR USD 3 Month + 0.05%), 0.32%, 11/16/2020 (b)

  175,000    175,008 

0.40%, 12/2/2020 (e)

  100,000    99,933 

0.49%, 12/2/2020 (e)

  300,000    299,798 

0.36%, 1/15/2021

  100,000    100,057 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

0.36%, 1/19/2021

  40,000    40,023 

0.27%, 2/10/2021

  330,000    330,061 

0.27%, 2/22/2021

  150,000    150,024 

0.23%, 2/26/2021

  200,000    200,000 

MUFG Bank Ltd. (Japan)

   

0.40%, 9/21/2020 (e)

  100,000    99,991 

1.15%, 10/19/2020

  305,000    305,422 

0.39%, 11/20/2020

  230,000    230,115 

0.48%, 11/20/2020 (e)

  100,000    99,949 

0.25%, 11/30/2020

  170,000    170,029 

0.38%, 11/30/2020

  127,000    127,063 

0.23%, 1/20/2021

  100,000    99,996 

0.29%, 1/29/2021

  170,000    170,036 

0.22%, 2/1/2021

  146,000    145,988 

National Australia Bank Ltd. (Australia)

   

(ICE LIBOR USD 3 Month + 0.13%), 0.38%, 11/25/2020 (b)

  325,000    325,039 

(ICE LIBOR USD 3 Month + 0.13%), 0.38%, 11/27/2020 (b)

  245,000    245,030 

0.37%, 3/8/2021 (e)

  220,000    219,782 

0.38%, 3/23/2021 (e)

  435,000    434,520 

0.40%, 4/30/2021 (e)

  171,000    170,757 

Natixis SA (France)

   

(ICE LIBOR USD 3 Month + 0.11%), 0.44%, 9/4/2020 (b)

  175,000    175,000 

(ICE LIBOR USD 1 Month + 0.17%), 0.33%, 9/19/2020 (b)

  185,000    185,095 

1.40%, 10/2/2020

  75,000    75,086 

(ICE LIBOR USD 3 Month + 0.11%), 0.41%, 10/2/2020 (b)

  300,000    300,000 

1.40%, 10/6/2020

  225,000    225,290 

1.35%, 10/8/2020

  300,000    300,391 

1.10%, 11/16/2020

  82,000    82,166 

0.57%, 12/2/2020

  34,000    34,034 

0.52%, 12/14/2020

  25,000    25,024 

1.00%, 1/21/2021

  150,000    150,482 

0.55%, 2/17/2021

  98,000    98,160 

0.39%, 4/8/2021

  50,000    50,044 

0.29%, 5/3/2021

  160,000    160,025 

Nordea Bank Abp (Finland)

   

(ICE LIBOR USD 3 Month + 0.10%), 0.47%, 9/1/2020 (b)

  350,000    350,262 

(ICE LIBOR USD 3 Month + 0.10%), 0.43%, 9/8/2020 (b)

  300,000    300,231 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.12%), 0.44%, 9/17/2020 (b)

  234,000    234,222 

(ICE LIBOR USD 3 Month + 0.10%), 0.37%, 10/13/2020 (b)

  50,000    50,039 

1.12%, 10/15/2020

  96,000    96,121 

(ICE LIBOR USD 3 Month + 0.10%), 0.36%, 11/14/2020 (b)

  287,000    287,221 

1.10%, 11/17/2020

  210,000    210,437 

(ICE LIBOR USD 3 Month + 0.10%), 0.35%, 11/21/2020 (b)

  146,000    146,115 

Norinchukin Bank (The) (Japan)

   

0.30%, 9/1/2020

  150,000    150,001 

1.20%, 9/4/2020

  92,000    92,011 

0.18%, 9/22/2020

  100,000    100,003 

0.17%, 10/9/2020

  350,000    350,002 

0.17%, 10/19/2020

  125,000    124,999 

0.17%, 10/23/2020

  125,000    124,999 

Oversea-Chinese Banking Corp. Ltd. (Singapore)

   

(ICE LIBOR USD 1 Month + 0.14%), 0.32%, 9/24/2020 (b)

  125,000    125,049 

1.54%, 10/5/2020

  50,000    50,066 

(SOFR + 0.17%), 0.24%, 11/6/2020 (b)

  50,000    49,993 

Rabobank International (United Kingdom) 0.26%, 2/26/2021 (e)

  170,000    169,807 

Royal Bank of Canada (Canada)

   

(ICE LIBOR USD 3 Month + 0.12%), 0.44%, 9/16/2020 (b)

  70,000    70,050 

(ICE LIBOR USD 3 Month + 0.12%), 0.42%, 9/24/2020 (b)

  103,000    103,075 

1.46%, 10/1/2020

  135,000    135,158 

(ICE LIBOR USD 3 Month + 0.11%), 0.38%, 10/9/2020 (b)

  100,000    100,060 

(ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/29/2020 (b)

  132,000    132,036 

(ICE LIBOR USD 3 Month + 0.30%), 0.55%, 11/4/2020 (b)

  100,000    100,189 

(ICE LIBOR USD 3 Month + 0.21%), 0.46%, 11/5/2020 (b)

  83,000    83,107 

1.30%, 1/7/2021

  400,000    401,661 

Skandinaviska Enskilda Banken AB (Sweden)

   

1.35%, 10/2/2020

  100,000    100,109 

1.25%, 10/8/2020

  100,000    100,119 

0.25%, 2/26/2021

  50,000    50,011 

0.20%, 3/9/2021

  150,000    149,998 

0.25%, 5/11/2021

  325,000    325,059 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Certificates of Deposit — continued

 

0.24%, 5/20/2021

  100,000    100,009 

0.22%, 5/27/2021

  120,000    119,991 

Standard Chartered Bank (United Kingdom)

   

1.45%, 10/13/2020

  200,000    200,295 

0.97%, 10/27/2020

  200,000    200,237 

Sumitomo Mitsui Banking Corp. (Japan)

   

(ICE LIBOR USD 1 Month + 0.20%), 0.37%, 9/12/2020 (b)

  270,000    270,107 

(ICE LIBOR USD 1 Month + 0.22%), 0.38%, 9/13/2020 (b)

  450,000    450,209 

(ICE LIBOR USD 1 Month + 0.22%), 0.38%, 9/17/2020 (b)

  175,000    175,080 

(ICE LIBOR USD 1 Month + 0.12%), 0.29%, 9/18/2020 (b)

  150,000    150,005 

(ICE LIBOR USD 1 Month + 0.18%), 0.36%, 9/22/2020 (b)

  170,000    170,060 

(ICE LIBOR USD 1 Month + 0.18%), 0.34%, 9/28/2020 (b)

  169,000    169,061 

(ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/27/2020 (b)

  85,000    85,021 

0.35%, 12/1/2020

  135,000    135,062 

0.30%, 2/4/2021

  500,000    500,148 

0.26%, 2/5/2021

  115,000    115,014 

0.26%, 2/5/2021

  100,000    100,012 

0.25%, 2/24/2021

  200,000    200,011 

0.26%, 2/24/2021 (e)

  75,000    74,897 

0.26%, 2/26/2021 (e)

  100,000    99,861 

Sumitomo Mitsui Trust Bank Ltd. (Japan)

   

0.10%, 9/2/2020

  100,000    100,000 

0.10%, 9/3/2020

  100,000    100,000 

0.30%, 9/9/2020

  260,000    260,012 

1.19%, 10/20/2020 (e)

  100,000    99,975 

0.57%, 11/12/2020 (e)

  125,000    124,946 

0.55%, 11/13/2020 (e)

  240,000    239,894 

0.40%, 11/18/2020

  240,000    240,125 

0.40%, 11/20/2020

  100,000    100,053 

Sumitomo Trust and Banking Co. (United Kingdom)

   

0.50%, 11/16/2020 (e)

  150,000    149,929 

0.50%, 11/18/2020 (e)

  75,000    74,963 

0.50%, 11/19/2020 (e)

  100,000    99,950 

0.50%, 11/20/2020 (e)

  100,000    99,949 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 1 Month + 0.10%), 0.26%, 9/10/2020 (b)

  200,000    200,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    21 


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.11%), 0.43%, 9/16/2020 (b)

  100,000    100,087 

(ICE LIBOR USD 3 Month + 0.12%), 0.44%, 9/16/2020 (b)

  51,000    51,048 

(ICE LIBOR USD 3 Month + 0.12%), 0.44%, 9/19/2020 (b)

  175,000    175,167 

(ICE LIBOR USD 3 Month + 0.07%), 0.37%, 10/2/2020 (b)

  110,000    110,000 

1.13%, 10/14/2020

  300,000    300,372 

(ICE LIBOR USD 3 Month + 0.10%), 0.38%, 10/15/2020 (b)

  125,000    125,097 

(ICE LIBOR USD 3 Month + 0.09%), 0.36%, 10/20/2020 (b)

  215,000    215,151 

(ICE LIBOR USD 3 Month + 0.05%), 0.31%, 10/30/2020 (b)

  185,000    185,066 

(ICE LIBOR USD 3 Month + 0.13%), 0.37%, 11/7/2020 (b)

  140,000    140,132 

0.39%, 7/7/2021

  100,000    100,130 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.35%), 0.44%, 9/1/2020 (b)

  120,000    120,071 

(ICE LIBOR USD 3 Month + 0.11%), 0.43%, 9/10/2020 (b)

  140,000    140,054 

(ICE LIBOR USD 1 Month + 0.18%), 0.35%, 9/21/2020 (b)

  50,000    50,022 

(ICE LIBOR USD 3 Month + 0.19%), 0.47%, 10/7/2020 (b)

  216,000    216,000 

(ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/28/2020 (b)

  170,000    170,000 

(ICE LIBOR USD 3 Month + 0.09%), 0.36%, 11/19/2020 (b)

  156,000    156,045 

1.27%, 1/28/2021

  350,000    351,571 

0.41%, 7/6/2021

  170,000    170,270 

UBS AG (Switzerland)

   

1.50%, 10/2/2020

  200,000    200,240 

1.17%, 10/15/2020

  200,000    200,251 

1.15%, 12/21/2020

  100,000    100,281 

1.55%, 1/4/2021

  200,000    200,910 

1.55%, 1/6/2021

  200,000    200,925 

Wells Fargo Bank NA (ICE LIBOR USD 3 Month + 0.11%), 0.41%, 10/6/2020 (b)

  55,000    55,000 
   

 

 

 

Total Certificates of Deposit
(Cost $36,478,655)

 

   36,505,183 
  

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — 14.4%

 

Agricultural Bank of China Ltd. (China) 0.45%, 11/5/2020 (c) (e)

  125,000    124,911 

Albion Capital Corp. SA (Luxembourg) 0.25%, 10/28/2020 (e)

  54,208    54,198 

Alpine Securitization LLC (Switzerland)

   

(ICE LIBOR USD 3 Month + 0.08%), 0.33%, 11/20/2020 (b) (c)

  35,000    35,000 

0.37%, 1/6/2021 (c) (e)

  50,000    49,960 

0.40%, 4/6/2021 (c) (e)

  75,000    74,886 

0.31%, 5/5/2021 (c) (e)

  125,000    124,770 

Antalis SA (France)

   

0.31%, 9/16/2020 (c) (e)

  100,000    99,993 

0.25%, 2/1/2021 (c) (e)

  20,380    20,361 

Atlantic Asset Securitization LLC 1.40%, 10/1/2020 (c) (e)

  200,000    199,972 

Banco Del Estado De Chile (Chile) Series B, 0.27%, 9/25/2020 (c) (e)

  50,000    49,989 

Bank of Nova Scotia (The) (Canada) (ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/14/2020 (b) (c)

  100,000    100,033 

Barclays Bank plc (United Kingdom)

   

Series 44105, 0.30%, 9/11/2020 (c) (e)

  100,000    99,995 

0.31%, 9/16/2020 (c) (e)

  150,000    149,991 

Barton Capital LLC 0.36%, 1/8/2021 (c) (e)

  30,000    29,986 

Barton Capital SA

   

0.15%, 9/4/2020 (c) (e)

  50,000    49,999 

0.30%, 9/14/2020 (c) (e)

  50,000    49,998 

0.24%, 10/30/2020 (c) (e)

  25,000    24,992 

0.22%, 11/13/2020 (c) (e)

  50,000    49,982 

0.38%, 11/16/2020 (c) (e)

  25,000    24,991 

0.36%, 11/18/2020 (c) (e)

  75,000    74,972 

0.28%, 12/7/2020 (c) (e)

  125,000    124,953 

Bedford Row Funding Corp.

   

(ICE LIBOR USD 3 Month + 0.10%), 0.42%, 9/3/2020 (b) (c)

  175,000    175,092 

(US Federal Funds Effective Rate (continuous series) + 0.22%), 0.32%, 9/21/2020 (b) (c)

  110,000    110,000 

1.54%, 10/2/2020 (c) (e)

  100,000    99,867 

1.54%, 10/5/2020 (c) (e)

  110,000    109,840 

(ICE LIBOR USD 3 Month + 0.04%), 0.29%, 11/19/2020 (b) (c)

  115,000    115,000 

(ICE LIBOR USD 3 Month + 0.10%), 0.36%, 11/25/2020 (b) (c)

  50,000    50,026 

1.32%, 1/6/2021 (c) (e)

  105,000    104,939 

BPCE SA (France) 0.46%, 3/19/2021 (c) (e)

  315,000    314,627 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Commercial Paper — continued

 

Canadian Imperial Bank of Commerce (Canada)

   

1.05%, 9/10/2020 (c) (e)

  102,000    101,997 

(ICE LIBOR USD 1 Month + 0.19%), 0.37%, 9/26/2020 (b) (c)

  85,000    85,080 

Cancara Asset Securitisation LLC 0.15%, 9/10/2020 (e)

  100,000    99,997 

China Construction Bank Corp. (China) 0.61%, 10/27/2020 (c) (e)

  100,000    99,943 

Commonwealth Bank of Australia (Australia)

   

(ICE LIBOR USD 3 Month + 0.12%), 0.46%, 9/4/2020 (b) (c)

  200,000    200,072 

(ICE LIBOR USD 3 Month + 0.08%), 0.39%, 10/6/2020 (b) (c)

  40,000    40,014 

(ICE LIBOR USD 3 Month + 0.05%), 0.31%, 10/22/2020 (b) (c)

  35,000    35,000 

Cooperatieve Rabobank UA (ICE LIBOR USD 1 Month + 0.00%), 0.25%, 9/3/2020 (b)

  100,000    100,013 

DBS Bank Ltd. (Singapore) 0.23%, 2/5/2021 (c) (e)

  100,000    99,911 

Dexia Credit Local SA (France)

   

0.57%, 10/28/2020 (c) (e)

  100,000    99,981 

0.57%, 10/29/2020 (c) (e)

  500,000    499,902 

0.23%, 2/22/2021 (c) (e)

  50,000    49,964 

DNB Bank ASA (Norway)

   

(ICE LIBOR USD 1 Month + 0.18%), 0.36%, 9/21/2020 (b) (c)

  60,000    60,061 

(ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/22/2020 (b) (c)

  155,000    155,034 

(ICE LIBOR USD 3 Month + 0.15%), 0.41%, 11/5/2020 (b) (c)

  70,000    70,062 

(ICE LIBOR USD 3 Month + 0.04%), 0.29%, 11/6/2020 (b) (c)

  90,000    90,000 

0.22%, 5/24/2021 (c) (e)

  330,000    329,349 

Fairway Finance Co. LLC

   

1.80%, 10/1/2020 (c) (e)

  75,000    74,888 

0.26%, 1/25/2021 (c) (e)

  10,600    10,591 

Federation des Caisses Desjardins du Quebec (Canada) (ICE LIBOR USD 3 Month + 0.10%), 0.42%, 9/11/2020 (b) (c)

  25,000    25,001 

First Abu Dhabi Bank PJSC (United Arab Emirates)

   

0.25%, 10/14/2020 (c) (e)

  300,000    299,958 

0.25%, 10/23/2020 (c) (e)

  163,000    162,972 

0.24%, 11/3/2020 (c) (e)

  75,000    74,983 

0.23%, 11/16/2020 (c) (e)

  375,000    374,890 

0.21%, 11/19/2020 (c) (e)

  400,000    399,876 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

0.23%, 11/20/2020 (c) (e)

  271,000    270,914 

0.21%, 11/25/2020 (c) (e)

  185,000    184,935 

FMS Wertmanagement (Germany)

   

0.27%, 1/7/2021 (c) (e)

  200,000    199,888 

0.25%, 1/11/2021 (c) (e)

  30,000    29,982 

0.25%, 1/20/2021 (e)

  132,000    131,914 

0.23%, 2/4/2021 (c) (e)

  80,000    79,940 

Honeywell International, Inc. 1.20%, 10/21/2020 (c) (e)

  200,000    199,970 

ING US Funding LLC (Netherlands)

   

(ICE LIBOR USD 3 Month + 0.15%), 0.47%, 9/14/2020 (b)

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.15%), 0.47%, 9/18/2020 (b) (c)

  200,000    200,000 

(ICE LIBOR USD 3 Month + 0.15%), 0.41%, 11/3/2020 (b)

  70,000    70,021 

LMA-Americas LLC

   

0.41%, 11/4/2020 (c) (e)

  37,150    37,138 

0.35%, 12/2/2020 (c) (e)

  60,000    59,969 

0.35%, 12/4/2020 (c) (e)

  51,000    50,973 

0.40%, 1/19/2021 (c) (e)

  200,700    200,502 

0.26%, 2/5/2021 (c) (e)

  36,000    35,956 

0.23%, 4/1/2021 (c) (e)

  103,500    103,346 

Matchpoint Finance plc (Ireland)

   

Series A, 0.28%, 9/16/2020 (c) (e)

  75,000    74,996 

Series A, 0.24%, 2/8/2021 (c) (e)

  50,000    49,961 

MetLife Short Term Funding LLC 1.25%, 9/8/2020 (c) (e)

  11,000    10,997 

National Australia Bank Ltd. (Australia)

   

(ICE LIBOR USD 1 Month + 0.22%), 0.38%, 9/1/2020 (b) (c)

  50,000    50,044 

(ICE LIBOR USD 1 Month + 0.14%), 0.30%, 9/4/2020 (b) (c)

  160,000    160,069 

(ICE LIBOR USD 1 Month + 0.22%), 0.38%, 9/10/2020 (b) (c)

  125,000    125,102 

National Bank of Canada (Canada)

   

0.25%, 1/22/2021 (c) (e)

  170,000    169,874 

0.23%, 2/4/2021 (c) (e)

  240,000    239,799 

0.23%, 2/5/2021 (c) (e)

  350,000    349,704 

Natixis SA (France)

   

(ICE LIBOR USD 3 Month + 0.03%), 0.29%, 10/23/2020 (b)

  130,000    130,000 

0.49%, 2/22/2021 (e)

  45,000    44,957 

Nieuw Amsterdam Receivables Corp. 0.27%, 9/16/2020 (c) (e)

  80,000    79,995 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    23 


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Commercial Paper — continued

 

Old Line Funding LLC 0.28%, 11/23/2020 (c) (e)

  200,000    199,930 

Oversea-Chinese Banking Corp. Ltd. (Singapore) 1.20%, 10/19/2020 (c) (e)

