JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited)
Investments | Principal Amount ($000) | Value ($000) | ||||||
LOAN ASSIGNMENTS — 84.2%(a) |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
MacDonald Dettwiler and Associates Ltd., Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 10/4/2024(b)(c) | 1,913 | 1,852 | ||||||
Spirit AeroSystems, Inc. Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 6.00%, 1/15/2025(b)(c) | 1,521 | 1,532 | ||||||
TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 1 Month + 2.25%), 2.40%, 12/9/2025(b) | 5,845 | 5,659 | ||||||
|
| |||||||
9,043 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
XPO Logistics, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 2/24/2025(b) | 1,348 | 1,333 | ||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
JetBlue Airways Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.25%), 6.25%, 6/17/2024(b) | 1,486 | 1,509 | ||||||
WestJet Airlines Ltd., 1st Lien Term Loan (Canada) (ICE LIBOR USD 3 Month + 3.00%), 4.00%, 12/11/2026(b) | 2,635 | 2,468 | ||||||
|
| |||||||
3,977 | ||||||||
|
| |||||||
Auto Components — 1.5% |
| |||||||
Adient US LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%; ICE LIBOR USD 3 Month + 4.25%), 4.41%, 5/6/2024(b) | 2,611 | 2,602 | ||||||
Tenneco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 10/1/2025(b) | 3,457 | 3,313 | ||||||
USI, Inc., Term Loan (ICE LIBOR USD 3 Month + 3.00%), 3.22%, 5/16/2024(b) | 3,329 | 3,256 | ||||||
|
| |||||||
9,171 | ||||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 8/14/2024(b) | 4,034 | 3,890 | ||||||
|
| |||||||
Building Products — 0.5% |
| |||||||
Advanced Drainage Systems, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.44%, 7/31/2026(b) | 1,510 | 1,507 | ||||||
Summit Materials LLC, Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 11/21/2024(b) | 1,837 | 1,802 | ||||||
|
| |||||||
3,309 | ||||||||
|
| |||||||
Chemicals — 3.2% |
| |||||||
Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.97%, 6/1/2024(b) | 2,312 | 2,271 | ||||||
Gates Global LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 4/1/2024(b) | 4,563 | 4,517 | ||||||
INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 8/28/2026(b) | 2,278 | 2,258 | ||||||
Momentive Performance Materials, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.40%, 5/15/2024(b) | 3,435 | 3,326 | ||||||
Pelican Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 5/1/2025(b) | 2,403 | 2,325 | ||||||
Pelican Products, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 7.75%), 8.75%, 5/1/2026(b) | 2,205 | 1,742 | ||||||
Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 9/6/2024(b) | 1,926 | 1,888 | ||||||
Tronox Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 3.18%, 9/23/2024(b) | 1,758 | 1,733 | ||||||
|
| |||||||
20,060 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.0% |
| |||||||
Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%; ICE LIBOR USD 3 Month + 3.25%), 4.25%, 9/23/2026(b) | 6,367 | 6,327 | ||||||
|
| |||||||
Communications Equipment — 1.9% |
| |||||||
API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.65%, 10/1/2026(b) | 4,245 | 4,171 | ||||||
APi Group DE, Inc., Term B (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 10/1/2026(b) | 732 | 722 | ||||||
CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (ICE LIBOR USD 1 Month + 3.25%), 3.40%, 4/6/2026(b) | 6,419 | 6,303 | ||||||
Plantronics, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.65%, 7/2/2025(b) | 663 | 639 | ||||||
|
| |||||||
11,835 | ||||||||
|
|
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Construction & Engineering — 1.0% |
| |||||||
Pike Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%; 3-MONTH PRIME + 2.00%), 3.23%, 7/24/2026(b)(c) | 3,120 | 3,105 | ||||||
Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 1/24/2027(b) | 3,333 | 3,268 | ||||||
|
| |||||||
6,373 | ||||||||
|
| |||||||
Construction Materials — 0.4% |
| |||||||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), | 2,553 | 2,529 | ||||||
|
| |||||||
Containers & Packaging — 3.4% |
| |||||||
Berry Plastics Corp., 1st Lien Term Loan W (ICE LIBOR USD 1 Month + 2.00%), 2.13%, 10/1/2022(b) | 677 | 674 | ||||||
Berry Plastics Corp., 1st Lien Term Loan X (ICE LIBOR USD 1 Month + 2.00%), 2.13%, 1/19/2024(b) | 1,679 | 1,663 | ||||||
Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 3.48%, 4/3/2024(b) | 4,092 | 3,891 | ||||||
Consolidated Container, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 5/22/2024(b) | 3,991 | 3,950 | ||||||
Graham Packaging Co., Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 8/4/2027(b) | 4,021 | 4,014 | ||||||
Reynolds Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), | 3,320 | 3,263 | ||||||
Reynolds Group Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 2/5/2023(b) | 1,702 | 1,679 | ||||||
Ring Container Technologies Group LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), | 1,760 | 1,718 | ||||||
|
| |||||||
20,852 | ||||||||
|
| |||||||
Diversified Consumer Services — 2.0% |
| |||||||
Allied Universal Holdco LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), | 2,821 | 2,802 | ||||||
