JPMorgan Floating Rate Income Fund
Schedule of Portfolio Investments as of May 31, 2024
(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., 2024. |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — 84.3% (a) (b) | ||
Aerospace & Defense — 1.6% | ||
Bleriot US Bidco Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.57%, 10/30/2028 (c) | 1,180 | 1,189 |
Spirit Aerosystems, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.58%, 1/15/2027 | 783 | 787 |
TransDigm, Inc., 1st Lien Term Loan I (3-MONTH CME TERM SOFR + 2.75%), 8.06%, 8/24/2028 | 1,864 | 1,872 |
Vertex Aerospace Services Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 12/6/2028 | 1,633 | 1,637 |
5,485 | ||
Automobile Components — 2.5% | ||
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031 (c) | 2,213 | 2,229 |
Clarios Global LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 5/6/2030 | 1,497 | 1,505 |
DexKo Global, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.32%, 10/4/2028 | 1,285 | 1,281 |
Holley, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 11/17/2028 | 1,833 | 1,826 |
Truck Hero, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 1/31/2028 | 817 | 815 |
Wheel Pros, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 8.88%), 14.46%, 5/11/2028 | 250 | 265 |
Wheel Pros, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.50%), 10.09%, 5/11/2028 | 831 | 494 |
8,415 | ||
Beverages — 1.0% | ||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 3/31/2028 | 2,329 | 2,324 |
Tropicana, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 8.66%, 1/24/2029 | 985 | 936 |
3,260 | ||
Building Products — 3.6% | ||
AZZ, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.57%, 5/13/2029 (c) | 1,916 | 1,928 |
Cabinetworks, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.81%, 5/17/2028 | 661 | 559 |
Chamberlain Group LLC (The), 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 11/3/2028 | 1,576 | 1,576 |
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 5/31/2030 | 2,061 | 2,073 |
Griffon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.95%, 1/24/2029 | 992 | 994 |
MIWD Holdco II LLC, 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 3.75%), 8.83%, 3/28/2031 | 1,905 | 1,918 |
Quikrete Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.58%, 3/19/2029 (c) | 1,831 | 1,837 |
Summit Materials, LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.80%, 1/12/2029 | 1,050 | 1,057 |
11,942 | ||
Capital Markets — 0.3% | ||
Duff & Phelps Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.06%, 4/9/2027 | 974 | 973 |
Chemicals — 1.9% | ||
DuPont Performance, 1st Lien Term Loan B-6 (3-MONTH CME TERM SOFR + 2.00%), 7.33%, 12/20/2029 | 918 | 922 |
INEOS Enterprises, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 9.20%, 7/8/2030 | 1,111 | 1,114 |
Ineos US Finance LLC, 1st Lien Term Loan B (Luxembourg) (1-MONTH CME TERM SOFR + 3.50%), 8.93%, 2/18/2030 | 2,089 | 2,095 |
PQ Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.93%, 6/9/2028 | 1,145 | 1,145 |
W. R. Grace, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.32%, 9/22/2028 | 1,005 | 1,007 |
6,283 | ||
Commercial Services & Supplies — 5.8% | ||
Allied Universal Holdco LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.17%, 5/12/2028 (c) | 1,854 | 1,853 |
API Group DE, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 12/18/2028 | 947 | 950 |
BIFM CA Buyer Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.58%, 5/31/2028 | 830 | 834 |
Conservice Midco LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.33%, 5/13/2027 | 1,895 | 1,901 |
Ensemble RCM, LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.33%, 8/1/2029 | 1,064 | 1,069 |
Garda World Security Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 9.58%, 2/1/2029 | 1,536 | 1,549 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Commercial Services & Supplies — continued | ||
Harsco Corp., Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 7.69%, 3/10/2028 | 1,428 | 1,427 |
