JPMorgan Floating Rate Income Fund
Schedule of Portfolio Investments as of November 30, 2022
(Unaudited)
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. |
JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. |
J.P. Morgan Distribution Services, Inc., member FINRA. |
© J.P. Morgan Chase & Co., 2022. |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — 73.9% (a) (b) | ||
Aerospace & Defense — 1.7% | ||
Spirit Aerosystems, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 4.50%), 5.00%, 1/15/2027 (c) | 795 | 785 |
TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 3 Month + 2.25%), 5.92%, 12/9/2025 | 1,799 | 1,770 |
Ultra Resources, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.06%, 8/3/2029 | 1,721 | 1,665 |
Vertex Aerospace Services Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/6/2028 | 2,008 | 1,970 |
6,190 | ||
Airlines — 0.6% | ||
United Airlines, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.25%), 8.78%, 6/21/2027 (c) | 1,140 | 1,171 |
WestJet Airlines Ltd., 1st Lien Term Loan (Canada) (ICE LIBOR USD 1 Month + 3.00%), 6.94%, 12/11/2026 | 1,393 | 1,247 |
2,418 | ||
Auto Components — 1.6% | ||
Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/10/2028 | 2,040 | 2,012 |
DexKo Global, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 7.68%, 10/4/2028 | 1,655 | 1,494 |
Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 1/31/2028 | 1,331 | 1,122 |
Wheel Pros, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.50%), 8.82%, 5/11/2028 | 1,910 | 1,259 |
5,887 | ||
Automobiles — 0.2% | ||
Holley, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.34%, 11/17/2028 | 967 | 844 |
Beverages — 0.8% | ||
Triton Water Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 3/31/2028 (c) | 1,604 | 1,476 |
Tropicana, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 6.90%, 1/24/2029 | 1,501 | 1,411 |
2,887 | ||
Building Products — 1.4% | ||
Advanced Drainage Systems, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 6.09%, 7/31/2026 | 1,193 | 1,195 |
Griffon Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.01%, 1/24/2029 | 2,076 | 2,036 |
Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 6/11/2028 | 2,003 | 1,970 |
5,201 | ||
Capital Markets — 0.3% | ||
Duff & Phelps Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.84%, 4/9/2027 | 1,356 | 1,279 |
Chemicals — 3.1% | ||
Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/31/2027 | 1,997 | 1,947 |
Gemini HDPE LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 7.41%, 12/31/2027 | 1,537 | 1,496 |
INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.23%, 8/28/2026 | 2,232 | 2,127 |
INEOS US Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 11/8/2028 (c) | 789 | 755 |
INEOS US Petrochem LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 1/29/2026 | 917 | 901 |
PQ Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 6.91%, 6/9/2028 | 1,718 | 1,685 |
Solenis International LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.44%, 11/9/2028 | 1,663 | 1,588 |
Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 6.07%, 9/6/2024 | 1,221 | 1,175 |
11,674 | ||
Commercial Services & Supplies — 2.7% | ||
Allied Universal Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 5/12/2028 | 1,906 | 1,800 |
API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 10/1/2026 | 1,591 | 1,573 |
Garda World Security Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 8.93%, 10/30/2026 | 1,540 | 1,476 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Commercial Services & Supplies — continued | ||
Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 6.82%, 6/21/2028 | 2,391 | 2,267 |
Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 6.50%, 9/23/2026 | 3,139 | 3,091 |
10,207 | ||
Communications Equipment — 1.0% | ||
CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/6/2026 | 3,694 | 3,545 |
