NPORT-EX 2 HG_FRI.htm HTML

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited)

 

Investments

    Principal
Amount
($000)		      Value
($000)		  
LOAN ASSIGNMENTS — 85.5%(a)

 

Aerospace & Defense — 1.6%

 

Bombardier Recreational Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 12/30/2027(b)

      2,453        2,267  

MacDonald Dettwiler and Associates Ltd., Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.93%, 10/4/2024(b)

      3,095        2,957  

TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 1 Month + 2.25%), 2.42%, 12/9/2025(b)

      7,576        6,921  
     

 

 

  
        12,145  
     

 

 

  

Air Freight & Logistics — 0.3%

 

XPO Logistics, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 2/24/2025(b)

      2,098        2,039  
     

 

 

  

Airlines — 0.7%

 

American Airlines, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.18%, 12/15/2023(b)

      3,455        2,591  

WestJet Airlines Ltd., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.00%, 12/11/2026(b)

      3,651        2,657  
     

 

 

  
        5,248  
     

 

 

  

Auto Components — 1.4%

 

Adient US LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.20%, 5/6/2024(b)

      3,276        3,092  

Tenneco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 10/1/2025(b)

      4,978        3,989  

USI, Inc., Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 5/16/2024(b)

      3,346        3,209  
     

 

 

  
        10,290  
     

 

 

  

Automobiles — 0.9%

 

Scientific Games International, Inc., 1st Lien Term Loan B-5 (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 2 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 3.48%, 8/14/2024(b)

      7,271        6,493  
     

 

 

  

Building Products — 0.6%

 

Advanced Drainage Systems, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.63%, 7/31/2026(b)

      1,798        1,755  

Summit Materials LLC, Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 11/21/2024(b)

      2,849        2,726  
     

 

 

  
        4,481  
     

 

 

  

Chemicals — 3.6%

 

Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 3.20%, 6/1/2024(b)

      4,576        4,463  

Gates Global LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 4/1/2024(b)

      5,238        5,009  

INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 8/28/2026(b)(c)

      3,091        2,935  

Momentive Performance, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.43%, 5/15/2024(b)

      5,494        5,151  

Pelican Products, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 5/1/2025(b)

      3,418        3,025  

Pelican Products, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 7.75%), 8.75%, 5/1/2026(b)

      2,205        1,728  

Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 9/6/2024(b)(c)

      1,936        1,840  

Tronox Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 3 Month + 2.75%), 3.45%, 9/23/2024(b)

      2,758        2,640  
     

 

 

  
        26,791  
     

 

 

  

Commercial Services & Supplies — 1.0%

 

Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 9/23/2026(b)

      7,402        7,205  
     

 

 

  

Communications Equipment — 2.1%

 

API Group Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.67%, 10/1/2026(b)(c)

      4,266        4,094  

Avaya, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.43%, 12/15/2024(b)

      3,697        3,434  

CommScope, Inc., 1st Lien Term Loan B-2 (ICE LIBOR USD 1 Month + 3.25%), 3.42%, 4/6/2026(b)

      6,802        6,522  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

Plantronics, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%; ICE LIBOR USD 3 Month + 2.50%), 2.79%, 7/2/2025(b)

      1,790        1,425  
     

 

 

  
        15,475  
     

 

 

  

Construction & Engineering — 1.2%

 

Pike Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 7/24/2026(b)

      5,758        5,634  

Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.42%, 1/24/2027(b)

      3,350        3,242  
     

 

 

  
        8,876  
     

 

 

  

Containers & Packaging — 2.8%

 

Berry Global, Inc., 1st Lien Term Loan W (ICE LIBOR USD 1 Month + 2.00%), 2.22%, 10/1/2022(b)

      677        667  

Berry Global, Inc., 1st Lien Term Loan X (ICE LIBOR USD 1 Month + 2.00%), 2.22%, 1/19/2024(b)

      1,688        1,653  

Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.56%, 4/3/2024(b)

      6,620        6,019  

Consolidated Container, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 5/22/2024(b)

      4,011        3,867  

Reynolds Group Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.92%, 2/5/2023(b)

      4,507        4,362  

Ring Container Technologies LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.92%, 10/31/2024(b)

      1,760        1,661  

Viskase Cos., Inc., Initial Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.70%, 1/30/2021(b)

      3,898        3,147  
     

 

 

  
        21,376  
     

 

 

  

Diversified Consumer Services — 1.9%

 

Allied Universal Holdco LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 4.42%, 7/10/2026(b)

      3,388        3,284  

Conservice LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 4.59%, 12/31/2100(b)(c)

      2,525        2,437  

Diamond Sports Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.42%,
8/24/2026(b)

      4,968        4,254  

St. George’s University Scholastic Services LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.25%, 7/17/2025(b)

      4,616        4,385  
     

 

 

  
        14,360  
     

 

 

  

Diversified Financial Services — 0.6%

 

CVS Holdings I LP, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 4.25%), 3.23%, 8/31/2026(b)

      502        451  

Duff & Phelps Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 4/9/2027(b)

