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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)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(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, 2021 through June 30, 2021
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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Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2021 (Unaudited)
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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AUGUST 4, 2021 (Unaudited)
Dear Shareholders,
The year 2021 has brought a partial reopening of the social and economic spheres and an extended rally in equity markets bolstered by federal relief and recovery efforts and surging consumer spending and corporate earnings.
“As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a strong performance over the six months ended June 30, 2021. The S&P 500 Index returned 16%; the Russell 1000 returned 15.57%; the Russell Mid Cap Index returned 16.65% and the Russell 2000 Index returned 17.24%. Investors who remained fully invested over the period stood to benefit greatly from performance of equity markets in the U.S. and globally.
Mass vaccinations and the rebound in economic growth at the global, and certain national and local levels have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across
the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve (the “Fed”). While the Fed has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Core Bond Portfolio
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | (1.18)% | |||
Bloomberg Barclays U.S. Aggregate Index | (1.60)% | |||
Net Assets as of 6/30/2021 (In Thousands) | $511,506 | |||
Duration as of 6/30/2021 | 5.8 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?
Overall, the U.S. and emerging markets led a global rally in stocks on the back of continued bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Fixed income investments generally underperformed equity during the period. Within fixed income, high yield debt (also known as “junk bonds”) and emerging markets debt outperformed U.S. Treasury bonds and investment grade corporate bonds.
Throughout the period, the U.S. Federal Reserve (the “Fed”) held interest rates at historically low levels. However, the rebound of the global economy in 2021 fueled accelerating inflation in the U.S. and raised investor concerns about the timing of any potential changes to Fed policies or programs.
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 six months ended June 30, 2021.
Relative to the Benchmark, the Portfolio’s overweight allocations to asset-backed securities, commercial mortgage-backed securities, non-agency mortgage-backed securities, and corporate credit were leading contributors to performance during
the period. The Portfolio’s security selection in agency mortgage-backed securities and corporate credit, its shorter duration profile relative to the Benchmark, its overweight position in the 5-10 year portion of the yield curve and its underweight position in the 20-plus year portion of the yield curve also contributed to relative performance. Generally, bonds with longer duration will experience a greater increase in price as interest rates fall versus bonds with shorter duration. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
The Portfolio’s allocation to short-term debt securities, through investments in JPMorgan money market funds, detracted from relative performance but the impact was not significant. The money market funds were used to manage day-to-day operations of the Portfolio and were not part of a strategic decision by the Portfolio’s managers.
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 ended the reporting period with an underweight position in U.S. Treasury securities and an overweight position in corporate credit and securitized debt sectors, including asset-backed securities, CMBS and mortgage-backed securities, which included both agency and non-agency debt. The Portfolio was overweight in the intermediate part of the yield curve, was underweight in the long end of the yield curve and maintained a shorter duration profile than the Benchmark at the end of the period.
2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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PORTFOLIO COMPOSITION AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Corporate Bonds | 31.9 | % | ||
Mortgage-Backed Securities | 18.6 | |||
U.S. Treasury Obligations | 18.4 | |||
Asset-Backed Securities | 9.5 | |||
Collateralized Mortgage Obligations | 8.9 | |||
Commercial Mortgage-Backed Securities | 4.7 | |||
Others (each less than 1.0%) | 0.7 | |||
Short-Term Investments | 7.3 |
* | 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. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Core Bond Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS 1 SHARES | May 1, 1997 | (1.18 | )% | 0.94 | % | 3.06 | % | 3.44 | % | |||||||||
CLASS 2 SHARES | August 16, 2006 | (1.31 | ) | 0.66 | 2.79 | 3.18 |
* | Not annualized. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
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 and the Bloomberg Barclays U.S. Aggregate Index from June 30, 2011 to June 30, 2021. 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 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. 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. 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 | JUNE 30, 2021 |
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JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — 33.4% |
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Aerospace & Defense — 1.0% |
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Airbus SE (France) 3.15%, 4/10/2027 (a) | 164 | 176 | ||||||
BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (a) | 45 | 49 | ||||||
BAE Systems plc (United Kingdom) | ||||||||
1.90%, 2/15/2031 (a) | 200 | 193 | ||||||
5.80%, 10/11/2041 (a) | 51 | 71 | ||||||
Boeing Co. (The) | ||||||||
1.17%, 2/4/2023 | 160 | 161 | ||||||
4.51%, 5/1/2023 | 513 | 547 | ||||||
1.95%, 2/1/2024 | 185 | 189 | ||||||
1.43%, 2/4/2024 | 325 | 326 | ||||||
4.88%, 5/1/2025 | 125 | 140 | ||||||
2.75%, 2/1/2026 | 180 | 188 | ||||||
2.20%, 2/4/2026 | 200 | 202 | ||||||
2.70%, 2/1/2027 | 640 | 661 | ||||||
3.25%, 3/1/2028 | 224 | 235 | ||||||
5.15%, 5/1/2030 | 190 | 225 | ||||||
5.71%, 5/1/2040 | 175 | 225 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.83%, 4/27/2025 | 60 | 66 | ||||||
1.80%, 1/15/2031 | 220 | 213 | ||||||
Leidos, Inc. 2.30%, 2/15/2031 | 120 | 117 | ||||||
Lockheed Martin Corp. 4.50%, 5/15/2036 | 70 | 88 | ||||||
Northrop Grumman Corp. | ||||||||
3.20%, 2/1/2027 | 76 | 83 | ||||||
3.25%, 1/15/2028 | 50 | 55 | ||||||
5.15%, 5/1/2040 | 140 | 183 | ||||||
Precision Castparts Corp. 3.25%, 6/15/2025 | 30 | 33 | ||||||
Raytheon Technologies Corp. | ||||||||
3.20%, 3/15/2024 | 28 | 30 | ||||||
4.50%, 6/1/2042 | 80 | 100 | ||||||
4.15%, 5/15/2045 | 138 | 163 | ||||||
3.75%, 11/1/2046 | 80 | 90 | ||||||
4.35%, 4/15/2047 | 90 | 111 | ||||||
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4,920 | ||||||||
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Airlines — 0.0% (b) |
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Continental Airlines Pass-Through Trust | ||||||||
Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 16 | 17 | ||||||
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Automobiles — 0.6% |
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BMW US Capital LLC (Germany) 2.25%, 9/15/2023 (a) | 45 | 47 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Automobiles — continued |
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General Motors Co. 6.13%, 10/1/2025 | 130 | 154 | ||||||
Hyundai Capital America | ||||||||
1.15%, 11/10/2022 (a) | 394 | 396 | ||||||
1.80%, 10/15/2025 (a) | 140 | 142 | ||||||
1.30%, 1/8/2026 (a) | 115 | 114 | ||||||
1.50%, 6/15/2026 (a) | 45 | 45 | ||||||
3.00%, 2/10/2027 (a) | 200 | 212 | ||||||
2.38%, 10/15/2027 (a) | 130 | 133 | ||||||
1.80%, 1/10/2028 (a) | 215 | 212 | ||||||
Nissan Motor Co. Ltd. (Japan) | ||||||||
3.52%, 9/17/2025 (a) | 481 | 514 | ||||||
4.35%, 9/17/2027 (a) | 673 | 739 | ||||||
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (a) | 200 | 198 | ||||||
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2,906 | ||||||||
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Banks — 5.9% |
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ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a) | 200 | 224 | ||||||
AIB Group plc (Ireland) (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (c) | 250 | 269 | ||||||
ANZ New Zealand Int’l Ltd. (New Zealand) | ||||||||
3.45%, 1/21/2028 (a) | 200 | 221 | ||||||
2.55%, 2/13/2030 (a) | 200 | 209 | ||||||
ASB Bank Ltd. (New Zealand) 3.13%, 5/23/2024 (a) | 230 | 245 | ||||||
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (a) | 300 | 290 | ||||||
Banco Santander SA (Spain) | ||||||||
2.75%, 5/28/2025 | 200 | 211 | ||||||
1.85%, 3/25/2026 | 400 | 404 | ||||||
2.75%, 12/3/2030 | 200 | 198 | ||||||
Bank of America Corp. | ||||||||
4.00%, 1/22/2025 | 114 | 125 | ||||||
Series L, 3.95%, 4/21/2025 | 92 | 101 | ||||||
(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (c) | 100 | 108 | ||||||
4.45%, 3/3/2026 | 69 | 78 | ||||||
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) | 100 | 101 | ||||||
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) | 279 | 281 | ||||||
3.25%, 10/21/2027 | 236 | 256 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | 260 | 288 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) | 434 | 473 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 5 |
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JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
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Banks — continued |
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(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (c) | 280 | 316 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (c) | 525 | 536 | ||||||
(SOFR + 2.15%), 2.59%, 4/29/2031 (c) | 313 | 323 | ||||||
(SOFR + 1.53%), 1.90%, 7/23/2031 (c) | 150 | 146 | ||||||
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | 1,158 | 1,123 | ||||||
Bank of Montreal (Canada) | ||||||||
1.85%, 5/1/2025 | 200 | 206 | ||||||
(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (c) | 47 | 52 | ||||||
Bank of Nova Scotia (The) (Canada) | ||||||||
1.63%, 5/1/2023 | 423 | 432 | ||||||
2.20%, 2/3/2025 | 257 | 268 | ||||||
4.50%, 12/16/2025 | 25 | 28 | ||||||
Banque Federative du Credit Mutuel SA (France) 2.38%, 11/21/2024 (a) | 254 | 265 | ||||||
Barclays plc (United Kingdom) | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c) | 369 | 370 | ||||||
3.65%, 3/16/2025 | 200 | 217 | ||||||
BBVA USA 2.50%, 8/27/2024 | 250 | 263 | ||||||
BNP Paribas SA (France) | ||||||||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c) | 293 | 302 | ||||||
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (c) | 232 | 229 | ||||||
(SOFR + 1.51%), 3.05%, 1/13/2031 (a) (c) | 320 | 337 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (a) (c) | 320 | 313 | ||||||
BNZ International Funding Ltd. (New Zealand) 2.90%, 2/21/2022 (a) | 250 | 254 | ||||||
Citigroup, Inc. | ||||||||
2.90%, 12/8/2021 | 100 | 101 | ||||||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (c) | 90 | 96 | ||||||
4.40%, 6/10/2025 | 78 | 87 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (c) (d) (e) | 435 | 444 | ||||||
(SOFR + 2.84%), 3.11%, 4/8/2026 (c) | 380 | 407 | ||||||
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | 354 | 349 | ||||||
4.45%, 9/29/2027 | 210 | 240 | ||||||
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c) | 200 | 223 | ||||||
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | 250 | 276 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Banks — continued |
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(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (c) | 75 | 82 | ||||||
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (c) | 74 | 84 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (c) | 220 | 249 | ||||||
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) | 625 | 636 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | 50 | 58 | ||||||
8.13%, 7/15/2039 | 56 | 97 | ||||||
Citizens Financial Group, Inc. 2.85%, 7/27/2026 | 200 | 213 | ||||||
Comerica, Inc. 4.00%, 2/1/2029 | 150 | 172 | ||||||
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | 450 | 496 | ||||||
Credit Agricole SA (France) | ||||||||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) | 650 | 663 | ||||||
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c) | 400 | 394 | ||||||
Danske Bank A/S (Denmark) | ||||||||
2.00%, 9/8/2021(a) | 200 | 201 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a) (c) | 480 | 482 | ||||||
Fifth Third Bancorp 3.65%, 1/25/2024 | 90 | 96 | ||||||
HSBC Holdings plc (United Kingdom) | ||||||||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | 229 | 243 | ||||||
4.38%, 11/23/2026 | 200 | 226 | ||||||
(SOFR + 1.95%), 2.36%, 8/18/2031 (c) | 300 | 300 | ||||||
6.50%, 9/15/2037 | 250 | 348 | ||||||
6.10%, 1/14/2042 | 120 | 175 | ||||||
ING Groep NV (Netherlands) | ||||||||
4.10%, 10/2/2023 | 200 | 216 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (c) | 210 | 211 | ||||||
3.95%, 3/29/2027 | 200 | 224 | ||||||
KeyCorp 4.15%, 10/29/2025 | 65 | 73 | ||||||
Lloyds Banking Group plc (United Kingdom) | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.33%, 6/15/2023 (c) | 200 | 202 | ||||||
4.50%, 11/4/2024 | 220 | 243 | ||||||
4.58%, 12/10/2025 | 200 | 225 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | 245 | 245 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
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Banks — continued |
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Mitsubishi UFJ Financial Group, Inc. (Japan) | ||||||||
3.00%, 2/22/2022 | 38 | 39 | ||||||
2.67%, 7/25/2022 | 80 | 82 | ||||||
3.76%, 7/26/2023 | 172 | 184 | ||||||
3.41%, 3/7/2024 | 170 | 182 | ||||||
2.19%, 2/25/2025 | 200 | 208 | ||||||
2.05%, 7/17/2030 | 340 | 339 | ||||||
3.75%, 7/18/2039 | 515 | 586 | ||||||
Mizuho Financial Group, Inc. (Japan) | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | 255 | 251 | ||||||
(SOFR + 1.57%), 2.87%, 9/13/2030 (c) | 220 | 231 | ||||||
National Australia Bank Ltd. (Australia) | ||||||||
3.38%, 1/14/2026 | 300 | 330 | ||||||
2.33%, 8/21/2030 (a) | 250 | 243 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a) (c) | 440 | 477 | ||||||
Natwest Group plc (United Kingdom) | ||||||||
4.80%, 4/5/2026 | 283 | 324 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (c) | 440 | 464 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c) | 200 | 213 | ||||||
(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) | 200 | 229 | ||||||
Regions Financial Corp. 3.80%, 8/14/2023 | 27 | 29 | ||||||
Royal Bank of Canada (Canada) | ||||||||
2.75%, 2/1/2022 | 66 | 67 | ||||||
3.70%, 10/5/2023 | 300 | 322 | ||||||
4.65%, 1/27/2026 | 30 | 34 | ||||||
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | 220 | 220 | ||||||
Societe Generale SA (France) | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c) | 260 | 258 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (c) | 215 | 214 | ||||||
3.00%, 1/22/2030 (a) | 331 | 345 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (c) | 500 | 506 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Banks — continued |
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Standard Chartered plc (United Kingdom) | ||||||||
(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (a) (c) | 220 | 224 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (c) | 245 | 243 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||||||||
2.44%, 10/19/2021 | 45 | 45 | ||||||
3.10%, 1/17/2023 | 55 | 57 | ||||||
3.94%, 10/16/2023 | 163 | 176 | ||||||
1.47%, 7/8/2025 | 212 | 214 | ||||||
3.01%, 10/19/2026 | 25 | 27 | ||||||
3.04%, 7/16/2029 | 345 | 371 | ||||||
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.55%, 3/25/2026(a) | 403 | 408 | ||||||
SVB Financial Group Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026 (c) (d) (e) | 435 | 443 | ||||||
Toronto-Dominion Bank (The) (Canada) 3.25%, 3/11/2024 | 140 | 150 | ||||||
Truist Financial Corp. 2.70%, 1/27/2022 | 91 | 92 | ||||||
UniCredit SpA (Italy) | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c) | 200 | 199 | ||||||
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c) | 200 | 221 | ||||||
US Bancorp | ||||||||
3.38%, 2/5/2024 | 120 | 129 | ||||||
7.50%, 6/1/2026 | 100 | 128 | ||||||
Wells Fargo & Co. | ||||||||
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (c) (d) (e) | 240 | 248 | ||||||
4.10%, 6/3/2026 | 24 | 27 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (c) | 900 | 971 | ||||||
(SOFR + 2.53%), 3.07%, 4/30/2041 (c) | 255 | 262 | ||||||
5.38%, 11/2/2043 | 200 | 267 | ||||||
4.40%, 6/14/2046 | 47 | 57 | ||||||
4.75%, 12/7/2046 | 53 | 67 | ||||||
Westpac Banking Corp. (Australia) | ||||||||
2.85%, 5/13/2026 | 100 | 108 | ||||||
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (c) | 140 | 156 | ||||||
4.42%, 7/24/2039 | 100 | 118 | ||||||
|
| |||||||
30,924 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Beverages — 0.8% |
| |||||||
Anheuser-Busch Cos. LLC (Belgium) | ||||||||
4.70%, 2/1/2036 | 571 | 701 | ||||||
4.90%, 2/1/2046 | 260 | 329 | ||||||
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | 120 | 146 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||||||||
4.38%, 4/15/2038 | 150 | 179 | ||||||
4.35%, 6/1/2040 | 225 | 268 | ||||||
4.44%, 10/6/2048 | 130 | 156 | ||||||
4.50%, 6/1/2050 | 236 | 287 | ||||||
4.75%, 4/15/2058 | 95 | 119 | ||||||
4.60%, 6/1/2060 | 105 | 129 | ||||||
Coca-Cola Femsa SAB de CV (Mexico) | ||||||||
2.75%, 1/22/2030 | 155 | 162 | ||||||
1.85%, 9/1/2032 | 215 | 207 | ||||||
Constellation Brands, Inc. | ||||||||
4.40%, 11/15/2025 | 50 | 56 | ||||||
2.88%, 5/1/2030 | 420 | 441 | ||||||
5.25%, 11/15/2048 | 25 | 33 | ||||||
Diageo Capital plc (United Kingdom) 1.38%, 9/29/2025 | 350 | 356 | ||||||
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | 260 | 272 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
3.13%, 12/15/2023 | 100 | 106 | ||||||
4.42%, 5/25/2025 | 30 | 34 | ||||||
3.43%, 6/15/2027 | 20 | 22 | ||||||
4.99%, 5/25/2038 | 43 | 55 | ||||||
4.42%, 12/15/2046 | 64 | 77 | ||||||
5.09%, 5/25/2048 | 60 | 79 | ||||||
|
| |||||||
4,214 | ||||||||
|
| |||||||
Biotechnology — 0.7% |
| |||||||
AbbVie, Inc. | ||||||||
3.45%, 3/15/2022 | 52 | 53 | ||||||
2.80%, 3/15/2023 | 100 | 103 | ||||||
3.85%, 6/15/2024 | 42 | 46 | ||||||
3.20%, 11/21/2029 | 516 | 561 | ||||||
4.50%, 5/14/2035 | 100 | 120 | ||||||
4.05%, 11/21/2039 | 510 | 593 | ||||||
4.40%, 11/6/2042 | 370 | 449 | ||||||
4.85%, 6/15/2044 | 200 | 254 | ||||||
Amgen, Inc. 2.20%, 2/21/2027 | 120 | 125 | ||||||
Baxalta, Inc. | ||||||||
3.60%, 6/23/2022 | 7 | 7 | ||||||
5.25%, 6/23/2045 | 3 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Biotechnology — continued | ||||||||
Biogen, Inc. | ||||||||
2.25%, 5/1/2030 | 289 | 289 | ||||||
3.15%, 5/1/2050 | 75 | 74 | ||||||
Gilead Sciences, Inc. | 310 | 298 | ||||||
Regeneron Pharmaceuticals, Inc. | 460 | 436 | ||||||
|
| |||||||
3,412 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
Lennox International, Inc. 1.35%, 8/1/2025 | 540 | 544 | ||||||
Masco Corp. | ||||||||
2.00%, 10/1/2030 | 90 | 88 | ||||||
6.50%, 8/15/2032 | 80 | 106 | ||||||
|
| |||||||
738 | ||||||||
|
| |||||||
Capital Markets — 2.4% |
| |||||||
Bank of New York Mellon Corp. (The) 3.30%, 8/23/2029 | 38 | 42 | ||||||
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a) | 21 | 26 | ||||||
Blackstone Secured Lending Fund 3.65%, 7/14/2023 (a) | 200 | 208 | ||||||
Brookfield Finance, Inc. (Canada) | ||||||||
3.90%, 1/25/2028 | 55 | 61 | ||||||
4.85%, 3/29/2029 | 54 | 64 | ||||||
4.70%, 9/20/2047 | 44 | 54 | ||||||
Charles Schwab Corp. (The) | ||||||||
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (c) (d) (e) | 340 | 355 | ||||||
3.20%, 3/2/2027 | 100 | 109 | ||||||
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (c) (d) (e) | 190 | 194 | ||||||
CME Group, Inc. 3.00%, 3/15/2025 | 97 | 104 | ||||||
Credit Suisse Group AG (Switzerland) | ||||||||
3.80%, 6/9/2023 | 350 | 371 | ||||||
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (c) | 250 | 260 | ||||||
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (c) | 250 | 256 | ||||||
(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (c) | 510 | 500 | ||||||
Daiwa Securities Group, Inc. (Japan) 3.13%, 4/19/2022(a) | 49 | 50 | ||||||
Deutsche Bank AG (Germany) | ||||||||
4.25%, 10/14/2021 | 100 | 101 | ||||||
3.30%, 11/16/2022 | 100 | 104 | ||||||
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 380 | 390 | ||||||
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) | 205 | 208 | ||||||
Goldman Sachs Group, Inc. (The) 3.50%, 1/23/2025 | 100 | 108 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Capital Markets — continued |
| |||||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | 137 | 147 | ||||||
4.25%, 10/21/2025 | 105 | 117 | ||||||
3.50%, 11/16/2026 | 142 | 154 | ||||||
3.85%, 1/26/2027 | 45 | 50 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | 742 | 820 | ||||||
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c) | 100 | 114 | ||||||
2.60%, 2/7/2030 | 400 | 415 | ||||||
6.75%, 10/1/2037 | 80 | 116 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (c) | 400 | 469 | ||||||
ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039 (c) | 215 | 262 | ||||||
Intercontinental Exchange, Inc. 4.00%, 10/15/2023 | 59 | 64 | ||||||
Invesco Finance plc 3.75%, 1/15/2026 | 36 | 40 | ||||||
Jefferies Group LLC 6.45%, 6/8/2027 | 81 | 101 | ||||||
Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (a) | 100 | 111 | ||||||
US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, | 200 | 199 | ||||||
Macquarie Group Ltd. (Australia) | ||||||||
(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (c) | 210 | 208 | ||||||
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c) | 220 | 261 | ||||||
Morgan Stanley | ||||||||
5.50%, 7/28/2021 | 35 | 35 | ||||||
2.63%, 11/17/2021 | 170 | 172 | ||||||
4.10%, 5/22/2023 | 100 | 106 | ||||||
(SOFR + 0.46%), 0.53%, 1/25/2024 (c) | 345 | 345 | ||||||
3.70%, 10/23/2024 | 69 | 75 | ||||||
4.00%, 7/23/2025 | 276 | 307 | ||||||
5.00%, 11/24/2025 | 70 | 81 | ||||||
3.88%, 1/27/2026 | 341 | 380 | ||||||
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) | 980 | 1,017 | ||||||
4.35%, 9/8/2026 | 20 | 23 | ||||||
3.63%, 1/20/2027 | 140 | 155 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) | 222 | 246 | ||||||
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (c) | 96 | 108 | ||||||
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (c) | 159 | 186 | ||||||
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) | 280 | 269 | ||||||
(SOFR + 1.49%), 3.22%, 4/22/2042 (c) | 265 | 281 | ||||||
4.30%, 1/27/2045 | 85 | 105 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Capital Markets — continued |
| |||||||
Nomura Holdings, Inc. (Japan) | ||||||||
2.65%, 1/16/2025 | 212 | 223 | ||||||
2.68%, 7/16/2030 | 200 | 203 | ||||||
Northern Trust Corp. | 29 | 32 | ||||||
Nuveen LLC 4.00%, 11/1/2028 (a) | 160 | 184 | ||||||
S&P Global, Inc. 3.25%, 12/1/2049 | 150 | 161 | ||||||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 17 | 17 | ||||||
UBS Group AG (Switzerland) | 400 | 446 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), | 200 | 199 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (a) (c) | 250 | 245 | ||||||
|
| |||||||
12,814 | ||||||||
|
| |||||||
Chemicals — 0.8% |
| |||||||
Air Products and Chemicals, Inc. 1.85%, 5/15/2027 | 310 | 318 | ||||||
Albemarle Corp. 5.45%, 12/1/2044 | 50 | 63 | ||||||
Celanese US Holdings LLC 3.50%, 5/8/2024 | 151 | 161 | ||||||
Chevron Phillips Chemical Co. LLC 5.13%, 4/1/2025 (a) | 485 | 555 | ||||||
Dow Chemical Co. (The) | ||||||||
4.55%, 11/30/2025 | 200 | 228 | ||||||
3.60%, 11/15/2050 | 245 | 264 | ||||||
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 595 | 788 | ||||||
Eastman Chemical Co. 4.50%, 12/1/2028 | 220 | 256 | ||||||
Ecolab, Inc. 3.25%, 1/14/2023 | 90 | 94 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
1.83%, 10/15/2027 (a) | 190 | 190 | ||||||
4.45%, 9/26/2028 | 45 | 52 | ||||||
3.27%, 11/15/2040 (a) | 110 | 113 | ||||||
5.00%, 9/26/2048 | 52 | 67 | ||||||
3.47%, 12/1/2050 (a) | 85 | 88 | ||||||
LYB International Finance III LLC | ||||||||
1.25%, 10/1/2025 | 80 | 80 | ||||||
3.38%, 5/1/2030 | 235 | 254 | ||||||
Nutrien Ltd. (Canada) | ||||||||
4.00%, 12/15/2026 | 70 | 79 | ||||||
4.20%, 4/1/2029 | 25 | 29 | ||||||
4.13%, 3/15/2035 | 90 | 102 | ||||||
5.00%, 4/1/2049 | 40 | 53 | ||||||
PPG Industries, Inc. 1.20%, 3/15/2026 | 140 | 140 | ||||||
Union Carbide Corp. 7.75%, 10/1/2096 | 80 | 133 | ||||||
|
| |||||||
4,107 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Brambles USA, Inc. (Australia) 4.13%, 10/23/2025 (a) | 70 | 77 | ||||||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | 90 | 90 | ||||||
Republic Services, Inc. 1.45%, 2/15/2031 | 230 | 216 | ||||||
|
| |||||||
383 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
Quanta Services, Inc. 2.90%, 10/1/2030 | 360 | 373 | ||||||
|
| |||||||
Construction Materials — 0.0% (b) |
| |||||||
Martin Marietta Materials, Inc. | ||||||||
3.45%, 6/1/2027 | 52 | 57 | ||||||
3.50%, 12/15/2027 | 100 | 110 | ||||||
|
| |||||||
167 | ||||||||
|
| |||||||
Consumer Finance — 1.3% |
| |||||||
AerCap Ireland Capital DAC (Ireland) | ||||||||
4.45%, 12/16/2021 | 150 | 152 | ||||||
4.50%, 9/15/2023 | 600 | 644 | ||||||
2.88%, 8/14/2024 | 150 | 157 | ||||||
1.75%, 1/30/2026 | 150 | 148 | ||||||
American Express Co. 4.20%, 11/6/2025 | 150 | 170 | ||||||
American Honda Finance Corp. 2.30%, 9/9/2026 | 17 | 18 | ||||||
Avolon Holdings Funding Ltd. (Ireland) | ||||||||
3.63%, 5/1/2022 (a) | 155 | 159 | ||||||
5.50%, 1/15/2023 (a) | 405 | 430 | ||||||
2.88%, 2/15/2025 (a) | 194 | 200 | ||||||
5.50%, 1/15/2026 (a) | 395 | 447 | ||||||
2.13%, 2/21/2026 (a) | 160 | 159 | ||||||
4.25%, 4/15/2026 (a) | 245 | 266 | ||||||
4.38%, 5/1/2026 (a) | 150 | 163 | ||||||
Capital One Financial Corp. | ||||||||
3.75%, 4/24/2024 | 130 | 140 | ||||||
4.20%, 10/29/2025 | 40 | 45 | ||||||
3.75%, 7/28/2026 | 196 | 216 | ||||||
Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), | 235 | 240 | ||||||
General Motors Financial Co., Inc. | ||||||||
1.25%, 1/8/2026 | 467 | 464 | ||||||
4.35%, 1/17/2027 | 113 | 127 | ||||||
2.35%, 1/8/2031 | 312 | 308 | ||||||
2.70%, 6/10/2031 | 205 | 206 | ||||||
Park Aerospace Holdings Ltd. (Ireland) | ||||||||
5.25%, 8/15/2022 (a) | 995 | 1,041 | ||||||
4.50%, 3/15/2023 (a) | 475 | 499 | ||||||
5.50%, 2/15/2024 (a) | 160 | 176 | ||||||
|
| |||||||
6,575 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Containers & Packaging — 0.1% |
| |||||||
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 284 | 283 | ||||||
Packaging Corp. of America 4.05%, 12/15/2049 | 155 | 182 | ||||||
WRKCo, Inc. | ||||||||
3.00%, 9/15/2024 | 80 | 84 | ||||||
3.90%, 6/1/2028 | 35 | 40 | ||||||
|
| |||||||
589 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% (b) |
| |||||||
Pepperdine University Series 2020, 3.30%, 12/1/2059 | 110 | 110 | ||||||
University of Southern California Series A, 3.23%, 10/1/2120 | 110 | 109 | ||||||
|
| |||||||
219 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
AIG Global Funding 1.90%, 10/6/2021 (a) | 100 | 100 | ||||||
CK Hutchison International 16 Ltd. (United Kingdom) 1.88%, 10/3/2021 (a) | 200 | 201 | ||||||
GE Capital Funding LLC 4.40%, 5/15/2030 | 445 | 519 | ||||||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 600 | 718 | ||||||
GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (a) | 67 | 71 | ||||||
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | 475 | 480 | ||||||
Mitsubishi HC Capital, Inc. (Japan) 2.65%, 9/19/2022 (a) | 200 | 205 | ||||||
ORIX Corp. (Japan) | ||||||||
2.90%, 7/18/2022 | 40 | 41 | ||||||
3.25%, 12/4/2024 | 100 | 108 | ||||||
3.70%, 7/18/2027 | 100 | 112 | ||||||
|
| |||||||
2,555 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
AT&T, Inc. | ||||||||
2.30%, 6/1/2027 | 520 | 538 | ||||||
1.65%, 2/1/2028 | 255 | 253 | ||||||
2.25%, 2/1/2032 | 430 | 422 | ||||||
3.50%, 6/1/2041 | 154 | 160 | ||||||
3.10%, 2/1/2043 | 645 | 631 | ||||||
3.50%, 9/15/2053 (a) | 381 | 383 | ||||||
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (a) | 150 | 186 | ||||||
Verizon Communications, Inc. | ||||||||
2.63%, 8/15/2026 | 12 | 13 | ||||||
2.10%, 3/22/2028 | 405 | 414 | ||||||
3.15%, 3/22/2030 | 40 | 43 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Diversified Telecommunication Services — continued |
| |||||||
1.68%, 10/30/2030 | 75 | 72 | ||||||
4.50%, 8/10/2033 | 125 | 149 | ||||||
4.40%, 11/1/2034 | 209 | 249 | ||||||
4.27%, 1/15/2036 | 85 | 101 | ||||||
2.65%, 11/20/2040 | 260 | 250 | ||||||
4.86%, 8/21/2046 | 134 | 173 | ||||||
4.67%, 3/15/2055 | 340 | 438 | ||||||
2.99%, 10/30/2056 | 82 | 77 | ||||||
|
| |||||||
4,552 | ||||||||
|
| |||||||
Electric Utilities — 1.7% |
| |||||||
AEP Transmission Co. LLC 3.15%, 9/15/2049 | 35 | 36 | ||||||
Alabama Power Co. 6.13%, 5/15/2038 | 62 | 89 | ||||||
Avangrid, Inc. 3.15%, 12/1/2024 | 72 | 77 | ||||||
Baltimore Gas and Electric Co. | ||||||||
3.50%, 8/15/2046 | 47 | 52 | ||||||
2.90%, 6/15/2050 | 110 | 109 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||
3.95%, 3/1/2048 | 10 | 12 | ||||||
Series AD, 2.90%, 7/1/2050 | 200 | 203 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (a) | 200 | 219 | ||||||
Cleveland Electric Illuminating Co. (The) | ||||||||
3.50%, 4/1/2028 (a) | 95 | 102 | ||||||
4.55%, 11/15/2030 (a) | 65 | 75 | ||||||
Commonwealth Edison Co. 3.65%, 6/15/2046 | 30 | 34 | ||||||
Duke Energy Corp. | ||||||||
2.65%, 9/1/2026 | 100 | 105 | ||||||
3.40%, 6/15/2029 | 61 | 67 | ||||||
Duke Energy Indiana LLC 3.75%, 5/15/2046 | 60 | 67 | ||||||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 46 | 51 | ||||||
Duke Energy Progress LLC 3.70%, 10/15/2046 | 54 | 61 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
3.62%, 8/1/2027 (a) | 160 | 174 | ||||||
2.53%, 10/1/2030 (a) | 210 | 206 | ||||||
Edison International 3.55%, 11/15/2024 | 284 | 302 | ||||||
4.13%, 3/15/2028 | 100 | 106 | ||||||
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 130 | 154 | ||||||
Enel Finance International NV (Italy) 3.63%, 5/25/2027 (a) | 220 | 242 | ||||||
Entergy Arkansas LLC 3.50%, 4/1/2026 | 22 | 24 | ||||||
Entergy Corp. 2.95%, 9/1/2026 | 21 | 22 | ||||||
Entergy Louisiana LLC | ||||||||
2.40%, 10/1/2026 | 59 | 62 | ||||||
3.05%, 6/1/2031 | 38 | 41 | ||||||
4.00%, 3/15/2033 | 40 | 47 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Electric Utilities — continued |
| |||||||
2.90%, 3/15/2051 | 130 | 128 | ||||||
Entergy Mississippi LLC 3.85%, 6/1/2049 | 135 | 155 | ||||||
Evergy Metro, Inc. | ||||||||
3.15%, 3/15/2023 | 24 | 25 | ||||||
5.30%, 10/1/2041 | 50 | 66 | ||||||
4.20%, 3/15/2048 | 50 | 60 | ||||||
Evergy, Inc. 2.90%, 9/15/2029 | 170 | 180 | ||||||
Florida Power & Light Co. 5.40%, 9/1/2035 | 50 | 66 | ||||||
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 124 | 133 | ||||||
Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 | 100 | 121 | ||||||
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 100 | 103 | ||||||
2.95%, 5/14/2030 (a) | 100 | 105 | ||||||
Jersey Central Power & Light Co. | ||||||||
4.30%, 1/15/2026 (a) | 40 | 44 | ||||||
6.15%, 6/1/2037 | 30 | 39 | ||||||
Massachusetts Electric Co. 4.00%, 8/15/2046 (a) | 56 | 62 | ||||||
MidAmerican Energy Co. 3.50%, 10/15/2024 | 59 | 64 | ||||||
Mid-Atlantic Interstate Transmission LLC | 40 | 45 | ||||||
Nevada Power Co. Series CC, 3.70%, 5/1/2029 | 100 | 112 | ||||||
New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (a) | 45 | 49 | ||||||
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | 27 | 30 | ||||||
Niagara Mohawk Power Corp. | ||||||||
3.51%, 10/1/2024 (a) | 19 | 20 | ||||||
1.96%, 6/27/2030 (a) | 250 | 246 | ||||||
NRG Energy, Inc. | ||||||||
2.00%, 12/2/2025 (a) | 185 | 188 | ||||||
2.45%, 12/2/2027 (a) | 210 | 211 | ||||||
4.45%, 6/15/2029 (a) | 110 | 121 | ||||||
OGE Energy Corp. 0.70%, 5/26/2023 | 135 | 135 | ||||||
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | 165 | 165 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
5.75%, 3/15/2029 | 25 | 31 | ||||||
3.10%, 9/15/2049 | 215 | 226 | ||||||
Pacific Gas and Electric Co. | ||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.53%, 11/15/2021 (c) | 330 | 332 | ||||||
1.75%, 6/16/2022 | 320 | 320 | ||||||
1.37%, 3/10/2023 | 305 | 305 | ||||||
3.45%, 7/1/2025 | 145 | 152 | ||||||
2.95%, 3/1/2026 | 90 | 92 | ||||||
3.75%, 8/15/2042 (f) | 33 | 30 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Electric Utilities — continued |
| |||||||
4.30%, 3/15/2045 | 55 | 53 | ||||||
4.00%, 12/1/2046 | 230 | 215 | ||||||
PECO Energy Co. 2.80%, 6/15/2050 | 100 | 100 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028 (a) | 19 | 20 | ||||||
Potomac Electric Power Co. 6.50%, 11/15/2037 | 75 | 111 | ||||||
PPL Capital Funding, Inc. 4.00%, 9/15/2047 | 20 | 24 | ||||||
Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 | 175 | 250 | ||||||
Public Service Electric and Gas Co. | ||||||||
3.00%, 5/15/2025 | 83 | 89 | ||||||
5.38%, 11/1/2039 | 28 | 37 | ||||||
Southern California Edison Co. | ||||||||
Series C, 3.50%, 10/1/2023 | 53 | 56 | ||||||
Series B, 3.65%, 3/1/2028 | 80 | 88 | ||||||
Series 05-B, 5.55%, 1/15/2036 | 80 | 99 | ||||||
4.05%, 3/15/2042 | 100 | 108 | ||||||
Tampa Electric Co. 4.45%, 6/15/2049 | 100 | 126 | ||||||
Toledo Edison Co. (The) 6.15%, 5/15/2037 | 50 | 69 | ||||||
Union Electric Co. 2.95%, 6/15/2027 | 36 | 39 | ||||||
Virginia Electric and Power Co. 6.35%, 11/30/2037 | 70 | 102 | ||||||
|
| |||||||
8,486 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc. | ||||||||
4.50%, 3/1/2023 | 8 | 8 | ||||||
3.25%, 9/8/2024 | 44 | 47 | ||||||
3.88%, 1/12/2028 | 22 | 25 | ||||||
Corning, Inc. | ||||||||
5.35%, 11/15/2048 | 110 | 148 | ||||||
3.90%, 11/15/2049 | 174 | 195 | ||||||
|
| |||||||
423 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
Baker Hughes a GE Co. LLC | ||||||||
3.14%, 11/7/2029 | 180 | 194 | ||||||
4.49%, 5/1/2030 | 115 | 136 | ||||||
Baker Hughes Holdings LLC 5. 13%, 9/15/2040 | 40 | 51 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/2025 | 4 | 4 | ||||||
4.85%, 11/15/2035 | 30 | 35 | ||||||
6.70%, 9/15/2038 | 60 | 83 | ||||||
NOV, Inc. 3.60%, 12/1/2029 | 200 | 209 | ||||||
Schlumberger Finance Canada Ltd. 1.40%, 9/17/2025 | 300 | 304 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Energy Equipment & Services — continued |
| |||||||
Schlumberger Holdings Corp. | ||||||||
3.75%, 5/1/2024 (a) | 55 | 59 | ||||||
3.90%, 5/17/2028 (a) | 62 | 69 | ||||||
|
| |||||||
1,144 | ||||||||
|
| |||||||
Entertainment — 0.1% |
| |||||||
NBCUniversal Media LLC 5.95%, 4/1/2041 | 75 | 108 | ||||||
Walt Disney Co. (The) 7.30%, 4/30/2028 | 150 | 201 | ||||||
|
| |||||||
309 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.9% |
| |||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.80%, 4/15/2026 | 23 | 26 | ||||||
2.00%, 5/18/2032 | 240 | 234 | ||||||
1.88%, 2/1/2033 | 140 | 132 | ||||||
4.00%, 2/1/2050 | 125 | 143 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.63%, 11/15/2027 | 100 | 109 | ||||||
2.85%, 2/1/2030 | 190 | 195 | ||||||
American Tower Corp. | ||||||||
5.00%, 2/15/2024 | 71 | 79 | ||||||
3.38%, 10/15/2026 | 44 | 48 | ||||||
1.50%, 1/31/2028 | 325 | 316 | ||||||
2.10%, 6/15/2030 | 150 | 148 | ||||||
1.88%, 10/15/2030 | 275 | 265 | ||||||
3.70%, 10/15/2049 | 230 | 250 | ||||||
3.10%, 6/15/2050 | 130 | 127 | ||||||
2.95%, 1/15/2051 | 85 | 81 | ||||||
Boston Properties LP | ||||||||
3.13%, 9/1/2023 | 30 | 31 | ||||||
3.20%, 1/15/2025 | 61 | 65 | ||||||
3.65%, 2/1/2026 | 67 | 75 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.65%, 6/15/2024 | 50 | 54 | ||||||
3.85%, 2/1/2025 | 50 | 54 | ||||||
2.25%, 4/1/2028 | 200 | 200 | ||||||
Corporate Office Properties LP | ||||||||
2.25%, 3/15/2026 | 470 | 483 | ||||||
2.75%, 4/15/2031 | 326 | 328 | ||||||
Crown Castle International Corp. | ||||||||
4.00%, 3/1/2027 | 24 | 27 | ||||||
2.25%, 1/15/2031 | 295 | 291 | ||||||
Digital Realty Trust LP 3.70%, 8/15/2027 | 31 | 35 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Duke Realty LP | ||||||||
3.25%, 6/30/2026 | 18 | 20 | ||||||
2.88%, 11/15/2029 | 95 | 99 | ||||||
Equinix, Inc. | ||||||||
2.90%, 11/18/2026 | 285 | 305 | ||||||
2.00%, 5/15/2028 | 463 | 465 | ||||||
Essex Portfolio LP | ||||||||
1.65%, 1/15/2031 | 200 | 187 | ||||||
2.65%, 3/15/2032 | 145 | 147 | ||||||
GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (a) | 79 | 86 | ||||||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 43 | 47 | ||||||
Healthcare Trust of America Holdings LP | ||||||||
3.10%, 2/15/2030 | 310 | 329 | ||||||
2.00%, 3/15/2031 | 160 | 155 | ||||||
Healthpeak Properties, Inc. | ||||||||
3.50%, 7/15/2029 | 132 | 146 | ||||||
3.00%, 1/15/2030 | 90 | 95 | ||||||
Life Storage LP | ||||||||
4.00%, 6/15/2029 | 150 | 168 | ||||||
2.20%, 10/15/2030 | 300 | 296 | ||||||
Mid-America Apartments LP | ||||||||
3.95%, 3/15/2029 | 230 | 261 | ||||||
1.70%, 2/15/2031 | 150 | 142 | ||||||
National Retail Properties, Inc. | ||||||||
3.60%, 12/15/2026 | 58 | 63 | ||||||
4.30%, 10/15/2028 | 150 | 170 | ||||||
Office Properties Income Trust 4.00%, 7/15/2022 | 78 | 81 | ||||||
Prologis LP | ||||||||
2.25%, 4/15/2030 | 20 | 20 | ||||||
2.13%, 10/15/2050 | 150 | 128 | ||||||
Realty Income Corp. | 20 | 22 | ||||||
3.88%, 4/15/2025 | 60 | 66 | ||||||
3.25%, 1/15/2031 | 170 | 185 | ||||||
Regency Centers LP 2.95%, 9/15/2029 | 215 | 226 | ||||||
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) | 170 | 183 | ||||||
SITE Centers Corp. 3.63%, 2/1/2025 | 61 | 64 | ||||||
UDR, Inc. | ||||||||
2.95%, 9/1/2026 | 28 | 30 | ||||||
3.20%, 1/15/2030 | 150 | 162 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
3.00%, 8/15/2031 | 25 | 26 | ||||||
2.10%, 8/1/2032 | 160 | 154 | ||||||
1.90%, 3/15/2033 | 240 | 224 | ||||||
Ventas Realty LP | ||||||||
4.13%, 1/15/2026 | 9 | 10 | ||||||
3.25%, 10/15/2026 | 25 | 27 | ||||||
3.85%, 4/1/2027 | 49 | 55 | ||||||
Vornado Realty LP 3.50%, 1/15/2025 | 60 | 64 | ||||||
Welltower, Inc. | ||||||||
2.70%, 2/15/2027 | 63 | 67 | ||||||
3.10%, 1/15/2030 | 85 | 91 | ||||||
6.50%, 3/15/2041 | 125 | 176 | ||||||
WP Carey, Inc. | ||||||||
4.25%, 10/1/2026 | 245 | 276 | ||||||
2.25%, 4/1/2033 | 180 | 172 | ||||||
|
| |||||||
9,486 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
7-Eleven, Inc. | ||||||||
0.95%, 2/10/2026 (a) | 170 | 168 | ||||||
1.30%, 2/10/2028 (a) | 137 | 132 | ||||||
2.50%, 2/10/2041 (a) | 139 | 129 | ||||||
Alimentation Couche-Tard, Inc. (Canada) | ||||||||
2.95%, 1/25/2030 (a) | 90 | 93 | ||||||
3.44%, 5/13/2041 (a) | 250 | 258 | ||||||
3.80%, 1/25/2050 (a) | 230 | 247 | ||||||
3.63%, 5/13/2051 (a) | 280 | 293 | ||||||
CVS Pass-Through Trust | ||||||||
7.51%, 1/10/2032 (a) | 66 | 84 | ||||||
5.93%, 1/10/2034 (a) | 72 | 87 | ||||||
Series 2013, 4.70%, 1/10/2036 (a) | 154 | 174 | ||||||
Kroger Co. (The) | ||||||||
2.20%, 5/1/2030 | 500 | 502 | ||||||
5.40%, 7/15/2040 | 18 | 24 | ||||||
|
| |||||||
2,191 | ||||||||
|
| |||||||
Food Products — 0.5% |
| |||||||
Bimbo Bakeries USA, Inc. (Mexico) 4.00%, 5/17/2051 (a) | 290 | 311 | ||||||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 400 | 404 | ||||||
Campbell Soup Co. 3.13%, 4/24/2050 | 47 | 46 | ||||||
Cargill, Inc. | ||||||||
3.25%, 3/1/2023 (a) | 25 | 26 | ||||||
2.13%, 4/23/2030 (a) | 291 | 295 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Food Products — continued |
| |||||||
Conagra Brands, Inc. | ||||||||
5.30%, 11/1/2038 | 35 | 44 | ||||||
5.40%, 11/1/2048 | 105 | 141 | ||||||
General Mills, Inc. 3.00%, 2/1/2051 (a) | 100 | 101 | ||||||
McCormick & Co., Inc. 2.50%, 4/15/2030 | 342 | 352 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 27 | 30 | ||||||
Mondelez International, Inc. 1.50%, 5/4/2025 | 80 | 81 | ||||||
Smithfield Foods, Inc. | ||||||||
5.20%, 4/1/2029 (a) | 160 | 186 | ||||||
3.00%, 10/15/2030 (a) | 380 | 384 | ||||||
Tyson Foods, Inc. | ||||||||
4.88%, 8/15/2034 | 20 | 25 | ||||||
5.15%, 8/15/2044 | 90 | 116 | ||||||
4.55%, 6/2/2047 | 100 | 122 | ||||||
|
| |||||||
2,664 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
Atmos Energy Corp. | ||||||||
0.63%, 3/9/2023 | 105 | 105 | ||||||
4.13%, 10/15/2044 | 50 | 59 | ||||||
4.13%, 3/15/2049 | 155 | 186 | ||||||
Boston Gas Co. 4.49%, 2/15/2042 (a) | 22 | 26 | ||||||
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (a) | 80 | 91 | ||||||
ONE Gas, Inc. 2.00%, 5/15/2030 | 200 | 197 | ||||||
Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029 | 200 | 220 | ||||||
Southern California Gas Co. | ||||||||
Series XX, 2.55%, 2/1/2030 | 195 | 201 | ||||||
Southern Natural Gas Co. LLC | ||||||||
8.00%, 3/1/2032 | 53 | 76 | ||||||
4.80%, 3/15/2047 (a) | 26 | 32 | ||||||
Southwest Gas Corp. 3.80%, 9/29/2046 | 44 | 48 | ||||||
|
| |||||||
1,241 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.2% |
| |||||||
Abbott Laboratories | ||||||||
1.15%, 1/30/2028 | 170 | 167 | ||||||
4.75%, 11/30/2036 | 130 | 168 | ||||||
Becton Dickinson and Co. 4.67%, 6/6/2047 | 160 | 199 | ||||||
Boston Scientific Corp. | ||||||||
4.00%, 3/1/2029 | 101 | 115 | ||||||
4.55%, 3/1/2039 | 100 | 122 | ||||||
DH Europe Finance II SARL 3.25%, 11/15/2039 | 184 | 197 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
Zimmer Biomet Holdings, Inc. 3.70%, 3/19/2023 | 27 | 28 | ||||||
|
| |||||||
996 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.0% |
| |||||||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | 130 | 132 | ||||||
Anthem, Inc. | ||||||||
3.30%, 1/15/2023 | 18 | 19 | ||||||
3.35%, 12/1/2024 | 70 | 76 | ||||||
4.10%, 3/1/2028 | 55 | 63 | ||||||
4.65%, 1/15/2043 | 18 | 22 | ||||||
4.65%, 8/15/2044 | 65 | 81 | ||||||
Ascension Health Series B, 2.53%, 11/15/2029 | 190 | 200 | ||||||
Children’s Hospital Series 2020, 2.93%, 7/15/2050 | 180 | 179 | ||||||
Cigna Corp. 4.50%, 2/25/2026 | 127 | 145 | ||||||
CommonSpirit Health | ||||||||
1.55%, 10/1/2025 | 145 | 146 | ||||||
2.78%, 10/1/2030 | 145 | 150 | ||||||
3.91%, 10/1/2050 | 140 | 155 | ||||||
CVS Health Corp. | ||||||||
4.30%, 3/25/2028 | 54 | 62 | ||||||
5.05%, 3/25/2048 | 323 | 420 | ||||||
Hackensack Meridian Health, Inc. | ||||||||
Series 2020, 2.68%, 9/1/2041 | 390 | 381 | ||||||
Series 2020, 2.88%, 9/1/2050 | 230 | 227 | ||||||
HCA, Inc. | ||||||||
5.25%, 6/15/2026 | 340 | 393 | ||||||
5.13%, 6/15/2039 | 125 | 156 | ||||||
5.50%, 6/15/2047 | 245 | 319 | ||||||
Memorial Health Services 3.45%, 11/1/2049 | 245 | 265 | ||||||
MidMichigan Health Series 2020, 3.41%, 6/1/2050 | 80 | 86 | ||||||
Mount Sinai Hospitals Group, Inc. Series 2017, 3.98%, 7/1/2048 | 83 | 92 | ||||||
MultiCare Health System 2.80%, 8/15/2050 | 120 | 118 | ||||||
Providence St Joseph Health Obligated Group | ||||||||
Series H, 2.75%, 10/1/2026 | 36 | 38 | ||||||
Quest Diagnostics, Inc. | ||||||||
3.45%, 6/1/2026 | 17 | 19 | ||||||
2.80%, 6/30/2031 | 95 | 99 | ||||||
Texas Health Resources 2.33%, 11/15/2050 | 140 | 127 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Health Care Providers & Services— continued |
| |||||||
UnitedHealth Group, Inc. | ||||||||
4.63%, 7/15/2035 | 34 | 43 | ||||||
3.50%, 8/15/2039 | 160 | 179 | ||||||
3.25%, 5/15/2051 | 140 | 149 | ||||||
Universal Health Services, Inc. 2.65%, 10/15/2030 (a) | 170 | 171 | ||||||
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | 200 | 184 | ||||||
|
| |||||||
4,896 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (b) |
| |||||||
McDonald’s Corp. 4.70%, 12/9/2035 | 60 | 74 | ||||||
Starbucks Corp. 2.55%, 11/15/2030 | 170 | 177 | ||||||
|
| |||||||
251 | ||||||||
|
| |||||||
Household Durables — 0.0% (b) |
| |||||||
Lennar Corp. 4.50%, 4/30/2024 | 95 | 104 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.2% |
| |||||||
Alexander Funding Trust 1.84%, 11/15/2023 (a) | 200 | 204 | ||||||
Exelon Generation Co. LLC | ||||||||
3.40%, 3/15/2022 | 50 | 51 | ||||||
4.25%, 6/15/2022 | 38 | 39 | ||||||
3.25%, 6/1/2025 | 250 | 269 | ||||||
6.25%, 10/1/2039 | 100 | 123 | ||||||
5.75%, 10/1/2041 | 29 | 34 | ||||||
Southern Power Co. 5.15%, 9/15/2041 | 50 | 61 | ||||||
Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 | 25 | 27 | ||||||
|
| |||||||
808 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% |
| |||||||
General Electric Co. | ||||||||
3.45%, 5/1/2027 | 105 | 115 | ||||||
3.63%, 5/1/2030 | 160 | 179 | ||||||
Honeywell International, Inc. 2.50%, 11/1/2026 | 150 | 160 | ||||||
Roper Technologies, Inc. | ||||||||
1.40%, 9/15/2027 | 350 | 343 | ||||||
2.00%, 6/30/2030 | 160 | 158 | ||||||
|
| |||||||
955 | ||||||||
Insurance — 1.1% |
| |||||||
AIA Group Ltd. (Hong Kong) | ||||||||
3.20%, 3/11/2025 (a) | 200 | 212 | ||||||
3.90%, 4/6/2028 (a) | 210 | 235 | ||||||
3.60%, 4/9/2029 (a) | 200 | 221 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Insurance — continued |
| |||||||
American Financial Group, Inc. 3.50%, 8/15/2026 | 100 | 109 | ||||||
American International Group, Inc. 3.88%, 1/15/2035 | 180 | 204 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 | 85 | 91 | ||||||
Athene Global Funding | ||||||||
0.95%, 1/8/2024 (a) | 490 | 491 | ||||||
2.75%, 6/25/2024 (a) | 155 | 162 | ||||||
1.45%, 1/8/2026 (a) | 370 | 370 | ||||||
2.95%, 11/12/2026 (a) | 410 | 437 | ||||||
Berkshire Hathaway Finance Corp. 4.30%, 5/15/2043 | 62 | 77 | ||||||
Brown & Brown, Inc. 2.38%, 3/15/2031 | 460 | 460 | ||||||
Chubb INA Holdings, Inc. | ||||||||
2.88%, 11/3/2022 | 42 | 43 | ||||||
2.70%, 3/13/2023 | 120 | 125 | ||||||
CNA Financial Corp. 3.95%, 5/15/2024 | 44 | 48 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (a) (c) (d) (e) | 200 | 216 | ||||||
F&G Global Funding 1.75%, 6/30/2026 (a) | 185 | 186 | ||||||
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (a) | 21 | 27 | ||||||
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 | 120 | 120 | ||||||
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | 70 | 83 | ||||||
Intact US Holdings, Inc. 4.60%, 11/9/2022 | 100 | 105 | ||||||
Jackson National Life Global Funding | ||||||||
3.88%, 6/11/2025 (a) | 87 | 96 | ||||||
3.05%, 4/29/2026 (a) | 104 | 111 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.57%, 2/1/2029 (a) | 27 | 32 | ||||||
3.95%, 10/15/2050 (a) | 207 | 230 | ||||||
Lincoln National Corp. | ||||||||
4.20%, 3/15/2022 | 20 | 21 | ||||||
4.00%, 9/1/2023 | 50 | 53 | ||||||
Manulife Financial Corp. (Canada) (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (c) | 100 | 110 | ||||||
Markel Corp. 3.63%, 3/30/2023 | 40 | 42 | ||||||
MetLife, Inc. 4.13%, 8/13/2042 | 28 | 33 | ||||||
New York Life Global Funding 2.35%, 7/14/2026 (a) | 65 | 68 | ||||||
New York Life Insurance Co. 4.45%, 5/15/2069 (a) | 105 | 131 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Insurance — continued |
| |||||||
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (a) | 195 | 195 | ||||||
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c) | 134 | 154 | ||||||
Principal Financial Group, Inc. | ||||||||
3.13%, 5/15/2023 | 30 | 31 | ||||||
3.70%, 5/15/2029 | 30 | 34 | ||||||
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (c) (d) (e) | 50 | 52 | ||||||
Prudential Financial, Inc. 3.91%, 12/7/2047 | 61 | 71 | ||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a) | 150 | 188 | ||||||
Reliance Standard Life Global Funding II 3.85%, 9/19/2023 (a) | 105 | 112 | ||||||
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | 50 | 60 | ||||||
|
| |||||||
5,846 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.2% |
| |||||||
Amazon.com, Inc. 3.88%, 8/22/2037 | 80 | 95 | ||||||
eBay, Inc. 2.60%, 5/10/2031 | 830 | 845 | ||||||
|
| |||||||
940 | ||||||||
|
| |||||||
IT Services — 0.1% |
| |||||||
DXC Technology Co. 4.25%, 4/15/2024 | 34 | 37 | ||||||
Fiserv, Inc. | 70 | 76 | ||||||
4.40%, 7/1/2049 | 65 | 78 | ||||||
Global Payments, Inc. 4.15%, 8/15/2049 | 140 | 161 | ||||||
|
| |||||||
352 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. 3.90%, 11/19/2029 | 332 | 369 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.0% (b) |
| |||||||
Thermo Fisher Scientific, Inc. 2.95%, 9/19/2026 | 30 | 32 | ||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | 75 | 82 | ||||||
Otis Worldwide Corp. 2.57%, 2/15/2030 | 280 | 290 | ||||||
Parker-Hannifin Corp. | ||||||||
4.45%, 11/21/2044 | 30 | 37 | ||||||
4.10%, 3/1/2047 | 21 | 25 | ||||||
Xylem, Inc. 2.25%, 1/30/2031 | 110 | 111 | ||||||
|
| |||||||
545 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Media — 0.8% |
| |||||||
Charter Communications Operating LLC | ||||||||
3.75%, 2/15/2028 | 245 | 270 | ||||||
5.38%, 4/1/2038 | 38 | 47 | ||||||
4.80%, 3/1/2050 | 240 | 276 | ||||||
3.70%, 4/1/2051 | 445 | 440 | ||||||
Comcast Cable Holdings LLC 10.13%, 4/15/2022 | 75 | 81 | ||||||
Comcast Corp. | ||||||||
3.15%, 3/1/2026 | 127 | 138 | ||||||
3.55%, 5/1/2028 | 66 | 74 | ||||||
1.95%, 1/15/2031 | 170 | 168 | ||||||
4.25%, 1/15/2033 | 167 | 199 | ||||||
4.20%, 8/15/2034 | 89 | 105 | ||||||
3.90%, 3/1/2038 | 32 | 37 | ||||||
4.60%, 10/15/2038 | 145 | 180 | ||||||
3.25%, 11/1/2039 | 130 | 138 | ||||||
3.75%, 4/1/2040 | 160 | 180 | ||||||
4.00%, 11/1/2049 | 52 | 61 | ||||||
4.95%, 10/15/2058 | 180 | 249 | ||||||
Cox Communications, Inc. | ||||||||
3.35%, 9/15/2026 (a) | 67 | 73 | ||||||
1.80%, 10/1/2030 (a) | 235 | 223 | ||||||
2.95%, 10/1/2050 (a) | 180 | 171 | ||||||
Discovery Communications LLC | ||||||||
5.20%, 9/20/2047 | 80 | 99 | ||||||
4.00%, 9/15/2055 | 124 | 132 | ||||||
Time Warner Cable LLC | ||||||||
6.55%, 5/1/2037 | 50 | 68 | ||||||
7.30%, 7/1/2038 | 50 | 73 | ||||||
5.50%, 9/1/2041 | 100 | 124 | ||||||
Time Warner Entertainment Co. LP 8.38%, 7/15/2033 | 90 | 136 | ||||||
ViacomCBS, Inc. | ||||||||
3.70%, 8/15/2024 | 46 | 50 | ||||||
4.00%, 1/15/2026 | 42 | 47 | ||||||
2.90%, 1/15/2027 | 53 | 56 | ||||||
5.85%, 9/1/2043 | 110 | 150 | ||||||
|
| |||||||
4,045 | ||||||||
|
| |||||||
Metals & Mining — 0.7% |
| |||||||
Anglo American Capital plc (South Africa) | ||||||||
4.00%, 9/11/2027 (a) | 200 | 222 | ||||||
2.63%, 9/10/2030 (a) | 200 | 200 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Metals & Mining — continued |
| |||||||
Glencore Funding LLC (Australia) | ||||||||
4.13%, 5/30/2023 (a) | 112 | 119 | ||||||
1.63%, 9/1/2025 (a) | 705 | 713 | ||||||
2.50%, 9/1/2030 (a) | 750 | 749 | ||||||
Nucor Corp. 2.98%, 12/15/2055 (a) | 30 | 29 | ||||||
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 600 | 602 | ||||||
Steel Dynamics, Inc. | ||||||||
1.65%, 10/15/2027 | 126 | 126 | ||||||
3.45%, 4/15/2030 | 177 | 192 | ||||||
Teck Resources Ltd. (Canada) 6.25%, 7/15/2041 | 210 | 274 | ||||||
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 130 | 138 | ||||||
|
| |||||||
3,364 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Dollar General Corp. 4.13%, 5/1/2028 | 55 | 63 | ||||||
Kohl’s Corp. 3.38%, 5/1/2031 | 402 | 417 | ||||||
Nordstrom, Inc. 4.25%, 8/1/2031 (a) | 300 | 312 | ||||||
|
| |||||||
792 | ||||||||
|
| |||||||
Multi-Utlities — 0.3% |
| |||||||
Ameren Illinois Co. 3.25%, 3/15/2050 | 185 | 200 | ||||||
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 230 | 230 | ||||||
CMS Energy Corp. | ||||||||
3.88%, 3/1/2024 | 110 | 118 | ||||||
2.95%, 2/15/2027 | 47 | 50 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
5.70%, 6/15/2040 | 38 | 51 | ||||||
4.50%, 5/15/2058 | 54 | 65 | ||||||
Consumers Energy Co. 3.25%, 8/15/2046 | 19 | 20 | ||||||
Delmarva Power & Light Co. 4.15%, 5/15/2045 | 50 | 60 | ||||||
Dominion Energy, Inc. Series B, 2.75%, 9/15/2022 | 60 | 61 | ||||||
New York State Electric & Gas Corp. 3.25%, 12/1/2026 (a) | 50 | 54 | ||||||
NiSource, Inc. | ||||||||
2.95%, 9/1/2029 | 85 | 90 | ||||||
1.70%, 2/15/2031 | 190 | 180 | ||||||
San Diego Gas & Electric Co. 5.35%, 5/15/2035 | 70 | 90 | ||||||
Sempra Energy 4.05%, 12/1/2023 | 62 | 67 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
2.45%, 10/1/2023 | 19 | 20 | ||||||
3.25%, 6/15/2026 | 17 | 18 | ||||||
5.88%, 3/15/2041 | 96 | 133 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Multi-Utilities — continued |
| |||||||
4.40%, 6/1/2043 | 42 | 50 | ||||||
3.95%, 10/1/2046 | 21 | 23 | ||||||
WEC Energy Group, Inc. 3.55%, 6/15/2025 | 37 | 40 | ||||||
|
| |||||||
1,620 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% |
| |||||||
APT Pipelines Ltd. (Australia) | ||||||||
4.20%, 3/23/2025 (a) | 120 | 132 | ||||||
4.25%, 7/15/2027 (a) | 73 | 82 | ||||||
Boardwalk Pipelines LP | ||||||||
4.80%, 5/3/2029 | 70 | 81 | ||||||
3.40%, 2/15/2031 | 170 | 180 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.02%, 1/16/2027 | 35 | 38 | ||||||
2.77%, 11/10/2050 | 130 | 120 | ||||||
2.94%, 6/4/2051 | 205 | 196 | ||||||
BP Capital Markets plc (United Kingdom) | ||||||||
3.51%, 3/17/2025 | 15 | 16 | ||||||
3.28%, 9/19/2027 | 259 | 284 | ||||||
Buckeye Partners LP 5.85%, 11/15/2043 | 100 | 99 | ||||||
Cameron LNG LLC 3.70%, 1/15/2039 (a) | 188 | 209 | ||||||
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 | 200 | 218 | ||||||
Chevron Corp. | ||||||||
2.41%, 3/3/2022 | 150 | 152 | ||||||
2.57%, 5/16/2023 | 200 | 207 | ||||||
Chevron USA, Inc. | ||||||||
3.25%, 10/15/2029 | 110 | 122 | ||||||
6.00%, 3/1/2041 | 114 | 167 | ||||||
Cimarex Energy Co. 3.90%, 5/15/2027 | 235 | 259 | ||||||
ConocoPhillips | ||||||||
3.75%, 10/1/2027 (a) | 135 | 152 | ||||||
2.40%, 2/15/2031 (a) | 130 | 133 | ||||||
Diamondback Energy, Inc. | ||||||||
4.75%, 5/31/2025 | 550 | 620 | ||||||
3.25%, 12/1/2026 | 145 | 155 | ||||||
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 (a) | 137 | 137 | ||||||
Ecopetrol SA (Colombia) | ||||||||
5.88%, 9/18/2023 | 28 | 30 | ||||||
4.13%, 1/16/2025 | 33 | 35 | ||||||
5.38%, 6/26/2026 | 39 | 43 | ||||||
Enable Midstream Partners LP | ||||||||
4.95%, 5/15/2028 | 40 | 46 | ||||||
4.15%, 9/15/2029 | 102 | 111 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Energy Transfer LP | ||||||||
4.75%, 1/15/2026 | 242 | 272 | ||||||
3.90%, 7/15/2026 | 24 | 26 | ||||||
5.50%, 6/1/2027 | 90 | 106 | ||||||
6.05%, 6/1/2041 | 100 | 127 | ||||||
6.10%, 2/15/2042 | 60 | 75 | ||||||
6.00%, 6/15/2048 | 235 | 297 | ||||||
5.00%, 5/15/2050 | 815 | 943 | ||||||
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | 50 | 65 | ||||||
Enterprise Products Operating LLC | ||||||||
3.90%, 2/15/2024 | 25 | 27 | ||||||
3.70%, 2/15/2026 | 38 | 42 | ||||||
7.55%, 4/15/2038 | 86 | 132 | ||||||
4.45%, 2/15/2043 | 87 | 103 | ||||||
5.10%, 2/15/2045 | 16 | 20 | ||||||
3.20%, 2/15/2052 | 50 | 50 | ||||||
4.95%, 10/15/2054 | 6 | 7 | ||||||
EQM Midstream Partners LP 5.50%, 7/15/2028 | 130 | 140 | ||||||
EQT Corp. 3.90%, 10/1/2027 | 60 | 64 | ||||||
Equinor ASA (Norway) | ||||||||
3.25%, 11/10/2024 | 23 | 25 | ||||||
2.88%, 4/6/2025 | 145 | 155 | ||||||
Exxon Mobil Corp. | ||||||||
2.99%, 3/19/2025 | 290 | 311 | ||||||
3.00%, 8/16/2039 | 405 | 416 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 6/30/2031 (a) | 185 | 187 | ||||||
4.32%, 12/30/2039 (a) | 130 | 132 | ||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a) | 250 | 247 | ||||||
Gray Oak Pipeline LLC 2.00%, 9/15/2023 (a) | 135 | 138 | ||||||
2.60%, 10/15/2025 (a) | 165 | 169 | ||||||
3.45%, 10/15/2027 (a) | 372 | 391 | ||||||
Hess Corp. 6.00%, 1/15/2040 | 67 | 86 | ||||||
HollyFrontier Corp. | ||||||||
2.63%, 10/1/2023 | 255 | 263 | ||||||
5.88%, 4/1/2026 | 138 | 160 | ||||||
Kinder Morgan, Inc. | ||||||||
2.00%, 2/15/2031 | 140 | 135 | ||||||
3.25%, 8/1/2050 | 170 | 164 | ||||||
Lundin Energy Finance BV (Netherlands) | ||||||||
2.00%, 7/15/2026 (a) | 200 | 200 | ||||||
3.10%, 7/15/2031 (a) | 200 | 202 | ||||||
Magellan Midstream Partners LP | ||||||||
3.20%, 3/15/2025 | 14 | 15 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
6.40%, 5/1/2037 | 70 | 90 | ||||||
Marathon Petroleum Corp. | ||||||||
4.50%, 5/1/2023 | 213 | 228 | ||||||
3.63%, 9/15/2024 | 29 | 31 | ||||||
4.70%, 5/1/2025 | 127 | 143 | ||||||
MPLX LP | ||||||||
4.50%, 7/15/2023 | 213 | 228 | ||||||
4.80%, 2/15/2029 | 261 | 306 | ||||||
5.20%, 12/1/2047 | 85 | 104 | ||||||
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | 215 | 222 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/1/2022 | 8 | 8 | ||||||
5.00%, 9/15/2023 | 72 | 78 | ||||||
6.65%, 10/1/2036 | 15 | 20 | ||||||
ONEOK, Inc. | ||||||||
2.20%, 9/15/2025 | 250 | 257 | ||||||
3.40%, 9/1/2029 | 60 | 64 | ||||||
Phillips 66 Partners LP | ||||||||
3.15%, 12/15/2029 | 95 | 100 | ||||||
4.90%, 10/1/2046 | 37 | 44 | ||||||
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 270 | 260 | ||||||
Plains All American Pipeline LP | ||||||||
4.65%, 10/15/2025 | 235 | 262 | ||||||
5.15%, 6/1/2042 | 120 | 135 | ||||||
4.30%, 1/31/2043 | 30 | 30 | ||||||
4.70%, 6/15/2044 | 110 | 117 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63%, 3/1/2025 | 235 | 269 | ||||||
5.00%, 3/15/2027 | 450 | 520 | ||||||
Spectra Energy Partners LP 5.95%, 9/25/2043 | 25 | 34 | ||||||
Suncor Energy, Inc. (Canada) | ||||||||
5.95%, 12/1/2034 | 60 | 80 | ||||||
6.80%, 5/15/2038 | 145 | 208 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 | 26 | 29 | ||||||
Tennessee Gas Pipeline Co. LLC 2.90%, 3/1/2030 (a) | 120 | 124 | ||||||
Texas Eastern Transmission LP 3.50%, 1/15/2028 (a) | 15 | 16 | ||||||
TotalEnergies Capital International SA (France) | ||||||||
2.99%, 6/29/2041 | 350 | 357 | ||||||
3.46%, 7/12/2049 | 145 | 157 | ||||||
3.13%, 5/29/2050 | 260 | 264 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
TransCanada PipeLines Ltd. (Canada) | ||||||||
6.20%, 10/15/2037 | 70 | 96 | ||||||
4.75%, 5/15/2038 | 80 | 96 | ||||||
Valero Energy Corp. | ||||||||
2.70%, 4/15/2023 | 155 | 161 | ||||||
1.20%, 3/15/2024 | 230 | 232 | ||||||
2.15%, 9/15/2027 | 210 | 213 | ||||||
7.50%, 4/15/2032 | 14 | 20 | ||||||
Williams Cos., Inc. (The) | ||||||||
3.90%, 1/15/2025 | 25 | 27 | ||||||
4.85%, 3/1/2048 | 53 | 65 | ||||||
|
| |||||||
