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JPMorgan Trust IV

Filed: 1 Nov 21, 12:30pm
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, 2021 through August 31, 2021

 

 

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.

a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.

 


Table of Contents

Semi-Annual Report

J.P. Morgan Money Market Funds

August 31, 2021 (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

LOGO


Table of Contents

CONTENTS

 

Letter to Shareholders     1 

Fund Facts:

    

JPMorgan Prime Money Market Fund

     2 

JPMorgan Institutional Tax Free Money Market Fund

     3 

JPMorgan Securities Lending Money Market Fund

     4 

JPMorgan Liquid Assets Money Market Fund

     5 

JPMorgan U.S. Government Money Market Fund

     6 

JPMorgan U.S. Treasury Plus Money Market Fund

     7 

JPMorgan Federal Money Market Fund

     8 

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

     9 

JPMorgan Tax Free Money Market Fund

     10 

JPMorgan Municipal Money Market Fund

     11 

JPMorgan California Municipal Money Market Fund

     12 

JPMorgan New York Municipal Money Market Fund

     13 
Schedules of Portfolio Investments     14 
Financial Statements     86 
Financial Highlights     118 
Notes to Financial Statements     150 
Schedule of Shareholder Expenses     164 
Board Approval of Investment Advisory Agreements     170 

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.

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 8, 2021  (Unaudited)

 

Dear Shareholders,

Amid ultra-low interest rates and the continuing global economic rebound, financial markets largely provided positive returns for the six months ended August 31, 2021. While the global effort to contain the pandemic has shown uneven results and supply chain disruptions have weighed on economic activity, consumer spending accelerated further and U.S. corporate earnings reached record highs during the period.

 

LOGO  

 

“Regardless of the economic backdrop, JPMorgan Global Liquidity remains ready to seek to deploy our global resources and expertise in seeking to deliver quality short-term fixed income solutions.” — John T. Donohue

Within fixed income markets, lower rated bonds and below investment grade bonds (also known as “junk bonds”) largely outperformed higher rated bonds and U.S. Treasury bonds as investors sought out higher yields. For its part, the U.S. Federal Reserve held policy interest rates at near zero throughout the six-month reporting period but recently indicated that it may wind down its $120 billion-a-month asset purchasing program in 2021 in response to improved conditions in the labor market and rising inflationary pressures.

Meanwhile, the U.S. Congress wrangled with two broad infrastructure spending measures sought by President Biden and, subsequent to the end of the reporting period, managed to extend the debt ceiling to avoid a first-ever U.S. debt default.

At this time, we expect the global economy will continue its strong rebound from the pandemic downturn, though the speed and reach of the recovery are likely to be determined by vaccination rates and the stability of world-wide logistical networks. Various economic data indicate that the U.S. economy is likely to see accelerating investment spending, rebuilding of inventories and continued strength in consumer demand through the end of 2021.

Regardless of the economic backdrop, JPMorgan Global Liquidity remains ready to seek to deploy our global resources and expertise in seeking to deliver quality short-term fixed income solutions. 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

 

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    1


Table of Contents

JPMorgan Prime Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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  Academy, Agency, Capital, Class C, Empower, IM, Institutional Class, Morgan, Premier and Reserve
Net Assets as of August 31, 2021  $80.0 Billion
Weighted Average Maturity^  49 calendar days
Weighted Average Life^^  73 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   39.6
2–7 calendar days   9.7 
8–30 calendar days   7.3 
31–60 calendar days   18.0 
61–90 calendar days   8.2 
91–180 calendar days   8.8 
181+ calendar days   8.4 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Academy Shares   0.07
Agency Shares   0.01 
Capital Shares   0.07 
Class C Shares   0.01 
Empower Shares   0.07 
IM Shares   0.07 
Institutional Class Shares   0.05 
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, 2021.

(1) 

The yields for Academy Shares, Agency Shares, Capital Shares, Class C Shares, Empower 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 (0.04)%, (0.14)%, (0.04)%, (5.43)%, (14.47)%, 0.01%, (0.09)%, (0.36)%, (0.29)% and (3.12)% for Academy Shares, Agency Shares, Capital Shares, Class C Shares, Empower 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.

 

 
2    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $2.1 Billion
Weighted Average Maturity^  33 calendar days
Weighted Average Life^^  33 calendar days

 

MATURITY SCHEDULE**^

 
1 calendar day   11.0
2–7 calendar days   3.7 
8–30 calendar days   60.7 
31–60 calendar days   10.3 
61–90 calendar days   3.0 
91–180 calendar days   7.2 
181+ calendar days   4.1 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency Shares   0.01
Capital Shares   0.02 
IM Shares   0.02 
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.

*

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, 2021.

(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 (0.39)%, (0.14)%, (0.08)% and (0.19)% 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.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    3


Table of Contents

JPMorgan Securities Lending Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $3.1 Billion
Weighted Average Maturity^  40 calendar days
Weighted Average Life^^  75 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   56.2
2–7 calendar days   3.7 
8–30 calendar days   9.8 
31–60 calendar days   9.6 
61–90 calendar days   3.8 
91–180 calendar days   9.4 
181+ calendar days   7.5 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency SL Shares   0.08
 

 

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, 2021.

(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 (0.01)% 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.

 

 
4    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan Liquid Assets Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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  Agency, Capital, Class C, E*Trade^, Institutional Class, Investor, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2021  $7.5 Billion
Weighted Average Maturity^^  54 calendar days
Weighted Average Life^^^  83 calendar days

 

MATURITY SCHEDULE*^^

 
1 calendar day   30.6
2–7 calendar days   15.9 
8–30 calendar days   8.9 
31–60 calendar days   14.0 
61–90 calendar days   12.7 
91–180 calendar days   8.1 
181+ calendar days   9.8 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency Shares   0.01
Capital Shares   0.04 
Class C Shares   0.01 
Institutional Class Shares   0.02 
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, 2021.

(1) 

The yields for Agency Shares, Capital Shares, Class C 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 (0.14)%, (0.04)%, (0.99)%, (0.09)%, (0.34)%, (0.46)%, (0.29)% and (0.54)% for Agency Shares, Capital Shares, Class C 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.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    5


Table of Contents

JPMorgan U.S. Government Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, Empower, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares
Net Assets as of August 31, 2021  $246.9 Billion
Weighted Average Maturity^  42 calendar days
Weighted Average Life^^  60 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   48.3
2–7 calendar days   13.7 
8–30 calendar days   6.9 
31–60 calendar days   3.2 
61–90 calendar days   9.7 
91–180 calendar days   10.4 
181+ calendar days   7.8 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Academy Shares   0.03
Agency Shares   0.01 
Capital Shares   0.03 
E*Trade Shares   0.01 
Empower Shares   0.03 
IM Shares   0.03 
Institutional Class Shares   0.01 
Investor Shares   0.00 
Morgan Shares   0.00 
Premier Shares   0.01 
Reserve Shares   0.00 
Service Shares   0.00 
 

 

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, 2021.

(1) 

The yields for Academy Shares, Agency Shares, Capital Shares, E*Trade Shares, Empower 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 (0.11)%, (0.21)%, (0.11)%, (0.96)%, (0.11)%, (0.06)%, (0.16)%, (0.42)%, (0.52)%, (0.36)%, (0.62)% and (0.97)% for Academy Shares, Agency Shares, Capital Shares, E*Trade Shares, Empower 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.

 

 
6    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan U.S. Treasury Plus Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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  Academy, Agency, Capital, Class C, Empower, IM, Institutional Class, Investor, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2021  $25.0 Billion
Weighted Average Maturity^  38 calendar days
Weighted Average Life^^  63 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   51.7
2–7 calendar days   18.8 
8–30 calendar days   3.8 
31–60 calendar days   3.1 
61–90 calendar days   1.6 
91–180 calendar days   13.6 
181+ calendar days   7.4 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Academy Shares   0.01
Agency Shares   0.01 
Capital Shares   0.01 
Class C Shares   0.00 
Empower Shares   0.01 
IM Shares   0.01 
Institutional Class Shares   0.01 
Investor Shares   0.00 
Morgan Shares   0.00 
Premier Shares   0.01 
Reserve Shares   0.00 
 

 

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, 2021.

(1) 

The yields for Academy Shares, Agency Shares, Capital Shares, Class C Shares, Empower 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 (0.13)%, (0.23)%, (0.13)%, (1.08)%, (0.13)%, (0.08)%, (0.18)%, (0.43)%, (0.53)%, (0.38)% and (0.63)% for Academy Shares, Agency Shares, Capital Shares, Class C Shares, Empower 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.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    7


Table of Contents

JPMorgan Federal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $2.3 Billion
Weighted Average Maturity^  40 calendar days
Weighted Average Life^^  65 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   13.8
2-7 calendar days   14.5 
8–30 calendar days   37.8 
31–60 calendar days   7.9 
61–90 calendar days   11.3 
91–180 calendar days   10.2 
181+ calendar days   4.5 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency Shares   0.01
Institutional Class Shares   0.01 
Morgan Shares   0.00 
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, 2021.

(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 (0.25)%, (0.20)%, (0.59)% and (0.40)% 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.

 

 
8    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

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

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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  Academy Agency, Capital, Empower, IM, Institutional Class, Morgan, Premier and Reserve Shares
Net Assets as of August 31, 2021  $95.4 Billion
Weighted Average Maturity^  53 calendar days
Weighted Average Life^^  67 calendar days

 

MATURITY SCHEDULE*^

 
1 calendar day   6.7
2–7 calendar days   9.1 
8–30 calendar days   27.9 
31–60 calendar days   22.6 
61–90 calendar days   10.7 
91–180 calendar days   21.4 
181+ calendar days   1.6 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Academy Shares   0.01
Agency Shares   0.01 
Capital Shares   0.01 
Empower Shares   0.01 
IM Shares   0.01 
Institutional Class Shares   0.01 
Morgan Shares   0.00 
Premier Shares   0.01 
Reserve Shares   0.00 
 

 

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, 2021.

(1) 

The yields for Academy Shares, Agency Shares, Capital Shares, Empower 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 (0.13)%, (0.23)%, (0.13)%, (0.13)%, (0.08)%, (0.18)%, (0.54)%, (0.38)% and (0.63)% for Academy Shares, Agency Shares, Capital Shares, Empower 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.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    9


Table of Contents

JPMorgan Tax Free Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $8.0 Billion
Weighted Average Maturity^  32 calendar days
Weighted Average Life^^  32 calendar days

 

MATURITY SCHEDULE**^

 
1 calendar day   10.0
2-7 calendar days   2.1 
8–30 calendar days   67.3 
31–60 calendar days   7.6 
61–90 calendar days   2.1 
91–180 calendar days   4.9 
181+ calendar days   6.0 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(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, 2021.

(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 (0.22)%, (0.17)%, (0.53)%, (0.37)% and (0.62)% 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.

 

 
10    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan Municipal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $875.3 Million
Weighted Average Maturity^^  35 calendar days
Weighted Average Life^^^  35 calendar days

 

MATURITY SCHEDULE**^^

 
1 calendar day   14.5
2–7 calendar days   2.0 
8–30 calendar days   65.6 
31–60 calendar days   3.0 
61–90 calendar days   1.5 
91–180 calendar days   6.7 
181+ calendar days   6.7 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency Shares   0.01
Institutional Class Shares   0.02 
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, 2021.

(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 (0.19)%, (0.14)%, (0.50)%, (0.34)% and (0.94)% 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.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    11


Table of Contents

JPMorgan California Municipal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $238.4 Million
Weighted Average Maturity^^  30 calendar days
Weighted Average Life^^^  30 calendar days

 

MATURITY SCHEDULE**^^

 
1 calendar day   9.9
2–7 calendar days   0.8 
8–30 calendar days   68.5 
31–60 calendar days   13.0 
61–90 calendar days   1.0 
91–180 calendar days   0.6 
181+ calendar days   6.2 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency Shares   0.01
Institutional Class Shares   0.02 
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, 2021.

(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 (0.34)%, (0.29)%, (0.64)%, (0.49)% and (1.09)% 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.

 

 
12    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan New York Municipal Money Market Fund

FUND FACTS

SIX MONTHS ENDED AUGUST 31, 2021 (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, 2021  $709.2 Million
Weighted Average Maturity^^  39 calendar days
Weighted Average Life^^^  39 calendar days

 

MATURITY SCHEDULE**^^

 
1 calendar day   11.3
8–30 calendar days   75.9 
31–60 calendar days   0.5 
61–90 calendar days   0.3 
91–180 calendar days   1.4 
181+ calendar days   10.6 

7-DAY SEC YIELD AS OF AUGUST 31, 2021(1)

 
Agency Shares   0.01
Institutional Class Shares   0.02 
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, 2021.

(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 (0.25)%, (0.20)%, (0.59)%, (0.40)%, (0.65)% and (1.00)% 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.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    13


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

Repurchase Agreements — 26.2%

 

Barclays Capital, Inc., 0.24%, dated 8/31/2021, due 10/5/2021, repurchase price $400,094, collateralized by Collateralized Mortgage Obligations, 0.00% - 7.08%, due 12/15/2031 - 1/18/2063 and FNMA Connecticut Avenue Securities, 2.05% - 11.84%, due 2/26/2024 - 1/25/2051, with a value of $432,000.

  400,000    400,000 

Barclays Capital, Inc., 0.25%, dated 8/31/2021, due 10/5/2021, repurchase price $175,042, collateralized by Collateralized Mortgage Obligations, 0.00% - 6.44%, due 5/15/2028 - 4/25/2066 and FNMA Connecticut Avenue Securities, 1.50% - 6.43%, due 9/25/2028 -8/25/2033, with a value of $189,000.

  175,000    175,000 

BMO Capital Markets Corp., 0.17%, dated 8/31/2021, due 9/1/2021, repurchase price $90,000, collateralized by Asset-Backed Securities, 5.25%, due 10/1/2030, Corporate Notes and Bonds, 0.95% -15.50%, due 4/17/2023 - 12/21/2065, FHLMC, 1.00% - 3.50%, due 1/25/2026 -3/25/2051, FNMA, 2.00%, due 7/25/2051, GNMA, 0.75% - 2.75%, due 1/20/2046 - 6/20/2051 and Sovereign Government Securities, 0.75% - 1.75%, due 4/8/2022 - 6/29/2026, with a value of $96,531.

  90,000    90,000 

BMO Capital Markets Corp., 0.17%, dated 8/31/2021, due 9/1/2021, repurchase price $110,001, collateralized by Asset-Backed Securities, 0.00% - 5.25%, due 12/13/2023 - 6/25/2038, Collateralized Mortgage Obligations, 0.00% - 4.21%, due 6/15/2038 - 8/17/2051, Corporate Notes and Bonds, 0.50% - 7.88%, due 5/4/2022 - 1/1/2999, FHLMC, 2.54% -4.00%, due 1/25/2026 - 4/15/2043, FNMA, 1.00% - 3.50%, due 4/25/2043 -1/25/2051, GNMA, 0.50% - 5.50%, due 4/20/2034 - 1/20/2071, Sovereign Government Securities, 1.25% - 2.25%, due 1/25/2022 - 1/28/2031 and U.S. Treasury Securities, 0.13% - 1.75%, due 2/28/2023 - 2/28/2026, with a value of $115,570.

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

BMO Capital Markets Corp., 0.19%, dated 8/31/2021, due 9/7/2021, repurchase price $175,006, collateralized by Asset-Backed Securities, 0.00% - 5.25%, due 12/13/2023 - 9/25/2041, Collateralized Mortgage Obligations, 0.00% - 1.93%, due 7/25/2035 - 1/15/2049, Corporate Notes and Bonds, 0.65% - 11.88%, due 9/10/2021 - 1/1/2999, FHLMC, 2.54%, due 7/25/2026 and GNMA, 0.35% -2.00%, due 8/20/2051 - 7/20/2071, with a value of $188,305.

  175,000    175,000 

BMO Capital Markets Corp., 0.22%, dated 8/31/2021, due 9/7/2021, repurchase price $105,004, collateralized by Asset-Backed Securities, 0.29% - 6.08%, due 5/15/2024 - 4/25/2042, Collateralized Mortgage Obligations, 2.79%, due 8/12/2038, Corporate Notes and Bonds, 0.43% - 7.88%, due 5/4/2022 -1/1/2999, FNMA, 1.50% - 2.00%, due 3/25/2051 - 4/25/2051, GNMA, 1.55%, due 11/20/2070, Sovereign Government Securities, 1.25%, due 1/28/2031 and U.S. Treasury Securities, 0.00% - 5.00%, due 11/18/2021 - 5/15/2037, with a value of $111,590.

  105,000    105,000 

BMO Capital Markets Corp., 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $25,001, collateralized by Asset-Backed Securities, 4.25%, due 11/28/2053, Collateralized Mortgage Obligations, 0.00% - 6.50%, due 2/25/2035 - 4/15/2050, Corporate Notes and Bonds, 0.55% - 11.88%, due 1/20/2023 - 9/2/2040 and GNMA, 1.55% - 2.75%, due 1/20/2046 -7/20/2071, with a value of $26,456.

  25,000    25,000 

BMO Capital Markets Corp., 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $25,001, collateralized by Asset-Backed Securities, 0.19% - 6.08%, due 8/13/2024 - 1/25/2047, Collateralized Mortgage Obligations, 0.00% - 7.38%, due 4/25/2032 - 11/25/2059, Corporate Notes and Bonds, 0.75% - 5.75%, due 1/20/2023 - 1/20/2026, FHLMC, 7.25%, due 3/1/2035, GNMA, 1.55% - 2.75%, due 1/20/2046 - 7/20/2071 and U.S. Treasury Securities, 0.13%, due 2/28/2023, with a value of $26,572.

  25,000    25,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Repurchase Agreements — continued

 

BNP Paribas SA, 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $185,009, collateralized by Asset-Backed Securities, 7.36%, due 11/15/2048 and U.S. Treasury Securities, 0.13%, due 8/31/2023, with a value of $189,321.

  185,000    185,000 

BNP Paribas SA, 0.29%, dated 8/31/2021, due 10/1/2021, repurchase price $75,019, collateralized by Corporate Notes and Bonds, 0.00%, due 9/30/2022 - 7/15/2025 and Sovereign Government Securities, 5.60% - 8.50%, due 1/24/2024 - 1/31/2047, with a value of $81,060.

  75,000    75,000 

BNP Paribas SA, 0.32%, dated 8/31/2021, due 11/17/2021, repurchase price $200,139, collateralized by Asset-Backed Securities, 0.34% - 9.11%, due 4/1/2024 - 1/25/2065, with a value of $220,352.

  200,000    200,000 

Bofa Securities, Inc., 0.33%, dated 8/31/2021, due 10/5/2021, repurchase price $215,069, collateralized by Collateralized Mortgage Obligations, 0.00% - 7.32%, due 5/15/2023 - 12/16/2072, FNMA Connecticut Avenue Securities, 0.85% - 4.48%, due 1/25/2024 - 9/25/2048 and Sovereign Government Securities, 3.24%, due 2/6/2028, with a value of $231,981.

  215,000    215,000 

Bofa Securities, Inc., 0.35%, dated 8/31/2021, due 10/5/2021, repurchase price $250,085, collateralized by Common Stocks, 0.00%, due 1/1/2049 -1/1/2999 and Preferred Stocks, 5.63% -8.13%, due 8/1/2042 - 1/1/2999, with a value of $270,000.

  250,000    250,000 

Bofa Securities, Inc., 0.48%, dated 8/31/2021, due 11/9/2021, repurchase price $345,322, collateralized by Collateralized Mortgage Obligations, 0.18% - 6.50%, due 11/15/2035 -11/25/2053, Corporate Notes and Bonds, 0.00% - 7.63%, due 9/1/2023 - 3/1/2050 and Sovereign Government Securities, 0.50% - 10.38%, due 1/24/2022 - 3/11/2061, with a value of $372,600.

  345,000    345,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Credit Suisse Securities USA LLC, 0.20%, dated 8/31/2021, due 9/7/2021, repurchase price $50,002, collateralized by Asset-Backed Securities, 0.00% - 19.05%, due 4/17/2025 - 1/25/2060, Collateralized Mortgage Obligations, 0.00% - 6.25%, due 7/15/2032 - 4/25/2043 and Corporate Notes and Bonds, 0.00%, due 11/1/2022, with a value of $55,002.

  50,000    50,000 

Credit Suisse Securities USA LLC, 0.44%, dated 8/31/2021, due 10/5/2021, repurchase price $150,064, collateralized by Asset-Backed Securities, 0.00% - 20.01%, due 8/28/2023 - 1/15/2069 and Collateralized Mortgage Obligations, 3.23% - 4.10%, due 9/20/2022 - 3/25/2023, with a value of $165,152.

  150,000    150,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,500,003, collateralized by U.S. Treasury Securities, 0.13%, due 2/28/2023, with a value of $2,500,004.

  2,500,000    2,500,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 1.13% - 3.00%, due 8/15/2040 - 8/15/2049, with a value of $9,500,013.

  9,500,000    9,500,000 

Goldman Sachs & Co. LLC, 0.44%, dated 8/31/2021, due 11/19/2021, repurchase price $500,489, collateralized by Corporate Notes and Bonds, 0.00% - 12.00%, due 7/1/2022 - 7/1/2026, FHLMC, 1.50% - 5.50%, due 5/1/2033 - 8/1/2051 and FNMA, 2.50% - 6.00%, due 2/1/2023 - 7/1/2060, with a value of $510,000.

  500,000    500,000 

HSBC Securities USA, Inc., 0.18%, dated 8/31/2021, due 9/1/2021, repurchase price $20,000, collateralized by Asset-Backed Securities, 2.44% - 3.38%, due 5/20/2024 - 9/15/2026 and Municipal Debt Securities, 0.00%, due 8/1/2031, with a value of $21,200.

  20,000    20,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    15


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Repurchase Agreements — continued

 

HSBC Securities USA, Inc., 0.18%, dated 8/31/2021, due 9/1/2021, repurchase price $25,000, collateralized by Corporate Notes and Bonds, 0.75% - 6.95%, due 1/29/2023 - 4/1/2060, FHLMC, 3.50% -6.50%, due 4/1/2031 - 10/1/2037, GNMA, 4.00% - 5.00%, due 9/15/2041 -5/20/2049, Sovereign Government Securities, 2.38% - 5.00%, due 4/11/2022 - 8/20/2030 and U.S. Treasury Securities, 0.00%, due 9/9/2021 -10/7/2021, with a value of $26,155.

  25,000    25,000 

ING Financial Markets LLC, 0.15%, dated 8/31/2021, due 9/1/2021, repurchase price $75,000, collateralized by Common Stocks, 0.00%, due 1/1/2999, with a value of $81,097.

  75,000    75,000 

ING Financial Markets LLC, 0.15%, dated 8/31/2021, due 9/1/2021, repurchase price $115,000, collateralized by Corporate Notes and Bonds, 0.50% -6.90%, due 3/15/2022 - 8/5/2061, with a value of $120,751.