      3,150        3,084  

Quidditch Acquisition, Inc., 1st Lien Cov-Lite Term Loan (ICE LIBOR USD 3 Month + 7.00%), 8.45%, 3/21/2025(b)

      1,588        1,321  
     

 

 

  
        4,856  
     

 

 

  

Diversified Telecommunication Services — 7.3%

 

Centurylink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.42%, 3/15/2027(b)

      14,800        14,182  

Cincinnati Bell, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 10/2/2024(b)

      6,545        6,482  

Dawn Acquisition LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 5.20%, 12/31/2025(b)

      3,179        2,914  

Getty Images, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 4.69%, 2/19/2026(b)

      3,986        3,515  

Hargray Communications Group, Inc., Senior Secured Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 5/16/2024(b)

      6,973        6,632  

Intelsat Jackson Holdings, 1st Lien Term Loan (Luxembourg) (1-MONTH PRIME + 2.75%), 6.00%, 11/27/2023(b)

      18,500        18,584  

Windstream Corp., 1st Lien Term Loan B (1-MONTH PRIME + 5.00%), 8.25%, 3/29/2021(b)

      6,318        3,657  
     

 

 

  
        55,966  
     

 

 

  

Electric Utilities — 2.0%

 

Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 1/15/2025(b)

      4,159        4,044  

Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.95%,
2/16/2026(b)

      3,648        3,456  

Edgewater Generation LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.92%,
12/13/2025(b)

      2,527        2,367  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

Frontera Generation Holdings LLC, 1st Lien Senior Secured Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.39%, 5/2/2025(b)

      3,045        1,864  

Lightstone Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 1/30/2024(b)

      3,860        3,135  

Lightstone Holdco LLC, 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 1/30/2024(b)

      218        177  
     

 

 

  
        15,043  
     

 

 

  

Electrical Equipment — 1.4%

 

Brookfield WEC Holdings Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.40%,
8/1/2025(b)

      7,101        6,930  

Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.33%, 3/2/2027(b)

      3,485        3,337  
     

 

 

  
        10,267  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.7%

 

II-VI, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.67%, 9/24/2026(b)

      2,461        2,367  

VeriFone Systems, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 4.38%, 8/20/2025(b)

      3,248        2,627  
     

 

 

  
        4,994  
     

 

 

  

Entertainment — 1.0%

 

AMC Entertainment Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.08%, 4/22/2026(b)

      3,432        2,613  

Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 4.00%, 3/4/2025(b)(c)

      4,400        4,180  

NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 5/8/2025(b)

      1,399        1,035  
     

 

 

  
        7,828  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.1%

 

ESH Hospitality, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 9/18/2026(b)

      29        28  

GGP, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.67%, 8/27/2025(b)

      6,131        4,636  

VICI Properties 1 LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.92%, 12/22/2024(b)

      3,445        3,281  
     

 

 

  
        7,945  
     

 

 

  

Food & Staples Retailing — 1.2%

 

BJ’s Wholesale Club, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.44%, 2/3/2024(b)

      2,140        2,097  

Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.43%, 4/1/2024‡(b)

      1,611        1,611  

Moran Foods LLC, 1st Lien Term Loan B2 (ICE LIBOR USD 3 Month + 10.75%), 11.75%, 4/1/2025‡(b)

      3,272        2,563  

United Natural Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.42%,
10/22/2025(b)

      3,081        2,889  
     

 

 

  
        9,160  
     

 

 

  

Food Products — 3.6%

 

Atkins Nutritionals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 7/7/2024(b)

      2,427        2,384  

B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.67%, 10/10/2026(b)

      1,946        1,918  

Dole Food Co., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%, 4/6/2024(b)

      11,280        11,014  

Hearthside Group Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.69%), 3.86%, 5/23/2025(b)

      2,573        2,462  

Hostess Brands LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%; ICE LIBOR USD 2 Month + 2.25%; ICE LIBOR USD 3 Month + 2.25%), 3.01%, 8/3/2025(b)

      4,176        4,047  

JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.00%), 3.07%, 5/1/2026(b)

      5,281        5,094  
     

 

 

  
        26,919  
     

 

 

  

Health Care Providers & Services — 5.5%

 

CHG Healthcare Services, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.07%, 6/7/2023(b)

      4,900        4,781  

CVS Holdings I LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 4.61%, 7/31/2026(b)

      2,862        2,570  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

Envision Healthcare Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 3.92%,
10/10/2025(b)

      5,893        3,833  

Lifepoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.92%, 11/16/2025(b)

      3,829        3,659  

MultiPlan, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 4.20%, 6/7/2023(b)

      6,934        6,647  

Pearl Intermediate Parent LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.92%, 2/14/2025(b)

      5,488        5,131  

Petvet Care Centers LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 3.42%, 2/14/2025(b)

      759        706  

Tennessee Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.75%,
2/6/2024(b)

      5,877        4,263  

Tivity Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 5.42%, 3/6/2026(b)

      2,457        2,164  

U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 5.19%, 6/26/2026(b)

