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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, 2017 through December 31, 2017
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, 2017
JPMorgan Insurance Trust Core Bond Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
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Investments in the Portfolio are not 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 prospectuses 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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February 1, 2018 (Unaudited)
Dear Shareholder,
U.S. economic growth accelerated through 2017, supported by synchronized growth in the global economy and central bank policies that helped push equity prices higher in the U.S. as well as most developed market and emerging market nations.
“Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy.” — George C.W. Gatch |
During the year, the U.S. entered its third longest economic expansion on record. Gross domestic product (GDP) rose by 1.8%, 1.2% and 3.2% in the first three quarters of 2017, respectively, and preliminary estimates put fourth quarter GDP growth at 2.6%. Unemployment fell steadily to 4.1% in December 2017 from 4.8% at the start of the year — though growth in wages remained weak — and U.S. consumer confidence reached a 17-year high in November 2017. Corporate profits rose strongly and received a boost from stable energy prices and a 10% decline in the value of the U.S. dollar over the course of the year.
Notably, three large hurricanes — along with wildfires and other natural disasters — combined to cause an estimated $306 billion in damage in the U.S., making 2017 the most expensive year to date for natural disasters. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates three times in 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during 2017, which provided support for the domestic economy and for financial markets.
Globally, most developed market and emerging market economies also continued to grow throughout 2017. Growth in Europe was strong enough that the European Central Bank committed to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic
expansion in a decade. China’s GDP grew by an estimated 6.8% in 2017, supported by personal consumption and growth in foreign trade, according to the World Bank.
Roughly 120 countries, comprising three-fourths of global GDP, experienced increased economic growth in 2017 relative to 2016, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns throughout 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities for the year.
In the U.S., the Standard & Poor’s 500 Index (the “S&P 500”) reached 62 new closing highs during 2017 — the second largest number on record — and posted positive total returns (dividends included) in each month of the year for the first time since the current formula of the benchmark index was created in 1957. At the same time, equity market volatility fell to historic lows and by the end of 2017, U.S. stock prices overall hadn’t experienced a decline of 3% or greater for 14 consecutive months. While U.S. fixed income markets largely provided positive returns during the year, they underperformed equity markets.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited external demand and a reduction in U.S. corporate tax rates from the Tax Cuts and Jobs Act of 2017. Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Core Bond Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 3.57% | |||
Bloomberg Barclays U.S. Aggregate Index | 3.54% | |||
Net Assets as of 12/31/2017 | $ | 294,664,228 | ||
Duration as of 12/31/2017 | 5.7 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?
Investment grade corporate bonds and U.S. Treasury bonds provided relatively small but positive returns for the twelve month reporting period amid investor expectations for rising interest rates in the U.S. While U.S. high-yield bonds (also called “junk bonds”) generally outperformed other fixed income asset classes, bond markets overall underperformed equity markets.
The U.S. Federal Reserve raised benchmark interest rates three times during 2017. During the latter half of the year, the yield curve, which shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time, flattened out as yields on shorter dated U.S. Treasury bonds rose and yields for longer-dated Treasury bonds fell. For the twelve months ended December 31, 2017, the Bloomberg Barclays U.S. Aggregate Index returned 3.54%.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 shares outperformed the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”) for the twelve months ended December 31, 2017. Relative to the Benchmark, the Portfolio’s underweight allocation to U.S. Treasury bonds and its overweight allocation to mortgages, asset-backed securities and commercial mortgage-backed securities made a positive contribution to performance.
The Portfolio’s duration and yield curve positioning detracted from relative performance during the reporting period. Compared with the Benchmark, the Portfolio had a shorter duration and was overweight in the 5-10 year portion of the yield curve and underweight in the 30 year portion of the yield curve. 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 change in price as interest rates rise or fall. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds.
HOW WAS THE PORTFOLIO POSITIONED?
The Portfolio’s primary strategy was to focus on 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 believed to be a portfolio of undervalued fixed income securities.
Relative to the Benchmark, the Portfolio was underweight in U.S. Treasury securities and investment grade credit and overweight in securitized debt sectors, including asset-backed, commercial-backed and mortgage-backed securities, which include both agency and non-agency debt. The Portfolio was overweight in the intermediate part of the yield curve (5 to 10 year maturities) and underweight in the long end of the yield curve (30 year maturity). The Portfolio maintained a shorter duration posture versus the Benchmark during the twelve month reporting period.
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 24.5 | % | ||
U.S. Treasury Obligations | 23.1 | |||
Mortgage-Backed Securities | 14.7 | |||
Collateralized Mortgage Obligations | 11.2 | |||
Asset-Backed Securities | 10.3 | |||
U.S. Government Agency Securities | 8.5 | |||
Commercial Mortgage-Backed Securities | 4.0 | |||
Others (each less than 1.0%) | 0.4 | |||
Short-Term Investment | 3.3 |
* | 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, 2017. The Portfolio’s composition is subject to change. |
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | May 1, 1997 | 3.57 | % | 2.03 | % | 4.27 | % | |||||||
CLASS 2 SHARES | August 16, 2006 | 3.30 | 1.77 | 4.01 |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Core Bond Portfolio, the Bloomberg Barclays U.S. Aggregate Index and the Lipper Variable Underlying Funds Core Bond Funds Index from December 31, 2007 to December 31, 2017. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 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 Bloomberg 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, 2017 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — 10.3% | ||||||||
Air Canada Pass-Through Trust, (Canada), | ||||||||
21,040 | Series 2013-1, Class A, 4.13%, 05/15/2025 (e) | 22,146 | ||||||
85,000 | Series 2017-1, Class A, 3.55%, 01/15/2030 (e) | 85,162 | ||||||
60,000 | Series 2017-1, Class AA, 3.30%, 01/15/2030 (e) | 59,700 | ||||||
American Airlines Pass-Through Trust, | ||||||||
16,308 | Series 2011-1, Class A, 5.25%, 01/31/2021 | 17,158 | ||||||
80,104 | Series 2013-1, Class A, 4.00%, 07/15/2025 | 82,467 | ||||||
41,535 | Series 2014-1, Class A, 3.70%, 10/01/2026 | 42,470 | ||||||
15,168 | Series 2016-2, Class A, 3.65%, 06/15/2028 | 15,384 | ||||||
190,588 | Series 2016-3, Class AA, 3.00%, 10/15/2028 | 186,298 | ||||||
161,000 | Series 2017-1, Class AA, 3.65%, 02/15/2029 | 164,510 | ||||||
41,000 | Series 2017-2, Class AA, 3.35%, 10/15/2029 | 41,335 | ||||||
113,000 | Series 2017-2, Class B, 3.70%, 10/15/2025 | 113,068 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
15,738 | Series 2016-3, Class A, 1.70%, 11/12/2020 (e) | 15,726 | ||||||
78,764 | Series 2016-4, Class A, 1.50%, 06/12/2020 (e) | 78,708 | ||||||
116,000 | Series 2016-4, Class C, 2.91%, 02/13/2023 (e) (bb) | 115,980 | ||||||
American Homes 4 Rent, | ||||||||
380,000 | Series 2015-SFR1, Class D, 4.41%, 04/17/2052 (e) (bb) | 392,864 | ||||||
100,000 | Series 2015-SFR1, Class E, 5.64%, 04/17/2052 (e) (bb) | 108,734 | ||||||
American Homes 4 Rent Trust, | ||||||||
425,867 | Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (e) (bb) | 442,605 | ||||||
200,000 | Series 2014-SFR2, Class C, 4.71%, 10/17/2036 (e) (bb) | 212,500 | ||||||
236,498 | Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (e) | 244,831 | ||||||
200,000 | Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (e) (bb) | 225,200 | ||||||
200,000 | Series 2015-SFR2, Class C, 4.69%, 10/17/2045 (e) (bb) | 213,530 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
600,000 | Americredit Automobile Receivables Trust, Series 2016-4, Class B, 1.83%, 12/08/2021 (bb) | 593,870 | ||||||
50,000 | AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A3, 1.46%, 05/10/2021 | 49,770 | ||||||
254,665 | AXIS Equipment Finance Receivables IV LLC, Series 2016-1A, Class A, 2.21%, 11/20/2021 (e) | 254,066 | ||||||
B2R Mortgage Trust, | ||||||||
74,727 | Series 2015-1, Class A1, 2.52%, 05/15/2048 (e) | 74,358 | ||||||
231,163 | Series 2015-2, Class A, 3.34%, 11/15/2048 (e) | 233,482 | ||||||
100,000 | BA Credit Card Trust, Series 2015-A2, Class A, 1.36%, 09/15/2020 | 99,892 | ||||||
123,351 | BCC Funding XIII LLC, Series 2016-1, Class A2, 2.20%, 12/20/2021 (e) | 123,064 | ||||||
7,249 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, 1.92%, 04/25/2036 (z) (bb) | 7,114 | ||||||
250,000 | BMW Vehicle Lease Trust, Series 2016-2, Class A4, 1.57%, 02/20/2020 | 248,607 | ||||||
77,000 | Cabela’s Credit Card Master Note Trust, Series 2015-2, Class A1, 2.25%, 07/17/2023 | 76,866 | ||||||
88,816 | CAM Mortgage Trust, Series 2017-1, Class A1, SUB, 3.22%, 08/01/2057 (e) (bb) | 88,661 | ||||||
374,501 | Camillo Issuer LLC, Series 2016-SFR, Class 1A1, 5.00%, 12/05/2023 (bb) | 373,682 | ||||||
63,000 | Capital Auto Receivables Asset Trust, Series 2016-2, Class A4, 1.63%, 01/20/2021 | 62,588 | ||||||
8,434 | CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.44%, 11/16/2020 (e) | 8,427 | ||||||
13,814 | CarMax Auto Owner Trust, Series 2013-4, Class A4, 1.28%, 05/15/2019 | 13,809 | ||||||
Carnow Auto Receivables Trust, | ||||||||
58,123 | Series 2016-1A, Class A, 2.26%, 05/15/2019 (e) | 58,097 | ||||||
180,000 | Series 2017-1A, Class A, 2.92%, 09/15/2022 (e) | 179,928 | ||||||
Chrysler Capital Auto Receivables Trust, | ||||||||
180,410 | Series 2016-AA, Class A3, 1.77%, 10/15/2020 (e) | 180,261 | ||||||
328,000 | Series 2016-BA, Class A3, 1.64%, 07/15/2021 (e) | 326,585 |
SEE NOTES TO FINANCIAL STATEMENTS.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
65,552 | Citi Held For Asset Issuance, Series 2016-MF1, Class A, 4.48%, 08/15/2022 (e) | 65,925 | ||||||
38,729 | CLUB Credit Trust, Series 2017-NP1, Class A, 2.39%, 04/17/2023 (e) | 38,760 | ||||||
105,950 | Continental Credit Card, Series 2016-1A, Class A, 4.56%, 01/15/2023 (e) | 105,922 | ||||||
CPS Auto Receivables Trust, | ||||||||
23,663 | Series 2015-B, Class A, 1.65%, 11/15/2019 (e) | 23,648 | ||||||
172,000 | Series 2015-C, Class D, 4.63%, 08/16/2021 (e) (bb) | 174,710 | ||||||
28,707 | Series 2016-A, Class A, 2.25%, 10/15/2019 (e) | 28,719 | ||||||
19,454 | Series 2016-B, Class A, 2.07%, 11/15/2019 (e) | 19,458 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
151,834 | Series 2015-2A, Class A, 2.40%, 02/15/2023 (e) | 151,983 | ||||||
250,000 | Series 2017-1A, Class A, 2.56%, 10/15/2025 (e) | 249,611 | ||||||
84,310 | CVS Pass-Through Trust, 5.93%, 01/10/2034 (e) | 96,083 | ||||||
4,005 | CWABS Revolving Home Equity Loan Trust, Series 2004-K, Class 2A, 1.78%, 02/15/2034 (z) (bb) | 3,750 | ||||||
CWABS, Inc. Asset-Backed Certificates, | ||||||||
1,056 | Series 2004-1, Class 3A, 2.11%, 04/25/2034 (z) (bb) | 1,042 | ||||||
46,947 | Series 2004-1, Class M1, 2.30%, 03/25/2034 (z) (bb) | 47,185 | ||||||
8,128 | Series 2004-1, Class M2, 2.38%, 03/25/2034 (z) (bb) | 8,067 | ||||||
20,275 | Delta Air Lines Pass-Through Trust, Series 2010-2, Class A, 4.95%, 05/23/2019 | 20,807 | ||||||
Drive Auto Receivables Trust, | ||||||||
132,000 | Series 2015-DA, Class D, 4.59%, 01/17/2023 (e) (bb) | 135,080 | ||||||
13,958 | Series 2016-AA, Class B, 3.17%, 05/15/2020 (e) | 13,971 | ||||||
243,000 | Series 2016-AA, Class C, 3.91%, 05/17/2021 (e) | 244,824 | ||||||
36,534 | Series 2016-BA, Class B, 2.56%, 06/15/2020 (e) | 36,570 | ||||||
220,000 | Series 2016-CA, Class D, 4.18%, 03/15/2024 (e) | 225,913 | ||||||
231,000 | Series 2017-1, Class C, 2.84%, 04/15/2022 | 232,021 | ||||||
262,000 | Series 2017-1, Class D, 3.84%, 03/15/2023 | 267,250 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
367,000 | Series 2017-2, Class C, 2.75%, 09/15/2023 | 367,519 | ||||||
1,170,000 | Series 2017-3, Class B, 2.30%, 05/17/2021 | 1,167,303 | ||||||
570,000 | Series 2017-3, Class D, 3.53%, 12/15/2023 (e) | 571,648 | ||||||
60,000 | Series 2017-AA, Class B, 2.51%, 01/15/2021 (e) | 60,167 | ||||||
95,000 | Series 2017-AA, Class C, 2.98%, 01/18/2022 (e) | 95,637 | ||||||
127,000 | Series 2017-AA, Class D, 4.16%, 05/15/2024 (e) | 130,180 | ||||||
DT Auto Owner Trust, | ||||||||
6,507 | Series 2016-1A, Class B, 2.79%, 05/15/2020 (e) (bb) | 6,509 | ||||||
103,502 | Series 2016-3A, Class B, 2.65%, 07/15/2020 (e) | 103,568 | ||||||
66,000 | Series 2016-4A, Class B, 2.02%, 08/17/2020 (e) | 65,925 | ||||||
113,300 | Series 2016-4A, Class D, 3.77%, 10/17/2022 (e) | 113,176 | ||||||
115,000 | Series 2017-1A, Class D, 3.55%, 11/15/2022 (e) | 114,940 | ||||||
196,000 | Series 2017-2A, Class C, 3.03%, 01/17/2023 (e) | 196,019 | ||||||
105,000 | Series 2017-3A, Class D, 3.58%, 05/15/2023 (e) | 104,921 | ||||||
205,926 | Engs Commercial Finance Trust, Series 2016-1A, Class A2, 2.63%, 02/22/2022 (e) | 204,818 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
18,220 | Series 2016-1A, Class A, 2.35%, 07/15/2020 (e) | 18,232 | ||||||
135,000 | Series 2016-1A, Class C, 5.52%, 10/15/2021 (e) | 138,682 | ||||||
27,444 | Series 2016-2A, Class A, 2.21%, 07/15/2020 (e) | 27,429 | ||||||
172,416 | Series 2016-3A, Class A, 1.84%, 11/16/2020 (e) | 172,217 | ||||||
82,000 | Series 2016-3A, Class B, 2.84%, 08/16/2021 (e) | 81,894 | ||||||
60,000 | Series 2017-1A, Class C, 3.95%, 12/15/2022 (e) (bb) | 60,570 | ||||||
128,931 | Series 2017-3A, Class A, 2.05%, 12/15/2021 (e) | 128,732 | ||||||
48,363 | First Investors Auto Owner Trust, Series 2016-2A, Class A1, 1.53%, 11/16/2020 (e) | 48,273 | ||||||
239,108 | FirstKey Lending Trust, Series 2015-SFR1, Class A, 2.55%, 03/09/2047 (e) | 237,795 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 5 |
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JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
Flagship Credit Auto Trust, | ||||||||
35,333 | Series 2014-2, Class B, 2.84%, 11/16/2020 (e) | 35,428 | ||||||
22,000 | Series 2014-2, Class C, 3.95%, 12/15/2020 (e) | 22,303 | ||||||
98,642 | Series 2015-3, Class A, 2.38%, 10/15/2020 (e) | 98,809 | ||||||
126,000 | Series 2015-3, Class B, 3.68%, 03/15/2022 (e) | 127,827 | ||||||
76,000 | Series 2015-3, Class C, 4.65%, 03/15/2022 (e) | 77,764 | ||||||
121,292 | Series 2016-1, Class A, 2.77%, 12/15/2020 (e) | 121,770 | ||||||
250,000 | Series 2016-1, Class C, 6.22%, 06/15/2022 (e) | 264,193 | ||||||
327,000 | Series 2016-4, Class A2, 1.96%, 02/16/2021 (e) | 326,261 | ||||||
249,000 | Series 2016-4, Class C, 2.71%, 11/15/2022 (e) (bb) | 247,636 | ||||||
146,000 | Ford Credit Auto Lease Trust, Series 2017-B, Class A3, 2.03%, 12/15/2020 | 145,405 | ||||||
79,755 | GO Financial Auto Securitization Trust, Series 2015-2, Class B, 4.80%, 08/17/2020 (e) | 80,187 | ||||||
40,950 | Gold Key Resorts LLC, Series 2014-A, Class A, 3.22%, 03/17/2031 (e) | 40,781 | ||||||
Goodgreen Trust, | ||||||||
95,952 | Series 2017-1A, Class A, 3.74%, 10/15/2052 (e) | 96,904 | ||||||
365,789 | Series 2017-2A, Class A, 3.26%, 10/15/2053 (e) | 366,275 | ||||||
333,134 | Hero Funding, (Cayman Islands), Series 2017-3A, Class A2, 3.95%, 09/20/2048 (e) | 343,526 | ||||||
HERO Funding Trust, | ||||||||
102,368 | Series 2016-3A, Class A1, 3.08%, 09/20/2042 (e) | 101,011 | ||||||
259,200 | Series 2017-1A, Class A2, 4.46%, 09/20/2047 (e) | 266,966 | ||||||
209,373 | Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, 12/26/2028 (e) | 207,873 | ||||||
1,220,000 | Hyundai Auto Receivables Trust, Series 2016-A, Class D, 3.23%, 12/15/2022 | 1,229,909 | ||||||
700,000 | Kabbage Asset Securitization LLC, Series 2017-1, Class A, 4.57%, 03/15/2022 (e) | 714,879 | ||||||
49,977 | LendingClub Issuance Trust, Series 2016-NP1, Class A, 3.75%, 06/15/2022 (e) | 50,132 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Lendmark Funding Trust, | ||||||||
171,000 | Series 2016-A, Class A, 4.82%, 08/21/2023 (e) | 173,315 | ||||||
162,000 | Series 2017-1A, Class A, 2.83%, 01/22/2024 (e) | 161,596 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
49,813 | Series 2003-4, Class M1, 2.57%, 08/25/2033 (z) (bb) | 49,058 | ||||||
93,757 | Series 2004-1, Class M1, 2.30%, 02/25/2034 (z) (bb) | 93,860 | ||||||
8,499 | Series 2004-1, Class M2, 2.38%, 02/25/2034 (z) (bb) | 8,506 | ||||||
4,716 | Series 2006-WL2, Class 2A3, 1.75%, 01/25/2036 (z) (bb) | 4,699 | ||||||
176,000 | Mariner Finance Issuance Trust, Series 2017-AA, Class A, 3.62%, 02/20/2029 (e) | 176,783 | ||||||
Marlette Funding Trust, | ||||||||
55,270 | Series 2016-1A, Class A, 3.06%, 01/17/2023 (e) | 55,372 | ||||||
208,519 | Series 2017-1A, Class A, 2.83%, 03/15/2024 (e) | 209,280 | ||||||
18,323 | Murray Hill Marketplace Trust, Series 2016-LC1, Class A, 4.19%, 11/25/2022 (e) | 18,349 | ||||||
24,575 | Nationstar HECM Loan Trust, Series 2016-2A, Class A, 2.24%, 06/25/2026 (e) (z) | 24,529 | ||||||
125,000 | New Century Home Equity Loan Trust, Series 2005-1, Class M1, 2.23%, 03/25/2035 (z) (bb) | 124,841 | ||||||
180,000 | New Residential Advance Receivables Trust Advance Receivables Backed Notes, Series 2016-T2, Class AT2, 2.58%, 10/15/2049 (e) | 178,280 | ||||||
202,320 | NRPL Trust, Series 2015-2A, Class A1, SUB, 3.75%, 10/25/2057 (e) (bb) | 203,465 | ||||||
50,000 | NRZ Advance Receivables Trust Advance Receivables Backed, Series 2016-T1, Class AT1, 2.75%, 06/15/2049 (e) | 49,467 | ||||||
Ocwen Master Advance Receivables Trust, | ||||||||
100,000 | Series 2016-T1, Class AT1, 2.52%, 08/17/2048 (e) | 99,980 | ||||||
150,000 | Series 2016-T1, Class CT1, 3.61%, 08/17/2048 (e) (bb) | 150,074 | ||||||
184,211 | Series 2016-T1, Class DT1, 4.25%, 08/17/2048 (e) (bb) | 182,409 | ||||||
100,000 | Series 2017-T1, Class AT1, 2.50%, 09/15/2048 (e) | 100,074 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
155,000 | OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A, 4.21%, 05/17/2020 (e) | 155,609 | ||||||
39,361 | OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 2.04%, 01/15/2021 (e) | 39,374 | ||||||
OneMain Financial Issuance Trust, | ||||||||
5,146 | Series 2014-2A, Class A, 2.47%, 09/18/2024 (e) | 5,147 | ||||||
230,000 | Series 2015-1A, Class A, 3.19%, 03/18/2026 (e) | 231,175 | ||||||
100,000 | Series 2015-1A, Class B, 3.85%, 03/18/2026 (e) | 100,953 | ||||||
155,910 | Series 2015-2A, Class A, 2.57%, 07/18/2025 (e) | 155,809 | ||||||
100,000 | Series 2015-2A, Class B, 3.10%, 07/18/2025 (e) (bb) | 100,008 | ||||||
215,000 | Series 2016-1A, Class A, 3.66%, 02/20/2029 (e) | 218,457 | ||||||
250,000 | Oportun Funding II LLC, Series 2016-A, Class A, 4.70%, 03/08/2021 (e) | 252,056 | ||||||
Oportun Funding IV LLC, | ||||||||
250,000 | Series 2016-C, Class A, 3.28%, 11/08/2021 (e) | 250,150 | ||||||
250,000 | Series 2016-C, Class B, 4.85%, 11/08/2021 (e) (bb) | 252,212 | ||||||
250,000 | Oportun Funding VI LLC, Series 2017-A, Class A, 3.23%, 06/08/2023 (e) | 249,009 | ||||||
Progress Residential Trust, | ||||||||
224,603 | Series 2015-SFR2, Class A, 2.74%, 06/12/2032 (e) | 224,053 | ||||||
150,000 | Series 2015-SFR2, Class B, 3.14%, 06/12/2032 (e) (bb) | 149,801 | ||||||
433,795 | Series 2015-SFR3, Class A, 3.07%, 11/12/2032 (e) (bb) | 436,082 | ||||||
100,000 | Series 2015-SFR3, Class D, 4.67%, 11/12/2032 (e) (bb) | 102,829 | ||||||
Prosper Marketplace Issuance Trust, | ||||||||
105,738 | Series 2017-1A, Class A, 2.56%, 06/15/2023 (e) | 106,056 | ||||||
157,133 | Series 2017-2A, Class A, 2.41%, 09/15/2023 (e) | 157,261 | ||||||
336,932 | Series 2017-3A, Class A, 2.36%, 11/15/2023 (e) | 337,051 | ||||||
102,919 | Renew, (Cayman Islands), Series 2017-1A, Class A, 3.67%, 09/20/2052 (e) | 103,228 | ||||||
432,824 | Rice Park Financing Trust, Series 2016-A, Class A, 4.63%, 10/31/2041 (e) (bb) | 432,824 | ||||||
374,000 | Santander Drive Auto Receivables Trust, Series 2016-3, Class B, 1.89%, 06/15/2021 | 373,199 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
13,607 | Sierra Auto Receivables Securitization Trust, Series 2016-1A, Class A, 2.85%, 01/18/2022 (e) | 13,624 | ||||||
82,185 | SoFi Consumer Loan Program LLC, Series 2016-2, Class A, 3.09%, 10/27/2025 (e) | 83,486 | ||||||
61,000 | Spirit Airlines Pass-Through Trust, Series 2017-1, 3.38%, 02/15/2030 | 60,811 | ||||||
155,232 | SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/2029 (e) | 156,195 | ||||||
308,000 | Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, 11/15/2024 (e) | 309,222 | ||||||
80,029 | Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 06/15/2028 (e) | 79,188 | ||||||
400,000 | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes, Series 2016-T1, Class AT1, 2.53%, 11/16/2048 (e) | 396,489 | ||||||
319,216 | TCF Auto Receivables Owner Trust, Series 2016-PT1A, Class A, 1.93%, 06/15/2022 (e) | 318,052 | ||||||
142,829 | Tricolor Auto Securitization Trust, Series 2017-1, Class A, 5.09%, 05/15/2020 (e) (bb) | 142,745 | ||||||
131,000 | Tricon American Homes Trust, Series 2016-SFR1, Class A, 2.59%, 11/17/2033 (e) (bb) | 129,145 | ||||||
United Airlines Pass-Through Trust, | ||||||||
85,232 | Series 2013-1, Class A, 4.30%, 08/15/2025 | 89,941 | ||||||
66,000 | Series 2016-1, Class B, 3.65%, 01/07/2026 | 65,545 | ||||||
100,000 | Series 2016-2, Class AA, 2.88%, 10/07/2028 | 98,075 | ||||||
115,848 | Upstart Securitization Trust, Series 2017-1, Class A, 2.64%, 06/20/2024 (e) | 115,775 | ||||||
Verizon Owner Trust, | ||||||||
393,000 | Series 2017-2A, Class A, 1.92%, 12/20/2021 (e) | 390,374 | ||||||
388,000 | Series 2017-3A, Class A1A, 2.06%, 04/20/2022 (e) | 386,007 | ||||||
172,810 | Veros Automobile Receivables Trust, Series 2017-1, Class A, 2.84%, 04/17/2023 (e) | 172,478 | ||||||
300,000 | VM DEBT LLC, Series 2017-1, Class A, 6.50%, 10/02/2024 (e) (bb) | 300,000 | ||||||
78,077 | VOLT LIV LLC, Series 2017-NPL1, Class A1, SUB, 3.50%, 02/25/2047 (e) (bb) | 78,486 | ||||||
89,301 | VOLT LIX LLC, Series 2017-NPL6, Class A1, SUB, 3.25%, 05/25/2047 (e) (bb) | 89,519 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
95,986 | VOLT LV LLC, Series 2017-NPL2, Class A1, SUB, 3.50%, 03/25/2047 (e) (bb) | 96,325 | ||||||
218,608 | VOLT LVI LLC, Series 2017-NPL3, Class A1, SUB, 3.50%, 03/25/2047 (e) (bb) | 220,020 | ||||||
156,208 | VOLT LVII LLC, Series 2017-NPL4, Class A1, SUB, 3.38%, 04/25/2047 (e) (bb) | 156,824 | ||||||
144,065 | VOLT LX LLC, Series 2017-NPL7, Class A1, SUB, 3.25%, 04/25/2059 (e) (bb) | 144,312 | ||||||
180,450 | VOLT LXI LLC, Series 2017-NPL8, Class A1, SUB, 3.13%, 06/25/2047 (e) | 180,519 | ||||||
653,640 | VOLT LXIV LLC, Series 2017-NP11, Class A1, SUB, 3.38%, 10/25/2047 (e) (bb) | 653,530 | ||||||
55,966 | VOLT XL LLC, Series 2015-NP14, Class A1, SUB, 4.37%, 11/27/2045 (e) | 56,091 | ||||||
182,659 | VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.50%, 06/26/2045 (e) | 182,798 | ||||||
207,917 | Westgate Resorts LLC, Series 2017-1A, Class A, 3.05%, 12/20/2030 (e) | 207,650 | ||||||
Westlake Automobile Receivables Trust, | ||||||||
100,000 | Series 2015-3A, Class D, 4.40%, 05/17/2021 (e) | 100,859 | ||||||
266,863 | Series 2016-2A, Class A2, 1.57%, 06/17/2019 (e) | 266,758 | ||||||
645,000 | Series 2016-3A, Class C, 2.46%, 01/18/2022 (e) (bb) | 641,638 | ||||||
77,000 | Series 2017-1A, Class C, 2.70%, 10/17/2022 (e) | 77,005 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $30,171,592) | 30,262,561 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 11.2% | ||||||||
500,000 | Acre TL, Series 2017-A, 12/15/2020 (bb) | 500,156 | ||||||
Alternative Loan Trust, | ||||||||
1,174,695 | Series 2004-2CB, Class 1A9, 5.75%, 03/25/2034 | 1,202,041 | ||||||
330,639 | Series 2005-20CB, Class 3A8, IF, IO, 3.20%, 07/25/2035 (z) (bb) | 37,924 | ||||||
498,209 | Series 2005-22T1, Class A2, IF, IO, 3.52%, 06/25/2035 (z) (bb) | 62,714 | ||||||
448,410 | Series 2005-28CB, Class 1A4, 5.50%, 08/25/2035 | 433,374 | ||||||
199,865 | Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 189,134 | ||||||
149,313 | Series 2005-J1, Class 1A4, IF, IO, 3.55%, 02/25/2035 (z) (bb) | 5,115 | ||||||
18,567 | Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, SUB, 4.50%, 11/25/2045 (e) | 18,467 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
159,709 | Series 2004-5, Class 3A3, PO, 06/25/2034 (bb) | 139,523 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
7,937 | Series 2004-6, Class 15PO, PO, 07/25/2019 (bb) | 7,592 | ||||||
Banc of America Funding Trust, | ||||||||
21,814 | Series 2004-1, Class PO, PO, 03/25/2034 (bb) | 18,324 | ||||||
121,415 | Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 117,783 | ||||||
20,788 | Series 2005-7, Class 30PO, PO, 11/25/2035 (bb) | 17,248 | ||||||
60,660 | Series 2005-E, Class 4A1, 3.58%, 03/20/2035 (z) | 61,532 | ||||||
67,781 | Banc of America Mortgage Trust, Series 2004-J, Class 3A1, 3.92%, 11/25/2034 (z) | 67,910 | ||||||
Bear Stearns ARM Trust, | ||||||||
22,814 | Series 2003-7, Class 3A, 3.29%, 10/25/2033 (z) | 22,640 | ||||||
50,197 | Series 2005-5, Class A1, 3.28%, 08/25/2035 (z) | 51,115 | ||||||
159,833 | Series 2006-1, Class A1, 3.67%, 02/25/2036 (z) | 160,142 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
35,480 | Series 2004-7, Class 2A1, 3.52%, 06/25/2034 (z) | 35,813 | ||||||
19,034 | Series 2004-HYB1, Class 2A, 3.35%, 05/20/2034 (z) | 19,141 | ||||||
35,142 | Series 2004-HYB3, Class 2A, 3.17%, 06/20/2034 (z) | 35,146 | ||||||
7,600 | Series 2004-J8, Class 1A2, 4.75%, 11/25/2019 | 7,653 | ||||||
1,577 | Series 2004-J8, Class POA, PO, 11/25/2019 (bb) | 1,575 | ||||||
75,555 | Series 2005-16, Class A23, 5.50%, 09/25/2035 | 74,392 | ||||||
171,633 | Series 2005-22, Class 2A1, 3.45%, 11/25/2035 (z) | 150,299 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||
23,126 | Series 2003-HYB1, Class A, 3.74%, 09/25/2033 (z) | 23,315 | ||||||
93 | Series 2003-UP2, Class PO1, PO, 12/25/2018 (bb) | 82 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
3,123 | Series 2003-UP3, Class A3, 7.00%, 09/25/2033 | 3,165 | ||||||
3,658 | Series 2003-UST1, Class A1, 5.50%, 12/25/2018 | 3,649 | ||||||
1,728 | Series 2003-UST1, Class PO1, PO, 12/25/2018 (bb) | 1,721 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
274 | Series 2003-UST1, Class PO3, PO, 12/25/2018 (bb) | 273 | ||||||
62,240 | Series 2005-1, Class 2A1A, 2.18%, 02/25/2035 (z) | 54,277 | ||||||
725 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 5P, PO, 08/25/2019 (bb) | 723 | ||||||
500,000 | DT Asset Trust, 5.84%, 12/16/2022 (bb) | 500,000 | ||||||
52,803 | FHLMC-GNMA, Series 8, Class ZA, 7.00%, 03/25/2023 | 56,173 | ||||||
FHLMC REMIC, | ||||||||
82 | Series 22, Class C, 9.50%, 04/15/2020 | 82 | ||||||
45 | Series 47, Class F, 10.00%, 06/15/2020 | 46 | ||||||
85 | Series 99, Class Z, 9.50%, 01/15/2021 | 89 | ||||||
230 | Series 1065, Class J, 9.00%, 04/15/2021 | 249 | ||||||
174 | Series 1113, Class J, 8.50%, 06/15/2021 | 178 | ||||||
1,156 | Series 1250, Class J, 7.00%, 05/15/2022 | 1,172 | ||||||
3,420 | Series 1316, Class Z, 8.00%, 06/15/2022 | 3,705 | ||||||
5,746 | Series 1324, Class Z, 7.00%, 07/15/2022 | 6,113 | ||||||
25,223 | Series 1343, Class LA, 8.00%, 08/15/2022 | 27,377 | ||||||
5,192 | Series 1343, Class LB, 7.50%, 08/15/2022 | 5,651 | ||||||
3,380 | Series 1394, Class ID, IF, 9.57%, 10/15/2022 (z) | 3,867 | ||||||
3,006 | Series 1395, Class G, 6.00%, 10/15/2022 | 3,163 | ||||||
2,203 | Series 1505, Class Q, 7.00%, 05/15/2023 | 2,381 | ||||||
4,298 | Series 1518, Class G, IF, 7.56%, 05/15/2023 (z) | 4,705 | ||||||
4,518 | Series 1541, Class O, 1.66%, 07/15/2023 (z) | 4,504 | ||||||
128,902 | Series 1577, Class PV, 6.50%, 09/15/2023 | 137,948 | ||||||
76,108 | Series 1584, Class L, 6.50%, 09/15/2023 | 81,808 | ||||||
79,650 | Series 1633, Class Z, 6.50%, 12/15/2023 | 84,616 | ||||||
97,715 | Series 1638, Class H, 6.50%, 12/15/2023 | 104,289 | ||||||
2,387 | Series 1671, Class QC, IF, 10.00%, 02/15/2024 (z) | 3,089 | ||||||
10,146 | Series 1694, Class PK, 6.50%, 03/15/2024 | 10,877 | ||||||
2,764 | Series 1700, Class GA, PO, 02/15/2024 | 2,666 | ||||||
11,175 | Series 1798, Class F, 5.00%, 05/15/2023 | 11,628 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
21,197 | Series 1863, Class Z, 6.50%, 07/15/2026 | 23,475 | ||||||
4,026 | Series 1865, Class D, PO, 02/15/2024 | 3,648 | ||||||
9,813 | Series 1981, Class Z, 6.00%, 05/15/2027 | 10,563 | ||||||
13,440 | Series 1987, Class PE, 7.50%, 09/15/2027 | 15,381 | ||||||
43,767 | Series 1999, Class PU, 7.00%, 10/15/2027 | 48,036 | ||||||
73,364 | Series 2031, Class PG, 7.00%, 02/15/2028 | 82,703 | ||||||
2,650 | Series 2033, Class SN, HB, IF, 28.12%, 03/15/2024 (z) | 876 | ||||||
75,870 | Series 2035, Class PC, 6.95%, 03/15/2028 | 83,946 | ||||||
5,287 | Series 2038, Class PN, IO, 7.00%, 03/15/2028 | 1,001 | ||||||
14,603 | Series 2054, Class PV, 7.50%, 05/15/2028 | 16,566 | ||||||
95,559 | Series 2057, Class PE, 6.75%, 05/15/2028 | 106,957 | ||||||
18,130 | Series 2064, Class TE, 7.00%, 06/15/2028 | 20,298 | ||||||
16,780 | Series 2075, Class PH, 6.50%, 08/15/2028 | 18,623 | ||||||
52,588 | Series 2095, Class PE, 6.00%, 11/15/2028 | 57,615 | ||||||
3,377 | Series 2132, Class SB, HB, IF, 24.65%, 03/15/2029 (z) | 5,264 | ||||||
1,410 | Series 2134, Class PI, IO, 6.50%, 03/15/2019 | 37 | ||||||
30,055 | Series 2178, Class PB, 7.00%, 08/15/2029 | 34,024 | ||||||
52,233 | Series 2182, Class ZB, 8.00%, 09/15/2029 | 60,380 | ||||||
617 | Series 2204, Class GB, 8.00%, 12/20/2029 (z) (bb) | 617 | ||||||
9,750 | Series 2247, Class Z, 7.50%, 08/15/2030 | 11,047 | ||||||
147,848 | Series 2259, Class ZC, 7.35%, 10/15/2030 | 171,839 | ||||||
339 | Series 2261, Class ZY, 7.50%, 10/15/2030 | 347 | ||||||
13,515 | Series 2283, Class K, 6.50%, 12/15/2023 | 14,479 | ||||||
3,229 | Series 2306, Class K, PO, 05/15/2024 | 3,043 | ||||||
7,748 | Series 2306, Class SE, IF, IO, 8.25%, 05/15/2024 (z) | 1,316 | ||||||
7,673 | Series 2325, Class PM, 7.00%, 06/15/2031 | 8,763 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
58,771 | Series 2344, Class ZD, 6.50%, 08/15/2031 | 67,824 | ||||||
8,910 | Series 2344, Class ZJ, 6.50%, 08/15/2031 | 9,794 | ||||||
5,141 | Series 2345, Class NE, 6.50%, 08/15/2031 | 5,746 | ||||||
32,351 | Series 2359, Class ZB, 8.50%, 06/15/2031 | 37,117 | ||||||
84,803 | Series 2367, Class ME, 6.50%, 10/15/2031 | 93,775 | ||||||
8,570 | Series 2390, Class DO, PO, 12/15/2031 | 7,840 | ||||||
14,223 | Series 2410, Class OE, 6.38%, 02/15/2032 | 15,408 | ||||||
14,084 | Series 2410, Class QS, IF, 15.66%, 02/15/2032 (z) | 20,405 | ||||||
16,716 | Series 2410, Class QX, IF, IO, 7.17%, 02/15/2032 (z) | 4,012 | ||||||
17,962 | Series 2412, Class SP, IF, 13.15%, 02/15/2032 (z) | 22,409 | ||||||
35,312 | Series 2423, Class MC, 7.00%, 03/15/2032 | 40,127 | ||||||
55,144 | Series 2423, Class MT, 7.00%, 03/15/2032 | 62,950 | ||||||
111,918 | Series 2435, Class CJ, 6.50%, 04/15/2032 | 125,693 | ||||||
20,455 | Series 2444, Class ES, IF, IO, 6.47%, 03/15/2032 (z) | 4,381 | ||||||
13,637 | Series 2450, Class SW, IF, IO, 6.52%, 03/15/2032 (z) | 2,693 | ||||||
34,138 | Series 2455, Class GK, 6.50%, 05/15/2032 | 36,850 | ||||||
24,834 | Series 2484, Class LZ, 6.50%, 07/15/2032 | 27,824 | ||||||
76,547 | Series 2500, Class MC, 6.00%, 09/15/2032 | 85,399 | ||||||
27,768 | Series 2535, Class BK, 5.50%, 12/15/2022 | 29,208 | ||||||
962,210 | Series 2543, Class YX, 6.00%, 12/15/2032 | 1,060,018 | ||||||
70,065 | Series 2544, Class HC, 6.00%, 12/15/2032 | 78,391 | ||||||
400,931 | Series 2574, Class PE, 5.50%, 02/15/2033 | 441,245 | ||||||
150,746 | Series 2575, Class ME, 6.00%, 02/15/2033 | 166,860 | ||||||
10,418 | Series 2578, Class PG, 5.00%, 02/15/2018 | 10,427 | ||||||
11,703 | Series 2586, Class WI, IO, 6.50%, 03/15/2033 | 2,199 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,377 | Series 2626, Class NS, IF, IO, 5.07%, 06/15/2023 (z) | 9 | ||||||
24,227 | Series 2638, Class DS, IF, 7.12%, 07/15/2023 (z) | 25,611 | ||||||
61,820 | Series 2647, Class A, 3.25%, 04/15/2032 | 62,474 | ||||||
22,331 | Series 2651, Class VZ, 4.50%, 07/15/2018 | 22,390 | ||||||
260,000 | Series 2764, Class UG, 5.00%, 03/15/2034 | 283,799 | ||||||
36,071 | Series 2827, Class DG, 4.50%, 07/15/2019 | 36,241 | ||||||
391,156 | Series 2949, Class GE, 5.50%, 03/15/2035 | 428,371 | ||||||
221 | Series 2989, Class PO, PO, 06/15/2023 | 220 | ||||||
300,000 | Series 3047, Class OD, 5.50%, 10/15/2035 | 337,277 | ||||||
82,188 | Series 3085, Class VS, HB, IF, 22.81%, 12/15/2035 (z) | 132,706 | ||||||
28,018 | Series 3117, Class EO, PO, 02/15/2036 | 24,448 | ||||||
28,747 | Series 3260, Class CS, IF, IO, 4.66%, 01/15/2037 (z) | 4,758 | ||||||
1,499,037 | Series 3380, Class SI, IF, IO, 4.89%, 10/15/2037 (z) | 234,996 | ||||||
29,416 | Series 3385, Class SN, IF, IO, 4.52%, 11/15/2037 (z) | 2,532 | ||||||
64,306 | Series 3387, Class SA, IF, IO, 4.94%, 11/15/2037 (z) | 7,807 | ||||||
330,360 | Series 3423, Class PB, 5.50%, 03/15/2038 | 363,312 | ||||||
35,915 | Series 3451, Class SA, IF, IO, 4.57%, 05/15/2038 (z) | 4,615 | ||||||
231,410 | Series 3455, Class SE, IF, IO, 4.72%, 06/15/2038 (z) | 37,698 | ||||||
84,210 | Series 3688, Class NI, IO, 5.00%, 04/15/2032 | 3,405 | ||||||
25,590 | Series 3759, Class HI, IO, 4.00%, 08/15/2037 | 952 | ||||||
15,160 | Series 3772, Class IO, IO, 3.50%, 09/15/2024 | 93 | ||||||
407,000 | Series 3786, Class PD, 4.50%, 01/15/2041 | 453,923 | ||||||
FHLMC STRIPS, | ||||||||
56,149 | Series 233, Class 11, IO, 5.00%, 09/15/2035 | 11,779 | ||||||
60,376 | Series 239, Class S30, IF, IO, 6.22%, 08/15/2036 (z) | 11,278 | ||||||
305,906 | Series 262, Class 35, 3.50%, 07/15/2042 | 314,237 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
291,334 | Series 299, Class 300, 3.00%, 01/15/2043 | 295,774 | ||||||
FHLMC Structured Pass-Through Securities Certificates, | ||||||||
10,766 | Series T-41, Class 3A, 5.65%, 07/25/2032 (z) | 11,479 | ||||||
76,024 | Series T-54, Class 2A, 6.50%, 02/25/2043 | 88,293 | ||||||
33,715 | Series T-54, Class 3A, 7.00%, 02/25/2043 | 39,108 | ||||||
162,404 | Series T-56, Class APO, PO, 05/25/2043 | 150,036 | ||||||
17,397 | Series T-58, Class APO, PO, 09/25/2043 | 14,362 | ||||||
122,106 | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | 104,465 | ||||||
First Horizon Mortgage Pass-Through Trust, | ||||||||
95,986 | Series 2004-AR7, Class 2A2, 3.45%, 02/25/2035 (z) | 96,309 | ||||||
57,881 | Series 2005-AR1, Class 2A2, 3.16%, 04/25/2035 (z) | 58,976 | ||||||
FNMA REMIC, | ||||||||
4 | Series 1988-16, Class B, 9.50%, 06/25/2018 | 4 | ||||||
809 | Series 1989-83, Class H, 8.50%, 11/25/2019 | 842 | ||||||
186 | Series 1990-1, Class D, 8.80%, 01/25/2020 | 194 | ||||||
1,036 | Series 1990-10, Class L, 8.50%, 02/25/2020 | 1,084 | ||||||
97 | Series 1990-93, Class G, 5.50%, 08/25/2020 | 99 | ||||||
5 | Series 1990-140, Class K, HB, 652.15%, 12/25/2020 | 34 | ||||||
279 | Series 1990-143, Class J, 8.75%, 12/25/2020 | 296 | ||||||
9,319 | Series 1992-101, Class J, 7.50%, 06/25/2022 | 10,198 | ||||||
2,274 | Series 1992-143, Class MA, 5.50%, 09/25/2022 | 2,357 | ||||||
711,670 | Series 1993-84, Class M, 7.50%, 06/25/2023 | 778,388 | ||||||
11,324 | Series 1993-146, Class E, PO, 05/25/2023 | 10,777 | ||||||
29,053 | Series 1993-155, Class PJ, 7.00%, 09/25/2023 | 31,626 | ||||||
876 | Series 1993-165, Class SD, IF, 13.29%, 09/25/2023 (z) | 1,016 | ||||||
4,369 | Series 1993-165, Class SK, IF, 12.50%, 09/25/2023 (z) | 4,828 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
37,806 | Series 1993-203, Class PL, 6.50%, 10/25/2023 | 41,911 | ||||||
3,830 | Series 1993-205, Class H, PO, 09/25/2023 | 3,638 | ||||||
118,221 | Series 1993-223, Class PZ, 6.50%, 12/25/2023 | 126,021 | ||||||
40,434 | Series 1993-225, Class UB, 6.50%, 12/25/2023 | 43,872 | ||||||
1,179 | Series 1993-230, Class FA, 2.15%, 12/25/2023 (z) | 1,188 | ||||||
89,873 | Series 1994-37, Class L, 6.50%, 03/25/2024 | 96,660 | ||||||
753,399 | Series 1994-72, Class K, 6.00%, 04/25/2024 | 841,544 | ||||||
8,853 | Series 1995-2, Class Z, 8.50%, 01/25/2025 | 9,284 | ||||||
45,353 | Series 1995-19, Class Z, 6.50%, 11/25/2023 | 50,277 | ||||||
1,481 | Series 1996-59, Class J, 6.50%, 08/25/2022 | 1,575 | ||||||
43,780 | Series 1997-20, Class IB, IO, 1.84%, 03/25/2027 (z) | 1,306 | ||||||
9,563 | Series 1997-39, Class PD, 7.50%, 05/20/2027 | 10,914 | ||||||
16,350 | Series 1997-46, Class PL, 6.00%, 07/18/2027 | 17,710 | ||||||
35,486 | Series 1997-61, Class ZC, 7.00%, 02/25/2023 | 38,323 | ||||||
5,976 | Series 1998-36, Class ZB, 6.00%, 07/18/2028 | 6,671 | ||||||
13,370 | Series 1998-43, Class SA, IF, IO, 17.05%, 04/25/2023 (z) | 4,001 | ||||||
19,629 | Series 1998-46, Class GZ, 6.50%, 08/18/2028 | 21,760 | ||||||
40,134 | Series 1998-58, Class PC, 6.50%, 10/25/2028 | 44,379 | ||||||
94,295 | Series 1999-39, Class JH, IO, 6.50%, 08/25/2029 | 10,272 | ||||||
3,429 | Series 2000-52, Class IO, IO, 8.50%, 01/25/2031 | 717 | ||||||
21,491 | Series 2001-4, Class PC, 7.00%, 03/25/2021 | 22,365 | ||||||
32,279 | Series 2001-30, Class PM, 7.00%, 07/25/2031 | 36,966 | ||||||
109,381 | Series 2001-33, Class ID, IO, 6.00%, 07/25/2031 | 24,086 | ||||||
50,127 | Series 2001-36, Class DE, 7.00%, 08/25/2031 | 56,522 | ||||||
4,940 | Series 2001-44, Class PD, 7.00%, 09/25/2031 | 5,620 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
80,208 | Series 2001-61, Class Z, 7.00%, 11/25/2031 | 92,127 | ||||||
8,647 | Series 2002-1, Class HC, 6.50%, 02/25/2022 | 9,145 | ||||||
2,164 | Series 2002-1, Class SA, HB, IF, 20.14%, 02/25/2032 (z) | 2,918 | ||||||
104,643 | Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/2032 (z) | 5,237 | ||||||
66,998 | Series 2002-15, Class PO, PO, 04/25/2032 | 60,890 | ||||||
36,348 | Series 2002-28, Class PK, 6.50%, 05/25/2032 | 40,752 | ||||||
72,561 | Series 2002-68, Class SH, IF, IO, 6.51%, 10/18/2032 (z) | 13,392 | ||||||
7,447 | Series 2002-77, Class S, IF, 11.64%, 12/25/2032 (z) | 8,931 | ||||||
166,338 | Series 2003-7, Class A1, 6.50%, 12/25/2042 | 186,804 | ||||||
175,531 | Series 2003-22, Class UD, 4.00%, 04/25/2033 | 182,823 | ||||||
40,098 | Series 2003-44, Class IU, IO, 7.00%, 06/25/2033 | 9,380 | ||||||
28,531 | Series 2003-47, Class PE, 5.75%, 06/25/2033 | 31,761 | ||||||
6,381 | Series 2003-64, Class SX, IF, 10.35%, 07/25/2033 (z) | 7,516 | ||||||
3,005 | Series 2003-66, Class PA, 3.50%, 02/25/2033 | 3,024 | ||||||
32,897 | Series 2003-71, Class DS, IF, 5.65%, 08/25/2033 (z) | 34,387 | ||||||
9,933 | Series 2003-91, Class SD, IF, 9.91%, 09/25/2033 (z) | 11,555 | ||||||
102,545 | Series 2003-116, Class SB, IF, IO, 6.05%, 11/25/2033 (z) | 18,747 | ||||||
463,421 | Series 2003-128, Class DY, 4.50%, 01/25/2024 | 485,295 | ||||||
3,696 | Series 2003-130, Class SX, IF, 9.19%, 01/25/2034 (z) | 4,229 | ||||||
132,735 | Series 2003-131, Class CH, 5.50%, 01/25/2034 | 147,702 | ||||||
11,541 | Series 2003-132, Class OA, PO, 08/25/2033 | 10,932 | ||||||
42,834 | Series 2004-4, Class QM, IF, 11.10%, 06/25/2033 (z) | 48,087 | ||||||
11,988 | Series 2004-10, Class SC, HB, IF, 22.39%, 02/25/2034 (z) | 13,520 | ||||||
157,365 | Series 2004-35, Class AZ, 4.50%, 05/25/2034 | 167,720 | ||||||
73,191 | Series 2004-36, Class SA, IF, 15.26%, 05/25/2034 (z) | 96,298 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
40,463 | Series 2004-46, Class SK, IF, 12.23%, 05/25/2034 (z) | 50,853 | ||||||
6,317 | Series 2004-51, Class SY, IF, 11.14%, 07/25/2034 (z) | 7,677 | ||||||
37,894 | Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (z) | 43,068 | ||||||
4,222 | Series 2004-76, Class CL, 4.00%, 10/25/2019 | 4,235 | ||||||
460,332 | Series 2004-79, Class ZE, 5.50%, 11/25/2034 | 537,472 | ||||||
687,847 | Series 2004-91, Class HC, 6.00%, 12/25/2034 | 811,791 | ||||||
113,425 | Series 2005-45, Class DC, IF, 18.62%, 06/25/2035 (z) | 153,885 | ||||||
2,730 | Series 2005-52, Class PA, 6.50%, 06/25/2035 | 2,766 | ||||||
113,957 | Series 2005-68, Class BC, 5.25%, 06/25/2035 | 116,901 | ||||||
93,104 | Series 2005-84, Class XM, 5.75%, 10/25/2035 | 101,732 | ||||||
65,362 | Series 2005-110, Class MN, 5.50%, 06/25/2035 | 66,176 | ||||||
44,532 | Series 2006-22, Class AO, PO, 04/25/2036 | 39,696 | ||||||
14,211 | Series 2006-46, Class SW, IF, 18.51%, 06/25/2036 (z) | 21,092 | ||||||
2,454 | Series 2006-59, Class QO, PO, 01/25/2033 | 2,438 | ||||||
39,126 | Series 2006-110, Class PO, PO, 11/25/2036 | 34,164 | ||||||
74,364 | Series 2006-117, Class GS, IF, IO, 5.10%, 12/25/2036 (z) | 9,569 | ||||||
42,337 | Series 2007-7, Class SG, IF, IO, 4.95%, 08/25/2036 (z) | 10,868 | ||||||
95,973 | Series 2007-53, Class SH, IF, IO, 4.55%, 06/25/2037 (z) | 14,398 | ||||||
119,382 | Series 2007-88, Class VI, IF, IO, 4.99%, 09/25/2037 (z) | 20,352 | ||||||
90,510 | Series 2007-100, Class SM, IF, IO, 4.90%, 10/25/2037 (z) | 13,741 | ||||||
82,313 | Series 2008-1, Class BI, IF, IO, 4.36%, 02/25/2038 (z) | 10,994 | ||||||
18,317 | Series 2008-16, Class IS, IF, IO, 4.65%, 03/25/2038 (z) | 2,219 | ||||||
77,332 | Series 2008-46, Class HI, IO, 1.78%, 06/25/2038 (z) | 4,434 | ||||||
32,369 | Series 2008-53, Class CI, IF, IO, 5.65%, 07/25/2038 (z) | 5,433 | ||||||
67,021 | Series 2009-112, Class ST, IF, IO, 4.70%, 01/25/2040 (z) | 9,873 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
32,196 | Series 2010-35, Class SB, IF, IO, 4.87%, 04/25/2040 (z) | 4,765 | ||||||
290,772 | Series 2010-80, Class PZ, 5.00%, 07/25/2040 | 338,393 | ||||||
580,000 | Series 2010-102, Class PN, 5.00%, 09/25/2040 | 644,538 | ||||||
1,284,795 | Series 2010-134, Class KZ, 4.50%, 12/25/2040 | 1,313,501 | ||||||
258,689 | Series 2013-128, Class PO, PO, 12/25/2043 | 211,993 | ||||||
212,542 | Series 2016-38, Class NA, 3.00%, 01/25/2046 | 213,970 | ||||||
783 | Series G92-42, Class Z, 7.00%, 07/25/2022 | 822 | ||||||
143 | Series G92-44, Class ZQ, 8.00%, 07/25/2022 | 142 | ||||||
6,103 | Series G92-54, Class ZQ, 7.50%, 09/25/2022 | 6,483 | ||||||
487 | Series G92-59, Class F, 1.44%, 10/25/2022 (z) | 493 | ||||||
1,645 | Series G92-61, Class Z, 7.00%, 10/25/2022 | 1,768 | ||||||
3,917 | Series G92-66, Class KA, 6.00%, 12/25/2022 | 4,123 | ||||||
18,525 | Series G92-66, Class KB, 7.00%, 12/25/2022 | 20,056 | ||||||
4,930 | Series G93-1, Class KA, 7.90%, 01/25/2023 | 5,391 | ||||||
5,383 | Series G93-17, Class SI, IF, 6.00%, 04/25/2023 (z) | 5,882 | ||||||
FNMA REMIC Trust, | ||||||||
25,690 | Series 1999-W1, Class PO, PO, 02/25/2029 | 22,327 | ||||||
110,521 | Series 1999-W4, Class A9, 6.25%, 02/25/2029 | 118,451 | ||||||
257,921 | Series 2002-W7, Class A4, 6.00%, 06/25/2029 | 280,190 | ||||||
233,054 | Series 2003-W1, Class 1A1, 6.50%, 12/25/2042 (z) | 248,884 | ||||||
33,285 | Series 2003-W1, Class 2A, 7.50%, 12/25/2042 (z) | 37,356 | ||||||
FNMA STRIPS, | ||||||||
5,743 | Series 329, Class 1, PO, 01/25/2033 | 5,201 | ||||||
24,169 | Series 365, Class 8, IO, 5.50%, 05/25/2036 | 5,327 | ||||||
21,789 | FNMA Trust, Series 2004-W2, Class 2A2, 7.00%, 02/25/2044 | 24,818 | ||||||
204,816 | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4, 3.82%, 06/19/2035 (z) | 202,105 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
GNMA, | ||||||||
70,535 | Series 1994-7, Class PQ, 6.50%, 10/16/2024 | 70,486 | ||||||
74,834 | Series 2000-21, Class Z, 9.00%, 03/16/2030 | 76,594 | ||||||
1,124 | Series 2000-36, Class IK, IO, 9.00%, 11/16/2030 | 160 | ||||||
196,147 | Series 2000-36, Class PB, 7.50%, 11/16/2030 | 229,146 | ||||||
558,257 | Series 2001-10, Class PE, 6.50%, 03/16/2031 | 616,482 | ||||||
79,017 | Series 2001-22, Class PS, IF, 17.13%, 03/17/2031 (z) | 105,187 | ||||||
49,642 | Series 2001-36, Class S, IF, IO, 6.56%, 08/16/2031 (z) | 13,090 | ||||||
6,463 | Series 2002-24, Class SB, IF, 9.69%, 04/16/2032 (z) | 7,545 | ||||||
2,930 | Series 2003-24, Class PO, PO, 03/16/2033 | 2,701 | ||||||
21,714 | Series 2004-28, Class S, IF, 15.56%, 04/16/2034 (z) | 29,119 | ||||||
500,000 | Series 2006-38, Class OH, 6.50%, 08/20/2036 | 593,710 | ||||||
95,574 | Series 2007-45, Class QA, IF, IO, 5.14%, 07/20/2037 (z) | 13,947 | ||||||
72,699 | Series 2007-76, Class SA, IF, IO, 5.03%, 11/20/2037 (z) | 11,195 | ||||||
65,022 | Series 2008-2, Class MS, IF, IO, 5.67%, 01/16/2038 (z) | 10,879 | ||||||
46,055 | Series 2008-55, Class SA, IF, IO, 4.70%, 06/20/2038 (z) | 5,863 | ||||||
29,805 | Series 2009-6, Class SA, IF, IO, 4.61%, 02/16/2039 (z) | 3,616 | ||||||
96,812 | Series 2009-6, Class SH, IF, IO, 4.54%, 02/20/2039 (z) | 12,211 | ||||||
69,147 | Series 2009-14, Class KI, IO, 6.50%, 03/20/2039 | 16,025 | ||||||
52,414 | Series 2009-14, Class NI, IO, 6.50%, 03/20/2039 | 13,884 | ||||||
137,816 | Series 2009-22, Class SA, IF, IO, 4.77%, 04/20/2039 (z) | 17,262 | ||||||
115,740 | Series 2009-31, Class TS, IF, IO, 4.80%, 03/20/2039 (z) | 10,832 | ||||||
118,345 | Series 2009-64, Class SN, IF, IO, 4.61%, 07/16/2039 (z) | 13,509 | ||||||
60,067 | Series 2009-79, Class OK, PO, 11/16/2037 | 54,303 | ||||||
33,705 | Series 2009-102, Class SM, IF, IO, 4.91%, 06/16/2039 (z) | 1,771 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
250,328 | Series 2009-106, Class ST, IF, IO, 4.50%, 02/20/2038 (z) | 37,176 | ||||||
85,194 | Series 2010-130, Class CP, 7.00%, 10/16/2040 | 97,639 | ||||||
153,723 | Series 2011-75, Class SM, IF, IO, 5.10%, 05/20/2041 (z) | 26,592 | ||||||
641,070 | Series 2011-H19, Class FA, 1.71%, 08/20/2061 (z) | 640,567 | ||||||
652,555 | Series 2012-H23, Class SA, 1.77%, 10/20/2062 (z) | 652,861 | ||||||
672,042 | Series 2013-H08, Class FC, 1.69%, 02/20/2063 (z) | 671,090 | ||||||
400,372 | Series 2013-H09, Class HA, 1.65%, 04/20/2063 | 393,780 | ||||||
316,733 | Series 2014-H17, Class FC, 1.74%, 07/20/2064 (z) | 316,883 | ||||||
428,877 | Series 2015-137, Class WA, 5.48%, 01/20/2038 (z) | 474,191 | ||||||
740,699 | Series 2015-H16, Class FG, 1.68%, 07/20/2065 (z) | 739,107 | ||||||
861,720 | Series 2015-H30, Class FE, 1.84%, 11/20/2065 (z) | 866,239 | ||||||
210,155 | Series 2016-H11, Class FD, 2.20%, 05/20/2066 (z) | 212,062 | ||||||
167,553 | Series 2016-H26, Class FC, 2.24%, 12/20/2066 (z) | 170,956 | ||||||
498,191 | Series 2017-H14, Class FV, 1.74%, 06/20/2067 (z) | 498,414 | ||||||
455,000 | Goodgreen Trust, 5.00%, 10/20/2051 (bb) | 448,996 | ||||||
GSR Mortgage Loan Trust, | ||||||||
51,735 | Series 2004-6F, Class 1A2, 5.00%, 05/25/2034 | 52,300 | ||||||
169,290 | Series 2004-6F, Class 3A4, 6.50%, 05/25/2034 | 180,883 | ||||||
65,599 | Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | 67,475 | ||||||
390,000 | Headlands Residential LLC, Series 2017-RPL1, Class A, SUB, 3.88%, 08/25/2022 (e) | 387,584 | ||||||
42,114 | Impac Secured Assets Trust, Series 2006-1, Class 2A1, 1.90%, 05/25/2036 (z) | 40,034 | ||||||
47,993 | JP Morgan Mortgage Trust, Series 2006-A2, Class 5A3, 3.58%, 11/25/2033 (z) | 48,850 | ||||||
29,462 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, 3.60%, 04/21/2034 (z) | 30,142 | ||||||
MASTR Alternative Loan Trust, | ||||||||
66,304 | Series 2003-9, Class 8A1, 6.00%, 01/25/2034 | 68,363 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
89,210 | Series 2004-4, Class 10A1, 5.00%, 05/25/2024 | 92,638 | ||||||
112,012 | Series 2004-6, Class 7A1, 6.00%, 07/25/2034 | 114,554 | ||||||
12,404 | Series 2004-7, Class 30PO, PO, 08/25/2034 (bb) | 10,291 | ||||||
18,133 | Series 2004-8, Class 6A1, 5.50%, 09/25/2019 | 18,361 | ||||||
15,680 | Series 2004-10, Class 1A1, 4.50%, 09/25/2019 | 15,714 | ||||||
MASTR Asset Securitization Trust, | ||||||||
139,092 | Series 2003-11, Class 9A6, 5.25%, 12/25/2033 | 140,637 | ||||||
1,314 | Series 2003-12, Class 15PO, PO, 12/25/2018 (bb) | 1,312 | ||||||
3,145 | Series 2004-6, Class 15PO, PO, 07/25/2019 (bb) | 3,111 | ||||||
2,722 | Series 2004-8, Class PO, PO, 08/25/2019 (bb) | 2,637 | ||||||
8,420 | Series 2004-10, Class 15PO, PO, 10/25/2019 (bb) | 8,220 | ||||||
23,974 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/2035 (e) (bb) | 19,530 | ||||||
35,898 | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, 6.50%, 10/25/2034 (e) (z) | 36,400 | ||||||
231,952 | PHH Alternative Mortgage Trust, Series 2007-2, Class 2X, IO, 6.00%, 05/25/2037 (bb) | 55,920 | ||||||
RALI Trust, | ||||||||
137 | Series 2003-QS3, Class A2, IF, 13.09%, 02/25/2018 (z) | 138 | ||||||
3,555 | Series 2003-QS9, Class A3, IF, IO, 6.00%, 05/25/2018 (z) (bb) | 29 | ||||||
10,945 | Series 2003-QS14, Class A1, 5.00%, 07/25/2018 | 10,923 | ||||||
3,381 | Series 2003-QS18, Class A1, 5.00%, 09/25/2018 | 3,385 | ||||||
1,493 | Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.75%, 02/25/2019 | 1,423 | ||||||
67,428 | RFMSI Trust, Series 2005-SA4, Class 1A1, 3.55%, 09/25/2035 (z) | 60,962 | ||||||
3,446 | SACO I, Inc., Series 1997-2, Class 1A5, 7.00%, 08/25/2036 (e) | 3,451 | ||||||
59,951 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.50%, 10/25/2033 | 61,015 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Vendee Mortgage Trust, | ||||||||
33,868 | Series 1994-1, Class 1, 5.34%, 02/15/2024 (z) | 35,481 | ||||||
422,498 | Series 1994-1, Class 2ZB, 6.50%, 02/15/2024 | 454,857 | ||||||
82,148 | Series 1996-1, Class 1Z, 6.75%, 02/15/2026 | 90,962 | ||||||
43,985 | Series 1996-2, Class 1Z, 6.75%, 06/15/2026 | 48,405 | ||||||
166,956 | Series 1997-1, Class 2Z, 7.50%, 02/15/2027 | 187,955 | ||||||
43,153 | Series 1998-1, Class 2E, 7.00%, 03/15/2028 | 48,948 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||
10,548 | Series 2003-AR8, Class A, 3.23%, 08/25/2033 (z) | 10,679 | ||||||
47,033 | Series 2003-AR9, Class 1A6, 3.32%, 09/25/2033 (z) | 47,914 | ||||||
17,982 | Series 2004-AR3, Class A2, 3.18%, 06/25/2034 (z) | 18,303 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, | ||||||||
776,913 | Series 2005-2, Class 1A4, IF, IO, 3.50%, 04/25/2035 (z) (bb) | 89,206 | ||||||
284,628 | Series 2005-2, Class 2A3, IF, IO, 3.45%, 04/25/2035 (z) (bb) | 33,071 | ||||||
214,601 | Series 2005-3, Class CX, IO, 5.50%, 05/25/2035 (bb) | 41,891 | ||||||
198,406 | Series 2005-4, Class CB7, 5.50%, 06/25/2035 | 191,505 | ||||||
7,511 | Series 2005-4, Class DP, PO, 06/25/2020 (bb) | 7,189 | ||||||
63,784 | Series 2005-6, Class 2A4, 5.50%, 08/25/2035 | 61,758 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
13,103 | Series 2003-K, Class 1A1, 3.57%, 11/25/2033 (z) | 13,260 | ||||||
26,205 | Series 2003-K, Class 1A2, 3.57%, 11/25/2033 (z) | 26,628 | ||||||
30,695 | Series 2004-EE, Class 3A1, 3.77%, 12/25/2034 (z) | 31,827 | ||||||
75,350 | Series 2004-P, Class 2A1, 3.54%, 09/25/2034 (z) | 77,133 | ||||||
136,065 | Series 2005-AR3, Class 1A1, 3.46%, 03/25/2035 (z) | 139,665 | ||||||
41,701 | Series 2005-AR8, Class 2A1, 3.53%, 06/25/2035 (z) | 42,633 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
40,723 | Series 2005-AR16, Class 2A1, 3.54%, 02/25/2034 (z) | 41,683 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $31,796,824) | 32,822,114 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 3.9% | ||||||||
286,000 | BAMLL Re-REMIC Trust, Series 2015-FR11, Class A705, 1.83%, 09/27/2044 (e) (z) | 281,529 | ||||||
300,000 | BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, 11/05/2036 (e) | 303,958 | ||||||
300,000 | BXMT Ltd., (Cayman Islands), Series 2017-FL1, Class C, 3.31%, 06/14/2035 (e) (z) | 300,000 | ||||||
247,430 | CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, 0.55%, 12/11/2049 (e) (z) (bb) | 805 | ||||||
Commercial Mortgage Trust, | ||||||||
125,000 | Series 2013-SFS, Class A2, 2.99%, 04/12/2035 (e) (z) | 124,811 | ||||||
200,000 | Series 2014-CR19, Class A5, 3.80%, 08/10/2047 | 209,744 | ||||||
156,000 | Series 2015-CR25, Class A4, 3.76%, 08/10/2048 | 163,379 | ||||||
100,000 | CSMC OA LLC, Series 2014-USA, Class D, 4.37%, 09/15/2037 (e) (bb) | 95,736 | ||||||
FHLMC, Multifamily Structured Pass-Through Certificates, | ||||||||
229,000 | Series K038, Class A2, 3.39%, 03/25/2024 | 239,271 | ||||||
215,000 | Series K065, Class A2, 3.24%, 04/25/2027 | 221,451 | ||||||
115,000 | Series K065, Class AM, 3.33%, 05/25/2027 | 118,006 | ||||||
267,000 | Series K066, Class A2, 3.12%, 06/25/2027 | 272,298 | ||||||
208,000 | Series K070, Class A2, 3.30%, 11/25/2027 (z) | 215,009 | ||||||
223,159 | Series KF12, Class A, 2.25%, 09/25/2022 (z) | 221,697 | ||||||
44,282 | Series KJ02, Class A2, 2.60%, 09/25/2020 | 44,480 | ||||||
196,000 | Series KJ09, Class A2, 2.84%, 09/25/2022 | 198,797 | ||||||
289,000 | Series KJ11, Class A2, 2.93%, 01/25/2023 | 293,923 | ||||||
591,000 | Series KJ14, Class A2, 2.81%, 09/25/2024 | 593,109 | ||||||
250,000 | Series KPLB, Class A, 2.77%, 05/25/2025 | 249,143 | ||||||
FNMA ACES, | ||||||||
1,000,000 | Series 2014-M3, Class A2, 3.47%, 01/25/2024 (z) | 1,047,243 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Mortgage-Backed Securities — continued | ||||||||
1,000,000 | Series 2015-M3, Class A2, 2.72%, 10/25/2024 | 999,332 | ||||||
389,000 | Series 2015-M10, Class A2, 3.09%, 04/25/2027 (z) | 393,823 | ||||||
245,798 | Series 2015-M17, Class FA, 2.29%, 11/25/2022 (z) | 245,847 | ||||||
