NPORT-EX 2 HG_SR2055.htm HTML

JPMorgan SmartRetirement 2055 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 92.8%

 

Alternative Assets — 3.8%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      4,890,032        53,741,451  
     

 

 

  

Fixed Income — 9.1%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      1,795,055        21,612,466  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      7,659,521        64,722,952  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      782,406        5,249,946  

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

      1,014,259        6,998,389  

JPMorgan High Yield Fund Class R6 Shares (a)

      4,741,007        29,441,655  

JPMorgan Managed Income Fund Class L Shares (a)

      132,560        1,313,674  
     

 

 

  

Total Fixed Income

         129,339,082  
     

 

 

  

International Equity — 35.6%

      

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

      9,065,432        123,199,219  

JPMorgan International Advantage Fund Class R6 Shares (a)

      5,316,993        80,233,423  

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

      10,364,623        145,933,890  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

      8,619,648        154,636,486  
     

 

 

  

Total International Equity

         504,003,018  
     

 

 

  

U.S. Equity — 44.3%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      6,435,205        131,535,599  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      361,023        15,581,752  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      584,670        9,442,420  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      380,447        6,380,091  

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

      11,665,421        155,966,672  

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

      5,721,638        126,219,339  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      7,004,124        181,757,020  
     

 

 

  

Total U.S. Equity

         626,882,893  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $1,509,472,604)

         1,313,966,444  
  

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 1.9%

 

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

(Cost $26,590,627)

      26,362,000        26,889,240  
     

 

 

  
     Shares         

EXCHANGE-TRADED FUNDS — 1.2%

 

Alternative Assets — 1.2%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

(Cost $23,991,764)

      270,327        17,452,311  
     

 

 

  

SHORT-TERM INVESTMENTS — 4.3%

 

INVESTMENT COMPANIES — 4.3%

 

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

(Cost $60,793,693)

      60,793,693        60,793,693  
     

 

 

  

Total Investments — 100.2%

(Cost $1,620,848,688)

         1,419,101,688  

Liabilities in Excess of Other Assets — (0.2)%

 

      (2,169,018 ) 
  

 

 

  

Net Assets — 100.0%

 

      1,416,932,670  
  

 

 

  

 

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.

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.

JPMorgan SmartRetirement 2055 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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

      455        06/2020        CAD        47,624,174        (217,440 ) 

DJ US Real Estate Index

      209        06/2020        USD        5,734,960        26,911  

MSCI EAFE E-Mini Index

      84        06/2020        USD        6,569,640        689,428  

MSCI Emerging Markets E-Mini Index

      9        06/2020        USD        380,070        751  

S&P 500 E-Mini Index

      402        06/2020        USD        51,707,250        (1,570,858 ) 

S&P Midcap 400 E-Mini Index

      191        06/2020        USD        27,513,550        2,087,787  

U.S. Treasury 10 Year Note

      349        06/2020        USD        48,461,922        2,022,474  
              

 

 

  
                 3,039,053  
              

 

 

  

Short Contracts

 

EURO STOXX 50 Index

      (1,043 )       06/2020        EUR        (31,076,301 )       (3,311,908 ) 

Euro-Bund

      (210 )       06/2020        EUR        (39,954,869 )       529,307  

FTSE 100 Index

      (100 )       06/2020        GBP        (6,928,112 )       (576,211 ) 

Russell 2000 E-Mini Index

      (25 )       06/2020        USD        (1,437,125 )       (6,331 ) 
              

 

 

  
                 (3,365,143 ) 
              

 

 

  
                 (326,090 ) 
              

 

 

  

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.

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.

