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, 2022 through June 30, 2022
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.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) 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).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
JPMorgan Insurance Trust Core Bond Portfolio |
1 | |
2 | |
5 | |
34 | |
38 | |
40 | |
49 | |
50 |
“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher |
Head of Americas, Client
J.P. Morgan Asset Management
June 30, 2022 | JPMorgan Insurance Trust | 1 |
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares) * | (9.68)% |
Bloomberg U.S. Aggregate Index | (10.35)% |
Net Assets as of 6/30/2022 (In Thousands) | $462,028 |
Duration as of 6/30/2022 | 6.0 Years |
2 | JPMorgan Insurance Trust | June 30, 2022 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | |
Corporate Bonds | 26.2% | |
U.S. Treasury Obligations | 24.1 | |
Mortgage-Backed Securities | 19.2 | |
Asset-Backed Securities | 12.3 | |
Collateralized Mortgage Obligations | 6.3 | |
Commercial Mortgage-Backed Securities | 5.3 | |
Others (each less than 1.0%) | 0.8 | |
Short-Term Investments | 5.8 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
June 30, 2022 | JPMorgan Insurance Trust | 3 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | |||||
Class 1 SHARES | May 1, 1997 | (9.68)% | (9.84)% | 1.03% | 1.62% | ||||
Class 2 SHARES | August 16, 2006 | (9.80) | (10.13) | 0.76 | 1.37 |
* | Not annualized. |
4 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — 27.4% | ||
Aerospace & Defense — 0.8% | ||
Airbus SE (France) 3.15%, 4/10/2027 (a) | 164 | 158 |
BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (a) | 45 | 45 |
BAE Systems plc (United Kingdom) | ||
1.90%, 2/15/2031 (a) | 200 | 161 |
5.80%, 10/11/2041 (a) | 51 | 53 |
Boeing Co. (The) | ||
1.17%, 2/4/2023 | 160 | 158 |
1.95%, 2/1/2024 | 185 | 179 |
1.43%, 2/4/2024 | 325 | 310 |
4.88%, 5/1/2025 | 125 | 125 |
2.75%, 2/1/2026 | 180 | 167 |
2.20%, 2/4/2026 | 200 | 180 |
2.70%, 2/1/2027 | 640 | 570 |
3.25%, 3/1/2028 | 224 | 199 |
5.15%, 5/1/2030 | 190 | 182 |
5.71%, 5/1/2040 | 175 | 163 |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | 220 | 176 |
Leidos, Inc. 2.30%, 2/15/2031 | 120 | 96 |
Northrop Grumman Corp. | ||
3.25%, 1/15/2028 | 50 | 47 |
5.15%, 5/1/2040 | 140 | 142 |
Raytheon Technologies Corp. | ||
3.20%, 3/15/2024 | 28 | 28 |
4.50%, 6/1/2042 | 80 | 76 |
4.15%, 5/15/2045 | 138 | 123 |
3.75%, 11/1/2046 | 80 | 68 |
4.35%, 4/15/2047 | 90 | 83 |
3,489 | ||
Airlines — 0.0% ^ | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 14 | 14 |
Auto Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 110 | 86 |
Automobiles — 0.6% | ||
General Motors Co. 6.13%, 10/1/2025 | 130 | 134 |
Hyundai Capital America | ||
1.15%, 11/10/2022 (a) | 394 | 391 |
1.80%, 10/15/2025 (a) | 140 | 128 |
1.30%, 1/8/2026 (a) | 115 | 102 |
1.50%, 6/15/2026 (a) | 45 | 40 |
3.00%, 2/10/2027 (a) | 200 | 184 |
2.38%, 10/15/2027 (a) | 130 | 114 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Automobiles — continued | ||
1.80%, 1/10/2028 (a) | 215 | 182 |
Nissan Motor Co. Ltd. (Japan) | ||
3.52%, 9/17/2025 (a) | 481 | 455 |
4.35%, 9/17/2027 (a) | 673 | 618 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (a) | 200 | 158 |
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (a) | 200 | 171 |
2,677 | ||
Banks — 4.7% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (b) | 300 | 256 |
AIB Group plc (Ireland) (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (b) | 250 | 245 |
ANZ New Zealand Int'l Ltd. (New Zealand) | ||
3.45%, 1/21/2028 (a) | 200 | 191 |
2.55%, 2/13/2030 (a) | 200 | 174 |
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (a) | 300 | 235 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 200 | 189 |
1.85%, 3/25/2026 | 400 | 359 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | 200 | 174 |
2.75%, 12/3/2030 | 200 | 159 |
Bank of America Corp. | ||
Series L, 3.95%, 4/21/2025 | 92 | 91 |
(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (b) | 100 | 97 |
(SOFR + 1.33%), 3.38%, 4/2/2026 | 185 | 179 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b) | 100 | 90 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (b) | 235 | 209 |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (b) | 260 | 248 |
(SOFR + 1.58%), 4.38%, 4/27/2028 (b) | 360 | 354 |
(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (b) | 76 | 72 |
(SOFR + 1.06%), 2.09%, 6/14/2029 (b) | 204 | 175 |
(SOFR + 2.15%), 2.59%, 4/29/2031 (b) | 313 | 265 |
(SOFR + 1.53%), 1.90%, 7/23/2031 (b) | 150 | 120 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (b) | 330 | 272 |
(SOFR + 1.33%), 2.97%, 2/4/2033 (b) | 110 | 94 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (b) | 743 | 535 |
June 30, 2022 | JPMorgan Insurance Trust | 5 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | 206 | 179 |
Bank of Montreal (Canada) | ||
1.85%, 5/1/2025 | 200 | 189 |
(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (b) | 47 | 44 |
Banque Federative du Credit Mutuel SA (France) | ||
2.38%, 11/21/2024 (a) | 254 | 243 |
1.60%, 10/4/2026 (a) | 245 | 218 |
Barclays plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (b) | 369 | 350 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (b) | 200 | 161 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | 293 | 270 |
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (b) | 232 | 205 |
(SOFR + 1.22%), 2.16%, 9/15/2029 (a) (b) | 349 | 292 |
(SOFR + 1.51%), 3.05%, 1/13/2031 (a) (b) | 320 | 276 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (a) (b) | 320 | 252 |
Citigroup, Inc. | ||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (b) | 90 | 88 |
4.40%, 6/10/2025 | 78 | 78 |
4.45%, 9/29/2027 | 210 | 206 |
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (b) | 200 | 192 |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (b) | 605 | 571 |
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (b) | 75 | 70 |
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (b) | 74 | 70 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (b) | 625 | 515 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (b) | 110 | 89 |
(SOFR + 1.35%), 3.06%, 1/25/2033 (b) | 171 | 145 |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (b) | 50 | 43 |
(SOFR + 1.38%), 2.90%, 11/3/2042 (b) | 75 | 54 |
Citizens Financial Group, Inc. 2.85%, 7/27/2026 | 200 | 188 |
Comerica, Inc. 4.00%, 2/1/2029 | 150 | 145 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | 450 | 429 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 650 | 598 |
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (b) | 400 | 352 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a) (b) | 480 | 474 |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (a) (b) | 325 | 282 |
HSBC Holdings plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (b) | 229 | 228 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (b) | 200 | 176 |
(SOFR + 1.29%), 2.21%, 8/17/2029 (b) | 200 | 168 |
(SOFR + 1.95%), 2.36%, 8/18/2031 | 300 | 243 |
6.50%, 9/15/2037 | 250 | 267 |
6.10%, 1/14/2042 | 120 | 132 |
HSBC USA, Inc. 3.75%, 5/24/2024 | 300 | 298 |
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b) | 210 | 191 |
3.95%, 3/29/2027 | 200 | 193 |
KeyCorp | ||
4.15%, 10/29/2025 | 65 | 65 |
(SOFRINDX + 2.06%), 4.79%, 6/1/2033 (b) | 55 | 54 |
Lloyds Banking Group plc (United Kingdom) | ||
4.50%, 11/4/2024 | 220 | 219 |
4.58%, 12/10/2025 | 200 | 196 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (b) | 200 | 195 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (b) | 245 | 218 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
2.05%, 7/17/2030 | 340 | 277 |
3.75%, 7/18/2039 | 515 | 446 |
Mizuho Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (b) | 255 | 223 |
(SOFR + 1.57%), 2.87%, 9/13/2030 (b) | 220 | 191 |
6 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
National Australia Bank Ltd. (Australia) | ||
2.33%, 8/21/2030 (a) | 250 | 201 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a) (b) | 440 | 399 |
NatWest Group plc (United Kingdom) | ||
4.80%, 4/5/2026 | 283 | 282 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (b) | 440 | 400 |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (b) | 200 | 194 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (b) | 200 | 192 |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | 200 | 178 |
PNC Bank NA 2.50%, 8/27/2024 | 250 | 243 |
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 | 30 | 30 |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (b) | 220 | 192 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b) | 260 | 229 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) | 215 | 187 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) | 500 | 399 |
Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (b) | 245 | 216 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
1.47%, 7/8/2025 | 212 | 195 |
3.01%, 10/19/2026 | 25 | 24 |
3.04%, 7/16/2029 | 345 | 307 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.55%, 3/25/2026 (a) | 403 | 365 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (b) | 200 | 173 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (b) | 200 | 176 |
US Bancorp 7.50%, 6/1/2026 | 100 | 112 |
Wells Fargo & Co. | ||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (b) | 639 | 605 |
5.38%, 11/2/2043 | 200 | 196 |
4.40%, 6/14/2046 | 47 | 41 |
Westpac Banking Corp. (Australia) | ||
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 | 140 | 135 |
3.13%, 11/18/2041 | 221 | 162 |
21,864 | ||
Beverages — 0.5% | ||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | 373 | 357 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | 120 | 115 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.38%, 4/15/2038 | 150 | 138 |
4.44%, 10/6/2048 | 130 | 114 |
4.75%, 4/15/2058 | 95 | 85 |
4.60%, 6/1/2060 | 105 | 92 |
Coca-Cola Femsa SAB de CV (Mexico) | ||
2.75%, 1/22/2030 | 155 | 138 |
1.85%, 9/1/2032 | 215 | 166 |
Constellation Brands, Inc. | ||
4.40%, 11/15/2025 | 50 | 50 |
2.88%, 5/1/2030 | 420 | 365 |
5.25%, 11/15/2048 | 25 | 24 |
Diageo Capital plc (United Kingdom) 1.38%, 9/29/2025 | 350 | 327 |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | 260 | 203 |
Keurig Dr Pepper, Inc. | ||
4.42%, 5/25/2025 | 8 | 8 |
3.43%, 6/15/2027 | 20 | 19 |
4.42%, 12/15/2046 | 64 | 57 |
2,258 | ||
Biotechnology — 0.5% | ||
AbbVie, Inc. | ||
2.80%, 3/15/2023 | 100 | 100 |
3.85%, 6/15/2024 | 42 | 42 |
3.20%, 11/21/2029 | 516 | 475 |
June 30, 2022 | JPMorgan Insurance Trust | 7 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Biotechnology — continued | ||
4.50%, 5/14/2035 | 100 | 97 |
4.05%, 11/21/2039 | 510 | 455 |
4.40%, 11/6/2042 | 370 | 336 |
4.85%, 6/15/2044 | 200 | 191 |
Amgen, Inc. 1.65%, 8/15/2028 | 120 | 103 |
Baxalta, Inc. 5.25%, 6/23/2045 | 3 | 3 |
Biogen, Inc. 2.25%, 5/1/2030 | 153 | 125 |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | 310 | 226 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 460 | 369 |
2,522 | ||
Building Products — 0.1% | ||
Lennox International, Inc. 1.35%, 8/1/2025 | 540 | 495 |
Masco Corp. | ||
2.00%, 10/1/2030 | 90 | 71 |
6.50%, 8/15/2032 | 80 | 86 |
652 | ||
Capital Markets — 2.3% | ||
Bank of New York Mellon Corp. (The) 3.30%, 8/23/2029 | 38 | 35 |
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a) | 21 | 19 |
Blackstone Secured Lending Fund 3.65%, 7/14/2023 | 200 | 196 |
Brookfield Finance, Inc. (Canada) | ||
3.90%, 1/25/2028 | 55 | 53 |
4.85%, 3/29/2029 | 54 | 53 |
4.70%, 9/20/2047 | 9 | 8 |
Charles Schwab Corp. (The) 3.20%, 3/2/2027 | 100 | 96 |
Credit Suisse AG (Switzerland) 3.70%, 2/21/2025 | 490 | 478 |
Credit Suisse Group AG (Switzerland) | ||
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | 250 | 235 |
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (b) | 250 | 227 |
(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (b) | 510 | 438 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.16%), 2.22%, 9/18/2024 | 380 | 366 |
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | 205 | 182 |
(SOFR + 1.32%), 2.55%, 1/7/2028 (b) | 350 | 303 |
Goldman Sachs Group, Inc. (The) | ||
3.50%, 1/23/2025 | 100 | 99 |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (b) | 137 | 133 |
4.25%, 10/21/2025 | 105 | 104 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Capital Markets — continued | ||
3.85%, 1/26/2027 | 45 | 44 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (b) | 195 | 173 |
(SOFR + 1.11%), 2.64%, 2/24/2028 | 301 | 273 |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (b) | 742 | 704 |
2.60%, 2/7/2030 | 400 | 341 |
(SOFR + 1.25%), 2.38%, 7/21/2032 | 95 | 77 |
6.75%, 10/1/2037 | 80 | 89 |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (b) | 400 | 349 |
(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039 (b) | 215 | 195 |
Jefferies Group LLC 6.45%, 6/8/2027 | 81 | 87 |
Macquarie Bank Ltd. (Australia) | ||
4.00%, 7/29/2025 (a) | 100 | 100 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (a) (b) | 200 | 159 |
Macquarie Group Ltd. (Australia) | ||
(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (b) | 210 | 185 |
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (b) | 220 | 219 |
Morgan Stanley | ||
5.00%, 11/24/2025 | 36 | 37 |
(SOFR + 1.99%), 2.19%, 4/28/2026 | 1,050 | 983 |
3.13%, 7/27/2026 | 34 | 32 |
4.35%, 9/8/2026 | 20 | 20 |
3.63%, 1/20/2027 | 101 | 98 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | 39 | 35 |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 | 222 | 210 |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (b) | 96 | 91 |
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (b) | 159 | 154 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (b) | 280 | 220 |
(SOFR + 1.49%), 3.22%, 4/22/2042 (b) | 265 | 209 |
4.30%, 1/27/2045 | 85 | 75 |
Nomura Holdings, Inc. (Japan) | ||
2.65%, 1/16/2025 | 212 | 202 |
2.68%, 7/16/2030 | 200 | 164 |
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (b) | 29 | 27 |
Nuveen LLC 4.00%, 11/1/2028 (a) | 160 | 156 |
8 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
S&P Global, Inc. | ||
4.25%, 5/1/2029 (a) | 346 | 342 |
2.90%, 3/1/2032 (a) | 193 | 172 |
UBS Group AG (Switzerland) | ||
4.13%, 9/24/2025 (a) | 400 | 397 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (a) (b) | 449 | 447 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027 (a) (b) | 200 | 177 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (a) (b) | 250 | 199 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (a) (b) | 200 | 163 |
10,630 | ||
Chemicals — 0.6% | ||
Air Products and Chemicals, Inc. 1.85%, 5/15/2027 | 310 | 282 |
Albemarle Corp. 5.45%, 12/1/2044 | 50 | 49 |
Celanese US Holdings LLC 3.50%, 5/8/2024 | 151 | 149 |
Chevron Phillips Chemical Co. LLC 5.13%, 4/1/2025 (a) | 485 | 500 |
Dow Chemical Co. (The) 4.55%, 11/30/2025 | 14 | 14 |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 595 | 589 |
Eastman Chemical Co. 4.50%, 12/1/2028 | 220 | 216 |
International Flavors & Fragrances, Inc. | ||
1.83%, 10/15/2027 (a) | 190 | 164 |
3.27%, 11/15/2040 (a) | 110 | 84 |
5.00%, 9/26/2048 | 52 | 49 |
3.47%, 12/1/2050 (a) | 80 | 58 |
LYB International Finance III LLC | ||
1.25%, 10/1/2025 | 79 | 72 |
3.63%, 4/1/2051 | 245 | 181 |
Nutrien Ltd. (Canada) | ||
4.00%, 12/15/2026 | 70 | 69 |
4.20%, 4/1/2029 | 25 | 24 |
4.13%, 3/15/2035 | 90 | 83 |
5.00%, 4/1/2049 | 40 | 40 |
RPM International, Inc. 2.95%, 1/15/2032 | 305 | 253 |
Union Carbide Corp. 7.75%, 10/1/2096 | 75 | 89 |
2,965 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Services & Supplies — 0.0% ^ | ||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | 90 | 62 |
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 360 | 297 |
2.35%, 1/15/2032 | 270 | 209 |
506 | ||
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. | ||
3.45%, 6/1/2027 | 52 | 50 |
3.50%, 12/15/2027 | 100 | 94 |
144 | ||
Consumer Finance — 1.2% | ||
AerCap Ireland Capital DAC (Ireland) | ||
4.50%, 9/15/2023 | 600 | 597 |
2.88%, 8/14/2024 | 150 | 143 |
1.75%, 1/30/2026 | 150 | 131 |
2.45%, 10/29/2026 | 170 | 148 |
3.00%, 10/29/2028 | 210 | 177 |
3.30%, 1/30/2032 | 195 | 156 |
American Express Co. 4.20%, 11/6/2025 | 150 | 151 |
American Honda Finance Corp. 2.30%, 9/9/2026 | 17 | 16 |
Avolon Holdings Funding Ltd. (Ireland) | ||
2.88%, 2/15/2025 (a) | 275 | 253 |
5.50%, 1/15/2026 (a) | 395 | 383 |
2.13%, 2/21/2026 (a) | 160 | 138 |
4.25%, 4/15/2026 (a) | 245 | 227 |
4.38%, 5/1/2026 (a) | 150 | 139 |
2.53%, 11/18/2027 (a) | 1,301 | 1,061 |
Capital One Financial Corp. | ||
4.20%, 10/29/2025 | 40 | 39 |
3.75%, 7/28/2026 | 122 | 117 |
(SOFR + 0.86%), 1.88%, 11/2/2027 (b) | 74 | 65 |
(SOFR + 1.27%), 2.62%, 11/2/2032 (b) | 235 | 189 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 110 | 102 |
3.80%, 4/7/2025 | 180 | 176 |
1.25%, 1/8/2026 | 467 | 411 |
4.35%, 1/17/2027 | 113 | 108 |
2.35%, 1/8/2031 | 97 | 75 |
2.70%, 6/10/2031 | 205 | 162 |
June 30, 2022 | JPMorgan Insurance Trust | 9 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
Park Aerospace Holdings Ltd. (Ireland) | ||
4.50%, 3/15/2023 (a) | 475 | 473 |
5.50%, 2/15/2024 (a) | 23 | 23 |
5,660 | ||
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 284 | 256 |
Packaging Corp. of America 4.05%, 12/15/2049 | 155 | 129 |
WRKCo, Inc. | ||
3.00%, 9/15/2024 | 80 | 78 |
3.90%, 6/1/2028 | 35 | 34 |
497 | ||
Diversified Consumer Services — 0.1% | ||
Pepperdine University Series 2020, 3.30%, 12/1/2059 | 110 | 81 |
University of Miami Series 2022, 4.06%, 4/1/2052 | 120 | 108 |
University of Southern California Series A, 3.23%, 10/1/2120 | 110 | 74 |
263 | ||
Diversified Financial Services — 0.2% | ||
GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (a) | 67 | 66 |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | 475 | 416 |
Mitsubishi HC Capital, Inc. (Japan) 2.65%, 9/19/2022 (a) | 200 | 200 |
ORIX Corp. (Japan) | ||
2.90%, 7/18/2022 | 40 | 40 |
3.25%, 12/4/2024 | 100 | 98 |
3.70%, 7/18/2027 | 100 | 97 |
917 | ||
Diversified Telecommunication Services — 0.5% | ||
AT&T, Inc. | ||
2.30%, 6/1/2027 | 520 | 475 |
1.65%, 2/1/2028 | 55 | 48 |
2.25%, 2/1/2032 | 430 | 351 |
3.50%, 6/1/2041 | 154 | 123 |
3.65%, 6/1/2051 | 381 | 298 |
3.55%, 9/15/2055 | 126 | 94 |
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (a) | 150 | 143 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Diversified Telecommunication Services — continued | ||
Verizon Communications, Inc. | ||
2.10%, 3/22/2028 | 200 | 178 |
3.15%, 3/22/2030 | 40 | 36 |
1.68%, 10/30/2030 | 75 | 60 |
2.36%, 3/15/2032 | 147 | 122 |
2.65%, 11/20/2040 | 260 | 191 |
2,119 | ||
Electric Utilities — 1.6% | ||
AEP Transmission Co. LLC 3.15%, 9/15/2049 | 35 | 27 |
Alabama Power Co. 6.13%, 5/15/2038 | 62 | 68 |
Avangrid, Inc. 3.15%, 12/1/2024 | 72 | 70 |
Baltimore Gas and Electric Co. | ||
3.50%, 8/15/2046 | 47 | 39 |
2.90%, 6/15/2050 | 110 | 80 |
CenterPoint Energy Houston Electric LLC | ||
3.95%, 3/1/2048 | 10 | 9 |
Series AD, 2.90%, 7/1/2050 | 200 | 150 |
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (a) | 200 | 197 |
Cleveland Electric Illuminating Co. (The) | ||
3.50%, 4/1/2028 (a) | 95 | 89 |
4.55%, 11/15/2030 (a) | 65 | 64 |
Commonwealth Edison Co. 3.65%, 6/15/2046 | 30 | 25 |
Duke Energy Corp. 2.65%, 9/1/2026 | 100 | 94 |
Duke Energy Indiana LLC 3.75%, 5/15/2046 | 60 | 51 |
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 46 | 38 |
Duke Energy Progress LLC 3.70%, 10/15/2046 | 54 | 46 |
Duquesne Light Holdings, Inc. | ||
3.62%, 8/1/2027 (a) | 160 | 149 |
2.53%, 10/1/2030 (a) | 210 | 173 |
Edison International 3.55%, 11/15/2024 | 284 | 277 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 130 | 114 |
Entergy Arkansas LLC 3.50%, 4/1/2026 | 22 | 22 |
Entergy Corp. 2.95%, 9/1/2026 | 21 | 20 |
Entergy Louisiana LLC | ||
2.40%, 10/1/2026 | 59 | 55 |
3.05%, 6/1/2031 | 38 | 34 |
4.00%, 3/15/2033 | 40 | 38 |
2.90%, 3/15/2051 | 130 | 94 |
Entergy Mississippi LLC 3.85%, 6/1/2049 | 135 | 116 |
Evergy Metro, Inc. | ||
3.15%, 3/15/2023 | 24 | 24 |
10 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
5.30%, 10/1/2041 | 50 | 51 |
4.20%, 3/15/2048 | 50 | 45 |
Evergy, Inc. 2.90%, 9/15/2029 | 170 | 150 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 585 | 539 |
Florida Power & Light Co. 5.40%, 9/1/2035 | 50 | 53 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 124 | 117 |
Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 | 100 | 109 |
ITC Holdings Corp. | ||
2.70%, 11/15/2022 | 100 | 100 |
2.95%, 5/14/2030 (a) | 100 | 88 |
Jersey Central Power & Light Co. | ||
4.30%, 1/15/2026 (a) | 40 | 40 |
6.15%, 6/1/2037 | 30 | 32 |
Massachusetts Electric Co. 4.00%, 8/15/2046 (a) | 56 | 46 |
MidAmerican Energy Co. 3.50%, 10/15/2024 | 59 | 59 |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a) | 40 | 39 |
Nevada Power Co. Series CC, 3.70%, 5/1/2029 | 100 | 96 |
New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (a) | 45 | 37 |
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | 27 | 26 |
Niagara Mohawk Power Corp. | ||
3.51%, 10/1/2024 (a) | 19 | 19 |
1.96%, 6/27/2030 (a) | 250 | 207 |
NRG Energy, Inc. | ||
2.00%, 12/2/2025 (a) | 185 | 167 |
2.45%, 12/2/2027 (a) | 210 | 180 |
4.45%, 6/15/2029 (a) | 110 | 99 |
OGE Energy Corp. 0.70%, 5/26/2023 | 135 | 132 |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | 165 | 160 |
Oncor Electric Delivery Co. LLC | ||
5.75%, 3/15/2029 | 25 | 27 |
3.10%, 9/15/2049 | 215 | 166 |
Pacific Gas and Electric Co. | ||
1.37%, 3/10/2023 | 305 | 300 |
1.70%, 11/15/2023 | 175 | 169 |
3.25%, 2/16/2024 | 505 | 492 |
3.45%, 7/1/2025 | 145 | 136 |
2.95%, 3/1/2026 | 90 | 82 |
3.75%, 8/15/2042 (c) | 33 | 22 |
4.30%, 3/15/2045 | 55 | 40 |
4.00%, 12/1/2046 | 230 | 161 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Electric Utilities — continued | ||
PECO Energy Co. 2.80%, 6/15/2050 | 100 | 73 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (a) | 19 | 18 |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | 160 | 161 |
Potomac Electric Power Co. 6.50%, 11/15/2037 | 75 | 87 |
Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 | 175 | 197 |
Public Service Electric and Gas Co. | ||
3.00%, 5/15/2025 | 83 | 81 |
5.38%, 11/1/2039 | 28 | 29 |
Southern California Edison Co. | ||
Series C, 3.50%, 10/1/2023 | 53 | 53 |
Series B, 3.65%, 3/1/2028 | 80 | 76 |
Series 05-B, 5.55%, 1/15/2036 | 80 | 80 |
4.05%, 3/15/2042 | 100 | 82 |
Tampa Electric Co. 4.45%, 6/15/2049 | 100 | 92 |
Toledo Edison Co. (The) 6.15%, 5/15/2037 | 50 | 56 |
Union Electric Co. 2.95%, 6/15/2027 | 36 | 34 |
Virginia Electric and Power Co. 6.35%, 11/30/2037 | 70 | 81 |
7,549 | ||
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. | ||
4.50%, 3/1/2023 | 8 | 8 |
3.25%, 9/8/2024 | 44 | 43 |
3.88%, 1/12/2028 | 22 | 21 |
Corning, Inc. | ||
5.35%, 11/15/2048 | 110 | 111 |
3.90%, 11/15/2049 | 174 | 139 |
322 | ||
Energy Equipment & Services — 0.2% | ||
Baker Hughes Holdings LLC | ||
3.14%, 11/7/2029 | 180 | 162 |
4.49%, 5/1/2030 | 115 | 113 |
5.13%, 9/15/2040 | 40 | 39 |
Halliburton Co. | ||
3.80%, 11/15/2025 | 2 | 2 |
4.85%, 11/15/2035 | 30 | 29 |
6.70%, 9/15/2038 | 60 | 66 |
NOV, Inc. 3.60%, 12/1/2029 | 200 | 180 |
Schlumberger Finance Canada Ltd. 1.40%, 9/17/2025 | 300 | 278 |
June 30, 2022 | JPMorgan Insurance Trust | 11 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Energy Equipment & Services — continued | ||
Schlumberger Holdings Corp. | ||
3.75%, 5/1/2024 (a) | 55 | 55 |
3.90%, 5/17/2028 (a) | 62 | 59 |
983 | ||
Entertainment — 0.0% ^ | ||
Activision Blizzard, Inc. 1.35%, 9/15/2030 | 241 | 194 |
Equity Real Estate Investment Trusts (REITs) — 2.0% | ||
Alexandria Real Estate Equities, Inc. | ||
3.80%, 4/15/2026 | 23 | 23 |
2.00%, 5/18/2032 | 240 | 190 |
1.88%, 2/1/2033 | 140 | 105 |
4.00%, 2/1/2050 | 125 | 103 |
American Campus Communities Operating Partnership LP | ||
3.63%, 11/15/2027 | 100 | 98 |
2.85%, 2/1/2030 | 190 | 180 |
American Tower Corp. | ||
5.00%, 2/15/2024 | 71 | 72 |
3.38%, 10/15/2026 | 44 | 42 |
1.50%, 1/31/2028 | 325 | 270 |
2.10%, 6/15/2030 | 150 | 120 |
1.88%, 10/15/2030 | 275 | 214 |
3.70%, 10/15/2049 | 230 | 173 |
3.10%, 6/15/2050 | 130 | 90 |
2.95%, 1/15/2051 | 85 | 58 |
Boston Properties LP | ||
3.13%, 9/1/2023 | 30 | 30 |
3.20%, 1/15/2025 | 61 | 60 |
3.65%, 2/1/2026 | 67 | 65 |
Brixmor Operating Partnership LP | ||
3.65%, 6/15/2024 | 50 | 49 |
3.85%, 2/1/2025 | 50 | 49 |
2.25%, 4/1/2028 | 200 | 172 |
2.50%, 8/16/2031 | 105 | 82 |
Corporate Office Properties LP | ||
2.25%, 3/15/2026 | 470 | 426 |
2.75%, 4/15/2031 | 326 | 264 |
Crown Castle International Corp. 4.00%, 3/1/2027 | 24 | 23 |
Digital Realty Trust LP 3.70%, 8/15/2027 | 31 | 30 |
Duke Realty LP | ||
3.25%, 6/30/2026 | 18 | 17 |
2.88%, 11/15/2029 | 95 | 85 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Equity Real Estate Investment Trusts (REITs) — continued | ||
Equinix, Inc. | ||
2.90%, 11/18/2026 | 285 | 265 |
2.00%, 5/15/2028 | 463 | 398 |
Essex Portfolio LP | ||
1.65%, 1/15/2031 | 200 | 156 |
2.65%, 3/15/2032 | 145 | 120 |
GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (a) | 79 | 76 |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 43 | 41 |
Healthcare Trust of America Holdings LP | ||
3.10%, 2/15/2030 | 310 | 267 |
2.00%, 3/15/2031 | 160 | 124 |
Healthpeak Properties, Inc. | ||
2.13%, 12/1/2028 | 330 | 285 |
3.50%, 7/15/2029 | 132 | 122 |
3.00%, 1/15/2030 | 90 | 79 |
Life Storage LP | ||
4.00%, 6/15/2029 | 150 | 138 |
2.20%, 10/15/2030 | 300 | 240 |
2.40%, 10/15/2031 | 125 | 100 |
Mid-America Apartments LP | ||
3.95%, 3/15/2029 | 230 | 220 |
1.70%, 2/15/2031 | 150 | 119 |
National Retail Properties, Inc. | ||
3.60%, 12/15/2026 | 58 | 56 |
4.30%, 10/15/2028 | 150 | 146 |
Office Properties Income Trust | ||
2.40%, 2/1/2027 | 255 | 208 |
3.45%, 10/15/2031 | 130 | 97 |
Physicians Realty LP 2.63%, 11/1/2031 | 130 | 105 |
Prologis LP | ||
2.25%, 4/15/2030 | 20 | 17 |
2.13%, 10/15/2050 | 150 | 95 |
Public Storage | ||
1.95%, 11/9/2028 | 156 | 135 |
2.25%, 11/9/2031 | 131 | 108 |
Realty Income Corp. | ||
3.88%, 7/15/2024 | 20 | 20 |
3.88%, 4/15/2025 | 60 | 60 |
3.25%, 1/15/2031 | 170 | 155 |
Regency Centers LP 2.95%, 9/15/2029 | 215 | 189 |
Sabra Health Care LP 3.20%, 12/1/2031 | 210 | 167 |
12 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Safehold Operating Partnership LP 2.85%, 1/15/2032 | 400 | 321 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) | 170 | 165 |
SITE Centers Corp. 3.63%, 2/1/2025 | 61 | 59 |
UDR, Inc. | ||
2.95%, 9/1/2026 | 28 | 26 |
3.20%, 1/15/2030 | 150 | 135 |
3.00%, 8/15/2031 | 25 | 21 |
2.10%, 8/1/2032 | 160 | 124 |
1.90%, 3/15/2033 | 240 | 181 |
Ventas Realty LP | ||
4.13%, 1/15/2026 | 9 | 9 |
3.25%, 10/15/2026 | 25 | 24 |
3.85%, 4/1/2027 | 49 | 47 |
Vornado Realty LP 3.50%, 1/15/2025 | 60 | 58 |
Welltower, Inc. | ||
2.70%, 2/15/2027 | 63 | 58 |
3.10%, 1/15/2030 | 85 | 75 |
6.50%, 3/15/2041 | 125 | 140 |
WP Carey, Inc. | ||
4.25%, 10/1/2026 | 245 | 242 |
2.25%, 4/1/2033 | 180 | 138 |
9,221 | ||
Food & Staples Retailing — 0.4% | ||
7-Eleven, Inc. | ||
0.95%, 2/10/2026 (a) | 170 | 150 |
1.30%, 2/10/2028 (a) | 137 | 114 |
2.50%, 2/10/2041 (a) | 139 | 94 |
Alimentation Couche-Tard, Inc. (Canada) | ||
3.44%, 5/13/2041 (a) | 250 | 187 |
3.80%, 1/25/2050 (a) | 230 | 174 |
3.63%, 5/13/2051 (a) | 280 | 203 |
CVS Pass-Through Trust | ||
7.51%, 1/10/2032 (a) | 62 | 67 |
5.93%, 1/10/2034 (a) | 68 | 70 |
Series 2013, 4.70%, 1/10/2036 (a) | 146 | 140 |
Kroger Co. (The) | ||
2.20%, 5/1/2030 | 500 | 422 |
5.40%, 7/15/2040 | 18 | 18 |
1,639 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Food Products — 0.4% | ||
Bimbo Bakeries USA, Inc. (Mexico) 4.00%, 5/17/2051 (a) | 290 | 236 |
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 400 | 330 |
Campbell Soup Co. 3.13%, 4/24/2050 | 47 | 33 |
Conagra Brands, Inc. 5.30%, 11/1/2038 | 35 | 33 |
General Mills, Inc. 3.00%, 2/1/2051 | 100 | 73 |
Kraft Heinz Foods Co. | ||
4.63%, 10/1/2039 | 200 | 176 |
4.38%, 6/1/2046 | 153 | 128 |
McCormick & Co., Inc. 2.50%, 4/15/2030 | 342 | 292 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 27 | 27 |
Smithfield Foods, Inc. | ||
5.20%, 4/1/2029 (a) | 160 | 157 |
3.00%, 10/15/2030 (a) | 380 | 315 |
Tyson Foods, Inc. | ||
4.88%, 8/15/2034 | 20 | 20 |
5.15%, 8/15/2044 | 90 | 89 |
1,909 | ||
Gas Utilities — 0.2% | ||
Atmos Energy Corp. | ||
0.63%, 3/9/2023 | 105 | 103 |
4.13%, 10/15/2044 | 50 | 44 |
4.13%, 3/15/2049 | 155 | 140 |
Boston Gas Co. 4.49%, 2/15/2042 (a) | 22 | 20 |
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (a) | 80 | 66 |
ONE Gas, Inc. 2.00%, 5/15/2030 | 200 | 167 |
Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029 | 200 | 186 |
Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | 195 | 172 |
Southern Natural Gas Co. LLC | ||
8.00%, 3/1/2032 | 53 | 62 |
4.80%, 3/15/2047 (a) | 26 | 23 |
Southwest Gas Corp. 3.80%, 9/29/2046 | 44 | 34 |
1,017 | ||
Health Care Equipment & Supplies — 0.1% | ||
Abbott Laboratories 4.75%, 11/30/2036 | 130 | 138 |
Becton Dickinson and Co. 4.67%, 6/6/2047 | 75 | 70 |
Boston Scientific Corp. 4.55%, 3/1/2039 | 49 | 46 |
June 30, 2022 | JPMorgan Insurance Trust | 13 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Health Care Equipment & Supplies — continued | ||
DH Europe Finance II SARL 3.25%, 11/15/2039 | 184 | 152 |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | 283 | 232 |
638 | ||
Health Care Providers & Services — 0.8% | ||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | 130 | 111 |
Ascension Health Series B, 2.53%, 11/15/2029 | 190 | 172 |
Children's Hospital Series 2020, 2.93%, 7/15/2050 | 180 | 128 |
Cigna Corp. 4.50%, 2/25/2026 | 127 | 128 |
CommonSpirit Health | ||
1.55%, 10/1/2025 | 145 | 134 |
2.78%, 10/1/2030 | 145 | 125 |
3.91%, 10/1/2050 | 140 | 112 |
CVS Health Corp. | ||
4.30%, 3/25/2028 | 21 | 21 |
5.05%, 3/25/2048 | 323 | 309 |
Elevance Health, Inc. | ||
3.35%, 12/1/2024 | 70 | 69 |
4.10%, 3/1/2028 | 55 | 54 |
4.65%, 1/15/2043 | 18 | 17 |
4.65%, 8/15/2044 | 65 | 62 |
Hackensack Meridian Health, Inc. | ||
Series 2020, 2.68%, 9/1/2041 | 390 | 298 |
Series 2020, 2.88%, 9/1/2050 | 230 | 166 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 340 | 338 |
5.13%, 6/15/2039 | 125 | 109 |
5.50%, 6/15/2047 | 245 | 219 |
Memorial Health Services 3.45%, 11/1/2049 | 245 | 201 |
MidMichigan Health Series 2020, 3.41%, 6/1/2050 | 80 | 64 |
Mount Sinai Hospitals Group, Inc. Series 2017, 3.98%, 7/1/2048 | 83 | 73 |
MultiCare Health System 2.80%, 8/15/2050 | 120 | 87 |
Providence St. Joseph Health Obligated Group Series H, 2.75%, 10/1/2026 | 36 | 35 |
Quest Diagnostics, Inc. 3.45%, 6/1/2026 | 17 | 17 |
Texas Health Resources 2.33%, 11/15/2050 | 140 | 92 |
UnitedHealth Group, Inc. | ||
4.63%, 7/15/2035 | 34 | 34 |
3.50%, 8/15/2039 | 160 | 139 |
3.25%, 5/15/2051 | 140 | 110 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Health Care Providers & Services — continued | ||
Universal Health Services, Inc. 2.65%, 10/15/2030 (a) | 328 | 262 |
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | 200 | 138 |
3,824 | ||
Hotels, Restaurants & Leisure — 0.0% ^ | ||
McDonald's Corp. 4.70%, 12/9/2035 | 60 | 60 |
Household Durables — 0.0% ^ | ||
Lennar Corp. 4.50%, 4/30/2024 | 95 | 95 |
Independent Power and Renewable Electricity Producers — 0.2% | ||
Alexander Funding Trust 1.84%, 11/15/2023 (a) | 200 | 192 |
Constellation Energy Generation LLC | ||
3.25%, 6/1/2025 | 250 | 239 |
6.25%, 10/1/2039 | 100 | 102 |
5.75%, 10/1/2041 | 144 | 139 |
Southern Power Co. 5.15%, 9/15/2041 | 50 | 47 |
Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 | 25 | 22 |
741 | ||
Industrial Conglomerates — 0.1% | ||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 325 | 304 |
Honeywell International, Inc. 2.50%, 11/1/2026 | 150 | 143 |
447 | ||
Insurance — 1.1% | ||
AIA Group Ltd. (Hong Kong) | ||
3.20%, 3/11/2025 (a) | 200 | 197 |
3.90%, 4/6/2028 (a) | 210 | 207 |
3.60%, 4/9/2029 (a) | 200 | 193 |
Assurant, Inc. 4.20%, 9/27/2023 | 63 | 63 |
Athene Global Funding | ||
0.95%, 1/8/2024 (a) | 363 | 345 |
2.75%, 6/25/2024 (a) | 155 | 150 |
2.50%, 1/14/2025 (a) | 103 | 98 |
1.45%, 1/8/2026 (a) | 370 | 329 |
2.95%, 11/12/2026 (a) | 515 | 473 |
Berkshire Hathaway Finance Corp. | ||
4.30%, 5/15/2043 | 62 | 57 |
3.85%, 3/15/2052 | 210 | 180 |
Brown & Brown, Inc. 2.38%, 3/15/2031 | 460 | 364 |
Chubb INA Holdings, Inc. | ||
2.88%, 11/3/2022 | 42 | 42 |
14 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Insurance — continued | ||
2.70%, 3/13/2023 | 120 | 120 |
CNA Financial Corp. 3.95%, 5/15/2024 | 44 | 44 |
Corebridge Financial, Inc. | ||
3.65%, 4/5/2027 (a) | 185 | 174 |
3.85%, 4/5/2029 (a) | 130 | 120 |
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (a) (b) (d) (e) | 200 | 188 |
F&G Global Funding 1.75%, 6/30/2026 (a) | 185 | 164 |
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (a) | 21 | 19 |
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 | 120 | 100 |
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | 70 | 62 |
Intact US Holdings, Inc. 4.60%, 11/9/2022 | 100 | 100 |
Jackson National Life Global Funding 3.88%, 6/11/2025 (a) | 87 | 86 |
Liberty Mutual Group, Inc. | ||
4.57%, 2/1/2029 (a) | 27 | 27 |
3.95%, 10/15/2050 (a) | 207 | 157 |
Markel Corp. 3.63%, 3/30/2023 | 40 | 40 |
MetLife, Inc. 4.13%, 8/13/2042 | 28 | 25 |
New York Life Global Funding 2.35%, 7/14/2026 (a) | 65 | 61 |
New York Life Insurance Co. 4.45%, 5/15/2069 (a) | 105 | 90 |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (a) | 195 | 172 |
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (b) | 134 | 113 |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | 30 | 28 |
Prudential Financial, Inc. 3.91%, 12/7/2047 | 61 | 53 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a) | 150 | 166 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | 50 | 45 |
4,852 | ||
Internet & Direct Marketing Retail — 0.2% | ||
Amazon.com, Inc. | ||
3.88%, 8/22/2037 | 80 | 76 |
3.95%, 4/13/2052 | 390 | 360 |
eBay, Inc. 2.60%, 5/10/2031 | 830 | 690 |
1,126 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
IT Services — 0.2% | ||
CGI, Inc. (Canada) 2.30%, 9/14/2031 | 370 | 297 |
Fiserv, Inc. | ||
3.20%, 7/1/2026 | 70 | 66 |
4.40%, 7/1/2049 | 65 | 56 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 236 | 206 |
2.90%, 5/15/2030 | 48 | 41 |
2.90%, 11/15/2031 | 92 | 75 |
741 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 332 | 305 |
Life Sciences Tools & Services — 0.1% | ||
Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 | 330 | 277 |
Machinery — 0.1% | ||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | 75 | 72 |
Otis Worldwide Corp. 2.57%, 2/15/2030 | 280 | 242 |
Parker-Hannifin Corp. | ||
4.45%, 11/21/2044 | 30 | 27 |
4.10%, 3/1/2047 | 21 | 18 |
Xylem, Inc. 2.25%, 1/30/2031 | 110 | 92 |
451 | ||
Media — 0.5% | ||
Charter Communications Operating LLC | ||
5.38%, 4/1/2038 | 38 | 34 |
3.50%, 3/1/2042 | 195 | 135 |
4.80%, 3/1/2050 | 240 | 190 |
3.70%, 4/1/2051 | 445 | 301 |
Comcast Corp. | ||
3.55%, 5/1/2028 | 66 | 64 |
4.25%, 1/15/2033 | 167 | 164 |
4.20%, 8/15/2034 | 89 | 86 |
3.90%, 3/1/2038 | 32 | 29 |
3.25%, 11/1/2039 | 130 | 107 |
3.75%, 4/1/2040 | 160 | 140 |
4.00%, 11/1/2049 | 52 | 45 |
2.89%, 11/1/2051 | 186 | 133 |
2.94%, 11/1/2056 | 101 | 70 |
2.99%, 11/1/2063 | 263 | 180 |
Cox Communications, Inc. | ||
3.35%, 9/15/2026 (a) | 67 | 64 |
2.95%, 10/1/2050 (a) | 180 | 119 |
June 30, 2022 | JPMorgan Insurance Trust | 15 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Media — continued | ||
Discovery Communications LLC | ||
5.20%, 9/20/2047 | 80 | 69 |
4.00%, 9/15/2055 | 124 | 87 |
Paramount Global | ||
4.00%, 1/15/2026 | 42 | 41 |
2.90%, 1/15/2027 | 53 | 49 |
Time Warner Cable LLC | ||
6.55%, 5/1/2037 | 50 | 50 |
7.30%, 7/1/2038 | 50 | 52 |
5.50%, 9/1/2041 | 100 | 87 |
Time Warner Entertainment Co. LP 8.38%, 7/15/2033 | 90 | 104 |
2,400 | ||
Metals & Mining — 0.3% | ||
Glencore Funding LLC (Australia) | ||
4.13%, 5/30/2023 (a) | 112 | 112 |
2.50%, 9/1/2030 (a) | 750 | 611 |
Nucor Corp. 2.98%, 12/15/2055 | 30 | 20 |
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 600 | 546 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | 126 | 108 |
1,397 | ||
Multiline Retail — 0.0% ^ | ||
Nordstrom, Inc. 4.25%, 8/1/2031 | 300 | 227 |
Multi-Utilities — 0.3% | ||
Ameren Illinois Co. 3.25%, 3/15/2050 | 185 | 144 |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 230 | 207 |
CMS Energy Corp. | ||
3.88%, 3/1/2024 | 110 | 110 |
2.95%, 2/15/2027 | 47 | 44 |
Consolidated Edison Co. of New York, Inc. | ||
5.70%, 6/15/2040 | 38 | 40 |
4.50%, 5/15/2058 | 54 | 49 |
Consumers Energy Co. 3.25%, 8/15/2046 | 19 | 15 |
Delmarva Power & Light Co. 4.15%, 5/15/2045 | 50 | 45 |
Dominion Energy, Inc. Series B, 2.75%, 9/15/2022 | 60 | 60 |
New York State Electric & Gas Corp. 3.25%, 12/1/2026 (a) | 50 | 48 |
NiSource, Inc. | ||
2.95%, 9/1/2029 | 85 | 75 |
1.70%, 2/15/2031 | 190 | 149 |
San Diego Gas & Electric Co. 5.35%, 5/15/2035 | 70 | 73 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Multi-Utilities — continued | ||
Southern Co. Gas Capital Corp. | ||
2.45%, 10/1/2023 | 19 | 19 |
3.25%, 6/15/2026 | 17 | 16 |
5.88%, 3/15/2041 | 96 | 101 |
4.40%, 6/1/2043 | 42 | 36 |
3.95%, 10/1/2046 | 21 | 17 |
WEC Energy Group, Inc. 3.55%, 6/15/2025 | 11 | 11 |
1,259 | ||
Oil, Gas & Consumable Fuels — 2.0% | ||
APA Infrastructure Ltd. (Australia) | ||
4.20%, 3/23/2025 (a) | 120 | 119 |
4.25%, 7/15/2027 (a) | 73 | 71 |
Boardwalk Pipelines LP 3.40%, 2/15/2031 | 170 | 145 |
BP Capital Markets America, Inc. | ||
3.02%, 1/16/2027 | 35 | 33 |
2.77%, 11/10/2050 | 130 | 90 |
2.94%, 6/4/2051 | 205 | 147 |
3.00%, 3/17/2052 | 135 | 97 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 140 | 134 |
Buckeye Partners LP 5.85%, 11/15/2043 | 100 | 71 |
Cameron LNG LLC 3.70%, 1/15/2039 (a) | 188 | 158 |
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 | 200 | 183 |
Chevron USA, Inc. 3.25%, 10/15/2029 | 110 | 104 |
Coterra Energy, Inc. 3.90%, 5/15/2027 (a) | 235 | 225 |
Diamondback Energy, Inc. 3.25%, 12/1/2026 | 145 | 141 |
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 (a) | 137 | 110 |
Ecopetrol SA (Colombia) | ||
5.88%, 9/18/2023 | 28 | 28 |
4.13%, 1/16/2025 | 33 | 30 |
5.38%, 6/26/2026 | 39 | 36 |
Energy Transfer LP | ||
4.75%, 1/15/2026 | 187 | 186 |
3.90%, 7/15/2026 | 24 | 23 |
5.50%, 6/1/2027 | 90 | 91 |
4.95%, 5/15/2028 | 40 | 39 |
4.15%, 9/15/2029 | 102 | 93 |
6.05%, 6/1/2041 | 100 | 96 |
6.10%, 2/15/2042 | 60 | 56 |
6.00%, 6/15/2048 | 235 | 221 |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | 50 | 56 |
16 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Enterprise Products Operating LLC | ||
3.90%, 2/15/2024 | 25 | 25 |
3.70%, 2/15/2026 | 38 | 37 |
7.55%, 4/15/2038 | 86 | 102 |
4.45%, 2/15/2043 | 87 | 76 |
5.10%, 2/15/2045 | 16 | 15 |
3.20%, 2/15/2052 | 50 | 36 |
4.95%, 10/15/2054 | 6 | 5 |
EQM Midstream Partners LP 5.50%, 7/15/2028 | 130 | 112 |
EQT Corp. 3.90%, 10/1/2027 | 60 | 56 |
Equinor ASA (Norway) | ||
3.25%, 11/10/2024 | 23 | 23 |
2.88%, 4/6/2025 | 145 | 142 |
Exxon Mobil Corp. 3.00%, 8/16/2039 | 405 | 331 |
Flex Intermediate Holdco LLC | ||
3.36%, 6/30/2031 (a) | 355 | 290 |
4.32%, 12/30/2039 (a) | 130 | 101 |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a) | 246 | 200 |
Gray Oak Pipeline LLC | ||
2.00%, 9/15/2023 (a) | 135 | 131 |
2.60%, 10/15/2025 (a) | 165 | 154 |
3.45%, 10/15/2027 (a) | 372 | 340 |
HF Sinclair Corp. | ||
2.63%, 10/1/2023 (a) | 255 | 248 |
5.88%, 4/1/2026 (a) | 138 | 139 |
Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (a) | 200 | 179 |
Magellan Midstream Partners LP 3.20%, 3/15/2025 | 14 | 14 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | 156 | 158 |
MPLX LP | ||
4.50%, 7/15/2023 | 213 | 214 |
4.80%, 2/15/2029 | 261 | 257 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | 215 | 179 |
ONEOK Partners LP | ||
3.38%, 10/1/2022 | 8 | 8 |
5.00%, 9/15/2023 | 72 | 73 |
6.65%, 10/1/2036 | 15 | 15 |
ONEOK, Inc. 2.20%, 9/15/2025 | 250 | 233 |
Phillips 66 Co. | ||
3.15%, 12/15/2029 (a) | 95 | 85 |
4.90%, 10/1/2046 (a) | 37 | 35 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 270 | 220 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Oil, Gas & Consumable Fuels — continued | ||
Plains All American Pipeline LP | ||
5.15%, 6/1/2042 | ��� 120 | 101 |
4.30%, 1/31/2043 | 30 | 23 |
4.70%, 6/15/2044 | 110 | 87 |
Sabine Pass Liquefaction LLC | ||
5.63%, 3/1/2025 | 235 | 240 |
