THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
© J.P. Morgan Chase & Co., 2022.
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — 73.9% (a) (b)
|
||
Aerospace & Defense — 1.7%
|
||
Spirit Aerosystems, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 4.50%), 5.00%, 1/15/2027 (c)
|
795
|
785
|
TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 3 Month + 2.25%), 5.92%, 12/9/2025
|
1,799
|
1,770
|
Ultra Resources, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.06%, 8/3/2029
|
1,721
|
1,665
|
Vertex Aerospace Services Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/6/2028
|
2,008
|
1,970
|
|
|
6,190
|
Airlines — 0.6%
|
||
United Airlines, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.25%), 8.78%, 6/21/2027 (c)
|
1,140
|
1,171
|
WestJet Airlines Ltd., 1st Lien Term Loan (Canada) (ICE LIBOR USD 1 Month + 3.00%), 6.94%, 12/11/2026
|
1,393
|
1,247
|
|
|
2,418
|
Auto Components — 1.6%
|
||
Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/10/2028
|
2,040
|
2,012
|
DexKo Global, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 7.68%, 10/4/2028
|
1,655
|
1,494
|
Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 1/31/2028
|
1,331
|
1,122
|
Wheel Pros, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.50%), 8.82%, 5/11/2028
|
1,910
|
1,259
|
|
|
5,887
|
Automobiles — 0.2%
|
||
Holley, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.34%, 11/17/2028
|
967
|
844
|
Beverages — 0.8%
|
||
Triton Water Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 3/31/2028 (c)
|
1,604
|
1,476
|
Tropicana, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 6.90%, 1/24/2029
|
1,501
|
1,411
|
|
|
2,887
|
Building Products — 1.4%
|
||
Advanced Drainage Systems, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 6.09%, 7/31/2026
|
1,193
|
1,195
|
Griffon Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.01%, 1/24/2029
|
2,076
|
2,036
|
Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 6/11/2028
|
2,003
|
1,970
|
|
|
5,201
|
Capital Markets — 0.3%
|
||
Duff & Phelps Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.84%, 4/9/2027
|
1,356
|
1,279
|
Chemicals — 3.1%
|
||
Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/31/2027
|
1,997
|
1,947
|
Gemini HDPE LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 7.41%, 12/31/2027
|
1,537
|
1,496
|
INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.23%, 8/28/2026
|
2,232
|
2,127
|
INEOS US Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 11/8/2028 (c)
|
789
|
755
|
INEOS US Petrochem LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 1/29/2026
|
917
|
901
|
PQ Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 6.91%, 6/9/2028
|
1,718
|
1,685
|
Solenis International LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.44%, 11/9/2028
|
1,663
|
1,588
|
Trinseo Materials Operating SCA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 6.07%, 9/6/2024
|
1,221
|
1,175
|
|
|
11,674
|
Commercial Services & Supplies — 2.7%
|
||
Allied Universal Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 5/12/2028
|
1,906
|
1,800
|
API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 10/1/2026
|
1,591
|
1,573
|
Garda World Security Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 8.93%, 10/30/2026
|
1,540
|
1,476
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Commercial Services & Supplies — continued
|
||
Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 6.82%, 6/21/2028
|
2,391
|
2,267
|
Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 6.50%, 9/23/2026
|
3,139
|
3,091
|
|
|
10,207
|
Communications Equipment — 1.0%
|
||
CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/6/2026
|
3,694
|
3,545
|
Construction & Engineering — 1.4%
|
||
Osmose Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.27%, 6/23/2028 (c)
|
2,117
|
1,992
|
Pike Corp., Delayed Draw Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.08%, 1/21/2028 (c)
|
1,638
|
1,604
|
Pike Corporation, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.59%, 1/21/2028
|
810
|
799
|
Zekelman Industries, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 5.60%, 1/24/2027
|
792
|
772
|
|
|
5,167
|
Containers & Packaging — 2.5%
|
||
Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.02%, 4/3/2024 (c)
|
1,882
|
1,824
