NPORT-EX 2 HG_SS2050.htm HTML

JPMorgan SmartSpendingSM 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

INVESTMENT COMPANIES — 57.1%

 

Fixed Income — 43.1%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      247,399        2,978,690  

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

      125,077        863,028  

JPMorgan High Yield Fund Class R6 Shares (a)

      91,474        568,053  

JPMorgan Income Fund Class R6 Shares (a)

      259,497        2,184,968  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      205,933        2,040,791  

JPMorgan Managed Income Fund Class L Shares (a)

      14,716        145,832  

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

      310,270        2,897,920  
     

 

 

  

Total Fixed Income

         11,679,282  
     

 

 

  

U.S. Equity — 14.0%

      

JPMorgan Equity Index Fund Class R6 Shares (a)

      96,221        3,786,299  
     

 

 

  

TOTAL INVESTMENT COMPANIES

(Cost $16,565,387)

         15,465,581  
  

 

 

  

EXCHANGE-TRADED FUNDS — 37.6%

      

Alternative Assets — 2.1%

      

JPMorgan BetaBuilders MSCI US REIT ETF (a)

      8,901        574,649  
     

 

 

  

Fixed Income — 19.1%

      

JPMorgan U.S. Aggregate Bond ETF (a)

      191,991        5,183,757  
     

 

 

  

International Equity — 13.0%

      

iShares Core MSCI EAFE ETF

      52,742        2,631,298  

iShares Core MSCI Emerging Markets ETF

      22,051        892,404  
     

 

 

  

Total International Equity

         3,523,702  
     

 

 

  

U.S. Equity — 3.4%

      

iShares Russell 2000 ETF

      2,697        308,699  

iShares Russell Mid-Cap ETF

      13,903        600,192  
     

 

 

  

Total U.S. Equity

         908,891  
     

 

 

  

TOTAL EXCHANGE-TRADED FUNDS
(Cost $11,448,411)

         10,190,999  
  

 

 

  
     Principal
Amount ($)		         

U.S. TREASURY OBLIGATIONS — 2.5%

 

U.S. Treasury Notes 2.50%, 1/31/2021 (b)

(Cost $665,958)

      658,000        671,160  
     

 

 

  
     Shares         

SHORT-TERM INVESTMENTS — 3.6%

 

INVESTMENT COMPANIES — 3.6%

 

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

(Cost $976,825)

      976,825        976,825  
     

 

 

  

Total Investments — 100.8%

(Cost $29,656,581)

         27,304,565  

Liabilities in Excess of Other Assets — (0.8)%

         (224,950 ) 
  

 

 

  

Net Assets — 100.0%

 

      27,079,615  
  

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan SmartSpendingSM 2050 Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Abbreviations

 

EAFE      Europe, Australasia and Far East
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, 2020.

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, 2020:

 

Description

    Number of
Contracts		    Expiration
Date		      Trading
Currency		      Notional Amount
($)		      Value and
Unrealized
Appreciation
(Depreciation) ($)		  

Long Contracts

 

Australia 10 Year Bond

    10      06/2020        AUD        926,407        26,901  

Canada 10 Year Bond

    11      06/2020        CAD        1,151,353        14,686  

Long Gilt

    3      06/2020        GBP        507,485        11,727  

U.S. Treasury 10 Year Note

    21      06/2020        USD        2,916,047        113,688  
              

 

 

  
                 167,002  
              

 

 

  

Short Contracts

 

EURO STOXX 50 Index

    (29)      06/2020        EUR        (864,058 )       (97,661 ) 

FTSE 100 Index

    (6)      06/2020        GBP        (415,687 )       (26,778 ) 

MSCI Emerging Markets E-Mini Index

    (6)      06/2020        USD        (253,380 )       (23,454 ) 

Russell 2000 E-Mini Index

    (3)      06/2020        USD        (172,455 )       (14,691 ) 

S&P 500 E-Mini Index

    (4)      06/2020        USD        (514,500 )       (27,621 ) 
              

 

 

  
                 (190,205 ) 
              

 

 

  
                 (23,203 ) 
              

 

 

  

Abbreviations

 

AUD    Australian Dollar
CAD    Canadian Dollar
EUR    Euro
FTSE    Financial Times and the London Stock Exchange
GBP    British Pound
MSCI    Morgan Stanley Capital International
USD    United States Dollar

JPMorgan SmartSpending 2050 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.