5.00%, 3/15/2027 | 450 | 451 |
Spectra Energy Partners LP 4.50%, 3/15/2045 | 25 | 22 |
Suncor Energy, Inc. (Canada) | ||
5.95%, 12/1/2034 | 60 | 63 |
6.80%, 5/15/2038 | 145 | 163 |
Targa Resources Corp. 4.20%, 2/1/2033 | 100 | 91 |
Texas Eastern Transmission LP 3.50%, 1/15/2028 (a) | 15 | 14 |
TotalEnergies Capital International SA (France) | ||
2.99%, 6/29/2041 | 350 | 276 |
3.46%, 7/12/2049 | 145 | 117 |
3.13%, 5/29/2050 | 260 | 199 |
TransCanada PipeLines Ltd. (Canada) | ||
6.20%, 10/15/2037 | 70 | 76 |
4.75%, 5/15/2038 | 80 | 76 |
Valero Energy Corp. | ||
2.15%, 9/15/2027 | 210 | 187 |
7.50%, 4/15/2032 | 14 | 16 |
9,218 | ||
Personal Products — 0.2% | ||
Estee Lauder Cos., Inc. (The) | ||
2.60%, 4/15/2030 | 404 | 363 |
3.13%, 12/1/2049 | 150 | 119 |
GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2029 (a) | 260 | 243 |
725 | ||
Pharmaceuticals — 0.6% | ||
AstraZeneca plc (United Kingdom) | ||
6.45%, 9/15/2037 | 50 | 60 |
4.00%, 9/18/2042 | 40 | 37 |
2.13%, 8/6/2050 | 140 | 94 |
Bristol-Myers Squibb Co. | ||
3.90%, 2/20/2028 | 100 | 100 |
4.13%, 6/15/2039 | 114 | 109 |
2.35%, 11/13/2040 | 175 | 129 |
4.55%, 2/20/2048 | 47 | 46 |
Mylan, Inc. 5.40%, 11/29/2043 | 21 | 18 |
June 30, 2022 | JPMorgan Insurance Trust | 17 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Royalty Pharma plc | ||
0.75%, 9/2/2023 | 240 | 231 |
1.20%, 9/2/2025 | 98 | 87 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 234 | 225 |
Takeda Pharmaceutical Co. Ltd. (Japan) | ||
3.03%, 7/9/2040 | 545 | 419 |
3.18%, 7/9/2050 | 225 | 168 |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | 210 | 198 |
Viatris, Inc. 2.30%, 6/22/2027 | 589 | 509 |
Zoetis, Inc. 2.00%, 5/15/2030 | 170 | 142 |
2,572 | ||
Road & Rail — 0.4% | ||
Burlington Northern Santa Fe LLC | ||
5.75%, 5/1/2040 | 85 | 93 |
5.40%, 6/1/2041 | 126 | 133 |
4.38%, 9/1/2042 | 25 | 24 |
5.15%, 9/1/2043 | 77 | 80 |
4.70%, 9/1/2045 | 35 | 34 |
CSX Corp. | ||
5.50%, 4/15/2041 | 50 | 52 |
4.75%, 11/15/2048 | 108 | 105 |
3.35%, 9/15/2049 | 10 | 8 |
ERAC USA Finance LLC | ||
7.00%, 10/15/2037 (a) | 160 | 188 |
5.63%, 3/15/2042 (a) | 12 | 12 |
JB Hunt Transport Services, Inc. | ||
3.85%, 3/15/2024 | 70 | 70 |
3.88%, 3/1/2026 | 85 | 84 |
Kansas City Southern 4.70%, 5/1/2048 | 197 | 186 |
Norfolk Southern Corp. | ||
3.95%, 10/1/2042 | 70 | 61 |
4.05%, 8/15/2052 | 40 | 35 |
Penske Truck Leasing Co. LP | ||
3.95%, 3/10/2025 (a) | 25 | 25 |
3.40%, 11/15/2026 (a) | 25 | 24 |
4.20%, 4/1/2027 (a) | 75 | 73 |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a) | 270 | 252 |
Union Pacific Corp. 4.10%, 9/15/2067 | 150 | 127 |
1,666 | ||
Semiconductors & Semiconductor Equipment — 0.7% | ||
Analog Devices, Inc. 2.80%, 10/1/2041 | 227 | 178 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Semiconductors & Semiconductor Equipment — continued | ||
Broadcom, Inc. | ||
1.95%, 2/15/2028 (a) | 592 | 504 |
3.14%, 11/15/2035 (a) | 378 | 287 |
3.19%, 11/15/2036 (a) | 370 | 281 |
Intel Corp. 3.10%, 2/15/2060 | 50 | 36 |
KLA Corp. 3.30%, 3/1/2050 | 150 | 119 |
Microchip Technology, Inc. | ||
0.97%, 2/15/2024 | 330 | 313 |
0.98%, 9/1/2024 | 295 | 275 |
NXP BV (China) | ||
2.50%, 5/11/2031 | 360 | 295 |
3.25%, 5/11/2041 | 370 | 278 |
TSMC Arizona Corp. (Taiwan) 4.50%, 4/22/2052 | 200 | 196 |
Xilinx, Inc. 2.38%, 6/1/2030 | 623 | 550 |
3,312 | ||
Software — 0.5% | ||
Microsoft Corp. | ||
2.65%, 11/3/2022 | 160 | 160 |
2.00%, 8/8/2023 | 125 | 124 |
3.50%, 2/12/2035 | 68 | 65 |
3.45%, 8/8/2036 | 60 | 57 |
2.92%, 3/17/2052 | 65 | 51 |
3.04%, 3/17/2062 | 40 | 31 |
Oracle Corp. | ||
3.60%, 4/1/2040 | 450 | 336 |
4.00%, 7/15/2046 | 110 | 81 |
Roper Technologies, Inc. | ||
1.40%, 9/15/2027 | 350 | 300 |
2.00%, 6/30/2030 | 160 | 129 |
VMware, Inc. | ||
1.40%, 8/15/2026 | 404 | 357 |
4.65%, 5/15/2027 | 135 | 134 |
Workday, Inc. 3.50%, 4/1/2027 | 285 | 273 |
2,098 | ||
Specialty Retail — 0.2% | ||
AutoZone, Inc. 1.65%, 1/15/2031 | 180 | 141 |
Home Depot, Inc. (The) 3.90%, 12/6/2028 | 110 | 110 |
Lowe's Cos., Inc. | ||
1.70%, 10/15/2030 | 430 | 345 |
2.63%, 4/1/2031 | 105 | 90 |
18 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
O'Reilly Automotive, Inc. | ||
3.55%, 3/15/2026 | 80 | 79 |
3.60%, 9/1/2027 | 49 | 47 |
812 | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Apple, Inc. | ||
2.45%, 8/4/2026 | 74 | 71 |
3.45%, 2/9/2045 | 82 | 71 |
3.85%, 8/4/2046 | 117 | 107 |
3.75%, 9/12/2047 | 140 | 126 |
Dell International LLC | ||
5.45%, 6/15/2023 | 32 | 32 |
6.02%, 6/15/2026 | 522 | 542 |
HP, Inc. 3.00%, 6/17/2027 | 160 | 148 |
1,097 | ||
Thrifts & Mortgage Finance — 0.2% | ||
BPCE SA (France) | ||
4.63%, 7/11/2024 (a) | 200 | 199 |
1.00%, 1/20/2026 (a) | 305 | 270 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | 250 | 224 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (b) | 250 | 198 |
Nationwide Building Society (United Kingdom) 1.00%, 8/28/2025 (a) | 200 | 181 |
1,072 | ||
Tobacco — 0.2% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 410 | 309 |
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 210 | 176 |
4.39%, 8/15/2037 | 250 | 198 |
3.73%, 9/25/2040 | 140 | 98 |
4.54%, 8/15/2047 | 60 | 44 |
3.98%, 9/25/2050 | 220 | 151 |
BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026 | 160 | 142 |
1,118 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
2.30%, 2/1/2025 | 245 | 229 |
3.25%, 3/1/2025 | 48 | 46 |
3.38%, 7/1/2025 | 378 | 356 |
2.88%, 1/15/2026 | 160 | 147 |
3.25%, 10/1/2029 | 220 | 185 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Trading Companies & Distributors — continued | ||
Aviation Capital Group LLC | ||
3.88%, 5/1/2023 (a) | 100 | 99 |
5.50%, 12/15/2024 (a) | 174 | 173 |
International Lease Finance Corp. 5.88%, 8/15/2022 | 150 | 150 |
WW Grainger, Inc. 4.60%, 6/15/2045 | 77 | 74 |
1,459 | ||
Transportation Infrastructure — 0.1% | ||
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (a) | 360 | 350 |
Water Utilities — 0.1% | ||
American Water Capital Corp. | ||
3.45%, 6/1/2029 | 35 | 33 |
4.00%, 12/1/2046 | 52 | 45 |
3.45%, 5/1/2050 | 225 | 179 |
257 | ||
Wireless Telecommunication Services — 0.4% | ||
America Movil SAB de CV (Mexico) | ||
3.63%, 4/22/2029 | 200 | 190 |
4.38%, 4/22/2049 | 200 | 185 |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (a) | 180 | 158 |
T-Mobile USA, Inc. 3.88%, 4/15/2030 | 850 | 793 |
Vodafone Group plc (United Kingdom) | ||
5.25%, 5/30/2048 | 64 | 61 |
4.88%, 6/19/2049 | 255 | 234 |
1,621 | ||
Total Corporate Bonds (Cost $144,208) | 126,376 | |
U.S. Treasury Obligations — 25.1% | ||
U.S. Treasury Bonds | ||
3.50%, 2/15/2039 | 1,038 | 1,084 |
4.25%, 5/15/2039 | 945 | 1,079 |
1.13%, 5/15/2040 | 1,220 | 849 |
3.88%, 8/15/2040 | 1,975 | 2,129 |
1.88%, 2/15/2041 | 1,110 | 871 |
2.25%, 5/15/2041 | 4,785 | 3,993 |
1.75%, 8/15/2041 | 515 | 392 |
2.00%, 11/15/2041 | 205 | 163 |
3.13%, 11/15/2041 | 950 | 912 |
2.38%, 2/15/2042 | 2,510 | 2,128 |
2.75%, 8/15/2042 | 1,800 | 1,615 |
June 30, 2022 | JPMorgan Insurance Trust | 19 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — continued | ||
2.75%, 11/15/2042 | 2,345 | 2,100 |
3.13%, 2/15/2043 | 500 | 475 |
2.88%, 5/15/2043 | 1,590 | 1,450 |
3.63%, 8/15/2043 | 350 | 359 |
3.75%, 11/15/2043 | 514 | 538 |
3.63%, 2/15/2044 | 645 | 662 |
3.38%, 5/15/2044 | 1,000 | 987 |
3.00%, 11/15/2044 | 663 | 614 |
2.50%, 2/15/2045 | 2,000 | 1,696 |
2.88%, 8/15/2045 | 570 | 518 |
3.00%, 11/15/2045 | 1,000 | 929 |
2.25%, 8/15/2046 | 3,104 | 2,503 |
3.00%, 2/15/2047 | 28 | 26 |
3.00%, 2/15/2048 | 90 | 85 |
3.13%, 5/15/2048 | 176 | 171 |
2.88%, 5/15/2049 | 160 | 149 |
2.25%, 8/15/2049 | 1,095 | 898 |
2.38%, 11/15/2049 | 1,365 | 1,153 |
2.00%, 2/15/2050 | 740 | 573 |
1.25%, 5/15/2050 | 197 | 125 |
1.38%, 8/15/2050 | 140 | 92 |
1.63%, 11/15/2050 | 2,240 | 1,575 |
1.88%, 2/15/2051 | 3,839 | 2,880 |
2.38%, 5/15/2051 | 1,100 | 929 |
2.00%, 8/15/2051 | 1,215 | 939 |
1.88%, 11/15/2051 | 5,100 | 3,827 |
2.25%, 2/15/2052 | 2,125 | 1,749 |
2.88%, 5/15/2052 | 750 | 708 |
U.S. Treasury Inflation Indexed Bonds | ||
3.63%, 4/15/2028 | 300 | 626 |
2.50%, 1/15/2029 | 100 | 150 |
U.S. Treasury Notes | ||
1.63%, 8/31/2022 | 1,000 | 1,000 |
1.75%, 9/30/2022 | 150 | 150 |
1.50%, 2/28/2023 | 525 | 521 |
1.75%, 5/15/2023 | 3,079 | 3,049 |
2.75%, 5/31/2023 | 46 | 46 |
2.50%, 8/15/2023 | 600 | 597 |
1.38%, 8/31/2023 | 700 | 687 |
1.63%, 10/31/2023 | 2,000 | 1,965 |
2.13%, 2/29/2024 | 94 | 93 |
2.50%, 5/15/2024 | 30 | 30 |
2.00%, 6/30/2024 | 10 | 10 |
2.25%, 11/15/2024 | 112 | 110 |
1.75%, 12/31/2024 | 2,766 | 2,680 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
2.00%, 2/15/2025 | 1,000 | 974 |
2.88%, 4/30/2025 | 146 | 145 |
2.13%, 5/15/2025 | 575 | 561 |
2.88%, 5/31/2025 | 318 | 317 |
2.00%, 8/15/2025 | 729 | 706 |
2.25%, 11/15/2025 | 610 | 594 |
0.38%, 1/31/2026 | 650 | 591 |
1.63%, 2/15/2026 | 59 | 56 |
0.50%, 2/28/2026 | 4,645 | 4,234 |
2.50%, 2/28/2026 | 160 | 157 |
0.75%, 4/30/2026 | 100 | 92 |
0.88%, 6/30/2026 | 3,965 | 3,640 |
1.50%, 8/15/2026 | 28 | 26 |
0.88%, 9/30/2026 | 180 | 165 |
2.00%, 11/15/2026 | 84 | 80 |
1.75%, 12/31/2026 | 2,082 | 1,969 |
1.50%, 1/31/2027 | 74 | 69 |
2.25%, 2/15/2027 | 293 | 283 |
2.63%, 5/31/2027 | 5,100 | 5,004 |
0.38%, 9/30/2027 | 1,160 | 1,009 |
2.75%, 2/15/2028 | 65 | 64 |
1.25%, 3/31/2028 | 2,475 | 2,236 |
2.88%, 5/15/2028 | 991 | 979 |
1.25%, 6/30/2028 | 3,937 | 3,542 |
2.88%, 4/30/2029 | 6,775 | 6,696 |
1.75%, 11/15/2029 | 265 | 243 |
1.50%, 2/15/2030 | 389 | 349 |
0.63%, 8/15/2030 | 280 | 232 |
0.88%, 11/15/2030 | 2,050 | 1,731 |
1.63%, 5/15/2031 | 805 | 719 |
1.25%, 8/15/2031 | 250 | 215 |
1.38%, 11/15/2031 | 840 | 729 |
1.88%, 2/15/2032 | 2,950 | 2,673 |
U.S. Treasury STRIPS Bonds | ||
3.44%, 8/15/2022 (f) | 75 | 75 |
1.93%, 11/15/2022 (f) | 750 | 745 |
3.25%, 2/15/2023 (f) | 2,690 | 2,652 |
2.80%, 5/15/2023 (f) | 2,420 | 2,367 |
2.38%, 8/15/2023 (f) | 1,890 | 1,834 |
2.81%, 11/15/2023 (f) | 173 | 167 |
1.78%, 2/15/2024 (f) | 327 | 312 |
3.51%, 11/15/2024 (f) | 110 | 103 |
4.12%, 2/15/2025 (f) | 50 | 46 |
5.54%, 5/15/2026 (f) | 100 | 89 |
3.80%, 8/15/2026 (f) | 23 | 20 |
20 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — continued | ||
3.89%, 11/15/2026 (f) | 250 | 219 |
4.59%, 2/15/2027 (f) | 300 | 260 |
3.97%, 5/15/2027 (f) | 725 | 624 |
3.61%, 8/15/2027 (f) | 250 | 214 |
4.33%, 11/15/2027 (f) | 710 | 602 |
3.34%, 2/15/2028 (f) | 27 | 23 |
3.13%, 5/15/2028 (f) | 140 | 117 |
8.49%, 8/15/2028 (f) | 50 | 41 |
4.58%, 2/15/2029 (f) | 658 | 536 |
1.64%, 8/15/2029 (f) | 3,400 | 2,728 |
4.23%, 11/15/2029 (f) | 200 | 159 |
5.24%, 5/15/2030 (f) | 300 | 235 |
4.41%, 8/15/2030 (f) | 300 | 234 |
3.88%, 11/15/2030 (f) | 500 | 386 |
5.07%, 2/15/2031 (f) | 350 | 268 |
4.25%, 5/15/2031 (f) | 275 | 209 |
3.53%, 11/15/2031 (f) | 760 | 568 |
4.17%, 2/15/2032 (f) | 350 | 259 |
4.61%, 11/15/2032 (f) | 800 | 578 |
4.21%, 2/15/2033 (f) | 400 | 286 |
4.25%, 5/15/2033 (f) | 1,175 | 834 |
7.23%, 8/15/2033 (f) | 100 | 70 |
4.78%, 11/15/2033 (f) | 1,025 | 716 |
4.35%, 2/15/2034 (f) | 775 | 536 |
3.58%, 11/15/2034 (f) | 50 | 34 |
3.58%, 2/15/2035 (f) | 65 | 43 |
3.85%, 5/15/2035 (f) | 250 | 166 |
2.47%, 11/15/2041 (f) | 100 | 50 |
Total U.S. Treasury Obligations (Cost $128,453) | 116,124 | |
Mortgage-Backed Securities — 20.0% | ||
FHLMC | ||
Pool # 611141 ARM, 2.35%, 1/1/2027 (g) | 8 | 8 |
Pool # 846812 ARM, 2.48%, 4/1/2030 (g) | 2 | 2 |
Pool # 1B1665 ARM, 2.86%, 4/1/2034 (g) | 8 | 8 |
Pool # 1B2844 ARM, 2.23%, 3/1/2035 (g) | 17 | 17 |
Pool # 1B3209 ARM, 2.04%, 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 | 5 | 5 |
Pool # C01292 6.00%, 2/1/2032 | 3 | 3 |
Pool # A13625 5.50%, 10/1/2033 | 20 | 21 |
Pool # A28796 6.50%, 11/1/2034 | 5 | 6 |
Pool # A46417 7.00%, 4/1/2035 | 28 | 30 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # V83115 4.50%, 3/1/2047 | 399 | 406 |
Pool # Q48338 4.50%, 5/1/2047 | 41 | 42 |
Pool # G61060 4.50%, 6/1/2047 | 688 | 702 |
FHLMC Gold Pools, Other | ||
Pool # P20570 7.00%, 7/1/2029 | 26 | 28 |
Pool # U80265 3.50%, 4/1/2033 | 226 | 224 |
Pool # U90690 3.50%, 6/1/2042 | 197 | 193 |
Pool # U90975 4.00%, 6/1/2042 | 86 | 86 |
Pool # U99134 4.00%, 1/1/2046 | 147 | 148 |
FHLMC UMBS, 30 Year | ||
Pool # RA2008 4.00%, 1/1/2050 | 302 | 301 |
Pool # QB1284 3.50%, 7/1/2050 | 682 | 661 |
Pool # QB1248 4.00%, 7/1/2050 | 700 | 696 |
Pool # RA6702 3.00%, 2/1/2052 | 989 | 922 |
FNMA | ||
Pool # 303532 ARM, 3.85%, 3/1/2029 (g) | — | — |
Pool # 745446 ARM, 2.61%, 4/1/2033 (g) | 11 | 11 |
Pool # 722985 ARM, 3.31%, 7/1/2033 (g) | 12 | 12 |
Pool # 766610 ARM, 1.96%, 1/1/2034 (g) | 11 | 11 |
Pool # 735332 ARM, 2.55%, 8/1/2034 (g) | 18 | 19 |
Pool # 735740 ARM, 2.95%, 10/1/2034 (g) | 10 | 10 |
Pool # 810896 ARM, 2.79%, 1/1/2035 (g) | 41 | 42 |
Pool # 823660 ARM, 3.17%, 5/1/2035 (g) | 22 | 22 |
FNMA UMBS, 15 Year | ||
Pool # 928637 6.00%, 9/1/2022 | — | — |
Pool # 949415 4.50%, 3/1/2023 | 1 | 1 |
Pool # 962871 4.50%, 5/1/2023 | 1 | 1 |
FNMA UMBS, 20 Year | ||
Pool # 555791 6.50%, 12/1/2022 | — | — |
Pool # 762498 5.00%, 11/1/2023 | 14 | 15 |
Pool # 255609 4.50%, 1/1/2025 | 3 | 3 |
Pool # FM1345 4.50%, 11/1/2038 | 569 | 578 |
FNMA UMBS, 30 Year | ||
Pool # 250375 6.50%, 9/1/2025 | — | — |
Pool # 689977 8.00%, 3/1/2027 | 7 | 7 |
Pool # 755973 8.00%, 11/1/2028 | 12 | 13 |
Pool # 252211 6.00%, 1/1/2029 | 1 | 1 |
Pool # 524949 7.50%, 3/1/2030 | 5 | 5 |
Pool # 622534 3.00%, 9/1/2031 | 87 | 81 |
Pool # 788150 6.00%, 3/1/2032 | 11 | 12 |
Pool # 545639 6.50%, 4/1/2032 | 22 | 24 |
Pool # 674349 6.00%, 3/1/2033 | 5 | 5 |
Pool # AD0755 7.00%, 6/1/2035 | 304 | 332 |
Pool # 833039 5.00%, 9/1/2035 | 13 | 14 |
Pool # 745932 6.50%, 11/1/2036 | 28 | 30 |
June 30, 2022 | JPMorgan Insurance Trust | 21 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 944831 5.50%, 2/1/2038 | 4 | 4 |
Pool # 961799 5.50%, 3/1/2038 | 2 | 2 |
Pool # 985558 5.50%, 6/1/2038 | 1 | 1 |
Pool # AL3438 6.50%, 10/1/2038 | 259 | 274 |
Pool # AA4236 4.50%, 4/1/2039 | 112 | 114 |
Pool # 935241 4.50%, 5/1/2039 | 3 | 3 |
Pool # MA2535 4.50%, 2/1/2046 | 148 | 152 |
Pool # BH4683 4.00%, 6/1/2047 | 208 | 209 |
Pool # BH4684 4.00%, 6/1/2047 | 228 | 228 |
Pool # BH4685 4.00%, 6/1/2047 | 184 | 187 |
Pool # BK9030 5.00%, 10/1/2048 | 216 | 222 |
Pool # BM5430 5.00%, 1/1/2049 | 325 | 338 |
Pool # BN5899 5.00%, 2/1/2049 | 79 | 82 |
Pool # BK8745 4.50%, 4/1/2049 | 246 | 248 |
Pool # BN4707 5.00%, 4/1/2049 | 257 | 267 |
Pool # FM1939 4.50%, 5/1/2049 | 190 | 191 |
Pool # CA3713 5.00%, 6/1/2049 | 191 | 196 |
Pool # BN6475 4.00%, 7/1/2049 | 83 | 83 |
Pool # BO2170 4.00%, 7/1/2049 | 215 | 215 |
Pool # BO2305 4.00%, 7/1/2049 | 58 | 59 |
Pool # BK8758 4.50%, 7/1/2049 | 318 | 322 |
Pool # BO5625 3.50%, 8/1/2049 | 649 | 643 |
Pool # BP4357 3.00%, 2/1/2050 | 838 | 806 |
Pool # BU1805 2.50%, 12/1/2051 | 1,382 | 1,249 |
Pool # CB2637 2.50%, 1/1/2052 | 1,048 | 944 |
Pool # CB2670 3.00%, 1/1/2052 | 936 | 873 |
FNMA, 30 Year | ||
Pool # 506427 9.00%, 4/1/2025 | 5 | 5 |
Pool # 535442 8.50%, 6/1/2030 | 1 | 1 |
FNMA, Other | ||
Pool # AM1619 2.34%, 12/1/2022 | 229 | 229 |
Pool # AM3244 2.52%, 5/1/2023 | 1,000 | 998 |
Pool # AM4660 3.77%, 12/1/2025 | 283 | 288 |
Pool # AN0890 2.63%, 3/1/2026 | 461 | 449 |
Pool # AM6381 3.29%, 8/1/2026 | 968 | 965 |
Pool # AM7321 3.12%, 11/1/2026 | 920 | 911 |
Pool # AM7515 3.34%, 2/1/2027 | 1,000 | 1,006 |
Pool # AN1600 2.59%, 6/1/2028 | 834 | 798 |
Pool # AN9686 3.52%, 6/1/2028 | 500 | 501 |
Pool # 109452 3.64%, 8/1/2028 | 948 | 946 |
Pool # 405220 6.00%, 9/1/2028 | 3 | 3 |
Pool # BL1040 3.81%, 12/1/2028 | 300 | 305 |
Pool # BL4435 2.42%, 10/1/2029 | 700 | 651 |
Pool # AN6846 2.93%, 10/1/2029 | 1,100 | 1,058 |
Pool # BL4333 2.52%, 11/1/2029 | 1,070 | 1,003 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # BS0448 1.27%, 12/1/2029 | 1,270 | 1,094 |
Pool # AN9976 3.96%, 2/1/2030 | 1,200 | 1,222 |
Pool # BL6267 2.01%, 4/1/2030 | 1,346 | 1,210 |
Pool # AM8692 3.03%, 4/1/2030 | 650 | 619 |
Pool # AM8544 3.08%, 4/1/2030 | 462 | 445 |
Pool # BL6386 2.02%, 8/1/2030 | 1,059 | 943 |
Pool # BL9251 1.45%, 10/1/2030 | 1,200 | 1,031 |
Pool # AM4789 4.18%, 11/1/2030 | 302 | 308 |
Pool # BL9645 1.50%, 1/1/2031 | 1,100 | 932 |
Pool # BL9627 1.56%, 1/1/2031 | 1,300 | 1,107 |
Pool # BS4313 1.98%, 1/1/2032 | 1,985 | 1,741 |
Pool # BS5907 3.54%, 6/1/2032 | 1,386 | 1,379 |
Pool # 754922 5.50%, 9/1/2033 | 21 | 22 |
Pool # 847108 6.50%, 10/1/2035 | 53 | 54 |
Pool # AL9678 4.00%, 2/1/2036 | 574 | 559 |
Pool # AN1330 3.19%, 3/1/2036 | 971 | 934 |
Pool # 257172 5.50%, 4/1/2038 | 2 | 2 |
Pool # AO9352 4.00%, 7/1/2042 | 117 | 117 |
Pool # MA1125 4.00%, 7/1/2042 | 131 | 132 |
Pool # MA1178 4.00%, 9/1/2042 | 71 | 71 |
Pool # MA1437 3.50%, 5/1/2043 | 234 | 229 |
Pool # AL6167 3.50%, 1/1/2044 | 257 | 252 |
Pool # MA2545 3.50%, 2/1/2046 | 442 | 432 |
Pool # MA2793 3.50%, 10/1/2046 | 181 | 178 |
Pool # BF0230 5.50%, 1/1/2058 | 1,343 | 1,474 |
Pool # BF0464 3.50%, 3/1/2060 | 879 | 853 |
Pool # BF0497 3.00%, 7/1/2060 | 751 | 707 |
Pool # BF0546 2.50%, 7/1/2061 | 1,053 | 939 |
Pool # BF0560 2.50%, 9/1/2061 (h) | 1,289 | 1,143 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 3.50%, 7/25/2052 (h) | 9,460 | 9,098 |
TBA, 4.00%, 7/25/2052 (h) | 7,960 | 7,849 |
TBA, 4.50%, 7/25/2052 (h) | 2,150 | 2,158 |
GNMA I, 30 Year | ||
Pool # 326977 7.50%, 5/15/2023 | — | — |
Pool # 405535 7.00%, 12/15/2025 | — | — |
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 | 2 | 2 |
Pool # 486537 7.50%, 9/15/2028 | 1 | 2 |
Pool # 781614 7.00%, 6/15/2033 | 4 | 4 |
Pool # 617653 6.00%, 5/15/2037 | 27 | 29 |
Pool # 678574 5.50%, 6/15/2038 | 553 | 605 |
22 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 681554 5.50%, 7/15/2038 | 519 | 569 |
Pool # 678169 5.50%, 9/15/2038 | 330 | 371 |
Pool # 681568 5.50%, 9/15/2038 | 547 | 614 |
Pool # 694458 6.00%, 10/15/2038 | 4 | 5 |
Pool # 782510 6.50%, 12/15/2038 | 13 | 14 |
GNMA II | ||
Pool # CE5524 ARM, 3.89%, 8/20/2071 (g) | 1,025 | 1,069 |
Pool # CK2783 ARM, 3.72%, 2/20/2072 (g) | 1,187 | 1,231 |
Pool # CK2799 ARM, 3.73%, 3/20/2072 (g) | 986 | 1,024 |
Pool # CK2805 ARM, 3.70%, 4/20/2072 (g) | 1,195 | 1,239 |
Pool # CK2810 ARM, 3.71%, 4/20/2072 (g) | 1,097 | 1,137 |
GNMA II, 30 Year | ||
Pool # 2006 8.50%, 5/20/2025 | — | — |
Pool # 2324 8.00%, 11/20/2026 | 8 | 9 |
Pool # 2341 7.50%, 12/20/2026 | — | — |
Pool # 2362 8.00%, 1/20/2027 | 1 | 1 |
Pool # BJ9823 3.75%, 4/20/2048 | 1,462 | 1,462 |
Pool # BP4337 4.50%, 9/20/2049 | 542 | 566 |
Pool # BP5551 4.50%, 9/20/2049 | 435 | 453 |
Pool # BR0553 4.50%, 2/20/2050 | 383 | 395 |
Pool # BS7393 4.00%, 3/20/2050 | 591 | 591 |
Pool # BT8093 3.50%, 4/20/2050 | 1,032 | 1,028 |
Pool # BS7411 4.00%, 4/20/2050 | 709 | 711 |
Pool # BT4341 3.00%, 7/20/2050 | 1,160 | 1,096 |
Pool # MA7534 2.50%, 8/20/2051 | 9,935 | 9,110 |
Pool # MA7649 2.50%, 10/20/2051 | 2,432 | 2,234 |
Pool # CK2698 3.00%, 2/20/2052 | 350 | 323 |
Pool # CL1821 3.50%, 2/20/2052 | 795 | 772 |
Pool # CK1634 4.00%, 2/20/2052 | 994 | 996 |
Pool # CM2161 3.00%, 3/20/2052 | 604 | 559 |
Pool # CM2213 3.00%, 3/20/2052 | 119 | 110 |
Pool # CN3556 4.50%, 5/20/2052 | 949 | 983 |
GNMA II, Other Pool # AD0018 3.75%, 12/20/2032 | 83 | 84 |
Total Mortgage-Backed Securities (Cost $97,832) | 92,434 | |
Asset-Backed Securities — 12.8% | ||
ACC Trust Series 2022-1, Class B, 2.55%, 2/20/2025 (a) | 1,000 | 963 |
Air Canada Pass-Through Trust (Canada) | ||
Series 2013-1, Class A, 4.13%, 5/15/2025 (a) | 90 | 84 |
Series 2015-1, Class A, 3.60%, 3/15/2027 (a) | 70 | 66 |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | 213 | 194 |
Series 2017-1, Class A, 3.55%, 1/15/2030 (a) | 152 | 134 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
American Airlines Pass-Through Trust | ||
Series 2014-1, Class A, 3.70%, 10/1/2026 | 30 | 26 |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 177 | 160 |
Series 2017-1, Class AA, 3.65%, 2/15/2029 | 122 | 114 |
American Homes 4 Rent Trust | ||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (a) | 389 | 386 |
Series 2014-SFR2, Class C, 4.71%, 10/17/2036 ‡ (a) | 200 | 201 |
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (a) | 215 | 213 |
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (a) | 200 | 205 |
Series 2015-SFR1, Class D, 4.41%, 4/17/2052 ‡ (a) | 380 | 375 |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a) | 100 | 101 |
Series 2015-SFR2, Class C, 4.69%, 10/17/2052 (a) | 200 | 198 |
American Tower Trust #1 | ||
3.07%, 3/15/2023 (a) | 80 | 80 |
3.65%, 3/23/2028 (a) | 160 | 158 |
AMSR Trust | ||
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a) | 850 | 806 |
Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (a) | 1,000 | 940 |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (a) | 750 | 684 |
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (a) | 1,000 | 917 |
Avid Automobile Receivables Trust Series 2021-1, Class C, 1.55%, 5/15/2026 (a) | 1,210 | 1,125 |
British Airways Pass-Through Trust (United Kingdom) | ||
Series 2018-1, Class AA, 3.80%, 9/20/2031 (a) | 65 | 62 |
Series 2018-1, Class A, 4.13%, 9/20/2031 (a) | 88 | 79 |
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a) | 137 | 122 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 (a) | 669 | 614 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | 739 | 668 |
BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 ‡ (a) | 953 | 935 |
June 30, 2022 | JPMorgan Insurance Trust | 23 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡ | 349 | 349 |
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a) | 159 | 146 |
Carvana Auto Receivables Trust | ||
Series 2019-2A, Class C, 3.00%, 6/17/2024 (a) | 105 | 105 |
Series 2019-3A, Class C, 2.71%, 10/15/2024 (a) | 492 | 492 |
Series 2019-4A, Class D, 3.07%, 7/15/2025 (a) | 940 | 930 |
Series 2020-N1A, Class D, 3.43%, 1/15/2026 (a) | 1,000 | 988 |
CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (a) | 1,000 | 985 |
CIG Auto Receivables Trust Series 2020-1A, Class C, 1.75%, 1/12/2026 (a) | 1,000 | 985 |
Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 4.52%, 3/24/2023 (a) (g) | 1,508 | 1,486 |
CoreVest American Finance Trust | ||
Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (a) | 500 | 449 |
Series 2019-3, Class B, 3.16%, 10/15/2052 ‡ (a) | 700 | 625 |
Series 2020-3, Class B, 2.20%, 8/15/2053 ‡ (a) | 810 | 659 |
Credit Acceptance Auto Loan Trust Series 2020-1A, Class B, 2.39%, 4/16/2029 (a) | 645 | 634 |
Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (a) | 346 | 336 |
Crown Castle Towers LLC, 3.66%, 5/15/2025 (a) | 60 | 59 |
CWABS, Inc. Asset-Backed Certificates | ||
Series 2004-1, Class M1, 2.37%, 3/25/2034 ‡ (g) | 6 | 5 |
Series 2004-1, Class M2, 2.45%, 3/25/2034 ‡ (g) | 5 | 5 |
Series 2004-1, Class 3A, 2.18%, 4/25/2034 ‡ (g) | 1 | 1 |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | 650 | 588 |
Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 | 287 | 271 |
Diversified Abs Phase III LLC, 4.88%, 4/28/2039 ‡ | 1,359 | 1,319 |
Drive Auto Receivables Trust | ||
Series 2019-4, Class C, 2.51%, 11/17/2025 | 97 | 97 |
Series 2019-1, Class D, 4.09%, 6/15/2026 | 119 | 120 |
Series 2020-2, Class D, 3.05%, 5/15/2028 | 1,000 | 988 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
DT Auto Owner Trust | ||
Series 2019-4A, Class C, 2.73%, 7/15/2025 (a) | 282 | 282 |
Series 2020-2A, Class B, 2.08%, 3/16/2026 (a) | 407 | 407 |
Exeter Automobile Receivables Trust | ||
Series 2019-4A, Class C, 2.44%, 9/16/2024 (a) | 84 | 84 |
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) | 590 | 586 |
Series 2019-4A, Class D, 2.58%, 9/15/2025 (a) | 1,315 | 1,299 |
FirstKey Homes Trust | ||
Series 2020-SFR1, Class D, 2.24%, 8/17/2037 ‡ (a) | 800 | 740 |
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 ‡ (a) | 500 | 459 |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | 850 | 776 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | 1,200 | 1,042 |
Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 (a) | 900 | 815 |
FMC GMSR Issuer Trust | ||
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (g) | 1,500 | 1,390 |
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (g) | 1,000 | 905 |
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (g) | 850 | 759 |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 427 | 415 |
Foundation Finance Trust Series 2020-1A, Class A, 3.54%, 7/16/2040 (a) | 375 | 370 |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 (a) (h) | 860 | 860 |
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a) | 3 | 3 |
Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (a) | 277 | 251 |
Goodgreen Trust | ||
Series 2017-1A, Class A, 3.74%, 10/15/2052 (a) | 37 | 35 |
Series 2017-2A, Class A, 3.26%, 10/15/2053 (a) | 154 | 142 |
HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (a) | 1 | 1 |
24 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a) | 109 | 105 |
HERO Funding Trust | ||
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a) | 26 | 26 |
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a) | 80 | 79 |
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (a) | 39 | 39 |
Lendmark Funding Trust Series 2022-1A, Class C, 6.60%, 7/20/2032 (a) | 1,200 | 1,207 |
Long Beach Mortgage Loan Trust | ||
Series 2003-4, Class M1, 2.64%, 8/25/2033 ‡ (g) | 7 | 7 |
Series 2004-1, Class M1, 2.37%, 2/25/2034 ‡ (g) | 29 | 28 |
Mariner Finance Issuance Trust Series 2019-AA, Class A, 2.96%, 7/20/2032 (a) | 925 | 918 |
Marlette Funding Trust Series 2021-3A, Class C, 1.81%, 12/15/2031 (a) | 1,400 | 1,245 |
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (a) | 560 | 533 |
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (a) | 317 | 297 |
MVW Owner Trust Series 2019-1A, Class A, 2.89%, 11/20/2036 (a) | 78 | 75 |
New Century Home Equity Loan Trust Series 2005-1, Class M1, 2.30%, 3/25/2035 ‡ (g) | 31 | 30 |
NMEF Funding LLC Series 2019-A, Class B, 3.06%, 8/17/2026 ‡ (a) | 378 | 377 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) | 659 | 625 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | 1,428 | 1,301 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 896 | 835 |
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (a) | 560 | 557 |
Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (a) | 836 | 818 |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 5.18%, 5/25/2027 (a) (g) | 850 | 849 |
PRET LLC | ||
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (a) (c) | 862 | 806 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (g) | 1,482 | 1,411 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (a) (c) | 906 | 858 |
Progress Residential Trust | ||
Series 2022-SFR2, Class A, 2.95%, 4/17/2027 | 550 | 513 |
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 | 700 | 643 |
Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (a) | 800 | 776 |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 ‡ (a) | 900 | 836 |
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (a) | 37 | 35 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2019-3A, Class C, 3.00%, 8/20/2036 ‡ (a) | 246 | 235 |
Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | 303 | 287 |
Small Business Lending Trust Series 2020-A, Class B, 3.20%, 12/15/2026 ‡ (a) | 598 | 597 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 48 | 43 |
Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (a) | 133 | 133 |
Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 ‡ (a) | 459 | 441 |
United Airlines Pass-Through Trust | ||
Series 2012-1, Class A, 4.15%, 4/11/2024 | 111 | 109 |
Series 2013-1, Class A, 4.30%, 8/15/2025 | 126 | 120 |
Series 2016-1, Class B, 3.65%, 1/7/2026 | 41 | 37 |
Series 2018-1, Class B, 4.60%, 3/1/2026 | 95 | 87 |
Series 2014-1, Class A, 4.00%, 4/11/2026 | 46 | 43 |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 76 | 69 |
Series 2016-2, Class A, 3.10%, 10/7/2028 | 244 | 208 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 338 | 298 |
Series 2019-1, Class AA, 4.15%, 8/25/2031 | 223 | 209 |
Series 2019-2, Class AA, 2.70%, 5/1/2032 | 202 | 172 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 ‡ (a) (c) | 561 | 533 |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (c) | 372 | 353 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (a) (c) | 1,291 | 1,223 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 ‡ (a) (c) | 883 | 839 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 ‡ (a) (c) | 470 | 443 |
June 30, 2022 | JPMorgan Insurance Trust | 25 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (c) | 558 | 532 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (c) | 709 | 676 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 ‡ (a) (c) | 724 | 688 |
Westgate Resorts LLC Series 2020-1A, Class B, 3.96%, 3/20/2034 ‡ (a) | 313 | 309 |
Total Asset-Backed Securities (Cost $62,223) | 59,366 | |
Collateralized Mortgage Obligations — 6.6% | ||
Alternative Loan Trust | ||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | 451 | 453 |
Series 2005-22T1, Class A2, IF, IO, 3.45%, 6/25/2035 ‡ (g) | 280 | 23 |
Series 2005-20CB, Class 3A8, IF, IO, 3.13%, 7/25/2035 ‡ (g) | 143 | 9 |
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | 185 | 170 |
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 69 | 58 |
Banc of America Alternative Loan Trust Series 2004-6, Class 15, PO, 7/25/2019 ‡ | 1 | 1 |
Banc of America Funding Trust | ||
Series 2004-1, PO, 3/25/2034 ‡ | 8 | 6 |
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 57 | 51 |
Series 2005-7, Class 30, PO, 11/25/2035 ‡ | 8 | 8 |
Bayview Financing Trust Series 2020-3F, Class A, 3.08%, 11/10/2022 ‡ (a) (g) | 385 | 384 |
Bear Stearns ARM Trust | ||
Series 2003-7, Class 3A, 3.15%, 10/25/2033 (g) | 5 | 5 |
Series 2006-1, Class A1, 2.40%, 2/25/2036 (g) | 28 | 28 |
CHL Mortgage Pass-Through Trust | ||
Series 2004-HYB1, Class 2A, 2.81%, 5/20/2034 (g) | 7 | 7 |
Series 2004-HYB3, Class 2A, 2.68%, 6/20/2034 (g) | 10 | 9 |
Series 2004-7, Class 2A1, 3.09%, 6/25/2034 (g) | 13 | 12 |
Series 2005-16, Class A23, 5.50%, 9/25/2035 | 27 | 21 |
Series 2005-22, Class 2A1, 2.49%, 11/25/2035 (g) | 65 | 58 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Citigroup Global Markets Mortgage Securities VII, Inc. | ||
Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ | — | — |
Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (g) | 4 | 4 |
Citigroup Mortgage Loan Trust, Inc. | ||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 1 | 1 |
Series 2005-1, Class 2A1A, 2.24%, 2/25/2035 (g) | 36 | 31 |
CSMC Trust | ||
Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (g) | 1,440 | 1,362 |
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (c) | 876 | 863 |
CVS Pass-Through Trust Series 2009, 8.35%, 7/10/2031 (a) | 62 | 71 |
FHLMC - GNMA Series 8, Class ZA, 7.00%, 3/25/2023 | 1 | 1 |
FHLMC, REMIC | ||
Series 1324, Class Z, 7.00%, 7/15/2022 | — | — |
Series 1343, Class LB, 7.50%, 8/15/2022 | — | — |
Series 1343, Class LA, 8.00%, 8/15/2022 | — | — |
Series 1395, Class G, 6.00%, 10/15/2022 | — | — |
Series 1394, Class ID, IF, 9.57%, 10/15/2022 (g) | — | — |
Series 2535, Class BK, 5.50%, 12/15/2022 | — | — |
Series 1798, Class F, 5.00%, 5/15/2023 | 1 | 1 |
Series 1505, Class Q, 7.00%, 5/15/2023 | — | — |
Series 1518, Class G, IF, 7.65%, 5/15/2023 (g) | — | — |
Series 1541, Class O, 2.31%, 7/15/2023 (g) | — | — |
Series 2638, Class DS, IF, 7.28%, 7/15/2023 (g) | 2 | 2 |
Series 1577, Class PV, 6.50%, 9/15/2023 | 12 | 13 |
Series 1584, Class L, 6.50%, 9/15/2023 | 7 | 7 |
Series 1633, Class Z, 6.50%, 12/15/2023 | 8 | 8 |
Series 1638, Class H, 6.50%, 12/15/2023 | 12 | 12 |
Series 2283, Class K, 6.50%, 12/15/2023 | 1 | 1 |
Series 1865, Class D, PO, 2/15/2024 | 1 | 1 |
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (g) | 1 | 1 |
Series 1694, Class PK, 6.50%, 3/15/2024 | 1 | 1 |
Series 2033, Class SN, HB, IF, 30.38%, 3/15/2024 (g) | — | — |
Series 2306, Class K, PO, 5/15/2024 | — | — |
Series 2306, Class SE, IF, IO, 7.73%, 5/15/2024 (g) | 1 | — |
Series 1863, Class Z, 6.50%, 7/15/2026 | 3 | 3 |
26 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 1981, Class Z, 6.00%, 5/15/2027 | 3 | 3 |
Series 1987, Class PE, 7.50%, 9/15/2027 | 4 | 5 |
Series 1999, Class PU, 7.00%, 10/15/2027 | 12 | 13 |
Series 2031, Class PG, 7.00%, 2/15/2028 | 24 | 25 |
Series 2035, Class PC, 6.95%, 3/15/2028 | 25 | 27 |
Series 2038, Class PN, IO, 7.00%, 3/15/2028 | 2 | — |
Series 2057, Class PE, 6.75%, 5/15/2028 | 37 | 39 |
Series 2054, Class PV, 7.50%, 5/15/2028 | 5 | 5 |
Series 2064, Class TE, 7.00%, 6/15/2028 | 7 | 7 |
Series 2075, Class PH, 6.50%, 8/15/2028 | 6 | 6 |
Series 2095, Class PE, 6.00%, 11/15/2028 | 17 | 17 |
Series 2132, Class SB, HB, IF, 25.95%, 3/15/2029 (g) | 1 | 1 |
Series 2178, Class PB, 7.00%, 8/15/2029 | 10 | 10 |
Series 2182, Class ZB, 8.00%, 9/15/2029 | 17 | 18 |
Series 2204, Class GB, 8.00%, 12/20/2029 (g) | — | — |
Series 2247, Class Z, 7.50%, 8/15/2030 | 4 | 5 |
Series 2259, Class ZC, 7.35%, 10/15/2030 | 92 | 102 |
Series 2325, Class PM, 7.00%, 6/15/2031 | 2 | 2 |
Series 2359, Class ZB, 8.50%, 6/15/2031 | 12 | 14 |
Series 2344, Class ZD, 6.50%, 8/15/2031 | 22 | 24 |
Series 2344, Class ZJ, 6.50%, 8/15/2031 | 4 | 5 |
Series 2345, Class NE, 6.50%, 8/15/2031 | 2 | 2 |
Series 2367, Class ME, 6.50%, 10/15/2031 | 39 | 42 |
Series 2390, Class DO, PO, 12/15/2031 | 3 | 3 |
Series 2410, Class OE, 6.38%, 2/15/2032 | 3 | 3 |
Series 2410, Class QX, IF, IO, 7.33%, 2/15/2032 (g) | 7 | 1 |
Series 2412, Class SP, IF, 13.45%, 2/15/2032 (g) | 6 | 6 |
Series 2410, Class QS, IF, 16.06%, 2/15/2032 (g) | 6 | 7 |
Series 2444, Class ES, IF, IO, 6.63%, 3/15/2032 (g) | 8 | 1 |
Series 2450, Class SW, IF, IO, 6.68%, 3/15/2032 (g) | 5 | 1 |
Series 2423, Class MC, 7.00%, 3/15/2032 | 13 | 15 |
Series 2423, Class MT, 7.00%, 3/15/2032 | 21 | 23 |
Series 2647, Class A, 3.25%, 4/15/2032 | 23 | 23 |
Series 2435, Class CJ, 6.50%, 4/15/2032 | 45 | 48 |
Series 2455, Class GK, 6.50%, 5/15/2032 | 14 | 15 |
Series 2484, Class LZ, 6.50%, 7/15/2032 | 10 | 11 |
Series 2500, Class MC, 6.00%, 9/15/2032 | 32 | 35 |
Series 2543, Class YX, 6.00%, 12/15/2032 | 428 | 457 |
Series 2544, Class HC, 6.00%, 12/15/2032 | 22 | 24 |
Series 2574, Class PE, 5.50%, 2/15/2033 | 127 | 135 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2575, Class ME, 6.00%, 2/15/2033 | 61 | 65 |
Series 2586, Class WI, IO, 6.50%, 3/15/2033 | 4 | 1 |
Series 2764, Class UG, 5.00%, 3/15/2034 | 120 | 125 |
Series 2949, Class GE, 5.50%, 3/15/2035 | 140 | 150 |
Series 3047, Class OD, 5.50%, 10/15/2035 | 163 | 170 |
Series 3085, Class VS, HB, IF, 23.42%, 12/15/2035 (g) | 35 | 43 |
Series 3098, Class KG, 5.50%, 1/15/2036 | 115 | 121 |
Series 3117, Class EO, PO, 2/15/2036 | 11 | 10 |
Series 3260, Class CS, IF, IO, 4.82%, 1/15/2037 (g) | 11 | 1 |
Series 3380, Class SI, IF, IO, 5.05%, 10/15/2037 (g) | 659 | 100 |
Series 3385, Class SN, IF, IO, 4.68%, 11/15/2037 (g) | 7 | 1 |
Series 3387, Class SA, IF, IO, 5.10%, 11/15/2037 (g) | 27 | 3 |
Series 3423, Class PB, 5.50%, 3/15/2038 | 130 | 140 |
Series 3451, Class SA, IF, IO, 4.73%, 5/15/2038 (g) | 4 | — |
Series 3455, Class SE, IF, IO, 4.88%, 6/15/2038 (g) | 85 | 9 |
Series 3786, Class PD, 4.50%, 1/15/2041 | 407 | 411 |
FHLMC, STRIPS | ||
Series 233, Class 11, IO, 5.00%, 9/15/2035 | 20 | 4 |
Series 239, Class S30, IF, IO, 6.38%, 8/15/2036 (g) | 22 | 4 |
Series 262, Class 35, 3.50%, 7/15/2042 | 104 | 102 |
Series 299, Class 300, 3.00%, 1/15/2043 | 67 | 64 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-41, Class 3A, 4.49%, 7/25/2032 (g) | 7 | 7 |
Series T-54, Class 2A, 6.50%, 2/25/2043 | 51 | 56 |
Series T-54, Class 3A, 7.00%, 2/25/2043 | 22 | 24 |
Series T-56, Class A, PO, 5/25/2043 | 139 | 135 |
Series T-58, Class A, PO, 9/25/2043 | 9 | 7 |
First Horizon Alternative Mortgage Securities Trust Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | 55 | 33 |
FMC GMSR Issuer Trust, 3.69%, 2/25/2024 (a) | 1,765 | 1,739 |
FNMA Trust, Whole Loan Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 9 | 9 |
FNMA, REMIC | ||
Series 1996-59, Class J, 6.50%, 8/25/2022 | — | — |
Series 1992-143, Class MA, 5.50%, 9/25/2022 | — | — |
Series G92-61, Class Z, 7.00%, 10/25/2022 | — | — |
Series G92-66, Class KA, 6.00%, 12/25/2022 | — | — |
June 30, 2022 | JPMorgan Insurance Trust | 27 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series G92-66, Class KB, 7.00%, 12/25/2022 | — | — |
Series G93-1, Class KA, 7.90%, 1/25/2023 | — | — |
Series 1997-61, Class ZC, 7.00%, 2/25/2023 | 1 | 1 |
Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (g) | — | — |
Series 1998-43, Class SA, IF, IO, 15.53%, 4/25/2023 (g) | 1 | — |
Series 1993-146, Class E, PO, 5/25/2023 | 1 | 1 |
Series 1993-84, Class M, 7.50%, 6/25/2023 | 38 | 39 |
Series 1993-205, Class H, PO, 9/25/2023 | — | — |
Series 1993-155, Class PJ, 7.00%, 9/25/2023 | 3 | 3 |
Series 1993-165, Class SD, IF, 9.45%, 9/25/2023 (g) | — | — |
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (g) | — | — |
Series 1993-203, Class PL, 6.50%, 10/25/2023 | 4 | 4 |
Series 1995-19, Class Z, 6.50%, 11/25/2023 | 5 | 5 |
Series 1993-230, Class FA, 1.61%, 12/25/2023 (g) | — | — |
Series 1993-223, Class PZ, 6.50%, 12/25/2023 | 8 | 8 |
Series 1993-225, Class UB, 6.50%, 12/25/2023 | 5 | 5 |
Series 2003-128, Class DY, 4.50%, 1/25/2024 | 44 | 44 |
Series 1994-37, Class L, 6.50%, 3/25/2024 | 10 | 10 |
Series 1994-72, Class K, 6.00%, 4/25/2024 | 81 | 82 |
Series 1995-2, Class Z, 8.50%, 1/25/2025 | 1 | 1 |
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (g) | 3 | — |
Series 1997-39, Class PD, 7.50%, 5/20/2027 | 3 | 3 |
Series 1997-46, Class PL, 6.00%, 7/18/2027 | 5 | 5 |
Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 2 | 2 |
Series 1998-46, Class GZ, 6.50%, 8/18/2028 | 6 | 7 |
Series 1998-58, Class PC, 6.50%, 10/25/2028 | 15 | 16 |
Series 2014-15, Class JI, IO, 3.50%, 4/25/2029 | 2,690 | 216 |
Series 1999-39, Class JH, IO, 6.50%, 8/25/2029 | 31 | 2 |
Series 2000-52, IO, 8.50%, 1/25/2031 | 1 | — |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 43 | 5 |
Series 2001-30, Class PM, 7.00%, 7/25/2031 | 12 | 13 |
Series 2001-36, Class DE, 7.00%, 8/25/2031 | 19 | 21 |
Series 2001-44, Class PD, 7.00%, 9/25/2031 | 2 | 2 |
Series 2001-61, Class Z, 7.00%, 11/25/2031 | 34 | 37 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2002-1, Class SA, IF, 19.91%, 2/25/2032 (g) | 1 | 1 |
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (g) | 30 | 1 |
Series 2002-15, PO, 4/25/2032 | 29 | 27 |
Series 2002-28, Class PK, 6.50%, 5/25/2032 | 13 | 14 |
Series 2002-68, Class SH, IF, IO, 6.40%, 10/18/2032 (g) | 28 | 2 |
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (g) | 16 | 17 |
Series 2002-77, Class S, IF, 11.51%, 12/25/2032 (g) | 3 | 3 |
Series 2003-22, Class UD, 4.00%, 4/25/2033 | 71 | 71 |
Series 2003-47, Class PE, 5.75%, 6/25/2033 | 13 | 13 |
Series 2003-44, Class IU, IO, 7.00%, 6/25/2033 | 16 | 3 |
Series 2004-4, Class QM, IF, 10.95%, 6/25/2033 (g) | 1 | 1 |
Series 2003-64, Class SX, IF, 11.10%, 7/25/2033 (g) | 2 | 2 |
Series 2003-132, Class OA, PO, 8/25/2033 | 2 | 2 |
Series 2003-71, Class DS, IF, 6.05%, 8/25/2033 (g) | 19 | 18 |
Series 2003-91, Class SD, IF, 9.79%, 9/25/2033 (g) | 4 | 4 |
Series 2003-116, Class SB, IF, IO, 5.98%, 11/25/2033 (g) | 37 | 4 |
Series 2003-131, Class CH, 5.50%, 1/25/2034 | 41 | 43 |
Series 2003-130, Class SX, IF, 9.08%, 1/25/2034 (g) | 1 | 1 |
Series 2004-35, Class AZ, 4.50%, 5/25/2034 | 59 | 61 |
Series 2004-46, Class SK, IF, 12.04%, 5/25/2034 (g) | 11 | 12 |
Series 2004-36, Class SA, IF, 15.06%, 5/25/2034 (g) | 28 | 32 |
Series 2004-51, Class SY, IF, 10.99%, 7/25/2034 (g) | 2 | 2 |
Series 2004-79, Class ZE, 5.50%, 11/25/2034 | 338 | 358 |
Series 2004-91, Class HC, 6.00%, 12/25/2034 | 542 | 565 |
Series 2005-45, Class DC, IF, 18.36%, 6/25/2035 (g) | 40 | 46 |
Series 2005-84, Class XM, 5.75%, 10/25/2035 | 26 | 27 |
Series 2006-22, Class AO, PO, 4/25/2036 | 18 | 15 |
Series 2006-46, Class SW, IF, 18.25%, 6/25/2036 (g) | 5 | 7 |
Series 2007-7, Class SG, IF, IO, 4.88%, 8/25/2036 (g) | 42 | 7 |
Series 2006-110, PO, 11/25/2036 | 14 | 12 |
28 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2006-117, Class GS, IF, IO, 5.03%, 12/25/2036 (g) | 23 | 2 |
Series 2007-53, Class SH, IF, IO, 4.48%, 6/25/2037 (g) | 30 | 4 |
Series 2007-88, Class VI, IF, IO, 4.92%, 9/25/2037 (g) | 51 | 7 |
Series 2007-100, Class SM, IF, IO, 4.83%, 10/25/2037 (g) | 27 | 4 |
Series 2008-1, Class BI, IF, IO, 4.29%, 2/25/2038 (g) | 26 | 3 |
Series 2008-16, Class IS, IF, IO, 4.58%, 3/25/2038 (g) | 7 | 1 |
Series 2008-46, Class HI, IO, 0.79%, 6/25/2038 (g) | 16 | 1 |
Series 2008-53, Class CI, IF, IO, 5.58%, 7/25/2038 (g) | 10 | 1 |