  115,000    115,000 

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 10/8/2021, repurchase price $25,007, collateralized by Corporate Notes and Bonds, 1.38% - 9.75%, due 9/15/2021 - 1/1/2999, with a value of $26,851.

  25,000    25,000 

ING Financial Markets LLC, 0.27%, dated 8/31/2021, due 10/22/2021, repurchase price $100,039, collateralized by Common Stocks, 0.00%, due 1/1/2999, with a value of $108,048.

  100,000    100,000 

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 11/5/2021, repurchase price $35,016, collateralized by Corporate Notes and Bonds, 0.88% - 9.25%, due 11/15/2025 - 4/1/2044, with a value of $37,781.

  35,000    35,000 

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 11/10/2021, repurchase price $15,007, collateralized by Corporate Notes and Bonds, 0.00% - 7.00%, due 9/15/2021 - 8/12/2061, with a value of $15,850.

  15,000    15,000 

Mitsubishi UFJ Trust & Banking Corp., 0.20%, dated 8/31/2021, due 9/2/2021, repurchase price $1,000,011, collateralized by Corporate Notes and Bonds, 2.05% - 4.50%, due 5/13/2022 -5/1/2030, with a value of $1,042,682.

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

Royal Bank of Canada, 0.17%, dated 8/31/2021, due 9/7/2021, repurchase price $200,007, collateralized by Certificates of Deposit, 0.10% - 0.11%, due 9/2/2021 - 12/9/2021 and Commercial Paper, 0.00%, due 9/2/2021 -5/6/2022, with a value of $210,000.

  200,000    200,000 

Societe Generale SA, 0.14%, dated 8/31/2021, due 9/1/2021, repurchase price $167,001, collateralized by Asset-Backed Securities, 2.70% - 5.88%, due 10/11/2027 - 5/15/2034, Collateralized Mortgage Obligations, 2.90% - 3.00%, due 10/17/2050 - 1/18/2052, Corporate Notes and Bonds, 0.20% - 8.63%, due 9/16/2021 - 8/1/2118, FNMA Connecticut Avenue Securities, 2.03%, due 10/25/2049 and Sovereign Government Securities, 1.40% - 6.75%, due 2/7/2022 -7/27/2033, with a value of $175,851.

  167,000    167,000 

Societe Generale SA, 0.21%, dated 8/31/2021, due 9/1/2021, repurchase price $805,005, collateralized by Asset-Backed Securities, 0.23% - 4.00%, due 10/11/2027 - 2/28/2041, Collateralized Mortgage Obligations, 4.35% - 5.10%, due 1/12/2034 - 8/17/2049, Corporate Notes and Bonds, 2.80% - 13.00%, due 11/15/2021 - 1/1/2999, FNMA Connecticut Avenue Securities, 0.73% -2.88%, due 12/26/2029 - 10/25/2049 and Sovereign Government Securities, 2.63% - 11.88%, due 2/7/2022 -1/1/2999, with a value of $869,099.

  805,000    805,000 

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/1/2021, repurchase price $370,002, collateralized by Asset-Backed Securities, 0.23% - 5.25%, due 5/30/2025 - 11/25/2046, Collateralized Mortgage Obligations, 0.68% - 5.45%, due 7/25/2036 - 5/25/2065, Corporate Notes and Bonds, 2.30% - 10.88%, due 9/15/2021 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.03% -3.83%, due 2/25/2030 - 8/25/2050 and Sovereign Government Securities, 2.63% -11.88%, due 6/27/2022 - 1/1/2999, with a value of $399,582.

  370,000    370,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Repurchase Agreements — continued

 

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/7/2021, repurchase price $200,009, collateralized by Asset-Backed Securities, 0.35% - 1.43%, due 2/25/2037 - 11/25/2046, Collateralized Mortgage Obligations, 4.52%, due 4/15/2050, Corporate Notes and Bonds, 1.57% -13.00%, due 3/15/2022 -1/1/2999, FNMA Connecticut Avenue Securities, 2.23% - 2.43%, due 1/27/2031 - 11/25/2039 and Sovereign Government Securities, 3.25% - 11.88%, due 9/26/2022 - 1/1/2999, with a value of $215,904.

  200,000    200,000 

Societe Generale SA, 0.32%, dated 8/31/2021, due 11/8/2021, repurchase price $180,111, collateralized by Asset-Backed Securities, 0.23% - 7.13%, due 1/2/2024 - 11/25/2046, Collateralized Mortgage Obligations, 4.09% - 4.52%, due 8/17/2034 - 8/25/2059, Corporate Notes and Bonds, 0.99% - 11.50%, due 11/15/2021 - 5/15/2097, FNMA Connecticut Avenue Securities, 2.03% -2.93%, due 11/26/2029 - 10/25/2049 and Sovereign Government Securities, 2.63% - 11.88%, due 1/5/2023 -1/1/2999, with a value of $194,460.

  180,000    180,000 

Societe Generale SA, 0.26%, dated 8/31/2021, due 12/1/2021, repurchase price $500,332, collateralized by Asset-Backed Securities, 0.33% - 5.25%, due 5/30/2025 - 10/25/2037, Collateralized Mortgage Obligations, 0.68% - 4.08%, due 11/15/2032 - 2/12/2049, Corporate Notes and Bonds, 1.57% - 8.75%, due 9/15/2021 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.03% -2.93%, due 11/26/2029 - 10/25/2049 and Sovereign Government Securities, 2.63% - 11.88%, due 9/26/2022 -1/1/2999, with a value of $540,260.

  500,000    500,000 

TD Securities (USA) LLC, 0.18%, dated 8/31/2021, due 9/2/2021, repurchase price $900,009, collateralized by Corporate Notes and Bonds, 0.85% -7.20%, due 1/15/2022 - 5/12/2061, with a value of $945,033.

  900,000    900,000 

TD Securities (USA) LLC, 0.14%, dated 8/31/2021, due 9/7/2021, repurchase price $500,014, collateralized by Corporate Notes and Bonds, 0.50% -5.81%, due 4/5/2022 - 2/15/2060 and Municipal Debt Securities, 5.47% - 7.46%, due 5/1/2040 - 10/1/2046, with a value of $525,014.

  500,000    500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

UBS Securities LLC, 0.25%, dated 8/31/2021, due 9/7/2021, repurchase price $300,015, collateralized by Certificates of Deposit, 0.00% - 0.46%, due 10/1/2021 - 12/2/2022, Commercial Paper, 0.00%, due 9/3/2021 -1/11/2022 and Corporate Notes and Bonds, 0.37% -12.00%, due 1/15/2022 - 1/1/2999, with a value of $319,195.

  300,000    300,000 

Wells Fargo Securities LLC, 0.22%, dated 8/31/2021, due 9/2/2021, repurchase price $104,001, collateralized by Commercial Paper, 0.00%, due 2/15/2022 and Corporate Notes and Bonds, 0.18% -5.06%, due 6/3/2024 - 9/30/2059, with a value of $109,205.

  104,000    104,000 

Wells Fargo Securities LLC, 0.32%, dated 8/31/2021, due 9/14/2021, repurchase price $250,031, collateralized by Certificates of Deposit, 0.00% - 0.25%, due 12/1/2021 - 8/29/2022 and Commercial Paper, 0.00%, due 9/1/2021 -2/15/2022, with a value of $262,710.

  250,000    250,000 
   

 

 

 

Total Repurchase Agreements
(Cost $20,961,000)

    20,961,000 
   

 

 

 

Corporate Notes — 0.6%

 

Banks — 0.6%

 

Barclays Bank plc (United Kingdom)

   

(OBFR + 0.10%), 0.17%, 9/1/2021 (b) (c)

  175,000    175,000 

(OBFR + 0.16%), 0.23%, 9/1/2021 (b) (c)

  300,000    300,000 
   

 

 

 

Total Corporate Notes
(Cost $475,000)

    475,000 
   

 

 

 

Municipal Bonds — 0.2%

 

Alaska — 0.1%

 

Alaska Housing Finance Corp., State Capital Project Series 2018A, Rev., VRDO, 0.08%, 9/8/2021 (d)

  75,000    75,000 
   

 

 

 

California — 0.1%

 

Metropolitan Water District of Southern California, Waterworks Series A, Rev., VRDO, LIQ: Bank of America NA, 0.08%, 9/8/2021 (d)

  59,000    59,000 
   

 

 

 

Total Municipal Bonds
(Cost $134,000)

    134,000 
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    17


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Short-Term Investments — 72.5%

 

Certificates of Deposit — 28.1%

 

Agricultural Bank of China Ltd. (China) 0.12%, 9/27/2021

  100,000    100,000 

Bank of Montreal (Canada)
(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  150,000    150,007 

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  70,000    70,007 

(ICE LIBOR USD 3 Month + 0.05%), 0.17%, 9/16/2021 (b)

  179,000    179,018 

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/7/2021 (b)

  161,000    161,015 

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 10/12/2021 (b)

  200,000    200,014 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/26/2021 (b)

  50,000    50,001 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/4/2021 (b)

  125,000    125,005 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/4/2021 (b)

  115,000    115,003 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/11/2021 (b)

  320,000    320,025 

0.24%, 3/10/2022

  100,000    100,045 

0.23%, 5/11/2022

  100,000    100,039 

0.22%, 5/18/2022

  100,000    100,031 

0.21%, 6/22/2022

  177,000    177,038 

0.20%, 7/13/2022

  100,000    100,010 

Bank of Nova Scotia (The) (Canada) (SOFR + 0.18%),

   

0.23%, 9/1/2021 (b)

  100,000    100,034 

0.20%, 2/18/2022

  140,000    140,052 

0.23%, 5/10/2022

  100,000    100,047 

0.22%, 5/13/2022

  28,860    28,872 

BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/7/2021 (b)

  94,000    94,004 

0.24%, 2/1/2022

  290,000    290,129 

Canadian Imperial Bank of Commerce (Canada)

   

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  405,000    405,010 

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  175,000    175,004 

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  100,000    100,010 

(BSBY1M + 0.10%), 0.16%, 9/24/2021 (b)

  110,000    110,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.20%, 9/30/2021 (b)

  330,000    330,047 

0.19%, 10/20/2021

  155,000    155,022 

0.20%, 10/22/2021

  100,000    100,014 

0.20%, 2/18/2022

  250,000    250,066 

0.24%, 4/7/2022

  175,000    175,082 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

China Construction Bank Corp. (China) 0.10%, 9/7/2021

  125,000    125,000 

Cooperatieve Rabobank UA (Netherlands)

   

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 9/30/2021 (b)

  175,000    175,000 

(ICE LIBOR USD 3 Month + 0.04%), 0.18%, 10/8/2021 (b)

  50,000    50,003 

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 10/12/2021 (b)

  50,000    50,007 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b)

  100,000    100,004 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)

  100,000    100,013 

0.20%, 6/27/2022

  46,500    46,509 

0.22%, 7/5/2022 (e)

  100,000    99,823 

Credit Agricole Corporate and Investment Bank (France)

   

0.11%, 9/27/2021

  100,000    100,002 

0.12%, 11/1/2021

  350,000    350,017 

(SOFR + 0.12%), 0.17%, 9/1/2021 (b)

  100,000    99,992 

0.13%, 12/8/2021

  150,000    150,010 

Credit Industriel et Commercial (France)

   

(SOFR + 0.13%), 0.18%, 9/1/2021 (b)

  450,000    450,017 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 9/2/2021 (b)

  75,000    75,009 

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 9/17/2021 (b)

  150,000    150,012 

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/5/2021 (b)

  75,000    75,004 

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 10/6/2021 (b)

  100,000    100,005 

0.24%, 10/12/2021 (e)

  360,000    359,959 

0.24%, 10/18/2021 (e)

  225,000    224,970 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/25/2021 (b)

  161,000    161,005 

0.22%, 10/26/2021 (e)

  245,000    244,961 

0.23%, 10/28/2021 (e)

  175,000    174,971 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b)

  132,000    132,003 

0.14%, 12/1/2021

  100,000    100,007 

0.22%, 3/7/2022 (e)

  400,000    399,664 

DZ Bank AG (Germany) 0.11%, 10/29/2021

  245,000    245,012 

Erste Group Bank AG (Austria) 0.10%, 9/20/2021

  300,000    300,002 

ING Bank NV (Netherlands)

   

0.25%, 10/8/2021

  178,000    178,000 

0.18%, 5/13/2022

  275,000    275,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

Kookmin Bank (South Korea)

   

0.15%, 11/23/2021

  75,000    75,009 

0.25%, 8/2/2022

  38,000    38,009 

Korea Development Bank (South Korea)

   

0.21%, 12/10/2021

  25,000    25,007 

0.26%, 4/18/2022

  50,000    50,026 

Mitsubishi UFJ Trust & Banking Corp. (Japan)

   

0.13%, 9/14/2021 (e)

  100,000    99,997 

0.21%, 9/22/2021

  100,000    100,008 

0.19%, 10/7/2021

  200,000    200,020 

0.18%, 1/28/2022 (e)

  100,000    99,937 

0.18%, 2/24/2022 (e)

  95,000    94,925 

Mitsubishi UFJ Trust and Banking Co. Ltd. (Japan)

   

0.18%, 2/14/2022 (e)

  100,000    99,927 

0.18%, 2/18/2022 (e)

  50,000    49,963 

Mizuho Bank Ltd. (Japan)

   

0.16%, 9/1/2021 (e)

  100,000    100,000 

0.19%, 10/6/2021

  200,000    200,022 

0.16%, 1/7/2022

  100,000    100,011 

0.15%, 1/25/2022

  400,000    400,005 

MUFG Bank Ltd. (Japan)

   

0.19%, 10/7/2021

  100,000    100,013 

0.14%, 12/1/2021

  100,000    100,010 

0.14%, 12/2/2021

  200,000    200,020 

0.15%, 1/14/2022

  80,000    80,007 

National Australia Bank Ltd. (Australia)

   

0.20%, 10/29/2021 (e)

  250,000    249,956 

0.23%, 1/24/2022 (e)

  185,000    184,886 

0.23%, 1/26/2022 (e)

  400,000    399,747 

0.23%, 1/27/2022 (e)

  250,000    249,841 

Natixis SA (France)
(SOFR + 0.13%), 0.18%, 9/1/2021 (b)

  300,000    300,028 

(SOFR + 0.13%), 0.18%, 9/1/2021 (b)

  175,000    175,001 

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/1/2021 (b)

  215,000    215,035 

0.30%, 9/2/2021

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/10/2021 (b)

  240,000    240,030 

0.23%, 10/7/2021

  155,000    155,022 

(ICE LIBOR USD 3 Month + 0.03%), 0.15%, 11/12/2021 (b)

  400,000    400,052 

0.21%, 2/4/2022

  150,000    150,056 

Nordea Bank Abp (Finland) (ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b)

  163,000    163,013 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.00%), 0.12%, 11/4/2021 (b)

  51,900    51,903 

0.23%, 4/21/2022

  78,250    78,286 

0.20%, 6/29/2022

  125,000    125,015 

0.20%, 7/1/2022

  200,000    200,022 

Norinchukin Bank (Japan)

   

0.08%, 10/1/2021

  100,000    99,999 

0.09%, 11/1/2021

  300,000    299,994 

Oversea-Chinese Banking Corp. Ltd. (Singapore)

   

0.20%, 9/27/2021

  95,000    95,007 

(ICE LIBOR USD 3 Month + 0.01%), 0.15%, 10/7/2021 (b)

  100,000    100,002 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 10/26/2021 (b)

  200,000    200,016 

0.11%, 11/5/2021

  125,000    125,000 

0.21%, 12/9/2021

  50,000    50,012 

Royal Bank of Canada (Canada)

   

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/7/2021 (b)

  100,000    99,998 

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/11/2021 (b)

  70,000    70,010 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/27/2021 (b)

  50,000    50,000 

Skandinaviska Enskilda Banken AB (Sweden)

   

0.18%, 9/9/2021

  100,000    100,003 

0.20%, 2/18/2022

  50,000    50,017 

0.24%, 4/28/2022

  100,000    100,056 

0.23%, 5/11/2022

  100,000    100,047 

Standard Chartered Bank (United Kingdom)

   

0.22%, 9/24/2021

  450,000    450,030 

(ICE LIBOR USD 3 Month + 0.02%), 0.14%, 10/12/2021 (b)

  500,000    500,007 

0.20%, 10/26/2021

  150,000    150,016 

Sumitomo Mitsui Banking Corp. (Japan)

   

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/10/2021 (b)

  150,000    150,002 

(ICE LIBOR USD 3 Month + 0.02%), 0.17%, 9/29/2021 (b)

  150,000    150,001 

0.19%, 10/5/2021

  50,000    50,005 

0.19%, 10/6/2021

  250,000    250,027 

0.11%, 11/16/2021

  240,000    240,007 

0.14%, 12/1/2021

  50,000    50,005 

0.14%, 12/2/2021

  100,000    100,010 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    19


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

Sumitomo Mitsui Trust Bank Ltd. (Japan)

   

0.21%, 9/21/2021

  100,000    100,008 

0.22%, 9/24/2021

  200,000    200,018 

0.23%, 10/19/2021 (e)

  200,000    199,974 

0.09%, 10/25/2021

  100,000    100,000 

0.23%, 10/28/2021 (e)

  100,000    99,984 

0.23%, 11/3/2021 (e)

  100,000    99,982 

0.12%, 11/4/2021

  200,000    200,010 

0.18%, 11/22/2021 (e)

  100,000    99,971 

0.18%, 12/1/2021 (e)

  100,000    99,966 

0.18%, 2/25/2022 (e)

  100,000    99,921 

Sumitomo Trust Japan (Luxembourg) 0.16%, 12/6/2021 (e)

  50,000    49,982 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 1 Month + 0.08%), 0.18%, 9/10/2021 (b)

  200,000    199,958 

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 9/16/2021 (b)

  50,000    50,005 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b)

  95,000    95,003 

0.20%, 6/28/2022

  100,000    100,009 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b)

  125,000    125,000 

Series 01, (BSBY3M + 0.05%), 0.14%, 9/9/2021 (b)

  85,000    84,983 

(ICE LIBOR USD 3 Month + 0.02%), 0.14%, 11/14/2021 (b)

  250,000    250,030 

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 11/26/2021 (b)

  250,000    250,000 

0.26%, 4/21/2022 (e)

  125,000    124,867 

0.24%, 4/27/2022

  141,250    141,325 

0.27%, 4/27/2022 (e)

  175,000    174,807 

0.21%, 6/23/2022

  150,000    150,035 

Westpac Banking Corp. (Australia)
(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b)

  49,000    49,002 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)

  150,000    150,012 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/11/2021 (b)

  60,000    60,005 

0.20%, 6/24/2022

  97,000    97,017 

Woori Bank (South Korea)

   

0.13%, 9/2/2021 (c)

  50,000    50,000 

0.14%, 10/28/2021 (c)

  70,000    70,004 
   

 

 

 

Total Certificates of Deposit
(Cost $22,472,799)

    22,475,590 
   

 

 

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

Commercial Paper — 25.8%

 

Agricultural Bank of China Ltd. (China) 0.11%, 9/7/2021 (c) (e)

  30,000    29,999 

Alpine Securitization LLC 0.20%, 10/5/2021 (d)

  85,000    85,013 

Alpine Securitization Ltd. (Switzerland) 0.21%, 10/12/2021 (c)

  50,000    50,006 

Antalis SA (France) 0.16%, 12/1/2021 (c) (e)

  51,400    51,383 

ANZ New Zealand Int’l Ltd. (New Zealand) 0.19%, 10/21/2021 (c) (e)

  100,000    99,990 

Atlantic Asset Securitization LLC

   

0.08%, 9/3/2021 (c) (e)

  50,000    50,000 

0.18%, 11/8/2021 (c) (e)

  50,000    49,989 

Australia & New Zealand Banking Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/2/2021 (b) (c)

  70,000    70,010 

Bank of Nova Scotia (The) (Canada)

   

(SOFR + 0.15%), 0.20%, 9/1/2021 (b) (c)

  200,000    200,020 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)

  125,000    125,005 

0.21%, 2/23/2022 (c) (e)

  175,000    174,901 

0.23%, 4/8/2022 (c) (e)

  100,000    99,916 

0.21%, 6/22/2022 (c) (e)

  170,000    169,767 

Barclays Bank plc (United Kingdom) 0.13%, 10/27/2021 (c) (e)

  50,000    49,991 

Bedford Row Funding Corp.