Conservice LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 4.47%, 5/13/2027(b) | 3,220 | 3,172 | ||||||
Diamond Sports Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), | 1,775 | 1,473 | ||||||
St. George’s University Scholastic Services LLC, Term Loan B (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 1 Month + 3.25%), 3.40%, 7/17/2025(b) | 4,820 | 4,756 | ||||||
|
| |||||||
12,203 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
Duff & Phelps Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 4/9/2027(b) | 3,142 | 3,130 | ||||||
Nestle Skin Health SA, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.25%, 10/1/2026(b) | 4,771 | 4,764 | ||||||
Quidditch Acquisition, Inc., 1st Lien Cov-Lite Term Loan (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 3/21/2025(b) | 1,580 | 1,469 | ||||||
|
| |||||||
9,363 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 5.8% |
| |||||||
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.40%, 3/15/2027(b)(c) | 8,942 | 8,734 | ||||||
Cincinnati Bell, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 10/2/2024(b) | 6,511 | 6,506 | ||||||
Getty Images, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 4.69%, 2/19/2026(b) | 2,804 | 2,701 | ||||||
Hargray Communications Group, Inc., Senior Secured Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 5/16/2024(b) | 4,348 | 4,302 | ||||||
Intelsat Jackson Holdings, 1st Lien Term Loan (Luxembourg) (1-MONTH PRIME + 4.75%), | 13,550 | 13,700 | ||||||
|
| |||||||
35,943 | ||||||||
|
| |||||||
Electric Utilities — 2.2% |
| |||||||
Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 1/15/2025(b) | 3,340 | 3,290 | ||||||
Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), | 2,871 | 2,846 | ||||||
Edgewater Generation LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), | 1,657 | 1,620 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Lightstone Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 1/30/2024(b) | 2,677 | 2,413 | ||||||
Lightstone Holdco LLC, 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 1/30/2024(b) | 151 | 136 | ||||||
PG&E Corp., Exit Term Loan (ICE LIBOR USD 1 Month + 4.50%), 5.50%, 6/18/2025(b) | 3,182 | 3,202 | ||||||
|
| |||||||
13,507 | ||||||||
|
| |||||||
Electrical Equipment — 1.6% |
| |||||||
Brookfield WEC Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), | 5,569 | 5,511 | ||||||
Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), | 4,468 | 4,394 | ||||||
|
| |||||||
9,905 | ||||||||
|
| |||||||
Entertainment — 0.6% |
| |||||||
Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), | 2,650 | 2,564 | ||||||
NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 5/8/2025(b) | 1,391 | 1,274 | ||||||
|
| |||||||
3,838 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
ESH Hospitality, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), | 29 | 28 | ||||||
GGP, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.65%, 8/27/2025(b) | 3,060 | 2,811 | ||||||
VICI Properties 1 LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.90%, 12/20/2024(b) | 3,445 | 3,354 | ||||||
|
| |||||||
6,193 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
BJ’s Wholesale Club, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), | 1,308 | 1,303 | ||||||
Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 4/1/2024‡(b) | 1,670 | 1,670 | ||||||
Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 10.75%), 11.75%, 10/1/2024(b) | 3,456 | 3,007 | ||||||
United Natural Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.40%, 10/22/2025(b) | 1,760 | 1,746 | ||||||
|
| |||||||
7,726 | ||||||||
|
| |||||||
Food Products — 3.7% |
| |||||||
Atkins Nutritionals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), | 2,220 | 2,222 | ||||||
B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.65%, 10/10/2026(b) | 1,615 | 1,607 | ||||||
Dole Food Co., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 4/6/2024(b) | 9,887 | 9,787 | ||||||
Hearthside Group Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.69%), 3.83%, 5/23/2025(b) | 1,662 | 1,625 | ||||||
Hostess Brands LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 2 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.00%, 8/3/2025(b) | 3,307 | 3,266 | ||||||
JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 5/1/2026(b) | 3,010 | 2,963 | ||||||
Shearer’s Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 9/23/2027(b) | 1,610 | 1,605 | ||||||
|
| |||||||
23,075 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
Avantor Funding, Inc., Term B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 11/8/2027(b)(c) | 3,100 | 3,096 | ||||||
|
| |||||||
Health Care Providers & Services — 6.1% |
| |||||||
Air Medical Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 10/2/2025(b) | 2,190 | 2,160 | ||||||
CHG Healthcare Services, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.00%, 6/7/2023(b) | 2,563 | 2,530 | ||||||
CVS Holdings I LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 4.40%, 8/31/2026(b)(c) | 1,297 | 1,243 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