  100,000    99,978 

Pricoa Short Term Funding LLC 0.30%, 1/4/2021 (c) (e)

  50,000    49,981 

Royal Bank of Canada (Canada) (ICE LIBOR USD 3 Month + 0.05%), 0.30%, 10/28/2020 (b) (c)

  100,000    100,020 

Shell International Finance BV (Netherlands)

   

2.20%, 1/11/2021 (c) (e)

  120,000    119,894 

2.15%, 1/15/2021 (c) (e)

  115,000    114,895 

Sumitomo Mitsui Trust Bank Ltd. (Japan)

   

0.40%, 11/30/2020 (c) (e)

  100,000    99,957 

0.26%, 2/4/2021 (c) (e)

  125,000    124,882 

Suncorp-Metway Ltd. (Australia) 0.19%, 11/2/2020 (c) (e)

  75,000    74,962 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 1 Month + 0.10%), 0.26%, 9/10/2020 (b) (c)

  50,000    50,008 

(ICE LIBOR USD 3 Month + 0.08%), 0.36%, 10/27/2020 (b) (c)

  165,000    165,104 

Thunder Bay Funding LLC 0.28%, 11/23/2020 (c) (e)

  50,000    49,984 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.35%), 0.45%, 9/1/2020 (b) (c)

  50,000    50,030 

(ICE LIBOR USD 1 Month + 0.14%), 0.30%, 9/4/2020 (b) (c)

  65,000    65,030 

(ICE LIBOR USD 1 Month + 0.15%), 0.31%, 9/5/2020 (b) (c)

  150,000    150,075 

(ICE LIBOR USD 3 Month + 0.07%), 0.35%, 10/7/2020 (b) (c)

  175,000    175,036 

(ICE LIBOR USD 3 Month + 0.23%), 0.49%, 11/3/2020 (b) (c)

  80,000    80,096 

(ICE LIBOR USD 3 Month + 0.18%), 0.44%, 11/5/2020 (b) (c)

  100,000    100,088 

Total Capital Canada Ltd. (France) 0.28%, 1/4/2021 (c) (e)

  100,000    99,943 

Toyota Finance Australia Ltd. (Australia) 0.22%, 9/18/2020 (e)

  160,000    159,992 

UBS AG (Switzerland)

   

1.14%, 1/20/2021 (c) (e)

  153,000    152,827 

1.14%, 1/22/2021 (c) (e)

  318,000    317,635 

Versailles Commercial Paper LLC 0.21%, 11/5/2020 (c) (e)

  74,000    73,975 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

Westpac Banking Corp. (Australia) 0.37%, 3/4/2021 (c) (e)

  200,000    199,720 
   

 

 

 

Total Commercial Paper
(Cost $12,590,004)

 

   12,597,850 
  

 

 

 

U.S. Treasury Obligations — 6.7%

 

U.S. Treasury Bills

   

0.15%, 9/8/2020 (e)

  275,000    274,995 

0.15%, 9/10/2020 (e)

  200,000    199,996 

0.18%, 9/17/2020 (e)

  400,000    399,984 

0.10%, 9/22/2020 (e)

  800,000    799,957 

0.15%, 9/24/2020 (e)

  900,000    899,948 

0.17%, 9/29/2020 (e)

  700,000    699,950 

0.15%, 10/20/2020 (e)

  650,000    649,908 

0.12%, 11/10/2020 (e)

  100,000    99,982 

0.10%, 11/12/2020 (e)

  250,000    249,947 

0.12%, 11/19/2020 (e)

  1,600,000    1,599,623 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $5,874,102)

 

   5,874,290 
  

 

 

 

Time Deposits — 5.7%

 

Australia & New Zealand Banking Group Ltd. 0.11%, 9/3/2020

  700,000    700,000 

BNP Paribas SA 0.07%, 9/1/2020

  18,330    18,330 

Credit Agricole Corporate and Investment Bank

   

0.15%, 9/1/2020

  100,000    100,000 

0.15%, 9/4/2020

  300,000    300,000 

Industrial & Commercial Bank of China Ltd. 0.09%, 9/1/2020

  500,000    500,000 

KBC Bank NV 0.09%, 9/1/2020

  1,000,000    1,000,000 

National Bank of Canada 0.11%, 9/1/2020

  300,000    300,000 

Royal Bank of Canada 0.09%, 9/1/2020

  600,000    600,000 

Societe Generale SA

   

0.09%, 9/1/2020

  200,000    200,000 

0.09%, 9/1/2020

  200,000    200,000 

Swedbank AB 0.09%, 9/1/2020

  1,050,000    1,050,000 
   

 

 

 

Total Time Deposits
(Cost $4,968,330)

 

   4,968,330 
  

 

 

 

Total Short-Term Investments
(Cost $59,911,091)

    59,945,653 
   

 

 

 

Total Investments — 99.6%
(Cost $87,122,661)

    87,157,499 

Other Assets Less Liabilities — 0.4%

    332,786 
   

 

 

 

NET ASSETS — 100.0%

    87,490,285 
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

 

Percentages indicated are based on net assets.

Abbreviations

 

FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
OBFR Overnight Bank Funding Rate
PJSC Public Joint Stock Company
RAN Revenue Anticipation Note
Rev. Revenue
SOFR Secured Overnight Financing Rate
USD United States Dollar
VRDO Variable Rate Demand Obligation

 

(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2020.
(c) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(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, 2020.
(e) The rate shown is the effective yield as of August 31, 2020.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    25 


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — 83.6%

 

Alabama — 0.4%

 

Mobile Downtown Redevelopment Authority, Gulf Opportunity Zone, Austal USA LLC Project Series 2011B, Rev., VRDO, LOC: Citibank NA, 0.11%, 9/8/2020 (b) (c)

  7,295    7,295 
   

 

 

 

Alaska — 0.8%

 

Alaska Housing Finance Corp., Home Mortgage Series 2007A, Rev., VRDO, LIQ: FHLB, 0.08%, 9/8/2020 (b)

  2,540    2,540 

City of Valdez, Exxon Pipeline Co. Project

   

Rev., VRDO, 0.03%, 9/1/2020 (b)

  3,500    3,500 

Series 1993-A, Rev., VRDO, 0.03%, 9/1/2020 (b)

  4,750    4,750 

Municipality of Anchorage Alaska GO, TAN, 1.50%, 12/18/2020

  5,000    5,012 
   

 

 

 
    15,802 
   

 

 

 

Arizona — 1.6%

 

Arizona Health Facilities Authority, Catholic Healthcare West Loan Program Series 2009F, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.11%, 9/8/2020 (b)

  17,050    17,050 

Arizona State University Series 2008B, Rev., VRDO, 0.08%, 9/8/2020 (b)

  10,000    10,000 

Tender Option Bond Trust Receipts/Certificates Series 2019-XG0231, Rev., VRDO, LOC: Bank of America NA, 0.17%, 9/8/2020 (b) (c)

  4,065    4,065 
   

 

 

 
    31,115 
   

 

 

 

California — 1.0%

 

California Health Facilities Financing Authority, Catholic Healthcare West Loan Program Series 2005H, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.09%, 9/8/2020 (b)

  3,765    3,765 

Orange County Water District Series 2003 A, COP, VRDO, LOC: Citibank NA, 0.07%, 9/8/2020 (b)

  1,135    1,135 

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-26, Rev., VRDO, LOC: Royal Bank of Canada, 0.24%, 9/8/2020 (b) (c)

  5,000    5,000 

San Francisco City and County Airport Commission, International Airport Series C, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.08%, 9/8/2020 (b)

  3,820    3,820 

State of California Series B, Subseries 2010B-3, GO, VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2020 (b)

  1,295    1,295 

Tender Option Bond Trust Receipts/Certificates Series 2020-XM0837, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.11%, 9/8/2020 (b) (c)

  2,600    2,600 
   

 

 

 
    17,615 
   

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Colorado — 1.9%

 

City of Colorado Springs, Utilities System Series 2010C, Rev., VRDO, LIQ: Barclays Bank plc, 0.08%, 9/8/2020 (b)

  1,905    1,905 

Colorado Educational and Cultural Facilities Authority, Nature Conservancy Project Series 2012, Rev., VRDO, 0.11%, 9/8/2020 (b)

  21,195    21,195 

Tender Option Bond Trust Receipts/Certificates Series 2018-XG0195, COP, VRDO, LIQ: Bank of America NA, 0.18%, 9/8/2020 (b) (c)

  3,615    3,615 

University of Colorado Hospital Authority

   

Series 2018 C, Rev., VRDO, LIQ: TD Bank NA, 0.09%, 9/8/2020 (b)

  6,600    6,600 

Series 2019A, Rev., VRDO, 0.09%, 9/8/2020 (b)

  1,850    1,850 
   

 

 

 
    35,165 
   

 

 

 

Connecticut — 1.7%

 

City of Milford GO, BAN, 2.50%, 11/3/2020

  4,720    4,738 

Connecticut Housing Finance Authority, Housing Mortgage Finance Program Series 2020A-3, Rev., VRDO, LIQ: Barclays Bank plc, 0.08%, 9/8/2020 (b)

  3,140    3,140 

Connecticut State Health and Educational Facilities Authority, The Jerome Home Series 2007D, Rev., VRDO, LOC: Bank of America NA, 0.11%, 9/8/2020 (b)

  2,875    2,875 

State of Connecticut, Health and Educational Facilities Authority, Yale New Haven Hospital Issue Series O, Rev., VRDO, 0.09%, 9/8/2020 (b)

  2,250    2,250 

Tender Option Bond Trust Receipts/Certificates Series 2019-G-110, Rev., VRDO, LOC: Royal Bank of Canada, 0.27%, 9/8/2020 (b) (c)

  10,000    10,000 

Town of Greenwich GO, BAN, 1.50%, 1/14/2021

  2,000    2,008 

Town of Groton Series 2020B, GO, BAN, 2.00%, 4/29/2021

  7,045    7,108 
   

 

 

 
    32,119 
   

 

 

 

Florida — 4.5%

 

City of Jacksonville, Florida Power and Light Co., Project Rev., VRDO, 0.06%, 9/1/2020 (b)

  15,600    15,600 

City of Jacksonville, Health Care Facilities, Baptist Health Series 2019C, Rev., VRDO, 0.09%, 9/8/2020 (b)

  10,035    10,035 

County of Martin, Florida Power and Light Co., Project Rev., VRDO, 0.08%, 9/1/2020 (b)

  3,500    3,500 

Florida Housing Finance Corp., Kings Terrace LLC Series 2013B, Rev., VRDO, LIQ: FHLMC, 0.09%, 9/8/2020 (b)

  12,000    12,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

Florida — continued

 

Tender Option Bond Trust Receipts/Certificates

   

Series 2019-XX1109, Rev., VRDO, LIQ: Barclays Bank plc, 0.12%, 9/8/2020 (b) (c)

  4,375    4,375 

Series 2020-XF2882, Rev., VRDO, AGM-CR, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  2,800    2,800 

Series 2020-XG0295, Rev., VRDO, LIQ: Bank of America NA, 0.13%, 9/8/2020 (b) (c)

  6,000    6,000 

Series 2020-XX1136, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  2,375    2,375 

Series 2020-YX1128, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  3,870    3,870 

Series 2018-G-41, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  5,665    5,665 

Series 2019-G113, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  17,500    17,500 
   

 

 

 
    83,720 
   

 

 

 

Georgia — 1.0%

 

Brookhaven Development Authority, Children’s Healthcare Series 2019D, Rev., VRDO, LIQ: PNC Bank NA, 0.10%, 9/8/2020 (b)

  6,860    6,860 

Tender Option Bond Trust Receipts/Certificates

   

Series 2020-ZF0871, Rev., VRDO, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  4,765    4,765 

Series 2020-ZF0872, Rev., VRDO, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  2,000    2,000 

Series 2020-ZF0873, Rev., VRDO, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  3,000    3,000 
   

 

 

 
    16,625 
   

 

 

 

Illinois — 1.1%

 

County of Kane, Glenwood School for Boys Rev., VRDO, LOC: Northern Trust Co., 0.10%, 9/8/2020 (b)

  3,450    3,450 

Illinois Educational Facilities Authority, The Adler Planetarium Rev., VRDO, LOC: PNC Bank NA, 0.10%, 9/8/2020 (b)

  10,100    10,100 

Illinois Finance Authority, Clearbrook Project 2008 Rev., VRDO, LOC: BMO Harris Bank NA, 0.09%, 9/8/2020 (b)

  1,500    1,500 

Illinois Finance Authority, Northwestern Memorial Hospital Series 2008A-1, Rev., VRDO, 0.09%, 9/8/2020 (b)

  1,560    1,560 

Illinois Finance Authority, The University of Chicago Medical Center Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.14%, 9/8/2020 (b)

  2,330    2,330 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Illinois — continued

 

Illinois Finance Authority, Youth Hostels Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.09%, 9/8/2020 (b)

  1,795    1,795 
   

 

 

 
    20,735 
   

 

 

 

Indiana — 1.4%

 

Indiana Finance Authority, Ascension Health Senior Credit Group Series 2008E-8, Rev., VRDO, 0.10%, 9/8/2020 (b)

  18,375    18,375 

Indiana Finance Authority, Parkview Health System Obligated Group Series 2009D, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.03%, 9/1/2020 (b)

  7,535    7,535 
   

 

 

 
    25,910 
   

 

 

 

Iowa — 2.3%

 

County of Louisa, Pollution Control, Midwest Power System, Inc. Rev., VRDO, 0.11%, 9/8/2020 (b)

  20,100    20,100 

Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project Rev., VRDO, 0.11%, 9/8/2020 (b)

  7,795    7,795 

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program Series 2019E, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.08%, 9/8/2020 (b)

  900    900 

Iowa Higher Education Loan Authority, Loras College

   

Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/1/2020 (b)

  3,900    3,900 

Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/1/2020 (b)

  6,850    6,850 

Tender Option Bond Trust Receipts/Certificates Series 2018-ZM0582, Rev., VRDO, LIQ: Barclays Bank plc, 0.12%, 9/8/2020 (b) (c)

  3,750    3,750 
   

 

 

 
    43,295 
   

 

 

 

Kentucky — 1.8%

 

Kentucky Economic Development Finance Authority, Hospital Facilities, Saint Elizabeth Medical Center, Inc. Series 2009B, Rev., VRDO, LOC: TD Bank NA, 0.09%, 9/8/2020 (b)

  4,725    4,725 

Louisville & Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2011A, Rev., VRDO, LOC: PNC Bank NA, 0.09%, 9/8/2020 (b)

  8,410    8,410 

Louisville & Jefferson County Metropolitan Sewer and Drainage District Rev., BAN, 3.00%, 10/23/2020

  3,925    3,939 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    27 


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

Kentucky — continued

 

RBC Municipal Products, Inc. Trust Series G-116, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  12,000    12,000 

Tender Option Bond Trust Receipts/Certificates Series 2020-XM0881, Rev., VRDO, AGM, LIQ: Royal Bank of Canada, 0.13%, 9/8/2020 (b) (c)

  2,800    2,800 
   

 

 

 
    31,874 
   

 

 

 

Louisiana — 0.7%

 

Consolidated Government of the City of Baton Rouge and Parish of East Baton Rouge, State of Louisiana Road and Street Improvement Series 2008A, Rev., VRDO, LOC: Citibank NA, 0.09%, 9/8/2020 (b)

  8,310    8,310 

East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobile Project, Gulf Opportunity Zone Series A, Rev., VRDO, 0.03%, 9/1/2020 (b)

  700    700 

Tender Option Bond Trust Receipts/Certificates Series 2019-XM0738, Rev., VRDO, LOC: Royal Bank of Canada, 0.14%, 9/8/2020 (b) (c)

  3,245    3,245 
   

 

 

 
    12,255 
   

 

 

 

Maine — 0.1%

 

Tender Option Bond Trust Receipts/Certificates Series 2018-ZF2749, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  1,785    1,785 
   

 

 

 

Maryland — 1.7%

 

City of Baltimore Series 2015-ZF2095, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.16%, 9/8/2020 (b) (c)

  6,665    6,665 

Maryland Economic Development Corp., Howard Hughes Medical Institute Series 2008A, Rev., VRDO, 0.10%, 9/8/2020 (b)

  800    800 

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-28, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  10,115    10,115 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZM0618, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  3,350    3,350 

Series 2018-ZM0621, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.14%, 9/8/2020 (b) (c)

  4,000    4,000 

Series 2018-G-42, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  5,000    5,000 
   

 

 

 
    29,930 
   

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Massachusetts — 1.8%

 

City of Salem GO, BAN, 1.00%, 11/19/2020

  7,769    7,781 

City of Somerville Series B, GO, BAN, 1.00%, 10/23/2020

  6,000    6,005 

Massachusetts Bay Transportation Authority, Sales Tax Series 2018A-2, Rev., VRDO, LIQ: State Street Bank & Trust, 0.08%, 9/8/2020 (b)

  10,000    10,000 

Tender Option Bond Trust Receipts/Certificates Series 2020-ZF0968, Rev., VRDO, FHA, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  3,335    3,335 

Town of Scituate GO, BAN, 1.75%, 12/11/2020

  1,290    1,295 

Town of Yarmouth GO, BAN, 2.00%, 2/15/2021

  5,000    5,039 
   

 

 

 
    33,455 
   

 

 

 

Michigan — 2.6%

 

Central Michigan University Series 2008A, Rev., VRDO, LOC: TD Bank NA, 0.08%, 9/8/2020 (b)

  4,555    4,555 

L’Anse Creuse Public Schools GO, VRDO, Q-SBLF, LOC: TD Bank NA, 0.08%, 9/8/2020 (b)

  26,140    26,140 

Rib Floater Trust Various States Series 2018-009, Rev., VRDO, LIQ: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  19,200    19,200 
   

 

 

 
    49,895 
   

 

 

 

Minnesota — 2.0%

 

City of Minneapolis, Health Care System, Fairview Health Services Series 2018C, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.03%, 9/1/2020 (b)

  35,620    35,620 

Minnesota Housing Finance Agency, Residential Housing Finance Series 2015G, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 0.09%, 9/8/2020 (b)

  1,240    1,240 
   

 

 

 
    36,860 
   

 

 

 

Mississippi — 4.2%

 

County of Jackson, Pollution Control, Chevron USA, Inc., Project Rev., VRDO, 0.03%, 9/1/2020 (b)

  19,270    19,270 

County of Jackson, Port Facility, Chevron USA, Inc. Project Rev., VRDO, 0.03%, 9/1/2020 (b)

  10,850    10,850 

Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project

   

Series 2007B, Rev., VRDO, 0.03%, 9/1/2020 (b)

  1,125    1,125 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

Mississippi — continued

 

Series 2009C, Rev., VRDO, 0.03%, 9/1/2020 (b)

  4,895    4,895 

Series 2009G, Rev., VRDO, 0.03%, 9/1/2020 (b)

  6,685    6,685 

Series 2010 H, Rev., VRDO, 0.03%, 9/1/2020 (b)

  18,500    18,500 

Series 2010G, Rev., VRDO, 0.03%, 9/1/2020 (b)

  4,275    4,275 

Series 2010L, Rev., VRDO, 0.03%, 9/1/2020 (b)

  4,600    4,600 

Series 2011C, Rev., VRDO, 0.03%, 9/1/2020 (b)