   

(US Federal Funds Effective Rate (continuous series) + 0.12%), 0.20%, 9/1/2021 (b) (c)

  150,000    150,000 

(US Federal Funds Effective Rate (continuous series) + 0.12%), 0.20%, 9/1/2021 (b) (c)

  130,000    130,000 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 10/27/2021 (b) (c)

  25,000    24,998 

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 11/22/2021 (b) (c)

  135,000    135,013 

(ICE LIBOR USD 3 Month + 0.05%), 0.17%, 11/26/2021 (b) (c)

  50,000    50,004 

0.21%, 1/18/2022 (c) (e)

  75,000    74,963 

0.25%, 4/28/2022 (c) (e)

  75,000    74,921 

BNG Bank NV (Netherlands) 0.08%, 9/1/2021 (c) (e)

  34,000    34,000 

BNP Paribas SA (France)

   

0.23%, 10/7/2021 (e)

  108,000    107,992 

0.18%, 3/22/2022 (e)

  136,000    135,893 

0.18%, 3/22/2022 (e)

  500,000    499,605 

BNZ International Funding Ltd. (New Zealand) 0.17%, 11/15/2021 (c) (e)

  100,000    99,982 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Short-Term Investments — continued

 

Commercial Paper — continued

 

BPCE SA (France)

   

0.20%, 11/1/2021 (c) (e)

  92,400    92,384 

0.20%, 11/5/2021 (c) (e)

  200,000    199,963 

0.23%, 12/13/2021 (c) (e)

  250,000    249,917 

Canadian Imperial Bank of Commerce (Canada) 0.24%, 5/6/2022 (c) (e)

  200,000    199,775 

Concord Minutemen Capital Co. LLC Series A, 0.10%, 9/17/2021 (c) (e)

  100,000    99,996 

DBS Bank Ltd. (Singapore)

   

0.14%, 11/29/2021 (e)

  100,000    99,968 

0.13%, 12/1/2021 (c) (e)

  50,000    49,983 

0.15%, 12/22/2021 (c) (e)

  63,000    62,971 

Dexia Credit Local SA (France)

   

0.12%, 10/12/2021 (c) (e)

  200,000    199,979 

0.12%, 10/13/2021 (c) (e)

  100,000    99,989 

0.12%, 10/14/2021 (c) (e)

  150,000    149,984 

0.12%, 10/15/2021 (c) (e)

  250,000    249,972 

0.10%, 10/18/2021 (c) (e)

  174,250    174,229 

0.12%, 10/21/2021 (c) (e)

  250,000    249,968 

0.11%, 10/22/2021 (c) (e)

  170,400    170,378 

0.10%, 11/2/2021 (c) (e)

  100,000    99,984 

0.11%, 11/4/2021 (c) (e)

  140,000    139,975 

DNB Bank ASA (Norway) 0.09%, 9/2/2021 (c) (e)

  400,000    399,999 

0.08%, 9/24/2021 (c) (e)

  125,000    124,995 

0.09%, 10/8/2021 (c) (e)

  200,000    199,987 

(ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/14/2021 (b) (c)

  260,000    260,017 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/27/2021 (b) (c)

  250,000    250,000 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/28/2021 (b) (c)

  100,000    99,997 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/28/2021 (b) (c)

  405,000    405,002 

Federation des caisses Desjardins du Quebec (The) (Canada)

   

0.08%, 9/13/2021 (c) (e)

  100,000    99,998 

0.08%, 9/20/2021 (c) (e)

  83,800    83,797 

0.19%, 10/14/2021 (c) (e)

  100,000    99,989 

0.08%, 10/26/2021 (e)

  100,000    99,986 

First Abu Dhabi Bank PJSC (United Arab Emirates)

   

0.14%, 10/12/2021 (c) (e)

  253,000    252,973 

0.13%, 10/26/2021 (c) (e)

  350,000    349,951 

0.18%, 12/2/2021 (c) (e)

  555,000    554,854 

0.16%, 1/7/2022 (c) (e)

  50,000    49,978 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

0.17%, 1/20/2022 (c) (e)

  575,000    574,712 

0.16%, 2/4/2022 (c) (e)

  135,000    134,922 

FMS Wertmanagement (Germany)

   

0.09%, 9/24/2021 (c) (e)

  75,000    74,996 

0.11%, 10/27/2021 (e)

  98,000    97,986 

0.11%, 11/3/2021 (c) (e)

  250,000    249,959 

0.09%, 12/2/2021 (c) (e)

  50,000    49,987 

0.09%, 12/3/2021 (c) (e)

  49,300    49,287 

ING US Funding LLC (Netherlands)

   

0.20%, 9/23/2021 (c) (e)

  395,000    394,974 

0.17%, 9/29/2021 (c) (e)

  145,000    144,988 

0.22%, 10/12/2021 (c) (e)

  170,000    169,982 

0.15%, 11/18/2021 (c) (e)

  60,000    59,987 

Lloyds Bank plc (United Kingdom)

   

0.11%, 10/20/2021 (e)

  200,000    199,975 

0.10%, 10/22/2021 (e)

  100,000    99,987 

0.11%, 10/26/2021 (e)

  600,000    599,916 

0.11%, 10/29/2021 (e)

  300,000    299,956 

LMA-Americas LLC

   

0.20%, 9/7/2021 (c) (e)

  50,000    49,999 

0.19%, 10/20/2021 (c) (e)

  70,100    70,090 

0.18%, 10/25/2021 (c) (e)

  50,000    49,992 

0.14%, 1/14/2022 (c) (e)

  75,000    74,962 

LVMH Moet Hennessy Louis Vuitton SE (France)

   

0.17%, 10/19/2021 (c) (e)

  100,000    99,988 

0.17%, 10/28/2021 (c) (e)

  50,000    49,993 

Macquarie Bank Ltd. (Australia)

   

0.19%, 10/19/2021 (c) (e)

  100,000    99,984 

0.19%, 10/20/2021 (e)

  100,000    99,983 

12.00%, 10/27/2021 (c) (e)

  200,000    199,962 

0.12%, 11/16/2021 (c) (e)

  100,000    99,973 

0.13%, 12/10/2021 (e)

  100,000    99,961 

0.16%, 2/8/2022 (c) (e)

  37,950    37,922 

Manhattan Asset Funding Co. LLC

   

0.19%, 10/26/2021 (c) (e)

  30,088    30,083 

0.19%, 10/28/2021 (c) (e)

  78,237    78,223 

0.19%, 10/29/2021 (c) (e)

  100,000    99,982 

Matchpoint Finance plc (Ireland)

   

Series A, 0.20%, 9/22/2021 (c) (e)

  50,000    49,997 

Series A, 0.19%, 10/18/2021 (c) (e)

  50,000    49,993 

Mitsubishi UFJ Trust & Banking Corp. (Japan) 0.12%, 11/12/2021 (c) (e)

  100,000    99,982 

Mizuho Bank Ltd. (Japan)

   

0.21%, 10/18/2021 (c) (e)

  30,000    29,995 

0.19%, 11/15/2021 (c) (e)

  95,000    94,975 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    21


Table of Contents

JPMorgan Prime Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Short-Term Investments — continued

   

Commercial Paper — continued

 

National Australia Bank Ltd. (Australia)

   

(US Federal Funds Effective Rate (continuous series) + 0.07%), 0.15%, 9/1/2021 (b) (c)

  100,000    99,984 

(US Federal Funds Effective Rate (continuous series) + 0.14%), 0.22%, 9/1/2021 (b) (c)

  60,000    60,018 

(ICE LIBOR USD 1 Month + 0.09%), 0.19%, 9/8/2021 (b) (c)

  150,000    150,008 

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 9/27/2021 (b) (c)

  300,000    300,024 

(ICE LIBOR USD 3 Month + 0.00%), 0.12%, 11/3/2021 (b) (c)

  79,000    79,005 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/18/2021 (b) (c)

  100,000    100,008 

0.23%, 4/6/2022 (c) (e)

  100,000    99,914 

National Bank of Canada (Canada)

   

0.19%, 10/13/2021 (c) (e)

  39,265    39,261 

0.19%, 10/21/2021 (c) (e)

  100,000    99,987 

0.14%, 1/10/2022 (c) (e)

  150,000    149,930 

Nationwide Building Society (United Kingdom) 0.08%, 9/16/2021 (c) (e)

  200,000    199,993 

Nederlandse Waterschapsbank NV (Netherlands) 0.08%, 10/25/2021 (c) (e)

  400,000    399,939 

Nieuw Amsterdam Receivables Corp. 0.14%, 12/9/2021 (c) (e)

  75,000    74,976 

Nordea Bank Abp (Finland) 0.11%, 11/1/2021 (c) (e)

  50,000    49,993 

NRW Bank (Germany) 0.08%, 11/2/2021 (c) (e)

  150,000    149,974 

Old Line Funding LLC 0.13%, 10/25/2021 (c) (e)

  180,000    179,973 

Oversea-Chinese Banking Corp. Ltd. (Singapore) 0.18%, 9/20/2021 (c) (e)

  100,000    99,995 

Royal Bank of Canada (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b)

  100,000    100,000 

(ICE LIBOR USD 3 Month + 0.04%), 0.17%, 9/2/2021 (b)

  75,000    75,014 

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/7/2021 (b) (c)

  35,000    34,999 

(ICE LIBOR USD 3 Month + 0.04%), 0.19%, 10/6/2021 (b)

  270,000    270,024 

0.23%, 5/5/2022 (e)

  200,000    199,778 

0.21%, 6/22/2022 (e)

  158,000    157,731 

0.20%, 7/8/2022 (c) (e)

  100,000    99,816 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

Skandinaviska Enskilda Banken AB (Sweden)

   

0.20%, 10/19/2021 (c) (e)

  250,000    249,974 

0.12%, 11/22/2021 (c) (e)

  350,000    349,923 

0.20%, 6/27/2022 (c) (e)

  100,000    99,851 

Societe Generale SA (France) 0.19%, 10/13/2021 (c) (e)

  150,000    149,988 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/25/2021 (b) (c)

  94,000    94,006 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b) (c)

  62,000    62,005 

0.20%, 6/24/2022 (c) (e)

  100,000    99,853 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b) (c)

  100,000    100,000 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b) (c)

  400,000    400,030 

0.23%, 4/12/2022 (c) (e)

  133,000    132,880 

0.23%, 5/19/2022 (c) (e)

  100,000    99,886 

0.20%, 7/8/2022 (c) (e)

  100,000    99,847 

TotalEnergies Capital Canada Ltd. (France) 0.14%, 2/3/2022 (c) (e)

  75,000    74,960 

Toyota Motor Finance Netherlands BV (Japan) 0.15%, 11/29/2021 (e)

  100,000    99,973 

UBS AG (Switzerland) (SOFR + 0.17%),

   

0.22%, 9/1/2021 (b) (c)

  135,000    134,992 

0.23%, 12/9/2021 (c) (e)

  100,000    99,962 

0.22%, 3/23/2022 (c) (e)

  250,000    249,734 

0.24%, 3/29/2022 (c) (e)

  300,000    299,667 

0.24%, 3/30/2022 (c) (e)

  250,000    249,721 

United Overseas Bank Ltd. (Singapore) 0.20%, 2/11/2022 (c) (e)

  150,000    149,894 

Westpac Banking Corp. (Australia) 0.19%, 9/16/2021 (c) (e)

  50,000    49,998 

(ICE LIBOR USD 3 Month + 0.02%), 0.12%, 10/12/2021 (b) (c)

  20,000    20,001 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)

  103,000    103,000 

0.23%, 4/1/2022 (c) (e)

  75,000    74,949 

0.20%, 6/17/2022 (c) (e)

  200,000    199,733 

0.20%, 7/1/2022 (c) (e)

  27,400    27,361 

0.20%, 7/15/2022 (c) (e)

  124,250    124,058 
   

 

 

 

Total Commercial Paper
(Cost $20,676,290)

    20,678,542 
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Short-Term Investments — continued

   

Time Deposits — 18.6%

 

Agricultural Bank of China Ltd.

   

0.10%, 9/3/2021

  500,000    500,000 

0.10%, 9/7/2021

  500,000    500,000 

Australia & New Zealand Banking Group Ltd.

   

0.08%, 9/1/2021

  450,000    450,000 

0.08%, 9/2/2021

  300,000    300,000 

0.07%, 9/7/2021

  250,000    250,000 

BNP Paribas SA 0.06%, 9/1/2021

  300,000    300,000 

Credit Agricole Corporate and Investment Bank

   

0.05%, 9/1/2021

  188,792    188,792 

0.10%, 9/1/2021

  500,000    500,000 

0.10%, 9/3/2021

  400,000    400,000 

0.10%, 9/3/2021

  700,000    700,000 

DNB Bank ASA 0.04%, 9/1/2021

  1,400,000    1,400,000 

DZ Bank AG 0.04%, 9/1/2021

  200,000    200,000 

First Abu Dhabi Bank PJSC 0.08%, 9/1/2021

  1,000,000    1,000,000 

KBC Bank NV 0.05%, 9/1/2021

  2,300,000    2,300,000 

Mizuho Bank Ltd. 0.08%, 9/1/2021

  1,250,000    1,250,000 

Mizuho Bank, Ltd. 0.08%, 9/1/2021

  661,186    661,186 

National Bank of Canada 0.06%, 9/7/2021

  100,000    100,000 

Nordea Bank Abp 0.04%, 9/1/2021

  2,000,000    2,000,000 

Royal Bank of Canada

   

0.05%, 9/1/2021

  510,000    510,000 

0.06%, 9/7/2021

  400,000    400,000 

Swedbank AB 0.04%, 9/1/2021

  1,000,000    1,000,000 
   

 

 

 

Total Time Deposits
(Cost $14,909,978)

 

   14,909,978 
  

 

 

 

Total Short-Term Investments
(Cost $58,059,067)

    58,064,110 
   

 

 

 

Total Investments — 99.5%
(Cost $79,629,067)

    79,634,110 

Other Assets Less Liabilities — 0.5%

    398,725 
   

 

 

 

NET ASSETS — 100.0%

    80,032,835 
   

 

 

 

 

Percentages indicated are based on net assets.

Abbreviations

 

BSBY Bloomberg Short Term Bank Yield Index
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
LIQ Liquidity Agreement
OBFR Overnight Bank Funding Rate
PJSC Public Joint Stock Company
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, 2021.
(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, 2021.
(e) The rate shown is the effective yield as of August 31, 2021.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    23


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

Municipal Bonds — 69.6%

 

Alaska — 1.2%

 

Alaska Housing Finance Corp., Governmental Purpose Series B, Rev., VRDO, LIQ: FHLB, 0.02%, 9/8/2021 (b)

  860    860 

Alaska Housing Finance Corp., Home Mortgage

   

Series 2007A, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)

  14,580    14,580 

Series 2007B, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)

  1,400    1,400 

Series D, Rev., VRDO, LIQ: State Street Bank & Trust, 0.02%, 9/8/2021 (b)

  7,635    7,635 

City of Valdez, Exxon Pipeline Co. Project Series 1993-B, Rev., VRDO, 0.01%, 9/1/2021 (b)

  735    735 
   

 

 

 
    25,210 
   

 

 

 

Arizona — 0.4%

 

Arizona State University Series 2008A, Rev., VRDO, 0.02%, 9/8/2021 (b)

  1,600    1,600 

Salt River Pima-Maricopa Indian Community Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)

  1,325    1,325 

Tender Option Bond Trust Receipts/Certificates

   

Series 2021-XG0312, Rev., VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  2,560    2,560 

Series 2019-XG0231, Rev., VRDO, LOC: Bank of America NA, 0.10%, 9/8/2021 (b) (c)

  2,760    2,760 
   

 

 

 
    8,245 
   

 

 

 

California — 3.2%

 

California Educational Facilities Authority, Institution of Technology Series B, Rev., VRDO, 0.01%, 9/8/2021 (b)

  1,150    1,150 

California Housing Finance, Mission Apartment Series A, Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)

  1,225    1,225 

California Municipal Finance Authority, Recovery Zone Facility, Chevron USA, Inc., Project Series 2010A, Rev., VRDO, 0.01%, 9/1/2021 (b)

  1,950    1,950 

California Statewide Communities Development Authority, Penny Lane Centers Project Series 2008, Rev., VRDO, LOC: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  1,000    1,000 

California Statewide Communities Development Authority, Rady Children’s Hospital Series 2008C, Rev., VRDO, LOC: Northern Trust Co., 0.01%, 9/8/2021 (b)

  2,400    2,400 

California Statewide Communities Development Authority, Sweep Loan Program Series 2007A, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/8/2021 (b)

  1,475    1,475 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

California — continued

 

Metropolitan Water District of Southern California, Waterworks Series 2018A-2, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)

  2,025    2,025 

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-26, Rev., VRDO, LOC: Royal Bank of Canada, 0.17%, 12/1/2021 (b) (c)

  5,000    5,000 

State of California, Various Purpose GO, 5.00%, 9/1/2021

  5,050    5,050 

Tender Option Bond Trust Receipts/Certificates

   

Series 2021-XF1240, GO, VRDO, 0.02%, 9/8/2021 (b)

  3,635    3,635 

Series 2017-XG0121, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)

  6,515    6,515 

Series 2018-XM0696, Rev., VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)

  4,590    4,590 

Series 2019-XL0112, Rev., VRDO, LOC: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)

  2,100    2,100 

Series 2020-YX1155, Rev., VRDO, LIQ: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)

  1,600    1,600 

Series 2021-XL0167, GO, VRDO, LIQ: Bank of America NA, 0.04%, 9/8/2021 (b) (c)

  1,065    1,065 

Series 2018-XM0647, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  8,970    8,970 

Series 2018-ZF2771, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  1,670    1,670 

Series 2019-XM0741, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  6,785    6,785 

Series 2020-XM0837, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  2,500    2,500 

Series 2020-YX1149, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  1,000    1,000 

Series 2018-G-42, Rev., VRDO, 0.22%, 1/3/2022 (b)

  5,000    5,000 
   

 

 

 
    66,705 
   

 

 

 

Colorado — 2.0%

 

City of Colorado Springs, Utilities System Improvement Series 2008-A, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  9,280    9,280 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Municipal Bonds — continued

 

Colorado — continued

 

Series 2009C, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)

  2,000    2,000 

Series A-1, Rev., 5.00%, 11/15/2021

  350    353 

Colorado State Education Loan Program Series 2021A, Rev., TRAN, 4.00%, 6/29/2022

  185    191 

Tender Option Bond Trust Receipts/Certificates

   

Series 2020-XF1209, GO, VRDO, LIQ: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  5,330    5,330 

Series 2020-XX1130, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  3,880    3,880 

Series 2018-XG0195, COP, VRDO, LIQ: Bank of America NA, 0.11%, 9/8/2021 (b) (c)

  3,615    3,615 

University of Colorado Hospital Authority Series B-1, Rev., VRDO, 0.01%, 9/8/2021 (b)

  1,250    1,250 

University of Colorado Hospital Authority, Health System

   

Series 2018 B, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  8,310    8,310 

Series 2018 C, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  6,250    6,250 
   

 

 

 
    40,459 
   

 

 

 

Connecticut — 1.8%

 

Connecticut Housing Finance Authority, Housing Mortgage Finance Program Subseries 2018C-3, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,750    1,750 

Connecticut Innovations, Inc., ISO New England Inc., Project Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  4,845    4,845 

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-G-110, Rev., VRDO, LOC: Royal Bank of Canada, 0.20%, 10/1/2021 (b) (c)

  10,000    10,000 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-XG0204, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  1,930    1,930 

Series 2021-XL0178, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  3,200    3,200 

Town of East Lyme GO, BAN, 0.75%, 8/11/2022

  3,922    3,943 

Town of North Branford GO, BAN, 2.00%, 8/4/2022

  7,450    7,579 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Connecticut — continued

 

Town of North Haven GO, BAN, 1.50%, 11/4/2021

  3,000    3,007 
   

 

 

 
    36,254 
   

 

 

 

District of Columbia — 0.1%

 

District of Columbia, AARP Foundation Issue Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/8/2021 (b)

  1,000    1,000 

District of Columbia, Carnegie Endowment for International Peace Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)

  925    925 
   

 

 

 
    1,925 
   

 

 

 

Florida — 8.5%

 

City of Jacksonville, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)

  2,875    2,875 

City of Jacksonville, Health Care Facilities, Baptist Health Series 2019C, Rev., VRDO, 0.02%, 9/8/2021 (b)

  15,275    15,275 

City of Jacksonville, Health Care Facilities, Baptist Medical Center Series 2019B, Rev., VRDO, 0.02%, 9/8/2021 (b)

  17,420    17,420 

City of Lakeland, Education Facilities, Florida Southern College Project Series 2012B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,205    1,205 

County of Escambia, Gulf Power Co., Project Rev., VRDO, 0.02%, 9/1/2021 (b)

  5,900    5,900 

County of St. Lucie, Florida Power and Light Co., Project Rev., VRDO, 0.01%, 9/1/2021 (b)

  42,400    42,400 

Florida Gulf Coast University Financing Corp., Housing Project Series A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  4,250    4,250 

Highlands County Health Facilities Authority, Adventist Health System

   

Series 2007A, Rev., VRDO, 0.02%, 9/8/2021 (b)

  13,700    13,700 

Series 2012I, Rev., VRDO, 0.02%, 9/8/2021 (b)

  3,000    3,000 

Series 2012I-2, Rev., VRDO, 0.02%, 9/8/2021 (b)

  2,700    2,700 

Series 2012I-4, Rev., VRDO, 0.02%, 9/8/2021 (b)

  3,540    3,540 

Orange County Health Facilities Authority, Orlando Health, Inc. Series E, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,550    1,550 

Pinellas County Housing Finance Authority, Bayside Court Rev., VRDO, LOC: FHLMC, 0.02%, 9/8/2021 (b)

  3,010    3,010 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Municipal Bonds — continued

 

Florida — continued

 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-G-41, Rev., VRDO, 0.22%, 9/1/2021 (b)

  5,665    5,665 

Series 2018-ZM0586, Rev., VRDO, LIQ: Citibank NA, 0.05%, 9/8/2021 (b) (c)

  7,500    7,500 

Series 2019-XF2808, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  7,500    7,500 

Series 2021-XG0323, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  5,000    5,000 

Series 2020-XF2882, Rev., VRDO, AGM-CR, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  2,800    2,800 

Series 2020-XX1136, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  4,745    4,745 

Series 2020-YX1128, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  3,870    3,870 

Series 2019-G113, Rev., VRDO, 0.22%, 1/3/2022 (b)

  17,500    17,500 

Volusia County Housing Finance Authority, Fisherman’s Landing Association Ltd. Rev., VRDO, LOC: FNMA, 0.03%, 9/8/2021 (b)

  5,015    5,015 
   

 

 

 
    176,420 
   

 

 

 

Georgia — 0.2%

 

Development Authority of Monroe County (The), Gulf Power Co. Plant Scherer Project Rev., VRDO, 0.02%, 9/1/2021 (b)

  1,700    1,700 

Tender Option Bond Trust Receipts/Certificates Series 2020-ZF0873, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2021 (b) (c)

  3,000    3,000 
   

 

 

 
    4,700 
   

 

 

 

Hawaii — 0.7%

 

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-13, GO, VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  14,000    14,000 
   

 

 

 

Idaho — 0.0% (d)

 

State of Idaho GO, TAN, 3.00%, 6/30/2022

  350    358 
   

 

 

 

Illinois — 7.0%

 

City of Galesburg, Knox College Project Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)

  6,000    6,000 

County of Lake, Multi-Family Housing, Whispering Oaks Apartments Project Rev., VRDO, LIQ: FHLMC, 0.03%, 9/8/2021 (b)

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

Illinois — continued

 

Illinois Development Finance Authority, St. Ignatius College Prep

   

Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)

  2,650    2,650 

Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)

  5,100    5,100 

Illinois Educational Facilities Authority Series B, Rev., VRDO, 0.02%, 9/8/2021 (b)

  925    925 

Illinois Educational Facilities Authority, Columbia College Chicago Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)

  3,990    3,990 

Illinois Finance Authority, Advocate Health Care Network Series 2008C-3A, Rev., VRDO, LIQ: Northern Trust Co., 0.02%, 9/8/2021 (b)

  1,050    1,050 

Illinois Finance Authority, Bradley University

   

Series 2008A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)

  17,665    17,665 

Series 2008B, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)

  1,000    1,000 

Illinois Finance Authority, Carle Foundation Series 2021D, Rev., VRDO, LIQ: Northern Trust Co., 0.02%, 9/8/2021 (b)

  5,000    5,000 

Illinois Finance Authority, Clearbrook Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)

  1,400    1,400 

Illinois Finance Authority, Edward Health Obligated Group

   

Series 2008B-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  8,215    8,215 

Series 2008C, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,340    1,340 

Illinois Finance Authority, North Park University Project Rev., VRDO, LOC: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  1,000    1,000 

Illinois Finance Authority, Northwestern Memorial Healthcare Series 2021D, Rev., VRDO, 0.02%, 9/8/2021 (b)

  21,500    21,500 

Illinois Finance Authority, The University of Chicago Medical Center

   

Series 2010B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.01%, 9/1/2021 (b)

  1,500    1,500 

Series 2009 E-2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)

  5,000    5,000 

Series 2009E-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)

  200    200 

Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 (b)

  2,330    2,330 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Municipal Bonds — continued

 

Illinois — continued

 

Illinois Finance Authority, The Wbez Alliance, Inc., Project Rev., VRDO, LOC: BMO Harris Bank NA, 0.03%, 9/8/2021 (b)

  20,550    20,550 

Jackson-Union Counties Regional Port District, Port Facility, Enron Transportation Services Rev., VRDO, LOC: Wells Fargo Bank NA, 0.03%, 9/8/2021 (b)

  14,200    14,200 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-XF2535, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  3,840    3,840 

Series 2021-XL0170, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  5,000    5,000 

Series 2020-XG0299, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  2,500    2,500 

Series 2021-XM0938, GO, VRDO, LIQ: Bank of America NA, 0.07%, 9/8/2021 (b) (c)

  2,550    2,550 

Village of Channahon, Morris Hospital Series 2009A, Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/8/2021 (b)

  5,815    5,815 
   

 

 

 
    144,320 
   

 

 

 

Indiana — 0.4%

 

Indiana Finance Authority, Duke Energy Indiana, Inc. Project Series A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.04%, 9/8/2021 (b)

  1,300    1,300 

Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2008F, Rev., VRDO, LOC: Bank of New York Mellon Corp. (The), 0.03%, 9/8/2021 (b)

  1,155    1,155 

Indiana Finance Authority, Parkview Health System, Inc. Series 2009B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/1/2021 (b)

  3,590    3,590 

Tender Option Bond Trust Receipts/Certificates Series 2016-ZF0280, Rev., VRDO, 0.07%, 9/8/2021 (b)

  2,500    2,500 
   

 

 

 
    8,545 
   

 

 

 

Iowa — 3.1%

 

City of Chillicothe, Gas and Electric Project Rev., VRDO, 0.04%, 9/8/2021 (b)

  4,450    4,450 

County of Louisa, Pollution Control, Midwest Power System, Inc. Rev., VRDO, 0.04%, 9/8/2021 (b)

  7,000    7,000 

Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project

   

Rev., VRDO, 0.04%, 9/8/2021 (b)

  8,870    8,870 

Rev., VRDO, 0.05%, 9/8/2021 (b)

  5,115    5,115 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Iowa — continued

 

Iowa Finance Authority, Midwestern Disaster Area, Cargill, Inc. Project Series 2011A, Rev., VRDO, 0.04%, 9/8/2021 (b)

  19,000    19,000 

Iowa Finance Authority, Mortgage-Backed Securities Program Series 2018D, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)

  7,500    7,500 

Iowa Finance Authority, Single Family Mortgage-Backed Securities Program

   

Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  500    500 

Series 2018B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  7,945    7,945 

Series 2019B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  200    200 

Series 2020B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  2,500    2,500 

Iowa Finance Authority, Trinity Health Corp. Series 2000D, Rev., VRDO, 0.02%, 9/8/2021 (b)

  635    635 
   

 

 

 
    63,715 
   

 

 

 

Kansas — 0.4%

 

City of Wichita

   

Series 302, GO, 3.50%, 10/15/2021

  250    251 

Series 304, GO, 4.50%, 10/15/2021

  6,805    6,842 
   

 

 

 
    7,093 
   

 

 

 

Kentucky — 1.3%

 

Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc.