15,611 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
Estee Lauder Cos., Inc. (The) | ||||||||
2.60%, 4/15/2030 | 404 | 426 | ||||||
3.13%, 12/1/2049 | 150 | 163 | ||||||
|
| |||||||
589 | ||||||||
|
| |||||||
Pharmaceuticals — 0.8% |
| |||||||
AstraZeneca plc (United Kingdom) | ||||||||
6.45%, 9/15/2037 | 50 | 75 | ||||||
4.00%, 9/18/2042 | 40 | 48 | ||||||
2.13%, 8/6/2050 | 140 | 122 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.90%, 2/20/2028 | 100 | 114 | ||||||
4.13%, 6/15/2039 | 114 | 138 | ||||||
2.35%, 11/13/2040 | 175 | 169 | ||||||
5.00%, 8/15/2045 | 126 | 172 | ||||||
4.55%, 2/20/2048 | 60 | 78 | ||||||
Mylan, Inc. | ||||||||
3.13%, 1/15/2023 (a) | 25 | 26 | ||||||
5.40%, 11/29/2043 | 21 | 26 | ||||||
Royalty Pharma plc | ||||||||
0.75%, 9/2/2023 (a) | 240 | 241 | ||||||
1.20%, 9/2/2025 (a) | 235 | 233 | ||||||
1.75%, 9/2/2027 (a) | 235 | 231 | ||||||
3.30%, 9/2/2040 (a) | 195 | 196 | ||||||
3.55%, 9/2/2050 (a) | 200 | 199 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 9/23/2023 | 83 | 87 | ||||||
3.20%, 9/23/2026 | 234 | 254 | ||||||
Takeda Pharmaceutical Co. Ltd. (Japan) | ||||||||
3.03%, 7/9/2040 | 230 | 233 | ||||||
3.18%, 7/9/2050 | 225 | 227 | ||||||
3.38%, 7/9/2060 | 200 | 205 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Pharmaceuticals — continued | ||||||||
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | 210 | 231 | ||||||
Viatris, Inc. 2.30%, 6/22/2027 (a) | 589 | 601 | ||||||
Zoetis, Inc. 2.00%, 5/15/2030 | 170 | 169 | ||||||
|
| |||||||
4,075 | ||||||||
|
| |||||||
Professional Services — 0.1% | ||||||||
IHS Markit Ltd. 4.25%, 5/1/2029 | 346 | 400 | ||||||
|
| |||||||
Real Estate Management & Development — 0.0% (b) |
| |||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (a) | 200 | 204 | ||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
Burlington Northern Santa Fe LLC 5.75%, 5/1/2040 | 85 | 120 | ||||||
5.40%, 6/1/2041 | 126 | 172 | ||||||
4.38%, 9/1/2042 | 25 | 31 | ||||||
5.15%, 9/1/2043 | 77 | 106 | ||||||
4.70%, 9/1/2045 | 35 | 46 | ||||||
Canadian National Railway Co. (Canada) 2.45%, 5/1/2050 | 190 | 171 | ||||||
CSX Corp. | ||||||||
5.50%, 4/15/2041 | 50 | 68 | ||||||
4.75%, 11/15/2048 | 108 | 139 | ||||||
3.35%, 9/15/2049 | 10 | 11 | ||||||
ERAC USA Finance LLC | ||||||||
4.50%, 8/16/2021 (a) | 45 | 45 | ||||||
2.60%, 12/1/2021 (a) | 50 | 50 | ||||||
7.00%, 10/15/2037 (a) | 160 | 240 | ||||||
5.63%, 3/15/2042 (a) | 12 | 16 | ||||||
JB Hunt Transport Services, Inc. 3.85%, 3/15/2024 | 70 | 75 | ||||||
3.88%, 3/1/2026 | 85 | 95 | ||||||
Kansas City Southern 4.70%, 5/1/2048 | 197 | 245 | ||||||
Norfolk Southern Corp. | ||||||||
3.95%, 10/1/2042 | 70 | 81 | ||||||
4.05%, 8/15/2052 | 40 | 47 | ||||||
Penske Truck Leasing Co. LP | ||||||||
3.95%, 3/10/2025 (a) | 25 | 27 | ||||||
3.40%, 11/15/2026 (a) | 25 | 27 | ||||||
4.20%, 4/1/2027 (a) | 75 | 85 | ||||||
Triton Container International Ltd. (Bermuda) | 270 | 270 | ||||||
Union Pacific Corp. | ||||||||
4.10%, 9/15/2067 | 150 | 173 | ||||||
|
| |||||||
2,340 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
Analog Devices, Inc. 4.50%, 12/5/2036 | 64 | 75 | ||||||
Broadcom Corp. 3.88%, 1/15/2027 | 100 | 110 | ||||||
Broadcom, Inc. | ||||||||
4.25%, 4/15/2026 | 250 | 280 | ||||||
1.95%, 2/15/2028 (a) | 592 | 593 | ||||||
4.11%, 9/15/2028 | 126 | 142 | ||||||
4.75%, 4/15/2029 | 370 | 430 | ||||||
Intel Corp. | 50 | 51 | ||||||
Microchip Technology, Inc. | ||||||||
0.97%, 2/15/2024 (a) | 330 | 330 | ||||||
0.98%, 9/1/2024 (a) | 370 | 368 | ||||||
NXP BV (China) | 360 | 364 | ||||||
3.25%, 5/11/2041 (a) | 370 | 379 | ||||||
Xilinx, Inc. 2.38%, 6/1/2030 | 215 | 219 | ||||||
|
| |||||||
3,341 | ||||||||
|
| |||||||
Software — 0.5% | ||||||||
Citrix Systems, Inc. 1.25%, 3/1/2026 | 95 | 94 | ||||||
Microsoft Corp. | ||||||||
2.65%, 11/3/2022 | 160 | 165 | ||||||
2.00%, 8/8/2023 | 125 | 129 | ||||||
3.50%, 2/12/2035 | 68 | 79 | ||||||
3.45%, 8/8/2036 | 60 | 69 | ||||||
2.92%, 3/17/2052 | 65 | 69 | ||||||
3.04%, 3/17/2062 | 40 | 43 | ||||||
Oracle Corp. | ||||||||
2.50%, 5/15/2022 | 52 | 53 | ||||||
2.40%, 9/15/2023 | 101 | 105 | ||||||
2.30%, 3/25/2028 | 370 | 379 | ||||||
4.30%, 7/8/2034 | 23 | 27 | ||||||
3.90%, 5/15/2035 | 93 | 104 | ||||||
3.85%, 7/15/2036 | 107 | 118 | ||||||
3.60%, 4/1/2040 | 450 | 474 | ||||||
3.65%, 3/25/2041 | 300 | 317 | ||||||
4.00%, 7/15/2046 | 110 | 119 | ||||||
VMware, Inc. | ||||||||
2.95%, 8/21/2022 | 101 | 104 | ||||||
4.65%, 5/15/2027 | 135 | 155 | ||||||
|
| |||||||
2,603 | ||||||||
|
| |||||||
Specialty Retail — 0.2% |
| |||||||
AutoZone, Inc. 1.65%, 1/15/2031 | 180 | 171 | ||||||
Home Depot, Inc. (The) 3.90%, 12/6/2028 | 110 | 128 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Specialty Retail — continued |
| |||||||
Lowe’s Cos., Inc. | ||||||||
3.65%, 4/5/2029 | 141 | 158 | ||||||
1.70%, 10/15/2030 | 430 | 413 | ||||||
2.63%, 4/1/2031 | 105 | 108 | ||||||
O’Reilly Automotive, Inc. | ||||||||
3.55%, 3/15/2026 | 80 | 88 | ||||||
3.60%, 9/1/2027 | 49 | 55 | ||||||
|
| |||||||
1,121 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
Apple, Inc. | 32 | 35 | ||||||
2.45%, 8/4/2026 | 74 | 79 | ||||||
3.00%, 6/20/2027 | 56 | 62 | ||||||
3.45%, 2/9/2045 | 82 | 92 | ||||||
3.85%, 8/4/2046 | 117 | 139 | ||||||
3.75%, 9/12/2047 | 140 | 164 | ||||||
Dell International LLC | 120 | 130 | ||||||
6.02%, 6/15/2026 | 522 | 627 | ||||||
HP, Inc. 3.00%, 6/17/2027 | 160 | 171 | ||||||
|
| |||||||
1,499 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
BPCE SA (France) | 200 | 220 | ||||||
1.00%, 1/20/2026 (a) | 305 | 301 | ||||||
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c) | 250 | 251 | ||||||
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c) | 250 | 245 | ||||||
Nationwide Building Society (United Kingdom) 1.00%, 8/28/2025 (a) | 200 | 198 | ||||||
|
| |||||||
1,215 | ||||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
Altria Group, Inc. 2.45%, 2/4/2032 | 410 | 397 | ||||||
BAT Capital Corp. (United Kingdom) | 210 | 208 | ||||||
3.73%, 9/25/2040 | 140 | 137 | ||||||
4.54%, 8/15/2047 | 60 | 64 | ||||||
3.98%, 9/25/2050 | 220 | 214 | ||||||
BAT International Finance plc (United Kingdom) | 160 | 160 | ||||||
|
| |||||||
1,180 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued |
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
Air Lease Corp. | 245 | 253 | ||||||
3.25%, 3/1/2025 | 48 | 51 | ||||||
3.38%, 7/1/2025 | 378 | 406 | ||||||
2.88%, 1/15/2026 | 160 | 168 | ||||||
3.25%, 10/1/2029 | 220 | 229 | ||||||
Aviation Capital Group LLC | 100 | 101 | ||||||
5.50%, 12/15/2024 (a) | 174 | 196 | ||||||
BOC Aviation Ltd. (Singapore) 2.38%, 9/15/2021 (a) | 200 | 201 | ||||||
International Lease Finance Corp. | 70 | 73 | ||||||
5.88%, 8/15/2022 | 150 | 159 | ||||||
WW Grainger, Inc. | 77 | 100 | ||||||
|
| |||||||
1,937 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.1% |
| |||||||
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (a) | 360 | 385 | ||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Capital Corp. | 35 | 39 | ||||||
4.00%, 12/1/2046 | 52 | 61 | ||||||
3.45%, 5/1/2050 | 225 | 243 | ||||||
|
| |||||||
343 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
America Movil SAB de CV (Mexico) | 200 | 220 | ||||||
4.38%, 4/22/2049 | 200 | 245 | ||||||
Rogers Communications, Inc. (Canada) | 100 | 118 | ||||||
T-Mobile USA, Inc. | 280 | 282 | ||||||
3.75%, 4/15/2027 | 460 | 508 | ||||||
2.05%, 2/15/2028 | 370 | 376 | ||||||
3.88%, 4/15/2030 | 850 | 950 | ||||||
Vodafone Group plc (United Kingdom) | 64 | 84 | ||||||
4.88%, 6/19/2049 | 255 | 322 | ||||||
|
| |||||||
3,105 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 171,272 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Mortgage-Backed Securities — 19.5% |
| |||||||
FHLMC |
| |||||||
Pool # 611141, ARM, 2.23%, 1/1/2027 (g) | 11 | 11 | ||||||
Pool # 846812, ARM, 2.41%, 4/1/2030 (g) | 3 | 3 | ||||||
Pool # 1B1665, ARM, 2.07%, 4/1/2034 (g) | 12 | 12 | ||||||
Pool # 1B2844, ARM, 1.96%, 3/1/2035 (g) | 28 | 29 | ||||||
Pool # 1B3209, ARM, 2.17%, 1/1/2037 (g) | 9 | 9 | ||||||
FHLMC Gold Pools, 30 Year |
| |||||||
Pool # G00981, 8.50%, 7/1/2028 | 1 | 1 | ||||||
Pool # C00785, 6.50%, 6/1/2029 | 7 | 8 | ||||||
Pool # C01292, 6.00%, 2/1/2032 | 4 | 5 | ||||||
Pool # A13625, 5.50%, 10/1/2033 | 25 | 29 | ||||||
Pool # A28796, 6.50%, 11/1/2034 | 7 | 8 | ||||||
Pool # A46417, 7.00%, 4/1/2035 | 32 | 38 | ||||||
Pool # V83115, 4.50%, 3/1/2047 | 796 | 866 | ||||||
Pool # Q48338, 4.50%, 5/1/2047 | 53 | 57 | ||||||
Pool # G61060, 4.50%, 6/1/2047 | 1,064 | 1,159 | ||||||
FHLMC Gold Pools, Other |
| |||||||
Pool # P20570, 7.00%, 7/1/2029 | 29 | 32 | ||||||
Pool # U80265, 3.50%, 4/1/2033 | 283 | 304 | ||||||
Pool # U90690, 3.50%, 6/1/2042 | 284 | 307 | ||||||
Pool # U90975, 4.00%, 6/1/2042 | 122 | 134 | ||||||
Pool # U99134, 4.00%, 1/1/2046 | 195 | 214 | ||||||
FHLMC UMBS, 30 Year |
| |||||||
Pool # RA2008, 4.00%, 1/1/2050 | 510 | 551 | ||||||
Pool # QB1284, 3.50%, 7/1/2050 | 952 | 1,005 | ||||||
Pool # QB1248, 4.00%, 7/1/2050 | 1,027 | 1,124 | ||||||
FNMA |
| |||||||
Pool # 303532, ARM, 3.90%, 3/1/2029 (g) | — | (h) | — | (h) | ||||
Pool # 745446, ARM, 2.41%, 4/1/2033 (g) | 14 | 14 | ||||||
Pool # 722985, ARM, 2.27%, 7/1/2033 (g) | 14 | 14 | ||||||
Pool # 766610, ARM, 2.09%, 1/1/2034 (g) | 17 | 17 | ||||||
Pool # 735332, ARM, 2.32%, 8/1/2034 (g) | 28 | 30 | ||||||
Pool # 735740, ARM, 1.84%, 10/1/2034 (g) | 16 | 16 | ||||||
Pool # 810896, ARM, 1.76%, 1/1/2035 (g) | 51 | 54 | ||||||
Pool # 823660, ARM, 1.97%, 5/1/2035 (g) | 26 | 26 | ||||||
FNMA UMBS, 15 Year |
| |||||||
Pool # 840495, 5.50%, 4/1/2022 | 1 | 1 | ||||||
Pool # 899316, 5.50%, 4/1/2022 | — | (h) | — | (h) | ||||
Pool # 928637, 6.00%, 9/1/2022 | 1 | 1 | ||||||
Pool # 949415, 4.50%, 3/1/2023 | 2 | 2 | ||||||
Pool # 962871, 4.50%, 5/1/2023 | 3 | 2 | ||||||
FNMA UMBS, 20 Year |
| |||||||
Pool # 254305, 6.50%, 5/1/2022 | 1 | 1 | ||||||
Pool # 555791, 6.50%, 12/1/2022 | — | (h) | 1 | |||||
Pool # 762498, 5.00%, 11/1/2023 | 33 | 36 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Mortgage-Backed Securities — continued |
| |||||||
Pool # 255609, 4.50%, 1/1/2025 | 5 | 5 | ||||||
Pool # FM1345, 4.50%, 11/1/2038 | 781 | 850 | ||||||
FNMA UMBS, 30 Year |
| |||||||
Pool # 250375, 6.50%, 9/1/2025 | 1 | 1 | ||||||
Pool # 689977, 8.00%, 3/1/2027 | 9 | 9 | ||||||
Pool # 755973, 8.00%, 11/1/2028 | 17 | 20 | ||||||
Pool # 252211, 6.00%, 1/1/2029 | 1 | 1 | ||||||
Pool # 524949, 7.50%, 3/1/2030 | 6 | 6 | ||||||
Pool # 622534, 3.00%, 9/1/2031 | 98 | 103 | ||||||
Pool # 788150, 6.00%, 3/1/2032 | 14 | 16 | ||||||
Pool # 545639, 6.50%, 4/1/2032 | 29 | 35 | ||||||
Pool # 674349, 6.00%, 3/1/2033 | 5 | 6 | ||||||
Pool # AD0755, 7.00%, 6/1/2035 | 384 | 452 | ||||||
Pool # 833039, 5.00%, 9/1/2035 | 17 | 20 | ||||||
Pool # 745932, 6.50%, 11/1/2036 | 36 | 42 | ||||||
Pool # 944831, 5.50%, 2/1/2038 | 4 | 5 | ||||||
Pool # 961799, 5.50%, 3/1/2038 | 2 | 3 | ||||||
Pool # 985558, 5.50%, 6/1/2038 | 1 | 1 | ||||||
Pool # AL3438, 6.50%, 10/1/2038 | 353 | 401 | ||||||
Pool # AA4236, 4.50%, 4/1/2039 | 120 | 132 | ||||||
Pool # 935241, 4.50%, 5/1/2039 | 5 | 5 | ||||||
Pool # MA2535, 4.50%, 2/1/2046 | 267 | 291 | ||||||
Pool # BH4683, 4.00%, 6/1/2047 | 323 | 354 | ||||||
Pool # BH4684, 4.00%, 6/1/2047 | 319 | 349 | ||||||
Pool # BH4685, 4.00%, 6/1/2047 | 270 | 294 | ||||||
Pool # BK9030, 5.00%, 10/1/2048 | 861 | 943 | ||||||
Pool # BM5430, 5.00%, 1/1/2049 | 492 | 551 | ||||||
Pool # BN5899, 5.00%, 2/1/2049 | 156 | 172 | ||||||
Pool # BK8745, 4.50%, 4/1/2049 | 465 | 501 | ||||||
Pool # BN4707, 5.00%, 4/1/2049 | 707 | 785 | ||||||
Pool # FM1939, 4.50%, 5/1/2049 | 393 | 423 | ||||||
Pool # CA3713, 5.00%, 6/1/2049 | 394 | 431 | ||||||
Pool # BN6475, 4.00%, 7/1/2049 | 257 | 275 | ||||||
Pool # BO2170, 4.00%, 7/1/2049 | 488 | 521 | ||||||
Pool # BO2305, 4.00%, 7/1/2049 | 129 | 138 | ||||||
Pool # BK8758, 4.50%, 7/1/2049 | 449 | 489 | ||||||
Pool # BO5625, 3.50%, 8/1/2049 | 817 | 876 | ||||||
Pool # BP4357, 3.00%, 2/1/2050 | 921 | 988 | ||||||
FNMA, 30 Year |
| |||||||
Pool # 506427, 9.00%, 4/1/2025 | 7 | 7 | ||||||
Pool # 535442, 8.50%, 6/1/2030 | 1 | 1 | ||||||
FNMA, Other |
| |||||||
Pool # AM0806, 2.45%, 11/1/2022 | 484 | 493 | ||||||
Pool # AM1619, 2.34%, 12/1/2022 | 235 | 240 | ||||||
Pool # AM2747, 2.50%, 4/1/2023 | 500 | 514 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Pool # AM3244, 2.52%, 5/1/2023 | 1,000 | 1,029 | ||||||
Pool # AM3851, 3.02%, 7/1/2023 | 1,000 | 1,040 | ||||||
Pool # AN0029, 3.10%, 9/1/2025 | 958 | 1,040 | ||||||
Pool # AM4660, 3.77%, 12/1/2025 | 288 | 320 | ||||||
Pool # AN0890, 2.63%, 3/1/2026 | 471 | 504 | ||||||
Pool # AM6381, 3.29%, 8/1/2026 | 986 | 1,080 | ||||||
Pool # BL0044, 3.71%, 8/1/2026 | 783 | 874 | ||||||
Pool # AM7321, 3.12%, 11/1/2026 | 939 | 1,028 | ||||||
Pool # AM7515, 3.34%, 2/1/2027 | 1,000 | 1,106 | ||||||
Pool # AN1600, 2.59%, 6/1/2028 | 852 | 916 | ||||||
Pool # AN9686, 3.52%, 6/1/2028 | 500 | 566 | ||||||
Pool # 109452, 3.64%, 8/1/2028 | 963 | 967 | ||||||
Pool # 405220, 6.00%, 9/1/2028 | 4 | 4 | ||||||
Pool # BL5798, 2.47%, 12/1/2028 | 1,251 | 1,334 | ||||||
Pool # BL1040, 3.81%, 12/1/2028 | 300 | 348 | ||||||
Pool # BL4435, 2.42%, 10/1/2029 | 700 | 744 | ||||||
Pool # AN6846, 2.93%, 10/1/2029 | 1,100 | 1,211 | ||||||
Pool # BL4333, 2.52%, 11/1/2029 | 1,089 | 1,168 | ||||||
Pool # BS0448, 1.27%, 12/1/2029 | 1,291 | 1,274 | ||||||
Pool # AN9976, 3.96%, 2/1/2030 | 1,200 | 1,410 | ||||||
Pool # BL6267, 2.01%, 4/1/2030 | 1,350 | 1,389 | ||||||
Pool # AM8692, 3.03%, 4/1/2030 | 650 | 719 | ||||||
Pool # AM8544, 3.08%, 4/1/2030 | 472 | 523 | ||||||
Pool # BL6386, 2.02%, 8/1/2030 | 1,059 | 1,098 | ||||||
Pool # BL9251, 1.45%, 10/1/2030 | 1,200 | 1,193 | ||||||
Pool # BL9645, 1.50%, 1/1/2031 | 1,100 | 1,096 | ||||||
Pool # BL9627, 1.56%, 1/1/2031 | 1,300 | 1,303 | ||||||
Pool # 754922, 5.50%, 9/1/2033 | 23 | 26 | ||||||
Pool # 847108, 6.50%, 10/1/2035 | 71 | 80 | ||||||
Pool # AL9678, 4.00%, 2/1/2036 | 821 | 882 | ||||||
Pool # AN1330, 3.19%, 3/1/2036 | 1,021 | 1,132 | ||||||
Pool # 257172, 5.50%, 4/1/2038 | 3 | 3 | ||||||
Pool # AO9352, 4.00%, 7/1/2042 | 157 | 173 | ||||||
Pool # MA1125, 4.00%, 7/1/2042 | 200 | 219 | ||||||
Pool # MA1178, 4.00%, 9/1/2042 | 106 | 116 | ||||||
Pool # MA1437, 3.50%, 5/1/2043 | 335 | 362 | ||||||
Pool # AL6167, 3.50%, 1/1/2044 | 352 | 380 | ||||||
Pool # MA2545, 3.50%, 2/1/2046 | 699 | 754 | ||||||
Pool # MA2793, 3.50%, 10/1/2046 | 262 | 282 | ||||||
Pool # BF0230, 5.50%, 1/1/2058 (i) | 1,690 | 2,012 | ||||||
Pool # BF0464, 3.50%, 3/1/2060 | 1,101 | 1,197 | ||||||
Pool # BF0497, 3.00%, 7/1/2060 (i) | 945 | 1,002 | ||||||
FNMA/FHLMC UMBS, Single Family, 15 Year |
| |||||||
TBA, 2.00%, 9/25/2036 (i) | 2,560 | 2,633 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Mortgage-Backed Securities — continued |
| |||||||
FNMA/FHLMC UMBS, Single Family, 30 Year |
| |||||||
TBA, 2.50%, 8/25/2051 (i) | 13,375 | 13,808 | ||||||
TBA, 2.50%, 9/25/2051 (i) | 7,570 | 7,798 | ||||||
GNMA I, 30 Year |
| |||||||
Pool # 326977, 7.50%, 5/15/2023 | 1 | 1 | ||||||
Pool # 359588, 7.50%, 6/15/2023 | — | (h) | — | (h) | ||||
Pool # 782507, 9.50%, 10/15/2024 | — | (h) | — | (h) | ||||
Pool # 780029, 9.00%, 11/15/2024 | — | (h) | — | (h) | ||||
Pool # 405535, 7.00%, 12/15/2025 | 1 | 1 | ||||||
Pool # 412336, 8.00%, 10/15/2027 | 1 | 1 | ||||||
Pool # 451507, 8.00%, 10/15/2027 | 2 | 2 | ||||||
Pool # 412369, 7.00%, 11/15/2027 | 1 | 1 | ||||||
Pool # 467705, 6.50%, 3/15/2028 | 1 | 1 | ||||||
Pool # 472679, 7.00%, 6/15/2028 | 3 | 3 | ||||||
Pool # 486537, 7.50%, 9/15/2028 | 2 | 2 | ||||||
Pool # 781614, 7.00%, 6/15/2033 | 4 | 5 | ||||||
Pool # 617653, 6.00%, 5/15/2037 | 28 | 32 | ||||||
Pool # 678574, 5.50%, 6/15/2038 | 624 | 733 | ||||||
Pool # 681554, 5.50%, 7/15/2038 | 562 | 662 | ||||||
Pool # 678169, 5.50%, 9/15/2038 | 342 | 403 | ||||||
Pool # 681568, 5.50%, 9/15/2038 | 567 | 668 | ||||||
Pool # 694458, 6.00%, 10/15/2038 | 5 | 6 | ||||||
Pool # 782510, 6.50%, 12/15/2038 | 16 | 19 | ||||||
GNMA II |
| |||||||
Pool # 81074, ARM, 2.75%, 9/20/2034 (g) | 32 | 33 | ||||||
GNMA II, 30 Year |
| |||||||
Pool # 2006, 8.50%, 5/20/2025 | 1 | 1 | ||||||
Pool # 2324, 8.00%, 11/20/2026 | 13 | 15 | ||||||
Pool # 2341, 7.50%, 12/20/2026 | 1 | 1 | ||||||
Pool # 2362, 8.00%, 1/20/2027 | 1 | 2 | ||||||
Pool # BJ9823, 3.75%, 4/20/2048 | 1,498 | 1,661 | ||||||
Pool # BP4337, 4.50%, 9/20/2049 | 712 | 783 | ||||||
Pool # BP5551, 4.50%, 9/20/2049 | 646 | 708 | ||||||
Pool # BR0553, 4.50%, 2/20/2050 | 637 | 716 | ||||||
Pool # BS7393, 4.00%, 3/20/2050 | 842 | 910 | ||||||
Pool # BT8093, 3.50%, 4/20/2050 | 1,166 | 1,249 | ||||||
Pool # BS7411, 4.00%, 4/20/2050 | 1,802 | 1,948 | ||||||
Pool # BT4341, 3.00%, 7/20/2050 | 1,376 | 1,458 | ||||||
Pool # MA7136, 2.50%, 1/20/2051 | 10,931 | 11,342 | ||||||
GNMA II, Other |
| |||||||
Pool # AD0018, 3.75%, 12/20/2032 | 107 | 115 | ||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 99,495 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
U.S. Treasury Obligations — 19.3% |
| |||||||
U.S. Treasury Bonds | 338 | 348 | ||||||
4.25%, 5/15/2039 | 105 | 144 | ||||||
1.13%, 5/15/2040 | 1,285 | 1,109 | ||||||
3.88%, 8/15/2040 | 100 | 131 | ||||||
1.88%, 2/15/2041 | 940 | 920 | ||||||
3.13%, 11/15/2041 | 950 | 1,132 | ||||||
2.75%, 11/15/2042 | 2,345 | 2,642 | ||||||
3.13%, 2/15/2043 | 500 | 597 | ||||||
2.88%, 5/15/2043 | 1,590 | 1,829 | ||||||
3.63%, 8/15/2043 | 350 | 451 | ||||||
3.75%, 11/15/2043 | 702 | 921 | ||||||
3.63%, 2/15/2044 | 645 | 834 | ||||||
3.38%, 5/15/2044 | 1,000 | 1,247 | ||||||
3.00%, 11/15/2044 | 663 | 781 | ||||||
2.50%, 2/15/2045 | 2,000 | 2,164 | ||||||
2.88%, 8/15/2045 | 500 | 578 | ||||||
3.00%, 11/15/2045 | 1,000 | 1,182 | ||||||
2.25%, 8/15/2046 | 1,904 | 1,968 | ||||||
3.00%, 2/15/2048 | 90 | 107 | ||||||
3.13%, 5/15/2048 | 176 | 215 | ||||||
2.88%, 5/15/2049 | 160 | 187 | ||||||
2.25%, 8/15/2049 | 1,095 | 1,134 | ||||||
2.38%, 11/15/2049 | 265 | 282 | ||||||
2.00%, 2/15/2050 | 645 | 634 | ||||||
1.38%, 8/15/2050 | 140 | 118 | ||||||
1.63%, 11/15/2050 | 2,240 | 2,012 | ||||||
1.88%, 2/15/2051 | 3,477 | 3,319 | ||||||
2.38%, 5/15/2051 | 50 | 53 | ||||||
U.S. Treasury Inflation Indexed Bonds | 300 | 668 | ||||||
2.50%, 1/15/2029 | 100 | 160 | ||||||
U.S. Treasury Notes | 500 | 501 | ||||||
1.25%, 10/31/2021 | 3,500 | 3,514 | ||||||
2.00%, 10/31/2021 | 100 | 101 | ||||||
1.88%, 11/30/2021 | 950 | 957 | ||||||
1.38%, 1/31/2022 | 9,000 | 9,069 | ||||||
1.75%, 2/28/2022 | 3,300 | 3,337 | ||||||
1.63%, 8/31/2022 | 1,000 | 1,017 | ||||||
1.75%, 9/30/2022 | 150 | 153 | ||||||
1.50%, 2/28/2023 | 525 | 536 | ||||||
1.75%, 5/15/2023 | 3,079 | 3,166 | ||||||
2.75%, 5/31/2023 | 46 | 48 | ||||||
2.50%, 8/15/2023 | 600 | 628 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
U.S. Treasury Obligations — continued | ||||||||
1.38%, 8/31/2023 | 700 | 717 | ||||||
1.63%, 10/31/2023 | 2,000 | 2,061 | ||||||
2.13%, 2/29/2024 | 94 | 98 | ||||||
2.50%, 5/15/2024 | 30 | 32 | ||||||
2.00%, 6/30/2024 | 10 | 10 | ||||||
2.25%, 11/15/2024 | 112 | 118 | ||||||
1.75%, 12/31/2024 | 2,621 | 2,727 | ||||||
2.00%, 2/15/2025 | 1,000 | 1,050 | ||||||
2.88%, 4/30/2025 | 146 | 158 | ||||||
2.13%, 5/15/2025 | 500 | 528 | ||||||
2.88%, 5/31/2025 | 318 | 345 | ||||||
2.00%, 8/15/2025 | 729 | 767 | ||||||
2.25%, 11/15/2025 | 610 | 649 | ||||||
1.63%, 2/15/2026 | 59 | 62 | ||||||
0.50%, 2/28/2026 | 4,015 | 3,954 | ||||||
1.50%, 8/15/2026 | 28 | 29 | ||||||
2.00%, 11/15/2026 | 84 | 89 | ||||||
1.75%, 12/31/2026 | 2,282 | 2,379 | ||||||
2.25%, 2/15/2027 | 108 | 115 | ||||||
0.38%, 9/30/2027 | 1,160 | 1,108 | ||||||
2.75%, 2/15/2028 | 65 | 72 | ||||||
1.25%, 3/31/2028 | 2,285 | 2,294 | ||||||
2.88%, 5/15/2028 | 991 | 1,101 | ||||||
1.75%, 11/15/2029 | 265 | 274 | ||||||
1.50%, 2/15/2030 | 129 | 130 | ||||||
0.88%, 11/15/2030 | 2,050 | 1,949 | ||||||
U.S. Treasury STRIPS Bonds | 1,800 | 1,800 | ||||||
3.29%, 11/15/2021 (j) | 675 | 675 | ||||||
3.04%, 2/15/2022 (j) | 720 | 720 | ||||||
2.79%, 5/15/2022 (j) | 760 | 760 | ||||||
3.33%, 8/15/2022 (j) | 75 | 75 | ||||||
1.89%, 11/15/2022 (j) | 750 | 748 | ||||||
3.16%, 2/15/2023 (j) | 2,690 | 2,680 | ||||||
2.73%, 5/15/2023 (j) | 2,420 | 2,410 | ||||||
2.33%, 8/15/2023 (j) | 1,890 | 1,879 | ||||||
2.75%, 11/15/2023 (j) | 173 | 172 | ||||||
1.75%, 2/15/2024 (j) | 327 | 324 | ||||||
3.42%, 11/15/2024 (j) | 110 | 108 | ||||||
4.00%, 2/15/2025 (j) | 50 | 49 | ||||||
5.34%, 5/15/2026 (j) | 100 | 96 | ||||||
3.71%, 8/15/2026 (j) | 23 | 22 | ||||||
3.77%, 11/15/2026 (j) | 250 | 236 | ||||||
4.45%, 2/15/2027 (j) | 300 | 282 | ||||||
3.83%, 5/15/2027 (j) | 725 | 678 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
3.51%, 8/15/2027 (j) | 250 | 232 | ||||||
4.19%, 11/15/2027 (j) | 710 | 657 | ||||||
3.26%, 2/15/2028 (j) | 27 | 25 | ||||||
3.05%, 5/15/2028 (j) | 140 | 128 | ||||||
8.08%, 8/15/2028 (j) | 50 | 45 | ||||||
4.42%, 2/15/2029 (j) | 658 | 590 | ||||||
1.62%, 8/15/2029 (j) | 3,400 | 3,013 | ||||||
4.10%, 11/15/2029 (j) | 200 | 176 | ||||||
5.05%, 5/15/2030 (j) | 300 | 261 | ||||||
4.26%, 8/15/2030 (j) | 300 | 260 | ||||||
3.76%, 11/15/2030 (j) | 500 | 430 | ||||||
4.88%, 2/15/2031 (j) | 350 | 300 | ||||||
4.12%, 5/15/2031 (j) | 275 | 234 | ||||||
3.43%, 11/15/2031 (j) | 760 | 639 | ||||||
4.04%, 2/15/2032 (j) | 350 | 292 | ||||||
4.46%, 11/15/2032 (j) | 800 | 656 | ||||||
4.07%, 2/15/2033 (j) | 400 | 326 | ||||||
4.11%, 5/15/2033 (j) | 1,175 | 951 | ||||||
6.92%, 8/15/2033 (j) | 100 | 80 | ||||||
4.61%, 11/15/2033 (j) | 1,025 | 819 | ||||||
4.20%, 2/15/2034 (j) | 775 | 615 | ||||||
3.47%, 11/15/2034 (j) | 50 | 39 | ||||||
3.49%, 2/15/2035 (j) | 65 | 50 | ||||||
3.74%, 5/15/2035 (j) | 250 | 193 | ||||||
2.41%, 11/15/2041 (j) | 100 | 64 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 98,499 | ||||||
|
| |||||||
Asset-Backed Securities — 10.0% |
| |||||||
ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (a) | 95 | 95 | ||||||
Air Canada Pass-Through Trust (Canada) | ||||||||
Series 2013-1, Class A, 4.13%, 5/15/2025 (a) | 97 | 100 | ||||||
Series 2015-1, Class A, 3.60%, 3/15/2027 (a) | 74 | 76 | ||||||
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | 227 | 229 | ||||||
Series 2017-1, Class A, 3.55%, 1/15/2030 (a) | 161 | 157 | ||||||
American Airlines Pass-Through Trust | ||||||||
Series 2014-1, Class A, 3.70%, 10/1/2026 | 33 | 33 | ||||||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 189 | 192 | ||||||
Series 2017-1, Class AA, 3.65%, 2/15/2029 | 130 | 133 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Asset-Backed Securities — continued | ||||||||
American Homes 4 Rent | ||||||||
Series 2015-SFR1, Class D, 4.41%, 4/17/2052 ‡ (a) | 380 | 404 | ||||||
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a) | 100 | 109 | ||||||
American Homes 4 Rent Trust | ||||||||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (a) | 398 | 423 | ||||||
Series 2014-SFR2, Class C, 4.71%, 10/17/2036 ‡ (a) | 200 | 215 | ||||||
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (a) | 220 | 234 | ||||||
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (a) | 200 | 219 | ||||||
Series 2015-SFR2, Class C, 4.69%, 10/17/2052 ‡ (a) | 200 | 217 | ||||||
American Tower Trust #1 | 80 | 80 | ||||||
3.65%, 3/23/2028 (a) | 160 | 176 | ||||||
AMSR Trust | ||||||||
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a) | 850 | 865 | ||||||
Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (a) | 1,000 | 1,020 | ||||||
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (a) | 750 | 753 | ||||||
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (a) | 1,000 | 997 | ||||||
British Airways Pass-Through Trust (United Kingdom) | ||||||||
Series 2018-1, Class AA, 3.80%, 9/20/2031 (a) | 72 | 75 | ||||||
Series 2018-1, Class A, 4.13%, 9/20/2031 (a) | 96 | 98 | ||||||
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a) | 145 | 147 | ||||||
Business Jet Securities LLC | ||||||||
Series 2019-1, Class A, 4.21%, 7/15/2034 (a) | 486 | 499 | ||||||
Series 2020-1A, Class A, 2.98%, 11/15/2035 (a) | 912 | 929 | ||||||
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | 545 | 549 | ||||||
Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡ | 356 | 365 | ||||||
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a) | 160 | 164 | ||||||
Carvana Auto Receivables Trust | ||||||||
Series 2019-2A, Class C, 3.00%, 6/17/2024 (a) | 675 | 689 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series 2019-3A, Class C, 2.71%, 10/15/2024 (a) | 875 | 893 | ||||||
Series 2019-4A, Class D, 3.07%, 7/15/2025 (a) | 940 | 977 | ||||||
Series 2020-N1A, Class D, 3.43%, 1/15/2026 (a) | 1,000 | 1,041 | ||||||
CIG Auto Receivables Trust Series 2020-1A, | 1,000 | 1,011 | ||||||
Continental Airlines Pass-Through Trust | 121 | 129 | ||||||
CoreVest American Finance Trust | ||||||||
Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (a) | 500 | 537 | ||||||
Series 2019-3, Class B, 3.16%, 10/15/2052 ‡ (a) | 700 | 744 | ||||||
Series 2020-3, Class B, 2.20%, 8/15/2053 ‡ (a) | 810 | 785 | ||||||
CPS Auto Trust | 490 | 492 | ||||||
Credit Acceptance Auto Loan Trust | 645 | 663 | ||||||
Credit Suisse ABS Trust | 663 | 677 | ||||||
Crown Castle Towers LLC 3.22%, 5/15/2022 (a) | 42 | 42 | ||||||
3.66%, 5/15/2025 (a) | 60 | 64 | ||||||
CWABS, Inc. Asset-Backed Certificates | ||||||||
Series 2004-1, Class M1, 0.84%, 3/25/2034 ‡ (g) | 9 | 9 | ||||||
Series 2004-1, Class M2, 0.92%, 3/25/2034 ‡ (g) | 5 | 5 | ||||||
Series 2004-1, Class 3A, 0.65%, 4/25/2034 ‡ (g) | 1 | 1 | ||||||
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | 650 | 658 | ||||||
Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 | 304 | 327 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2017-1, Class D, 3.84%, 3/15/2023 | 31 | 31 | ||||||
Series 2017-3, Class D, 3.53%, 12/15/2023 (a) | 139 | 140 | ||||||
Series 2019-4, Class C, 2.51%, 11/17/2025 | 375 | 380 | ||||||
Series 2019-1, Class D, 4.09%, 6/15/2026 | 170 | 176 | ||||||
Series 2020-2, Class D, 3.05%, 5/15/2028 | 1,000 | 1,042 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Asset-Backed Securities — continued | ||||||||
DT Auto Owner Trust | ||||||||
Series 2019-4A, Class C, 2.73%, 7/15/2025 (a) | 604 | 615 | ||||||
Series 2020-2A, Class B, 2.08%, 3/16/2026 (a) | 850 | 864 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2019-4A, Class C, 2.44%, 9/16/2024 (a) | 415 | 420 | ||||||
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) | 590 | 609 | ||||||
Series 2019-4A, Class D, 2.58%, 9/15/2025 (a) | 1,315 | 1,350 | ||||||
FirstKey Homes Trust | ||||||||
Series 2020-SFR1, Class D, 2.24%, 9/17/2025 ‡ (a) | 800 | 807 | ||||||
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 ‡ (a) | 500 | 510 | ||||||
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 ‡ (a) | 850 | 864 | ||||||
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 427 | 465 | ||||||
FORT CRE LLC Series 2018-1A, Class C, 2.93%, 11/16/2035 ‡ (a) (g) | 760 | 746 | ||||||
Foundation Finance Trust Series 2020-1A, Class A, 3.54%, 7/16/2040 (a) | 590 | 612 | ||||||
FREED ABS Trust | ||||||||
Series 2019-2, Class A, 2.62%, 11/18/2026 (a) | 20 | 20 | ||||||
Series 2020-FP1, Class B, 3.06%, 3/18/2027 ‡ (a) | 800 | 811 | ||||||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a) | 7 | 7 | ||||||
Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (a) | 354 | 363 | ||||||
Goodgreen Trust Series | ||||||||
2017-1A, Class A, 3.74%, 10/15/2052 (a) | 48 | 50 | ||||||
Series 2017-2A, Class A, 3.26%, 10/15/2053 (a) | 195 | 204 | ||||||
HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (a) | 57 | 54 | ||||||
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a) | 152 | 159 | ||||||
HERO Funding Trust (Cayman Islands) Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a) | 38 | 39 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a) | 110 | 116 | ||||||
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (a) | 62 | 63 | ||||||
Lakeview CDO LLC 1.83%, 11/10/2032 ‡ (g) | 503 | 503 | ||||||
LL ABS Trust Series 2019-1A, Class A, 2.87%, 3/15/2027 (a) | 13 | 13 | ||||||
Long Beach Mortgage Loan Trust | 13 | 12 | ||||||
Series 2004-1, Class M1, 0.84%, 2/25/2034 ‡ (g) | 38 | 38 | ||||||
Series 2004-1, Class M2, 0.92%, 2/25/2034 ‡ (g) | 3 | 3 | ||||||
Mariner Finance Issuance Trust Series 2019-AA, Class A, 2.96%, 7/20/2032 (a) | 925 | 948 | ||||||
Mercury Financial Credit Card Master Trust | 560 | 562 | ||||||
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (a) | 492 | 498 | ||||||
MVW Owner Trust Series 2019-1A, Class A, 2.89%, 11/20/2036 (a) | 118 | 122 | ||||||
New Century Home Equity Loan Trust Series 2005-1, Class M1, 0.77%, 3/25/2035 ‡ (g) | 59 | 59 | ||||||
NMEF Funding LLC Series 2019-A, Class B, 3.06%, 8/17/2026 ‡ (a) | 870 | 882 | ||||||
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) | 920 | 929 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (a) | 270 | 273 | ||||||
Oportun Funding LLC Series 2020-1, Class A, 2.20%, 5/15/2024 (a) | 561 | 564 | ||||||
Oportun Funding X LLC Series 2018-C, Class A, 4.10%, 10/8/2024 (a) | 801 | 802 | ||||||
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (a) | 560 | 574 | ||||||
Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (a) | 1,824 | 1,827 | ||||||
Pretium Mortgage Credit Partners I LLC Series 2020-NPL3, Class A1, 3.10%, 6/27/2060 ‡ (a) (f) | 603 | 609 | ||||||
Progress Residential Trust Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (a) | 800 | 812 | ||||||
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (a) | 48 | 51 | ||||||
Santander Drive Auto Receivables Trust Series 2018-1, Class D, 3.32%, 3/15/2024 | 305 | 309 | ||||||
Series 2019-2, Class C, 2.90%, 10/15/2024 | 190 | 193 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Asset-Backed Securities — continued | ||||||||
Sierra Timeshare Receivables Funding LLC | ||||||||
Series 2019-3A, Class C, 3.00%, 8/20/2036 ‡ (a) | 407 | 416 | ||||||
Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | 503 | 506 | ||||||
Small Business Lending Trust Series 2020-A, Class B, 3.20%, 12/15/2026 ‡ (a) | 2,300 | 2,311 | ||||||
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 51 | 52 | ||||||
Synchrony Card Funding LLC | ||||||||
Series 2019-A1, Class A, 2.95%, 3/15/2025 | 809 | 825 | ||||||
Series 2019-A2, Class A, 2.34%, 6/15/2025 | 850 | 867 | ||||||
Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024 | 370 | 372 | ||||||
Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (a) | 576 | 577 | ||||||
United Airlines Pass-Through Trust | ||||||||
Series 2013-1, Class A, 4.30%, 8/15/2025 | 136 | 143 | ||||||
Series 2016-1, Class B, 3.65%, 1/7/2026 | 46 | 46 | ||||||
Series 2018-1, Class B, 4.60%, 3/1/2026 | 31 | 32 | ||||||
Series 2014-1, Class A, 4.00%, 4/11/2026 | 50 | 53 | ||||||
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 81 | 83 | ||||||
Series 2016-2, Class A, 3.10%, 10/7/2028 | 261 | 263 | ||||||
Series 2018-1, Class A, 3.70%, 3/1/2030 | 358 | 365 | ||||||
Series 2019-1, Class AA, 4.15%, 8/25/2031 | 236 | 258 | ||||||
Series 2019-2, Class AA, 2.70%, 5/1/2032 | 213 | 214 | ||||||
US Auto Funding LLC | ||||||||
Series 2019-1A, Class B, 3.99%, 12/15/2022 (a) | 295 | 297 | ||||||
Series 2018-1A, Class A, 5.50%, 7/15/2023 (a) | 49 | 49 | ||||||
Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023 | 118 | 119 | ||||||
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (f) | 777 | 777 | ||||||
Westgate Resorts LLC | ||||||||
Series 2017-1A, Class A, 3.05%, 12/20/2030 (a) | 36 | 36 | ||||||
Series 2020-1A, Class B, 3.96%, 3/20/2034 ‡ (a) | 513 | 530 | ||||||
World Financial Network Credit Card Master Trust | 375 | 382 | ||||||
|
| |||||||
Total Asset-Backed Securities | 50,970 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 9.3% |
| |||||||
Acre Series 2017-A, 6.25%, 12/22/2021 ‡ | 273 | 270 | ||||||
Alternative Loan Trust | ||||||||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | 577 | 580 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series 2005-22T1, Class A2, IF, IO, 4.98%, 6/25/2035 ‡ (g) | 317 | 49 | ||||||
Series 2005-20CB, Class 3A8, IF, IO, 4.66%, 7/25/2035 ‡ (g) | 171 | 23 | ||||||
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | 240 | 240 | ||||||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 89 | 84 | ||||||
Banc of America Alternative Loan Trust | 2 | 1 | ||||||
Banc of America Funding Trust | 10 | 8 | ||||||
Series 2005-E, Class 4A1, 2.98%, 3/20/2035 (g) | — | (h) | — | (h) | ||||
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 61 | 62 | ||||||
Series 2005-7, Class 30, PO, 11/25/2035 ‡ | 10 | 10 | ||||||
Bayview Financing Trust Series 2020-3F, Class A, 3.08%, 11/10/2022 ‡ (a) (g) | 927 | 927 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2003-7, Class 3A, 2.19%, 10/25/2033 (g) | 5 | 5 | ||||||
Series 2006-1, Class A1, 2.37%, 2/25/2036 (g) | 44 | 45 | ||||||
Castlelake Frn 0.00%, 3/15/2023 | 1,500 | 1,500 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
Series 2004-HYB1, Class 2A, 2.58%, 5/20/2034 (g) | 8 | 8 | ||||||
Series 2004-HYB3, Class 2A, 2.10%, 6/20/2034 (g) | 15 | 16 | ||||||
Series 2004-7, Class 2A1, 2.45%, 6/25/2034 (g) | 17 | 17 | ||||||
Series 2005-16, Class A23, 5.50%, 9/25/2035 | 31 | 27 | ||||||
Series 2005-22, Class 2A1, 2.61%, 11/25/2035 (g) | 74 | 70 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ | — | (h) | — | (h) | ||||
Series 2003-HYB1, Class A, 2.59%, 9/25/2033 (g) | 6 | 6 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 1 | 1 | ||||||
Series 2005-1, Class 2A1A, 2.38%, 2/25/2035 (g) | 40 | 38 | ||||||
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (g) | 1,843 | 1,849 | ||||||
CVS Pass-Through Trust | 67 | 88 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
FHLMC — GNMA | ||||||||
Series 8, Class ZA, 7.00%, 3/25/2023 | 7 | 7 | ||||||
FHLMC, REMIC | ||||||||
Series 1250, Class J, 7.00%, 5/15/2022 | — | (h) | — | (h) | ||||
Series 1316, Class Z, 8.00%, 6/15/2022 | — | (h) | — | (h) | ||||
Series 1324, Class Z, 7.00%, 7/15/2022 | 1 | 1 | ||||||
Series 1343, Class LB, 7.50%, 8/15/2022 | 1 | 1 | ||||||
Series 1343, Class LA, 8.00%, 8/15/2022 | 3 | 3 | ||||||
Series 1395, Class G, 6.00%, 10/15/2022 | — | (h) | — | (h) | ||||
Series 1394, Class ID, IF, 9.57%, 10/15/2022 (g) | 1 | 1 | ||||||
Series 2535, Class BK, 5.50%, 12/15/2022 | 3 | 3 | ||||||
Series 1798, Class F, 5.00%, 5/15/2023 | 2 | 2 | ||||||
Series 1505, Class Q, 7.00%, 5/15/2023 | 1 | 1 | ||||||
Series 1518, Class G, IF, 8.88%, 5/15/2023 (g) | 1 | 1 | ||||||
Series 1541, Class O, 0.90%, 7/15/2023 (g) | 1 | 1 | ||||||
Series 2638, Class DS, IF, 8.53%, 7/15/2023 (g) | 6 | 6 | ||||||
Series 1577, Class PV, 6.50%, 9/15/2023 | 32 | 34 | ||||||
Series 1584, Class L, 6.50%, 9/15/2023 | 18 | 18 | ||||||
Series 1633, Class Z, 6.50%, 12/15/2023 | 19 | 20 | ||||||
Series 1638, Class H, 6.50%, 12/15/2023 | 25 | 27 | ||||||
Series 2283, Class K, 6.50%, 12/15/2023 | 2 | 2 | ||||||
Series 1700, Class GA, PO, 2/15/2024 | — | (h) | — | (h) | ||||
Series 1865, Class D, PO, 2/15/2024 | 3 | 3 | ||||||
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (g) | 2 | 2 | ||||||
Series 1694, Class PK, 6.50%, 3/15/2024 | 2 | 2 | ||||||
Series 2033, Class SN, HB, IF, 29.89%, 3/15/2024 (g) | 1 | — | (h) | |||||
Series 2306, Class K, PO, 5/15/2024 | 1 | 1 | ||||||
Series 2306, Class SE, IF, IO, 8.96%, 5/15/2024 (g) | 2 | — | (h) | |||||
Series 1863, Class Z, 6.50%, 7/15/2026 | 6 | 6 | ||||||
Series 1981, Class Z, 6.00%, 5/15/2027 | 4 | 4 | ||||||
Series 1987, Class PE, 7.50%, 9/15/2027 | 6 | 6 | ||||||
Series 1999, Class PU, 7.00%, 10/15/2027 | 17 | 18 | ||||||
Series 2031, Class PG, 7.00%, 2/15/2028 | 34 | 38 | ||||||
Series 2035, Class PC, 6.95%, 3/15/2028 | 35 | 39 | ||||||
Series 2038, Class PN, IO, 7.00%, 3/15/2028 | 2 | — | (h) | |||||
Series 2057, Class PE, 6.75%, 5/15/2028 | 47 | 54 | ||||||
Series 2054, Class PV, 7.50%, 5/15/2028 | 6 | 7 | ||||||
Series 2064, Class TE, 7.00%, 6/15/2028 | 8 | 10 | ||||||
Series 2075, Class PH, 6.50%, 8/15/2028 | 7 | 8 | ||||||
Series 2095, Class PE, 6.00%, 11/15/2028 | 23 | 26 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series 2132, Class SB, HB, IF, 30.15%, 3/15/2029 (g) | 1 | 2 | ||||||
Series 2178, Class PB, 7.00%, 8/15/2029 | 13 | 15 | ||||||
Series 2182, Class ZB, 8.00%, 9/15/2029 | 23 | 27 | ||||||
Series 2204, Class GB, 8.00%, 12/20/2029 (g) | — | (h) | — | (h) | ||||
Series 2247, Class Z, 7.50%, 8/15/2030 | 5 | 6 | ||||||
Series 2259, Class ZC, 7.35%, 10/15/2030 | 103 | 123 | ||||||
Series 2325, Class PM, 7.00%, 6/15/2031 | 4 | 5 | ||||||
Series 2359, Class ZB, 8.50%, 6/15/2031 | 16 | 19 | ||||||
Series 2344, Class ZD, 6.50%, 8/15/2031 | 29 | 34 | ||||||
Series 2344, Class ZJ, 6.50%, 8/15/2031 | 5 | 6 | ||||||
Series 2345, Class NE, 6.50%, 8/15/2031 | 2 | 3 | ||||||
Series 2367, Class ME, 6.50%, 10/15/2031 | 45 | 51 | ||||||
Series 2390, Class DO, PO, 12/15/2031 | 4 | 4 | ||||||
Series 2410, Class OE, 6.38%, 2/15/2032 | 5 | 5 | ||||||
Series 2410, Class QX, IF, IO, 8.58%, 2/15/2032 (g) | 8 | 2 | ||||||
Series 2412, Class SP, IF, 15.95%, 2/15/2032 (g) | 9 | 12 | ||||||
Series 2410, Class QS, IF, 19.31%, 2/15/2032 (g) | 7 | 10 | ||||||
Series 2423, Class MC, 7.00%, 3/15/2032 | 17 | 20 | ||||||
Series 2423, Class MT, 7.00%, 3/15/2032 | 27 | 32 | ||||||
Series 2444, Class ES, IF, IO, 7.88%, 3/15/2032 (g) | 11 | 2 | ||||||
Series 2450, Class SW, IF, IO, 7.93%, 3/15/2032 (g) | 7 | 1 | ||||||
Series 2647, Class A, 3.25%, 4/15/2032 | 31 | 33 | ||||||
Series 2435, Class CJ, 6.50%, 4/15/2032 | 59 | 69 | ||||||
Series 2455, Class GK, 6.50%, 5/15/2032 | 17 | 20 | ||||||
Series 2484, Class LZ, 6.50%, 7/15/2032 | 13 | 15 | ||||||
Series 2500, Class MC, 6.00%, 9/15/2032 | 40 | 46 | ||||||
Series 2543, Class YX, 6.00%, 12/15/2032 | 532 | 612 | ||||||
Series 2544, Class HC, 6.00%, 12/15/2032 | 32 | 39 | ||||||
Series 2574, Class PE, 5.50%, 2/15/2033 | 178 | 206 | ||||||
Series 2575, Class ME, 6.00%, 2/15/2033 | 78 | 91 | ||||||
Series 2586, Class WI, IO, 6.50%, 3/15/2033 | 6 | 1 | ||||||
Series 4189, Class MI, IO, 3.00%, 6/15/2033 | 236 | — | (h) | |||||
Series 2764, Class UG, 5.00%, 3/15/2034 | 152 | 172 | ||||||
Series 2949, Class GE, 5.50%, 3/15/2035 | 181 | 209 | ||||||
Series 3047, Class OD, 5.50%, 10/15/2035 | 228 | 255 | ||||||
Series 3085, Class VS, HB, IF, 28.43%, 12/15/2035 (g) | 45 | 73 | ||||||
Series 3098, Class KG, 5.50%, 1/15/2036 | 152 | 175 | ||||||
Series 3117, Class EO, PO, 2/15/2036 | 15 | 14 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Series 3260, Class CS, IF, IO, 6.07%, 1/15/2037 (g) | 14 | 3 | ||||||
Series 3380, Class SI, IF, IO, 6.30%, 10/15/2037 (g) | 823 | 187 | ||||||
Series 3385, Class SN, IF, IO, 5.93%, 11/15/2037 (g) | 9 | 1 | ||||||
Series 3387, Class SA, IF, IO, 6.35%, 11/15/2037 (g) | 33 | 6 | ||||||
Series 3423, Class PB, 5.50%, 3/15/2038 | 173 | 200 | ||||||
Series 3451, Class SA, IF, IO, 5.98%, 5/15/2038 (g) | 8 | 1 | ||||||
Series 3455, Class SE, IF, IO, 6.13%, 6/15/2038 (g) | 106 | 17 | ||||||
Series 3786, Class PD, 4.50%, 1/15/2041 | 407 | 470 | ||||||
Series 4029, Class MU, 3.50%, 4/15/2042 | 140 | 141 | ||||||
FHLMC, STRIPS |
| |||||||
Series 233, Class 11, IO, 5.00%, 9/15/2035 | 26 | 5 | ||||||
Series 239, Class S30, IF, IO, 7.63%, 8/15/2036 (g) | 29 | 7 | ||||||
Series 262, Class 35, 3.50%, 7/15/2042 | 142 | 153 | ||||||
Series 299, Class 300, 3.00%, 1/15/2043 | 110 | 114 | ||||||
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||||||||
Series T-41, Class 3A, 5.05%, 7/25/2032 (g) | 8 | 9 | ||||||
Series T-54, Class 2A, 6.50%, 2/25/2043 | 56 | 67 | ||||||
Series T-54, Class 3A, 7.00%, 2/25/2043 | 24 | 29 | ||||||
Series T-56, Class A, PO, 5/25/2043 | 145 | 144 | ||||||
Series T-58, Class A, PO, 9/25/2043 | 11 | 9 | ||||||
First Horizon Alternative Mortgage Securities Trust Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | 67 | 48 | ||||||
FMC GMSR Issuer Trust 3.69%, 2/25/2024 | 1,765 | 1,765 | ||||||
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (g) | 1,500 | 1,507 | ||||||
FNMA Trust, Whole Loan Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 11 | 13 | ||||||
FNMA, REMIC | ||||||||
Series 2002-1, Class HC, 6.50%, 2/25/2022 | — | (h) | — | (h) | ||||
Series 1992-101, Class J, 7.50%, 6/25/2022 | 2 | 2 | ||||||
Series G92-42, Class Z, 7.00%, 7/25/2022 | — | (h) | — | (h) | ||||
Series G92-44, Class ZQ, 8.00%, 7/25/2022 | — | (h) | — | (h) | ||||
Series 1996-59, Class J, 6.50%, 8/25/2022 | — | (h) | — | (h) | ||||
Series 1992-143, Class MA, 5.50%, 9/25/2022 | — | (h) | — | (h) | ||||
Series G92-54, Class ZQ, 7.50%, 9/25/2022 | — | (h) | — | (h) | ||||
Series G92-59, Class F, 1.04%, 10/25/2022 (g) | — | (h) | — | (h) |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series G92-61, Class Z, 7.00%, 10/25/2022 | — | (h) | — | (h) | ||||
Series G92-66, Class KA, 6.00%, 12/25/2022 | — | (h) | — | (h) | ||||
Series G92-66, Class KB, 7.00%, 12/25/2022 | 2 | 2 | ||||||
Series G93-1, Class KA, 7.90%, 1/25/2023 | 1 | 1 | ||||||
Series 1997-61, Class ZC, 7.00%, 2/25/2023 | 6 | 6 | ||||||
Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (g) | 1 | 1 | ||||||
Series 1998-43, Class SA, IF, IO, 19.27%, 4/25/2023 (g) | 2 | — | (h) | |||||
Series 1993-146, Class E, PO, 5/25/2023 | 2 | 2 | ||||||
Series 1993-84, Class M, 7.50%, 6/25/2023 | 125 | 131 | ||||||
Series 1993-205, Class H, PO, 9/25/2023 | 1 | 1 | ||||||
Series 1993-155, Class PJ, 7.00%, 9/25/2023 | 7 | 7 | ||||||
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (g) | 1 | 1 | ||||||
Series 1993-165, Class SD, IF, 14.13%, 9/25/2023 (g) | — | (h) | — | (h) | ||||
Series 1993-203, Class PL, 6.50%, 10/25/2023 | 9 | 10 | ||||||
Series 1995-19, Class Z, 6.50%, 11/25/2023 | 10 | 11 | ||||||
Series 1993-230, Class FA, 0.69%, 12/25/2023 (g) | — | (h) | — | (h) | ||||
Series 1993-223, Class PZ, 6.50%, 12/25/2023 | 19 | 20 | ||||||
Series 1993-225, Class UB, 6.50%, 12/25/2023 | 10 | 11 | ||||||
Series 2003-128, Class DY, 4.50%, 1/25/2024 | 104 | 107 | ||||||
Series 1994-37, Class L, 6.50%, 3/25/2024 | 20 | 22 | ||||||
Series 1994-72, Class K, 6.00%, 4/25/2024 | 172 | 182 | ||||||
Series 1995-2, Class Z, 8.50%, 1/25/2025 | 2 | 2 | ||||||
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (g) | 8 | — | (h) | |||||
Series 1997-39, Class PD, 7.50%, 5/20/2027 | 4 | 4 | ||||||
Series 1997-46, Class PL, 6.00%, 7/18/2027 | 6 | 7 | ||||||
Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 2 | 2 | ||||||
Series 1998-46, Class GZ, 6.50%, 8/18/2028 | 9 | 10 | ||||||
Series 1998-58, Class PC, 6.50%, 10/25/2028 | 20 | 23 | ||||||
Series 2014-15, Class JI, IO, 3.50%, 4/25/2029 | 3,822 | 337 | ||||||
Series 1999-39, Class JH, IO, 6.50%, 8/25/2029 | 41 | 3 | ||||||
Series 2000-52, IO, 8.50%, 1/25/2031 | 2 | — | (h) | |||||
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 55 | 8 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Series 2001-30, Class PM, 7.00%, 7/25/2031 | 15 | 18 | ||||||
Series 2001-36, Class DE, 7.00%, 8/25/2031 | 25 | 30 | ||||||
Series 2001-44, Class PD, 7.00%, 9/25/2031 | 3 | 3 | ||||||
Series 2001-61, Class Z, 7.00%, 11/25/2031 | 44 | 53 | ||||||
Series 2002-1, Class SA, HB, IF, 24.89%, 2/25/2032 (g) | 1 | 1 | ||||||
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (g) | 42 | 1 | ||||||
Series 2002-15, PO, 4/25/2032 | 37 | 36 | ||||||
Series 2002-28, Class PK, 6.50%, 5/25/2032 | 16 | 19 | ||||||
Series 2002-68, Class SH, IF, IO, 7.92%, 10/18/2032 (g) | 37 | 5 | ||||||
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (g) | 20 | 24 | ||||||
Series 2002-77, Class S, IF, 14.32%, 12/25/2032 (g) | 3 | 4 | ||||||
Series 2003-22, Class UD, 4.00%, 4/25/2033 | 86 | 95 | ||||||
Series 2003-47, Class PE, 5.75%, 6/25/2033 | 16 | 18 | ||||||
Series 2003-44, Class IU, IO, 7.00%, 6/25/2033 | 21 | 4 | ||||||
Series 2004-4, Class QM, IF, 14.02%, 6/25/2033 (g) | 7 | 7 | ||||||
Series 2003-64, Class SX, IF, 13.52%, 7/25/2033 (g) | 3 | 4 | ||||||
Series 2003-132, Class OA, PO, 8/25/2033 | 3 | 3 | ||||||
Series 2003-71, Class DS, IF, 7.34%, 8/25/2033 (g) | 22 | 25 | ||||||
Series 2003-91, Class SD, IF, 12.35%, 9/25/2033 (g) | 5 | 6 | ||||||
Series 2003-116, Class SB, IF, IO, 7.51%, 11/25/2033 (g) | 49 | 9 | ||||||
Series 2003-131, Class CH, 5.50%, 1/25/2034 | 56 | 64 | ||||||
Series 2003-130, Class SX, IF, 11.38%, 1/25/2034 (g) | 1 | 1 | ||||||
Series 2004-35, Class AZ, 4.50%, 5/25/2034 | 75 | 84 | ||||||
Series 2004-46, Class SK, IF, 16.25%, 5/25/2034 (g) | 15 | 20 | ||||||
Series 2004-36, Class SA, IF, 19.27%, 5/25/2034 (g) | 37 | 53 | ||||||
Series 2004-51, Class SY, IF, 14.06%, 7/25/2034 (g) | 3 | 4 | ||||||
Series 2004-79, Class ZE, 5.50%, 11/25/2034 | 427 | 500 | ||||||
Series 2004-91, Class HC, 6.00%, 12/25/2034 | 688 | 780 | ||||||
Series 2005-45, Class DC, HB, IF, 23.97%, 6/25/2035 (g) | 55 | 79 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series 2005-84, Class XM, 5.75%, 10/25/2035 | 35 | 39 | ||||||
Series 2006-22, Class AO, PO, 4/25/2036 | 24 | 22 | ||||||
Series 2006-46, Class SW, HB, IF, 23.86%, 6/25/2036 (g) | 7 | 11 | ||||||
Series 2007-7, Class SG, IF, IO, 6.41%, 8/25/2036 (g) | 42 | 12 | ||||||
Series 2006-110, PO, 11/25/2036 | 19 | 18 | ||||||
Series 2006-117, Class GS, IF, IO, 6.56%, 12/25/2036 (g) | 30 | 5 | ||||||
Series 2007-53, Class SH, IF, IO, 6.01%, 6/25/2037 (g) | 36 | 6 | ||||||
Series 2007-88, Class VI, IF, IO, 6.45%, 9/25/2037 (g) | 62 | 13 | ||||||
Series 2007-100, Class SM, IF, IO, 6.36%, 10/25/2037 (g) | 34 | 7 | ||||||
Series 2008-1, Class BI, IF, IO, 5.82%, 2/25/2038 (g) | 34 | 7 | ||||||
Series 2008-16, Class IS, IF, IO, 6.11%, 3/25/2038 (g) | 8 | 1 | ||||||
Series 2008-46, Class HI, IO, 1.72%, 6/25/2038 (g) | 26 | 2 | ||||||
Series 2008-53, Class CI, IF, IO, 7.11%, 7/25/2038 (g) | 14 | 3 | ||||||
Series 2009-112, Class ST, IF, IO, 6.16%, 1/25/2040 (g) | 32 | 6 | ||||||
Series 2010-35, Class SB, IF, IO, 6.33%, 4/25/2040 (g) | 16 | 2 | ||||||
Series 2010-80, Class PZ, 5.00%, 7/25/2040 | 346 | 412 | ||||||
Series 2010-102, Class PN, 5.00%, 9/25/2040 | 580 | 661 | ||||||
Series 2010-134, Class KZ, 4.50%, 12/25/2040 | 541 | 568 | ||||||
Series 2012-30, Class DZ, 4.00%, 4/25/2042 | 264 | 287 | ||||||
Series 2013-67, Class KZ, 2.50%, 4/25/2043 | 855 | 886 | ||||||
Series 2013-128, PO, 12/25/2043 | 124 | 110 | ||||||
Series 2014-38, Class QI, IO, 5.50%, 12/25/2043 | 448 | 71 | ||||||
Series 2014-19, Class Z, 4.50%, 4/25/2044 | 512 | 592 | ||||||
Series 2016-38, Class NA, 3.00%, 1/25/2046 | 120 | 129 | ||||||
FNMA, REMIC Trust, Whole Loan |
| |||||||
Series 1999-W1, PO, 2/25/2029 | 14 | 12 | ||||||
Series 1999-W4, Class A9, 6.25%, 2/25/2029 | 53 | 60 | ||||||
Series 2002-W7, Class A4, 6.00%, 6/25/2029 | 138 | 158 | ||||||
Series 2003-W1, Class 1A1, 5.12%, 12/25/2042 (g) | 147 | 160 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Series 2003-W1, Class 2A, 5.58%, 12/25/2042 (g) | 21 | 24 | ||||||
FNMA, REMIC, Whole Loan Series 2003-7, Class A1, 6.50%, 12/25/2042 | 115 | 132 | ||||||
FNMA, STRIPS | ||||||||
Series 329, Class 1, PO, 1/25/2033 | 3 | 3 | ||||||
Series 365, Class 8, IO, 5.50%, 5/25/2036 | 11 | 2 | ||||||
Freedom Frn 0.00%, 3/25/2022 | 1,200 | 1,200 | ||||||
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.11%, 6/19/2035 (g) | 67 | 65 | ||||||
GNMA | ||||||||
Series 2001-10, Class PE, 6.50%, 3/16/2031 | 264 | 264 | ||||||
Series 2003-24, PO, 3/16/2033 | 1 | 1 | ||||||
Series 2004-28, Class S, IF, 19.46%, 4/16/2034 (g) | 12 | 18 | ||||||
Series 2006-38, Class OH, 6.50%, 8/20/2036 | 500 | 586 | ||||||
Series 2007-45, Class QA, IF, IO, 6.55%, 7/20/2037 (g) | 48 | 7 | ||||||
Series 2009-79, Class OK, PO, 11/16/2037 | 26 | 25 | ||||||
Series 2007-76, Class SA, IF, IO, 6.44%, 11/20/2037 (g) | 38 | 5 | ||||||
Series 2008-2, Class MS, IF, IO, 7.09%, 1/16/2038 (g) | 34 | 6 | ||||||
Series 2015-137, Class WA, 5.52%, 1/20/2038 (g) | 212 | 248 | ||||||
Series 2009-106, Class ST, IF, IO, 5.91%, 2/20/2038 (g) | 125 | 20 | ||||||
Series 2008-55, Class SA, IF, IO, 6.11%, 6/20/2038 (g) | 22 | 3 | ||||||
Series 2009-6, Class SA, IF, IO, 6.03%, 2/16/2039 (g) | 14 | 1 | ||||||
Series 2009-6, Class SH, IF, IO, 5.95%, 2/20/2039 (g) | 46 | 6 | ||||||
Series 2009-31, Class TS, IF, IO, 6.21%, 3/20/2039 (g) | 44 | 3 | ||||||
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | 36 | 6 | ||||||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 27 | 6 | ||||||
Series 2009-22, Class SA, IF, IO, 6.18%, 4/20/2039 (g) | 63 | 10 | ||||||
Series 2009-64, Class SN, IF, IO, 6.03%, 7/16/2039 (g) | 52 | 7 | ||||||
Series 2009-104, Class KB, 5.50%, 11/16/2039 | 236 | 293 | ||||||
Series 2010-130, Class CP, 7.00%, 10/16/2040 | 39 | 47 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series 2011-75, Class SM, IF, IO, 6.51%, 5/20/2041 (g) | 74 | 10 | ||||||
Series 2013-69, Class MA, 1.50%, 8/20/2042 | 279 | 283 | ||||||
Series 2016-135, Class Z, 3.00%, 10/20/2046 | 230 | 242 | ||||||
Series 2020-30, Class PT, 4.76%, 3/20/2048 (g) | 935 | 1,058 | ||||||
Series 2011-H19, Class FA, 0.58%, 8/20/2061 (g) | 375 | 376 | ||||||
Series 2012-H23, Class SA, 0.64%, 10/20/2062 (g) | 496 | 487 | ||||||
Series 2013-H08, Class FC, 0.56%, 2/20/2063 (g) | 395 | 396 | ||||||
Series 2013-H09, Class HA, 1.65%, 4/20/2063 | 12 | 12 | ||||||
Series 2014-H17, Class FC, 0.61%, 7/20/2064 (g) | 222 | 222 | ||||||
Series 2015-H16, Class FG, 0.55%, 7/20/2065 (g) | 505 | 508 | ||||||
Series 2015-H30, Class FE, 0.71%, 11/20/2065 (g) | 671 | 678 | ||||||
Series 2016-H11, Class FD, 0.68%, 5/20/2066 (g) | 167 | 167 | ||||||
Series 2016-H26, Class FC, 1.11%, 12/20/2066 (g) | 126 | 129 | ||||||
Series 2017-H14, Class FV, 0.61%, 6/20/2067 (g) | 324 | 327 | ||||||
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡ | 284 | 282 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2004-6F, Class 1A2, 5.00%, 5/25/2034 | 36 | 35 | ||||||
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | 63 | 68 | ||||||
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | 28 | 29 | ||||||
Headlands Residential LLC | ||||||||
Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (a) (f) | 675 | 678 | ||||||
Series 2017-RPL1, Class A, 3.88%, 11/25/2024 (a) (f) | 390 | 393 | ||||||
Impac Secured Assets Trust Series 2006-1, Class 2A1, 0.79%, 5/25/2036 (g) | 6 | 6 | ||||||
JPMorgan Mortgage Trust Series 2006-A2, Class 5A3, 2.52%, 11/25/2033 (g) | 14 | 14 | ||||||
LHOME Mortgage Trust | ||||||||
Series 2019-RTL3, Class A1, 3.87%, 7/25/2024 (a) | 730 | 736 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (g) | 510 | 509 | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 2.70%, 4/21/2034 (g) | 10 | 10 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | 2 | 2 | ||||||
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | — | (h) | — | (h) | ||||
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 26 | 26 | ||||||
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 38 | 40 | ||||||
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | 78 | 81 | ||||||
Series 2004-7, Class 30, PO, 8/25/2034 ‡ | 6 | 5 | ||||||
MASTR Asset Securitization Trust | ||||||||
Series 2003-12, Class 15, PO, 12/25/2018 ‡ | — | (h) | — | (h) | ||||
Series 2004-6, Class 15, PO, 7/25/2019 ‡ | — | (h) | — | (h) | ||||
Series 2003-11, Class 9A6, 5.25%, 12/25/2033 | 65 | 66 | ||||||
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (a) | 10 | 8 | ||||||
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (g) | 22 | 22 | ||||||
PHH Alternative Mortgage Trust Series 2007-2, Class 2X, IO, 6.00%, 5/25/2037 ‡ | 106 | 24 | ||||||
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (f) | 1,221 | 1,221 | ||||||
PRPM LLC Series 2020-5, Class A1, 3.10%, 11/25/2025 (a) (f) | 901 | 907 | ||||||
RALI Trust | ||||||||
Series 2003-QS9, Class A3, IF, IO, 7.46%, 5/25/2018 ‡ (g) | — | (h) | — | |||||
Series 2003-QS14, Class A1, 5.00%, 7/25/2018 | 1 | — | (h) | |||||
RCO V Mortgage LLC Series 2020-1, Class A1, 3.10%, 9/25/2025 (a) (f) | 839 | 846 | ||||||
RFMSI Trust Series 2005-SA4, Class 1A1, 2.80%, 9/25/2035 (g) | 17 | 16 | ||||||
RMIP 5.60%, 8/25/2021 ‡ | 417 | 409 | ||||||
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 (a) | 1 | 1 | ||||||
SART | ||||||||
4.75%, 7/15/2024 | 288 | 288 | ||||||
4.76%, 6/15/2025 | 360 | 361 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡ | 583 | 635 | ||||||
Series 2019-3, Class MB, 3.50%, 10/25/2058 ‡ | 294 | 336 | ||||||
Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (f) | 495 | 501 | ||||||
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (g) | 1,494 | 1,525 | ||||||
TVC Mortgage Trust Series 2020-RTL1, Class A1, 3.47%, 9/25/2024 (a) | 980 | 987 | ||||||
Two Frn 0.00%, 3/25/2022 | 1,200 | 1,200 | ||||||
Vendee Mortgage Trust | ||||||||
Series 1994-1, Class 1, 5.14%, 2/15/2024 (g) | 8 | 8 | ||||||
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | 112 | 120 | ||||||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | 34 | 38 | ||||||
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | 18 | 20 | ||||||
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | 75 | 84 | ||||||
Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 20 | 23 | ||||||
vMobo, Inc. 7.50%, 5/31/2024 | 550 | 550 | ||||||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (f) | 678 | 678 | ||||||
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (f) | 408 | 408 | ||||||
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (f) | 1,484 | 1,483 | ||||||
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (f) | 1,024 | 1,025 | ||||||
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (f) | 555 | 556 | ||||||
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (f) | 850 | 851 | ||||||
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (f) | 855 | 856 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2003-AR8, Class A, 2.91%, 8/25/2033 (g) | 4 | 4 | ||||||
Series 2003-AR9, Class 1A6, 2.74%, 9/25/2033 (g) | 19 | 19 | ||||||
Series 2004-AR3, Class A2, 2.58%, 6/25/2034 (g) | 6 | 6 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||||||||
Series 2005-2, Class 2A3, IF, IO, 4.91%, 4/25/2035 ‡ (g) | 139 | 20 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Series 2005-2, Class 1A4, IF, IO, 4.96%, 4/25/2035 ‡ (g) | 390 | 51 | ||||||
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡ | 120 | 20 | ||||||
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 99 | 100 | ||||||
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | 26 | 26 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 47,800 | |||||||
|
| |||||||
Commercial Mortgage-backed Securities — 4.9% |
| |||||||
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a) | 300 | 318 | ||||||
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class A5, 2.72%, 2/15/2053 | 1,100 | 1,162 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (a) (g) | 125 | 128 | ||||||
Series 2020-CBM, Class A2, 2.90%, 2/10/2037 (a) | 750 | 764 | ||||||
Series 2020-CBM, Class C, 3.40%, 2/10/2037 ‡ (a) | 500 | 495 | ||||||
Series 2014-CR19, Class A5, 3.80%, 8/10/2047 | 200 | 216 | ||||||
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 156 | 171 | ||||||
CSMC OA LLC | ||||||||
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (a) | 885 | 953 | ||||||
Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (a) | 100 | 96 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||||||||
Series KF12, Class A, 0.79%, 9/25/2022 (g) | 5 | 5 | ||||||
Series KJ09, Class A2, 2.84%, 9/25/2022 | 52 | 53 | ||||||
Series KJ11, Class A2, 2.93%, 1/25/2023 | 126 | 130 | ||||||
Series K038, Class A2, 3.39%, 3/25/2024 | 229 | 245 | ||||||
Series KJ14, Class A2, 2.81%, 9/25/2024 | 591 | 626 | ||||||
Series KPLB, Class A, 2.77%, 5/25/2025 | 250 | 268 | ||||||
Series K065, Class A2, 3.24%, 4/25/2027 | 215 | 239 | ||||||
Series K065, Class AM, 3.33%, 5/25/2027 | 115 | 128 | ||||||
Series K066, Class A2, 3.12%, 6/25/2027 | 267 | 295 | ||||||
Series K070, Class A2, 3.30%, 11/25/2027 (g) | 208 | 233 | ||||||
Series K072, Class AM, 3.50%, 12/25/2027 (g) | 1,000 | 1,127 | ||||||
Series K079, Class AM, 3.93%, 6/25/2028 | 588 | 682 | ||||||
Series K081, Class A2, 3.90%, 8/25/2028 (g) | 395 | 460 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Series KL06, Class XFX, IO, 1.36%, 12/25/2029 | 4,215 | 385 | ||||||
Series Q013, Class APT2, 1.29%, 5/25/2050 (g) | 1,103 | 1,089 | ||||||
FNMA ACES | ||||||||
Series 2015-M17, Class FA, 1.03%, 11/25/2022 (g) | 60 | 60 | ||||||
Series 2016-M2, Class AV2, 2.15%, 1/25/2023 | 257 | 262 | ||||||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (g) | 567 | 603 | ||||||
Series 2015-M3, Class A2, 2.72%, 10/25/2024 | 909 | 955 | ||||||
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (g) | 803 | 872 | ||||||
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (g) | 386 | 423 | ||||||
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (g) | 335 | 368 | ||||||
Series 2017-M12, Class A2, 3.18%, 6/25/2027 (g) | 368 | 406 | ||||||
Series 2018-M10, Class A2, 3.48%, 7/25/2028 (g) | 460 | 519 | ||||||
Series 2017-M5, Class A2, 3.28%, 4/25/2029 (g) | 305 | 342 | ||||||
Series 2018-M3, Class A2, 3.19%, 2/25/2030 (g) | 185 | 208 | ||||||
Series 2020-M50, Class A1, 0.67%, 10/25/2030 | 948 | 929 | ||||||
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 330 | 326 | ||||||
Series 2020-M50, Class X1, IO, 2.02%, 10/25/2030 (g) | 5,553 | 618 | ||||||
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 658 | 651 | ||||||
Series 2021-M3, Class X1, IO, 2.12%, 11/25/2033 (g) | 2,933 | 403 | ||||||
FREMF Mortgage Trust |
| |||||||
Series 2014-K40, Class C, 4.21%, 11/25/2047 (a) (g) | 168 | 181 | ||||||
Series 2015-K44, Class B, 3.81%, 1/25/2048 (a) (g) | 640 | 691 | ||||||
Series 2015-K45, Class B, 3.71%, 4/25/2048 (a) (g) | 500 | 539 | ||||||
Series 2016-K722, Class B, 3.99%, 7/25/2049 (a) (g) | 110 | 116 | ||||||
Series 2016-K59, Class B, 3.70%, 11/25/2049 (a) (g) | 180 | 196 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Commercial Mortgage-backed Securities — continued |
| |||||||
Series 2018-K730, Class B, 3.92%, 2/25/2050 (a) (g) | 551 | 594 | ||||||
Series 2019-K102, Class B, 3.65%, 12/25/2051 (a) (g) | 750 | 817 | ||||||
Morgan Stanley Capital I Trust Series 2006-IQ12, Class X1, IO, 0.29%, 12/15/2043 ‡ (a) (g) | 30 | — | (h) | |||||
MRCD MARK Mortgage Trust | ||||||||
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) | 740 | 771 | ||||||
Series 2019-PARK, Class D, 2.72%, 12/15/2036 ‡ (a) | 987 | 994 | ||||||
SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a) | 975 | 1,012 | ||||||
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a) | 930 | 969 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | 116 | 117 | ||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 | 104 | 106 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 25,316 | |||||||
|
| |||||||
Foreign Government Securities — 0.4% |
| |||||||
Kingdom of Saudi Arabia (Saudi Arabia) 2.25%, 2/2/2033 (a) | 200 | 195 | ||||||
Republic of Colombia (Colombia) 7.38%, 9/18/2037 | 100 | 131 | ||||||
United Mexican States (Mexico) 3.60%, 1/30/2025 | 200 | 219 | ||||||
4.13%, 1/21/2026 | 200 | 226 | ||||||
3.75%, 1/11/2028 | 280 | 306 | ||||||
2.66%, 5/24/2031 | 283 | 276 | ||||||
4.75%, 3/8/2044 | 50 | 55 | ||||||
4.35%, 1/15/2047 | 58 | 61 | ||||||
4.50%, 1/31/2050 | 315 | 335 | ||||||
3.77%, 5/24/2061 | 211 | 196 | ||||||
|
| |||||||
Total Foreign Government Securities |
| 2,000 | ||||||
|
| |||||||
U.S. Government Agency Securities — 0.2% |
| |||||||
FNMA, STRIPS 18.00%, 3/23/2028 (j) | 630 | 579 | ||||||
Tennessee Valley Authority 5.88%, 4/1/2036 | 140 | 207 | ||||||
4.63%, 9/15/2060 | 93 | 137 | ||||||
4.25%, 9/15/2065 | 101 | 142 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 1,065 | |||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Municipal Bonds — 0.1% (k) |
| |||||||
New York — 0.1% |
| |||||||
New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040 | 30 | 41 | ||||||
Port Authority of New York and New Jersey, Consolidated Series 164, Rev., 5.65%, 11/1/2040 | 130 | 183 | ||||||
|
| |||||||
Total New York | 224 | |||||||
|
| |||||||
Ohio — 0.0% (b) |
| |||||||
Ohio State University (The), General Receipts Series 2011-A, Rev., 4.80%, 6/1/2111 | 98 | 139 | ||||||
|
| |||||||
Total Municipal Bonds |
| 363 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 7.6% |
| |||||||
Investment Companies — 7.6% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (l) (m) | 39,000 | 39,020 | ||||||
|
| |||||||
Total Investments — 104.7% |
| 535,800 | ||||||
Liabilities in Excess of |
| (24,294 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 511,506 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ABS | Asset-Backed Securities | |
ACES | Alternative Credit Enhancement Securities | |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of June 30, 2021. | |
CDO | Collateralized Debt Obligations | |
CSMC | Credit Suisse Mortgage Trust | |
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of June 30, 2021. 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 | |
SOFR | Secured Overnight Financing Rate | |
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. | |
TBA | To Be Announced; Security is subject to delayed delivery. | |
UMBS | Uniform Mortgage-Backed Securities | |
USD | United States Dollar | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2021. | |
(d) | 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 June 30, 2021. | |
(e) | Security is an interest bearing note with preferred security characteristics. | |
(f) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of June 30, 2021. | |
(g) | 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 June 30, 2021. | |
(h) | Amount rounds to less than one thousand. | |
(i) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(j) | The rate shown is the effective yield as of June 30, 2021. | |
(k) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(l) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(m) | The rate shown is the current yield as of June 30, 2021. | |
‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Core Bond Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 496,780 | ||
Investments in affiliates, at value | 39,020 | |||
Receivables: | ||||
Investment securities sold | 131 | |||
Investment securities sold — delayed delivery securities | 12,858 | |||
Portfolio shares sold | 1,281 | |||
Interest from non-affiliates | 2,140 | |||
Dividends from affiliates | 1 | |||
|
| |||
Total Assets | 552,211 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Due to custodian | 57 | |||
Investment securities purchased | 107 | |||
Investment securities purchased — delayed delivery securities | 40,051 | |||
Portfolio shares redeemed | 125 | |||
Accrued liabilities: | ||||
Investment advisory fees | 162 | |||
Administration fees | 31 | |||
Distribution fees | 70 | |||
Custodian and accounting fees | 21 | |||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | ||
Other | 81 | |||
|
| |||
Total Liabilities | 40,705 | |||
|
| |||
Net Assets | $ | 511,506 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 488,300 | ||
Total distributable earnings (loss) | 23,206 | |||
|
| |||
Total Net Assets | $ | 511,506 | ||
|
| |||
Net Assets: |
| |||
Class 1 | $ | 171,550 | ||
Class 2 | 339,956 | |||
|
| |||
Total | $ | 511,506 | ||
|
| |||
Outstanding units of beneficial interest (shares) |
| |||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 15,106 | |||
Class 2 | 30,338 | |||
Net Asset Value (b): | ||||
Class 1 — Offering and redemption price per share | $ | 11.36 | ||
Class 2 — Offering and redemption price per share | 11.21 | |||
Cost of investments in non-affiliates | $ | 478,505 | ||
Cost of investments in affiliates | 39,008 |
(a) | Amount rounds to less than one thousand. |
(b) | 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 | JUNE 30, 2021 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
(Amounts in thousands)
JPMorgan Insurance Trust Core Bond Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 6,083 | ||
Dividend income from affiliates | 22 | |||
|
| |||
Total investment income | 6,105 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 1,041 | |||
Administration fees | 195 | |||
Distribution fees: | ||||
Class 2 | 424 | |||
Custodian and accounting fees | 54 | |||
Interest expense to affiliates | — | (a) | ||
Professional fees | 47 | |||
Trustees’ and Chief Compliance Officer’s fees | 13 | |||
Printing and mailing costs | 31 | |||
Transfer agency fees (See Note 2.G.) | 3 | |||
Other | 20 | |||
|
| |||
Total expenses | 1,828 | |||
|
| |||
Less fees waived | (36 | ) | ||
|
| |||
Net expenses | 1,792 | |||
|
| |||
Net investment income (loss) | 4,313 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: |
| |||
Investments in non-affiliates | 1,141 | |||
Investments in affiliates | (4 | ) | ||
|
| |||
Net realized gain (loss) | 1,137 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: |
| |||
Investments in non-affiliates | (12,537 | ) | ||
Investments in affiliates | 5 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (12,532 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (11,395 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (7,082 | ) | |
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 37 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Core Bond Portfolio | ||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 4,313 | $ | 8,869 | ||||
Net realized gain (loss) | 1,137 | 7,143 | ||||||
Change in net unrealized appreciation/depreciation | (12,532 | ) | 16,634 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (7,082 | ) | 32,646 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | (5,146 | ) | (3,683 | ) | ||||
Class 2 | (10,720 | ) | (5,095 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (15,866 | ) | (8,778 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 2,678 | 127,448 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (20,270 | ) | 151,316 | |||||
Beginning of period | 531,776 | 380,460 | ||||||
|
|
|
| |||||
End of period | $ | 511,506 | $ | 531,776 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 36,142 | $ | 96,027 | ||||
Distributions reinvested | 5,146 | 3,683 | ||||||
Cost of shares redeemed | (52,854 | ) | (80,449 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | (11,566 | ) | 19,261 | |||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | 47,212 | 154,155 | ||||||
Distributions reinvested | 10,720 | 5,095 | ||||||
Cost of shares redeemed | (43,688 | ) | (51,063 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | 14,244 | 108,187 | ||||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 2,678 | $ | 127,448 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 3,136 | 8,234 | ||||||
Reinvested | 456 | 321 | ||||||
Redeemed | (4,558 | ) | (6,919 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (966 | ) | 1,636 | |||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 4,133 | 13,429 | ||||||
Reinvested | 963 | 450 | ||||||
Redeemed | (3,855 | ) | (4,456 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 1,241 | 9,423 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
38 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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JUNE 30, 2021 | 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) (b) | Net realized and unrealized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Core Bond Portfolio |
| |||||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | $ | 11.88 | $ | 0.10 | $ | (0.24 | ) | $ | (0.14 | ) | $ | (0.22 | ) | $ | (0.16 | ) | $ | (0.38 | ) | |||||||||
Year Ended December 31, 2020 | 11.24 | 0.24 | 0.63 | 0.87 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Year Ended December 31, 2019 | 10.66 | 0.30 | 0.56 | 0.86 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Year Ended December 31, 2018 | 10.94 | 0.29 | (0.29 | ) | — | (g) | (0.26 | ) | (0.02 | ) | (0.28 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 10.84 | 0.29 | 0.09 | 0.38 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Year Ended December 31, 2016 | 10.91 | 0.30 | (0.07 | ) | 0.23 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Class 2 |
| |||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | 11.72 | 0.09 | (0.25 | ) | (0.16 | ) | (0.19 | ) | (0.16 | ) | (0.35 | ) | ||||||||||||||||
Year Ended December 31, 2020 | 11.09 | 0.21 | 0.63 | 0.84 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Year Ended December 31, 2019 | 10.53 | 0.27 | 0.55 | 0.82 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended December 31, 2018 | 10.82 | 0.26 | (0.29 | ) | (0.03 | ) | (0.24 | ) | (0.02 | ) | (0.26 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 10.73 | 0.26 | 0.09 | 0.35 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended December 31, 2016 | 10.81 | 0.27 | (0.07 | ) | 0.20 | (0.28 | ) | — | (0.28 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(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) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(g) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c) (d) (e) | Net assets, end of period (000’s) | Net expenses (f) | Net income | Expenses without waivers, | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 11.36 | (1.18 | )% | $ | 171,550 | 0.53 | % | 1.82 | % | 0.54 | % | 61 | % | |||||||||||||
11.88 | 7.84 | 190,891 | 0.53 | 2.09 | 0.55 | 92 | ||||||||||||||||||||
11.24 | 8.18 | 162,192 | 0.58 | 2.70 | 0.58 | 20 | ||||||||||||||||||||
10.66 | 0.05 | 158,167 | 0.56 | 2.76 | 0.61 | 20 | ||||||||||||||||||||
10.94 | 3.57 | 171,382 | 0.57 | 2.66 | 0.63 | 21 | ||||||||||||||||||||
10.84 | 2.12 | 176,566 | 0.59 | 2.73 | 0.64 | 29 | ||||||||||||||||||||
11.21 | (1.31 | ) | 339,956 | 0.78 | 1.57 | 0.79 | 61 | |||||||||||||||||||
11.72 | 7.68 | 340,885 | 0.78 | 1.82 | 0.79 | 92 | ||||||||||||||||||||
11.09 | 7.87 | 218,268 | 0.83 | 2.45 | 0.83 | 20 | ||||||||||||||||||||
10.53 | (0.23 | ) | 150,156 | 0.81 | 2.51 | 0.85 | 20 | |||||||||||||||||||
10.82 | 3.30 | 123,282 | 0.82 | 2.41 | 0.87 | 21 | ||||||||||||||||||||
10.73 | 1.84 | 73,940 | 0.84 | 2.47 | 0.89 | 29 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 41 |
Table of Contents
AS OF JUNE 30, 2021 (Unaudited)
(Dollar values in thousands)
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 | Diversification Classification | |||
JPMorgan Insurance Trust 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 (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“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 June 30, 2021.
42 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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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 | Level 3 Significant | Total | |||||||||||||
Investments in Securities |
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Asset-Backed Securities | $ | — | $ | 33,402 | $ | 17,568 | $ | 50,970 | ||||||||
Collateralized Mortgage Obligations | — | 44,722 | 3,078 | 47,800 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 23,731 | 1,585 | 25,316 | ||||||||||||
Corporate Bonds | — | 171,272 | — | 171,272 | ||||||||||||
Foreign Government Securities | — | 2,000 | — | 2,000 | ||||||||||||
Mortgage-Backed Securities | — | 99,495 | — | 99,495 | ||||||||||||
Municipal Bonds | — | 363 | — | 363 | ||||||||||||
U.S. Government Agency Securities | — | 1,065 | — | 1,065 | ||||||||||||
U.S. Treasury Obligations | — | 98,499 | — | 98,499 | ||||||||||||
Short-Term Investments | 39,020 | — | — | 39,020 | ||||||||||||
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Total Investments in Securities | $ | 39,020 | $ | 474,549 | $ | 22,231 | $ | 535,800 | ||||||||
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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, 2020 | 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 June 30, 2021 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 19,255 | $ | — | $ | 70 | $ | — | (a) | $ | 1,801 | $ | (3,558 | ) | $ | — | $ | — | $ | 17,568 | ||||||||||||||||
Collateralized Mortgage Obligations | 3,868 | — | (36 | ) | (32 | ) | 35 | (757 | ) | — | — | (a) | 3,078 | |||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 1,859 | — | 26 | — | (a) | — | (a) | (300 | ) | — | — | 1,585 | ||||||||||||||||||||||||
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Total | $ | 24,982 | $ | — | $ | 60 | $ | (32 | ) | $ | 1,836 | $ | (4,615 | ) | $ | — | $ | — | (a) | $ | 22,231 | |||||||||||||||
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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) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2021, which were valued using significant unobservable inputs (level 3) amounted to $63. This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statement of Operations.
There were no significant transfers into or out of level 3 for the six months ended June 30, 2021.
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed below. 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
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 43 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at June 30, 2021 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
$ | 15,955 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 40.00% (8.22%) | ||||||||
Constant Default Rate | 0.00% - 4.14% (0.03%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 1.11% - 3.45% (2.30%) | |||||||||||
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Asset-Backed Securities | 15,955 | |||||||||||
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1,182 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (56.29%) | |||||||||
Constant Default Rate | 0.00% - 3.90% (0.34%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 0.09% - 18.03% (5.53%) | |||||||||||
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Collateralized Mortgage Obligations | 1,182 | |||||||||||
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1,585 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (0.00%) | |||||||||
Yield (Discount Rate of Cash Flows) | 2.47% - 5.47% (3.04%) | |||||||||||
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Commercial Mortgage-Backed Securities | 1,585 | |||||||||||
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Total | $ | 18,721 | ||||||||||
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# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30 2021, the value of these investments was $3,510. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
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, as amended (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 NAVs of the Portfolio.
As of June 30, 2021, the Portfolio had no investments in restricted securities other than securities sold to the Portfolio under Rule 144A and/or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Portfolio purchased when-issued securities, including To Be Announced (“TBA”) 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.
The Portfolio may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Portfolio’s transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a portfolio and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Portfolio is held in a segregated account at the Portfolio’s custodian bank and is included on the Statement of Assets and Liabilities as Restricted cash. Collateral received by the Portfolio is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan. These amounts are not reflected on the Portfolio’s Statement of Assets and Liabilities.
The Portfolio had when-issued securities, delayed delivery securities or forward commitments outstanding as of June 30, 2021, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statement of Assets and Liabilities. The values of these securities held at June 30, 2021 are detailed on the SOI.
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D. Securities Lending — The Portfolio is authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund. The Portfolio retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
The Portfolio did not lend out any securities during the six months ended June 30, 2021.
E. Investment Transactions with Affiliates — The Portfolio invested in an Underlying Fund, which is advised by the Adviser. 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 issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amount in the table below.
For the six months ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) | $ | 71,874 | $ | 93,576 | $ | 126,431 | $ | (4 | ) | $ | 5 | $ | 39,020 | 39,000 | $ | 22 | $ | — | ||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of June 30, 2021. |
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.
The Portfolio invests in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
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
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 45 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
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.
G. Allocation of Income and Expenses — Expenses directly attributable to the Portfolio are charged directly to the Portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the applicable portfolios. 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.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Portfolio for the six months ended June 30, 2021 are as follows:
Class 1 | Class 2 | Total | ||||||||||
Transfer agency fees | $ | 2 | $ | 1 | $ | 3 |
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 (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 June 30, 2021, no liability for Federal 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.
I. Distributions to Shareholders — Distributions from net investment income, if any, 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.
J. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Portfolio’s financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Portfolio and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.40% of the Portfolio’s average daily net assets.
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 0.075% of the first $10 billion of the Portfolio’s average daily net assets, plus 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Portfolio’s average daily net assets in excess of $25 billion. For the six months ended June 30, 2021, the effective annualized rate was 0.075% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
JPMCB 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 Portfolio’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 pursuant to Rule 12b-1 under the 1940 Act. Class 1 Shares of the Portfolio do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
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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.
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, expenses related to trustee elections 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 six months ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least April 30, 2022.
For the six months ended June 30, 2021, the Portfolio’s service providers did not waive fees and/or reimburse expenses for the Portfolio.
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral. None of these parties expect the Portfolio to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the six months ended June 30, 2021 was $36.
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 designated and appointed a Chief Compliance Officer to the Portfolio pursuant to Rule 38a-1 under the 1940 Act. The Portfolio, along with 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 six months ended June 30, 2021, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were 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 LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended June 30, 2021, 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 | |||||||||||||
$ | 282,520 | $ | 279,230 | $ | 26,958 | $ | 26,106 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 517,513 | $ | 20,440 | $ | 2,153 | $ | 18,287 |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 47 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
During the year ended December 31, 2020, the Portfolio utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
$ | 141 | $ | 16 |
At December 31, 2020, 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 Portfolio had no borrowings outstanding from another fund during the six months ended June 30, 2021.
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 1, 2021.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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%, which has increased to 1.25% pursuant to the amendment referenced below, 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 10, 2021, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.
The Portfolio did not utilize the Credit Facility during the six months ended June 30, 2021.
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 brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2021, the Portfolio had two individual shareholder and/or non-affiliated omnibus accounts, which owned 59.5% 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, 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, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
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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 to be representative of its value, the value of the Portfolio’s net assets could be adversely affected.
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. The Portfolio may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Portfolio’s yield (and total return) also may be low or the Portfolio may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Portfolio’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Portfolio’s loans, notes, derivatives and other instruments or investments comprising some or all of the Portfolio’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Portfolio is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Portfolio’s investments, increase the Portfolio’s volatility, exacerbate other pre-existing political, social and economic risks to the Portfolio and negatively impact broad segments of businesses and populations. The Portfolio’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Portfolio invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Portfolio’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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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, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
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 titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Core Bond Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 988.20 | $ | 2.61 | 0.53 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.17 | 2.66 | 0.53 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 986.90 | 3.84 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.91 | 0.78 |
* | Expenses are equal to each Class' respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
50 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Portfolio has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Portfolio’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Portfolio. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Portfolio’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of the Portfolio into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether the Portfolio invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for the Portfolio (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the J.P. Morgan Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the Portfolio invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Portfolio liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of the Portfolio’s investments; and (2) perform additional stress testing. The Report noted that the Portfolio was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Portfolio’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Portfolio during the Program Reporting Period.
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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 as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Portfolio’s quarterly holdings can be found by visiting 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 prospectuses 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | SAN-JPMITCBP-621 |
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Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2021 (Unaudited)
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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August 4, 2021 (Unaudited)
Dear Shareholders,
The year 2021 has brought a partial reopening of the social and economic spheres and an extended rally in equity markets bolstered by federal relief and recovery efforts and surging consumer spending and corporate earnings.
“As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a strong performance over the six months ended June 30, 2021. The S&P 500 Index returned 16%; the Russell 1000 returned 15.57%; the Russell Mid Cap Index returned 16.65% and the Russell 2000 Index returned 17.24%. Investors who remained fully invested over the period stood to benefit greatly from performance of equity markets in the U.S. and globally.
Mass vaccinations and the rebound in economic growth at the global, and certain national and local levels have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic
activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve (the “Fed”). While the Fed has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Mid Cap Value Portfolio
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 21.80% | |||
Russell Midcap Value Index | 19.45% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 518,549 |
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?
Overall, U.S. and emerging markets equity led a global rally in stocks on the back of continued bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Within U.S. equity markets, small cap and mid cap stocks generally outperformed large cap stocks and value stocks generally outperformed growth stocks for the six months ended June 30, 2021.
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 six months ended June 30, 2021. The Portfolio’s security selection in the
information technology and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Portfolio’s security selection in the materials and utilities sectors was a leading detractor from relative performance.
Leading individual contributors to performance included the Portfolio’s overweight positions in Diamondback Energy Inc., Discovery Inc. and Synnex Inc. Shares of Diamondback Energy, an oil and gas extraction company, rose amid a strong rebound in energy prices in the first half of 2021. Shares of Discovery, an entertainment and media company, rose early in the period and the Portfolio began to liquidate the position ahead of the March 2021 sell-off following the collapse of Archegos Capital Management, which held large leveraged positions in Discovery shares. Shares of Synnex, an information technology logistics and distribution services provider, rose after the company announced a $7.2 billion merger with Tech Data, which was owned by private equity company Apollo Global Management Inc.
Leading individual detractors from relative performance included the Portfolio’s underweight position in Ford Motor Co. and its overweight positions in Ball Corp. and Cabot Oil & Gas Corp. Shares of Ford Motor, an automaker not held in the Fund, rose amid increased demand for autos and expectations the company’s electric car business could benefit from federal stimulus spending. Shares of Ball, a manufacturer of metal packaging for consumer products, fell after the company reported lower-than-expected earnings and amid investor concerns about growth in aluminum can supplies. Shares of Cabot Oil & Gas, an energy extraction company, underperformed after the company announced a $17 billion merger with Cimarex Energy Co.
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 the portfolio managers’ view, sustainable levels of free cash flow. During the reporting period, the Portfolio maintained overweight positions in the financials and real estate sectors, while maintaining underweight positions in the industrials and materials sectors.
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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Ameriprise Financial, Inc. | 1.8 | % | |||||
2. | Huntington Bancshares, Inc. | 1.6 | ||||||
3. | Liberty Broadband Corp., Class C | 1.6 | ||||||
4. | Motorola Solutions, Inc. | 1.6 | ||||||
5. | Fifth Third Bancorp | 1.5 | ||||||
6. | Xcel Energy, Inc. | 1.5 | ||||||
7. | Loews Corp. | 1.5 | ||||||
8. | Laboratory Corp. of America Holdings | 1.5 | ||||||
9. | AutoZone, Inc. | 1.4 | ||||||
10. | M&T Bank Corp. | 1.4 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Financials | 22.1 | % | ||
Industrials | 13.7 | |||
Consumer Discretionary | 11.2 | |||
Real Estate | 10.6 | |||
Information Technology | 8.3 | |||
Utilities | 7.6 | |||
Health Care | 6.7 | |||
Materials | 5.2 | |||
Communication Services | 4.1 | |||
Energy | 4.0 | |||
Consumer Staples | 4.0 | |||
Short-Term Investments | 2.5 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Mid Cap Value Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS 1 SHARES | September 28, 2001 | 21.80 | % | 52.11 | % | 10.78 | % | 11.74 | % |
* | Not annualized. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
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 Mid Cap Value Portfolio and the Russell Midcap Value Index from June 30, 2011 to June 30, 2021. 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 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. 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. 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 | JUNE 30, 2021 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.5% |
| |||||||
Airlines — 0.5% |
| |||||||
Southwest Airlines Co. * | 46 | 2,432 | ||||||
|
| |||||||
Banks — 7.8% |
| |||||||
Citizens Financial Group, Inc. | 140 | 6,399 | ||||||
Fifth Third Bancorp | 207 | 7,906 | ||||||
Huntington Bancshares, Inc. | 587 | 8,381 | ||||||
M&T Bank Corp. | 51 | 7,412 | ||||||
Regions Financial Corp. | 303 | 6,110 | ||||||
Zions Bancorp NA | 68 | 3,591 | ||||||
|
| |||||||
39,799 | ||||||||
|
| |||||||
Beverages — 1.3% |
| |||||||
Constellation Brands, Inc., Class A | 18 | 4,243 | ||||||
Keurig Dr Pepper, Inc. | 75 | 2,626 | ||||||
|
| |||||||
6,869 | ||||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
Fortune Brands Home & Security, Inc. | 69 | 6,899 | ||||||
|
| |||||||
Capital Markets — 6.2% |
| |||||||
Ameriprise Financial, Inc. | 37 | 9,162 | ||||||
Northern Trust Corp. | 54 | 6,186 | ||||||
Raymond James Financial, Inc. | 49 | 6,365 | ||||||
State Street Corp. | 49 | 4,014 | ||||||
T. Rowe Price Group, Inc. | 32 | 6,402 | ||||||
|
| |||||||
32,129 | ||||||||
|
| |||||||
Chemicals — 1.6% |
| |||||||
Celanese Corp. | 29 | 4,445 | ||||||
Valvoline, Inc. | 123 | 4,006 | ||||||
|
| |||||||
8,451 | ||||||||
|
| |||||||
Communications Equipment — 2.1% |
| |||||||
CommScope Holding Co., Inc. * | 119 | 2,530 | ||||||
Motorola Solutions, Inc. | 37 | 8,113 | ||||||
|
| |||||||
10,643 | ||||||||
|
| |||||||
Construction Materials — 1.0% |
| |||||||
Martin Marietta Materials, Inc. | 14 | 5,089 | ||||||
|
| |||||||
Consumer Finance — 1.1% |
| |||||||
Discover Financial Services | 48 | 5,655 | ||||||
|
| |||||||
Containers & Packaging — 1.7% |
| |||||||
Ball Corp. | 11 | 918 | ||||||
Packaging Corp. of America | 27 | 3,705 | ||||||
Silgan Holdings, Inc. | 106 | 4,399 | ||||||
|
| |||||||
9,022 | ||||||||
|
| |||||||
Distributors — 1.6% |
| |||||||
Genuine Parts Co. | 24 | 3,063 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Distributors — continued |
| |||||||
LKQ Corp. * | 112 | 5,488 | ||||||
|
| |||||||
8,551 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
Voya Financial, Inc. | 41 | 2,522 | ||||||
|
| |||||||
Electric Utilities — 3.5% |
| |||||||
Edison International | 82 | 4,742 | ||||||
Entergy Corp. | 55 | 5,484 | ||||||
Xcel Energy, Inc. | 118 | 7,779 | ||||||
|
| |||||||
18,005 | ||||||||
|
| |||||||
Electrical Equipment — 3.7% |
| |||||||
Acuity Brands, Inc. | 35 | 6,542 | ||||||
AMETEK, Inc. | 39 | 5,269 | ||||||
Hubbell, Inc. | 38 | 7,160 | ||||||
|
| |||||||
18,971 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.6% |
| |||||||
Amphenol Corp., Class A | 87 | 5,972 | ||||||
CDW Corp. | 23 | 3,972 | ||||||
Keysight Technologies, Inc. * | 14 | 2,163 | ||||||
SYNNEX Corp. | 55 | 6,744 | ||||||
|
| |||||||
18,851 | ||||||||
|
| |||||||
Entertainment — 0.5% |
| |||||||
Zynga, Inc., Class A * | 240 | 2,555 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.5% |
| |||||||
American Homes 4 Rent, Class A | 117 | 4,530 | ||||||
AvalonBay Communities, Inc. | 20 | 4,168 | ||||||
Boston Properties, Inc. | 39 | 4,416 | ||||||
Brixmor Property Group, Inc. | 134 | 3,067 | ||||||
Essex Property Trust, Inc. | 9 | 2,829 | ||||||
Federal Realty Investment Trust | 19 | 2,278 | ||||||
JBG SMITH Properties | 61 | 1,911 | ||||||
Kimco Realty Corp. | 161 | 3,352 | ||||||
Mid-America Apartment Communities, Inc. | 14 | 2,326 | ||||||
Rayonier, Inc. | 120 | 4,295 | ||||||
Regency Centers Corp. | 37 | 2,383 | ||||||
Rexford Industrial Realty, Inc. | 30 | 1,734 | ||||||
Sun Communities, Inc. | 13 | 2,276 | ||||||
Ventas, Inc. | 37 | 2,132 | ||||||
Weyerhaeuser Co. | 132 | 4,549 | ||||||
WP Carey, Inc. | 34 | 2,563 | ||||||
|
| |||||||
48,809 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.3% |
| |||||||
Kroger Co. (The) | 87 | 3,316 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Food & Staples Retailing — continued |
| |||||||
US Foods Holding Corp. * | 92 | 3,521 | ||||||
|
| |||||||
6,837 | ||||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
Post Holdings, Inc. * | 40 | 4,350 | ||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
National Fuel Gas Co. | 115 | 6,021 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
Zimmer Biomet Holdings, Inc. | 43 | 6,952 | ||||||
|
| |||||||
Health Care Providers & Services — 4.9% |
| |||||||
AmerisourceBergen Corp. | 49 | 5,588 | ||||||
Henry Schein, Inc. * | 55 | 4,109 | ||||||
Humana, Inc. | 4 | 1,895 | ||||||
Laboratory Corp. of America Holdings * | 28 | 7,740 | ||||||
Universal Health Services, Inc., Class B | 40 | 5,822 | ||||||
|
| |||||||
25,154 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Darden Restaurants, Inc. | 17 | 2,501 | ||||||
Expedia Group, Inc. * | 16 | 2,559 | ||||||
|
| |||||||
5,060 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
Mohawk Industries, Inc. * | 22 | 4,309 | ||||||
Newell Brands, Inc. | 238 | 6,548 | ||||||
|
| |||||||
10,857 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
Energizer Holdings, Inc. | 62 | 2,672 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
Carlisle Cos., Inc. | 37 | 7,049 | ||||||
|
| |||||||
Insurance — 6.3% |
| |||||||
Alleghany Corp. * | 4 | 2,740 | ||||||
Arch Capital Group Ltd. * | 54 | 2,101 | ||||||
Hartford Financial Services Group, Inc. (The) | 76 | 4,679 | ||||||
Lincoln National Corp. | 59 | 3,709 | ||||||
Loews Corp. | 142 | 7,766 | ||||||
Marsh & McLennan Cos., Inc. | 19 | 2,673 | ||||||
Progressive Corp. (The) | 34 | 3,316 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 14 | 2,045 | ||||||
WR Berkley Corp. | 48 | 3,555 | ||||||
|
| |||||||
32,584 | ||||||||
|
| |||||||
Interactive Media & Services — 0.7% |
| |||||||
InterActiveCorp. * | 23 | 3,620 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Machinery — 6.1% |
| |||||||
IDEX Corp. | 23 | 5,156 | ||||||
ITT, Inc. | 68 | 6,257 | ||||||
Lincoln Electric Holdings, Inc. | 45 | 5,862 | ||||||
Middleby Corp. (The) * | 29 | 4,962 | ||||||
Snap-on, Inc. | 21 | 4,667 | ||||||
Timken Co. (The) | 56 | 4,545 | ||||||
|
| |||||||
31,449 | ||||||||
|
| |||||||
Media — 2.9% |
| |||||||
Liberty Broadband Corp., Class C * | 48 | 8,308 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 149 | 6,933 | ||||||
|
| |||||||
15,241 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
Freeport-McMoRan, Inc. | 117 | 4,351 | ||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
Kohl’s Corp. | 69 | 3,799 | ||||||
|
| |||||||
Multi-Utilities — 2.9% |
| |||||||
CMS Energy Corp. | 104 | 6,124 | ||||||
Sempra Energy | 22 | 2,880 | ||||||
WEC Energy Group, Inc. | 69 | 6,128 | ||||||
|
| |||||||
15,132 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.0% |
| |||||||
Cabot Oil & Gas Corp. | 306 | 5,334 | ||||||
Diamondback Energy, Inc. | 79 | 7,383 | ||||||
EQT Corp. * | 122 | 2,707 | ||||||
Williams Cos., Inc. (The) | 200 | 5,322 | ||||||
|
| |||||||
20,746 | ||||||||
|
| |||||||
Pharmaceuticals — 0.5% |
| |||||||
Jazz Pharmaceuticals plc * | 14 | 2,570 | ||||||
|
| |||||||
Professional Services — 0.8% |
| |||||||
Leidos Holdings, Inc. | 43 | 4,380 | ||||||
|
| |||||||
Real Estate Management & Development — 1.1% |
| |||||||
CBRE Group, Inc., Class A * | 69 | 5,921 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.1% |
| |||||||
Analog Devices, Inc. | 34 | 5,776 | ||||||
|
| |||||||
Software — 1.5% |
| |||||||
NortonLifeLock, Inc. | 230 | 6,249 | ||||||
Synopsys, Inc. * | 6 | 1,580 | ||||||
|
| |||||||
7,829 | ||||||||
|
| |||||||
Specialty Retail — 3.6% |
| |||||||
AutoZone, Inc. * | 5 | 7,503 | ||||||
Best Buy Co., Inc. | 54 | 6,195 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Specialty Retail — continued |
| |||||||
Gap, Inc. (The) | 153 | 5,147 | ||||||
|
| |||||||
18,845 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.1% |
| |||||||
Carter’s, Inc. | 45 | 4,668 | ||||||
Ralph Lauren Corp. | 39 | 4,557 | ||||||
Tapestry, Inc. * | 36 | 1,572 | ||||||
|
| |||||||
10,797 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
MGIC Investment Corp. | 146 | 1,990 | ||||||
|
| |||||||
Total Common Stocks |
| 505,234 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 2.5% |
| |||||||
Investment Companies — 2.5% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (a) (b) (Cost $13,177) | 13,177 | 13,177 | ||||||
|
| |||||||
Total Investments — 100.0% |
| 518,411 | ||||||
Other Assets Less Liabilities — 0.0% (c) |
| 138 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| 518,549 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 505,234 | ||
Investments in affiliates, at value | 13,177 | |||
Receivables: | ||||
Investment securities sold | 464 | |||
Portfolio shares sold | 266 | |||
Dividends from non-affiliates | 952 | |||
Dividends from affiliates | — | (a) | ||
|
| |||
Total Assets | 520,093 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 444 | |||
Portfolio shares redeemed | 719 | |||
Accrued liabilities: | ||||
Investment advisory fees | 279 | |||
Administration fees | 32 | |||
Custodian and accounting fees | 7 | |||
Trustees’ and Chief Compliance Officer’s fees | 2 | |||
Other | 61 | |||
|
| |||
Total Liabilities | 1,544 | |||
|
| |||
Net Assets | $ | 518,549 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 257,897 | ||
Total distributable earnings (loss) | 260,652 | |||
|
| |||
Total Net Assets | $ | 518,549 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 518,549 | ||
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | ||||
Class 1 | 41,467 | |||
Net Asset Value (b): | ||||
Class 1 — Offering and redemption price per share | $ | 12.50 | ||
Cost of investments in non-affiliates | $ | 288,127 | ||
Cost of investments in affiliates | 13,177 |
(a) | Amount rounds to less than one thousand. |
(b) | 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 | JUNE 30, 2021 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
(Amounts in thousands)
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 4,146 | ||
Dividend income from affiliates | 1 | |||
Income from securities lending (net) (See Note 2.B.) | 1 | |||
|
| |||
Total investment income | 4,148 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 1,601 | |||
Administration fees | 185 | |||
Custodian and accounting fees | 15 | |||
Professional fees | 30 | |||
Trustees’ and Chief Compliance Officer’s fees | 14 | |||
Printing and mailing costs | 28 | |||
Transfer agency fees | 3 | |||
Other | 17 | |||
|
| |||
Total expenses | 1,893 | |||
|
| |||
Less fees waived | (3 | ) | ||
|
| |||
Net expenses | 1,890 | |||
|
| |||
Net investment income (loss) | 2,258 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from investments in non-affiliates | 43,432 | |||
Change in net unrealized appreciation/depreciation on investments in non-affiliates | 48,884 | |||
|
| |||
Net realized/unrealized gains (losses) | 92,316 | |||
|
| |||
Change in net assets resulting from operations | $ | 94,574 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 2,258 | $ | 4,916 | ||||
Net realized gain (loss) | 43,432 | 24,855 | ||||||
Change in net unrealized appreciation/depreciation | 48,884 | (30,483 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 94,574 | (712 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | (29,998 | ) | (31,576 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (29,998 | ) | (31,576 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 6,444 | (14,480 | ) | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 71,020 | (46,768 | ) | |||||
Beginning of period | 447,529 | 494,297 | ||||||
|
|
|
| |||||
End of period | $ | 518,549 | $ | 447,529 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 44,423 | $ | 72,722 | ||||
Distributions reinvested | 29,998 | 31,576 | ||||||
Cost of shares redeemed | (67,977 | ) | (118,778 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 6,444 | $ | (14,480 | ) | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 3,552 | 8,067 | ||||||
Reinvested | 2,366 | 3,680 | ||||||
Redeemed | (5,534 | ) | (12,503 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 384 | (756 | ) | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
JUNE 30, 2021 | 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) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | $ | 10.89 | $ | 0.06 | $ | 2.32 | $ | 2.38 | $ | (0.12 | ) | $ | (0.65 | ) | $ | (0.77 | ) | |||||||||||
Year Ended December 31, 2020 | 11.81 | 0.12 | (0.28 | ) | (0.16 | ) | (0.15 | ) | (0.61 | ) | (0.76 | ) | ||||||||||||||||
Year Ended December 31, 2019 | 10.16 | 0.15 | 2.47 | 2.62 | (0.19 | ) | (0.78 | ) | (0.97 | ) | ||||||||||||||||||
Year Ended December 31, 2018 | 11.83 | 0.17 | (1.54 | ) | (1.37 | ) | (0.11 | ) | (0.19 | ) | (0.30 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 10.98 | 0.11 | 1.34 | 1.45 | (0.09 | ) | (0.51 | ) | (0.60 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 10.19 | 0.10 | 1.33 | 1.43 | (0.09 | ) | (0.55 | ) | (0.64 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(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) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d)(e) | Net assets, end of period (000’s) | Net expenses (f) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 12.50 | 21.71 | % | $ | 518,549 | 0.77 | % | 0.92 | % | 0.77 | % | 14 | % | |||||||||||||
10.89 | 0.37 | 447,529 | 0.76 | 1.20 | 0.77 | 20 | ||||||||||||||||||||
11.81 | 26.76 | 494,297 | 0.76 | 1.31 | 0.77 | 10 | ||||||||||||||||||||
10.16 | (11.84 | ) | 445,963 | 0.76 | 1.43 | 0.77 | 13 | |||||||||||||||||||
11.83 | 13.76 | 572,520 | 0.77 | 0.95 | 0.78 | 14 | ||||||||||||||||||||
10.98 | 14.69 | 544,170 | 0.77 | 0.95 | 0.78 | 28 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF JUNE 30, 2021 (Unaudited)
(Dollar values in thousands)
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 | Diversification Classification | |||
JPMorgan Insurance Trust 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.
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 (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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 (“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.
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) | $ | 518,411 | $ | — | $ | — | $ | 518,411 | ||||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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B. Securities Lending — The Portfolio is authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Portfolio retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the six months ended June 30, 2021, JPMIM waived fees associated with the Portfolio’s investment in the JPMorgan U.S. Government Money Market Fund as follows:
$ | — | (a) |
(a) | Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
The Portfolio did not have any securities out on loan at June 30, 2021.
C. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds, which are advised by the Adviser. 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 such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the six months ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares(a) | $ | 400 | $ | 1,000 | $ | 1,400 | $ | — | *(b) | $ | — | $ | — | — | $ | — | *(b) | $ | — | |||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares(a) | 987 | 3,185 | 4,172 | — | — | — | — | — | *(b) | — | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01%(a)(c) | 4,891 | 49,961 | 41,675 | — | — | 13,177 | 13,177 | 1 | — | |||||||||||||||||||||||||||
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Total | $ | 6,278 | $ | 54,146 | $ | 47,247 | $ | — | (b) | $ | — | $ | 13,177 | $ | 1 | $ | — | |||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 15 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
(b) | Amount rounds to less than one thousand. |
(c) | The rate shown is the current yield as of June 30, 2021. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
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. 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.
E. Allocation of Expenses — Expenses directly attributable to the Portfolio are charged directly to the Portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the applicable portfolios.
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 (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 June 30, 2021, no liability for Federal 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, if any, are generally declared and paid at least annually. 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.
H. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Portfolio’s financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Portfolio and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.65% of the Portfolio’s average daily net assets.
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 0.075% of the first $10 billion of the Portfolio’s average daily net assets, plus 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Portfolio’s average daily net assets in excess of $25 billion. For the six months ended June 30, 2021, the effective annualized rate was 0.075% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
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 Portfolio’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.
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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 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, expenses related to trustee elections and extraordinary expenses) exceed 0.90% of the Portfolio’s average daily net assets.
The expense limitation agreement was in effect for the six months ended June 30, 2021 and the contractual expense limitation percentage is in place until at least April 30, 2022.
For the six months ended June 30, 2021, the Portfolio’s service providers did not waive fees and/or reimburse expenses for the Portfolio.
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser and/or 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, except for investments of securities lending cash collateral. None of these parties expect the Portfolio to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the six months ended June 30, 2021 was $3.
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 designated and appointed a Chief Compliance Officer to the Portfolio pursuant to Rule 38a-1 under the 1940 Act. The Portfolio, along with 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 six months ended June 30, 2021, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were 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 LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended June 30, 2021, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 69,495 | $ | 99,505 |
During the six months ended June 30, 2021, 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 June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 301,304 | $ | 218,666 | $ | 1,559 | $ | 217,107 |
At December 31, 2020, 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).
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
The Portfolio had no borrowings outstanding from another fund during the six months ended June 30, 2021.
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 1, 2021.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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%, which has increased to 1.25% pursuant to the amendment referenced below, 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 10, 2021, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.
The Portfolio did not utilize the Credit Facility during the six months ended June 30, 2021.
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 brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2021, the Portfolio had two individual shareholder and/or non-affiliated omnibus accounts, which owned 76.7% of the Portfolio’s outstanding shares.
Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Portfolio’s instruments or investments comprising some or all of the Portfolio’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Portfolio is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Portfolio’s investments, increase the Portfolio’s volatility, exacerbate other pre-existing political, social and economic risks to the Portfolio and negatively impact broad segments of businesses and populations. The Portfolio’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Portfolio invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Portfolio’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Portfolio at the beginning of the reporting period, January 1, 2021 and continued to hold your shares at the end of the reporting period, June 30, 2021.
Actual Expenses
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 under the heading titled “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 January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,217.10 | $ | 4.23 | 0.77 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.86 | 0.77 |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Portfolio has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Portfolio’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Portfolio. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Portfolio’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of the Portfolio into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether the Portfolio invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for the Portfolio (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the J.P. Morgan Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the Portfolio invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Portfolio liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of the Portfolio’s investments; and (2) perform additional stress testing. The Report noted that the Portfolio was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Portfolio’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Portfolio during the Program Reporting Period.
20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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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 as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Portfolio’s quarterly holdings can be found by visiting 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 prospectuses 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | SAN-JPMITMCVP-621 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2021 (Unaudited)
JPMorgan Insurance Trust Small Cap Core Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
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.
Table of Contents
AUGUST 4, 2021 (Unaudited)
Dear Shareholders,
The year 2021 has brought a partial reopening of the social and economic spheres and an extended rally in equity markets bolstered by federal relief and recovery efforts and surging consumer spending and corporate earnings.
“As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a strong performance over the six months ended June 30, 2021. The S&P 500 Index returned 16%; the Russell 1000 returned 15.57%; the Russell Mid Cap Index returned 16.65% and the Russell 2000 Index returned 17.24%. Investors who remained fully invested over the period stood to benefit greatly from performance of equity markets in the U.S. and globally.
Mass vaccinations and the rebound in economic growth at the global, and certain national and local levels have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across
the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve (the “Fed”). While the Fed has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Small Cap Core Portfolio
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 19.72% | |||
Russell 2000 Index | 17.54% | |||
Net Assets as of 6/30/2021 (In Thousands) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 229,580 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Small Cap Core Portfolio (the “Portfolio”) seeks capital growth over the long term.
HOW DID THE MARKET PERFORM?
Overall, U.S. and emerging markets equity led a global rally in stocks on the back of continued bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Withing U.S. equity markets, small cap and mid cap stocks generally outperformed large cap stocks and value stocks generally outperformed growth stocks for the six months ended June 30, 2021.
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 six months ended June 30, 2021. The Portfolio’s security selection in the industrials and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Portfolio’s
security selection in the health care and consumer staples sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Portfolio’s overweight positions in IDT Corp., MicroStrategy Inc. and ArcBest Corp. Shares of IDT, a telecommunications and payment services provider, rose after the company reported better-than-expected earnings for its fiscal third quarter. Shares of MicroStrategy, a software developer, rose amid investor expectations the company would benefit from its large holdings of Bitcoin. Shares of ArcBest, a transportation and logistics company, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2021.
Leading individual detractors from relative performance included the Portfolio’s underweight positions in GameStop Corp. and AMC Entertainment Holdings Inc. and its overweight position in Renewable Energy Group Inc. Shares of GameStop, a consumer electronics retail chain not held in the Fund, rebounded sharply in early 2021 when users of an Internet forum largely orchestrated a run up in the stock price in response to large short positions in the stock. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters, similarly rose sharply in the first half of 2021 through an orchestrated run-up by users of Internet forums in response to large short positions in the stock. Shares of Renewable Energy Group, a biofuel and renewable chemicals maker, fell amid efforts by the U.S. Environmental Protection Agency to grant smaller petroleum refineries waivers from federal mandates on increased biofuel use.
HOW WAS THE PORTFOLIO POSITIONED?
In accordance with its investment process, the portfolio managers take limited sector bets and construct the Portfolio so that stock selection is typically the primary driver of its relative performance versus the Benchmark. The portfolio managers employ a bottom-up approach to stock selection, using quantitative screening and the adviser’s proprietary analysis to construct a portfolio of companies that the portfolio managers believe are attractively valued and possess strong momentum. During the reporting period, the Portfolio was managed and positioned in accordance with this investment process.
