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.