Intrado Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.81%, 1/31/2030 | 992 | 991 |
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/21/2028 | 2,533 | 2,536 |
Nielsen Holdings plc, Term Loan B-3 (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 3/6/2028 | 995 | 974 |
Prime Security Services Borrower LLC, 1st Lien Term Loan B-1 | ||
(3-MONTH CME TERM SOFR + 2.25%), 7.58%, 10/13/2030 | 1,750 | 1,756 |
(3-MONTH CME TERM SOFR + 2.25%), 7.81%, 10/13/2030 | 1,591 | 1,597 |
VT Topco, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.83%, 8/9/2030 | 2,000 | 2,007 |
19,444 | ||
Communications Equipment — 0.9% | ||
Ciena Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 7.32%, 10/24/2030 | 1,037 | 1,041 |
CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 4/6/2026 | 2,305 | 2,060 |
3,101 | ||
Construction & Engineering — 1.6% | ||
Osmose Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/23/2028 | 2,437 | 2,425 |
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/21/2028 | 1,888 | 1,894 |
Zekelman Industries, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.57%, 1/24/2031 (c) | 1,000 | 1,001 |
5,320 | ||
Consumer Staples Distribution & Retail — 1.8% | ||
Moran Foods LLC, 1st Lien Super Senior Delayed Term Loan (3-MONTH SOFR + 11.50%), 16.91%, 6/30/2026 ‡ | 613 | 613 |
Moran Foods LLC, 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (d) | 3,551 | 2,915 |
(3-MONTH CME TERM SOFR + 2.00%), 12.66%, 6/30/2026 ‡ (d) | 2,906 | 1,739 |
Utz Quality Foods LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/20/2028 | 635 | 638 |
5,905 | ||
Containers & Packaging — 2.3% | ||
BWAY Intermediate Co., Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.81%, 4/15/2027 | 1,581 | 1,586 |
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 8/4/2027 | 1,374 | 1,379 |
LABL, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.43%, 10/29/2028 | 1,522 | 1,508 |
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 9/24/2028 | 602 | 602 |
Ring Container Technologies LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 8/12/2028 | 1,065 | 1,072 |
Tekni-Plex, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 9.57%, 9/15/2028 | 1,569 | 1,571 |
7,718 | ||
Diversified Consumer Services — 1.5% | ||
Caliber Collision, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 1/30/2031 | 1,300 | 1,309 |
LegalShield, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 12/15/2028 (c) | 1,692 | 1,690 |
Mister Car Wash Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.33%, 3/27/2031 | 880 | 884 |
St. George's University Scholastic Services LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.43%, 2/10/2029 | 1,001 | 1,001 |
4,884 | ||
Diversified Telecommunication Services — 0.7% | ||
Cincinnati Bell, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 11/22/2028 | 1,098 | 1,095 |
Lumen Technologies, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.35%), 7.79%, 4/15/2029 | 540 | 373 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Diversified Telecommunication Services — continued | ||
Lumen Technologies, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.35%), 7.79%, 4/15/2030 | 553 | 372 |
Numericable U.S. LLC, 1st Lien Term Loan B-14 (France) (3-MONTH CME TERM SOFR + 5.50%), 10.83%, 8/15/2028 | 629 | 472 |
2,312 | ||
Electric Utilities — 0.9% | ||
Astoria Energy LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 12/10/2027 | 740 | 742 |
Carroll County Energy LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.90%, 2/13/2026 | 976 | 973 |
Exelon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 8.11%, 12/15/2027 | 1,366 | 1,368 |
3,083 | ||
Electronic Equipment, Instruments & Components — 1.1% | ||
Coherent Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 7/2/2029 | 1,445 | 1,450 |
Ingram Micro, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 8.57%, 6/30/2028 | 1,136 | 1,142 |