2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Deckers Outdoor Corp. | 1.0 | % | |||||
2. | Tenet Healthcare Corp. | 0.9 | ||||||
3. | Arena Pharmaceuticals, Inc. | 0.9 | ||||||
4. | WESCO International, Inc. | 0.9 | ||||||
5. | IDT Corp., Class B | 0.8 | ||||||
6. | AdaptHealth Corp. | 0.7 | ||||||
7. | Super Micro Computer, Inc. | 0.7 | ||||||
8. | Herc Holdings, Inc. | 0.7 | ||||||
9. | ArcBest Corp. | 0.6 | ||||||
10. | Korn Ferry | 0.6 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Health Care | 19.0 | % | ||
Industrials | 15.3 | |||
Financials | 14.5 | |||
Information Technology | 11.3 | |||
Consumer Discretionary | 8.9 | |||
Real Estate | 5.1 | |||
Materials | 4.5 | |||
Communication Services | 3.9 | |||
Energy | 3.2 | |||
Consumer Staples | 2.6 | |||
Utilities | 1.8 | |||
Short-Term Investments | 9.9 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Small Cap Core Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS 1 SHARES | January 3, 1995 | 19.72 | % | 65.60 | % | 15.75 | % | 12.41 | % | |||||||||
CLASS 2 SHARES | April 24, 2009 | 19.55 | 65.13 | 15.43 | 12.11 |
* | Not annualized. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
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 Small Cap Core Portfolio and the Russell 2000 Index from June 30, 2011 to June 30, 2021. 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 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. 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. 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 | JUNE 30, 2021 |
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JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.3% | ||||||||
Aerospace & Defense — 0.6% |
| |||||||
AAR Corp. * | 15 | 566 | ||||||
Astronics Corp. * | 14 | 243 | ||||||
Ducommun, Inc. * | 4 | 213 | ||||||
Moog, Inc., Class A | 2 | 126 | ||||||
Triumph Group, Inc. * | 5 | 106 | ||||||
Vectrus, Inc. * | 1 | 33 | ||||||
|
| |||||||
1,287 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
Echo Global Logistics, Inc. * | 9 | 274 | ||||||
Forward Air Corp. | 2 | 197 | ||||||
Hub Group, Inc., Class A * | 14 | 950 | ||||||
|
| |||||||
1,421 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Alaska Air Group, Inc. * | 6 | 356 | ||||||
Allegiant Travel Co. * | 3 | 562 | ||||||
|
| |||||||
918 | ||||||||
|
| |||||||
Auto Components — 1.2% |
| |||||||
American Axle & Manufacturing Holdings, Inc. * | 41 | 422 | ||||||
Dana, Inc. | 48 | 1,141 | ||||||
Goodyear Tire & Rubber Co. (The) * | 31 | 534 | ||||||
Lear Corp. | 2 | 368 | ||||||
Patrick Industries, Inc. | 5 | 372 | ||||||
|
| |||||||
2,837 | ||||||||
|
| |||||||
Banks — 7.0% |
| |||||||
Ameris Bancorp | 5 | 245 | ||||||
Associated Banc-Corp. | 8 | 154 | ||||||
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 21 | 737 | ||||||
Bar Harbor Bankshares | 3 | 92 | ||||||
Business First Bancshares, Inc. | 4 | 99 | ||||||
Capital Bancorp, Inc. * | 2 | 33 | ||||||
Capstar Financial Holdings, Inc. | 4 | 74 | ||||||
Cathay General Bancorp | 4 | 142 | ||||||
Community Trust Bancorp, Inc. | 1 | 31 | ||||||
ConnectOne Bancorp, Inc. | 35 | 908 | ||||||
Customers Bancorp, Inc. * | 16 | 624 | ||||||
Enterprise Financial Services Corp. | 1 | 37 | ||||||
Financial Institutions, Inc. (a) | 8 | 246 | ||||||
First BanCorp (Puerto Rico) | 80 | 950 | ||||||
First Bank | 2 | 27 | ||||||
First Choice Bancorp | 1 | 24 | ||||||
First Community Bankshares, Inc. | 2 | 45 | ||||||
First Horizon Corp. | 58 | 995 | ||||||
First Internet Bancorp | 3 | 81 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued |
| |||||||
FNB Corp. | 33 | 412 | ||||||
Great Southern Bancorp, Inc. | 3 | 156 | ||||||
Hancock Whitney Corp. | 11 | 476 | ||||||
Hanmi Financial Corp. | 15 | 288 | ||||||
HBT Financial, Inc. | 5 | 91 | ||||||
Hilltop Holdings, Inc. | 12 | 448 | ||||||
Investors Bancorp, Inc. | 97 | 1,381 | ||||||
Metropolitan Bank Holding Corp. * | 2 | 102 | ||||||
Mid Penn Bancorp, Inc. | 1 | 36 | ||||||
OceanFirst Financial Corp. | 37 | 769 | ||||||
PacWest Bancorp | 11 | 450 | ||||||
Peapack-Gladstone Financial Corp. (a) | 3 | 106 | ||||||
Popular, Inc. (Puerto Rico) | 14 | 1,027 | ||||||
RBB Bancorp | 2 | 53 | ||||||
Sierra Bancorp | 1 | 32 | ||||||
Signature Bank | 5 | 1,154 | ||||||
SmartFinancial, Inc. | 5 | 113 | ||||||
Sterling Bancorp | 11 | 283 | ||||||
Synovus Financial Corp. | 10 | 443 | ||||||
Umpqua Holdings Corp. | 35 | 649 | ||||||
United Community Banks, Inc. | 8 | 253 | ||||||
Western Alliance Bancorp | 4 | 409 | ||||||
Wintrust Financial Corp. | 4 | 272 | ||||||
Zions Bancorp NA | 19 | 983 | ||||||
|
| |||||||
15,930 | ||||||||
|
| |||||||
Beverages — 0.1% |
| |||||||
Coca-Cola Consolidated, Inc. | — | (b) | 181 | |||||
|
| |||||||
Biotechnology — 9.6% |
| |||||||
Akebia Therapeutics, Inc. * | 155 | 589 | ||||||
Alector, Inc. * | 12 | 254 | ||||||
Allogene Therapeutics, Inc. * | 12 | 305 | ||||||
Amicus Therapeutics, Inc. * | 65 | 627 | ||||||
AnaptysBio, Inc. * | 32 | 817 | ||||||
Arena Pharmaceuticals, Inc. * | 34 | 2,293 | ||||||
Arrowhead Pharmaceuticals, Inc. * | 13 | 1,068 | ||||||
Atara Biotherapeutics, Inc. * | 2 | 34 | ||||||
Bluebird Bio, Inc. * | 1 | 27 | ||||||
Blueprint Medicines Corp. * | 5 | 457 | ||||||
Bolt Biotherapeutics, Inc. * | 8 | 117 | ||||||
Bridgebio Pharma, Inc. * (a) | 6 | 378 | ||||||
CareDx, Inc. * | 4 | 348 | ||||||
Catalyst Pharmaceuticals, Inc. * | 51 | 296 | ||||||
Chinook Therapeutics, Inc. * (a) | 16 | 223 | ||||||
Coherus Biosciences, Inc. * (a) | 16 | 220 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Biotechnology — continued | ||||||||
Decibel Therapeutics, Inc. * (a) | 22 | 188 | ||||||
Dicerna Pharmaceuticals, Inc. * | 18 | 683 | ||||||
Fate Therapeutics, Inc. * | 12 | 1,041 | ||||||
Frequency Therapeutics, Inc. * (a) | 50 | 497 | ||||||
Gritstone bio, Inc. * (a) | 3 | 31 | ||||||
Invitae Corp. * | 13 | 435 | ||||||
Jounce Therapeutics, Inc. * | 10 | 67 | ||||||
Kronos Bio, Inc. * (a) | 17 | 407 | ||||||
Kura Oncology, Inc. * | 2 | 31 | ||||||
Kymera Therapeutics, Inc. * | 15 | 713 | ||||||
MeiraGTx Holdings plc * (a) | 8 | 130 | ||||||
Molecular Templates, Inc. * (a) | 32 | 248 | ||||||
Mustang Bio, Inc. * | 81 | 270 | ||||||
Myriad Genetics, Inc. * | 29 | 899 | ||||||
Natera, Inc. * | 6 | 647 | ||||||
Novavax, Inc. * (a) | 3 | 594 | ||||||
PTC Therapeutics, Inc. * | 9 | 389 | ||||||
Radius Health, Inc. * | 1 | 24 | ||||||
REVOLUTION Medicines, Inc. * | 18 | 568 | ||||||
Sage Therapeutics, Inc. * | 5 | 295 | ||||||
Sarepta Therapeutics, Inc. * | 12 | 956 | ||||||
Spruce Biosciences, Inc. * (a) | 16 | 183 | ||||||
Sutro Biopharma, Inc. * | 3 | 54 | ||||||
TCR2 Therapeutics, Inc. * | 6 | 97 | ||||||
Translate Bio, Inc. * | 24 | 647 | ||||||
Travere Therapeutics, Inc. * | 33 | 483 | ||||||
Turning Point Therapeutics, Inc. * | 6 | 499 | ||||||
Vericel Corp. * | 8 | 425 | ||||||
Vir Biotechnology, Inc. * (a) | 16 | 756 | ||||||
Xencor, Inc. * | 41 | 1,397 | ||||||
Y-mAbs Therapeutics, Inc. * | 1 | 30 | ||||||
|
| |||||||
21,737 | ||||||||
|
| |||||||
Building Products — 1.6% |
| |||||||
Advanced Drainage Systems, Inc. | 2 | 268 | ||||||
Apogee Enterprises, Inc. | 9 | 375 | ||||||
Builders FirstSource, Inc. * (a) | 33 | 1,393 | ||||||
Cornerstone Building Brands, Inc. * | 19 | 340 | ||||||
Gibraltar Industries, Inc. * | 2 | 176 | ||||||
Masonite International Corp. * | 2 | 201 | ||||||
Quanex Building Products Corp. | 12 | 286 | ||||||
Resideo Technologies, Inc. * | 6 | 174 | ||||||
UFP Industries, Inc. | 8 | 565 | ||||||
|
| |||||||
3,778 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — 2.1% |
| |||||||
Artisan Partners Asset Management, Inc., Class A | 2 | 102 | ||||||
Blucora, Inc. * | 20 | 343 | ||||||
Brightsphere Investment Group, Inc. | 19 | 436 | ||||||
Cohen & Steers, Inc. | 2 | 131 | ||||||
Cowen, Inc., Class A (a) | 13 | 547 | ||||||
Donnelley Financial Solutions, Inc. * | 17 | 568 | ||||||
Federated Hermes, Inc. | 17 | 590 | ||||||
Focus Financial Partners, Inc., Class A * | 14 | 683 | ||||||
Piper Sandler Cos. | 2 | 285 | ||||||
Stifel Financial Corp. | 8 | 542 | ||||||
Virtus Investment Partners, Inc. | 2 | 500 | ||||||
|
| |||||||
4,727 | ||||||||
|
| |||||||
Chemicals — 2.1% |
| |||||||
Avient Corp. | 17 | 841 | ||||||
HB Fuller Co. | 11 | 668 | ||||||
Ingevity Corp. * | 7 | 594 | ||||||
Koppers Holdings, Inc. * | 8 | 272 | ||||||
Minerals Technologies, Inc. | 5 | 417 | ||||||
Orion Engineered Carbons SA (Germany) * | 13 | 245 | ||||||
PQ Group Holdings, Inc. | 7 | 112 | ||||||
Trinseo SA | 6 | 371 | ||||||
Tronox Holdings plc, Class A | 40 | 900 | ||||||
Zymergen, Inc. * (a) | 13 | 508 | ||||||
|
| |||||||
4,928 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.8% |
| |||||||
ABM Industries, Inc. | 28 | 1,251 | ||||||
ACCO Brands Corp. | 30 | 262 | ||||||
Brink’s Co. (The) (a) | 4 | 323 | ||||||
Herman Miller, Inc. | 11 | 504 | ||||||
HNI Corp. | 7 | 299 | ||||||
KAR Auction Services, Inc. * (a) | 7 | 125 | ||||||
Knoll, Inc. | 27 | 691 | ||||||
SP Plus Corp. * | 11 | 336 | ||||||
Steelcase, Inc., Class A | 26 | 394 | ||||||
Team, Inc. * | 6 | 40 | ||||||
|
| |||||||
4,225 | ||||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
Extreme Networks, Inc. * | 64 | 719 | ||||||
|
| |||||||
Construction & Engineering — 2.4% |
| |||||||
Argan, Inc. | 25 | 1,176 | ||||||
Comfort Systems USA, Inc. | 11 | 859 | ||||||
EMCOR Group, Inc. | 7 | 847 | ||||||
Great Lakes Dredge & Dock Corp. * | 35 | 506 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Construction & Engineering — continued |
| |||||||
MasTec, Inc. * | 13 | 1,346 | ||||||
Primoris Services Corp. | 16 | 471 | ||||||
Sterling Construction Co., Inc. * | 9 | 215 | ||||||
Tutor Perini Corp. * | 15 | 201 | ||||||
|
| |||||||
5,621 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Forterra, Inc. * | 2 | 49 | ||||||
US Concrete, Inc. * | 3 | 214 | ||||||
|
| |||||||
263 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
Enova International, Inc. * | 5 | 178 | ||||||
EZCORP, Inc., Class A * | 32 | 194 | ||||||
Green Dot Corp., Class A * | 9 | 440 | ||||||
Navient Corp. | 70 | 1,351 | ||||||
Nelnet, Inc., Class A | 6 | 414 | ||||||
Oportun Financial Corp. * | 8 | 162 | ||||||
PROG Holdings, Inc. | 15 | 736 | ||||||
|
| |||||||
3,475 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
Greif, Inc., Class A | 5 | 327 | ||||||
Myers Industries, Inc. | 5 | 101 | ||||||
Pactiv Evergreen, Inc. | 3 | 50 | ||||||
|
| |||||||
478 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
Coursera, Inc. * (a) | 16 | 632 | ||||||
WW International, Inc. * | 8 | 271 | ||||||
|
| |||||||
903 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
IDT Corp., Class B * | 55 | 2,041 | ||||||
Liberty Latin America Ltd., Class A (Chile) * | 24 | 334 | ||||||
Liberty Latin America Ltd., Class C (Chile) * | 22 | 308 | ||||||
Ooma, Inc. * | 14 | 256 | ||||||
|
| |||||||
2,939 | ||||||||
|
| |||||||
Electric Utilities — 0.7% |
| |||||||
ALLETE, Inc. | 6 | 406 | ||||||
IDACORP, Inc. | 3 | 244 | ||||||
Portland General Electric Co. | 10 | 463 | ||||||
Spark Energy, Inc., Class A (a) | 38 | 431 | ||||||
|
| |||||||
1,544 | ||||||||
|
| |||||||
Electrical Equipment — 1.6% |
| |||||||
Atkore, Inc. * | 20 | 1,410 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electrical Equipment — continued |
| |||||||
AZZ, Inc. | 9 | 445 | ||||||
Bloom Energy Corp., Class A * (a) | 22 | 580 | ||||||
Powell Industries, Inc. | 2 | 71 | ||||||
Sunrun, Inc. * (a) | 22 | 1,233 | ||||||
|
| |||||||
3,739 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.2% |
| |||||||
Advanced Energy Industries, Inc. | 6 | 699 | ||||||
Benchmark Electronics, Inc. | 35 | 982 | ||||||
Fabrinet (Thailand) * | 8 | 748 | ||||||
Itron, Inc. * | 2 | 190 | ||||||
Kimball Electronics, Inc. * | 3 | 61 | ||||||
Sanmina Corp. * | 27 | 1,056 | ||||||
ScanSource, Inc. * | 7 | 208 | ||||||
Vishay Intertechnology, Inc. | 28 | 640 | ||||||
Vishay Precision Group, Inc. * | 13 | 439 | ||||||
|
| |||||||
5,023 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.8% |
| |||||||
ChampionX Corp. * | 23 | 585 | ||||||
National Energy Services Reunited Corp. * | 10 | 140 | ||||||
NexTier Oilfield Solutions, Inc. * | 62 | 293 | ||||||
Oil States International, Inc. * (a) | 18 | 144 | ||||||
Patterson-UTI Energy, Inc. | 15 | 153 | ||||||
ProPetro Holding Corp. * | 7 | 63 | ||||||
Select Energy Services, Inc., Class A * | 52 | 311 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 22 | 215 | ||||||
|
| |||||||
1,904 | ||||||||
|
| |||||||
Entertainment — 1.1% |
| |||||||
AMC Entertainment Holdings, Inc., Class A * (a) | 13 | 760 | ||||||
Cinemark Holdings, Inc. * (a) | 26 | 562 | ||||||
IMAX Corp. * | 13 | 271 | ||||||
Lions Gate Entertainment Corp., Class A * | 46 | 945 | ||||||
|
| |||||||
2,538 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.2% |
| |||||||
Agree Realty Corp. | 1 | 92 | ||||||
Alexander & Baldwin, Inc. | 12 | 214 | ||||||
American Assets Trust, Inc. | 3 | 104 | ||||||
American Finance Trust, Inc. | 7 | 63 | ||||||
Armada Hoffler Properties, Inc. | 21 | 283 | ||||||
Broadstone Net Lease, Inc. | 14 | 323 | ||||||
CareTrust REIT, Inc. | 3 | 63 | ||||||
CatchMark Timber Trust, Inc., Class A | 10 | 118 | ||||||
Centerspace | 2 | 174 | ||||||
Chatham Lodging Trust * | 3 | 36 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
City Office REIT, Inc. | 32 | 400 | ||||||
Columbia Property Trust, Inc. | 3 | 49 | ||||||
Community Healthcare Trust, Inc. | 2 | 81 | ||||||
Cousins Properties, Inc. | 8 | 300 | ||||||
DiamondRock Hospitality Co. * | 20 | 197 | ||||||
DigitalBridge Group, Inc. * (a) | 61 | 485 | ||||||
Essential Properties Realty Trust, Inc. | 8 | 211 | ||||||
First Industrial Realty Trust, Inc. | 8 | 434 | ||||||
Four Corners Property Trust, Inc. | 12 | 342 | ||||||
Getty Realty Corp. | 2 | 50 | ||||||
Gladstone Commercial Corp. | 12 | 280 | ||||||
Global Medical REIT, Inc. (a) | 2 | 28 | ||||||
Global Net Lease, Inc. | 22 | 411 | ||||||
Healthcare Realty Trust, Inc. | 6 | 175 | ||||||
Highwoods Properties, Inc. | 1 | 54 | ||||||
Innovative Industrial Properties, Inc. (a) | 1 | 153 | ||||||
Kite Realty Group Trust | 16 | 350 | ||||||
National Storage Affiliates Trust | 10 | 495 | ||||||
New Senior Investment Group, Inc. | 40 | 351 | ||||||
Physicians Realty Trust | 9 | 164 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 8 | 150 | ||||||
Plymouth Industrial REIT, Inc. | 15 | 294 | ||||||
PotlatchDeltic Corp. | 16 | 824 | ||||||
QTS Realty Trust, Inc., Class A | 5 | 379 | ||||||
Retail Opportunity Investments Corp. | 16 | 279 | ||||||
Retail Properties of America, Inc., Class A | 34 | 385 | ||||||
Retail Value, Inc. | 5 | 114 | ||||||
Ryman Hospitality Properties, Inc. * | 1 | 71 | ||||||
Sabra Health Care REIT, Inc. | 18 | 322 | ||||||
Service Properties Trust | 5 | 60 | ||||||
SITE Centers Corp. | 12 | 175 | ||||||
STAG Industrial, Inc. | 24 | 902 | ||||||
Summit Hotel Properties, Inc. * | 6 | 51 | ||||||
Sunstone Hotel Investors, Inc. * | 44 | 548 | ||||||
UMH Properties, Inc. | 2 | 52 | ||||||
Urban Edge Properties | 8 | 147 | ||||||
Xenia Hotels & Resorts, Inc. * | 30 | 568 | ||||||
|
| |||||||
11,801 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
Andersons, Inc. (The) | 1 | 40 | ||||||
BJ’s Wholesale Club Holdings, Inc. * | 7 | 343 | ||||||
Performance Food Group Co. * | 15 | 703 | ||||||
Rite Aid Corp. * (a) | 45 | 730 | ||||||
|
| |||||||
1,816 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food Products — 0.8% |
| |||||||
Bunge Ltd. | 3 | 195 | ||||||
Darling Ingredients, Inc. * | 13 | 845 | ||||||
Sanderson Farms, Inc. | 4 | 695 | ||||||
Seneca Foods Corp., Class A * | 3 | 143 | ||||||
|
| |||||||
1,878 | ||||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
Chesapeake Utilities Corp. | 3 | 313 | ||||||
New Jersey Resources Corp. | 5 | 206 | ||||||
Northwest Natural Holding Co. | 3 | 152 | ||||||
Southwest Gas Holdings, Inc. | 6 | 371 | ||||||
Spire, Inc. | 4 | 318 | ||||||
|
| |||||||
1,360 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
Alphatec Holdings, Inc. * | 16 | 251 | ||||||
Apyx Medical Corp. * | 13 | 130 | ||||||
Cardiovascular Systems, Inc. * (a) | 14 | 614 | ||||||
Cutera, Inc. * (a) | 22 | 1,054 | ||||||
Heska Corp. * | 3 | 781 | ||||||
Inogen, Inc. * | 10 | 678 | ||||||
Intersect ENT, Inc. * | 5 | 91 | ||||||
Lantheus Holdings, Inc. * (a) | 5 | 149 | ||||||
Natus Medical, Inc. * | 10 | 247 | ||||||
NuVasive, Inc. * | 17 | 1,132 | ||||||
Ortho Clinical Diagnostics Holdings plc * | 22 | 470 | ||||||
Orthofix Medical, Inc. * | 20 | 790 | ||||||
Outset Medical, Inc. * | 4 | 205 | ||||||
SI-BONE, Inc. * | 15 | 481 | ||||||
|
| |||||||
7,073 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.7% |
| |||||||
AdaptHealth Corp. * | 63 | 1,730 | ||||||
AMN Healthcare Services, Inc. * | 8 | 737 | ||||||
Apollo Medical Holdings, Inc. * (a) | 9 | 590 | ||||||
Cross Country Healthcare, Inc. * | 13 | 213 | ||||||
Hanger, Inc. * | 11 | 288 | ||||||
LHC Group, Inc. * | 1 | 240 | ||||||
MEDNAX, Inc. * | 5 | 148 | ||||||
ModivCare, Inc. * | 5 | 867 | ||||||
National HealthCare Corp. | 4 | 273 | ||||||
Option Care Health, Inc. * | 7 | 142 | ||||||
Owens & Minor, Inc. | 15 | 626 | ||||||
Select Medical Holdings Corp. | 30 | 1,255 | ||||||
Surgery Partners, Inc. * (a) | 16 | 1,046 | ||||||
Tenet Healthcare Corp. * (a) | 35 | 2,338 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
Tivity Health, Inc. * (a) | 3 | 82 | ||||||
|
| |||||||
10,575 | ||||||||
|
| |||||||
Health Care Technology — 1.2% |
| |||||||
Allscripts Healthcare Solutions, Inc. * | 34 | 629 | ||||||
Inovalon Holdings, Inc., Class A * | 4 | 119 | ||||||
Inspire Medical Systems, Inc. * | 2 | 387 | ||||||
NextGen Healthcare, Inc. * (a) | 28 | 469 | ||||||
Omnicell, Inc. * | 2 | 257 | ||||||
Schrodinger, Inc. * | 13 | 961 | ||||||
|
| |||||||
2,822 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
Bloomin’ Brands, Inc. * | 26 | 695 | ||||||
Boyd Gaming Corp. * | 4 | 234 | ||||||
Brinker International, Inc. * | 11 | 656 | ||||||
Dine Brands Global, Inc. * (a) | 5 | 437 | ||||||
Marriott Vacations Worldwide Corp. * | 5 | 764 | ||||||
Penn National Gaming, Inc. * | 5 | 355 | ||||||
RCI Hospitality Holdings, Inc. (a) | 2 | 119 | ||||||
Scientific Games Corp. * | 6 | 441 | ||||||
|
| |||||||
3,701 | ||||||||
|
| |||||||
Household Durables — 1.4% |
| |||||||
Helen of Troy Ltd. * (a) | 2 | 342 | ||||||
Hooker Furniture Corp. | 9 | 322 | ||||||
Lifetime Brands, Inc. | 24 | 359 | ||||||
Purple Innovation, Inc. * | 8 | 201 | ||||||
Sonos, Inc. * | 16 | 571 | ||||||
Tupperware Brands Corp. * | 7 | 157 | ||||||
Universal Electronics, Inc. * | 8 | 369 | ||||||
Vizio Holding Corp., Class A * | 32 | 858 | ||||||
|
| |||||||
3,179 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
Central Garden & Pet Co., Class A * | 15 | 700 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.7% |
| |||||||
Clearway Energy, Inc. | 20 | 506 | ||||||
Clearway Energy, Inc., Class C | 18 | 477 | ||||||
Sunnova Energy International, Inc. * | 12 | 441 | ||||||
Vistra Corp. | 4 | 79 | ||||||
|
| |||||||
1,503 | ||||||||
|
| |||||||
Insurance — 1.0% |
| |||||||
American Equity Investment Life Holding Co. | 14 | 446 | ||||||
Argo Group International Holdings Ltd. | 7 | 373 | ||||||
BRP Group, Inc., Class A * | 3 | 77 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Insurance — continued |
| |||||||
CNO Financial Group, Inc. | 13 | 309 | ||||||
eHealth, Inc. * | 6 | 345 | ||||||
Heritage Insurance Holdings, Inc. | 2 | 16 | ||||||
Horace Mann Educators Corp. | 1 | 37 | ||||||
James River Group Holdings Ltd. | 2 | 75 | ||||||
Oscar Health, Inc., Class A * | 1 | 14 | ||||||
Selective Insurance Group, Inc. | 1 | 114 | ||||||
Stewart Information Services Corp. | 9 | 523 | ||||||
|
| |||||||
2,329 | ||||||||
|
| |||||||
Interactive Media & Services — 0.8% |
| |||||||
Cars.com, Inc. * | 20 | 289 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A * | 208 | 849 | ||||||
Yelp, Inc. * | 17 | 691 | ||||||
|
| |||||||
1,829 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.3% |
| |||||||
Overstock.com, Inc. * (a) | 2 | 221 | ||||||
Stitch Fix, Inc., Class A * | 4 | 211 | ||||||
ThredUp, Inc., Class A * (a) | 9 | 268 | ||||||
|
| |||||||
700 | ||||||||
|
| |||||||
IT Services — 2.0% |
| |||||||
BigCommerce Holdings, Inc., Series 1 * | 9 | 552 | ||||||
Contra Bmtechnologies * | 3 | 38 | ||||||
DigitalOcean Holdings, Inc. * | 13 | 717 | ||||||
Marathon Digital Holdings, Inc. * | 12 | 389 | ||||||
Maximus, Inc. | 11 | 950 | ||||||
TTEC Holdings, Inc. | 14 | 1,393 | ||||||
Unisys Corp. * | 23 | 577 | ||||||
|
| |||||||
4,616 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Adaptive Biotechnologies Corp. * | 4 | 176 | ||||||
Berkeley Lights, Inc. * | 8 | 345 | ||||||
Pacific Biosciences of California, Inc. * | 5 | 164 | ||||||
Personalis, Inc. * | 33 | 822 | ||||||
Quanterix Corp. * | 8 | 458 | ||||||
Seer, Inc. * (a) | 8 | 274 | ||||||
|
| |||||||
2,239 | ||||||||
|
| |||||||
Machinery — 1.4% |
| |||||||
Barnes Group, Inc. | 5 | 277 | ||||||
Columbus McKinnon Corp. | 9 | 415 | ||||||
Manitowoc Co., Inc. (The) * | 15 | 375 | ||||||
Meritor, Inc. * | 12 | 281 | ||||||
Mueller Industries, Inc. | 4 | 152 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Machinery — continued |
| |||||||
Park-Ohio Holdings Corp. | 2 | 58 | ||||||
REV Group, Inc. | 8 | 127 | ||||||
Terex Corp. | 30 | 1,442 | ||||||
Wabash National Corp. (a) | 5 | 82 | ||||||
|
| |||||||
3,209 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
Costamare, Inc. (Monaco) | 40 | 469 | ||||||
|
| |||||||
Media — 1.0% |
| |||||||
Fluent, Inc. * | 31 | 92 | ||||||
Gray Television, Inc. | 17 | 398 | ||||||
Meredith Corp. * | 11 | 478 | ||||||
Sinclair Broadcast Group, Inc., Class A | 13 | 429 | ||||||
TEGNA, Inc. | 52 | 965 | ||||||
|
| |||||||
2,362 | ||||||||
|
| |||||||
Metals & Mining — 1.5% |
| |||||||
Alcoa Corp. * | 15 | 552 | ||||||
Allegheny Technologies, Inc. * (a) | 19 | 390 | ||||||
Arconic Corp. * | 12 | 427 | ||||||
Cleveland-Cliffs, Inc. * (a) | 23 | 492 | ||||||
Commercial Metals Co. | 16 | 497 | ||||||
Kaiser Aluminum Corp. | 2 | 272 | ||||||
SunCoke Energy, Inc. | 50 | 356 | ||||||
United States Steel Corp. (a) | 4 | 91 | ||||||
Warrior Met Coal, Inc. | 16 | 279 | ||||||
Worthington Industries, Inc. | 1 | 43 | ||||||
|
| |||||||
3,399 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
Apollo Commercial Real Estate Finance, Inc. | 3 | 49 | ||||||
Ares Commercial Real Estate Corp. | 17 | 251 | ||||||
Blackstone Mortgage Trust, Inc., Class A (a) | 11 | 338 | ||||||
Brightspire Capital, Inc. | 5 | 45 | ||||||
Ellington Financial, Inc. | 16 | 314 | ||||||
Granite Point Mortgage Trust, Inc. | 4 | 55 | ||||||
Great Ajax Corp. | 1 | 16 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a) | 9 | 477 | ||||||
KKR Real Estate Finance Trust, Inc. | 20 | 426 | ||||||
Ladder Capital Corp. | 26 | 305 | ||||||
MFA Financial, Inc. | 11 | 48 | ||||||
PennyMac Mortgage Investment Trust | 27 | 560 | ||||||
Ready Capital Corp. | 5 | 76 | ||||||
Redwood Trust, Inc. | 48 | 577 | ||||||
TPG RE Finance Trust, Inc. | 16 | 219 | ||||||
|
| |||||||
3,756 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Multiline Retail — 0.5% |
| |||||||
Big Lots, Inc. | 7 | 429 | ||||||
Dillard’s, Inc., Class A (a) | 2 | 307 | ||||||
Macy’s, Inc. * | 28 | 524 | ||||||
|
| |||||||
1,260 | ||||||||
|
| |||||||
Multi-Utilities — 0.1% |
| |||||||
Black Hills Corp. | 4 | 230 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.7% |
| |||||||
Antero Resources Corp. * | 38 | 574 | ||||||
Arch Resources, Inc. * | 5 | 302 | ||||||
Berry Corp. (a) | 35 | 233 | ||||||
CNX Resources Corp. * | 10 | 138 | ||||||
CVR Energy, Inc. (a) | 9 | 162 | ||||||
Delek US Holdings, Inc. | 1 | 20 | ||||||
Green Plains, Inc. * | 11 | 370 | ||||||
Magnolia Oil & Gas Corp., Class A * (a) | 45 | 708 | ||||||
Matador Resources Co. | 10 | 356 | ||||||
Ovintiv, Inc. | 45 | 1,423 | ||||||
Par Pacific Holdings, Inc. * | 9 | 151 | ||||||
PDC Energy, Inc. | 16 | 747 | ||||||
Renewable Energy Group, Inc. * (a) | 3 | 162 | ||||||
REX American Resources Corp. * | 1 | 72 | ||||||
SFL Corp. Ltd. (Norway) | 14 | 106 | ||||||
Southwestern Energy Co. * | 99 | 561 | ||||||
|
| |||||||
6,085 | ||||||||
|
| |||||||
Paper & Forest Products — 1.0% |
| |||||||
Domtar Corp. * | 6 | 313 | ||||||
Glatfelter Corp. | 3 | 39 | ||||||
Louisiana-Pacific Corp. | 10 | 585 | ||||||
Neenah, Inc. | 3 | 140 | ||||||
Schweitzer-Mauduit International, Inc. | 23 | 925 | ||||||
Verso Corp., Class A | 13 | 230 | ||||||
|
| |||||||
2,232 | ||||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
Edgewell Personal Care Co. (a) | 15 | 636 | ||||||
elf Beauty, Inc. * | 19 | 505 | ||||||
Honest Co., Inc. (The) * (a) | 16 | 253 | ||||||
Medifast, Inc. | 2 | 453 | ||||||
|
| |||||||
1,847 | ||||||||
|
| |||||||
Pharmaceuticals — 1.3% |
| |||||||
Angion Biomedica Corp. * | 19 | 251 | ||||||
Arvinas, Inc. * | — | (b) | 31 | |||||
Cara Therapeutics, Inc. * | 7 | 101 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — continued |
| |||||||
Durect Corp. * (a) | 382 | 624 | ||||||
Endo International plc * | 118 | 552 | ||||||
Landos Biopharma, Inc. * | 26 | 296 | ||||||
Lannett Co., Inc. * (a) | 118 | 551 | ||||||
NGM Biopharmaceuticals, Inc. * | 16 | 321 | ||||||
Phibro Animal Health Corp., Class A | 4 | 124 | ||||||
Revance Therapeutics, Inc. * (a) | 2 | 65 | ||||||
Zogenix, Inc. * (a) | 10 | 171 | ||||||
|
| |||||||
3,087 | ||||||||
|
| |||||||
Professional Services — 2.3% |
| |||||||
Barrett Business Services, Inc. | 11 | 828 | ||||||
Heidrick & Struggles International, Inc. | 10 | 454 | ||||||
KBR, Inc. | 29 | 1,110 | ||||||
Kelly Services, Inc., Class A * | 5 | 117 | ||||||
Kforce, Inc. | 7 | 459 | ||||||
Korn Ferry | 20 | 1,474 | ||||||
TriNet Group, Inc. * | 6 | 442 | ||||||
TrueBlue, Inc. * | 16 | 455 | ||||||
|
| |||||||
5,339 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
Jones Lang LaSalle, Inc. * | 1 | 160 | ||||||
Realogy Holdings Corp. * | 44 | 805 | ||||||
RMR Group, Inc. (The), Class A | 2 | 58 | ||||||
|
| |||||||
1,023 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
ArcBest Corp. | 25 | 1,481 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.2% |
| |||||||
Alpha & Omega Semiconductor Ltd. * | 17 | 510 | ||||||
Ambarella, Inc. * | 3 | 267 | ||||||
Amkor Technology, Inc. | 28 | 672 | ||||||
Ichor Holdings Ltd. * | 9 | 463 | ||||||
PDF Solutions, Inc. * (a) | 7 | 118 | ||||||
Power Integrations, Inc. | 6 | 501 | ||||||
Rambus, Inc. * | 5 | 119 | ||||||
Semtech Corp. * | 7 | 461 | ||||||
SMART Global Holdings, Inc. * (a) | 14 | 648 | ||||||
SunPower Corp. * (a) | 23 | 683 | ||||||
Ultra Clean Holdings, Inc. * | 10 | 532 | ||||||
|
| |||||||
4,974 | ||||||||
|
| |||||||
Software — 4.5% |
| |||||||
8x8, Inc. * (a) | 2 | 56 | ||||||
ACI Worldwide, Inc. * | 2 | 82 | ||||||
Asana, Inc., Class A * (a) | 15 | 912 | ||||||
Avaya Holdings Corp. * (a) | 31 | 826 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — continued |
| |||||||
Blackbaud, Inc. * | 5 | 360 | ||||||
Blackline, Inc. * | 3 | 334 | ||||||
Cerence, Inc. * (a) | 8 | 832 | ||||||
Cornerstone OnDemand, Inc. * | 14 | 717 | ||||||
Digital Turbine, Inc. * | 8 | 623 | ||||||
eGain Corp. * (a) | 63 | 723 | ||||||
J2 Global, Inc. * (a) | 8 | 1,127 | ||||||
JFrog Ltd. (Israel) * (a) | 3 | 118 | ||||||
MicroStrategy, Inc., Class A * (a) | — | (b) | 166 | |||||
Model N, Inc. * (a) | 2 | 79 | ||||||
PagerDuty, Inc. * | 11 | 473 | ||||||
SailPoint Technologies Holding, Inc. * | 6 | 322 | ||||||
SPS Commerce, Inc. * | 1 | 50 | ||||||
Viant Technology, Inc., Class A * | 7 | 195 | ||||||
Workiva, Inc. * | 1 | 56 | ||||||
Xperi Holding Corp. | 58 | 1,296 | ||||||
Zuora, Inc., Class A * | 51 | 873 | ||||||
|
| |||||||
10,220 | ||||||||
|
| |||||||
Specialty Retail — 2.4% |
| |||||||
Aaron’s Co., Inc. (The) | 4 | 123 | ||||||
American Eagle Outfitters, Inc. | 14 | 518 | ||||||
Genesco, Inc. * | 8 | 503 | ||||||
Guess?, Inc. (a) | 13 | 338 | ||||||
Hibbett, Inc. * | 13 | 1,120 | ||||||
ODP Corp. (The) * | 3 | 166 | ||||||
Rent-A-Center, Inc. | 12 | 658 | ||||||
RH * (a) | 1 | 628 | ||||||
Signet Jewelers Ltd. * (a) | 14 | 1,091 | ||||||
Zumiez, Inc. * | 10 | 470 | ||||||
|
| |||||||
5,615 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.2% |
| |||||||
3D Systems Corp. * (a) | 4 | 168 | ||||||
Avid Technology, Inc. * | 13 | 505 | ||||||
Diebold Nixdorf, Inc. * | 32 | 410 | ||||||
Super Micro Computer, Inc. * | 48 | 1,674 | ||||||
|
| |||||||
2,757 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
Crocs, Inc. * | 3 | 291 | ||||||
Deckers Outdoor Corp. * | 7 | 2,525 | ||||||
G-III Apparel Group Ltd. * | 3 | 105 | ||||||
Kontoor Brands, Inc. | 8 | 446 | ||||||
Movado Group, Inc. | 10 | 302 | ||||||
PLBY Group, Inc. * (a) | 9 | 354 | ||||||
|
| |||||||
4,023 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Thrifts & Mortgage Finance — 2.6% |
| |||||||
Essent Group Ltd. | 19 | 863 | ||||||
Flagstar Bancorp, Inc. | 20 | 854 | ||||||
FS Bancorp, Inc. | 1 | 57 | ||||||
HomeStreet, Inc. | 4 | 171 | ||||||
Kearny Financial Corp. | 15 | 174 | ||||||
Luther Burbank Corp. | 5 | 64 | ||||||
MGIC Investment Corp. | 24 | 328 | ||||||
Mr. Cooper Group, Inc. * | 19 | 615 | ||||||
NMI Holdings, Inc., Class A * | 11 | 250 | ||||||
Provident Bancorp, Inc. | 12 | 188 | ||||||
Provident Financial Services, Inc. | 35 | 806 | ||||||
Radian Group, Inc. | 29 | 641 | ||||||
Walker & Dunlop, Inc. | 10 | 1,053 | ||||||
|
| |||||||
6,064 | ||||||||
|
| |||||||
Trading Companies & Distributors — 3.0% |
| |||||||
Applied Industrial Technologies, Inc. | 3 | 264 | ||||||
Beacon Roofing Supply, Inc. * | 14 | 740 | ||||||
Boise Cascade Co. | 4 | 245 | ||||||
CAI International, Inc. | 5 | 263 | ||||||
GMS, Inc. * | 18 | 881 | ||||||
Herc Holdings, Inc. * | 15 | 1,636 | ||||||
MRC Global, Inc. * | 8 | 72 | ||||||
NOW, Inc. * | 42 | 399 | ||||||
Veritiv Corp. * | 4 | 258 | ||||||
WESCO International, Inc. * | 21 | 2,191 | ||||||
|
| |||||||
6,949 | ||||||||
|
| |||||||
Total Common Stocks |
| 225,617 | ||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (c) | ||||||||
Biotechnology — 0.0% (c) | ||||||||
Contra Aduro Biotech I * ‡ | 21 | — | (b) | |||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 10.7% | ||||||||
Investment Companies — 1.7% | ||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (d) (e) | 3,889 | 3,889 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 9.0% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (d) (e) | 18,696 | 18,696 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (d) (e) | 2,025 | 2,025 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 20,721 | ||||||
|
| |||||||
Total Short-Term Investments |
| 24,610 | ||||||
|
| |||||||
Total Investments — 109.0% |
| 250,227 | ||||||
Liabilities in Excess of |
| (20,647 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 229,580 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations | ||
REIT | Real Estate Investment Trust | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $20,237. | |
(b) | Amount rounds to less than one thousand. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Russell 2000 E-Mini Index | 29 | 09/2021 | USD | 3,344 | (15 | ) | ||||||||||||||
|
|
Abbreviations | ||
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 225,617 | ||
Investments in affiliates, at value | 3,889 | |||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 20,721 | |||
Cash | 1 | |||
Deposits at broker for futures contracts | 317 | |||
Receivables: | ||||
Investment securities sold | 2 | |||
Portfolio shares sold | 172 | |||
Dividends from non-affiliates | 148 | |||
Dividends from affiliates | — | (a) | ||
Securities lending income (See Note 2.B.) | 4 | |||
Variation margin on futures contracts | 2 | |||
|
| |||
Total Assets | 250,873 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Collateral received on securities loaned (See Note 2.B.) | 20,721 | |||
Portfolio shares redeemed | 358 | |||
Accrued liabilities: | ||||
Investment advisory fees | 123 | |||
Administration fees | 14 | |||
Distribution fees | — | (a) | ||
Custodian and accounting fees | 13 | |||
Trustees’ and Chief Compliance Officer’s fees | 2 | |||
Other | 62 | |||
|
| |||
Total Liabilities | 21,293 | |||
|
| |||
Net Assets | $ | 229,580 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 141,142 | ||
Total distributable earnings (loss) | 88,438 | |||
|
| |||
Total Net Assets | $ | 229,580 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 227,902 | ||
Class 2 | 1,678 | |||
|
| |||
Total | $ | 229,580 | ||
|
| |||
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | ||||
Class 1 | 8,138 | |||
Class 2 | 60 | |||
Net Asset Value (b): | ||||
Class 1 — Offering and redemption price per share | $ | 28.01 | ||
Class 2 — Offering and redemption price per share | 27.71 | |||
|
| |||
Cost of investments in non-affiliates | $ | 158,969 | ||
Cost of investments in affiliates | 3,889 | |||
Investment securities on loan, at value (See Note 2.B.) | 20,237 | |||
Cost of investment of cash collateral (See Note 2.B.) | 20,723 |
(a) | Amount rounds to less than one thousand. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
(Amounts in thousands)
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 895 | ||
Dividend income from affiliates | — | (a) | ||
Non-cash dividend income from non-affiliates | 67 | |||
Income from securities lending (net) (See Note 2.B.) | 30 | |||
|
| |||
Total investment income | 992 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 724 | |||
Administration fees | 84 | |||
Distribution fees: | ||||
Class 2 | 2 | |||
Custodian and accounting fees | 28 | |||
Interest expense to affiliates | — | (a) | ||
Professional fees | 29 | |||
Trustees’ and Chief Compliance Officer’s fees | 14 | |||
Printing and mailing costs | 17 | |||
Transfer agency fees (See Note 2.F.) | 4 | |||
Other | 8 | |||
|
| |||
Total expenses | 910 | |||
|
| |||
Less fees waived | (1 | ) | ||
|
| |||
Net expenses | 909 | |||
|
| |||
Net investment income (loss) | 83 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 24,739 | |||
Futures contracts | 701 | |||
|
| |||
Net realized gain (loss) | 25,440 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 13,498 | |||
Investments in affiliates | (1 | ) | ||
Futures contracts | (15 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | 13,482 | |||
|
| |||
Net realized/unrealized gains (losses) | 38,922 | |||
|
| |||
Change in net assets resulting from operations | $ | 39,005 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 83 | $ | 1,277 | ||||
Net realized gain (loss) | 25,440 | 3,058 | ||||||
Change in net unrealized appreciation/depreciation | 13,482 | 19,652 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 39,005 | 23,987 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | (6,622 | ) | (12,432 | ) | ||||
Class 2 | (45 | ) | (89 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (6,667 | ) | (12,521 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (5,697 | ) | (8,855 | ) | ||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 26,641 | 2,611 | ||||||
Beginning of period | 202,939 | 200,328 | ||||||
|
|
|
| |||||
End of period | $ | 229,580 | $ | 202,939 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 16,671 | $ | 20,155 | ||||
Distributions reinvested | 6,622 | 12,432 | ||||||
Cost of shares redeemed | (28,984 | ) | (41,101 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | (5,691 | ) | (8,514 | ) | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | 270 | 409 | ||||||
Distributions reinvested | 45 | 89 | ||||||
Cost of shares redeemed | (321 | ) | (839 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | (6 | ) | (341 | ) | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (5,697 | ) | $ | (8,855 | ) | ||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 600 | 1,135 | ||||||
Reinvested | 240 | 735 | ||||||
Redeemed | (1,059 | ) | (2,131 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (219 | ) | (261 | ) | ||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 9 | 25 | ||||||
Reinvested | 2 | 5 | ||||||
Redeemed | (12 | ) | (47 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (1 | ) | (17 | ) | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | $ | 24.11 | $ | 0.01 | $ | 4.73 | $ | 4.74 | $ | (0.14 | ) | $ | (0.70 | ) | $ | (0.84 | ) | |||||||||||
Year Ended December 31, 2020 | 23.04 | 0.15 | 2.38 | 2.53 | (0.19 | ) | (1.27 | ) | (1.46 | ) | ||||||||||||||||||
Year Ended December 31, 2019 | 21.10 | 0.15 | 4.69 | 4.84 | (0.10 | ) | (2.80 | ) | (2.90 | ) | ||||||||||||||||||
Year Ended December 31, 2018 | 25.64 | 0.12 | (2.85 | ) | (2.73 | ) | (0.10 | ) | (1.71 | ) | (1.81 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | 23.85 | (0.03 | ) | 4.67 | 4.64 | (0.08 | ) | (0.70 | ) | (0.78 | ) | |||||||||||||||||
Year Ended December 31, 2020 | 22.79 | 0.09 | 2.37 | 2.46 | (0.13 | ) | (1.27 | ) | (1.40 | ) | ||||||||||||||||||
Year Ended December 31, 2019 | 20.91 | 0.09 | 4.63 | 4.72 | (0.04 | ) | (2.80 | ) | (2.84 | ) | ||||||||||||||||||
Year Ended December 31, 2018 | 25.41 | 0.05 | (2.82 | ) | (2.77 | ) | (0.02 | ) | (1.71 | ) | (1.73 | ) | ||||||||||||||||
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 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(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) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d)(e) | Net assets, end of period (000’s) | Net expenses (f) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 28.01 | 19.72 | % | $ | 227,902 | 0.81 | % | 0.08 | % | 0.81 | % | 47 | % | |||||||||||||
24.11 | 13.69 | 201,489 | 0.84 | 0.76 | 0.84 | 95 | ||||||||||||||||||||
23.04 | 24.58 | 198,542 | 0.83 | 0.66 | 0.84 | 83 | ||||||||||||||||||||
21.10 | (11.93 | ) | 153,429 | 0.82 | 0.47 | 0.83 | 59 | |||||||||||||||||||
25.64 | 15.23 | 189,186 | 0.83 | 0.40 | 0.83 | 51 | ||||||||||||||||||||
22.49 | 20.21 | 161,501 | 0.87 | 0.46 | 0.87 | 55 | ||||||||||||||||||||
27.71 | 19.50 | 1,678 | 1.10 | (0.20 | ) | 1.10 | 47 | |||||||||||||||||||
23.85 | 13.38 | 1,450 | 1.12 | 0.46 | 1.12 | 95 | ||||||||||||||||||||
22.79 | 24.20 | 1,786 | 1.11 | 0.39 | 1.11 | 83 | ||||||||||||||||||||
20.91 | (12.15 | ) | 1,031 | 1.09 | 0.20 | 1.10 | 59 | |||||||||||||||||||
25.41 | 14.93 | 1,111 | 1.09 | 0.10 | 1.10 | 51 | ||||||||||||||||||||
22.30 | 19.88 | 1,570 | 1.12 | 0.20 | 1.13 | 55 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
AS OF JUNE 30, 2021 (Unaudited)
(Dollar values in thousands)
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 | Diversification Classification | |||
JPMorgan Insurance Trust 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 (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | 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 | ||||||||||||||||
Common Stocks | $ | 225,617 | $ | — | $ | — | $ | 225,617 | ||||||||
Rights | — | — | — | (a) | — | (a) | ||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 3,889 | — | — | 3,889 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 20,721 | — | — | 20,721 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 24,610 | — | — | 24,610 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 250,227 | $ | — | $ | — | (a) | $ | 250,227 | |||||||
|
|
|
|
|
|
|
| |||||||||
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Futures Contracts | $ | (15 | ) | $ | — | $ | — | $ | (15 | ) | ||||||
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(a) | Amount rounds to less than one thousand. |
B. Securities Lending — The Portfolio is authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Portfolio retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 19 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Portfolio as of June 30, 2021.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
$ | 20,237 | $ | (20,237 | ) | $ | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the six months ended June 30, 2021, JPMIM waived fees associated with the Portfolio’s investment in the JPMorgan U.S. Government Money Market Fund as follows:
$ | 1 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds, which are advised by the Adviser. 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 such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the six months ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds Sales | Net (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | $ | 8,498 | $ | 47,000 | $ | 36,800 | $ | (1 | )* | $ | (1 | ) | $ | 18,696 | 18,696 | $ | 9 | * | $ | — | ||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 6,291 | 40,605 | 44,871 | — | — | 2,025 | 2,025 | — | *(c) | — | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (a) (b) | 3,240 | 49,609 | 48,960 | — | — | 3,889 | 3,889 | — | (c) | — | ||||||||||||||||||||||||||
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Total | $ | 18,029 | $ | 137,214 | $ | 130,631 | $ | (1 | ) | $ | (1 | ) | $ | 24,610 | $ | 9 | $ | — | ||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of June 30, 2021. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
D. Futures Contracts — The Portfolio used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Portfolio also purchased 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 futures contracts 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
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expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, 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 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).
The table below discloses the volume of the Portfolio’s futures contracts activity during the six months ended June 30, 2021:
Futures Contracts — Equity: | ||||
Average Notional Balance Long | $ | 4,058 | ||
Ending Notional Balance Long | 3,344 |
E. 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.
F. Allocation of Income and Expenses — Expenses directly attributable to the Portfolio are charged directly to the Portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the applicable portfolios. 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.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Portfolio for the six months ended June 30, 2021 are as follows:
Class 1 | Class 2 | Total | ||||||||
Transfer agency fees | $4 | $ | — | (a) | $ | 4 |
(a) | Amount rounds to less than one thousand. |
G. 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 (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 June 30, 2021, no liability for Federal 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.
H. Distributions to Shareholders — Distributions from net investment income, if any, 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.
I. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Portfolio’s financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Portfolio and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.65% of the Portfolio’s average daily net assets.
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 0.075% of the first $10 billion of the Portfolio’s average daily net assets, plus 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Portfolio’s average daily net assets in excess of $25 billion. For the six months ended June 30, 2021, the effective annualized rate was 0.075% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
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 Portfolio’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 pursuant to Rule 12b-1 under the 1940 Act. Class 1 Shares of the Portfolio do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay, with respect to the applicable share classes, 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.
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, expenses related to trustee elections 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 six months ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least April 30, 2022.
For the six months ended June 30, 2021, the Portfolio’s service providers did not waive fees and/or reimburse expenses for the Portfolio.
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral. None of these parties expect the Portfolio to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the six months ended June 30, 2021 was $1.
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.
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The Board designated and appointed a Chief Compliance Officer to the Portfolio pursuant to Rule 38a-1 under the 1940 Act. The Portfolio, along with 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 six months ended June 30, 2021, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were 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 LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended June 30, 2021, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 102,334 | $ | 115,181 |
During the six months ended June 30, 2021, 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 June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 183,581 | $ | 72,456 | $ | 5,825 | $ | 66,631 |
At December 31, 2020, 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 Portfolio had no borrowings outstanding from another fund during the six months ended June 30, 2021.
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 1, 2021.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00%, which has increased to 1.25% pursuant to the amendment referenced below, 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 10, 2021, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.
The Portfolio did not utilize the Credit Facility during the six months ended June 30, 2021.
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 brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2021, the Portfolio had three individual shareholder and/or non-affiliated omnibus accounts, which owned 65.3% of the Portfolio’s outstanding shares.
Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
The Portfolio invests in companies with relatively small market capitalizations. Investments in companies with relatively small market capitalizations may involve greater risk than is usually associated with stocks of larger companies. These securities may have limited marketability and may be subject to more abrupt or erratic movements in price than securities of companies with larger capitalizations.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Portfolio’s loans, notes, derivatives and other instruments or investments comprising some or all of the Portfolio’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Portfolio is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Portfolio’s investments, increase the Portfolio’s volatility, exacerbate other pre-existing political, social and economic risks to the Portfolio and negatively impact broad segments of businesses and populations. The Portfolio’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Portfolio invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Portfolio’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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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, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
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 titled “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 January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,197.20 | $ | 4.41 | 0.81 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.78 | 4.06 | 0.81 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,195.00 | 5.99 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.34 | 5.51 | 1.10 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Portfolio has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Portfolio’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Portfolio. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Portfolio’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for
classifying the investments of the Portfolio into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether the Portfolio invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for the Portfolio (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the J.P. Morgan Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the Portfolio invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Portfolio liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of the Portfolio’s investments; and (2) perform additional stress testing. The Report noted that the Portfolio was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Portfolio’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Portfolio during the Program Reporting Period.
26 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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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 as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Portfolio’s quarterly holdings can be found by visiting 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 prospectuses 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | SAN-JPMITSCCP-621 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2021 (Unaudited)
JPMorgan Insurance Trust U.S. Equity Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
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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JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 1 |
August 4, 2021 (Unaudited)
Dear Shareholders,
The year 2021 has brought a partial reopening of the social and economic spheres and an extended rally in equity markets bolstered by federal relief and recovery efforts and surging consumer spending and corporate earnings.
“As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a strong performance over the six months ended June 30, 2021. The S&P 500 Index returned 16%; the Russell 1000 returned 15.57%; the Russell Mid Cap Index returned 16.65% and the Russell 2000 Index returned 17.24%. Investors who remained fully invested over the period stood to benefit greatly from performance of equity markets in the U.S. and globally.
Mass vaccinations and the rebound in economic growth at the global, and certain national and local levels have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic
activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve (the “Fed”). While the Fed has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
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JPMorgan Insurance Trust U.S. Equity Portfolio
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 14.73% | |||
S&P 500 Index | 15.25% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 149,083 |
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?
Overall, U.S. and emerging markets equity led a global rally in stocks on the back of continued bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Within U.S. equity markets, small cap and mid cap stocks generally outperformed large cap stocks and value stocks generally outperformed growth stocks for the six months ended June 30, 2021.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares underperformed the S&P 500 Index (the “Benchmark”) for the six months ended June 30, 2021. The Portfolio’s security selection in the utilities sector and
its underweight position in the energy sector were leading detractors from performance relative to the Benchmark, while the Portfolio’s security selection in both semiconductors & hardware and pharmaceutical/medical technology sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Leidos Holdings Inc. and Mastercard Inc., and its underweight position in Nvidia Inc. Shares of Leidos Holdings, a provider of engineering and technology to the aerospace and defense sectors, fell after the company reported lower-than-expected revenue for the fourth quarter of 2020. Shares of Mastercard, a credit card and payments company, underperformed amid investor concerns that the pandemic would limit consumer spending on travel in 2021. Shares of Nvidia, a semiconductor maker, rose amid consecutive quarters of better-than-expected earnings and revenue.
Leading individual contributors to relative performance included the Portfolio’s overweight positions in NXP Semiconductors Inc., Alphabet Inc. and Eli Lilly & Co. Shares of NXP Semiconductors, a semiconductor maker, rose amid a surge in global demand for semiconductors in 2021. Shares of Alphabet, parent company of Google Inc., rose on continued growth in earnings and revenue throughout the period. Shares of Eli Lilly, a pharmaceuticals maker, rose after the U.S. Food and Drug Administration granted a Breakthrough Therapy designation for company’s experimental drug to treat Alzheimer’s disease.
HOW WAS THE PORTFOLIO POSITIONED?
The portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine what the portfolio managers believed to be each company’s 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 overweight positions relative to the Benchmark were in the big banks & brokers and utilities sectors and its largest underweight positions were in the software & services sector and the telecommunications sector.
2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 7.0 | % | |||||
2. | Apple, Inc. | 5.4 | ||||||
3. | Amazon.com, Inc. | 5.2 | ||||||
4. | Alphabet, Inc., Class A | 4.3 | ||||||
5. | Mastercard, Inc., Class A | 4.0 | ||||||
6. | Analog Devices, Inc. | 2.7 | ||||||
7. | Eaton Corp. plc | �� | 2.4 | |||||
8. | Norfolk Southern Corp. | 2.3 | ||||||
9. | Coca-Cola Co. (The) | 2.2 | ||||||
10. | Prologis, Inc. | 2.0 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 27.4 | % | ||
Consumer Discretionary | 14.7 | |||
Health Care | 11.8 | |||
Financials | 11.0 | |||
Industrials | 10.6 | |||
Communication Services | 10.1 | |||
Consumer Staples | 3.4 | |||
Utilities | 3.4 | |||
Materials | 2.9 | |||
Real Estate | 2.6 | |||
Energy | 1.3 | |||
Short-Term Investments | 0.8 |
* | 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. |
** | “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. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
CLASS 1 SHARES | March 30, 1995 | 14.73 | % | 42.84 | % | 19.22 | % | 15.38 | % | |||||||||
CLASS 2 SHARES | August 16, 2006 | 14.58 | 42.50 | 18.92 | 15.09 |
* | Not annualized. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
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 and the S&P 500 Index from June 30, 2011 to June 30, 2021. 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. 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. 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 | JUNE 30, 2021 |
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JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.5% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
Northrop Grumman Corp. | 4 | 1,395 | ||||||
Raytheon Technologies Corp. | 7 | 604 | ||||||
|
| |||||||
1,999 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.4% | ||||||||
FedEx Corp. | 1 | 421 | ||||||
United Parcel Service, Inc., Class B | 1 | 239 | ||||||
|
| |||||||
660 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
Southwest Airlines Co. * | 2 | 110 | ||||||
|
| |||||||
Automobiles — 1.7% | ||||||||
Tesla, Inc. * | 4 | 2,558 | ||||||
|
| |||||||
Banks — 5.6% | ||||||||
Bank of America Corp. | 12 | 486 | ||||||
SVB Financial Group * | 1 | 715 | ||||||
Truist Financial Corp. | 49 | 2,717 | ||||||
US Bancorp | 27 | 1,550 | ||||||
Wells Fargo & Co. | 64 | 2,884 | ||||||
|
| |||||||
8,352 | ||||||||
|
| |||||||
Beverages — 2.4% | ||||||||
Coca-Cola Co. (The) | 60 | 3,259 | ||||||
Constellation Brands, Inc., Class A | 2 | 352 | ||||||
|
| |||||||
3,611 | ||||||||
|
| |||||||
Biotechnology — 3.6% | ||||||||
AbbVie, Inc. | 26 | 2,921 | ||||||
Biogen, Inc. * | 3 | 1,115 | ||||||
BioMarin Pharmaceutical, Inc. * | 1 | 109 | ||||||
Regeneron Pharmaceuticals, Inc. * | 2 | 929 | ||||||
Vertex Pharmaceuticals, Inc. * | 1 | 227 | ||||||
|
| |||||||
5,301 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
Trane Technologies plc | 3 | 572 | ||||||
|
| |||||||
Capital Markets — 3.8% | ||||||||
Ameriprise Financial, Inc. | 4 | 1,073 | ||||||
Charles Schwab Corp. (The) | 4 | 293 | ||||||
Morgan Stanley | 26 | 2,416 | ||||||
S&P Global, Inc. | 3 | 1,421 | ||||||
State Street Corp. | 5 | 432 | ||||||
|
| |||||||
5,635 | ||||||||
|
| |||||||
Chemicals — 2.5% |
| |||||||
DuPont de Nemours, Inc. | 3 | 211 | ||||||
Eastman Chemical Co. | 13 | 1,500 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued | ||||||||
Linde plc (United Kingdom) | 2 | 559 | ||||||
PPG Industries, Inc. | 9 | 1,462 | ||||||
|
| |||||||
3,732 | ||||||||
|
| |||||||
Consumer Finance — 0.4% | ||||||||
Capital One Financial Corp. | 4 | 542 | ||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
Crown Holdings, Inc. | 6 | 591 | ||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
Voya Financial, Inc. | 2 | 113 | ||||||
|
| |||||||
Electric Utilities — 3.2% | ||||||||
NextEra Energy, Inc. | 39 | 2,838 | ||||||
Xcel Energy, Inc. | 30 | 1,960 | ||||||
|
| |||||||
4,798 | ||||||||
|
| |||||||
Electrical Equipment — 2.4% | ||||||||
AMETEK, Inc. | 1 | 128 | ||||||
Eaton Corp. plc | 24 | 3,521 | ||||||
|
| |||||||
3,649 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Amphenol Corp., Class A | 2 | 119 | ||||||
|
| |||||||
Entertainment — 0.4% | ||||||||
Netflix, Inc. * | 1 | 574 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
Prologis, Inc. | 26 | 3,050 | ||||||
SBA Communications Corp. | 1 | 256 | ||||||
Sun Communities, Inc. | 2 | 333 | ||||||
Ventas, Inc. | 4 | 230 | ||||||
|
| |||||||
3,869 | ||||||||
|
| |||||||
Food Products — 0.2% | ||||||||
Mondelez International, Inc., Class A | 4 | 255 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% | ||||||||
Boston Scientific Corp. * | 43 | 1,855 | ||||||
Intuitive Surgical, Inc. * | 1 | 968 | ||||||
Medtronic plc | 4 | 546 | ||||||
Zimmer Biomet Holdings, Inc. | 2 | 392 | ||||||
|
| |||||||
3,761 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.1% | ||||||||
Centene Corp. * | 6 | 402 | ||||||
Cigna Corp. | 9 | 2,143 | ||||||
UnitedHealth Group, Inc. | 1 | 550 | ||||||
|
| |||||||
3,095 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Hotels, Restaurants & Leisure — 3.6% | ||||||||
Booking Holdings, Inc. * | — | (a) | 289 | |||||
Hilton Worldwide Holdings, Inc. * | 1 | 73 | ||||||
Marriott International, Inc., Class A * | 12 | 1,613 | ||||||
McDonald’s Corp. | 10 | 2,262 | ||||||
Royal Caribbean Cruises Ltd. * | 1 | 67 | ||||||
Yum! Brands, Inc. | 10 | 1,124 | ||||||
|
| |||||||
5,428 | ||||||||
|
| |||||||
Household Durables — 0.2% | ||||||||
KB Home | 3 | 113 | ||||||
Toll Brothers, Inc. | 2 | 127 | ||||||
|
| |||||||
240 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
Procter & Gamble Co. (The) | 6 | 807 | ||||||
|
| |||||||
Insurance — 1.2% | ||||||||
Chubb Ltd. | 3 | 457 | ||||||
Hartford Financial Services Group, Inc. (The) | 2 | 135 | ||||||
Progressive Corp. (The) | 12 | 1,170 | ||||||
|
| |||||||
1,762 | ||||||||
|
| |||||||
Interactive Media & Services — 8.2% | ||||||||
Alphabet, Inc., Class A * | 3 | 6,447 | ||||||
Alphabet, Inc., Class C * | 1 | 2,769 | ||||||
Facebook, Inc., Class A * | 8 | 2,855 | ||||||
ZoomInfo Technologies, Inc., Class A * | 3 | 150 | ||||||
|
| |||||||
12,221 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.2% | ||||||||
Amazon.com, Inc. * | 2 | 7,730 | ||||||
|
| |||||||
IT Services — 5.7% | ||||||||
Affirm Holdings, Inc. * (b) | 7 | 456 | ||||||
FleetCor Technologies, Inc. * | 5 | 1,381 | ||||||
Mastercard, Inc., Class A | 16 | 5,985 | ||||||
Shopify, Inc., Class A (Canada) * | 1 | 732 | ||||||
|
| |||||||
8,554 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% | ||||||||
Thermo Fisher Scientific, Inc. | 2 | 777 | ||||||
|
| |||||||
Machinery — 1.9% | ||||||||
Deere & Co. | 4 | 1,275 | ||||||
Ingersoll Rand, Inc. * | 11 | 517 | ||||||
Stanley Black & Decker, Inc. | 5 | 1,063 | ||||||
|
| |||||||
2,855 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
Charter Communications, Inc., Class A * | 2 | 1,281 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Media — continued | ||||||||
Comcast Corp., Class A | 10 | 580 | ||||||
|
| |||||||
1,861 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% | ||||||||
CenterPoint Energy, Inc. | 5 | 117 | ||||||
Sempra Energy | 2 | 214 | ||||||
|
| |||||||
331 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.4% | ||||||||
Chevron Corp. | 3 | 316 | ||||||
ConocoPhillips | 10 | 619 | ||||||
Diamondback Energy, Inc. | 3 | 308 | ||||||
Pioneer Natural Resources Co. | 3 | 555 | ||||||
TC Energy Corp. (Canada) | 4 | 217 | ||||||
|
| |||||||
2,015 | ||||||||
|
| |||||||
Personal Products — 0.2% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 1 | 260 | ||||||
|
| |||||||
Pharmaceuticals — 3.1% | ||||||||
Bristol-Myers Squibb Co. | 33 | 2,183 | ||||||
Elanco Animal Health, Inc. * | 2 | 84 | ||||||
Eli Lilly & Co. | 8 | 1,769 | ||||||
Johnson & Johnson | 2 | 305 | ||||||
Merck & Co., Inc. | 3 | 214 | ||||||
Organon & Co. * | 3 | 87 | ||||||
|
| |||||||
4,642 | ||||||||
|
| |||||||
Professional Services — 1.3% | ||||||||
Booz Allen Hamilton Holding Corp. | 2 | 129 | ||||||
IHS Markit Ltd. | 1 | 96 | ||||||
Leidos Holdings, Inc. | 17 | 1,719 | ||||||
|
| |||||||
1,944 | ||||||||
|
| |||||||
Road & Rail — 2.7% | ||||||||
Lyft, Inc., Class A * | 8 | 483 | ||||||
Norfolk Southern Corp. | 13 | 3,477 | ||||||
Union Pacific Corp. | 1 | 121 | ||||||
|
| |||||||
4,081 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.4% |
| |||||||
Advanced Micro Devices, Inc. * | 18 | 1,695 | ||||||
Analog Devices, Inc. | 23 | 3,996 | ||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 2 | 1,114 | ||||||
Lam Research Corp. | 2 | 1,206 | ||||||
NVIDIA Corp. | 1 | 666 | ||||||
NXP Semiconductors NV (China) | 12 | 2,389 | ||||||
|
| |||||||
11,066 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — 8.6% | ||||||||
Ceridian HCM Holding, Inc. * | 10 | 922 | ||||||
Intuit, Inc. | 2 | 744 | ||||||
Microsoft Corp. | 38 | 10,424 | ||||||
Oracle Corp. | 1 | 81 | ||||||
salesforce.com, Inc. * | 1 | 196 | ||||||
Workday, Inc., Class A * | 1 | 291 | ||||||
|
| |||||||
12,658 | ||||||||
|
| |||||||
Specialty Retail — 3.6% | ||||||||
AutoZone, Inc. * | — | (a) | 184 | |||||
Lowe’s Cos., Inc. | 13 | 2,557 | ||||||
O’Reilly Automotive, Inc. * | 3 | 1,609 | ||||||
Ross Stores, Inc. | 6 | 769 | ||||||
TJX Cos., Inc. (The) | 4 | 293 | ||||||
|
| |||||||
5,412 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.7% |
| |||||||
Apple, Inc. | 59 | 8,042 | ||||||
Seagate Technology Holdings plc (Ireland) | 5 | 457 | ||||||
|
| |||||||
8,499 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
NIKE, Inc., Class B | 4 | 612 | ||||||
|
| |||||||
Tobacco — 0.2% | ||||||||
Philip Morris International, Inc. | 2 | 228 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.3% | ||||||||
T-Mobile US, Inc. * | 3 | 462 | ||||||
|
| |||||||
Total Common Stocks | 148,341 | |||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.8% |
| |||||||
Investment Companies — 0.6% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (c) (d) | 811 | 811 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.2% | ||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) | 368 | 368 | ||||||
|
| |||||||
Total Short-Term Investments | 1,179 | |||||||
|
| |||||||
Total Investments — 100.3% |
| 149,520 | ||||||
Liabilities in Excess of |
| (437 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 149,083 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
NYRS | New York Registry Shares | |
(a) | Amount rounds to less than one thousand. | |
(b) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $365. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 1 | 09/2021 | USD | 214 | 4 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 148,341 | ||
Investments in affiliates, at value | 811 | |||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 368 | |||
Deposits at broker for futures contracts | 36 | |||
Receivables: | ||||
Investment securities sold | 16 | |||
Portfolio shares sold | 53 | |||
Dividends from non-affiliates | 100 | |||
Dividends from affiliates | — | (a) | ||
Securities lending income (See Note 2.B.) | — | (a) | ||
Variation margin on futures contracts | — | (a) | ||
|
| |||
Total Assets | 149,725 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Investment securities purchased | 36 | |||
Collateral received on securities loaned (See Note 2.B.) | 368 | |||
Portfolio shares redeemed | 100 | |||
Accrued liabilities: | ||||
Investment advisory fees | 67 | |||
Administration fees | 9 | |||
Distribution fees | 4 | |||
Custodian and accounting fees | 11 | |||
Trustees’ and Chief Compliance Officer’s fees | 1 | |||
Other | 46 | |||
|
| |||
Total Liabilities | 642 | |||
|
| |||
Net Assets | $ | 149,083 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 75,209 | ||
Total distributable earnings (loss) | 73,874 | |||
|
| |||
Total Net Assets | $ | 149,083 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 131,654 | ||
Class 2 | 17,429 | |||
|
| |||
Total | $ | 149,083 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 3,236 | |||
Class 2 | 435 | |||
Net Asset Value (b): | ||||
Class 1 — Offering and redemption price per share | $ | 40.68 | ||
Class 2 — Offering and redemption price per share | 40.09 | |||
|
| |||
Cost of investments in non-affiliates | $ | 82,424 | ||
Cost of investments in affiliates | 811 | |||
Investment securities on loan, at value (See Note 2.B.) | 365 | |||
Cost of investment of cash collateral (See Note 2.B.) | 368 |
(a) | Amount rounds to less than one thousand. |
(b) | 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 | JUNE 30, 2021 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
(Amounts in thousands)
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 925 | ||
Dividend income from affiliates | — | (a) | ||
Income from securities lending (net) (See Note 2.B.) | — | (a) | ||
|
| |||
Total investment income | 925 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 394 | |||
Administration fees | 54 | |||
Distribution fees: | ||||
Class 2 | 23 | |||
Custodian and accounting fees | 20 | |||
Professional fees | 28 | |||
Trustees’ and Chief Compliance Officer’s fees | 13 | |||
Printing and mailing costs | 20 | |||
Transfer agency fees (See Note 2.F.) | 1 | |||
Other | 6 | |||
|
| |||
Total expenses | 559 | |||
|
| |||
Less fees waived | — | (a) | ||
|
| |||
Net expenses | 559 | |||
|
| |||
Net investment income (loss) | 366 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 9,506 | |||
Futures contracts | 72 | |||
|
| |||
Net realized gain (loss) | 9,578 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 9,792 | |||
Futures contracts | 2 | |||
|
| |||
Change in net unrealized appreciation/depreciation | 9,794 | |||
|
| |||
Net realized/unrealized gains (losses) | 19,372 | |||
|
| |||
Change in net assets resulting from operations | $ | 19,738 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 366 | $ | 1,069 | ||||
Net realized gain (loss) | 9,578 | 6,285 | ||||||
Change in net unrealized appreciation/depreciation | 9,794 | 20,504 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 19,738 | 27,858 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | (6,770 | ) | (7,167 | ) | ||||
Class 2 | (914 | ) | (1,169 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (7,684 | ) | (8,336 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | (3,138 | ) | 2,464 | |||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 8,916 | 21,986 | ||||||
Beginning of period | 140,167 | 118,181 | ||||||
|
|
|
| |||||
End of period | $ | 149,083 | $ | 140,167 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 4,687 | $ | 11,890 | ||||
Distributions reinvested | 6,770 | 7,167 | ||||||
Cost of shares redeemed | (11,930 | ) | (15,387 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | (473 | ) | 3,670 | |||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | 552 | 2,911 | ||||||
Distributions reinvested | 914 | 1,169 | ||||||
Cost of shares redeemed | (4,131 | ) | (5,286 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | (2,665 | ) | (1,206 | ) | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (3,138 | ) | $ | 2,464 | |||
|
|
|
| |||||
SHARE TRANSACTIONS: |
| |||||||
Class 1 |
| |||||||
Issued | 117 | 354 | ||||||
Reinvested | 170 | 250 | ||||||
Redeemed | (303 | ) | (486 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (16 | ) | 118 | |||||
|
|
|
| |||||
Class 2 |
| |||||||
Issued | 15 | 97 | ||||||
Reinvested | 23 | 41 | ||||||
Redeemed | (106 | ) | (171 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | (68 | ) | (33 | ) | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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JUNE 30, 2021 | 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) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust U.S. Equity Portfolio |
| |||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | $ | 37.40 | $ | 0.11 | $ | 5.35 | $ | 5.46 | $ | (0.31 | ) | $ | (1.87 | ) | $ | (2.18 | ) | |||||||||||
Year Ended December 31, 2020 | 32.27 | 0.30 | 7.16 | 7.46 | (0.26 | ) | (2.07 | ) | (2.33 | ) | ||||||||||||||||||
Year Ended December 31, 2019 | 26.63 | 0.26 | 7.81 | 8.07 | (0.26 | ) | (2.17 | ) | (2.43 | ) | ||||||||||||||||||
Year Ended December 31, 2018 | 32.43 | 0.27 | (1.93 | ) | (1.66 | ) | (0.27 | ) | (3.87 | ) | (4.14 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 27.03 | 0.26 | 5.69 | 5.95 | (0.26 | ) | (0.29 | ) | (0.55 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 25.50 | 0.26 | 2.42 | 2.68 | (0.25 | ) | (0.90 | ) | (1.15 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | 36.85 | 0.06 | 5.27 | 5.33 | (0.22 | ) | (1.87 | ) | (2.09 | ) | ||||||||||||||||||
Year Ended December 31, 2020 | 31.83 | 0.22 | 7.05 | 7.27 | (0.18 | ) | (2.07 | ) | (2.25 | ) | ||||||||||||||||||
Year Ended December 31, 2019 | 26.29 | 0.19 | 7.71 | 7.90 | (0.19 | ) | (2.17 | ) | (2.36 | ) | ||||||||||||||||||
Year Ended December 31, 2018 | 32.08 | 0.20 | (1.92 | ) | (1.72 | ) | (0.20 | ) | (3.87 | ) | (4.07 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 26.74 | 0.19 | 5.64 | 5.83 | (0.20 | ) | (0.29 | ) | (0.49 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 25.24 | 0.18 | 2.40 | 2.58 | (0.18 | ) | (0.90 | ) | (1.08 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(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) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d)(e) | Net assets, end of period (000’s) | Net expenses (f) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 40.68 | 14.73 | % | $ | 131,654 | 0.75 | % | 0.54 | % | 0.75 | % | 24 | % | |||||||||||||
37.40 | 25.26 | 121,611 | 0.76 | 0.94 | 0.76 | 66 | ||||||||||||||||||||
32.27 | 31.75 | 101,127 | 0.78 | 0.88 | 0.79 | 69 | ||||||||||||||||||||
26.63 | (6.16 | ) | 84,126 | 0.74 | 0.89 | 0.79 | 95 | |||||||||||||||||||
32.43 | 22.28 | 97,287 | 0.75 | 0.89 | 0.79 | 91 | ||||||||||||||||||||
27.03 | 10.98 | 87,878 | 0.80 | 0.98 | 0.80 | 61 | ||||||||||||||||||||
40.09 | 14.58 | 17,429 | 1.00 | 0.30 | 1.00 | 24 | ||||||||||||||||||||
36.85 | 24.95 | 18,556 | 1.01 | 0.69 | 1.01 | 66 | ||||||||||||||||||||
31.83 | 31.44 | 17,054 | 1.03 | 0.64 | 1.03 | 69 | ||||||||||||||||||||
26.29 | (6.42 | ) | 13,699 | 0.99 | 0.65 | 1.04 | 95 | |||||||||||||||||||
32.08 | 22.04 | 14,274 | 1.00 | 0.65 | 1.03 | 91 | ||||||||||||||||||||
26.74 | 10.65 | 12,079 | 1.05 | 0.73 | 1.05 | 61 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF JUNE 30, 2021 (Unaudited)
(Dollar values in thousands)
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 | Diversification Classification | |||
JPMorgan Insurance Trust 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 (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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 (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the 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 | JUNE 30, 2021 |
Table of Contents
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 149,520 | $ | — | $ | — | $ | 149,520 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 4 | $ | — | $ | — | $ | 4 | ||||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending — The Portfolio is authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund. The Portfolio retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Portfolio as of June 30, 2021.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
$ | 365 | $ | (365 | ) | $ | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the six months ended June 30, 2021, JPMIM waived fees associated with the Portfolio’s investment in the JPMorgan U.S. Government Money Market Fund as follows:
$—(a) |
(a) | Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds, which are advised by the Adviser. 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 such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the six months ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds Sales | Net (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | $ | — | $ | 1,137 | $ | 769 | $ | — | $ | — | $ | 368 | 368 | $ | — | *(c) | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (a) (b) | 338 | 14,650 | 14,177 | — | — | 811 | 811 | — | (c) | — | ||||||||||||||||||||||||||
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Total | $ | 338 | $ | 15,787 | $ | 14,946 | $ | — | $ | — | $ | 1,179 | $ | — | (c) | $ | — | |||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of June 30, 2021. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
D. Futures Contracts — The Portfolio used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Portfolio also purchased 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 futures contracts 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, while cash deposited, which is considered restricted, 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 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).
