0001752724-21-256656.txt : 20211124 0001752724-21-256656.hdr.sgml : 20211124 20211124125329 ACCESSION NUMBER: 0001752724-21-256656 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210930 FILED AS OF DATE: 20211124 PERIOD START: 20220630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JPMorgan Trust I CENTRAL INDEX KEY: 0001217286 IRS NUMBER: 331043149 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21295 FILM NUMBER: 211444134 BUSINESS ADDRESS: STREET 1: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 BUSINESS PHONE: 800-480-4111 MAIL ADDRESS: STREET 1: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 FORMER COMPANY: FORMER CONFORMED NAME: JP MORGAN MUTUAL FUND SERIES DATE OF NAME CHANGE: 20030204 0001217286 S000037368 JPMorgan SmartRetirement* Blend 2040 Fund C000115352 Class I JOBEX C000115353 Class R2 JOBRX C000115354 Class R5 JOBBX C000115355 Class R6 JOBYX C000186795 Class R3 JNTEX C000186796 Class R4 JNTNX NPORT-P 1 primary_doc.xml NPORT-P false 0001217286 XXXXXXXX S000037368 C000115355 C000115352 C000115354 C000186796 C000115353 C000186795 JPMorgan Trust I 811-21295 0001217286 549300DM5WZMCZZ70R78 277 Park Avenue New York 10172 800-480-4111 JPMorgan SmartRetirement Blend 2040 Fund S000037368 549300KKAL12NQ4N7398 2022-06-30 2021-09-30 N 2165335271.60 7468591.49 2157866680.11 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N JPMorgan BetaBuilders U.S. Mid Cap Equity ETF 549300S2VYDS8QJGW220 JPMorgan BetaBuilders U.S. Mid Cap Equity ETF 46641Q340 1216169.00000000 NS USD 106670182.99000000 4.943316654973 Long RF US N 1 N N N JPMorgan Emerging Markets Debt Fund 8KLDAXM5A9FOP50PQD10 JPMorgan Emerging Markets Debt Fund, Class R6 48121A134 1963497.94800000 NS USD 15511633.79000000 0.718841156081 Long RF US N 1 N N N N/A N/A S&P 500 E-Mini Index N/A 316.00000000 NC USD -2313761.48000000 -0.10722448709 N/A DE US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long S&P 500 E-Mini Index US78378X1072 2021-12-17 67979500.00000000 USD -2313761.48000000 N N N JPMorgan Equity Index Fund 549300FO80ME045UVK10 JPMorgan Equity Index Fund, Class R6 4812C2213 10702800.50200000 NS USD 701140460.89000000 32.49229747846 Long RF US N 1 N N N JPMorgan Income Fund 549300J9G10ZQTTAFU03 JPMorgan Income Fund, Class R6 46637K216 1631955.62800000 NS USD 15503578.47000000 0.718467855910 Long RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828Z60 9188000.00000000 PA USD 9228410.85000000 0.427663624220 Long DBT UST US N 2 2022-01-31 Fixed 1.37500000 N N N N N N JPMorgan U.S. Aggregate Bond ETF 549300Y7I30NRICF3S33 JPMorgan U.S. Aggregate Bond ETF 46641Q241 1123339.00000000 NS USD 60969224.23000000 2.825439810159 Long RF US N 1 N N N JPMorgan Core Plus Bond Fund JW89OQCNJOLWVS3KT374 JPMorgan Core Plus Bond Fund, Class R6 4812C0134 17106447.37500000 NS USD 146089060.58000000 6.770068879906 Long RF US N 1 N N N JPMorgan Emerging Markets Research Enhanced Equity Fund 549300RH6H0TG40PHS83 JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6 46645V626 8785245.00400000 NS USD 180361079.93000000 8.358305060848 Long RF US N 1 N N N JPMorgan High Yield Fund 15QB5UY3VV3GNSMNPX63 JPMorgan High Yield Fund, Class R6 4812C0126 4564920.49200000 NS USD 33369568.80000000 1.546414758037 Long RF US N 1 N N N JPMorgan Emerging Markets Strategic Debt Fund VC31EK6DBMYN3TDYHO32 JPMorgan Emerging Markets Strategic Debt Fund, Class R6 46637K778 1984348.60800000 NS USD 15557293.09000000 0.720957102373 Long RF US N 1 N N N N/A N/A U.S. Treasury 10 Year Note N/A -249.00000000 NC USD 322430.23000000 0.014942082982 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 10 Year Note 2021-12-21 -32797968.75000000 USD 322430.23000000 N N N JPMorgan U.S. Value Factor ETF 549300HRHRZ4Q1FYHW79 JPMorgan U.S. Value Factor ETF 46641Q753 615245.00000000 NS USD 21853502.40000000 1.012736449449 Long RF US N 1 N N N JPMorgan U.S. Government Money Market Fund 8I5DZWZKVSZI1NUHU748 JPMorgan U.S. Government Money Market Fund, Class IM 4812C2270 43664309.83000000 NS USD 43664309.83000000 2.023494325783 Long STIV RF US N 1 N N N N/A N/A EURO STOXX 50 Index N/A 226.00000000 NC -352478.70000000 -0.01633459116 N/A DE DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long EURO STOXX 50 Index EU0009658145 2021-12-17 9094240.00000000 EUR -352478.70000000 N N N JPMorgan High Yield Research Enhanced ETF 549300UUJZT2ZWE64W88 JPMorgan High Yield Research Enhanced ETF 46641Q878 885278.00000000 NS USD 46096425.46000000 2.136203588705 Long RF US N 1 N N N JPMorgan BetaBuilders International Equity ETF 549300BU8GZGI7U5FB20 JPMorgan BetaBuilders International Equity ETF 46641Q373 9036964.00000000 NS USD 531825331.40000000 24.64588458138 Long RF US N 1 N N N N/A N/A FTSE 100 Index N/A 56.00000000 NC 1316.77000000 0.000061021842 N/A DE GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Long FTSE 100 Index GB0001383545 2021-12-17 3943800.00000000 GBP 1316.77000000 N N N JPMorgan BetaBuilders U.S. Small Cap Equity ETF 549300LKK9I7ORHNOS29 JPMorgan BetaBuilders U.S. Small Cap Equity ETF 46641Q290 1143384.00000000 NS USD 73405252.80000000 3.401751066301 Long RF US N 1 N N N JPMorgan Core Bond Fund DQ695W4P67V7A4LC6I09 JPMorgan Core Bond Fund, Class R6 4812C0100 5013605.51900000 NS USD 60113130.17000000 2.785766642772 Long RF US N 1 N N N JPMorgan BetaBuilders MSCI US REIT ETF 549300UDD0DL9T2E4I67 JPMorgan BetaBuilders MSCI US REIT ETF 46641Q738 1081568.00000000 NS USD 104008986.72000000 4.819991321924 Long RF US N 1 N N N 2021-10-29 JPMorgan Trust I Timothy J. Clemens Timothy J. Clemens Treasurer and Principal Financial Officer XXXX NPORT-EX 2 HG_SRB2040.htm HTML

