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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07874
JPMorgan Insurance Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: December 31
Date of reporting period: January 1, 2014 through December 31, 2014
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. | REPORTS TO STOCKHOLDERS. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust Core Bond Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
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Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
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JANUARY 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
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“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at -0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned -4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned -1.8%.
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove the U.S. dollar higher against most other currencies due to
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
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CEO’S LETTER
JANUARY 11, 2015 (Unaudited) (continued)
investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any
questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust Core Bond Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 4.92% | |||
Barclays U.S. Aggregate Index | 5.97% | |||
Net Assets as of 12/31/2014 | $ | 199,116,753 | ||
Duration as of 12/31/2014 | 4.78 years |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Core Bond Portfolio (the “Portfolio”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
HOW DID THE MARKET PERFORM?
While U.S. Treasury securities produced their best annual returns since 2011, bond markets overall underperformed equity markets in 2014. The year was notable for the continuation of accommodative policies from leading central banks, accelerating growth in the U.S., and falling oil prices in the latter half of the year. Even as the U.S. economy continued to show improvement, overall inflation remained low and the U.S. Federal Reserve signaled it would hold off raising interest rates until mid-2015.
Global growth outlooks generally declined as slowing German production data and the potential for deflation in the euro zone weighed on prospects there, while declines in Chinese import figures appeared to partially reflect a reduction in domestic demand within the world’s second largest economy. Investors responded by seeking the relative safety of U.S. Treasury securities. Against this backdrop, the U.S. dollar strengthened against most other currencies. By the end of 2014, yields had fallen sharply on 10-year and 30-year U.S. Treasury securities, but had risen on the two-year Treasury. Yields generally move in the opposite direction of prices. Meanwhile, the Barclays U.S. Aggregate Index returned 5.97% for the 12 months ended December 31, 2014.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio underperformed the Barclays U.S. Aggregate Index (the “Benchmark”) for the twelve months ended December 31, 2014.
The Portfolio’s shorter duration, and its position on the yield curve, where it was overweight in the 5-10 year portion, detracted from performance relative to the Benchmark, as interest rates fell during the reporting period. Duration measures the price sensitivity of a bond or a portfolio of bonds to
relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates go down or up, respectively, versus bonds with shorter duration. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds.
The Portfolio’s underweight position in the credit sector, particularly the non-corporate segment, also detracted from performance relative to the Benchmark. The Portfolio’s allocation and selection in agency mortgage securities further detracted from relative performance, with current coupon mortgages finding a strong bid into falling rates, low issuance and historically low volatility.
The Portfolio’s underweight position in U.S. Treasury securities contributed to performance relative to the Benchmark, as other government spread sectors that the Portfolio managers chose to overweight, outperformed their risk-free counterpart. The Portfolio’s security selection in the asset-backed and commercial mortgage-backed sectors also contributed to relative performance, as did security selection in the industrial sector.
HOW WAS THE PORTFOLIO POSITIONED?
The Portfolio’s primary strategy continued to be security selection and relative value, which seeks to identify undervalued bonds among individual securities and across market sectors. The Portfolio managers used bottom-up fundamental research to construct what they believe to be a portfolio of undervalued fixed income securities. Portfolio construction is strategic in nature, so sector allocation changes should be gradual and a function of relative value.
The Portfolio remained underweight in U.S. Treasury securities, underweight in corporate credit debt, and an overweight with respect to positions in securitized sectors including asset-backed, commercial-backed, and mortgage-backed securities, which include both agency and non-agency varieties. The Portfolio was also overweight in the intermediate part of the yield curve (5 to 10 year maturities) as the Portfolio’s managers believed that this had the most attractive risk/reward profile and its steepness would benefit the Portfolio as securities roll-down the yield curve. The Portfolio maintained a shorter duration posture versus the Benchmark during the calendar year.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Core Bond Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited) (continued)
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 29.3 | % | ||
Collateralized Mortgage Obligations | 23.1 | |||
Corporate Bonds | 16.6 | |||
U.S. Government Agency Securities | 14.3 | |||
Mortgage Pass-Through Securities | 10.1 | |||
Asset-Backed Securities | 3.0 | |||
Commercial Mortgage-Backed Securities | 2.3 | |||
Others (each less than 1.0%) | 0.8 | |||
Short-Term Investment | 0.5 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust Core Bond Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | May 1, 1997 | 4.92 | % | 5.03 | % | 4.87 | % | |||||||
CLASS 2 SHARES | August 16, 2006 | 4.71 | 4.78 | 4.66 |
TEN YEAR PERFORMANCE (12/31/04 TO 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class 2 Shares prior to its inception date are based on the performance of Class 1 Shares. The actual returns of Class 2 Shares would have been lower than those shown because Class 2 Shares have higher expenses than Class 1 Shares.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Core Bond Portfolio, the Barclays U.S. Aggregate Index and the Lipper Variable Underlying Funds Core Bond Funds Index from December 31, 2004 to December 31, 2014. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Barclays U.S. Aggregate Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper
Variable Underlying Funds Core Bond Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Variable Underlying Funds Core Bond Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
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JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 3.1% | |||||||
172,000 | Ally Auto Receivables Trust, Series 2013-2, Class A3, 0.790%, 01/15/18 | 171,853 | ||||||
168,486 | American Credit Acceptance Receivables Trust, Series 2014-2, Class A, 0.990%, 10/10/17 (e) | 168,355 | ||||||
16,421 | AmeriCredit Automobile Receivables Trust, Series 2013-4, Class A2, 0.740%, 11/08/16 | 16,425 | ||||||
19,233 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.539%, 04/25/36 | 18,404 | ||||||
CarFinance Capital Auto Trust, | ||||||||
112,832 | Series 2014-1A, Class A, 1.460%, 12/17/18 (e) | 112,986 | ||||||
175,308 | Series 2014-2A, Class A, 1.440%, 11/16/20 (e) | 175,163 | ||||||
CarMax Auto Owner Trust, | ||||||||
62,000 | Series 2013-4, Class A3, 0.800%, 07/16/18 | 61,929 | ||||||
55,000 | Series 2013-4, Class A4, 1.280%, 05/15/19 | 54,665 | ||||||
109,224 | Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 112,145 | ||||||
43,830 | CNH Equipment Trust, Series 2011-A, Class A4, 2.040%, 10/17/16 | 43,855 | ||||||
10,179 | CWABS Revolving Home Equity Loan Trust, Series 2004-K, Class 2A, VAR, 0.461%, 02/15/34 | 9,083 | ||||||
CWABS, Inc. Asset-Backed Certificates, | ||||||||
1,056 | Series 2004-1, Class 3A, VAR, 0.730%, 04/25/34 | 984 | ||||||
100,096 | Series 2004-1, Class M1, VAR, 0.920%, 03/25/34 | 95,457 | ||||||
12,182 | Series 2004-1, Class M2, VAR, 0.995%, 03/25/34 | 11,242 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
85,747 | Series 2014-2A, Class A, 1.060%, 08/15/18 (e) | 85,611 | ||||||
187,358 | Series 2014-3A, Class A, 1.320%, 01/15/19 (e) | 187,326 | ||||||
Flagship Credit Auto Trust, | ||||||||
114,154 | Series 2014-1, Class A, 1.210%, 04/15/19 (e) | 113,864 | ||||||
189,663 | Series 2014-2, Class A, 1.430%, 12/16/19 (e) | 189,425 | ||||||
45,000 | Series 2014-2, Class B, 2.840%, 11/16/20 (e) | 44,920 | ||||||
22,000 | Series 2014-2, Class C, 3.950%, 12/15/20 (e) | 22,014 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
98,631 | Gold Key Resorts LLC, Series 2014-A, Class A, 3.220%, 03/17/31 (e) | 98,642 | ||||||
200,000 | HLSS Servicer Advance Receivables Backed Notes, Series 2013-T2, Class A2, 1.147%, 05/16/44 (e) | 199,800 | ||||||
180,000 | HLSS Servicer Advance Receivables Trust, Series 2013-T1, Class A2, 1.495%, 01/16/46 (e) | 179,856 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
136,496 | Series 2013-A, Class A3, 0.560%, 07/17/17 | 136,547 | ||||||
200,000 | Series 2013-A, Class A4, 0.750%, 09/17/18 | 199,663 | ||||||
11,950 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.520%, 07/25/34 (e) | 11,908 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
114,212 | Series 2003-4, Class M1, VAR, 1.190%, 08/25/33 | 109,749 | ||||||
190,000 | Series 2004-1, Class M1, VAR, 0.920%, 02/25/34 | 180,574 | ||||||
14,859 | Series 2004-1, Class M2, VAR, 0.995%, 02/25/34 | 14,229 | ||||||
16,654 | Series 2006-WL2, Class 2A3, VAR, 0.370%, 01/25/36 | 16,158 | ||||||
102,000 | Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e) | 101,963 | ||||||
125,000 | New Century Home Equity Loan Trust, Series 2005-1, Class M1, VAR, 0.844%, 03/25/35 | 116,919 | ||||||
439,957 | Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e) | 439,297 | ||||||
276,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 09/18/24 (e) | 277,082 | ||||||
81,716 | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.107%, 10/25/34 | 81,414 | ||||||
7,333 | RASC Trust, Series 2003-KS9, Class A2B, VAR, 0.809%, 11/25/33 | 6,171 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
7,762 | Series 2013-1A, Class A, 1.140%, 07/16/18 (e) | 7,770 | ||||||
74,179 | Series 2014-1A, Class A, 1.030%, 09/17/18 (e) | 74,156 | ||||||
SpringCastle America Funding LLC, | ||||||||
544,734 | Series 2014-AA, Class A, 2.700%, 05/25/23 (e) | 543,866 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — continued | |||||||
100,000 | Series 2014-AA, Class B, 4.610%, 10/25/27 (e) | 100,784 | ||||||
Springleaf Funding Trust, | ||||||||
450,000 | Series 2013-AA, Class A, 2.580%, 09/15/21 (e) | 451,296 | ||||||
583,000 | Series 2014-AA, Class A, 2.410%, 12/15/22 (e) | 582,517 | ||||||
443,382 | Vericrest Opportunity Loan Transferee LLC, Series 2014-NPL4, Class A1, SUB, 3.125%, 04/27/54 (e) | 440,802 | ||||||
|
| |||||||
Total Asset-Backed Securities | 6,066,869 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 23.2% | |||||||
Agency CMO — 16.2% |
| |||||||
123,526 | Federal Home Loan Mortgage Corp. -Government National Mortgage Association, Series 8, Class ZA, 7.000%, 03/25/23 | 136,411 | ||||||
Federal Home Loan Mortgage Corp. REMIC, | ||||||||
584 | Series 1065, Class J, 9.000%, 04/15/21 | 677 | ||||||
1,040 | Series 11, Class D, 9.500%, 07/15/19 | 1,069 | ||||||
41,930 | Series 1113, Class J, 8.500%, 06/15/21 | 44,434 | ||||||
3,265 | Series 1250, Class J, 7.000%, 05/15/22 | 3,641 | ||||||
7,841 | Series 1316, Class Z, 8.000%, 06/15/22 | 8,776 | ||||||
12,446 | Series 1324, Class Z, 7.000%, 07/15/22 | 13,847 | ||||||
52,649 | Series 1343, Class LA, 8.000%, 08/15/22 | 60,810 | ||||||
10,838 | Series 1343, Class LB, 7.500%, 08/15/22 | 12,549 | ||||||
7,806 | Series 1394, Class ID, IF, 9.566%, 10/15/22 | 9,274 | ||||||
7,623 | Series 1395, Class G, 6.000%, 10/15/22 | 8,239 | ||||||
5,126 | Series 1505, Class Q, 7.000%, 05/15/23 | 5,617 | ||||||
9,678 | Series 1518, Class G, IF, 8.875%, 05/15/23 | 11,335 | ||||||
9,574 | Series 1541, Class O, VAR, 1.570%, 07/15/23 | 9,632 | ||||||
232,669 | Series 1577, Class PV, 6.500%, 09/15/23 | 257,057 | ||||||
172,137 | Series 1584, Class L, 6.500%, 09/15/23 | 194,013 | ||||||
808 | Series 1609, Class LG, IF, 16.985%, 11/15/23 | 832 | ||||||
185,408 | Series 1633, Class Z, 6.500%, 12/15/23 | 203,629 | ||||||
208,324 | Series 1638, Class H, 6.500%, 12/15/23 | 229,045 | ||||||
2,387 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 3,297 | ||||||
31,207 | Series 1694, Class PK, 6.500%, 03/15/24 | 34,217 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — continued | ||||||||
7,245 | Series 1700, Class GA, PO, 02/15/24 | 7,002 | ||||||
25,162 | Series 1798, Class F, 5.000%, 05/15/23 | 27,212 | ||||||
49,844 | Series 1863, Class Z, 6.500%, 07/15/26 | 55,004 | ||||||
4,026 | Series 1865, Class D, PO, 02/15/24 | 3,510 | ||||||
18,720 | Series 1981, Class Z, 6.000%, 05/15/27 | 20,693 | ||||||
25,271 | Series 1987, Class PE, 7.500%, 09/15/27 | 27,854 | ||||||
91,907 | Series 1999, Class PU, 7.000%, 10/15/27 | 103,781 | ||||||
139,584 | Series 2031, Class PG, 7.000%, 02/15/28 | 156,335 | ||||||
5,631 | Series 2033, Class SN, HB, IF, 28.417%, 03/15/24 | 2,188 | ||||||
136,989 | Series 2035, Class PC, 6.950%, 03/15/28 | 157,265 | ||||||
9,963 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 1,766 | ||||||
30,064 | Series 2054, Class PV, 7.500%, 05/15/28 | 34,341 | ||||||
158,510 | Series 2057, Class PE, 6.750%, 05/15/28 | 177,540 | ||||||
48,679 | Series 2064, Class TE, 7.000%, 06/15/28 | 55,342 | ||||||
32,406 | Series 2075, Class PH, 6.500%, 08/15/28 | 36,101 | ||||||
105,674 | Series 2095, Class PE, 6.000%, 11/15/28 | 116,003 | ||||||
6,359 | Series 2132, Class SB, HB, IF, 29.875%, 03/15/29 | 11,061 | ||||||
9,401 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 993 | ||||||
53,207 | Series 2178, Class PB, 7.000%, 08/15/29 | 61,057 | ||||||
90,721 | Series 2182, Class ZB, 8.000%, 09/15/29 | 104,780 | ||||||
2,607 | Series 22, Class C, 9.500%, 04/15/20 | 2,823 | ||||||
14,013 | Series 2247, Class Z, 7.500%, 08/15/30 | 16,151 | ||||||
198,123 | Series 2259, Class ZC, 7.350%, 10/15/30 | 226,862 | ||||||
3,582 | Series 2261, Class ZY, 7.500%, 10/15/30 | 4,110 | ||||||
42,310 | Series 2283, Class K, 6.500%, 12/15/23 | 47,092 | ||||||
6,738 | Series 2306, Class K, PO, 05/15/24 | 6,375 | ||||||
16,172 | Series 2306, Class SE, IF, IO, 8.240%, 05/15/24 | 2,843 | ||||||
18,691 | Series 2325, Class PM, 7.000%, 06/15/31 | 19,938 | ||||||
102,933 | Series 2344, Class ZD, 6.500%, 08/15/31 | 117,198 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Agency CMO — continued | ||||||||
16,458 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 18,531 | ||||||
9,514 | Series 2345, Class NE, 6.500%, 08/15/31 | 10,620 | ||||||
29,485 | Series 2345, Class PQ, 6.500%, 08/15/16 | 30,589 | ||||||
9,729 | Series 2355, Class BP, 6.000%, 09/15/16 | 10,011 | ||||||
63,257 | Series 2359, Class ZB, 8.500%, 06/15/31 | 75,223 | ||||||
148,685 | Series 2367, Class ME, 6.500%, 10/15/31 | 163,116 | ||||||
14,588 | Series 2390, Class DO, PO, 12/15/31 | 13,460 | ||||||
14,252 | Series 2391, Class QR, 5.500%, 12/15/16 | 14,651 | ||||||
15,472 | Series 2394, Class MC, 6.000%, 12/15/16 | 16,007 | ||||||
28,288 | Series 2410, Class OE, 6.375%, 02/15/32 | 30,239 | ||||||
28,191 | Series 2410, Class QS, IF, 19.082%, 02/15/32 | 40,901 | ||||||
29,784 | Series 2410, Class QX, IF, IO, 8.489%, 02/15/32 | 8,204 | ||||||
32,466 | Series 2412, Class SP, IF, 15.778%, 02/15/32 | 42,951 | ||||||
60,637 | Series 2423, Class MC, 7.000%, 03/15/32 | 69,434 | ||||||
100,052 | Series 2423, Class MT, 7.000%, 03/15/32 | 114,726 | ||||||
227,841 | Series 2435, Class CJ, 6.500%, 04/15/32 | 246,762 | ||||||
38,349 | Series 2444, Class ES, IF, IO, 7.789%, 03/15/32 | 10,196 | ||||||
25,566 | Series 2450, Class SW, IF, IO, 7.839%, 03/15/32 | 5,686 | ||||||
88,025 | Series 2455, Class GK, 6.500%, 05/15/32 | 98,467 | ||||||
50,828 | Series 2484, Class LZ, 6.500%, 07/15/32 | 57,038 | ||||||
214,478 | Series 2500, Class MC, 6.000%, 09/15/32 | 241,184 | ||||||
9,206 | Series 2503, Class BH, 5.500%, 09/15/17 | 9,646 | ||||||
85,408 | Series 2527, Class BP, 5.000%, 11/15/17 | 89,230 | ||||||
73,876 | Series 2535, Class BK, 5.500%, 12/15/22 | 80,738 | ||||||
2,156,675 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,424,208 | ||||||
155,660 | Series 2544, Class HC, 6.000%, 12/15/32 | 171,620 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — continued | ||||||||
298,748 | Series 2575, Class ME, 6.000%, 02/15/33 | 329,173 | ||||||
704,975 | Series 2578, Class PG, 5.000%, 02/15/18 | 738,468 | ||||||
22,585 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 3,710 | ||||||
32,946 | Series 2626, Class NS, IF, IO, 6.389%, 06/15/23 | 2,390 | ||||||
27,992 | Series 2638, Class DS, IF, 8.439%, 07/15/23 | 31,554 | ||||||
114,332 | Series 2647, Class A, 3.250%, 04/15/32 | 118,944 | ||||||
401,363 | Series 2651, Class VZ, 4.500%, 07/15/18 | 418,843 | ||||||
773,477 | Series 2656, Class BG, 5.000%, 10/15/32 | 808,840 | ||||||
92,304 | Series 2682, Class LC, 4.500%, 07/15/32 | 95,147 | ||||||
8,432 | Series 2780, Class JG, 4.500%, 04/15/19 | 8,623 | ||||||
366,761 | Series 2827, Class DG, 4.500%, 07/15/19 | 384,248 | ||||||
5,280 | Series 2989, Class PO, PO, 06/15/23 | 5,234 | ||||||
300,000 | Series 3047, Class OD, 5.500%, 10/15/35 | 342,372 | ||||||
160,898 | Series 3085, Class VS, HB, IF, 28.077%, 12/15/35 | 245,035 | ||||||
54,418 | Series 3117, Class EO, PO, 02/15/36 | 51,088 | ||||||
53,903 | Series 3260, Class CS, IF, IO, 5.979%, 01/15/37 | 7,019 | ||||||
129,036 | Series 3385, Class SN, IF, IO, 5.839%, 11/15/37 | 18,663 | ||||||
136,839 | Series 3387, Class SA, IF, IO, 6.259%, 11/15/37 | 18,255 | ||||||
96,631 | Series 3451, Class SA, IF, IO, 5.889%, 05/15/38 | 12,585 | ||||||
377,275 | Series 3455, Class SE, IF, IO, 6.039%, 06/15/38 | 54,519 | ||||||
383,128 | Series 3688, Class NI, IO, 5.000%, 04/15/32 | 31,062 | ||||||
134,997 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 13,818 | ||||||
163,733 | Series 3772, Class IO, IO, 3.500%, 09/15/24 | 7,120 | ||||||
406 | Series 47, Class F, 10.000%, 06/15/20 | 455 | ||||||
335 | Series 99, Class Z, 9.500%, 01/15/21 | 373 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
126,159 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 17,511 | ||||||
152,294 | Series 239, Class S30, IF, IO, 7.539%, 08/15/36 | 28,260 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Agency CMO — continued | ||||||||
434,985 | Series 262, Class 35, 3.500%, 07/15/42 | 447,151 | ||||||
449,393 | Series 299, Class 300, 3.000%, 01/15/43 | 448,215 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
15,471 | Series T-41, Class 3A, VAR, 6.320%, 07/25/32 | 17,647 | ||||||
102,600 | Series T-54, Class 2A, 6.500%, 02/25/43 | 118,212 | ||||||
47,545 | Series T-54, Class 3A, 7.000%, 02/25/43 | 57,932 | ||||||
204,255 | Series T-56, Class APO, PO, 05/25/43 | 176,278 | ||||||
26,583 | Series T-58, Class APO, PO, 09/25/43 | 21,671 | ||||||
1,000,000 | Federal National Mortgage Association - ACES, Series 2014-M3, Class A2, VAR, 3.477%, 01/25/24 | 1,062,008 | ||||||
Federal National Mortgage Association REMIC, |
| |||||||
3,660 | Series 1988-16, Class B, 9.500%, 06/25/18 | 3,918 | ||||||
3,453 | Series 1989-83, Class H, 8.500%, 11/25/19 | 3,825 | ||||||
668 | Series 1990-1, Class D, 8.800%, 01/25/20 | 743 | ||||||
4,180 | Series 1990-10, Class L, 8.500%, 02/25/20 | 4,647 | ||||||
436 | Series 1990-93, Class G, 5.500%, 08/25/20 | 464 | ||||||
13 | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 112 | ||||||
968 | Series 1990-143, Class J, 8.750%, 12/25/20 | 1,101 | ||||||
17,815 | Series 1992-101, Class J, 7.500%, 06/25/22 | 19,838 | ||||||
7,620 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 8,182 | ||||||
25,709 | Series 1993-146, Class E, PO, 05/25/23 | 24,502 | ||||||
58,708 | Series 1993-155, Class PJ, 7.000%, 09/25/23 | 66,649 | ||||||
1,899 | Series 1993-165, Class SD, IF, 13.433%, 09/25/23 | 2,428 | ||||||
9,471 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 10,858 | ||||||
81,075 | Series 1993-203, Class PL, 6.500%, 10/25/23 | 90,689 | ||||||
8,344 | Series 1993-205, Class H, PO, 09/25/23 | 7,945 | ||||||
381,736 | Series 1993-223, Class PZ, 6.500%, 12/25/23 | 416,959 | ||||||
82,023 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 91,357 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — continued | ||||||||
2,367 | Series 1993-230, Class FA, VAR, 0.770%, 12/25/23 | 2,401 | ||||||
43,165 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 43,587 | ||||||
196,374 | Series 1994-37, Class L, 6.500%, 03/25/24 | 218,684 | ||||||
1,684,151 | Series 1994-72, Class K, 6.000%, 04/25/24 | 1,826,019 | ||||||
18,169 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 20,976 | ||||||
83,206 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 94,211 | ||||||
3,388 | Series 1996-59, Class J, 6.500%, 08/25/22 | 3,672 | ||||||
114,748 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 5,383 | ||||||
17,003 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 19,767 | ||||||
30,534 | Series 1997-46, Class PL, 6.000%, 07/18/27 | 34,187 | ||||||
77,062 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 86,198 | ||||||
13,453 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 14,910 | ||||||
28,188 | Series 1998-43, Class SA, IF, IO, 17.540%, 04/25/23 | 9,020 | ||||||
41,771 | Series 1998-46, Class GZ, 6.500%, 08/18/28 | 46,532 | ||||||
76,604 | Series 1998-58, Class PC, 6.500%, 10/25/28 | 85,307 | ||||||
179,518 | Series 1999-39, Class JH, IO, 6.500%, 08/25/29 | 30,235 | ||||||
5,501 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 1,268 | ||||||
69,353 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 75,801 | ||||||
56,378 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 64,013 | ||||||
200,509 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 34,879 | ||||||
87,020 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 99,368 | ||||||
9,329 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 10,509 | ||||||
7,337 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 7,463 | ||||||
147,070 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 165,756 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Agency CMO — continued | ||||||||
18,017 | Series 2001-69, Class PG, 6.000%, 12/25/16 | 18,538 | ||||||
12,242 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 12,615 | ||||||
20,476 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 22,647 | ||||||
7,579 | Series 2002-1, Class SA, HB, IF, 24.637%, 02/25/32 | 12,464 | ||||||
23,937 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 24,823 | ||||||
20,803 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 21,431 | ||||||
188,303 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 10,241 | ||||||
149,560 | Series 2002-15, Class PO, PO, 04/25/32 | 137,132 | ||||||
67,970 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 76,043 | ||||||
158,022 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 165,501 | ||||||
133,018 | Series 2002-68, Class SH, IF, IO, 7.838%, 10/18/32 | 35,174 | ||||||
14,696 | Series 2002-77, Class S, IF, 14.173%, 12/25/32 | 18,695 | ||||||
95,380 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 99,083 | ||||||
238,515 | Series 2003-7, Class A1, 6.500%, 12/25/42 | 270,185 | ||||||
293,000 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 307,864 | ||||||
70,031 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 | 13,076 | ||||||
52,168 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 57,290 | ||||||
11,938 | Series 2003-64, Class SX, IF, 13.363%, 07/25/33 | 14,368 | ||||||
17,151 | Series 2003-66, Class PA, 3.500%, 02/25/33 | 17,715 | ||||||
43,691 | Series 2003-71, Class DS, IF, 7.260%, 08/25/33 | 47,620 | ||||||
21,847 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 208 | ||||||
62,089 | Series 2003-80, Class SY, IF, IO, 7.481%, 06/25/23 | 4,712 | ||||||
830,699 | Series 2003-81, Class MC, 5.000%, 12/25/32 | 867,960 | ||||||
442,365 | Series 2003-82, Class VB, 5.500%, 08/25/33 | 461,210 | ||||||
21,343 | Series 2003-91, Class SD, IF, 12.217%, 09/25/33 | 24,831 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — continued | ||||||||
184,064 | Series 2003-116, Class SB, IF, IO, 7.431%, 11/25/33 | 46,415 | ||||||
1,065,563 | Series 2003-128, Class DY, 4.500%, 01/25/24 | 1,143,670 | ||||||
11,408 | Series 2003-130, Class SX, IF, 11.266%, 01/25/34 | 13,258 | ||||||
27,683 | Series 2003-132, Class OA, PO, 08/25/33 | 26,409 | ||||||
468,304 | Series 2004-2, Class OE, 5.000%, 05/25/23 | 481,578 | ||||||
87,939 | Series 2004-4, Class QM, IF, 13.861%, 06/25/33 | 100,985 | ||||||
47,719 | Series 2004-10, Class SC, HB, IF, 27.922%, 02/25/34 | 63,356 | ||||||
132,678 | Series 2004-36, Class SA, IF, 19.059%, 05/25/34 | 182,639 | ||||||
81,945 | Series 2004-46, Class SK, IF, 16.034%, 05/25/34 | 101,707 | ||||||
12,685 | Series 2004-51, Class SY, IF, 13.901%, 07/25/34 | 15,980 | ||||||
67,890 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 79,906 | ||||||
54,096 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 56,156 | ||||||
199,140 | Series 2005-45, Class DC, HB, IF, 23.688%, 06/25/35 | 290,651 | ||||||
25,964 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 27,596 | ||||||
363,281 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 390,713 | ||||||
209,022 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 226,368 | ||||||
437,120 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 466,049 | ||||||
76,481 | Series 2006-22, Class AO, PO, 04/25/36 | 71,279 | ||||||
29,945 | Series 2006-46, Class SW, HB, IF, 23.578%, 06/25/36 | 42,208 | ||||||
53,681 | Series 2006-59, Class QO, PO, 01/25/33 | 52,838 | ||||||
87,738 | Series 2006-110, Class PO, PO, 11/25/36 | 79,136 | ||||||
138,681 | Series 2006-117, Class GS, IF, IO, 6.481%, 12/25/36 | 22,043 | ||||||
42,337 | Series 2007-7, Class SG, IF, IO, 6.330%, 08/25/36 | 8,826 | ||||||
236,266 | Series 2007-53, Class SH, IF, IO, 5.931%, 06/25/37 | 27,929 | ||||||
224,864 | Series 2007-88, Class VI, IF, IO, 6.370%, 09/25/37 | 32,220 | ||||||
183,615 | Series 2007-100, Class SM, IF, IO, 6.280%, 10/25/37 | 25,004 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Agency CMO — continued | ||||||||
177,666 | Series 2008-1, Class BI, IF, IO, 5.740%, 02/25/38 | 19,609 | ||||||
46,813 | Series 2008-16, Class IS, IF, IO, 6.031%, 03/25/38 | 6,310 | ||||||
139,508 | Series 2008-46, Class HI, IO, VAR, 1.742%, 06/25/38 | 13,239 | ||||||
66,043 | Series 2008-53, Class CI, IF, IO, 7.031%, 07/25/38 | 11,477 | ||||||
151,914 | Series 2009-112, Class ST, IF, IO, 6.081%, 01/25/40 | 20,396 | ||||||
84,890 | Series 2010-35, Class SB, IF, IO, 6.251%, 04/25/40 | 13,417 | ||||||
371,930 | Series 2013-128, Class PO, PO, 12/25/43 | 299,886 | ||||||
1,913 | Series G92-42, Class Z, 7.000%, 07/25/22 | 2,103 | ||||||
23,747 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 25,341 | ||||||
19,624 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 21,542 | ||||||
1,381 | Series G92-59, Class F, VAR, 1.371%, 10/25/22 | 1,402 | ||||||
3,910 | Series G92-61, Class Z, 7.000%, 10/25/22 | 4,450 | ||||||
9,034 | Series G92-66, Class KA, 6.000%, 12/25/22 | 9,831 | ||||||
42,730 | Series G92-66, Class KB, 7.000%, 12/25/22 | 47,401 | ||||||
11,326 | Series G93-1, Class KA, 7.900%, 01/25/23 | 12,898 | ||||||
11,853 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 13,082 | ||||||
Federal National Mortgage Association REMIC Trust, | ||||||||
49,640 | Series 1999-W1, Class PO, PO, 02/25/29 | 45,991 | ||||||
189,452 | Series 1999-W4, Class A9, 6.250%, 02/25/29 | 210,368 | ||||||
403,805 | Series 2002-W7, Class A4, 6.000%, 06/25/29 | 439,350 | ||||||
342,219 | Series 2003-W1, Class 1A1, VAR, 5.854%, 12/25/42 | 388,672 | ||||||
46,509 | Series 2003-W1, Class 2A, VAR, 6.552%, 12/25/42 | 53,484 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
12,208 | Series 329, Class 1, PO, 01/25/33 | 11,461 | ||||||
55,178 | Series 365, Class 8, IO, 5.500%, 05/25/36 | 8,136 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — continued | ||||||||
41,429 | Federal National Mortgage Association Trust, Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 47,535 | ||||||
Government National Mortgage Association, | ||||||||
141,440 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 160,760 | ||||||
84,861 | Series 1998-22, Class PD, 6.500%, 09/20/28 | 89,767 | ||||||
27,062 | Series 1999-17, Class L, 6.000%, 05/20/29 | 30,225 | ||||||
137,681 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 167,828 | ||||||
2,427 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 437 | ||||||
423,378 | Series 2000-36, Class PB, 7.500%, 11/16/30 | 500,747 | ||||||
945,482 | Series 2001-10, Class PE, 6.500%, 03/16/31 | 1,068,414 | ||||||
146,986 | Series 2001-22, Class PS, HB, IF, 20.587%, 03/17/31 | 227,116 | ||||||
61,803 | Series 2001-36, Class S, IF, IO, 7.889%, 08/16/31 | 16,509 | ||||||
24,445 | Series 2001-53, Class SR, IF, IO, 7.985%, 10/20/31 | 761 | ||||||
1,000,000 | Series 2001-64, Class PB, 6.500%, 12/20/31 | 1,136,243 | ||||||
10,696 | Series 2002-24, Class SB, IF, 11.684%, 04/16/32 | 13,537 | ||||||
5,309 | Series 2003-24, Class PO, PO, 03/16/33 | 4,827 | ||||||
269,365 | Series 2004-11, Class SW, IF, IO, 5.335%, 02/20/34 | 35,711 | ||||||
32,789 | Series 2004-28, Class S, IF, 19.220%, 04/16/34 | 47,810 | ||||||
186,933 | Series 2007-45, Class QA, IF, IO, 6.475%, 07/20/37 | 28,369 | ||||||
144,308 | Series 2007-76, Class SA, IF, IO, 6.365%, 11/20/37 | 21,621 | ||||||
134,597 | Series 2008-2, Class MS, IF, IO, 6.999%, 01/16/38 | 23,270 | ||||||
99,862 | Series 2008-55, Class SA, IF, IO, 6.035%, 06/20/38 | 12,490 | ||||||
75,361 | Series 2009-6, Class SA, IF, IO, 5.939%, 02/16/39 | 9,558 | ||||||
214,573 | Series 2009-6, Class SH, IF, IO, 5.875%, 02/20/39 | 25,466 | ||||||
149,045 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 29,055 | ||||||
105,783 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 21,269 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Agency CMO — continued | ||||||||
312,896 | Series 2009-22, Class SA, IF, IO, 6.105%, 04/20/39 | 39,772 | ||||||
281,533 | Series 2009-31, Class ST, IF, IO, 6.185%, 03/20/39 | 31,600 | ||||||
281,533 | Series 2009-31, Class TS, IF, IO, 6.135%, 03/20/39 | 31,285 | ||||||
287,848 | Series 2009-64, Class SN, IF, IO, 5.939%, 07/16/39 | 31,855 | ||||||
112,636 | Series 2009-79, Class OK, PO, 11/16/37 | 107,227 | ||||||
143,710 | Series 2009-102, Class SM, IF, IO, 6.239%, 06/16/39 | 14,344 | ||||||
473,180 | Series 2009-106, Class ST, IF, IO, 5.835%, 02/20/38 | 64,028 | ||||||
159,099 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 185,072 | ||||||
298,873 | Series 2011-75, Class SM, IF, IO, 6.435%, 05/20/41 | 66,475 | ||||||
872,205 | Series 2013-H08, Class FC, VAR, 0.606%, 02/20/63 | 867,673 | ||||||
481,962 | Series 2013-H09, Class HA, 1.650%, 04/20/63 | 477,214 | ||||||
493,761 | Series 2014-H17, Class FC, VAR, 0.656%, 07/20/64 | 490,970 | ||||||
Vendee Mortgage Trust, | ||||||||
57,872 | Series 1994-1, Class 1, VAR, 5.573%, 02/15/24 | 63,002 | ||||||
135,503 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 154,445 | ||||||
74,915 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 86,068 | ||||||
269,141 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 315,760 | ||||||
73,454 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 85,072 | ||||||
|
| |||||||
32,169,223 | ||||||||
|
| |||||||
Non-Agency CMO — 7.0% | ||||||||
Alternative Loan Trust, | ||||||||
14,884 | Series 2003-J1, Class PO, PO, 10/25/33 | 12,601 | ||||||
2,058,037 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 2,103,936 | ||||||
563,708 | Series 2005-20CB, Class 3A8, IF, IO, 4.580%, 07/25/35 | 67,605 | ||||||
799,375 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 777,100 | ||||||
395,827 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 359,786 | ||||||
735,816 | Series 2005-22T1, Class A2, IF, IO, 4.901%, 06/25/35 | 100,290 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — continued | ||||||||
588,778 | Series 2005-J1, Class 1A4, IF, IO, 4.930%, 02/25/35 | 52,889 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
15,523 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 15,647 | ||||||
314,167 | Series 2004-5, Class 3A3, PO, 06/25/34 | 258,234 | ||||||
32,516 | Series 2004-6, Class 15PO, PO, 07/25/19 | 31,407 | ||||||
Banc of America Funding Trust, | ||||||||
41,035 | Series 2004-1, Class PO, PO, 03/25/34 | 32,765 | ||||||
292,507 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 289,695 | ||||||
43,843 | Series 2005-7, Class 30PO, PO, 11/25/35 | 32,902 | ||||||
174,011 | Series 2005-E, Class 4A1, VAR, 2.686%, 03/20/35 | 173,927 | ||||||
Banc of America Mortgage Trust, | ||||||||
12,429 | Series 2003-8, Class APO, PO, 11/25/33 | 10,007 | ||||||
44,559 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 45,573 | ||||||
8,835 | Series 2004-4, Class APO, PO, 05/25/34 | 7,696 | ||||||
143,931 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 146,670 | ||||||
130,468 | Series 2004-6, Class 2A5, PO, 07/25/34 | 114,856 | ||||||
31,476 | Series 2004-6, Class APO, PO, 07/25/34 | 28,094 | ||||||
17,674 | Series 2004-7, Class 1A19, PO, 08/25/34 | 16,250 | ||||||
115,619 | Series 2004-J, Class 3A1, VAR, 2.822%, 11/25/34 | 114,917 | ||||||
BCAP LLC Trust, | ||||||||
100,450 | Series 2011-RR5, Class 11A3, VAR, 0.319%, 05/28/36 (e) | 98,768 | ||||||
11,772 | Series 2011-RR5, Class 14A3, VAR, 2.685%, 07/26/36 (e) | 11,739 | ||||||
Bear Stearns ARM Trust, | ||||||||
55,255 | Series 2003-7, Class 3A, VAR, 2.395%, 10/25/33 | 55,321 | ||||||
102,316 | Series 2005-5, Class A1, VAR, 2.190%, 08/25/35 | 103,410 | ||||||
336,724 | Series 2006-1, Class A1, VAR, 2.360%, 02/25/36 | 335,724 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
11,017 | Series 2003-J7, Class 4A3, IF, 9.553%, 08/25/18 | 11,488 | ||||||
72,315 | Series 2004-7, Class 2A1, VAR, 2.463%, 06/25/34 | 70,705 | ||||||
42,428 | Series 2004-HYB1, Class 2A, VAR, 2.511%, 05/20/34 | 40,374 | ||||||
58,364 | Series 2004-HYB3, Class 2A, VAR, 2.202%, 06/20/34 | 55,356 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Non-Agency CMO — continued | ||||||||
63,292 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 64,954 | ||||||
5,929 | Series 2004-J8, Class POA, PO, 11/25/19 | 5,755 | ||||||
157,338 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 146,999 | ||||||
312,085 | Series 2005-22, Class 2A1, VAR, 2.465%, 11/25/35 | 263,926 | ||||||
194,255 | Citigroup Mortgage Loan Trust, Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 199,171 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
11,959 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 12,377 | ||||||
10,354 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 10,466 | ||||||
2,702 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 2,555 | ||||||
3,513 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 3,387 | ||||||
99,893 | Series 2005-1, Class 2A1A, VAR, 2.572%, 04/25/35 | 76,464 | ||||||
4,885 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 5P, PO, 08/25/19 | 4,712 | ||||||
CSMC, | ||||||||
169,067 | Series 2010-11R, Class A6, VAR, 1.170%, 06/28/47 (e) | 162,205 | ||||||
73,604 | Series 2011-9R, Class A1, VAR, 2.169%, 03/27/46 (e) | 73,811 | ||||||
51,132 | FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e) | 51,529 | ||||||
229,358 | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 201,633 | ||||||
First Horizon Mortgage Pass-Through Trust, | ||||||||
211,422 | Series 2004-AR7, Class 2A2, VAR, 2.572%, 02/25/35 | 211,285 | ||||||
160,879 | Series 2005-AR1, Class 2A2, VAR, 2.573%, 04/25/35 | 159,996 | ||||||
GMACM Mortgage Loan Trust, | ||||||||
108,181 | Series 2003-AR1, Class A4, VAR, 2.854%, 10/19/33 | 106,842 | ||||||
105,476 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 109,929 | ||||||
503,903 | Series 2005-AR3, Class 3A4, VAR, 2.801%, 06/19/35 | 496,846 | ||||||
GSR Mortgage Loan Trust, | ||||||||
83,538 | Series 2004-6F, Class 1A2, 5.000%, 05/25/34 | 84,284 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — continued | ||||||||
326,993 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 350,144 | ||||||
88,751 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 87,799 | ||||||
58,433 | Impac Secured Assets Trust, Series 2006-1, Class 2A1, VAR, 0.520%, 05/25/36 | 56,551 | ||||||
1,228,220 | IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35 | 12 | ||||||
112,203 | JP Morgan Mortgage Trust, Series 2006-A2, Class 5A3, VAR, 2.430%, 11/25/33 | 112,436 | ||||||
68,695 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, VAR, 2.643%, 04/21/34 | 69,083 | ||||||
MASTR Alternative Loan Trust, | ||||||||
90,800 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 90,752 | ||||||
166,019 | Series 2004-4, Class 10A1, 5.000%, 05/25/24 | 175,527 | ||||||
196,841 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 200,354 | ||||||
24,147 | Series 2004-7, Class 30PO, PO, 08/25/34 | 18,572 | ||||||
106,685 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 110,334 | ||||||
87,002 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 88,471 | ||||||
MASTR Asset Securitization Trust, | ||||||||
255,256 | Series 2003-11, Class 9A6, 5.250%, 12/25/33 | 268,546 | ||||||
16,626 | Series 2003-12, Class 15PO, PO, 12/25/18 | 15,946 | ||||||
28,889 | Series 2004-6, Class 15PO, PO, 07/25/19 | 27,913 | ||||||
15,913 | Series 2004-8, Class PO, PO, 08/25/19 | 14,784 | ||||||
56,904 | Series 2004-10, Class 15PO, PO, 10/25/19 | 54,712 | ||||||
111,026 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 88,821 | ||||||
60,867 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.810%, 02/25/35 | 59,319 | ||||||
49,714 | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 50,410 | ||||||
373,188 | PHH Alternative Mortgage Trust, Series 2007-2, Class 2X, IO, 6.000%, 05/25/37 | 94,844 | ||||||
RALI Trust, | ||||||||
30,558 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 30,931 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — continued |
| ||||||
Non-Agency CMO — continued | ||||||||
748,965 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 779,062 | ||||||
9,317 | Series 2003-QS3, Class A2, IF, 16.127%, 02/25/18 | 10,367 | ||||||
5,569 | Series 2003-QS3, Class A8, IF, IO, 7.431%, 02/25/18 | 82 | ||||||
66,591 | Series 2003-QS9, Class A3, IF, IO, 7.381%, 05/25/18 | 6,541 | ||||||
98,006 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 99,525 | ||||||
31,312 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 31,967 | ||||||
7,383 | Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19 | 7,553 | ||||||
146,069 | RFMSI Trust, Series 2005-SA4, Class 1A1, VAR, 2.702%, 09/25/35 | 122,055 | ||||||
4,662 | SACO I, Inc., Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) | 4,744 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
65,508 | Series 2003-HYB1, Class A, VAR, 2.494%, 09/25/33 | 66,301 | ||||||
1,235 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 1,086 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
55,460 | Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 56,203 | ||||||
189,706 | Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e) | 189,055 | ||||||
124,000 | Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e) | 121,512 | ||||||
108,000 | Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e) | 108,202 | ||||||
157,029 | Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e) | 156,754 | ||||||
125,000 | Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e) | 127,530 | ||||||
122,367 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 2.354%, 06/25/34 | 121,689 | ||||||
104,460 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 106,748 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
19,892 | Series 2003-AR8, Class A, VAR, 2.390%, 08/25/33 | 20,450 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — continued | ||||||||
90,980 | Series 2003-AR9, Class 1A6, VAR, 2.406%, 09/25/33 | 93,690 | ||||||
6,474 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 | 6,531 | ||||||
34,811 | Series 2004-AR3, Class A2, VAR, 2.370%, 06/25/34 | 35,129 | ||||||
Washington Mutual Mortgage Pass-Through | ||||||||
1,383,059 | Series 2005-2, Class 1A4, IF, IO, 4.880%, 04/25/35 | 195,327 | ||||||
397,944 | Series 2005-2, Class 2A3, IF, IO, 4.831%, 04/25/35 | 51,095 | ||||||
352,360 | Series 2005-3, Class CX, IO, 5.500%, 05/25/35 | 73,738 | ||||||
338,125 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 312,902 | ||||||
17,153 | Series 2005-4, Class DP, PO, 06/25/20 | 16,416 | ||||||
114,728 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 106,283 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
26,791 | Series 2003-K, Class 1A1, VAR, 2.490%, 11/25/33 | 26,913 | ||||||
53,583 | Series 2003-K, Class 1A2, VAR, 2.490%, 11/25/33 | 54,475 | ||||||
60,229 | Series 2004-EE, Class 3A1, VAR, 2.496%, 12/25/34 | 60,997 | ||||||
165,672 | Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34 | 166,538 | ||||||
311,945 | Series 2005-AR3, Class 1A1, VAR, 2.619%, 03/25/35 | 314,274 | ||||||
89,375 | Series 2005-AR8, Class 2A1, VAR, 2.592%, 06/25/35 | 89,930 | ||||||
74,944 | Series 2005-AR16, Class 2A1, VAR, 2.599%, 02/25/34 | 75,947 | ||||||
|
| |||||||
13,908,730 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 46,077,953 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 2.3% | |||||||
123,293 | A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/25 (e) | 123,632 | ||||||
277,599 | A10 Term Asset Financing LLC, Series 2013-2, Class A, 2.620%, 11/15/27 (e) | 278,824 | ||||||
231,755 | Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 07/10/46 | 242,479 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — continued |
| ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
125,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 125,949 | ||||||
125,000 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 126,576 | ||||||
BB-UBS Trust, | ||||||||
100,000 | Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e) | 101,748 | ||||||
100,000 | Series 2012-TFT, Class A, 2.892%, 06/05/30 (e) | 97,908 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
189,713 | Series 2005-PWR8, Class A4, 4.674%, 06/11/41 | 190,585 | ||||||
354,112 | Series 2006-PW11, Class A4, VAR, 5.435%, 03/11/39 | 365,871 | ||||||
10,168,093 | CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.368%, 12/11/49 (e) | 68,706 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
100,000 | Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 100,272 | ||||||
94,645 | Series 2013-SMP, Class A, 2.110%, 01/12/30 (e) | 95,646 | ||||||
COMM Mortgage Trust, | ||||||||
125,000 | Series 2013-SFS, Class A2, VAR, 2.987%, 04/12/35 (e) | 125,169 | ||||||
200,000 | Series 2014-CR19, Class A5, 3.796%, 08/10/47 | 211,128 | ||||||
565,000 | Commercial Mortgage Pass-Through Certificates, Series 2006-C1, Class A4, VAR, 5.467%, 02/15/39 | 581,283 | ||||||
229,000 | Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, Series K038, Class A2, 3.389%, 03/25/24 | 241,851 | ||||||
83,278 | GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 84,752 | ||||||
122,000 | GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e) | 123,449 | ||||||
3,220,975 | Morgan Stanley Capital I Trust, Series 2006-IQ12, Class X1, IO, VAR, 0.466%, 12/15/43 (e) | 25,874 | ||||||
643,745 | NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20 | 658,319 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
62,834 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.559%, 08/15/39 | 62,843 | ||||||
116,000 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 118,987 | ||||||
104,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63 | 108,587 | ||||||
200,000 | VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.808%, 12/13/29 (e) | 211,629 | ||||||
17,126 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.188%, 01/15/41 | 17,123 | ||||||
110,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 119,912 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 4,609,102 | |||||||
|
| |||||||
| Corporate Bonds — 16.6% | |||||||
Consumer Discretionary — 1.4% | ||||||||
Auto Components — 0.0% (g) |
| |||||||
7,000 | Johnson Controls, Inc., 4.950%, 07/02/64 | 7,217 | ||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
150,000 | Daimler Finance North America LLC, 1.875%, 01/11/18 (e) | 150,521 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
Amazon.com, Inc., | ||||||||
66,000 | 3.300%, 12/05/21 | 66,904 | ||||||
65,000 | 4.800%, 12/05/34 | 68,233 | ||||||
|
| |||||||
135,137 | ||||||||
|
| |||||||
Media — 1.1% |
| |||||||
21st Century Fox America, Inc., | ||||||||
50,000 | 6.650%, 11/15/37 | 66,763 | ||||||
50,000 | 7.250%, 05/18/18 | 58,535 | ||||||
150,000 | 7.300%, 04/30/28 | 192,701 | ||||||
CBS Corp., | ||||||||
78,000 | 3.700%, 08/15/24 | 77,786 | ||||||
21,000 | 5.750%, 04/15/20 | 23,946 | ||||||
75,000 | Comcast Cable Holdings LLC, 10.125%, 04/15/22 | 105,107 | ||||||
Comcast Corp., | ||||||||
39,000 | 4.200%, 08/15/34 | 40,780 | ||||||
87,000 | 4.250%, 01/15/33 | 92,126 | ||||||
50,000 | 5.900%, 03/15/16 | 53,010 | ||||||
50,000 | 6.450%, 03/15/37 | 66,521 | ||||||
30,000 | 6.500%, 01/15/17 | 33,126 | ||||||
35,000 | 6.500%, 11/15/35 | 46,725 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — 16.6% |
| ||||||
Media — continued | ||||||||
20,000 | Cox Communications, Inc., 8.375%, 03/01/39 (e) | 28,513 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
125,000 | 4.600%, 02/15/21 | 133,892 | ||||||
67,000 | 5.000%, 03/01/21 | 73,063 | ||||||
125,000 | 6.000%, 08/15/40 | 140,098 | ||||||
78,000 | Discovery Communications LLC, 4.375%, 06/15/21 | 82,509 | ||||||
100,000 | Historic TW, Inc., 9.150%, 02/01/23 | 136,011 | ||||||
75,000 | NBCUniversal Media LLC, 5.950%, 04/01/41 | 96,444 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
25,000 | 3.850%, 09/29/24 | 25,274 | ||||||
84,000 | 3.950%, 09/30/21 | 88,521 | ||||||
Time Warner Cable, Inc., | ||||||||
50,000 | 6.550%, 05/01/37 | 64,374 | ||||||
50,000 | 6.750%, 07/01/18 | 57,344 | ||||||
50,000 | 7.300%, 07/01/38 | 68,943 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
50,000 | 8.375%, 03/15/23 | 67,294 | ||||||
25,000 | 8.375%, 07/15/33 | 37,519 | ||||||
Time Warner, Inc., | ||||||||
35,000 | 4.750%, 03/29/21 | 38,198 | ||||||
75,000 | 6.200%, 03/15/40 | 91,306 | ||||||
7,000 | 6.250%, 03/29/41 | 8,692 | ||||||
15,000 | 6.500%, 11/15/36 | 19,083 | ||||||
Viacom, Inc., | ||||||||
8,000 | 1.250%, 02/27/15 | 8,007 | ||||||
15,000 | 2.750%, 12/15/19 | 15,030 | ||||||
22,000 | 3.250%, 03/15/23 | 21,246 | ||||||
43,000 | 3.875%, 12/15/21 | 44,512 | ||||||
20,000 | 4.500%, 02/27/42 | 19,498 | ||||||
16,000 | 4.850%, 12/15/34 | 16,374 | ||||||
5,000 | 6.250%, 04/30/16 | 5,342 | ||||||
|
| |||||||
2,244,213 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (g) | ||||||||
Macy’s Retail Holdings, Inc., | ||||||||
18,000 | 4.375%, 09/01/23 | 19,336 | ||||||
26,000 | 4.500%, 12/15/34 | 26,181 | ||||||
9,000 | 5.125%, 01/15/42 | 9,755 | ||||||
|
| |||||||
55,272 | ||||||||
|
| |||||||
Specialty Retail — 0.1% | ||||||||
30,000 | Gap, Inc. (The), 5.950%, 04/12/21 | 34,140 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued | ||||||||
70,000 | Home Depot, Inc. (The), 5.400%, 03/01/16 | 73,872 | ||||||
75,000 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 105,846 | ||||||
|
| |||||||
213,858 | ||||||||
|
| |||||||
Total Consumer Discretionary | 2,806,218 | |||||||
|
| |||||||
Consumer Staples — 0.6% | ||||||||
Beverages — 0.1% | ||||||||
23,000 | Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19 | 27,859 | ||||||
95,000 | Diageo Capital plc, (United Kingdom), 5.750%, 10/23/17 | 105,793 | ||||||
20,000 | Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15 | 20,733 | ||||||
15,000 | FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e) | 15,297 | ||||||
|
| |||||||
169,682 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% | ||||||||
CVS Health Corp., | ||||||||
36,000 | 4.000%, 12/05/23 | 38,098 | ||||||
16,000 | 5.300%, 12/05/43 | 19,127 | ||||||
Kroger Co. (The), | ||||||||
67,000 | 4.000%, 02/01/24 | 70,335 | ||||||
18,000 | 5.400%, 07/15/40 | 20,636 | ||||||
25,000 | 7.500%, 04/01/31 | 33,762 | ||||||
Sysco Corp., | ||||||||
19,000 | 3.000%, 10/02/21 | 19,288 | ||||||
16,000 | 4.500%, 10/02/44 | 17,355 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
36,000 | 3.300%, 11/18/21 | 36,251 | ||||||
47,000 | 3.800%, 11/18/24 | 47,935 | ||||||
23,000 | 4.500%, 11/18/34 | 23,952 | ||||||
70,000 | Wal-Mart Stores, Inc., 6.500%, 08/15/37 | 96,321 | ||||||
|
| |||||||
423,060 | ||||||||
|
| |||||||
Food Products — 0.3% | ||||||||