16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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The table below discloses the volume of the Portfolio’s futures contracts activity during the six months ended June 30, 2021:
Futures Contracts—Equity: | ||||
Average Notional Balance Long | $ | 366 | ||
Ending Notional Balance Long | 214 |
E. 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.
F. Allocation of Income and Expenses — Expenses directly attributable to the Portfolio are charged directly to the Portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the applicable portfolios. 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.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Portfolio for the six months ended June 30, 2021 are as follows:
| Class 1 | Class 2 | Total | |||||||||
Transfer agency fees | $ | 1 | $ | — | (a) | $ | 1 |
(a) | Amount rounds to less than one thousand. |
G. 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 (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 June 30, 2021, no liability for Federal 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.
H. Distributions to Shareholders — Distributions from net investment income, if any, 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.
I. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Portfolio’s financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Portfolio and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.55% of the Portfolio’s average daily net assets.
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 0.075% of the first $10 billion of the Portfolio’s average daily net assets, plus 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, plus 0.025%
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 17 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
of the Portfolio’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Portfolio’s average daily net assets in excess of $25 billion. For the six months ended June 30, 2021, the effective annualized rate was 0.075% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
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 Portfolio’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 pursuant to Rule 12b-1 under the 1940 Act. Class 1 Shares of the Portfolio do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay, with respect to the applicable share classes, 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.
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, expenses related to trustee elections 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 | % |
The expense limitation agreement was in effect for the six months ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least April 30, 2022.
For the six months ended June 30, 2021, the Portfolio’s service providers did not waive fees and/or reimburse expenses for the Portfolio.
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral. None of these parties expect the Portfolio to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the six months ended June 30, 2021 was less than one thousand dollars.
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 designated and appointed a Chief Compliance Officer to the Portfolio pursuant to Rule 38a-1 under the 1940 Act. The Portfolio, along with 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 Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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4. Investment Transactions
During the six months ended June 30, 2021, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 34,491 | $ | 44,312 |
During the six months ended June 30, 2021, 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 June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 83,603 | $ | 66,070 | $ | 149 | $ | 65,921 |
At December 31, 2020, 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 Portfolio had no borrowings outstanding from another fund during the six months ended June 30, 2021.
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 1, 2021.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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%, which has increased to 1.25% pursuant to the amendment referenced below, 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 10, 2021, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.
The Portfolio did not utilize the Credit Facility during the six months ended June 30, 2021.
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 brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 19 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
As of June 30, 2021, the Portfolio had three individual shareholder and/or non-affiliated omnibus accounts, which owned 64.9% of the Portfolio’s outstanding shares.
Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Portfolio’s loans, notes, derivatives and other instruments or investments comprising some or all of the Portfolio’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Portfolio is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Portfolio’s investments, increase the Portfolio’s volatility, exacerbate other pre-existing political, social and economic risks to the Portfolio and negatively impact broad segments of businesses and populations. The Portfolio’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Portfolio invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Portfolio’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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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, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
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 titled “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 January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,147.30 | $ | 3.99 | 0.75 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,145.80 | 5.32 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 21 |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Portfolio has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Portfolio’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Portfolio. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Portfolio’s Liquidity Risk and the results of this assessment; (2) the methodology and
inputs for classifying the investments of the Portfolio into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether the Portfolio invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for the Portfolio (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the J.P. Morgan Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the Portfolio invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Portfolio liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of the Portfolio’s investments; and (2) perform additional stress testing. The Report noted that the Portfolio was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Portfolio’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Portfolio during the Program Reporting Period.
22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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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 as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Portfolio’s quarterly holdings can be found by visiting 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 prospectuses 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | SAN-JPMITUSEP-621 |
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Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2021 (Unaudited)
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.
Table of Contents
August 4, 2021 (Unaudited)
Dear Shareholders,
The year 2021 has brought a partial reopening of the social and economic spheres and an extended rally in equity markets bolstered by federal relief and recovery efforts and surging consumer spending and corporate earnings.
“As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a strong performance over the six months ended June 30, 2021. The S&P 500 Index returned 16%; the Russell 1000 returned 15.57%; the Russell Mid Cap Index returned 16.65% and the Russell 2000 Index returned 17.24%. Investors who remained fully invested over the period stood to benefit greatly from performance of equity markets in the U.S. and globally.
Mass vaccinations and the rebound in economic growth at the global, and certain national and local levels have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across
the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve (the “Fed”). While the Fed has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* | 6.03% | |||
MSCI World Index (net of foreign withholding taxes) | 13.05% | |||
Income Builder Composite Benchmark | 7.01% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 108,798 |
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?
Overall, U.S. and emerging markets equity led a global rally in stocks on the back of continued bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Fixed income investments generally underperformed equity during the period. Within fixed income, high yield debt (also known as “junk bonds”) and emerging markets debt outperformed U.S. Treasury bonds and investment grade corporate bonds.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution
of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
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% MSCI World Index and 40% Bloomberg Barclays U.S. Aggregate Index, for the six months ended June 30, 2021.
The Portfolio’s allocation to government bonds and emerging markets debt detracted from performance relative to the Benchmark, which is an all-equity index.
Relative to the Composite, the Portfolio’s lower overall allocation to equity and its allocation to government bonds were leading detractors from performance. The Portfolio’s overweight allocations to value stocks in the U.S. and international developed markets equities were leading contributors to relative performance, as those asset classes performed strongly as economies reopened in 2021.
HOW WAS THE PORTFOLIO POSITIONED?
During the reporting period, the Portfolio was positioned to tactically pursue income. During the majority of the reporting period, the portfolio managers added to the Portfolio’s overall equity allocation, specifically adding to international developed market equity, and maintained their credit allocation. The portfolio managers also increased their allocation to equity-linked notes, focusing on noted linked to a U.S. small cap index, and increased their allocation to preferred stocks.
2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | JPMorgan Equity Income Fund Class R6 Shares | 2.8 | % | |||||
2. | JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares | 1.8 | ||||||
3. | National Bank of Canada, ELN, 6.00%, 8/4/2021 (linked to Russell 2000 Index) | 1.1 | ||||||
4. | UBS AG, ELN, 6.50%, 9/3/2021 (linked to Russell 2000 Index) | 1.1 | ||||||
5. | National Bank of Canada, ELN, 6.00%, 8/25/2021 (linked to Russell 2000 Index) | 1.0 | ||||||
6. | Citigroup Global Markets Holdings, Inc., ELN, 6.00%, 9/22/2021 (linked to Russell 2000 Index) | 1.0 | ||||||
7. | JPMorgan Floating Rate Income Fund Class R6 Shares | 0.9 | ||||||
8. | Prologis, Inc., REIT | 0.6 | ||||||
9. | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 0.5 | ||||||
10. | Roche Holding AG (Switzerland) | 0.5 |
PORTFOLIO COMPOSITION AS OF JUNE 30, | PERCENT OF TOTAL INVESTMENTS | |||
Common Stocks | 38.6 | % | ||
Corporate Bonds | 38.4 | |||
Investment Companies | 5.7 | |||
Equity-Linked Notes | 4.2 | |||
Collateralized Mortgage Obligations | 2.6 | |||
Commercial Mortgage-Backed Securities | 2.5 | |||
Others (each less than 1.0%) | 2.7 | |||
Short-Term Investments | 5.3 |
* | 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. |
ELN | Equity-Linked Note | |
REIT | Real Estate Investment Trust |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||
CLASS 1 SHARES | December 9, 2014 | 6.24 | % | 19.41 | % | 7.06 | % | 5.85 | % | |||||||||
CLASS 2 SHARES | December 9, 2014 | 6.03 | 18.99 | 6.79 | 5.59 |
* Not annualized.
LIFE OF PORTFOLIO PERFORMANCE (12/9/14 TO 6/30/21)
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 and the Income Builder Composite Benchmark from December 9, 2014 to June 30, 2021. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays U.S. Aggregate Index and the Income Builder Composite Benchmark do not reflect the deduction of expenses associated with a mutual fund and have been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. 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%). 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 | JUNE 30, 2021 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 38.5% |
| |||||||
Australia — 1.3% |
| |||||||
Adbri Ltd. | 10 | 25 | ||||||
AGL Energy Ltd. | 10 | 64 | ||||||
Alumina Ltd. | 32 | 40 | ||||||
APA Group | 2 | 15 | ||||||
AusNet Services Ltd. | 7 | 9 | ||||||
Bendigo & Adelaide Bank Ltd. | 7 | 57 | ||||||
BHP Group plc | 8 | 236 | ||||||
Charter Hall Long Wale, REIT | 21 | 75 | ||||||
CSR Ltd. | 7 | 29 | ||||||
Dexus, REIT | 11 | 87 | ||||||
Goodman Group, REIT | 7 | 116 | ||||||
IOOF Holdings Ltd. | 12 | 37 | ||||||
Mirvac Group, REIT | 48 | 104 | ||||||
Rio Tinto plc | 4 | 329 | ||||||
Sonic Healthcare Ltd. | 2 | 58 | ||||||
Spark Infrastructure Group | 10 | 17 | ||||||
Telstra Corp. Ltd. | 18 | 50 | ||||||
Wesfarmers Ltd. | 1 | 61 | ||||||
Woodside Petroleum Ltd. | 2 | 36 | ||||||
|
| |||||||
1,445 | ||||||||
|
| |||||||
Austria — 0.1% |
| |||||||
ANDRITZ AG | — | (a) | 18 | |||||
Erste Group Bank AG | 1 | 22 | ||||||
Mondi plc | 1 | 33 | ||||||
OMV AG | 1 | 30 | ||||||
Verbund AG | — | (a) | 13 | |||||
|
| |||||||
116 | ||||||||
|
| |||||||
Belgium — 0.3% |
| |||||||
Ageas SA | 1 | 38 | ||||||
Cofinimmo SA, REIT | — | (a) | 70 | |||||
Euronav NV | 1 | 12 | ||||||
KBC Group NV | — | (a) | 32 | |||||
Proximus SADP | 2 | 39 | ||||||
Shurgard Self Storage SA | 1 | 53 | ||||||
Solvay SA | — | (a) | 24 | |||||
Telenet Group Holding NV | — | (a) | 17 | |||||
Warehouses De Pauw CVA, REIT | 2 | 88 | ||||||
|
| |||||||
373 | ||||||||
|
| |||||||
Brazil — 0.1% |
| |||||||
BB Seguridade Participacoes SA | 6 | 28 | ||||||
Itau Unibanco Holding SA (Preference) | 9 | 52 | ||||||
Yara International ASA | 1 | 33 | ||||||
|
| |||||||
113 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Canada — 1.7% |
| |||||||
Algonquin Power & Utilities Corp. | 1 | 20 | ||||||
Allied Properties, REIT | 4 | 151 | ||||||
AltaGas Ltd.(b) | 1 | 23 | ||||||
Atco Ltd., Class I | 1 | 18 | ||||||
BCE, Inc. | 2 | 85 | ||||||
Canadian Imperial Bank of Commerce | 1 | 78 | ||||||
Canadian Tire Corp. Ltd., Class A | — | (a) | 77 | |||||
Canadian Utilities Ltd., Class A(b) | 3 | 80 | ||||||
Capital Power Corp. | — | (a) | 13 | |||||
Chartwell Retirement Residences | — | (a) | 5 | |||||
Emera, Inc. | — | (a) | 22 | |||||
Enbridge, Inc. | 2 | 84 | ||||||
Fortis, Inc.(b) | 2 | 84 | ||||||
Gibson Energy, Inc. | 1 | 13 | ||||||
Great-West Lifeco, Inc.(b) | 2 | 48 | ||||||
Hydro One Ltd.(c) | 3 | 82 | ||||||
IGM Financial, Inc. | 1 | 51 | ||||||
Keyera Corp. | 1 | 21 | ||||||
Magna International, Inc. | — | (a) | 31 | |||||
Northland Power, Inc. | 1 | 18 | ||||||
Nutrien Ltd. | 1 | 74 | ||||||
Pembina Pipeline Corp. | 3 | 85 | ||||||
Power Corp. of Canada | 3 | 85 | ||||||
Restaurant Brands International, Inc. | 1 | 54 | ||||||
Rogers Communications, Inc., Class B | 1 | 46 | ||||||
Shaw Communications, Inc., Class B | 3 | 73 | ||||||
Sienna Senior Living, Inc. | — | (a) | 5 | |||||
Superior Plus Corp. | 1 | 15 | ||||||
TC Energy Corp. | 4 | 179 | ||||||
TELUS Corp. | 4 | 87 | ||||||
Thomson Reuters Corp. | 1 | 70 | ||||||
Toronto-Dominion Bank (The) | 1 | 104 | ||||||
TransAlta Renewables, Inc. | — | (a) | 8 | |||||
|
| |||||||
1,889 | ||||||||
|
| |||||||
Chile — 0.0%(d) |
| |||||||
Banco Santander Chile, ADR | 1 | 18 | ||||||
|
| |||||||
China — 1.8% |
| |||||||
China Construction Bank Corp., Class H | 57 | 45 | ||||||
China Construction Bank Corp., Class H | 131 | 103 | ||||||
China Life Insurance Co. Ltd., Class H | 25 | 50 | ||||||
China Merchants Bank Co. Ltd., Class H | 25 | 209 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 38 | 120 | ||||||
China Petroleum & Chemical Corp., Class H | 100 | 51 | ||||||
China Resources Land Ltd. | 20 | 81 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
China — continued |
| |||||||
Fuyao Glass Industry Group Co. Ltd., Class A | 3 | 27 | ||||||
Guangdong Investment Ltd. | 36 | 52 | ||||||
Haier Smart Home Co. Ltd., Class H * | 24 | 84 | ||||||
Huayu Automotive Systems Co. Ltd., Class A | 15 | 60 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 24 | 138 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A * | 1 | 19 | ||||||
Joyoung Co. Ltd., Class A | 7 | 35 | ||||||
Midea Group Co. Ltd., Class A | 12 | 136 | ||||||
NetEase, Inc. | 6 | 136 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 20 | 195 | ||||||
Postal Savings Bank of China Co. Ltd., Class H * (c) | 145 | 97 | ||||||
Tingyi Cayman Islands Holding Corp. | 54 | 108 | ||||||
Topsports International Holdings Ltd.(c) | 33 | 54 | ||||||
Xinyi Solar Holdings Ltd. | 32 | 69 | ||||||
Yum China Holdings, Inc. | 1 | 65 | ||||||
Zhejiang Supor Co. Ltd., Class A | 5 | 49 | ||||||
|
| |||||||
1,983 | ||||||||
|
| |||||||
Denmark — 0.5% |
| |||||||
Carlsberg A/S, Class B | 1 | 178 | ||||||
Novo Nordisk A/S, Class B | 4 | 312 | ||||||
|
| |||||||
490 | ||||||||
|
| |||||||
Finland — 0.6% |
| |||||||
Elisa OYJ | 1 | 50 | ||||||
Fortum OYJ | 3 | 94 | ||||||
Kone OYJ, Class B | 1 | 58 | ||||||
Nordea Bank Abp | 20 | 226 | ||||||
Orion OYJ, Class B | 1 | 56 | ||||||
Sampo OYJ, Class A | 1 | 28 | ||||||
UPM-Kymmene OYJ | 1 | 38 | ||||||
Wartsila OYJ Abp | 6 | 83 | ||||||
|
| |||||||
633 | ||||||||
|
| |||||||
France — 1.2% |
| |||||||
Amundi SA (c) | — | (a) | 24 | |||||
Atos SE | 1 | 38 | ||||||
AXA SA | 2 | 47 | ||||||
BNP Paribas SA | 1 | 50 | ||||||
Cie de Saint-Gobain | 1 | 43 | ||||||
Covivio, REIT | 1 | 83 | ||||||
Credit Agricole SA | 2 | 30 | ||||||
Engie SA | 1 | 18 | ||||||
Gaztransport Et Technigaz SA | — | (a) | 6 | |||||
Klepierre SA, REIT | 1 | 28 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
France — continued |
| |||||||
La Francaise des Jeux SAEM (c) | 1 | 35 | ||||||
L’Oreal SA | — | (a) | 86 | |||||
LVMH Moet Hennessy Louis Vuitton SE | — | (a) | 144 | |||||
Orange SA (b) | 1 | 15 | ||||||
Publicis Groupe SA | 1 | 39 | ||||||
Renault SA * | 1 | 30 | ||||||
Rexel SA * | 1 | 23 | ||||||
Rubis SCA | — | (a) | 10 | |||||
Safran SA | 1 | 131 | ||||||
Sanofi | 1 | 116 | ||||||
Societe Generale SA | 1 | 42 | ||||||
TotalEnergies SE | 2 | 84 | ||||||
Veolia Environnement SA | 1 | 25 | ||||||
Vinci SA | 2 | 177 | ||||||
|
| |||||||
1,324 | ||||||||
|
| |||||||
Germany — 1.7% |
| |||||||
adidas AG | — | (a) | 184 | |||||
Allianz SE (Registered) | 1 | 320 | ||||||
BASF SE | 2 | 123 | ||||||
Bayerische Motoren Werke AG | 1 | 56 | ||||||
Covestro AG (c) | — | (a) | 23 | |||||
Daimler AG (Registered) | 1 | 63 | ||||||
Deutsche Boerse AG | — | (a) | 52 | |||||
Deutsche Post AG (Registered) | 4 | 289 | ||||||
Deutsche Telekom AG (Registered) | 5 | 95 | ||||||
E.ON SE | 2 | 23 | ||||||
Evonik Industries AG | 1 | 24 | ||||||
Freenet AG | 1 | 27 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 1 | 177 | ||||||
Siemens AG (Registered) | 1 | 88 | ||||||
Telefonica Deutschland Holding AG | 24 | 62 | ||||||
Uniper SE | — | (a) | 17 | |||||
Volkswagen AG (Preference) | 1 | 142 | ||||||
Vonovia SE | 2 | 125 | ||||||
|
| |||||||
1,890 | ||||||||
|
| |||||||
Hong Kong — 0.7% |
| |||||||
CK Asset Holdings Ltd. | 13 | 86 | ||||||
CK Infrastructure Holdings Ltd. | 3 | 18 | ||||||
CLP Holdings Ltd. | 2 | 20 | ||||||
Hang Seng Bank Ltd. | 4 | 74 | ||||||
HKBN Ltd. | 3 | 4 | ||||||
HKT Trust & HKT Ltd. | 48 | 65 | ||||||
Hong Kong & China Gas Co. Ltd. | 14 | 22 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Hong Kong — continued |
| |||||||
Hong Kong Exchanges & Clearing Ltd. | 3 | 155 | ||||||
PCCW Ltd. | 13 | 7 | ||||||
Power Assets Holdings Ltd. | 4 | 21 | ||||||
VTech Holdings Ltd. | 4 | 45 | ||||||
WH Group Ltd. (c) | 41 | 36 | ||||||
Wharf Real Estate Investment Co. Ltd. | 7 | 41 | ||||||
Xinyi Glass Holdings Ltd. | 14 | 57 | ||||||
Yue Yuen Industrial Holdings Ltd. * | 21 | 52 | ||||||
|
| |||||||
703 | ||||||||
|
| |||||||
India — 0.4% |
| |||||||
Infosys Ltd., ADR | 19 | 413 | ||||||
|
| |||||||
Indonesia — 0.2% |
| |||||||
Bank Rakyat Indonesia Persero Tbk. PT | 433 | 117 | ||||||
Telkom Indonesia Persero Tbk. PT, ADR | 6 | 141 | ||||||
|
| |||||||
258 | ||||||||
|
| |||||||
Ireland — 0.2% |
| |||||||
Seagate Technology Holdings plc | 3 | 232 | ||||||
Smurfit Kappa Group plc | 1 | 31 | ||||||
|
| |||||||
263 | ||||||||
|
| |||||||
Italy — 0.5% |
| |||||||
A2A SpA | 35 | 72 | ||||||
ACEA SpA | — | (a) | 5 | |||||
Assicurazioni Generali SpA | 2 | 38 | ||||||
Azimut Holding SpA | 1 | 29 | ||||||
Enav SpA * (c) | 1 | 4 | ||||||
Enel SpA | 8 | 78 | ||||||
Eni SpA | 3 | 39 | ||||||
ERG SpA | — | (a) | 7 | |||||
Hera SpA | 3 | 14 | ||||||
Intesa Sanpaolo SpA | 38 | 104 | ||||||
Iren SpA | 5 | 14 | ||||||
Italgas SpA | 3 | 17 | ||||||
Mediobanca Banca di Credito Finanziario SpA * | 2 | 27 | ||||||
Poste Italiane SpA (c) | 2 | 31 | ||||||
Snam SpA | 9 | 51 | ||||||
Terna SpA | 3 | 21 | ||||||
Unipol Gruppo SpA | 2 | 13 | ||||||
|
| |||||||
564 | ||||||||
|
| |||||||
Japan — 1.8% |
| |||||||
Aozora Bank Ltd. | 3 | 65 | ||||||
ARTERIA Networks Corp. | — | (a) | 5 | |||||
Chubu Electric Power Co., Inc. | 2 | 20 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Japan — continued |
| |||||||
Chugoku Electric Power Co., Inc. (The) | 1 | 11 | ||||||
Dai Nippon Printing Co. Ltd. | 1 | 23 | ||||||
Daiwa House Industry Co. Ltd. | 2 | 63 | ||||||
Daiwa House REIT Investment Corp., REIT | — | (a) | 62 | |||||
Electric Power Development Co. Ltd. | 2 | 33 | ||||||
ENEOS Holdings, Inc. | 7 | 29 | ||||||
FANUC Corp. | — | (a) | 48 | |||||
H.U. Group Holdings, Inc. | 1 | 13 | ||||||
Idemitsu Kosan Co. Ltd. | 2 | 43 | ||||||
Japan Metropolitan Fund Invest, REIT | — | (a) | 118 | |||||
Japan Post Holdings Co. Ltd. * | 5 | 39 | ||||||
Japan Tobacco, Inc. | 3 | 60 | ||||||
JFE Holdings, Inc. | 2 | 27 | ||||||
Kansai Electric Power Co., Inc. (The) | 7 | 71 | ||||||
KDDI Corp. | 3 | 78 | ||||||
Konica Minolta, Inc. | 10 | 55 | ||||||
Lawson, Inc. | 1 | 32 | ||||||
Mitsubishi Chemical Holdings Corp. | 5 | 44 | ||||||
Mitsui Fudosan Logistics Park, Inc., REIT | — | (a) | 69 | |||||
Nippon Accommodations Fund, Inc., REIT | — | (a) | 75 | |||||
Nippon Building Fund, Inc., REIT | — | (a) | 112 | |||||
Nippon Prologis REIT, Inc., REIT | — | (a) | 89 | |||||
Nippon Telegraph & Telephone Corp. | 2 | 42 | ||||||
Osaka Gas Co. Ltd. | — | (a) | 6 | |||||
Otsuka Corp. | 1 | 52 | ||||||
Shikoku Electric Power Co., Inc. | 1 | 5 | ||||||
SoftBank Corp. | 6 | 75 | ||||||
Sumitomo Forestry Co. Ltd. | 2 | 40 | ||||||
Suzuki Motor Corp. | 1 | 55 | ||||||
Takeda Pharmaceutical Co. Ltd. | 1 | 47 | ||||||
Tohoku Electric Power Co., Inc. | 7 | 54 | ||||||
Tokio Marine Holdings, Inc. | 2 | 88 | ||||||
Tokyo Gas Co. Ltd. | 1 | 11 | ||||||
Toyota Motor Corp. | 2 | 201 | ||||||
|
| |||||||
1,960 | ||||||||
|
| |||||||
Malta — 0.0% (d) |
| |||||||
Kindred Group plc, SDR | 2 | 28 | ||||||
|
| |||||||
Mexico — 0.4% |
| |||||||
Bolsa Mexicana de Valores SAB de CV (b) | 7 | 15 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 24 | 152 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 23 | 41 | ||||||
Wal-Mart de Mexico SAB de CV | 67 | 220 | ||||||
|
| |||||||
428 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Netherlands — 0.6% |
| |||||||
Akzo Nobel NV | — | (a) | 44 | |||||
ASML Holding NV | — | (a) | 183 | |||||
ASR Nederland NV | 1 | 25 | ||||||
BE Semiconductor Industries NV | — | (a) | 27 | |||||
CTP NV * (c) | 4 | 72 | ||||||
Eurocommercial Properties NV, REIT, CVA | 2 | 52 | ||||||
ING Groep NV | 3 | 44 | ||||||
Koninklijke Ahold Delhaize NV | 1 | 36 | ||||||
Koninklijke KPN NV | 11 | 33 | ||||||
NN Group NV | 1 | 34 | ||||||
PostNL NV | 6 | 33 | ||||||
Randstad NV | — | (a) | 34 | |||||
|
| |||||||
617 | ||||||||
|
| |||||||
New Zealand — 0.1% |
| |||||||
Contact Energy Ltd. | 9 | 54 | ||||||
Spark New Zealand Ltd. | 21 | 71 | ||||||
|
| |||||||
125 | ||||||||
|
| |||||||
Norway — 0.2% |
| |||||||
Aker BP ASA | 1 | 28 | ||||||
DNB ASA | 2 | 45 | ||||||
Equinor ASA | 2 | 34 | ||||||
Gjensidige Forsikring ASA | 1 | 27 | ||||||
SFL Corp. Ltd. | 1 | 9 | ||||||
Telenor ASA | 5 | 84 | ||||||
|
| |||||||
227 | ||||||||
|
| |||||||
Portugal — 0.1% |
| |||||||
EDP — Energias de Portugal SA | 4 | 19 | ||||||
Galp Energia SGPS SA | 2 | 27 | ||||||
NOS SGPS SA | 1 | 5 | ||||||
|
| |||||||
51 | ||||||||
|
| |||||||
Russia — 0.5% |
| |||||||
Alrosa PJSC | 30 | 54 | ||||||
Evraz plc | 4 | 34 | ||||||
LUKOIL PJSC, ADR | 1 | 71 | ||||||
Moscow Exchange MICEX-RTS PJSC | 46 | 107 | ||||||
Polymetal International plc | 1 | 18 | ||||||
Sberbank of Russia PJSC | 44 | 184 | ||||||
Sberbank of Russia PJSC | 1 | 3 | ||||||
Severstal PAO, GDR (c) | 2 | 45 | ||||||
Severstal PAO, GDR (c) | 1 | 23 | ||||||
|
| |||||||
539 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Saudi Arabia — 0.1% |
| |||||||
Al Rajhi Bank | 3 | 94 | ||||||
|
| |||||||
Singapore — 0.2% |
| |||||||
Ascendas, REIT | 46 | 101 | ||||||
BW LPG Ltd. (c) | 1 | 4 | ||||||
DBS Group Holdings Ltd. | 3 | 67 | ||||||
Keppel DC, REIT | 9 | 17 | ||||||
NetLink NBN Trust (c) | 13 | 9 | ||||||
Singapore Telecommunications Ltd. | 10 | 16 | ||||||
StarHub Ltd. | 19 | 17 | ||||||
|
| |||||||
231 | ||||||||
|
| |||||||
South Africa — 0.2% |
| |||||||
Anglo American plc | 1 | 46 | ||||||
AVI Ltd. | 4 | 21 | ||||||
Bid Corp. Ltd. * | 2 | 33 | ||||||
SPAR Group Ltd. (The) | 1 | 16 | ||||||
Vodacom Group Ltd. | 6 | 56 | ||||||
|
| |||||||
172 | ||||||||
|
| |||||||
South Korea — 0.6% |
| |||||||
ESR Kendall Square REIT Co. Ltd., REIT * | 6 | 42 | ||||||
Samsung Electronics Co. Ltd. | 7 | 518 | ||||||
SK Telecom Co. Ltd., ADR | 1 | 37 | ||||||
|
| |||||||
597 | ||||||||
|
| |||||||
Spain — 1.0% |
| |||||||
ACS Actividades de Construccion y Servicios SA | 1 | 26 | ||||||
Atlantica Sustainable Infrastructure plc | — | (a) | 19 | |||||
Banco Bilbao Vizcaya Argentaria SA | 8 | 47 | ||||||
Banco Santander SA | 15 | 59 | ||||||
CaixaBank SA | 8 | 24 | ||||||
Cellnex Telecom SA (c) | 2 | 127 | ||||||
Enagas SA | 2 | 52 | ||||||
Endesa SA | 4 | 107 | ||||||
Iberdrola SA | 22 | 264 | ||||||
Industria de Diseno Textil SA | 2 | 56 | ||||||
Naturgy Energy Group SA | 5 | 118 | ||||||
Red Electrica Corp. SA | 3 | 49 | ||||||
Repsol SA | 5 | 69 | ||||||
Telefonica SA | 17 | 77 | ||||||
|
| |||||||
1,094 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Sweden — 0.6% |
| |||||||
Boliden AB * | 1 | 39 | ||||||
Electrolux AB, Series B | 1 | 17 | ||||||
Lundin Energy AB | 1 | 29 | ||||||
Sandvik AB | 2 | 40 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 3 | 36 | ||||||
SKF AB, Class B | 1 | 29 | ||||||
SSAB AB, Class B * | 4 | 16 | ||||||
Svenska Handelsbanken AB, Class A | 4 | 43 | ||||||
Tele2 AB, Class B | 3 | 43 | ||||||
Telia Co. AB | 21 | 93 | ||||||
Volvo AB, Class B | 10 | 237 | ||||||
|
| |||||||
622 | ||||||||
|
| |||||||
Switzerland — 1.4% |
| |||||||
ABB Ltd. (Registered) | 2 | 67 | ||||||
Adecco Group AG (Registered) | — | (a) | 23 | |||||
Cie Financiere Richemont SA (Registered) | 1 | 61 | ||||||
Julius Baer Group Ltd. | — | (a) | 28 | |||||
Nestle SA (Registered) | 3 | 390 | ||||||
Novartis AG (Registered) | 1 | 55 | ||||||
OC Oerlikon Corp. AG (Registered) | 5 | 55 | ||||||
Roche Holding AG | 1 | 535 | ||||||
Swiss Life Holding AG (Registered) | — | (a) | 22 | |||||
Swisscom AG (Registered) | — | (a) | 19 | |||||
UBS Group AG (Registered) | 3 | 51 | ||||||
Zurich Insurance Group AG | — | (a) | 189 | |||||
|
| |||||||
1,495 | ||||||||
|
| |||||||
Taiwan — 1.3% |
| |||||||
Accton Technology Corp. | 5 | 59 | ||||||
Chailease Holding Co. Ltd. * | 5 | 36 | ||||||
Chicony Electronics Co. Ltd. | 2 | 6 | ||||||
Delta Electronics, Inc. | 9 | 98 | ||||||
MediaTek, Inc. | 3 | 103 | ||||||
Mega Financial Holding Co. Ltd. | 37 | 44 | ||||||
Novatek Microelectronics Corp. | 2 | 36 | ||||||
President Chain Store Corp. | 8 | 76 | ||||||
Quanta Computer, Inc. | 28 | 88 | ||||||
Realtek Semiconductor Corp. * | 4 | 72 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 26 | 560 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 1 | 113 | ||||||
Vanguard International Semiconductor Corp. | 18 | 76 | ||||||
Wiwynn Corp. | 1 | 36 | ||||||
|
| |||||||
1,403 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Thailand — 0.1% |
| |||||||
Siam Cement PCL (The) (Registered) | 4 | 60 | ||||||
|
| |||||||
United Kingdom — 2.3% |
| |||||||
3i Group plc | 2 | 35 | ||||||
Admiral Group plc | 1 | 38 | ||||||
Ashtead Group plc | 1 | 50 | ||||||
Aviva plc | 7 | 39 | ||||||
B&M European Value Retail SA | 2 | 14 | ||||||
Barclays plc | 19 | 44 | ||||||
Barratt Developments plc | 10 | 94 | ||||||
Berkeley Group Holdings plc | 1 | 87 | ||||||
BP plc | 28 | 125 | ||||||
BT Group plc * | 36 | 97 | ||||||
Centrica plc * | 67 | 48 | ||||||
Close Brothers Group plc | 1 | 13 | ||||||
Diageo plc | 1 | 29 | ||||||
Direct Line Insurance Group plc | 12 | 47 | ||||||
Drax Group plc | 1 | 7 | ||||||
easyJet plc * | 5 | 61 | ||||||
GlaxoSmithKline plc | 7 | 142 | ||||||
Hargreaves Lansdown plc | 1 | 18 | ||||||
HSBC Holdings plc | 14 | 78 | ||||||
IG Group Holdings plc | 1 | 13 | ||||||
Imperial Brands plc | 3 | 65 | ||||||
J Sainsbury plc | 7 | 25 | ||||||
Kingfisher plc | 5 | 23 | ||||||
Legal & General Group plc | 10 | 37 | ||||||
Lloyds Banking Group plc | 84 | 54 | ||||||
M&G plc | 11 | 35 | ||||||
Man Group plc | 13 | 33 | ||||||
National Grid plc | 2 | 23 | ||||||
Natwest Group plc | 13 | 36 | ||||||
NewRiver REIT plc, REIT * | 23 | 28 | ||||||
Pennon Group plc | 3 | 48 | ||||||
Persimmon plc | 3 | 110 | ||||||
RELX plc | 3 | 85 | ||||||
Safestore Holdings plc, REIT | 5 | 68 | ||||||
Sage Group plc (The) | 7 | 69 | ||||||
Schroders plc | 1 | 28 | ||||||
Severn Trent plc | 1 | 23 | ||||||
SSE plc | 6 | 129 | ||||||
St. James’s Place plc | 2 | 45 | ||||||
Standard Life Aberdeen plc | 7 | 25 | ||||||
Taylor Wimpey plc | 23 | 51 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
United Kingdom — continued |
| |||||||
Tesco plc | 8 | 26 | ||||||
Tritax EuroBox plc (c) | 17 | 25 | ||||||
Unilever plc | 2 | 103 | ||||||
UNITE Group plc (The), REIT | 5 | 67 | ||||||
United Utilities Group plc | 2 | 23 | ||||||
Vodafone Group plc | 33 | 54 | ||||||
Workspace Group plc, REIT | 5 | 58 | ||||||
WPP plc | 5 | 61 | ||||||
|
| |||||||
2,536 | ||||||||
|
| |||||||
United States — 15.7% |
| |||||||
3M Co. | — | (a) | 66 | |||||
AbbVie, Inc. | 4 | 452 | ||||||
AES Corp. (The) | 3 | 66 | ||||||
AGNC Investment Corp., REIT | 4 | 62 | ||||||
Alliant Energy Corp. | 1 | 64 | ||||||
Altria Group, Inc. | 1 | 64 | ||||||
American Electric Power Co., Inc. | 1 | 82 | ||||||
American Tower Corp., REIT | — | (a) | 115 | |||||
Americold Realty Trust, REIT | 4 | 161 | ||||||
Amgen, Inc. | — | (a) | 61 | |||||
Analog Devices, Inc. | 2 | 302 | ||||||
Annaly Capital Management, Inc., REIT | 7 | 62 | ||||||
AT&T, Inc. | 3 | 74 | ||||||
AvalonBay Communities, Inc., REIT | 1 | 182 | ||||||
Avangrid, Inc. | 1 | 64 | ||||||
Avast plc (c) | 4 | 28 | ||||||
Avista Corp. | — | (a) | 19 | |||||
Brandywine Realty Trust, REIT | 10 | 140 | ||||||
Bristol-Myers Squibb Co. | 6 | 398 | ||||||
Brixmor Property Group, Inc., REIT | 6 | 129 | ||||||
Bunge Ltd. | 1 | 69 | ||||||
Camden Property Trust, REIT | 1 | 152 | ||||||
Cardinal Health, Inc. | 1 | 60 | ||||||
CenterPoint Energy, Inc. | 3 | 66 | ||||||
CF Industries Holdings, Inc. | 1 | 74 | ||||||
Chesapeake Energy Corp. | — | (a) | 4 | |||||
Chevron Corp. | 1 | 66 | ||||||
Clear Channel Outdoor Holdings, Inc. * | 5 | 13 | ||||||
Clearway Energy, Inc., Class C | 1 | 15 | ||||||
CME Group, Inc. | 1 | 211 | ||||||
CMS Energy Corp. | 1 | 61 | ||||||
CNA Financial Corp. | 1 | 65 | ||||||
Coca-Cola Co. (The) | 10 | 524 | ||||||
Cogent Communications Holdings, Inc. | — | (a) | 20 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United States — continued |
| |||||||
Comcast Corp., Class A | 4 | 218 | ||||||
Comerica, Inc. | 1 | 73 | ||||||
Consolidated Edison, Inc. | 1 | 81 | ||||||
CoreSite Realty Corp., REIT | — | (a) | 36 | |||||
DHT Holdings, Inc. | 3 | 17 | ||||||
Dominion Energy, Inc. | 1 | 80 | ||||||
Douglas Emmett, Inc., REIT | 4 | 133 | ||||||
Dow, Inc. | 1 | 70 | ||||||
DTE Energy Co. | — | (a) | 60 | |||||
Duke Energy Corp. | 1 | 87 | ||||||
Eastman Chemical Co. | 2 | 204 | ||||||
Eaton Corp. plc | 2 | 231 | ||||||
Edison International | 1 | 58 | ||||||
Eli Lilly & Co. | — | (a) | 82 | |||||
Emerson Electric Co. | 1 | 66 | ||||||
Entergy Corp. | 1 | 79 | ||||||
EP Energy Corp. * | — | (a) | 38 | |||||
Equinix, Inc., REIT | — | (a) | 237 | |||||
Equity LifeStyle Properties, Inc., REIT | 2 | 157 | ||||||
Essex Property Trust, Inc., REIT | 1 | 151 | ||||||
Evergy, Inc. | 1 | 83 | ||||||
Exelon Corp. | 1 | 62 | ||||||
Exxon Mobil Corp. | 1 | 75 | ||||||
Fastenal Co. | 1 | 57 | ||||||
Federal Realty Investment Trust, REIT | 1 | 145 | ||||||
Ferguson plc | — | (a) | 51 | |||||
FirstEnergy Corp. | 1 | 23 | ||||||
Frontier Communications Parent, Inc. * | 1 | 39 | ||||||
General Dynamics Corp. | — | (a) | 66 | |||||
General Mills, Inc. | 1 | 51 | ||||||
Genuine Parts Co. | 1 | 68 | ||||||
Gilead Sciences, Inc. | 1 | 65 | ||||||
Hasbro, Inc. | 1 | 57 | ||||||
Hawaiian Electric Industries, Inc. | — | (a) | 21 | |||||
Healthcare Trust of America, Inc., Class A, REIT | 3 | 93 | ||||||
Healthpeak Properties, Inc., REIT | 6 | 204 | ||||||
Hewlett Packard Enterprise Co. | 4 | 65 | ||||||
Host Hotels & Resorts, Inc., REIT * | 5 | 87 | ||||||
HP, Inc. | 2 | 70 | ||||||
IDACORP, Inc. | — | (a) | 21 | |||||
iHeartMedia, Inc., Class A * | 1 | 33 | ||||||
Ingredion, Inc. | 1 | 61 | ||||||
International Business Machines Corp. | — | (a) | 68 | |||||
International Flavors & Fragrances, Inc. | — | (a) | 12 | |||||
International Paper Co. | 1 | 75 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Interpublic Group of Cos., Inc. (The) | 2 | 78 | ||||||
Invitation Homes, Inc., REIT | 6 | 226 | ||||||
Iron Mountain, Inc., REIT | 2 | 80 | ||||||
JM Smucker Co. (The) | — | (a) | 41 | |||||
Johnson & Johnson | 2 | 360 | ||||||
Johnson Controls International plc | — | (a) | 31 | |||||
Juniper Networks, Inc. | 1 | 29 | ||||||
Kellogg Co. | 1 | 52 | ||||||
Kimco Realty Corp., REIT | 2 | 42 | ||||||
Kinder Morgan, Inc. | 5 | 85 | ||||||
Kraft Heinz Co. (The) | 2 | 67 | ||||||
Las Vegas Sands Corp. * | 1 | 52 | ||||||
Lowe’s Cos., Inc. | — | (a) | 54 | |||||
Lumen Technologies, Inc. | 6 | 84 | ||||||
LyondellBasell Industries NV, Class A | 1 | 69 | ||||||
Macquarie Infrastructure Corp. | 1 | 26 | ||||||
Maxim Integrated Products, Inc. * | 1 | 63 | ||||||
Medtronic plc | 2 | 189 | ||||||
Merck & Co., Inc. | 5 | 355 | ||||||
National Fuel Gas Co. | — | (a) | 22 | |||||
National Retail Properties, Inc., REIT | 3 | 121 | ||||||
NetApp, Inc. | 1 | 83 | ||||||
Newell Brands, Inc. | 3 | 75 | ||||||
NextEra Energy, Inc. | 2 | 169 | ||||||
Nielsen Holdings plc | 2 | 38 | ||||||
NiSource, Inc. | 3 | 82 | ||||||
NMG, Inc. * | — | (a) | — | (a) | ||||
Nordic American Tankers Ltd. | 5 | 16 | ||||||
Norfolk Southern Corp. | — | (a) | 56 | |||||
Northwest Natural Holding Co. | — | (a) | 10 | |||||
NorthWestern Corp. | — | (a) | 20 | |||||
NortonLifeLock, Inc. | 2 | 62 | ||||||
Nucor Corp. | 1 | 97 | ||||||
Oasis Petroleum, Inc. | 1 | 82 | ||||||
OGE Energy Corp. | 1 | 22 | ||||||
Omnicom Group, Inc. | 2 | 176 | ||||||
ONEOK, Inc. | 2 | 96 | ||||||
Organon & Co. * | — | (a) | 2 | |||||
PACCAR, Inc. | 1 | 53 | ||||||
Packaging Corp. of America | — | (a) | 63 | |||||
Park Hotels & Resorts, Inc., REIT * | 6 | 117 | ||||||
PepsiCo, Inc. | 1 | 107 | ||||||
Perrigo Co. plc | 1 | 57 | ||||||
Philip Morris International, Inc. | 2 | 181 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United States — continued |
| |||||||
Pinnacle West Capital Corp. | 1 | 85 | ||||||
Portland General Electric Co. | — | (a) | 21 | |||||
PPL Corp. | 3 | 79 | ||||||
Procter & Gamble Co. (The) | 2 | 296 | ||||||
Progressive Corp. (The) | 1 | 118 | ||||||
Prologis, Inc., REIT | 5 | 636 | ||||||
Public Service Enterprise Group, Inc. | 1 | 84 | ||||||
Public Storage, REIT | 1 | 319 | ||||||
Quest Diagnostics, Inc. | — | (a) | 39 | |||||
Raytheon Technologies Corp. | 1 | 64 | ||||||
Rexford Industrial Realty, Inc., REIT | 1 | 72 | ||||||
Schneider Electric SE | 2 | 246 | ||||||
Sempra Energy | — | (a) | 61 | |||||
Simon Property Group, Inc., REIT | 1 | 79 | ||||||
Southern Co. (The) | 1 | 81 | ||||||
Spire, Inc. | — | (a) | 21 | |||||
State Street Corp. | 2 | 136 | ||||||
Steel Dynamics, Inc. | 1 | 89 | ||||||
Stellantis NV | 2 | 47 | ||||||
Sun Communities, Inc., REIT | 1 | 197 | ||||||
Texas Instruments, Inc. | 1 | 236 | ||||||
Trane Technologies plc | 1 | 154 | ||||||
Truist Financial Corp. | 2 | 113 | ||||||
UGI Corp. | 1 | 24 | ||||||
United Parcel Service, Inc., Class B | — | (a) | 70 | |||||
UnitedHealth Group, Inc. | — | (a) | 99 | |||||
Valero Energy Corp. | 1 | 52 | ||||||
Ventas, Inc., REIT | 5 | 291 | ||||||
VEREIT, Inc., REIT | 3 | 142 | ||||||
Verizon Communications, Inc. | 3 | 185 | ||||||
VICI Properties, Inc., REIT | 6 | 192 | ||||||
Vornado Realty Trust, REIT | 3 | 127 | ||||||
Walgreens Boots Alliance, Inc. | 1 | 68 | ||||||
WEC Energy Group, Inc. | 1 | 81 | ||||||
Weingarten Realty Investors, REIT | 5 | 146 | ||||||
Wells Fargo & Co. | 4 | 190 | ||||||
Western Union Co. (The) | 2 | 57 | ||||||
Whiting Petroleum Corp. * | 1 | 48 | ||||||
Williams Cos., Inc. (The) | 3 | 89 | ||||||
Xcel Energy, Inc. | 3 | 184 | ||||||
Yum! Brands, Inc. | 2 | 212 | ||||||
|
| |||||||
17,121 | ||||||||
|
| |||||||
Total Common Stocks |
| 41,875 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — 38.3% | ||||||||
Australia — 0.2% | ||||||||
Australia & New Zealand Banking Group Ltd. |
| |||||||
(USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026 (e) (f) (g) (h) | 200 | 235 | ||||||
FMG Resources August 2006 Pty. Ltd. 5.13%, 5/15/2024 (g) | 12 | 13 | ||||||
Newcrest Finance Pty. Ltd. | 5 | 6 | ||||||
|
| |||||||
254 | ||||||||
|
| |||||||
Belgium — 0.1% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.38%, 4/15/2038 | 15 | 18 | ||||||
4.60%, 4/15/2048 | 30 | 37 | ||||||
5.55%, 1/23/2049 | 10 | 14 | ||||||
4.50%, 6/1/2050 | 20 | 24 | ||||||
|
| |||||||
93 | ||||||||
|
| |||||||
Canada — 1.8% | ||||||||
1011778 BC ULC | 87 | 88 | ||||||
3.88%, 1/15/2028 (g) | 17 | 17 | ||||||
Alimentation Couche-Tard, Inc. | 10 | 10 | ||||||
4.50%, 7/26/2047 (g) | 8 | 10 | ||||||
3.80%, 1/25/2050 (g) | 5 | 5 | ||||||
Bank of Nova Scotia (The) |
| |||||||
(ICE LIBOR USD 3 Month + 2.65%), 4.65%, 10/12/2022 (e) (f) (h) | 13 | 13 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (e) (f) (h) | 15 | 17 | ||||||
Bell Telephone Co. of Canada or Bell Canada (The) |
| |||||||
4.30%, 7/29/2049 | 15 | 18 | ||||||
Bombardier, Inc. | 26 | 26 | ||||||
7.50%, 12/1/2024 (g) | 45 | 47 | ||||||
7.50%, 3/15/2025 (g) | 38 | 39 | ||||||
Canadian National Railway Co. | 10 | 9 | ||||||
Cenovus Energy, Inc. | 130 | 149 | ||||||
Emera US Finance LP | 10 | 10 | ||||||
Emera, Inc. |
| |||||||
Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (f) | 235 | 275 | ||||||
Enbridge, Inc. | 5 | 6 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Canada — continued | ||||||||
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (f) | 10 | 11 | ||||||
(ICE LIBOR USD 3 Month + 3.64%), | 45 | 49 | ||||||
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), | 117 | 131 | ||||||
GFL Environmental, Inc. | 190 | 190 | ||||||
MEG Energy Corp. 6.50%, 1/15/2025 (g) | 45 | 46 | ||||||
NOVA Chemicals Corp. | 89 | 95 | ||||||
5.25%, 6/1/2027 (g) | 26 | 28 | ||||||
4.25%, 5/15/2029 (g) | 40 | 41 | ||||||
Open Text Corp. 5.88%, 6/1/2026 (g) | 57 | 59 | ||||||
Precision Drilling Corp. | 23 | 24 | ||||||
Quebecor Media, Inc. 5.75%, 1/15/2023 | 130 | 139 | ||||||
Rogers Communications, Inc. | 25 | 29 | ||||||
3.70%, 11/15/2049 | 15 | 16 | ||||||
Stars Group Holdings BV 7.00%, 7/15/2026 (g) | 139 | 144 | ||||||
Suncor Energy, Inc. 3.75%, 3/4/2051 | 10 | 11 | ||||||
TransCanada PipeLines Ltd. | 10 | 12 | ||||||
5.10%, 3/15/2049 | 10 | 13 | ||||||
Transcanada Trust |
| |||||||
Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (f) | 33 | 37 | ||||||
(SOFR + 4.42%), 5.50%, 9/15/2079 (f) | 72 | 78 | ||||||
Videotron Ltd. 5.00%, 7/15/2022 | 38 | 40 | ||||||
5.13%, 4/15/2027 (g) | 32 | 33 | ||||||
|
| |||||||
1,965 | ||||||||
|
| |||||||
Cayman Islands — 0.0% (d) | ||||||||
Global Aircraft Leasing Co. Ltd. | ||||||||
7.25% (PIK), 9/15/2024 (g) (i) | 32 | 32 | ||||||
|
| |||||||
China — 0.0% (d) | ||||||||
NXP BV | ||||||||
3.25%, 5/11/2041 (g) | 10 | 10 | ||||||
|
| |||||||
Finland — 0.1% | ||||||||
Nokia OYJ | ||||||||
4.38%, 6/12/2027 | 12 | 13 | ||||||
6.63%, 5/15/2039 | 33 | 43 | ||||||
|
| |||||||
56 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
France — 0.7% | ||||||||
Altice France SA | ||||||||
8.13%, 2/1/2027 (g) | 200 | 218 | ||||||
Credit Agricole SA | ||||||||
(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (e) (f) (g) (h) | 200 | 243 | ||||||
Societe Generale SA | ||||||||
(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (e) (f) (g) (h) | 200 | 235 | ||||||
TotalEnergies Capital International SA | ||||||||
3.13%, 5/29/2050 | 25 | 26 | ||||||
3.39%, 6/29/2060 | 5 | 5 | ||||||
|
| |||||||
727 | ||||||||
|
| |||||||
Germany — 0.1% | ||||||||
Deutsche Telekom International Finance BV | ||||||||
8.75%, 6/15/2030 (j) | 55 | 82 | ||||||
|
| |||||||
Ireland — 0.3% | ||||||||
AerCap Holdings NV | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.54%), 5.87%, 10/10/2079 (f) | 150 | 156 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
5.50%, 1/15/2023 (g) | 9 | 9 | ||||||
5.13%, 10/1/2023 (g) | 33 | 36 | ||||||
5.25%, 5/15/2024 (g) | 21 | 23 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
4.50%, 3/15/2023 (g) | 16 | 17 | ||||||
5.50%, 2/15/2024 (g) | 37 | 41 | ||||||
— | ||||||||
|
| |||||||
282 | ||||||||
|
| |||||||
Italy — 0.3% | ||||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/2033 | 20 | 24 | ||||||
6.00%, 9/30/2034 | 112 | 129 | ||||||
UniCredit SpA | ||||||||
(EURIBOR ICE Swap Rate 5 Year + 4.08%), 3.88%, 6/3/2027 (c) (e) (f) (h) | EUR 200 | 227 | ||||||
|
| |||||||
380 | ||||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
Intelsat Jackson Holdings SA | ||||||||
5.50%, 8/1/2023 (k) | 100 | 57 | ||||||
8.00%, 2/15/2024 (g) (j) (k) | 77 | 80 | ||||||
8.50%, 10/15/2024 (g) (k) | 110 | 65 | ||||||
9.75%, 7/15/2025 (g) (k) | 35 | 20 | ||||||
|
| |||||||
222 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Netherlands — 0.2% | ||||||||
Shell International Finance BV | ||||||||
4.00%, 5/10/2046 | 25 | 29 | ||||||
Trivium Packaging Finance BV | ||||||||
5.50%, 8/15/2026 (g) (j) | 200 | 210 | ||||||
|
| |||||||
239 | ||||||||
|
| |||||||
Sweden — 0.2% | ||||||||
Svenska Handelsbanken AB | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (c) (e) (f) (h) | 200 | 211 | ||||||
|
| |||||||
Switzerland — 0.8% | ||||||||
Cloverie Plc for Zurich Insurance Co. Ltd. | ||||||||
(ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046 (c) (f) | 200 | 232 | ||||||
Credit Suisse Group AG | ||||||||
(USD Swap Semi 5 Year + 5.11%), 7.13%, 7/29/2022 (c) (e) (f) (h) | 200 | 209 | ||||||
(USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (e) (f) (g) (h) | 200 | 219 | ||||||
UBS Group AG | ||||||||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (c) (e) (f) (h) | 200 | 230 | ||||||
|
| |||||||
890 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
DAE Funding LLC | ||||||||
4.50%, 8/1/2022 (g) | 10 | 10 | ||||||
5.00%, 8/1/2024 (g) | 45 | 46 | ||||||
|
| |||||||
56 | ||||||||
|
| |||||||
United Kingdom — 1.1% | ||||||||
AstraZeneca plc | ||||||||
2.13%, 8/6/2050 | 65 | 57 | ||||||
BAT Capital Corp. | ||||||||
4.39%, 8/15/2037 | 17 | 18 | ||||||
4.76%, 9/6/2049 | 35 | 38 | ||||||
BP Capital Markets plc | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (e) (f) (h) | 26 | 28 | ||||||
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (c) (e) (f) (h) | EUR 100 | 129 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (e) (f) (h) | 142 | 156 | ||||||
Nationwide Building Society | ||||||||
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.63%), 5.75%, 6/20/2027 (c) (e) (f) (h) | GBP 250 | 388 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United Kingdom — continued | ||||||||
Natwest Group plc | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (e) (f) (h) | 200 | 223 | ||||||
Vodafone Group plc | ||||||||
5.00%, 5/30/2038 | 15 | 19 | ||||||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f) | 57 | 69 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 3.25%, 6/4/2081 (f) | 5 | 5 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (f) | 65 | 65 | ||||||
|
| |||||||
1,195 | ||||||||
|
| |||||||
United States—32.1% | ||||||||
7-Eleven, Inc. | ||||||||
2.80%, 2/10/2051 (g) | 10 | 9 | ||||||
AbbVie, Inc. | ||||||||
4.45%, 5/14/2046 | 25 | 30 | ||||||
4.25%, 11/21/2049 | 25 | 30 | ||||||
ACCO Brands Corp. | ||||||||
4.25%, 3/15/2029 (g) | 105 | 104 | ||||||
Activision Blizzard, Inc. | ||||||||
2.50%, 9/15/2050 | 5 | 4 | ||||||
ADT Security Corp. (The) | ||||||||
4.13%, 6/15/2023 | 95 | 100 | ||||||
4.88%, 7/15/2032 (g) | 45 | 47 | ||||||
Advanced Drainage Systems, Inc. | ||||||||
5.00%, 9/30/2027 (g) | 10 | 10 | ||||||
AECOM | ||||||||
5.13%, 3/15/2027 | 53 | 59 | ||||||
Aetna, Inc. | ||||||||
3.88%, 8/15/2047 | 40 | 45 | ||||||
Albertsons Cos., Inc. | ||||||||
5.75%, 3/15/2025 | 5 | 5 | ||||||
7.50%, 3/15/2026 (g) | 80 | 88 | ||||||
5.88%, 2/15/2028 (g) | 38 | 41 | ||||||
Alcoa Nederland Holding BV | ||||||||
6.13%, 5/15/2028 (g) | 200 | 219 | ||||||
Allegheny Technologies, Inc. | ||||||||
5.88%, 12/1/2027 | 10 | 10 | ||||||
Allied Universal Holdco LLC | ||||||||
6.63%, 7/15/2026 (g) | 13 | 14 | ||||||
9.75%, 7/15/2027 (g) | 13 | 14 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Allison Transmission, Inc. | ||||||||
4.75%, 10/1/2027 (g) | 65 | 67 | ||||||
5.88%, 6/1/2029 (g) | 70 | 77 | ||||||
Ally Financial, Inc. | ||||||||
5.75%, 11/20/2025 | 110 | 126 | ||||||
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028 (e) (f) (h) | 30 | 31 | ||||||
8.00%, 11/1/2031 | 39 | 56 | ||||||
Altria Group, Inc. |
| |||||||
3.88%, 9/16/2046 | 40 | 40 | ||||||
4.45%, 5/6/2050 | 10 | 10 | ||||||
AMC Entertainment Holdings, Inc. |
| |||||||
10.50%, 4/24/2026 (g) | 26 | 28 | ||||||
12.00% (PIK), 6/15/2026 (g) (i) | 81 | 83 | ||||||
American Airlines Group, Inc. |
| |||||||
5.00%, 6/1/2022 (g) | 21 | 21 | ||||||
American Axle & Manufacturing, Inc. |
| |||||||
6.25%, 4/1/2025 | 75 | 77 | ||||||
6.25%, 3/15/2026 (b) | 52 | 54 | ||||||
6.50%, 4/1/2027 (b) | 53 | 56 | ||||||
American Express Co. |
| |||||||
Series B, (ICE LIBOR USD 3 Month + 3.43%), 3.58%, 8/15/2021 (e) (f) (h) | 18 | 18 | ||||||
Series C, (ICE LIBOR USD 3 Month + 3.29%), 3.40%, 9/15/2021 (e) (f) (h) | 21 | 21 | ||||||
American International Group, Inc. |
| |||||||
3.88%, 1/15/2035 | 23 | 26 | ||||||
Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (f) | 29 | 33 | ||||||
American Tower Corp. |
| |||||||
REIT, 3.70%, 10/15/2049 | 10 | 11 | ||||||
REIT, 3.10%, 6/15/2050 | 45 | 44 | ||||||
American Water Capital Corp. |
| |||||||
3.45%, 5/1/2050 | 10 | 11 | ||||||
AmeriGas Partners LP |
| |||||||
5.63%, 5/20/2024 | 25 | 27 | ||||||
5.88%, 8/20/2026 | 55 | 62 | ||||||
5.75%, 5/20/2027 | 35 | 39 | ||||||
Amgen, Inc. |
| |||||||
3.15%, 2/21/2040 | 10 | 10 | ||||||
Amkor Technology, Inc. |
| |||||||
6.63%, 9/15/2027 (g) | 62 | 67 | ||||||
Amsted Industries, Inc. |
| |||||||
5.63%, 7/1/2027 (g) | 21 | 22 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Antero Midstream Partners LP |
| |||||||
7.88%, 5/15/2026 (g) | 65 | 73 | ||||||
5.38%, 6/15/2029 (g) | 60 | 62 | ||||||
Antero Resources Corp. |
| |||||||
8.38%, 7/15/2026 (g) | 41 | 47 | ||||||
Anthem, Inc. |
| |||||||
3.13%, 5/15/2050 | 15 | 15 | ||||||
Apple, Inc. |
| |||||||
4.50%, 2/23/2036 | 15 | 19 | ||||||
4.65%, 2/23/2046 | 5 | 7 | ||||||
Archrock Partners LP |
| |||||||
6.88%, 4/1/2027 (g) | 7 | 7 | ||||||
Arconic Corp. |
| |||||||
6.00%, 5/15/2025 (g) | 110 | 117 | ||||||
Ardagh Packaging Finance plc |
| |||||||
4.13%, 8/15/2026 (g) | 200 | 206 | ||||||
AT&T, Inc. | 35 | 36 | ||||||
3.30%, 2/1/2052 | 10 | 10 | ||||||
3.50%, 9/15/2053 (g) | 12 | 12 | ||||||
3.55%, 9/15/2055 (g) | 15 | 15 | ||||||
3.65%, 9/15/2059 (g) | 4 | 4 | ||||||
3.50%, 2/1/2061 | 15 | 15 | ||||||
Audacy Capital Corp. | 41 | 43 | ||||||
Avantor Funding, Inc. | 85 | 90 | ||||||
Avis Budget Car Rental LLC | 30 | 31 | ||||||
5.75%, 7/15/2027 (b) (g) | 24 | 25 | ||||||
B&G Foods, Inc. | 146 | 150 | ||||||
Baker Hughes a GE Co. LLC | 15 | 17 | ||||||
Bank of America Corp. | ||||||||
Series U, (ICE LIBOR USD 3 Month + 3.14%), 5.20%, 6/1/2023 (e) (f) (h) | 56 | 58 | ||||||
Series JJ, (ICE LIBOR USD 3 Month + 3.30%), 5.12%, 6/20/2024 (e) (f) (h) | 24 | 26 | ||||||
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (e) (f) (h) | 151 | 167 | ||||||
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (e) (f) (h) | 53 | 60 | ||||||
Series MM, (ICE LIBOR USD 3 Month + 2.66%), 4.30%, 1/28/2025 (e) (f) (h) | 140 | 145 | ||||||
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (e) (f) (h) | 20 | 22 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (e) (f) (h) | 33 | 37 | ||||||
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (e) (f) (h) | 197 | 227 | ||||||
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (e) (f) (h) | 133 | 152 | ||||||
(SOFR + 1.93%), 2.68%, 6/19/2041 (f) | 15 | 15 | ||||||
(ICE LIBOR USD 3 Month + 3.15%), 4.08%, 3/20/2051 (f) | 30 | 36 | ||||||
Bank of New York Mellon Corp. (The) |
| |||||||
Series E, (ICE LIBOR USD 3 Month + 3.42%), 3.55%, 9/20/2021 (e) (f) (h) | 22 | 22 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 6/20/2023 (e) (f) (h) | 27 | 28 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.36%), 4.70%, 9/20/2025 (e) (f) (h) | 13 | 14 | ||||||
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.35%), 3.70%, 3/20/2026 (e) (f) (h) | 20 | 21 | ||||||
Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026 (e) (f) (h) | 100 | 110 | ||||||
Bausch Health Americas, Inc. | 26 | 28 | ||||||
Bausch Health Cos., Inc. | 91 | 93 | ||||||
5.50%, 11/1/2025 (g) | 121 | 124 | ||||||
9.00%, 12/15/2025 (g) | 68 | 73 | ||||||
5.75%, 8/15/2027 (g) | 12 | 13 | ||||||
7.00%, 1/15/2028 (g) | 20 | 21 | ||||||
5.00%, 1/30/2028 (g) | 340 | 323 | ||||||
7.25%, 5/30/2029 (g) | 22 | 22 | ||||||
Baxter International, Inc. | 15 | 17 | ||||||
Berkshire Hathaway Finance Corp. | 10 | 12 | ||||||
Berry Global, Inc. | 5 | 5 | ||||||
4.88%, 7/15/2026 (g) | 84 | 89 | ||||||
5.63%, 7/15/2027 (g) | 20 | 21 | ||||||
Biogen, Inc. | 55 | 54 | ||||||
Boston Scientific Corp. | 10 | 12 | ||||||
BP Capital Markets America, Inc. | 30 | 29 | ||||||
2.77%, 11/10/2050 | 30 | 28 | ||||||
Brink’s Co. (The) | 75 | 78 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Bristol-Myers Squibb Co. | 30 | 36 | ||||||
Broadcom, Inc. | 15 | 17 | ||||||
3.50%, 2/15/2041 (g) | 5 | 5 | ||||||
3.75%, 2/15/2051 (g) | 15 | 16 | ||||||
Buckeye Partners LP | 60 | 61 | ||||||
BWX Technologies, Inc. | 120 | 122 | ||||||
Callon Petroleum Co. | 66 | 66 | ||||||
6.13%, 10/1/2024 | 8 | 8 | ||||||
6.38%, 7/1/2026 | 6 | 6 | ||||||
Calpine Corp. | 61 | 63 | ||||||
4.50%, 2/15/2028 (g) | 75 | 76 | ||||||
Cameron LNG LLC | 5 | 5 | ||||||
Capital One Financial Corp. |
| |||||||
Series E, (ICE LIBOR USD 3 Month + 3.80%), 3.93%, 9/1/2021 (e) (f) (h) | 30 | 30 | ||||||
Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (e) (f) (h) | 64 | 65 | ||||||
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (g) | 29 | 30 | ||||||
CCO Holdings LLC 5.75%, 2/15/2026 (g) | 41 | 42 | ||||||
5.50%, 5/1/2026 (g) | 130 | 135 | ||||||
5.13%, 5/1/2027 (g) | 158 | 166 | ||||||
5.00%, 2/1/2028 (g) | 23 | 24 | ||||||
4.75%, 3/1/2030 (g) | 404 | 427 | ||||||
CDK Global, Inc. 5.25%, 5/15/2029 (g) | 99 | 108 | ||||||
CDW LLC 4.25%, 4/1/2028 | 40 | 42 | ||||||
