NPORT-EX 2 HG_SRB2050.htm HTML

JPMorgan SmartRetirement Blend 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 56.9%

      

Fixed Income — 10.0%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      889,931        11,061,848  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      2,514,316        22,125,980  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

      702,303        7,563,803  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      181,461        1,411,768  

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

      170,296        1,318,090  

JPMorgan High Yield Fund Class R6 Shares (a)

      3,555,130        24,210,438  

JPMorgan Managed Income Fund Class L Shares (a)

      691,863        6,953,221  
     

 

 

  

Total Fixed Income

         74,645,148  
     

 

 

  

International Equity — 9.3%

      

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

      3,934,965        69,019,290  
     

 

 

  

U.S. Equity — 37.6%

      

JPMorgan Equity Index Fund Class R6 Shares (a)

      5,498,738        280,930,542  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $371,749,987)

         424,594,980  
     

 

 

  

EXCHANGE-TRADED FUNDS — 37.9%

      

Alternative Assets — 4.6%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      476,738        34,301,299  
     

 

 

  

Fixed Income — 0.4%

      

JPMorgan U.S. Aggregate Bond ETF (a)

      97,124        2,714,616  
     

 

 

  

International Equity — 25.6%

      

JPMorgan BetaBuilders International Equity ETF (a)

      3,972,182        191,538,616  
     

 

 

  

U.S. Equity — 7.3%

      

iShares Russell 2000 ETF

      138,828        20,795,046  

iShares Russell Mid-Cap ETF

      592,801        34,014,922  
     

 

 

  

Total U.S. Equity

         54,809,968  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $277,760,392)

         283,364,499  
     

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 1.2%

      

U.S. Treasury Notes 2.50%, 1/31/2021 (b)
(Cost $8,845,980)

      8,806,000        8,874,109  
     

 

 

  
     Shares         

SHORT-TERM INVESTMENTS — 4.6%

      

INVESTMENT COMPANIES — 4.6%

      

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

(Cost $34,518,248)

      34,518,248        34,518,248  
     

 

 

  

Total Investments — 100.6%

(Cost $692,874,607)

         751,351,836  

Liabilities in Excess of Other Assets — (0.6)%

         (4,808,078 ) 
     

 

 

  

Net Assets — 100.0%

         746,543,758  
     

 

 

  

 

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 2050 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

 

EURO STOXX 50 Index

      133       12/2020      EUR      4,961,879       (200,766 ) 

MSCI EAFE E-Mini Index

      115       12/2020      USD      10,655,900       (289,631 ) 

MSCI Emerging Markets E-Mini Index

      171       12/2020      USD      9,304,965       (82,223 ) 

Russell 2000 E-Mini Index

      183       12/2020      USD      13,773,495       145,508  

S&P 500 E-Mini Index

      144       12/2020      USD      24,116,400       187,338  

S&P Midcap 400 E-Mini Index

      42       12/2020      USD      7,792,260       26,060  

U.S. Treasury 10 Year Note

      155       12/2020      USD      21,622,500       53,760  
            

 

 

  
               (159,954 ) 
            

 

 

  

Short Contracts

             

Euro-Bund

      (86 )      12/2020      EUR      (17,593,949 )      (82,010 ) 

FTSE 100 Index

      (81 )      12/2020      GBP      (6,092,897 )      171,922  
            

 

 

  
               89,912  
            

 

 

  
               (70,042 ) 
            

 

 

  

 

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 2050 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

   $ 283,364,499     $ —       $ —       $ 283,364,499  

Investment Companies

     424,594,980       —         —         424,594,980  

U.S. Treasury Obligations

     —         8,874,109       —         8,874,109  

Short-Term Investments

        

Investment Companies

     34,518,248       —         —         34,518,248  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

   $ 742,477,727     $ 8,874,109     $ —       $ 751,351,836  
 

 

 

    

 

 

    

 

 

    

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts

   $ 584,588     $ —       $ —       $ 584,588  
 

 

 

    

 

 

    

 

 

    

 

 

  

Depreciation in Other Financial Instruments

        

Futures Contracts

   $ (654,630 )    $ —       $ —       $ (654,630 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

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)

   $ 168,518,821     $ 15,692,749     $ —       $ —       $ 7,327,046     $ 191,538,616       3,972,182     $ 962,748     $ —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

     30,349,132       3,814,168       —         —         137,999       34,301,299       476,738       264,642       —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     9,716,120       1,310,614       —         —         35,114       11,061,848       889,931       63,119       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     22,894,948       150,152       1,131,592       26,167       186,305       22,125,980       2,514,316       150,152       —    

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     6,241,907       1,285,809       —         —         36,087       7,563,803       702,303       46,382       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     1,370,374       12,749       —         —         28,645       1,411,768       181,461       12,749       —    

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

     59,816,959       3,359,951       —         —         5,842,380       69,019,290       3,934,965       —         —    

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

     1,290,418       10,909       —         —         16,763       1,318,090       170,296       10,909       —    

JPMorgan Equity Index Fund Class R6 Shares (a)

     248,886,321       11,828,926       —         —         20,215,295       280,930,542       5,498,738       1,789,083       —    

JPMorgan High Yield Fund Class R6 Shares (a)

     14,016,831       9,796,651       —         —         396,956       24,210,438       3,555,130       229,017       —    

JPMorgan Managed Income Fund Class L Shares (a)

     346,572       6,606,653       —         —         (4 )      6,953,221       691,863       13,400       —    

JPMorgan U.S. Aggregate Bond ETF (a)

     2,717,529       —         —         —         (2,913 )      2,714,616       97,124       11,352       —    

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

     27,278,350       75,755,914       68,516,016       —         —         34,518,248       34,518,248       5,993       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 593,444,282     $ 129,625,245     $ 69,647,608     $ 26,167     $ 34,219,673     $ 687,667,759       $ 3,559,546     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.