JPMorgan SmartRetirement 2055 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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)

    $ 1,392,212,448     $ 26,889,240     $ —        $ 1,419,101,688  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ 5,356,658     $ —       $ —        $ 5,356,658  
  

 

 

    

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ (1,794,629 )    $ (3,888,119 )    $ —        $ (5,682,748 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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)

   $ —       $ 23,991,765     $ —       $ —       $ (6,539,454 )    $ 17,452,311       270,327     $ 243,696     $ 22,180  

JPMorgan Core Bond Fund Class R6 Shares (a)

     46,709,376       2,435,006       28,417,452       1,188,659       (303,123 )      21,612,466       1,795,055       623,168       115,743  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     39,713,213       39,064,827       14,105,148       23,131       26,929       64,722,952       7,659,521       1,584,950       —    

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     50,924,415       —         49,886,951       1,659,430       (2,696,894 )      —         —         —         —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     8,431,012       259,410       2,332,458       63,070       (1,171,088 )      5,249,946       782,406       259,410       —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     60,811,142       —         60,019,993       16,685,560       (17,476,709 )      —         —         —         —    

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

     3,099,200       154,208,782       6,394,772       (88,157 )      (27,625,834 )      123,199,219       9,065,432       1,182,268       326,846  

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

     7,992,160       330,126       —         —         (1,323,897 )      6,998,389       1,014,259       330,126       —    

JPMorgan Growth Advantage Fund Class R6 Shares *(a)

     128,499,478       52,801,649       33,371,487       523,769       (16,917,810 )      131,535,599       6,435,205       —         13,455,558  

JPMorgan High Yield Fund Class R6 Shares (a)

     56,763,508       4,482,353       26,947,922       (39,156 )      (4,817,128 )      29,441,655       4,741,007       1,613,323       —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     152,371,668       23,786,151       66,561,698       (7,795,865 )      (21,566,833 )      80,233,423       5,316,993       5,393,900       —    

JPMorgan International Equity Fund Class R6 Shares (a)

     161,841,935       52,500       158,863,186       10,286,245       (13,317,494 )      —         —         —         52,500  

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

     139,880,120       43,792,365       —         —         (37,738,595 )      145,933,890       10,364,623       5,068,380       —    

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     —         194,638,232       14,564,992       (20,434 )      (25,416,320 )      154,636,486       8,619,648       754,100       —    

JPMorgan Intrepid America Fund Class R6 Shares (a)

     84,963,123       —         85,712,313       3,420,079       (2,670,889 )      —         —         —         —    

JPMorgan Managed Income Fund Class L Shares (a)

     68,438,108       77,278,623       144,378,218       256,843       (281,682 )      1,313,674       132,560       907,067       21,218  

JPMorgan Mid Cap Equity Fund Class R6 Shares (a)

     64,042,685       4,109,197       63,454,822       2,407,867       (7,104,927 )      —         —         —         4,109,197  

JPMorgan Realty Income Fund Class R6 Shares (a)

     95,933,632       10,792,206       37,923,212       4,339,351       (19,400,526 )      53,741,451       4,890,032       1,092,521       4,125,668  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     16,773,659       4,529,111       —         —         (5,721,018 )      15,581,752       361,023       115,653       682,559  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     16,956,542       621,578       5,865,166       834,925       (3,105,459 )      9,442,420       584,670       26,444       595,134  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     14,156,599       570,849       5,150,822       (1,048,144 )      (2,148,391 )      6,380,091       380,447       91,934       478,915  

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

     173,411,385       33,530,887       21,030,325       (599,760 )      (29,345,515 )      155,966,672       11,665,421       1,547,509       15,559,657  

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

     95,816,076       503,119,571       538,141,954       —         —         60,793,693       60,793,693       547,513       —    

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

     185,754,911       23,984,305       52,274,729       (602,078 )      (30,643,070 )      126,219,339       5,721,638       1,732,429       15,602,923  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     128,846,267       128,561,125       5,993,978       55,643       (69,712,037 )      181,757,020       7,004,124       3,878,135       5,540,404  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 1,802,130,214     $ 1,326,940,618     $ 1,421,391,598     $ 31,550,978     $ (347,017,764 )    $ 1,392,212,448       $ 26,992,526     $ 60,688,502  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.