Mirion Technologies, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 2.75%, 10/20/2028 | 1,005 | 1,007 |
3,599 | ||
Entertainment — 1.8% | ||
Banijay Entertainment, 1st Lien Term Loan B (France) (1-MONTH CME TERM SOFR + 3.25%), 8.57%, 3/1/2028 | 834 | 836 |
Delta 2 (Lux) SARL, 1st Lien Term Loan B (Luxembourg) (3-MONTH CME TERM SOFR + 2.25%), 7.56%, 1/15/2030 (c) | 2,500 | 2,513 |
Live Nation Entertainment, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 7.17%, 10/19/2026 | 927 | 924 |
WMG Acquisition Corp., 1st Lien Term Loan I (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 1/24/2031 (c) | 1,847 | 1,851 |
6,124 | ||
Financial Services — 3.0% | ||
Creative Planning LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.32%, 5/17/2031 | 1,520 | 1,520 |
GTCR W Merger Sub LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.31%, 1/31/2031 (c) | 1,855 | 1,860 |
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.18%, 3/27/2029 (c) | 1,665 | 1,679 |
NorthRiver Midstream, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.80%, 8/16/2030 | 2,014 | 2,018 |
Nuvei Technologies Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 8.43%, 12/19/2030 (c) | 1,008 | 1,011 |
Trans Union LLC, 1st Lien Term Loan B-7 (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 12/1/2028 | 1,841 | 1,847 |
9,935 | ||
Food Products — 0.1% | ||
B&G Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 10/10/2026 | 506 | 506 |
Ground Transportation — 1.9% | ||
First Student Bidco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.56%, 7/21/2028 | 485 | 485 |
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 3.00%), 8.56%, 7/21/2028 | 252 | 252 |
First Student Bidco, Inc., Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.40%, 7/21/2028 | 1,633 | 1,636 |
Genesee & Wyoming, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.30%, 4/10/2031 (c) | 2,027 | 2,031 |
Hertz Corp. (The), 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.86%, 6/30/2028 | 1,662 | 1,526 |
Hertz Corp. (The), 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 3.25%), 8.86%, 6/30/2028 | 322 | 296 |
6,226 | ||
Health Care Equipment & Supplies — 2.8% | ||
Avantor Funding, Inc., 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 2.00%), 7.43%, 11/8/2027 | 646 | 649 |
Bausch & Lomb Corp., Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 5/10/2027 | 1,300 | 1,286 |
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 5/4/2028 | 4,152 | 4,166 |
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 10/23/2028 (c) | 3,338 | 3,359 |
9,460 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Health Care Providers & Services — 4.1% | ||
AHP Health Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 8/24/2028 | 1,133 | 1,138 |
CVS Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.33%, 4/15/2031 | 1,333 | 1,339 |
DaVita, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.00%), 7.19%, 8/12/2026 | 496 | 496 |
Option Care Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.68%, 10/27/2028 (c) | 1,786 | 1,797 |
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 11/15/2028 | 1,849 | 1,859 |
Pathway Vet Alliance LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 3/31/2027 | 1,012 | 790 |
PCI Pharma Services, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 9.10%, 11/30/2027 | 1,657 | 1,662 |
Radiology Partners, Inc., 1st Lien PIK Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 10.59%, 1/31/2029 | 1,112 | 1,061 |
Surgery Center Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 12/19/2030 | 1,020 | 1,024 |
Syneos Health,Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.31%, 9/27/2030 | 1,725 | 1,725 |
U.S. Renal Care, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 6/20/2028 | 806 | 705 |
13,596 | ||
Hotels, Restaurants & Leisure — 4.0% | ||
Caesars Entertainment, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.10%, 2/6/2030 | 1,947 | 1,951 |