   

Series 2011A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)

  4,800    4,800 

Series 2013C, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)

  1,300    1,300 

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-116, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 11/1/2021 (b) (c)

  12,000    12,000 

Tender Option Bond Trust Receipts/Certificates

   

Series 2020-XG0320, Rev., VRDO, LOC: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  2,250    2,250 

Series 2017-XG0113, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  3,735    3,735 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Municipal Bonds — continued

 

Kentucky — continued

 

Series 2020-XM0881, Rev., VRDO, AGM, LIQ: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)

  2,800    2,800 
   

 

 

 
    26,885 
   

 

 

 

Louisiana — 0.1%

 

East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobile Project, Gulf Opportunity Zone Series 2010B, Rev., VRDO, 0.01%, 9/1/2021 (b)

  2,340    2,340 
   

 

 

 

Maine — 0.6%

 

City of South Portland, Middle School Project GO, BAN, 0.75%, 4/15/2022

  10,000    10,036 

Tender Option Bond Trust Receipts/Certificates Series 2021-XL0179, Rev., VRDO, LIQ: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  1,670    1,670 
   

 

 

 
    11,706 
   

 

 

 

Maryland — 1.4%

 

City of Baltimore Series 2015-ZF2095, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  6,665    6,665 

Montgomery County Housing Opportunities Commission, Single Family Mortgage Series 2021C, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)

  5,000    5,000 

RBC Municipal Products, Inc. Trust, Floater Certificates Series G-28, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 1/3/2022 (b) (c)

  10,115    10,115 

Tender Option Bond Trust Receipts/Certificates

   

Series 2021-XG0332, Rev., VRDO, LIQ: Bank of America NA, 0.06%, 9/8/2021 (b) (c)

  3,470    3,470 

Series 2018-ZM0621, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.07%, 9/8/2021 (b) (c)

  4,000    4,000 
   

 

 

 
    29,250 
   

 

 

 

Massachusetts — 1.0%

 

City of Cambridge, Municipal Purpose Loan of 2014 GO, 5.00%, 2/15/2022

  665    680 

City of Cambridge, Municipal Purpose Loan of 2021 GO, 5.00%, 2/15/2022

  925    946 

City of Chicopee GO, 5.00%, 6/1/2022

  275    285 

City of Quincy GO, BAN, 1.50%, 1/14/2022

  2,600    2,613 

City of Westfield GO, BAN, 1.50%, 6/10/2022

  4,840    4,891 

Massachusetts Housing Finance Agency, Single Family Housing

   

Rev., VRDO, LIQ: UBS AG, 0.02%, 9/8/2021 (b)

  3,000    3,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Massachusetts — continued

 

Rev., VRDO, LIQ: UBS AG, 0.02%, 9/8/2021 (b)

  3,000    3,000 

Massachusetts Water Resources Authority, Multi-Modal Subordinate General Series A-2, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,090    1,090 

Tender Option Bond Trust Receipts/Certificates Series 2020-ZF0968, Rev., VRDO, FHA, LIQ: TD Bank NA, 0.06%, 9/8/2021 (b) (c)

  3,335    3,335 

Town of Bedford, Municipal Purpose Loan of 2014 GO, 5.00%, 10/15/2021

  355    357 

Town of Grafton Series A, GO, 5.00%, 4/1/2022

  155    159 
   

 

 

 
    20,356 
   

 

 

 

Michigan — 2.1%

 

Kent Hospital Finance Authority, Spectrum Health System Series 2008C, Rev., VRDO, LOC: Bank of New York Mellon Corp. (The), 0.02%, 9/8/2021 (b)

  10,055    10,055 

L’Anse Creuse Public Schools, School Building and Site GO, VRDO, Q-SBLF, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  17,515    17,515 

Michigan Finance Authority, Trinity Health Credit Group Series MI-1, Rev., VRDO, 0.08%, 12/1/2021 (b)

  14,500    14,500 

University of Michigan Series B, Rev., VRDO, 0.01%, 9/8/2021 (b)

  995    995 
   

 

 

 
    43,065 
   

 

 

 

Minnesota — 0.2%

 

City of Rochester, Health Care Facilities, Mayo Clinic Series A, Rev., VRDO, 0.01%, 9/8/2021 (b)

  1,630    1,630 

Minnesota Housing Finance Agency, Residential Housing Finance Series 2017F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: Royal Bank of Canada, 0.02%, 9/8/2021 (b)

  1,750    1,750 
   

 

 

 
    3,380 
   

 

 

 

Mississippi — 2.9%

 

County of Jackson, Port Facility, Chevron USA, Inc. Project Rev., VRDO, 0.01%, 9/1/2021 (b)

  3,540    3,540 

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

   

Series 2007C, Rev., VRDO, 0.01%, 9/1/2021 (b)

  1,150    1,150 

Series 2009E, Rev., VRDO, 0.01%, 9/1/2021 (b)

  250    250 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Municipal Bonds — continued

 

Mississippi — continued

 

Series 2009F, Rev., VRDO, 0.01%, 9/1/2021 (b)

  2,345    2,345 

Series 2009G, Rev., VRDO, 0.01%, 9/1/2021 (b)

  1,525    1,525 

Series 2010G, Rev., VRDO, 0.01%, 9/1/2021 (b)

  1,550    1,550 

Series 2010K, Rev., VRDO, 0.01%, 9/1/2021 (b)

  1,000    1,000 

Series 2011 G, Rev., VRDO, 0.01%, 9/1/2021 (b)

  16,695    16,695 

Series 2011A, Rev., VRDO, 0.01%, 9/1/2021 (b)

  16,260    16,260 

Series 2011D, Rev., VRDO, 0.01%, 9/1/2021 (b)

  375    375 

Series B, Rev., VRDO, 0.01%, 9/1/2021 (b)

  2,570    2,570 

Series 2010A, Rev., VRDO, 0.02%, 9/8/2021 (b)

  13,585    13,585 
   

 

 

 
    60,845 
   

 

 

 

Missouri — 1.7%

 

City of Kansas City, Roe Bartle Convention Center Series 2008F, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)

  2,250    2,250 

Health and Educational Facilities Authority of the State of Missouri, Ascension Health Senior Credit Group Series C-4, Rev., VRDO, 0.02%, 9/8/2021 (b)

  900    900 

Health and Educational Facilities Authority of the State of Missouri, BJC Health System

   

Series 2008A, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  6,105    6,105 

Series C, Rev., VRDO, LIQ: BJC Health System, 0.02%, 9/8/2021 (b)

  5,005    5,005 

Health and Educational Facilities Authority of The State of Missouri, BJC Health System Series D, Rev., VRDO, 0.02%, 9/8/2021 (b)

  775    775 

Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Series 2014G, Rev., VRDO, 0.02%, 9/8/2021 (b)

  3,850    3,850 

Health and Educational Facilities Authority of the State of Missouri, SSM Health System Series D, Rev., VRDO, 0.02%, 9/8/2021 (b)

  1,155    1,155 

Missouri Highway and Transportation Commission, Senior Lien Series 2010C, Rev., 5.00%, 2/1/2022

  2,000    2,041 

Nodaway County Industrial Development Authority, Northwest Foundation, Inc. Rev., VRDO, LOC: U.S. Bank NA, 0.01%, 9/8/2021 (b)

  3,235    3,235 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Missouri — continued

 

Tender Option Bond Trust Receipts/Certificates

   

Series 2017-XG0157, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  5,190    5,190 

Series XF0536, Rev., VRDO, LOC: Royal Bank of Canada, 0.08%, 9/8/2021 (b)

  4,950    4,950 
   

 

 

 
    35,456 
   

 

 

 

Nebraska — 0.3%

 

County of Washington, Cargill, Inc., Recovery Zone Facility Project Series 2010B, Rev., VRDO, 0.04%, 9/8/2021 (b)

  6,800    6,800 
   

 

 

 

Nevada — 1.0%

 

County of Clark Department of Aviation, Subordinate Lien

   

Series 2008D-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)

  3,115    3,115 

Series 2008D-2A, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)

  450    450 

County of Clark, Industrial Development, Southwest Gas Corp. Project Series 2009A, Rev., VRDO, LOC: Bank of America NA, 0.03%, 9/8/2021 (b)

  16,555    16,555 

County of Washoe, Limited Tax GO, 5.00%, 12/1/2021

  215    218 

Tender Option Bond Trust Receipts/Certificates Series 2020-XM0866, Rev., VRDO, LOC: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)

  1,000    1,000 
   

 

 

 
    21,338 
   

 

 

 

New Hampshire — 0.0% (d)

 

Town of Salem GO, 5.00%, 3/15/2022

  135    139 
   

 

 

 

New Jersey — 4.1%

 

Borough of Dumont GO, BAN, 2.00%, 6/2/2022

  3,030    3,073 

City of Ventnor City GO, BAN, 1.00%, 7/14/2022

  19,500    19,645 

City of Wildwood, Water and Sewer Utility GO, BAN, 2.00%, 10/15/2021

  5,000    5,011 

County of Cumberland GO, BAN, 2.00%, 10/7/2021

  2,680    2,685 

Hudson County Improvement Authority, County Guaranteed Pooled Notes

   

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

  9,988    9,988 

Series 2021A-1, Rev., GTD, 1.50%, 2/8/2022

  200    201 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Municipal Bonds — continued

 

New Jersey — continued

 

Series 2021B-1, Rev., GTD, 1.50%, 4/28/2022

  3,080    3,109 

Somerset County Improvement Authority, Lease Project Series 2021A, Rev., GTD, 2.00%, 2/25/2022

  500    504 

Township of Florence Series 2021A, GO, BAN, 1.50%, 1/13/2022

  4,803    4,828 

Township of South Brunswick Series 2020A, GO, BAN, 2.00%, 9/28/2021

  15,468    15,490 

Township of South Orange Village GO, BAN, 1.50%, 7/7/2022

  9,000    9,106 

Township of Woodbridge GO, 2.00%, 10/15/2021

  250    251 

Township of Woodbridge, General Sewer Utility GO, BAN, 2.00%, 10/15/2021

  11,790    11,817 
   

 

 

 
    85,708 
   

 

 

 

New Mexico — 0.3%

 

University of New Mexico (The), Subordinate Lien System

   

Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  2,785    2,785 

Series 2002B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  1,375    1,375 

Series 2002C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  2,650    2,650 
   

 

 

 
    6,810 
   

 

 

 

New York — 6.8%

 

Albany Industrial Development Agency Series A, Rev., VRDO, LOC: TD Bank NA, 0.03%, 9/8/2021 (b)

  1,445    1,445 

Battery Park City Authority Series 2019D-2, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  4,000    4,000 

City of New York

   

Series E, Subseries E-4, GO, VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)

  950    950 

Subseries H-6, GO, VRDO, LOC: Bank of America NA, 0.02%, 9/8/2021 (b)

  1,240    1,240 

Series A, Subseries A-5, GO, VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.03%, 9/8/2021 (b)

  1,075    1,075 

City of New York, Fiscal Year 2006 Series I, Subseries I-4, GO, VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)

  2,195    2,195 

Metropolitan Transportation Authority

   

Series 2015 E-1, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/1/2021 (b)

  4,500    4,500 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

New York — continued

 

Series 2005 E-1, Rev., VRDO, LOC: Barclays Bank plc, 0.01%, 9/8/2021 (b)

  6,300    6,300 

Metropolitan Transportation Authority, Dedicated Tax Fund

   

Series 2008A-1, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)

  9,410    9,410 

Series 2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)

  2,165    2,165 

Series 2008B-3C, Rev., VRDO, LOC: PNC Bank NA, 0.03%, 9/8/2021 (b)

  3,350    3,350 

New York City Health and Hospitals Corp., Health System Series B, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,050    1,050 

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 Subseries A-4, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)

  2,800    2,800 

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 Subseries C-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.02%, 9/8/2021 (b)

  16,500    16,500 

New York City Water and Sewer System, Fiscal Year 2003 Subseries F-1-A, Rev., VRDO, LIQ: Barclays Bank plc, 0.02%, 9/8/2021 (b)

  125    125 

New York City Water and Sewer System, Second General Resolution Subseries CC-2, Rev., VRDO, LIQ: Bank of Montreal, 0.01%, 9/1/2021 (b)

  3,300    3,300 

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2011 Series DD-1, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/1/2021 (b)

  840    840 

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2014 Series AA, Subseries AA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)

  9,580    9,580 

New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series BB, Rev., VRDO, LIQ: Mizuho Bank Ltd., 0.01%, 9/1/2021 (b)

  2,175    2,175 

New York State Dormitory Authority, Blythedale Children’s Hospital Rev., VRDO, LOC: TD Bank NA, 0.04%, 9/8/2021 (b)

  1,200    1,200 

New York State Dormitory Authority, City University System, CONS Fifth General Resolution Series 2008D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,305    1,305 

New York State Energy Research and Development Authority, Consolidated Edison Co., Inc. Project Subseries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 0.02%, 9/8/2021 (b)

  1,700    1,700 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Municipal Bonds — continued

 

New York — continued

 

Phoenix Central School District GO, BAN, 1.00%, 6/30/2022

  6,000    6,041 

RBC Municipal Products, Inc. Trust, Floater Certificates Series E-146, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  2,500    2,500 

Tender Option Bond Trust Receipts/Certificates

   

Series E-118, GO, VRDO, 0.03%, 9/1/2021 (b)

  3,400    3,400 

Series 2021-XL0164, Rev., VRDO, LIQ: Wells Fargo Bank NA, 0.04%, 9/8/2021 (b) (c)

  5,000    5,000 

Series 2021-YX1167, GO, VRDO, LIQ: Barclays Bank plc, 0.04%, 9/8/2021 (b) (c)

  5,500    5,500 

Series 2018-XF2656, Rev., VRDO, 0.05%, 9/8/2021 (b)

  800    800 

Series 2018-XM0692, Rev., VRDO, 0.05%, 9/8/2021 (b)

  1,600    1,600 

Series 2021-XF2940, Rev., VRDO, LIQ: UBS AG, 0.05%, 9/8/2021 (b) (c)

  2,535    2,535 

Series 2021-XG0311, Rev., VRDO, LOC: Barclays Bank plc, 0.05%, 9/8/2021 (b) (c)

  1,430    1,430 

Series 2016-ZF0464, Rev., VRDO, LOC: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)

  11,300    11,300 

Series 2017-XF2419, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  4,500    4,500 

Series 2020-XF2868, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  1,900    1,900 

Series 2020-XF2917, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  2,475    2,475 

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Series 2003 B-1, Rev., VRDO, LOC: Bank of America NA, 0.01%, 9/1/2021 (b)

  125    125 

Trust for Cultural Resources of The City of New York (The), The Museum of Modern Art Series 2006A-1, Rev., VRDO, 0.02%, 9/8/2021 (b)

  14,060    14,060 
   

 

 

 
    140,371 
   

 

 

 

North Carolina — 1.5%

 

City of Charlotte Series F, COP, VRDO, LIQ: Bank of America NA, 0.02%, 9/8/2021 (b)

  2,930    2,930 

City of Raleigh, Downtown Improvement Projects Series 2004A, COP, VRDO, LIQ: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)

  1,460    1,460 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

North Carolina — continued

 

County of Johnson, Public Improvement GO, 5.00%, 2/1/2022

  105    107 

North Carolina Medical Care Commission, Moses Cone Health System

   

Series 2001B, Rev., VRDO, LIQ: Bank of Montreal, 0.02%, 9/1/2021 (b)

  8,955    8,955 

Series 2001A, Rev., VRDO, LIQ: BMO Harris Bank NA, 0.02%, 9/8/2021 (b)

  1,950    1,950 

Series 2004A, Rev., VRDO, 0.02%, 9/8/2021 (b)

  950    950 

Person County Industrial Facilities and Pollution Control Financing Authority, Recovery Zone Facility, CertainTeed Gypsum, Inc. Rev., VRDO, LOC: Credit Industriel et Commercial, 0.05%, 9/8/2021 (b)

  10,100    10,100 

Tender Option Bond Trust Receipts/Certificates Series 2019-ZF2813, Rev., VRDO, LIQ: Barclays Bank plc, 0.07%, 9/8/2021 (b) (c)

  3,415    3,415 
   

 

 

 
    29,867 
   

 

 

 

North Dakota — 0.1%

 

North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2015E, Rev., VRDO, LIQ: TD Bank NA, 0.02%, 9/8/2021 (b)

  2,190    2,190 
   

 

 

 

Ohio — 0.3%

 

County of Allen, Hospital Facilities, Catholic Health Partners Series 2012B, Rev., VRDO, 0.02%, 9/8/2021 (b)

  2,435    2,435 

Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Obligated Group Series B-3, Rev., VRDO, LIQ: U.S. Bank NA, 0.01%, 9/1/2021 (b)

  700    700 

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-E-132, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  2,065    2,065 

State of Ohio Series 2015C, GO, 5.00%, 9/1/2021

  100    100 

State of Ohio, Cleveland Clinic Health System Series 2019D-2, Rev., VRDO, 0.01%, 9/8/2021 (b)

  1,690    1,690 
   

 

 

 
    6,990 
   

 

 

 

Oklahoma — 0.1%

 

Tender Option Bond Trust Receipts/Certificates Series 2020-XF2884, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  1,370    1,370 
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Municipal Bonds — continued

 

Oregon — 0.4%

 

Clackamas County Hospital Facility Authority, Legacy Health System Series 2008A, Rev., VRDO, LOC: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  1,000    1,000 

Oregon State Facilities Authority, Peacehealth Series 2018B, Rev., VRDO, LOC: TD Bank NA, 0.01%, 9/1/2021 (b)

  6,800    6,800 

State of Oregon, Veterans Welfare Series 2015P, GO, VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  1,300    1,300 
   

 

 

 
    9,100 
   

 

 

 

Pennsylvania — 1.2%

 

Pennsylvania Economic Development Financing Authority, Exempt Facilities, PPL Energy Supply, LLC Project Series 2009C, Rev., VRDO, LOC: MUFG Union Bank NA, 0.12%, 9/8/2021 (b)

  5,475    5,475 

Pennsylvania Turnpike Commission Series 2019-2, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,500    1,500 

Philadelphia Gas Works Co., 1998 General Ordinance Series D, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/8/2021 (b)

  1,780    1,780 

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2018-G-43, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 12/1/2021 (b) (c)

  5,000    5,000 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-XF2654, Rev., VRDO, 0.06%, 9/8/2021 (b)

  4,420    4,420 

Series 2020-XM0876, Rev., VRDO, LIQ: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)

  1,875    1,875 

Series 2018-XL0061, Rev., VRDO, 0.07%, 9/8/2021 (b)

  4,490    4,490 
   

 

 

 
    24,540 
   

 

 

 

Rhode Island — 0.8%

 

City of Cranston

   

Series 2021A, GO, 5.00%, 8/15/2022

  260    272 

Series 1, GO, BAN, 1.00%, 8/23/2022

  5,000    5,041 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZM0631, Rev., VRDO, 0.07%, 9/8/2021 (b)

  6,035    6,035 

Series 2018-ZM0632, Rev., VRDO, 0.07%, 9/8/2021 (b)

  4,050    4,050 
   

 

 

 
    15,398 
   

 

 

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

South Carolina — 0.8%

 

County Square Redevelopment Corp., Greenville County, South Carolina Project Rev., BAN, 2.00%, 3/3/2022

  1,085    1,096 

RBC Municipal Products, Inc. Trust, Floater Certificates Series 2019-G-109, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 10/1/2021 (b) (c)

  5,000    5,000 

South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 0.05%, 9/8/2021 (b)

  8,790    8,790 

Town of Lexington Waterworks and Sewer System Combined Rev., RAN, 2.25%, 10/27/2021

  2,450    2,458 
   

 