25,000 | Archer-Daniels-Midland Co., 5.935%, 10/01/32 | 32,121 | ||||||
55,000 | Bunge Ltd. Finance Corp., 8.500%, 06/15/19 | 67,405 | ||||||
27,000 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 29,356 | ||||||
8,000 | ConAgra Foods, Inc., 2.100%, 03/15/18 | 7,974 | ||||||
13,000 | Kellogg Co., 1.750%, 05/17/17 | 13,068 | ||||||
Kraft Foods Group, Inc., | ||||||||
66,000 | 5.375%, 02/10/20 | 74,904 | ||||||
122,000 | 6.125%, 08/23/18 | 139,497 | ||||||
100,000 | 6.875%, 01/26/39 | 132,176 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Food Products — continued | ||||||||
75,000 | Mondelez International, Inc., 4.000%, 02/01/24 | 78,470 | ||||||
49,000 | Tyson Foods, Inc., 3.950%, 08/15/24 | 50,652 | ||||||
|
| |||||||
625,623 | ||||||||
|
| |||||||
Household Products — 0.0% (g) | ||||||||
60,696 | Procter & Gamble - ESOP, Series A, 9.360%, 01/01/21 | 74,936 | ||||||
|
| |||||||
Total Consumer Staples | 1,293,301 | |||||||
|
| |||||||
Energy — 1.8% | ||||||||
Energy Equipment & Services — 0.1% | ||||||||
21,000 | Diamond Offshore Drilling, Inc., 4.875%, 11/01/43 | 17,890 | ||||||
54,000 | Halliburton Co., 3.500%, 08/01/23 | 54,491 | ||||||
30,000 | Nabors Industries, Inc., 5.000%, 09/15/20 | 29,465 | ||||||
Noble Holding International Ltd., (Cayman Islands), | ||||||||
5,000 | 3.950%, 03/15/22 | 4,381 | ||||||
25,000 | 6.050%, 03/01/41 | 21,496 | ||||||
Transocean, Inc., (Cayman Islands), | ||||||||
18,000 | 6.375%, 12/15/21 | 16,604 | ||||||
75,000 | 6.500%, 11/15/20 | 70,723 | ||||||
14,000 | 7.350%, 12/15/41 | 12,614 | ||||||
|
| |||||||
227,664 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.7% | ||||||||
50,000 | Apache Corp., 6.900%, 09/15/18 | 57,513 | ||||||
18,000 | Boardwalk Pipelines LP, 4.950%, 12/15/24 | 17,895 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
121,000 | 2.750%, 05/10/23 | 113,150 | ||||||
150,000 | 4.742%, 03/11/21 | 163,276 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
25,000 | 3.900%, 02/01/25 | 24,644 | ||||||
100,000 | 5.900%, 02/01/18 | 110,668 | ||||||
Cenovus Energy, Inc., (Canada), | ||||||||
13,000 | 3.000%, 08/15/22 | 12,167 | ||||||
31,000 | 4.450%, 09/15/42 | 26,809 | ||||||
20,000 | Chevron Corp., 2.355%, 12/05/22 | 19,394 | ||||||
200,000 | CNOOC Nexen Finance ULC, (Canada), 4.250%, 04/30/24 | 206,650 | ||||||
ConocoPhillips, | ||||||||
25,000 | 5.750%, 02/01/19 | 28,419 | ||||||
120,000 | 6.000%, 01/15/20 | 139,433 | ||||||
75,000 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 80,965 | ||||||
43,000 | ConocoPhillips Co., 3.350%, 11/15/24 | 43,445 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
Devon Energy Corp., | ||||||||
47,000 | 3.250%, 05/15/22 | 46,171 | ||||||
21,000 | 4.750%, 05/15/42 | 21,140 | ||||||
33,000 | Ecopetrol S.A., (Colombia), 4.125%, 01/16/25 | 31,350 | ||||||
Enterprise Products Operating LLC, | ||||||||
25,000 | 3.750%, 02/15/25 | 25,095 | ||||||
25,000 | 3.900%, 02/15/24 | 25,462 | ||||||
6,000 | 4.950%, 10/15/54 | 6,142 | ||||||
16,000 | 5.100%, 02/15/45 | 17,203 | ||||||
15,000 | EOG Resources, Inc., 2.625%, 03/15/23 | 14,384 | ||||||
30,000 | Gulf South Pipeline Co. LP, 4.000%, 06/15/22 | 29,574 | ||||||
50,000 | Kerr-McGee Corp., 7.875%, 09/15/31 | 68,355 | ||||||
76,000 | Magellan Midstream Partners LP, 5.150%, 10/15/43 | 80,568 | ||||||
150,000 | Marathon Oil Corp., 6.000%, 10/01/17 | 165,340 | ||||||
29,000 | Marathon Petroleum Corp., 3.625%, 09/15/24 | 28,420 | ||||||
100,000 | NGPL PipeCo LLC, 7.119%, 12/15/17 (e) | 98,250 | ||||||
14,000 | Noble Energy, Inc., 5.050%, 11/15/44 | 13,838 | ||||||
15,000 | ONEOK Partners LP, 6.650%, 10/01/36 | 17,263 | ||||||
Petrobras Global Finance B.V., (Netherlands), | ||||||||
56,000 | 4.375%, 05/20/23 | 48,216 | ||||||
147,000 | 6.250%, 03/17/24 | 139,400 | ||||||
Petrobras International Finance Co. S.A., (Luxembourg), | ||||||||
45,000 | 5.375%, 01/27/21 | 41,603 | ||||||
25,000 | 7.875%, 03/15/19 | 25,997 | ||||||
60,000 | Petro-Canada, (Canada), 6.800%, 05/15/38 | 75,794 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
30,000 | 4.250%, 01/15/25 (e) | 29,775 | ||||||
20,000 | 4.875%, 01/18/24 | 20,850 | ||||||
33,000 | 5.500%, 06/27/44 (e) | 33,660 | ||||||
42,000 | 6.375%, 01/23/45 | 47,250 | ||||||
Plains All American Pipeline LP/PAA Finance Corp., | ||||||||
15,000 | 2.600%, 12/15/19 | 14,896 | ||||||
50,000 | 3.600%, 11/01/24 | 49,086 | ||||||
50,000 | 4.900%, 02/15/45 | 50,812 | ||||||
Spectra Energy Capital LLC, | ||||||||
47,000 | 3.300%, 03/15/23 | 44,644 | ||||||
50,000 | 5.650%, 03/01/20 | 55,548 | ||||||
45,000 | 7.500%, 09/15/38 | 54,313 | ||||||
50,000 | 8.000%, 10/01/19 | 60,506 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
Spectra Energy Partners LP, | ||||||||
34,000 | 2.950%, 09/25/18 | 34,796 | ||||||
25,000 | 5.950%, 09/25/43 | 29,674 | ||||||
Statoil ASA, (Norway), | ||||||||
143,000 | 2.650%, 01/15/24 | 138,915 | ||||||
50,000 | 3.125%, 08/17/17 | 52,237 | ||||||
23,000 | 3.250%, 11/10/24 | 23,076 | ||||||
45,000 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 | 57,444 | ||||||
Sunoco Logistics Partners Operations LP, | ||||||||
13,000 | 4.250%, 04/01/24 | 13,146 | ||||||
53,000 | 5.350%, 05/15/45 | 53,587 | ||||||
Talisman Energy, Inc., (Canada), | ||||||||
45,000 | 5.500%, 05/15/42 | 42,476 | ||||||
5,000 | 5.850%, 02/01/37 | 4,852 | ||||||
10,000 | 6.250%, 02/01/38 | 10,152 | ||||||
40,000 | 7.750%, 06/01/19 | 46,075 | ||||||
Total Capital International S.A., (France), | ||||||||
28,000 | 1.550%, 06/28/17 | 28,096 | ||||||
50,000 | 2.750%, 06/19/21 | 50,187 | ||||||
150,000 | Total Capital S.A., (France), 2.300%, 03/15/16 | 152,679 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
50,000 | 6.500%, 08/15/18 | 56,722 | ||||||
50,000 | 7.125%, 01/15/19 | 58,108 | ||||||
|
| |||||||
3,377,555 | ||||||||
|
| |||||||
Total Energy | 3,605,219 | |||||||
|
| |||||||
Financials — 6.9% |
| |||||||
Banks — 2.6% |
| |||||||
Bank of America Corp., | ||||||||
50,000 | 2.000%, 01/11/18 | 49,962 | ||||||
295,000 | Series L, 5.650%, 05/01/18 | 327,737 | ||||||
50,000 | 5.700%, 01/24/22 | 57,922 | ||||||
245,000 | 5.750%, 12/01/17 | 270,700 | ||||||
135,000 | 6.400%, 08/28/17 | 150,413 | ||||||
50,000 | 6.500%, 08/01/16 | 53,866 | ||||||
90,000 | 6.875%, 04/25/18 | 103,372 | ||||||
25,000 | 7.625%, 06/01/19 | 30,215 | ||||||
Bank of Nova Scotia (The), (Canada), | ||||||||
100,000 | 2.550%, 01/12/17 | 102,554 | ||||||
82,000 | 3.400%, 01/22/15 | 82,129 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
106,000 | 2.750%, 02/23/15 | 106,291 | ||||||
150,000 | 6.050%, 12/04/17 (e) | 164,987 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued | ||||||||
BB&T Corp., | ||||||||
100,000 | 3.950%, 04/29/16 | 103,522 | ||||||
50,000 | 5.250%, 11/01/19 | 55,700 | ||||||
Citigroup, Inc., | ||||||||
40,000 | 1.850%, 11/24/17 | 39,954 | ||||||
50,000 | 4.300%, 11/20/26 | 49,888 | ||||||
22,000 | 4.500%, 01/14/22 | 24,041 | ||||||
150,000 | 4.700%, 05/29/15 | 152,435 | ||||||
30,000 | 4.750%, 05/19/15 | 30,442 | ||||||
9,000 | 5.375%, 08/09/20 | 10,229 | ||||||
58,000 | 5.500%, 09/13/25 | 64,177 | ||||||
5,000 | 6.000%, 08/15/17 | 5,532 | ||||||
101,000 | 6.010%, 01/15/15 | 101,144 | ||||||
100,000 | 8.125%, 07/15/39 | 153,093 | ||||||
45,000 | 8.500%, 05/22/19 | 56,073 | ||||||
10,000 | Comerica, Inc., 3.800%, 07/22/26 | 10,071 | ||||||
200,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands), 3.200%, 03/11/15 (e) | 201,000 | ||||||
350,000 | Glitnir Banki HF, (Iceland), 0.000%, 10/15/08 (d) (e) (i) | 103,250 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
100,000 | 3.500%, 06/28/15 (e) | 101,423 | ||||||
111,000 | 4.125%, 08/12/20 (e) | 120,155 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
200,000 | 2.750%, 09/28/15 (e) | 202,912 | ||||||
100,000 | 3.750%, 03/02/15 (e) | 100,498 | ||||||
PNC Funding Corp., | ||||||||
150,000 | 5.125%, 02/08/20 | 168,550 | ||||||
25,000 | 5.250%, 11/15/15 | 25,910 | ||||||
25,000 | 5.625%, 02/01/17 | 26,981 | ||||||
25,000 | 6.700%, 06/10/19 | 29,601 | ||||||
80,000 | Royal Bank of Canada, (Canada), 2.000%, 10/01/18 | 80,737 | ||||||
72,000 | Toronto-Dominion Bank (The), (Canada), 2.500%, 07/14/16 | 73,757 | ||||||
U.S. Bancorp, | ||||||||
90,000 | 2.450%, 07/27/15 | 91,036 | ||||||
100,000 | 7.500%, 06/01/26 | 133,713 | ||||||
50,000 | Wachovia Corp., 5.750%, 02/01/18 | 55,989 | ||||||
Wells Fargo & Co., | ||||||||
284,000 | 5.606%, 01/15/44 | 334,328 | ||||||
200,000 | SUB, 3.676%, 06/15/16 | 207,460 | ||||||
Wells Fargo Bank N.A., | ||||||||
250,000 | 6.000%, 11/15/17 | 280,228 | ||||||
250,000 | VAR, 0.571%, 03/15/16 | 249,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Banks — continued | ||||||||
Westpac Banking Corp., (Australia), | ||||||||
65,000 | 4.200%, 02/27/15 | 65,328 | ||||||
121,000 | 4.875%, 11/19/19 | 135,007 | ||||||
|
| |||||||
5,143,937 | ||||||||
|
| |||||||
Capital Markets — 1.7% |
| |||||||
60,000 | Ameriprise Financial, Inc., 4.000%, 10/15/23 | 63,556 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
75,000 | Series 1, 2.950%, 06/18/15 | 75,842 | ||||||
100,000 | 3.250%, 09/11/24 | 100,048 | ||||||
83,000 | 3.650%, 02/04/24 | 86,800 | ||||||
55,000 | 4.600%, 01/15/20 | 60,682 | ||||||
BlackRock, Inc., | ||||||||
130,000 | Series 2, 5.000%, 12/10/19 | 146,976 | ||||||
65,000 | 6.250%, 09/15/17 | 72,818 | ||||||
100,000 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 115,679 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
36,000 | 2.550%, 10/23/19 | 35,868 | ||||||
55,000 | 2.625%, 01/31/19 | 55,336 | ||||||
75,000 | 3.625%, 02/07/16 | 76,954 | ||||||
20,000 | 3.700%, 08/01/15 | 20,323 | ||||||
23,000 | 5.250%, 07/27/21 | 25,959 | ||||||
156,000 | 5.375%, 03/15/20 | 174,829 | ||||||
200,000 | 5.950%, 01/18/18 | 222,194 | ||||||
75,000 | 5.950%, 01/15/27 | 85,811 | ||||||
50,000 | 6.150%, 04/01/18 | 56,121 | ||||||
80,000 | 6.750%, 10/01/37 | 100,590 | ||||||
125,000 | 7.500%, 02/15/19 | 148,683 | ||||||
29,000 | Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24 | 30,408 | ||||||
Jefferies Group LLC, | ||||||||
55,000 | 3.875%, 11/09/15 | 56,162 | ||||||
110,000 | 6.450%, 06/08/27 | 114,130 | ||||||
35,000 | 6.875%, 04/15/21 | 39,787 | ||||||
65,000 | 8.500%, 07/15/19 | 77,889 | ||||||
Macquarie Bank Ltd., (Australia), | ||||||||
62,000 | 2.000%, 08/15/16(e) | 62,755 | ||||||
223,000 | 5.000%, 02/22/17(e) | 237,853 | ||||||
Morgan Stanley, | ||||||||
69,000 | 3.700%, 10/23/24 | 69,940 | ||||||
20,000 | 4.350%, 09/08/26 | 20,119 | ||||||
35,000 | 5.500%, 07/28/21 | 39,721 | ||||||
200,000 | 5.625%, 09/23/19 | 225,759 | ||||||
130,000 | 5.950%, 12/28/17 | 144,449 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — continued | ||||||||
65,000 | Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20 | 76,848 | ||||||
State Street Corp., | ||||||||
24,000 | 3.100%, 05/15/23 | 23,662 | ||||||
77,000 | 3.700%, 11/20/23 | 80,900 | ||||||
UBS AG, (Switzerland), | ||||||||
250,000 | 3.875%, 01/15/15 | 250,264 | ||||||
100,000 | 5.750%, 04/25/18 | 112,494 | ||||||
|
| |||||||
3,388,209 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
50,000 | American Express Co., 7.000%, 03/19/18 | 57,848 | ||||||
American Honda Finance Corp., | ||||||||
200,000 | 1.600%, 02/16/18(e) | 199,026 | ||||||
33,000 | 2.250%, 08/15/19 | 33,106 | ||||||
110,000 | Capital One Financial Corp., 3.500%, 06/15/23 | 111,172 | ||||||
Caterpillar Financial Services Corp., | ||||||||
80,000 | 5.450%, 04/15/18 | 89,289 | ||||||
100,000 | 7.050%, 10/01/18 | 117,971 | ||||||
50,000 | 7.150%, 02/15/19 | 59,815 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
200,000 | 3.984%, 06/15/16 | 207,080 | ||||||
200,000 | 4.250%, 02/03/17 | 210,014 | ||||||
HSBC Finance Corp., | ||||||||
150,000 | 5.000%, 06/30/15 | 153,026 | ||||||
50,000 | 7.350%, 11/27/32 | 65,237 | ||||||
100,000 | HSBC USA, Inc., 1.625%, 01/16/18 | 99,615 | ||||||
John Deere Capital Corp., | ||||||||
39,000 | 1.200%, 10/10/17 | 38,778 | ||||||
42,000 | 3.150%, 10/15/21 | 43,547 | ||||||
Toyota Motor Credit Corp., | ||||||||
100,000 | 2.000%, 09/15/16 | 101,813 | ||||||
87,000 | 3.200%, 06/17/15 | 88,085 | ||||||
|
| |||||||
1,675,422 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
16,000 | CME Group, Inc., 5.300%, 09/15/43 | 19,387 | ||||||
75,000 | Countrywide Financial Corp., 6.250%, 05/15/16 | 79,601 | ||||||
General Electric Capital Corp., | ||||||||
305,000 | 5.500%, 01/08/20 | 349,096 | ||||||
350,000 | 5.625%, 05/01/18 | 393,831 | ||||||
100,000 | 5.875%, 01/14/38 | 126,536 | ||||||
200,000 | 6.750%, 03/15/32 | 273,176 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Diversified Financial Services — continued | ||||||||
Intercontinental Exchange, Inc., | ||||||||
23,000 | 2.500%, 10/15/18 | 23,419 | ||||||
59,000 | 4.000%, 10/15/23 | 62,104 | ||||||
50,000 | National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18 | 65,137 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
42,000 | 1.125%, 08/21/17 | 41,929 | ||||||
60,000 | 6.375%, 12/15/38 | 80,629 | ||||||
|
| |||||||
1,514,845 | ||||||||
|
| |||||||
Insurance — 0.7% |
| |||||||
35,000 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 35,597 | ||||||
31,000 | Allstate Corp. (The), 3.150%, 06/15/23 | 31,151 | ||||||
59,000 | American International Group, Inc., 4.125%, 02/15/24 | 62,806 | ||||||
Aon Corp., | ||||||||
40,000 | 3.125%, 05/27/16 | 41,045 | ||||||
23,000 | 3.500%, 09/30/15 | 23,455 | ||||||
18,000 | 6.250%, 09/30/40 | 22,883 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
33,000 | 2.450%, 12/15/15 | 33,593 | ||||||
62,000 | 4.300%, 05/15/43 | 65,728 | ||||||
50,000 | 5.400%, 05/15/18 | 55,946 | ||||||
100,000 | 5.750%, 01/15/40 | 127,967 | ||||||
75,000 | CNA Financial Corp., 5.875%, 08/15/20 | 85,615 | ||||||
27,000 | Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e) | 29,411 | ||||||
20,000 | Lincoln National Corp., 4.850%, 06/24/21 | 22,032 | ||||||
100,000 | MassMutual Global Funding II, 3.125%, 04/14/16 (e) | 102,983 | ||||||
Metropolitan Life Global Funding I, | ||||||||
100,000 | 1.500%, 01/10/18 (e) | 99,377 | ||||||
175,000 | 3.650%, 06/14/18 (e) | 185,358 | ||||||
75,000 | Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) | 118,834 | ||||||
100,000 | Pacific Life Global Funding, 5.000%, 05/15/17 (e) | 106,565 | ||||||
150,000 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 202,586 | ||||||
25,000 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 28,233 | ||||||
|
| |||||||
1,481,165 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||
American Tower Corp., | ||||||||
40,000 | 3.500%, 01/31/23 | 38,648 | ||||||
38,000 | 5.000%, 02/15/24 | 40,298 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
50,000 | American Tower Trust I, 3.070%, 03/15/23 (e) | 49,706 | ||||||
Equity Commonwealth, | ||||||||
75,000 | 5.875%, 09/15/20 | 82,509 | ||||||
100,000 | 6.650%, 01/15/18 | 109,881 | ||||||
HCP, Inc., | ||||||||
23,000 | 3.875%, 08/15/24 | 23,364 | ||||||
92,000 | 5.375%, 02/01/21 | 102,737 | ||||||
37,000 | Health Care REIT, Inc., 4.500%, 01/15/24 | 39,183 | ||||||
27,000 | Prologis LP, 4.250%, 08/15/23 | 28,529 | ||||||
Simon Property Group LP, | ||||||||
20,000 | 4.375%, 03/01/21 | 21,961 | ||||||
50,000 | 5.650%, 02/01/20 | 57,393 | ||||||
|
| |||||||
594,209 | ||||||||
|
| |||||||
Total Financials | 13,797,787 | |||||||
|
| |||||||
Health Care — 0.5% |
| |||||||
Biotechnology — 0.2% |
| |||||||
Amgen, Inc., | ||||||||
25,000 | 4.500%, 03/15/20 | 27,304 | ||||||
100,000 | 5.150%, 11/15/41 | 112,715 | ||||||
40,000 | 5.700%, 02/01/19 | 44,995 | ||||||
82,000 | 5.750%, 03/15/40 | 98,107 | ||||||
49,000 | Celgene Corp., 3.250%, 08/15/22 | 49,315 | ||||||
29,000 | Gilead Sciences, Inc., 3.500%, 02/01/25 | 29,766 | ||||||
|
| |||||||
362,202 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.2% |
| |||||||
Anthem, Inc., | ||||||||
47,000 | 2.300%, 07/15/18 | 47,260 | ||||||
18,000 | 3.300%, 01/15/23 | 17,982 | ||||||
18,000 | 4.650%, 01/15/43 | 18,734 | ||||||
65,000 | 4.650%, 08/15/44 | 68,837 | ||||||
23,000 | Cardinal Health, Inc., 2.400%, 11/15/19 | 22,925 | ||||||
48,000 | Express Scripts Holding Co., 3.500%, 06/15/24 | 47,831 | ||||||
30,000 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 30,394 | ||||||
50,000 | UnitedHealth Group, Inc., 6.625%, 11/15/37 | 68,287 | ||||||
29,000 | Ventas Realty LP, 3.750%, 05/01/24 | 29,191 | ||||||
|
| |||||||
351,441 | ||||||||
|
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
AbbVie, Inc., | ||||||||
45,000 | 1.750%, 11/06/17 | 45,098 | ||||||
22,000 | 2.900%, 11/06/22 | 21,660 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Pharmaceuticals — continued |
| |||||||
52,000 | Forest Laboratories, Inc., 5.000%, 12/15/21 (e) | 56,307 | ||||||
63,000 | Merck & Co., Inc., 2.800%, 05/18/23 | 62,562 | ||||||
Zoetis, Inc., | ||||||||
14,000 | 1.875%, 02/01/18 | 13,874 | ||||||
9,000 | 4.700%, 02/01/43 | 9,160 | ||||||
|
| |||||||
208,661 | ||||||||
|
| |||||||
Total Health Care | 922,304 | |||||||
|
| |||||||
Industrials — 0.9% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
32,000 | Airbus Group Finance B.V., (Netherlands), 2.700%, 04/17/23 (e) | 31,574 | ||||||
45,000 | BAE Systems Holdings, Inc., 3.800%, 10/07/24 (e) | 46,129 | ||||||
51,000 | BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e) | 61,835 | ||||||
Lockheed Martin Corp., | ||||||||
33,000 | 2.125%, 09/15/16 | 33,603 | ||||||
30,000 | 4.850%, 09/15/41 | 33,495 | ||||||
100,000 | United Technologies Corp., 6.125%, 02/01/19 | 116,102 | ||||||
|
| |||||||
322,738 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% (g) |
| |||||||
35,000 | United Parcel Service of America, Inc., 8.375%, 04/01/20 | 45,143 | ||||||
|
| |||||||
Airlines — 0.0% (g) |
| |||||||
24,760 | Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e) | 25,008 | ||||||
24,545 | American Airlines 2011-1 Class A Pass-Through Trust, Series A, 5.250%, 01/31/21 | 26,448 | ||||||
37,305 | Delta Air Lines 2010-2 Class A Pass-Through Trust, Series 2A, 4.950%, 05/23/19 | 39,916 | ||||||
|
| |||||||
91,372 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
ADT Corp. (The), | ||||||||
35,000 | 3.500%, 07/15/22 | 29,837 | ||||||
17,000 | 4.125%, 06/15/23 | 15,385 | ||||||
28,000 | 4.875%, 07/15/42 | 20,720 | ||||||
21,000 | Republic Services, Inc., 3.550%, 06/01/22 | 21,559 | ||||||
43,000 | Waste Management, Inc., 4.750%, 06/30/20 | 47,133 | ||||||
|
| |||||||
134,634 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — 0.0% (g) |
| |||||||
23,000 | ABB Finance USA, Inc., 2.875%, 05/08/22 | 23,115 | ||||||
44,000 | Fluor Corp., 3.375%, 09/15/21 | 45,455 | ||||||
|
| |||||||
68,570 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.0% (g) |
| |||||||
44,000 | Danaher Corp., 3.900%, 06/23/21 | 47,437 | ||||||
22,000 | Koninklijke Philips N.V., (Netherlands), 5.750%, 03/11/18 | 24,419 | ||||||
|
| |||||||
71,856 | ||||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
80,000 | Illinois Tool Works, Inc., 3.900%, 09/01/42 | 80,592 | ||||||
25,000 | Parker Hannifin Corp., 5.500%, 05/15/18 | 27,972 | ||||||
30,000 | Parker-Hannifin Corp., 4.450%, 11/21/44 | 32,343 | ||||||
|
| |||||||
140,907 | ||||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
50,000 | 3.000%, 03/15/23 | 49,841 | ||||||
25,000 | 3.600%, 09/01/20 | 26,236 | ||||||
25,000 | 4.375%, 09/01/42 | 25,681 | ||||||
77,000 | 5.150%, 09/01/43 | 88,790 | ||||||
75,000 | 5.400%, 06/01/41 | 89,468 | ||||||
100,000 | 5.650%, 05/01/17 | 109,686 | ||||||
85,000 | 5.750%, 05/01/40 | 104,870 | ||||||
CSX Corp., | ||||||||
33,000 | 4.250%, 06/01/21 | 35,839 | ||||||
50,000 | 5.500%, 04/15/41 | 60,320 | ||||||
25,000 | 7.375%, 02/01/19 | 29,938 | ||||||
ERAC USA Finance LLC, | ||||||||
45,000 | 4.500%, 08/16/21 (e) | 48,117 | ||||||
12,000 | 5.625%, 03/15/42 (e) | 14,009 | ||||||
Norfolk Southern Corp., | ||||||||
70,000 | 3.950%, 10/01/42 | 68,659 | ||||||
78,000 | 6.000%, 05/23/11 † | 100,043 | ||||||
27,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e) | 27,454 | ||||||
35,000 | Ryder System, Inc., 3.600%, 03/01/16 | 36,025 | ||||||
|
| |||||||
914,976 | ||||||||
|
| |||||||
Total Industrials | 1,790,196 | |||||||
|
| |||||||
Information Technology — 1.2% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
Cisco Systems, Inc., | ||||||||
11,000 | 2.900%, 03/04/21 | 11,201 | ||||||
80,000 | 5.500%, 02/22/16 | 84,402 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Communications Equipment — continued |
| |||||||
75,000 | 5.900%, 02/15/39 | 94,400 | ||||||
|
| |||||||
190,003 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
13,000 | 3.000%, 03/01/18 | 13,330 | ||||||
25,000 | 3.375%, 11/01/15 | 25,451 | ||||||
8,000 | 4.500%, 03/01/23 | 8,269 | ||||||
25,000 | 6.000%, 04/01/20 | 28,073 | ||||||
80,000 | 6.875%, 06/01/18 | 90,618 | ||||||
7,000 | 7.500%, 01/15/27 | 8,579 | ||||||
|
| |||||||
174,320 | ||||||||
|
| |||||||
Internet Software & Services — 0.1% |
| |||||||
eBay, Inc., | ||||||||
25,000 | 2.600%, 07/15/22 | 23,723 | ||||||
25,000 | 2.875%, 08/01/21 | 24,747 | ||||||
100,000 | 3.450%, 08/01/24 | 98,325 | ||||||
|
| |||||||
146,795 | ||||||||
|
| |||||||
IT Services — 0.3% |
| |||||||
50,000 | HP Enterprise Services LLC, 7.450%, 10/15/29 | 63,175 | ||||||
International Business Machines Corp., | ||||||||
174,000 | 1.625%, 05/15/20 | 167,712 | ||||||
169,000 | 4.000%, 06/20/42 | 168,284 | ||||||
50,000 | 6.220%, 08/01/27 | 63,388 | ||||||
Xerox Corp., | ||||||||
17,000 | 4.500%, 05/15/21 | 18,167 | ||||||
35,000 | 5.625%, 12/15/19 | 39,336 | ||||||
50,000 | 6.750%, 02/01/17 | 55,111 | ||||||
|
| |||||||
575,173 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.0% (g) |
| |||||||
110,000 | National Semiconductor Corp., 6.600%, 06/15/17 | 123,771 | ||||||
|
| |||||||
Software — 0.3% |
| |||||||
Microsoft Corp., | ||||||||
75,000 | 1.625%, 09/25/15 | 75,683 | ||||||
108,000 | 2.375%, 05/01/23 | 106,001 | ||||||
Oracle Corp., | ||||||||
52,000 | 2.800%, 07/08/21 | 52,647 | ||||||
51,000 | 4.300%, 07/08/34 | 54,604 | ||||||
50,000 | 5.250%, 01/15/16 | 52,396 | ||||||
50,000 | 5.750%, 04/15/18 | 56,523 | ||||||
100,000 | 6.500%, 04/15/38 | 134,566 | ||||||
|
| |||||||
532,420 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
Apple, Inc., | ||||||||
142,000 | 2.400%, 05/03/23 | 138,024 | ||||||
126,000 | 2.850%, 05/06/21 | 128,893 | ||||||
69,000 | VAR, 0.482%, 05/03/18 | 69,046 | ||||||
25,000 | Dell, Inc., 7.100%, 04/15/28 | 26,500 | ||||||
EMC Corp., | ||||||||
40,000 | 1.875%, 06/01/18 | 39,864 | ||||||
50,000 | 3.375%, 06/01/23 | 50,182 | ||||||
Hewlett-Packard Co., | ||||||||
24,000 | 4.300%, 06/01/21 | 25,270 | ||||||
20,000 | 4.650%, 12/09/21 | 21,415 | ||||||
71,000 | 6.000%, 09/15/41 | 79,857 | ||||||
|
| |||||||
579,051 | ||||||||
|
| |||||||
Total Information Technology | 2,321,533 | |||||||
|
| |||||||
Materials — 0.6% |
| |||||||
Chemicals — 0.4% |
| |||||||
38,000 | Agrium, Inc., (Canada), 5.250%, 01/15/45 | 41,044 | ||||||
80,000 | CF Industries, Inc., 7.125%, 05/01/20 | 95,309 | ||||||
30,000 | Dow Chemical Co. (The), 7.375%, 11/01/29 | 39,937 | ||||||
E.I. du Pont de Nemours & Co., | ||||||||
58,000 | 1.950%, 01/15/16 | 58,751 | ||||||
25,000 | 4.900%, 01/15/41 | 27,395 | ||||||
Monsanto Co., | ||||||||
31,000 | 2.750%, 07/15/21 | 30,901 | ||||||
12,000 | 4.200%, 07/15/34 | 12,504 | ||||||
12,000 | 4.700%, 07/15/64 | 12,582 | ||||||
Mosaic Co. (The), | ||||||||
24,000 | 3.750%, 11/15/21 | 24,979 | ||||||
71,000 | 4.250%, 11/15/23 | 74,919 | ||||||
8,000 | 4.875%, 11/15/41 | 8,218 | ||||||
36,000 | 5.450%, 11/15/33 | 40,731 | ||||||
22,000 | 5.625%, 11/15/43 | 25,212 | ||||||
10,000 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17 | 10,431 | ||||||
PPG Industries, Inc., | ||||||||
14,000 | 5.500%, 11/15/40 | 16,915 | ||||||
50,000 | 9.000%, 05/01/21 | 66,834 | ||||||
Union Carbide Corp., | ||||||||
100,000 | 7.500%, 06/01/25 | 129,435 | ||||||
80,000 | 7.750%, 10/01/96 | 105,729 | ||||||
|
| |||||||
821,826 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Construction Materials — 0.0% (g) |
| |||||||
18,000 | CRH America, Inc., 6.000%, 09/30/16 | 19,374 | ||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
44,000 | 3.850%, 09/30/23 | 46,321 | ||||||
40,000 | 5.400%, 03/29/17 | 43,555 | ||||||
80,000 | 6.500%, 04/01/19 | 94,029 | ||||||
55,000 | Freeport-McMoRan, Inc., 3.875%, 03/15/23 | 51,856 | ||||||
13,000 | Nucor Corp., 4.000%, 08/01/23 | 13,615 | ||||||
12,000 | Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20 | 12,451 | ||||||
29,000 | Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17 | 28,988 | ||||||
Teck Resources Ltd., (Canada), | ||||||||
26,000 | 3.750%, 02/01/23 | 23,303 | ||||||
42,000 | 4.750%, 01/15/22 | 40,938 | ||||||
|
| |||||||
355,056 | ||||||||
|
| |||||||
Total Materials | 1,196,256 | |||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
AT&T, Inc., | ||||||||
140,000 | 3.875%, 08/15/21 | 146,483 | ||||||
10,000 | 4.300%, 12/15/42 | 9,507 | ||||||
205,000 | 5.350%, 09/01/40 | 221,978 | ||||||
100,000 | 5.500%, 02/01/18 | 110,389 | ||||||
45,000 | 6.300%, 01/15/38 | 54,447 | ||||||
50,772 | BellSouth Telecommunications LLC, 6.300%, 12/15/15 | 52,294 | ||||||
50,000 | Centel Capital Corp., 9.000%, 10/15/19 | 59,966 | ||||||
70,000 | Deutsche Telekom International Finance B.V., (Netherlands), 8.654%, 06/15/30 | 103,401 | ||||||
125,000 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 127,314 | ||||||
35,000 | Orange S.A., (France), 2.750%, 09/14/16 | 35,767 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
15,000 | 5.134%, 04/27/20 | 16,605 | ||||||
19,000 | 5.462%, 02/16/21 | 21,185 | ||||||
10,000 | 5.877%, 07/15/19 | 11,381 | ||||||
Verizon Communications, Inc., | ||||||||
16,000 | 2.625%, 02/21/20 (e) | 15,817 | ||||||
45,000 | 3.000%, 11/01/21 | 44,381 | ||||||
89,000 | 3.500%, 11/01/24 | 87,443 | ||||||
72,000 | 4.400%, 11/01/34 | 71,567 | ||||||
106,000 | 4.500%, 09/15/20 | 115,090 | ||||||
323,000 | 4.862%, 08/21/46 (e) | 331,794 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — continued |
| |||||||
46,000 | 6.400%, 09/15/33 | 56,662 | ||||||
90,000 | 6.400%, 02/15/38 | 111,047 | ||||||
Verizon Pennsylvania LLC, | ||||||||
100,000 | 8.350%, 12/15/30 | 137,359 | ||||||
50,000 | 8.750%, 08/15/31 | 72,767 | ||||||
|
| |||||||
2,014,644 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
40,000 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 40,479 | ||||||
Rogers Communications, Inc., (Canada), | ||||||||
80,000 | 4.100%, 10/01/23 | 84,051 | ||||||
50,000 | 6.800%, 08/15/18 | 57,707 | ||||||
25,000 | 8.750%, 05/01/32 | 36,163 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
50,000 | 1.500%, 02/19/18 | 49,104 | ||||||
50,000 | 1.625%, 03/20/17 | 49,977 | ||||||
|
| |||||||
317,481 | ||||||||
|
| |||||||
Total Telecommunication Services | 2,332,125 | |||||||
|
| |||||||
Utilities — 1.5% |
| |||||||
Electric Utilities — 1.2% |
| |||||||
62,000 | Alabama Power Co., 6.125%, 05/15/38 | 82,380 | ||||||
9,000 | Arizona Public Service Co., 4.500%, 04/01/42 | 9,533 | ||||||
Duke Energy Carolinas LLC, | ||||||||
39,000 | 4.300%, 06/15/20 | 42,395 | ||||||
75,000 | 5.100%, 04/15/18 | 83,300 | ||||||
60,000 | Duke Energy Indiana, Inc., 6.350%, 08/15/38 | 83,991 | ||||||
25,000 | Duke Energy Progress, Inc., 5.300%, 01/15/19 | 28,011 | ||||||
Electricite de France S.A., (France), | ||||||||
40,000 | 2.150%, 01/22/19 (e) | 40,098 | ||||||
75,000 | 6.000%, 01/22/14 (e) †† | 87,371 | ||||||
Florida Power & Light Co., | ||||||||
55,000 | 5.950%, 10/01/33 | 72,540 | ||||||
30,000 | 5.950%, 02/01/38 | 39,875 | ||||||
25,000 | Georgia Power Co., 5.950%, 02/01/39 | 32,098 | ||||||
18,000 | Great Plains Energy, Inc., 4.850%, 06/01/21 | 19,708 | ||||||
100,000 | Hydro-Quebec, (Canada), Series IO, 8.050%, 07/07/24 (m) | 140,469 | ||||||
Kansas City Power & Light Co., | ||||||||
24,000 | 3.150%, 03/15/23 | 24,079 | ||||||
50,000 | 5.300%, 10/01/41 | 57,673 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued |
| ||||||
Electric Utilities — continued |
| |||||||
Niagara Mohawk Power Corp., | ||||||||
19,000 | 3.508%, 10/01/24 (e) | 19,568 | ||||||
40,000 | 4.881%, 08/15/19 (e) | 44,240 | ||||||
25,000 | Northern States Power Co., 6.250%, 06/01/36 | 34,070 | ||||||
40,000 | Ohio Power Co., 6.050%, 05/01/18 | 45,200 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
30,000 | 6.800%, 09/01/18 | 34,969 | ||||||
25,000 | 7.000%, 09/01/22 | 31,666 | ||||||
Pacific Gas & Electric Co., | ||||||||
24,000 | 4.500%, 12/15/41 | 25,994 | ||||||
75,000 | 5.625%, 11/30/17 | 83,360 | ||||||
100,000 | 6.050%, 03/01/34 | 127,310 | ||||||
75,000 | Potomac Electric Power Co., 6.500%, 11/15/37 | 104,379 | ||||||
35,000 | Progress Energy, Inc., 4.400%, 01/15/21 | 38,148 | ||||||
18,000 | Public Service Co. of Colorado, 3.200%, 11/15/20 | 18,726 | ||||||
175,000 | Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37 | 235,838 | ||||||
28,000 | Public Service Electric & Gas Co., 5.375%, 11/01/39 | 35,277 | ||||||
53,000 | Southern California Edison Co., Series C, 3.500%, 10/01/23 | 55,714 | ||||||
50,000 | Southwestern Public Service Co., Series G, 8.750%, 12/01/18 | 62,458 | ||||||
200,000 | State Grid Overseas Investment Ltd., (United Kingdom), 1.750%, 05/22/18 (e) | 196,787 | ||||||
Virginia Electric & Power Co., | ||||||||
50,000 | 5.400%, 04/30/18 | 55,905 | ||||||
70,000 | 5.950%, 09/15/17 | 78,085 | ||||||
70,000 | 6.350%, 11/30/37 | 97,353 | ||||||
20,000 | Xcel Energy, Inc., 6.500%, 07/01/36 | 27,108 | ||||||
|
| |||||||
2,295,676 | ||||||||
|
| |||||||
Gas Utilities — 0.0% (g) |
| |||||||
50,000 | Atmos Energy Corp., 4.125%, 10/15/44 | 51,829 | ||||||
22,000 | Boston Gas Co., 4.487%, 02/15/42 (e) | 23,703 | ||||||
25,000 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 27,989 | ||||||
|
| |||||||
103,521 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
Exelon Generation Co. LLC, | ||||||||
78,000 | 4.000%, 10/01/20 | 81,386 | ||||||
29,000 | 5.750%, 10/01/41 | 32,717 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Independent Power & Renewable Electricity Producers — continued |
| |||||||
37,000 | PSEG Power LLC, 5.125%, 04/15/20 | 41,105 | ||||||
|
| |||||||
155,208 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
AGL Capital Corp., | ||||||||
37,000 | 3.500%, 09/15/21 | 38,296 | ||||||
42,000 | 4.400%, 06/01/43 | 44,258 | ||||||
96,000 | 5.875%, 03/15/41 | 120,400 | ||||||
38,000 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 48,142 | ||||||
Sempra Energy, | ||||||||
47,000 | 3.550%, 06/15/24 | 47,436 | ||||||
62,000 | 4.050%, 12/01/23 | 65,591 | ||||||
100,000 | 6.500%, 06/01/16 | 107,387 | ||||||
|
| |||||||
471,510 | ||||||||
|
| |||||||
Total Utilities | 3,025,915 | |||||||
|
| |||||||
Total Corporate Bonds | 33,090,854 | |||||||
|
| |||||||
| Foreign Government Securities — 0.5% |
| ||||||
Province of Ontario, (Canada), | ||||||||
75,000 | 2.700%, 06/16/15 | 75,792 | ||||||
200,000 | 2.950%, 02/05/15 | 200,360 | ||||||
50,000 | Republic of Poland, (Poland), 4.000%, 01/22/24 | 53,062 | ||||||
200,000 | Republic of Turkey, (Turkey), 5.750%, 03/22/24 | 223,500 | ||||||
United Mexican States, (Mexico), | ||||||||
203,000 | 3.500%, 01/21/21 | 207,060 | ||||||
200,000 | 3.600%, 01/30/25 | 200,800 | ||||||
58,000 | 4.000%, 10/02/23 | 60,900 | ||||||
48,000 | 5.550%, 01/21/45 | 55,920 | ||||||
|
| |||||||
Total Foreign Government Securities | 1,077,394 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 10.1% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
105,974 | ARM, 2.209%, 03/01/35 | 112,219 | ||||||
54,521 | ARM, 2.235%, 01/01/27 | 57,326 | ||||||
99,047 | ARM, 2.301%, 04/01/34 | 105,337 | ||||||
18,099 | ARM, 2.313%, 04/01/30 | 19,136 | ||||||
26,317 | ARM, 2.490%, 01/01/37 | 28,197 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
13,591 | 4.500%, 08/01/18 | 14,273 | ||||||
57,714 | 6.500%, 10/01/17 - 02/01/19 | 60,275 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — continued | |||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
19,045 | 6.000%, 12/01/22 | 21,538 | ||||||
39,010 | 6.500%, 11/01/22 | 44,322 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
79,516 | 5.500%, 10/01/33 | 89,714 | ||||||
152,602 | 6.000%, 04/01/26 - 02/01/39 | 172,824 | ||||||
192,851 | 6.500%, 11/01/25 - 11/01/34 | 220,087 | ||||||
75,121 | 7.000%, 04/01/35 | 84,447 | ||||||
4,384 | 8.500%, 07/01/28 | 5,260 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
1,773,429 | 3.500%, 04/01/33 - 06/01/42 | 1,857,596 | ||||||
437,808 | 4.000%, 06/01/42 | 472,114 | ||||||
43,398 | 7.000%, 07/01/29 | 48,788 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
15,793 | 10.000%, 01/01/20 - 09/01/20 | 16,602 | ||||||
95 | 12.000%, 07/01/19 | 96 | ||||||
Federal National Mortgage Association, | ||||||||
803 | ARM, 1.875%, 03/01/19 | 830 | ||||||
365,360 | ARM, 1.898%, 01/01/35 | 384,269 | ||||||
77,055 | ARM, 2.149%, 10/01/34 | 81,857 | ||||||
69,803 | ARM, 2.220%, 05/01/35 | 74,077 | ||||||
7,720 | ARM, 2.262%, 04/01/34 | 7,912 | ||||||
102,792 | ARM, 2.265%, 08/01/34 | 109,528 | ||||||
75,710 | ARM, 2.277%, 07/01/33 | 80,738 | ||||||
80,569 | ARM, 2.295%, 01/01/34 | 85,657 | ||||||
75,932 | ARM, 2.406%, 04/01/33 | 81,693 | ||||||
2,846 | ARM, 3.717%, 03/01/29 | 3,034 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
62,323 | 3.500%, 09/01/18 - 05/01/19 | 65,893 | ||||||
80,869 | 4.500%, 03/01/23 - 05/01/23 | 86,946 | ||||||
9,547 | 5.000%, 06/01/18 | 10,066 | ||||||
35,700 | 5.500%, 04/01/22 | 37,748 | ||||||
72,511 | 6.000%, 03/01/18 - 09/01/22 | 76,705 | ||||||
25,247 | 6.500%, 08/01/20 | 27,035 | ||||||
262 | 8.000%, 01/01/16 | 264 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
41,880 | 4.500%, 01/01/25 | 45,448 | ||||||
254,520 | 5.000%, 11/01/23 | 280,998 | ||||||
65,957 | 6.500%, 03/01/19 - 12/01/22 | 75,113 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
29,113 | 8.500%, 10/01/26 - 06/01/30 | 31,100 | ||||||
52,939 | 9.000%, 04/01/25 | 60,009 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
216,969 | 3.000%, 09/01/31 | 219,728 | ||||||
33,827 | 4.500%, 04/01/38 - 05/01/39 | 36,748 | ||||||
89,217 | 5.000%, 09/01/35 | 98,876 | ||||||
28,269 | 5.500%, 01/01/38 - 06/01/38 | 31,588 | ||||||
108,709 | 6.000%, 01/01/29 - 03/01/33 | 124,806 | ||||||
288,345 | 6.500%, 09/01/25 - 11/01/36 | 330,035 | ||||||
1,540 | 7.000%, 08/01/32 | 1,654 | ||||||
21,226 | 7.500%, 03/01/30 | 23,090 | ||||||
93,020 | 8.000%, 03/01/27 - 11/01/28 | 112,972 | ||||||
Federal National Mortgage Association, Other, | ||||||||
1,000,000 | 3.340%, 02/01/27 | 1,001,719 | ||||||
1,000,000 | 2.010%, 06/01/20 | 1,000,928 | ||||||
1,000,000 | 2.400%, 12/01/22 - 02/01/23 | 993,320 | ||||||
290,572 | 2.340%, 12/01/22 | 288,113 | ||||||
500,000 | 2.450%, 11/01/22 | 499,703 | ||||||
500,000 | 2.500%, 04/01/23 | 499,284 | ||||||
1,000,000 | 2.520%, 05/01/23 | 996,394 | ||||||
1,000,000 | 3.020%, 07/01/23 | 1,030,605 | ||||||
1,000,000 | 3.120%, 11/01/26 | 1,020,171 | ||||||
1,925,000 | 3.290%, 08/01/26 | 2,004,605 | ||||||
935,678 | 3.500%, 05/01/43 | 976,767 | ||||||
1,319,013 | 4.000%, 07/01/42 | 1,422,711 | ||||||
467,335 | 4.130%, 07/01/20 | 511,852 | ||||||
143,503 | 5.500%, 09/01/33 - 04/01/38 | 159,601 | ||||||
288,531 | 5.894%, 10/01/17 | 317,927 | ||||||
62,572 | 6.000%, 09/01/28 | 70,838 | ||||||
180,076 | 6.500%, 10/01/35 | 208,707 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
2,935 | 7.500%, 12/20/26 | 3,476 | ||||||
59,520 | 8.000%, 11/20/26 - 01/20/27 | 71,615 | ||||||
2,318 | 8.500%, 05/20/25 | 2,676 | ||||||
Government National Mortgage Association II, Other, | ||||||||
442,855 | 2.125%, 07/20/34 - 09/20/34 | 467,901 | ||||||
726 | Government National Mortgage Association, 15 Year, Single Family, 8.000%, 01/15/16 | 734 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — continued | |||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
115,191 | 6.000%, 05/15/37 - 10/15/38 | 130,325 | ||||||
75,918 | 6.500%, 03/15/28 - 12/15/38 | 86,630 | ||||||
24,611 | 7.000%, 12/15/25 - 06/15/33 | 28,174 | ||||||
15,848 | 7.500%, 05/15/23 - 09/15/28 | 17,296 | ||||||
11,272 | 8.000%, 09/15/22 - 10/15/27 | 12,619 | ||||||
3,690 | 9.000%, 11/15/24 | 4,247 | ||||||
99,219 | 9.500%, 10/15/24 | 111,071 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 20,056,577 | |||||||
|
| |||||||
| Municipal Bonds — 0.2% (t) |
| ||||||
Illinois — 0.1% |
| |||||||
160,000 | State of Illinois, Pension Funding, GO, 5.100%, 06/01/33 | 159,659 | ||||||
|
| |||||||
New York — 0.1% |
| |||||||
30,000 | New York State Dormitory Authority, State Personal Income Tax, Series D, Rev., 5.600%, 03/15/40 | 38,071 | ||||||
130,000 | Port Authority of New York & New Jersey, Consolidated, Series 164, Rev., 5.647%, 11/01/40 | 160,596 | ||||||
|
| |||||||
198,667 | ||||||||
|
| |||||||
Ohio — 0.0% (g) |
| |||||||
98,000 | Ohio State University, General Receipts, Series A, Rev., 4.800%, 06/01/11 † | 106,676 | ||||||
|
| |||||||
Total Municipal Bonds | 465,002 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 14.3% |
| ||||||
125,000 | Federal Home Loan Mortgage Corp., 5.125%, 10/18/16 | 134,770 | ||||||
Federal National Mortgage Association, | ||||||||
3,000,000 | Zero Coupon, 10/09/19 | 2,697,207 | ||||||
30,000 | 0.875%, 05/21/18 | 29,501 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
6,000,000 | Zero Coupon, 09/23/20 | 5,265,516 | ||||||
630,000 | Zero Coupon, 03/23/28 | 411,701 | ||||||
100,000 | Financing Corp. Fico, Series D-P, Zero Coupon, 09/26/19 | 91,225 | ||||||
2,000,000 | Financing Corp. Fico STRIPS, Series 14P, Zero Coupon, 11/02/18 | 1,867,366 | ||||||
8,000,000 | Financing Corp. STRIPS, Series 12P, Zero Coupon, 12/06/18 | 7,494,160 | ||||||
4,100,000 | Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20 | 3,641,640 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
2,000,000 | Resolution Funding Corp. STRIPS, Zero Coupon, 01/15/20 | 1,814,494 | ||||||
Tennessee Valley Authority, | ||||||||
33,000 | 4.625%, 09/15/60 | 37,491 | ||||||
100,000 | 5.250%, 09/15/39 | 127,306 | ||||||
5,000,000 | Tennessee Valley Authority STRIPS, Zero Coupon, 07/15/16 | 4,938,930 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 28,551,307 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 29.4% |
| ||||||
U.S. Treasury Bonds, | ||||||||
815,000 | 4.375%, 02/15/38 | 1,066,441 | ||||||
150,000 | 4.500%, 02/15/36 | 200,074 | ||||||
125,000 | 4.500%, 05/15/38 | 166,553 | ||||||
815,000 | 5.000%, 05/15/37 | 1,162,521 | ||||||
50,000 | 5.250%, 02/15/29 | 67,219 | ||||||
300,000 | 5.375%, 02/15/31 | 418,148 | ||||||
200,000 | 6.125%, 11/15/27 | 284,500 | ||||||
50,000 | 6.250%, 05/15/30 | 74,703 | ||||||
10,000 | 6.375%, 08/15/27 | 14,446 | ||||||
80,000 | 7.250%, 08/15/22 (m) | 110,012 | ||||||
250,000 | 8.000%, 11/15/21 | 347,813 | ||||||
U.S. Treasury Coupon STRIPS, | ||||||||
200,000 | 1.498%, 08/15/18 (n) | 190,480 | ||||||
310,000 | 1.707%, 02/15/20 (n) | 283,358 | ||||||
890,000 | 1.889%, 05/15/21 (n) | 782,446 | ||||||
10,973,000 | 2.064%, 05/15/20 (n) | 9,949,559 | ||||||
730,000 | 2.100%, 05/15/19 (n) | 679,593 | ||||||
710,000 | 2.276%, 02/15/21 (n) | 629,716 | ||||||
3,540,000 | 2.432%, 08/15/16 (n) | 3,507,375 | ||||||
970,000 | 2.447%, 02/15/22 (n) | 835,358 | ||||||
150,000 | 2.459%, 02/15/18 (n) | 144,406 | ||||||
500,000 | 2.526%, 11/15/22 (n) | 422,014 | ||||||
925,000 | 2.535%, 11/15/21 (n) | 802,739 | ||||||
100,000 | 2.544%, 11/15/23 (n) | 81,889 | ||||||
450,000 | 2.603%, 05/15/22 (n) | 384,824 | ||||||
200,000 | 2.621%, 05/15/25 (n) | 156,240 | ||||||
2,850,000 | 2.644%, 02/15/23 (n) | 2,382,566 | ||||||
1,150,000 | 2.647%, 05/15/23 (n) | 954,878 | ||||||
200,000 | 2.677%, 08/15/22 (n) | 170,094 | ||||||
27,000 | 2.703%, 02/15/28 (n) | 19,296 | ||||||
350,000 | 2.720%, 08/15/20 (n) | 314,960 | ||||||
100,000 | 2.787%, 05/15/28 (n) | 70,875 | ||||||
65,000 | 2.871%, 02/15/35 (n) | 37,613 | ||||||
250,000 | 2.873%, 08/15/27 (n) | 181,524 | ||||||
110,000 | 2.887%, 11/15/24 (n) | 87,220 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — continued | |||||||
50,000 | 2.947%, 11/15/34 (n) | 29,141 | ||||||
23,000 | 3.034%, 08/15/26 (n) | 17,237 | ||||||
400,000 | 3.112%, 08/15/19 (n) | 370,522 | ||||||
250,000 | 3.140%, 05/15/35 (n) | 143,636 | ||||||
250,000 | 3.179%, 11/15/26 (n) | 185,845 | ||||||
50,000 | 3.213%, 02/15/25 (n) | 39,330 | ||||||
825,000 | 3.213%, 02/15/17 (n) | 811,233 | ||||||
350,000 | 3.230%, 02/15/32 (n) | 221,066 | ||||||
700,000 | 3.241%, 02/15/27 (n) | 515,801 | ||||||
300,000 | 3.367%, 08/15/30 (n) | 198,443 | ||||||
200,000 | 3.389%, 11/15/29 (n) | 135,391 | ||||||
275,000 | 3.390%, 05/15/31 (n) | 177,968 | ||||||
300,000 | 3.402%, 08/15/29 (n) | 204,854 | ||||||
300,000 | 3.431%, 11/15/30 (n) | 197,084 | ||||||
3,625,000 | 3.478%, 08/15/17 (n) | 3,532,196 | ||||||
658,000 | 3.486%, 02/15/29 (n) | 456,167 | ||||||
750,000 | 3.503%, 11/15/27 (n) | 540,780 | ||||||
400,000 | 3.512%, 08/15/31 (n) | 256,732 | ||||||
550,000 | 3.657%, 02/15/31 (n) | 358,802 | ||||||
1,250,000 | 3.720%, 05/15/32 (n) | 784,151 | ||||||
700,000 | 3.739%, 11/15/32 (n) | 432,315 | ||||||
100,000 | 3.803%, 08/15/21 (n) | 87,454 | ||||||
150,000 | 3.932%, 02/15/33 (n) | 91,830 | ||||||
300,000 | 4.002%, 05/15/30 (n) | 199,923 | ||||||
85,000 | 4.082%, 11/15/31 (n) | 54,151 | ||||||
775,000 | 4.085%, 11/15/33 (n) | 464,902 | ||||||
100,000 | 4.286%, 05/15/26 (n) | 75,556 | ||||||
975,000 | 4.385%, 02/15/30 (n) | 654,944 | ||||||
325,000 | 4.738%, 02/15/34 (n) | 193,613 | ||||||
325,000 | 4.926%, 05/15/33 (n) | 197,796 | ||||||
100,000 | 5.109%, 08/15/33 (n) | 60,419 | ||||||
100,000 | 5.358%, 05/15/34 (n) | 59,158 | ||||||
100,000 | 5.731%, 11/15/28 (n) | 69,901 | ||||||
125,000 | 5.781%, 05/15/27 (n) | 91,456 | ||||||
50,000 | 5.816%, 08/15/28 (n) | 35,199 | ||||||
750,000 | 6.267%, 02/15/15 (n) | 749,932 | ||||||
1,915,000 | 6.679%, 11/15/15 (n) | 1,910,052 | ||||||
2,900,000 | 7.062%, 11/15/17 (n) | 2,808,838 | ||||||
2,800,000 | 7.191%, 02/15/16 (n) | 2,787,361 | ||||||
3,050,000 | 7.391%, 11/15/16 (n) | 3,013,064 | ||||||
U.S. Treasury Inflation Indexed Bonds, | ||||||||
100,000 | 2.500%, 01/15/29 | 137,224 | ||||||
300,000 | 3.625%, 04/15/28 | 605,305 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
500,000 | 0.500%, 04/15/15 | 540,658 | ||||||
170,000 | 1.375%, 07/15/18 | 196,056 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Treasury Notes, | ||||||||
150,000 | 1.250%, 10/31/18 | 149,027 | ||||||
125,000 | 1.375%, 11/30/18 | 124,756 | ||||||
400,000 | 1.375%, 12/31/18 | 398,438 | ||||||
400,000 | 1.500%, 08/31/18 | 401,938 | ||||||
200,000 | 2.125%, 08/31/20 | 203,547 | ||||||
1,200,000 | 2.125%, 08/15/21 | 1,214,156 | ||||||
400,000 | 2.250%, 07/31/18 | 412,844 | ||||||
200,000 | 2.625%, 11/15/20 | 208,766 | ||||||
742,000 | 3.125%, 05/15/19 | 790,984 | ||||||
600,000 | 3.125%, 05/15/21 | 643,875 | ||||||
200,000 | 3.250%, 12/31/16 | 210,078 | ||||||
300,000 | 3.500%, 02/15/18 | 321,492 | ||||||
450,000 | 3.500%, 05/15/20 | 490,922 | ||||||
650,000 | 3.625%, 02/15/21 | 716,015 | ||||||
500,000 | 4.750%, 08/15/17 | 549,062 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 58,510,839 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 0.5% | |||||||
Investment Company — 0.5% | ||||||||
937,740 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (m) | 937,740 | ||||||
|
| |||||||
Total Investments — 100.2% | 199,443,637 | |||||||
Liabilities in Excess of | (326,884 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 199,116,753 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
ACES | — Alternative Credit Enhancement Securities | |
ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of December 31, 2014. | |
CMO | — Collateralized Mortgage Obligation | |
CSMC | — Credit Suisse Mortgage Trust | |
ESOP | — Employee Stock Ownership Program | |
FHA | — Federal Housing Administration | |
GMAC | — General Motors Acceptance Corp. | |
GO | — General Obligation | |
HB | — High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | |
IF | — Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of December 31, 2014. The rate may be subject to a cap and floor. | |
IO | — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
PO | — Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |
REIT | — Real Estate Investment Trust | |
REMIC | — Real Estate Mortgage Investment Conduit |
Rev. | — Revenue | |
STRIPS | — Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | |
SUB | — Step-Up Bond. The interest rate shown is the rate in effect as of December 31, 2014. | |
VA | — Veterans Administration | |
VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of December 31, 2014. | |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(d) | — Defaulted Security. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
(g) | — Amount rounds to less than 0.1%. | |
(i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. | |
(l) | — The rate shown is the current yield as of December 31, 2014. | |
(m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. | |
(n) | — The rate shown is the effective yield at the date of purchase. | |
(t) | — The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
† | — Security matures in 2111. | |
†† | — Security matures in 2114. |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
Core Bond Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 198,505,897 | ||
Investments in affiliates, at value | 937,740 | |||
|
| |||
Total investment securities, at value | 199,443,637 | |||
Cash | 5,829 | |||
Receivables: | ||||
Investment securities sold | 147,080 | |||
Portfolio shares sold | 27,648 | |||
Interest from non-affiliates | 765,222 | |||
Dividends from affiliates | 88 | |||
|
| |||
Total Assets | 200,389,504 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Investment securities purchased | 1,001,812 | |||
Portfolio shares redeemed | 79,086 | |||
Accrued liabilities: | ||||
Investment advisory fees | 78,846 | |||
Administration fees | 11,017 | |||
Distribution fees | 9,837 | |||
Custodian and accounting fees | 38,108 | |||
Trustees’ and Chief Compliance Officer’s fees | 159 | |||
Other | 53,886 | |||
|
| |||
Total Liabilities | 1,272,751 | |||
|
| |||
Net Assets | $ | 199,116,753 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 182,539,569 | ||
Accumulated undistributed net investment income | 7,111,772 | |||
Accumulated net realized gains (losses) | (4,338,107 | ) | ||
Net unrealized appreciation (depreciation) | 13,803,519 | |||
|
| |||
Total Net Assets | $ | 199,116,753 | ||
|
| |||
Net Assets: |
| |||
Class 1 | $ | 152,618,612 | ||
Class 2 | 46,498,141 | |||
|
| |||
Total | $ | 199,116,753 | ||
|
| |||
Outstanding units of beneficial interest (shares) |
| |||
(unlimited number of shares authorized, no par value): |
| |||
Class 1 | 13,641,137 | |||
Class 2 | �� | 4,190,632 | ||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 11.19 | ||
Class 2 | 11.10 | |||
|
| |||
Cost of investments in non-affiliates | $ | 184,702,378 | ||
Cost of investments in affiliates | 937,740 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
Core Bond Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 8,122,106 | ||
Dividend income from affiliates | 2,046 | |||
|
| |||
Total investment income | 8,124,152 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 814,583 | |||
Administration fees | 168,516 | |||
Distribution fees – Class 2 | 87,495 | |||
Custodian and accounting fees | 112,054 | |||
Professional fees | 79,206 | |||
Trustees’ and Chief Compliance Officer’s fees | 2,108 | |||
Printing and mailing costs | 49,579 | |||
Transfer agent fees | 6,441 | |||
Other | 63,425 | |||
|
| |||
Total expenses | 1,383,407 | |||
|
| |||
Less fees waived | (86,709 | ) | ||
|
| |||
Net expenses | 1,296,698 | |||
|
| |||
Net investment income (loss) | 6,827,454 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from investments in non-affiliates | 1,861,927 | |||
Change in net unrealized appreciation/depreciation of investments in non-affiliates | 965,342 | |||
|
| |||
Net realized/unrealized gains (losses) | 2,827,269 | |||
|
| |||
Change in net assets resulting from operations | $ | 9,654,723 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Core Bond Portfolio | ||||||||
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 6,827,454 | $ | 8,069,108 | ||||
Net realized gain (loss) | 1,861,927 | 336,171 | ||||||
Change in net unrealized appreciation/depreciation | 965,342 | (11,610,927 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 9,654,723 | (3,205,648 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class 1 | ||||||||
From net investment income | (6,598,583 | ) | (9,052,968 | ) | ||||
Class 2 | ||||||||
From net investment income | (1,166,426 | ) | (680,242 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (7,765,009 | ) | (9,733,210 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | (4,689,370 | ) | (2,537,046 | ) | ||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | (2,799,656 | ) | (15,475,904 | ) | ||||
Beginning of period | 201,916,409 | 217,392,313 | ||||||
|
|
|
| |||||
End of period | $ | 199,116,753 | $ | 201,916,409 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 7,111,772 | $ | 8,049,234 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 12,525,120 | $ | 14,399,434 | ||||
Distributions reinvested | 6,598,583 | 9,052,968 | ||||||
Cost of shares redeemed | (44,797,923 | ) | (42,830,378 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | (25,674,220 | ) | $ | (19,377,976 | ) | ||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 26,732,189 | $ | 20,293,669 | ||||