JPMorgan SmartRetirement® Blend 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2021 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

INVESTMENT COMPANIES — 54.3%

      

Fixed Income — 13.3%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      5,014        60,113  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      17,106        146,089  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      1,963        15,512  

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

      1,984        15,557  

JPMorgan High Yield Fund Class R6 Shares (a)

      4,565        33,370  

JPMorgan Income Fund Class R6 Shares (a)

      1,637        15,552  
     

 

 

  

Total Fixed Income

         286,193  
     

 

 

  

International Equity — 8.4%

      

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

      8,785        180,361  
     

 

 

  

U.S. Equity — 32.6%

      

JPMorgan Equity Index Fund Class R6 Shares (a)

      10,769        705,503  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $944,637)

         1,172,057  
     

 

 

  

EXCHANGE-TRADED FUNDS — 43.9%

      

Alternative Assets — 5.0%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      1,115        107,225  
     

 

 

  

Fixed Income — 4.9%

      

JPMorgan High Yield Research Enhanced ETF (a)

      885        46,096  

JPMorgan U.S. Aggregate Bond ETF (a)

      1,123        60,969  
     

 

 

  

Total Fixed Income

         107,065  
     

 

 

  

International Equity — 24.8%

      

JPMorgan BetaBuilders International Equity ETF (a)

      9,092        535,084  
     

 

 

  

U.S. Equity — 9.2%

      

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

      1,216        106,670  

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

      1,093        70,196  

JPMorgan U.S. Value Factor ETF (a)

      615        21,854  
     

 

 

  

Total U.S. Equity

         198,720  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $826,506)

         948,094  
     

 

 

  
     Principal
Amount
($000)		         

U.S. TREASURY OBLIGATIONS — 0.3%

      

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

(Cost $6,181)

      6,155        6,182  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 2.0%

      

INVESTMENT COMPANIES — 2.0%

      

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (c)

(Cost $43,664)

      43,664        43,664  
     

 

 

  

Total Investments — 100.5%

(Cost $1,820,988)

         2,169,997  

Liabilities in Excess of Other Assets — (0.5)%

         (10,204 ) 
     

 

 

  

Net Assets — 100.0%

         2,159,793  
     

 

 

  

 

Percentages indicated are based on net assets.