CVS Holdings I LP, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 4.25%), | 500 | 479 | ||||||
Envision Healthcare Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), | 4,364 | 3,546 | ||||||
Lifepoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.90%, 11/16/2025(b) | 2,679 | 2,638 | ||||||
MultiPlan, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.75%, 6/7/2023(b)(c) | 4,558 | 4,491 | ||||||
Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.00%), 4.15%, 3/31/2027(b) | 1,321 | 1,302 | ||||||
Pathway Vet Alliance LLC, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 4.00%), 4.15%, 3/31/2027(b)(c) | 46 | 46 | ||||||
PCI Pharma Services, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), | 2,140 | 2,120 | ||||||
PetVet Care Centers LLC, 1st Lien Term Loan | ||||||||
(ICE LIBOR USD 1 Month + 2.75%), 2.90%, 2/14/2025(b) | 2,019 | 1,966 | ||||||
(ICE LIBOR USD 1 Month + 3.25%), 3.40%, 2/14/2025(b) | 755 | 738 | ||||||
PetVet Care Centers LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 4.25%), | 943 | 937 | ||||||
Tennessee Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), | 4,051 | 3,523 | ||||||
Tivity Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 5.40%, 3/6/2026(b) | 1,770 | 1,741 | ||||||
U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.15%, 6/26/2026(b)(c) | 2,208 | 2,188 | ||||||
WIRB-Copernicus Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), | 5,996 | 5,988 | ||||||
|
| |||||||
37,636 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.2% |
| |||||||
1011778 BC ULC, 1st Lien Term Loan B (Canada) (ICE LIBOR USD 1 Month + 1.75%), | 3,345 | 3,248 | ||||||
Caesars Resort Collection LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), | 2,089 | 2,020 | ||||||
CCM Merger, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 11/4/2025(b)(c) | 2,095 | 2,080 | ||||||
Club Corp Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 2.97%, 9/18/2024(b) | 1,745 | 1,545 | ||||||
Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan (Canada) (ICE LIBOR USD 3 Month + 3.50%), 7.50%, 12/1/2023(b) | 3,483 | 3,244 | ||||||
Golden Nugget, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 2.50%), 3.25%, 10/4/2023(b) | 1,970 | 1,875 | ||||||
IRB Holding Corp., 1st Lien Term Loan B | ||||||||
(ICE LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/2025(b) | 5,402 | 5,302 | ||||||
(ICE LIBOR USD 3 Month + 3.50%), 4.50%, 10/1/2025(b)(c) | 1,320 | 1,310 | ||||||
Stars Group Holdings BV, 1st Lien Term Loan B (Canada) (ICE LIBOR USD 3 Month + 3.50%), | 940 | 941 | ||||||
UFC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.25%, 4/29/2026(b) | 3,293 | 3,258 | ||||||
Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.89%, 7/31/2026(b) | 1,396 | 1,371 | ||||||
|
| |||||||
26,194 | ||||||||
|
| |||||||
Household Products — 1.0% |
| |||||||
Clover Merger Sub, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 3.65%, 9/26/2024(b) | 3,338 | 3,263 | ||||||
KIK Custom Products, Inc., 1st Lien Term Loan B (Canada) (ICE LIBOR USD 1 Month + 4.00%), | 2,844 | 2,833 | ||||||
|
| |||||||
6,096 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.6% |
| |||||||
ExGen Renewables IV LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), | 2,507 | 2,500 | ||||||
Invenergy LLC, Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 8/28/2025(b) | 1,313 | 1,308 | ||||||
|
| |||||||
3,808 | ||||||||
|
|
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Insurance — 1.8% |
| |||||||
Asurion LLC, 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 6.50%), 6.65%, 8/4/2025(b) | 2,296 | 2,308 | ||||||
Asurion LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 11/3/2023(b) | 1,737 | 1,718 | ||||||
Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 11/3/2024(b) | 3,426 | 3,389 | ||||||
HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 2.96%, 4/25/2025(b) | 3,860 | 3,763 | ||||||
|
| |||||||
11,178 | ||||||||
|
| |||||||
Interactive Media & Services — 0.4% |
| |||||||
Rackspace Hosting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 4.00%, 11/3/2023(b) | 2,398 | 2,381 | ||||||
|
| |||||||
IT Services — 1.8% |
| |||||||
Ancestry.com, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 4.75%, 11/24/2027(b)(c) | 2,155 | 2,147 | ||||||
Go Daddy Group, Inc. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.90%, 2/15/2024(b) | 2,695 | 2,652 | ||||||
RSA Security LLC, 1st Lien Term Loan (ICE LIBOR USD 2 Month + 5.00%), 6.00%, 12/1/2028(b) | 2,372 | 2,363 | ||||||
Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 3/9/2027(b) | 4,144 | 4,068 | ||||||
|
| |||||||
11,230 | ||||||||
|
| |||||||
Leisure Products — 1.9% |
| |||||||
Bombardier Recreational Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.15%, 5/24/2027(b) | 1,794 | 1,738 | ||||||
Bombardier Recreational Products, Inc., 1st Lien Term Loan B-2 (ICE LIBOR USD 3 Month + 5.00%), 6.00%, 1/1/2038(b) | 888 | 900 | ||||||
Delta 2 SARL, 1st Lien Term Loan B (United Kingdom) (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 2/1/2024(b) | 2,466 | 2,397 | ||||||
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2022‡(b)(d) | 5,170 | 2,585 | ||||||
FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), | 21,042 | — | (e) | |||||