Construction & Engineering — 1.4% | ||
Osmose Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.27%, 6/23/2028 (c) | 2,117 | 1,992 |
Pike Corp., Delayed Draw Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.08%, 1/21/2028 (c) | 1,638 | 1,604 |
Pike Corporation, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.59%, 1/21/2028 | 810 | 799 |
Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 5.60%, 1/24/2027 | 792 | 772 |
5,167 | ||
Containers & Packaging — 2.5% | ||
Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.02%, 4/3/2024 (c) | 1,882 | 1,824 |
Graham Packaging Co., Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 8/4/2027 (c) | 1,535 | 1,498 |
LABL, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 10/29/2028 | 1,545 | 1,466 |
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.25%, 9/24/2028 | 611 | 601 |
Reynolds Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/5/2026 | 1,272 | 1,252 |
Ring Container Technologies LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.25%, 8/12/2028 | 1,583 | 1,557 |
Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 7.67%, 9/15/2028 | 1,003 | 961 |
Tekni-Plex, Inc., Delayed Draw Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 7.82%, 9/15/2028 | 285 | 273 |
9,432 | ||
Diversified Consumer Services — 1.4% | ||
Conservice Midco LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 5/13/2027 | 1,366 | 1,320 |
Ensemble RCM LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 7.94%, 8/3/2026 | 1,134 | 1,099 |
Interior Logic Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 4/3/2028 | 2,224 | 1,406 |
St. George's University Scholastic Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/10/2029 | 1,518 | 1,473 |
5,298 | ||
Diversified Financial Services — 0.6% | ||
Sabre Holdings Corp., 1st Lien Term Loan B | ||
(ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/17/2027 (c) | 472 | 435 |
(ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/17/2027 | 626 | 576 |
Trans Union LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 12/1/2028 | 1,385 | 1,360 |
2,371 | ||
Diversified Telecommunication Services — 1.8% | ||
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 3/15/2027 | 1,310 | 1,240 |
Cincinnati Bell, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 7.08%, 11/22/2028 | 1,616 | 1,583 |
Intelsat Jackson Holdings SA, 1st Lien Term Loan (6-MONTH SOFR + 4.25%), 7.44%, 2/1/2029 (c) | 2,400 | 2,315 |
Numericable US LLC, 1st Lien Term Loan B (France) (ICE LIBOR USD 3 Month + 3.69%), 7.77%, 1/31/2026 | 1,637 | 1,566 |
6,704 | ||
Electric Utilities — 1.3% | ||
Astoria Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/10/2027 | 1,285 | 1,264 |
Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 2/16/2026 | 1,031 | 973 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Electric Utilities — continued | ||
Exelon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 7.24%, 12/15/2027 | 1,499 | 1,484 |
PG&E Corp., Exit Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.13%, 6/23/2025 | 1,257 | 1,236 |
4,957 | ||
Electrical Equipment — 1.4% | ||
AZZ Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%; 3-MONTH CME TERM SOFR + 4.25%), 7.08%, 5/13/2029 | 1,569 | 1,562 |
Brookfield WEC Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 8/1/2025 (c) | 1,689 | 1,656 |
Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.55%, 3/2/2027 (c) | 2,223 | 2,165 |
5,383 | ||
Electronic Equipment, Instruments & Components — 0.9% | ||
Ingram Micro, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 6/30/2028 | 1,537 | 1,513 |
Mirion Technologies, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 5.63%, 10/20/2028 | 1,785 | 1,749 |
3,262 | ||
Energy Equipment & Services — 0.4% | ||
Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 10/18/2028 | 1,409 | 1,392 |
Entertainment — 1.8% | ||
Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.59%, 3/1/2025 | 1,699 | 1,685 |