Series 2009-112, Class ST, IF, IO, 4.63%, 1/25/2040 (g) | 25 | 3 |
Series 2010-35, Class SB, IF, IO, 4.80%, 4/25/2040 (g) | 10 | 1 |
Series 2010-80, Class PZ, 5.00%, 7/25/2040 | 364 | 382 |
Series 2010-102, Class PN, 5.00%, 9/25/2040 | 502 | 520 |
Series 2010-134, Class KZ, 4.50%, 12/25/2040 | 214 | 215 |
Series 2012-30, Class DZ, 4.00%, 4/25/2042 | 177 | 177 |
Series 2013-67, Class KZ, 2.50%, 4/25/2043 | 876 | 765 |
Series 2013-128, PO, 12/25/2043 | 86 | 71 |
Series 2014-38, Class QI, IO, 5.50%, 12/25/2043 | 330 | 59 |
Series 2014-19, Class Z, 4.50%, 4/25/2044 | 536 | 552 |
Series 2016-38, Class NA, 3.00%, 1/25/2046 | 99 | 97 |
FNMA, REMIC Trust, Whole Loan | ||
Series 1999-W1, PO, 2/25/2029 | 12 | 10 |
Series 1999-W4, Class A9, 6.25%, 2/25/2029 | 43 | 45 |
Series 2002-W7, Class A4, 6.00%, 6/25/2029 | 113 | 115 |
Series 2003-W1, Class 1A1, 4.90%, 12/25/2042 (g) | 125 | 124 |
Series 2003-W1, Class 2A, 5.35%, 12/25/2042 (g) | 18 | 19 |
FNMA, REMIC, Whole Loan Series 2003-7, Class A1, 6.50%, 12/25/2042 | 91 | 97 |
FNMA, STRIPS | ||
Series 329, Class 1, PO, 1/25/2033 | 2 | 2 |
Series 365, Class 8, IO, 5.50%, 5/25/2036 | 9 | 2 |
Freedom Frn Series 2021-SAVF1, 0.00%, 3/25/2023 | 1,020 | 1,015 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.18%, 6/19/2035 (g) | 47 | 44 |
GNMA | ||
Series 2001-10, Class PE, 6.50%, 3/16/2031 | 204 | 204 |
Series 2003-24, PO, 3/16/2033 | 1 | 1 |
Series 2004-28, Class S, IF, 15.51%, 4/16/2034 (g) | 9 | 11 |
Series 2006-38, Class OH, 6.50%, 8/20/2036 | 500 | 529 |
Series 2007-45, Class QA, IF, IO, 5.04%, 7/20/2037 (g) | 39 | 3 |
Series 2009-79, Class OK, PO, 11/16/2037 | 21 | 19 |
Series 2007-76, Class SA, IF, IO, 4.93%, 11/20/2037 (g) | 31 | 2 |
Series 2008-2, Class MS, IF, IO, 5.65%, 1/16/2038 (g) | 28 | 2 |
Series 2015-137, Class WA, 5.55%, 1/20/2038 (g) | 174 | 187 |
Series 2009-106, Class ST, IF, IO, 4.40%, 2/20/2038 (g) | 98 | 8 |
Series 2008-55, Class SA, IF, IO, 4.60%, 6/20/2038 (g) | 18 | 1 |
Series 2009-6, Class SA, IF, IO, 4.59%, 2/16/2039 (g) | 10 | — |
Series 2009-6, Class SH, IF, IO, 4.44%, 2/20/2039 (g) | 35 | 1 |
Series 2009-31, Class TS, IF, IO, 4.70%, 3/20/2039 (g) | 28 | 1 |
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | 28 | 4 |
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 21 | 4 |
Series 2009-22, Class SA, IF, IO, 4.67%, 4/20/2039 (g) | 47 | 4 |
Series 2009-64, Class SN, IF, IO, 4.59%, 7/16/2039 (g) | 36 | 3 |
Series 2009-104, Class KB, 5.50%, 11/16/2039 | 236 | 257 |
Series 2010-130, Class CP, 7.00%, 10/16/2040 | 31 | 34 |
Series 2011-75, Class SM, IF, IO, 5.00%, 5/20/2041 (g) | 61 | 5 |
Series 2013-69, Class MA, 1.50%, 8/20/2042 | 208 | 193 |
Series 2016-135, Class Z, 3.00%, 10/20/2046 | 237 | 218 |
Series 2020-30, Class PT, 4.77%, 3/20/2048 (g) | 755 | 776 |
Series 2011-H19, Class FA, 1.27%, 8/20/2061 (g) | 282 | 280 |
June 30, 2022 | JPMorgan Insurance Trust | 29 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2012-H23, Class SA, 1.33%, 10/20/2062 (g) | 418 | 417 |
Series 2013-H08, Class FC, 1.25%, 2/20/2063 (g) | 271 | 268 |
Series 2013-H09, Class HA, 1.65%, 4/20/2063 | 3 | 3 |
Series 2014-H17, Class FC, 1.30%, 7/20/2064 (g) | 187 | 185 |
Series 2015-H16, Class FG, 1.24%, 7/20/2065 (g) | 425 | 420 |
Series 2015-H30, Class FE, 1.40%, 11/20/2065 (g) | 555 | 550 |
Series 2016-H11, Class FD, 2.57%, 5/20/2066 (g) | 130 | 128 |
Series 2016-H26, Class FC, 1.80%, 12/20/2066 (g) | 100 | 100 |
Series 2017-H14, Class FV, 1.30%, 6/20/2067 (g) | 275 | 272 |
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡ | 192 | 175 |
GSR Mortgage Loan Trust | ||
Series 2004-6F, Class 1A2, 5.00%, 5/25/2034 | 19 | 18 |
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | 51 | 50 |
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | 17 | 16 |
Headlands Residential LLC Series 2017-RPL1, Class A, 3.88%, 11/25/2024 (a) (c) | 143 | 142 |
Home RE Ltd. (Bermuda) Series 2022-1, Class M1A, 3.78%, 10/25/2034 ‡ (a) (g) | 800 | 795 |
Impac Secured Assets Trust Series 2006-1, Class 2A1, 2.32%, 5/25/2036 (g) | 5 | 4 |
JPMorgan Mortgage Trust Series 2006-A2, Class 5A3, 2.28%, 11/25/2033 (g) | 9 | 9 |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (g) | 510 | 489 |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 2.68%, 4/21/2034 (g) | 8 | 7 |
MASTR Alternative Loan Trust | ||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | 1 | 1 |
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | — | — |
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 14 | 14 |
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 33 | 32 |
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | 55 | 52 |
Series 2004-7, Class 30, PO, 8/25/2034 ‡ | 5 | 4 |
MASTR Asset Securitization Trust | ||
Series 2003-12, Class 15, PO, 12/25/2018 ‡ | — | — |
Series 2004-6, Class 15, PO, 7/25/2019 ‡ | — | — |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2003-11, Class 9A6, 5.25%, 12/25/2033 | 52 | 49 |
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (a) | 7 | 5 |
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (g) | 18 | 16 |
Pendoor Proper, 0.00%, 2/15/2026 ‡ | 1,000 | 983 |
PHH Alternative Mortgage Trust Series 2007-2, Class 2X, IO, 6.00%, 5/25/2037 ‡ | 80 | 17 |
RMIP Series 2019-1B, 0.00%, 8/25/2023 ‡ | 217 | 212 |
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 (a) | 1 | 1 |
SART | ||
Series 2017-1, 4.75%, 7/15/2024 | 149 | 147 |
Series 2018-1, 4.76%, 6/15/2025 | 187 | 184 |
Seasoned Credit Risk Transfer Trust | ||
Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡ | 476 | 463 |
Series 2019-3, Class MB, 3.50%, 10/25/2058 ‡ | 295 | 273 |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 ‡ | 865 | 828 |
Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (c) | 122 | 121 |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (g) | 1,432 | 1,304 |
TVC Mortgage Trust Series 2020-RTL1, Class A1, 3.47%, 9/25/2024 (a) | 548 | 547 |
Two Harbors Series 2021-FNTMSR1, Class A, 0.00%, 2/8/2023 | 1,800 | 1,800 |
Vendee Mortgage Trust | ||
Series 1994-1, Class 1, 4.88%, 2/15/2024 (g) | 4 | 4 |
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | 53 | 53 |
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | 25 | 26 |
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | 12 | 13 |
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | 52 | 55 |
Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 15 | 15 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 (a) (g) | 1,000 | 976 |
vMobo, Inc., 7.50%, 5/31/2024 | 560 | 566 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2003-AR8, Class A, 2.77%, 8/25/2033 (g) | 3 | 3 |
Series 2003-AR9, Class 1A6, 2.53%, 9/25/2033 (g) | 16 | 15 |
Series 2004-AR3, Class A2, 3.08%, 6/25/2034 (g) | 5 | 4 |
30 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||
Series 2005-2, Class 2A3, IF, IO, 3.38%, 4/25/2035 ‡ (g) | 102 | 7 |
Series 2005-2, Class 1A4, IF, IO, 3.43%, 4/25/2035 ‡ (g) | 315 | 20 |
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡ | 100 | 17 |
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 81 | 76 |
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | 19 | 17 |
Total Collateralized Mortgage Obligations (Cost $31,121) | 30,356 | |
Commercial Mortgage-Backed Securities — 5.5% | ||
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a) | 300 | 289 |
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class A5, 2.72%, 2/15/2053 | 1,100 | 979 |
Commercial Mortgage Trust | ||
Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (a) (g) | 125 | 123 |
Series 2020-CBM, Class A2, 2.90%, 2/10/2037 (a) | 750 | 710 |
Series 2020-CBM, Class C, 3.40%, 2/10/2037 ‡ (a) | 500 | 466 |
Series 2014-CR19, Class A5, 3.80%, 8/10/2047 | 200 | 198 |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 156 | 154 |
CSMC OA LLC | ||
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (a) | 885 | 836 |
Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (a) | 100 | 84 |
FHLMC Multi-Family WI Certificates Series K146, Class A2, 2.92%, 7/25/2032 | 1,100 | 1,031 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 2.73%, 7/25/2041 (a) (g) | 1,499 | 1,353 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KJ09, Class A2, 2.84%, 9/25/2022 | 15 | 15 |
Series KJ11, Class A2, 2.93%, 1/25/2023 | 53 | 53 |
Series K038, Class A2, 3.39%, 3/25/2024 | 229 | 229 |
Series KJ14, Class A2, 2.81%, 9/25/2024 | 406 | 403 |
Series KPLB, Class A, 2.77%, 5/25/2025 | 250 | 246 |
Series K065, Class A2, 3.24%, 4/25/2027 | 215 | 213 |
Series K065, Class AM, 3.33%, 5/25/2027 | 115 | 114 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series K066, Class A2, 3.12%, 6/25/2027 | 267 | 262 |
Series K070, Class A2, 3.30%, 11/25/2027 (g) | 208 | 206 |
Series K072, Class AM, 3.50%, 12/25/2027 (g) | 1,000 | 986 |
Series K079, Class AM, 3.93%, 6/25/2028 | 588 | 600 |
Series K081, Class A2, 3.90%, 8/25/2028 (g) | 395 | 402 |
Series KL06, Class XFX, IO, 1.36%, 12/25/2029 | 4,215 | 311 |
Series Q013, Class APT2, 1.18%, 5/25/2050 (g) | 773 | 704 |
FNMA ACES | ||
Series 2015-M17, Class FA, 1.86%, 11/25/2022 (g) | 5 | 5 |
Series 2016-M2, Class AV2, 2.15%, 1/25/2023 | 127 | 126 |
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (g) | 265 | 264 |
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (g) | 773 | 754 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (g) | 376 | 370 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (g) | 322 | 317 |
Series 2017-M12, Class A2, 3.17%, 6/25/2027 (g) | 302 | 297 |
Series 2018-M10, Class A2, 3.48%, 7/25/2028 (g) | 460 | 457 |
Series 2017-M5, Class A2, 3.22%, 4/25/2029 (g) | 283 | 278 |
Series 2018-M3, Class A2, 3.18%, 2/25/2030 (g) | 181 | 176 |
Series 2020-M50, Class A1, 0.67%, 10/25/2030 | 554 | 509 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 330 | 296 |
Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (g) | 5,159 | 478 |
Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (g) | 1,350 | 1,134 |
Series 2022-M3, Class A2, 1.76%, 11/25/2031 (g) | 1,500 | 1,273 |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032 | 1,290 | 1,120 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 423 | 406 |
Series 2021-M3, Class X1, IO, 2.09%, 11/25/2033 (g) | 2,698 | 308 |
FREMF Mortgage Trust | ||
Series 2014-K40, Class C, 4.21%, 11/25/2047 (a) (g) | 168 | 165 |
Series 2015-K44, Class B, 3.85%, 1/25/2048 (a) (g) | 640 | 627 |
June 30, 2022 | JPMorgan Insurance Trust | 31 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2015-K45, Class B, 3.73%, 4/25/2048 (a) (g) | 500 | 490 |
Series 2016-K722, Class B, 4.02%, 7/25/2049 (a) (g) | 110 | 110 |
Series 2016-K59, Class B, 3.70%, 11/25/2049 (a) (g) | 180 | 173 |
Series 2018-K730, Class B, 3.92%, 2/25/2050 (a) (g) | 551 | 543 |
Series 2019-K102, Class B, 3.65%, 12/25/2051 (a) (g) | 750 | 687 |
MRCD MARK Mortgage Trust | ||
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) | 740 | 703 |
Series 2019-PARK, Class D, 2.72%, 12/15/2036 ‡ (a) | 987 | 900 |
SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a) | 975 | 869 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a) | 930 | 789 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | 4 | 4 |
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 | 10 | 10 |
Total Commercial Mortgage-Backed Securities (Cost $27,165) | 25,605 | |
Foreign Government Securities — 0.3% | ||
Kingdom of Saudi Arabia (Saudi Arabia) 2.25%, 2/2/2033 (a) | 200 | 166 |
United Mexican States (Mexico) | ||
4.13%, 1/21/2026 | 200 | 200 |
3.75%, 1/11/2028 | 280 | 269 |
2.66%, 5/24/2031 | 283 | 233 |
3.50%, 2/12/2034 | 257 | 213 |
4.75%, 3/8/2044 | 50 | 41 |
4.35%, 1/15/2047 | 58 | 44 |
4.40%, 2/12/2052 | 330 | 248 |
3.77%, 5/24/2061 | 211 | 137 |
Total Foreign Government Securities (Cost $1,875) | 1,551 | |
U.S. Government Agency Securities — 0.2% | ||
FNMA, STRIPS 19.11%, 3/23/2028 (f) | 630 | 524 |
Tennessee Valley Authority | ||
5.88%, 4/1/2036 | 140 | 170 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
4.63%, 9/15/2060 | 93 | 103 |
4.25%, 9/15/2065 | 101 | 103 |
Total U.S. Government Agency Securities (Cost $822) | 900 | |
Loan Assignments (b) (i) — 0.2% | ||
Diversified Financial Services — 0.2% | ||
OneSky Loan Trust, 1st Lien Term Loan (3-MONTH SOFR + 3.00%), 3.88%, 1/15/2031(Cost $834) | 825 | 735 |
Municipal Bonds — 0.1% (j) | ||
New York — 0.1% | ||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, 5.60%, 3/15/2040 | 30 | 33 |
Port Authority of New York and New Jersey, Consolidated Series 164, 5.65%, 11/1/2040 | 130 | 146 |
Total New York | 179 | |
Ohio — 0.0% ^ | ||
Ohio State University (The), General Receipts Series 2011-A, 4.80%, 6/1/2111 | 98 | 98 |
Total Municipal Bonds (Cost $256) | 277 | |
SHARES (000) | ||
Short Term Investments — 6.0% | ||
Investment Companies — 6.0% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.47% (k) (l) (Cost $27,758) | 27,753 | 27,756 |
Total Investments — 104.2% (Cost $522,547) | 481,480 | |
Liabilities in Excess of Other Assets — (4.2)% | (19,452) | |
NET ASSETS — 100.0% | 462,028 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
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, 2022. |
CSMC | Credit Suisse Mortgage Trust |
32 | JPMorgan Insurance Trust | June 30, 2022 |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
FRN | Floating Rate Note |
GNMA | Government National Mortgage Association |
HB | High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
ICE | Intercontinental Exchange |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index 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, 2022. 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. |
RE | Reinsured |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the 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 |
^ | Amount rounds to less than 0.1% of net assets. |
‡ | Value determined using significant unobservable inputs. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
(c) | 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, 2022. | |
(d) | Security is an interest bearing note with preferred security characteristics. | |
(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, 2022. | |
(f) | The rate shown is the effective yield as of June 30, 2022. | |
(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, 2022. | |
(h) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(i) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(j) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(k) | 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. | |
(l) | The rate shown is the current yield as of June 30, 2022. |
June 30, 2022 | JPMorgan Insurance Trust | 33 |
JPMorgan Insurance Trust Core Bond Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $453,724 |
Investments in affiliates, at value | 27,756 |
Receivables: | |
Due from custodian | 1,165 |
Investment securities sold | 259 |
Portfolio shares sold | 218 |
Interest from non-affiliates | 2,096 |
Dividends from affiliates | 26 |
Total Assets | 485,244 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 2,319 |
Investment securities purchased — delayed delivery securities | 20,366 |
Portfolio shares redeemed | 215 |
Accrued liabilities: | |
Investment advisory fees | 146 |
Administration fees | 29 |
Distribution fees | 65 |
Custodian and accounting fees | 11 |
Trustees’ and Chief Compliance Officer’s fees | —(a) |
Other | 65 |
Total Liabilities | 23,216 |
Net Assets | $462,028 (a) Amount rounds to less than one thousand. |
34 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Core Bond Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $502,088 |
Total distributable earnings (loss) | (40,060) |
Total Net Assets: | $462,028 |
Net Assets: | |
Class 1 | $148,169 |
Class 2 | 313,859 |
Total | $462,028 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 14,840 |
Class 2 | 31,858 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $ 9.98 |
Class 2 — Offering and redemption price per share | 9.85 |
Cost of investments in non-affiliates | $494,789 |
Cost of investments in affiliates | 27,758 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
June 30, 2022 | JPMorgan Insurance Trust | 35 |
JPMorgan Insurance Trust Core Bond Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $ 6,134 |
Dividend income from affiliates | 67 |
Total investment income | 6,201 |
EXPENSES: | |
Investment advisory fees | 968 |
Administration fees | 182 |
Distribution fees: | |
Class 2 | 409 |
Custodian and accounting fees | 51 |
Interest expense to affiliates | —(a) |
Professional fees | 43 |
Trustees’ and Chief Compliance Officer’s fees | 13 |
Printing and mailing costs | 24 |
Transfer agency fees (See Note 2.G) | 2 |
Other | 35 |
Total expenses | 1,727 |
Less fees waived | (30) |
Net expenses | 1,697 |
Net investment income (loss) | 4,504 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | (2,947) |
Investments in affiliates | (1) |
Net realized gain (loss) | (2,948) |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (52,481) |
Investments in affiliates | (11) |
Change in net unrealized appreciation/depreciation | (52,492) |
Net realized/unrealized gains (losses) | (55,440) |
Change in net assets resulting from operations | $(50,936) |
(a) | Amount rounds to less than one thousand. |
36 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Core Bond Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $ 4,504 | $ 8,445 | |
Net realized gain (loss) | (2,948) | 2,428 | |
Change in net unrealized appreciation/depreciation | (52,492) | (19,394) | |
Change in net assets resulting from operations | (50,936) | (8,521) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class 1 | (3,732) | (5,146) | |
Class 2 | (7,159) | (10,720) | |
Total distributions to shareholders | (10,891) | (15,866) | |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 846 | 15,620 | |
NET ASSETS: | |||
Change in net assets | (60,981) | (8,767) | |
Beginning of period | 523,009 | 531,776 | |
End of period | $462,028 | $523,009 | |
CAPITAL TRANSACTIONS: | |||
Class 1 | |||
Proceeds from shares issued | $ 35,607 | $ 50,627 | |
Distributions reinvested | 3,732 | 5,146 | |
Cost of shares redeemed | (43,095) | (66,565) | |
Change in net assets resulting from Class 1 capital transactions | (3,756) | (10,792) | |
Class 2 | |||
Proceeds from shares issued | 71,453 | 80,420 | |
Distributions reinvested | 7,159 | 10,720 | |
Cost of shares redeemed | (74,010) | (64,728) | |
Change in net assets resulting from Class 2 capital transactions | 4,602 | 26,412 | |
Total change in net assets resulting from capital transactions | $ 846 | $ 15,620 | |
SHARE TRANSACTIONS: | |||
Class 1 | |||
Issued | 3,414 | 4,407 | |
Reinvested | 367 | 457 | |
Redeemed | (4,117) | (5,760) | |
Change in Class 1 Shares | (336) | (896) | |
Class 2 | |||
Issued | 6,943 | 7,088 | |
Reinvested | 713 | 963 | |
Redeemed | (7,218) | (5,728) | |
Change in Class 2 Shares | 438 | 2,323 |
June 30, 2022 | JPMorgan Insurance Trust | 37 |
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 Core Bond Portfolio | ||||||||
Class 1 | ||||||||
Six Months Ended June 30, 2022 (Unaudited) | $11.34 | $0.11 | $(1.22) | $(1.11) | $(0.20) | $(0.05) | $(0.25) | |
Year Ended December 31, 2021 | 11.88 | 0.21 | (0.37) | (0.16) | (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) | —(h) | (0.26) | (0.02) | (0.28) | |
Year Ended December 31, 2017 | 10.84 | 0.29 | 0.09 | 0.38 | (0.28) | — | (0.28) | |
Class 2 | ||||||||
Six Months Ended June 30, 2022 (Unaudited) | 11.17 | 0.09 | (1.18) | (1.09) | (0.18) | (0.05) | (0.23) | |
Year Ended December 31, 2021 | 11.72 | 0.17 | (0.37) | (0.20) | (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) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | 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. |
(d) | 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. |
(e) | Not annualized for periods less than one year. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(g) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
(h) | Amount rounds to less than $0.005. |
38 | JPMorgan Insurance Trust | June 30, 2022 |
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 and reimbursements | Portfolio turnover rate(e) | |
$ 9.98 | (9.68)% | $148,169 | 0.53(g)% | 2.04(g)% | 0.54(g)% | 36% | |
11.34 | (1.35) | 172,023 | 0.53 | 1.79 | 0.54 | 93 | |
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 | |
9.85 | (9.80) | 313,859 | 0.77(g) | 1.79(g) | 0.79(g) | 36 | |
11.17 | (1.66) | 350,986 | 0.78 | 1.54 | 0.79 | 93 | |
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 |
June 30, 2022 | JPMorgan Insurance Trust | 39 |
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Core Bond Portfolio | Class 1 and Class 2 | Diversified |
40 | JPMorgan Insurance Trust | June 30, 2022 |
• | 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). |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
Investments in Securities | |||||||
Asset-Backed Securities | $ — | $ 39,762 | $19,604 | $ 59,366 | |||
Collateralized Mortgage Obligations | — | 26,126 | 4,230 | 30,356 | |||
Commercial Mortgage-Backed Securities | — | 24,155 | 1,450 | 25,605 | |||
Corporate Bonds | — | 126,376 | — | 126,376 | |||
Foreign Government Securities | — | 1,551 | — | 1,551 | |||
Loan Assignments | — | 735 | — | 735 | |||
Mortgage-Backed Securities | — | 92,434 | — | 92,434 | |||
Municipal Bonds | — | 277 | — | 277 | |||
U.S. Government Agency Securities | — | 900 | — | 900 | |||
U.S. Treasury Obligations | — | 116,124 | — | 116,124 | |||
Short-Term Investments | |||||||
Investment Companies | 27,756 | — | — | 27,756 | |||
Total Investments in Securities | $27,756 | $428,440 | $25,284 | $481,480 |
Balance as of December 31, 2021 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of June 30, 2022 | |||||||||
Investments in securities: | |||||||||||||||||
Asset-Backed Securities | $14,239 | $— | $(1,156) | $ — | $3,858 | $(4,018) | $7,958 | $(1,277) | $19,604 | ||||||||
Collateralized Mortgage Obligations | 2,148 | — | (204) | (23) | 2,706 | (397) | — | — | 4,230 | ||||||||
Commercial Mortgage-Backed Securities | 1,559 | — | (110) | 1 | — | — | — | — | 1,450 | ||||||||
Total | $17,946 | $— | $(1,470) | $(22) | $6,564 | $(4,415) | $7,958 | $(1,277) | $25,284 |
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. |
June 30, 2022 | JPMorgan Insurance Trust | 41 |
Fair Value at June 30, 2022 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average)(a) | |
$ 16,953 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 20.00% (6.49%) | |
Constant Default Rate | 0.00% - 3.01% (0.01%) | |||
Yield (Discount Rate of Cash Flows) | 3.90% - 6.77% (5.47%) | |||
Asset-Backed Securities | 16,953 | |||
2,469 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (67.16%) | |
Constant Default Rate | 0.00% - 3.01% (0.01%) | |||
Yield (Discount Rate of Cash Flows) | 2.80% - 19.47% (4.73%) | |||
Collateralized Mortgage Obligations | 2,469 | |||
1,450 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 4.10% - 8.50% (5.97%) | |
Commercial Mortgage-Backed Securities | 1,450 | |||
Total | 20,872 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30, 2022, the value of these investments was $4,412. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
42 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 43 |
For the six months ended June 30, 2022 | |||||||||||||||
Security Description | Value at December 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2022 | Shares at June 30, 2022 | Dividend Income | Capital Gain Distributions | ||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.47% (a) (b) | $49,256 | $88,133 | $109,621 | $(1) | $(11) | $27,756 | 27,753 | $67 | $— |
(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, 2022. |
Class 1 | Class 2 | Total | |
Transfer agency fees | $1 | $1 | $2 |
44 | JPMorgan Insurance Trust | June 30, 2022 |
Class 1 | Class 2 | |
0.60% | 0.85% |
June 30, 2022 | JPMorgan Insurance Trust | 45 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
$147,727 | $145,377 | $37,659 | $23,841 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$522,547 | $935 | $42,002 | $(41,067) |
46 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 47 |
48 | JPMorgan Insurance Trust | June 30, 2022 |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Core Bond Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $ 903.20 | $2.50 | 0.53% |
Hypothetical | 1,000.00 | 1,022.17 | 2.66 | 0.53 |
Class 2 | ||||
Actual | 1,000.00 | 902.00 | 3.63 | 0.77 |
Hypothetical | 1,000.00 | 1,020.98 | 3.86 | 0.77 |
* | 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, 2022 | JPMorgan Insurance Trust | 49 |
50 | JPMorgan Insurance Trust | June 30, 2022 |
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022. | SAN-JPMITCBP-622 |
JPMorgan Insurance Trust Mid Cap Value Portfolio |
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“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher |
Head of Americas, Client
J.P. Morgan Asset Management
June 30, 2022 | JPMorgan Insurance Trust | 1 |
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares) * | (13.18)% |
Russell Midcap Value Index | (16.23)% |
Net Assets as of 6/30/2022 (In Thousands) | $439,249 |
2 | JPMorgan Insurance Trust | June 30, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | ||
1. | M&T Bank Corp. | 2.0 % | |
2. | Xcel Energy, Inc. | 1.9 | |
3. | WEC Energy Group, Inc. | 1.8 | |
4. | Motorola Solutions, Inc. | 1.8 | |
5. | CMS Energy Corp. | 1.7 | |
6. | Laboratory Corp. of America Holdings | 1.7 | |
7. | Loews Corp. | 1.7 | |
8. | AutoZone, Inc. | 1.6 | |
9. | AmerisourceBergen Corp. | 1.6 | |
10. | Huntington Bancshares, Inc. | 1.5 |
PORTFOLIO COMPOSTION BY SECTOR AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | |
Financials | 22.7% | |
Industrials | 12.6 | |
Real Estate | 11.4 | |
Consumer Discretionary | 10.0 | |
Utilities | 9.0 | |
Information Technology | 7.7 | |
Health Care | 7.3 | |
Materials | 4.8 | |
Consumer Staples | 4.6 | |
Communication Services | 3.7 | |
Energy | 2.4 | |
Short-Term Investments | 3.8 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
June 30, 2022 | JPMorgan Insurance Trust | 3 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | |||||
Class 1 | September 28, 2001 | (13.18)% | (7.42)% | 6.27% | 10.30% |
* | Not annualized. |
4 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 96.1% | ||
Airlines — 0.5% | ||
Southwest Airlines Co. * | 58 | 2,091 |
Banks — 8.7% | ||
Citizens Financial Group, Inc. | 140 | 4,977 |
Fifth Third Bancorp | 181 | 6,096 |
First Citizens BancShares, Inc., Class A | 4 | 2,661 |
Huntington Bancshares, Inc. | 558 | 6,714 |
M&T Bank Corp. | 55 | 8,753 |
Regions Financial Corp. | 306 | 5,739 |
Zions Bancorp NA | 66 | 3,333 |
38,273 | ||
Beverages — 1.5% | ||
Constellation Brands, Inc., Class A | 15 | 3,496 |
Keurig Dr Pepper, Inc. | 86 | 3,029 |
6,525 | ||
Building Products — 2.3% | ||
Carlisle Cos., Inc. | 25 | 5,946 |
Fortune Brands Home & Security, Inc. | 72 | 4,308 |
10,254 | ||
Capital Markets — 5.4% | ||
Ameriprise Financial, Inc. | 27 | 6,401 |
Northern Trust Corp. | 49 | 4,788 |
Raymond James Financial, Inc. | 57 | 5,070 |
State Street Corp. | 63 | 3,864 |
T. Rowe Price Group, Inc. | 33 | 3,750 |
23,873 | ||
Chemicals — 1.4% | ||
Celanese Corp. | 17 | 2,078 |
RPM International, Inc. | 54 | 4,235 |
6,313 | ||
Communications Equipment — 1.8% | ||
Motorola Solutions, Inc. | 37 | 7,688 |
Construction Materials — 0.9% | ||
Martin Marietta Materials, Inc. | 13 | 4,033 |
Consumer Finance — 0.8% | ||
Discover Financial Services | 38 | 3,611 |
Containers & Packaging — 2.1% | ||
Packaging Corp. of America | 33 | 4,481 |
Silgan Holdings, Inc. | 110 | 4,554 |
9,035 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Distributors — 2.0% | ||
Genuine Parts Co. | 25 | 3,257 |
LKQ Corp. | 114 | 5,603 |
8,860 | ||
Diversified Financial Services — 0.6% | ||
Voya Financial, Inc. | 45 | 2,694 |
Electric Utilities — 4.1% | ||
Edison International | 50 | 3,159 |
Entergy Corp. | 57 | 6,406 |
Xcel Energy, Inc. | 119 | 8,460 |
18,025 | ||
Electrical Equipment — 3.4% | ||
Acuity Brands, Inc. | 31 | 4,812 |
AMETEK, Inc. | 39 | 4,228 |
Hubbell, Inc. | 32 | 5,741 |
14,781 | ||
Electronic Equipment, Instruments & Components — 3.0% | ||
Amphenol Corp., Class A | 57 | 3,637 |
CDW Corp. | 28 | 4,409 |
Jabil, Inc. | 51 | 2,627 |
TD SYNNEX Corp. | 28 | 2,570 |
13,243 | ||
Entertainment — 0.8% | ||
Take-Two Interactive Software, Inc. * | 29 | 3,560 |
Equity Real Estate Investment Trusts (REITs) — 10.6% | ||
American Homes 4 Rent, Class A | 110 | 3,890 |
AvalonBay Communities, Inc. | 19 | 3,737 |
Boston Properties, Inc. | 36 | 3,227 |
Brixmor Property Group, Inc. | 122 | 2,469 |
Essex Property Trust, Inc. | 9 | 2,233 |
Federal Realty OP LP | 20 | 1,869 |
Host Hotels & Resorts, Inc. | 98 | 1,541 |
JBG SMITH Properties | 68 | 1,606 |
Kimco Realty Corp. | 149 | 2,948 |
Mid-America Apartment Communities, Inc. | 13 | 2,218 |
Rayonier, Inc. | 124 | 4,642 |
Regency Centers Corp. | 33 | 1,985 |
Rexford Industrial Realty, Inc. | 34 | 1,986 |
Sun Communities, Inc. | 14 | 2,171 |
Ventas, Inc. | 39 | 1,990 |
June 30, 2022 | JPMorgan Insurance Trust | 5 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Weyerhaeuser Co. | 133 | 4,402 |
WP Carey, Inc. | 42 | 3,449 |
46,363 | ||
Food & Staples Retailing — 1.6% | ||
Kroger Co. (The) | 77 | 3,637 |
US Foods Holding Corp. * | 102 | 3,143 |
6,780 | ||
Food Products — 0.8% | ||
Post Holdings, Inc. * | 42 | 3,428 |
Gas Utilities — 1.0% | ||
National Fuel Gas Co. | 68 | 4,485 |
Health Care Equipment & Supplies — 1.1% | ||
Zimmer Biomet Holdings, Inc. | 44 | 4,602 |
Health Care Providers & Services — 5.3% | ||
AmerisourceBergen Corp. | 51 | 7,154 |
Henry Schein, Inc. * | 76 | 5,834 |
Laboratory Corp. of America Holdings | 32 | 7,429 |
Universal Health Services, Inc., Class B | 26 | 2,651 |
23,068 | ||
Hotels, Restaurants & Leisure — 0.8% | ||
Darden Restaurants, Inc. | 19 | 2,145 |
Expedia Group, Inc. * | 14 | 1,316 |
3,461 | ||
Household Durables — 1.9% | ||
Mohawk Industries, Inc. * | 28 | 3,487 |
Newell Brands, Inc. | 257 | 4,895 |
8,382 | ||
Household Products — 0.4% | ||
Energizer Holdings, Inc. | 63 | 1,778 |
Insurance — 6.6% | ||
Alleghany Corp. * | 3 | 2,798 |
Arch Capital Group Ltd. * | 70 | 3,185 |
Hartford Financial Services Group, Inc. (The) | 76 | 4,968 |
Lincoln National Corp. | 61 | 2,859 |
Loews Corp. | 124 | 7,317 |
RenaissanceRe Holdings Ltd. (Bermuda) | 22 | 3,410 |
WR Berkley Corp. | 65 | 4,430 |
28,967 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Interactive Media & Services — 0.9% | ||
InterActiveCorp. * | 54 | 4,135 |
IT Services — 1.8% | ||
FleetCor Technologies, Inc. * | 24 | 5,005 |
GoDaddy, Inc., Class A * | 43 | 3,029 |
8,034 | ||
Machinery — 5.6% | ||
IDEX Corp. | 20 | 3,640 |
ITT, Inc. | 65 | 4,379 |
Lincoln Electric Holdings, Inc. | 41 | 5,028 |
Middleby Corp. (The) * | 33 | 4,108 |
Snap-on, Inc. | 24 | 4,831 |
Timken Co. (The) | 50 | 2,666 |
24,652 | ||
Media — 2.0% | ||
Liberty Broadband Corp., Class C * | 41 | 4,696 |
Liberty Media Corp.-Liberty SiriusXM, Class C * | 112 | 4,058 |
8,754 | ||
Metals & Mining — 0.4% | ||
Freeport-McMoRan, Inc. | 52 | 1,522 |
Multiline Retail — 0.4% | ||
Kohl's Corp. | 44 | 1,582 |
Multi-Utilities — 3.9% | ||
CMS Energy Corp. | 111 | 7,509 |
Sempra Energy | 12 | 1,845 |
WEC Energy Group, Inc. | 78 | 7,784 |
17,138 | ||
Oil, Gas & Consumable Fuels — 2.4% | ||
Coterra Energy, Inc. | 135 | 3,477 |
Diamondback Energy, Inc. | 27 | 3,325 |
Williams Cos., Inc. (The) | 122 | 3,808 |
10,610 | ||
Personal Products — 0.3% | ||
BellRing Brands, Inc. * | 53 | 1,310 |
Pharmaceuticals — 0.9% | ||
Jazz Pharmaceuticals plc * | 25 | 3,913 |
Professional Services — 0.8% | ||
Leidos Holdings, Inc. | 36 | 3,650 |
Real Estate Management & Development — 0.8% | ||
CBRE Group, Inc., Class A * | 50 | 3,654 |
6 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Software — 1.0% | ||
NortonLifeLock, Inc. | 208 | 4,575 |
Specialty Retail — 2.6% | ||
AutoZone, Inc. * | 3 | 7,217 |
Bath & Body Works, Inc. | 55 | 1,493 |
Best Buy Co., Inc. | 32 | 2,057 |
Gap, Inc. (The) | 92 | 757 |
11,524 | ||
Textiles, Apparel & Luxury Goods — 2.3% | ||
Carter's, Inc. | 48 | 3,403 |
Ralph Lauren Corp. | 39 | 3,505 |
Tapestry, Inc. | 111 | 3,369 |
10,277 | ||
Thrifts & Mortgage Finance — 0.6% | ||
MGIC Investment Corp. | 217 | 2,737 |
Total Common Stocks (Cost $296,165) | 422,240 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short Term Investments — 3.8% | ||
Investment Companies — 3.8% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (a) (b) (Cost $16,742) | 16,742 | 16,742 |
Total Investments — 99.9% (Cost $312,907) | 438,982 | |
Other Assets Less Liabilities — 0.1% | 267 | |
NET ASSETS — 100.0% | 439,249 |
Percentages indicated are based on net assets. |
* | Non-income producing security. |
(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, 2022. |
June 30, 2022 | JPMorgan Insurance Trust | 7 |
JPMorgan Insurance Trust Mid Cap Value Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $422,240 |
Investments in affiliates, at value | 16,742 |
Cash | 3 |
Receivables: | |
Due from custodian | 240 |
Portfolio shares sold | 163 |
Dividends from non-affiliates | 873 |
Dividends from affiliates | 13 |
Total Assets | 440,274 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 240 |
Portfolio shares redeemed | 482 |
Accrued liabilities: | |
Investment advisory fees | 243 |
Administration fees | 28 |
Custodian and accounting fees | 4 |
Trustees’ and Chief Compliance Officer’s fees | —(a) |
Other | 28 |
Total Liabilities | 1,025 |
Net Assets | $439,249 |
NET ASSETS: | |
Paid-in-Capital | $285,036 |
Total distributable earnings (loss) | 154,213 |
Total Net Assets: | $439,249 |
Net Assets: | |
Class 1 | $439,249 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 44,565 |
Net Asset Value (b): | |
Class 1 — Offering and redemption price per share | $ 9.86 |
Cost of investments in non-affiliates | $296,165 |
Cost of investments in affiliates | 16,742 |
(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. |
8 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Mid Cap Value Portfolio | |
INVESTMENT INCOME: | |
Dividend income from non-affiliates | $ 4,770 |
Dividend income from affiliates | 22 |
Income from securities lending (net) (See Note 2.B) | —(a) |
Total investment income | 4,792 |
EXPENSES: | |
Investment advisory fees | 1,606 |
Administration fees | 185 |
Custodian and accounting fees | 14 |
Professional fees | 27 |
Trustees’ and Chief Compliance Officer’s fees | 13 |
Printing and mailing costs | 20 |
Transfer agency fees | 3 |
Other | 35 |
Total expenses | 1,903 |
Less fees waived | (6) |
Net expenses | 1,897 |
Net investment income (loss) | 2,895 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from investments in non-affiliates | 27,000 |
Change in net unrealized appreciation/depreciation on investments in non-affiliates | (97,852) |
Net realized/unrealized gains (losses) | (70,852) |
Change in net assets resulting from operations | $(67,957) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 9 |
JPMorgan Insurance Trust Mid Cap Value Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,895 | $ 4,375 | |
Net realized gain (loss) | 27,000 | 68,328 | |
Change in net unrealized appreciation/depreciation | (97,852) | 55,704 | |
Change in net assets resulting from operations | (67,957) | 128,407 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class 1 | (72,315) | (29,998) | |
Total distributions to shareholders | (72,315) | (29,998) | |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 50,483 | (16,900) | |
NET ASSETS: | |||
Change in net assets | (89,789) | 81,509 | |
Beginning of period | 529,038 | 447,529 | |
End of period | $439,249 | $ 529,038 | |
CAPITAL TRANSACTIONS: | |||
Class 1 | |||
Proceeds from shares issued | $ 62,259 | $ 75,936 | |
Distributions reinvested | 72,315 | 29,998 | |
Cost of shares redeemed | (84,091) | (122,834) | |
Change in net assets resulting from Class 1 capital transactions | $ 50,483 | $ (16,900) | |
SHARE TRANSACTIONS: | |||
Class 1 | |||
Issued | 4,891 | 6,014 | |
Reinvested | 6,671 | 2,366 | |
Redeemed | (6,646) | (9,814) | |
Change in Class 1 Shares | 4,916 | (1,434) |
10 | JPMorgan Insurance Trust | June 30, 2022 |
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, 2022 (Unaudited) | $13.34 | $0.07 | $(1.65) | $(1.58) | $(0.12) | $(1.78) | $(1.90) | |
Year Ended December 31, 2021 | 10.89 | 0.11 | 3.11 | 3.22 | (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) |
(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) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
12 | JPMorgan Insurance Trust | June 30, 2022 |
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 and reimbursements | Portfolio turnover rate(c) | |
$ 9.86 | (13.18)% | $439,249 | 0.76(g)% | 1.18(g)% | 0.76(g)% | 16% | |
13.34 | 29.88 | 529,038 | 0.76 | 0.86 | 0.76 | 22 | |
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 |
June 30, 2022 | JPMorgan Insurance Trust | 13 |
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Mid Cap Value Portfolio | Class 1 | Diversified |
• | 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). |
14 | JPMorgan Insurance Trust | June 30, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
Total Investments in Securities (a) | $438,982 | $— | $— | $438,982 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
$—(a) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 15 |
For the six months ended June 30, 2022 | |||||||||||||||
Security Description | Value at December 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2022 | Shares at June 30, 2022 | Dividend Income | Capital Gain Distributions | ||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (a) (b) | $8,010 | $103,186 | $94,454 | $— | $— | $16,742 | 16,742 | $22 | $— |
(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, 2022. |
16 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 17 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$76,960 | $104,442 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$312,907 | $141,858 | $15,783 | $126,075 |
18 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 19 |
20 | JPMorgan Insurance Trust | June 30, 2022 |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $ 868.20 | $3.52 | 0.76% |
Hypothetical | 1,000.00 | 1,021.03 | 3.81 | 0.76 |
* | 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, 2022 | JPMorgan Insurance Trust | 21 |
22 | JPMorgan Insurance Trust | June 30, 2022 |
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022. | SAN-JPMITMCVP-622 |
JPMorgan Insurance Trust Small Cap Core Portfolio |
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“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher |
Head of Americas, Client
J.P. Morgan Asset Management
June 30, 2022 | JPMorgan Insurance Trust | 1 |
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares) * | (23.03)% |
Russell 2000 Index | (23.42)% |
Net Assets as of 6/30/2022 (In Thousands) | $164,560 |
2 | JPMorgan Insurance Trust | June 30, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | ||
1. | Silicon Laboratories, Inc. | 1.3 % | |
2. | Verint Systems, Inc. | 1.0 | |
3. | ABM Industries, Inc. | 0.9 | |
4. | Popular, Inc. (Puerto Rico) | 0.8 | |
5. | Rush Enterprises, Inc., Class A | 0.8 | |
6. | TTM Technologies, Inc. | 0.8 | |
7. | CSG Systems International, Inc. | 0.8 | |
8. | Option Care Health, Inc. | 0.7 | |
9. | iRhythm Technologies, Inc. | 0.7 | |
10. | Watts Water Technologies, Inc., Class A | 0.7 |
PORTFOLIO COMPOSTION BY SECTOR AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | |
Health Care | 16.9% | |
Industrials | 16.3 | |
Financials | 15.3 | |
Information Technology | 13.2 | |
Consumer Discretionary | 7.2 | |
Real Estate | 6.7 | |
Energy | 4.8 | |
Consumer Staples | 3.7 | |
Materials | 3.2 | |
Utilities | 2.9 | |
Communication Services | 2.8 | |
Short-Term Investments | 7.0 |
* | 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, 2022 | JPMorgan Insurance Trust | 3 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | |||||
Class 1 SHARES | January 3, 1995 | (23.03)% | (21.96)% | 5.08% | 10.17% | ||||
Class 2 SHARES | April 24, 2009 | (23.14) | (22.17) | 4.78 | 9.87 |
* | Not annualized. |
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.
reimbursements, performance would have been lower.
