NPORT-EX 2 HG_SR2040.htm HTML

JPMorgan SmartRetirement 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 93.8%

 

Alternative Assets — 3.6%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      15,214,940        167,212,188  
     

 

 

  

Fixed Income — 16.3%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      11,756,062        141,542,988  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      50,273,790        424,813,527  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      4,295,226        28,820,969  

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

      5,270,789        36,368,441  

JPMorgan High Yield Fund Class R6 Shares (a)

      20,177,536        125,302,497  

JPMorgan Managed Income Fund Class L Shares (a)

      303,589        3,008,571  
     

 

 

  

Total Fixed Income

         759,856,993  
     

 

 

  

International Equity — 33.1%

      

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

      27,821,374        378,092,476  

JPMorgan International Advantage Fund Class R6 Shares (a)

      16,559,182        249,878,050  

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

      31,072,234        437,497,054  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

      26,375,017        473,167,810  
     

 

 

  

Total International Equity

         1,538,635,390  
     

 

 

  

U.S. Equity — 40.8%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      19,737,070        403,425,708  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      1,086,547        46,895,369  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      1,389,747        22,444,418  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,385,325        23,231,894  

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

      35,220,748        470,901,401  

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

      16,967,339        374,299,510  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      21,411,815        555,636,591  
     

 

 

  

Total U.S. Equity

         1,896,834,891  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $4,585,133,187)

         4,362,539,462  
  

 

 

  
      Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 1.9%

 

U.S. Treasury Notes 2.50%, 1/31/2021 (b)

(Cost $86,437,753)

      85,693,000        87,406,860  
     

 

 

  
      Shares         

EXCHANGE-TRADED FUNDS — 1.1%

 

Alternative Assets — 1.1%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

(Cost $72,561,460)

      819,844        52,929,129  
     

 

 

  

SHORT-TERM INVESTMENTS — 2.7%

 

INVESTMENT COMPANIES — 2.7%

 

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.35% (a) (c)

(Cost $124,047,742)

      124,047,742        124,047,742  
     

 

 

  

Total Investments — 99.5%

(Cost $4,868,180,142)

         4,626,923,193  

Other Assets Less Liabilities — 0.5%

 

      21,829,961  
  

 

 

  

Net Assets — 100.0%

 

      4,648,753,154  
  

 

 

  

 

 

Percentages indicated are based on net assets.

 

Abbreviations
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 March 31, 2020.

*

Non-income producing security.

JPMorgan SmartRetirement 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited) (continued)

 

Detailed information about investment portfolios of the underlying funds and ETFs 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 the 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 March 31, 2020:

 

Description

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

Long Contracts

 

Canada 10 Year Bond

      1,519       06/2020        CAD        158,991,473       (723,879 ) 

DJ US Real Estate Index

      484       06/2020        USD        13,280,960       62,318  

MSCI EAFE E-Mini Index

      133       06/2020        USD        10,401,930       32,376  

S&P 500 E-Mini Index

      1,215       06/2020        USD        156,279,375       (5,212,724 ) 

S&P Midcap 400 E-Mini Index

      634       06/2020        USD        91,327,700       6,909,418  

U.S. Treasury 10 Year Note

      1,118       06/2020        USD        155,244,781       6,598,462  
            

 

 

  
               7,665,971  
            

 

 

  

Short Contracts

 

EURO STOXX 50 Index

      (3,431 )      06/2020        EUR        (102,227,026 )      (10,892,131 ) 

Euro-Bund

      (704 )      06/2020        EUR        (133,943,941 )      1,773,977  

FTSE 100 Index

      (333 )      06/2020        GBP        (23,070,614 )      (1,918,777 ) 

MSCI Emerging Markets E-Mini Index

      (169 )      06/2020        USD        (7,136,870 )      (606,845 ) 

Russell 2000 E-Mini Index

      (309 )      06/2020        USD        (17,762,865 )      (76,802 ) 
            

 

 

  
               (11,720,578 ) 
            

 

 

  
               (4,054,607 ) 
            

 

 

  

 

Abbreviations
CAD    Canadian Dollar
EAFE    Europe, Australasia, and Far East
EUR    Euro
FTSE    Financial Times and the London Stock Exchange
GBP    British Pound
MSCI    Morgan Stanley Capital International
USD    United States Dollar

A. Valuation of Investments — Investments are valued 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 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited) (continued)

 

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 foreign 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)

    $ 4,539,516,333     $ 87,406,860     $ —        $ 4,626,923,193  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ 15,376,551     $ —       $ —        $ 15,376,551  
  

 

 

    

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ (6,620,250 )    $ (12,810,908 )    $ —        $ (19,431,158 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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.