Delta 2 (Lux) SARL, 1st Lien Term Loan B (3-MONTH SOFR + 3.25%), 3.75%, 1/15/2030 (c) | 2,000 | 1,989 |
NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.58%, 5/8/2025 | 1,383 | 1,314 |
WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 6.20%, 1/20/2028 | 1,847 | 1,816 |
6,804 | ||
Food & Staples Retailing — 1.9% | ||
Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 | 235 | 189 |
Moran Foods LLC, 1st Lien Term Loan B | ||
(ICE LIBOR USD 3 Month + 7.00%), 10.67%, 4/1/2024 ‡ | 1,804 | 1,449 |
Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 10.75%), 14.42%, 10/1/2024 | 4,062 | 2,356 |
United Natural Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 7.45%, 10/22/2025 | 1,341 | 1,333 |
Utz Quality Foods LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 7.20%, 1/20/2028 | 1,791 | 1,775 |
7,102 | ||
Food Products — 0.9% | ||
B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 10/10/2026 | 2,170 | 2,039 |
Shearer's Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 9/23/2027 | 1,578 | 1,498 |
3,537 | ||
Health Care Equipment & Supplies — 2.0% | ||
Chamberlain Group LLC (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.25%, 11/3/2028 (c) | 1,600 | 1,496 |
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 7.00%, 5/4/2028 | 3,176 | 3,119 |
Medline, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 10/23/2028 | 3,085 | 2,926 |
7,541 | ||
Health Care Providers & Services — 5.2% | ||
CVS Holdings, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 8/31/2026 | 1,302 | 1,104 |
Envision Healthcare Corp., 1st Lien Term Loan | ||
(1-MONTH CME TERM SOFR + 3.75%), 7.49%, 3/31/2027 | 2,768 | 618 |
(1-MONTH CME TERM SOFR + 4.25%), 7.99%, 3/31/2027 | 1,130 | 339 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Health Care Providers & Services — continued | ||
ICON Luxembourg SARL, 1st Lien Term Loan B, (Luxembourg) | ||
(ICE LIBOR USD 3 Month + 2.25%), 5.94%, 7/3/2028 (c) | 928 | 923 |
(ICE LIBOR USD 3 Month + 2.25%), 5.94%, 7/3/2028 | 406 | 403 |
LifePoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.16%, 11/16/2025 (c) | 1,407 | 1,304 |
Option Care Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 10/27/2028 (c) | 1,509 | 1,499 |
PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.00%, 11/15/2028 | 3,711 | 3,564 |
Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 3/31/2027 (c) | 1,028 | 901 |
PCI Pharma Services, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 11/30/2027 | 1,530 | 1,472 |
Pearl Intermediate Parent LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 2/14/2025 | 321 | 296 |
Pearl Intermediate Parent LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 2/14/2025 (c) | 829 | 766 |
PetVet Care Centers LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/14/2025 | 740 | 683 |
Radiology Partners, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 8.28%, 7/9/2025 | 1,750 | 1,505 |
Team Health Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.25%), 9.34%, 3/2/2027 | 1,921 | 1,325 |
U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.13%, 6/26/2026 | 1,765 | 981 |
WIRB-Copernicus Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%; ICE LIBOR USD 3 Month + 4.00%), 7.82%, 1/8/2027 | 1,998 | 1,873 |
19,556 | ||
Hotels, Restaurants & Leisure — 2.5% | ||
Caesars Resort Collection LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 12/23/2024 | 3,586 | 3,559 |
Flutter Entertainment plc, 1st Lien Term Loan B (Ireland) (3-MONTH CME TERM SOFR + 3.25%), 6.78%, 7/22/2028 | 1,230 | 1,220 |
IRB Holding Corp., 1st Lien Term Loan B | ||
(ICE LIBOR USD 1 Month + 2.75%), 6.82%, 2/5/2025 (c) | 406 | 398 |
(1-MONTH CME TERM SOFR + 3.00%), 6.89%, 12/15/2027 (c) | 1,292 | 1,241 |
UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 7.11%, 4/29/2026 | 1,405 | 1,379 |
Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 8/3/2028 (c) | 1,728 | 1,642 |