Distributions reinvested | 1,166,426 | 680,242 | ||||||
Cost of shares redeemed | (6,913,765 | ) | (4,132,981 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 20,984,850 | $ | 16,840,930 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (4,689,370 | ) | $ | (2,537,046 | ) | ||
|
|
|
| |||||
SHARE TRANSACTIONS: |
| |||||||
Class 1 |
| |||||||
Issued | 1,124,732 | 1,270,421 | ||||||
Reinvested | 600,964 | 797,618 | ||||||
Redeemed | (4,024,440 | ) | (3,788,604 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (2,298,744 | ) | (1,720,565 | ) | ||||
|
|
|
| |||||
Class 2 |
| |||||||
Issued | 2,420,332 | 1,798,755 | ||||||
Reinvested | 107,011 | 60,252 | ||||||
Redeemed | (624,319 | ) | (367,473 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 1,903,024 | 1,491,534 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Core Bond Portfolio | ||||||||||||||||||||
Class 1 | ||||||||||||||||||||
Year Ended December 31, 2014 | $ | 11.09 | $ | 0.38 | (d) | $ | 0.16 | $ | 0.54 | $ | (0.44 | ) | ||||||||
Year Ended December 31, 2013 | 11.78 | 0.44 | (d) | (0.60 | ) | (0.16 | ) | (0.53 | ) | |||||||||||
Year Ended December 31, 2012 | 11.71 | 0.51 | (d) | 0.10 | 0.61 | (0.54 | ) | |||||||||||||
Year Ended December 31, 2011 | 11.54 | 0.54 | (d) | 0.28 | 0.82 | (0.65 | ) | |||||||||||||
Year Ended December 31, 2010 | 10.99 | 0.57 | (d) | 0.42 | 0.99 | (0.44 | ) | |||||||||||||
Class 2 | ||||||||||||||||||||
Year Ended December 31, 2014 | 11.01 | 0.35 | (d) | 0.16 | 0.51 | (0.42 | ) | |||||||||||||
Year Ended December 31, 2013 | 11.72 | 0.40 | (d) | (0.59 | ) | (0.19 | ) | (0.52 | ) | |||||||||||
Year Ended December 31, 2012 | 11.68 | 0.47 | (d) | 0.11 | 0.58 | (0.54 | ) | |||||||||||||
Year Ended December 31, 2011 | 11.51 | 0.50 | (d) | 0.29 | 0.79 | (0.62 | ) | |||||||||||||
Year Ended December 31, 2010 | 10.97 | 0.54 | (d) | 0.42 | 0.96 | (0.42 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
(c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(d) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (a) | Net assets, end of period | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 11.19 | 4.92 | % | $ | 152,618,612 | 0.59 | % | 3.40 | % | 0.64 | % | 18 | % | |||||||||||||
11.09 | (1.47 | ) | 176,728,891 | 0.59 | 3.86 | 0.60 | 13 | |||||||||||||||||||
11.78 | 5.33 | 208,061,368 | 0.60 | 4.36 | 0.62 | 8 | ||||||||||||||||||||
11.71 | 7.46 | 225,138,765 | 0.59 | 4.74 | 0.61 | 9 | ||||||||||||||||||||
11.54 | 9.24 | 245,677,262 | 0.60 | 5.06 | 0.62 | 10 | ||||||||||||||||||||
11.10 | 4.71 | 46,498,141 | 0.84 | 3.14 | 0.88 | 18 | ||||||||||||||||||||
11.01 | (1.74 | ) | 25,187,518 | 0.84 | 3.58 | 0.85 | 13 | |||||||||||||||||||
11.72 | 5.07 | 9,330,945 | 0.85 | 4.00 | 0.87 | 8 | ||||||||||||||||||||
11.68 | 7.21 | 1,800,570 | 0.84 | 4.33 | 0.84 | 9 | ||||||||||||||||||||
11.51 | 8.97 | 19,644 | 0.85 | 4.80 | 0.88 | 10 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Core Bond Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from 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.
Investments in open-end investment companies (the “Underlying Funds”) are valued at each investment company’s net asset values (“NAV”) per share as of the report date.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by the Portfolio at December 31, 2014.
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.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2 — Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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 | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 3,339,987 | $ | 2,726,882 | $ | 6,066,869 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 32,169,223 | — | 32,169,223 | ||||||||||||
Non-Agency CMO | — | 12,035,781 | 1,872,949 | 13,908,730 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 44,205,004 | 1,872,949 | 46,077,953 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 4,514,522 | 94,580 | 4,609,102 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 2,806,218 | — | 2,806,218 | ||||||||||||
Consumer Staples | — | 1,293,301 | — | 1,293,301 | ||||||||||||
Energy | — | 3,605,219 | — | 3,605,219 | ||||||||||||
Financials | — | 13,694,537 | 103,250 | 13,797,787 | ||||||||||||
Health Care | — | 922,304 | — | 922,304 | ||||||||||||
Industrials | — | 1,698,824 | 91,372 | 1,790,196 | ||||||||||||
Information Technology | — | 2,321,533 | — | 2,321,533 | ||||||||||||
Materials | — | 1,196,256 | — | 1,196,256 | ||||||||||||
Telecommunication Services | — | 2,204,811 | 127,314 | 2,332,125 | ||||||||||||
Utilities | — | 3,025,915 | — | 3,025,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 32,768,918 | 321,936 | 33,090,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 1,077,394 | — | 1,077,394 | ||||||||||||
Mortgage Pass-Through Securities | — | 20,056,577 | — | 20,056,577 | ||||||||||||
Municipal Bonds | — | 465,002 | — | 465,002 | ||||||||||||
U.S. Government Agency Securities | — | 28,551,307 | — | 28,551,307 | ||||||||||||
U.S. Treasury Obligations | — | 58,510,839 | — | 58,510,839 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 937,740 | — | — | 937,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 937,740 | $ | 193,489,550 | $ | 5,016,347 | $ | 199,443,637 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers between Levels 1 and 2 during the year ended December 31, 2014.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The following is a summary of investments for which significant unobservable inputs (Level 3) were in used in determining fair value:
Balance as of December 31, 2013 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2014 | ||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,689,054 | $ | — | $ | (94 | ) | $ | 560 | $ | 1,458,319 | $ | (633,785 | ) | $ | 212,828 | $ | — | $ | 2,726,882 | ||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Non-Agency CMO | 2,176,996 | — | (306,715 | ) | 237,760 | 293 | (390,820 | ) | 155,435 | — | 1,872,949 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 406,616 | — | (4,293 | ) | (54,654 | ) | — | (48,651 | ) | — | (204,438 | ) | 94,580 | |||||||||||||||||||||||
Corporate Bonds —Financials | 102,375 | — | 875 | — | — | — | — | — | 103,250 | |||||||||||||||||||||||||||
Corporate Bonds — Industrials | 100,214 | — | 536 | — | — | (9,378 | ) | — | — | 91,372 | ||||||||||||||||||||||||||
Corporate Bonds — Telecommunication Services | 131,558 | — | (4,244 | ) | — | — | — | — | — | 127,314 | ||||||||||||||||||||||||||
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|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 4,606,813 | $ | — | $ | (313,935 | ) | $ | 183,666 | $ | 1,458,612 | $ | (1,082,634 | ) | $ | 368,263 | $ | (204,438 | ) | $ | 5,016,347 | |||||||||||||||
|
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|
|
(1) | Purchases include all purchases of securities and securities received in corporate actions. |
(2) | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
Transfers into and out of Level 3 are valued utilizing values as of the beginning of the year.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), respectively, which resulted in a lack of or increase in available market inputs to determine price.
The change in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2014, which were valued using significant unobservable inputs (Level 3) amounted to $(310,467). This amount is included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at December 31, 2014 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 1,326,023 | Discounted Cash Flow | Constant Prepayment Rate | 0% - 100.00% (9.59%) | ||||||||
Constant Default Rate | 2.96% - 20.00% (10.82%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 1.54% - 5.31% (3.52%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 1,326,023 | |||||||||||
| ||||||||||||
1,710,317 | Discounted Cash Flow | Constant Prepayment Rate | 4.00% - 35.79% (12.31%) | |||||||||
Constant Default Rate | 0.00% - 7.51% (3.26%) | |||||||||||
PSA Prepayment Model | 354.00% - 368.00% (359.29%) | |||||||||||
Yield (Discount Rate of Cash Flows) | (41.07)% - 12.00% (5.45%) | |||||||||||
|
| |||||||||||
Collateralized Mortgage Obligations | 1,710,317 | |||||||||||
| ||||||||||||
94,580 | Discounted Cash Flow | Constant Prepayment Rate after Yield Maintenance | 100.00% (100.00%) | |||||||||
Yield (Discount Rate of Cash Flows) | 1.26% - 1.30% (1.29%) | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities | 94,580 | |||||||||||
| ||||||||||||
Total | $ | 3,130,920 | ||||||||||
|
|
|
|
|
|
|
# | The table above does not include Level 3 securities that are valued by brokers and pricing services. At December 31, 2014, the value of these investments was $1,885,427. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally described in Note 2.A. |
36 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Restricted and Illiquid Securities — Certain securities held by the Portfolio may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Portfolio. As of December 31, 2014, the Portfolio had no investments in restricted securities other than securities sold to the Portfolio under Rule 144A under the Securities Act.
The value and percentage of net assets of illiquid securities as of December 31, 2014 were $103,250 and 0.05%, respectively.
C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
D. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
E. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | 93 | $ | (93 | ) |
The reclassifications for the Portfolio relate primarily to consent fees.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. (the “Adviser” or JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.40%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2014, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 37 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the Distributor, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser, Administrator (for all share classes) and Distributor (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||
0.60% | 0.85 | % |
The expense limitation agreement was in effect for the year ended December 31, 2014. The contractual expense limitation percentages in the table above are in place until at least April 30, 2015.
For the year ended December, 2014, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | ||||||||||||
Investment Advisory | Administration | Total | ||||||||||
$ | 30,605 | $ | 43,435 | $ | 74,040 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2014 was $12,669.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2014, the Portfolio may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2014, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
38 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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4. Investment Transactions
During the year ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
$ | 12,561,625 | $ | 20,419,523 | $ | 22,532,380 | $ | 15,316,337 |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 185,644,004 | $ | 14,737,538 | $ | 937,905 | $ | 13,799,633 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2014 was as follows:
Total Distributions Paid From: | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
$ | 7,765,009 | $ | 7,765,009 |
The tax character of distributions paid during the year ended December 31, 2013 was as follows:
Total Distributions Paid From: | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
$ | 9,733,210 | $ | 9,733,210 |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 7,123,519 | $ | (4,334,221 | ) | $ | 13,799,633 |
The cumulative timing differences primarily consist of trustee deferred compensation.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Portfolio after December 31, 2010, are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Portfolio were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of December 31, 2014, the Portfolio did not have any post-enactment net capital loss carryforwards.
As of December 31, 2014, the Portfolio had pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains:
2017 | ||||
$ | 4,334,221 | * |
* | The entire amount is comprised of capital loss carryforwards from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
During the year ended December 31, 2014, the Portfolio utilized pre-enactment capital loss carryforwards in the amount of $1,857,509.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 39 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio has several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Portfolio.
The Portfolio is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Portfolio could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Portfolio invests in floating rate loans and other floating rate debt securities. Although these securities are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Portfolio is subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Portfolio is subject to the risk that should the Portfolio decide to sell an illiquid investment when a ready buyer is not available at a price the Portfolio deems representative of its value, the value of the Portfolio’s net assets could be adversely affected.
40 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust Core Bond Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust Core Bond Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 16, 2015
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 41 |
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(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
42 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 43 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
44 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2014 | Ending Account Value December 31, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Core Bond Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.30 | $ | 3.00 | 0.59 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.23 | 3.01 | 0.59 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,016.50 | 4.27 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.97 | 4.28 | 0.84 |
* | Expenses are equal to each Class' respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 45 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 20, 2014.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Portfolio’s expense ratios and those of its peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent
46 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Board also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMFM earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money
market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser for investment management styles substantially similar to that of the Portfolio. The Trustees also considered the complexity of investment management for the Portfolio relative to the Adviser’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance for the Portfolio in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in the Portfolio’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Lipper performance data noted by the Trustees as part of their
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 47 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance was in the second, third and third quintiles for Class 1 shares for the one-, three-, and five-year periods ended December 31, 2013, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual
advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 1 shares were in the second and fourth quintiles, respectively, of the Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
48 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITCBP-1214 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust Intrepid Mid Cap Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
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Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
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January 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
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“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at -0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned -4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned -1.8%.
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
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CEO’S LETTER
January 11, 2015 (Unaudited) (continued)
the U.S. dollar higher against most other currencies due to investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust Intrepid Mid Cap Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 15.86% | |||
Russell Midcap Index | 13.22% | |||
Net Assets as of 12/31/2014 | $ | 43,182,119 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Intrepid Mid Cap Portfolio (the “Portfolio”) seeks long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.
HOW DID THE MARKET PERFORM?
U.S equity markets performed strongly in 2014, amid accommodative central bank policies, falling energy prices in the second half of the year and steady overall improvement in the U.S. economy. While the second half of the year was marked by the return of volatility in financial markets and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to closing highs in the final months of 2014. The Standard & Poor’s 500 Index posted 53 new closing highs during the year and broke through the 2,000-point closing level for the first time on October 31, and went on to post new closing highs in the final weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time.
Overall, U.S. large cap stocks outperformed small cap stocks and growth stocks outperformed value stocks during the reporting period. Within the S&P 500 Index, the utilities and health care sectors were leading performers, while the energy and telecommunication services sectors were the bottom performers. The S&P 500 Index returned 13.69%, the Russell 1000 Index returned 13.24% and the Dow Jones Industrial Average returned 10.04% for the twelve months ended December 31, 2014.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio (Class 1 Shares) outperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended December 31, 2014. The Portfolio’s security selection in the pharmaceutical and industrial cyclical sectors were leading contributors to performance relative to the Benchmark, while security selection in the consumer cyclical sector and security selection and underweight position in the utilities sector were leading detractors from the Portfolio’s relative performance.
Leading individual contributors to performance included Southwest Airlines Co., Booz Allen Hamilton Holding Corp. and Huntington Ingalls Industries Inc. Shares of Southwest Airlines rose after the company forecast revenue above analysts’ estimates amid declining fuel prices. Shares of Booz Allen, a management and technology consulting company, rose after it forecast earnings and revenue above analysts’ estimates. Shares of Huntington Ingalls, a shipbuilder, strengthened amid an increase in U.S. military contracts.
Leading individual detractors from relative performance included ManpowerGroup Inc., Towers Watson & Co. and Best Buy Inc. Shares of ManpowerGroup, a provider of employment and personnel services, fell after the company forecast earnings below analysts’ estimates. Shares of Towers Watson, a professional services and staffing company, weakened on disappointing earnings forecasts. Shares of Best Buy, a consumer electronics retail chain, fell on reports that the company would scale back its China business to focus on U.S. operations.
HOW WAS THE PORTFOLIO POSITIONED?
The JPMorgan Intrepid Investment Team employed a philosophy that is rooted in behavioral finance, a field of study that emphasizes the importance of human psychology in financial markets. Behavioral finance examines how investor behavior can be affected by emotional biases and reactions. The field theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.
The Team aimed to capitalize on these market inefficiencies by targeting what it believed were attractively valued stocks with strong fundamentals and momentum characteristics, and sought to sell these stocks when they no longer exhibited these criteria. A disciplined quantitative ranking methodology was utilized to identify attractive stocks in each sector, a process that was combined with qualitative research and value-added trading. The Portfolio was constructed with limited sector bets so that stock selection was typically the primary driver of relative performance. During the year, the Portfolio was managed and positioned in accordance with this investment philosophy and process.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Intrepid Mid Cap Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Bunge Ltd. | 2.1 | % | |||||
2. | H&R Block, Inc. | 2.1 | ||||||
3. | Southwest Airlines Co. | 2.0 | ||||||
4. | Huntington Ingalls Industries, Inc. | 1.9 | ||||||
5. | Western Digital Corp. | 1.8 | ||||||
6. | Lear Corp. | 1.8 | ||||||
7. | CareFusion Corp. | 1.7 | ||||||
8. | Rite Aid Corp. | 1.6 | ||||||
9. | Foot Locker, Inc. | 1.6 | ||||||
10. | Best Buy Co., Inc. | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 18.1 | % | ||
Financials | 17.8 | |||
Consumer Discretionary | 14.4 | |||
Industrials | 12.0 | |||
Health Care | 11.2 | |||
Consumer Staples | 8.5 | |||
Utilities | 5.8 | |||
Materials | 5.2 | |||
Energy | 4.7 | |||
Telecommunication Services | 1.2 | |||
Short-Term Investment | 1.1 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS 1 SHARES | March 30, 1995 | 15.86 | % | 17.36 | % | 9.77 | % | |||||||||
CLASS 2 SHARES | August 16, 2006 | 15.56 | 17.07 | 9.55 |
TEN YEAR PERFORMANCE (12/31/04 TO 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class 2 Shares prior to its inception date are based on the performance of Class 1 Shares. The actual returns of Class 2 Shares would have been lower than shown because Class 2 Shares have higher expenses than Class 1 Shares.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Intrepid Mid Cap Portfolio, the Russell Midcap Index and the Lipper Variable Underlying Funds Mid-Cap Core Funds Index from December 31, 2004 to December 31, 2014. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Russell Midcap Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the
securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying Funds Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Variable Underlying Funds Mid-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
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JPMorgan Insurance Trust Intrepid Mid Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.3% |
| ||||||
Consumer Discretionary — 14.4% | ||||||||
Auto Components — 2.2% |
| |||||||
5,925 | Goodyear Tire & Rubber Co. (The) | 169,277 | ||||||
7,875 | Lear Corp. | 772,380 | ||||||
|
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941,657 | ||||||||
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Diversified Consumer Services — 2.8% | ||||||||
350 | Graham Holdings Co., Class B | 302,298 | ||||||
26,500 | H&R Block, Inc. | 892,520 | ||||||
|
| |||||||
1,194,818 | ||||||||
|
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Hotels, Restaurants & Leisure — 1.6% | ||||||||
18,275 | Aramark | 569,266 | ||||||
1,275 | Brinker International, Inc. | 74,830 | ||||||
25 | Chipotle Mexican Grill, Inc. (a) | 17,113 | ||||||
500 | Domino’s Pizza, Inc. | 47,085 | ||||||
|
| |||||||
708,294 | ||||||||
|
| |||||||
Household Durables — 0.4% | ||||||||
4,012 | Jarden Corp. (a) | 192,095 | ||||||
|
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Internet & Catalog Retail — 1.1% | ||||||||
16,275 | Groupon, Inc. (a) | 134,431 | ||||||
2,100 | Liberty TripAdvisor Holdings, Inc., Class A (a) | 56,490 | ||||||
7,275 | Liberty Ventures, Series A (a) | 274,413 | ||||||
|
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465,334 | ||||||||
|
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Media — 0.2% | ||||||||
5,150 | Cablevision Systems Corp., Class A | 106,296 | ||||||
|
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Multiline Retail — 1.3% | ||||||||
8,325 | Macy’s, Inc. | 547,369 | ||||||
|
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Specialty Retail — 4.4% | ||||||||
1,200 | Advance Auto Parts, Inc. | 191,136 | ||||||
16,625 | Best Buy Co., Inc. | 648,042 | ||||||
2,700 | CST Brands, Inc. | 117,747 | ||||||
12,250 | Foot Locker, Inc. | 688,205 | ||||||
1,675 | Gap, Inc. (The) | 70,534 | ||||||
1,125 | Murphy USA, Inc. (a) | 77,468 | ||||||
1,150 | PetSmart, Inc. | 93,489 | ||||||
|
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1,886,621 | ||||||||
|
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Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
1,675 | Hanesbrands, Inc. | 186,964 | ||||||
|
| |||||||
Total Consumer Discretionary | 6,229,448 | |||||||
|
| |||||||
Consumer Staples — 8.5% | ||||||||
Food & Staples Retailing — 3.3% | ||||||||
8,000 | Kroger Co. (The) | 513,680 | ||||||
91,675 | Rite Aid Corp. (a) | 689,396 | ||||||
6,550 | Safeway, Inc. | 230,036 | ||||||
|
| |||||||
1,433,112 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 3.8% | ||||||||
9,900 | Bunge Ltd. | 900,009 | ||||||
4,750 | Ingredion, Inc. | 402,990 | ||||||
8,025 | Tyson Foods, Inc., Class A | 321,722 | ||||||
|
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1,624,721 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
1,550 | Herbalife Ltd. (a) | 58,435 | ||||||
|
| |||||||
Tobacco — 1.3% |
| |||||||
8,775 | Lorillard, Inc. | 552,299 | ||||||
|
| |||||||
Total Consumer Staples | 3,668,567 | |||||||
|
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Energy — 4.7% |
| |||||||
Energy Equipment & Services — 0.8% |
| |||||||
426 | Baker Hughes, Inc. | 23,886 | ||||||
2,350 | Cameron International Corp. (a) | 117,382 | ||||||
868 | National Oilwell Varco, Inc. | 56,880 | ||||||
2,650 | Oil States International, Inc. (a) | 129,585 | ||||||
1,800 | Patterson-UTI Energy, Inc. | 29,862 | ||||||
|
| |||||||
357,595 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.9% |
| |||||||
2,250 | Cabot Oil & Gas Corp. | 66,623 | ||||||
1,825 | Cimarex Energy Co. | 193,450 | ||||||
1,050 | Continental Resources, Inc. (a) | 40,278 | ||||||
6,650 | EQT Corp. | 503,405 | ||||||
950 | Marathon Petroleum Corp. | 85,747 | ||||||
2,800 | Murphy Oil Corp. | 141,456 | ||||||
1,975 | Newfield Exploration Co. (a) | 53,562 | ||||||
415 | Noble Energy, Inc. | 19,683 | ||||||
1,550 | Peabody Energy Corp. | 11,997 | ||||||
2,150 | Tesoro Corp. | 159,853 | ||||||
1,750 | Valero Energy Corp. | 86,625 | ||||||
6,400 | World Fuel Services Corp. | 300,352 | ||||||
|
| |||||||
1,663,031 | ||||||||
|
| |||||||
Total Energy | 2,020,626 | |||||||
|
| |||||||
Financials — 17.9% |
| |||||||
Banks — 2.9% |
| |||||||
4,350 | East West Bancorp, Inc. | 168,389 | ||||||
8,350 | Fifth Third Bancorp | 170,131 | ||||||
4,950 | Huntington Bancshares, Inc. | 52,074 | ||||||
11,675 | KeyCorp | 162,283 | ||||||
4,200 | PacWest Bancorp | 190,932 | ||||||
1,725 | Popular, Inc., (Puerto Rico) (a) | 58,736 | ||||||
6,375 | Regions Financial Corp. | 67,320 | ||||||
675 | Signature Bank (a) | 85,023 | ||||||
2,475 | SVB Financial Group (a) | 287,273 | ||||||
|
| |||||||
1,242,161 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Capital Markets — 0.9% | ||||||||
975 | Affiliated Managers Group, Inc. (a) | 206,934 | ||||||
3,475 | Lazard Ltd., (Bermuda), Class A | 173,854 | ||||||
|
| |||||||
380,788 | ||||||||
|
| |||||||
Consumer Finance — 1.7% |
| |||||||
9,750 | Discover Financial Services | 638,527 | ||||||
2,500 | Synchrony Financial (a) | 74,375 | ||||||
|
| |||||||
712,902 | ||||||||
|
| |||||||
Insurance — 4.3% |
| |||||||
3,575 | Allied World Assurance Co. Holdings AG, (Switzerland) | 135,564 | ||||||
3,650 | American Financial Group, Inc. | 221,628 | ||||||
1,125 | Aon plc, (United Kingdom) | 106,684 | ||||||
1,350 | Arch Capital Group Ltd., (Bermuda) (a) | 79,785 | ||||||
400 | Aspen Insurance Holdings Ltd., (Bermuda) | 17,508 | ||||||
1,775 | Assurant, Inc. | 121,463 | ||||||
5,975 | Assured Guaranty Ltd., (Bermuda) | 155,290 | ||||||
875 | Axis Capital Holdings Ltd., (Bermuda) | 44,704 | ||||||
1,050 | Endurance Specialty Holdings Ltd., (Bermuda) | 62,832 | ||||||
400 | Everest Re Group Ltd., (Bermuda) | 68,120 | ||||||
722 | FNF Group | 24,873 | ||||||
1,100 | Hanover Insurance Group, Inc. (The) | 78,452 | ||||||
2,375 | Hartford Financial Services Group, Inc. (The) | 99,014 | ||||||
1,625 | Lincoln National Corp. | 93,714 | ||||||
2,175 | Principal Financial Group, Inc. | 112,969 | ||||||
2,100 | Protective Life Corp. | 146,265 | ||||||
1,100 | Torchmark Corp. | 59,587 | ||||||
5,000 | Unum Group | 174,400 | ||||||
1,675 | Validus Holdings Ltd., (Bermuda) | 69,613 | ||||||
|
| |||||||
1,872,465 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.0% |
| |||||||
800 | American Capital Agency Corp. | 17,464 | ||||||
4,350 | Annaly Capital Management, Inc. | 47,023 | ||||||
4,000 | Apartment Investment & Management Co., Class A | 148,600 | ||||||
150 | AvalonBay Communities, Inc. | 24,508 | ||||||
450 | Boston Properties, Inc. | 57,910 | ||||||
3,850 | Brandywine Realty Trust | 61,523 | ||||||
725 | Camden Property Trust | 53,534 | ||||||
1,325 | Chimera Investment Corp. | 4,213 | ||||||
875 | Corrections Corp. of America | 31,797 | ||||||
1,025 | Crown Castle International Corp. | 80,667 | ||||||
2,600 | DDR Corp. | 47,736 | ||||||
2,225 | Douglas Emmett, Inc. | 63,190 | ||||||
14,750 | Duke Realty Corp. | 297,950 | ||||||
2,325 | Equity Commonwealth | 59,683 | ||||||
2,450 | Equity LifeStyle Properties, Inc. | 126,298 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
1,025 | Equity Residential | 73,636 | ||||||
1,000 | Extra Space Storage, Inc. | 58,640 | ||||||
2,175 | Health Care REIT, Inc. | 164,582 | ||||||
7,585 | Hospitality Properties Trust | 235,135 | ||||||
5,050 | Host Hotels & Resorts, Inc. | 120,039 | ||||||
750 | Mid-America Apartment Communities, Inc. | 56,010 | ||||||
3,275 | NorthStar Realty Finance Corp. | 57,575 | ||||||
2,000 | Post Properties, Inc. | 117,540 | ||||||
925 | Regency Centers Corp. | 58,997 | ||||||
5,675 | Retail Properties of America, Inc., Class A | 94,716 | ||||||
400 | SL Green Realty Corp. | 47,608 | ||||||
1,775 | Taubman Centers, Inc. | 135,646 | ||||||
1,922 | Ventas, Inc. | 137,807 | ||||||
2,400 | Vornado Realty Trust | 282,504 | ||||||
16,150 | Weyerhaeuser Co. | 579,624 | ||||||
1,825 | WP Carey, Inc. | 127,933 | ||||||
|
| |||||||
3,470,088 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
425 | Jones Lang LaSalle, Inc. | 63,720 | ||||||
|
| |||||||
Total Financials | 7,742,124 | |||||||
|
| |||||||
Health Care — 11.3% |
| |||||||
Biotechnology — 2.8% |
| |||||||
2,250 | Alnylam Pharmaceuticals, Inc. (a) | 218,250 | ||||||
2,300 | BioMarin Pharmaceutical, Inc. (a) | 207,920 | ||||||
2,400 | Incyte Corp. (a) | 175,464 | ||||||
725 | Intercept Pharmaceuticals, Inc. (a) | 113,100 | ||||||
1,675 | Medivation, Inc. (a) | 166,846 | ||||||
2,600 | Vertex Pharmaceuticals, Inc. (a) | 308,880 | ||||||
|
| |||||||
1,190,460 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
2,550 | Boston Scientific Corp. (a) | 33,787 | ||||||
12,050 | CareFusion Corp. (a) | 715,047 | ||||||
375 | Cooper Cos., Inc. (The) | 60,784 | ||||||
10,750 | Hologic, Inc. (a) | 287,455 | ||||||
2,725 | Zimmer Holdings, Inc. | 309,070 | ||||||
|
| |||||||
1,406,143 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.1% |
| |||||||
3,575 | Cardinal Health, Inc. | 288,610 | ||||||
5,525 | Catamaran Corp. (a) | 285,919 | ||||||
2,725 | Community Health Systems, Inc. (a) | 146,932 | ||||||
6,825 | HCA Holdings, Inc. (a) | 500,887 | ||||||
350 | Health Net, Inc. (a) | 18,735 | ||||||
3,775 | Humana, Inc. | 542,203 | ||||||
|
| |||||||
1,783,286 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Intrepid Mid Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Health Care Technology — 0.2% |
| |||||||
3,175 | Veeva Systems, Inc., Class A (a) | 83,852 | ||||||
|
| |||||||
Pharmaceuticals — 0.9% |
| |||||||
3,000 | Endo International plc, (Ireland) (a) | 216,360 | ||||||
1,050 | Perrigo Co. plc, (Ireland) | 175,518 | ||||||
|
| |||||||
391,878 | ||||||||
|
| |||||||
Total Health Care | 4,855,619 | |||||||
|
| |||||||
Industrials — 12.0% |
| |||||||
Aerospace & Defense — 3.3% |
| |||||||
900 | Alliant Techsystems, Inc. | 104,625 | ||||||
7,366 | Huntington Ingalls Industries, Inc. | 828,380 | ||||||
2,250 | L-3 Communications Holdings, Inc. | 283,973 | ||||||
175 | Northrop Grumman Corp. | 25,793 | ||||||
4,300 | Spirit Aerosystems Holdings, Inc., Class A (a) | 185,072 | ||||||
|
| |||||||
1,427,843 | ||||||||
|
| |||||||
Airlines — 2.9% |
| |||||||
1,850 | Alaska Air Group, Inc. | 110,556 | ||||||
5,725 | Delta Air Lines, Inc. | 281,613 | ||||||
20,175 | Southwest Airlines Co. | 853,806 | ||||||
|
| |||||||
1,245,975 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.7% |
| |||||||
4,925 | KAR Auction Services, Inc. | 170,651 | ||||||
4,025 | Pitney Bowes, Inc. | 98,089 | ||||||
2,255 | R.R. Donnelley & Sons Co. | 37,896 | ||||||
|
| |||||||
306,636 | ||||||||
|
| |||||||
Construction & Engineering — 1.9% |
| |||||||
17,550 | AECOM Technology Corp. (a) | 532,993 | ||||||
1,650 | Fluor Corp. | 100,039 | ||||||
4,250 | Jacobs Engineering Group, Inc. (a) | 189,933 | ||||||
|
| |||||||
822,965 | ||||||||
|
| |||||||
Electrical Equipment — 0.2% |
| |||||||
1,575 | Babcock & Wilcox Co. (The) | 47,723 | ||||||
400 | Regal-Beloit Corp. | 30,080 | ||||||
|
| |||||||
77,803 | ||||||||
|
| |||||||
Machinery — 2.6% |
| |||||||
4,400 | Crane Co. | 258,280 | ||||||
4,175 | Ingersoll-Rand plc | 264,653 | ||||||
3,300 | Oshkosh Corp. | 160,545 | ||||||
3,520 | Parker-Hannifin Corp. | 453,904 | ||||||
|
| |||||||
1,137,382 | ||||||||
|
| |||||||
Marine — 0.0% (g) |
| |||||||
200 | Kirby Corp. (a) | 16,148 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Professional Services — 0.1% |
| |||||||
525 | Manpowergroup, Inc. | 35,789 | ||||||
|
| |||||||
Road & Rail — 0.2% |
| |||||||
950 | Landstar System, Inc. | 68,904 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
3,350 | MRC Global, Inc. (a) | 50,753 | ||||||
217 | NOW, Inc. (a) | 5,583 | ||||||
91 | Veritiv Corp. (a) | 4,720 | ||||||
|
| |||||||
61,056 | ||||||||
|
| |||||||
Total Industrials | 5,200,501 | |||||||
|
| |||||||
Information Technology — 18.2% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
3,250 | ARRIS Group, Inc. (a) | 98,117 | ||||||
1,325 | Harris Corp. | 95,162 | ||||||
5,275 | Juniper Networks, Inc. | 117,738 | ||||||
|
| |||||||
311,017 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
3,100 | Avnet, Inc. | 133,362 | ||||||
1,300 | Tech Data Corp. (a) | 82,199 | ||||||
|
| |||||||
215,561 | ||||||||
|
| |||||||
Internet Software & Services — 2.0% |
| |||||||
387 | Equinix, Inc. | 87,745 | ||||||
3,600 | LendingClub Corp. (a) | 91,080 | ||||||
1,900 | LinkedIn Corp., Class A (a) | 436,449 | ||||||
7,350 | Twitter, Inc. (a) | 263,644 | ||||||
|
| |||||||
878,918 | ||||||||
|
| |||||||
IT Services — 5.8% |
| |||||||
1,600 | Alliance Data Systems Corp. (a) | 457,680 | ||||||
24,150 | Booz Allen Hamilton Holding Corp. | 640,699 | ||||||
2,525 | Fidelity National Information Services, Inc. | 157,055 | ||||||
2,675 | Global Payments, Inc. | 215,953 | ||||||
14,450 | Vantiv, Inc., Class A (a) | 490,144 | ||||||
40,775 | Xerox Corp. | 565,142 | ||||||
|
| |||||||
2,526,673 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
15,550 | Advanced Micro Devices, Inc. (a) | 41,518 | ||||||
4,125 | Applied Materials, Inc. | 102,795 | ||||||
3,325 | First Solar, Inc. (a) | 148,278 | ||||||
2,750 | KLA-Tencor Corp. | 193,380 | ||||||
2,275 | Lam Research Corp. | 180,499 | ||||||
18,550 | Marvell Technology Group Ltd., (Bermuda) | 268,975 | ||||||
15,350 | Micron Technology, Inc. (a) | 537,404 | ||||||
14,800 | ON Semiconductor Corp. (a) | 149,924 | ||||||
1,825 | Skyworks Solutions, Inc. | 132,696 | ||||||
|
| |||||||
1,755,469 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Software — 3.3% |
| |||||||
9,700 | Activision Blizzard, Inc. | 195,455 | ||||||
2,250 | Citrix Systems, Inc. (a) | 143,550 | ||||||
5,800 | Electronic Arts, Inc. (a) | 272,687 | ||||||
2,700 | Mobileye N.V., (Israel) (a) | 109,512 | ||||||
20,400 | Rovi Corp. (a) | 460,836 | ||||||
2,700 | Synopsys, Inc. (a) | 117,369 | ||||||
40,975 | Zynga, Inc., Class A (a) | 108,993 | ||||||
|
| |||||||
1,408,402 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.8% |
| |||||||
7,025 | Western Digital Corp. | 777,667 | ||||||
|
| |||||||
Total Information Technology | 7,873,707 | |||||||
|
| |||||||
Materials — 5.2% |
| |||||||
Chemicals — 2.3% |
| |||||||
1,700 | Ashland, Inc. | 203,592 | ||||||
2,600 | Cabot Corp. | 114,036 | ||||||
650 | Huntsman Corp. | 14,807 | ||||||
2,141 | PPG Industries, Inc. | 494,892 | ||||||
1,775 | Valspar Corp. (The) | 153,502 | ||||||
|
| |||||||
980,829 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
600 | Avery Dennison Corp. | 31,128 | ||||||
1,575 | Crown Holdings, Inc. (a) | 80,167 | ||||||
375 | Greif, Inc., Class A | 17,711 | ||||||
3,125 | Rock-Tenn Co., Class A | 190,563 | ||||||
2,525 | Sealed Air Corp. | 107,136 | ||||||
|
| |||||||
426,705 | ||||||||
|
| |||||||
Metals & Mining — 1.1% |
| |||||||
3,550 | Alcoa, Inc. | 56,054 | ||||||
225 | Compass Minerals International, Inc. | 19,537 | ||||||
450 | Nucor Corp. | 22,072 | ||||||
3,050 | Reliance Steel & Aluminum Co. | 186,874 | ||||||
2,525 | Steel Dynamics, Inc. | 49,844 | ||||||
6,100 | United States Steel Corp. | 163,114 | ||||||
|
| |||||||
497,495 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
2,425 | Domtar Corp., (Canada) | 97,533 | ||||||
4,725 | International Paper Co. | 253,166 | ||||||
|
| |||||||
350,699 | ||||||||
|
| |||||||
Total Materials | 2,255,728 | |||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
44,225 | Frontier Communications Corp. | 294,981 | ||||||
10,275 | Windstream Holdings, Inc. | 84,666 | ||||||
|
| |||||||
379,647 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
1,175 | SBA Communications Corp., Class A (a) | 130,143 | ||||||
|
| |||||||
Total Telecommunication Services | 509,790 | |||||||
|
| |||||||
Utilities — 5.9% |
| |||||||
Electric Utilities — 0.2% |
| |||||||
425 | Entergy Corp. | 37,179 | ||||||
400 | Pinnacle West Capital Corp. | 27,324 | ||||||
|
| |||||||
64,503 | ||||||||
|
| |||||||
Gas Utilities — 1.0% |
| |||||||
11,912 | UGI Corp. | 452,418 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.6% |
| |||||||
18,975 | AES Corp. | 261,285 | ||||||
|
| |||||||
Multi-Utilities — 4.1% |
| |||||||
1,875 | Alliant Energy Corp. | 124,537 | ||||||
2,675 | Ameren Corp. | 123,398 | ||||||
8,130 | CenterPoint Energy, Inc. | 190,486 | ||||||
5,650 | CMS Energy Corp. | 196,337 | ||||||
1,750 | Consolidated Edison, Inc. | 115,518 | ||||||
3,025 | DTE Energy Co. | 261,269 | ||||||
4,550 | Public Service Enterprise Group, Inc. | 188,416 | ||||||
2,300 | SCANA Corp. | 138,920 | ||||||
2,775 | Sempra Energy | 309,024 | ||||||
5,000 | TECO Energy, Inc. | 102,451 | ||||||
|
| |||||||
1,750,356 | ||||||||
|
| |||||||
Total Utilities | 2,528,562 | |||||||
|
| |||||||
Total Common Stocks | 42,884,672 | |||||||
|
| |||||||
| Short-Term Investment — 1.1% | |||||||
Investment Company — 1.1% | ||||||||
490,598 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.030% (b) (l) (Cost $490,598) | 490,598 | ||||||
|
| |||||||
Total Investments — 100.4% | 43,375,270 | |||||||
Liabilities in Excess of | (193,151 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 43,182,119 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Intrepid Mid Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
2 | S&P Mid Cap 400 | 03/20/15 | $ | 289,720 | $ | 7,526 | ||||||||||
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
REIT | — Real Estate Investment Trust. | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
(g) | — Amount rounds to less than 0.1%. | |
(l) | — The rate shown is the current yield as of December 31, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
Intrepid Mid | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 42,884,672 | ||
Investments in affiliates, at value | 490,598 | |||
|
| |||
Total investment securities, at value | 43,375,270 | |||
Deposits at broker for futures contracts | 90,000 | |||
Receivables: | ||||
Investment securities sold | 31,699 | |||
Portfolio shares sold | 1,589 | |||
Dividends from non-affiliates | 51,643 | |||
Dividends from affiliates | 41 | |||
|
| |||
Total Assets | 43,550,242 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 283,619 | |||
Portfolio shares redeemed | 6,652 | |||
Variation margin on futures contracts | 5,592 | |||
Accrued liabilities: | ||||
Investment advisory fees | 19,058 | |||
Administration fees | 2,160 | |||
Distribution fees | 369 | |||
Custodian and accounting fees | 15,271 | |||
Trustees’ and Chief Compliance Officer’s fees | 49 | |||
Audit fees | 28,700 | |||
Other | 6,653 | |||
|
| |||
Total Liabilities | 368,123 | |||
|
| |||
Net Assets | $ | 43,182,119 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 26,476,714 | ||
Accumulated undistributed net investment income | 285,368 | |||
Accumulated net realized gains (losses) | 6,064,210 | |||
Net unrealized appreciation (depreciation) | 10,355,827 | |||
|
| |||
Total Net Assets | $ | 43,182,119 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 41,254,648 | ||
Class 2 | 1,927,471 | |||
|
| |||
Total | $ | 43,182,119 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 1,697,595 | |||
Class 2 | 79,710 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 24.30 | ||
Class 2 | 24.18 | |||
|
| |||
Cost of investments in non-affiliates | $ | 32,536,371 | ||
Cost of investments in affiliates | 490,598 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
Intrepid Mid | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 663,277 | ||
Dividend income from affiliates | 257 | |||
Interest income from non-affiliates | 90 | |||
|
| |||
Total investment income | 663,624 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 260,597 | |||
Administration fees | 33,174 | |||
Distribution fees — Class 2 | 1,192 | |||
Custodian and accounting fees | 31,315 | |||
Professional fees | 41,827 | |||
Trustees’ and Chief Compliance Officer’s fees | 412 | |||
Printing and mailing costs | 20,978 | |||
Transfer agent fees | 4,981 | |||
Other | 20,522 | |||
|
| |||
Total expenses | 414,998 | |||
|
| |||
Less fees waived | (54,331 | ) | ||
|
| |||
Net expenses | 360,667 | |||
|
| |||
Net investment income (loss) | 302,957 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 6,041,921 | |||
Futures | 115,263 | |||
|
| |||
Net realized gains (losses) | 6,157,184 | |||
|
| |||
Change in net unrealized appreciation/depreciation of: | ||||
Investments in non-affiliates | (476,950 | ) | ||
Futures | (11,744 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | (488,694 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | 5,668,490 | |||
|
| |||
Change in net assets resulting from operations | $ | 5,971,447 | ||
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|
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Intrepid Mid Cap Portfolio | ||||||||
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 302,957 | $ | 239,444 | ||||
Net realized gain (loss) | 6,157,184 | 7,419,973 | ||||||
Change in net unrealized appreciation/depreciation | (488,694 | ) | 5,441,810 | |||||
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| |||||
Change in net assets resulting from operations | 5,971,447 | 13,101,227 | ||||||
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DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (249,380 | ) | (431,619 | ) | ||||
From net realized gains | (5,234,029 | ) | — | |||||
Class 2 | ||||||||
From net investment income | (630 | ) | (194 | ) | ||||
From net realized gains | (14,491 | ) | — | |||||
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| |||||
Total distributions to shareholders | (5,498,530 | ) | (431,813 | ) | ||||
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|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 2,530,865 | (8,548,005 | ) | |||||
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| |||||
NET ASSETS: | ||||||||
Change in net assets | 3,003,782 | 4,121,409 | ||||||
Beginning of period | 40,178,337 | 36,056,928 | ||||||
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End of period | $ | 43,182,119 | $ | 40,178,337 | ||||
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Accumulated undistributed (distributed in excess of) net investment income | $ | 285,368 | $ | 235,130 | ||||
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| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 2,964,094 | $ | 2,102,652 | ||||
Distributions reinvested | 5,483,409 | 431,619 | ||||||
Cost of shares redeemed | (7,717,357 | ) | (11,104,437 | ) | ||||
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| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 730,146 | $ | (8,570,166 | ) | |||
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| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 1,855,713 | $ | 21,996 | ||||
Distributions reinvested | 15,121 | 194 | ||||||
Cost of shares redeemed | (70,115 | ) | (29 | ) | ||||
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|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 1,800,719 | $ | 22,161 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 2,530,865 | $ | (8,548,005 | ) | |||
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|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 126,740 | 99,231 | ||||||
Reinvested | 256,233 | 21,831 | ||||||
Redeemed | (327,192 | ) | (529,469 | ) | ||||
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|
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| |||||
Change in Class 1 Shares | 55,781 | (408,407 | ) | |||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 80,051 | 937 | ||||||
Reinvested | 709 | 10 | ||||||
Redeemed | (3,068 | ) | (1 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 77,692 | 946 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Mid Cap Portfolio | ||||||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||||||
Year Ended December 31, 2014 | $ | 24.44 | $ | 0.18 | (d)(e)(f) | $ | 3.22 | $ | 3.40 | $ | (0.16 | ) | $ | (3.38 | ) | $ | (3.54 | ) | ||||||||||
Year Ended December 31, 2013 | 17.58 | 0.13 | (d) | 6.95 | 7.08 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended December 31, 2012 | 15.26 | 0.21 | (d)(g) | 2.24 | 2.45 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended December 31, 2011 | 15.62 | 0.12 | (d) | (0.34 | ) | (0.22 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||
Year Ended December 31, 2010 | 13.23 | 0.11 | (d) | 2.46 | 2.57 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2014 | 24.38 | 0.19 | (d)(e)(f) | 3.14 | 3.33 | (0.15 | ) | (3.38 | ) | (3.53 | ) | |||||||||||||||||
Year Ended December 31, 2013 | 17.54 | 0.09 | (d) | 6.93 | 7.02 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended December 31, 2012 | 15.23 | 0.17 | (d)(g) | 2.23 | 2.40 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended December 31, 2011 | 15.60 | 0.08 | (d) | (0.35 | ) | (0.27 | ) | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||
Year Ended December 31, 2010 | 13.22 | 0.08 | (d) | 2.46 | 2.54 | (0.16 | ) | — | (0.16 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
(c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(d) | Calculated based upon average shares outstanding. |
(e) | Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes. |
(f) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.11 and $0.12 for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.49% and 0.53% for Class 1 and Class 2 Shares, respectively. |
(g) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.16 and $0.11 for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.93% and 0.66% for Class 1 and Class 2 Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (a) | Net assets, end of period | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 24.30 | 15.86 | % | $ | 41,254,648 | 0.90 | % | 0.76 | %(e)(f) | 1.03 | % | 54 | % | |||||||||||||
24.44 | 40.59 | 40,129,143 | 0.89 | 0.62 | 1.00 | 57 | ||||||||||||||||||||
17.58 | 16.13 | 36,038,129 | 0.90 | 1.28 | (g) | 1.02 | 54 | |||||||||||||||||||
15.26 | (1.52 | ) | 31,581,775 | 0.90 | 0.75 | 1.08 | 47 | |||||||||||||||||||
15.62 | 19.52 | 38,556,642 | 0.90 | 0.81 | 1.22 | 46 | ||||||||||||||||||||
24.18 | 15.56 | 1,927,471 | 1.14 | 0.81 | (e)(f) | 1.28 | 54 | |||||||||||||||||||
24.38 | 40.27 | 49,194 | 1.14 | 0.41 | 1.24 | 57 | ||||||||||||||||||||
17.54 | 15.82 | 18,799 | 1.15 | 1.00 | (g) | 1.27 | 54 | |||||||||||||||||||
15.23 | (1.79 | ) | 16,232 | 1.15 | 0.52 | 1.33 | 47 | |||||||||||||||||||
15.60 | 19.24 | 16,528 | 1.15 | 0.57 | 1.48 | 46 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Intrepid Mid Cap Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
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 Portfolio are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each investment company’s NAV per share as of the report date.