      2,873        2,732  

WIRB Copernicus Group, Inc., 1st Lien term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.24%, 1/8/2027(b)

      5,715        5,551  
     

 

 

  
        42,037  
     

 

 

  

Hotels, Restaurants & Leisure — 5.6%

 

1011778 BC ULC, 1st Lien Term Loan B (Canada) (ICE LIBOR USD 1 Month + 1.75%), 1.92%, 11/19/2026(b)

      9,787        9,383  

CEOC LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.17%, 10/7/2024(b)

      4,272        4,146  

Club Corp Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 4.20%, 9/18/2024(b)

      3,175        2,768  

Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 4.45%, 12/1/2023(b)

      9,511        7,018  

Golden Nugget, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 2.50%; ICE LIBOR USD 3 Month + 2.50%), 3.46%, 10/4/2023(b)(c)

      4,191        3,590  

Hanjin International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 2.67%,
10/19/2020(b)

      2,837        2,440  

IRB Holding Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/2025(b)

      6,683        6,278  

Stars Group Holdings BV, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.95%,
7/10/2025(b)(c)

      1,900        1,873  

UFC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.25%, 4/29/2026(b)

      3,961        3,791  

Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.01%, 7/31/2026(b)

      1,403        1,345  
     

 

 

  
        42,632  
     

 

 

  

Household Products — 1.2%

 

Clover Merger Sub, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 3.67%, 9/26/2024(b)

      5,059        4,819  

Kik Custom Products, 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 4.00%), 5.00%, 5/15/2023(b)

      4,275        4,076  
     

 

 

  
        8,895  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.7%

 

ExGen Renewables IV LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.00%), 3.37%,
11/28/2024(b)

      2,737        2,655  

Invenergy LLC, Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 8/28/2025(b)

      2,371        2,341  
     

 

 

  
        4,996  
     

 

 

  

Insurance — 1.8%

 

Asurion LLC, 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 6.50%), 6.67%, 8/4/2025(b)

      2,444        2,430  

Asurion LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 11/3/2023(b)

      1,746        1,699  

Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 11/3/2024(b)

      5,850        5,677  

HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 2.75%), 4.02%, 4/25/2025(b)

      3,879        3,730  
     

 

 

  
        13,536  
     

 

 

  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

IT Services — 1.8%

 

Dun & Bradstreet Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.17%, 2/6/2026(b)

      3,186        3,097  

Exela Intermediate LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.50%), 8.38%,
7/12/2023(b)

      5,522        1,270  

Go Daddy Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.92%,
2/15/2024(b)(c)

      2,714        2,654  

Rackspace Hosting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 4.00%, 11/3/2023(b)

      2,410        2,342  

Zayo Group LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 3/9/2027(b)

      4,165        4,001  
     

 

 

  
        13,364  
     

 

 

  

Leisure Products — 1.6%

 

Bombardier Recreational Products, Inc., 1st Lien Term Loan B2 (ICE LIBOR USD 3 Month + 5.00%), 6.00%, 12/30/2023(b)

      890        883  

Delta 2 SARL, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 3.50%, 2/1/2024(b)

      2,466        2,322  

FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 10.00%), 12.00%, 5/16/2022‡(b)

      5,157        5,157  

FGI Operating Co. LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 4.25%, 12/31/2100(b)(d)

      21,042        —   (e) 

Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 4.67%, 12/22/2025(b)

      3,422        2,559  

Steinway Musical Instruments, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 4.75%, 2/14/2025(b)

      1,042        964  
     

 

 

  
        11,885  
     

 

 

  

Life Sciences Tools & Services — 0.5%

 

Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 2 Month + 3.25%; ICE LIBOR USD 3 Month + 3.25%), 4.25%, 8/30/2024(b)

      3,823        3,706  
     

 

 

  

Machinery — 1.1%

 

Hillman Group, Inc., Initial Term Loan (ICE LIBOR USD 3 Month + 4.00%), 5.07%, 5/30/2025(b)

      3,623        3,371  

Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 3/17/2027(b)

      2,925        2,615  

Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 4.45%, 3/28/2025(b)

      2,974        2,685  
     

 

 

  
        8,671  
     

 

 

  

Media — 10.8%

 

Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.93%, 7/15/2025(b)

      5,249        4,956  

Altice Financing SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 2.92%, 1/31/2026(b)

      1,048        988  

CBS Radio, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.67%, 11/18/2024(b)

      2,870        2,590  

Cineworld Finance US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 3.32%, 2/28/2025(b)

      1,652        1,216  

Clear Channel Outdoor Holdings Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%), 4.26%, 8/21/2026(b)

      12,338        11,449  

CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 2.43%, 7/17/2025(b)

      6,772        6,505  

CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.43%, 1/15/2026(b)

      9,121        8,769  

Cumulus Media New Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 4.82%, 3/31/2026(b)

      4,696        4,004  

GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 2.92%, 10/10/2025(b)

      3,664        3,553  

Gray Television, Inc., 1st Lien Term Loan B

      