9,439 | ||
Household Durables — 0.7% | ||
Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 7.32%, 5/17/2028 | 1,424 | 1,030 |
MI Windows & Doors, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.69%, 12/18/2027 | 714 | 703 |
Traeger Grills, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 6/29/2028 | 1,213 | 971 |
Traeger Grills, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 6/29/2028 (c) | 40 | 32 |
2,736 | ||
Independent Power and Renewable Electricity Producers — 0.7% | ||
Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 6.07%, 1/15/2025 | 1,801 | 1,785 |
Invenergy LLC, Term Loan (1-MONTH CME TERM SOFR + 3.75%), 7.95%, 8/28/2025 | 996 | 982 |
2,767 | ||
Insurance — 2.0% | ||
Asurion LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 7/31/2027 | 1,350 | 1,167 |
Asurion LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 5.25%), 9.32%, 1/31/2028 | 1,510 | 1,161 |
Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 11/3/2024 | 801 | 767 |
Asurion, LLC, Term Loan B-10 (1-MONTH CME TERM SOFR + 4.00%), 7.65%, 8/19/2028 | 696 | 609 |
HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 7.33%, 4/25/2025 | 1,995 | 1,956 |
USI, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 3.75%), 6.42%, 5/16/2024 | 1,791 | 1,786 |
7,446 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Internet & Direct Marketing Retail — 1.0% | ||
Getty Images, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 8.63%, 2/19/2026 | 1,347 | 1,336 |
GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 10/10/2025 (c) | 1,373 | 1,331 |
Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 9/25/2026 | 2,017 | 1,231 |
3,898 | ||
IT Services — 1.3% | ||
Ancestry.com, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 12/6/2027 | 1,647 | 1,494 |
MH Sub I LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 9/13/2024 (c) | 1,692 | 1,644 |
Virtusa Corp., 1st Lien Term Loan B | ||
(ICE LIBOR USD 1 Month + 3.75%), 7.82%, 2/11/2028 | 620 | 601 |
(1-MONTH CME TERM SOFR + 3.75%), 7.94%, 2/15/2029 | 984 | 953 |
4,692 | ||
Leisure Products — 0.4% | ||
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2023 ‡ (d) | 3,898 | 425 |
Hercules Achievement, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/16/2024 | 1,027 | 984 |
1,409 | ||
Life Sciences Tools & Services — 0.8% | ||
Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 8.16%, 8/30/2026 (c) | 2,162 | 1,788 |
Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 11/8/2027 (c) | 1,249 | 1,238 |
3,026 | ||
Machinery — 2.5% | ||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.41%, 10/8/2027 | 3,593 | 3,504 |
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 8.69%, 4/5/2029 | 1,675 | 1,566 |
Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 3/17/2027 (c) | 1,730 | 1,626 |
Thyssenkrupp Elevator, 1st Lien Term Loan B-1 (ICE LIBOR USD 6 Month + 3.50%), 6.87%, 7/30/2027 | 1,544 | 1,479 |
Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 5.88%, 3/28/2025 | 1,180 | 1,107 |
9,282 | ||
Media — 5.4% | ||
Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 6.83%, 7/15/2025 | 1,922 | 1,882 |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%), 7.91%, 8/21/2026 (c) | 3,847 | 3,512 |
CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 6.12%, 7/17/2025 | 1,209 | 1,156 |
CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.12%, 1/15/2026 | 1,545 | 1,470 |
Diamond Sports Group LLC, 2nd Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.14%, 8/24/2026 | 1,739 | 275 |
DIRECTV Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 8/2/2027 | 1,808 | 1,729 |
E.W. Scripps Co. (The), 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 1/7/2028 | 1,597 | 1,549 |
Gray Television, Inc., 1st Lien Term Loan B | ||
(ICE LIBOR USD 1 Month + 2.50%), 6.27%, 2/7/2024 | 303 | 302 |
(ICE LIBOR USD 1 Month + 2.50%), 6.27%, 1/2/2026 | 1,048 | 1,017 |