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.65%, 12/22/2025(b) | 3,405 | 3,197 | ||||||
Steinway Musical Instruments, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 2/14/2025(b) | 1,034 | 997 | ||||||
|
| |||||||
11,814 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 2 Month + 3.25%; ICE LIBOR USD 3 Month + 3.25%), 4.25%, 8/30/2024(b) | 3,903 | 3,888 | ||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.25%, 10/8/2027(b)(c) | 3,065 | 3,056 | ||||||
Gardner Denver Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 3/1/2027(b) | 723 | 719 | ||||||
Hillman Group, Inc. (The), Initial Term Loan (ICE LIBOR USD 1 Month + 4.00%), 4.15%, 5/30/2025(b)(c) | 2,806 | 2,779 | ||||||
Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 3/17/2027(b) | 2,469 | 2,389 | ||||||
Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 3.36%, 3/28/2025(b)(c) | 2,566 | 2,465 | ||||||
|
| |||||||
11,408 | ||||||||
|
| |||||||
Media — 9.2% |
| |||||||
Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.89%, 7/15/2025(b)(c) | 4,224 | 4,059 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
CBS Radio, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.64%, 11/18/2024(b) | 2,860 | 2,758 | ||||||
Cineworld Finance US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), | 1,642 | 1,254 | ||||||
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%), 3.71%, 8/21/2026(b) | 9,731 | 9,147 | ||||||
CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.39%, 7/17/2025(b) | 5,415 | 5,272 | ||||||
CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.39%, 1/15/2026(b)(c) | 4,085 | 3,973 | ||||||
GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 10/10/2025(b) | 3,646 | 3,581 | ||||||
Gray Television, Inc., 1st Lien Term Loan B | ||||||||
(ICE LIBOR USD 1 Month + 2.25%), 2.40%, 2/7/2024(b) | 1,120 | 1,099 | ||||||
(ICE LIBOR USD 1 Month + 2.50%), 2.65%, 1/2/2026(b) | 1,713 | 1,686 | ||||||
iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 5/1/2026(b) | 4,100 | 3,962 | ||||||
iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.75%, 5/1/2026(b) | 910 | 896 | ||||||
Meredith Corp., 1st Lien Term Loan B | ||||||||
(ICE LIBOR USD 1 Month + 2.50%), 2.65%, 1/31/2025(b) | 2,482 | 2,436 | ||||||
(ICE LIBOR USD 1 Month + 4.25%), 5.25%, 1/31/2025(b) | 1,102 | 1,101 | ||||||
MidContinent Communications, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.90%, 8/15/2026(b) | 1,928 | 1,913 | ||||||
Nexstar Broadcasting, Inc., 1st Lien Term Loan B | ||||||||
(ICE LIBOR USD 1 Month + 2.25%), 2.40%, 1/17/2024(b) | 1,358 | 1,339 | ||||||
(ICE LIBOR USD 1 Month + 2.75%), 2.90%, 9/18/2026(b) | 4,027 | 3,974 | ||||||
Numericable US LLC, 1st Lien Term Loan B (France) (ICE LIBOR USD 1 Month + 3.69%), 3.83%, 1/31/2026(b)(c) | 4,392 | 4,319 | ||||||
Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.65%, 11/8/2024(b) | 1,722 | 1,664 | ||||||
Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.00%), 7.00%, 9/25/2026(b) | 2,400 | 2,328 | ||||||
|
| |||||||
56,761 | ||||||||
|
| |||||||
Metals & Mining — 0.4% |
| |||||||
Thyssenkrupp Elevator, 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 4.25%), 4.57%, 6/30/2027(b) | 2,224 | 2,217 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
Buckeye Partners LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.90%, 11/1/2026(b) | 2,836 | 2,810 | ||||||
California Resources Corp., Term Loan B-2 (ICE LIBOR USD 3 Month + 9.00%), 10.00%, 10/27/2025‡(b) | 678 | 678 | ||||||
CITGO Holding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 8/1/2023(b) | 2,043 | 1,779 | ||||||
Grizzly Acquisitions, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), | 2,675 | 2,569 | ||||||
Gulf Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 6.25%, 8/25/2023(b)(c) | 3,411 | 2,474 | ||||||
Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 10/30/2024(b) | 1,467 | 1,404 | ||||||
Moda Midstream LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.40%, 9/29/2025(b) | 1,942 | 1,911 | ||||||
Oryx Midstream Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.15%, 5/22/2026(b) | 1,708 | 1,624 | ||||||
|
| |||||||
15,249 | ||||||||
|
| |||||||
Paper & Forest Products — 0.5% |
| |||||||
Asplundh Tree Expert LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), | 3,210 | 3,213 | ||||||
|
|
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Pharmaceuticals — 3.6% |
| |||||||
Concordia Healthcare Corp., Initial Dollar Term Loan (Canada) (ICE LIBOR USD 3 Month + 5.50%), 6.50%, 9/6/2024(b)(c) | 8,529 | 8,261 | ||||||
Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.00%, 4/29/2024(b) | 2,050 | 1,987 | ||||||
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.14%, 6/2/2025(b)(c) | 12,345 | 12,191 | ||||||
|
| |||||||
22,439 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), | 3,170 | 3,148 | ||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
CityCenter Holdings LLC, Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/18/2024(b)(c) | 3,839 | 3,695 | ||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
Genesee & Wyoming, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 2.22%, 12/30/2026(b) | 3,606 | 3,577 | ||||||
Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.50%, 6/30/2023(b)(c) | 5,397 | 5,212 | ||||||
|
| |||||||
8,789 | ||||||||
|
| |||||||
Software — 5.8% |
| |||||||
Ascend Learning LLC, Term Loan B | ||||||||
(ICE LIBOR USD 1 Month + 3.00%), 4.00%, 7/12/2024(b) | 3,054 | 3,008 | ||||||
(ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/12/2024(b) | 408 | 407 | ||||||
Cornerstone OnDemand, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), | 2,053 | 2,050 | ||||||
Greeneden U.S. Holdings I LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 10/8/2027(b)(c) | 3,060 | 3,048 | ||||||
Greeneden US Holdings I LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.40%, 12/1/2023(b) | 3,286 | 3,279 | ||||||
Hyland Software, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 4.25%, 7/1/2024(b) | 1,870 | 1,859 | ||||||
Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.40%, 2/25/2027(b)(c) | 4,765 | 4,681 | ||||||
LogMeIn, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.75%), 4.89%, 8/31/2027(b) | 2,330 | 2,301 | ||||||
Misys Group Ltd., Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 6/13/2024(b) | 1,647 | 1,594 | ||||||
Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), | 2,188 | 2,170 | ||||||
Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), | 2,814 | 2,735 | ||||||
Qlik Technologies, Inc.,1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 4/26/2024(b)(c) | 1,553 | 1,521 | ||||||
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 1.75%), 1.90%, 4/16/2025(b) | 1,741 | 1,711 | ||||||
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-4 (ICE LIBOR USD 1 Month + 1.75%), 1.90%, 4/16/2025(b) | 1,318 | 1,296 | ||||||
Ultimate Software Group, Inc. (The), 1st Lien Term Loan | ||||||||
(ICE LIBOR USD 1 Month + 3.75%), 3.90%, 5/4/2026(b) | 2,381 | 2,365 | ||||||
(ICE LIBOR USD 3 Month + 4.00%), 4.75%, 5/4/2026(b) | 1,955 | 1,957 | ||||||
|
| |||||||
35,982 | ||||||||
|
| |||||||
Specialty Retail — 2.2% |
| |||||||
American Bath Group LLC, 1st Lien Term Loan B1 (ICE LIBOR USD 3 Month + 4.50%), | 559 | 558 | ||||||
American Bath Group LLC, 1st Lien Term Loan B2 (ICE LIBOR USD 3 Month + 4.50%), | 186 | 186 | ||||||
Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 6.65%, 12/18/2026(b)(f) | 2,698 | 2,167 | ||||||
DigiCert, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 6.00%), 6.15%, 10/16/2026(b) | 2,448 | 2,426 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
PetSmart, Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 3/11/2022(b) | 4,795 | 4,767 | ||||||
Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 5.21%, 4/16/2026(b)(c) | 3,547 | 3,415 | ||||||
|
| |||||||
13,519 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.1% |
| |||||||
KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.90%, 12/22/2025(b) | 4,145 | 4,075 | ||||||
Quest Software US Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 4.46%, 5/16/2025(b) | 1,578 | 1,524 | ||||||
Quest Software US Holdings, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.25%), 8.46%, 5/18/2026(b) | 1,089 | 1,030 | ||||||
|
| |||||||
6,629 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.3% |
| |||||||
Samsonite International SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), | 1,658 | 1,566 | ||||||
|
| |||||||
TOTAL LOAN ASSIGNMENTS (Cost $533,665) |
| 522,388 | ||||||
|
| |||||||
CORPORATE BONDS — 8.8% |
| |||||||
Auto Components — 0.5% |
| |||||||
Adient US LLC 7.00%, 5/15/2026(g) | 790 | 857 | ||||||
American Axle & Manufacturing, Inc. 6.25%, 3/15/2026 | 2,000 | 2,050 | ||||||
|
| |||||||
2,907 | ||||||||
|
| |||||||
Chemicals — 0.4% |
| |||||||
Trinseo Materials Operating SCA 5.38%, 9/1/2025(g) | 2,250 | 2,301 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.3% |
| |||||||
ILFC E-Capital Trust I (USD Constant Maturity 30 Year + 1.55%), 2.98%, 12/21/2065(b)(g) | 3,195 | 1,917 | ||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
Ford Motor Credit Co. LLC | ||||||||
5.88%, 8/2/2021 | 3,000 | 3,069 | ||||||
5.13%, 6/16/2025 | 1,500 | 1,620 | ||||||
|
| |||||||
4,689 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
Berry Global, Inc. 4.88%, 7/15/2026(g) | 800 | 849 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
CCO Holdings LLC | ||||||||
5.13%, 5/1/2027(g) | 6,000 | 6,313 | ||||||
5.00%, 2/1/2028(g) | 1,900 | 1,997 | ||||||
|
| |||||||
8,310 | ||||||||
|
| |||||||
Electric Utilities — 0.0%(h) |
| |||||||
Texas Competitive Electric Holdings Co. LLC 8.50%, 10/1/2021‡(d) | 75,000 | 38 | ||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
Sensata Technologies BV 5.00%, 10/1/2025(g) | 2,279 | 2,530 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Ingram Micro, Inc. 5.00%, 8/10/2022 | 1,400 | 1,433 | ||||||
|
| |||||||
Entertainment — 0.2% |
| |||||||
Cinemark USA, Inc. 4.88%, 6/1/2023 | 1,279 | 1,211 | ||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
Centene Corp. 4.75%, 1/15/2025 | 1,057 | 1,090 | ||||||
HCA, Inc. | ||||||||
5.38%, 2/1/2025 | 750 | 839 | ||||||
5.38%, 9/1/2026 | 2,750 | 3,125 | ||||||
Tenet Healthcare Corp. 7.50%, 4/1/2025(g) | 3,100 | 3,393 | ||||||