(ICE LIBOR USD 1 Month + 2.25%), 2.58%, 2/7/2024(b)

      1,120        1,084  

(ICE LIBOR USD 1 Month + 2.50%), 2.83%, 1/2/2026(b)

      3,363        3,274  

Hoya Midco LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 4.57%, 6/30/2024(b)

      4,843        3,834  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		     Value
($000)		  

iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 5/1/2026(b)

      7,586       7,073  

Meredith Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 3.26%, 1/31/2025(b)

      4,032       3,886  

Midcontinent Communications., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 2.74%, 8/15/2026(b)

      1,937       1,888  

Mission Broadcasting, Inc., 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 2.25%), 2.62%, 1/17/2024(b)

      349       336  

Nexstar Broadcasting Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.42%, 1/17/2024(b)

      1,358       1,306  

Nexstar Broadcasting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 3.12%, 9/18/2026(b)

      5,584       5,371  

Numericable US LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.69%), 3.87%,
1/31/2026(b)

      6,221       5,935  

Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.67%, 11/8/2024(b)

      1,731       1,644  

Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.00%), 7.45%, 9/25/2026(b)

      2,400       2,115  
    

 

 

  
       81,776  
    

 

 

  

Multiline Retail — 0.2%

 

Neiman Marcus Group Ltd. 0.00%, 12/30/2023‡(c)(f)

      537       540  

Neiman Marcus Group Ltd. LLC, 1st Lien DIP Term Loan (ICE LIBOR USD 3 Month + 1.12%), 5.70%, 5/11/2050‡(b)(c)

      151       151  

Neiman Marcus Group Ltd. LLC, Term Loan

     

(ICE LIBOR USD 1 Month + 6.00%), 10.25%, 10/25/2023(b)(c)

      2,543       593  

(ICE LIBOR USD 1 Month + 6.50%), 10.75%, 10/25/2023(b)

      2,365       473  
    

 

 

  
       1,757  
    

 

 

  

Oil, Gas & Consumable Fuels — 3.1%

 

Buckeye Partners LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 3.12%, 11/1/2026(b)

      2,398       2,326  

California Resources Corp., Senior Secured First Out (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 12/31/2022(b)

      2,977       756  

CITGO Holding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 7.00%), 8.00%,
8/1/2023(b)(c)

      2,053       1,856  

Grizzly Acquisitions Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 4.68%, 10/1/2025(b)

      2,688       2,463  

Gulf Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%; ICE LIBOR USD 3 Month + 5.25%), 6.42%, 8/25/2023(b)

      5,486       3,146  

Kestrel Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.25%, 6/2/2025(b)

      3,507       2,942  

Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 4.25%, 10/30/2024(b)

      2,878       2,407  

Moda Midstream LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.65%,
9/29/2025(b)

      2,454       2,272  

Oryx Midstream Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 4.17%, 5/22/2026(b)

      3,722       3,145  

Prairie ECI Acquiror LP, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.75%), 6.20%,
3/11/2026(b)

      2,375       2,138  

Ultra Resources, Inc., Term Loan (ICE LIBOR USD 3 Month + 4.00%), 5.45%, 4/12/2024(b)(c)

      —   (e)      —   (e) 
    

 

 

  
       23,451  
    

 

 

  

Pharmaceuticals — 4.1%

 

Concordia Healthcare Corp., Initial Dollar Term Loan (Canada) (ICE LIBOR USD 3 Month + 5.50%), 6.57%, 9/6/2024(b)(c)

      13,656       12,094  

Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 5.00%, 4/29/2024(b)

      2,061       1,923  

Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 6/2/2025(b)

      17,544       17,175  
    

 

 

  
       31,192  
    

 

 

  

Real Estate Management & Development — 0.8%

 

CityCenter Holdings LLC, Term B Loan (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/18/2024(b)

      6,262       5,858  
    

 

 

  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

Road & Rail — 1.1%

 

Genesee & Wyoming, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 3.45%, 12/30/2026(b)

      3,624        3,542  

Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.51%, 6/30/2023(b)

      6,097        4,653  
     

 

 

  
        8,195  
     

 

 

  

Software — 3.0%

 

Ascend Learning LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 7/12/2024(b)

      3,069        2,936  

Barracuda Networks, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.52%, 2/12/2025(b)

      2,433        2,349  

Cornerstone On Demand, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 5.35%, 4/22/2027(b)

      1,110        1,093  

Greeneden US Holdings II LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.42%, 12/1/2023(b)

      4,286        4,150  

Informatica LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 3.42%, 2/25/2027(b)(c)

      3,584        3,411  

Landesk Software Group, Inc., 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 9.00%), 10.00%, 1/20/2025(b)

      830        700  

Misys, Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 6/13/2024(b)

      3,135        2,843  

Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.67%,
6/1/2026(b)

      578        541  

Qlik Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 5.38%, 4/26/2024(b)

      2,465        2,336  

The Ultimate Software Group, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 3.92%, 5/4/2026(b)

      2,393        2,312  
     

 

 

