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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. Georges 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)

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%

BJs 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

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

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

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)

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%

Claires 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

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

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

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

(000)

Value

($000)

PREFERRED STOCKS 0.6%

Specialty Retail 0.6%

Claires Stores, Inc.* (Cost $1,124)

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

Media 0.1%

Clear Channel Outdoor Holdings, Inc.*

369

357

iHeartMedia, Inc., Class A*

160

517

Oil, Gas & Consumable Fuels 0.0%(i)

Southcross Holdco Equity*

Software 0.0%(i)

Avaya Holdings Corp.*

(e)

Specialty Retail 0.2%

Claires Stores, Inc.*

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

(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

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 Funds 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 Funds investments. The Administrator implements the valuation policies of

the Funds 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 Funds 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 Funds 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 Funds 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 Funds assumptions in determining the fair value of investments).

A financial instruments 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 3Significant unobservable inputs

Total

Investments in Securities

Common Stocks

Aerospace & Defense

497

Food & Staples Retailing

167

Media

517

Oil, Gas & Consumable Fuels

Software

Specialty Retail

1,863

Total Common Stocks

518

2,539

3,057

Corporate Bonds

Air Freight & Logistics

1,823

Airlines

1,453

Auto Components

6,577

Chemicals

2,626

Commercial Services & Supplies

2,917

Communications Equipment

2,448

Construction & Engineering

1,500

Consumer Finance

3,509

Containers & Packaging

2,898

Diversified Telecommunication Services

4,307

Electric Utilities

Electronic Equipment, Instruments & Components

1,346

Entertainment

1,130

Equity Real Estate Investment Trusts (REITs)

2,786

Food Products

2,033

Health Care Providers & Services

3,287

Health Care Technology

741

Hotels, Restaurants & Leisure

4,150

Household Durables

2,000

Household Products

2,050

Machinery

3,603

Media

4,828

Metals & Mining

252

Oil, Gas & Consumable Fuels

4,214

Pharmaceuticals

1,035

Road & Rail

499

Semiconductors & Semiconductor Equipment

1,847

Trading Companies & Distributors

2,034

Wireless Telecommunication Services

2,611

Total Corporate Bonds

70,504

70,534

Loan Assignments

Aerospace & Defense

12,145

Air Freight & Logistics

2,039

Airlines

5,248

Auto Components

10,290

Automobiles

6,493

Building Products

4,481

Chemicals

26,791

Commercial Services & Supplies

7,205

Communications Equipment

15,475

Construction & Engineering

8,876

Containers & Packaging

21,376

Diversified Consumer Services

14,360

Diversified Financial Services

4,856

Diversified Telecommunication Services

55,966

Electric Utilities

15,043

Electrical Equipment

10,267

Electronic Equipment, Instruments & Components

4,994

Entertainment

7,828

Equity Real Estate Investment Trusts (REITs)

7,945

Food & Staples Retailing

4,986

4,174

9,160

Food Products

26,919

Health Care Providers & Services

42,037

Hotels, Restaurants & Leisure

42,632

Household Products

8,895

Independent Power and Renewable Electricity Producers

4,996

Insurance

13,536

IT Services

13,364

Leisure Products

6,728

5,157

11,885

Life Sciences Tools & Services

3,706

Machinery

8,671

Media

81,776

Multiline Retail

1,066

691

1,757

Oil, Gas & Consumable Fuels

23,451

Pharmaceuticals

31,192

Real Estate Management & Development

5,858

Road & Rail

8,195

Software

22,671

Specialty Retail

18,150

Technology Hardware, Storage & Peripherals

9,081

Textiles, Apparel & Luxury Goods

1,524

Wireless Telecommunication Services

13,632

Total Loan Assignments

634,744

10,022

644,766

Preferred Stocks

4,155

Rights

1,344

Warrants

1,108

Short-Term Investments

Investment Companies

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

118

167.00

Common Stocks - Oil, Gas & Consumable Fuels

106

(94

)

Common Stocks - Specialty Retail

2,034

(171

)

1,863

Corporate Bonds - Electric Utilities

)

Corporate Bonds - Wireless Telecommunication Services

(a)

(b)

(14

)

(a)

Loan Assignments - Food & Staples Retailing

1,444

2,656

4,174

Loan Assignments - Leisure Products

5,154

(b)

5,157

Loan Assignments - Multiline Retail

906

(220

)

691

Preferred Stocks - Specialty Retail

3,880

275

4,155

Rights - Independent Power and Renewable Electricity Producers

1,337

1,344

Warrants - Wireless Telecommunication Services

1,939

(831

)

1,108

Total

14,781

880

3,683

(234

)

(b)

19,198

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

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 Funds 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