0001752724-22-126319.txt : 20220527 0001752724-22-126319.hdr.sgml : 20220527 20220527102255 ACCESSION NUMBER: 0001752724-22-126319 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220331 FILED AS OF DATE: 20220527 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: 22973479 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 2022-03-31 N 2002938584.71 323391.76 2002615192.95 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 346272.22000000 N JPMorgan BetaBuilders U.S. Mid Cap Equity ETF 549300S2VYDS8QJGW220 JPMorgan BetaBuilders U.S. Mid Cap Equity ETF 46641Q340 1180398.00000000 NS USD 100971244.92000000 5.041969384605 Long RF US N 1 N N N JPMorgan Emerging Markets Debt Fund 8KLDAXM5A9FOP50PQD10 JPMorgan Emerging Markets Debt Fund, Class R6 48121A134 2943484.32300000 NS USD 20162867.61000000 1.006826857250 Long RF US N 1 N N N JPMorgan Equity Index Fund 549300FO80ME045UVK10 JPMorgan Equity Index Fund, Class R6 4812C2213 10852943.30300000 NS USD 738325732.90000000 36.86807807606 Long RF US N 1 N N N JPMorgan Income Fund 549300J9G10ZQTTAFU03 JPMorgan Income Fund, Class R6 46637K216 1112631.66200000 NS USD 10080442.86000000 0.503363946078 Long RF US N 1 N N N JPMorgan ActiveBuilders Emerging Markets Equity ETF 549300YT4VMRJKDB1P44 JPMorgan ActiveBuilders Emerging Markets Equity ETF 46641Q266 309148.00000000 NS USD 12715257.24000000 0.634932626335 Long RF US N 1 N N N JPMorgan U.S. Aggregate Bond ETF 549300Y7I30NRICF3S33 JPMorgan U.S. Aggregate Bond ETF 46641Q241 591291.00000000 NS USD 29866108.41000000 1.491355329528 Long RF US N 1 N N N JPMorgan Core Plus Bond Fund JW89OQCNJOLWVS3KT374 JPMorgan Core Plus Bond Fund, Class R6 4812C0134 19718147.27000000 NS USD 156167726.38000000 7.798189433984 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 8389726.02100000 NS USD 147239691.67000000 7.352370649555 Long RF US N 1 N N N N/A N/A MSCI EAFE E-Mini Index N/A -169.00000000 NC USD -1007304.83000000 -0.05029947009 N/A DE US N 1 ICE Clear US 549300HWWR1D8OTS2G29 Short MSCI EAFE E-Mini Index MSDUEAFE Index 2022-06-17 -18120180.00000000 USD -1007304.83000000 N N N JPMorgan High Yield Fund 15QB5UY3VV3GNSMNPX63 JPMorgan High Yield Fund, Class R6 4812C0126 3770540.53000000 NS USD 26016729.66000000 1.299137735077 Long RF US N 1 N N N N/A N/A MSCI Emerging Markets E-Mini Index N/A -557.00000000 NC USD -2563195.49000000 -0.12799241207 N/A DE US N 1 ICE Clear US 549300HWWR1D8OTS2G29 Short MSCI Emerging Markets E-Mini Index US55353S1050 2022-06-17 -31334035.00000000 USD -2563195.49000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CBG5 8310000.00000000 PA USD 8211643.34000000 0.410045992305 Long DBT UST US N 2 2023-01-31 Fixed 0.12500000 N N N N N N N/A N/A S&P 500 E-Mini Index N/A 341.00000000 NC USD 6266432.77000000 0.312912475250 N/A DE US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long S&P 500 E-Mini Index US78378X1072 2022-06-17 77262075.00000000 USD 6266432.77000000 N N N JPMorgan U.S. Government Money Market Fund 8I5DZWZKVSZI1NUHU748 JPMorgan U.S. Government Money Market Fund, Class IM 4812C2270 49078436.98000000 NS USD 49078436.98000000 2.450717299697 Long STIV RF US N 1 N N N JPMorgan High Yield Research Enhanced ETF 549300UUJZT2ZWE64W88 JPMorgan High Yield Research Enhanced ETF 46641Q878 754502.00000000 NS USD 36901862.87000000 1.842683656845 Long RF US N 1 N N N JPMorgan BetaBuilders International Equity ETF 549300BU8GZGI7U5FB20 JPMorgan BetaBuilders International Equity ETF 46641Q373 8104955.00000000 NS USD 450230250.25000000 22.48211497820 Long RF US N 1 N N N JPMorgan BetaBuilders U.S. Small Cap Equity ETF 549300LKK9I7ORHNOS29 JPMorgan BetaBuilders U.S. Small Cap Equity ETF 46641Q290 1197789.00000000 NS USD 73041173.22000000 3.647289478135 Long RF US N 1 N N N JPMorgan Core Bond Fund DQ695W4P67V7A4LC6I09 JPMorgan Core Bond Fund, Class R6 4812C0100 4675886.06400000 NS USD 52089370.75000000 2.601067390948 Long RF US N 1 N N N JPMorgan BetaBuilders MSCI US REIT ETF 549300UDD0DL9T2E4I67 JPMorgan BetaBuilders MSCI US REIT ETF 46641Q738 863567.00000000 NS USD 91883528.80000000 4.588176955985 Long RF US N 1 N N N 2022-05-02 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 MARCH 31, 2022 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  
               

INVESTMENT COMPANIES — 60.0%

 