Gray Television, Inc., 1st Lien Term Loan D (ICE LIBOR USD 1 Month + 3.00%), 6.77%, 12/1/2028 | 938 | 912 |
iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 5/1/2026 (c) | 1,907 | 1,784 |
iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 5/1/2026 | 813 | 761 |
Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 11/8/2024 | 932 | 922 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Media — continued | ||
Summer (BC) Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 8.17%, 12/4/2026 (c) | 1,272 | 1,168 |
Univision Communications, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 3/15/2026 (c) | 1,693 | 1,661 |
20,100 | ||
Oil, Gas & Consumable Fuels — 0.3% | ||
Grizzly Acquisitions, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.99%, 10/1/2025 | 1,174 | 1,160 |
Personal Products — 1.5% | ||
Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 5/17/2028 | 1,940 | 1,627 |
Nestle Skin Health SA, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 10/1/2026 | 4,064 | 3,855 |
5,482 | ||
Pharmaceuticals — 0.9% | ||
Bausch Health Companies, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 9.15%, 2/1/2027 (c) | 1,782 | 1,322 |
Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (1-MONTH PRIME + 6.00%), 13.00%, 3/27/2028 | 628 | 498 |
Jazz Pharmaceuticals plc, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 5/5/2028 | 1,485 | 1,473 |
3,293 | ||
Professional Services — 1.2% | ||
LegalShield, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 12/15/2028 | 1,237 | 1,191 |
Nielsen Holdings plc, Term Loan B-3 (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 3/6/2028 | 1,514 | 1,323 |
Star Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.29%, 2/6/2026 | 2,100 | 2,070 |
4,584 | ||
Road & Rail — 2.4% | ||
First Student Bidco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 6.64%, 7/21/2028 | 3,010 | 2,824 |
First Student Bidco, Inc., 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.00%), 6.64%, 7/21/2028 | 1,249 | 1,172 |
Genesee & Wyoming, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 5.67%, 12/30/2026 | 1,632 | 1,615 |
Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.01%, 6/30/2028 | 2,928 | 2,854 |
Hertz Corp. (The), 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 3.25%), 7.01%, 6/30/2028 | 559 | 545 |
9,010 | ||
Semiconductors & Semiconductor Equipment — 2.0% | ||
Brooks Automation, 1st Lien Term Loan B (1 Month SOFR + 3.10%; 6 Month SOFR + 3.10%), 5.26%, 2/1/2029 | 3,756 | 3,540 |
Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 7.35%, 2/1/2030 | 746 | 623 |
Entegris, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00; 3-MONTH SOFR + 3.00%), 5.89%, 7/6/2029 | 855 | 847 |
Synaptics, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 4.36%, 12/2/2028 | 2,580 | 2,529 |
7,539 | ||
Software — 5.4% | ||
Camelot Finance LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 10/30/2026 | 1,959 | 1,926 |
DigiCert, Inc., 1st Lien Term Loan | ||
(ICE LIBOR USD 1 Month + 4.00%), 8.70%, 10/16/2026 (c) | 821 | 788 |
(ICE LIBOR USD 6 Month + 7.00%), 11.70%, 2/19/2029 | 620 | 561 |
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 7.86%, 12/1/2027 (c) | 2,220 | 2,152 |
Hyland Software, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 7/1/2024 | 1,832 | 1,803 |
ION Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 7.45%, 3/11/2028 | 1,417 | 1,374 |
LogMeIn, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.75%), 8.77%, 8/31/2027 | 1,400 | 895 |
Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 7.75%, 10/1/2027 | 2,015 | 1,933 |
Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 6/1/2026 | 1,641 | 1,584 |
Proofpoint, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.32%, 8/31/2028 (c) | 1,373 | 1,319 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Software — continued | ||