|
| |||||||
8,447 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
IQVIA, Inc. 5.00%, 10/15/2026(g) | 700 | 732 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.2% |
| |||||||
Six Flags Entertainment Corp. 4.88%, 7/31/2024(g) | 1,268 | 1,263 | ||||||
|
| |||||||
Household Durables — 0.2% |
| |||||||
Newell Brands, Inc. 4.70%, 4/1/2026(i) | 1,000 | 1,077 | ||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
Spectrum Brands, Inc. 6.13%, 12/15/2024 | 2,000 | 2,040 | ||||||
|
| |||||||
Machinery — 0.3% |
| |||||||
Colfax Corp. 6.00%, 2/15/2024(g) | 2,000 | 2,072 | ||||||
|
| |||||||
Media — 0.3% |
| |||||||
Clear Channel Worldwide Holdings, Inc. 9.25%, 2/15/2024 | 1,727 | 1,725 | ||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
NMG 12.00%, 9/18/2025‡ | 1,470 | 1,544 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.8% |
| |||||||
Cheniere Energy Partners LP 5.25%, 10/1/2025 | 2,150 | 2,207 | ||||||
DCP Midstream Operating LP 3.88%, 3/15/2023 | 250 | 256 | ||||||
NuStar Logistics LP 5.75%, 10/1/2025 | 1,600 | 1,684 | ||||||
PBF Logistics LP 6.88%, 5/15/2023 | 500 | 479 | ||||||
Sunoco LP 4.88%, 1/15/2023 | 250 | 254 | ||||||
|
| |||||||
4,880 | ||||||||
|
|
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Pharmaceuticals — 0.2% |
| |||||||
Bausch Health Cos., Inc. 7.00%, 3/15/2024(g) | 1,000 | 1,031 | ||||||
|
| |||||||
Specialty Retail — 0.4% |
| |||||||
Staples, Inc. 7.50%, 4/15/2026(g) | 2,500 | 2,519 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
Sprint Corp. 7.88%, 9/15/2023 | 1,050 | 1,210 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $53,295) |
| 54,725 | ||||||
|
| |||||||
Shares (000) | ||||||||
COMMON STOCKS — 1.2% |
| |||||||
Aerospace & Defense — 0.0%(h) |
| |||||||
Remington Outdoor Co., Inc.*‡ | 419 | — | (e) | |||||
|
| |||||||
Food & Staples Retailing — 0.0%(h) |
| |||||||
Moran Foods Backstop Equity*‡ | 167 | 167 | ||||||
|
| |||||||
Media — 0.1% |
| |||||||
Clear Channel Outdoor Holdings, Inc.* | 369 | 557 | ||||||
iHeartMedia, Inc., Class A* | 18 | 220 | ||||||
|
| |||||||
777 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Neiman Marcus Group Restricted Equity*‡ | 1 | 93 | ||||||
Neiman Marcus Group Unrestricted Equity*‡ | 16 | 1,296 | ||||||
|
| |||||||
1,389 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
California Resources Corp.* | 194 | 4,229 | ||||||
|
| |||||||
Specialty Retail — 0.2% |
| |||||||
Claire’s Stores, Inc.*‡ | 3 | 1,017 | ||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $13,285) |
| 7,579 | ||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS — 0.7% |
| |||||||
Specialty Retail — 0.7% |
| |||||||
Claire’s Stores, Inc. *‡ (Cost $973) | 2 | 4,319 | ||||||
|
| |||||||
No. of Rights (000) | ||||||||
RIGHTS — 0.2% |
| |||||||
Independent Power and Renewable Electricity Producers — 0.2% |
| |||||||
Vistra Corp., expiring 12/31/2049*‡ (Cost $ —) | 1,250 | 1,376 | ||||||
|
| |||||||
No. of Warrants (000) | ||||||||
WARRANTS — 0.2% |
| |||||||
Diversified Telecommunication Services — 0.0%(h) |
| |||||||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD*‡ | 7 | 91 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
iHeartMedia Capital I LLC expiring 5/2/2039, price 1.00 USD*‡ | 138 | 1,039 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $2,479) |
| 1,130 | ||||||
|
| |||||||
Principal Amount ($000) | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.0% |
| |||||||
Southcross Holdco Equity, 0.00%, 7/9/2070‡(Cost $470) | 136 | — | ||||||
|
| |||||||
Shares (000) | ||||||||
SHORT-TERM INVESTMENTS — 3.5% |
| |||||||
INVESTMENT COMPANIES — 3.5% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.03%(j)(k) (Cost $21,334) | 21,334 | 21,334 | ||||||
|
| |||||||
Total Investments — 98.8% (Cost $625,501) |
| 612,851 | ||||||
Other Assets Less Liabilities — 1.2% |
| 7,294 | ||||||
|
| |||||||
Net Assets — 100.0% |
| 620,145 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Abbreviations | ||
ICE | Intercontinental Exchange | |
LIBOR | London Interbank Offered Rate | |
SCA | Limited partnership with share capital | |
USD | United States Dollar | |
(a) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2020. | |
(c) | All or a portion of this security is unsettled as of November 30, 2020. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(d) | Defaulted security. | |
(e) | Amount rounds to less than one thousand. | |
(f) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(g) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(h) | Amount rounds to less than 0.1% of net assets. | |
(i) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2020. | |
(j) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(k) | The rate shown is the current yield as of November 30, 2020. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2020.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
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Collateralized Mortgage Obligations | $ | — | $ | — | $ | — | (a) | $ | — | (a) | ||||||
Common Stocks |
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Aerospace & Defense | — | — | — | (b) | — | (b) | ||||||||||