Caesars Entertainment, Inc., 1st Lien Term Loan B-1 (3-MONTH CME TERM SOFR + 2.75%), 8.10%, 2/6/2031 (c) | 1,350 | 1,352 |
Carnival Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 8/8/2027 (c) | 2,241 | 2,254 |
Cedar Fair LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.31%, 5/1/2031 (c) | 1,720 | 1,725 |
Red Rock Resorts, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.58%, 3/14/2031 | 1,500 | 1,503 |
Restaurant Brands International, Inc., 1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 2.25%), 7.58%, 9/20/2030 | 2,247 | 2,248 |
UFC Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 2.75%), 8.34%, 4/29/2026 | 593 | 594 |
Whataburger, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 8/3/2028 | 1,877 | 1,879 |
13,506 | ||
Household Durables — 0.9% | ||
KDC US Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.32%, 8/15/2028 | 2,053 | 2,061 |
Traeger Grills, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 6/29/2028 | 867 | 827 |
2,888 | ||
Independent Power and Renewable Electricity Producers — 0.5% | ||
Calpine Construction Finance Co. LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.58%, 7/31/2030 | 1,650 | 1,651 |
Insurance — 3.1% | ||
Alliant Holdings Intermediate LLC, 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 11/6/2030 (c) | 1,445 | 1,450 |
Asurion LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 7/31/2027 | 288 | 283 |
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 9.68%, 8/19/2028 | 2,818 | 2,794 |
Asurion LLC, 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 5.25%), 10.69%, 1/31/2028 | 1,510 | 1,417 |
Asurion LLC, Term Loan B-10 (1-MONTH CME TERM SOFR + 4.00%), 9.43%, 8/19/2028 | 685 | 677 |
Hub International Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.57%, 6/20/2030 | 2,221 | 2,235 |
USI, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 8.30%, 11/22/2029 | 1,023 | 1,025 |
USI, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.55%, 9/27/2030 | 499 | 500 |
10,381 | ||
Interactive Media & Services — 0.3% | ||
Getty Images, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.91%, 2/19/2026 | 1,180 | 1,179 |
IT Services — 1.7% | ||
Ahead DB Holdings LLC, 1st Lien Term Loan B | ||
(3-MONTH CME TERM SOFR + 3.75%), 9.16%, 2/1/2031 | 445 | 447 |
(3-MONTH CME TERM SOFR + 4.25%), 9.56%, 2/1/2031 | 580 | 582 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
IT Services — continued | ||
Ancestry.com, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 12/6/2027 | 836 | 804 |
MH Sub I LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.58%, 5/3/2028 | 1,670 | 1,672 |
Modena Buyer LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 4.00%, 4/18/2031 (c) | 1,180 | 1,155 |
Virtusa Corp., 1st Lien Term Loan B | ||
(1-MONTH CME TERM SOFR + 3.75%), 9.19%, 2/11/2028 | 909 | 912 |
(1-MONTH CME TERM SOFR + 3.75%), 9.18%, 2/15/2029 | 297 | 298 |
5,870 | ||
Leisure Products — 1.1% | ||
FGI Operating Co. LLC, 1st Lien Term Loan (3-MONTH SOFR + 11.00%), 12.00%, 12/31/2024 ‡ (e) | 3,807 | 356 |
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 12/15/2026 | 1,564 | 1,573 |
Recess Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.84%, 2/20/2030 | 840 | 844 |
Topgolf Callaway, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 3/15/2030 | 1,102 | 1,106 |
3,879 | ||
Life Sciences Tools & Services — 0.1% | ||
ICON, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 7.31%, 7/03/2028 | 294 | 295 |
Machinery — 3.2% | ||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%, 3-MONTH CME TERM SOFR + 3.50%), 8.90%, 10/8/2027 | 2,750 | 2,760 |
CPM Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.81%, 9/28/2028 | 911 | 911 |
Crosby US Acquisition Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.33%, 8/16/2029 | 843 | 850 |
Gates Global LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/31/2027 | 740 | 740 |
Gates Global LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 11/16/2029 | 246 | 247 |