Cedar Fair LP 5.38%, 4/15/2027 | 3 | 3 | ||||||
5.25%, 7/15/2029 | 6 | 6 | ||||||
Centene Corp. 3.38%, 2/15/2030 | 330 | 345 | ||||||
CenterPoint Energy, Inc. |
| |||||||
Series A, (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023 (e) (f) (h) | 46 | 49 | ||||||
Central Garden & Pet Co. 5.13%, 2/1/2028 | 140 | 148 | ||||||
Charles Schwab Corp. (The) |
| |||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 5.38%, 6/1/2025 (e) (f) (h) | 50 | 55 | ||||||
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (e) (f) (h) | 140 | 146 |
INVESTMENTS | PRINCIPAL ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Series F, (ICE LIBOR USD 3 Month + 2.58%), 5.00%, 12/1/2027 (e) (f) (h) | 91 | 96 | ||||||
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (e) (f) (h) | 209 | 214 | ||||||
Chemours Co. (The) 7.00%, 5/15/2025 | 82 | 84 | ||||||
5.38%, 5/15/2027 (b) | 55 | 60 | ||||||
Cheniere Energy Partners LP 5.63%, 10/1/2026 | 14 | 15 | ||||||
4.50%, 10/1/2029 | 120 | 129 | ||||||
Chevron Corp. 2.98%, 5/11/2040 | 10 | 10 | ||||||
Chevron USA, Inc. 2.34%, 8/12/2050 | 5 | 5 | ||||||
Cincinnati Bell, Inc. 7.00%, 7/15/2024 (g) | 45 | 46 | ||||||
8.00%, 10/15/2025 (g) | 15 | 16 | ||||||
CIT Group, Inc. 4.75%, 2/16/2024 | 22 | 24 | ||||||
5.25%, 3/7/2025 | 45 | 51 | ||||||
6.13%, 3/9/2028 | 21 | 25 | ||||||
Citigroup, Inc. |
| |||||||
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (b) (e) (f) (h) | �� | 114 | 120 | |||||
(ICE LIBOR USD 3 Month + 4.23%), 5.90%, 2/15/2023 (b) (e) (f) (h) | 30 | 32 | ||||||
Series D, (ICE LIBOR USD 3 Month + 3.47%), 5.35%, 5/15/2023 (e) (f) (h) | 10 | 10 | ||||||
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (e) (f) (h) | 158 | 170 | ||||||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (e) (f) (h) | 141 | 148 | ||||||
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (e) (f) (h) | 124 | 128 | ||||||
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (e) (f) (h) | 103 | 113 | ||||||
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (e) (f) (h) | 159 | 164 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (e) (f) (h) | 60 | 61 | ||||||
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (e) (f) (h) | 98 | 114 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (f) | 10 | 12 | ||||||
(SOFR + 4.55%), 5.32%, 3/26/2041 (f) | 35 | 47 | ||||||
(ICE LIBOR USD 3 Month + 1.84%), 4.28%, 4/24/2048 (f) | 6 | 7 | ||||||
Citizens Financial Group, Inc. |
| |||||||
Series A, (ICE LIBOR USD 3 Month + 3.96%), 4.15%, 7/6/2021 (e) (f) (h) | 27 | 27 | ||||||
Series B, (ICE LIBOR USD 3 Month + 3.00%), 6.00%, 7/6/2023 (e) (f) (h) | 23 | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Series C, (ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024 (e) (f) (h) | 35 | 37 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.00%, 10/6/2026 (e) (f) (h) | 55 | 56 | ||||||
Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (g) | 35 | 36 | ||||||
CMS Energy Corp. |
| |||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (f) | 36 | 40 | ||||||
Colfax Corp. 6.38%, 2/15/2026 (g) | 5 | 5 | ||||||
Comcast Corp. | 20 | 22 | ||||||
4.05%, 11/1/2052 | 5 | 6 | ||||||
Commercial Metals Co. | 19 | 20 | ||||||
5.38%, 7/15/2027 | 61 | 65 | ||||||
CommScope Technologies LLC | 97 | 99 | ||||||
5.00%, 3/15/2027 (g) | 15 | 15 | ||||||
CommScope, Inc. | 31 | 32 | ||||||
6.00%, 3/1/2026 (g) | 35 | 37 | ||||||
8.25%, 3/1/2027 (g) | 75 | 80 | ||||||
Community Health Systems, Inc. 8.00%, 3/15/2026 (g) | 176 | 190 | ||||||
Constellation Brands, Inc. 5.25%, 11/15/2048 | 15 | 20 | ||||||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (g) | 32 | 31 | ||||||
Corning, Inc. 5.35%, 11/15/2048 | 5 | 7 | ||||||
Covanta Holding Corp. 5.88%, 7/1/2025 | 19 | 20 | ||||||
Cox Communications, Inc. | 5 | 6 | ||||||
2.95%, 10/1/2050 (g) | 15 | 14 | ||||||
Crestwood Midstream Partners LP | 29 | 30 | ||||||
5.63%, 5/1/2027 (g) | 10 | 10 | ||||||
Crown Americas LLC | 27 | 28 | ||||||
4.75%, 2/1/2026 | 26 | 27 | ||||||
Crown Castle International Corp. |
| |||||||
REIT, 2.90%, 4/1/2041 | 15 | 15 | ||||||
REIT, 5.20%, 2/15/2049 | 5 | 6 | ||||||
REIT, 4.15%, 7/1/2050 | 28 | 32 | ||||||
CSC Holdings LLC | 27 | 27 | ||||||
5.88%, 9/15/2022 | 15 | 16 | ||||||
5.25%, 6/1/2024 | 157 | 170 | ||||||
5.75%, 1/15/2030 (g) | 200 | 208 | ||||||
CSX Corp. 4.75%, 11/15/2048 | 19 | 25 | ||||||
Cummins, Inc. 2.60%, 9/1/2050 | 10 | 10 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Curo Group Holdings Corp. 8.25%, 9/1/2025 (g) | 71 | 73 | ||||||
CVR Partners LP 9.25%, 6/15/2023 (g) | 24 | 24 | ||||||
CVS Health Corp. | 15 | 18 | ||||||
4.13%, 4/1/2040 | 10 | 12 | ||||||
2.70%, 8/21/2040 | 20 | 19 | ||||||
5.30%, 12/5/2043 | 30 | 40 | ||||||
5.05%, 3/25/2048 | 10 | 13 | ||||||
Dana, Inc. 5.38%, 11/15/2027 | 115 | 122 | ||||||
Darling Ingredients, Inc. 5.25%, 4/15/2027 (g) | 12 | 13 | ||||||
DaVita, Inc. 4.63%, 6/1/2030 (g) | 140 | 144 | ||||||
DCP Midstream Operating LP | 5 | 5 | ||||||
3.88%, 3/15/2023 | 38 | 39 | ||||||
5.38%, 7/15/2025 | 14 | 16 | ||||||
6.75%, 9/15/2037 (b) (g) | 20 | 24 | ||||||
Deere & Co. 3.75%, 4/15/2050 | 15 | 18 | ||||||
Dell International LLC | 65 | 67 | ||||||
6.02%, 6/15/2026 | 10 | 12 | ||||||
DH Europe Finance II SARL 3.25%, 11/15/2039 | 10 | 11 | ||||||
Diamond Sports Group LLC 5.38%, 8/15/2026 (g) | 53 | 34 | ||||||
Discovery Communications LLC | 20 | 25 | ||||||
4.65%, 5/15/2050 | 20 | 24 | ||||||
DISH DBS Corp. | 24 | 25 | ||||||
5.00%, 3/15/2023 | 223 | 233 | ||||||
5.88%, 11/15/2024 | 25 | 27 | ||||||
7.75%, 7/1/2026 | 125 | 142 | ||||||
Dole Food Co., Inc. 7.25%, 6/15/2025 (g) | 50 | 51 | ||||||
Dominion Energy, Inc. |
| |||||||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (e) (f) (h) | 24 | 25 | ||||||
(ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/1/2054 (f) | 10 | 11 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (g) | 87 | 91 | ||||||
DT Midstream, Inc. 4.13%, 6/15/2029 (g) | 150 | 152 | ||||||
Duke Energy Corp. | 15 | 16 | ||||||
3.95%, 8/15/2047 | 10 | 11 | ||||||
Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026 (g) | 27 | 29 | ||||||
Element Solutions, Inc. 3.88%, 9/1/2028 (g) | 130 | 133 | ||||||
Embarq Corp. 8.00%, 6/1/2036 | 124 | 141 | ||||||
EMC Corp. 3.38%, 6/1/2023 | 26 | 27 | ||||||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (g) | 95 | 93 | ||||||
Encompass Health Corp. 4.50%, 2/1/2028 | 185 | 192 | ||||||
Energizer Holdings, Inc. 4.75%, 6/15/2028 (g) | 140 | 143 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Energy Transfer LP |
| |||||||
Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (e) (f) (h) | 65 | 64 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030 (e) (f) (h) | 30 | 31 | ||||||
EnLink Midstream Partners LP |
| |||||||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (e) (f) (h) | 30 | 23 | ||||||
4.40%, 4/1/2024 | 19 | 20 | ||||||
4.15%, 6/1/2025 | 23 | 24 | ||||||
4.85%, 7/15/2026 | 58 | 60 | ||||||
5.60%, 4/1/2044 | 5 | 5 | ||||||
Entegris, Inc. | 125 | 127 | ||||||
Entergy Texas, Inc. | 15 | 16 | ||||||
Enterprise Products Operating LLC | 25 | 29 | ||||||
Series E, (ICE LIBOR USD 3 Month + 3.03%), | 25 | 26 | ||||||
Envision Healthcare Corp. | 20 | 14 | ||||||
EOG Resources, Inc. | 10 | 12 | ||||||
EQT Corp. | 105 | 122 | ||||||
Equitable Holdings, Inc. |
| |||||||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.74%), | 5 | 5 | ||||||
ESH Hospitality, Inc. | 30 | 31 | ||||||
Essex Portfolio LP | 10 | 9 | ||||||
Evergy, Inc. | 20 | 21 | ||||||
Exela Intermediate LLC | 94 | 62 | ||||||
Exxon Mobil Corp. | 20 | 24 | ||||||
4.33%, 3/19/2050 | 15 | 18 | ||||||
Fidelity National Information Services, Inc. | 10 | 10 | ||||||
FirstEnergy Transmission LLC | 15 | 18 | ||||||
Ford Motor Credit Co. LLC | 200 | 216 | ||||||
4.54%, 8/1/2026 | 200 | 217 | ||||||
5.11%, 5/3/2029 | 275 | 308 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Fox Corp. | 5 | 7 | ||||||
Freeport-McMoRan, Inc. | 140 | 148 | ||||||
5.45%, 3/15/2043 | 75 | 92 | ||||||
Frontier Communications Holdings LLC | 5 | 5 | ||||||
Gartner, Inc. | 95 | 100 | ||||||
General Electric Co. |
| |||||||
Series D, (ICE LIBOR USD 3 Month + 3.33%), 3.45%, 9/15/2021 (e) (f) (h) | 304 | 298 | ||||||
Genesis Energy LP | 5 | 5 | ||||||
6.25%, 5/15/2026 | 15 | 15 | ||||||
Gilead Sciences, Inc. | 15 | 17 | ||||||
2.80%, 10/1/2050 | 35 | 34 | ||||||
Global Payments, Inc. | 5 | 6 | ||||||
Go Daddy Operating Co. LLC | 50 | 53 | ||||||
Goldman Sachs Capital II | ||||||||
(ICE LIBOR USD 3 Month + 0.77%, 4.00% Floor), 4.00%, 8/2/2021 (e) (f) (h) | 22 | 22 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), | 5 | 5 | ||||||
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), | 24 | 26 | ||||||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), | 99 | 101 | ||||||
Series O, (ICE LIBOR USD 3 Month + 3.83%), | 21 | 23 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), | 15 | 17 | ||||||
4.80%, 7/8/2044 | 25 | 33 | ||||||
Goodyear Tire & Rubber Co. (The) | 47 | 48 | ||||||
5.00%, 7/15/2029 (g) | 10 | 11 | ||||||
Gray Television, Inc. | 20 | 20 | ||||||
7.00%, 5/15/2027 (g) | 45 | 49 | ||||||
Greif, Inc. | 126 | 133 | ||||||
Griffon Corp. | 95 | 101 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Guardian Life Insurance Co. of America (The) | 5 | 7 | ||||||
3.70%, 1/22/2070 (g) | 5 | 5 | ||||||
Hanesbrands, Inc. | 60 | 65 | ||||||
Harsco Corp. | 9 | 9 | ||||||
HCA, Inc. | ||||||||
5.38%, 2/1/2025 | 146 | 165 | ||||||
5.88%, 2/15/2026 | 285 | 329 | ||||||
5.63%, 9/1/2028 | 274 | 325 | ||||||
Herc Holdings, Inc. | ||||||||
5.50%, 7/15/2027 (g) | 28 | 30 | ||||||
Hertz Corp. (The) | ||||||||
7.63%, 6/1/2022 (g) (k) | 8 | 9 | ||||||
Hilcorp Energy I LP | 39 | 41 | ||||||
Hill-Rom Holdings, Inc. | 75 | 78 | ||||||
Hilton Domestic Operating Co., Inc. | 24 | 26 | ||||||
Hilton Grand Vacations Borrower LLC | 28 | 29 | ||||||
Hilton Worldwide Finance LLC | 32 | 33 | ||||||
Hologic, Inc. | 25 | 26 | ||||||
Howmet Aerospace, Inc. | 107 | 118 | ||||||
5.90%, 2/1/2027 | 8 | 10 | ||||||
5.95%, 2/1/2037 | 34 | 41 | ||||||
Hughes Satellite Systems Corp. | 125 | 140 | ||||||
6.63%, 8/1/2026 | 20 | 22 | ||||||
Huntington Bancshares, Inc. | 23 | 24 | ||||||
Icahn Enterprises LP | 70 | 73 | ||||||
6.38%, 12/15/2025 | 22 | 23 | ||||||
iHeartCommunications, Inc. | 57 | 61 | ||||||
8.38%, 5/1/2027 | 98 | 104 | ||||||
5.25%, 8/15/2027 (g) | 18 | 19 | ||||||
ILFC E-Capital Trust I | 100 | 83 | ||||||
Intel Corp. | 10 | 12 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
International Game Technology plc | 200 | 224 | ||||||
IQVIA, Inc. | 200 | 209 | ||||||
IRB Holding Corp. | 56 | 58 | ||||||
Iron Mountain, Inc. | ||||||||
REIT, 4.88%, 9/15/2027 (g) | 84 | 87 | ||||||
REIT, 5.25%, 3/15/2028 (g) | 48 | 50 | ||||||
JB Poindexter & Co., Inc. | ||||||||
7.13%, 4/15/2026 (g) | 31 | 33 | ||||||
JBS USA LUX SA | 63 | 71 | ||||||
5.50%, 1/15/2030 (g) | 42 | 47 | ||||||
Johnson & Johnson | 15 | 14 | ||||||
Kaiser Aluminum Corp. | 80 | 83 | ||||||
Keurig Dr Pepper, Inc. | 25 | 28 | ||||||
Kinder Morgan Energy Partners LP | 10 | 12 | ||||||
Kinder Morgan, Inc. | 15 | 15 | ||||||
Kroger Co. (The) | 15 | 19 | ||||||
3.88%, 10/15/2046 | 38 | 42 | ||||||
L Brands, Inc. | 100 | 118 | ||||||
LABL Escrow Issuer LLC | 100 | 107 | ||||||
Ladder Capital Finance Holdings LLLP | 48 | 49 | ||||||
Lamar Media Corp. | 85 | 90 | ||||||
Lamb Weston Holdings, Inc. | 89 | 92 | ||||||
Lennar Corp. | 15 | 17 | ||||||
5.88%, 11/15/2024 | 45 | 51 | ||||||
4.75%, 5/30/2025 | 5 | 6 | ||||||
5.25%, 6/1/2026 | 14 | 16 | ||||||
5.00%, 6/15/2027 | 20 | 23 | ||||||
Level 3 Financing, Inc. | 91 | 93 | ||||||
5.25%, 3/15/2026 | 54 | 56 | ||||||
Liberty Interactive LLC | 35 | 40 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Live Nation Entertainment, Inc. | 33 | 34 | ||||||
6.50%, 5/15/2027 (g) | 165 | 183 | ||||||
Lowe’s Cos., Inc. | 10 | 11 | ||||||
Lumen Technologies, Inc. | 30 | 31 | ||||||
Series W, 6.75%, 12/1/2023 | 28 | 31 | ||||||
Series Y, 7.50%, 4/1/2024 | 2 | 2 | ||||||
5.63%, 4/1/2025 | 57 | 62 | ||||||
Series G, 6.88%, 1/15/2028 | 160 | 179 | ||||||
Macy’s, Inc. | 90 | 99 | ||||||
Madison IAQ LLC | 75 | 76 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
6.50%, 9/15/2026 | 50 | 52 | ||||||
MasTec, Inc. | 95 | 100 | ||||||
Matador Resources Co. | 55 | 57 | ||||||
Mattel, Inc. | 37 | 38 | ||||||
6.75%, 12/31/2025 (g) | 28 | 29 | ||||||
Mauser Packaging Solutions Holding Co. | 227 | 229 | ||||||
McDonald’s Corp. | 10 | 11 | ||||||
3.63%, 9/1/2049 | 10 | 11 | ||||||
Mellon Capital IV |
| |||||||
Series 1, (ICE LIBOR USD 3 Month + 0.57%, 4.00% Floor), 4.00%, 8/2/2021 (e) (f) (h) | 18 | 18 | ||||||
Meredith Corp. | 181 | 188 | ||||||
MetLife Capital Trust IV | 100 | 139 | ||||||
MetLife, Inc. |
| |||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), | 70 | 73 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.96%), | 59 | 68 | ||||||
6.40%, 12/15/2036 | 98 | 126 | ||||||
6.40%, 12/15/2036 | 10 | 13 | ||||||
MGM Growth Properties Operating Partnership LP | ||||||||
REIT, 5.75%, 2/1/2027 | 23 | 26 | ||||||
MGM Resorts International | 200 | 211 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Midcontinent Communications | 17 | 18 | ||||||
Mississippi Power Co. | 15 | 18 | ||||||
Moody’s Corp. | 20 | 18 | ||||||
Morgan Stanley |
| |||||||
Series H, (ICE LIBOR USD 3 Month + 3.61%), | 239 | 240 | ||||||
Series N, (ICE LIBOR USD 3 Month + 3.16%), | 8 | 8 | ||||||
Series M, (ICE LIBOR USD 3 Month + 4.44%), | 18 | 21 | ||||||
(SOFR + 1.49%), 3.22%, 4/22/2042 (f) | 10 | 10 | ||||||
(SOFR + 1.43%), 2.80%, 1/25/2052 (f) | 20 | 20 | ||||||
MPLX LP | 5 | 6 | ||||||
MSCI, Inc. | 69 | 73 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
(ICE LIBOR USD 3 Month + 3.63%), | 20 | 22 | ||||||
Nationstar Mortgage Holdings, Inc. | 95 | 98 | ||||||
NCR Corp. | 25 | 27 | ||||||
6.13%, 9/1/2029 (g) | 105 | 114 | ||||||
Netflix, Inc. | 100 | 116 | ||||||
4.88%, 4/15/2028 | 15 | 17 | ||||||
5.88%, 11/15/2028 | 60 | 74 | ||||||
5.38%, 11/15/2029 (g) | 15 | 18 | ||||||
4.88%, 6/15/2030 (g) | 15 | 18 | ||||||
New Albertsons LP | 5 | 6 | ||||||
6.63%, 6/1/2028 | 15 | 16 | ||||||
7.45%, 8/1/2029 | 21 | 24 | ||||||
8.00%, 5/1/2031 | 80 | 97 | ||||||
Newell Brands, Inc. | 150 | 167 | ||||||
Nexstar Broadcasting, Inc. | 43 | 46 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 2.07%), | 47 | 44 | ||||||
(ICE LIBOR USD 3 Month + 2.13%), | 64 | 60 | ||||||
(ICE LIBOR USD 3 Month + 3.16%), | 28 | 32 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
NextEra Energy Operating Partners LP | 23 | 24 | ||||||
4.25%, 9/15/2024 (g) | 4 | 4 | ||||||
4.50%, 9/15/2027 (g) | 8 | 9 | ||||||
Nielsen Co. Luxembourg SARL (The) | 10 | 10 | ||||||
NiSource, Inc. | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), | 62 | 66 | ||||||
4.80%, 2/15/2044 | 4 | 5 | ||||||
Norfolk Southern Corp. | 10 | 12 | ||||||
3.40%, 11/1/2049 | 5 | 5 | ||||||
3.05%, 5/15/2050 | 20 | 20 | ||||||
Northrop Grumman Corp. | 20 | 26 | ||||||
3.85%, 4/15/2045 | 35 | 40 | ||||||
Northwestern Mutual Life Insurance Co. (The) | 2 | 2 | ||||||
Novelis Corp. | 25 | 26 | ||||||
NRG Energy, Inc. | 40 | 41 | ||||||
6.63%, 1/15/2027 | 15 | 15 | ||||||
5.75%, 1/15/2028 | 12 | 13 | ||||||
5.25%, 6/15/2029 (g) | 136 | 145 | ||||||
Nuance Communications, Inc. | 59 | 61 | ||||||
NuStar Logistics LP | 12 | 13 | ||||||
5.63%, 4/28/2027 | 30 | 32 | ||||||
Occidental Petroleum Corp. | 205 | 209 | ||||||
8.88%, 7/15/2030 | 115 | 154 | ||||||
Oceaneering International, Inc. | 14 | 14 | ||||||
ON Semiconductor Corp. | 85 | 88 | ||||||
OneMain Finance Corp. | 5 | 5 | ||||||
5.63%, 3/15/2023 | 27 | 29 | ||||||
6.13%, 3/15/2024 | 20 | 21 | ||||||
6.88%, 3/15/2025 | 45 | 51 | ||||||
7.13%, 3/15/2026 | 52 | 61 | ||||||
6.63%, 1/15/2028 | 33 | 38 | ||||||
Oracle Corp. | 26 | 29 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
3.85%, 7/15/2036 | 4 | 4 | ||||||
3.60%, 4/1/2040 | 10 | 11 | ||||||
Otis Worldwide Corp. | 5 | 5 | ||||||
Outfront Media Capital LLC | 15 | 16 | ||||||
Pacific Gas and Electric Co. | 30 | 28 | ||||||
Par Pharmaceutical, Inc. | 12 | 12 | ||||||
PBF Logistics LP | 7 | 7 | ||||||
Performance Food Group, Inc. | 20 | 21 | ||||||
PG&E Corp. | 110 | 111 | ||||||
Philip Morris International, Inc. | 25 | 30 | ||||||
4.13%, 3/4/2043 | 5 | 6 | ||||||
4.25%, 11/10/2044 | 20 | 23 | ||||||
Phillips 66 | 15 | 19 | ||||||
Piedmont Natural Gas Co., Inc. | 15 | 15 | ||||||
Pilgrim’s Pride Corp. | 39 | 42 | ||||||
Plains All American Pipeline LP | ||||||||
Series B, (ICE LIBOR USD 3 Month + 4.11%), | 8 | 7 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
Series O, (ICE LIBOR USD 3 Month + 3.68%), | 68 | 68 | ||||||
Series R, (ICE LIBOR USD 3 Month + 3.04%), | 64 | 67 | ||||||
Series S, (ICE LIBOR USD 3 Month + 3.30%), | 39 | 43 | ||||||
Post Holdings, Inc. | 20 | 21 | ||||||
5.50%, 12/15/2029 (g) | 140 | 150 | ||||||
PPL Capital Funding, Inc. |
| |||||||
Series A, (ICE LIBOR USD 3 Month + 2.67%), | 97 | 95 | ||||||
Prime Security Services Borrower LLC | 31 | 33 | ||||||
5.75%, 4/15/2026 (g) | 50 | 55 | ||||||
Progressive Corp. (The) |
| |||||||
Series B, (ICE LIBOR USD 3 Month + 2.54%), | 75 | 79 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Prologis LP | ||||||||
REIT, 2.13%, 10/15/2050 | 35 | 30 | ||||||
Prudential Financial, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 3.92%), | 171 | 184 | ||||||
Quicken Loans LLC | 20 | 21 | ||||||
Radian Group, Inc. | 40 | 43 | ||||||
4.88%, 3/15/2027 | 12 | 13 | ||||||
Range Resources Corp. | 85 | 88 | ||||||
Raytheon Technologies Corp. | 40 | 48 | ||||||
Regeneron Pharmaceuticals, Inc. | 10 | 9 | ||||||
Reynolds Group Issuer, Inc. | 200 | 199 | ||||||
RHP Hotel Properties LP | 18 | 18 | ||||||
Rite Aid Corp. | 140 | 142 | ||||||
Royal Caribbean Cruises Ltd. | 115 | 133 | ||||||
S&P Global, Inc. | 35 | 30 | ||||||
Sabre GLBL, Inc. | 110 | 131 | ||||||
Scientific Games International, Inc. | 156 | 161 | ||||||
Scotts Miracle-Gro Co. (The) | 125 | 130 | ||||||
Seagate HDD Cayman | 95 | 105 | ||||||
Sealed Air Corp. | 20 | 22 | ||||||
Sempra Energy | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), | 105 | 114 | ||||||
Sensata Technologies BV | 15 | 16 | ||||||
5.63%, 11/1/2024 (g) | 125 | 139 | ||||||
5.00%, 10/1/2025 (g) | 30 | 33 | ||||||
Service Corp. International | 12 | 13 | ||||||
5.13%, 6/1/2029 | 5 | 5 | ||||||
Sherwin-Williams Co. (The) | 5 | 6 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Sinclair Television Group, Inc. | 50 | 52 | ||||||
Sirius XM Radio, Inc. | 87 | 90 | ||||||
5.00%, 8/1/2027 (g) | 53 | 56 | ||||||
5.50%, 7/1/2029 (g) | 161 | 175 | ||||||
Six Flags Entertainment Corp. | 12 | 12 | ||||||
5.50%, 4/15/2027 (g) | 102 | 105 | ||||||
SM Energy Co. | 12 | 12 | ||||||
6.63%, 1/15/2027 | 16 | 17 | ||||||
Southern California Edison Co. | ||||||||
Series E, (ICE LIBOR USD 3 Month + 4.20%), 6.25%, 2/1/2022 (b) (e) (f) (h) | 12 | 12 | ||||||
Series C, 4.13%, 3/1/2048 | 5 | 6 | ||||||
3.65%, 2/1/2050 | 20 | 20 | ||||||
Southwestern Energy Co. | 135 | 146 | ||||||
Spectrum Brands, Inc. | 8 | 8 | ||||||
5.00%, 10/1/2029 (g) | 31 | 33 | ||||||
Sprint Capital Corp. | 197 | 299 | ||||||
Sprint Corp. | 227 | 258 | ||||||
7.13%, 6/15/2024 | 71 | 82 | ||||||
7.63%, 2/15/2025 | 194 | 230 | ||||||
7.63%, 3/1/2026 | 39 | 48 | ||||||
Square, Inc. | 150 | 151 | ||||||
SS&C Technologies, Inc. | 93 | 99 | ||||||
Standard Industries, Inc. | 18 | 19 | ||||||
4.75%, 1/15/2028 (g) | 77 | 80 | ||||||
Stanley Black & Decker, Inc. |
| |||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), | 10 | 11 | ||||||
Staples, Inc. | 95 | 98 | ||||||
10.75%, 4/15/2027 (b) (g) | 85 | 87 | ||||||
Starbucks Corp. | 10 | 11 | ||||||
4.45%, 8/15/2049 | 20 | 25 | ||||||
State Street Corp. | ||||||||
Series F, (ICE LIBOR USD 3 Month + 3.60%), | 25 | 25 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Series H, (ICE LIBOR USD 3 Month + 2.54%), | 45 | 48 | ||||||
Station Casinos LLC | 20 | 20 | ||||||
Steel Dynamics, Inc. | 15 | 16 | ||||||
Stericycle, Inc. | 150 | 150 | ||||||
Summit Materials LLC | 35 | 35 | ||||||
6.50%, 3/15/2027 (g) | 45 | 48 | ||||||
Sunoco LP | 13 | 14 | ||||||
6.00%, 4/15/2027 | 71 | 74 | ||||||
5.88%, 3/15/2028 | 3 | 3 | ||||||
SVB Financial Group | ||||||||
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), | 100 | 102 | ||||||
Sysco Corp. | 5 | 5 | ||||||
Tallgrass Energy Partners LP | 87 | 88 | ||||||
5.50%, 1/15/2028 (g) | 5 | 5 | ||||||
Targa Resources Partners LP | 82 | 86 | ||||||
6.50%, 7/15/2027 | 191 | 207 | ||||||
Team Health Holdings, Inc. | 85 | 81 | ||||||
TEGNA, Inc. | 4 | 4 | ||||||
Tempur Sealy International, Inc. | 150 | 152 | ||||||
Tenet Healthcare Corp. | 75 | 76 | ||||||
4.63%, 9/1/2024 (g) | 11 | 11 | ||||||
4.88%, 1/1/2026 (g) | 163 | 169 | ||||||
6.25%, 2/1/2027 (g) | 30 | 32 | ||||||
5.13%, 11/1/2027 (g) | 189 | 198 | ||||||
TerraForm Power Operating LLC | 15 | 15 | ||||||
5.00%, 1/31/2028 (g) | 29 | 31 | ||||||
T-Mobile USA, Inc. | 99 | 101 | ||||||
4.75%, 2/1/2028 | 93 | 99 | ||||||
4.38%, 4/15/2040 | 45 | 53 | ||||||
3.00%, 2/15/2041 | 10 | 10 | ||||||
4.50%, 4/15/2050 | 15 | 18 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
3.30%, 2/15/2051 | 15 | 15 | ||||||
TransDigm, Inc. | 184 | 194 | ||||||
Transocean Pontus Ltd. | 34 | 34 | ||||||
Transocean Poseidon Ltd. | 50 | 50 | ||||||
Transocean Proteus Ltd. | 19 | 19 | ||||||
Travel + Leisure Co. | 2 | 2 | ||||||
5.65%, 4/1/2024 (j) | 17 | 19 | ||||||
6.60%, 10/1/2025 (j) | 16 | 18 | ||||||
6.00%, 4/1/2027 (j) | 25 | 27 | ||||||
Travelers Cos., Inc. (The) | 10 | 12 | ||||||
Trinseo Materials Operating SCA | 52 | 53 | ||||||
Truist Financial Corp. |
| |||||||
Series N, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), | 7 | 7 | ||||||
Series L, (ICE LIBOR USD 3 Month + 3.10%), | 34 | 35 | ||||||
Series P, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.61%), | 11 | 12 | ||||||
Series M, (ICE LIBOR USD 3 Month + 2.79%), | 40 | 43 | ||||||
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), | 127 | 143 | ||||||
Tucson Electric Power Co. | 13 | 15 | ||||||
Union Electric Co. | 13 | 15 | ||||||
Union Pacific Corp. | 11 | 13 | ||||||
United Airlines Holdings, Inc. | 33 | 34 | ||||||
4.88%, 1/15/2025 (b) | 28 | 29 | ||||||
United Airlines, Inc. | 70 | 72 | ||||||
United Rentals North America, Inc. | 32 | 33 | ||||||
5.50%, 5/15/2027 | 10 | 11 | ||||||
4.88%, 1/15/2028 | 240 | 254 | ||||||
UnitedHealth Group, Inc. | 10 | 10 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
US Bancorp | ||||||||
Series J, (ICE LIBOR USD 3 Month + 2.91%), | 8 | 9 | ||||||
Verizon Communications, Inc. | 20 | 24 | ||||||
4.27%, 1/15/2036 | 25 | 30 | ||||||
3.40%, 3/22/2041 | 10 | 11 | ||||||
3.85%, 11/1/2042 | 15 | 17 | ||||||
4.86%, 8/21/2046 | 25 | 32 | ||||||
ViacomCBS, Inc. | 10 | 13 | ||||||
4.95%, 5/19/2050 (b) | 45 | 57 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), | 39 | 40 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), | 103 | 118 | ||||||
VICI Properties LP | 75 | 78 | ||||||
Vistra Operations Co. LLC | 20 | 21 | ||||||
5.63%, 2/15/2027 (g) | 130 | 135 | ||||||
Weekley Homes LLC | 100 | 103 | ||||||
Wells Fargo & Co. | ||||||||
Series S, (ICE LIBOR USD 3 Month + 3.11%), | 43 | 46 | ||||||
Series U, (ICE LIBOR USD 3 Month + 3.99%), | 18 | 20 | ||||||
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), | 327 | 339 | ||||||
(SOFR + 2.53%), 3.07%, 4/30/2041 (f) | 35 | 36 | ||||||
WESCO Distribution, Inc. | 36 | 37 | ||||||
7.13%, 6/15/2025 (g) | 40 | 43 | ||||||
7.25%, 6/15/2028 (g) | 125 | 139 | ||||||
Western Digital Corp. | 74 | 82 | ||||||
Western Midstream Operating LP | 135 | 146 | ||||||
William Carter Co. (The) | 73 | 77 | ||||||
Wynn Las Vegas LLC | 35 | 38 | ||||||
Wynn Resorts Finance LLC | 224 | 237 | ||||||
Xcel Energy, Inc. | 10 | 11 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Xerox Corp. | 45 | 47 | ||||||
XPO Logistics, Inc. | 40 | 40 | ||||||
6.75%, 8/15/2024 (g) | 65 | 68 | ||||||
6.25%, 5/1/2025 (g) | 65 | 69 | ||||||
Yum! Brands, Inc. | 24 | 26 | ||||||
Zayo Group Holdings, Inc. | 140 | 139 | ||||||
|
| |||||||
34,967 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 41,661 | ||||||
|
| |||||||
SHARES | ||||||||
Investment Companies — 5.7% | ||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (l) | 240 | 1,929 | ||||||
JPMorgan Equity Income Fund | 133 | 3,025 | ||||||
JPMorgan Floating Rate Income Fund | 107 | 960 | ||||||
JPMorgan Managed Income Fund | 25 | 249 | ||||||
|
| |||||||
Total Investment Companies |
| 6,163 | ||||||
|
|
PRINCIPAL AMOUNT ($000) | ||||||||
Equity-Linked Notes — 4.2% |
| |||||||
Citigroup Global Markets Holdings, Inc., ELN, | — | (a) | 1,114 | |||||
National Bank of Canada, ELN, | — | (a) | 1,122 | |||||
National Bank of Canada, ELN, | 1 | 1,176 | ||||||
UBS AG, ELN, | 1 | 1,157 | ||||||
|
| |||||||
Total Equity-Linked Notes |
| 4,569 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — 2.6% |
| |||||||
United States — 2.6% | ||||||||
American Home Mortgage Investment Trust | 16 | 17 | ||||||
Banc of America Funding Trust | 13 | 13 | ||||||
Banc of America Mortgage Trust | 8 | 9 | ||||||
Bear Stearns ALT-A Trust | 25 | 26 | ||||||
Bear Stearns ARM Trust | 54 | 53 | ||||||
Series 2006-1, Class A1, | 9 | 9 | ||||||
Citigroup Mortgage Loan Trust, Inc. | 26 | 27 | ||||||
Connecticut Avenue Securities Trust | 61 | 61 | ||||||
Deephaven Residential Mortgage Trust | 250 | 251 | ||||||
Series 2020-1, Class A3, | 18 | 19 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes | 194 | 197 | ||||||
FHLMC, REMIC | 266 | 56 | ||||||
Series 4937, Class MS, IF, IO, | 187 | 35 | ||||||
Series 4839, Class WS, IF, IO, | 165 | 37 | ||||||
FHLMC, STRIPS | 590 | 113 | ||||||
Series 316, Class S7, IF, IO, | 253 | 45 | ||||||
Series 356, Class S5, IF, IO, | 322 | 76 | ||||||
FNMA, Connecticut Avenue Securities | 120 | 122 | ||||||
Series 2018-C02, Class 2M2, | 193 | 195 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States —continued | ||||||||
Series 2018-C04, Class 2M2, | 181 | 184 | ||||||
FNMA, REMIC | 213 | 37 | ||||||
Series 2016-1, Class SJ, IF, IO, | 139 | 27 | ||||||
Series 2018-67, Class SN, IF, IO, | 407 | 83 | ||||||
Series 2018-73, Class SC, IF, IO, | 266 | 52 | ||||||
GNMA | 186 | 39 | ||||||
Series 2017-112, Class S, IF, IO, | 175 | 34 | ||||||
Series 2018-36, Class SG, IF, IO, | 90 | 20 | ||||||
Series 2019-22, Class SM, IF, IO, | 247 | 49 | ||||||
Series 2019-42, Class SJ, IF, IO, | 229 | 35 | ||||||
GSR Mortgage Loan Trust | 27 | 26 | ||||||
Impac CMB Trust | 27 | 27 | ||||||
Series 2004-7, Class 1A2, | 52 | 53 | ||||||
Series 2005-4, Class 1A1A, | 114 | 114 | ||||||
Series 2005-8, Class 1AM, | 87 | 84 | ||||||
Lehman Mortgage Trust | 6 | 6 | ||||||
MASTR Adjustable Rate Mortgages Trust | 11 | 11 | ||||||
Merrill Lynch Mortgage Investors Trust | 5 | 5 | ||||||
Morgan Stanley Mortgage Loan Trust | 17 | 18 | ||||||
New Residential Mortgage Loan Trust | 239 | 241 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates | ||||||||
Series 2005-5, Class 1APT, | 33 | 33 | ||||||
RALI Trust | 13 | 14 | ||||||
Residential Asset Securitization Trust | — | (a) | 1 | |||||
Structured Adjustable Rate Mortgage Loan Trust | 258 | 262 | ||||||
WaMu Mortgage Pass-Through Certificates Trust Series 2005-AR3, Class A1, | 10 | 10 | ||||||
Series 2005-AR5, Class A6, | 16 | 17 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| 2,843 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 2.5% |
| |||||||
Cayman Islands — 0.1% |
| |||||||
GPMT Ltd. | 138 | 138 | ||||||
|
| |||||||
United States — 2.4% |
| |||||||
BANK | 100 | 88 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2019-B11, Class D, | 100 | 98 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2020-VIV2, Class C, | 106 | 112 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2012-GC8, Class D, | 100 | 88 | ||||||
Series 2016-P6, Class D, | 20 | 17 | ||||||
Series 2017-P7, Class D, | 23 | 20 | ||||||
Series 2017-P7, Class B, | 10 | 11 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2016-CR28, Class C, | 100 | 109 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2019-C15, Class C, | 100 | 112 | ||||||
DBGS Mortgage Trust | ||||||||
Series 2018-5BP, Class B, | 100 | 100 | ||||||
FHLMC Multiclass Certificates | ||||||||
Series 2020-RR05, Class X, IO, | 160 | 22 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates |
| |||||||
Series K734, Class X3, IO, | 120 | 11 | ||||||
Series Q012, Class X, IO, | 486 | 115 | ||||||
Series K716, Class X3, IO, | 87 | — | (a) | |||||
Series K726, Class X3, IO, | 151 | 8 | ||||||
Series K729, Class X3, IO, | 1,212 | 72 | ||||||
Series K728, Class X3, IO, | 100 | 6 | ||||||
Series K071, Class X3, IO, | 700 | 80 | ||||||
Series K088, Class X3, IO, | 555 | 86 | ||||||
Series K108, Class X3, IO, | 400 | 100 | ||||||
FREMF | ||||||||
Series 2018-KF46, Class B, | 5 | 5 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2015-KF09, Class B, | 2 | 1 | ||||||
Series 2015-KF10, Class B, | 3 | 3 | ||||||
Series 2017-KF31, Class B, | 4 | 4 | ||||||
Series 2017-KF32, Class B, | 27 | 27 | ||||||
Series 2018-KF45, Class B, | 7 | 7 | ||||||
Series 2018-KF47, Class B, | 23 | 23 | ||||||
Series 2018-KC02, Class B, | 25 | 26 | ||||||
Series 2018-KF53, Class B, | 50 | 50 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Series 2019-KC03, Class B, | 25 | 26 | ||||||
Series 2019-KF62, Class B, | 18 | 18 | ||||||
Series 2018-KF43, Class B, | 33 | 32 | ||||||
Series 2018-KF50, Class B, | 7 | 7 | ||||||
Series 2018-K82, Class B, | 50 | 56 | ||||||
Series 2019-KF63, Class B, | 19 | 19 | ||||||
Series 2012-K19, Class C, | 10 | 10 | ||||||
Series 2017-K67, Class C, | 5 | 5 | ||||||
Series 2017-K65, Class B, | 75 | 84 | ||||||
Series 2019-K87, Class C, | 100 | 110 | ||||||
Series 2018-K75, Class B, | 10 | 11 | ||||||
Series 2020-K737, Class B, | 100 | 107 | ||||||
Series 2020-K737, Class C, | 145 | 152 | ||||||
GNMA | ||||||||
Series 2016-71, Class QI, | 172 | 9 | ||||||
Series 2020-14, IO, 0.71%, 2/16/2062 (m) | 842 | 58 | ||||||
Series 2020-23, IO, 0.74%, 4/16/2062 (m) | 213 | 15 | ||||||
Jackson Park Trust | ||||||||
Series 2019-LIC, Class E, | 100 | 94 | ||||||
Series 2019-LIC, Class F, | 100 | 89 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||
Series 2015-JP1, Class E, | 100 | 85 | ||||||
LB-UBS Commercial Mortgage Trust |
| |||||||
Series 2006-C6, Class AJ, | 34 | 18 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||
Series 2016-C31, Class B, | 50 | 54 | ||||||
Morgan Stanley Capital I Trust |
| |||||||
Series 2018-MP, Class D, | 10 | 10 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Series 2020-HR8, Class XA, IO, | 998 | 137 | ||||||
|
| |||||||
2,607 | ||||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| 2,745 | ||||||
|
| |||||||
Asset-Backed Securities — 0.8% |
| |||||||
United States — 0.8% |
| |||||||
ABFC Trust |
| |||||||
Series 2003-OPT1, Class M1, | 55 | 55 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||
Series 2003-HE6, Class M2, | 41 | 41 | ||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||
Series 2004-HE5, Class M2, | 11 | 11 | ||||||
Countrywide Asset-Backed Certificates |
| |||||||
Series 2004-2, Class M1, | 9 | 9 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust |
| |||||||
Series 2004-5, Class M3, | 46 | 46 | ||||||
Exeter Automobile Receivables Trust |
| |||||||
Series 2018-2A, Class E, | 120 | 125 | ||||||
Fremont Home Loan Trust |
| |||||||
Series 2003-A, Class M1, | 56 | 55 | ||||||
GSAMP Trust |
| |||||||
Series 2003-SEA, Class A1, | 104 | 100 | ||||||
MASTR Asset-Backed Securities Trust |
| |||||||
Series 2004-OPT2, Class M1, | 11 | 11 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust |
| |||||||
Series 2003-SD1, Class M1, | 145 | 144 | ||||||
Series 2003-NC10, Class M1, | 17 | 17 | ||||||
Series 2004-HE3, Class M1, | 46 | 46 | ||||||
Series 2004-NC7, Class M2, | 14 | 14 | ||||||
Prestige Auto Receivables Trust |
| |||||||
Series 2018-1A, Class D, | 10 | 10 | ||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||
Series 2004-OP2, Class M3, | 82 | 79 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Structured Asset Investment Loan Trust |
| |||||||
Series 2003-BC11, Class M1, | 5 | 6 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||
Series 2006-BC6, Class A4, | 41 | 41 | ||||||
Westlake Automobile Receivables Trust |
| |||||||
Series 2019-1A, Class E, | 50 | 52 | ||||||
|
| |||||||
Total Asset-Backed Securities |
| 862 | ||||||
|
|
SHARES (000) | ||||||||
Preferred Stocks — 0.6% |
| |||||||
United States — 0.6% |
| |||||||
Allstate Corp. (The), |
| |||||||
Series H, 5.10%, 10/15/2024 | 1 | 37 | ||||||
Bank of America Corp., |
| |||||||
Series GG, 6.00%, 5/16/2023 | 1 | 20 | ||||||
Series HH, 5.88%, 7/24/2023 | 1 | 19 | ||||||
Series KK, 5.38%, 6/25/2024 | 1 | 20 | ||||||
Series LL, 5.00%, 9/17/2024 | 1 | 21 | ||||||
Energy Transfer LP, |
| |||||||
Series E, (ICE LIBOR USD 3 Month + 5.16%), 7.60%, 5/15/2024 (f) (n) | 2 | 41 | ||||||
MetLife, Inc., |
| |||||||
Series F, 4.75%, 3/15/2025 | 1 | 17 | ||||||
Morgan Stanley, |
| |||||||
Series K, (ICE LIBOR USD 3 Month + 3.49%), 5.85%, 4/15/2027 ($25 par value) (f) (n) | 2 | 73 | ||||||
Series L, 4.88%, 1/15/2025 ($25 par value) (n) | — | (a) | 5 | |||||
MYT Holding LLC, |
| |||||||
Series A, 10.00%, 6/6/2029 ‡ | 7 | 7 | ||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||
Series N, 5.65%, 3/1/2079 ($25 par value) | 1 | 18 | ||||||
Northern Trust Corp., |
| |||||||
Series E, 4.70%, 1/1/2025 ($25 par value) (n) | — | (a) | 12 | |||||
Public Storage, |
| |||||||
Series L, , REIT4.63%, 6/17/2025 | 1 | 14 | ||||||
Regions Financial Corp., |
| |||||||
Series C, (ICE LIBOR USD 3 Month + 3.15%), 5.70%, 5/15/2029 ($25 par value) (f) (n) | — | (a) | 7 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United States — continued | ||||||||
SCE Trust II, |
| |||||||
5.10%, 5/5/2020 ($25 par value) (n) | 1 | 13 | ||||||
SCE Trust VI, |
| |||||||
5.00%, 6/26/2022 ($25 par value) (n) | 4 | 97 | ||||||
Sempra Energy, |
| |||||||
5.75%, 7/1/2079 ($25 par value) | — | (a) | 3 | |||||
Southern Co. (The), |
| |||||||
Series 2020, 4.95%, 1/30/2080 | 1 | 27 | ||||||
State Street Corp., |
| |||||||
Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 3/15/2026 ($25 par value) (f) (n) | — | (a) | 11 | |||||
Truist Financial Corp., |
| |||||||
Series R, 4.75%, 9/1/2025 ($25 par value) (n) | 1 | 21 | ||||||
US Bancorp, |
| |||||||
Series K, 5.50%, 10/15/2023 | 1 | 18 | ||||||
Wells Fargo & Co., |
| |||||||
Series AA, 4.70%, 12/15/2025 | — | (a) | 5 | |||||
Series Y, 5.63%, 6/15/2022 ($25 par value) (n) | 1 | 32 | ||||||
Series Z, 4.75%, 3/15/2025 ($25 par value) (n) | 5 | 139 | ||||||
|
| |||||||
Total Preferred Stocks |
| 677 | ||||||
|
|
PRINCIPAL AMOUNT ($000) | ||||||||
Mortgage-Backed Securities — 0.5% |
| |||||||
United States — 0.5% | ||||||||
FNMA UMBS, 30 Year |
| |||||||
Pool # MA4306, 2.50%, 4/1/2051 | 49 | 51 | ||||||
Pool # MA4356, 2.50%, 6/1/2051 | 20 | 21 | ||||||
Pool # MA4398, 2.00%, 7/1/2051 (o) | 340 | 343 | ||||||
GNMA II, 30 Year |
| |||||||
Pool # MA7418, 2.50%, 6/20/2051 | 60 | 62 | ||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 477 | ||||||
|
| |||||||
Loan Assignments — 0.4% (p) |
| |||||||
United States — 0.4% |
| |||||||
American Axle & Manufacturing, Inc., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 1 Month + 2.25%), | 6 | 6 | ||||||
Axalta Dupont PC, Term Loan B |
| |||||||
(ICE LIBOR USD 3 Month + 1.75%), | 21 | 21 | ||||||
CenturyLink, Inc., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 1 Month + 2.25%), | 8 | 7 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Loan Assignments — continued |
| |||||||
United States — continued |
| |||||||
Cincinnati Bell, Inc., Term Loan B |
| |||||||
(ICE LIBOR USD 1 Month + 3.25%), | 25 | 24 | ||||||
Dole Food Co., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 1-Month + 2.75%; ICE LIBOR USD 3-Month PRIME + 1.75%), | 20 | 20 | ||||||
Golden Nugget, Inc., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 2 Month + 2.50%), | 48 | 48 | ||||||
JBS USA LUX SA, 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 1 Month + 2.00%), | 33 | 33 | ||||||
MultiPlan, Inc., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 3 Month + 2.75%), | 85 | 84 | ||||||
Navistar International Corp., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 1 Month + 3.50%), | 41 | 41 | ||||||
Nexstar Broadcasting, Inc., 1st Lien Term Loan B |
| |||||||
(ICE LIBOR USD 1 Month + 2.50%), | 43 | 43 | ||||||
UFC Holdings LLC, 1st Lien Term Loan B-3 |
| |||||||
(ICE LIBOR USD 3 Month + 3.00%), | 40 | 40 | ||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||
(ICE LIBOR USD 1 Month + 3.00%), | 79 | 78 | ||||||
WMG Acquisition Corp., 1st Lien Term Loan G |
| |||||||
(ICE LIBOR USD 1 Month + 2.13%), | 31 | 31 | ||||||
|
| |||||||
476 | ||||||||
|
| |||||||
Total Loan Assignments |
| 476 | ||||||
|
| |||||||
U.S. Treasury Obligations — 0.3% |
| |||||||
U.S. Treasury Notes |
| |||||||
1.38%, 1/31/2022 (q) (Cost $354) | 351 | 354 | ||||||
|
| |||||||
NO. OF WARRANTS (000) | ||||||||
Warrants — 0.0%(d) | ||||||||
United Kingdom — 0.0%(d) | ||||||||
Nmg Research Ltd. | — | (a) | 2 | |||||
|
| |||||||
United States — 0.0%(d) | ||||||||
Chesapeake Energy Corp. | ||||||||
expiring 2/9/2026, price 27.63 USD * | — | (a) | 6 | |||||
expiring 2/9/2026, price 32.13 USD * | — | (a) | 5 | |||||
expiring 2/9/2026, price 36.18 USD * | — | (a) | 3 |
INVESTMENTS | NO. OF WARRANTS (000) | VALUE ($000) | ||||||
United States — continued | ||||||||
Windstream Holdings, Inc. | ||||||||
expiring 12/31/2049, price 10.75 USD * ‡ | — | (a) | 1 | |||||
|
| |||||||
15 | ||||||||
|
| |||||||
Total Warrants |
| 17 | ||||||
|
|
PRINCIPAL AMOUNT ($000) | ||||||||
Convertible Bonds — 0.0% (d) | ||||||||
United States — 0.0% (d) | ||||||||
Liberty Interactive LLC | 3 | 2 | ||||||
3.75%, 2/15/2030 | 2 | 2 | ||||||
|
| |||||||
Total Convertible Bonds |
| 4 | ||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (d) | ||||||||
Spain — 0.0% (d) | ||||||||
ACS Actividades de Construccion y Servicios SA, expiring 7/6/2021 * (Cost $1) | 1 | 1 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 5.3% | ||||||||
Investment Companies — 4.2% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (l) (r) | 4,101 | 4,103 | ||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (l) (r) | 433 | 434 | ||||||
|
| |||||||
Total Investment Companies |
| 4,537 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (l) (r) | 200 | 200 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (l) (r) | 1,013 | 1,013 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 1,213 | ||||||
|
| |||||||
Total Short-Term Investments | 5,750 | |||||||
|
| |||||||
Total Investments — 99.7% | 108,474 | |||||||
Other Assets Less Liabilities — 0.3% | 324 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 108,798 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
Summary of Investments by Industry, June 30, 2021
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
PORTFOLIO COMPOSITION BY INDUSTRY | PERCENT OF TOTAL INVESTMENTS | |||
Banks | 7.4 | % | ||
Equity Real Estate Investment Trusts (REITs) | 6.6 | |||
Oil, Gas & Consumable Fuels | 5.1 | |||
Diversified Telecommunication Services | 4.3 | |||
Equity-Linked Notes | 4.2 | |||
Electric Utilities | 3.6 | |||
Pharmaceuticals | 3.2 | |||
Media | 3.0 | |||
Capital Markets | 3.0 | |||
Fixed Income | 2.9 | |||
Insurance | 2.8 | |||
U.S. Equity | 2.8 | |||
Collateralized Mortgage Obligations | 2.6 | |||
Commercial Mortgage-Backed Securities | 2.5 | |||
Health Care Providers & Services | 2.5 |
PORTFOLIO COMPOSITION BY INDUSTRY | PERCENT OF TOTAL INVESTMENTS | |||
Hotels, Restaurants & Leisure | 2.2 | |||
Semiconductors & Semiconductor Equipment | 2.0 | |||
Metals & Mining | 1.8 | |||
Food Products | 1.6 | |||
Wireless Telecommunication Services | 1.6 | |||
Technology Hardware, Storage & Peripherals | 1.5 | |||
Consumer Finance | 1.4 | |||
Chemicals | 1.4 | |||
Containers & Packaging | 1.3 | |||
Multi-Utilities | 1.3 | |||
Household Durables | 1.1 | |||
Food & Staples Retailing | 1.0 | |||
Others (each less than 1.0%) | 20.0 | |||
Short-Term Investments | 5.3 |
Abbreviations
ABS | Asset-Backed Securities | |
ADR | American Depositary Receipt | |
CVA | Dutch Certification | |
ELN | Equity-Linked Note | |
EUR | Euro | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GBP | British Pound | |
GDR | Global Depositary Receipt | |
GNMA | Government National Mortgage Association | |
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 or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of June 30, 2021. 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 | |
OYJ | Public Limited Company | |
PJSC | Public Joint Stock Company |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
RTS | Russian Trading System | |
SCA | Limited partnership with share capital | |
SDR | Swedish Depositary Receipt | |
SGPS | Holding company | |
SOFR | Secured Overnight Financing Rate | |
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. | |
UMBS | Uniform Mortgage-Backed Securities | |
USD | United States Dollar | |
(a) | Amount rounds to less than one thousand. | |
(b) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $1,164. | |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
(d) | Amount rounds to less than 0.1% of net assets. | |
(e) | 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 June 30, 2021. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2021. | |
(g) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(h) | Security is an interest bearing note with preferred security characteristics. | |
(i) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(j) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of June 30, 2021. | |
(k) | Defaulted security. | |
(l) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(m) | 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 June 30, 2021. | |
(n) | The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is in effect as of June 30, 2021. | |
(o) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(p) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(q) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(r) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined 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 portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. Treasury 10 Year Note | 80 | 09/2021 | USD | 10,594 | 26 | |||||||||||||||
Short Contracts | ||||||||||||||||||||
Foreign Exchange GBP/USD | (16 | ) | 09/2021 | USD | (1,384 | ) | 34 | |||||||||||||
S&P 500 E-Mini Index | (7 | ) | 09/2021 | USD | (1,501 | ) | (21 | ) | ||||||||||||
|
| |||||||||||||||||||
13 | ||||||||||||||||||||
|
| |||||||||||||||||||
39 | ||||||||||||||||||||
|
|
Abbreviations
GBP | British Pound | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Income Builder Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 96,561 | ||
Investments in affiliates, at value | 10,700 | |||
Investment of cash collateral received from securities loaned, at value (See Note 2.E.) | 1,213 | |||
Cash | 72 | |||
Foreign currency, at value | 52 | |||
Receivables: | ||||
Investment securities sold | 1,253 | |||
Investment securities sold—delayed delivery securities | 37 | |||
Portfolio shares sold | 41 | |||
Interest from non-affiliates | 586 | |||
Dividends from non-affiliates | 125 | |||
Dividends from affiliates | — | (a) | ||
Tax reclaims | 49 | |||
Securities lending income (See Note 2.E.) | — | (a) | ||
Variation margin on futures contracts | 12 | |||
|
| |||
Total Assets | 110,701 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Investment securities purchased | 174 | |||
Investment securities purchased — delayed delivery securities | 343 | |||
Collateral received on securities loaned (See Note 2.E.) | 1,213 | |||
Portfolio shares redeemed | 11 | |||
Accrued liabilities: | ||||
Investment advisory fees | 19 | |||
Distribution fees | 18 | |||
Custodian and accounting fees | 42 | |||
Trustees’ and Chief Compliance Officer’s fees | 1 | |||
Other | 82 | |||
Total Liabilities | 1,903 | |||
|
| |||
Net Assets | $ | 108,798 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio | ||||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 96,537 | ||
Total distributable earnings (loss) | 12,261 | |||
|
| |||
Total Net Assets | $ | 108,798 | ||
|
| |||
Net Assets: |
| |||
Class 1 | $ | 21,011 | ||
Class 2 | 87,787 | |||
|
| |||
Total | $ | 108,798 | ||
|
| |||
Outstanding units of beneficial interest (shares) |
| |||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 1,802 | |||
Class 2 | 7,552 | |||
Net Asset Value (a): | ||||
Class 1 — Offering and redemption price per share | $ | 11.66 | ||
Class 2 — Offering and redemption price per share | 11.62 | |||
Cost of investments in non-affiliates | $ | 87,624 | ||
Cost of investments in affiliates | 9,594 | |||
Cost of foreign currency | 42 | |||
Investment securities on loan, at value (See Note 2.E.) | 1,164 | |||
Cost of investment of cash collateral (See Note 2.E.) | 1,213 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
(Amounts in thousands)
JPMorgan Insurance Trust Income Builder Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 1,196 | ||
Dividend income from non-affiliates | 807 | |||
Dividend income from affiliates | 78 | |||
Income from securities lending (net) (See Note 2.E.) | 2 | |||
Foreign taxes withheld (net) | (64 | ) | ||
|
| |||
Total investment income | 2,019 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 217 | |||
Administration fees | 39 | |||
Distribution fees: | ||||
Class 2 | 104 | |||
Custodian and accounting fees | 111 | |||
Interest expense to affiliates | — | (a) | ||
Professional fees | 50 | |||
Trustees’ and Chief Compliance Officer’s fees | 13 | |||
Printing and mailing costs | 16 | |||
Transfer agency fees (See Note 2.L.) | — | (a) | ||
Other | 5 | |||
|
| |||
Total expenses | 555 | |||
|
| |||
Less fees waived | (68 | ) | ||
Less expense reimbursements | (77 | ) | ||
|
| |||
Net expenses | 410 | |||
|
| |||
Net investment income (loss) | 1,609 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: |
| |||
Investments in non-affiliates | 2,036 | |||
Investments in affiliates | 181 | |||
Futures contracts | (811 | ) | ||
Foreign currency transactions | — | (a) | ||
|
| |||
Net realized gain (loss) | 1,406 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: |
| |||
Investments in non-affiliates | 2,927 | |||
Investments in affiliates | 205 | |||
Futures contracts | 93 | |||
Foreign currency translations | (8 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | 3,217 | |||
|
| |||
Net realized/unrealized gains (losses) | 4,623 | |||
|
| |||
Change in net assets resulting from operations | $ | 6,232 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Income Builder Portfolio | ||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 1,609 | $ | 2,815 | ||||
Net realized gain (loss) | 1,406 | 269 | ||||||
Distributions of capital gains received from investment company affiliates | — | — | (a) | |||||
Change in net unrealized appreciation/depreciation | 3,217 | 1,538 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 6,232 | 4,622 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | (664 | ) | (495 | ) | ||||
Class 2 | (2,555 | ) | (2,485 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (3,219 | ) | (2,980 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | 5,925 | 7,628 | ||||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 8,938 | 9,270 | ||||||
Beginning of period | 99,860 | 90,590 | ||||||
|
|
|
| |||||
End of period | $ | 108,798 | $ | 99,860 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 633 | $ | 4,684 | ||||
Distributions reinvested | 664 | 495 | ||||||
Cost of shares redeemed | (549 | ) | (630 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | 748 | 4,549 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | 6,622 | 13,471 | ||||||
Distributions reinvested | 2,555 | 2,485 | ||||||
Cost of shares redeemed | (4,000 | ) | (12,877 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | 5,177 | 3,079 | ||||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 5,925 | $ | 7,628 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: |
| |||||||
Class 1 |
| |||||||
Issued | 54 | 436 | ||||||
Reinvested | 57 | 50 | ||||||
Redeemed | (47 | ) | (57 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 64 | 429 | ||||||
|
|
|
| |||||
Class 2 |
| |||||||
Issued | 571 | 1,275 | ||||||
Reinvested | 221 | 254 | ||||||
Redeemed | (345 | ) | (1,258 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 447 | 271 | ||||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 35 |
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)(c) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Return of capital | Total distributions | |||||||||||||||||||||||||
JPMorgan Insurance Trust Income Builder Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | $ | 11.33 | $ | 0.19 | $ | 0.52 | $ | 0.71 | $ | (0.34 | ) | $ | (0.04 | ) | $ | — | $ | (0.38 | ) | |||||||||||||
Year Ended December 31, 2020 | 11.16 | 0.35 | 0.20 | 0.55 | (0.38 | ) | — | — | (0.38 | ) | ||||||||||||||||||||||
Year Ended December 31, 2019 | 10.11 | 0.40 | 1.05 | 1.45 | (0.37 | ) | (0.03 | ) | — | (0.40 | ) | |||||||||||||||||||||
Year Ended December 31, 2018 | 10.62 | 0.42 | (0.91 | ) | (0.49 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
Year Ended December 31, 2017 | 9.93 | 0.37 | 0.81 | 1.18 | (0.39 | ) | (0.10 | ) | — | (0.49 | ) | |||||||||||||||||||||
Year Ended December 31, 2016 | 9.63 | 0.37 | 0.26 | 0.63 | (0.32 | ) | — | (0.01 | ) | (0.33 | ) | |||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | 11.28 | 0.18 | 0.51 | 0.69 | (0.31 | ) | (0.04 | ) | — | (0.35 | ) | |||||||||||||||||||||
Year Ended December 31, 2020 | 11.12 | 0.33 | 0.19 | 0.52 | (0.36 | ) | — | — | (0.36 | ) | ||||||||||||||||||||||
Year Ended December 31, 2019 | 10.08 | 0.37 | 1.04 | 1.41 | (0.34 | ) | (0.03 | ) | — | (0.37 | ) | |||||||||||||||||||||
Year Ended December 31, 2018 | 10.62 | 0.39 | (0.91 | ) | (0.52 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
Year Ended December 31, 2017 | 9.92 | 0.35 | 0.81 | 1.16 | (0.36 | ) | (0.10 | ) | — | (0.46 | ) | |||||||||||||||||||||
Year Ended December 31, 2016 | 9.63 | 0.35 | 0.25 | 0.60 | (0.30 | ) | — | (0.01 | ) | (0.31 | ) |
(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) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | 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. |
(f) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(g) | Does not include expenses of Underlying Funds. |
(h) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (d)(e)(f) | Net assets, | Net expenses (g)(h) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (g) | Portfolio turnover rate (d) | ||||||||||||||||||||
$ | 11.66 | 6.24 | % | $ | 21,011 | 0.59 | % | 3.30 | % | 0.87 | % | 34 | % | |||||||||||||
11.33 | 5.45 | 19,684 | 0.56 | 3.33 | 0.94 | 66 | ||||||||||||||||||||
11.16 | 14.56 | 14,607 | 0.60 | 3.71 | 0.95 | 51 | ||||||||||||||||||||
10.11 | (4.63 | ) | 10,947 | 0.59 | 4.02 | 1.14 | 68 | |||||||||||||||||||
10.62 | 11.89 | 8,776 | 0.59 | 3.40 | 1.26 | 85 | ||||||||||||||||||||
9.93 | 6.53 | 106 | 0.60 | 3.72 | 1.27 | 46 | ||||||||||||||||||||
11.62 | 6.12 | 87,787 | 0.84 | 3.06 | 1.12 | 34 | ||||||||||||||||||||
11.28 | 5.12 | 80,176 | 0.81 | 3.10 | 1.20 | 66 | ||||||||||||||||||||
11.12 | 14.27 | 75,983 | 0.85 | 3.49 | 1.21 | 51 | ||||||||||||||||||||
10.08 | (4.92 | ) | 55,484 | 0.84 | 3.76 | 1.39 | 68 | |||||||||||||||||||
10.62 | 11.70 | 42,122 | 0.84 | 3.31 | 1.40 | 85 | ||||||||||||||||||||
9.92 | 6.21 | 48,465 | 0.85 | 3.47 | 1.49 | 46 |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 37 |
Table of Contents
AS OF JUNE 30, 2021 (Unaudited)
(Dollar values in thousands)
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 | Diversification Classification | |||
JPMorgan Insurance Trust 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 (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 are valued by applying international fair value factors provided by approved Pricing Services. 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 (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
38 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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Futures contracts are generally valued on the basis of available market quotations.