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.

Certain foreign equity instruments, as well as certain derivatives with foreign equity reference obligations, are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.

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 (“SOI”):

 

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

Total Investments in Securities (a)

    $ 26,633,405     $ 671,160     $ —        $ 27,304,565  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ 167,002     $ —       $ —        $ 167,002  
  

 

 

    

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

          

Futures Contracts (a)

    $ (65,766 )    $ (124,439 )    $ —        $ (190,205 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 2 consists of foreign futures with equity reference obligations and U.S. Treasury Notes held as initial margin for futures contracts.

B. Investment Transactions with Affiliates - The Fund invested in Underlying Funds and an ETF 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 the Underlying Funds and ETFs. Reinvestment amounts are included in the purchase cost amounts in the table below.

 

    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 BetaBuilders MSCI US REIT ETF (a)

   $ —       $ 784,353     $ 45,486     $ 715     $ (164,933 )    $ 574,649       8,901     $ 8,926     $ 533  

JPMorgan Core Bond Fund Class R6 Shares (a)

     6,289,086       1,462,535       4,934,416       224,034       (62,549 )      2,978,690       247,399       115,308       30,006  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     4,243,740       72,139       4,412,489       177,110       (80,500 )      —         —         23,624       —    

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     —         1,043,654       1,022,383       (21,271 )      —         —         —         6,433       —    

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

     1,019,980       123,272       122,145       (6,146 )      (151,933 )      863,028       125,077       41,062       —    

JPMorgan Equity Income Fund Class R6 Shares (a)

     —         1,067,753       1,118,384       50,631       —         —         —         8,055       9,225  

JPMorgan Equity Index Fund Class R6 Shares (a)

     1,813,340       3,634,691       873,067       81,802       (870,467 )      3,786,299       96,221       39,910       2,569  

JPMorgan Growth Advantage Fund Class R6 Shares (a)

     574,999       —         571,572       166,251       (169,678 )      —         —         —         —    

JPMorgan High Yield Fund Class R6 Shares (a)

     2,768,070       90,577       2,030,548       (185,656 )      (74,390 )      568,053       91,474       90,577       —    

JPMorgan Income Fund Class R6 Shares (a)

     1,227,608       1,266,882       46,398       786       (263,910 )      2,184,968       259,497       72,886       539  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     —         2,325,122       185,029       (6,887 )      (92,415 )      2,040,791       205,933       10,844       —    

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

     1,069,700       388,509       1,451,853       96,513       (102,869 )      —         —         37,213       —    

JPMorgan Managed Income Fund Class L Shares (a)

     3,517,759       1,150,436       4,510,415       4,511       (16,459 )      145,832       14,716       40,462       1,851  

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

     —         3,612,862       620,927       (5,372 )      (88,643 )      2,897,920       310,270       45,704       —    

JPMorgan U.S. Aggregate Bond ETF (a)

     —         6,093,388       903,503       5,031       (11,159 )      5,183,757       191,991       10,168       —    

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

     938,414       271,615       1,235,971       93,583       (67,641 )      —         —         5,556       74,989  

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

     393,354       9,321,858       8,738,387       —         —         976,825       976,825       5,214       —    

JPMorgan Value Advantage Fund Class R6 Shares (a)

     545,423       —         530,897       29,513       (44,039 )      —         —         —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 24,401,473     $ 32,709,646     $ 33,353,870     $ 705,148     $ (2,261,585 )    $ 22,200,812       $ 561,942     $ 119,712  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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.