RealPage, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 4/24/2028 (c) | 1,706 | 1,631 |
ThoughtWorks, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/24/2028 | 1,997 | 1,977 |
Ultimate Software Group, Inc. (The), 1st Lien Term Loan | ||
(ICE LIBOR USD 3 Month + 3.25%), 7.00%, 5/4/2026 | 801 | 773 |
(ICE LIBOR USD 1 Month + 3.75%), 7.82%, 5/4/2026 | 1,558 | 1,516 |
20,232 | ||
Specialty Retail — 4.6% | ||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.84%, 10/19/2027 (c) | 1,368 | 1,316 |
Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 10.57%, 12/18/2026 (e) | 2,643 | 2,353 |
Consilio, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 8.07%, 5/12/2028 | 1,927 | 1,832 |
Leslie's Poolmart, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/9/2028 | 2,066 | 2,021 |
Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.92%, 3/3/2028 | 3,052 | 2,954 |
PrimeSource, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.99%, 12/28/2027 | 2,044 | 1,771 |
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 8.57%, 12/22/2025 | 3,376 | 2,293 |
Serta Simmons Bedding LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 7.50%), 10.79%, 8/10/2023 | 1,015 | 467 |
SRS Distribution, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.69%, 6/2/2028 | 1,423 | 1,359 |
Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 7.78%, 4/16/2026 | 977 | 870 |
17,236 | ||
Technology Hardware, Storage & Peripherals — 1.0% | ||
KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 12/22/2025 | 2,043 | 1,966 |
Quest Software US Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 8.49%, 2/1/2029 | 2,090 | 1,580 |
3,546 | ||
Textiles, Apparel & Luxury Goods — 0.4% | ||
Birkenstock, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 7.66%, 4/28/2028 (c) | 1,553 | 1,491 |
Total Loan Assignments (Cost $300,353) | 277,006 | |
Corporate Bonds — 6.8% | ||
Auto Components — 0.5% | ||
American Axle & Manufacturing, Inc. | ||
6.25%, 3/15/2026 | 895 | 848 |
6.50%, 4/1/2027 | 1,000 | 940 |
1,788 | ||
Chemicals — 0.3% | ||
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (f) | 1,500 | 1,202 |
Consumer Finance — 0.7% | ||
Ford Motor Credit Co. LLC 4.13%, 8/17/2027 | 3,000 | 2,737 |
Diversified Telecommunication Services — 0.5% | ||
CCO Holdings LLC | ||
5.13%, 5/1/2027 (f) | 1,000 | 947 |
5.00%, 2/1/2028 (f) | 1,075 | 988 |
1,935 | ||
Electrical Equipment — 0.2% | ||
Sensata Technologies BV 4.00%, 4/15/2029 (f) | 1,000 | 870 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Health Care Providers & Services — 0.6% | ||
Tenet Healthcare Corp. | ||
5.13%, 11/1/2027 (f) | 1,500 | 1,412 |
4.63%, 6/15/2028 (f) | 1,000 | 895 |
2,307 | ||
Hotels, Restaurants & Leisure — 0.3% | ||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (f) | 1,268 | 1,233 |
Household Durables — 0.2% | ||
Newell Brands, Inc. 4.45%, 4/1/2026 (g) | 1,000 | 943 |
IT Services — 0.2% | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (f) | 850 | 694 |
Media — 1.2% | ||
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 2,000 | 1,901 |
5.25%, 12/1/2026 (f) | 750 | 644 |
Sirius XM Radio, Inc. 5.00%, 8/1/2027 (f) | 2,000 | 1,866 |
4,411 | ||
Oil, Gas & Consumable Fuels — 0.8% | ||
Antero Midstream Partners LP 7.88%, 5/15/2026 (f) | 1,000 | 1,020 |
NuStar Logistics LP 5.63%, 4/28/2027 | 2,000 | 1,881 |
2,901 | ||
Software — 0.3% | ||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (f) | 1,000 | 956 |
Specialty Retail — 1.0% | ||
PetSmart, Inc. 4.75%, 2/15/2028 (f) | 1,250 | 1,142 |
Staples, Inc. 7.50%, 4/15/2026 (f) | 2,768 | 2,469 |
3,611 | ||
Total Corporate Bonds (Cost $28,078) | 25,588 | |
SHARES (000) | ||
Convertible Preferred Stocks — 1.6% | ||
Specialty Retail — 1.6% | ||
Claire's Stores, Inc. ‡ *(Cost $755) | 3 | 5,888 |
Common Stocks — 1.5% | ||
Food & Staples Retailing — 0.1% | ||
Moran Foods Backstop Equity ‡ * | 167 | 417 |
Media — 0.3% | ||