500,000 | Series 2016-M2, Class AV2, 2.15%, 01/25/2023 | 491,454 | ||||||
305,000 | Series 2017-M5, Class A2, 3.30%, 04/25/2029 | 309,380 | ||||||
278,000 | Series 2017-M7, Class A2, 2.96%, 02/25/2027 (z) | 279,428 | ||||||
335,000 | Series 2017-M8, Class A2, 3.06%, 05/25/2027 (z) | 338,776 | ||||||
381,000 | Series 2017-M12, Class A2, 3.08%, 06/25/2027 (z) | 387,403 | ||||||
428,908 | FNMA Grantor Trust, Series 2017-T1, Class A, 2.90%, 06/25/2027 | 425,804 | ||||||
FREMF Mortgage Trust, | ||||||||
220,000 | Series 2014-K40, Class C, 4.07%, 11/25/2047 (e) (z) (bb) | 216,333 | ||||||
640,000 | Series 2015-K44, Class B, 3.68%, 01/25/2048 (e) (z) (bb) | 648,091 | ||||||
500,000 | Series 2015-K45, Class B, 3.59%, 04/25/2048 (e) (z) | 499,430 | ||||||
180,000 | Series 2016-K59, Class B, 3.58%, 11/25/2049 (e) (z) (bb) | 178,014 | ||||||
110,000 | Series 2016-K722, Class B, 3.84%, 07/25/2049 (e) (z) | 111,926 | ||||||
357,236 | Morgan Stanley Capital I Trust, Series 2006-IQ12, Class X1, IO, 0.48%, 12/15/2043 (e) (z) (bb) | 13 | ||||||
49,945 | PFP Ltd., (Cayman Islands), Series 2015-2, Class A, 2.93%, 07/14/2034 (e) (z) | 50,016 | ||||||
250,000 | RAIT Trust, Series 2015-FL5, Class B, 5.38%, 01/15/2031 (e) (z) (bb) | 250,240 | ||||||
31,396 | Resource Capital Corp. Ltd., (Cayman Islands), Series 2015-CRE4, Class A, 2.88%, 08/15/2032 (e) (z) | 31,370 | ||||||
116,000 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.66%, 06/10/2030 (e) | 117,681 | ||||||
104,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.53%, 05/10/2063 | 107,399 | ||||||
200,000 | VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.81%, 12/13/2029 (e) | 206,148 | ||||||
110,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.38%, 03/15/2044 (e) | 115,443 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 11,597,740 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — 24.4% | ||||||||
Consumer Discretionary — 1.7% |
| |||||||
Automobiles — 0.4% |
| |||||||
45,000 | BMW US Capital LLC, (Germany), 2.25%, 09/15/2023 (e) | 43,708 | ||||||
Daimler Finance North America LLC, (Germany), | ||||||||
150,000 | 1.75%, 10/30/2019 (e) | 148,174 | ||||||
150,000 | 1.88%, 01/11/2018 (e) | 149,995 | ||||||
Ford Motor Co., | ||||||||
46,000 | 4.35%, 12/08/2026 | 47,946 | ||||||
240,000 | 7.45%, 07/16/2031 | 313,625 | ||||||
General Motors Co., | ||||||||
60,000 | 5.15%, 04/01/2038 | 63,924 | ||||||
240,000 | 6.60%, 04/01/2036 | 292,232 | ||||||
Hyundai Capital America, | ||||||||
34,000 | 2.00%, 07/01/2019 (e) | 33,566 | ||||||
65,000 | 2.40%, 10/30/2018 (e) | 64,881 | ||||||
Nissan Motor Acceptance Corp., | ||||||||
29,000 | 1.90%, 09/14/2021 (e) | 28,210 | ||||||
60,000 | 2.60%, 09/28/2022 (e) | 59,241 | ||||||
50,000 | 2.80%, 01/13/2022 (e) | 49,987 | ||||||
|
| |||||||
1,295,489 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% (g) |
| |||||||
86,000 | President & Fellows of Harvard College, 3.30%, 07/15/2056 | 84,085 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.1% |
| |||||||
33,000 | Darden Restaurants, Inc., 3.85%, 05/01/2027 | 33,622 | ||||||
60,000 | McDonald’s Corp., 4.70%, 12/09/2035 | 68,106 | ||||||
28,000 | Starbucks Corp., 2.70%, 06/15/2022 | 28,082 | ||||||
|
| |||||||
129,810 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.2% |
| |||||||
Amazon.com, Inc., | ||||||||
66,000 | 3.80%, 12/05/2024 | 69,691 | ||||||
80,000 | 3.88%, 08/22/2037 (e) | 84,824 | ||||||
100,000 | 4.25%, 08/22/2057 (e) | 108,969 | ||||||
65,000 | 4.80%, 12/05/2034 | 76,243 | ||||||
100,000 | Priceline Group, Inc. (The), 3.55%, 03/15/2028 | 99,025 | ||||||
|
| |||||||
438,752 | ||||||||
|
| |||||||
Leisure Products — 0.0% (g) |
| |||||||
47,000 | Hasbro, Inc., 3.50%, 09/15/2027 | 45,919 | ||||||
|
| |||||||
Media — 0.9% |
| |||||||
21st Century Fox America, Inc., | ||||||||
50,000 | 6.65%, 11/15/2037 | 68,723 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Media — continued |
| |||||||
50,000 | 7.25%, 05/18/2018 | 50,995 | ||||||
150,000 | 7.30%, 04/30/2028 | 194,257 | ||||||
CBS Corp., | ||||||||
99,000 | 3.70%, 08/15/2024 | 101,848 | ||||||
42,000 | 4.00%, 01/15/2026 | 42,913 | ||||||
194,000 | Charter Communications Operating LLC, 4.91%, 07/23/2025 | 206,211 | ||||||
75,000 | Comcast Cable Holdings LLC, 10.13%, 04/15/2022 | 96,972 | ||||||
Comcast Corp., | ||||||||
52,000 | 4.00%, 11/01/2049 | 53,196 | ||||||
126,000 | 4.05%, 11/01/2052 | 128,792 | ||||||
89,000 | 4.20%, 08/15/2034 | 95,033 | ||||||
167,000 | 4.25%, 01/15/2033 | 181,910 | ||||||
35,000 | 6.50%, 11/15/2035 | 47,287 | ||||||
Cox Communications, Inc., | ||||||||
67,000 | 3.35%, 09/15/2026 (e) | 65,457 | ||||||
39,000 | 4.60%, 08/15/2047 (e) | 39,327 | ||||||
Discovery Communications LLC, | ||||||||
42,000 | 3.95%, 03/20/2028 | 41,763 | ||||||
78,000 | 4.38%, 06/15/2021 | 81,595 | ||||||
90,000 | 6.35%, 06/01/2040 | 105,800 | ||||||
75,000 | NBCUniversal Media LLC, 5.95%, 04/01/2041 | 97,685 | ||||||
Time Warner Cable LLC, | ||||||||
100,000 | 5.50%, 09/01/2041 | 104,152 | ||||||
50,000 | 6.55%, 05/01/2037 | 58,766 | ||||||
50,000 | 6.75%, 07/01/2018 | 51,107 | ||||||
50,000 | 7.30%, 07/01/2038 | 62,632 | ||||||
175,000 | Time Warner Entertainment Co. LP, 8.38%, 07/15/2033 | 240,652 | ||||||
Time Warner, Inc., | ||||||||
200,000 | 3.55%, 06/01/2024 | 202,156 | ||||||
35,000 | 4.75%, 03/29/2021 | 37,251 | ||||||
Viacom, Inc., | ||||||||
36,000 | 3.88%, 04/01/2024 | 35,911 | ||||||
70,000 | 6.88%, 04/30/2036 | 79,378 | ||||||
Walt Disney Co. (The), | ||||||||
31,000 | 1.85%, 07/30/2026 | 28,485 | ||||||
50,000 | 2.95%, 06/15/2027 | 49,740 | ||||||
14,000 | 3.00%, 07/30/2046 | 12,435 | ||||||
|
| |||||||
2,662,429 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (g) |
| |||||||
30,000 | Macy’s Retail Holdings, Inc., 6.90%, 04/01/2029 | 31,648 | ||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 0.1% |
| |||||||
41,000 | AutoZone, Inc., 3.75%, 06/01/2027 | 41,600 | ||||||
Home Depot, Inc. (The), | ||||||||
21,000 | 2.13%, 09/15/2026 | 19,656 | ||||||
37,000 | 3.00%, 04/01/2026 | 37,039 | ||||||
13,000 | 3.50%, 09/15/2056 | 12,491 | ||||||
34,000 | 4.20%, 04/01/2043 | 37,415 | ||||||
72,000 | Lowe’s Cos., Inc., 3.38%, 09/15/2025 | 74,170 | ||||||
O’Reilly Automotive, Inc., | ||||||||
80,000 | 3.55%, 03/15/2026 | 80,803 | ||||||
49,000 | 3.60%, 09/01/2027 | 49,166 | ||||||
|
| |||||||
352,340 | ||||||||
|
| |||||||
Total Consumer Discretionary | 5,040,472 | |||||||
|
| |||||||
Consumer Staples — 1.0% |
| |||||||
Beverages — 0.5% |
| |||||||
Anheuser-Busch InBev Finance, Inc., (Belgium), | ||||||||
23,000 | 1.90%, 02/01/2019 | 22,951 | ||||||
234,000 | 3.30%, 02/01/2023 | 239,417 | ||||||
380,000 | 3.65%, 02/01/2026 | 392,054 | ||||||
241,000 | 4.70%, 02/01/2036 | 270,270 | ||||||
131,000 | Anheuser-Busch InBev Worldwide, Inc., (Belgium), 4.44%, 10/06/2048 | 142,573 | ||||||
38,000 | Brown-Forman Corp., 4.50%, 07/15/2045 | 42,977 | ||||||
25,000 | Constellation Brands, Inc., 4.25%, 05/01/2023 | 26,443 | ||||||
20,000 | Dr Pepper Snapple Group, Inc., 3.43%, 06/15/2027 (e) | 20,027 | ||||||
PepsiCo, Inc., | ||||||||
70,000 | 3.45%, 10/06/2046 | 67,841 | ||||||
107,000 | 4.45%, 04/14/2046 | 121,476 | ||||||
|
| |||||||
1,346,029 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
21,000 | Costco Wholesale Corp., 2.75%, 05/18/2024 | 20,976 | ||||||
116,000 | CVS Health Corp., 4.00%, 12/05/2023 | 120,588 | ||||||
Kroger Co. (The), | ||||||||
67,000 | 4.00%, 02/01/2024 | 69,595 | ||||||
18,000 | 5.40%, 07/15/2040 | 19,874 | ||||||
100,000 | 6.90%, 04/15/2038 | 129,187 | ||||||
50,000 | Walgreen Co., 4.40%, 09/15/2042 | 50,091 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
47,000 | 3.80%, 11/18/2024 | 47,989 | ||||||
23,000 | 4.50%, 11/18/2034 | 24,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Food & Staples Retailing — continued |
| |||||||
75,000 | Wal-Mart Stores, Inc., 3.63%, 12/15/2047 | 78,494 | ||||||
|
| |||||||
560,794 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
28,000 | 3.25%, 08/15/2026 | 26,751 | ||||||
59,000 | 3.75%, 09/25/2027 | 58,132 | ||||||
80,000 | Kellogg Co., 3.40%, 11/15/2027 | 79,590 | ||||||
Kraft Heinz Foods Co., | ||||||||
20,000 | 3.50%, 06/06/2022 | 20,463 | ||||||
15,000 | 3.95%, 07/15/2025 | 15,489 | ||||||
100,000 | 5.00%, 07/15/2035 | 109,106 | ||||||
31,000 | 5.38%, 02/10/2020 | 32,843 | ||||||
122,000 | 6.13%, 08/23/2018 | 125,150 | ||||||
30,000 | 6.75%, 03/15/2032 | 37,988 | ||||||
133,000 | 6.88%, 01/26/2039 | 174,960 | ||||||
54,000 | McCormick & Co., Inc., 3.15%, 08/15/2024 | 54,274 | ||||||
27,000 | Mead Johnson Nutrition Co., (United Kingdom), 4.13%, 11/15/2025 | 28,629 | ||||||
Tyson Foods, Inc., | ||||||||
49,000 | 3.95%, 08/15/2024 | 51,521 | ||||||
100,000 | 4.88%, 08/15/2034 | 112,615 | ||||||
|
| |||||||
927,511 | ||||||||
|
| |||||||
Household Products — 0.0% (g) |
| |||||||
37,277 | Procter & Gamble - ESOP, Series A, 9.36%, 01/01/2021 | 41,283 | ||||||
80,000 | Procter & Gamble Co. (The), 2.85%, 08/11/2027 | 79,319 | ||||||
|
| |||||||
120,602 | ||||||||
|
| |||||||
Tobacco — 0.0% (g) |
| |||||||
75,000 | BAT Capital Corp., (United Kingdom), 4.39%, 08/15/2037 (e) | 78,407 | ||||||
|
| |||||||
Total Consumer Staples | 3,033,343 | |||||||
|
| |||||||
Energy — 2.5% |
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
40,000 | Baker Hughes a GE Co. LLC, 5.13%, 09/15/2040 | 46,987 | ||||||
Halliburton Co., | ||||||||
54,000 | 3.50%, 08/01/2023 | 55,526 | ||||||
77,000 | 4.85%, 11/15/2035 | 86,324 | ||||||
60,000 | 6.70%, 09/15/2038 | 79,707 | ||||||
Nabors Industries, Inc., | ||||||||
15,000 | 4.63%, 09/15/2021 | 14,288 | ||||||
15,000 | 5.00%, 09/15/2020 | 14,962 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued |
| |||||||
60,000 | Schlumberger Holdings Corp., 3.63%, 12/21/2022 (e) | 61,758 | ||||||
|
| |||||||
359,552 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.4% |
| |||||||
45,000 | Andeavor Logistics LP, 4.25%, 12/01/2027 | 45,373 | ||||||
Apache Corp., | ||||||||
50,000 | 6.00%, 01/15/2037 | 59,100 | ||||||
50,000 | 6.90%, 09/15/2018 | 51,578 | ||||||
73,000 | APT Pipelines Ltd., (Australia), 4.25%, 07/15/2027 (e) | 75,523 | ||||||
Boardwalk Pipelines LP, | ||||||||
22,000 | 4.45%, 07/15/2027 | 22,375 | ||||||
118,000 | 4.95%, 12/15/2024 | 126,385 | ||||||
16,000 | 5.95%, 06/01/2026 | 17,843 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
35,000 | 3.02%, 01/16/2027 | 34,677 | ||||||
221,000 | 3.22%, 04/14/2024 | 226,396 | ||||||
15,000 | 3.51%, 03/17/2025 | 15,513 | ||||||
50,000 | 3.59%, 04/14/2027 | 51,729 | ||||||
140,000 | 3.72%, 11/28/2028 | 146,592 | ||||||
150,000 | 3.81%, 02/10/2024 | 157,658 | ||||||
Buckeye Partners LP, | ||||||||
32,000 | 3.95%, 12/01/2026 | 31,444 | ||||||
30,000 | 4.35%, 10/15/2024 | 30,607 | ||||||
15,000 | 4.88%, 02/01/2021 | 15,776 | ||||||
100,000 | 5.85%, 11/15/2043 | 107,627 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
65,000 | 3.90%, 02/01/2025 | 66,906 | ||||||
50,000 | 5.85%, 02/01/2035 | 58,578 | ||||||
100,000 | 5.90%, 02/01/2018 | 100,347 | ||||||
Cenovus Energy, Inc., (Canada), | ||||||||
23,000 | 4.45%, 09/15/2042 | 21,218 | ||||||
158,000 | 6.75%, 11/15/2039 | 190,859 | ||||||
Chevron Corp., | ||||||||
20,000 | 2.36%, 12/05/2022 | 19,839 | ||||||
150,000 | 2.41%, 03/03/2022 | 149,829 | ||||||
200,000 | 2.57%, 05/16/2023 | 199,523 | ||||||
200,000 | CNOOC Nexen Finance 2014 ULC, (China), 4.25%, 04/30/2024 | 210,814 | ||||||
ConocoPhillips Co., | ||||||||
116,000 | 4.20%, 03/15/2021 | 121,971 | ||||||
43,000 | 4.95%, 03/15/2026 | 48,796 | ||||||
Devon Energy Corp., | ||||||||
47,000 | 3.25%, 05/15/2022 | 47,803 | ||||||
21,000 | 5.60%, 07/15/2041 | 24,733 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Ecopetrol SA, (Colombia), | ||||||||
33,000 | 4.13%, 01/16/2025 | 33,289 | ||||||
39,000 | 5.38%, 06/26/2026 | 42,108 | ||||||
28,000 | 5.88%, 09/18/2023 | 30,940 | ||||||
Enbridge, Inc., (Canada), | ||||||||
27,000 | 3.70%, 07/15/2027 | 27,106 | ||||||
75,000 | 5.50%, 12/01/2046 | 90,107 | ||||||
Encana Corp., (Canada), | ||||||||
30,000 | 6.50%, 08/15/2034 | 37,049 | ||||||
80,000 | 7.20%, 11/01/2031 | 102,676 | ||||||
Energy Transfer LP, | ||||||||
9,000 | 3.60%, 02/01/2023 | 9,004 | ||||||
45,000 | 4.05%, 03/15/2025 | 44,956 | ||||||
32,000 | 4.75%, 01/15/2026 | 33,191 | ||||||
68,000 | 4.90%, 02/01/2024 | 71,897 | ||||||
141,000 | 5.00%, 10/01/2022 | 150,283 | ||||||
100,000 | 6.05%, 06/01/2041 | 107,069 | ||||||
17,000 | 6.50%, 02/01/2042 | 19,345 | ||||||
50,000 | Eni USA, Inc., (United Kingdom), 7.30%, 11/15/2027 | 62,550 | ||||||
EnLink Midstream Partners LP, | ||||||||
22,000 | 4.15%, 06/01/2025 | 22,224 | ||||||
65,000 | 5.05%, 04/01/2045 | 64,149 | ||||||
Enterprise Products Operating LLC, | ||||||||
38,000 | 3.70%, 02/15/2026 | 38,900 | ||||||
25,000 | 3.75%, 02/15/2025 | 25,772 | ||||||
25,000 | 3.90%, 02/15/2024 | 26,045 | ||||||
6,000 | 4.95%, 10/15/2054 | 6,558 | ||||||
16,000 | 5.10%, 02/15/2045 | 18,241 | ||||||
170,000 | 7.55%, 04/15/2038 | 237,935 | ||||||
86,000 | Series D, 6.88%, 03/01/2033 | 112,980 | ||||||
15,000 | EOG Resources, Inc., 2.63%, 03/15/2023 | 14,826 | ||||||
60,000 | EQT Corp., 3.90%, 10/01/2027 | 59,630 | ||||||
61,000 | Exxon Mobil Corp., 3.04%, 03/01/2026 | 61,926 | ||||||
Hess Corp., | ||||||||
30,000 | 7.13%, 03/15/2033 | 36,172 | ||||||
100,000 | 7.30%, 08/15/2031 | 121,235 | ||||||
120,000 | Kerr-McGee Corp., 7.88%, 09/15/2031 | 159,385 | ||||||
Magellan Midstream Partners LP, | ||||||||
14,000 | 3.20%, 03/15/2025 | 13,770 | ||||||
27,000 | 4.20%, 12/01/2042 | 26,511 | ||||||
70,000 | 6.40%, 05/01/2037 | 87,052 | ||||||
29,000 | Marathon Petroleum Corp., 3.63%, 09/15/2024 | 29,569 | ||||||
140,000 | MPLX LP, 4.88%, 12/01/2024 | 150,873 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Noble Energy, Inc., | ||||||||
15,000 | 5.63%, 05/01/2021 | 15,408 | ||||||
114,000 | 6.00%, 03/01/2041 | 134,727 | ||||||
Occidental Petroleum Corp., | ||||||||
55,000 | 3.00%, 02/15/2027 | 54,662 | ||||||
45,000 | 3.50%, 06/15/2025 | 46,589 | ||||||
ONEOK Partners LP, | ||||||||
25,000 | 3.20%, 09/15/2018 | 25,145 | ||||||
8,000 | 3.38%, 10/01/2022 | 8,055 | ||||||
100,000 | 4.90%, 03/15/2025 | 107,199 | ||||||
17,000 | 5.00%, 09/15/2023 | 18,212 | ||||||
15,000 | 6.65%, 10/01/2036 | 18,399 | ||||||
40,000 | 8.63%, 03/01/2019 | 42,692 | ||||||
105,000 | Petro-Canada, (Canada), 6.80%, 05/15/2038 | 144,614 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
100,000 | 4.63%, 09/21/2023 | 102,875 | ||||||
20,000 | 4.88%, 01/18/2024 | 20,719 | ||||||
11,000 | 5.50%, 06/27/2044 | 10,161 | ||||||
42,000 | 6.38%, 01/23/2045 | 42,172 | ||||||
111,000 | 6.50%, 03/13/2027 (e) | 121,545 | ||||||
50,000 | 6.63%, 06/15/2035 | 53,480 | ||||||
110,000 | 6.75%, 09/21/2047 | 114,892 | ||||||
26,000 | 6.88%, 08/04/2026 | 29,445 | ||||||
37,000 | Phillips 66 Partners LP, 4.90%, 10/01/2046 | 39,110 | ||||||
Plains All American Pipeline LP, | ||||||||
50,000 | 3.60%, 11/01/2024 | 48,682 | ||||||
15,000 | 3.65%, 06/01/2022 | 15,086 | ||||||
50,000 | 4.30%, 01/31/2043 | 44,120 | ||||||
130,000 | 4.65%, 10/15/2025 | 133,933 | ||||||
Spectra Energy Partners LP, | ||||||||
34,000 | 2.95%, 09/25/2018 | 34,204 | ||||||
19,000 | 3.50%, 03/15/2025 | 19,076 | ||||||
7,000 | 4.50%, 03/15/2045 | 7,221 | ||||||
25,000 | 5.95%, 09/25/2043 | 30,378 | ||||||
Statoil ASA, (Norway), | ||||||||
50,000 | 1.15%, 05/15/2018 | 49,879 | ||||||
143,000 | 2.65%, 01/15/2024 | 142,353 | ||||||
23,000 | 3.25%, 11/10/2024 | 23,640 | ||||||
60,000 | Suncor Energy, Inc., (Canada), 5.95%, 12/01/2034 | 75,387 | ||||||
Sunoco Logistics Partners Operations LP, | ||||||||
24,000 | 3.90%, 07/15/2026 | 23,479 | ||||||
13,000 | 4.25%, 04/01/2024 | 13,251 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
53,000 | 5.35%, 05/15/2045 | 52,484 | ||||||
60,000 | 6.10%, 02/15/2042 | 63,862 | ||||||
26,000 | TC PipeLines LP, 3.90%, 05/25/2027 | 26,123 | ||||||
Total Capital International SA, (France), | ||||||||
50,000 | 2.75%, 06/19/2021 | 50,494 | ||||||
25,000 | 3.70%, 01/15/2024 | 26,354 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
70,000 | 6.20%, 10/15/2037 | 92,311 | ||||||
50,000 | 6.50%, 08/15/2018 | 51,351 | ||||||
50,000 | 7.13%, 01/15/2019 | 52,438 | ||||||
20,000 | Valero Energy Corp., 7.50%, 04/15/2032 | 26,943 | ||||||
Western Gas Partners LP, | ||||||||
29,000 | 4.65%, 07/01/2026 | 30,139 | ||||||
26,000 | 5.45%, 04/01/2044 | 27,606 | ||||||
25,000 | Williams Partners LP, 3.90%, 01/15/2025 | 25,474 | ||||||
|
| |||||||
6,989,104 | ||||||||
|
| |||||||
Total Energy | 7,348,656 | |||||||
|
| |||||||
Financials — 9.4% |
| |||||||
Banks — 4.0% |
| |||||||
200,000 | ABN AMRO Bank NV, (Netherlands), 4.75%, 07/28/2025 (e) | 212,300 | ||||||
Bank of America Corp., | ||||||||
100,000 | 2.00%, 01/11/2018 | 100,002 | ||||||
26,000 | (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (e) (aa) | 26,063 | ||||||
114,000 | 3.25%, 10/21/2027 | 113,090 | ||||||
250,000 | 3.30%, 01/11/2023 | 255,714 | ||||||
408,000 | (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (e) (aa) | 407,962 | ||||||
260,000 | (ICE LIBOR USD 3 Month + 1.51%), 3.70%, 04/24/2028 (aa) | 266,785 | ||||||
114,000 | 4.00%, 01/22/2025 | 118,574 | ||||||
69,000 | 4.45%, 03/03/2026 | 73,632 | ||||||
295,000 | 5.65%, 05/01/2018 | 298,520 | ||||||
90,000 | 6.88%, 04/25/2018 | 91,375 | ||||||
92,000 | Series L, 3.95%, 04/21/2025 | 95,117 | ||||||
65,000 | Bank of Montreal, (Canada), 1.50%, 07/18/2019 | 64,362 | ||||||
Bank of Nova Scotia (The), (Canada), | ||||||||
100,000 | 1.45%, 04/25/2018 | 99,913 | ||||||
100,000 | 1.70%, 06/11/2018 | 99,948 | ||||||
200,000 | 2.45%, 09/19/2022 | 197,604 | ||||||
Barclays plc, (United Kingdom), | ||||||||
200,000 | 3.65%, 03/16/2025 | 199,644 | ||||||
220,000 | 4.38%, 01/12/2026 | 228,848 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
50,000 | BB&T Corp., 5.25%, 11/01/2019 | 52,571 | ||||||
250,000 | BNZ International Funding Ltd., (New Zealand), 2.90%, 02/21/2022 (e) | 251,222 | ||||||
200,000 | Canadian Imperial Bank of Commerce, (Canada), 1.60%, 09/06/2019 | 197,918 | ||||||
Citigroup, Inc., | ||||||||
100,000 | 1.70%, 04/27/2018 | 99,900 | ||||||
40,000 | 1.75%, 05/01/2018 | 39,966 | ||||||
137,000 | 2.15%, 07/30/2018 | 137,085 | ||||||
23,000 | 2.35%, 08/02/2021 | 22,747 | ||||||
50,000 | 2.40%, 02/18/2020 | 49,990 | ||||||
200,000 | 2.75%, 04/25/2022 | 199,570 | ||||||
100,000 | 2.90%, 12/08/2021 | 100,647 | ||||||
75,000 | 3.40%, 05/01/2026 | 75,428 | ||||||
250,000 | (ICE LIBOR USD 3 Month + 1.39%), 3.67%, 07/24/2028 (aa) | 253,562 | ||||||
50,000 | 4.30%, 11/20/2026 | 52,272 | ||||||
20,000 | 4.40%, 06/10/2025 | 21,106 | ||||||
210,000 | 4.45%, 09/29/2027 | 222,263 | ||||||
50,000 | 4.75%, 05/18/2046 | 55,068 | ||||||
58,000 | 5.50%, 09/13/2025 | 65,324 | ||||||
56,000 | 8.13%, 07/15/2039 | 89,478 | ||||||
24,000 | Citizens Financial Group, Inc., 2.38%, 07/28/2021 | 23,683 | ||||||
10,000 | Comerica, Inc., 3.80%, 07/22/2026 | 10,142 | ||||||
200,000 | Commonwealth Bank of Australia, (Australia), 2.00%, 09/06/2021 (e) | 195,903 | ||||||
250,000 | Cooperatieve Rabobank UA, (Netherlands), 4.38%, 08/04/2025 | 263,839 | ||||||
Credit Suisse Group Funding Guernsey Ltd., (Switzerland), | ||||||||
250,000 | 3.75%, 03/26/2025 | 255,038 | ||||||
350,000 | 3.80%, 06/09/2023 | 360,899 | ||||||
200,000 | Danske Bank A/S, (Denmark), 2.00%, 09/08/2021 (e) | 195,553 | ||||||
83,000 | Fifth Third Bancorp, 2.88%, 07/27/2020 | 83,872 | ||||||
350,000 | Glitnir HoldCo ehf, (Iceland), 0.00%, 10/15/2008 (d) (e) (bb) | – | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
400,000 | 2.65%, 01/05/2022 | 397,299 | ||||||
229,000 | 3.60%, 05/25/2023 | 235,573 | ||||||
200,000 | 4.38%, 11/23/2026 | 208,747 | ||||||
Huntington Bancshares, Inc., | ||||||||
88,000 | 2.30%, 01/14/2022 | 86,573 | ||||||
73,000 | 3.15%, 03/14/2021 | 74,141 | ||||||
200,000 | ING Groep NV, (Netherlands), 3.95%, 03/29/2027 | 208,446 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Banks — continued |
| |||||||
56,000 | KeyCorp, 2.90%, 09/15/2020 | 56,520 | ||||||
Lloyds Banking Group plc, (United Kingdom), | ||||||||
200,000 | 3.75%, 01/11/2027 | 203,050 | ||||||
200,000 | 4.58%, 12/10/2025 | 209,659 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
80,000 | 2.67%, 07/25/2022 | 79,234 | ||||||
38,000 | 3.00%, 02/22/2022 | 38,237 | ||||||
9,000 | MUFG Americas Holdings Corp., 2.25%, 02/10/2020 | 8,951 | ||||||
200,000 | Nordea Bank AB, (Sweden), 1.63%, 09/30/2019 (e) | 197,728 | ||||||
PNC Financial Services Group, Inc. (The), | ||||||||
13,000 | 4.38%, 08/11/2020 | 13,659 | ||||||
150,000 | 5.13%, 02/08/2020 | 158,304 | ||||||
12,000 | 6.70%, 06/10/2019 | 12,730 | ||||||
54,000 | Regions Financial Corp., 3.20%, 02/08/2021 | 54,938 | ||||||
Royal Bank of Canada, (Canada), | ||||||||
50,000 | 1.88%, 02/05/2020 | 49,581 | ||||||
50,000 | 2.00%, 10/01/2018 | 50,022 | ||||||
66,000 | 2.75%, 02/01/2022 | 66,817 | ||||||
30,000 | 4.65%, 01/27/2026 | 32,320 | ||||||
Santander UK Group Holdings plc, (United Kingdom), | ||||||||
69,000 | 3.13%, 01/08/2021 | 69,649 | ||||||
200,000 | (ICE LIBOR USD 3 Month + 1.40%), 3.82%, 11/03/2028 (aa) | 200,404 | ||||||
87,000 | Santander UK plc, (United Kingdom), 2.50%, 03/14/2019 | 87,261 | ||||||
200,000 | Standard Chartered plc, (United Kingdom), 4.05%, 04/12/2026 (e) | 205,116 | ||||||
Sumitomo Mitsui Financial Group, Inc., (Japan), | ||||||||
49,000 | 2.06%, 07/14/2021 | 48,016 | ||||||
45,000 | 2.44%, 10/19/2021 | 44,521 | ||||||
82,000 | 2.78%, 10/18/2022 | 81,428 | ||||||
130,000 | 2.85%, 01/11/2022 | 130,243 | ||||||
25,000 | 3.01%, 10/19/2026 | 24,329 | ||||||
200,000 | Sumitomo Mitsui Trust Bank Ltd., (Japan), 2.05%, 10/18/2019 (e) | 198,624 | ||||||
91,000 | SunTrust Banks, Inc., 2.70%, 01/27/2022 | 90,986 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
229,000 | 1.75%, 07/23/2018 | 228,813 | ||||||
47,000 | (USD Swap Semi 5 Year + 2.21%), 3.62%, 09/15/2031 (aa) | 46,860 | ||||||
200,000 | UBS Group Funding Switzerland AG, (Switzerland), 4.13%, 09/24/2025 (e) | 209,840 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued | ||||||||
US Bancorp, | ||||||||
100,000 | 7.50%, 06/01/2026 | 128,645 | ||||||
100,000 | Series V, 2.38%, 07/22/2026 | 94,126 | ||||||
50,000 | Wachovia Corp., 5.75%, 02/01/2018 | 50,155 | ||||||
Wells Fargo & Co., | ||||||||
200,000 | 3.00%, 02/19/2025 | 198,283 | ||||||
84,000 | 3.00%, 04/22/2026 | 82,390 | ||||||
245,000 | 3.07%, 01/24/2023 | 246,810 | ||||||
80,000 | 3.30%, 09/09/2024 | 81,223 | ||||||
24,000 | 4.10%, 06/03/2026 | 25,161 | ||||||
7,000 | 4.30%, 07/22/2027 | 7,452 | ||||||
284,000 | 5.61%, 01/15/2044 | 349,852 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
140,000 | (USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (aa) | 144,205 | ||||||
121,000 | 4.88%, 11/19/2019 | 126,831 | ||||||
|
| |||||||
11,968,251 | ||||||||
|
| |||||||
Capital Markets — 2.2% |
| |||||||
63,000 | Ameriprise Financial, Inc., 2.88%, 09/15/2026 | 61,244 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
100,000 | 3.00%, 10/30/2028 | 97,178 | ||||||
100,000 | 3.25%, 09/11/2024 | 102,078 | ||||||
55,000 | 4.60%, 01/15/2020 | 57,522 | ||||||
83,000 | Series 0012, 3.65%, 02/04/2024 | 86,851 | ||||||
BlackRock, Inc., | ||||||||
65,000 | 4.25%, 05/24/2021 | 68,785 | ||||||
65,000 | Series 2, 5.00%, 12/10/2019 | 68,346 | ||||||
Blackstone Holdings Finance Co. LLC, | ||||||||
21,000 | 4.45%, 07/15/2045 (e) | 22,521 | ||||||
100,000 | 5.88%, 03/15/2021 (e) | 109,604 | ||||||
22,000 | Brookfield Finance, Inc., (Canada), 4.70%, 09/20/2047 | 23,035 | ||||||
100,000 | Charles Schwab Corp. (The), 3.20%, 03/02/2027 | 100,883 | ||||||
CME Group, Inc., | ||||||||
97,000 | 3.00%, 03/15/2025 | 98,081 | ||||||
16,000 | 5.30%, 09/15/2043 | 20,524 | ||||||
49,000 | Daiwa Securities Group, Inc., (Japan), 3.13%, 04/19/2022 (e) | 49,291 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
77,000 | 3.13%, 01/13/2021 | 77,446 | ||||||
100,000 | 3.30%, 11/16/2022 | 99,477 | ||||||
100,000 | 4.25%, 10/14/2021 | 104,292 | ||||||
18,000 | E*TRADE Financial Corp., 3.80%, 08/24/2027 | 17,936 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Capital Markets — continued |
| |||||||
Goldman Sachs Group, Inc. (The), | ||||||||
379,000 | 2.35%, 11/15/2021 | 373,212 | ||||||
12,000 | 2.60%, 04/23/2020 | 12,016 | ||||||
100,000 | (ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (aa) | 99,703 | ||||||
213,000 | (ICE LIBOR USD 3 Month + 0.99%), 2.90%, 07/24/2023 (aa) | 211,485 | ||||||
288,000 | (ICE LIBOR USD 3 Month + 1.05%), 2.91%, 06/05/2023 (aa) | 286,049 | ||||||
137,000 | (ICE LIBOR USD 3 Month + 1.20%), 3.27%, 09/29/2025 (aa) | 136,417 | ||||||
100,000 | 3.50%, 01/23/2025 | 101,561 | ||||||
142,000 | 3.50%, 11/16/2026 | 142,795 | ||||||
209,000 | (ICE LIBOR USD 3 Month + 1.51%), 3.69%, 06/05/2028 (aa) | 211,960 | ||||||
10,000 | 3.75%, 05/22/2025 | 10,300 | ||||||
45,000 | 3.85%, 01/26/2027 | 46,188 | ||||||
105,000 | 4.25%, 10/21/2025 | 109,712 | ||||||
206,000 | 5.38%, 03/15/2020 | 218,416 | ||||||
120,000 | 5.95%, 01/18/2018 | 120,189 | ||||||
80,000 | 6.75%, 10/01/2037 | 107,019 | ||||||
125,000 | 7.50%, 02/15/2019 | 132,095 | ||||||
Intercontinental Exchange, Inc., | ||||||||
23,000 | 2.50%, 10/15/2018 | 23,089 | ||||||
59,000 | 4.00%, 10/15/2023 | 62,660 | ||||||
Invesco Finance plc, | ||||||||
36,000 | 3.75%, 01/15/2026 | 37,208 | ||||||
29,000 | 4.00%, 01/30/2024 | 30,574 | ||||||
Jefferies Group LLC, | ||||||||
110,000 | 6.45%, 06/08/2027 | 127,756 | ||||||
100,000 | 6.88%, 04/15/2021 | 111,860 | ||||||
Macquarie Bank Ltd., (Australia), | ||||||||
100,000 | 2.85%, 07/29/2020 (e) | 100,632 | ||||||
100,000 | 4.00%, 07/29/2025 (e) | 104,280 | ||||||
80,000 | Macquarie Group Ltd., (Australia), (ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (e) (aa) | 79,516 | ||||||
Morgan Stanley, | ||||||||
170,000 | 2.63%, 11/17/2021 | 169,206 | ||||||
25,000 | 2.65%, 01/27/2020 | 25,112 | ||||||
100,000 | 2.75%, 05/19/2022 | 99,620 | ||||||
222,000 | (ICE LIBOR USD 3 Month + 1.34%), 3.59%, 07/22/2028 (aa) | 223,977 | ||||||
69,000 | 3.70%, 10/23/2024 | 71,284 | ||||||
142,000 | 3.75%, 02/25/2023 | 147,142 | ||||||
141,000 | 3.88%, 01/27/2026 | 146,936 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — continued | ||||||||
198,000 | 4.00%, 07/23/2025 | 207,266 | ||||||
100,000 | 4.10%, 05/22/2023 | 104,169 | ||||||
20,000 | 4.35%, 09/08/2026 | 20,952 | ||||||
70,000 | 5.00%, 11/24/2025 | 76,578 | ||||||
35,000 | 5.50%, 07/28/2021 | 38,281 | ||||||
200,000 | 5.63%, 09/23/2019 | 210,741 | ||||||
130,000 | 6.63%, 04/01/2018 | 131,424 | ||||||
65,000 | Nomura Holdings, Inc., (Japan), 6.70%, 03/04/2020 | 70,422 | ||||||
29,000 | Northern Trust Corp., (ICE LIBOR USD 3 Month + 1.13%), 3.37%, 05/08/2032 (aa) | 28,884 | ||||||
State Street Corp., | ||||||||
24,000 | 3.10%, 05/15/2023 | 24,204 | ||||||
147,000 | 3.55%, 08/18/2025 | 152,723 | ||||||
77,000 | 3.70%, 11/20/2023 | 81,067 | ||||||
17,000 | TD Ameritrade Holding Corp., 2.95%, 04/01/2022 | 17,202 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
25,000 | 3.85%, 09/29/2024 | 25,910 | ||||||
84,000 | 3.95%, 09/30/2021 | 86,938 | ||||||
|
| |||||||
6,421,824 | ||||||||
|
| |||||||
Consumer Finance — 1.1% |
| |||||||
50,000 | American Express Co., 7.00%, 03/19/2018 | 50,535 | ||||||
American Express Credit Corp., | ||||||||
130,000 | 1.80%, 07/31/2018 | 129,914 | ||||||
73,000 | 2.25%, 05/05/2021 | 72,417 | ||||||
105,000 | 2.70%, 03/03/2022 | 105,328 | ||||||
American Honda Finance Corp., | ||||||||
200,000 | 1.60%, 02/16/2018 (e) | 199,889 | ||||||
33,000 | 2.25%, 08/15/2019 | 33,046 | ||||||
17,000 | 2.30%, 09/09/2026 | 16,086 | ||||||
Capital One Financial Corp., | ||||||||
130,000 | 3.75%, 04/24/2024 | 133,524 | ||||||
196,000 | 3.75%, 07/28/2026 | 195,124 | ||||||
186,000 | 4.20%, 10/29/2025 | 191,315 | ||||||
Caterpillar Financial Services Corp., | ||||||||
175,000 | 1.93%, 10/01/2021 | 171,271 | ||||||
50,000 | 7.15%, 02/15/2019 | 52,789 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
200,000 | 3.34%, 03/28/2022 | 202,292 | ||||||
200,000 | 3.81%, 01/09/2024 | 204,132 | ||||||
General Motors Financial Co., Inc., | ||||||||
50,000 | 3.45%, 04/10/2022 | 50,661 | ||||||
80,000 | 3.50%, 11/07/2024 | 79,818 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Consumer Finance — continued |
| |||||||
68,000 | 3.70%, 05/09/2023 | 69,345 | ||||||
120,000 | 3.95%, 04/13/2024 | 123,513 | ||||||
80,000 | 4.00%, 01/15/2025 | 82,180 | ||||||
84,000 | 4.00%, 10/06/2026 | 85,408 | ||||||
35,000 | 4.30%, 07/13/2025 | 36,465 | ||||||
57,000 | 4.35%, 01/17/2027 | 59,267 | ||||||
50,000 | HSBC Finance Corp., 7.35%, 11/27/2032 | 66,091 | ||||||
HSBC USA, Inc., | ||||||||
100,000 | 1.63%, 01/16/2018 | 99,993 | ||||||
135,000 | 2.35%, 03/05/2020 | 134,975 | ||||||
John Deere Capital Corp., | ||||||||
44,000 | 1.60%, 07/13/2018 | 43,946 | ||||||
42,000 | 3.15%, 10/15/2021 | 43,044 | ||||||
82,000 | 3.35%, 06/12/2024 | 84,421 | ||||||
251,000 | Synchrony Financial, 3.70%, 08/04/2026 | 247,400 | ||||||
Toyota Motor Credit Corp., | ||||||||
100,000 | 2.13%, 07/18/2019 | 99,993 | ||||||
60,000 | 2.80%, 07/13/2022 | 60,702 | ||||||
|
| |||||||
3,224,884 | ||||||||
|
| |||||||
Diversified Financial Services — 0.9% |
| |||||||
100,000 | AIG Global Funding, 1.90%, 10/06/2021 (e) | 97,351 | ||||||
200,000 | CK Hutchison International 16 Ltd., (Hong Kong), 1.88%, 10/03/2021 (e) | 193,091 | ||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||
251,000 | 2.34%, 11/15/2020 | 249,824 | ||||||
400,000 | 4.42%, 11/15/2035 | 432,601 | ||||||
GTP Acquisition Partners I LLC, | ||||||||
58,000 | 2.35%, 06/15/2020 (e) | 57,504 | ||||||
67,000 | 3.48%, 06/16/2025 (e) | 66,493 | ||||||
200,000 | Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), 2.65%, 09/19/2022 (e) | 196,384 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
44,000 | 2.95%, 02/07/2024 | 44,321 | ||||||
50,000 | 10.38%, 11/01/2018 | 53,416 | ||||||
ORIX Corp., (Japan), | ||||||||
40,000 | 2.90%, 07/18/2022 | 39,855 | ||||||
100,000 | 3.25%, 12/04/2024 | 99,658 | ||||||
180,000 | Protective Life Global Funding, 2.00%, 09/14/2021 (e) | 174,717 | ||||||
Shell International Finance BV, (Netherlands), | ||||||||
70,000 | 2.13%, 05/11/2020 | 69,850 | ||||||
161,000 | 2.88%, 05/10/2026 | 160,958 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — continued |
| |||||||
97,000 | 3.75%, 09/12/2046 | 98,835 | ||||||
155,000 | 4.00%, 05/10/2046 | 164,924 | ||||||
107,000 | 4.13%, 05/11/2035 | 116,640 | ||||||
250,000 | Siemens Financieringsmaatschappij NV, (Germany), 3.30%, 09/15/2046 (e) | 233,278 | ||||||
20,000 | Voya Financial, Inc., 3.65%, 06/15/2026 | 20,221 | ||||||
|
| |||||||
2,569,921 | ||||||||
|
| |||||||
Insurance — 1.1% |
| |||||||
31,000 | Allstate Corp. (The), 3.15%, 06/15/2023 | 31,436 | ||||||
American International Group, Inc., | ||||||||
24,000 | 3.75%, 07/10/2025 | 24,739 | ||||||
50,000 | 3.88%, 01/15/2035 | 50,155 | ||||||
59,000 | 4.13%, 02/15/2024 | 62,327 | ||||||
90,000 | 4.70%, 07/10/2035 | 99,472 | ||||||
18,000 | Aon Corp., 6.25%, 09/30/2040 | 23,689 | ||||||
46,000 | Aon plc, 3.88%, 12/15/2025 | 48,083 | ||||||
57,000 | Arch Capital Finance LLC, 5.03%, 12/15/2046 | 66,191 | ||||||
Athene Global Funding, | ||||||||
106,000 | 2.75%, 04/20/2020 (e) | 106,047 | ||||||
44,000 | 4.00%, 01/25/2022 (e) | 45,399 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
62,000 | 4.30%, 05/15/2043 | 69,254 | ||||||
50,000 | 5.40%, 05/15/2018 | 50,624 | ||||||
100,000 | 5.75%, 01/15/2040 | 131,768 | ||||||
150,000 | Brighthouse Financial, Inc., 3.70%, 06/22/2027 (e) | 147,477 | ||||||
Chubb INA Holdings, Inc., | ||||||||
120,000 | 2.70%, 03/13/2023 | 119,195 | ||||||
42,000 | 2.88%, 11/03/2022 | 42,566 | ||||||
CNA Financial Corp., | ||||||||
44,000 | 3.95%, 05/15/2024 | 45,784 | ||||||
32,000 | 4.50%, 03/01/2026 | 34,050 | ||||||
200,000 | Dai-ichi Life Insurance Co. Ltd. (The), (Japan), (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 07/24/2026 (e) (x) (y) (aa) | 195,940 | ||||||
75,000 | Great-West Lifeco Finance Delaware LP, (Canada), 4.15%, 06/03/2047 (e) | 78,644 | ||||||
21,000 | Guardian Life Insurance Co. of America (The), 4.85%, 01/24/2077 (e) | 23,034 | ||||||
Jackson National Life Global Funding, | ||||||||
97,000 | 1.88%, 10/15/2018 (e) | 96,902 | ||||||
104,000 | 3.05%, 04/29/2026 (e) | 102,376 | ||||||
Liberty Mutual Group, Inc., | ||||||||
27,000 | 4.95%, 05/01/2022 (e) | 29,131 | ||||||
50,000 | 6.50%, 03/15/2035 (e) | 64,569 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Insurance — continued |
| |||||||
Lincoln National Corp., | ||||||||
50,000 | 4.00%, 09/01/2023 | 52,188 | ||||||
20,000 | 4.20%, 03/15/2022 | 21,059 | ||||||
100,000 | Manulife Financial Corp., (Canada), (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 02/24/2032 (aa) | 100,726 | ||||||
40,000 | Markel Corp., 3.63%, 03/30/2023 | 40,717 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
24,000 | 2.75%, 01/30/2022 | 24,046 | ||||||
25,000 | 3.30%, 03/14/2023 | 25,618 | ||||||
19,000 | Massachusetts Mutual Life Insurance Co., 8.88%, 06/01/2039 (e) | 31,465 | ||||||
MetLife, Inc., | ||||||||
87,000 | 3.60%, 11/13/2025 | 90,481 | ||||||
28,000 | 4.13%, 08/13/2042 | 29,614 | ||||||
Metropolitan Life Global Funding I, | ||||||||
100,000 | 1.50%, 01/10/2018 (e) | 99,989 | ||||||
175,000 | 2.30%, 04/10/2019 (e) | 175,229 | ||||||
100,000 | Nationwide Mutual Insurance Co., 9.38%, 08/15/2039 (e) | 169,956 | ||||||
New York Life Global Funding, | ||||||||
29,000 | 2.00%, 04/13/2021 (e) | 28,617 | ||||||
65,000 | 2.35%, 07/14/2026 (e) | 62,021 | ||||||
50,000 | Pacific Life Insurance Co., (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (e) (aa) | 50,155 | ||||||
30,000 | Principal Financial Group, Inc., 3.13%, 05/15/2023 | 30,157 | ||||||
100,000 | Principal Life Global Funding II, 2.15%, 01/10/2020 (e) | 99,602 | ||||||
60,000 | Progressive Corp. (The), 2.45%, 01/15/2027 | 57,351 | ||||||
61,000 | Prudential Financial, Inc., 3.91%, 12/07/2047 (e) | 62,160 | ||||||
150,000 | Prudential Insurance Co. of America (The), 8.30%, 07/01/2025 (e) | 196,698 | ||||||
100,000 | Reliance Standard Life Global Funding II, 2.50%, 01/15/2020 (e) | 99,999 | ||||||
50,000 | Teachers Insurance & Annuity Association of America, 4.27%, 05/15/2047 (e) | 52,827 | ||||||
25,000 | Travelers Cos., Inc. (The), 5.80%, 05/15/2018 | 25,352 | ||||||
|
| |||||||
3,414,879 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
200,000 | BPCE SA, (France), 4.63%, 07/11/2024 (e) | 210,246 | ||||||
|
| |||||||
Total Financials | 27,810,005 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 1.4% | ||||||||
Biotechnology — 0.5% | ||||||||
AbbVie, Inc., | ||||||||
45,000 | 2.00%, 11/06/2018 | 44,986 | ||||||
22,000 | 2.85%, 05/14/2023 | 21,948 | ||||||
134,000 | 3.60%, 05/14/2025 | 137,731 | ||||||
200,000 | 4.30%, 05/14/2036 | 214,155 | ||||||
169,000 | 4.50%, 05/14/2035 | 185,496 | ||||||
Amgen, Inc., | ||||||||
25,000 | 3.63%, 05/15/2022 | 25,880 | ||||||
100,000 | 4.66%, 06/15/2051 | 111,741 | ||||||
40,000 | 5.70%, 02/01/2019 | 41,515 | ||||||
Baxalta, Inc., | ||||||||
22,000 | 3.60%, 06/23/2022 | 22,498 | ||||||
8,000 | 5.25%, 06/23/2045 | 9,315 | ||||||
79,000 | Biogen, Inc., 2.90%, 09/15/2020 | 80,070 | ||||||
Celgene Corp., | ||||||||
49,000 | 3.25%, 08/15/2022 | 49,769 | ||||||
100,000 | 3.45%, 11/15/2027 | 99,895 | ||||||
41,000 | 3.63%, 05/15/2024 | 42,158 | ||||||
53,000 | 5.70%, 10/15/2040 | 62,852 | ||||||
Gilead Sciences, Inc., | ||||||||
28,000 | 2.50%, 09/01/2023 | 27,638 | ||||||
40,000 | 3.50%, 02/01/2025 | 41,359 | ||||||
29,000 | 3.65%, 03/01/2026 | 30,077 | ||||||
36,000 | 3.70%, 04/01/2024 | 37,655 | ||||||
29,000 | 4.00%, 09/01/2036 | 30,658 | ||||||
130,000 | 4.60%, 09/01/2035 | 146,381 | ||||||
|
| |||||||
1,463,777 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
90,000 | Abbott Laboratories, 3.88%, 09/15/2025 | 93,067 | ||||||
|
| |||||||
Health Care Providers & Services — 0.4% | ||||||||
30,000 | Aetna, Inc., 2.80%, 06/15/2023 | 29,521 | ||||||
Anthem, Inc., | ||||||||
47,000 | 2.30%, 07/15/2018 | 47,102 | ||||||
18,000 | 3.30%, 01/15/2023 | 18,261 | ||||||
70,000 | 3.35%, 12/01/2024 | 71,000 | ||||||
18,000 | 4.65%, 01/15/2043 | 19,721 | ||||||
65,000 | 4.65%, 08/15/2044 | 71,323 | ||||||
Cardinal Health, Inc., | ||||||||
23,000 | 2.40%, 11/15/2019 | 22,984 | ||||||
50,000 | 3.41%, 06/15/2027 | 48,928 | ||||||
28,000 | 3.75%, 09/15/2025 | 28,501 | ||||||
Express Scripts Holding Co., | ||||||||
48,000 | 3.50%, 06/15/2024 | 48,415 | ||||||
127,000 | 4.50%, 02/25/2026 | 134,740 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
125,000 | Magellan Health, Inc., 4.40%, 09/22/2024 | 125,787 | ||||||
83,000 | Mount Sinai Hospitals Group, Inc., Series 2017, 3.98%, 07/01/2048 | 83,877 | ||||||
36,000 | Providence St Joseph Health Obligated Group, Series H, 2.75%, 10/01/2026 | 34,864 | ||||||
17,000 | Quest Diagnostics, Inc., 3.45%, 06/01/2026 | 17,052 | ||||||
UnitedHealth Group, Inc., | ||||||||
36,000 | 1.63%, 03/15/2019 | 35,802 | ||||||
175,000 | 2.13%, 03/15/2021 | 173,696 | ||||||
42,000 | 2.75%, 02/15/2023 | 42,077 | ||||||
34,000 | 4.63%, 07/15/2035 | 39,568 | ||||||
50,000 | 6.63%, 11/15/2037 | 70,976 | ||||||
|
| |||||||
1,164,195 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.0% (g) |
| |||||||
30,000 | Thermo Fisher Scientific, Inc., 2.95%, 09/19/2026 | 29,143 | ||||||
|
| |||||||
Pharmaceuticals — 0.5% |
| |||||||
Allergan Funding SCS, | ||||||||
52,000 | 3.45%, 03/15/2022 | 52,829 | ||||||
42,000 | 3.85%, 06/15/2024 | 43,031 | ||||||
111,000 | 4.55%, 03/15/2035 | 117,379 | ||||||
Allergan, Inc., | ||||||||
100,000 | 2.80%, 03/15/2023 | 98,904 | ||||||
43,000 | 3.38%, 09/15/2020 | 43,807 | ||||||
Johnson & Johnson, | ||||||||
121,000 | 2.63%, 01/15/2025 | 120,356 | ||||||
123,000 | 3.40%, 01/15/2038 | 125,884 | ||||||
19,000 | 4.38%, 12/05/2033 | 21,649 | ||||||
Merck & Co., Inc., | ||||||||
21,000 | 2.40%, 09/15/2022 | 20,922 | ||||||
63,000 | 2.80%, 05/18/2023 | 63,515 | ||||||
10,000 | 3.70%, 02/10/2045 | 10,429 | ||||||
Mylan NV, | ||||||||
35,000 | 3.95%, 06/15/2026 | 35,284 | ||||||
24,000 | 5.25%, 06/15/2046 | 26,275 | ||||||
50,000 | Mylan, Inc., 3.13%, 01/15/2023 (e) | 49,299 | ||||||
150,000 | Pfizer, Inc., 3.00%, 12/15/2026 | 150,861 | ||||||
83,000 | Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/2023 | 81,582 | ||||||
Teva Pharmaceutical Finance Netherlands III BV, (Israel), | ||||||||
223,000 | 2.80%, 07/21/2023 | 193,174 | ||||||
30,000 | 3.15%, 10/01/2026 | 24,637 | ||||||
10,000 | 4.10%, 10/01/2046 | 7,584 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — continued | ||||||||
9,000 | Zoetis, Inc., 4.70%, 02/01/2043 | 10,053 | ||||||
|
| |||||||
1,297,454 | ||||||||
|
| |||||||
Total Health Care | 4,047,636 | |||||||
|
| |||||||
Industrials — 1.4% | ||||||||
Aerospace & Defense — 0.3% | ||||||||
32,000 | Airbus Group Finance BV, (France), 2.70%, 04/17/2023 (e) | 31,970 | ||||||
164,000 | Airbus SE, (France), 3.15%, 04/10/2027 (e) | 164,471 | ||||||
45,000 | BAE Systems Holdings, Inc., (United Kingdom), 3.80%, 10/07/2024 (e) | 46,803 | ||||||
51,000 | BAE Systems plc, (United Kingdom), 5.80%, 10/11/2041 (e) | 63,624 | ||||||
Lockheed Martin Corp., | ||||||||
60,000 | 4.09%, 09/15/2052 | 62,743 | ||||||
100,000 | 4.50%, 05/15/2036 | 112,051 | ||||||
Northrop Grumman Corp., | ||||||||
76,000 | 3.20%, 02/01/2027 | 76,263 | ||||||
50,000 | 3.25%, 01/15/2028 | 50,057 | ||||||
45,000 | Precision Castparts Corp., 3.25%, 06/15/2025 | 45,986 | ||||||
28,000 | Rockwell Collins, Inc., 3.20%, 03/15/2024 | 28,209 | ||||||
Textron, Inc., | ||||||||
57,000 | 3.65%, 03/15/2027 | 57,913 | ||||||
50,000 | 4.30%, 03/01/2024 | 52,865 | ||||||
25,000 | United Technologies Corp., 4.15%, 05/15/2045 | 26,607 | ||||||
|
| |||||||
819,562 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
FedEx Corp., | ||||||||
66,000 | 3.90%, 02/01/2035 | 67,002 | ||||||
50,000 | 4.10%, 04/15/2043 | 51,034 | ||||||
35,000 | United Parcel Service of America, Inc., 8.38%, 04/01/2020 | 39,632 | ||||||
|
| |||||||
157,668 | ||||||||
|
| |||||||
Building Products — 0.0% (g) |
| |||||||
Johnson Controls International plc, | ||||||||
26,000 | 3.90%, 02/14/2026 | 27,197 | ||||||
30,000 | 5.70%, 03/01/2041 | 35,354 | ||||||
27,000 | SUB, 4.95%, 07/02/2064 | 29,710 | ||||||
|
| |||||||
92,261 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
70,000 | Brambles USA, Inc., (Australia), 4.13%, 10/23/2025 (e) | 72,578 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Commercial Services & Supplies — continued |
| |||||||
Republic Services, Inc., | ||||||||
21,000 | 2.90%, 07/01/2026 | 20,557 | ||||||
21,000 | 3.55%, 06/01/2022 | 21,646 | ||||||
|
| |||||||
114,781 | ||||||||
|
| |||||||
Construction & Engineering — 0.0% (g) |
| |||||||
23,000 | ABB Finance USA, Inc., (Switzerland), 2.88%, 05/08/2022 | 23,382 | ||||||
44,000 | Fluor Corp., 3.38%, 09/15/2021 | 44,976 | ||||||
|
| |||||||
68,358 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
General Electric Co., | ||||||||
88,000 | 5.50%, 01/08/2020 | 93,432 | ||||||
100,000 | 5.88%, 01/14/2038 | 129,226 | ||||||
150,000 | Honeywell International, Inc., 2.50%, 11/01/2026 | 145,039 | ||||||
56,000 | Pentair Finance SARL, (United Kingdom), 2.90%, 09/15/2018 | 56,220 | ||||||
|
| |||||||
423,917 | ||||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
80,000 | Illinois Tool Works, Inc., 4.88%, 09/15/2041 | 96,206 | ||||||
Parker-Hannifin Corp., | ||||||||
21,000 | 4.10%, 03/01/2047 | 22,552 | ||||||
30,000 | 4.45%, 11/21/2044 | 33,466 | ||||||
25,000 | 5.50%, 05/15/2018 | 25,330 | ||||||
|
| |||||||
177,554 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
50,000 | 3.00%, 03/15/2023 | 50,931 | ||||||
25,000 | 3.60%, 09/01/2020 | 25,772 | ||||||
25,000 | 4.38%, 09/01/2042 | 27,900 | ||||||
40,000 | 4.40%, 03/15/2042 | 44,899 | ||||||
35,000 | 4.70%, 09/01/2045 | 40,968 | ||||||
77,000 | 5.15%, 09/01/2043 | 95,125 | ||||||
126,000 | 5.40%, 06/01/2041 | 158,464 | ||||||
85,000 | 5.75%, 05/01/2040 | 110,673 | ||||||
Canadian Pacific Railway Co., (Canada), | ||||||||
35,000 | 4.50%, 01/15/2022 | 37,268 | ||||||
137,000 | 6.13%, 09/15/2115 | 182,700 | ||||||
CSX Corp., | ||||||||
33,000 | 4.25%, 06/01/2021 | 34,666 | ||||||
50,000 | 5.50%, 04/15/2041 | 61,743 | ||||||
ERAC USA Finance LLC, | ||||||||
50,000 | 2.60%, 12/01/2021 (e) | 49,354 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — continued |
| |||||||
45,000 | 4.50%, 08/16/2021 (e) | 47,457 | ||||||
12,000 | 5.63%, 03/15/2042 (e) | 14,158 | ||||||
160,000 | 7.00%, 10/15/2037 (e) | 213,818 | ||||||
70,000 | JB Hunt Transport Services, Inc., 3.85%, 03/15/2024 | 72,198 | ||||||
Norfolk Southern Corp., | ||||||||
70,000 | 3.95%, 10/01/2042 | 71,656 | ||||||
40,000 | 4.05%, 08/15/2052 (e) | 41,415 | ||||||
Penske Truck Leasing Co. LP, | ||||||||
27,000 | 2.88%, 07/17/2018 (e) | 27,116 | ||||||
25,000 | 3.40%, 11/15/2026 (e) | 24,678 | ||||||
75,000 | 4.20%, 04/01/2027 (e) | 77,938 | ||||||
100,000 | Ryder System, Inc., 2.25%, 09/01/2021 | 98,442 | ||||||
70,000 | Union Pacific Corp., 4.10%, 09/15/2067 | 72,943 | ||||||
|
| |||||||
1,682,282 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Air Lease Corp., | ||||||||
48,000 | 3.00%, 09/15/2023 | 47,620 | ||||||
50,000 | 3.63%, 12/01/2027 | 49,963 | ||||||
35,000 | 3.88%, 04/01/2021 | 36,249 | ||||||
100,000 | Aviation Capital Group LLC, 2.88%, 01/20/2022 (e) | 99,906 | ||||||
International Lease Finance Corp., | ||||||||
150,000 | 5.88%, 08/15/2022 | 166,160 | ||||||
70,000 | 8.63%, 01/15/2022 | 84,294 | ||||||
77,000 | WW Grainger, Inc., 4.60%, 06/15/2045 | 84,208 | ||||||
|
| |||||||
568,400 | ||||||||
|
| |||||||
Total Industrials | 4,104,783 | |||||||
|
| |||||||
Information Technology — 1.8% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
Cisco Systems, Inc., | ||||||||
50,000 | 1.85%, 09/20/2021 | 49,065 | ||||||
56,000 | 3.00%, 06/15/2022 | 57,076 | ||||||
75,000 | 5.90%, 02/15/2039 | 102,463 | ||||||
Harris Corp., | ||||||||
60,000 | 3.83%, 04/27/2025 | 62,166 | ||||||
50,000 | 4.85%, 04/27/2035 | 55,843 | ||||||
|
| |||||||
326,613 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% (g) |
| |||||||
Arrow Electronics, Inc., | ||||||||
13,000 | 3.00%, 03/01/2018 | 13,016 | ||||||
44,000 | 3.25%, 09/08/2024 | 43,105 | ||||||
22,000 | 3.88%, 01/12/2028 | 21,928 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
8,000 | 4.50%, 03/01/2023 | 8,414 | ||||||
|
| |||||||
86,463 | ||||||||
|
| |||||||
Internet Software & Services — 0.0% (g) |
| |||||||
eBay, Inc., | ||||||||
50,000 | 2.60%, 07/15/2022 | 49,543 | ||||||
70,000 | 3.45%, 08/01/2024 | 71,126 | ||||||
|
| |||||||
120,669 | ||||||||
|
| |||||||
IT Services — 0.2% |
| |||||||
34,000 | DXC Technology Co., 4.25%, 04/15/2024 | 35,408 | ||||||
50,000 | Enterprise Services LLC, 7.45%, 10/15/2029 | 62,124 | ||||||
International Business Machines Corp., | ||||||||
174,000 | 2.25%, 02/19/2021 | 173,478 | ||||||
50,000 | 6.22%, 08/01/2027 | 62,347 | ||||||
Western Union Co. (The), | ||||||||
100,000 | 3.60%, 03/15/2022 | 101,223 | ||||||
30,000 | 6.20%, 06/21/2040 | 32,263 | ||||||
|
| |||||||
466,843 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.2% |
| |||||||
64,000 | Analog Devices, Inc., 4.50%, 12/05/2036 | 68,943 | ||||||
Broadcom Corp., | ||||||||
120,000 | 3.63%, 01/15/2024 (e) | 119,302 | ||||||
140,000 | 3.88%, 01/15/2027 (e) | 137,728 | ||||||
Intel Corp., | ||||||||
49,000 | 3.70%, 07/29/2025 | 51,767 | ||||||
26,000 | 3.73%, 12/08/2047 (e) | 26,972 | ||||||
60,000 | 4.00%, 12/15/2032 | 65,996 | ||||||
38,000 | 4.10%, 05/19/2046 | 41,864 | ||||||
QUALCOMM, Inc., | ||||||||
10,000 | 2.60%, 01/30/2023 | 9,753 | ||||||
75,000 | 3.25%, 05/20/2027 | 73,208 | ||||||
|
| |||||||
595,533 | ||||||||
|
| |||||||
Software — 0.7% |
| |||||||
Microsoft Corp., | ||||||||
125,000 | 2.00%, 08/08/2023 | 121,407 | ||||||
30,000 | 2.38%, 02/12/2022 | 29,948 | ||||||
53,000 | 2.38%, 05/01/2023 | 52,546 | ||||||
160,000 | 2.65%, 11/03/2022 | 161,150 | ||||||
90,000 | 2.88%, 02/06/2024 | 91,284 | ||||||
125,000 | 3.45%, 08/08/2036 | 128,777 | ||||||
68,000 | 3.50%, 02/12/2035 | 70,702 | ||||||
48,000 | 3.95%, 08/08/2056 | 51,177 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — continued | ||||||||
19,000 | 4.00%, 02/12/2055 | 20,304 | ||||||
119,000 | 4.50%, 02/06/2057 | 140,755 | ||||||
Oracle Corp., | ||||||||
101,000 | 2.40%, 09/15/2023 | 99,721 | ||||||
52,000 | 2.50%, 05/15/2022 | 52,076 | ||||||
100,000 | 3.85%, 07/15/2036 | 105,598 | ||||||
200,000 | 3.90%, 05/15/2035 | 211,712 | ||||||
449,000 | 4.30%, 07/08/2034 | 498,667 | ||||||
50,000 | 5.75%, 04/15/2018 | 50,572 | ||||||
101,000 | VMware, Inc., 2.95%, 08/21/2022 | 100,704 | ||||||
|
| |||||||
1,987,100 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.6% |
| |||||||
Apple, Inc., | ||||||||
69,000 | (ICE LIBOR USD 3 Month + 0.25%), 1.63%, 05/03/2018 (aa) | 69,041 | ||||||
181,000 | 2.15%, 02/09/2022 | 178,625 | ||||||
142,000 | 2.40%, 05/03/2023 | 140,517 | ||||||
74,000 | 2.45%, 08/04/2026 | 70,905 | ||||||
150,000 | 2.75%, 01/13/2025 | 148,659 | ||||||
126,000 | 2.85%, 05/06/2021 | 128,009 | ||||||
117,000 | 3.00%, 02/09/2024 | 118,461 | ||||||
56,000 | 3.00%, 06/20/2027 | 55,738 | ||||||
32,000 | 3.20%, 05/13/2025 | 32,638 | ||||||
57,000 | 3.20%, 05/11/2027 | 57,707 | ||||||
31,000 | 3.45%, 02/09/2045 | 30,225 | ||||||
140,000 | 3.75%, 09/12/2047 | 143,330 | ||||||
117,000 | 3.85%, 08/04/2046 | 121,816 | ||||||
43,000 | 4.50%, 02/23/2036 | 49,256 | ||||||
135,000 | Dell International LLC, 6.02%, 06/15/2026 (e) | 148,818 | ||||||
25,000 | Dell, Inc., 7.10%, 04/15/2028 | 28,125 | ||||||
HP, Inc., | ||||||||
24,000 | 4.30%, 06/01/2021 | 25,160 | ||||||
20,000 | 4.65%, 12/09/2021 | 21,256 | ||||||
26,000 | 6.00%, 09/15/2041 | 27,782 | ||||||
|
| |||||||
1,596,068 | ||||||||
|
| |||||||
Total Information Technology | 5,179,289 | |||||||
|
| |||||||
Materials — 0.7% |
| |||||||
Chemicals — 0.4% |
| |||||||
Agrium, Inc., (Canada), | ||||||||
22,000 | 3.38%, 03/15/2025 | 22,097 | ||||||
130,000 | 4.13%, 03/15/2035 | 134,211 | ||||||
38,000 | 5.25%, 01/15/2045 | 44,175 | ||||||
38,000 | CF Industries, Inc., 7.13%, 05/01/2020 | 41,382 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Chemicals — continued | ||||||||
45,000 | Chevron Phillips Chemical Co. LLC, 3.40%, 12/01/2026 (e) | 46,139 | ||||||
30,000 | Dow Chemical Co. (The), 4.25%, 10/01/2034 | 31,511 | ||||||
Ecolab, Inc., | ||||||||
90,000 | 3.25%, 01/14/2023 | 92,008 | ||||||
34,000 | 3.25%, 12/01/2027 (e) | 34,008 | ||||||
25,000 | EI du Pont de Nemours & Co., 4.90%, 01/15/2041 | 28,538 | ||||||
9,000 | Monsanto Co., 4.70%, 07/15/2064 | 9,382 | ||||||
Mosaic Co. (The), | ||||||||
95,000 | 4.25%, 11/15/2023 | 98,359 | ||||||
8,000 | 4.88%, 11/15/2041 | 7,950 | ||||||
36,000 | 5.45%, 11/15/2033 | 39,183 | ||||||
22,000 | 5.63%, 11/15/2043 | 23,686 | ||||||
70,000 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.00%, 12/15/2026 | 72,806 | ||||||
PPG Industries, Inc., | ||||||||
14,000 | 5.50%, 11/15/2040 | 17,128 | ||||||
50,000 | 9.00%, 05/01/2021 | 59,360 | ||||||
16,000 | Praxair, Inc., 2.65%, 02/05/2025 | 15,827 | ||||||
29,000 | Sherwin-Williams Co. (The), 3.13%, 06/01/2024 | 29,154 | ||||||
Union Carbide Corp., | ||||||||
100,000 | 7.50%, 06/01/2025 | 124,320 | ||||||
80,000 | 7.75%, 10/01/2096 | 110,601 | ||||||
36,000 | Westlake Chemical Corp., 4.38%, 11/15/2047 | 37,352 | ||||||
|
| |||||||
1,119,177 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
52,000 | Martin Marietta Materials, Inc., 3.45%, 06/01/2027 | 51,243 | ||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
International Paper Co., | ||||||||
57,000 | 3.00%, 02/15/2027 | 55,248 | ||||||
40,000 | 7.30%, 11/15/2039 | 56,308 | ||||||
80,000 | WestRock Co., 3.00%, 09/15/2024 (e) | 79,272 | ||||||
|
| |||||||
190,828 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
Nucor Corp., | ||||||||
213,000 | 4.00%, 08/01/2023 | 222,996 | ||||||
30,000 | 6.40%, 12/01/2037 | 40,137 | ||||||
80,000 | Vale Canada Ltd., (Brazil), 7.20%, 09/15/2032 | 90,800 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — continued | ||||||||
Vale Overseas Ltd., (Brazil), | ||||||||
38,000 | 6.25%, 08/10/2026 | 43,975 | ||||||
140,000 | 6.88%, 11/21/2036 | 171,675 | ||||||
|
| |||||||
569,583 | ||||||||
|
| |||||||
Total Materials | 1,930,831 | |||||||
|
| |||||||
Real Estate — 1.1% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
American Tower Corp., | ||||||||
44,000 | 3.38%, 10/15/2026 | 43,217 | ||||||
87,000 | 3.50%, 01/31/2023 | 88,945 | ||||||
71,000 | 5.00%, 02/15/2024 | 77,756 | ||||||
30,000 | 5.90%, 11/01/2021 | 33,181 | ||||||
80,000 | American Tower Trust #1, 3.07%, 03/15/2023 (e) | 80,884 | ||||||
AvalonBay Communities, Inc., | ||||||||
50,000 | 2.85%, 03/15/2023 | 49,880 | ||||||
50,000 | 3.50%, 11/15/2024 | 51,415 | ||||||
32,000 | 3.90%, 10/15/2046 | 32,002 | ||||||
Boston Properties LP, | ||||||||
30,000 | 2.75%, 10/01/2026 | 28,293 | ||||||
30,000 | 3.13%, 09/01/2023 | 30,232 | ||||||
61,000 | 3.20%, 01/15/2025 | 60,791 | ||||||
67,000 | 3.65%, 02/01/2026 | 68,047 | ||||||
50,000 | Brixmor Operating Partnership LP, 3.85%, 02/01/2025 | 49,922 | ||||||
Crown Castle International Corp., | ||||||||
24,000 | 4.00%, 03/01/2027 | 24,531 | ||||||
88,000 | 4.88%, 04/15/2022 | 94,357 | ||||||
60,000 | 5.25%, 01/15/2023 | 65,688 | ||||||
70,000 | DDR Corp., 3.63%, 02/01/2025 | 68,839 | ||||||
31,000 | Digital Realty Trust LP, 3.70%, 08/15/2027 | 31,216 | ||||||
18,000 | Duke Realty LP, 3.25%, 06/30/2026 | 17,835 | ||||||
54,000 | EPR Properties, 4.50%, 06/01/2027 | 54,292 | ||||||
75,000 | Equity Commonwealth, 5.88%, 09/15/2020 | 79,227 | ||||||
ERP Operating LP, | ||||||||
46,000 | 2.85%, 11/01/2026 | 44,611 | ||||||
50,000 | 3.00%, 04/15/2023 | 50,581 | ||||||
79,000 | GAIF Bond Issuer Pty. Ltd., (Australia), 3.40%, 09/30/2026 (e) | 77,437 | ||||||
43,000 | Goodman US Finance Three LLC, (Australia), 3.70%, 03/15/2028 (e) | 42,656 | ||||||
78,000 | Government Properties Income Trust, 4.00%, 07/15/2022 | 78,462 | ||||||
115,000 | HCP, Inc., 3.88%, 08/15/2024 | 117,684 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Kimco Realty Corp., | ||||||||
67,000 | 2.70%, 03/01/2024 | 64,858 | ||||||
100,000 | 3.80%, 04/01/2027 | 100,971 | ||||||
19,000 | Liberty Property LP, 3.25%, 10/01/2026 | 18,694 | ||||||
58,000 | National Retail Properties, Inc., 3.60%, 12/15/2026 | 57,495 | ||||||
24,000 | Prologis LP, 3.75%, 11/01/2025 | 25,156 | ||||||
Realty Income Corp., | ||||||||
57,000 | 3.00%, 01/15/2027 | 54,528 | ||||||
20,000 | 3.88%, 07/15/2024 | 20,631 | ||||||
38,000 | 4.65%, 03/15/2047 | 41,648 | ||||||
170,000 | Scentre Group Trust 1, (Australia), 3.50%, 02/12/2025 (e) | 170,879 | ||||||
Simon Property Group LP, | ||||||||
119,000 | 2.50%, 07/15/2021 | 119,292 | ||||||
70,000 | 4.38%, 03/01/2021 | 73,868 | ||||||
28,000 | UDR, Inc., 2.95%, 09/01/2026 | 26,903 | ||||||
Ventas Realty LP, | ||||||||
9,000 | 3.50%, 02/01/2025 | 9,065 | ||||||
74,000 | 3.75%, 05/01/2024 | 75,964 | ||||||
49,000 | 3.85%, 04/01/2027 | 49,888 | ||||||
34,000 | 4.13%, 01/15/2026 | 35,477 | ||||||
170,000 | VEREIT Operating Partnership LP, 4.60%, 02/06/2024 | 177,734 | ||||||
60,000 | Vornado Realty LP, 3.50%, 01/15/2025 | 59,838 | ||||||
Welltower, Inc., | ||||||||
50,000 | 3.75%, 03/15/2023 | 51,806 | ||||||
70,000 | 4.00%, 06/01/2025 | 72,367 | ||||||
37,000 | 4.50%, 01/15/2024 | 39,530 | ||||||
110,000 | WP Carey, Inc., 4.60%, 04/01/2024 | 114,890 | ||||||
|
| |||||||
3,003,463 | ||||||||
| �� | |||||||
Real Estate Management & Development — 0.1% |
| |||||||
200,000 | Ontario Teachers’ Cadillac Fairview Properties Trust, (Canada), 3.13%, 03/20/2022 (e) | 202,644 | ||||||
|
| |||||||
Total Real Estate | 3,206,107 | |||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
AT&T, Inc., | ||||||||
110,000 | 3.40%, 05/15/2025 | 108,121 | ||||||
40,000 | 3.95%, 01/15/2025 | 40,946 | ||||||
133,000 | 4.10%, 02/15/2028 (e) | 133,400 | ||||||
117,000 | 4.13%, 02/17/2026 | 119,645 | ||||||
238,000 | 4.30%, 02/15/2030 (e) | 237,945 | ||||||