  7,100    7,100 
   

 

 

 
    77,300 
   

 

 

 

Missouri — 2.5%

 

City of Kansas City, Roe Bartle Convention Center Series 2008F, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.09%, 9/8/2020 (b)

  3,500    3,500 

Health and Educational Facilities Authority of the State of Missouri, BJC Health System Series C, Rev., VRDO, LIQ: BJC Health System, 0.07%, 9/8/2020 (b)

  16,440    16,440 

Health and Educational Facilities Authority of the State of Missouri, Washington University (The) Series 1996D, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/1/2020 (b)

  1,200    1,200 

Missouri Development Finance Board, Cultural Facilities, Kauffman Center For The Performing Arts Project Series 2007A, Rev., VRDO, LIQ: PNC Bank NA, 0.04%, 9/1/2020 (b)

  13,775    13,775 

RBC Municipal Products, Inc. Trust, Floater Certificates Rev., VRDO, LOC: Royal Bank of Canada, 0.14%, 9/8/2020 (b) (c)

  4,000    4,000 

Tender Option Bond Trust Receipts/Certificates Rev., VRDO, LOC: Royal Bank of Canada, 0.16%, 9/8/2020 (b) (c)

  4,950    4,950 
   

 

 

 
    43,865 
   

 

 

 

Nevada — 0.4%

 

City of Reno, Renown Regional Medical Center

   

Series 2009-A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.08%, 9/8/2020 (b)

  700    700 

Tender Option Bond Trust Receipts/Certificates

   

Series 2020-XM0866, Rev., VRDO, LOC: Royal Bank of Canada, 0.13%, 9/8/2020 (b) (c)

  6,000    6,000 
   

 

 

 
    6,700 
   

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

New Jersey — 4.4%

 

Borough of Beachwood Series 2020A, GO, BAN, 2.00%, 3/4/2021

  5,000    5,027 

County of Cumberland GO, BAN, 2.00%, 11/13/2020

  680    681 

County of Hudson GO, BAN, 2.00%, 12/8/2020

  6,045    6,074 

County of Mercer, Capital Improvement Series 2020A, GO, BAN, 2.00%, 6/10/2021

  300    304 

County of Passaic, County of Hudson Series 2019A, GO, BAN, 2.00%, 12/3/2020

  450    452 

Hudson County Improvement Authority

   

Series 2020C-1B, Rev., GTD, 1.50%, 2/19/2021

  1,000    1,006 

Series 2020C-1A, Rev., GTD, 1.50%, 9/2/2021

  8,988    9,098 

Hudson County Improvement Authority, Guaranteed Pooled Notes Series 2019C-1, Rev., GTD, 2.50%, 9/18/2020

  5,570    5,576 

Hudson County Improvement Authority, Tax Exempt, County Guaranteed Pooled Notes Series 2020B-1, Rev., GTD, 2.50%, 5/11/2021

  7,000    7,109 

Township of East Windsor GO, BAN, 2.00%, 12/4/2020

  8,700    8,718 

Township of Florence Series 2020A, GO, BAN, 1.75%, 1/15/2021

  6,000    6,035 

Township of Lacey Series 2020A, GO, BAN, 2.00%, 5/20/2021

  8,051    8,117 

Township of Lumberton Series 2020A, GO, BAN, 1.75%, 5/3/2021

  5,237    5,283 

Township of Readington GO, BAN, 1.50%, 4/29/2021

  12,984    13,082 

Township of Robbinsville Series 2020A, GO, BAN, 1.25%, 7/20/2021

  2,375    2,394 

Township of Woodbridge, Sewer and Recreation Utility GO, BAN, 3.00%, 10/16/2020

  3,120    3,131 
   

 

 

 
    82,087 
   

 

 

 

New York — 19.1%

 

Albany City School District Series 2020B, GO, BAN, 1.25%, 7/30/2021

  4,272    4,305 

City of New York, Fiscal Year 2006 Series I, Subseries I-4, GO, VRDO, LOC: TD Bank NA, 0.02%, 9/1/2020 (b)

  11,425    11,425 

City of New York, Fiscal Year 2008 Subseries J-6, GO, VRDO, LOC: Landesbank Hessen-Thueringen, 0.04%, 9/1/2020 (b)

  10,245    10,245 

City of New York, Fiscal Year 2012

   

Subseries G-7, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.02%, 9/1/2020 (b)

  9,670    9,670 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    29 


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

New York — continued

 

Series D, Subseries D-3A, GO, VRDO, LIQ: Bank of New York Mellon, 0.03%, 9/1/2020 (b)

  100    100 

City of New York, Fiscal Year 2013 Subseries A-2, GO, VRDO, LIQ: Mizuho Bank Ltd., 0.03%, 9/1/2020 (b)

  23,525    23,525 

City of New York, Fiscal Year 2014 Series D, Subseries D-4, GO, VRDO, LOC: TD Bank NA, 0.02%, 9/1/2020 (b)

  3,300    3,300 

County of Broome Series 2020A, GO, BAN, 2.00%, 4/30/2021

  930    938 

Evans-Brant Central School District Series 2020B, GO, BAN, 1.25%, 6/25/2021

  4,000    4,021 

Frontier Central School District GO, BAN, 1.25%, 7/22/2021

  2,568    2,587 

Geneva City School District GO, BAN, 1.25%, 6/25/2021

  5,000    5,034 

Gorham-Middlesex Central School District Series 2020A, GO, BAN, 1.25%, 6/24/2021

  5,000    5,028 

Metropolitan Transportation Authority

   

Series 2008A-1, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/1/2020 (b)

  12,655    12,655 

Series 2012G-1, Rev., VRDO, LOC: Barclays Bank plc, 0.03%, 9/1/2020 (b)

  10,600    10,600 

Subseries E-3, Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/1/2020 (b)

  16,285    16,285 

Subseries 2005D-2, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.06%, 9/1/2020 (b)

  5,055    5,055 

Subseries E-2, Rev., VRDO, LOC: Bank of America NA, 0.09%, 9/8/2020 (b)

  8,555    8,555 

Series 2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 0.10%, 9/8/2020 (b)

  14,100    14,100 

Subseries E-3, Rev., VRDO, LOC: PNC Bank NA, 0.10%, 9/8/2020 (b)

  784    784 

New York City Municipal Water Finance Authority, Water and Sewer System, Fiscal Year 2012

   

Subseries A-1, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.03%, 9/1/2020 (b)

  7,965    7,965 

Subseries A-2, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.03%, 9/1/2020 (b)

  3,595    3,595 

New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution

   

Series BB-1B, Rev., VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/1/2020 (b)

  11,735    11,735 

Series BB-2, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 0.05%, 9/1/2020 (b)

  1,425    1,425 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

New York — continued

 

New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2011

   

Series DD-1, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/1/2020 (b)

  2,400    2,400 

Subseries FF-1, Rev., VRDO, LIQ: Bank of America NA, 0.03%, 9/1/2020 (b)

  2,605    2,605 

New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2014 Series AA, Subseries AA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.02%, 9/1/2020 (b)

  5,060    5,060 

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

   

Series BB, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.03%, 9/1/2020 (b)

  18,050    18,050 

Subseries BB-4, Rev., VRDO, LIQ: Barclays Bank plc, 0.03%, 9/1/2020 (b)

  3,600    3,600 

New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2016

   

Series AA-2, Rev., VRDO, LIQ: PNC Bank NA, 0.10%, 9/8/2020 (b)

  4,555    4,555 

New York City Transitional Finance Authority Future Tax Secured

   

Subseries C-5, Rev., VRDO, LIQ: Bank of America NA, 0.03%, 9/1/2020 (b)

  1,730    1,730 

Series 2014C, Rev., 5.00%, 11/1/2020

  265    267 

New York City Transitional Finance Authority, Future Tax Secured Subseries D-4, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.10%, 9/8/2020 (b)

  4,700    4,700 

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 Subseries A-3, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.08%, 9/8/2020 (b)

  2,615    2,615 

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 Subseries C-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.09%, 9/8/2020 (b)

  11,850    11,850 

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014

   

Subseries B-3, Rev., VRDO, LIQ: Barclays Bank plc, 0.03%, 9/1/2020 (b)

  2,160    2,160 

Subseries D-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.04%, 9/1/2020 (b)

  22,950    22,950 

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015 Subseries A-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.04%, 9/1/2020 (b)

  4,935    4,935 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

New York — continued

 

New York City Trust for Cultural Resources, American Museum of Natural History Series 2008-B3, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.08%, 9/8/2020 (b)

  5,275    5,275 

New York City Water and Sewer System, Second General Resolution Subseries CC-1, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.09%, 9/8/2020 (b)

  2,120    2,120 

New York State Dormitory Authority, City University System, CONS Fifth General Resolution Series 2008D, Rev., VRDO, LOC: TD Bank NA, 0.07%, 9/8/2020 (b)

  1,600    1,600 

New York State Housing Finance Agency, 160 Madison Avenue Housing Series 2013A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.04%, 9/1/2020 (b)

  5,915    5,915 

New York State Housing Finance Agency, Housing, 160 Madison Avenue Series 2014A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 0.04%, 9/1/2020 (b)

  3,900    3,900 

North Colonie Central School District GO, BAN, 1.25%, 7/16/2021

  3,500    3,527 

Orchard Park Central School District GO, BAN, 1.50%, 5/5/2021

  5,000    5,040 

RBC Municipal Products, Inc. Trust Series E-86, GO, VRDO, LOC: Royal Bank of Canada, 0.12%, 9/8/2020 (b) (c)

  9,165    9,165 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-XM0692, Rev., VRDO, LIQ: Royal Bank of Canada, 0.12%, 9/8/2020 (b) (c)

  1,600    1,600 

Series 2015-XF0238, Rev., VRDO, LIQ: TD Bank NA, 0.13%, 9/8/2020 (b) (c)

  13,815    13,815 

Series 2016-ZF0381, Rev., VRDO, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  4,370    4,370 

Town of Vestal GO, BAN, 2.00%, 5/7/2021

  8,418    8,505 

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels

   

Series 2003 B-1, Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/1/2020 (b)

  17,525    17,525 

Union Springs Central School District GO, BAN, 1.75%, 4/30/2021

  9,900    9,988 
   

 

 

 
    352,754 
   

 

 

 

North Carolina — 2.3%

 

Charlotte-Mecklenburg Hospital Authority, Health Care Series 2018F, Rev., VRDO, 0.08%, 9/8/2020 (b)

  11,115    11,115 

City of Raleigh, Downtown Improvement Projects Series 2005-B-2, COP, VRDO, LIQ: PNC Bank NA, 0.10%, 9/8/2020 (b)

  5,885    5,885 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

North Carolina — continued

 

Tender Option Bond Trust Receipts/Certificates Series 2019-ZF2813, Rev., VRDO, LIQ: Barclays Bank plc, 0.14%, 9/8/2020 (b) (c)

  3,415    3,415 

University of North Carolina, Hospital at Chapel Hill

   

Series 2001 A, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 0.04%, 9/1/2020 (b)

  8,670    8,670 

Series 2001 B, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 0.04%, 9/1/2020 (b)

  5,935    5,935 

Series 2003 B, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2020 (b)

  6,755    6,755 
   

 

 

 
    41,775 
   

 

 

 

Ohio — 2.6%

 

Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Obligated Group

   

Series 2008-B4, Rev., VRDO, LIQ: Barclays Bank plc, 0.03%, 9/1/2020 (b)

  15,000    15,000 

Series 2013-B-1, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.03%, 9/1/2020 (b)

  8,650    8,650 

State of Ohio, Cleveland Clinic Health System Series 2019D-2, Rev., VRDO, 0.09%, 9/8/2020 (b)

  9,000    9,000 

Tender Option Bond Trust Receipts/Certificates

   

Series 2019-E132, Rev., VRDO, LOC: Royal Bank of Canada, 0.12%, 9/8/2020 (b) (c)

  10,000    10,000 

Series 2020-XF2889, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  4,705    4,705 
   

 

 

 
    47,355 
   

 

 

 

Oklahoma — 0.1%

 

Tender Option Bond Trust Receipts/Certificates Series 2020-XF2884, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  1,370    1,370 
   

 

 

 

Oregon — 0.2%

 

Oregon State Facilities Authority, PeaceHealth Series 2018B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/1/2020 (b)

  3,555    3,555 
   

 

 

 

Pennsylvania — 4.9%

 

Delaware Valley Regional Finance Authority Series 2020A, Rev., VRDO, LOC: TD Bank NA, 0.09%, 9/8/2020 (b)

  25,000    25,000 

Pennsylvania Turnpike Commission Series 2020A, Rev., VRDO, LOC: Barclays Bank plc, 0.07%, 9/8/2020 (b)

  18,000    18,000 

Philadelphia Authority for Industrial Development, The Franklin Institute Project Rev., VRDO, LOC: Bank of America NA, 0.15%, 9/8/2020 (b)

  2,840    2,840 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    31 


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

Pennsylvania — continued

 

RBC Municipal Products, Inc. Trust Series 2018-G-43, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  5,000    5,000 

RBC Municipal Products, Inc. Trust, Floater Certificates

   

Series E-111, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/1/2020 (b) (c)

  23,860    23,860 

Series E-101, Rev., VRDO, LOC: Royal Bank of Canada, 0.12%, 9/8/2020 (b) (c)

  10,000    10,000 

Tender Option Bond Trust Receipts/Certificates Series 2020-XF2885, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  1,250    1,250 

Series 2020-XM0876, Rev., VRDO, LIQ: Royal Bank of Canada, 0.13%, 9/8/2020 (b) (c)

  1,875    1,875 
   

 

 

 
    87,825 
   

 

 

 

Rhode Island — 0.8%

 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZF2712, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  2,265    2,265 

Series 2019-ZF2826, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  3,570    3,570 

Series 2018-ZM0631, Rev., VRDO, LIQ: Royal Bank of Canada, 0.15%, 9/8/2020 (b) (c)

  6,035    6,035 

Series 2018-ZM0632, Rev., VRDO, LIQ: Royal Bank of Canada, 0.15%, 9/8/2020 (b) (c)

  4,050    4,050 
   

 

 

 
    15,920 
   

 

 

 

South Carolina — 1.2%

 

County of Richland GO, BAN, 3.00%, 2/25/2021

  5,250    5,301 

County Square Redevelopment Corp., Installment Purchase Rev., BAN, 2.00%, 3/24/2021

  3,000    3,022 

South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 0.20%, 9/8/2020 (b)

  4,970    4,970 

Tender Option Bond Trust Receipts/Certificates Series 2019-G-109, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  5,000    5,000 

Town of Lexington, Combined Waterworks and Sewer System Rev., BAN, 2.50%, 10/27/2020

  3,330    3,336 
   

 

 

 
    21,629 
   

 

 

 

South Dakota — 0.4%

 

South Dakota Housing Development Authority Series 2020D, Rev., VRDO, LIQ: FHLB, 0.10%, 9/8/2020 (b)

  7,600    7,600 
   

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Tennessee — 1.2%

 

Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund Rev., VRDO, LOC: Bank of America NA, 0.06%, 9/1/2020 (b)

  12,195    12,195 

Montgomery County Public Building Authority, Pooled Financing Series 1999, Rev., VRDO, LOC: Bank of America NA, 0.12%, 9/8/2020 (b)

  3,840    3,840 

Tender Option Bond Trust Receipts/Certificates Series 2015-XF1023, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  5,905    5,905 
   

 

 

 
    21,940 
   

 

 

 

Texas — 5.9%

 

City of Austin, Texas Hotel Occupancy Tax, Subordinate Lien Series 2008B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.11%, 9/8/2020 (b)

  1,150    1,150 

City of Dallas GO, 5.00%, 2/15/2021

  3,240    3,310 

City of Houston, Airport System Subordinate Lien Rev., VRDO, LOC: Barclays Bank plc, 0.10%, 9/8/2020 (b)

  1,200    1,200 

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System

   

Series 2016D, Rev., VRDO, 0.10%, 9/8/2020 (b)

  7,075    7,075 

Series 2019F, Rev., VRDO, 0.10%, 9/8/2020 (b)

  9,000    9,000 

Lower Neches Valley Authority Industrial Development Corp., Exxonmobil Project

   

Rev., VRDO, 0.03%, 9/1/2020 (b)

  10,245    10,245 

Series 2001A-2, Rev., VRDO, 0.03%, 9/1/2020 (b)

  2,635    2,635 

Series 2002A, Rev., VRDO, 0.03%, 9/1/2020 (b)

  250    250 

Series A-3, Rev., VRDO, 0.03%, 9/1/2020 (b)

  300    300 

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-G112, Rev., VRDO, LOC: Royal Bank of Canada, 0.29%, 9/8/2020 (b) (c)

  9,000    9,000 

State of Texas, Veterans

   

Series 2012A, GO, VRDO, LIQ: State Street Bank & Trust, 0.11%, 9/8/2020 (b)

  1,815    1,815 

Series 2015 A, GO, VRDO, LIQ: State Street Bank & Trust, 0.14%, 9/8/2020 (b)

  5,920    5,920 

State of Texas, Veterans Housing Assistance Program Series 2008 B, GO, VRDO, LIQ: State Street Bank & Trust, 0.14%, 9/8/2020 (b)

  19,465    19,465 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Municipal Bonds — continued

 

Texas — continued

 

Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System

   

Series 2008 A, Rev., VRDO, 0.10%, 9/8/2020 (b)

  2,000    2,000 

Series 2012 B, Rev., VRDO, 0.10%, 9/8/2020 (b)

  11,155    11,155 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZF2570, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  5,995    5,995 

Series 2018-ZF2662, GO, VRDO, PSF-GTD, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  3,840    3,840 

Series 2018-ZF2721, GO, VRDO, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  3,335    3,335 

Series 2020-YX1132, Rev., VRDO, LOC: Barclays Bank plc, 0.13%, 9/8/2020 (b) (c)

  5,005    5,005 

Series 2018-XF0645, Rev., VRDO, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  4,000    4,000 
   

 

 

 
    106,695 
   

 

 

 

Utah — 0.4%

 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZM0652, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.12%, 9/8/2020 (b) (c)

  3,425    3,425 

Series 2018-XG0171, Rev., VRDO, LIQ: Royal Bank of Canada, 0.15%, 9/8/2020 (b) (c)

  3,000    3,000 
   

 

 

 
    6,425 
   

 

 

 

Vermont — 0.1%

 

Vermont Educational and Health Buildings Financing Agency, Southwestern Vermont Medical Center Series 2008A, Rev., VRDO, LOC: TD Bank NA, 0.05%, 9/1/2020 (b)

  1,550    1,550 
   

 

 

 

Virginia — 4.2%

 

Albermarle County Economic Development Authority, Sentara Martha Jefferson Hospital Series 2018B, Rev., VRDO, LIQ: TD Bank NA, 0.03%, 9/1/2020 (b)

  7,870    7,870 

Albermarle County Economic Development Authority, Virginia Hospital Facilities, Sentara Martha Jefferson Hospital Series 2018B, Rev., VRDO, LIQ: TD Bank NA, 0.09%, 9/8/2020 (b)

  445    445 

Fairfax County Industrial Development Authority, Health Care System Series 2016C, Rev., VRDO, 0.09%, 9/8/2020 (b)

