NPORT-EX 2 HG_INVCG.htm FOR VALIDATION PURPOSES ONLY - [899862.HG_INVCG]

JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

INVESTMENT COMPANIES — 99.0%

 

Alternative Assets — 1.5%

      

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

      3,866        47,900  
     

 

 

  

Fixed Income — 69.1%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      85,957        1,034,917  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      48,410        409,062  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      4,333        29,072  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      8,878        69,428  

JPMorgan Government Bond Fund Class R6 Shares (a)

      3,167        35,753  

JPMorgan High Yield Fund Class R6 Shares (a)

      15,203        94,411  

JPMorgan Income Fund Class R6 Shares (a)

      14,644        123,299  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      5,629        55,782  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

      29,391        289,500  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

      5,245        57,749  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

      3,147        29,735  
     

 

 

  

Total Fixed Income

         2,228,708  
     

 

 

  

International Equity — 8.5%

      

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      1,900        48,373  

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

      2,698        36,668  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

      1,113        20,521  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

      2,222        37,390  

JPMorgan International Equity Fund Class R6 Shares (a)

      1,559        21,762  

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

      7,857        110,625  
     

 

 

  

Total International Equity

         275,339  
     

 

 

  

U.S. Equity — 19.9%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

      4,664        68,428  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

      1,643        76,222  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

      2,454        91,204  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      3,025        31,131  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

      6,950        48,091  

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

      930        30,925  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,610        26,992  

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

      11,346        151,690  

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

      2,418        53,352  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      2,436        63,217  
     

 

 

  

Total U.S. Equity

         641,252  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $3,088,744)

 

 

      3,193,199  
  

 

 

  

SHORT-TERM INVESTMENTS — 1.2%

 

INVESTMENT COMPANIES — 1.2%

 

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.35% (a)(b)

(Cost $37,148)

      37,148        37,148  
     

 

 

  

Total Investments — 100.2%

(Cost $3,125,892)

 

 

      3,230,347  

Liabilities in Excess of Other Assets — (0.2)%

 

      (4,970 ) 
  

 

 

  

Net Assets — 100.0%

 

      3,225,377  
  

 

 

  

 

 

Percentages indicated are based on net assets.

 

(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, 2020.

*

Non-income producing security.

Detailed information about investment portfolios of the underlying funds 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 each 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.

JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited) (continued)

 

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.

Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.

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 (“SOI”) (amounts in thousands):

 

     Level 1
Quoted prices		      Level 2
Other significant observable
inputs		      Level 3
Significant unobservable
inputs		      Total  

Total Investments in Securities (a)

    $ 3,230,347      $ —        $ —        $ 3,230,347  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for asset class specifics of portfolio holdings.

B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds 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’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.

 

    For the period ended March 31, 2020  

Security Description

   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
March 31,
2020		     Shares at
March 31,
2020		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 1,063,660     $ 59,032     $ 110,021     $ 1,165     $ 21,081     $ 1,034,917       85,957     $ 22,618     $ 5,178  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     449,252       16,961       58,217       226       840       409,062       48,410       10,863       —    

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     40,505       —         39,576       566       (1,495 )      —         —         —         —    

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     35,823       1,338       1,722       27       (6,394 )      29,072       4,333       1,338       —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     52,237       4,444       —         —         (8,308 )      48,373       1,900       498       —    

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

     —         43,544       —         —         (6,876 )      36,668       2,698       313       87  

JPMorgan Equity Income Fund Class R6 Shares (a)

     56,914       29,940       3,526       384       (15,284 )      68,428       4,664       1,215       801  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     25,239       2,878       1,380       (55 )      (6,161 )      20,521       1,113       794       —    

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     79,278       2,817       1,033       (108 )      (11,526 )      69,428       8,878       2,817       —    

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     46,301       6,115       5,235       328       (10,119 )      37,390       2,222       1,096       3,282  

JPMorgan Government Bond Fund Class R6 Shares (a)

     37,739       4,917       9,093       120       2,070       35,753       3,167       709       —    

JPMorgan High Yield Fund Class R6 Shares (a)

     100,446       9,378       —         —         (15,413 )      94,411       15,203       4,573       —    

JPMorgan Income Fund Class R6 Shares (a)

     104,309       31,134       —         —         (12,144 )      123,299       14,644       4,008       26  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     62,568       1,074       5,612       (550 )      (1,698 )      55,782       5,629       1,074       —    

JPMorgan International Equity Fund Class R6 Shares (a)

     27,175       893       1,035       125       (5,396 )      21,762       1,559       866       28  

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

     125,255       18,036       5,929       (49 )      (26,688 )      110,625       7,857       3,841       —    

JPMorgan Intrepid America Fund Class R6 Shares (a)

     156,000       —         160,464       74,295       (69,831 )      —         —         —         —    

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     81,748       14,333       3,897       192       (16,154 )      76,222       1,643       955       9,484  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     43,152       72,146       9,592       351       (14,853 )      91,204       2,454       271       11,456  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     20,665       21,749       2,102       208       (9,389 )      31,131       3,025       391       —    

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     289,258       16,865       9,197       (93 )      (7,333 )      289,500       29,391       5,556       —    

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     44,919       20,850       1,780       (12 )      (15,886 )      48,091       6,950       690       2,453  

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

     34,234       4,669       3,207       170       (4,941 )      30,925       930       —         2,461  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     27,792       12,245       1,779       (211 )      (11,055 )      26,992       1,610       266       1,655  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     64,851       1,240       5,429       (429 )      (2,484 )      57,749       5,245       1,240       —    

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     71,049       1,518       15,890       (3,468 )      (5,309 )      47,900       3,866       1,517       —   (b) 

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

     153,308       45,896       22,270       2,138       (27,382 )      151,690       11,346       1,468       13,621  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.35% (a)(c)

     43,626       175,617       182,095       —         —         37,148       37,148       765       —    

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

     —         62,446       1,437       63       (7,720 )      53,352       2,418       411       187  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     33,730       897       3,429       (413 )      (1,050 )      29,735       3,147       897       —    

JPMorgan Value Advantage Fund Class R6 Shares (a)

     53,069       34,434       2,807       463       (21,942 )      63,217       2,436       1,269       1,830  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 3,424,102     $ 717,406     $ 667,754     $ 75,433     $ (318,840 )    $ 3,230,347       $ 72,319     $ 52,549  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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, 2020.

*

Non-income producing security.