Clear Channel Outdoor Holdings, Inc. * | 369 | 417 |
iHeartMedia, Inc., Class A * | 62 | 498 |
915 | ||
Professional Services — 0.8% | ||
NMG, Inc. ‡ * | 17 | 2,989 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Specialty Retail — 0.3% | ||
Claire's Stores, Inc. ‡ * | 3 | 1,102 |
Total Common Stocks (Cost $6,516) | 5,423 | |
NO. OF WARRANTS (000) | ||
Warrants — 0.0% ^ | ||
Diversified Telecommunication Services — 0.0% ^ | ||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ * | 6 | 92 |
Entertainment — 0.0% ^ | ||
Cineworld Group expiring 12/31/2049, price 4,149.00 GBP (United Kingdom) * | 63 | — |
Total Warrants (Cost $—) (h) | 92 | |
SHARES (000) | ||
Short-Term Investments — 4.4% | ||
Investment Companies — 4.4% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.50% (i) (j) (Cost $16,490) | 16,490 | 16,490 |
Total Investments — 88.2% (Cost $352,192) | 330,487 | |
Other Assets Less Liabilities — 11.8% | 44,427 | |
NET ASSETS — 100.0% | 374,914 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
CME | Chicago Mercantile Exchange |
GBP | British Pound |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(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, 2022. | |
(c) | All or a portion of this security is unsettled as of November 30, 2022. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(d) | Defaulted security. | |
(e) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(f) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(g) | 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, 2022. | |
(h) | Value is zero. | |
(i) | 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. | |
(j) | The rate shown is the current yield as of November 30, 2022. |
Centrally Cleared Credit default swap contracts outstanding — sell protection(**) as of November 30, 2022 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.38-V2 | 5.00 | Quarterly | 6/20/2027 | 4.39 | USD 5,000 | 152 | 59 | 211 |
(**) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of Investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
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 using prices supplied 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 is calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values ("NAV") per share as of the report date.
Swaps are valued utilizing market quotations from approved Pricing Services.
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, 2022.
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).
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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 ("SOI"):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Food & Staples Retailing | $— | $— | $417 | $417 |
Media | 915 | — | — | 915 |
Professional Services | — | — | 2,989 | 2,989 |
Specialty Retail | — | — | 1,102 | 1,102 |
Total Common Stocks | 915 | — | 4,508 | 5,423 |
Convertible Preferred Stocks | — | — | 5,888 | 5,888 |
Corporate Bonds | — | 25,588 | — | 25,588 |
Loan Assignments | ||||
Aerospace & Defense | — | 6,190 | — | 6,190 |
Airlines | — | 2,418 | — | 2,418 |
Auto Components | — | 5,887 | — | 5,887 |
Automobiles | — | 844 | — | 844 |
Beverages | — | 2,887 | — | 2,887 |
Building Products | — | 5,201 | — | 5,201 |
Capital Markets | — | 1,279 | — | 1,279 |
Chemicals | — | 11,674 | — | 11,674 |
Commercial Services & Supplies | — | 10,207 | — | 10,207 |
Communications Equipment | — | 3,545 | — | 3,545 |
Construction & Engineering | — | 5,167 | — | 5,167 |
Containers & Packaging | — | 9,432 | — | 9,432 |
Diversified Consumer Services | — | 5,298 | — | 5,298 |
Diversified Financial Services | — | 2,371 | — | 2,371 |
Diversified Telecommunication Services | — | 6,704 | — | 6,704 |
Electric Utilities | — | 4,957 | — | 4,957 |
Electrical Equipment | — | 5,383 | — | 5,383 |
Electronic Equipment, Instruments & Components | — | 3,262 | — | 3,262 |