 

 
    17,344 
   

 

 

 

Tennessee — 0.5%

 

Metropolitan Government Nashville & Davidson County Industrial Development Board, Summit Apartments Project Rev., VRDO, LOC: FNMA, 0.02%, 9/8/2021 (b)

  2,125    2,125 

Montgomery County Public Building Authority, Pooled Financing Rev., VRDO, LOC: Bank of America NA, 0.04%, 9/8/2021 (b)

  1,300    1,300 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-XF2576, Rev., VRDO, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  2,000    2,000 

Series 2018-XL0062, Rev., VRDO, 0.07%, 9/8/2021 (b)

  4,420    4,420 
   

 

 

 
    9,845 
   

 

 

 

Texas — 7.0%

 

City of Houston, Combined Utility System, First Lien

   

Series 2004B-5, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.02%, 9/8/2021 (b)

  900    900 

Series B-2, Rev., VRDO, LOC: Citibank NA, 0.02%, 9/8/2021 (b)

  1,100    1,100 

Collin County Housing Finance Corp., Multi-Family Housing Rev., VRDO, LOC: Northern Trust Co., 0.09%, 9/8/2021 (b)

  12,305    12,305 

Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2014D, Rev., VRDO, 0.02%, 9/8/2021 (b)

  4,300    4,300 

Harris County Industrial Development Corp Exxon Corp Project Series A, Rev., VRDO, 0.01%, 9/1/2021 (b)

  3,700    3,700 

Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project

   

Series 2001A-2, Rev., VRDO, 0.01%, 9/1/2021 (b)

  5,200    5,200 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Municipal Bonds — continued

 

Texas — continued

 

Series 2002A, Rev., VRDO, 0.01%, 9/1/2021 (b)

  790    790 

Series A-3, Rev., VRDO, 0.01%, 9/1/2021 (b)

  300    300 

RBC Municipal Products, Inc. Trust, Floater Certificates

   

Series E-149, Rev., VRDO, LOC: Royal Bank of Canada, 0.05%, 9/8/2021 (b) (c)

  5,500    5,500 

Series 2019-G112, Rev., VRDO, LOC: Royal Bank of Canada, 0.22%, 1/3/2022 (b) (c)

  9,000    9,000 

State of Texas, Veterans

   

Series 2011C, GO, VRDO, LIQ: FHLB, 0.03%, 9/8/2021 (b)

  10,140    10,140 

Series 2015 A, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)

  3,435    3,435 

Series A, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)

  15,520    15,520 

GO, VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.04%, 9/8/2021 (b)

  1,490    1,490 

State of Texas, Veterans Housing Assistance Program

   

Series 2008 B, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)

  18,560    18,560 

Series 2010C, GO, VRDO, LIQ: State Street Bank & Trust, 0.03%, 9/8/2021 (b)

  405    405 

GO, VRDO, LIQ: FHLB, 0.04%, 9/8/2021 (b)

  16,100    16,100 

Tarrant County Cultural Education Facilities Finance Corp., Christus Health Series C-2, Rev., VRDO, LOC: Bank of New York Mellon Corp. (The), 0.02%, 9/8/2021 (b)

  1,200    1,200 

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

   

Series 2012 B, Rev., VRDO, 0.01%, 9/8/2021 (b)

  13,120    13,120 

Series 2017-B, Rev., VRDO, 0.02%, 9/8/2021 (b)

  10,000    10,000 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZF2662, GO, VRDO, PSF-GTD, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  3,840    3,840 

Series 2018-ZF2721, GO, VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  3,335    3,335 

Series 2018-XF0645, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2021 (b) (c)

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

Texas — continued

 

Texas Transportation Commission State Highway Fund Series 2014-B1, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 0.03%, 9/8/2021 (b)

  1,000    1,000 
   

 

 

 
    145,240 
   

 

 

 

Utah — 0.6%

 

County of Utah, IHC Health Services, Inc.

   

Series 2016D, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  4,855    4,855 

Series B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  1,085    1,085 

Series C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  310    310 

Series C, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  275    275 

Tender Option Bond Trust Receipts/Certificates

   

Series 2018-ZM0652, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.05%, 9/8/2021 (b) (c)

  3,425    3,425 

Series 2018-XG0171, Rev., VRDO, LIQ: Royal Bank of Canada, 0.06%, 9/8/2021 (b) (c)

  3,000    3,000 
   

 

 

 
    12,950 
   

 

 

 

Vermont — 0.2%

 

Vermont Educational and Health Buildings Financing Agency, Southwestern Vermont Medical Center Series 2008A, Rev., VRDO, LOC: TD Bank NA, 0.02%, 9/1/2021 (b)

  4,725    4,725 
   

 

 

 

Virginia — 2.4%

 

Albermarle County Economic Development Authority, Sentara Martha Jefferson Hospital Series 2018A, Rev., VRDO, LIQ: TD Bank NA, 0.01%, 9/8/2021 (b)

  1,030    1,030 

Loudoun County Economic Development Authority, Howard Hughes Medical Institute

   

Series 2003F, Rev., VRDO, 0.01%, 9/8/2021 (b)

  6,000    6,000 

Series 2013A, Rev., VRDO, 0.01%, 9/8/2021 (b)

  8,975    8,975 

Series 2009B, Rev., VRDO, 0.02%, 9/8/2021 (b)

  1,865    1,865 

Loudoun County Economic Development Authority, Jack Kent Cooke Foundation Project Rev., VRDO, LOC: Northern Trust Co., 0.02%, 9/8/2021 (b)

  4,000    4,000 

Roanoke Economic Development Authority, Carilion Clinic Obligated Group Series 2020B, Rev., VRDO, LIQ: PNC Bank NA, 0.03%, 9/8/2021 (b)

  10,000    10,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Municipal Bonds — continued

 

Virginia — continued

 

Tender Option Bond Trust Receipts/Certificates

   

Series 2020-ZF0997, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)

  1,840    1,840 

Series 2020-ZF0998, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)

  1,660    1,660 

Series 2021-XM0932, Rev., VRDO, LIQ: Bank of America NA, 0.05%, 9/8/2021 (b) (c)

  2,825    2,825 

Series 2020-XF0955, Rev., VRDO, LIQ: TD Bank NA, 0.07%, 9/8/2021 (b) (c)

  5,335    5,335 

Virginia Small Business Financing Authority, Carilion Clinic Obligated Group Series 2008A, Rev., VRDO, LOC: PNC Bank NA, 0.02%, 9/8/2021 (b)

  6,450    6,450 
   

 

 

 
    49,980 
   

 

 

 

Washington — 0.1%

 

Washington State Housing Finance Commission, Multi-Family, Cambridge Apartments Project Rev., VRDO, LOC: FNMA, 0.01%, 9/8/2021 (b)

  1,775    1,775 

Washington State Housing Finance Commission, Traditions at South Hill Apartments Project Series 2011A, Rev., VRDO, AMT, LOC: FHLMC, 0.02%, 9/8/2021 (b)

  1,040    1,040 
   

 

 

 
    2,815 
   

 

 

 

Wisconsin — 0.8%

 

Tender Option Bond Trust Receipts/Certificates Series 2020-XL0148, Rev., VRDO, AGM, LOC: Barclays Bank plc, 0.06%, 9/8/2021 (b) (c)

  4,495    4,495 

Wisconsin Health and Educational Facilities Authority, Froedtert Health, Inc., Obligated Group Series 2021B, Rev., VRDO, LIQ: U.S. Bank NA, 0.02%, 9/8/2021 (b)

  5,000    5,000 

Wisconsin Housing and Economic Development Authority, Home Ownership Series 2021B, Rev., VRDO, LIQ: FHLB, 0.02%, 9/8/2021 (b)

  8,000    8,000 
   

 

 

 
    17,495 
   

 

 

 

Total Municipal Bonds
(Cost $1,442,224)

    1,442,247 
   

 

 

 
   SHARES
(000)
      

Variable Rate Demand Preferred Shares — 4.9%

 

New York — 1.1%

 

Nuveen New York AMT-Free Quality Municipal Income Fund

   

Series 2, LIQ: Royal Bank of Canada, 0.07%, 9/8/2021 # (c)

  6,600    6,600 
INVESTMENTS (a)     
SHARES
(000)
   VALUE
($000)
 
   

New York — continued

 

Series 3, LIQ: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)

  15,000    15,000 
   

 

 

 
    21,600 
   

 

 

 

Other — 3.8%

 

Nuveen AMT-Free Municipal Credit Income Fund

   

Series 5, LIQ: Societe Generale, 0.07%, 9/8/2021 # (c)

  20,000    20,000 

Series 6, LIQ: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)

  19,000    19,000 

Nuveen AMT-Free Quality Municipal Income Fund

   

Series 3, LIQ: TD Bank NA, 0.07%, 9/8/2021 # (c)

  5,000    5,000 

Series 4-4895, LIQ: Barclays Bank plc, 0.07%, 9/8/2021 # (c)

  30,000    30,000 

Series 5-1000, LOC: Sumitomo Mitsui Banking Corp., 0.07%, 9/8/2021 # (c)

  5,000    5,000 
   

 

 

 
    79,000 
   

 

 

 

Total Variable Rate Demand Preferred Shares
(Cost $100,600)

    100,600 
   

 

 

 
   PRINCIPAL
AMOUNT
($000)
      

Short-Term Investments — 23.4%

 

Commercial Paper — 23.4%

 

Alachua County Health Facilities Authority, Tax Exempt Series 08-A, 0.08%, 10/7/2021

  6,240    6,240 

Board of Governors of Colorado State University System Series A, 0.09%, 10/29/2021

  10,000    10,000 

Board of Regents of the University of Texas System

   

Series A, 0.10%, 10/8/2021

  10,000    9,999 

Series A, 0.16%, 3/21/2022

  3,000    3,000 

Series A, 0.15%, 3/29/2022

  5,000    5,000 

California Statewide Communities Development Authority

   

Series 9B-3, 0.12%, 1/6/2022

  4,000    4,000 

Series 9B-2, 0.11%, 1/11/2022

  5,000    5,000 

Series B-5, 0.11%, 1/11/2022

  5,000    5,000 

California Statewide Communities Development Authority, Tax Exempt

   

Series 9B-4, 0.19%, 9/2/2021

  5,000    5,000 

Series 9B-1, 0.16%, 9/8/2021

  10,000    10,000 

Series 9B-3, 0.17%, 10/6/2021

  5,000    5,000 

Series 9B-4, 0.17%, 10/7/2021

  2,500    2,500 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Short-Term Investments — continued

 

Commercial Paper — continued

 

Series 08-C, 0.09%, 10/13/2021

  15,000    15,000 

Series 08-B, 0.12%, 11/4/2021

  1,500    1,500 

Series D, 0.11%, 11/9/2021

  3,000    3,000 

Series B-5, 0.17%, 12/9/2021

  300    300 

Series B-6, 0.11%, 2/2/2022

  1,000    1,000 

Series D, 0.11%, 2/8/2022

  7,000    7,000 

Series 9B-1, 0.11%, 2/9/2022

  11,000    11,000 

City and County of San Francisco, LOC: U.S. Bank NA, 0.11%, 11/3/2021

  1,190    1,190 

City of Dallas, Tax Exempt Series G, 0.07%, 9/23/2021

  9,000    9,000 

City of Garland Series 2021, 0.08%, 9/15/2021

  2,500    2,500 

City of Houston, Tax Exempt Series H-2, 0.07%, 10/19/2021

  10,000    10,000 

City of Jacksonville

   

Series 92, 0.12%, 9/2/2021

  3,000    3,000 

Series 94, 0.12%, 9/2/2021

  11,200    11,200 

City of Philadelphia, Water & Wastewater, Tax Exempt

   

Series A, 0.08%, 9/2/2021

  1,000    1,000 

Series B, 0.07%, 10/5/2021

  1,000    1,000 

City of Rochester Series 08-C, 0.09%, 10/7/2021

  8,000    8,000 

City of San Antonio, Electric and Gas Systems Series B, 0.07%, 9/27/2021

  7,500    7,500 

County of Harris Series A-1, 0.09%, 10/13/2021

  3,500    3,500 

County of Hillsborough Series A, 0.07%, 9/30/2021

  14,325    14,325 

County of Hillsborough, Tax Exempt

   

Series A, 0.12%, 9/9/2021

  3,800    3,800 

Series A, 0.09%, 10/21/2021

  3,800    3,800 

County of Montgomery Series 10-A, 0.07%, 9/16/2021

  7,000    7,000 

County of York Series 00B3, 0.07%, 9/1/2021

  10,000    10,000 

District of Columbia Series 2019, 0.08%, 11/2/2021

  25,000    25,000 

East Bay Municipal Utility District Series A-1, 0.07%, 9/2/2021

  10,000    10,000 

East Bay Municipal Utility District, Tax Exempt

   

Series A-2, 0.06%, 10/1/2021

  6,200    6,200 

Series A-2, 0.08%, 11/2/2021

  6,000    6,000 

Health and Educational Facilities Authority of the State of Missouri BJC Health System, Tax Exempt Series 14-C, 0.08%, 10/21/2021

  10,000    10,000 
INVESTMENTS (a)  PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

Indiana Finance Authority, Tax Exempt

   

Series D-2, 0.06%, 9/16/2021

  9,900    9,900 

Series D-2, 0.10%, 10/5/2021

  5,000    5,000 

Jacksonville Health Care Authority, Tax Exempt Series 2016, 0.17%, 1/28/2022

  11,000    11,000 

King County Housing Authority, Tax Exempt Series A, 0.09%, 10/6/2021

  5,375    5,375 

Los Angeles County Housing Authority Series D-TE, 0.10%, 9/1/2021

  2,000    2,000 

Louisville and Jefferson County Metropolitan Sewer District Series A-1, 0.11%, 12/9/2021

  7,500    7,500 

Lower Colorado River Authority, Tax Exempt Series B, 0.09%, 9/2/2021

  1,735    1,735 

Maryland Health and Higher Educational Facilities Authority Series B, 0.07%, 9/8/2021

  5,790    5,790 

Municipal Improvement Corp. of Los Angeles, Tax Exempt

   

Series A-2, 0.07%, 9/8/2021

  10,500    10,500 

Series A-1, LOC: BMO Harris Bank NA, 0.08%, 10/7/2021

  16,100    16,100 

Omaha Public Power District, Tax Exempt Series A, 0.10%, 10/12/2021

  9,100    9,100 

Regents of the University of Michigan Series B, 0.09%, 11/3/2021

  600    600 

Salt River Project Agricultural Improvement and Power District Series C, 0.06%, 9/1/2021

  18,800    18,800 

San Francisco City and County Public Utilities Commission Wastewater

   

Series A-1, LOC: Sumitomo Mitsui Banking Corp., 0.08%, 9/9/2021

  15,000    15,000 

Series A-4, 0.07%, 10/14/2021

  15,500    15,501 

Southwestern Illinois Development Authority, Tax Exempt Series 17-B, 0.08%, 10/7/2021

  5,000    5,000 

Stafford County & Staunton Industrial Development Authority, Tax Exempt Series 8-A1, 0.07%, 9/2/2021

  10,000    10,000 

State of California

   

Series A6, 0.06%, 9/8/2021

  5,000    5,000 

Series 11A5, LOC: U.S. Bank NA, 0.07%, 9/20/2021

  4,969    4,969 

Series A-4, LOC: TD Bank NA, 0.09%, 10/19/2021

  5,245    5,245 

State of California, Tax Exempt

   

Series A-7, LOC: State Street Bank & Trust, 0.05%, 9/2/2021

  23,530    23,530 

Series A-7, 0.06%, 10/19/2021

  8,000    8,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    35


Table of Contents

JPMorgan Institutional Tax Free Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Short-Term Investments — continued

 

Commercial Paper — continued

 

Texas Public Finance Authority

   

Series 2008, 0.09%, 11/3/2021

  7,205    7,205 

Series 19, 0.09%, 12/15/2021

  3,300    3,300 

University of Houston Series TE-A, 0.07%, 9/13/2021

  188    188 

University of Minnesota, Tax Exempt Series 07-C, 0.08%, 10/7/2021

  3,800    3,800 

University of Washington Series A, 0.12%, 2/8/2022

  12,000    11,999 

Upper Trinity Regional Water District, Tax Exempt Series A, 0.06%, 9/8/2021

  200    200 
   

 

 

 

Total Commercial Paper
(Cost $485,892)

 

   485,891 
  

 

 

 

Total Short-Term Investments
(Cost $485,892)

 

   485,891 
   

 

 

 

Total Investments — 97.9%
(Cost $2,028,716)

 

   2,028,738 

Other Assets Less Liabilities — 2.1%

    43,203 
   

 

 

 

NET ASSETS — 100.0%

    2,071,941 
   

 

 

 

 

Percentages indicated are based on net assets.

 

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

 

 

RAN Revenue Anticipation Note
Rev. Revenue
TAN Tax Anticipation Note
TRAN Tax & Revenue 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, 2021.
(c) Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(d) Amount rounds to less than 0.1% of net assets.
# 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, 2021.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan Securities Lending Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

Repurchase Agreements — 4.5%

 

Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $128,163. (b)

  128,163    128,163 

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/1/2021, repurchase price $10,000, collateralized by Corporate Notes and Bonds, 5.50% - 8.20%, due 4/6/2028 - 9/1/2028, FNMA Connecticut Avenue Securities, 2.18% - 2.93%, due 11/26/2029 - 11/25/2039 and Sovereign Government Securities, 2.63% - 10.13%, due 7/26/2022 - 9/30/2049, with a value of $10,800.

  10,000    10,000 
   

 

 

 

Total Repurchase Agreements
(Cost $138,163)

    138,163 
   

 

 

 

Municipal Bonds — 1.6%

 

Alaska — 0.3%

 

Alaska Housing Finance Corp., State Capital Project Series 2019A, Rev., VRDO, 0.07%, 9/8/2021 (c)

  10,000    10,000 
   

 

 

 

Colorado — 0.3%

 

Colorado Housing and Finance Authority, Single Family Mortgage Series 2021C2, Class I, Rev., VRDO, GNMA COLL, LIQ: FHLB, 0.06%, 9/8/2021 (c)

  10,000    10,000 
   

 

 

 

Michigan — 0.3%

 

Michigan Finance Authority, Federally Taxable Series 2019D, Rev., VRDO, LOC: PNC Bank NA, 0.09%, 9/8/2021 (c)

  9,700    9,700 
   

 

 

 

New York - 0.3%

 

Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Series 2018E, Rev., VRDO, LOC: Bank of America NA, 0.07%, 9/8/2021 (c)

  8,590    8,590 
   

 

 

 

Texas — 0.4%

 

Gulf Coast Waste Disposal Authority, Environmental Facilities, American Acryl L.P. Project Series 2003, Rev., VRDO, AMT, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.07%, 9/8/2021 (c)

  12,000    12,000 
   

 

 

 

Total Municipal Bonds
(Cost $50,290)

    50,290 
   

 

 

 

Short-Term Investments — 93.9%

 

Commercial Paper — 51.4%

 

Australia & New Zealand Banking Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/2/2021 (d) (e)

  30,000    30,004 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

Bank of Nova Scotia (The) (Canada) 0.21%, 1/10/2022 (e) (f)

  1,350    1,349 

Barclays Bank plc (United Kingdom) 0.10%, 9/1/2021 (e) (f)

  140,000    140,000 

Barton Capital SA (France) 0.13%, 11/3/2021 (e) (f)

  46,000    45,990 

China Construction Bank Corp. (China) 0.10%, 9/1/2021 (e) (f)

  140,000    140,000 

Cooperatieve Rabobank UA (Netherlands) 0.05%, 9/1/2021 (f)

  140,000    140,000 

DBS Bank Ltd. (Singapore) 15.00%, 12/22/2021 (e) (f)

  31,000    30,986 

DBS Group Holdings Ltd. (Singapore)

   

0.19%, 9/20/2021 (e) (f)

  15,000    14,999 

0.20%, 10/18/2021 (e) (f)

  80,000    79,985 

First Abu Dhabi Bank PJSC (United Arab Emirates) 0.12%, 12/13/2021 (e) (f)

  70,000    69,978 

Industrial & Commercial Bank of China Ltd. (China) 0.10%, 9/1/2021 (e) (f)

  140,000    140,000 

KEB Hana Bank (South Korea) 0.14%, 11/23/2021 (e) (f)

  1,250    1,250 

Kookmin Bank (South Korea) 0.17%, 11/10/2021 (e) (f)

  20,000    19,994 

Korea Development Bank (South Korea)

   

0.20%, 9/17/2021 (f)

  24,500    24,499 

0.20%, 9/21/2021 (f)

  30,000    29,999 

Landesbank Baden-Wurttemberg (Germany) 0.07%, 9/1/2021 (f)

  50,000    50,000 

LMA-Americas LLC 0.21%, 10/1/2021 (e) (f)

  1,465    1,465 

Macquarie Bank Ltd. (Australia) 0.18%, 11/19/2021 (e) (f)

  6,000    5,998 

Manhattan Asset Funding Co. LLC 0.20%, 10/21/2021 (e) (f)

  53,524    53,516 

Mitsubishi UFJ Trust & Banking Corp. (Japan) 0.12%, 12/10/2021 (e) (f)

  9,000    8,997 

Mizuho Bank Ltd. (Japan)

   

0.20%, 10/28/2021 (e) (f)

  50,000    49,990 

0.20%, 11/10/2021 (e) (f)

  12,000    11,997 

National Australia Bank Ltd. (Australia) (US Federal Funds Effective Rate (continuous series) + 0.14%), 0.22%, 9/1/2021 (d) (e)

  32,000    32,009 

Natixis SA (France)

   

0.22%, 12/10/2021 (f)

  50,000    49,985 

0.22%, 12/17/2021 (f)

  25,000    24,992 

Royal Bank of Canada (Canada) 0.21%, 6/22/2022 (f)

  35,000    34,940 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    37


Table of Contents

JPMorgan Securities Lending Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Short-Term Investments — continued

 

Commercial Paper — continued

 

Skandinaviska Enskilda Banken AB (Sweden)

   

0.20%, 10/19/2021 (e) (f)

  50,000    49,995 

0.19%, 11/3/2021 (e) (f)

  15,000    14,998 

Standard Chartered Bank (United Kingdom) 0.20%, 9/15/2021 (e) (f)

  50,000    49,998 

Svenska Handelsbanken AB (Sweden) 0.21%, 12/23/2021 (e) (f)

  23,000    22,993 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.10%), 0.19%, 9/1/2021 (d) (e)

  82,000    82,000 

(US Federal Funds Effective Rate (continuous series) + 0.10%), 0.19%, 9/1/2021 (d) (e)

  45,000    45,000 

United Overseas Bank Ltd. (Singapore)

   

0.23%, 5/5/2022 (e) (f)

  35,000    34,963 

0.23%, 5/10/2022 (e) (f)

  18,000    17,981 

Westpac Banking Corp. (Australia) (ICE LIBOR USD 3 Month + 0.04%), 0.17%, 9/11/2021 (d) (e)

  25,000    25,004 
   

 

 

 

Total Commercial Paper
(Cost $1,575,737)

    1,575,854 
   

 

 

 

Time Deposits — 22.5%

 

BNP Paribas SA 0.06%, 9/1/2021

  140,000    140,000 

Credit Agricole Corporate and Investment Bank 0.05%, 9/1/2021

  140,000    140,000 

Erste Group Bank AG 0.07%, 9/1/2021

  141,000    141,000 

First Abu Dhabi Bank PJSC 0.06%, 9/1/2021

  73,000    73,000 

Mizuho Bank, Ltd. 0.08%, 9/1/2021

  80,000    80,000 

Royal Bank of Canada 0.05%, 9/1/2021

  40,000    40,000 

Skandinaviska Enskilda Banken AB 0.05%, 9/1/2021

  77,000    77,000 
   

 

 

 

Total Time Deposits
(Cost $691,000)

    691,000 
   

 

 

 

Certificates of Deposit — 20.0%

 

Bank of Nova Scotia (The) (Canada)

   

(SOFR + 0.14%), 0.19%, 9/1/2021 (d)

  41,000    41,000 

(SOFR + 0.14%), 0.19%, 9/1/2021 (d)

  35,000    35,000 

0.20%, 1/7/2022

  40,850    40,865 

Canadian Imperial Bank of Commerce (Canada) (SOFR + 0.14%), 0.19%, 9/1/2021 (d)

  50,000    50,001 

0.24%, 4/6/2022

  42,000    42,019 

Landesbank Baden-Wurttemberg (Germany) 0.10%, 9/2/2021

  82,750    82,750 

MUFG Bank Ltd. (Japan) 0.19%, 10/7/2021

  40,000    40,005 

Oversea-Chinese Banking Corp. Ltd. (Singapore) 0.13%, 12/14/2021

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

Certificates of Deposit — continued

 

Royal Bank of Canada (Canada) (ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/11/2021 (d)

  65,000    65,010 

Shinhan Bank (South Korea) 0.47%, 11/3/2021

  4,106    4,109 

Sumitomo Mitsui Banking Corp. (Japan) 0.16%, 1/3/2022

  12,000    12,001 

Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.21%, 9/16/2021

  40,000    40,002 

Svenska Handelsbanken AB (Sweden) 0.20%, 6/21/2022

  100,000    100,011 

Woori Bank (South Korea)

   

0.12%, 10/1/2021 (e)

  20,000    19,999 

0.19%, 11/15/2021 (e)

  14,000    14,002 

0.16%, 1/4/2022 (e)

  20,000    20,000 
   

 

 

 

Total Certificates of Deposit
(Cost $612,708)

 

   612,774 
  

 

 

 

Total Short-Term Investments
(Cost $2,879,445)

 

   2,879,628 
   

 

 

 

Total Investments — 100.0%
(Cost $3,067,898)

 

   3,068,081 

Liabilities in Excess of
Other Assets — 0.0% 
(g)

 

   (53
  

 

 

 

NET ASSETS — 100.0%

 

   3,068,028 
  

 

 

 

 

Percentages indicated are based on net assets.