4,000 | 4.30%, 12/15/2042 | 3,755 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — continued |
| |||||||
51,000 | 4.45%, 04/01/2024 | 53,938 | ||||||
5,000 | 4.50%, 05/15/2035 | 4,967 | ||||||
26,000 | 4.75%, 05/15/2046 | 25,407 | ||||||
230,000 | 4.90%, 08/14/2037 | 233,215 | ||||||
105,000 | 5.15%, 11/15/2046 (e) | 107,224 | ||||||
100,000 | 5.25%, 03/01/2037 | 105,692 | ||||||
228,000 | 5.35%, 09/01/2040 | 240,429 | ||||||
50,000 | 5.50%, 02/01/2018 | 50,143 | ||||||
50,000 | 5.80%, 02/15/2019 | 51,883 | ||||||
125,000 | 6.00%, 08/15/2040 | 141,360 | ||||||
50,000 | Centel Capital Corp., 9.00%, 10/15/2019 | 53,760 | ||||||
70,000 | Deutsche Telekom International Finance BV, (Germany), 8.75%, 06/15/2030 | 103,539 | ||||||
Telefonica Emisiones SAU, (Spain), | ||||||||
150,000 | 4.57%, 04/27/2023 | 162,203 | ||||||
25,000 | 5.13%, 04/27/2020 | 26,463 | ||||||
19,000 | 5.46%, 02/16/2021 | 20,551 | ||||||
50,000 | 7.05%, 06/20/2036 | 67,038 | ||||||
Verizon Communications, Inc., | ||||||||
69,000 | 2.95%, 03/15/2022 | 69,412 | ||||||
89,000 | 3.38%, 02/15/2025 (e) | 89,315 | ||||||
53,000 | 3.45%, 03/15/2021 | 54,610 | ||||||
20,000 | 4.27%, 01/15/2036 | 19,882 | ||||||
409,000 | 4.40%, 11/01/2034 | 416,518 | ||||||
125,000 | 4.50%, 08/10/2033 | 131,022 | ||||||
81,000 | 4.67%, 03/15/2055 | 78,126 | ||||||
218,000 | 4.81%, 03/15/2039 | 227,903 | ||||||
38,000 | 5.01%, 08/21/2054 | 38,731 | ||||||
69,000 | 5.25%, 03/16/2037 | 75,826 | ||||||
|
| |||||||
3,292,969 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
42,000 | Crown Castle Towers LLC, 3.22%, 05/15/2022 (e) | 42,421 | ||||||
Rogers Communications, Inc., (Canada), | ||||||||
50,000 | 6.80%, 08/15/2018 | 51,467 | ||||||
25,000 | 8.75%, 05/01/2032 | 35,506 | ||||||
187,500 | Sprint Spectrum Co. LLC, 3.36%, 09/20/2021 (e) | 188,672 | ||||||
75,000 | Vodafone Group plc, (United Kingdom), 1.50%, 02/19/2018 | 74,944 | ||||||
|
| |||||||
393,010 | ||||||||
|
| |||||||
Total Telecommunication Services | 3,685,979 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Utilities — 2.2% |
| |||||||
Electric Utilities — 1.5% |
| |||||||
62,000 | Alabama Power Co., 6.13%, 05/15/2038 | 81,423 | ||||||
9,000 | Arizona Public Service Co., 4.50%, 04/01/2042 | 10,147 | ||||||
72,000 | Avangrid, Inc., 3.15%, 12/01/2024 | 71,607 | ||||||
47,000 | Baltimore Gas & Electric Co., 3.50%, 08/15/2046 | 46,004 | ||||||
200,000 | China Southern Power Grid International Finance BVI Co. Ltd., (China), 3.50%, 05/08/2027 (e) | 199,752 | ||||||
95,000 | Cleveland Electric Illuminating Co. (The), 3.50%, 04/01/2028 (e) | 95,074 | ||||||
30,000 | Commonwealth Edison Co., 3.65%, 06/15/2046 | 30,273 | ||||||
Duke Energy Carolinas LLC, | ||||||||
100,000 | 2.95%, 12/01/2026 | 99,221 | ||||||
39,000 | 4.30%, 06/15/2020 | 40,846 | ||||||
75,000 | 5.10%, 04/15/2018 | 75,697 | ||||||
Duke Energy Indiana LLC, | ||||||||
60,000 | 3.75%, 05/15/2046 | 61,486 | ||||||
60,000 | 6.35%, 08/15/2038 | 82,346 | ||||||
46,000 | Duke Energy Ohio, Inc., 3.70%, 06/15/2046 | 46,723 | ||||||
Duke Energy Progress LLC, | ||||||||
54,000 | 3.70%, 10/15/2046 | 55,099 | ||||||
25,000 | 5.30%, 01/15/2019 | 25,804 | ||||||
Electricite de France SA, (France), | ||||||||
40,000 | 2.15%, 01/22/2019 (e) | 40,002 | ||||||
75,000 | 6.00%, 01/22/2114 (e) | 83,742 | ||||||
220,000 | Enel Finance International NV, (Italy), 3.63%, 05/25/2027 (e) | 218,518 | ||||||
22,000 | Entergy Arkansas, Inc., 3.50%, 04/01/2026 | 22,696 | ||||||
21,000 | Entergy Corp., 2.95%, 09/01/2026 | 20,426 | ||||||
Entergy Louisiana LLC, | ||||||||
59,000 | 2.40%, 10/01/2026 | 55,835 | ||||||
38,000 | 3.05%, 06/01/2031 | 36,800 | ||||||
33,000 | Entergy Mississippi, Inc., 2.85%, 06/01/2028 | 31,941 | ||||||
FirstEnergy Corp., | ||||||||
27,000 | Series B, 3.90%, 07/15/2027 | 27,658 | ||||||
26,000 | Series C, 4.85%, 07/15/2047 | 28,989 | ||||||
Florida Power & Light Co., | ||||||||
50,000 | 5.40%, 09/01/2035 | 61,467 | ||||||
30,000 | 5.95%, 02/01/2038 | 40,071 | ||||||
200,000 | Fortis, Inc., (Canada), 3.06%, 10/04/2026 | 193,055 | ||||||
18,000 | Great Plains Energy, Inc., 4.85%, 06/01/2021 | 19,063 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — continued | ||||||||
100,000 | Hydro-Quebec, (Canada), Series IO, 8.05%, 07/07/2024 | 129,193 | ||||||
100,000 | ITC Holdings Corp., 2.70%, 11/15/2022 (e) | 99,805 | ||||||
30,000 | Jersey Central Power & Light Co., 6.15%, 06/01/2037 | 37,147 | ||||||
Kansas City Power & Light Co., | ||||||||
24,000 | 3.15%, 03/15/2023 | 24,106 | ||||||
50,000 | 5.30%, 10/01/2041 | 59,142 | ||||||
56,000 | Massachusetts Electric Co., 4.00%, 08/15/2046 (e) | 59,408 | ||||||
MidAmerican Energy Co., | ||||||||
93,000 | 3.10%, 05/01/2027 | 93,446 | ||||||
59,000 | 3.50%, 10/15/2024 | 61,550 | ||||||
45,000 | New England Power Co., (United Kingdom), 3.80%, 12/05/2047 (e) | 45,961 | ||||||
27,000 | NextEra Energy Capital Holdings, Inc., 3.55%, 05/01/2027 | 27,496 | ||||||
Niagara Mohawk Power Corp., | ||||||||
19,000 | 3.51%, 10/01/2024 (e) | 19,662 | ||||||
40,000 | 4.88%, 08/15/2019 (e) | 41,519 | ||||||
65,000 | Northern States Power Co., 6.25%, 06/01/2036 | 87,728 | ||||||
50,000 | NSTAR Electric Co., 2.70%, 06/01/2026 | 48,268 | ||||||
40,000 | Ohio Power Co., 6.05%, 05/01/2018 | 40,507 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
30,000 | 6.80%, 09/01/2018 | 30,899 | ||||||
25,000 | 7.00%, 09/01/2022 | 29,537 | ||||||
Pacific Gas & Electric Co., | ||||||||
43,000 | 2.95%, 03/01/2026 | 41,853 | ||||||
16,000 | 3.50%, 06/15/2025 | 16,353 | ||||||
24,000 | 4.50%, 12/15/2041 | 25,628 | ||||||
100,000 | 6.05%, 03/01/2034 | 125,967 | ||||||
19,000 | Pennsylvania Electric Co., 3.25%, 03/15/2028 (e) | 18,689 | ||||||
75,000 | Potomac Electric Power Co., 6.50%, 11/15/2037 | 103,821 | ||||||
PPL Capital Funding, Inc., | ||||||||
30,000 | 3.40%, 06/01/2023 | 30,601 | ||||||
51,000 | 4.00%, 09/15/2047 | 52,354 | ||||||
35,000 | Progress Energy, Inc., 4.40%, 01/15/2021 | 36,686 | ||||||
18,000 | Public Service Co. of Colorado, 3.20%, 11/15/2020 | 18,381 | ||||||
175,000 | Public Service Co. of Oklahoma, Series G, 6.63%, 11/15/2037 | 237,191 | ||||||
Public Service Electric & Gas Co., | ||||||||
83,000 | 3.00%, 05/15/2025 | 83,185 | ||||||
28,000 | 5.38%, 11/01/2039 | 35,129 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Electric Utilities — continued | ||||||||
30,000 | South Carolina Electric & Gas Co., 6.05%, 01/15/2038 | 37,470 | ||||||
Southern California Edison Co., | ||||||||
12,214 | 1.85%, 02/01/2022 | 12,095 | ||||||
53,000 | Series C, 3.50%, 10/01/2023 | 54,879 | ||||||
80,000 | Series 05-B, 5.55%, 01/15/2036 | 98,562 | ||||||
200,000 | State Grid Overseas Investment 2013 Ltd., (China), 1.75%, 05/22/2018 (e) | 199,462 | ||||||
50,000 | Toledo Edison Co. (The), 6.15%, 05/15/2037 | 64,397 | ||||||
36,000 | Union Electric Co., 2.95%, 06/15/2027 | 35,653 | ||||||
Virginia Electric & Power Co., | ||||||||
120,000 | 5.40%, 04/30/2018 | 121,357 | ||||||
70,000 | 6.35%, 11/30/2037 | 96,429 | ||||||
Xcel Energy, Inc., | ||||||||
74,000 | 3.30%, 06/01/2025 | 74,988 | ||||||
20,000 | 6.50%, 07/01/2036 | 27,000 | ||||||
|
| |||||||
4,485,269 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
Atmos Energy Corp., | ||||||||
50,000 | 3.00%, 06/15/2027 | 49,735 | ||||||
50,000 | 4.13%, 10/15/2044 | 54,550 | ||||||
22,000 | Boston Gas Co., 4.49%, 02/15/2042 (e) | 24,635 | ||||||
25,000 | CenterPoint Energy Resources Corp., 4.50%, 01/15/2021 | 26,145 | ||||||
49,000 | Dominion Energy Gas Holdings LLC, 2.80%, 11/15/2020 | 49,373 | ||||||
Southern Natural Gas Co. LLC, | ||||||||
26,000 | 4.80%, 03/15/2047 (e) | 28,566 | ||||||
53,000 | 8.00%, 03/01/2032 | 71,830 | ||||||
44,000 | Southwest Gas Corp., 3.80%, 09/29/2046 | 44,162 | ||||||
|
| |||||||
348,996 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% |
| |||||||
Exelon Generation Co. LLC, | ||||||||
15,000 | 2.95%, 01/15/2020 | 15,152 | ||||||
35,000 | 3.40%, 03/15/2022 | 35,584 | ||||||
38,000 | 4.25%, 06/15/2022 | 39,868 | ||||||
29,000 | 5.75%, 10/01/2041 | 31,756 | ||||||
100,000 | 6.25%, 10/01/2039 | 116,899 | ||||||
37,000 | PSEG Power LLC, 4.15%, 09/15/2021 | 38,583 | ||||||
50,000 | Southern Power Co., 5.15%, 09/15/2041 | 55,566 | ||||||
25,000 | Tri-State Generation & Transmission Association, Inc., 4.25%, 06/01/2046 | 25,622 | ||||||
|
| |||||||
359,030 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 0.4% |
| |||||||
CMS Energy Corp., | ||||||||
47,000 | 2.95%, 02/15/2027 | 45,347 | ||||||
110,000 | 3.88%, 03/01/2024 | 115,052 | ||||||
Consolidated Edison Co. of New York, Inc., | ||||||||
38,000 | 5.70%, 06/15/2040 | 49,417 | ||||||
108,000 | Series C, 4.30%, 12/01/2056 | 117,719 | ||||||
19,000 | Consumers Energy Co., 3.25%, 08/15/2046 | 18,226 | ||||||
50,000 | Delmarva Power & Light Co., 4.15%, 05/15/2045 | 54,680 | ||||||
60,000 | Dominion Energy, Inc., Series B, 2.75%, 01/15/2022 | 59,889 | ||||||
30,000 | DTE Energy Co., Series B, 3.30%, 06/15/2022 | 30,434 | ||||||
50,000 | New York State Electric & Gas Corp., 3.25%, 12/01/2026 (e) | 50,396 | ||||||
130,000 | NiSource Finance Corp., 6.25%, 12/15/2040 | 168,112 | ||||||
70,000 | San Diego Gas & Electric Co., 5.35%, 05/15/2035 | 85,008 | ||||||
Sempra Energy, | ||||||||
47,000 | 3.55%, 06/15/2024 | 48,158 | ||||||
62,000 | 4.05%, 12/01/2023 | 64,842 | ||||||
Southern Co. Gas Capital Corp., | ||||||||
19,000 | 2.45%, 10/01/2023 | 18,385 | ||||||
17,000 | 3.25%, 06/15/2026 | 16,869 | ||||||
37,000 | 3.50%, 09/15/2021 | 37,838 | ||||||
21,000 | 3.95%, 10/01/2046 | 20,831 | ||||||
42,000 | 4.40%, 06/01/2043 | 44,637 | ||||||
96,000 | 5.88%, 03/15/2041 | 119,038 | ||||||
43,000 | WEC Energy Group, Inc., 3.55%, 06/15/2025 | 43,953 | ||||||
|
| |||||||
1,208,831 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Capital Corp., | ||||||||
34,000 | 3.40%, 03/01/2025 | 35,029 | ||||||
52,000 | 4.00%, 12/01/2046 | 55,460 | ||||||
|
| |||||||
90,489 | ||||||||
|
| |||||||
Total Utilities | 6,492,615 | |||||||
|
| |||||||
Total Corporate Bonds | 71,879,716 | |||||||
|
| |||||||
Foreign Government Securities — 0.3% | ||||||||
100,000 | Republic of Colombia, (Colombia), 7.38%, 09/18/2037 | 134,650 | ||||||
7,000 | Republic of Peru, (Peru), 5.63%, 11/18/2050 | 9,030 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Foreign Government Securities — continued | ||||||||
50,000 | Republic of Poland, (Poland), 4.00%, 01/22/2024 | 53,313 | ||||||
United Mexican States, (Mexico), | ||||||||
200,000 | 3.60%, 01/30/2025 | 201,950 | ||||||
204,000 | 3.63%, 03/15/2022 | 210,987 | ||||||
58,000 | 4.00%, 10/02/2023 | 60,508 | ||||||
200,000 | 4.13%, 01/21/2026 | 207,950 | ||||||
58,000 | 4.35%, 01/15/2047 | 55,347 | ||||||
48,000 | 5.55%, 01/21/2045 | 54,060 | ||||||
|
| |||||||
Total Foreign Government Securities | 987,795 | |||||||
|
| |||||||
Mortgage-Backed Securities — 14.6% | ||||||||
FHLMC, | ||||||||
34,426 | ARM, 3.11%, 01/01/2027 (z) | 35,791 | ||||||
12,454 | ARM, 3.22%, 04/01/2030 (z) | 13,056 | ||||||
44,654 | ARM, 3.30%, 03/01/2035 (z) | 46,587 | ||||||
21,335 | ARM, 3.44%, 01/01/2037 (z) | 22,407 | ||||||
38,286 | ARM, 3.50%, 04/01/2034 (z) | 40,172 | ||||||
FHLMC Gold Pools, 15 Year, Single Family, | ||||||||
672 | 4.50%, 08/01/2018 | 682 | ||||||
208 | 6.50%, 02/01/2019 | 209 | ||||||
7,882 | FHLMC Gold Pools, 20 Year, Single Family, 6.00%, 12/01/2022 | 8,806 | ||||||
FHLMC Gold Pools, 30 Year, Single Family, | ||||||||
322,385 | 4.50%, 05/01/2047 | 342,772 | ||||||
45,805 | 5.50%, 10/01/2033 | 51,846 | ||||||
90,025 | 6.00%, 04/01/2026 - 02/01/2039 | 100,743 | ||||||
83,493 | 6.50%, 02/01/2029 - 11/01/2034 | 93,480 | ||||||
46,765 | 7.00%, 04/01/2035 | 53,498 | ||||||
2,497 | 8.50%, 07/01/2028 | 2,867 | ||||||
FHLMC Gold Pools, Other, | ||||||||
1,278,581 | 3.50%, 04/01/2033 - 06/01/2042 | 1,325,338 | ||||||
623,080 | 4.00%, 06/01/2042 - 01/01/2046 | 659,015 | ||||||
37,754 | 7.00%, 07/01/2029 | 40,827 | ||||||
FHLMC, 30 Year, Single Family, | ||||||||
2,071 | 10.00%, 01/01/2020 - 09/01/2020 | 2,089 | ||||||
FNMA, | ||||||||
489,000 | ARM, 2.03%, 12/01/2025 (z) | 488,677 | ||||||
38 | ARM, 2.61%, 03/01/2019 (z) | 38 | ||||||
140,014 | ARM, 2.97%, 01/01/2035 (z) | 144,911 | ||||||
40,943 | ARM, 3.14%, 04/01/2033 (z) | 43,203 | ||||||
56,242 | ARM, 3.15%, 08/01/2034 (z) | 59,124 | ||||||
27,884 | ARM, 3.19%, 07/01/2033 (z) | 29,417 | ||||||
44,585 | ARM, 3.36%, 01/01/2034 (z) | 46,838 | ||||||
44,923 | ARM, 3.36%, 10/01/2034 (z) | 47,501 | ||||||
38,651 | ARM, 3.43%, 05/01/2035 (z) | 40,492 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,016 | ARM, 3.99%, 03/01/2029 (z) | 1,049 | ||||||
1,100,000 | 2.93%, 10/01/2029 | 1,092,099 | ||||||
1,400,000 | 2.99%, 08/01/2029 | 1,398,957 | ||||||
900,000 | 3.04%, 07/01/2029 | 903,704 | ||||||
2,980,258 | 3.06%, 07/01/2029 | 3,018,936 | ||||||
1,500,000 | 3.20%, 06/01/2029 | 1,534,227 | ||||||
1,500,000 | 3.28%, 02/01/2029 | 1,545,260 | ||||||
FNMA, 15 Year, Single Family, | ||||||||
7,116 | 3.50%, 05/01/2019 | 7,348 | ||||||
28,900 | 4.50%, 03/01/2023 - 05/01/2023 | 30,102 | ||||||
293 | 5.00%, 06/01/2018 | 299 | ||||||
9,564 | 5.50%, 04/01/2022 | 9,628 | ||||||
9,326 | 6.00%, 03/01/2018 - 09/01/2022 | 9,552 | ||||||
5,464 | 6.50%, 08/01/2020 | 5,576 | ||||||
FNMA, 20 Year, Single Family, | ||||||||
16,863 | 4.50%, 01/01/2025 | 17,955 | ||||||
122,790 | 5.00%, 11/01/2023 | 131,842 | ||||||
19,860 | 6.50%, 03/01/2019 - 12/01/2022 | 22,013 | ||||||
FNMA, 30 Year, FHA/VA, | ||||||||
13,920 | 8.50%, 10/01/2026 - 06/01/2030 | 14,419 | ||||||
31,280 | 9.00%, 04/01/2025 | 34,286 | ||||||
FNMA, 30 Year, Single Family, | ||||||||
147,159 | 3.00%, 09/01/2031 | 147,343 | ||||||
1,484,158 | 4.00%, 06/01/2047 | 1,577,076 | ||||||
12,203 | 4.50%, 04/01/2038 - 05/01/2039 | 12,993 | ||||||
37,584 | 5.00%, 09/01/2035 | 40,781 | ||||||
12,166 | 5.50%, 02/01/2038 - 06/01/2038 | 13,400 | ||||||
52,194 | 6.00%, 01/01/2029 - 03/01/2033 | 58,575 | ||||||
140,691 | 6.50%, 09/01/2025 - 11/01/2036 | 159,491 | ||||||
680 | 7.00%, 08/01/2032 | 691 | ||||||
9,369 | 7.50%, 03/01/2030 | 9,785 | ||||||
52,318 | 8.00%, 03/01/2027 - 11/01/2028 | 59,339 | ||||||
FNMA, Other, | ||||||||
1,000,000 | 2.01%, 06/01/2020 | 993,725 | ||||||
274,738 | 2.34%, 12/01/2022 | 272,916 | ||||||
1,000,000 | 2.40%, 12/01/2022 - 02/01/2023 | 996,444 | ||||||
500,000 | 2.45%, 11/01/2022 | 499,487 | ||||||
500,000 | 2.50%, 04/01/2023 | 499,575 | ||||||
1,000,000 | 2.52%, 05/01/2023 | 997,762 | ||||||
500,000 | 2.57%, 08/01/2028 | 486,458 | ||||||
900,000 | 2.59%, 06/01/2028 | 878,690 | ||||||
500,000 | 2.63%, 03/01/2026 | 495,657 | ||||||
1,000,000 | 3.02%, 07/01/2023 | 1,025,776 | ||||||
650,000 | 3.03%, 04/01/2030 | 648,019 | ||||||
500,000 | 3.08%, 04/01/2030 | 502,136 | ||||||
1,000,000 | 3.10%, 09/01/2025 | 1,023,927 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Mortgage-Backed Securities — continued | ||||||||
998,637 | 3.12%, 11/01/2026 | 1,006,851 | ||||||
2,500,000 | 3.21%, 03/01/2029 | 2,559,427 | ||||||
1,925,000 | 3.29%, 08/01/2026 | 1,989,943 | ||||||
1,000,000 | 3.34%, 02/01/2027 | 1,049,660 | ||||||
3,083,806 | 3.50%, 05/01/2043 - 10/01/2046 | 3,178,422 | ||||||
664,708 | 3.69%, 10/01/2029 | 701,829 | ||||||
300,000 | 3.77%, 12/01/2025 | 320,749 | ||||||
2,000,000 | 3.98%, 08/01/2025 | 2,163,199 | ||||||
1,129,442 | 4.00%, 07/01/2042 - 09/01/2042 | 1,191,126 | ||||||
69,735 | 5.50%, 09/01/2033 - 04/01/2038 | 76,637 | ||||||
20,321 | 6.00%, 09/01/2028 | 22,697 | ||||||
128,424 | 6.50%, 10/01/2035 | 138,721 | ||||||
GNMA I, 30 Year, Single Family, | ||||||||
2,696,191 | 5.50%, 06/15/2038 - 09/15/2038 | 3,073,129 | ||||||
91,091 | 6.00%, 05/15/2037 - 10/15/2038 | 101,872 | ||||||
35,967 | 6.50%, 03/15/2028 - 12/15/2038 | 40,977 | ||||||
16,455 | 7.00%, 12/15/2025 - 06/15/2033 | 18,509 | ||||||
7,693 | 7.50%, 05/15/2023 - 09/15/2028 | 8,197 | ||||||
5,952 | 8.00%, 10/15/2027 | 6,488 | ||||||
1,138 | 9.00%, 11/15/2024 | 1,205 | ||||||
15,397 | 9.50%, 10/15/2024 | 16,367 | ||||||
178,267 | GNMA II, ARM, 3.25%, 07/20/2034 - 09/20/2034 (z) | 184,000 | ||||||
GNMA II, 30 Year, Single Family, | ||||||||
1,421 | 7.50%, 12/20/2026 | 1,615 | ||||||
32,326 | 8.00%, 11/20/2026 - 01/20/2027 | 37,477 | ||||||
1,287 | 8.50%, 05/20/2025 | 1,393 | ||||||
147,120 | GNMA II, Other, 3.75%, 12/20/2032 | 152,210 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 42,960,384 | |||||||
|
| |||||||
Municipal Bonds — 0.1% (t) | ||||||||
New York — 0.1% | ||||||||
30,000 | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series D, Rev., 5.60%, 03/15/2040 | 38,302 | ||||||
130,000 | Port Authority of New York & New Jersey, Consolidated, 164th Series, Series 164, Rev., 5.65%, 11/01/2040 | 167,589 | ||||||
|
| |||||||
205,891 | ||||||||
|
| |||||||
Ohio — 0.0% (g) |
| |||||||
98,000 | Ohio State University, General Receipts, Series A, Rev., 4.80%, 06/01/2111 | 110,517 | ||||||
|
| |||||||
Total Municipal Bonds | 316,408 | |||||||
|
| |||||||
U.S. Government Agency Securities — 8.5% | ||||||||
30,000 | FHLMC, 0.75%, 04/09/2018 | 29,945 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
2,000,000 | Financing Corp. STRIPS, 16.06%, 11/02/2018 (n) | 1,969,107 | ||||||
5,770,000 | FNMA, 5.61%, 10/09/2019 (n) | 5,556,450 | ||||||
630,000 | FNMA STRIPS, 14.85%, 03/23/2028 (n) | 467,216 | ||||||
Resolution Funding Corp. STRIPS, | ||||||||
5,230,000 | 1.25%, 10/15/2019 (n) | 5,049,163 | ||||||
65,000 | 1.41%, 01/15/2021 (n) | 60,879 | ||||||
8,000,000 | 1.97%, 10/15/2020 (n) | 7,538,113 | ||||||
15,000 | 2.72%, 10/15/2027 (n) | 11,353 | ||||||
20,000 | 2.88%, 01/15/2026 (n) | 16,232 | ||||||
4,100,000 | 12.55%, 07/15/2020 (n) | 3,889,516 | ||||||
Tennessee Valley Authority, | ||||||||
161,000 | 4.25%, 09/15/2065 | 190,107 | ||||||
33,000 | 4.63%, 09/15/2060 | 41,551 | ||||||
140,000 | 5.25%, 09/15/2039 | 188,694 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 25,008,326 | |||||||
|
| |||||||
U.S. Treasury Obligations — 22.9% | ||||||||
U.S. Treasury Bonds, | ||||||||
975,000 | 2.50%, 02/15/2045 | 928,444 | ||||||
1,920,000 | 2.88%, 05/15/2043 | 1,972,124 | ||||||
1,000,000 | 3.00%, 11/15/2045 | 1,049,049 | ||||||
280,000 | 3.50%, 02/15/2039 | 319,516 | ||||||
1,215,000 | 3.63%, 08/15/2043 | 1,416,588 | ||||||
240,000 | 3.75%, 11/15/2043 | 285,674 | ||||||
100,000 | 3.88%, 08/15/2040 | 120,372 | ||||||
105,000 | 4.25%, 05/15/2039 | 132,599 | ||||||
1,815,000 | 4.38%, 02/15/2038 | 2,318,271 | ||||||
1,415,000 | 4.38%, 11/15/2039 | 1,819,038 | ||||||
175,000 | 4.50%, 05/15/2038 | 227,259 | ||||||
450,000 | 5.00%, 05/15/2037 | 616,545 | ||||||
4,300,000 | 5.25%, 11/15/2028 | 5,453,020 | ||||||
50,000 | 6.25%, 05/15/2030 | 70,269 | ||||||
338,000 | 8.00%, 11/15/2021 | 411,769 | ||||||
U.S. Treasury Inflation Indexed Bonds, | ||||||||
100,000 | 2.50%, 01/15/2029 | 139,467 | ||||||
300,000 | 3.63%, 04/15/2028 | 600,697 | ||||||
170,000 | U.S. Treasury Inflation Indexed Notes, 1.38%, 07/15/2018 | 196,621 | ||||||
U.S. Treasury Notes, | ||||||||
200,000 | 0.75%, 02/15/2019 | 197,569 | ||||||
150,000 | 1.25%, 10/31/2018 | 149,399 | ||||||
125,000 | 1.25%, 11/30/2018 | 124,386 | ||||||
200,000 | 1.38%, 12/31/2018 | 199,110 | ||||||
400,000 | 1.50%, 08/31/2018 | 399,495 | ||||||
525,000 | 1.50%, 02/28/2023 | 506,525 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Treasury Obligations — continued | ||||||||
1,000,000 | 1.60%, 11/15/2019 | 965,679 | ||||||
5,235,000 | 1.65%, 02/15/2020 | 5,028,695 | ||||||
120,000 | 1.74%, 05/15/2019 | 116,998 | ||||||
1,000,000 | 1.75%, 02/28/2022 | 984,616 | ||||||
150,000 | 1.75%, 09/30/2022 | 146,976 | ||||||
2,145,000 | 1.75%, 05/15/2023 | 2,091,772 | ||||||
100,000 | 2.00%, 10/31/2021 | 99,564 | ||||||
150,000 | 2.00%, 07/31/2022 | 148,842 | ||||||
200,000 | 2.13%, 08/31/2020 | 200,902 | ||||||
500,000 | 2.13%, 08/15/2021 | 500,689 | ||||||
300,000 | 2.13%, 12/31/2021 | 300,040 | ||||||
115,000 | 2.25%, 04/30/2021 | 115,755 | ||||||
200,000 | 2.63%, 11/15/2020 | 203,592 | ||||||
1,542,000 | 3.13%, 05/15/2019 | 1,568,284 | ||||||
600,000 | 3.13%, 05/15/2021 | 620,769 | ||||||
450,000 | 3.50%, 05/15/2020 | 466,399 | ||||||
650,000 | 3.63%, 02/15/2021 | 681,588 | ||||||
U.S. Treasury STRIPS Bonds, | ||||||||
2,120,000 | 1.71%, 08/15/2020 (n) | 2,013,288 | ||||||
370,000 | 1.75%, 02/15/2020 (n) | 355,626 | ||||||
1,790,000 | 1.97%, 05/15/2021 (n) | 1,668,782 | ||||||
1,800,000 | 2.07%, 08/15/2021 (n) | 1,668,465 | ||||||
1,890,000 | 2.13%, 08/15/2023 (n) | 1,658,232 | ||||||
5,228,000 | 2.32%, 05/15/2020 (n) | 5,000,673 | ||||||
610,000 | 2.38%, 05/15/2019 (n) | 594,860 | ||||||
500,000 | 2.39%, 11/15/2023 (n) | 435,889 | ||||||
710,000 | 2.43%, 02/15/2021 (n) | 667,189 | ||||||
2,420,000 | 2.55%, 05/15/2023 (n) | 2,138,640 | ||||||
760,000 | 2.61%, 05/15/2022 (n) | 691,051 | ||||||
970,000 | 2.63%, 02/15/2022 (n) | 886,889 | ||||||
150,000 | 2.67%, 02/15/2018 (n) | 149,782 | ||||||
2,200,000 | 2.71%, 05/15/2034 (n) | 1,422,011 | ||||||
500,000 | 2.72%, 11/15/2022 (n) | 448,713 | ||||||
140,000 | 2.83%, 05/15/2028 (n) | 107,788 | ||||||
2,690,000 | 2.84%, 02/15/2023 (n) | 2,392,574 | ||||||
300,000 | 2.91%, 08/15/2032 (n) | 203,973 | ||||||
27,000 | 2.92%, 02/15/2028 (n) | 20,908 | ||||||
200,000 | 2.94%, 08/15/2022 (n) | 180,670 | ||||||
65,000 | 3.12%, 02/15/2035 (n) | 41,092 | ||||||
250,000 | 3.13%, 08/15/2027 (n) | 196,231 | ||||||
110,000 | 3.14%, 11/15/2024 (n) | 93,200 | ||||||
760,000 | 3.15%, 11/15/2031 (n) | 528,030 | ||||||
615,000 | 3.20%, 11/15/2021 (n) | 566,248 | ||||||
50,000 | 3.21%, 11/15/2034 (n) | 31,808 | ||||||
23,000 | 3.32%, 08/15/2026 (n) | 18,569 | ||||||
280,000 | 3.41%, 08/15/2019 (n) | 271,481 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
2,250,000 | 3.42%, 05/15/2032 (n) | 1,542,390 | ||||||
250,000 | 3.43%, 05/15/2035 (n) | 157,013 | ||||||
250,000 | 3.47%, 11/15/2026 (n) | 200,227 | ||||||
50,000 | 3.52%, 02/15/2025 (n) | 42,032 | ||||||
700,000 | 3.55%, 02/15/2027 (n) | 557,943 | ||||||
350,000 | 3.55%, 02/15/2032 (n) | 241,405 | ||||||
400,000 | 3.57%, 02/15/2033 (n) | 268,518 | ||||||
775,000 | 3.65%, 02/15/2034 (n) | 504,570 | ||||||
1,175,000 | 3.71%, 05/15/2033 (n) | 782,567 | ||||||
300,000 | 3.72%, 08/15/2030 (n) | 216,555 | ||||||
200,000 | 3.73%, 11/15/2029 (n) | 147,532 | ||||||
275,000 | 3.73%, 05/15/2031 (n) | 194,038 | ||||||
300,000 | 3.74%, 08/15/2029 (n) | 222,680 | ||||||
300,000 | 3.79%, 11/15/2030 (n) | 215,107 | ||||||
710,000 | 3.81%, 11/15/2027 (n) | 552,957 | ||||||
658,000 | 3.86%, 02/15/2029 (n) | 494,833 | ||||||
800,000 | 4.02%, 11/15/2032 (n) | 540,014 | ||||||
550,000 | 4.07%, 02/15/2031 (n) | 390,414 | ||||||
1,025,000 | 4.13%, 11/15/2033 (n) | 673,022 | ||||||
300,000 | 4.49%, 05/15/2030 (n) | 218,539 | ||||||
100,000 | 4.78%, 05/15/2026 (n) | 81,333 | ||||||
975,000 | 4.95%, 02/15/2030 (n) | 713,720 | ||||||
100,000 | 5.84%, 08/15/2033 (n) | 66,036 | ||||||
100,000 | 6.62%, 11/15/2028 (n) | 75,821 | ||||||
125,000 | 6.67%, 05/15/2027 (n) | 98,987 | ||||||
50,000 | 6.72%, 08/15/2028 (n) | 38,135 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 67,584,016 | |||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investment — 3.3% | ||||||||
Investment Company — 3.3% |
| |||||||
9,643,097 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 1.40% (b) (l) (Cost $9,644,641) | 9,644,061 | ||||||
|
| |||||||
Total Investments — 99.5% | 293,063,121 | |||||||
Other Assets in Excess of | 1,601,107 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 294,664,228 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
ACES | — Alternative Credit Enhancement Securities | |
ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of December 31, 2017. | |
CSMC | — Credit Suisse Mortgage Trust | |
ESOP | — Employee Stock Ownership Program | |
FHA | — Federal Housing Administration | |
FHLMC | — Federal Home Loan Mortgage Corp. | |
FNMA | — Federal National Mortgage Association | |
GNMA | — Government National Mortgage Association | |
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. | |
ICE | — Intercontinental Exchange | |
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, 2017. 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. | |
LIBOR | — London Interbank Offered Rate | |
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. | |
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, 2017. | |
USD | — United States Dollar | |
VA | — Veterans Administration | |
(b) | — Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(d) | — Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act. 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 0.05%. | |
(l) | — The rate shown is the current yield as of December 31, 2017. | |
(n) | — The rate shown is the effective yield as of December 31, 2017. | |
(t) | — The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(x) | — Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of December 31, 2017. | |
(y) | — Security is an interest bearing note with preferred security characteristics. | |
(z) | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2017. | |
(aa) | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2017. | |
(bb) | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017
Core Bond Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 283,419,060 | ||
Investments in affiliates, at value | 9,644,061 | |||
Cash | 21,942 | |||
Receivables: | ||||
Investment securities sold | 2,238 | |||
Portfolio shares sold | 630,915 | |||
Interest from non-affiliates | 1,263,411 | |||
Dividends from affiliates | 11,118 | |||
|
| |||
Total Assets | 294,992,745 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Portfolio shares redeemed | 103,100 | |||
Accrued liabilities: | ||||
Investment advisory fees | 83,739 | |||
Administration fees | 18,002 | |||
Distribution fees | 25,566 | |||
Custodian and accounting fees | 29,104 | |||
Trustees’ and Chief Compliance Officer’s fees | 99 | |||
Audit fees | 48,149 | |||
Printing & Postage fees | 19,259 | |||
Other | 1,499 | |||
|
| |||
Total Liabilities | 328,517 | |||
|
| |||
Net Assets | $ | 294,664,228 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 282,359,813 | ||
Accumulated undistributed net investment income | 6,629,591 | |||
Accumulated net realized gains (losses) | 491,939 | |||
Net unrealized appreciation (depreciation) | 5,182,885 | |||
|
| |||
Total Net Assets | $ | 294,664,228 | ||
|
| |||
Net Assets: |
| |||
Class 1 | $ | 171,382,596 | ||
Class 2 | 123,281,632 | |||
|
| |||
Total | $ | 294,664,228 | ||
|
| |||
Outstanding units of beneficial interest (shares) |
| |||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 15,667,848 | |||
Class 2 | 11,394,180 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 10.94 | ||
Class 2 | 10.82 | |||
|
| |||
Cost of investments in non-affiliates | $ | 278,235,595 | ||
Cost of investments in affiliates | 9,644,641 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Core Bond Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 8,689,569 | ||
Dividend income from affiliates | 61,631 | |||
|
| |||
Total investment income | 8,751,200 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 1,082,985 | |||
Administration fees | 220,792 | |||
Distribution fees — Class 2 | 240,330 | |||
Custodian and accounting fees | 181,918 | |||
Professional fees | 97,261 | |||
Trustees’ and Chief Compliance Officer’s fees | 26,463 | |||
Printing and mailing costs | 56,022 | |||
Transfer agency fees — Class 1 | 3,157 | |||
Transfer agency fees — Class 2 | 903 | |||
Other | 23,715 | |||
|
| |||
Total expenses | 1,933,546 | |||
|
| |||
Less fees waived | (145,050 | ) | ||
Less expense reimbursements | (1,541 | ) | ||
|
| |||
Net expenses | 1,786,955 | |||
|
| |||
Net investment income (loss) | 6,964,245 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 493,386 | |||
Investments in affiliates | (1,338 | ) | ||
|
| |||
Net realized gain (loss) | 492,048 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 1,597,062 | |||
Investments in affiliates | (580 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | 1,596,482 | |||
|
| |||
Net realized/unrealized gains (losses) | 2,088,530 | |||
|
| |||
Change in net assets resulting from operations | $ | 9,052,775 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 37 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Core Bond Portfolio | ||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 6,964,245 | $ | 6,677,471 | ||||
Net realized gain (loss) | 492,048 | 1,652,618 | ||||||
Change in net unrealized appreciation/depreciation | 1,596,482 | (3,742,947 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 9,052,775 | 4,587,142 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (4,505,586 | ) | (4,769,944 | ) | ||||
Class 2 | ||||||||
From net investment income | (2,166,547 | ) | (1,806,180 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (6,672,133 | ) | (6,576,124 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 41,777,773 | 14,954,188 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 44,158,415 | 12,965,206 | ||||||
Beginning of period | 250,505,813 | 237,540,607 | ||||||
|
|
|
| |||||
End of period | $ | 294,664,228 | $ | 250,505,813 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 6,629,591 | $ | 6,337,479 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 22,714,827 | $ | 29,557,461 | ||||
Distributions reinvested | 4,505,586 | 4,769,944 | ||||||
Cost of shares redeemed | (34,060,959 | ) | (35,252,533 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | (6,840,546 | ) | $ | (925,128 | ) | ||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 67,288,642 | $ | 35,923,015 | ||||
Distributions reinvested | 2,166,547 | 1,806,180 | ||||||
Cost of shares redeemed | (20,836,870 | ) | (21,849,879 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 48,618,319 | $ | 15,879,316 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 41,777,773 | $ | 14,954,188 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 2,081,814 | 2,668,220 | ||||||
Reinvested | 417,571 | 436,808 | ||||||
Redeemed | (3,120,491 | ) | (3,180,281 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (621,106 | ) | (75,253 | ) | ||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 6,231,833 | 3,264,283 | ||||||
Reinvested | 202,670 | 166,776 | ||||||
Redeemed | (1,931,490 | ) | (1,997,931 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 4,503,013 | 1,433,128 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
38 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 39 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Core Bond Portfolio | ||||||||||||||||||||
Class 1 | ||||||||||||||||||||
Year Ended December 31, 2017 | $ | 10.84 | $ | 0.29 | $ | 0.09 | $ | 0.38 | $ | (0.28 | ) | |||||||||
Year Ended December 31, 2016 | 10.91 | 0.30 | (0.07 | ) | 0.23 | (0.30 | ) | |||||||||||||
Year Ended December 31, 2015 | 11.19 | 0.34 | (0.21 | ) | 0.13 | (0.41 | ) | |||||||||||||
Year Ended December 31, 2014 | 11.09 | 0.38 | 0.16 | 0.54 | (0.44 | ) | ||||||||||||||
Year Ended December 31, 2013 | 11.78 | 0.44 | (0.60 | ) | (0.16 | ) | (0.53 | ) | ||||||||||||
Class 2 | ||||||||||||||||||||
Year Ended December 31, 2017 | 10.73 | 0.26 | 0.09 | 0.35 | (0.26 | ) | ||||||||||||||
Year Ended December 31, 2016 | 10.81 | 0.27 | (0.07 | ) | 0.20 | (0.28 | ) | |||||||||||||
Year Ended December 31, 2015 | 11.10 | 0.31 | (0.21 | ) | 0.10 | (0.39 | ) | |||||||||||||
Year Ended December 31, 2014 | 11.01 | 0.35 | 0.16 | 0.51 | (0.42 | ) | ||||||||||||||
Year Ended December 31, 2013 | 11.72 | 0.40 | (0.59 | ) | (0.19 | ) | (0.52 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (b) | Net assets, end of period | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 10.94 | 3.57 | % | $ | 171,382,596 | 0.57 | % | 2.66 | % | 0.63 | % | 21 | % | |||||||||||||
10.84 | 2.12 | 176,565,657 | 0.59 | 2.73 | 0.64 | 29 | ||||||||||||||||||||
10.91 | 1.12 | 178,547,019 | 0.59 | 3.08 | 0.61 | 20 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.82 | 3.30 | 123,281,632 | 0.82 | 2.41 | 0.87 | 21 | ||||||||||||||||||||
10.73 | 1.84 | 73,940,156 | 0.84 | 2.47 | 0.89 | 29 | ||||||||||||||||||||
10.81 | 0.86 | 58,993,588 | 0.84 | 2.83 | 0.86 | 20 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 41 |
Table of Contents
AS OF DECEMBER 31, 2017
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 transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
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 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the 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 affiliated and unaffiliated 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 Underlying Fund’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, 2017.
42 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
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.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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 | $ | — | $ | 21,860,060 | $ | 8,402,501 | $ | 30,262,561 | ||||||||
Collateralized Mortgage Obligations | — | 30,807,124 | 2,014,990 | 32,822,114 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 10,208,508 | 1,389,232 | 11,597,740 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 5,040,472 | — | 5,040,472 | ||||||||||||
Consumer Staples | — | 3,033,343 | — | 3,033,343 | ||||||||||||
Energy | — | 7,348,656 | — | 7,348,656 | ||||||||||||
Financials | — | 27,810,005 | — | (a) | 27,810,005 | |||||||||||
Health Care | — | 4,047,636 | — | 4,047,636 | ||||||||||||
Industrials | — | 4,104,783 | — | 4,104,783 | ||||||||||||
Information Technology | — | 5,179,289 | — | 5,179,289 | ||||||||||||
Materials | — | 1,930,831 | — | 1,930,831 | ||||||||||||
Real Estate | — | 3,206,107 | — | 3,206,107 | ||||||||||||
Telecommunication Services | — | 3,685,979 | — | 3,685,979 | ||||||||||||
Utilities | — | 6,492,615 | — | 6,492,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 71,879,716 | — | 71,879,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 987,795 | — | 987,795 | ||||||||||||
Mortgage-Backed Securities | — | 42,960,384 | — | 42,960,384 | ||||||||||||
Municipal Bonds | — | 316,408 | — | 316,408 | ||||||||||||
U.S. Government Agency Securities | — | 25,008,326 | — | 25,008,326 | ||||||||||||
U.S. Treasury Obligations | — | 67,584,016 | — | 67,584,016 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 9,644,061 | — | — | 9,644,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 9,644,061 | $ | 271,612,337 | $ | 11,806,723 | $ | 293,063,121 | ||||||||
|
|
|
|
|
|
|
|
(a) | Value is zero. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no transfers between level 1 and level 2 during the year ended December 31, 2017.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 43 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (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, 2016 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2017 | ||||||||||||||||||||||||||||
Investments in Securities |
| |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 7,256,581 | $ | 569 | $ | 97,920 | $ | (737 | ) | $ | 3,358,259 | $ | (3,430,133 | ) | $ | 1,120,042 | $ | — | $ | 8,402,501 | ||||||||||||||||
Collateralized Mortgage Obligations | 746,072 | — | (71,019 | ) | (14,878 | ) | 1,449,152 | (94,337 | ) | — | — | 2,014,990 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 504,946 | — | 46,334 | 607 | 837,345 | — | — | — | 1,389,232 | |||||||||||||||||||||||||||
Corporate Bond — Financials | — | (a) | — | — | — | — | — | — | — | — | (a) | |||||||||||||||||||||||||
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Total | $ | 8,507,599 | $ | 569 | $ | 73,235 | $ | (15,008 | ) | $ | 5,644,756 | $ | (3,524,470 | ) | $ | 1,120,042 | $ | — | $ | 11,806,723 | ||||||||||||||||
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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. |
(a) | Value is zero. |
There were no significant transfers between level 2 and level 3 during the year ended December 31, 2017.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2017, which were valued using significant unobservable inputs (level 3) amounted to approximately $72,533. 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, 2017 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 6,963,513 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (6.88%) | ||||||||
Constant Default Rate | 0.00% - 6.01% (0.24%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 2.11% - 5.59% (3.26%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 6,963,513 | |||||||||||
|
|
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|
| ||||||
538,503 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 28.00% (10.94%) | |||||||||
Constant Default Rate | 0.00% - 8.95% (3.82%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 0.29% - 199.00% (6.00%) | |||||||||||
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| |||||||||||
Collateralized Mortgage Obligations | 538,503 | |||||||||||
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| ||||||
1,138,993 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 35.00% (0.03%) | |||||||||
Yield (Discount Rate of Cash Flows) | 1.89% - 5.07% (3.86%) | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities | 1,138,993 | |||||||||||
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| ||||||
Total | $ | 8,641,009 | ||||||||||
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# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At December 31, 2017, the value of these investments was $3,165,714. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
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 Securities — Certain securities held by the Portfolio may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). 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 asset value of the Portfolio.
As of December 31, 2017, the Portfolio had no investments in restricted securities other than securities sold to the Portfolio under Rule 144A or Regulation S under the Securities Act.
44 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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C. When Issued, Delayed Delivery Securities and Forward Commitments — The Portfolio purchased when issued securities and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when issued, delayed delivery, or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Portfolio may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when issued, delayed delivery, or forward commitment basis is not accrued until the settlement date.
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 is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
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, 2017, 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 remain 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 (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | (790,341 | ) | $ | – | $ | 790,341 |
The reclassifications for the Portfolio relate primarily to expiration of capital loss carryforwards.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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 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, 2017, 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.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 45 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
The Administrator waived Administration fees as outlined in Note 3.E.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, 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 performing 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 (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses other than certain money market fund fees as described below, 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, 2017 and is in place until at least April 30, 2018.
For the year ended December 31, 2017, the Portfolio’s service providers waived/reimbursed 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 Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
$ | 108,365 | $ | 26,896 | $ | 135,261 | $ | 1,541 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2017 was $9,789.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. 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, 2017, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2017, 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 year ended December 31, 2017, 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 | |||||||||||||
$ | 68,159,191 | $ | 45,268,025 | $ | 20,989,776 | $ | 10,274,054 |
46 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2017 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 287,880,337 | $ | 7,142,302 | $ | 1,959,518 | $ | 5,182,784 |
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, 2017 was as follows:
Ordinary Income* | Total Distributions | |||||||
$ | 6,672,133 | $ | 6,672,133 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2016 was as follows:
Ordinary Income* | Total Distributions Paid | |||||||
$ | 6,576,124 | $ | 6,576,124 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2017, the estimated 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 (Depreciation) | ||||||||||
$ | 6,651,600 | $ | 492,037 | $ | 5,182,784 |
The cumulative timing differences primarily consist of trustee deferred compensation.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility 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. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the Portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 47 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2017.
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.
As of December 31, 2017, the Portfolio had six omnibus accounts which collectively represented 69.9% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
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 investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments 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 that the Federal Reserve has recently raised interest rates and may continue to do so, the Portfolio may face a heightened level of interest rate risk. 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.
The Portfolio invests in preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred security characteristics and may include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Portfolio’s financial statements as of December 31, 2017. The adoption had no effect on the Portfolio’s net assets or results of operations.
9. New Accounting Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
48 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Core Bond Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Core Bond Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2017, the related statement of operations for the year ended December 31, 2017, the statement of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the five years in the period ended December 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2018
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 49 |
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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 Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 138 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 138 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (1984-2012). | 138 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 138 | None | |||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 138 | Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 138 | 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). | 138 | 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). | 138 | None |
50 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
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) (1985-2005). | 138 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance). | |||
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). | 138 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
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). | 138 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-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). | 138 | None |
(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 (138 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | 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 was 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 51 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
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 to 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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
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. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP from 2006 to 2012. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Matthew J. Plastina (1970), Acting Treasurer and Principal Financial Officer (2017), formerly Assistant Treasurer (2011-2017)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
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 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
52 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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, 2017 and continued to hold your shares at the end of the reporting period, December 31, 2017.
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, 2017 | Ending Account Value December 31, 2017 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Core Bond Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.00 | $ | 2.79 | 0.55 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.43 | 2.80 | 0.55 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,010.30 | 4.05 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 4.08 | 0.80 |
* | Expenses are equal to each Class's 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, 2017 | JPMORGAN INSURANCE TRUST | 53 |
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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 2017, 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 16, 2017.
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. 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 Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). 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 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 J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
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
54 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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 upon 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 Trustees 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 JPMIM 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 may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser
as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow the Portfolio’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
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, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 55 |
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Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/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 Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds in the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/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 Broadridge/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 for Class 1 shares was in the fifth, third and fifth quintiles based upon the Peer Group, and in the fifth, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, 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 Portfolio’s performance was satisfactory.
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 Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/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 for Class 1 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class 1 shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Portfolio.
56 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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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J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | AN-JPMITCBP-1217 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2017
JPMorgan Insurance Trust Mid Cap Value Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
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Investments in the Portfolio are not 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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February 1, 2018 (Unaudited)
Dear Shareholder,
U.S. economic growth accelerated through 2017, supported by synchronized growth in the global economy and central bank policies that helped push equity prices higher in the U.S. as well as most developed market and emerging market nations.
“Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy.” — George C.W. Gatch |
During the year, the U.S. entered its third longest economic expansion on record. Gross domestic product (GDP) rose by 1.8%, 1.2% and 3.2% in the first three quarters of 2017, respectively, and preliminary estimates put fourth quarter GDP growth at 2.6%. Unemployment fell steadily to 4.1% in December 2017 from 4.8% at the start of the year — though growth in wages remained weak — and U.S. consumer confidence reached a 17-year high in November 2017. Corporate profits rose strongly and received a boost from stable energy prices and a 10% decline in the value of the U.S. dollar over the course of the year.
Notably, three large hurricanes — along with wildfires and other natural disasters — combined to cause an estimated $306 billion in damage in the U.S., making 2017 the most expensive year to date for natural disasters. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates three times in 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during 2017, which provided support for the domestic economy and for financial markets.
Globally, most developed market and emerging market economies also continued to grow throughout 2017. Growth in Europe was strong enough that the European Central Bank committed to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic
expansion in a decade. China’s GDP grew by an estimated 6.8% in 2017, supported by personal consumption and growth in foreign trade, according to the World Bank.
Roughly 120 countries, comprising three-fourths of global GDP, experienced increased economic growth in 2017 relative to 2016, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns throughout 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities for the year.
In the U.S., the Standard & Poor’s 500 Index (the “S&P 500”) reached 62 new closing highs during 2017 — the second largest number on record — and posted positive total returns (dividends included) in each month of the year for the first time since the current formula of the benchmark index was created in 1957. At the same time, equity market volatility fell to historic lows and by the end of 2017, U.S. stock prices overall hadn’t experienced a decline of 3% or greater for 14 consecutive months. While U.S. fixed income markets largely provided positive returns during the year, they underperformed equity markets.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited external demand and a reduction in U.S. corporate tax rates from the Tax Cuts and Jobs Act of 2017. Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Mid Cap Value Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 13.76% | |||
Russell Midcap Value Index | 13.34% | |||
Net Assets as of 12/31/2017 | $ | 572,519,790 |
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?
Equity markets in the U.S. and elsewhere rallied throughout 2017 amid synchronized global economic growth, central bank stimulus and rising corporate profits.
During the year, the Standard & Poor’s 500 Index (S&P 500) reached 62 new closing highs — the most since 1995 — and, for the first time ever, posted positive total returns in all twelve months (when dividends are included). December 2017 marked the fourteenth consecutive month of gains for the S&P 500. In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year, and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks generally outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks. For the twelve months ended December 31, 2017, the Russell MidCap Value Index returned 13.34%.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares outperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended December 31, 2017. The Portfolio’s security selection in the energy and health care sectors was a leading contributor to performance relative to the Benchmark, while the Portfolio’s security selection in the consumer staples and materials sectors was a leading detractor from relative performance.
Leading individual contributors to performance included the Portfolio’s overweight positions in Cigna Corp., Constellation Brands Inc. and Mohawk Industries Inc. Shares of Cigna, a health insurance provider not held in the Benchmark, rose after the company reported better-than-expected earnings for the third quarter of 2017 and raised its earnings forecast for the full year 2017. Shares of Constellation Brands, a maker of alcoholic beverages that was not held in the Benchmark, rose after the company reported better-than-expected earnings for the company’s fiscal second quarter and raised its earnings forecast for the rest of the fiscal year. Shares of Mohawk Industries, a maker of commercial and residential flooring, rose amid acquisitions and better-than-expected earnings.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Kroger Co., Dish Network Corp. and Bed Bath & Beyond Inc. Shares of Kroger, a supermarket chain that was not held in the Benchmark, fell amid a decline in earnings for the second quarter of 2017 and investor concerns that recent hurricanes would hurt sales. Shares of Dish Network, a subscription TV provider, fell after the company reported lower-than-expected earnings for the third quarter of 2017. Shares of Bed Bath & Beyond, a housewares retail chain, fell amid investor disappointment with third quarter earnings.