Food & Staples Retailing | — | — | 167 | 167 | ||||||||||||
Media | 777 | — | — | 777 | ||||||||||||
Multiline Retail | — | — | 1,389 | 1,389 | ||||||||||||
Oil, Gas & Consumable Fuels | 4,229 | — | — | 4,229 | ||||||||||||
Specialty Retail | — | — | 1,017 | 1,017 | ||||||||||||
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Total Common Stocks | 5,006 | — | 2,573 | 7,579 | ||||||||||||
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Convertible Preferred Stocks | — | — | 4,319 | 4,319 | ||||||||||||
Corporate Bonds |
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Auto Components | — | 2,907 | — | 2,907 | ||||||||||||
Chemicals | — | 2,301 | — | 2,301 | ||||||||||||
Commercial Services & Supplies | — | 1,917 | — | 1,917 | ||||||||||||
Consumer Finance | — | 4,689 | — | 4,689 | ||||||||||||
Containers & Packaging | — | 849 | — | 849 | ||||||||||||
Diversified Telecommunication Services | — | 8,310 | — | 8,310 | ||||||||||||
Electric Utilities | — | — | 38 | 38 | ||||||||||||
Electrical Equipment | — | 2,530 | — | 2,530 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 1,433 | — | 1,433 | ||||||||||||
Entertainment | — | 1,211 | — | 1,211 | ||||||||||||
Health Care Providers & Services | — | 8,447 | — | 8,447 | ||||||||||||
Health Care Technology | — | 732 | — | 732 | ||||||||||||
Hotels, Restaurants & Leisure | — | 1,263 | — | 1,263 | ||||||||||||
Household Durables | — | 1,077 | — | 1,077 | ||||||||||||
Household Products | — | 2,040 | — | 2,040 | ||||||||||||
Machinery | — | 2,072 | — | 2,072 | ||||||||||||
Media | — | 1,725 | — | 1,725 | ||||||||||||
Multiline Retail | — | — | 1,544 | 1,544 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 4,880 | — | 4,880 | ||||||||||||
Pharmaceuticals | — | 1,031 | — | 1,031 | ||||||||||||
Specialty Retail | — | 2,519 | — | 2,519 | ||||||||||||
Wireless Telecommunication Services | — | 1,210 | — | 1,210 | ||||||||||||
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Total Corporate Bonds | — | 53,143 | 1,582 | 54,725 | ||||||||||||
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Loan Assignments |
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Aerospace & Defense | — | 9,043 | — | 9,043 | ||||||||||||
Air Freight & Logistics | — | 1,333 | — | 1,333 | ||||||||||||
Airlines | — | 3,977 | — | 3,977 | ||||||||||||
Auto Components | — | 9,171 | — | 9,171 | ||||||||||||
Automobiles | — | 3,890 | — | 3,890 | ||||||||||||
Building Products | — | 3,309 | — | 3,309 | ||||||||||||
Chemicals | — | 20,060 | — | 20,060 | ||||||||||||
Commercial Services & Supplies | — | 6,327 | — | 6,327 | ||||||||||||
Communications Equipment | — | 11,835 | — | 11,835 | ||||||||||||
Construction & Engineering | — | 6,373 | — | 6,373 | ||||||||||||
Construction Materials | — | 2,529 | — | 2,529 | ||||||||||||
Containers & Packaging | — | 20,852 | — | 20,852 | ||||||||||||
Diversified Consumer Services | — | 12,203 | — | 12,203 | ||||||||||||
Diversified Financial Services | — | 9,363 | — | 9,363 | ||||||||||||
Diversified Telecommunication Services | — | 35,943 | — | 35,943 | ||||||||||||
Electric Utilities | — | 13,507 | — | 13,507 | ||||||||||||
Electrical Equipment | — | 9,905 | — | 9,905 | ||||||||||||
Entertainment | — | 3,838 | — | 3,838 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | — | 6,193 | — | 6,193 | ||||||||||||
Food & Staples Retailing | — | 6,056 | 1,670 | 7,726 | ||||||||||||
Food Products | — | 23,075 | — | 23,075 | ||||||||||||
Health Care Equipment & Supplies | — | 3,096 | — | 3,096 | ||||||||||||
Health Care Providers & Services | — | 37,636 | — | 37,636 | ||||||||||||
Hotels, Restaurants & Leisure | — | 26,194 | — | 26,194 | ||||||||||||
Household Products | — | 6,096 | — | 6,096 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 3,808 | — | 3,808 | ||||||||||||
Insurance | — | 11,178 | — | 11,178 | ||||||||||||
Interactive Media & Services | — | 2,381 | — | 2,381 | ||||||||||||
IT Services | — | 11,230 | — | 11,230 | ||||||||||||
Leisure Products | — | 9,229 | 2,585 | 11,814 | ||||||||||||
Life Sciences Tools & Services | — | 3,888 | — | 3,888 | ||||||||||||
Machinery | — | 11,408 | — | 11,408 | ||||||||||||
Media | — | 56,761 | — | 56,761 | ||||||||||||
Metals & Mining | — | 2,217 | — | 2,217 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 14,571 | 678 | 15,249 | ||||||||||||
Paper & Forest Products | — | 3,213 | — | 3,213 | ||||||||||||
Pharmaceuticals | — | 22,439 | — | 22,439 | ||||||||||||
Professional Services | — | 3,148 | — | 3,148 | ||||||||||||
Real Estate Management & Development | — | 3,695 | — | 3,695 | ||||||||||||
Road & Rail | — | 8,789 | — | 8,789 | ||||||||||||
Software | — | 35,982 | — | 35,982 | ||||||||||||
Specialty Retail | — | 13,519 | — | 13,519 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 6,629 | — | 6,629 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 1,566 | — | 1,566 | ||||||||||||
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Total Loan Assignments | — | 517,455 | 4,933 | 522,388 | ||||||||||||
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Rights | — | — | 1,376 | 1,376 | ||||||||||||
Warrants | — | — | 1,130 | 1,130 | ||||||||||||