4 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 96.9% | ||
Aerospace & Defense — 0.5% | ||
Maxar Technologies, Inc. | 9 | 235 |
Moog, Inc., Class A | 2 | 127 |
Vectrus, Inc. * | 14 | 478 |
840 | ||
Air Freight & Logistics — 0.8% | ||
Forward Air Corp. | 2 | 193 |
Hub Group, Inc., Class A * | 12 | 865 |
Radiant Logistics, Inc. * | 30 | 217 |
1,275 | ||
Airlines — 0.1% | ||
Alaska Air Group, Inc. * | 5 | 204 |
Auto Components — 0.5% | ||
American Axle & Manufacturing Holdings, Inc. * | 35 | 263 |
Goodyear Tire & Rubber Co. (The) * | 27 | 286 |
Patrick Industries, Inc. | 4 | 233 |
782 | ||
Banks — 9.7% | ||
Amalgamated Financial Corp. | 7 | 135 |
Ameris Bancorp | 4 | 170 |
Associated Banc-Corp. | 6 | 113 |
Atlantic Union Bankshares Corp. | 3 | 102 |
Banc of California, Inc. | 14 | 245 |
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 18 | 558 |
Bar Harbor Bankshares | 2 | 62 |
Business First Bancshares, Inc. | 6 | 139 |
Byline Bancorp, Inc. | 3 | 64 |
Cadence Bank | 14 | 322 |
Capital Bancorp, Inc. | 2 | 33 |
Capital City Bank Group, Inc. | 7 | 193 |
Capstar Financial Holdings, Inc. | 10 | 202 |
Cathay General Bancorp | 5 | 204 |
Central Pacific Financial Corp. | 2 | 43 |
Coastal Financial Corp. * | 1 | 34 |
Community Bank System, Inc. | 3 | 158 |
Community Trust Bancorp, Inc. | 1 | 31 |
ConnectOne Bancorp, Inc. | 30 | 726 |
Customers Bancorp, Inc. * | 9 | 315 |
CVB Financial Corp. | 33 | 811 |
Dime Community Bancshares, Inc. | 2 | 62 |
Enterprise Financial Services Corp. | 2 | 94 |
FB Financial Corp. | 2 | 82 |
Financial Institutions, Inc. | 7 | 174 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Banks — continued | ||
First BanCorp (Puerto Rico) | 51 | 665 |
First Bank | 2 | 28 |
First Citizens BancShares, Inc., Class A | — | 48 |
First Commonwealth Financial Corp. | 12 | 160 |
First Financial Corp. | 3 | 138 |
First Foundation, Inc. | 7 | 145 |
First Horizon Corp. | 28 | 611 |
First Internet Bancorp | 2 | 77 |
First Merchants Corp. | 2 | 78 |
FNB Corp. | 28 | 308 |
Great Southern Bancorp, Inc. | 2 | 129 |
Hancock Whitney Corp. | 10 | 461 |
Hanmi Financial Corp. | 8 | 189 |
HBT Financial, Inc. | 7 | 123 |
Heartland Financial USA, Inc. | 3 | 112 |
Heritage Commerce Corp. | 8 | 88 |
Home BancShares, Inc. | 12 | 243 |
HomeStreet, Inc. | 4 | 125 |
Lakeland Bancorp, Inc. | 5 | 70 |
Meta Financial Group, Inc. | 4 | 143 |
Mid Penn Bancorp, Inc. | 1 | 38 |
MidWestOne Financial Group, Inc. | 1 | 39 |
MVB Financial Corp. | 1 | 16 |
National Bank Holdings Corp., Class A | 2 | 73 |
OceanFirst Financial Corp. | 32 | 606 |
OFG Bancorp (Puerto Rico) | 13 | 335 |
Old National Bancorp | 23 | 334 |
Old Second Bancorp, Inc. | 9 | 126 |
Origin Bancorp, Inc. | 4 | 148 |
PacWest Bancorp | 10 | 254 |
Peapack-Gladstone Financial Corp. | 4 | 113 |
Peoples Bancorp, Inc. | 2 | 59 |
Popular, Inc. (Puerto Rico) | 19 | 1,454 |
QCR Holdings, Inc. | 4 | 216 |
Republic Bancorp, Inc., Class A | 1 | 44 |
Sierra Bancorp | 1 | 29 |
Signature Bank | 1 | 255 |
SmartFinancial, Inc. | 8 | 193 |
South Plains Financial, Inc. | 1 | 19 |
Southside Bancshares, Inc. | 2 | 82 |
SouthState Corp. | 3 | 247 |
Synovus Financial Corp. | 4 | 144 |
TriCo Bancshares | 6 | 283 |
United Community Banks, Inc. | 7 | 199 |
June 30, 2022 | JPMorgan Insurance Trust | 5 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Banks — continued | ||
Valley National Bancorp | 21 | 220 |
Veritex Holdings, Inc. | 9 | 252 |
Washington Federal, Inc. | 5 | 144 |
Webster Financial Corp. | 6 | 244 |
Western Alliance Bancorp | 2 | 155 |
Wintrust Financial Corp. | 4 | 321 |
Zions Bancorp NA | 6 | 326 |
15,981 | ||
Beverages — 0.2% | ||
Coca-Cola Consolidated, Inc. | — | 254 |
Biotechnology — 8.0% | ||
2seventy bio, Inc. * | 31 | 416 |
Adagio Therapeutics, Inc. * (a) | 41 | 135 |
Alector, Inc. * | 10 | 105 |
Allogene Therapeutics, Inc. * (a) | 10 | 113 |
Amicus Therapeutics, Inc. * | 96 | 1,030 |
AnaptysBio, Inc. * | 27 | 550 |
Arrowhead Pharmaceuticals, Inc. * | 11 | 387 |
Atara Biotherapeutics, Inc. * | 2 | 16 |
Beam Therapeutics, Inc. * | 7 | 271 |
Biohaven Pharmaceutical Holding Co. Ltd. * | 2 | 291 |
Bluebird Bio, Inc. * (a) | 1 | 4 |
Blueprint Medicines Corp. * | 5 | 227 |
Bridgebio Pharma, Inc. * (a) | 5 | 48 |
CareDx, Inc. * | 3 | 62 |
Catalyst Pharmaceuticals, Inc. * | 44 | 307 |
Chinook Therapeutics, Inc. * | 13 | 234 |
Coherus Biosciences, Inc. * | 14 | 98 |
CTI BioPharma Corp. * | 30 | 177 |
Decibel Therapeutics, Inc. * (a) | 18 | 77 |
Enanta Pharmaceuticals, Inc. * | 10 | 482 |
Fate Therapeutics, Inc. * | 26 | 647 |
Intellia Therapeutics, Inc. * | 9 | 455 |
Jounce Therapeutics, Inc. * | 8 | 25 |
Kronos Bio, Inc. * | 14 | 52 |
Kura Oncology, Inc. * | 37 | 672 |
Kymera Therapeutics, Inc. * | 14 | 270 |
MeiraGTx Holdings plc * | 7 | 53 |
Myriad Genetics, Inc. * | 22 | 394 |
Natera, Inc. * | 5 | 174 |
PMV Pharmaceuticals, Inc. * (a) | 28 | 396 |
Prothena Corp. plc (Ireland) * | 3 | 71 |
PTC Therapeutics, Inc. * | 8 | 312 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Biotechnology — continued | ||
Radius Health, Inc. * | 1 | 13 |
Relay Therapeutics, Inc. * | 33 | 560 |
REVOLUTION Medicines, Inc. * (a) | 24 | 468 |
Sage Therapeutics, Inc. * | 5 | 145 |
Sarepta Therapeutics, Inc. * | 4 | 337 |
SpringWorks Therapeutics, Inc. * | 7 | 175 |
Sutro Biopharma, Inc. * | 2 | 12 |
Syndax Pharmaceuticals, Inc. * | 28 | 531 |
Travere Therapeutics, Inc. * (a) | 30 | 737 |
Turning Point Therapeutics, Inc. * | 6 | 451 |
Vericel Corp. * | 7 | 169 |
Xencor, Inc. * | 37 | 1,018 |
Y-mAbs Therapeutics, Inc. * (a) | 1 | 14 |
13,181 | ||
Building Products — 0.9% | ||
Apogee Enterprises, Inc. | 4 | 157 |
Builders FirstSource, Inc. * | 7 | 342 |
Cornerstone Building Brands, Inc. * | 4 | 103 |
Resideo Technologies, Inc. * | 5 | 99 |
UFP Industries, Inc. | 12 | 838 |
1,539 | ||
Capital Markets — 1.5% | ||
AssetMark Financial Holdings, Inc. * | 2 | 32 |
Blucora, Inc. * | 17 | 314 |
Cowen, Inc., Class A | 6 | 152 |
Donnelley Financial Solutions, Inc. * | 22 | 636 |
Focus Financial Partners, Inc., Class A * | 12 | 402 |
GCM Grosvenor, Inc., Class A (a) | 10 | 69 |
PJT Partners, Inc., Class A | 5 | 380 |
Stifel Financial Corp. | 6 | 322 |
Virtus Investment Partners, Inc. | — | 98 |
2,405 | ||
Chemicals — 1.7% | ||
AdvanSix, Inc. | 10 | 328 |
Avient Corp. | 10 | 417 |
Cabot Corp. | 9 | 580 |
Ecovyst, Inc. | 6 | 59 |
HB Fuller Co. | 1 | 66 |
Ingevity Corp. * | 6 | 398 |
Minerals Technologies, Inc. | 2 | 147 |
Schweitzer-Mauduit International, Inc. | 20 | 492 |
6 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Chemicals — continued | ||
Sensient Technologies Corp. | 2 | 129 |
Tronox Holdings plc, Class A | 14 | 232 |
2,848 | ||
Commercial Services & Supplies — 1.8% | ||
ABM Industries, Inc. | 34 | 1,472 |
ACCO Brands Corp. | 26 | 168 |
Brink's Co. (The) | 4 | 218 |
GEO Group, Inc. (The), REIT * (a) | 36 | 242 |
HNI Corp. | 6 | 201 |
MillerKnoll, Inc. | 11 | 302 |
SP Plus Corp. * | 10 | 295 |
2,898 | ||
Construction & Engineering — 2.2% | ||
Argan, Inc. | 21 | 780 |
Comfort Systems USA, Inc. | 9 | 790 |
EMCOR Group, Inc. | 8 | 831 |
Great Lakes Dredge & Dock Corp. * | 13 | 177 |
MasTec, Inc. * | 9 | 616 |
Primoris Services Corp. | 14 | 300 |
Sterling Infrastructure, Inc. * | 8 | 167 |
3,661 | ||
Consumer Finance — 0.5% | ||
Encore Capital Group, Inc. * | 12 | 682 |
Navient Corp. | 6 | 81 |
Nelnet, Inc., Class A | 1 | 119 |
882 | ||
Diversified Consumer Services — 0.6% | ||
Chegg, Inc. * | 48 | 909 |
WW International, Inc. * | 6 | 38 |
947 | ||
Diversified Telecommunication Services — 0.9% | ||
Bandwidth, Inc., Class A * | 20 | 382 |
EchoStar Corp., Class A * | 9 | 164 |
IDT Corp., Class B * | 17 | 438 |
Liberty Latin America Ltd., Class A (Chile) * | 20 | 160 |
Liberty Latin America Ltd., Class C (Chile) * | 19 | 144 |
Ooma, Inc. * | 12 | 136 |
1,424 | ||
Electric Utilities — 0.8% | ||
IDACORP, Inc. | 3 | 360 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Electric Utilities — continued | ||
Portland General Electric Co. | 14 | 690 |
Via Renewables, Inc. | 30 | 227 |
1,277 | ||
Electrical Equipment — 1.5% | ||
Atkore, Inc. * | 11 | 934 |
AZZ, Inc. | 7 | 298 |
Bloom Energy Corp., Class A * (a) | 14 | 227 |
Encore Wire Corp. | 11 | 1,081 |
2,540 | ||
Electronic Equipment, Instruments & Components — 2.7% | ||
Benchmark Electronics, Inc. | 29 | 668 |
Fabrinet (Thailand) * | 7 | 535 |
OSI Systems, Inc. * | 6 | 487 |
Sanmina Corp. * | 23 | 953 |
ScanSource, Inc. * | 6 | 193 |
TTM Technologies, Inc. * | 105 | 1,310 |
Vishay Precision Group, Inc. * | 8 | 233 |
4,379 | ||
Energy Equipment & Services — 1.2% | ||
ChampionX Corp. | 25 | 500 |
National Energy Services Reunited Corp. * | 8 | 56 |
NexTier Oilfield Solutions, Inc. * | 56 | 533 |
Patterson-UTI Energy, Inc. | 20 | 314 |
Select Energy Services, Inc., Class A * | 44 | 299 |
Solaris Oilfield Infrastructure, Inc., Class A | 19 | 204 |
1,906 | ||
Entertainment — 0.8% | ||
Cinemark Holdings, Inc. * | 18 | 269 |
IMAX Corp. * | 43 | 723 |
Lions Gate Entertainment Corp., Class A * | 39 | 368 |
1,360 | ||
Equity Real Estate Investment Trusts (REITs) — 6.2% | ||
Agree Realty Corp. | 12 | 837 |
Alexander & Baldwin, Inc. | 13 | 242 |
American Assets Trust, Inc. | 2 | 62 |
Apple Hospitality REIT, Inc. | 33 | 478 |
Armada Hoffler Properties, Inc. | 12 | 148 |
Brandywine Realty Trust | 13 | 127 |
Broadstone Net Lease, Inc. | 8 | 156 |
Centerspace | 1 | 82 |
Chatham Lodging Trust * | 2 | 23 |
June 30, 2022 | JPMorgan Insurance Trust | 7 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
City Office REIT, Inc. | 9 | 114 |
Community Healthcare Trust, Inc. | 2 | 62 |
Corporate Office Properties Trust | 9 | 225 |
Cousins Properties, Inc. | 5 | 142 |
DiamondRock Hospitality Co. * | 13 | 106 |
Equity Commonwealth * | 11 | 308 |
Essential Properties Realty Trust, Inc. | 6 | 138 |
First Industrial Realty Trust, Inc. | 7 | 328 |
Four Corners Property Trust, Inc. | 3 | 74 |
Getty Realty Corp. | 6 | 162 |
Gladstone Commercial Corp. | 6 | 117 |
Global Medical REIT, Inc. | 4 | 47 |
Healthcare Realty Trust, Inc. | 26 | 696 |
Highwoods Properties, Inc. | 1 | 41 |
Independence Realty Trust, Inc. | 12 | 249 |
Kite Realty Group Trust | 56 | 968 |
National Storage Affiliates Trust | 13 | 630 |
Paramount Group, Inc. | 32 | 232 |
Phillips Edison & Co., Inc. (a) | 7 | 244 |
Physicians Realty Trust | 16 | 284 |
Piedmont Office Realty Trust, Inc., Class A | 14 | 186 |
Plymouth Industrial REIT, Inc. | 6 | 109 |
PotlatchDeltic Corp. | 10 | 435 |
Retail Opportunity Investments Corp. | 19 | 297 |
RLJ Lodging Trust | 4 | 47 |
Ryman Hospitality Properties, Inc. * | 3 | 258 |
SITE Centers Corp. | 37 | 493 |
STAG Industrial, Inc. | 5 | 145 |
Summit Hotel Properties, Inc. * | 4 | 31 |
Sunstone Hotel Investors, Inc. * | 7 | 68 |
Terreno Realty Corp. | 5 | 287 |
UMH Properties, Inc. | 3 | 55 |
Xenia Hotels & Resorts, Inc. * | 32 | 471 |
10,204 | ||
Food & Staples Retailing — 1.5% | ||
Andersons, Inc. (The) | 9 | 290 |
BJ's Wholesale Club Holdings, Inc. * | 15 | 935 |
SpartanNash Co. | 26 | 793 |
Sprouts Farmers Market, Inc. * | 17 | 418 |
2,436 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Food Products — 0.5% | ||
Darling Ingredients, Inc. * | 11 | 646 |
Seneca Foods Corp., Class A * | 2 | 117 |
763 | ||
Gas Utilities — 1.1% | ||
Brookfield Infrastructure Corp., Class A (Canada) | 9 | 387 |
Chesapeake Utilities Corp. | 3 | 389 |
ONE Gas, Inc. | 4 | 308 |
Southwest Gas Holdings, Inc. | 6 | 470 |
Spire, Inc. | 4 | 321 |
1,875 | ||
Health Care Equipment & Supplies — 3.7% | ||
Alphatec Holdings, Inc. * | 14 | 91 |
Cutera, Inc. * | 19 | 694 |
Heska Corp. * (a) | 3 | 246 |
Inogen, Inc. * | 2 | 39 |
iRhythm Technologies, Inc. * | 11 | 1,210 |
Lantheus Holdings, Inc. * | 5 | 310 |
Merit Medical Systems, Inc. * | 4 | 228 |
Natus Medical, Inc. * | 8 | 265 |
NuVasive, Inc. * | 23 | 1,155 |
Omnicell, Inc. * | 8 | 876 |
Orthofix Medical, Inc. * | 17 | 398 |
Outset Medical, Inc. * | 3 | 49 |
QuidelOrtho Corp. * | 4 | 421 |
SI-BONE, Inc. * | 13 | 174 |
6,156 | ||
Health Care Providers & Services — 3.0% | ||
AdaptHealth Corp. * | 38 | 689 |
Cross Country Healthcare, Inc. * | 11 | 227 |
Hanger, Inc. * | 10 | 139 |
LHC Group, Inc. * | 1 | 187 |
ModivCare, Inc. * | 4 | 372 |
National HealthCare Corp. | 3 | 224 |
Option Care Health, Inc. * | 46 | 1,267 |
Owens & Minor, Inc. | 13 | 396 |
Select Medical Holdings Corp. | 25 | 600 |
Tenet Healthcare Corp. * | 17 | 893 |
4,994 | ||
Health Care Technology — 1.2% | ||
Allscripts Healthcare Solutions, Inc. * | 29 | 433 |
Inspire Medical Systems, Inc. * | 2 | 365 |
8 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Health Care Technology — continued | ||
NextGen Healthcare, Inc. * | 49 | 853 |
Schrodinger, Inc. * | 11 | 285 |
1,936 | ||
Hotels, Restaurants & Leisure — 1.8% | ||
Bloomin' Brands, Inc. | 22 | 369 |
Bluegreen Vacations Holding Corp. | 6 | 155 |
Boyd Gaming Corp. | 3 | 154 |
Brinker International, Inc. * (a) | 2 | 33 |
Dine Brands Global, Inc. | 4 | 273 |
Everi Holdings, Inc. * | 25 | 410 |
Marriott Vacations Worldwide Corp. | 4 | 488 |
RCI Hospitality Holdings, Inc. | 2 | 87 |
SeaWorld Entertainment, Inc. * | 24 | 1,034 |
3,003 | ||
Household Durables — 1.2% | ||
Helen of Troy Ltd. * | 2 | 260 |
Lifetime Brands, Inc. | 20 | 225 |
Meritage Homes Corp. * | 3 | 181 |
Sonos, Inc. * (a) | 14 | 253 |
Taylor Morrison Home Corp. * | 24 | 561 |
Tri Pointe Homes, Inc. * | 28 | 476 |
Tupperware Brands Corp. * | 5 | 34 |
1,990 | ||
Household Products — 0.6% | ||
Central Garden & Pet Co., Class A * | 24 | 964 |
Independent Power and Renewable Electricity Producers — 0.9% | ||
Clearway Energy, Inc. | 11 | 368 |
Clearway Energy, Inc., Class C | 31 | 1,087 |
Vistra Corp. | 4 | 83 |
1,538 | ||
Insurance — 0.8% | ||
American Equity Investment Life Holding Co. | 1 | 58 |
Employers Holdings, Inc. | 2 | 80 |
Kinsale Capital Group, Inc. | 2 | 379 |
RLI Corp. | 7 | 793 |
Selective Insurance Group, Inc. | 1 | 78 |
1,388 | ||
Interactive Media & Services — 0.8% | ||
Bumble, Inc., Class A * | 6 | 169 |
Cars.com, Inc. * | 17 | 162 |
Liberty TripAdvisor Holdings, Inc., Class A * | 70 | 54 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Interactive Media & Services — continued | ||
Yelp, Inc. * | 15 | 411 |
Ziff Davis, Inc. * | 7 | 514 |
1,310 | ||
Internet & Direct Marketing Retail — 0.2% | ||
Overstock.com, Inc. * (a) | 2 | 53 |
Shutterstock, Inc. | 6 | 338 |
391 | ||
IT Services — 2.5% | ||
CSG Systems International, Inc. | 22 | 1,289 |
DigitalOcean Holdings, Inc. * (a) | 11 | 459 |
Information Services Group, Inc. | 112 | 754 |
International Money Express, Inc. * | 6 | 133 |
Perficient, Inc. * | 5 | 431 |
TTEC Holdings, Inc. | 11 | 774 |
Unisys Corp. * | 19 | 235 |
4,075 | ||
Life Sciences Tools & Services — 0.1% | ||
Adaptive Biotechnologies Corp. * | 4 | 29 |
Quanterix Corp. * | 6 | 102 |
131 | ||
Machinery — 1.5% | ||
Columbus McKinnon Corp. | 11 | 324 |
Mueller Industries, Inc. | 9 | 458 |
Terex Corp. | 15 | 427 |
Wabash National Corp. | 4 | 58 |
Watts Water Technologies, Inc., Class A | 10 | 1,179 |
2,446 | ||
Media — 0.4% | ||
Gray Television, Inc. | 14 | 245 |
Sinclair Broadcast Group, Inc., Class A | 11 | 222 |
Thryv Holdings, Inc. * | 12 | 260 |
727 | ||
Metals & Mining — 1.4% | ||
Alcoa Corp. | 1 | 64 |
Allegheny Technologies, Inc. * | 3 | 73 |
Alpha Metallurgical Resources, Inc. | 1 | 181 |
Arconic Corp. * | 17 | 482 |
Cleveland-Cliffs, Inc. * | 6 | 95 |
Coeur Mining, Inc. * | 19 | 58 |
Commercial Metals Co. | 20 | 655 |
Constellium SE * | 25 | 324 |
June 30, 2022 | JPMorgan Insurance Trust | 9 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Metals & Mining — continued | ||
Hecla Mining Co. | 10 | 40 |
Olympic Steel, Inc. | 4 | 88 |
Schnitzer Steel Industries, Inc., Class A | 4 | 131 |
SunCoke Energy, Inc. | 18 | 119 |
2,310 | ||
Mortgage Real Estate Investment Trusts (REITs) — 1.6% | ||
Ares Commercial Real Estate Corp. | 33 | 407 |
Blackstone Mortgage Trust, Inc., Class A | 26 | 722 |
Ellington Financial, Inc. | 15 | 223 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1 | 45 |
KKR Real Estate Finance Trust, Inc. | 35 | 616 |
Ladder Capital Corp. | 24 | 254 |
Ready Capital Corp. | 11 | 124 |
Redwood Trust, Inc. | 17 | 129 |
TPG RE Finance Trust, Inc. | 14 | 124 |
2,644 | ||
Multiline Retail — 0.3% | ||
Dillard's, Inc., Class A (a) | 3 | 574 |
Multi-Utilities — 0.2% | ||
NorthWestern Corp. (a) | 1 | 89 |
Unitil Corp. | 5 | 270 |
359 | ||
Oil, Gas & Consumable Fuels — 3.9% | ||
Antero Resources Corp. * | 1 | 21 |
Arch Resources, Inc. | 4 | 587 |
Berry Corp. | 5 | 39 |
CNX Resources Corp. * | 9 | 143 |
CVR Energy, Inc. | 8 | 255 |
Delek US Holdings, Inc. * | 4 | 112 |
Green Plains, Inc. * | 8 | 228 |
Magnolia Oil & Gas Corp., Class A | 20 | 428 |
Matador Resources Co. | 17 | 773 |
Murphy Oil Corp. | 8 | 236 |
Oasis Petroleum, Inc. | 2 | 256 |
Ovintiv, Inc. | 25 | 1,086 |
PBF Energy, Inc., Class A * | 9 | 255 |
PDC Energy, Inc. | 13 | 782 |
Peabody Energy Corp. * | 7 | 158 |
REX American Resources Corp. * | 1 | 68 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Oil, Gas & Consumable Fuels — continued | ||
SM Energy Co. | 13 | 455 |
Southwestern Energy Co. * | 75 | 471 |
6,353 | ||
Paper & Forest Products — 0.2% | ||
Louisiana-Pacific Corp. | 6 | 320 |
Personal Products — 1.2% | ||
Edgewell Personal Care Co. | 18 | 611 |
elf Beauty, Inc. * | 15 | 472 |
Herbalife Nutrition Ltd. * | 31 | 636 |
Medifast, Inc. | 2 | 271 |
1,990 | ||
Pharmaceuticals — 1.6% | ||
Aclaris Therapeutics, Inc. * | 30 | 420 |
Arvinas, Inc. * | 12 | 493 |
Axsome Therapeutics, Inc. * (a) | 19 | 716 |
Cara Therapeutics, Inc. * | 5 | 51 |
NGM Biopharmaceuticals, Inc. * | 14 | 178 |
Phibro Animal Health Corp., Class A | 4 | 69 |
Revance Therapeutics, Inc. * | 47 | 654 |
2,581 | ||
Professional Services — 2.8% | ||
Barrett Business Services, Inc. | 14 | 991 |
Heidrick & Struggles International, Inc. | 9 | 282 |
KBR, Inc. | 18 | 866 |
Kelly Services, Inc., Class A | 28 | 557 |
Kforce, Inc. | 7 | 417 |
Korn Ferry | 17 | 1,015 |
TriNet Group, Inc. * | 5 | 411 |
4,539 | ||
Real Estate Management & Development — 0.8% | ||
Anywhere Real Estate, Inc. * | 9 | 90 |
Cushman & Wakefield plc * | 33 | 509 |
Jones Lang LaSalle, Inc. * | 1 | 126 |
Kennedy-Wilson Holdings, Inc. | 28 | 538 |
RMR Group, Inc. (The), Class A | 2 | 45 |
1,308 | ||
Road & Rail — 0.6% | ||
ArcBest Corp. | 11 | 764 |
Avis Budget Group, Inc. * | 1 | 208 |
972 |
10 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Semiconductors & Semiconductor Equipment — 3.1% | ||
Alpha & Omega Semiconductor Ltd. * | 14 | 483 |
Ambarella, Inc. * | 2 | 131 |
Amkor Technology, Inc. | 24 | 414 |
Diodes, Inc. * | 3 | 194 |
PDF Solutions, Inc. * | 6 | 120 |
Power Integrations, Inc. | 5 | 398 |
Rambus, Inc. * | 4 | 95 |
Semtech Corp. * | 6 | 324 |
Silicon Laboratories, Inc. * | 16 | 2,229 |
SMART Global Holdings, Inc. * | 23 | 381 |
Synaptics, Inc. * | 1 | 59 |
Ultra Clean Holdings, Inc. * | 9 | 253 |
5,081 | ||
Software — 4.7% | ||
Asana, Inc., Class A * | 13 | 221 |
Avaya Holdings Corp. * | 26 | 59 |
Blackbaud, Inc. * | 10 | 604 |
Blackline, Inc. * | 2 | 146 |
Cerence, Inc. * | 3 | 71 |
CommVault Systems, Inc. * | 17 | 1,050 |
Consensus Cloud Solutions, Inc. * | 2 | 95 |
Digital Turbine, Inc. * | 7 | 119 |
eGain Corp. * | 96 | 940 |
EverCommerce, Inc. * (a) | 23 | 209 |
Marathon Digital Holdings, Inc. * (a) | 11 | 57 |
MicroStrategy, Inc., Class A * (a) | — | 41 |
PagerDuty, Inc. * | 10 | 240 |
Paycor HCM, Inc. * (a) | 10 | 269 |
Qualys, Inc. * | 5 | 681 |
SailPoint Technologies Holding, Inc. * | 6 | 351 |
SPS Commerce, Inc. * | 1 | 68 |
Tenable Holdings, Inc. * | 3 | 145 |
Verint Systems, Inc. * | 39 | 1,648 |
Workiva, Inc. * | 1 | 40 |
Xperi Holding Corp. | 25 | 365 |
Zuora, Inc., Class A * | 43 | 388 |
7,807 | ||
Specialty Retail — 1.7% | ||
Aaron's Co., Inc. (The) | 3 | 44 |
Academy Sports & Outdoors, Inc. | 11 | 395 |
Genesco, Inc. * | 2 | 90 |
Group 1 Automotive, Inc. | 3 | 586 |
Hibbett, Inc. | 7 | 310 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Specialty Retail — continued | ||
ODP Corp. (The) * | 3 | 86 |
Rent-A-Center, Inc. | 24 | 471 |
Signet Jewelers Ltd. | 12 | 615 |
Zumiez, Inc. * | 8 | 213 |
2,810 | ||
Technology Hardware, Storage & Peripherals — 0.6% | ||
Avid Technology, Inc. * | 11 | 285 |
Super Micro Computer, Inc. * | 17 | 666 |
951 | ||
Textiles, Apparel & Luxury Goods — 1.1% | ||
Crocs, Inc. * | 2 | 97 |
Deckers Outdoor Corp. * | 4 | 1,168 |
G-III Apparel Group Ltd. * | 3 | 53 |
Kontoor Brands, Inc. | 7 | 223 |
Movado Group, Inc. | 8 | 254 |
PLBY Group, Inc. * (a) | 8 | 49 |
1,844 | ||
Thrifts & Mortgage Finance — 1.8% | ||
Axos Financial, Inc. * | 6 | 208 |
Essent Group Ltd. | 19 | 751 |
Flagstar Bancorp, Inc. | 6 | 206 |
Kearny Financial Corp. | 12 | 137 |
Luther Burbank Corp. | 5 | 60 |
Merchants Bancorp | 1 | 19 |
MGIC Investment Corp. | 21 | 258 |
Mr. Cooper Group, Inc. * | 3 | 114 |
NMI Holdings, Inc., Class A * | 14 | 233 |
Provident Bancorp, Inc. | 10 | 155 |
Radian Group, Inc. | 38 | 754 |
Walker & Dunlop, Inc. | 1 | 135 |
3,030 | ||
Trading Companies & Distributors — 4.4% | ||
Applied Industrial Technologies, Inc. | 2 | 202 |
Beacon Roofing Supply, Inc. * | 5 | 236 |
BlueLinx Holdings, Inc. * | 6 | 401 |
Boise Cascade Co. | 11 | 635 |
GATX Corp. | 2 | 151 |
GMS, Inc. * | 24 | 1,054 |
Herc Holdings, Inc. | 6 | 505 |
MRC Global, Inc. * | 37 | 370 |
NOW, Inc. * | 56 | 553 |
Rush Enterprises, Inc., Class A | 29 | 1,412 |
June 30, 2022 | JPMorgan Insurance Trust | 11 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Trading Companies & Distributors — continued | ||
Titan Machinery, Inc. * | 3 | 69 |
Veritiv Corp. * | 6 | 684 |
WESCO International, Inc. * | 8 | 900 |
7,172 | ||
Total Common Stocks (Cost $152,600) | 159,555 | |
NO. OF RIGHTS (000) | ||
Rights — 0.0% ^ | ||
Biotechnology — 0.0% ^ | ||
Contra Aduro Biotech I ‡ *(Cost $53) | 21 | — |
SHARES (000) | ||
Short Term Investments — 7.3% | ||
Investment Companies — 5.1% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (b) (c) (Cost $8,306) | 8,306 | 8,306 |
Investment of Cash Collateral from Securities Loaned — 2.2% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (b) (c) | 2,692 | 2,690 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (b) (c) | 953 | 953 |
Total Investment of Cash Collateral from Securities Loaned (Cost $3,643) | 3,643 | |
Total Short Term Investments (Cost $11,949) | 11,949 | |
Total Investments — 104.2% (Cost $164,602) | 171,504 | |
Liabilities in Excess of Other Assets — (4.2)% | (6,944) | |
NET ASSETS — 100.0% | 164,560 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
REIT | Real Estate Investment Trust |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $3,506. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2022. |
12 | JPMorgan Insurance Trust | June 30, 2022 |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Russell 2000 E-Mini Index | 49 | 09/16/2022 | USD | 4,187 | (63) |
Abbreviations | |
USD | United States Dollar |
June 30, 2022 | JPMorgan Insurance Trust | 13 |
JPMorgan Insurance Trust Small Cap Core Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $159,555 |
Investments in affiliates, at value | 8,306 |
Investments of cash collateral received from securities loaned, at value (See Note 2.B) | 3,643 |
Deposits at broker for futures contracts | 361 |
Receivables: | |
Due from custodian | 65 |
Investment securities sold | 1,137 |
Portfolio shares sold | 138 |
Dividends from non-affiliates | 197 |
Dividends from affiliates | 3 |
Securities lending income (See Note 2.B) | 2 |
Variation margin on futures contracts | 46 |
Total Assets | 173,453 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 5,005 |
Collateral received on securities loaned (See Note 2.B) | 3,643 |
Portfolio shares redeemed | 87 |
Accrued liabilities: | |
Investment advisory fees | 91 |
Administration fees | 11 |
Distribution fees | —(a) |
Custodian and accounting fees | 13 |
Other | 43 |
Total Liabilities | 8,893 |
Net Assets | $164,560 (a) Amount rounds to less than one thousand. |
14 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Small Cap Core Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $161,008 |
Total distributable earnings (loss) | 3,552 |
Total Net Assets: | $164,560 |
Net Assets: | |
Class 1 | $163,353 |
Class 2 | 1,207 |
Total | $164,560 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 9,532 |
Class 2 | 71 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $ 17.14 |
Class 2 — Offering and redemption price per share | 16.93 |
Cost of investments in non-affiliates | $152,653 |
Cost of investments in affiliates | 8,306 |
Investment securities on loan, at value (See Note 2.B) | 3,506 |
Cost of investment of cash collateral (See Note 2.B) | 3,643 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
June 30, 2022 | JPMorgan Insurance Trust | 15 |
JPMorgan Insurance Trust Small Cap Core Portfolio | |
INVESTMENT INCOME: | |
Dividend income from non-affiliates | $ 1,122 |
Dividend income from affiliates | 6 |
Income from securities lending (net) (See Note 2.B) | 12 |
Total investment income | 1,140 |
EXPENSES: | |
Investment advisory fees | 615 |
Administration fees | 71 |
Distribution fees: | |
Class 2 | 2 |
Custodian and accounting fees | 23 |
Professional fees | 24 |
Trustees’ and Chief Compliance Officer’s fees | 13 |
Printing and mailing costs | 21 |
Transfer agency fees (See Note 2.F) | 3 |
Other | 19 |
Total expenses | 791 |
Less fees waived | (4) |
Net expenses | 787 |
Net investment income (loss) | 353 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | 303 |
Futures contracts | (1,140) |
Net realized gain (loss) | (837) |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (48,824) |
Investments in affiliates | 1 |
Futures contracts | (174) |
Change in net unrealized appreciation/depreciation | (48,997) |
Net realized/unrealized gains (losses) | (49,834) |
Change in net assets resulting from operations | $(49,481) |
16 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Small Cap Core Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $ 353 | $ 737 | |
Net realized gain (loss) | (837) | 38,928 | |
Change in net unrealized appreciation/depreciation | (48,997) | 2,687 | |
Change in net assets resulting from operations | (49,481) | 42,352 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class 1 | (38,468) | (6,622) | |
Class 2 | (284) | (45) | |
Total distributions to shareholders | (38,752) | (6,667) | |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 32,123 | (17,954) | |
NET ASSETS: | |||
Change in net assets | (56,110) | 17,731 | |
Beginning of period | 220,670 | 202,939 | |
End of period | $164,560 | $220,670 |
June 30, 2022 | JPMorgan Insurance Trust | 17 |
JPMorgan Insurance Trust Small Cap Core Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CAPITAL TRANSACTIONS: | |||
Class 1 | |||
Proceeds from shares issued | $ 10,278 | $ 32,845 | |
Distributions reinvested | 38,468 | 6,622 | |
Cost of shares redeemed | (16,779) | (57,425) | |
Change in net assets resulting from Class 1 capital transactions | 31,967 | (17,958) | |
Class 2 | |||
Proceeds from shares issued | 12 | 471 | |
Distributions reinvested | 284 | 45 | |
Cost of shares redeemed | (140) | (512) | |
Change in net assets resulting from Class 2 capital transactions | 156 | 4 | |
Total change in net assets resulting from capital transactions | $ 32,123 | $(17,954) | |
SHARE TRANSACTIONS: | |||
Class 1 | |||
Issued | 444 | 1,186 | |
Reinvested | 2,058 | 240 | |
Redeemed | (680) | (2,073) | |
Change in Class 1 Shares | 1,822 | (647) | |
Class 2 | |||
Issued | 1 | 16 | |
Reinvested | 15 | 2 | |
Redeemed | (6) | (18) | |
Change in Class 2 Shares | 10 | —(a) |
(a) | Amount rounds to less than one thousand. |
18 | JPMorgan Insurance Trust | June 30, 2022 |
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, 2022 (Unaudited) | $28.40 | $0.05 | $(6.16) | $(6.11) | $(0.11) | $(5.04) | $(5.15) | |
Year Ended December 31, 2021 | 24.11 | 0.09 | 5.04 | 5.13 | (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) | |
Class 2 | ||||||||
Six Months Ended June 30, 2022 (Unaudited) | 28.06 | 0.01 | (6.08) | (6.07) | (0.02) | (5.04) | (5.06) | |
Year Ended December 31, 2021 | 23.85 | 0.01 | 4.98 | 4.99 | (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) |
(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) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
20 | JPMorgan Insurance Trust | June 30, 2022 |
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 and reimbursements | Portfolio turnover rate(c) | |
$17.14 | (23.03)% | $163,353 | 0.82(g)% | 0.39(g)% | 0.82(g)% | 39% | |
28.40 | 21.38 | 218,952 | 0.80 | 0.33 | 0.80 | 67 | |
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 | |
16.93 | (23.14) | 1,207 | 1.10(g) | 0.09(g) | 1.11(g) | 39 | |
28.06 | 21.01 | 1,718 | 1.09 | 0.05 | 1.09 | 67 | |
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 |
June 30, 2022 | JPMorgan Insurance Trust | 21 |
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Small Cap Core Portfolio | Class 1 and Class 2 | Diversified |
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
22 | JPMorgan Insurance Trust | June 30, 2022 |
• | 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). |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
Investments in Securities | |||||||
Common Stocks | $159,555 | $— | $— | $159,555 | |||
Rights | — | — | —(a) | —(a) | |||
Short-Term Investments | |||||||
Investment Companies | 8,306 | — | — | 8,306 | |||
Investment of Cash Collateral from Securities Loaned | 3,643 | — | — | 3,643 | |||
Total Short-Term Investments | 11,949 | — | — | 11,949 | |||
Total Investments in Securities | $171,504 | $— | $— | $171,504 | |||
Depreciation in Other Financial Instruments | |||||||
Futures Contracts | $ (63) | $— | $— | $ (63) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 23 |
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) | |
$3,506 | $(3,506) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
$1 |
For the six months ended June 30, 2022 | |||||||||||||||
Security Description | Value at December 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2022 | Shares at June 30, 2022 | Dividend Income | Capital Gain Distributions | ||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (a) (b) | $ 9,193 | $13,000 | $19,500 | $(4)* | $ 1 | $ 2,690 | 2,692 | $11* | $— | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | 2,374 | 23,246 | 24,667 | — | — | 953 | 953 | 3* | — | ||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (a) (b) | 6,890 | 25,947 | 24,531 | — | — | 8,306 | 8,306 | 6 | — | ||||||
Total | $18,457 | $62,193 | $68,698 | $(4) | $ 1 | $11,949 | $20 | $— |
(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, 2022. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
24 | JPMorgan Insurance Trust | June 30, 2022 |
Futures Contracts: | |
Average Notional Balance Long | $4,668 |
Ending Notional Balance Long | 4,187 |
Class 1 | Class 2 | Total | |
Transfer agency fees | $3 | $—(a) | $3 |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 25 |
Class 1 | Class 2 | |
1.03% | 1.28% |
26 | JPMorgan Insurance Trust | June 30, 2022 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$72,326 | $77,520 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$164,602 | $27,355 | $20,516 | $6,839 |
June 30, 2022 | JPMorgan Insurance Trust | 27 |
28 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 29 |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $ 769.70 | $3.60 | 0.82% |
Hypothetical | 1,000.00 | 1,020.73 | 4.11 | 0.82 |
Class 2 | ||||
Actual | 1,000.00 | 768.60 | 4.82 | 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). |
30 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 31 |
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022. | SAN-JPMITSCCP-622 |
JPMorgan Insurance Trust U.S. Equity Portfolio |
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“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher |
Head of Americas, Client
J.P. Morgan Asset Management
June 30, 2022 | JPMorgan Insurance Trust | 1 |
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares) * | (20.37)% |
S&P 500 Index ** | (19.96)% |
Net Assets as of 6/30/2022 (In Thousands) | $122,106 |
2 | JPMorgan Insurance Trust | June 30, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | ||
1. | Microsoft Corp. | 7.6 % | |
2. | Apple, Inc. | 4.9 | |
3. | Alphabet, Inc., Class A | 4.2 | |
4. | Amazon.com, Inc. | 3.8 | |
5. | AbbVie, Inc. | 3.1 | |
6. | McDonald's Corp. | 2.6 | |
7. | Mastercard, Inc., Class A | 2.6 | |
8. | NXP Semiconductors NV (China) | 2.6 | |
9. | NextEra Energy, Inc. | 2.5 | |
10. | Prologis, Inc. | 2.4 |
PORTFOLIO COMPOSTION BY SECTOR AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | |
Information Technology | 22.2% | |
Health Care | 15.5 | |
Consumer Discretionary | 12.8 | |
Industrials | 11.7 | |
Financials | 9.5 | |
Communication Services | 8.9 | |
Utilities | 4.3 | |
Energy | 3.5 | |
Consumer Staples | 3.1 | |
Materials | 3.0 | |
Real Estate | 2.8 | |
Short-Term Investments | 2.7 |
* | 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, 2022 | JPMorgan Insurance Trust | 3 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | |||||
Class 1 SHARES | March 30, 1995 | (20.37)% | (10.23)% | 12.25% | 13.84% | ||||
Class 2 SHARES | August 16, 2006 | (20.46) | (10.44) | 11.97 | 13.56 |
* | Not annualized. |
4 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 96.9% | ||
Aerospace & Defense — 2.1% | ||
Howmet Aerospace, Inc. | 8 | 238 |
Northrop Grumman Corp. | 4 | 1,740 |
Raytheon Technologies Corp. | 4 | 416 |
Textron, Inc. | 3 | 201 |
2,595 | ||
Air Freight & Logistics — 0.3% | ||
FedEx Corp. | 1 | 181 |
United Parcel Service, Inc., Class B | 1 | 251 |
432 | ||
Automobiles — 1.4% | ||
General Motors Co. * | 3 | 100 |
Rivian Automotive, Inc., Class A * | 1 | 31 |
Tesla, Inc. * | 3 | 1,593 |
1,724 | ||
Banks — 4.8% | ||
Bank of America Corp. | 15 | 477 |
Fifth Third Bancorp | 8 | 277 |
SVB Financial Group * | 1 | 194 |
Truist Financial Corp. | 50 | 2,362 |
US Bancorp | 10 | 453 |
Wells Fargo & Co. | 55 | 2,149 |
5,912 | ||
Beverages — 2.3% | ||
Coca-Cola Co. (The) | 36 | 2,288 |
Constellation Brands, Inc., Class A | 1 | 235 |
Monster Beverage Corp. * | 3 | 256 |
2,779 | ||
Biotechnology — 5.8% | ||
AbbVie, Inc. | 25 | 3,786 |
Biogen, Inc. * | 1 | 163 |
BioMarin Pharmaceutical, Inc. * | 1 | 111 |
Neurocrine Biosciences, Inc. * | 2 | 147 |
Regeneron Pharmaceuticals, Inc. * | 3 | 1,985 |
Sarepta Therapeutics, Inc. * | 1 | 80 |
Vertex Pharmaceuticals, Inc. * | 3 | 783 |
7,055 | ||
Building Products — 1.1% | ||
Trane Technologies plc | 10 | 1,362 |
Capital Markets — 3.2% | ||
Ameriprise Financial, Inc. | 4 | 869 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Capital Markets — continued | ||
Morgan Stanley | 21 | 1,587 |
S&P Global, Inc. | 4 | 1,482 |
3,938 | ||
Chemicals — 2.4% | ||
DuPont de Nemours, Inc. | 1 | 54 |
Eastman Chemical Co. | 11 | 992 |
Linde plc (United Kingdom) | 1 | 405 |
PPG Industries, Inc. | 13 | 1,479 |
2,930 | ||
Construction Materials — 0.6% | ||
Vulcan Materials Co. | 5 | 727 |
Consumer Finance — 0.3% | ||
American Express Co. | 2 | 323 |
Diversified Financial Services — 0.1% | ||
Voya Financial, Inc. | 2 | 111 |
Diversified Telecommunication Services — 1.6% | ||
Verizon Communications, Inc. | 38 | 1,928 |
Electric Utilities — 3.9% | ||
Exelon Corp. | 7 | 318 |
NextEra Energy, Inc. | 40 | 3,058 |
Xcel Energy, Inc. | 19 | 1,372 |
4,748 | ||
Electrical Equipment — 2.0% | ||
Eaton Corp. plc | 20 | 2,466 |
Electronic Equipment, Instruments & Components — 0.2% | ||
Keysight Technologies, Inc. * | 2 | 224 |
Energy Equipment & Services — 1.1% | ||
Baker Hughes Co. | 45 | 1,299 |
Entertainment — 0.2% | ||
Endeavor Group Holdings, Inc., Class A * | 10 | 205 |
Equity Real Estate Investment Trusts (REITs) — 2.8% | ||
Host Hotels & Resorts, Inc. | 6 | 96 |
Prologis, Inc. | 24 | 2,876 |
Sun Communities, Inc. | 2 | 295 |
Ventas, Inc. | 3 | 148 |
3,415 | ||
Food Products — 0.2% | ||
Mondelez International, Inc., Class A | 4 | 259 |
June 30, 2022 | JPMorgan Insurance Trust | 5 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Health Care Equipment & Supplies — 2.7% | ||
Boston Scientific Corp. * | 54 | 2,003 |
Intuitive Surgical, Inc. * | 5 | ��1,052 |
Zimmer Biomet Holdings, Inc. | 2 | 194 |
3,249 | ||
Health Care Providers & Services — 3.4% | ||
Centene Corp. * | 29 | 2,432 |
UnitedHealth Group, Inc. | 3 | 1,713 |
4,145 | ||
Hotels, Restaurants & Leisure — 3.6% | ||
Booking Holdings, Inc. * | — | 120 |
Chipotle Mexican Grill, Inc. * | — | 231 |
Expedia Group, Inc. * | 1 | 77 |
Hilton Worldwide Holdings, Inc. | — | 27 |
Marriott International, Inc., Class A | 6 | 754 |
McDonald's Corp. | 13 | 3,166 |
4,375 | ||
Household Durables — 0.1% | ||
Toll Brothers, Inc. | 3 | 123 |
Household Products — 0.4% | ||
Colgate-Palmolive Co. | 2 | 155 |
Procter & Gamble Co. (The) | 2 | 345 |
500 | ||
Insurance — 1.0% | ||
Aon plc, Class A | 1 | 173 |
Arthur J Gallagher & Co. | — | 27 |
Progressive Corp. (The) | 9 | 1,063 |
1,263 | ||
Interactive Media & Services — 6.5% | ||
Alphabet, Inc., Class A * | 2 | 5,056 |
Alphabet, Inc., Class C * | 1 | 1,468 |
Meta Platforms, Inc., Class A * | 6 | 984 |
Snap, Inc., Class A * | 30 | 391 |
7,899 | ||
Internet & Direct Marketing Retail — 3.8% | ||
Amazon.com, Inc. * | 44 | 4,635 |
IT Services — 2.8% | ||
Affirm Holdings, Inc. * | 6 | 115 |
FleetCor Technologies, Inc. * | 1 | 185 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
IT Services — continued | ||
Mastercard, Inc., Class A | 10 | 3,095 |
Shopify, Inc., Class A (Canada) * | 3 | 89 |
3,484 | ||
Life Sciences Tools & Services — 0.6% | ||
Thermo Fisher Scientific, Inc. | 1 | 708 |
Machinery — 2.6% | ||
Deere & Co. | 8 | 2,441 |
Dover Corp. | 2 | 280 |
Ingersoll Rand, Inc. | 7 | 280 |
Otis Worldwide Corp. | 2 | 167 |
3,168 | ||
Media — 0.4% | ||
Charter Communications, Inc., Class A * | 1 | 385 |
Comcast Corp., Class A | 4 | 162 |
547 | ||
Multiline Retail — 1.0% | ||
Dollar General Corp. | 5 | 1,217 |
Multi-Utilities — 0.4% | ||
Ameren Corp. | 4 | 361 |
CenterPoint Energy, Inc. | 4 | 127 |
488 | ||
Oil, Gas & Consumable Fuels — 2.3% | ||
Chevron Corp. | 3 | 471 |
ConocoPhillips | 6 | 512 |
Diamondback Energy, Inc. | 2 | 279 |
Pioneer Natural Resources Co. | 7 | 1,601 |
2,863 | ||
Personal Products — 0.2% | ||
Estee Lauder Cos., Inc. (The), Class A | 1 | 213 |
Pharmaceuticals — 3.0% | ||
Bristol-Myers Squibb Co. | 37 | 2,838 |
Eli Lilly & Co. | 1 | 386 |
Johnson & Johnson | 2 | 299 |
Merck & Co., Inc. | 1 | 113 |
3,636 | ||
Professional Services — 1.0% | ||
Booz Allen Hamilton Holding Corp. | 1 | 91 |
Leidos Holdings, Inc. | 11 | 1,124 |
1,215 |
6 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Road & Rail — 2.5% | ||
Lyft, Inc., Class A * | 5 | 71 |
Norfolk Southern Corp. | 9 | 2,122 |
Old Dominion Freight Line, Inc. | 1 | 145 |
Uber Technologies, Inc. * | 33 | 669 |
3,007 | ||
Semiconductors & Semiconductor Equipment — 5.8% | ||
Advanced Micro Devices, Inc. * | 19 | 1,496 |
Analog Devices, Inc. | 9 | 1,283 |
Lam Research Corp. | 1 | 291 |
NVIDIA Corp. | 2 | 315 |
NXP Semiconductors NV (China) | 21 | 3,095 |
Teradyne, Inc. | 7 | 625 |
7,105 | ||
Software — 8.2% | ||
Adobe, Inc. * | — | 70 |
Coupa Software, Inc. * | 2 | 104 |
DocuSign, Inc. * | 2 | 83 |
Intuit, Inc. | 1 | 270 |
Microsoft Corp. | 36 | 9,286 |
Workday, Inc., Class A * | 1 | 165 |
9,978 | ||
Specialty Retail — 2.1% | ||
Best Buy Co., Inc. | — | 11 |
Burlington Stores, Inc. * | 2 | 217 |
Lowe's Cos., Inc. | 8 | 1,323 |
O'Reilly Automotive, Inc. * | 1 | 977 |
TJX Cos., Inc. (The) | — | 26 |
2,554 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Technology Hardware, Storage & Peripherals — 5.1% | ||
Apple, Inc. | 44 | 5,949 |
Seagate Technology Holdings plc | 3 | 242 |
6,191 | ||
Textiles, Apparel & Luxury Goods — 0.8% | ||