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 maintaining underweight positions in the real estate and industrials sectors. The Portfolio had no position in the telecommunication services sector during the reporting period.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Energen Corp. | 2.1 | % | |||||
2. | Mohawk Industries, Inc. | 2.0 | ||||||
3. | EQT Corp. | 1.8 | ||||||
4. | Loews Corp. | 1.7 | ||||||
5. | M&T Bank Corp. | 1.7 | ||||||
6. | Xcel Energy, Inc. | 1.6 | ||||||
7. | Williams Cos., Inc. (The) | 1.5 | ||||||
8. | CMS Energy Corp. | 1.5 | ||||||
9. | T Rowe Price Group, Inc. | 1.5 | ||||||
10. | WEC Energy Group, Inc. | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 23.0 | % | ||
Consumer Discretionary | 16.2 | |||
Real Estate | 10.4 | |||
Information Technology | 8.8 | |||
Utilities | 8.2 | |||
Industrials | 8.1 | |||
Consumer Staples | 6.3 | |||
Energy | 6.1 | |||
Health Care | 6.0 | |||
Materials | 4.5 | |||
Short-Term Investment | 2.4 |
* | 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, 2017. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
CLASS 1 SHARES | September 28, 2001 | 13.76 | % | 14.11 | % | 9.53 | % |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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, 2007 to December 31, 2017. 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.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — 97.6% | ||||||||
Consumer Discretionary — 16.2% | ||||||||
Auto Components — 0.9% | ||||||||
95,020 | BorgWarner, Inc. | 4,854,572 | ||||||
|
| |||||||
Distributors — 0.8% |
| |||||||
49,429 | Genuine Parts Co. | 4,696,249 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
90,406 | Hilton Worldwide Holdings, Inc. | 7,219,823 | ||||||
19,226 | Marriott International, Inc., Class A | 2,609,545 | ||||||
|
| |||||||
9,829,368 | ||||||||
|
| |||||||
Household Durables — 2.9% |
| |||||||
41,810 | Mohawk Industries, Inc. (a) | 11,535,379 | ||||||
154,729 | Newell Brands, Inc. | 4,781,126 | ||||||
|
| |||||||
16,316,505 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.2% |
| |||||||
56,190 | Expedia, Inc. | 6,729,876 | ||||||
|
| |||||||
Media — 1.5% |
| |||||||
64,524 | CBS Corp. (Non-Voting), Class B | 3,806,916 | ||||||
93,880 | DISH Network Corp., Class A (a) | 4,482,770 | ||||||
|
| |||||||
8,289,686 | ||||||||
|
| |||||||
Multiline Retail — 1.6% |
| |||||||
111,030 | Kohl’s Corp. | 6,021,157 | ||||||
71,360 | Nordstrom, Inc. | 3,381,037 | ||||||
|
| |||||||
9,402,194 | ||||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
8,898 | AutoZone, Inc. (a) | 6,329,770 | ||||||
81,420 | Best Buy Co., Inc. | 5,574,828 | ||||||
153,170 | Gap, Inc. (The) | 5,216,970 | ||||||
41,160 | Tiffany & Co. | 4,278,582 | ||||||
|
| |||||||
21,400,150 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
48,510 | PVH Corp. | 6,656,057 | ||||||
41,080 | Ralph Lauren Corp. | 4,259,585 | ||||||
|
| |||||||
10,915,642 | ||||||||
|
| |||||||
Total Consumer Discretionary | 92,434,242 | |||||||
|
| |||||||
Consumer Staples — 6.3% |
| |||||||
Beverages — 2.7% |
| |||||||
26,220 | Constellation Brands, Inc., Class A | 5,993,105 | ||||||
71,691 | Dr Pepper Snapple Group, Inc. | 6,958,329 | ||||||
30,930 | Molson Coors Brewing Co., Class B | 2,538,425 | ||||||
|
| |||||||
15,489,859 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
206,964 | Kroger Co. (The) | 5,681,162 | ||||||
|
| |||||||
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 0.5% |
| |||||||
25,230 | Pinnacle Foods, Inc. | 1,500,428 | ||||||
17,800 | Post Holdings, Inc. (a) | 1,410,294 | ||||||
|
| |||||||
2,910,722 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
48,220 | Energizer Holdings, Inc. | 2,313,595 | ||||||
|
| |||||||
Personal Products — 1.7% |
| |||||||
249,990 | Coty, Inc., Class A | 4,972,301 | ||||||
80,730 | Edgewell Personal Care Co. (a) | 4,794,555 | ||||||
|
| |||||||
9,766,856 | ||||||||
|
| |||||||
Total Consumer Staples | 36,162,194 | |||||||
|
| |||||||
Energy — 6.1% |
| |||||||
Oil, Gas & Consumable Fuels — 6.1% |
| |||||||
205,953 | Energen Corp. (a) | 11,856,714 | ||||||
183,630 | EQT Corp. | 10,452,220 | ||||||
101,300 | PBF Energy, Inc., Class A | 3,591,085 | ||||||
289,930 | Williams Cos., Inc. (The) | 8,839,966 | ||||||
|
| |||||||
Total Energy | 34,739,985 | |||||||
|
| |||||||
Financials — 23.0% |
| |||||||
Banks — 8.0% |
| |||||||
157,080 | Citizens Financial Group, Inc. | 6,594,218 | ||||||
281,560 | Fifth Third Bancorp | 8,542,530 | ||||||
57,010 | First Republic Bank | 4,939,346 | ||||||
309,680 | Huntington Bancshares, Inc. | 4,508,941 | ||||||
58,148 | M&T Bank Corp. | 9,942,727 | ||||||
132,030 | SunTrust Banks, Inc. | 8,527,818 | ||||||
47,770 | Zions Bancorp | 2,428,149 | ||||||
|
| |||||||
45,483,729 | ||||||||
|
| |||||||
Capital Markets — 5.7% |
| |||||||
32,830 | Ameriprise Financial, Inc. | 5,563,700 | ||||||
162,770 | Invesco Ltd. | 5,947,616 | ||||||
65,240 | Northern Trust Corp. | 6,516,824 | ||||||
63,630 | Raymond James Financial, Inc. | 5,682,159 | ||||||
83,070 | T Rowe Price Group, Inc. | 8,716,535 | ||||||
|
| |||||||
32,426,834 | ||||||||
|
| |||||||
Consumer Finance — 1.0% |
| |||||||
198,690 | Ally Financial, Inc. | 5,793,800 | ||||||
|
| |||||||
Insurance — 8.3% |
| |||||||
5,198 | Alleghany Corp. (a) | 3,098,476 | ||||||
18,393 | Chubb Ltd. | 2,687,769 | ||||||
144,550 | Hartford Financial Services Group, Inc. (The) | 8,135,274 | ||||||
199,910 | Loews Corp. | 10,001,497 | ||||||
70,980 | Marsh & McLennan Cos., Inc. | 5,777,062 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Insurance — continued |
| |||||||
81,680 | Progressive Corp. (The) | 4,600,218 | ||||||
91,570 | Unum Group | 5,026,277 | ||||||
36,250 | WR Berkley Corp. | 2,597,313 | ||||||
164,100 | XL Group Ltd., (Bermuda) | 5,769,756 | ||||||
|
| |||||||
47,693,642 | ||||||||
|
| |||||||
Total Financials | 131,398,005 | |||||||
|
| |||||||
Health Care — 6.0% |
| |||||||
Health Care Equipment & Supplies — 0.7% |
| |||||||
33,320 | Zimmer Biomet Holdings, Inc. | 4,020,724 | ||||||
|
| |||||||
Health Care Providers & Services — 5.3% |
| |||||||
60,680 | AmerisourceBergen Corp. | 5,571,637 | ||||||
34,440 | Cigna Corp. | 6,994,420 | ||||||
45,460 | Henry Schein, Inc. (a) | 3,176,745 | ||||||
20,270 | Humana, Inc. | 5,028,379 | ||||||
29,230 | Laboratory Corp. of America Holdings (a) | 4,662,477 | ||||||
43,071 | Universal Health Services, Inc., Class B | 4,882,098 | ||||||
|
| |||||||
30,315,756 | ||||||||
|
| |||||||
Total Health Care | 34,336,480 | |||||||
|
| |||||||
Industrials — 8.1% |
| |||||||
Building Products — 1.0% |
| |||||||
85,610 | Fortune Brands Home & Security, Inc. | 5,859,148 | ||||||
|
| |||||||
Electrical Equipment — 2.7% |
| |||||||
24,100 | Acuity Brands, Inc. | 4,241,600 | ||||||
71,260 | AMETEK, Inc. | 5,164,212 | ||||||
39,690 | Hubbell, Inc. | 5,371,645 | ||||||
11,020 | Regal Beloit Corp. | 844,132 | ||||||
|
| |||||||
15,621,589 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
50,590 | Carlisle Cos., Inc. | 5,749,553 | ||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
43,340 | IDEX Corp. | 5,719,580 | ||||||
45,380 | Snap-on, Inc. | 7,909,734 | ||||||
|
| |||||||
13,629,314 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
59,480 | MSC Industrial Direct Co., Inc., Class A | 5,749,337 | ||||||
|
| |||||||
Total Industrials | 46,608,941 | |||||||
|
| |||||||
Information Technology — 8.8% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
167,340 | CommScope Holding Co., Inc. (a) | 6,330,472 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.8% |
| |||||||
79,310 | Amphenol Corp., Class A | 6,963,418 | ||||||
85,070 | Arrow Electronics, Inc. (a) | 6,840,479 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & |
| |||||||
106,530 | CDW Corp. | 7,402,770 | ||||||
147,990 | Keysight Technologies, Inc. (a) | 6,156,384 | ||||||
|
| |||||||
27,363,051 | ||||||||
|
| |||||||
Internet Software & Services — 0.5% |
| |||||||
86,000 | Match Group, Inc. (a) | 2,692,660 | ||||||
|
| |||||||
IT Services — 0.9% |
| |||||||
43,520 | Jack Henry & Associates, Inc. | 5,090,099 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
48,740 | Analog Devices, Inc. | 4,339,322 | ||||||
|
| |||||||
Software — 0.8% |
| |||||||
55,390 | Synopsys, Inc. (a) | 4,721,444 | ||||||
|
| |||||||
Total Information Technology | 50,537,048 | |||||||
|
| |||||||
Materials — 4.5% |
| |||||||
Chemicals — 0.8% |
| |||||||
11,300 | Sherwin-Williams Co. (The) | 4,633,452 | ||||||
|
| |||||||
Containers & Packaging — 3.7% |
| |||||||
204,980 | Ball Corp. | 7,758,493 | ||||||
178,210 | Silgan Holdings, Inc. | 5,237,592 | ||||||
125,900 | WestRock Co. | 7,958,139 | ||||||
|
| |||||||
20,954,224 | ||||||||
|
| |||||||
Total Materials | 25,587,676 | |||||||
|
| |||||||
Real Estate — 10.4% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.6% |
| |||||||
56,040 | American Campus Communities, Inc. | 2,299,321 | ||||||
91,900 | American Homes 4 Rent, Class A | 2,007,096 | ||||||
28,330 | AvalonBay Communities, Inc. | 5,054,355 | ||||||
37,090 | Boston Properties, Inc. | 4,822,813 | ||||||
193,000 | Brixmor Property Group, Inc. | 3,601,380 | ||||||
10,970 | Essex Property Trust, Inc. | 2,647,829 | ||||||
27,440 | Federal Realty Investment Trust | 3,644,307 | ||||||
77,500 | GGP, Inc. | 1,812,725 | ||||||
42,940 | HCP, Inc. | 1,119,875 | ||||||
35,552 | JBG SMITH Properties | 1,234,721 | ||||||
184,610 | Kimco Realty Corp. | 3,350,672 | ||||||
156,737 | Outfront Media, Inc. | 3,636,298 | ||||||
96,436 | Park Hotels & Resorts, Inc. | 2,772,535 | ||||||
123,265 | Rayonier, Inc. | 3,898,872 | ||||||
39,850 | Regency Centers Corp. | 2,756,823 | ||||||
62,894 | Vornado Realty Trust | 4,917,053 | ||||||
110,400 | Weyerhaeuser Co. | 3,892,704 | ||||||
26,870 | WP Carey, Inc. | 1,851,343 | ||||||
|
| |||||||
55,320,722 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Real Estate Management & Development — 0.8% |
| |||||||
98,910 | CBRE Group, Inc., Class A (a) | 4,283,792 | ||||||
|
| |||||||
Total Real Estate | 59,604,514 | |||||||
|
| |||||||
Utilities — 8.2% |
| |||||||
Electric Utilities — 2.8% |
| |||||||
83,660 | Edison International | 5,290,658 | ||||||
33,700 | Westar Energy, Inc. | 1,779,360 | ||||||
185,050 | Xcel Energy, Inc. | 8,902,756 | ||||||
|
| |||||||
15,972,774 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
97,000 | National Fuel Gas Co. | 5,326,270 | ||||||
|
| |||||||
Multi-Utilities — 4.5% |
| |||||||
57,760 | CenterPoint Energy, Inc. | 1,638,074 | ||||||
184,550 | CMS Energy Corp. | 8,729,215 | ||||||
62,060 | Sempra Energy | 6,635,455 | ||||||
131,000 | WEC Energy Group, Inc. | 8,702,330 | ||||||
|
| |||||||
25,705,074 | ||||||||
|
| |||||||
Total Utilities | 47,004,118 | |||||||
|
| |||||||
Total Common Stocks | 558,413,203 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Short-Term Investment — 2.4% | ||||||||
Investment Company — 2.4% | ||||||||
14,019,342 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 14,019,342 | ||||||
|
| |||||||
Total Investments — 100.0% | 572,432,545 | |||||||
Other Assets in Excess of | 87,245 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 572,519,790 | ||||||
|
|
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 is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(g) | — Amount rounds to less than 0.05%. | |
(l) | — The rate shown is the current yield as of December 31, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017
Mid Cap Value Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 558,413,203 | ||
Investments in affiliates, at value | 14,019,342 | |||
Receivables: | ||||
Investment securities sold | 271,195 | |||
Portfolio shares sold | 63,310 | |||
Dividends from non-affiliates | 862,206 | |||
Dividends from affiliates | 10,924 | |||
|
| |||
Total Assets | 573,640,180 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 31,010 | |||
Portfolio shares redeemed | 652,886 | |||
Accrued liabilities: | ||||
Investment advisory fees | 312,361 | |||
Administration fees | 39,232 | |||
Custodian and accounting fees | 9,650 | |||
Trustees’ and Chief Compliance Officer’s fees | 137 | |||
Other | 75,114 | |||
|
| |||
Total Liabilities | 1,120,390 | |||
|
| |||
Net Assets | $ | 572,519,790 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 343,130,951 | ||
Accumulated undistributed net investment income | 5,110,349 | |||
Accumulated net realized gains (losses) | 5,980,830 | |||
Net unrealized appreciation (depreciation) | 218,297,660 | |||
|
| |||
Total Net Assets | $ | 572,519,790 | ||
|
| |||
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | 48,394,186 | |||
Net asset value, offering and redemption price per share (a): | $ | 11.83 | ||
Cost of investments in non-affiliates | $ | 340,115,543 | ||
Cost of investments in affiliates | 14,019,342 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Mid Cap Value Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 9,643,884 | ||
Dividend income from affiliates | 109,833 | |||
Interest income from affiliates | 4 | |||
|
| |||
Total investment income | 9,753,721 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 3,687,027 | |||
Administration fees | 462,640 | |||
Custodian and accounting fees | 30,297 | |||
Professional fees | 82,633 | |||
Trustees’ and Chief Compliance Officer’s fees | 27,068 | |||
Printing and mailing costs | 65,224 | |||
Transfer agency fees | 8,232 | |||
Other | 49,573 | |||
|
| |||
Total expenses | 4,412,694 | |||
|
| |||
Less fees waived | (47,741 | ) | ||
|
| |||
Net expenses | 4,364,953 | |||
|
| |||
Net investment income (loss) | 5,388,768 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from investments in non-affiliates | 10,533,790 | |||
Change in net unrealized appreciation/depreciation on investments in non-affiliates | 56,823,802 | |||
|
| |||
Net realized/unrealized gains (losses) | 67,357,592 | |||
|
| |||
Change in net assets resulting from operations | $ | 72,746,360 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Mid Cap Value Portfolio | ||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 5,388,768 | $ | 4,455,044 | ||||
Net realized gain (loss) | 10,533,790 | 26,016,242 | ||||||
Change in net unrealized appreciation/depreciation | 56,823,802 | 34,088,690 | ||||||
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Change in net assets resulting from operations | 72,746,360 | 64,559,976 | ||||||
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DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
From net investment income | (4,602,779 | ) | (3,917,647 | ) | ||||
From net realized gains | (25,669,250 | ) | (23,451,558 | ) | ||||
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Total distributions to shareholders | (30,272,029 | ) | (27,369,205 | ) | ||||
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CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (14,124,058 | ) | 70,789,542 | |||||
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NET ASSETS: | ||||||||
Change in net assets | 28,350,273 | 107,980,313 | ||||||
Beginning of period | 544,169,517 | 436,189,204 | ||||||
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End of period | $ | 572,519,790 | $ | 544,169,517 | ||||
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Accumulated undistributed net investment income | $ | 5,110,349 | $ | 4,324,360 | ||||
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CAPITAL TRANSACTIONS: | ||||||||
Proceeds from shares issued | $ | 82,826,144 | $ | 136,426,089 | ||||
Distributions reinvested | 30,272,029 | 27,369,205 | ||||||
Cost of shares redeemed | (127,222,231 | ) | (93,005,752 | ) | ||||
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Change in net assets resulting from capital transactions | $ | (14,124,058 | ) | $ | 70,789,542 | |||
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SHARE TRANSACTIONS: | ||||||||
Issued | 7,342,610 | 13,027,148 | ||||||
Reinvested | 2,792,623 | 2,734,186 | ||||||
Redeemed | (11,291,321 | ) | (9,005,971 | ) | ||||
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Change in Shares | (1,156,088 | ) | 6,755,363 | |||||
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SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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DECEMBER 31, 2017 | 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, 2017 | $ | 10.98 | $ | 0.11 | (c) | $ | 1.34 | $ | 1.45 | $ | (0.09 | ) | $ | (0.51 | ) | $ | (0.60 | ) | ||||||||||
Year Ended December 31, 2016 | 10.19 | 0.10 | (c) | 1.33 | 1.43 | (0.09 | ) | (0.55 | ) | (0.64 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 11.41 | 0.09 | (c) | (0.34 | ) | (0.25 | ) | (0.11 | ) | (0.86 | ) | (0.97 | ) | |||||||||||||||
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 | ) |
(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 0.005% unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(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, 2017 |
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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 | Portfolio turnover rate | ||||||||||||||||||||
$ | 11.83 | 13.76 | % | $ | 572,519,790 | 0.77 | % | 0.95 | % | 0.78 | % | 14 | % | |||||||||||||
10.98 | 14.69 | 544,169,517 | 0.77 | 0.95 | 0.78 | 28 | ||||||||||||||||||||
10.19 | (2.66 | ) | 436,189,204 | 0.77 | 0.87 | 0.77 | 17 | |||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF DECEMBER 31, 2017
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.
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.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
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 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the 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 value (“NAV”) of the Portfolio is calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’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.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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) | $ | 572,432,545 | $ | — | $ | — | $ | 572,432,545 | ||||||||
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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, 2017.
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, 2017, 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 remain 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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 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, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing 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.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 15 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
E. Waivers and Reimbursements — The Adviser and/or Administrator have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed 0.90% of the Portfolio’s average daily net assets.
The expense limitation agreement was in effect for the year ended December 31, 2017 and is in place until at least April 30, 2018.
For the year ended December 31, 2017, 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 Fees | ||||
$ | 14,472 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser and/or the Administrator have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2017 was $33,269.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. 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.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2017, the Portfolio incurred $54 in 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 year ended December 31, 2017, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 78,772,181 | $ | 109,410,904 |
During the year ended December 31, 2017, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2017, were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 356,902,855 | $ | 221,040,349 | $ | 5,510,659 | $ | 215,529,690 |
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, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 4,602,779 | $ | 25,669,250 | $ | 30,272,029 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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The tax character of distributions paid during the year ended December 31, 2016 was as follows:
Ordinary Income* | Net Long-Term | Total Distributions Paid | ||||||||||
$ | 3,917,647 | $ | 23,451,558 | $ | 27,369,205 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2017, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current | Current | |||||||||||
Distributable Ordinary Income | Distributable Long-Term Capital Gain | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 6,713,329 | $ | 7,108,103 | $ | 215,529,690 |
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.
At December 31, 2017, the Portfolio did not have any net capital loss carryforwards.
During the year ended December 31, 2017, the Portfolio utilized pre-enactment capital loss carryforwards in the amount of $1,353,283.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility 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. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2017.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
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.
As of December 31, 2017, the Portfolio had three omnibus accounts which collectively owned 76.8% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Portfolio’s financial statements as of December 31, 2017. The adoption had no effect on the Portfolio’s net assets or result of operations.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Mid Cap Value Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Mid Cap Value Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2017, the related statement of operations for the year ended December 31, 2017, the statement of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the five years in the period ended December 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2018
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 19 |
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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 Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 138 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 138 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (1984-2012). | 138 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 138 | None | |||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 138 | Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 138 | 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). | 138 | 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). | 138 | None |
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
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) (1985-2005). | 138 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance). | |||
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). | 138 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
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). | 138 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-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). | 138 | None |
(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 (138 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | 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 was 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 21 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
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 to 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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
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. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP from 2006 to 2012. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Matthew J. Plastina (1970), Acting Treasurer and Principal Financial Officer (2017), formerly Assistant Treasurer (2011-2017)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
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 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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 assumes that you had a $1,000 investment in the Portfolio at the beginning of the reporting period, July 1, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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, 2017 | Ending Account Value December 31, 2017 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Value Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,071.60 | $ | 4.02 | 0.77 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.32 | 3.92 | 0.77 |
* | 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). |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 23 |
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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 2017, 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 16, 2017.
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. 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 Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). 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 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 J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
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.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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 upon 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 Trustees 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 JPMIM 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 may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow the Portfolio’s shareholders to share potential economies of scale from a Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including
investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
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, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. 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 information for the Portfolio in a report prepared by Broadridge/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 Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds in the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 25 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
funds in the Portfolio’s Peer Group and Universe. The Broadridge/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 Broadridge/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 for Class 1 shares was in the first quintile based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2016. 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 Portfolio’s performance was satisfactory.
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 Broadridge/Lipper concerning man-
agement fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/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 for Class 1 shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that actual total expenses for Class 1 shares were in the third quintile based upon both the Peer Group and Universe. After considering all of the factors identified above, the Trustees concluded that the advisory fee was reasonable in light of the services provided to the Portfolio.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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(Unaudited)
Dividend 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, 2017.
Long Term Capital Gain
The Portfolio distributed $25,669,250 or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2017.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 27 |
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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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J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | AN-JPMITMCVP-1217 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2017
JPMorgan Insurance Trust Small Cap Core Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
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Investments in the Portfolio are not 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 prospectuses 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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February 1, 2018 (Unaudited)
Dear Shareholder,
U.S. economic growth accelerated through 2017, supported by synchronized growth in the global economy and central bank policies that helped push equity prices higher in the U.S. as well as most developed market and emerging market nations.
“Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy.” — George C.W. Gatch |
During the year, the U.S. entered its third longest economic expansion on record. Gross domestic product (GDP) rose by 1.8%, 1.2% and 3.2% in the first three quarters of 2017, respectively, and preliminary estimates put fourth quarter GDP growth at 2.6%. Unemployment fell steadily to 4.1% in December 2017 from 4.8% at the start of the year — though growth in wages remained weak — and U.S. consumer confidence reached a 17-year high in November 2017. Corporate profits rose strongly and received a boost from stable energy prices and a 10% decline in the value of the U.S. dollar over the course of the year.
Notably, three large hurricanes — along with wildfires and other natural disasters — combined to cause an estimated $306 billion in damage in the U.S., making 2017 the most expensive year to date for natural disasters. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates three times in 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during 2017, which provided support for the domestic economy and for financial markets.
Globally, most developed market and emerging market economies also continued to grow throughout 2017. Growth in Europe was strong enough that the European Central Bank committed to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic
expansion in a decade. China’s GDP grew by an estimated 6.8% in 2017, supported by personal consumption and growth in foreign trade, according to the World Bank.
Roughly 120 countries, comprising three-fourths of global GDP, experienced increased economic growth in 2017 relative to 2016, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns throughout 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities for the year.
In the U.S., the Standard & Poor’s 500 Index (the “S&P 500”) reached 62 new closing highs during 2017 — the second largest number on record — and posted positive total returns (dividends included) in each month of the year for the first time since the current formula of the benchmark index was created in 1957. At the same time, equity market volatility fell to historic lows and by the end of 2017, U.S. stock prices overall hadn’t experienced a decline of 3% or greater for 14 consecutive months. While U.S. fixed income markets largely provided positive returns during the year, they underperformed equity markets.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited external demand and a reduction in U.S. corporate tax rates from the Tax Cuts and Jobs Act of 2017. Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Small Cap Core Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 15.23% | |||
Russell 2000 Index | 14.65% | |||
Net Assets as of 12/31/2017 | $ | 190,296,712 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Small Cap Core Portfolio (the “Portfolio”) seeks capital growth over the long term.
HOW DID THE MARKET PERFORM?
Equity markets in the U.S. and elsewhere rallied throughout 2017 amid synchronized global economic growth, central bank stimulus and rising corporate profits.
During the year, the Standard & Poor’s 500 Index (S&P 500) reached 62 new closing highs — the most since 1995 — and for the first time ever posted positive total returns in all twelve months (when dividends are included). December 2017 marked the fourteenth consecutive month of gains for the S&P 500. In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year and on November 3, 2017 fell to its lowest-ever level.
Overall, growth stocks generally outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks. For the twelve months ended December 31, 2017, the Russell 2000 Index returned 14.65%.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended December 31, 2017. The Portfolio’s security selection in the pharmaceuticals and systems hardware sectors was a leading contributor to performance relative to the Benchmark, while the Portfolio’s security selection in the basic materials and consumer cyclical sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Portfolio’s overweight positions in Extreme Networks Inc.,
Take-Two Interactive Software Inc. and Ixys Corp. Shares of Extreme Networks, a provider of information network equipment and services, rose on better-than-expected earnings for each quarter of 2017. Shares of Take Two Interactive Software, a videogame publisher, rose after the company raised its revenue forecast and reported better-than-expected sales during the November-December holiday shopping season. Shares of Ixys, a semiconductor maker, rose amid investor expectations that the company would become a takeover target.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Unisys Corp., TiVo Corp. and Geo Group Inc. Shares of Unisys, an information technology services provider, fell after the company reported lower-than-expected earnings and a decline in revenue for the second quarter of 2017. Shares of TiVo, a provider of entertainment software and services, fell amid investor concerns about the impact of the company’s patent disputes with Comcast Corp. Shares of Geo Group, a private prisons real estate investment trust, fell after the company reported lower-than-expected revenue in the second quarter of 2017 and forecast weak revenue growth for the third and fourth quarters.
HOW WAS THE PORTFOLIO POSITIONED?
In accordance with its investment process, the portfolio managers took limited sector bets and constructed 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.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Trinseo SA | 1.1 | % | |||||
2. | Meritor, Inc. | 1.1 | ||||||
3. | ArcBest Corp. | 1.0 | ||||||
4. | Taylor Morrison Home Corp., Class A | 1.0 | ||||||
5. | Popular, Inc., (Puerto Rico) | 0.9 | ||||||
6. | Extreme Networks, Inc. | 0.9 | ||||||
7. | Wintrust Financial Corp. | 0.9 | ||||||
8. | Masimo Corp. | 0.9 | ||||||
9. | East West Bancorp, Inc. | 0.9 | ||||||
10. | Cooper-Standard Holdings, Inc. | 0.9 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Industrials | 19.4 | % | ||
Financials | 17.3 | |||
Health Care | 15.7 | |||
Information Technology | 15.6 | |||
Consumer Discretionary | 10.8 | |||
Real Estate | 6.4 | |||
Materials | 4.7 | |||
Energy | 3.2 | |||
Utilities | 2.9 | |||
Consumer Staples | 2.2 | |||
Telecommunication Services | 0.0 | (a) | ||
Short-Term Investment | 1.8 |
* | 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, 2017. The Portfolio’s composition is subject to change. |
(a) | Amount rounds to less than 0.05%. |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | January 3, 1995 | 15.23 | % | 15.39 | % | 9.47 | % | |||||||
CLASS 2 SHARES | April 24, 2009 | 14.93 | 15.09 | 9.23 |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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, 2007 to December 31, 2017. 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.
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, 2017 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — 98.1% | ||||||||
Consumer Discretionary — 10.8% |
| |||||||
Auto Components — 1.5% |
| |||||||
40,700 | American Axle & Manufacturing Holdings, Inc. (a) | 693,121 | ||||||
13,700 | Cooper-Standard Holdings, Inc. (a) | 1,678,250 | ||||||
7,200 | Dana, Inc. | 230,472 | ||||||
4,400 | Modine Manufacturing Co. (a) | 88,880 | ||||||
1,500 | Stoneridge, Inc. (a) | 34,290 | ||||||
4,100 | Tower International, Inc. | 125,255 | ||||||
|
| |||||||
2,850,268 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
21,300 | Funko, Inc., Class A (a) | 141,645 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
1,400 | Capella Education Co. | 108,360 | ||||||
6,300 | Grand Canyon Education, Inc. (a) | 564,039 | ||||||
17,000 | K12, Inc. (a) | 270,300 | ||||||
|
| |||||||
942,699 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
64,900 | Bloomin’ Brands, Inc. | 1,384,966 | ||||||
5,800 | DineEquity, Inc. | 294,234 | ||||||
400 | Jack in the Box, Inc. | 39,244 | ||||||
27,200 | Pinnacle Entertainment, Inc. (a) | 890,256 | ||||||
16,300 | Ruth’s Hospitality Group, Inc. | 352,895 | ||||||
|
| |||||||
2,961,595 | ||||||||
|
| |||||||
Household Durables — 2.4% |
| |||||||
43,700 | Beazer Homes USA, Inc. (a) | 839,477 | ||||||
1,400 | Hamilton Beach Brands Holding Co., Class A | 35,966 | ||||||
11,200 | Helen of Troy Ltd. (a) | 1,079,120 | ||||||
7,100 | Hooker Furniture Corp. | 301,395 | ||||||
4,500 | KB Home | 143,775 | ||||||
16,200 | Libbey, Inc. | 121,824 | ||||||
12,600 | Lifetime Brands, Inc. | 207,900 | ||||||
75,300 | Taylor Morrison Home Corp., Class A (a) | 1,842,591 | ||||||
|
| |||||||
4,572,048 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.2% |
| |||||||
64,200 | Groupon, Inc. (a) | 327,420 | ||||||
10,100 | Liberty TripAdvisor Holdings, Inc., Class A (a) | 95,193 | ||||||
|
| |||||||
422,613 | ||||||||
|
| |||||||
Media — 1.2% |
| |||||||
48,300 | Gannett Co., Inc. | 559,797 | ||||||
30,300 | Gray Television, Inc. (a) | 507,525 | ||||||
34,900 | MDC Partners, Inc., Class A (a) | 340,275 | ||||||
2,200 | Nexstar Media Group, Inc., Class A | 172,040 | ||||||
19,300 | Sinclair Broadcast Group, Inc., Class A | 730,505 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — continued |
| |||||||
9,600 | Townsquare Media, Inc., Class A (a) | 73,728 | ||||||
|
| |||||||
2,383,870 | ||||||||
|
| |||||||
Specialty Retail — 2.9% |
| |||||||
22,000 | Caleres, Inc. | 736,560 | ||||||
9,100 | Children’s Place, Inc. (The) | 1,322,685 | ||||||
1,500 | Conn’s, Inc. (a) | 53,325 | ||||||
14,800 | Express, Inc. (a) | 150,220 | ||||||
7,500 | Group 1 Automotive, Inc. | 532,275 | ||||||
4,800 | National Vision Holdings, Inc. (a) | 194,928 | ||||||
332,145 | Office Depot, Inc. | 1,175,793 | ||||||
62,700 | Pier 1 Imports, Inc. | 259,578 | ||||||
400 | RH (a) | 34,484 | ||||||
52,000 | Tailored Brands, Inc. | 1,135,160 | ||||||
|
| |||||||
5,595,008 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
6,800 | Deckers Outdoor Corp. (a) | 545,700 | ||||||
7,300 | Perry Ellis International, Inc. (a) | 182,792 | ||||||
|
| |||||||
728,492 | ||||||||
|
| |||||||
Total Consumer Discretionary | 20,598,238 | |||||||
|
| |||||||
Consumer Staples — 2.2% |
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
20,400 | Performance Food Group Co. (a) | 675,240 | ||||||
30,680 | SpartanNash Co. | 818,542 | ||||||
8,600 | US Foods Holding Corp. (a) | 274,598 | ||||||
|
| |||||||
1,768,380 | ||||||||
|
| |||||||
Food Products — 0.9% |
| |||||||
27,800 | Dean Foods Co. | 321,368 | ||||||
22,200 | Pilgrim’s Pride Corp. (a) | 689,532 | ||||||
3,100 | Pinnacle Foods, Inc. | 184,357 | ||||||
2,600 | Sanderson Farms, Inc. | 360,828 | ||||||
1,900 | TreeHouse Foods, Inc. (a) | 93,974 | ||||||
|
| |||||||
1,650,059 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
19,500 | Central Garden & Pet Co., Class A (a) | 735,345 | ||||||
|
| |||||||
Personal Products — 0.0% (g) |
| |||||||
1,200 | USANA Health Sciences, Inc. (a) | 88,860 | ||||||
|
| |||||||
Total Consumer Staples | 4,242,644 | |||||||
|
| |||||||
Energy — 3.2% |
| |||||||
Energy Equipment & Services — 0.9% |
| |||||||
25,000 | Archrock, Inc. | 262,500 | ||||||
20,500 | Exterran Corp. (a) | 644,520 | ||||||
64,200 | McDermott International, Inc. (a) | 422,436 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Energy Equipment & Services — continued | ||||||||
5,300 | PHI, Inc. (Non-Voting) (a) | 61,321 | ||||||
27,400 | RigNet, Inc. (a) | 409,630 | ||||||
|
| |||||||
1,800,407 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.3% |
| |||||||
166,000 | Abraxas Petroleum Corp. (a) | 408,360 | ||||||
5,300 | Arch Coal, Inc., Class A | 493,748 | ||||||
40,900 | Delek US Energy, Inc. | 1,429,046 | ||||||
28,000 | EP Energy Corp., Class A (a) | 66,080 | ||||||
6,500 | Green Plains, Inc. | 109,525 | ||||||
15,400 | Jagged Peak Energy, Inc. (a) | 243,012 | ||||||
1,400 | NACCO Industries, Inc., Class A | 52,710 | ||||||
22,700 | Pacific Ethanol, Inc. (a) | 103,285 | ||||||
40,300 | Renewable Energy Group, Inc. (a) | 475,540 | ||||||
400 | REX American Resources Corp. (a) | 33,116 | ||||||
30,900 | SRC Energy, Inc. (a) | 263,577 | ||||||
169,000 | W&T Offshore, Inc. (a) | 559,390 | ||||||
2,300 | World Fuel Services Corp. | 64,722 | ||||||
|
| |||||||
4,302,111 | ||||||||
|
| |||||||
Total Energy | 6,102,518 | |||||||
|
| |||||||
Financials — 17.3% |
| |||||||
Banks — 10.4% |
| |||||||
39,000 | Bancorp, Inc. (The) (a) | 385,320 | ||||||
3,400 | Cadence BanCorp (a) | 92,208 | ||||||
6,400 | Cathay General Bancorp | 269,888 | ||||||
2,400 | Central Valley Community Bancorp | 48,432 | ||||||
1,264 | Community Trust Bancorp, Inc. | 59,534 | ||||||
3,080 | Customers Bancorp, Inc. (a) | 80,049 | ||||||
28,255 | East West Bancorp, Inc. | 1,718,752 | ||||||
1,400 | Enterprise Financial Services Corp. | 63,210 | ||||||
11,344 | Fidelity Southern Corp. | 247,299 | ||||||
14,800 | Financial Institutions, Inc. | 460,280 | ||||||
129,700 | First BanCorp, (Puerto Rico) (a) | 661,470 | ||||||
3,800 | First Business Financial Services, Inc. | 84,056 | ||||||
4,600 | First Community Bancshares, Inc. | 132,158 | ||||||
10,600 | First Foundation, Inc. (a) | 196,524 | ||||||
28,600 | First Merchants Corp. | 1,202,916 | ||||||
40,700 | Fulton Financial Corp. | 728,530 | ||||||
30,400 | Hancock Holding Co. | 1,504,800 | ||||||
26,825 | Hanmi Financial Corp. | 814,139 | ||||||
12,500 | Heritage Financial Corp. | 385,000 | ||||||
10,800 | Hilltop Holdings, Inc. | 273,564 | ||||||
48,092 | Hope Bancorp, Inc. | 877,679 | ||||||
900 | Howard Bancorp, Inc. (a) | 19,800 | ||||||
4,375 | IBERIABANK Corp. | 339,062 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued | ||||||||
3,300 | MainSource Financial Group, Inc. | 119,823 | ||||||
2,371 | NBT Bancorp, Inc. | 87,253 | ||||||
3,100 | Northeast Bancorp | 71,765 | ||||||
3,900 | Pacific Mercantile Bancorp (a) | 34,125 | ||||||
21,233 | PacWest Bancorp | 1,070,143 | ||||||
50,500 | Popular, Inc., (Puerto Rico) | 1,792,245 | ||||||
8,300 | Preferred Bank | 487,874 | ||||||
1,660 | Premier Financial Bancorp, Inc. | 33,333 | ||||||
4,900 | Shore Bancshares, Inc. | 81,830 | ||||||
2,250 | Sierra Bancorp | 59,760 | ||||||
1,100 | SVB Financial Group (a) | 257,147 | ||||||
75,200 | TCF Financial Corp. | 1,541,600 | ||||||
1,677 | Towne Bank | 51,568 | ||||||
12,000 | TriCo Bancshares | 454,320 | ||||||
5,600 | TriState Capital Holdings, Inc. (a) | 128,800 | ||||||
4,800 | Triumph Bancorp, Inc. (a) | 151,200 | ||||||
21,300 | Wintrust Financial Corp. | 1,754,481 | ||||||
16,800 | Zions Bancorp | 853,944 | ||||||
|
| |||||||
19,675,881 | ||||||||
|
| |||||||
Capital Markets — 1.2% |
| |||||||
66,500 | BGC Partners, Inc., Class A | 1,004,815 | ||||||
6,500 | Houlihan Lokey, Inc. | 295,295 | ||||||
11,400 | INTL. FCStone, Inc. (a) | 484,842 | ||||||
21,200 | OM Asset Management plc | 355,100 | ||||||
2,400 | Piper Jaffray Cos. | 207,000 | ||||||
|
| |||||||
2,347,052 | ||||||||
|
| |||||||
Consumer Finance — 1.4% |
| |||||||
23,220 | FirstCash, Inc. | 1,566,189 | ||||||
19,000 | Green Dot Corp., Class A (a) | 1,144,940 | ||||||
|
| |||||||
2,711,129 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% |
| |||||||
3,800 | Cannae Holdings, Inc. (a) | 64,714 | ||||||
2,200 | Marlin Business Services Corp. | 49,280 | ||||||
|
| |||||||
113,994 | ||||||||
|
| |||||||
Insurance — 2.6% |
| |||||||
39,200 | American Equity Investment Life Holding Co. | 1,204,616 | ||||||
5,925 | Aspen Insurance Holdings Ltd., (Bermuda) | 240,555 | ||||||
49,500 | CNO Financial Group, Inc. | 1,222,155 | ||||||
9,100 | First American Financial Corp. | 509,964 | ||||||
4,900 | HCI Group, Inc. | 146,510 | ||||||
9,700 | Kinsale Capital Group, Inc. | 436,500 | ||||||
2,800 | National General Holdings Corp. | 54,992 | ||||||
2,900 | Selective Insurance Group, Inc. | 170,230 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Insurance — continued | ||||||||
12,800 | Stewart Information Services Corp. | 541,440 | ||||||
3,300 | United Fire Group, Inc. | 150,414 | ||||||
11,700 | Universal Insurance Holdings, Inc. | 319,995 | ||||||
|
| |||||||
4,997,371 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||
7,300 | Capstead Mortgage Corp. | 63,145 | ||||||
4,100 | Invesco Mortgage Capital, Inc. | 73,103 | ||||||
48,200 | Redwood Trust, Inc. | 714,324 | ||||||
|
| |||||||
850,572 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% |
| |||||||
3,400 | BankFinancial Corp. | 52,156 | ||||||
5,600 | Dime Community Bancshares, Inc. | 117,320 | ||||||
7,400 | HomeStreet, Inc. (a) | 214,230 | ||||||
5,900 | Meta Financial Group, Inc. | 546,635 | ||||||
32,200 | MGIC Investment Corp. (a) | 454,342 | ||||||
9,400 | OceanFirst Financial Corp. | 246,750 | ||||||
7,000 | PennyMac Financial Services, Inc., Class A (a) | 156,450 | ||||||
7,000 | Walker & Dunlop, Inc. (a) | 332,500 | ||||||
1,400 | Washington Federal, Inc. | 47,950 | ||||||
|
| |||||||
2,168,333 | ||||||||
|
| |||||||
Total Financials | 32,864,332 | |||||||
|
| |||||||
Health Care — 15.7% |
| |||||||
Biotechnology — 6.3% |
| |||||||
7,500 | Acorda Therapeutics, Inc. (a) | 160,875 | ||||||
48,600 | Aduro Biotech, Inc. (a) | 364,500 | ||||||
27,700 | Akebia Therapeutics, Inc. (a) | 411,899 | ||||||
20,500 | Allena Pharmaceuticals, Inc. (a) | 206,230 | ||||||
45,800 | Amicus Therapeutics, Inc. (a) | 659,062 | ||||||
5,800 | AnaptysBio, Inc. (a) | 584,176 | ||||||
11,700 | Audentes Therapeutics, Inc. (a) | 365,625 | ||||||
24,300 | Bellicum Pharmaceuticals, Inc. (a) | 204,363 | ||||||
5,100 | Bluebird Bio, Inc. (a) | 908,310 | ||||||
13,400 | Cara Therapeutics, Inc. (a) | 164,016 | ||||||
96,100 | Catalyst Pharmaceuticals, Inc. (a) | 375,751 | ||||||
28,200 | Coherus Biosciences, Inc. (a) | 248,160 | ||||||
15,500 | Concert Pharmaceuticals, Inc. (a) | 400,985 | ||||||
229,200 | Curis, Inc. (a) | 160,440 | ||||||
26,500 | Dynavax Technologies Corp. (a) | 495,550 | ||||||
7,800 | Esperion Therapeutics, Inc. (a) | 513,552 | ||||||
10,100 | FibroGen, Inc. (a) | 478,740 | ||||||
27,500 | Heron Therapeutics, Inc. (a) | 497,750 | ||||||
16,000 | Jounce Therapeutics, Inc. (a) | 204,000 | ||||||
6,000 | Loxo Oncology, Inc. (a) | 505,080 | ||||||
15,600 | Mersana Therapeutics, Inc. (a) | 256,308 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Biotechnology — continued | ||||||||
24,700 | Ra Pharmaceuticals, Inc. (a) | 209,950 | ||||||
2,200 | Radius Health, Inc. (a) | 69,894 | ||||||
11,500 | Rhythm Pharmaceuticals, Inc. (a) | 334,190 | ||||||
5,900 | Sage Therapeutics, Inc. (a) | 971,789 | ||||||
12,500 | Sarepta Therapeutics, Inc. (a) | 695,500 | ||||||
32,846 | Selecta Biosciences, Inc. (a) | 322,219 | ||||||
2,200 | Seres Therapeutics, Inc. (a) | 22,308 | ||||||
4,300 | Spark Therapeutics, Inc. (a) | 221,106 | ||||||
41,300 | Synergy Pharmaceuticals, Inc. (a) | 92,099 | ||||||
32,200 | Syros Pharmaceuticals, Inc. (a) | 313,306 | ||||||
2,700 | TESARO, Inc. (a) | 223,749 | ||||||
20,600 | vTv Therapeutics, Inc., Class A (a) | 123,806 | ||||||
8,800 | Xencor, Inc. (a) | 192,896 | ||||||
|
| |||||||
11,958,184 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.8% |
| |||||||
14,300 | Cutera, Inc. (a) | 648,505 | ||||||
1,100 | Inogen, Inc. (a) | 130,988 | ||||||
36,900 | Integer Holdings Corp. (a) | 1,671,570 | ||||||
46,600 | Invacare Corp. | 785,210 | ||||||
35,600 | Lantheus Holdings, Inc. (a) | 728,020 | ||||||
20,300 | Masimo Corp. (a) | 1,721,440 | ||||||
50,700 | OraSure Technologies, Inc. (a) | 956,202 | ||||||
4,700 | OrthoPediatrics Corp. (a) | 90,193 | ||||||
9,900 | Quidel Corp. (a) | 429,165 | ||||||
|
| |||||||
7,161,293 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
17,900 | Addus HomeCare Corp. (a) | 622,920 | ||||||
1,200 | AMN Healthcare Services, Inc. (a) | 59,100 | ||||||
55,100 | Community Health Systems, Inc. (a) | 234,726 | ||||||
56,500 | Cross Country Healthcare, Inc. (a) | 720,940 | ||||||
48,600 | Diplomat Pharmacy, Inc. (a) | 975,402 | ||||||
1,813 | Envision Healthcare Corp. (a) | 62,657 | ||||||
8,200 | HealthSouth Corp. | 405,162 | ||||||
103,500 | Kindred Healthcare, Inc. | 1,003,950 | ||||||
17,800 | Molina Healthcare, Inc. (a) | 1,364,904 | ||||||
19,600 | Owens & Minor, Inc. | 370,048 | ||||||
24,200 | RadNet, Inc. (a) | 244,420 | ||||||
8,375 | Surgery Partners, Inc. (a) | 101,338 | ||||||
2,900 | WellCare Health Plans, Inc. (a) | 583,219 | ||||||
|
| |||||||
6,748,786 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
6,900 | HMS Holdings Corp. (a) | 116,955 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
7,900 | INC Research Holdings, Inc., Class A (a) | 344,440 | ||||||
2,100 | PRA Health Sciences, Inc. (a) | 191,247 | ||||||
|
| |||||||
535,687 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
6,300 | Amphastar Pharmaceuticals, Inc. (a) | 121,212 | ||||||
10,300 | Assembly Biosciences, Inc. (a) | 466,075 | ||||||
15,300 | Catalent, Inc. (a) | 628,524 | ||||||
7,500 | Horizon Pharma plc (a) | 109,500 | ||||||
2,300 | Medicines Co. (The) (a) | 62,882 | ||||||
11,300 | Nektar Therapeutics (a) | 674,836 | ||||||
2,200 | Ocular Therapeutix, Inc. (a) | 9,790 | ||||||
5,312 | Reata Pharmaceuticals, Inc., Class A (a) | 150,436 | ||||||
4,600 | Revance Therapeutics, Inc. (a) | 164,450 | ||||||
77,900 | TherapeuticsMD, Inc. (a) | 470,516 | ||||||
11,300 | WaVe Life Sciences Ltd. (a) | 396,630 | ||||||
|
| |||||||
3,254,851 | ||||||||
|
| |||||||
Total Health Care | 29,775,756 | |||||||
|
| |||||||
Industrials — 19.4% |
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
13,000 | AAR Corp. | 510,770 | ||||||
10,300 | Engility Holdings, Inc. (a) | 292,211 | ||||||
5,825 | HEICO Corp., Class A | 460,466 | ||||||
2,600 | Moog, Inc., Class A (a) | 225,810 | ||||||
36,200 | Vectrus, Inc. (a) | 1,116,770 | ||||||
|
| |||||||
2,606,027 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
3,600 | Atlas Air Worldwide Holdings, Inc. (a) | 211,140 | ||||||
3,000 | Park-Ohio Holdings Corp. | 137,850 | ||||||
|
| |||||||
348,990 | ||||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
8,000 | Hawaiian Holdings, Inc. | 318,800 | ||||||
24,500 | SkyWest, Inc. | 1,300,950 | ||||||
|
| |||||||
1,619,750 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
2,100 | American Woodmark Corp. (a) | 273,525 | ||||||
1,800 | JELD-WEN Holding, Inc. (a) | 70,866 | ||||||
29,500 | Universal Forest Products, Inc. | 1,109,790 | ||||||
|
| |||||||
1,454,181 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.1% |
| |||||||
11,200 | ABM Industries, Inc. | 422,464 | ||||||
115,700 | ACCO Brands Corp. (a) | 1,411,540 | ||||||
100 | CECO Environmental Corp. | 513 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — continued |
| |||||||
21,000 | Essendant, Inc. | 194,670 | ||||||
2,100 | Herman Miller, Inc. | 84,105 | ||||||
9,700 | Kimball International, Inc., Class B | 181,099 | ||||||
4,100 | Knoll, Inc. | 94,464 | ||||||
45,100 | Quad/Graphics, Inc. | 1,019,260 | ||||||
23,900 | Steelcase, Inc., Class A | 363,280 | ||||||
1,700 | Viad Corp. | 94,180 | ||||||
1,200 | VSE Corp. | 58,116 | ||||||
|
| |||||||
3,923,691 | ||||||||
|
| |||||||
Construction & Engineering — 2.6% |
| |||||||
18,675 | EMCOR Group, Inc. | 1,526,681 | ||||||
75,600 | HC2 Holdings, Inc. (a) | 449,820 | ||||||
62,900 | KBR, Inc. | 1,247,307 | ||||||
25,700 | MasTec, Inc. (a) | 1,258,015 | ||||||
13,700 | Sterling Construction Co., Inc. (a) | 223,036 | ||||||
10,318 | Tutor Perini Corp. (a) | 261,562 | ||||||
|
| |||||||
4,966,421 | ||||||||
|
| |||||||
Electrical Equipment — 1.1% |
| |||||||
4,700 | EnerSys | 327,261 | ||||||
50,300 | General Cable Corp. | 1,488,880 | ||||||
6,100 | Powell Industries, Inc. | 174,765 | ||||||
2,700 | Regal Beloit Corp. | 206,820 | ||||||
|
| |||||||
2,197,726 | ||||||||
|
| |||||||
Machinery — 4.0% |
| |||||||
4,500 | Barnes Group, Inc. | 284,715 | ||||||
15,400 | Columbus McKinnon Corp. | 615,692 | ||||||
12,700 | Federal Signal Corp. | 255,143 | ||||||
41,100 | Global Brass & Copper Holdings, Inc. | 1,360,410 | ||||||
4,200 | Greenbrier Cos., Inc. (The) | 223,860 | ||||||
1,400 | Hurco Cos., Inc. | 59,080 | ||||||
3,100 | Hyster-Yale Materials Handling, Inc. | 263,996 | ||||||
6,000 | Kadant, Inc. | 602,400 | ||||||
2,600 | Kennametal, Inc. | 125,866 | ||||||
87,500 | Meritor, Inc. (a) | 2,052,750 | ||||||
4,100 | NN, Inc. | 113,160 | ||||||
1,000 | Standex International Corp. | 101,850 | ||||||
7,700 | TriMas Corp. (a) | 205,975 | ||||||
66,600 | Wabash National Corp. | 1,445,220 | ||||||
|
| |||||||
7,710,117 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
50,300 | Costamare, Inc., (Monaco) | 290,231 | ||||||
|
| |||||||
Professional Services — 3.7% |
| |||||||
20,200 | Barrett Business Services, Inc. | 1,302,698 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Professional Services — continued |
| |||||||
3,800 | CRA International, Inc. | 170,810 | ||||||
11,100 | ICF International, Inc. (a) | 582,750 | ||||||
28,800 | Insperity, Inc. | 1,651,680 | ||||||
1,400 | Kelly Services, Inc., Class A | 38,178 | ||||||
4,600 | Korn/Ferry International | 190,348 | ||||||
58,800 | RPX Corp. | 790,272 | ||||||
17,100 | TriNet Group, Inc. (a) | 758,214 | ||||||
53,500 | TrueBlue, Inc. (a) | 1,471,250 | ||||||
|
| |||||||
6,956,200 | ||||||||
|
| |||||||
Road & Rail — 1.2% |
| |||||||
53,500 | ArcBest Corp. | 1,912,625 | ||||||
7,900 | Schneider National, Inc., Class B | 225,624 | ||||||
2,000 | Universal Logistics Holdings, Inc. | 47,500 | ||||||
2,600 | YRC Worldwide, Inc. (a) | 37,388 | ||||||
|
| |||||||
2,223,137 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.4% |
| |||||||
6,800 | Applied Industrial Technologies, Inc. | 463,080 | ||||||
27,500 | CAI International, Inc. (a) | 778,800 | ||||||
9,400 | GMS, Inc. (a) | 353,816 | ||||||
51,100 | MRC Global, Inc. (a) | 864,612 | ||||||
5,246 | Titan Machinery, Inc. (a) | 111,058 | ||||||
2,400 | Veritiv Corp. (a) | 69,360 | ||||||
|
| |||||||
2,640,726 | ||||||||
|
| |||||||
Total Industrials | 36,937,197 | |||||||
|
| |||||||
Information Technology — 15.6% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
12,300 | Ciena Corp. (a) | 257,439 | ||||||
142,700 | Extreme Networks, Inc. (a) | 1,786,604 | ||||||
|
| |||||||
2,044,043 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.2% |
| |||||||
1,100 | Anixter International, Inc. (a) | 83,600 | ||||||
36,200 | Benchmark Electronics, Inc. (a) | 1,053,420 | ||||||
57,100 | Fitbit, Inc., Class A (a) | 326,041 | ||||||
24,100 | Insight Enterprises, Inc. (a) | 922,789 | ||||||
3,500 | Itron, Inc. (a) | 238,700 | ||||||
51,800 | KEMET Corp. (a) | 780,108 | ||||||
22,225 | Kimball Electronics, Inc. (a) | 405,606 | ||||||
2,000 | Littelfuse, Inc. | 395,640 | ||||||
18,300 | Methode Electronics, Inc. | 733,830 | ||||||
2,100 | Plexus Corp. (a) | 127,512 | ||||||
46,400 | Sanmina Corp. (a) | 1,531,200 | ||||||
10,800 | Tech Data Corp. (a) | 1,058,076 | ||||||
7,500 | Vishay Precision Group, Inc. (a) | 188,625 | ||||||
|
| |||||||
7,845,147 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — 2.4% |
| |||||||
18,700 | Alteryx, Inc., Class A (a) | 472,549 | ||||||
31,800 | Apptio, Inc., Class A (a) | 747,936 | ||||||
43,600 | Blucora, Inc. (a) | 963,560 | ||||||
1,600 | Cargurus, Inc. (a) | 47,968 | ||||||
4,800 | Coupa Software, Inc. (a) | 149,856 | ||||||
14,400 | Five9, Inc. (a) | 358,272 | ||||||
79,400 | Limelight Networks, Inc. (a) | 350,154 | ||||||
7,200 | MongoDB, Inc. (a) | 213,696 | ||||||
10,000 | New Relic, Inc. (a) | 577,700 | ||||||
1,800 | SendGrid, Inc. (a) | 43,146 | ||||||
28,800 | Tintri, Inc. (a) | 146,880 | ||||||
7,000 | Web.com Group, Inc. (a) | 152,600 | ||||||
8,800 | Yelp, Inc. (a) | 369,248 | ||||||
|
| |||||||
4,593,565 | ||||||||
|
| |||||||
IT Services — 2.1% |
| |||||||
1,400 | Blackhawk Network Holdings, Inc. (a) | 49,910 | ||||||
4,600 | CACI International, Inc., Class A (a) | 608,810 | ||||||
1,200 | Euronet Worldwide, Inc. (a) | 101,124 | ||||||
24,900 | Everi Holdings, Inc. (a) | 187,746 | ||||||
6,200 | Switch, Inc., Class A | 112,778 | ||||||
11,200 | Sykes Enterprises, Inc. (a) | 352,240 | ||||||
113,700 | Travelport Worldwide Ltd. | 1,486,059 | ||||||
80,000 | Unisys Corp. (a) | 652,000 | ||||||
9,877 | Virtusa Corp. (a) | 435,378 | ||||||
|
| |||||||
3,986,045 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
2,200 | Advanced Energy Industries, Inc. (a) | 148,456 | ||||||
22,450 | Alpha & Omega Semiconductor Ltd. (a) | 367,282 | ||||||
13,800 | Cirrus Logic, Inc. (a) | 715,668 | ||||||
23,900 | Cohu, Inc. | 524,605 | ||||||
78,615 | Cypress Semiconductor Corp. | 1,198,093 | ||||||
10,400 | Ichor Holdings Ltd. (a) | 255,840 | ||||||
3,700 | Nanometrics, Inc. (a) | 92,204 | ||||||
5,500 | Rudolph Technologies, Inc. (a) | 131,450 | ||||||
13,900 | Sigma Designs, Inc. (a) | 96,605 | ||||||
49,000 | Ultra Clean Holdings, Inc. (a) | 1,131,410 | ||||||
13,100 | Xcerra Corp. (a) | 128,249 | ||||||
|
| |||||||
4,789,862 | ||||||||
|
| |||||||
Software — 3.3% |
| |||||||
12,100 | CommVault Systems, Inc. (a) | 635,250 | ||||||
2,400 | ForeScout Technologies, Inc. (a) | 76,536 | ||||||
13,800 | Imperva, Inc. (a) | 547,860 | ||||||
2,000 | MicroStrategy, Inc., Class A (a) | 262,600 | ||||||
22,312 | Progress Software Corp. | 949,822 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Software — continued | ||||||||
2,100 | QAD, Inc., Class A | 81,585 | ||||||
8,800 | Qualys, Inc. (a) | 522,280 | ||||||
24,100 | RingCentral, Inc., Class A (a) | 1,166,440 | ||||||
19,000 | SailPoint Technologies Holding, Inc. (a) | 275,500 | ||||||
14,050 | Take-Two Interactive Software, Inc. (a) | 1,542,409 | ||||||
100 | TiVo Corp. | 1,560 | ||||||
5,100 | Varonis Systems, Inc. (a) | 247,605 | ||||||
|
| |||||||
6,309,447 | ||||||||
|
| |||||||
Total Information Technology | 29,568,109 | |||||||
|
| |||||||
Materials — 4.6% |
| |||||||
Chemicals — 2.0% |
| |||||||
10,800 | Chemours Co. (The) | 540,648 | ||||||
14,500 | FutureFuel Corp. | 204,305 | ||||||
1,900 | Ingevity Corp. (a) | 133,893 | ||||||
14,300 | Innophos Holdings, Inc. | 668,239 | ||||||
11,400 | OMNOVA Solutions, Inc. (a) | 114,000 | ||||||
29,500 | Trinseo SA | 2,141,700 | ||||||
|
| |||||||
3,802,785 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
9,759 | Berry Global Group, Inc. (a) | 572,560 | ||||||
17,800 | Graphic Packaging Holding Co. | 275,010 | ||||||
|
| |||||||
847,570 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
52,800 | AK Steel Holding Corp. (a) | 298,848 | ||||||
42,400 | Cleveland-Cliffs, Inc. (a) | 305,704 | ||||||
4,600 | Commercial Metals Co. | 98,072 | ||||||
3,400 | Ryerson Holding Corp. (a) | 35,360 | ||||||
23,400 | Warrior Met Coal, Inc. | 588,510 | ||||||
3,400 | Worthington Industries, Inc. | 149,804 | ||||||
|
| |||||||
1,476,298 | ||||||||
|
| |||||||
Paper & Forest Products — 1.4% |
| |||||||
10,600 | Boise Cascade Co. | 422,940 | ||||||
28,800 | Louisiana-Pacific Corp. (a) | 756,288 | ||||||
22,600 | Schweitzer-Mauduit International, Inc. | 1,025,136 | ||||||
27,805 | Verso Corp., Class A (a) | 488,534 | ||||||
|
| |||||||
2,692,898 | ||||||||
|
| |||||||
Total Materials | 8,819,551 | |||||||
|
| |||||||
Real Estate — 6.4% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.4% |
| |||||||
7,700 | Armada Hoffler Properties, Inc. | 119,581 | ||||||
118,400 | Ashford Hospitality Trust, Inc. | 796,832 | ||||||
18,900 | Bluerock Residential Growth REIT, Inc. | 191,079 | ||||||
7,300 | Chatham Lodging Trust | 166,148 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
8,400 | Chesapeake Lodging Trust | 227,556 | ||||||
800 | CorEnergy Infrastructure Trust, Inc. | 30,560 | ||||||
4,600 | CoreSite Realty Corp. | 523,940 | ||||||
22,638 | Cousins Properties, Inc. | 209,402 | ||||||
2,000 | CyrusOne, Inc. | 119,060 | ||||||
6,843 | DCT Industrial Trust, Inc. | 402,232 | ||||||
13,100 | DiamondRock Hospitality Co. | 147,899 | ||||||
4,300 | Easterly Government Properties, Inc. | 91,762 | ||||||
6,433 | Education Realty Trust, Inc. | 224,640 | ||||||
34,600 | First Industrial Realty Trust, Inc. | 1,088,862 | ||||||
2,600 | Franklin Street Properties Corp. | 27,924 | ||||||
63,150 | GEO Group, Inc. (The) | 1,490,340 | ||||||
20,700 | Getty Realty Corp. | 562,212 | ||||||
5,800 | Highwoods Properties, Inc. | 295,278 | ||||||
4,400 | Hudson Pacific Properties, Inc. | 150,700 | ||||||
11,700 | InfraREIT, Inc. | 217,386 | ||||||
6,700 | LaSalle Hotel Properties | 188,069 | ||||||
5,600 | New Senior Investment Group, Inc. | 42,336 | ||||||
16,959 | NexPoint Residential Trust, Inc. | 473,834 | ||||||
30,300 | Preferred Apartment Communities, Inc., Class A | 613,575 | ||||||
1,375 | PS Business Parks, Inc. | 171,999 | ||||||
18,600 | Ramco-Gershenson Properties Trust | 273,978 | ||||||
31,400 | Retail Opportunity Investments Corp. | 626,430 | ||||||
17,900 | Rexford Industrial Realty, Inc. | 521,964 | ||||||
17,000 | RLJ Lodging Trust | 373,490 | ||||||
38,900 | Summit Hotel Properties, Inc. | 592,447 | ||||||
2,100 | Sun Communities, Inc. | 194,838 | ||||||
35,825 | Sunstone Hotel Investors, Inc. | 592,187 | ||||||
1,400 | Urban Edge Properties | 35,686 | ||||||
18,200 | Xenia Hotels & Resorts, Inc. | 392,938 | ||||||
|
| |||||||
Total Real Estate | 12,177,164 | |||||||
|
| |||||||
Telecommunication Services — 0.0% (g) |
| |||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
5,800 | IDT Corp., Class B (a) | 61,480 | ||||||
|
| |||||||
Utilities — 2.9% |
| |||||||
Electric Utilities — 1.6% |
| |||||||
1,225 | El Paso Electric Co. | 67,804 | ||||||
4,600 | IDACORP, Inc. | 420,256 | ||||||
2,750 | MGE Energy, Inc. | 173,525 | ||||||
6,300 | PNM Resources, Inc. | 254,835 | ||||||
29,775 | Portland General Electric Co. | 1,357,144 | ||||||
58,400 | Spark Energy, Inc., Class A | 724,160 | ||||||
|
| |||||||
2,997,724 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Gas Utilities — 0.8% |
| |||||||
10,700 | New Jersey Resources Corp. | 430,140 | ||||||
10,000 | Southwest Gas Holdings, Inc. | 804,800 | ||||||
3,700 | WGL Holdings, Inc. | 317,608 | ||||||
|
| |||||||
1,552,548 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.5% |
| |||||||
37,100 | Atlantic Power Corp. (a) | 87,185 | ||||||
11,700 | Dynegy, Inc. (a) | 138,645 | ||||||
10,800 | NRG Yield, Inc., Class C | 204,120 | ||||||
8,600 | Ormat Technologies, Inc. | 550,056 | ||||||
|
| |||||||
980,006 | ||||||||
|
| |||||||
Water Utilities — 0.0% (g) |
| |||||||
1,900 | Consolidated Water Co. Ltd., | 23,940 | ||||||
|
| |||||||
Total Utilities | 5,554,218 | |||||||
|
| |||||||
Total Common Stocks | 186,701,207 | |||||||
|
|
NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
Warrant — 0.0% | ||||||||
Financials — 0.0% |
| |||||||
Consumer Finance — 0.0% |
| |||||||
355 | Emergent Capital, Inc., expiring 10/01/2019 | — | ||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investment — 1.8% | ||||||||
Investment Company — 1.8% |
| |||||||
3,446,991 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 3,446,991 | ||||||
|
| |||||||
Total Investments — 99.9% | 190,148,198 | |||||||
Other Assets in Excess of | 148,514 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 190,296,712 | ||||||
|
|
Percentages indicated are based on net assets.