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, 2021.

JPMorgan SmartRetirement® Blend 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)

 

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, 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

      226       12/2021      EUR      10,534       (352 ) 

FTSE 100 Index

      56       12/2021      GBP      5,314       1  

S&P 500 E-Mini Index

      316       12/2021      USD      67,980       (2,313 ) 
            

 

 

  
               (2,664 ) 
            

 

 

  

Short Contracts

             

U.S. Treasury 10 Year Note

      (249 )      12/2021      USD      (32,798 )      322  
            

 

 

  
               (2,342 ) 
            

 

 

  

 

Abbreviations

EUR  Euro

FTSE  Financial Times and the London Stock Exchange

GBP  British Pound

USD  United States Dollar

JPMorgan SmartRetirement® Blend 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 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

    $ 948,094     $ —        $ —        $ 948,094  

Investment Companies

      1,172,057       —          —          1,172,057  

U.S. Treasury Obligations

      —         6,182        —          6,182  

Short-Term Investments

           

Investment Companies

      43,664       —          —          43,664  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 2,163,815     $ 6,182      $ —        $ 2,169,997  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 323     $ —        $ —        $ 323  

Depreciation in Other Financial Instruments

           

Futures Contracts

      (2,665 )      —          —          (2,665 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ (2,342 )    $ —        $ —        $ (2,342 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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 purchases at cost amounts in the table below.

JPMorgan SmartRetirement® Blend 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

For the period ended September 30, 2021

  

Security Description

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

JPMorgan BetaBuilders International Equity ETF (a)

    $ 522,197      $ 21,370     $ —        $ —       $ (8,483 )    $ 535,084        9,092      $ 2,953     $ —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      106,795        3,222       3,301        439       70       107,225        1,115        714       —    

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

      106,020        3,317       —          —         (2,667 )      106,670        1,216        248       —    

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

      70,469        6,606       3,229        (31 )      (3,619 )      70,196        1,093        216       —    

JPMorgan Core Bond Fund Class R6 Shares (a)

      56,804        3,638       —          —         (329 )      60,113        5,014        328       —    

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      145,846        929       —          —         (686 )      146,089        17,106        929       —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      15,648        177       —          —         (313 )      15,512        1,963        177       —    

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

      173,746        22,672       —          —         (16,057 )      180,361        8,785        —         —    

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

      15,665        285       —          —         (393 )      15,557        1,984        285       —    

JPMorgan Equity Index Fund Class R6 Shares (a)

      619,710        86,661       —          —         (868 )      705,503        10,769        2,204       —    

JPMorgan High Yield Fund Class R6 Shares (a)

      27,335        6,117       —          —         (82 )      33,370        4,565        378       —    

JPMorgan High Yield Research Enhanced ETF (a)

      46,309        (1 )      —          —         (212 )      46,096        885        487       —    

JPMorgan Income Fund Class R6 Shares (a)

      15,498        152       —          —         (98 )      15,552        1,637        151       —    

JPMorgan Managed Income Fund Class L Shares (a)

      1,018        —         1,018        1       (1 )      —          —          — (b)      —    

JPMorgan U.S. Aggregate Bond ETF (a)

      56,585        4,641       —          —         (257 )      60,969        1,123        197       —    

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (c)

      40,077        137,562       133,975        —         —         43,664        43,664        3       —    

JPMorgan U.S. Value Factor ETF (a)

      107,568        1       85,912        2,406       (2,209 )      21,854        615        344       —    
  

 

 

     

 

 

    

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

Total

    $ 2,127,290      $ 297,349     $ 227,435      $ 2,815     $ (36,204 )    $ 2,163,815         $ 9,614     $ —    
  

 

 

     

 

 

    

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

 

(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 September 30, 2021.