NPORT-EX 2 HG_SR2040.htm HTML

JPMorgan SmartRetirement® 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2021 (Unaudited)

 

Investments

    Shares (000)     Value ($000)  

INVESTMENT COMPANIES — 91.6%

     

Alternative Assets — 3.6%

     

JPMorgan Realty Income Fund Class R6 Shares (a)

      14,110       200,642  
    

 

 

  

Fixed Income — 16.1%

     

JPMorgan Core Bond Fund Class R6 Shares (a)

      16,061       190,965  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      42,642       360,754  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

      10,637       110,195  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      5,262       41,202  

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

      5,309       41,302  

JPMorgan High Yield Fund Class R6 Shares (a)

      19,411       139,563  

JPMorgan Income Fund Class R6 Shares (a)

      2,168       20,578  

JPMorgan Managed Income Fund Class L Shares (a)

      – (b)      1  
    

 

 

  

Total Fixed Income

        904,560  
    

 

 

  

International Equity — 30.2%

     

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

      21,101       456,621  

JPMorgan International Equity Fund Class R6 Shares (a)

      13,324       270,342  

JPMorgan International Focus Fund Class R6 Shares (a)

      21,371       569,325  

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

      20,667       406,100  
    

 

 

  

Total International Equity

        1,702,388  
    

 

 

  

U.S. Equity — 41.7%

     

JPMorgan Growth Advantage Fund Class R6 Shares (a)

      13,737       459,082  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      849       63,010  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      942       28,728  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      795       26,230  

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

      27,121       545,669  

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

      16,091       545,659  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      16,704       677,192  
    

 

 

  

Total U.S. Equity

        2,345,570  
    

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $3,808,439)

        5,153,160  
    

 

 

  

EXCHANGE-TRADED FUNDS — 4.7%

     

Alternative Assets — 1.3%

     

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      819       70,371  
    

 

 

  

Fixed Income — 1.4%

     

JPMorgan High Yield Research Enhanced ETF (a)

      1,531       78,898  
    

 

 

  

U.S. Equity — 2.0%

     

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

      1,341       114,913  
    

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $253,990)

        264,182  
    

 

 

  
      Principal
Amount
($000)		        

U.S. TREASURY OBLIGATIONS — 0.5%

     

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

(Cost $27,801)

      27,506       27,804  
    

 

 

  
      Shares (000)        

SHORT-TERM INVESTMENTS — 1.4%

     

INVESTMENT COMPANIES — 1.4%

     

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

(Cost $79,684)

      79,684       79,684  
    

 

 

  

Total Investments — 98.2%

(Cost $4,169,914)

        5,524,830  

Other Assets Less Liabilities — 1.8%

        103,471  
    

 

 

  

Net Assets — 100.0%

        5,628,301  
    

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement® 2040 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)

Amount rounds to less than one thousand.

(c)

All or a portion of this security is deposited with the broker as initial margin for futures contracts.

(d)

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

 

EURO STOXX 50 Index

      1,241       06/2021        EUR        56,321       1,269  

FTSE 100 Index

      303       06/2021        GBP        27,899       (152 ) 

MSCI EAFE E-Mini Index

      1,262       06/2021        USD        138,333       (220 ) 

MSCI Emerging Markets E-Mini Index

      129       06/2021        USD        8,537       6  

Russell 2000 E-Mini Index

      825       06/2021        USD        91,711       (4,636 ) 

S&P 500 E-Mini Index

      212       06/2021        USD        42,085       79  

TOPIX Index

      315       06/2021        JPY        55,874       1,163  
            

 

 

  
               (2,491 ) 
            

 

 

  

Short Contracts

 

Long Gilt

      (785 )      06/2021        GBP        (138,078 )      145  
            

 

 

  
               (2,346 ) 
            

 

 

  

 

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® 2040 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