  
        22,671  
     

 

 

  

Specialty Retail — 2.4%

 

Claire’s Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 6.50%), 8.42%, 12/18/2026(b)(g)

      2,711        2,061  

Digicert, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.00%), 4.17%, 10/16/2026(b)

      2,460        2,372  

PetSmart, Inc., Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 5.00%, 3/11/2022(b)

      5,545        5,442  

Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 5.69%, 4/16/2026(b)

      9,370        8,275  
     

 

 

  
        18,150  
     

 

 

  

Technology Hardware, Storage & Peripherals — 1.2%

 

KDC US Holding Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 3.92%, 12/22/2025(b)

      6,418        6,011  

Quest Software US Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 5.01%, 5/16/2025(b)

      2,289        2,179  

Quest Software US Holdings, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.25%), 9.01%, 5/18/2026(b)

      1,089        891  
     

 

 

  
        9,081  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.2%

 

Samsonite International S.A, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 1.92%,
4/25/2025(b)

      1,668        1,524  
     

 

 

  

Wireless Telecommunication Services — 1.8%

 

T-Mobile USA, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 3.17%, 4/1/2027(b)(c)

      13,635        13,632  
     

 

 

  
TOTAL LOAN ASSIGNMENTS
(Cost $705,575)

 

      644,766  
  

 

 

  
CORPORATE BONDS — 9.3%

 

Air Freight & Logistics — 0.2%

 

XPO Logistics, Inc. 6.13%, 9/1/2023(h)

      1,800        1,823  
     

 

 

  

Airlines — 0.2%

 

American Airlines Group, Inc. 5.00%, 6/1/2022(h)

      2,505        1,453  
     

 

 

  

Auto Components — 0.9%

 

Adient US LLC 7.00%, 5/15/2026(h)

      940        964  

Allison Transmission, Inc. 5.00%, 10/1/2024(h)

      2,950        2,971  

American Axle & Manufacturing, Inc. 6.63%, 10/15/2022

      2,662        2,642  
     

 

 

  
        6,577  
     

 

 

  

Chemicals — 0.3%

 

Trinseo Materials Operating SCA 5.38%, 9/1/2025(h)

      2,750        2,626  
     

 

 

  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

Commercial Services & Supplies — 0.4%

 

ILFC E-Capital Trust I (USD Constant Maturity 30 Year + 1.55%), 3.33%, 12/21/2065(b)(h)

      6,745        2,917  
     

 

 

  

Communications Equipment — 0.3%

 

Plantronics, Inc. 5.50%, 5/31/2023(h)

      3,200        2,448  
     

 

 

  

Construction & Engineering — 0.2%

 

MasTec, Inc. 4.88%, 3/15/2023

      1,500        1,500  
     

 

 

  

Consumer Finance — 0.5%

 

Ford Motor Credit Co. LLC 5.88%, 8/2/2021

      3,500        3,509  
     

 

 

  

Containers & Packaging — 0.4%

 

Ardagh Packaging Finance plc 6.00%, 2/15/2025(h)

      2,000        2,062  

Berry Global, Inc. 4.88%, 7/15/2026(h)

      800        836  
     

 

 

  
        2,898  
     

 

 

  

Diversified Telecommunication Services — 0.6%

 

CCO Holdings LLC

      

5.88%, 4/1/2024(h)

      1,000        1,027  

5.38%, 5/1/2025(h)

      1,000        1,028  

5.00%, 2/1/2028(h)

      2,150        2,252  
     

 

 

  
        4,307  
     

 

 

  

Electric Utilities — 0.0%(i)

 

Texas Competitive Electric Holdings Co. LLC 8.50%, 10/20/2020‡(d)

      75,000        30  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.2%

 

Ingram Micro, Inc. 5.00%, 8/10/2022

      1,400        1,346  
     

 

 

  

Entertainment — 0.1%

 

Cinemark USA, Inc. 4.88%, 6/1/2023

      1,279        1,130  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 0.4%

 

Equinix, Inc. 5.88%, 1/15/2026

      1,500        1,571  

HAT Holdings I LLC 5.25%, 7/15/2024(h)

      1,200        1,215  
     

 

 

  
        2,786  
     

 

 

  

Food Products — 0.3%

 

JBS USA LUX SA 5.88%, 7/15/2024(h)

      2,000        2,033  
     

 

 

  

Health Care Providers & Services — 0.4%

 

Centene Corp. 4.75%, 1/15/2025

      1,057        1,091  

HCA, Inc. 5.38%, 2/1/2025

      2,000        2,196  
     

 

 

  
        3,287  
     

 

 

  

Health Care Technology — 0.1%

 

IQVIA, Inc. 5.00%, 10/15/2026(h)

      700        741  
     

 

 

  

Hotels, Restaurants & Leisure — 0.5%

 

CCM Merger, Inc. 6.00%, 3/15/2022(h)

      732        684  

Sabre GLBL, Inc. 5.38%, 4/15/2023(h)

      2,400        2,274  

Six Flags Entertainment Corp. 4.88%, 7/31/2024(h)