Futures 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 Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2 — Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
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) | $ | 43,375,270 | $ | — | $ | — | $ | 43,375,270 | ||||||||
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| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 7,526 | $ | — | $ | — | $ | 7,526 | ||||||||
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(a) | All portfolio holdings designated as Level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended December 31, 2014.
B. Futures Contracts — The Portfolio uses index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Portfolio also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Portfolio to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation in the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2014:
Futures Contracts: | ||||
Average Notional Balance Long | $ | 811,914 | ||
Ending Notional Balance Long | 289,720 |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
D. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
E. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (2,709 | ) | $ | 2,709 |
The reclassifications for the Portfolio relate primarily to investments in partnerships.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.65%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2014, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the Distributor, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees in the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately in the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statement of Operations.
E. Waivers and Reimbursements — The Adviser, Administrator (for all class shares) and Distributor (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||
0.90% | 1.15 | % |
The expense limitation agreements were in effect for the year ended December 31, 2014. The contractual expense limitation percentages in the table above are in place until at least April 30, 2015.
For the year ended December 31, 2014, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | ||||||||||||
Investment Advisory | Administration | Total | ||||||||||
$ | 27,047 | $ | 25,932 | $ | 52,979 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2014 was $1,352.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2014, the Portfolio may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2014, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 21,355,006 | $ | 23,593,674 |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 33,089,761 | $ | 11,118,063 | $ | 832,554 | $ | 10,285,509 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2014 was as follows:
Ordinary Income | Net | Total Distributions Paid | ||||||||||
$ | 250,016 | $ | 5,248,514 | $ | 5,498,530 |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The tax character of distributions paid during the year ended December 31, 2013 was as follows:
Ordinary Income | Total Distributions | |||||||
$ | 431,813 | $ | 431,813 |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or | Unrealized Appreciation | ||||||||||
$ | 1,801,819 | $ | 4,615,555 | $ | 10,285,509 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
As of December 31, 2014, the Portfolio did not have any net capital loss carry forwards.
6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio has several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Portfolio.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust Intrepid Mid Cap Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust Intrepid Mid Cap Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 16, 2015
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 21 |
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(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
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Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 23 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning | Ending | Expenses | Annualized | |||||||||||||
Intrepid Mid Cap Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,066.70 | $ | 4.69 | 0.90 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.67 | 4.58 | 0.90 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,065.20 | 5.93 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.46 | 5.80 | 1.14 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 20, 2014.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Portfolio’s expense ratios and those of its peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Board also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMFM earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money
market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser for investment management styles substantially similar to that of the Portfolio. The Trustees also considered the complexity of investment management for the Portfolio relative to the Adviser’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance for the Portfolio in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in the Portfolio’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Lipper performance data noted by the Trustees as part of their
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance was in the first, first and third quintiles for Class 1 shares for the one-, three-, and five-year periods ended December 31, 2013, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual
advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 1 shares were in the first and fourth quintiles, respectively, of the Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
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(Unaudited)
Dividends Received Deductions (DRD)
The Portfolio had 100.00% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended December 31, 2014.
Long Term Capital Gain
The Portfolio distributed $5,248,514, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2014.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITIMCP-1214 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust Mid Cap Value Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
| ![]() |
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Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
JANUARY 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at -0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned -4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned -1.8%.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
CEO’S LETTER
JANUARY 11, 2015 (Unaudited) (continued)
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove the U.S. dollar higher against most other currencies due to investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 15.11% | |||
Russell Midcap Value Index | 14.75% | |||
Net Assets as of 12/31/2014 | $466,265,863 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Mid Cap Value Portfolio (the “Portfolio”) seeks capital appreciation with the secondary goal of achieving current income by investing primarily in equity securities.
HOW DID THE MARKET PERFORM?
U.S equity markets performed strongly in 2014, amid accommodative central bank policies, falling energy prices in the second half of the year and steady overall improvement in the U.S. economy. While the second half of the year was marked by the return of volatility in financial markets and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to closing highs in the final months of 2014. The Standard & Poor’s 500 Index (“S&P 500 Index”) posted 53 new closing highs during the year, broke through the 2,000-point closing level for the first time on October 31, and went on to post new closing highs in the final weeks of December. Also, in late December, the Dow Jones Industrial Average closed above 18,000 points for the first time.
Overall, U.S. large cap stocks outperformed mid cap and small cap stocks, though mid cap value stocks outperformed all other leading sectors among the Russell Indexes during the reporting period. For the twelve months ended December 31, 2014, the S&P 500 Index returned 13.69% and the Russell 1000 Index returned 13.24%, while the Russell Midcap Value Index returned 14.75%.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio (Class 1 Shares) outperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended December 31, 2014. The Portfolio’s security selection in the
materials sector and its stock selection and overweight position in the consumer staples sector were leading contributors to performance relative to the Benchmark, while the Portfolio’s security selection in the financials and information technology sectors detracted from relative performance.
Leading contributors to the Portfolio’s relative performance included Kroger Co., Ball Corp. and Sigma-Aldrich Corp. Shares of Kroger, a supermarket chain not held in the Benchmark, rose on better-than-expected earnings and the company’s revised profit forecast, partly due to acquisitions. Shares of Ball Corp., a packaging supplier not held in the Benchmark, rose after the company reaffirmed its fiscal 2014 and longer-term earnings guidance. Shares of Sigma Aldrich, a U.S. laboratory supply company, rose on the company’s $17 billion acquisition by Merck KGaA, a German drug and chemical company.
Leading individual detractors from relative performance included Loews Corp., Forest Laboratories Inc. and Xilinx Inc. Shares of Loews, a diversified financial holding company, fell amid weakness in company earnings. Shares of Forest Laboratories, a specialty pharmaceutical company not held in the Portfolio, rose on its pending acquisition by Actavis PLC. Shares of Xilinx, a semiconductor company not held in the Benchmark, fell on a weak outlook for revenue.
HOW WAS THE PORTFOLIO POSITIONED?
The portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in their view, sustainable levels of free cash flow. During the reporting period, the Portfolio maintained a large overweight position in the consumer discretionary sector, while the financials sector was the largest underweight position in the Portfolio.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Kohl’s Corp. | 1.6 | % | |||||
2. | Loews Corp. | 1.6 | ||||||
3. | Expedia, Inc. | 1.6 | ||||||
4. | Gap, Inc. (The) | 1.5 | ||||||
5. | Cigna Corp. | 1.5 | ||||||
6. | Arrow Electronics, Inc. | 1.5 | ||||||
7. | Fifth Third Bancorp | 1.4 | ||||||
8. | Jack Henry & Associates, Inc. | 1.4 | ||||||
9. | Questar Corp. | 1.4 | ||||||
10. | Ameriprise Financial, Inc. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 29.5 | % | ||
Consumer Discretionary | 17.4 | |||
Industrials | 9.2 | |||
Utilities | 9.1 | |||
Information Technology | 8.7 | |||
Health Care | 6.5 | |||
Materials | 6.1 | |||
Consumer Staples | 5.5 | |||
Energy | 3.8 | |||
Short-Term Investment | 4.2 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS 1 SHARES | September 28, 2001 | 15.11 | % | 18.25 | % | 9.85 | % |
TEN YEAR PERFORMANCE (12/31/04 TO 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Inception date for JPMorgan Insurance Trust Mid Cap Value Portfolio is September 28, 2001, which is the inception date of JPMorgan Mid Cap Value Portfolio (“Predecessor Portfolio”). JPMorgan Insurance Trust Mid Cap Value Portfolio acquired all of the assets and liabilities of the Predecessor Portfolio in a reorganization on April 24, 2009. The Predecessor Portfolio’s performance and financial history have been adopted by JPMorgan Insurance Trust Mid Cap Value Portfolio and have been used since the reorganization. As a result, the performance prior to April 25, 2009 is the performance of the Predecessor Portfolio.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Mid Cap Value Portfolio, the Russell Midcap Value Index and the Lipper Variable Underlying Funds Multi-Cap Core Index from December 31, 2004 to December 31, 2014. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Russell Midcap Value Index does not reflect the
deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying Funds Multi-Cap Core Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses incurred by the Portfolio. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Variable Underlying Funds Multi-Cap Core Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.1% |
| ||||||
Consumer Discretionary — 17.4% |
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
24,866 | Marriott International, Inc., Class A | 1,940,294 | ||||||
51,070 | Starwood Hotels & Resorts Worldwide, Inc. | 4,140,245 | ||||||
|
| |||||||
6,080,539 | ||||||||
|
| |||||||
Household Durables — 2.5% |
| |||||||
110,610 | Jarden Corp. (a) | 5,296,007 | ||||||
39,750 | Mohawk Industries, Inc. (a) | 6,175,560 | ||||||
|
| |||||||
11,471,567 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% | ||||||||
86,480 | Expedia, Inc. | 7,381,933 | ||||||
|
| |||||||
Media — 3.1% |
| |||||||
42,022 | CBS Corp. (Non-Voting), Class B | 2,325,497 | ||||||
99,435 | Clear Channel Outdoor Holdings, Inc., | 1,053,017 | ||||||
65,730 | DISH Network Corp., Class A (a) | 4,791,060 | ||||||
133,285 | Gannett Co., Inc. | 4,255,790 | ||||||
84,230 | Time, Inc. | 2,072,900 | ||||||
|
| |||||||
14,498,264 | ||||||||
|
| |||||||
Multiline Retail — 2.3% |
| |||||||
122,230 | Kohl’s Corp. | 7,460,919 | ||||||
44,330 | Nordstrom, Inc. | 3,519,359 | ||||||
|
| |||||||
10,980,278 | ||||||||
|
| |||||||
Specialty Retail — 5.3% |
| |||||||
7,628 | AutoZone, Inc. (a) | 4,722,571 | ||||||
47,680 | Bed Bath & Beyond, Inc. (a) | 3,631,785 | ||||||
111,260 | Best Buy Co., Inc. | 4,336,915 | ||||||
171,340 | Gap, Inc. (The) | 7,215,127 | ||||||
43,980 | Tiffany & Co. | 4,699,703 | ||||||
|
| |||||||
24,606,101 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% |
| |||||||
31,100 | PVH Corp. | 3,986,087 | ||||||
29,720 | V.F. Corp. | 2,226,028 | ||||||
|
| |||||||
6,212,115 | ||||||||
|
| |||||||
Total Consumer Discretionary | 81,230,797 | |||||||
|
| |||||||
Consumer Staples — 5.5% |
| |||||||
Beverages — 1.6% |
| |||||||
36,060 | Constellation Brands, Inc., Class A (a) | 3,540,010 | ||||||
53,221 | Dr. Pepper Snapple Group, Inc. | 3,814,882 | ||||||
|
| |||||||
7,354,892 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.2% |
| |||||||
95,907 | Kroger Co. (The) | 6,158,188 | ||||||
545,600 | Rite Aid Corp. (a) | 4,102,912 | ||||||
|
| |||||||
10,261,100 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 0.9% |
| |||||||
41,170 | Hershey Co. (The) | 4,278,798 | ||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
30,600 | Energizer Holdings, Inc. | 3,933,936 | ||||||
|
| |||||||
Total Consumer Staples | 25,828,726 | |||||||
|
| |||||||
Energy — 3.8% |
| |||||||
Oil, Gas & Consumable Fuels — 3.8% |
| |||||||
92,740 | Energen Corp. | 5,913,103 | ||||||
37,120 | EQT Corp. | 2,809,984 | ||||||
88,780 | PBF Energy, Inc., Class A | 2,365,099 | ||||||
112,670 | QEP Resources, Inc. | 2,278,187 | ||||||
159,560 | Southwestern Energy Co. (a) | 4,354,392 | ||||||
|
| |||||||
Total Energy | 17,720,765 | |||||||
|
| |||||||
Financials — 29.5% |
| |||||||
Banks — 6.4% |
| |||||||
95,500 | Citizens Financial Group, Inc. | 2,374,130 | ||||||
44,230 | City National Corp. | 3,574,226 | ||||||
331,800 | Fifth Third Bancorp | 6,760,425 | ||||||
55,780 | First Republic Bank | 2,907,254 | ||||||
109,670 | Huntington Bancshares, Inc. | 1,153,728 | ||||||
47,160 | M&T Bank Corp. | 5,924,239 | ||||||
135,310 | SunTrust Banks, Inc. | 5,669,489 | ||||||
46,100 | Zions Bancorporation | 1,314,311 | ||||||
|
| |||||||
29,677,802 | ||||||||
|
| |||||||
Capital Markets — 4.6% |
| |||||||
46,790 | Ameriprise Financial, Inc. | 6,187,977 | ||||||
111,180 | Invesco Ltd. | 4,393,834 | ||||||
49,500 | Legg Mason, Inc. | 2,641,815 | ||||||
41,200 | Northern Trust Corp. | 2,776,880 | ||||||
66,220 | T. Rowe Price Group, Inc. | 5,685,649 | ||||||
|
| |||||||
21,686,155 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
170,690 | Ally Financial, Inc. (a) | 4,031,698 | ||||||
|
| |||||||
Insurance — 8.7% | ||||||||
5,998 | Alleghany Corp. (a) | 2,780,073 | ||||||
36,450 | Chubb Corp. (The) | 3,771,482 | ||||||
121,820 | Hartford Financial Services Group, Inc. (The) | 5,078,676 | ||||||
176,950 | Loews Corp. | 7,435,439 | ||||||
106,310 | Marsh & McLennan Cos., Inc. | 6,085,185 | ||||||
178,154 | Old Republic International Corp. | 2,606,393 | ||||||
73,100 | Progressive Corp. (The) | 1,972,969 | ||||||
105,730 | Unum Group | 3,687,862 | ||||||
58,120 | W.R. Berkley Corp. | 2,979,231 | ||||||
126,290 | XL Group plc, (Ireland) | 4,340,587 | ||||||
|
| |||||||
40,737,897 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — 8.5% |
| |||||||
78,720 | American Campus Communities, Inc. | 3,255,859 | ||||||
29,770 | AvalonBay Communities, Inc. (m) | 4,864,120 | ||||||
18,450 | Boston Properties, Inc. | 2,374,331 | ||||||
114,890 | Brixmor Property Group, Inc. | 2,853,868 | ||||||
145,140 | General Growth Properties, Inc. (m) | 4,082,788 | ||||||
189,160 | Kimco Realty Corp. (m) | 4,755,482 | ||||||
77,067 | Outfront Media, Inc. | 2,068,478 | ||||||
91,005 | Rayonier, Inc. (m) | 2,542,680 | ||||||
49,640 | Regency Centers Corp. (m) | 3,166,039 | ||||||
46,214 | Vornado Realty Trust (m) | 5,439,850 | ||||||
124,030 | Weyerhaeuser Co. (m) | 4,451,437 | ||||||
|
| |||||||
39,854,932 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
183,950 | Hudson City Bancorp, Inc. | 1,861,574 | ||||||
|
| |||||||
Total Financials | 137,850,058 | |||||||
|
| |||||||
Health Care — 6.5% |
| |||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
88,990 | CareFusion Corp. (a) | 5,280,667 | ||||||
|
| |||||||
Health Care Providers & Services — 5.4% |
| |||||||
60,440 | AmerisourceBergen Corp. | 5,449,270 | ||||||
109,950 | Brookdale Senior Living, Inc. (a) | 4,031,866 | ||||||
69,160 | Cigna Corp. | 7,117,256 | ||||||
20,900 | Henry Schein, Inc. (a) | 2,845,535 | ||||||
39,650 | Humana, Inc. | 5,694,930 | ||||||
|
| |||||||
25,138,857 | ||||||||
|
| |||||||
Total Health Care | 30,419,524 | |||||||
|
| |||||||
Industrials — 9.3% |
| |||||||
Building Products — 0.9% |
| |||||||
89,380 | Fortune Brands Home & Security, Inc. | 4,046,232 | ||||||
|
| |||||||
Electrical Equipment — 2.6% |
| |||||||
80,380 | AMETEK, Inc. | 4,230,400 | ||||||
37,280 | Hubbell, Inc., Class B | 3,982,622 | ||||||
52,460 | Regal-Beloit Corp. | 3,944,992 | ||||||
|
| |||||||
12,158,014 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% | ||||||||
60,120 | Carlisle Cos., Inc. | 5,425,229 | ||||||
|
| |||||||
Machinery — 2.6% |
| |||||||
64,910 | IDEX Corp. | 5,052,594 | ||||||
84,150 | Rexnord Corp. (a) | 2,373,872 | ||||||
33,320 | Snap-on, Inc. | 4,556,177 | ||||||
|
| |||||||
11,982,643 | ||||||||
|
| |||||||
Professional Services — 1.2% | ||||||||
69,570 | Equifax, Inc. | 5,626,126 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.8% |
| |||||||
49,170 | MSC Industrial Direct Co., Inc., Class A | 3,995,062 | ||||||
|
| |||||||
Total Industrials | 43,233,306 | |||||||
|
| |||||||
Information Technology — 8.8% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
147,990 | CommScope Holding Co., Inc. (a) | 3,378,612 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.5% |
| |||||||
89,150 | Amphenol Corp., Class A | 4,797,161 | ||||||
118,440 | Arrow Electronics, Inc. (a) | 6,856,492 | ||||||
|
| |||||||
11,653,653 | ||||||||
|
| |||||||
IT Services — 1.5% | ||||||||
107,720 | Jack Henry & Associates, Inc. | 6,693,721 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
102,780 | Analog Devices, Inc. | 5,706,346 | ||||||
42,930 | KLA-Tencor Corp. | 3,018,838 | ||||||
119,850 | Xilinx, Inc. | 5,188,306 | ||||||
|
| |||||||
13,913,490 | ||||||||
|
| |||||||
Software — 1.1% | ||||||||
121,350 | Synopsys, Inc. (a) | 5,275,084 | ||||||
|
| |||||||
Total Information Technology | 40,914,560 | |||||||
|
| |||||||
Materials — 6.2% | ||||||||
Chemicals — 3.3% | ||||||||
50,650 | Airgas, Inc. | 5,833,867 | ||||||
61,116 | Albemarle Corp. | 3,674,905 | ||||||
14,370 | Sherwin-Williams Co. (The) | 3,779,885 | ||||||
13,560 | Sigma-Aldrich Corp. | 1,861,381 | ||||||
|
| |||||||
15,150,038 | ||||||||
|
| |||||||
Containers & Packaging — 2.9% | ||||||||
75,220 | Ball Corp. | 5,127,748 | ||||||
65,530 | Rock-Tenn Co., Class A | 3,996,019 | ||||||
82,100 | Silgan Holdings, Inc. | 4,400,560 | ||||||
|
| |||||||
13,524,327 | ||||||||
|
| |||||||
Total Materials | 28,674,365 | |||||||
|
| |||||||
Utilities — 9.1% | ||||||||
Electric Utilities — 2.7% | ||||||||
65,530 | Edison International | 4,290,905 | ||||||
105,600 | Westar Energy, Inc. | 4,354,944 | ||||||
114,860 | Xcel Energy, Inc. | 4,125,771 | ||||||
|
| |||||||
12,771,620 | ||||||||
|
| |||||||
Gas Utilities — 2.0% | ||||||||
43,210 | National Fuel Gas Co. | 3,004,392 | ||||||
251,490 | Questar Corp. | 6,357,667 | ||||||
|
| |||||||
9,362,059 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Multi-Utilities — 4.4% | ||||||||
173,920 | CenterPoint Energy, Inc. | 4,074,945 | ||||||
137,700 | CMS Energy Corp. | 4,785,075 | ||||||
44,950 | NiSource, Inc. | 1,906,779 | ||||||
53,260 | Sempra Energy | 5,931,034 | ||||||
70,130 | Wisconsin Energy Corp. | 3,698,656 | ||||||
|
| |||||||
20,396,489 | ||||||||
|
| |||||||
Total Utilities | 42,530,168 | |||||||
|
| |||||||
Total Common Stocks | 448,402,269 | |||||||
|
| |||||||
| Short-term investment — 4.2% |
| ||||||
Investment Company — 4.2% |
| |||||||
19,452,067 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 19,452,067 | ||||||
|
| |||||||
Total Investments — 100.3% | 467,854,336 | |||||||
Liabilities in Excess of | (1,588,473 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 466,265,863 | ||||||
|
|
Percentages indicated are based on net assets.
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(l) | — The rate shown is the current yield as of December 31, 2014. | |
(m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
Mid Cap Value Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 448,402,269 | ||
Investments in affiliates, at value | 19,452,067 | |||
|
| |||
Total investment securities, at value | 467,854,336 | |||
Receivables: | ||||
Portfolio shares sold | 549,455 | |||
Dividends from non-affiliates | 586,001 | |||
Dividends from affiliates | 495 | |||
|
| |||
Total Assets | 468,990,287 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Portfolio shares redeemed | 2,380,771 | |||
Accrued liabilities: | ||||
Investment advisory fees | 254,221 | |||
Administration fees | 32,211 | |||
Custodian and accounting fees | 17,783 | |||
Trustees’ and Chief Compliance Officer’s fees | 498 | |||
Other | 38,940 | |||
|
| |||
Total Liabilities | 2,724,424 | |||
|
| |||
Net Assets | $ | 466,265,863 | ||
|
| |||
NET ASSETS : | ||||
Paid-in-Capital | $ | 264,897,690 | ||
Accumulated undistributed net investment income | 4,408,126 | |||
Accumulated net realized gains (losses) | 29,716,398 | |||
Net unrealized appreciation (depreciation) | 167,243,649 | |||
|
| |||
Total Net Assets | $ | 466,265,863 | ||
|
| |||
Outstanding units of beneficial interest (shares) | 40,858,296 | |||
Net Asset Value, offering and redemption price per share (a) | $ | 11.41 | ||
Cost of investments in non-affiliates | $ | 281,158,620 | ||
Cost of investments in affiliates | 19,452,067 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or share outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
Mid Cap Value Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 7,847,933 | ||
Dividend income from affiliates | 1,950 | |||
|
| |||
Total investment income | 7,849,883 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 2,806,931 | |||
Administration fees | 357,310 | |||
Custodian and accounting fees | 34,101 | |||
Professional fees | 46,803 | |||
Trustees’ and Chief Compliance Officer’s fees | 4,433 | |||
Printing and mailing costs | 44,655 | |||
Transfer agent fees | 4,976 | |||
Other | 120,214 | |||
|
| |||
Total expenses | 3,419,423 | |||
|
| |||
Less fees waived | (24,529 | ) | ||
|
| |||
Net expenses | 3,394,894 | |||
|
| |||
Net investment income (loss) | 4,454,989 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from investments in non-affiliates | 36,999,492 | |||
Change in net unrealized appreciation/depreciation of investments in non-affiliates | 19,922,426 | |||
|
| |||
Net realized/unrealized gains (losses) | 56,921,918 | |||
|
| |||
Change in net assets resulting from operations | $ | 61,376,907 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Mid Cap Value Portfolio | ||||||||
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 4,454,989 | $ | 3,381,126 | ||||
Net realized gain (loss) | 36,999,492 | 24,547,256 | ||||||
Change in net unrealized appreciation/depreciation | 19,922,426 | 69,447,842 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 61,376,907 | 97,376,224 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
From net investment income | (3,343,737 | ) | (3,553,610 | ) | ||||
From net realized gains | (22,810,374 | ) | (3,818,800 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (26,154,111 | ) | (7,372,410 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 22,260,831 | 21,383,536 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 57,483,627 | 111,387,350 | ||||||
Beginning of period | 408,782,236 | 297,394,886 | ||||||
|
|
|
| |||||
End of period | $ | 466,265,863 | $ | 408,782,236 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 4,408,126 | $ | 3,349,142 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Proceeds from shares issued | $ | 88,783,914 | $ | 92,390,380 | ||||
Distributions reinvested | 26,154,111 | 7,372,410 | ||||||
Cost of shares redeemed | (92,677,194 | ) | (78,379,254 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | $ | 22,260,831 | $ | 21,383,536 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Issued | 8,267,766 | 9,778,101 | ||||||
Reinvested | 2,564,129 | 824,654 | ||||||
Redeemed | (8,631,878 | ) | (8,326,183 | ) | ||||
|
|
|
| |||||
Change in Shares | 2,200,017 | 2,276,572 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Value Portfolio |
| |||||||||||||||||||||||||||
Year Ended December 31, 2014 | $ | 10.57 | $ | 0.11 | (d) | $ | 1.41 | $ | 1.52 | $ | (0.09 | ) | $ | (0.59 | ) | $ | (0.68 | ) | ||||||||||
Year Ended December 31, 2013 | 8.17 | 0.09 | 2.51 | 2.60 | (0.10 | ) | (0.10 | ) | (0.20 | ) | ||||||||||||||||||
Year Ended December 31, 2012 | 6.86 | 0.10 | 1.29 | 1.39 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Year Ended December 31, 2011 | 6.80 | 0.09 | 0.06 | 0.15 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year Ended December 31, 2010 | 5.57 | 0.09 | 1.21 | 1.30 | (0.07 | ) | — | (0.07 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% or unless otherwise noted. |
(c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(d) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.08 and the net investment income (loss) ratio would have been 0.77%. |
SEE NOTES TO FINANCIAL STATEMENTS
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (a) | Net assets, end of period | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$11.41 | 15.11 | % | $ | 466,265,863 | 0.79 | % | 1.03 | %(d) | 0.79 | % | 25 | % | ||||||||||||||
10.57 | 32.30 | 408,782,236 | 0.77 | 0.95 | 0.78 | 26 | ||||||||||||||||||||
8.17 | 20.38 | 297,394,886 | 0.78 | 1.30 | 0.79 | 30 | ||||||||||||||||||||
6.86 | 2.16 | 254,378,785 | 0.80 | 1.22 | 0.80 | 43 | ||||||||||||||||||||
6.80 | 23.45 | 257,312,179 | 0.81 | 1.36 | 0.82 | 32 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Class Offered | Diversified/Non-Diversified | |||
Mid Cap Value Portfolio | Class 1 | Diversified |
The investment objective of the Portfolio is to seek capital appreciation with the secondary goal of achieving current income by investing primarily in equity securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
Effective as of the close of business on May 1, 2013, the Portfolio is offered only on a limited basis. Investors are not eligible to purchase shares of the Portfolio unless they meet certain requirements as described in its prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
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 Portfolio are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each investment company’s NAV 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 Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2 — Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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) | $ | 467,854,336 | $ | — | $ | — | $ | 467,854,336 | ||||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as Level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
There were no transfers among any levels during the year ended December 31, 2014.
B. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
C. Allocation of Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios.
D. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
E. Distributions to Shareholders — Distributions from net investment income and net realized capital gains, if any, are generally declared and paid at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed net investment income | Accumulated net realized gains (losses) | ||||||||
$— | $ | (52,268 | ) | $ | 52,268 |
The reclassifications for the Portfolio relate primarily to non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.65%.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2014, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares. The Distributor receives no compensation in its capacity as the Portfolio’s underwriter.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees in the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately in the Statement of Operations.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statement of Operations.
E. Waivers and Reimbursements — The Adviser and Administrator have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed 0.90% of the Portfolio’s average daily net assets.
The expense limitation agreement was in effect for the year ended December 31, 2014. The contractual expense limitation percentage above is in place until at least April 30, 2015.
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser and the Administrator waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2014 was $24,529.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2014, the Portfolio may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2014, the Portfolio incurred $11 in brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 103,431,764 | $ | 108,486,052 |
During the year ended December 31, 2014, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014, were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$302,103,983 | $ | 170,046,110 | $ | 4,295,757 | $ | 165,750,353 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2014 was as follows:
Total Distributions Paid From: | ||||||||||||
Ordinary Income | Net Long-Term | Total Distributions Paid | ||||||||||
$ | 6,533,385 | $ | 19,620,726 | $ | 26,154,111 |
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
The tax character of distributions paid during the year ended December 31, 2013 was as follows:
Total Distributions Paid From: | ||||||||||||
Ordinary Income | Net Long-Term | Total Distributions Paid | ||||||||||
$ | 3,553,458 | $ | 3,818,952 | $ | 7,372,410 |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain | Tax Basis | Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 6,267,454 | $ | 33,389,512 | $ | (4,059,849 | ) | $ | 165,750,353 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Portfolio after December 31, 2010 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Portfolio were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of December 31, 2014, the Portfolio did not have any post-enactment net capital loss carryforwards.
As of December 31, 2014, the Portfolio had pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains:
2017 | ||||
$4,059,849* |
* | This entire amount is comprised of capital loss carryforwards from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
During the year ended December 31, 2014, the Portfolio utilized pre-enactment capital loss carryforwards in the amount of $1,353,283.
6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio has several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Portfolio.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust Mid Cap Value Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust Mid Cap Value Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 16, 2015
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The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Portfolio at the beginning of the reporting period, July 1, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
The first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2014 | Ending Account Value December 31, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Value Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.40 | $ | 4.11 | 0.79 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.22 | 4.02 | 0.79 |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
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SEE NOTES TO FINANCIAL STATEMENTS.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 20, 2014.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Portfolio’s expense ratios and those of its peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Board also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMFM earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would
be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser for investment management styles substantially similar to that of the Portfolio. The Trustees also considered the complexity of investment management for the Portfolio relative to the Adviser’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance for the Portfolio in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in the Portfolio’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance was in the second, first and first quintiles for Class 1 shares for the one-,
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three-, and five-year periods ended December 31, 2013, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense
ratios for the Portfolio. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 1 shares were in the fourth and third quintiles, respectively, of the Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
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(Unaudited)
Dividends Received Deductions (DRD)
The Portfolio had 100% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended December 31, 2014.
Long Term Capital Gain
The Portfolio distributed $19,620,726, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2014.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITMCVP-1214 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust Small Cap Core Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
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Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
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JANUARY 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
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“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at -0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned -4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned -1.8%.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
CEO’S LETTER
JANUARY 11, 2015 (Unaudited) (continued)
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove the U.S. dollar higher against most other currencies due to investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 9.59% | |||
Russell 2000 Index | 4.89% | |||
Net Assets as of 12/31/2014 | $ | 112,776,503 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Small Cap Core Portfolio (the “Portfolio”) seeks capital growth over the long term.
HOW DID THE MARKET PERFORM?
U.S. equity markets performed strongly in 2014, amid accommodative central bank policies, falling energy prices in the second half of the year and steady overall improvement in the U.S. economy. While the second half of the year was marked by the return of volatility in financial markets and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to closing highs in the final months of 2014. The Standard & Poor’s 500 Index (“S&P 500 Index”) posted 53 new closing highs during the year and broke through the 2,000-point closing level for the first time on October 31, and went on to post new closing highs in the final weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time.
Overall, U.S. large cap stocks outperformed small cap stocks and growth stocks outperformed value stocks during the reporting period. Within the S&P 500 Index, the utilities and health care sectors were leading performers, while the energy and telecommunication services sectors were the bottom performers. The S&P 500 Index returned 13.69% and the Dow Jones Industrial Average returned 10.04% for 2014. The Russell 2000 Index returned 4.89%, the Russell 2000 Growth Index returned 5.60% and the Russell 2000 Value Index returned 4.22% for 2014.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio (Class 1 Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended December 31, 2014. The Portfolio’s security selection in the pharmaceutical and consumer cyclical sectors was a leading contributor to performance relative to the Benchmark, while security selection in the finance and software & services sectors detracted from relative performance.
Leading contributors to the Portfolio’s relative performance included Skyworks Solutions Inc., Hawaiian Holdings Inc. and Inteliquent Inc. Shares of Skyworks, a producer of radio frequency semiconductors not held in the Benchmark, rose on increased demand for its products from smartphone makers, particularly Apple Inc. Shares of Hawaiian Holdings, owner/operator of Hawaiian Airlines, strengthened on expectations that lower fuel prices will bolster earnings. Shares of Inteliquent, a provider of voice interconnection technology to the telecommunications sector, rose on improved market share and the company’s forecast for higher revenue and cash flow.
Leading individual detractors from relative performance included Ocwen Financial Corp., Barrett Business Services Inc. and Medicines Co. Shares of Ocwen, a mortgage loan servicing and origination company not held in the Benchmark, fell amid the ouster of the company’s influential chairman in a $150 million settlement with the New York State Department of Finance following an investigation of foreclosure and accounting practices. Shares of Medicines, a pharmaceutical company focused on serving the hospital market, sank after a U.S. Food and Drug Administration panel voted against approval of the company’s blood clot preventer. Shares of Barrett, a staffing and management consulting company, fell after it issued a disappointing earnings forecast.
HOW WAS THE PORTFOLIO POSITIONED?
In accordance with its investment process, the portfolio managers take limited sector bets and construct the Portfolio so that stock selection is typically the primary driver of its relative performance versus the Benchmark. The portfolio managers employ a bottom-up approach to stock selection, using quantitative screening and proprietary analysis to construct a portfolio of companies that they believe are attractively valued and possess strong fundamentals. During the reporting period, the Portfolio was managed and positioned in accordance with this investment process.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Office Depot, Inc. | 1.3 | % | |||||
2. | Dynegy, Inc. | 1.2 | ||||||
3. | NuVasive, Inc. | 1.1 | ||||||
4. | Unisys Corp. | 1.1 | ||||||
5. | Hawaiian Holdings, Inc. | 1.1 | ||||||
6. | Deluxe Corp. | 1.0 | ||||||
7. | Sanmina Corp. | 1.0 | ||||||
8. | Inteliquent, Inc. | 0.9 | ||||||
9. | Skyworks Solutions, Inc. | 0.9 | ||||||
10. | Take-Two Interactive Software, Inc. | 0.9 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 22.4 | % | ||
Information Technology | 17.0 | |||
Industrials | 14.8 | |||
Health Care | 14.0 | |||
Consumer Discretionary | 12.8 | |||
Consumer Staples | 4.1 | |||
Energy | 3.9 | |||
Materials | 3.3 | |||
Utilities | 3.3 | |||
Telecommunication Services | 1.4 | |||
Short-Term Investment | 3.0 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||||||||
INCEPTION DATE OF | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | January 3, 1995 | 9.59 | % | 17.72 | % | 7.77 | % | |||||||
CLASS 2 SHARES | April 24, 2009 | 9.34 | 17.43 | 7.62 |
TEN YEAR PERFORMANCE (12/31/04 to 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Inception date for Class 1 Shares is January 3, 1995, which is the inception date of JPMorgan Small Company Portfolio (“Predecessor Portfolio”). The JPMorgan Insurance Trust Small Cap Core Portfolio acquired all of the assets and liabilities of the Predecessor Portfolio in a reorganization on April 24, 2009. The Predecessor Portfolio’s performance and financial history have been adopted by JPMorgan Insurance Trust Small Cap Core Portfolio and have been used since the reorganization. As a result the performance for Class 1 Shares prior to April 25, 2009, is the performance of the Predecessor Portfolio.