Fixed Income — 13.0%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      4,534        50,511  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      19,158        151,730  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      2,943        20,163  

JPMorgan High Yield Fund Class R6 Shares (a)

      5,429        37,460  
     

 

 

  

Total Fixed Income

         259,864  
     

 

 

  

International Equity — 9.3%

      

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

      10,590        185,847  
     

 

 

  

U.S. Equity — 37.7%

      

JPMorgan Equity Index Fund Class R6 Shares (a)

      11,098        754,860  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $984,043)

 

 

      1,200,571  
  

 

 

  

EXCHANGE-TRADED FUNDS — 37.9%

 

Alternative Assets — 3.9%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      739        78,675  
     

 

 

  

Fixed Income — 3.0%

      

JPMorgan High Yield Research Enhanced ETF (a)

      190        9,293  

JPMorgan U.S. Aggregate Bond ETF (a)

      998        50,411  
     

 

 

  

Total Fixed Income

         59,704  
     

 

 

  

International Equity — 21.9%

      

JPMorgan BetaBuilders International Equity ETF (a)

      7,933        440,696  
     

 

 

  

U.S. Equity — 9.1%

      

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

      1,188        101,617  

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

      1,302        79,407  
     

 

 

  

Total U.S. Equity

         181,024  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $670,265)

 

 

      760,099  
  

 

 

  
     Principal
Amount
($000)		         

U.S. TREASURY OBLIGATIONS — 0.4%

 

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

(Cost $8,285)

      8,310        8,212  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 2.4%

 

INVESTMENT COMPANIES — 2.4%

 

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

(Cost $49,078)

      49,078        49,078  
     

 

 

  

Total Investments — 100.7%

(Cost $1,711,671)

 

 

      2,017,960  

Liabilities in Excess of Other Assets — (0.7)%

 

      (13,868 ) 
  

 

 

  

Net Assets — 100.0%

 

      2,004,092  
     

 

 

  

 

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 March 31, 2022.

JPMorgan SmartRetirement® Blend 2040 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (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 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

 

S&P 500 E-Mini Index

      331       06/2022        USD        74,996       6,083  
            

 

 

  

Short Contracts

 

MSCI Emerging Markets E-Mini Index

      (621 )      06/2022        USD        (34,934 )      (2,562 ) 
            

 

 

  
               3,521  
            

 

 

  

 

Abbreviations
MSCI    Morgan Stanley Capital International
USD    United States Dollar

JPMorgan SmartRetirement® Blend 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

    $  760,099     $ —        $ —        $ 760,099  

Investment Companies

      1,200,571       —          —          1,200,571  

U.S. Treasury Obligations

      —         8,212        —          8,212  

Short-Term Investments

           

Investment Companies

      49,078       —          —          49,078  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $  2,009,748     $ 8,212      $ —        $  2,017,960  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 6,083     $ —        $ —        $ 6,083  

Depreciation in Other Financial Instruments

           

Futures Contracts

      (2,562 )      —          —          (2,562 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ 3,521     $ —        $  —        $ 3,521  
  

 

 

    

 

 

     

 

 

     

 

 

  

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 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)

    $ —        $ 13,126      $ 12,712      $ (414 )    $ —       $ —          —        $ —       $ —    

JPMorgan BetaBuilders International Equity ETF (a)

      522,197        38,853        83,872        (1,038 )      (35,444 )      440,696        7,933        12,934       —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      106,795        3,221        42,374        7,063       3,970       78,675        739        1,685       —    

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

      106,020        9,214        8,916        469       (5,170 )      101,617        1,188        786       —    

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

      70,469        25,724        9,814        (141 )      (6,831 )      79,407        1,302        691       —    

JPMorgan Core Bond Fund Class R6 Shares (a)

      56,804        7,934        9,774        (752 )      (3,701 )      50,511        4,534        914       444  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      145,846        44,819        27,102        (944 )      (10,889 )      151,730        19,158        2,785       978  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      15,648        7,149        —          —         (2,634 )      20,163        2,943        568       —    

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

      173,746        78,752        24,476        (3,582 )      (38,593 )      185,847        10,590        4,754       4,547  

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

      15,665        594        13,796        (2,593 )      130       —          —          593       —    

JPMorgan Equity Index Fund Class R6 Shares (a)

      619,710        189,362        83,887        2,015       27,660       754,860        11,098        6,857       9,522  

JPMorgan High Yield Fund Class R6 Shares (a)

      27,335        21,536        9,589        (220 )      (1,602 )      37,460        5,429        1,089       —    

JPMorgan High Yield Research Enhanced ETF (a)

      46,309        —          34,096        (2,003 )      (917 )      9,293        190        1,459       —    

JPMorgan Income Fund Class R6 Shares (a)

      15,498        397        15,125        (681 )      (89 )      —          —          429       —    

JPMorgan Managed Income Fund Class L Shares (a)

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

JPMorgan U.S. Aggregate Bond ETF (a)

      56,585        28,520        31,070        (1,786 )      (1,838 )      50,411        998        576       72  

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

      40,077        391,540        382,539        —         —         49,078        49,078        11       —    

JPMorgan U.S. Value Factor ETF (a)

      107,568        —          108,692        4,024       (2,900 )      —          —          344       —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

Total

    $ 2,127,290      $ 860,741      $ 898,852      $ (582 )    $ (78,849 )    $ 2,009,748         $ 36,475     $ 15,563  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

 

(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.