|
Graham Packaging Co., Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 8/4/2027 (c)
|
1,535
|
1,498
|
LABL, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 10/29/2028
|
1,545
|
1,466
|
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.25%, 9/24/2028
|
611
|
601
|
Reynolds Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/5/2026
|
1,272
|
1,252
|
Ring Container Technologies LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.25%, 8/12/2028
|
1,583
|
1,557
|
Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 7.67%, 9/15/2028
|
1,003
|
961
|
Tekni-Plex, Inc., Delayed Draw Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 7.82%, 9/15/2028
|
285
|
273
|
|
|
9,432
|
Diversified Consumer Services — 1.4%
|
||
Conservice Midco LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 5/13/2027
|
1,366
|
1,320
|
Ensemble RCM LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 7.94%, 8/3/2026
|
1,134
|
1,099
|
Interior Logic Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 4/3/2028
|
2,224
|
1,406
|
St. George's University Scholastic Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/10/2029
|
1,518
|
1,473
|
|
|
5,298
|
Diversified Financial Services — 0.6%
|
||
Sabre Holdings Corp., 1st Lien Term Loan B
|
|
|
(ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/17/2027 (c)
|
472
|
435
|
(ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/17/2027
|
626
|
576
|
Trans Union LLC, Term Loan B-6 (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 12/1/2028
|
1,385
|
1,360
|
|
|
2,371
|
Diversified Telecommunication Services — 1.8%
|
||
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 3/15/2027
|
1,310
|
1,240
|
Cincinnati Bell, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 7.08%, 11/22/2028
|
1,616
|
1,583
|
Intelsat Jackson Holdings SA, 1st Lien Term Loan (6-MONTH SOFR + 4.25%), 7.44%, 2/1/2029 (c)
|
2,400
|
2,315
|
Numericable US LLC, 1st Lien Term Loan B (France) (ICE LIBOR USD 3 Month + 3.69%), 7.77%, 1/31/2026
|
1,637
|
1,566
|
|
|
6,704
|
Electric Utilities — 1.3%
|
||
Astoria Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/10/2027
|
1,285
|
1,264
|
Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 2/16/2026
|
1,031
|
973
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Electric Utilities — continued
|
||
Exelon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 7.24%, 12/15/2027
|
1,499
|
1,484
|
PG&E Corp., Exit Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.13%, 6/23/2025
|
1,257
|
1,236
|
|
|
4,957
|
Electrical Equipment — 1.4%
|
||
AZZ Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%; 3-MONTH CME TERM SOFR + 4.25%), 7.08%, 5/13/2029
|
1,569
|
1,562
|
Brookfield WEC Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 8/1/2025 (c)
|
1,689
|
1,656
|
Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.55%, 3/2/2027 (c)
|
2,223
|
2,165
|
|
|
5,383
|
Electronic Equipment, Instruments & Components — 0.9%
|
||
Ingram Micro, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 6/30/2028
|
1,537
|
1,513
|
Mirion Technologies, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 5.63%, 10/20/2028
|
1,785
|
1,749
|
|
|
3,262
|
Energy Equipment & Services — 0.4%
|
||
Medallion Midland Acquisition LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 10/18/2028
|
1,409
|
1,392
|
Entertainment — 1.8%
|
||
Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.59%, 3/1/2025
|
1,699
|
1,685
|
Delta 2 (Lux) SARL, 1st Lien Term Loan B (3-MONTH SOFR + 3.25%), 3.75%, 1/15/2030 (c)
|
2,000
|
1,989
|
NAI Entertainment Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.58%, 5/8/2025
|
1,383
|
1,314
|
WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 6.20%, 1/20/2028
|
1,847
|
1,816
|
|
|
6,804
|
Food & Staples Retailing — 1.9%
|
||
Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038
|
235
|
189
|
Moran Foods LLC, 1st Lien Term Loan B
|
|
|
(ICE LIBOR USD 3 Month + 7.00%), 10.67%, 4/1/2024 ‡
|
1,804
|
1,449
|
Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 10.75%), 14.42%, 10/1/2024
|
4,062
|
2,356
|
United Natural Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 7.45%, 10/22/2025
|
1,341
|
1,333
|
Utz Quality Foods LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 7.20%, 1/20/2028
|
1,791
|
1,775
|
|
|
7,102
|