Futures contracts outstanding as of December 31, 2017: | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts | ||||||||||||||||||
Russell 2000 E-Mini Index | 42 | 03/2018 | USD | 3,226,650 | (15,287 | ) | ||||||||||||
|
| |||||||||||||||||
(15,287 | ) | |||||||||||||||||
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
REIT | — Real Estate Investment Trust | |
USD | — United States Dollar | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(g) | — Amount rounds to less than 0.05%. | |
(l) | — The rate shown is the current yield as of December 31, 2017. | |
(bb) | — Security has been valued using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017
Small Cap Core Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 186,701,207 | ||
Investments in affiliates, at value | 3,446,991 | |||
Cash | 4,459 | |||
Deposits at broker for futures contracts | 265,000 | |||
Receivables: | ||||
Investment securities sold | 446,973 | |||
Portfolio shares sold | 26,348 | |||
Dividends from non-affiliates | 176,902 | |||
Dividends from affiliates | 2,587 | |||
|
| |||
Total Assets | 191,070,467 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 550,320 | |||
Portfolio shares redeemed | 27,417 | |||
Variation margin on futures contracts | 27,561 | |||
Accrued liabilities: | ||||
Investment advisory fees | 104,271 | |||
Administration fees | 13,041 | |||
Distribution fees | 236 | |||
Custodian and accounting fees | 9,560 | |||
Trustees’ and Chief Compliance Officer’s fees | 63 | |||
Other | 41,286 | |||
|
| |||
Total Liabilities | 773,755 | |||
|
| |||
Net Assets | $ | 190,296,712 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 127,992,669 | ||
Accumulated undistributed net investment income | 733,284 | |||
Accumulated net realized gains (losses) | 11,304,231 | |||
Net unrealized appreciation (depreciation) | 50,266,528 | |||
|
| |||
Total Net Assets | $ | 190,296,712 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 189,186,215 | ||
Class 2 | 1,110,497 | |||
|
| |||
Total | $ | 190,296,712 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 7,377,794 | |||
Class 2 | 43,696 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 25.64 | ||
Class 2 | 25.41 | |||
|
| |||
Cost of investments in non-affiliates | $ | 136,419,392 | ||
Cost of investments in affiliates | 3,446,991 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Small Cap Core Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 2,155,876 | ||
Dividend income from affiliates | 28,876 | |||
|
| |||
Total investment income | 2,184,752 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 1,155,838 | |||
Administration fees | 145,015 | |||
Distribution fees — Class 2 | 3,310 | |||
Custodian and accounting fees | 34,971 | |||
Professional fees | 58,794 | |||
Trustees’ and Chief Compliance Officer’s fees | 25,616 | |||
Printing and mailing costs | 38,107 | |||
Transfer agency fees — Class 1 | 4,987 | |||
Transfer agency fees — Class 2 | 246 | |||
Other | 15,698 | |||
|
| |||
Total expenses | 1,482,582 | |||
|
| |||
Less fees waived | (9,078 | ) | ||
|
| |||
Net expenses | 1,473,504 | |||
|
| |||
Net investment income (loss) | 711,248 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 11,988,264 | |||
Futures contracts | 468,311 | |||
|
| |||
Net realized gain (loss) | 12,456,575 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 12,321,085 | |||
Futures contracts | 48,765 | |||
|
| |||
Change in net unrealized appreciation/depreciation | 12,369,850 | |||
|
| |||
Net realized/unrealized gains (losses) | 24,826,425 | |||
|
| |||
Change in net assets resulting from operations | $ | 25,537,673 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Small Cap Core Portfolio | ||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 711,248 | $ | 597,757 | ||||
Net realized gain (loss) | 12,456,575 | 1,267,265 | ||||||
Change in net unrealized appreciation/depreciation | 12,369,850 | 24,980,264 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 25,537,673 | 26,845,286 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (572,218 | ) | (678,458 | ) | ||||
From net realized gains | (1,256,277 | ) | (10,603,179 | ) | ||||
Class 2 | ||||||||
From net investment income | (1,794 | ) | (2,093 | ) | ||||
From net realized gains | (10,866 | ) | (98,949 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (1,841,155 | ) | (11,382,679 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 3,529,189 | 23,522,371 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 27,225,707 | 38,984,978 | ||||||
Beginning of period | 163,071,005 | 124,086,027 | ||||||
|
|
|
| |||||
End of period | $ | 190,296,712 | $ | 163,071,005 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 733,284 | $ | 616,341 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 40,588,699 | $ | 46,155,750 | ||||
Distributions reinvested | 1,828,495 | 11,281,637 | ||||||
Cost of shares redeemed | (38,267,557 | ) | (34,127,527 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 4,149,637 | $ | 23,309,860 | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 148,469 | $ | 426,340 | ||||
Distributions reinvested | 12,660 | 101,042 | ||||||
Cost of shares redeemed | (781,577 | ) | (314,871 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | (620,448 | ) | $ | 212,511 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 3,529,189 | $ | 23,522,371 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 1,735,157 | 2,327,550 | ||||||
Reinvested | 80,057 | 617,157 | ||||||
Redeemed | (1,619,403 | ) | (1,737,248 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 195,811 | 1,207,459 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 6,269 | 21,410 | ||||||
Reinvested | 558 | 5,564 | ||||||
Redeemed | (33,547 | ) | (16,438 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (26,720 | ) | 10,536 | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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DECEMBER 31, 2017 | 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) (a) | 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, 2017 | $ | 22.49 | $ | 0.10 | $ | 3.30 | $ | 3.40 | $ | (0.08 | ) | $ | (0.17 | ) | $ | (0.25 | ) | |||||||||||
Year Ended December 31, 2016 | 20.56 | 0.09 | 3.65 | 3.74 | (0.11 | ) | (1.70 | ) | (1.81 | ) | ||||||||||||||||||
Year Ended December 31, 2015 | 24.06 | 0.13 | (1.19 | ) | (1.06 | ) | (0.03 | ) | (2.41 | ) | (2.44 | ) | ||||||||||||||||
Year Ended December 31, 2014 | 24.03 | 0.04 | 1.98 | 2.02 | (0.03 | ) | (1.96 | ) | (1.99 | ) | ||||||||||||||||||
Year Ended December 31, 2013 | 16.98 | 0.05 | (d) | 7.11 | 7.16 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2017 | 22.30 | 0.02 | 3.29 | 3.31 | (0.03 | ) | (0.17 | ) | (0.20 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 20.38 | 0.04 | 3.62 | 3.66 | (0.04 | ) | (1.70 | ) | (1.74 | ) | ||||||||||||||||||
Year Ended December 31, 2015 | 23.90 | 0.07 | (1.18 | ) | (1.11 | ) | — | (2.41 | ) | (2.41 | ) | |||||||||||||||||
Year Ended December 31, 2014 | 23.91 | (0.02 | ) | 1.97 | 1.95 | — | (1.96 | ) | (1.96 | ) | ||||||||||||||||||
Year Ended December 31, 2013 | 16.90 | (0.01 | )(d) | 7.09 | 7.08 | (0.07 | ) | — | (0.07 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(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 $0.01 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset end of period | Total return (b) | Net assets, end of period | Net expenses (c) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 25.64 | 15.23 | % | $ | 189,186,215 | 0.83 | % | 0.40 | % | 0.83 | % | 51 | % | |||||||||||||
22.49 | 20.21 | 161,500,800 | 0.87 | 0.46 | 0.87 | 55 | ||||||||||||||||||||
20.56 | (5.28 | ) | 122,865,455 | 0.85 | 0.56 | 0.86 | 52 | |||||||||||||||||||
24.06 | 9.59 | 111,175,638 | 0.87 | 0.19 | 0.87 | 54 | ||||||||||||||||||||
24.03 | 42.38 | 105,229,638 | 0.90 | 0.24 | (d) | 0.91 | 56 | |||||||||||||||||||
25.41 | 14.93 | 1,110,497 | 1.09 | 0.10 | 1.10 | 51 | ||||||||||||||||||||
22.30 | 19.88 | 1,570,205 | 1.12 | 0.20 | 1.13 | 55 | ||||||||||||||||||||
20.38 | (5.55 | ) | 1,220,572 | 1.14 | 0.30 | 1.15 | 52 | |||||||||||||||||||
23.90 | 9.30 | 1,600,865 | 1.12 | (0.09 | ) | 1.13 | 54 | |||||||||||||||||||
23.91 | 42.02 | 2,154,402 | 1.16 | (0.03 | )(d) | 1.16 | 56 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
AS OF DECEMBER 31, 2017
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 transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
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 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the 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 affiliated and unaffiliated 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 Underlying Fund’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.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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• | 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) | $ | 190,148,198 | $ | — | $ | — | (b) | $ | 190,148,198 | |||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | (15,287 | ) | $ | — | $ | — | $ | (15,287 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All Portfolio holdings designated in level 1 and level 3 are disclosed individually in the SOI. Level 3 consists of warrants. Please refer to the SOI for industry specifics of the portfolio holdings. |
(b) | Value is zero. |
There were no transfers among any levels during the year ended December 31, 2017.
B. Futures Contracts — The Portfolio used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Portfolio also bought futures contracts to invest incoming cash in the market or sold 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 on 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, 2017:
Futures Contracts: | ||||
Average Notional Balance Long | $ | 4,371,484 | ||
Ending Notional Balance Long | 3,226,650 |
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
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 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, 2017, 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 remain 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 excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (20,293 | ) | $ | 20,293 |
The reclassifications for the Portfolio relate primarily to non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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 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, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, 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 performing 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.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
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 (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) 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 agreement was in effect for the year ended December 31, 2017 and is in place until at least April 30, 2018.
For the year ended December 31, 2017, 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 Fees | ||||
$ | 1,013 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2017 was $8,065.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. 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 for the year ended December 31, 2017, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2017, the Portfolio incurred $220 in 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 for the year ended December 31, 2017, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 91,523,654 | $ | 87,750,540 |
During for the year ended December 31, 2017, there were no purchases or sales of U.S. Government Securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2017 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 140,660,124 | $ | 55,766,764 | $ | 6,293,977 | $ | 49,472,787 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 21 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Total Distributions Paid From: | ||||||||||||
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 574,009 | $ | 1,267,146 | $ | 1,841,155 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2016 was as follows:
Ordinary Income* | Net Long-Term | Total Distributions Paid | ||||||||||
$ | 2,081,724 | $ | 9,300,955 | $ | 11,382,679 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2017, the estimated 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) | ||||||||||
$ | 4,222,792 | $ | 8,606,097 | $ | 49,472,787 |
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.
At December 31, 2017, the Portfolio did not have any net capital loss carryforwards.
During the year ended December 31, 2017, the Portfolio utilized pre-enactment capital loss carryforwards of $115,035.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility 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. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
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Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended. The Portfolio did not utilize the Credit Facility during the year ended December 31, 2017.
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.
As of December 31, 2017, the Portfolio had two omnibus accounts which collectively represented 57.9% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Portfolio’s financial statements as of December 31, 2017. The adoption had no effect on the Portfolio’s net assets or results of operations.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Small Cap Core Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Small Cap Core Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2017, the related statement of operations for the year ended December 31, 2017, the statement of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the five years in the period ended December 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2018
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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 Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 138 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 138 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (1984-2012). | 138 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 138 | None | |||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 138 | Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 138 | 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). | 138 | 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). | 138 | None |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 25 |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
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) (1985-2005). | 138 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance). | |||
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). | 138 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
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). | 138 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-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). | 138 | None |
(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 (138 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | 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 was 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
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 to 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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
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. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP from 2006 to 2012. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Matthew J. Plastina (1970), Acting Treasurer and Principal Financial Officer (2017), formerly Assistant Treasurer (2011-2017)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
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 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 4 New York Plaza, 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, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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, 2017 | Ending Account Value December 31, 2017 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Small Cap Core Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,099.00 | $ | 4.39 | 0.83 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.02 | 4.23 | 0.83 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,097.60 | 5.82 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.66 | 5.60 | 1.10 |
* | Expenses are equal to each Class’s 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 2017, 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 16, 2017.
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. 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 Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). 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 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 J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
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.
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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 upon 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 Trustees 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 JPMIM 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 may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow the Portfolio’s shareholders to share potential economies of scale from a
Fund’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
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, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. 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 information for the Portfolio in a report prepared by Broadridge/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
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds in the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/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 Broadridge/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 for Class 1 shares was in the third, second and first quintiles based upon the Peer Group, and in the fourth, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, 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 Portfolio’s performance was satisfactory.
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 Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/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 based upon both the Peer Group and Universe, the Portfolio’s net advisory fee for Class 1 shares were in the second quintile, and actual total expenses were in the second and third quintile based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 31 |
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(Unaudited)
Dividend Received Deductions (DRD)
The Portfolio had 100.0% 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, 2017.
Long Term Capital Gain
The Portfolio distributed $1,267,146, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2017.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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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J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2017. All rights reserved December 2017. | AN-JPMITSCCP-1217 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2017
JPMorgan Insurance Trust U.S. Equity Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
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Investments in the Portfolio are not 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 prospectuses 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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February 1, 2018 (Unaudited)
Dear Shareholder,
U.S. economic growth accelerated through 2017, supported by synchronized growth in the global economy and central bank policies that helped push equity prices higher in the U.S. as well as most developed market and emerging market nations.
“Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy.” — George C.W. Gatch |
During the year, the U.S. entered its third longest economic expansion on record. Gross domestic product (GDP) rose by 1.8%, 1.2% and 3.2% in the first three quarters of 2017, respectively, and preliminary estimates put fourth quarter GDP growth at 2.6%. Unemployment fell steadily to 4.1% in December 2017 from 4.8% at the start of the year — though growth in wages remained weak — and U.S. consumer confidence reached a 17-year high in November 2017. Corporate profits rose strongly and received a boost from stable energy prices and a 10% decline in the value of the U.S. dollar over the course of the year.
Notably, three large hurricanes — along with wildfires and other natural disasters — combined to cause an estimated $306 billion in damage in the U.S., making 2017 the most expensive year to date for natural disasters. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates three times in 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during 2017, which provided support for the domestic economy and for financial markets.
Globally, most developed market and emerging market economies also continued to grow throughout 2017. Growth in Europe was strong enough that the European Central Bank committed to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade. China’s GDP grew by an estimated 6.8%
in 2017, supported by personal consumption and growth in foreign trade, according to the World Bank.
Roughly 120 countries, comprising three-fourths of global GDP, experienced increased economic growth in 2017 relative to 2016, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns throughout 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities for the year.
In the U.S., the Standard & Poor’s 500 Index (the “S&P 500”) reached 62 new closing highs during 2017 — the second largest number on record — and posted positive total returns (dividends included) in each month of the year for the first time since the current formula of the benchmark index was created in 1957. At the same time, equity market volatility fell to historic lows and by the end of 2017, U.S. stock prices overall hadn’t experienced a decline of 3% or greater for 14 consecutive months. While U.S. fixed income markets largely provided positive returns during the year, they underperformed equity markets.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited external demand and a reduction in U.S. corporate tax rates from the Tax Cuts and Jobs Act of 2017. Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 22.33% | |||
S&P 500 Index** | 21.83% | |||
Net Assets as of 12/31/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 111,560,628 |
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?
Equity markets in the U.S. and elsewhere rallied throughout 2017 amid synchronized global economic growth, central bank stimulus and rising corporate profits.
During the year, the Standard & Poor’s 500 Index (S&P 500) reached 62 new closing highs — the most since 1995 — and, for the first time ever, posted positive total returns in all twelve months (when dividends are included). December 2017 marked the fourteenth consecutive month of gains for the S&P 500. In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks generally outperformed value stocks and large caps stocks generally outperformed small cap and mid cap stocks. For the twelve months ended December 31, 2017, the S&P 500 returned 21.83%.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares outperformed the S&P 500 (the “Benchmark”) for the twelve months ended December 31, 2017. The Portfolio’s security selection in the software & services sector and the auto & transportation sector was a leading contributor to performance relative to the Benchmark, while the Portfolio’s security selection in the industrial cyclical and pharmaceutical/medical technology sector was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Portfolio’s overweight positions in UnitedHealth Group Inc., Vertex Pharmaceuticals Inc. and Broadcom Ltd. Shares of UnitedHealth, a health insurer, rose after the company reported better-than-expected earnings. Shares of Vertex Pharmaceuticals, a drug maker, rose amid investor expectations of revenue growth from the company’s cystic fibrosis treatment. Shares of Broadcom, a semiconductor maker, rose after the company forecast better-than-expected earnings and revenue.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Walt Disney Co. and General Electric Co. and its underweight position in Boeing Co. Shares of Walt Disney, a media and entertainment company, fell on lower-than-expected revenue and on news that the company would buy the entertainment assets of 21st Century Fox Inc. Shares of General Electric, an industrial conglomerate, fell amid the company’s efforts to implement a restructuring plan. Shares of Boeing, an aircraft manufacturer, rose amid growth in new orders, an increase in the company’s stock dividend and an $18 billion stock repurchase plan.
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’s largest average overweight position compared with the Benchmark was in the insurance sector and its largest average underweight position was in the real estate investment trusts sector.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Microsoft Corp. | 4.1 | % | |||||
2. | Apple, Inc. | 3.9 | ||||||
3. | Bank of America Corp. | 2.5 | ||||||
4. | Pfizer, Inc. | 2.4 | ||||||
5. | Alphabet, Inc., Class A | 2.4 | ||||||
6. | Citigroup, Inc. | 2.4 | ||||||
7. | Visa, Inc., Class A | 2.4 | ||||||
8. | UnitedHealth Group, Inc. | 2.3 | ||||||
9. | Amazon.com, Inc. | 2.2 | ||||||
10. | Walt Disney Co. (The) | 2.1 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||||||
Information Technology | 26.3 | % | ||||||
Financials | 14.1 | |||||||
Consumer Discretionary | 13.8 | |||||||
Health Care | 13.8 | |||||||
Industrials | 12.0 | |||||||
Consumer Staples | 7.3 | |||||||
Energy | 6.2 | |||||||
Utilities | 2.6 | |||||||
Materials | 1.7 | |||||||
Others (each less than 1.0%) | 1.1 | |||||||
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. |
** | “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, 2017. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS 1 SHARES | March 30, 1995 | 22.33 | % | 16.26 | % | 9.27 | % | |||||||||
CLASS 2 SHARES | August 16, 2006 | 22.04 | 15.97 | 9.00 |
TEN YEAR PERFORMANCE (12/31/07 TO 12/31/17)
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 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, 2007 to December 31, 2017. 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.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — 99.0% | ||||||||
Consumer Discretionary — 13.9% | ||||||||
Auto Components — 0.2% |
| |||||||
4,389 | Delphi Technologies plc (a) | 230,291 | ||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
25,202 | Ford Motor Co. | 314,773 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.3% |
| |||||||
3,718 | Hilton Worldwide Holdings, Inc. | 296,919 | ||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
4,466 | Lennar Corp., Class A | 282,430 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 2.5% |
| |||||||
2,146 | Amazon.com, Inc. (a) | 2,509,683 | ||||||
2,255 | Expedia, Inc. | 270,081 | ||||||
|
| |||||||
2,779,764 | ||||||||
|
| |||||||
Media — 4.3% |
| |||||||
1,912 | Charter Communications, Inc., Class A (a) | 642,356 | ||||||
18,524 | Comcast Corp., Class A | 741,886 | ||||||
13,950 | DISH Network Corp., Class A (a) | 666,113 | ||||||
11,942 | Twenty-First Century Fox, Inc., Class A | 412,357 | ||||||
21,732 | Walt Disney Co. (The) | 2,336,407 | ||||||
|
| |||||||
4,799,119 | ||||||||
|
| |||||||
Multiline Retail — 0.1% |
| |||||||
1,417 | Dollar Tree, Inc. (a) | 152,058 | ||||||
|
| |||||||
Specialty Retail — 4.6% |
| |||||||
1,092 | AutoZone, Inc. (a) | 776,816 | ||||||
5,478 | Home Depot, Inc. (The) | 1,038,245 | ||||||
19,072 | Lowe’s Cos., Inc. | 1,772,552 | ||||||
3,820 | O’Reilly Automotive, Inc. (a) | 918,863 | ||||||
5,289 | TJX Cos., Inc. (The) | 404,397 | ||||||
877 | Ulta Beauty, Inc. (a) | 196,150 | ||||||
|
| |||||||
5,107,023 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% |
| |||||||
19,465 | NIKE, Inc., Class B | 1,217,536 | ||||||
1,997 | PVH Corp. | 274,008 | ||||||
|
| |||||||
1,491,544 | ||||||||
|
| |||||||
Total Consumer Discretionary | 15,453,921 | |||||||
|
| |||||||
Consumer Staples — 7.3% |
| |||||||
Beverages — 3.1% |
| |||||||
23,231 | Coca-Cola Co. (The) | 1,065,838 | ||||||
9,257 | Molson Coors Brewing Co., Class B | 759,722 | ||||||
13,496 | PepsiCo, Inc. | 1,618,441 | ||||||
|
| |||||||
3,444,001 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 2.1% |
| |||||||
3,407 | Costco Wholesale Corp. | 634,111 | ||||||
8,842 | CVS Health Corp. | 641,045 | ||||||
25,372 | Kroger Co. (The) | 696,461 | ||||||
5,187 | Walgreens Boots Alliance, Inc. | 376,680 | ||||||
|
| |||||||
2,348,297 | ||||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
21,530 | Mondelez International, Inc., Class A | 921,484 | ||||||
|
| |||||||
Tobacco — 1.3% |
| |||||||
13,486 | Philip Morris International, Inc. | 1,424,796 | ||||||
|
| |||||||
Total Consumer Staples | 8,138,578 | |||||||
|
| |||||||
Energy — 6.2% |
| |||||||
Oil, Gas & Consumable Fuels — 6.2% |
| |||||||
4,642 | Anadarko Petroleum Corp. | 248,997 | ||||||
9,800 | Cabot Oil & Gas Corp. | 280,280 | ||||||
1,463 | Chevron Corp. | 183,153 | ||||||
7,620 | Concho Resources, Inc. (a) | 1,144,676 | ||||||
4,678 | Diamondback Energy, Inc. (a) | 590,598 | ||||||
17,463 | EOG Resources, Inc. | 1,884,432 | ||||||
4,685 | EQT Corp. | 266,670 | ||||||
6,927 | Occidental Petroleum Corp. | 510,243 | ||||||
9,535 | Parsley Energy, Inc., Class A (a) | 280,710 | ||||||
7,130 | Pioneer Natural Resources Co. | 1,232,421 | ||||||
6,501 | RSP Permian, Inc. (a) | 264,461 | ||||||
|
| |||||||
Total Energy | 6,886,641 | |||||||
|
| |||||||
Financials — 14.1% |
| |||||||
Banks — 6.7% |
| |||||||
94,238 | Bank of America Corp. | 2,781,906 | ||||||
35,862 | Citigroup, Inc. | 2,668,491 | ||||||
941 | First Republic Bank | 81,528 | ||||||
23,047 | Huntington Bancshares, Inc. | 335,564 | ||||||
7,916 | SunTrust Banks, Inc. | 511,295 | ||||||
18,325 | Wells Fargo & Co. | 1,111,778 | ||||||
|
| |||||||
7,490,562 | ||||||||
|
| |||||||
Capital Markets — 2.8% |
| |||||||
1,828 | Ameriprise Financial, Inc. | 309,791 | ||||||
4,853 | Bank of New York Mellon Corp. (The) | 261,382 | ||||||
9,573 | Charles Schwab Corp. (The) | 491,765 | ||||||
4,459 | Intercontinental Exchange, Inc. | 314,627 | ||||||
33,914 | Morgan Stanley | 1,779,468 | ||||||
|
| |||||||
3,157,033 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
9,039 | Capital One Financial Corp. | 900,104 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 5 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Diversified Financial Services — 0.5% |
| |||||||
12,220 | Voya Financial, Inc. | 604,523 | ||||||
|
| |||||||
Insurance — 3.3% |
| |||||||
20,397 | American International Group, Inc. | 1,215,253 | ||||||
4,744 | Chubb Ltd. | 693,241 | ||||||
14,936 | Hartford Financial Services Group, Inc. (The) | 840,598 | ||||||
17,531 | MetLife, Inc. | 886,368 | ||||||
|
| |||||||
3,635,460 | ||||||||
|
| |||||||
Total Financials | 15,787,682 | |||||||
|
| |||||||
Health Care — 13.8% |
| |||||||
Biotechnology — 2.0% |
| |||||||
3,020 | Biogen, Inc. (a) | 962,082 | ||||||
1,525 | BioMarin Pharmaceutical, Inc. (a) | 135,984 | ||||||
2,062 | Incyte Corp. (a) | 195,292 | ||||||
6,076 | Vertex Pharmaceuticals, Inc. (a) | 910,549 | ||||||
|
| |||||||
2,203,907 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.5% |
| |||||||
48,089 | Boston Scientific Corp. (a) | 1,192,126 | ||||||
4,054 | Zimmer Biomet Holdings, Inc. | 489,196 | ||||||
|
| |||||||
1,681,322 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.9% |
| |||||||
860 | Aetna, Inc. | 155,135 | ||||||
2,839 | AmerisourceBergen Corp. | 260,677 | ||||||
1,630 | Cigna Corp. | 331,037 | ||||||
11,646 | UnitedHealth Group, Inc. | 2,567,477 | ||||||
|
| |||||||
3,314,326 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
4,554 | Thermo Fisher Scientific, Inc. | 864,714 | ||||||
|
| |||||||
Pharmaceuticals — 6.6% |
| |||||||
2,893 | Allergan plc | 473,237 | ||||||
11,863 | Bristol-Myers Squibb Co. | 726,965 | ||||||
10,412 | Eli Lilly & Co. | 879,398 | ||||||
12,075 | Johnson & Johnson | 1,687,119 | ||||||
12,641 | Merck & Co., Inc. | 711,309 | ||||||
4,591 | Mylan NV (a) | 194,245 | ||||||
74,997 | Pfizer, Inc. | 2,716,391 | ||||||
|
| |||||||
7,388,664 | ||||||||
|
| |||||||
Total Health Care | 15,452,933 | |||||||
|
| |||||||
Industrials — 12.0% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
7,238 | General Dynamics Corp. | 1,472,571 | ||||||
1,599 | L3 Technologies, Inc. | 316,362 | ||||||
5,418 | Northrop Grumman Corp. | 1,662,839 | ||||||
|
| |||||||
3,451,772 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — 0.4% |
| |||||||
7,942 | Delta Air Lines, Inc. | 444,752 | ||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
10,179 | Masco Corp. | 447,265 | ||||||
|
| |||||||
Electrical Equipment — 1.3% |
| |||||||
18,943 | Eaton Corp. plc | 1,496,686 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
51,671 | General Electric Co. | 901,659 | ||||||
4,475 | Honeywell International, Inc. | 686,286 | ||||||
|
| |||||||
1,587,945 | ||||||||
|
| |||||||
Machinery — 2.7% |
| |||||||
4,039 | Caterpillar, Inc. | 636,466 | ||||||
8,843 | Ingersoll-Rand plc | 788,707 | ||||||
4,049 | Snap-on, Inc. | 705,741 | ||||||
5,051 | Stanley Black & Decker, Inc. | 857,104 | ||||||
|
| |||||||
2,988,018 | ||||||||
|
| |||||||
Road & Rail — 2.7% |
| |||||||
7,758 | CSX Corp. | 426,767 | ||||||
6,601 | Norfolk Southern Corp. | 956,485 | ||||||
12,068 | Union Pacific Corp. | 1,618,319 | ||||||
|
| |||||||
3,001,571 | ||||||||
|
| |||||||
Total Industrials | 13,418,009 | |||||||
|
| |||||||
Information Technology — 26.3% |
| |||||||
Internet Software & Services — 5.9% |
| |||||||
2,539 | Alphabet, Inc., Class A (a) | 2,674,582 | ||||||
2,172 | Alphabet, Inc., Class C (a) | 2,272,781 | ||||||
8,893 | Facebook, Inc., Class A (a) | 1,569,259 | ||||||
|
| |||||||
6,516,622 | ||||||||
|
| |||||||
IT Services — 5.5% |
| |||||||
9,280 | Accenture plc, Class A | 1,420,675 | ||||||
1,617 | Alliance Data Systems Corp. | 409,877 | ||||||
8,908 | International Business Machines Corp. | 1,366,666 | ||||||
23,395 | Visa, Inc., Class A | 2,667,498 | ||||||
1,825 | WEX, Inc. (a) | 257,745 | ||||||
|
| |||||||
6,122,461 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.9% |
| |||||||
16,572 | Analog Devices, Inc. | 1,475,405 | ||||||
2,308 | Broadcom Ltd. | 592,925 | ||||||
3,308 | Maxim Integrated Products, Inc. | 172,942 | ||||||
14,030 | Microchip Technology, Inc. | 1,232,956 | ||||||
5,091 | NVIDIA Corp. | 985,109 | ||||||
20,740 | Texas Instruments, Inc. | 2,166,086 | ||||||
|
| |||||||
6,625,423 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Software — 5.1% |
| |||||||
2,951 | Adobe Systems, Inc. (a) | 517,133 | ||||||
53,288 | Microsoft Corp. | 4,558,255 | ||||||
5,635 | Oracle Corp. | 266,423 | ||||||
3,170 | Workday, Inc., Class A (a) | 322,516 | ||||||
|
| |||||||
5,664,327 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.9% |
| |||||||
25,809 | Apple, Inc. | 4,367,657 | ||||||
|
| |||||||
Total Information Technology | 29,296,490 | |||||||
|
| |||||||
Materials — 1.7% |
| |||||||
�� | Chemicals — 0.7% |
| ||||||
7,791 | DowDuPont, Inc. | 554,875 | ||||||
2,167 | Eastman Chemical Co. | 200,751 | ||||||
|
| |||||||
755,626 | ||||||||
|
| |||||||
Construction Materials — 0.5% |
| |||||||
4,018 | Vulcan Materials Co. | 515,790 | ||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
9,832 | WestRock Co. | 621,481 | ||||||
|
| |||||||
Total Materials | 1,892,897 | |||||||
|
| |||||||
Real Estate — 0.4% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
1,374 | AvalonBay Communities, Inc. | 245,135 | ||||||
2,170 | Vornado Realty Trust | 169,651 | ||||||
|
| |||||||
Total Real Estate | 414,786 | |||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
4,875 | Verizon Communications, Inc. | 258,034 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
8,069 | T-Mobile US, Inc. (a) | 512,462 | ||||||
|
| |||||||
Total Telecommunication Services | 770,496 | |||||||
|
| |||||||
Utilities — 2.6% |
| |||||||
Electric Utilities — 2.4% |
| |||||||
5,482 | American Electric Power Co., Inc. | 403,311 | ||||||
7,830 | NextEra Energy, Inc. | 1,222,968 | ||||||
4,379 | PG&E Corp. | 196,310 | ||||||
16,584 | Xcel Energy, Inc. | 797,856 | ||||||
|
| |||||||
2,620,445 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
5,773 | CMS Energy Corp. | 273,063 | ||||||
|
| |||||||
Total Utilities | 2,893,508 | |||||||
|
| |||||||
Total Common Stocks | 110,405,941 | |||||||
|
| |||||||
Short-Term Investment — 1.1% | ||||||||
Investment Company — 1.1% |
| |||||||
1,222,588 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 1,222,588 | ||||||
|
| |||||||
Total Investments — 100.1% | 111,628,529 | |||||||
Liabilities in Excess of | (67,901 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 111,560,628 | ||||||
|
|
Percentages indicated are based on net assets.
Futures contracts outstanding as of December 31, 2017: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 5 | 03/2018 | USD | 669,000 | 4,165 | |||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
AS OF DECEMBER 31, 2017
USD | — United States Dollar | |
(a) | — Non-income producing security. | |
(b) | — Investment in affiliate. Money market fund is 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, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017
Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 110,405,941 | ||
Investments in affiliates, at value | 1,222,588 | |||
Cash | 279 | |||
Deposits at broker for futures contracts | 130,000 | |||
Receivables: | ||||
Investment securities sold | 218,251 | |||
Portfolio shares sold | 41,415 | |||
Dividend from non-affiliates | 92,129 | |||
Dividends from affiliates | 1,549 | |||
|
| |||
Total Assets | 112,112,152 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 359,095 | |||
Portfolio shares redeemed | 87,112 | |||
Variation margin on futures contracts | 3,013 | |||
Accrued liabilities: | ||||
Investment advisory fees | 45,356 | |||
Administration fees | 7,241 | |||
Distribution fees | 3,090 | |||
Custodian and accounting fees | 10,002 | |||
Trustees’ and Chief Compliance Officer’s fees | 136 | |||
Audit fees | 29,525 | |||
Other | 6,954 | |||
|
| |||
Total Liabilities | 551,524 | |||
|
| |||
Net Assets | $ | 111,560,628 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 70,455,110 | ||
Accumulated undistributed net investment income | 834,647 | |||
Accumulated net realized gains (losses) | 11,583,830 | |||
Net unrealized appreciation (depreciation) | 28,687,041 | |||
|
| |||
Total Net Assets | $ | 111,560,628 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 97,286,462 | ||
Class 2 | 14,274,166 | |||
|
| |||
Total | $ | 111,560,628 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 2,999,556 | |||
Class 2 | 444,983 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 32.43 | ||
Class 2 | 32.08 | |||
|
| |||
Cost of investments in non-affiliates | $ | 81,723,065 | ||
Cost of investments in affiliates | 1,222,588 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
U.S. Equity Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 1,728,079 | ||
Dividend income from affiliates | 9,681 | |||
|
| |||
Total investment income | 1,737,760 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 580,700 | |||
Administration fees | 86,108 | |||
Distribution fees — Class 2 | 34,138 | |||
Custodian and accounting fees | 39,655 | |||
Professional fees | 55,972 | |||
Trustees’ and Chief Compliance Officer’s fees | 25,705 | |||
Printing and mailing costs | 30,464 | |||
Transfer agency fees — Class 1 | 2,234 | |||
Transfer agency fees — Class 2 | 24 | |||
Other | 10,625 | |||
|
| |||
Total expenses | 865,625 | |||
|
| |||
Less fees waived | (35,764 | ) | ||
Less expense reimbursements | (214 | ) | ||
|
| |||
Net expenses | 829,647 | |||
|
| |||
Net investment income (loss) | 908,113 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 13,291,463 | |||
Futures contracts | 26,843 | |||
|
| |||
Net realized gain (loss) | 13,318,306 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 6,991,971 | |||
Futures contracts | 4,165 | |||
|
| |||
Change in net unrealized appreciation/depreciation | 6,996,136 | |||
|
| |||
Net realized/unrealized gains (losses) | 20,314,442 | |||
|
| |||
Change in net assets resulting from operations | $ | 21,222,555 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
U.S. Equity Portfolio | ||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 908,113 | $ | 912,612 | ||||
Net realized gain (loss) | 13,318,306 | 1,111,122 | ||||||
Change in net unrealized appreciation/depreciation | 6,996,136 | 8,001,760 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 21,222,555 | 10,025,494 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (798,168 | ) | (841,979 | ) | ||||
From net realized gains | (897,055 | ) | (2,988,480 | ) | ||||
Class 2 | ||||||||
From net investment income | (94,733 | ) | (87,125 | ) | ||||
From net realized gains | (138,618 | ) | (431,986 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (1,928,574 | ) | (4,349,570 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (7,690,499 | ) | (3,628,021 | ) | ||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 11,603,482 | 2,047,903 | ||||||
Beginning of period | 99,957,146 | 97,909,243 | ||||||
|
|
|
| |||||
End of period | $ | 111,560,628 | $ | 99,957,146 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 834,647 | $ | 852,570 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 10,490,572 | $ | 5,561,089 | ||||
Distributions reinvested | 1,695,223 | 3,830,459 | ||||||
Cost of shares redeemed | (19,596,047 | ) | (13,113,311 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | (7,410,252 | ) | $ | (3,721,763 | ) | ||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 3,044,402 | $ | 5,511,441 | ||||
Distributions reinvested | 233,351 | 519,111 | ||||||
Cost of shares redeemed | (3,558,000 | ) | (5,936,810 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | (280,247 | ) | $ | 93,742 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (7,690,499 | ) | $ | (3,628,021 | ) | ||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 353,589 | 221,761 | ||||||
Reinvested | 58,638 | 155,710 | ||||||
Redeemed | (664,413 | ) | (519,009 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (252,186 | ) | (141,538 | ) | ||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 104,979 | 220,937 | ||||||
Reinvested | 8,148 | 21,292 | ||||||
Redeemed | (119,787 | ) | (241,716 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (6,660 | ) | 513 | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | 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 | ||||||||||||||||||||||
U.S. Equity Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 27.03 | $ | 0.26 | (c) | $ | 5.69 | $ | 5.95 | $ | (0.26 | ) | $ | (0.29 | ) | $ | (0.55 | ) | ||||||||||
Year Ended December 31, 2016 | 25.50 | 0.26 | (c) | 2.42 | 2.68 | (0.25 | ) | (0.90 | ) | (1.15 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 26.75 | 0.26 | (c) | 0.01 | 0.27 | (0.30 | ) | (1.22 | ) | (1.52 | ) | |||||||||||||||||
Year Ended December 31, 2014 | 23.71 | 0.31 | (d) | 2.96 | 3.27 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended December 31, 2013 | 17.63 | 0.21 | (c) | 6.13 | 6.34 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2017 | 26.74 | 0.19 | (c) | 5.64 | 5.83 | (0.20 | ) | (0.29 | ) | (0.49 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 25.24 | 0.18 | (c) | 2.40 | 2.58 | (0.18 | ) | (0.90 | ) | (1.08 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 26.51 | 0.19 | (c) | 0.02 | 0.21 | (0.26 | ) | (1.22 | ) | (1.48 | ) | |||||||||||||||||
Year Ended December 31, 2014 | 23.53 | 0.27 | (d) | 2.91 | 3.18 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended December 31, 2013 | 17.54 | 0.16 | (c) | 6.08 | 6.24 | (0.25 | ) | — | (0.25 | ) |
(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 0.005% unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(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. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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 | ||||||||||||||||||||
$ | 32.43 | 22.28 | % | $ | 97,286,462 | 0.75 | % | 0.89 | % | 0.79 | % | 91 | % | |||||||||||||
27.03 | 10.98 | 87,878,389 | 0.80 | 0.98 | 0.80 | 61 | ||||||||||||||||||||
25.50 | 0.86 | 86,524,771 | 0.76 | 0.98 | 0.76 | 63 | ||||||||||||||||||||
26.75 | 13.90 | 91,227,570 | 0.78 | 1.16 | (d) | 0.80 | 78 | |||||||||||||||||||
23.71 | 36.29 | 87,386,499 | 0.79 | 1.02 | 0.80 | 80 | ||||||||||||||||||||
32.08 | 22.04 | 14,274,166 | 1.00 | 0.65 | 1.03 | 91 | ||||||||||||||||||||
26.74 | 10.65 | 12,078,757 | 1.05 | 0.73 | 1.05 | 61 | ||||||||||||||||||||
25.24 | 0.63 | 11,384,472 | 1.01 | 0.73 | 1.01 | 63 | ||||||||||||||||||||
26.51 | 13.61 | 13,930,084 | 1.03 | 1.01 | (d) | 1.04 | 78 | |||||||||||||||||||
23.53 | 35.90 | 5,623,314 | 1.02 | 0.77 | 1.04 | 80 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF DECEMBER 31, 2017
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 transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
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 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the 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 Underlying Fund’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.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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.
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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) | $ | 111,628,529 | $ | — | $ | — | $ | 111,628,529 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 4,165 | $ | — | $ | — | $ | 4,165 | ||||||||
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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, 2017.
B. Futures Contracts — The Portfolio used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Portfolio also bought futures contracts to invest incoming cash in the market or sold 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 on 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 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, 2017:
Futures Contracts: | ||||
Average Notional Balance Long | $ | 204,379 | ||
Ending Notional Balance Long | 669,000 |
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 15 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
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, 2017, 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 remain 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 excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (33,135 | ) | $ | 33,135 |
The reclassifications for the Portfolio relate primarily to non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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 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, 2017, 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 “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the JPMDS, 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 performing 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 (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) 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 | % |
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The expense limitation agreement was in effect for the year ended December 31, 2017 and is in place until at least April 30, 2018.
For the year ended December 31, 2017, 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 Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
$ | 33,033 | $ | 398 | $ | 33,431 | $ | 214 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2017 was $2,333.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the JPMDS. 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, 2017, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2017, the Portfolio incurred $1 in 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 year ended December 31, 2017, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 95,288,722 | $ | 103,891,228 |
During the year ended December 31, 2017, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2017, were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 84,430,688 | $ | 28,329,696 | $ | 1,127,690 | $ | 27,202,006 |
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, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 1,043,674 | $ | 884,900 | $ | 1,928,574 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
The tax character of distributions paid during the year ended December 31, 2016 was as follows:
Ordinary Income* | Net Long-Term | Total Distributions Paid | ||||||||||
$ | 929,104 | $ | 3,420,466 | $ | 4,349,570 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2017, the estimated 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) | ||||||||||
$ | 3,866,234 | $ | 10,051,845 | $ | 27,202,006 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
At December 31, 2017, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility 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. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2017.
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.
As of December 31, 2017, the Portfolio had three omnibus accounts which collectively represented 62.9% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
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8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Portfolio’s financial statements as of December 31, 2017. The adoption had no effect on the Portfolio’s net assets or result of operations.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust U.S. Equity Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust U.S. Equity Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2017, the related statement of operations for the year ended December 31, 2017, the statement of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the five years in the period ended December 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2018
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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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 Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 138 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 138 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (1984-2012). | 138 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 138 | None | |||
Raymond Kanner** (1953); Trustee of the Trusts since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 138 | Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 138 | 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). | 138 | 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). | 138 | None |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
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) (1985-2005). | 138 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance). | |||
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). | 138 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
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). | 138 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-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). | 138 | None |
(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 (138 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | 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 was 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
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 to 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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
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. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP from 2006 to 2012. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Matthew J. Plastina (1970), Acting Treasurer and Principal Financial Officer (2017), formerly Assistant Treasurer (2011-2017)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
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 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 23 |
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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, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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, 2017 | Ending Account Value December 31, 2017 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Equity Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,117.50 | $ | 3.84 | 0.72 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.58 | 3.67 | 0.72 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,116.20 | 5.17 | 0.97 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.32 | 4.94 | 0.97 |
* | Expenses are equal to each Class’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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 2017, 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 16, 2017.
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. 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 Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). 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 attrib-
uted 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 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 J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
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, 2017 | JPMORGAN INSURANCE TRUST | 25 |
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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 upon 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 Trustees 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 JPMIM 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 may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted the Fund has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allows the Portfolio’s shareholders to share potential economies of scale from the Portfo-
lio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
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, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. 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 information for the Portfolio in a report prepared by Broadridge/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
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/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 Broadridge/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 for Class 1 shares was in the first quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2016, and in the second, first and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2016, 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 Portfolio’s performance was satisfactory.
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 Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/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 for Class 1 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class 1 shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 27 |
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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, 2017.
Long-Term Capital Gain
The portfolio distributed $884,900, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2017.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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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J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | AN-JPMITUSEP-1217 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2017
JPMorgan Insurance Trust Income Builder Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
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Investments in the Portfolio are not 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 prospectuses 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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February 1, 2018 (Unaudited)
Dear Shareholder,
U.S. economic growth accelerated through 2017, supported by synchronized growth in the global economy and central bank policies that helped push equity prices higher in the U.S. as well as most developed market and emerging market nations.
“Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy.” — George C.W. Gatch |
During the year, the U.S. entered its third longest economic expansion on record. Gross domestic product (GDP) rose by 1.8%, 1.2% and 3.2% in the first three quarters of 2017, respectively, and preliminary estimates put fourth quarter GDP growth at 2.6%. Unemployment fell steadily to 4.1% in December 2017 from 4.8% at the start of the year — though growth in wages remained weak — and U.S. consumer confidence reached a 17-year high in November 2017. Corporate profits rose strongly and received a boost from stable energy prices and a 10% decline in the value of the U.S. dollar over the course of the year.
Notably, three large hurricanes — along with wildfires and other natural disasters — combined to cause an estimated $306 billion in damage in the U.S., making 2017 the most expensive year to date for natural disasters. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates three times in 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during 2017, which provided support for the domestic economy and for financial markets.
Globally, most developed market and emerging market economies also continued to grow throughout 2017. Growth in Europe was strong enough that the European Central Bank committed to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic expansion in a decade. China’s GDP grew by an estimated 6.8%
in 2017, supported by personal consumption and growth in foreign trade, according to the World Bank.
Roughly 120 countries, comprising three-fourths of global GDP, experienced increased economic growth in 2017 relative to 2016, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns throughout 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities for the year.
In the U.S., the Standard & Poor’s 500 Index (the “S&P 500”) reached 62 new closing highs during 2017 — the second largest number on record — and posted positive total returns (dividends included) in each month of the year for the first time since the current formula of the benchmark index was created in 1957. At the same time, equity market volatility fell to historic lows and by the end of 2017, U.S. stock prices overall hadn’t experienced a decline of 3% or greater for 14 consecutive months. While U.S. fixed income markets largely provided positive returns during the year, they underperformed equity markets.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited external demand and a reduction in U.S. corporate tax rates from the Tax Cuts and Jobs Act of 2017. Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Income Builder Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* | | 11.70% | | |
MSCI World Index (net of foreign withholding taxes) | 22.40% | |||
Income Builder Composite Benchmark | 14.52% | |||
Net Assets as of 12/31/2017 | $ | 50,898,316 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Income Builder Portfolio (the “Portfolio”) seeks to maximize income while maintaining prospects for capital appreciation.
HOW DID THE MARKET PERFORM?
Equity markets in the U.S. and elsewhere rallied throughout 2017 amid synchronized global economic growth, central bank stimulus and rising corporate profits.
During the year, the Standard & Poor’s 500 Index (S&P 500) reached 62 new closing highs — the most since 1995 — and, for the first time ever, posted positive total returns in all twelve months (when dividends are included). December 2017 marked the fourteenth consecutive month of gains for the S&P 500. In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year, and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks generally outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks. Meanwhile, fixed-income securities experienced positive but lackluster returns. High yield bonds (also known as “junk bonds”) slightly outperformed both investment grade corporate bonds and U.S. Treasury bonds.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 2 Shares underperformed both the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and the Income Builder Composite Benchmark (the “Composite”), which is made up of 60% Benchmark and 40% Bloomberg Barclays Aggregate Index, for the twelve months ended December 31, 2017.
The Portfolio’s allocation to fixed-income securities, which broadly underperformed global equity, detracted from the Fund’s performance relative to the Benchmark.
Relative to the Composite, the Portfolio’s underweight allocation to U.S. equity was a leading detractor from performance. The Portfolio’s allocation to international developed market and emerging market equity, as well as its allocation to corporate bonds, made a positive contribution to relative performance. The Portfolio’s broadly increased weighting in equities during 2017 also helped relative performance.
HOW WAS THE PORTFOLIO POSITIONED?
During the reporting period, the Portfolio was positioned to tactically pursue income. The portfolio managers increased their allocation to equities given their expectation for better global economic growth and relatively slow tightening by global central banks.
TOP TEN HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 5.5 | % | |||||
2. | JPMorgan Equity Income Fund, Class R6 Shares | 3.6 | ||||||
3. | HSBC Holdings plc, (United Kingdom) | 0.6 | ||||||
4. | Novartis AG (Registered), (Switzerland) | 0.6 | ||||||
5. | Rio Tinto plc, (United Kingdom) | 0.6 | ||||||
6. | Taiwan Semiconductor Manufacturing Co. Ltd., (Taiwan), ADR | 0.6 | ||||||
7. | Occidental Petroleum Corp. | 0.6 | ||||||
8. | RAMP Trust, Series 2005-RS6, Class M4, 2.53%, 06/25/2035 | 0.5 | ||||||
9. | Vodafone Group plc, (United Kingdom) | 0.5 | ||||||
10. | Pfizer, Inc. | 0.5 |
PORTFOLIO COMPOSITION*** | ||||
Common Stocks | 40.2 | % | ||
Corporate Bonds | 38.6 | |||
Investment Companies | 9.1 | |||
Asset-Backed Securities | 4.5 | |||
Collateralized Mortgage Obligations | 3.4 | |||
Others (each less than 1.0%) | 2.1 | |||
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. |
** | 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, 2017. The Portfolio’s composition is subject to change. |
ADR | — American Depositary Receipt |
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||
CLASS 1 SHARES | December 9, 2014 | 11.89 | % | 5.92 | % | 5.74 | % | |||||||||
CLASS 2 SHARES | December 9, 2014 | 11.70 | 5.68 | 5.51 |
LIFE OF PORTFOLIO PERFORMANCE (12/09/14 TO 12/31/17)
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 Bloomberg 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, 2017. 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 Bloomberg 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 Bloomberg 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.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — 4.5% | ||||||||
United States — 4.5% |
| |||||||
60,040 | ABFC Trust, Series 2004-OPT5, Class A1, 2.25%, 06/25/2034 (z) (bb) | 58,536 | ||||||
109,513 | ACE Securities Corp. Home Equity Loan Trust, Series 2003-HE1, Class M1, 2.53%, 11/25/2033 (z) | 107,531 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, | ||||||||
62,431 | Series 2003-10, Class M1, 2.60%, | 61,617 | ||||||
82,128 | Series 2003-10, Class M2, 4.10%, | 80,501 | ||||||
24,364 | AMRESCO Residential Securities Corp. Mortgage Loan Trust, Series 1997-1, Class A7, 7.61%, 03/25/2027 (bb) | 24,292 | ||||||
87,945 | Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE6, Class M2, 4.03%, 11/25/2033 (z) (bb) | 88,446 | ||||||
31,328 | Bear Stearns Asset-Backed Securities Trust, Series 2004-HE5, Class M2, 3.43%, 07/25/2034 (z) (bb) | 31,250 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
30,276 | Series 2004-2, Class M1, 2.30%, | 30,227 | ||||||
101,301 | Series 2006-19, Class 2A2, 1.71%, | 100,365 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust, | ||||||||
82,347 | Series 2004-5, Class M3, 3.28%, | 81,931 | ||||||
51,467 | Series 2004-5, Class M5, 3.88%, | 49,728 | ||||||
Fremont Home Loan Trust, | ||||||||
80,664 | Series 2003-A, Class M1, 2.53%, | 77,871 | ||||||
74,483 | Series 2004-1, Class M4, 2.98%, | 74,796 | ||||||
206,617 | GSAMP Trust, Series 2003-SEA, Class A1, 1.95%, 02/25/2033 (z) (bb) | 203,428 | ||||||
Home Equity Asset Trust, | ||||||||
95,913 | Series 2005-7, Class M1, 2.00%, | 96,251 | ||||||
47,857 | Series 2007-2, Class 2A2, 1.74%, | 47,721 | ||||||
65,815 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-B, Class 2A3, 1.74%, | 63,952 | ||||||
37,877 | Mastr Asset-Backed Securities Trust, Series 2004-OPT2, Class M1, 2.45%, | 37,329 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
Morgan Stanley ABS Capital I, Inc. Trust, | ||||||||
36,075 | Series 2003-NC10, Class M1, 2.57%, | 35,727 | ||||||
168,530 | Series 2003-SD1, Class M1, 3.80%, | 164,049 | ||||||
85,334 | Series 2004-HE3, Class M1, 2.41%, | 83,001 | ||||||
66,594 | Series 2004-NC7, Class M2, 2.48%, | 67,145 | ||||||
250,000 | RAMP Trust, Series 2005-RS6, Class M4, 2.53%, 06/25/2035 (z) (bb) | 250,129 | ||||||
37,783 | Renaissance Home Equity Loan Trust, Series 2003-3, Class A, 2.05%, 12/25/2033 (z) | 37,138 | ||||||
117,692 | Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP2, Class M3, 3.58%, 08/25/2034 (z) (bb) | 111,968 | ||||||
20,689 | Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1, 2.53%, 10/25/2033 (z) (bb) | 20,616 | ||||||
115,450 | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class A4, 1.72%, 01/25/2037 (z) | 111,898 | ||||||
75,539 | Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2006-3, Class A2, | 74,928 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $2,175,123) | 2,272,371 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 3.4% | ||||||||
United States — 3.4% |
| |||||||
45,732 | American Home Mortgage Investment Trust, Series 2005-1, Class 6A, 3.56%, 06/25/2045 (z) | 46,306 | ||||||
32,587 | Banc of America Funding Trust, Series 2006-A, Class 1A1, 3.63%, 02/20/2036 (z) | 32,259 | ||||||
20,704 | Banc of America Mortgage Trust, Series 2005-A, Class 2A2, 3.46%, 02/25/2035 (z) | 20,479 | ||||||
59,236 | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 3.52%, 05/25/2035 (z) | 60,065 | ||||||
Bear Stearns ARM Trust | ||||||||
139,470 | Series 2004-9, Class 22A1, 3.87%, 11/25/2034 (z) | 139,969 | ||||||
32,633 | Series 2006-1, Class A1, 3.67%, 02/25/2036 (z) | 32,696 | ||||||
73,650 | Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1, 3.41%, 09/25/2035 (z) | 74,479 |
SEE NOTES TO FINANCIAL STATEMENTS.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
United States — continued |
| |||||||
20,492 | First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 4A1, 3.49%, 02/25/2035 (z) | 20,405 | ||||||
208,058 | FNMA, Connecticut Avenue Securities, Series 2017-C05, Class 1M1, 2.10%, 01/25/2030 (z) | 208,323 | ||||||
60,385 | GSR Mortgage Loan Trust, Series 2005-AR3, Class 1A1, 1.99%, 05/25/2035 (z) | 57,787 | ||||||
Impac CMB Trust | ||||||||
76,820 | Series 2004-6, Class 1A2, 2.33%, 10/25/2034 (z) | 75,213 | ||||||
114,886 | Series 2004-7, Class 1A2, 2.47%, 11/25/2034 (z) | 111,638 | ||||||