      1,268        1,192  
     

 

 

  
        4,150  
     

 

 

  

Household Durables — 0.3%

 

Tempur Sealy International, Inc. 5.63%, 10/15/2023

      2,000        2,000  
     

 

 

  

Household Products — 0.3%

 

Spectrum Brands, Inc. 6.13%, 12/15/2024

      2,000        2,050  
     

 

 

  

Machinery — 0.5%

 

ATS Automation Tooling Systems, Inc. (Canada) 6.50%, 6/15/2023(h)

      1,500        1,523  

Colfax Corp. 6.00%, 2/15/2024(h)

      2,000        2,080  
     

 

 

  
        3,603  
     

 

 

  

Media — 0.6%

 

Clear Channel Worldwide Holdings, Inc. 9.25%, 2/15/2024

      3,082        2,803  

Gray Television, Inc. 5.13%, 10/15/2024(h)

      2,000        2,025  
     

 

 

  
        4,828  
     

 

 

  

Metals & Mining — 0.0%(i)

 

Freeport-McMoRan, Inc. 3.88%, 3/15/2023

      250        252  
     

 

 

  

Oil, Gas & Consumable Fuels — 0.6%

 

DCP Midstream Operating LP 3.88%, 3/15/2023

      250        236  

PBF Logistics LP 6.88%, 5/15/2023

      500        476  

Summit Midstream Holdings LLC 5.50%, 8/15/2022

      500        240  

Sunoco LP 4.88%, 1/15/2023

      250        254  

Targa Resources Partners LP 5.25%, 5/1/2023

      250        251  

TerraForm Power Operating LLC 4.25%, 1/31/2023(h)

      2,709        2,757  
     

 

 

  
        4,214  
     

 

 

  

Pharmaceuticals — 0.1%

 

Bausch Health Cos., Inc. 7.00%, 3/15/2024(h)

      1,000        1,035  
     

 

 

  

Road & Rail — 0.1%

 

Avis Budget Car Rental LLC 5.50%, 4/1/2023

      579        499  
     

 

 

  

Semiconductors & Semiconductor Equipment — 0.2%

 

Microchip Technology, Inc. 4.25%, 9/1/2025(h)(j)

      1,835        1,847  
     

 

 

  

Trading Companies & Distributors — 0.3%

 

United Rentals North America, Inc. 4.63%, 10/15/2025

      2,000        2,034  
     

 

 

  

Wireless Telecommunication Services — 0.3%

 

Sprint Corp. 7.88%, 9/15/2023

      2,300        2,611  
     

 

 

  
TOTAL CORPORATE BONDS
(Cost $73,998)

 

      70,534  
  

 

 

  

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Shares
(000)		     Value
($000)		  
PREFERRED STOCKS — 0.6%

 

Specialty Retail — 0.6%

 

Claire’s Stores, Inc.*‡ (Cost $1,124)

      2       4,155  
    

 

 

  
COMMON STOCKS — 0.4%

 

Aerospace & Defense — 0.1%

 

Remington Outdoor Co., Inc.*‡

      419       497  
    

 

 

  

Food & Staples Retailing — 0.0%(i)

 

Moran Foods Backstop Equity*‡

      167       167  
    

 

 

  

Media — 0.1%

 

Clear Channel Outdoor Holdings, Inc.*

      369       357  

iHeartMedia, Inc., Class A*

      18       160  
    

 

 

  
       517  
    

 

 

  

Oil, Gas & Consumable Fuels — 0.0%(i)

 

Southcross Holdco Equity*‡

      1       12  
    

 

 

  

Software — 0.0%(i)

 

Avaya Holdings Corp.*

      —   (e)      1  
    

 

 

  

Specialty Retail — 0.2%

 

Claire’s Stores, Inc.*‡

      3       1,863  
    

 

 

  
TOTAL COMMON STOCKS
(Cost $10,252)

 

     3,057  
 

 

 

  
     No. of
Rights
(000)		        
RIGHTS — 0.2%

 

Independent Power and Renewable Electricity Producers — 0.2%

 

Vistra Energy Corp., expiring 12/31/2049*‡ (Cost $ —)

      1,250       1,344  
    

 

 

  
     No. of
Warrants
(000)		        
WARRANTS — 0.1%

 

Wireless Telecommunication Services — 0.1%

 

iHeartMedia Capital I LLC expiring 5/2/2039, price 1.00 USD*‡ (Cost $2,479)

      138       1,108  
    

 

 

  
     Shares
(000)		        
SHORT-TERM INVESTMENTS — 4.2%

 

INVESTMENT COMPANIES — 4.2%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.09%(k)(l)(Cost $31,766)

      31,766       31,766  
    

 

 

  
Total Investments — 100.3%
(Cost $825,194)

 

     756,730  

Liabilities in Excess of Other Assets — (0.3)%

 

     (2,028 ) 
 

 

 

  

Net Assets — 100.0%

 

     754,702  
 

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Abbreviations  
DIP   Debtor-in-Possession
ICE   Intercontinental Exchange
LIBOR   London Interbank Offered Rate
REIT   Real Estate Investment Trust
SCA   Limited partnership with share capital
USD   United States Dollar
(a)   Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
(b)   Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2020.
(c)   All or a portion of this security is unsettled as of May 31, 2020. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.
(d)   Defaulted security.
(e)   Amount rounds to less than one thousand.
(f)   Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2020.
(g)   Fund is subject to legal or contractual restrictions on the resale of the security.
(h)   Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(i)   Amount rounds to less than 0.1% of net assets.
(j)   All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(k)   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.
(l)   The rate shown is the current yield as of May 31, 2020.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.