  4,350    4,350 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Virginia — continued

 

Loudoun County Economic Development Authority, Howard Hughes Medical Institute

   

Series 2003D, Rev., VRDO, 0.09%, 9/8/2020 (b)

  1,100    1,100 

Series 2009B, Rev., VRDO, 0.09%, 9/8/2020 (b)

  125    125 

Series 2003E, Rev., VRDO, 0.10%, 9/8/2020 (b)

  1,200    1,200 

Series 2003F, Rev., VRDO, 0.10%, 9/8/2020 (b)

  3,695    3,695 

Norfolk Economic Development Authority, Sentara Healthcare Obligated Group Series 2016A, Rev., VRDO, 0.09%, 9/8/2020 (b)

  700    700 

Roanoke Economic Development Authority, Carilion Clinic Obligated Group Series 2020B, Rev., VRDO, LIQ: PNC Bank NA, 0.10%, 9/8/2020 (b)

  10,000    10,000 

Roanoke Economic Development Authority, Health System Series 2005A, Rev., VRDO, LIQ: PNC Bank NA, 0.10%, 9/8/2020 (b)

  39,470    39,470 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-XL0069, Rev., VRDO, LIQ: Barclays Bank plc, 0.12%, 9/8/2020 (b) (c)

  4,230    4,230 

Series 2020-XF0955, Rev., VRDO, LIQ: TD Bank NA, 0.14%, 9/8/2020 (b) (c)

  5,335    5,335 
   

 

 

 
    78,520 
   

 

 

 

Washington — 0.2%

 

State of Washington Series R-2020D, GO, 5.00%, 1/1/2021

  260    264 

State of Washington, Various Purpose
Series R-2020C, GO, 5.00%, 1/1/2021

  3,000    3,048 
   

 

 

 
    3,312 
   

 

 

 

Wisconsin — 0.1%

 

Wisconsin Housing and Economic Development Authority Series 2009A, Rev., VRDO, LOC: Bank of America NA, 0.10%, 9/8/2020 (b)

  1,200    1,200 
   

 

 

 

Total Municipal Bonds
(Cost $1,534,463)

 

   1,534,827 
  

 

 

 

Repurchase Agreements — 5.4%

 

Citigroup Global Markets Holdings, Inc., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $99,840, collateralized by U.S. Treasury Securities, 0.25% - 3.00%, due 2/15/2049 - 2/15/2050, with a value of $101,837. (Cost $99,840)

  99,840    99,840 
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    33 


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) 

SHARES
(000)

   VALUE
($000)
 

Variable Rate Demand Preferred Shares — 3.3%

 

New York — 0.6%

 

Nuveen New York AMT-Free Quality Municipal Income Fund Series 3, LIQ: Citi Bank NA, 0.12%, 9/8/2020 # (c)

  10,000    10,000 
   

 

 

 

Other — 2.7%

 

Nuveen AMT-Free Municipal Credit Income Fund

   

Series 1, LIQ: Citi Bank NA, 0.14%, 9/8/2020 # (c)

  11,000    11,000 

Series 5, LIQ: Societe Generale, 0.14%, 9/8/2020 # (c)

  10,000    10,000 

Series 6, LIQ: Sumitomo Mitsui Banking Corp., 0.14%, 9/8/2020 # (c)

  9,000    9,000 

Nuveen AMT-Free Quality Municipal Income Fund

   

Series 3, LIQ: TD Bank NA, 0.14%, 9/8/2020 # (c)

  5,000    5,000 

Series 4 - 4895, LIQ: Barclays Bank plc, 0.14%, 9/8/2020 # (c)

  10,000    10,000 

Series 5 - 1000, LOC: Sumitomo Mitsui Banking Corp., 0.14%, 9/8/2020 # (c)

  5,000    5,000 
   

 

 

 
    50,000 
   

 

 

 

Total Variable Rate Demand Preferred Shares
(Cost $60,000)

 

   60,000 
  

 

 

 
   PRINCIPAL
AMOUNT
($000)
      

Short-Term Investments — 9.9%

 

Commercial Paper — 9.9%

 

Alachua County Health Facilities Authority Series 08-A, 0.18%, 10/8/2020

  5,000    5,000 

Board of Regents of the University of Texas System

   

Series A, 0.23%, 2/2/2021

  5,000    5,001 

Series A, 0.24%, 2/3/2021

  1,000    1,000 

Series A, 0.45%, 2/18/2021

  5,000    5,006 

Series A, 0.43%, 2/19/2021

  3,500    3,504 

Series A, 0.40%, 2/22/2021

  5,000    5,005 

California Statewide Communities Development Authority

   

0.50%, 9/9/2020

  5,000    5,001 

Series 08-C, 0.28%, 12/9/2020

  17,500    17,504 

Series B-5, 0.21%, 1/6/2021

  5,000    5,001 

Series 9B-4, 0.24%, 2/2/2021

  5,000    5,001 

City of Garland

   

0.23%, 9/14/2020

  5,000    5,000 

0.25%, 9/21/2020

  4,500    4,500 

City of Houston Series H-2, 0.24%, 10/7/2020

  5,000    5,000 

City of Jacksonville, Health Care Authority 0.23%, 2/4/2021

  6,000    6,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

City of Philadelphia

   

Series A-1, 0.19%, 11/12/2020

  5,100    5,100 

City of San Antonio, Electric and Gas System

   

Series C, 0.61%, 9/8/2020

  10,000    10,001 

County of Harris

   

Series J-1, 0.22%, 1/19/2021

  100    100 

Series J-1, 0.30%, 1/19/2021

  250    250 

County of Harris, Toll Road Authority (The)

   

Series E-2, 0.22%, 9/17/2020

  2,450    2,450 

Series E-1, 0.30%, 9/17/2020

  3,060    3,060 

Series E-1, 0.23%, 10/15/2020

  3,300    3,300 

Series E-2, 0.21%, 11/5/2020

  10,000    10,001 

County of Hillsborough

   

Series A, 0.24%, 9/24/2020

  3,300    3,300 

County of York

   

Series 00B3, 0.22%, 9/1/2020

  12,000    12,000 

Illinois Finance Authority

   

Series 12-H, 0.17%, 9/10/2020

  5,000    5,000 

Louisville & Jefferson County Metropolitan Sewer District

   

Series A-1, 0.32%, 9/1/2020

  10,000    10,000 

Massachusetts Health and Educational Facilities Authority

   

Series H-2, 0.25%, 11/5/2020

  10,750    10,752 

Omaha Public Power District

   

Series A, 0.19%, 12/7/2020

  8,700    8,701 

Southwestern Illinois Development Authority, Health Facilities

   

Series 17-B, 0.26%, 10/5/2020

  4,870    4,871 

Series 17-B, 0.19%, 10/16/2020

  5,000    5,000 

University of California

   

Series A, 0.35%, 2/22/2021

  5,000    5,006 

University of Houston

   

Series TE-A, 0.27%, 9/2/2020

  679    679 

University of Minnesota

   

0.18%, 10/9/2020

  4,500    4,500 
   

 

 

 

Total Commercial Paper
(Cost $181,560)

 

   181,594 
  

 

 

 

Total Short-Term Investments
(Cost $181,560)

 

   181,594 
  

 

 

 

Total Investments — 102.2%
(Cost $1,875,863)

 

   1,876,261 

Liabilities in Excess of
Other Assets — (2.2)%

 

   (40,421
  

 

 

 

NET ASSETS — 100.0%

 

   1,835,840 
  

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

Abbreviations

 

AGM Insured by Assured Guaranty Municipal Corp.
AMT Alternative Minimum Tax
BAN Bond Anticipation Note
CONS Consolidated Bonds
COP Certificate of Participation
CR Custodial Receipts
FHA Federal Housing Administration
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
GO General Obligation
GTD Guaranteed
LIQ Liquidity Agreement
LOC Letter of Credit
MTA Metropolitan Transportation Authority

 

PSF-GTD Permanent School Fund Guaranteed
Q-SBLF Qualified School Bond Loan Fund
Rev. Revenue
TAN Tax Anticipation Note
VRDO Variable Rate Demand Obligation
(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2020.
(c) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
# Variable Rate Demand Preferred Shares of a closed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of August 31, 2020.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    35 


Table of Contents

JPMorgan Securities Lending Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — 7.4%

 

Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $233,814.[2]

  233,813    233,813 

Societe Generale SA, 0.30%, dated 8/31/2020, due 9/1/2020, repurchase price $25,000, collateralized by Asset-Backed Securities, 0.42% - 8.09%, due 1/25/2030 -1/25/2037, Collateralized Mortgage Obligations, 0.58% - 6.21%, due 7/25/2036 - 6/11/2042, Corporate Notes and Bonds, 4.88% - 12.00%, due 12/15/2022 - 2/15/2030, FHLMC, 2.48% - 3.28%, due 12/26/2029 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.23% - 3.83%, due 9/25/2029 - 1/25/2040 and Sovereign Government Securities, 6.35% - 7.63%, due 8/10/2024 -1/23/2030, with a value of $27,000.

  25,000    25,000 

Societe Generale SA, 0.32%, dated 8/31/2020, due 9/3/2020, repurchase price $10,000, collateralized by Asset-Backed Securities, 0.32% - 8.09%, due 1/25/2030 - 2/28/2040, Collateralized Mortgage Obligations, 0.37% - 6.00%, due 5/25/2035 - 7/20/2046, Corporate Notes and Bonds, 4.63% - 11.75%, due 4/1/2023 - 9/30/2039, FHLMC, 0.83% - 3.28%, due 12/26/2029 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.18% - 3.83%, due 9/25/2029 - 1/25/2040 and Sovereign Government Securities, 4.25% -11.88%, due 12/23/2023 - 9/30/2049, with a value of $10,801.

  10,000    10,000 
   

 

 

 

Total Repurchase Agreements
(Cost $268,813)

 

   268,813 
  

 

 

 

Municipal Bonds — 0.4%

 

Alaska — 0.3%

 

Alaska Housing Finance Corp., State Capital Project Series 2019A, Rev., VRDO, 0.20%, 9/8/2020 (b)

  10,000    10,000 
   

 

 

 

New York — 0.1%

 

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2020B, Rev., RAN, 5.00%, 3/31/2021

  5,000    5,141 
   

 

 

 

Total Municipal Bonds
(Cost $15,128)

 

   15,141 
  

 

 

 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — 92.2%

 

Commercial Paper — 51.1%

 

Atlantic Asset Securitization LLC 1.17%, 10/2/2020 (c) (d)

  50,000    49,993 

Banco Del Estado De Chile (Chile)

   

0.30%, 10/20/2020 (c) (d)

  10,000    9,998 

0.29%, 10/22/2020 (c) (d)

  39,000    38,990 

Barclays Bank plc (United Kingdom) 0.09%, 9/1/2020 (c) (d)

  134,998    134,998 

Barton Capital SA 0.11%, 9/1/2020 (c) (d)

  90,374    90,374 

BNG Bank NV (Netherlands) 1.20%, 9/1/2020 (c) (d)

  34,000    34,000 

BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/9/2020 (e)

  75,000    75,008 

BNZ International Funding Ltd. (New Zealand) 0.19%, 11/9/2020 (c) (d)

  55,000    54,988 

BPCE SA (France) 0.46%, , 3/19/2021 (c) (d)

 ��25,000    24,970 

Caisse d’Amortissement de la Dette Sociale (France) 0.40%, 3/25/2021 (c) (d)

  40,000    39,946 

China Construction Bank Corp. (China) 0.10%, 9/1/2020 (c) (d)

  120,649    120,649 

Cooperatieve Rabobank UA (Netherlands) 0.08%, 9/1/2020 (d)

  160,000    160,000 

DBS Group Holdings Ltd. (Singapore) 0.83%, 11/4/2020 (c) (d)

  45,000    44,987 

Dexia Credit Local SA (France)

   

0.32%, 10/27/2020 (c) (d)

  13,000    12,998 

0.57%, 10/30/2020 (c) (d)

  30,000    29,994 

DNB Bank ASA (Norway)

   

(ICE LIBOR USD 1 Month + 0.18%),
0.36%, 9/21/2020 (c) (e)

  75,000    75,076 

(ICE LIBOR USD 3 Month + 0.07%),
0.34%, , 10/22/2020 (c) (e)

  20,000    20,004 

(ICE LIBOR USD 3 Month + 0.15%),
0.41%, 11/5/2020 (c) (e)

  15,000    15,013 

Exxon Mobil Corp. 2.15%, 9/24/2020 (d)

  50,000    49,931 

First Abu Dhabi Bank PJSC (United Arab Emirates) 0.23%, 11/16/2020 (c) (d)

  30,000    29,991 

Industrial & Commercial Bank of China Ltd. 0.09%, 9/1/2020 (c) (d)

  113,056    113,056 

ING US Funding LLC (Netherlands) 0.45%, 2/1/2021 (d)

  100,000    99,931 

Landesbank Baden-Wurttemberg (Germany) 0.13%, 9/1/2020 (d)

  80,000    80,000 

LMA-Americas LLC

   

0.20%, 11/4/2020 (c) (d)

  29,000    28,991 

1.36%, 11/20/2020 (c) (d)

  30,000    29,987 

Mitsubishi UFJ Trust & Banking Corp. (Japan) 0.32%, 10/5/2020 (c) (d)

  8,400    8,399 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — 92.2%

 

Commercial Paper — 51.1%

 

National Australia Bank Ltd. (Australia) (ICE LIBOR USD 1 Month + 0.22%),
0.41%, 9/24/2020 (c) (e)

  100,000    100,086 

Natixis SA (France) 1.91%, 11/13/2020 (d)

  4,010    3,995 

Oversea-Chinese Banking Corp. Ltd. (Singapore) (ICE LIBOR USD 3 Month + 0.10%),
0.42%, 9/10/2020 (c) (e)

  50,000    50,002 

Sinopec Century Bright Capital Investment Ltd. (China) 0.40%, 9/1/2020 (c) (d)

  30,000    30,000 

Societe Generale SA (France)

   

0.56%, 10/26/2020 (c) (d)

  22,600    22,595 

0.49%, 11/2/2020 (c) (d)

  3,000    2,999 

Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.50%, 10/26/2020 (c) (d)

  50,000    49,988 

Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 3 Month + 0.15%),
0.41%, 11/6/2020 (c) (e)

  75,000    75,082 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.36%), 0.46%, 9/1/2020 (c) (e)

  50,000    50,016 

(ICE LIBOR USD 3 Month + 0.23%),
0.49%, 11/3/2020 (c) (e)

  10,000    10,012 
   

 

 

 

Total Commercial Paper
(Cost $1,866,288)

 

   1,867,047 
  

 

 

 

Certificates of Deposit — 22.2%

 

Bank of Nova Scotia (The) (Canada) (ICE LIBOR USD 3 Month + 0.08%),
0.35%, 11/19/2020 (e)

  35,000    35,017 

Canadian Imperial Bank of Commerce (Canada)

   

(ICE LIBOR USD 3 Month + 0.11%),
0.43%, 9/10/2020 (e)

  12,000    12,009 

0.42%, 7/7/2021

  35,000    35,062 

Cooperatieve Rabobank UA (Netherlands) (ICE LIBOR USD 3 Month + 0.15%),
0.40%, 11/6/2020 (e)

  15,000    15,013 

Credit Industriel et Commercial (France) 0.35%, 1/4/2021

  35,000    35,021 

Credit Suisse AG (Switzerland) 1.55%, 10/6/2020

  5,000    5,000 

Industrial & Commercial Bank of China Ltd. (China) 0.60%, 10/23/2020

  35,000    35,019 

MUFG Bank Ltd. (Japan)

   

1.15%, 10/19/2020

  65,000    65,090 

0.38%, 11/23/2020

  35,000    35,017 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

Natixis SA (France)

   

(US Federal Funds Effective Rate (continuous series) + 0.21%), 0.30%, 11/4/2020 (e)

  12,000    12,000 

0.57%, 12/2/2020

  14,500    14,514 

1.00%, 1/21/2021

  20,000    20,064 

0.55%, 2/17/2021

  20,000    20,033 

0.43%, 3/23/2021

  10,270    10,281 

Nordea Bank Abp (Finland) (ICE LIBOR USD 3 Month + 0.10%),
0.43%, 9/8/2020 (e)

  75,000    75,058 

Oversea-Chinese Banking Corp. Ltd. (Singapore) 1.60%, 10/2/2020

  30,000    30,000 

Royal Bank of Canada (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.18%), 0.27%, 9/1/2020 (e)

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.30%),
0.55%, 11/4/2020 (e)

  10,000    10,019 

Skandinaviska Enskilda Banken AB (Sweden) (ICE LIBOR USD 3 Month + 0.04%),
0.29%, 11/12/2020 (e)

  23,000    23,000 

Standard Chartered Bank (United Kingdom)

   

2.09%, 9/18/2020

  6,000    6,006 

1.36%, 10/13/2020

  65,000    65,089 

Sumitomo Mitsui Banking Corp. (Japan)

   

0.22%, 11/30/2020

  22,000    22,003 

0.26%, 2/4/2021

  90,000    90,011 

Sumitomo Mitsui Trust Bank Ltd. (Japan)

   

0.42%, 11/2/2020

  12,750    12,756 

0.21%, 11/16/2020

  11,000    11,001 

Toronto-Dominion Bank (The) (Canada) (ICE LIBOR USD 3 Month + 0.09%),
0.36%, 11/19/2020 (e)

  30,000    30,009 

UBS AG (Switzerland) 1.55%, 1/4/2021

  25,000    25,114 

Wells Fargo Bank NA (ICE LIBOR USD 3 Month + 0.08%), 0.39%, 9/9/2020 (e)

  30,000    30,000 
   

 

 

 

Total Certificates of Deposit
(Cost $808,540)

 

   809,206 
  

 

 

 

Time Deposits — 14.8%

 

Credit Agricole Corporate and Investment Bank 0.09%, , 9/1/2020

  70,000    70,000 

Erste Group Bank AG 0.09%, , 9/1/2020

  150,000    150,000 

First Abu Dhabi Bank PJSC 0.08%, , 9/1/2020

  140,000    140,000 

Mizuho Bank Ltd. 0.09%, , 9/1/2020

  180,000    180,000 
   

 

 

 

Total Time Deposits
(Cost $540,000)

 

   540,000 
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    37 


Table of Contents

JPMorgan Securities Lending Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

U.S. Treasury Obligations — 4.1%

 

U.S. Treasury Bills

   

0.24%, 9/15/2020 (d)

  50,000    49,998 

0.26%, 10/15/2020 (d)

  50,000    49,995 

0.18%, 11/3/2020 (d)

  50,000    49,992 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $149,964)

 

   149,985 
  

 

 

 

Total Short-Term Investments
(Cost $3,364,792)

 

   3,366,238 
   

 

 

 

Total Investments — 100.0%
(Cost $3,648,733)

 

   3,650,192 

Other Assets Less Liabilities — 0.0%

 

   425 
  

 

 

 

NET ASSETS — 100.0%

 

   3,650,617 
  

 

 

 

 

Percentages

indicated are based on net assets.

Abbreviations

 

FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
PJSC Public Joint Stock Company
RAN Revenue Anticipation Note
Rev. Revenue
USD United States Dollar
VRDO Variable Rate Demand Obligation
(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2020.
(c) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(d) The rate shown is the effective yield as of August 31, 2020.
(e) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2020.

