NPORT-EX 2 HG_SR2050.htm HTML

JPMorgan SmartRetirement 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 95.5%

      

Alternative Assets — 3.8%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      10,849,703        134,970,309  
     

 

 

  

Fixed Income — 9.9%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      4,243,551        52,747,345  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      12,536,849        110,324,272  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

      3,225,505        34,738,684  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      987,548        7,683,122  

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

      927,113        7,175,854  

JPMorgan High Yield Fund Class R6 Shares (a)

      19,630,919        133,686,562  

JPMorgan Managed Income Fund Class L Shares (a)

      279,810        2,812,089  
     

 

 

  

Total Fixed Income

         349,167,928  
     

 

 

  

International Equity — 36.7%

      

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

      19,209,548        336,935,468  

JPMorgan International Advantage Fund Class R6 Shares (a)

      11,116,919        205,440,657  

JPMorgan International Focus Fund Class R6 Shares (a)

      16,735,065        385,910,595  

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

      22,122,962        369,453,458  
     

 

 

  

Total International Equity

         1,297,740,178  
     

 

 

  

U.S. Equity — 45.1%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      14,424,101        450,176,186  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      643,080        36,436,922  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      837,259        21,199,395  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,104,075        22,379,591  

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

      21,436,288        383,066,462  

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

      11,096,912        323,253,038  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      11,729,586        359,159,932  
     

 

 

  

Total U.S. Equity

         1,595,671,526  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $2,920,148,295)

         3,377,549,941  
     

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 1.3%

      

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

(Cost $46,715,398)

      46,516,200        46,875,974  
     

 

 

  
     Shares         

EXCHANGE-TRADED FUNDS — 0.8%

      

Alternative Assets — 0.8%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

(Cost $33,573,171)

      379,737        27,322,077  
     

 

 

  

SHORT-TERM INVESTMENTS — 2.7%

      

INVESTMENT COMPANIES — 2.7%

      

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

(Cost $96,489,866)

      96,489,866        96,489,866  
     

 

 

  

Total Investments — 100.3%

(Cost $3,096,926,730)

         3,548,237,858  

Liabilities in Excess of Other Assets — (0.3)%

         (11,108,872 ) 
     

 

 

  

Net Assets — 100.0%

         3,537,128,986  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement 2050 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

      1,637        12/2020        EUR        61,072,147        (2,471,067 ) 

MSCI Emerging Markets E-Mini Index

      1,136        12/2020        USD        61,815,440        (546,233 ) 

Russell 2000 E-Mini Index

      714        12/2020        USD        53,739,210        567,718  

S&P 500 E-Mini Index

      628        12/2020        USD        105,174,300        816,998  

S&P Midcap 400 E-Mini Index

      455        12/2020        USD        84,416,150        282,301  

U.S. Treasury 10 Year Note

      982        12/2020        USD        136,989,000        297,226  
              

 

 

  
                 (1,053,057 ) 
              

 

 

  

Short Contracts

 

DJ US Real Estate Index

      (538 )       12/2020        USD        (16,855,540 )       331,802  

Euro-Bund

      (554 )       12/2020        EUR        (113,337,764 )       (528,297 ) 

FTSE 100 Index

      (937 )       12/2020        GBP        (70,482,033 )       1,988,788  
              

 

 

  
                 1,792,293  
              

 

 

  
                 739,236  
              

 

 

  

 

Abbreviations
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 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 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.

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

    $ 27,322,077     $ —        $ —        $ 27,322,077  

Investment Companies

      3,377,549,941       —          —          3,377,549,941  

U.S. Treasury Obligations

      —         46,875,974        —          46,875,974  

Short-Term Investments

 

      

Investment Companies

      96,489,866       —          —          96,489,866  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 3,501,361,884     $ 46,875,974      $ —        $ 3,548,237,858  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 4,284,833     $ —        $ —        $ 4,284,833  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (3,545,597 )    $ —        $ —        $ (3,545,597 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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)

   $ 39,127,073     $ —       $ 12,213,416     $ (2,785,179 )    $ 3,193,599     $ 27,322,077       379,737     $ 252,425     $ —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     52,223,876       313,245       —         —         210,224       52,747,345       4,243,551       313,245       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     134,848,460       843,153       26,664,126       874,661       422,124       110,324,272       12,536,849       843,153       —    

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     34,256,020       228,231       —         —         254,433       34,738,684       3,225,505       228,230       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     7,457,851       69,381       —         —         155,890       7,683,122       987,548       69,382       —    

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

     306,776,478       —         —         —         30,158,990       336,935,468       19,209,548       —         —    

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

     7,025,204       59,390       —         —         91,260       7,175,854       927,113       59,391       —    

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

     397,920,752       10,940,798       16,725,608       2,947,926       55,092,318       450,176,186       14,424,101       —         —    

JPMorgan High Yield Fund Class R6 Shares (a)

     83,822,641       47,173,105       —         —         2,690,816       133,686,562       19,630,919       1,348,493       —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     192,401,606       13,431,503       9,882,031       (1,099,348 )      10,588,927       205,440,657       11,116,919       —         —    

JPMorgan International Focus Fund Class R6 Shares (a)

     375,389,377       —         22,452,951       1,560,501       31,413,668       385,910,595       16,735,065       —         —    

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

     349,654,177       8,690,163       —         —         11,109,118       369,453,458       22,122,962       —         —    

JPMorgan Managed Income Fund Class L Shares (a)

     2,805,655       6,436       —         —         (2 )      2,812,089       279,810       6,437       —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     125,630,072       7,622,542       —         —         1,717,695       134,970,309       10,849,703       516,323       —    

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     34,642,728       —         —         —         1,794,194       36,436,922       643,080       —         —    

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     23,339,800       —         5,543,182       2,626,177       776,600       21,199,395       837,259       —         —    

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     16,853,374       5,640,164       —         —         (113,947 )      22,379,591       1,104,075       72,162       —    

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

     382,232,389       1,002,514       37,356,095       5,616,025       31,571,629       383,066,462       21,436,288       1,002,514       —    

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

     112,212,873       212,139,782       227,862,789       —         —         96,489,866       96,489,866       22,291       —    

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

     325,935,410       12,672,169       44,562,589       10,165,598       19,042,450       323,253,038       11,096,912       1,731,358       —    

JPMorgan Value Advantage Fund Class R6 Shares (a)

     394,603,057       —         48,517,257       (8,163,713 )      21,237,845       359,159,932       11,729,586       —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 3,399,158,873     $ 320,832,576     $ 451,780,044     $ 11,742,648     $ 221,407,831     $ 3,501,361,884       $ 6,465,404     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.