Gemini HDPE LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.59%, 12/31/2027 | 1,431 | 1,435 |
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.93%, 4/5/2029 | 1,473 | 1,481 |
Sundyne, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.68%, 3/17/2027 | 1,704 | 1,716 |
Thyssenkrupp Elevator, 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 3.50%), 8.79%, 4/30/2030 | 507 | 510 |
10,650 | ||
Media — 4.3% | ||
Altice Financing SA, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 10.33%, 10/28/2027 | 1,009 | 876 |
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR + 2.00%), 7.30%, 12/7/2030 | 1,895 | 1,883 |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.44%, 8/21/2028 | 1,517 | 1,521 |
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.82%, 1/18/2028 | 1,385 | 1,330 |
DirectV Financing LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 8/2/2027 | 329 | 330 |
E.W. Scripps Co., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/7/2028 | 1,496 | 1,328 |
Gray Television, Inc., 1st Lien Term Loan D (1-MONTH CME TERM SOFR + 3.00%), 8.43%, 12/1/2028 | 917 | 835 |
Gray Television, Inc., 1st Lien Term Loan E (3-MONTH PRIME + 1.50%), 7.93%, 1/2/2026 | 530 | 527 |
iHeartCommunications, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 5/1/2026 | 1,907 | 1,499 |
iHeartCommunications, Inc., Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 5/1/2026 | 813 | 627 |
Shutterfly LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 6.00%), 11.35%, 10/1/2027 ‡ | 218 | 218 |
Shutterfly LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 1.00%), 6.30%, 10/1/2027 | 1,838 | 1,504 |
Summer (BC) Holdco B SARL, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 10.11%, 12/4/2026 | 477 | 478 |
Univision Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 3/15/2026 | 1,563 | 1,563 |
14,519 | ||
Oil, Gas & Consumable Fuels — 3.3% | ||
Buckeye Partners LP, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 11/1/2026 | 635 | 636 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Buckeye Partners, 1st Lien Term Loan B | ||
(3-MONTH CME TERM SOFR + 2.00%), 2.50%, 11/22/2030 | 1,099 | 1,101 |
(3-MONTH CME TERM SOFR + 2.00%), 2.50%, 11/22/2030 (c) | 500 | 501 |
EPIC Crude Services LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 10.61%, 3/2/2026 | 1,648 | 1,652 |
Medallion Midland Acquisition LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 8.83%, 10/18/2028 | 2,190 | 2,201 |
NGL Energy Operating LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.83%, 2/3/2031 | 1,470 | 1,480 |
Tallgrass Energy, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75%), 10.08%, 8/1/2029 (c) | 1,670 | 1,674 |
WhiteWater Whistler Holdings, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.05%, 2/15/2030 | 1,661 | 1,667 |
10,912 | ||
Passenger Airlines — 1.5% | ||
AAdvantage Loyality IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.34%, 4/20/2028 | 3,611 | 3,748 |
United Airlines, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.25%), 10.73%, 6/21/2027 | 1,213 | 1,240 |
4,988 | ||
Personal Care Products — 0.6% | ||
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 5/17/2028 | 2,012 | 1,997 |
Pharmaceuticals — 1.5% | ||
Bausch Health Cos., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 10.67%, 2/1/2027 (c) | 1,086 | 979 |
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.16%, 8/1/2027 | 1,751 | 1,749 |
Endo Finance Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.83%, 4/23/2031 (c) | 1,250 | 1,248 |
Jazz Pharmaceuticals plc, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 5/5/2028 | 968 | 975 |
4,951 | ||
Professional Services — 3.4% | ||
Brookfield WEC Holdings Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.08%, 1/27/2031 | 3,539 | 3,556 |
Creative Artists Agency LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.58%, 11/27/2028 | 1,365 | 1,373 |
Dun & Bradstreet Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 1/18/2029 | 1,928 | 1,933 |