Abbreviations

 

AMT Alternative Minimum Tax
COLL Collateral
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
LIQ Liquidity Agreement
LOC Letter of Credit
MTA Metropolitan Transportation Authority
PJSC Public Joint Stock Company
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.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

(b) Agency Joint Trading Account II — At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of September 1, 2021, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan Securities Lending Money Market Fund

  $128,163  $128,163   $130,730 

Repurchase Agreements — At August 31, 2021, 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.

  0.05% $94,342 

Citibank NA

  0.06%  16,020 

Citigroup Global Markets Holdings, Inc.

  0.06%  17,801 
   

 

 

 

Total

   $128,163 
   

 

 

 

At August 31, 2021, the Agency Joint Trading Account II was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FHLMC

   2.50% - 5.50%    2/1/2026 - 1/1/2050 

FNMA

   2.00% - 6.10%    11/1/2022 - 9/1/2051 

GNMA

   2.35% - 3.00%    11/15/2042 - 3/15/2048 

U.S. Treasury Securities

   0.00% - 3.13%    2/15/2027 - 5/15/2051 

 

(c) 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, 2021.
(d) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(e) Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(f) The rate shown is the effective yield as of August 31, 2021.
(g) Amount rounds to less than 0.1% of net assets.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    39


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

Repurchase Agreements — 11.8%

 

Barclays Capital, Inc., 0.24%, dated 8/31/2021, due 10/5/2021, repurchase price $30,007, collateralized by Collateralized Mortgage Obligations, 1.70% -3.58%, due 6/15/2038 - 1/25/2060, with a value of $32,400.

  30,000    30,000 

Barclays Capital, Inc., 0.25%, dated 8/31/2021, due 10/5/2021, repurchase price $25,006, collateralized by Collateralized Mortgage Obligations, 2.49% -3.15%, due 5/15/2048 - 7/17/2054, with a value of $27,000.

  25,000    25,000 

BMO Capital Markets Corp., 0.17%, dated 8/31/2021, due 9/1/2021, repurchase price $30,000, collateralized by Corporate Notes and Bonds, 0.55% - 9.50%, due 9/19/2022 - 2/15/2041, with a value of $32,274.

  30,000    30,000 

BMO Capital Markets Corp., 0.19%, dated 8/31/2021, due 9/7/2021, repurchase price $50,002, collateralized by Corporate Notes and Bonds, 3.63% - 11.13%, due 4/1/2023 - 1/1/2999, with a value of $53,817.

  50,000    50,000 

BMO Capital Markets Corp., 0.22%, dated 8/31/2021, due 9/7/2021, repurchase price $25,001, collateralized by Corporate Notes and Bonds, 0.75% - 15.50%, due 6/29/2022 - 1/1/2999 and FHLMC, 2.54%, due 7/25/2026, with a value of $27,023.

  25,000    25,000 

BNP Paribas SA, 0.24%, dated 8/31/2021, due 9/7/2021, repurchase price $65,003, collateralized by Asset-Backed Securities, 0.83% - 7.04%, due 10/1/2023 -2/25/2034, with a value of $71,508.

  65,000    65,000 

Bofa Securities, Inc., 0.33%, dated 8/31/2021, due 10/5/2021, repurchase price $35,011, collateralized by Asset-Backed Securities, 0.51% - 1.42%, due 12/22/2036 -7/1/2047, with a value of $37,100.

  35,000    35,000 

Bofa Securities, Inc., 0.48%, dated 8/31/2021, due 10/5/2021, repurchase price $100,047, collateralized by Sovereign Government Securities, 4.50% - 6.85%, due 1/18/2024 - 2/21/2047, with a value of $108,000.

  100,000    100,000 

Credit Suisse Securities USA LLC, 0.44%, dated 8/31/2021, due 10/5/2021, repurchase price $50,021, collateralized by Asset-Backed Securities, 3.67% - 20.01%, due 8/15/2027 - 8/22/2039, with a value of $55,061.

  50,000    50,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

ING Financial Markets LLC, 0.25%, dated 8/31/2021, due 10/8/2021, repurchase price $5,001, collateralized by Corporate Notes and Bonds, 0.88% - 7.00%, due 7/30/2023 - 9/1/2041, with a value of $5,297.

  5,000    5,000 

Societe Generale SA, 0.14%, dated 8/31/2021, due 9/1/2021, repurchase price $33,000, collateralized by Asset-Backed Securities, 3.45% - 5.88%, due 10/11/2027 - 5/15/2034, Collateralized Mortgage Obligations, 3.00%, due 1/18/2052, Corporate Notes and Bonds, 0.20% - 7.63%, due 12/1/2021 -8/16/2077, FNMA Connecticut Avenue Securities, 2.03%, due 10/25/2049, Sovereign Government Securities, 1.40% -6.75%, due 2/7/2022 - 2/9/2026 and U.S. Treasury Securities, 2.63% - 2.88%, due 9/30/2023 - 12/31/2023, with a value of $34,681.

  33,000    33,000 

Societe Generale SA, 0.21%, dated 8/31/2021, due 9/1/2021, repurchase price $95,001, collateralized by Asset-Backed Securities, 0.30% - 6.64%, due 1/2/2024 - 11/25/2046, Collateralized Mortgage Obligations, 0.54% - 5.40%, due 5/25/2035 - 5/25/2060, Corporate Notes and Bonds, 3.25% - 9.75%, due 11/10/2021 - 6/4/2081, FNMA Connecticut Avenue Securities, 0.73% - 2.93%, due 11/26/2029 - 9/26/2039 and Sovereign Government Securities, 2.63% - 11.88%, due 7/26/2022 - 1/1/2999, with a value of $102,568.

  95,000    95,000 

Societe Generale SA, 0.23%, dated 8/31/2021, due 9/1/2021, repurchase price $70,000, collateralized by Asset-Backed Securities, 0.48% - 1.73%, due 9/25/2035 - 11/25/2046, Collateralized Mortgage Obligations, 0.68% - 4.52%, due 7/25/2036 - 4/15/2050, Corporate Notes and Bonds, 0.25% - 9.75%, due 2/22/2022 - 3/1/2031, FNMA Connecticut Avenue Securities, 2.03% - 2.43%, due 1/27/2031 -10/25/2049 and Sovereign Government Securities, 4.00% - 11.88%, due 7/26/2022 - 1/1/2999, with a value of $75,596.

  70,000    70,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Repurchase Agreements — continued

 

Societe Generale SA, 0.26%, dated 8/31/2021, due 12/1/2021, repurchase price $75,050, collateralized by Asset-Backed Securities, 0.43% - 1.73%, due 9/25/2035 - 11/25/2046, Collateralized Mortgage Obligations, 0.68% - 6.32%, due 7/25/2036 - 5/25/2060, Corporate Notes and Bonds, 1.57% - 9.00%, due 8/15/2022 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.13% - 2.88%, due 2/25/2030 - 11/25/2048 and Sovereign Government Securities, 2.63% - 10.13%, due 1/5/2023 - 1/1/2999, with a value of $81,030.

  75,000    75,000 

TD Securities (USA) LLC, 0.14%, dated 8/31/2021, due 9/7/2021, repurchase price $100,003, collateralized by Asset-Backed Securities, 2.04% - 2.44%, due 9/15/2026 - 8/15/2031 and Municipal Debt Securities, 2.97% - 7.62%, due 12/1/2034 - 6/15/2043, with a value of $105,780.

  100,000    100,000 

Wells Fargo Securities LLC, 0.22%, dated 8/31/2021, due 9/2/2021, repurchase price $46,001, collateralized by Sovereign Government Securities, 0.25% - 9.50%, due 10/19/2023 - 5/21/2048, with a value of $48,318.

  46,000    46,000 

Wells Fargo Securities LLC, 0.32%, dated 8/31/2021, due 9/14/2021, repurchase price $50,006, collateralized by Sovereign Government Securities, 2.50% - 6.15%, due 1/15/2030 - 10/6/2070, with a value of $52,545.

  50,000    50,000 
   

 

 

 

Total Repurchase Agreements
(Cost $884,000)

    884,000 
   

 

 

 

Corporate Notes — 1.1%

 

Banks — 1.1%

 

Barclays Bank plc (United Kingdom) (OBFR + 0.10%), 0.17%, 9/1/2021 (b) (c)
(Cost $85,000)

  85,000    85,000 
   

 

 

 

Short-Term Investments — 86.9%

 

Certificates of Deposit — 33.2%

 

Bank of Montreal (Canada)
(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.17%, 9/16/2021 (b)

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/7/2021 (b)

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/4/2021 (b)

  20,000    20,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Certificates of Deposit — continued

 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/11/2021 (b)

  125,000    125,000 

0.23%, 5/11/2022

  50,000    50,000 

0.21%, 6/22/2022

  21,000    21,000 

BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/7/2021 (b)

  18,000    18,000 

0.24%, 2/1/2022

  50,000    50,000 

Canadian Imperial Bank of Commerce (Canada)

   

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  25,000    25,000 

(SOFR + 0.15%), 0.20%, 9/1/2021 (b)

  80,000    80,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.20%, 9/30/2021 (b)

  64,000    64,000 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)

  100,000    100,000 

Cooperatieve Rabobank UA (Netherlands) (ICE LIBOR USD 3 Month + 0.04%), 0.19%, 9/30/2021 (b)

  50,000    50,000 

0.22%, 7/5/2022 (d)

  50,000    49,906 

Credit Industriel et Commercial (France)

   

(ICE LIBOR USD 3 Month + 0.04%), 0.16%, 9/17/2021 (b)

  10,000    10,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.19%, 10/5/2021 (b)

  25,000    25,000 

0.24%, 10/12/2021 (d)

  70,000    69,981 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/25/2021 (b)

  26,000    26,000 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b)

  23,000    23,000 

0.22%, 3/7/2022 (d)

  50,000    49,943 

Credit Suisse AG (Switzerland) 0.35%, 12/2/2021

  30,000    30,000 

Erste Group Bank AG (Austria) 0.10%, 9/20/2021

  100,000    100,000 

ING Bank NV

   

0.20%, 9/24/2021

  15,000    15,000 

0.25%, 10/8/2021

  30,000    30,000 

Korea Development Bank (South Korea) 0.26%, 4/20/2022

  10,000    10,000 

Landesbank Baden-Wurttemberg (Germany) 0.09%, 9/7/2021

  250,000    250,000 

Landesbank Hessen-Thueringen Girozentrale (Germany) 0.09%, 9/8/2021

  100,000    100,000 

Mizuho Bank Ltd. (Japan) 0.16%, 1/7/2022

  15,000    15,000 

MUFG Bank Ltd. (Japan) 0.15%, 1/14/2022

  20,000    20,000 

National Australia Bank Ltd. (Australia)

   

0.23%, 1/24/2022 (d)

  25,000    24,977 

0.23%, 1/26/2022 (d)

  50,000    49,953 

0.23%, 1/27/2022 (d)

  50,000    49,953 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    41


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

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

Short-Term Investments — continued

 

Certificates of Deposit — continued

 

Natixis SA (France)
(SOFR + 0.13%), 0.18%, 9/1/2021 (b)

  50,000    50,000 

(SOFR + 0.13%), 0.18%, 9/1/2021 (b)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.03%), 0.16%, 9/1/2021 (b)

  25,000    25,000 

0.30%, 9/2/2021

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 9/10/2021 (b)

  25,000    25,000 

0.23%, 10/7/2021

  30,000    30,000 

(ICE LIBOR USD 3 Month + 0.03%), 0.15%, 11/12/2021 (b)

  25,000    25,000 

0.21%, 2/11/2022

  25,000    25,000 

Nordea Bank Abp (Finland) (ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b)

  29,000    29,000 

0.20%, 6/29/2022

  25,000    25,000 

Skandinaviska Enskilda Banken AB (Sweden) 0.18%, 9/9/2021

  25,000    25,000 

Standard Chartered Bank (United Kingdom) 0.20%, 10/26/2021

  50,000    50,000 

Sumitomo Mitsui Banking Corp. (Japan)

   

(ICE LIBOR USD 3 Month + 0.02%), 0.17%, 9/29/2021 (b)

  50,000    50,000 

0.12%, 11/4/2021

  50,000    50,000 

0.11%, 11/16/2021

  25,000    25,000 

Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.18%, 1/13/2022 (d)

  100,000    99,933 

Svenska Handelsbanken AB (Sweden)

   

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b)

  17,000    17,000 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/11/2021 (b)

  50,000    50,000 

0.20%, 6/28/2022

  25,000    25,000 

Toronto-Dominion Bank (The) (Canada)

   

(US Federal Funds Effective Rate (continuous series) + 0.11%), 0.19%, 9/1/2021 (b)

  25,000    25,000 

Series 01, (BSBY3M + 0.05%), 0.14%, 9/9/2021 (b)

  15,000    15,000 

0.26%, 4/21/2022 (d)

  25,000    24,958 

0.27%, 4/27/2022 (d)

  25,000    24,956 

Westpac Banking Corp. (Australia) (ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b)

  100,000    100,000 
   

 

 

 

Total Certificates of Deposit
(Cost $2,492,560)

    2,492,560 
   

 

 

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

Commercial Paper — 29.5%

 

Albion Capital Corp. SA (Luxembourg) 0.13%, 10/27/2021 (d)

  10,000    9,998 

Antalis SA (France)

   

0.23%, 9/3/2021 (c) (d)

  31,300    31,300 

0.16%, 12/1/2021 (c) (d)

  15,000    14,994 

Bank of Nova Scotia (The) (Canada)

   

(SOFR + 0.15%), 0.20%, 9/1/2021 (b) (c)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)

  50,000    50,000 

0.21%, 6/22/2022 (c) (d)

  20,000    19,966 

Bedford Row Funding Corp.

   

(US Federal Funds Effective Rate (continuous series) + 0.12%), 0.20%, 9/1/2021 (b) (c)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 10/27/2021 (b) (c)

  20,000    20,000 

(ICE LIBOR USD 3 Month + 0.05%), 0.18%, 11/22/2021 (b) (c)

  25,000    25,000 

BNG Bank NV (Netherlands) 0.08%, 9/1/2021 (c) (d)

  50,000    50,000 

BNP Paribas SA (France)

   

0.18%, 3/22/2022 (d)

  16,000    15,984 

0.18%, 4/7/2022 (d)

  50,000    49,945 

BNZ International Funding Ltd. (New Zealand) 0.19%, 10/15/2021 (d)

  50,000    49,988 

BPCE SA (France) 0.23%, 12/13/2021 (c) (d)

  25,000    24,984 

Caisse d’Amortissement de la Dette Sociale (France) 0.16%, 1/27/2022 (c) (d)

  35,200    35,178 

Cooperatieve Rabobank UA (Netherlands) 0.12%, 10/1/2021 (d)

  100,000    99,990 

DBS Group Holdings Ltd. (Singapore)

   

0.19%, 9/20/2021 (c) (d)

  31,000    30,997 

0.20%, 10/18/2021 (c) (d)

  50,000    49,987 

Dexia Credit Local SA (France) 0.12%, 10/14/2021 (c) (d)

  50,000    49,993 

DNB Bank ASA (Norway) 0.09%, 9/2/2021 (c) (d)

  100,000    100,000 

(ICE LIBOR USD 3 Month + 0.03%), 0.17%, 10/14/2021 (b) (c)

  50,000    50,000 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/26/2021 (b) (c)

  17,000    17,000 

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 10/28/2021 (b) (c)

  71,000    71,000 

Federation des caisses Desjardins du Quebec (The) (Canada) 0.08%, 9/13/2021 (c) (d)

  25,000    24,999 

First Abu Dhabi Bank PJSC (United Arab Emirates) 0.18%, 12/2/2021 (c) (d)

  68,000    67,969 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Short-Term Investments — continued

 

Commercial Paper — continued

 

FMS Wertmanagement (Germany) 0.11%, 10/28/2021 (c) (d)

  50,000    49,991 

ING US Funding LLC (Netherlands)

   

0.17%, 9/29/2021 (c) (d)

  25,000    24,997 

0.22%, 10/12/2021 (c) (d)

  30,000    29,992 

Macquarie Bank Ltd. (Australia)

   

0.12%, 10/7/2021 (c) (d)

  29,200    29,196 

0.12%, 10/27/2021 (c) (d)

  30,000    29,994 

0.12%, 11/15/2021 (c) (d)

  50,000    49,988 

Mizuho Bank Ltd. (Japan) 0.19%, 11/15/2021 (c) (d)

  15,000    14,994 

National Australia Bank Ltd. (Australia)

   

(US Federal Funds Effective Rate (continuous series) + 0.07%), 0.15%, 9/1/2021 (b) (c)

  25,000    25,000 

(US Federal Funds Effective Rate (continuous series) + 0.14%), 0.22%, 9/1/2021 (b) (c)

  25,000    25,000 

(ICE LIBOR USD 1 Month + 0.09%), 0.19%, 9/8/2021 (b) (c)

  25,000    25,000 

(ICE LIBOR USD 3 Month + 0.00%), 0.12%, 11/3/2021 (b) (c)

  14,000    14,000 

0.23%, 3/31/2022 (c) (d)

  30,000    29,960 

Nationwide Building Society (United Kingdom) 0.08%, 9/16/2021 (c) (d)

  50,000    49,998 

Nieuw Amsterdam Receivables Corp. 0.11%, 11/8/2021 (c) (d)

  100,000    99,979 

NRW Bank (Germany) 0.08%, 11/2/2021 (c) (d)

  75,000    74,990 

Royal Bank of Canada (Canada)

   

(ICE LIBOR USD 3 Month + 0.04%), 0.17%, 9/2/2021 (b)

  25,000    25,000 

0.23%, 5/5/2022 (d)

  50,000    49,921 

0.21%, 6/22/2022 (d)

  20,000    19,966 

Skandinaviska Enskilda Banken AB (Sweden) 0.20%, 6/27/2022 (c) (d)

  100,000    99,834 

Societe Generale SA (France) 0.19%, 10/13/2021 (c) (d)

  25,000    24,995 

Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 3 Month + 0.00%), 0.13%, 11/1/2021 (b) (c)

  11,000    11,000 

Toronto-Dominion Bank (The) (Canada)

   

(ICE LIBOR USD 3 Month + 0.01%), 0.14%, 11/10/2021 (b) (c)

  100,000    100,000 

(ICE LIBOR USD 3 Month + 0.02%), 0.15%, 11/10/2021 (b) (c)

  50,000    50,000 

0.20%, 7/8/2022 (c) (d)

  25,000    24,957 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Commercial Paper — continued

 

TotalEnergies Capital Canada Ltd. (France) 0.14%, 2/3/2022 (c) (d)

  25,000    24,985 

Toyota Motor Finance Netherlands BV (Japan) 0.15%, 11/29/2021 (d)

  19,000    18,993 

UBS AG (Switzerland)
(SOFR + 0.17%), 0.22%, 9/1/2021 (b) (c)

  25,000    25,000 

0.24%, 3/29/2022 (c) (d)

  50,000    49,930 

0.24%, 3/30/2022 (c) (d)

  50,000    49,930 

United Overseas Bank Ltd. (Singapore) 0.23%, 5/10/2022 (c) (d)

  25,000    24,960 

Westpac Banking Corp. (Australia)

   

(ICE LIBOR USD 3 Month + 0.00%), 0.13%, 10/28/2021 (b) (c)

  14,000    14,000 

0.20%, 7/1/2022 (c) (d)

  20,000    19,966 
   

 

 

 

Total Commercial Paper
(Cost $2,215,788)

    2,215,788 
   

 

 

 

Time Deposits — 24.2%

 

Agricultural Bank of China Ltd. 0.10%, 9/7/2021

  370,000    370,000 

Australia & New Zealand Banking Group Ltd. 0.08%, 9/1/2021

  205,000    205,000 

Credit Agricole Corporate and Investment Bank

   

0.05%, 9/1/2021

  90,956    90,956 

0.10%, 9/1/2021

  150,000    150,000 

0.10%, 9/3/2021

  75,000    75,000 

Erste Group Bank AG 0.07%, 9/1/2021

  100,000    100,000 

First Abu Dhabi Bank PJSC 0.06%, 9/1/2021

  215,000    215,000 

Mizuho Bank, Ltd. 0.08%, 9/1/2021

  342,000    342,000 

Royal Bank of Canada 0.05%, 9/1/2021

  150,000    150,000 

Skandinaviska Enskilda Banken AB 0.05%, 9/1/2021

  125,000    125,000 
   

 

 

 

Total Time Deposits
(Cost $1,822,956)

 

   1,822,956 
  

 

 

 

Total Short-Term Investments
(Cost $6,531,304)

 

   6,531,304 
   

 

 

 

Total Investments — 99.8%
(Cost $7,500,304) 
*

 

   7,500,304 

Other Assets Less Liabilities — 0.2%

 

   14,796 
  

 

 

 

NET ASSETS — 100.0%

 

   7,515,100 
  

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    43


Table of Contents

JPMorgan Liquid Assets Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited) (continued)

 

Abbreviations

 

BSBY Bloomberg Short Term Bank Yield Index
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
OBFR Overnight Bank Funding Rate
PJSC Public Joint Stock Company
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, 2021.
(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, 2021.
* The cost of securities is substantially the same for federal income tax purposes.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

JPMorgan U.S. Government Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

Repurchase Agreements — 50.2%

 

Agency Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,650,004 (b)

  2,650,000    2,650,000 

Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $652,332 (c)

  652,331    652,331 

Agency Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $86,009 (d)

  86,009    86,009 

Bank of America NA, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $750,001, collateralized by GNMA, 2.50%, due 7/20/2050, with a value of $765,000.