A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.

Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

JPMorgan Floating Rate Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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, 2020.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.

 

•  

Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments.

 

•  

Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

•  

Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):

 

     Level 1
Quoted prices		      Level 2
Other significant observable
inputs		      Level 3
Significant unobservable inputs		      Total  
Investments in Securities

 

      

Common Stocks

 

      

Aerospace & Defense

    $ —        $ —        $ 497      $ 497  

Food & Staples Retailing

      —          —          167        167  

Media

      517        —          —          517  

Oil, Gas & Consumable Fuels

      —          —          12        12  

Software

      1        —          —          1  

Specialty Retail

      —          —          1,863        1,863  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total Common Stocks      518        —          2,539        3,057  
  

 

 

     

 

 

     

 

 

     

 

 

  

Corporate Bonds

 

      

Air Freight & Logistics

      —          1,823        —          1,823  

Airlines

      —          1,453        —          1,453  

Auto Components

      —          6,577        —          6,577  

Chemicals

      —          2,626        —          2,626  

Commercial Services & Supplies

      —          2,917        —          2,917  

Communications Equipment

      —          2,448        —          2,448  

Construction & Engineering

      —          1,500        —          1,500  

Consumer Finance

      —          3,509        —          3,509  

Containers & Packaging

      —          2,898        —          2,898  

Diversified Telecommunication Services

      —          4,307        —          4,307  

Electric Utilities

      —          —          30        30  

Electronic Equipment, Instruments & Components

      —          1,346        —          1,346  

Entertainment

      —          1,130        —          1,130  

Equity Real Estate Investment Trusts (REITs)

      —          2,786        —          2,786  

Food Products

      —          2,033        —          2,033  

Health Care Providers & Services

      —          3,287        —          3,287  

Health Care Technology

      —          741        —          741  

Hotels, Restaurants & Leisure

      —          4,150        —          4,150  

Household Durables

      —          2,000        —          2,000  

Household Products

      —          2,050        —          2,050  

Machinery

      —          3,603        —          3,603  

Media

      —          4,828        —          4,828  

Metals & Mining

      —          252        —          252  

Oil, Gas & Consumable Fuels

      —          4,214        —          4,214  

Pharmaceuticals

      —          1,035        —          1,035  

Road & Rail

      —          499        —          499  

Semiconductors & Semiconductor Equipment

      —          1,847        —          1,847  

Trading Companies & Distributors

      —          2,034        —          2,034  

Wireless Telecommunication Services

    $ —        $ 2,611      $ —        $ 2,611  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total Corporate Bonds      —          70,504        30        70,534  
  

 

 

     

 

 

     

 

 

     

 

 

  

Loan Assignments

 

      

Aerospace & Defense

      —          12,145        —          12,145  

Air Freight & Logistics

      —          2,039        —          2,039  

Airlines

      —          5,248        —          5,248  

Auto Components

      —          10,290        —          10,290  

Automobiles

      —          6,493        —          6,493  

Building Products

      —          4,481        —          4,481  

Chemicals

      —          26,791        —          26,791  

Commercial Services & Supplies

      —          7,205        —          7,205  

Communications Equipment

      —          15,475        —          15,475  

Construction & Engineering

      —          8,876        —          8,876  

Containers & Packaging

      —          21,376        —          21,376  

Diversified Consumer Services

      —          14,360        —          14,360  

Diversified Financial Services

      —          4,856        —          4,856  

Diversified Telecommunication Services

      —          55,966        —          55,966  

Electric Utilities

      —          15,043        —          15,043  

Electrical Equipment

      —          10,267        —          10,267  

Electronic Equipment, Instruments & Components

      —          4,994        —          4,994  

Entertainment

      —          7,828        —          7,828  

Equity Real Estate Investment Trusts (REITs)

