NPORT-EX 2 HG_SR2045.htm HTML

JPMorgan SmartRetirement 2045 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 98.5%

 

Alternative Assets — 5.4%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      13,574,853        211,088,962  
     

 

 

  

Fixed Income — 10.4%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      6,894,949        82,739,394  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      18,025,690        153,578,877  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      1,864,797        15,291,337  

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

      2,626,395        21,667,758  

JPMorgan High Yield Fund Class R6 Shares (a)

      16,521,305        119,118,606  

JPMorgan Managed Income Fund Class L Shares (a)

      1,184,391        11,903,128  
     

 

 

  

Total Fixed Income

         404,299,100  
     

 

 

  

International Equity — 32.0%

      

JPMorgan Emerging Economies Fund Class R6 Shares (a)

      10,099,486        124,930,643  

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

      5,835,918        94,600,232  

JPMorgan International Advantage Fund Class R6 Shares (a)

      16,919,365        336,356,979  

JPMorgan International Equity Fund Class R6 Shares (a)

      12,262,143        208,946,912  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

      20,879,355        367,267,861  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

      5,519,843        114,867,943  
     

 

 

  

Total International Equity

         1,246,970,570  
     

 

 

  

U.S. Equity — 50.7%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      17,616,436        401,478,568  

JPMorgan Intrepid America Fund Class R6 Shares (a)

      2,651,709        99,014,826  

JPMorgan Mid Cap Equity Fund Class R6 Shares (a)

      3,095,736        158,346,893  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      737,314        43,118,123  

JPMorgan Small Cap Growth Fund Class R6 Shares * (a)

      1,368,711        26,224,507  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,356,496        34,292,217  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

      24,446,443        392,365,405  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

      14,201,594        395,514,397  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      11,744,927        424,344,218  
     

 

 

  

Total U.S. Equity

         1,974,699,154  
     

 

 

  
TOTAL INVESTMENT COMPANIES
(Cost $3,323,172,914)

 

      3,837,057,786  
  

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 0.3%

 

U.S. Treasury Notes 2.00%, 1/31/2020 (b)

(Cost $13,678,211)

      13,703,000        13,706,747  
     

 

 

  
     Shares         

SHORT-TERM INVESTMENTS — 2.4%

 

INVESTMENT COMPANIES — 2.4%

 

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

(Cost $92,294,115)

      92,294,115        92,294,115  
     

 

 

  
Total Investments — 101.2%
(Cost $3,429,145,240)

 

      3,943,058,648  

Liabilities in Excess of Other Assets — (1.2)%

 

      (47,786,460 ) 
  

 

 

  

Net Assets — 100.0%

 

      3,895,272,188  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement 2045 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

(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.

*

Non-income producing security.

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

 

DJ US Real Estate Index

      1,102        12/2019      USD      40,586,660        357,041  

MSCI Emerging Markets E-Mini Index

      1,128        12/2019      USD      56,490,240        (1,275,525 ) 

S&P 500 E-Mini Index

      769        12/2019      USD      114,465,650        (341,121 ) 
              

 

 

  
                 (1,259,605 ) 
              

 

 

  

Short Contracts

 

EURO STOXX 50 Index

      (1,057 )       12/2019      EUR      (40,927,652 )       (569,450 ) 

MSCI EAFE E-Mini Index

      (52 )       12/2019      USD      (4,934,540 )       23,032  

Russell 2000 E-Mini Index

      (1,348 )       12/2019      USD      (102,724,340 )       1,395,950  
              

 

 

  
                 849,532  
              

 

 

  
                 (410,073 ) 
              

 

 

  

Abbreviations

 

EAFE

Europe, Australasia, and Far East

EUR

Euro

MSCI

Morgan Stanley Capital International

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.

JPMorgan SmartRetirement 2045 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Equities 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, including J.P. Morgan Funds (“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)

    $ 3,929,351,901     $ 13,706,747     $ —        $ 3,943,058,648  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ 1,776,023     $ —       $ —        $ 1,776,023  
  

 

 

    

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ (1,616,646 )    $ (569,450 )    $ —        $ (2,186,096 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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 Core Bond Fund Class R6 Shares (a)

   $ 109,947,170     $ 663,615     $ 29,701,820     $ 1,048,626     $ 781,803     $ 82,739,394       6,894,949     $ 663,615     $ —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     103,418,539       48,862,959       —         —         1,297,379       153,578,877       18,025,690       1,104,666       —    

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     139,550,638       —         9,520,721       (63,380 )      (5,035,894 )      124,930,643       10,099,486       —         —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     21,956,050       252,782       7,010,444       156,083       (63,134 )      15,291,337       1,864,797       252,782       —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     158,475,215       —         156,922,359       50,700,629       (52,253,485 )      —         —         —         —    

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

     7,581,687       87,876,348       —         —         (857,803 )      94,600,232       5,835,918       —         —    

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

     21,320,128       244,788       —         —         102,842       21,667,758       2,626,395       244,788       —    

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

     318,996,839       88,759,624       —         —         (6,277,895 )      401,478,568       17,616,436       —         —    

JPMorgan High Yield Fund Class R6 Shares (a)

     137,170,883       1,821,831       19,396,387       (176,686 )      (301,035 )      119,118,606       16,521,305       1,821,832       —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     386,984,095       —         43,224,147       (7,364,173 )      (38,796 )      336,356,979       16,919,365       —         —    

JPMorgan International Equity Fund Class R6 Shares (a)

     410,938,960       —         196,065,249       4,192,033       (10,118,832 )      208,946,912       12,262,143       —         —    

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     364,447,500       5,516,119       —         —         (2,695,758 )      367,267,861       20,879,355       —         —    

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     —         115,396,209       —         —         (528,266 )      114,867,943       5,519,843       —         —    

JPMorgan Intrepid America Fund Class R6 Shares (a)

     205,800,661       —         107,335,832       6,493,232       (5,943,235 )      99,014,826       2,651,709       —         —    

JPMorgan Managed Income Fund Class L Shares (a)

     171,393,895       774,533       160,265,672       544,138       (543,766 )      11,903,128       1,184,391       757,758       —    

JPMorgan Mid Cap Equity Fund Class R6 Shares (a)

     159,151,784       —         —         —         (804,891 )      158,346,893       3,095,736       —         —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     239,714,374       1,018,210       45,300,540       5,112,423       10,544,495       211,088,962       13,574,853       1,018,211       —    

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     43,132,869       —         —         —         (14,746 )      43,118,123       737,314       —         —    

JPMorgan Small Cap Growth Fund Class R6 Shares * (a)

     43,057,599       —         15,649,166       3,448,116       (4,632,042 )      26,224,507       1,368,711       —         —    

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     38,252,743       107,733       3,960,586       (432,025 )      324,352       34,292,217       1,356,496       107,734       —    

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     410,871,324       1,100,423       21,078,478       (160,604 )      1,632,740       392,365,405       24,446,443       1,100,423       —    

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

     98,139,720       292,858,084       298,703,689       —         —         92,294,115       92,294,115       359,552       —    

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     472,671,988       1,619,421       82,258,117       11,493,248       (8,012,143 )      395,514,397       14,201,594       1,619,420       —    

JPMorgan Value Advantage Fund Class R6 Shares (a)

     300,039,946       120,934,966       —         —         3,369,306       424,344,218       11,744,927       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 4,363,014,607     $ 767,807,645     $ 1,196,393,207     $ 74,991,660     $ (80,068,804 )    $ 3,929,351,901       $ 9,050,781     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.

*

Non-income producing security.