Food Products — 0.9%
|
||
B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 10/10/2026
|
2,170
|
2,039
|
Shearer's Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 9/23/2027
|
1,578
|
1,498
|
|
|
3,537
|
Health Care Equipment & Supplies — 2.0%
|
||
Chamberlain Group LLC (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.25%, 11/3/2028 (c)
|
1,600
|
1,496
|
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 7.00%, 5/4/2028
|
3,176
|
3,119
|
Medline, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 10/23/2028
|
3,085
|
2,926
|
|
|
7,541
|
Health Care Providers & Services — 5.2%
|
||
CVS Holdings, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 8/31/2026
|
1,302
|
1,104
|
Envision Healthcare Corp., 1st Lien Term Loan
|
|
|
(1-MONTH CME TERM SOFR + 3.75%), 7.49%, 3/31/2027
|
2,768
|
618
|
(1-MONTH CME TERM SOFR + 4.25%), 7.99%, 3/31/2027
|
1,130
|
339
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Health Care Providers & Services — continued
|
||
ICON Luxembourg SARL, 1st Lien Term Loan B, (Luxembourg)
|
|
|
(ICE LIBOR USD 3 Month + 2.25%), 5.94%, 7/3/2028 (c)
|
928
|
923
|
(ICE LIBOR USD 3 Month + 2.25%), 5.94%, 7/3/2028
|
406
|
403
|
LifePoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.16%, 11/16/2025 (c)
|
1,407
|
1,304
|
Option Care Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 10/27/2028 (c)
|
1,509
|
1,499
|
PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.00%, 11/15/2028
|
3,711
|
3,564
|
Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 3/31/2027 (c)
|
1,028
|
901
|
PCI Pharma Services, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 11/30/2027
|
1,530
|
1,472
|
Pearl Intermediate Parent LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 2/14/2025
|
321
|
296
|
Pearl Intermediate Parent LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 2/14/2025 (c)
|
829
|
766
|
PetVet Care Centers LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/14/2025
|
740
|
683
|
Radiology Partners, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 8.28%, 7/9/2025
|
1,750
|
1,505
|
Team Health Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.25%), 9.34%, 3/2/2027
|
1,921
|
1,325
|
U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.13%, 6/26/2026
|
1,765
|
981
|
WIRB-Copernicus Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%; ICE LIBOR USD 3 Month + 4.00%), 7.82%,
1/8/2027
|
1,998
|
1,873
|
|
|
19,556
|
Hotels, Restaurants & Leisure — 2.5%
|
||
Caesars Resort Collection LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 12/23/2024
|
3,586
|
3,559
|
Flutter Entertainment plc, 1st Lien Term Loan B (Ireland) (3-MONTH CME TERM SOFR + 3.25%), 6.78%, 7/22/2028
|
1,230
|
1,220
|
IRB Holding Corp., 1st Lien Term Loan B
|
|
|
(ICE LIBOR USD 1 Month + 2.75%), 6.82%, 2/5/2025 (c)
|
406
|
398
|
(1-MONTH CME TERM SOFR + 3.00%), 6.89%, 12/15/2027 (c)
|
1,292
|
1,241
|
UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 7.11%, 4/29/2026
|
1,405
|
1,379
|
Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 8/3/2028 (c)
|
1,728
|
1,642
|
|
|
9,439
|
Household Durables — 0.7%
|
||
Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 7.32%, 5/17/2028
|
1,424
|
1,030
|
MI Windows & Doors, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.69%, 12/18/2027
|
714
|
703
|
Traeger Grills, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 6/29/2028
|
1,213
|
971
|
Traeger Grills, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 6/29/2028 (c)
|
40
|
32
|
|
|
2,736
|
Independent Power and Renewable Electricity Producers — 0.7%
|
||
Calpine Construction Finance Co. LP, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.00%), 6.07%, 1/15/2025
|
1,801
|
1,785
|
Invenergy LLC, Term Loan (1-MONTH CME TERM SOFR + 3.75%), 7.95%, 8/28/2025
|
996
|
982
|
|
|
2,767
|
Insurance — 2.0%
|
||
Asurion LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 7/31/2027
|
1,350
|
1,167
|
Asurion LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 5.25%), 9.32%, 1/31/2028
|
1,510
|
1,161
|
Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 11/3/2024
|
801
|
767
|
Asurion, LLC, Term Loan B-10 (1-MONTH CME TERM SOFR + 4.00%), 7.65%, 8/19/2028
|
696
|
609
|
HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 7.33%, 4/25/2025
|
1,995
|
1,956
|