Short-Term Investments |
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Investment Companies | 21,334 | — | — | 21,334 | ||||||||||||
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Total Investments in Securities | $ | 26,340 | $ | 570,598 | $ | 15,913 | $ | 612,851 | ||||||||
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(a) | Value is zero. |
(b) | Amount rounds to less than one thousand. |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
Balance as of February 29, 2020 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as November 30, 2020 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | — | $ | (470 | ) | $ | — | $ | 470 | $ | — | $ | — | $ | — | $ | — | (a) | ||||||||||||||||
Common Stocks - Aerospace & Defense | 293 | — | (293 | ) | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks - Food & Staples Retailing | — | — | 49 | — | 118 | — | — | — | 167 | |||||||||||||||||||||||||||
Common Stocks - Multiline Retail | — | — | 614 | — | 775 | — | — | — | 1,389 | |||||||||||||||||||||||||||
Common Stocks - Oil, Gas & Consumable Fuels | 106 | — | 364 | — | — | (470 | ) | — | — | — | ||||||||||||||||||||||||||
Common Stocks - Specialty Retail | 2,034 | — | (1,017 | ) | — | — | — | — | — | 1,017 | ||||||||||||||||||||||||||
Convertible Preferred Stocks - Specialty Retail | — | 537 | 591 | — | 3,880 | (689 | ) | — | — | 4,319 | ||||||||||||||||||||||||||
Corporate Bonds - Electric Utilities | 38 | — | — | — | — | — | — | — | 38 | |||||||||||||||||||||||||||
Corporate Bonds - Multiline Retail | — | — | 74 | — | 1,470 | — | — | — | 1,544 | |||||||||||||||||||||||||||
Corporate Bonds - Wireless Telecommunication Services | — | (a) | 14 | — | (b) | — | — | (14 | ) | — | — | — | ||||||||||||||||||||||||
Loan Assignments - Food & Staples Retailing | — | — | 139 | 22 | 1,509 | — | — | — | 1,670 | |||||||||||||||||||||||||||
Loan Assignments - Leisure Products | 5,154 | — | (2,585 | ) | — | 16 | — | — | — | (b) | 2,585 | |||||||||||||||||||||||||
Loan Assignments - Oil, Gas & Consumable Fuels | — | — | — | — | 678 | — | — | — | 678 | |||||||||||||||||||||||||||
Preferred Stocks - Specialty Retail | 3,880 | — | — | — | — | (3,880 | ) | — | — | — | ||||||||||||||||||||||||||
Rights - Independent Power and Renewable Electricity Producers | 1,337 | — | 39 | — | — | — | — | — | 1,376 | |||||||||||||||||||||||||||
Warrants - Diversified Telecommunication Services | — | — | 91 | — | — | — | — | — | 91 | |||||||||||||||||||||||||||
Warrants - Wireless Telecommunication Services | 1,939 | — | (900 | ) | — | — | — | — | — | 1,039 | ||||||||||||||||||||||||||
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Total | $ | 14,781 | $ | 551 | $ | (3,304 | ) | $ | 22 | $ | 8,916 | $ | (5,053 | ) | $ | — | $ | — | (a) | $ | 15,913 | |||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Value is Zero. |
(b) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2020, which were valued using significant unobservable inputs (level 3), amounted to approximately $(3,669,000).
There were no significant transfers into or out of level 3 for the period ended November 30, 2020.
Quantitative Information about Level 3 Fair Value Measurements # | ||||||||||
(Amounts in thousands) | ||||||||||
Fair Value at November 30, 2020 | Techniques(s) | Unobserveable Input | Range (Weight Average) (a) | |||||||
$ | 5,211 | Term of Restructing | Expected Recovery | 50.00%-100.00% (75.20%) | ||||||
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Loan Assignments | 5,211 | |||||||||
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167 | Market Comparable Companies | EBITDA Multiple | 6.0x (6.0x) | |||||||
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Common Stock | 167 | |||||||||
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91 | Market Comparable Companies | EBITDA Multiple | 4.8x (4.8x) | |||||||
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Warrants | 91 | |||||||||
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Total | $ | 5,469 | ||||||||
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# | The table above does not include certain level 3 securities that are valued by brokers and pricing services. At November 30, 2020, the value of these securities was approximately $10,444,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.
For the period ended November 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at February 29, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at November 30, 2020 | Shares at November 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares(a) | $ | 851 | $ | 761 | $ | 1,612 | $ | — | $ | — | $ | — | — | $ | — | (b) | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.03%(a)(c) | 72,982 | 314,278 | 365,926 | — | — | 21,334 | 21,334 | 34 | — | |||||||||||||||||||||||||||
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Total | $ | 73,833 | $ | 315,039 | $ | 367,538 | $ | — | $ | — | $ | 21,334 | $ | 34 | $ | — | ||||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | Amount rounds to less than one thousand. |
(c) | The rate shown is the current yield as of November 30, 2020. |