      —          7,945        —          7,945  

Food & Staples Retailing

      —          4,986        4,174        9,160  

Food Products

      —          26,919        —          26,919  

Health Care Providers & Services

      —          42,037        —          42,037  

Hotels, Restaurants & Leisure

      —          42,632        —          42,632  

Household Products

      —          8,895        —          8,895  

Independent Power and Renewable Electricity Producers

      —          4,996        —          4,996  

Insurance

      —          13,536        —          13,536  

IT Services

      —          13,364        —          13,364  

Leisure Products

      —          6,728        5,157        11,885  

Life Sciences Tools & Services

      —          3,706        —          3,706  

Machinery

      —          8,671        —          8,671  

Media

      —          81,776        —          81,776  

Multiline Retail

      —          1,066        691        1,757  

Oil, Gas & Consumable Fuels

      —          23,451        —          23,451  

Pharmaceuticals

      —          31,192        —          31,192  

Real Estate Management & Development

      —          5,858        —          5,858  

Road & Rail

      —          8,195        —          8,195  

Software

      —          22,671        —          22,671  

Specialty Retail

      —          18,150        —          18,150  

Technology Hardware, Storage & Peripherals

      —          9,081        —          9,081  

Textiles, Apparel & Luxury Goods

    $ —        $ 1,524      $ —        $ 1,524  

Wireless Telecommunication Services

      —          13,632        —          13,632  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total Loan Assignments      —          634,744        10,022        644,766  
  

 

 

     

 

 

     

 

 

     

 

 

  
Preferred Stocks      —          —          4,155        4,155  
Rights      —          —          1,344        1,344  
Warrants      —          —          1,108        1,108  

Short-Term Investments

 

      

Investment Companies

      31,766        —            —          31,766  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 32,284      $ 705,248      $ 19,198      $ 756,730  
  

 

 

     

 

 

     

 

 

     

 

 

  

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):

 

     Balance as of
February 29,
2020		     Realized gain
(loss)		      Change in net
unrealized
appreciation
(depreciation)		     Net accretion
(amortization)		      Purchases1      Sales2     Transfers
into Level 3		      Transfers out
of Level 3		     Balance as
May
31, 2020		  
Investments in Securities:                       
Common Stocks - Aerospace & Defense    $ 293     $ —        $ 204     $ —        $ —        $ —       $ —        $ —       $ 497  
Common Stocks - Food & Staples Retailing      —         —          49       —          118        —         —          —         167.00  
Common Stocks - Oil, Gas & Consumable Fuels      106       —          (94 )      —          —          —         —          —         12  
Common Stocks - Specialty Retail      2,034       —          (171 )      —          —          —         —          —         1,863  
Corporate Bonds - Electric Utilities      38       —          (8 )      —          —          —         —          —         30  
Corporate Bonds - Wireless Telecommunication Services      —   (a)      14        —   (b)      —          —          (14 )      —          —         —   (a) 
Loan Assignments - Food & Staples Retailing      —         —          1,444       74        2,656        —         —          —         4,174  
Loan Assignments - Leisure Products      5,154       —          —         —          3        —         —          —   (b)      5,157  
Loan Assignments - Multiline Retail      —         —          5       —          906        (220 )      —          —         691  
Preferred Stocks - Specialty Retail      3,880       —          275       —          —          —         —          —         4,155  
Rights - Independent Power and Renewable Electricity Producers      1,337       —          7       —          —          —         —          —         1,344  
Warrants - Wireless Telecommunication Services      1,939       —          (831 )      —          —          —         —          —         1,108  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  
Total    $ 14,781     $ 14      $ 880     $ 74      $ 3,683      $ (234 )    $ —        $ —   (b)    $ 19,198  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

 

1

Purchases include all purchases of securities and securities received in corporate actions.

2

Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

(a)

Value is zero.

(b)

Amount rounds to less than one thousand.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at May 31, 2020, which were valued using significant unobservable inputs (level 3), amounted to approximately $880,000.

There were no significant transfers into or out of level 3 for the period ended May 31, 2020.

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
May 31, 2020		     

Valuation Technique(s)

   

Unobservable Input

    Range (Weighted Average)  (a)  
   $ 1,611      Terms of Exchange Offer    Expected Recovery      100.00% (100.00% ) 
     2,563      Market Comparable Companies    EBITDA Multiple (b)      6.0x (6.0x ) 
  

 

 

           
Loan Assignments      4,174           
  

 

 

     

 

   

 

   

 

 

  
     167      Market Comparable Companies    EBITDA Multiple (b)      6.0x (6.0x ) 
  

 

 

           
Common Stocks      167           
  

 

 

     

 

   

 

   

 

 

  
Total    $  4,341           
  

 

 

           

 

#

The table above does not include certain level 3 investments that are valued by brokers and pricing services. At May 31, 2020, the value of these investments was approximately $14,857,000. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A.

(a)

Unobservable inputs were weighted by the relative fair value of the instruments.

(b)

Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.

 

For the period ended May 31, 2020

  

Security Description

   Value at
February 29, 2020		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
May 31, 2020		     Shares at
May 31, 2020		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan U.S. Government Money Market Fund Class IM Shares(a)

   $ 851     $ 761     $ 1,612     $ —       $ —       $ —         —       $ —   (c)    $ —    

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.09%(a)(b)

     72,982       130,437       171,653       —         —         31,766       31,766       31       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 73,833     $ 131,198     $ 173,265     $ —       $ —       $ 31,766       $ 31     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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, 2020.

(c)

Amount rounds to less than one thousand.