NIKE, Inc., Class B | 10 | 1,008 |
Wireless Telecommunication Services — 0.2% | ||
T-Mobile US, Inc. * | 2 | 308 |
Total Common Stocks (Cost $79,739) | 118,311 | |
Short Term Investments — 2.7% | ||
Investment Companies — 2.7% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (a) (b) (Cost $3,281) | 3,281 | 3,281 |
Total Investments — 99.6% (Cost $83,020) | 121,592 | |
Other Assets Less Liabilities — 0.4% | 514 | |
NET ASSETS — 100.0% | 122,106 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
* | Non-income producing security. |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of June 30, 2022. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
S&P 500 E-Mini Index | 7 | 09/16/2022 | USD | 1,329 | 13 |
Abbreviations | |
USD | United States Dollar |
June 30, 2022 | JPMorgan Insurance Trust | 7 |
JPMorgan Insurance Trust U.S. Equity Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $118,311 |
Investments in affiliates, at value | 3,281 |
Deposits at broker for futures contracts | 119 |
Receivables: | |
Investment securities sold | 595 |
Portfolio shares sold | 260 |
Dividends from non-affiliates | 103 |
Dividends from affiliates | 3 |
Securities lending income (See Note 2.B) | —(a) |
Variation margin on futures contracts | 82 |
Total Assets | 122,754 |
LIABILITIES: | |
Payables: | |
Due to custodian | 1 |
Investment securities purchased | 533 |
Portfolio shares redeemed | 8 |
Accrued liabilities: | |
Investment advisory fees | 56 |
Administration fees | 8 |
Distribution fees | 3 |
Custodian and accounting fees | 1 |
Other | 38 |
Total Liabilities | 648 |
Net Assets | $122,106 (a) Amount rounds to less than one thousand. |
8 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust U.S. Equity Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $ 81,401 |
Total distributable earnings (loss) | 40,705 |
Total Net Assets: | $122,106 |
Net Assets: | |
Class 1 | $108,584 |
Class 2 | 13,522 |
Total | $122,106 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 3,511 |
Class 2 | 444 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $ 30.94 |
Class 2 — Offering and redemption price per share | 30.44 |
Cost of investments in non-affiliates | $ 79,739 |
Cost of investments in affiliates | 3,281 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
June 30, 2022 | JPMorgan Insurance Trust | 9 |
JPMorgan Insurance Trust U.S. Equity Portfolio | |
INVESTMENT INCOME: | |
Dividend income from non-affiliates | $ 959 |
Dividend income from affiliates | 5 |
Income from securities lending (net) (See Note 2.B) | —(a) |
Total investment income | 964 |
EXPENSES: | |
Investment advisory fees | 383 |
Administration fees | 52 |
Distribution fees: | |
Class 2 | 19 |
Custodian and accounting fees | 21 |
Professional fees | 24 |
Trustees’ and Chief Compliance Officer’s fees | 13 |
Printing and mailing costs | 21 |
Transfer agency fees (See Note 2.F) | 1 |
Other | 16 |
Total expenses | 550 |
Less fees waived | (2) |
Net expenses | 548 |
Net investment income (loss) | 416 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | 3,345 |
Futures contracts | (456) |
Net realized gain (loss) | 2,889 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (35,047) |
Futures contracts | (4) |
Change in net unrealized appreciation/depreciation | (35,051) |
Net realized/unrealized gains (losses) | (32,162) |
Change in net assets resulting from operations | $(31,746) |
(a) | Amount rounds to less than one thousand. |
10 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust U.S. Equity Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $ 416 | $ 675 | |
Net realized gain (loss) | 2,889 | 20,036 | |
Change in net unrealized appreciation/depreciation | (35,051) | 17,509 | |
Change in net assets resulting from operations | (31,746) | 38,220 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class 1 | (17,774) | (6,770) | |
Class 2 | (2,131) | (914) | |
Total distributions to shareholders | (19,905) | (7,684) | |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 13,483 | (10,429) | |
NET ASSETS: | |||
Change in net assets | (38,168) | 20,107 | |
Beginning of period | 160,274 | 140,167 | |
End of period | $122,106 | $160,274 |
June 30, 2022 | JPMorgan Insurance Trust | 11 |
JPMorgan Insurance Trust U.S. Equity Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CAPITAL TRANSACTIONS: | |||
Class 1 | |||
Proceeds from shares issued | $ 25,490 | $ 7,930 | |
Distributions reinvested | 17,774 | 6,769 | |
Cost of shares redeemed | (31,652) | (20,119) | |
Change in net assets resulting from Class 1 capital transactions | 11,612 | (5,420) | |
Class 2 | |||
Proceeds from shares issued | 2,059 | 809 | |
Distributions reinvested | 2,131 | 914 | |
Cost of shares redeemed | (2,319) | (6,732) | |
Change in net assets resulting from Class 2 capital transactions | 1,871 | (5,009) | |
Total change in net assets resulting from capital transactions | $ 13,483 | $(10,429) | |
SHARE TRANSACTIONS: | |||
Class 1 | |||
Issued | 633 | 192 | |
Reinvested | 537 | 170 | |
Redeemed | (780) | (493) | |
Change in Class 1 Shares | 390 | (131) | |
Class 2 | |||
Issued | 59 | 21 | |
Reinvested | 65 | 23 | |
Redeemed | (60) | (167) | |
Change in Class 2 Shares | 64 | (123) |
12 | JPMorgan Insurance Trust | June 30, 2022 |
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, 2022 (Unaudited) | $45.86 | $0.13 | $ (9.08) | $ (8.95) | $(0.21) | $(5.76) | $(5.97) | |
Year Ended December 31, 2021 | 37.40 | 0.20 | 10.44 | 10.64 | (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) | |
Class 2 | ||||||||
Six Months Ended June 30, 2022 (Unaudited) | 45.14 | 0.08 | (8.93) | (8.85) | (0.09) | (5.76) | (5.85) | |
Year Ended December 31, 2021 | 36.85 | 0.10 | 10.28 | 10.38 | (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) |
(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) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
14 | JPMorgan Insurance Trust | June 30, 2022 |
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 and reimbursements | Portfolio turnover rate(c) | |
$30.94 | (20.37)% | $108,584 | 0.75(g)% | 0.64(g)% | 0.75(g)% | 25% | |
45.86 | 29.34 | 143,135 | 0.74 | 0.48 | 0.74 | 48 | |
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 | |
30.44 | (20.46) | 13,522 | 1.00(g) | 0.39(g) | 1.00(g) | 25 | |
45.14 | 29.01 | 17,139 | 0.99 | 0.23 | 0.99 | 48 | |
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 |
June 30, 2022 | JPMorgan Insurance Trust | 15 |
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust U.S. Equity Portfolio | Class 1 and Class 2 | Diversified |
• | 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). |
16 | JPMorgan Insurance Trust | June 30, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
Total Investments in Securities (a) | $121,592 | $— | $— | $121,592 | |||
Appreciation in Other Financial Instruments | |||||||
Futures Contracts (a) | $ 13 | $— | $— | $ 13 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
$—(a) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 17 |
For the six months ended June 30, 2022 | |||||||||||||||
Security Description | Value at December 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2022 | Shares at June 30, 2022 | Dividend Income | Capital Gain Distributions | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | $ 409 | $ 3,435 | $ 3,844 | $— | $— | $ — | — | $ —(c) | $— | ||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.31% (a) (b) | 1,333 | 19,110 | 17,162 | — | — | 3,281 | 3,281 | 5 | — | ||||||
Total | $1,742 | $22,545 | $21,006 | $— | $— | $3,281 | $ 5 | $— |
(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, 2022. |
(c) | Amount rounds to less than one thousand. |
Futures Contracts: | |
Average Notional Balance Long | $1,646 |
Ending Notional Balance Long | 1,329 |
18 | JPMorgan Insurance Trust | June 30, 2022 |
Class 1 | Class 2 | Total | |
Transfer agency fees | $1 | $—(a) | $1 |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 19 |
Class 1 | Class 2 | ||
0.80% | 1.05% |
20 | JPMorgan Insurance Trust | June 30, 2022 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$34,340 | $43,436 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$83,020 | $42,912 | $4,327 | $38,585 |
June 30, 2022 | JPMorgan Insurance Trust | 21 |
22 | JPMorgan Insurance Trust | June 30, 2022 |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $ 796.30 | $3.34 | 0.75% |
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 |
Class 2 | ||||
Actual | 1,000.00 | 795.40 | 4.45 | 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, 2022 | JPMorgan Insurance Trust | 23 |
24 | JPMorgan Insurance Trust | June 30, 2022 |
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022. | SAN-JPMITUSEP-622 |
JPMorgan Insurance Trust Income Builder Portfolio |
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“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher |
Head of Americas, Client
J.P. Morgan Asset Management
June 30, 2022 | JPMorgan Insurance Trust | 1 |
REPORTING PERIOD RETURN: | |
Portfolio (Class 2 Shares) * | (13.50)% |
MSCI World Index (net total return) | (20.51)% |
60% MSCI World Index (net total return) / 40% Bloomberg U.S. Aggregate Index (formerly known as Income Builder Composite Benchmark) | (16.47)% |
Net Assets as of 6/30/2022 (In Thousands) | $94,009 |
2 | JPMorgan Insurance Trust | June 30, 2022 |
TOP TEN POSITIONS OF THE PORTFOLIO AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | ||
1. | JPMorgan High Yield Research Enhanced ETF | 6.0 % | |
2. | JPMorgan Equity Premium Income ETF | 2.6 | |
3. | JPMorgan Equity Income Fund, Class R6 | 1.7 | |
4. | JPMorgan Floating Rate Income Fund, Class R6 | 1.1 | |
5. | Citigroup Global Markets Holdings, Inc., ELN, 8.00%, 8/31/2022, (linked to NASDAQ 100 Stock Index) 8.00, 8/31/2022 | 1.0 | |
6. | Credit Suisse AG, ELN, 8.00%, 8/24/2022, (linked to NASDAQ 100 Stock Index) 8.00, 8/24/2022 (Switzerland) | 1.0 | |
7. | National Bank of Canada, ELN, 7.50%, 8/17/2022, (linked to Russell 2000 Index) 7.50, 8/17/2022 (Canada) | 1.0 | |
8. | Societe Generale SA, ELN, 7.50%, 8/10/2022, (linked to Russell 2000 Index) 7.50, 8/10/2022 (France) | 1.0 | |
9. | Barclays Bank plc, ELN, 7.00%, 8/3/2022, (linked to Russell 2000 Index) 7.00, 8/03/2022 (United Kingdom) | 1.0 | |
10. | BNP Paribas Issuance BV, ELN, 7.00%, 7/27/2022, (linked to Russell 2000 Index) 7.00, 8/03/2022 (France) | 1.0 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | |
Common Stocks | 38.4% | |
Corporate Bonds | 34.2 | |
Exchange-Traded Funds | 8.6 | |
Equity-Linked Notes | 6.9 | |
Investment Companies | 2.8 | |
Commercial Mortgage-Backed Securities | 2.1 | |
Collateralized Mortgage Obligations | 1.0 | |
Others (each less than 1.0%) | 2.3 | |
Short-Term Investments | 3.7 |
* | 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, 2022 | JPMorgan Insurance Trust | 3 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||
Class 1 SHARES | December 9, 2014 | (13.38)% | (11.52)% | 2.72% | 3.37% | ||||
Class 2 SHARES | December 9, 2014 | (13.50) | (11.71) | 2.46 | 3.11 |
* | Not annualized. |
4 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 38.2% | ||
Australia — 0.8% | ||
Adbri Ltd. | 7 | 11 |
AGL Energy Ltd. | 15 | 84 |
Alumina Ltd. | 21 | 21 |
APA Group | 3 | 25 |
Bendigo & Adelaide Bank Ltd. | 5 | 32 |
BHP Group Ltd. | 6 | 161 |
Charter Hall Long Wale, REIT | 8 | 25 |
CSR Ltd. | 8 | 22 |
Dexus, REIT | 6 | 35 |
Glencore plc * | 10 | 55 |
Goodman Group, REIT | 3 | 36 |
Insignia Financial Ltd. | 16 | 29 |
Mirvac Group, REIT | 19 | 26 |
Rio Tinto plc | 2 | 127 |
Sonic Healthcare Ltd. | 1 | 34 |
Telstra Corp. Ltd. | 8 | 22 |
Woodside Energy Group Ltd. | 2 | 46 |
Woodside Energy Group Ltd. | — | — |
791 | ||
Austria — 0.1% | ||
ANDRITZ AG | 1 | 22 |
BAWAG Group AG * (a) | — | 22 |
Erste Group Bank AG | — | 13 |
Mondi plc | 1 | 22 |
OMV AG | 1 | 25 |
104 | ||
Belgium — 0.2% | ||
Ageas SA | 1 | 22 |
Cofinimmo SA, REIT | — | 26 |
Euronav NV | 2 | 22 |
KBC Group NV | — | 16 |
Proximus SADP | 1 | 19 |
Shurgard Self Storage SA | — | 20 |
Telenet Group Holding NV | 1 | 9 |
Warehouses De Pauw CVA, REIT | 1 | 29 |
163 | ||
Brazil — 0.2% | ||
B3 SA - Brasil Bolsa Balcao | 42 | 88 |
BB Seguridade Participacoes SA | 5 | 27 |
Itau Unibanco Holding SA (Preference) * | 10 | 43 |
Yara International ASA | 1 | 26 |
184 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Canada — 2.5% | ||
Algonquin Power & Utilities Corp. | 2 | 25 |
Allied Properties, REIT | 2 | 43 |
AltaGas Ltd. | 1 | 19 |
Atco Ltd., Class I | 1 | 23 |
Bank of Nova Scotia (The) | 1 | 65 |
Barrick Gold Corp. (b) | 3 | 60 |
BCE, Inc. | 2 | 99 |
Canadian Imperial Bank of Commerce | 1 | 66 |
Canadian National Railway Co. | 1 | 129 |
Canadian Tire Corp. Ltd., Class A | — | 31 |
Canadian Utilities Ltd., Class A (b) | 3 | 102 |
Capital Power Corp. | 1 | 26 |
Chartwell Retirement Residences | 2 | 19 |
Emera, Inc. | 1 | 28 |
Enbridge, Inc. | 3 | 106 |
Fortis, Inc. | 2 | 105 |
Gibson Energy, Inc. | 1 | 23 |
Great-West Lifeco, Inc. | 3 | 69 |
Hydro One Ltd. (a) | 4 | 106 |
IGM Financial, Inc. | 2 | 49 |
Keyera Corp. | 1 | 26 |
Manulife Financial Corp. | 4 | 70 |
Northland Power, Inc. | 1 | 22 |
Nutrien Ltd. | 1 | 70 |
Pembina Pipeline Corp. | 3 | 105 |
Power Corp. of Canada | 3 | 68 |
Restaurant Brands International, Inc. | 1 | 70 |
Rogers Communications, Inc., Class B | 2 | 73 |
Shaw Communications, Inc., Class B | 3 | 82 |
Sienna Senior Living, Inc. | 2 | 22 |
Superior Plus Corp. | 2 | 22 |
TC Energy Corp. | 5 | 270 |
TELUS Corp. | 4 | 97 |
Thomson Reuters Corp. | — | 26 |
Toronto-Dominion Bank (The) | 2 | 118 |
TransAlta Renewables, Inc. | 2 | 21 |
2,355 | ||
Chile — 0.0% ^ | ||
Banco Santander Chile, ADR | 2 | 31 |
China — 1.9% | ||
China Construction Bank Corp., Class H | 217 | 146 |
China Merchants Bank Co. Ltd., Class H | 23 | 157 |
China Pacific Insurance Group Co. Ltd., Class H | 34 | 85 |
June 30, 2022 | JPMorgan Insurance Trust | 5 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
China — continued | ||
China Petroleum & Chemical Corp., Class H | 142 | 64 |
China Resources Land Ltd. | 20 | 94 |
Fuyao Glass Industry Group Co. Ltd., Class A | 3 | 18 |
Fuyao Glass Industry Group Co. Ltd., Class H (a) | 6 | 28 |
Guangdong Investment Ltd. | 32 | 34 |
Haier Smart Home Co. Ltd., Class H | 38 | 141 |
Huayu Automotive Systems Co. Ltd., Class A | 19 | 66 |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 22 | 127 |
Joyoung Co. Ltd., Class A | 8 | 22 |
Midea Group Co. Ltd., Class A | 11 | 101 |
NetEase, Inc. | 6 | 121 |
Ping An Insurance Group Co. of China Ltd., Class H | 16 | 107 |
Postal Savings Bank of China Co. Ltd., Class H (a) | 121 | 96 |
Tingyi Cayman Islands Holding Corp. | 56 | 96 |
Topsports International Holdings Ltd. (a) | 36 | 33 |
Wilmar International Ltd. | 16 | 46 |
Wuliangye Yibin Co. Ltd., Class A | 1 | 42 |
Xinyi Glass Holdings Ltd. | 26 | 64 |
Xinyi Solar Holdings Ltd. | 28 | 43 |
Yum China Holdings, Inc. | 1 | 34 |
Zhejiang Supor Co. Ltd., Class A | 7 | 55 |
1,820 | ||
Denmark — 0.5% | ||
AP Moller - Maersk A/S, Class B | — | 63 |
Carlsberg A/S, Class B | 1 | 133 |
D/S Norden A/S | 1 | 22 |
Novo Nordisk A/S, Class B | 2 | 222 |
Topdanmark A/S | — | 14 |
454 | ||
Finland — 0.4% | ||
Elisa OYJ | 1 | 54 |
Fortum OYJ | 1 | 19 |
Nordea Bank Abp | 18 | 164 |
Orion OYJ, Class B | 2 | 73 |
Sampo OYJ, Class A | 1 | 27 |
Wartsila OYJ Abp | 5 | 36 |
373 | ||
France — 1.4% | ||
Air Liquide SA | — | 51 |
AXA SA | 2 | 38 |
BNP Paribas SA | 1 | 49 |
Capgemini SE | — | 62 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
France — continued | ||
Carrefour SA | 1 | 17 |
Cie de Saint-Gobain | — | 19 |
Covivio, REIT | — | 21 |
Credit Agricole SA | 5 | 44 |
Danone SA | 2 | 82 |
Engie SA | 3 | 31 |
Eutelsat Communications SA | 2 | 21 |
Gaztransport Et Technigaz SA | — | 26 |
Klepierre SA, REIT * | 3 | 66 |
L'Oreal SA | — | 46 |
LVMH Moet Hennessy Louis Vuitton SE | — | 160 |
Orange SA | 5 | 64 |
Publicis Groupe SA * | 1 | 30 |
Rexel SA | 1 | 17 |
Rubis SCA | 1 | 17 |
Sanofi | 1 | 63 |
Societe Generale SA | 1 | 24 |
TotalEnergies SE | 3 | 146 |
Vinci SA | 2 | 192 |
Vivendi SE | 6 | 60 |
1,346 | ||
Germany — 1.3% | ||
Allianz SE (Registered) | 1 | 237 |
Aroundtown SA | 10 | 31 |
BASF SE | 1 | 40 |
Bayer AG (Registered) | — | 11 |
Bayerische Motoren Werke AG | — | 36 |
Covestro AG (a) | 1 | 29 |
Deutsche Post AG (Registered) | 4 | 141 |
Deutsche Telekom AG (Registered) | 9 | 170 |
E.ON SE | 2 | 19 |
Evonik Industries AG | 1 | 15 |
Freenet AG | 1 | 28 |
LEG Immobilien SE | — | 38 |
Mercedes-Benz Group AG | 1 | 46 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 1 | 151 |
Telefonica Deutschland Holding AG | 36 | 104 |
Uniper SE | 1 | 12 |
Vonovia SE | 3 | 100 |
1,208 | ||
Hong Kong — 0.6% | ||
CK Asset Holdings Ltd. | 5 | 36 |
6 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Hong Kong — continued | ||
CK Infrastructure Holdings Ltd. | 4 | 21 |
CLP Holdings Ltd. | 3 | 21 |
Hang Lung Properties Ltd. | 8 | 15 |
Hang Seng Bank Ltd. | 3 | 58 |
HK Electric Investments & HK Electric Investments Ltd. (a) | 7 | 6 |
HKBN Ltd. | 19 | 22 |
HKT Trust & HKT Ltd. | 49 | 66 |
Hong Kong Exchanges & Clearing Ltd. | 2 | 119 |
New World Development Co. Ltd. | 9 | 32 |
PCCW Ltd. | 43 | 23 |
Power Assets Holdings Ltd. | 4 | 25 |
VTech Holdings Ltd. | 4 | 33 |
WH Group Ltd. (a) | 28 | 22 |
Yue Yuen Industrial Holdings Ltd. | 16 | 21 |
520 | ||
India — 0.3% | ||
Infosys Ltd., ADR | 13 | 238 |
Indonesia — 0.3% | ||
Bank Rakyat Indonesia Persero Tbk. PT | 493 | 137 |
Telkom Indonesia Persero Tbk. PT, ADR | 5 | 151 |
288 | ||
Italy — 0.6% | ||
A2A SpA | 42 | 53 |
ACEA SpA | 1 | 15 |
Assicurazioni Generali SpA | 3 | 55 |
Banca Generali SpA | 1 | 18 |
Banca Mediolanum SpA | 8 | 51 |
Enav SpA * (a) | 1 | 5 |
Enel SpA | 10 | 54 |
Eni SpA | 3 | 37 |
ERG SpA | — | 9 |
Hera SpA | 5 | 14 |
Intesa Sanpaolo SpA | 35 | 66 |
Iren SpA * | 9 | 20 |
Italgas SpA | 4 | 22 |
Mediobanca Banca di Credito Finanziario SpA | 2 | 18 |
Poste Italiane SpA (a) | 2 | 20 |
Snam SpA | 5 | 25 |
Terna - Rete Elettrica Nazionale | 3 | 26 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Italy — continued | ||
UniCredit SpA | 3 | 24 |
Unipol Gruppo SpA | 3 | 14 |
546 | ||
Japan — 2.1% | ||
Aozora Bank Ltd. | 2 | 47 |
ARTERIA Networks Corp. | 2 | 17 |
Bridgestone Corp. | 3 | 117 |
Chubu Electric Power Co., Inc. | 2 | 24 |
Chugoku Electric Power Co., Inc. (The) | 3 | 19 |
Dai Nippon Printing Co. Ltd. | 2 | 36 |
Daiwa House Industry Co. Ltd. | 1 | 23 |
Daiwa House REIT Investment Corp., REIT | — | 29 |
Electric Power Development Co. Ltd. | 4 | 68 |
ENEOS Holdings, Inc. | 6 | 21 |
FANUC Corp. | 1 | 94 |
Frontier Real Estate Investment Corp., REIT | — | 19 |
Hokkaido Electric Power Co., Inc. | 3 | 11 |
Honda Motor Co. Ltd. | 3 | 72 |
Idemitsu Kosan Co. Ltd. | 2 | 36 |
Japan Metropolitan Fund Investment Corp., REIT | — | 76 |
Japan Post Holdings Co. Ltd. | 8 | 59 |
Japan Tobacco, Inc. | 2 | 38 |
Kansai Electric Power Co., Inc. (The) | 7 | 69 |
KDDI Corp. | 1 | 38 |
Konica Minolta, Inc. | 12 | 41 |
Kyushu Railway Co. | 2 | 40 |
Mitsubishi Chemical Holdings Corp. | 12 | 63 |
Mitsui Fudosan Logistics Park, Inc., REIT | — | 23 |
Nippon Accommodations Fund, Inc., REIT | — | 45 |
Nippon Building Fund, Inc., REIT | — | 40 |
Nippon Prologis REIT, Inc., REIT | — | 34 |
Nippon Telegraph & Telephone Corp. | 3 | 75 |
Okinawa Electric Power Co., Inc. (The) | 2 | 15 |
Osaka Gas Co. Ltd. | — | 8 |
Shikoku Electric Power Co., Inc. | 1 | 5 |
Shin-Etsu Chemical Co. Ltd. | 1 | 90 |
SoftBank Corp. | 8 | 89 |
Sumitomo Forestry Co. Ltd. | 1 | 14 |
Takeda Pharmaceutical Co. Ltd. | 2 | 59 |
Tohoku Electric Power Co., Inc. | 10 | 54 |
Tokio Marine Holdings, Inc. | 2 | 111 |
Tokyo Electron Ltd. | — | 98 |
Tokyo Gas Co. Ltd. | 1 | 17 |
June 30, 2022 | JPMorgan Insurance Trust | 7 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
Toyota Motor Corp. | 5 | 85 |
United Urban Investment Corp., REIT | — | 19 |
1,938 | ||
Luxembourg — 0.0% ^ | ||
Intelsat SA ‡ * | — | 9 |
SES SA, ADR | 3 | 24 |
33 | ||
Mexico — 0.4% | ||
Bolsa Mexicana de Valores SAB de CV | 6 | 11 |
Grupo Financiero Banorte SAB de CV, Class O | 26 | 143 |
Grupo Mexico SAB de CV | 11 | 47 |
Kimberly-Clark de Mexico SAB de CV, Class A | 21 | 28 |
Wal-Mart de Mexico SAB de CV | 48 | 165 |
394 | ||
Netherlands — 0.5% | ||
ABN AMRO Bank NV, CVA (a) | 2 | 16 |
ASML Holding NV | — | 106 |
ASR Nederland NV | — | 18 |
CTP NV (a) | 2 | 26 |
Flow Traders (a) | — | 9 |
ING Groep NV | 3 | 29 |
Koninklijke Ahold Delhaize NV | 1 | 32 |
Koninklijke KPN NV | 13 | 47 |
NN Group NV | 1 | 21 |
OCI NV | 1 | 20 |
PostNL NV (b) | 6 | 18 |
Randstad NV | 1 | 22 |
Shell plc | 4 | 107 |
471 | ||
New Zealand — 0.1% | ||
Contact Energy Ltd. | 9 | 41 |
Spark New Zealand Ltd. | 23 | 69 |
110 | ||
Norway — 0.3% | ||
Aker BP ASA | 1 | 18 |
DNB Bank ASA | 3 | 60 |
Elmera Group ASA (a) | 5 | 10 |
Equinor ASA | 1 | 44 |
FLEX LNG Ltd. | — | 6 |
Gjensidige Forsikring ASA | 1 | 22 |
Lundin Energy MergerCo AB ‡ * | 1 | 28 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Norway — continued | ||
Norsk Hydro ASA | 4 | 23 |
SFL Corp. Ltd. | 3 | 25 |
Telenor ASA | 6 | 85 |
321 | ||
Poland — 0.1% | ||
Powszechny Zaklad Ubezpieczen SA | 7 | 48 |
Portugal — 0.1% | ||
EDP - Energias de Portugal SA | 4 | 21 |
Galp Energia SGPS SA | 2 | 29 |
Jeronimo Martins SGPS SA | 1 | 15 |
Navigator Co. SA (The) | 3 | 12 |
NOS SGPS SA | 6 | 23 |
Redes Energeticas Nacionais SGPS SA | 4 | 12 |
112 | ||
Russia — 0.0% ^ | ||
Moscow Exchange MICEX-RTS PJSC ‡ * | 22 | 1 |
Severstal PAO, GDR ‡ (a) | 1 | — |
Severstal PAO, GDR ‡ (a) | — | — |
1 | ||
Saudi Arabia — 0.1% | ||
Al Rajhi Bank | 3 | 65 |
Singapore — 0.3% | ||
Ascendas, REIT | 15 | 30 |
BW LPG Ltd. (a) | 4 | 28 |
CapitaLand Integrated Commercial Trust, REIT | 40 | 62 |
DBS Group Holdings Ltd. | 5 | 109 |
Digital Core REIT Management Pte. Ltd., REIT * | 23 | 18 |
Keppel Infrastructure Trust | 40 | 17 |
NetLink NBN Trust (a) | 30 | 21 |
Singapore Telecommunications Ltd. | 13 | 24 |
StarHub Ltd. | 16 | 14 |
323 | ||
South Africa — 0.3% | ||
Anglo American plc | 2 | 79 |
AVI Ltd. | 3 | 11 |
Bid Corp. Ltd. | 1 | 26 |
Sanlam Ltd. | 16 | 52 |
SPAR Group Ltd. (The) | 1 | 5 |
Standard Bank Group Ltd. | 6 | 61 |
Vodacom Group Ltd. | 10 | 81 |
315 |
8 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
South Korea — 0.5% | ||
ESR Kendall Square REIT Co. Ltd., REIT | 7 | 28 |
Korea Gas Corp. | — | 10 |
LG Uplus Corp. | 2 | 20 |
NCSoft Corp. | — | 21 |
Samsung Electronics Co. Ltd. | 8 | 359 |
SK Telecom Co. Ltd., ADR | 1 | 16 |
454 | ||
Spain — 1.1% | ||
Acerinox SA * | 2 | 24 |
ACS Actividades de Construccion y Servicios SA | 1 | 17 |
Atlantica Sustainable Infrastructure plc | 1 | 21 |
Banco Bilbao Vizcaya Argentaria SA | 9 | 40 |
Banco Santander SA | 14 | 39 |
CaixaBank SA | 9 | 31 |
Cellnex Telecom SA (a) | 1 | 35 |
Cia de Distribucion Integral Logista Holdings SA | 1 | 18 |
Enagas SA | 4 | 101 |
Endesa SA | 5 | 86 |
Iberdrola SA | 20 | 210 |
Mapfre SA | 7 | 13 |
Merlin Properties Socimi SA, REIT | 3 | 33 |
Naturgy Energy Group SA | 4 | 115 |
Red Electrica Corp. SA | 3 | 57 |
Repsol SA | 5 | 75 |
Telefonica SA * | — | 1 |
Telefonica SA | 25 | 126 |
1,042 | ||
Sweden — 0.5% | ||
Boliden AB | 1 | 28 |
Boliden AB * | 1 | 2 |
Skandinaviska Enskilda Banken AB, Class A | 2 | 23 |
SSAB AB, Class B | 5 | 20 |
Svenska Handelsbanken AB, Class A | 2 | 21 |
Tele2 AB, Class B | 9 | 97 |
Telia Co. AB | 10 | 36 |
Volvo AB, Class B | 13 | 209 |
436 | ||
Switzerland — 0.5% | ||
Novartis AG (Registered) | 2 | 154 |
OC Oerlikon Corp. AG (Registered) | 2 | 13 |
Swisscom AG (Registered) | — | 23 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Switzerland — continued | ||
UBS Group AG (Registered) | 3 | 48 |
Zurich Insurance Group AG | — | 207 |
445 | ||
Taiwan — 0.9% | ||
Accton Technology Corp. | 4 | 31 |
ASE Technology Holding Co. Ltd. | 17 | 43 |
Chailease Holding Co. Ltd. | 5 | 35 |
Chicony Electronics Co. Ltd. | 1 | 2 |
Delta Electronics, Inc. | 8 | 60 |
MediaTek, Inc. | 2 | 49 |
Mega Financial Holding Co. Ltd. | 18 | 21 |
Novatek Microelectronics Corp. | 7 | 67 |
President Chain Store Corp. | 10 | 93 |
Quanta Computer, Inc. | 9 | 24 |
Realtek Semiconductor Corp. | 4 | 44 |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | — | 39 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 21 | 336 |
Vanguard International Semiconductor Corp. | 11 | 29 |
Wiwynn Corp. | — | 7 |
880 | ||
Thailand — 0.1% | ||
Siam Cement PCL (The) (Registered) | 4 | 42 |
United Kingdom — 2.3% | ||
Admiral Group plc | 1 | 16 |
AstraZeneca plc | 1 | 122 |
Aviva plc | 5 | 24 |
Barclays plc | 24 | 45 |
Barratt Developments plc | 13 | 74 |
Berkeley Group Holdings plc * | — | 24 |
BP plc | 28 | 131 |
Centrica plc * | 23 | 22 |
Coca-Cola Europacific Partners plc | 1 | 43 |
Diageo plc | 2 | 77 |
Direct Line Insurance Group plc | 24 | 73 |
Drax Group plc | 2 | 16 |
Grafton Group plc | 1 | 12 |
Hays plc | 12 | 17 |
Howden Joinery Group plc | 2 | 18 |
HSBC Holdings plc | 13 | 85 |
IG Group Holdings plc | 1 | 6 |
Imperial Brands plc | 3 | 79 |
InterContinental Hotels Group plc | 1 | 74 |
June 30, 2022 | JPMorgan Insurance Trust | 9 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United Kingdom — continued | ||
Legal & General Group plc | 9 | 27 |
Lloyds Banking Group plc | 70 | 36 |
LondonMetric Property plc, REIT | 13 | 35 |
Man Group plc | 9 | 28 |
National Grid plc | 6 | 74 |
NatWest Group plc | 10 | 25 |
OSB Group plc | 3 | 15 |
Pagegroup plc | 2 | 11 |
Pearson plc | 2 | 17 |
Pennon Group plc | — | 2 |
Persimmon plc | 3 | 61 |
Reckitt Benckiser Group plc | 1 | 41 |
RELX plc | 6 | 171 |
Safestore Holdings plc, REIT | 2 | 27 |
Sage Group plc (The) | 10 | 81 |
Severn Trent plc | 1 | 24 |
SSE plc | 6 | 122 |
St. James's Place plc | 1 | 13 |
Taylor Wimpey plc | 27 | 38 |
Tesco plc | 8 | 26 |
Tritax EuroBox plc (a) | 12 | 13 |
Unilever plc | 2 | 75 |
UNITE Group plc (The), REIT | 2 | 24 |
United Utilities Group plc | 3 | 41 |
Vodafone Group plc | 44 | 69 |
WPP plc | 6 | 58 |
2,112 | ||
United States — 16.9% | ||
3M Co. | — | 66 |
AbbVie, Inc. | 3 | 493 |
AGNC Investment Corp., REIT | 6 | 70 |
Alexandria Real Estate Equities, Inc., REIT * | 1 | 79 |
American Electric Power Co., Inc. | 1 | 69 |
American Tower Corp., REIT | — | 100 |
Americold Realty Trust, Inc., REIT | 2 | 58 |
Amgen, Inc. | — | 71 |
Analog Devices, Inc. | 1 | 161 |
Annaly Capital Management, Inc., REIT | 12 | 68 |
AT&T, Inc. | 4 | 95 |
Avangrid, Inc. | 1 | 45 |
Avast plc (a) | 5 | 34 |
Avista Corp. | 1 | 25 |
Baker Hughes Co. | 2 | 62 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Bank of America Corp. | 4 | 126 |
BlackRock, Inc. | — | 125 |
Boston Properties, Inc., REIT | 1 | 56 |
Brandywine Realty Trust | 4 | 39 |
Bristol-Myers Squibb Co. | 5 | 386 |
Bunge Ltd. | — | 21 |
Camden Property Trust, REIT | 1 | 91 |
Campbell Soup Co. | 2 | 82 |
Cardinal Health, Inc. | 1 | 78 |
CenterPoint Energy, Inc. | 5 | 137 |
CF Industries Holdings, Inc. | 1 | 76 |
Chesapeake Energy Corp. | — | 6 |
Chevron Corp. | — | 59 |
Cisco Systems, Inc. | 2 | 66 |
Clear Channel Outdoor Holdings, Inc. * | 5 | 5 |
Clearway Energy, Inc., Class C | 1 | 21 |
Clorox Co. (The) | — | 74 |
CME Group, Inc. | 1 | 129 |
Coca-Cola Co. (The) | 7 | 432 |
Cogent Communications Holdings, Inc. | — | 22 |
Comcast Corp., Class A | 6 | 218 |
Comerica, Inc. | 1 | 67 |
Conagra Brands, Inc. | 2 | 80 |
Consolidated Edison, Inc. | 1 | 85 |
Crown Castle International Corp., REIT | — | 26 |
Cummins, Inc. | — | 54 |
DHT Holdings, Inc. | 4 | 24 |
Digital Realty Trust, Inc., REIT | 1 | 69 |
Douglas Emmett, Inc., REIT | 2 | 40 |
Dow, Inc. | 1 | 68 |
Duke Energy Corp. | 1 | 110 |
Eastman Chemical Co. | 2 | 176 |
Eaton Corp. plc | 1 | 117 |
Edison International | 1 | 78 |
Emerson Electric Co. | 1 | 63 |
Entergy Corp. | 1 | 79 |
EOG Resources, Inc. | — | 52 |
EP Energy Corp. * | — | 3 |
Equinix, Inc., REIT | — | 228 |
Equity LifeStyle Properties, Inc. | 1 | 59 |
Evergy, Inc. | 2 | 103 |
Exxon Mobil Corp. | 1 | 79 |
Fastenal Co. | 1 | 68 |
Federal Realty OP LP, REIT | 1 | 108 |
10 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
FirstEnergy Corp. | 1 | 25 |
Frontier Communications Parent, Inc. * | 1 | 35 |
General Dynamics Corp. | — | 82 |
General Mills, Inc. | 1 | 88 |
Genuine Parts Co. | 1 | 81 |
Gilead Sciences, Inc. | 1 | 67 |
GSK plc | 8 | 169 |
Hasbro, Inc. | 1 | 58 |
Hawaiian Electric Industries, Inc. | 1 | 27 |
Healthpeak Properties, Inc., REIT | 3 | 71 |
Hewlett Packard Enterprise Co. | 5 | 67 |
Host Hotels & Resorts, Inc., REIT | 6 | 90 |
HP, Inc. | 1 | 21 |
iHeartMedia, Inc., Class A * | 1 | 10 |
Intel Corp. | 1 | 27 |
International Business Machines Corp. | 1 | 81 |
International Paper Co. | 2 | 69 |
Interpublic Group of Cos., Inc. (The) | 2 | 64 |
Invitation Homes, Inc. | 3 | 100 |
Iron Mountain, Inc., REIT | 2 | 81 |
JM Smucker Co. (The) | — | 47 |
Johnson & Johnson | 3 | 563 |
Juniper Networks, Inc. | 2 | 70 |
Kellogg Co. | 1 | 82 |
Keurig Dr Pepper, Inc. | 3 | 103 |
Kilroy Realty Corp., REIT | 1 | 40 |
Kimberly-Clark Corp. | 1 | 83 |
Kimco Realty Corp., REIT | 4 | 87 |
Kinder Morgan, Inc. | 6 | 98 |
Kite Realty Group Trust, REIT | 2 | 28 |
Kraft Heinz Co. (The) | 2 | 79 |
Lumen Technologies, Inc. | 8 | 92 |
LyondellBasell Industries NV, Class A | 1 | 70 |
Macquarie Infrastructure Holdings LLC | 3 | 13 |
Marathon Petroleum Corp. | 1 | 73 |
McDonald's Corp. | 1 | 335 |
Merck & Co., Inc. | 4 | 344 |
Motorola Solutions, Inc. | — | 69 |
National HealthCare Corp. | — | 15 |
National Retail Properties, Inc., REIT | 1 | 44 |
Nestle SA (Registered) | 4 | 439 |
NetApp, Inc. | 1 | 59 |
Newell Brands, Inc. | 4 | 70 |
Newmont Corp. | 1 | 62 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
NextEra Energy, Inc. | 2 | 178 |
NMG, Inc. * (b) | — | — |
Nordic American Tankers Ltd. (b) | 9 | 18 |
Norfolk Southern Corp. | — | 77 |
NorthWestern Corp. | — | 27 |
NRG Energy, Inc. | 1 | 23 |
Oasis Petroleum, Inc. | 1 | 99 |
OGE Energy Corp. | 1 | 23 |
Omnicom Group, Inc. | 1 | 67 |
ONEOK, Inc. | 2 | 93 |
PACCAR, Inc. | 1 | 69 |
Park Hotels & Resorts, Inc., REIT | 2 | 31 |
PepsiCo, Inc. | 1 | 98 |
Philip Morris International, Inc. | 1 | 94 |
Phillips 66 | 1 | 70 |
Pinnacle West Capital Corp. | 1 | 104 |
Pioneer Natural Resources Co. | — | 69 |
PPL Corp. | 3 | 93 |
Procter & Gamble Co. (The) | 2 | 328 |
Progressive Corp. (The) | 1 | 175 |
Prologis, Inc., REIT | 2 | 279 |
Prudential Financial, Inc. | 1 | 69 |
Public Service Enterprise Group, Inc. | — | 27 |
Public Storage, REIT | — | 131 |
Raytheon Technologies Corp. | 1 | 83 |
Realty Income Corp. | 1 | 76 |
Regency Centers Corp., REIT | 1 | 65 |
Rexford Industrial Realty, Inc., REIT | 1 | 35 |
Roche Holding AG | 1 | 420 |
Seagate Technology Holdings plc | 2 | 175 |
Shenandoah Telecommunications Co. | 1 | 23 |
Signify NV (a) | — | 13 |
Simon Property Group, Inc., REIT | 1 | 66 |
Sirius XM Holdings, Inc. (b) | 12 | 72 |
Southern Co. (The) | 2 | 110 |
Steel Dynamics, Inc. | 1 | 68 |
Stellantis NV | 7 | 93 |
Stellantis NV | 1 | 11 |
Sun Communities, Inc., REIT | 1 | 158 |
T. Rowe Price Group, Inc. | 1 | 71 |
Texas Instruments, Inc. | 2 | 279 |
TJX Cos., Inc. (The) | 3 | 168 |
Trane Technologies plc | 1 | 126 |
Truist Financial Corp. | 3 | 138 |
June 30, 2022 | JPMorgan Insurance Trust | 11 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
UDR, Inc., REIT | 2 | 103 |
UGI Corp. | 1 | 22 |
UnitedHealth Group, Inc. | — | 82 |
Valero Energy Corp. | 1 | 73 |
Ventas, Inc., REIT | 3 | 166 |
Verizon Communications, Inc. | 5 | 233 |
VICI Properties, Inc., REIT | 5 | 141 |
VMware, Inc., Class A | 1 | 73 |
Walgreens Boots Alliance, Inc. | 2 | 59 |
Wells Fargo & Co. | 2 | 78 |
Welltower, Inc., REIT | 2 | 143 |
Western Union Co. (The) | 4 | 69 |
Weyerhaeuser Co., REIT | 2 | 66 |
Whiting Petroleum Corp. | 1 | 60 |
Williams Cos., Inc. (The) | 3 | 109 |
WP Carey, Inc., REIT | 1 | 77 |
15,905 | ||
Total Common Stocks (Cost $34,665) | 35,868 | |
PRINCIPAL AMOUNT ($000) | ||
Corporate Bonds — 34.0% | ||
Australia — 0.2% | ||
Australia & New Zealand Banking Group Ltd. (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026 (c) (d) (e) (f) | 200 | 196 |
FMG Resources August 2006 Pty. Ltd. 4.50%, 9/15/2027 (c) | 12 | 11 |
Glencore Funding LLC 2.50%, 9/1/2030 (c) | 6 | 5 |
212 | ||
Belgium — 0.0% ^ | ||
Anheuser-Busch InBev Worldwide, Inc. | ||
3.50%, 6/1/2030 | 19 | 18 |
4.38%, 4/15/2038 | 1 | 1 |
19 | ||
Canada — 1.3% | ||
1011778 BC ULC 3.88%, 1/15/2028 (c) | 17 | 15 |
Bank of Nova Scotia (The) | ||
(ICE LIBOR USD 3 Month + 2.65%), 4.65%, 10/12/2022 (d) (e) (f) | 13 | 11 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Canada — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (d) (e) (f) | 18 | 17 |
1.30%, 9/15/2026 | 5 | 4 |
Baytex Energy Corp. 8.75%, 4/1/2027 (c) | 40 | 40 |
Bell Telephone Co. of Canada or Bell Canada (The) Series US-5, 2.15%, 2/15/2032 | 6 | 5 |
Bombardier, Inc. 7.50%, 3/15/2025 (c) | 34 | 31 |
Emera, Inc. (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (f) | 240 | 232 |
Enbridge, Inc. | ||
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (f) | 10 | 9 |
(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (f) | 45 | 40 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080 (f) | 117 | 107 |
GFL Environmental, Inc. 3.50%, 9/1/2028 (c) | 190 | 163 |
MEG Energy Corp. 7.13%, 2/1/2027 (c) | 65 | 65 |
NOVA Chemicals Corp. | ||
5.00%, 5/1/2025 (c) | 89 | 81 |
5.25%, 6/1/2027 (c) | 26 | 22 |
4.25%, 5/15/2029 (c) | 40 | 31 |
Precision Drilling Corp. 7.13%, 1/15/2026 (c) | 23 | 22 |
Quebecor Media, Inc. 5.75%, 1/15/2023 | 130 | 130 |
Rogers Communications, Inc. | ||
3.80%, 3/15/2032 (c) | 5 | 5 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (c) (f) | 40 | 35 |
Transcanada Trust | ||
Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (f) | 33 | 31 |
(SOFR + 4.42%), 5.50%, 9/15/2079 (f) | 72 | 64 |
Videotron Ltd. 5.13%, 4/15/2027 (c) | 32 | 30 |
1,190 | ||
Cayman Islands — 0.0% ^ | ||
Global Aircraft Leasing Co. Ltd. 6.50% (Cash), 9/15/2024 (c) (g) | 32 | 24 |
12 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Finland — 0.0% ^ | ||
Nokia OYJ | ||
4.38%, 6/12/2027 | 12 | 11 |
6.63%, 5/15/2039 | 33 | 33 |
44 | ||
France — 0.6% | ||
Altice France SA 8.13%, 2/1/2027 (c) | 200 | 184 |
Credit Agricole SA (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (c) (d) (e) (f) | 200 | 205 |
Societe Generale SA (USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (c) (d) (e) (f) | 200 | 196 |
585 | ||
Germany — 0.0% ^ | ||
Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (h) | 16 | 20 |
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 | 128 |
Avolon Holdings Funding Ltd. | ||
5.25%, 5/15/2024 (c) | 21 | 21 |
2.53%, 11/18/2027 (c) | 71 | 58 |
Park Aerospace Holdings Ltd. | ||
4.50%, 3/15/2023 (c) | 16 | 16 |
5.50%, 2/15/2024 (c) | 11 | 11 |
234 | ||
Italy — 0.1% | ||
Telecom Italia Capital SA | ||
6.38%, 11/15/2033 | 20 | 15 |
6.00%, 9/30/2034 | 112 | 85 |
100 | ||
Luxembourg — 0.0% ^ | ||
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (c) | 24 | 20 |
Netherlands — 0.4% | ||
ING Groep NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (d) (e) (f) | 200 | 145 |
Shell International Finance BV 2.75%, 4/6/2030 | 5 | 4 |
Trivium Packaging Finance BV 5.50%, 8/15/2026 (c) (h) | 200 | 189 |
338 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Sweden — 0.2% | ||
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (a) (d) (e) (f) | 200 | 164 |
Switzerland — 0.6% | ||
Credit Suisse Group AG (USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (c) (d) (e) (f) | 200 | 182 |
UBS Group AG (USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (a) (d) (e) (f) | 200 | 198 |
Zurich Insurance Co. Ltd. (ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046 (a) (f) | 200 | 199 |
579 | ||
United Kingdom — 0.9% | ||
BAT Capital Corp. 4.39%, 8/15/2037 | 8 | 6 |
BP Capital Markets plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (f) | 26 | 24 |
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (a) (d) (e) (f) | EUR 100 | 87 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f) | 142 | 124 |
Nationwide Building Society (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.63%), 5.75%, 6/20/2027 (a) (d) (e) | GBP 250 | 272 |
NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (d) (e) (f) | 200 | 185 |
Vodafone Group plc | ||
5.00%, 5/30/2038 | 10 | 10 |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f) | 57 | 56 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (f) | 65 | 49 |
813 | ||
United States — 29.4% | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (c) | 6 | 5 |
AbbVie, Inc. 3.20%, 11/21/2029 | 26 | 24 |
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (c) | 95 | 89 |
ACCO Brands Corp. 4.25%, 3/15/2029 (c) | 105 | 86 |
Activision Blizzard, Inc. 1.35%, 9/15/2030 (b) | 10 | 8 |
ADT Security Corp. (The) | ||
4.13%, 6/15/2023 | 82 | 81 |
4.88%, 7/15/2032 (c) | 45 | 36 |
June 30, 2022 | JPMorgan Insurance Trust | 13 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (c) | 10 | 9 |
AECOM 5.13%, 3/15/2027 | 53 | 50 |
Aetna, Inc. 3.88%, 8/15/2047 | 10 | 8 |
Air Lease Corp. 3.75%, 6/1/2026 | 5 | 5 |
Albertsons Cos., Inc. | ||
7.50%, 3/15/2026 (c) | 80 | 80 |
5.88%, 2/15/2028 (c) | 38 | 36 |
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (c) | 200 | 194 |
Alexandria Real Estate Equities, Inc., REIT 2.75%, 12/15/2029 | 5 | 4 |
Allegheny Technologies, Inc. 5.88%, 12/1/2027 | 10 | 9 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (c) | 13 | 12 |
9.75%, 7/15/2027 (c) | 13 | 11 |
Allison Transmission, Inc. | ||
4.75%, 10/1/2027 (c) | 65 | 59 |
5.88%, 6/1/2029 (c) | 70 | 65 |
Ally Financial, Inc. | ||
5.75%, 11/20/2025 | 110 | 108 |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028 (d) (e) (f) | 55 | 41 |
8.00%, 11/1/2031 | 39 | 43 |
Altria Group, Inc. | ||
4.80%, 2/14/2029 | 5 | 5 |
3.40%, 2/4/2041 | 3 | 2 |
AMC Entertainment Holdings, Inc. 10.00% (Cash), 6/15/2026 (b) (c) (g) | 81 | 54 |
Ameren Corp. 3.50%, 1/15/2031 | 5 | 5 |
American Airlines, Inc. | ||
5.50%, 4/20/2026 (c) | 70 | 64 |
5.75%, 4/20/2029 (c) | 85 | 73 |
American Axle & Manufacturing, Inc. | ||
6.25%, 3/15/2026 | 24 | 22 |
6.50%, 4/1/2027 (b) | 53 | 47 |
American Electric Power Co., Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (f) | 42 | 33 |
American International Group, Inc. (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (f) | 10 | 9 |
American Tower Corp., REIT 1.50%, 1/31/2028 | 15 | 12 |
AmeriGas Partners LP | ||
5.63%, 5/20/2024 | 25 | 24 |
5.88%, 8/20/2026 | 55 | 51 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Amgen, Inc. 2.00%, 1/15/2032 | 10 | 8 |
Amkor Technology, Inc. 6.63%, 9/15/2027 (c) | 62 | 59 |
Amsted Industries, Inc. 5.63%, 7/1/2027 (c) | 21 | 20 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (c) | 65 | 65 |
5.38%, 6/15/2029 (c) | 60 | 54 |
Antero Resources Corp. | ||
8.38%, 7/15/2026 (c) | 41 | 43 |
5.38%, 3/1/2030 (b) (c) | 55 | 50 |
Apple, Inc. 4.50%, 2/23/2036 | 3 | 3 |
Aramark Services, Inc. 5.00%, 2/1/2028 (c) | 85 | 77 |
Arches Buyer, Inc. 4.25%, 6/1/2028 (c) | 85 | 69 |
Archrock Partners LP 6.88%, 4/1/2027 (c) | 7 | 6 |
Arconic Corp. 6.00%, 5/15/2025 (c) | 110 | 107 |
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (c) | 200 | 169 |
AT&T, Inc. | ||
2.25%, 2/1/2032 | 6 | 5 |
3.50%, 6/1/2041 | 10 | 8 |
Audacy Capital Corp. 6.50%, 5/1/2027 (c) | 41 | 24 |
Avantor Funding, Inc. 4.63%, 7/15/2028 (c) | 85 | 78 |
Avis Budget Car Rental LLC 5.75%, 7/15/2027 (c) | 24 | 21 |
B&G Foods, Inc. 5.25%, 4/1/2025 | 146 | 135 |
Baker Hughes Holdings LLC 3.14%, 11/7/2029 | 5 | 5 |
Bank of America Corp. | ||
Series U, (ICE LIBOR USD 3 Month + 3.14%), 5.20%, 6/1/2023 (d) (e) | 56 | 52 |
Series JJ, (ICE LIBOR USD 3 Month + 3.29%), 5.12%, 6/20/2024 (d) (e) (f) | 14 | 13 |
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (d) (e) (f) | 177 | 172 |
