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.