Returns for Class 2 Shares prior to April 25, 2009 are based on the performance of Class 1 Shares. The actual returns of Class 2 Shares would have been lower than those shown because Class 2 Shares have higher expenses than Class 1 Shares and the Predecessor Portfolio.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Small Cap Core Portfolio, the Russell 2000 Index and the Lipper Variable Underlying Funds Small-Cap Core Funds Index from December 31, 2004 to December 31, 2014. The performance of the
Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Russell 2000 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying Funds Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Variable Underlying Funds Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
The Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.7% |
| ||||||
Consumer Discretionary — 12.9% |
| |||||||
Auto Components — 1.4% |
| |||||||
22,500 | Cooper Tire & Rubber Co. | 779,625 | ||||||
8,000 | Stoneridge, Inc. (a) | 102,880 | ||||||
27,400 | Tower International, Inc. (a) | 700,070 | ||||||
|
| |||||||
1,582,575 | ||||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
5,600 | Core-Mark Holding Co., Inc. | 346,808 | ||||||
1,360 | VOXX International Corp. (a) | 11,914 | ||||||
|
| |||||||
358,722 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
1,300 | Capella Education Co. | 100,048 | ||||||
15,800 | Chegg, Inc. (a) | 109,178 | ||||||
18,100 | LifeLock, Inc. (a) | 335,031 | ||||||
|
| |||||||
544,257 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
11,000 | Bloomin’ Brands, Inc. (a) | 272,360 | ||||||
4,500 | Dave & Buster’s Entertainment, Inc. (a) | 122,850 | ||||||
8,600 | Jack in the Box, Inc. | 687,656 | ||||||
25,468 | Ruth’s Hospitality Group, Inc. | 382,020 | ||||||
5,100 | Sonic Corp. | 138,873 | ||||||
|
| |||||||
1,603,759 | ||||||||
|
| |||||||
Household Durables — 1.8% |
| |||||||
13,500 | Helen of Troy Ltd., (Bermuda) (a) | 878,310 | ||||||
4,183 | Jarden Corp. (a) | 200,282 | ||||||
9,800 | KB Home | 162,190 | ||||||
2,000 | Libbey, Inc. (a) | 62,880 | ||||||
3,000 | Lifetime Brands, Inc. | 51,600 | ||||||
1,400 | NACCO Industries, Inc., Class A | 83,104 | ||||||
20,000 | Skullcandy, Inc. (a) | 183,800 | ||||||
5,100 | Universal Electronics, Inc. (a) | 331,653 | ||||||
|
| |||||||
1,953,819 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
2,200 | Coupons.com, Inc. (a) | 39,050 | ||||||
7,000 | Lands’ End, Inc. (a) | 377,720 | ||||||
2,000 | Wayfair, Inc., Class A (a) | 39,700 | ||||||
|
| |||||||
456,470 | ||||||||
|
| |||||||
Leisure Products — 0.0% (g) |
| |||||||
2,000 | Nautilus, Inc. (a) | 30,360 | ||||||
|
| |||||||
Media — 1.7% |
| |||||||
2,200 | AMC Entertainment Holdings, Inc., Class A | 57,596 | ||||||
20,500 | Dex Media, Inc. (a) | 183,885 | ||||||
34,700 | E.W. Scripps Co. (The), Class A (a) | 775,545 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — continued |
| |||||||
4,800 | Entercom Communications Corp., Class A (a) | 58,368 | ||||||
12,300 | Journal Communications, Inc., Class A (a) | 140,589 | ||||||
1,800 | Live Nation Entertainment, Inc. (a) | 46,998 | ||||||
6,600 | Nexstar Broadcasting Group, Inc., Class A | 341,814 | ||||||
11,300 | Sinclair Broadcast Group, Inc., Class A | 309,168 | ||||||
|
| |||||||
1,913,963 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
3,700 | Dillard’s, Inc., Class A | 463,166 | ||||||
|
| |||||||
Specialty Retail — 4.1% |
| |||||||
20,600 | Barnes & Noble, Inc. (a) | 478,332 | ||||||
900 | Boot Barn Holdings, Inc. (a) | 16,380 | ||||||
15,200 | Brown Shoe Co., Inc. | 488,680 | ||||||
9,800 | Cato Corp. (The), Class A | 413,364 | ||||||
1,300 | Children’s Place, Inc. (The) | 74,100 | ||||||
6,600 | Citi Trends, Inc. (a) | 166,650 | ||||||
29,300 | Express, Inc. (a) | 430,417 | ||||||
11,000 | Lithia Motors, Inc., Class A | 953,590 | ||||||
165,645 | Office Depot, Inc. (a) | 1,420,406 | ||||||
2,000 | Outerwall, Inc. (a) | 150,440 | ||||||
3,400 | Systemax, Inc. (a) | 45,900 | ||||||
|
| |||||||
4,638,259 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
4,200 | G-III Apparel Group Ltd. (a) | 424,242 | ||||||
17,700 | Iconix Brand Group, Inc. (a) | 598,083 | ||||||
|
| |||||||
1,022,325 | ||||||||
|
| |||||||
Total Consumer Discretionary | 14,567,675 | |||||||
|
| |||||||
Consumer Staples — 4.2% |
| |||||||
Food & Staples Retailing — 2.1% |
| |||||||
7,150 | Andersons, Inc. (The) | 379,951 | ||||||
103,800 | Rite Aid Corp. (a) | 780,576 | ||||||
10,800 | Smart & Final Stores, Inc. (a) | 169,884 | ||||||
27,380 | SpartanNash Co. | 715,713 | ||||||
27,800 | SUPERVALU, Inc. (a) | 269,660 | ||||||
|
| |||||||
2,315,784 | ||||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
33,300 | Chiquita Brands International, Inc. (a) | 481,518 | ||||||
3,100 | Freshpet, Inc. (a) | 52,886 | ||||||
28,700 | Pilgrim’s Pride Corp. (a) | 941,073 | ||||||
7,500 | Pinnacle Foods, Inc. | 264,750 | ||||||
2,400 | Sanderson Farms, Inc. | 201,660 | ||||||
|
| |||||||
1,941,887 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Personal Products — 0.4% | ||||||||
3,900 | Revlon, Inc., Class A (a) | 133,224 | ||||||
3,100 | USANA Health Sciences, Inc. (a) | 318,029 | ||||||
|
| |||||||
451,253 | ||||||||
|
| |||||||
Total Consumer Staples | 4,708,924 | |||||||
|
| |||||||
Energy — 4.0% |
| |||||||
Energy Equipment & Services — 1.1% |
| |||||||
3,800 | Basic Energy Services, Inc. (a) | 26,638 | ||||||
8,100 | C&J Energy Services, Inc. (a) | 107,001 | ||||||
4,600 | Dawson Geophysical Co. | 56,258 | ||||||
7,000 | FMSA Holdings, Inc. (a) | 48,440 | ||||||
8,800 | Forum Energy Technologies, Inc. (a) | 182,424 | ||||||
9,000 | Helix Energy Solutions Group, Inc. (a) | 195,300 | ||||||
9,800 | Matrix Service Co. (a) | 218,736 | ||||||
2,400 | Pioneer Energy Services Corp. (a) | 13,296 | ||||||
9,412 | Superior Energy Services, Inc. | 189,652 | ||||||
17,400 | Tesco Corp. | 223,068 | ||||||
|
| |||||||
1,260,813 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.9% |
| |||||||
76,600 | Abraxas Petroleum Corp. (a) | 225,204 | ||||||
10,100 | Carrizo Oil & Gas, Inc. (a) | 420,160 | ||||||
9,200 | Delek U.S. Holdings, Inc. | 250,976 | ||||||
4,295 | Energy XXI Ltd. | 14,002 | ||||||
22,600 | Green Plains, Inc. | 560,028 | ||||||
6,800 | Jones Energy, Inc., Class A (a) | 77,588 | ||||||
23,300 | Pacific Ethanol, Inc. (a) | 240,689 | ||||||
28,700 | Renewable Energy Group, Inc. (a) | 278,677 | ||||||
900 | REX American Resources Corp. (a) | 55,773 | ||||||
1,400 | SemGroup Corp., Class A | 95,746 | ||||||
6,900 | Stone Energy Corp. (a) | 116,472 | ||||||
2,700 | TransAtlantic Petroleum Ltd. (a) | 14,553 | ||||||
24,800 | VAALCO Energy, Inc. (a) | 113,088 | ||||||
158,700 | Warren Resources, Inc. (a) | 255,507 | ||||||
9,800 | Western Refining, Inc. | 370,244 | ||||||
2,100 | World Fuel Services Corp. | 98,553 | ||||||
|
| |||||||
3,187,260 | ||||||||
|
| |||||||
Total Energy | 4,448,073 | |||||||
|
| |||||||
Financials — 22.5% |
| |||||||
Banks — 8.1% |
| |||||||
2,600 | Banco Latinoamericano de Comercio | |||||||
Exterior S.A., (Panama), Class E | 78,260 | |||||||
9,800 | BBCN Bancorp, Inc. | 140,924 | ||||||
2,200 | BNC Bancorp | 37,862 | ||||||
1,000 | Bridge Bancorp, Inc. | 26,750 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
5,700 | Cathay General Bancorp | 145,863 | ||||||
1,800 | Citizens & Northern Corp. | 37,206 | ||||||
1,264 | Community Trust Bancorp, Inc. | 46,275 | ||||||
1,200 | ConnectOne Bancorp, Inc. | 22,800 | ||||||
13,480 | Customers Bancorp, Inc. (a) | 262,321 | ||||||
23,355 | East West Bancorp, Inc. | 904,072 | ||||||
2,444 | Fidelity Southern Corp. | 39,373 | ||||||
3,500 | Financial Institutions, Inc. | 88,025 | ||||||
44,800 | First BanCorp, (Puerto Rico) (a) | 262,976 | ||||||
1,200 | First Business Financial Services, Inc. | 57,492 | ||||||
16,600 | First Commonwealth Financial Corp. | 153,052 | ||||||
4,200 | First Community Bancshares, Inc. | 69,174 | ||||||
3,900 | First Financial Bancorp | 72,501 | ||||||
3,300 | First Merchants Corp. | 75,075 | ||||||
6,700 | First NBC Bank Holding Co. (a) | 235,840 | ||||||
24,757 | FirstMerit Corp. | 467,660 | ||||||
24,125 | Hanmi Financial Corp. | 526,166 | ||||||
9,800 | Hilltop Holdings, Inc. (a) | 195,510 | ||||||
96,000 | Huntington Bancshares, Inc. | 1,009,920 | ||||||
875 | Iberiabank Corp. | 56,744 | ||||||
3,100 | MainSource Financial Group, Inc. | 64,852 | ||||||
700 | National Bankshares, Inc. | 21,273 | ||||||
2,171 | NBT Bancorp, Inc. | 57,032 | ||||||
17,700 | PacWest Bancorp | 804,642 | ||||||
7,100 | Pinnacle Financial Partners, Inc. | 280,734 | ||||||
28,900 | Popular, Inc., (Puerto Rico) (a) | 984,045 | ||||||
5,600 | Preferred Bank | 156,184 | ||||||
3,700 | PrivateBancorp, Inc. | 123,580 | ||||||
1,100 | Prosperity Bancshares, Inc. | 60,896 | ||||||
4,150 | Sierra Bancorp | 72,874 | ||||||
10,535 | Southwest Bancorp, Inc. | 182,887 | ||||||
8,300 | State Bank Financial Corp. | 165,834 | ||||||
10,000 | Susquehanna Bancshares, Inc. | 134,300 | ||||||
1,100 | SVB Financial Group (a) | 127,677 | ||||||
6,800 | TriCo Bancshares | 167,960 | ||||||
10,800 | TriState Capital Holdings, Inc. (a) | 110,592 | ||||||
2,000 | WesBanco, Inc. | 69,600 | ||||||
3,100 | West Bancorporation, Inc. | 52,762 | ||||||
47,400 | Wilshire Bancorp, Inc. | 480,162 | ||||||
1,400 | Yadkin Financial Corp. (a) | 27,510 | ||||||
|
| |||||||
9,157,237 | ||||||||
|
| |||||||
Capital Markets — 1.2% | ||||||||
2,500 | Arlington Asset Investment Corp., Class A | 66,525 | ||||||
44,700 | BGC Partners, Inc., Class A | 409,005 | ||||||
16,400 | Cowen Group, Inc., Class A (a) | 78,720 | ||||||
22,600 | Investment Technology Group, Inc. (a) | 470,532 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Capital Markets — continued | ||||||||
11,900 | Manning & Napier, Inc. | 164,458 | ||||||
800 | Oppenheimer Holdings, Inc., Class A | 18,600 | ||||||
2,900 | Piper Jaffray Cos. (a) | 168,461 | ||||||
|
| |||||||
1,376,301 | ||||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
12,500 | Cash America International, Inc. | 282,750 | ||||||
6,900 | Encore Capital Group, Inc. (a) | 306,360 | ||||||
11,437 | Enova International, Inc. (a) | 254,588 | ||||||
41,700 | Green Dot Corp., Class A (a) | 854,433 | ||||||
2,500 | Nelnet, Inc., Class A | 115,825 | ||||||
|
| |||||||
1,813,956 | ||||||||
|
| |||||||
Insurance — 2.6% |
| |||||||
29,000 | American Equity Investment Life Holding Co. | 846,510 | ||||||
5,325 | Aspen Insurance Holdings Ltd., (Bermuda) | 233,075 | ||||||
8,200 | Atlas Financial Holdings, Inc. (a) | 133,824 | ||||||
36,500 | CNO Financial Group, Inc. | 628,530 | ||||||
1,900 | Crawford & Co., Class B | 19,532 | ||||||
4,500 | HCI Group, Inc. | 194,580 | ||||||
1,300 | Horace Mann Educators Corp. | 43,134 | ||||||
20,200 | Maiden Holdings Ltd., (Bermuda) | 258,358 | ||||||
1,000 | Montpelier Re Holdings Ltd., (Bermuda) | 35,820 | ||||||
2,600 | Selective Insurance Group, Inc. | 70,642 | ||||||
6,800 | Stewart Information Services Corp. | 251,872 | ||||||
4,800 | Symetra Financial Corp. | 110,640 | ||||||
2,900 | United Fire Group, Inc. | 86,217 | ||||||
906 | Validus Holdings Ltd., (Bermuda) | 37,653 | ||||||
|
| |||||||
2,950,387 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.4% |
| |||||||
800 | Agree Realty Corp. | 24,872 | ||||||
3,283 | American Campus Communities, Inc. | 135,785 | ||||||
69,200 | Anworth Mortgage Asset Corp. | 363,300 | ||||||
3,080 | Ashford Hospitality Prime, Inc. | 52,853 | ||||||
72,200 | Ashford Hospitality Trust, Inc. | 756,656 | ||||||
50,700 | Capstead Mortgage Corp. | 622,596 | ||||||
20,900 | Chambers Street Properties | 168,454 | ||||||
6,600 | Chatham Lodging Trust | 191,202 | ||||||
5,700 | Chesapeake Lodging Trust | 212,097 | ||||||
8,500 | CoreSite Realty Corp. | 331,925 | ||||||
18,900 | Cousins Properties, Inc. | 215,838 | ||||||
5,343 | DCT Industrial Trust, Inc. | 190,531 | ||||||
7,000 | DDR Corp. | 128,520 | ||||||
11,800 | DiamondRock Hospitality Co. | 175,466 | ||||||
2,300 | EastGroup Properties, Inc. | 145,636 | ||||||
5,733 | Education Realty Trust, Inc. | 209,770 | ||||||
31,000 | First Industrial Realty Trust, Inc. | 637,360 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
2,300 | Franklin Street Properties Corp. | 28,221 | ||||||
14,600 | Geo Group, Inc. (The) | 589,256 | ||||||
6,400 | Glimcher Realty Trust | 87,936 | ||||||
3,900 | Government Properties Income Trust | 89,739 | ||||||
1,150 | Home Properties, Inc. | 75,440 | ||||||
4,600 | LaSalle Hotel Properties | 186,162 | ||||||
2,900 | LTC Properties, Inc. | 125,193 | ||||||
895 | Mid-America Apartment Communities, Inc. | 66,839 | ||||||
2,400 | Parkway Properties, Inc. | 44,136 | ||||||
5,700 | Pebblebrook Hotel Trust | 260,091 | ||||||
12,025 | Pennsylvania Real Estate Investment Trust | 282,107 | ||||||
14,200 | PennyMac Mortgage Investment Trust | 299,478 | ||||||
15,600 | Potlatch Corp. | 653,172 | ||||||
2,975 | PS Business Parks, Inc. | 236,631 | ||||||
12,000 | RAIT Financial Trust | 92,040 | ||||||
2,100 | Ramco-Gershenson Properties Trust | 39,354 | ||||||
14,800 | Redwood Trust, Inc. | 291,560 | ||||||
15,300 | RLJ Lodging Trust | 513,009 | ||||||
4,078 | Silver Bay Realty Trust Corp. | 67,532 | ||||||
22,800 | Strategic Hotels & Resorts, Inc. (a) | 301,644 | ||||||
5,100 | Summit Hotel Properties, Inc. | 63,444 | ||||||
1,000 | Sun Communities, Inc. | 60,460 | ||||||
26,200 | Sunstone Hotel Investors, Inc. | 432,562 | ||||||
4,300 | UMH Properties, Inc. | 41,065 | ||||||
|
| |||||||
9,489,932 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.6% |
| |||||||
1,700 | BofI Holding, Inc. (a) | 132,277 | ||||||
14,600 | Flagstar Bancorp, Inc. (a) | 229,658 | ||||||
4,400 | HomeStreet, Inc. | 76,604 | ||||||
1,300 | PennyMac Financial Services, Inc., Class A (a) | 22,490 | ||||||
6,200 | Walker & Dunlop, Inc. (a) | 108,748 | ||||||
1,300 | Washington Federal, Inc. | 28,795 | ||||||
|
| |||||||
598,572 | ||||||||
|
| |||||||
Total Financials | 25,386,385 | |||||||
|
| |||||||
Health Care — 14.1% |
| |||||||
Biotechnology — 6.3% |
| |||||||
3,400 | Acceleron Pharma, Inc. (a) | 132,464 | ||||||
22,300 | Achillion Pharmaceuticals, Inc. (a) | 273,175 | ||||||
900 | Adamas Pharmaceuticals, Inc. (a) | 15,633 | ||||||
500 | Agios Pharmaceuticals, Inc. (a) | 56,020 | ||||||
2,900 | Alnylam Pharmaceuticals, Inc. (a) | 281,300 | ||||||
5,000 | Applied Genetic Technologies Corp. (a) | 105,100 | ||||||
3,900 | Ardelyx, Inc. (a) | 73,671 | ||||||
29,100 | ARIAD Pharmaceuticals, Inc. (a) | 199,917 | ||||||
6,400 | Atara Biotherapeutics, Inc. (a) | 171,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
7,600 | Auspex Pharmaceuticals, Inc. (a) | 398,848 | ||||||
1,200 | Avalanche Biotechnologies, Inc. (a) | 64,800 | ||||||
5,500 | Bellicum Pharmaceuticals, Inc. (a) | 126,720 | ||||||
5,500 | Bluebird Bio, Inc. (a) | 504,460 | ||||||
5,700 | Calithera Biosciences, Inc. (a) | 115,140 | ||||||
4,500 | Cara Therapeutics, Inc. (a) | 44,865 | ||||||
12,300 | Celladon Corp. (a) | 240,219 | ||||||
20,400 | Celldex Therapeutics, Inc. (a) | 372,300 | ||||||
1,500 | Clovis Oncology, Inc. (a) | 84,000 | ||||||
9,400 | Dicerna Pharmaceuticals, Inc. (a) | 154,818 | ||||||
14,288 | Eleven Biotherapeutics, Inc. (a) | 169,741 | ||||||
3,800 | FibroGen, Inc. (a) | 103,892 | ||||||
2,300 | Immune Design Corp. (a) | 70,794 | ||||||
11,800 | Insmed, Inc. (a) | 182,546 | ||||||
400 | Intercept Pharmaceuticals, Inc. (a) | 62,400 | ||||||
3,400 | Isis Pharmaceuticals, Inc. (a) | 209,916 | ||||||
1,000 | Karyopharm Therapeutics, Inc. (a) | 37,430 | ||||||
12,900 | Kindred Biosciences, Inc. (a) | 96,105 | ||||||
10,300 | Kite Pharma, Inc. (a) | 594,001 | ||||||
2,400 | MacroGenics, Inc. (a) | 84,168 | ||||||
5,400 | NPS Pharmaceuticals, Inc. (a) | 193,158 | ||||||
48,100 | Oncothyreon, Inc. (a) | 91,390 | ||||||
1,000 | Ophthotech Corp. (a) | 44,870 | ||||||
34,000 | PDL BioPharma, Inc. | 262,140 | ||||||
3,800 | Receptos, Inc. (a) | 465,538 | ||||||
900 | Sage Therapeutics, Inc. (a) | 32,940 | ||||||
4,700 | Synageva BioPharma Corp. (a) | 436,113 | ||||||
48,800 | Threshold Pharmaceuticals, Inc. (a) | 155,184 | ||||||
7,400 | Tokai Pharmaceuticals, Inc. (a) | 109,076 | ||||||
3,500 | Ultragenyx Pharmaceutical, Inc. (a) | 153,580 | ||||||
7,400 | Vitae Pharmaceuticals, Inc. (a) | 123,136 | ||||||
1,600 | Zafgen, Inc. (a) | 49,344 | ||||||
|
| |||||||
7,142,112 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
20,300 | Greatbatch, Inc. (a) | 1,000,790 | ||||||
11,900 | Inogen, Inc. (a) | 373,303 | ||||||
10,000 | Insulet Corp. (a) | 460,600 | ||||||
3,300 | K2M Group Holdings, Inc. (a) | 68,871 | ||||||
4,900 | Nevro Corp. (a) | 189,483 | ||||||
26,600 | NuVasive, Inc. (a) | 1,254,456 | ||||||
7,700 | Orthofix International N.V., (Curacao) (a) | 231,462 | ||||||
957 | PhotoMedex, Inc. (a) | 1,464 | ||||||
4,400 | Roka Bioscience, Inc. (a) | 19,404 | ||||||
2,200 | Sientra, Inc. (a) | 36,938 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
7,900 | TransEnterix, Inc. (a) | 22,989 | ||||||
4,600 | TriVascular Technologies, Inc. (a) | 57,822 | ||||||
|
| |||||||
3,717,582 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.9% |
| |||||||
9,913 | Amsurg Corp. (a) | 542,539 | ||||||
12,900 | Civitas Solutions, Inc. (a) | 219,687 | ||||||
53,000 | Cross Country Healthcare, Inc. (a) | 661,440 | ||||||
1,400 | HealthEquity, Inc. (a) | 35,630 | ||||||
8,600 | Kindred Healthcare, Inc. | 156,348 | ||||||
12,800 | Molina Healthcare, Inc. (a) | 685,184 | ||||||
7,300 | Owens & Minor, Inc. | 256,303 | ||||||
7,200 | Select Medical Holdings Corp. | 103,680 | ||||||
3,300 | Surgical Care Affiliates, Inc. (a) | 111,045 | ||||||
4,800 | Trupanion, Inc. (a) | 33,264 | ||||||
5,400 | WellCare Health Plans, Inc. (a) | 443,124 | ||||||
|
| |||||||
3,248,244 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
2,400 | Castlight Health, Inc., Class B (a) | 28,080 | ||||||
3,500 | Connecture, Inc. (a) | 31,535 | ||||||
|
| |||||||
59,615 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
1,700 | INC Research Holdings, Inc., Class A (a) | 43,673 | ||||||
5,000 | PRA Health Sciences, Inc. (a) | 121,100 | ||||||
4,000 | VWR Corp. (a) | 103,480 | ||||||
|
| |||||||
268,253 | ||||||||
|
| |||||||
Pharmaceuticals — 1.3% |
| |||||||
9,800 | Amphastar Pharmaceuticals, Inc. (a) | 113,778 | ||||||
7,000 | Catalent, Inc. (a) | 195,160 | ||||||
10,700 | Egalet Corp. (a) | 60,883 | ||||||
2,600 | Furiex Pharmaceuticals, Inc. (a)(i) | 25,402 | ||||||
12,800 | Impax Laboratories, Inc. (a) | 405,504 | ||||||
800 | Jazz Pharmaceuticals plc, (Ireland) (a) | 130,984 | ||||||
4,600 | Lannett Co., Inc. (a) | 197,248 | ||||||
8,000 | Medicines Co. (The) (a) | 221,360 | ||||||
5,100 | Revance Therapeutics, Inc. (a) | 86,394 | ||||||
1,100 | ZS Pharma, Inc. (a) | 45,727 | ||||||
|
| |||||||
1,482,440 | ||||||||
|
| |||||||
Total Health Care | 15,918,246 | |||||||
|
| |||||||
Industrials — 14.9% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
11,800 | AAR Corp. | 327,804 | ||||||
900 | Curtiss-Wright Corp. | 63,531 | ||||||
20,700 | Engility Holdings, Inc. (a) | 885,960 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Aerospace & Defense — continued |
| |||||||
1,287 | Esterline Technologies Corp. (a) | 141,158 | ||||||
400 | Triumph Group, Inc. | 26,888 | ||||||
|
| |||||||
1,445,341 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
2,900 | Atlas Air Worldwide Holdings, Inc. (a) | 142,970 | ||||||
2,700 | Park-Ohio Holdings Corp. | 170,181 | ||||||
|
| |||||||
313,151 | ||||||||
|
| |||||||
Airlines — 1.8% |
| |||||||
9,900 | Alaska Air Group, Inc. | 591,624 | ||||||
47,000 | Hawaiian Holdings, Inc. (a) | 1,224,350 | ||||||
4,000 | Virgin America, Inc. (a) | 173,000 | ||||||
|
| |||||||
1,988,974 | ||||||||
|
| |||||||
Building Products — 0.6% |
| |||||||
15,400 | American Woodmark Corp. (a) | 622,776 | ||||||
6,775 | Gibraltar Industries, Inc. (a) | 110,162 | ||||||
|
| |||||||
732,938 | ||||||||
|
| |||||||
Commercial Services & Supplies — 4.3% |
| |||||||
24,400 | ABM Industries, Inc. | 699,060 | ||||||
103,700 | ACCO Brands Corp. (a) | 934,337 | ||||||
12,200 | ARC Document Solutions, Inc. (a) | 124,684 | ||||||
9,300 | Brady Corp., Class A | 254,262 | ||||||
1,800 | Ceco Environmental Corp. | 27,972 | ||||||
62,800 | Cenveo, Inc. (a) | 131,880 | ||||||
18,550 | Deluxe Corp. | 1,154,737 | ||||||
1,900 | Herman Miller, Inc. | 55,917 | ||||||
29,500 | Kimball International, Inc., Class B | 269,040 | ||||||
8,600 | Knoll, Inc. | 182,062 | ||||||
5,600 | Matthews International Corp., Class A | 272,552 | ||||||
1,900 | Quad/Graphics, Inc. | 43,624 | ||||||
21,400 | Steelcase, Inc., Class A | 384,130 | ||||||
900 | UniFirst Corp. | 109,305 | ||||||
3,000 | United Stationers, Inc. | 126,480 | ||||||
2,800 | Viad Corp. | 74,648 | ||||||
|
| |||||||
4,844,690 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
10,500 | Argan, Inc. | 353,220 | ||||||
7,975 | EMCOR Group, Inc. | 354,808 | ||||||
11,318 | Tutor Perini Corp. (a) | 272,424 | ||||||
|
| |||||||
980,452 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
5,200 | EnerSys | 320,944 | ||||||
2,400 | Regal-Beloit Corp. | 180,480 | ||||||
|
| |||||||
501,424 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 2.8% |
| |||||||
4,200 | Barnes Group, Inc. | 155,442 | ||||||
3,500 | Columbus McKinnon Corp. | 98,140 | ||||||
11,400 | Federal Signal Corp. | 176,016 | ||||||
8,500 | Global Brass & Copper Holdings, Inc. | 111,860 | ||||||
6,400 | Greenbrier Cos., Inc. (The) | 343,872 | ||||||
2,800 | Hyster-Yale Materials Handling, Inc. | 204,960 | ||||||
5,400 | Kadant, Inc. | 230,526 | ||||||
3,900 | LB Foster Co., Class A | 189,423 | ||||||
32,100 | Meritor, Inc. (a) | 486,315 | ||||||
6,000 | NN, Inc. | 123,360 | ||||||
700 | Standex International Corp. | 54,082 | ||||||
7,000 | TriMas Corp. (a) | 219,030 | ||||||
13,300 | Wabash National Corp. (a) | 164,388 | ||||||
6,400 | Wabtec Corp. | 556,096 | ||||||
900 | Watts Water Technologies, Inc., Class A | 57,096 | ||||||
|
| |||||||
3,170,606 | ||||||||
|
| |||||||
Marine — 0.0% (g) |
| |||||||
1,100 | Matson, Inc. | 37,972 | ||||||
|
| |||||||
Professional Services — 0.8% |
| |||||||
11,800 | Barrett Business Services, Inc. | 323,320 | ||||||
2,600 | Heidrick & Struggles International, Inc. | 59,930 | ||||||
1,400 | Kelly Services, Inc., Class A | 23,828 | ||||||
2,900 | Paylocity Holding Corp. (a) | 75,719 | ||||||
5,600 | RPX Corp. (a) | 77,168 | ||||||
2,200 | TriNet Group, Inc. (a) | 68,816 | ||||||
4,800 | TrueBlue, Inc. (a) | 106,800 | ||||||
1,700 | VSE Corp. | 112,030 | ||||||
|
| |||||||
847,611 | ||||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
400 | AMERCO | 113,704 | ||||||
18,500 | ArcBest Corp. | 857,845 | ||||||
1,800 | Avis Budget Group, Inc. (a) | 119,394 | ||||||
1,600 | Quality Distribution, Inc. (a) | 17,024 | ||||||
2,750 | Saia, Inc. (a) | 152,240 | ||||||
11,100 | Swift Transportation Co. (a) | 317,793 | ||||||
1,900 | Universal Truckload Services, Inc. | 54,169 | ||||||
|
| |||||||
1,632,169 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
5,675 | Applied Industrial Technologies, Inc. | 258,723 | ||||||
6,200 | General Finance Corp. (a) | 61,132 | ||||||
|
| |||||||
319,855 | ||||||||
|
| |||||||
Total Industrials | 16,815,183 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Information Technology — 17.1% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
1,600 | Arista Networks, Inc. (a) | 97,216 | ||||||
28,582 | ARRIS Group, Inc. (a) | 862,891 | ||||||
20,000 | Extreme Networks, Inc. (a) | 70,600 | ||||||
15,300 | Polycom, Inc. (a) | 206,550 | ||||||
|
| |||||||
1,237,257 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.3% |
| |||||||
24,400 | Benchmark Electronics, Inc. (a) | 620,736 | ||||||
10,200 | Insight Enterprises, Inc. (a) | 264,078 | ||||||
22,125 | Kimball Electronics, Inc. (a) | 265,943 | ||||||
1,800 | Littelfuse, Inc. | 174,006 | ||||||
8,100 | Newport Corp. (a) | 154,791 | ||||||
46,100 | Sanmina Corp. (a) | 1,084,733 | ||||||
|
| |||||||
2,564,287 | ||||||||
|
| |||||||
Internet Software & Services — 2.1% |
| |||||||
26,300 | Aerohive Networks, Inc. (a) | 126,240 | ||||||
2,100 | Amber Road, Inc. (a) | 21,462 | ||||||
18,000 | Carbonite, Inc. (a) | 256,860 | ||||||
10,700 | Cornerstone OnDemand, Inc. (a) | 376,640 | ||||||
802 | Five9, Inc. (a) | 3,593 | ||||||
7,800 | Hortonworks, Inc. (a) | 210,600 | ||||||
4,800 | Intralinks Holdings, Inc. (a) | 57,120 | ||||||
1,900 | New Relic, Inc. (a) | 66,196 | ||||||
2,200 | Q2 Holdings, Inc. (a) | 41,448 | ||||||
20,544 | WebMD Health Corp. (a) | 812,515 | ||||||
7,100 | Yelp, Inc. (a) | 388,583 | ||||||
|
| |||||||
2,361,257 | ||||||||
|
| |||||||
IT Services — 2.4% |
| |||||||
8,825 | CSG Systems International, Inc. | 221,243 | ||||||
1,700 | EVERTEC, Inc., (Puerto Rico) | 37,621 | ||||||
51,000 | Global Cash Access Holdings, Inc. (a) | 364,650 | ||||||
5,000 | Heartland Payment Systems, Inc. | 269,750 | ||||||
8,200 | Science Applications International Corp. | 406,146 | ||||||
42,200 | Unisys Corp. (a) | 1,244,056 | ||||||
5,102 | VeriFone Systems, Inc. (a) | 189,794 | ||||||
|
| |||||||
2,733,260 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
5,550 | Alpha & Omega Semiconductor Ltd. (a) | 49,117 | ||||||
17,875 | Amkor Technology, Inc. (a) | 126,912 | ||||||
70,499 | Audience, Inc. (a) | 310,196 | ||||||
5,000 | Brooks Automation, Inc. | 63,750 | ||||||
10,400 | First Solar, Inc. (a) | 463,788 | ||||||
10,900 | Integrated Silicon Solution, Inc. | 180,613 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
9,000 | Lattice Semiconductor Corp. (a) | 62,010 | ||||||
3,300 | Nanometrics, Inc. (a) | 55,506 | ||||||
11,900 | OmniVision Technologies, Inc. (a) | 309,400 | ||||||
8,000 | Pericom Semiconductor Corp. (a) | 108,320 | ||||||
4,522 | Photronics, Inc. (a) | 37,578 | ||||||
22,000 | Silicon Image, Inc. (a) | 121,440 | ||||||
14,200 | Skyworks Solutions, Inc. | 1,032,482 | ||||||
28,700 | Spansion, Inc., Class A (a) | 982,114 | ||||||
17,900 | SunEdison, Inc. (a) | 349,229 | ||||||
5,300 | Synaptics, Inc. (a) | 364,852 | ||||||
56,400 | Ultra Clean Holdings, Inc. (a) | 523,392 | ||||||
|
| |||||||
5,140,699 | ||||||||
|
| |||||||
Software — 4.4% |
| |||||||
1,306 | Aspen Technology, Inc. (a) | 45,736 | ||||||
43,500 | AVG Technologies N.V., (Netherlands) (a) | 858,690 | ||||||
1,800 | FireEye, Inc. (a) | 56,844 | ||||||
2,500 | Globant S.A., (Luxembourg) (a) | 39,050 | ||||||
4,400 | HubSpot, Inc. (a) | 147,884 | ||||||
1,200 | Manhattan Associates, Inc. (a) | 48,864 | ||||||
5,500 | Model N, Inc. (a) | 58,410 | ||||||
37,700 | Pegasystems, Inc. | 783,029 | ||||||
6,440 | PTC, Inc. (a) | 236,026 | ||||||
14,200 | Qlik Technologies, Inc. (a) | 438,638 | ||||||
1,200 | Rovi Corp. (a) | 27,108 | ||||||
36,200 | Take-Two Interactive Software, Inc. (a) | 1,014,686 | ||||||
45,700 | TeleCommunication Systems, Inc., Class A (a) | 142,584 | ||||||
7,400 | Telenav, Inc. (a) | 49,358 | ||||||
7,611 | Varonis Systems, Inc. (a) | 249,869 | ||||||
9,800 | Verint Systems, Inc. (a) | 571,144 | ||||||
2,200 | Yodlee, Inc. (a) | 26,840 | ||||||
9,300 | Zendesk, Inc. (a) | 226,641 | ||||||
|
| |||||||
5,021,401 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% |
| |||||||
9,200 | Avid Technology, Inc. (a) | 130,732 | ||||||
2,800 | Super Micro Computer, Inc. (a) | 97,664 | ||||||
|
| |||||||
228,396 | ||||||||
|
| |||||||
Total Information Technology | 19,286,557 | |||||||
|
| |||||||
Materials — 3.3% | ||||||||
Chemicals — 1.4% | ||||||||
10,100 | A Schulman, Inc. | 409,353 | ||||||
7,200 | Axiall Corp. | 305,784 | ||||||
700 | FutureFuel Corp. | 9,114 | ||||||
800 | Innospec, Inc. | 34,160 | ||||||
5,600 | Koppers Holdings, Inc. | 145,488 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Chemicals — continued |
| |||||||
14,600 | Kronos Worldwide, Inc. | 190,092 | ||||||
6,500 | Minerals Technologies, Inc. | 451,425 | ||||||
10,300 | OMNOVA Solutions, Inc. (a) | 83,842 | ||||||
|
| |||||||
1,629,258 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
34,700 | Graphic Packaging Holding Co. (a) | 472,614 | ||||||
10,250 | Rock-Tenn Co., Class A | 625,045 | ||||||
|
| |||||||
1,097,659 | ||||||||
|
| |||||||
Metals & Mining — 0.6% |
| |||||||
22,600 | Commercial Metals Co. | 368,154 | ||||||
11,000 | Worthington Industries, Inc. | 330,990 | ||||||
|
| |||||||
699,144 | ||||||||
|
| |||||||
Paper & Forest Products — 0.3% |
| |||||||
4,700 | Boise Cascade Co. (a) | 174,605 | ||||||
8,100 | Resolute Forest Products, Inc., (Canada) (a) | 142,641 | ||||||
|
| |||||||
317,246 | ||||||||
|
| |||||||
Total Materials | 3,743,307 | |||||||
|
| |||||||
Telecommunication Services — 1.4% |
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
5,300 | IDT Corp., Class B | 107,643 | ||||||
52,800 | Inteliquent, Inc. | 1,036,464 | ||||||
18,796 | magicJack VocalTec Ltd., (Israel) (a) | 152,624 | ||||||
14,300 | Premiere Global Services, Inc. (a) | 151,866 | ||||||
|
| |||||||
1,448,597 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
8,200 | RingCentral, Inc., Class A (a) | 122,344 | ||||||
|
| |||||||
Total Telecommunication Services | 1,570,941 | |||||||
|
| |||||||
Utilities — 3.3% |
| |||||||
Electric Utilities — 1.4% |
| |||||||
1,025 | El Paso Electric Co. | 41,061 | ||||||
3,000 | Empire District Electric Co. (The) | 89,220 | ||||||
4,800 | IDACORP, Inc. | 317,712 | ||||||
2,550 | MGE Energy, Inc. | 116,306 | ||||||
23,275 | Portland General Electric Co. | 880,493 | ||||||
1,200 | Spark Energy, Inc., Class A | 16,908 | ||||||
1,700 | Westar Energy, Inc. | 70,108 | ||||||
|
| |||||||
1,531,808 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
319 | AGL Resources, Inc. | 17,389 | ||||||
1,200 | Chesapeake Utilities Corp. | 59,592 | ||||||
2,800 | Laclede Group, Inc. (The) | 148,960 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — continued |
| |||||||
4,800 | New Jersey Resources Corp. | 293,760 | ||||||
1,300 | Northwest Natural Gas Co. | 64,870 | ||||||
2,300 | Southwest Gas Corp. | 142,163 | ||||||
1,500 | WGL Holdings, Inc. | 81,930 | ||||||
|
| |||||||
808,664 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
43,900 | Dynegy, Inc. (a) | 1,332,365 | ||||||
4,700 | Vivint Solar, Inc. (a) | 43,334 | ||||||
|
| |||||||
1,375,699 | ||||||||
|
| |||||||
Total Utilities | 3,716,171 | |||||||
|
| |||||||
Total Common Stocks | 110,161,462 | |||||||
|
| |||||||
NUMBER OF WARRANTS | ||||||||
| Warrant — 0.0% (g) |
| ||||||
Financials — 0.0% (g) |
| |||||||
Consumer Finance — 0.0% (g) |
| |||||||
355 | Imperial Holdings, Inc., expiring 10/01/19 (Strike Price $10.75) (a)(i) (Cost $—) | — | ||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investment — 3.0% | ||||||||
Investment Company — 3.0% | ||||||||
3,360,170 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.020% (b) (l) | 3,360,170 | ||||||
|
| |||||||
Total Investments — 100.7% | 113,521,632 | |||||||
|
| |||||||
Liabilities in Excess of | (745,129 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 112,776,503 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
24 | E-mini Russell 2000 | 03/20/15 | $ | 2,881,680 | $ | 57,987 | ||||||||||
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
(g) | — Amount rounds to less than 0.1%. | |
(i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. | |
(l) | — The rate shown is the current yield as of December 31, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
Small Cap Core | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 110,161,462 | ||
Investments in affiliates, at value | 3,360,170 | |||
|
| |||
Total investment securities, at value | 113,521,632 | |||
Deposits at broker for futures contracts | 230,000 | |||
Receivables: | ||||
Investment securities sold | 338,468 | |||
Portfolio shares sold | 187,878 | |||
Interest and dividends from non-affiliates | 127,204 | |||
Dividends from affiliates | 72 | |||
|
| |||
Total Assets | 114,405,254 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Investment securities purchased | 908,518 | |||
Portfolio shares redeemed | 570,070 | |||
Variation margin on futures contracts | 25,224 | |||
Accrued liabilities: | ||||
Investment advisory fees | 59,998 | |||
Administration fees | 7,614 | |||
Distribution fees | 332 | |||
Custodian and accounting fees | 17,036 | |||
Trustees’ and Chief Compliance Officer’s fees | 5 | |||
Other | 39,954 | |||
|
| |||
Total Liabilities | 1,628,751 | |||
|
| |||
Net Assets | $ | 112,776,503 | ||
|
| |||
NET ASSETS : |
| |||
Paid-in-Capital | $ | 69,091,497 | ||
Accumulated undistributed net investment income | 267,080 | |||
Accumulated net realized gains (losses) | 11,570,551 | |||
Net unrealized appreciation (depreciation) | 31,847,375 | |||
|
| |||
Total Net Assets | $ | 112,776,503 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 111,175,638 | ||
Class 2 | 1,600,865 | |||
|
| |||
Total | $ | 112,776,503 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 4,620,000 | |||
Class 2 | 66,969 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 24.06 | ||
Class 2 | 23.90 | |||
Cost of investments in non-affiliates | $ | 78,372,074 | ||
Cost of investments in affiliates | 3,360,170 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
Small Cap Core | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 1,122,021 | ||
Dividend income from affiliates | 351 | |||
Interest income from non-affiliates | 278 | |||
|
| |||
Total investment income | 1,122,650 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 685,445 | |||
Administration fees | 87,267 | |||
Distribution fees – Class 2 | 4,597 | |||
Custodian and accounting fees | 34,924 | |||
Professional fees | 42,747 | |||
Trustees’ and Chief Compliance Officer’s fees | 1,011 | |||
Printing and mailing costs | 30,796 | |||
Transfer agent fees | 7,899 | |||
Other | 32,433 | |||
|
| |||
Total expenses | 927,119 | |||
|
| |||
Less fees waived | (4,631 | ) | ||
|
| |||
Net expenses | 922,488 | |||
|
| |||
Net investment income (loss) | 200,162 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 12,911,407 | |||
Futures | 65,744 | |||
|
| |||
Net realized gains (losses) | 12,977,151 | |||
|
| |||
Change in net unrealized appreciation/depreciation of: | ||||
Investments in non-affiliates | (3,319,456 | ) | ||
Futures | (78,609 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | (3,398,065 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | 9,579,086 | |||
|
| |||
Change in net assets resulting from operations | $ | 9,779,248 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Small Cap Core Portfolio | ||||||||
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 200,162 | $ | 200,590 | ||||
Net realized gain (loss) | 12,977,151 | 11,512,746 | ||||||
Change in net unrealized appreciation/depreciation | (3,398,065 | ) | 18,804,459 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 9,779,248 | 30,517,795 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (147,690 | ) | (465,407 | ) | ||||
From net realized gains | (8,459,332 | ) | — | |||||
Class 2 | ||||||||
From net investment income | — | (8,021 | ) | |||||
From net realized gains | (167,241 | ) | — | |||||
|
|
|
| |||||
Total distributions to shareholders | (8,774,263 | ) | (473,428 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 4,387,478 | 8,630,419 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 5,392,463 | 38,674,786 | ||||||
Beginning of period | 107,384,040 | 68,709,254 | ||||||
|
|
|
| |||||
End of period | $ | 112,776,503 | $ | 107,384,040 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 267,080 | $ | 214,690 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 29,393,735 | $ | 33,235,115 | ||||
Distributions reinvested | 8,607,022 | 465,407 | ||||||
Cost of shares redeemed | (33,098,168 | ) | (24,490,483 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 4,902,589 | $ | 9,210,039 | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 96,693 | $ | 114,156 | ||||
Distributions reinvested | 167,241 | 8,021 | ||||||
Cost of shares redeemed | (779,045 | ) | (701,797 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | (515,111 | ) | $ | (579,620 | ) | ||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 4,387,478 | $ | 8,630,419 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 1,267,829 | 1,627,113 | ||||||
Reinvested | 407,723 | 25,009 | ||||||
Redeemed | (1,434,795 | ) | (1,202,427 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 240,757 | 449,695 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 4,210 | 5,488 | ||||||
Reinvested | 7,964 | 432 | ||||||
Redeemed | (35,327 | ) | (33,532 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (23,153 | ) | (27,612 | ) | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Small Cap Core Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Year Ended December 31, 2014 | $ | 24.03 | $ | 0.04 | (d)(e) | $ | 1.98 | $ | 2.02 | $ | (0.03 | ) | $ | (1.96 | ) | $ | (1.99 | ) | ||||||||||
Year Ended December 31, 2013 | 16.98 | 0.05 | (d)(f) | 7.11 | 7.16 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended December 31, 2012 | 14.22 | 0.13 | (g) | 2.66 | 2.79 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended December 31, 2011 | 14.95 | 0.04 | (0.75 | ) | (0.71 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||
Year Ended December 31, 2010 | 11.76 | 0.02 | 3.17 | 3.19 | — | — | — | |||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2014 | 23.91 | (0.02 | )(d)(e) | 1.97 | 1.95 | — | (1.96 | ) | (1.96 | ) | ||||||||||||||||||
Year Ended December 31, 2013 | 16.90 | (0.01 | )(d)(f) | 7.09 | 7.08 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended December 31, 2012 | 14.16 | 0.09 | (g) | 2.65 | 2.74 | — | — | — | ||||||||||||||||||||
Year Ended December 31, 2011 | 14.91 | — | (h) | (0.75 | ) | (0.75 | ) | — | — | — | ||||||||||||||||||
Year Ended December 31, 2010 | 11.76 | (0.01 | ) | 3.16 | 3.15 | — | — | — |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
(c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(d) | Calculated based upon average shares outstanding. |
(e) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.03 and $(0.03) for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.14% and (0.14)% for Class 1 and Class 2 Shares, respectively. |
(f) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.01 and $(0.05) for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.03% and (0.24)% for Class 1 and Class 2 Shares, respectively. |
(g) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.04 and less than $0.01 for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.28% and 0.02% for Class 1 and Class 2 Shares, respectively. |
(h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset | Total return (a) | Net assets, end of period | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 24.06 | 9.59 | % | $ | 111,175,638 | 0.87 | % | 0.19 | %(e) | 0.87 | % | 54 | % | |||||||||||||
24.03 | 42.38 | 105,229,638 | 0.90 | 0.24 | (f) | 0.91 | 56 | |||||||||||||||||||
16.98 | 19.66 | 66,719,964 | 0.94 | 0.80 | (g) | 0.94 | 44 | |||||||||||||||||||
14.22 | (4.77 | ) | 58,405,012 | 0.95 | 0.23 | 0.95 | 46 | |||||||||||||||||||
14.95 | 27.13 | 70,355,671 | 0.99 | 0.13 | 1.04 | 45 | ||||||||||||||||||||
23.90 | 9.30 | 1,600,865 | 1.12 | (0.09 | )(e) | 1.13 | 54 | |||||||||||||||||||
23.91 | 42.02 | 2,154,402 | 1.16 | (0.03 | )(f) | 1.16 | 56 | |||||||||||||||||||
16.90 | 19.35 | 1,989,290 | 1.19 | 0.54 | (g) | 1.19 | 44 | |||||||||||||||||||
14.16 | (5.03 | ) | 1,765,773 | 1.20 | (0.02 | ) | 1.20 | 46 | ||||||||||||||||||
14.91 | 26.79 | 1,995,231 | 1.24 | (0.09 | ) | 1.28 | 45 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Small Cap Core Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek capital growth over the long term.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
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 Portfolio are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each investment company’s NAV per share as of the report date.
Fixed income instruments are valued based on prices received from 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.
Futures 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.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2— Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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 | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 14,567,675 | $ | — | $ | — | $ | 14,567,675 | ||||||||
Consumer Staples | 4,708,924 | — | — | 4,708,924 | ||||||||||||
Energy | 4,448,073 | — | — | 4,448,073 | ||||||||||||
Financials | 25,386,385 | — | — | 25,386,385 | ||||||||||||
Health Care | 15,892,844 | — | 25,402 | 15,918,246 | ||||||||||||
Industrials | 16,815,183 | — | — | 16,815,183 | ||||||||||||
Information Technology | 19,286,557 | — | — | 19,286,557 | ||||||||||||
Materials | 3,743,307 | — | — | 3,743,307 | ||||||||||||
Telecommunication Services | 1,570,941 | — | — | 1,570,941 | ||||||||||||
Utilities | 3,716,171 | — | — | 3,716,171 | ||||||||||||
|
|
|
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|
|
| |||||||||
Total Common Stocks | 110,136,060 | — | 25,402 | 110,161,462 | ||||||||||||
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| |||||||||
Warrants | ||||||||||||||||
Financials | — | — | — | (a) | — | (a) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 3,360,170 | — | — | 3,360,170 | ||||||||||||
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|
| |||||||||
Total Investments in Securities | $ | 113,496,230 | $ | — | $ | 25,402 | $ | 113,521,632 | ||||||||
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| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 57,987 | $ | — | $ | — | $ | 57,987 | ||||||||
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(a) | Value is zero. |
There were no transfers between level 1 and level 2 during the year ended December 31, 2014.
B. Restricted and Illiquid Securities — Certain securities held by the Portfolio may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Portfolio. As of December 31, 2014, the Portfolio had no investments in restricted securities.
The value and percentage of net assets of illiquid securities as of December 31, 2014 were $25,402 and 0.02%, respectively.
C. Futures Contracts — The Portfolio uses index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Portfolio also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Portfolio to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 21 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation in the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2014:
Futures Contracts: | ||||
Average Notional Balance Long | $ | 2,536,228 | ||
Ending Notional Balance Long | 2,881,680 |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
F. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated Undistributed Net Investment Income | Accumulated Net Realized Gains (Losses) | ||||||||||
$ | — | $ | (82 | ) | $ | 82 |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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The reclassifications for the Portfolio relate primarily to investments in partnerships.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. (“the Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.65%.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2014, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the Distributor, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees in the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately in the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statement of Operations.
E. Waivers and Reimbursements — The Adviser, Administrator (for all share classes) and Distributor (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
1.03 | % | 1.28 | % |
The expense limitation agreements were in effect for the year ended December 31, 2014. The contractual expense limitation percentages in the table above are in place until at least April 30, 2015.
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2014 was $4,631.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2014, the Portfolio may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 23 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The Portfolio may use related party broker-dealers. For the year ended December 31, 2014, the Portfolio incurred $17 in brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
$ | 55,946,624 | $ | 59,532,220 | $ | — | $ | 215,000 |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized (Depreciation) | |||||||||||||
$ | 82,436,349 | $ | 35,527,947 | $ | 4,442,664 | $ | 31,085,283 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2014 was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 147,739 | $ | 8,626,524 | $ | 8,774,263 |
The tax character of distributions paid during the year ended December 31, 2013 was as follows:
Ordinary Income | Total Distributions Paid | |||||||
$ | 473,428 | $ | 473,428 |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain | Tax Basis Capital Loss Carryover | Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 1,952,685 | $ | 10,969,393 | $ | (345,105 | ) | $ | 31,085,283 |
The cumulative timing differences primarily consist of wash sale loss deferrals and mark to market of futures contracts.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Portfolio after December 31, 2010 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Portfolio were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of December 31, 2014, the Portfolio did not have any post-enactment net capital loss carryforwards.
As of December 31, 2014, the Portfolio had pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains:
2017 | ||||
$ | 345,105 | * |
* | This entire amount is comprised of capital loss carryforwards from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
During the year ended December 31, 2014, the Portfolio utilized pre-enactment capital loss carryforwards of $115,035.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio has a shareholder holding a significant percentage of shares outstanding. Investment activities of this shareholder could have a material impact on the Portfolio.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 25 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust Small Cap Core Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust Small Cap Core Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 16, 2015
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 27 |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 29 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Expense Example | ||||||||||||||||
Beginning Account Value July 1, 2014 | Ending Account Value December 31, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Small Cap Core Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.40 | $ | 4.46 | 0.87 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.82 | 4.43 | 0.87 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,033.30 | 5.79 | 1.13 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.51 | 5.75 | 1.13 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 20, 2014.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Portfolio’s expense ratios and those of its peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Portfolio by the Adviser.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 31 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Board also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMFM earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits
from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser for investment management styles substantially similar to that of the Portfolio. The Trustees also considered the complexity of investment management for the Portfolio relative to the Adviser’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance for the Portfolio in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in the Portfolio’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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The Trustees noted that the Portfolio’s performance was in the first, first and third quintiles for Class 1 shares for the one-, three-, and five-year periods ended December 31, 2013, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also
reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 1 shares were in the first and second quintiles, respectively, of the Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 33 |
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(Unaudited)
Dividends Received Deductions (DRD)
The Portfolio had 100% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended December 31, 2014.
Long Term Capital Gain
The Portfolio distributed $8,626,524 or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2014.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITSCCP-1214 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust U.S. Equity Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
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Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
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January 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
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“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at –0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned –4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned –1.8%.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
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CEO’S LETTER
January 11, 2015 (Unaudited) (continued)
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove the U.S. dollar higher against most other currencies due to investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 13.90% | |||
S&P 500 Index** | 13.69% | |||
Net Assets as of 12/31/2014 | $ | 105,157,654 |
INVESTMENT OBJECTIVE***
The JPMorgan Insurance Trust U.S. Equity Portfolio (the “Portfolio”) seeks to provide high total return from a portfolio of selected equity securities.
HOW DID THE MARKET PERFORM?
U.S equity markets performed strongly in 2014, amid accommodative central bank policies, falling energy prices in the second half of the year and steady overall improvement in the U.S. economy. While the second half of the year was marked by the return of volatility in financial markets and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to closing highs in the final months of 2014. The Standard & Poor’s 500 Index (the “S&P 500 Index”) (the “Benchmark”) posted 53 new closing highs during the year and broke through the 2,000-point closing level for the first time on October 31, and went on to post new closing highs in the final weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time.
Overall, U.S. large cap stocks outperformed small cap stocks and growth stocks outperformed value stocks during the reporting period. Within the S&P 500 Index, the utilities and health care sectors were leading performers, while the energy and telecommunication services sectors were the bottom performers. The S&P 500 Index returned 13.69%, the Russell 1000 Index returned 13.24% and the Dow Jones Industrial Average returned 10.04% for the twelve months ended December 31, 2014.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio (Class 1 Shares) outperformed the Benchmark for the twelve months ended December 31, 2014. The Portfolio’s security selection and overweight position in the semiconductors and health services & systems sectors made a positive contribution to performance relative to the Benchmark, while security selection in the industrial cyclical and pharmaceutical/medical technology sectors detracted from relative performance.
Individual contributors to relative performance included the Portfolio’s overweight positions in Avago Technologies Ltd., Time Warner Inc. and its underweight position in General Electric Co. Shares of Avago, a Singapore maker of analog semiconductors, strengthened on revenue growth and increased demand for its radio frequency semiconductor chips as telecom operators upgraded their networks for so-called 4G smartphones. Shares of Time Warner, a media and entertainment company, rose on a potential merger with 21st Century Fox Inc. and strong quarterly earnings. Shares of General Electric, a diversified technology and financial services company not held by the Portfolio, weakened amid disappointing earnings and revenue following the company’s spinoff of GE Capital.
Individual detractors from relative performance included overweight positions in General Motors Corp., Fluor Corp. and its underweight position in Berkshire Hathaway Inc. Shares of automaker General Motors fell on continuing problems with its recall of millions of cars due to faulty starters. Shares of Fluor, a provider of engineering, construction and maintenance services, declined as falling oil prices fed investor concerns about the potential for cancellations or delays in some of the company’s large energy-related projects. Shares of Berkshire Hathaway, a diversified holding company not held by the Portfolio, rose on the strong performance of its core insurance and freight rail businesses.
HOW WAS THE PORTFOLIO POSITIONED?
The portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine what they believed to be their underlying value and potential for future earnings growth. As a result of the Portfolio’s bottom-up fundamental approach to stock selection, the Portfolio was overweight versus the Benchmark in the semiconductors, media and auto & transportation sectors. The Portfolio was underweight versus the Benchmark in the consumer stable, real estate investment trusts and industrial cyclical sectors.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2014 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Apple, Inc. | 3.6 | % | |||||
2. | Johnson & Johnson | 3.3 | ||||||
3. | Wells Fargo & Co. | 2.8 | ||||||
4. | Occidental Petroleum Corp. | 2.2 | ||||||
5. | Microsoft Corp. | 2.2 | ||||||
6. | Honeywell International, Inc. | 2.1 | ||||||
7. | Schlumberger Ltd. | 1.9 | ||||||
8. | UnitedHealth Group, Inc. | 1.9 | ||||||
9. | Bank of America Corp. | 1.9 | ||||||
10. | Time Warner, Inc. | 1.8 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||||
Information Technology | 21.1 | % | ||||
Financials | 16.8 | |||||
Consumer Discretionary | 15.5 | |||||
Health Care | 14.9 | |||||
Industrials | 10.0 | |||||
Energy | 7.8 | |||||
Consumer Staples | 5.4 | |||||
Materials | 3.4 | |||||
Utilities | 2.0 | |||||
Telecommunication Services | 1.0 | |||||
Short-Term Investment | 2.1 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | “S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor, and is in no way affiliated with, the Portfolio. |
*** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | March 30, 1995 | 13.90 | % | 15.26 | % | 8.82 | % | |||||||
CLASS 2 SHARES | August 16, 2006 | 13.61 | 14.97 | 8.58 |
TEN YEAR PERFORMANCE (12/31/04 TO 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective November 1, 2006, the Portfolio’s investment objective and strategies changed. Although past performance is not necessarily an indication of how the Portfolio will perform in the future, in view of these changes, the Portfolio’s performance record prior to this period might be less relevant for investors considering whether to purchase shares of the Portfolio.
Returns for the Class 2 Shares prior to its inception date are based on the performance of Class 1 Shares. The actual returns of Class 2 Shares would have been lower than those shown because Class 2 Shares have higher expenses than Class 1 Shares.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust U.S. Equity Portfolio, the S&P 500 Index and the Lipper Variable Underlying Funds Large-Cap Core Funds Index from December 31, 2004 to December 31, 2014. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any.