Additional Investment Information:

[2] Agency Joint Trading Account II — At August 31, 2020, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of September 1, 2020, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan Securities Lending Money Market Fund

  $233,813  $233,814   $238,500 

Repurchase Agreements — At August 31, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account II were as follows (amounts in thousands):

 

Counterparty  Interest
Rate
  JPMorgan Securities
Lending Money
Market Fund
 

Bofa Securities, Inc.

   0.09 $172,112 

Citibank NA

   0.09  29,227 

Citigroup Global Markets Holdings, Inc.

   0.09  32,474 
   

 

 

 

Total

   $233,813 
   

 

 

 

At August 31, 2020, the Agency Joint Trading Account II was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FHLB

   2.13% - 3.60%    12/14/2029 - 5/10/2038 

FHLMC

   1.50% - 5.00%    2/1/2026 - 9/1/2050 

FNMA

   2.00% - 6.10%    4/1/2021 - 9/1/2050 

GNMA

   2.49% - 6.50%    3/20/2048 - 6/15/2049 

U.S. Treasury Securities

   1.75%    6/15/2022 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — 25.1%

 

Barclays Capital, Inc., 0.36%, dated 8/31/2020, due 10/5/2020, repurchase price $30,010, collateralized by Asset-Backed Securities, 0.68% - 8.29%, due 2/25/2024 - 4/25/2036, with a value of $33,000.

  30,000    30,000 

Barclays Capital, Inc., 0.41%, dated 8/31/2020, due 10/5/2020, repurchase price $20,008, collateralized by Asset-Backed Securities, 4.23% - 5.52%, due 2/18/2025 - 1/25/2043, with a value of $22,000.

  20,000    20,000 

BMO Capital Markets Corp., 0.20%, dated 8/31/2020, due 9/1/2020, repurchase price $100,001, collateralized by Asset-Backed Securities, 0.00% - 4.34%, due 4/8/2022 - 3/15/2040, Collateralized Mortgage Obligations, 0.00% - 3.06%, due 2/18/2030 - 10/13/2048, Corporate Notes and Bonds, 0.44% - 8.38%, due 9/21/2020 - 9/15/2115, FHLMC, 2.00% - 4.50%, due 6/15/2032 - 8/1/2050, FNMA, 2.00% - 3.55%, due 11/1/2048 - 8/1/2050, GNMA, 1.40% - 5.50%, due 6/15/2028 - 5/20/2066 and Sovereign Government Securities, 0.38% - 2.63%, due 1/25/2022 - 7/29/2025, with a value of $105,544.

  100,000    100,000 

BMO Capital Markets Corp., 0.23%, dated 8/31/2020, due 9/7/2020, repurchase price $25,001, collateralized by Asset-Backed Securities, 2.38%, due 3/25/2035, Corporate Notes and Bonds, 0.91% - 6.50%, due 3/10/2022 - 12/31/2099, FHLMC, 2.54%, due 7/25/2026, FNMA, 2.60%, due 5/25/2024, GNMA, 3.16%, due 3/15/2062 and Sovereign Government Securities, 0.38% - 2.25%, due 1/25/2022 - 7/29/2025, with a value of $26,335.

  25,000    25,000 

BNP Paribas SA, 0.26%, dated 8/31/2020, due 9/1/2020, repurchase price $100,001, collateralized by Asset-Backed Securities, 0.33% - 5.13%, due 4/20/2026 - 7/20/2043 and Corporate Notes and Bonds, 0.00% - 7.83%, due 10/30/2020 - 1/1/2099, with a value of $109,550.

  100,000    100,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Bofa Securities, Inc., 0.18%, dated 8/31/2020, due 9/1/2020, repurchase price $100,001, collateralized by Common Stocks, 0.00%, due 1/1/2099 and Preferred Stocks, 0.00% - 10.88%, due 10/30/2020 - 1/1/2099, with a value of $108,000.

  100,000    100,000 

Bofa Securities, Inc., 0.49%, dated 8/31/2020, due 10/5/2020, repurchase price $50,024, collateralized by FHLMC, 2.53% - 3.67%, due 4/25/2030 - 9/25/2045, FNMA Connecticut Avenue Securities, 1.40% - 2.30%, due 9/25/2029 - 7/25/2030 and Sovereign Government Securities, 2.55% - 7.88%, due 1/30/2025 - 5/15/2051, with a value of $52,814.

  50,000    50,000 

Bofa Securities, Inc., 0.49%, dated 8/31/2020, due 10/20/2020, repurchase price $100,068, collateralized by Corporate Notes and Bonds, 0.00% - 10.00%, due 9/30/2021 - 12/31/2099, with a value of $108,000.

  100,000    100,000 

Credit Suisse Securities USA LLC, 0.29%, dated 8/31/2020, due 9/2/2020, repurchase price $40,001, collateralized by Collateralized Mortgage Obligations, 0.00% - 1.66%, due 12/15/2036 - 5/25/2065, with a value of $43,202.

  40,000    40,000 

Credit Suisse Securities USA LLC, 0.51%, dated 8/31/2020, due 10/5/2020, repurchase price $50,025, collateralized by Asset-Backed Securities, 0.00% - 2.93%, due 8/1/2021 - 4/12/2024 and Collateralized Mortgage Obligations, 0.00% - 7.02%, due 8/25/2035 - 4/25/2065, with a value of $54,469.

  50,000    50,000 

Fixed Income Clearing Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $2,000,005, collateralized by U.S. Treasury Securities, 0.00% - 4.63%, due 11/27/2020 - 2/15/2050, with a value of $2,040,000.

  2,000,000    2,000,000 

ING Financial Markets LLC, 0.23%, dated 8/31/2020, due 9/1/2020, repurchase price $100,001, collateralized by Sovereign Government Securities, 5.63% - 8.75%, due 2/4/2025 - 2/21/2047, with a value of $108,001.

  100,000    100,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    39 


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

Societe Generale SA, 0.20%, dated 8/31/2020, due 9/1/2020, repurchase price $64,000, collateralized by Asset-Backed Securities, 4.00% - 4.55%, due 3/22/2029 - 2/25/2033, Corporate Notes and Bonds, 0.40% - 6.88%, due 3/9/2021 - 12/31/2099 and Sovereign Government Securities, 2.78% - 5.35%, due 3/15/2022 - 1/15/2050, with a value of $67,207.

  64,000    64,000 

Societe Generale SA, 0.30%, dated 8/31/2020, due 9/1/2020, repurchase price $170,001, collateralized by Asset-Backed Securities, 0.31% - 8.09%, due 11/18/2028 - 10/25/2046, Collateralized Mortgage Obligations, 0.37% - 4.35%, due 11/15/2032 - 12/16/2072, Corporate Notes and Bonds, 3.30% - 12.00%, due 6/1/2021 - 3/1/2030, FHLMC, 0.83% - 3.28%, due 12/26/2029 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.18% - 3.83%, due 9/25/2029 - 1/25/2040 and Sovereign Government Securities, 2.63% - 10.13%, due 1/22/2021 - 1/23/2050, with a value of $183,602.

  170,000    170,000 

Societe Generale SA, 0.32%, dated 8/31/2020, due 9/3/2020, repurchase price $75,002, collateralized by Asset-Backed Securities, 0.32% - 8.09%, due 3/17/2025 - 1/25/2037, Collateralized Mortgage Obligations, 0.46% - 6.21%, due 7/15/2036 - 8/17/2049, Corporate Notes and Bonds, 4.63% - 12.00%, due 11/21/2022 - 2/15/2030, FHLMC, 2.08% - 3.28%, due 1/25/2050 - 3/25/2050, FNMA Connecticut Avenue Securities, 2.23% - 3.83%, due 9/25/2029 - 1/25/2040 and Sovereign Government Securities, 4.25% - 7.63%, due 5/9/2024 - 5/30/2040, with a value of $81,005.

  75,000    75,000 

Wells Fargo Securities LLC, 0.23%, dated 8/31/2020, due 9/2/2020, repurchase price $28,000, collateralized by Sovereign Government Securities, 2.13%, due 6/15/2022, with a value of $29,401.

  28,000    28,000 

Wells Fargo Securities LLC, 0.23%, dated 8/31/2020, due 9/3/2020, repurchase price $46,001, collateralized by Sovereign Government Securities, 2.13% - 6.95%, due 6/15/2022 - 1/28/2060, with a value of $48,372.

  46,000    46,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Wells Fargo Securities LLC, 0.55%, dated 8/31/2020, due 9/21/2020, repurchase price $50,016, collateralized by Sovereign Government Securities, 2.13%, due 6/15/2022, with a value of $52,572.

  50,000    50,000 
   

 

 

 

Total Repurchase Agreements
(Cost $3,148,000)

 

   3,148,000 
  

 

 

 

Corporate Notes — 0.7%

 

Banks — 0.7%

 

Barclays Bank plc (United Kingdom)

 

  

(OBFR + 0.15%), 0.23%, 9/1/2020 (b) (c)

  50,000    50,000 

(OBFR + 0.30%), 0.38%, 9/1/2020 (b) (c)

  40,000    40,000 
   

 

 

 

Total Corporate Notes
(Cost $90,000)

 

   90,000 
  

 

 

 

Municipal Bonds — 0.2%

 

New York — 0.2%

 

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2020B, Rev., RAN, 5.00%, 3/31/2021 (Cost $20,514)

  20,000    20,514 
   

 

 

 

Short-Term Investments — 73.9%

 

Certificates of Deposit — 41.1%

 

Banco Del Estado De Chile (Chile) 0.35%, 9/14/2020

  25,000    25,000 

Bank of Montreal (Canada)
0.23%, 2/12/2021

  50,000    50,000 

Bank of Nova Scotia (The) (Canada)

   

(ICE LIBOR USD 1 Month + 0.17%), 0.35%, 9/24/2020 (b)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.10%), 0.40%, 10/6/2020 (b)

  17,000    17,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.34%, 10/23/2020 (b)

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.30%, 10/28/2020 (b)

  14,000    14,000 

(ICE LIBOR USD 3 Month + 0.13%), 0.38%, 11/6/2020 (b)

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.10%), 0.36%, 11/14/2020 (b)

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.12%), 0.39%, 11/19/2020 (b)

  40,000    40,000 

BNP Paribas SA (France)

   

(ICE LIBOR USD 3 Month + 0.08%), 0.38%, 10/3/2020 (b)

  30,000    30,000 

0.40%, 3/3/2021

  50,000    50,000 

Canadian Imperial Bank of Commerce (Canada)

   

(ICE LIBOR USD 3 Month + 0.11%), 0.43%, 9/10/2020 (b)

  50,000    50,000 

0.42%, 7/7/2021

  50,000    50,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

China Construction Bank Corp. (China)

   

0.65%, 10/22/2020

  20,000    20,000 

0.61%, 11/3/2020

  25,000    25,000 

Cooperatieve Rabobank UA (Netherlands)

   

(ICE LIBOR USD 3 Month + 0.09%), 0.43%, 9/2/2020 (b)

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.10%), 0.37%, 10/13/2020 (b)

  10,000    10,000 

1.10%, 10/14/2020

  14,000    14,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.35%, 10/30/2020 (b)

  29,000    29,000 

(ICE LIBOR USD 3 Month + 0.15%), 0.40%, 11/6/2020 (b)

  8,000    8,000 

(ICE LIBOR USD 3 Month + 0.32%), 0.56%, 11/7/2020 (b)

  13,000    13,000 

(ICE LIBOR USD 3 Month + 0.04%), 0.32%, 11/17/2020 (b)

  70,000    70,000 

Credit Agricole Corporate and Investment Bank (France) 0.39%, 3/16/2021

  17,000    17,000 

Credit Industriel et Commercial (France)

   

1.40%, 10/1/2020

  20,000    20,000 

(ICE LIBOR USD 3 Month + 0.08%), 0.38%, 10/5/2020 (b)

  25,000    25,000 

1.25%, 10/13/2020

  25,000    25,000 

1.71%, 11/16/2020 (d)

  25,000    24,910 

0.65%, 11/20/2020 (d)

  50,000    49,928 

0.58%, 11/23/2020 (d)

  50,000    49,933 

0.50%, 12/1/2020 (d)

  50,000    49,937 

0.51%, 12/8/2020 (d)

  50,000    49,931 

0.34%, 1/4/2021

  20,000    20,000 

Credit Suisse AG (Switzerland)

   

1.40%, 10/2/2020

  25,000    25,000 

1.33%, 11/24/2020

  60,000    60,000 

0.47%, 2/26/2021

  35,000    35,000 

0.38%, 4/12/2021

  50,000    50,000 

0.29%, 5/17/2021

  50,000    50,000 

DNB Bank ASA (Norway) (ICE LIBOR USD 3 Month + 0.15%), 0.40%, 11/6/2020 (b)

  16,000    16,000 

HSBC Bank USA NA

   

1.25%, 10/7/2020

  65,000    65,000 

1.15%, 10/14/2020

  33,000    33,000 

0.95%, 10/20/2020

  20,000    20,000 

Industrial & Commercial Bank of China Ltd. (China)

   

0.63%, 10/23/2020

  17,000    17,000 

0.60%, 10/26/2020

  30,000    30,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

ING Bank Australia Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.18%), 0.42%, 11/8/2020 (b)

  45,000    45,000 

ING Bank NV (Netherlands)

   

(ICE LIBOR USD 3 Month + 0.12%),
0.40%, 10/8/2020 (b)

  80,000    80,000 

(ICE LIBOR USD 3 Month + 0.10%),
0.35%, 11/5/2020 (b)

  39,000    39,000 

(ICE LIBOR USD 3 Month + 0.08%),
0.33%, 11/6/2020 (b)

  15,000    15,000 

0.54%, 2/11/2021

  50,000    50,000 

KBC Bank NV (Cayman Islands) 0.31%, 1/8/2021 (d)

  25,000    24,972 

Landesbank Hessen-Thueringen Girozentrale (Germany)

   

0.67%, 11/4/2020 (d)

  50,000    49,941 

0.58%, 11/16/2020 (d)

  50,000    49,939 

Mitsubishi UFJ Trust & Banking Corp. (Japan)

   

0.39%, 10/5/2020 (d)

  25,000    24,991 

0.36%, 1/15/2021

  25,000    25,000 

0.36%, 1/28/2021

  50,000    50,000 

Mizuho Bank Ltd. (Japan)

   

0.38%, 9/8/2020 (d)

  25,000    24,998 

0.31%, 9/15/2020

  29,000    29,000 

0.40%, 9/17/2020

  15,000    15,000 

(ICE LIBOR USD 1 Month + 0.18%),
0.34%, 9/20/2020 (b)

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.07%),
0.34%, 10/29/2020 (b)

  29,000    29,000 

0.39%, 12/3/2020 (d)

  100,000    99,899 

0.36%, 1/19/2021

  25,000    25,000 

0.27%, 2/10/2021

  35,000    34,999 

MUFG Bank Ltd. (Japan)

   

0.40%, 9/21/2020 (d)

  20,000    19,996 

1.15%, 10/19/2020

  50,000    50,000 

0.39%, 11/20/2020

  30,000    30,000 

0.25%, 11/30/2020

  29,000    29,000 

0.38%, 11/30/2020

  21,000    21,000 

0.39%, 12/18/2020 (d)

  50,000    49,942 

0.23%, 1/20/2021

  25,000    25,000 

0.29%, 1/29/2021

  30,000    30,000 

0.27%, 2/4/2021

  30,000    30,000 

National Australia Bank Ltd. (Australia)

   

(ICE LIBOR USD 3 Month + 0.13%),
0.38%, 11/25/2020 (b)

  25,000    25,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    41 


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.13%),
0.38%, 11/27/2020 (b)

  30,000    30,000 

0.37%, 3/8/2021 (d)

  200,000    199,615 

0.38%, 3/23/2021 (d)

  15,000    14,968 

0.40%, 4/30/2021 (d)

  29,000    28,923 

Natixis SA (France)

   

(ICE LIBOR USD 3 Month + 0.11%),
0.44%, 9/4/2020 (b)

  75,000    75,000 

(ICE LIBOR USD 1 Month + 0.17%),
0.33%, 9/19/2020 (b)

  50,000    50,000 

1.40%, 10/2/2020

  25,000    25,000 

0.52%, 12/14/2020

  80,000    80,000 

0.55%, 2/17/2021

  15,000    15,000 

0.39%, 4/8/2021

  5,000    5,000 

0.29%, 5/3/2021

  30,000    30,000 

Nordea Bank Abp (Finland)

   

(ICE LIBOR USD 3 Month + 0.10%),
0.47%, 9/1/2020 (b)

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.10%),
0.43%, 9/8/2020 (b)

  100,000    100,000 

(ICE LIBOR USD 3 Month + 0.12%),
0.44%, 9/17/2020 (b)

  40,000    40,000 

(ICE LIBOR USD 3 Month + 0.10%),
0.37%, 10/13/2020 (b)

  25,000    25,000 

1.12%, 10/15/2020

  17,000    17,000 

(ICE LIBOR USD 3 Month + 0.10%),
0.36%, 11/14/2020 (b)

  50,000    50,000 

1.10%, 11/17/2020

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.10%),
0.35%, 11/21/2020 (b)

  21,000    21,000 

Norinchukin Bank (The) (Japan) 0.18%, 9/22/2020

  25,000    25,000 

Oversea-Chinese Banking Corp. Ltd. (Singapore)

   

1.08%, 9/14/2020

  25,000    25,000 

(ICE LIBOR USD 1 Month + 0.14%), 0.32%, 9/24/2020 (b)

  25,000    25,000 

Rabobank International (United Kingdom) 0.26%, 2/26/2021 (d)

  29,000    28,963 

Royal Bank of Canada (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.18%), 0.27%, 9/1/2020 (b)

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.12%),
0.42%, 9/24/2020 (b)

  17,000    17,000 

1.46%, 10/1/2020

  15,000    15,000 

(ICE LIBOR USD 3 Month + 0.11%),
0.38%, 10/9/2020 (b)

  15,000    15,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.07%),
0.34%, 10/29/2020 (b)

  22,000    22,000 

(ICE LIBOR USD 3 Month + 0.30%),
0.55%, 11/4/2020 (b)

  15,000    15,000 

(ICE LIBOR USD 3 Month + 0.21%),
0.46%, 11/5/2020 (b)

  13,000    13,000 

1.30%, 1/7/2021

  25,000    25,000 

Skandinaviska Enskilda Banken AB (Sweden)

   

1.35%, 10/2/2020

  25,000    25,000 

0.25%, 5/11/2021

  75,000    75,000 

Standard Chartered Bank (United Kingdom) 0.97%, 10/27/2020

  100,000    100,000 

Sumitomo Mitsui Banking Corp. (Japan)

   

(ICE LIBOR USD 1 Month + 0.22%),
0.38%, 9/17/2020 (b)

  25,000    25,000 

(ICE LIBOR USD 1 Month + 0.18%),
0.36%, 9/22/2020 (b)

  28,000    28,000 

(ICE LIBOR USD 1 Month + 0.18%),
0.34%, 9/28/2020 (b)

  28,000    28,000 

(ICE LIBOR USD 3 Month + 0.07%),
0.34%, 10/27/2020 (b)