  750,000    750,000 

Bank of Montreal, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $515,001, collateralized by FFCB, 3.62%, due 10/24/2030, FHLMC, 1.50% - 4.50%, due 12/1/2021 - 9/1/2051, FNMA, 2.00% - 3.50%, due 8/1/2036 - 11/1/2049 and GNMA, 0.30% - 3.50%, due 2/20/2051 - 3/15/2057, with a value of $525,696.

  515,000    515,000 

Bank of Montreal, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $400,005, collateralized by FHLMC, 1.50% - 6.50%, due 9/15/2031 - 8/1/2051, FNMA, 1.79% - 4.50%, due 10/1/2027 - 9/1/2051 and GNMA, 0.30% - 5.00%, due 4/20/2036 - 7/20/2051, with a value of $408,686.

  400,000    400,000 

Bank of Montreal, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $300,004, collateralized by FHLMC, 2.00%, due 4/1/2051 - 8/1/2051 and GNMA, 0.30%, due 4/20/2051, with a value of $306,446.

  300,000    300,000 

Bank of Montreal, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $600,008, collateralized by FHLMC, 0.40% - 6.50%, due 5/15/2025 - 5/15/2049, FNMA, 1.25% - 6.00%, due 8/25/2024 - 9/1/2051, GNMA, 0.30% - 5.50%, due 5/20/2029 - 1/20/2067 and U.S. Treasury Securities, 0.00%, due 11/23/2021 - 2/15/2046, with a value of $613,447.

  600,000    600,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Bank of Nova Scotia (The), 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $500,001, collateralized by FHLMC, 2.00% - 6.00%, due 4/1/2029 - 10/1/2050, FNMA, 3.00% - 6.50%, due 6/1/2025 - 12/1/2050 and U.S. Treasury Securities, 1.00% - 1.25%, due 5/31/2028 - 7/31/2028, with a value of $510,000.

  500,000    500,000 

BMO Capital Markets Corp., 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $500,007, collateralized by FFCB, 0.13% - 3.07%, due 7/13/2022 - 11/28/2033, FHLMC, 0.00% - 7.25%, due 5/15/2024 - 7/25/2051, FNMA, 0.50% - 6.50%, due 6/17/2025 - 6/25/2051, GNMA, 0.40% - 6.10%, due 7/15/2035 - 7/20/2071 and U.S. Treasury Securities, 0.00% - 7.13%, due 9/9/2021 - 8/15/2051, with a value of $512,559.

  500,000    500,000 

BNP Paribas SA, 0.04%, dated 8/31/2021, due 9/1/2021, repurchase price $1,500,002, collateralized by FFCB, 1.95% - 3.65%, due 4/22/2039 - 8/13/2040, FHLMC, 0.00% - 6.50%, due 12/11/2025 - 7/1/2051, FNMA, 0.00% - 6.50%, due 10/5/2022 - 2/1/2057, GNMA, 0.72% - 6.50%, due 3/15/2026 - 5/20/2051 and U.S. Treasury Securities, 0.00% - 6.25%, due 9/15/2021 - 5/15/2049, with a value of $1,530,513.

  1,500,000    1,500,000 

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $1,000,002, collateralized by FHLMC, 3.00%, due 5/15/2045, FNMA, 2.00% - 6.00%, due 8/1/2033 - 11/1/2050, GNMA, 1.63% - 5.00%, due 5/20/2026 - 6/20/2050 and U.S. Treasury Securities, 0.00% - 3.00%, due 10/21/2021 - 5/15/2049, with a value of $1,020,335.

  1,000,000    1,000,000 

BNP Paribas SA, 0.05%, dated 8/31/2021, due 9/3/2021, repurchase price $1,750,007, collateralized by FHLMC, 1.89% - 4.50%, due 3/1/2049 - 7/1/2051, FNMA, 2.00% - 5.50%, due 8/1/2032 - 8/1/2051, GNMA, 0.39% - 4.00%, due 11/20/2034 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 6.25%, due 10/15/2021 - 11/15/2049, with a value of $1,785,200.

  1,750,000    1,750,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Repurchase Agreements — continued

 

BNP Paribas SA, 0.05%, dated 8/31/2021, due 9/7/2021, repurchase price $1,500,015, collateralized by FHLMC, 2.50% - 4.50%, due 3/1/2041 - 8/1/2051, FNMA, 1.61% - 5.50%, due 1/1/2027 - 4/1/2051, GNMA, 2.00% - 4.00%, due 10/20/2035 - 6/20/2050 and U.S. Treasury Securities, 0.00% - 3.88%, due 11/30/2021 - 2/15/2051, with a value of $1,530,474.

  1,500,000    1,500,000 

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,000,012, collateralized by FFCB, 2.99% - 3.46%, due 7/18/2034 - 3/9/2038, FHLB, 3.75% - 5.37%, due 9/9/2024 - 2/14/2034, FHLMC, 0.00% - 5.50%, due 11/15/2025 - 3/1/2051, FNMA, 0.00% - 8.00%, due 2/1/2023 - 5/1/2051, GNMA, 0.72% - 7.00%, due 7/15/2024 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 3.00%, due 9/23/2021 - 5/15/2049, with a value of $1,021,172.

  1,000,000    1,000,000 

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,000,012, collateralized by FFCB, 1.95% - 4.16%, due 10/25/2033 - 8/13/2040, FHLMC, 0.00% - 8.00%, due 3/1/2027 - 8/1/2051, FNMA, 0.00% - 8.00%, due 5/15/2022 - 7/25/2051, GNMA, 1.50% - 5.00%, due 7/20/2024 - 11/20/2067 and U.S. Treasury Securities, 0.00% - 6.25%, due 9/28/2021 - 5/15/2049, with a value of $1,020,605.

  1,000,000    1,000,000 

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,500,018, collateralized by FHLMC, 1.84% - 3.50%, due 9/1/2041 - 8/1/2051, FNMA, 1.50% - 6.00%, due 4/1/2035 - 7/1/2051, GNMA, 1.63% - 4.00%, due 8/20/2041 - 6/20/2049 and U.S. Treasury Securities, 0.00% - 6.25%, due 1/31/2022 - 2/15/2051, with a value of $1,530,469.

  1,500,000    1,500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

BNP Paribas SA, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $3,000,035, collateralized by FFCB, 1.95% - 3.46%, due 7/18/2034 - 8/13/2040, FHLB, 3.75% - 4.20%, due 12/24/2030 - 1/24/2039, FHLMC, 0.00% - 5.50%, due 11/15/2025 - 8/1/2051, FNMA, 0.00% - 6.50%, due 9/1/2022 - 3/1/2052, GNMA, 0.54% - 5.00%, due 10/15/2026 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 6.25%, due 9/15/2021 - 8/15/2051, with a value of $3,060,675.

  3,000,000    3,000,000 

BNP Paribas SA, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $2,000,027, collateralized by FHLMC, 0.00% - 5.50%, due 11/15/2025 - 6/1/2051, FNMA, 2.00% - 5.50%, due 3/1/2033 - 3/1/2052, GNMA, 0.39% - 5.00%, due 11/20/2034 - 5/20/2051 and U.S. Treasury Securities, 0.00% - 6.88%, due 10/7/2021 - 2/15/2050, with a value of $2,040,829.

  2,000,000    2,000,000 

BNP Paribas SA, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $2,750,037, collateralized by FFCB, 2.83% - 3.65%, due 12/19/2036 - 4/22/2039, FHLB, 3.38%, due 3/12/2038, FHLMC, 0.00% - 7.00%, due 11/15/2025 - 9/1/2050, FNMA, 0.00% - 6.50%, due 6/1/2023 - 8/1/2051, GNMA, 0.80% - 6.50%, due 5/20/2033 - 3/20/2051 and U.S. Treasury Securities, 0.00% - 7.50%, due 9/15/2021 - 11/15/2050, with a value of $2,806,148.

  2,750,000    2,750,000 

BNP Paribas SA, 0.13%, dated 8/31/2021, due 11/18/2021, repurchase price $1,300,371, collateralized by FHLMC, 2.50%, due 12/1/2050, FNMA, 1.50% - 5.00%, due 12/1/2032 - 1/1/2051, GNMA, 1.63% - 4.50%, due 6/20/2041 - 9/20/2049 and U.S. Treasury Securities, 0.00% - 6.38%, due 9/16/2021 - 5/15/2048, with a value of $1,327,744.

  1,300,000    1,300,000 

Canadian Imperial Bank of Commerce, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $295,000, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/31/2022 - 11/15/2049, with a value of $300,901.

  295,000    295,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Repurchase Agreements — continued

 

Canadian Imperial Bank of Commerce, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $400,001, collateralized by FHLMC, 2.07% - 4.50%, due 10/1/2038 - 1/1/2050, FNMA, 2.00% - 5.50%, due 10/1/2027 - 6/1/2051 and GNMA, 2.50% - 4.70%, due 12/20/2050 - 3/20/2065, with a value of $408,001.

  400,000    400,000 

Canadian Imperial Bank of Commerce, 0.05%, dated 8/31/2021, due 9/7/2021, repurchase price $500,005, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/31/2022 - 8/15/2050, with a value of $510,023.

  500,000    500,000 

Citigroup Global Markets Holdings, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.38% - 6.00%, due 11/15/2025 - 2/28/2026, with a value of $255,000.

  250,000    250,000 

Daiwa Capital Markets America, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $3,000,004, collateralized by FFCB, 0.10%, due 11/23/2022, FHLMC, 1.00% - 5.50%, due 7/1/2024 - 8/1/2051, FNMA, 1.74% - 6.50%, due 3/1/2022 - 8/1/2051, GNMA, 1.50% - 5.60%, due 10/15/2032 - 8/20/2051 and U.S. Treasury Securities, 0.00% - 7.63%, due 9/16/2021 - 8/15/2051, with a value of $3,060,004.

  3,000,000    3,000,000 

Deutsche Bank Securities, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 1.13%, due 8/31/2028, with a value of $255,000.

  250,000    250,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $3,000,004, collateralized by U.S. Treasury Securities, 0.25% - 3.13%, due 5/15/2024 - 5/15/2046, with a value of $3,000,004.

  3,000,000    3,000,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.25% - 2.50%, due 8/15/2027 - 5/15/2046, with a value of $9,500,013.

  9,500,000    9,500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.25% - 2.50%, due 2/15/2027 - 5/15/2046, with a value of $9,500,013.

  9,500,000    9,500,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 0.13% - 3.63%, due 12/31/2022 - 5/15/2046, with a value of $9,500,013.

  9,500,000    9,500,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 0.25% - 2.75%, due 8/15/2022 - 5/15/2029, with a value of $9,500,013.

  9,500,000    9,500,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.00% - 2.50%, due 11/15/2026 - 5/15/2046, with a value of $9,500,013.

  9,500,000    9,500,000 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $9,500,013, collateralized by U.S. Treasury Securities, 2.00% - 2.50%, due 11/15/2026 - 5/15/2046, with a value of $9,500,013.

  9,500,000    9,500,000 

Fixed Income Clearing Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,000,003, collateralized by U.S. Treasury Securities, 0.38% - 2.25%, due 4/15/2024 - 5/15/2041, with a value of $2,040,000.

  2,000,000    2,000,000 

Fixed Income Clearing Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $5,000,007, collateralized by U.S. Treasury Securities, 0.13% - 0.38%, due 1/15/2023 - 1/15/2030, with a value of $5,100,000.

  5,000,000    5,000,000 

Goldman Sachs & Co. LLC, 0.06%, dated 8/31/2021, due 9/2/2021, repurchase price $4,000,012, collateralized by FHLMC, 1.50% - 6.00%, due 11/15/2028 - 8/25/2051, FNMA, 0.48% - 6.50%, due 11/25/2028 - 8/25/2051 and GNMA, 1.55% - 8.50%, due 12/15/2021 - 6/15/2061, with a value of $4,080,000.

  4,000,000    4,000,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

Repurchase Agreements — continued

 

ING Financial Markets LLC, 0.07%, dated 8/31/2021, due 9/20/2021, repurchase price $600,023, collateralized by FHLMC, 1.50% - 7.00%, due 9/1/2029 - 5/1/2051 and FNMA, 1.50% - 5.00%, due 8/1/2028 - 1/1/2057, with a value of $612,113.

  600,000    600,000 

ING Financial Markets LLC, 0.06%, dated 8/31/2021, due 9/27/2021, repurchase price $500,023, collateralized by FNMA, 1.50% - 4.50%, due 8/1/2034 - 1/1/2057, with a value of $510,027.

  500,000    500,000 

ING Financial Markets LLC, 0.07%, dated 8/31/2021, due 10/19/2021, repurchase price $300,029, collateralized by FHLMC, 1.99% - 5.50%, due 11/1/2029 - 5/1/2051 and FNMA, 1.50% - 5.50%, due 8/1/2028 - 9/1/2057, with a value of $306,057.

  300,000    300,000 

ING Financial Markets LLC, 0.07%, dated 8/31/2021, due 10/19/2021, repurchase price $350,033, collateralized by FHLMC, 1.50% - 7.50%, due 9/1/2029 - 5/1/2051 and FNMA, 1.50% - 4.50%, due 6/1/2042 - 5/1/2058, with a value of $357,066.

  350,000    350,000 

Metropolitan Life Insurance Co., 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $1,000,002, collateralized by U.S. Treasury Securities, 0.00%, due 8/15/2027 - 11/15/2050, with a value of $1,020,002.

  1,000,000    1,000,000 

Mitsubishi UFJ Trust & Banking Corp., 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $1,400,016, collateralized by GNMA, 2.00% - 5.00%, due 8/15/2038 - 5/20/2051, with a value of $1,425,038.

  1,400,000    1,400,000 

Natixis SA, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $600,001, collateralized by FHLMC, 2.00% - 3.00%, due 10/1/2049 - 3/1/2051, FNMA, 0.00% - 5.50%, due 5/25/2041 - 9/25/2051, GNMA, 2.50% - 3.00%, due 6/20/2051 and U.S. Treasury Securities, 0.00% - 3.88%, due 10/7/2021 - 2/15/2051, with a value of $612,433.

  600,000    600,000 

Natixis SA, 0.07%, dated 8/31/2021, due 9/7/2021, repurchase price $500,007, collateralized by U.S. Treasury Securities, 0.00% - 7.63%, due 9/9/2021 - 2/15/2051, with a value of $510,183.

  500,000    500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

Nomura Securities Co. Ltd., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $1,300,002, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/31/2021 - 8/15/2047, with a value of $1,326,002.

  1,300,000    1,300,000 

Nomura Securities Co. Ltd., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $4,500,006, collateralized by FFCB, 0.14% - 1.85%, due 4/8/2022 - 8/5/2022, FHLB, 0.13% - 5.50%, due 10/21/2022 - 11/2/2040, FHLMC, 0.00% - 6.75%, due 7/25/2022 - 4/1/2051, FNMA, 0.50% - 7.25%, due 1/19/2023 - 3/1/2056, GNMA, 2.50% - 4.50%, due 11/15/2041 - 8/20/2051, Tennessee Valley Authority, 4.25% - 7.13%, due 5/1/2030 - 9/15/2065 and U.S. Treasury Securities, 0.00% - 6.88%, due 9/9/2021 - 8/15/2051, with a value of $4,590,007.

  4,500,000    4,500,000 

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/13/2021, repurchase price $300,007, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $305,782.

  300,000    300,000 

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/14/2021, repurchase price $700,016, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $713,492.

  700,000    700,000 

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/17/2021, repurchase price $500,014, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $509,637.

  500,000    500,000 

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 10/15/2021, repurchase price $500,038, collateralized by U.S. Treasury Securities, 0.63% - 6.75%, due 6/30/2025 - 8/15/2030, with a value of $509,637.

  500,000    500,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Repurchase Agreements — continued

 

RBC Capital Markets LLC, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,200,003, collateralized by FFCB, 1.20%, due 3/1/2029, FHLB, 1.65%, due 7/30/2035, FHLMC, 0.28% - 8.50%, due 11/15/2021 - 1/25/2046, FNMA, 1.92% - 8.50%, due 9/25/2021 - 1/25/2051, GNMA, 0.62% - 7.50%, due 8/20/2022 - 8/20/2065 and U.S. Treasury Securities, 0.00% - 7.63%, due 9/15/2021 - 8/15/2051, with a value of $2,263,017.

  2,200,000    2,200,000 

Royal Bank of Canada, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,450,003, collateralized by FHLMC, 2.00% - 6.50%, due 12/15/2023 - 6/25/2051 and U.S. Treasury Securities, 0.13% - 4.63%, due 1/15/2022 - 5/15/2048, with a value of $2,499,013.

  2,450,000    2,450,000 

Royal Bank of Canada, 0.06%, dated 8/31/2021, due 9/7/2021, repurchase price $800,009, collateralized by FNMA, 5.00%, due 10/25/2041, GNMA, 1.00%, due 7/20/2051 and U.S. Treasury Securities, 0.13% - 6.00%, due 10/15/2022 - 11/15/2044, with a value of $816,157.

  800,000    800,000 

Societe Generale SA, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $500,001, collateralized by FHLMC, 2.00% - 4.50%, due 1/1/2042 - 7/1/2051, FNMA, 0.78% - 4.00%, due 5/25/2023 - 8/1/2051, GNMA, 0.23% - 4.50%, due 12/16/2027 - 6/20/2051 and U.S. Treasury Securities, 0.00% - 3.63%, due 9/9/2021 - 8/15/2049, with a value of $510,076.

  500,000    500,000 

Societe Generale SA, 0.05%, dated 8/31/2021, due 9/13/2021, repurchase price $500,009, collateralized by U.S. Treasury Securities, 0.00% - 4.38%, due 9/9/2021 - 11/15/2050, with a value of $510,000.

  500,000    500,000 

Sumitomo Mitsui Banking Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $400,001, collateralized by U.S. Treasury Securities, 0.75% - 3.00%, due 12/31/2024 - 11/15/2045, with a value of $408,001.

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

Sumitomo Mitsui Banking Corp., 0.06%, dated 8/31/2021, due 9/1/2021, repurchase price $3,000,005, collateralized by GNMA, 2.00% - 5.00%, due 7/20/2040 - 5/20/2051, with a value of $3,060,005.

