NPORT-EX 2 HG_SRB2020.htm HTML

JPMorgan SmartRetirement® 2020 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  
               

INVESTMENT COMPANIES — 93.0%

 

Alternative Assets — 1.3%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

      2,132        35,305  
     

 

 

  

Fixed Income — 58.4%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      66,794        744,089  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      20,919        165,680  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      9,297        63,682  

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

      4,262        29,235  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      3,297        29,077  

JPMorgan High Yield Fund Class R6 Shares (a)

      23,457        161,851  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      18,916        202,967  

JPMorgan Short Duration Core Plus Fund Class R6 Shares (a)

      14,117        131,710  
     

 

 

  

Total Fixed Income

         1,528,291  
     

 

 

  

International Equity — 13.3%

      

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      1,355        43,324  

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

      2,483        43,580  

JPMorgan International Equity Fund Class R6 Shares (a)

      6,816        126,293  

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

      7,112        136,193  
     

 

 

  

Total International Equity

         349,390  
     

 

 

  

U.S. Equity — 20.0%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

      1,845        43,885  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      379        23,612  

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

      531        11,779  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      397        11,781  

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

      12,124        256,305  

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

      5,056        176,694  
     

 

 

  

Total U.S. Equity

         524,056  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $2,228,309)

 

 

      2,437,042  
  

 

 

  

EXCHANGE-TRADED FUNDS — 5.3%

 

Alternative Assets — 0.5%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      111        11,852  
     

 

 

  

Fixed Income — 1.6%

      

JPMorgan High Yield Research Enhanced ETF (a)

      844        41,274  
     

 

 

  

International Equity — 1.0%

      

JPMorgan ActiveBuilders Emerging Markets Equity ETF (a)

      612        25,163  
     

 

 

  

U.S. Equity — 2.2%

      

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

      705        60,335  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $126,615)

 

 

      138,624  
  

 

 

  
     Principal
Amount
($000)		         

U.S. TREASURY OBLIGATIONS — 0.4%

 

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

(Cost $10,464)

      10,497        10,373  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 3.6%

 

INVESTMENT COMPANIES — 3.6%

 

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

(Cost $94,131)

      94,131        94,131  
     

 

 

  

Total Investments — 102.3%

(Cost $2,459,519)

 

 

      2,680,170  

Liabilities in Excess of Other Assets — (2.3)%

 

      (61,470 ) 
  

 

 

  

Net Assets — 100.0%

         2,618,700  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartRetirement® 2020 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

      3       06/2022        USD        125       4  

S&P 500 E-Mini Index

      207       06/2022        USD        46,901       3,804  

U.S. Treasury 10 Year Note

      640       06/2022        USD        78,570       (2,436 ) 
            

 

 

  
               1,372  
            

 

 

  

Short Contracts

             

MSCI Emerging Markets E-Mini Index

      (836 )      06/2022        USD        (47,029 )      (3,561 ) 
            

 

 

  
               (2,189 ) 
            

 

 

  

 

Abbreviations
MSCI    Morgan Stanley Capital International
USD    United States Dollar

JPMorgan SmartRetirement® 2020 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

    $ 138,624     $ —        $ —        $ 138,624  

Investment Companies

      2,437,042       —          —          2,437,042  

U.S. Treasury Obligations

      —         10,373        —          10,373  

Short-Term Investments

           

Investment Companies

      94,131       —          —          94,131  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 2,669,797     $ 10,373      $ —        $ 2,680,170  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 3,808     $ —        $ —        $ 3,808  

Depreciation in Other Financial Instruments

           

Futures Contracts

      (5,997 )      —          —          (5,997 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ (2,189 )    $ —        $ —        $ (2,189 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

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® 2020 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)

    $ —        $ 25,597      $ —        $ —       $ (434 )    $ 25,163        612      $ —        $ —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      16,470        259        6,832        1,382       573       11,852        111        276        —    

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

      71,627        4,662        13,359        3,273       (5,868 )      60,335        705        468        —    

JPMorgan Core Bond Fund Class R6 Shares (a)

      899,837        65,086        161,775        824       (59,883 )      744,089        66,794        12,580        5,753  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      —          167,230        —          —         (1,550 )      165,680        20,919        123        —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      67,643        11,444        5,994        (149 )      (9,262 )      63,682        9,297        2,066        —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      59,664        12,168        11,598        3,885       (20,795 )      43,324        1,355        333        1,550  

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

      56,698        3,078        3,521        (700 )      (11,975 )      43,580        2,483        1,396        1,335  

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

      67,606        2,363        31,790        (4,503 )      (4,441 )      29,235        4,262        2,363        —    

JPMorgan Equity Income Fund Class R6 Shares (a)

      179,451        4,864        146,789        35,330       (28,971 )      43,885        1,845        2,109        2,755  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      47,132        953        18,409        (1,028 )      429       29,077        3,297        953        —    

JPMorgan High Yield Fund Class R6 Shares (a)

      124,668        63,517        19,685        850       (7,499 )      161,851        23,457        4,002        —    

JPMorgan High Yield Research Enhanced ETF (a)

      140,677        —          91,333        (4,574 )      (3,496 )      41,274        844        4,089        —    

JPMorgan Income Fund Class R6 Shares (a)

      96,774        2,286        94,791        (2,962 )      (1,307 )      —          —          2,387        —    

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      269,612        4,422        68,707        3,275       (5,635 )      202,967        18,916        4,422        —    

JPMorgan International Equity Fund Class R6 Shares (a)

      225,439        20,570        93,005        19,496       (46,207 )      126,293        6,816        4,404        9,020  

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

      121,591        38,134        15,421        1,823       (9,934 )      136,193        7,112        4,377        —    

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      105,393        126        103,216        (6,521 )      4,218       —          —          126        —    

JPMorgan Realty Income Fund Class R6 Shares (a)

      52,285        3,617        23,335        7,449       (4,711 )      35,305        2,132        360        3,257  

JPMorgan Short Duration Core Plus Fund Class R6 Shares (a)

      512,947        14,498        374,850        (4,571 )      (16,314 )      131,710        14,117        5,421        1,083  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

      24,462        8,300        4,641        311       (4,820 )      23,612        379        91        3,958  

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

      8,044        6,134        —          —         (2,399 )      11,779        531        —          846  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      10,797        2,507        —          —         (1,523 )      11,781        397        55        1,523  

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

      224,449        100,740        60,565        (1,994 )      (6,325 )      256,305        12,124        1,581        28,533  

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

      103,481        624,876        634,226        —         —         94,131        94,131        31        —    

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

      —          174,045        —          —         2,649       176,694        5,056        161        —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

Total

    $ 3,486,747      $ 1,361,476      $ 1,983,842      $ 50,896     $ (245,480 )    $ 2,669,797         $ 54,174      $ 59,613  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

 

(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)

The rate shown is the current yield as of March 31, 2022.

*

Non-income producing security.