180,947 | Series 2005-8, Class 1AM, 2.25%, 02/25/2036 (z) | 165,617 | ||||||
12,472 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/2036 | 12,067 | ||||||
33,636 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, 3.60%, 04/21/2034 (z) | 34,412 | ||||||
18,672 | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 4A3, 5.17%, 01/25/2037 (z) | 18,054 | ||||||
39,913 | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 4A, 3.53%, 07/25/2034 (z) | 39,338 | ||||||
69,281 | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-5, Class 1APT, 1.83%, 12/25/2035 (z) | 67,380 | ||||||
13,018 | Residential Asset Securitization Trust, Series 2004-A6, Class A1, 5.00%, 08/25/2019 | 12,980 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
29,022 | Series 2005-AR3, Class A1, 3.08%, 03/25/2035 (z) | 28,517 | ||||||
49,651 | Series 2005-AR5, Class A6, 3.03%, 05/25/2035 (z) | 49,973 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
51,055 | Series 2004-EE, Class 2A2, 3.42%, 12/25/2034 (z) | 52,374 | ||||||
61,296 | Series 2004-W, Class A1, 3.71%, 11/25/2034 (z) | 61,726 | ||||||
41,604 | Series 2004-Z, Class 2A2, 3.74%, 12/25/2034 (z) | 42,327 | ||||||
15,560 | Series 2005-16, Class A8, 5.75%, 01/25/2036 | 16,580 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
30,870 | Series 2005-AR1, Class 1A1, 3.25%, | 31,448 | ||||||
25,567 | Series 2005-AR2, Class 2A2, 3.28%, | 25,848 | ||||||
54,426 | Series 2005-AR3, Class 1A1, 3.46%, | 55,866 | ||||||
40,135 | Series 2005-AR3, Class 2A1, 3.54%, | 40,650 | ||||||
47,507 | Series 2006-AR2, Class 2A3, 3.54%, | 47,893 | ||||||
40,064 | Series 2006-AR3, Class A3, 3.27%, | 39,685 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $1,678,297) | 1,722,354 | |||||||
|
| |||||||
Commercial Mortgage-Backed Security — 0.1% | ||||||||
United States — 0.1% |
| |||||||
57,761 | LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class AJ, 5.45%, 09/15/2039 (z) | 45,891 | ||||||
|
| |||||||
SHARES | ||||||||
Common Stocks — 39.6% | ||||||||
Australia — 0.5% |
| |||||||
3,053 | BHP Billiton plc | 61,733 | ||||||
9,053 | Goodman Group | 59,320 | ||||||
30,973 | Mirvac Group | 56,643 | ||||||
27,939 | Scentre Group | 91,136 | ||||||
|
| |||||||
268,832 | ||||||||
|
| |||||||
Belgium — 0.2% |
| |||||||
445 | Ageas | 21,738 | ||||||
334 | KBC Group NV | 28,462 | ||||||
461 | Proximus SADP | 15,128 | ||||||
269 | Warehouses De Pauw CVA | 30,133 | ||||||
|
| |||||||
95,461 | ||||||||
|
| |||||||
Brazil — 1.0% |
| |||||||
20,983 | Ambev SA (Preference) | 134,611 | ||||||
13,154 | BB Seguridade Participacoes SA | 112,978 | ||||||
7,600 | Cielo SA | 53,888 | ||||||
6,853 | Engie Brasil Energia SA | 73,362 | ||||||
8,160 | Itau Unibanco Holding SA (Preference) | 104,746 | ||||||
1,542 | Smiles Fidelidade SA (a) | 35,283 | ||||||
|
| |||||||
514,868 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Canada — 0.3% |
| |||||||
1,592 | Allied Properties REIT | 53,295 | ||||||
1,803 | TransCanada Corp. | 87,754 | ||||||
|
| |||||||
141,049 | ||||||||
|
| |||||||
Chile — 0.3% |
| |||||||
4,134 | Banco Santander Chile, ADR | 129,270 | ||||||
|
| |||||||
China — 0.8% |
| |||||||
8,000 | China Mobile Ltd. | 80,896 | ||||||
62,000 | China Resources Power Holdings Co. Ltd. | 115,317 | ||||||
144,000 | CNOOC Ltd. | 206,729 | ||||||
|
| |||||||
402,942 | ||||||||
|
| |||||||
Czech Republic — 0.4% |
| |||||||
2,398 | Komercni banka A/S | 103,042 | ||||||
22,174 | Moneta Money Bank A/S, Reg. S (e) | 85,800 | ||||||
|
| |||||||
188,842 | ||||||||
|
| |||||||
Denmark — 0.4% |
| |||||||
751 | Danske Bank A/S | 29,230 | ||||||
1,491 | Novo Nordisk A/S, Class B | 80,120 | ||||||
393 | Pandora A/S | 42,718 | ||||||
1,458 | Tryg A/S | 36,472 | ||||||
|
| |||||||
188,540 | ||||||||
|
| |||||||
Finland — 0.8% |
| |||||||
847 | Elisa OYJ | 33,222 | ||||||
1,888 | Fortum OYJ | 37,366 | ||||||
417 | Neste OYJ | 26,693 | ||||||
808 | Nokian Renkaat OYJ | 36,646 | ||||||
888 | Sampo OYJ, Class A | 48,736 | ||||||
1,762 | Stora Enso OYJ, Class R | 27,915 | ||||||
6,160 | UPM-Kymmene OYJ | 191,236 | ||||||
|
| |||||||
401,814 | ||||||||
|
| |||||||
France — 2.6% |
| |||||||
4,575 | AXA SA | 135,572 | ||||||
1,053 | BNP Paribas SA | 78,331 | ||||||
406 | Bouygues SA | 21,066 | ||||||
508 | Cie de Saint-Gobain | 27,958 | ||||||
777 | Cie Generale des Etablissements Michelin | 111,154 | ||||||
966 | CNP Assurances | 22,283 | ||||||
2,266 | Credit Agricole SA | 37,416 | ||||||
2,562 | Engie SA | 44,045 | ||||||
1,221 | Eutelsat Communications SA | 28,269 | ||||||
343 | Fonciere Des Regions | 38,831 | ||||||
127 | Gecina SA | 23,451 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
France — continued |
| |||||||
526 | Klepierre SA | 23,120 | ||||||
4,656 | Natixis SA | 36,776 | ||||||
947 | Peugeot SA | 19,235 | ||||||
244 | Renault SA | 24,492 | ||||||
1,160 | Sanofi | 99,867 | ||||||
922 | Schneider Electric SE (a) | 78,168 | ||||||
907 | SCOR SE | 36,456 | ||||||
1,007 | Societe Generale SA | 51,916 | ||||||
1,988 | TOTAL SA | 109,738 | ||||||
681 | Unibail-Rodamco SE | 171,375 | ||||||
924 | Veolia Environnement SA | 23,561 | ||||||
823 | Vinci SA | 84,022 | ||||||
|
| |||||||
1,327,102 | ||||||||
|
| |||||||
Germany — 1.8% |
| |||||||
779 | Allianz SE (Registered) | 178,273 | ||||||
4,052 | Aroundtown SA | 31,193 | ||||||
238 | Axel Springer SE | 18,559 | ||||||
624 | BASF SE | 68,410 | ||||||
341 | Bayerische Motoren Werke AG | 35,356 | ||||||
2,154 | Daimler AG (Registered) | 182,143 | ||||||
2,417 | Deutsche Telekom AG (Registered) | 42,724 | ||||||
685 | Deutsche Wohnen SE | 29,877 | ||||||
2,725 | E.ON SE | 29,529 | ||||||
669 | Evonik Industries AG | 25,127 | ||||||
311 | Hannover Rueck SE | 39,019 | ||||||
203 | HUGO BOSS AG | 17,226 | ||||||
487 | METRO AG (a) | 9,700 | ||||||
129 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 27,858 | ||||||
879 | Schaeffler AG (Preference) | 15,510 | ||||||
538 | Siemens AG (Registered) | 74,490 | ||||||
2,162 | TUI AG | 44,791 | ||||||
558 | Vonovia SE | 27,647 | ||||||
|
| |||||||
897,432 | ||||||||
|
| |||||||
Hong Kong — 0.8% |
| |||||||
4,400 | Hang Seng Bank Ltd. | 109,159 | ||||||
62,000 | HKT Trust & HKT Ltd. | 79,039 | ||||||
1,900 | Hongkong Land Holdings Ltd. | 13,364 | ||||||
6,000 | Link REIT | 55,511 | ||||||
12,000 | New World Development Co. Ltd. | 17,986 | ||||||
15,600 | Sands China Ltd. | 80,297 | ||||||
46,500 | WH Group Ltd., Reg. S (e) | 52,494 | ||||||
|
| |||||||
407,850 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Hungary — 0.2% |
| |||||||
2,674 | OTP Bank plc | 110,439 | ||||||
|
| |||||||
India — 0.2% |
| |||||||
7,692 | Infosys Ltd., ADR | 124,764 | ||||||
|
| |||||||
Indonesia — 0.2% |
| |||||||
3,708 | Telekomunikasi Indonesia Persero Tbk. PT, ADR | 119,472 | ||||||
|
| |||||||
Ireland — 0.0% (g) |
| |||||||
2,229 | Bank of Ireland Group plc | 18,975 | ||||||
|
| |||||||
Italy — 0.7% |
| |||||||
1,510 | Assicurazioni Generali SpA | 27,484 | ||||||
693 | Atlantia SpA | 21,848 | ||||||
23,263 | Enel SpA | 143,050 | ||||||
17,008 | Intesa Sanpaolo SpA | 56,430 | ||||||
1,672 | Mediobanca SpA | 18,945 | ||||||
4,054 | Poste Italiane SpA, Reg. S (e) | 30,523 | ||||||
5,267 | Snam SpA | 25,795 | ||||||
3,356 | Terna Rete Elettrica Nazionale SpA | 19,509 | ||||||
|
| |||||||
343,584 | ||||||||
|
| |||||||
Japan — 0.9% |
| |||||||
9 | Activia Properties, Inc. | 37,671 | ||||||
1,800 | Bridgestone Corp. | 83,308 | ||||||
1,700 | Daiwa House Industry Co. Ltd. | 65,191 | ||||||
1,100 | Japan Airlines Co. Ltd. | 42,977 | ||||||
58 | Japan Hotel REIT Investment Corp. | 38,916 | ||||||
2,300 | Japan Tobacco, Inc. | 74,067 | ||||||
26 | Nippon Prologis REIT, Inc. | 54,988 | ||||||
1,300 | Nippon Telegraph & Telephone Corp. | 61,118 | ||||||
12 | Orix JREIT, Inc. | 16,625 | ||||||
|
| |||||||
474,861 | ||||||||
|
| |||||||
Mexico — 0.6% |
| |||||||
18,652 | Bolsa Mexicana de Valores SAB de CV | 32,072 | ||||||
43,393 | Fibra Uno Administracion SA de CV | 64,199 | ||||||
63,676 | Kimberly-Clark de Mexico SAB de CV, Class A | 112,115 | ||||||
34,689 | Wal-Mart de Mexico SAB de CV | 85,071 | ||||||
|
| |||||||
293,457 | ||||||||
|
| |||||||
Netherlands — 1.3% |
| |||||||
691 | ABN AMRO Group NV, Reg. S, CVA (e) | 22,278 | ||||||
6,526 | Aegon NV | 41,466 | ||||||
280 | Akzo Nobel NV | 24,569 | ||||||
232 | Eurocommercial Properties NV, CVA | 10,107 | ||||||
6,707 | ING Groep NV | 123,119 | ||||||
5,835 | Koninklijke Ahold Delhaize NV | 128,271 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Netherlands — continued |
| |||||||
7,396 | Koninklijke KPN NV | 25,822 | ||||||
1,329 | NN Group NV | 57,484 | ||||||
302 | Randstad Holding NV | 18,530 | ||||||
5,786 | Royal Dutch Shell plc, Class B | 194,838 | ||||||
675 | Vastned Retail NV | 33,449 | ||||||
|
| |||||||
679,933 | ||||||||
|
| |||||||
Norway — 0.3% |
| |||||||
1,332 | DNB ASA | 24,657 | ||||||
1,291 | Gjensidige Forsikring ASA | 24,351 | ||||||
2,278 | Statoil ASA | 48,769 | ||||||
1,939 | Telenor ASA | 41,508 | ||||||
|
| |||||||
139,285 | ||||||||
|
| |||||||
Portugal — 0.1% |
| |||||||
4,768 | EDP—Energias de Portugal SA | 16,505 | ||||||
1,180 | Galp Energia SGPS SA | 21,680 | ||||||
|
| |||||||
38,185 | ||||||||
|
| |||||||
Russia — 0.9% |
| |||||||
970 | LUKOIL PJSC, ADR | 55,267 | ||||||
2,955 | MMC Norilsk Nickel PJSC, ADR | 55,140 | ||||||
66,833 | Moscow Exchange MICEX-RTS PJSC | 126,088 | ||||||
1,487 | PhosAgro PJSC, Reg. S, GDR | 22,736 | ||||||
25,370 | Sberbank of Russia PJSC | 99,098 | ||||||
4,979 | Sberbank of Russia PJSC, ADR | 84,792 | ||||||
1,552 | Severstal PJSC, Reg. S, GDR | 23,922 | ||||||
|
| |||||||
467,043 | ||||||||
|
| |||||||
Singapore — 0.3% |
| |||||||
20 | Ascendas REIT | 41 | ||||||
30,947 | CapitaLand Commercial Trust | 44,577 | ||||||
3,500 | City Developments Ltd. | 32,550 | ||||||
3,500 | DBS Group Holdings Ltd. | 64,737 | ||||||
|
| |||||||
141,905 | ||||||||
|
| |||||||
South Africa — 1.0% |
| |||||||
13,396 | AVI Ltd. | 119,706 | ||||||
4,785 | Barclays Africa Group Ltd. | 70,098 | ||||||
2,260 | Bid Corp. Ltd. | 54,929 | ||||||
27,508 | FirstRand Ltd. | 148,917 | ||||||
8,583 | MMI Holdings Ltd. | 14,568 | ||||||
712 | Mondi plc | 18,504 | ||||||
2,608 | SPAR Group Ltd. (The) | 42,860 | ||||||
5,663 | Vodacom Group Ltd. | 66,412 | ||||||
|
| |||||||
535,994 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
South Korea — 0.6% |
| |||||||
647 | Kangwon Land, Inc. (a) | 21,031 | ||||||
984 | KT&G Corp. | 106,162 | ||||||
40 | Samsung Electronics Co. Ltd. | 95,036 | ||||||
170 | Samsung Fire & Marine Insurance Co. Ltd. (a) | 42,388 | ||||||
1,547 | SK Telecom Co. Ltd., ADR | 43,177 | ||||||
|
| |||||||
307,794 | ||||||||
|
| |||||||
Spain — 1.2% |
| |||||||
2,010 | Abertis Infraestructuras SA | 44,722 | ||||||
508 | ACS Actividades de Construccion y Servicios SA | 19,844 | ||||||
104 | Aena SME SA, Reg. S (e) | 21,047 | ||||||
5,188 | Banco Bilbao Vizcaya Argentaria SA | 44,089 | ||||||
11,851 | Banco de Sabadell SA | 23,494 | ||||||
10,760 | Banco Santander SA | 70,545 | ||||||
3,257 | Bankia SA | 15,546 | ||||||
1,827 | Bankinter SA | 17,283 | ||||||
7,990 | CaixaBank SA | 37,144 | ||||||
1,288 | Enagas SA | 36,836 | ||||||
1,298 | Endesa SA | 27,761 | ||||||
20,881 | Iberdrola SA | 161,646 | ||||||
1,491 | Red Electrica Corp. SA | 33,469 | ||||||
2,477 | Repsol SA | 43,735 | ||||||
|
| |||||||
597,161 | ||||||||
|
| |||||||
Sweden — 0.7% |
| |||||||
560 | Electrolux AB, Series B | 18,029 | ||||||
534 | ICA Gruppen AB | 19,400 | ||||||
585 | Kinnevik AB, Class B | 19,768 | ||||||
10,108 | Nordea Bank AB | 122,387 | ||||||
3,352 | Skandinaviska Enskilda Banken AB, Class A | 39,360 | ||||||
946 | SKF AB, Class B | 21,016 | ||||||
3,040 | Svenska Handelsbanken AB, Class A | 41,545 | ||||||
1,697 | Swedbank AB, Class A | 40,940 | ||||||
498 | Swedish Match AB | 19,617 | ||||||
3,071 | Tele2 AB, Class B | 37,743 | ||||||
|
| |||||||
379,805 | ||||||||
|
| |||||||
Switzerland — 1.7% |
| |||||||
2,370 | Credit Suisse Group AG (Registered) (a) | 42,271 | ||||||
1,642 | Ferguson plc | 117,836 | ||||||
10,154 | Glencore plc (a) | 53,146 | ||||||
1,265 | LafargeHolcim Ltd. (Registered) (a) | 71,247 | ||||||
3,418 | Novartis AG (Registered) | 287,632 | ||||||
1,815 | Swiss Re AG | 169,740 | ||||||
2,772 | UBS Group AG (Registered) (a) | 50,929 | ||||||
312 | Zurich Insurance Group AG | 94,862 | ||||||
|
| |||||||
887,663 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Taiwan — 1.9% |
| |||||||
7,000 | Asustek Computer, Inc. | 65,746 | ||||||
11,000 | Chicony Electronics Co. Ltd. | 27,642 | ||||||
11,000 | Delta Electronics, Inc. | 52,848 | ||||||
7,000 | MediaTek, Inc. | 68,809 | ||||||
49,000 | Mega Financial Holding Co. Ltd. | 39,511 | ||||||
16,000 | Novatek Microelectronics Corp. | 60,827 | ||||||
9,000 | President Chain Store Corp. | 85,713 | ||||||
29,000 | Quanta Computer, Inc. | 60,322 | ||||||
26,000 | Taiwan Mobile Co. Ltd. | 93,923 | ||||||
6,954 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 275,726 | ||||||
51,000 | Vanguard International Semiconductor Corp. | 112,927 | ||||||
|
| |||||||
943,994 | ||||||||
|
| |||||||
Thailand — 0.4% |
| |||||||
4,400 | Siam Cement PCL (The), NVDR | 65,247 | ||||||
22,300 | Siam Commercial Bank PCL (The), NVDR | 102,356 | ||||||
18,900 | Thai Oil PCL | 60,023 | ||||||
|
| |||||||
227,626 | ||||||||
|
| |||||||
Turkey — 0.3% |
| |||||||
1,820 | Ford Otomotiv Sanayi A/S | 28,929 | ||||||
6,420 | Tofas Turk Otomobil Fabrikasi A/S | 55,872 | ||||||
2,079 | Tupras Turkiye Petrol Rafinerileri A/S | 66,624 | ||||||
|
| |||||||
151,425 | ||||||||
|
| |||||||
United Arab Emirates — 0.2% |
| |||||||
15,550 | Emaar Development PJSC (a) | 21,551 | ||||||
26,776 | First Abu Dhabi Bank PJSC | 74,727 | ||||||
|
| |||||||
96,278 | ||||||||
|
| |||||||
United Kingdom — 4.9% |
| |||||||
1,689 | 3i Group plc | 20,793 | ||||||
1,950 | Anglo American plc | 40,558 | ||||||
7,161 | Aviva plc | 48,840 | ||||||
4,591 | Barratt Developments plc | 40,049 | ||||||
998 | Berkeley Group Holdings plc | 56,552 | ||||||
15,303 | BP plc | 107,355 | ||||||
2,254 | British American Tobacco plc | 152,368 | ||||||
8,290 | British Land Co. plc (The) | 77,208 | ||||||
1,435 | Compass Group plc | 30,942 | ||||||
29,215 | Direct Line Insurance Group plc | 150,334 | ||||||
878 | easyJet plc | 17,355 | ||||||
2,012 | GlaxoSmithKline plc | 35,631 | ||||||
2,952 | Hammerson plc | 21,780 | ||||||
13,600 | HSBC Holdings plc | 139,826 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
United Kingdom — continued |
| |||||||
14,829 | HSBC Holdings plc | 153,155 | ||||||
1,017 | IMI plc | 18,303 | ||||||
2,377 | International Consolidated Airlines Group SA | 20,599 | ||||||
12,736 | Legal & General Group plc | 46,889 | ||||||
77,171 | Lloyds Banking Group plc | 70,765 | ||||||
310 | Meggitt plc | 2,013 | ||||||
4,084 | NewRiver REIT plc | 18,439 | ||||||
413 | Next plc | 25,172 | ||||||
7,915 | Old Mutual plc | 24,760 | ||||||
3,496 | Persimmon plc | 129,237 | ||||||
1,958 | Prudential plc | 50,145 | ||||||
5,362 | Rio Tinto plc | 281,278 | ||||||
2,283 | RSA Insurance Group plc | 19,460 | ||||||
6,704 | Safestore Holdings plc | 45,005 | ||||||
379 | Schroders plc | 17,940 | ||||||
6,426 | Segro plc | 50,865 | ||||||
572 | Severn Trent plc | 16,667 | ||||||
874 | Smiths Group plc | 17,541 | ||||||
1,143 | St James’s Place plc | 18,883 | ||||||
7,222 | Standard Life Aberdeen plc | 42,480 | ||||||
1,987 | Tate & Lyle plc | 18,834 | ||||||
38,033 | Taylor Wimpey plc | 105,987 | ||||||
11,500 | Tritax Big Box REIT plc | 23,119 | ||||||
1,779 | Unilever plc | 98,674 | ||||||
77,242 | Vodafone Group plc | 244,162 | ||||||
|
| |||||||
2,499,963 | ||||||||
|
| |||||||
United States — 11.1% |
| |||||||
720 | Accenture plc, Class A | 110,225 | ||||||
377 | Alexandria Real Estate Equities, Inc. | 49,232 | ||||||
1,071 | Altria Group, Inc. | 76,480 | ||||||
214 | American Tower Corp. | 30,531 | ||||||
763 | Analog Devices, Inc. | 67,930 | ||||||
625 | Apple, Inc. | 105,769 | ||||||
3,648 | AT&T, Inc. | 141,834 | ||||||
765 | AvalonBay Communities, Inc. | 136,484 | ||||||
1,870 | Avaya Holdings Corp. (a) | 32,818 | ||||||
2,861 | Brandywine Realty Trust | 52,042 | ||||||
1,389 | Brixmor Property Group, Inc. | 25,919 | ||||||
1,056 | Camden Property Trust | 97,215 | ||||||
510 | CME Group, Inc. | 74,486 | ||||||
3,603 | Comcast Corp., Class A | 144,300 | ||||||
1,385 | Digital Realty Trust, Inc. | 157,752 | ||||||
1,792 | DowDuPont, Inc. | 127,626 | ||||||
780 | Duke Realty Corp. | 21,224 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
1,194 | Eaton Corp. plc | 94,338 | ||||||
529 | Equity LifeStyle Properties, Inc. | 47,092 | ||||||
359 | Equity Residential | 22,893 | ||||||
575 | Extra Space Storage, Inc. | 50,284 | ||||||
6,368 | Ford Motor Co. | 79,536 | ||||||
1,386 | Gramercy Property Trust | 36,951 | ||||||
3,434 | HCP, Inc. | 89,559 | ||||||
1,161 | Healthcare Trust of America, Inc., Class A | 34,876 | ||||||
1,130 | Highwoods Properties, Inc. | 57,528 | ||||||
587 | Home Depot, Inc. (The) | 111,254 | ||||||
3,020 | HP, Inc. | 63,450 | ||||||
1,047 | International Business Machines Corp. | 160,631 | ||||||
461 | JBG SMITH Properties | 16,011 | ||||||
1,010 | Johnson & Johnson | 141,117 | ||||||
2,526 | Kimco Realty Corp. | 45,847 | ||||||
2,855 | Kinder Morgan, Inc. | 51,590 | ||||||
1,485 | LaSalle Hotel Properties | 41,684 | ||||||
1,363 | Liberty Property Trust | 58,623 | ||||||
378 | Microchip Technology, Inc. | 33,219 | ||||||
2,116 | Microsoft Corp. | 181,003 | ||||||
758 | Mid-America Apartment Communities, Inc. | 76,224 | ||||||
2,829 | Morgan Stanley | 148,438 | ||||||
964 | National Health Investors, Inc. | 72,666 | ||||||
1,253 | NextEra Energy, Inc. | 195,706 | ||||||
3,731 | Occidental Petroleum Corp. | 274,825 | ||||||
1,282 | PepsiCo, Inc. | 153,737 | ||||||
6,628 | Pfizer, Inc. | 240,066 | ||||||
1,696 | Philip Morris International, Inc. | 179,182 | ||||||
2,495 | Prologis, Inc. | 160,952 | ||||||
660 | Public Storage | 137,940 | ||||||
725 | Quality Care Properties, Inc. (a) | 10,012 | ||||||
528 | Realty Income Corp. | 30,107 | ||||||
381 | Regency Centers Corp. | 26,382 | ||||||
1,072 | RLJ Lodging Trust | 23,552 | ||||||
1,170 | Senior Housing Properties Trust | 22,406 | ||||||
656 | Simon Property Group, Inc. | 112,661 | ||||||
1,196 | STORE Capital Corp. | 31,144 | ||||||
578 | Sunstone Hotel Investors, Inc. | 9,554 | ||||||
1,198 | Texas Instruments, Inc. | 125,119 | ||||||
596 | Union Pacific Corp. | 79,924 | ||||||
657 | UnitedHealth Group, Inc. | 144,842 | ||||||
1,289 | Valero Energy Corp. | 118,472 | ||||||
123 | Ventas, Inc. | 7,381 | ||||||
1,456 | Vornado Realty Trust | 113,830 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Common Stocks — continued | ||||||||
United States — continued |
| |||||||
2,522 | Wells Fargo & Co. | 153,010 | ||||||
2,278 | Xcel Energy, Inc. | 109,596 | ||||||
|
| |||||||
5,627,081 | ||||||||
|
| |||||||
Total Common Stocks | 20,170,689 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Convertible Bonds — 0.0% (g) | ||||||||
United States — 0.0% (g) |
| |||||||
Liberty Interactive LLC, | ||||||||
1,998 | 3.75%, 02/15/2030 | 1,379 | ||||||
3,000 | 4.00%, 11/15/2029 | 2,085 | ||||||
|
| |||||||
Total Convertible Bonds | 3,464 | |||||||
|
| |||||||
Corporate Bonds — 38.1% | ||||||||
Australia — 0.6% |
| |||||||
200,000 | Australia & New Zealand Banking Group Ltd., (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 06/15/2026 (e) (x) (y) (aa) | 227,500 | ||||||
35,000 | BlueScope Steel Finance Ltd., 6.50%, 05/15/2021 (e) | 36,487 | ||||||
FMG Resources August 2006 Pty. Ltd., | ||||||||
11,000 | 4.75%, 05/15/2022 (e) | 11,138 | ||||||
12,000 | 5.13%, 05/15/2024 (e) | 12,150 | ||||||
|
| |||||||
287,275 | ||||||||
|
| |||||||
Belgium — 0.1% |
| |||||||
20,000 | Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/2046 | 23,159 | ||||||
15,000 | Anheuser-Busch InBev Worldwide, Inc., 4.44%, 10/06/2048 | 16,325 | ||||||
|
| |||||||
39,484 | ||||||||
|
| |||||||
Brazil — 0.3% |
| |||||||
JBS USA LUX SA, | ||||||||
45,000 | 5.75%, 06/15/2025 (e) | 43,819 | ||||||
84,000 | 7.25%, 06/01/2021 (e) | 85,365 | ||||||
|
| |||||||
129,184 | ||||||||
|
| |||||||
Canada — 1.9% |
| |||||||
39,000 | 1011778 BC ULC, 4.25%, 05/15/2024 (e) | 38,903 | ||||||
15,000 | ATS Automation Tooling Systems, Inc., 6.50%, 06/15/2023 (e) | 15,712 | ||||||
Bombardier, Inc., | ||||||||
14,000 | 7.50%, 12/01/2024 (e) | 14,210 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Canada — continued |
| |||||||
97,000 | 7.50%, 03/15/2025 (e) | 97,727 | ||||||
16,000 | 8.75%, 12/01/2021 (e) | 17,600 | ||||||
Cenovus Energy, Inc., | ||||||||
15,000 | 5.40%, 06/15/2047 | 15,772 | ||||||
20,000 | 6.75%, 11/15/2039 | 24,159 | ||||||
13,000 | Cott Holdings, Inc., 5.50%, 04/01/2025 (e) | 13,374 | ||||||
95,000 | Emera, Inc., Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 06/15/2076 (aa) | 106,875 | ||||||
Enbridge, Inc., | ||||||||
55,000 | (ICE LIBOR USD 3 Month + 3.42%), 5.50%, 07/15/2077 (aa) | 54,715 | ||||||
15,000 | (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 01/15/2077 (aa) | 15,600 | ||||||
15,000 | Gateway Casinos & Entertainment Ltd., 8.25%, 03/01/2024 (e) | 16,050 | ||||||
85,000 | GW Honos Security Corp., 8.75%, 05/15/2025 (e) | 91,375 | ||||||
10,000 | Hudbay Minerals, Inc., 7.25%, 01/15/2023 (e) | 10,600 | ||||||
9,000 | Jupiter Resources, Inc., 8.50%, 10/01/2022 (e) | 5,580 | ||||||
22,000 | Kronos Acquisition Holdings, Inc., 9.00%, | 20,570 | ||||||
Mattamy Group Corp., | ||||||||
15,000 | 6.50%, 10/01/2025 (e) | 15,862 | ||||||
20,000 | 6.88%, 12/15/2023 (e) | 21,150 | ||||||
17,000 | MEG Energy Corp., 6.38%, 01/30/2023 (e) | 14,450 | ||||||
NOVA Chemicals Corp., | ||||||||
11,000 | 4.88%, 06/01/2024 (e) | 10,972 | ||||||
12,000 | 5.00%, 05/01/2025 (e) | 11,970 | ||||||
5,000 | 5.25%, 08/01/2023 (e) | 5,144 | ||||||
6,000 | 5.25%, 06/01/2027 (e) | 5,985 | ||||||
25,000 | Open Text Corp., 5.88%, 06/01/2026 (e) | 26,938 | ||||||
Precision Drilling Corp., | ||||||||
8,000 | 5.25%, 11/15/2024 | 7,540 | ||||||
4,000 | 6.50%, 12/15/2021 | 4,075 | ||||||
9,000 | 7.13%, 01/15/2026 (e) | 9,180 | ||||||
21,000 | Seven Generations Energy Ltd., 5.38%, 09/30/2025 (e) | 21,210 | ||||||
Teck Resources Ltd., | ||||||||
5,000 | 4.75%, 01/15/2022 | 5,219 | ||||||
5,000 | 5.40%, 02/01/2043 | 5,025 | ||||||
15,000 | 6.00%, 08/15/2040 | 16,688 | ||||||
30,000 | 6.13%, 10/01/2035 | 33,600 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Canada — continued |
| |||||||
10,000 | TransCanada PipeLines Ltd., 4.63%, 03/01/2034 | 11,159 | ||||||
125,000 | Transcanada Trust, (ICE LIBOR USD 3 Month + 3.21%), 5.30%, 03/15/2077 (aa) | 128,906 | ||||||
8,000 | Trinidad Drilling Ltd., 6.63%, 02/15/2025 (e) | 7,600 | ||||||
Videotron Ltd., | ||||||||
18,000 | 5.00%, 07/15/2022 | 18,945 | ||||||
7,000 | 5.13%, 04/15/2027 (e) | 7,315 | ||||||
|
| |||||||
947,755 | ||||||||
|
| |||||||
Finland — 0.1% |
| |||||||
47,000 | Nokia OYJ, 6.63%, 05/15/2039 | 51,935 | ||||||
|
| |||||||
Ireland — 0.1% |
| |||||||
Park Aerospace Holdings Ltd., | ||||||||
16,000 | 4.50%, 03/15/2023 (e) | 15,280 | ||||||
16,000 | 5.25%, 08/15/2022 (e) | 15,900 | ||||||
17,000 | 5.50%, 02/15/2024 (e) | 16,872 | ||||||
|
| |||||||
48,052 | ||||||||
|
| |||||||
Israel — 0.1% |
| |||||||
50,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/2046 | 37,918 | ||||||
|
| |||||||
Italy — 0.1% |
| |||||||
Telecom Italia Capital SA, | ||||||||
12,000 | 6.00%, 09/30/2034 | 13,470 | ||||||
25,000 | 6.38%, 11/15/2033 | 29,063 | ||||||
6,000 | 7.20%, 07/18/2036 | 7,455 | ||||||
2,000 | 7.72%, 06/04/2038 | 2,580 | ||||||
|
| |||||||
52,568 | ||||||||
|
| |||||||
Luxembourg — 0.4% |
| |||||||
ArcelorMittal, | ||||||||
3,000 | 6.00%, 03/01/2021 | 3,240 | ||||||
30,000 | 6.13%, 06/01/2025 | 34,538 | ||||||
11,000 | 6.75%, 02/25/2022 | 12,237 | ||||||
10,000 | 7.25%, 03/01/2041 | 12,650 | ||||||
8,000 | 7.50%, 10/15/2039 | 10,240 | ||||||
Intelsat Jackson Holdings SA, | ||||||||
30,000 | 5.50%, 08/01/2023 | 24,525 | ||||||
20,000 | 7.25%, 10/15/2020 | 18,800 | ||||||
35,000 | 7.50%, 04/01/2021 | 31,850 | ||||||
45,000 | 8.00%, 02/15/2024 (e) | 47,362 | ||||||
15,000 | 9.75%, 07/15/2025 (e) | 14,438 | ||||||
|
| |||||||
209,880 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Mexico — 0.4% |
| |||||||
200,000 | Cemex SAB de CV, 5.70%, 01/11/2025 (e) | 210,750 | ||||||
|
| |||||||
Switzerland — 0.4% |
| |||||||
200,000 | Credit Suisse Group AG, (USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (e) (x) (y) (aa) | 216,750 | ||||||
|
| |||||||
United Arab Emirates — 0.1% |
| |||||||
DAE Funding LLC, | ||||||||
10,000 | 4.50%, 08/01/2022 (e) | 9,812 | ||||||
11,000 | 5.00%, 08/01/2024 (e) | 10,802 | ||||||
41,000 | Shelf Drilling Holdings Ltd., 9.50%, 11/02/2020 (e) | 41,769 | ||||||
|
| |||||||
62,383 | ||||||||
|
| |||||||
United Kingdom — 0.9% |
| |||||||
30,000 | BAT Capital Corp., 4.54%, 08/15/2047 (e) | 31,558 | ||||||
200,000 | HSBC Holdings plc, (USD ICE Swap Rate 5 Year + 5.51%), 6.87%, | 215,500 | ||||||
9,000 | Noble Holding International Ltd., 6.20%, 08/01/2040 | 6,143 | ||||||
16,000 | Reynolds American, Inc., 5.85%, 08/15/2045 | 19,964 | ||||||
Royal Bank of Scotland Group plc, | ||||||||
15,000 | 6.10%, 06/10/2023 | 16,515 | ||||||
157,000 | 6.13%, 12/15/2022 | 172,062 | ||||||
|
| |||||||
461,742 | ||||||||
|
| |||||||
United States — 32.6% |
| |||||||
30,000 | 21st Century Fox America, Inc., 4.95%, 10/15/2045 | 35,277 | ||||||
AbbVie, Inc., | ||||||||
5,000 | 4.45%, 05/14/2046 | 5,430 | ||||||
6,000 | 4.70%, 05/14/2045 | 6,686 | ||||||
40,000 | Acadia Healthcare Co., Inc., 6.50%, 03/01/2024 | 41,600 | ||||||
27,000 | ACCO Brands Corp., 5.25%, 12/15/2024 (e) | 27,742 | ||||||
ACE Cash Express, Inc., | ||||||||
40,000 | 11.00%, 02/01/2019 (e) | 40,050 | ||||||
19,000 | 12.00%, 12/15/2022 (e) | 19,665 | ||||||
65,000 | ADT Corp. (The), 4.13%, 06/15/2023 | 65,000 | ||||||
AECOM, | ||||||||
10,000 | 5.13%, 03/15/2027 | 10,186 | ||||||
65,000 | 5.88%, 10/15/2024 | 70,408 | ||||||
AES Corp., | ||||||||
10,000 | 5.50%, 04/15/2025 | 10,500 | ||||||
40,000 | 6.00%, 05/15/2026 | 43,200 | ||||||
30,000 | Ahern Rentals, Inc., 7.38%, 05/15/2023 (e) | 28,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
34,000 | Aircastle Ltd., 5.13%, 03/15/2021 | 35,742 | ||||||
20,000 | AK Steel Corp., 7.00%, 03/15/2027 | 20,350 | ||||||
Albertsons Cos. LLC, | ||||||||
2,000 | 5.75%, 03/15/2025 | 1,805 | ||||||
108,000 | 6.63%, 06/15/2024 | 103,140 | ||||||
Allergan Funding SCS, | ||||||||
5,000 | 4.55%, 03/15/2035 | 5,287 | ||||||
5,000 | 4.75%, 03/15/2045 | 5,318 | ||||||
26,000 | 4.85%, 06/15/2044 | 27,808 | ||||||
66,000 | Alliance Data Systems Corp., 5.38%, 08/01/2022 (e) | 66,495 | ||||||
30,000 | Allison Transmission, Inc., 4.75%, 10/01/2027 (e) | 30,187 | ||||||
75,000 | Allstate Corp. (The), (ICE LIBOR USD 3 Month + 2.94%), 5.75%, 08/15/2053 (aa) | 81,825 | ||||||
Ally Financial, Inc., | ||||||||
79,000 | 4.13%, 03/30/2020 | 80,580 | ||||||
93,000 | 4.63%, 03/30/2025 | 97,650 | ||||||
19,000 | 8.00%, 11/01/2031 | 24,700 | ||||||
30,000 | Amazon.com, Inc., 4.25%, 08/22/2057 (e) | 32,691 | ||||||
AMC Entertainment Holdings, Inc., | ||||||||
11,000 | 5.75%, 06/15/2025 | 10,890 | ||||||
11,000 | 5.88%, 11/15/2026 | 10,862 | ||||||
8,000 | 6.13%, 05/15/2027 | 7,940 | ||||||
40,000 | AMC Networks, Inc., 4.75%, 12/15/2022 | 40,850 | ||||||
American Axle & Manufacturing, Inc., | ||||||||
46,000 | 6.25%, 04/01/2025 (e) | 48,415 | ||||||
67,000 | 6.50%, 04/01/2027 (e) | 70,936 | ||||||
70,000 | American Express Co., Series C, (ICE LIBOR USD 3 Month + 3.29%), 4.90%, 03/15/2020 (x) (y) (aa) | 71,400 | ||||||
24,000 | American Greetings Corp., 7.88%, 02/15/2025 (e) | 25,920 | ||||||
American International Group, Inc., | ||||||||
25,000 | 4.50%, 07/16/2044 | 26,904 | ||||||
18,000 | 4.80%, 07/10/2045 | 20,170 | ||||||
35,000 | AmeriGas Partners LP, 5.75%, 05/20/2027 | 35,350 | ||||||
25,000 | Amgen, Inc., 4.40%, 05/01/2045 | 27,176 | ||||||
20,000 | AMN Healthcare, Inc., 5.13%, 10/01/2024 (e) | 20,600 | ||||||
Antero Resources Corp., | ||||||||
55,000 | 5.13%, 12/01/2022 | 56,100 | ||||||
27,000 | 5.38%, 11/01/2021 | 27,675 | ||||||
Anthem, Inc., | ||||||||
20,000 | 4.38%, 12/01/2047 | 21,231 | ||||||
20,000 | 4.65%, 08/15/2044 | 21,945 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
Arconic, Inc., | ||||||||
57,000 | 5.13%, 10/01/2024 | 60,838 | ||||||
62,000 | 5.95%, 02/01/2037 | 67,425 | ||||||
AT&T, Inc., | ||||||||
25,000 | 4.35%, 06/15/2045 | 23,045 | ||||||
19,000 | 4.75%, 05/15/2046 | 18,567 | ||||||
20,000 | 5.30%, 08/14/2058 | 20,047 | ||||||
15,000 | 5.45%, 03/01/2047 | 16,019 | ||||||
85,000 | Aveta, Inc., 7.00%, 04/01/2019 (d) (bb) | 9 | ||||||
10,000 | Avis Budget Car Rental LLC, 5.25%, 03/15/2025 (e) | 9,900 | ||||||
15,000 | B&G Foods, Inc., 5.25%, 04/01/2025 | 15,257 | ||||||
20,000 | Baker Hughes a GE Co. LLC, 4.08%, 12/15/2047 (e) | 20,322 | ||||||
52,000 | Ball Corp., 4.00%, 11/15/2023 | 53,040 | ||||||
Bank of America Corp., | ||||||||
110,000 | Series V, (ICE LIBOR USD 3 Month + 3.39%), 5.13%, 06/17/2019 (x) (y) (aa) | 111,705 | ||||||
60,000 | Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (x) (y) (aa) | 68,175 | ||||||
65,000 | Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 03/17/2025 (x) (y) (aa) | 71,337 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
65,000 | Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, | 64,759 | ||||||
90,000 | Series E, (ICE LIBOR USD 3 Month + 3.42%), 4.95%, | 93,155 | ||||||
20,000 | Becton Dickinson and Co., 4.67%, 06/06/2047 | 21,634 | ||||||
50,000 | Berry Global, Inc., 5.13%, 07/15/2023 | 52,000 | ||||||
10,000 | Blue Cube Spinco, Inc., 10.00%, 10/15/2025 | 12,000 | ||||||
5,000 | Blue Racer Midstream LLC, 6.13%, 11/15/2022 (e) | 5,200 | ||||||
7,000 | Booz Allen Hamilton, Inc., 5.13%, 05/01/2025 (e) | 7,017 | ||||||
20,000 | Boyd Gaming Corp., 6.88%, 05/15/2023 | 21,200 | ||||||
35,000 | Brighthouse Financial, Inc., 4.70%, 06/22/2047 (e) | 35,673 | ||||||
18,000 | Brink’s Co. (The), 4.63%, 10/15/2027 (e) | 17,640 | ||||||
43,000 | Cablevision Systems Corp., 8.00%, 04/15/2020 | 45,902 | ||||||
CalAtlantic Group, Inc., | ||||||||
9,000 | 5.25%, 06/01/2026 | 9,518 | ||||||
24,000 | 5.88%, 11/15/2024 | 26,677 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
34,000 | California Resources Corp., 8.00%, 12/15/2022 (e) | 28,050 | ||||||
15,000 | Callon Petroleum Co., 6.13%, 10/01/2024 | 15,450 | ||||||
105,000 | Calpine Corp., 5.25%, 06/01/2026 (e) | 102,901 | ||||||
2,000 | Calumet Specialty Products Partners LP, 6.50%, 04/15/2021 | 1,990 | ||||||
36,000 | Camelot Finance SA, 7.88%, 10/15/2024 (e) | 38,430 | ||||||
100,000 | Capital One Financial Corp., Series E, (ICE LIBOR USD 3 Month + 3.80%), 5.55%, | 103,500 | ||||||
10,000 | Cardinal Health, Inc., 4.37%, 06/15/2047 | 9,929 | ||||||
55,000 | Carrizo Oil & Gas, Inc., 6.25%, 04/15/2023 | 57,062 | ||||||
5,000 | Catalent Pharma Solutions, Inc., 4.88%, 01/15/2026 (e) | 5,019 | ||||||
11,000 | CB Escrow Corp., 8.00%, 10/15/2025 (e) | 11,165 | ||||||
8,000 | CBS Corp., 4.60%, 01/15/2045 | 8,150 | ||||||
26,000 | CCM Merger, Inc., 6.00%, 03/15/2022 (e) | 26,682 | ||||||
CCO Holdings LLC, | ||||||||
28,000 | 5.00%, 02/01/2028 (e) | 27,230 | ||||||
13,000 | 5.13%, 05/01/2027 (e) | 12,805 | ||||||
5,000 | 5.50%, 05/01/2026 (e) | 5,125 | ||||||
99,000 | 5.75%, 01/15/2024 | 101,970 | ||||||
75,000 | 5.75%, 02/15/2026 (e) | 77,906 | ||||||
35,000 | 5.88%, 05/01/2027 (e) | 35,963 | ||||||
26,000 | CDW LLC, 5.00%, 09/01/2023 | 26,877 | ||||||
10,000 | Cedar Fair LP, 5.38%, 04/15/2027 (e) | 10,500 | ||||||
20,000 | Celgene Corp., 4.35%, 11/15/2047 | 20,755 | ||||||
Centene Corp., | ||||||||
40,000 | 4.75%, 05/15/2022 | 41,500 | ||||||
40,000 | 4.75%, 01/15/2025 | 40,700 | ||||||
CenturyLink, Inc., | ||||||||
5,000 | Series S, 6.45%, 06/15/2021 | 5,050 | ||||||
5,000 | Series T, 5.80%, 03/15/2022 | 4,897 | ||||||
3,000 | Series W, 6.75%, 12/01/2023 | 2,940 | ||||||
2,000 | Series Y, 7.50%, 04/01/2024 | 1,995 | ||||||
30,000 | Cequel Communications Holdings I LLC, 5.13%, 12/15/2021 (e) | 30,000 | ||||||
CF Industries, Inc., | ||||||||
16,000 | 4.50%, 12/01/2026 (e) | 16,674 | ||||||
17,000 | 5.15%, 03/15/2034 | 17,340 | ||||||
40,000 | Charles Schwab Corp. (The), Series F, (ICE LIBOR USD 3 Month + 2.58%), 5.00%, | 40,152 | ||||||
Charter Communications Operating LLC, | ||||||||
10,000 | 5.38%, 05/01/2047 | 10,245 | ||||||
44,000 | 6.48%, 10/23/2045 | 51,262 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
20,000 | Chemours Co. (The), 7.00%, 05/15/2025 | 21,700 | ||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
5,000 | 5.13%, 06/30/2027 | 5,172 | ||||||
35,000 | 5.88%, 03/31/2025 | 37,931 | ||||||
8,000 | Cheniere Energy Partners LP, 5.25%, 10/01/2025 (e) | 8,140 | ||||||
Chesapeake Energy Corp., | ||||||||
22,000 | 4.88%, 04/15/2022 | 20,845 | ||||||
7,000 | 5.75%, 03/15/2023 | 6,475 | ||||||
20,000 | 8.00%, 01/15/2025 (e) | 20,175 | ||||||
14,000 | 8.00%, 06/15/2027 (e) | 13,440 | ||||||
20,000 | Cincinnati Bell, Inc., 7.00%, 07/15/2024 (e) | 19,850 | ||||||
10,000 | Cinemark USA, Inc., 4.88%, 06/01/2023 | 10,125 | ||||||
CIT Group, Inc., | ||||||||
25,000 | 5.00%, 08/01/2023 | 26,625 | ||||||
4,000 | 5.38%, 05/15/2020 | 4,225 | ||||||
15,000 | CITGO Petroleum Corp., 6.25%, 08/15/2022 (e) | 15,112 | ||||||
Citigroup, Inc., | ||||||||
5,000 | (ICE LIBOR USD 3 Month + 4.07%), 5.95%, 01/30/2023 (x) (y) (aa) | 5,319 | ||||||
40,000 | Series D, (ICE LIBOR USD 3 Month + 3.47%), 5.35%, | 40,900 | ||||||
190,000 | Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, | 203,537 | ||||||
35,000 | Series O, (ICE LIBOR USD 3 Month + 4.06%), 5.87%, | 36,313 | ||||||
20,000 | Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, | 21,300 | ||||||
20,000 | Series R, (ICE LIBOR USD 3 Month + 4.48%), 6.13%, | 21,275 | ||||||
25,000 | Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, | 27,575 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
70,000 | Series B, 6.50%, 11/15/2022 | 71,137 | ||||||
45,000 | Series B, 7.63%, 03/15/2020 | 44,100 | ||||||
44,000 | Clearwater Paper Corp., 4.50%, 02/01/2023 | 43,505 | ||||||
35,000 | CNG Holdings, Inc., 9.38%, 05/15/2020 (e) | 33,950 | ||||||
19,000 | CNO Financial Group, Inc., 5.25%, 05/30/2025 | 20,045 | ||||||
25,000 | CNX Resources Corp., 5.88%, 04/15/2022 | 25,531 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
15,000 | Columbia Pipeline Group, Inc., 5.80%, 06/01/2045 | 18,707 | ||||||
20,000 | Comcast Corp., 4.00%, 08/15/2047 | 20,850 | ||||||
Commercial Metals Co., | ||||||||
14,000 | 4.88%, 05/15/2023 | 14,315 | ||||||
6,000 | 5.38%, 07/15/2027 | 6,120 | ||||||
32,000 | CommScope Technologies LLC, 6.00%, | 34,000 | ||||||
5,000 | CommScope, Inc., 5.50%, 06/15/2024 (e) | 5,200 | ||||||
Community Health Systems, Inc., | ||||||||
25,000 | 5.13%, 08/01/2021 | 22,500 | ||||||
17,000 | 6.25%, 03/31/2023 | 15,300 | ||||||
10,000 | 6.88%, 02/01/2022 | 5,750 | ||||||
35,000 | 7.13%, 07/15/2020 | 26,162 | ||||||
Continental Resources, Inc., | ||||||||
6,000 | 3.80%, 06/01/2024 | 5,932 | ||||||
8,000 | 4.38%, 01/15/2028 (e) | 7,898 | ||||||
12,000 | 4.50%, 04/15/2023 | 12,240 | ||||||
43,000 | 4.90%, 06/01/2044 | 41,065 | ||||||
55,000 | 5.00%, 09/15/2022 | 55,825 | ||||||
8,000 | Cornerstone Chemical Co., 6.75%, 08/15/2024 (e) | 7,990 | ||||||
30,000 | Corning, Inc., 4.38%, 11/15/2057 | 29,750 | ||||||
14,000 | Covanta Holding Corp., 5.88%, 07/01/2025 | 14,070 | ||||||
20,000 | Cox Communications, Inc., 4.60%, 08/15/2047 (e) | 20,168 | ||||||
19,000 | Crestwood Midstream Partners LP, 5.75%, 04/01/2025 | 19,617 | ||||||
47,000 | Crown Americas LLC, 4.50%, 01/15/2023 | 47,705 | ||||||
CSC Holdings LLC, | ||||||||
42,000 | 5.25%, 06/01/2024 | 41,160 | ||||||
22,000 | 6.75%, 11/15/2021 | 23,595 | ||||||
11,000 | CSI Compressco LP, 7.25%, 08/15/2022 | 10,367 | ||||||
20,000 | CSX Corp., 4.25%, 11/01/2066 | 19,961 | ||||||
5,000 | Cumberland Farms, Inc., 6.75%, 05/01/2025 (e) | 5,300 | ||||||
CURO Financial Technologies Corp., | ||||||||
17,000 | 12.00%, 03/01/2022 (e) | 18,670 | ||||||
74,000 | CVR Partners LP, 9.25%, 06/15/2023 (e) | 79,642 | ||||||
CyrusOne LP, | ||||||||
25,000 | 5.38%, 03/15/2027 (e) | 26,250 | ||||||
20,000 | Dana Financing Luxembourg SARL, 5.75%, 04/15/2025 (e) | 21,075 | ||||||
DaVita, Inc., | ||||||||
35,000 | 5.13%, 07/15/2024 | 35,350 | ||||||
13,000 | 5.75%, 08/15/2022 | 13,374 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
DCP Midstream Operating LP, | ||||||||
33,000 | 3.88%, 03/15/2023 | 32,794 | ||||||
5,000 | 5.60%, 04/01/2044 | 4,962 | ||||||
20,000 | 6.75%, 09/15/2037 (e) | 21,800 | ||||||
28,000 | Delek Logistics Partners LP, 6.75%, 05/15/2025 (e) | 28,280 | ||||||
Dell International LLC, | ||||||||
94,000 | 7.13%, 06/15/2024 (e) | 102,917 | ||||||
25,000 | 8.35%, 07/15/2046 (e) | 32,191 | ||||||
7,000 | Denbury Resources, Inc., 9.00%, 05/15/2021 (e) | 7,149 | ||||||
10,000 | Diamond Offshore Drilling, Inc., 7.88%, 08/15/2025 | 10,500 | ||||||
6,000 | Diamondback Energy, Inc., 4.75%, 11/01/2024 | 6,022 | ||||||
37,000 | Diebold Nixdorf, Inc., 8.50%, 04/15/2024 | 39,312 | ||||||
45,000 | Discover Financial Services, Series C, (ICE LIBOR USD 3 Month + 3.08%), 5.50%, 10/30/2027 (x) (y) (aa) | 46,350 | ||||||
35,000 | Discovery Communications LLC, 5.20%, 09/20/2047 | 36,499 | ||||||
DISH DBS Corp., | ||||||||
48,000 | 5.00%, 03/15/2023 | 45,600 | ||||||
4,000 | 5.88%, 07/15/2022 | 4,020 | ||||||
23,000 | 5.88%, 11/15/2024 | 22,367 | ||||||
105,000 | 6.75%, 06/01/2021 | 110,381 | ||||||
35,000 | 7.75%, 07/01/2026 | 36,794 | ||||||
24,000 | Dole Food Co., Inc., 7.25%, 06/15/2025 (e) | 25,920 | ||||||
40,000 | Dollar Tree, Inc., 5.75%, 03/01/2023 | 41,900 | ||||||
6,000 | Dominion Energy Gas Holdings LLC, 4.60%, 12/15/2044 | 6,595 | ||||||
10,000 | Dr Pepper Snapple Group, Inc., 4.50%, 11/15/2045 (e) | 10,736 | ||||||
Dynegy, Inc., | ||||||||
60,000 | 7.63%, 11/01/2024 | 64,350 | ||||||
17,000 | 8.13%, 01/30/2026 (e) | 18,572 | ||||||
26,000 | Eldorado Resorts, Inc., 6.00%, 04/01/2025 | 27,170 | ||||||
149,000 | Embarq Corp., 8.00%, 06/01/2036 | 144,902 | ||||||
65,000 | Endo Finance LLC, 5.75%, 01/15/2022 (e) | 54,112 | ||||||
Energy Transfer Equity LP, | ||||||||
11,000 | 4.25%, 03/15/2023 | 10,918 | ||||||
35,000 | 5.88%, 01/15/2024 | 36,837 | ||||||
5,000 | Energy Transfer LP, 5.15%, 02/01/2043 | 4,731 | ||||||
Energy Transfer Partners LP, | ||||||||
50,000 | Series A, (ICE LIBOR USD 3 Month + 4.03%), 6.25%, | 48,562 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
35,000 | Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, | 33,994 | ||||||
30,000 | EnLink Midstream Partners LP, Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, | 28,694 | ||||||
Ensco plc, | ||||||||
4,000 | 4.50%, 10/01/2024 | 3,360 | ||||||
15,000 | 5.20%, 03/15/2025 | 12,750 | ||||||
2,000 | 5.75%, 10/01/2044 | 1,370 | ||||||
6,000 | Entegris, Inc., 4.63%, 02/10/2026 (e) | 6,090 | ||||||
Enterprise Products Operating LLC, | ||||||||
15,000 | 4.85%, 03/15/2044 | 16,428 | ||||||
33,000 | 4.90%, 05/15/2046 | 36,327 | ||||||
100,000 | Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 08/16/2077 (aa) | 99,000 | ||||||
100,000 | Envision Healthcare Corp., 5.63%, 07/15/2022 | 101,000 | ||||||
EP Energy LLC, | ||||||||
14,000 | 8.00%, 11/29/2024 (e) | 14,455 | ||||||
26,000 | 8.00%, 02/15/2025 (e) | 18,980 | ||||||
19,000 | 9.38%, 05/01/2020 | 16,055 | ||||||
51,000 | Equinix, Inc., 5.75%, 01/01/2025 | 54,124 | ||||||
30,000 | ERAC USA Finance LLC, 4.20%, 11/01/2046 (e) | 29,355 | ||||||
30,000 | ESH Hospitality, Inc., 5.25%, 05/01/2025 (e) | 30,300 | ||||||
6,000 | EW Scripps Co. (The), 5.13%, 05/15/2025 (e) | 5,970 | ||||||
30,000 | Exela Intermediate LLC, 10.00%, 07/15/2023 (e) | 29,175 | ||||||
15,000 | Exelon Corp., 4.45%, 04/15/2046 | 16,286 | ||||||
Express Scripts Holding Co., | ||||||||
20,000 | 4.80%, 07/15/2046 | 21,257 | ||||||
6,000 | 6.13%, 11/15/2041 | 7,352 | ||||||
20,000 | FedEx Corp., 4.55%, 04/01/2046 | 21,944 | ||||||
20,000 | Fidelity & Guaranty Life Holdings, Inc., 6.38%, 04/01/2021 (e) | 20,450 | ||||||
55,000 | Fifth Third Bancorp, (ICE LIBOR USD 3 Month + 3.03%), 5.10%, 06/30/2023 (x) (y) (aa) | 55,825 | ||||||
First Data Corp., | ||||||||
60,000 | 5.75%, 01/15/2024 (e) | 62,310 | ||||||
45,000 | 7.00%, 12/01/2023 (e) | 47,587 | ||||||
5,000 | FirstCash, Inc., 5.38%, 06/01/2024 (e) | 5,212 | ||||||
59,000 | Ford Motor Co., 4.75%, 01/15/2043 | 59,785 | ||||||
Freeport-McMoRan, Inc., | ||||||||
50,000 | 3.88%, 03/15/2023 | 49,750 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
42,000 | 4.00%, 11/14/2021 | 42,000 | ||||||
20,000 | 5.45%, 03/15/2043 | 19,975 | ||||||
Frontier Communications Corp., | ||||||||
25,000 | 10.50%, 09/15/2022 | 18,906 | ||||||
44,000 | 11.00%, 09/15/2025 | 32,340 | ||||||
12,000 | FTI Consulting, Inc., 6.00%, 11/15/2022 | 12,367 | ||||||
17,000 | FXI Holdings, Inc., 7.88%, 11/01/2024 (e) | 16,963 | ||||||
13,000 | Gartner, Inc., 5.13%, 04/01/2025 (e) | 13,585 | ||||||
40,000 | Gates Global LLC, 6.00%, 07/15/2022 (e) | 40,900 | ||||||
5,000 | GCP Applied Technologies, Inc., 9.50%, 02/01/2023 (e) | 5,550 | ||||||
147,000 | General Electric Co., Series D, (ICE LIBOR USD 3 Month + 3.33%), 5.00%, | 151,498 | ||||||
General Motors Co., | ||||||||
29,000 | 6.25%, 10/02/2043 | 34,323 | ||||||
30,000 | 6.75%, 04/01/2046 | 37,743 | ||||||
40,000 | General Motors Financial Co., Inc., Series A, (ICE LIBOR USD 3 Month + 3.60%), 5.75%, | 41,193 | ||||||
Genesis Energy LP, | ||||||||
10,000 | 6.00%, 05/15/2023 | 10,125 | ||||||
20,000 | 6.75%, 08/01/2022 | 20,750 | ||||||
36,000 | Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/2024 (e) | 39,330 | ||||||
GenOn Energy, Inc., | ||||||||
10,000 | 9.50%, 10/15/2018 (d) | 7,950 | ||||||
55,000 | 9.88%, 10/15/2020 (d) | 43,450 | ||||||
40,000 | Gilead Sciences, Inc., 4.75%, 03/01/2046 | 46,228 | ||||||
25,000 | Global Partners LP, 7.00%, 06/15/2023 | 25,688 | ||||||
GLP Capital LP, | ||||||||
12,000 | 4.88%, 11/01/2020 | 12,450 | ||||||
20,000 | 5.38%, 11/01/2023 | 21,350 | ||||||
43,000 | Golden Nugget, Inc., 6.75%, 10/15/2024 (e) | 43,753 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
90,000 | Series L, (ICE LIBOR USD 3 Month + 3.88%), 5.70%, | 92,799 | ||||||
170,000 | Series M, (ICE LIBOR USD 3 Month + 3.92%), 5.38%, | 174,224 | ||||||
80,000 | Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, | 78,720 | ||||||
Goodyear Tire & Rubber Co. (The), | ||||||||
46,000 | 4.88%, 03/15/2027 | 47,092 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
47,000 | 5.00%, 05/31/2026 | 48,462 | ||||||
55,000 | Gray Television, Inc., 5.13%, 10/15/2024 (e) | 54,862 | ||||||
3,000 | GTT Communications, Inc., 7.88%, 12/31/2024 (e) | 3,165 | ||||||
Gulfport Energy Corp., | ||||||||
44,000 | 6.00%, 10/15/2024 | 44,000 | ||||||
12,000 | 6.38%, 01/15/2026 (e) | 12,090 | ||||||
15,000 | H&E Equipment Services, Inc., 5.63%, 09/01/2025 (e) | 15,675 | ||||||
20,000 | Halliburton Co., 5.00%, 11/15/2045 | 22,947 | ||||||
30,000 | Hardwoods Acquisition, Inc., 7.50%, | 27,600 | ||||||
13,000 | Harris Corp., 5.05%, 04/27/2045 | 15,276 | ||||||
23,000 | HCA Healthcare, Inc., 6.25%, 02/15/2021 | 24,380 | ||||||
HCA, Inc., | ||||||||
12,000 | 4.25%, 10/15/2019 | 12,255 | ||||||
40,000 | 5.38%, 02/01/2025 | 41,400 | ||||||
19,000 | 5.50%, 06/15/2047 | 18,952 | ||||||
22,000 | 5.88%, 03/15/2022 | 23,540 | ||||||
75,000 | 5.88%, 05/01/2023 | 80,063 | ||||||
57,000 | 7.50%, 02/15/2022 | 64,125 | ||||||
15,000 | HD Supply, Inc., 5.75%, 04/15/2024 (e) | 15,937 | ||||||
20,000 | Hecla Mining Co., 6.88%, 05/01/2021 | 20,500 | ||||||
30,000 | Hess Corp., 5.80%, 04/01/2047 | 33,357 | ||||||
45,000 | Hexion, Inc., 6.63%, 04/15/2020 | 40,387 | ||||||
19,000 | Hilcorp Energy I LP, 5.00%, 12/01/2024 (e) | 18,810 | ||||||
10,000 | Hilton Domestic Operating Co., Inc., 4.25%, 09/01/2024 | 10,100 | ||||||
10,000 | Hilton Grand Vacations Borrower LLC, 6.13%, 12/01/2024 (e) | 10,925 | ||||||
Hilton Worldwide Finance LLC, | ||||||||
16,000 | 4.63%, 04/01/2025 | 16,440 | ||||||
4,000 | 4.88%, 04/01/2027 | 4,185 | ||||||
15,000 | Holly Energy Partners LP, 6.00%, 08/01/2024 (e) | 15,638 | ||||||
5,000 | Hologic, Inc., 4.38%, 10/15/2025 (e) | 5,075 | ||||||
Hughes Satellite Systems Corp., | ||||||||
35,000 | 5.25%, 08/01/2026 | 35,700 | ||||||
20,000 | 6.63%, 08/01/2026 | 20,950 | ||||||
8,000 | Huntsman International LLC, 5.13%, 11/15/2022 | 8,530 | ||||||
Icahn Enterprises LP, | ||||||||
39,000 | 6.00%, 08/01/2020 | 40,109 | ||||||
8,000 | 6.25%, 02/01/2022 (e) | 8,180 | ||||||
22,000 | 6.38%, 12/15/2025 (e) | 22,002 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
40,000 | iHeartCommunications, Inc., 9.00%, 12/15/2019 | 29,700 | ||||||
35,000 | IHS Markit Ltd., 5.00%, 11/01/2022 (e) | 37,947 | ||||||
30,000 | Infor Software Parent LLC, 7.13%, (cash), 05/01/2021 (e) (v) | 30,675 | ||||||
15,000 | Informatica LLC, 7.13%, 07/15/2023 (e) | 15,337 | ||||||
Iron Mountain, Inc., | ||||||||
16,000 | 4.88%, 09/15/2027 (e) | 16,000 | ||||||
14,000 | 5.25%, 03/15/2028 (e) | 13,930 | ||||||
33,000 | 5.75%, 08/15/2024 | 33,413 | ||||||
14,000 | Itron, Inc., 5.00%, 01/15/2026 (e) | 14,052 | ||||||
6,000 | j2 Cloud Services LLC, 6.00%, | 6,315 | ||||||
30,000 | Jack Ohio Finance LLC, 6.75%, | 31,575 | ||||||
15,000 | Jaguar Holding Co. II, 6.38%, 08/01/2023 (e) | 15,150 | ||||||
Jeld-Wen, Inc., | ||||||||
6,000 | 4.63%, 12/15/2025 (e) | 6,045 | ||||||
6,000 | 4.88%, 12/15/2027 (e) | 6,060 | ||||||
10,000 | Kaiser Aluminum Corp., 5.88%, 05/15/2024 | 10,625 | ||||||
31,000 | KFC Holding Co., 4.75%, 06/01/2027 (e) | 31,698 | ||||||
15,000 | Kinder Morgan Energy Partners LP, 5.63%, 09/01/2041 | 15,926 | ||||||
8,000 | Koppers, Inc., 6.00%, 02/15/2025 (e) | 8,480 | ||||||
Kraft Heinz Foods Co., | ||||||||
15,000 | 4.38%, 06/01/2046 | 14,845 | ||||||
44,000 | 5.20%, 07/15/2045 | 48,360 | ||||||
Kroger Co. (The), | ||||||||
35,000 | 3.88%, 10/15/2046 | 32,012 | ||||||
15,000 | 4.65%, 01/15/2048 | 15,341 | ||||||
Ladder Capital Finance Holdings LLLP, | ||||||||
14,000 | 5.25%, 03/15/2022 (e) | 14,438 | ||||||
3,000 | 5.25%, 10/01/2025 (e) | 2,985 | ||||||
40,000 | Lennar Corp., 4.75%, 11/29/2027 (e) | 41,192 | ||||||
Level 3 Financing, Inc., | ||||||||
20,000 | 5.25%, 03/15/2026 | 19,631 | ||||||
56,000 | 5.38%, 05/01/2025 | 55,930 | ||||||
40,000 | Live Nation Entertainment, Inc., 4.88%, 11/01/2024 (e) | 41,000 | ||||||
15,000 | LKQ Corp., 4.75%, 05/15/2023 | 15,338 | ||||||
20,000 | LPL Holdings, Inc., 5.75%, 09/15/2025 (e) | 20,350 | ||||||
20,000 | Mallinckrodt International Finance SA, 5.75%, 08/01/2022 (e) | 18,150 | ||||||
25,000 | Marathon Petroleum Corp., 4.75%, 09/15/2044 | 26,099 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
20,000 | Markel Corp., 5.00%, 04/05/2046 | 22,598 | ||||||
20,000 | Martin Marietta Materials, Inc., 4.25%, 12/15/2047 | 19,771 | ||||||
25,000 | Martin Midstream Partners LP, 7.25%, 02/15/2021 | 25,250 | ||||||
5,000 | Masco Corp., 4.50%, 05/15/2047 | 5,083 | ||||||
20,000 | MasTec, Inc., 4.88%, 03/15/2023 | 20,400 | ||||||
3,000 | Match Group, Inc., 5.00%, 12/15/2027 (e) | 3,045 | ||||||
35,000 | Mediacom Broadband LLC, 6.38%, 04/01/2023 | 35,963 | ||||||
95,000 | MetLife, Inc., Series C, (ICE LIBOR USD 3 Month + 3.58%), 5.25%, | 98,775 | ||||||
MGM Resorts International, | ||||||||
30,000 | 6.00%, 03/15/2023 | 32,400 | ||||||
22,000 | 6.63%, 12/15/2021 | 24,138 | ||||||
43,000 | Micron Technology, Inc., 5.25%, | 44,666 | ||||||
9,000 | Molina Healthcare, Inc., 4.88%, | 8,978 | ||||||
Morgan Stanley, | ||||||||
230,000 | Series H, (ICE LIBOR USD 3 Month + 3.61%), 5.45%, | 236,325 | ||||||
39,000 | Series J, (ICE LIBOR USD 3 Month + 3.81%), 5.55%, 07/15/2020 (x) (y) (aa) | 40,511 | ||||||
15,000 | MPLX LP, 5.20%, 03/01/2047 | 16,447 | ||||||
15,000 | MSCI, Inc., 5.25%, 11/15/2024 (e) | 15,806 | ||||||
40,000 | Mylan NV, 5.25%, 06/15/2046 | 43,791 | ||||||
Nabors Industries, Inc., | ||||||||
2,000 | 5.10%, 09/15/2023 | 1,870 | ||||||
17,000 | 5.50%, 01/15/2023 | 16,448 | ||||||
55,000 | Nationstar Mortgage LLC, 6.50%, 06/01/2022 | 55,550 | ||||||
20,000 | Navistar International Corp., 6.63%, 11/01/2025 (e) | 20,868 | ||||||
10,000 | NCI Building Systems, Inc., 8.25%, 01/15/2023 (e) | 10,600 | ||||||
35,000 | Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/2021 (e) | 20,132 | ||||||
Netflix, Inc., | ||||||||
15,000 | 4.88%, 04/15/2028 (e) | 14,700 | ||||||
17,000 | 5.75%, 03/01/2024 | 18,084 | ||||||
15,000 | 5.88%, 02/15/2025 | 15,937 | ||||||
New Albertson’s, Inc., | ||||||||
10,000 | 7.45%, 08/01/2029 | 8,725 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
75,000 | 8.00%, 05/01/2031 | 67,125 | ||||||
2,000 | 8.70%, 05/01/2030 | 1,875 | ||||||
29,000 | New Home Co., Inc. (The), 7.25%, 04/01/2022 | 30,378 | ||||||
NextEra Energy Operating Partners LP, | ||||||||
4,000 | 4.25%, 09/15/2024 (e) | 4,070 | ||||||
8,000 | 4.50%, 09/15/2027 (e) | 7,960 | ||||||
10,000 | NGPL PipeCo LLC, 4.88%, 08/15/2027 (e) | 10,375 | ||||||
20,000 | Nielsen Co. Luxembourg SARL (The), 5.00%, 02/01/2025 (e) | 20,750 | ||||||
33,000 | Nielsen Finance LLC, 4.50%, 10/01/2020 | 33,248 | ||||||
Noble Energy, Inc., | ||||||||
5,000 | 5.05%, 11/15/2044 | 5,351 | ||||||
5,000 | 5.25%, 11/15/2043 | 5,536 | ||||||
34,000 | Northern Trust Corp., Series D, (ICE LIBOR USD 3 Month + 3.20%), 4.60%, 10/01/2026 (x) (y) (aa) | 35,105 | ||||||
Novelis Corp., | ||||||||
10,000 | 5.88%, 09/30/2026 (e) | 10,200 | ||||||
40,000 | 6.25%, 08/15/2024 (e) | 41,900 | ||||||
12,000 | NRG Energy, Inc., 5.75%, 01/15/2028 (e) | 12,120 | ||||||
6,000 | NRG Yield Operating LLC, 5.38%, 08/15/2024 | 6,210 | ||||||
25,000 | Nuance Communications, Inc., 5.63%, 12/15/2026 | 26,031 | ||||||
18,000 | Oasis Petroleum, Inc., 6.50%, 11/01/2021 | 18,383 | ||||||
9,000 | OI European Group BV, 4.00%, | 9,012 | ||||||
17,000 | Olin Corp., 5.13%, 09/15/2027 | 17,893 | ||||||
8,000 | ONEOK Partners LP, 6.20%, 09/15/2043 | 9,496 | ||||||
3,000 | Oshkosh Corp., 5.38%, 03/01/2025 | 3,184 | ||||||
25,000 | Outfront Media Capital LLC, 5.63%, 02/15/2024 | 26,437 | ||||||
30,000 | Owens Corning, 4.30%, 07/15/2047 | 29,512 | ||||||
40,000 | Owens-Brockway Glass Container, Inc., 6.38%, 08/15/2025 (e) | 44,700 | ||||||
10,000 | Parker Drilling Co., 6.75%, 07/15/2022 | 8,200 | ||||||
5,000 | Parsley Energy LLC, 5.38%, 01/15/2025 (e) | 5,050 | ||||||
PBF Holding Co. LLC, | ||||||||
10,000 | 7.00%, 11/15/2023 | 10,438 | ||||||
20,000 | 7.25%, 06/15/2025 | 21,025 | ||||||
10,000 | PBF Logistics LP, 6.88%, 05/15/2023 | 10,300 | ||||||
10,000 | Peabody Energy Corp., 6.00%, 03/31/2022 (e) | 10,375 | ||||||
32,000 | Penske Automotive Group, Inc., 5.50%, 05/15/2026 | 32,470 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
PetSmart, Inc., | ||||||||
16,000 | 5.88%, 06/01/2025 (e) | 12,280 | ||||||
10,000 | 8.88%, 06/01/2025 (e) | 6,025 | ||||||
29,000 | Phillips 66, 4.88%, 11/15/2044 | 33,187 | ||||||
15,000 | Phillips 66 Partners LP, 4.90%, 10/01/2046 | 15,855 | ||||||
Pilgrim’s Pride Corp., | ||||||||
3,000 | 5.75%, 03/15/2025 (e) | 3,090 | ||||||
10,000 | 5.88%, 09/30/2027 (e) | 10,300 | ||||||
Plains All American Pipeline LP, | ||||||||
3,000 | 4.70%, 06/15/2044 | 2,802 | ||||||
3,000 | 4.90%, 02/15/2045 | 2,879 | ||||||
60,000 | Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, | 59,910 | ||||||
23,000 | Plantronics, Inc., 5.50%, 05/31/2023 (e) | 23,891 | ||||||
21,000 | Polaris Intermediate Corp., 8.50%, (cash), 12/01/2022 (e) (v) | 21,788 | ||||||
26,000 | PolyOne Corp., 5.25%, 03/15/2023 | 27,365 | ||||||
Post Holdings, Inc., | ||||||||
30,000 | 5.00%, 08/15/2026 (e) | 29,513 | ||||||
40,000 | 5.50%, 03/01/2025 (e) | 41,400 | ||||||
20,000 | 5.75%, 03/01/2027 (e) | 20,350 | ||||||
5,000 | PQ Corp., 5.75%, 12/15/2025 (e) | 5,088 | ||||||
19,000 | Prestige Brands, Inc., 5.38%, 12/15/2021 (e) | 19,333 | ||||||
64,000 | Prime Security Services Borrower LLC, 9.25%, 05/15/2023 (e) | 71,040 | ||||||
Prudential Financial, Inc., | ||||||||
29,000 | (ICE LIBOR USD 3 Month + 3.03%), 5.38%, 05/15/2045 (aa) | 31,074 | ||||||
130,000 | (ICE LIBOR USD 3 Month + 3.92%), 5.63%, 06/15/2043 (aa) | 140,790 | ||||||
116,000 | PVH Corp., 4.50%, 12/15/2022 | 118,587 | ||||||
QEP Resources, Inc., | ||||||||
6,000 | 5.25%, 05/01/2023 | 6,071 | ||||||
40,000 | 5.38%, 10/01/2022 | 40,900 | ||||||
6,000 | 5.63%, 03/01/2026 | 6,083 | ||||||
8,000 | 6.88%, 03/01/2021 | 8,640 | ||||||
26,000 | Qorvo, Inc., 7.00%, 12/01/2025 | 29,023 | ||||||
QUALCOMM, Inc., | ||||||||
10,000 | 4.30%, 05/20/2047 | 10,065 | ||||||
10,000 | 4.80%, 05/20/2045 | 10,746 | ||||||
69,000 | Quicken Loans, Inc., 5.75%, 05/01/2025 (e) | 71,416 | ||||||
20,000 | Quintiles IMS, Inc., 4.88%, 05/15/2023 (e) | 20,600 | ||||||
19,000 | Rackspace Hosting, Inc., 8.63%, 11/15/2024 (e) | 20,283 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
Radian Group, Inc., | ||||||||
10,000 | 4.50%, 10/01/2024 | 10,245 | ||||||
8,000 | 7.00%, 03/15/2021 | 8,970 | ||||||
Range Resources Corp., | ||||||||
15,000 | 4.88%, 05/15/2025 | 14,475 | ||||||
5,000 | 5.00%, 08/15/2022 | 4,975 | ||||||
11,000 | 5.00%, 03/15/2023 | 10,945 | ||||||
6,000 | RBS Global, Inc., 4.88%, 12/15/2025 (e) | 6,060 | ||||||
33,000 | Revlon Consumer Products Corp., 6.25%, 08/01/2024 | 20,130 | ||||||
Reynolds Group Issuer, Inc., | ||||||||
25,000 | 5.13%, 07/15/2023 (e) | 25,875 | ||||||
19,382 | 5.75%, 10/15/2020 | 19,673 | ||||||
Rite Aid Corp., | ||||||||
15,000 | 6.13%, 04/01/2023 (e) | 13,538 | ||||||
10,000 | 6.75%, 06/15/2021 | 9,950 | ||||||
Rowan Cos., Inc., | ||||||||
2,000 | 4.75%, 01/15/2024 | 1,760 | ||||||
12,000 | 4.88%, 06/01/2022 | 11,310 | ||||||
12,000 | 7.38%, 06/15/2025 | 12,255 | ||||||
23,000 | RSP Permian, Inc., 6.63%, 10/01/2022 | 24,121 | ||||||
30,000 | Sabre GLBL, Inc., 5.25%, 11/15/2023 (e) | 30,684 | ||||||
23,000 | SBA Communications Corp., 4.00%, 10/01/2022 (e) | 23,029 | ||||||
Scientific Games International, Inc., | ||||||||
45,000 | 7.00%, 01/01/2022 (e) | 47,419 | ||||||
30,000 | 10.00%, 12/01/2022 | 32,925 | ||||||
24,000 | Scotts Miracle-Gro Co. (The), 5.25%, 12/15/2026 | 25,140 | ||||||
50,000 | Sealed Air Corp., 5.13%, 12/01/2024 (e) | 53,500 | ||||||
SemGroup Corp., | ||||||||
15,000 | 5.63%, 11/15/2023 | 14,625 | ||||||
13,000 | 7.25%, 03/15/2026 (e) | 13,293 | ||||||
15,000 | Sensata Technologies BV, 4.88%, 10/15/2023 (e) | 15,675 | ||||||
22,000 | Service Corp. International, 5.38%, 05/15/2024 | 23,183 | ||||||
50,000 | Sinclair Television Group, Inc., 5.88%, 03/15/2026 (e) | 52,000 | ||||||
Sirius XM Radio, Inc., | ||||||||
23,000 | 5.00%, 08/01/2027 (e) | 23,058 | ||||||
40,000 | 5.38%, 04/15/2025 (e) | 41,650 | ||||||
42,000 | Six Flags Entertainment Corp., 4.88%, 07/31/2024 (e) | 42,630 | ||||||
14,000 | SM Energy Co., 5.00%, 01/15/2024 | 13,501 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
30,000 | Solera LLC, 10.50%, 03/01/2024 (e) | 33,749 | ||||||
6,000 | Sonic Automotive, Inc., 6.13%, 03/15/2027 | 5,955 | ||||||
20,000 | Sotheby’s, 4.88%, 12/15/2025 (e) | 19,675 | ||||||
32,000 | Southern Power Co., Series F, 4.95%, 12/15/2046 | 35,070 | ||||||
33,000 | Southwestern Energy Co., 6.70%, 01/23/2025 | 34,279 | ||||||
15,000 | Spectra Energy Partners LP, 4.50%, 03/15/2045 | 15,472 | ||||||
Springleaf Finance Corp., | ||||||||
17,000 | 5.63%, 03/15/2023 | 17,037 | ||||||
5,000 | 6.13%, 05/15/2022 | 5,188 | ||||||
40,000 | 7.75%, 10/01/2021 | 44,000 | ||||||
44,000 | Sprint Capital Corp., 8.75%, 03/15/2032 | 49,940 | ||||||
100,000 | Sprint Communications, Inc., 6.00%, 11/15/2022 | 100,000 | ||||||
146,000 | Sprint Corp., 7.88%, 09/15/2023 | 155,490 | ||||||
Standard Industries, Inc., | ||||||||
20,000 | 4.75%, 01/15/2028 (e) | 20,046 | ||||||
20,000 | 6.00%, 10/15/2025 (e) | 21,350 | ||||||
62,000 | Staples, Inc., 8.50%, 09/15/2025 (e) | 57,350 | ||||||
80,000 | State Street Corp., Series F, (ICE LIBOR USD 3 Month + 3.60%), 5.25%, | 83,904 | ||||||
15,000 | Station Casinos LLC, 5.00%, 10/01/2025 (e) | 15,075 | ||||||
Steel Dynamics, Inc., | ||||||||
5,000 | 4.13%, 09/15/2025 (e) | 5,038 | ||||||
10,000 | 5.00%, 12/15/2026 | 10,575 | ||||||
23,000 | 5.25%, 04/15/2023 | 23,690 | ||||||
15,000 | Summit Materials LLC, 5.13%, 06/01/2025 (e) | 15,300 | ||||||
25,000 | Summit Midstream Holdings LLC, 5.75%, 04/15/2025 | 25,210 | ||||||
Sunoco Logistics Partners Operations LP, | ||||||||
12,000 | 5.30%, 04/01/2044 | 11,862 | ||||||
30,000 | 5.35%, 05/15/2045 | 29,708 | ||||||
SunTrust Banks, Inc., | ||||||||
50,000 | (ICE LIBOR USD 3 Month + 3.86%), 5.63%, 12/15/2019 (x) (y) (aa) | 52,000 | ||||||
40,000 | Series G, (ICE LIBOR USD 3 Month + 3.10%), 5.05%, | 40,500 | ||||||
40,000 | Series H, (ICE LIBOR USD 3 Month + 2.79%), 5.13%, | 39,205 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
SUPERVALU, Inc., | ||||||||
57,000 | 6.75%, 06/01/2021 | 56,786 | ||||||
80,000 | 7.75%, 11/15/2022 | 78,200 | ||||||
19,000 | Symantec Corp., 5.00%, 04/15/2025 (e) | 19,760 | ||||||
Talen Energy Supply LLC, | ||||||||
15,000 | 6.50%, 06/01/2025 | 12,188 | ||||||
20,000 | 9.50%, 07/15/2022 (e) | 20,500 | ||||||
15,000 | Tallgrass Energy Partners LP, 5.50%, 09/15/2024 (e) | 15,394 | ||||||
Targa Resources Partners LP, | ||||||||
5,000 | 4.25%, 11/15/2023 | 4,944 | ||||||
5,000 | 5.00%, 01/15/2028 (e) | 4,988 | ||||||
45,000 | 5.13%, 02/01/2025 | 46,069 | ||||||
10,000 | 5.38%, 02/01/2027 | 10,262 | ||||||
41,000 | Team Health Holdings, Inc., 6.38%, 02/01/2025 (e) | 36,593 | ||||||
60,000 | TEGNA, Inc., 6.38%, 10/15/2023 | 62,850 | ||||||
88,000 | Teleflex, Inc., 5.25%, 06/15/2024 | 91,740 | ||||||
Tempur Sealy International, Inc., | ||||||||
25,000 | 5.50%, 06/15/2026 | 25,630 | ||||||
8,000 | 5.63%, 10/15/2023 | 8,320 | ||||||
Tenet Healthcare Corp., | ||||||||
25,000 | 4.63%, 07/15/2024 (e) | 24,375 | ||||||
37,000 | 5.13%, 05/01/2025 (e) | 36,075 | ||||||
73,000 | 6.00%, 10/01/2020 | 77,183 | ||||||
28,000 | 6.75%, 06/15/2023 | 27,160 | ||||||
10,000 | 7.00%, 08/01/2025 (e) | 9,400 | ||||||
45,000 | 8.13%, 04/01/2022 | 45,787 | ||||||
28,000 | Terex Corp., 5.63%, 02/01/2025 (e) | 29,260 | ||||||
20,000 | Terraform Global Operating LLC, 9.75%, 08/15/2022 (e) | 22,125 | ||||||
TerraForm Power Operating LLC, | ||||||||
15,000 | 4.25%, 01/31/2023 (e) | 14,888 | ||||||
19,000 | 5.00%, 01/31/2028 (e) | 18,810 | ||||||
20,000 | SUB, 6.63%, 06/15/2025 (e) | 21,800 | ||||||
28,000 | Tesla, Inc., 5.30%, 08/15/2025 (e) | 26,740 | ||||||
120,000 | T-Mobile USA, Inc., 6.38%, 03/01/2025 | 128,400 | ||||||
11,000 | Toll Brothers Finance Corp., 5.88%, 02/15/2022 | 11,990 | ||||||
TransDigm, Inc., | ||||||||
37,000 | 6.00%, 07/15/2022 | 37,832 | ||||||
12,000 | 6.50%, 07/15/2024 | 12,300 | ||||||
13,000 | 6.50%, 05/15/2025 | 13,293 | ||||||
33,300 | Transocean Proteus Ltd., 6.25%, 12/01/2024 (e) | 34,923 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
Transocean, Inc., | ||||||||
7,000 | 5.80%, 10/15/2022 | 6,895 | ||||||
44,000 | 6.80%, 03/15/2038 | 35,475 | ||||||
20,000 | 7.50%, 01/15/2026 (e) | 20,481 | ||||||
7,000 | 7.50%, 04/15/2031 | 6,230 | ||||||
37,000 | 9.00%, 07/15/2023 (e) | 40,006 | ||||||
11,000 | 9.35%, 12/15/2041 | 10,643 | ||||||
9,000 | TriMas Corp., 4.88%, 10/15/2025 (e) | 9,034 | ||||||
8,000 | Trinseo Materials Operating SCA, 5.38%, | 8,280 | ||||||
8,000 | Tronox Finance plc, 5.75%, 10/01/2025 (e) | 8,220 | ||||||
36,000 | Tutor Perini Corp., 6.88%, 05/01/2025 (e) | 38,700 | ||||||
Ultra Resources, Inc., | ||||||||
74,000 | 6.88%, 04/15/2022 (e) | 74,185 | ||||||
33,000 | 7.13%, 04/15/2025 (e) | 32,918 | ||||||
45,000 | Unit Corp., 6.63%, 05/15/2021 | 45,338 | ||||||
United Continental Holdings, Inc., | ||||||||
13,000 | 4.25%, 10/01/2022 | 13,033 | ||||||
33,000 | 5.00%, 02/01/2024 | 33,660 | ||||||
United Rentals North America, Inc., | ||||||||
10,000 | 4.63%, 10/15/2025 | 10,075 | ||||||
142,000 | 4.88%, 01/15/2028 | 142,710 | ||||||
5,000 | 5.50%, 05/15/2027 | 5,263 | ||||||
5,000 | United States Steel Corp., 8.38%, 07/01/2021 (e) | 5,428 | ||||||
20,000 | Uniti Group LP, 6.00%, 04/15/2023 (e) | 19,650 | ||||||
10,000 | Univar USA, Inc., 6.75%, 07/15/2023 (e) | 10,450 | ||||||
Univision Communications, Inc., | ||||||||
15,000 | 5.13%, 05/15/2023 (e) | 14,962 | ||||||
10,000 | 5.13%, 02/15/2025 (e) | 9,750 | ||||||
5,000 | 6.75%, 09/15/2022 (e) | 5,194 | ||||||
20,000 | US Concrete, Inc., 6.38%, 06/01/2024 | 21,450 | ||||||
6,000 | USIS Merger Sub, Inc., 6.88%, 05/01/2025 (e) | 6,060 | ||||||
Valeant Pharmaceuticals International, Inc., | ||||||||
23,000 | 5.50%, 11/01/2025 (e) | 23,403 | ||||||
105,000 | 5.88%, 05/15/2023 (e) | 97,256 | ||||||
36,000 | 6.50%, 03/15/2022 (e) | 37,800 | ||||||
60,000 | 7.25%, 07/15/2022 (e) | 60,675 | ||||||
20,000 | 9.00%, 12/15/2025 (e) | 20,844 | ||||||
14,000 | Valvoline, Inc., 4.38%, 08/15/2025 | 14,140 | ||||||
21,000 | Venator Finance SARL, 5.75%, 07/15/2025 (e) | 22,155 | ||||||
Verizon Communications, Inc., | ||||||||
35,000 | 4.52%, 09/15/2048 | 34,431 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
29,000 | 5.01%, 04/15/2049 | 30,388 | ||||||
10,000 | 5.50%, 03/16/2047 | 11,384 | ||||||
10,000 | Versum Materials, Inc., 5.50%, | 10,700 | ||||||
74,000 | Vertiv Group Corp., 9.25%, 10/15/2024 (e) | 78,995 | ||||||
Viacom, Inc., | ||||||||
37,000 | 4.38%, 03/15/2043 | 32,005 | ||||||
20,000 | (ICE LIBOR USD 3 Month + 3.90%), 5.88%, 02/28/2057 (aa) | 19,675 | ||||||
20,000 | (ICE LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/2057 (aa) | 19,525 | ||||||
10,000 | ViaSat, Inc., 5.63%, 09/15/2025 (e) | 10,075 | ||||||
Voya Financial, Inc., | ||||||||
15,000 | 4.80%, 06/15/2046 | 16,694 | ||||||
50,000 | (ICE LIBOR USD 3 Month + 3.58%), 5.65%, 05/15/2053 (aa) | 53,250 | ||||||
10,000 | Vulcan Materials Co., 4.50%, 06/15/2047 | 10,201 | ||||||
7,000 | Wabash National Corp., 5.50%, | 7,053 | ||||||
11,000 | Walgreens Boots Alliance, Inc., 4.80%, 11/18/2044 | 11,833 | ||||||
Weatherford International Ltd., | ||||||||
16,000 | 4.50%, 04/15/2022 | 14,480 | ||||||
19,000 | 6.50%, 08/01/2036 | 15,628 | ||||||
4,000 | 6.75%, 09/15/2040 | 3,280 | ||||||
9,000 | 7.00%, 03/15/2038 | 7,560 | ||||||
4,000 | 9.88%, 02/15/2024 | 4,250 | ||||||
13,000 | WellCare Health Plans, Inc., 5.25%, 04/01/2025 | 13,715 | ||||||
130,000 | Wells Fargo & Co., Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, | 139,061 | ||||||
20,000 | WESCO Distribution, Inc., 5.38%, 06/15/2024 | 20,550 | ||||||
4,000 | West Street Merger Sub, Inc., 6.38%, 09/01/2025 (e) | 4,010 | ||||||
40,000 | Western Digital Corp., 10.50%, 04/01/2024 | 46,350 | ||||||
5,000 | Western Gas Partners LP, 5.45%, 04/01/2044 | 5,309 | ||||||
15,000 | Westlake Chemical Corp., 4.38%, 11/15/2047 | 15,563 | ||||||
Whiting Petroleum Corp., | ||||||||
25,000 | 5.00%, 03/15/2019 | 25,637 | ||||||
19,000 | 5.75%, 03/15/2021 | 19,499 | ||||||
2,000 | 6.25%, 04/01/2023 | 2,053 | ||||||
11,000 | 6.63%, 01/15/2026 (e) | 11,220 | ||||||
41,000 | Williams Cos., Inc. (The), 4.55%, 06/24/2024 | 42,538 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
41,000 | Windstream Services LLC, 8.75%, 12/15/2024 (e) | 28,649 | ||||||
60,000 | WMG Acquisition Corp., 5.00%, | 62,100 | ||||||
20,000 | Wynn Las Vegas LLC, 5.50%, 03/01/2025 (e) | 20,600 | ||||||
XPO Logistics, Inc., | ||||||||
5,000 | 6.13%, 09/01/2023 (e) | 5,287 | ||||||
17,000 | 6.50%, 06/15/2022 (e) | 17,744 | ||||||
Zayo Group LLC, | ||||||||
29,000 | 5.75%, 01/15/2027 (e) | 29,580 | ||||||
30,000 | 6.38%, 05/15/2025 | 31,725 | ||||||
|
| |||||||
16,608,998 | ||||||||
|
| |||||||
Total Corporate Bonds | 19,364,674 | |||||||
|
| |||||||
SHARES | ||||||||
Investment Companies — 8.9% (b) | ||||||||
328,420 | JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 2,748,879 | ||||||
103,463 | JPMorgan Equity Income Fund, Class R6 Shares | 1,800,259 | ||||||
|
| |||||||
Total Investment Companies | 4,549,138 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Loan Assignments — 0.2% (cc) | ||||||||
Canada — 0.0% (g) |
| |||||||
5,000 | MacDonald, Dettwiler and Associates Ltd., Term Loan B, (ICE LIBOR USD 3 Month + 2.75%), 4.10%, 10/04/2024 (aa) | 5,022 | ||||||
|
| |||||||
United States — 0.2% |
| |||||||
13,000 | Cincinnati Bell, Inc., Term Loan B, (ICE LIBOR USD 3 Month + 3.75%), 5.11%, 10/02/2024 (aa) | 13,134 | ||||||
100,000 | Securus Technologies Holdings, Inc., 1st Lien, Term Loan, (ICE LIBOR USD 1 Month + 4.50%), 6.12%, 11/01/2024 (aa) | 100,938 | ||||||
|
| |||||||
114,072 | ||||||||
|
| |||||||
Total Loan Assignments | 119,094 | |||||||
|
| |||||||
SHARES | ||||||||
Preferred Stocks — 0.5% | ||||||||
United States — 0.5% |
| |||||||
2,000 | BB&T Corp., Series G, 5.20%, 06/01/2018 ($25 par value) @ | 50,320 | ||||||
5,000 | Dominion Energy, Inc., Series A, 5.25%, 07/30/2076 ($25 par value) | 127,850 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
1,000 | Southern Co. (The), 5.25%, 10/01/2076 ($25 par value) | 25,700 | ||||||
1,000 | State Street Corp., Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 03/15/2026 | 27,120 | ||||||
|
| |||||||
Total Preferred Stocks | 230,990 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
U.S. Treasury Obligation — 0.4% | ||||||||
195,000 | U.S. Treasury Notes, 0.75%, 01/31/2018 (k) | 194,926 | ||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights — 0.0% (g) | ||||||||
Spain — 0.0% (g) |
| |||||||
2,477 | Repsol SA, expiring 01/05/2018 (a) | 1,126 | ||||||
|
| |||||||
NUMBER OF WARRANTS | ||||||||
Warrants — 0.9% | ||||||||
Switzerland — 0.9% |
| |||||||
30,413 | Fuyao Glass Industry Group Co. Ltd., expiring 03/07/2018 (Strike Price $1.00) (a) | 135,983 | ||||||
8,100 | Henan Shuanghui Investment & Development, expiring 10/29/2018 (a) | 33,095 | ||||||
20,100 | Huayu Automotive Systems Co. Ltd., expiring 10/29/2018 (a) | 92,009 | ||||||
4,200 | Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., expiring 10/29/2018 (a) | 74,469 | ||||||
12,980 | Midea Group Co. Ltd., expiring 03/07/2018 (a) | 110,485 | ||||||
6,930 | Zhengzhou Yutong Bus Co. Ltd., expiring 04/09/2018 (a) | 25,718 | ||||||
|
| |||||||
Total Warrants | 471,759 | |||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investment — 2.0% | ||||||||
Investment Company — 2.0% |
| |||||||
1,037,220 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.14% (b) (l) (Cost $1,037,220) | 1,037,220 | ||||||
|
| |||||||
Total Investments — 98.6% | 50,183,696 | |||||||
Other Assets in Excess of | 714,620 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 50,898,316 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
Summary of Investments by Industry, December 31, 2017
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Investment Companies | 9.1 | % | ||
Banks | 8.5 | |||
Oil, Gas & Consumable Fuels | 7.7 | |||
Equity Real Estate Investment Trusts (REITs) | 6.5 | |||
Asset-Backed Securities | 4.5 | |||
Capital Markets | 4.5 | |||
Insurance | 4.0 | |||
Collateralized Mortgage Obligations | 3.4 | |||
Diversified Telecommunication Services | 3.3 | |||
Media | 3.1 | |||
Pharmaceuticals | 2.6 | |||
Health Care Providers & Services | 2.3 | |||
Wireless Telecommunication Services | 2.0 | |||
Metals & Mining | 1.9 | |||
Electric Utilities | 1.8 |
INDUSTRY | PERCENTAGE | |||
Semiconductors & Semiconductor Equipment | 1.7 | % | ||
Food & Staples Retailing | 1.7 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Chemicals | 1.4 | |||
IT Services | 1.3 | |||
Tobacco | 1.3 | |||
Technology Hardware, Storage & Peripherals | 1.3 | |||
