NPORT-EX 2 HG_SR2060.htm FOR VALIDATION PURPOSES ONLY - [145903.HG_SR2060]

JPMorgan SmartRetirement® 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2021 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

INVESTMENT COMPANIES — 89.5%

 

Alternative Assets — 3.9%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      1,140        16,205  
     

 

 

  

Fixed Income — 7.4%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      476        5,658  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      911        7,708  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

      354        3,666  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      222        1,736  

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

      224        1,741  

JPMorgan High Yield Fund Class R6 Shares (a)

      1,202        8,641  

JPMorgan Income Fund Class R6 Shares (a)

      155        1,474  
     

 

 

  

Total Fixed Income

         30,624  
     

 

 

  

International Equity — 33.1%

      

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

      1,678        36,320  

JPMorgan International Equity Fund Class R6 Shares (a)

      1,070        21,703  

JPMorgan International Focus Fund Class R6 Shares (a)

      1,739        46,318  

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

      1,654        32,502  
     

 

 

  

Total International Equity

         136,843  
     

 

 

  

U.S. Equity — 45.1%

      

JPMorgan Growth Advantage Fund Class R6 Shares (a)

      1,101        36,787  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      59        4,391  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      70        2,123  

JPMorgan Small Cap Value Fund Class R6 Shares(a)

      77        2,553  

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

      2,164        43,531  

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

      1,284        43,527  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      1,332        53,984  
     

 

 

  

Total U.S. Equity

         186,896  
     

 

 

  
TOTAL INVESTMENT COMPANIES
(Cost $309,488)

 

      370,568  
  

 

 

  

EXCHANGE-TRADED FUNDS — 4.4%

 

Alternative Assets — 1.3%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      61        5,238  
     

 

 

  

Fixed Income — 0.9%

      

JPMorgan High Yield Research Enhanced ETF (a)

      71        3,648  
     

 

 

  

U.S. Equity — 2.2%

      

JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a)

      109        9,307  
     

 

 

  
TOTAL EXCHANGE-TRADED FUNDS
(Cost $16,208)

 

      18,193  
  

 

 

  
     Principal
Amount
($000)		         

U.S. TREASURY OBLIGATIONS — 0.6%

 

U.S. Treasury Notes 1.38%, 1/31/2022 (b)

(Cost $2,324)

      2,299        2,324  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 3.1%

      

INVESTMENT COMPANIES — 3.1%

      

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.04% (a) (c)

(Cost $12,693)

      12,693        12,693  
     

 

 

  
Total Investments — 97.6%
(Cost $340,713)

 

      403,778  

Other Assets Less Liabilities — 2.4%

 

      9,933  
  

 

 

  

Net Assets — 100.0%

 

      413,711  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement® 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2021 (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 March 31, 2021.

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 March 31, 2021 (amounts in thousands, except number of contracts):

 

Description

   Number of
Contracts		     Expiration
Date		     

Trading

Currency

    Notional Amount
($)		     Value and
Unrealized
Appreciation
(Depreciation) ($)		  

Long Contracts

 

DJ US Real Estate Index

     23       06/2021      USD      825       (1 ) 

EURO STOXX 50 Index

     90       06/2021      EUR      4,085       92  

FTSE 100 Index

     21       06/2021      GBP      1,934       (11 ) 

MSCI EAFE E-Mini Index

     109       06/2021      USD      11,947       (18 ) 

MSCI Emerging Markets E-Mini Index

     21       06/2021      USD      1,390       1  

Russell 2000 E-Mini Index

     66       06/2021      USD      7,337       (350 ) 

S&P 500 E-Mini Index

     34       06/2021      USD      6,749       38  

TOPIX Index

     23       06/2021      JPY      4,080       81  
           

 

 

  
              (168 ) 
           

 

 

  

Short Contracts

 

Long Gilt

     (56 )      06/2021      GBP      (9,851 )      10  
           

 

 

  
              (158 ) 
           

 

 

  

 

