NPORT-EX 2 HG_SRB2050.htm HTML

JPMorgan SmartRetirement Blend 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 56.1%

 

Fixed Income — 9.7%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      1,275,589        15,307,070  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      1,717,852        14,636,096  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      273,409        2,241,954  

JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a)

      349,669        2,884,768  

JPMorgan High Yield Fund Class R6 Shares (a)

      1,798,540        12,967,475  

JPMorgan Managed Income Fund Class L Shares (a)

      583,052        5,859,674  
     

 

 

  

Total Fixed Income

         53,897,037  
     

 

 

  

International Equity — 8.1%

      

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

      2,781,072        45,081,176  
     

 

 

  

U.S. Equity — 38.3%

      

JPMorgan Equity Index Fund Class R6 Shares (a)

      4,691,952        213,389,967  
     

 

 

  
TOTAL INVESTMENT COMPANIES
(Cost $293,835,218)

 

      312,368,180  
     

 

 

  

EXCHANGE-TRADED FUNDS — 42.2%

 

Alternative Assets — 6.0%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      371,172        33,431,462  
     

 

 

  

Fixed Income — 0.5%

      

iShares Core U.S. Aggregate Bond ETF

      24,059        2,722,757  
     

 

 

  

International Equity — 26.8%

      

iShares Core MSCI EAFE ETF

      2,440,330        149,030,953  
     

 

 

  

U.S. Equity — 8.9%

      

iShares Russell 2000 ETF

      130,839        19,801,174  

iShares Russell Mid-Cap ETF

      532,973        29,819,840  
     

 

 

  

Total U.S. Equity

         49,621,014  
     

 

 

  
TOTAL EXCHANGE-TRADED FUNDS
(Cost $228,321,357)

 

      234,806,186  
     

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 0.3%

 

U.S. Treasury Notes 2.00%, 1/31/2020 (b)
(Cost $1,662,030)

      1,665,000        1,665,455  
     

 

 

  
     Shares         

SHORT-TERM INVESTMENTS — 1.6%

 

INVESTMENT COMPANIES — 1.6%

 

JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.00% (a) (c)
(Cost $8,976,258)

      8,976,258        8,976,258  
     

 

 

  
Total Investments — 100.2%
(Cost $532,794,863)		         557,816,079  
Liabilities in Excess of Other Assets — (0.2)%         (1,341,056 ) 
     

 

 

  
Net Assets — 100.0%         556,475,023  
     

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations
EAFE    Europe, Australasia and Far East
ETF    Exchange-Traded Fund
REIT    Real Estate Investment Trust
(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)    All or a portion of this security is deposited with the broker as initial margin for futures contracts.
(c)    The rate shown is the current yield as of September 30, 2019.

Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.

JPMorgan SmartRetirement Blend 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)

 

Futures contracts outstanding as of September 30, 2019:

 

Description

    Number of
Contracts		     Expiration
Date		      Trading
Currency		      Notional Amount
($)		     Value and
Unrealized
Appreciation
(Depreciation) ($)		  

Long Contracts

 

S&P 500 E-Mini Index

      93       12/2019        USD        13,843,050       (114,321 ) 
            

 

 

  
               (114,321 ) 
            

 

 

  

Short Contracts

 

EURO STOXX 50 Index

      (69 )      12/2019        EUR        (2,671,720 )      (37,170 ) 

Russell 2000 E-Mini Index

      (17 )      12/2019        USD        (1,295,485 )      53,758  
            

 

 

  
               16,588  
            

 

 

  
               (97,733 ) 
            

 

 

  

 

Abbreviations
EUR    Euro
USD    United States Dollar

 

A. Valuation of Investments — The valuation of investments is 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.

 

Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “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.

 

Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.

 

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

 

Futures contracts are generally valued on the basis of available market quotations.

 

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.

JPMorgan SmartRetirement Blend 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)

 

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 (“SOI”):

 

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

Total Investments in Securities (a)

   $ 556,150,624     $ 1,665,455     $ —       $ 557,816,079  
 

 

 

    

 

 

    

 

 

    

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (a)

   $ 53,758     $ —       $ —       $ 53,758  
 

 

 

    

 

 

    

 

 

    

 

 

  

Depreciation in Other Financial Instruments

 

Futures Contracts (a)

   $ (114,321 )    $ (37,170 )    $ —       $ (151,491 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 2 consists of foreign futures with equity reference obligations and U.S. Treasury Notes held as initial margin for futures contracts.

There were no transfers into and out of level 3 for the period ended September 30, 2019.

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.

 

For the period ended September 30, 2019

  

Security Description

   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
September 30,
2019		     Shares at
September 30,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan BetaBuilders MSCI US REIT ETF (a)

   $ 19,844,516     $ 11,726,345     $ —       $ —       $ 1,860,601     $ 33,431,462       371,172     $ 160,732     $ —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     14,930,950       109,796       —         —         266,324       15,307,070       1,275,589       109,797       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     10,272,192       4,234,305       —         —         129,599       14,636,096       1,717,852       106,427       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     2,210,893       28,522       —         —         2,539       2,241,954       273,409       28,522       —    

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     40,784,107       5,481,491       —         —         (1,184,422 )      45,081,176       2,781,072       —         —    

JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a)

     2,838,486       32,590       —         —         13,692       2,884,768       349,669       32,590       —    

JPMorgan Equity Index Fund Class R6 Shares (a)

     189,124,181       22,207,953       —         —         2,057,833       213,389,967       4,691,952       1,217,752       —    

JPMorgan High Yield Fund Class R6 Shares (a)

     12,814,982       188,193       —         —         (35,700 )      12,967,475       1,798,540       188,194       —    

JPMorgan Managed Income Fund Class L Shares (a)

     9,726,173       8,712,441       12,577,585       13,848       (15,203 )      5,859,674       583,052       69,219       —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     3,004,090       —         3,122,345       550,639       (432,384 )      —         —         —         —    

JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.00% (a) (b)

     14,104,463       64,319,759       69,447,964       —         —         8,976,258       8,976,258       44,768       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 319,655,033     $ 117,041,395     $ 85,147,894     $ 564,487     $ 2,662,879     $ 354,775,900       $ 1,958,001     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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 September 30, 2019.