Grant Thornton LLP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 3.75%, 6/2/2031 | 1,655 | 1,666 |
KBR, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.58%, 1/17/2031 | 1,744 | 1,753 |
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-8 (3-MONTH CME TERM SOFR + 2.00%), 7.32%, 5/9/2031 (c) | 1,250 | 1,255 |
11,536 | ||
Semiconductors & Semiconductor Equipment — 2.3% | ||
Brooks Automation, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.95%, 2/1/2029 | 2,175 | 2,178 |
Brooks Automation, 2nd Lien Term Loan (12-MONTH CME TERM SOFR + 5.60%), 10.40%, 2/1/2030 | 896 | 879 |
Entegris, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 1.75%), 7.06%, 7/6/2029 | 1,331 | 1,336 |
Synaptics, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.84%, 12/2/2028 | 1,505 | 1,504 |
Vertiv Group Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/2/2027 | 1,696 | 1,701 |
7,598 | ||
Software — 6.7% | ||
AthenaHealth, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.58%, 2/15/2029 | 1,640 | 1,635 |
Camelot U.S. Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031 | 2,362 | 2,362 |
CDK Global, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.58%, 7/6/2029 | 1,450 | 1,461 |
Citrix, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.93%, 3/21/2031 | 876 | 880 |
Consilio, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.44%, 5/12/2028 | 1,899 | 1,895 |
DigiCert, Inc., 1st Lien Term Loan | ||
(1-MONTH CME TERM SOFR + 4.00%), 9.33%, 10/16/2026 | 559 | 556 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Software — continued | ||
(1-MONTH CME TERM SOFR + 7.00%), 12.33%, 2/19/2029 | 620 | 558 |
Genesys Cloud Services Holdings, 1st Lien Term Loan B | ||
(1-MONTH CME TERM SOFR + 3.50%), 8.82%, 12/1/2027 | 2,433 | 2,449 |
(1-MONTH CME TERM SOFR + 3.75%), 9.19%, 12/1/2027 | 499 | 503 |
ION Corp., 1st Lien Term Loan B (3-MONTH SOFR + 3.75%), 9.08%, 7/18/2030 | 578 | 580 |
Netsmart Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 10/1/2027 | 1,490 | 1,495 |
Project Boost Purchaser LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 6/1/2026 | 1,616 | 1,621 |
Proofpoint, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 8/31/2028 | 1,104 | 1,107 |
Quest Software US Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.73%, 2/1/2029 | 703 | 522 |
RealPage, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 4/24/2028 | 964 | 951 |
Rocket Software, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75%), 10.08%, 11/28/2028 | 905 | 908 |
ThoughtWorks, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.94%, 3/24/2028 | 426 | 425 |
Ultimate Software Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 2/10/2031 | 2,451 | 2,468 |
22,376 | ||
Specialty Retail — 3.7% | ||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 10/19/2027 | 1,347 | 1,353 |
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.93%, 12/18/2026 (f) | 1,218 | 1,151 |
Leslie's Poolmart, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 3/9/2028 | 1,490 | 1,480 |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.82%, 3/3/2028 | 1,456 | 1,314 |
PetSmart LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.18%, 2/11/2028 | 1,494 | 1,487 |
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 12/28/2027 | 1,669 | 1,650 |
Serta Simmons Bedding LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 7.50%), 12.92%, 6/29/2028 | 637 | 545 |
SRS Distribution, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 6/2/2028 | 908 | 913 |
Staples, Inc., 1st Lien Term Loan (3-MONTH SOFR + 5.00%), 10.43%, 4/16/2026 | 962 | 953 |
Staples, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.75%), 6.25%, 9/4/2029 (c) | 1,500 | 1,428 |
12,274 | ||
Textiles, Apparel & Luxury Goods — 0.2% | ||
Birkenstock, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.84%, 4/28/2028 | 645 | 647 |
Wireless Telecommunication Services — 0.7% | ||
Iridium Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 9/20/2030 | 2,250 | 2,252 |