USI, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 3.75%), 6.42%, 5/16/2024
|
1,791
|
1,786
|
|
|
7,446
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Internet & Direct Marketing Retail — 1.0%
|
||
Getty Images, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 8.63%, 2/19/2026
|
1,347
|
1,336
|
GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 10/10/2025 (c)
|
1,373
|
1,331
|
Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 9/25/2026
|
2,017
|
1,231
|
|
|
3,898
|
IT Services — 1.3%
|
||
Ancestry.com, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 12/6/2027
|
1,647
|
1,494
|
MH Sub I LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 9/13/2024 (c)
|
1,692
|
1,644
|
Virtusa Corp., 1st Lien Term Loan B
|
|
|
(ICE LIBOR USD 1 Month + 3.75%), 7.82%, 2/11/2028
|
620
|
601
|
(1-MONTH CME TERM SOFR + 3.75%), 7.94%, 2/15/2029
|
984
|
953
|
|
|
4,692
|
Leisure Products — 0.4%
|
||
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2023 ‡ (d)
|
3,898
|
425
|
Hercules Achievement, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/16/2024
|
1,027
|
984
|
|
|
1,409
|
Life Sciences Tools & Services — 0.8%
|
||
Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 8.16%,
8/30/2026 (c)
|
2,162
|
1,788
|
Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 11/8/2027 (c)
|
1,249
|
1,238
|
|
|
3,026
|
Machinery — 2.5%
|
||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.41%, 10/8/2027
|
3,593
|
3,504
|
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 8.69%, 4/5/2029
|
1,675
|
1,566
|
Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 3/17/2027 (c)
|
1,730
|
1,626
|
Thyssenkrupp Elevator, 1st Lien Term Loan B-1 (ICE LIBOR USD 6 Month + 3.50%), 6.87%, 7/30/2027
|
1,544
|
1,479
|
Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 5.88%, 3/28/2025
|
1,180
|
1,107
|
|
|
9,282
|
Media — 5.4%
|
||
Altice Financing SA, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.75%), 6.83%, 7/15/2025
|
1,922
|
1,882
|
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%),
7.91%, 8/21/2026 (c)
|
3,847
|
3,512
|
CSC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.25%), 6.12%, 7/17/2025
|
1,209
|
1,156
|
CSC Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.12%, 1/15/2026
|
1,545
|
1,470
|
Diamond Sports Group LLC, 2nd Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.14%, 8/24/2026
|
1,739
|
275
|
DIRECTV Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 8/2/2027
|
1,808
|
1,729
|
E.W. Scripps Co. (The), 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 1/7/2028
|
1,597
|
1,549
|
Gray Television, Inc., 1st Lien Term Loan B
|
|
|
(ICE LIBOR USD 1 Month + 2.50%), 6.27%, 2/7/2024
|
303
|
302
|
(ICE LIBOR USD 1 Month + 2.50%), 6.27%, 1/2/2026
|
1,048
|
1,017
|
Gray Television, Inc., 1st Lien Term Loan D (ICE LIBOR USD 1 Month + 3.00%), 6.77%, 12/1/2028
|
938
|
912
|
iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 5/1/2026 (c)
|
1,907
|
1,784
|
iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 5/1/2026
|
813
|
761
|
Red Ventures LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 11/8/2024
|
932
|
922
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Media — continued
|
||
Summer (BC) Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 8.17%, 12/4/2026 (c)
|
1,272
|
1,168
|
Univision Communications, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 3/15/2026 (c)
|
1,693
|
1,661
|
|
|
20,100
|
Oil, Gas & Consumable Fuels — 0.3%
|
||
Grizzly Acquisitions, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.99%, 10/1/2025
|
1,174
|
1,160
|
Personal Products — 1.5%
|
||
Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 5/17/2028
|
1,940
|
1,627
|
Nestle Skin Health SA, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 10/1/2026
|
4,064
|
3,855
|
|
|
5,482
|
Pharmaceuticals — 0.9%
|
||
Bausch Health Companies, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 9.15%, 2/1/2027 (c)
|
1,782
|
1,322
|
Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (1-MONTH PRIME + 6.00%), 13.00%, 3/27/2028
|
628
|
498
|
Jazz Pharmaceuticals plc, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 5/5/2028
|
1,485
|
1,473
|
|
|
3,293
|
Professional Services — 1.2%
|
||
LegalShield, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 12/15/2028