    $ 264,182     $ —        $ —        $ 264,182  

Investment Companies

      5,153,160       —          —          5,153,160  

U.S. Treasury Obligations

      —         27,804        —          27,804  

Short-Term Investments

 

      

Investment Companies

      79,684       —          —          79,684  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 5,497,026     $ 27,804      $ —        $ 5,524,830  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

      

Futures Contracts

    $ 2,662     $ —        $ —        $ 2,662  

Depreciation in Other Financial Instruments

 

      

Futures Contracts

      (5,008 )      —          —          (5,008 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ (2,346 )    $ —        $ —        $ (2,346 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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)

    $ 50,434      $ 40,535      $ 28,520      $ (3,339 )    $ 11,261     $ 70,371        819     $ 1,115      $ —    

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

      —          114,638        11,482        143       11,614       114,913        1,341       220        —    

JPMorgan Core Bond Fund Class R6 Shares (a)

      160,838        37,749        —          —         (7,622 )      190,965        16,061       2,994        2,809  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      409,854        94,169        132,466        3,345       (14,148 )      360,754        42,642       7,371        5,457  

JPMorgan Corporate Bond Fund Class R6 Shares (a)

      106,190        7,587        —          —         (3,582 )      110,195        10,637       2,055        1,651  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      16,775        25,078        —          —         (651 )      41,202        5,262       692        —    

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

      458,770        16,227        161,616        16,836       126,404       456,621        21,101       7,345        —    

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

      16,044        26,108        —          —         (850 )      41,302        5,309       664        —    

JPMorgan Growth Advantage Fund Class R6 Shares (a)

      563,885        64,113        298,968        109,408       20,644       459,082        13,737       2,249        61,865  

JPMorgan High Yield Fund Class R6 Shares (a)

      165,083        82,672        126,888        1,003       17,693       139,563        19,411       7,701        —  

  JPMorgan High Yield Research Enhanced ETF (a)

      —          79,501        —          —         (603 )      78,898        1,531       376        —    

JPMorgan Income Fund Class R6 Shares (a)

      —          20,578        —          —         —         20,578        2,168       —          —    

JPMorgan International Advantage Fund Class R6 Shares (a)

      292,104        7,097        357,124        55,375       2,548       —          —         7,097        10  

JPMorgan International Equity Fund Class R6 Shares (a)

      —          282,889        11,098        (98 )      (1,351 )      270,342        13,324       —          —    

JPMorgan International Focus Fund Class R6 Shares (a)

      532,464        30,034        121,308        15,291       112,844       569,325        21,371       6,250        —    

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

      503,059        22,946        224,701        3,419       101,377       406,100        20,667       10,741        —    

JPMorgan Managed Income Fund Class L Shares (a)

      3,063        17        3,072        6       (13 )      1        —   (b)      16        1  

JPMorgan Realty Income Fund Class R6 Shares (a)

      187,340        18,487        35,395        (159 )      30,369       200,642        14,110       1,951        6,539  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      58,532        1,722        16,248        1,186       17,818       63,010        849       305        1,416  

JPMorgan Small Cap Growth Fund Class R6 Shares (a)

      30,866        1,826        13,712        6,137       3,611       28,728        942       84        1,742  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      27,709        252        18,510        3,610       13,169       26,230        795       251        —    

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

      552,700        36,159        161,943        25,384       93,369       545,669        27,121       4,086        32,072  

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

      96,435        1,231,396        1,248,147        —         —         79,684        79,684       46        —    

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

      448,409        115,677        130,046        19,877       91,742       545,659        16,091       5,238        11,841  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      558,702        193,877        250,810        (11,909 )      187,332       677,192        16,704       9,262        7,371  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

       

 

 

     

 

 

  

Total

    $ 5,239,256      $ 2,551,334      $ 3,352,054      $ 245,515     $ 812,975     $ 5,497,026        $ 78,109      $ 132,774  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

       

 

 

     

 

 

  

 

(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.