Total Loan Assignments (Cost $288,583) | 281,920 | |
Corporate Bonds — 5.0% | ||
Automobile Components — 0.5% | ||
American Axle & Manufacturing, Inc. | ||
6.25%, 3/15/2026 | 489 | 484 |
6.50%, 4/1/2027 | 1,000 | 994 |
1,478 | ||
Chemicals — 0.4% | ||
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (g) | 250 | 264 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 1,000 | 900 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (g) | 260 | 212 |
1,376 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Finance — 0.3% | ||
Ford Motor Credit Co. LLC 4.13%, 8/17/2027 | 1,000 | 948 |
Diversified Telecommunication Services — 0.9% | ||
CCO Holdings LLC 4.50%, 8/15/2030 (g) | 3,750 | 3,116 |
Health Care Providers & Services — 0.3% | ||
Tenet Healthcare Corp. 4.63%, 6/15/2028 | 1,000 | 950 |
IT Services — 0.2% | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (g) | 850 | 788 |
Media — 1.2% | ||
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 2,000 | 1,904 |
5.25%, 12/1/2026 (g) | 750 | 597 |
Sirius XM Radio, Inc. 5.00%, 8/1/2027 (g) | 1,500 | 1,425 |
3,926 | ||
Oil, Gas & Consumable Fuels — 0.7% | ||
Hess Midstream Operations LP 5.63%, 2/15/2026 (g) | 750 | 745 |
NuStar Logistics LP 5.63%, 4/28/2027 | 1,500 | 1,478 |
2,223 | ||
Specialty Retail — 0.5% | ||
Staples, Inc. 7.50%, 4/15/2026 (g) | 1,768 | 1,768 |
Total Corporate Bonds (Cost $16,992) | 16,573 | |
SHARES (000) | ||
Exchange-Traded Funds — 2.7% | ||
Fixed Income — 2.7% | ||
Invesco Senior Loan ETF (Cost $9,087) | 430 | 9,082 |
Convertible Preferred Stocks — 1.8% | ||
Specialty Retail — 1.8% | ||
Claire's Stores, Inc. ‡ * (Cost $755) | 3 | 6,074 |
Common Stocks — 1.2% | ||
Broadline Retail — 0.1% | ||
Moran Foods Backstop Equity ‡ * | 17,453 | 175 |
Diversified Telecommunication Services — 0.0% ^ | ||
Windstream Holdings, Inc. ‡ * | 6 | 89 |
Health Care Providers & Services — 0.3% | ||
Claire's Stores, Inc. ‡ * | 3 | 593 |
Endo, Inc. ‡ * | 7 | 191 |
Envision Healthcare Corp. ‡ * | 23 | 174 |
958 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Machinery — 0.0% ^ | ||
SSB Equipment Co., Inc. ‡ * | 31 | — |
Media — 0.1% | ||
Clear Channel Outdoor Holdings, Inc. * | 284 | 409 |
iHeartMedia, Inc., Class A * | 62 | 57 |
466 | ||
Pharmaceuticals — 0.0% ^ | ||
Endo, Inc. ‡ * (g) | 3 | 77 |
Specialty Retail — 0.7% | ||
NMG, Inc. ‡ * | 17 | 2,105 |
Serta Simmons Bedding LLC ‡ * | 31 | 236 |
2,341 | ||
Total Common Stocks (Cost $7,046) | 4,106 | |
NO. OF WARRANTS (000) | ||
Warrants — 0.0% ^ | ||
Entertainment — 0.0% ^ | ||
Cineworld Group plc expiring 12/23/2025, price 4,149.00 GBP (United Kingdom) * (Cost $—(h)) | 63 | — |
SHARES (000) | ||
Short-Term Investments — 12.5% | ||
Investment Companies — 12.5% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.17% (i) (j) (Cost $41,872) | 41,872 | 41,872 |
Total Investments — 107.5% (Cost $364,335) | 359,627 | |
Liabilities in Excess of Other Assets — (7.5)% | (25,106 ) | |
NET ASSETS — 100.0% | 334,521 |
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 |
ETF | Exchange Traded Fund |
GBP | British Pound |
PIK | Payment In Kind |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(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 May 31, 2024. | |
(c) | All or a portion of this security is unsettled as of May 31, 2024. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(d) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(e) | Defaulted security. | |
(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) | 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 May 31, 2024. |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (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 are calculated on a valuation date.
Investments in open-end investment companies, excluding exchange-traded funds (“ETFs”) (“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 May 31, 2024.
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.