Energy Equipment & Services | — | 1,392 | — | 1,392 |
Entertainment | — | 6,804 | — | 6,804 |
Food & Staples Retailing | — | 5,653 | 1,449 | 7,102 |
Food Products | — | 3,537 | — | 3,537 |
Health Care Equipment & Supplies | — | 7,541 | — | 7,541 |
Health Care Providers & Services | — | 19,556 | — | 19,556 |
Hotels, Restaurants & Leisure | — | 9,439 | — | 9,439 |
Household Durables | — | 2,736 | — | 2,736 |
Independent Power and Renewable Electricity Producers | — | 2,767 | — | 2,767 |
Insurance | — | 7,446 | — | 7,446 |
Internet & Direct Marketing Retail | — | 3,898 | — | 3,898 |
IT Services | — | 4,692 | — | 4,692 |
Leisure Products | — | 984 | 425 | 1,409 |
Life Sciences Tools & Services | — | 3,026 | — | 3,026 |
Machinery | — | 9,282 | — | 9,282 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Media | $— | $20,100 | $— | $20,100 |
Oil, Gas & Consumable Fuels | — | 1,160 | — | 1,160 |
Personal Products | — | 5,482 | — | 5,482 |
Pharmaceuticals | — | 3,293 | — | 3,293 |
Professional Services | — | 4,584 | — | 4,584 |
Road & Rail | — | 9,010 | — | 9,010 |
Semiconductors & Semiconductor Equipment | — | 7,539 | — | 7,539 |
Software | — | 20,232 | — | 20,232 |
Specialty Retail | — | 17,236 | — | 17,236 |
Technology Hardware, Storage & Peripherals | — | 3,546 | — | 3,546 |
Textiles, Apparel & Luxury Goods | — | 1,491 | — | 1,491 |
Total Loan Assignments | — | 275,132 | 1,874 | 277,006 |
Warrants | ||||
Diversified Telecommunication Services | — | — | 92 | 92 |
Entertainment | — | —(a) | — | —(a) |
Total Warrants | — | — | 92 | 92 |
Short-Term Investments | ||||
Investment Companies | 16,490 | — | — | 16,490 |
Total Investments in Securities | $17,405 | $300,720 | $12,362 | $330,487 |
Appreciation in Other Financial Instruments | ||||
Swaps | $— | $59 | $— | $59 |
(a) | 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:
Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of November 30, 2022 | |
Investments in Securities: | |||||||||
Common Stocks | $1,540 | $— | $189 | $— | $— | $— | $2,779 | $— | $4,508 |
Convertible Preferred Stocks | 5,876 | — | 12 | — | — | — | — | — | 5,888 |
Corporate Bonds | 113 | — | (113) | — | — | — | — | — | — |
Loan Assignments | 2,223 | (40) | (231) | 28 | 33 | (139) | — | — | 1,874 |
Warrants | 76 | — | 16 | — | — | — | — | — | 92 |
Total | $9,828 | $(40) | $(127) | $28 | $33 | $(139) | $2,779 | $— | $12,362 |
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. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at august 31, 2022, which were valued using significant unobservable inputs (level 3) amounted to ($13).
Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the period ended November 30, 2022.
The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. 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
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at November 30, 2022 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$425 | Term of Restructuring | Expected Recovery | 10.90% (10.90%) | |
Loan Assignments | 425 | |||
Total | $425 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2022, the value of these investments was $11,937. The inputs for these investments 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. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended November 30, 2022 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at November 30, 2022 | Shares at November 30, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.50% (a) (b) | $101,881 | $229,927 | $315,318 | $— | $— | $16,490 | 16,490 | $205 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of November 30, 2022. |
C. Derivatives — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
(1). Swaps — The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund's outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund's custodian bank.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.