NPORT-EX 2 HG_SR2040.htm HTML

JPMorgan SmartRetirement® 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  
               

INVESTMENT COMPANIES — 93.5%

 

Alternative Assets — 2.7%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      7,996        132,408  
     

 

 

  

Fixed Income — 15.6%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      14,016        156,137  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      59,153        468,493  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      7,592        52,008  

JPMorgan High Yield Fund Class R6 Shares (a)

      13,429        92,659  
     

 

 

  

Total Fixed Income

         769,297  
     

 

 

  

International Equity — 29.4%

      

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      1,482        47,373  

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

      14,232        249,778  

JPMorgan International Equity Fund Class R6 Shares (a)

      18,124        335,835  

JPMorgan International Focus Fund Class R6 Shares (a)

      13,110        323,941  

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

      25,869        495,387  
     

 

 

  

Total International Equity

         1,452,314  
     

 

 

  

U.S. Equity — 45.8%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      17,272        550,799  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      780        48,621  

JPMorgan Small Cap Growth Fund Class R6 Shares * (a)

      1,093        24,226  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      816        24,230  

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

      25,333        535,550  

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

      15,104        527,897  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      13,599        553,730  
     

 

 

  

Total U.S. Equity

         2,265,053  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $3,707,304)

 

 

      4,619,072  
  

 

 

  

EXCHANGE-TRADED FUNDS — 5.5%

 

Alternative Assets — 1.0%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      466        49,621  
     

 

 

  

Fixed Income — 0.5%

      

JPMorgan High Yield Research Enhanced ETF (a)

      480        23,458  
     

 

 

  

International Equity — 1.5%

      

JPMorgan ActiveBuilders Emerging Markets Equity ETF (a)

      1,772        72,894  
     

 

 

  

U.S. Equity — 2.5%

      

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

      1,456        124,587  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $252,537)

 

 

      270,560  
  

 

 

  
     Principal
Amount
($000)		         

U.S. TREASURY OBLIGATIONS — 0.4%

 

U.S. Treasury Notes 0.13%, 1/31/2023 (b)

(Cost $21,173)

      21,239        20,988  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 2.1%

 

INVESTMENT COMPANIES — 2.1%

 

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.26% (a) (c)

(Cost $102,233)

      102,233        102,233  
     

 

 

  

Total Investments — 101.5%

(Cost $4,083,247)

 

 

      5,012,853  

Liabilities in Excess of Other Assets — (1.5)%

 

      (74,355 ) 
  

 

 

  

Net Assets — 100.0%

 

      4,938,498  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement® 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (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, 2022.

*

Non-income producing security.

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, 2022 (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

      381       06/2022      USD      15,876       491  

MSCI EAFE E-Mini Index

      173       06/2022      USD      18,549       (18 ) 

S&P 500 E-Mini Index

      436       06/2022      USD      98,787       8,012  
            

 

 

  
               8,485  
            

 

 

  

Short Contracts

 

MSCI Emerging Markets E-Mini Index

      (1,274 )      06/2022      USD      (71,669 )      (5,784 ) 
            

 

 

  
               2,701  
            

 

 

  

 

Abbreviations
EAFE    Europe, Australasia and Far East
MSCI    Morgan Stanley Capital International
USD    United States Dollar

JPMorgan SmartRetirement® 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (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

    $ 270,560     $ —        $ —        $ 270,560  

Investment Companies

      4,619,072       —          —          4,619,072  

U.S. Treasury Obligations

      —         20,988        —          20,988  

Short-Term Investments

           

Investment Companies

      102,233       —          —          102,233  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 4,991,865     $ 20,988      $ —        $ 5,012,853  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 8,503     $ —        $ —        $ 8,503  

Depreciation in Other Financial Instruments

           

Futures Contracts

      (5,802 )      —          —          (5,802 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ 2,701     $ —        $ —        $ 2,701  
  

 

 

    

 

 

     

 

 

     

 

 

  

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® 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (Unaudited) (continued)

(Dollar values in thousands)

 

For the period ended March 31, 2022

  

Security Description

    Value at
June 30,
2021		      Purchases
at Cost		      Proceeds
from Sales		      Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
March 31,
2022		      Shares at
March 31,
2022		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan ActiveBuilders Emerging Markets Equity ETF (a)

    $ —        $ 74,485      $ —        $ —       $ (1,591 )    $ 72,894        1,772      $ —        $ —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

    $ 69,027      $ —        $ 26,010      $ 3,576     $ 3,028     $ 49,621        466      $ 1,042      $ —    

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

      120,598        34,056        25,877        1,666       (5,856 )      124,587        1,456        830        —    

JPMorgan Core Bond Fund Class R6 Shares (a)

      193,285        4,205        27,606        (1,744 )      (12,003 )      156,137        14,016        2,849        1,356  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      484,600        74,473        54,714        (926 )      (34,940 )      468,493        59,153        8,952        3,177  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      42,904        18,182        3,049        (116 )      (5,913 )      52,008        7,592        1,376        —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      —          48,436        —          —         (1,063 )      47,373        1,482        —          —    

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

      457,971        62,641        165,612        2,360       (107,582 )      249,778        14,232        11,962        11,441  

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

      42,957        1,601        38,140        (7,038 )      620       —          —          1,601        —    

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      402,560        249,631        30,099        6,574       (77,867 )      550,799        17,272        —          66,691  

JPMorgan High Yield Fund Class R6 Shares (a)

      116,931        12,676        30,171        204       (6,981 )      92,659        13,429        4,000        —    

JPMorgan High Yield Research Enhanced ETF (a)

      80,061        —          52,060        (2,560 )      (1,983 )      23,458        480        2,346        —    

JPMorgan Income Fund Class R6 Shares (a)

      43,602        1,114        42,557        (1,913 )      (246 )      —          —          1,205        —    

JPMorgan International Equity Fund Class R6 Shares (a)

      274,989        115,427        18,173        1,141       (37,549 )      335,835        18,124        5,775        11,828  

JPMorgan International Focus Fund Class R6 Shares (a)

      569,418        34,203        225,148        35,398       (89,930 )      323,941        13,110        10,174        —    

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

      409,904        134,195        18,029        2,221       (32,904 )      495,387        25,869        16,124        —    

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      163,936        205        160,993        (9,711 )      6,563       —          —          205        —    

JPMorgan Managed Income Fund Class L Shares (a)

      1        —          1        —         —   (b)      —          —          —          —    

JPMorgan Realty Income Fund Class R6 Shares (a)

      215,307        15,114        107,181        19,924       (10,756 )      132,408        7,996        1,445        13,669  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      56,985        12,318        9,337        (342 )      (11,003 )      48,621        780        212        9,220  

JPMorgan Small Cap Growth Fund Class R6 Shares * (a)

      29,369        4,471        783        (103 )      (8,728 )      24,226        1,093        —          3,088  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      27,548        4,906        4,265        —   (b)      (3,959 )      24,230        816        139        3,886  

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

      547,710        88,826        93,160        30,238       (38,064 )      535,550        25,333        2,949        47,956  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.26%  (a) (c)

      49,724        801,939        749,430        —         —         102,233        102,233        23        —    

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

      382,814        179,582        8,345        3,740       (29,894 )      527,897        15,104        3,564        54,074  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      752,200        93,338        270,161        37,486       (59,133 )      553,730        13,599        6,813        63,341  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

Total

    $ 5,534,401      $ 2,066,024      $ 2,160,901      $ 120,075     $ (567,734 )    $ 4,991,865         $ 83,586      $ 289,727  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

 

(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, 2022.

*

Non-income producing security.