NPORT-EX 2 HG_SR2035.htm HTML

JPMorgan SmartRetirement 2035 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 95.8%

 

Alternative Assets — 3.1%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      13,818,356        171,900,350  
     

 

 

  

Fixed Income — 26.0%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      22,042,607        273,989,611  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      71,086,886        625,564,596  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

      17,802,566        191,733,638  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      3,101,114        24,126,668  

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

      3,057,469        23,664,810  

JPMorgan High Yield Fund Class R6 Shares (a)

      41,618,851        283,424,377  

JPMorgan Managed Income Fund Class L Shares (a)

      313,700        3,152,689  
     

 

 

  

Total Fixed Income

         1,425,656,389  
     

 

 

  

International Equity — 30.2%

      

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

      24,099,357        422,702,715  

JPMorgan International Advantage Fund Class R6 Shares (a)

      14,757,004        272,709,443  

JPMorgan International Focus Fund Class R6 Shares (a)

      21,719,525        500,852,242  

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

      27,671,248        462,109,843  
     

 

 

  

Total International Equity

         1,658,374,243  
     

 

 

  

U.S. Equity — 36.5%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      18,381,470        573,685,667  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      991,481        56,177,291  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      1,200,404        30,394,224  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,104,170        22,381,524  

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

      27,820,168        497,146,400  

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

      13,033,971        379,679,582  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      14,588,497        446,699,772  
     

 

 

  

Total U.S. Equity

         2,006,164,460  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $4,517,189,006)

         5,262,095,442  
  

 

 

  
      Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 1.3%

 

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

(Cost $71,019,710)

      70,738,800        71,285,921  
     

 

 

  
      Shares         

EXCHANGE-TRADED FUNDS — 0.8%

 

Alternative Assets — 0.8%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

(Cost $55,080,277)

      622,984        44,823,699  
     

 

 

  

SHORT-TERM INVESTMENTS — 1.7%

 

INVESTMENT COMPANIES — 1.7%

 

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

(Cost $92,727,624)

      92,727,624        92,727,624  
     

 

 

  

Total Investments — 99.6%

(Cost $4,736,016,617)

         5,470,932,686  

Other Assets Less Liabilities — 0.4%

 

      24,372,600  
  

 

 

  

Net Assets — 100.0%

 

      5,495,305,286  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement 2035 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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.
*    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.

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

      2,568       12/2020        EUR        95,805,299       (3,876,417 ) 

MSCI Emerging Markets E-Mini Index

      1,917       12/2020        USD        104,313,555       (901,144 ) 

Russell 2000 E-Mini Index

      1,114       12/2020        USD        83,845,210       885,766  

S&P 500 E-Mini Index

      943       12/2020        USD        157,928,925       1,226,796  

S&P Midcap 400 E-Mini Index

      557       12/2020        USD        103,340,210       345,589  

U.S. Treasury 10 Year Note

      1,454       12/2020        USD        202,833,000       467,212  
            

 

 

  
               (1,852,198 ) 
            

 

 

  

Short Contracts

             

DJ US Real Estate Index

      (1,250 )      12/2020        USD        (39,162,500 )      770,925  

Euro-Bund

      (877 )      12/2020        EUR        (179,417,364 )      (836,311 ) 

FTSE 100 Index

      (1,480 )      12/2020        GBP        (111,327,011 )      3,141,315  

MSCI EAFE E-Mini Index

      (10 )      12/2020        USD        (926,600 )      24,959  
            

 

 

  
               3,100,888  
            

 

 

  
               1,248,690  
            

 

 

  

 

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

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

JPMorgan SmartRetirement 2035 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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

    $ 44,823,699     $ —        $ —        $ 44,823,699  

Investment Companies

      5,262,095,442       —          —          5,262,095,442  

U.S. Treasury Obligations

      —         71,285,921        —          71,285,921  

Short-Term Investments

 

      

Investment Companies

      92,727,624       —          —          92,727,624  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 5,399,646,765     $ 71,285,921      $ —        $ 5,470,932,686  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 6,862,562     $ —        $ —        $ 6,862,562  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (5,613,872 )    $ —        $ —        $ (5,613,872 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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’s 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 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 MSCI US REIT ETF (a)

   $ 44,437,449     $ —       $ —       $ —       $ 386,250     $ 44,823,699       622,984     $ 345,825     $ —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     272,451,362       11,038,912       10,507,850       (94,239 )      1,101,426       273,989,611       22,042,607       1,670,314       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     659,266,487       28,790,531       68,564,602       1,446,993       4,625,187       625,564,596       71,086,886       4,375,606       —    

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     192,990,317       9,996,318       12,638,250       31,980       1,353,273       191,733,638       17,802,566       1,303,199       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     23,419,267       217,875       —         —         489,526       24,126,668       3,101,114       217,874       —    

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

     431,455,802       —         52,041,297       (410,267 )      43,698,477       422,702,715       24,099,357       —         —    

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

     23,167,989       195,860       —         —         300,961       23,664,810       3,057,469       195,860       —    

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

     519,890,643       —         21,962,704       3,577,026       72,180,702       573,685,667       18,381,470       —         —    

JPMorgan High Yield Fund Class R6 Shares (a)

     206,046,935       70,867,624       —         —         6,509,818       283,424,377       41,618,851       2,979,626       —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     269,369,637       —         9,774,814       (847,082 )      13,961,702       272,709,443       14,757,004       —         —    

JPMorgan International Focus Fund Class R6 Shares (a)

     490,383,287       —         32,760,614       2,901,841       40,327,728       500,852,242       21,719,525       —         —    

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

     466,890,548       —         19,906,273       (1,915,851 )      17,041,419       462,109,843       27,671,248       —         —    

JPMorgan Managed Income Fund Class L Shares (a)

     3,145,476       7,216       —         —         (3 )      3,152,689       313,700       7,216       —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     168,632,472       657,598       —         —         2,610,280       171,900,350       13,818,356       657,598       —    

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     53,411,060       —         —         —         2,766,231       56,177,291       991,481       —         —    

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     26,660,968       —         —         —         3,733,256       30,394,224       1,200,404       —         —    

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     21,924,491       72,168       —         —         384,865       22,381,524       1,104,170       72,168       —    

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

     504,930,056       1,301,070       56,676,738       9,228,539       38,363,473       497,146,400       27,820,168       1,301,070       —    

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

     89,152,834       360,098,896       356,524,106       —         —         92,727,624       92,727,624       25,030       —    

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

     386,179,966       2,104,821       43,598,336       12,370,014       22,623,117       379,679,582       13,033,971       2,104,821       —    

JPMorgan Value Advantage Fund Class R6 Shares(a)

     515,861,721       —         88,282,037       (12,761,597 )      31,881,685       446,699,772       14,588,497       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 5,369,668,767     $ 485,348,889     $ 773,237,621     $ 13,527,357     $ 304,339,373     $ 5,399,646,765       $ 15,256,207     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.

*

Non-income producing security.