NPORT-EX 2 HG_SRB2060.htm HTML

JPMorgan SmartRetirement Blend 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

   Shares      Value ($)  

INVESTMENT COMPANIES — 56.0%

 

Fixed Income — 9.7%

     

JPMorgan Core Bond Fund Class R6 Shares (a)

     121,279        1,507,499  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     275,531        2,424,675  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     85,676        922,733  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     20,667        160,787  

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

     19,416        150,279  

JPMorgan High Yield Fund Class R6 Shares (a)

     429,480        2,924,761  

JPMorgan Managed Income Fund Class L Shares (a)

     78,666        790,594  
     

 

 

 

Total Fixed Income

        8,881,328  
     

 

 

 

International Equity — 9.2%

     

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

     484,125        8,491,551  
     

 

 

 

U.S. Equity — 37.1%

     

JPMorgan Equity Index Fund Class R6 Shares (a)

     667,284        34,091,562  
     

 

 

 
TOTAL INVESTMENT COMPANIES
(Cost $46,148,651)

 

     51,464,441  
     

 

 

 

EXCHANGE-TRADED FUNDS — 38.9%

     

Alternative Assets — 4.5%

     

JPMorgan BetaBuilders MSCI US REIT ETF (a)

     57,954        4,169,790  
     

 

 

 

Fixed Income — 0.4%

     

JPMorgan U.S. Aggregate Bond ETF (a)

     13,370        373,692  
     

 

 

 

International Equity — 26.3%

     

JPMorgan BetaBuilders International Equity ETF (a)

     501,999        24,206,392  
     

 

 

 

U.S. Equity — 7.7%

     

iShares Russell 2000 ETF

     17,257        2,584,926  

iShares Russell Mid-Cap ETF

     78,058        4,478,968  
     

 

 

 

Total U.S. Equity

        7,063,894  
     

 

 

 
TOTAL EXCHANGE-TRADED FUNDS
(Cost $35,492,647)

 

     35,813,768  
     

 

 

 
      Principal
Amount ($)
        

U.S. TREASURY OBLIGATIONS — 1.2%

     

U.S. Treasury Notes 2.50%, 1/31/2021 (b)
(Cost $1,075,297)

     1,071,000        1,079,283  
     

 

 

 
      Shares         

SHORT-TERM INVESTMENTS — 4.3%

     

INVESTMENT COMPANIES — 4.3%

     

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.06% (a) (c)
(Cost $3,959,376)

     3,959,376        3,959,376  
     

 

 

 
Total Investments — 100.4%
(Cost $86,675,971)

 

     92,316,868  

Liabilities in Excess of Other Assets — (0.4)%

 

     (398,628
     

 

 

 

Net Assets — 100.0%

 

     91,918,240  
     

 

 

 

 

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 September 30, 2020.

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 Blend 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

Futures contracts outstanding as of September 30, 2020:

 

Description

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

Long Contracts

 

DJ US Real Estate Index

     1       12/2020        USD        31,330       (631

EURO STOXX 50 Index

     16       12/2020        EUR        596,918       (24,154

MSCI EAFE E-Mini Index

     7       12/2020        USD        648,620       (17,626

MSCI Emerging Markets E-Mini Index

     20       12/2020        USD        1,088,300       (9,616

Russell 2000 E-Mini Index

     21       12/2020        USD        1,580,565       16,697  

S&P 500 E-Mini Index

     20       12/2020        USD        3,349,500       26,019  

S&P Midcap 400 E-Mini Index

     4       12/2020        USD        742,120       2,482  

U.S. Treasury 10 Year Note

     19       12/2020        USD        2,650,500       6,413  
            

 

 

 
               (416
            

 

 

 

Short Contracts

            

Euro-Bund

     (10     12/2020        EUR        (2,045,808     (9,536

FTSE 100 Index

     (9     12/2020        GBP        (676,989     19,104  
            

 

 

 
               9,568  
            

 

 

 
               9,152  
            

 

 

 

 

Abbreviations
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


JPMorgan SmartRetirement Blend 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

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.

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:

 

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

Investments in Securities

 

  

Exchange-Traded Funds

   $ 35,813,768     $ —        $             —        $ 35,813,768  

Investment Companies

     51,464,441       —          —          51,464,441  

U.S. Treasury Obligations

     —         1,079,283        —          1,079,283  

Short-Term Investments

          

Investment Companies

     3,959,376       —          —          3,959,376  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 91,237,585     $ 1,079,283      $ —        $ 92,316,868  
  

 

 

   

 

 

    

 

 

    

 

 

 

Appreciation in Other Financial Instruments

          

Futures Contracts

   $ 70,715     $ —        $ —        $ 70,715  
  

 

 

   

 

 

    

 

 

    

 

 

 

Depreciation in Other Financial Instruments

          

Futures Contracts

   $ (61,563   $ —        $ —        $ (61,563
  

 

 

   

 

 

    

 

 

    

 

 

 

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

 

For the period ended September 30, 2020

 

Security Description

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

JPMorgan BetaBuilders International Equity ETF (a)

  $ 19,869,998     $ 3,450,166     $ —       $ —       $ 886,228     $ 24,206,392       501,999     $ 120,903     $ —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

    3,622,637       534,375       —         —         12,778       4,169,790       57,954       32,171       —    

JPMorgan Core Bond Fund Class R6 Shares (a)

    1,127,249       379,259       —         —         991       1,507,499       121,279       8,192       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

    2,655,988       17,126       273,411       6,472       18,500       2,424,675       275,531       17,126       —    

JPMorgan Corporate Bond Fund Class R6 Shares (a)

    699,261       219,466       —         —         4,006       922,733       85,676       5,088       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

    156,073       1,451       —         —         3,263       160,787       20,667       1,452       —    

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

    6,451,117       1,573,410       177,017       (8,228     652,269       8,491,551       484,125       —         —    

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

    147,123       1,245       —         —         1,911       150,279       19,416       1,244       —    

JPMorgan Equity Index Fund Class R6 Shares (a)

    29,322,464       2,767,219       432,385       8,427       2,425,837       34,091,562       667,284       215,787       —    

JPMorgan High Yield Fund Class R6 Shares (a)

    1,645,122       1,232,363       —         —         47,276       2,924,761       429,480       27,124       —    

JPMorgan Managed Income Fund Class L Shares (a)

    —         790,594       —         —         —         790,594       78,666       1,509       —    

JPMorgan U.S. Aggregate Bond ETF (a)

    374,093       —         —         —         (401     373,692       13,370       1,563       —    

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.06% (a) (b)

    3,293,083       9,354,437       8,688,144       —         —         3,959,376       3,959,376       748       —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

Total

  $ 69,364,208     $ 20,321,111     $ 9,570,957     $ 6,671     $ 4,052,658     $ 84,173,691       $ 432,907     $ —    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

(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, 2020.