  15,000    15,000 

(ICE LIBOR USD 3 Month + 0.03%),
0.31%, 11/17/2020 (b)

  50,000    50,000 

0.35%, 12/1/2020

  22,000    22,000 

0.30%, 1/29/2021

  125,000    125,000 

0.26%, 2/5/2021

  40,000    40,000 

0.26%, 2/24/2021 (d)

  25,000    24,968 

Sumitomo Mitsui Trust Bank Ltd. (Japan)

   

0.57%, 11/12/2020 (d)

  75,000    74,915 

0.55%, 11/13/2020 (d)

  50,000    49,944 

0.40%, 11/18/2020

  50,000    50,000 

Sumitomo Trust & Banking Japan Multi Strategy Fund (United Kingdom) 1.27%, 9/8/2020 (d)

  25,000    24,994 

Sumitomo Trust and Banking Co. (United Kingdom)

   

0.50%, 11/16/2020 (d)

  50,000    49,947 

0.50%, 11/18/2020 (d)

  25,000    24,972 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 3 Month + 0.11%),
0.43%, 9/16/2020 (b)

  17,000    17,000 

(ICE LIBOR USD 3 Month + 0.12%),
0.44%, 9/16/2020 (b)

  9,000    9,000 

(ICE LIBOR USD 3 Month + 0.12%),
0.44%, 9/19/2020 (b)

  12,000    12,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.07%),
0.37%, 10/2/2020 (b)

  17,000    17,000 

1.12%, 10/14/2020

  54,000    54,000 

(ICE LIBOR USD 3 Month + 0.09%),
0.36%, 10/20/2020 (b)

  35,000    35,000 

(ICE LIBOR USD 3 Month + 0.05%),
0.31%, 10/30/2020 (b)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.13%),
0.37%, 11/7/2020 (b)

  50,000    50,000 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.35%), 0.44%, 9/1/2020 (b)

  20,000    20,000 

(ICE LIBOR USD 3 Month + 0.11%),
0.43%, 9/10/2020 (b)

  5,000    5,000 

1.03%, 9/11/2020

  25,000    25,000 

(ICE LIBOR USD 1 Month + 0.18%),
0.35%, 9/21/2020 (b)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.19%),
0.47%, 10/7/2020 (b)

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.07%),
0.34%, 10/28/2020 (b)

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.09%),
0.36%, 11/19/2020 (b)

  26,000    26,000 

1.27%, 1/28/2021

  60,000    60,000 

0.41%, 7/6/2021

  29,000    29,000 

UBS AG (Switzerland)

   

1.50%, 10/2/2020

  50,000    50,000 

1.55%, 1/4/2021

  75,000    75,000 

1.55%, 1/6/2021

  50,000    50,000 

Wells Fargo Bank NA (ICE LIBOR USD 3 Month + 0.11%), 0.41%, 10/6/2020 (b)

  90,000    90,000 
   

 

 

 

Total Certificates of Deposit
(Cost $5,153,525)

 

   5,153,525 
  

 

 

 

Commercial Paper — 18.8%

 

Agricultural Bank of China Ltd. (China) 0.45%, 11/5/2020 (c) (d)

  25,000    24,980 

Alpine Securitization LLC (Switzerland)

   

(ICE LIBOR USD 3 Month + 0.08%),
0.33%, 11/20/2020 (b) (c)

  50,000    50,000 

0.37%, 1/6/2021 (c) (d)

  50,000    49,935 

0.31%, 5/5/2021 (c) (d)

  25,000    24,947 

Antalis SA (France) 1.60%, 9/1/2020 (c) (d)

  27,440    27,440 

Bank of Montreal (Canada) 1.05%, 9/14/2020 (d)

  17,000    16,994 

Barton Capital LLC 0.36%, 1/8/2021 (c) (d)

  50,000    49,936 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

Bedford Row Funding Corp.

   

(ICE LIBOR USD 3 Month + 0.10%),
0.42%, 9/3/2020 (b) (c)

  100,000    100,000 

1.01%, 9/9/2020 (c) (d)

  25,000    24,994 

1.01%, 9/14/2020 (c) (d)

  15,000    14,995 

(ICE LIBOR USD 3 Month + 0.06%),
0.32%, 11/1/2020 (b) (c)

  22,000    22,000 

BNG Bank NV (Netherlands) 1.20%, 9/1/2020 (c) (d)

  110,000    110,000 

BPCE SA (France) 0.46%, 3/19/2021 (c) (d)

  10,000    9,975 

Caisse d’Amortissement de la Dette Sociale (France)

   

0.29%, 1/20/2021 (c) (d)

  117,000    116,869 

0.40%, 3/25/2021 (c) (d)

  75,000    74,829 

Canadian Imperial Bank of Commerce (Canada)

   

(SOFR + 0.22%), 0.29%, 9/1/2020 (b) (c)

  75,000    75,000 

1.05%, 9/10/2020 (c) (d)

  18,000    17,995 

Cancara Asset Securitisation LLC 0.15%, 9/10/2020 (d)

  20,000    19,999 

Concord Minutemen Capital Co. LLC Series A, 0.12%, 9/3/2020 (c) (d)

  70,000    70,000 

Credit Suisse AG (ICE LIBOR USD 3 Month + 0.17%), 0.49%, 9/15/2020 (b)

  15,000    15,000 

Dexia Credit Local SA (France)

   

0.57%, 10/28/2020 (c) (d)

  25,000    24,977 

0.57%, 10/30/2020 (c) (d)

  90,000    89,916 

0.31%, 12/1/2020 (c) (d)

  100,000    99,922 

DNB Bank ASA (Norway) (ICE LIBOR USD 3 Month + 0.07%), 0.34%, 10/22/2020 (b) (c)

  21,000    21,000 

Fairway Finance Co. LLC 1.32%, 10/6/2020 (c) (d)

  25,000    24,968 

First Abu Dhabi Bank PJSC (United Arab Emirates)

   

0.25%, 10/16/2020 (c) (d)

  100,000    99,969 

0.25%, 10/23/2020 (c) (d)

  27,000    26,990 

0.24%, 11/3/2020 (c) (d)

  25,000    24,990 

0.23%, 11/16/2020 (c) (d)

  75,000    74,964 

0.23%, 11/20/2020 (c) (d)

  28,000    27,986 

FMS Wertmanagement (Germany) 0.25%, 1/20/2021 (d)

  25,000    24,976 

Honeywell International, Inc. 1.20%, 10/21/2020 (c) (d)

  25,000    24,958 

HSBC Bank plc (United Kingdom) 1.15%, 10/15/2020 (c) (d)

  100,000    99,859 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    43 


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

Commercial Paper — continued

 

LMA-Americas LLC

   

0.40%, 1/15/2021 (c) (d)

  24,400    24,363 

0.23%, 2/8/2021 (c) (d)

  26,400    26,373 

National Australia Bank Ltd. (Australia) (ICE LIBOR USD 1 Month + 0.14%), 0.30%, 9/4/2020 (b) (c)

  30,000    30,000 

National Bank of Canada (Canada)

   

0.25%, 1/22/2021 (c) (d)

  30,000    29,970 

0.23%, 2/4/2021 (c) (d)

  25,000    24,975 

PSP Capital, Inc. (Canada) (SOFR + 0.18%), 0.25%, 9/1/2020 (b) (c)

  20,000    20,000 

Royal Bank of Canada (Canada) (SOFR + 0.25%), 0.33%, 9/1/2020 (b) (c)

  50,000    50,000 

Sheffield Receivables Co. LLC (United Kingdom) 0.29%, 9/2/2020 (c) (d)

  47,400    47,400 

Shell International Finance BV (Netherlands) 2.15%, 1/15/2021 (c) (d)

  25,000    24,797 

Societe Generale SA (France) 0.57%, 10/27/2020 (c) (d)

  15,000    14,987 

Sumitomo Mitsui Trust Bank Ltd. (Japan)

   

0.40%, 11/30/2020 (c) (d)

  25,000    24,975 

0.26%, 2/4/2021 (c) (d)

  25,000    24,972 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 1 Month + 0.10%), 0.26%, 9/10/2020 (b) (c)

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.11%), 0.44%, 9/15/2020 (b) (c)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.10%), 0.38%, 10/13/2020 (b) (c)

  25,000    25,000 

0.95%, 10/19/2020 (c) (d)

  10,000    9,987 

(ICE LIBOR USD 3 Month + 0.08%), 0.36%, 10/27/2020 (b) (c)

  28,000    28,000 

Toronto-Dominion Bank (The) (Canada)

   

(ICE LIBOR USD 1 Month + 0.15%), 0.31%, 9/5/2020 (b) (c)

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.19%), 0.48%, 9/27/2020 (b) (c)

  100,000    100,000 

(ICE LIBOR USD 3 Month + 0.23%), 0.49%, 11/3/2020 (b) (c)

  13,000    13,000 

(ICE LIBOR USD 3 Month + 0.18%), 0.44%, 11/5/2020 (b) (c)

  16,000    16,000 

UBS AG (Switzerland)

   

(ICE LIBOR USD 3 Month + 0.10%), 0.41%, 10/3/2020 (b) (c)

  30,000    30,000 

1.14%, 1/22/2021 (c) (d)

  115,000    114,478 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

Westpac Banking Corp. (Australia) 0.37%, 3/4/2021 (c) (d)

  35,000    34,933 
   

 

 

 

Total Commercial Paper
(Cost $2,360,573)

 

   2,360,573 
  

 

 

 

U.S. Treasury Obligations — 7.1%

 

U.S. Treasury Bills

   

0.15%, 9/8/2020 (d)

  50,000    49,999 

0.10%, 9/22/2020 (d)

  150,000    149,991 

0.15%, 9/24/2020 (d)

  100,000    99,990 

0.17%, 9/29/2020 (d)

  100,000    99,987 

0.31%, 10/15/2020 (d)

  75,000    74,972 

0.15%, 10/20/2020 (d)

  110,000    109,978 

0.12%, 11/10/2020 (d)

  50,000    49,989 

0.10%, 11/12/2020 (d)

  50,000    49,990 

0.12%, 11/19/2020 (d)

  200,000    199,946 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $884,842)

 

   884,842 
  

 

 

 

Time Deposits — 6.9%

 

Australia & New Zealand Banking Group Ltd. 0.11%, 9/3/2020

  200,000    200,000 

Credit Agricole Corporate and Investment Bank 0.09%, 9/1/2020

  475,310    475,310 

Interfund Lending 0.83%, 9/1/2020

  4,366    4,366 

Mizuho Bank Ltd. 0.09%, 9/1/2020

  180,000    180,000 
   

 

 

 

Total Time Deposits
(Cost $859,676)

 

   859,676 
  

 

 

 

Total Short-term Investments
(Cost $9,258,616)

 

   9,258,616 
  

 

 

 

Total Investments — 99.9%
(Cost $12,517,130)*

 

   12,517,130 

Other Assets Less Liabilities — 0.1%

 

   17,717 
  

 

 

 

NET ASSETS — 100.0%

 

   12,534,847 
  

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

Abbreviations

 

 
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
OBFR Overnight Bank Funding Rate
PJSC Public Joint Stock Company
RAN Revenue Anticipation Note
Rev. Revenue
SOFR Secured Overnight Financing Rate
USD United States Dollar
(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2020.
(c) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(d) The rate shown is the effective yield as of August 31, 2020.
* The cost of securities is substantially the same for federal income tax purposes.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    45 


Table of Contents

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

U.S. Government Agency Securities — 37.5%

 

FFCB

   

(SOFR + 0.07%), 0.14%, 9/1/2020 (b)

  105,000    105,000 

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.16%, 9/1/2020 (b)

  275,000    275,000 

(US Treasury 3 Month Bill Money Market Yield + 0.09%), 0.19%, 9/1/2020 (b)

  200,000    199,968 

(ICE LIBOR USD 1 Month + 0.04%), 0.20%, 9/1/2020 (b)

  450,000    450,000 

(Federal Reserve Bank Prime Loan Rate US - 3.00%), 0.25%, 9/1/2020 (b)

  175,000    175,000 

(Federal Reserve Bank Prime Loan Rate US - 2.98%), 0.28%, 9/1/2020 (b)

  255,000    255,044 

(Federal Reserve Bank Prime Loan Rate US - 2.93%), 0.33%, 9/1/2020 (b)

  325,000    325,000 

(SOFR + 0.30%), 0.37%, 9/1/2020 (b)

  1,000,000    1,000,000 

(SOFR + 0.35%), 0.42%, 9/1/2020 (b)

  1,500,000    1,500,000 

(ICE LIBOR USD 1 Month + 0.03%), 0.19%, 9/3/2020 (b)

  350,000    350,000 

(ICE LIBOR USD 1 Month - 0.02%), 0.14%, 9/4/2020 (b)

  300,000    300,000 

(ICE LIBOR USD 1 Month + 0.05%), 0.21%, 9/5/2020 (b)

  450,000    449,998 

(ICE LIBOR USD 1 Month + 0.35%), 0.51%, 9/5/2020 (b)

  50,000    50,065 

(ICE LIBOR USD 1 Month + 0.00%), 0.15%, 9/6/2020 (b)

  400,000    400,000 

(ICE LIBOR USD 1 Month + 0.00%), 0.15%, 9/8/2020 (b)

  90,000    89,998 

(ICE LIBOR USD 1 Month + 0.04%), 0.19%, 9/8/2020 (b)

  400,000    400,000 

(ICE LIBOR USD 1 Month + 0.09%), 0.24%, 9/8/2020 (b)

  550,000    549,997 

(ICE LIBOR USD 1 Month - 0.01%), 0.15%, 9/14/2020 (b)

  250,000    249,992 

(ICE LIBOR USD 1 Month + 0.06%), 0.22%, 9/15/2020 (b)

  375,000    374,998 

(ICE LIBOR USD 1 Month + 0.05%), 0.21%, 9/16/2020 (b)

  50,000    50,000 

DN, 0.52%, 9/16/2020 (c)

  100,000    99,978 

(ICE LIBOR USD 1 Month + 0.06%), 0.24%, 9/23/2020 (b)

  275,000    275,003 

(ICE LIBOR USD 1 Month + 0.04%), 0.22%, 9/24/2020 (b)

  550,000    550,000 

(ICE LIBOR USD 1 Month + 0.01%), 0.19%, 9/25/2020 (b)

  400,000    400,000 

(ICE LIBOR USD 1 Month + 0.04%), 0.21%, 9/27/2020 (b)

  185,000    184,999 

(ICE LIBOR USD 1 Month + 0.07%), 0.22%, 9/28/2020 (b)

  20,000    20,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

(ICE LIBOR USD 1 Month + 0.03%), 0.18%, 9/30/2020 (b)

  250,000    250,000 

DN, 0.52%, 10/16/2020 (c)

  50,000    49,968 

FHLB

   

(SOFR + 0.01%), 0.08%, 9/1/2020 (b)

  1,900,000    1,900,000 

(SOFR + 0.03%), 0.10%, 9/1/2020 (b)

  1,250,000    1,250,000 

(SOFR + 0.03%), 0.10%, 9/1/2020 (b)

  274,000    274,000 

(SOFR + 0.04%), 0.11%, 9/1/2020 (b)

  505,000    505,000 

(SOFR + 0.05%), 0.12%, 9/1/2020 (b)

  300,000    300,000 

(SOFR + 0.06%), 0.12%, 9/1/2020 (b)

  500,000    500,000 

(SOFR + 0.06%), 0.13%, 9/1/2020 (b)

  500,000    500,000 

(SOFR + 0.07%), 0.14%, 9/1/2020 (b)

  10,000    10,000 

(SOFR + 0.08%), 0.15%, 9/1/2020 (b)

  274,800    274,800 

(SOFR + 0.09%), 0.16%, 9/1/2020 (b)

  1,707,750    1,707,749 

(SOFR + 0.10%), 0.17%, 9/1/2020 (b)

  450,000    450,000 

(SOFR + 0.12%), 0.19%, 9/1/2020 (b)

  515,000    515,000 

(ICE LIBOR USD 1 Month + 0.04%), 0.20%, 9/1/2020 (b)

  900,000    900,000 

(SOFR + 0.20%), 0.27%, 9/1/2020 (b)

  250,000    250,000 

(SOFR + 0.24%), 0.31%, 9/1/2020 (b)

  200,000    200,000 

(ICE LIBOR USD 1 Month - 0.01%), 0.15%, 9/5/2020 (b)

  62,750    62,746 

DN, 0.52%, 9/9/2020 (c)

  1,000,000    999,884 

(ICE LIBOR USD 1 Month + 0.00%), 0.16%, 9/10/2020 (b)

  225,000    225,000 

(ICE LIBOR USD 1 Month - 0.06%), 0.11%, 9/11/2020 (b)

  1,408,000    1,408,002 

(ICE LIBOR USD 1 Month + 0.00%), 0.17%, 9/12/2020 (b)

  850,000    850,000 

(ICE LIBOR USD 1 Month + 0.00%), 0.17%, 9/12/2020(b)

  100,000    100,000 

(ICE LIBOR USD 1 Month + 0.00%), 0.16%, 9/14/2020 (b)

  500,000    500,000 

(ICE LIBOR USD 1 Month - 0.04%), 0.12%, 9/16/2020 (b)

  500,000    500,000 

(ICE LIBOR USD 1 Month + 0.02%), 0.18%, 9/19/2020 (b)

  630,320    630,387 

DN, 0.27%, 9/22/2020 (c)

  500,000    499,921 

(ICE LIBOR USD 1 Month - 0.03%), 0.15%, 9/24/2020 (b)

  250,000    250,000 

(ICE LIBOR USD 1 Month - 0.03%), 0.15%, 9/24/2020 (b)

  898,000    897,946 

(ICE LIBOR USD 1 Month + 0.01%), 0.19%, 9/24/2020 (b)

  470,000    470,003 

(ICE LIBOR USD 1 Month - 0.03%), 0.14%, 9/26/2020 (b)

  90,000    89,982 

(ICE LIBOR USD 1 Month - 0.03%), 0.14%, 9/26/2020 (b)

  250,000    250,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

U.S. Government Agency Securities — continued

 

(ICE LIBOR USD 1 Month - 0.03%), 0.14%, 9/26/2020 (b)

  500,000    500,000 

(ICE LIBOR USD 1 Month - 0.01%), 0.16%, 9/26/2020 (b)

  279,900    279,871 

(ICE LIBOR USD 1 Month - 0.02%), 0.15%, 9/27/2020 (b)

  1,000,000    1,000,000 

(ICE LIBOR USD 1 Month - 0.01%), 0.15%, 9/28/2020 (b)

  1,000,000    1,000,000 

DN, 0.52%, 9/30/2020 (c)

  1,000,000    999,581 

2.63%, 10/1/2020

  204,930    205,092 

DN, 0.32%, 10/2/2020 (c)

  375,000    374,897 

(ICE LIBOR USD 3 Month - 0.09%), 0.21%, 10/4/2020 (b)

  500,000    500,000 

DN, 0.30%, 10/5/2020 (c)

  2,999,500    2,998,650 

DN, 0.32%, 10/6/2020 (c)

  1,000,000    999,689 

(ICE LIBOR USD 3 Month - 0.10%), 0.17%, 10/9/2020 (b)