Automobiles | 1.2 | |||
Auto Components | 1.2 | |||
Household Durables | 1.1 | |||
Independent Power and Renewable Electricity Producers | 1.1 | |||
Consumer Finance | 1.1 | |||
Food Products | 1.1 | |||
Others (each less than 1.0%) | 15.7 | |||
Short-Term Investment | 2.1 |
Futures contracts outstanding as of December 31, 2017: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | 1 | 03/2018 | EUR | 41,804 | (592 | ) | ||||||||||||||
S&P 500 E-Mini Index | 9 | 03/2018 | USD | 1,204,200 | 15,192 | |||||||||||||||
|
| |||||||||||||||||||
14,600 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Foreign Exchange EUR/USD | (6) | 03/2018 | USD | (905,663 | ) | (18,974 | ) | |||||||||||||
Foreign Exchange GBP/USD | (18) | 03/2018 | USD | (1,525,162 | ) | (20,284 | ) | |||||||||||||
MSCI Emerging Markets E-Mini Index | (25) | 03/2018 | USD | (1,454,625 | ) | (57,802 | ) | |||||||||||||
U.S. Treasury 5 Year Note | (29) | 03/2018 | USD | (3,368,305 | ) | 12,173 | ||||||||||||||
|
| |||||||||||||||||||
(84,887 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
(70,287 | ) | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
ADR | — American Depositary Receipt | |
ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of December 31, 2017. | |
CVA | — Dutch Certification | |
EUR | — Euro | |
FNMA | — Federal National Mortgage Association | |
GBP | — British Pound | |
GDR | — Global Depositary Receipt | |
ICE | — Intercontinental Exchange | |
LIBOR | — London Interbank Offered Rate | |
MSCI | — Morgan Stanley Capital International | |
NVDR | — Non-Voting Depositary Receipt | |
Reg. S | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), 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, or pursuant to an exemption from registration. | |
REIT | — Real Estate Investment Trust. | |
SUB | — Step-Up Bond. The interest rate shown is the rate in effect as of December 31, 2017. | |
USD | — United States Dollar | |
(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. | |
(d) | — Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act. 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 0.05%. |
(k) | — All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(l) | — The rate shown is the current yield as of December 31, 2017. | |
(v) | — Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(x) | — Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of December 31, 2017. | |
(y) | — Security is an interest bearing note with preferred security characteristics. | |
(z) | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2017. | |
(aa) | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2017. | |
(bb) | — Security has been valued using significant unobservable inputs. | |
(cc) | — Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
@ | — 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, 2017. |
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.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017
Income Builder Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 44,597,338 | ||
Investments in affiliates, at value | 5,586,358 | |||
Cash | 432,822 | |||
Foreign currency, at value | 22,049 | |||
Deposits at broker for futures contracts | 4,000 | |||
Receivables: | ||||
Investment securities sold | 10,416 | |||
Portfolio shares sold | 32,349 | |||
Interest and dividends from non-affiliates | 301,703 | |||
Dividends from affiliates | 981 | |||
Tax reclaims | 25,201 | |||
Variation margin on futures contracts | 7,492 | |||
Due from Adviser | 8,763 | |||
|
| |||
Total Assets | 51,029,472 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 7,916 | |||
Portfolio shares redeemed | 1,088 | |||
Accrued liabilities: | ||||
Distribution fees | 8,823 | |||
Custodian and accounting fees | 49,548 | |||
Trustees’ and Chief Compliance Officer’s fees | 121 | |||
Audit fees | 58,938 | |||
Other | 4,722 | |||
|
| |||
Total Liabilities | 131,156 | |||
|
| |||
Net Assets | $ | 50,898,316 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 47,551,128 | ||
Accumulated undistributed net investment income | (73,463 | ) | ||
Accumulated net realized gains (losses) | 57,914 | |||
Net unrealized appreciation (depreciation) | 3,362,737 | |||
|
| |||
Total Net Assets | $ | 50,898,316 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 8,776,419 | ||
Class 2 | 42,121,897 | |||
|
| |||
Total | $ | 50,898,316 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 826,359 | |||
Class 2 | 3,967,999 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 10.62 | ||
Class 2 | 10.62 | |||
Cost of investments in non-affiliates | $ | 41,543,562 | ||
Cost of investments in affiliates | 5,208,861 | |||
Cost of foreign currency | 21,927 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Income Builder Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 1,335,727 | ||
Interest income from affiliates | 729 | |||
Dividend income from non-affiliates | 583,803 | |||
Dividend income from affiliates | 150,192 | |||
Foreign taxes withheld | (37,999 | ) | ||
|
| |||
Total investment income | 2,032,452 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 221,052 | |||
Administration fees | 40,064 | |||
Distribution fees — Class 2 | 112,024 | |||
Custodian and accounting fees | 146,679 | |||
Interest expense to affiliates | 46 | |||
Professional fees | 115,276 | |||
Trustees’ and Chief Compliance Officer’s fees | 25,786 | |||
Printing and mailing costs | 12,247 | |||
Transfer agency fees — Class 1 | 123 | |||
Transfer agency fees — Class 2 | 1,843 | |||
Other | 6,401 | |||
|
| |||
Total expenses | 681,541 | |||
|
| |||
Less fees waived | (236,508 | ) | ||
Less expense reimbursements | (41,056 | ) | ||
|
| |||
Net expenses | 403,977 | |||
|
| |||
Net investment income (loss) | 1,628,475 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 748,571 | |||
Investments in affiliates | 961,619 | |||
Futures contracts | (116,307 | ) | ||
Foreign currency transactions | 3,772 | |||
|
| |||
Net realized gain (loss) | 1,597,655 | |||
|
| |||
Distributions of capital gains received from investment company affiliates | 15,705 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 2,085,132 | |||
Investments in affiliates | 230,441 | |||
Futures contracts | (131,422 | ) | ||
Foreign currency translations | 2,708 | |||
|
| |||
Change in net unrealized appreciation/depreciation | 2,186,859 | |||
|
| |||
Net realized/unrealized gains (losses) | 3,800,219 | |||
|
| |||
Change in net assets resulting from operations | $ | 5,428,694 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Income Builder Portfolio | ||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 1,628,475 | $ | 1,423,000 | ||||
Net realized gain (loss) | 1,597,655 | (618,693 | ) | |||||
Distributions of capital gains received from investment company affiliates | 15,705 | 17,101 | ||||||
Change in net unrealized appreciation/depreciation | 2,186,859 | 1,756,629 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 5,428,694 | 2,578,037 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (314,113 | ) | (3,288 | ) | ||||
From net realized gains | (75,570 | ) | — | |||||
Return of capital | — | (101 | ) | |||||
Class 2 | ||||||||
From net investment income | (1,377,677 | ) | (1,422,951 | ) | ||||
From net realized gains | (384,336 | ) | — | |||||
Return of capital | — | (40,235 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | (2,151,696 | ) | (1,466,575 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (950,140 | ) | 17,369,425 | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 2,326,858 | 18,480,887 | ||||||
Beginning of period | 48,571,458 | 30,090,571 | ||||||
|
|
|
| |||||
End of period | $ | 50,898,316 | $ | 48,571,458 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | (73,463 | ) | $ | 7,222 | |||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 10,804,890 | $ | — | ||||
Distributions reinvested | 389,683 | 3,389 | ||||||
Cost of shares redeemed | (2,573,327 | ) | — | |||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 8,621,246 | $ | 3,389 | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 17,463,574 | $ | 21,578,662 | ||||
Distributions reinvested | 1,762,013 | 1,463,186 | ||||||
Cost of shares redeemed | (28,796,973 | ) | (5,675,812 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | (9,571,386 | ) | $ | 17,366,036 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (950,140 | ) | $ | 17,369,425 | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 1,020,481 | — | ||||||
Reinvested | 36,489 | 342 | ||||||
Redeemed | (241,287 | ) | — | |||||
|
|
|
| |||||
Change in Class 1 Shares | 815,683 | 342 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 1,663,469 | 2,188,720 | ||||||
Reinvested | 165,048 | 147,797 | ||||||
Redeemed | (2,745,359 | ) | (567,621 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (916,842 | ) | 1,768,896 | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 27 |
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 realized gain | Return of capital | Total distributions | |||||||||||||||||||||||||
Income Builder Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 9.93 | $ | 0.37 | (g) | $ | 0.81 | $ | 1.18 | $ | (0.39 | ) | $ | (0.10 | ) | $ | — | $ | (0.49 | ) | ||||||||||||
Year Ended December 31, 2016 | 9.63 | 0.37 | (g) | 0.26 | 0.63 | (0.32 | ) | — | (0.01 | ) | (0.33 | ) | ||||||||||||||||||||
Year Ended December 31, 2015 | 9.95 | 0.36 | (g) | (0.40 | ) | (0.04 | ) | (0.27 | ) | (0.01 | ) | — | (0.28 | ) | ||||||||||||||||||
December 9, 2014 (i) through December 31, 2014 | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | 9.92 | 0.35 | (g) | 0.81 | 1.16 | (0.36 | ) | (0.10 | ) | — | (0.46 | ) | ||||||||||||||||||||
Year Ended December 31, 2016 | 9.63 | 0.35 | (g) | 0.25 | 0.60 | (0.30 | ) | — | (0.01 | ) | (0.31 | ) | ||||||||||||||||||||
Year Ended December 31, 2015 | 9.95 | 0.33 | (g) | (0.39 | ) | (0.06 | ) | (0.25 | ) | (0.01 | ) | — | (0.26 | ) | ||||||||||||||||||
December 9, 2014 (i) through December 31, 2014 | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | (0.03 | ) | — | — | (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 0.005% unless otherwise noted. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Calculated based upon average shares outstanding. |
(h) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the year ended December 31, 2015 and the period ended December 31, 2014. |
(i) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 10.62 | 11.89 | % | $ | 8,776,419 | 0.59 | % | 3.40 | % | 1.26 | % | 85 | % | |||||||||||||
9.93 | 6.53 | 106,032 | 0.60 | 3.72 | 1.27 | 46 | ||||||||||||||||||||
9.63 | (0.31 | ) | 99,526 | 0.60 | (h) | 3.56 | (h) | 1.44 | (h) | 42 | ||||||||||||||||
9.95 | (0.17 | ) | 99,795 | 0.60 | (h) | 4.67 | (h) | 7.83 | (h) | 1 | ||||||||||||||||
10.62 | 11.70 | 42,121,897 | 0.84 | 3.31 | 1.40 | 85 | ||||||||||||||||||||
9.92 | 6.21 | 48,465,426 | 0.85 | 3.47 | 1.49 | 46 | ||||||||||||||||||||
9.63 | (0.50 | ) | 29,991,045 | 0.85 | (h) | 3.30 | (h) | 1.71 | (h) | 42 | ||||||||||||||||
9.95 | (0.18 | ) | 19,856,239 | 0.85 | (h) | 4.42 | (h) | 8.08 | (h) | 1 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
AS OF DECEMBER 31, 2017
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.
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 transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
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 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the 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 affiliated and unaffiliated 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, as well as certain derivatives with equity reference obligations are valued by applying international fair value factors 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 Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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, 2017.
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.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | 306,295 | $ | 1,966,076 | $ | 2,272,371 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
United States | — | 1,722,354 | — | 1,722,354 | ||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
United States | — | 45,891 | — | 45,891 | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | — | 268,832 | — | 268,832 | ||||||||||||
Belgium | 15,128 | 80,333 | — | 95,461 | ||||||||||||
Brazil | 514,868 | — | — | 514,868 | ||||||||||||
Canada | 141,049 | — | — | 141,049 | ||||||||||||
Chile | 129,270 | — | — | 129,270 | ||||||||||||
China | — | 402,942 | — | 402,942 | ||||||||||||
Czech Republic | 103,042 | 85,800 | — | 188,842 | ||||||||||||
Denmark | — | 188,540 | — | 188,540 | ||||||||||||
Finland | 36,646 | 365,168 | — | 401,814 | ||||||||||||
France | 23,451 | 1,303,651 | — | 1,327,102 | ||||||||||||
Germany | 31,193 | 866,239 | — | 897,432 | ||||||||||||
Hong Kong | 131,533 | 276,317 | — | 407,850 | ||||||||||||
Hungary | — | 110,439 | — | 110,439 | ||||||||||||
India | 124,764 | — | — | 124,764 | ||||||||||||
Indonesia | 119,472 | — | — | 119,472 | ||||||||||||
Ireland | 18,975 | — | — | 18,975 | ||||||||||||
Italy | 30,523 | 313,061 | — | 343,584 | ||||||||||||
Japan | 110,529 | 364,332 | — | 474,861 | ||||||||||||
Mexico | 293,457 | — | — | 293,457 | ||||||||||||
Netherlands | 43,556 | 636,377 | — | 679,933 | ||||||||||||
Norway | — | 139,285 | — | 139,285 | ||||||||||||
Portugal | 16,505 | 21,680 | — | 38,185 | ||||||||||||
Russia | 210,881 | 256,162 | — | 467,043 | ||||||||||||
Singapore | — | 141,905 | — | 141,905 | ||||||||||||
South Africa | 177,134 | 358,860 | — | 535,994 | ||||||||||||
South Korea | 149,339 | 158,455 | — | 307,794 | ||||||||||||
Spain | — | 597,161 | — | 597,161 | ||||||||||||
Sweden | — | 379,805 | — | 379,805 | ||||||||||||
Switzerland | — | 887,663 | — | 887,663 | ||||||||||||
Taiwan | 495,717 | 448,277 | — | 943,994 | ||||||||||||
Thailand | 60,023 | 167,603 | — | 227,626 | ||||||||||||
Turkey | 28,929 | 122,496 | — | 151,425 | ||||||||||||
United Arab Emirates | 96,278 | — | — | 96,278 | ||||||||||||
United Kingdom | 393,752 | 2,106,211 | — | 2,499,963 | ||||||||||||
United States | 5,627,081 | — | — | 5,627,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 9,123,095 | 11,047,594 | — | 20,170,689 | ||||||||||||
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|
|
|
|
|
|
|
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
Level 1 Quoted prices | Level 2 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Convertible Bonds | ||||||||||||||||
United States | $ | — | $ | 3,464 | $ | — | $ | 3,464 | ||||||||
Corporate Bonds | ||||||||||||||||
Australia | — | 287,275 | — | 287,275 | ||||||||||||
Belgium | — | 39,484 | — | 39,484 | ||||||||||||
Brazil | — | 129,184 | — | 129,184 | ||||||||||||
Canada | — | 947,755 | — | 947,755 | ||||||||||||
Finland | — | 51,935 | — | 51,935 | ||||||||||||
Ireland | — | 48,052 | — | 48,052 | ||||||||||||
Israel | — | 37,918 | — | 37,918 | ||||||||||||
Italy | — | 52,568 | — | 52,568 | ||||||||||||
Luxembourg | — | 209,880 | — | 209,880 | ||||||||||||
Mexico | — | 210,750 | — | 210,750 | ||||||||||||
Switzerland | — | 216,750 | — | 216,750 | ||||||||||||
United Arab Emirates | — | 62,383 | — | 62,383 | ||||||||||||
United Kingdom | — | 461,742 | — | 461,742 | ||||||||||||
United States | — | 16,581,389 | 27,609 | 16,608,998 | ||||||||||||
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| |||||||||
Total Corporate Bonds | — | 19,337,065 | 27,609 | 19,364,674 | ||||||||||||
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|
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| |||||||||
Investment Companies | ||||||||||||||||
United States | 4,549,138 | — | — | 4,549,138 | ||||||||||||
Loan Assignments | ||||||||||||||||
Canada | — | 5,022 | — | 5,022 | ||||||||||||
United States | — | 114,072 | — | 114,072 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | — | 119,094 | — | 119,094 | ||||||||||||
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|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
United States | 230,990 | — | — | 230,990 | ||||||||||||
Right | ||||||||||||||||
Spain | 1,126 | — | — | 1,126 | ||||||||||||
U.S. Treasury Obligation | ||||||||||||||||
United States | — | 194,926 | — | 194,926 | ||||||||||||
Warrants | ||||||||||||||||
Switzerland | 110,485 | 361,274 | — | 471,759 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 1,037,220 | — | — | 1,037,220 | ||||||||||||
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|
|
| |||||||||
Total Investments in Securities | $ | 15,052,054 | $ | 33,137,957 | $ | 1,993,685 | $ | 50,183,696 | ||||||||
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|
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| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 27,365 | $ | — | $ | — | $ | 27,365 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (97,060 | ) | $ | (592 | ) | $ | — | $ | (97,652 | ) | |||||
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|
Transfers between fair value levels are valued utilizing values as of the beginning of the year.
Transfers from level 2 to level 1 in the amount of $286,630 are due to the non-application of the fair value factors to certain securities during the year ended December 31, 2017.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of December 31, 2016 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2017 | ||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,835,227 | $ | — | $ | 61,067 | $ | 6,150 | $ | 383,343 | $ | (418,091 | ) | $ | 98,380 | $ | — | $ | 1,966,076 | |||||||||||||||||
Corporate Bonds — United States | — | — | (96 | ) | 396 | 27,309 | — | — | — | 27,609 | ||||||||||||||||||||||||||
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| |||||||||||||||||||
Total | $ | 1,835,227 | $ | — | $ | 60,971 | $ | 6,546 | $ | 410,652 | $ | (418,091 | ) | $ | 98,380 | $ | — | $ | 1,993,685 | |||||||||||||||||
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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. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2017, which were valued using significant unobservable inputs (level 3) amounted to $60,971. 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, 2017 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 1,966,076 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 10.00% (6.58%) | ||||||||
Constant Default Rate | 2.75% - 6.90% (4.43%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 2.37% - 6.93% (3.82%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 1,966,076 | |||||||||||
| ||||||||||||
27,600 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 10.22% (10.22%) | |||||||||
9 | Pending Distribution Amount | Expected Recovery | 0.00% (0.00%) | |||||||||
|
| |||||||||||
Corporate Bonds | 27,609 | |||||||||||
| ||||||||||||
Total | $ | 1,993,685 | ||||||||||
|
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. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. 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 issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2017 | ||||||||||||||||||||||||||||||||||||
Security Description | Shares at December 31, 2017 | Market Value December 31, 2016 ($) | Purchases at Cost ($) | Proceeds from Sales ($) | Net Realized Gain (Loss) ($) | Change in Unrealized Appreciation/ (Depreciation) ($) | Market Value December 31, 2017 ($) | Dividend/ Interest Income ($) | Capital Gain Distributions ($) | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | 328,420 | 1,455,132 | 1,804,139 | 585,513 | (9,080 | ) | 84,201 | 2,748,879 | 87,911 | — | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | — | 2,179,570 | 841,581 | 3,788,980 | 753,119 | 14,710 | — | — | — | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund, Class R6 Shares | 103,463 | 2,898,895 | 1,223,831 | 2,671,577 | 217,580 | 131,530 | 1,800,259 | 54,286 | 15,705 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | 1,037,220 | 1,417,157 | 36,211,435 | 36,591,372 | — | — | 1,037,220 | 7,995 | — | |||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | 7,950,754 | 40,080,986 | 43,637,442 | 961,619 | 230,441 | 5,586,358 | 150,192 | 15,705 | ||||||||||||||||||||||||||||
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DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
C. Loan Assignments — The Portfolio invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental, or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Portfolio invests in loan assignments of all or a portion of the loans. When a portfolio purchases a loan assignment, the portfolio has direct rights against the Borrower on a loan, provided, however, the portfolio’s rights may be more limited than the Lender from which they acquired the assignment and the portfolio may be able to enforce its rights only through the Agent. As a result, the portfolio assumes the credit risk of the Borrower as well as any other persons interpositioned between the portfolio and the Borrower (“Intermediate Participants”). A portfolio may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a portfolio could experience delays or limitations in realizing the value on such collateral or have their interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a portfolio may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
D. When Issued, Delayed Delivery Securities and Forward Commitments — The Portfolio purchased when issued securities and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when issued, delayed delivery, or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Portfolio may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when issued, delayed delivery, or forward commitment basis is not accrued until the settlement date.
E. Futures Contracts — The Portfolio used 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 used 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 on 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 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, foreign currency 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.
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The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2017:
Futures Contracts: | ||||
Equity | ||||
Average Notional Balance Long | $ | 447,197 | ||
Average Notional Balance Short | 1,405,375 | (a) | ||
Ending Notional Balance Long | 1,246,004 | |||
Ending Notional Balance Short | 1,454,625 | |||
Foreign Exchange | ||||
Average Notional Balance Short | 2,297,143 | |||
Ending Notional Balance Short | 2,430,825 | |||
Interest Rate | ||||
Average Notional Balance Short | 4,444,875 | |||
Ending Notional Balance Short | 3,368,305 |
(a) | For the period September 1, 2017 through December 31, 2017. |
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).
F. Summary of Derivatives Information — The following table presents the value of derivatives held as of December 31, 2017, 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: | Futures Contracts (a) | |||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 12,173 | |||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | 15,192 | ||||
|
| |||||
$ | 27,365 | |||||
|
| |||||
Gross Liabilities: | ||||||
Foreign exchange contracts | Payables, Net Assets — Unrealized Depreciation | $ | (39,258 | ) | ||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | (58,394 | ) | |||
|
| |||||
Total | $ | (97,652 | ) | |||
|
|
(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 from/to brokers. |
The following table presents the effect of derivatives on the Statement of Operations for the year ended December 31, 2017, by primary underlying risk exposure:
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | 26,660 | ||
Foreign exchange contracts | (148,003 | ) | ||
Interest rate contracts | 5,036 | |||
|
| |||
Total | $ | (116,307 | ) | |
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | (43,202 | ) | |
Foreign exchange contracts | (72,686 | ) | ||
Interest rate contracts | (15,534 | ) | ||
|
| |||
Total | $ | (131,422 | ) | |
|
|
The Portfolio’s derivatives contracts held at December 31, 2017 are not accounted for as hedging instruments under GAAP.
G. 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
The Portfolio does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.
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.
H. 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. Certain Portfolios may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Portfolio. These amounts are included in Interest Income on the Statement of Operations.
I. 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 affiliated Underlying Funds are waived as described in Note 3.E.
J. 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, 2017, 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, remain subject to examination by the Internal Revenue Service.
K. 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.
L. 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 excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | 36,336 | $ | (17,370 | ) | $ | (18,966 | ) |
The reclassifications for the Portfolio relate primarily to investments in perpetual bonds.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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%.
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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, 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, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, 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 performing 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 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 (for all share classes), Administrator (for all share classes) and/or JPMDS (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 other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) 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, 2017 and is in place until at least April 30, 2018.
For the year ended December 31, 2017, the Portfolio’s service providers waived fees and/or reimbursed expenses 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 Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
$ | 194,288 | $ | 40,064 | $ | 234,352 | $ | 41,056 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2017 was $2,156.
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 may 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 JPMDS. 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
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, 2017, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2017, the Portfolio incurred $7 in 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 year ended December 31, 2017, 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 | |||||||||||||
$ | 40,094,018 | $ | 41,761,105 | $ | 165,763 | $ | 114,999 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2017 were as follows:
Aggregate Cost | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 46,874,848 | $ | 3,778,878 | $ | 537,831 | $ | 3,241,047 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to market of futures contracts, investments in perpetual bonds and investments in passive foreign investment companies (“PFICs”).
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 1,691,790 | $ | 459,906 | $ | 2,151,696 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2016 was as follows:
Ordinary Income* | Return of Capital | Total Distributions Paid | ||||||||||
$ | 1,426,239 | $ | 40,336 | $ | 1,466,575 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2017, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |||||||
$ | 114,883 | $ | 3,242,798 |
The cumulative timing differences primarily consist of wash sale loss deferrals, mark to market of futures contracts, investments in perpetual bonds and investments in PFICs.
During the year ended December 31, 2017, the Portfolio utilized capital loss carryforwards in the amount of $857,169.
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6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility 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. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2017.
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.
As of December 31, 2017, the Portfolio had four omnibus accounts which owned 74.6% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
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 investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate investments 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 that the Federal Reserve has recently raised interest rates and may continue to do so, the Portfolio may face a heightened level of interest rate risk. 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.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 39 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
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.
The Portfolio invests in preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred security characteristics and may include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Portfolio’s financial statements as of December 31, 2017. The adoption had no effect on the Portfolio’s net assets or results of operations.
9. New Accounting Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium to be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Income Builder Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Income Builder Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2017, the related statement of operations for the year ended December 31, 2017, the statement of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the three years in the period ended December 31, 2017 and for the period December 9, 2014 (commencement of operations) through December 31, 2014 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the three years in the period ended December 31, 2017 and 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.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2018
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
DECEMBER 31, 2017 | 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 Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 138 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 138 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (1984-2012). | 138 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 138 | None | |||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 138 | Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 138 | 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). | 138 | 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). | 138 | None |
42 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
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) (1985-2005). | 138 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance). | |||
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). | 138 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
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). | 138 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-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). | 138 | None |
(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 (138 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | 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 was 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2017 | 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 | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
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 to 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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
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. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP from 2006 to 2012. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Matthew J. Plastina (1970), Acting Treasurer and Principal Financial Officer (2017), formerly Assistant Treasurer (2011-2017)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
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 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
44 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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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, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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, 2017 | Ending Account Value December 31, 2017 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Income Builder Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,056.10 | $ | 3.06 | 0.59 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.23 | 3.01 | 0.59 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,056.40 | 4.35 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.97 | 4.28 | 0.84 |
* | Expenses are equal to each Class’s 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 2017, 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 Portfolio and the other J.P. Morgan Funds in which the Portfolio invests (“Underlying 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 16, 2017.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio and Underlying Funds received from the Adviser. This information includes the Portfolio’s and Underlying Funds’ performance as compared to the performance of the Portfolio’s and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Portfolio’s and Underlying Funds’ 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. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Portfolio and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The independent consultant also provided additional analysis of the performance of certain Underlying Funds in connection with the Trustees’ review of the Advisory Agreement. 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 and Underlying Funds 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 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 J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio and Underlying 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 Portfolio and Underlying 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
46 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio and Underlying 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 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 and Underlying Funds. 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 upon 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 J.P. Morgan Funds including the benefits received by the Adviser and its affiliates in connection with the Portfolio’s investments in the Underlying Funds. The Trustees 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 JPMIM earns fees from the Portfolio and Underlying Funds 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 for the Portfolio and/or Underlying Funds.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allows the Portfolio’s shareholders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
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, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 47 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. 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 information for the Portfolio in a report prepared by Broadridge/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 Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one-year period. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/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 Broadridge/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 for Class 2 shares was in the fifth quintile for the one-year period ended December 31, 2016 based upon both the Peer Group and Universe. 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 Portfolio’s performance was satisfactory. The Trustees requested,
however, that the Fund’s Adviser provide additional Portfolio performance information to be reviewed with members of the money market and alternative products committee at each of their regular meetings over the course of the next year.
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 Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/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 for Class 2 shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class 2 shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory and that such fee would be for services provided in addition to, rather than duplicative of, services provided under the advisory agreements of the Underlying Funds in which the Portfolio invests.
48 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
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(Unaudited)
Dividend Received Deductions (DRD)
The Portfolio had 6.94% 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, 2017.
Long Term Capital Gain
The Fund distributed $459,906, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2017.
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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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J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | AN-JPMITIBP-1217 |
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Annual Report
JPMorgan Insurance Trust
December 31, 2017
JPMorgan Insurance Trust Global Allocation Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
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Investments in the Portfolio are not 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 prospectuses 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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February 1, 2018 (Unaudited)
Dear Shareholder,
U.S. economic growth accelerated through 2017, supported by synchronized growth in the global economy and central bank policies that helped push equity prices higher in the U.S. as well as most developed market and emerging market nations.
“Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy.” — George C.W. Gatch |
During the year, the U.S. entered its third longest economic expansion on record. Gross domestic product (GDP) rose by 1.8%, 1.2% and 3.2% in the first three quarters of 2017, respectively, and preliminary estimates put fourth quarter GDP growth at 2.6%. Unemployment fell steadily to 4.1% in December 2017 from 4.8% at the start of the year — though growth in wages remained weak — and U.S. consumer confidence reached a 17-year high in November 2017. Corporate profits rose strongly and received a boost from stable energy prices and a 10% decline in the value of the U.S. dollar over the course of the year.
Notably, three large hurricanes — along with wildfires and other natural disasters — combined to cause an estimated $306 billion in damage in the U.S., making 2017 the most expensive year to date for natural disasters. While companies in some specific sectors of the economy reported that Hurricanes Harvey, Irma and Maria affected revenue or earnings, any impact on the larger economy appeared to be limited.
The U.S. Federal Reserve raised interest rates three times in 2017 and indicated it would raise rates three more times in the year ahead. However, interest rates overall remained relatively low during 2017, which provided support for the domestic economy and for financial markets.
Globally, most developed market and emerging market economies also continued to grow throughout 2017. Growth in Europe was strong enough that the European Central Bank committed to reducing its monthly asset purchases by half and the Bank of England raised its benchmark interest rate for the first time in ten years. Japan registered its longest economic
expansion in a decade. China’s GDP grew by an estimated 6.8%
in 2017, supported by personal consumption and growth in foreign trade, according to the World Bank.
Roughly 120 countries, comprising three-fourths of global GDP, experienced increased economic growth in 2017 relative to 2016, according to the International Monetary Fund (IMF).
Meanwhile, global financial markets provided investors with positive returns throughout 2017. Overall, equity markets outperformed bond markets, with emerging market equities largely outperforming developed market equities for the year.
In the U.S., the Standard & Poor’s 500 Index (the “S&P 500”) reached 62 new closing highs during 2017 — the second largest number on record — and posted positive total returns (dividends included) in each month of the year for the first time since the current formula of the benchmark index was created in 1957. At the same time, equity market volatility fell to historic lows and by the end of 2017, U.S. stock prices overall hadn’t experienced a decline of 3% or greater for 14 consecutive months. While U.S. fixed income markets largely provided positive returns during the year, they underperformed equity markets.
In the wake of stronger-than-expected growth in the U.S. and other leading economies, the IMF revised its forecast for 2018 U.S. GDP growth to 2.7% from 2.3%. The IMF cited external demand and a reduction in U.S. corporate tax rates from the Tax Cuts and Jobs Act of 2017. Generally strong fourth-quarter 2017 earnings, historically high consumer confidence and increased business investment point to continued growth in the U.S. economy. We believe investors who maintain a properly diversified portfolio and a long-term outlook will be able to benefit from the current global economic expansion.
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
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* | 16.85% | |||
MSCI World Index (net of foreign withholding taxes) | 22.40% | |||
Global Allocation Composite Benchmark | 14.52% | |||
Net Assets as of 12/31/2017 | $ | 62,777,820 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Global Allocation Portfolio (the “Portfolio”) seeks to maximize long-term total return.
HOW DID THE MARKET PERFORM?
Equity markets in the U.S. and elsewhere rallied throughout 2017 amid synchronized global economic growth, central bank stimulus and rising corporate profits.
During the year, the Standard & Poor’s 500 Index (S&P 500) reached 62 new closing highs — the most since 1995 — and, for the first time ever, posted positive total returns in all twelve months (when dividends are included). December 2017 marked the fourteenth consecutive month of gains for the S&P 500. In contrast, the CBOE Volatility Index, which measures S&P 500 options to gauge market expectations of near-term volatility, remained well below its historical average throughout the year, and on November 3, 2017, fell to its lowest-ever level.
Overall, growth stocks generally outperformed value stocks and large cap stocks generally outperformed small cap and mid cap stocks.
Meanwhile, fixed-income securities experienced positive but lackluster returns. High yield bonds (also known as “junk bonds”) slightly outperformed both investment grade corporate bonds and U.S. Treasury bonds.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 2 Shares underperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and
outperformed the Global Allocation Composite Benchmark (the “Composite”) for the twelve months ended December 31, 2017.
The Portfolio’s allocation to core fixed-income securities, which underperformed global equities during the reporting period, detracted from performance relative to the Benchmark.
The Portfolio’s performance relative to the Composite, which consists of 60% MSCI World Index and 40% Bloomberg Barclays Global Aggregate Index, was helped by the Portfolio’s overweight allocation to international developed market and emerging market equities. The Portfolio’s overweight allocation to U.S. high-yield bonds (also known as “junk bonds”) and emerging market debt also contributed to performance relative to the Composite.
HOW WAS THE PORTFOLIO POSITIONED?
During the reporting period, the Portfolio’s managers maintained a constructive view on developed market and emerging market equities as well as extended credit. The managers decreased their allocation to U.S. equities in favor of international developed and emerging markets. The portfolio managers’ views on synchronized global growth and a tepid increase in U.S. interest rates also led to a meaningful increase in non-U.S. currency exposure. The euro as well as emerging market currencies remained the highest non-U.S. currency allocations. Within fixed income, the managers added to the Portfolio’s emerging market debt exposure during the period. Within core fixed income, the managers increased the Portfolio’s allocation to global government bonds to provide diversification.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
1. | JPMorgan High Yield Fund, Class R6 Shares | 6.8 | % | |||||
2. | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 5.2 | ||||||
3. | JPMorgan Emerging Markets Strategic Debt Fund, Class R6 Shares | 4.9 | ||||||
4. | Japan Government Bond, (Japan), 0.10%, 06/20/2026 | 2.0 | ||||||
5. | U.S. Treasury Notes, 0.75%, 01/31/2018 | 1.8 | ||||||
6. | U.K. Treasury Bonds, (United Kingdom), Reg. S, 1.50%, 07/22/2026 | 1.1 | ||||||
7. | Australia Government Bond, (Australia), Reg. S, 5.25%, 03/15/2019 | 0.9 | ||||||
8. | U.S. Treasury Notes, 2.13%, 05/15/2025 | 0.9 | ||||||
9. | FNMA REMIC, Series 2017-49, Class JA, 4.00%, 07/25/2053 | 0.8 | ||||||
10. | Italy Government Bond, (Italy), 0.45%, 06/01/2021 | 0.8 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
1. | Canadian National Railway Co., (Canada) | 21.9 | % | |||||
2. | General Electric Co. | 15.8 | ||||||
3. | Kimberly-Clark Corp. | 14.7 | ||||||
4. | Harley-Davidson, Inc. | 12.2 | ||||||
5. | Whirlpool Corp. | 11.8 | ||||||
6. | Seagate Technology plc | 3.6 | ||||||
7. | Allergan plc | 3.4 | ||||||
8. | American International Group, Inc. | 3.2 | ||||||
9. | Hawaiian Holdings, Inc. | 2.7 | ||||||
10. | Martin Marietta Materials, Inc. | 1.5 |
LONG POSITION PORTFOLIO COMPOSITION*** | ||||
Common Stocks | 47.7 | % | ||
Investment Companies | 16.9 | |||
Collateralized Mortgage Obligations | 9.2 | |||
Foreign Government Securities | 7.8 | |||
U.S. Treasury Obligations | 4.1 | |||
Corporate Bonds | 2.4 | |||
Asset-Backed Securities | 2.1 | |||
Others (each less than 1.0%) | 0.9 | |||
Short-Term Investments | 8.9 |
SHORT POSITION PORTFOLIO COMPOSITION**** | ||||
Common Stocks | 100.0 | % |
* | 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, 2017. The Portfolio’s composition is subject to change. |
**** | Percentages indicated are based on total short investments as of December 31, 2017. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2017 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2017 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||
CLASS 1 SHARES | December 9, 2014 | 17.11 | % | 7.13 | % | 6.91 | % | |||||||||
CLASS 2 SHARES | December 9, 2014 | 16.85 | 6.86 | 6.64 |
LIFE OF PORTFOLIO PERFORMANCE (12/9/14 TO 12/31/2017)
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 Bloomberg Barclays U.S. Aggregate Index, the Bloomberg Barclays Global Aggregate Index, the Global Allocation Composite Benchmark and the Lipper Variable Underlying Funds Flexible Funds Index from December 9, 2014 to December 31, 2017. 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 Bloomberg Barclays U.S. Aggregate Index is an
unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The Bloomberg Barclays Global Aggregate Index provides a broad-based measure of the global investment-grade fixed income markets. The Global Allocation Composite Benchmark is a composite benchmark comprised of unmanaged indices that includes the MSCI World Index (net of foreign withholding taxes) (60%) and the Bloomberg 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 United States 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, 2017 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — 99.5% | ||||||||
Asset-Backed Securities — 2.1% | ||||||||
United States — 2.1% | ||||||||
40,606 | AMRESCO Residential Securities Corp. Mortgage Loan Trust, Series 1997-1, Class A7, 7.61%, 03/25/2027 (bb) | 40,487 | ||||||
58,091 | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W5, Class M1, 2.45%, 04/25/2034 (z) (bb) | 58,005 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, | ||||||||
83,548 | Series 2003-HE6, Class M2, 4.03%, 11/25/2033 (z) (bb) | 84,024 | ||||||
79,070 | Series 2004-HE3, Class M2, 3.23%, 06/25/2034 (z) (bb) | 76,940 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
49,583 | Series 2003-2, Class M1, 3.35%, 03/25/2043 (z) (bb) | 49,401 | ||||||
31,328 | Series 2004-HE5, Class M2, 3.43%, 07/25/2034 (z) (bb) | 31,250 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
50,459 | Series 2004-2, Class M1, 2.30%, 05/25/2034 (z) (bb) | 50,378 | ||||||
101,301 | Series 2006-19, Class 2A2, 1.71%, 03/25/2037 (z) (bb) | 100,365 | ||||||
56,892 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2, 2.38%, 03/25/2034 (z) (bb) | 56,466 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust, | ||||||||
82,347 | Series 2004-5, Class M3, 3.28%, 07/25/2034 (z) (bb) | 81,931 | ||||||
51,467 | Series 2004-5, Class M5, 3.88%, 05/25/2034 (z) | 49,728 | ||||||
47,857 | Home Equity Asset Trust, Series 2007-2, Class 2A2, 1.74%, 07/25/2037 (z) (bb) | 47,721 | ||||||
104,251 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-B, Class 2A3, 1.74%, 06/25/2036 (z) (bb) | 101,300 | ||||||
109,670 | Long Beach Mortgage Loan Trust, Series 2004-4, Class M1, 2.45%, 10/25/2034 (z) | 109,216 | ||||||
60,124 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, 2.57%, 10/25/2033 (z) (bb) | 59,545 | ||||||
50,930 | Saxon Asset Securities Trust, Series 2003-3, Class M1, 2.30%, | 49,119 | ||||||
28,965 | Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1, 2.53%, 10/25/2033 (z) (bb) | 28,863 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||
115,450 | Series 2006-BC6, Class A4, 1.72%, 01/25/2037 (z) | 111,898 | ||||||
60,504 | Series 2007-WF2, Class A1, 2.55%, 08/25/2037 (z) (bb) | 61,562 | ||||||
87,836 | Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2006-3, Class A2, 1.70%, 01/25/2037 (z) (bb) | 87,125 | ||||||
|
| |||||||
Total Asset-Backed Securities | 1,335,324 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 9.1% | ||||||||
United States — 9.1% |
| |||||||
45,732 | American Home Mortgage Investment Trust, Series 2005-1, Class 6A, 3.56%, 06/25/2045 (z) | 46,307 | ||||||
32,587 | Banc of America Funding Trust, Series 2006-A, Class 1A1, 3.63%, 02/20/2036 (z) | 32,259 | ||||||
34,667 | Banc of America Mortgage Trust, Series 2005-A, Class 2A2, 3.46%, 02/25/2035 (z) | 34,290 | ||||||
59,236 | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 3.52%, 05/25/2035 (z) | 60,065 | ||||||
FHLMC REMIC | ||||||||
98,953 | Series 3632, Class PK, 5.00%, 02/15/2040 | 107,087 | ||||||
57,021 | Series 3788, Class FA, 2.01%, 01/15/2041 (z) | 57,646 | ||||||
100,303 | Series 3923, Class GD, 2.00%, 05/15/2040 | 98,610 | ||||||
37,164 | Series 4005, Class PA, 2.00%, 10/15/2041 | 35,883 | ||||||
103,188 | Series 4062, Class BA, 3.50%, 06/15/2038 | 105,004 | ||||||
121,510 | Series 4118, Class PD, 1.50%, 05/15/2042 | 116,348 | ||||||
296,921 | Series 4135, Class AD, 2.00%, 06/15/2042 | 288,930 | ||||||
122,488 | Series 4323, Class VA, 4.00%, 03/15/2027 | 128,782 | ||||||
118,747 | Series 4329, Class KA, 3.00%, 01/15/2040 | 120,276 | ||||||
121,087 | Series 4364, Class A, 3.00%, 08/15/2040 | 122,644 | ||||||
124,364 | Series 4366, Class KA, 3.00%, 03/15/2041 | 125,873 | ||||||
123,856 | Series 4467, Class AB, 3.00%, 07/15/2041 | 124,878 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Collateralized Mortgage Obligations — continued | ||||||||
United States — continued |
| |||||||
121,141 | Series 4494, Class KA, 3.75%, 10/15/2042 | 125,607 | ||||||
331,542 | Series 4510, Class HB, 2.00%, 03/15/2040 | 326,835 | ||||||
127,208 | Series 4639, Class AC, 3.00%, 05/15/2040 | 128,431 | ||||||
122,962 | Series 4669, Class VJ, 4.00%, 05/15/2028 | 130,210 | ||||||
FHLMC STRIPS | ||||||||
138,664 | Series 242, Class F29, 1.73%, 11/15/2036 (z) | 138,731 | ||||||
86,387 | Series 311, Class F1, 2.03%, 08/15/2043 (z) | 86,918 | ||||||
176,176 | Series 317, Class F3, 2.00%, 11/15/2043 (z) | 177,930 | ||||||
43,261 | First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 4A1, 3.49%, 02/25/2035 (z) | 43,077 | ||||||
FNMA REMIC | ||||||||
119,258 | Series 2010-142, Class FM, 2.02%, 12/25/2040 (z) | 119,689 | ||||||
122,155 | Series 2013-58, Class KJ, 3.00%, 02/25/2043 | 123,631 | ||||||
291,645 | Series 2013-101, Class FE, 2.15%, 10/25/2043 (z) | 295,614 | ||||||
122,858 | Series 2015-15, Class GH, 2.50%, 03/25/2041 | 122,225 | ||||||
54,213 | Series 2016-8, Class FA, 2.00%, 03/25/2046 (z) | 54,530 | ||||||
120,626 | Series 2016-40, Class PA, 3.00%, 07/25/2045 | 121,800 | ||||||
121,927 | Series 2016-103, Class LA, 3.00%, 05/25/2044 | 122,901 | ||||||
118,405 | Series 2017-4, Class AH, 3.00%, 05/25/2041 | 119,549 | ||||||
497,969 | Series 2017-49, Class JA, 4.00%, 07/25/2053 | 519,316 | ||||||
123,691 | Series 2017-50, Class CB, 2.00%, 04/25/2041 | 121,540 | ||||||
GNMA | ||||||||
135,124 | Series 2008-35, Class FH, 2.10%, 04/20/2038 (z) | 136,774 | ||||||
138,603 | Series 2014-117, Class FP, 1.80%, 06/20/2043 (z) | 138,804 | ||||||
100,664 | GSR Mortgage Loan Trust, Series 2005-AR3, Class 1A1, 1.99%, 05/25/2035 (z) | 96,334 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
114,886 | Impac CMB Trust, Series 2004-7, Class 1A2, 2.47%, 11/25/2034 (z) | 111,638 | ||||||
29,939 | JP Morgan Mortgage Trust, Series 2005-A3, Class 4A1, 3.66%, 06/25/2035 (z) | 30,252 | ||||||
12,643 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/2036 | 12,232 | ||||||
31,119 | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 4A3, 5.17%, 01/25/2037 (z) | 30,090 | ||||||
29,501 | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 4A, 3.53%, 07/25/2034 (z) | 29,076 | ||||||
69,281 | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-5, Class 1APT, 1.83%, 12/25/2035 (z) | 67,380 | ||||||
21,696 | Residential Asset Securitization Trust, Series 2004-A6, Class A1, 5.00%, 08/25/2019 | 21,633 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
29,022 | Series 2005-AR3, Class A1, 3.08%, 03/25/2035 (z) | 28,517 | ||||||
49,651 | Series 2005-AR5, Class A6, 3.03%, 05/25/2035 (z) | 49,973 | ||||||
44,395 | Series 2005-AR10, Class 1A3, 3.30%, 09/25/2035 (z) | 44,142 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
51,055 | Series 2004-EE, Class 2A2, 3.42%, 12/25/2034 (z) | 52,374 | ||||||
102,159 | Series 2004-W, Class A1, 3.71%, 11/25/2034 (z) | 102,877 | ||||||
41,604 | Series 2004-Z, Class 2A2, 3.74%, 12/25/2034 (z) | 42,327 | ||||||
25,933 | Series 2005-16, Class A8, 5.75%, 01/25/2036 | 27,633 | ||||||
18,992 | Series 2005-AR2, Class 2A1, 3.28%, 03/25/2035 (z) | 19,047 | ||||||
36,524 | Series 2005-AR2, Class 2A2, 3.28%, 03/25/2035 (z) | 36,925 | ||||||
54,426 | Series 2005-AR3, Class 1A1, 3.46%, 03/25/2035 (z) | 55,866 | ||||||
32,417 | Series 2005-AR4, Class 2A2, 3.42%, 04/25/2035 (z) | 32,548 | ||||||
66,586 | Series 2006-AR3, Class A3, 3.27%, 03/25/2036 (z) | 65,956 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $5,687,566) | 5,715,814 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Common Stocks — 47.5% | ||||||||
Australia — 1.1% |
| |||||||
5,969 | Australia & New Zealand Banking Group Ltd. | 133,163 | ||||||
5,531 | BHP Billiton Ltd. | 127,052 | ||||||
1,137 | Commonwealth Bank of Australia | 70,958 | ||||||
330 | CSL Ltd. | 36,265 | ||||||
7,614 | Dexus | 57,779 | ||||||
12,437 | Goodman Group | 81,493 | ||||||
1,109 | Macquarie Group Ltd. | 85,776 | ||||||
1,900 | Wesfarmers Ltd. | 65,698 | ||||||
1,138 | Westpac Banking Corp. | 27,680 | ||||||
|
| |||||||
685,864 | ||||||||
|
| |||||||
Austria — 0.1% |
| |||||||
2,130 | Erste Group Bank AG (a) | 92,305 | ||||||
|
| |||||||
Belgium — 0.3% |
| |||||||
1,409 | Anheuser-Busch InBev SA/NV | 157,303 | ||||||
|
| |||||||
Canada — 0.7% |
| |||||||
2,161 | Brookfield Asset Management, Inc., Class A | 94,090 | ||||||
633 | Canadian Pacific Railway Ltd. | 115,687 | ||||||
55 | Fairfax Financial Holdings Ltd. | 29,169 | ||||||
1,238 | Gildan Activewear, Inc. | 39,987 | ||||||
2,615 | Waste Connections, Inc. | 185,508 | ||||||
|
| |||||||
464,441 | ||||||||
|
| |||||||
Denmark — 0.2% |
| |||||||
2,619 | Novo Nordisk A/S, Class B | 140,733 | ||||||
|
| |||||||
Finland — 0.4% |
| |||||||
586 | Cargotec OYJ, Class B | 33,179 | ||||||
15,391 | Nokia OYJ | 71,912 | ||||||
7,159 | Outokumpu OYJ | 66,438 | ||||||
1,464 | Wartsila OYJ Abp | 92,396 | ||||||
|
| |||||||
263,925 | ||||||||
|
| |||||||
France — 2.5% |
| |||||||
1,284 | Air Liquide SA | 161,417 | ||||||
1,457 | Airbus SE | 144,807 | ||||||
4,928 | AXA SA | 146,032 | ||||||
2,215 | BNP Paribas SA | 164,771 | ||||||
813 | Pernod Ricard SA | 128,580 | ||||||
1,229 | Renault SA | 123,365 | ||||||
1,482 | Sanofi | 127,588 | ||||||
1,887 | Schneider Electric SE (a) | 159,981 | ||||||
801 | Sodexo SA | 107,381 | ||||||
3,580 | TOTAL SA | 197,616 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
France — continued |
| |||||||
3,870 | Vivendi SA | 103,869 | ||||||
|
| |||||||
1,565,407 | ||||||||
|
| |||||||
Germany — 2.5% |
| |||||||
360 | adidas AG | 71,996 | ||||||
112 | Allianz SE (Registered) | 25,631 | ||||||
451 | BASF SE | 49,444 | ||||||
1,293 | Bayer AG (Registered) | 160,672 | ||||||
1,971 | Brenntag AG | 124,259 | ||||||
1,777 | Daimler AG (Registered) | 150,264 | ||||||
921 | Deutsche Boerse AG | 106,602 | ||||||
2,749 | Deutsche Post AG (Registered) | 130,670 | ||||||
5,000 | Deutsche Telekom AG (Registered) | 88,382 | ||||||
273 | HeidelbergCement AG | 29,436 | ||||||
891 | Henkel AG & Co. KGaA (Preference) | 117,661 | ||||||
3,588 | Infineon Technologies AG | 97,716 | ||||||
395 | Linde AG (a) | 92,253 | ||||||
1,671 | SAP SE | 186,944 | ||||||
972 | Siemens AG (Registered) | 134,581 | ||||||
|
| |||||||
1,566,511 | ||||||||
|
| |||||||
Hong Kong — 0.6% |
| |||||||
15,200 | AIA Group Ltd. | 129,286 | ||||||
8,552 | CK Asset Holdings Ltd. | 74,549 | ||||||
9,052 | CK Hutchison Holdings Ltd. | 113,424 | ||||||
1,941 | I-CABLE Communications Ltd. (a) | 57 | ||||||
7,000 | Wharf Holdings Ltd. (The) | 24,140 | ||||||
7,000 | Wharf Real Estate Investment Co. Ltd. (a) | 46,590 | ||||||
|
| |||||||
388,046 | ||||||||
|
| |||||||
Ireland — 0.1% |
| |||||||
851 | Ryanair Holdings plc, ADR (a) | 88,666 | ||||||
|
| |||||||
Israel — 0.1% |
| |||||||
2,504 | Teva Pharmaceutical Industries Ltd., ADR | 47,451 | ||||||
|
| |||||||
Italy — 0.7% |
| |||||||
4,908 | Assicurazioni Generali SpA | 89,333 | ||||||
2,589 | Atlantia SpA | 81,622 | ||||||
26,473 | Enel SpA | 162,790 | ||||||
58,555 | Telecom Italia SpA (a) | 50,568 | ||||||
3,392 | UniCredit SpA (a) | 63,275 | ||||||
|
| |||||||
447,588 | ||||||||
|
| |||||||
Japan — 5.5% |
| |||||||
2,500 | Bridgestone Corp. | 115,706 | ||||||
200 | Central Japan Railway Co. | 35,792 | ||||||
1,100 | Daikin Industries Ltd. | 129,979 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
Japan — continued |
| |||||||
3,400 | DMG Mori Co. Ltd. | 69,998 | ||||||
6,000 | Hitachi Ltd. | 46,549 | ||||||
4,700 | Honda Motor Co. Ltd. | 160,399 | ||||||
1,900 | Japan Airlines Co. Ltd. | 74,233 | ||||||
2,200 | Japan Tobacco, Inc. | 70,847 | ||||||
1,400 | Kao Corp. | 94,598 | ||||||
1,900 | KDDI Corp. | 47,195 | ||||||
4,300 | Kyowa Hakko Kirin Co. Ltd. | 82,782 | ||||||
2,500 | Kyushu Electric Power Co., Inc. | 26,186 | ||||||
1,800 | Mabuchi Motor Co. Ltd. | 97,298 | ||||||
5,200 | Marui Group Co. Ltd. | 95,057 | ||||||
4,900 | Mitsubishi Corp. | 135,112 | ||||||
24,800 | Mitsubishi UFJ Financial Group, Inc. | 180,494 | ||||||
5,800 | Mitsui & Co. Ltd. | 94,096 | ||||||
2,600 | MS&AD Insurance Group Holdings, Inc. | 87,699 | ||||||
3,300 | NGK Spark Plug Co. Ltd. | 79,983 | ||||||
400 | Nidec Corp. | 56,007 | ||||||
2,500 | Nippon Telegraph & Telephone Corp. | 117,535 | ||||||
1,300 | Nomura Research Institute Ltd. | 60,341 | ||||||
900 | Otsuka Corp. | 68,927 | ||||||
2,100 | Otsuka Holdings Co. Ltd. | 92,100 | ||||||
8,100 | Panasonic Corp. | 118,211 | ||||||
3,300 | Renesas Electronics Corp. (a) | 38,272 | ||||||
3,800 | Sekisui House Ltd. | 68,547 | ||||||
2,700 | Seven & i Holdings Co. Ltd. | 111,851 | ||||||
1,200 | Sony Corp. | 53,859 | ||||||
4,500 | Sumitomo Electric Industries Ltd. | 75,858 | ||||||
3,300 | Sumitomo Mitsui Financial Group, Inc. | 142,245 | ||||||
4,500 | T&D Holdings, Inc. | 76,772 | ||||||
2,600 | Tokyo Gas Co. Ltd. | 59,406 | ||||||
4,700 | Tokyu Corp. | 74,918 | ||||||
9,700 | Toray Industries, Inc. | 91,299 | ||||||
3,600 | Toyota Motor Corp. | 229,428 | ||||||
1,500 | West Japan Railway Co. | 109,431 | ||||||
3,200 | Yamato Holdings Co. Ltd. | 64,241 | ||||||
|
| |||||||
3,433,251 | ||||||||
|
| |||||||
Luxembourg — 0.2% |
| |||||||
3,139 | ArcelorMittal (a) | 101,839 | ||||||
|
| |||||||
Netherlands — 1.4% |
| |||||||
5,439 | Aegon NV | 34,559 | ||||||
469 | ASML Holding NV | 81,540 | ||||||
851 | Heineken NV | 88,714 | ||||||
8,482 | ING Groep NV | 155,702 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Netherlands — continued |
| |||||||
16,977 | Koninklijke KPN NV | 59,272 | ||||||
2,011 | Koninklijke Philips NV | 75,933 | ||||||
901 | NN Group NV | 38,971 | ||||||
5,357 | Royal Dutch Shell plc, Class A | 178,834 | ||||||
5,122 | Royal Dutch Shell plc, Class B | 172,478 | ||||||
|
| |||||||
886,003 | ||||||||
|
| |||||||
Norway — 0.1% |
| |||||||
4,051 | Norsk Hydro ASA | 30,710 | ||||||
|
| |||||||
Singapore — 0.2% |
| |||||||
7,200 | DBS Group Holdings Ltd. | 133,173 | ||||||
|
| |||||||
Spain — 0.7% |
| |||||||
15,240 | Banco Santander SA | 99,917 | ||||||
15,039 | Bankia SA | 71,780 | ||||||
18,436 | Iberdrola SA | 142,719 | ||||||
2,437 | Repsol SA | 43,029 | ||||||
10,257 | Telefonica SA | 99,880 | ||||||
|
| |||||||
457,325 | ||||||||
|
| |||||||
Sweden — 0.2% |
| |||||||
7,621 | Svenska Handelsbanken AB, Class A | 104,149 | ||||||
|
| |||||||
Switzerland — 2.3% |
| |||||||
1,177 | Cie Financiere Richemont SA (Registered) | 106,598 | ||||||
4,041 | Credit Suisse Group AG (Registered) (a) | 72,074 | ||||||
1,411 | Ferguson plc | 101,259 | ||||||
2,256 | LafargeHolcim Ltd. (Registered) (a) | 127,053 | ||||||
3,885 | Nestle SA (Registered) | 334,018 | ||||||
2,508 | Novartis AG (Registered) | 211,054 | ||||||
929 | Roche Holding AG | 234,903 | ||||||
940 | Swiss Re AG | 87,909 | ||||||
6,250 | UBS Group AG (Registered) (a) | 114,830 | ||||||
137 | Zurich Insurance Group AG | 41,654 | ||||||
|
| |||||||
1,431,352 | ||||||||
|
| |||||||
United Kingdom — 3.7% |
| |||||||
7,608 | 3i Group plc | 93,663 | ||||||
969 | Associated British Foods plc | 36,894 | ||||||
1,503 | AstraZeneca plc | 103,715 | ||||||
10,504 | Aviva plc | 71,641 | ||||||
10,327 | Barclays plc | 28,269 | ||||||
6,319 | Barratt Developments plc | 55,124 | ||||||
15,480 | BP plc | 108,597 | ||||||
3,242 | British American Tobacco plc | 219,155 | ||||||
3,877 | Burberry Group plc | 93,474 | ||||||
7,062 | Dixons Carphone plc | 18,945 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
United Kingdom — continued |
| |||||||
5,562 | GlaxoSmithKline plc | 98,498 | ||||||
19,671 | HSBC Holdings plc | 203,033 | ||||||
1,648 | InterContinental Hotels Group plc | 104,821 | ||||||
27,947 | ITV plc | 62,447 | ||||||
73,997 | Lloyds Banking Group plc | 67,854 | ||||||
418 | Micro Focus International plc, ADR (a) | 14,041 | ||||||
6,093 | Prudential plc | 156,044 | ||||||
216 | Reckitt Benckiser Group plc | 20,151 | ||||||
2,691 | Rio Tinto Ltd. | 158,217 | ||||||
1,394 | Rio Tinto plc | 73,126 | ||||||
8,389 | Standard Chartered plc (a) | 88,098 | ||||||
23,344 | Taylor Wimpey plc | 65,053 | ||||||
1,681 | TechnipFMC plc | 52,146 | ||||||
1,105 | Unilever NV—CVA | 62,215 | ||||||
66,918 | Vodafone Group plc | 211,527 | ||||||
2,157 | WPP plc | 38,968 | ||||||
|
| |||||||
2,305,716 | ||||||||
�� |
|
| ||||||
United States — 23.9% |
| |||||||
1,586 | Acadia Healthcare Co., Inc. (a) | 51,751 | ||||||
437 | Adobe Systems, Inc. (a) | 76,580 | ||||||
441 | AdvanSix, Inc. (a) | 18,553 | ||||||
219 | Aetna, Inc. (j) | 39,505 | ||||||
40 | Alleghany Corp. (a) | 23,844 | ||||||
279 | Allergan plc | 45,639 | ||||||
2,030 | Ally Financial, Inc. | 59,195 | ||||||
226 | Alphabet, Inc., Class A (a) | 238,068 | ||||||
400 | Alphabet, Inc., Class C (a) (j) | 418,560 | ||||||
268 | Amazon.com, Inc. (a) (j) | 313,418 | ||||||
971 | American Electric Power Co., Inc. | 71,436 | ||||||
1,737 | American Homes 4 Rent, Class A | 37,936 | ||||||
1,546 | American International Group, Inc. | 92,111 | ||||||
675 | Amphenol Corp., Class A | 59,265 | ||||||
742 | Apache Corp. | 31,327 | ||||||
2,142 | Apple, Inc. (j) | 362,491 | ||||||
1,214 | Applied Materials, Inc. | 62,060 | ||||||
222 | Arista Networks, Inc. (a) | 52,299 | ||||||
483 | Arrow Electronics, Inc. (a) | 38,838 | ||||||
108 | AutoZone, Inc. (a) | 76,828 | ||||||
2,029 | Ball Corp. | 76,798 | ||||||
7,141 | Bank of America Corp. | 210,802 | ||||||
1,339 | Berkshire Hathaway, Inc., Class B (a) | 265,417 | ||||||
1,024 | Berry Global Group, Inc. (a) | 60,078 | ||||||
518 | Best Buy Co., Inc. | 35,467 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
111 | BlackRock, Inc. | 57,022 | ||||||
908 | Brinker International, Inc. | 35,267 | ||||||
2,398 | Brixmor Property Group, Inc. | 44,747 | ||||||
429 | Broadcom Ltd. | 110,210 | ||||||
1,945 | Capital One Financial Corp. | 193,683 | ||||||
585 | Carlisle Cos., Inc. (j) | 66,485 | ||||||
198 | Caterpillar, Inc. | 31,201 | ||||||
837 | Cavium, Inc. (a) | 70,166 | ||||||
2,420 | CBRE Group, Inc., Class A (a) | 104,810 | ||||||
1,060 | CBS Corp. (Non-Voting), Class B | 62,540 | ||||||
341 | CH Robinson Worldwide, Inc. | 30,380 | ||||||
4,057 | Charles Schwab Corp. (The) | 208,408 | ||||||
170 | Charter Communications, Inc., Class A (a) | 57,113 | ||||||
399 | Chubb Ltd. | 58,306 | ||||||
144 | Cigna Corp. | 29,245 | ||||||
1,763 | Cisco Systems, Inc. | 67,523 | ||||||
1,206 | Citigroup, Inc. | 89,738 | ||||||
1,893 | Citizens Financial Group, Inc. | 79,468 | ||||||
1,365 | Clear Channel Outdoor Holdings, Inc., Class A | 6,279 | ||||||
914 | CNO Financial Group, Inc. | 22,567 | ||||||
689 | Columbia Sportswear Co. | 49,525 | ||||||
679 | Comerica, Inc. | 58,944 | ||||||
1,095 | CommScope Holding Co., Inc. (a) | 41,424 | ||||||
430 | Concho Resources, Inc. (a) | 64,595 | ||||||
1,084 | ConocoPhillips | 59,501 | ||||||
1,293 | Copart, Inc. (a) | 55,845 | ||||||
1,896 | Corning, Inc. | 60,653 | ||||||
1,844 | Coty, Inc., Class A | 36,677 | ||||||
504 | CVS Health Corp. | 36,540 | ||||||
3,120 | Delta Air Lines, Inc. | 174,720 | ||||||
820 | DENTSPLY SIRONA, Inc. | 53,981 | ||||||
290 | Discover Financial Services | 22,307 | ||||||
2,075 | DISH Network Corp., Class A (a) | 99,081 | ||||||
527 | Dover Corp. | 53,222 | ||||||
527 | Dr Pepper Snapple Group, Inc. | 51,151 | ||||||
354 | Duke Energy Corp. | 29,775 | ||||||
824 | Eagle Materials, Inc. | 93,359 | ||||||
1,130 | East West Bancorp, Inc. | 68,738 | ||||||
356 | EastGroup Properties, Inc. | 31,463 | ||||||
220 | Ecolab, Inc. | 29,520 | ||||||
518 | Edison International | 32,758 | ||||||
920 | Electronic Arts, Inc. (a) | 96,655 | ||||||
240 | Energizer Holdings, Inc. | 11,515 | ||||||
2,513 | Entercom Communications Corp., Class A (j) | 27,140 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
United States — continued |
| |||||||
415 | EOG Resources, Inc. | 44,783 | ||||||
618 | EQT Corp. | 35,177 | ||||||
541 | Eversource Energy | 34,180 | ||||||