|
1,237
|
1,191
|
Nielsen Holdings plc, Term Loan B-3 (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 3/6/2028
|
1,514
|
1,323
|
Star Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.29%, 2/6/2026
|
2,100
|
2,070
|
|
|
4,584
|
Road & Rail — 2.4%
|
||
First Student Bidco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 6.64%, 7/21/2028
|
3,010
|
2,824
|
First Student Bidco, Inc., 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.00%), 6.64%, 7/21/2028
|
1,249
|
1,172
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 2.00%), 5.67%, 12/30/2026
|
1,632
|
1,615
|
Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.01%, 6/30/2028
|
2,928
|
2,854
|
Hertz Corp. (The), 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 3.25%), 7.01%, 6/30/2028
|
559
|
545
|
|
|
9,010
|
Semiconductors & Semiconductor Equipment — 2.0%
|
||
Brooks Automation, 1st Lien Term Loan B (1 Month SOFR + 3.10%; 6 Month SOFR + 3.10%), 5.26%, 2/1/2029
|
3,756
|
3,540
|
Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 7.35%, 2/1/2030
|
746
|
623
|
Entegris, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00; 3-MONTH SOFR + 3.00%), 5.89%, 7/6/2029
|
855
|
847
|
Synaptics, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.25%), 4.36%, 12/2/2028
|
2,580
|
2,529
|
|
|
7,539
|
Software — 5.4%
|
||
Camelot Finance LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 10/30/2026
|
1,959
|
1,926
|
DigiCert, Inc., 1st Lien Term Loan
|
|
|
(ICE LIBOR USD 1 Month + 4.00%), 8.70%, 10/16/2026 (c)
|
821
|
788
|
(ICE LIBOR USD 6 Month + 7.00%), 11.70%, 2/19/2029
|
620
|
561
|
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 7.86%, 12/1/2027 (c)
|
2,220
|
2,152
|
Hyland Software, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 7/1/2024
|
1,832
|
1,803
|
ION Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 7.45%, 3/11/2028
|
1,417
|
1,374
|
LogMeIn, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.75%), 8.77%, 8/31/2027
|
1,400
|
895
|
Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 7.75%, 10/1/2027
|
2,015
|
1,933
|
Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 6/1/2026
|
1,641
|
1,584
|
Proofpoint, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.32%, 8/31/2028 (c)
|
1,373
|
1,319
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Software — continued
|
||
RealPage, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 4/24/2028 (c)
|
1,706
|
1,631
|
ThoughtWorks, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/24/2028
|
1,997
|
1,977
|
Ultimate Software Group, Inc. (The), 1st Lien Term Loan
|
|
|
(ICE LIBOR USD 3 Month + 3.25%), 7.00%, 5/4/2026
|
801
|
773
|
(ICE LIBOR USD 1 Month + 3.75%), 7.82%, 5/4/2026
|
1,558
|
1,516
|
|
|
20,232
|
Specialty Retail — 4.6%
|
||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.84%, 10/19/2027 (c)
|
1,368
|
1,316
|
Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 10.57%, 12/18/2026 (e)
|
2,643
|
2,353
|
Consilio, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 8.07%, 5/12/2028
|
1,927
|
1,832
|
Leslie's Poolmart, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/9/2028
|
2,066
|
2,021
|
Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.92%, 3/3/2028
|
3,052
|
2,954
|
PrimeSource, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.99%, 12/28/2027
|
2,044
|
1,771
|
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 8.57%, 12/22/2025
|
3,376
|
2,293
|
Serta Simmons Bedding LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 7.50%), 10.79%, 8/10/2023
|
1,015
|
467
|
SRS Distribution, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.69%, 6/2/2028
|
1,423
|
1,359
|
Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 7.78%, 4/16/2026
|
977
|
870
|
|
|
17,236
|
Technology Hardware, Storage & Peripherals — 1.0%
|
||
KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 12/22/2025
|
2,043
|
1,966
|
Quest Software US Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 8.49%, 2/1/2029
|
2,090
|
1,580
|
|
|
3,546
|
Textiles, Apparel & Luxury Goods — 0.4%
|
||
Birkenstock, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 7.66%, 4/28/2028 (c)
|
1,553
|
1,491
|
Total Loan Assignments
(Cost $300,353)
|
|
277,006
|
Corporate Bonds — 6.8%
|
||
Auto Components — 0.5%
|
||
American Axle & Manufacturing, Inc.