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (d) (e) (f) | 53 | 52 |
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (d) (e) (f) | 39 | 38 |
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (d) (e) (f) | 33 | 32 |
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (d) (e) (f) | 197 | 195 |
Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%), 4.38%, 1/27/2027 (d) (e) (f) | 10 | 8 |
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027 (d) (e) (f) | 65 | 63 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (f) | 40 | 36 |
14 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (d) (e) (f) | 82 | 72 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (f) | 10 | 8 |
Bank of New York Mellon Corp. (The) | ||
Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 6/20/2023 (d) (e) (f) | 24 | 21 |
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.36%), 4.70%, 9/20/2025 (d) (e) (f) | 13 | 13 |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.35%), 3.70%, 3/20/2026 (d) (e) (f) | 20 | 18 |
Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026 (d) (e) (f) | 95 | 83 |
Bath & Body Works, Inc. 7.50%, 6/15/2029 | 100 | 91 |
Bausch Health Americas, Inc. | ||
9.25%, 4/1/2026 (c) | 26 | 19 |
8.50%, 1/31/2027 (c) | 205 | 144 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (c) | 121 | 106 |
9.00%, 12/15/2025 (c) | 68 | 50 |
5.75%, 8/15/2027 (c) | 12 | 10 |
7.00%, 1/15/2028 (c) | 20 | 11 |
5.00%, 1/30/2028 (c) | 340 | 181 |
7.25%, 5/30/2029 (c) | 22 | 12 |
Becton Dickinson and Co. 2.82%, 5/20/2030 | 10 | 9 |
Berry Global, Inc. | ||
4.88%, 7/15/2026 (c) | 84 | 80 |
5.63%, 7/15/2027 (c) | 20 | 19 |
Biogen, Inc. 2.25%, 5/1/2030 | 3 | 2 |
Block, Inc. 3.50%, 6/1/2031 (b) (c) | 150 | 120 |
Boston Properties LP, REIT 2.45%, 10/1/2033 | 5 | 4 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 70 | 63 |
BP Capital Markets America, Inc. 3.63%, 4/6/2030 | 3 | 3 |
Brink's Co. (The) 4.63%, 10/15/2027 (c) | 75 | 67 |
Bristol-Myers Squibb Co. 4.13%, 6/15/2039 | 9 | 9 |
Broadcom, Inc. 4.30%, 11/15/2032 | 6 | 5 |
Buckeye Partners LP 3.95%, 12/1/2026 | 60 | 52 |
Builders FirstSource, Inc. 4.25%, 2/1/2032 (c) | 70 | 53 |
BWX Technologies, Inc. 4.13%, 4/15/2029 (c) | 120 | 105 |
Caesars Resort Collection LLC 5.75%, 7/1/2025 (c) | 105 | 100 |
Callon Petroleum Co. | ||
6.13%, 10/1/2024 | 8 | 8 |
6.38%, 7/1/2026 | 6 | 6 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Calpine Corp. | ||
5.25%, 6/1/2026 (c) | 29 | 28 |
4.50%, 2/15/2028 (c) | 75 | 68 |
Capital One Financial Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (d) (e) (f) | 64 | 51 |
Carnival Corp. 9.88%, 8/1/2027 (c) | 115 | 112 |
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (c) | 29 | 27 |
CCO Holdings LLC | ||
5.13%, 5/1/2027 (c) | 158 | 149 |
5.00%, 2/1/2028 (c) | 89 | 82 |
5.38%, 6/1/2029 (c) | 270 | 241 |
4.75%, 3/1/2030 (c) | 404 | 346 |
CDK Global, Inc. 5.25%, 5/15/2029 (c) | 99 | 97 |
CDW LLC 4.25%, 4/1/2028 | 40 | 36 |
Cedar Fair LP | ||
5.38%, 4/15/2027 | 3 | 3 |
5.25%, 7/15/2029 | 101 | 89 |
Centene Corp. 3.38%, 2/15/2030 | 330 | 280 |
CenterPoint Energy, Inc. (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023 (d) (e) (f) | 46 | 39 |
Central Garden & Pet Co. 5.13%, 2/1/2028 | 140 | 126 |
Charles Schwab Corp. (The) | ||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 5.38%, 6/1/2025 (d) (e) (f) | 110 | 109 |
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (d) (e) (f) | 26 | 22 |
Series F, (ICE LIBOR USD 3 Month + 2.58%), 5.00%, 12/1/2027 (d) (e) (f) | 19 | 15 |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (d) (e) (f) | 209 | 161 |
Chemours Co. (The) | ||
5.38%, 5/15/2027 | 63 | 55 |
5.75%, 11/15/2028 (c) | 32 | 27 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 120 | 107 |
3.25%, 1/31/2032 (c) | 35 | 28 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (c) | 55 | 53 |
Chevron Corp. 2.24%, 5/11/2030 | 5 | 4 |
Cigna Corp. 4.38%, 10/15/2028 | 15 | 15 |
June 30, 2022 | JPMorgan Insurance Trust | 15 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Citigroup, Inc. | ||
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (d) (e) (f) | 69 | 68 |
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (d) (e) (f) | 158 | 147 |
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (e) (f) | 111 | 98 |
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (d) (e) (f) | 64 | 52 |
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (d) (e) (f) | 93 | 86 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (e) (f) | 139 | 120 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (f) | 70 | 58 |
(ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (d) (e) (f) | 98 | 96 |
(SOFR + 0.77%), 1.46%, 6/9/2027 (f) | 35 | 31 |
Citizens Financial Group, Inc. | ||
(ICE LIBOR USD 3 Month + 3.00%), 6.00%, 7/6/2023 (d) (e) (f) | 23 | 20 |
(ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024 (d) (e) (f) | 35 | 31 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.00%, 10/6/2026 (d) (e) (f) | 55 | 44 |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (c) | 70 | 58 |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (c) | 35 | 30 |
Cleveland-Cliffs, Inc. 5.88%, 6/1/2027 | 110 | 103 |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (f) | 36 | 32 |
CNX Resources Corp. 7.25%, 3/14/2027 (c) | 55 | 54 |
Comcast Corp. | ||
4.15%, 10/15/2028 | 5 | 5 |
1.50%, 2/15/2031 | 5 | 4 |
Commercial Metals Co. 4.88%, 5/15/2023 | 19 | 19 |
CommScope Technologies LLC | ||
6.00%, 6/15/2025 (b) (c) | 97 | 84 |
5.00%, 3/15/2027 (c) | 15 | 11 |
CommScope, Inc. | ||
6.00%, 3/1/2026 (c) | 35 | 32 |
8.25%, 3/1/2027 (c) | 75 | 59 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
4.75%, 9/1/2029 (c) | 75 | 60 |
Community Health Systems, Inc. 8.00%, 3/15/2026 (c) | 176 | 160 |
Constellation Brands, Inc. 2.25%, 8/1/2031 | 10 | 8 |
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (c) | 32 | 28 |
Cox Communications, Inc. 4.80%, 2/1/2035 (c) | 6 | 6 |
Crestwood Midstream Partners LP | ||
5.75%, 4/1/2025 | 29 | 27 |
5.63%, 5/1/2027 (c) | 10 | 9 |
8.00%, 4/1/2029 (c) | 65 | 60 |
Crown Americas LLC 4.75%, 2/1/2026 | 26 | 25 |
Crown Castle International Corp., REIT 2.10%, 4/1/2031 | 16 | 13 |
CSC Holdings LLC | ||
5.88%, 9/15/2022 | 15 | 15 |
5.25%, 6/1/2024 | 157 | 147 |
5.75%, 1/15/2030 (c) | 200 | 145 |
CSX Corp. 2.40%, 2/15/2030 | 3 | 3 |
CVS Health Corp. | ||
4.30%, 3/25/2028 | 4 | 4 |
2.13%, 9/15/2031 | 6 | 5 |
4.13%, 4/1/2040 | 6 | 5 |
2.70%, 8/21/2040 | 3 | 2 |
Dana, Inc. 5.38%, 11/15/2027 | 115 | 100 |
Darling Ingredients, Inc. 5.25%, 4/15/2027 (c) | 12 | 12 |
DaVita, Inc. 4.63%, 6/1/2030 (c) | 140 | 109 |
DCP Midstream Operating LP | ||
3.88%, 3/15/2023 | 38 | 38 |
5.38%, 7/15/2025 | 14 | 14 |
6.75%, 9/15/2037 (c) | 20 | 19 |
Dell International LLC | ||
6.02%, 6/15/2026 | 10 | 10 |
4.90%, 10/1/2026 | 5 | 5 |
Diamond Sports Group LLC 5.38%, 8/15/2026 (b) (c) | 53 | 13 |
Directv Financing LLC 5.88%, 8/15/2027 (c) | 100 | 85 |
Discovery Communications LLC 3.63%, 5/15/2030 | 5 | 4 |
DISH DBS Corp. | ||
5.88%, 7/15/2022 | 24 | 24 |
5.00%, 3/15/2023 | 223 | 212 |
5.88%, 11/15/2024 | 25 | 21 |
7.75%, 7/1/2026 | 125 | 97 |
16 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Dominion Energy, Inc. | ||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (d) (e) (f) | 24 | 21 |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.35%, 1/15/2027 (d) (e) (f) | 45 | 37 |
Series C, 2.25%, 8/15/2031 | 3 | 2 |
DT Midstream, Inc. 4.13%, 6/15/2029 (c) | 150 | 127 |
Duke Energy Corp. | ||
3.75%, 9/1/2046 | 3 | 2 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (f) | 50 | 39 |
Edison International Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.90%), 5.00%, 12/15/2026 (d) (e) (f) | 40 | 32 |
Element Solutions, Inc. 3.88%, 9/1/2028 (c) | 130 | 107 |
Elevance Health, Inc. 2.88%, 9/15/2029 | 13 | 12 |
Embarq Corp. 8.00%, 6/1/2036 | 124 | 93 |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (b) (c) | 95 | 67 |
Encompass Health Corp. 4.50%, 2/1/2028 | 185 | 158 |
Energizer Holdings, Inc. 4.75%, 6/15/2028 (c) | 140 | 111 |
Energy Transfer LP | ||
(ICE LIBOR USD 3 Month + 4.03%), 6.25%, 2/15/2023 (d) (e) (f) | 8 | 6 |
4.20%, 4/15/2027 | 5 | 5 |
(ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (d) (e) (f) | 65 | 48 |
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030 (d) (e) (f) | 30 | 26 |
EnLink Midstream Partners LP | ||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (d) (e) (f) | 30 | 20 |
4.40%, 4/1/2024 | 19 | 19 |
4.15%, 6/1/2025 | 23 | 21 |
4.85%, 7/15/2026 | 58 | 53 |
5.60%, 4/1/2044 | 5 | 4 |
Entegris, Inc. 3.63%, 5/1/2029 (c) | 125 | 105 |
Entergy Texas, Inc. 1.75%, 3/15/2031 | 5 | 4 |
Enterprise Products Operating LLC Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (f) | 25 | 21 |
Envision Healthcare Corp. 8.75%, 10/15/2026 (c) | 20 | 6 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
EOG Resources, Inc. 5.10%, 1/15/2036 | 3 | 3 |
EQT Corp. 6.63%, 2/1/2025 (h) | 105 | 108 |
Equitable Holdings, Inc. Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.74%), 4.95%, 9/15/2025 (d) (e) (f) | 5 | 5 |
ESC Co., Escrow 9.75%, 7/15/2025 ‡ (i) | 35 | — |
Evergy, Inc. 2.90%, 9/15/2029 | 5 | 4 |
Exela Intermediate LLC 11.50%, 7/15/2026 (c) | 69 | 23 |
Exxon Mobil Corp. 4.23%, 3/19/2040 | 13 | 12 |
Fidelity National Information Services, Inc. 2.25%, 3/1/2031 | 5 | 4 |
First-Citizens Bank & Trust Co. 6.13%, 3/9/2028 | 21 | 22 |
Fiserv, Inc. 3.50%, 7/1/2029 | 10 | 9 |
Ford Motor Credit Co. LLC | ||
4.39%, 1/8/2026 | 200 | 184 |
4.54%, 8/1/2026 | 200 | 183 |
5.11%, 5/3/2029 | 275 | 247 |
Freeport-McMoRan, Inc. | ||
5.00%, 9/1/2027 | 140 | 139 |
5.45%, 3/15/2043 | 80 | 74 |
Frontier Communications Holdings LLC 5.88%, 11/1/2029 | 4 | 3 |
Gannett Holdings LLC 6.00%, 11/1/2026 (c) | 45 | 38 |
Gap, Inc. (The) 3.63%, 10/1/2029 (c) | 50 | 35 |
Gartner, Inc. 4.50%, 7/1/2028 (c) | 95 | 87 |
General Electric Co. (ICE LIBOR USD 3 Month + 3.33%), 5.16%, 9/15/2022 (d) (e) (f) | 304 | 267 |
Genesis Energy LP | ||
6.50%, 10/1/2025 | 5 | 5 |
6.25%, 5/15/2026 | 15 | 13 |
Gilead Sciences, Inc. 1.65%, 10/1/2030 | 16 | 13 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 10 | 9 |
2.90%, 11/15/2031 | 5 | 4 |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (c) | 50 | 46 |
Goldman Sachs Capital II (ICE LIBOR USD 3 Month + 0.77%), 4.00%, 8/1/2022 (d) (e) (f) | 22 | 16 |
Goldman Sachs Group, Inc. (The) | ||
Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 4.40%, 2/10/2025 (d) (e) (f) | 5 | 4 |
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (e) (f) | 7 | 6 |
June 30, 2022 | JPMorgan Insurance Trust | 17 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (d) (e) (f) | 69 | 54 |
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026 (d) (e) (f) | 42 | 33 |
Series O, (ICE LIBOR USD 3 Month + 3.83%), 5.30%, 11/10/2026 (d) (e) (f) | 21 | 20 |
(SOFR + 0.82%), 1.54%, 9/10/2027 (f) | 10 | 9 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (f) | 5 | 4 |
(SOFR + 1.26%), 2.65%, 10/21/2032 (f) | 5 | 4 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026 (b) | 47 | 43 |
5.00%, 7/15/2029 | 10 | 8 |
Gray Television, Inc. | ||
5.88%, 7/15/2026 (c) | 20 | 19 |
7.00%, 5/15/2027 (c) | 45 | 43 |
Griffon Corp. 5.75%, 3/1/2028 | 95 | 86 |
Hanesbrands, Inc. 4.88%, 5/15/2026 (c) | 60 | 56 |
Harsco Corp. 5.75%, 7/31/2027 (c) | 9 | 7 |
HCA, Inc. | ||
5.38%, 2/1/2025 | 146 | 145 |
5.88%, 2/15/2026 | 285 | 286 |
5.63%, 9/1/2028 | 274 | 270 |
2.38%, 7/15/2031 | 10 | 8 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (c) | 28 | 26 |
Hertz Corp. (The) 4.63%, 12/1/2026 (c) | 100 | 84 |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | 24 | 22 |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 32 | 30 |
Hologic, Inc. | ||
4.63%, 2/1/2028 (c) | 25 | 23 |
3.25%, 2/15/2029 (c) | 75 | 64 |
Howmet Aerospace, Inc. | ||
5.13%, 10/1/2024 | 107 | 106 |
5.90%, 2/1/2027 | 8 | 8 |
5.95%, 2/1/2037 (b) | 34 | 32 |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 145 | 129 |
Huntington Bancshares, Inc. Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 4/15/2023 (d) (e) (f) | 23 | 20 |
Hyundai Capital America | ||
1.65%, 9/17/2026 (c) | 5 | 4 |
2.10%, 9/15/2028 (c) | 5 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Icahn Enterprises LP | ||
4.75%, 9/15/2024 | 70 | 65 |
6.38%, 12/15/2025 | 22 | 21 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 57 | 53 |
8.38%, 5/1/2027 | 98 | 78 |
5.25%, 8/15/2027 (c) | 18 | 15 |
ILFC E-Capital Trust I (N/A + 1.55%), 4.85%, 12/21/2065 (c) (f) | 100 | 73 |
Imola Merger Corp. 4.75%, 5/15/2029 (c) | 110 | 92 |
Intel Corp. 2.00%, 8/12/2031 (b) | 3 | 2 |
International Game Technology plc 6.50%, 2/15/2025 (c) | 200 | 199 |
IQVIA, Inc. 5.00%, 5/15/2027 (c) | 200 | 189 |
Iron Mountain, Inc. | ||
4.88%, 9/15/2027 (c) | 84 | 76 |
5.25%, 3/15/2028 (c) | 48 | 43 |
ITC Holdings Corp. 2.95%, 5/14/2030 (c) | 5 | 4 |
JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (c) | 31 | 30 |
JBS USA LUX SA 5.50%, 1/15/2030 (c) | 42 | 40 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (c) | 80 | 67 |
Kansas City Southern 3.50%, 5/1/2050 | 5 | 4 |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 100 | 81 |
Keurig Dr Pepper, Inc. 3.20%, 5/1/2030 | 11 | 10 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (f) | 5 | 5 |
Kraft Heinz Foods Co. 3.75%, 4/1/2030 | 5 | 5 |
Kroger Co. (The) 1.70%, 1/15/2031 (b) | 6 | 5 |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | 5 | 4 |
LABL, Inc. 6.75%, 7/15/2026 (c) | 100 | 90 |
Ladder Capital Finance Holdings LLLP, REIT 5.25%, 10/1/2025 (c) | 48 | 43 |
Lamar Media Corp. 4.88%, 1/15/2029 | 85 | 76 |
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (c) | 100 | 87 |
Lear Corp. 2.60%, 1/15/2032 | 5 | 4 |
Lennar Corp. | ||
4.50%, 4/30/2024 | 15 | 15 |
5.88%, 11/15/2024 | 45 | 46 |
4.75%, 5/30/2025 | 5 | 5 |
5.25%, 6/1/2026 | 14 | 14 |
5.00%, 6/15/2027 | 20 | 20 |
Level 3 Financing, Inc. | ||
5.38%, 5/1/2025 | 91 | 88 |
5.25%, 3/15/2026 | 54 | 51 |
18 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Liberty Interactive LLC 8.25%, 2/1/2030 | 35 | 23 |
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (c) | 33 | 31 |
6.50%, 5/15/2027 (c) | 165 | 162 |
Lowe's Cos., Inc. 3.70%, 4/15/2046 | 6 | 5 |
Lumen Technologies, Inc. | ||
Series W, 6.75%, 12/1/2023 | 28 | 28 |
Series Y, 7.50%, 4/1/2024 | 2 | 2 |
4.00%, 2/15/2027 (c) | 75 | 63 |
Series G, 6.88%, 1/15/2028 | 160 | 142 |
Madison IAQ LLC 4.13%, 6/30/2028 (c) | 115 | 95 |
Magallanes, Inc. | ||
3.76%, 3/15/2027 (c) | 5 | 5 |
4.28%, 3/15/2032 (c) | 5 | 4 |
MasTec, Inc. 4.50%, 8/15/2028 (c) | 95 | 85 |
Matador Resources Co. 5.88%, 9/15/2026 | 55 | 53 |
Mattel, Inc. 3.15%, 3/15/2023 | 37 | 36 |
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (c) | 227 | 217 |
McDonald's Corp. 3.70%, 2/15/2042 | 6 | 5 |
MDC Holdings, Inc. 2.50%, 1/15/2031 | 5 | 4 |
Medline Borrower LP 3.88%, 4/1/2029 (c) | 100 | 85 |
Mellon Capital IV (ICE LIBOR USD 3 Month + 0.57%), 4.00%, 8/1/2022 (d) (e) (f) | 18 | 13 |
MetLife Capital Trust IV 7.88%, 12/15/2037 (c) | 100 | 108 |
MetLife, Inc. | ||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 3.85%, 9/15/2025 (d) (e) (f) | 86 | 77 |
(ICE LIBOR USD 3 Month + 2.96%), 5.87%, 3/15/2028 (d) (e) (f) | 44 | 41 |
6.40%, 12/15/2036 | 108 | 109 |
MGM Resorts International 4.63%, 9/1/2026 | 200 | 178 |
Midcontinent Communications 5.38%, 8/15/2027 (c) | 17 | 16 |
Mississippi Power Co. Series 12-A, 4.25%, 3/15/2042 | 5 | 4 |
Mondelez International, Inc. 1.50%, 2/4/2031 (b) | 6 | 5 |
Morgan Stanley | ||
Series N, (ICE LIBOR USD 3 Month + 3.16%), 5.30%, 12/15/2025 (d) (e) (f) | 8 | 7 |
Series M, (ICE LIBOR USD 3 Month + 4.44%), 5.87%, 9/15/2026 (d) (e) (f) | 24 | 23 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (f) | 20 | 18 |
MPLX LP 4.50%, 4/15/2038 | 3 | 3 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
National Rural Utilities Cooperative Finance Corp. (ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (f) | 20 | 18 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (c) | 95 | 82 |
NCR Corp. | ||
5.75%, 9/1/2027 (c) | 25 | 22 |
6.13%, 9/1/2029 (c) | 105 | 91 |
Netflix, Inc. | ||
5.88%, 2/15/2025 | 100 | 101 |
4.88%, 4/15/2028 | 20 | 19 |
5.88%, 11/15/2028 | 60 | 59 |
New Albertsons LP | ||
7.75%, 6/15/2026 | 5 | 5 |
6.63%, 6/1/2028 | 15 | 14 |
7.45%, 8/1/2029 | 21 | 21 |
8.00%, 5/1/2031 | 80 | 78 |
Newell Brands, Inc. 4.45%, 4/1/2026 (h) | 150 | 143 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (c) | 43 | 39 |
4.75%, 11/1/2028 (c) | 55 | 47 |
NextEra Energy Capital Holdings, Inc. | ||
(ICE LIBOR USD 3 Month + 2.07%), 3.03%, 10/1/2066 (f) | 47 | 35 |
(ICE LIBOR USD 3 Month + 2.13%), 3.95%, 6/15/2067 (f) | 64 | 48 |
(ICE LIBOR USD 3 Month + 3.16%), 5.65%, 5/1/2079 (f) | 28 | 24 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082 (f) | 34 | 27 |
NextEra Energy Operating Partners LP | ||
4.25%, 7/15/2024 (c) | 23 | 22 |
4.25%, 9/15/2024 (c) | 4 | 4 |
4.50%, 9/15/2027 (c) | 8 | 7 |
Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (b) (c) | 10 | 10 |
Nielsen Finance LLC 4.50%, 7/15/2029 (c) | 95 | 86 |
NiSource, Inc. | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023 (d) (e) (f) | 62 | 56 |
1.70%, 2/15/2031 | 10 | 8 |
Nissan Motor Acceptance Co. LLC | ||
1.85%, 9/16/2026 (c) | 5 | 4 |
June 30, 2022 | JPMorgan Insurance Trust | 19 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
2.45%, 9/15/2028 (c) | 10 | 8 |
Norfolk Southern Corp. 2.30%, 5/15/2031 | 3 | 3 |
Northrop Grumman Corp. 5.15%, 5/1/2040 | 13 | 13 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 3 | 3 |
5.75%, 1/15/2028 | 12 | 11 |
5.25%, 6/15/2029 (c) | 136 | 121 |
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 12 | 11 |
5.63%, 4/28/2027 | 30 | 27 |
Occidental Petroleum Corp. | ||
8.88%, 7/15/2030 | 115 | 132 |
6.63%, 9/1/2030 | 180 | 185 |
Oceaneering International, Inc. 6.00%, 2/1/2028 | 14 | 12 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (c) | 85 | 75 |
OneMain Finance Corp. | ||
5.63%, 3/15/2023 | 27 | 27 |
6.13%, 3/15/2024 | 20 | 19 |
6.88%, 3/15/2025 | 45 | 43 |
7.13%, 3/15/2026 | 52 | 48 |
6.63%, 1/15/2028 | 33 | 29 |
Oracle Corp. | ||
3.90%, 5/15/2035 | 7 | 6 |
3.85%, 7/15/2036 | 2 | 2 |
Outfront Media Capital LLC 5.00%, 8/15/2027 (c) | 15 | 13 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (c) | 200 | 171 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (c) | 12 | 9 |
Paramount Global | ||
4.20%, 5/19/2032 | 6 | 5 |
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (f) | 103 | 90 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (f) | 70 | 62 |
PBF Logistics LP 6.88%, 5/15/2023 | 7 | 7 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 75 | 62 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (c) | 20 | 19 |
PG&E Corp. 5.00%, 7/1/2028 | 110 | 93 |
Philip Morris International, Inc. 3.38%, 8/15/2029 | 10 | 9 |
Pilgrim's Pride Corp. 5.88%, 9/30/2027 (c) | 39 | 37 |
Plains All American Pipeline LP Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (d) (e) (f) | 38 | 27 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
PNC Financial Services Group, Inc. (The) | ||
Series O, (ICE LIBOR USD 3 Month + 3.68%), 4.96%, 8/1/2022 (d) (e) (f) | 68 | 65 |
Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 6/1/2023 (d) (e) (f) | 64 | 58 |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (d) (e) (f) | 110 | 84 |
Series S, (ICE LIBOR USD 3 Month + 3.30%), 5.00%, 11/1/2026 (d) (e) (f) | 29 | 26 |
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 6.00%, 5/15/2027 (d) (e) (f) | 30 | 29 |
Post Holdings, Inc. | ||
5.75%, 3/1/2027 (c) | 8 | 8 |
5.50%, 12/15/2029 (c) | 140 | 125 |
PPL Capital Funding, Inc. Series A, (ICE LIBOR USD 3 Month + 2.67%), 4.92%, 3/30/2067 (f) | 97 | 72 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (c) | 80 | 75 |
3.38%, 8/31/2027 (c) | 25 | 21 |
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (d) (e) (f) | 53 | 47 |
Prudential Financial, Inc. | ||
(ICE LIBOR USD 3 Month + 3.92%), 5.63%, 6/15/2043 (f) | 171 | 167 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 5.12%, 3/1/2052 (f) | 30 | 28 |
Public Service Co. of Oklahoma Series J, 2.20%, 8/15/2031 | 10 | 8 |
Radian Group, Inc. | ||
4.50%, 10/1/2024 | 40 | 38 |
4.88%, 3/15/2027 | 12 | 11 |
Range Resources Corp. 4.88%, 5/15/2025 | 85 | 83 |
Raytheon Technologies Corp. 4.15%, 5/15/2045 | 10 | 9 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 13 | 10 |
RHP Hotel Properties LP, REIT 4.75%, 10/15/2027 | 98 | 87 |
Rite Aid Corp. 8.00%, 11/15/2026 (c) | 140 | 109 |
Royal Caribbean Cruises Ltd. | ||
9.13%, 6/15/2023 (c) | 90 | 89 |
11.50%, 6/1/2025 (c) | 67 | 69 |
Royalty Pharma plc 2.15%, 9/2/2031 | 4 | 3 |
S&P Global, Inc. 2.90%, 3/1/2032 (c) | 5 | 4 |
Sabre GLBL, Inc. 9.25%, 4/15/2025 (c) | 110 | 106 |
20 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Scotts Miracle-Gro Co. (The) 5.25%, 12/15/2026 (b) | 125 | 116 |
Seagate HDD Cayman 4.88%, 6/1/2027 | 95 | 90 |
Sealed Air Corp. 5.13%, 12/1/2024 (c) | 20 | 20 |
Sempra Energy | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (d) (e) (f) | 105 | 97 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.12%, 4/1/2052 (f) | 71 | 57 |
Sensata Technologies BV | ||
4.88%, 10/15/2023 (c) | 15 | 15 |
5.63%, 11/1/2024 (c) | 125 | 123 |
5.00%, 10/1/2025 (c) | 30 | 29 |
Service Corp. International | ||
4.63%, 12/15/2027 | 12 | 11 |
5.13%, 6/1/2029 | 5 | 5 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 15 | 14 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (c) | 53 | 49 |
5.50%, 7/1/2029 (c) | 161 | 147 |
Six Flags Entertainment Corp. | ||
4.88%, 7/31/2024 (c) | 12 | 11 |
5.50%, 4/15/2027 (b) (c) | 102 | 93 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 12 | 11 |
6.63%, 1/15/2027 | 16 | 15 |
Southern California Edison Co. Series E, (ICE LIBOR USD 3 Month + 4.20%), 5.48%, 12/31/2164 (d) (e) (f) | 12 | 11 |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 2 | 2 |
Southwestern Energy Co. 7.75%, 10/1/2027 | 135 | 138 |
Spectrum Brands, Inc. | ||
5.75%, 7/15/2025 | 8 | 8 |
5.00%, 10/1/2029 (c) | 31 | 27 |
Sprint Capital Corp. 8.75%, 3/15/2032 | 197 | 237 |
Sprint Corp. | ||
7.88%, 9/15/2023 | 227 | 234 |
7.13%, 6/15/2024 | 71 | 73 |
7.63%, 2/15/2025 | 194 | 202 |
7.63%, 3/1/2026 | 39 | 41 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (c) | 93 | 87 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Stagwell Global LLC 5.63%, 8/15/2029 (c) | 70 | 56 |
Standard Industries, Inc. | ||
5.00%, 2/15/2027 (c) | 18 | 16 |
4.75%, 1/15/2028 (c) | 77 | 66 |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (f) | 10 | 9 |
Staples, Inc. | ||
7.50%, 4/15/2026 (c) | 95 | 79 |
10.75%, 4/15/2027 (c) | 85 | 56 |
Starbucks Corp. 2.55%, 11/15/2030 | 13 | 11 |
State Street Corp. | ||
Series F, (ICE LIBOR USD 3 Month + 3.60%), 5.43%, 9/15/2022 (b) (d) (e) (f) | 25 | 24 |
(ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023 (d) (e) (f) | 31 | 27 |
(SOFR + 0.73%), 2.20%, 2/7/2028 (f) | 10 | 9 |
Station Casinos LLC 4.50%, 2/15/2028 (c) | 70 | 59 |
Steel Dynamics, Inc. 5.00%, 12/15/2026 | 15 | 15 |
Stericycle, Inc. 3.88%, 1/15/2029 (c) | 150 | 123 |
Summit Materials LLC 6.50%, 3/15/2027 (c) | 45 | 43 |
Sunoco LP | ||
6.00%, 4/15/2027 | 71 | 68 |
5.88%, 3/15/2028 | 3 | 3 |
SVB Financial Group | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026 (d) (e) (f) | 100 | 76 |
Series D, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.07%), 4.25%, 11/15/2026 (d) (e) (f) | 35 | 26 |
Sysco Corp. | ||
3.25%, 7/15/2027 | 15 | 14 |
2.40%, 2/15/2030 | 6 | 5 |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | 5 | 5 |
Tallgrass Energy Partners LP 5.50%, 1/15/2028 (c) | 5 | 4 |
Targa Resources Partners LP 6.50%, 7/15/2027 | 191 | 196 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (c) | 150 | 121 |
Tenet Healthcare Corp. | ||
4.63%, 7/15/2024 | 29 | 28 |
4.63%, 9/1/2024 (c) | 11 | 11 |
4.88%, 1/1/2026 (c) | 163 | 150 |
6.25%, 2/1/2027 (c) | 30 | 28 |
June 30, 2022 | JPMorgan Insurance Trust | 21 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
5.13%, 11/1/2027 (c) | 189 | 170 |
TerraForm Power Operating LLC 5.00%, 1/31/2028 (c) | 29 | 26 |
Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 | 10 | 8 |
T-Mobile USA, Inc. | ||
4.75%, 2/1/2028 | 93 | 90 |
2.25%, 11/15/2031 | 10 | 8 |
4.38%, 4/15/2040 | 6 | 5 |
3.00%, 2/15/2041 | 6 | 4 |
TransDigm, Inc. 6.25%, 3/15/2026 (c) | 184 | 177 |
Transocean Pontus Ltd. 6.13%, 8/1/2025 (c) | 29 | 26 |
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (c) | 47 | 41 |
Transocean Proteus Ltd. 6.25%, 12/1/2024 (c) | 15 | 14 |
Travel + Leisure Co. | ||
5.65%, 4/1/2024 (h) | 17 | 17 |
6.60%, 10/1/2025 (h) | 16 | 16 |
6.00%, 4/1/2027 (h) | 25 | 23 |
TriMas Corp. 4.13%, 4/15/2029 (c) | 54 | 46 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (c) | 52 | 44 |
Truist Financial Corp. | ||
Series P, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.61%), 4.95%, 9/1/2025 (d) (e) (f) | 13 | 13 |
Series M, (ICE LIBOR USD 3 Month + 2.79%), 5.12%, 12/15/2027 (d) (e) (f) | 6 | 5 |
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (d) (e) (f) | 138 | 125 |
Uber Technologies, Inc. 7.50%, 5/15/2025 (c) | 65 | 64 |
UDR, Inc., REIT 3.20%, 1/15/2030 | 5 | 4 |
Union Pacific Corp. 3.70%, 3/1/2029 | 10 | 10 |
United Airlines Holdings, Inc. | ||
5.00%, 2/1/2024 | 33 | 32 |
4.88%, 1/15/2025 (b) | 28 | 26 |
United Airlines, Inc. 4.38%, 4/15/2026 (c) | 70 | 62 |
United Rentals North America, Inc. | ||
5.50%, 5/15/2027 | 6 | 6 |
4.88%, 1/15/2028 | 240 | 227 |
UnitedHealth Group, Inc. 4.20%, 5/15/2032 | 5 | 5 |
Universal Health Services, Inc. 2.65%, 1/15/2032 (c) | 6 | 5 |
Univision Communications, Inc. 4.50%, 5/1/2029 (c) | 70 | 59 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
US Bancorp | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.54%), 3.70%, 1/15/2027 (d) (e) | 60 | 46 |
Series J, (ICE LIBOR USD 3 Month + 2.91%), 5.30%, 4/15/2027 (d) (e) (f) | 8 | 7 |
Ventas Realty LP, REIT 4.00%, 3/1/2028 | 5 | 5 |
Verizon Communications, Inc. | ||
4.40%, 11/1/2034 | 8 | 8 |
4.27%, 1/15/2036 | 6 | 6 |
3.85%, 11/1/2042 | 3 | 3 |
VICI Properties LP | ||
4.25%, 12/1/2026 (c) | 75 | 68 |
5.75%, 2/1/2027 (c) | 23 | 22 |
Vistra Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.74%), 7.00%, 12/15/2026 (c) (d) (e) | 14 | 13 |
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026 (c) | 20 | 19 |
5.63%, 2/15/2027 (c) | 130 | 122 |
WEC Energy Group, Inc. 1.80%, 10/15/2030 | 5 | 4 |
Weekley Homes LLC 4.88%, 9/15/2028 (c) | 100 | 79 |
Wells Fargo & Co. | ||
Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024 (d) (e) | 53 | 48 |
(ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025 (d) (e) (f) | 18 | 18 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (f) | 315 | 271 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (c) | 40 | 40 |
7.25%, 6/15/2028 (c) | 125 | 124 |
Western Midstream Operating LP 4.75%, 8/15/2028 | 135 | 123 |
William Carter Co. (The) 5.63%, 3/15/2027 (c) | 73 | 68 |
WP Carey, Inc., REIT 2.40%, 2/1/2031 | 5 | 4 |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (c) | 35 | 32 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (c) | 224 | 176 |
Xerox Corp. 4.62%, 3/15/2023 (h) | 9 | 9 |
XPO Logistics, Inc. 6.25%, 5/1/2025 (c) | 29 | 29 |
Yum! Brands, Inc. 4.75%, 1/15/2030 (c) | 24 | 22 |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (c) | 140 | 116 |
22 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | 5 | 4 |
Zoetis, Inc. 2.00%, 5/15/2030 | 6 | 5 |
27,595 | ||
Total Corporate Bonds (Cost $36,663) | 31,937 | |
SHARES (000) | ||
Exchange-Traded Funds — 8.5% | ||
United States — 8.5% | ||
JPMorgan Equity Premium Income ETF (j) | 44 | 2,442 |
JPMorgan High Yield Research Enhanced ETF (j) | 127 | 5,551 |
7,993 | ||
Total Exchange-Traded Funds (Cost $9,092) | 7,993 | |
PRINCIPAL AMOUNT ($000) | ||
Equity-Linked Notes — 6.8% | ||
Canada — 1.0% | ||
National Bank of Canada, ELN, 7.50%, 8/17/2022, (linked to Russell 2000 Index) (c) | 1 | 931 |
France — 1.9% | ||
BNP Paribas Issuance BV, ELN, 7.00%, 7/27/2022, (linked to Russell 2000 Index) (c) | — | 896 |
Societe Generale SA, ELN, 7.50%, 8/10/2022, (linked to Russell 2000 Index) (c) | 1 | 903 |
1,799 | ||
Switzerland — 1.0% | ||
Credit Suisse AG, ELN, 8.00%, 8/24/2022, (linked to NASDAQ 100 Stock Index) (c) | — | 953 |
United Kingdom — 1.9% | ||
Barclays Bank plc, ELN, 7.00%, 7/20/2022, (linked to Russell 2000 Index) (c) | — | 894 |
Barclays Bank plc, ELN, 7.00%, 8/3/2022, (linked to Russell 2000 Index) (c) | 1 | 896 |
1,790 | ||
United States — 1.0% | ||
Citigroup Global Markets Holdings, Inc., ELN, 8.00%, 8/31/2022, (linked to NASDAQ 100 Stock Index) (c) | — | 969 |
Total Equity-Linked Notes (Cost $7,025) | 6,442 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Investment Companies — 2.8% | ||
United States — 2.8% | ||
JPMorgan Equity Income Fund (j) | 72 | 1,548 |
JPMorgan Floating Rate Income Fund (j) | 126 | 1,040 |
2,588 | ||
Total Investment Companies (Cost $2,151) | 2,588 | |
PRINCIPAL AMOUNT ($000) | ||
Commercial Mortgage-Backed Securities — 2.1% | ||
United States — 2.1% | ||
BANK Series 2017-BNK7, Class D, 2.71%, 9/15/2060 ‡ (c) | 100 | 75 |
Benchmark Mortgage Trust Series 2019-B11, Class D, 3.00%, 5/15/2052 ‡ (c) | 100 | 75 |
BX Commercial Mortgage Trust Series 2020-VIV2, Class C, 3.66%, 3/9/2044 (c) (k) | 106 | 89 |
Citigroup Commercial Mortgage Trust | ||
Series 2012-GC8, Class D, 4.94%, 9/10/2045 ‡ (c) (k) | 100 | 90 |
Series 2016-P6, Class D, 3.25%, 12/10/2049 ‡ (c) | 20 | 16 |
Series 2017-P7, Class D, 3.25%, 4/14/2050 ‡ (c) | 23 | 17 |
Series 2017-P7, Class B, 4.14%, 4/14/2050 ‡ (k) | 10 | 9 |
Commercial Mortgage Trust Series 2016-CR28, Class C, 4.77%, 2/10/2049 ‡ (k) | 100 | 95 |
CSAIL Commercial Mortgage Trust Series 2019-C15, Class C, 5.15%, 3/15/2052 ‡ (k) | 100 | 93 |
DBGS Mortgage Trust Series 2018-5BP, Class B, 2.30%, 6/15/2033 ‡ (c) (k) | 100 | 96 |
FHLMC Multiclass Certificates Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 | 160 | 18 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K734, Class X3, IO, 2.24%, 7/25/2026 (k) | 120 | 9 |
Series Q012, Class X, IO, 4.15%, 9/25/2035 (k) | 456 | 93 |
Series K726, Class X3, IO, 2.22%, 7/25/2044 (k) | 151 | 6 |
Series K729, Class X3, IO, 2.03%, 11/25/2044 (k) | 1,212 | 48 |
Series K728, Class X3, IO, 2.02%, 11/25/2045 (k) | 100 | 4 |
Series K071, Class X3, IO, 2.08%, 11/25/2045 (k) | 700 | 64 |
Series K088, Class X3, IO, 2.43%, 2/25/2047 (k) | 555 | 71 |
Series K108, Class X3, IO, 3.61%, 4/25/2048 (k) | 400 | 84 |
June 30, 2022 | JPMorgan Insurance Trust | 23 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
FREMF Series 2018-KF46, Class B, 3.07%, 3/25/2028 (c) (k) | 3 | 3 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 4.02%, 4/25/2024 (c) (k) | 4 | 4 |
Series 2017-KF32, Class B, 3.67%, 5/25/2024 (c) (k) | 28 | 27 |
Series 2018-KF45, Class B, 3.07%, 3/25/2025 (c) (k) | 4 | 4 |
Series 2018-KF47, Class B, 3.12%, 5/25/2025 (c) (k) | 17 | 17 |
Series 2018-KC02, Class B, 4.23%, 7/25/2025 (c) (k) | 25 | 24 |
Series 2018-KF53, Class B, 3.17%, 10/25/2025 (k) | 32 | 32 |
Series 2019-KC03, Class B, 4.51%, 1/25/2026 (c) (k) | 25 | 24 |
Series 2019-KF62, Class B, 3.17%, 4/25/2026 (c) (k) | 9 | 9 |
Series 2018-KF43, Class B, 3.27%, 1/25/2028 (c) (k) | 27 | 26 |
Series 2018-KF50, Class B, 3.02%, 7/25/2028 (c) (k) | 3 | 3 |
Series 2018-K82, Class B, 4.27%, 9/25/2028 (c) (k) | 50 | 48 |
Series 2019-KF63, Class B, 3.47%, 5/25/2029 (c) (k) | 13 | 13 |
Series 2017-K65, Class B, 4.22%, 7/25/2050 (c) (k) | 75 | 73 |
Series 2018-K75, Class B, 4.11%, 4/25/2051 (c) (k) | 10 | 10 |
Series 2020-K737, Class B, 3.42%, 1/25/2053 (c) (k) | 100 | 95 |
Series 2020-K737, Class C, 3.42%, 1/25/2053 (c) (k) | 145 | 136 |
GNMA | ||
Series 2016-71, Class QI, IO, 0.93%, 11/16/2057 (k) | 112 | 5 |
Series 2020-14, , IO, 0.57%, 2/16/2062 (k) | 601 | 31 |
Series 2020-23, , IO, 0.65%, 4/16/2062 (k) | 162 | 9 |
Jackson Park Trust | ||
Series 2019-LIC, Class E, 3.35%, 10/14/2039 ‡ (c) (k) | 100 | 74 |
Series 2019-LIC, Class F, 3.35%, 10/14/2039 ‡ (c) (k) | 100 | 72 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (k) | 20 | 8 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (k) | 50 | 46 |
Morgan Stanley Capital I Trust | ||
Series 2018-MP, Class D, 4.42%, 7/11/2040 ‡ (c) (k) | 10 | 8 |
Series 2020-HR8, Class XA, IO, 1.97%, 7/15/2053 (k) | 995 | 110 |
Total Commercial Mortgage-Backed Securities (Cost $2,181) | 1,963 | |
Collateralized Mortgage Obligations — 1.0% | ||
United States — 1.0% | ||
Banc of America Funding Trust Series 2006-A, Class 1A1, 2.74%, 2/20/2036 (k) | 8 | 8 |
Citigroup Mortgage Loan Trust, Inc. Series 2005-6, Class A1, 2.19%, 9/25/2035 (k) | 17 | 17 |
Connecticut Avenue Securities Trust Series 2019-R06, Class 2M2, 3.72%, 9/25/2039 ‡ (c) (k) | 8 | 8 |
FHLMC, REMIC | ||
Series 4703, Class SA, IF, IO, 4.83%, 7/15/2047 (k) | 194 | 30 |
Series 4937, Class MS, IF, IO, 4.43%, 12/25/2049 (k) | 128 | 17 |
Series 4839, Class WS, IF, IO, 4.78%, 8/15/2056 (k) | 131 | 21 |
FHLMC, STRIPS | ||
Series 311, Class S1, IF, IO, 4.63%, 8/15/2043 (k) | 437 | 63 |
Series 316, Class S7, IF, IO, 4.78%, 11/15/2043 (k) | 181 | 22 |
Series 356, Class S5, IF, IO, 4.68%, 9/15/2047 (k) | 226 | 36 |
FNMA, REMIC | ||
Series 2012-75, Class DS, IF, IO, 4.33%, 7/25/2042 (k) | 147 | 19 |
Series 2016-1, Class SJ, IF, IO, 4.53%, 2/25/2046 (k) | 96 | 17 |
Series 2018-67, Class SN, IF, IO, 4.58%, 9/25/2048 (k) | 308 | 49 |
Series 2018-73, Class SC, IF, IO, 4.58%, 10/25/2048 (k) | 184 | 25 |
GNMA | ||
Series 2017-67, Class ST, IF, IO, 4.60%, 5/20/2047 (k) | 144 | 23 |
Series 2017-112, Class S, IF, IO, 4.60%, 7/20/2047 (k) | 114 | 15 |
24 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 2018-36, Class SG, IF, IO, 4.60%, 3/20/2048 (k) | 67 | 9 |
Series 2019-22, Class SM, IF, IO, 4.45%, 2/20/2049 (k) | 172 | 20 |
Series 2019-42, Class SJ, IF, IO, 4.45%, 4/20/2049 (k) | 140 | 16 |
Impac CMB Trust | ||
Series 2004-7, Class 1A2, 2.54%, 11/25/2034 (k) | 32 | 32 |
Series 2005-8, Class 1AM, 2.32%, 2/25/2036 (k) | 59 | 55 |
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 3.24%, 7/25/2034 (k) | — | — |
New Residential Mortgage Loan Trust Series 2019-NQM4, Class M1, 2.99%, 9/25/2059 ‡ (c) (k) | 239 | 218 |
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 3.59%, 10/25/2037 (k) | 215 | 201 |
WaMu Mortgage Pass-Through Certificates Trust Series 2005-AR5, Class A6, 3.31%, 5/25/2035 (k) | 11 | 10 |
Total Collateralized Mortgage Obligations (Cost $1,065) | 931 | |
U.S. Treasury Obligations — 0.9% | ||
United States — 0.9% | ||
U.S. Treasury Notes , 0.13%, 1/31/2023 (l)(Cost $837) | 842 | 830 |
SHARES (000) | ||
Preferred Stocks — 0.5% | ||
United States — 0.5% | ||
Allstate Corp. (The) Series H, 5.10%, 10/15/2024 ($25 par value) (m) | 1 | 29 |
Bank of America Corp., | ||
Series GG, 6.00%, 5/16/2023 ($25 par value) (m) | 1 | 18 |
Series HH, 5.88%, 7/24/2023 ($25 par value) (m) | 1 | 17 |
Series KK, 5.38%, 6/25/2024 ($25 par value) (m) | 1 | 17 |
Series LL, 5.00%, 9/17/2024 ($25 par value) (m) | 1 | 16 |
Energy Transfer LP Series E, US0003M, 7.60%, 5/15/2024 (m) | 2 | 38 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
MetLife, Inc. Series F, 4.75%, 3/15/2025 ($25 par value) (m) | 1 | 14 |
Morgan Stanley, | ||
Series L, 4.88%, 1/15/2025 ($25 par value) (m) | — | 4 |
Series K, US0003M, 5.85%, 4/15/2027 ($25 par value) (m) | 2 | 54 |
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ * | 7 | 8 |
NextEra Energy Capital Holdings, Inc. Series N, 5.65%, 3/1/2079 ($25 par value) | 1 | 12 |
Northern Trust Corp. Series E, 4.70%, 1/1/2025 ($25 par value) (m) | — | 9 |
Public Storage Series L, REIT, 4.63%, 6/17/2025 ($25 par value) (m) | 1 | 12 |
SCE Trust VI 5.00%, 6/26/2022 ($25 par value) (m) | 4 | 73 |
Sempra Energy 5.75%, 7/1/2079 ($25 par value) | — | 2 |
Southern Co. (The) Series 2020, 4.95%, 1/30/2080 ($25 par value) | 1 | 22 |
State Street Corp. Series G, US0003M, 5.35%, 3/15/2026 ($25 par value) (m) | — | 9 |
Truist Financial Corp. Series R, 4.75%, 9/1/2025 ($25 par value) (m) | 1 | 16 |
US Bancorp Series K, 5.50%, 10/15/2023 ($25 par value) (m) | — | 8 |
Wells Fargo & Co., | ||
Series Y, 5.63%, 6/15/2022 ($25 par value) (m) | 1 | 29 |
Series Z, 4.75%, 3/15/2025 ($25 par value) (m) | 5 | 103 |
Series AA, 4.70%, 12/15/2025 ($25 par value) (m) | — | 4 |
Total Preferred Stocks (Cost $596) | 514 | |
PRINCIPAL AMOUNT ($000) | ||
Mortgage-Backed Securities — 0.4% | ||
United States — 0.4% | ||
FNMA UMBS, 30 Year | ||
Pool # MA4398, 2.00%, 8/1/2051 | 320 | 279 |
Pool # MA4465, 2.00%, 11/1/2051 | 10 | 8 |
Pool # MA4563, 2.50%, 3/1/2052 | 59 | 53 |
Pool # MA4564, 3.00%, 3/1/2052 | 13 | 12 |
June 30, 2022 | JPMorgan Insurance Trust | 25 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
United States — continued | ||
GNMA II, 30 Year Pool # MA7534, 2.50%, 8/20/2051 | 55 | 51 |
Total Mortgage-Backed Securities (Cost $463) | 403 | |
Asset-Backed Securities — 0.3% | ||
United States — 0.3% | ||
GSAMP Trust Series 2003-SEA, Class A1, 2.42%, 2/25/2033 ‡ (k) | 82 | 78 |
Morgan Stanley ABS Capital I, Inc. Trust | ||
Series 2003-SD1, Class M1, 3.87%, 3/25/2033 ‡ (k) | 106 | 101 |
Series 2003-NC10, Class M1, 2.64%, 10/25/2033 ‡ (k) | 13 | 13 |
Prestige Auto Receivables Trust Series 2018-1A, Class D, 4.14%, 10/15/2024 (c) | 10 | 10 |
Securitized Asset-Backed Receivables LLC Trust Series 2004-OP2, Class M3, 3.65%, 8/25/2034 ‡ (k) | 74 | 74 |
Total Asset-Backed Securities (Cost $270) | 276 | |
Loan Assignments — 0.2% (f) (n) | ||
United States — 0.2% | ||
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.88%, 4/6/2024 | 5 | 5 |
Axalta Dupont PC, Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 4.00%, 6/1/2024 | 21 | 21 |
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.92%, 3/15/2027 | 8 | 7 |
JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.00%), 2.80%, 5/1/2026 | 33 | 31 |
Nexstar Broadcasting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 4.17%, 9/18/2026 | 28 | 28 |
UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 4/29/2026 | 39 | 36 |
WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 3.79%, 1/20/2028 | 31 | 30 |
Total Loan Assignments (Cost $164) | 158 |
INVESTMENTS | NO. OF WARRANTS (000) | VALUE ($000) |
Warrants — 0.0% ^ | ||
United Kingdom — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD ‡ * | — | 7 |
United States — 0.0% ^ | ||
Chesapeake Energy Corp. | ||
expiring 2/9/2026, price 34.00 USD * | — | 7 |
expiring 2/9/2026, price 26.00 USD * | — | 14 |
expiring 2/9/2026, price 30.00 USD * | 1 | 14 |
Windstream Holdings, Inc. expiring 12/31/2049, price 11.00 USD ‡ * | — | — |
35 | ||
Total Warrants (Cost $—) | 42 | |
PRINCIPAL AMOUNT ($000) | ||
Convertible Bonds — 0.0% ^ | ||
United States — 0.0% ^ | ||
Liberty Interactive LLC | ||
4.00%, 11/15/2029 | 3 | 1 |
3.75%, 2/15/2030 | 2 | 1 |
Total Convertible Bonds (Cost $4) | 2 | |
NO. OF RIGHTS (000) | ||
Rights — 0.0% ^ | ||
Luxembourg — 0.0% ^ | ||
Intelsat Jackson Holdings SA, expiring 12/5/2025(Cost $—)‡ * | — | — |
SHARES (000) | ||
Short-Term Investments — 3.6% | ||
Investment Companies — 2.7% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (j) (o) | 490 | 490 |
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.47% (j) (o) | 2,063 | 2,063 |
Total Investment Companies (Cost $2,553) | 2,553 | |
Investment of Cash Collateral from Securities Loaned — 0.9% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (j) (o) | 200 | 200 |
26 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short-Term Investments — continued | ||
Investment of Cash Collateral from Securities Loaned — continued | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (j) (o) | 680 | 680 |
Total Investment of Cash Collateral from Securities Loaned (Cost $880) | 880 | |
Total Short-Term Investments (Cost $3,433) | 3,433 | |
Total Investments — 99.3% (Cost $98,609) | 93,380 | |
Other Assets Less Liabilities — 0.7% | 629 | |
NET ASSETS — 100.0% | 94,009 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ABS | Asset-Backed Securities |