  3,000,000    3,000,000 
   

 

 

 

Total Repurchase Agreements
(Cost $123,848,340)

    123,848,340 
   

 

 

 

U.S. Government Agency Securities - 10.8%

 

Federal Farm Credit System

   

DN, 0.01%, 9/1/2021 (e)

  3,961    3,961 

(Federal Reserve Bank Prime Loan Rate US - 3.19%), 0.06%, 9/1/2021 (f)

  250,000    250,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  485,000    485,000 

(SOFR + 0.08%), 0.13%, 9/1/2021 (f)

  200,000    200,000 

(US Treasury 3 Month Bill Money Market Yield + 0.09%), 0.14%, 9/1/2021 (f)

  200,000    199,989 

(SOFR + 0.09%), 0.14%, 9/1/2021 (f)

  275,000    275,000 

(US Federal Funds Effective Rate (continuous series) + 0.06%), 0.14%, 9/1/2021 (f)

  475,000    475,000 

(Federal Reserve Bank Prime Loan Rate US - 3.08%), 0.17%, 9/1/2021 (f)

  250,000    250,000 

(SOFR + 0.35%), 0.40%, 9/1/2021 (f)

  1,500,000    1,500,000 

DN, 0.07%, 9/8/2021 (e)

  35,000    34,999 

DN, 0.13%, 9/9/2021 (e)

  25,000    24,999 

DN, 0.13%, 9/14/2021 (e)

  199,000    198,991 

DN, 0.13%, 9/28/2021 (e)

  35,000    34,997 

DN, 0.12%, 10/13/2021 (e)

  30,000    29,996 

DN, 0.13%, 10/21/2021 (e)

  75,000    74,986 

DN, 0.08%, 12/23/2021 (e)

  154,000    153,961 

DN, 0.09%, 1/27/2022 (e)

  20,000    19,993 

DN, 0.07%, 3/21/2022 (e)

  35,000    34,986 

FHLB

   

DN, 4.00%, 9/1/2021 (e)

  5,000    5,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  1,500,000    1,500,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  60,000    60,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  490,000    490,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  480,000    480,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  1,499,200    1,499,200 

(SOFR + 0.01%), 0.06%, 9/1/2021 (f)

  2,614,250    2,614,250 

0.13%, 9/1/2021

  34,850    34,850 

(SOFR + 0.08%), 0.13%, 9/1/2021 (f)

  1,135,000    1,135,000 

(SOFR + 0.20%), 0.25%, 9/1/2021 (f)

  250,000    250,000 

0.13%, 9/10/2021

  141,370    141,369 

DN, 0.05%, 9/17/2021 (e)

  1,751,000    1,750,963 

0.14%, 9/28/2021

  300,000    299,997 

0.04%, 9/29/2021

  100,000    99,999 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 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, 2021 (Unaudited) (continued)

 

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

U.S. Government Agency Securities — continued

 

0.04%, 9/29/2021

  37,500    37,500 

0.13%, 10/13/2021

  100,000    99,998 

0.06%, 10/15/2021

  475,000    474,996 

0.11%, 12/2/2021

  500,000    499,989 

FNMA (SOFR + 0.17%), 0.22%, 9/1/2021 (f)

  249,750    249,750 

(SOFR + 0.20%), 0.25%, 9/1/2021 (f)

  1,950,000    1,950,000 

(SOFR + 0.23%), 0.28%, 9/1/2021 (f)

  840,000    840,000 

(SOFR + 0.24%), 0.29%, 9/1/2021 (f)

  1,000,000    1,000,000 

(SOFR + 0.32%), 0.37%, 9/1/2021 (f)

  2,450,000    2,450,000 

(SOFR + 0.35%), 0.40%, 9/1/2021 (f)

  2,500,000    2,500,000 

(SOFR + 0.35%), 0.40%, 9/1/2021 (f)

  750,000    750,000 

FNMA ACES (SOFR + 0.20%), 0.25%, 9/1/2021 (f)

  1,200,000    1,200,000 
   

 

 

 

Total U.S. Government Agency Securities
(Cost $26,659,719)

    26,659,719 
   

 

 

 

U.S. Treasury Obligations — 8.5%

 

U.S. Treasury Floating Rate Notes (US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (f)

  250,000    249,989 

U.S. Treasury Notes

   

1.25%, 10/31/2021

  50,000    50,098 

2.88%, 11/15/2021

  1,000,000    1,005,762 

1.38%, 1/31/2022

  130,000    130,694 

1.50%, 1/31/2022

  1,083,000    1,089,342 

1.88%, 1/31/2022

  1,006,000    1,013,461 

1.13%, 2/28/2022

  2,137,000    2,147,869 

1.75%, 2/28/2022

  1,573,000    1,585,874 

1.88%, 2/28/2022

  500,000    504,394 

2.38%, 3/15/2022

  100,000    101,214 

0.38%, 3/31/2022

  100,000    100,157 

1.75%, 3/31/2022

  825,000    832,979 

1.88%, 3/31/2022

  1,329,250    1,342,870 

2.25%, 4/15/2022

  430,000    435,813 

0.13%, 4/30/2022

  1,903,210    1,903,858 

1.75%, 4/30/2022

  650,450    657,618 

1.88%, 4/30/2022

  2,625,000    2,656,337 

1.75%, 5/15/2022

  1,517,000    1,534,863 

2.13%, 5/15/2022

  1,500,000    1,521,605 

0.13%, 5/31/2022

  700,000    700,282 

1.88%, 5/31/2022

  735,000    744,877 

1.75%, 6/15/2022

  250,000    253,294 

0.13%, 6/30/2022

  300,000    300,084 

2.13%, 6/30/2022

  200,000    203,364 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $21,066,698)

    21,066,698 
   

 

 

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

Short-Term Investments — 30.3%

 

U.S. Treasury Obligations — 30.3%

 

U.S. Treasury Bills

   

1.50%, 9/2/2021 (e)

  2,550,000    2,549,997 

4.30%, 9/7/2021 (e)

  7,750,000    7,749,968 

4.00%, 9/9/2021 (e)

  1,196,400    1,196,383 

0.04%, 9/23/2021 (e)

  5,100,000    5,099,861 

0.05%, 9/30/2021 (e)

  5,000,000    4,999,797 

0.05%, 10/5/2021 (e)

  1,000,000    999,953 

0.05%, 10/28/2021 (e)

  5,148,000    5,147,593 

0.05%, 11/2/2021 (e)

  5,500,000    5,499,526 

0.05%, 11/4/2021 (e)

  77,000    76,993 

0.05%, 11/12/2021 (e)

  1,500,000    1,499,850 

0.05%, 11/16/2021 (e)

  8,250,000    8,249,129 

0.05%, 11/23/2021 (e)

  2,800,000    2,799,677 

3.90%, 11/26/2021 (e)

  4,733,500    4,732,881 

0.05%, 11/30/2021 (e)

  500,000    499,938 

0.60%, 12/2/2021 (e)

  3,574,800    3,574,393 

0.05%, 12/14/2021 (e)

  4,377,400    4,376,824 

0.05%, 12/21/2021 (e)

  5,404,680    5,403,928 

0.05%, 1/27/2022 (e)

  4,250,000    4,249,126 

0.05%, 2/3/2022 (e)

  1,000,000    999,778 

0.07%, 2/24/2022 (e)

  3,498,500    3,497,251 

5.30%, 3/3/2022 (e)

  300,000    299,920 

0.07%, 3/24/2022 (e)

  1,350,000    1,349,465 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $74,852,231)

    74,852,231 
   

 

 

 

Total Short-Term Investments
(Cost $74,852,231)

    74,852,231 
   

 

 

 

Total Investments — 99.8%
(Cost $246,426,988) 
*

    246,426,988 

Other Assets Less Liabilities — 0.2%

    505,469 
   

 

 

 

NET ASSETS — 100.0%

    246,932,457 
   

 

 

 

 

Percentages indicated are based on net assets.

Abbreviations

 

ACES Alternative Credit Enhancement Securities
DN Discount Notes
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
SOFR Secured Overnight Financing Rate
(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

(b) Agency Joint Trading Account I — At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account I with a maturity date of September 1, 2021, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $2,650,000  $2,650,004   $2,703,069 

Repurchase Agreements — At August 31, 2021, 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

   0.05 $900,000 

Credit Agricole Corporate and Investment Bank

   0.05  1,000,000 

TD Securities (USA) LLC

   0.05  750,000 
   

 

 

 

Total

   $2,650,000 
   

 

 

 

At August 31, 2021, the Agency Joint Trading Account I was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FFCB

   3.08%    6/21/2035 

FHLMC

   0.00% - 4.00%    7/15/2032 - 2/1/2046 

FNMA

   1.50% - 4.50%    6/1/2036 - 5/1/2051 

GNMA

   1.50% - 6.00%    2/20/2030 - 6/20/2051 
U.S. Treasury Securities   0.00% - 7.63%    9/7/2021 - 11/15/2048 

(c) Agency Joint Trading Account II — At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of September 1, 2021, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $652,331  $652,332   $665,401 

Repurchase Agreements — At August 31, 2021, 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.

   0.05 $480,188 

Citibank NA

   0.06  81,541 

Citigroup Global Markets Holdings, Inc.

   0.06  90,602 
   

 

 

 

Total

   $652,331 
   

 

 

 

At August 31, 2021, 2021, the Agency Joint Trading Account II was fully collateralized by:

 

Issuer  Interest Rates   Maturity Dates 

FHLMC

   2.50% - 5.50%    2/1/2026 - 1/1/2050 

FNMA

   2.00% - 6.10%    11/1/2022 - 9/1/2051 

GNMA

   2.35% - 3.00%    11/15/2042 - 3/15/2048 

U.S. Treasury Securities

   0.00% - 3.13%    2/15/2027 - 5/15/2051 

(d) Agency Joint Trading Account III - At August 31, 2021, certain Funds had undivided interests in the Agency Joint Trading Account III with a maturity date of September 1, 2021, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Government Money Market Fund

  $86,009  $86,009   $87,747 

Repurchase Agreements — At August 31, 2021, 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

   0.05 $86,009 

At August 31, 2021, 2021, the Agency Joint Trading Account III was fully collateralized by:

 

Issuer  Interest Rates  Maturity Dates 
FHLMC  0.00% - 7.00%   6/1/2023 – 7/1/2051 
FNMA  1.50% - 6.50%   9/1/2022 - 3/1/2052 

 

(e) The rate shown is the effective yield as of August 31, 2021.
(f) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
* The cost of securities is substantially the same for federal income tax purposes.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    51


Table of Contents

JPMorgan U.S. Treasury Plus Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

Repurchase Agreements — 49.7%

 

Bofa Securities, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $922,286, collateralized by U.S. Treasury Securities, 1.38% - 3.63%, due 8/15/2041 - 5/15/2051, with a value of $940,731.

  922,285    922,285 

Federal Reserve Bank of New York, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $5,200,007, collateralized by U.S. Treasury Securities, 0.13% - 2.50%, due 4/30/2023 - 5/15/2046, with a value of $5,200,007.

  5,200,000    5,200,000 

J.P. Morgan Securities LLC, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.13% - 6.25%, due 8/15/2023, with a value of $255,000.

  250,000    250,000 

Natwest Markets Securities, Inc., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $250,000, collateralized by U.S. Treasury Securities, 0.75% - 1.63%, due 8/31/2026 - 5/15/2031, with a value of $255,000.

  250,000    250,000 

Nomura Securities Co. Ltd., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $800,001, collateralized by U.S. Treasury Securities, 0.00% - 3.63%, due 10/5/2021 - 2/15/2051, with a value of $816,001.

  800,000    800,000 

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/10/2021, repurchase price $250,004, collateralized by U.S. Treasury Securities, 1.50% - 6.75%, due 6/30/2025 - 4/15/2028, with a value of $253,596.

  250,000    250,000 

Norinchukin Bank (The), 0.06%, dated 8/31/2021, due 9/13/2021, repurchase price $200,004, collateralized by U.S. Treasury Securities, 1.50% - 6.75%, due 6/30/2025 - 4/15/2028, with a value of $202,877.

  200,000    200,000 

Norinchukin Bank (The), 0.07%, dated 8/31/2021, due 10/26/2021, repurchase price $250,027, collateralized by U.S. Treasury Securities, 1.50% - 6.75%, due 6/30/2025 - 4/15/2028, with a value of $253,596.

  250,000    250,000 

Societe Generale SA, 0.05%, dated 8/31/2021, due 9/3/2021, repurchase price $1,500,006, collateralized by U.S. Treasury Securities, 0.00% - 6.75%, due 9/7/2021 - 8/15/2050, with a value of $1,530,000.

  1,500,000    1,500,000 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

Sumitomo Mitsui Banking Corp., 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $2,100,003, collateralized by U.S. Treasury Securities, 0.38% - 4.50%, due 11/30/2021 - 5/15/2038, with a value of $2,142,003.

  2,100,000    2,100,000 

Treasury Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 0.05%, dated 8/31/2021, due 9/1/2021, repurchase price $700,001(b)

  700,000    700,000 
   

 

 

 

Total Repurchase Agreements
(Cost $12,422,285)

    12,422,285 
   

 

 

 

U.S. Treasury Obligations — 16.7%

 

U.S. Treasury Floating Rate Notes

   

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (c)

  800,000    799,960 

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (c)

  350,000    350,001 

(US Treasury 3 Month Bill Money Market Yield + 0.11%), 0.16%, 9/1/2021 (c)

  328,000    328,189 

(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.20%, 9/1/2021 (c)

  500,000    500,030 

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.35%, 9/1/2021 (c)

  300,000    300,026 

U.S. Treasury Notes

   

1.75%, 11/30/2021

  115,442    115,924 

1.88%, 11/30/2021

  26,866    26,986 

1.50%, 1/31/2022

  100,000    100,586 

1.88%, 1/31/2022

  20,000    20,148 

2.50%, 2/15/2022

  80,000    80,880 

1.13%, 2/28/2022

  219,675    220,792 

1.75%, 2/28/2022

  177,250    178,694 

1.88%, 2/28/2022

  168,500    169,979 

1.75%, 3/31/2022

  113,000    114,076 

1.88%, 3/31/2022

  58,600    59,200 

1.88%, 4/30/2022

  500,000    505,974 

2.13%, 5/15/2022

  300,000    304,320 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $4,175,765)

    4,175,765 
   

 

 

 

Short-Term Investments — 30.4%

 

U.S. Treasury Obligations — 30.4%

 

U.S. Treasury Bills

   

4.30%, 9/7/2021 (d)

  3,038,400    3,038,383 

0.05%, 9/30/2021 (d)

  478,750    478,731 

0.05%, 10/28/2021 (d)

  500,000    499,960 

0.05%, 11/4/2021 (d)

  18,000    17,998 

0.05%, 11/9/2021 (d)

  250,000    249,976 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

 

 

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

Short-Term Investments — continued

 

U.S. Treasury Obligations — continued

 

0.07%, 11/18/2021 (d)

  125,000    124,981 

0.05%, 11/30/2021 (d)

  500,000    499,938 

0.04%, 12/9/2021 (d)

  700,000    699,926 

0.04%, 12/16/2021 (d)

  199,000    198,977 

0.05%, 1/27/2022 (d)

  700,000    699,856 

0.05%, 2/3/2022 (d)

  500,000    499,892 

0.07%, 2/24/2022 (d)

  340,000    339,884 

0.07%, 3/24/2022 (d)

  250,000    249,901 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $7,598,403)

    7,598,403 
   

 

 

 

Total Short-Term Investments
(Cost $7,598,403)

    7,598,403 
   

 

 

 

Total Investments — 96.8%
(Cost $24,196,453) 
*

    24,196,453 

Other Assets Less Liabilities — 3.2%

    803,743 
   

 

 

 

NET ASSETS — 100.0%

    25,000,196 
   

 

 

 

 

Percentages indicated are based on net assets.

 

(a) The date shown represents the earliest of the next put date, next demand date or final maturity date.
(b) Treasury Joint Trading Account I — At August 31, 2021, certain Funds had undivided interests in the Treasury Joint Trading Account I with a maturity date of September 1, 2021, as follows (amounts in thousands):

 

Fund  Principal
Amount
  Repurchase
Price
   Collateral
Value
Allocation
 

JPMorgan U.S. Treasury Plus Money Market Fund

  $700,000  $700,001   $714,001 

Repurchase Agreements — At August 31, 2021, the Principal Amounts of certain Funds’ interests in the Treasury Joint Trading Account I were as follows (amounts in thousands):

 

Counterparty  Interest
Rate
   JPMorgan
U.S. Treasury Plus Money
Market Fund
 
BNP Paribas SA   0.05%   $600,000 
Citibank NA   0.05%    100,000 
    

 

 

 

Total

    $700,000 
    

 

 

 

At August 31, 2021, the Treasury Joint Trading Account I was fully collateralized by:

 

Issuer  Interest Rates  Maturity Dates 
U.S. Treasury Securities  0.00% - 8.00%   9/2/2021 - 5/15/2051 
(c) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2021.
(d) The rate shown is the effective yield as of August 31, 2021.
* The cost of securities is substantially the same for federal income tax purposes.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
AUGUST 31, 2021 J.P. MORGAN MONEY MARKET FUNDS    53


Table of Contents

JPMorgan Federal Money Market Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

U.S. Government Agency Securities — 43.5%

 

Federal Farm Credit System
(SOFR + 0.08%), 0.12%, 9/1/2021 (b)

  20,000    20,000 

(SOFR + 0.08%), 0.13%, 9/1/2021 (b)

  12,000    12,000 

(SOFR + 0.09%), 0.14%, 9/1/2021 (b)

  20,000    20,000 

(SOFR + 0.32%), 0.37%, 9/1/2021 (b)

  25,000    25,000 

DN, 0.03%, 9/2/2021 (c)

  15,000    15,000 

DN, 0.04%, 9/22/2021 (c)

  10,000    10,000 

(ICE LIBOR USD 3 Month - 0.12%), 0.01%, 10/27/2021 (b)

  25,000    25,000 

DN, 0.07%, 3/21/2022 (c)

  25,000    24,990 

FHLB

   

DN, 0.04%, 9/1/2021 (c)

  80,000    80,000 

(SOFR + 0.01%), 0.06%, 9/1/2021 (b)

  50,000    50,000 

(SOFR + 0.08%), 0.12%, 9/1/2021 (b)

  25,000    25,000 

DN, 0.03%, 9/2/2021 (c)

  33,300    33,300 

DN, 0.03%, 9/3/2021 (c)

  225,000    225,000 

DN, 0.04%, 9/8/2021 (c)

  237,900    237,898 

DN, 0.03%, 9/10/2021 (c)

  138,220    138,219 

DN, 0.03%, 9/15/2021 (c)

  55,000    54,999 
   

 

 

 

Total U.S. Government Agency Securities
(Cost $996,406)

    996,406 
   

 

 

 

U.S. Treasury Obligations — 12.1%

 

U.S. Treasury Floating Rate Notes

   

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (b)

  25,000    24,998 

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.35%, 9/1/2021 (b)

  50,000    50,020 

U.S. Treasury Notes

   

2.50%, 1/15/2022

  100,000    100,904 

1.38%, 1/31/2022

  25,000    25,134 

1.13%, 2/28/2022

  25,000    25,133 

0.13%, 5/31/2022

  25,000    25,010 

1.75%, 6/15/2022

  25,000    25,330 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $276,529)

    276,529 
   

 

 

 

Short-Term Investments — 41.3%

 

U.S. Treasury Obligations — 41.3%

 

U.S. Treasury Bills

   

0.02%, 9/2/2021 (c)

  19,000    19,000 

4.30%, 9/7/2021 (c)

  30,000    30,000 

3.30%, 9/14/2021 (c)

  100,000    99,999 

3.10%, 9/16/2021 (c)

  5,840    5,840 

0.04%, 9/21/2021 (c)

  175,000    174,996 

0.05%, 9/28/2021 (c)

  66,700    66,698 

0.05%, 9/30/2021 (c)

  50,000    49,998 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 

U.S. Treasury Obligations — continued

 

0.05%, 10/7/2021 (c)

  100,000    99,995 

0.05%, 10/21/2021 (c)

  50,000    49,997 

0.05%, 11/2/2021 (c)

  50,000    49,996 

0.05%, 11/9/2021 (c)

  100,000    99,990 

0.05%, 11/23/2021 (c)

  100,000    99,988 

4.80%, 11/30/2021 (c)

  100,000    99,990 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $946,487)

    946,487 
   

 

 

 

Total Short-Term Investments
(Cost $946,487)

    946,487 
   

 

 

 

Total Investments — 96.9%
(Cost $2,219,422) 
*

    2,219,422 

Other Assets Less Liabilities — 3.1%

    72,139 
   

 

 

 

NET ASSETS — 100.0%

    2,291,561 
   

 

 

 

 

Percentages indicated are based on net assets.

 

Abbreviations

DN Discount Notes
FHLB Federal Home Loan Bank
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, 2021.
(c) The rate shown is the effective yield as of August 31, 2021.
* The cost of securities is substantially the same for federal income tax purposes.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54    J.P. MORGAN MONEY MARKET FUNDS AUGUST 31, 2021


Table of Contents

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

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF AUGUST 31, 2021 (Unaudited)

 

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

U.S. Treasury Obligations — 10.1%

 

U.S. Treasury Bonds 8.00%, 11/15/2021

  34,709    35,271 

U.S. Treasury Floating Rate Notes

   

(US Treasury 3 Month Bill Money Market Yield + 0.03%), 0.07%, 9/1/2021 (b)

  100,000    99,998 

(US Treasury 3 Month Bill Money Market Yield + 0.06%), 0.10%, 9/1/2021 (b)

  1,856,190    1,856,063 

(US Treasury 3 Month Bill Money Market Yield + 0.11%), 0.16%, 9/1/2021 (b)

  150,000    149,974 

(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.20%, 9/1/2021 (b)

  2,629,000    2,629,140 

(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.35%, 9/1/2021 (b)

  1,813,000    1,813,446 

U.S. Treasury Notes

   

1.50%, 9/30/2021

  700,000    700,805 

2.13%, 12/31/2021

  270,000    271,841 

1.38%, 1/31/2022

  275,000    276,471 

2.00%, 2/15/2022

  200,000    201,745 

1.13%, 2/28/2022

  150,000    150,760 

1.75%, 2/28/2022

  698,550    704,391 

2.38%, 3/15/2022

  100,000    101,220 

0.13%, 5/31/2022

  125,000    125,050 

1.75%, 5/31/2022

  175,000    177,189 

1.88%, 5/31/2022

  200,000    202,688 

1.75%, 6/15/2022

  125,000    126,650 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $9,622,702)

    9,622,702 
   

 

 

 

Short-Term Investments — 92.4%

 

U.S. Treasury Obligations — 92.4%

 

U.S. Treasury Bills

   

0.02%, 9/2/2021 (c)

  2,820,000    2,819,999 

0.04%, 9/7/2021 (c)

  6,090,000    6,089,956 

0.04%, 9/9/2021 (c)

  3,657,980    3,657,948 

0.03%, 9/14/2021 (c)

  5,000,000    4,999,940 

0.03%, 9/16/2021 (c)

  2,894,000    2,893,963 

0.04%, 9/21/2021 (c)

  4,640,460    4,640,360 

0.04%, 9/23/2021 (c)

  2,850,000    2,849,926 

0.04%, 9/28/2021 (c)

  5,500,000    5,499,828 

0.05%, 9/30/2021 (c)

  2,000,000    1,999,917 

0.05%, 10/5/2021 (c)

  3,000,000    2,999,867 

0.04%, 10/7/2021 (c)

  3,500,000    3,499,844 

0.04%, 10/12/2021 (c)

  4,250,000    4,249,800 

0.04%, 10/14/2021 (c)

  4,350,000    4,349,766 

0.05%, 10/15/2021 (c)

  3,250,000    3,249,786 

0.05%, 10/19/2021 (c)

  2,800,000    2,799,807 

0.05%, 10/28/2021 (c)

  1,000,000    999,925 

0.06%, 11/1/2021 (c)

  3,000,000    2,999,708 
INVESTMENTS (a) PRINCIPAL
AMOUNT
($000)
   VALUE
($000)
 
   

U.S. Treasury Obligations — continued

 

0.05%, 11/2/2021 (c)

  1,825,000    1,824,843 

0.05%, 11/9/2021 (c)

  600,000    599,945 

0.05%, 11/12/2021 (c)

  1,650,000    1,649,835 

0.05%, 11/23/2021 (c)

  860,000    859,903 

0.04%, 11/26/2021 (c)

  2,492,300    2,492,016 

0.05%, 11/30/2021 (c)

  2,475,000    2,474,702 

0.01%, 12/2/2021 (c)

  3,500,000    3,499,602 

0.05%, 12/7/2021 (c)

  208,750    208,725 

4.00%, 12/9/2021 (c)

  500,000    499,945 

0.05%, 12/14/2021 (c)

  1,000,000    999,870 

0.05%, 12/21/2021 (c)

  1,000,000    999,857 

0.05%, 1/13/2022 (c)

  2,400,000    2,399,531 

0.05%, 1/20/2022 (c)

  3,000,000    2,999,410 

0.05%, 1/27/2022 (c)

  4,123,410    4,122,562 

0.05%, 2/10/2022 (c)

  1,950,000    1,949,543 
   

 

 

 

Total U.S. Treasury Obligations
(Cost $88,180,629)

    88,180,629 
   

 

 

 

Total Short-Term Investments
(Cost $88,180,629)

    88,180,629 
   

 

 

 

Total Investments — 102.5%
(Cost $97,803,331) 
*

    97,803,331 

Liabilities in Excess of
Other Assets — (2.5)%

    (2,419,329
   

 

 

 

NET ASSETS — 100.0%

    95,384,002