|
|
|
6.25%, 3/15/2026
|
895
|
848
|
6.50%, 4/1/2027
|
1,000
|
940
|
|
|
1,788
|
Chemicals — 0.3%
|
||
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (f)
|
1,500
|
1,202
|
Consumer Finance — 0.7%
|
||
Ford Motor Credit Co. LLC 4.13%, 8/17/2027
|
3,000
|
2,737
|
Diversified Telecommunication Services — 0.5%
|
||
CCO Holdings LLC
|
|
|
5.13%, 5/1/2027 (f)
|
1,000
|
947
|
5.00%, 2/1/2028 (f)
|
1,075
|
988
|
|
|
1,935
|
Electrical Equipment — 0.2%
|
||
Sensata Technologies BV 4.00%, 4/15/2029 (f)
|
1,000
|
870
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care Providers & Services — 0.6%
|
||
Tenet Healthcare Corp.
|
|
|
5.13%, 11/1/2027 (f)
|
1,500
|
1,412
|
4.63%, 6/15/2028 (f)
|
1,000
|
895
|
|
|
2,307
|
Hotels, Restaurants & Leisure — 0.3%
|
||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (f)
|
1,268
|
1,233
|
Household Durables — 0.2%
|
||
Newell Brands, Inc. 4.45%, 4/1/2026 (g)
|
1,000
|
943
|
IT Services — 0.2%
|
||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (f)
|
850
|
694
|
Media — 1.2%
|
||
DISH DBS Corp.
|
|
|
5.88%, 11/15/2024
|
2,000
|
1,901
|
5.25%, 12/1/2026 (f)
|
750
|
644
|
Sirius XM Radio, Inc. 5.00%, 8/1/2027 (f)
|
2,000
|
1,866
|
|
|
4,411
|
Oil, Gas & Consumable Fuels — 0.8%
|
||
Antero Midstream Partners LP 7.88%, 5/15/2026 (f)
|
1,000
|
1,020
|
NuStar Logistics LP 5.63%, 4/28/2027
|
2,000
|
1,881
|
|
|
2,901
|
Software — 0.3%
|
||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (f)
|
1,000
|
956
|
Specialty Retail — 1.0%
|
||
PetSmart, Inc. 4.75%, 2/15/2028 (f)
|
1,250
|
1,142
|
Staples, Inc. 7.50%, 4/15/2026 (f)
|
2,768
|
2,469
|
|
|
3,611
|
Total Corporate Bonds
(Cost $28,078)
|
|
25,588
|
|
SHARES
(000)
|
|
Convertible Preferred Stocks — 1.6%
|
||
Specialty Retail — 1.6%
|
||
Claire's Stores, Inc. ‡ *(Cost $755)
|
3
|
5,888
|
Common Stocks — 1.5%
|
||
Food & Staples Retailing — 0.1%
|
||
Moran Foods Backstop Equity ‡ *
|
167
|
417
|
Media — 0.3%
|
||
Clear Channel Outdoor Holdings, Inc. *
|
369
|
417
|
iHeartMedia, Inc., Class A *
|
62
|
498
|
|
|
915
|
Professional Services — 0.8%
|
||
NMG, Inc. ‡ *
|
17
|
2,989
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
Common Stocks — continued
|
||
Specialty Retail — 0.3%
|
||
Claire's Stores, Inc. ‡ *
|
3
|
1,102
|
Total Common Stocks
(Cost $6,516)
|
|
5,423
|
|
NO. OF
WARRANTS
(000)
|
|
Warrants — 0.0% ^
|
||
Diversified Telecommunication Services — 0.0% ^
|
||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ *
|
6
|
92
|
Entertainment — 0.0% ^
|
||
Cineworld Group expiring 12/31/2049, price 4,149.00 GBP (United Kingdom) *
|
63
|
—
|
Total Warrants
(Cost $—) (h)
|
|
92
|
|
SHARES
(000)
|
|
Short-Term Investments — 4.4%
|
||
Investment Companies — 4.4%
|
||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.50% (i) (j)
(Cost $16,490)
|
16,490
|
16,490
|
Total Investments — 88.2%
(Cost $352,192)
|
|
330,487
|
Other Assets Less Liabilities — 11.8%
|
|
44,427
|
NET ASSETS — 100.0%
|
|
374,914
|
Percentages indicated are based on net assets.