  1,300,000    1,300,000 

DN, 0.52%, 10/9/2020 (c)

  500,000    499,726 

(ICE LIBOR USD 3 Month - 0.10%), 0.17%, 10/13/2020 (b)

  700,000    700,000 

(ICE LIBOR USD 3 Month - 0.13%), 0.14%, 10/14/2020 (b)

  100,000    100,000 

DN, 0.20%, 10/14/2020 (c)

  500,000    499,881 

DN, 0.20%, 10/15/2020 (c)

  250,000    249,939 

DN, 0.15%, 10/30/2020 (c)

  255,000    254,937 

(ICE LIBOR USD 3 Month - 0.12%), 0.13%, 11/5/2020 (b)

  1,000,000    1,000,000 

(ICE LIBOR USD 3 Month - 0.20%), 0.05%, 11/9/2020 (b)

  500,000    500,029 

(SOFR + 0.01%), 0.08%, 11/12/2020 (b)

  370,000    370,000 

(ICE LIBOR USD 3 Month - 0.14%), 0.13%, 11/12/2020 (b)

  150,000    150,000 

DN, 0.11%, 11/13/2020 (c)

  250,000    249,944 

(ICE LIBOR USD 3 Month - 0.13%), 0.14%, 11/14/2020 (b)

  250,000    250,000 

(ICE LIBOR USD 3 Month - 0.20%), 0.09%, 11/16/2020(b)

  1,800,000    1,800,000 

(ICE LIBOR USD 3 Month - 0.20%), 0.09%, 11/16/2020 (b)

  1,000,000    1,000,000 

(ICE LIBOR USD 3 Month - 0.15%), 0.14%, 11/17/2020 (b)

  250,000    250,000 

(ICE LIBOR USD 3 Month - 0.15%), 0.12%, 11/19/2020 (b)

  150,000    150,000 

DN, 0.11%, 11/20/2020 (c)

  375,000    374,908 

(ICE LIBOR USD 3 Month - 0.13%), 0.16%, 11/20/2020 (b)

  400,000    400,000 

(ICE LIBOR USD 3 Month - 0.12%), 0.14%, 11/24/2020 (b)

  350,000    350,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

(ICE LIBOR USD 3 Month - 0.12%), 0.11%, 11/26/2020 (b)

  400,000    400,000 

DN, 0.11%, 11/27/2020 (c)

  150,000    149,960 

0.19%, 12/10/2020

  500,000    499,982 

0.20%, 12/11/2020

  250,000    249,997 

0.14%, 5/24/2021

  250,000    249,979 

1.13%, 7/14/2021

  290,000    292,469 

FHLMC

   

(SOFR + 0.03%), 0.10%, 9/1/2020 (b)

  127,000    126,998 

(SOFR + 0.04%), 0.11%, 9/1/2020 (b)

  1,000,000    1,000,000 

(SOFR + 0.27%), 0.34%, 9/1/2020 (b)

  1,250,000    1,250,000 

(SOFR + 0.28%), 0.35%, 9/1/2020 (b)

  1,000,000    1,000,000 

(SOFR + 0.30%), 0.37%, 9/1/2020 (b)

  2,500,000    2,500,419 

FNMA

   

(SOFR + 0.04%), 0.11%, 9/1/2020 (b)

  500,000    500,000 

(SOFR + 0.05%), 0.12%, 9/1/2020 (b)

  349,800    349,800 

(SOFR + 0.17%), 0.24%, 9/1/2020 (b)

  249,750    249,750 

(SOFR + 0.20%), 0.27%, 9/1/2020 (b)

  1,950,000    1,950,000 

(SOFR + 0.23%), 0.30%, 9/1/2020 (b)

  840,000    840,000 

(SOFR + 0.24%), 0.31%, 9/1/2020 (b)

  1,000,000    1,000,000 

(SOFR + 0.26%), 0.33%, 9/1/2020 (b)

  1,000,000    1,000,000 

(SOFR + 0.28%), 0.35%, 9/1/2020 (b)

  1,000,000    1,000,000 

(SOFR + 0.32%), 0.39%, 9/1/2020 (b)

  2,450,000    2,450,000 

(SOFR + 0.35%), 0.42%, 9/1/2020 (b)

  2,500,000    2,500,000 

(SOFR + 0.35%), 0.42%, 9/1/2020 (b)

  750,000    750,000 

1.25%, 5/6/2021

  400,375    403,439 

FNMA ACES (SOFR + 0.20%), 0.27%, 9/1/2020 (b)

  1,200,000    1,200,000 
   

 

 

 

Total U.S. Government Agency Securities
(Cost $67,870,365)

 

   67,870,365 
  

 

 

 

Repurchase Agreements — 29.3%

 

Agency Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 0.09%, dated 8/31/2020, due 9/1/20, repurchase price $2,550,006. [1]

  2,550,000    2,550,000 

Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 0.09%, dated 8/31/2020, due 9/1/20, repurchase price $604,710. [2]

  604,708    604,708 

Agency Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 0.09%, dated 8/31/2020, due 9/1/20, repurchase price $92,456. [3]

  92,456    92,456 

Bank of America NA, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $750,002, collateralized by GNMA, 3.00%, due 9/20/2046, with a value of $765,000.

  750,000    750,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    47 


Table of Contents

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

Bank of Montreal, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $115,000, collateralized by GNMA, 3.00%, due 6/20/2050, with a value of $117,300.

  115,000    115,000 

Bank of Montreal, 0.12%, dated 8/31/2020, due 9/7/2020, repurchase price $500,012, collateralized by U.S. Treasury Securities, 0.25% - 3.63%, due 1/15/2028 - 2/15/2050, with a value of $510,155.

  500,000    500,000 

Bank of Nova Scotia (The), 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $1,500,004, collateralized by FHLMC, 2.50% - 6.00%, due 5/1/2028 - 5/1/2050, FNMA, 2.22% - 5.50%, due 7/1/2028 - 5/1/2058 and U.S. Treasury Securities, 2.88%, due 10/31/2023 - 5/15/2028, with a value of $1,530,000.

  1,500,000    1,500,000 

Bank of Nova Scotia (The), 0.08%, dated 8/31/2020, due 9/4/2020, repurchase price $1,000,009, collateralized by FHLMC, 3.00% - 6.50%, due 5/1/2021 - 5/1/2050, FNMA, 2.00% - 5.50%, due 6/1/2025 - 6/1/2050 and GNMA, 2.00% - 5.00%, due 10/20/2039 - 8/20/2050, with a value of $1,020,000.

  1,000,000    1,000,000 

Barclays Capital, Inc., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $106,637, collateralized by U.S. Treasury Securities, 0.00%, due 11/15/2022 - 5/15/2044, with a value of $108,770.

  106,637    106,637 

Barclays Capital, Inc., 0.08%, dated 8/31/2020, due 9/4/2020, repurchase price $500,004, collateralized by GNMA, 2.50% - 5.50%, due 1/20/2046 - 8/20/2050, with a value of $510,000.

  500,000    500,000 

BMO Capital Markets Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $400,001, collateralized by FFCB, 0.24%, due 7/13/2022, FHLMC, 1.50% - 6.00%, due 6/25/2027 - 9/1/2050, FNMA, 0.30% - 6.50%, due 1/1/2024 - 9/1/2050 and GNMA, 0.75% - 10.57%, due 7/15/2024 - 7/20/2070 with a value of $408,759.

  400,000    400,000 

BMO Capital Markets Corp., 0.12%, dated 8/31/2020, due 9/7/2020, repurchase price $600,014, collateralized by FFCB, 0.24%, due 7/13/2022, FHLB, 1.38%, due 9/28/2020, FHLMC, 2.00% - 5.00%, due 9/15/2028 - 9/1/2050, FNMA, 1.50% - 6.10%, due 11/1/2030 - 8/1/2050 and GNMA, 0.66% - 8.50%, due 11/15/2021 - 7/20/2070 with a value of $612,531.

  600,000    600,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

BMO Capital Markets Corp., 0.13%, dated 8/31/2020, due 9/7/2020, repurchase price $500,013, collateralized by FHLMC, 0.00% - 4.37%, due 6/15/2028 - 8/15/2054, FNMA, 1.21% - 6.30%, due 9/25/2027 - 9/1/2050 and GNMA, 1.15% - 5.50%, due 4/20/2034 - 7/20/2070, with a value of $512,377.

  500,000    500,000 

BMO Capital Markets Corp., 0.13%, dated 8/31/2020, due 9/7/2020, repurchase price $500,013, collateralized by FFCB, 0.24%, due 7/13/2022, FHLB, 2.38%, due 2/8/2021, FHLMC, 1.00% - 4.50%, due 4/25/2025 - 9/25/2050, FNMA, 1.32% - 6.50%, due 5/1/2021 - 9/25/2050 and GNMA, 0.56% - 6.05%, due 2/15/2022 - 6/20/2070 with a value of $513,618.

  500,000    500,000 

BNP Paribas SA, 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $510,001, collateralized by U.S. Treasury Securities, 0.63% - 3.00%, due 6/15/2021 - 2/15/2049, with a value of $520,201.

  510,000    510,000 

BNP Paribas SA, 0.11%, dated 8/31/2020, due 9/7/2020, repurchase price $1,000,021, collateralized by FFCB, 2.99% - 3.54%, due 7/18/2034 - 3/9/2038, FHLB, 3.90% - 4.13%, due 10/24/2029 - 2/25/2036, FHLMC, 0.38% - 7.00%, due 5/5/2023 - 5/1/2050, FNMA, 0.00% - 9.00%, due 3/1/2022 - 7/25/2050, GNMA, 0.79% - 7.00%, due 7/15/2024 - 5/20/2050 and U.S. Treasury Securities, 0.00% - 8.13%, due 9/15/2020 - 5/15/2049, with a value of $1,020,546.

  1,000,000    1,000,000 

BNP Paribas SA, 0.12%, dated 8/31/2020, due 9/7/2020, repurchase price $1,000,023, collateralized by FHLB, 3.54%, due 5/28/2036, FHLMC, 2.50% - 7.00%, due 3/15/2029 - 8/1/2050, FNMA, 0.00% - 6.00%, due 10/25/2020 - 10/1/2056, GNMA, 2.50% - 6.50%, due 5/15/2025 - 2/20/2069 and U.S. Treasury Securities, 0.00% - 3.38%, due 10/31/2020 - 2/15/2049 with a value of $1,020,512.

  1,000,000    1,000,000 

BNP Paribas SA, 0.12%, dated 8/31/2020, due 9/7/2020, repurchase price $2,000,047, collateralized by FHLB, 3.90% - 4.13%, due 5/25/2035 - 2/25/2036, FHLMC, 3.00% - 7.00%, due 3/15/2029 - 3/1/2050, FNMA, 2.50% - 6.50%, due 10/25/2020 - 8/1/2050, GNMA, 2.88% - 5.50%, due 5/20/2042 - 10/20/2067 and U.S. Treasury Securities, 0.00% - 4.38%, due 9/15/2020 - 11/15/2048 with a value of $2,040,605.

  2,000,000    2,000,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

BNP Paribas SA, 0.14%, dated 8/31/2020, due 9/7/2020, repurchase price $2,000,054, collateralized by FHLB, 3.93%, due 7/11/2033, FHLMC, 0.00% - 7.00%, due 12/11/2025 - 7/1/2050, FNMA, 0.00% - 6.00%, due 10/25/2020 - 8/1/2050, GNMA, 2.13% - 8.00%, due 12/15/2026 - 8/20/2050 and U.S. Treasury Securities, 0.00% - 7.50%, due 9/17/2020 - 8/15/2050 with a value of $2,040,726.

  2,000,000    2,000,000 

BNP Paribas SA, 0.12%, dated 8/31/2020, due 11/6/2020, repurchase price $1,000,223, collateralized by FFCB, 3.54%, due 1/25/2038, FHLB, 3.90% - 5.25%, due 12/9/2022 - 2/25/2036, FHLMC, 0.00% - 7.00%, due 3/15/2028 - 4/1/2050, FNMA, 0.00% - 7.50%, due 9/1/2022 - 8/1/2050, GNMA, 0.82% - 6.50%, due 5/15/2023 - 1/20/2069 and U.S. Treasury Securities, 0.00% - 7.88%, due 9/15/2020 - 11/15/2049, with a value of $1,020,344.

  1,000,000    1,000,000 

BNP Paribas SA, 0.12%, dated 8/31/2020, due 12/1/2020, repurchase price $500,153, collateralized by FHLB, 4.00%, due 7/19/2033, FHLMC, 0.38% - 6.00%, due 5/5/2023 - 4/1/2050, FNMA, 0.00% - 7.00%, due 11/15/2030 - 8/1/2050, GNMA, 0.79% - 9.50%, due 9/15/2024 - 5/20/2050 and U.S. Treasury Securities, 0.00% - 3.13%, due 12/31/2020 - 5/15/2050 with a value of $510,180.

  500,000    500,000 

Canadian Imperial Bank of Commerce, 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $350,001, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 11/30/2021 - 11/15/2049, with a value of $357,001.

  350,000    350,000 

Canadian Imperial Bank of Commerce, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $675,002, collateralized by FHLMC, 2.90% - 4.00%, due 1/1/2029 - 7/1/2050, FNMA, 2.00% - 4.50%, due 6/1/2021 - 7/1/2050 and GNMA, 3.00% - 4.71%, due 10/20/2045 - 8/20/2069, with a value of $688,502.

  675,000    675,000 

Citigroup Global Markets Holdings, Inc., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $500,001, collateralized by U.S. Treasury Securities, 0.13% - 7.13%, due 7/15/2021 - 2/28/2023, with a value of $510,000.

  500,000    500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Credit Agricole Corporate and Investment Bank, 0.08%, dated 8/31/2020, due 9/1/2020, repurchase price $1,000,002, collateralized by U.S. Treasury Securities, 0.25% - 0.88%, due 7/15/2021 - 7/15/2029, with a value of $1,020,000.

  1,000,000    1,000,000 

Daiwa Capital Markets America, Inc., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $3,000,008, collateralized by FFCB, 0.58% - 1.14%, due 6/18/2026 - 8/20/2029, FHLB, 0.13% - 3.00%, due 8/20/2021 - 10/12/2021, FHLMC, 1.00% - 5.50%, due 7/1/2024 - 9/1/2050, FNMA, 0.88% - 6.50%, due 3/1/2022 - 3/1/2052, GNMA, 2.00% - 6.00%, due 10/15/2033 - 8/20/2050 and U.S. Treasury Securities, 0.00% - 3.63%, due 9/17/2020 - 5/15/2050, with a value of $3,060,008.

  3,000,000    3,000,000 

Goldman Sachs & Co. LLC, 0.04%, dated 8/31/2020, due 9/1/2020, repurchase price $800,001, collateralized by U.S. Treasury Securities, 0.00% - 2.75%, due 11/27/2020 - 5/15/2026, with a value of $816,000.

  800,000    800,000 

Goldman Sachs & Co. LLC, 0.07%, dated 8/31/2020, due 9/3/2020, repurchase price $1,500,009, collateralized by U.S. Treasury Securities, 0.13% - 5.38%, due 7/31/2021 - 2/15/2048, with a value of $1,530,000.

  1,500,000    1,500,000 

Goldman Sachs & Co. LLC, 0.08%, dated 8/31/2020, due 9/3/2020, repurchase price $1,500,010, collateralized by FHLMC, 2.50% - 5.50%, due 5/1/2027 - 2/1/2050 and FNMA, 2.50% - 6.50%, due 3/1/2027 - 2/1/2057, with a value of $1,530,000.

  1,500,000    1,500,000 

ING Financial Markets LLC, 0.12%, dated 8/31/2020, due 9/4/2020, repurchase price $350,005, collateralized by FHLMC, 2.50% - 4.50%, due 9/1/2043 - 7/1/2050, FNMA, 2.50% - 4.50%, due 8/1/2035 - 1/1/2057 and GNMA, 3.00%, due 10/20/2049, with a value of $357,036.

  350,000    350,000 

ING Financial Markets LLC, 0.10%, dated 8/31/2020, due 9/21/2020, repurchase price $300,018, collateralized by FHLMC, 2.78% - 4.00%, due 6/1/2047 - 1/1/2050, FNMA, 2.51% - 4.50%, due 5/1/2032 - 9/1/2057 and GNMA, 3.00%, due 10/20/2049, with a value of $306,027.

  300,000    300,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    49 


Table of Contents

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

ING Financial Markets LLC, 0.10%, dated 8/31/2020, due 9/21/2020, repurchase price $350,020, collateralized by FHLMC, 3.50% - 4.50%, due 9/1/2042 - 4/1/2049, FNMA, 3.38% - 5.00%, due 6/1/2042 - 9/1/2057 and GNMA, 5.00%, due 1/20/2049, with a value of $357,031.

  350,000    350,000 

ING Financial Markets LLC, 0.11%, dated 8/31/2020, due 9/23/2020, repurchase price $300,021, collateralized by FHLMC, 2.50% - 4.50%, due 12/1/2042 - 7/1/2050, FNMA, 3.00% - 5.00%, due 5/1/2042 - 7/1/2056 and GNMA, 3.00%, due 10/20/2049, with a value of $306,033.

  300,000    300,000 

Metropolitan Life Insurance Co., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $1,000,003, collateralized by U.S. Treasury Securities, 0.00%, due 11/15/2027 - 11/15/2047, with a value of $1,020,003.

  1,000,000    1,000,000 

Mitsubishi UFJ Trust & Banking Corp., 0.08%, dated 8/31/2020, due 9/1/2020, repurchase price $1,300,003, collateralized by GNMA, 2.50% - 5.00%, due 8/15/2038 - 7/20/2050, with a value of $1,322,995.

  1,300,000    1,300,000 

Natixis SA, 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $850,002, collateralized by U.S. Treasury Securities, 0.00% - 6.63%, due 3/31/2021 - 8/15/2050, with a value of $867,002.

  850,000    850,000 

Natixis SA, 0.12%, dated 8/31/2020, due 11/23/2020, repurchase price $1,000,280, collateralized by FHLB, 4.08%, due 5/25/2033, FHLMC, 0.00% - 8.00%, due 10/1/2021 - 8/1/2050, FNMA, 0.00% - 8.50%, due 12/1/2020 - 10/25/2058, GNMA, 1.75% - 8.50%, due 4/15/2022 - 7/20/2069, Tennessee Valley Authority, 4.25%, due 9/15/2065 and U.S. Treasury Securities, 0.00% - 6.50%, due 1/15/2021 - 8/15/2050, with a value of $1,023,799.

  1,000,000    1,000,000 

Natwest Markets Securities, Inc., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $1,000,002, collateralized by U.S. Treasury Securities, 0.00% - 3.38%, due 9/15/2020 - 11/15/2048, with a value of $1,020,002.

  1,000,000    1,000,000 

Nomura Securities Co. Ltd., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $500,001, collateralized by U.S. Treasury Securities, 0.00% - 2.75%, due 9/15/2020 - 8/15/2049, with a value of $510,001.

  500,000    500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Nomura Securities Co. Ltd., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $3,500,009, collateralized by FFCB, 0.00%, due 5/3/2021, FHLMC, 2.00% - 9.50%, due 9/15/2020 - 9/1/2050, FNMA, 1.50% - 9.50%, due 9/25/2020 - 2/1/2052, GNMA, 1.30% - 10.00%, due 9/15/2020 - 1/20/2070 and U.S. Treasury Securities, 2.00% - 6.13%, due 3/15/2021 - 11/15/2027 with a value of $3,570,009.

