NPORT-EX 2 HG_SRB2025.htm HTML

JPMorgan SmartRetirement Blend 2025 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 71.1%

 

Fixed Income — 44.9%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      21,329,425        255,953,103  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      12,386,631        105,534,095  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      2,219,876        18,202,980  

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

      2,248,369        18,549,044  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      699,769        6,360,904  

JPMorgan High Yield Fund Class R6 Shares (a)

      8,454,007        60,953,388  

JPMorgan Income Fund Class R6 Shares (a)

      837,945        8,077,790  

JPMorgan Managed Income Fund Class L Shares (a)

      948,427        9,531,696  

JPMorgan Short Duration Core Plus Fund Class R6 Shares (a)

      6,362,213        61,077,249  
     

 

 

  

Total Fixed Income

         544,240,249  
     

 

 

  

International Equity — 4.1%

      

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

      3,062,422        49,641,868  
     

 

 

  

U.S. Equity — 22.1%

      

JPMorgan Equity Index Fund Class R6 Shares (a)

      5,899,121        268,292,016  
     

 

 

  
TOTAL INVESTMENT COMPANIES
(Cost $823,158,142)		         862,174,133  
  

 

 

  

EXCHANGE-TRADED FUNDS — 27.1%

 

Alternative Assets — 4.3%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      576,137        51,892,659  
     

 

 

  

Fixed Income — 2.2%

      

iShares Core U.S. Aggregate Bond ETF

      49,948        5,652,615  

iShares TIPS Bond ETF

      178,225        20,725,785  
     

 

 

  

Total Fixed Income

         26,378,400  
     

 

 

  

International Equity — 15.3%

      

iShares Core MSCI EAFE ETF

      3,032,146        185,173,156  
     

 

 

  

U.S. Equity — 5.3%

      

iShares Russell 2000 ETF

      172,160        26,054,695  

iShares Russell Mid-Cap ETF

      697,936        39,049,519  
     

 

 

  

Total U.S. Equity

         65,104,214  
     

 

 

  
TOTAL EXCHANGE-TRADED FUNDS
(Cost $314,254,871)

 

      328,548,429  
  

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 0.3%

 

U.S. Treasury Notes 2.00%, 1/31/2020 (b)
(Cost $3,328,963)

      3,335,000        3,335,912  
     

 

 

  
     Shares         

SHORT-TERM INVESTMENTS — 2.3%

 

INVESTMENT COMPANIES — 2.3%

 

JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.00% (a) (c)
(Cost $27,909,931)

      27,909,931        27,909,931  
     

 

 

  
Total Investments — 100.8%
(Cost $1,168,651,907)

 

      1,221,968,405  
Liabilities in Excess of Other Assets — (0.8)%

 

      (9,740,602 ) 
  

 

 

  

Net Assets — 100.0%

 

      1,212,227,803  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement Blend 2025 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Abbreviations

 

EAFE

Europe, Australasia and Far East

ETF

Exchange-Traded Fund

REIT

Real Estate Investment Trust

TIPS

Treasury Inflation Protected Security

 

(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.

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

      197        12/2019      USD      29,323,450        (241,983 ) 

U.S. Treasury 10 Year Note

      244        12/2019      USD      31,796,250        (101,031 ) 
              

 

 

  
                 (343,014 ) 
              

 

 

  

Short Contracts

 

EURO STOXX 50 Index

      (151 )       12/2019      EUR      (5,846,807 )       (81,353 ) 

Russell 2000 E-Mini Index

      (111 )       12/2019      USD      (8,458,755 )       351,005  
              

 

 

  
                 269,652  
              

 

 

  
                 (73,362 ) 
              

 

 

  

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.

JPMorgan SmartRetirement Blend 2025 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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.

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)

    $ 1,218,632,493     $ 3,335,912     $ —        $ 1,221,968,405  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ 351,005     $ —       $ —        $ 351,005  
  

 

 

    

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ (343,014 )    $ (81,353 )    $ —        $ (424,367 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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)

   $ 25,778,765     $ 23,501,084     $ —       $ —       $ 2,612,810     $ 51,892,659       576,137     $ 240,733     $ —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     249,663,898       1,835,948       —         —         4,453,257       255,953,103       21,329,425       1,835,948       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     107,899,891       873,652       4,696,239       142,250       1,314,541       105,534,095       12,386,631       873,652       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     17,950,790       231,574       —         —         20,616       18,202,980       2,219,876       231,575       —    

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

     49,434,832       1,780,135       —         —         (1,573,099 )      49,641,868       3,062,422       —       —    

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

     16,108,392       2,362,950       —         —         77,702       18,549,044       2,248,369       184,949       —    

JPMorgan Equity Index Fund Class R6 Shares (a)

     232,637,396       35,066,231       1,695,617       (56,874 )      2,340,880       268,292,016       5,899,121       1,531,062       —    

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     6,315,063       80,491       —         —         (34,650 )      6,360,904       699,769       80,493       —    

JPMorgan High Yield Fund Class R6 Shares (a)

     69,779,539       978,318       9,676,784       (293,946 )      166,261       60,953,388       8,454,007       978,318       —    

JPMorgan Income Fund Class R6 Shares (a)

     7,900,549       102,465       —         —         74,776       8,077,790       837,945       102,012       —    

JPMorgan Managed Income Fund Class L Shares (a)

     21,009,871       8,609,459       20,088,162       45,981       (45,453 )      9,531,696       948,427       95,902       —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     4,338,395       —         4,509,175       784,402       (613,622 )      —         —         —         —    

JPMorgan Short Duration Core Plus Fund Class R6 Shares (a)

     13,995,106       47,050,645       —         —         31,498       61,077,249       6,362,213       229,823       —    

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

     26,034,471       105,956,754       104,081,294       —         —         27,909,931       27,909,931       120,767       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 848,846,958     $ 228,429,706     $ 144,747,271     $ 621,813     $ 8,825,517     $ 941,976,723       $ 6,505,234     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.