|
||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
Abbreviations
|
|
CME
|
Chicago Mercantile Exchange
|
GBP
|
British Pound
|
ICE
|
Intercontinental Exchange
|
LIBOR
|
London Interbank Offered Rate
|
SCA
|
Limited partnership with share capital
|
SOFR
|
Secured Overnight Financing Rate
|
USD
|
United States Dollar
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
*
|
Non-income producing security.
|
|
(a)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
|
|
(b)
|
Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of
November 30, 2022.
|
|
(c)
|
All or a portion of this security is unsettled as of November 30, 2022. Unless otherwise indicated, the coupon rate is undetermined.
The
coupon rate shown may not be accrued for the entire position.
|
|
(d)
|
Defaulted security.
|
|
(e)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
(f)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
|
|
(g)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future
contingent upon a
predetermined trigger. The interest rate shown is the current rate as of November 30, 2022.
|
|
(h)
|
Value is zero.
|
|
(i)
|
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
by J.P. Morgan
Investment Management Inc.
|
|
(j)
|
The rate shown is the current yield as of November 30, 2022.
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
CDX.NA.HY.38-V2
|
5.00
|
Quarterly
|
6/20/2027
|
4.39
|
USD 5,000
|
152
|
59
|
211
|
(**)
|
The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from
or to the protection buyer,
and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation,
as defined under the
terms of individual swap contracts.
|
||||||||
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring
that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of
buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood
that a seller will be obligated
to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts,
are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average
spread across the underlying
reference obligations included in a particular index.
|
||||||||
(b)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit
protection would receive,
upon occurrence of a credit event.
|
||||||||
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate
the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
|
Abbreviations
|
|
CDX
|
Credit Default Swap Index
|
USD
|
United States Dollar
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Investments in Securities
|
|
|
|
|
Common Stocks
|
|
|
|
|
Food & Staples Retailing
|
$—
|
$—
|
$417
|
$417
|
Media
|
915
|
—
|
—
|
915
|
Professional Services
|
—
|
—
|
2,989
|
2,989
|
Specialty Retail
|
—
|
—
|
1,102
|
1,102
|
Total Common Stocks
|
915
|
—
|
4,508
|
5,423
|
Convertible Preferred Stocks
|
—
|
—
|
5,888
|
5,888
|
Corporate Bonds
|
—
|
25,588
|
—
|
25,588
|
Loan Assignments
|
|
|
|
|
Aerospace & Defense
|
—
|
6,190
|
—
|
6,190
|
Airlines
|
—
|
2,418
|
—
|
2,418
|
Auto Components
|
—
|
5,887
|
—
|
5,887
|
Automobiles
|
—
|
844
|
—
|
844
|
Beverages
|
—
|
2,887
|
—
|
2,887
|
Building Products
|
—
|
5,201
|
—
|
5,201
|
Capital Markets
|
—
|
1,279
|
—
|
1,279
|
Chemicals
|
—
|
11,674
|
—
|
11,674
|
Commercial Services & Supplies
|
—
|
10,207
|
—
|
10,207
|
Communications Equipment
|
—
|
3,545
|
—
|
3,545
|
Construction & Engineering
|
—
|
5,167
|
—
|
5,167
|
Containers & Packaging
|
—
|
9,432
|
—
|
9,432
|
Diversified Consumer Services
|
—
|
5,298
|
—
|
5,298
|
Diversified Financial Services
|
—
|
2,371
|
—
|
2,371
|
Diversified Telecommunication Services
|
—
|
6,704
|
—
|
6,704
|
Electric Utilities
|
—
|
4,957
|
—
|
4,957
|
Electrical Equipment
|
—
|
5,383
|
—
|
5,383
|
Electronic Equipment, Instruments & Components