ADR | American Depositary Receipt |
CVA | Dutch Certification |
ELN | Equity-Linked Note |
ETF | Exchange Traded Fund |
EUR | Euro |
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, 2022. 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 |
NASDAQ | National Association of Securities Dealers Automate Quotation |
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 |
SGPS | Holding company |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the 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 |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | 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. | |
(b) | The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $842. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Security is an interest bearing note with preferred security characteristics. | |
(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, 2022. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022. | |
(g) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(h) | 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, 2022. | |
(i) | Defaulted security. | |
(j) | 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, 2022 | JPMorgan Insurance Trust | 27 |
(k) | 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, 2022. | |
(l) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(m) | 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, 2022. | |
(n) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(o) | The rate shown is the current yield as of June 30, 2022. |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS |
Banks | 7.1% |
Fixed Income | 7.1 |
Equity-Linked Notes | 6.9 |
Oil, Gas & Consumable Fuels | 5.7 |
Equity Real Estate Investment Trusts (REITs) | 4.5 |
Diversified Telecommunication Services | 4.4 |
U.S. Equity | 4.3 |
Electric Utilities | 3.6 |
Pharmaceuticals | 3.4 |
Insurance | 3.0 |
Media | 2.7 |
Health Care Providers & Services | 2.4 |
Hotels, Restaurants & Leisure | 2.2 |
Commercial Mortgage-Backed Securities | 2.1 |
Capital Markets | 2.1 |
Food Products | 1.9 |
Semiconductors & Semiconductor Equipment | 1.7 |
Metals & Mining | 1.6 |
Wireless Telecommunication Services | 1.6 |
Chemicals | 1.4 |
Multi-Utilities | 1.2 |
Consumer Finance | 1.2 |
Containers & Packaging | 1.2 |
Commercial Services & Supplies | 1.1 |
Household Durables | 1.0 |
Beverages | 1.0 |
Collateralized Mortgage Obligations | 1.0 |
Others (each less than 1.0%) | 18.9 |
Short-Term Investments | 3.7 |
28 | JPMorgan Insurance Trust | June 30, 2022 |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
S&P 500 E-Mini Index | 17 | 09/16/2022 | USD | 3,227 | (90) |
U.S. Treasury 10 Year Note | 117 | 09/21/2022 | USD | 13,844 | (196) |
(286) | |||||
Short Contracts | |||||
EURO STOXX 50 Index | (40) | 09/16/2022 | EUR | (1,450) | 12 |
E-Mini Nasdaq 100 Index | (6) | 09/16/2022 | USD | (1,385) | 30 |
Russell 2000 E-Mini Index | (46) | 09/16/2022 | USD | (3,930) | 176 |
218 | |||||
(68) |
Abbreviations | |
EUR | Euro |
USD | United States Dollar |
June 30, 2022 | JPMorgan Insurance Trust | 29 |
JPMorgan Insurance Trust Income Builder Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $ 79,366 |
Investments in affiliates, at value | 13,134 |
Investments of cash collateral received from securities loaned, at value (See Note 2.E) | 880 |
Cash | 262 |
Foreign currency, at value | 29 |
Receivables: | |
Investment securities sold | 84 |
Portfolio shares sold | 49 |
Interest from non-affiliates | 536 |
Dividends from non-affiliates | 133 |
Dividends from affiliates | 2 |
Tax reclaims | 60 |
Securities lending income (See Note 2.E) | 1 |
Variation margin on futures contracts | 599 |
Total Assets | 95,135 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 60 |
Collateral received on securities loaned (See Note 2.E) | 880 |
Portfolio shares redeemed | 4 |
Accrued liabilities: | |
Investment advisory fees | 22 |
Distribution fees | 16 |
Custodian and accounting fees | 76 |
Trustees’ and Chief Compliance Officer’s fees | —(a) |
Other | 68 |
Total Liabilities | 1,126 |
Net Assets | $ 94,009 (a) Amount rounds to less than one thousand. |
30 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Income Builder Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $100,829 |
Total distributable earnings (loss) | (6,820) |
Total Net Assets: | $ 94,009 |
Net Assets: | |
Class 1 | $ 19,007 |
Class 2 | 75,002 |
Total | $ 94,009 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 1,973 |
Class 2 | 7,811 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $ 9.63 |
Class 2 — Offering and redemption price per share | 9.60 |
Cost of investments in non-affiliates | $ 83,933 |
Cost of investments in affiliates | 13,796 |
Cost of foreign currency | 19 |
Investment securities on loan, at value (See Note 2.E) | 842 |
Cost of investment of cash collateral (See Note 2.E) | 880 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
June 30, 2022 | JPMorgan Insurance Trust | 31 |
JPMorgan Insurance Trust Income Builder Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $ 1,198 |
Interest income from affiliates | —(a) |
Dividend income from non-affiliates | 942 |
Dividend income from affiliates | 246 |
Income from securities lending (net) (See Note 2.E) | 4 |
Foreign taxes withheld (net) | (77) |
Total investment income | 2,313 |
EXPENSES: | |
Investment advisory fees | 215 |
Administration fees | 39 |
Distribution fees: | |
Class 2 | 103 |
Custodian and accounting fees | 130 |
Interest expense to affiliates | —(a) |
Professional fees | 48 |
Trustees’ and Chief Compliance Officer’s fees | 13 |
Printing and mailing costs | 14 |
Transfer agency fees (See Note 2.L) | —(a) |
Other | 9 |
Total expenses | 571 |
Less fees waived | (159) |
Less expense reimbursements | —(a) |
Net expenses | 412 |
Net investment income (loss) | 1,901 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | (926) |
Investments in affiliates | (374) |
Futures contracts | (1,023) |
Foreign currency transactions | (30) |
Net realized gain (loss) | (2,353) |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (12,882) |
Investments in affiliates | (1,299) |
Futures contracts | (109) |
Foreign currency translations | (2) |
Change in net unrealized appreciation/depreciation | (14,292) |
Net realized/unrealized gains (losses) | (16,645) |
Change in net assets resulting from operations | $(14,744) |
(a) | Amount rounds to less than one thousand. |
32 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Income Builder Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,901 | $ 3,298 | |
Net realized gain (loss) | (2,353) | 2,950 | |
Distributions of capital gains received from investment company affiliates | — | 30 | |
Change in net unrealized appreciation/depreciation | (14,292) | 2,129 | |
Change in net assets resulting from operations | (14,744) | 8,407 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class 1 | (1,347) | (664) | |
Class 2 | (5,165) | (2,555) | |
Total distributions to shareholders | (6,512) | (3,219) | |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 4,591 | 5,626 | |
NET ASSETS: | |||
Change in net assets | (16,665) | 10,814 | |
Beginning of period | 110,674 | 99,860 | |
End of period | $ 94,009 | $110,674 | |
CAPITAL TRANSACTIONS: | |||
Class 1 | |||
Proceeds from shares issued | $ 641 | $ 804 | |
Distributions reinvested | 1,347 | 664 | |
Cost of shares redeemed | (208) | (705) | |
Change in net assets resulting from Class 1 capital transactions | 1,780 | 763 | |
Class 2 | |||
Proceeds from shares issued | 5,413 | 11,123 | |
Distributions reinvested | 5,164 | 2,554 | |
Cost of shares redeemed | (7,766) | (8,814) | |
Change in net assets resulting from Class 2 capital transactions | 2,811 | 4,863 | |
Total change in net assets resulting from capital transactions | $ 4,591 | $ 5,626 | |
SHARE TRANSACTIONS: | |||
Class 1 | |||
Issued | 57 | 68 | |
Reinvested | 132 | 57 | |
Redeemed | (19) | (60) | |
Change in Class 1 Shares | 170 | 65 | |
Class 2 | |||
Issued | 491 | 956 | |
Reinvested | 507 | 221 | |
Redeemed | (711) | (758) | |
Change in Class 2 Shares | 287 | 419 |
June 30, 2022 | JPMorgan Insurance Trust | 33 |
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 | Total distributions | Net asset value, end of period | ||
JPMorgan Insurance Trust Income Builder Portfolio | |||||||||
Class 1 | |||||||||
Six Months Ended June 30, 2022 (Unaudited) | $11.91 | $0.22 | $(1.77) | $(1.55) | $(0.42) | $(0.31) | $(0.73) | $ 9.63 | |
Year Ended December 31, 2021 | 11.33 | 0.38 | 0.58 | 0.96 | (0.34) | (0.04) | (0.38) | 11.91 | |
Year Ended December 31, 2020 | 11.16 | 0.35 | 0.20 | 0.55 | (0.38) | — | (0.38) | 11.33 | |
Year Ended December 31, 2019 | 10.11 | 0.40 | 1.05 | 1.45 | (0.37) | (0.03) | (0.40) | 11.16 | |
Year Ended December 31, 2018 | 10.62 | 0.42 | (0.91) | (0.49) | — | (0.02) | (0.02) | 10.11 | |
Year Ended December 31, 2017 | 9.93 | 0.37 | 0.81 | 1.18 | (0.39) | (0.10) | (0.49) | 10.62 | |
Class 2 | |||||||||
Six Months Ended June 30, 2022 (Unaudited) | 11.86 | 0.20 | (1.76) | (1.56) | (0.39) | (0.31) | (0.70) | 9.60 | |
Year Ended December 31, 2021 | 11.28 | 0.35 | 0.58 | 0.93 | (0.31) | (0.04) | (0.35) | 11.86 | |
Year Ended December 31, 2020 | 11.12 | 0.33 | 0.19 | 0.52 | (0.36) | — | (0.36) | 11.28 | |
Year Ended December 31, 2019 | 10.08 | 0.37 | 1.04 | 1.41 | (0.34) | (0.03) | (0.37) | 11.12 | |
Year Ended December 31, 2018 | 10.62 | 0.39 | (0.91) | (0.52) | — | (0.02) | (0.02) | 10.08 | |
Year Ended December 31, 2017 | 9.92 | 0.35 | 0.81 | 1.16 | (0.36) | (0.10) | (0.46) | 10.62 |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
(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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(h) | Does not include expenses of Underlying Funds. |
(i) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
34 | JPMorgan Insurance Trust | June 30, 2022 |
Ratios/Supplemental data | |||||
Ratios to average net assets(a) | |||||
Total return (d)(e)(f) | Net assets, end of period (000's) | Net expenses(g)(h) | Net investment income (loss)(c) | Expenses without waivers and reimbursements(h) | Portfolio turnover rate(d) |
(13.38)% | $19,007 | 0.60(i)% | 3.93(i)% | 0.91(i)% | 27% |
8.51 | 21,470 | 0.60 | 3.28 | 0.89 | 67 |
5.45 | 19,684 | 0.56 | 3.33 | 0.94 | 66 |
14.56 | 14,607 | 0.60 | 3.71 | 0.95 | 51 |
(4.63) | 10,947 | 0.59 | 4.02 | 1.14 | 68 |
11.89 | 8,776 | 0.59 | 3.40 | 1.26 | 85 |
(13.50) | 75,002 | 0.85(i) | 3.67(i) | 1.16(i) | 27 |
8.31 | 89,204 | 0.85 | 3.03 | 1.14 | 67 |
5.12 | 80,176 | 0.81 | 3.10 | 1.20 | 66 |
14.27 | 75,983 | 0.85 | 3.49 | 1.21 | 51 |
(4.92) | 55,484 | 0.84 | 3.76 | 1.39 | 68 |
11.70 | 42,122 | 0.84 | 3.31 | 1.40 | 85 |
June 30, 2022 | JPMorgan Insurance Trust | 35 |
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Income Builder Portfolio | Class 1 and Class 2 | Diversified |
36 | JPMorgan Insurance Trust | June 30, 2022 |
• | 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). |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | ||||
United States | $ — | $ 10 | $ 266 | $ 276 |
Collateralized Mortgage Obligations | ||||
United States | — | 705 | 226 | 931 |
Commercial Mortgage-Backed Securities | ||||
United States | — | 1,189 | 774 | 1,963 |
Common Stocks | ||||
Australia | — | 791 | — | 791 |
Austria | 22 | 82 | — | 104 |
Belgium | — | 163 | — | 163 |
Brazil | 158 | 26 | — | 184 |
Canada | 2,355 | — | — | 2,355 |
Chile | 31 | — | — | 31 |
China | 42 | 1,778 | — | 1,820 |
Denmark | 14 | 440 | — | 454 |
Finland | — | 373 | — | 373 |
France | — | 1,346 | — | 1,346 |
Germany | — | 1,208 | — | 1,208 |
Hong Kong | 43 | 477 | — | 520 |
India | 238 | — | — | 238 |
Indonesia | 151 | 137 | — | 288 |
Italy | — | 546 | — | 546 |
Japan | — | 1,938 | — | 1,938 |
Luxembourg | 24 | — | 9 | 33 |
Mexico | 394 | — | — | 394 |
June 30, 2022 | JPMorgan Insurance Trust | 37 |
(continued) | |||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
Netherlands | $ — | $ 471 | $ — | $ 471 | |||
New Zealand | — | 110 | — | 110 | |||
Norway | 25 | 268 | 28 | 321 | |||
Poland | — | 48 | — | 48 | |||
Portugal | 12 | 100 | — | 112 | |||
Russia | — | — | 1 | 1 | |||
Saudi Arabia | — | 65 | — | 65 | |||
Singapore | 21 | 302 | — | 323 | |||
South Africa | 42 | 273 | — | 315 | |||
South Korea | 16 | 438 | — | 454 | |||
Spain | 22 | 1,020 | — | 1,042 | |||
Sweden | 2 | 434 | — | 436 | |||
Switzerland | — | 445 | — | 445 | |||
Taiwan | 39 | 841 | — | 880 | |||
Thailand | 42 | — | — | 42 | |||
United Kingdom | 43 | 2,069 | — | 2,112 | |||
United States | 14,757 | 1,148 | — | 15,905 | |||
Total Common Stocks | 18,493 | 17,337 | 38 | 35,868 | |||
Convertible Bonds | — | 2 | — | 2 | |||
Corporate Bonds | |||||||
Australia | — | 212 | — | 212 | |||
Belgium | — | 19 | — | 19 | |||
Canada | — | 1,190 | — | 1,190 | |||
Cayman Islands | — | 24 | — | 24 | |||
Finland | — | 44 | — | 44 | |||
France | — | 585 | — | 585 | |||
Germany | — | 20 | — | 20 | |||
Ireland | — | 234 | — | 234 | |||
Italy | — | 100 | — | 100 | |||
Luxembourg | — | 20 | — | 20 | |||
Netherlands | — | 338 | — | 338 | |||
Sweden | — | 164 | — | 164 | |||
Switzerland | — | 579 | — | 579 | |||
United Kingdom | — | 813 | — | 813 | |||
United States | — | 27,595 | —(a) | 27,595 | |||
Total Corporate Bonds | — | 31,937 | — | 31,937 | |||
Equity-Linked Notes | — | 6,442 | — | 6,442 | |||
Exchange-Traded Funds | 7,993 | — | — | 7,993 | |||
Investment Companies | 2,588 | — | — | 2,588 | |||
Loan Assignments | — | 158 | — | 158 | |||
Mortgage-Backed Securities | — | 403 | — | 403 | |||
Preferred Stocks | |||||||
United States | 506 | — | 8 | 514 | |||
Rights | — | — | —(a) | —(a) | |||
U.S. Treasury Obligations | — | 830 | — | 830 | |||
Warrants | |||||||
United Kingdom | — | — | 7 | 7 | |||
United States | 35 | — | —(a) | 35 |
38 | JPMorgan Insurance Trust | June 30, 2022 |
(continued) | |||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
Total Warrants | 35 | — | 7 | 42 | |||
Short-Term Investments | |||||||
Investment Companies | $ 2,553 | $ — | $ — | $ 2,553 | |||
Investment of Cash Collateral from Securities Loaned | 880 | — | — | 880 | |||
Total Short-Term Investments | 3,433 | — | — | 3,433 | |||
Total Investments in Securities | $33,048 | $59,013 | $1,319 | $93,380 | |||
Appreciation in Other Financial Instruments | |||||||
Futures Contracts | $ 218 | $ — | $ — | $ 218 | |||
Depreciation in Other Financial Instruments | |||||||
Futures Contracts | (286) | — | — | (286) | |||
Total Net Appreciation/ Depreciation in Other Financial Instruments | $ (68) | $ — | $ — | $ (68) |
(a) | Amount rounds to less than one thousand. |
Balance as of December 31, 2021 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of June 30, 2022 | |||||||||
Investments in securities: | |||||||||||||||||
Asset-Backed Securities | $ 262 | $ —(a) | $ (6) | $ 1 | $ — | $ 9 | $ — | $ — | $ 266 | ||||||||
Collateralized Mortgage Obligations | 264 | — | (21) | — | — | (17) | — | — | 226 | ||||||||
Commercial Mortgage-Backed Securities | 1,072 | (13) | (95) | 1 | — | (84) | — | (107) | 774 | ||||||||
Common Stocks | — | (9) | (78) | — | 29 | (49) | 145 | — | 38 | ||||||||
Corporate Bonds | — | — | —(a) | — | —(a) | — | — | — | —(a) | ||||||||
Preferred Stocks | 8 | — | —(a) | — | — | — | — | — | 8 | ||||||||
Rights | — | — | — | — | —(a) | — | — | — | —(a) | ||||||||
Warrants | 4 | — | 3 | — | — | — | — | — | 7 | ||||||||
Total | $1,610 | $(22) | $(197) | $ 2 | $29 | $(141) | $145 | $(107) | $1,319 |
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. |
June 30, 2022 | JPMorgan Insurance Trust | 39 |
Fair Value at June 30, 2022 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$ 266 | Discounted Cash Flow | Constant Prepayment Rate | 9.00% - 9.50% (9.31%) | |
Constant Default Rate | 1.48% - 7.80% (5.11%) | |||
Yield (Discount Rate of Cash Flows) | 5.47% - 8.09% (7.02%) | |||
Asset Backed Securities | 266 | |||
774 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 0.00% - 111.39% (19.24%) | |
Commercial Mortgage-Backed Securities | 774 | |||
226 | Discounted Cash Flow | Constant Prepayment Rate | 10.00% - 15.00% (14.83%) | |
Constant Default Rate | 0.00% - 0.08% (0.08%) | |||
Yield (Discount Rate of Cash Flows) | 4.51% - 4.80% (4.52%) | |||
Collateralized Mortgage Obligations | 226 | |||
28 | Intrinsic Value | Spin-off Price | $38.99 ($38.99) | |
Common Stock | 28 | |||
- (b) | Terms of Restructuring | Expected Recovery | 0.01 ($0.01) | |
Corporate Bonds | - (b) | |||
- (b) | Pending Distribution Amount | Expected Recovery | 0.01 ($0.01) | |
Rights | - (b) | |||
Total | 1,294 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At June 30, 2022, the value of these investments was $25. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally 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. |
40 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 41 |
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) | |
$842 | $(842) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
$—(a) |
(a) | Amount rounds to less than one thousand. |
42 | JPMorgan Insurance Trust | June 30, 2022 |
For the six months ended June 30, 2022 | |||||||||||||||
Security Description | Value at December 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2022 | Shares at June 30, 2022 | Dividend Income | Capital Gain Distributions | ||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | $ 2,160 | $ 10 | $ 1,871 | $(373) | $ 74 | $ — | — | $ 11 | $— | ||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 1,696 | 17 | — | — | (165) | 1,548 | 72 | 16 | — | ||||||
JPMorgan Equity Premium Income ETF (a) | 1,653 | 1,091 | — | — | (302) | 2,442 | 44 | 92 | — | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 1,108 | 20 | — | — | (88) | 1,040 | 126 | 19 | — | ||||||
JPMorgan High Yield Research Enhanced ETF (a) | 4,505 | 1,864 | — | — | (818) | 5,551 | 127 | 102 | — | ||||||
JPMorgan Prime Money Market Fund Class IM Shares, 1.54% (a) (b) | 462 | 3,053 | 3,025 | —(c) | —(c) | 490 | 490 | 1 | — | ||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.47% (a) (b) | 1,323 | 21,310 | 20,569 | (1) | —(c) | 2,063 | 2,063 | 5 | — | ||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.50% (a) (b) | 200 | — | — | — | —(c) | 200 | 200 | —(c ) * | — | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | 820 | 5,709 | 5,849 | — | — | 680 | 680 | 2* | — | ||||||
Total | $13,927 | $33,074 | $31,314 | $(374) | $(1,299) | $14,014 | $ 248 | $— |
(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, 2022. |
(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). |
June 30, 2022 | JPMorgan Insurance Trust | 43 |
Futures Contracts: | |
Average Notional Balance Long | $16,639 |
Average Notional Balance Short | (5,238) |
Ending Notional Balance Long | 17,071 |
Ending Notional Balance Short | (6,765) |
Equity Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | $ 218 |
Unrealized Depreciation on Futures Contracts * | (90) |
Interest Rate Risk Exposure: | |
Unrealized Depreciation on Futures Contracts * | (196) |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | (68) |
* | 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. |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
Equity Risk Exposure: | |
Futures Contracts | $ 42 |
Interest Rate Risk Exposure: | |
Futures Contracts | (1,065) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Equity Risk Exposure: | |
Futures Contracts | 207 |
44 | JPMorgan Insurance Trust | June 30, 2022 |
Interest Rate Risk Exposure: | |
Futures Contracts | (316) |
Class 1 | Class 2 | Total | |
Transfer agency fees | $—(a) | $—(a) | $—(a) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 45 |
46 | JPMorgan Insurance Trust | June 30, 2022 |
Class 1 | Class 2 | |
0.60% | 0.85% |
Contractual Waivers | ||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | |
$99 | $38 | $137 | $—(a) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 47 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
$26,810 | $29,469 | $559 | $538 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$98,609 | $4,904 | $10,201 | $(5,297) |
48 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 49 |
50 | JPMorgan Insurance Trust | June 30, 2022 |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Income Builder Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $ 866.20 | $2.78 | 0.60% |
Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 |
Class 2 | ||||
Actual | 1,000.00 | 865.00 | 3.93 | 0.85 |
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 |
* | 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, 2022 | JPMorgan Insurance Trust | 51 |
52 | JPMorgan Insurance Trust | June 30, 2022 |
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022. | SAN-JPMITIBP-622 |
JPMorgan Insurance Trust Global Allocation Portfolio |
1 | |
2 | |
5 | |
21 | |
26 | |
28 | |
42 | |
43 |
“It remains essential, in our view, that investors consider the potential benefits of portfolio diversification that adapts to near-term market conditions while cultivating long-term opportunities.” — Andrea L. Lisher |
Head of Americas, Client
J.P. Morgan Asset Management
June 30, 2022 | JPMorgan Insurance Trust | 1 |
REPORTING PERIOD RETURN: | |
Portfolio (Class 2 Shares) * | (18.14)% |
MSCI All Country World Index (net of foreign withholding taxes) | (20.18)% |
60% MSCI All Country World Index (net of foreign withholding taxes) / 40% Bloomberg Global Aggregate Index - Unhedged USD (formerly known as the Global Allocation Composite) | (17.66)% |
Net Assets as of 6/30/2022 (In Thousands) | $112,157 |
2 | JPMorgan Insurance Trust | June 30, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | ||
1. | JPMorgan Income Fund, Class R6 | 4.6 % | |
2. | JPMorgan High Yield Fund, Class R6 | 4.5 | |
3. | JPMorgan Large Cap Value Fund, Class R6 | 4.0 | |
4. | JPMorgan Emerging Markets Equity Fund, Class R6 | 3.8 | |
5. | JPMorgan U.S. Value Factor ETF | 3.0 | |
6. | U.S. Treasury Notes 0.13, 1/31/2023 | 2.2 | |
7. | Microsoft Corp. | 1.9 | |
8. | Amazon.com, Inc. | 1.4 | |
9. | Apple, Inc. | 1.0 | |
10. | LVMH Moet Hennessy Louis Vuitton SE (France) | 0.9 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS | |
Common Stocks | 48.7% | |
Investment Companies | 16.8 | |
Foreign Government Securities | 15.3 | |
Exchange-Traded Funds | 3.0 | |
U.S. Treasury Obligations | 2.2 | |
Corporate Bonds | 1.3 | |
Others (each less than 1.0%) | 0.4 | |
Short-Term Investments | 12.3 |
* | 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, 2022 | JPMorgan Insurance Trust | 3 |
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||
Class 1 SHARES | December 9, 2014 | (18.08)% | (15.58)% | 4.10% | 4.53% | ||||
Class 2 SHARES | December 9, 2014 | (18.14) | (15.76) | 3.86 | 4.28 |
* | Not annualized. |
4 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 48.4% | ||
Australia — 0.7% | ||
Ampol Ltd. | — | 3 |
APA Group | — | 3 |
Aristocrat Leisure Ltd. | — | 6 |
Aurizon Holdings Ltd. | 2 | 4 |
Australia & New Zealand Banking Group Ltd. | 1 | 14 |
BHP Group Ltd. | 8 | 209 |
BHP Group Ltd. | 1 | 37 |
BlueScope Steel Ltd. | — | 1 |
Brambles Ltd. | 1 | 6 |
Cochlear Ltd. | — | 3 |
Coles Group Ltd. | 1 | 12 |
Commonwealth Bank of Australia | 1 | 47 |
Computershare Ltd. | — | 2 |
CSL Ltd. | — | 40 |
Endeavour Group Ltd. | 1 | 5 |
Fortescue Metals Group Ltd. | — | 4 |
Glencore plc * | 4 | 24 |
Goodman Group, REIT | 1 | 12 |
GPT Group (The), REIT | 2 | 6 |
Insurance Australia Group Ltd. | 2 | 5 |
LendLease Corp. Ltd. | 1 | 3 |
Lottery Corp. Ltd. (The) * | 1 | 2 |
Macquarie Group Ltd. | — | 17 |
Medibank Pvt Ltd. | 3 | 7 |
Mirvac Group, REIT | 6 | 8 |
National Australia Bank Ltd. | 1 | 19 |
Newcrest Mining Ltd. | 1 | 6 |
Origin Energy Ltd. | 1 | 4 |
QBE Insurance Group Ltd. | 1 | 11 |
Ramsay Health Care Ltd. | — | 4 |
REA Group Ltd. | — | 2 |
Rio Tinto Ltd. | — | 17 |
Rio Tinto plc | 1 | 72 |
Santos Ltd. | 2 | 12 |
South32 Ltd. | 2 | 4 |
Stockland, REIT | 1 | 3 |
Telstra Corp. Ltd. | 3 | 7 |
Transurban Group | 1 | 10 |
Wesfarmers Ltd. | — | 12 |
Westpac Banking Corp. | 2 | 23 |
Woodside Energy Group Ltd. | 1 | 12 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Australia — continued | ||
Woodside Energy Group Ltd. | 1 | 29 |
Woolworths Group Ltd. | 1 | 18 |
745 | ||
Belgium — 0.4% | ||
Anheuser-Busch InBev SA/NV | — | 13 |
KBC Group NV | 8 | 447 |
460 | ||
Canada — 0.3% | ||
Canadian National Railway Co. | 1 | 147 |
Fairfax Financial Holdings Ltd. | — | 50 |
Toronto-Dominion Bank (The) | 3 | 153 |
350 | ||
China — 0.7% | ||
BOC Hong Kong Holdings Ltd. | 3 | 12 |
Budweiser Brewing Co. APAC Ltd. (a) | 2 | 5 |
NXP Semiconductors NV | 4 | 593 |
Prosus NV * | 1 | 33 |
Tencent Holdings Ltd. | 3 | 140 |
Wilmar International Ltd. | 1 | 4 |
Xinyi Glass Holdings Ltd. | 1 | 3 |
790 | ||
Denmark — 1.3% | ||
AP Moller - Maersk A/S, Class B | — | 5 |
Carlsberg A/S, Class B | 3 | 423 |
Coloplast A/S, Class B | 1 | 71 |
DSV A/S | — | 14 |
Genmab A/S * | — | 19 |
Novo Nordisk A/S, Class B | 8 | 883 |
Orsted A/S (a) | — | 49 |
Vestas Wind Systems A/S | 1 | 16 |
1,480 | ||
Finland — 0.1% | ||
Elisa OYJ | 1 | 27 |
Kone OYJ, Class B | — | 22 |
Nokia OYJ | 4 | 19 |
Nordea Bank Abp | 4 | 36 |
104 | ||
France — 3.4% | ||
Air Liquide SA | — | 76 |
Airbus SE | 4 | 401 |
AXA SA | 1 | 15 |
June 30, 2022 | JPMorgan Insurance Trust | 5 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
France — continued | ||
BNP Paribas SA | 5 | 253 |
Capgemini SE | 2 | 426 |
Dassault Systemes SE | 1 | 23 |
EssilorLuxottica SA | — | 17 |
Hermes International | — | 10 |
Kering SA | — | 38 |
Legrand SA | — | 5 |
L'Oreal SA | 1 | 206 |
LVMH Moet Hennessy Louis Vuitton SE | 2 | 1,004 |
Pernod Ricard SA | — | 43 |
Safran SA | 3 | 284 |
Sanofi | 1 | 61 |
Societe Generale SA | 1 | 22 |
TotalEnergies SE (b) | 4 | 236 |
Veolia Environnement SA * | 2 | 44 |
Vinci SA | 7 | 618 |
3,782 | ||
Germany — 1.4% | ||
adidas AG | 1 | 98 |
Allianz SE (Registered) | 1 | 221 |
BASF SE | — | 15 |
Bayer AG (Registered) | 1 | 29 |
Deutsche Boerse AG | — | 17 |
Deutsche Post AG (Registered) | 7 | 258 |
Deutsche Telekom AG (Registered) | 4 | 83 |
Infineon Technologies AG | 1 | 32 |
Mercedes-Benz Group AG | — | 13 |
Merck KGaA | — | 30 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | — | 52 |
RWE AG | 9 | 329 |
SAP SE | 1 | 47 |
Siemens AG (Registered) | 1 | 43 |
Volkswagen AG (Preference) | 2 | 229 |
Vonovia SE | 1 | 30 |
Zalando SE * (a) | — | 11 |
1,537 | ||
Hong Kong — 0.5% | ||
AIA Group Ltd. | 24 | 260 |
CK Asset Holdings Ltd. | 1 | 8 |
CK Infrastructure Holdings Ltd. | 1 | 3 |
CLP Holdings Ltd. | 1 | 8 |
Hang Seng Bank Ltd. | — | 5 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Hong Kong — continued | ||
HKT Trust & HKT Ltd. | 2 | 3 |
Hong Kong & China Gas Co. Ltd. | 2 | 3 |
Hong Kong Exchanges & Clearing Ltd. | 3 | 163 |
Jardine Matheson Holdings Ltd. | — | 5 |
Link, REIT | 1 | 8 |
MTR Corp. Ltd. | 1 | 5 |
New World Development Co. Ltd. | 1 | 2 |
Power Assets Holdings Ltd. | — | 3 |
Prudential plc | 1 | 18 |
Sun Hung Kai Properties Ltd. | 1 | 6 |
Techtronic Industries Co. Ltd. | 1 | 11 |
WH Group Ltd. (a) | 4 | 3 |
Wharf Real Estate Investment Co. Ltd. | 1 | 5 |
519 | ||
India — 0.3% | ||
HDFC Bank Ltd., ADR | 6 | 327 |
Indonesia — 0.1% | ||
Bank Central Asia Tbk. PT | 197 | 96 |
Ireland — 0.0% ^ | ||
CRH plc | — | 6 |
Flutter Entertainment plc * | �� | 3 |
Kingspan Group plc | 1 | 18 |
Kingspan Group plc | — | 10 |
37 | ||
Italy — 0.1% | ||
Enel SpA | 3 | 15 |
Ferrari NV (b) | — | 4 |
FinecoBank Banca Fineco SpA | 2 | 23 |
Intesa Sanpaolo SpA | 6 | 11 |
UniCredit SpA | 2 | 22 |
75 | ||
Japan — 3.3% | ||
Aeon Co. Ltd. | — | 5 |
AGC, Inc. | — | 11 |
Aisin Corp. | — | 3 |
Ajinomoto Co., Inc. | — | 7 |
Asahi Group Holdings Ltd. | 1 | 20 |
Asahi Kasei Corp. | 2 | 14 |
Astellas Pharma, Inc. | 1 | 9 |
Bridgestone Corp. | 7 | 255 |
Canon, Inc. | 1 | 9 |
6 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
Capcom Co. Ltd. | 1 | 10 |
Central Japan Railway Co. | — | 23 |
Chubu Electric Power Co., Inc. | 1 | 6 |
Chugai Pharmaceutical Co. Ltd. | — | 5 |
CyberAgent, Inc. | 1 | 4 |
Dai Nippon Printing Co. Ltd. | — | 2 |
Dai-ichi Life Holdings, Inc. | — | 2 |
Daiichi Sankyo Co. Ltd. | 2 | 36 |
Daikin Industries Ltd. | — | 32 |
Daiwa House Industry Co. Ltd. | 1 | 14 |
Denso Corp. | — | 11 |
Dentsu Group, Inc. | — | 12 |
East Japan Railway Co. | — | 15 |
Eisai Co. Ltd. | — | 4 |
ENEOS Holdings, Inc. | 2 | 7 |
FANUC Corp. | 1 | 188 |
Fuji Electric Co. Ltd. | 1 | 17 |
FUJIFILM Holdings Corp. | — | 11 |
Fujitsu Ltd. | — | 25 |
Hikari Tsushin, Inc. | — | 10 |
Hitachi Ltd. | 1 | 38 |
Honda Motor Co. Ltd. | 10 | 241 |
Hoya Corp. | 3 | 274 |
Ibiden Co. Ltd. | — | 3 |
Inpex Corp. | 1 | 8 |
Isuzu Motors Ltd. | — | 2 |
ITOCHU Corp. | 1 | 32 |
Japan Exchange Group, Inc. | 1 | 10 |
Japan Post Holdings Co. Ltd. | — | 1 |
Japan Real Estate Investment Corp., REIT | — | 9 |
Japan Tobacco, Inc. | — | 7 |
Kansai Electric Power Co., Inc. (The) | — | 3 |
Kao Corp. | — | 16 |
KDDI Corp. | 1 | 32 |
Keyence Corp. | — | 103 |
Kintetsu Group Holdings Co. Ltd. | — | 12 |
Kirin Holdings Co. Ltd. | 1 | 8 |
Komatsu Ltd. | 1 | 18 |
Konami Holdings Corp. | — | 6 |
Kubota Corp. | — | 5 |
Kyocera Corp. | — | 16 |
Kyowa Kirin Co. Ltd. | 1 | 11 |
Lasertec Corp. | — | 12 |
M3, Inc. | — | 6 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
MINEBEA MITSUMI, Inc. | 1 | 9 |
MISUMI Group, Inc. | — | 8 |
Mitsubishi Chemical Holdings Corp. | 1 | 4 |
Mitsubishi Corp. | 1 | 27 |
Mitsubishi Electric Corp. | 1 | 11 |
Mitsubishi Estate Co. Ltd. | — | 4 |
Mitsubishi Heavy Industries Ltd. | — | 4 |
Mitsubishi UFJ Financial Group, Inc. | 10 | 50 |
Mitsui & Co. Ltd. | 1 | 11 |
Mitsui Chemicals, Inc. | — | 2 |
Mitsui Fudosan Co. Ltd. | 1 | 22 |
Mizuho Financial Group, Inc. | 1 | 9 |
MonotaRO Co. Ltd. | — | 3 |
Murata Manufacturing Co. Ltd. | 1 | 27 |
NEC Corp. | — | 4 |
Nidec Corp. | — | 25 |
Nihon M&A Center Holdings, Inc. | — | 3 |
Nintendo Co. Ltd. | — | 43 |
Nippon Building Fund, Inc., REIT | — | 10 |
Nippon Express Holdings, Inc. | — | 5 |
Nippon Paint Holdings Co. Ltd. | 1 | 5 |
Nippon Prologis REIT, Inc., REIT | — | 7 |
Nippon Steel Corp. | 1 | 8 |
Nippon Telegraph & Telephone Corp. | 1 | 32 |
Nippon Yusen KK | — | 14 |
Nissan Motor Co. Ltd. | 1 | 2 |
Nissin Foods Holdings Co. Ltd. | — | 7 |
Nitori Holdings Co. Ltd. | — | 10 |
Nitto Denko Corp. | — | 7 |
Nomura Holdings, Inc. | 1 | 3 |
Nomura Research Institute Ltd. | — | 3 |
Obayashi Corp. | 1 | 7 |
Olympus Corp. | 1 | 14 |
Ono Pharmaceutical Co. Ltd. | — | 10 |
Oriental Land Co. Ltd. | — | 14 |
ORIX Corp. | 1 | 18 |
Otsuka Corp. | 1 | 12 |
Otsuka Holdings Co. Ltd. | — | 4 |
Panasonic Holdings Corp. | 1 | 5 |
Rakuten Group, Inc. | 1 | 4 |
Recruit Holdings Co. Ltd. | 1 | 27 |
Renesas Electronics Corp. * | 1 | 6 |
Resona Holdings, Inc. | 2 | 5 |
Rohm Co. Ltd. | — | 7 |
June 30, 2022 | JPMorgan Insurance Trust | 7 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
SBI Holdings, Inc. | 1 | 10 |
SCSK Corp. | — | 7 |
Secom Co. Ltd. | — | 6 |
Sekisui House Ltd. | 1 | 11 |
Seven & i Holdings Co. Ltd. | 1 | 35 |
Shimadzu Corp. | — | 10 |
Shin-Etsu Chemical Co. Ltd. | 3 | 292 |
Shionogi & Co. Ltd. | — | 15 |
Shiseido Co. Ltd. | — | 8 |
SoftBank Corp. | 1 | 10 |
SoftBank Group Corp. | 1 | 31 |
Sompo Holdings, Inc. | — | 9 |
Sony Group Corp. | 2 | 188 |
Square Enix Holdings Co. Ltd. | — | 4 |
SUMCO Corp. | — | 4 |
Sumitomo Corp. | 1 | 15 |
Sumitomo Electric Industries Ltd. | 1 | 11 |
Sumitomo Metal Mining Co. Ltd. | — | 9 |
Sumitomo Mitsui Financial Group, Inc. | 1 | 36 |
Sumitomo Mitsui Trust Holdings, Inc. | — | 9 |
Sumitomo Realty & Development Co. Ltd. | — | 8 |
Suntory Beverage & Food Ltd. | — | 4 |
Suzuki Motor Corp. | 1 | 19 |
T&D Holdings, Inc. | 1 | 12 |
Taisei Corp. | — | 9 |
Takeda Pharmaceutical Co. Ltd. | 1 | 25 |
TDK Corp. | — | 3 |
Terumo Corp. | 1 | 18 |
Tokio Marine Holdings, Inc. | 6 | 350 |
Tokyo Electric Power Co. Holdings, Inc. * | — | 1 |
Tokyo Electron Ltd. | 1 | 229 |
Tokyo Gas Co. Ltd. | 1 | 12 |
TOPPAN, Inc. | — | 2 |
Toshiba Corp. | — | 8 |
TOTO Ltd. | — | 3 |
Toyota Industries Corp. | — | 12 |
Toyota Motor Corp. | 6 | 97 |
Toyota Tsusho Corp. | — | 3 |
Unicharm Corp. | — | 10 |
Yakult Honsha Co. Ltd. | — | 12 |
Yamaha Motor Co. Ltd. | — | 7 |
Yamato Holdings Co. Ltd. | 1 | 11 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
Z Holdings Corp. | 1 | 1 |
ZOZO, Inc. | — | 4 |
3,732 | ||
Macau — 0.0% ^ | ||
Sands China Ltd. * | 3 | 8 |
Netherlands — 0.8% | ||
Adyen NV * (a) | — | 26 |
Akzo Nobel NV | — | 26 |
ASML Holding NV | 1 | 268 |
Heineken NV | — | 7 |
ING Groep NV | 1 | 11 |
Koninklijke Ahold Delhaize NV | 1 | 26 |
Koninklijke DSM NV | — | 44 |
Koninklijke KPN NV | 13 | 46 |
Koninklijke Philips NV | 1 | 9 |
NN Group NV | 1 | 46 |
Shell plc | 13 | 349 |
Wolters Kluwer NV | — | 34 |
892 | ||
New Zealand — 0.0% ^ | ||
Fisher & Paykel Healthcare Corp. Ltd. | — | 3 |
Xero Ltd. * | — | 3 |
6 | ||
Norway — 0.0% ^ | ||
Lundin Energy MergerCo AB ‡ * | — | 13 |
Singapore — 0.2% | ||
Ascendas, REIT | 1 | 2 |
CapitaLand Integrated Commercial Trust, REIT | 3 | 4 |
Capitaland Investment Ltd. | 3 | 8 |
DBS Group Holdings Ltd. | 7 | 160 |
Oversea-Chinese Banking Corp. Ltd. | 2 | 13 |
Sea Ltd., ADR * | — | 19 |
Singapore Exchange Ltd. | 1 | 5 |
Singapore Technologies Engineering Ltd. | 1 | 3 |
Singapore Telecommunications Ltd. | 2 | 3 |
United Overseas Bank Ltd. | — | 4 |
Venture Corp. Ltd. | — | 2 |
223 | ||
South Africa — 0.2% | ||
Anglo American plc | 5 | 172 |
8 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
South Korea — 0.2% | ||
Delivery Hero SE * (a) | 1 | 43 |
Samsung Electronics Co. Ltd. | 4 | 185 |
228 | ||
Spain — 0.3% | ||
Banco Bilbao Vizcaya Argentaria SA | 10 | 45 |
Banco Santander SA | 4 | 12 |
CaixaBank SA | 2 | 6 |
Cellnex Telecom SA (a) | 1 | 26 |
Iberdrola SA | 26 | 276 |
Industria de Diseno Textil SA | 1 | 31 |
396 | ||
Sweden — 0.5% | ||
Assa Abloy AB, Class B | — | 5 |
Atlas Copco AB, Class A | 12 | 109 |
Atlas Copco AB, Class B | 1 | 6 |
Boliden AB | 1 | 20 |
Investor AB, Class B | 1 | 16 |
Lundin Energy AB | — | — |
Sandvik AB | 1 | 14 |
SKF AB, Class B | 1 | 19 |
Telefonaktiebolaget LM Ericsson, Class B | 1 | 4 |
Volvo AB, Class B | 22 | 350 |
543 | ||
Switzerland — 0.6% | ||
ABB Ltd. (Registered) | 1 | 23 |
Adecco Group AG (Registered) | 1 | 11 |
Alcon, Inc. | — | 16 |
Cie Financiere Richemont SA (Registered) | — | 21 |
Givaudan SA (Registered) | — | 53 |
Julius Baer Group Ltd. | — | 15 |
Lonza Group AG (Registered) | — | 159 |
Novartis AG (Registered) | 2 | 140 |
Partners Group Holding AG | — | 7 |
SGS SA (Registered) | — | 117 |
Sika AG (Registered) | — | 53 |
Straumann Holding AG (Registered) | — | 6 |
UBS Group AG (Registered) | 2 | 30 |
Zurich Insurance Group AG | — | 77 |
728 | ||
Taiwan — 0.4% | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 6 | 459 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United Kingdom — 1.6% | ||
3i Group plc | 3 | 40 |
AstraZeneca plc | 1 | 138 |
BAE Systems plc | 1 | 14 |
Barclays plc | 25 | 47 |
Berkeley Group Holdings plc * | 1 | 31 |
BP plc | 75 | 351 |
British American Tobacco plc | 1 | 40 |
CK Hutchison Holdings Ltd. | 1 | 10 |
Compass Group plc | 1 | 15 |
DCC plc | — | 23 |
Diageo plc | 6 | 280 |
Direct Line Insurance Group plc | 4 | 11 |
Experian plc | — | 6 |
HSBC Holdings plc | 8 | 51 |
InterContinental Hotels Group plc | 1 | 40 |
Intertek Group plc | — | 22 |
Linde plc (b) | — | 141 |
Lloyds Banking Group plc | 95 | 49 |
London Stock Exchange Group plc | — | 3 |
Next plc | — | 21 |
Persimmon plc | 3 | 64 |
Reckitt Benckiser Group plc | 1 | 62 |
RELX plc | 3 | 74 |
RELX plc | 5 | 134 |
SSE plc | 2 | 33 |
Standard Chartered plc | 7 | 54 |
Taylor Wimpey plc | 9 | 13 |
Tesco plc | 7 | 21 |
Unilever plc | 1 | 29 |
Unilever plc | 1 | 26 |
1,843 | ||
United States — 31.0% | ||
AbbVie, Inc. | 5 | 832 |
Advanced Micro Devices, Inc. * | 1 | 108 |
Airbnb, Inc., Class A * | — | 20 |
Albertsons Cos., Inc., Class A | 1 | 21 |
Alleghany Corp. * | — | 47 |
Alnylam Pharmaceuticals, Inc. * | 1 | 67 |
Alphabet, Inc., Class C * | — | 591 |
Amazon.com, Inc. * | 15 | 1,606 |
American Electric Power Co., Inc. | — | 35 |
American Express Co. | 3 | 445 |
American Homes 4 Rent, Class A, REIT | 1 | 44 |
June 30, 2022 | JPMorgan Insurance Trust | 9 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
American International Group, Inc. | 1 | 24 |
AmerisourceBergen Corp. | 1 | 71 |
AMETEK, Inc. | 1 | 105 |
Analog Devices, Inc. | 2 | 218 |
Apple Hospitality REIT, Inc., REIT | 2 | 22 |
Apple, Inc. (c) | 8 | 1,136 |
Arista Networks, Inc. * | 1 | 83 |
Arthur J Gallagher & Co. | 1 | 235 |
AutoZone, Inc. * | — | 105 |
Axalta Coating Systems Ltd. * | 1 | 18 |
Baker Hughes Co. | 10 | 276 |
Bank of America Corp. | 21 | 666 |
Bath & Body Works, Inc. | 1 | 18 |
BellRing Brands, Inc. * | 1 | 24 |
Berkshire Hathaway, Inc., Class B * | 1 | 141 |
Best Buy Co., Inc. | — | 27 |
BlackRock, Inc. | 1 | 333 |
Blackstone, Inc. | 2 | 147 |
Booking Holdings, Inc. * | — | 381 |
Boston Scientific Corp. * | 13 | 478 |
Bright Horizons Family Solutions, Inc. * | 1 | 58 |
Bristol-Myers Squibb Co. | 10 | 770 |
Brixmor Property Group, Inc., REIT | 2 | 42 |
Bumble, Inc., Class A * | 3 | 85 |
Burlington Stores, Inc. * | 1 | 79 |
Capital One Financial Corp. | 1 | 98 |
Carlisle Cos., Inc. | — | 40 |
CarMax, Inc. * | 1 | 62 |
Catalent, Inc. * | 1 | 117 |
CBRE Group, Inc., Class A * | 1 | 40 |
Centene Corp. * | 1 | 89 |
Charles Schwab Corp. (The) | 3 | 185 |
Charter Communications, Inc., Class A * | 1 | 335 |
Cheniere Energy, Inc. | 1 | 78 |
Chevron Corp. | 2 | 346 |
Chubb Ltd. | — | 56 |
Cigna Corp. | — | 40 |
Cisco Systems, Inc. | 1 | 30 |
Citigroup, Inc. | 4 | 199 |
Citizens Financial Group, Inc. | 2 | 66 |
CNA Financial Corp. | 1 | 22 |
Coca-Cola Co. (The) | 3 | 180 |
Columbia Sportswear Co. | 1 | 35 |
CommScope Holding Co., Inc. * | 2 | 10 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Confluent, Inc., Class A * | 3 | 61 |
ConocoPhillips | 4 | 396 |
Constellation Brands, Inc., Class A | 1 | 141 |
Cooper Cos., Inc. (The) | — | 95 |
Copart, Inc. * | 1 | 119 |
Coterra Energy, Inc. | 2 | 58 |
Crowdstrike Holdings, Inc., Class A * | — | 64 |
CVS Health Corp. | 1 | 82 |
Deere & Co. | — | 125 |
Delta Air Lines, Inc. * | 2 | 50 |
Dexcom, Inc. * | 1 | 65 |
Diamondback Energy, Inc. | — | 26 |
Dick's Sporting Goods, Inc. (b) | 1 | 41 |
DISH Network Corp., Class A * | 1 | 21 |
Dollar General Corp. | — | 59 |
Dover Corp. | 1 | 57 |
Eastman Chemical Co. | 2 | 166 |
Eaton Corp. plc | 3 | 339 |
Edison International | 1 | 35 |
Energizer Holdings, Inc. | 1 | 30 |
Entegris, Inc. | 1 | 79 |
Entergy Corp. | — | 38 |
EOG Resources, Inc. | 2 | 164 |
Equifax, Inc. | — | 58 |
Estee Lauder Cos., Inc. (The), Class A | — | 91 |
Exact Sciences Corp. * | 1 | 33 |
Exelixis, Inc. * | 3 | 57 |
Federal Realty OP LP, REIT | — | 32 |
FedEx Corp. | — | 59 |
Ferguson plc | 1 | 108 |
First Republic Bank | 1 | 71 |
FleetCor Technologies, Inc. * | — | 34 |
Fortune Brands Home & Security, Inc. | — | 27 |
Freeport-McMoRan, Inc. | 2 | 58 |
Gap, Inc. (The) | 1 | 12 |
Garmin Ltd. | 1 | 64 |
Generac Holdings, Inc. * | — | 64 |
General Dynamics Corp. | — | 48 |
Global Payments, Inc. | 1 | 79 |
Globant SA * | — | 66 |
GSK plc | 2 | 45 |
Hartford Financial Services Group, Inc. (The) | 1 | 45 |
HCA Healthcare, Inc. | — | 32 |
Hilton Worldwide Holdings, Inc. | 1 | 99 |
10 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Home Depot, Inc. (The) | — | 110 |
Honeywell International, Inc. | — | 42 |
Horizon Therapeutics plc * | 1 | 114 |
HubSpot, Inc. * | — | 59 |
Ingersoll Rand, Inc. | 10 | 421 |
Insulet Corp. * | — | 63 |
InterActiveCorp. * | — | 27 |
International Business Machines Corp. | — | 55 |
Intuit, Inc. | 1 | 336 |
Intuitive Surgical, Inc. * | 1 | 170 |
Invesco Ltd. | 2 | 26 |
ITT, Inc. | — | 27 |
James Hardie Industries plc, CHDI | — | 7 |