1,846 | Evolent Health, Inc., Class A (a) | 22,706 | ||||||
740 | Exact Sciences Corp. (a) | 38,880 | ||||||
284 | Expedia, Inc. | 34,015 | ||||||
1,420 | Exxon Mobil Corp. (j) | 118,769 | ||||||
1,323 | Facebook, Inc., Class A (a) | 233,457 | ||||||
446 | Fidelity National Information Services, Inc. | 41,964 | ||||||
1,594 | Fifth Third Bancorp | 48,362 | ||||||
712 | First Republic Bank | 61,688 | ||||||
884 | Fiserv, Inc. (a) | 115,919 | ||||||
848 | Fortune Brands Home & Security, Inc. | 58,037 | ||||||
868 | Gap, Inc. (The) | 29,564 | ||||||
336 | Genuine Parts Co. | 31,923 | ||||||
916 | Global Payments, Inc. | 91,820 | ||||||
1,332 | GoDaddy, Inc., Class A (a) | 66,973 | ||||||
2,043 | Graphic Packaging Holding Co. | 31,564 | ||||||
497 | Guidewire Software, Inc. (a) | 36,907 | ||||||
679 | Hartford Financial Services Group, Inc. (The) | 38,214 | ||||||
494 | HCA Healthcare, Inc. (a) | 43,393 | ||||||
2,084 | Hewlett Packard Enterprise Co. | 29,926 | ||||||
973 | Hilton Grand Vacations, Inc. (a) | 40,817 | ||||||
1,563 | Hilton Worldwide Holdings, Inc. | 124,821 | ||||||
253 | Home Depot, Inc. (The) | 47,951 | ||||||
492 | Honeywell International, Inc. | 75,453 | ||||||
198 | Humana, Inc. | 49,118 | ||||||
7,263 | Huntsman Corp. | 241,784 | ||||||
247 | Illinois Tool Works, Inc. | 41,212 | ||||||
291 | Illumina, Inc. (a) | 63,581 | ||||||
2,153 | Intel Corp. | 99,382 | ||||||
435 | Intercept Pharmaceuticals, Inc. (a) | 25,413 | ||||||
142 | Intuitive Surgical, Inc. (a) | 51,821 | ||||||
1,015 | Invesco Ltd. | 37,088 | ||||||
368 | Jazz Pharmaceuticals plc (a) | 49,551 | ||||||
324 | John Bean Technologies Corp. | 35,899 | ||||||
781 | Johnson & Johnson | 109,121 | ||||||
911 | KapStone Paper and Packaging Corp. | 20,671 | ||||||
2,129 | Kimco Realty Corp. | 38,641 | ||||||
2,798 | Kinder Morgan, Inc. | 50,560 | ||||||
178 | KLA-Tencor Corp. | 18,702 | ||||||
1,127 | Kohl’s Corp. | 61,117 | ||||||
2,063 | Kroger Co. (The) | 56,629 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
1,856 | La Quinta Holdings, Inc. (a) | 34,262 | ||||||
261 | Lam Research Corp. | 48,042 | ||||||
429 | Lennox International, Inc. | 89,344 | ||||||
1,771 | LKQ Corp. (a) | 72,027 | ||||||
2,213 | Loews Corp. (j) | 110,716 | ||||||
638 | M&T Bank Corp. | 109,092 | ||||||
1,002 | Marathon Petroleum Corp. | 66,112 | ||||||
195 | Marsh & McLennan Cos., Inc. | 15,871 | ||||||
257 | Martin Marietta Materials, Inc. | 56,807 | ||||||
1,105 | Mastercard, Inc., Class A | 167,253 | ||||||
1,521 | Merck & Co., Inc. | 85,587 | ||||||
3,274 | Microsoft Corp. (j) | 280,058 | ||||||
416 | Mid-America Apartment Communities, Inc. | 41,833 | ||||||
425 | Middleby Corp. (The) (a) | 57,354 | ||||||
541 | Mohawk Industries, Inc. (a) (j) | 149,262 | ||||||
629 | Molson Coors Brewing Co., Class B | 51,622 | ||||||
1,996 | Mondelez International, Inc., Class A | 85,429 | ||||||
717 | Monster Beverage Corp. (a) | 45,379 | ||||||
1,001 | Morgan Stanley | 52,522 | ||||||
440 | Murphy USA, Inc. (a) | 35,358 | ||||||
544 | Nasdaq, Inc. | 41,796 | ||||||
369 | Netflix, Inc. (a) | 70,833 | ||||||
377 | Newell Brands, Inc. | 11,649 | ||||||
656 | Nexstar Media Group, Inc., Class A | 51,299 | ||||||
899 | NextEra Energy, Inc. | 140,415 | ||||||
813 | Nordstrom, Inc. | 38,520 | ||||||
305 | Norfolk Southern Corp. | 44,194 | ||||||
257 | Northern Trust Corp. | 25,672 | ||||||
700 | Northrop Grumman Corp. | 214,837 | ||||||
822 | Norwegian Cruise Line Holdings Ltd. (a) | 43,772 | ||||||
502 | NVIDIA Corp. | 97,137 | ||||||
647 | Occidental Petroleum Corp. | 47,658 | ||||||
581 | Old Dominion Freight Line, Inc. | 76,431 | ||||||
721 | Oshkosh Corp. | 65,532 | ||||||
1,634 | Outfront Media, Inc. | 37,909 | ||||||
251 | Palo Alto Networks, Inc. (a) | 36,380 | ||||||
446 | Park Hotels & Resorts, Inc. | 12,822 | ||||||
228 | Parker-Hannifin Corp. | 45,504 | ||||||
1,497 | PayPal Holdings, Inc. (a) | 110,209 | ||||||
1,047 | PBF Energy, Inc., Class A | 37,116 | ||||||
378 | PepsiCo, Inc. | 45,330 | ||||||
4,232 | Pfizer, Inc. | 153,283 | ||||||
653 | Phillips 66 | 66,051 | ||||||
742 | PNC Financial Services Group, Inc. (The) | 107,063 | ||||||
587 | Post Holdings, Inc. (a) | 46,508 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
United States — continued |
| |||||||
46 | Priceline Group, Inc. (The) (a) | 79,936 | ||||||
724 | Procter & Gamble Co. (The) | 66,521 | ||||||
297 | Prudential Financial, Inc. | 34,149 | ||||||
200 | Public Storage | 41,800 | ||||||
785 | QUALCOMM, Inc. | 50,256 | ||||||
1,539 | Rayonier, Inc. | 48,679 | ||||||
356 | Red Hat, Inc. (a) | 42,756 | ||||||
509 | Revance Therapeutics, Inc. (a) | 18,197 | ||||||
605 | S&P Global, Inc. | 102,487 | ||||||
171 | Sage Therapeutics, Inc. (a) | 28,165 | ||||||
816 | salesforce.com, Inc. (a) | 83,420 | ||||||
111 | Sempra Energy | 11,868 | ||||||
494 | ServiceNow, Inc. (a) | 64,413 | ||||||
2,502 | Shire plc | 129,656 | ||||||
2,332 | Southwest Airlines Co. | 152,629 | ||||||
462 | Spark Therapeutics, Inc. (a) | 23,756 | ||||||
870 | Splunk, Inc. (a) | 72,071 | ||||||
744 | Square, Inc., Class A (a) | 25,794 | ||||||
526 | Stanley Black & Decker, Inc. | 89,257 | ||||||
1,277 | SunTrust Banks, Inc. | 82,481 | ||||||
986 | T. Rowe Price Group, Inc. | 103,461 | ||||||
433 | Take-Two Interactive Software, Inc. (a) | 47,535 | ||||||
687 | Teladoc, Inc. (a) | 23,942 | ||||||
121 | Tesla, Inc. (a) | 37,673 | ||||||
845 | Texas Instruments, Inc. | 88,252 | ||||||
5,329 | TherapeuticsMD, Inc. (a) | 32,187 | ||||||
337 | Thermo Fisher Scientific, Inc. | 63,990 | ||||||
310 | Tiffany & Co. | 32,224 | ||||||
406 | Time Warner, Inc. | 37,137 | ||||||
491 | Travelers Cos., Inc. (The) | 66,599 | ||||||
336 | TreeHouse Foods, Inc. (a) | 16,619 | ||||||
530 | United Technologies Corp. | 67,612 | ||||||
1,975 | UnitedHealth Group, Inc. (j) | 435,409 | ||||||
681 | Unum Group | 37,380 | ||||||
1,275 | US Bancorp | 68,314 | ||||||
1,028 | Vantiv, Inc., Class A (a) | 75,609 | ||||||
612 | Veeva Systems, Inc., Class A (a) | 33,831 | ||||||
1,041 | Verizon Communications, Inc. | 55,100 | ||||||
437 | Vertex Pharmaceuticals, Inc. (a) | 65,489 | ||||||
1,562 | Visa, Inc., Class A | 178,099 | ||||||
503 | WABCO Holdings, Inc. (a) | 72,180 | ||||||
622 | Walgreens Boots Alliance, Inc. | 45,170 | ||||||
589 | Wal-Mart Stores, Inc. | 58,164 | ||||||
610 | Wayfair, Inc., Class A (a) | 48,965 |
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
198 | WEC Energy Group, Inc. | 13,153 | ||||||
3,523 | Wells Fargo & Co. | 213,740 | ||||||
1,009 | WestRock Co. | 63,779 | ||||||
682 | Weyerhaeuser Co. | 24,047 | ||||||
323 | Wynn Resorts Ltd. | 54,455 | ||||||
1,284 | Xcel Energy, Inc. | 61,773 | ||||||
|
| |||||||
15,002,095 | ||||||||
|
| |||||||
Total Common Stocks | 29,793,853 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
Corporate Bonds — 2.4% | ||||||||
Belgium — 0.1% |
| |||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||
20,000 | 3.65%, 02/01/2026 | 20,634 | ||||||
5,000 | 4.90%, 02/01/2046 | 5,790 | ||||||
5,000 | Anheuser-Busch InBev Worldwide, Inc., 4.44%, 10/06/2048 | 5,442 | ||||||
|
| |||||||
31,866 | ||||||||
|
| |||||||
Canada — 0.1% |
| |||||||
17,000 | Cenovus Energy, Inc., 5.40%, 06/15/2047 | 17,875 | ||||||
10,000 | Emera US Finance LP, 4.75%, 06/15/2046 | 10,938 | ||||||
25,000 | TransCanada PipeLines Ltd., 4.63%, 03/01/2034 | 27,897 | ||||||
|
| |||||||
56,710 | ||||||||
|
| |||||||
Israel — 0.0% (g) |
| |||||||
35,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/2046 | 26,542 | ||||||
|
| |||||||
– | ||||||||
United Kingdom — 0.1% |
| |||||||
25,000 | BAT Capital Corp., 4.54%, 08/15/2047 (e) | 26,299 | ||||||
20,000 | Reynolds American, Inc., 4.45%, 06/12/2025 | 21,320 | ||||||
|
| |||||||
47,619 | ||||||||
|
| |||||||
United States — 2.1% |
| |||||||
20,000 | 21st Century Fox America, Inc., 4.95%, 10/15/2045 | 23,518 | ||||||
15,000 | Abbott Laboratories, 4.75%, 11/30/2036 | 16,842 | ||||||
10,000 | AbbVie, Inc., 4.45%, 05/14/2046 | 10,860 | ||||||
Allergan Funding SCS, | ||||||||
20,000 | 4.55%, 03/15/2035 | 21,150 | ||||||
5,000 | 4.75%, 03/15/2045 | 5,318 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
25,000 | Altria Group, Inc., 3.88%, 09/16/2046 | 24,784 | ||||||
20,000 | Amazon.com, Inc., 4.25%, 08/22/2057 (e) | 21,794 | ||||||
American International Group, Inc., | ||||||||
20,000 | 3.88%, 01/15/2035 | 20,062 | ||||||
10,000 | 4.80%, 07/10/2045 | 11,205 | ||||||
20,000 | Amgen, Inc., 4.40%, 05/01/2045 | 21,741 | ||||||
15,000 | Anthem, Inc., 4.38%, 12/01/2047 | 15,923 | ||||||
AT&T, Inc., | ||||||||
20,000 | 4.35%, 06/15/2045 | 18,436 | ||||||
10,000 | 4.50%, 03/09/2048 | 9,362 | ||||||
10,000 | 5.25%, 03/01/2037 | 10,569 | ||||||
25,000 | 5.30%, 08/14/2058 | 25,059 | ||||||
20,000 | Baker Hughes a GE Co. LLC, 4.08%, 12/15/2047 (e) | 20,322 | ||||||
Bank of America Corp., | ||||||||
12,000 | (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (e) (aa) | 11,999 | ||||||
30,000 | (ICE LIBOR USD 3 Month + 1.58%), 3.82%, 01/20/2028 (aa) | 31,022 | ||||||
15,000 | Becton Dickinson and Co., 4.67%, 06/06/2047 | 16,226 | ||||||
20,000 | Brighthouse Financial, Inc., 4.70%, 06/22/2047 (e) | 20,385 | ||||||
5,000 | Cardinal Health, Inc., 4.37%, 06/15/2047 | 4,965 | ||||||
5,000 | CBS Corp., 4.60%, 01/15/2045 | 5,094 | ||||||
15,000 | Celgene Corp., 4.35%, 11/15/2047 | 15,566 | ||||||
Charter Communications Operating LLC, | ||||||||
5,000 | 5.38%, 05/01/2047 (e) | 5,123 | ||||||
20,000 | 6.38%, 10/23/2035 | 23,440 | ||||||
10,000 | 6.48%, 10/23/2045 | 11,650 | ||||||
Citigroup, Inc., | ||||||||
25,000 | (ICE LIBOR USD 3 Month + 1.56%), 3.89%, 01/10/2028 (aa) | 25,870 | ||||||
6,000 | 4.65%, 07/30/2045 | 6,823 | ||||||
10,000 | Columbia Pipeline Group, Inc., 5.80%, 06/01/2045 | 12,471 | ||||||
10,000 | Comcast Corp., 3.40%, 07/15/2046 | 9,452 | ||||||
25,000 | Corning, Inc., 4.38%, 11/15/2057 | 24,792 | ||||||
10,000 | Cox Communications, Inc., 4.60%, 08/15/2047 (e) | 10,084 | ||||||
15,000 | Dell International LLC, 8.35%, 07/15/2046 (e) | 19,315 | ||||||
20,000 | Discovery Communications LLC, 5.20%, 09/20/2047 | 20,857 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
United States — continued |
| |||||||
15,000 | Dominion Energy Gas Holdings LLC, 4.60%, 12/15/2044 | 16,488 | ||||||
10,000 | Energy Transfer LP, 5.15%, 02/01/2043 | 9,462 | ||||||
35,000 | Enterprise Products Operating LLC, 4.90%, 05/15/2046 | 38,529 | ||||||
20,000 | Exelon Corp., 4.45%, 04/15/2046 | 21,715 | ||||||
25,000 | Express Scripts Holding Co., 4.80%, 07/15/2046 | 26,571 | ||||||
Ford Motor Co., | ||||||||
25,000 | 4.75%, 01/15/2043 | 25,332 | ||||||
20,000 | 5.29%, 12/08/2046 | 21,746 | ||||||
General Motors Co., | ||||||||
15,000 | 5.00%, 04/01/2035 | 15,886 | ||||||
30,000 | 5.20%, 04/01/2045 | 31,673 | ||||||
Gilead Sciences, Inc., | ||||||||
20,000 | 4.15%, 03/01/2047 | 21,253 | ||||||
15,000 | 4.60%, 09/01/2035 | 16,890 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
10,000 | 3.50%, 11/16/2026 | 10,056 | ||||||
15,000 | 3.85%, 01/26/2027 | 15,396 | ||||||
10,000 | 4.75%, 10/21/2045 | 11,445 | ||||||
15,000 | Halliburton Co., 5.00%, 11/15/2045 | 17,210 | ||||||
5,000 | Harris Corp., 5.05%, 04/27/2045 | 5,876 | ||||||
20,000 | Hess Corp., 5.80%, 04/01/2047 | 22,238 | ||||||
Kraft Heinz Foods Co., | ||||||||
35,000 | 4.38%, 06/01/2046 | 34,638 | ||||||
10,000 | 5.00%, 06/04/2042 | 10,722 | ||||||
Kroger Co. (The), | ||||||||
25,000 | 3.88%, 10/15/2046 | 22,866 | ||||||
10,000 | 4.65%, 01/15/2048 | 10,227 | ||||||
10,000 | Marathon Petroleum Corp., 4.75%, 09/15/2044 | 10,439 | ||||||
5,000 | Markel Corp., 4.30%, 11/01/2047 | 5,131 | ||||||
20,000 | Martin Marietta Materials, Inc., 4.25%, 12/15/2047 | 19,771 | ||||||
Morgan Stanley, | ||||||||
10,000 | 3.63%, 01/20/2027 | 10,232 | ||||||
25,000 | 4.30%, 01/27/2045 | 26,940 | ||||||
10,000 | MPLX LP, 5.20%, 03/01/2047 | 10,965 | ||||||
20,000 | Mylan NV, 5.25%, 06/15/2046 | 21,896 | ||||||
17,000 | Noble Energy, Inc., 5.05%, 11/15/2044 | 18,194 | ||||||
20,000 | ONEOK Partners LP, 6.20%, 09/15/2043 | 23,740 | ||||||
25,000 | Owens Corning, 4.30%, 07/15/2047 | 24,593 | ||||||
10,000 | Philip Morris International, Inc., 4.88%, 11/15/2043 | 11,412 | ||||||
25,000 | Phillips 66, 4.88%, 11/15/2044 | 28,610 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Corporate Bonds — continued | ||||||||
United States — continued |
| |||||||
5,000 | Phillips 66 Partners LP, 4.90%, 10/01/2046 | 5,285 | ||||||
QUALCOMM, Inc., | ||||||||
10,000 | 4.30%, 05/20/2047 | 10,065 | ||||||
5,000 | 4.80%, 05/20/2045 | 5,373 | ||||||
15,000 | Southern Power Co., Series F, 4.95%, 12/15/2046 | 16,439 | ||||||
15,000 | Spectra Energy Partners LP, 4.50%, 03/15/2045 | 15,472 | ||||||
20,000 | Sunoco Logistics Partners Operations LP, 5.35%, 05/15/2045 | 19,805 | ||||||
Verizon Communications, Inc., | ||||||||
30,000 | 4.13%, 08/15/2046 | 27,689 | ||||||
10,000 | 4.27%, 01/15/2036 | 9,941 | ||||||
15,000 | 5.01%, 04/15/2049 | 15,718 | ||||||
Viacom, Inc., | ||||||||
20,000 | 4.38%, 03/15/2043 | 17,300 | ||||||
5,000 | 5.85%, 09/01/2043 | 5,170 | ||||||
10,000 | Vulcan Materials Co., 4.50%, 06/15/2047 | 10,201 | ||||||
15,000 | Westlake Chemical Corp., 4.38%, 11/15/2047 | 15,563 | ||||||
|
| |||||||
1,344,242 | ||||||||
|
| |||||||
Total Corporate Bonds | 1,506,979 | |||||||
|
| |||||||
Foreign Government Securities — 7.8% | ||||||||
Australia — 0.9% |
| |||||||
AUD 664,000 | Australia Government Bond, Reg. S, 5.25%, 03/15/2019 | 538,755 | ||||||
|
| |||||||
Canada — 1.0% |
| |||||||
Canada Government Bond, | ||||||||
CAD 420,000 | 1.50%, 03/01/2020 | 332,589 | ||||||
CAD 420,000 | 1.50%, 06/01/2026 | 320,536 | ||||||
|
| |||||||
653,125 | ||||||||
|
| |||||||
France — 0.5% |
| |||||||
EUR 179,000 | France Government Bond, Reg. S, 3.25%, 05/25/2045 | 289,675 | ||||||
|
| |||||||
Italy — 1.1% |
| |||||||
Italy Government Bond, | ||||||||
EUR 405,000 | 0.45%, 06/01/2021 | 488,425 | ||||||
EUR 89,000 | Reg. S, 3.50%, 03/01/2030 (e) | 119,872 | ||||||
EUR 74,000 | Reg. S, 4.75%, 09/01/2044 (e) | 113,781 | ||||||
|
| |||||||
722,078 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Japan — 2.5% |
| |||||||
Japan Government Bond, | ||||||||
JPY 140,750,000 | 0.10%, 06/20/2026 | 1,259,499 | ||||||
JPY 31,500,000 | 0.10%, 12/20/2026 | 281,583 | ||||||
|
| |||||||
1,541,082 | ||||||||
|
| |||||||
Spain — 0.7% |
| |||||||
EUR 336,000 | Spain Government Bond, Reg. S, 4.00%, 04/30/2020 (e) | 442,336 | ||||||
|
| |||||||
United Kingdom — 1.1% |
| |||||||
GBP 505,000 | U.K. Treasury Gilt, Reg. S, 1.50%, 07/22/2026 | 704,258 | ||||||
|
| |||||||
Total Foreign Government Securities | 4,891,309 | |||||||
|
| |||||||
SHARES | ||||||||
Investment Companies — 16.8% (b) | ||||||||
107,983 | JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 3,231,938 | ||||||
364,883 | JPMorgan Emerging Markets Strategic Debt Fund, Class R6 Shares | 3,090,560 | ||||||
570,965 | JPMorgan High Yield Fund, Class R6 Shares | 4,230,855 | ||||||
|
| |||||||
Total Investment Companies | 10,553,353 | |||||||
|
| |||||||
NUMBER OF CONTRACTS | ||||||||
Options Purchased — 0.8% | ||||||||
Call Options Purchased — 0.8% |
| |||||||
Japan — 0.3% |
| |||||||
37 | TOPIX Index, expiring 03/09/2018 at JPY 1,800.00, European Style (a) Notional Amount: JPY 672,497,200 Exchange Traded | 192,587 | ||||||
|
| |||||||
United States — 0.5% |
| |||||||
712 | iShares MSCI Emerging Markets Fund, expiring 03/16/2018 at USD 46.00, American Style (a) Notional Amount: USD 3,354,944 Exchange Traded | 146,316 | ||||||
1,411 | iShares MSCI Emerging Markets Fund, expiring 03/16/2018 at USD 47.50, American Style (a) Notional Amount: USD 6,648,632 Exchange Traded | 166,498 | ||||||
15 | Mondelez International, Inc., expiring 06/15/2018 at USD 48.00, American Style (a) Notional Amount: USD 64,200 Exchange Traded | 712 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | ||||||
Long Positions — continued | ||||||||
Options Purchased — continued | ||||||||
United States — continued |
| |||||||
9 | Newell Brands, Inc., expiring 01/19/2018 at USD 50.00, American Style (a) Notional Amount: USD 27,810 Exchange Traded | 23 | ||||||
|
| |||||||
313,549 | ||||||||
|
| |||||||
Total Call Option Purchased | 506,136 | |||||||
|
| |||||||
Put Options Purchased — 0.0% (g) |
| |||||||
United States — 0.0% (g) |
| |||||||
24 | Huntsman Corp., expiring 02/16/2018 at USD 31.00, American Style (a) Notional Amount: USD 79,896 Exchange Traded | 1,620 | ||||||
|
| |||||||
Total Options Purchased | 507,756 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights — 0.0% (g) | ||||||||
Spain — 0.0% (g) |
| |||||||
2,437 | Repsol SA, expiring 01/05/2018 (Strike Price EUR 0.39) (a) | 1,108 | ||||||
|
| |||||||
United States — 0.0% (g) |
| |||||||
902 | Media General, Inc., CVR (a) (bb) | 44 | ||||||
|
| |||||||
Total Rights | 1,152 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
U.S. Treasury Obligations — 4.1% | ||||||||
U.S. Treasury Bonds, | ||||||||
269,400 | 3.63%, 08/15/2043 | 314,098 | ||||||
326,300 | 3.75%, 08/15/2041 | 386,303 | ||||||
115,500 | 5.38%, 02/15/2031 | 153,403 | ||||||
70,300 | 6.13%, 08/15/2029 | 96,432 | ||||||
U.S. Treasury Notes, | ||||||||
1,100,000 | 0.75%, 01/31/2018 (k) | 1,099,581 | ||||||
541,500 | 2.13%, 05/15/2025 | 533,093 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,582,910 | |||||||
|
| |||||||
Short-Term Investments — 8.9% | ||||||||
Foreign Government Treasury Bills — 1.5% |
| |||||||
Canadian Treasury Bills, (Canada), | ||||||||
CAD 350,000 | 1.33%, 11/15/2018 (n) | 274,977 | ||||||
CAD 391,000 | 1.37%, 10/18/2018 (n) | 307,630 | ||||||
CAD 370,000 | 1.40%, 12/13/2018 (n) | 290,228 | ||||||
|
| |||||||
Total Foreign Government Treasury Bills | 872,835 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Investment Company — 7.4% |
| |||||||
4,675,740 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 4,675,740 | ||||||
|
| |||||||
Total Short-Term Investments | 5,548,575 | |||||||
|
| |||||||
Total Investments, Before Short Positions — 99.5% | 62,437,025 | |||||||
Other Assets in Excess of | 340,795 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 62,777,820 | ||||||
|
| |||||||
Short Positions — 0.9% | ||||||||
Common Stocks — 0.9% | ||||||||
Canada — 0.2% |
| |||||||
1,422 | Canadian National Railway Co. | 117,315 | ||||||
|
| |||||||
United States — 0.7% |
| |||||||
544 | AES Corp. | 5,892 | ||||||
111 | Allergan plc | 18,157 | ||||||
175 | American Campus Communities, Inc. | 7,180 | ||||||
290 | American International Group, Inc. | 17,278 | ||||||
40 | Crown Castle International Corp. | 4,440 | ||||||
26 | Everest Re Group Ltd. | 5,753 | ||||||
4,854 | General Electric Co. | 84,702 | ||||||
1,286 | Harley-Davidson, Inc. | 65,432 | ||||||
365 | Hawaiian Holdings, Inc. | 14,545 | ||||||
652 | Kimberly-Clark Corp. | 78,670 | ||||||
36 | Martin Marietta Materials, Inc. | 7,958 | ||||||
68 | National Fuel Gas Co. | 3,734 | ||||||
174 | OGE Energy Corp. | 5,726 | ||||||
460 | Seagate Technology plc | 19,246 | ||||||
69 | Sysco Corp. | 4,190 | ||||||
61 | Vulcan Materials Co. | 7,831 | ||||||
59 | Welltower, Inc. | 3,763 | ||||||
373 | Whirlpool Corp. | 62,903 | ||||||
|
| |||||||
417,400 | ||||||||
|
| |||||||
Total Securities Sold Short | 534,715 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
Summary of Investments by Industry, December 31, 2017
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
LONG PORTFOLIO COMPOSITION BY INDUSTRY | PERCENTAGE | |||
Investment Companies | 16.9 | % | ||
Collateralized Mortgage Obligations | 9.2 | |||
Foreign Government Securities | 7.8 | |||
Banks | 5.0 | |||
Pharmaceuticals | 3.0 | |||
U.S. Treasury Notes | 2.6 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Insurance | 2.5 | |||
Asset-Backed Securities | 2.1 | |||
Capital Markets | 2.0 | |||
Software | 1.6 | |||
Internet Software & Services | 1.5 | |||
U.S. Treasury Bonds | 1.5 | |||
IT Services | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Automobiles | 1.3 | |||
Electric Utilities | 1.2 | |||
Health Care Providers & Services | 1.2 | |||
Chemicals | 1.1 | |||
Machinery | 1.1 | |||
Media | 1.1 | |||
Others (each less than 1.0%) | 23.0 | |||
Short-Term Investments | 8.9 |
SHORT PORTFOLIO COMPOSITION BY INDUSTRY | PERCENTAGE | |||
Road & Rail | 21.9 | % | ||
Industrial Conglomerates | 15.8 | |||
Household Products | 14.7 | |||
Automobiles | 12.2 | |||
Household Durables | 11.8 | |||
Insurance | 4.3 | |||
Technology Hardware, Storage & Peripherals | 3.6 | |||
Pharmaceuticals | 3.4 | |||
Construction Materials | 3.0 | |||
Equity Real Estate Investment Trusts (REITs) | 2.9 | |||
Airlines | 2.7 | |||
Independent Power and Renewable Electricity Producers | 1.1 | |||
Electric Utilities | 1.1 | |||
Others (each less than 1.0%) | 1.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
Futures contracts outstanding as of December 31, 2017: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
Hang Seng Index | 1 | 01/2018 | HKD | 191,206 | 2,079 | |||||||||||||||
Australia 10 Year Bond | 3 | 03/2018 | AUD | 302,326 | (2,343 | ) | ||||||||||||||
EURO STOXX 50 Index | 9 | 03/2018 | EUR | 376,233 | (10,268 | ) | ||||||||||||||
Foreign Exchange EUR/USD | 24 | 03/2018 | USD | 3,622,650 | 75,254 | |||||||||||||||
Foreign Exchange JPY/USD | 15 | 03/2018 | USD | 1,671,375 | 7,472 | |||||||||||||||
FTSE 100 Index | 2 | 03/2018 | GBP | 205,464 | 4,509 | |||||||||||||||
Russell 2000 E-Mini Index | 5 | 03/2018 | USD | 384,125 | 1,898 | |||||||||||||||
S&P 500 E-Mini Index | 31 | 03/2018 | USD | 4,147,800 | 46,897 | |||||||||||||||
TOPIX Index | 1 | 03/2018 | JPY | 160,826 | 3,182 | |||||||||||||||
|
| |||||||||||||||||||
128,680 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | (22) | 03/2018 | EUR | (919,681 | ) | 25,706 | ||||||||||||||
Euro-Buxl | (1) | 03/2018 | EUR | (196,607 | ) | 3,388 | ||||||||||||||
FTSE 100 Index | (7) | 03/2018 | GBP | (719,123 | ) | (26,143 | ) | |||||||||||||
TOPIX Index | (11) | 03/2018 | JPY | (1,769,090 | ) | (30,170 | ) | |||||||||||||
U.S. Treasury 10 Year Note | (7) | 03/2018 | USD | (868,109 | ) | 3,047 | ||||||||||||||
|
| |||||||||||||||||||
(24,172 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
104,508 | ||||||||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding as of December 31, 2017: | ||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||||
USD | 857,407 | CAD | 1,099,018 | TD Bank Financial Group | 01/30/2018 | (17,289 | ) | |||||||||||||||
USD | 562,251 | AUD | 734,090 | HSBC Bank, NA | 03/28/2018 | (10,426 | ) | |||||||||||||||
USD | 641,527 | CAD | 821,800 | HSBC Bank, NA | 03/28/2018 | (12,970 | ) | |||||||||||||||
USD | 1,489,324 | EUR | 1,245,031 | Credit Suisse International | 03/28/2018 | (12,209 | ) | |||||||||||||||
USD | 690,147 | GBP | 513,568 | TD Bank Financial Group | 03/28/2018 | (5,211 | ) | |||||||||||||||
USD | 1,793,437 | JPY | 202,410,192 | Barclays Bank plc | 03/28/2018 | (10,887 | ) | |||||||||||||||
Net unrealized depreciation | (68,992 | ) | ||||||||||||||||||||
|
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2017
ADR | — American Depositary Receipt | |
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CVA | — Dutch Certification | |
CVR | — Contingent Value Rights | |
EUR | — Euro | |
FHLMC | — Federal Home Loan Mortgage Corp. | |
FNMA | — Federal National Mortgage Association | |
FTSE | — Financial Times and the London Stock Exchange | |
GBP | — British Pound | |
GNMA | — Government National Mortgage Association | |
HKD | — Hong Kong Dollar | |
ICE | — Intercontinental Exchange | |
JPY | — Japanese Yen | |
LIBOR | — London Interbank Offered Rate | |
MSCI | — Morgan Stanley Capital International | |
REMIC | — Real Estate Mortgage Investment Conduit | |
Reg. S | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), 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, or pursuant to an exemption from registration. | |
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. | |
TOPIX | — Tokyo Stock Price Index | |
USD | — United States Dollar |
(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. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act. 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 0.05%. | |
(j) | — All or a portion of the security is segregated for short sales. The total value of securities and cash segregated as collateral is $1,193,618 and $536,412, respectively. | |
(k) | — All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(l) | — The rate shown is the current yield as of December 31, 2017. | |
(n) | — The rate shown is the effective yield as of December 31, 2017. | |
(z) | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2017. | |
(aa) | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2017. | |
(bb) | — Security has been valued using significant unobservable inputs. |
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.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2017
Global Allocation Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 46,700,176 | ||
Investments in affiliates, at value | 15,229,093 | |||
Options purchased, at value | 507,756 | |||
Cash | 284,295 | |||
Foreign currency, at value | 80,462 | |||
Deposits at broker for futures contracts | 86,000 | |||
Deposits at broker for securities sold short | 536,412 | |||
Receivables: | ||||
Portfolio shares sold | 356 | |||
Interest and dividends from non-affiliates | 108,870 | |||
Dividends from affiliates | 4,026 | |||
Tax reclaims | 19,836 | |||
Variation margin on futures contracts | 164,266 | |||
|
| |||
Total Assets | 63,721,548 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Securities sold short, at value | 534,715 | |||
Dividend expense to non-affiliates on securities sold short | 1,746 | |||
Investment securities purchased | 207,208 | |||
Portfolio shares redeemed | 28,473 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 68,992 | |||
Accrued liabilities: | ||||
Investment advisory fees | 12,489 | |||
Distribution fees | 10,191 | |||
Custodian and accounting fees | 26,815 | |||
Trustees’ and Chief Compliance Officer’s fees | 258 | |||
Audit fees | 47,971 | |||
Other | 4,870 | |||
|
| |||
Total Liabilities | 943,728 | |||
|
| |||
Net Assets | $ | 62,777,820 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 56,773,052 | ||
Accumulated undistributed net investment income | (201,827 | ) | ||
Accumulated net realized gains (losses) | (552,485 | ) | ||
Net unrealized appreciation (depreciation) | 6,759,080 | |||
|
| |||
Total Net Assets | $ | 62,777,820 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 14,307,557 | ||
Class 2 | 48,470,263 | |||
|
| |||
Total | $ | 62,777,820 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
($0.0001 par value; unlimited number of shares authorized): | ||||
Class 1 | 863,484 | |||
Class 2 | 2,928,994 | |||
Net Asset Value, offering and redemption price per share (a): | ||||
Class 1 | $ | 16.57 | ||
Class 2 | 16.55 | |||
|
| |||
Cost of investments in non-affiliates | $ | 41,182,005 | ||
Cost of investments in affiliates | 14,028,427 | |||
Cost of options purchased | 514,344 | |||
Cost of foreign currency | 79,229 | |||
Proceeds from securities sold short | 532,226 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2017
Global Allocation Portfolio | ||||
INVESTMENT INCOME: |
| |||
Dividend income from non-affiliates | $ | 570,451 | ||
Dividend income from affiliates | 671,061 | |||
Interest income from non-affiliates | 274,724 | |||
Interest income from affiliates | 432 | |||
Interest income from non-affiliates on securities sold short | 4,817 | |||
Foreign taxes withheld | (34,986 | ) | ||
|
| |||
Total investment income | 1,486,499 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 339,739 | |||
Administration fees | 46,179 | |||
Distribution fees — Class 2 | 121,470 | |||
Custodian and accounting fees | 68,974 | |||
Interest expense to affiliates | 236 | |||
Professional fees | 98,361 | |||
Trustees’ and Chief Compliance Officer’s fees | 25,873 | |||
Printing and mailing costs | 22,322 | |||
Transfer agency fees — Class 1 | 135 | |||
Transfer agency fees — Class 2 | 1,194 | |||
Other | 7,047 | |||
Dividend expense to non-affiliates on securities sold short | 15,079 | |||
|
| |||
Total expenses | 746,609 | |||
|
| |||
Less fees waived | (175,556 | ) | ||
Less expense reimbursements | (326 | ) | ||
|
| |||
Net expenses | 570,727 | |||
|
| |||
Net investment income (loss) | 915,772 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 505,296 | |||
Investments in affiliates | 258,473 | |||
Options purchased | 935,310 | |||
Futures contracts | 789,098 | |||
Securities sold short | (27,073 | ) | ||
Foreign currency transactions | 20,091 | |||
Forward foreign currency exchange contracts | (526,875 | ) | ||
Options written | 2,099 | |||
|
| |||
Net realized gain (loss) | 1,956,419 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 4,926,130 | |||
Investments in affiliates | 781,971 | |||
Options purchased | (24,824 | ) | ||
Futures contracts | 254,838 | |||
Securities sold short | (4,382 | ) | ||
Foreign currency translations | 16,467 | |||
Forward foreign currency exchange contracts | (37,821 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | 5,912,379 | |||
|
| |||
Net realized/unrealized gains (losses) | 7,868,798 | |||
|
| |||
Change in net assets resulting from operations | $ | 8,784,570 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
Global Allocation Portfolio | ||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 915,772 | $ | 939,433 | ||||
Net realized gain (loss) | 1,956,419 | (83,640 | ) | |||||
Change in net unrealized appreciation/depreciation | 5,912,379 | 2,112,683 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 8,784,570 | 2,968,476 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | ||||||||
From net investment income | (182,218 | ) | (138,691 | ) | ||||
From net realized gains | (525,527 | ) | (51 | ) | ||||
Class 2 | ||||||||
From net investment income | (467,939 | ) | (1,379,799 | ) | ||||
From net realized gains | (1,844,995 | ) | (555 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (3,020,679 | ) | (1,519,096 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 2,480,474 | 20,529,111 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 8,244,365 | 21,978,491 | ||||||
Beginning of period | 54,533,455 | 32,554,964 | ||||||
|
|
|
| |||||
End of period | $ | 62,777,820 | $ | 54,533,455 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | (201,827 | ) | $ | 49,003 | |||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 8,772,622 | $ | 4,816,386 | ||||
Distributions reinvested | 707,745 | 138,742 | ||||||
Cost of shares redeemed | (356,670 | ) | (828,102 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 9,123,697 | $ | 4,127,026 | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 20,644,632 | $ | 18,819,300 | ||||
Distributions reinvested | 2,312,934 | 1,380,354 | ||||||
Cost of shares redeemed | (29,600,789 | ) | (3,797,569 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | (6,643,223 | ) | $ | 16,402,085 | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 2,480,474 | $ | 20,529,111 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 529,087 | 326,903 | ||||||
Reinvested | 42,545 | 9,318 | ||||||
Redeemed | (21,469 | ) | (56,772 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 550,163 | 279,449 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 1,261,337 | 1,298,330 | ||||||
Reinvested | 139,431 | 92,827 | ||||||
Redeemed | (1,825,803 | ) | (255,997 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (425,035 | ) | 1,135,160 | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 21 |
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 realized gain | Total distributions | ||||||||||||||||||||||
Global Allocation Portfolio |
| |||||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 14.89 | $ | 0.29 | (h) | $ | 2.25 | $ | 2.54 | $ | (0.20 | ) | $ | (0.66 | ) | $ | (0.86 | ) | ||||||||||
Year Ended December 31, 2016 | 14.46 | 0.35 | (h) | 0.54 | 0.89 | (0.46 | ) | — | (j) | (0.46 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 14.93 | 0.30 | (h) | (0.46 | ) | (0.16 | ) | (0.23 | ) | (0.08 | ) | (0.31 | ) | |||||||||||||||
December 9, 2014 (m) through December 31, 2014 | 15.00 | 0.03 | (0.06 | ) | (0.03 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2017 | 14.87 | 0.26 | (h) | 2.24 | 2.50 | (0.16 | ) | (0.66 | ) | (0.82 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 14.45 | 0.30 | (h) | 0.54 | 0.84 | (0.42 | ) | — | (j) | (0.42 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 14.93 | 0.22 | (h) | (0.42 | ) | (0.20 | ) | (0.20 | ) | (0.08 | ) | (0.28 | ) | |||||||||||||||
December 9, 2014 (m) through December 31, 2014 | 15.00 | 0.03 | (0.07 | ) | (0.04 | ) | (0.03 | ) | — | (0.03 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by the 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 0.005% unless otherwise noted. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Commencing on December 31, 2016, the Portfolio presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. For periods prior to December 31, 2016, the Portfolio did not transact in securities sold short. |
(h) | Calculated based upon average shares outstanding. |
(i) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class 1 are 0.76% and 1.11% for the year ended December 31, 2017 and for Class 2 are 1.01% and 1.32% for the year ended December 31, 2017, respectively. |
(j) | Amount rounds to less than $0.005. |
(k) | Dividend expense on securities sold short is less than 0.005%. |
(l) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the year ended December 31, 2015 and the period ended December 31, 2014. |
(m) | Commencement of operations. |
(n) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d) | Net assets, period | Net expenses (including dividend expense for securities sold short) (e)(f) | Net investment income (loss) (b) | Expenses sold short) (f) | Portfolio turnover rate (excluding securities sold short) (c)(g) | Portfolio turnover rate (including securities sold short) (c)(g) | |||||||||||||||||||||||
$ | 16.57 | 17.11 | % | $ | 14,307,557 | 0.79 | %(i) | 1.76 | % | 1.14 | %(i) | 80 | % | 92 | % | |||||||||||||||
14.89 | 6.13 | 4,664,040 | 0.77 | (k) | 2.34 | 1.20 | (k) | 60 | 61 | |||||||||||||||||||||
14.46 | (1.06 | ) | 489,826 | 0.77 | (l) | 2.00 | (l) | 1.18 | (l) | 50 | — | |||||||||||||||||||
14.93 | (0.23 | ) | 99,781 | 0.78 | (l) | 3.08 | (l) | 6.70 | (l) | 0.00 | (n) | — | ||||||||||||||||||
16.55 | 16.85 | 48,470,263 | 1.04 | (i) | 1.59 | 1.35 | (i) | 80 | 92 | |||||||||||||||||||||
14.87 | 5.84 | 49,869,415 | 1.02 | (k) | 2.04 | 1.45 | (k) | 60 | 61 | |||||||||||||||||||||
14.45 | (1.32 | ) | 32,065,138 | 1.03 | (l) | 1.48 | (l) | 1.58 | (l) | 50 | — | |||||||||||||||||||
14.93 | (0.25 | ) | 19,853,425 | 1.03 | (l) | 2.83 | (l) | 6.95 | (l) | 0.00 | (n) | — |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
AS OF DECEMBER 31, 2017
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.
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 transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
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 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the 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 affiliated and unaffiliated 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, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 Underlying Fund’s NAV per share as of the report date.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
Futures and options are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts 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, 2017.
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.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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 | $ | — | $ | 270,842 | $ | 1,064,482 | $ | 1,335,324 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
United States | — | 5,715,814 | — | 5,715,814 | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | — | 685,864 | — | 685,864 | ||||||||||||
Austria | — | 92,305 | — | 92,305 | ||||||||||||
Belgium | — | 157,303 | — | 157,303 | ||||||||||||
Canada | 464,441 | — | — | 464,441 | ||||||||||||
Denmark | — | 140,733 | — | 140,733 | ||||||||||||
Finland | 92,396 | 171,529 | — | 263,925 | ||||||||||||
France | — | 1,565,407 | — | 1,565,407 | ||||||||||||
Germany | 92,253 | 1,474,258 | — | 1,566,511 | ||||||||||||
Hong Kong | 46,647 | 341,399 | — | 388,046 | ||||||||||||
Ireland | 88,666 | — | — | 88,666 | ||||||||||||
Israel | 47,451 | — | — | 47,451 | ||||||||||||
Italy | — | 447,588 | — | 447,588 | ||||||||||||
Japan | — | 3,433,251 | — | 3,433,251 | ||||||||||||
Luxembourg | — | 101,839 | — | 101,839 | ||||||||||||
Netherlands | — | 886,003 | — | 886,003 | ||||||||||||
Norway | — | 30,710 | — | 30,710 | ||||||||||||
Singapore | — | 133,173 | — | 133,173 | ||||||||||||
Spain | — | 457,325 | — | 457,325 | ||||||||||||
Sweden | — | 104,149 | — | 104,149 | ||||||||||||
Switzerland | — | 1,431,352 | — | 1,431,352 | ||||||||||||
United Kingdom | 178,435 | 2,127,281 | — | 2,305,716 | ||||||||||||
United States | 14,872,439 | 129,656 | — | 15,002,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 15,882,728 | 13,911,125 | — | 29,793,853 | ||||||||||||
|
|
|
|
|
|
|
|
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Corporate Bonds | ||||||||||||||||
Belgium | $ | — | $ | 31,866 | $ | — | $ | 31,866 | ||||||||
Canada | — | 56,710 | — | 56,710 | ||||||||||||
Israel | — | 26,542 | — | 26,542 | ||||||||||||
United Kingdom | — | 47,619 | — | 47,619 | ||||||||||||
United States | — | 1,344,242 | — | 1,344,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 1,506,979 | — | 1,506,979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 4,891,309 | — | 4,891,309 | ||||||||||||
Investment Companies | 10,553,353 | — | — | 10,553,353 | ||||||||||||
Options Purchased | ||||||||||||||||
Call Options Purchased | 313,549 | 192,587 | — | 506,136 | ||||||||||||
Put Option Purchased | 1,620 | — | — | 1,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | 315,169 | 192,587 | — | 507,756 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Spain | 1,108 | — | — | 1,108 | ||||||||||||
United States | — | — | 44 | 44 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 1,108 | — | 44 | 1,152 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Treasury Obligations | ||||||||||||||||
United States | — | 2,582,910 | — | 2,582,910 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Foreign Government Treasury Bills | — | 872,835 | — | 872,835 | ||||||||||||
Investment Company | 4,675,740 | — | — | 4,675,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 4,675,740 | 872,835 | — | 5,548,575 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 31,428,098 | $ | 29,944,401 | $ | 1,064,526 | $ | 62,437,025 | ||||||||
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| |||||||||
Liabilities |
| |||||||||||||||
Common Stocks | ||||||||||||||||
Canada | $ | (117,315 | ) | $ | — | $ | — | $ | (117,315 | ) | ||||||
United States | (417,400 | ) | — | — | (417,400 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Total Common Stocks | (534,715 | ) | — | — | (534,715 | ) | ||||||||||
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|
|
|
|
| |||||||||
Total Liabilities in Securities Sold Short | $ | (534,715 | ) | $ | — | $ | — | $ | (534,715 | ) | ||||||
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|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 137,956 | $ | 35,476 | $ | — | $ | 173,432 | ||||||||
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|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (68,992 | ) | $ | — | $ | (68,992 | ) | ||||||
Futures Contracts | (2,343 | ) | (66,581 | ) | — | (68,924 | ) | |||||||||
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|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (2,343 | ) | $ | (135,573 | ) | $ | — | $ | (137,916 | ) | |||||
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Transfers between fair values are valued utilizing values as of the beginning of the year.
There were no significant transfers among any levels during year ended December 31, 2017.
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of December 31, 2016 | 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, 2017 | ||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,667,376 | $ | 13,768 | $ | 34,485 | $ | 4,168 | $ | 126,955 | $ | (896,666 | ) | $ | 114,396 | $ | — | $ | 1,064,482 | |||||||||||||||||
Rights — United States | — | — | 44 | — | — | — | — | — | 44 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
$ | 1,667,376 | $ | 13,768 | $ | 34,529 | $ | 4,168 | $ | 126,955 | $ | (896,666 | ) | $ | 114,396 | $ | — | $ | 1,064,526 | ||||||||||||||||||
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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. |
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
The changes in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2017, which were valued using significant unobservable inputs (level 3) amounted to $35,882. 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, 2017 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 1,064,482 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% -10.00% (5.83%) | ||||||||
Constant Default Rate | 2.75% - 6.90% (4.63%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 2.37% - 6.93% (3.67%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 1,064,482 | |||||||||||
| ||||||||||||
44 | Pending Distribution Amount | Expected Recovery | $ | 0.049 ($0.049) | ||||||||
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| |||||||||||
Rights | 44 | |||||||||||
| ||||||||||||
Total | $ | 1,064,526 | ||||||||||
|
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. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. 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 issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2017 | ||||||||||||||||||||||||||||||||||||
Security Description | Shares at December 31, 2017 | Market Value December 31, 2016 ($) | Purchases at Cost ($) | Proceeds from Sales ($) | Net Realized Gain (Loss) ($) | Change in Unrealized Appreciation/ (Depreciation) ($) | Market Value December 31, 2017 ($) | Dividend/ Interest Income ($) | Capital Gain Distributions ($) | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 Shares | — | 1,642,285 | 49,812 | 1,787,292 | 17,882 | 77,313 | — | 49,814 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares | 107,983 | 1,898,492 | 1,009,121 | 419,889 | 59,116 | 685,098 | 3,231,938 | 17,672 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 Shares | 364,883 | — | 3,107,514 | — | — | (16,954 | ) | 3,090,560 | 49,601 | — | ||||||||||||||||||||||||||
JPMorgan High Yield Fund, Class R6 Shares | 570,965 | 16,774,896 | 524,808 | 13,286,838 | 181,475 | 36,514 | 4,230,855 | 524,898 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | 4,675,740 | 1,660,681 | 50,077,654 | 47,062,595 | — | — | 4,675,740 | 29,076 | — | |||||||||||||||||||||||||||
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Total | 21,976,354 | 54,768,909 | 62,556,614 | 258,473 | 781,971 | 15,229,093 | 671,061 | — | ||||||||||||||||||||||||||||
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C. Derivatives — The Portfolio used derivative instruments including futures, forward foreign currency exchange contracts and options, 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. Derivatives may also be used 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 on the Statement of Assets and Liabilities.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
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 may also contain provisions allowing, absent other conditions, the Portfolio to exercise rights, to the extent not otherwise waived, against a counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Portfolio often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Portfolio. The ISDA agreements give the Portfolio and a 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 may purchase and/or sell (“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 options purchased. 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 on options purchased on the Statement of Operations. If the option is allowed to expire, the Portfolio will lose the entire premium it 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 will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Portfolio for options written are included on the Statement of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unrealized appreciation/depreciation of Options written on the Statement of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Portfolio records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Portfolio is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Portfolio to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Portfolio to risk of loss if the value of the security declines below the exercise price minus the put premium.
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).
The Portfolio may be required to post or receive collateral for over the counter options.
(2). Futures Contracts — The Portfolio used 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 on 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 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
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
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 some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Portfolio also bought 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 U.S. dollars 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. The Portfolio also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Portfolio’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Portfolio may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(4). Summary of Derivatives Information — The following table presents the value of derivatives held as of December 31, 2017, 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 | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | — | $ | 6,435 | $ | — | $ | 6,435 | |||||||||
Foreign exchange contracts | Receivables, Net Assets — Unrealized Appreciation | — | 82,726 | — | 82,726 | |||||||||||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | 507,756 | 84,271 | — | 592,027 | |||||||||||||
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|
|
|
|
|
| |||||||||||
Total | $ | 507,756 | $ | 173,432 | $ | — | $ | 681,188 | ||||||||||
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|
|
|
| |||||||||||
Gross Liabilities: | ||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | — | $ | (2,343 | ) | $ | — | $ | (2,343 | ) | |||||||
Foreign exchange contracts | Payables | — | — | (68,992 | ) | (68,992 | ) | |||||||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | — | (66,581 | ) | — | (66,581 | ) | |||||||||||
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|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | (68,924 | ) | $ | (68,992 | ) | $ | (137,916 | ) | |||||||
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(a) | This amount represents 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 from/to brokers. |
The following tables present the effect of derivatives on the Statement of Operations for the year ended December 31, 2017, by primary underlying risk exposure:
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||
Interest rate contracts | $ | — | $ | (1,161 | ) | $ | — | $ | (1,161 | ) | ||||||
Foreign exchange contracts | — | 70,251 | (526,875 | ) | (456,624 | ) | ||||||||||
Equity contracts | 937,409 | 720,008 | — | 1,657,417 | ||||||||||||
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| |||||||||
Total | $ | 937,409 | $ | 789,098 | $ | (526,875 | ) | $ | 1,199,632 | |||||||
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DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||
Interest rate contracts | $ | — | $ | (6,287 | ) | $ | — | $ | (6,287 | ) | ||||||
Foreign exchange contracts | — | 47,198 | (37,821 | ) | 9,377 | |||||||||||
Equity contracts | (24,824 | ) | 213,927 | — | 189,103 | |||||||||||
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| |||||||||
Total | $ | (24,824 | ) | $ | 254,838 | $ | (37,821 | ) | $ | 192,193 | ||||||
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The Portfolio’s derivatives contracts held at December 31, 2017 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 year ended December 31, 2017. 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 | $ | 5,760,233 | ||
Average Notional Balance Short | 1,878,605 | |||
Ending Notional Balance Long | 5,465,654 | |||
Ending Notional Balance Short | 3,407,894 | |||
Foreign Exchange | ||||
Average Notional Balance Long | 3,838,799 | (a) | ||
Average Notional Balance Short | 2,403,500 | (b) | ||
Ending Notional Balance Long | 5,294,025 | |||
Interest Rate | ||||
Average Notional Balance Long | 533,973 | |||
Average Notional Balance Short | 3,087,630 | |||
Ending Notional Balance Long | 302,326 | |||
Ending Notional Balance Short | 1,064,716 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 767,098 | |||
Average Settlement Value Sold | 8,267,818 | |||
Ending Settlement Value Sold | 6,034,093 | |||
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 1,168 | |||
Average Number of Contracts Written | — | (c) | ||
Ending Number of Contracts Purchased | 2,208 |
(a) | For the period March 1, 2017 through December 31, 2017. |
(b) | For the period January 1, 2017 through January 31, 2017. |
(c) | Amount rounds to less than 0.50 contracts. |
D. Short Sales — The Portfolio engaged in short sales as part of its normal investment activities. In a short sale, the Portfolio sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Portfolio borrows securities from a broker. To close out a short position, the Portfolio delivers the same securities to the broker.
The Portfolio is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statement of Assets and Liabilities. Securities segregated as collateral are denoted on the SOI. The Portfolio may receive or pay the net of the following amounts:(i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statement of Operations.
The Portfolio is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statement of Operations as dividend expense on securities sold short. Liabilities for securities sold
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2017 |
Table of Contents
short are reported at market value on the Statement of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Portfolio is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Portfolio will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Portfolio replaces the borrowed security. The Portfolio will record a realized gain if the price of the borrowed security declines between those dates.
As of December 31, 2017, the Portfolio had outstanding short sales as listed on the SOI.
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.
The Portfolio does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.
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. 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 affiliated 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, 2017, 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, remain 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.
DECEMBER 31, 2017 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | 1 | $ | (516,445 | ) | $ | 516,444 |
The reclassifications for the Portfolio relate primarily to foreign currency gains or losses.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser 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 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, 2017, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal 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 Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, 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 performing 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 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 (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) 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 year ended December 31, 2017 and is in place until at least April 30, 2018.
For the year ended December 31, 2017, 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 Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
$ | 123,306 | $ | 45,291 | $ | 168,597 | $ | 326 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
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The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2017 was $6,959.
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 may 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 JPMDS. 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, 2017, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2017, the Portfolio incurred $95 in 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 year ended December 31, 2017, 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 | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||||||||
$ | 40,481,182 | $ | 38,344,635 | $ | 2,532,383 | $ | 1,081,347 | $ | 5,715,401 | $ | 5,615,869 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2017 were as follows:
Aggregate Cost* | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 55,841,740 | $ | 6,808,235 | $ | 712,149 | $ | 6,096,086 |
* The tax cost includes the proceeds from short sales which may result in a net negative cost.
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to market of forward foreign currency contracts, mark to market of futures contracts and investments in passive foreign investment companies (“PFICs”).
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 2,104,979 | $ | 915,700 | $ | 3,020,679 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2016 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 1,518,715 | $ | 381 | $ | 1,519,096 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2017 (continued)
As of December 31, 2017, the estimated 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) | ||||||||||
$ | 271,789 | $ | 227,300 | $ | 5,523,617 |
The cumulative timing differences primarily consist of wash sale loss deferrals, mark to market of forward foreign currency contracts, mark to market of futures contracts, straddle loss deferrals and investments in PFICs.
During the year ended December 31, 2017, the Portfolio utilized capital loss carryforwards in the amount of $90,332.
Specified ordinary losses incurred after October 31 within the taxable year are deemed to arise on the first business day of the Portfolio’s next taxable year. For the year ended December 31, 2017 the Portfolio deferred to January 1, 2018 the following specified ordinary losses:
$ | 7,614 |
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility 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. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
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 was extended until November 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2017.
In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended. The Portfolio did not utilize the Credit Facility during the year ended December 31, 2017.
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.
As of December 31, 2017, the Portfolio had five omnibus accounts which owned 89.1% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
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,
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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 investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate investments 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, 2017, a portion of the Portfolio’s investments 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.
Derivatives, including futures, options and forwards, may be riskier than other types of investments and may increase the volatility of the Portfolio. Derivatives may be sensitive to changes in economic and market conditions and may create leverage, which could result in losses that significantly exceed the Portfolio’s original investment. Derivatives expose the Portfolio to counterparty risk, which is the risk that the derivative counterparty will not fulfill its contractual obligations (and includes credit risk associated with the counterparty). Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets. With regard to such derivatives, the Portfolio does not have a claim on the reference assets and is subject to enhanced counterparty risk. Derivatives may not perform as expected, so the Portfolio may not realize the intended benefits. When used for hedging, the change in value of a derivative may not correlate as expected with the security or other risk being hedged. In addition, given their complexity, derivatives expose the Portfolio to risks of mispricing or improper valuation.
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.
As of December 31, 2017, the Portfolio pledged a significant portion of its assets for securities sold short to Citigroup Global Markets, Inc., Deposits at broker for securities sold short, as noted on the Statement of Assets and Liabilities are held at Citigroup Global Markets, Inc.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Portfolio’s financial statements as of December 31, 2017. The adoption had no effect on the Portfolio’s net assets or result of operations.
9. New Accounting Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Global Allocation Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Global Allocation Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2017, the related statement of operations for the year ended December 31, 2017, the statement of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the three years in the period ended December 31, 2017 and for the period December 9, 2014 (commencement of operations) through December 31, 2014 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the three years in the period ended December 31, 2017 and 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.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agent and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2018
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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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 Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 138 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 138 | Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (1984-2012). | 138 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 138 | None | |||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 138 | Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-17; Advisory Board Member, Betterment for Business (2016-present) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-present) (index creator); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 138 | 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). | 138 | 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). | 138 | None |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
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) (1985-2005). | 138 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance). | |||
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). | 138 | Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present). | |||
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). | 138 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-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). | 138 | None |
(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 (138 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | 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 was 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. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014) | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
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 to 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. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Fitzgerald has been with JPMorgan Chase since 2005. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
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. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP from 2006 to 2012. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Matthew J. Plastina (1970), Acting Treasurer and Principal Financial Officer (2017), formerly Assistant Treasurer (2011-2017)** | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
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 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 4 New York Plaza, 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, 2017, and continued to hold your shares at the end of the reporting period, December 31, 2017.
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 July 1, 2017 | Ending December 31, 2017 | Expenses Paid During the Period* | Annualized Expense | |||||||||||||
Global Allocation Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.10 | $ | 4.13 | 0.79 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.22 | 4.02 | 0.79 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,071.90 | 5.43 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.96 | 5.30 | 1.04 |
* | 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 2017, 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 Portfolio and the other J.P. Morgan Funds in which the Portfolio invests (“Underlying 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 16, 2017.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio and Underlying Funds received from the Adviser. This information includes the Portfolio’s and Underlying Funds’ performance as compared to the performance of the Portfolio’s and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Portfolio’s and Underlying Funds’ 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. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Portfolio and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The independent consultant also provided additional analysis of the performance of certain Underlying Funds in connection with the Trustees’ review of the Advisory Agreement. 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 and Underlying Funds 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 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 J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio and Underlying 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 Portfolio and Underlying 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
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio and Underlying 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 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 and Underlying Funds. 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 upon 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 J.P. Morgan Funds including the benefits received by the Adviser and its affiliates in connection with the Portfolio’s investments in the Underlying Funds. The Trustees 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 JPMIM earns fees from the Portfolio and Underlying Funds 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 for the Portfolio and/or Underlying Funds.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allows the Portfolio’s shareholders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
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, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function
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are retained by the primary adviser. 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 information for the Portfolio in a report prepared by Broadridge/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 Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one-year period. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/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 Broadridge/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 for Class 2 shares was in the second quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2016. 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 Portfolio’s performance was satisfactory.
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 Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/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 for Class 2 shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class 2 shares were in the fourth and fifth quintiles based upon the Peer Group and Universe, respectively. After considering all of the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory and that such fee would be for services provided in addition to, rather than duplicative of, services provided under the advisory agreements of the Underlying Funds in which the Portfolio invests.
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(Unaudited)
Dividend Received Deductions (DRD)
The Portfolio had 6.17% 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, 2017.
Long Term Capital Gain
The Portfolio distributed $915,700, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2017.
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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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J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2017. All rights reserved. December 2017. | AN-JPMITGAP-1217 |
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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 13(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)).
Effective October 31, 2017, Dennis P. Harrington replaced James Schonbachler as the audit committee financial expert. 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 |
2017 – $360,283 |
2016 – $384,624 |
(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 |
2017 – $51,250 |
2016 – $56,510 |
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 |
2017 – $80,040 |
2016 – $76,852 |
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, 2017 and 2016, 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 |
2017 – Not applicable |
2016 – 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 Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the
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“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.
2017 – 0.0% |
2016 – 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.
Not applicable - Less than 50%.
(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:
2017 - $28.4 million |
2016 - $29.3 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. 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.
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.
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.
(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.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(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.
(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.
(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/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
February 23, 2018 |
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/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
February 23, 2018 |
By: | /s/ Matthew J. Plastina | |
Matthew J. Plastina | ||
Acting Treasurer and Principal Financial Officer | ||
February 23, 2018 |