|
—
|
3,262
|
—
|
3,262
|
Energy Equipment & Services
|
—
|
1,392
|
—
|
1,392
|
Entertainment
|
—
|
6,804
|
—
|
6,804
|
Food & Staples Retailing
|
—
|
5,653
|
1,449
|
7,102
|
Food Products
|
—
|
3,537
|
—
|
3,537
|
Health Care Equipment & Supplies
|
—
|
7,541
|
—
|
7,541
|
Health Care Providers & Services
|
—
|
19,556
|
—
|
19,556
|
Hotels, Restaurants & Leisure
|
—
|
9,439
|
—
|
9,439
|
Household Durables
|
—
|
2,736
|
—
|
2,736
|
Independent Power and Renewable Electricity Producers
|
—
|
2,767
|
—
|
2,767
|
Insurance
|
—
|
7,446
|
—
|
7,446
|
Internet & Direct Marketing Retail
|
—
|
3,898
|
—
|
3,898
|
IT Services
|
—
|
4,692
|
—
|
4,692
|
Leisure Products
|
—
|
984
|
425
|
1,409
|
Life Sciences Tools & Services
|
—
|
3,026
|
—
|
3,026
|
Machinery
|
—
|
9,282
|
—
|
9,282
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Media
|
$—
|
$20,100
|
$—
|
$20,100
|
Oil, Gas & Consumable Fuels
|
—
|
1,160
|
—
|
1,160
|
Personal Products
|
—
|
5,482
|
—
|
5,482
|
Pharmaceuticals
|
—
|
3,293
|
—
|
3,293
|
Professional Services
|
—
|
4,584
|
—
|
4,584
|
Road & Rail
|
—
|
9,010
|
—
|
9,010
|
Semiconductors & Semiconductor Equipment
|
—
|
7,539
|
—
|
7,539
|
Software
|
—
|
20,232
|
—
|
20,232
|
Specialty Retail
|
—
|
17,236
|
—
|
17,236
|
Technology Hardware, Storage & Peripherals
|
—
|
3,546
|
—
|
3,546
|
Textiles, Apparel & Luxury Goods
|
—
|
1,491
|
—
|
1,491
|
Total Loan Assignments
|
—
|
275,132
|
1,874
|
277,006
|
Warrants
|
|
|
|
|
Diversified Telecommunication Services
|
—
|
—
|
92
|
92
|
Entertainment
|
—
|
—(a)
|
—
|
—(a)
|
Total Warrants
|
—
|
—
|
92
|
92
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
16,490
|
—
|
—
|
16,490
|
Total Investments in Securities
|
$17,405
|
$300,720
|
$12,362
|
$330,487
|
Appreciation in Other Financial Instruments
|
|
|
|
|
Swaps
|
$—
|
$59
|
$—
|
$59
|
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
Balance as of
February 28,
2022
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
November 30,
2022
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
$1,540
|
$—
|
$189
|
$—
|
$—
|
$—
|
$2,779
|
$—
|
$4,508
|
Convertible Preferred Stocks
|
5,876
|
—
|
12
|
—
|
—
|
—
|
—
|
—
|
5,888
|
Corporate Bonds
|
113
|
—
|
(113)
|
—
|
—
|
—
|
—
|
—
|
—
|
Loan Assignments
|
2,223
|
(40)
|
(231)
|
28
|
33
|
(139)
|
—
|
—
|
1,874
|
Warrants
|
76
|
—
|
16
|
—
|
—
|
—
|
—
|
—
|
92
|
Total
|
$9,828
|
$(40)
|
$(127)
|
$28
|
$33
|
$(139)
|
$2,779
|
$—
|
$12,362
|
|
|||||||||
1
|
Purchases include all purchases of securities and securities received in corporate actions.
|
||||||||
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
|
|
Fair Value at
November 30, 2022
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
$425
|
Term of Restructuring
|
Expected Recovery
|
10.90% (10.90%)
|
|
|
|
|
|
Loan Assignments
|
425
|
|
|
|
Total
|
$425
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November
30, 2022, the value
of these investments was $11,937. The inputs for these investments are not readily available or cannot be reasonably estimated
and are
generally those inputs described in Note A.
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|||||||||
For the period ended November 30, 2022
|
|||||||||
Security Description
|
Value at
February 28,
2022
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2022
|
Shares at
November 30,
2022
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan U.S. Government Money Market
Fund Class Institutional Shares, 3.50%
(a) (b)
|
$101,881
|
$229,927
|
$315,318
|
$—
|
$—
|
$16,490
|
16,490
|
$205
|
$—
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
by J.P. Morgan
Investment Management Inc.
|
(b)
|
The rate shown is the current yield as of November 30, 2022.
|