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 June 30, 2021.
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 | $ | — | $ | 228 | $ | 634 | $ | 862 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
United States | — | 2,782 | 61 | 2,843 | ||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
Cayman Islands | — | 138 | — | 138 | ||||||||||||
United States | — | 1,935 | 672 | 2,607 | ||||||||||||
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Total Commercial Mortgage-Backed Securities | — | 2,073 | 672 | 2,745 | ||||||||||||
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Common Stocks | ||||||||||||||||
Australia | — | 1,445 | — | 1,445 | ||||||||||||
Austria | — | 116 | — | 116 | ||||||||||||
Belgium | — | 373 | — | 373 | ||||||||||||
Brazil | 80 | 33 | — | 113 | ||||||||||||
Canada | 1,889 | — | — | 1,889 | ||||||||||||
Chile | 18 | — | — | 18 | ||||||||||||
China | — | 1,983 | — | 1,983 | ||||||||||||
Denmark | — | 490 | — | 490 | ||||||||||||
Finland | — | 633 | — | 633 | ||||||||||||
France | — | 1,324 | — | 1,324 | ||||||||||||
Germany | — | 1,890 | — | 1,890 | ||||||||||||
Hong Kong | 4 | 699 | — | 703 | ||||||||||||
India | 413 | — | — | 413 | ||||||||||||
Indonesia | 141 | 117 | — | 258 | ||||||||||||
Ireland | 232 | 31 | — | 263 | ||||||||||||
Italy | — | 564 | — | 564 | ||||||||||||
Japan | 69 | 1,891 | — | 1,960 | ||||||||||||
Malta | — | 28 | — | 28 | ||||||||||||
Mexico | 428 | — | — | 428 | ||||||||||||
Netherlands | — | 617 | — | 617 | ||||||||||||
New Zealand | — | 125 | — | 125 | ||||||||||||
Norway | 9 | 218 | — | 227 | ||||||||||||
Portugal | 24 | 27 | — | 51 | ||||||||||||
Russia | 164 | 375 | — | 539 | ||||||||||||
Saudi Arabia | — | 94 | — | 94 | ||||||||||||
Singapore | 16 | 215 | — | 231 | ||||||||||||
South Africa | 126 | 46 | — | 172 | ||||||||||||
South Korea | 37 | 560 | — | 597 |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 39 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Spain | $ | 19 | $ | 1,075 | $ | — | $ | 1,094 | ||||||||
Sweden | — | 622 | — | 622 | ||||||||||||
Switzerland | — | 1,495 | — | 1,495 | ||||||||||||
Taiwan | 113 | 1,290 | — | 1,403 | ||||||||||||
Thailand | — | 60 | — | 60 | ||||||||||||
United Kingdom | 266 | 2,270 | — | 2,536 | ||||||||||||
United States | 16,711 | 410 | — | 17,121 | ||||||||||||
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Total Common Stocks | 20,759 | 21,116 | — | 41,875 | ||||||||||||
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Convertible Bonds | — | 4 | — | 4 | ||||||||||||
Corporate Bonds | — | 41,661 | — | 41,661 | ||||||||||||
Equity-Linked Notes | — | 4,569 | — | 4,569 | ||||||||||||
Investment Companies | 6,163 | — | — | 6,163 | ||||||||||||
Loan Assignments | — | 476 | — | 476 | ||||||||||||
Mortgage-Backed Securities | — | 477 | — | 477 | ||||||||||||
Preferred Stocks | ||||||||||||||||
United States | 670 | — | 7 | 677 | ||||||||||||
Rights | 1 | — | — | 1 | ||||||||||||
U.S. Treasury Obligations | — | 354 | — | 354 | ||||||||||||
Warrants | ||||||||||||||||
United Kingdom | — | — | 2 | 2 | ||||||||||||
United States | 14 | — | 1 | 15 | ||||||||||||
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Total Warrants | 14 | — | 3 | 17 | ||||||||||||
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Short-Term Investments | ||||||||||||||||
Investment Companies | 4,537 | — | — | 4,537 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 1,213 | — | — | 1,213 | ||||||||||||
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Total Short-Term Investments | 5,750 | — | — | 5,750 | ||||||||||||
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Total Investments in Securities | $ | 33,357 | $ | 73,740 | $ | 1,377 | $ | 108,474 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 60 | $ | — | $ | — | $ | 60 | ||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | (21 | ) | — | — | (21 | ) | ||||||||||
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Total Net Appreciation/Depreciation in Other Financial Instruments | $ | 39 | $ | — | $ | — | $ | 39 | ||||||||
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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, 2020 | 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 June 30, 2021 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 986 | $ | (1 | ) | $ | — | (a) | $ | 1 | $ | — | $ | (352 | ) | $ | — | $ | — | $ | 634 | |||||||||||||||
Collateralized Mortgage Obligations | 862 | — | (a) | (5 | ) | — | (a) | — | (306 | ) | — | (490 | ) | 61 | ||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 1,258 | — | 23 | 1 | — | — | (a) | — | (610 | ) | 672 | |||||||||||||||||||||||||
Common Stocks | — | (a) | — | — | — | — | — | — | — | (a) | — | |||||||||||||||||||||||||
Preferred Stocks | 10 | — | (a) | (1 | ) | — | — | (2 | ) | — | — | 7 | ||||||||||||||||||||||||
Warrants | 13 | — | 9 | — | — | (19 | ) | — | — | 3 | ||||||||||||||||||||||||||
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Total | $ | 3,129 | $ | (1 | ) | $ | 26 | $ | 2 | $ | — | $ | (679 | ) | $ | — | $ | (1,100 | ) | $ | 1,377 | |||||||||||||||
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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) | Amount rounds to less than one thousand. |
40 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2021, which were valued using significant unobservable inputs (level 3) amounted to $25. This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statement of Operations.
Transfers from level 3 to level 2 are due to an increase in market activity (e.g. frequency of trades), which resulted in an increase of available market inputs to determine the price for the six months ended June 30, 2021.
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed below. 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 enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at June 30, 2021 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
$ | 634 | Discounted Cash Flow | Constant Prepayment Rate | 3.80% - 12.75% (5.89%) | ||||||||
Constant Default Rate | 1.77% - 6.20% (3.80%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 1.23% - 5.60% (3.04%) | |||||||||||
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Asset-Backed Securities | 634 | |||||||||||
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672 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 2.85% - 199.00% (11.70%) | |||||||||
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Commercial Mortgage-Backed Securities | 672 | |||||||||||
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61 | Discounted Cash Flow | Constant Prepayment Rate | 100% (100%) | |||||||||
Yield (Discount Rate of Cash Flows) | 1.98% (1.98%) | |||||||||||
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Collateralized Mortgage Obligations | 61 | |||||||||||
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— | (b) | Market Comparable Companies | EBITDA Multiple (c) | 4.8x (4.8x) | ||||||||
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Warrants | — | (b) | ||||||||||
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Total | $ | 1,367 | ||||||||||
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# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30 2021, the value of these investments was $10. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
(b) | Amount rounds to less than one thousand. |
(c) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
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, as amended (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 NAVs of the Portfolio.
As of June 30, 2021, the Portfolio had no investments in restricted securities other than securities sold to the Portfolio under Rule 144A and/or Regulation S under the Securities Act.
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 the 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 it 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”). The 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
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 41 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
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, the Portfolio could experience delays or limitations in realizing the value on such collateral or have its 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, the 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 Securities, Delayed Delivery Securities and Forward Commitments — The Portfolio purchased when-issued securities, including To Be Announced (“TBA”) 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.
The Portfolio had when-issued securities, delayed delivery securities or forward commitments outstanding as of June 30, 2021, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statement of Assets and Liabilities. The values of these securities held at June 30, 2021 are detailed on the SOI.
E. Securities Lending — The Portfolio is authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Portfolio retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
42 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Portfolio as of June 30, 2021.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
$1,164 | $(1,164) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the six months ended June 30, 2021, JPMIM waived fees associated with the Portfolio’s investment in the JPMorgan U.S. Government Money Market Fund as follows:
$— (a) |
(a) | Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
F. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds, which are advised by the Adviser. 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 such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the six months ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | $ | 1,953 | $ | 32 | $ | — | $ | — | $ | (56 | ) | $ | 1,929 | 240 | $ | 32 | $ | — | ||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 3,573 | 26 | 1,004 | 181 | 249 | 3,025 | 133 | 26 | — | |||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 931 | 18 | — | — | 11 | 960 | 107 | 18 | — | |||||||||||||||||||||||||||
JPMorgan Managed Income Fund Class L Shares (a) | 249 | — | — | — | — | (b) | 249 | 25 | 1 | — | ||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (c) | 209 | 1,690 | 1,465 | — | (b) | — | (b) | 434 | 433 | — | (b) | — | ||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (c) | 2,630 | 23,917 | 22,445 | — | (b) | 1 | 4,103 | 4,101 | 1 | — | ||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (c) | 700 | — | 500 | — | * (b) | — | (b) | 200 | 200 | — | * (b) | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (c) | 667 | 5,383 | 5,037 | — | — | 1,013 | 1,013 | — | * (b) | — | ||||||||||||||||||||||||||
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Total | $ | 10,912 | $ | 31,066 | $ | 30,451 | $ | 181 | $ | 205 | $ | 11,913 | $ | 78 | $ | — | ||||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 43 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
(b) | Amount rounds to less than one thousand. |
(c) | The rate shown is the current yield as of June 30, 2021. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
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.
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 in non-affiliates 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. Futures Contracts — The Portfolio used currency, index, interest rate and treasury 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 futures contracts 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, while cash deposited, which is considered restricted, 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, foreign exchange and interest rate risks. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the Portfolio’s futures contracts activity during the six months ended June 30, 2021:
Futures Contracts — Equity: | ||||
Average Notional Balance Long | $ | 279 | (a) | |
Average Notional Balance Short | 1,884 | |||
Ending Notional Balance Short | 1,501 | |||
Futures Contracts — Foreign Exchange: | ||||
Average Notional Balance Short | 1,385 | |||
Ending Notional Balance Short | 1,384 | |||
Futures Contracts — Interest Rate: | ||||
Average Notional Balance Long | 12,156 | |||
Ending Notional Balance Long | 10,594 |
(a) | For the period January 1, 2021 through May 31, 2021. |
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I. Summary of Derivatives Information — The following table presents the value of derivatives held as of June 30, 2021 by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities:
Equity Risk Exposure: | ||||
Unrealized Depreciation on Futures Contracts* | $ | (21 | ) | |
Foreign Exchange Rate Risk Exposure: | ||||
Unrealized Appreciation on Futures Contracts* | 34 | |||
Interest Rate Risk Exposure: | ||||
Unrealized Appreciation on Futures Contracts* | 26 | |||
Net Fair Value of Derivative Contracts: | ||||
Unrealized Appreciation (Depreciation) on Futures Contracts* | 39 |
* | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOI. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table presents the effect of derivatives on the Statement of Operations for the six months ended June 30, 2021, by primary underlying risk exposure:
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
| |||
Equity Risk Exposure: | ||||
Futures Contracts | $ | (288 | ) | |
Foreign Exchange Rate Risk Exposure: | ||||
Futures Contracts | (87 | ) | ||
Interest Rate Risk Exposure: | ||||
Futures Contracts | (436 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
| |||
Equity Risk Exposure: | ||||
Futures Contracts | 4 | |||
Foreign Exchange Rate Risk Exposure: | ||||
Futures Contracts | 72 | |||
Interest Rate Risk Exposure: | ||||
Futures Contracts | 17 |
J. Equity-Linked Notes — The Portfolio invested in Equity-Linked Notes (“ELNs”). These are hybrid instruments which combine both debt and equity characteristics into a single note form. ELNs’ values are linked to the performance of an underlying index. ELNs are unsecured debt obligations of an issuer and may not be publicly listed or traded on an exchange. ELNs are valued daily, under procedures adopted by the Board, based on values provided by an approved pricing source. These notes have a coupon which is accrued and recorded as interest income on the Statement of Operations. Changes in the market value of ELNs are recorded as Change in net unrealized appreciation or depreciation on the Statement of Operations. The Portfolio realizes a gain or loss when an ELN is sold or matures, which is recorded as Net realized gain (loss) on transactions from investments in non-affiliates on the Statement of Operations.
As of June 30, 2021, the Portfolio had outstanding ELNs as listed on the SOI.
K. 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. The Portfolio 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 from non-affiliates on the Statement of Operations.
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.
L. Allocation of Income and Expenses — Expenses directly attributable to the Portfolio are charged directly to the Portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the applicable portfolios. 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
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 45 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
each class at the beginning of each day. Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Portfolio for the six months ended June 30, 2021 are as follows:
Class 1 | Class 2 | Total | ||||||||
Transfer agency fees | $— (a) | $ | — | (a) | $ | — | (a) |
(a) | Amount rounds to less than one thousand. |
The Portfolio invested 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.
M. 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 (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 June 30, 2021, no liability for Federal 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.
N. 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. When a capital gains tax is determined to apply, the Portfolio records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
O. Distributions to Shareholders — Distributions from net investment income, if any, 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.
P. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Portfolio’s financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Portfolio and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.42% of the Portfolio’s average daily net assets.
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 0.075% of the first $10 billion of the Portfolio’s average daily net assets, plus 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Portfolio’s average daily net assets in excess of $25 billion. For the six months ended June 30, 2021, the effective annualized rate was 0.075% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
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 Portfolio’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 pursuant to Rule 12b-1 under the 1940 Act. Class 1 Shares of the Portfolio do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
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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.
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, expenses related to trustee elections 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 six months ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least April 30, 2022.
The Underlying Funds may impose separate advisory fees. The Adviser has agreed to voluntarily waive the Portfolio’s investment advisory fees in the weighted average pro-rata amount of the advisory fees charged by the affiliated Underlying Funds. During the six months ended June 30, 2021, the Adviser waived $15. 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.
For the six months ended June 30, 2021, 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 and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
$ | 12 | $ | 38 | $ | 50 | $ | 77 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral. None of these parties expect the Portfolio to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the six months ended June 30, 2021 was $3.
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 designated and appointed a Chief Compliance Officer to the Portfolio pursuant to Rule 38a-1 under the 1940 Act. The Portfolio, along with 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 six months ended June 30, 2021, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were 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 LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended June 30, 2021, 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 | |||||||||||||
$ | 33,457 | $ | 32,615 | $ | 603 | $ | 513 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 98,431 | $ | 11,124 | $ | 1,042 | $ | 10,082 |
During the year ended December 31, 2020, the Portfolio utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
$ | 36 | $ | 159 |
At December 31, 2020, 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 Portfolio had no borrowings outstanding from another fund during the six months ended June 30, 2021.
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 1, 2021.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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%, which has increased to 1.25% pursuant to the amendment referenced below, 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 10, 2021, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.
The Portfolio did not utilize the Credit Facility during the six months ended June 30, 2021.
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 brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
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As of June 30, 2021, the Portfolio had four individual shareholder and/or non-affiliated omnibus accounts, which owned 78.7% 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 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. The Portfolio may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Portfolio’s yield (and total return) also may be low or the Portfolio may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Portfolio’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
The Portfolio invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Portfolio are intended for investors who are able and willing to assume a high degree of risk.
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.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Portfolio’s original investment. Many derivatives create leverage thereby causing the Portfolio to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Portfolio to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Portfolio to sell or otherwise close a derivatives position could expose the Portfolio to losses.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Portfolio’s loans, notes, derivatives and other instruments or investments comprising some or all of the Portfolio’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Portfolio is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Portfolio’s investments, increase the Portfolio’s volatility, exacerbate other pre-existing political, social and economic risks to the Portfolio and negatively impact broad segments of businesses and populations. The Portfolio’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Portfolio invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Portfolio’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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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, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
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 titled “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 January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Income Builder Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.40 | $ | 3.02 | 0.59 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,061.20 | 4.29 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.63 | 4.21 | 0.84 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
50 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Portfolio has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Portfolio’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Portfolio. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Portfolio’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of the Portfolio into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether the Portfolio invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for the Portfolio (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the J.P. Morgan Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the Portfolio invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Portfolio liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of the Portfolio’s investments; and (2) perform additional stress testing. The Report noted that the Portfolio was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Portfolio’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Portfolio during the Program Reporting Period.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 51 |
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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 as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Portfolio’s quarterly holdings can be found by visiting 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 prospectuses 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | SAN-JPMITIBP-621 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2021 (Unaudited)
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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August 4, 2021 (Unaudited)
Dear Shareholders,
The year 2021 has brought a partial reopening of the social and economic spheres and an extended rally in equity markets bolstered by federal relief and recovery efforts and surging consumer spending and corporate earnings.
“As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a strong performance over the six months ended June 30, 2021. The S&P 500 Index returned 16%; the Russell 1000 returned 15.57%; the Russell Mid Cap Index returned 16.65% and the Russell 2000 Index returned 17.24%. Investors who remained fully invested over the period stood to benefit greatly from performance of equity markets in the U.S. and globally.
Mass vaccinations and the rebound in economic growth at the global, and certain national and local levels have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across
the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve (the “Fed”). While the Fed has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
As we face opportunities and challenges both new and old in 2021, J.P. Morgan Asset Management will seek to continue to provide investors with innovative solutions to build strong portfolios that are reinforced by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. 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,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 1 |
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JPMorgan Insurance Trust Global Allocation Portfolio
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* | 6.18% | |||
MSCI All Country World Index (net of foreign withholding taxes) | 12.30% | |||
Global Allocation Composite Benchmark | 5.89% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 129,815 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Global Allocation Portfolio (the “Portfolio”) seeks to maximize long-term total return.
HOW DID THE MARKET PERFORM?
Overall, U.S. and emerging markets equity led a global rally in stocks on the back of continued bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Fixed income investments generally underperformed equity during the period. Within fixed income, high yield debt (also known as “junk bonds”) and emerging markets debt outperformed U.S. Treasury bonds and investment grade corporate bonds.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and
disparities in the re-openings of national economies weighed on select equity markets in June.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 2 Shares underperformed the MSCI All Country World Index (net of foreign withholding taxes) (the “Benchmark”) and outperformed the Global Allocation Composite Benchmark (the “Composite”), which consists of 60% MSCI All Country World Index and 40% Bloomberg Barclays Global Aggregate Index, for the six months ended June 30, 2021.
The Portfolio’s allocation to government bonds and emerging markets debt detracted from performance relative to the Benchmark, which is an all-equity index.
Relative to the Composite, the Portfolio’s overweight allocations to value stocks in the U.S. and international developed market equities were leading contributors to relative performance, as those asset classes performed strongly when economies reopened in 2021.
HOW WAS THE PORTFOLIO POSITIONED?
During the reporting period, the Portfolio was positioned to maximize total return while managing risk. The portfolio managers added to its equity positions, especially through international developed market equity and shifting the mix of underlying managers within U.S. equity toward more value-oriented strategies. In terms of fixed income, the Fund decreased its global government bond allocation and focused its credit allocation through so-called crossover credit, which includes corporate credit that straddles investment grade and below investment grade ratings.
2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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TOP TEN LONG HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | JPMorgan Income Fund Class R6 Shares | 6.6 | % | |||||
2. | JPMorgan Large Cap Value Fund Class R6 Shares | 5.3 | ||||||
3. | JPMorgan High Yield Fund Class R6 Shares | 4.8 | ||||||
4. | JPMorgan Emerging Markets Equity Fund Class R6 Shares | 4.7 | ||||||
5. | Invesco S&P 500 Equal Weight ETF | 4.4 | ||||||
6. | U.S. Treasury Notes, 1.38%, 1/31/2022 | 1.3 | ||||||
7. | Microsoft Corp. | 1.3 | ||||||
8. | Alphabet, Inc. Class C | 1.2 | ||||||
9. | Amazon.com, Inc. | 1.1 | ||||||
10. | Apple, Inc. | 0.9 |
TOP TEN SHORT HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Cloudera, Inc. | 14.1 | % | |||||
2. | Sirius XM Holdings, Inc. | 14.1 | ||||||
3. | Nuance Communications, Inc. | 13.4 | ||||||
4. | Magellan Health, Inc. | 13.1 | ||||||
5. | Navistar International Corp. | 11.4 | ||||||
6. | Proofpoint, Inc. | 8.4 | ||||||
7. | Kimberly-Clark Corp. | 5.1 | ||||||
8. | Clorox Co. (The) | 4.9 | ||||||
9. | Entergy Corp. | 3.5 | ||||||
10. | Kellogg Co. | 3.1 |
LONG POSITION PORTFOLIO COMPOSITION | PERCENT OF TOTAL INVESTMENTS | |||
Common Stocks | 46.7 | % | ||
Investment Companies | 22.2 | |||
Foreign Government Securities | 5.5 | |||
Exchange-Traded Funds | 4.4 | |||
U.S. Treasury Obligations | 1.2 | |||
Others (each less than 1.0%) | 1.8 | |||
Short-Term Investments | 18.2 |
SHORT POSITION PORTFOLIO | PERCENT OF TOTAL INVESTMENTS | |||
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. |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 3 |
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JPMorgan Insurance Trust Global Allocation Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||||
CLASS 1 SHARES | December 9, 2014 | 6.27 | % | 27.74 | % | 10.49 | % | 8.00 | % | |||||||||||
CLASS 2 SHARES | December 9, 2014 | 6.18 | 27.42 | 10.22 | 7.73 |
* | Not annualized. |
LIFE OF PORTFOLIO PERFORMANCE (12/9/14 TO 6/30/21)
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 All Country World Index (net of foreign withholding taxes), the Bloomberg Barclays Global Aggregate Index — Unhedged USD and the Global Allocation Composite Benchmark from December 9, 2014 to June 30, 2021. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI All Country World Index (net of foreign withholding taxes), Bloomberg Barclays Global Aggregate Index — Unhedged USD and Global Allocation Composite Benchmark do not reflect the deduction of expenses associated with a mutual fund and have been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The MSCI All Country 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 and emerging markets. The Bloomberg Barclays Global Aggregate Index provides a broad-based measure of the global investment-grade fixed
income markets. Since November 30, 2020, the Global Allocation Composite Benchmark is a composite benchmark comprised of unmanaged indices that includes the MSCI All Country World Index (net of foreign withholding taxes) (60%) and the Bloomberg Barclays Global Aggregate Bond Index (40%). Prior to November 30, 2020, the Global Allocation Composite Benchmark was a composite benchmark comprised of unmanaged indices that included the MSCI World Index (net of foreign withholding taxes) (60%) and the Bloomberg Barclays Global Aggregate Bond Index (40%). 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 | JUNE 30, 2021 |
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — 104.4% |
| |||||||
Common Stocks — 48.8% |
| |||||||
Australia — 0.8% |
| |||||||
Afterpay Ltd. * | — | (a) | 5 | |||||
AGL Energy Ltd. | 1 | 3 | ||||||
Ampol Ltd. | — | (a) | 3 | |||||
APA Group | — | (a) | 2 | |||||
Aristocrat Leisure Ltd. | — | (a) | 8 | |||||
ASX Ltd. | — | (a) | 6 | |||||
Aurizon Holdings Ltd. | 1 | 2 | ||||||
Australia & New Zealand Banking Group Ltd. | 2 | 34 | ||||||
BHP Group Ltd. | 1 | 45 | ||||||
BHP Group plc | 10 | 289 | ||||||
BlueScope Steel Ltd. | — | (a) | 2 | |||||
Brambles Ltd. | 1 | 7 | ||||||
Cochlear Ltd. | — | (a) | 5 | |||||
Coles Group Ltd. | 1 | 11 | ||||||
Commonwealth Bank of Australia | 1 | 51 | ||||||
Computershare Ltd. | — | (a) | 2 | |||||
CSL Ltd. | — | (a) | 43 | |||||
Endeavour Group Ltd. * | 1 | 3 | ||||||
Fortescue Metals Group Ltd. | — | (a) | 6 | |||||
Goodman Group, REIT | 1 | 15 | ||||||
GPT Group (The), REIT | 2 | 7 | ||||||
Insurance Australia Group Ltd. | 1 | 3 | ||||||
LendLease Corp. Ltd. | — | (a) | 4 | |||||
Macquarie Group Ltd. | — | (a) | 20 | |||||
Medibank Pvt Ltd. | 2 | 4 | ||||||
Mirvac Group, REIT | 6 | 13 | ||||||
National Australia Bank Ltd. | 1 | 20 | ||||||
Newcrest Mining Ltd. | — | (a) | 6 | |||||
Oil Search Ltd. | 2 | 4 | ||||||
Origin Energy Ltd. | 1 | 4 | ||||||
QBE Insurance Group Ltd. | 1 | 7 | ||||||
Ramsay Health Care Ltd. | — | (a) | 6 | |||||
REA Group Ltd. | — | (a) | 3 | |||||
Rio Tinto Ltd. | — | (a) | 21 | |||||
Rio Tinto plc | 3 | 216 | ||||||
Santos Ltd. | — | (a) | 2 | |||||
Sonic Healthcare Ltd. | — | (a) | 2 | |||||
South32 Ltd. | 2 | 4 | ||||||
Stockland, REIT | 1 | 4 | ||||||
Suncorp Group Ltd. | 1 | 5 | ||||||
Sydney Airport * | 1 | 3 | ||||||
Tabcorp Holdings Ltd. | 1 | 3 | ||||||
Telstra Corp. Ltd. | 3 | 7 | ||||||
Transurban Group | 1 | 10 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Australia — continued |
| |||||||
Wesfarmers Ltd. | — | (a) | 21 | |||||
Westpac Banking Corp. | 2 | 33 | ||||||
Woodside Petroleum Ltd. | — | (a) | 6 | |||||
Woolworths Group Ltd. | 1 | 21 | ||||||
|
| |||||||
1,001 | ||||||||
|
| |||||||
Austria — 0.1% |
| |||||||
Erste Group Bank AG | 3 | 117 | ||||||
|
| |||||||
Belgium — 0.2% |
| |||||||
Anheuser-Busch InBev SA/NV | — | (a) | 16 | |||||
KBC Group NV | 3 | 230 | ||||||
|
| |||||||
246 | ||||||||
|
| |||||||
Canada — 0.5% |
| |||||||
Brookfield Asset Management Reinsurance Partners Ltd., Class A * | — | (a) | — | (a) | ||||
Brookfield Asset Management, Inc., Class A (b) | 1 | 26 | ||||||
Canadian National Railway Co. | 2 | 177 | ||||||
Fairfax Financial Holdings Ltd. | — | (a) | 46 | |||||
TC Energy Corp. | 3 | 124 | ||||||
Toronto-Dominion Bank (The) | 3 | 224 | ||||||
|
| |||||||
597 | ||||||||
|
| |||||||
China — 1.1% |
| |||||||
Alibaba Group Holding Ltd. * | 10 | 270 | ||||||
Bilibili, Inc., ADR * (b) | 1 | 138 | ||||||
BOC Hong Kong Holdings Ltd. | 3 | 10 | ||||||
Budweiser Brewing Co. APAC Ltd. (c) | 1 | 4 | ||||||
NXP Semiconductors NV | 3 | 561 | ||||||
Prosus NV * | — | (a) | 47 | |||||
Tencent Holdings Ltd. | 5 | 346 | ||||||
Wilmar International Ltd. | 1 | 5 | ||||||
|
| |||||||
1,381 | ||||||||
|
| |||||||
Denmark — 1.0% |
| |||||||
Carlsberg A/S, Class B | 2 | 311 | ||||||
Genmab A/S * | — | (a) | 15 | |||||
Novo Nordisk A/S, Class B | 9 | 784 | ||||||
Orsted A/S (c) | 2 | 221 | ||||||
Vestas Wind Systems A/S | — | (a) | 9 | |||||
|
| |||||||
1,340 | ||||||||
|
| |||||||
Finland — 0.3% |
| |||||||
Elisa OYJ | — | (a) | 24 | |||||
Kone OYJ, Class B | 2 | 191 | ||||||
Nordea Bank Abp | 21 | 239 | ||||||
|
| |||||||
454 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
France — 2.5% |
| |||||||
Accor SA * | — | (a) | 10 | |||||
Air Liquide SA | — | (a) | 63 | |||||
Airbus SE * | 3 | 336 | ||||||
Alstom SA | 1 | 26 | ||||||
Arkema SA | — | (a) | 28 | |||||
AXA SA | 1 | 38 | ||||||
BioMerieux | — | (a) | 3 | |||||
BNP Paribas SA | 1 | 63 | ||||||
Capgemini SE | 2 | 348 | ||||||
Cie Generale des Etablissements Michelin SCA | — | (a) | 10 | |||||
Dassault Systemes SE (b) | — | (a) | 44 | |||||
EssilorLuxottica SA | — | (a) | 23 | |||||
Hermes International | — | (a) | 6 | |||||
Kering SA | — | (a) | 71 | |||||
L’Oreal SA | 1 | 248 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1 | 477 | ||||||
Pernod Ricard SA | — | (a) | 55 | |||||
Safran SA | 3 | 363 | ||||||
Sanofi | — | (a) | 52 | |||||
Societe Generale SA | 9 | 267 | ||||||
Thales SA | — | (a) | 15 | |||||
TotalEnergies SE | 2 | 88 | ||||||
Veolia Environnement SA | 2 | 54 | ||||||
Vinci SA | 5 | 565 | ||||||
|
| |||||||
3,253 | ||||||||
|
| |||||||
Germany — 2.0% |
| |||||||
adidas AG | 2 | 694 | ||||||
Allianz SE (Registered) | 2 | 611 | ||||||
BASF SE | 1 | 46 | ||||||
Bayer AG (Registered) | 1 | 32 | ||||||
Daimler AG (Registered) | — | (a) | 44 | |||||
Deutsche Boerse AG | — | (a) | 15 | |||||
Deutsche Post AG (Registered) | 3 | 196 | ||||||
Deutsche Telekom AG (Registered) | 4 | 84 | ||||||
Infineon Technologies AG | 1 | 60 | ||||||
Merck KGaA | — | (a) | 39 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | — | (a) | 55 | |||||
RWE AG | 4 | 141 | ||||||
SAP SE | — | (a) | 68 | |||||
Siemens AG (Registered) | — | (a) | 70 | |||||
Volkswagen AG (Preference) | 2 | 433 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Germany — continued |
| |||||||
Vonovia SE | 1 | 33 | ||||||
Zalando SE * (c) | — | (a) | 7 | |||||
|
| |||||||
2,628 | ||||||||
|
| |||||||
Hong Kong — 0.6% |
| |||||||
AIA Group Ltd. | 32 | 402 | ||||||
CK Asset Holdings Ltd. | 1 | 7 | ||||||
CK Infrastructure Holdings Ltd. | 1 | 3 | ||||||
CLP Holdings Ltd. | 1 | 10 | ||||||
Hang Seng Bank Ltd. | — | (a) | 6 | |||||
HKT Trust & HKT Ltd. | 2 | 3 | ||||||
Hong Kong & China Gas Co. Ltd. | 2 | 4 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 4 | 244 | ||||||
Hongkong Land Holdings Ltd. | 1 | 3 | ||||||
Jardine Matheson Holdings Ltd. | — | (a) | 6 | |||||
Link, REIT | 1 | 10 | ||||||
MTR Corp. Ltd. | 1 | 6 | ||||||
New World Development Co. Ltd. | 1 | 3 | ||||||
Power Assets Holdings Ltd. | 1 | 3 | ||||||
Sun Hung Kai Properties Ltd. | 1 | 7 | ||||||
Techtronic Industries Co. Ltd. | 1 | 9 | ||||||
WH Group Ltd. (c) | 5 | 4 | ||||||
Wharf Real Estate Investment Co. Ltd. | 1 | 6 | ||||||
Xinyi Glass Holdings Ltd. | 2 | 8 | ||||||
|
| |||||||
744 | ||||||||
|
| |||||||
India — 0.3% |
| |||||||
HDFC Bank Ltd., ADR * | 6 | 417 | ||||||
|
| |||||||
Indonesia — 0.1% |
| |||||||
Bank Central Asia Tbk. PT | 68 | 142 | ||||||
|
| |||||||
Ireland — 0.4% |
| |||||||
CRH plc | 1 | 41 | ||||||
Kingspan Group plc | — | (a) | 27 | |||||
Kingspan Group plc | — | (a) | 20 | |||||
Ryanair Holdings plc, ADR * | 2 | 178 | ||||||
Seagate Technology Holdings plc | 2 | 193 | ||||||
|
| |||||||
459 | ||||||||
|
| |||||||
Italy — 0.3% |
| |||||||
Enel SpA | 2 | 22 | ||||||
Ferrari NV | — | (a) | 61 | |||||
FinecoBank Banca Fineco SpA * | 3 | 50 | ||||||
Snam SpA | 2 | 12 | ||||||
UniCredit SpA | 22 | 264 | ||||||
|
| |||||||
409 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Japan — 2.4% |
| |||||||
Advantest Corp. | — | (a) | 9 | |||||
Aeon Co. Ltd. | — | (a) | 5 | |||||
AGC, Inc. | — | (a) | 13 | |||||
Ajinomoto Co., Inc. | 1 | 21 | ||||||
Asahi Group Holdings Ltd. | 1 | 28 | ||||||
Asahi Intecc Co. Ltd. | — | (a) | 2 | |||||
Asahi Kasei Corp. | 2 | 20 | ||||||
Astellas Pharma, Inc. | 1 | 9 | ||||||
Bandai Namco Holdings, Inc. | — | (a) | 7 | |||||
Bridgestone Corp. | — | (a) | 18 | |||||
Canon, Inc. | — | (a) | 7 | |||||
Capcom Co. Ltd. | — | (a) | 6 | |||||
Casio Computer Co. Ltd. | 1 | 10 | ||||||
Central Japan Railway Co. | — | (a) | 30 | |||||
Chubu Electric Power Co., Inc. | 1 | 7 | ||||||
Chugai Pharmaceutical Co. Ltd. | — | (a) | 8 | |||||
Cosmos Pharmaceutical Corp. | — | (a) | 15 | |||||
CyberAgent, Inc. | — | (a) | 6 | |||||
Dai Nippon Printing Co. Ltd. | — | (a) | 2 | |||||
Dai-ichi Life Holdings, Inc. | — | (a) | 4 | |||||
Daiichi Sankyo Co. Ltd. | 1 | 26 | ||||||
Daikin Industries Ltd. | — | (a) | 37 | |||||
Daito Trust Construction Co. Ltd. | — | (a) | 11 | |||||
Daiwa House Industry Co. Ltd. | 1 | 18 | ||||||
Daiwa House REIT Investment Corp., REIT | — | (a) | 3 | |||||
Denso Corp. | — | (a) | 20 | |||||
Dentsu Group, Inc. | — | (a) | 11 | |||||
East Japan Railway Co. | — | (a) | 14 | |||||
Eisai Co. Ltd. | — | (a) | 10 | |||||
ENEOS Holdings, Inc. | 3 | 12 | ||||||
FANUC Corp. | — | (a) | 48 | |||||
FUJIFILM Holdings Corp. | — | (a) | 7 | |||||
Fujitsu Ltd. | — | (a) | 37 | |||||
GLP J-REIT, REIT | — | (a) | 2 | |||||
Hankyu Hanshin Holdings, Inc. | — | (a) | 3 | |||||
Hitachi Ltd. | 1 | 46 | ||||||
Honda Motor Co. Ltd. | 1 | 35 | ||||||
Hoya Corp. | — | (a) | 40 | |||||
Isuzu Motors Ltd. | 1 | 16 | ||||||
ITOCHU Corp. | 1 | 32 | ||||||
Japan Airlines Co. Ltd. * | — | (a) | 9 | |||||
Japan Exchange Group, Inc. | 1 | 16 | ||||||
Japan Metropolitan Fund Invest, REIT | — | (a) | 4 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Japan — continued |
| |||||||
Japan Post Holdings Co. Ltd. * | — | (a) | 2 | |||||
Japan Post Insurance Co. Ltd. | — | (a) | 2 | |||||
Japan Real Estate Investment Corp., REIT | — | (a) | 12 | |||||
Japan Tobacco, Inc. | — | (a) | 6 | |||||
Kajima Corp. | 1 | 8 | ||||||
Kansai Electric Power Co., Inc. (The) | 1 | 7 | ||||||
Kansai Paint Co. Ltd. | — | (a) | 2 | |||||
Kao Corp. | — | (a) | 25 | |||||
KDDI Corp. | 1 | 28 | ||||||
Keyence Corp. | — | (a) | 201 | |||||
Kintetsu Group Holdings Co. Ltd. * | — | (a) | 7 | |||||
Kirin Holdings Co. Ltd. | 1 | 10 | ||||||
Komatsu Ltd. | — | (a) | 10 | |||||
Konami Holdings Corp. | — | (a) | 12 | |||||
Kubota Corp. | 1 | 22 | ||||||
Kyocera Corp. | — | (a) | 18 | |||||
Kyowa Kirin Co. Ltd. | 2 | 60 | ||||||
M3, Inc. | — | (a) | 22 | |||||
Marubeni Corp. | — | (a) | 3 | |||||
MINEBEA MITSUMI, Inc. | 1 | 13 | ||||||
MISUMI Group, Inc. | 1 | 17 | ||||||
Mitsubishi Corp. | 1 | 33 | ||||||
Mitsubishi Electric Corp. | 1 | 14 | ||||||
Mitsubishi Estate Co. Ltd. | — | (a) | 5 | |||||
Mitsubishi Heavy Industries Ltd. | — | (a) | 3 | |||||
Mitsubishi UFJ Financial Group, Inc. | 9 | 48 | ||||||
Mitsui & Co. Ltd. | 1 | 20 | ||||||
Mitsui Chemicals, Inc. | — | (a) | 10 | |||||
Mitsui Fudosan Co. Ltd. | 1 | 21 | ||||||
Mizuho Financial Group, Inc. | 1 | 12 | ||||||
MonotaRO Co. Ltd. | — | (a) | 5 | |||||
MS&AD Insurance Group Holdings, Inc. | — | (a) | 3 | |||||
Murata Manufacturing Co. Ltd. | — | (a) | 30 | |||||
Nabtesco Corp. | — | (a) | 4 | |||||
NH Foods Ltd. | — | (a) | 8 | |||||
Nidec Corp. | — | (a) | 34 | |||||
Nihon M&A Center, Inc. | — | (a) | 3 | |||||
Nintendo Co. Ltd. | — | (a) | 58 | |||||
Nippon Building Fund, Inc., REIT | — | (a) | 6 | |||||
Nippon Express Co. Ltd. | — | (a) | 8 | |||||
Nippon Paint Holdings Co. Ltd. | — | (a) | 5 | |||||
Nippon Prologis REIT, Inc., REIT | — | (a) | 9 | |||||
Nippon Steel Corp. | 1 | 12 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Japan — continued |
| |||||||
Nippon Telegraph & Telephone Corp. | 1 | 31 | ||||||
Nippon Yusen KK | — | (a) | 10 | |||||
Nissan Motor Co. Ltd. * | 1 | 6 | ||||||
Nissin Foods Holdings Co. Ltd. | — | (a) | 7 | |||||
Nitori Holdings Co. Ltd. | — | (a) | 18 | |||||
Nomura Holdings, Inc. | 1 | 4 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | — | (a) | 3 | |||||
Nomura Research Institute Ltd. | — | (a) | 13 | |||||
Odakyu Electric Railway Co. Ltd. | — | (a) | 5 | |||||
Olympus Corp. | 1 | 10 | ||||||
Ono Pharmaceutical Co. Ltd. | 1 | 13 | ||||||
Oriental Land Co. Ltd. | — | (a) | 14 | |||||
ORIX Corp. | 1 | 20 | ||||||
Otsuka Corp. | — | (a) | 10 | |||||
Otsuka Holdings Co. Ltd. | — | (a) | 8 | |||||
Pan Pacific International Holdings Corp. | — | (a) | 6 | |||||
Panasonic Corp. | 1 | 14 | ||||||
Rakuten Group, Inc. | 1 | 10 | ||||||
Recruit Holdings Co. Ltd. | 1 | 49 | ||||||
Resona Holdings, Inc. | 2 | 6 | ||||||
Ricoh Co. Ltd. | 1 | 7 | ||||||
Rohm Co. Ltd. | — | (a) | 9 | |||||
Ryohin Keikaku Co. Ltd. | 1 | 19 | ||||||
SBI Holdings, Inc. | — | (a) | 9 | |||||
Secom Co. Ltd. | — | (a) | 8 | |||||
Sekisui House Ltd. | 1 | 12 | ||||||
Seven & i Holdings Co. Ltd. | 1 | 38 | ||||||
Shimadzu Corp. | — | (a) | 12 | |||||
Shimano, Inc. | — | (a) | 24 | |||||
Shin-Etsu Chemical Co. Ltd. | — | (a) | 50 | |||||
Shionogi & Co. Ltd. | — | (a) | 16 | |||||
Shiseido Co. Ltd. | — | (a) | 7 | |||||
SMC Corp. | — | (a) | 118 | |||||
SoftBank Corp. | 1 | 12 | ||||||
SoftBank Group Corp. | 1 | 63 | ||||||
Sompo Holdings, Inc. | — | (a) | 4 | |||||
Sony Group Corp. | 3 | 281 | ||||||
Stanley Electric Co. Ltd. | — | (a) | 3 | |||||
Sumitomo Electric Industries Ltd. | — | (a) | 6 | |||||
Sumitomo Metal Mining Co. Ltd. | — | (a) | 12 | |||||
Sumitomo Mitsui Financial Group, Inc. | 1 | 38 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | — | (a) | 13 | |||||
Sumitomo Realty & Development Co. Ltd. | — | (a) | 4 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Japan — continued |
| |||||||
Suntory Beverage & Food Ltd. | — | (a) | 4 | |||||
Suzuki Motor Corp. | — | (a) | 17 | |||||
Sysmex Corp. | — | (a) | 12 | |||||
T&D Holdings, Inc. | 1 | 12 | ||||||
Taisei Corp. | — | (a) | 7 | |||||
Takeda Pharmaceutical Co. Ltd. | 1 | 27 | ||||||
Terumo Corp. | 1 | 24 | ||||||
Tohoku Electric Power Co., Inc. | — | (a) | 2 | |||||
Tokio Marine Holdings, Inc. | 1 | 28 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | — | (a) | 1 | |||||
Tokyo Electron Ltd. | — | (a) | 43 | |||||
Tokyo Gas Co. Ltd. | — | (a) | 7 | |||||
TOPPAN, Inc. | — | (a) | 2 | |||||
Toshiba Corp. | — | (a) | 9 | |||||
Toyota Motor Corp. | 4 | 315 | ||||||
Toyota Tsusho Corp. | — | (a) | 5 | |||||
Unicharm Corp. | — | (a) | 4 | |||||
Yamada Holdings Co. Ltd. | 2 | 9 | ||||||
Yamato Holdings Co. Ltd. | — | (a) | 6 | |||||
Yaskawa Electric Corp. | — | (a) | 5 | |||||
Z Holdings Corp. | 1 | 4 | ||||||
|
| |||||||
3,087 | ||||||||
|
| |||||||
Macau — 0.0% (d) |
| |||||||
Galaxy Entertainment Group Ltd. * | 1 | 8 | ||||||
Sands China Ltd. * (b) | 2 | 8 | ||||||
|
| |||||||
16 | ||||||||
|
| |||||||
Mexico — 0.1% |
| |||||||
Wal-Mart de Mexico SAB de CV | 50 | 162 | ||||||
|
| |||||||
Netherlands — 1.2% |
| |||||||
Adyen NV * (c) | — | (a) | 42 | |||||
Akzo Nobel NV | 1 | 157 | ||||||
ASML Holding NV | 1 | 782 | ||||||
Heineken NV | 2 | 194 | ||||||
ING Groep NV | 2 | 30 | ||||||
Koninklijke Ahold Delhaize NV | 1 | 38 | ||||||
Koninklijke DSM NV | — | (a) | 23 | |||||
Koninklijke KPN NV | 8 | 25 | ||||||
Koninklijke Philips NV | — | (a) | 20 | |||||
NN Group NV | 1 | 47 | ||||||
Randstad NV | — | (a) | 20 | |||||
Royal Dutch Shell plc, Class A | 2 | 35 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Netherlands — continued |
| |||||||
Royal Dutch Shell plc, Class B | 2 | 39 | ||||||
Wolters Kluwer NV | 1 | 54 | ||||||
|
| |||||||
1,506 | ||||||||
|
| |||||||
New Zealand — 0.0% (d) |
| |||||||
Fisher & Paykel Healthcare Corp. Ltd. | — | (a) | 5 | |||||
Spark New Zealand Ltd. | 1 | 2 | ||||||
Xero Ltd. * | — | (a) | 4 | |||||
|
| |||||||
11 | ||||||||
|
| |||||||
Norway — 0.0% (d) |
| |||||||
Telenor ASA | 1 | 11 | ||||||
|
| |||||||
Peru — 0.0% (d) |
| |||||||
Credicorp Ltd. * | — | (a) | 55 | |||||
|
| |||||||
Portugal — 0.0% (d) |
| |||||||
Galp Energia SGPS SA | 1 | 16 | ||||||
|
| |||||||
Saudi Arabia — 0.1% |
| |||||||
Delivery Hero SE * (c) | 1 | 167 | ||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
Ascendas, REIT | 1 | 2 | ||||||
CapitaLand Integrated Commercial Trust, REIT | 2 | 3 | ||||||
CapitaLand Ltd. | 3 | 8 | ||||||
DBS Group Holdings Ltd. | 1 | 24 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 2 | 14 | ||||||
Singapore Exchange Ltd. | 1 | 6 | ||||||
Singapore Technologies Engineering Ltd. | 1 | 2 | ||||||
Singapore Telecommunications Ltd. | 3 | 6 | ||||||
United Overseas Bank Ltd. | — | (a) | 4 | |||||
Venture Corp. Ltd. | — | (a) | 3 | |||||
|
| |||||||
72 | ||||||||
|
| |||||||
South Africa — 0.2% |
| |||||||
Anglo American plc | 5 | 219 | ||||||
|
| |||||||
South Korea — 0.6% |
| |||||||
LG Chem Ltd. | — | (a) | 150 | |||||
Samsung Electronics Co. Ltd. | 9 | 631 | ||||||
|
| |||||||
781 | ||||||||
|
| |||||||
Spain — 0.6% |
| |||||||
Banco Bilbao Vizcaya Argentaria SA | 8 | 51 | ||||||
Banco Santander SA | 4 | 16 | ||||||
CaixaBank SA | 11 | 34 | ||||||
Cellnex Telecom SA (c) | 2 | 150 | ||||||
Endesa SA | 4 | 89 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Spain — continued |
| |||||||
Iberdrola SA | 30 | 364 | ||||||
Industria de Diseno Textil SA | 1 | 52 | ||||||
|
| |||||||
756 | ||||||||
|
| |||||||
Sweden — 0.7% |
| |||||||
Atlas Copco AB, Class A | 4 | 225 | ||||||
Atlas Copco AB, Class B | — | (a) | 9 | |||||
Boliden AB * | — | (a) | 16 | |||||
Lundin Energy AB | 1 | 27 | ||||||
Sandvik AB (b) | 2 | 40 | ||||||
SKF AB, Class B | 1 | 32 | ||||||
Svenska Handelsbanken AB, Class A | 17 | 188 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 1 | 12 | ||||||
Volvo AB, Class B (b) | 13 | 321 | ||||||
|
| |||||||
870 | ||||||||
|
| |||||||
Switzerland — 1.6% |
| |||||||
ABB Ltd. (Registered) | 1 | 32 | ||||||
Adecco Group AG (Registered) | — | (a) | 21 | |||||
Cie Financiere Richemont SA (Registered) | — | (a) | 20 | |||||
Givaudan SA (Registered) | — | (a) | 65 | |||||
Holcim Ltd. * | 4 | 234 | ||||||
Lonza Group AG (Registered) | — | (a) | 236 | |||||
Nestle SA (Registered) | 4 | 548 | ||||||
Novartis AG (Registered) | 2 | 162 | ||||||
Roche Holding AG | 1 | 196 | ||||||
Schindler Holding AG | — | (a) | 21 | |||||
SGS SA (Registered) | — | (a) | 216 | |||||
Sika AG (Registered) | — | (a) | 13 | |||||
STMicroelectronics NV | — | (a) | 6 | |||||
UBS Group AG (Registered) | 2 | 31 | ||||||
Zurich Insurance Group AG | 1 | 294 | ||||||
|
| |||||||
2,095 | ||||||||
|
| |||||||
Taiwan — 0.5% |
| |||||||
Sea Ltd., ADR * | 1 | 193 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 4 | 474 | ||||||
|
| |||||||
667 | ||||||||
|
| |||||||
United Kingdom — 2.2% |
| |||||||
3i Group plc | 3 | 46 | ||||||
AstraZeneca plc | 1 | 107 | ||||||
Barclays plc | 10 | 23 | ||||||
Berkeley Group Holdings plc | — | (a) | 23 | |||||
BP plc | 52 | 226 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United Kingdom — continued |
| |||||||
British American Tobacco plc | 1 | 34 | ||||||
CK Hutchison Holdings Ltd. | 2 | 12 | ||||||
DCC plc | — | (a) | 29 | |||||
Diageo plc | 12 | 565 | ||||||
Experian plc | — | (a) | 7 | |||||
GlaxoSmithKline plc | 2 | 46 | ||||||
HSBC Holdings plc | 8 | 44 | ||||||
InterContinental Hotels Group plc * | 2 | 136 | ||||||
Intertek Group plc | — | (a) | 32 | |||||
Legal & General Group plc | 36 | 130 | ||||||
Linde plc | 1 | 189 | ||||||
Lloyds Banking Group plc | 86 | 56 | ||||||
London Stock Exchange Group plc | 1 | 146 | ||||||
Next plc * | — | (a) | 30 | |||||
Persimmon plc | 4 | 183 | ||||||
Prudential plc | 1 | 26 | ||||||
Reckitt Benckiser Group plc | 3 | 256 | ||||||
RELX plc | 2 | 49 | ||||||
RELX plc | 7 | 184 | ||||||
Standard Chartered plc | 5 | 30 | ||||||
Taylor Wimpey plc | 71 | 156 | ||||||
Tesco plc | 8 | 24 | ||||||
Unilever plc | 1 | 39 | ||||||
Unilever plc | 1 | 48 | ||||||
Vodafone Group plc | 8 | 14 | ||||||
|
| |||||||
2,890 | ||||||||
|
| |||||||
United States — 28.3% |
| |||||||
AbbVie, Inc. | 4 | 492 | ||||||
Acuity Brands, Inc. | — | (a) | 54 | |||||
Advanced Micro Devices, Inc. * | 3 | 296 | ||||||
Agios Pharmaceuticals, Inc. * | 1 | 35 | ||||||
Airbnb, Inc., Class A * | — | (a) | 29 | |||||
Alleghany Corp. * | — | (a) | 41 | |||||
Alnylam Pharmaceuticals, Inc. * | — | (a) | 51 | |||||
Alphabet, Inc., Class A * | — | (a) | 2 | |||||
Alphabet, Inc., Class C * (e) | 1 | 1,599 | ||||||
Altice USA, Inc., Class A * | — | (a) | 14 | |||||
Amazon.com, Inc. * (e) | — | (a) | 1,483 | |||||
American Electric Power Co., Inc. | 1 | 52 | ||||||
American Express Co. | — | (a) | 80 | |||||
American Homes 4 Rent, Class A, REIT | 1 | 51 | ||||||
American International Group, Inc. | 1 | 28 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United States — continued |
| |||||||
AmerisourceBergen Corp. | 1 | 58 | ||||||
AMETEK, Inc. | 1 | 80 | ||||||
Amgen, Inc. | — | (a) | 117 | |||||
Analog Devices, Inc. | 3 | 550 | ||||||
Apple, Inc. (e) | 9 | 1,198 | ||||||
Applied Materials, Inc. | 1 | 204 | ||||||
Arrow Electronics, Inc. * | — | (a) | 21 | |||||
AutoZone, Inc. * | — | (a) | 115 | |||||
Ball Corp. | — | (a) | 16 | |||||
Bank of America Corp. (e) | 7 | 295 | ||||||
Berkshire Hathaway, Inc., Class B * | 1 | 213 | ||||||
Best Buy Co., Inc. | — | (a) | 50 | |||||
Biogen, Inc. * | — | (a) | 91 | |||||
BlackRock, Inc. | — | (a) | 95 | |||||
Blackstone Group, Inc. (The), Class A | 2 | 194 | ||||||
Booking Holdings, Inc. * | — | (a) | 363 | |||||
Booz Allen Hamilton Holding Corp. | 1 | 85 | ||||||
Boston Scientific Corp. * | 9 | 369 | ||||||
Bright Horizons Family Solutions, Inc. * | — | (a) | 57 | |||||
Bristol-Myers Squibb Co. | 7 | 445 | ||||||
Brixmor Property Group, Inc., REIT | 2 | 55 | ||||||
Bumble, Inc., Class A * (b) | 2 | 100 | ||||||
Cabot Oil & Gas Corp. (b) | 2 | 39 | ||||||
Capital One Financial Corp. | 1 | 221 | ||||||
Carlisle Cos., Inc. (e) | — | (a) | 47 | |||||
CarMax, Inc. * | 1 | 80 | ||||||
Catalent, Inc. * | 1 | 83 | ||||||
CBRE Group, Inc., Class A * | 1 | 60 | ||||||
Ceridian HCM Holding, Inc. * | 1 | 81 | ||||||
Charles Schwab Corp. (The) | 3 | 210 | ||||||
Charter Communications, Inc., Class A * | 1 | 364 | ||||||
Chevron Corp. | 1 | 67 | ||||||
Chubb Ltd. | — | (a) | 52 | |||||
Cigna Corp. | 2 | 413 | ||||||
Cisco Systems, Inc. | 1 | 40 | ||||||
Citigroup, Inc. | 1 | 69 | ||||||
Citizens Financial Group, Inc. | 2 | 94 | ||||||
CNA Financial Corp. | — | (a) | 19 | |||||
Coca-Cola Co. (The) | 8 | 424 | ||||||
Columbia Sportswear Co. | — | (a) | 32 | |||||
Comcast Corp., Class A | 5 | 297 | ||||||
CommScope Holding Co., Inc. * | 3 | 66 | ||||||
Confluent, Inc., Class A * | 1 | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
ConocoPhillips | 9 | 537 | ||||||
Constellation Brands, Inc., Class A | 1 | 248 | ||||||
Cooper Cos., Inc. (The) | — | (a) | 75 | |||||
Copart, Inc. * | 1 | 90 | ||||||
Coty, Inc., Class A * | 2 | 20 | ||||||
Cree, Inc. * | 1 | 60 | ||||||
Crowdstrike Holdings, Inc., Class A * | — | (a) | 88 | |||||
CVS Health Corp. | 1 | 74 | ||||||
Deere & Co. | — | (a) | 153 | |||||
Delta Air Lines, Inc. * | 2 | 72 | ||||||
Dexcom, Inc. * | — | (a) | 127 | |||||
Diamondback Energy, Inc. | — | (a) | 23 | |||||
Discover Financial Services | — | (a) | 52 | |||||
Discovery, Inc., Class C * | 2 | 70 | ||||||
DISH Network Corp., Class A * | 1 | 41 | ||||||
Dollar General Corp. | — | (a) | 40 | |||||
Dover Corp. | 1 | 95 | ||||||
DraftKings, Inc., Class A * (b) | 2 | 79 | ||||||
EastGroup Properties, Inc., REIT | — | (a) | 42 | |||||
Eastman Chemical Co. | 2 | 271 | ||||||
Eaton Corp. plc | 2 | 252 | ||||||
Edison International | 1 | 31 | ||||||
Eli Lilly & Co. | 1 | 139 | ||||||
Energizer Holdings, Inc. | 1 | 40 | ||||||
Entegris, Inc. | 1 | 113 | ||||||
Entergy Corp. | — | (a) | 31 | |||||
Equitrans Midstream Corp. | 1 | 12 | ||||||
Estee Lauder Cos., Inc. (The), Class A | — | (a) | 121 | |||||
Exact Sciences Corp. * | 1 | 71 | ||||||
Exelixis, Inc. * | 2 | 43 | ||||||
Facebook, Inc., Class A * | 1 | 318 | ||||||
Federal Realty Investment Trust, REIT | — | (a) | 33 | |||||
FedEx Corp. | 1 | 201 | ||||||
Ferguson plc | 2 | 271 | ||||||
Fidelity National Information Services, Inc. | 2 | 246 | ||||||
First Republic Bank | — | (a) | 90 | |||||
Fiserv, Inc. * | 1 | 109 | ||||||
Five9, Inc. * | — | (a) | 69 | |||||
FleetCor Technologies, Inc. * | 1 | 162 | ||||||
Fortune Brands Home & Security, Inc. | 1 | 129 | ||||||
Freeport-McMoRan, Inc. | 2 | 85 | ||||||
Gap, Inc. (The) | 2 | 56 | ||||||
Garmin Ltd. | 1 | 91 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United States — continued |
| |||||||
Generac Holdings, Inc. * | — | (a) | 168 | |||||
General Dynamics Corp. | — | (a) | 52 | |||||
Global Payments, Inc. | 1 | 122 | ||||||
Graphic Packaging Holding Co. | 2 | 28 | ||||||
Hartford Financial Services Group, Inc. (The) | 1 | 72 | ||||||
HCA Healthcare, Inc. | — | (a) | 37 | |||||
Hershey Co. (The) | 1 | 114 | ||||||
Home Depot, Inc. (The) | 1 | 203 | ||||||
Honeywell International, Inc. | — | (a) | 68 | |||||
Horizon Therapeutics plc * | 1 | 73 | ||||||
HubSpot, Inc. * | — | (a) | 100 | |||||
IHS Markit Ltd. | 1 | 78 | ||||||
Ingersoll Rand, Inc. * | 6 | 303 | ||||||
Insulet Corp. * | — | (a) | 41 | |||||
International Business Machines Corp. | — | (a) | 33 | |||||
Intuit, Inc. | — | (a) | 194 | |||||
Intuitive Surgical, Inc. * | — | (a) | 118 | |||||
Invesco Ltd. | 1 | 26 | ||||||
ITT, Inc. | 1 | 51 | ||||||
James Hardie Industries plc, CHDI | — | (a) | 9 | |||||
Jazz Pharmaceuticals plc * | — | (a) | 68 | |||||
Johnson & Johnson | 1 | 92 | ||||||
Keurig Dr Pepper, Inc. | 1 | 39 | ||||||
Keysight Technologies, Inc. * | 1 | 103 | ||||||
Kimco Realty Corp., REIT | 3 | 71 | ||||||
Kinder Morgan, Inc. | 3 | 63 | ||||||
Kohl’s Corp. | 1 | 31 | ||||||
Kraft Heinz Co. (The) | 1 | 44 | ||||||
Lam Research Corp. | — | (a) | 172 | |||||
Lamar Advertising Co., Class A, REIT | — | (a) | 12 | |||||
Las Vegas Sands Corp. * | 2 | 124 | ||||||
Leidos Holdings, Inc. | — | (a) | 37 | |||||
Liberty Broadband Corp., Class C * | — | (a) | 74 | |||||
Liberty Media Corp.-Liberty SiriusXM, Class A * | 2 | 81 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 3 | 133 | ||||||
Loews Corp. (e) | 2 | 119 | ||||||
Lowe’s Cos., Inc. | 1 | 207 | ||||||
Lyft, Inc., Class A * | 10 | 584 | ||||||
M&T Bank Corp. | 1 | 105 | ||||||
Marathon Petroleum Corp. | 1 | 37 | ||||||
Marsh & McLennan Cos., Inc. | — | (a) | 47 | |||||
Martin Marietta Materials, Inc. | — | (a) | 69 | |||||
Mastercard, Inc., Class A (e) | 2 | 891 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Match Group, Inc. * | 1 | 229 | ||||||
McKesson Corp. | — | (a) | 79 | |||||
Medtronic plc | — | (a) | 58 | |||||
Merck & Co., Inc. | 1 | 40 | ||||||
Mettler-Toledo International, Inc. * | — | (a) | 87 | |||||
Microchip Technology, Inc. | — | (a) | 62 | |||||
Microsoft Corp. (e) | 6 | 1,696 | ||||||
Mid-America Apartment Communities, Inc., REIT | — | (a) | 71 | |||||
Mohawk Industries, Inc. * | — | (a) | 57 | |||||
MongoDB, Inc. * | — | (a) | 70 | |||||
Morgan Stanley | 2 | 188 | ||||||
Motorola Solutions, Inc. | 1 | 111 | ||||||
Murphy USA, Inc. | — | (a) | 60 | |||||
National Vision Holdings, Inc. * | 1 | 47 | ||||||
Netflix, Inc. * | — | (a) | 172 | |||||
Newell Brands, Inc. | 2 | 53 | ||||||
Nexstar Media Group, Inc., Class A | — | (a) | 42 | |||||
NextEra Energy, Inc. | 4 | 291 | ||||||
NIKE, Inc., Class B | 1 | 198 | ||||||
Norfolk Southern Corp. | 1 | 218 | ||||||
Northern Trust Corp. | 1 | 60 | ||||||
Northrop Grumman Corp. | — | (a) | 55 | |||||
NVIDIA Corp. (e) | — | (a) | 338 | |||||
Oatly Group AB, ADR * | 2 | 39 | ||||||
Old Dominion Freight Line, Inc. | — | (a) | 87 | |||||
Open Lending Corp., Class A * | 2 | 70 | ||||||
O’Reilly Automotive, Inc. * | 1 | 357 | ||||||
Organon & Co. * | — | (a) | 14 | |||||
Packaging Corp. of America | 1 | 72 | ||||||
PayPal Holdings, Inc. * | 1 | 220 | ||||||
Pfizer, Inc. | — | (a) | 18 | |||||
PG&E Corp. * | 3 | 27 | ||||||
Philip Morris International, Inc. | — | (a) | 47 | |||||
Phillips 66 | 1 | 49 | ||||||
PNC Financial Services Group, Inc. (The) | 1 | 99 | ||||||
Post Holdings, Inc. * | 1 | 66 | ||||||
Procter & Gamble Co. (The) | 1 | 70 | ||||||
Progressive Corp. (The) | 2 | 239 | ||||||
Prologis, Inc., REIT | 2 | 227 | ||||||
Public Storage, REIT | — | (a) | 80 | |||||
QUALCOMM, Inc. | 1 | 139 | ||||||
Quanta Services, Inc. | 1 | 90 | ||||||
Ralph Lauren Corp. | — | (a) | 42 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
United States — continued |
| |||||||
Rayonier, Inc., REIT | 2 | 60 | ||||||
Raytheon Technologies Corp. | 1 | 87 | ||||||
Regeneron Pharmaceuticals, Inc. * | 1 | 332 | ||||||
RingCentral, Inc., Class A * | 1 | 170 | ||||||
Roku, Inc. * | — | (a) | 150 | |||||
Royal Caribbean Cruises Ltd. * | 1 | 69 | ||||||
Royalty Pharma plc, Class A | 1 | 60 | ||||||
S&P Global, Inc. | — | (a) | 79 | |||||
Schneider Electric SE | 3 | 478 | ||||||
ServiceNow, Inc. * | — | (a) | 90 | |||||
Signature Bank | — | (a) | 60 | |||||
Snap, Inc., Class A * | 1 | 76 | ||||||
Snowflake, Inc., Class A * | — | (a) | 34 | |||||
SolarEdge Technologies, Inc. * | — | (a) | 107 | |||||
Southwest Airlines Co. * | 2 | 105 | ||||||
Stanley Black & Decker, Inc. | 1 | 242 | ||||||
State Street Corp. | 4 | 360 | ||||||
Stellantis NV | 3 | 55 | ||||||
Sun Communities, Inc., REIT | 1 | 126 | ||||||
SYNNEX Corp. | — | (a) | 38 | |||||
Synopsys, Inc. * | — | (a) | 86 | |||||
Sysco Corp. | 1 | 42 | ||||||
T. Rowe Price Group, Inc. | — | (a) | 53 | |||||
Teradyne, Inc. | 1 | 70 | ||||||
Tesla, Inc. * (e) | 1 | 438 | ||||||
Texas Instruments, Inc. (e) | — | (a) | 69 | |||||
Thermo Fisher Scientific, Inc. | — | (a) | 251 | |||||
T-Mobile US, Inc. * | 2 | 256 | ||||||
Tractor Supply Co. | 1 | 94 | ||||||
Trane Technologies plc | 3 | 544 | ||||||
Travelers Cos., Inc. (The) | 1 | 119 | ||||||
Truist Financial Corp. | 5 | 281 | ||||||
Uber Technologies, Inc. * | 1 | 70 | ||||||
UiPath, Inc., Class A * | — | (a) | 28 | |||||
UnitedHealth Group, Inc. (e) | 2 | 673 | ||||||
US Bancorp | 1 | 71 | ||||||
Verizon Communications, Inc. | 2 | 129 | ||||||
Vertex Pharmaceuticals, Inc. * | 1 | 120 | ||||||
Viatris, Inc. | 2 | 29 | ||||||
Visa, Inc., Class A | — | (a) | 81 | |||||
Walt Disney Co. (The) * | 1 | 100 | ||||||
Wells Fargo & Co. | 12 | 557 | ||||||
Welltower, Inc., REIT | — | (a) | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
United States — continued |
| |||||||
Westrock Co. | 1 | 53 | ||||||
Weyerhaeuser Co., REIT | 2 | 75 | ||||||
Williams Cos., Inc. (The) | 2 | 53 | ||||||
Workday, Inc., Class A * | 1 | 123 | ||||||
Xcel Energy, Inc. | 3 | 166 | ||||||
Yum! Brands, Inc. | 3 | 334 | ||||||
Zebra Technologies Corp., Class A * | — | (a) | 110 | |||||
Zillow Group, Inc., Class C * | — | (a) | 59 | |||||
Zimmer Biomet Holdings, Inc. | 2 | 245 | ||||||
Zscaler, Inc. * | 1 | 285 | ||||||
|
| |||||||
36,723 | ||||||||