The performance of the S&P 500 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying Funds Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Variable Underlying Funds Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.9% |
| ||||||
Consumer Discretionary — 15.5% |
| |||||||
Auto Components — 0.5% |
| |||||||
9,810 | Johnson Controls, Inc. | 474,215 | ||||||
|
| |||||||
Automobiles — 1.7% |
| |||||||
52,550 | General Motors Co. | 1,834,520 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
2,440 | Carnival Corp. | 110,605 | ||||||
1,410 | Dunkin’ Brands Group, Inc. | 60,136 | ||||||
7,360 | Royal Caribbean Cruises Ltd. | 606,685 | ||||||
6,610 | Starbucks Corp. | 542,351 | ||||||
3,072 | Yum! Brands, Inc. | 223,795 | ||||||
|
| |||||||
1,543,572 | ||||||||
|
| |||||||
Household Durables — 1.8% |
| |||||||
11,230 | D.R. Horton, Inc. | 284,007 | ||||||
8,590 | Harman International Industries, Inc. | 916,639 | ||||||
14,630 | PulteGroup, Inc. | 313,960 | ||||||
10,880 | Toll Brothers, Inc. (a) | 372,857 | ||||||
|
| |||||||
1,887,463 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.6% |
| |||||||
550 | Priceline Group, Inc. (The) (a) | 627,116 | ||||||
|
| |||||||
Media — 5.4% |
| |||||||
7,120 | CBS Corp. (Non-Voting), Class B | 394,021 | ||||||
4,040 | Charter Communications, Inc., Class A (a) | 673,145 | ||||||
13,725 | Comcast Corp., Class A | 796,187 | ||||||
6,400 | DISH Network Corp., Class A (a) | 466,496 | ||||||
550 | Time Warner Cable, Inc. | 83,633 | ||||||
22,059 | Time Warner, Inc. | 1,884,280 | ||||||
33,810 | Twenty-First Century Fox, Inc., Class A | 1,298,473 | ||||||
2,590 | Twenty-First Century Fox, Inc., Class B | 95,545 | ||||||
|
| |||||||
5,691,780 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
3,970 | Dollar Tree, Inc. (a) | 279,409 | ||||||
|
| |||||||
Specialty Retail — 2.9% |
| |||||||
4,320 | Home Depot, Inc. (The) | 453,470 | ||||||
23,620 | Lowe’s Cos., Inc. | 1,625,056 | ||||||
680 | Tiffany & Co. | 72,665 | ||||||
13,820 | TJX Cos., Inc. (The) | 947,776 | ||||||
|
| |||||||
3,098,967 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
5,090 | lululemon athletica, Inc., (Canada) (a) | 283,971 | ||||||
1,650 | PVH Corp. | 211,480 | ||||||
1,880 | Ralph Lauren Corp. | 348,101 | ||||||
|
| |||||||
843,552 | ||||||||
|
| |||||||
Total Consumer Discretionary | 16,280,594 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 5.4% |
| |||||||
Beverages — 1.3% |
| |||||||
16,680 | Coca-Cola Co. (The) | 704,229 | ||||||
5,680 | Constellation Brands, Inc., Class A (a) | 557,606 | ||||||
1,900 | Molson Coors Brewing Co., Class B | 141,588 | ||||||
|
| |||||||
1,403,423 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
2,220 | Costco Wholesale Corp. | 314,685 | ||||||
9,530 | CVS Health Corp. | 917,834 | ||||||
|
| |||||||
1,232,519 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
5,168 | General Mills, Inc. | 275,610 | ||||||
12,629 | Mondelez International, Inc., Class A | 458,748 | ||||||
|
| |||||||
734,358 | ||||||||
|
| |||||||
Household Products — 1.6% |
| |||||||
4,490 | Colgate-Palmolive Co. | 310,663 | ||||||
14,687 | Procter & Gamble Co. (The) | 1,337,839 | ||||||
|
| |||||||
1,648,502 | ||||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
7,930 | Philip Morris International, Inc. | 645,899 | ||||||
|
| |||||||
Total Consumer Staples | 5,664,701 | |||||||
|
| |||||||
Energy — 7.8% |
| |||||||
Energy Equipment & Services — 2.8% |
| |||||||
7,930 | Baker Hughes, Inc. | 444,635 | ||||||
10,080 | Halliburton Co. | 396,446 | ||||||
23,988 | Schlumberger Ltd. | 2,048,815 | ||||||
6,700 | Weatherford International plc, | 76,715 | ||||||
|
| |||||||
2,966,611 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
4,530 | Anadarko Petroleum Corp. | 373,725 | ||||||
11,069 | California Resources Corp. (a) | 60,990 | ||||||
3,820 | Chevron Corp. | 428,528 | ||||||
340 | Concho Resources, Inc. (a) | 33,915 | ||||||
1,180 | EOG Resources, Inc. | 108,643 | ||||||
3,350 | EQT Corp. | 253,595 | ||||||
9,156 | Exxon Mobil Corp. | 846,472 | ||||||
7,650 | Marathon Oil Corp. | 216,418 | ||||||
1,440 | Marathon Petroleum Corp. | 129,974 | ||||||
28,529 | Occidental Petroleum Corp. | 2,299,723 | ||||||
4,540 | Phillips 66 | 325,518 | ||||||
100 | Pioneer Natural Resources Co. | 14,885 | ||||||
4,450 | Southwestern Energy Co. (a) | 121,441 | ||||||
|
| |||||||
5,213,827 | ||||||||
|
| |||||||
Total Energy | 8,180,438 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Financials — 16.8% |
| |||||||
Banks — 6.7% |
| |||||||
109,329 | Bank of America Corp. | 1,955,896 | ||||||
4,460 | BB&T Corp. | 173,449 | ||||||
30,624 | Citigroup, Inc. | 1,657,065 | ||||||
2,290 | SVB Financial Group (a) | 265,800 | ||||||
53,833 | Wells Fargo & Co. | 2,951,125 | ||||||
|
| |||||||
7,003,335 | ||||||||
|
| |||||||
Capital Markets — 5.2% |
| |||||||
810 | Affiliated Managers Group, Inc. (a) | 171,915 | ||||||
2,480 | Ameriprise Financial, Inc. | 327,980 | ||||||
2,270 | BlackRock, Inc. | 811,661 | ||||||
23,010 | Charles Schwab Corp. (The) | 694,672 | ||||||
3,816 | Goldman Sachs Group, Inc. (The) | 739,655 | ||||||
18,550 | Invesco Ltd. | 733,096 | ||||||
39,894 | Morgan Stanley | 1,547,887 | ||||||
3,910 | State Street Corp. | 306,935 | ||||||
4,215 | TD Ameritrade Holding Corp. | 150,813 | ||||||
|
| |||||||
5,484,614 | ||||||||
|
| |||||||
Consumer Finance — 0.1% |
| |||||||
3,860 | Santander Consumer USA Holdings, Inc. | 75,695 | ||||||
|
| |||||||
Diversified Financial Services — 0.2% | ||||||||
1,210 | Intercontinental Exchange, Inc. | 265,341 | ||||||
|
| |||||||
Insurance — 4.1% | ||||||||
16,088 | ACE Ltd., (Switzerland) | 1,848,189 | ||||||
9,120 | American International Group, Inc. | 510,811 | ||||||
18,000 | Marsh & McLennan Cos., Inc. | 1,030,320 | ||||||
15,400 | MetLife, Inc. | 832,986 | ||||||
2,890 | Willis Group Holdings plc, (United Kingdom) | 129,501 | ||||||
|
| |||||||
4,351,807 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||
520 | Boston Properties, Inc. | 66,919 | ||||||
4,440 | Prologis, Inc. | 191,053 | ||||||
870 | Simon Property Group, Inc. | 158,436 | ||||||
600 | Vornado Realty Trust | 70,626 | ||||||
|
| |||||||
487,034 | ||||||||
|
| |||||||
Total Financials | 17,667,826 | |||||||
|
| |||||||
Health Care — 14.9% |
| |||||||
Biotechnology — 3.7% |
| |||||||
1,810 | Alexion Pharmaceuticals, Inc. (a) | 334,904 | ||||||
3,766 | Biogen Idec, Inc. (a) | 1,278,369 | ||||||
10,128 | Celgene Corp. (a) | 1,132,918 | ||||||
5,240 | Gilead Sciences, Inc. (a) | 493,923 | ||||||
5,350 | Vertex Pharmaceuticals, Inc. (a) | 635,580 | ||||||
|
| |||||||
3,875,694 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Equipment & Supplies — 1.7% |
| |||||||
12,380 | Abbott Laboratories | 557,348 | ||||||
47,520 | Boston Scientific Corp. (a) | 629,640 | ||||||
1,910 | Covidien plc, (Ireland) | 195,355 | ||||||
4,370 | Stryker Corp. | 412,222 | ||||||
|
| |||||||
1,794,565 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.6% |
| |||||||
1,030 | Cigna Corp. | 105,997 | ||||||
6,150 | Humana, Inc. | 883,324 | ||||||
3,810 | McKesson Corp. | 790,880 | ||||||
19,830 | UnitedHealth Group, Inc. | 2,004,615 | ||||||
|
| |||||||
3,784,816 | ||||||||
|
| |||||||
Pharmaceuticals — 5.9% |
| |||||||
820 | Actavis plc (a) | 211,076 | ||||||
490 | Allergan, Inc. | 104,169 | ||||||
19,360 | Bristol-Myers Squibb Co. | 1,142,821 | ||||||
32,730 | Johnson & Johnson | 3,422,576 | ||||||
21,952 | Merck & Co., Inc. | 1,246,654 | ||||||
700 | Perrigo Co. plc, (Ireland) | 117,012 | ||||||
|
| |||||||
6,244,308 | ||||||||
|
| |||||||
Total Health Care | 15,699,383 | |||||||
|
| |||||||
Industrials — 10.0% |
| |||||||
Aerospace & Defense — 3.5% |
| |||||||
22,570 | Honeywell International, Inc. | 2,255,195 | ||||||
1,830 | L-3 Communications Holdings, Inc. | 230,964 | ||||||
10,315 | United Technologies Corp. | 1,186,225 | ||||||
|
| |||||||
3,672,384 | ||||||||
|
| |||||||
Airlines — 1.2% | ||||||||
6,930 | Delta Air Lines, Inc. | 340,887 | ||||||
14,121 | United Continental Holdings, Inc. (a) | 944,554 | ||||||
|
| |||||||
1,285,441 | ||||||||
|
| |||||||
Building Products — 0.9% | ||||||||
11,090 | Fortune Brands Home & Security, Inc. | 502,044 | ||||||
18,730 | Masco Corp. | 471,996 | ||||||
|
| |||||||
974,040 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% | ||||||||
16,013 | Fluor Corp. | 970,868 | ||||||
|
| |||||||
Electrical Equipment — 0.9% |
| |||||||
6,900 | Eaton Corp. plc | 468,924 | ||||||
7,188 | Emerson Electric Co. | 443,715 | ||||||
|
| |||||||
912,639 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
1,760 | Danaher Corp. | 150,850 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Machinery — 1.5% | ||||||||
2,900 | Ingersoll-Rand plc | 183,831 | ||||||
17,313 | PACCAR, Inc. | 1,177,457 | ||||||
300 | Pall Corp. | 30,363 | ||||||
1,660 | SPX Corp. | 142,627 | ||||||
|
| |||||||
1,534,278 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
510 | Canadian Pacific Railway Ltd., (Canada) | 98,272 | ||||||
10,650 | CSX Corp. | 385,850 | ||||||
5,019 | Union Pacific Corp. | 597,913 | ||||||
|
| |||||||
1,082,035 | ||||||||
|
| |||||||
Total Industrials | 10,582,535 | |||||||
|
| |||||||
Information Technology — 21.1% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
4,570 | Cisco Systems, Inc. | 127,114 | ||||||
14,154 | QUALCOMM, Inc. | 1,052,067 | ||||||
|
| |||||||
1,179,181 | ||||||||
|
| |||||||
Internet Software & Services — 4.0% |
| |||||||
19,200 | Facebook, Inc., Class A (a) | 1,497,984 | ||||||
2,402 | Google, Inc., Class A (a) | 1,274,645 | ||||||
2,742 | Google, Inc., Class C (a) | 1,443,389 | ||||||
|
| |||||||
4,216,018 | ||||||||
|
| |||||||
IT Services — 3.8% | ||||||||
16,880 | Accenture plc, (Ireland), Class A | 1,507,553 | ||||||
1,380 | Alliance Data Systems Corp. (a) | 394,749 | ||||||
8,900 | Cognizant Technology Solutions Corp., Class A (a) | 468,674 | ||||||
7,220 | Fidelity National Information Services, Inc. | 449,084 | ||||||
650 | International Business Machines Corp. | 104,286 | ||||||
4,170 | Visa, Inc., Class A | 1,093,374 | ||||||
|
| |||||||
4,017,720 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
1,028 | Applied Materials, Inc. | 25,618 | ||||||
15,670 | Avago Technologies Ltd., (Singapore) | 1,576,245 | ||||||
12,834 | Broadcom Corp., Class A | 556,097 | ||||||
6,231 | Freescale Semiconductor Ltd. (a) | 157,208 | ||||||
14,370 | KLA-Tencor Corp. | 1,010,499 | ||||||
14,684 | Lam Research Corp. | 1,165,029 | ||||||
|
| |||||||
4,490,696 | ||||||||
|
| |||||||
Software — 4.1% | ||||||||
12,320 | Adobe Systems, Inc. (a) | 895,664 | ||||||
3,190 | Citrix Systems, Inc. (a) | 203,522 | ||||||
48,783 | Microsoft Corp. | 2,265,970 | ||||||
19,500 | Oracle Corp. | 876,915 | ||||||
|
| |||||||
4,242,071 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 3.8% |
| |||||||
34,636 | Apple, Inc. | 3,823,122 | ||||||
1,610 | EMC Corp. | 47,881 | ||||||
3,520 | Hewlett-Packard Co. | 141,258 | ||||||
|
| |||||||
4,012,261 | ||||||||
|
| |||||||
Total Information Technology | 22,157,947 | |||||||
|
| |||||||
Materials — 3.4% | ||||||||
Chemicals — 1.9% | ||||||||
1,450 | Albemarle Corp. | 87,188 | ||||||
3,864 | Axiall Corp. | 164,104 | ||||||
9,540 | Dow Chemical Co. (The) | 435,119 | ||||||
7,300 | E.I. du Pont de Nemours & Co. | 539,762 | ||||||
17,850 | Mosaic Co. (The) | 814,853 | ||||||
|
| |||||||
2,041,026 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) | ||||||||
310 | Martin Marietta Materials, Inc. | 34,199 | ||||||
|
| |||||||
Containers & Packaging — 0.3% | ||||||||
3,110 | Crown Holdings, Inc. (a) | 158,299 | ||||||
3,470 | Sealed Air Corp. | 147,232 | ||||||
|
| |||||||
305,531 | ||||||||
|
| |||||||
Metals & Mining — 1.2% | ||||||||
56,884 | Alcoa, Inc. | 898,199 | ||||||
11,730 | United States Steel Corp. | 313,660 | ||||||
|
| |||||||
1,211,859 | ||||||||
|
| |||||||
Total Materials | 3,592,615 | |||||||
|
| |||||||
Telecommunication Services — 1.0% | ||||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
21,803 | Verizon Communications, Inc. | 1,019,944 | ||||||
|
| |||||||
Utilities — 2.0% | ||||||||
Electric Utilities — 1.3% | ||||||||
2,650 | Edison International | 173,522 | ||||||
12,960 | Exelon Corp. | 480,557 | ||||||
4,590 | NextEra Energy, Inc. | 487,871 | ||||||
5,920 | PPL Corp. | 215,074 | ||||||
|
| |||||||
1,357,024 | ||||||||
|
| |||||||
Multi-Utilities — 0.7% | ||||||||
9,410 | CenterPoint Energy, Inc. | 220,476 | ||||||
5,020 | Dominion Resources, Inc. | 386,038 | ||||||
2,610 | NiSource, Inc. | 110,715 | ||||||
|
| |||||||
717,229 | ||||||||
|
| |||||||
Total Utilities | 2,074,253 | |||||||
|
| |||||||
Total Common Stocks | 102,920,236 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
2,205,253 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 2,205,253 | ||||||
|
| |||||||
Total Investments — 100.0% | 105,125,489 | |||||||
Other Assets in Excess of | 32,165 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 105,157,654 | ||||||
|
|
Percentages indicated are based on net assets.
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
8 | E-mini S&P 500 | 03/20/15 | $ | 820,960 | $ | 14,447 | ||||||||||
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
(g) | — Amount rounds to less than 0.1%. | |
(l) | — The rate shown is the current yield as of December 31, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
U.S. Equity Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 102,920,236 | ||
Investments in affiliates, at value | 2,205,253 | |||
|
| |||
Total investment securities, at value | 105,125,489 | |||
Cash | 4,156 | |||
Deposits at broker for futures contracts | 75,000 | |||
Receivables: | ||||
Investment securities sold | 27,784 | |||
Portfolio shares sold | 20,948 | |||
Dividends from non-affiliates | 119,736 | |||
Dividends from affiliates | 118 | |||
|
| |||
Total Assets | 105,373,231 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 29,501 | |||
Portfolio shares redeemed | 48,296 | |||
Variation margin on futures contracts | 13,360 | |||
Accrued liabilities: | ||||
Investment advisory fees | 53,612 | |||
Administration fees | 7,275 | |||
Distribution fees | 2,860 | |||
Custodian and accounting fees | 27,302 | |||
Trustees’ and Chief Compliance Officer’s fees | 51 | |||
Audit fees | 28,732 | |||
Other | 4,588 | |||
|
| |||
Total Liabilities | 215,577 | |||
|
| |||
Net Assets | $ | 105,157,654 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 83,986,935 | ||
Accumulated undistributed net investment income | 1,087,238 | |||
Accumulated net realized gains (losses) | 3,479,183 | |||
Net unrealized appreciation (depreciation) | 16,604,298 | |||
|
| |||
Total Net Assets | $ | 105,157,654 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 91,227,570 | ||
Class 2 | 13,930,084 | |||
|
| |||
Total | $ | 105,157,654 | ||
|
| |||
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | ||||
Class 1 | 3,410,610 | |||
Class 2 | 525,468 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 26.75 | ||
Class 2 | 26.51 | |||
|
| |||
Cost of investments in non-affiliates | $ | 86,330,385 | ||
Cost of investments in affiliates | 2,205,253 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2014
U.S. Equity Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 1,861,126 | ||
Dividend income from affiliates | 489 | |||
|
| |||
Total investment income | 1,861,615 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 524,411 | |||
Administration fees | 78,892 | |||
Distribution fees — Class 2 | 23,075 | |||
Custodian and accounting fees | 51,762 | |||
Professional fees | 42,667 | |||
Trustees’ and Chief Compliance Officer’s fees | 977 | |||
Printing and mailing costs | 24,107 | |||
Transfer agent fees | 6,843 | |||
Other | 31,897 | |||
|
| |||
Total expenses | 784,631 | |||
|
| |||
Less fees waived | (18,829 | ) | ||
|
| |||
Net expenses | 765,802 | |||
|
| |||
Net investment income (loss) | 1,095,813 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 14,333,645 | |||
Futures | 50,514 | |||
|
| |||
Net realized gains (losses) | 14,384,159 | |||
|
| |||
Change in net unrealized appreciation/depreciation of: | ||||
Investments in non-affiliates | (2,895,963 | ) | ||
Futures | 14,447 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (2,881,516 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | 11,502,643 | |||
|
| |||
Change in net assets resulting from operations | $ | 12,598,456 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
U.S. Equity Portfolio | ||||||||
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 1,095,813 | $ | 864,727 | ||||
Net realized gain (loss) | 14,384,159 | 14,638,352 | ||||||
Change in net unrealized appreciation/depreciation | (2,881,516 | ) | 11,045,456 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 12,598,456 | 26,548,535 | ||||||
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|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (789,786 | ) | (1,052,526 | ) | ||||
Class 2 | ||||||||
From net investment income | (71,224 | ) | (48,143 | ) | ||||
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|
|
| |||||
Total distributions to shareholders | (861,010 | ) | (1,100,669 | ) | ||||
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|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 410,395 | (9,581,704 | ) | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 12,147,841 | 15,866,162 | ||||||
Beginning of period | 93,009,813 | 77,143,651 | ||||||
|
|
|
| |||||
End of period | $ | 105,157,654 | $ | 93,009,813 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 1,087,238 | $ | 863,588 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 6,832,590 | $ | 2,543,616 | ||||
Distributions reinvested | 789,786 | 1,052,526 | ||||||
Cost of shares redeemed | (14,284,392 | ) | (16,291,346 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | (6,662,016 | ) | $ | (12,695,204 | ) | ||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 8,675,407 | $ | 6,820,537 | ||||
Distributions reinvested | 71,224 | 48,143 | ||||||
Cost of shares redeemed | (1,674,220 | ) | (3,755,180 | )�� | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 7,072,411 | $ | 3,113,500 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 410,395 | $ | (9,581,704 | ) | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 267,597 | 123,990 | ||||||
Reinvested | 33,352 | 54,705 | ||||||
Redeemed | (576,526 | ) | (797,599 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (275,577 | ) | (618,904 | ) | ||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 351,295 | 339,617 | ||||||
Reinvested | 3,031 | 2,517 | ||||||
Redeemed | (67,876 | ) | (173,975 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 286,450 | 168,159 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance |
|
| |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net asset value, end of period | Total return (a) | ||||||||||||||||||||||||
U.S. Equity Portfolio |
| |||||||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||||||||
Year Ended December 31, 2014 | $ | 23.71 | $ | 0.31 | (d) | $ | 2.96 | $ | 3.27 | $ | (0.23 | ) | $ | 26.75 | 13.90 | % | ||||||||||||||
Year Ended December 31, 2013 | 17.63 | 0.21 | (e) | 6.13 | 6.34 | (0.26 | ) | 23.71 | 36.29 | |||||||||||||||||||||
Year Ended December 31, 2012 | 15.22 | 0.23 | (e) | 2.43 | 2.66 | (0.25 | ) | 17.63 | 17.58 | |||||||||||||||||||||
Year Ended December 31, 2011 | 15.69 | 0.18 | (e) | (0.46 | ) | (0.28 | ) | (0.19 | ) | 15.22 | (1.87 | ) | ||||||||||||||||||
Year Ended December 31, 2010 | 13.93 | 0.16 | (e) | 1.73 | 1.89 | (0.13 | ) | 15.69 | 13.58 | |||||||||||||||||||||
Class 2 |
| |||||||||||||||||||||||||||||
Year Ended December 31, 2014 | 23.53 | 0.27 | (d) | 2.91 | 3.18 | (0.20 | ) | 26.51 | 13.61 | |||||||||||||||||||||
Year Ended December 31, 2013 | 17.54 | 0.16 | (e) | 6.08 | 6.24 | (0.25 | ) | 23.53 | 35.90 | |||||||||||||||||||||
Year Ended December 31, 2012 | 15.18 | 0.22 | (e) | 2.39 | 2.61 | (0.25 | ) | 17.54 | 17.28 | |||||||||||||||||||||
Year Ended December 31, 2011 | 15.65 | 0.14 | (e) | (0.46 | ) | (0.32 | ) | (0.15 | ) | 15.18 | (2.09 | ) | ||||||||||||||||||
Year Ended December 31, 2010 | 13.91 | 0.12 | (e) | 1.72 | 1.84 | (0.10 | ) | 15.65 | 13.28 |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
(c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(d) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.25 and $0.20 for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.88% and 0.72% for Class 1 and Class 2 Shares, respectively. |
(e) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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Ratios/Supplemental data | ||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||
Net assets, end of period | Net expenses (b) | Net investment income (loss) | Expenses without waivers, | Portfolio turnover rate (c) | ||||||||||||||
$ | 91,227,570 | 0.78 | % | 1.16 | %(d) | 0.80 | % | 78 | % | |||||||||
87,386,499 | 0.79 | 1.02 | 0.80 | 80 | ||||||||||||||
75,900,979 | 0.79 | 1.40 | 0.81 | 71 | ||||||||||||||
77,847,972 | 0.79 | 1.15 | 0.79 | 70 | ||||||||||||||
132,548,805 | 0.79 | 1.10 | 0.82 | 75 | ||||||||||||||
13,930,084 | 1.03 | 1.01 | (d) | 1.04 | 78 | |||||||||||||
5,623,314 | 1.02 | 0.77 | 1.04 | 80 | ||||||||||||||
1,242,672 | 1.01 | 1.27 | 1.05 | 71 | ||||||||||||||
76,432 | 1.04 | 0.94 | 1.05 | 70 | ||||||||||||||
18,015 | 1.04 | 0.86 | 1.07 | 75 |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
U.S. Equity Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to provide high total return from a portfolio of selected equity securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
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 Portfolio are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each investment company’s NAV per share as of the report date.
Futures 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 Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2 — Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
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) | $ | 105,125,489 | $ | — | $ | — | $ | 105,125,489 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 14,447 | $ | — | $ | — | $ | 14,447 | ||||||||
|
|
|
|
|
|
|
|
(a) | All Portfolio holdings designated as Level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended December 31, 2014.
B. Futures Contracts — The Portfolio uses index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Portfolio also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation /depreciation in the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Portfolio to equity price risk. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2014:
Futures Contracts: | ||||
Average Notional Balance Long | $ | 259,813 | ||
Ending Notional Balance Long | 820,960 |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
D. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
E. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed net investment income | Accumulated net realized gains (losses) | ||||||||
$— | $ | (11,153 | ) | $ | 11,153 |
The reclassifications for the Portfolio relate primarily to investments in real estate investment trusts.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management, Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.55%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2014, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the Distributor, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees in the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately in the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statement of Operations.
E. Waivers and Reimbursements — The Adviser, Administrator (for all share classes) and Distributor (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.80 | % | 1.05 | % |
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
The expense limitation agreement was in effect for the year ended December 31, 2014. The contractual expense limitation percentages in the table above are in place until at least April 30, 2015.
For the year ended December 31, 2014, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | ||||||||||
Investment Advisory | Administration | Total | ||||||||
$6,981 | $ | 9,439 | $ | 16,420 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2014 was $2,409.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2014, the Portfolio may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2014, the Portfolio incurred $5 in brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 73,665,722 | $ | 73,952,175 |
During the year ended December 31, 2014, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 89,770,569 | $ | 17,058,723 | $ | 1,703,803 | $ | 15,354,920 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2014 was as follows:
Total Distributions Paid From: | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
$ | 861,010 | $ | 861,010 |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The tax character of distributions paid during the year ended December 31, 2013 was as follows:
Total Distributions Paid From: | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
$ | 1,100,669 | $ | 1,100,669 |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 1,091,493 | $ | 4,728,560 | $ | 15,354,920 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Portfolio after December 31, 2010 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Portfolio were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of December 31, 2014, the Portfolio did not have any net capital loss carryforwards.
During the year ended December 31, 2014, The Portfolio utilized pre-enactment capital loss carryforwards in the amount of $9,151,747.
6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio has several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Portfolio.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust U.S. Equity Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust U.S. Equity Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 16, 2015
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 21 |
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(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 23 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2014 | Ending Account Value December 31, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Equity Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.70 | $ | 4.06 | 0.78 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.27 | 3.97 | 0.78 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,064.70 | 5.31 | 1.02 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.06 | 5.19 | 1.02 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2014, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 20, 2014.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Portfolio’s expense ratios and those of its peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Board also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMFM earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee
breakpoint, which is tied to the overall level of non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser for investment management styles substantially similar to that of the Portfolio. The Trustees also considered the complexity of investment management for the Portfolio relative to the Adviser’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance for the Portfolio in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in the Portfolio’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance was in the first, second and first quintiles for Class 1 shares for the one-, three-, and five-year periods ended December 31, 2013, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and, based upon this discussion and various other factors, concluded that the performance was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual
advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Portfolio and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 1 shares were in the second and third quintiles, respectively, of the Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
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(Unaudited)
Dividends Received Deductions (DRD)
The Portfolio had 100.00% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended December 31, 2014.
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITUSEP-1214 |
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust Income Builder Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
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Table of Contents
Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
JANUARY 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
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“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at -0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned -4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned -1.8%.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
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CEO’S LETTER
JANUARY 11, 2015 (Unaudited) (continued)
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove the U.S. dollar higher against most other currencies due to investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust Income Builder Portfolio
FOR THE PERIOD DECEMBER 9, 2014 (PORTFOLIO INCEPTION DATE) THROUGH DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class 2 Shares)* | (0.18)% | |||
Barclays U.S. Aggregate Index | 0.31% | |||
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes) | (0.01)% | |||
Income Builder Composite Benchmark | 0.12% | |||
Net Assets as of 12/31/2014 | $19,956,034 |
INVESTMENT OBJECTIVE** AND STRATEGIES
JPMorgan Insurance Trust Income Builder Portfolio (the “Portfolio”) seeks to maximize income while maintaining prospects for capital appreciation. The Portfolio invests in income-producing securities, including debt and equity securities, from both domestic and emerging markets. The Portfolio may use derivatives as substitutes for securities in which the Portfolio can invest to help manage duration, sector and yield curve exposure, and credit and spread volatility. The Adviser has wide latitude to allocate the Portfolio’s assets among strategies and asset classes.
TOP TEN HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 8.1 | % | |||||
2. | JPMorgan Equity Income Fund, Class R6 Shares | 5.1 | ||||||
3. | Microsoft Corp. | 1.0 | ||||||
4. | Royal Dutch Shell plc, Class A, (Netherlands) | 0.9 | ||||||
5. | Unibail-Rodamco SE, (France) | 0.8 | ||||||
6. | Vodafone Group plc, (United Kingdom) | 0.8 | ||||||
7. | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-W, Class A1, VAR, 2.615%, 11/25/34 | 0.7 | ||||||
8. | Time Warner, Inc. | 0.7 | ||||||
9. | Johnson & Johnson | 0.7 | ||||||
10. | Impac CMB Trust, Series 2004-6, Class 1A2, VAR, 0.950%, 10/25/34 | 0.7 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
United States | 65.4 | % | ||
United Kingdom | 6.0 | |||
Japan | 3.0 | |||
Switzerland | 2.4 | |||
France | 2.3 | |||
Australia | 1.9 | |||
Germany | 1.9 | |||
Netherlands | 1.3 | |||
Canada | 1.3 | |||
Luxembourg | 1.1 | |||
Finland | 1.0 | |||
Sweden | 1.0 | |||
Others (each less than 1.0%) | 5.9 | |||
Short-Term Investment | 5.5 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Income Builder Portfolio
PORTFOLIO SUMMARY
FOR THE PERIOD DECEMBER 9, 2014 (PORTFOLIO INCEPTION DATE) THROUGH DECEMBER 31, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||
INCEPTION DATE OF CLASS | SINCE INCEPTION* | |||||||
CLASS 1 SHARES | December 9, 2014 | (0.17 | )% | |||||
CLASS 2 SHARES | December 9, 2014 | (0.18 | ) |
* | Not annualized. |
LIFE OF PORTFOLIO PERFORMANCE (12/09/14 TO 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Portfolio commenced operations on December 9, 2014.
The graph illustrates comparative performance for $10,000 invested in Class 2 Shares of the JPMorgan Insurance Trust Income Builder Portfolio, the MSCI World Index (net of foreign withholding taxes), the Barclays U.S. Aggregate Index, the Income Builder Composite Benchmark and the Lipper Variable Underlying Funds Flexible Funds Index from December 9, 2014 to December 31, 2014. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the indices, other than the Lipper Variable Underlying Funds Flexible Funds Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Variable Underlying Funds Flexible Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are
not identical to the expenses incurred by the Portfolio. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Income Builder Composite Benchmark is a composite benchmark comprised of unmanaged indices that includes the MSCI World Index (net of foreign withholding taxes) (60%) and the Barclays U.S. Aggregate Index (40%). The Lipper Variable Underlying Funds Flexible Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 1.2% |
| ||||||
United States — 1.2% |
| |||||||
47,264 | AMRESCO Residential Securities Corp. Mortgage Loan Trust, Series 1997-1, Class A7, 7.610%, 03/25/27 | 47,985 | ||||||
64,954 | Countrywide Asset-Backed Certificates, Series 2004-2, Class M1, VAR, 0.920%, 05/25/34 | 61,500 | ||||||
33,876 | GSAMP Trust, Series 2003-SEA, Class A1, VAR, 0.569%, 02/25/33 | 31,580 | ||||||
60,287 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, VAR, 1.190%, 10/25/33 | 56,837 | ||||||
44,784 | NovaStar Mortgage Funding Trust, Series 2003-3, Class A2C, VAR, 1.230%, 12/25/33 | 41,977 | ||||||
|
| |||||||
Total Asset-Backed Securities | 239,879 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 4.0% | |||||||
Non-Agency CMO — 4.0% |
| |||||||
United States — 4.0% |
| |||||||
31,374 | Banc of America Alternative Loan Trust, Series 2003-9, Class 1CB5, 5.500%, 11/25/33 | 32,116 | ||||||
41,573 | Banc of America Mortgage Trust, Series 2005-A, Class 2A2, VAR, 2.720%, 02/25/35 | 40,852 | ||||||
50,919 | First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 4A1, VAR, 3.268%, 02/25/35 | 48,419 | ||||||
82,583 | GSR Mortgage Loan Trust, Series 2005-AR3, Class 1A1, VAR, 0.610%, 05/25/35 | 75,597 | ||||||
145,243 | Impac CMB Trust, Series 2004-6, Class 1A2, VAR, 0.950%, 10/25/34 | 135,821 | ||||||
59,638 | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 4A3, VAR, 5.616%, 01/25/37 | 59,599 | ||||||
43,693 | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 4A, VAR, 2.567%, 07/25/34 | 41,824 | ||||||
65,236 | Residential Asset Securitization Trust, Series 2004-A6, Class A1, 5.000%, 08/25/19 | 66,971 | ||||||
89,159 | RFMSI Trust, Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 90,435 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
142,007 | Series 2004-W, Class A1, VAR, 2.615%, 11/25/34 | 143,765 | ||||||
57,258 | Series 2005-16, Class A8, 5.750%, 01/25/36 | 59,610 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 795,009 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 40.6% | |||||||
Australia — 1.9% |
| |||||||
2,136 | Australia & New Zealand Banking Group Ltd. | 55,579 | ||||||
592 | BHP Billiton plc | 12,687 | ||||||
3,092 | Dexus Property Group (m) | 17,503 | ||||||
15,514 | Goodman Group (m) | 71,657 | ||||||
15,965 | Mirvac Group (m) | 23,094 | ||||||
3,142 | Scentre Group (a) | 8,902 | ||||||
3,073 | Suncorp Group Ltd. | 35,105 | ||||||
10,441 | Transurban Group | 72,761 | ||||||
10,036 | Westfield Corp. (m) | 73,568 | ||||||
|
| |||||||
370,856 | ||||||||
|
| |||||||
Belgium — 0.3% |
| |||||||
230 | Ageas | 8,178 | ||||||
290 | Belgacom S.A. | 10,522 | ||||||
300 | Solvay S.A. | 40,594 | ||||||
|
| |||||||
59,294 | ||||||||
|
| |||||||
Canada — 0.9% |
| |||||||
900 | Allied Properties Real Estate Investment Trust (m) | 29,003 | ||||||
1,152 | Bank of Nova Scotia (The) | 65,751 | ||||||
450 | Canadian Real Estate Investment Trust (m) | 17,736 | ||||||
1,062 | RioCan Real Estate Investment Trust (m) | 24,159 | ||||||
864 | TransCanada Corp. | 42,464 | ||||||
|
| |||||||
179,113 | ||||||||
|
| |||||||
China — 0.6% |
| |||||||
45,000 | Industrial & Commercial Bank of China Ltd., Class H | 32,859 | ||||||
30,000 | PetroChina Co., Ltd., Class H | 33,303 | ||||||
17,600 | Wynn Macau Ltd. | 49,101 | ||||||
|
| |||||||
115,263 | ||||||||
|
| |||||||
Denmark — 0.4% |
| |||||||
2,145 | Danske Bank A/S | 57,992 | ||||||
940 | TDC A/S | 7,169 | ||||||
78 | Tryg A/S | 8,716 | ||||||
|
| |||||||
73,877 | ||||||||
|
| |||||||
Finland — 0.8% |
| |||||||
315 | Elisa OYJ | 8,598 | ||||||
370 | Fortum OYJ | 8,033 | ||||||
225 | Kone OYJ, Class B | 10,244 | ||||||
470 | Neste Oil OYJ | 11,409 | ||||||
1,400 | Nokia OYJ | 11,072 | ||||||
255 | Orion OYJ, Class B | 7,931 | ||||||
217 | Sampo OYJ, Class A | 10,159 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Finland — continued |
| |||||||
960 | Stora Enso OYJ, Class R | 8,583 | ||||||
5,104 | UPM-Kymmene OYJ | 83,645 | ||||||
|
| |||||||
159,674 | ||||||||
|
| |||||||
France — 2.2% |
| |||||||
2,927 | AXA S.A. | 67,447 | ||||||
405 | CNP Assurances | 7,180 | ||||||
630 | Credit Agricole S.A. | 8,132 | ||||||
282 | Electricite de France S.A. | 7,763 | ||||||
88 | Fonciere Des Regions (m) | 8,133 | ||||||
130 | Gaztransport Et Technigaz S.A. | 7,692 | ||||||
3,572 | GDF Suez | 83,296 | ||||||
65 | Gecina S.A. (m) | 8,115 | ||||||
135 | Klepierre (m) | 5,797 | ||||||
302 | Lagardere S.C.A. | 7,865 | ||||||
1,310 | Natixis S.A. | 8,644 | ||||||
850 | Orange S.A. | 14,456 | ||||||
300 | SCOR SE | 9,090 | ||||||
142 | Societe Generale S.A. | 5,943 | ||||||
475 | Suez Environnement Co. | 8,276 | ||||||
448 | Total S.A. | 22,952 | ||||||
585 | Unibail-Rodamco SE (m) | 150,073 | ||||||
480 | Veolia Environnement S.A. | 8,502 | ||||||
|
| |||||||
439,356 | ||||||||
|
| |||||||
Germany — 1.8% |
| |||||||
501 | Allianz SE | 82,979 | ||||||
926 | alstria office REIT-AG (a) (m) | 11,498 | ||||||
131 | Axel Springer SE | 7,901 | ||||||
1,466 | Daimler AG | 121,757 | ||||||
2,691 | Deutsche Post AG | 87,355 | ||||||
933 | Deutsche Telekom AG | 14,928 | ||||||
96 | Hannover Rueck SE | 8,660 | ||||||
63 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 12,546 | ||||||
203 | ProSiebenSat.1 Media AG | 8,482 | ||||||
567 | TUI AG | 9,401 | ||||||
|
| |||||||
365,507 | ||||||||
|
| |||||||
Hong Kong — 0.5% |
| |||||||
4,000 | Hongkong Land Holdings Ltd. | 26,950 | ||||||
4,000 | Hutchison Whampoa Ltd. | 45,726 | ||||||
4,000 | Link REIT (The) (m) | 25,043 | ||||||
|
| |||||||
97,719 | ||||||||
|
| |||||||
Ireland — 0.4% |
| |||||||
801 | Accenture plc, Class A | 71,537 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Italy — 0.8% |
| |||||||
363 | Atlantia S.p.A. | 8,437 | ||||||
3,726 | Eni S.p.A. | 65,266 | ||||||
22,193 | Intesa Sanpaolo S.p.A. | 64,380 | ||||||
1,668 | Snam S.p.A. | 8,255 | ||||||
1,723 | Terna Rete Elettrica Nazionale S.p.A. | 7,826 | ||||||
2,192 | UnipolSai S.p.A. | 5,902 | ||||||
|
| |||||||
160,066 | ||||||||
|
| |||||||
Japan — 2.9% |
| |||||||
11 | GLP J-REIT | 12,253 | ||||||
1,500 | Japan Airlines Co., Ltd. | 44,474 | ||||||
5 | Japan Logistics Fund, Inc. (m) | 11,246 | ||||||
2 | Japan Real Estate Investment Corp. (m) | 9,636 | ||||||
3,200 | Japan Tobacco, Inc. | 88,073 | ||||||
19,300 | Mitsubishi UFJ Financial Group, Inc. | 106,039 | ||||||
4,200 | Mitsui & Co., Ltd. | 56,251 | ||||||
6 | Nippon Prologis REIT, Inc. | 13,027 | ||||||
1,400 | Nippon Telegraph & Telephone Corp. | 71,516 | ||||||
8 | Orix JREIT, Inc. (m) | 11,250 | ||||||
1,000 | Seven & i Holdings Co., Ltd. | 35,971 | ||||||
2,000 | Toyota Motor Corp. | 124,635 | ||||||
|
| |||||||
584,371 | ||||||||
|
| |||||||
Luxembourg — 0.0% (g) |
| |||||||
165 | SES S.A. | 5,933 | ||||||
|
| |||||||
Netherlands — 1.2% |
| |||||||
359 | Delta Lloyd N.V. | 7,895 | ||||||
330 | Koninklijke Ahold N.V. | 5,865 | ||||||
251 | NN Group N.V. (a) | 7,493 | ||||||
5,077 | Royal Dutch Shell plc, Class A | 169,434 | ||||||
1,146 | Royal Dutch Shell plc, Class B | 39,595 | ||||||
387 | Vastned Retail N.V. (m) | 17,499 | ||||||
|
| |||||||
247,781 | ||||||||
|
| |||||||
Norway — 0.1% |
| |||||||
479 | Gjensidige Forsikring ASA | 7,816 | ||||||
734 | Orkla ASA | 4,997 | ||||||
351 | Statoil ASA | 6,180 | ||||||
431 | Telenor ASA | 8,718 | ||||||
|
| |||||||
27,711 | ||||||||
|
| |||||||
Portugal — 0.0% (g) |
| |||||||
2,038 | EDP - Energias de Portugal S.A. | 7,903 | ||||||
|
| |||||||
Russia — 0.1% |
| |||||||
1,490 | MMC Norilsk Nickel OJSC, ADR | 21,307 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Singapore — 0.5% |
| |||||||
3,000 | Ascendas Real Estate Investment Trust (m) | 5,381 | ||||||
19,000 | CapitaCommercial Trust (m) | 25,085 | ||||||
26,000 | Singapore Telecommunications Ltd. | 76,318 | ||||||
|
| |||||||
106,784 | ||||||||
|
| |||||||
South Africa — 0.2% |
| |||||||
1,091 | Investec plc | 9,141 | ||||||
1,905 | MTN Group Ltd. | 36,238 | ||||||
|
| |||||||
45,379 | ||||||||
|
| |||||||
South Korea — 0.2% |
| |||||||
1,052 | SK Telecom Co., Ltd., ADR | 28,414 | ||||||
|
| |||||||
Spain — 0.7% |
| |||||||
291 | Abertis Infraestructuras S.A. | 5,770 | ||||||
1,574 | CaixaBank S.A. | 8,248 | ||||||
278 | Enagas S.A. | 8,768 | ||||||
444 | Ferrovial S.A. | 8,777 | ||||||
285 | Gas Natural SDG S.A. | 7,159 | ||||||
1,828 | Iberdrola S.A. | 12,322 | ||||||
2,094 | Mapfre S.A. | 7,078 | ||||||
98 | Red Electrica Corp. S.A. | 8,639 | ||||||
2,803 | Repsol S.A. | 52,475 | ||||||
1,110 | Telefonica S.A. | 15,937 | ||||||
|
| |||||||
135,173 | ||||||||
|
| |||||||
Sweden — 0.9% |
| |||||||
1,874 | Electrolux AB, Series B | 54,757 | ||||||
1,023 | Nordea Bank AB | 11,842 | ||||||
865 | Skandinaviska Enskilda Banken AB, Class A | 10,984 | ||||||
445 | Skanska AB, Class B | 9,554 | ||||||
249 | Svenska Handelsbanken AB, Class A | 11,650 | ||||||
2,265 | Swedbank AB, Class A | 56,197 | ||||||
820 | Tele2 AB, Class B | 9,936 | ||||||
1,015 | Telefonaktiebolaget LM Ericsson, Class B | 12,290 | ||||||
1,418 | TeliaSonera AB | 9,117 | ||||||
|
| |||||||
186,327 | ||||||||
|
| |||||||
Switzerland — 2.4% |
| |||||||
76 | Baloise Holding AG | 9,714 | ||||||
17 | Banque Cantonale Vaudoise | 9,184 | ||||||
144 | Cembra Money Bank AG | 7,915 | ||||||
1,594 | Nestle S.A. | 116,204 | ||||||
989 | Novartis AG | 91,723 | ||||||
444 | Roche Holding AG | 120,298 | ||||||
118 | Swiss Prime Site AG (a) | 8,664 | ||||||
1,089 | Swiss Re AG (a) | 91,228 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Switzerland — continued |
| |||||||
8 | Swisscom AG | 4,198 | ||||||
47 | Zurich Insurance Group AG (a) | 14,688 | ||||||
|
| |||||||
473,816 | ||||||||
|
| |||||||
Taiwan — 0.5% |
| |||||||
4,000 | Asustek Computer, Inc. | 43,644 | ||||||
7,000 | Quanta Computer, Inc. | 17,438 | ||||||
21,000 | Siliconware Precision Industries Co., Ltd. | 31,644 | ||||||
|
| |||||||
92,726 | ||||||||
|
| |||||||
United Kingdom — 5.3% |
| |||||||
1,211 | Aberdeen Asset Management plc | 8,092 | ||||||
515 | Anglo American plc | 9,530 | ||||||
1,892 | AstraZeneca plc | 133,633 | ||||||
656 | Aviva plc | 4,929 | ||||||
9,241 | BAE Systems plc | 67,581 | ||||||
4,378 | Barclays plc | 16,458 | ||||||
3,817 | BP plc | 24,229 | ||||||
418 | British American Tobacco plc | 22,652 | ||||||
4,925 | British Land Co. plc (The) (m) | 59,389 | ||||||
2,495 | BT Group plc | 15,519 | ||||||
1,028 | Cobham plc | 5,161 | ||||||
721 | Compass Group plc | 12,324 | ||||||
14,632 | Direct Line Insurance Group plc | 66,189 | ||||||
4,031 | GlaxoSmithKline plc | 86,479 | ||||||
3,372 | Hammerson plc (m) | 31,578 | ||||||
3,713 | HSBC Holdings plc | 35,087 | ||||||
317 | Imperial Tobacco Group plc | 13,954 | ||||||
781 | Inmarsat plc | 9,684 | ||||||
234 | InterContinental Hotels Group plc | 9,415 | ||||||
1,496 | Intu Properties plc | 7,734 | ||||||
3,020 | ITV plc | 10,074 | ||||||
2,862 | Legal & General Group plc | 11,051 | ||||||
1,147 | Marks & Spencer Group plc | 8,493 | ||||||
1,066 | National Grid plc | 15,126 | ||||||
88 | Next plc | 9,333 | ||||||
3,103 | Old Mutual plc | 9,145 | ||||||
496 | Pearson plc | 9,160 | ||||||
2,777 | Persimmon plc (a) | 67,825 | ||||||
340 | Rio Tinto plc | 15,673 | ||||||
4,920 | Safestore Holdings plc | 17,790 | ||||||
4,654 | Segro plc (m) | 26,661 | ||||||
278 | Severn Trent plc | 8,671 | ||||||
666 | Sky plc | 9,295 | ||||||
437 | SSE plc | 11,042 | ||||||
1,503 | Standard Life plc | 9,310 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
United Kingdom — continued |
| |||||||
597 | Unilever plc | 24,255 | ||||||
646 | United Utilities Group plc | 9,176 | ||||||
42,657 | Vodafone Group plc | 146,255 | ||||||
|
| |||||||
1,057,952 | ||||||||
|
| |||||||
United States — 15.0% |
| |||||||
1,034 | Apple, Inc. | 114,133 | ||||||
4,265 | Applied Materials, Inc. | 106,284 | ||||||
200 | AvalonBay Communities, Inc. (m) | 32,678 | ||||||
700 | Aviv REIT, Inc. (m) | 24,136 | ||||||
300 | Boston Properties, Inc. (m) | 38,607 | ||||||
859 | Bristol-Myers Squibb Co. | 50,707 | ||||||
1,000 | Brixmor Property Group, Inc. | 24,840 | ||||||
1,431 | CenterPoint Energy, Inc. | 33,528 | ||||||
1,043 | Chevron Corp. | 117,004 | ||||||
1,156 | CME Group, Inc. | 102,479 | ||||||
958 | Comcast Corp., Class A | 55,574 | ||||||
600 | Corporate Office Properties Trust (m) | 17,022 | ||||||
900 | DCT Industrial Trust, Inc. (m) | 32,094 | ||||||
800 | DiamondRock Hospitality Co. (m) | 11,896 | ||||||
846 | Dominion Resources, Inc. | 65,057 | ||||||
2,233 | Dow Chemical Co. (The) | 101,847 | ||||||
1,200 | Equity One, Inc. (m) | 30,432 | ||||||
250 | Extra Space Storage, Inc. (m) | 14,660 | ||||||
1,300 | General Growth Properties, Inc. (m) | 36,569 | ||||||
300 | HCP, Inc. (m) | 13,209 | ||||||
500 | Health Care REIT, Inc. (m) | 37,835 | ||||||
620 | Healthcare Realty Trust, Inc. (m) | 16,938 | ||||||
500 | Highwoods Properties, Inc. (m) | 22,140 | ||||||
1,219 | Home Depot, Inc. (The) | 127,958 | ||||||
1,344 | Johnson & Johnson | 140,542 | ||||||
200 | Kilroy Realty Corp. (m) | 13,814 | ||||||
1,101 | KLA-Tencor Corp. | 77,422 | ||||||
1,050 | LaSalle Hotel Properties (m) | 42,494 | ||||||
700 | Liberty Property Trust (m) | 26,341 | ||||||
1,409 | Lorillard, Inc. | 88,683 | ||||||
300 | Macerich Co. (The) (m) | 25,023 | ||||||
1,976 | Merck & Co., Inc. | 112,217 | ||||||
978 | MetLife, Inc. | 52,900 | ||||||
4,170 | Microsoft Corp. | 193,697 | ||||||
500 | Mid-America Apartment Communities, Inc. (m) | 37,340 | ||||||
778 | Molson Coors Brewing Co., Class B | 57,977 | ||||||
2,293 | Morgan Stanley | 88,968 | ||||||
900 | National Retail Properties, Inc. (m) | 35,433 | ||||||
780 | NextEra Energy, Inc. | 82,906 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
1,403 | PACCAR, Inc. | 95,418 | ||||||
400 | Parkway Properties, Inc. (m) | 7,356 | ||||||
800 | Prologis, Inc. (m) | 34,424 | ||||||
329 | QUALCOMM, Inc. | 24,455 | ||||||
640 | Realty Income Corp. (m) | 30,534 | ||||||
100 | Simon Property Group, Inc. (m) | 18,211 | ||||||
2,100 | Spirit Realty Capital, Inc. (m) | 24,969 | ||||||
1,668 | Time Warner, Inc. | 142,481 | ||||||
755 | United Technologies Corp. | 86,825 | ||||||
818 | Verizon Communications, Inc. | 38,266 | ||||||
300 | Vornado Realty Trust (m) | 35,313 | ||||||
470 | Weingarten Realty Investors (m) | 16,412 | ||||||
2,290 | Wells Fargo & Co. | 125,538 | ||||||
|
| |||||||
2,983,586 | ||||||||
|
| |||||||
Total Common Stocks | 8,097,425 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
| Corporate Bonds — 27.5% | |||||||
Bermuda — 0.4% |
| |||||||
65,000 | Aircastle Ltd., 6.750%, 04/15/17 | 69,387 | ||||||
|
| |||||||
Canada — 0.3% |
| |||||||
16,000 | Catamaran Corp., 4.750%, 03/15/21 | 16,000 | ||||||
55,000 | Precision Drilling Corp., 6.625%, 11/15/20 | 49,500 | ||||||
|
| |||||||
65,500 | ||||||||
|
| |||||||
Finland — 0.2% |
| |||||||
27,000 | Nokia OYJ, 6.625%, 05/15/39 | 29,835 | ||||||
|
| |||||||
Liberia — 0.1% |
| |||||||
27,000 | Royal Caribbean Cruises Ltd., 5.250%, 11/15/22 | 28,350 | ||||||
|
| |||||||
Luxembourg — 1.0% |
| |||||||
ArcelorMittal, | ||||||||
82,000 | 6.750%, 02/25/22 | 87,535 | ||||||
27,000 | 10.350%, 06/01/19 | 32,602 | ||||||
82,000 | Intelsat Jackson Holdings S.A., 7.250%, 10/15/20 | 86,613 | ||||||
|
| |||||||
206,750 | ||||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
27,000 | Flextronics International Ltd., 4.625%, 02/15/20 | 27,335 | ||||||
|
| |||||||
United Kingdom — 0.6% |
| |||||||
109,000 | Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | 118,636 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued | |||||||
United States — 24.8% |
| |||||||
82,000 | Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 07/15/22 | 87,125 | ||||||
34,000 | ADT Corp. (The), 4.125%, 06/15/23 | 30,770 | ||||||
82,000 | AES Corp., 7.375%, 07/01/21 | 92,660 | ||||||
Alcoa, Inc., | ||||||||
55,000 | 5.125%, 10/01/24 | 58,287 | ||||||
27,000 | 5.400%, 04/15/21 | 29,242 | ||||||
38,000 | 5.900%, 02/01/27 | 41,388 | ||||||
38,000 | Alliant Techsystems, Inc., 6.875%, 09/15/20 | 40,470 | ||||||
80,000 | Allstate Corp. (The), VAR, 5.750%, 08/15/53 | 84,300 | ||||||
109,000 | Ally Financial, Inc., 7.500%, 09/15/20 | 127,802 | ||||||
55,000 | AMC Networks, Inc., 4.750%, 12/15/22 | 53,350 | ||||||
27,000 | American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 28,620 | ||||||
82,000 | AmeriGas Finance LLC/AmeriGas Finance Corp., 7.000%, 05/20/22 | 84,870 | ||||||
38,000 | Ball Corp., 4.000%, 11/15/23 | 36,670 | ||||||
82,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 6.625%, 01/31/22 | 87,125 | ||||||
38,000 | Celanese US Holdings LLC, 4.625%, 11/15/22 | 37,620 | ||||||
82,000 | CenturyLink, Inc., 5.800%, 03/15/22 | 85,075 | ||||||
Chesapeake Energy Corp., | ||||||||
55,000 | 6.125%, 02/15/21 | 57,750 | ||||||
55,000 | 6.625%, 08/15/20 | 58,437 | ||||||
27,000 | Choice Hotels International, Inc., 5.750%, 07/01/22 | 28,957 | ||||||
27,000 | CHS/Community Health Systems, Inc., 5.125%, 08/15/18 | 27,945 | ||||||
55,000 | Cinemark USA, Inc., 5.125%, 12/15/22 | 53,762 | ||||||
109,000 | CIT Group, Inc., 5.375%, 05/15/20 | 115,202 | ||||||
27,000 | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/22 | 27,810 | ||||||
27,000 | Clearwater Paper Corp., 4.500%, 02/01/23 | 26,325 | ||||||
27,000 | Commercial Metals Co., 4.875%, 05/15/23 | 25,785 | ||||||
82,000 | Concho Resources, Inc., 5.500%, 04/01/23 | 82,385 | ||||||
109,000 | Constellation Brands, Inc., 6.000%, 05/01/22 | 120,445 | ||||||
82,000 | Covanta Holding Corp., 6.375%, 10/01/22 | 86,920 | ||||||
38,000 | Crown Americas LLC/Crown Americas Capital Corp. IV, 4.500%, 01/15/23 | 36,860 | ||||||
27,000 | Crown Castle International Corp., 5.250%, 01/15/23 | 27,540 | ||||||
27,000 | CSC Holdings LLC, 6.750%, 11/15/21 | 29,835 | ||||||
27,000 | CST Brands, Inc., 5.000%, 05/01/23 | 27,270 | ||||||
27,000 | D.R. Horton, Inc., 4.375%, 09/15/22 | 26,460 | ||||||
98,000 | DISH DBS Corp., 6.750%, 06/01/21 | 105,350 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
27,000 | DuPont Fabros Technology LP, 5.875%, 09/15/21 | 27,506 | ||||||
27,000 | E*TRADE Financial Corp., 5.375%, 11/15/22 | 27,607 | ||||||
109,000 | Energy Transfer Equity LP, 5.875%, 01/15/24 | 110,635 | ||||||
55,000 | Equinix, Inc., 4.875%, 04/01/20 | 54,725 | ||||||
38,000 | Felcor Lodging LP, 6.750%, 06/01/19 | 39,471 | ||||||
27,000 | Frontier Communications Corp., 8.500%, 04/15/20 | 30,105 | ||||||
109,000 | FTI Consulting, Inc., 6.750%, 10/01/20 | 114,177 | ||||||
55,000 | Gannett Co., Inc., 5.125%, 07/15/20 | 56,100 | ||||||
General Motors Co., | ||||||||
55,000 | 3.500%, 10/02/18 | 56,100 | ||||||
55,000 | 4.875%, 10/02/23 | 58,850 | ||||||
27,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 05/15/22 | 29,160 | ||||||
HCA, Inc., | ||||||||
44,000 | 5.875%, 03/15/22 | 48,180 | ||||||
44,000 | 6.500%, 02/15/20 | 49,302 | ||||||
27,000 | Hertz Corp. (The), 6.750%, 04/15/19 | 27,810 | ||||||
38,000 | Hologic, Inc., 6.250%, 08/01/20 | 39,520 | ||||||
27,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.000%, 08/01/20 | 27,815 | ||||||
109,000 | International Lease Finance Corp., 8.250%, 12/15/20 | 131,345 | ||||||
55,000 | Jarden Corp., 7.500%, 05/01/17 | 60,225 | ||||||
98,000 | L Brands, Inc., 5.625%, 10/15/23 | 105,840 | ||||||
55,000 | Lamar Media Corp., 5.875%, 02/01/22 | 57,063 | ||||||
27,000 | Lennar Corp., 12.250%, 06/01/17 | 32,130 | ||||||
55,000 | Level 3 Financing, Inc., 8.125%, 07/01/19 | 58,438 | ||||||
27,000 | LifePoint Hospitals, Inc., 5.500%, 12/01/21 | 27,608 | ||||||
82,000 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 5.500%, 02/15/23 | 83,025 | ||||||
11,000 | Meritage Homes Corp., 7.000%, 04/01/22 | 11,660 | ||||||
27,000 | MGM Resorts International, 6.750%, 10/01/20 | 28,350 | ||||||
27,000 | NCR Corp., 5.000%, 07/15/22 | 26,325 | ||||||
109,000 | Newfield Exploration Co., 5.625%, 07/01/24 | 107,842 | ||||||
27,000 | Nielsen Finance LLC/Nielsen Finance Co., 4.500%, 10/01/20 | 27,135 | ||||||
80,000 | NRG Energy, Inc., 8.250%, 09/01/20 | 85,400 | ||||||
80,000 | Prudential Financial, Inc., VAR, 5.625%, 06/15/43 | 81,784 | ||||||
38,000 | PVH Corp., 4.500%, 12/15/22 | 37,525 | ||||||
109,000 | QEP Resources, Inc., 6.875%, 03/01/21 | 111,725 | ||||||
38,000 | R.R. Donnelley & Sons Co., 7.625%, 06/15/20 | 41,705 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — continued | |||||||
United States — continued |
| |||||||
55,000 | Range Resources Corp., 6.750%, 08/01/20 | 57,200 | ||||||
55,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 03/01/22 | 54,863 | ||||||
38,000 | Sally Holdings LLC/Sally Capital, Inc., 5.750%, 06/01/22 | 39,805 | ||||||
55,000 | Service Corp. International, 5.375%, 05/15/24 | 56,100 | ||||||
38,000 | SESI LLC, 7.125%, 12/15/21 | 36,480 | ||||||
98,000 | Sprint Communications, Inc., 6.000%, 11/15/22 | 90,160 | ||||||
Steel Dynamics, Inc., | ||||||||
38,000 | 5.250%, 04/15/23 | 38,570 | ||||||
27,000 | 6.375%, 08/15/22 | 28,620 | ||||||
27,000 | 7.625%, 03/15/20 | 28,148 | ||||||
27,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 05/01/23 | 26,055 | ||||||
Tenet Healthcare Corp., | ||||||||
55,000 | 4.500%, 04/01/21 | 55,137 | ||||||
38,000 | 6.000%, 10/01/20 | 40,806 | ||||||
109,000 | T-Mobile USA, Inc., 6.375%, 03/01/25 | 110,744 | ||||||
55,000 | Toll Brothers Finance Corp., 5.875%, 02/15/22 | 58,713 | ||||||
55,000 | United Rentals North America, Inc., 6.125%, 06/15/23 | 57,750 | ||||||
27,000 | United States Steel Corp., 7.500%, 03/15/22 | 28,215 | ||||||
27,000 | VeriSign, Inc., 4.625%, 05/01/23 | 26,460 | ||||||
50,000 | Voya Financial, Inc., VAR, 5.650%, 05/15/53 | 49,500 | ||||||
55,000 | Vulcan Materials Co., 7.500%, 06/15/21 | 64,075 | ||||||
27,000 | Windstream Corp., 7.875%, 11/01/17 | 29,228 | ||||||
38,000 | WPX Energy, Inc., 6.000%, 01/15/22 | 36,575 | ||||||
44,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.375%, 03/15/22 | 44,660 | ||||||
|
| |||||||
4,940,464 | ||||||||
|
| |||||||
Total Corporate Bonds | 5,486,257 | |||||||
|
| |||||||
SHARES | ||||||||
| Investment Companies — 13.0% | |||||||
196,246 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares (b) (m) | 1,585,666 | ||||||
70,310 | JPMorgan Equity Income Fund, Class R6 Shares (b) (m) | 1,002,614 | ||||||
|
| |||||||
Total Investment Companies | 2,588,280 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Preferred Securities — 5.4% (x) | |||||||
United States — 5.4% |
| |||||||
Bank of America Corp., | ||||||||
70,000 | VAR, 5.125%, 06/17/19 | 67,506 | ||||||
90,000 | VAR, 6.500%, 10/23/24 | 91,611 | ||||||
100,000 | Bank of New York Mellon Corp. (The), Series D, VAR, 4.500%, 06/20/23 | 92,188 | ||||||
Citigroup, Inc., | ||||||||
70,000 | VAR, 5.800%, 11/15/19 | 70,000 | ||||||
85,000 | Series M, VAR, 6.300%, 05/15/24 | 83,725 | ||||||
100,000 | Fifth Third Bancorp, VAR, 5.100%, 06/30/23 | 92,625 | ||||||
100,000 | General Electric Capital Corp., VAR, 5.250%, 06/15/23 | 100,094 | ||||||
100,000 | Goldman Sachs Group, Inc. (The), VAR, 5.700%, 05/10/19 | 101,150 | ||||||
100,000 | Morgan Stanley, VAR, 5.450%, 07/15/19 | 100,180 | ||||||
100,000 | PNC Financial Services Group, Inc. (The), Series R, VAR, 4.850%, 06/01/23 | 94,383 | ||||||
50,000 | SunTrust Banks, Inc., VAR, 5.625%, 12/15/19 | 50,250 | ||||||
Wells Fargo & Co., | ||||||||
140,000 | VAR, 5.900%, 06/15/24 | 141,050 | ||||||
|
| |||||||
Total Preferred Securities | 1,084,762 | |||||||
|
| |||||||
SHARES | ||||||||
| Preferred Stock — 0.6% |
| ||||||
United States — 0.6% |
| |||||||
5,000 | BB&T Corp., 5.200%, 06/01/18 ($25 par value) @ | 114,800 | ||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) | |||||||
Spain — 0.0% (g) |
| |||||||
2,803 | Repsol S.A., expiring 01/08/15 (a) | 1,550 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 5.4% | |||||||
Investment Company — 5.4% |
| |||||||
1,079,233 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.020% (b) (l) (m) | 1,079,233 | ||||||
|
| |||||||
Total Investments — 97.7% | 19,487,195 | |||||||
Other Assets in Excess of | 468,839 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 19,956,034 | ||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, December 31, 2014
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Investment Companies | 13.3 | % | ||
Banks | 8.9 | |||
Real Estate Investment Trusts (REITs) | 7.8 | |||
Oil, Gas & Consumable Fuels | 7.5 | |||
Non-Agency CMO | 4.1 | |||
Pharmaceuticals | 3.8 | |||
Insurance | 3.7 | |||
Diversified Telecommunication Services | 3.5 | |||
Media | 3.4 | |||
Metals & Mining | 2.3 | |||
Capital Markets | 2.2 | |||
Wireless Telecommunication Services | 2.2 | |||
Automobiles | 1.9 | |||
Trading Companies & Distributors | 1.6 | |||
Household Durables | 1.6 | |||
Specialty Retail | 1.5 | |||
Health Care Providers & Services | 1.4 | |||
Diversified Financial Services | 1.3 | |||
Asset-Backed Securities | 1.2 | |||
Semiconductors & Semiconductor Equipment | 1.1 | |||
Multi-Utilities | 1.1 | |||
Tobacco | 1.1 | |||
Hotels, Restaurants & Leisure | 1.1 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Aerospace & Defense | 1.0 | |||
Software | 1.0 | |||
Others (each less than 1.0%) | 13.9 | |||
Short-Term Investment | 5.5 |
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
1 | Dow Jones Euro STOXX 50 Index | 03/20/15 | $ | 37,911 | $ | (572 | ) | |||||||||
1 | E-mini S&P 500 | 03/20/15 | 102,620 | (1,307 | ) | |||||||||||
6 | U.S. Long Bond | 03/20/15 | 867,375 | 831 | ||||||||||||
Short Futures Outstanding | ||||||||||||||||
(7 | ) | Euro FX | 03/16/15 | (1,059,362 | ) | 24,355 | ||||||||||
(24 | ) | 5 Year U.S. Treasury Note | 03/31/15 | (2,854,313 | ) | 521 | ||||||||||
|
| |||||||||||||||
$ | 23,828 | |||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
ADR | — American Depositary Receipt | |
CMO | — Collateralized Mortgage Obligation | |
REIT | — Real Estate Investment Trust | |
VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of December 31, 2014. | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
(g) | — Amount rounds to less than 0.1%. | |
(l) | — The rate shown is the current yield as of December 31, 2014. | |
(m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
(x) | — Securities are perpetual and thus, do not have a predetermined maturity date. The coupon rates for these securities are fixed for a period of time and may be structured to adjust thereafter. The dates shown, if applicable, reflects the next call date. The coupon rates shown are the rates in effect as of December 31, 2014. | |
@ | — The date shown reflects the next call date on which the issuer may redeem the security. The coupon rate for this security is currently in effect as of December 31, 2014. |
The value and percentage, based on total investments, of the investments that apply the fair valuation policy for the international investments as described in Note 2.A. of the Notes to Financial Statements is $4,836,324 and 24.8%, respectively.