Abbreviations
EAFE    Europe, Australasia and Far East
EUR    Euro
FTSE    Financial Times and the London Stock Exchange
GBP    British Pound
JPY    Japanese Yen
MSCI    Morgan Stanley Capital International
TOPIX    Tokyo Stock Price Index
USD    United States Dollar

JPMorgan SmartRetirement® 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

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

    $ 18,193     $ —        $ —        $ 18,193  

Investment Companies

      370,568       —          —          370,568  

U.S. Treasury Obligations

      —         2,324        —          2,324  

Short-Term Investments

 

      

Investment Companies

      12,693       —          —          12,693  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 401,454     $ 2,324      $ —        $ 403,778  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

      

Futures Contracts

    $ 222     $ —        $ —        $ 222  

Depreciation in Other Financial Instruments

 

      

Futures Contracts

      (380 )      —          —          (380 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ (158 )    $ —        $ —        $ (158 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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 such Underlying Funds and ETFs. Reinvestment amounts are included in the purchase cost amounts in the table below.

 

For the period ended March 31, 2021

  

Security Description

   Value at
June 30,
2020 		    Purchases
at Cost		     Proceeds
from
Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
March 31,
2021		     Shares at
March 31,
2021		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan BetaBuilders MSCI US REIT ETF (a)

   $ 2,690     $ 3,359     $ 1,308     $ (106 )    $ 603     $ 5,238       61     $ 68     $ —    

JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (a)

     —         7,647       498       98       2,060       9,307       109       40       —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     4,089       1,804       —         —         (235 )      5,658       476       86       84  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     11,025       324       3,428       81       (294 )      7,708       911       184       140  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

     2,594       1,221       —         —         (149 )      3,666       354       58       54  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     571       1,203       —         —         (38 )      1,736       222       26       —    

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

     22,739       7,495       2,624       234       8,476       36,320       1,678       501       —    

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

     538       1,248       —         —         (45 )      1,741       224       25       —    

JPMorgan Growth Advantage Fund Class R6 Shares (a)

     32,020       11,589       14,923       1,336       6,765       36,787       1,101       152       4,180  

JPMorgan High Yield Fund Class R6 Shares (a)

     6,688       7,130       6,096       17       902       8,641       1,202       399       —    

JPMorgan High Yield Research Enhanced ETF (a)

     —         3,676       —         —         (28 )      3,648       71       17       —    

JPMorgan Income Fund Class R6 Shares (a)

     —         1,474       —         —         —         1,474       155       —         —    

JPMorgan International Advantage Fund Class R6 Shares (a)

     13,392       1,083       17,535       1,112       1,948       —         —         365       1  

JPMorgan International Equity Fund Class R6 Shares (a)

     —         22,432       615       (5 )      (109 )      21,703       1,070       —         —    

JPMorgan International Focus Fund Class R6 Shares (a)

     30,222       12,989       5,003       102       8,008       46,318       1,739       426       —    

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

     27,654       9,429       11,532       399       6,552       32,502       1,654       740       —    

JPMorgan Managed Income Fund Class L Shares (a)

     196       4,310       4,504       (1 )      (1 )      —         —         12       —   (b) 

JPMorgan Realty Income Fund Class R6 Shares (a)

     10,702       4,416       956       (82 )      2,125       16,205       1,140       136       436  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     2,920       1,242       1,012       61       1,180       4,391       59       22       101  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

     1,497       600       650       110       566       2,123       70       6       125  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     1,852       160       536       (140 )      1,217       2,553       77       14       —    

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

     30,314       11,097       5,409       42       7,487       43,531       2,164       288       2,181  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.04% (a) (c)

     15,995       118,982       122,284       —         —         12,693       12,693       4       —    

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

     24,846       15,459       4,213       69       7,366       43,527       1,284       368       829  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     31,775       19,287       9,047       (479 )      12,448       53,984       1,332       628       524  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 274,319     $ 269,656     $ 212,173     $ 2,848     $ 66,804     $ 401,454       $ 4,565     $ 8,655  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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)

Amount rounds to less than one thousand.

(c)

The rate shown is the current yield as of March 31, 2021.