NPORT-EX 2 HG_SR2060.htm HTML

JPMorgan SmartRetirement® 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2022 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  
               

INVESTMENT COMPANIES — 91.9%

 

Alternative Assets — 2.8%

      

JPMorgan Realty Income Fund Class R6 Shares (a)

     884        14,633  
     

 

 

  

Fixed Income — 6.6%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

     610        6,796  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     2,571        20,361  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     565        3,872  

JPMorgan High Yield Fund Class R6 Shares (a)

     464        3,205  
     

 

 

  

Total Fixed Income

         34,234  
     

 

 

  

International Equity — 31.7%

      

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     193        6,166  

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

     1,634        28,670  

JPMorgan International Equity Fund Class R6 Shares (a)

     1,952        36,176  

JPMorgan International Focus Fund Class R6 Shares (a)

     1,443        35,658  

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

     2,949        56,472  
     

 

 

  

Total International Equity

         163,142  
     

 

 

  

U.S. Equity — 50.8%

      

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      1,981        63,170  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     90        5,581  

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

      125        2,779  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     94        2,779  

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

     2,925        61,833  

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

     1,772        61,935  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     1,561        63,549  
     

 

 

  

Total U.S. Equity

         261,626  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $432,597)

 

 

      473,635  
     

 

 

  

EXCHANGE-TRADED FUNDS — 6.2%

      

Alternative Assets — 1.1%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

     52        5,539  
     

 

 

  

Fixed Income — 0.6%

      

JPMorgan High Yield Research Enhanced ETF (a)

     64        3,153  
     

 

 

  

International Equity — 1.7%

      

JPMorgan ActiveBuilders Emerging Markets Equity ETF (a)

     219        9,014  
     

 

 

  

U.S. Equity — 2.8%

      

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

     168        14,331  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS

(Cost $31,956)

 

 

      32,037  
     

 

 

  
     Principal
Amount
($000)		         

U.S. TREASURY OBLIGATIONS — 0.5%

      

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

(Cost $2,360)

      2,368        2,340  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 4.0%

      

INVESTMENT COMPANIES — 4.0%

      

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

(Cost $20,865)

      20,865        20,865  
     

 

 

  

Total Investments — 102.6%

(Cost $487,778)

 

 

      528,877  

Liabilities in Excess of Other Assets — (2.6)%

 

      (13,310 ) 
     

 

 

  

Net Assets — 100.0%

 

      515,567  
     

 

 

  

 

Percentages indicated are based on net assets

JPMorgan SmartRetirement® 2060 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

      54       06/2022        USD        2,250       69  

MSCI EAFE E-Mini Index

      50       06/2022        USD        5,361       195  

S&P 500 E-Mini Index

      40       06/2022        USD        9,063       717  
            

 

 

  
               981  
            

 

 

  

Short Contracts

             

MSCI Emerging Markets E-Mini Index

      (144 )      06/2022        USD        (8,101 )      (482 ) 
            

 

 

  
               499  
            

 

 

  

 

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

JPMorgan SmartRetirement® 2060 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

    $ 32,037     $ —        $ —        $ 32,037  

Investment Companies

      473,635       —          —          473,635  

U.S. Treasury Obligations

      —         2,340        —          2,340  

Short-Term Investments

           

Investment Companies

      20,865       —          —          20,865  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 526,537     $ 2,340      $ —        $ 528,877  
  

 

 

    

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Futures Contracts

    $ 981     $ —        $ —        $ 981  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (482 )    $ —        $ —        $ (482 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ 499     $ —        $ —        $ 499  
  

 

 

    

 

 

     

 

 

     

 

 

  

JPMorgan SmartRetirement® 2060 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

(Dollar values in thousands)

 

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.

 

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)

   $ —        $ 9,186      $ —        $ —       $ (172 )    $ 9,014        219      $ —        $ —    

JPMorgan BetaBuilders MSCI US REIT ETF (a)

     5,842        5,477        6,392        711       (99 )      5,539        52        94        —   (b) 

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

     10,432        14,118        9,803        2,232       (2,648 )      14,331        168        88        —    

JPMorgan Core Bond Fund Class R6 Shares (a)

     6,319        1,437        395        (39 )      (526 )      6,796        610        109        56  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     14,037        7,481        —          —         (1,157 )      20,361        2,571        273        97  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     2,091        2,130        —          —         (349 )      3,872        565        78        —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     —          6,295        —          —         (129 )      6,166        193        —          —    

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

     40,683        14,749        16,654        (2,219 )      (7,889 )      28,670        1,634        1,187        1,134  

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

     2,087        81        1,831        (345 )      8       —          —          81        —    

JPMorgan Growth Advantage Fund Class R6 Shares * (a)

      35,935        37,740        3,368        933       (8,070 )      63,170        1,981        —          6,640  

JPMorgan High Yield Fund Class R6 Shares (a)

     7,847        3,583        7,588        (132 )      (505 )      3,205        464        383        —    

JPMorgan High Yield Research Enhanced ETF (a)

     3,702        3,133        3,573        20       (129 )      3,153        64        47        —    

JPMorgan Income Fund Class R6 Shares (a)

     3,313        85        3,234        (146 )      (18 )      —          —          92        —    

JPMorgan International Equity Fund Class R6 Shares (a)

     24,808        17,360        2,039        7       (3,960 )      36,176        1,952        600        1,195  

JPMorgan International Focus Fund Class R6 Shares (a)

     52,253        6,338        17,218        (889 )      (4,826 )      35,658        1,443        1,014        —    

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

     36,568        25,564        2,315        58       (3,403 )      56,472        2,949        1,622        —    

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     13,576        17        13,380        (720 )      507       —          —          17        —    

JPMorgan Realty Income Fund Class R6 Shares (a)

     18,693        2,222        7,090        640       168       14,633        884        144        1,357  

JPMorgan Small Cap Equity Fund Class R6 Shares (a)

     5,213        2,280        820        (158 )      (934 )      5,581        90        19        843  

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

      2,170        1,466        —          —         (857 )      2,779        125        —          302  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     2,681        669        189        (5 )      (377 )      2,779        94        14        378  

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

     49,128        19,539        5,717        110       (1,227 )      61,833        2,925        299        4,763  

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

      6,147        139,927        125,209        —         —         20,865        20,865        4        —    

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

     35,559        31,062        1,966        157       (2,877 )      61,935        1,772        381        5,612  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     66,794        16,690        17,496        686       (3,125 )      63,549        1,561        689        6,405  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

Total

    $ 445,878      $ 368,629      $ 246,277      $ 901     $ (42,594 )    $ 526,537         $ 7,235      $ 28,782  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

 

(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.