Jazz Pharmaceuticals plc * | 1 | 97 |
JBG SMITH Properties, REIT | 1 | 25 |
Johnson & Johnson | 1 | 93 |
Keurig Dr Pepper, Inc. | 1 | 29 |
Keysight Technologies, Inc. * | 1 | 71 |
Kimco Realty Corp., REIT | 3 | 55 |
Kinder Morgan, Inc. | 3 | 51 |
Kohl's Corp. | 1 | 24 |
Kraft Heinz Co. (The) | 2 | 59 |
Laboratory Corp. of America Holdings | — | 37 |
Lam Research Corp. | 1 | 228 |
Lamar Advertising Co., Class A, REIT | — | 26 |
Leidos Holdings, Inc. | — | 35 |
Liberty Broadband Corp., Class C * | — | 47 |
Liberty Media Corp.-Liberty SiriusXM, Class C * | 1 | 40 |
Loews Corp. (c) | 2 | 113 |
Lowe's Cos., Inc. | — | 52 |
Lyft, Inc., Class A * | 7 | 98 |
M&T Bank Corp. | 1 | 112 |
Marathon Petroleum Corp. | — | 30 |
Marriott International, Inc., Class A | 3 | 418 |
Marsh & McLennan Cos., Inc. | — | 30 |
Martin Marietta Materials, Inc. | — | 60 |
Mastercard, Inc., Class A (c) | 2 | 774 |
McDonald's Corp. | 3 | 690 |
McKesson Corp. | — | 110 |
Medtronic plc | — | 32 |
Merck & Co., Inc. | 1 | 44 |
Meta Platforms, Inc., Class A * | 3 | 536 |
Mettler-Toledo International, Inc. * | — | 53 |
Microsoft Corp. (c) | 8 | 2,148 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Mid-America Apartment Communities, Inc., REIT | — | 42 |
Middleby Corp. (The) * | — | 24 |
Mohawk Industries, Inc. * | — | 44 |
MongoDB, Inc. * | — | 53 |
Morgan Stanley | 1 | 41 |
Murphy USA, Inc. | — | 42 |
Natera, Inc. * | 1 | 32 |
National Vision Holdings, Inc. * | 1 | 26 |
Nestle SA (Registered) | 4 | 480 |
Newell Brands, Inc. | 2 | 41 |
Nexstar Media Group, Inc., Class A | — | 28 |
NextEra Energy, Inc. | 6 | 462 |
NIKE, Inc., Class B | 1 | 98 |
Norfolk Southern Corp. | 1 | 221 |
Northern Trust Corp. | 1 | 44 |
Northrop Grumman Corp. | — | 53 |
NVIDIA Corp. | 1 | 154 |
Old Dominion Freight Line, Inc. | — | 46 |
Organon & Co. | 1 | 17 |
Packaging Corp. of America | — | 56 |
Palo Alto Networks, Inc. * | — | 149 |
PG&E Corp. * | 3 | 27 |
Philip Morris International, Inc. | 1 | 49 |
Phillips 66 | 1 | 48 |
PNC Financial Services Group, Inc. (The) | 1 | 77 |
Post Holdings, Inc. * | 1 | 60 |
Procter & Gamble Co. (The) | 1 | 67 |
Progressive Corp. (The) | 6 | 685 |
Prologis, Inc., REIT | 2 | 279 |
Public Storage, REIT | — | 18 |
QUALCOMM, Inc. | 1 | 145 |
Quanta Services, Inc. | 2 | 207 |
Ralph Lauren Corp. | — | 30 |
Rayonier, Inc., REIT | 1 | 47 |
Raytheon Technologies Corp. | 1 | 81 |
Regeneron Pharmaceuticals, Inc. * | 1 | 525 |
ROBLOX Corp., Class A * | 1 | 36 |
Roche Holding AG | 1 | 368 |
Ross Stores, Inc. | 3 | 223 |
Royal Caribbean Cruises Ltd. * | 1 | 47 |
Royalty Pharma plc, Class A | 2 | 90 |
S&P Global, Inc. | — | 120 |
Schneider Electric SE | 1 | 145 |
June 30, 2022 | JPMorgan Insurance Trust | 11 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Seagate Technology Holdings plc | 2 | 123 |
ServiceNow, Inc. * | — | 120 |
Snap, Inc., Class A * | 10 | 135 |
SolarEdge Technologies, Inc. * | — | 113 |
Southwest Airlines Co. * | 3 | 123 |
Stanley Black & Decker, Inc. | — | 19 |
Stellantis NV | 3 | 36 |
Stellantis NV | 9 | 114 |
Sun Communities, Inc., REIT | 1 | 152 |
SVB Financial Group * | — | 58 |
Synopsys, Inc. * | — | 109 |
Sysco Corp. | 1 | 45 |
T. Rowe Price Group, Inc. | — | 37 |
TD SYNNEX Corp. | 1 | 45 |
Teradyne, Inc. | 1 | 54 |
Tesla, Inc. * | 1 | 548 |
Texas Instruments, Inc. | 4 | 539 |
Texas Roadhouse, Inc. | — | 28 |
Thermo Fisher Scientific, Inc. | — | 109 |
Timken Co. (The) | — | 19 |
T-Mobile US, Inc. * | 4 | 481 |
Trade Desk, Inc. (The), Class A * | 1 | 39 |
Trane Technologies plc | 4 | 506 |
Travelers Cos., Inc. (The) | 1 | 111 |
Truist Financial Corp. | 8 | 369 |
Uber Technologies, Inc. * | 4 | 73 |
UnitedHealth Group, Inc. | 2 | 998 |
US Bancorp | 1 | 57 |
Verizon Communications, Inc. | 2 | 102 |
Vertex Pharmaceuticals, Inc. * | — | 41 |
Walt Disney Co. (The) * | — | 16 |
Wells Fargo & Co. | 10 | 384 |
Welltower, Inc., REIT | — | 20 |
Westrock Co. | 1 | 34 |
Weyerhaeuser Co., REIT | 2 | 71 |
Williams Cos., Inc. (The) | 2 | 54 |
Wolfspeed, Inc. * | 1 | 45 |
Xcel Energy, Inc. | 1 | 76 |
Zebra Technologies Corp., Class A * | — | 52 |
Zimmer Biomet Holdings, Inc. | 5 | 508 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Zoom Video Communications, Inc., Class A * | 1 | 118 |
Zscaler, Inc. * | — | 36 |
34,797 | ||
Total Common Stocks (Cost $48,556) | 54,342 | |
(000) | ($000) | |
Investment Companies — 16.7% | ||
JPMorgan Emerging Markets Equity Fund, Class R6 Shares (d) | 147 | 4,203 |
JPMorgan High Yield Fund, Class R6 Shares (d) | 806 | 4,957 |
JPMorgan Income Fund, Class R6 Shares (d) | 607 | 5,138 |
JPMorgan Large Cap Value Fund, Class R6 Shares (d) | 254 | 4,483 |
Total Investment Companies (Cost $19,142) | 18,781 | |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — 15.3% | ||
Australia — 0.3% | ||
Commonwealth of Australia | ||
2.75%, 11/21/2029 (a) | AUD 155 | 101 |
1.00%, 12/21/2030 (a) | AUD 3 | 2 |
1.00%, 11/21/2031 (a) | AUD 278 | 152 |
3.75%, 4/21/2037 (a) | AUD 40 | 27 |
2.75%, 5/21/2041 (a) | AUD 11 | 6 |
3.00%, 3/21/2047 (a) | AUD 19 | 11 |
1.75%, 6/21/2051 (a) | AUD 20 | 9 |
308 | ||
Belgium — 0.4% | ||
Kingdom of Belgium | ||
0.80%, 6/22/2027 (a) | EUR 60 | 61 |
0.10%, 6/22/2030 (a) | EUR 182 | 168 |
3.00%, 6/22/2034 (a) | EUR 49 | 56 |
1.90%, 6/22/2038 (a) | EUR 60 | 59 |
0.40%, 6/22/2040 (a) | EUR 20 | 15 |
1.60%, 6/22/2047 (a) | EUR 31 | 26 |
1.70%, 6/22/2050 (a) | EUR 5 | 4 |
2.15%, 6/22/2066 (a) | EUR 22 | 20 |
409 |
12 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Canada — 0.7% | ||
Canada Government Bond | ||
2.00%, 9/1/2023 | CAD 212 | 162 |
0.25%, 3/1/2026 | CAD 110 | 77 |
1.50%, 12/1/2031 | CAD 115 | 77 |
4.00%, 6/1/2041 | CAD 30 | 26 |
2.75%, 12/1/2048 | CAD 14 | 10 |
1.75%, 12/1/2053 | CAD 50 | 28 |
2.75%, 12/1/2064 | CAD 38 | 27 |
Canada Housing Trust 1.25%, 6/15/2026 (e) | CAD 100 | 71 |
Province of Alberta | ||
2.90%, 12/1/2028 | CAD 55 | 41 |
1.65%, 6/1/2031 | CAD 130 | 84 |
Province of British Columbia | ||
4.70%, 6/18/2037 | CAD 25 | 20 |
2.95%, 6/18/2050 | CAD 10 | 6 |
Province of Ontario | ||
2.30%, 9/8/2024 | CAD 80 | 61 |
0.01%, 11/25/2030 (a) | EUR 170 | 148 |
838 | ||
China — 0.1% | ||
Export-Import Bank of China (The) 0.75%, 5/28/2023 (a) | EUR 100 | 104 |
Denmark — 0.1% | ||
Kingdom of Denmark | ||
1.50%, 11/15/2023 | DKK 36 | 5 |
1.75%, 11/15/2025 | DKK 28 | 4 |
0.50%, 11/15/2027 | DKK 10 | 2 |
0.50%, 11/15/2029 | DKK 356 | 46 |
4.50%, 11/15/2039 | DKK 108 | 21 |
0.25%, 11/15/2052 | DKK 60 | 5 |
83 | ||
France — 1.2% | ||
French Republic | ||
0.25%, 11/25/2026 (a) | EUR 66 | 66 |
5.50%, 4/25/2029 (a) | EUR 270 | 355 |
0.00%, 11/25/2030 (a) | EUR 45 | 41 |
0.00%, 11/25/2031 (a) | EUR 330 | 291 |
1.25%, 5/25/2034 (a) | EUR 325 | 310 |
3.25%, 5/25/2045 (a) | EUR 61 | 73 |
2.00%, 5/25/2048 (a) | EUR 22 | 21 |
1.50%, 5/25/2050 (a) | EUR 133 | 113 |
0.75%, 5/25/2052 (a) | EUR 9 | 6 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
France — continued | ||
0.75%, 5/25/2053 (a) | EUR 27 | 17 |
4.00%, 4/25/2055 (a) | EUR 14 | 20 |
1.75%, 5/25/2066���(a) | EUR 54 | 44 |
1,357 | ||
Germany — 0.6% | ||
Bundesrepublik Deutschland | ||
0.00%, 8/15/2031 (a) | EUR 315 | 293 |
0.00%, 5/15/2035 (a) | EUR 223 | 192 |
2.50%, 7/4/2044 (a) | EUR 86 | 105 |
1.25%, 8/15/2048 (a) | EUR 42 | 41 |
0.00%, 8/15/2050 (a) | EUR 52 | 35 |
666 | ||
Italy — 2.6% | ||
Buoni Poliennali del Tesoro | ||
1.00%, 7/15/2022 (a) | EUR 515 | 540 |
0.05%, 1/15/2023 (a) | EUR 450 | 471 |
0.00%, 1/15/2024 (a) | EUR 207 | 213 |
0.35%, 2/1/2025 (a) | EUR 193 | 195 |
1.85%, 7/1/2025 (a) | EUR 36 | 38 |
0.50%, 2/1/2026 (a) | EUR 157 | 156 |
1.60%, 6/1/2026 (a) | EUR 264 | 271 |
2.80%, 12/1/2028 (a) | EUR 285 | 300 |
3.00%, 8/1/2029 (a) | EUR 14 | 15 |
1.35%, 4/1/2030 (a) | EUR 38 | 35 |
0.95%, 12/1/2031 (a) | EUR 273 | 234 |
1.65%, 3/1/2032 (a) | EUR 50 | 46 |
2.45%, 9/1/2033 (a) | EUR 9 | 9 |
2.25%, 9/1/2036 (a) | EUR 85 | 77 |
4.00%, 2/1/2037 (a) | EUR 19 | 21 |
3.25%, 3/1/2038 (a) | EUR 154 | 156 |
4.75%, 9/1/2044 (a) | EUR 5 | 6 |
1.50%, 4/30/2045 (a) | EUR 63 | 46 |
3.45%, 3/1/2048 (a) | EUR 10 | 10 |
3.85%, 9/1/2049 (a) | EUR 14 | 15 |
1.70%, 9/1/2051 (a) | EUR 22 | 15 |
2.15%, 9/1/2052 (a) | EUR 80 | 61 |
2.80%, 3/1/2067 (a) | EUR 14 | 12 |
2,942 | ||
Japan — 5.9% | ||
Japan Government Bond | ||
0.80%, 9/20/2022 | JPY 67,800 | 501 |
0.10%, 3/20/2023 | JPY 24,050 | 178 |
June 30, 2022 | JPMorgan Insurance Trust | 13 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Japan — continued | ||
0.01%, 7/1/2023 | JPY 62,650 | 462 |
0.60%, 12/20/2023 | JPY 86,650 | 645 |
0.10%, 9/20/2024 | JPY 12,600 | 93 |
0.10%, 12/20/2024 | JPY 42,250 | 313 |
0.10%, 3/20/2025 | JPY 3,500 | 26 |
0.30%, 12/20/2025 | JPY 68,600 | 511 |
0.01%, 12/20/2026 | JPY 15,550 | 115 |
0.10%, 12/20/2026 | JPY 37,450 | 277 |
0.10%, 12/20/2027 | JPY 96,500 | 712 |
0.10%, 6/20/2029 | JPY 29,650 | 218 |
1.50%, 3/20/2034 | JPY 79,250 | 655 |
0.60%, 12/20/2037 | JPY 42,250 | 308 |
2.50%, 3/20/2038 | JPY 21,400 | 201 |
0.30%, 12/20/2039 | JPY 76,600 | 519 |
0.50%, 12/20/2041 | JPY 12,400 | 85 |
1.70%, 9/20/2044 | JPY 50 | — |
1.40%, 12/20/2045 | JPY 18,650 | 148 |
0.80%, 3/20/2047 | JPY 30,900 | 214 |
0.40%, 9/20/2049 | JPY 27,850 | 168 |
0.40%, 12/20/2049 | JPY 26,500 | 160 |
0.90%, 3/20/2057 | JPY 22,550 | 150 |
6,659 | ||
Netherlands — 0.2% | ||
Kingdom of Netherlands | ||
2.50%, 1/15/2033 (a) | EUR 60 | 67 |
4.00%, 1/15/2037 (a) | EUR 30 | 40 |
0.50%, 1/15/2040 (a) | EUR 28 | 23 |
2.75%, 1/15/2047 (a) | EUR 40 | 49 |
0.00%, 1/15/2052 (a) | EUR 18 | 11 |
190 | ||
Qatar — 0.2% | ||
State of Qatar 3.88%, 4/23/2023 (e) | 200 | 201 |
South Korea — 0.3% | ||
Export-Import Bank of Korea | ||
0.38%, 3/26/2024 (a) | EUR 100 | 103 |
0.00%, 10/19/2024 (a) | EUR 270 | 272 |
375 | ||
Spain — 0.9% | ||
Bonos and Obligaciones del Estado | ||
0.00%, 1/31/2027 | EUR 240 | 232 |
1.40%, 7/30/2028 (a) | EUR 103 | 105 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Spain — continued | ||
1.45%, 4/30/2029 (a) | EUR 141 | 142 |
0.70%, 4/30/2032 (a) | EUR 239 | 212 |
1.85%, 7/30/2035 (a) | EUR 25 | 24 |
4.20%, 1/31/2037 (a) | EUR 131 | 162 |
1.20%, 10/31/2040 (a) | EUR 68 | 54 |
1.00%, 7/30/2042 (a) | EUR 25 | 19 |
2.70%, 10/31/2048 (a) | EUR 20 | 20 |
3.45%, 7/30/2066 (a) | EUR 33 | 36 |
1.45%, 10/31/2071 (a) | EUR 10 | 6 |
1,012 | ||
Sweden — 0.1% | ||
Kingdom of Sweden | ||
2.50%, 5/12/2025 | SEK 90 | 9 |
0.75%, 5/12/2028 | SEK 270 | 25 |
0.75%, 11/12/2029 (a) | SEK 40 | 4 |
2.25%, 6/1/2032 (a) | SEK 15 | 1 |
3.50%, 3/30/2039 | SEK 120 | 15 |
54 | ||
United Kingdom — 1.7% | ||
United Kingdom of Great Britain and Northern Ireland | ||
0.75%, 7/22/2023 (a) | GBP 13 | 16 |
1.00%, 4/22/2024 (a) | GBP 47 | 56 |
0.63%, 6/7/2025 (a) | GBP 140 | 164 |
0.38%, 10/22/2026 (a) | GBP 215 | 245 |
6.00%, 12/7/2028 (a) | GBP 130 | 196 |
0.25%, 7/31/2031 (a) | GBP 175 | 178 |
4.75%, 12/7/2038 (a) | GBP 207 | 325 |
1.13%, 1/31/2039 (a) | GBP 80 | 78 |
3.50%, 1/22/2045 (a) | GBP 76 | 106 |
4.25%, 12/7/2046 (a) | GBP 100 | 157 |
1.75%, 1/22/2049 (a) | GBP 195 | 199 |
0.63%, 10/22/2050 (a) | GBP 123 | 91 |
4.25%, 12/7/2055 (a) | GBP 15 | 24 |
2.50%, 7/22/2065 (a) | GBP 50 | 62 |
3.50%, 7/22/2068 (a) | GBP 29 | 46 |
1,943 | ||
Total Foreign Government Securities (Cost $20,382) | 17,141 |
14 | JPMorgan Insurance Trust | June 30, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Exchange-Traded Funds — 3.0% | ||
United States — 3.0% | ||
JPMorgan U.S. Value Factor ETF (d)(Cost $3,455) | 104 | 3,330 |
PRINCIPAL AMOUNT ($000) | ||
U.S. Treasury Obligations — 2.2% | ||
U.S. Treasury Notes 0.13%, 1/31/2023 (f)(Cost $2,466) | USD 2,478 | 2,443 |
Corporate Bonds — 1.3% | ||
Canada — 0.5% | ||
Ontario Teachers' Finance Trust | ||
0.50%, 5/6/2025 (a) | EUR 400 | 406 |
0.10%, 5/19/2028 (a) | EUR 230 | 215 |
621 | ||
China — 0.2% | ||
China Development Bank 0.88%, 1/24/2024 (a) | EUR 200 | 207 |
France — 0.2% | ||
Dexia Credit Local SA | ||
0.75%, 1/25/2023 (a) | EUR 100 | 105 |
1.63%, 12/8/2023 (a) | GBP 100 | 120 |
225 | ||
Netherlands — 0.1% | ||
BNG Bank NV | ||
4.75%, 3/6/2023 (a) | AUD 15 | 11 |
1.90%, 11/26/2025 (a) | AUD 90 | 58 |
Nederlandse Waterschapsbank NV 3.50%, 7/20/2027 | AUD 40 | 26 |
95 | ||
South Korea — 0.1% | ||
Korea Development Bank (The) 0.63%, 7/17/2023 (a) | EUR 100 | 105 |
United States — 0.2% | ||
Aetna, Inc. 2.75%, 11/15/2022 | 96 | 96 |
Penske Truck Leasing Co. LP 4.88%, 7/11/2022 (e) | 45 | 45 |
Walt Disney Co. (The) 8.88%, 4/26/2023 | 45 | 47 |
188 | ||
Total Corporate Bonds (Cost $1,623) | 1,441 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — 0.2% | ||
United States — 0.2% | ||
Citigroup Commercial Mortgage Trust Series 2012-GC8, Class D, 4.94%, 9/10/2045 ‡ (e) (g) | 100 | 90 |
FHLMC, Multi-Family Structured Pass-Through Certificates Series K083, Class X1, IO, 0.18%, 9/25/2028 (g) | 14,523 | 65 |
FREMF Series 2018-KF46, Class B, 3.07%, 3/25/2028 (e) (g) | 3 | 3 |
FREMF Mortgage Trust | ||
Series 2017-KF32, Class B, 3.67%, 5/25/2024 (e) (g) | 6 | 6 |
Series 2017-KF38, Class B, 3.62%, 9/25/2024 (e) (g) | 3 | 3 |
Series 2018-KF45, Class B, 3.07%, 3/25/2025 (e) (g) | 6 | 6 |
Series 2018-KF49, Class B, 3.02%, 6/25/2025 (e) (g) | 3 | 2 |
Series 2019-KF63, Class B, 3.47%, 5/25/2029 (e) (g) | 38 | 38 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (g) | 32 | 13 |
Total Commercial Mortgage-Backed Securities (Cost $248) | 226 | |
Supranational — 0.1% | ||
Asian Development Bank, 3.40%, 9/10/2027 (a) | AUD 140 | 93 |
European Investment Bank, 0.50%, 6/21/2023 | AUD 30 | 20 |
Inter-American Development Bank | ||
0.50%, 5/23/2023 | CAD 63 | 48 |
4.40%, 1/26/2026 | CAD 16 | 13 |
Total Supranational (Cost $192) | 174 | |
Collateralized Mortgage Obligations — 0.0% ^ | ||
United States — 0.0% ^ | ||
Banc of America Funding Trust Series 2006-A, Class 1A1, 2.74%, 2/20/2036 (g) | 8 | 8 |
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3, Class 2A1, 2.37%, 10/25/2047 (g) | — | — |
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 3.24%, 7/25/2034 (g) | — | — |
Total Collateralized Mortgage Obligations (Cost $8) | 8 |
June 30, 2022 | JPMorgan Insurance Trust | 15 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Short-Term Investments — 12.3% | ||
Certificates of Deposits — 0.1% | ||
Shinhan Bank, 0.80%, 8/12/2022 (Cost $58) | 58 | 58 |
Foreign Government Treasury Bills — 2.2% | ||
Canadian Treasury Bills | ||
1.55%, 1/5/2023 (h) | CAD 1,073 | 822 |
1.01%, 2/2/2023 (h) | CAD 1,073 | 820 |
1.25%, 3/2/2023 (h) | CAD 1,078 | 822 |
Total Foreign Government Treasury Bills (Cost $2,535) | 2,464 | |
SHARES (000) | ||
Investment Companies — 9.8% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.47% (d) (i) (Cost $10,988) | 10,987 | 10,988 |
Investment of Cash Collateral from Securities Loaned — 0.2% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (d) (i) (Cost $240) | 240 | 240 |
Total Short-Term Investments (Cost $13,821) | 13,750 | |
Total Investments — 99.5% (Cost $109,893) | 111,636 | |
Assets in Excess of Other Liabilities — 0.5% | 521 | |
NET ASSETS — 100.0% | 112,157 | |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
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 |
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 |
SEK | Swedish Krona |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | 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. | |
(b) | The security or a portion of this security is on loan at June 30, 2022. The total value of securities on loan at June 30, 2022 is $224. | |
(c) | All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $1,363. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(f) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2022. | |
(h) | The rate shown is the effective yield as of June 30, 2022. | |
(i) | The rate shown is the current yield as of June 30, 2022. |
16 | JPMorgan Insurance Trust | June 30, 2022 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF June 30, 2022 | PERCENT OF TOTAL INVESTMENTS |
Foreign Government Securities | 15.4% |
Fixed Income | 9.0 |
U.S. Equity | 7.0 |
Banks | 4.2 |
International Equity | 3.8 |
Software | 3.0 |
Semiconductors & Semiconductor Equipment | 2.9 |
Pharmaceuticals | 2.7 |
Insurance | 2.3 |
U.S. Treasury Notes | 2.2 |
Oil, Gas & Consumable Fuels | 2.0 |
Health Care Equipment & Supplies | 1.6 |
Hotels, Restaurants & Leisure | 1.6 |
Biotechnology | 1.6 |
Internet & Direct Marketing Retail | 1.5 |
IT Services | 1.4 |
Health Care Providers & Services | 1.4 |
Interactive Media & Services | 1.4 |
Machinery | 1.3 |
Technology Hardware, Storage & Peripherals | 1.3 |
Textiles, Apparel & Luxury Goods | 1.2 |
Automobiles | 1.2 |
Capital Markets | 1.1 |
Beverages | 1.0 |
Electric Utilities | 1.0 |
Others (each less than 1.0%) | 14.6 |
Short-Term Investments | 12.3 |
June 30, 2022 | JPMorgan Insurance Trust | 17 |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Euro-Bobl | 5 | 09/08/2022 | EUR | 651 | 9 |
Japan 10 Year Bond Mini | 11 | 09/09/2022 | JPY | 1,207 | 7 |
Australia 10 Year Bond | 2 | 09/15/2022 | AUD | 164 | (1) |
S&P / TSX 60 Index | 5 | 09/15/2022 | CAD | 888 | (30) |
SPI 200 Index | 2 | 09/15/2022 | AUD | 224 | (2) |
MSCI Emerging Markets E-Mini Index | 54 | 09/16/2022 | USD | 2,710 | (17) |
Foreign Exchange AUD / USD | 20 | 09/19/2022 | USD | 1,382 | (43) |
Foreign Exchange EUR / USD | 61 | 09/19/2022 | USD | 8,035 | (142) |
Foreign Exchange GBP / USD | 26 | 09/19/2022 | USD | 1,981 | (56) |
Foreign Exchange JPY / USD | 70 | 09/19/2022 | USD | 6,483 | (78) |
Foreign Exchange CAD / USD | 28 | 09/20/2022 | USD | 2,175 | (38) |
U.S. Treasury 10 Year Note | 78 | 09/21/2022 | USD | 9,229 | 37 |
U.S. Treasury Long Bond | 4 | 09/21/2022 | USD | 552 | (5) |
U.S. Treasury Ultra Bond | 21 | 09/21/2022 | USD | 3,216 | (51) |
Long Gilt | 1 | 09/28/2022 | GBP | 139 | (6) |
(416) | |||||
Short Contracts | |||||
Euro-Bobl | (33) | 09/08/2022 | EUR | (4,295) | (39) |
Euro-Bund | (19) | 09/08/2022 | EUR | (2,963) | 59 |
Euro-Buxl | (4) | 09/08/2022 | EUR | (684) | (15) |
Euro-Schatz | (3) | 09/08/2022 | EUR | (343) | (2) |
Japan 10 Year Bond | (7) | 09/12/2022 | JPY | (7,681) | 21 |
MSCI EAFE E-Mini Index | (63) | 09/16/2022 | USD | (5,856) | (15) |
Russell 2000 E-Mini Index | (68) | 09/16/2022 | USD | (5,810) | 22 |
S&P 500 E-Mini Index | (7) | 09/16/2022 | USD | (1,329) | (51) |
U.S. Treasury 10 Year Note | (1) | 09/21/2022 | USD | (118) | 2 |
U.S. Treasury 10 Year Ultra Note | (1) | 09/21/2022 | USD | (127) | —(a) |
Long Gilt | (22) | 09/28/2022 | GBP | (3,063) | (45) |
(64) | |||||
(479) |
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 |
TSX | Toronto Stock Exchange |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
18 | JPMorgan Insurance Trust | June 30, 2022 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION ($) | ||
CAD | 39 | USD | 30 | BNP Paribas | 7/5/2022 | —(a) |
EUR | 94 | USD | 97 | Citibank, NA | 7/5/2022 | 1 |
EUR | 49 | USD | 51 | HSBC Bank, NA | 7/5/2022 | —(a) |
EUR | 36 | USD | 37 | State Street Corp. | 7/5/2022 | —(a) |
GBP | 32 | USD | 39 | Barclays Bank plc | 7/5/2022 | 1 |
USD | 616 | AUD | 855 | BNP Paribas | 7/5/2022 | 25 |
USD | 80 | CAD | 102 | Citibank, NA | 7/5/2022 | 1 |
USD | 692 | CAD | 876 | Merrill Lynch International | 7/5/2022 | 12 |
USD | 105 | DKK | 729 | Goldman Sachs International | 7/5/2022 | 3 |
USD | 8,183 | EUR | 7,613 | BNP Paribas | 7/5/2022 | 205 |
USD | 41 | EUR | 38 | Goldman Sachs International | 7/5/2022 | 1 |
USD | 30 | EUR | 29 | HSBC Bank, NA | 7/5/2022 | —(a) |
USD | 36 | EUR | 33 | Merrill Lynch International | 7/5/2022 | 1 |
USD | 474 | EUR | 453 | Standard Chartered Bank | 7/5/2022 | —(a) |
USD | 2,400 | GBP | 1,907 | Barclays Bank plc | 7/5/2022 | 79 |
USD | 7,121 | JPY | 908,499 | Barclays Bank plc | 7/5/2022 | 425 |
USD | 35 | JPY | 4,378 | Merrill Lynch International | 7/5/2022 | 2 |
USD | 96 | JPY | 12,329 | Royal Bank of Canada | 7/5/2022 | 4 |
USD | 64 | SEK | 630 | Barclays Bank plc | 7/5/2022 | 3 |
USD | 4,478 | CAD | 5,629 | State Street Corp. | 7/19/2022 | 105 |
GBP | 31 | USD | 38 | Citibank, NA | 8/3/2022 | —(a) |
JPY | 4,205 | USD | 31 | Citibank, NA | 8/3/2022 | —(a) |
USD | 730 | CAD | 939 | BNP Paribas | 8/3/2022 | 1 |
USD | 97 | EUR | 92 | HSBC Bank, NA | 8/3/2022 | —(a) |
USD | 93 | EUR | 88 | Merrill Lynch International | 8/3/2022 | 1 |
USD | 67 | EUR | 63 | Standard Chartered Bank | 8/3/2022 | —(a) |
USD | 59 | GBP | 48 | HSBC Bank, NA | 8/3/2022 | 1 |
Total unrealized appreciation | 871 | |||||
AUD | 56 | USD | 39 | HSBC Bank, NA | 7/5/2022 | —(a) |
AUD | 88 | USD | 63 | Royal Bank of Canada | 7/5/2022 | (3) |
EUR | 108 | USD | 114 | Barclays Bank plc | 7/5/2022 | (1) |
EUR | 190 | USD | 204 | BNP Paribas | 7/5/2022 | (5) |
EUR | 45 | USD | 48 | Citibank, NA | 7/5/2022 | (1) |
EUR | 125 | USD | 135 | HSBC Bank, NA | 7/5/2022 | (4) |
EUR | 55 | USD | 58 | Standard Chartered Bank | 7/5/2022 | —(a) |
EUR | 35 | USD | 38 | State Street Corp. | 7/5/2022 | (1) |
GBP | 85 | USD | 106 | Barclays Bank plc | 7/5/2022 | (2) |
GBP | 33 | USD | 41 | Citibank, NA | 7/5/2022 | (1) |
GBP | 157 | USD | 198 | Standard Chartered Bank | 7/5/2022 | (6) |
JPY | 23,028 | USD | 176 | BNP Paribas | 7/5/2022 | (6) |
JPY | 4,167 | USD | 31 | Citibank, NA | 7/5/2022 | (1) |
JPY | 53,952 | USD | 407 | Royal Bank of Canada | 7/5/2022 | (9) |
JPY | 5,793 | USD | 43 | Standard Chartered Bank | 7/5/2022 | —(a) |
USD | 81 | EUR | 77 | Citibank, NA | 7/5/2022 | (1) |
CAD | 2,482 | USD | 1,937 | BNP Paribas | 7/19/2022 | (9) |
EUR | 50 | USD | 52 | BNP Paribas | 8/3/2022 | —(a) |
EUR | 57 | USD | 61 | Merrill Lynch International | 8/3/2022 | —(a) |
JPY | 15,431 | USD | 115 | BNP Paribas | 8/3/2022 | (1) |
USD | 491 | AUD | 712 | BNP Paribas | 8/3/2022 | (1) |
USD | 102 | DKK | 729 | State Street Corp. | 8/3/2022 | (1) |
USD | 75 | EUR | 72 | Barclays Bank plc | 8/3/2022 | —(a) |
June 30, 2022 | JPMorgan Insurance Trust | 19 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION ($) | ||
USD | 7,852 | EUR | 7,505 | BNP Paribas | 8/3/2022 | (28) |
USD | 1,942 | GBP | 1,600 | Barclays Bank plc | 8/3/2022 | (7) |
USD | 6,162 | JPY | 838,266 | Barclays Bank plc | 8/3/2022 | (28) |
USD | 61 | SEK | 630 | BNP Paribas | 8/3/2022 | —(a) |
Total unrealized depreciation | (116) | |||||
Net unrealized appreciation | 755 |
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. |
20 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Global Allocation Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $ 78,297 |
Investments in affiliates, at value | 33,099 |
Investments of cash collateral received from securities loaned, at value (See Note 2.C) | 240 |
Cash | 47 |
Foreign currency, at value | 70 |
Deposits at broker for futures contracts | 146 |
Receivables: | |
Investment securities sold | 325 |
Portfolio shares sold | 4 |
Interest from non-affiliates | 56 |
Dividends from non-affiliates | 50 |
Dividends from affiliates | 26 |
Tax reclaims | 86 |
Securities lending income (See Note 2.C) | —(a) |
Variation margin on futures contracts | 507 |
Unrealized appreciation on forward foreign currency exchange contracts | 871 |
Total Assets | 113,824 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 1,168 |
Collateral received on securities loaned (See Note 2.C) | 240 |
Portfolio shares redeemed | 3 |
Unrealized depreciation on forward foreign currency exchange contracts | 116 |
Accrued liabilities: | |
Investment advisory fees | 41 |
Distribution fees | 12 |
Custodian and accounting fees | 19 |
Other | 68 |
Total Liabilities | 1,667 |
Net Assets | $112,157 (a) Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 21 |
JPMorgan Insurance Trust Global Allocation Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $115,606 |
Total distributable earnings (loss) | (3,449) |
Total Net Assets: | $112,157 |
Net Assets: | |
Class 1 | $ 54,189 |
Class 2 | 57,968 |
Total | $112,157 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 3,482 |
Class 2 | 3,736 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $ 15.56 |
Class 2 — Offering and redemption price per share | 15.52 |
Cost of investments in non-affiliates | $ 76,068 |
Cost of investments in affiliates | 33,585 |
Cost of foreign currency | 70 |
Investment securities on loan, at value (See Note 2.C) | 224 |
Cost of investment of cash collateral (See Note 2.C) | 240 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
22 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Global Allocation Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $ 78 |
Interest income from affiliates | —(a) |
Dividend income from non-affiliates | 809 |
Dividend income from affiliates | 539 |
Income from securities lending (net) (See Note 2.C) | 3 |
Foreign taxes withheld (net) | (62) |
Total investment income | 1,367 |
EXPENSES: | |
Investment advisory fees | 343 |
Administration fees | 47 |
Distribution fees: | |
Class 2 | 80 |
Custodian and accounting fees | 76 |
Interest expense to affiliates | —(a) |
Professional fees | 47 |
Trustees’ and Chief Compliance Officer’s fees | 13 |
Printing and mailing costs | 14 |
Transfer agency fees (See Note 2.I) | —(a) |
Dividend expense to non-affiliates on securities sold short | 6 |
Interest expense to non-affiliates on securities sold short | 1 |
Other | 11 |
Total expenses | 638 |
Less fees waived | (93) |
Net expenses | 545 |
Net investment income (loss) | 822 (a) Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 23 |
JPMorgan Insurance Trust Global Allocation Portfolio | |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | $ (33) |
Investments in affiliates | (1,193) |
Options purchased | 1,516 |
Futures contracts | (5,436) |
Securities sold short | (39) |
Foreign currency transactions | (60) |
Forward foreign currency exchange contracts | 1,609 |
Net realized gain (loss) | (3,636) |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (18,748) |
Investments in affiliates | (3,267) |
Futures contracts | (799) |
Securities sold short | 10 |
Foreign currency translations | 46 |
Forward foreign currency exchange contracts | 625 |
Change in net unrealized appreciation/depreciation | (22,133) |
Net realized/unrealized gains (losses) | (25,769) |
Change in net assets resulting from operations | $(24,947) |
24 | JPMorgan Insurance Trust | June 30, 2022 |
JPMorgan Insurance Trust Global Allocation Portfolio | |||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $ 822 | $ 1,130 | |
Net realized gain (loss) | (3,636) | 8,325 | |
Distributions of capital gains received from investment company affiliates | — | 508 | |
Change in net unrealized appreciation/depreciation | (22,133) | 1,333 | |
Change in net assets resulting from operations | (24,947) | 11,296 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class 1 | (4,558) | (2,940) | |
Class 2 | (4,663) | (3,333) | |
Total distributions to shareholders | (9,221) | (6,273) | |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 11,277 | 9,955 | |
NET ASSETS: | |||
Change in net assets | (22,891) | 14,978 | |
Beginning of period | 135,048 | 120,070 | |
End of period | $112,157 | $135,048 | |
CAPITAL TRANSACTIONS: | |||
Class 1 | |||
Proceeds from shares issued | $ 5,066 | $ 4,742 | |
Distributions reinvested | 4,558 | 2,940 | |
Cost of shares redeemed | (2,134) | (2,359) | |
Change in net assets resulting from Class 1 capital transactions | 7,490 | 5,323 | |
Class 2 | |||
Proceeds from shares issued | 4,711 | 12,467 | |
Distributions reinvested | 4,663 | 3,333 | |
Cost of shares redeemed | (5,587) | (11,168) | |
Change in net assets resulting from Class 2 capital transactions | 3,787 | 4,632 | |
Total change in net assets resulting from capital transactions | $ 11,277 | $ 9,955 | |
SHARE TRANSACTIONS: | |||
Class 1 | |||
Issued | 258 | 235 | |
Reinvested | 276 | 147 | |
Redeemed | (123) | (117) | |
Change in Class 1 Shares | 411 | 265 | |
Class 2 | |||
Issued | 260 | 615 | |
Reinvested | 284 | 168 | |
Redeemed | (305) | (554) | |
Change in Class 2 Shares | 239 | 229 |
June 30, 2022 | JPMorgan Insurance Trust | 25 |
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 | Total distributions | ||
JPMorgan Insurance Trust Global Allocation Portfolio | ||||||||
Class 1 | ||||||||
Six Months Ended June 30, 2022 (Unaudited) | $20.61 | $0.13 | $(3.78) | $(3.65) | $(0.30) | $(1.10) | $(1.40) | |
Year Ended December 31, 2021 | 19.81 | 0.21 | 1.64 | 1.85 | (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) | |
Class 2 | ||||||||
Six Months Ended June 30, 2022 (Unaudited) | 20.52 | 0.11 | (3.76) | (3.65) | (0.25) | (1.10) | (1.35) | |
Year Ended December 31, 2021 | 19.73 | 0.15 | 1.65 | 1.80 | (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) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
(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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(h) |
June 30, 2022 | December 31, 2021 | December 31, 2020 | December 31, 2019 | December 31, 2018 | December 31, 2017 | |
Net expenses (excluding dividend and interest expense for securities sold short) | ||||||
Class 1 | 0.73% | 0.72% | 0.68% | 0.77% | 0.77% | 0.76% |
Class 2 | 0.98% | 0.97% | 0.93% | 1.02% | 1.02% | 1.01% |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | ||||||
Class 1 | 0.88% | 0.90% | 0.97% | 1.03% | 1.10% | 1.11% |
Class 2 | 1.13% | 1.15% | 1.24% | 1.28% | 1.34% | 1.32% |
(i) | Does not include expenses of Underlying Funds. |
(j) | The Portfolio presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. |
(k) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
26 | JPMorgan Insurance Trust | June 30, 2022 |
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)(i) | Net investment income (loss)(c) | Expenses without waivers and reimbursements (including dividend and interest expense for securities sold short)(h)(i) | Portfolio turnover rate (excluding securities sold short)(d)(j) | Portfolio turnover rate (including securities sold short)(d)(j) | |
$15.56 | (18.08)% | $54,189 | 0.74(k)% | 1.46(k)% | 0.89(k)% | 51% | 58% | |
20.61 | 9.51 | 63,286 | 0.73 | 1.03 | 0.91 | 89 | 100 | |
19.81 | 15.69 | 55,575 | 0.69 | 1.45 | 0.98 | 113 | 123 | |
17.65 | 16.87 | 41,311 | 0.79 | 1.99 | 1.05 | 98 | 116 | |
15.47 | (6.06) | 30,366 | 0.81 | 1.79 | 1.14 | 110 | 141 | |
16.57 | 17.11 | 14,308 | 0.79 | 1.76 | 1.14 | 80 | 92 | |
15.52 | (18.14) | 57,968 | 0.99(k) | 1.20(k) | 1.14(k) | 51 | 58 | |
20.52 | 9.26 | 71,762 | 0.98 | 0.78 | 1.16 | 89 | 100 | |
19.73 | 15.40 | 64,495 | 0.94 | 1.21 | 1.25 | 113 | 123 | |
17.58 | 16.58 | 57,790 | 1.04 | 1.73 | 1.30 | 98 | 116 | |
15.41 | (6.31) | 48,829 | 1.06 | 1.52 | 1.38 | 110 | 141 | |
16.55 | 16.85 | 48,470 | 1.04 | 1.59 | 1.35 | 80 | 92 |
June 30, 2022 | JPMorgan Insurance Trust | 27 |
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Global Allocation Portfolio | Class 1 and Class 2 | Diversified |
28 | JPMorgan Insurance Trust | June 30, 2022 |
• | 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). |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Collateralized Mortgage Obligations | $ — | $ 8 | $ — | $ 8 |
Commercial Mortgage-Backed Securities | ||||
United States | — | 123 | 103 | 226 |
Common Stocks | ||||
Australia | 31 | 714 | — | 745 |
Belgium | — | 460 | — | 460 |
Canada | 350 | — | — | 350 |
China | 593 | 197 | — | 790 |
Denmark | — | 1,480 | — | 1,480 |
Finland | — | 104 | — | 104 |
France | — | 3,782 | — | 3,782 |
Germany | — | 1,537 | — | 1,537 |
Hong Kong | — | 519 | — | 519 |
India | 327 | — | — | 327 |
Indonesia | — | 96 | — | 96 |
Ireland | — | 37 | — | 37 |
Italy | — | 75 | — | 75 |
Japan | — | 3,732 | — | 3,732 |
Macau | — | 8 | — | 8 |
Netherlands | — | 892 | — | 892 |
New Zealand | — | 6 | — | 6 |
Norway | — | — | 13 | 13 |
Singapore | 19 | 204 | — | 223 |
South Africa | — | 172 | — | 172 |
June 30, 2022 | JPMorgan Insurance Trust | 29 |
(continued) | |||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||
South Korea | $ — | $ 228 | $ — | $ 228 | |||
Spain | — | 396 | — | 396 | |||
Sweden | — | 543 | — | 543 | |||
Switzerland | — | 728 | — | 728 | |||
Taiwan | 459 | — | — | 459 | |||
United Kingdom | — | 1,843 | — | 1,843 | |||
United States | 33,494 | 1,303 | — | 34,797 | |||
Total Common Stocks | 35,273 | 19,056 | 13 | 54,342 | |||
Corporate Bonds | — | 1,441 | — | 1,441 | |||
Exchange-Traded Funds | 3,330 | — | — | 3,330 | |||
Foreign Government Securities | — | 17,141 | — | 17,141 | |||
Investment Companies | 18,781 | — | — | 18,781 | |||
Supranational | — | 174 | — | 174 | |||
U.S. Treasury Obligations | — | 2,443 | — | 2,443 | |||
Short-Term Investments | |||||||
Certificates of Deposits | — | 58 | — | 58 | |||
Foreign Government Treasury Bills | — | 2,464 | — | 2,464 | |||
Investment Companies | 10,988 | — | — | 10,988 | |||
Investment of Cash Collateral from Securities Loaned | 240 | — | — | 240 | |||
Total Short-Term Investments | 11,228 | 2,522 | — | 13,750 | |||
Total Investments in Securities | $68,612 | $42,908 | $116 | $111,636 | |||
Appreciation in Other Financial Instruments | |||||||
Forward Foreign Currency Exchange Contracts | $ — | $ 871 | $ — | $ 871 | |||
Futures Contracts | 157 | — | — | 157 | |||
Depreciation in Other Financial Instruments | |||||||
Forward Foreign Currency Exchange Contracts | — | (116) | — | (116) | |||
Futures Contracts | (636) | — | — | (636) | |||
Total Net Appreciation/ Depreciation in Other Financial Instruments | $ (479) | $ 755 | $ — | $ 276 |
30 | JPMorgan Insurance Trust | June 30, 2022 |
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) | |
$224 | $(224) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
$—(a) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 31 |
For the six months ended June 30, 2022 | |||||||||||||||
Security Description | Value at December 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2022 | Shares at June 30, 2022 | Dividend Income | Capital Gain Distributions | ||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | $ 5,575 | $ — | $ — | $ — | $(1,372) | $ 4,203 | 147 | $ — | $— | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 12,670 | 6,764 | 12,531 | (1,007) | (939) | 4,957 | 806 | 337 | — | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 8,925 | 631 | 3,739 | (207) | (472) | 5,138 | 607 | 140 | — | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 4,892 | 269 | 341 | 22 | (359) | 4,483 | 254 | 31 | — | ||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.47% (a) (b) | 3,234 | 53,362 | 45,606 | (1) | (1) | 10,988 | 10,987 | 13 | — | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.38% (a) (b) | 325 | 4,452 | 4,537 | — | — | 240 | 240 | 1* | — | ||||||
JPMorgan U.S. Value Factor ETF (a) | — | 3,454 | — | — | (124) | 3,330 | 104 | 18 | — | ||||||
Total | $35,621 | $68,932 | $66,754 | $(1,193) | $(3,267) | $33,339 | $540 | $— |
(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, 2022. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
32 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 33 |
Equity Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | $ 22 |
Unrealized Depreciation on Futures Contracts * | (115) |
Foreign Exchange Rate Risk Exposure: | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | 871 |
Unrealized Depreciation on Futures Contracts * | (357) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (116) |
Interest Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | 135 |
Unrealized Depreciation on Futures Contracts * | (164) |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | (479) |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | 755 |
* | 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. |
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities (a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (Not less than zero) | |||
Barclays Bank plc | $508 | $(38) | $— | $470 | |||
BNP Paribas | 231 | (50) | — | 181 | |||
Citibank, NA | 2 | (2) | — | — | |||
Goldman Sachs International | 4 | — | — | 4 | |||
HSBC Bank, NA | 1 | (1) | — | — | |||
Merrill Lynch International | 16 | —(b) | — | 16 | |||
Royal Bank of Canada | 4 | (4) | — | — | |||
Standard Chartered Bank | —(b) | —(b) | — | —(b) | |||
State Street Corp. | 105 | (2) | — | 103 | |||
$871 | $(97) | $— | $774 |
34 | JPMorgan Insurance Trust | June 30, 2022 |
Counterparty | Gross Amount of Derivative Liabilities Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities (a) | Derivative Available for Offset | Collateral Posted | Net Amount Due to Counterparty (Not less than zero) | |||
Barclays Bank plc | $ 38 | $(38) | $— | $ — | |||
BNP Paribas | 50 | (50) | — | — | |||
Citibank, NA | 4 | (2) | — | 2 | |||
HSBC Bank, NA | 4 | (1) | — | 3 | |||
Merrill Lynch International | —(b) | —(b) | — | —(b) | |||
Royal Bank of Canada | 12 | (4) | — | 8 | |||
Standard Chartered Bank | 6 | —(b) | — | 6 | |||
State Street Corp. | 2 | (2) | — | — | |||
$116 | $(97) | $— | $19 |
(a) | For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
(b) | Amount rounds to less than one thousand. |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
Equity Risk Exposure: | |
Futures Contracts | $(3,128) |
Purchased Options | 1,516 |
Foreign Exchange Rate Risk Exposure: | |
Futures Contracts | (1,916) |
Forward Foreign Currency Exchange Contracts | 1,609 |
Interest Rate Risk Exposure: | |
Futures Contracts | (392) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Equity Risk Exposure: | |
Futures Contracts | (317) |
Foreign Exchange Rate Risk Exposure: | |
Futures Contracts | (450) |
Forward Foreign Currency Exchange Contracts | 625 |
Interest Rate Risk Exposure: | |
Futures Contracts | (32) |
June 30, 2022 | JPMorgan Insurance Trust | 35 |
Futures Contracts: | |
Average Notional Balance Long | $ 44,505 |
Average Notional Balance Short | (17,734) |
Ending Notional Balance Long | 39,036 |
Ending Notional Balance Short | (32,269) |
Forward Foreign Currency Exchange Contracts: | |
Average Settlement Value Purchased | (5,849) |
Average Settlement Value Sold | 32,917 |
Ending Settlement Value Purchased | (4,189) |
Ending Settlement Value Sold | 42,263 |
Exchange-Traded Options: | |
Average Number of Contracts Purchased | 13 |
36 | JPMorgan Insurance Trust | June 30, 2022 |
Class 1 | Class 2 | Total | |
Transfer agency fees | $—(a) | $—(a) | $—(a) |
(a) | Amount rounds to less than one thousand. |
June 30, 2022 | JPMorgan Insurance Trust | 37 |
Class 1 | Class 2 | ||
0.78% | 1.03% |
Contractual Waivers | |||
Investment Advisory Fees | Administration Fees | Total | |
$—(a) | $24 | $24 |
(a) | Amount rounds to less than one thousand. |
38 | JPMorgan Insurance Trust | June 30, 2022 |
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 | |
$55,334 | $59,757 | $2,181 | $1,569 | $6,554 | $7,117 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$109,893 | $11,144 | $9,125 | $2,019 |
June 30, 2022 | JPMorgan Insurance Trust | 39 |
40 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 41 |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $ 819.20 | $3.34 | 0.74% |
Hypothetical | 1,000.00 | 1,021.13 | 3.71 | 0.74 |
Class 2 | ||||
Actual | 1,000.00 | 818.60 | 4.46 | 0.99 |
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 |
* | 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). |
42 | JPMorgan Insurance Trust | June 30, 2022 |
June 30, 2022 | JPMorgan Insurance Trust | 43 |
© JPMorgan Chase & Co., 2022. All rights reserved. June 2022. | SAN-JPMITGAP-622 |
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to a semi-annual report.
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.
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), exactly as set forth below:
(1) 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.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
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. |
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 25, 2022 |
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 25, 2022 | ||
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
August 25, 2022 |