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 certified portfolio holdings filed quarterly on Form N-Q, 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.
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
Income Builder | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 15,819,682 | ||
Investments in affiliates, at value | 3,667,513 | |||
|
| |||
Total investment securities, at value | 19,487,195 | |||
Cash | 399,000 | |||
Foreign currency, at value | 9,891 | |||
Deposits at broker for futures contracts | 70,000 | |||
Receivables: | ||||
Interest and dividends from non-affiliates | 110,733 | |||
Dividends from affiliates | 79 | |||
Tax reclaims | 20 | |||
Variation margin on futures contracts | 62 | |||
Due from Adviser | 81,973 | |||
Deferred offering costs | 25,299 | |||
|
| |||
Total Assets | 20,184,252 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 110,759 | |||
Accrued liabilities: | ||||
Distribution fees | 2,985 | |||
Custodian and accounting fees | 3,510 | |||
Trustees’ and Chief Compliance Officer’s fees | 11 | |||
Audit fees | 78,202 | |||
Offering Cost | 27,000 | |||
Other | 5,751 | |||
|
| |||
Total Liabilities | 228,218 | |||
|
| |||
Net Assets | $ | 19,956,034 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 20,061,025 | ||
Accumulated undistributed (distributions in excess of) net investment income | (1,460 | ) | ||
Accumulated net realized gains (losses) | 14,825 | |||
Net unrealized appreciation (depreciation) | (118,356 | ) | ||
|
| |||
Total Net Assets | $ | 19,956,034 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 99,795 | ||
Class 2 | 19,856,239 | |||
|
| |||
Total | $ | 19,956,034 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 10,033 | |||
Class 2 | 1,996,400 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 9.95 | ||
Class 2 | 9.95 | |||
|
| |||
Cost of investments in non-affiliates | $ | 15,905,526 | ||
Cost of investments in affiliates | 3,723,906 | |||
Cost of foreign currency | 9,849 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2014
Income Builder | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 22,109 | ||
Dividend income from affiliates | 25,717 | |||
Interest income from non-affiliates | 16,208 | |||
Foreign taxes withheld | (807 | ) | ||
|
| |||
Total investment income | 63,227 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 5,400 | |||
Administration fees | 984 | |||
Distribution fees – Class 2 | 2,985 | |||
Custodian and accounting fees | 3,510 | |||
Professional fees | 78,220 | |||
Trustees’ and Chief Compliance Officer’s fees | 11 | |||
Printing and mailing costs | 5,041 | |||
Transfer agent fees | 240 | |||
Offering costs | 1,701 | |||
Other | 452 | |||
|
| |||
Total expenses | 98,544 | |||
|
| |||
Less fees waived | (6,384 | ) | ||
Less expense reimbursements | (81,973 | ) | ||
|
| |||
Net expenses | 10,187 | |||
|
| |||
Net investment income (loss) | 53,040 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 108 | |||
Futures | 935 | |||
Foreign currency transactions | 1,273 | |||
|
| |||
Net realized gains (losses) | 2,316 | |||
|
| |||
Distributions of capital gains received from investment company affiliates | 19,034 | |||
|
| |||
Change in net unrealized appreciation/depreciation of: | ||||
Investments in non-affiliates | (85,844 | ) | ||
Investments in affiliates | (56,393 | ) | ||
Futures | 23,828 | |||
Foreign currency translations | 53 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (118,356 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (97,006 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (43,966 | ) | |
|
|
(a) | Commencement of operations was December 9, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD INDICATED
Income Builder Portfolio | ||||
Period Ended December 31, 2014 (a) | ||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 53,040 | ||
Net realized gain (loss) | 2,316 | |||
Distributions of capital gains received from investment company affiliates | 19,034 | |||
Change in net unrealized appreciation/depreciation | (118,356 | ) | ||
|
| |||
Change in net assets resulting from operations | (43,966 | ) | ||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class 1 | ||||
From net investment income | (330 | ) | ||
Class 2 | ||||
From net investment income | (63,680 | ) | ||
|
| |||
Total distributions to shareholders | (64,010 | ) | ||
|
| |||
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 20,064,010 | |||
|
| |||
NET ASSETS: | ||||
Change in net assets | 19,956,034 | |||
Beginning of period | — | |||
|
| |||
End of period | $ | 19,956,034 | ||
|
| |||
Accumulated undistributed (distributed in excess of) net investment income | $ | (1,460 | ) | |
|
| |||
CAPITAL TRANSACTIONS: | ||||
Class 1 | ||||
Proceeds from shares issued | $ | 100,000 | ||
Distributions reinvested | 330 | |||
|
| |||
Change in net assets resulting from Class 1 capital transactions | $ | 100,330 | ||
|
| |||
Class 2 | ||||
Proceeds from shares issued | $ | 19,900,000 | ||
Distributions reinvested | 63,680 | |||
|
| |||
Change in net assets resulting from Class 2 capital transactions | $ | 19,963,680 | ||
|
| |||
Total change in net assets resulting from capital transactions | $ | 20,064,010 | ||
|
| |||
SHARE TRANSACTIONS: | ||||
Class 1 | ||||
Issued | 10,000 | |||
Reinvested | 33 | |||
|
| |||
Change in Class 1 Shares | 10,033 | |||
|
| |||
Class 2 | ||||
Issued | 1,990,000 | |||
Reinvested | 6,400 | |||
|
| |||
Change in Class 2 Shares | 1,996,400 | |||
|
|
(a) | Commencement of operations was December 9, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net asset value, end of period | |||||||||||||||||||
Income Builder Portfolio | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
December 9, 2014 (i) through December 31, 2014 | $ | 10.00 | $ | 0.03 | $ | (0.05 | ) | $ | (0.02 | ) | $ | (0.03 | ) | $ | 9.95 | |||||||||
Class 2 | ||||||||||||||||||||||||
December 9, 2014 (i) through December 31, 2014 | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | (0.03 | ) | 9.95 |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period ended December 31, 2014. |
(h) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(i) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
Ratios/Supplemental data |
| |||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||
Total return (c)(d) | Net assets, end of period | Net expenses (e)(f)(g) | Net investment income (loss) (b)(g) | without waivers, reimbursements and earnings credits (f)(g) | Portfolio turnover rate (c)(h) | |||||||||||||||||
(0.17 | )% | $ | 99,795 | 0.60 | % | 4.67 | % | 7.83 | % | 1 | % | |||||||||||
(0.18 | ) | 19,856,239 | 0.85 | 4.42 | 8.08 | 1 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Income Builder Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize income while maintaining prospects for capital appreciation.
The Portfolio commenced operations on December 9, 2014.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from 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 Portfolio are calculated on a valuation date. Certain foreign equity instruments shall be 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 (the “Underlying Funds”) are valued at each investment company’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by the Portfolio at December 31, 2014.
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 Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2— Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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 | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | — | $ | 239,879 | $ | 239,879 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Non-Agency CMO | — | 795,009 | — | 795,009 | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | — | 370,856 | — | 370,856 | ||||||||||||
Belgium | — | 59,294 | — | 59,294 | ||||||||||||
Canada | 179,113 | — | — | 179,113 | ||||||||||||
China | — | 115,263 | — | 115,263 | ||||||||||||
Denmark | — | 73,877 | — | 73,877 | ||||||||||||
Finland | 11,409 | 148,265 | — | 159,674 | ||||||||||||
France | 7,692 | 431,664 | — | 439,356 | ||||||||||||
Germany | — | 365,507 | — | 365,507 | ||||||||||||
Hong Kong | 25,043 | 72,676 | — | 97,719 | ||||||||||||
Ireland | 71,537 | — | — | 71,537 | ||||||||||||
Italy | — | 160,066 | — | 160,066 | ||||||||||||
Japan | — | 584,371 | — | 584,371 | ||||||||||||
Luxembourg | 5,933 | — | — | 5,933 | ||||||||||||
Netherlands | — | 247,781 | — | 247,781 | ||||||||||||
Norway | — | 27,711 | — | 27,711 | ||||||||||||
Portugal | — | 7,903 | — | 7,903 | ||||||||||||
Russia | — | 21,307 | — | 21,307 | ||||||||||||
Singapore | — | 106,784 | — | 106,784 | ||||||||||||
South Africa | — | 45,379 | — | 45,379 | ||||||||||||
South Korea | 28,414 | — | — | 28,414 | ||||||||||||
Spain | — | 135,173 | — | 135,173 | ||||||||||||
Sweden | — | 186,327 | — | 186,327 | ||||||||||||
Switzerland | 8,664 | 465,152 | — | 473,816 | ||||||||||||
Taiwan | — | 92,726 | — | 92,726 | ||||||||||||
United Kingdom | 17,790 | 1,040,162 | — | 1,057,952 | ||||||||||||
United States | 2,983,586 | — | — | 2,983,586 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 3,339,181 | 4,758,244 | — | 8,097,425 | ||||||||||||
|
|
|
|
|
|
|
|
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Corporate Bonds | ||||||||||||||||
Bermuda | $ | — | $ | 69,387 | $ | — | $ | 69,387 | ||||||||
Canada | — | 65,500 | — | 65,500 | ||||||||||||
Finland | — | 29,835 | — | 29,835 | ||||||||||||
Liberia | — | 28,350 | — | 28,350 | ||||||||||||
Luxembourg | — | 206,750 | — | 206,750 | ||||||||||||
Singapore | — | 27,335 | — | 27,335 | ||||||||||||
United Kingdom | — | 118,636 | — | 118,636 | ||||||||||||
United States | — | 4,940,464 | — | 4,940,464 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 5,486,257 | — | 5,486,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 2,588,280 | — | — | 2,588,280 | ||||||||||||
Preferred Securities | ||||||||||||||||
United States | — | 1,084,762 | — | 1,084,762 | ||||||||||||
Preferred Stock | ||||||||||||||||
United States | 114,800 | — | — | 114,800 | ||||||||||||
Right | ||||||||||||||||
Spain | 1,550 | — | — | 1,550 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 1,079,233 | — | — | 1,079,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 7,123,044 | $ | 12,124,272 | $ | 239,879 | $ | 19,487,195 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 25,707 | $ | — | $ | — | $ | 25,707 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (1,879 | ) | $ | — | $ | — | $ | (1,879 | ) | ||||||
|
|
|
|
|
|
|
|
There were no transfers between Levels 1 and 2 during the period ended December 31, 2014.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
Balance as 2014* | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases¹ | Sales² | Balance as 2014 | ||||||||||||||||||||||
Investments in Securities |
| |||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 541 | $ | 24 | $ | 239,314 | $ | — | $ | 239,879 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Commencement of operations. |
(1) | Purchases include all purchases of securities and securities received in corporate actions. |
(2) | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The change in unrealized appreciation (depreciation) attributable to securities owned at December 31, 2014, which were valued using significant unobservable inputs (Level 3) amounted to $541. This amount is included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements
Fair Value at December 31, 2014 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||||||||
$ | 239,879 | Discounted Cash Flow | Constant Prepayment Rate Constant Default Rate Yield (Discount Rate of Cash Flows) |
| 0.00% - 10.00% (3.12%) 3.00% - 9.00% (5.99%) 3.95% - 6.85% (4.75%) |
| ||||||||||||
|
|
|
|
| ||||||||||||||
Asset-Backed Securities | 239,879 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total | $ | 239,879 |
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Investment Transactions with Affiliates — The Portfolio invests in Underlying Funds which are advised by J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”) or its affiliates pursuant to Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the following to be affiliated issuers. Included in the Realized Gain (Loss) amounts in the table below are distributions of realized capital gains, if any, received from the Underlying Funds:
For the period ended December 31, 2014 | ||||||||||||||||||||||||||||
Affiliate | Value at December 9, 2014* | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at December 31, 2014 | Value at December 31, 2014 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | $ | — | $ | 1,620,533 | $ | — | $ | — | $ | 20,533 | 196,246 | $ | 1,585,666 | |||||||||||||||
JPMorgan Equity Income Fund, Class R6 Shares | — | 1,024,140 | — | 19,034 | 5,105 | 70,310 | 1,002,614 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares | — | 19,941,408 | 18,862,175 | — | 79 | 1,079,233 | 1,079,233 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | — | $ | 19,034 | $ | 25,717 | $ | 3,667,513 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
C. Futures Contracts — The Portfolio uses index, currency, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to particular countries or regions. The Portfolio also uses futures contracts to lengthen or shorten the duration of the overall investment portfolio.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation in the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Portfolio to interest rate and equity price risks. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Portfolio’s futures contracts activity during the period ended December 31, 2014:
Futures Contracts: | ||||
Equity | ||||
Average Notional Balance Long | $ | 140,531 | ||
Ending Notional Balance Long | 140,531 | |||
Foreign Exchange | ||||
Average Notional Balance Short | 1,059,362 | |||
Ending Notional Balance Short | 1,059,362 | |||
Interest | ||||
Average Notional Balance Long | 867,375 | |||
Average Notional Balance Short | 2,854,313 | |||
Ending Notional Balance Long | 867,375 | |||
Ending Notional Balance Short | 2,854,313 |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 21 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
D. Summary of Derivatives Information — The following tables present the value of derivatives held as of December 31, 2014, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities:
Derivative Contract | Statement of Assets and Liabilities Location | |||||
Gross Assets: | Futures Contracts (a) | |||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 1,352 | |||
Foreign exchange contracts | Receivables, Net Assets — Unrealized Appreciation | 24,355 | ||||
|
| |||||
Total | $ | 25,707 | ||||
|
| |||||
Gross Liabilities: | ||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | $ | (1,879 | ) | ||
|
| |||||
Total | $ | (1,879 | ) | |||
|
|
(a) | This amount reflects the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflects the current day variation margin receivable/payable to brokers. |
The following tables present the effect of derivatives on the Statement of Operations for the period ended December 31, 2014, by primary underlying risk exposure:
Amount of Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | ||||
Derivative Contract: | Futures Contracts | |||
Equity contracts | $ | 935 | ||
|
| |||
Total | $ | 935 | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | ||||
Derivative Contract: | Futures Contracts | |||
Interest rate contracts | $ | 1,352 | ||
Foreign exchange | 24,355 | |||
Equity contracts | (1,879 | ) | ||
|
| |||
Total | $ | 23,828 | ||
|
|
E. Foreign Currency Translation — The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held. Accordingly, such foreign currency gains (losses) are included in the reported Change in net unrealized appreciation/depreciation on investment transactions on the Statement of Operations. The Portfolio does isolate the effect of changes in foreign exchange rates from fluctuations in market prices of securities when determining realized gain or loss for sale of fixed income securities.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
F. Offering and Organizational Costs — Total offering costs of $27,000 incurred in connection with the offering of shares of the Portfolio are amortized on a straight line basis over 12 months from the date the Portfolio commenced operations. Costs incurred in connection with the organization of the Portfolio, if any, were recorded as an expense at the time the Portfolio commenced operations and are included as part of Professional fees on the Statement of Operations.
G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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H. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
The Portfolio invests in Underlying Funds and, as a result, bears a portion of the expenses incurred by these Underlying Funds. These expenses are not reflected in the expenses shown on the Statement of Operations and are not included in the ratios to average net assets shown in the Financial Highlights. Certain expenses of Underlying Funds are waived as described in Note 3.E.
I. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.
J. Foreign Taxes — The Portfolio may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Portfolio will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
K. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated Undistributed (Distributions in Net Investment Income | Accumulated Net Realized Gains (Losses) | ||||||||||
$ | (2,985 | ) | $ | 9,510 | $ | (6,525 | ) |
The reclassifications for the Portfolio relate primarily to redesignation of distributions.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.45%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the period ended December 31, 2014, the effective annualized rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 23 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the Distributor, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates in the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser, Administrator (for all share classes) and Distributor (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.60 | % | 0.85 | % |
The expense limitation agreement was in effect for the period ended December 31, 2014. The contractual expense limitation percentages in the table above are in place until at least April 30, 2016.
For the period ended December, 2014, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Total | Contractual Reimbursements | |||||||||||||
$ | 5,400 | $ | 984 | $ | 6,384 | $ | 81,973 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
There were no waivers resulting from investments in these money market funds for the period ended December 31, 2014.
The Underlying Funds may impose a separate advisory fee. The Portfolio’s Adviser has agreed to waive the Portfolio’s advisory fee in the weighted average pro-rata amount of the advisory fee charged by the affiliated Underlying Funds. These waivers will be in addition to any waivers required to meet the Portfolio’s contractual expense limitations, but will not exceed the Portfolio’s advisory fee.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the period ended December 31, 2014, the Portfolio may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the period ended December 31, 2014, the Portfolio incurred $3 in brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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4. Investment Transactions
During the period ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 18,704,083 | $ | 152,169 |
During the period ended December 31, 2014, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 19,631,693 | $ | 119,188 | $ | 263,686 | $ | (144,498 | ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to mark to market of passive foreign investment companies (“PFICs”).
The tax character of distributions paid during the period ended December 31, 2014 was as follows:
Ordinary Income | Total Distributions Paid* | |||||
$64,010 | $ | 64,010 |
* | Commencement of operations was December 9, 2014. |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 4,907 | $ | 33,899 | $ | (144,445 | ) |
The cumulative timing differences primarily consist of mark to market of future contracts.
As of December 31, 2014, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the period then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio’s shares are currently held by the Adviser.
The Portfolio is subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 25 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The Portfolio is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Portfolio could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Portfolio invests in floating rate debt securities. Although these securities are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
Investing in securities of foreign countries may include certain risks and considerations not typically associated with investing in U.S. securities. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and currencies, and future and adverse political, social and economic developments.
As of December 31, 2014, the Portfolio invested approximately 70.9% of its total investments in the United States.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Portfolio’s original investment. Many derivatives create leverage thereby causing the Portfolio to be more volatile than it would have been if it had not used derivatives. Derivatives also expose the Portfolio to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
Because of the Portfolio’s investments in the Underlying Funds, the Portfolio indirectly pays a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Portfolio may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Portfolio is also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities; and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities.
Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust Income Builder Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust Income Builder Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, and the results of its operations, the changes in its net assets and the financial highlights for the period December 9, 2014 (commencement of operations) through December 31, 2014, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 25, 2015
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 27 |
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(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 29 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, December 9, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value | Ending Account Value December 31, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Income Builder Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 998.30 | $ | 0.36 | 0.60 | % | ||||||||
Hypothetical** | 1,000.00 | 1,022.18 | 3.06 | 0.60 | ||||||||||||
Class 2 | ||||||||||||||||
Actual* | 1,000.00 | 998.20 | 0.51 | 0.85 | ||||||||||||
Hypothetical** | 1,000.00 | 1,020.92 | 4.33 | 0.85 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Commencement of operations was on December 9, 2014. |
** | Expenses are equal to each Class' respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 22/365 (to reflect the actual year period). |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 31 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering approvals of initial advisory agreements for new funds. At their August 2014 in-person meeting, the Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the initial advisory agreement or any of their affiliates (“Independent Trustees”), approved the initial investment advisory agreement (the “New Advisory Agreement”) for the Portfolio whose annual report is contained herein.
In connection with the approval of the New Advisory Agreement, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed New Advisory Agreement, the Trustees reviewed the New Advisory Agreement with representatives of the Adviser and with counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed agreement. The Trustees also discussed the proposed agreement in an executive session with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by Trustees in determining whether to approve the New Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio and the approval of the New Advisory Agreement. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees determined that the proposed compensation to be received by the Adviser from the Portfolio under the New Advisory Agreement was fair and reasonable and that the initial approval of the New Advisory Agreement was in the best interests of the Portfolio and its potential shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
In connection with the approval of the New Advisory Agreement, the Trustees considered the materials furnished specifically in connection with the approval of the New Advisory Agreement, as well as other relevant information furnished throughout the year for the J.P. Morgan Funds complex and the
Trustees’ experience with the Adviser and its services. The Trustees considered the background and experience of the Adviser’s senior management and investment personnel, as well as the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio. The Trustees also considered the investment strategy and investment process for the Portfolio, and the infrastructure supporting the portfolio management team. In addition, the Trustees considered information about the structure and distribution strategy of the Portfolio, how it fits within the J.P. Morgan Funds lineup, and how it will be positioned against identified peers.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the J.P. Morgan Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the J.P. Morgan Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the J.P. Morgan Funds.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services to be provided to the Portfolio by the Adviser.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the J.P. Morgan Funds. The Trustees also considered the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser, will earn fees from the Portfolio for providing administrative services. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services. The Trustees also considered that any fall-out benefits would be comparable to those related to the other actively managed funds in the complex and were consistent with the process of approving advisory agreements for new funds.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Investment Performance
The Trustees considered the Portfolio’s investment strategy and process, portfolio management team and competitive positioning against identified peer funds, and concluded that the prospects for competitive future performance were acceptable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate that will be paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other projected expenses and the expense ratios for the Portfolio. The Trustees considered the projected fee waiver and/or expense reimbursement arrangements proposed for the Portfolio and considered the net advisory fee rate after taking into account any projected waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
The Trustees noted that the Portfolio’s estimated net advisory fees and total expenses, which were considered on a class-by-class basis, were in line with identified peer funds. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 33 |
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(Unaudited)
Dividends Received Deductions (DRD)
The Portfolio had 7.77% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended December 31, 2014.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITIBP-1214 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2014
JPMorgan Insurance Trust Global Allocation Portfolio
NOT FDIC INSURED Ÿ NO BANK GUARANTEE Ÿ MAY LOSE VALUE
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Investments in the Portfolio are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
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JANUARY 11, 2015 (Unaudited)
Dear Shareholder,
While the first half of 2014 was generally marked by slow but steady global growth and low volatility in financial markets, the second half displayed a growing divergence between the U.S. economy and the world’s other leading economies. Throughout the twelve months ended December 31, 2014, the global markets were generally supported by accommodative growth policies from major central banks.
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“Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns.” |
However, as the economic recovery took hold and began to accelerate in the U.S., the Federal Reserve moved toward a more normalized monetary policy, both by ending its quantitative easing program of monthly bond purchases and by indicating that it may raise interest rates in mid 2015. At the same time, the European Central Bank (ECB) and the Bank of Japan took unprecedented steps to shore up flagging growth and stubbornly high unemployment.
The other key development in the latter half of 2014 was a precipitous drop in global petroleum prices. A supply glut driven by new production in the U.S. and increased output from other nations, along with decreasing demand from China, Europe and Japan led to a 50% drop in the price of crude oil between July and December. This had the effect of transferring billions in wealth from oil exporting nations to consumers in developed-market nations.
During 2014, the U.S. economy grew at a steady pace amid continued strength in corporate earnings, gains in employment and consumer spending and falling oil prices. Gross domestic product (GDP) in the U.S. climbed by 5.0% in the third quarter of 2014, and unemployment dropped to 5.6% in December, a level not seen since June 2008. Inflation in the U.S. remained subdued at less than 2.0% during the second half of 2014 amid falling oil prices and a notable absence in meaningful U.S. wage growth.
Against this backdrop, U.S. equity markets were among the best performing asset classes of 2014. The Standard & Poor’s 500 Index (“S&P 500”) posted 53 new closing highs during the year and May through June saw market volatility retreat to lows not consistently seen since 2007. While the latter part of 2014 included the return of market volatility and a sharp sell-off in mid-October, key U.S. equity indexes rebounded to record highs in the final months of 2014.
The S&P 500 broke through the 2,000-point closing level for the first time at the end of October and went on to post new closing highs in the final two weeks of December. Also in late December, the Dow Jones Industrial Average surpassed 18,000 points at closing for the first time amid news that third quarter GDP showed the fastest growth in 11 years. Meanwhile, U.S. Treasury securities turned in their best performance in three years as weaker global growth, increased market volatility and discreet geopolitical risks drove investors toward perceived safe-haven bonds.
Weak growth in the euro zone raised concerns about the potential for a destructive deflationary spiral. Even after the ECB had cut its deposit rate in June to negative 0.1% to encourage banks to extend lending, growth remained tepid and inflation was well below the ECB’s target of just below 2.0%. The inflation rate averaged 0.4% from July to October and then fell to 0.3% in November and was estimated at -0.2% for December. Unemployment across the euro zone remained stubbornly high at 11.5%.
Japan’s economy retreated into recession by the fourth quarter of 2014, which was partly attributed to an increase in the national consumption tax earlier in April. Responding to the crisis, the Bank of Japan surprised global markets on October 31 by unveiling plans to buy 8 trillion to 12 trillion yen ($71 billion to $107 billion) of Japanese government bonds per month, while also tripling its purchases of exchange-traded funds. The announcement drove Tokyo equity markets to seven-year highs. For the twelve months ended December 31, 2014, the MSCI Europe, Australasia and Far East Index returned -4.5%.
During 2014, China’s economy continued to grow but at a slower pace. At 7.4%, China’s annual GDP growth was the slowest in 24 years and below the government’s target of 7.5%. The weaker GDP growth was partly attributed to a slowdown in the property sector. However, Chinese equity securities performed strongly over the twelve months ended December 31, 2014, amid expectations that policy makers may ease monetary policy to spur growth. Chinese equity markets received an additional boost when regulators increased foreign access to China’s financial markets by allowing Hong Kong investors to buy shares in Shanghai.
Russia’s economy, already straining under the imposition of Western economic sanctions following its annexation of Crimea, began sliding toward recession as prices plummeted for oil and natural gas, its biggest exports. In response, the Russian Central Bank spent heavily from its reserves and raised its key interest rate sharply in a largely unsuccessful effort to halt the ruble’s slide. For the twelve months ended December 31, 2014, the MSCI Emerging Markets Index returned -1.8%.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 1 |
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CEO’S LETTER
JANUARY 11, 2015 (Unaudited) (continued)
The relative strength of the U.S. economy drove gains in both domestic equity and bond markets during 2014. It also drove the U.S. dollar higher against most other currencies due to investor expectations that interest rates will rise in the U.S. earlier and more rapidly than elsewhere. Amid concerns about the pace of global growth, the return of market volatility and a divergence in policies among leading central banks, equity markets in the U.S., China and Japan provided investors with solid returns. The economic and financial market events of 2014 served to emphasize the prudence of holding a broadly diversified portfolio and a long-term outlook.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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JPMorgan Insurance Trust Global Allocation Portfolio
FOR THE PERIOD DECEMBER 9, 2014 (PORTFOLIO INCEPTION DATE) THROUGH DECEMBER 31, 2014 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | (0.25)% | |||
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes) | (0.01)% | |||
Global Allocation Composite Benchmark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 0.12% | |||
Net Assets as of 12/31/2014 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. | 19,953,206 |
INVESTMENT OBJECTIVE** AND STRATEGIES
The JPMorgan Insurance Trust Global Allocation Portfolio (the “Portfolio”) seeks to maximize long-term total return. The Portfolio invests in a broad range of equity, fixed income and alternative asset classes in the U.S. and other markets throughout the world, both developed and emerging. Ranges for the broad asset classes are: 10-90% global equity, 10-90% global fixed income, 0-60% alternatives and 0-80% cash and cash equivalents. The Portfolio generally invests at least 40% of total assets of the Portfolio in countries other than the United States. The Portfolio may use derivatives as substitutes for securities in which the Portfolio can invest. Investment insights are developed through top-down macro views combined with bottom-up views of
J.P. Morgan asset class specialists globally.
TOP TEN HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | JPMorgan High Yield Fund, Class R6 Shares | 12.2 | % | |||||
2. | Bundesrepublik Deutschland, (Germany), 3.500%, 07/04/19 | 7.1 | ||||||
3. | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 7.0 | ||||||
4. | U.S. Treasury Inflation Indexed Bond, 1.375%, 02/15/44 | 4.5 | ||||||
5. | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 3.5 | ||||||
6. | Bundesrepublik Deutschland, (Germany), 2.250%, 09/04/21 | 2.4 | ||||||
7. | Republic of Finland, (Finland), Reg. S, 2.750%, 07/04/28 | 1.9 | ||||||
8. | U.S. Treasury Note, 0.250%, 01/31/15 | 1.8 | ||||||
9. | JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | 1.5 | ||||||
10. | Italy Buoni Poliennali Del Tesoro, (Italy), 5.500%, 11/01/22 | 1.3 |
PORTFOLIO COMPOSITION BY COUNTRY*** | ||||
United States | 59.2 | % | ||
Germany | 11.4 | |||
United Kingdom | 6.2 | |||
Japan | 3.5 | |||
Finland | 2.0 | |||
France | 1.8 | |||
Italy | 1.7 | |||
Switzerland | 1.4 | |||
Australia | 1.1 | |||
Others (each less than 1.0%) | 3.8 | |||
Short-Term Investment | 7.9 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2014. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Global Allocation Portfolio
PORTFOLIO SUMMARY
FOR THE PERIOD DECEMBER 9, 2014 (PORTFOLIO INCEPTION DATE) THROUGH DECEMBER 31, 2014 (Unaudited) (continued)
TOTAL RETURNS AS OF DECEMBER 31, 2014 | ||||||||
INCEPTION DATE OF CLASS | SINCE INCEPTION* | |||||||
CLASS 1 SHARES | December 9, 2014 | (0.23 | )% | |||||
CLASS 2 SHARES | December 9, 2014 | (0.25 | ) |
* | Not annualized. |
LIFE OF PORTFOLIO PERFORMANCE (12/9/14 TO 12/31/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Portfolio commenced operations on December 9, 2014.