  3,500,000    3,500,000 

Norinchukin Bank (The), 0.21%, dated 8/31/2020, due 9/4/2020, repurchase price $550,013, collateralized by U.S. Treasury Securities, 0.38% - 1.50%, due 1/15/2021 - 1/15/2027, with a value of $560,652.

  550,000    550,000 

Norinchukin Bank (The), 0.21%, dated 8/31/2020, due 9/11/2020, repurchase price $250,016, collateralized by U.S. Treasury Securities, 0.38% - 1.50%, due 1/15/2021 - 1/15/2027, with a value of $254,842.

  250,000    250,000 

Norinchukin Bank (The), 0.15%, dated 8/31/2020, due 10/2/2020, repurchase price $200,027, collateralized by U.S. Treasury Securities, 0.38% - 1.50%, due 1/15/2021 - 1/15/2027, with a value of $203,873.

  200,000    200,000 

Norinchukin Bank (The), 0.15%, dated 8/31/2020, due 10/5/2020, repurchase price $500,073, collateralized by U.S. Treasury Securities, 0.38% - 1.50%, due 1/15/2021 - 1/15/2027, with a value of $509,683.

  500,000    500,000 

Norinchukin Bank (The), 0.15%, dated 8/31/2020, due 10/16/2020, repurchase price $450,086, collateralized by U.S. Treasury Securities, 0.38% - 1.50%, due 1/15/2021 - 1/15/2027, with a value of $458,715.

  450,000    450,000 

Norinchukin Bank (The), 0.14%, dated 8/31/2020, due 10/27/2020, repurchase price $300,067, collateralized by U.S. Treasury Securities, 0.38% - 1.50%, due 1/15/2021 - 1/15/2027, with a value of $305,810.

  300,000    300,000 

RBC Capital Markets LLC, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $250,001, collateralized by FHLMC, 0.52% - 2.86%, due 3/25/2023 - 1/15/2043 and U.S. Treasury Securities, 2.88%, due 5/15/2049, with a value of $257,499.

  250,000    250,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — continued

 

RBC Capital Markets LLC, 0.15%, dated 8/31/2020, due 9/7/2020, repurchase price $2,000,058, collateralized by FHLMC, 0.34% - 5.88%, due 6/25/2022 - 1/25/2046, FNMA, 2.50% - 6.60%, due 10/1/2020 - 5/25/2050, GNMA, 0.68% - 5.50%, due 1/20/2039 - 8/20/2065 and U.S. Treasury Securities, 0.00% - 2.63%, due 10/1/2020 - 2/15/2029 with a value of $2,059,573.

  2,000,000    2,000,000 

Royal Bank of Canada, 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $2,950,007, collateralized by U.S. Treasury Securities, 0.13% - 3.00%, due 3/31/2021 - 8/15/2048, with a value of $3,009,008.

  2,950,000    2,950,000 

Societe Generale SA, 0.08%, dated 8/31/2020, due 9/2/2020, repurchase price $1,000,004, collateralized by U.S. Treasury Securities, 0.00% - 5.00%, due 9/10/2020 - 2/15/2050, with a value of $1,020,000.

  1,000,000    1,000,000 

Societe Generale SA, 0.12%, dated 8/31/2020, due 9/2/2020, repurchase price $500,003, collateralized by U.S. Treasury Securities, 0.00% - 8.13%, due 9/15/2020 - 8/15/2050, with a value of $510,000.

  500,000    500,000 

Societe Generale SA, 0.08%, dated 8/31/2020, due 9/4/2020, repurchase price $1,000,009, collateralized by U.S. Treasury Securities, 0.00% - 5.00%, due 9/3/2020 - 2/15/2050, with a value of $1,020,000.

  1,000,000    1,000,000 

Societe Generale SA, 0.12%, dated 8/31/2020, due 9/4/2020, repurchase price $500,007, collateralized by U.S. Treasury Securities, 0.00% - 8.00%, due 9/24/2020 - 2/15/2046, with a value of $510,000.

  500,000    500,000 

Sumitomo Mitsui Banking Corp., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $1,100,002, collateralized by U.S. Treasury Securities, 0.50% - 3.75%, due 1/31/2025 - 8/15/2044, with a value of $1,122,002.

  1,100,000    1,100,000 

Sumitomo Mitsui Banking Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $3,000,008, collateralized by GNMA, 3.00% - 4.50%, due 10/20/2042 - 11/20/2049, with a value of $3,060,008.

  3,000,000    3,000,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Treasury Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 0.07%, dated 8/31/2020, due 9/1/20, repurchase price $902,067. [4]

  902,065    902,065 
   

 

 

 

Total Repurchase Agreements
(Cost $52,955,866)

 

   52,955,866 
  

 

 

 

U.S. Treasury Obligations — 3.1%

 

U.S. Treasury Floating Rate Notes (US Treasury 3 Month Bill Money Market Yield + 0.14%), 0.24%, 9/1/2020 (b)

  25,450    25,438 

U.S. Treasury Notes

   

1.38%, 9/15/2020

  150,000    149,986 

2.00%, 9/30/2020

  500,000    500,143 

1.63%, 10/15/2020

  357,214    357,207 

1.38%, 10/31/2020

  691,000    690,680 

1.75%, 10/31/2020

  672,000    672,098 

2.88%, 10/31/2020

  359,000    359,704 

1.75%, 11/15/2020

  62,000    62,011 

2.63%, 11/15/2020

  645,000    646,266 

1.63%, 11/30/2020

  330,000    329,984 

2.00%, 11/30/2020

  100,000    100,087 

2.75%, 11/30/2020

  285,000    285,765 

1.88%, 12/15/2020

  395,000    395,259 

2.25%, 4/30/2021

  600,000    608,419 

2.13%, 8/15/2021

  100,000    101,889 

2.75%, 8/15/2021

  275,000    281,832 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $5,566,768)

 

   5,566,768 
  

 

 

 

Short-Term Investments — 29.7%

 

U.S. Treasury Obligations — 29.7%

 

U.S. Treasury Bills

   

0.08%, 9/1/2020 (c)

  200,000    200,000 

0.15%, 9/3/2020 (c)

  1,651,500    1,651,486 

0.12%, 9/8/2020 (c)

  5,000,000    4,999,883 

0.14%, 9/10/2020 (c)

  2,573,050    2,572,957 

0.12%, 9/15/2020 (c)

  1,900,000    1,899,910 

0.18%, 9/17/2020 (c)

  4,000,000    3,999,689 

0.10%, 9/22/2020 (c)

  1,100,000    1,099,936 

0.15%, 10/1/2020 (c)

  6,778,000    6,777,128 

0.10%, 10/13/2020 (c)

  1,000,000    999,883 

0.16%, 10/20/2020 (c)

  2,500,000    2,499,473 

0.15%, 10/27/2020 (c)

  3,000,000    2,999,299 

0.17%, 11/3/2020 (c)

  2,775,000    2,774,174 

0.18%, 11/10/2020 (c)

  4,000,000    3,998,600 

0.19%, 11/17/2020 (c)

  5,000,000    4,997,985 

0.11%, 12/1/2020 (c)

  2,000,000    1,999,444 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    51 


Table of Contents

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited) (continued)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Short-Term Investments — continued

 

U.S. Treasury Obligations — continued

 

0.11%, 1/5/2021 (c)

  5,000,000    4,998,075 

0.12%, 1/19/2021 (c)

  2,173,000    2,171,986 

0.12%, 2/25/2021 (c)

  1,000,000    999,410 

0.12%, 3/4/2021 (c)

  2,200,000    2,198,716 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $53,838,034)

 

   53,838,034 
  

 

 

 

Total Short-Term Investments
(Cost $53,838,034)

 

   53,838,034 
  

 

 

 

Total Investments — 99.6%
(Cost $180,231,033)*

 

   180,231,033 

Other Assets Less Liabilities — 0.4%

 

   687,904 
  

 

 

 

NET ASSETS — 100.0%

 

   180,918,937 
  

 

 

 

 

Percentages

indicated are based on net assets.

 

Abbreviations

ACES Alternative Credit Enhancement Securities
DN Discount Notes
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
SOFR Secured Overnight Financing Rate
USD United States Dollar
(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2020.
(c) The rate shown is the effective yield as of August 31, 2020.
* The cost of securities is substantially the same for federal income tax purposes.

Additional Investment Information:

[1] Agency Joint Trading Account I — At August 31, 2020, certain Funds had undivided interests in the Agency Joint Trading Account I with a maturity date of September 1, 2020, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $2,550,000  $2,550,006   $2,601,533 

Repurchase Agreements — At August 31, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account I were as follows (amounts in thousands):

 

Counterparty  Interest
Rate
  JPMorgan
U.S. Government Money
Market Fund
 

BNP Paribas SA

   0.09 $900,000 

Credit Agricole Corporate and Investment Bank

   0.09  900,000 

TD Securities (USA) LLC

   0.09  750,000 
   

 

 

 

Total

   $2,550,000 
   

 

 

 

At August 31, 2020, the Agency Joint Trading Account I was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FFCB

   3.98%    4/5/2038 

FHLB

   3.50%    2/22/2029 

FHLMC

   0.00% - 7.00%    4/1/2022 - 8/1/2050 

FNMA

   2.00% - 6.00%    10/25/2020 - 10/1/2056 

GNMA

   0.79% - 6.50%    9/15/2024 - 11/20/2067 

U.S. Treasury Securities

   0.00% - 3.38%    1/21/2021 - 11/15/2048 

[2] Agency Joint Trading Account II — At August 31, 2020, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of September 1, 2020, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $604,708  $604,710   $616,829 

Repurchase Agreements — At August 31, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account II were as follows (amounts in thousands):

 

Counterparty  Interest
Rate
  JPMorgan
U.S. Government Money
Market Fund
 

Bofa Securities, Inc.

   0.09 $445,132 

Citibank NA

   0.09  75,589 

Citigroup Global Markets Holdings, Inc.

   0.09  83,987 
   

 

 

 

Total

   $604,708 
   

 

 

 

At August 31, 2020, the Agency Joint Trading Account II was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FHLB

   2.13% - 3.60%    12/14/2029 - 5/10/2038 

FHLMC

   1.50% - 5.00%    2/1/2026 - 9/1/2050 

FNMA

   2.00% - 6.10%    4/1/2021 - 9/1/2050 

GNMA

   2.49% - 6.50%    3/20/2048 - 6/15/2049 

U.S. Treasury Securities

   1.75%    6/15/2022 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents

[3] Agency Joint Trading Account III — At August 31, 2020, certain Funds had undivided interests in the Agency Joint Trading Account III with a maturity date of September 1, 2020, as follows (amounts in thousands):

 

Fund  Principal
Amount
   Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $92,456   $92,456   $94,335 

Repurchase Agreements — At August 31, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account III were as follows (amounts in thousands):

 

Counterparty  Interest
Rate
  JPMorgan
U.S. Government Money
Market Fund
 

BNP Paribas SA

   0.09 $92,456 

At August 31, 2020, the Agency Joint Trading Account III was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FHLMC

   0.66% - 7.50%    11/1/2023 - 6/1/2050 

FNMA

   0.00% - 7.50%    10/25/2020 - 8/1/2050 

[4] Treasury Joint Trading Account III — At August 31, 2020, certain Funds had undivided interests in the Treasury Joint Trading Account III with a maturity date of September 1, 2020, as follows (amounts in thousands):

 

Fund  Principal
Amount
   Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $902,065   $902,067   $920,106 

Repurchase Agreements — At August 31, 2020, the Principal Amounts of certain Funds’ interests in the Treasury Joint Trading Account III were as follows (amounts in thousands):

 

Counterparty  Interest
Rate
  JPMorgan
U.S. Government Money
Market Fund
 

Credit Agricole Corporate and Investment Bank

   0.07 $656,047 

Societe Generale SA

   0.07  246,018 
   

 

 

 

Total

   $902,065 
   

 

 

 

At August 31, 2020, the Treasury Joint Trading Account III was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

U.S. Treasury Securities

   0.00% - 8.00%    9/10/2020 - 2/15/2050 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2020 J.P. MORGAN MONEY MARKET FUNDS    53 


Table of Contents

JPMorgan U.S. Treasury Plus Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2020 (Unaudited)

 

INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Repurchase Agreements — 36.0%

 

Bank of Nova Scotia (The), 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $522,934, collateralized by U.S. Treasury Securities, 0.00% - 3.13%, due 1/26/2021 - 5/15/2048, with a value of $533,391.

  522,933    522,933 

Bofa Securities, Inc., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $500,001, collateralized by U.S. Treasury Securities, 0.13% - 3.00%, due 4/15/2021 - 8/15/2028, with a value of $510,000.

  500,000    500,000 

Bofa Securities, Inc., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $521,733, collateralized by U.S. Treasury Securities, 0.00% - 2.88%, due 9/30/2021 - 2/15/2048, with a value of $532,167.

  521,732    521,732 

Deutsche Bank Securities, Inc., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $748,222, collateralized by U.S. Treasury Securities, 0.00% - 2.25%, due 12/24/2020 - 11/15/2048, with a value of $763,186.

  748,221    748,221 

Fixed Income Clearing Corp., 0.09%, dated 8/31/2020, due 9/1/2020, repurchase price $2,000,005, collateralized by U.S. Treasury Securities, 0.50% - 2.38%, due 5/15/2027 - 8/15/2027, with a value of $2,040,000.

  2,000,000    2,000,000 

Goldman Sachs & Co. LLC, 0.04%, dated 8/31/2020, due 9/1/2020, repurchase price $700,001, collateralized by U.S. Treasury Securities, 0.00% - 2.00%, due 11/15/2020 - 5/15/2046, with a value of $714,000.

  700,000    700,000 

J.P. Morgan Securities LLC, 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.00%, due 11/17/2020, with a value of $255,001.

  250,000    250,000 

Natixis SA, 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.13% - 2.50%, due 6/30/2021 - 7/31/2026, with a value of $255,001.

  250,000    250,000 

Nomura Securities Co. Ltd., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $350,001, collateralized by U.S. Treasury Securities, 0.00% - 2.88%, due 9/8/2020 - 2/15/2044, with a value of $357,001.

  350,000    350,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Norinchukin Bank (The), 0.21%, dated 8/31/2020, due 9/11/2020, repurchase price $250,016, collateralized by U.S. Treasury Securities, 2.00% - 2.25%, due 11/15/2026 - 8/15/2049, with a value of $253,930.

  250,000    250,000 

Norinchukin Bank (The), 0.17%, dated 8/31/2020, due 9/18/2020, repurchase price $250,021, collateralized by U.S. Treasury Securities, 2.00% - 2.25%, due 11/15/2026 - 8/15/2049, with a value of $253,930.

  250,000    250,000 

Norinchukin Bank (The), 0.14%, dated 8/31/2020, due 10/27/2020, repurchase price $200,044, collateralized by U.S. Treasury Securities, 2.00% - 2.25%, due 11/15/2026 - 8/15/2049, with a value of $203,144.

  200,000    200,000 

Societe Generale SA, 0.08%, dated 8/31/2020, due 9/4/2020, repurchase price $500,004, collateralized by U.S. Treasury Securities, 0.00% - 6.25%, due 9/15/2020 - 2/15/2050, with a value of $510,000.

  500,000    500,000 

Sumitomo Mitsui Banking Corp., 0.07%, dated 8/31/2020, due 9/1/2020, repurchase price $3,250,006, collateralized by U.S. Treasury Securities, 0.00% - 2.75%, due 9/24/2020 - 11/15/2024, with a value of $3,315,007.

  3,250,000    3,250,000 

Treasury Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 0.07%, dated 8/31/2020, due 9/1/20, repurchase price $1,871,995. [1]

  1,871,991    1,871,991 

Treasury Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 0.07%, dated 8/31/2020, due 9/1/20, repurchase price $1,158,266. [3]

  1,158,264    1,158,264 
   

 

 

 

Total Repurchase Agreements
(Cost $13,323,141)

 

   13,323,141 
  

 

 

 

U.S. Treasury Obligations 16.2%

 

U.S. Treasury Floating Rate Notes

   

(US Treasury 3 Month Bill Money Market Yield + 0.11%), 0.21%, 9/1/2020 (b)

  3,000    3,000 

(US Treasury 3 Month Bill Money Market Yield + 0.12%), 0.22%, 9/1/2020 (b)

  800,000    799,971 

(US Treasury 3 Month Bill Money Market Yield + 0.14%), 0.24%, 9/1/2020 (b)

  1,250,000    1,249,808 

(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.25%, 9/1/2020 (b)

  500,000    500,100 

(US Treasury 3 Month Bill Money Market Yield + 0.22%), 0.32%, 9/1/2020 (b)

  400,000    399,879 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54   J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2020


Table of Contents
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

U.S. Treasury Obligations — continued

 

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.40%, 9/1/2020 (b)

  300,000    300,185 

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.16%, 10/31/2020 (b)

  350,000    350,002 

U.S. Treasury Notes

   

1.38%, 9/15/2020

  541,000    540,950 

1.63%, 10/15/2020

  375,469    375,461 

1.38%, 10/31/2020

  171,000    170,920 

1.75%, 10/31/2020

  122,000    122,020 

1.75%, 11/15/2020

  150,000    150,028 

2.63%, 11/15/2020

  691,000    692,363 

1.63%, 11/30/2020

  28,000    28,000 

2.00%, 11/30/2020

  170,000    170,141 

2.75%, 11/30/2020

  116,000    116,308 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $5,969,136)

 

   5,969,136 
  

 

 

 

Short-Term Investments — 50.6%

 

U.S. Treasury Obligations — 50.6%

 

U.S. Treasury Bills

   

0.13%, 9/1/2020 (c)

  1,799,500    1,799,500 

0.07%, 9/8/2020 (c)

  25,000    25,000 

0.14%, 9/10/2020 (c)

  1,125,000    1,124,962 

0.17%, 9/17/2020 (c)

  2,689,500    2,689,302 

0.10%, 9/22/2020 (c)

  1,095,650    1,095,587 

0.14%, 9/24/2020 (c)

  2,366,250    2,366,036 

0.08%, 9/29/2020 (c)

  1,000,000    999,938 

0.17%, 10/6/2020 (c)

  250,000    249,959 

0.15%, 10/8/2020 (c)

  392,000    391,940 

0.14%, 10/13/2020 (c)

  95,000    94,984 

0.11%, 10/15/2020 (c)

  300,000    299,958 

0.15%, 10/20/2020 (c)

  150,000    149,970 

0.10%, 10/22/2020 (c)

  500,000    499,933 

0.17%, 11/3/2020 (c)

  843,500    843,249 

0.18%, 11/10/2020 (c)

  1,075,000    1,074,628 

0.11%, 11/12/2020 (c)

  839,200    839,011 

0.19%, 11/17/2020 (c)

  500,000    499,797 

0.11%, 11/19/2020 (c)

  250,000    249,942 

0.11%, 12/1/2020 (c)

  693,000    692,807 

0.11%, 12/8/2020 (c)

  1,190,000    1,189,660