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Broadline Retail | $— | $— | $175 | $175 |
Diversified Telecommunication Services | — | — | 89 | 89 |
Health Care Providers & Services | — | — | 958 | 958 |
Machinery | — | — | — (a) | — (a) |
Media | 466 | — | — | 466 |
Pharmaceuticals | — | — | 77 | 77 |
Specialty Retail | — | — | 2,341 | 2,341 |
Total Common Stocks | 466 | — | 3,640 | 4,106 |
Convertible Preferred Stocks | — | — | 6,074 | 6,074 |
Corporate Bonds | — | 16,573 | — | 16,573 |
Exchange-Traded Funds | 9,082 | — | — | 9,082 |
Loan Assignments | ||||
Aerospace & Defense | — | 5,485 | — | 5,485 |
Automobile Components | — | 8,415 | — | 8,415 |
Beverages | — | 3,260 | — | 3,260 |
Building Products | — | 11,942 | — | 11,942 |
Capital Markets | — | 973 | — | 973 |
Chemicals | — | 6,283 | — | 6,283 |
Commercial Services & Supplies | — | 19,444 | — | 19,444 |
Communications Equipment | — | 3,101 | — | 3,101 |
Construction & Engineering | — | 5,320 | — | 5,320 |
Consumer Staples Distribution & Retail | — | 638 | 5,267 | 5,905 |
Containers & Packaging | — | 7,718 | — | 7,718 |
Diversified Consumer Services | — | 4,884 | — | 4,884 |
Diversified Telecommunication Services | — | 2,312 | — | 2,312 |
Electric Utilities | — | 3,083 | — | 3,083 |
Electronic Equipment, Instruments & Components | — | 3,599 | — | 3,599 |
Entertainment | — | 6,124 | — | 6,124 |
Financial Services | — | 9,935 | — | 9,935 |
Food Products | — | 506 | — | 506 |
Ground Transportation | — | 6,226 | — | 6,226 |
Health Care Equipment & Supplies | — | 9,460 | — | 9,460 |
Health Care Providers & Services | — | 13,596 | — | 13,596 |
Hotels, Restaurants & Leisure | — | 13,506 | — | 13,506 |
Household Durables | — | 2,888 | — | 2,888 |
Independent Power and Renewable Electricity Producers | — | 1,651 | — | 1,651 |
Insurance | — | 10,381 | — | 10,381 |
Interactive Media & Services | — | 1,179 | — | 1,179 |
IT Services | — | 5,870 | — | 5,870 |
Leisure Products | — | 3,523 | 356 | 3,879 |
Life Sciences Tools & Services | — | 295 | — | 295 |
Machinery | — | 10,650 | — | 10,650 |
Media | — | 14,301 | 218 | 14,519 |
Oil, Gas & Consumable Fuels | — | 10,912 | — | 10,912 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Passenger Airlines | $— | $4,988 | $— | $4,988 |
Personal Care Products | — | 1,997 | — | 1,997 |
Pharmaceuticals | — | 4,951 | — | 4,951 |
Professional Services | — | 11,536 | — | 11,536 |
Semiconductors & Semiconductor Equipment | — | 7,598 | — | 7,598 |
Software | — | 22,376 | — | 22,376 |
Specialty Retail | — | 12,274 | — | 12,274 |
Textiles, Apparel & Luxury Goods | — | 647 | — | 647 |
Wireless Telecommunication Services | — | 2,252 | — | 2,252 |
Total Loan Assignments | — | 276,079 | 5,841 | 281,920 |
Warrants | — | — (a) | — | — (a) |
Short-Term Investments | ||||
Investment Companies | 41,872 | — | — | 41,872 |
Total Investments in Securities | $51,420 | $292,652 | $15,555 | $359,627 |
(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 29, 2024 | 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 May 31, 2024 | |
Investments in Securities: | |||||||||
Common Stocks | $3,131 | $— | $307 | $— | $202 | $— | $— | $— | $3,640 |
Convertible Preferred Stocks | 6,074 | — | — | — | — | — | — | — | 6,074 |
Loan Assignments | 5,849 | — | (142 ) | 97 | 103 | (66 ) | — | — | 5,841 |
Total | $15,054 | $— | $165 | $97 | $305 | $(66 ) | $— | $— | $15,555 |
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 May 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $165.
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 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 May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$4,654 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 20.65% - 38.74% (27.41%) | |
969 | Term of Restructuring | Expected Recovery | 9.35% - 100.00% (66.70%) | |
Loan Assignments | 5,623 |
JPMorgan Floating Rate Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Fair Value at May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
175 | Terms of Restructuring | Expected Recovery | $0.01 ($0.01) | |
Common Stocks | 175 | |||
Total | $5,798 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2024, the value of these investments was $9,757. 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 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 May 31, 2024 | |||||||||
Security Description | Value at February 29, 2024 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at May 31, 2024 | Shares at May 31, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.17% (a) (b) | $38,655 | $43,384 | $40,167 | $— | $— | $41,872 | 41,872 | $511 | $— |
(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 May 31, 2024. |