NPORT-EX 2 HG_SR2020.htm HTML

JPMorgan SmartRetirement 2020 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 95.4%

      

Alternative Assets — 1.7%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

     5,786,609        71,985,414  
     

 

 

  

Fixed Income — 64.2%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

     79,161,456        983,976,899  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     20,229,205        217,868,535  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     4,187,058        32,575,308  

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

     4,010,456        31,040,928  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     5,386,917        46,273,616  

JPMorgan High Yield Fund Class R6 Shares (a)

     53,514,376        364,432,899  

JPMorgan Income Fund Class R6 Shares (a)

     7,914,271        72,890,437  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     27,993,167        295,887,774  

JPMorgan Managed Income Fund Class L Shares (a)

     13,422,075        134,891,850  

JPMorgan Short Duration Core Plus Fund Class R6 Shares (a)

     63,437,379        620,417,570  
     

 

 

  

Total Fixed Income

         2,800,255,816  
     

 

 

  

International Equity — 14.6%

      

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     4,699,159        170,109,544  

JPMorgan International Advantage Fund Class R6 Shares (a)

     3,792,338        70,082,406  

JPMorgan International Equity Fund Class R6 Shares (a)

     13,328,393        233,513,441  

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

     9,736,303        162,596,254  
     

 

 

  

Total International Equity

         636,301,645  
     

 

 

  

U.S. Equity — 14.9%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

     13,745,976        241,379,332  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     627,154        35,534,543  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     655,995        16,609,795  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     679,683        13,777,181  

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

     19,238,841        343,798,084  
     

 

 

  

Total U.S. Equity

         651,098,935  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $3,781,674,718)

         4,159,641,810  
     

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 1.1%

      

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

(Cost $47,033,102)

      46,867,100        47,229,588  
     

 

 

  
     Shares         

EXCHANGE-TRADED FUNDS — 0.3%

      

Alternative Assets — 0.3%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

(Cost $17,353,536)

      196,289        14,122,993  
     

 

 

  

SHORT-TERM INVESTMENTS — 2.9%

      

INVESTMENT COMPANIES — 2.9%

      

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

(Cost $125,997,539)

      125,997,539        125,997,539  
     

 

 

  

Total Investments — 99.7%

(Cost $3,972,058,895)

         4,346,991,930  

Other Assets Less Liabilities — 0.3%

         12,819,513  
     

 

 

  

Net Assets — 100.0%

         4,359,811,443  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement 2020 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.

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

      886       12/2020        EUR        33,054,320       (1,337,427 ) 

MSCI Emerging Markets E-Mini Index

      780       12/2020        USD        42,443,700       (375,055 ) 

Russell 2000 E-Mini Index

      528       12/2020        USD        39,739,920       419,826  

S&P 500 E-Mini Index

      805       12/2020        USD        134,817,375       1,047,263  

S&P Midcap 400 E-Mini Index

      522       12/2020        USD        96,846,660       323,870  

U.S. Treasury 10 Year Note

      3,330       12/2020        USD        464,535,000       1,160,279  
            

 

 

  
               1,238,756  
            

 

 

  

Short Contracts

 

DJ US Real Estate Index

      (787 )      12/2020        USD        (24,656,710 )      485,378  

Euro-Bund

      (593 )      12/2020        EUR        (121,316,416 )      (565,487 ) 

FTSE 100 Index

      (571 )      12/2020        GBP        (42,951,164 )      1,211,955  

MSCI EAFE E-Mini Index

      (12 )      12/2020        USD        (1,111,920 )      29,951  
            

 

 

  
               1,161,797  
            

 

 

  
               2,400,553  
            

 

 

  

 

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 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 2020 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

    $ 14,122,993     $ —        $ —        $ 14,122,993  

Investment Companies

      4,159,641,810       —          —          4,159,641,810  

U.S. Treasury Obligations

      —         47,229,588        —          47,229,588  

Short-Term Investments

           

Investment Companies

      125,997,539       —          —          125,997,539  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 4,299,762,342     $ 47,229,588      $ —        $ 4,346,991,930  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 4,678,522     $ —        $ —        $ 4,678,522  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (2,277,969 )    $ —        $ —         $ (2,277,969 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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)

   $ 22,437,351     $ —       $ 8,324,062     $ (2,133,171 )    $ 2,142,875     $ 14,122,993       196,289     $ 108,962     $ —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     1,084,532,164       13,021,377       118,198,165       6,807,098       (2,185,575 )      983,976,899       79,161,456       6,227,730       —    

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     238,463,818       1,494,251       24,088,285       1,086,285       912,466       217,868,535       20,229,205       1,494,252       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     31,620,192       294,168       —         —         660,948       32,575,308       4,187,058       294,169       —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     186,516,903       —         41,638,575       3,345,262       21,885,954       170,109,544       4,699,159       —         —    

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

     38,263,206       289,013       8,246,532       (351,797 )      1,087,038       31,040,928       4,010,456       289,012       —    

JPMorgan Equity Income Fund Class R6 Shares (a)

     361,756,209       10,065,421       152,013,965       (10,124,308 )      31,695,975       241,379,332       13,745,976       1,339,443       —    

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     51,655,839       514,035       6,885,143       (632,472 )      1,621,357       46,273,616       5,386,917       514,035       —    

JPMorgan High Yield Fund Class R6 Shares (a)

     325,485,314       28,893,446       —         —         10,054,139       364,432,899       53,514,376       4,074,533       —    

JPMorgan Income Fund Class R6 Shares (a)

     70,720,935       919,519       —         —         1,249,983       72,890,437       7,914,271       919,520       —    

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     308,222,794       1,948,019       18,816,252       327,910       4,205,303       295,887,774       27,993,167       1,948,019       —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     74,210,757       —         7,803,167       428,056       3,246,760       70,082,406       3,792,338       —         —    

JPMorgan International Equity Fund Class R6 Shares (a)

     246,780,056       —         30,334,715       4,951,106       12,116,994       233,513,441       13,328,393       —         —    

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

     172,222,464       —         15,456,273       (1,397,679 )      7,227,742       162,596,254       9,736,303       —         —    

JPMorgan Managed Income Fund Class L Shares (a)

     4,423,080       130,468,785       —         —         (15 )      134,891,850       13,422,075       178,746       —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     70,616,949       275,378       —         —         1,093,087       71,985,414       5,786,609       275,377       —    

JPMorgan Short Duration Core Plus Fund Class R6 Shares (a)

     653,028,038       9,079,200       47,151,546       654,932       4,806,946       620,417,570       63,437,379       3,421,637       —    

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     40,104,373       —         6,872,128       (86,540 )      2,388,838       35,534,543       627,154       —         —    

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     14,569,650       —         —         —         2,040,145       16,609,795       655,995       —         —    

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     13,495,850       44,423       —         —         236,908       13,777,181       679,683       44,424       —    

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

     378,881,294       11,343,528       82,197,662       10,954,588       24,816,336       343,798,084       19,238,841       872,342       —    

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

     147,454,241       462,781,318       484,238,020       —         —         125,997,539       125,997,539       39,351       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 4,535,461,477     $ 671,431,881     $ 1,052,264,490     $ 13,829,270     $ 131,304,204     $ 4,299,762,342       $ 22,041,552     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.