The graph illustrates comparative performance for $10,000 invested in Class 2 Shares of the JPMorgan Insurance Trust Global Allocation Portfolio, the MSCI World Index (net of foreign withholding taxes), the Global Allocation Composite Benchmark and the Lipper Variable Underlying Funds Flexible Funds Index from December 9, 2014 to December 31, 2014. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Indices does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Variable Underlying Funds Flexible Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that
is designed to measure the equity market performance of developed markets. The Global Allocation Composite Benchmark is a composite benchmark comprised of unmanaged indices that includes the MSCI World Index (net of foreign withholdings taxes) (60%) and the Barclays U.S. Aggregate Index (40%). The Lipper Variable Underlying Funds Flexible Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — 2.5% |
| ||||||
United States — 2.5% |
| |||||||
78,773 | AMRESCO Residential Securities Corp. Mortgage Loan Trust, Series 1997-1, Class A7, 7.610%, 03/25/27 | 79,975 | ||||||
108,256 | Countrywide Asset-Backed Certificates, Series 2004-2, Class M1, VAR, 0.920%, 05/25/34 | 102,499 | ||||||
56,033 | GSAMP Trust, Series 2003-SEA, Class A1, VAR, 0.569%, 02/25/33 | 52,234 | ||||||
100,478 | Morgan Stanley ABS Capital I, Inc. Trust, | 94,729 | ||||||
74,640 | NovaStar Mortgage Funding Trust, Series 2003-3, Class A2C, VAR, 1.230%, 12/25/33 | 69,962 | ||||||
107,224 | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF2, Class A1, VAR, 1.169%, 08/25/37 | 99,922 | ||||||
|
| |||||||
Total Asset-Backed Securities | 499,321 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 6.9% |
| ||||||
Non-Agency CMO — 6.9% |
| |||||||
United States — 6.9% |
| |||||||
51,675 | Banc of America Alternative Loan Trust, Series 2003-9, Class 1CB5, 5.500%, 11/25/33 | 52,896 | ||||||
69,610 | Banc of America Mortgage Trust, Series 2005-A, Class 2A2, VAR, 2.720%, 02/25/35 | 68,404 | ||||||
84,865 | First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 4A1, VAR, 3.268%, 02/25/35 | 80,699 | ||||||
137,670 | GSR Mortgage Loan Trust, Series 2005-AR3, Class 1A1, VAR, 0.610%, 05/25/35 | 126,024 | ||||||
242,072 | Impac CMB Trust, Series 2004-6, Class 1A2, VAR, 0.950%, 10/25/34 | 226,368 | ||||||
99,396 | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 4A3, VAR, 5.616%, 01/25/37 | 99,332 | ||||||
74,278 | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 4A, VAR, 2.567%, 07/25/34 | 71,100 | ||||||
108,727 | Residential Asset Securitization Trust, Series 2004-A6, Class A1, 5.000%, 08/25/19 | 111,618 | ||||||
148,599 | RFMSI Trust, Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 150,726 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
236,678 | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-W, Class A1, VAR, 2.615%, 11/25/34 | 239,608 | ||||||
42,308 | Series 2005-AR2, Class 2A1, VAR, 2.613%, 03/25/35 | 42,282 | ||||||
95,429 | Series 2005-16, Class A8, 5.750%, 01/25/36 | 99,350 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 1,368,407 | |||||||
|
| |||||||
SHARES | ||||||||
| Common Stocks — 35.2% |
| ||||||
Australia — 1.1% |
| |||||||
2,220 | AMP Ltd. | 9,887 | ||||||
1,680 | Australia & New Zealand Banking Group Ltd. | 43,713 | ||||||
1,900 | BHP Billiton Ltd. | 44,921 | ||||||
367 | Commonwealth Bank of Australia | 25,499 | ||||||
2,100 | Dexus Property Group (m) | 11,888 | ||||||
7,000 | Goodman Group (m) | 32,332 | ||||||
1,120 | Wesfarmers Ltd. | 37,921 | ||||||
700 | Westpac Banking Corp. | 18,827 | ||||||
|
| |||||||
224,988 | ||||||||
|
| |||||||
Belgium — 0.1% |
| |||||||
196 | Solvay S.A. | 26,522 | ||||||
|
| |||||||
Bermuda — 0.1% |
| |||||||
364 | Lazard Ltd., Class A | 18,211 | ||||||
|
| |||||||
Canada — 0.3% |
| |||||||
290 | Brookfield Asset Management, Inc., Class A | 14,538 | ||||||
520 | Brookfield Residential Properties, Inc. (a) | 12,511 | ||||||
68 | Canadian Pacific Railway Ltd. | 13,103 | ||||||
700 | Novadaq Technologies, Inc. (a) | 11,634 | ||||||
|
| |||||||
51,786 | ||||||||
|
| |||||||
Denmark — 0.3% |
| |||||||
8 | AP Moeller - Maersk A/S, Class B | 15,912 | ||||||
836 | Danske Bank A/S | 22,602 | ||||||
601 | Novo Nordisk A/S, Class B | 25,422 | ||||||
|
| |||||||
63,936 | ||||||||
|
| |||||||
Finland — 0.1% |
| |||||||
1,661 | UPM-Kymmene OYJ | 27,221 | ||||||
|
| |||||||
France — 1.8% |
| |||||||
220 | Air Liquide S.A. | 27,223 | ||||||
547 | Airbus Group N.V. | 27,043 | ||||||
1,223 | AXA S.A. | 28,182 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — continued |
| ||||||
France — continued |
| |||||||
532 | BNP Paribas S.A. | 31,406 | ||||||
1,563 | Credit Agricole S.A. | 20,176 | ||||||
891 | GDF Suez | 20,777 | ||||||
101 | Kering | 19,409 | ||||||
264 | Lafarge S.A. | 18,533 | ||||||
265 | Publicis Groupe S.A. | 19,004 | ||||||
349 | Renault S.A. | 25,420 | ||||||
452 | Sanofi | 41,209 | ||||||
488 | Schneider Electric SE | 35,541 | ||||||
445 | Societe Generale S.A. | 18,623 | ||||||
502 | Total S.A. | 25,718 | ||||||
|
| |||||||
358,264 | ||||||||
|
| |||||||
Germany — 1.4% |
| |||||||
247 | Allianz SE | 40,910 | ||||||
240 | BASF SE | 20,132 | ||||||
374 | Bayer AG | 50,979 | ||||||
242 | Bayerische Motoren Werke AG | 26,116 | ||||||
496 | Brenntag AG | 27,731 | ||||||
109 | Continental AG | 22,991 | ||||||
438 | Deutsche Telekom AG | 7,008 | ||||||
933 | E.ON SE | 15,947 | ||||||
293 | HeidelbergCement AG | 20,680 | ||||||
541 | SAP SE | 37,777 | ||||||
183 | Siemens AG | 20,533 | ||||||
|
| |||||||
290,804 | ||||||||
|
| |||||||
Hong Kong — 0.6% |
| |||||||
1,000 | Cheung Kong Holdings Ltd. | 16,747 | ||||||
600 | Hang Seng Bank Ltd. | 9,972 | ||||||
2,000 | Hutchison Whampoa Ltd. | 22,863 | ||||||
386 | Michael Kors Holdings Ltd. (a) | 28,989 | ||||||
3,000 | Power Assets Holdings Ltd. | 29,004 | ||||||
4,400 | Sands China Ltd. | 21,420 | ||||||
|
| |||||||
128,995 | ||||||||
|
| |||||||
Ireland — 0.2% |
| |||||||
289 | Ryanair Holdings plc, ADR (a) | 20,597 | ||||||
374 | Shire plc | 26,517 | ||||||
|
| |||||||
47,114 | ||||||||
|
| |||||||
Italy — 0.4% |
| |||||||
1,607 | Assicurazioni Generali S.p.A. | 32,996 | ||||||
10,833 | Enel Green Power S.p.A. | 22,697 | ||||||
2,898 | UniCredit S.p.A. | 18,563 | ||||||
|
| |||||||
74,256 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Japan — 3.4% |
| |||||||
200 | Central Japan Railway Co. | 29,975 | ||||||
400 | Daikin Industries Ltd. | 25,650 | ||||||
700 | Dentsu, Inc. | 29,429 | ||||||
1,100 | DMG Mori Seiki Co., Ltd. | 13,621 | ||||||
400 | East Japan Railway Co. | 30,148 | ||||||
100 | FANUC Corp. | 16,488 | ||||||
4,000 | Fujitsu Ltd. | 21,327 | ||||||
4,000 | Hitachi Ltd. | 29,523 | ||||||
5,400 | JX Holdings, Inc. | 21,015 | ||||||
2,000 | Kyowa Hakko Kirin Co., Ltd. | 18,833 | ||||||
900 | Mazda Motor Corp. | 21,614 | ||||||
7,000 | Mitsubishi UFJ Financial Group, Inc. | 38,460 | ||||||
1,100 | Mitsui & Co., Ltd. | 14,732 | ||||||
1,000 | Mitsui Fudosan Co., Ltd. | 26,816 | ||||||
800 | MS&AD Insurance Group Holdings, Inc. | 18,959 | ||||||
300 | Nippon Telegraph & Telephone Corp. | 15,325 | ||||||
1,500 | �� | ORIX Corp. | 18,874 | |||||
900 | Otsuka Holdings Co., Ltd. | 26,983 | ||||||
1,500 | Ricoh Co., Ltd. | 15,164 | ||||||
300 | Seiko Epson Corp. | 12,553 | ||||||
2,000 | Sekisui Chemical Co., Ltd. | 24,062 | ||||||
800 | Seven & i Holdings Co., Ltd. | 28,777 | ||||||
300 | SoftBank Corp. | 17,857 | ||||||
1,000 | Sony Corp. | 20,409 | ||||||
800 | Sumitomo Mitsui Financial Group, Inc. | 28,922 | ||||||
5,000 | Tokyo Gas Co., Ltd. | 26,978 | ||||||
1,000 | Toyota Motor Corp. | 62,317 | ||||||
800 | Yamato Holdings Co., Ltd. | 15,841 | ||||||
1,000 | Yamazaki Baking Co., Ltd. | 12,339 | ||||||
|
| |||||||
682,991 | ||||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
1,339 | ArcelorMittal | 14,670 | ||||||
|
| |||||||
Netherlands — 0.6% |
| |||||||
1,275 | ING Groep N.V., CVA (a) | 16,472 | ||||||
379 | NXP Semiconductors N.V. (a) | 28,956 | ||||||
1,228 | Royal Dutch Shell plc, Class A | 40,982 | ||||||
779 | Royal Dutch Shell plc, Class B | 26,915 | ||||||
|
| |||||||
113,325 | ||||||||
|
| |||||||
New Zealand — 0.1% |
| |||||||
7,600 | Spark New Zealand Ltd. | 18,424 | ||||||
|
| |||||||
Norway — 0.2% |
| |||||||
1,415 | DNB ASA | 20,872 | ||||||
3,494 | Norsk Hydro ASA | 19,682 | ||||||
|
| |||||||
40,554 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — continued |
| ||||||
Portugal — 0.1% |
| |||||||
3,255 | EDP - Energias de Portugal S.A. | 12,622 | ||||||
|
| |||||||
Singapore — 0.2% |
| |||||||
222 | Avago Technologies Ltd. | 22,331 | ||||||
1,000 | DBS Group Holdings Ltd. | 15,481 | ||||||
|
| |||||||
37,812 | ||||||||
|
| |||||||
Spain — 0.4% |
| |||||||
1,808 | Banco Santander S.A. | 15,175 | ||||||
3,509 | Distribuidora Internacional de Alimentacion S.A. | 23,777 | ||||||
1,097 | Repsol S.A. | 20,537 | ||||||
1,816 | Telefonica S.A. | 26,073 | ||||||
|
| |||||||
85,562 | ||||||||
|
| |||||||
Sweden — 0.4% |
| |||||||
410 | Assa Abloy AB, Class B | 21,655 | ||||||
1,875 | Nordea Bank AB | 21,705 | ||||||
2,806 | Telefonaktiebolaget LM Ericsson, Class B | 33,975 | ||||||
|
| |||||||
77,335 | ||||||||
|
| |||||||
Switzerland — 1.4% |
| |||||||
220 | Allied World Assurance Co. Holdings AG | 8,342 | ||||||
333 | Cie Financiere Richemont S.A. | 29,523 | ||||||
1,016 | Nestle S.A. | 74,068 | ||||||
577 | Novartis AG | 53,513 | ||||||
179 | Roche Holding AG | 48,499 | ||||||
297 | Swiss Re AG (a) | 24,880 | ||||||
2,171 | UBS Group AG (a) | 37,319 | ||||||
|
| |||||||
276,144 | ||||||||
|
| |||||||
United Kingdom — 3.2% |
| |||||||
4,000 | 3i Group plc | 27,891 | ||||||
316 | Associated British Foods plc | 15,449 | ||||||
500 | AstraZeneca plc | 35,315 | ||||||
800 | Aviva plc | 6,011 | ||||||
10,316 | Barclays plc | 38,781 | ||||||
2,469 | Barratt Developments plc | 17,970 | ||||||
1,627 | BG Group plc | 21,772 | ||||||
4,242 | BP plc | 26,926 | ||||||
762 | British American Tobacco plc | 41,294 | ||||||
673 | Diageo plc | 19,280 | ||||||
2,449 | Dixons Carphone plc | 17,650 | ||||||
774 | GlaxoSmithKline plc | 16,605 | ||||||
4,694 | HSBC Holdings plc | 44,357 | ||||||
410 | Indivior plc (a) | 955 | ||||||
5,461 | ITV plc | 18,216 | ||||||
13,958 | Lloyds Banking Group plc (a) | 16,418 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
United Kingdom — continued |
| |||||||
1,237 | Prudential plc | 28,599 | ||||||
410 | Reckitt Benckiser Group plc | 33,208 | ||||||
410 | Rio Tinto Ltd. | 19,221 | ||||||
499 | Rio Tinto plc | 23,002 | ||||||
696 | SABMiller plc | 36,283 | ||||||
1,061 | Smith & Nephew plc | 19,133 | ||||||
784 | SSE plc | 19,809 | ||||||
6,861 | Taylor Wimpey plc | 14,637 | ||||||
816 | Unilever N.V., CVA | 31,920 | ||||||
13,450 | Vodafone Group plc | 46,115 | ||||||
|
| |||||||
636,817 | ||||||||
|
| |||||||
United States — 18.7% |
| |||||||
364 | Acadia Healthcare Co., Inc. (a) | 22,280 | ||||||
347 | Acuity Brands, Inc. | 48,604 | ||||||
316 | Adobe Systems, Inc. (a) | 22,973 | ||||||
99 | Advance Auto Parts, Inc. | 15,769 | ||||||
220 | Aetna, Inc. | 19,543 | ||||||
161 | Affiliated Managers Group, Inc. (a) | 34,171 | ||||||
119 | Air Products & Chemicals, Inc. | 17,163 | ||||||
114 | Alexion Pharmaceuticals, Inc. (a) | 21,093 | ||||||
30 | Alleghany Corp. (a) | 13,905 | ||||||
107 | Alliance Data Systems Corp. (a) | 30,607 | ||||||
79 | Amazon.com, Inc. (a) | 24,518 | ||||||
280 | American Electric Power Co., Inc. | 17,002 | ||||||
460 | American Homes 4 Rent, Class A (m) | 7,834 | ||||||
520 | American International Group, Inc. | 29,125 | ||||||
100 | Ameriprise Financial, Inc. | 13,225 | ||||||
407 | Amphenol Corp., Class A | 21,901 | ||||||
186 | AmTrust Financial Services, Inc. | 10,462 | ||||||
230 | Analog Devices, Inc. | 12,770 | ||||||
237 | Antero Resources Corp. (a) | 9,617 | ||||||
727 | Apple, Inc. | 80,246 | ||||||
30 | AutoZone, Inc. (a) | 18,573 | ||||||
220 | Ball Corp. | 14,997 | ||||||
2,010 | Bank of America Corp. | 35,959 | ||||||
230 | Bed Bath & Beyond, Inc. (a) | 17,519 | ||||||
600 | Best Buy Co., Inc. | 23,388 | ||||||
88 | Biogen Idec, Inc. (a) | 29,872 | ||||||
326 | BorgWarner, Inc. | 17,914 | ||||||
530 | Brixmor Property Group, Inc. | 13,165 | ||||||
400 | Capital One Financial Corp. | 33,020 | ||||||
557 | Carlisle Cos., Inc. | 50,264 | ||||||
1,160 | CBRE Group, Inc., Class A (a) | 39,730 | ||||||
150 | CBS Corp. (Non-Voting), Class B | 8,301 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — continued |
| ||||||
United States — continued |
| |||||||
326 | Celgene Corp. (a) | 36,466 | ||||||
733 | Ciena Corp. (a) | 14,228 | ||||||
940 | Cisco Systems, Inc. | 26,146 | ||||||
510 | Citigroup, Inc. | 27,596 | ||||||
470 | Citizens Financial Group, Inc. | 11,684 | ||||||
460 | ClubCorp Holdings, Inc. | 8,248 | ||||||
510 | CNO Financial Group, Inc. | 8,782 | ||||||
160 | Coach, Inc. | 6,010 | ||||||
157 | Concho Resources, Inc. (a) | 15,661 | ||||||
500 | CONSOL Energy, Inc. | 16,905 | ||||||
104 | CoStar Group, Inc. (a) | 19,098 | ||||||
130 | Crane Co. | 7,631 | ||||||
180 | CVS Health Corp. | 17,336 | ||||||
497 | Dealertrack Technologies, Inc. (a) | 22,022 | ||||||
977 | Delta Air Lines, Inc. | 48,059 | ||||||
270 | Devon Energy Corp. | 16,527 | ||||||
110 | DIRECTV (a) | 9,537 | ||||||
480 | DISH Network Corp., Class A (a) | 34,987 | ||||||
310 | Dover Corp. | 22,233 | ||||||
240 | Dr. Pepper Snapple Group, Inc. | 17,203 | ||||||
127 | Dril-Quip, Inc. (a) | 9,745 | ||||||
240 | Duke Energy Corp. | 20,050 | ||||||
193 | Eagle Materials, Inc. | 14,674 | ||||||
427 | East West Bancorp, Inc. | 16,529 | ||||||
120 | EastGroup Properties, Inc. (m) | 7,598 | ||||||
230 | Edison International | 15,060 | ||||||
456 | Electronic Arts, Inc. (a) | 21,439 | ||||||
420 | Entercom Communications Corp., Class A (a) | 5,107 | ||||||
240 | Equifax, Inc. | 19,409 | ||||||
540 | Excel Trust, Inc. | 7,231 | ||||||
330 | Expedia, Inc. | 28,169 | ||||||
590 | Exxon Mobil Corp. | 54,545 | ||||||
1,015 | Facebook, Inc., Class A (a) | 79,190 | ||||||
369 | Fluidigm Corp. (a) | 12,446 | ||||||
613 | Fortune Brands Home & Security, Inc. | 27,751 | ||||||
467 | GameStop Corp., Class A | 15,785 | ||||||
410 | Gap, Inc. (The) | 17,265 | ||||||
90 | Genuine Parts Co. | 9,591 | ||||||
728 | Gilead Sciences, Inc. (a) | 68,621 | ||||||
120 | Google, Inc., Class C (a) | 63,168 | ||||||
312 | Guidewire Software, Inc. (a) | 15,797 | ||||||
140 | Hanesbrands, Inc. | 15,627 | ||||||
286 | Harley-Davidson, Inc. | 18,850 | ||||||
560 | Hartford Financial Services Group, Inc. (The) | 23,346 | ||||||
1,018 | HD Supply Holdings, Inc. (a) | 30,021 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
350 | Hewlett-Packard Co. | 14,045 | ||||||
833 | Hilton Worldwide Holdings, Inc. (a) | 21,733 | ||||||
556 | Home Depot, Inc. (The) | 58,363 | ||||||
200 | Honeywell International, Inc. | 19,984 | ||||||
950 | Hudson City Bancorp, Inc. | 9,614 | ||||||
230 | Illinois Tool Works, Inc. | 21,781 | ||||||
174 | Illumina, Inc. (a) | 32,117 | ||||||
420 | Johnson & Johnson | 43,919 | ||||||
310 | KapStone Paper & Packaging Corp. | 9,086 | ||||||
540 | Kimco Realty Corp. (m) | 13,576 | ||||||
250 | Kinder Morgan, Inc. | 10,577 | ||||||
257 | Kirby Corp. (a) | 20,750 | ||||||
520 | Kohl’s Corp. | 31,741 | ||||||
260 | Kroger Co. (The) | 16,695 | ||||||
500 | La Quinta Holdings, Inc. (a) | 11,030 | ||||||
356 | Lam Research Corp. | 28,245 | ||||||
390 | Legg Mason, Inc. | 20,814 | ||||||
930 | Loews Corp. | 39,079 | ||||||
380 | Marathon Oil Corp. | 10,750 | ||||||
250 | Marsh & McLennan Cos., Inc. | 14,310 | ||||||
190 | Martin Marietta Materials, Inc. | 20,961 | ||||||
529 | MasterCard, Inc., Class A | 45,579 | ||||||
600 | Merck & Co., Inc. | 34,074 | ||||||
906 | Microsoft Corp. | 42,084 | ||||||
109 | Mohawk Industries, Inc. (a) | 16,934 | ||||||
189 | Moody’s Corp. | 18,108 | ||||||
330 | Mosaic Co. (The) | 15,064 | ||||||
120 | National Healthcare Corp. | 7,541 | ||||||
754 | Nektar Therapeutics (a) | 11,687 | ||||||
54 | Netflix, Inc. (a) | 18,447 | ||||||
190 | NextEra Energy, Inc. | 20,195 | ||||||
140 | NiSource, Inc. | 5,939 | ||||||
230 | Northeast Utilities | 12,310 | ||||||
170 | Northern Trust Corp. | 11,458 | ||||||
328 | Old Dominion Freight Line, Inc. (a) | 25,466 | ||||||
480 | Old Republic International Corp. | 7,022 | ||||||
210 | Omnicom Group, Inc. | 16,269 | ||||||
294 | Pall Corp. | 29,756 | ||||||
129 | Palo Alto Networks, Inc. (a) | 15,812 | ||||||
410 | PBF Energy, Inc., Class A | 10,922 | ||||||
1,450 | Pfizer, Inc. | 45,167 | ||||||
560 | Phillips 66 | 40,152 | ||||||
240 | PNC Financial Services Group, Inc. (The) | 21,895 | ||||||
250 | Post Holdings, Inc. (a) | 10,473 | ||||||
143 | PPG Industries, Inc. | 33,054 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — continued |
| ||||||
United States — continued |
| |||||||
25 | Priceline Group, Inc. (The) (a) | 28,505 | ||||||
340 | Procter & Gamble Co. (The) | 30,971 | ||||||
240 | Prudential Financial, Inc. | 21,710 | ||||||
200 | QUALCOMM, Inc. | 14,866 | ||||||
410 | Rayonier, Inc. (m) | 11,455 | ||||||
72 | Regeneron Pharmaceuticals, Inc. (a) | 29,538 | ||||||
320 | Rock-Tenn Co., Class A | 19,514 | ||||||
276 | Rush Enterprises, Inc., Class A (a) | 8,846 | ||||||
253 | Schlumberger Ltd. | 21,609 | ||||||
180 | Sempra Energy | 20,045 | ||||||
195 | ServiceNow, Inc. (a) | 13,231 | ||||||
105 | Sherwin-Williams Co. (The) | 27,619 | ||||||
163 | Signature Bank (a) | 20,531 | ||||||
430 | Southwestern Energy Co. (a) | 11,735 | ||||||
691 | Sprouts Farmers Market, Inc. (a) | 23,480 | ||||||
280 | Starbucks Corp. | 22,974 | ||||||
510 | SunTrust Banks, Inc. | 21,369 | ||||||
340 | T. Rowe Price Group, Inc. | 29,192 | ||||||
664 | TD Ameritrade Holding Corp. | 23,758 | ||||||
94 | Tesla Motors, Inc. (a) | 20,907 | ||||||
400 | Texas Instruments, Inc. | 21,386 | ||||||
120 | Time Warner, Inc. | 10,250 | ||||||
410 | Time, Inc. | 10,090 | ||||||
200 | Travelers Cos., Inc. (The) | 21,170 | ||||||
150 | TreeHouse Foods, Inc. (a) | 12,830 | ||||||
373 | Trex Co., Inc. (a) | 15,882 | ||||||
300 | Twenty-First Century Fox, Inc., Class B | 11,067 | ||||||
530 | U.S. Bancorp | 23,824 | ||||||
231 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 29,531 | ||||||
230 | United Technologies Corp. | 26,450 | ||||||
545 | UnitedHealth Group, Inc. | 55,094 | ||||||
450 | Unum Group | 15,696 | ||||||
653 | Urban Outfitters, Inc. (a) | 22,940 | ||||||
309 | Valeant Pharmaceuticals International, Inc. (a) | 44,221 | ||||||
448 | Veeva Systems, Inc., Class A (a) | 11,832 | ||||||
530 | Verizon Communications, Inc. | 24,793 | ||||||
139 | Vertex Pharmaceuticals, Inc. (a) | 16,513 | ||||||
150 | W.R. Berkley Corp. | 7,689 | ||||||
60 | W.W. Grainger, Inc. | 15,293 | ||||||
1,300 | Wells Fargo & Co. | 71,266 | ||||||
610 | Western Union Co. (The) | 10,925 | ||||||
490 | Weyerhaeuser Co. (m) | 17,586 | ||||||
459 | Wolverine World Wide, Inc. | 13,527 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
129 | Workday, Inc., Class A (a) | 10,528 | ||||||
500 | Xcel Energy, Inc. | 17,960 | ||||||
|
| |||||||
3,723,659 | ||||||||
|
| |||||||
Total Common Stocks | 7,032,012 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
| Foreign Government Securities — 15.5% |
| ||||||
Finland — 1.8% |
| |||||||
EUR 250,000 | Republic of Finland, Reg. S, 2.750%, 07/04/28 (e) (m) | 367,075 | ||||||
|
| |||||||
Germany — 9.5% |
| |||||||
EUR 350,000 | Bundesrepublik Deutschland, 2.250%, 09/04/21 (m) | 482,475 | ||||||
EUR 1,000,000 | 3.500%, 07/04/19 (m) | 1,401,976 | ||||||
|
| |||||||
1,884,451 | ||||||||
|
| |||||||
Italy — 1.3% |
| |||||||
EUR 170,000 | Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/22 (m) | 264,524 | ||||||
|
| |||||||
United Kingdom — 2.9% |
| |||||||
GBP 123,100 | United Kingdom Gilt, | 195,098 | ||||||
GBP 120,800 | 4.750%, 09/07/15 (m) | 193,921 | ||||||
GBP 117,300 | 8.000%, 12/07/15 (m) | 195,877 | ||||||
|
| |||||||
584,896 | ||||||||
|
| |||||||
Total Foreign Government Securities | 3,100,946 | |||||||
|
| |||||||
SHARES | ||||||||
| Investment Companies — 24.0% (b) |
| ||||||
85,858 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 693,729 | ||||||
61,334 | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 1,380,010 | ||||||
33,520 | JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | 292,633 | ||||||
317,691 | JPMorgan High Yield Fund, Class R6 Shares (m) | 2,411,273 | ||||||
|
| |||||||
Total Investment Companies | 4,777,645 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2014 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | ||||||
| Option Purchased — 0.3% |
| ||||||
Call Option Purchased — 0.3% |
| |||||||
7 | S&P 500 Index, Expiring 06/19/15 at 2,050.00 USD, European Style | 62,440 | ||||||
|
| |||||||
SHARES | ||||||||
| Preferred Stocks — 0.4% |
| ||||||
Germany — 0.4% |
| |||||||
427 | Henkel AG & Co. KGaA | 45,995 | ||||||
108 | Volkswagen AG | 24,004 | ||||||
|
| |||||||
Total Preferred Stocks | 69,999 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) |
| ||||||
Spain — 0.0% (g) |
| |||||||
1,097 | Repsol S.A., expiring 01/08/15 (a) | 607 | ||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
| U.S. Treasury Obligations — 6.3% |
| ||||||
775,500 | U.S. Treasury Inflation Indexed Bond, 1.375%, 02/15/44 (m) | 894,183 | ||||||
355,000 | U.S. Treasury Note, 0.250%, 01/31/15 (k) | 355,042 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,249,225 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 7.8% |
| ||||||
Investment Company — 7.8% |
| |||||||
1,565,264 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1,565,264 | ||||||
|
| |||||||
Total Investments — 98.9% | 19,725,866 | |||||||
Other Assets in Excess of | 227,340 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 19,953,206 | ||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, December 31, 2014
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Investment Companies | 24.2 | % | ||
Foreign Government Securities | 15.7 | |||
Non-Agency CMO | 6.9 | |||
U.S. Treasury Bond | 4.5 | |||
Banks | 3.6 | |||
Pharmaceuticals | 2.7 | |||
Asset-Backed Securities | 2.5 | |||
Insurance | 2.1 | |||
Oil, Gas & Consumable Fuels | 1.9 | |||
U.S. Treasury Note | 1.8 | |||
Specialty Retail | 1.2 | |||
Capital Markets | 1.1 | |||
Biotechnology | 1.0 | |||
Automobiles | 1.0 | |||
Others (each less than 1.0%) | 21.9 | |||
Short-Term Investment | 7.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
11 | TOPIX Index | 03/12/15 | 1,292,578 | 6,001 | ||||||||||||
3 | 10 Year Australian Government Bond | 03/16/15 | 313,853 | 2,990 | ||||||||||||
20 | 10 Year U.S. Treasury Note | 03/20/15 | 2,535,938 | (666 | ) | |||||||||||
10 | Dow Jones Euro STOXX 50 Index | 03/20/15 | 379,109 | (2,713 | ) | |||||||||||
3 | E-mini Russell 2000 | 03/20/15 | 360,210 | 6,623 | ||||||||||||
27 | E-mini S&P 500 | 03/20/15 | 2,770,740 | 12,398 | ||||||||||||
8 | U.S. Ultra Bond | 03/20/15 | 1,321,500 | 16,235 | ||||||||||||
Short Futures Outstanding | ||||||||||||||||
(2 | ) | Euro Bobl | 03/06/15 | (315,291 | ) | (1,477 | ) | |||||||||
(2 | ) | Euro Bund | 03/06/15 | (377,221 | ) | (4,465 | ) | |||||||||
(2 | ) | 10 Year Canadian Government Bond | 03/20/15 | (238,458 | ) | (1,476 | ) | |||||||||
(6 | ) | FTSE 100 Index | 03/20/15 | (609,958 | ) | (3,115 | ) | |||||||||
(8 | ) | Mini MSCI Emerging Markets Index | 03/20/15 | (383,080 | ) | (21,836 | ) | |||||||||
(6 | ) | U.S. Ultra Bond | 03/20/15 | (991,125 | ) | (18,762 | ) | |||||||||
(4 | ) | 2 Year U.S. Treasury Note | 03/31/15 | (874,375 | ) | 367 | ||||||||||
(24 | ) | 5 Year U.S. Treasury Note | 03/31/15 | (2,854,313 | ) | 863 | ||||||||||
|
| |||||||||||||||
(9,033 | ) | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
CONTRACTS TO BUY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
5,247 | AUD | BNP Paribas | 03/26/15 | 4,280 | 4,259 | (21 | ) | |||||||||||||||
7,010 | EUR | Goldman Sachs International | 03/26/15 | 8,728 | 8,488 | (240 | ) | |||||||||||||||
13,008 | 12,747 | (261 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
CONTRACTS TO SELL | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT DECEMBER 31, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
29,278 | AUD | HSBC Bank, N.A. | 03/26/15 | 23,904 | 23,763 | 141 | ||||||||||||||||
2,096,066 | EUR | National Australia Bank | 03/26/15 | 2,608,514 | 2,538,210 | 70,304 | ||||||||||||||||
12,975 | EUR | Royal Bank of Canada | 03/26/15 | 15,778 | 15,711 | 67 | ||||||||||||||||
377,794 | GBP | BNP Paribas | 03/26/15 | 593,309 | 588,446 | 4,863 | ||||||||||||||||
3,241,505 | 3,166,130 | 75,375 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
AS OF DECEMBER 31, 2014
ADR | — American Depositary Receipt | |
AUD | — Australian Dollar | |
CMO | — Collateralized Mortgage Obligation | |
CVA | — Dutch Certification | |
EUR | — Euro | |
GBP | — British Pound | |
Reg. S | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. | |
USD | — United States Dollar | |
VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of December 31, 2014. | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | — Included in this amount is cash segregated as collateral for futures contracts. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g) | — Amount rounds to less than 0.1%. | |
(k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for future contracts. | |
(l) | — The rate shown is the current yield as of December 31, 2014. | |
(m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
The value and percentage, based on total investments, of the investments that apply the fair valuation policy for the international investments as described in Note 2.A. of the Notes to Financial Statements is $3,199,747 and 16.2%, respectively.
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 certified portfolio holdings filed quarterly on Form N-Q, 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.
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2014
Global Allocation Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 13,382,957 | ||
Investments in affiliates, at value | 6,342,909 | |||
|
| |||
Total investment securities, at value | 19,725,866 | |||
Cash | 75,675 | |||
Foreign currency, at value | 33,138 | |||
Deposits at broker for futures contracts | 42,000 | |||
Receivables: | ||||
Interest and dividends from non-affiliates | 47,815 | |||
Dividends from affiliates | 90 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 75,375 | |||
Due from Adviser | 64,468 | |||
Deferred offering cost | 25,299 | |||
|
| |||
Total Assets | 20,089,726 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 17,695 | |||
Variation margin on futures contracts | 16,452 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 261 | |||
Accrued liabilities: | ||||
Distribution fees | 2,985 | |||
Custodian and accounting fees | 5,310 | |||
Trustees’ and Chief Compliance Officer’s fees | 11 | |||
Audit fees | 61,057 | |||
Offering Cost | 27,000 | |||
Other | 5,749 | |||
|
| |||
Total Liabilities | 136,520 | |||
|
| |||
Net Assets | $ | 19,953,206 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 20,041,215 | ||
Accumulated undistributed (distributions in excess of) net investment income | (3,318 | ) | ||
Accumulated net realized gains (losses) | 50,119 | |||
Net unrealized appreciation (depreciation) | (134,810 | ) | ||
|
| |||
Total Net Assets | $ | 19,953,206 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 99,781 | ||
Class 2 | 19,853,425 | |||
|
| |||
Total | $ | 19,953,206 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 6,682 | |||
Class 2 | 1,329,612 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 14.93 | ||
Class 2 | 14.93 | |||
|
| |||
Cost of investments in non-affiliates | $ | 13,471,173 | ||
Cost of investments in affiliates | 6,455,868 | |||
Cost of foreign currency | 33,032 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2014
Global Allocation Portfolio (a) | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 5,056 | ||
Dividend income from affiliates | 39,159 | |||
Interest income from non-affiliates | 2,122 | |||
Foreign taxes withheld | (31 | ) | ||
|
| |||
Total investment income | 46,306 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 7,201 | |||
Administration fees | 984 | |||
Distribution fees — Class 2 | 2,985 | |||
Custodian and accounting fees | 5,310 | |||
Professional fees | 61,075 | |||
Trustees’ and Chief Compliance Officer’s fees | 11 | |||
Printing and mailing costs | 5,041 | |||
Transfer agent fees | 240 | |||
Offering costs | 1,701 | |||
Other | 452 | |||
|
| |||
Total expenses | 85,000 | |||
|
| |||
Less fees waived | (8,185 | ) | ||
Less expense reimbursements | (64,468 | ) | ||
|
| |||
Net expenses | 12,347 | |||
|
| |||
Net investment income (loss) | 33,959 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | (2,314 | ) | ||
Futures | 5,526 | |||
Foreign currency transactions | (690 | ) | ||
|
| |||
Net realized gain (loss) | 2,522 | |||
|
| |||
Distributions of capital gains received from investment company affiliates | 51,535 | |||
|
| |||
Change in net unrealized appreciation/depreciation of: | ||||
Investments in non-affiliates | (88,216 | ) | ||
Investments in affiliates | (112,959 | ) | ||
Futures | (9,033 | ) | ||
Foreign currency translations | 75,398 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (134,810 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (80,753 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (46,794 | ) | |
|
|
(a) | Commencement of operations was December 9, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD INDICATED
Global Allocation Portfolio | ||||
Period Ended December 31, 2014(a) | ||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 33,959 | ||
Net realized gain (loss) | 2,522 | |||
Distributions of capital gains received from investment company affiliates | 51,535 | |||
Change in net unrealized appreciation/depreciation | (134,810 | ) | ||
|
| |||
Change in net assets resulting from operations | (46,794 | ) | ||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class 1 | ||||
From net investment income | (234 | ) | ||
Class 2 | ||||
From net investment income | (43,966 | ) | ||
|
| |||
Total distributions to shareholders | (44,200 | ) | ||
|
| |||
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 20,044,200 | |||
|
| |||
NET ASSETS: | ||||
Change in net assets | 19,953,206 | |||
Beginning of period | – | |||
|
| |||
End of period | $ | 19,953,206 | ||
|
| |||
Accumulated undistributed (distributed in excess of) net investment income | $ | (3,318 | ) | |
|
| |||
CAPITAL TRANSACTIONS: | ||||
Class 1 | ||||
Proceeds from shares issued | $ | 100,000 | ||
Distributions reinvested | 234 | |||
|
| |||
Change in net assets resulting from Class 1 capital transactions | $ | 100,234 | ||
|
| |||
Class 2 | ||||
Proceeds from shares issued | $ | 19,900,000 | ||
Distributions reinvested | 43,966 | |||
|
| |||
Change in net assets resulting from Class 2 capital transactions | $ | 19,943,966 | ||
|
| |||
Total change in net assets resulting from capital transactions | $ | 20,044,200 | ||
|
| |||
SHARE TRANSACTIONS: | ||||
Class 1 | ||||
Issued | 6,666 | |||
Reinvested | 16 | |||
|
| |||
Change in Class 1 Shares | 6,682 | |||
|
| |||
Class 2 | ||||
Issued | 1,326,667 | |||
Reinvested | 2,945 | |||
|
| |||
Change in Class 2 Shares | 1,329,612 | |||
|
|
(a) | Commencement of operations was December 9, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Global Allocation Portfolio | ||||||||||||||||||||
Class 1 | ||||||||||||||||||||
December 9, 2014 (i) through December 31, 2014 | $ | 15.00 | $ | 0.03 | $ | (0.06 | ) | $ | (0.03 | ) | $ | (0.04 | ) | |||||||
Class 2 | ||||||||||||||||||||
December 9, 2014 (i) through December 31, 2014 | 15.00 | 0.03 | (0.07 | ) | (0.04 | ) | (0.03 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period ended December 31, 2014. |
(h) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
(i) | Commencement of operations. |
(j) | Amount rounds to less than 1%. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d) | Net assets, end of period | Net expenses (e)(f)(g) | Net investment income (loss)(b)(g) | Expenses without waivers, reimbursements and earnings credits (f)(g) | Portfolio turnover rate (c)(h) | ||||||||||||||||||||
$ | 14.93 | (0.23 | )% | $ | 99,781 | 0.78 | % | 3.08 | % | 6.70 | % | — | %(j) | |||||||||||||
14.93 | (0.25 | ) | 19,853,425 | 1.03 | 2.83 | 6.95 | — | (j) |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
AS OF DECEMBER 31, 2014
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
Global Allocation Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize long-term total return.
The Portfolio commenced operations on December 9, 2014.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.
JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) 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 Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. 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.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from 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 Portfolio are calculated on a valuation date. Certain foreign equity instruments shall be 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 (the “Underlying Funds”) are valued at each investment company’s NAV per share as of the report date.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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Futures and options are generally valued on the basis of available market quotations. Other derivatives are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by the Portfolio at December 31, 2014.
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 Portfolio’s investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
Ÿ | Level 2 — Other significant observable inputs including, but are 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. |
Ÿ | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’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 | Level 3 Significant | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | — | $ | 499,321 | $ | 499,321 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Non-Agency CMO | — | 1,368,407 | — | 1,368,407 | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | — | 224,988 | — | 224,988 | ||||||||||||
Belgium | — | 26,522 | — | 26,522 | ||||||||||||
Bermuda | 18,211 | — | — | 18,211 | ||||||||||||
Canada | 51,786 | — | — | 51,786 | ||||||||||||
Denmark | — | 63,936 | — | 63,936 | ||||||||||||
Finland | — | 27,221 | — | 27,221 | ||||||||||||
France | — | 358,264 | — | 358,264 | ||||||||||||
Germany | — | 290,804 | — | 290,804 | ||||||||||||
Hong Kong | 28,989 | 100,006 | — | 128,995 | ||||||||||||
Ireland | 20,597 | 26,517 | — | 47,114 | ||||||||||||
Italy | — | 74,256 | — | 74,256 | ||||||||||||
Japan | — | 682,991 | — | 682,991 | ||||||||||||
Luxembourg | — | 14,670 | — | 14,670 | ||||||||||||
Netherlands | 28,956 | 84,369 | — | 113,325 | ||||||||||||
New Zealand | — | 18,424 | — | 18,424 | ||||||||||||
Norway | — | 40,554 | — | 40,554 | ||||||||||||
Portugal | — | 12,622 | — | 12,622 | ||||||||||||
Singapore | 22,331 | 15,481 | — | 37,812 | ||||||||||||
Spain | — | 85,562 | — | 85,562 | ||||||||||||
Sweden | — | 77,335 | — | 77,335 | ||||||||||||
Switzerland | 45,661 | 230,483 | — | 276,144 | ||||||||||||
United Kingdom | 18,605 | 618,212 | — | 636,817 | ||||||||||||
United States | 3,723,659 | — | — | 3,723,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 3,958,795 | 3,073,217 | — | 7,032,012 | ||||||||||||
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DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 19 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Foreign Government Securities | $ | — | $ | 3,100,946 | $ | — | $ | 3,100,946 | ||||||||
Investment Companies | ||||||||||||||||
United States | 4,777,645 | — | — | 4,777,645 | ||||||||||||
Option Purchased | ||||||||||||||||
Call Option Purchased | 62,440 | — | — | 62,440 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 69,999 | — | 69,999 | ||||||||||||
Rights | ||||||||||||||||
Spain | 607 | — | — | 607 | ||||||||||||
U.S. Treasury Obligations | — | 1,249,225 | — | 1,249,225 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 1,565,264 | — | — | 1,565,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 10,364,751 | $ | 8,861,794 | $ | 499,321 | $ | 19,725,866 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 75,375 | $ | — | $ | 75,375 | ||||||||
Futures Contracts | 45,477 | — | — | 45,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 45,477 | $ | 75,375 | $ | — | $ | 120,852 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (261 | ) | $ | — | $ | (261 | ) | ||||||
Futures Contracts | (54,510 | ) | — | — | (54,510 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (54,510 | ) | $ | (261 | ) | $ | — | $ | (54,771 | ) | |||||
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|
|
There were no transfers between Levels 1 and 2 during the period ended December 31, 2014.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
Balance as of December 9, 2014* | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2014 | ||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 6,445 | $ | 52 | $ | 492,824 | $ | — | $ | — | $ | — | $ | 499,321 | ||||||||||||||||||
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* | Commencement of operations was December 9, 2014. |
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2014, which were valued using significant unobservable inputs (Level 3) amounted to $6,445. This amount is included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements
Fair Value at December 31, 2014 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 499,321 | Discounted Cash Flow | Constant Prepayment Rate | 0.00%—10.00% (2.90%) | ||||||||
Constant Default Rate | 3.00%—9.00% (6.20%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 3.95%—6.85% (4.69%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 499,321 | |||||||||||
|
|
|
|
|
|
| ||||||
Total | $ | 499,321 | ||||||||||
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|
|
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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B. Investment Transactions with Affiliates — The Portfolio invests in Underlying Funds which are advised by J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”) or its affiliates pursuant to Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the following to be affiliated issuers. Included in the realized gain (loss) amounts in the table below are distributions of realized capital gains, if any, received from the Underlying Funds:
For the period ended December 31, 2014 | ||||||||||||||||||||||||||||
Affiliate | Value at December 9, 2014* | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at December 31, 2014 | Value at December 31, 2014 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | $ | — | $ | 708,983 | $ | — | $ | — | $ | 8,983 | 85,858 | $ | 693,729 | |||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | — | 1,418,054 | — | — | 18,053 | 61,334 | 1,380,010 | |||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares | — | 300,335 | — | — | 335 | 33,520 | 292,633 | |||||||||||||||||||||
JPMorgan High Yield Fund, Class R6 Shares | — | 2,463,232 | — | 51,535 | 11,698 | 317,691 | 2,411,273 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares | — | 19,884,770 | 18,319,506 | — | 90 | 1,565,264 | 1,565,264 | |||||||||||||||||||||
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|
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|
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|
| |||||||||||||||||||||
$ | — | $ | 51,535 | $ | 39,159 | $ | 6,342,909 | |||||||||||||||||||||
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* | Commencement of operations was December 9, 2014. |
C. Derivatives — The Portfolio uses instruments including futures, forward foreign currency exchange contracts, options and other derivatives, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Portfolio can invest, to hedge portfolio investments or to generate income or gain to the Portfolio. The Portfolio also uses derivatives for risk management purposes and to seek to enhance portfolio performance.
The Portfolio may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Portfolio to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Portfolio’s risk of loss associated with these instruments may exceed their value, as recorded in the Statement of Assets and Liabilities.
The Portfolio is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Portfolio’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Portfolio in the event the Portfolio’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements also contain provisions allowing, absent other conditions, the Portfolio to exercise rights, to the extent not otherwise waived, against the counterparty (i.e. decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Portfolio often include the ability to terminate (i.e. close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Portfolio. The ISDA agreements give the Portfolio and counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Portfolio.
Notes C(1) — C(3) below describe the various derivatives used by the Portfolio.
(1). Options — The Portfolio purchases and sells (“write”) put and call options on various instruments including futures, securities, currencies and swaps (“swaptions”) to manage and hedge interest rate risks within the Portfolio and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Swaptions and Eurodollar options are settled for cash.
Options Purchased — Premiums paid by the Portfolio for options purchased are included in the Statement of Assets and Liabilities as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in unrealized appreciation/ depreciation of investments in non-affiliates on the Statement of Operations. If the option is allowed to expire, the Portfolio will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the security.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
The Portfolio’s exchange traded options contracts are not subject to master netting agreements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Futures Contracts — The Portfolio uses treasury, index or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to the stock and bond markets.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation in the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Portfolio to interest rate and equity price risks. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
(3). Forward Foreign Currency Exchange Contracts — The Portfolio may be exposed to foreign currency risks associated with portfolio investments and therefore use forward foreign currency exchange contracts to hedge or manage these exposures. The Portfolio also buys forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
As of December 31, 2014, the Portfolio did not receive or post collateral for forward foreign currency exchange contracts.
(4). Summary of Derivatives Information
The following table presents the value of derivatives held as of December 31, 2014, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities:
Derivative Contracts | Statement of Assets and Liabilities Location | |||||||||||||||||
Gross Assets: | Options (a) | Futures Contracts (b) | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | — | $ | 20,455 | $ | — | $ | 20,455 | |||||||||
Foreign exchange contracts | Receivables | — | — | 75,375 | 75,375 | |||||||||||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | 62,440 | 25,022 | — | 87,462 | |||||||||||||
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|
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|
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|
| |||||||||||
Total | $ | 62,440 | $ | 45,477 | $ | 75,375 | $ | 183,292 | ||||||||||
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|
| |||||||||||
Gross Liabilities: | ||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | — | $ | (26,846 | ) | $ | — | $ | (26,846 | ) | |||||||
Foreign exchange contracts | Payables | — | — | (261 | ) | (261 | ) | |||||||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | — | (27,664 | ) | — | (27,664 | ) | |||||||||||
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|
|
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| |||||||||||
Total | $ | — | $ | (54,510 | ) | $ | (261 | ) | $ | (54,771 | ) | |||||||
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(a) | The market value of options purchased is reported as Investments in non-affiliates, at value on the Statement of Assets and Liabilities. |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
Table of Contents
(b) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
The following tables present the effect of derivatives on the Statement of Operations for the period ended December 31, 2014, by primary underlying risk exposure:
Amount of Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | ||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Foreign exchange contracts | $ | — | $ | 3,243 | $ | 3,243 | ||||||
Equity contracts | 5,526 | — | 5,526 | |||||||||
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| |||||||
Total | $ | 5,526 | $ | 3,243 | $ | 8,769 | ||||||
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|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | ||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||
Interest rate contracts | $ | — | $ | (6,391 | ) | $ | — | $ | (6,391 | ) | ||||||
Foreign exchange contracts | — | — | 75,114 | 75,114 | ||||||||||||
Equity contracts | 3,129 | (2,642 | ) | — | 487 | |||||||||||
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| |||||||||
Total | $ | 3,129 | $ | (9,033 | ) | $ | 75,114 | $ | 69,210 | |||||||
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The Portfolio’s derivatives contracts held at December 31, 2014 are not accounted for as hedging instruments under GAAP.
Derivatives Volume
The tables below disclose the volume of the Portfolio’s futures contracts, forward foreign currency exchange contracts and options activity during the period ended December 31, 2014. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Futures Contracts: | ||||
Equity | ||||
Average Notional Balance Long | $ | 4,802,637 | ||
Average Notional Balance Short | 993,038 | |||
Ending Notional Balance Long | 4,802,637 | |||
Ending Notional Balance Short | 993,038 | |||
Interest Rate | ||||
Average Notional Balance Long | 4,171,291 | |||
Average Notional Balance Short | 5,650,783 | |||
Ending Notional Balance Long | 4,171,291 | |||
Ending Notional Balance Short | 5,650,783 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 13,008 | |||
Average Settlement Value Sold | 3,241,505 | |||
Ending Value Purchased | 13,008 | |||
Ending Value Sold | 3,241,505 | |||
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 7 | |||
Ending Number of Contracts Purchased | 7 |
D. Foreign Currency Translation — The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held. Accordingly, such foreign currency gains (losses) are included in the reported Change in net unrealized appreciation/depreciation on investment transactions on the Statement of Operations. The Portfolio does isolate the effect of changes in foreign exchange rates from fluctuations in market prices of securities when determining realized gain or loss for sale of fixed income securities.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
E. Offering and Organizational Costs — Total offering costs of $27,000 incurred in connection with the offering of shares of the Portfolio are amortized on a straight line basis over 12 months from the date the Portfolio commenced operations. Costs incurred in connection with the organization of the Portfolio, if any, were recorded as an expense at the time the Portfolio commenced operations and are included as part of Professional fees on the Statement of Operations.
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
G. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
The Portfolio invests in Underlying Funds and, as a result, bears a portion of the expenses incurred by these Underlying Funds. These expenses are not reflected in the expenses shown on the Statement of Operations and are not included in the ratios to average net assets shown in the Financial Highlights. Certain expenses of Underlying Funds are waived as described in Note 3.E.
H. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2014, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.
I. Foreign Taxes — The Portfolio may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Portfolio will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
J. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | (2,985 | ) | $ | 6,923 | $ | (3,938 | ) |
The reclassifications for the Portfolio relate primarily to investments in regulated investment companies.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.60%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Portfolio. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the period ended December 31, 2014, the effective annualized rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the Distributor, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Payments to the custodian may be reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates in the Statement of Operations
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser, Administrator (for all share classes) and Distributor (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.78 | % | 1.03 | % |
The expense limitation agreement was in effect for the period ended December 31, 2014. The contractual expense limitation percentages in the table above are in place until at least April 30, 2016.
For the period ended December 31, 2014, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Total | Contractual Reimbursements | |||||||||||||
$ | 7,201 | $ | 984 | $ | 8,185 | $ | 64,468 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
There were no waivers resulting from investments in these money market funds for the period ended December 31, 2014.
The Underlying Funds may impose separate advisory fees. The Portfolio’s Adviser has agreed to waive the Portfolio’s advisory fees in the weighted average pro-rata amount of the advisory fees charged by the affiliated Underlying Funds. These waivers will be in addition to any waivers required to meet the Portfolio’s contractual expense limitations, but will not exceed the Portfolio’s advisory fee.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 25 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2014 (continued)
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the period ended December 31, 2014, the Portfolio and/or certain Underlying Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the period ended December 31, 2014, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the period ended December 31, 2014, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
$ | 16,712,401 | $ | 40,055 | $ | 888,737 | $ | — |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2014 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 19,927,978 | $ | 129,040 | $ | 331,152 | $ | (202,112 | ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in Treasury Inflation Protected Securities.
The tax character of distributions paid during the period ended December 31, 2014 was as follows:
Total Distributions Paid From: | Total Distributions | |||||||
Ordinary Income | ||||||||
$ | 44,200 | $ | 44,200 |
* | Commencement of operations was December 9, 2014. |
As of December 31, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 72,520 | $ | 36,913 | $ | (197,443 | ) |
The cumulative timing differences primarily consist of mark to market of forward foreign currency contracts and mark to market of futures contracts.
As of December 31, 2014, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 9, 2015.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility at December 31, 2014, or at any time during the period then ended.
Interest expense paid, if any, as a result of borrowings from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statement of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
The Portfolio’s shares are currently held by the Adviser.
The Portfolio is subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Portfolio is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Portfolio could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Portfolio invests in floating rate debt securities. Although these securities are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Portfolio is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Portfolio such as option contracts and forward foreign currency exchange contracts.
Investing in securities of foreign countries may include certain risks and considerations not typically associated with investing in U.S. securities. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and currencies, and future and adverse political, social and economic developments.
As of December 31, 2014, a portion of the Portfolio’s net assets consist of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
As of December 31, 2014, the Portfolio had the following country allocations representing greater than 10% of total investments:
Germany | United States | |||||||
11.4 | % | 67.1 | % |
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Portfolio’s original investment. Many derivatives create leverage thereby causing the Portfolio to be more volatile than it would have been if it had not used derivatives. Derivatives also expose the Portfolio to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
Because of the Portfolio’s investments in the Underlying Funds, the Portfolio indirectly pays a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Portfolio may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Portfolio is also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities; and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities.
Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 27 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and the Shareholders of JPMorgan Insurance Trust Global Allocation Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Insurance Trust Global Allocation Portfolio (a separate Portfolio of JPMorgan Insurance Trust) (the “Portfolio”) at December 31, 2014, and the results of its operations, the changes in its net assets and the financial highlights for the period December 9, 2014 (commencement of operations) through December 31, 2014, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 25, 2015
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 156 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 156 | Trustee, Museum of Jewish Heritage (2011-present). | |||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 156 | None | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 156 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 156 | None | |||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 156 | Trustee, Carleton College (2003-present). | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 156 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 156 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 156 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 29 |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 156 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 156 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 156 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014 to present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 156 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (156 funds). |
* | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
*** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), President and Principal Executive Officer (2013)** | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Valerie-Leila Jaber (1965), AML Compliance Officer (2014)* | Managing Director and Global Head of Financial Crime for Asset Management, JPMorgan Chase & Co. since December 2012; Managing Director and Global Head of Financial Crime for Barclays Wealth (2009-2012). | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)*** | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 277 Park Avenue, New York, NY 10172. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
*** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004. |
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 31 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2014, and continued to hold your shares at the end of the reporting period, December 31, 2014.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2014 | Ending Account Value December 31, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Global Allocation Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 997.70 | $ | 0.47 | 0.78 | % | ||||||||
Hypothetical** | 1,000.00 | 1,021.27 | 3.97 | 0.78 | ||||||||||||
Class 2 | ||||||||||||||||
Actual* | 1,000.00 | 997.50 | 0.62 | 1.03 | ||||||||||||
Hypothetical** | 1,000.00 | 1,020.01 | 5.24 | 1.03 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 22/365 (to reflect the actual period). Commencement of operations was on December 9, 2014. |
** | Expenses are equal to each Class' respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering approvals of initial advisory agreements for new funds. At their August 2014 in-person meeting, the Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the initial advisory agreement or any of their affiliates (“Independent Trustees”), approved the initial investment advisory agreement (the “New Advisory Agreement”) for the Portfolio whose annual report is contained herein.
In connection with the approval of the New Advisory Agreement, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed New Advisory Agreement, the Trustees reviewed the New Advisory Agreement with representatives of the Adviser and with counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed agreement. The Trustees also discussed the proposed agreement in an executive session with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the New Advisory Agreement.
The Trustees considered information provided with respect to the Portfolio and the approval of the New Advisory Agreement. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees determined that the proposed compensation to be received by the Adviser from the Portfolio under the New Advisory Agreement was fair and reasonable and that the initial approval of the New Advisory Agreement was in the best interests of the Portfolio and its potential shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
In connection with the approval of the New Advisory Agreement, the Trustees considered the materials furnished specifically in connection with the approval of the New Advisory Agreement, as well as other relevant information furnished throughout the year for the J.P. Morgan Funds complex and the Trustees’ experience with the Adviser and its services. The
Trustees considered the background and experience of the Adviser’s senior management and investment personnel, as well as the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio. The Trustees also considered the investment strategy and investment process for the Portfolio, and the infrastructure supporting the portfolio management team. In addition, the Trustees considered information about the structure and distribution strategy of the Portfolio, how it fits within the J.P. Morgan Funds lineup, and how it will be positioned against identified peers.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the J.P. Morgan Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the J.P. Morgan Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the J.P. Morgan Funds.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services to be provided to the Portfolio by the Adviser.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the J.P. Morgan Funds, including the benefits to be received by the Adviser and its affiliates in connection with the Portfolio’s investment in other J.P. Morgan Funds in which the Portfolio may invest (“Underlying Funds”). The Trustees also considered the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
The Trustees also considered that JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Adviser, will earn fees from the Portfolio for providing administrative services. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services. The Trustees also considered that any fall-out benefits would be comparable to those related to the other actively managed funds in the complex and were consistent with the process of approving advisory agreements for new funds.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 33 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Economies of Scale
The Trustees considered the extent to which the Portfolio benefits from economies of scale. The Trustees noted that the proposed investment advisory fee schedule for the Portfolio does not contain breakpoints, but that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Adviser, and that the Portfolio benefits from that breakpoint. The Trustees also noted that the Adviser and its affiliates have implemented fee waivers and expense limitations. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser and its affiliates have in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that shareholders of the Portfolio effectively participated in the economies of scale through these fee waivers and expense limitations and administrative service fee breakpoints.
Investment Performance
The Trustees considered the Portfolio’s investment strategy and process, portfolio management team and competitive positioning against identified peer funds, and concluded that the prospects for competitive future performance were acceptable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate that will be paid by the Portfolio to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Portfolio. The Trustees recognized that Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other projected expenses and the expense ratios for the Portfolio. The Trustees considered the projected fee waiver and/or expense reimbursement arrangements proposed for the Portfolio and considered the net advisory fee rate after taking into account any projected waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
The Trustees noted that the Portfolio’s estimated net advisory fees and total expenses, which were considered on a class-by-class basis, were in line with identified peer funds. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contracts of the Underlying Funds in which the Portfolio may invest.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2014 |
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(Unaudited)
Dividends Received Deductions (DRD)
The Portfolio had 2.51% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended December 31, 2014.
DECEMBER 31, 2014 | JPMORGAN INSURANCE TRUST | 35 |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
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© JPMorgan Chase & Co., 2015. All rights reserved. December 2014. | AN-JPMITGAP-1214 |
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ITEM 2. | CODE OF ETHICS. |
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is Mitch Merin. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2014 – $286,480
2013 – $284,515
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2014 – $53,320
2013 – $66,450
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2014 – $65,170
2013 – $67,690
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2014 and 2013, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2014 – Not applicable
2013 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit
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Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2014 – 0.0%
2013 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2014 – $31.9 million
2013 – $33.9 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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ITEM 6. | SCHEDULE OF INVESTMENTS. |
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
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(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. | EXHIBITS. |
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Insurance Trust
By: | /s/ Robert L. Young | |
Robert L. Young | ||
President and Principal Executive Officer | ||
February 27, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Robert L. Young | |
Robert L. Young | ||
President and Principal Executive Officer | ||
February 27, 2015 |
By: | /s/ Laura M. Del Prato | |
Laura M. Del Prato | ||
Treasurer and Principal Financial Officer | ||
February 27, 2015 |