B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds and an ETF 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’ and ETF distributions may be reinvested into the Underlying Funds and ETF. Reinvestment amounts are included in the purchase cost amounts in the table below.

 

For the period ended March 31, 2020

  

Security Description

   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
March 31,
2020		     Shares at
March 31,
2020		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan BetaBuilders MSCI US REIT ETF (a)

   $ —       $ 72,561,460     $ —       $ —       $ (19,632,331 )    $ 52,929,129       819,844     $ 781,284     $ 73,614  

JPMorgan Core Bond Fund Class R6 Shares (a)

     287,412,519       30,962,609       182,649,145       6,184,378       (367,373 )      141,542,988       11,756,062       4,142,835       710,820  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     287,067,194       247,092,544       110,369,203       271,237       751,755       424,813,527       50,273,790       10,103,173       —    

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     185,100,474       —         180,863,473       22,679,334       (26,916,335 )      —         —         —         —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     42,583,527       1,318,602       8,860,958       212,381       (6,432,583 )      28,820,969       4,295,226       1,318,602       —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     211,824,704       —         209,055,240       70,816,035       (73,585,499 )      —         —         —         —    

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

     10,063,421       466,448,153       12,632,615       (1,126,960 )      (84,659,523 )      378,092,476       27,821,374       2,976,723       822,936  

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

     41,532,758       1,715,562       —         —         (6,879,879 )      36,368,441       5,270,789       1,715,562       —    

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

     418,751,115       139,284,443       106,566,869       4,851,030       (52,894,011 )      403,425,708       19,737,070       —         43,012,878  

JPMorgan High Yield Fund Class R6 Shares (a)

     228,905,304       23,071,740       105,948,873       (343,529 )      (20,382,145 )      125,302,497       20,177,536       6,969,246       —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     522,946,511       52,578,405       235,094,234       (15,454,922 )      (75,097,710 )      249,878,050       16,559,182       17,409,802       —    

JPMorgan International Equity Fund Class R6 Shares (a)

     550,331,481       245,537       539,554,004       71,647,098       (82,670,112 )      —         —         —         245,537  

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

     507,247,125       50,680,707       6,128,491       (411,099 )      (113,891,188 )      437,497,054       31,072,234       16,956,645       —    

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     —         590,366,679       43,285,410       1,192,579       (75,106,038 )      473,167,810       26,375,017       2,433,157       —    

JPMorgan Intrepid America Fund Class R6 Shares (a)

     227,908,643       —         232,259,531       67,118,025       (62,767,137 )      —         —         —         —    

JPMorgan Managed Income Fund Class L Shares (a)

     172,024,459       29,491,193       198,465,048       619,327       (661,360 )      3,008,571       303,589       818,691       21,192  

JPMorgan Mid Cap Equity Fund Class R6 Shares (a)

     209,498,955       13,021,172       207,738,202       31,463,979       (46,245,904 )      —         —         —         13,021,172  

JPMorgan Realty Income Fund Class R6 Shares (a)

     319,756,201       20,931,218       127,134,534       18,132,389       (64,473,086 )      167,212,188       15,214,940       3,623,767       13,717,244  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     54,310,411       26,590,436       17,912,026       516,606       (16,610,058 )      46,895,369       1,086,547       418,637       2,470,708  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     56,492,148       1,477,478       30,782,542       9,944,382       (14,687,048 )      22,444,418       1,389,747       62,858       1,414,620  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     55,011,995       2,082,354       21,488,068       (1,536,966 )      (10,837,421 )      23,231,894       1,385,325       338,475       1,743,879  

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

     562,508,736       96,118,264       95,396,043       (211,903 )      (92,117,653 )      470,901,401       35,220,748       4,962,180       50,442,062  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.35% (a) (b)

     102,799,468       1,512,766,511       1,491,518,237       —         —         124,047,742       124,047,742       2,052,064       —    

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

     651,229,327       64,923,591       245,793,452       31,642,938       (127,702,894 )      374,299,510       16,967,339       5,501,372       50,630,089  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     407,814,060       381,606,677       22,223,845       377,003       (211,937,304 )      555,636,591       21,411,815       12,642,929       18,062,014  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 6,113,120,536     $ 3,825,335,335     $ 4,431,720,043     $ 318,583,342     $ (1,285,802,837 )    $ 4,539,516,333       $ 95,228,002     $ 196,388,765  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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 March 31, 2020.

*

Non-income producing security.