|
| |||||||
Total Common Stocks | 63,292 | |||||||
|
| |||||||
Investment Companies — 23.2% |
| |||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (f) | 141 | 6,410 | ||||||
JPMorgan High Yield Fund Class R6 Shares (f) | 881 | 6,456 | ||||||
JPMorgan Income Fund Class R6 Shares (f) | 932 | 8,914 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (f) | 355 | 7,157 | ||||||
JPMorgan Mortgage-Backed Securities Fund Class R6 Shares (f) | 104 | 1,190 | ||||||
|
| |||||||
Total Investment Companies | 30,127 | |||||||
|
| |||||||
PRINCIPAL AMOUNT ($000) | ||||||||
Foreign Government Securities — 5.8% |
| |||||||
Australia — 0.0% (d) |
| |||||||
Commonwealth of Australia | ||||||||
1.00%, 12/21/2030 (c) | AUD | 20 | 14 | |||||
3.75%, 4/21/2037 (c) | AUD | 35 | 33 | |||||
2.75%, 5/21/2041 (c) | AUD | 1 | 1 | |||||
3.00%, 3/21/2047 (c) | AUD | 19 | 16 | |||||
|
| |||||||
64 | ||||||||
|
| |||||||
Belgium — 0.1% |
| |||||||
Kingdom of Belgium | ||||||||
0.10%, 6/22/2030 (c) | EUR | 45 | 54 | |||||
3.00%, 6/22/2034 (c) | EUR | 29 | 47 | |||||
1.90%, 6/22/2038 (c) | EUR | 25 | 36 | |||||
1.60%, 6/22/2047 (c) | EUR | 11 | 15 | |||||
1.70%, 6/22/2050 (c) | EUR | 5 | 7 | |||||
2.15%, 6/22/2066 (c) | EUR | 7 | 12 | |||||
|
| |||||||
171 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Canada — 0.2% |
| |||||||
Canada Government Bond | ||||||||
2.00%, 9/1/2023 | CAD | 62 | 51 | |||||
1.50%, 9/1/2024 | CAD | 2 | 2 | |||||
1.25%, 3/1/2025 | CAD | 7 | 6 | |||||
0.50%, 9/1/2025 | CAD | 63 | 50 | |||||
1.00%, 6/1/2027 | CAD | 17 | 14 | |||||
0.50%, 12/1/2030 | CAD | 132 | 98 | |||||
5.00%, 6/1/2037 | CAD | 10 | 12 | |||||
3.50%, 12/1/2045 | CAD | 9 | 10 | |||||
2.75%, 12/1/2048 | CAD | 29 | 28 | |||||
2.75%, 12/1/2064 | CAD | 3 | 3 | |||||
|
| |||||||
274 | ||||||||
|
| |||||||
China — 0.1% |
| |||||||
Export-Import Bank of China (The) 0.75%, 5/28/2023 (c) | EUR | 100 | 120 | |||||
|
| |||||||
Denmark — 0.0% (d) |
| |||||||
Kingdom of Denmark | ||||||||
1.50%, 11/15/2023 | DKK | 36 | 6 | |||||
1.75%, 11/15/2025 | DKK | 28 | 5 | |||||
0.50%, 11/15/2027 | DKK | 10 | 2 | |||||
0.50%, 11/15/2029 (c) | DKK | 86 | 14 | |||||
4.50%, 11/15/2039 | DKK | 78 | 22 | |||||
|
| |||||||
49 | ||||||||
|
| |||||||
France — 0.7% |
| |||||||
French Republic | ||||||||
0.00%, 3/25/2023 (c) | EUR | 39 | 47 | |||||
1.75%, 11/25/2024 (c) | EUR | 56 | 71 | |||||
0.25%, 11/25/2026 (c) | EUR | 106 | 130 | |||||
0.50%, 5/25/2029 (c) | EUR | 15 | 18 | |||||
0.00%, 11/25/2029 (c) | EUR | 100 | 119 | |||||
0.00%, 11/25/2030 (c) | EUR | 160 | 189 | |||||
0.00%, 11/25/2031 (c) | EUR | 20 | 23 | |||||
1.25%, 5/25/2034 (c) | EUR | 85 | 113 | |||||
3.25%, 5/25/2045 (c) | EUR | 46 | 85 | |||||
2.00%, 5/25/2048 (c) | EUR | 5 | 8 | |||||
1.50%, 5/25/2050 (c) | EUR | 9 | 12 | |||||
0.75%, 5/25/2052 (c) | EUR | 26 | 30 | |||||
4.00%, 4/25/2055 (c) | EUR | 12 | 27 | |||||
4.00%, 4/25/2060 (c) | EUR | 2 | 5 | |||||
1.75%, 5/25/2066 (c) | EUR | 18 | 27 | |||||
|
| |||||||
904 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Foreign Government Securities — continued |
| |||||||
Germany — 0.4% |
| |||||||
Bundesobligation 0.00%, 10/10/2025 (c) | EUR | 196 | 239 | |||||
Bundesrepublik Deutschland | ||||||||
0.00%, 2/15/2031 (c) | EUR | 35 | 42 | |||||
0.00%, 5/15/2035 (c) | EUR | 62 | 74 | |||||
2.50%, 7/4/2044 (c) | EUR | 49 | 89 | |||||
0.00%, 8/15/2050 (c) | EUR | 33 | 36 | |||||
|
| |||||||
480 | ||||||||
|
| |||||||
Italy — 1.0% |
| |||||||
Buoni Poliennali del Tesoro | ||||||||
1.35%, 4/15/2022 (c) | EUR | 13 | 16 | |||||
1.45%, 9/15/2022 (c) | EUR | 41 | 50 | |||||
0.00%, 1/15/2024 (c) | EUR | 112 | 134 | |||||
0.35%, 2/1/2025 (c) | EUR | 145 | 175 | |||||
1.40%, 5/26/2025 (c) | EUR | 88 | 113 | |||||
1.85%, 7/1/2025 (c) | EUR | 36 | 46 | |||||
0.50%, 2/1/2026 (c) | EUR | 57 | 69 | |||||
1.60%, 6/1/2026 (c) | EUR | 24 | 30 | |||||
2.80%, 12/1/2028 (c) | EUR | 80 | 111 | |||||
3.00%, 8/1/2029 (c) | EUR | 14 | 20 | |||||
1.35%, 4/1/2030 (c) | EUR | 143 | 180 | |||||
0.95%, 12/1/2031 (c) | EUR | 39 | 47 | |||||
1.65%, 3/1/2032 (c) | EUR | 39 | 50 | |||||
2.45%, 9/1/2033 (c) | EUR | 9 | 12 | |||||
2.25%, 9/1/2036 (c) | EUR | 56 | 75 | |||||
4.00%, 2/1/2037 (c) | EUR | 19 | 31 | |||||
4.75%, 9/1/2044 (c) | EUR | 19 | 36 | |||||
1.50%, 4/30/2045 (c) | EUR | 10 | 11 | |||||
3.45%, 3/1/2048 (c) | EUR | 25 | 40 | |||||
3.85%, 9/1/2049 (c) | EUR | 4 | 7 | |||||
2.80%, 3/1/2067 (c) | EUR | 14 | 20 | |||||
|
| |||||||
1,273 | ||||||||
|
| |||||||
Japan — 1.9% |
| |||||||
Japan Government Bond | ||||||||
0.10%, 12/20/2022 | JPY | 19,750 | 178 | |||||
0.60%, 12/20/2023 | JPY | 27,050 | 248 | |||||
0.10%, 9/20/2024 | JPY | 12,600 | 114 | |||||
0.10%, 12/20/2024 | JPY | 17,550 | 159 | |||||
0.10%, 3/20/2025 | JPY | 3,500 | 32 | |||||
0.30%, 12/20/2025 | JPY | 10,900 | 100 | |||||
0.10%, 12/20/2027 | JPY | 13,000 | 118 | |||||
0.10%, 6/20/2029 | JPY | 3,450 | 31 | |||||
0.10%, 9/20/2029 | JPY | 750 | 7 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Japan — continued |
| |||||||
0.10%, 12/20/2029 | JPY | 16,100 | 146 | |||||
0.10%, 3/20/2030 | JPY | 11,250 | 102 | |||||
1.50%, 3/20/2034 | JPY | 35,000 | 367 | |||||
0.60%, 12/20/2037 | JPY | 35,950 | 338 | |||||
2.50%, 3/20/2038 | JPY | 500 | 6 | |||||
0.30%, 12/20/2039 | JPY | 16,650 | 147 | |||||
1.70%, 9/20/2044 | JPY | 50 | 1 | |||||
1.40%, 12/20/2045 | JPY | 6,300 | 68 | |||||
0.80%, 3/20/2047 | JPY | 8,000 | 76 | |||||
0.40%, 9/20/2049 | JPY | 2,000 | 17 | |||||
0.40%, 12/20/2049 | JPY | 4,500 | 38 | |||||
0.90%, 3/20/2057 | JPY | 15,600 | 147 | |||||
|
| |||||||
2,440 | ||||||||
|
| |||||||
Netherlands — 0.1% |
| |||||||
Kingdom of Netherlands | ||||||||
0.25%, 7/15/2029 (c) | EUR | 22 | 27 | |||||
0.00%, 7/15/2031 (c) | EUR | 10 | 12 | |||||
0.50%, 1/15/2040 (c) | EUR | 28 | 35 | |||||
0.00%, 1/15/2052 (c) | EUR | 13 | 14 | |||||
|
| |||||||
88 | ||||||||
|
| |||||||
Qatar — 0.2% |
| |||||||
State of Qatar | ||||||||
3.88%, 4/23/2023 (g) | 200 | 212 | ||||||
|
| |||||||
South Korea — 0.1% |
| |||||||
Export-Import Bank of Korea | ||||||||
0.38%, 3/26/2024 (c) | EUR | 100 | 120 | |||||
|
| |||||||
Spain — 0.5% |
| |||||||
Bonos and Obligaciones del Estado | ||||||||
0.00%, 4/30/2023 | EUR | 84 | 101 | |||||
1.60%, 4/30/2025 (c) | EUR | 92 | 117 | |||||
1.40%, 7/30/2028 (c) | EUR | 33 | 43 | |||||
1.45%, 4/30/2029 (c) | EUR | 31 | 41 | |||||
1.95%, 7/30/2030 (c) | EUR | 2 | 3 | |||||
0.10%, 4/30/2031 (c) | EUR | 110 | 126 | |||||
2.35%, 7/30/2033 (c) | EUR | 8 | 11 | |||||
1.85%, 7/30/2035 (c) | EUR | 15 | 20 | |||||
4.20%, 1/31/2037 (c) | EUR | 31 | 55 | |||||
1.20%, 10/31/2040 (c) | EUR | 17 | 20 | |||||
2.70%, 10/31/2048 (c) | EUR | 30 | 47 | |||||
3.45%, 7/30/2066 (c) | EUR | 11 | 20 | |||||
|
| |||||||
604 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Foreign Government Securities — continued |
| |||||||
Sweden — 0.0% (d) |
| |||||||
Kingdom of Sweden | ||||||||
3.50%, 6/1/2022 | SEK | 35 | 4 | |||||
2.50%, 5/12/2025 | SEK | 90 | 12 | |||||
0.75%, 11/12/2029 (c) | SEK | 40 | 5 | |||||
2.25%, 6/1/2032 (c) | SEK | 15 | 2 | |||||
3.50%, 3/30/2039 | SEK | 45 | 8 | |||||
|
| |||||||
31 | ||||||||
|
| |||||||
United Kingdom — 0.5% |
| |||||||
United Kingdom of Great Britain and Northern Ireland | ||||||||
0.63%, 6/7/2025 (c) | GBP | 58 | 81 | |||||
4.75%, 12/7/2038 (c) | GBP | 89 | 194 | |||||
3.50%, 1/22/2045 (c) | GBP | 16 | 32 | |||||
4.25%, 12/7/2046 (c) | GBP | 50 | 115 | |||||
1.75%, 1/22/2049 (c) | GBP | 23 | 35 | |||||
0.63%, 10/22/2050 (c) | GBP | 28 | 33 | |||||
4.25%, 12/7/2055 (c) | GBP | 15 | 37 | |||||
2.50%, 7/22/2065 (c) | GBP | 59 | 119 | |||||
3.50%, 7/22/2068 (c) | GBP | 6 | 16 | |||||
|
| |||||||
662 | ||||||||
|
| |||||||
Total Foreign Government Securities | 7,492 | |||||||
|
| |||||||
SHARES (000) | ||||||||
Exchange-Traded Funds — 4.5% |
| |||||||
United States — 4.5% |
| |||||||
Invesco S&P 500 Equal Weight ETF (b) | 39 | 5,898 | ||||||
|
| |||||||
PRINCIPAL AMOUNT ($000) | ||||||||
U.S. Treasury Obligations — 1.3% |
| |||||||
U.S. Treasury Notes |
| |||||||
1.38%, 1/31/2022 (h) | 1,685 | 1,698 | ||||||
|
| |||||||
Corporate Bonds — 0.8% |
| |||||||
China — 0.2% |
| |||||||
China Development Bank 0.88%, 1/24/2024 (c) | EUR | 200 | 242 | |||||
|
| |||||||
France — 0.2% |
| |||||||
Dexia Credit Local SA | ||||||||
0.75%, 1/25/2023 (c) | EUR | 100 | 121 | |||||
1.63%, 12/8/2023 (c) | GBP | 100 | 143 | |||||
|
| |||||||
264 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Netherlands — 0.1% |
| |||||||
BNG Bank NV | ||||||||
4.75%, 3/6/2023 (c) | AUD | 15 | 12 | |||||
1.90%, 11/26/2025 (c) | AUD | 90 | 70 | |||||
|
| |||||||
82 | ||||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
Temasek Financial I Ltd. 0.50%, 3/1/2022 (c) | EUR | 150 | 179 | |||||
|
| |||||||
South Korea — 0.2% |
| |||||||
Korea Development Bank (The) | ||||||||
1.75%, 12/15/2022 (c) | GBP | 100 | 141 | |||||
0.63%, 7/17/2023 (c) | EUR | 100 | 120 | |||||
|
| |||||||
261 | ||||||||
|
| |||||||
Total Corporate Bonds | 1,028 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 0.4% |
| |||||||
United States — 0.4% |
| |||||||
Citigroup Commercial Mortgage Trust Series 2012-GC8, Class D, 5.04%, 9/10/2045 ‡ (g) (i) | 100 | 88 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||||||||
Series K734, Class X3, IO, 2.24%, 7/25/2026 (i) | 180 | 16 | ||||||
Series K083, Class X1, IO, 0.18%, 9/25/2028 (i) | 14,553 | 81 | ||||||
Series K723, Class X3, IO, 1.98%, 10/25/2034 (i) | 119 | 5 | ||||||
Series K153, Class X3, IO, 3.90%, 4/25/2035 (i) | 100 | 31 | ||||||
Series K716, Class X3, IO, 1.75%, 8/25/2042 (i) | 260 | – | (a) | |||||
Series K726, Class X3, IO, 2.21%, 7/25/2044 (i) | 302 | 16 | ||||||
Series K728, Class X3, IO, 2.02%, 11/25/2045 (i) | 151 | 9 | ||||||
Series K071, Class X3, IO, 2.08%, 11/25/2045 (i) | 700 | 80 | ||||||
Series K092, Class X3, IO, 2.32%, 5/25/2047 (i) | 100 | 15 | ||||||
Series K094, Class X3, IO, 2.20%, 7/25/2047 (i) | 588 | 87 | ||||||
FREMF Series 2018-KF46, Class B, 2.04%, 3/25/2028 (g) (i) | 5 | 5 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
FREMF Mortgage Trust | ||||||||
Series 2017-KF32, Class B, 2.64%, 5/25/2024 (g) (i) | 6 | 6 | ||||||
Series 2017-KF38, Class B, 2.59%, 9/25/2024 (g) (i) | 6 | 6 | ||||||
Series 2018-KF45, Class B, 2.04%, 3/25/2025 (g) (i) | 10 | 10 | ||||||
Series 2018-KF49, Class B, 1.99%, 6/25/2025 (g) (i) | 4 | 4 | ||||||
Series 2019-KF63, Class B, 2.44%, 5/25/2029 (g) (i) | 57 | 56 | ||||||
GNMA Series 2018-119, IO, | 10 | 1 | ||||||
LB Commercial Mortgage Trust Series 2007-C3, Class AJ, 6.11%, 7/15/2044 (i) | 4 | 4 | ||||||
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (i) | 54 | 29 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 549 | |||||||
|
| |||||||
Asset-Backed Securities — 0.3% |
| |||||||
United States — 0.3% |
| |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust | ||||||||
Series 2003-HE6, Class M2, 2.57%, 11/25/2033 ‡ (i) | 39 | 39 | ||||||
Series 2004-HE3, Class M2, 1.77%, 6/25/2034 ‡ (i) | 55 | 56 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
Series 2004-HE5, Class M2, 1.97%, 7/25/2034 ‡ (i) | 11 | 11 | ||||||
Series 2003-2, Class M1, 1.89%, 3/25/2043 ‡ (i) | 29 | 29 | ||||||
Countrywide Asset-Backed Certificates Series 2004-2, Class M1, 0.84%, 5/25/2034 ‡ (i) | 14 | 14 | ||||||
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 0.92%, 3/25/2034 ‡ (i) | 37 | 36 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-5, Class M3, 1.82%, 7/25/2034 ‡ (i) | 46 | 46 | ||||||
Long Beach Mortgage Loan Trust Series 2004-4, Class M1, 0.99%, 10/25/2034 ‡ (i) | 55 | 55 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust Series 2003-NC10, Class M1, 1.11%, 10/25/2033 ‡ (i) | 28 | 28 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
United States — continued |
| |||||||
Structured Asset Investment Loan Trust Series 2003-BC11, Class M1, 1.07%, 10/25/2033 ‡ (i) | 8 | 8 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series 2006-BC6, Class A4, 0.26%, 1/25/2037 (i) | 41 | 41 | ||||||
Series 2007-WF2, Class A1, 1.09%, 8/25/2037 ‡ (i) | 25 | 25 | ||||||
|
| |||||||
Total Asset-Backed Securities | 388 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 0.2% |
| |||||||
United States — 0.2% |
| |||||||
American Home Mortgage Investment Trust Series 2005-1, Class 6A, 2.18%, 6/25/2045 (i) | 16 | 17 | ||||||
Banc of America Funding Trust Series 2006-A, Class 1A1, 2.71%, 2/20/2036 (i) | 13 | 13 | ||||||
Banc of America Mortgage Trust Series 2005-A, Class 2A2, 2.58%, 2/25/2035 (i) | 14 | 15 | ||||||
Bear Stearns ALT-A Trust Series 2005-4, Class 23A2, 2.62%, 5/25/2035 (i) | 25 | 26 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3, Class 2A1, 0.84%, 10/25/2047 (i) | — | (a) | — | (a) | ||||
GSR Mortgage Loan Trust Series 2005-AR3, Class 1A1, 0.53%, 5/25/2035 (i) | 45 | 44 | ||||||
Impac CMB Trust Series 2004-7, Class 1A2, 1.01%, 11/25/2034 (i) | 52 | 53 | ||||||
JPMorgan Mortgage Trust Series 2005-A3, Class 4A1, 2.84%, 6/25/2035 (i) | 4 | 4 | ||||||
Lehman Mortgage Trust Series 2005-3, Class 2A3, 5.50%, 1/25/2036 | 6 | 6 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2007-1, Class 4A3, 2.49%, 1/25/2037 (i) | 9 | 9 | ||||||
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 2.60%, 7/25/2034 (i) | 13 | 13 | ||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates Series 2005-5, Class 1APT, 0.65%, 12/25/2035 (i) | 33 | 33 | ||||||
Residential Asset Securitization Trust Series 2004-A6, Class A1, 5.00%, 8/25/2019 | 1 | 1 | ||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 1.67%, 10/25/2037 (i) | — | (a) | — | (a) |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2005-AR3, Class A1, 2.72%, 3/25/2035 (i) | 10 | 10 | ||||||
Series 2005-AR5, Class A6, 2.74%, 5/25/2035 (i) | 16 | 17 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 261 | |||||||
|
| |||||||
Supranational — 0.1% |
| |||||||
European Investment Bank 0.50%, 6/21/2023 | AUD | 30 | 23 | |||||
Inter-American Development Bank | ||||||||
0.50%, 5/23/2023 | CAD | 63 | 51 | |||||
4.40%, 1/26/2026 | CAD | 16 | 14 | |||||
|
| |||||||
Total Supranational | 88 | |||||||
|
| |||||||
Short-Term Investments — 19.0% |
| |||||||
Foreign Government Treasury Bills — 7.5% |
| |||||||
Canadian Treasury Bills | ||||||||
0.18%, 2/3/2022 (j) | CAD | 4,258 | 3,431 | |||||
0.16%, 3/3/2022 (j) | CAD | 3,361 | 2,708 | |||||
0.18%, 3/3/2022 (j) | CAD | 480 | 387 | |||||
0.19%, 3/31/2022(j) | CAD | 4,049 | 3,261 | |||||
|
| |||||||
Total Foreign Government Treasury Bills | 9,787 | |||||||
|
| |||||||
SHARES (000) | ||||||||
Investment Companies — 6.8% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, | 8,775 | 8,779 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 4.7% |
| |||||||
JPMorgan Securities Lending Money | 4,499 | 4,499 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (f) (k) | 1,592 | 1,592 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned |
| 6,091 | ||||||
|
| |||||||
Total Short-Term Investments | 24,657 | |||||||
|
| |||||||
Total Long Positions | 135,478 | |||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — (0.9)% |
| |||||||
Common Stocks — (0.9)% |
| |||||||
United States — (0.9)% | ||||||||
Becton Dickinson and Co. | — | (a) | (27 | ) | ||||
Clorox Co. (The) | — | (a) | (55 | ) | ||||
Cloudera, Inc. * | (10 | ) | (157 | ) | ||||
Entergy Corp. | — | (a) | (39 | ) | ||||
Kellogg Co. | (1 | ) | (34 | ) | ||||
Kimberly-Clark Corp. | — | (a) | (57 | ) | ||||
Las Vegas Sands Corp. * | — | (a) | (21 | ) | ||||
Magellan Health, Inc. * | (2 | ) | (146 | ) | ||||
Navistar International Corp. * | (3 | ) | (127 | ) | ||||
Nuance Communications, Inc. * | (3 | ) | (149 | ) | ||||
Pinnacle West Capital Corp. | — | (a) | (24 | ) | ||||
Proofpoint, Inc. * | (1 | ) | (93 | ) | ||||
Sirius XM Holdings, Inc. | (24 | ) | (157 | ) | ||||
Sykes Enterprises, Inc. * | — | (a) | (6 | ) | ||||
Wynn Resorts Ltd. * | — | (a) | (21 | ) | ||||
|
| |||||||
Total Common Stocks | (1,113 | ) | ||||||
|
| |||||||
Total Short Positions | (1,113 | ) | ||||||
|
| |||||||
Total Investments — 103.5% | 134,365 | |||||||
Liabilities in Excess of | (4,550 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 129,815 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
Summary of Investments by Industry, June 30, 2021
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
LONG PORTFOLIO COMPOSITION BY INDUSTRY | PERCENT OF TOTAL INVESTMENTS | |||
Fixed Income | 12.2 | % | ||
Foreign Government Treasury Bills | 7.2 | |||
Foreign Government Securities | 5.5 | |||
U.S. Equity | 5.3 | |||
International Equity | 4.7 | |||
Exchange-Traded Fund | 4.4 | |||
Banks | 3.9 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Software | 2.3 | |||
Interactive Media & Services | 2.0 | |||
Pharmaceuticals | 1.9 | |||
Insurance | 1.8 | |||
IT Services | 1.8 | |||
Capital Markets | 1.5 | |||
Technology Hardware, Storage & Peripherals | 1.5 | |||
Internet & Direct Marketing Retail | 1.5 | |||
Machinery | 1.4 | |||
Beverages | 1.4 | |||
U.S. Treasury Notes | 1.3 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
Biotechnology | 1.1 | |||
Oil, Gas & Consumable Fuels | 1.1 | |||
Automobiles | 1.1 | |||
Specialty Retail | 1.0 | |||
Health Care Providers & Services | 1.0 | |||
Electric Utilities | 1.0 | |||
Others (each less than 1.0%) | 16.9 | |||
Short-Term Investments | 11.0 |
SHORT PORTFOLIO COMPOSITION BY INDUSTRY | PERCENT OF TOTAL INVESTMENTS | |||
Software | 35.8 | % | ||
Media | 14.1 | |||
Health Care Providers & Services | 13.1 | |||
Machinery | 11.5 | |||
Household Products | 10.1 | |||
Electric Utilities | 5.6 | |||
Hotels, Restaurants & Leisure | 3.8 | |||
Food Products | 3.0 | |||
Health Care Equipment & Supplies | 2.5 | |||
Others (each less than 1.0%) | 0.5 |
Abbreviations | ||
ABS | Asset-Backed Securities | |
ADR | American Depositary Receipt | |
APAC | Asia Pacific | |
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest | |
DKK | Danish Krone | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
FHLMC | Federal Home Loan Mortgage Corp. | |
GBP | British Pound | |
GNMA | Government National Mortgage Association | |
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. | |
JPY | Japanese Yen | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company | |
REIT | Real Estate Investment Trust | |
SCA | Limited partnership with share capital | |
SEK | Swedish Krona | |
SGPS | Holding company | |
(a) | Amount rounds to less than one thousand. | |
(b) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $5,955. | |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(d) | Amount rounds to less than 0.1% of net assets. | |
(e) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is $3,520 and $790 respectively. | |
(f) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(g) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(h) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2021. | |
(j) | The rate shown is the effective yield as of June 30, 2021. | |
(k) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as the respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Australia 10 Year Bond | 19 | 09/2021 | AUD | 2,012 | — | (a) | ||||||||||||||
Canada 10 Year Bond | 16 | 09/2021 | CAD | 1,878 | 22 | |||||||||||||||
EURO STOXX 50 Index | 68 | 09/2021 | EUR | 3,274 | (39 | ) | ||||||||||||||
Euro-Bund | 25 | 09/2021 | EUR | 5,115 | 30 | |||||||||||||||
Foreign Exchange AUD/USD | 20 | 09/2021 | USD | 1,500 | (49 | ) | ||||||||||||||
Foreign Exchange CAD/USD | 38 | 09/2021 | USD | 3,065 | (80 | ) | ||||||||||||||
Foreign Exchange EUR/USD | 83 | 09/2021 | USD | 12,321 | (341 | ) | ||||||||||||||
Foreign Exchange GBP/USD | 26 | 09/2021 | USD | 2,248 | (56 | ) | ||||||||||||||
Foreign Exchange JPY/USD | 61 | 09/2021 | USD | 6,868 | (103 | ) | ||||||||||||||
Japan 10 Year Bond Mini | 3 | 09/2021 | JPY | 410 | — | (a) | ||||||||||||||
Long Gilt | 9 | 09/2021 | GBP | 1,595 | 14 | |||||||||||||||
S&P 500 E-Mini Index | 13 | 09/2021 | USD | 2,787 | 37 | |||||||||||||||
S&P/TSX 60 Index | 5 | 09/2021 | CAD | 970 | 1 | |||||||||||||||
SPI 200 Index | 2 | 09/2021 | AUD | 271 | (2 | ) | ||||||||||||||
TOPIX Index | 7 | 09/2021 | JPY | 1,224 | (9 | ) | ||||||||||||||
U.S. Treasury 10 Year Note | 9 | 09/2021 | USD | 1,192 | 2 | |||||||||||||||
U.S. Treasury Long Bond | 59 | 09/2021 | USD | 9,469 | 104 | |||||||||||||||
3 Month Euro Euribor | 1 | 12/2023 | EUR | 297 | — | (a) | ||||||||||||||
|
| |||||||||||||||||||
(469 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro-Bobl | (1 | ) | 09/2021 | EUR | (159 | ) | — | (a) | ||||||||||||
Euro-Schatz | (3 | ) | 09/2021 | EUR | (399 | ) | — | (a) | ||||||||||||
MSCI EAFE E-Mini Index | (27 | ) | 09/2021 | USD | (3,111 | ) | 74 | |||||||||||||
MSCI Emerging Markets E-Mini Index | (56 | ) | 09/2021 | USD | (3,823 | ) | 6 | |||||||||||||
U.S. Treasury 2 Year Note | (1 | ) | 09/2021 | USD | (220 | ) | — | (a) | ||||||||||||
U.S. Treasury 5 Year Note | (2 | ) | 09/2021 | USD | (247 | ) | — | (a) | ||||||||||||
U.S. Treasury 10 Year Ultra Note | (1 | ) | 09/2021 | USD | (147 | ) | (2 | ) | ||||||||||||
|
| |||||||||||||||||||
78 | ||||||||||||||||||||
|
| |||||||||||||||||||
(391 | ) | |||||||||||||||||||
|
|
Abbreviations | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EAFE | Europe, Australasia and Far East | |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen |
MSCI | Morgan Stanley Capital International | |
SPI | Australian Securities Exchange | |
TOPIX | Tokyo Stock Price Index | |
TSX | Toronto Stock Exchange | |
USD | United States Dollar |
(a) Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of June 30, 2021 (amounts in thousands): | ||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||||
USD | 163 | AUD | 211 | BNP Paribas | 7/6/2021 | 5 | ||||||||||||||||
USD | 15 | AUD | 20 | Royal Bank of Canada | 7/6/2021 | 1 | ||||||||||||||||
USD | 15 | CAD | 18 | Merrill Lynch International | 7/6/2021 | — | (a) | |||||||||||||||
USD | 358 | CAD | 434 | State Street Corp. | 7/6/2021 | 8 | ||||||||||||||||
USD | 55 | DKK | 338 | State Street Corp. | 7/6/2021 | 2 | ||||||||||||||||
USD | 224 | EUR | 184 | Barclays Bank plc | 7/6/2021 | 5 | ||||||||||||||||
USD | 15 | EUR | 12 | BNP Paribas | 7/6/2021 | — | (a) | |||||||||||||||
USD | 4,015 | EUR | 3,295 | Citibank, NA | 7/6/2021 | 108 | ||||||||||||||||
USD | 249 | EUR | 205 | Standard Chartered Bank | 7/6/2021 | 6 | ||||||||||||||||
USD | 35 | EUR | 30 | State Street Corp. | 7/6/2021 | — | (a) | |||||||||||||||
USD | 21 | EUR | 17 | TD Bank Financial Group | 7/6/2021 | 1 | ||||||||||||||||
USD | 928 | GBP | 654 | Barclays Bank plc | 7/6/2021 | 23 | ||||||||||||||||
USD | 99 | GBP | 70 | Royal Bank of Canada | 7/6/2021 | 2 | ||||||||||||||||
USD | 17 | JPY | 1,894 | Barclays Bank plc | 7/6/2021 | — | (a) | |||||||||||||||
USD | 2,220 | JPY | 243,833 | BNP Paribas | 7/6/2021 | 25 | ||||||||||||||||
USD | 214 | JPY | 23,471 | Merrill Lynch International | 7/6/2021 | 3 | ||||||||||||||||
USD | 48 | JPY | 5,298 | Standard Chartered Bank | 7/6/2021 | 1 | ||||||||||||||||
USD | 41 | SEK | 344 | BNP Paribas | 7/6/2021 | 1 | ||||||||||||||||
USD | 395 | CAD | 479 | Royal Bank of Canada | 7/19/2021 | 8 | ||||||||||||||||
USD | 173 | AUD | 231 | BNP Paribas | 8/4/2021 | — | (a) | |||||||||||||||
USD | 323 | CAD | 400 | Barclays Bank plc | 8/4/2021 | — | (a) | |||||||||||||||
USD | 54 | DKK | 338 | BNP Paribas | 8/4/2021 | — | (a) | |||||||||||||||
USD | 4,402 | EUR | 3,699 | Goldman Sachs International | 8/4/2021 | 13 | ||||||||||||||||
USD | 928 | GBP | 669 | State Street Corp. | 8/4/2021 | 2 | ||||||||||||||||
USD | 2,452 | JPY | 270,954 | Merrill Lynch International | 8/4/2021 | 12 | ||||||||||||||||
USD | 40 | SEK | 344 | Barclays Bank plc | 8/4/2021 | — | (a) | |||||||||||||||
|
| |||||||||||||||||||||
Total unrealized appreciation | 226 | |||||||||||||||||||||
|
| |||||||||||||||||||||
AUD | 231 | USD | 173 | BNP Paribas | 7/6/2021 | — | (a) | |||||||||||||||
CAD | 52 | USD | 42 | Merrill Lynch International | 7/6/2021 | — | (a) | |||||||||||||||
DKK | 338 | USD | 54 | BNP Paribas | 7/6/2021 | — | (a) | |||||||||||||||
EUR | 3,699 | USD | 4,400 | Goldman Sachs International | 7/6/2021 | (13 | ) | |||||||||||||||
EUR | 11 | USD | 13 | HSBC Bank, NA | 7/6/2021 | — | (a) | |||||||||||||||
EUR | 33 | USD | 40 | Royal Bank of Canada | 7/6/2021 | (1 | ) | |||||||||||||||
GBP | 39 | USD | 54 | HSBC Bank, NA | 7/6/2021 | — | (a) | |||||||||||||||
GBP | 16 | USD | 23 | Merrill Lynch International | 7/6/2021 | (1 | ) | |||||||||||||||
GBP | 669 | USD | 928 | State Street Corp. | 7/6/2021 | (2 | ) | |||||||||||||||
JPY | 3,542 | USD | 32 | HSBC Bank, NA | 7/6/2021 | — | (a) | |||||||||||||||
JPY | 270,954 | USD | 2,451 | Merrill Lynch International | 7/6/2021 | (12 | ) | |||||||||||||||
SEK | 344 | USD | 40 | Barclays Bank plc | 7/6/2021 | — | (a) | |||||||||||||||
CAD | 213 | USD | 174 | Royal Bank of Canada | 7/19/2021 | (2 | ) | |||||||||||||||
USD | 9,407 | CAD | 11,821 | Merrill Lynch International | 7/19/2021 | (129 | ) | |||||||||||||||
EUR | 13 | USD | 16 | BNP Paribas | 8/4/2021 | — | (a) | |||||||||||||||
EUR | 15 | USD | 18 | TD Bank Financial Group | 8/4/2021 | — | (a) | |||||||||||||||
|
| |||||||||||||||||||||
Total unrealized depreciation | (160 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation | 66 | |||||||||||||||||||||
|
|
Abbreviations | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
DKK | Danish Krone | |
EUR | Euro |
GBP | British Pound | |
JPY | Japanese Yen | |
SEK | Swedish Krona | |
USD | United States Dollar |
(a) Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 90,481 | ||
Investments in affiliates, at value | 38,906 | |||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | 6,091 | |||
Cash | 85 | |||
Foreign currency, at value | 43 | |||
Deposits at broker for futures contracts | 121 | |||
Deposits at broker for securities sold short | 790 | |||
Receivables: | ||||
Investment securities sold | 421 | |||
Portfolio shares sold | 1 | |||
Interest from non-affiliates | 41 | |||
Dividends from non-affiliates | 53 | |||
Dividends from affiliates | 29 | |||
Tax reclaims | 61 | |||
Securities lending income (See Note 2.C.) | 2 | |||
Variation margin on futures contracts | 625 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 226 | |||
|
| |||
Total Assets | 137,976 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Securities sold short, at value | 1,113 | |||
Dividend expense to non-affiliates on securities sold short | — | (a) | ||
Investment securities purchased | 587 | |||
Interest expense to non-affiliates on securities sold short | 1 | |||
Collateral received on securities loaned (See Note 2.C.) | 6,091 | |||
Portfolio shares redeemed | 12 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 160 | |||
Accrued liabilities: | ||||
Investment advisory fees | 46 | |||
Distribution fees | 14 | |||
Custodian and accounting fees | 55 | |||
Trustees’ and Chief Compliance Officer’s fees | 1 | |||
Other | 81 | |||
|
| |||
Total Liabilities | 8,161 | |||
|
| |||
Net Assets | $ | 129,815 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 102,977 | ||
Total distributable earnings (loss) | 26,838 | |||
|
| |||
Total Net Assets | $ | 129,815 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 59,372 | ||
Class 2 | 70,443 | |||
|
| |||
Total | $ | 129,815 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 2,969 | |||
Class 2 | 3,533 | |||
Net Asset Value (a): | ||||
Class 1 — Offering and redemption price per share | $ | 20.00 | ||
Class 2 — Offering and redemption price per share | 19.94 | |||
Cost of investments in non-affiliates | $ | 70,250 | ||
Cost of investments in affiliates | 34,481 | |||
Cost of foreign currency | 43 | |||
Investment securities on loan, at value (See Note 2.C.) | 5,955 | |||
Cost of investment of cash collateral (See Note 2.C.) | 6,091 | |||
Proceeds from securities sold short | 1,098 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (Unaudited)
(Amounts in thousands)
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 138 | ||
Dividend income from non-affiliates | 704 | |||
Dividend income from affiliates | 445 | |||
Income from securities lending (net) (See Note 2.C.) | 6 | |||
Foreign taxes withheld (net) | (50 | ) | ||
|
| |||
Total investment income | 1,243 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 340 | |||
Administration fees | 46 | |||
Distribution fees: | ||||
Class 2 | 83 | |||
Custodian and accounting fees | 98 | |||
Interest expense to affiliates | — | (a) | ||
Professional fees | 50 | |||
Trustees’ and Chief Compliance Officer’s fees | 13 | |||
Printing and mailing costs | 15 | |||
Transfer agency fees (See Note 2.I.) | — | (a) | ||
Dividend expense to non-affiliates on securities sold short | 12 | |||
Interest expense to non-affiliates on securities sold short | 4 | |||
Other | 7 | |||
|
| |||
Total expenses | 668 | |||
|
| |||
Less fees waived | (166 | ) | ||
Less expense reimbursements | — | (a) | ||
|
| |||
Net expenses | 502 | |||
|
| |||
Net investment income (loss) | 741 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: |
| |||
Investments in non-affiliates | 2,854 | |||
Investments in affiliates | 2,402 | |||
Options purchased | 115 | |||
Futures contracts | 74 | |||
Securities sold short | (105 | ) | ||
Foreign currency transactions | 50 | |||
Forward foreign currency exchange contracts | (157 | ) | ||
|
| |||
Net realized gain (loss) | 5,233 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: |
| |||
Investments in non-affiliates | 3,050 | |||
Investments in affiliates | (1,152 | ) | ||
Options purchased | 76 | |||
Futures contracts | (845 | ) | ||
Securities sold short | 7 | |||
Foreign currency translations | 11 | |||
Forward foreign currency exchange contracts | 294 | |||
|
| |||
Change in net unrealized appreciation/depreciation | 1,441 | |||
|
| |||
Net realized/unrealized gains (losses) | 6,674 | |||
|
| |||
Change in net assets resulting from operations | $ | 7,415 | ||
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Global Allocation Portfolio | ||||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 741 | $ | 1,334 | ||||
Net realized gain (loss) | 5,233 | 3,773 | ||||||
Distributions of capital gains received from investment company affiliates | — | 10 | ||||||
Change in net unrealized appreciation/depreciation | 1,441 | 11,420 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 7,415 | 16,537 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class 1 | (2,940 | ) | (1,226 | ) | ||||
Class 2 | (3,333 | ) | (1,437 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (6,273 | ) | (2,663 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | 8,603 | 7,095 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 9,745 | 20,969 | ||||||
Beginning of period | 120,070 | 99,101 | ||||||
|
|
|
| |||||
End of period | $ | 129,815 | $ | 120,070 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 2,102 | $ | 8,707 | ||||
Distributions reinvested | 2,940 | 1,226 | ||||||
Cost of shares redeemed | (1,785 | ) | (2,183 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | 3,257 | 7,750 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | 6,982 | 8,940 | ||||||
Distributions reinvested | 3,333 | 1,437 | ||||||
Cost of shares redeemed | (4,969 | ) | (11,032 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | 5,346 | (655 | ) | |||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 8,603 | $ | 7,095 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: |
| |||||||
Class 1 |
| |||||||
Issued | 104 | 512 | ||||||
Reinvested | 147 | 78 | ||||||
Redeemed | (88 | ) | (125 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 163 | 465 | ||||||
|
|
|
| |||||
Class 2 |
| |||||||
Issued | 344 | 536 | ||||||
Reinvested | 168 | 91 | ||||||
Redeemed | (247 | ) | (646 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 265 | (19 | ) | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
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JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 25 |
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)(c) | Net realized | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Global Allocation Portfolio |
| |||||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | $ | 19.81 | $ | 0.14 | $ | 1.10 | $ | 1.24 | $ | (0.21 | ) | $ | (0.84 | ) | $ | (1.05 | ) | |||||||||||
Year Ended December 31, 2020 | 17.65 | 0.25 | 2.40 | 2.65 | (0.33 | ) | (0.16 | ) | (0.49 | ) | ||||||||||||||||||
Year Ended December 31, 2019 | 15.47 | 0.33 | 2.24 | 2.57 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Year Ended December 31, 2018 | 16.57 | 0.29 | (1.29 | ) | (1.00 | ) | — | (0.10 | ) | (0.10 | ) | |||||||||||||||||
Year Ended December 31, 2017 | 14.89 | 0.29 | 2.25 | 2.54 | (0.20 | ) | (0.66 | ) | (0.86 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 14.46 | 0.35 | 0.54 | 0.89 | (0.46 | ) | — | (l) | (0.46 | ) | ||||||||||||||||||
Class 2 |
| |||||||||||||||||||||||||||
Six Months Ended June 30, 2021 (Unaudited) | 19.73 | 0.11 | 1.11 | 1.22 | (0.17 | ) | (0.84 | ) | (1.01 | ) | ||||||||||||||||||
Year Ended December 31, 2020 | 17.58 | 0.21 | 2.39 | 2.60 | (0.29 | ) | (0.16 | ) | (0.45 | ) | ||||||||||||||||||
Year Ended December 31, 2019 | 15.41 | 0.29 | 2.23 | 2.52 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended December 31, 2018 | 16.55 | 0.25 | (1.29 | ) | (1.04 | ) | — | (0.10 | ) | (0.10 | ) | |||||||||||||||||
Year Ended December 31, 2017 | 14.87 | 0.26 | 2.24 | 2.50 | (0.16 | ) | (0.66 | ) | (0.82 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 14.45 | 0.30 | 0.54 | 0.84 | (0.42 | ) | — | (l) | (0.42 | ) |
(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) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | 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. |
(f) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(g) | Does not include expenses of Underlying Funds. |
(h) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(i) | The Portfolio presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. |
(j) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class 1 are 0.65% and 0.92% for the six months ended June 30, 2021, 0.68% and 0.97% for the year ended December 31, 2020, 0.77% and 1.03% for the year ended December 31, 2019, 0.77% and 1.10% for the year ended December 31, 2018 and 0.76% and 1.11% for the year ended December 31, 2017; for Class 2 are 0.90% and 1.17% for the six months ended June 30, 2021, 0.93% and 1.24% for the year ended December 31, 2020, 1.02% and 1.28% for the year ended December 31, 2019, 1.02% and 1.34% for the year ended December 31, 2018 and 1.01% and 1.32% for the year ended December 31, 2017, respectively. |
(k) | Interest expense on securities sold short is 0.01%. |
(l) | Amount rounds to less than $0.005. |
(m) | Dividend expense on securities sold short is less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (d)(e)(f) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (g)(h) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (g) | Portfolio turnover rate (excluding securities sold short) (d)(i) | Portfolio turnover rate (including securities sold short) (d)(i) | |||||||||||||||||||||||
$ | 20.00 | 6.27 | % | $ | 59,372 | 0.68 | %(j)(k) | 1.34 | % | 0.95 | %(j) | 55 | % | 59 | % | |||||||||||||||
19.81 | 15.69 | 55,575 | 0.69 | (j) | 1.45 | 0.98 | (j) | 113 | 123 | |||||||||||||||||||||
17.65 | 16.87 | 41,311 | 0.79 | (j) | 1.99 | 1.05 | (j) | 98 | 116 | |||||||||||||||||||||
15.47 | (6.06 | ) | 30,366 | 0.81 | (j) | 1.79 | 1.14 | (j) | 110 | 141 | ||||||||||||||||||||
16.57 | 17.11 | 14,308 | 0.79 | (j) | 1.76 | 1.14 | (j) | 80 | 92 | |||||||||||||||||||||
14.89 | 6.13 | 4,664 | 0.77 | (m) | 2.34 | 1.20 | (m) | 60 | 61 | |||||||||||||||||||||
19.94 | 6.18 | 70,443 | 0.93 | (j)(k) | 1.08 | 1.20 | (j) | 55 | 59 | |||||||||||||||||||||
19.73 | 15.40 | 64,495 | 0.94 | (j) | 1.21 | 1.25 | (j) | 113 | 123 | |||||||||||||||||||||
17.58 | 16.58 | 57,790 | 1.04 | (j) | 1.73 | 1.30 | (j) | 98 | 116 | |||||||||||||||||||||
15.41 | (6.31 | ) | 48,829 | 1.06 | (j) | 1.52 | 1.38 | (j) | 110 | 141 | ||||||||||||||||||||
16.55 | 16.85 | 48,470 | 1.04 | (j) | 1.59 | 1.35 | (j) | 80 | 92 | |||||||||||||||||||||
14.87 | 5.84 | 49,869 | 1.02 | (m) | 2.04 | 1.45 | (m) | 60 | 61 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
AS OF JUNE 30, 2021 (Unaudited)
(Dollar values in thousands)
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 | Diversification Classification | |||
JPMorgan Insurance Trust 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 (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 are valued by applying international fair value factors provided by approved Pricing Services. 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.
28 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
Investments in open-end investment companies, excluding exchange-traded funds (“ETFs”) (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts 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.
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 | $ | — | $ | 41 | $ | 347 | $ | 388 | ||||||||
Collateralized Mortgage Obligations | — | 261 | — | 261 | ||||||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||
United States | — | 432 | 117 | 549 | ||||||||||||
Common Stocks |
| |||||||||||||||
Australia | 3 | 998 | — | 1,001 | ||||||||||||
Austria | — | 117 | — | 117 | ||||||||||||
Belgium | — | 246 | — | 246 | ||||||||||||
Canada | 597 | — | — | 597 | ||||||||||||
China | 699 | 682 | — | 1,381 | ||||||||||||
Denmark | — | 1,340 | — | 1,340 | ||||||||||||
Finland | — | 454 | — | 454 | ||||||||||||
France | — | 3,253 | — | 3,253 | ||||||||||||
Germany | — | 2,628 | — | 2,628 | ||||||||||||
Hong Kong | — | 744 | — | 744 | ||||||||||||
India | 417 | — | — | 417 | ||||||||||||
Indonesia | — | 142 | — | 142 | ||||||||||||
Ireland | 371 | 88 | — | 459 | ||||||||||||
Italy | 61 | 348 | — | 409 | ||||||||||||
Japan | 2 | 3,085 | — | 3,087 | ||||||||||||
Macau | — | 16 | — | 16 | ||||||||||||
Mexico | 162 | — | — | 162 | ||||||||||||
Netherlands | — | 1,506 | — | 1,506 | ||||||||||||
New Zealand | — | 11 | — | 11 | ||||||||||||
Norway | — | 11 | — | 11 | ||||||||||||
Peru | 55 | — | — | 55 | ||||||||||||
Portugal | — | 16 | — | 16 | ||||||||||||
Saudi Arabia | — | 167 | — | 167 | ||||||||||||
Singapore | 6 | 66 | — | 72 | ||||||||||||
South Africa | — | 219 | — | 219 | ||||||||||||
South Korea | — | 781 | — | 781 | ||||||||||||
Spain | — | 756 | — | 756 | ||||||||||||
Sweden | — | 870 | — | 870 | ||||||||||||
Switzerland | — | 2,095 | — | 2,095 |
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Taiwan | $ | 667 | $ | — | $ | — | $ | 667 | ||||||||
United Kingdom | 48 | 2,842 | — | 2,890 | ||||||||||||
United States | 35,910 | 813 | — | 36,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 38,998 | 24,294 | — | 63,292 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Bonds | — | 1,028 | — | 1,028 | ||||||||||||
Exchange-Traded Funds | 5,898 | — | — | 5,898 | ||||||||||||
Foreign Government Securities | — | 7,492 | — | 7,492 | ||||||||||||
Investment Companies | 30,127 | — | — | 30,127 | ||||||||||||
Supranational | — | 88 | — | 88 | ||||||||||||
U.S. Treasury Obligations | — | 1,698 | — | 1,698 | ||||||||||||
Short-Term Investments |
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Foreign Government Treasury Bills | — | 9,787 | — | 9,787 | ||||||||||||
Investment Companies | 8,779 | — | — | 8,779 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 6,091 | — | — | 6,091 | ||||||||||||
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Total Short-Term Investments | 14,870 | 9,787 | — | 24,657 | ||||||||||||
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Total Investments in Securities | $ | 89,893 | $ | 45,121 | $ | 464 | $ | 135,478 | ||||||||
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Liabilities |
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Common Stocks | $ | (1,113 | ) | $ | — | $ | — | $ | (1,113 | ) | ||||||
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Total Liabilities in Securities Sold Short | $ | (1,113 | ) | $ | — | $ | — | $ | (1,113 | ) | ||||||
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Appreciation in Other Financial Instruments |
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Forward Foreign Currency Exchange Contracts | $ | — | $ | 226 | $ | — | �� | $ | 226 | |||||||
Futures Contracts | 290 | — | — | 290 | ||||||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | — | (160 | ) | — | (160 | ) | ||||||||||
Futures Contracts | (681 | ) | — | — | (681 | ) | ||||||||||
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Total Net Appreciation/ Depreciation in Other Financial Instruments | $ | (391 | ) | $ | 66 | $ | — | $ | (325 | ) | ||||||
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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, 2020 | 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 June 30, 2021 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 458 | $ | 3 | $ | (5 | ) | $ | 1 | $ | — | $ | (110 | ) | $ | — | $ | — | $ | 347 | ||||||||||||||||
Collateralized Mortgage Obligations | 873 | 4 | (9 | ) | — | (a) | — | (868 | ) | — | — | — | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 782 | 11 | 6 | — | (a) | — | (682 | ) | — | — | 117 | |||||||||||||||||||||||||
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Total | $ | 2,113 | $ | 18 | $ | (8 | ) | $ | 1 | $ | — | $ | (1,660 | ) | $ | — | $ | — | $ | 464 | ||||||||||||||||
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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) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2021, which were valued using significant unobservable inputs (level 3) amounted to $(3). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statement of Operations.
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, as amended (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 NAVs of the Portfolio.
30 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
As of June 30, 2021, the Portfolio had no investments in restricted securities other than securities sold to the Portfolio under Rule 144A and/or Regulation S under the Securities Act.
C. Securities Lending — The Portfolio is authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Portfolio retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Portfolio as of June 30, 2021.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
$ | 5,955 | $ | (5,955 | ) | $ | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the six months ended June 30, 2021, JPMIM waived fees associated with the Portfolio’s investment in the JPMorgan U.S. Government Money Market Fund as follows:
$—(a) |
(a) | Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
D. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds, which are advised by the Adviser. 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
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the six months ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | $ | 12,847 | $ | 260 | $ | 6,902 | $ | 1,582 | $ | (1,377 | ) | $ | 6,410 | 141 | $ | — | $ | — | ||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 19,120 | 375 | 13,454 | 854 | (439 | ) | 6,456 | 881 | 375 | — | ||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | — | 8,914 | — | — | — | (b) | 8,914 | 932 | 36 | — | ||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | — | 7,852 | 1,331 | (34 | ) | 670 | 7,157 | 355 | 21 | — | ||||||||||||||||||||||||||
JPMorgan Mortgage-Backed Securities Fund Class R6 Shares (a) | 1,187 | 10 | — | — | (7 | ) | 1,190 | 104 | 10 | — | ||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (c) | 6,489 | 36,220 | 33,931 | — | (b) | 1 | 8,779 | 8,775 | 2 | — | ||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (c) | 600 | 23,000 | 19,101 | — | *(b) | — | (b) | 4,499 | 4,499 | 1 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (c) | 133 | 22,492 | 21,033 | — | — | 1,592 | 1,592 | — | *(b) | — | ||||||||||||||||||||||||||
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Total | $ | 40,376 | $ | 99,123 | $ | 95,752 | $ | 2,402 | $ | (1,152 | ) | $ | 44,997 | $ | 445 | $ | — | |||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | Amount rounds to less than one thousand. |
(c) | The rate shown is the current yield as of June 30, 2021. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
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 in non-affiliates 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. Derivatives — The Portfolio used derivative instruments including options, futures contracts and forward foreign currency exchange contracts 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 to manage duration, sector and yield curve exposures and credit and spread volatility.
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 potential 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 its value, as recorded on the Statement of Assets and Liabilities.
32 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
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 (e.g., 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 against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Portfolio.
Notes F(1) — F(3) below describe the various derivatives used by the Portfolio.
(1). Options — The Portfolio purchased and/or sold (“wrote”) put and call options on various instruments including securities and options on indices to manage and hedge interest rate risks within its 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.
Options Purchased — Premiums paid by the Portfolio for options purchased are included on 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 net 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 offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
(2). Futures Contracts — The Portfolio used currency, index, interest rate and treasury 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 futures contracts 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, while cash deposited, which is considered restricted, 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, foreign exchange and interest rate risks. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3). Forward Foreign Currency Exchange Contracts — The Portfolio is 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 the 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 the 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
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
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, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
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 June 30, 2021 by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities:
Equity Risk Exposure: | ||||
Unrealized Appreciation on Futures Contracts* | $ | 118 | ||
Unrealized Depreciation on Futures Contracts* | (50 | ) | ||
Foreign Exchange Rate Risk Exposure: | ||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | 226 | |||
Unrealized Depreciation on Futures Contracts* | (629 | ) | ||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (160 | ) | ||
Interest Rate Risk Exposure: | ||||
Unrealized Appreciation on Futures Contracts* | 172 | |||
Unrealized Depreciation on Futures Contracts* | (2 | ) | ||
Net Fair Value of Derivative Contracts: | ||||
Unrealized Appreciation (Depreciation) on Futures Contracts* | (391 | ) | ||
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | 66 |
* | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOI. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table presents the effect of derivatives on the Statement of Operations for the six months ended June 30, 2021, by primary underlying risk exposure:
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
| |||
Equity Risk Exposure: | ||||
Futures Contracts | $ | 546 | ||
Purchased Options | 115 | |||
Foreign Exchange Rate Risk Exposure: | ||||
Futures Contracts | 87 | |||
Forward Foreign Currency Exchange Contracts | (157 | ) | ||
Interest Rate Risk Exposure: | ||||
Futures Contracts | (559 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||
Equity Risk Exposure: | ||||
Futures Contracts | (124 | ) | ||
Purchased Options | 76 | |||
Foreign Exchange Rate Risk Exposure: | ||||
Futures Contracts | (841 | ) | ||
Forward Foreign Currency Exchange Contracts | 294 | |||
Interest Rate Risk Exposure: | ||||
Futures Contracts | 120 |
34 | JPMORGAN INSURANCE TRUST | JUNE 30, 2021 |
Table of Contents
Derivatives Volume
The table below discloses the volume of the Portfolio’s options, futures contracts and forward foreign currency exchange contracts activity during the six months ended June 30, 2021. Please refer to the table in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
Futures Contracts — Equity: | ||||
Average Notional Balance Long | $ | 7,251 | ||
Average Notional Balance Short | 4,704 | |||
Ending Notional Balance Long | 8,526 | |||
Ending Notional Balance Short | 6,934 | |||
Futures Contracts — Foreign Exchange: | ||||
Average Notional Balance Long | 20,337 | |||
Ending Notional Balance Long | 26,002 | |||
Futures Contracts — Interest Rate: | ||||
Average Notional Balance Long | 17,884 | |||
Average Notional Balance Short | 3,217 | |||
Ending Notional Balance Long | 21,968 | |||
Ending Notional Balance Short | 1,172 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 2,135 | |||
Average Settlement Value Sold | 19,193 | |||
Ending Settlement Value Purchased | 8,458 | |||
Ending Settlement Value Sold | 26,906 | |||
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 83 |
The Portfolio’s derivatives contracts held at June 30, 2021 are not accounted for as hedging instruments under GAAP.
G. 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 Deposits at broker for securities sold short, while cash collateral deposited at the Portfolio’s custodian for the benefit of the broker is recorded as Restricted cash for securities sold short 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 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 June 30, 2021, the Portfolio had outstanding short sales as listed on the SOI.
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, dividend expense on securities sold short and distributions of net investment income and realized capital gains from the Underlying Funds and ETFs, if any, are recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
JUNE 30, 2021 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
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.
I. Allocation of Income and Expenses — Expenses directly attributable to the Portfolio are charged directly to the Portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the applicable portfolios. 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. Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Portfolio for the six months ended June 30, 2021 are as follows:
Class 1 | Class 2 | Total | ||||||||||
Transfer agency fees | $ | — | (a) | $ | — | (a) | $ | — | (a) |
(a) | Amount rounds to less than one thousand. |
The Portfolio invested in Underlying Funds and ETFs and, as a result, bears a portion of the expenses incurred by these Underlying Funds and ETFs. 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 and ETFs 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 (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 June 30, 2021, no liability for Federal 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.
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. When a capital gains tax is determined to apply, the Portfolio records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
L. Distributions to Shareholders — Distributions from net investment income, if any, 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.
M. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Portfolio’s financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Portfolio and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.55% of the Portfolio’s average daily net assets.
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 0.075% of the first $10 billion of the Portfolio’s average daily net assets, plus 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Portfolio’s average daily net assets in excess of $25 billion. For the six months ended June 30, 2021, the effective annualized rate was 0.075% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
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The Administrator waived administration fees as outlined in Note 3.E.
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 Portfolio’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 pursuant to Rule 12b-1 under the 1940 Act. Class 1 Shares of the Portfolio do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay, with respect to the applicable share classes, 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.
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, expenses related to trustee elections 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 six months ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least April 30, 2022.
The Underlying Funds may impose separate advisory fees. The Adviser has agreed to voluntarily waive the Portfolio’s investment advisory fees in the weighted average pro-rata amount of the advisory fees charged by the affiliated Underlying Funds. During the six months ended June 30, 2021, the Adviser waived $89. 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.
For the six months ended June 30, 2021, 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 and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
$ | 28 | $ | 46 | $ | 74 | $ | — | (a) |
(a) | Amount rounds to less than one thousand. |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral. None of these parties expect the Portfolio to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the six months ended June 30, 2021 was $3.
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 designated and appointed a Chief Compliance Officer to the Portfolio pursuant to Rule 38a-1 under the 1940 Act. The Portfolio, along with 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
During the six months ended June 30, 2021, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were 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 LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended June 30, 2021, 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 | |||||||||||||||||||
$ | 58,720 | $ | 63,793 | $ | 1,380 | $ | 1,025 | $ | 5,408 | $ | 5,128 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost* | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 109,724 | $ | 25,545 | $ | 1,229 | $ | 24,316 |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
At December 31, 2020, 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 Portfolio had no borrowings outstanding from another fund during the six months ended June 30, 2021.
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 1, 2021.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has 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%, which has increased to 1.25% pursuant to the amendment referenced below, 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 10, 2021, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.
The Portfolio did not utilize the Credit Facility during the six months ended June 30, 2021.
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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 brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2021, the Portfolio had three individual shareholder and/or non-affiliated omnibus accounts, which owned 80.2% 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 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. The Portfolio may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Portfolio’s yield (and total return) also may be low or the Portfolio may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Portfolio’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
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 June 30, 2021, a significant portion of the Portfolio’s investments consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Portfolio’s original investment. Many derivatives create leverage thereby causing the Portfolio to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Portfolio to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Portfolio to sell or otherwise close a derivatives position could expose the Portfolio to losses.
The Portfolio is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Portfolio.
Because of the Portfolio’s investments in the Underlying Funds and ETFs, the Portfolio indirectly pays a portion of the expenses incurred by the Underlying Funds and ETFs. 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’ and ETFs’ 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 and ETFs may use derivative instruments in connection with their individual investment strategies including futures contracts, 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 and ETFs are disclosed within their individual financial statements and registration statements, as appropriate.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of the Portfolio’s loans, notes, derivatives and other instruments or investments comprising some or all of the Portfolio’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
The Portfolio is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Portfolio’s investments, increase the Portfolio’s volatility, exacerbate other pre-existing political, social and economic risks to the Portfolio and negatively impact broad segments of businesses and populations. The Portfolio’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Portfolio invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Portfolio’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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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, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
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 titled “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 January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Global Allocation Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.70 | $ | 3.48 | 0.68 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.41 | 0.68 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,061.80 | 4.75 | 0.93 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.18 | 4.66 | 0.93 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 ( to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Portfolio has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Portfolio’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Portfolio. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Portfolio’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of the Portfolio into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether the Portfolio invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for the Portfolio (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the J.P. Morgan Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the Portfolio invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Portfolio liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of the Portfolio’s investments; and (2) perform additional stress testing. The Report noted that the Portfolio was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Portfolio’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Portfolio during the Program Reporting Period.
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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 as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Portfolio’s quarterly holdings can be found by visiting 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 prospectuses 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | SAN-JPMITGAP-621 |
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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.
Not applicable to a semi-annual 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.
(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)).
(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 to a semi-annual report.
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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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
Not applicable to a semi-annual report.
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 to a semi-annual report.
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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.
Not applicable.
(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).
(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. |
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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 | ||
August 20, 2021 |
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 | ||
August 20, 2021 | ||
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
August 20, 2021 |